Four J.P. Morgan Asset Management Money Market Funds Assigned 'AAAm' Ratings

NEW YORK (S&P Global Ratings) Dec. 3, 2018--S&P Global Ratings today assigned 
'AAAm' principal stability fund ratings (PSFRs) to four Luxembourg-domiciled 
short-term variable net asset value (VNAV) money market funds sponsored by 
J.P. Morgan Asset Management (Europe) S.A.R.L (JPMAM). The four VNAV subfunds 
are part of JPMorgan Liquidity Funds, a Société d'Investissement à Capital 
Variable structure that also qualifies as an Undertaking for Collective 
Investments in Transferable Securities (UCITS). 

The PSFRs reflect our view of the creditworthiness of the funds' investments 
and counterparties, their investments' maturity structure, and management's 
ability and policies to maintain the funds' net asset value. The 'AAAm' 
demonstrates extremely strong capacity to maintain principal stability and to 
limit exposure to principal losses due to credit risk. 'AAAm' is the highest 
PSFR assigned by S&P Global Ratings.

The four short-term VNAV funds assigned 'AAAm' PSFRs are: 
  • JPMorgan Liquidity Funds – EUR Liquidity VNAV Fund
  • JPMorgan Liquidity Funds – GBP Liquidity VNAV Fund
  • JPMorgan Liquidity Funds – USD Liquidity VNAV Fund
  • JPMorgan Liquidity Funds – USD Treasury VNAV Fund
The subfunds, which launch today, are part of JPMAM's expanded money market 
fund product range domiciled in Luxembourg reflective of EU money market fund 
regulations (Regulation (EU) 2017/1131 of the European Parliament and of the 
Council of 14 June 2017 on Money Market Funds). Within its Luxembourg 
liquidity funds, JPMAM offers eight credit subfunds across Australian dollars, 
euro, pound sterling, Singapore dollars, and U.S. dollars. Three of the funds 
assigned PSFRs today fall into the credit category--EUR Liquidity VNAV Fund, 
GBP Liquidity VNAV Fund, and USD Liquidity VNAV Fund. The USD Treasury VNAV is 
a government subfund among five other government subfunds offered in either 
pound sterling or U.S. dollars. 

The subfunds will be managed within JPMAM's global liquidity business, which 
manages approximately US$600 billion in liquidity and short-duration assets. 
In our view, as part of a global organization, the global liquidity team is a 
highly experienced group of investment professionals who incorporate a 
risk-controlled and value-oriented approach to cash and short-duration 
fixed-income management. Money market investment practices are conservative, 
in our view, and supported by rigorous investment research and sound risk 
management infrastructure reflective of an asset manager overseeing liquidity 
assets for institutional clients. 

The investment objective of the subfunds is to achieve a return in the 
reference currency in line with prevailing money market rates while aiming to 
preserve capital consistent with such rates and maintain a high degree of 
liquidity. To achieve this objective, the funds will seek to invest in a 
variety of money market instruments, including asset-backed commercial paper, 
deposits with credit institutions, and reverse repurchase agreements within a 
maturity of 397 days, which meets our PSFR final maturity threshold. In our 
view, a portfolio's weighted average maturity (WAM) is a key measure of a 
fund's tolerance and sensitivity to rising interest rates. To control interest 
rate risk, JPMAM will seek to maintain the WAM of the funds at or below 60 
days, which is the stated metric for 'AAAm' PSFRs. 

JPMAM is the management company of the UCITS and has designated J.P. Morgan 
Investment Management Inc. and JPMorgan Asset Management (UK) Ltd. as 
investment managers. Additionally, J.P. Morgan Bank Luxembourg S.A. will act 
as depositary and administration agent for the fund complex. 

An S&P Global Ratings' PSFR, also known as a "money market fund rating," is a 
forward-looking opinion about a fixed-income fund's capacity to maintain 
stable principal and to limit exposure to principal losses due to credit risk. 
We will monitor the portfolios on a weekly basis as part of our surveillance 
practices.