U.S.

Money Market Funds Sector Update
FUND & ASSET MANAGER RATING GROUP October 18, 2011

Inside This Issue
Key Takeaways Trends in Portfolio Management Credit Environment Market Enviroment Regulatory Developments Appendix A Appendix B 1 2 4 5 7 8 9

Key Takeaways
European Exposure Declined Further: Fitch-rated U.S. prime money market funds (MMFs) further reduced investments in certificate of deposits (CDs) issued by European banks. French banks accounted for the largest decline in exposure to 6.4% of the funds’ total assets at the end of August 2011 from 10.5% of assets at the end of May 2011. Fitch expects this trend to continue, given the ongoing market volatility related to the eurozone sovereign debt crisis. Primary Focus on Liquidity: Fitch-rated prime MMFs allocated, on average, 30.6% and 42.0% of their portfolios to daily and weekly liquid assets, respectively. As of end of August 2011, these funds allocated 13.8% of their total assets to short-term time deposits (TDs), up 5.7% from May 2011. Investments in repurchase agreements (repos) stood at 15.6%. MMF Portfolios Positioned Conservatively: Fitch-rated prime MMFs are conservatively positioned with respect to credit, interest rate, and liquidity risk as evidenced by a reduction in credit exposures, a high level of available liquidity and low weighted average maturity to reset date (WAMr). Fitch-rated prime MMFs reduced their average WAMr to 37 days as of end of August 2011, from 46 days at the end of May 2011, reflecting ongoing credit volatility and recent rating actions affecting both U.S. and European financial institutions. Challenging Interest Rate Environment: The low interest rate environment coupled with a declining supply of MMF eligible assets has been affecting portfolio yields for the past few years. The Fed’s announcement of a new monetary policy step to purchase $400 million of long-term Treasuries, while selling the same amount of short-term Treasuries, could be helpful as an incremental source of new supply but is unlikely to alleviate the yield pressures on MMFs. Further MMF Reforms Likely: The U.S. MMF industry faces the prospect of additional regulatory reforms. A range of proposals have been put forth by the industry, regulators, and others to further reform the industry.

Analysts
New York
Viktoria Baklanova, CFA +1 212 908-9162 viktoria.baklanova@fitchratings.com Greg Fayvilevich +1 212 908-9151 gregory.fayvilevich@fitchratings.com Gwen Fink-Stone +1 212 908-9128 gwen.fink-stone@fitchratings.com Ben Han +1 212 908-9177 ben.han@fitchratings.com

Chicago
Russ Thomas +1 312 368-3189 russ.thomas@fitchratings.com

Related Research
U.S. MMF Reforms on the Horizon, Oct. 6, 2011 European Money Market Funds – Sector Update, Sept. 21, 2011 European Banks and Market Turmoil, Sept. 20, 2011 U.S. Money Market Fund Sector Update, Aug. 4, 2011 Global Money Market Fund Rating Criteria, April 4, 2011
This report, originally published on Oct. 17, 2011, contains corrections in Appendix A: Fitch-Rated U.S. Money Market Funds.

Figure 1: Fitch-Rated Prime MMFs Allocation to Banks’ CDs in Selected Countries May 2011 August 2011
12 10 8 6 4 2 0 France
Source: Fund reports, Fitch.

(%)

U.K.

