OREANDA-NEWS. August 04, 2015. Fitch Ratings has affirmed 48 money market funds (MMFs), following a regularly scheduled review of the sector. The MMFs affirmed include 46 U.S.-based MMFs, regulated by the Securities and Exchange Commission (SEC) under rule 2a-7 (Rule 2a-7), as well as two Cayman Islands-based MMFs that invest in USD-denominated securities. Collectively, the 48 MMFs had approximately \\$609.1 billion of assets under management as of May 2015. A complete list of the 48 affirmed MMFs can be found at the bottom of this release, or by following the link below. Monthly portfolio risk metrics for each MMF are available at the following link:

https://www.fitchratings.com/web_content/pages/fam/mmf/fund-surveillance.htm

KEY RATING DRIVERS

The main rating drivers for the affirmations are:
--The MMF portfolios' overall credit quality and diversification;
--Low exposure to interest rate and spread risks;
--Holdings of daily and weekly liquid assets consistent with shareholder profiles and concentrations;
--Maturity profiles meeting Fitch's rating criteria;
--The capabilities and resources of the respective investment advisors.

PORTFOLIO CREDIT QUALITY/DIVERSIFICATION

Consistent with Fitch's MMF rating criteria, the reviewed funds seek to maintain high credit quality portfolios by investing exclusively in short-term securities rated at least 'F1' by Fitch or equivalent. MMFs rated 'AAmmf' and 'Ammf' may elect to invest a small percent of their assets in securities rated 'F2' by Fitch or equivalent.

These MMFs manage their portfolios to limit their exposures to individual issuers at 10% of the fund's assets, with no more than 5% for those above seven days in tenor. Minor and temporary deviations from this parameter may occur from time to time, mainly due to seasonal cash outflows. The funds also limit their individual repurchase agreement (repo) exposures to individual counterparties to 25% of total fund's assets, provided the counterparties are rated 'A' or higher and that such repos are fully collateralized by high credit quality and liquid government securities. MMFs also limit their exposure to government agencies at 35% of assets, with exposures above 35% limited to short-dated securities. In a couple of instances in recent months, certain government MMFs had exposures to the Federal Home Loan Banks slightly in excess of Fitch criteria. This was driven primarily by the constrained supply of government securities that the funds can invest in and was subsequently remedied.

The reviewed prime MMFs' Portfolio Credit Factor (PCF), which is a risk-weighted measure that considers the credit quality and maturity profile of the portfolio securities, generally met Fitch's 'AAAmmf' rating criterion of 1.50 or less. A number of funds have temporarily breached this parameter in the past year, although all have maintained PCF below 1.50 over the last six months, except for the Federated Prime Cash Obligations fund which had minor breaches recently ranging 1.52 - 1.58. Breaches of the PCF metric are typically driven by longer-dated bank exposures, which receive a higher risk weight.

Small, temporary deviations from Fitch's rating criteria will not necessarily trigger a rating action on the affected MMF, provided any deviations do not represent a risk to fund investors and a credible and achievable remediation plan is in place.

MATURITY PROFILES

The reviewed MMFs seek to limit interest rate and spread risk by maintaining their weighted average maturity (WAM) and weighted average life (WAL) below 60 days and 120 days, respectively. These funds also limit the maturity date of any single investment to 397 days with the exception of floating rate securities issued by the U.S. government or government agencies, which could have maturities as long as 730 days. Portfolios and/or individual securities maturity limits may be lower, in line with the funds' or asset managers' investment policy and depending on issuers' creditworthiness.

LIQUIDITY PROFILES

The funds seek to maintain sufficient levels of daily and weekly liquidity to meet investors' redemption requests. Specifically, taxable MMFs rated 'AAAmmf' invest at least 10% of total assets in securities offering daily liquidity and at least 25% of total assets in securities providing weekly liquidity in line with Fitch's rating criteria. Tax-exempt MMFs invest at least 25% of their assets in securities offering weekly liquidity, consistent with Fitch's MMF rating criteria. The funds fully met the respective liquidity targets as of the review date. In limited circumstances, some funds have temporarily deviated from Fitch's liquidity guidelines due to outflows, although liquidity levels were restored in a timely manner.

FUNDS' OBJECTIVES

These MMFs seek to maximize current income to the extent consistent with the preservation of principal and timely liquidity through limiting credit, market and liquidity risk.

INVESTMENT ADVISORS

Fitch views the investment advisory capabilities, resource commitment, operational controls, corporate governance, and compliance procedures of the respective fund's investment advisors as consistent with the ratings assigned to the funds.

MONEY FUND REFORM

Fitch's ratings review reflects the current regulatory structure of U.S. MMFs. On July 23, 2014 the SEC voted to adopt rule changes to money fund regulations under Rule 2a-7. Under the new rules some money funds would be required to float their net asset values (NAV) and some would have the ability to impose liquidity fees and/or redemption gates at a time of stress. The SEC has provided the industry two years to implement these structural changes.

