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Fitch Affirms SWIP's Sterling & Euro Global Liquidity Fund at 'AAAmmf'


Fitch Ratings has affirmed SWIP Sterling Liquidity Fund and SWIP Euro Liquidity Fund at 'AAAmmf'. Both money market funds are managed by Scottish Widows Investment Partnership (SWIP) and set-up as sub-funds of Ireland-domiciled SWIP Global Liquidity Fund plc.




KEY RATING DRIVERS The main drivers of the affirmation are: -- The portfolios' overall credit quality and diversification. -- Minimal exposure to interest rate and spread risks. -- Short maturity profile with high overnight liquidity, consistent with funds' shareholders profile and concentration. -- The capabilities and resources of SWIP as asset manager.

Portfolio Credit Quality/Diversification Consistent with Fitch's 'AAAmmf' money market fund rating criteria, the funds seek to maintain a high credit quality by investing exclusively in short-term securities rated at least 'F1' by Fitch or a comparable credit quality by other global rating agencies. Also in line with Fitch's criteria, the funds limit their exposures to individual issuers and counterparties. For both funds at end-May, over 60% of issuers and counterparties carried the highest Short-term rating of 'F1+', or equivalent. At the same date and more generally over the past year, the funds' Portfolio Credit Factor (PCF), which is a risk-weighted measure of the funds' portfolio assets accounting for the credit quality and maturity profile of the portfolio securities, were aligned with Fitch's 'AAAmmf' rating criterion of 1.50 or less.

Maturity Profile The funds seek to limit interest rate and spread risk consistent with Fitch's ratings criteria for funds rated 'AAAmmf'. Each fund limits its weighted average maturity to reset date (WAM) and weighted average life (WAL) to 60 days and 120 days, respectively. It also limits the maturity date of any single investment to 397 days or less. At end-May 2013, the funds' WAM was below 55 days and WAL was below 65 days.

Liquidity Profile The funds seek to manage investor redemption risk through investment restrictions that aim to maintain sufficient levels of daily and weekly liquidity. In line with Fitch's rating criteria, the funds seek to maintain at least 10% of their assets in securities maturing overnight or other qualifying liquid assets such as government securities and at least 25% in securities maturing within seven days or other qualified liquid assets. At end-May, overnight liquidity was 36% and 34% for the sterling and euro portfolios, respectively.

Parent Exposure Exposure to the Lloyds Banking Group (A/Stable/F1), the funds' ultimate parent, currently stands at 1.1% and 2.6% in the sterling and euro funds, respectively. Fitch notes that relative to the Lloyds Banking Group's overall funding profile, the funds are not significant short-term funding providers to their parent.

Fund Objectives The funds' objective is to offer capital preservation and liquidity, while providing a competitive level of return. The funds pursue their investment objective by investing in a diversified portfolio of short-term money market instruments including time deposits, commercial papers, certificates of deposit, corporate bonds and notes, government and government agency debt.

Investment Advisor SWIP, the funds' investment manager, is a wholly-owned subsidiary of the Lloyds Banking Group. At end-December 2012, SWIP was managing GBP142bn of assets globally, of which about 16% were cash assets. Fitch views Lloyds and SWIP's investment advisory capabilities, financial and resource commitments, operational controls, corporate governance, and compliance procedures as consistent with the 'AAAmmf' ratings assigned to the funds.

The SWIP Sterling and Euro Liquidity Funds are sub-funds of the Ireland-domiciled SWIP Global Liquidity Fund plc, an umbrella investment company with segregated liability between sub-funds pursuant to the UCITS regulation. They had total assets of GBP18.5bn and EUR0.7bn at end-May 2013.

RATING SENSITIVITIES The ratings may be sensitive to material changes in the credit quality or market risk profiles of the funds. A material adverse deviation from Fitch's guidelines for any key rating driver could cause Fitch to downgrade the ratings. For additional information about Fitch's money market fund ratings guidelines, please review the criteria referenced below.

To maintain the Money Market Fund ratings, Fitch seeks weekly fund and portfolio holdings information from the funds' administrator - State Street Fund Services (Ireland) Limited - and conducts surveillance checks against its ratings guidelines.

Surveillance data for the funds is available at www.fitchratings.com/FAM > "Surveillance".

Additional information is available at www.fitchratings.com.
The sources of information used to assess this rating were the public domain, MSIM and State Street, the funds' custodian and administrator.
Applicable criteria, 'Global Money Market Fund Rating Criteria', dated 26 March 2013 are available at www.fitchratings.com.
Applicable Criteria and Related Research:
Global Money Market Fund Rating Criteria
Euro Money Fund Exposure Report: Shift Towards Core European and Secured Exposures
U.S. Money Fund Exposure and European Banks: Eurozone Rebound
Money Market Funds (MMF) Snapshot - End April 2013
2013 Outlook: Global Money Market Funds
Additional Disclosure Solicitation Status


ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Mercredi 19 Juin 2013
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