NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed Virtus Insight Money Market Fund, a prime money market fund sponsored by Virtus Investment Partners, Inc. (NASDAQ: VRTS) and managed by BMO Asset Management Corp.
KEY RATING DRIVERS
The main drivers for the rating assignment are:
--The fund's overall credit quality and diversification;
--Short maturity profile;
--Minimal exposure to interest rate and spread risks;
--Short maturity profile with high overnight and one-week liquidity, consistent with the fund's shareholders profile and concentration;
--The capabilities and resources of BMO Asset Management Corp. as investment advisor.
The 'AAAmmf' money market fund rating reflects the fund's extremely strong capacity to achieve the investment objectives of preserving principal and providing shareholder liquidity through limiting credit, market and liquidity risk.
FUND CREDIT QUALITY/DIVERSIFICATION
Consistent with Fitch's 'AAAmmf' rating criteria, the fund maintains a high credit quality by investing exclusively in securities rated at least 'A/F1' or equivalent. The fund seeks to mitigate counterparty risk arising from investments in repurchase agreements by transacting with counterparties rated at least 'A/F1' or equivalent. The fund has the ability to enter into overnight and term repurchase agreements backed by a variety of collateral. In line with the fund's investment policy, the value of collateral exceeds the value of the repurchase agreement by a specified overcollateralization rate that is consistent with the assigned rating.
The fund's Portfolio Credit Factor (PCF) met Fitch's 'AAAmmf' rating criterion of 1.50 or less. The PCF is a risk-weighted measure of the fund's assets that accounts for the credit quality and maturity profile of the fund's securities.
MATURITY PROFILE
The funds seek to minimize interest rate and spread risks by limiting their weighted average maturity(WAM)and weighted average life (WAL) to 60 days and 120 days, respectively, consistent with Fitch's 'AAAmmf' rating criteria. As of April 30, 2013, the fund had WAM of 30 days and WAL of 45 days.
LIQUIDITY PROFILE
The fund's additional investment restrictions are aimed at maintaining sufficient levels of daily and weekly liquidity to meet investors' redemption requests. In line with amended Rule 2a-7 under the Investment Company Act of 1940, which governs the investment activities and operations of U.S. money market funds, the fund invests at least 10% of total assets in daily liquid assets and at least 30% of total assets in weekly liquid assets. As of April 30, 2013, the fund met the liquidity requirements mandated by Rule 2a-7 and was also in line with the liquidity guidelines outlined in Fitch's rating criteria.
FUND OBJECTIVES
The fund seeks to provide as high a level of current income as is consistent with its investment policies and with preservation of capital and liquidity. The fund invests in a broad range of short-term money market instruments that have remaining maturities of 13 months or less, including obligations issued or guaranteed by the U.S. Government. As of April 30, 2013, the fund had approximately $401.7 million in assets under management.
INVESTMENT ADVISOR
BMO Asset Management Corp. provides investment management services to institutional clients including pension funds, mutual funds and government entities. BMO Asset Management Corp. is wholly owned by BMO Financial Corp. BMO Financial Corp. is wholly owned by Bank of Montreal (BMO; rated 'AA-/F1+', Outlook Stable by Fitch ), a publicly traded Canadian banking institution. As of April 30, 2013, BMO Asset Management Corp., had approximately $33 billion in assets under management.
RATING SENSITIVITY AND SURVEILLANCE:
The rating may be sensitive to material changes in the credit quality or market risk profiles of the fund. A material adverse deviation from Fitch guidelines for any key rating driver could cause the rating to be lowered by Fitch. Furthermore, given the fund's primary investment focus on domestic and foreign issuers in the financial sector, the ratings may be sensitive to material adverse changes in the sector globally.
Fitch receives weekly fund holdings information and other pertinent fund data from the fund's administrator to conduct surveillance against ratings guidelines and maintain its money market fund rating.
Additional information is available at 'www.fitchratings.com'.
The sources of information used to assess this rating were the public domain and BMO Asset Management Corp.
Applicable Criteria and Related Research:
--'Global Money Market Fund Rating Criteria' (March 26, 2013).
Applicable Criteria and Related Research
Global Money Market Fund Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=704145
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=791444
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