Canada

Netherlands

Switzerland

www.fitchratings.com

banking sector. government securities and overnight TDs. prime MMFs was affected by investor concerns related to the eurozone sovereign debt crisis and negative credit developments in the U. Figure 2 depicts the change in asset allocation preferences of Fitch-rated U. Appendix B at the end of this report provides a complete list of county allocations. Portugal.1) (8.0) (10. prime MMFs had no direct exposure to banks located in Greece.4) (%) (49.7) (22.S.0) (6.S. and Europe. 2011 Trends in Portfolio Management Flight to Quality and Liquidity In the third quarter of 2011.S. government securities. Investments in CDs decreased by 37% to $113 billion from $179 billion during the same time period. prime MMFs reduced their exposures to banks’ CDs. Reflecting these developments.S.3) (36. Fitch-rated U. Treasuries and Agencies Time Deposits 2 . particularly to those issued by European banks.6) Figure 2: Asset Allocation Trend in Fitch-Rated U. MMFs defensively repositioned their portfolios in response to sovereign debt concerns in both the U. Fitch-rated prime MMFs held 30% of assets invested in CDs at the end of August 2011. the portfolio composition of Fitchrated U. Figure 3: Change in Allocation to CDs by Fitch-Rated Prime MMFs in Selected Countries (May to August 2011) $ Bil. The uncertain credit environment and ongoing market volatility have led to increased asset allocation to U. Ireland. Prime MMFs May 2011 45 40 35 30 25 20 15 10 5 0 Certificates of Deposit Source: Fund reports. or Italy. Some of the cash leaving the longer dated European banks’ CDs has been redeployed in overnight TDs issued by high-quality banks.3) (38. as well as a general declining trend in longer term investments.S. in favor of U. Fitch-rated U.3) (29. Fitch.0 billion at the end of May 2011 and accounted for 14% of assets under management.S.S. Figure 4 illustrates the shift in TD allocation by Fitch-rated prime MMFs. Figure 1 on the title page and Figure 3 illustrate the most significant reductions in CD allocation by country. Money Market Funds Quarterly — October 18.S. which affected Canadian CDs. reflecting ongoing market concerns with MMF exposures to financial institutions in European countries. Netherlands Canada Switzerland Germany Source: Fund reports. Fitch.S.2 billion from $36.9) (45.S.2) (2. At the start of the third quarter. MMFs’ allocation to banks’ TDs increased during the third quarter of 2011 to $51.1) (4. prime MMFs.S.K.U. (23. France U. June 2011 July 2011 August 2011 (%) U.

Figure 6: ABCP Investments by Fitch-Rated Prime MMFs Total ABCP (RHS) 40 30 20 20 10 0 7/ 10 1/ 11 7/ 11 6/ 10 8/ 10 9/ 10 2/ 11 3/ 11 4/ 11 5/ 11 10 11 12 6/ 11 8/ 11 /1 0 /1 0 /1 0 ABCP % of Total Assets (LHS) Top 5 ABCP Programs as % of Total ABCP (LHS) ($ Bil. Japan Australia Switzerland Source: Fund reports.8 billion reduction in ABCP investments compared to the end of May 2011. 2011 19. Figure 5: Top Five Repo Counterparties in Fitch-Rated U.7% at the end of May 2011.5 1.S. The composition of specific ABCP programs held by Fitch-rated prime MMFs is largely driven by available supply. Figure 6 also depicts a relatively stable high level of concentration in the top five ABCP programs.0 France Germany Sweden U.1 11.7 billion to asset-backed commercial paper (ABCP). Fitch-rated prime MMFs allocated $28. RWN A/F1 — May 2011 16. 14. RWN/F1+ AA–. rated MMFs’ total ABCP investments since the beginning of the year. Fitch views such exposure as an exposure to the subsidiary’s rated parent unless the credit profile of the subsidiary differs significantly from that of its rated parent. Figure 6 illustrates this trend both in dollar terms and as a percentage of Fitch-rated prime MMF portfolios. Source: Fund reports.S.8 51.S.7 12. RWN/F1+ A+/F1+.6 9. ranging between 30% and 38% of Fitch- While MMFs normally conduct repos with unrated wholly owned subsidiaries of rated banks and other financial institutions. 2011. which continue to account for over 50% of repo transactions in Fitch-rated U. Taxable MMFs Counterparty Ratinga AA–/F1+. Listed ratings are Fitch ratings assigned to the repo subsidiary’s rated parent.0 0.2 10. U. Figure 5 lists the top five counterparties.K.9 9. 3 .1 Aug. Figure 7 lists the top 20 ABCP conduits held by Fitch-rated prime MMFs as of August 2011.8 Barclays Bank Deutsche Bank BNP Paribas Bank of America RBS Total a ABCP Investments Continue to Decline As of end of August 2011. which represents a $4.6 6. RWN AA–.5 0.5 6.) 50 40 30 (% of Total ABCP Investments) 10 0 Source: Fund reports. Ratings are as of Oct. Fitch.1% of total assets at the end of August 2011 from 16. taxable MMFs.0 1. reflecting a long-term declining trend in overall ABCP outstandings.Fitch Ratings Figure 4: Fitch-Rated Prime MMFs Allocation to Banks’ TDs in Selected Countries May 2011 2.5 2. August 2011 (%) High Concentration in Top Five Repo Counterparties Fitch-rated taxable MMFs increased exposure to Barclays Bank as the top repo counterparty to 19.9 53.1 6. Fitch. Fitch.

