CHICAGO (S&P Global Ratings) Oct. 1, 2018--S&P Global Ratings today assigned fund credit quality ratings (FCQRs) and fund volatility ratings (FVRs) to three Liechtenstein-domiciled money market funds managed by Credit Suisse Asset Management (Schweiz) AG (CSAM). The three money market funds assigned FCQRs and FVRs are as follows:
- Credit Suisse Money Market Fund – CHF – 'AAAf/S1+'
- Credit Suisse Money Market Fund – EUR – 'AA+f/S1+'
- Credit Suisse Money Market Fund – USD – 'AA+f/S1+'
The FCQRs reflect our quantitative view of the funds' high credit quality investments as assessed via our FCQ matrix. The assignment of the 'AAAf' FCQR to Credit Suisse Money Market Fund – CHF signifies that the credit quality of the fund's portfolio exposure is extremely strong. The assignment of the 'AA+f' FCQR to Credit Suisse Money Market Fund – EUR signifies that the credit quality of the fund's portfolio exposure is very strong. The assignment of the 'AA+f' FCQR to Credit Suisse Money Market Fund – USD signifies that the credit quality of the fund's portfolio exposure is very strong. The assignment of the 'S1+' FVRs signifies that all three funds exhibit extremely low volatility of returns, which is comparable with a portfolio of short-duration government securities, representing the highest-quality fixed-income instruments available in each currency with a maturity of 12 months or less. We assigned the FVRs following our review of historical volatility and the dispersion of fund returns relative to reference indices. Next, we evaluated portfolio risk, taking into account duration, credit exposures, liquidity, derivatives, leverage, foreign currency, and investment concentration. We determined that these portfolio risk factors were consistent and we have not adjusted the preliminary FVRs following our review of return volatility and dispersion. Our qualitative assessment of CSAM also meant that no adjustment of the FVRs was required. The qualitative assessment entailed a review of the CSAM's management and organization, risk management and compliance, credit culture, and credit research, which we deemed strong. The intermediate FCQR also included a portfolio risk assessment, which focused on four indicators: counterparty risk, concentration risk, liquidity, and fund credit score cushion (the proximity of the preliminary FCQR to a fund-rating threshold). The portfolio risk assessment of the Credit Suisse Money Market Fund – USD led us to undertake sensitivity tests considering the fund's proximity to a fund credit score threshold. In our view and following the three sensitivity tests (assessing [1] the largest obligor, [2] the lowest-rated obligor, and [3] obligors on CreditWatch negative), we made a one-notch adjustment for Credit Suisse Money Market Fund – USD from the preliminary 'AAAf' FCQR to 'AA+f' to derive the final FCQR. We did not perform sensitivity tests on the CHF and EUR funds. We also performed a comparable rating analysis on the three funds against other funds that have a similar portfolio strategies and compositions, and formed a holistic view of the funds' portfolio credit quality and characteristics relative to its peers. The comparative rating analysis did not result in any adjustment to the FCQRs or FVRs. CSAM has Swiss franc (CHF) 401 billion in assets under management, with approximately CHF40 billion in fixed-income assets, including these newly rated money market funds. In our view, as part of a global organization, the Swiss fixed-income team based in Zurich is a highly experienced group of investment professionals. The team is supported by risk management infrastructure and credit research systems appropriate for an asset management entity with a long record of accomplishment in managing fixed-income assets for institutional clients globally. Credit Suisse Funds SICAV is an undertaking for collective investment in transferable securities (UCITS) in accordance with the Liechtenstein (LI) law of June 28, 2011, on undertakings for collective investment in transferable securities (the UCITS Act, UCITSA). It is in the legal form of an investment company with variable capital that is structured as an umbrella fund with one or more subfunds. Investors participate in the assets of the relevant subfund in proportion to the number of units they have acquired. VP Bank AG (A/Stable/A-1) is the independent depositary with responsibility for the safekeeping of funds and acting in the interests of investors as prescribed by UCITSA. The investment objective across all three subfunds is to generate an adequate return in the respective reference currency, while giving due consideration to the preservation of capital and the liquidity of the subfund's assets. To achieve this objective, the subfunds will invest in a diversified portfolio of high-quality money market instruments (particularly certificates of deposit, European commercial paper, and floating-rate notes) issued by sovereign, supranational, and corporate (including financial) entities, with maturities not exceeding two years. The subfunds are money market funds within the meaning of "CESR's Guidelines On A Common Definition Of European Money Market Funds" (CESR/10-049). With such a designation, portfolio investment restrictions include, but are not limited to, a maximum weighted average maturity of up to six months and a weighted-average life of up to 12 months. S&P Global Ratings also has 'AAAf/S1+' FCQR and FVR outstanding on CSAM's Luxembourg-domiciled Credit Suisse (Lux) Money Market Fund – CHF. We review pertinent fund information and portfolio reports monthly as part of our surveillance process of our FCQR and FVRs. An S&P Global Ratings FCQR, also known as a "bond fund rating," is a forward-looking opinion about the overall credit quality of a fixed-income investment fund. FCQRs, identified by the 'f' suffix, are assigned to fixed-income funds, actively or passively managed, typically exhibiting variable net asset values. FCQRs reflect the credit risks of the portfolio investments, the level of the fund's counterparty risk, and the risk of the fund's management ability and willingness to maintain current fund credit quality. Unlike traditional credit ratings (e.g., issuer credit ratings), a FCQR does not address a fund's ability to meet payment obligations and is not a commentary on yield levels. An S&P Global Ratings FVR is a forward-looking opinion about a fixed-income investment fund's volatility of returns relative to that of a "reference index" denominated in the base currency of the fund. A reference index is composed of government securities associated with the fund's base currency. FVRs are not globally comparable. FVRs reflect our expectation of the fund's future volatility of returns to remain consistent with its historical volatility of returns. FVRs reflect S&P Global Ratings' view of the fund's sensitivity to interest rate risk, credit risk, and liquidity risk, as well as other factors that may affect returns, such as use of derivatives, use of leverage, exposure to foreign currency risk, and investment concentration and fund management. Different symbology is used to distinguish FVRs from S&P Global Ratings' traditional issue or issuer credit ratings. We do so because FVRs do not reflect creditworthiness but rather our view of a fund's volatility of returns.
RELATED CRITERIA
- Criteria - Financial Institutions - Fixed-Income Funds: Fund Volatility Ratings Methodology, June 26, 2017
- Criteria - Financial Institutions - Fixed-Income Funds: Fund Credit Quality Ratings Methodology, June 26, 2017
Certain terms used in this report, particularly certain adjectives used to express our view on rating relevant factors, have specific meanings ascribed to them in our criteria, and should therefore be read in conjunction with such criteria. Please see Ratings Criteria at www.standardandpoors.com for further information. Complete ratings information is available to subscribers of RatingsDirect at www.capitaliq.com. All ratings affected by this rating action can be found on S&P Global Ratings' public website at www.standardandpoors.com. Use the Ratings search box located in the left column. Alternatively, call one of the following S&P Global Ratings numbers: Client Support Europe (44) 20-7176-7176; London Press Office (44) 20-7176-3605; Paris (33) 1-4420-6708; Frankfurt (49) 69-33-999-225; Stockholm (46) 8-440-5914; or Moscow 7 (495) 783-4009.
| Primary Credit Analyst: | Guyna G Johnson, Chicago (1) 312-233-7008; guyna.johnson@spglobal.com |
| Secondary Contact: | Francoise Nichols, Paris (33) 1-4420-7345; francoise.nichols@spglobal.com |
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