Analysis of Money Market Funds in Pakistan

As on Aug 31, 2012

Fund Name JSCF PCF NGSLF ULPF KCF ASKSCF MCBCMOP BECF LMMF AMF AGCF IGIMMF HMMF ABLCF FMMF PICICCF FHCF AKDCF NMMF PRIMUSCF
* By JCR-VIS

Launch Date JSIL Mar-10 AHIL Mar-08 NAFA May-09 UBL Jun-09 KASB Aug-09 Askari Sep-09 AHIL Oct-09 BMA Nov-09 Lakson Nov-09 Atlas Jan-10 Alfalah Mar-10 IGI May-10 HBL Jul-10 ABL Jul-10 Faysal Dec-10 PICIC Dec-10 First Habib Mar-11 AKD Jan-12 NAFA Feb-12 PRIMUS Aug-12
** By PACRA

AMC

Fund Rating AA+(f) * AAA(f) ** AAA(f) ** AA+ * AA+(f) * AA+ ** AA+(f) ** AA+ * AA ** AA+(f) ** AA+(f) **
In Progress

AA(f) * AA+(f) * AA+(f) * AA+(f) * AA(f) * AA+(f) * AA+(f) ** AAA(f) **

AMC AUMs CDS WWF Return WAM Rating PKR mn Eligibility Provision YTD Ann. (days) AM2- * 2,009 Yes No 12.16% 29 AM2 ** 3,029 Yes Yes 11.39% 47 AM2- ** 14,630 Yes Yes 10.72% 48 AM2 * 22,244 Yes No 11.85% 85 AM3 * 1,400 Yes No 11.01% 10 AM3+ ** 6,699 Yes Yes 12.23% 69 AM2 ** 11,267 Yes Yes 11.92% 83 AM2- * 765 No No 11.31% 41 AM3+ ** 8,771 No Yes 11.29% 42 AM2- ** 4,349 No Yes 11.72% 75 AM3 ** 3,384 No Yes 11.48% 89 AM2- * 3,256 No No 11.67% 42 AM3+ * 9,634 No Yes 11.73% 78 AM2- * 21,158 Yes Yes 11.80% 77 AM3+ * 1,857 No Yes 11.03% 78 AM2- * 2,427 No Yes 11.58% 75 AM3- ** 3,520 No Yes 11.60% 83 AM3- * 112 No Yes 11.93% 41 AM2- ** 21,617 No Yes 11.60% 76 AM3- ** 2,840 n/a Yes 14.05% 30

Cash Placements 57.0% 0.0% 0.8% 0.0% 3.2% 3.0% 6.0% 6.0% 0.6% 0.0% 4.5% 21.3% 4.3% 0.0% 9.5% 9.2% 2.0% 0.0% 3.8% 0.0% 7.3% 0.0% 1.8% 4.7% 3.5% 10.2% 6.0% 10.3% 26.1% 7.1% 8.0% 12.0% 0.3% 0.0% 7.2% 0.0% 2.0% 4.1% 0.0% 26.3%

Asset Allocation T-Bills CP Others 32.2% 0.0% 10.8% 99.0% 0.0% 0.2% 93.7% 0.0% 0.1% 88.0% 0.0% 0.0% 99.2% 0.0% 0.2% 69.6% 0.0% 4.5% 90.5% 0.0% 5.2% 80.3% 0.0% 1.1% 98.0% 0.0% 0.0% 96.2% 0.0% 0.0% 92.7% 0.0% 0.1% 87.2% 0.6% 5.6% 85.3% 0.0% 1.0% 83.6% 0.0% 0.1% 59.1% 7.1% 0.5% 79.0% 0.0% 1.0% 99.7% 0.0% 0.1% 92.8% 0.0% 0.0% 93.8% 0.0% 0.1% 73.5% 0.0% 0.0%

Mgmt. Fee Total % of Net Assets 100.0% 1.00% 100.0% 10% of Gross Earnings 100.0% 1.25% 100.0% 1.25% 100.0% 0.80% 100.0% 1.00% 100.0% 10% of Gross Earnings 100.0% 0.75% 100.0% 1.25% 100.0% 1.00% 100.0% 1.00% 100.0% 0.80% 100.0% 1.00% 100.0% 1.25% 99.9% 0.80% 100.0% 1.00% 100.0% 1.00% 100.0% 1.25% 100.0% 1.00% 99.8% 1.25%

