Fitch Assigns New Rating to Western Asset Institutional Cash Reserves

Fitch Ratings has today assigned a 'AAAmmf' rating to Western Asset Institutional Cash Reserves, a U.S.-registered prime money market fund governed by Rule 2a-7 of the Investment Company Act of 1940, as amended, and 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. (NYSE: LM).

KEY RATING DRIVERS

The 'AAAmmf' rating assignment reflects:

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

--Low exposure to interest rate and spread risks;

--Holdings of daily and weekly liquid assets consistent with shareholder profile and concentration;

--Maturity profile consistent with Fitch's 'AAAmmf' rating criteria;

--The capabilities and resources of LMPFA and Western Asset.

PORTFOLIO CREDIT QUALITY/DIVERSIFICATION

The fund is a feeder fund that invests all of its investable assets in a master portfolio, Prime Cash Reserves Portfolio (the portfolio), which is an open-ended, diversified investment management company registered in the U.S. and has the same investment objective as the fund.

The portfolio seeks to maintain a diversified, high credit quality portfolio consistent with Fitch's criteria for 'AAAmmf' rated MMFs, by investing exclusively in first-tier rated securities with limited exposure to individual issuers. As of Dec. 31, 2015, the portfolio totalled approximately $20.6 billion in assets under management, and, based on Fitch's asset classification, was comprised of commercial paper (34.6%), certificates of deposit (33.3%), repurchase agreements (11.4%), government agencies (10.6%), and other (10.1%).

The portfolio's Portfolio Credit Factor (PCF) is in line with Fitch's 'AAAmmf' rating criteria of 1.50 or less. PCF is a risk-weighted measure of a portfolio of assets that accounts for the portfolio's credit quality and maturity profile.

MATURITY PROFILE

The portfolio seeks to limit interest rate and spread risk by maintaining weighted average maturity (WAM) and weighted average life (WAL) below 60 days and 120 days, respectively. As at December, 31, 2015, the portfolio's WAM and WAL were 35 days and 85 days, respectively.

LIQUIDITY PROFILE

The portfolio seeks to maintain sufficient levels of daily and weekly liquidity to meet investors' flows. Specifically, the portfolio invests at least 10% of its total assets in securities offering daily liquidity, and at least 30% in securities maturing weekly or other qualifying liquid assets, in line with Fitch criteria guidelines.

As of Dec. 31, 2015, the fund fully met the liquidity requirements mandated by Rule 2a-7 and was also in line with the liquidity guidelines outlined in Fitch's rating criteria. Fitch's rating criteria for money market funds also considers the degree of shareholder diversification, as large unexpected redemptions could constrain liquidity. The fund's individual shareholder concentration, while large in Fitch's opinion, is appropriately managed by Western Asset through controls and communications in place, combined with available liquidity.

PORTFOLIO OBJECTIVE

The portfolio seeks to provide investors with liquidity and as high a level of current income as is consistent with preservation of capital. The portfolio pursues its investment objectives by investing in diversified, high-credit quality money market securities, including bank obligations, commercial paper, repurchase agreements and other short-term debt securities. These instruments may be issued or guaranteed by all types of issuers, including U.S. and foreign banks and other private issuers, the U.S. government or any of its agencies or instrumentalities, U.S. states and municipalities, or foreign governments.

INVESTMENT ADVISOR

LMPFA is a wholly owned subsidiary of LM - one of the largest global asset managers, with assets under management of $671.5 billion as of Dec. 31, 2015. LM provides investment management solutions to a diverse client base, which includes governments, institutions, corporations and individuals worldwide. Western Asset is a global fixed income manager. As of Dec. 31, 2015, the total assets under management of Western Asset and its supervised affiliates were approximately $426.4 billion. 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 SENSITIVITIES

The rating may be sensitive to material changes in the credit quality, market risk, and/or liquidity profiles of the fund. Temporary deviations from Fitch's criteria need not automatically result in a rating change, provided the fund manager is able to address them with credible near-term remedial actions. However, material adverse and continued deviations from Fitch's guidelines for any key rating driver may lead to the rating being placed on Rating Watch Negative or downgraded.

SURVEILLANCE

Fitch will receive weekly fund holdings information and other pertinent fund data from the fund's administrator - Western Asset Management - to conduct surveillance against ratings guidelines and to maintain the MMF rating.

Additional information is available on www.fitchratings.com

The sources of information used to assess this rating were the public domain and LMPFA.

Applicable Criteria

Global Money Market Fund Rating Criteria (pub. 10 Dec 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=874565

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=998820

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=998820

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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