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Fitch Rates State Street US Treasury Liquidity Fund 'AAAmmf'
June 12, 2017 / 4:21 PM / 3 months ago

Fitch Rates State Street US Treasury Liquidity Fund 'AAAmmf'

(The following statement was released by the rating agency) LONDON, June 12 (Fitch) Fitch Ratings has assigned State Street US Treasury Liquidity Fund, a short-term money market fund managed by State Street Global Advisors Limited a Money Market Fund Rating of 'AAAmmf'. The fund is a sub-fund of the Irish-domiciled umbrella fund, State Street Global Advisors Liquidity PLC. KEY RATING DRIVERS The 'AAAmmf' rating reflects: -The fund's overall credit quality and diversification; -Low exposures to interest rate and spread risks; -Holdings of daily and weekly liquid assets consistent with shareholder profiles and concentrations; -Maturity profile consistent with Fitch's 'AAAmmf' rating criteria. Portfolio Credit Quality/Diversification The fund is newly launched, and commences operations on 12 June 2017. Fitch has relied on an expected portfolio composition to conduct its analysis. The fund will seek to maintain a high credit quality, consistent with Fitch's money market fund rating criteria at the 'AAAmmf' level, by investing in a range of fixed- and floating-rate instruments issued or guaranteed by the U.S. government. These instruments may include, but are not limited to, treasury bills, treasury coupons/bullets and bonds that may be issued by the U.S. Treasury as well as repurchase agreements backed by such securities with counterparties with a minimum rating of 'F2' or equivalent. Maturity Profile The fund will seek to limit interest rate and spread risk by maintaining weighted average maturities (WAM) and weighted average lives (WAL) at or below 60 days and 120 days, respectively. All investments will have a residual maturity of up to and including 397 days. Liquidity Profile The fund will seek to maintain sufficient liquidity to meet investors' redemption requests. No material investor concentrations in the fund are expected. Fund Objectives The fund seeks to maintain a high level of liquidity, preserve capital and stability of principal expressed in USD and, consistent with those objectives, earn current income and aims to provide a return in line with money market rates. Investment Advisor State Street Global Advisors Limited is a wholly-owned subsidiary of State Street Global Advisors Holdings Inc., whose ultimate parent entity is State Street Corporation (AA-/Stable/F1+). State Street Corporation is a global institution that engages in a wide range of financial services. Fitch views State Street Corporation's and State Street Global Advisors Limited's investment management capabilities and procedures as consistent with the 'AAAmmf' ratings assigned to the fund. As of 31 December 2016, State Street Global Advisors had over USD2.4 trillion assets under management. RATING SENSITIVITIES The ratings may be sensitive to material changes in the credit quality, market risk, and/or liquidity profile of the fund. Temporary deviations from Fitch's criteria need not automatically result in a rating change, provided the fund manager is able to address them with credible near-term remedial actions. However, material adverse and continued deviations from Fitch's guidelines for any key rating driver may lead to any of the ratings being placed on Rating Watch Negative or downgraded. SURVEILLANCE After a limited on-boarding period, Fitch will receive fund holdings information and other pertinent fund data from State Street Fund Services (Ireland) Ltd (the administrator) to conduct surveillance against ratings guidelines and to maintain the MMF ratings. For additional information about Fitch money market fund ratings guidelines, see the criteria referenced below Contact: Primary Analyst Evangelia Gkeka Associate Director +44 20 3530 1829 Fitch Ratings Ltd 30 North Colonnade London E14 5GN Secondary Analyst Minyue Wang, CFA Analyst +44 20 7530 1406 Committee Chairperson Ralph Aurora Senior Director +1 212 908 0528 Media Relations: Rose Connolly, London, Tel: +44 203 530 1741, Email: rose.connolly@fitchratings.com. Additional information is available on www.fitchratings.com Applicable Criteria Global Money Market Fund Rating Criteria (pub. 27 Apr 2017) here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here Solicitation Status here#solicitation Endorsement Policy here 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 DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT 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. DIRECTORS AND SHAREHOLDERS RELEVANT INTERESTS ARE AVAILABLE here. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. Copyright © 2017 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch’s factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third- party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch’s ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed. The information in this report is provided “as is” without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001

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