Updated July 2016

A comparison of money fund ratings

IMMFA money market funds typically always obtain a triple-A rating from at least one rating agency (“CRA”), in particular Fitch Ratings, Moody’s Services and S&P Global Ratings. Each of these CRAs awards a range of fund ratings. Their assessment criteria for money market funds will also vary.

IMMFA provides this summary of the triple-A ratings criteria for money market funds in conjunction with the three named CRAs (each of which provided the information specific to their ratings). Our aim is to make comparative information on money market fund ratings more easily accessible. To our knowledge and belief the information contained herein is correct as at the date indicated. For those who require additional information on ratings, this may be obtained directly from the relevant CRA.

Fitch Ratings Moody’s Investors Services S&P Global Ratings

General Ratings Criteria Rating Definition An opinion on the capacity of a MMF to Moody’s money market fund ratings A principal stability fund rating preserve principal and provide are opinions on a money market addresses a fund’s ability to maintain shareholder liquidity through limiting fund’s ability to meet the dual principal stability and to limit exposure credit, market and liquidity risk. objectives of providing liquidity and to principal losses due to credit risk. preserving capital. Criteria applicable to CNAV and VNAV MMFs and other liquidity/ The guidelines below are purely management products that have indicative. A rating committee could comparable investment objectives. decide to deviate from them, based on qualitative or other factors. The rating criteria follow a principles- based approach, rather than a strict rule-based approach, in order to be applicable to a wide range of increasingly heterogeneous liquidity products. Rating Scale AAAmmf to Bmmf Aaa-mf to C-mf AAAm to BBm, and Dm

The ratings (except AAAm & Dm) may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories.

Definitions: ABCP – asset backed ; ABS – asset backed ; AUM – ; CNAV – constant net asset value; FRN – ; GMRA – global master ; MBS – mortgage backed security; MMF – money market fund; MRA – master repurchase agreement; NAV – net asset value; SPV – special purpose vehicle; VNAV – variable net asset value; WAFM – weighted average final maturity, which is also referred to as weighted average life (WAL); WAM – weighted average maturity.

The following criteria specifically apply to funds rated AAAmmf (Fitch Ratings), Aaa-mf (Moody’s Investors Service) and AAAm (S&P Global Ratings).

Fitch Ratings Moody’s Investors Services S&P Global Ratings

Interest Rate Final maturity restrictions Floating rate securities issued by No formal limit; scorecard-based 397 days maximum final maturity per: highly rated sovereign, supranational approach. or government agency benefiting  fixed rate investment; from strong market liquidity1: 762  non sovereign government days. floating-rate investment;  sovereign floating-rate All other securities: 397 days investments rated below AA-;  investment with unconditional Maximum 45 days for direct unsecured demand features (i.e. put) exposure to fund manager’s affiliates. providing for liquidity within 397 days with an issuer rated A- 1/A+ or higher.

762 days maximum final maturity per sovereign government (incl. “concentration-eligible” sovereign government related2/guaranteed) floating rate security rated AA- or higher. WAM 60 days No formal limit; scorecard-based 60 days* approach. *May be adjusted lower for funds with more volatile shareholder characteristics such as start-up funds or funds with limited operating history, small asset size, a concentrated shareholder base, or a new shareholder base with uncertain liquidity needs. rate derivatives swaps and futures with a Interest rate swaps and futures can be The aggregate market value of interest suitable -term index reference used to manage duration or rate swaps that exceed 10% of fund rate can be used to hedge interest interest rate risk. assets are “higher-risk investments”. rate risk. Swaps must have the following Counterparties should be rated at characteristics: least ‘A’ and/or ‘F1’ or the equivalent.  Entered with counterparty rated A-1 or better;  Priced daily;  Rated funds are able to unwind both sides of the transaction prior to maturity.  Rated funds have the right to sell the underlying security while the swap is in force.

1 Applied to sovereign securities issued in the fund’s base rated in the ‘AA’ category or higher (or equivalent) and benefiting from strong . 2 Sovereign government-related entity with a rating at the same level or higher than the rating on its related sovereign, with likelihood of support from the sovereign of at least “very high”.

Updated July 2016 Fitch Ratings Moody’s Investors Services S&P Global Ratings

Credit Minimum credit quality 100% in F1 (or equivalent) or higher, No formal limit; Credit Profile will be Min A-1+ & A-1 <= 5 days: 50% excluding repo as described below. calculated based on the securities’ Max A-1 > 5 days: 50% ratings and maturities. Matrix-based approach using asset maturity and credit quality (Fitch’s Portfolio Credit Factor – PCF). Diversification Maximum on-going group level direct Scorecard-based approach. 5% exposure per issuer but greater exposure: allowance for: In calculating obligor concentration,  F1+ or F1 rated: 10%, of which > 7 Moody’s aggregate affiliated obligors  Sovereign entities; days: 5%; of the same corporate family.  “Concentration-eligible” sovereign  Per government agency: 35%; government-related2/guaranteed  Highly rated sovereign benefiting Moody’s excludes: entities rated AA- or higher; from strong market liquidity1:  Overnight deposits (incl. 100%.  Aa2 or better rated government uninvested cash); securities;  Instruments that are at least 100% Maximum direct and indirect  Aa2 or better rated government collateralized; exposure per financial group, agency securities;  Investments in another fund. including all exposure via ABCP  repurchase agreements, conduits and sponsored SPVs: 15% collateralised by Aa2 or better Maximum exposure per group, rated sovereign and /or agency excluding overnight bank deposits and Maximum per sponsor/parent assets with maturities of 7 days repos: 15% company (subject to other eligibility or less; and and diversification guidelines as  Aa2 or better rated supranational detailed above), combined direct and securities (e.g. IMF, EBRD). collateralised exposure: 15%

