Fitch Rates Western Asset U.S. Treasury Obligations Money Market Fund, Ltd. 'AAAmmf'

Business Wire

NEW YORK--(BUSINESS WIRE)--

Fitch Ratings has assigned an 'AAAmmf' rating to Western Asset U.S. Treasury Obligations Money Market Fund, Ltd., a Cayman Islands-incorporated exempted company managed by Legg Mason Partners Fund Advisor, LLC (LMPFA). Western Asset Management Company (Western Asset) is the fund's subadviser and provides day-to-day portfolio management. Both LMPFA and Western Asset are wholly owned subsidiaries of Legg Mason, Inc. (LM).

KEY RATING DRIVERS:

The main drivers for the ratings assignment are:

-- The fund's overall credit quality and diversification,

-- Minimal exposure to interest rate and spread risks, and

-- The capabilities and resources of LM and Western Asset as subadvisor.

The 'AAAmmf' money market fund ratings reflect the funds' extremely strong capacities to achieve their investment objectives of maximizing current income to the extent consistent with preservation of capital and the maintenance of liquidity.

FUNDS' CREDIT PROFILES AND PORTFOLIO OBJECTIVES

The fund is newly organized, commencing operations Sept. 3, 2013. It invests all its investable assets in a master portfolio, U.S. Treasury Obligations Portfolio (the portfolio), which is a U.S.-registered investment management company and has the same investment objective as the fund. The portfolio is a money market fund governed in accordance with Rule 2a-7 of the Investment Company Act of 1940 (the 1940 Act), as amended, and was organized on Aug. 13, 2013. The portfolio seeks to maintain a high credit quality consistent with Fitch's criteria for 'AAAmmf'-rated money market funds by investing exclusively in direct obligations of the U.S. Treasury, including U.S. Treasury bills, notes and bonds, and in repurchase agreements secured by these obligations. The portfolio has $8 million of assets under management (AUM) on Sept. 3, 2013.

MATURITY PROFILES

The portfolio seeks to manage interest rate and spread risk consistent with Fitch's ratings criteria for funds rated 'AAAmmf' and intends to limit its weighted average maturity (WAM) to 60 days and its weighted average life (WAL) to 120 days.

LIQUIDITY PROFILES

The fund's additional investment restrictions are aimed at maintaining sufficient levels of daily and weekly liquidity to meet investor redemption requests. In line with amended Rule 2a-7 under the 1940 Act, which governs the investment activities and operations of U.S. money market funds, the fund invests at least 10% of its portfolio in daily liquid assets and at least 30% of its portfolio in weekly liquid assets. As of Sept. 3, 2013, the fund met the liquidity requirements mandated by Rule 2a-7.

INVESTMENT ADVISOR

Founded in 1899 in Baltimore, Maryland, LM ('NR' by Fitch) is one of the largest global asset managers, with assets under management of $656 billion as of July 31, 2013. LM provides investment management solutions to a diverse client base which includes governments, institutions, corporations and individuals worldwide. Fitch views LM and Western Asset's investment advisory capabilities, resource commitment, operational controls, corporate governance, and compliance procedures as consistent with the rating assigned to the fund.

RATING SENSITIVITY AND SURVEILLANCE

The ratings may be sensitive to material changes in the credit quality, market or liquidity risk profiles of the funds. A material adverse deviation from Fitch guidelines for any key rating driver could cause the ratings to be lowered by Fitch, including adverse changes in shareholder concentration and/or increase in unanticipated cash outflows. Given the portfolio's primary investment focus on domestic and foreign issuers in the financial sector, the ratings may also be sensitive to material adverse changes in the sector globally.

Fitch receives weekly portfolio holdings information from the funds' administrator to conduct surveillance against ratings guidelines and maintain its money market fund ratings.

Surveillance and analytical information on this fund is available in the Funds Surveillance section of Fitch's website (www.fitchratings.com, Surveillance > Funds).

Additional information is available at www.fitchratings.com.

The sources of information used to assess this rating were the public domain, Western Asset and LM.

Applicable Criteria and Related Research:

-- 'Global Money Market Fund Rating Criteria' (March 2013);

-- 'End-June MMF Snapshot Reflects Uncertain Outlook' (July 2013);

-- 'Prime MMF Ratings Unaffected by French Bank Downgrades' (July 2013);

-- 'Chinese Exposure Manageable for U.S. and European MMFs' (June 2013);

-- 'U.S. Money Market Funds Dashboard' (August 2013).

Applicable Criteria and Related Research:

U.S. Money Market Funds Dashboard
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=715631

Global Money Market Fund Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=704145

Additional Disclosure

Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=801111

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Contact:
Fitch Ratings, Inc.
Primary Analyst:
Ralph Aurora, +1-212-908-0528
Senior Director
One State Street Plaza
New York, NY 10004
or
Secondary Analyst:
Gregory Fayvilevich, +1-212-908-9151
Director
or
Committee Chairperson:
Peter Patrino, +1-312-368-3266
Chief Credit Officer
or
Media Relations, New York
Elizabeth Fogerty, +1-212-908-0526
elizabeth.fogerty@fitchratings.com

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