June 12, 2017 / 4:21 PM / 5 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. 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