WAFM 120 days No formal limit; asset final maturity is 90 days* captured in the Credit Profile and in the Stability Profile (exposure to *May increase to 120 days if a fund market risk). invests in floating rate sovereigns or “concentration-eligible” 2/guaranteed government-sponsored entities rated AA- or higher. The maximum WAM is based on a weighted average of the percentage exposure to each type of floating-rate instruments.

Counterparty credit risk Minimum counterparty rating of A or No formal limit; scorecard-based Counterparty must be explicitly rated F1, or equivalent. approach. A-1 or better, except for overnight repo transactions that can be engaged Repo counterparties may be rated A- with ‘A-2’ counterparties. /F2 or BBB+/F2 provided additional criteria detailed below are met.

Fitch Ratings Moody’s Investors Services S&P Global Ratings

1 Applied to sovereign securities issued in the fund’s base currency rated in the ‘AA’ category or higher (or equivalent) and benefiting from strong market liquidity. 2 Sovereign government-related entity with a rating at the same level or higher than the rating on its related sovereign, with likelihood of support from the sovereign of at least “very high”.

Updated July 2016 Credit Reverse repo guidelines Maximum per repo counterparty: Traditional reverse repo (maturity of 7 Maximum per rated repo days or less, 102% over- counterparty fully collateralised with  25% per repo counterparty rated collateralisation, Aaa/Aa1/Aa2 traditional collateral: at least ‘A’ or ‘F1’ with full government and supranational collateralisation by high quality securities, standard docs) – look  A-1+ rated: securities from sovereign through to the collateral. overnight: 50% governments, supranationals or 2-5 business days: 10% agencies. Non-traditional reverse repos – >5 business days: 5%  10% per repo counterparty rated treated as unsecured exposure to the Aggregate exposure: 25% A-/F2 or BBB+/F2, with at least counterparty.  A-1 rated: 102% collateralised by high overnight: 25% quality collateral, exhibiting low Moody’s use the counterparty risk 2-5 business days: 10% volatility, viewed as a flight to assessment (CRA) both in the Credit >5 business days:5% quality security and benefiting Profile and Stability Profile. Aggregate exposure: 25% from strong liquidity.  A-2 rated: Overnight only: 5% Maximum aggregate exposure to repo Aggregate exposure: 10% with A-/F2 and BBB+/F2 counterparties: 25%. Maximum per rated repo counterparty with non-traditional All other repo transactions are viewed collateral: 5% as unsecured exposures and subject to direct credit exposure criteria. Non-traditional repos with ‘A-2’ counterparties are “higher-risk May enter into reverse repo with investments”. unrated counterparties that are wholly-owned subsidiaries of rated financial institutions. Provided the level of integration and support is deemed sufficient, Fitch will look to the rating of the parent company.

Liquidity Liquidity guidelines Generally targeted at: No formal limit; scorecard-based No formal minimums, but maximum approach measuring: WAM limit may be adjusted  Overnight and other eligible downwards based on high assets: 10%  overnight liquidity/largest 3 shareholder concentrations.  < 7 days and other eligible assets: investors, and Additionally, rating assessment 30%  overnight liquidity/fund AUM. includes review of fund management’s strategy to meet Baseline liquidity may be adjusted to Moody’s overnight liquidity includes: liquidity needs/expectations of take into consideration unique aspects shareholders. of fund’s base, the overall  overnight liquidity, plus level of concentration/redemption risk  Aa2 or higher rated direct facing the fund, the results of any government obligations maturing stress testing undertaken by the fund withing 18 months, plus manager, and any other backup  committed liquidity lines. liquidity arrangements.