2011 Figure 7: Top 20 ABCP Conduits in Fitch-Rated Prime MMFs (As of August 2011) Held By Fitch-Rated Prime MMFs ($ Mil.2% of total assets. Downgraded Lloyds. Fitch has also placed Barclays Bank on RWN. European banks have also been challenged by constrained interbank markets and general decreases in liquidity. These actions included a downgrade of Greece’s long-term foreign and local currency issuer default ratings (IDRs) to ‘CCC’ from ‘B+’ and the Republic of Cyprus’s downgrade to ‘BBB’ from ‘A–’.76 Rabobank (AA+.) ABCP Conduit Atlantis One Funding Grampian Funding Kells Funding Atlantic Asset Securitization Argento Variable Funding Barton Capital LMA FCAR Gemini Securitization Amsterdam Funding Govco Chariot Funding CIESCO Newport Funding Regency Markets Charta Matchpoint Aspen Funding Sheffield Receivables Royal Park Investments Total in Top 20 Programs Total ABCP Investments in Fitch-Rated Prime MMFs Top 20 Programs as % of Total ABCP ABCP as % of Total Assets Ratings are as of Oct.049 4. RWN/F1+) RBS (A/F1) Citibank (A+/F1+. RWN) Deutsche Bank (AA–.427 360 679 687 503 548 148 300 404 640 589 508 8/11 3.600 88 479 1. In particular.S.304 2. Money Market Funds Quarterly — October 18. Money Market Funds and European Banks: Exposures and Maturities Decline Further” dated Sept. The eventual effect of these trends on European banks’ profitability and capital positions is discussed in Fitch’s special report. 14. Going into October. pronounced declines in the equity prices of individual institutions and bank sector indices. banks to ‘A’ from ‘AA–’.U.S. 2011. The main drivers have been market concerns over whether and how the eurozone crisis will be resolved and potentially tepid global economic growth. RWN/F1+) Barclays Bank (AA–/F1+. During the third quarter.319 197 1. RWN/F1+) Lloyds TSB Bank (A/F1) FMS Wertmanagement (AAA/F1+) Credit Agricole (AA–. and Sweden’s ‘AAA’ ratings. “U.483 337 823 1. 23.8 7. RWN/F1+) Lloyds TSB Bank (A/F1) Societe Generale (A+/F1+) Credit Agricole (AA–. RWN) Government of Belgium (AA+.105 1.S. Fitch took a number of rating actions related to European sovereigns. Fitch lowered its Support Rating Floor (SRF) for systemically important U. Norway’s.401 3/11 2. RWN/F1+) Credit Environment “Core” European Banks Face Increasing Headwinds Recent capital market developments affecting European banks include increased volatility. on average. a Primary Liquidity Provider a 12/10 3. RWN/F1+) Deutsche Bank (AA–.277 1.496 1.170 841 776 728 723 671 632 617 575 573 520 500 470 468 454 20.737 71. Since the Greek sovereign crisis started over a year ago. 2011. Fitch. Fitch also affirmed Switzerland’s.568 347 1.722 743 696 551 184 775 186 150 275 560 890 1. A full list of rating actions is available in “Fitch Lowered UK Support Rating Floors. and widening of bank cash and credit default swap spreads.“European Banks and Market Turmoil” dated Sept.014 1. Denmark’s.937 3. 20.K. RBS to ‘A’.” 4 .987 1.273 442 614 1. RWN) JP Morgan (AA–/F1+) Citibank (A+/F1+. market scrutiny with respect to major French banks continued during the third quarter.575 2.606 387 1. particularly short-term funding. by the end of August 2011 as discussed in Fitch special report.088 150 353 865 637 373 487 453 600 310 6/11 3.455 1.832 2. RWN/F1+) Various Deutsche Bank (AA–. On Oct. Fitch continued its rating reviews related to major European banks.280 1. 2011. 2011. RWN) BNP Paribas (AA–. Source: Fund reports.318 1. 13. U. prime MMF exposure to French financial institutions has gradually declined and stood at 11.012 786 478 1. This resulted in IDR downgrades to ‘A’ from ‘AA–’ for Lloyds Banking Group and Royal Bank of Scotland. RWN/F1+) HSBC (AA/F1+) Citibank (A+/F1+.628 28.

