NEW YORK--(BUSINESS WIRE)--Fitch Ratings affirms the 'AAAmmf' rating assigned to the Goldman Sachs Prime Obligations Fund, a money market fund managed by Goldman Sachs Asset Management, L.P. (GSAM).
The rating affirmation follows Fitch's annual review of the fund. The main drivers of the affirmation are the credit quality, diversification and liquidity of the fund portfolio and the capabilities and resources of GSAM as investment advisor. As of May 29, 2011, the fund had $20.1 billion in assets under management.
The Goldman Sachs Prime Obligations Fund seeks to maximize current income, to the extent consistent with the preservation of capital and maintenance of liquidity, by investing in high credit quality money market instruments. The fund pursues its investment objective by investing in U.S. government securities, obligations of U.S. banks, commercial paper and other short-term obligations of U.S. companies, states, municipalities and other entities and repurchase agreements. Per its prospectus, the fund does not incur any direct exposure to foreign entities, although such exposures may be incurred indirectly, for example, through investments in asset-backed commercial paper (ABCP) conduits sponsored by foreign financial institutions.
Consistent with Fitch's 'AAAmmf' rating criteria, the fund maintains a high credit quality by investing exclusively in securities rated at least 'A/F1' by Fitch or equivalent. The fund limits its exposure to individual repurchase agreement counterparties to 25% of their total assets for those repurchase agreements fully collateralized by U.S. Treasury and government securities. Other types of repurchase agreements entail lower counterparty exposure limits. The fund's Portfolio Credit Factor (PCF) was below 1.50, the level consistent with Fitch's 'AAAmmf' rating criteria. The PCF is a risk weighted measure of the fund's portfolio assets, accounting for the credit quality and maturity profile of the portfolio securities.
The fund's additional investment restrictions are aimed at maintaining sufficient levels of daily and weekly liquidity to meet investors' redemption requests. Specifically, the fund must invest at least 10% of its total assets in securities maturing overnight of other qualified assets such as U.S. Treasuries and at least 30% of its total assets in securities maturing within seven days or other qualified assets. The fund manages its market risk exposure by limiting its weighted average maturity to reset date (WAMr) and weighted average maturity to final maturity (WAMf) to 60 and 120 days, respectively. All these fund's investment policies are consistent with Fitch's 'AAAmmf' rating criteria. As of the day of the review, the fund fully met its internal WAMr, WAMf and liquidity requirements.
GSAM is an affiliate of Goldman Sachs Group (rated 'A+/F1+' by Fitch). GSAM manages assets on behalf of institutions and individuals worldwide through a variety of equity, fixed income, cash management and alternative investment products. Fitch views GSAM's investment advisory capabilities, resource commitment, operational controls, corporate governance, and compliance procedures as consistent with the rating assigned to the fund.
Fitch believes the current rating is very stable. However, the rating may be sensitive to material changes in the credit quality or market risk profile of the fund. A material adverse deviation from Fitch criteria for any key rating driver could cause the rating to be lowered by Fitch. For additional information about Fitch money market fund rating criteria, please review the criteria referenced below, which can be found on Fitch's web site.
Additional information is available at 'www.fitchratings.com'.
The sources of information used to assess this rating were the public domain and GSAM.
Applicable Criteria and Related Research:
--'Global Money Market Fund Rating Criteria', April 4, 2011
--'U.S. Money Market Funds Sector Update', April 14, 2011;
--'U.S. Money Fund Exposure to European Banks: Recent Developments,' March 30, 2011;
--'U.S. Money Market Funds: Repurchase Agreement Practices', Oct. 4, 2010;
--'Assessing and Comparing Risks of Money Market Funds', July 13, 2010.
Applicable Criteria and Related Research:
Global Money Market Fund Rating Criteria
U.S. Money Market Funds Sector Update: First-Quarter 2011
US Money Fund Exposure to European Banks
U.S. Money Market Funds: Repurchase Agreement Practices
Assessing and Comparing Risks of Money Market Funds