Moody's, Fitch on JPM Lux Changes
A press release, "Moody's affirms Aaa-mf rating of JP Morgan Liquidity Funds -USD Treasury CNAV Fund following fund merger," tells us, "Moody's Investors Service has affirmed the Aaa-mf rating of the JPMorgan Liquidity Funds – USD Treasury CNAV Fund following the merger of JPMorgan Liquidity Funds – US Government LVNAV Fund and JPMorgan USD Treasury VNAV Fund into the Fund. The rating affirmation of the Fund reflects Moody's expectation that it will maintain its very strong ability to meet the dual objectives of providing liquidity and preserving capital. The Aaa-mf rating is supported the Fund's high credit quality, strong liquidity profile, short weighted average maturity, diversified investor base and low exposure to market risk. The funds merging into JPMorgan liquidity Funds – USD Treasury CNAV Fund were managed very similarly to the Fund. The Fund's high credit quality reflects that the portfolio is comprised of US Treasury Bills and Notes as well as repurchase agreements (repos) in which Treasuries serve as the underlying collateral. The nature of the Treasury portfolio supports the Fund's strong liquidity profile. The weighted-average maturity is required by the prospectus to be maintained at 60 days or less and was 5 days as of 26 October 2022. In addition, the repos, which represent a significant portion of the portfolio, are limited to two days maturity by the prospectus, which keeps the Fund's weighted-average maturity short. JPMorgan Liquidity Funds is an investment company registered in Luxembourg with total net assets of approximately $180 billion as of May 31, 2022. JPMorgan Liquidity Funds is managed by JPMorgan Asset Management (Europe) and ultimately a subsidiary of JPMorgan Chase & Co (A1 stable), which had $3.8 trillion in total assets as of September 30, 2022." Another release, "Fitch Takes Rating Actions on JPMorgan MMFs After Reorganisations," tells us, "Fitch Ratings has withdrawn five JPMorgan Money Market Fund (MMF) 'AAAmmf' ratings and assigned two JPMorgan Bond Fund Ratings of 'AAf' and 'S1', subsequent to their reorganisations concluded on 31 October 2022. A full list of rating actions is detailed below. The affected funds are: JPMorgan Liquidity Funds - USD Government LVNAV Fund, which has now been merged into JPMorgan Liquidity Funds - USD Treasury CNAV Fund; JPMorgan Liquidity Funds - USD Treasury VNAV Fund, which has now been merged into JPMorgan Liquidity Funds - USD Treasury CNAV Fund; JPMorgan Liquidity Funds - EUR Liquidity VNAV Fund, which has now been merged into JPMorgan Liquidity Funds - EUR Standard Money Market VNAV Fund; JPMorgan Liquidity Funds - GBP Liquidity VNAV Fund, which has now been converted to JPMorgan Liquidity Funds - GBP Standard Money Market VNAV Fund; and, JPMorgan Liquidity Funds - USD Liquidity VNAV Fund, which has now been converted to JPMorgan Liquidity Funds - USD Standard Money Market VNAV Fund. The mergers do not have an impact on the existing ratings of the JPMorgan Liquidity Funds - USD Treasury CNAV Fund (rated AAAmmf) and JPMorgan Liquidity Funds - EUR Standard Money Market VNAV Fund (rated AAf/S1). Fitch has chosen to rate JPMorgan Liquidity Funds - GBP Standard Money Market VNAV Fund and JPMorgan Liquidity Funds - USD Standard Money Market VNAV Fund post their conversion under its Bond Fund Rating Criteria. This is because as standard MMFs, as defined in Regulation (EU) 2017/1131, they are allowed longer weighted average maturity (WAM) and weighted average life (WAL) than their previous status as short-term MMFs. As the GBP Standard Money Market VNAV Fund and USD Standard Money Market VNAV Fund have now converted to standard MMFs, it may take time for the funds to reach their target portfolio allocations under the new fund type. Fitch had based its analysis on the funds' governing documentations, investment guidelines and target portfolios, combined with stress-testing scenarios to reach their ratings. Fitch's standard stress tests, and additional scenarios based on the funds' investment guidelines, show that the ratings are robust at their current levels. The withdrawal of the five MMF ratings is due to JPMorgan funds' reorganisations."