3 0. Figure 8: Average Seven-Day Yield on Prime Institutional MMFs 7-Day Yield 0.S. representing an average decrease of 2 bps since June 30. prime funds (institutional and retail) and tax-exempt funds declined by $84 billion (minus 5.2%). and tax-exempt MMFs. prime institutional MMFs continued to maintain low average WAMr.6 0. 2011.4 0. Figure 11 illustrates the downtick in expenses charged by prime institutional and government institutional MMFs. 2011. when the average expense ratio stood at 10 bps. Fees and expenses of prime institutional MMFs averaged 20 basis points (bps) at the end of August 2011. The Fed’s recent announcement of its decision to keep rates low for at least the next two years is likely to accelerate fund and share class consolidations and liquidations. 31. Economic Uncertainty Reflected in Low WAMr During the third quarter. This decrease was represented by various fund liquidations and mergers. While Government MMFs Gained U. reflecting expectations of continuing macroeconomic uncertainty and related market volatility. 6. according to the Investment Company Institute. representing an average decrease of 1 bp since June 30. while government funds added $50 billion (plus 6.04%. Bloomberg.0 6/ 09 7/ 09 2/ 10 9/ 10 3/ 11 4/ 11 5/ 11 5/ 09 8/ 09 9/ 09 1/ 10 3/ 10 4/ 10 5/ 10 6/ 10 7/ 10 8/ 10 /1 0 1/ 11 2/ 11 6/ 11 7/ 11 10 11 12 10 11 12 8/ 11 /0 9 /0 9 /0 9 /1 0 /1 0 Fed Fund O/N LIBOR Source: Federal Reserve. Low Rates Causing Consolidation. The average fund expense ratio with respect to government institutional MMFs as of Aug. As of Sept.2 0. Figure 8 depicts an unchanged average seven-day annualized yield produced by prime institutional MMFs against the backdrop of the Fed funds and overnight LIBOR rates.S. the U. Of the $39 billion in outflows.1 0. was 8 bps. MMF assets under management declined slightly from the second quarter. the Federal Reserve announced a new monetary policy measure (called “Operation Twist”) in which the Fed will purchase $400 million of long-term Treasury securities while selling the same amount of Treasury securities with maturities within a three-year range.64 trillion.3 billion (minus 1. Fees that MMFs are able to charge in this low rate interest environment are still depressed relative to the precrisis level. economy and keep mortgage rates low. down approximately $39 billion to $2. in an effort to provide further stimulus to the U. forcing them to forego fees in an effort to stay above negative yields. government. 2011. 21. when the average expense ratio stood at 21 bps. However. According to Crane Data.3%) and $5. Evidence of this pressure has come in the form of increasing industry consolidation and/or outright fund liquidations. Figure 10 illustrates historical trends in assets under management of prime. iMoneyNet. the money fund universe experienced a net decrease of nine funds in the third quarter through early September. the net effect on MMFs is expected to be limited due to the size and duration of the program and the offsetting demand by other investors for safety and liquidity. the average seven-day yield on individual prime institutional MMFs reported by iMoneyNet was 0. 5 .S. Prime MMFs Lost Assets. Figure 9 illustrates the persistently low average WAMr hovering just under 40 days since the end of second-quarter 2011. 2011. 2011. Liquidation The prolonged low interest rate environment continues to exert pressure on many fund operators. These actions may give a small lift to short-term interest rates and provide an incremental supply of MMF eligible securities.8%). respectively. unchanged from the second quarter. U.Fitch Ratings Market Environment Interest Rates Remain Low On Sept.5 0.S.

Figure 10: Assets Under Management of U. Prime Institutional MMFs 60 50 40 30 20 10 0 10/08 (Days) 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11 7/11 Source: iMoneyNet.) Figure 11: Average Prime and Government Institutional MMF Charged Expense Ratios 40 35 30 25 20 15 10 5 0 7/ 09 9/ 09 3/ 10 5/ 10 1/ 11 1/ 10 7/ 10 9/ 10 3/ 11 5/ 11 11 11 7/ 11 /0 9 /1 0 (Basis Points) Prime Institutional Government Institutional Source: iMoneyNet.500 2.000 3.000 2.000 1.S. 2011 Figure 9: Average WAMr of U. Government Tax-Free ($ Bil.500 3.000 500 0 7/09 9/09 11/09 1/10 3/10 5/10 7/10 9/10 11/10 1/11 3/11 5/11 7/11 Source: iMoneyNet.S. 6 .500 1.U.S. MMFs Prime 4. Money Market Funds Quarterly — October 18.

Fitch Ratings Regulatory Developments MMF industry stakeholders continue to provide comments to the potential MMF reform options advanced in the President’s Working Group (PWG) report released in October 2010. 6.S. MMFs are not under review and are not contingent on further regulatory change. A capital buffer would be viewed positively from a MMF rating perspective.S. 2011. as well as a probable change in fund managers’ risk appetite given additional costs imposed by the capital buffer. 7 . However. it also may introduce new conflicts of interests that need to be well understood and appropriately managed. Nonetheless. Examples of new conflicts include a relationship between traditional MMF investors and those providing the capital buffers. Fitch does not have a bias towards one regulatory proposal or another but rather stands ready to adjust its criteria and ratings as needed in response to whatever changes are introduced. Fitch discussed these and other structural and rating considerations of the further MMF reforms in the special report. “U. Fitch notes that the existing ratings assigned to U. if any. MMFs: New Reforms on the Horizon” dated Oct. Some of the responses to the PWG report included ideas related to establishing a new subordinated share class designed to absorb a predetermined amount of losses ahead of MMF investors.

