MOODY'S ASSIGNS MARKET RISK RATINGS TO EUROPEAN MONEY MARKET FUNDS
New York, 04-17-97 -- Moody's Investors Service has assigned Market Risk Ratings (MRRs) to 96 European money funds and has plans to assign a MRR to every fund Moody's rates in Europe.
These newly issued ratings are being added, according to Moody's, to complement credit ratings by providing investors with an indicator of a fund's potential for loss and the relative volatility of its net asset value. Moody's notes that mutual fund credit ratings generally do not quantify the relative market risks taken by fund managers. MRRs will allow investors to determine the degree to which a fund will be affected by changing interest rates and other market decisions.
Funds with the least sensitivity to market changes will receive an MR1, while the most sensitive funds will be rated MR5. These ratings are being assigned to funds in addition to the familiar Aaa-to-B fund ratings that address credit risk.
"The typical MR1-rated money fund invests in short-term securities or deposits with an average duration below one year. Furthermore, it invests in liquid high-credit quality instruments; takes no unhedged currency risk; does not enter into speculative derivative transactions; and uses only money market indexed floating rate notes," Moody's explains.
In the case of constant net asset value (CNAV) money market funds, they will likely be rated MR1+ because Moody's has incorporated the market risk taken by these funds in their credit ratings. "Aaa rated CNAV money funds must limit their weighted average maturity to 60 days or less, and are limited in the type and amounts of floating rate instruments they may invest in," Moody's says.
At the same time, MRRs do not take accounting methods into consideration. Portfolios are examined from a market value perspective. Moody's says that "this does not mean that funds valued using amortized cost are any more or less risky than those using a mark-to-market method, but investors must realize that potential problems in a fund may not be transparent until it is too late."
In addition, MRRs do not address fund expenses. Therefore, some funds with fluctuating expense charges or funds where expenses exceed income earned (as is the case with some yen-denominated funds) will not be penalized by a lower MRR, Moody's says,
The need for these additional ratings has been underlined by a Moody's study showing that "funds domiciled in nearly every country where money funds exist have experienced losses in the past five years."
In fact, Moody's research shows that over 65 funds domiciled in Europe have experienced a loss in market value over at least a one month period since 1992. This includes funds denominated in the five main western currencies.
Some 569 funds were examined, and Moody's says that the Swiss franc and US dollar funds had the largest proportion of 1 month losses with 26.3% and 25.4% using red ink at some stage. Third at 19.2% were D-mark funds, while 11.4% of the Sterling funds lost value. The French franc funds' 4.1% loss proportion was the lowest. Moody's explained that the low interest rates in Switzerland and the US encourage fund managers to try to maximize returns.
