OREANDA-NEWS. Fitch Ratings has assigned CFG Cash Secure Tresorerie fund a 'AAAmmf(mar)' National Money Market Fund Rating. The fund is domiciled in Morocco and managed by CFG Gestion (CFG).

KEY RATING DRIVERS
The main drivers of the rating are:
-- The portfolio's high overall credit quality
-- Short portfolio maturity with minimal exposure to interest rate and spread risks
-- High portfolio liquidity
-- The capabilities and resources of CFG as investment manager

The 'AAAmmf(mar)' rating is the highest that can be assigned to a money market fund in Morocco and indicates an extremely strong capacity to preserve principal and provide shareholder liquidity through limiting credit, market and liquidity risks, relative to all other short-term investments in Morocco.

Portfolio Credit Quality/Diversification
Launched in March 2015, the fund seeks to maintain a high credit quality by investing exclusively in securities issued by the Kingdom of Morocco (BBB-/Stable), government agencies, publicly rated, high-quality bank certificates of deposit, and in repurchase agreements collateralised by government bonds, with a sound legal framework.

The fund controls concentration risk by setting adequate limits on its exposures to individual issuers (10%) and repo counterparties (20%) as per regulation.

The credit quality of invested issuers and level of diversification is consistent with Fitch's 'National Scale Money Market Fund Rating Criteria' guidelines at the 'AAAmmf(mar)' rating level.

Maturity Profiles
The fund limits the maturity date of any single investment to 397 days other than sovereign or quasi-sovereign floating-rate notes, which may have maturities of up to 24 months. As at 15 February 2016, the fund's weighted average maturity and weighted average life stood at 73 and 76 days, respectively, compared with the maximum permissible levels of 90 and 120 days. The resulting market risk is very low and within the ranges specified in Fitch's 'National Scale Money Market Fund Rating Criteria' at the 'AAAmmf(mar)' rating level.

Liquidity Profiles
The fund's investment restrictions are aimed at maintaining strong levels of daily and weekly liquidity to meet investors' redemption requests, in line with Fitch's rating criteria for 'AAAmmf(mar)' funds. Sixty-six per cent of the fund's assets under management (AUM) are in daily liquid assets (overnight or eligible assets). As at 15 February 2016 the fund's client base showed some concentration with the largest investor representing 72% of AUM but the asset manager has expressed an intention to diversify the investor base.

Fund Objective
The objective of the fund is to provide capital stability, liquidity and achieve a money market yield.

Investment Managers
Incorporated in 1995, CFG Gestion is a subsidiary of CFG Bank, itself owned by Moroccan institutional investors (60%) and partners (40%). CFG was the ninth-largest Moroccan asset manager at end-December 2015, with MAD11.2bn (around EUR1bn) AUM. Its assets are concentrated in fixed income (92%), including 33% in money market products, in line with the overall local market, with the remainder being equity and balanced portfolios.

Fitch views CFG's investment management capabilities, operational controls, profitability and compliance procedures as consistent with a 'AAAmmf(mar)' National Money Market Fund rating. However, the agency notes the stretched financial condition of CFG Bank, which has invested heavily over the last two years to develop a retail banking business in Morocco.

RATING SENSITIVITIES
The rating may be sensitive to material changes in the credit quality or market risk profile of the fund. Specifically, an exposure to CFG Bank, which is allowed in the fund's investment guidelines, could negatively impact the rating. A material adverse deviation from Fitch's guidelines for any key rating driver could cause Fitch to downgrade the rating.

A downgrade of the sovereign's Long-term Issuer Default Rating may not necessarily result in a downgrade of the fund's National Money Market Fund Rating as the could still continue to represent the lowest credit, market and liquidity risk available in Morocco, in line with Fitch's national scale rating approach.

SURVEILLANCE
The agency monitors the portfolio composition and its compliance with rating criteria on the basis of reports and holdings sent on a weekly basis by CFG's controller.