Fitch Downgrades CSOP US Dollar Money Market ETF to ‘AA+f’


London/Shanghai – Fitch Ratings has downgraded CSOP US Dollar Money Market ETF’s International Fund Credit Quality Rating to ‘AA+f’, from ‘AAAf’ and affirmed its Fund Market Risk Sensitivity Rating at ‘S1’. The fund is managed by CSOP Asset Management Limited.

Key Rating Drivers

The downgrade reflects the fund’s increasing exposure to lower-rated assets in the ‘BBB’ category and the resulting drop in the credit quality of the asset manager’s investment strategy.

Credit Risk

The fund predominately invests in time deposits. Exposure to counterparties rated in the ‘BBB’ category rose to 25% in mid-July 2020, from 10% in February 2020. The remainder are ‘A’ rated assets. The asset manager intends to maintain its exposure to ‘BBB’ rated assets in the medium term. The fund’s weighted-average rating factor (WARF) was above 0.3, which indicated an International Fund Credit Quality Rating in the ‘AAf’ category at mid-July 2020. The rating was downgraded to ‘AA+f’ as the WARF was close to the lower limit of the ‘AA’ range between 0.3 and 1.0.

Market Risk

The fund’s exposure to interest-rate and spread risk is low due to its short maturity profile. The asset manager keeps the weighted-average maturity (WAM) and weighted-average life (WAL) below 60 days and 120 days, respectively. The WAM was 31 days in mid-July 2020.

Investment Manager

Fitch regards the investment manager as suitably qualified, competent, and capable of managing the fund consistently with the rating, with sufficient operational resources and expertise.

CSOP Asset Management Limited, established in 2008, is a leading money fund ETF provider in Hong Kong. China Southern Asset Management Co., Ltd. is CSOP’s major shareholder. CSOP had total assets under management of USD6.3 billion at end-2019 and manages three money fund ETFs: CSOP Hong Kong Dollar Money Fund ETF, CSOP US Dollar Money Fund ETF and CSOP HK Dollar Money Fund ETF.

Rating Sensitivities

  • Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade:

The fund’s International Fund Credit Quality Rating is sensitive to changes in the credit quality of the portfolio assets. Further deterioration of the credit quality of the underlying assets could lead to a further downgrade.

  • Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade:

An upgrade of the International Fund Credit Quality Rating is possible if the credit quality of the underlying assets improves and the investment strategy supports the improvement in the long term. Fitch does not expect a change in the Fund Market Risk Sensitivity Rating given the short duration of the portfolio.

Applicable Rating Criteria

Fitch rates CSOP US Dollar Money Market ETF under its Bond Fund Rating Criteria. The fund is regulated under the money market fund section of the Hong Kong Securities and Futures Commission’s Code on Unit Trusts and Mutual Funds, but Fitch believes the characteristics of the vehicle as an ETF differentiate it from other money market funds. Specifically, the ETF structure means that investors only interact with distributors and authorised dealers, as opposed to traditional mutual funds in which an investor can subscribe or redeem directly with the fund. The ETF therefore provides intermediated liquidity to investors, as opposed to the direct liquidity provided in a mutual fund. Fitch’s money market fund criteria are focused on money market funds that provide direct liquidity to investors. Furthermore, the ability of listed ETF shares to be transacted on the secondary market means that there is the risk of bid or offer deviating from net asset values, driven by market technicals or investor behaviour.

Link to Rating Actions

Additional information is available on

Most recent episodes

What’s on the Horizon for Short-term Investments?

The treasury community has risen to the ongoing challenge of rising interest rates and inflation, with corporate cash serving as the sought-after safety net. Here, Daniel Farrell (Northern Trust Asset Management) and Karl Adams (ICD) consider how the latest MMF reform proposals affect short-term...

Transitioning a Corporate from LIBOR to CME Term SOFR

The loans market has predominantly moved to forward looking term rates, and both corporate borrowers and global lenders are increasingly turning to CME Term SOFR as the forward looking risk-free benchmarks to support their activities. Listen to this podcast, featuring Gavin Lee, Marco Bianchi (CME...


HSBC’s Sibos Spotlight – View from Sibos

TMI's Eleanor Hill invites Neil Atkinson, Nadine Lagarmitte, and Vinay Mendonca (HSBC) to discuss the critical treasury topics and conversations highlighted at this year's Sibos conference in Amsterdam. Amongst a wealth of market insights, our guests consider the most critical developments emerging from...


ECB’s Targeted TLTRO Tweaks Set to Drain Excess Market Liquidity

Welcome to the latest edition of Liquidity Link Live, your exclusive market analysis provided by Northern Trust Asset Management, one of the world’s largest cash managers. Tune in each month to discover the very latest insights on the UK, Eurozone and US markets. This edition was recorded on the 7th...


Asian Treasury Trends: Learnings and Opportunities

Former corporate treasury professional, Valerie Heng (Deloitte) joins Eleanor Hill to discuss the hot topic of treasury transformation, alongside other key shifts treasurers should be aware of. In this podcast, Valerie uses her knowledge of the Asian Treasury market to explain how the role of the...


Collaborative Trade Finance: How to Unlock Liquidity at Speed

Imagine if trade finance applications were fully collaborative and corporates could communicate with every trade participant via an open digital hub.  In this podcast, Vincent Almering (Interfood Holding B.V.) and Enno-Burghard Weitzel (Surecomp) explain to TMI's Ben Poole how collaborative trade...


Critical Trends in Trade and Supply Chain Management

Three trade finance experts from Societe Generale join Ben Poole (TMI) in the virtual TreasuryCast studio to discuss critical developments in the trade space that are particularly impactful to corporate treasurers. In this podcast, Isabel Santos, Ariel Emirian and Pierre-Antoine Barreault (Societe...


Citizen Development: The New Productivity Engine for Corporate Treasurers

‘Citizen development’ is about encouraging non-IT professionals to learn software development skills. Here, Dor Haim (Kryon) questions whether, with the roll-out of low-code platforms, treasure...


Managing the Impact of Rising Interest Rates and Inflation

With interest rates rising as central banks try to contain inflation, a difficult balancing act is in progress. The responses of the various monetary policy committees are being watched with a keen eye by treasurers the world over as they consider their next actions. Tarek El-Yafi and Karen Hom (Standard...


Community Impact: Cash and Fixed Income Investing for Good

CNote is a tech-enabled impact investment platform – and a means for finance to be used as a “tool for economic justice”. Its focus on diversity, equity, and inclusion helps corporate and institutional investors use their capital to strengthen underserved communities.  Catherine Berman (CNote)...