Fitch Affirms Western Asset Institutional Cash Reserves, Ltd.

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NEW YORK--(BUSINESS WIRE)--

Fitch Ratings has affirmed the 'AAAmmf' rating assigned to Western Asset Institutional Cash Reserves, Ltd., a Cayman Islands-incorporated prime money market fund managed by Legg Mason Partners Fund Advisor, LLC (LMPFA). Western Asset Management Company (Western Asset) is the fund's subadviser and provides day-to-day portfolio management. Both LMPFA and Western Asset are wholly owned subsidiaries of Legg Mason, Inc. LM.

The fund was previously a feeder fund that invested in securities in an underlying mutual fund, Prime Cash Reserves Portfolio. As of close of business on Aug. 26, 2016 and going forward, the fund will be managed as a separate standalone constant net asset value (CNAV) fund, with substantially unchanged investment objectives and strategies.

As such, the fund will continue to seek to invest its assets in a manner consistent with the rules as to the credit quality, maturity and liquidity of investments that are applicable to U.S. money market funds under Rule 2a-7 of the U.S. Investment Company Act of 1940 (the Act). However, the fund is not subject to the Act and will not convert to a floating net asset value and will not make provisions for fees and gates tied to weekly liquidity triggers, as would have been required under Rule 2a-7 money fund reform had the fund remained a feeder fund of the Prime Cash Reserves Portfolio.

KEY RATING DRIVERS

The 'AAAmmf' rating reflects:

--The fund's overall credit quality and diversification;

--Low exposure to interest rate and spread risks;

--Holdings of daily and weekly liquid assets consistent with shareholder profile and concentration;

--Maturity profile consistent with Fitch's 'AAAmmf' rating criteria.

PORTFOLIO CREDIT QUALITY/DIVERSIFICATION

The fund seeks to maintain a diversified, high credit quality portfolio consistent with Fitch's criteria for 'AAAmmf' rated MMFs, by investing exclusively in first-tier rated securities with limited exposure to individual issuers. The fund has approximately $2.8 billion of assets under management as of Oct. 14, 2016.

The fund's Portfolio Credit Factor (PCF) is in line with Fitch's 'AAAmmf' rating criteria of 1.50 or less as of Oct. 14, 2016. The PCF is a risk-weighted measure of a fund's portfolio assets that accounts for the credit quality and maturity profile of a fund's portfolio.

MATURITY PROFILES

The fund seeks to limit interest rate and spread risk by maintaining a weighted average maturity (WAM) below 60 days. The fund invests in securities that, at the time of purchase, are treated as having remaining maturities of 397 days or less.

LIQUIDITY PROFILES

The fund seeks to maintain sufficient levels of daily and weekly liquidity to meet investors' flows. Specifically, the fund invests at least 10% of its total assets in securities offering daily liquidity, and at least 30% in securities maturing within seven days, or other qualifying liquid assets.

FUND OBJECTIVES

The fund seeks to provide current income in line with prevailing money market rates, while aiming to preserve capital consistent with these rates and to maintain high degrees of liquidity.

INVESTMENT ADVISOR

As of June 30, 2016, LMPFA had total assets under management of approximately $210.8 billion. Western Asset is the subadvisor to the fund and provides the day-to-day portfolio management of the fund. As of June 30, 2016, total assets under management by Western Asset and its supervised affiliates were approximately $452.5 billion. Fitch views Legg Mason and Western Asset'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, 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 rating being placed on Rating Watch Negative or downgraded.

SURVEILLANCE

Fitch will receive fund holdings information and other pertinent fund data from the fund's administrator - LMPFA - to conduct surveillance against ratings guidelines and to maintain the MMF rating.

Additional information is available at www.fitchratings.com

Applicable Criteria

Global Money Market Fund Rating Criteria (pub. 10 Dec 2015)

https://www.fitchratings.com/site/re/874565

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1014988

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1014988

Endorsement Policy

https://www.fitchratings.com/regulatory

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Copyright (c) 2016 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.

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Fitch Ratings
Primary Analyst
Ralph Aurora
Senior Director
+1-212-908-0528
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY, 10004
or
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Greg Fayvilevich
Senior Director
+1-212-908-9151
or
Committee Chairperson
Alastair Sewell
Senior Director
+ 44 203 530 1147
or
Media Relations:
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hannah.james@fitchratings.com

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