Fitch Affirms JPMorgan Prime Money Market Fund at 'AAAmmf'
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. (NYSE: JPM).
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 risk.
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 assigned rating.
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.
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
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