RPT-Fitch Affirms JPM Euro Liquidity Fund; Withdraws JPM Euro Government Liquidity Fund Rating on Merger

Mon Feb 17, 2014 4:54am EST

Feb 17 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed JPMorgan Euro Liquidity Fund's (the prime fund) 'AAAmmf' rating following its merger with the JPMorgan Euro Government Liquidity Fund (the government fund). Fitch has simultaneously withdrawn the government fund's 'AAAmmf' rating as it will cease to exist. Fitch will no longer provide ratings or analytical coverage of the government fund. The funds are managed by JP Morgan Asset Management (UK) Limited (JPMAM). The assets of the government fund will merge into the prime fund on 14 February 2014, as announced to shareholders to 16 December 2013. Fitch does not expect the merger to cause any material distortion to the composition of the prime fund given the relatively small size of the government fund (EUR700m) relative to the prime fund (EUR10.8bn), as of 31 January 2014. Furthermore the assets from the government fund are of high quality (high quality government bonds and repurchase agreements backed by such bonds) and will therefore have no negative effect on the credit, market or liquidity risk of the prime fund.

KEY RATING DRIVERS:

The main drivers of the affirmation of the prime fund's rating are:

--The fund's overall credit quality, liquidity and diversification

--The fund's minimal exposure to interest rate and spread risks

--Maturity profile and available liquidity in line with Fitch's rating criteria

--The capabilities and resources of JPMAM as investment advisor The 'AAAmmf' rating reflects the prime fund's extremely strong capacity to achieve the investment objectives of preserving principal and providing shareholder liquidity through limiting credit, market and liquidity risk.

INVESTMENT ADVISOR

JPMAM is a wholly owned subsidiary of JPMorgan Chase & Co (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. As of 31 December 2013, assets under management were USD1.6trn, including USD505bn in short-term fixed income. Fitch views JPM and JPMAM's investment advisory capabilities, financial and resource commitments, operational controls, corporate governance, and compliance procedures as consistent with the 'AAAmmf' rating assigned to the fund.

RATING SENSITIVITIES

The rating 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 rating to be downgraded by Fitch. Furthermore, given the fund's primary investment focus on the financial sector, the rating may be sensitive to material adverse changes in the sector globally.

SURVEILLANCE

Fitch receives weekly fund holdings information and other pertinent fund data from the fund's administrator to conduct surveillance against ratings guidelines and maintain its money market fund ratings.

Fitch continues to maintain ratings on the following sub-funds of the JPMorgan Liquidity Fund SICAV:

JPMorgan Liquidity Funds - Sterling Liquidity Fund: 'AAAmmf'

JPMorgan Liquidity Funds - Sterling Gilt Liquidity Fund: 'AAAmmf'

JPMorgan Liquidity Funds - US Dollar Liquidity Fund: 'AAAmmf'

JPMorgan Liquidity Funds - US Dollar Government Liquidity Fund: 'AAAmmf'

JPMorgan Liquidity Funds - US Dollar Treasury Liquidity Fund: 'AAAmmf'