Dec 19 - Fitch Ratings has affirmed the 'AAAmmf' rating assigned to JPMorgan
Prime Money Market Fund managed by JP Morgan Investment Management, Inc.
(JPMIM), a wholly owned indirect subsidiary of JPMorgan Chase & Co.
KEY RATING DRIVERS:
--The fund's overall credit quality and diversification;
--Minimal exposure to interest rate and spread risks;
--Maturity profile and available liquidity in line with the rating criteria;
--The capabilities and resources of JPMIM as investment advisor.
The 'AAAmmf' money market fund rating reflect the fund's extremely strong
capacities to achieve the investment objectives of preserving principal and
providing shareholder liquidity through limiting credit, market and liquidity
FUND CREDIT QUALITY/DIVERSIFICATION
The fund maintains a high credit quality portfolio by investing exclusively in
securities rated at least 'F1' or equivalent. The fund seeks to mitigate
counterparty risk arising from investments in repurchase agreements by
transacting with counterparties rated at least 'F1' or equivalent. The fund has
the ability to enter into overnight and term repurchase agreements backed by a
variety of collateral. In line with the fund's investment policy, the value of
collateral exceeds the value of the repurchase agreement by a specified
overcollateralization rate. Fitch views these policies as consistent with the
At the time of the affirmation the fund's Portfolio Credit Factor (PCF) met
Fitch's 'AAAmmf' rating criterion of 1.50 or less. The PCF is a risk-weighted
measure of the fund's assets that accounts for the credit quality and maturity
profile of the fund's securities.
The fund limits its weighted average maturity (WAM) and weighted average life
(WAL) to 60 days and 120 days, respectively. As of Nov. 30, 2012, the fund had a
WAM of 56 days and a WAL of 75 days. These parameters are consistent with
Fitch's ratings criteria for funds rated 'AAAmmf'.
The fund's additional investment restrictions are aimed at maintaining
sufficient levels of daily and weekly liquidity to meet investors' redemption
requests. In line with amended Rule 2a-7 under the Investment Company Act of
1940, which governs the investment activities and operations of U.S. money
market funds, the fund must invest at least 10% of total assets in daily liquid
assets and at least 30% of total assets in weekly liquid assets. As of Nov. 30,
2012, the fund met the liquidity requirements mandated by Rule 2a-7 and was also
in line with the liquidity guidelines outlined in Fitch's rating criteria.
The fund aims to provide the highest possible level of current income while
still maintaining liquidity and preserving capital. The fund pursues its
investment objectives by investing in a diversified, high-credit quality
portfolio of short-term debt securities including U.S. government and government
agency securities, commercial paper, asset-back commercial paper and other debt
obligations of U.S. and foreign corporations, certificates of deposits, time
deposits and repurchase agreements. As of Nov. 30, 2012, the fund had
approximately $109.6 billion in assets under management.
JPMIM is a wholly owned subsidiary of JPMorgan Asset Management Holdings Inc.,
which is a wholly owned subsidiary of JPMorgan Chase & Co. ('A+/F1'), a bank
holding company. Fitch views JP Morgan Chase & Co.'s and JPMIM's investment
advisory capabilities, financial and resource commitments, operational controls,
corporate governance, and compliance procedures as consistent with 'AAAmmf'
rating assigned to the fund. As of Sept. 30, 2012, JPMIM, together with other
asset management divisions of JP Morgan Chase & Co., had approximately $1.4
trillion in assets under management worldwide.
RATING SENSITIVITY AND SURVEILLANCE:
The rating may be sensitive to material changes in the credit quality or market
risk profiles of the fund. A material adverse deviation from Fitch guidelines
for any key rating driver could cause the rating to be lowered by Fitch. Given
the fund's primary investment focus on domestic and foreign issuers in the
financial sector, the ratings may be sensitive to material adverse changes in
the financial sector globally.
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 rating.
Viktoria Baklanova, Ph.D, CFA
One State Street Plaza
New York, NY 10004
Gwen Fink-Stone, J.D.
Media Relations: Brian Bertsch, New York, Tel: +1 212-908-0549, Email:
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.
Applicable Criteria and Related Research:
--'Global Money Market Fund Rating Criteria', March 29, 2012;
--'2013 Outlook: Global Money Market Funds', Dec. 12, 2012.
Applicable Criteria and Related Research:
Global Money Market Fund Rating Criteria
2013 Outlook: Global Money Market Funds
ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS.
PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK:
here. IN ADDITION, RATING
PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND
METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF
CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE
AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF
CONDUCT' SECTION OF THIS SITE.
Code of Ethics
Copyright © 2012 by Fitch, Inc., Fitch Ratings Ltd. and its subsidiaries.
Ratings and Research
Products and Services
FITCH AFFIRMS JPMORGAN PRIME MONEY MARKET FUND AT 'AAAMMF'