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Fitch Ratings Affirms Ostrum Euro Liquidity LVNAV's MMF Rating at 'AAAmmf'

Strategic Insights

— 1 min read

Fitch Ratings has reaffirmed the 'AAAmmf' rating of Ostrum Euro Liquidity LVNAV, a fund managed by Ostrum Asset Management, due to its high credit quality and diversification, high levels of daily and weekly liquid assets, and low exposure to interest-rate and spread risks. The fund's Portfolio Credit Factor, which considers the credit quality and maturity profile of the portfolio securities, met Fitch's 'AAAmmf' rating criterion of 1.5 or less throughout the review period. Ostrum Asset Management's capabilities and resources as investment manager also contributed to the affirmation.

Key Takeaways:

  • The fund's Portfolio Credit Factor, a risk-weighted measure of credit quality and maturity profile, met Fitch's 'AAAmmf' rating criterion of 1.5 or less throughout the review period.
  • The fund 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.
  • The fund's weighted average maturity and weighted average life were within the 'AAAmmf' rating range of below 60 days and 120 days, respectively, throughout the review period.
  • Ostrum Asset Management proactively manages interest-rate risk by using interest-rate swaps to hedge interest-rate risks inherent in the fund's other investments.
  • The fund's investment objective is to offer a net performance equal to the euro short-term rate (EURSTER) by integrating an environmental, social, or governance (ESG) view into its approach.
  • The fund is managed by Ostrum Asset Management, a subsidiary of Natixis Investment Manager, which had EUR381 billion assets under management at end-March 2025.

The fund's credit quality, diversification, and management capabilities make it resilient to market risks, and the rating is robust at its current level.

Statistics:

  • Portfolio Credit Factor: 1.5 or less (met Fitch's 'AAAmmf' rating criterion throughout the review period)
  • Daily liquidity securities: at least 10% of total assets
  • Weekly liquidity securities: at least 30% of total assets
  • Weighted average maturity: below 60 days
  • Weighted average life: below 120 days
  • Max aggregated risk exposure to interest-rate swaps: negligible during the review period
  • Counterparties: rated at least 'F1' or equivalent

Sources:

  • Fitch Ratings, "Ostrum Euro Liquidity LVNAV Fund Rating: Affirmed 'AAAmmf' " (no date provided)
  • Regulation (EU) 2017/1131 (European Union) (no date provided)
  • Autorite des Marches Financiers (France) (no date provided)
  • Natixis Investment Manager (no date provided)

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