April 5, 2017 / 4:09 PM / 5 months ago

Fitch Rates 2 BlackRock Institutional Cash Series plc Money Market Funds 'AAAmmf'

(The following statement was released by the rating agency) LONDON, April 05 (Fitch) Fitch Ratings has assigned two short-term money market funds managed by BlackRock 'AAAmmf' ratings as follows: BlackRock ICS Institutional Sterling Liquidity Fund: 'AAAmmf' BlackRock ICS Institutional Sterling Government Liquidity Fund: 'AAAmmf' The funds are sub-funds of the Irish-domiciled umbrella fund, BlackRock Institutional Cash Series plc. KEY RATINGS DRIVERS The main drivers of the ratings are: - The portfolios' high credit quality, diversification and short maturity profile; - Minimal exposure to interest rate and spread risks; - Overnight and one-week liquidity profiles consistent with Fitch's rating criteria; - The capabilities and resources of BlackRock as investment manager. Portfolio Credit Quality/Diversification The funds seek to maintain a high credit quality, consistent with Fitch's money market fund rating criteria at the 'AAAmmf' level, by investing exclusively in securities rated at least 'A-'/'F1' or equivalent and by entering into repurchase agreements with counterparties rated at least 'A' or 'F1' or equivalent. The sterling fund may also invest in asset-backed commercial paper. The credit quality of the sterling government fund is extremely high, reflecting its exposure to UK government and government-guaranteed securities and repurchase agreements collateralised by such securities only. The funds limit their exposures to individual issuers at 10% of the respective funds' assets, with no more than 5% for those above seven days in tenor. The sterling fund's Portfolio Credit Factor (PCF) was 1.15 as at end-March 2017, which meets Fitch's 'AAAmmf' rating criterion of 1.50 or less. The PCF is a risk-weighted measure of the fund's portfolio assets that accounts for the credit quality and maturity profile of securities. It does not apply to government funds. Maturity Profile The funds 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. The maturity date of any single investment is kept below 397 days. The WAM and WAL of both funds were well within the 'AAAmmf' ranges set out in Fitch's applicable rating criteria as of end-March 2017. Liquidity Profile The funds' investment restrictions are aimed at maintaining sufficient daily and weekly liquidity to meet investors' redemption requests. There are no material investor concentrations in the sterling fund. The sterling government fund has a large investor concentration, which is mitigated by the high liquidity profile of the fund. The levels of overnight and one-week liquidity in both funds are well in excess of the minimum levels specified in Fitch's applicable rating criteria as of end-March 2017. Funds' Objectives The sterling fund seeks to maximise current income consistent with the preservation of principal and liquidity through the maintenance of a portfolio of high-quality short-term money market instruments. The sterling government fund seeks a moderate level of current income that is consistent with the liquidity and stability of principal. As of end-March 2017 the sterling fund had GBP35.3 billion in assets under management (AUM) and the sterling government fund GBP3 billion. Investment Advisor Fitch views the investment advisers' capabilities, financial and resource commitments, operational controls, corporate governance and compliance procedures as consistent with the 'AAAmmf' rating assigned to the funds. BlackRock is a leading global asset manager with USD5.2 trillion of AUM as of end-December 2016. It is the second-largest provider of constant net asset value money market funds in Europe. RATING SENSITIVITIES The ratings may be sensitive to material changes in the credit quality or market risk profile of the funds. A material adverse deviation from Fitch guidelines for any key rating drivers could cause the ratings to be downgraded. For additional information about Fitch money market fund ratings guidelines, see the criteria referenced below. Contact: Primary Analyst Evangelia Gkeka Associate Director +44 20 3530 1829 Fitch Ratings Ltd 30 North Colonnade London E14 5GN Secondary Analyst Alastair Sewell, CFA Senior Director +44 20 3530 1147 Committee Chairperson Greg Fayvilevich Senior Director +1-212-908-9151 Media Relations: Rose Connolly, London, Tel: +44 203 530 1741, Email: rose.connolly@fitchratings.com. Additional information is available on www.fitchratings.com Applicable Criteria Global Money Market Fund Rating Criteria (pub. 10 Dec 2015) here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here _id=1021695 Solicitation Status here Endorsement Policy here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT <a href="https://www.fitchratings.com">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. 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