Updated July 2016

Fitch Ratings Moody’s Investors Services S&P Global Ratings

Liquidity Illiquid asset restrictions Maximum in less liquid assets: 10% No formal limit. Maximum in illiquid/limited liquidity securities: 10% This includes: Includes non-marketable and  non-callable time deposits historically less liquid instruments maturing in more than 7 days; with maturities > 5 business days  non-callable repo maturing in (unless the fund holds an more than 7 days; unconditional put providing for  assets denominated in a currency liquidity within 5 business days or an other than that of the fund’s base ability to redeem within 5 business currency and subject to hedging. days at no loss of principal) and securities not in fund’s base currency. Non-tradeable assets’ maturity limit of 120 days. Risk Controls NAV thresholds Fund’s marked-to-market NAV No formal limit. Portfolio Stability 0.25% negative deviation (i.e. 0.9975). assessed during rating committee. Profile includes NAV stress test. Daily mark-to-market pricing if NAV A rating committee would consider reduces by 0.15% (i.e. 0.9985). the fund’s NAV, as well as its recent trend. Sponsor assessment To rate a money market fund, Fitch The fund rating reflects the fund’s The fund rating is based on a fund’s performs an assessment of the asset own characteristics, and thus, strong independent ability to maintain manager and fund sponsor, which sponsorship will not enhance a fund’s principal stability and does not include typically is the ultimate parent of the rating. a fund sponsor’s willingness and/or asset manager. ability to support the fund’s NAV. However, Aaa-mf rated money market The agency seeks to establish that the funds are expected to be managed by However, the rating does not include asset manager is suitably qualified, firms with investment-grade or the measures a sponsor takes or has competent and capable of managing equivalent credit profile, as indication committed to implement within a 5 the portfolio, and together with the of stable operating environment and business day cure period to support sponsor has sufficient resources and minimal incremental risk stemming the fund’s NAV or liquidity. expertise to support the fund from the sponsor’s own operational, operationally. market or funding challenges. Stress testing Should be conducted as part of Scorecard approach using a NAV Stress tests are required monthly and internal policies to govern the mark- stress test simulating: must show the impact of each of the to-market process. following scenarios:  a curve shift,  a shift, and  Parallel interest-rate shifts of +/-  outflows. 200bp in 25bp increments;  Asset decreases (i.e. redemptions) of 10%, 15%, 20%, 25% including the percentage of the largest historical 5-business day net redemptions;  A downgrade on the largest sovereign, sovereign government- related entity, and non-sovereign (excluding overnight investments);  The widening and narrowing of credit spreads.

Updated July 2016

Fitch Ratings Moody’s Investors Services S&P Global Ratings

Other Quantitative Criteria Repo (fund pledging assets and (1) Moody's Credit Matrix tool Cure periods are applied when there is borrowing money) not to exceed 10% calculates the portfolio's weighted a breach of a quantitative metric of fund’s total assets. average , based on the including: underlying securities' -term ratings and maturities, assuming a  NAV (up to 5 business days) continuing rollover of the securities up  Diversification (20 business days) to 12 months;  10% illiquid/limited liquidity (10 business days) (2) Moody's MMF Scorecard  Overall credit quality (10 business captures the fund’s asset profile days) (including WAM and concentration of  Issuer downgrades, cure period obligor exposure), the portfolio’s depends on exposure: liquidity (measuring daily liquidity relative to investor 0 to <0.5% = 397 calendar days concentration and AUM), and its 0.5% to 1.0% = 120* calendar days sensitivity to market risk (by 1.0% to <5.0% = 60* calendar days estimating the fund’s net asset value >5% = 14 calendar days or NAV under stress conditions). *Regardless of the short-term rating, if the long-term rating is 'BBB+' and on CreditWatch negative or 'BBB' or lower, the cure period drops to fourteen calendar days.

All cure periods are based on a fund's NAV remaining within the 0.25% range for AAAm.

Other Qualitative Criteria Floating-rate notes should reset Rating committee will consider The qualitative review includes: fund’s based upon a short-term index. various qualitative factors, including: history, investment objectives and strategy, management’s investment Robust internal policies and  fund manager's attributes (credit philosophy, fund management team’s procedures to govern the mark-to- process, investment process, depth, experience and adequacy, past market process. control environment, operations breaches, credit research and analysis, quality, and corporate pricing and NAV deviation policy, risk Money market investment process, governance); preferences including use of leverage, resources, credit research, control, operating policies, internal controls risk management and key operational  legal documentation; including fund management oversight procedures are assessed during the and disaster recovery. annual fund rating process.  fund's stated objectives and investment guidelines;

 quality of data; and

 poor financial performance of the fund’s sponsor, legal issues or similar conditions that could result in weakening of fund management and/or significant redemptions.

Updated July 2016

Fitch Ratings Moody’s Investors Services S&P Global Ratings

Monitoring Mode & Frequency Receipt of bi-monthly information, Monthly monitoring report. In case of a Weekly portfolio holdings and including portfolio holdings, mark-to- market turmoil or other developments summary statistics. market NAV, WAM, WAFM, yield, that might have an impact on the derivatives, repo, shareholders rating, additional data will be Annual onsite management review concentration and total assets. requested on a weekly or daily basis: meeting. inflows/outflows, overnight liquidity, At least annual management review mark-to-market NAV and any other meeting. relevant portfolio information, as may be required. At least one annual review.

Communications Press releases, monthly research For further information, please refer to For further information, please visit (MMF factsheets and monthly Money Market Funds dated 18 December www.standardandpoors.com MMF snapshot), quarterly and ad 2015. hoc research. Also visit For further information, please visit www.moodys.com/managedinvestments www.fitchratings.com

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Updated July 2016