OREANDA-NEWS. 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

Portfolio Credit Quality/Diversification
The fund invests in securities issued by the Kingdom of Morocco or other Moroccan rated issuers of high credit quality, and in repurchase agreements (repos) backed by government bonds. Exposure to a single issuer or counterparty 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 counterparties exposure is limited to 20%, with adequate margin procedures and a sound legal framework. The fund did not have recourse to inter-fund repos over the last 12 months.

At end-September 2015, the portfolio was 65%-invested in government bills and bonds, 10% in certificates of deposit and 25% via overnight repos.

Maturity Profile
Interest rate risk is contained with the portfolio's weighted average maturity (WAM) being kept below 90 days, in line with Fitch criteria for 'AAAmmf(mar)' rated funds. At end-September 2015, the fund's WAM was 62 days. Individual asset maturity is limited to 397 days.

Liquidity Profile
The funds maintain a high allocation to liquid assets, with typically more than one quarter of the portfolio in repos overnight (or callable overnight).

Fund Objective
The fund's objective is to preserve capital 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 MAD14bn for retail investors, corporates and institutions. At end September-2015, 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 September-2015, the fund had MAD1.2bn 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 a downgrade of the ratings.

A downgrade of the sovereign's 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 to such an extent that it prevents 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.