TEXT-Fitch affirms Jpmorgan Offshore Government Liquidity Funds
Dec 19 - Fitch Ratings has affirmed the following offshore money market funds managed by JP Morgan Asset Management (UK) Limited (JPMAM) and JPMorgan Investment Management Inc (JPMIM), subsidiaries of JPMorgan Chase & Co (JPM), as follows: JPMorgan Liquidity Funds - Euro Government Liquidity Fund affirmed at 'AAAmmf' JPMorgan Liquidity Funds - Sterling Gilt Liquidity Fund affirmed at 'AAAmmf' JPMorgan Liquidity Funds - US Dollar Treasury Liquidity Fund affirmed at 'AAAmmf' JPMorgan Liquidity Funds - US Dollar Government Liquidity Fund affirmed at 'AAAmmf' KEY RATING DRIVERS: The main drivers for the affirmations are: --The funds' overall credit quality, liquidity and diversification; --The funds' minimal exposure to interest rate and spread risks; --Maturity profile and available liquidity in line with the rating criteria; --The capabilities and resources of JPMAM and JPMIM as investment advisor. The money market funds' 'AAAmmf' rating reflects the 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 funds seek to maintain a high credit quality by investing exclusively in securities rated at least 'F1' or equivalent and by entering into repurchase agreements with counterparties rated at least 'F1' with appropriate collateral and margining policies. In line with the funds' investment policies, they only invest in government, government agency and supranational securities and repurchase agreements collateralised by such securities. MATURITY PROFILE The funds seek to limit interest rate and spread risk consistent with Fitch's ratings criteria for funds rated 'AAAmmf'. The funds limit weighted average maturity (WAM) and weighted average life (WAL) to 60 days and 120 days, respectively. As of end-November 2012 the funds complied with Fitch's WAM and WAL guidelines. LIQUIDITY PROFILE The funds' additional investment restrictions are aimed at maintaining sufficient levels of daily and weekly liquidity to meet investors' redemption requests. In line with Fitch's rating criteria applicable to money market funds globally, the funds invest at least 10% of total assets in securities maturing overnight or other qualifying assets such as government securities and at least 25% of total assets in securities maturing within seven days or other qualified assets. As these are government funds investing primarily in 'eligible' securities, Fitch considers liquidity levels in these funds exceptionally high. FUND OBJECTIVES The funds seek to achieve a return in line with prevailing money market rates whilst aiming to preserve capital consistent with such rates and to maintain a high degree of liquidity. The funds invest only in short-term eurozone, UK government debt and US Treasuries respectively, along with related government agencies and supranationals and in repurchase agreements with highly rated counterparties, backed by eurozone governments, UK government, US Treasury and government agency collateral. As of end November 2012 the funds had approximately EUR2.2bn, GBP750m, USD1.8bn (Government) and USD38.5bn (Treasuries) in assets under management respectively. INVESTMENT ADVISOR JPMAM is investment advisor to the euro and sterling denominated funds and JPMIM is the investment advisor to the US dollar denominated funds. Both are wholly owned subsidiaries of JPM ('A+'/Stable/'F1'). JPM is a major global provider of custody, clearing and other securities services and one of the world's largest cash managers. Fitch views JPM, JPMAM and JPMIM's investment advisory capabilities, financial and resource commitments, operational controls, corporate governance, and compliance procedures as consistent with the 'AAAmmf' rating assigned to the funds. RATING SENSITIVITY AND SURVEILLANCE The ratings may be sensitive to material changes in the credit quality or market risk profiles of the fund. A material and sustained adverse deviation from Fitch guidelines for any key rating driver could cause the ratings to be downgraded by Fitch. Furthermore, given the funds' primary investment focus on government and government agency securities, the ratings may be sensitive to material adverse changes in sovereign credit quality. Fitch receives weekly fund holdings information and other pertinent fund data from the funds' administrator to conduct surveillance against ratings guidelines and maintain its money market fund ratings. Additional information is available at www.fitchratings.com. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings. The sources of information used to assess this rating were the public domain, JPMAM, JPMIM and JP Morgan Bank Luxembourg S.A. (the fund's custodian). Applicable criteria, 'Global Money Market Fund Rating Criteria', dated 29 March 2012 are available at www.fitchratings.com. Applicable Criteria and Related Research: Global Money Market Fund Rating Criteria
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