Fitch: Extendible Notes are Liquid, Book to Expected Maturity.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of & LONDON -- One of the most debated issues among money market professionals, according to according to prep. 1. As stated or indicated by; on the authority of: according to historians. 2. In keeping with: according to instructions. 3. Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. in a new report, has been the appropriate treatment, from a maturity and liquidity perspective, of asset-backed extendible notes (ABENs) in money market funds. Following extensive analysis, Fitch concludes that treating ABENs as liquid instruments booked to their expected maturity date is appropriate so long as the extendible security is not in extension or does not otherwise qualify as illiquid Illiquid An asset or security that cannot be converted into cash very quickly (or near prevailing market prices). Notes: A house is a good example of an illiquid asset. See also: Cash, Liquidity Illiquid In the context of finance. . "Based on the liquid market for ABENs, the performance of these securities to date and the disincentives to extension, Fitch has concluded that, so long as the extendible security is not in extension or does not otherwise qualify as illiquid, it would, in most cases, be appropriate to treat ABENs as liquid instruments booked to their expected maturity date," said Director Louis Lazzara. However on a cautionary note, Lazzara noted that "money market fund investors should be aware of the extension risk posed by ABENs and not place themselves in a situation such that in a market wide extension scenario, the resulting duration extension would cause the weighted average maturity of their portfolio to breach the 90-day 2a-7 limit." Director Mick Brown also stressed that "Fitch looks to fund managers and their Board of Directors to set appropriate guidelines codified cod·i·fy tr.v. cod·i·fied, cod·i·fy·ing, cod·i·fies 1. To reduce to a code: codify laws. 2. To arrange or systematize. in credit policy for management and containment of such risks." Fitch's 'Criteria for Treatment of Asset-Backed Extendible Notes in Rated Money Market Funds' is available on the Fitch Ratings web site at www.fitchratings.com. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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