Fitch Ratings has affirmed three DWS short-term money market funds (ST MMFs) at 'AAAmmf' and one standard money market fund (standard MMF) at 'AAf'/'S1'.
The ST MMFs and standard MMF are managed by
KEY RATING DRIVERS
The affirmations are driven by the broad stability in the funds' credit, market and liquidity risk profiles since the last review in
CREDIT QUALITY
The ST MMFs' portfolio credit factors (PCFs), Fitch's proprietary risk-weighted measure that considers the credit quality and maturity profile of the portfolio securities, were 1.01, 1.21 and 1.36, for the euro, sterling and US dollar ST MMFs, respectively, as of
The standard MMF's weighted average rating factor (WARF), Fitch's proprietary measure of credit quality under bond fund rating criteria, was 0.21 as of
LIQUIDITY RISK
The ST MMFs had at least 10% of total assets in securities offering daily liquidity and at least 30% of total assets in securities providing weekly liquidity, consistent with the 'AAAmmf' rating range, throughout the review period. Overnight liquidity was above 29% for the funds as of
MARKET RISK
The weighted average maturity (WAM) of all the ST MMFs was within the 'AAAmmf' rating range of 0-60 days as of
The standard MMF's market risk factor, Fitch's proprietary measure of market risk sensitivity under Bond Fund Rating Criteria, was 0.35 as of
FUND PROFILES
The ST MMFs are sub-funds of the umbrella fund, DWS Deutsche Global Liquidity Series p.l.c., which is an investment company with variable capital that falls under the UCITS directive. The funds are authorised and supervised by
Launched in 1999, and repurposed as an ESG money market fund on
Fitch considers the legal and regulatory framework of the funds satisfactory.
INVESTMENT MANAGER
The ST MMFs and standard MMF are managed by
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to positive rating action/upgrade:
The ST MMFs are rated at the highest possible rating level and therefore cannot be upgraded.
For the Fund Credit Quality Rating of the standard MMF, an upgrade is unlikely unless the fund changes its investment strategy to focus only on the highest-rated securities and reduce the maximum permissible duration. For the Fund Market Risk Sensitivity Rating of the standard MMF, the rating is at the highest possible level on Fitch's rating scale, and cannot be upgraded.
Factors that could, individually or collectively, lead to negative rating action/downgrade:
The ratings may be sensitive to material adverse changes in the credit quality, market risk or liquidity profile of the funds. A material adverse and continued deviation from Fitch guidelines for any key rating drivers could cause the ratings to be downgraded. Strategic portfolio allocation with high exposure to securities with longer maturity and relatively lower credit quality may put pressure on a ST MMF's PCF, which could cause the ratings to be downgraded if it led to continued deviation from Fitch's guidelines.
Considering the history of breaches in the US dollar ST MMF as an aggravating factor, further PCF breaches could negatively affect Fitch's view that the fund will be sustainably managed within the 'AAAmmf' rating range, and therefore could cause negative rating action. Fitch views a material reliance on the
CRITERIA VARIATION
However, in this case, Fitch believes incremental risk resulting from this exposure is mitigated, as the invested fund is a
European MMF Regulation caps the investment of a MMF in another single eligible MMF at 5% of the investing fund's assets. Fitch has varied from its rating criteria in defining a limited exposure to a
RATING ACTIONSENTITY/DEBT RATING PRIOR
DWS Deutsche Global Liquidity Series p.l.c -Deutsche Managed Dollar Fund MMF AAAmmf Affirmed AAAmmf
DWS Institutional ESG Euro Money Market Fund Fund Cr Qual Rtg AAf Affirmed AAf
Sensitivity S1 Affirmed S1
DWS Deutsche Global Liquidity Series p.l.c -Deutsche Managed Euro Fund MMF AAAmmf Affirmed AAAmmf
DWS Deutsche Global Liquidity Series p.l.c -Deutsche Managed Sterling Fund MMF AAAmmf Affirmed AAAmmf
VIEW ADDITIONAL RATING DETAILS
Additional information is available on www.fitchratings.com
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