TEXT-Fitch: changes to RBS global treasury funds will not affect 'AAAmmf' ratings

Tue Jan 22, 2013 9:39am EST

Jan 22 - Fitch Ratings says that the announced changes to Global Treasury
Funds plc (GTF), managed by RBS Asset Management Limited, will not have any
impact on the 'AAAmmf' ratings of the umbrella's funds. GTF has therefore added
its name to the increasing number of European money market funds (MMF), which
have, or are in the process of, implementing changes to allow funds to maintain
a stable net asset value per share in a negative yield environment.

GTF's shareholders have agreed to amendments to the Articles of Association
allowing the directors to automatically redeem shares of the distribution share
class, when they believe that it is in shareholders' best interest.

Shares will be redeemed pro-rata in a sufficient number to allow the fund to
maintain a stable net asset value per share in a negative yield environment.
Through this mechanism, the net asset value of each share remains stable, but
the number of shares held may be reduced in the event of the fund suffering a
negative net yield.

Fitch has observed similar share class amendments in other rated fund complexes
(see for example 'Fitch: Amendments to Morgan Stanley Funds' Structure Will Not
Affect 'AAAmmf' Rating, dated 28 December 2012 at www.fitchratings.com).

In addition, GTF has amended the funds articles to align them with ESMA
guidelines for MMF 19 May 2010. As a result, the defined investment objective
will be to maintain principle and provide returns in line with the money market
rate. The specific reference to providing daily liquidity to shareholders has
been removed.

Negative MMF yields stemming from the short-term market rate environment would
not be a negative rating factor in itself for Fitch-rated MMFs, including those
rated 'AAAmmf' (see 'Fitch: Potentially Negative Euro Yields Won't Impact MMF
Ratings' dated 18 September 2012 at www.fitchratings.com). Fitch acknowledges
that MMF yields are consistent with prevailing safety and liquidity costs,
commensurate with alternative high-quality short-term instruments. Fitch's MMF
ratings are a ranking of funds on the basis of their liquidity, market and
credit risk profile.

Fitch affirmed all sub funds within the GTF umbrella at 'AAAmmf' on 13 July
2012. The agency receives weekly fund holdings information and other pertinent
fund data from the funds' administrator to conduct surveillance against ratings
guidelines and maintain its MMF ratings.

At end-December 2012, the Fitch rated sub-funds had the following in assets
under management, for the GTF Euro Fund EUR1.5bn, GTF Dollar Fund USD3.6bn, and
for the GTF Sterling Fund GBP5.7bn.

Additional information is available at www.fitchratings.com.
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