6 33. Source: Fund reports.0 100.5 54. cRated MMFs may moderately and temporarily deviate from the parameters in the agency’s rating criteria.0 100.90 0.S.8 100. N.2 N.6 6.20 1.A.6 4.7 42. N.9 17.44 0.3 45.0 40.9 4.A. N.0 100.0 0.35 0.3 72.0 100.A.5 107.0 0.0 0. N.7 1.S.0 100.1 84.0 0.0 2.0 100. AUM – Assets under management.0 100.9 40. Money Market Funds (All data as of August 2011) Investment Advisor JP Morgan Federated Dreyfus Dreyfus State Street Goldman Sachs Federated Invesco First American Morgan Stanley State Street Deutsche Bank State Street Dreyfus Marshall & Isley Invesco Virtus Fitch Rating AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf Fund AUM ($ Bil.U.6 92.0 5.0 100.4 4.4 24.0 0.0 100.0 0.41 0.4 9.0 0.A.2 44.74 0.0 62. N.6 1.A.6 0.3 Federated Federated Wells Fargo Wells Fargo Morgan Stanley Alpine AAAmmf Ammf AAAmmf AAAmmf AAAmmf AAmmf 10. N.A.7 23.4 0.8 22.A.1 Federated Invesco First American Invesco State Street State Street State Street State Street Deutsche Bank State Street Dreyfus Fifth Third Fifth Third Dreyfus Williams Capital Group Marshall & Isley CLS Investments First American AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf AAAmmf 34.4 58.A.0 100. N.0 0.A.A.0 77.3 13.1 100.7 N.A.8 100.9 60. 2011 Appendix A: Fitch-Rated U.5 43.0 100. Fitch.44 0.68 0.A.0 0.0 26.7 45.7 56.3 25.0 0.0 0.8 69.9 37.A.A. N.8 16. N.0 100. N.0 100.0 100.3 92.0 0.3 100.0 78.0 1.8 15.A. Government Money Market Fund SSgA U.0 0.0 100.0 0.9 9.0 0.3 96.0 100.2 100.0 0. N. N.0 100.0 100.4 28.0 0.A.0 0.0 100. Securities with conditional demand features such as VRDNs are treated as first-tier securities in cases when a demand feature is first-tier quality.61 0. N.A.A. N. Money Market Funds Quarterly — October 18. N.7 100. 8 .3 75.0 0.0 100.0 100.A. N.0 100.6 53. N.9 96.2 9. N.3 33.0 44.0 0.0 0. WAMr – Weighted average maturity to reset dates.0 0. N.A.0 0. N.0 0.0 100. bData for Wells Fargo Advantage National Tax-Free Money Market fund is as of mid September 2011.9 80.A.0 38.0 0.0 41.65 0.0 0.8 0.0 76.9 9.1 0.8 52.0 99.0 0.71 0. N.8 0.7 57.71 0.0 100.4 2.0 0.0 100.0 100.3 4. N.0 0.A.9 370.5 100.0 76. N.0 5.A.7 22.5 66.0 47 45 34 47 20 34 10 32 29 7 38 44 41 34 37 18 37 43 38 98 45 34 76 20 48 10 45 29 7 38 72 47 34 54 53 37 43 59 42. PCF – Portfolio credit factor.9 93.0 100.0 100.0 0.2 100.6 60.7 78.A.19 0.7 100. – Not applicable under Fitch global money market fund rating criteria.2 100.A.6 94.A.A.0 65.5 Rated at least ‘A/F1’ by Fitch or being of comparable quality by other global rating agencies.0 69.0 0.0 0. Investments in repos collatralized by ‘AAA’ government securities deemed to be ‘AAA’ quality.0 0.0 0.S.A.0 0.0 100.9 7. N.5 36.7 1.6 90.6 20.4 4.2 48.0 Average Asset Maturity (Days) WAMr WAMf 50 36 31 38 18 23 39 37 44 17 19 39 15 19 37 15 33 37 98 38 60 61 48 71 39 69 85 17 54 62 50 49 71 15 33 67 Porfolio Liquidity (%)c O/N Seven-Day Liquidity Liquidity 25.9 28.8 0.3 100. N.28 0. WAMf – Weighted average final maturity.4 26. 100.0 28.6 95. Treasury Money Market Fund SSgA U.0 2.7 84.5 35.0 41.S.S.0 0. Treasury Money Market Fund Dreyfus Institutional Reserves Treasury Prime Fund Williams Capital Government Money Market Fund Marshall Government Money Market Fund Milestone Treasury Obligations Portfolio First American US Treasury Money Market Fund Total/Weighted Average a PCF 0.0 100.6 13.0 0.A.8 84.0 100.0 100.6 0. Government Money Market Fund Investors Cash Trust Treasury Portfolio State Street Institutional Treasury Plus Money Market Fund Dreyfus Institutional Reserves Treasury Fund Fifth Third Institutional Government Money Market Fund Fifth Third U. N.47 0.A.0 100.0 100.8 3. N.0 100.0 100.0 100.A.6 2.0 40.A.9 30.7 59.0 0.9 48.0 100. N.0 0.3 0.78 0.0 97.A.0 0.S. 76.6 19.2 1.2 7. 100. N.0 100.A.0 100.0 0.8 53. N.0 100.1 Issuer Prime Funds JP Morgan Prime Money Market Fund Federated Prime Obligations Fund Dreyfus Cash Management Dreyfus Institutional Cash Advantage Fund State Street Institutional Liquid Reserve Fund Goldman Sachs Financial Square Prime Obligations Fund Federated Prime Cash Obligations Fund Short-Term Investments Trust Liquid Assets Portfolio First American Prime Obligations Fund Morgan Stanley Institutional Liquidity Fund — Prime Portfolio SSgA Prime Money Market Fund Daily Assets Fund Institutional SSgA Money Market Fund Dreyfus Institutional Reserves Money Fund Marshall Prime Money Market Fund Short-Term Investments Trust STIC Prime Portfolio Virtus Insight Money Market Fund Total/Weighted Average Municipal Funds Federated Tax-Free Obligations Fund Federated Municipal Obligations Fund Wells Fargo Advantage National Tax-Free Money Market Fundb Wells Fargo Advantage Municipal Cash Management Money Market Fund Morgan Stanley Institutional Liquidity Fund — Tax Exempt Portfolio Alpine Municipal Money Market Fund Total/Weighted Average Government Funds Federated Government Obligations Fund Short-Term Investments Trust Treasury Portfolio First American Treasury Obligation Fund Short-Term Investments Trust Government & Agency Portfolio State Street Institutional Treasury Money Market Fund State Street Institutional U.0 100.7 44 32 10 12 28 10 30 44 32 10 12 28 10 30 N. N.6 63.0 19.69 Asset Credit Qualitya (%) F1 or F2 or Higher Lower 100.96 0.9 34.) 116.

