Fitch Ratings published "​Money Market Tranches in Structured Finance" on Monday. The report says, "Money market (​MM) tranches issued as part of global structured finance transactions constitute eligible securities for purchase by money market funds under Rule 2a-​7 of the U.​S. Investment Company Act. Due to their short-​term nature -- final legal maturity cannot be more than 397 days after closing -- Fitch Ratings assigns Tier 1 short-​term ratings ('​F1+' or '​F1') to these securities at issuance. The market for MM tranches is sizable and continues to grow; Fitch notes that the investor base is also expanding, as corporate treasurers and short-​term fund managers, among others, continue to look for cash alternatives." The study'​s "Key Findings" include: "Issuance of structured finance MM tranches has recovered from crisis-​era lows. The number of Fitch-​rated MM tranches reached new highs in 2011 and 2012, largely driven by U.​S. ABS.... U.​S. ABS MM tranches continued to be successfully issued in 2008 and 2009, while many other sectors remained in virtual standstill. The sector represents one-​half of the outstanding Fitch-​rated MM tranches and continues to account for the majority of new ratings.... MM tranches can be divided into two main categories: those where the term of assets and liabilities is matched (​e.​g., ABS) and those where long-​term assets are funded with short-​term liabilities (​e.​g., RMBS). The first category accounts for 84% of Fitch-​rated tranches and is the typical structure for U.​S.-​issued MM tranches."

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