A listing of Moody's rated money market funds follows:
Money Market Fund Ratings
BERMUDA
Fund Name Advisor Moody's Rating
Fidelity Money Fund Ltd.:
Australian Dollar Fund Fidelity Investments International Aaa/MR1+
Austrian Shilling Fund Fidelity Investments International Aaa/MR1+
Canadian Dollar Fund Fidelity Investments International Aaa/MR1+
Deutsche Mark Fund Fidelity Investments International Aaa/MR1+
Dutch Guilder Fund Fidelity Investments International Aaa/MR1+
ECU Fund Fidelity Investments International Aaa/MR1+
French Franc Fund Fidelity Investments International Aaa/MR1+
HK$ Fund Fidelity Investments International Aaa/MR1+
Italian Lira Fund Fidelity Investments International Aaa/MR1+
Japanese Yen Fund Fidelity Investments International Aaa/MR1+
NZ$ Fund Fidelity Investments International Aaa/MR1+
NKR Fidelity Investments International Aaa/MR1+
Spanish Peseta Fund Fidelity Investments International Aaa/MR1+
SKR Fund Fidelity Investments International Aaa/MR1+
S$ Fund Fidelity Investments International Aaa/MR1+
Sterling Fund Fidelity Investments International Aaa/MR1+
Swiss Franc Fund Fidelity Investments International Aaa/MR1+
U.S. Dollar Fund Fidelity Investments International Aaa/MR1+
CAYMAN ISLANDS
Fund Name Advisor Moody's Rating
International Dollar Reserve Fund I, Ltd. Provident Institutional Mgt Co. - Dub Aaa/MR1+
SEI U.S. Dollar Government Fund Limited SEI Investments Aaa/MR1+
SEI U.S. Dollar Money Market Fund Ltd SEI Investments Aaa/MR1+
DUBLIN
Fund Name Advisor Moody's Rating
Short-Term Investments Company PLC:
U.S. Dollar Portfolio AIM Global Advisors Ltd Aaa/MR1+
Sterling Portfolio AIM Global Advisors Ltd Aaa/MR1+
BT Global Assets Funds
Managed Dollar Fund Bankers Trust Asset Management Aaa/MR1+
BZW Fixed Income Selection Fund:
BZW Sterling Liquidity Class A Barclays de Zte Wedd Inv. Mgmt Aaa/MR1+
BZW U.S. Dollar Liquidity Class A Barclays de Zte Wedd Inv. Mgmt Aaa/MR1+
Citi Institutional Liquidity Fund P.L.C.:
Sterling Fund Citibank International PLC Aaa/MR1+
Deutsche Mark Fund Citibank International PLC Aaa/MR1+
U.S. Dollar Fund Citibank N.A. Aaa/MR1+
Coutts Liquidity Fund:
Swiss Franc Coutts & Co Aaa/MR1
Deutsche Mark Coutts & Co Aaa/MR1
Sterling Coutts & Co Aaa/MR1
US Dollar Coutts & Co Aaa/MR1
DUBLIN (Cont.)
Fund Name Advisor Moody's Rating
Federated Int'l Fds Plc.:
S-T U.S. Prime Fund Federated Management Aaa/MR1+
S-T US Treasury Securities Fund Federated Management Aaa/MR1+
Fidelity Institutional Cash Fund PLC:
Deutsche Mark Fund Fidelity Investments International Aaa/MR1+
U.S. Dollar Fund Fidelity Investments International Aaa/MR1+
Sterling Fund Fidelity Investments International Aaa/MR1+
Goldman Sachs US$ Liquid Reserves Fund Goldman Sachs Asset Management Aaa/MR1+
The Northern Trust Global Cash Funds PLC:
Sterling Fund Northern Trust Aaa/MR1+
US Dollar Fund Northern Trust Aaa/MR1+
FRANCE
Fund Name Advisor Moody's Rating
Gestion Pibor Indosuez Asset Management Aaa/MR1+
SocGen Cash Dollar Soci‚t‚ G‚n‚rale Aaa/MR1
GUERNSEY
Fund Name Advisor Moody's Rating
Portman U.S. Dollar Money Market Fund Portman Asset Management PLC Aaa/MR1
RBC International Currency Fund Ltd.:
Canadian Dollar Royal Bank of Canada Inv. Mgt. Aaa/MR1
