(The following statement was released by the rating agency) PARIS/LONDON, July 11 (Fitch) Fitch Ratings has affirmed BMCI Tresorerie’s National Money Market Fund Rating at ‘AAAmmf(mar)’. The fund is domiciled in Morocco and managed by BMCI Gestion, a subsidiary of BMCI Banque (AAA(mar)/Stable/F1+(mar)). KEY RATING DRIVERS 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 risk, relative to all other short-term investments in Morocco. PORTFOLIO CREDIT QUALITY / DIVERSIFICATION BMCI Tresorerie invests exclusively in Moroccan securities issued by the state or high quality and publicly-rated issuers, and through repos backed by government bonds. Exposure to a single issuer or counterparty is limited by regulation to 10% (excluding time deposits), or 20% for repo counterparties, with proper margining procedures and legal framework. Between December 2012 and January 2013, the fund had some concentration with BMCI Banque up to 18.6%, of which 14.6% was overnight time deposits. The fund’s concentration has been fully in line with Fitch’s diversification criteria since then. At end-June 2013, the portfolio was 55.2% invested in government bills and bonds and 26.6% via overnight repos. MATURITY PROFILE The interest rate risk is contained given a portfolio modified duration (sensitivity to interest rate moves) kept below 0.3, which corresponds to approximately 120 days of weighted average maturity (WAM), and because the exposure to assets is limited to one year maturity. This diverges from the base case at the ‘AAAmmf(xxx)’ level detailed in Fitch’s ‘National Scale Money Market Fund Rating Criteria’, which stipulates a maximum average maturity of 60-90 days. For BMCI Tresorerie, Fitch gains comfort from the overall interest rate environment in Morocco, characterised by stable policy rates. LIQUIDITY PROFILE The liquidity profile of the fund is conservative, with a large part of the portfolio, typically more than one-quarter, in overnight repos. FUND OBJECTIVES The fund’s objective is to offer capital preservation and liquidity. The fund pursues its investment objective by investing in high-quality money market instruments and short-term debt including time deposits, certificates of deposit, sovereign bonds and notes, and repurchase agreements. INVESTMENT ADVISOR BMCI Gestion is the asset management subsidiary of BMCI Banque, the fifth-largest Moroccan bank in terms of deposits, which is majority owned by BNP Paribas (A+/Stable/F1+). BMCI Gestion manages MAD12bn for retail investors, corporates and institutions. At end June-2013, the company had 18 staff, including four portfolio managers. Controls and procedures at BMCI Gestion and the custodian bank, BMCI Banque, are adequate and the agency notes the strategic importance of the fund, which represents a large part of the fund manager’s assets and is distributed through bank retail networks and among BMCI Banque’s institutional clients. At end June-2013, the fund had MAD2.26bn of assets. RATING SENSITIVITY AND SURVEILLANCE The ratings may be sensitive to material changes in the credit quality or market risk profiles of the funds. A material adverse deviation from Fitch’s guidelines could cause Fitch to downgrade the ratings. For additional information about Fitch’s money market fund ratings guidelines, please review the criteria referenced below. 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 the custodian, BMCI. Surveillance data for these funds is available at www.fitchratings.com “Surveillance” > “Funds”. Contacts: Primary Analyst Francois Vattement, CFA Analyst +33 1 44 29 92 75 Fitch France S.A.S. 60 rue de Monceau 75008 Paris Secondary Analyst Aymeric Poizot, CFA, CAIA Managing Director +33 1 44 29 92 76 Committee Chairperson Ralph Aurora Senior Director +1 212 908 0528 Media Relations: Hannah Huntly, London, Tel: +44 20 3530 1153, Email: hannah.huntly@fitchratings.com