Benchmark 3M TDR 3M PKRV 3M T-Bill Sav A/C Rate 50% 0% 50% 0% 0% 0% 100% 0% 30% 0% 70% 0% 50% 50% 0% 0% 80% 0% 0% 20% 30% 0% 70% 0% 100% 0% 0% 0% 100% 0% 0% 0% Average return of MMFs 50% 50% 0% 0% 30% 70% 0% 0% 100% 0% 0% 0% 50% 50% 0% 0% 100% 0% 0% 0% 50% 0% 50% 0% 100% 0% 0% 0% 0% 100% 0% 0% 50% 0% 50% 0% 100% 0% 0% 0% 0% 100% 0% 0%

Eliminator Variables Fund Rating Fund Stability Ratings measure the sensitivity of a funds Net Asset Value (NAV) and total return to changing market conditions, with particular emphasis on downside risk. Any rating below AA+ is an eliminator variable. AMC Rating Any rating below AM2 is impacts the management quality of the AMC, which has direct bearing on the funds under management. This is an eliminator variable, meaning thereby that any AMC with rating below AM2 is not considered. Assessment Variables AUMs Assets Under Management are not considered as important variable, however, funds having AUMs below PKR 1 Bn are considered as having lower bargaining power when it come to market transactions. Deal size of money market transactions (in government paper) is usually around PKR 50-100Mn and with lower bargaining power (AUMs lower than PKR 1 Bn), fund may not be able to secure best deals. Plus, higher rates are available on placements with FIs (esp TDR) if amount is above PKR 200 Mn. Thus, smaller fund size may effect performance. CDS Eligible WWF Provision CDS eligiblity offers various advantages in relation to pledges and transfers of units of funds especially for institutional investors. However, non-eligibility is not treated negatively but eligiblity is a positive variable in fund selection. The Finance Act 2008 introduced an amendment to the Workers' Welfare Fund Ordinance, 1971. As a result of this amendment it may be construed that all Collective Investment Schemes / mutual funds (CISs) whose income exceeds Rs. 0.5 mn in a tax year, have been brought within the scope of the WWF Ordinance, thus rendering them liable to pay contribution to WWF at the rate of two percent of their accounting or taxable income. However, tax revenue related laws are complex and ambiguous and need further clarifications/amendments. The said circular needs to be reviewed for further clarification/ rationalisation. Subsequently, the Constitutional Petition filed in the in the Honorable Sindh High Court. Returns offered by money market funds are the main variable for assessment. Industry median is above 11.00%, therefore annualized returns below 11.00% are treated as adverse for any MMF. In this analysis, YTD annualized returns are as of 31 Aug '12. Quantitative measure, such as WAM, assesses funds sensitivity to interest rate movements. A portfolio with lower sensitivity to changes in the interest rate has a more favorable impact on the fund and give fund manager flexibility for investment style in dynamic interest rate scenerio. Higher WAMs expose to interest rate risk, whereas too much lower WAM may expose to lower returns, therefore a collar of 33% on both ends is used for assessment (between 33 to 57 days - MMF WAM to be less than 90 days as per regulatory requirements). Due to unpredictable scenerio of discount rates in Pakistan, its considered better to keep WAM in medium band, giving flexbility to the portfolio. Presence of CP (unsecured paper) is also treated as a bit risky for money market funds. As CPs are considered as last resort for borrowing after choking of cash lines from banks. Plus, TDRs/placements with FIs for more than 25% may result in attracting extra costs on larger redemptions from the fund. Any placements with FIs for more than 25% of the portfolio are considered adverse.

Returns WAM

Asset Allocation

Management Fee Higher management fees result in returns dilution. With industry's majority at 100bps, the same is used as cap for assessment. Benchmark Benchmarks are more or less according to the requirements to track for performance of funds relevant to their investment style. Important Notes 1 This 360 degree analysis takes into account all the variables relevant to institutional investors. Fund Rating and AMC Rating are used as eliminators, as any AMC and MMF having ratings below that level is tagged as red. Rest of the outliars are highlighted and eliminations may be considered keeping in view the specific investing preferences of the client. 2 3 4 Concentration in unit holding pattern can potentially lead to large redemptions for open-end funds in a short interval, which can pose significant risk to a funds ability to maintain a stable NAV. Liquidity indicators are sensitized to measure the ability of a fund to service redemptions in a timely manner. Top ten holdings of funds are not publically available, however the same may be specifically asked from AMCs for proper assessment. Information used is taken from Fund Manager Reports of respective funds as on Aug 31, 2012. WWF provisioning details are based on Aug '12 FMRs of respective funds.