Given the long implementation period for the reforms, Fitch's affirmation of rated money funds takes into account the current structure and operations of money funds. So far there have not been material outflows from money funds following adoption of the reforms, but Fitch continues to monitor shareholder flows, as well as funds' liquidity and portfolios. The funds' ratings may be sensitive to material changes in the credit quality, market risk, and/or liquidity profiles of the funds, or drastic changes in shareholder asset flows.

RATING SENSITIVITIES

The ratings may be sensitive to material changes in the credit quality, market risk, and/or liquidity profiles of the funds. Temporary deviations from Fitch's criteria need not automatically result in rating changes, 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 the rating being placed on Rating Watch Negative or downgraded.

SURVEILLANCE

Fitch receives weekly fund holdings information and other pertinent fund data from the funds' administrators and managers to conduct surveillance against ratings guidelines and maintain its money market fund ratings.
Surveillance data for the funds is available at https://www.fitchratings.com/web_content/pages/fam/mmf/fund-surveillance.htm

For additional information about Fitch's MMF ratings guidelines, please review the criteria referenced below.

Fitch Affirms the following:

--AllianceBernstein Exchange Reserves at 'AAAmmf';
--AllianceBernstein Government Reserves MMF at 'AAAmmf';
--BMO Government Money Market Fund at 'AAAmmf';
--BMO Prime Money Market Fund at 'AAAmmf';
--BofA Government Plus Reserves at 'AAAmmf';
--BofA Government Reserves at 'AAAmmf';
--BofA Money Market Reserves at 'AAAmmf';
--BofA Municipal Reserves at 'AAAmmf';
--BofA Treasury Reserves at 'AAAmmf';
--Daily Assets Fund Institutional at 'AAAmmf';
--Dreyfus Cash Management at 'AAAmmf';
--Dreyfus Institutional Cash Advantage Fund at 'AAAmmf';
--Dreyfus Institutional Reserves Money Fund at 'AAAmmf';
--Dreyfus Institutional Reserves Treasury Fund at 'AAAmmf';
--Dreyfus Institutional Reserves Treasury Prime Fund at 'AAAmmf';
--Federated Government Obligations Fund at 'AAAmmf';
--Federated Municipal Obligations Fund at 'Ammf';
--Federated Prime Cash Obligations Fund at 'AAAmmf';
--Federated Prime Obligations Fund at 'AAAmmf';
--Federated Tax-Free Obligations Fund at 'AAAmmf';
--First American Prime Obligations Fund at 'AAAmmf';
--First American Treasury Obligations Fund at 'AAAmmf';
--First American US Treasury Money Market Fund at 'AAAmmf';
--Goldman Sachs Financial Square Prime Obligations Fund at 'AAAmmf';
--JPMorgan Prime Money Market Fund at 'AAAmmf';
--JPMorgan U.S. Government Money Market Fund at 'AAAmmf';
--Milestone Treasury Obligations Fund at 'AAAmmf';
--Morgan Stanley Institutional Liquidity Fund - Money Market Portfolio at 'AAAmmf';
--Morgan Stanley Institutional Liquidity Fund - Prime Portfolio at 'AAAmmf';
--Morgan Stanley Institutional Liquidity Fund - Tax Exempt Portfolio at 'AAAmmf';
--Short-Term Investments Trust Government & Agency Portfolio at 'AAAmmf';
--Short-Term Investments Trust Liquid Assets Portfolio at 'AAAmmf';
--Short-Term Investments Trust STIC Prime Portfolio at 'AAAmmf';
--Short-Term Investments Trust Treasury Portfolio at 'AAAmmf';
--SSGA Money Market Fund at 'AAAmmf';
--SSGA Prime Money Market Fund at 'AAAmmf';
--SSGA U.S. Government Money Market Fund at 'AAAmmf';
--SSGA U.S. Treasury Money Market Fund at 'AAAmmf';
--State Street Institutional Liquid Reserves Fund at 'AAAmmf';
--State Street Institutional Treasury Money Market Fund at 'AAAmmf';
--State Street Institutional Treasury Plus Money Market Fund at 'AAAmmf';
--State Street Institutional U.S. Government Money Market Fund at 'AAAmmf';
--Wells Fargo Advantage Municipal Cash Management Money Market Fund at 'AAAmmf';
--Wells Fargo Advantage National Tax-Free Money Market Fund at 'AAAmmf';
--Western Asset Institutional Liquid Reserves at 'AAAmmf';
--Western Asset Institutional Liquid Reserves, Ltd. at 'AAAmmf';
--Western Asset Institutional U.S. Treasury Obligations Money Market Fund at 'AAAmmf';
--Western Asset U.S. Treasury Obligations Money Market Fund, Ltd. at 'AAAmmf'.