July 13, 2012
July 13, 2012
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. At end-June 2012, the portfolio was 45.8% invested in government bills and bonds and 25.4% via overnight repos.
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 ‘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.
The liquidity profile of the fund is conservative, with a large part of the portfolio, typically one-third, in overnight repos.
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.
BMCI Gestion is the asset management subsidiary of BMCI Banque, the fourth-largest Moroccan bank in terms of deposits, which is majority owned by BNP Paribas (‘A+’/Stable/ ‘F1+’). BMCI Gestion manages MAD13bn for retail investors, corporates and institutions. At end June-2012, the company had 19 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 one-quarter of the fund manager’s assets and is distributed through bank retail networks and among BMCI Banque’s institutional clients. At end June-2012, the fund had MAD2.97bn 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.