8 2.1 2.9 0.0 4.3 0.3 5.2 3.7 3.0 Dec.5 3.8 1.1 4.4 0.8 2.8 2.7 1.4 6.2 3.4 1.1 1.1 2.5 8.7 1.7 15.1 0.3 1.2 1.8 4.4 2.2 1.3 3.1 2.9 9.1 1.3 1.6 5.5 0.7 1.1 2.2 3.2 0.2 1.3 1.9 0.4 0.5 0.4 0.2 0.0 3.5 3.0 2.4 5.0 2.9 3.0 1.4 3.3 2.9 4.5 5.0 1.5 1.7 3.0 1.2 2.5 1.1 1.0 4.0 0.1 0.4 1.8 1.1 2.3 4.2 2.6 1.2 1.5 0.3 0.0 4.8 0.8 0.3 5.3 17.5 13.3 6.5 3.4 1.3 0.0 8.3 12.2 2.9 4.1 5.9 1.3 10.4 0.1 1. 2011 24.6 2.1 0.6 1.7 2.6 1.3 2.6 1.2 9.0 1.0 1.4 7.1 1.0 4.0 7.1 1.2 0.9 2.6 1.1 1.4 4.7 6. 2011 21.7 17.8 14.9 2.8 1.8 16.6 0.6 0.4 0.0 7.0 0.4 5.7 1.8 0.5 6.2 1.0 4.7 1.1 1.4 2.0 0. 2011 20.5 5.4 2.2 1.6 0.1 0.6 2.6 0.3 5.5 0.1 5.0 4.0 0.K.0 0.4 0.6 3.7 3.8 2.6 4.9 1.7 1.0 3.0 2.0 9 .4 4.2 1.Fitch Ratings Appendix B: Fitch-Rated U.4 0.4 0.3 1.1 1.S. 2010 21.4 1.4 2.0 4.3 3.9 0.9 9.3 0.8 6.6 0.4 5.0 3.8 0.2 3.6 1.7 4.9 1.2 1.1 2.5 2.0 0.6 2.8 1.0 4.9 7.4 2.0 2.5 1.5 1.0 1.4 1.0 4.6 3.4 5.2 5.9 9.6 2.1 4.3 6.1 1.0 4.7 2.3 1.4 1.1 0.3 1.0 4.2 0.2 1.7 0.3 0.3 10.0 1.5 0.8 3.2 0.3 2.4 4.9 1.1 0.0 June 2011 20.0 0.4 1.8 0.9 1.1 1.9 15.5 8.2 0.0 March 2011 21.6 0.6 3.3 11.1 5.7 0.1 4.0 13.9 0.3 3.8 2.8 1.4 0.0 0.5 1.8 0.0 1.8 2.1 1.8 2.7 2.8 3.3 1.0 0.0 0.0 1.0 Jan.0 0.3 2.8 1.2 4.9 6.3 4.0 0.0 1.2 17.0 6.2 4.4 2.0 July 2011 24.3 1.1 0.6 4.4 0. Barclays Bank RBS Lloyds TSB Bank Others Germany Deutsche Bank Commerzbank FMS Wertmanagement Others Australia Westpac Banking National Australia Bank CBA Others Canada Bank of Nova Scotia RBC Bank of Montreal Others Netherlands Rabobank ING ABN AMRO Bank Others Japan Bank of Tokyo-Mitsubishi Mizuho Sumitomo Others Switzerland Credit Suisse UBS Novartis Sweden Svenska Handelsbanken Nordea Bank SEB Others Norway DNB NOR Bank Eksportfinans Statoil Denmark Danske Bank Denmark Continued on next page.S.0 4.3 1.4 1.0 1.6 4.7 5.6 4.5 0.3 2.9 5.0 0.9 1.0 0.1 2.4 3.8 3.5 5.4 1.1 4.6 1.6 6.6 1.2 1.0 0.8 0.5 2.6 1.1 1.9 1.8 0.0 4.6 6.8 0.3 5.4 2.6 0.8 7.9 5.7 1.6 0.8 0.7 2.3 2.8 1.5 0.6 2.4 2.9 0.5 13.8 2.0 2.7 0. 