ECONOMYNEXT – Ostrum SRI Money Plus Fund’s international fund credit quality rating (FCQR) and fund market risk sensitivity rating (MRSR) has been affirmed at ‘Af’/’S1’ by Fitch Ratings.
“The FCQR reflects the overall credit profile and vulnerability to losses from defaults, and the MRSR reflects the overall sensitivity to market risk,” Fitch Ratings said.
The ‘Af’ FCQR indicates high underlying credit quality (or low vulnerability to default).
The ‘S1’ MRSR indicates very low sensitivity to market risk.
The full statement in reproduced below:
Fitch Affirms Ostrum SRI Money Plus at ‘Af’/’S1’
Fitch Ratings – London: Fitch Ratings has affirmed Ostrum SRI Money Plus Fund’s International Fund Credit Quality Rating (FCQR) and Fund Market Risk Sensitivity Rating (MRSR) at ‘Af’/’S1’. The fund is managed by Ostrum Asset Management
The FCQR reflects the overall credit profile and vulnerability to losses from defaults, and the MRSR reflects the overall sensitivity to market risk.
Fitch used actual portfolio holdings received from Ostrum Asset Management as of 31 March 2026 and reviewed the fund’s investment policy and governing documentation (prospectus and approved guidelines), to complete the analysis for the rating action.
KEY RATING DRIVERS
The ratings reflect Fitch’s review of the fund’s actual portfolio, investment and credit guidelines, actual credit quality and diversification, and Ostrum’s asset management capabilities. The ‘Af’ FCQR indicates high underlying credit quality (or low vulnerability to default). The ‘S1’ MRSR indicates very low sensitivity to market risk. FCQRs and MRSRs do not address the probability of extraordinary liquidity management measures or the fund’s redemption risk.
Portfolio Credit Quality: The portfolio’s weighted average rating factor (WARF) primarily drives the FCQR. The WARF reflects the credit ratings and remaining term to maturity of the securities, weighted by market value. The portfolio’s 0.55 WARF falls below 0.9 threshold, corresponding to ‘AAf’ WARF-implied FCQR. The fund’s investment guidelines provide it with flexibility to increase its allocation to lower-quality, unrated or longer-dated securities. Accordingly, Fitch has calibrated the ratings to the fund’s investment guidelines, resulting in an FCQR of ‘Af’ (range of 0.9-2.1).
A small portion of the portfolio can be invested in securities not rated by a globally recognised credit rating agency. The asset manager performs a credit analysis on all the entities and deems these entities to be equivalent to investment-grade and part of its money market fund investable universe. Following its criteria, Fitch assumes a ‘CCC’ rating for these assets for the purpose of its WARF calculation, resulting in a material WARF contribution from these securities versus other securities in the portfolio.
Permitted investments include private or public entities in the Organisation for Economic Co-operation and Development (OECD) zone that issue negotiable debt securities or short-term bonds denominated in euros or any other currency of the OECD zone with maturities up to two years. The fund is permitted to invest in derivatives.
Market Risk: The fund’s ‘S1’ MRSR indicates very low sensitivity to market risk. The fund’s market risk factor (MRF), which is Fitch’s proprietary measure of market risk sensitivity under the Bond Fund Rating Criteria, was within the ‘S1’ MRSR range. The portfolio’s MRF of 0.31 falls below the 0.2 threshold, corresponding to a ‘S1’ MRSR.
The fund’s weighted average maturity (WAM), which measures sensitivity to interest-rate risk, and weighted average life (WAL), which measures sensitivity to spread risk, were in line with the fund’s investment guidelines. The fund maintains a WAM of no more than six months and a WAL of no more than 12 months. The fund uses interest rate swaps to hedge its exposure to interest rates. During the review period from October 2024 to March 2026, the fund had risk exposure to interest rate swaps of less than 1% of the total portfolio.
Fund Profile: Fitch views the legal and regulatory frameworks of the fund as satisfactory. The fund is a fonds communs de placement, that falls under SICAV directive and is domiciled in France. The fund is authorised and supervised by the Autorité des Marchés Financiers as a money market fund.
The fund’s investment objective is to achieve an annualised performance superior to that of the capitalised euro short-term rate over its recommended minimum investment period, by integrating into its management an approach that aims to select assets and financial instruments that respect environmental, social/societal and governance responsibility criteria, after deduction of the fixed operating and management costs applicable to each class of units of the fund. The fund’s total assets were USD19.6 billion at end-March 2026.
Participant Profile: The fund is available to retail and institutional investors subject to minimum investment requirements that vary depending on the specific unit of class being purchased.
Stress Tests: Fitch conducted stress tests as outlined in its Bond Fund Rating Criteria, including concentration and credit barbelling stresses, to test the sensitivity of the fund’s rating against potential changes in the portfolio credit quality. There was no material deterioration in the WARF or MRF of the portfolio because of these stressed scenarios, supporting Fitch’s view that the portfolio’s credit quality is consistent with criteria guidelines at the assigned rating.
Portfolio Composition: Fitch deems the overall portfolio quality to be sound and concentrations are managed prudently. At 31 March 2026, over 62% of the fund’s portfolio was invested in certificates of deposit and commercial papers, and approximately 29% of the portfolio’s assets mature within 31 and 90 days. The portfolio did not use any leverage at the review date.
Derivatives: The fund is permitted to use derivatives for hedging purposes. At the time of Fitch’s analysis, the pool employed interest rate swaps representing 0.02% of net assets.
Surveillance: Fitch receives monthly fund portfolio holdings information including credit quality, market value and duration of the individual securities to conduct surveillance against the Bond Fund Rating Criteria.
INVESTMENT MANAGER
Ostrum Asset Management is an affiliate of Natixis Investment Managers International, the asset management business line of Natixis S.A. (A+/Stable/F1). Ostrum Asset Management had EUR388 billion of assets under management at end March 2026. Ostrum Asset Management is registered with Autorité des Marchés Financiers in France. It provides comprehensive asset management and dedicated investment services, primarily focusing on active fixed-income, equity, multi-asset, and insurance-related investment strategies.
At 31 March 2026, Ostrum Asset Management had over EUR384 billion in assets under management. They include insurance solutions, fixed-income, equities, and multi-asset strategies. As an affiliate of Natixis Investment Managers, it caters primarily to institutional investors (such as insurers, pension funds, and corporations) by providing tailored investment solutions and services.
Fitch views the investment management capabilities, resource commitment, operational controls, compliance and oversight processes of the investment advisor as appropriate for the assigned ratings and investment strategy.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade
The ratings are sensitive to material changes in the credit quality and maturity profile of the fund. A material decrease in portfolio credit quality or increase in security maturities could result in a downgrade of the FCQR if the fund’s resulting WARF exceeds 2.1 and/or downgrade of the MRSR if the fund’s MRF exceeds 2.0 threshold. However, Fitch believes this is unlikely in the near term absent significant credit migration, or a change in the fund’s investment strategy.
Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade
The FCQR could be upgraded if the fund changes its investment strategy and introduces more conservative limits on credit and ceases to invest in unrated assets. The MRSR is rated at the highest possible level and cannot be upgraded.
SOURCES OF INFORMATION
The sources of information used to assess these ratings include the investment policy, portfolio holdings at 31 March 2026, and information from the investment manager. (Colombo/Jun15/2026)