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TEXT-Fitch affirms Jpmorgan Offshore Liquidity Funds At 'AAAmmf'
December 19, 2012 / 3:55 PM / 5 years ago

TEXT-Fitch affirms Jpmorgan Offshore Liquidity Funds At 'AAAmmf'

Dec 19 - Fitch Ratings has affirmed three 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 Liquidity Fund affirmed at 'AAAmmf'
JPMorgan Liquidity Funds - Sterling Liquidity Fund affirmed at 'AAAmmf'
JPMorgan Liquidity Funds - US Dollar Liquidity Fund affirmed at 'AAAmmf'

KEY RATING DRIVERS:
The main drivers of 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 'AAAmmf' rating reflects the funds' 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 agreement with counterparties
rated at least '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 end-November 2012, each 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 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'. 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 of end-November 2012, the funds complied with Fitch's guidelines for
minimum levels of overnight and weekly liquidity.

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 pursue their investment objectives by
investing in diversified portfolios of short-term money market instruments. The
funds invest in a variety of money market instruments including bank deposits,
commercial paper (including asset-backed), repurchase agreements (repo) and
corporate and government debt.

As of end-November 2012, the funds had EUR13.8bn, GBP9.1bn and USD74bn 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 fund. 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. As of 30 September 2012, assets under management were USD1.38trn,
including USD483bn in short-term fixed income. Fitch views JPM and JPMAM and
JPMIM's investment advisory capabilities, financial and resource commitments,
operational controls, corporate governance, and compliance procedures as
consistent with the 'AAAmmf' ratings 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 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.

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
2013 Outlook: Global Money Market Funds

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