2010 21.5 4.0 2.1 2.1 0.0 6.1 3.5 2.0 0.4 8.9 5.7 3.2 1.3 3.7 5.3 2.7 1.2 0.8 3.0 0.8 6.0 8.0 2.2 4.9 2.0 0.4 0.2 10.6 4.4 3.1 2.5 0.2 3.1 0.2 6.8 0.1 1.4 2.4 2.5 0.7 1.9 5.4 0.3 0.9 1.7 5.3 0.9 0.5 2.8 1.6 6.0 1.5 1.4 2.1 3.3 11.4 1.6 2.5 3.0 0.7 4.1 3.2 0.1 1.9 6.5 1.7 0.6 1.1 1.4 2.2 2.2 2.7 2.4 5.1 1.0 0.0 April 2011 20.9 2.3 0.8 2.1 0.0 16.4 14.3 1.8 2.1 1.4 0.7 1.7 0.1 3.0 4.4 1.8 1.7 4.0 0.4 0.3 0.7 0.5 1.0 0.9 0.0 6.5 3.3 1.1 0.1 1.6 1.0 0.4 0.6 0.6 4.7 1.1 1.3 15. Entity Exposure Bank of America JP Morgan FHLMC US Treasury Citigroup Others France Societe Generale BNP Paribas Credit Agricole Others U.9 1.0 1.0 0.2 5.0 0.7 0.1 1.6 15.3 1.8 8.0 4.0 0.4 5.0 1.6 1.0 2.9 1.6 3.0 1.6 16. 2010 21.7 0.0 1.6 0.2 0.4 5.6 0.0 1.5 10.9 2.0 0.9 7.6 1.0 1.0 2.9 3.0 1.6 1.7 1.8 2.8 7.5 0.3 0.6 3.5 5. 2010 21.0 3.5 1.5 6.0 0.1 4.8 3.5 4.1 0.0 Feb.1 3.9 1.8 3.2 2.3 16.4 1.0 3.7 5.9 3.6 0.9 2.0 2.3 3.8 1.1 1.6 13.8 0.6 3.2 0.3 1.7 6.5 1.2 3.3 3.0 1.6 0.2 0.0 3.8 2.8 2.1 3.7 0.0 0.9 6.3 3.8 0.0 1.0 5.9 5.6 1.3 3.7 0.0 3.8 1.0 0.6 1.5 0.4 2.3 6.0 10.6 3.4 18.6 4.6 1.6 4.0 Nov.0 4.5 0.2 7.3 1.6 2.7 2.5 0.1 2.0 0.2 3.8 4.1 2.3 1.6 6.1 1.4 2.8 2.0 5.0 May 2011 19.4 3.0 Oct.3 0.4 1.3 6.1 1.0 6.8 4.2 0.0 0.2 0.5 2.7 0.2 2.4 0.0 0.2 2.3 5.7 2.4 12.8 3.5 4.0 0.9 1.0 6.5 0.3 13.1 5.6 0.9 0.0 1.9 10.7 2.9 2.0 18.6 3.5 4.3 1.0 0.4 14.3 5.8 3.3 0.8 3.3 3.2 0.1 1.0 0.7 3.0 3.3 3.3 1.0 2.9 0.9 5.0 2.0 5.4 6.0 0.1 1.8 1.0 0.4 4.8 2.8 2.2 4. Prime Money Market Funds — Average Portfolio Composition (%) Country U.2 5.0 0.6 18.3 4.7 1.6 2.4 1.9 1.0 6.8 0.0 6.3 1.0 1.6 3.1 1.9 0.3 1.5 2.0 2.6 0. Sept.2 1.9 2.3 1.2 0.4 14.5 5.8 1.7 2.5 3.4 2.1 0.8 0.8 3.4 2.3 1.0 0.6 5.7 0.8 4.2 3.1 0.3 1.0 1.6 16.4 6.6 0.9 0.9 3.4 0.8 4.3 2.8 0.0 0.9 4.4 0.8 1.0 1.0 Aug.

