Bangkok--15 Jul--Fitch Ratings
Fitch Ratings (Thailand) Limited has today announced the implementation of the new money market fund (MMF) rating criteria and rating scale for Thailand’s money market funds, following the global launch earlier this year.
The new criteria revised important elements of how Fitch assesses credit, market and liquidity risks and introduced a stand-alone ratings scale for money market funds to differentiate their ratings from other ratings assigned under Fitch's traditional rating scale. For further information, please see the 5 October 2009 criteria report, entitled ‘Global Money Market Fund Rating Criteria’, and the 15 March 2010 criteria report, entitled ‘National Scale Money Market Fund Rating Criteria’, which are available at www.fitchratings.com.
Among the key changes are new measures of portfolio liquidity to address shareholder redemption risk in times of stress and the introduction of a Portfolio Credit Factor (PCF) matrix that measures credit risk on two dimensions — credit quality and maturity. Fitch has also introduced enhanced diversification criteria for direct and indirect counterparty exposures. In addition, the criteria introduced a ‘spread risk’ metric (weighted average final maturity or WAMf) to complement the existing interest-rate sensitivity metric (weighted average maturity to reset date or WAMr) and more in-depth consideration of the sponsor’s role.
The ‘AAAmmf(tha)’ category represents Fitch’s highest rating under its new rating scale for money market funds in Thailand. Fitch defines a 'AAAmmf(tha)’ money market fund rating as having an extremely strong capacity to achieve its investment objective of preserving principal and providing shareholder liquidity through limiting credit, market, and liquidity risk, relative to all other short-term investments in Thailand.
Fitch will continue to rate other fixed income funds under the agency’s Bond Fund rating scale, which provides separate ratings for credit and volatility.
Applicable criteria, "Global Money Market Fund Rating Criteria", dated 5 October 2009, and “National Scale Money Market Fund Rating Criteria”, dated 15 March 2010, are available on Fitch’s website at www.fitchratings.com.
Contacts: Orawan Karoonkornsakul, Lertchai Kochareonrattanakul, Vincent Milton, Bangkok, +662 655 4755.
Note to Editors: Fitch’s National money market fund ratings are assigned on a scale of ‘AAAmmf(tha)’ to ‘Bmmf(tha)’. The ratings assigned to the funds are National ratings, and as such, they provide a relative measure of capital preservation and liquidity in comparison with other funds in Thailand. They are therefore not internationally comparable.
Additional information is available at www.fitchratings.com
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