Fitch Affirms Money Fund Ratings
A press release entitled, "Fitch Affirms Ratings on 110 Money Market Funds with $1.3 Trillion in Assets," tells us, "Fitch Ratings has affirmed the ratings on 110 money market funds (MMFs) following a regularly scheduled global review of the sector. Collectively, the funds comprise about $1.3 trillion of assets under management (AUM). A complete list of the funds and the associated ratings is included at the end of this press release." The "Key Rating Drivers," according to Fitch, include: The MMF portfolios' overall credit quality and diversification; Low exposure to interest rate and spread risks; Holdings of daily and weekly liquid assets consistent with shareholder profiles; Maturity profiles meeting Fitch's rating criteria; and, The capabilities and resources of the respective investment advisors. The release explains, "Consistent with Fitch's criteria for rating MMFs at 'AAAmmf', the reviewed funds maintain high credit quality portfolios by investing exclusively in short-term securities rated at least 'F1' by Fitch or the equivalent. MMFs rated 'AAmmf' and 'Ammf' may elect to invest a small percent of their assets in securities rated 'F2' by Fitch or the equivalent. These MMFs rated at 'AAAmmf' manage their portfolios to limit their exposures to individual issuers at 10% of the fund's assets, with no more than 5% of assets for those exposures above seven days in tenor. Minor and temporary deviations from these parameters may occur from time to time, mainly due to cash outflows.... The reviewed MMFs seek to limit interest rate and spread risk by maintaining their weighted average maturity (WAM) and weighted average life (WAL) below 60 days and 120 days, respectively. These funds also limit the maturity date of any single investment to 397 days with the exception of floating-rate securities issued by highly rated sovereigns, supranationals, or government agencies benefiting from strong market liquidity, which could have maturities as long as 762 days.... The funds seek to maintain sufficient levels of daily and weekly liquidity to meet investors' redemption requests. Specifically, taxable MMFs rated 'AAAmmf' invest at least 10% of total assets in securities offering daily liquidity and at least 30% of total assets in securities providing weekly liquidity in line with Fitch's rating criteria. Tax-exempt MMFs invest at least 30% of their assets in securities offering weekly liquidity, consistent with Fitch's MMF rating criteria."
