Fitch Ratings has affirmed the 'AAAmmf' ratings of six U.S. money market funds (MMFs) managed by State Street Global Advisors (SSGA) following a regularly scheduled review of the sector.

KEY RATING DRIVERS

The key rating drivers for the affirmations are:

The funds' overall credit quality and diversification;

Low exposure to interest rate and spread risks;

Holdings of daily and weekly liquid assets consistent with shareholder profiles;

Asset maturity profiles meeting Fitch's rating criteria;

The capabilities and resources of the investment advisor.

PORTFOLIO CREDIT QUALITY/DIVERSIFICATION

Consistent with Fitch's criteria for rating MMFs rated 'AAAmmf', the funds maintain high credit quality portfolios by investing exclusively in short-term securities rated at least 'F1' by Fitch or the equivalent.

MMFs rated 'AAAmmf' seek to manage their portfolios to limit exposure to individual issuers at less than or equal to 10% of net asset value (NAV), with no more than 5% of assets for those exposures above seven days in tenor. Minor and temporary deviations from these parameters may occur from time to time, mainly due to cash outflows. The funds also seek to limit their individual repurchase agreement (repo) exposures to individual counterparties to 25% of NAV, provided the counterparties are rated 'F1' or higher and such repos are fully collateralized by high credit quality and liquid government securities.

In the case of repo with counterparties rated 'F2', funds seek to limit their exposure to individual counterparties to 10% of NAV, as long as the repo is collateralized by high quality government securities and matures in one week or less. MMFs also seek to limit their exposure to government agencies, with exposures above 35% of NAV to any one agency limited to short-dated securities.

The funds' Portfolio Credit Factors (PCFs) were in line with Fitch's 'AAAmmf' rating criteria of 1.50 or less at the time of this review. PCF is a risk-weighted measure that considers the credit quality and maturity profile of the portfolio securities

MATURITY PROFILE

MMFs rated 'AAAmmf' seek to limit interest rate and spread risk by maintaining their weighted average maturities (WAM) and weighted average lives (WAL) below 60 days and 120 days, respectively.

LIQUIDITY PROFILE

MMFs rated 'AAAmmf' seek to maintain sufficient levels of daily and weekly liquidity to meet redemption requests. Specifically, taxable MMFs rated 'AAAmmf' invest at least 10% of total assets in securities offering daily liquidity and at least 30% of total assets in securities providing weekly liquidity in line with Fitch's rating criteria.

Fitch's rating criteria for MMFs also considers the degree of shareholder diversification and the manager's distribution platform and investor-related risk controls.

SURVEILLANCE

Fitch receives bi-weekly fund portfolio holdings information including the credit quality and maturity of the individual securities to conduct surveillance against the MMF Rating criteria. For additional information about Fitch MMF rating criteria, please review the criteria referenced below, which can be found on Fitch's website.

MMF Reform Proposals

The Securities and Exchange Commission (SEC) has proposed changes to MMF regulation, including removing certain trigger actions tied to liquidity levels, increasing liquidity requirements, introducing swing pricing, and other measures. Fitch may update its rating criteria for MMFs based on any structural changes to MMFs once the reforms are finalized. Please refer to Fitch's other publications for a discussion on the potential impact of the SEC's reform proposals.

INVESTMENT MANAGER

SSGA Funds Management, Inc., a subsidiary of SSGA, serves as the funds' investment advisor. SSGA is the investment management arm of State Street Corporation. As of March 31, 2022, SSGA has $4.02 trillion in assets under management.

Fitch views the investment advisor's capabilities, resource commitments, operational controls, corporate governance and compliance procedures as consistent with the ratings assigned to the funds.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive rating action/upgrade:

Not applicable as the assigned ratings are the highest rating outcome under the MMF rating scale.

Factors that could, individually or collectively, lead to negative rating action/downgrade:

Significant outflows that lead to materially reduced liquidity, and would lead to sustained breaches of liquidity metrics outlined in Fitch's criteria;

Material and sustained breaches of other metrics outlined in the criteria for 'AAAmmf' MMFs.

SOURCES OF INFORMATION

The sources of information used to assess these ratings were the funds' investment advisor and/or fund administrator and the public domain.

RATING ACTIONS

Entity / Debt

Rating

Prior

State Street Institutional Treasury Plus Money Market Fund

MMF

AAAmmf

Affirmed

AAAmmf

State Street Institutional Treasury Money Market Fund

MMF

AAAmmf

Affirmed

AAAmmf

State Street Institutional Liquid Reserves Fund

MMF

AAAmmf

Affirmed

AAAmmf

State Street Treasury Obligations Money Market Fund

MMF

AAAmmf

Affirmed

AAAmmf

State Street ESG Liquid Reserves Fund

MMF

AAAmmf

Affirmed

AAAmmf

State Street Institutional U.S. Government Money Market Fund

MMF

AAAmmf

Affirmed

AAAmmf

Page

of 1

VIEW ADDITIONAL RATING DETAILS

Additional information is available on www.fitchratings.com

(C) 2022 Electronic News Publishing, source ENP Newswire