TEXT - Fitch affirms State Street Global Advisors
Jan 23 - Fitch Ratings has affirmed the following Ireland-domiciled money market funds managed by State Street Global Advisors (SSgA) at 'AAAmmf': State Street Global Advisors Liquidity PLC - SSgA EUR Liquidity Fund State Street Global Advisors Liquidity PLC - SSgA GBP Liquidity Fund State Street Global Advisors Liquidity PLC - SSgA USD Liquidity Fund KEY RATING DRIVERS: The main drivers for the rating affirmations are: -- The portfolios' overall strong credit quality and diversification, -- Short maturity profile, -- Minimal exposure to interest rate and spread risks, -- High levels of overnight and one-week liquidity, and, -- The capabilities and resources of SSGA as investment advisor. The money market funds' 'AAAmmf' ratings reflect the funds' extremely strong capacity to achieve their 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 'A'/'F1' or equivalent and by entering into repurchase agreements with counterparties rated at least 'A'/'F1' with appropriate collateral and margining policies. The funds limit their exposure to individual obligors and counterparties rated 'F1+' or equivalent to a maximum of 10%, and issuers rated 'F1' or equivalent to a maximum of 5%. As of 2 January 2013, each fund's Portfolio Credit Factor (PCF) was consistent with Fitch's 'AAAmmf' rating criterion of 1.50 or less. The PCF is a risk-weighted measure of the funds' assets that accounts for the credit quality and maturity profile of the funds' securities. MATURITY PROFILE The funds seek to limit interest rate and spread risk consistent with Fitch's ratings criteria for funds rated 'AAAmmf'. Each fund limits its weighted average maturity (WAM) and weighted average Life (WAL) to 60 days and 120 days, respectively. As of 2 January 2013 the funds WAM and WAL was in line with Fitch's 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 of 2 January 2013 the funds overnight and weekly liquidity levels were in line with Fitch's guidelines. FUND OBJECTIVES The funds seek to maintain a high level of liquidity, preserve capital and stability of principal expressed in the fund's functional currency and, consistent with those objectives, earn current income and aims to provide a return in line with money market rates. The funds pursue their investment objectives by investing in diversified portfolios of short-term money market instruments including repurchase agreements backed by highly rated government collateral, time deposits, commercial paper (including asset-backed), certificates of deposit, corporate bonds and notes and government and government agency debt. As of 2 January 2013 the funds had EUR5.7bn, GBP2.5bn and USD16.2bn in assets under management respectively. INVESTMENT ADVISOR SSgA, the funds' investment advisor, is a wholly owned subsidiary of State Street Corporation ('A+'/Stable/'F1+'). State Street Corporation is a global institution that engages in a wide range of financial services, including asset servicing, asset management, research, and trading. The credit research and investment teams have been broadly stable. Fitch views State Street Corporation and SSgA's investment advisory capabilities, financial and resource commitments, operational controls, corporate governance, and compliance procedures as consistent with the 'AAAmmf' ratings assigned to these 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 lowered by Fitch. Material changes to the funds maturity profile and/or credit profile that resulted in a PCF exceeding 1.5 for a prolonged period will ultimately have negative rating implication. Furthermore, given the funds' primary investment focus on the financial sector, the ratings may be sensitive to material adverse changes in the sector globally. 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.