0 0.6 100.3 1.0 0.1 2.1 0. 2011 0.1 0.S.8 0.3 0.0 0.S.5 0.0 0.1 2.0 1.0 0.5 0.5 0.8 0.2 0.5 0.4 0.0 April 2011 0. 2011 0.0 2. Money Market Funds Quarterly — October 18.3 1.5 0.2 1.6 100.0 March 2011 0.4 1.3 0.7 0.6 0.5 0.0 0.0 1.2 0.0 0.5 0.2 0. 0.0 0. 0.5 0. 2010 0.1 0.6 0.5 0.0 0.5 0.4 0.0 0.5 0.0 1.0 Oct.4 0.4 0.1 0.3 0.4 0.2 0.6 0.6 0.0 0.4 0.0 2.4 0.5 100.0 Dec.9 0.9 0.5 100.0 0.3 0.1 0.1 0. 2010 0.6 0.2 0.0 Note: Other Countries include countries with immaterial exposures and supranational issuers.0 0.1 0.0 May 2011 0. Prime Money Market Funds — Average Portfolio Composition (Continued) (%) Country Austria Entity Exposure Erste Group Bank Oesterreichische Kontrollbank Belgium KBC Bank Belgium Dexia Spain BBVA Santander Italy Unicredit Bank Intesa Sanpaolo ENI Other Countries Total Sept.0 0.0 0.6 0.3 0. Fitch.0 0.3 0.7 0.1 0.0 Nov.4 100.0 0.3 0.0 0.6 1.7 0.0 0.0 1.9 1.1 0.1 0.6 0.3 0.0 0.0 1.5 100.0 0.0 0.1 1.0 1.6 1.0 0.3 0.0 1.3 0.1 0.3 0.2 0.1 0.3 0.7 0.2 0.0 0.2 0.0 0.0 0.1 1.5 0.6 0.2 0.0 0. 2010 0.8 0.0 July 2011 0.2 0.1 0.0 0.3 0. Source: Fund reports.1 0.3 0.0 0.2 1.6 0.0 1.5 0.0 0.5 0.3 0. 2011 0.0 0.0 0.0 0.0 Jan.1 0.4 0.6 0.2 0.4 100.1 0.1 0. 2011 Appendix B: Fitch-Rated U.0 0.0 Feb. 2010 0.1 0.3 1.5 100.0 1.5 100.4 100.1 0. 10 .0 0.0 0.1 0.1 0.3 100.1 0.1 0.0 Aug.3 0.6 0.6 0.1 0.8 1.0 1.8 0.1 0.0 June 2011 1.1 100.3 0.1 0.0 1.9 0.4 0.8 0.4 1.4 0.U.

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