Deutsche Mark Royal Bank of Canada Inv. Mgt Aaa/MR1
Japanese Yen Royal Bank of Canada Inv. Mgt Aaa/MR1
Pound Sterling Royal Bank of Canada Inv. Mgt Aaa/MR1
Swiss Franc Royal Bank of Canada Inv. Mgt Aaa/MR1
U.S. Dollar Royal Bank of Canada Inv. Mgt Aaa/MR1
RBC International Money Market Fund:
Accumulating Canadian Dollar Royal Bank of Canada Inv. Mgt Aaa/MR1
Accumulating Deutsche Mark Royal Bank of Canada Inv. Mgt Aaa/MR1
Accumulating Swiss Franc Royal Bank of Canada Inv. Mgt Aaa/MR1
Accumulating STG Royal Bank of Canada Inv. Mgt Aaa/MR1
Accumulating U.S. Dollar Royal Bank of Canada Inv. Mgt Aaa/MR1
Accumulating Yen Royal Bank of Canada Inv. Mgt Aaa/MR1
Distributing Swiss Franc Royal Bank of Canada Inv. Mgt Aaa/MR1
Distributing STG Royal Bank of Canada Inv. Mgt Aaa/MR1
Distributing Canadian Dollar Royal Bank of Canada Inv. Mgt Aaa/MR1
Distributing Deutsche Mark Royal Bank of Canada Inv. Mgt Aaa/MR1
Distributing U.S. Dollar Royal Bank of Canada Inv. Mgt Aaa/MR1
Distributing Yen Royal Bank of Canada Inv. Mgt Aaa/MR1
LUXEMBOURG
Fund Name Advisor Moody's Rating
Force Cash Fund:
Force Cash DEM Banque Priv‚e Edmond de Rothschild .Aaa/MR1
Force Cash USD Banque Priv‚e Edmond de Rothschild . Aaa/MR1
Force Cash CHF Banque Priv‚e Edmond de Rothschild Aaa/MR1
CB Geldmarkt Deutschland I Caisse Centrale de R‚escompte Aaa/MR1
Commerzbank MMF: Deutsche Mark Caisse Centrale de R‚escompte Aaa/MR1
Fidelity Funds II:
Fidelity US $ Cash Fund Fidelity Investments International Aaa/MR1+
CapitalBuilder DM Cash Fund Fidelity Investments International Aaa/MR1+
RG Interest Plus Fund:
RG Money Plus Fund (NLG) Robeco Group Aaa/MR1
RG Money Plus Fund CHF Robeco Group Aaa/MR1
RG Money Plus Fund USD Robeco Group Aaa/MR1
Raiffeisen Schweiz (Luxemburg) Fonds:
DM Money A/B Schweizer Verband der Raiffeisenbanken Aaa/MR1
Swiss Money A/B Schweizer Verband der Raiffeisenbanken Aaa/MR1
US Dollar Money A/B Schweizer Verband der Raiffeisenbanken Aaa/MR1
Swissca Money Market Fund:
Australian Dollar (Aus$) Swissca Holding AG Aaa/MR1
Canadian Dollar (Can$) Swissca Holding AG Aaa/MR1
Deutsche Mark (DM) Swissca Holding AG Aaa/MR1
ECU (ECU) Swissca Holding AG Aaa/MR1
French Francs (FRF) Swissca Holding AG Aaa/MR1
Swiss Francs (SFR) Swissca Holding AG Aaa/MR1
Guilders (NLG) Swissca Holding AG Aaa/MR1
Italian Lira (LIT) Swissca Holding AG Aaa/MR1
Pesetas (PTAS) Swissca Holding AG Aaa/MR1
Sterling (GBP) Swissca Holding AG Aaa/MR1
U.S. Dollar (US$) Swissca Holding AG. Aaa/MR1
Yen (YEN) Swissca Holding AG Aaa/MR1
SPAIN
Fund Name Advisor Moody's Rating
BSN Tesoreria Fondtesoro (FIAMM) BSN Gesti¢n Aaa/MR1
BSN Dinero (FIAMM) BSN Gesti¢n Aaa/MR1
Superfondo Santander I (FIAMM) Gesbansander S.A. SGIIC Aaa/MR1
Superfondo Santander Monetario (FIAMM) Gesbansander S.A. SGIIC Aaa/MR1
Santander Dinero Fondtesoro (FIAMM) Gesbansander S.A. SGIIC Aaa/MR1
UNITED KINGDOM
Fund Name Advisor Moody's Rating
COIF Charities Deposit Fund CCLA Investment Management Ltd. Aaa/MR1+
CBF Deposit Fund CCLA Investment Management Ltd. Aaa/MR1+
Fidelity Cash Unit Trust Fidelity Investments Services Ltd Aaa/MR1+
SIM CMR Cash Pool Schroders Investment Management Aaa/MR1+
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