(The following statement was released by the rating agency)
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 Asset Management (BMCI AM).
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 counter party is managed in line with Fitch’s criteria for ‘AAAmmf(mar)’-rated funds. Issuer concentration is limited by regulation to 10% (excluding time deposits), and repo counter parties exposure is limited to 20%, with adequate margin procedures and a sound legal framework. The fund may have recourse to overnight (or callable overnight) inter-fund repos with other funds managed by BMCI AM. Such inter-fund repos are collateralised by Moroccan government bonds exclusively, and an appropriate level of over collateralisation is applied should the collateral’s residual maturity exceed that of instruments eligible for direct investment (ie 397 days for a fixed interest bond).
Inter-fund repos have not been used over the past month and typically represent less than 5% in the first half of the year. At end-September 2014, the portfolio was 53% invested in government bills and bonds and 37% via overnight repos. Maturity Profile Interest rate risk is contained with the portfolio’s weighted average maturity (WAM) kept below 90 days, in line with Fitch criteria for ‘AAAmmf(mar)’ rated funds. At end-September 2014, the fund’s WAM was 52 days.
Individual asset maturity is limited to one year. Liquidity Profile The fund maintains a high allocation to investment maturing overnight. Currently close to 40% is in overnight (or callable 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 repo agreements.
Investment Advisor BMCI AM is the asset management subsidiary of BMCI Banque (AAA(mar)/Stable/F1+(mar)), the fifth-largest Moroccan bank in terms of deposits, which is majority-owned by BNP Paribas (A+/Stable/F1). BMCI AM manages MAD12bn for retail investors, corporates and institutions. At end June-2014, the company had 18 staff, including four portfolio managers. Controls and procedures at BMCI AM and the custodian bank, BMCI Banque, are adequate. The fund is strategically important to BMCI AM as it represents a large part of the fund manager’s assets. The fund is distributed through bank retail networks and among BMCI Banque’s institutional clients. At end June-2014, the fund had MAD1.14bn of assets.
RATING SENSITIVITY AND SURVEILLANCE The rating may be sensitive to material changes in the credit quality or market risk profile of the fund. A material adverse deviation from Fitch’s guidelines could cause Fitch to downgrade the ratings. A downgrade of the sovereign’s international Long-Term Issuer Default Rating may not necessarily result in a downgrade of the fund’s National Money Market Fund Rating as it could continue to represent the lowest credit, market and liquidity risk available in Morocco, in line with Fitch’s national scale rating approach. However, this is based on the assumption that liquidity in capital markets will not be structurally impaired, which would prevent the fund from meeting Fitch’s national scale rating criteria.
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 Banque. Contacts: Primary Analyst Francois Vattement, CFA Associate Director +33 1 44 29 92 75 Fitch France S.A.S. 60 rue de Monceau 75008 Paris Secondary Analyst Charlotte Quiniou, CFA Director +33 1 44 29 92 81 Committee Chairperson Ralph Aurora Senior Director +1 212 908 0528 Media Relations: Elaine Bailey, London, Tel: +44 203 530 1153, Email: elaine.bailey@fitchratings.com.
Additional information is available at www.fitchratings.com. Applicable criteria, ‘Global Money Market Fund Rating Criteria’, dated 13 January 2014 and ‘National Scale Money Market Fund Rating Criteria’ dated 19 July 2013, are available at www.fitchratings.com. Applicable Criteria and Related Research: Global Money Market Fund Rating Criteria http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=727497 National Scale Money Market Fund Rating Criteria http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709339 Additional Disclosure Solicitation Status http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=899314 ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS.
IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM’. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.
