MUTUAL FUNDS

RETAIL RESEARCH

11 May 2016

1-3 month impact on returns due to change in Rating Profile and Average Maturity of debt instruments held by Debt MFs
Key points:
1.

As seen in the returns generated by debt schemes, any increase in the allocation to AA & Below papers in the last quarter have not positively influenced the returns of the schemes
much. They underperformed the other schemes in the rally that was witnessed post Union Budget. The yields of the 10 Year G sec benchmark witnessed a fall post Budget close to 40bps
to 7.44% level as the Finance Minister has assured to stick to the fiscal consolidation road map for FY17. The table 1 below shows the top 15 debt schemes which showed the maximum
change in rating profile along with the point to point return generated. In case of instruments which have residual maturity of less than 60 days (which is the case in most ultra short term
and liquid funds), funds are not required to mark-to-market these instruments and hence the impact of MTM gains or losses are not immediately visible. However we are not sure as to
how much these funds have benefitted by going down the rating curve.

2.

Looking at it the other way, funds that have gone up the rating curve (see Table 2) have not seen a significant underperformance compared to other schemes.

3.

Most of the schemes that increased their portfolio Average Maturity displayed outperformance compared to their peers. E.g, DHFL Pramerica Dynamic Bond Fund, Principal Govt Sec,
Indiabulls Gilt, ICICI Pru Gilt-Treasury-PF etc. (see Table 3)

4.

On the other hand, schemes that reduced their average maturity did not see underperformance compared to their peers (probably a reflection of active trading or intra month or intra
quarter changes). (see Table 4). Some Dynamic Income Funds, turned out better performers during the period, though they reduced their average maturity notably in the last quarter.
E.g, BNP Paribas Flexi Debt and Canara Rob Dynamic Bond.

5.

The schemes that have maintained their Average Maturity of portfolio of more than 15 years benefited from the post budget fall. Many Gilt LT and some Income funds (irrespective of
rating allocation changes) saw their NAV rise more than 5% during the period. E.g, ICICI Pru Gilt-Invest-PF, ICICI Pru Long Term Gilt, Birla SL G-Sec-LT, Birla SL Gilt Plus-PF, etc. (see Table 5).

I. Increase/Decrease in the allocation to AA and Below rated debt instruments:

1.Increase in the allocation to AA and Below rated debt instruments over the last one quarter in the portfolios of debt mutual funds (Top 15 schemes):
Dec-15
Scheme Name

LIC Nomura MF Income Plus(G)

BNP Paribas ST Income Fund-Reg(G)
BNP Paribas Bond Fund-Reg(G)
Franklin India Low Duration Fund(MD)
SBI Savings Fund-Reg(G)
UTI FRF-STP(G)
Principal Debt Opp Fund-Conservative (G)
BOI AXA Corporate Credit Spectrum (G)
DHFL Pramerica Low Duration Fund(G)
Baroda Pioneer Treasury Adv-Reg(G)
Reliance Medium Term(G)
Principal Debt Opp -Corporate Bond (G)

RETAIL RESEARCH

Category

Short Term Income

Short Term Income
Income Funds
Credit Opportunities
Ultra Short Term Plan
Ultra Short Term Plan
Ultra Short Term Plan
Credit Opportunities
Ultra Short Term Plan
Ultra Short Term Plan
Income Funds
Income Funds

Feb-16

Mar-16

AUM

111
165
85
1620
1220
3732
208
370
620
1048
4522
95

AA &
Below
6.63
9.90
1.35
72.59
40.36
29.98
25.29
41.39
52.87
49.48
39.18
0.00

AAA/A1

AA &
Below

88.21
58.35
19.14
26.23
57.46
59.06
69.57
32.77
45.07
59.23
59.65
91.20

5.93
31.83
6.96
71.21
45.70
32.31
23.46
46.39
47.69
49.36
43.59
7.93

AAA/A1

AA &
Below

58.61
33.00
25.91
25.21
52.18
48.05
71.17
28.65
48.97
46.85
49.91
70.62

40.77
29.19
18.05
87.06
54.29
43.72
38.95
54.70
65.26
61.69
49.77
10.37

AA rated papers
(Increase (+) /
Decrease (-)

Point to point
Return (%)

Average maturity (Yrs)

SD

AAA/A1

Change
in last
one
month

Change
in last
one
Quarter

Dec15

Feb16

Mar16

Change
in last
one
month

Change
in last
one
Quarter

1
Month

72.96
55.93
37.77
21.93
42.12
66.88
73.32
28.35
35.02
35.81
48.17
86.52

34.84
-2.64
11.09
15.85
8.58
11.41
15.49
8.31
17.57
12.34
6.18
2.45

34.14
19.29
16.70
14.47
13.93
13.74
13.66
13.31
12.38
12.22
10.59
10.37

0.77
1.08
8.74
0.90
0.71
0.81
0.75
2.81
0.64
0.99
1.02
0.06

0.24
2.00
4.54
0.80
0.63
0.87
0.72
2.62
0.49
0.99
0.95
0.14

0.48
2.63
3.87
0.93
0.85
1.22
0.68
2.64
0.62
1.21
0.99
0.14

0.24
0.63
-0.67
0.13
0.22
0.35
-0.04
0.02
0.13
0.22
0.04
0.00

-0.29
1.55
-4.87
0.03
0.14
0.41
-0.07
-0.17
-0.02
0.22
-0.03
0.07

0.90
1.03
1.07
0.92
1.05
0.99
1.06
1.03
0.90
1.01
1.02
0.79

3
Month
2.05
2.34
2.46
1.50
2.39
2.44
2.36
2.72
2.44
2.36
2.38
2.17

0.04
0.05
0.11
0.05
0.03
0.03
0.03
0.05
0.03
0.03
0.04
0.02

Page |1

RETAIL RESEARCH
BOI AXA ST Income Fund-Reg(G)
SBI Magnum InstaCash-Cash(G)
IIFL Liquid Fund-Reg(G)

95
1625
169

Short Term Income

Liquid
Liquid

5.51
0.00
0.00

28.98
81.65
82.89

7.71
2.42
0.00

35.37
69.33
86.80

15.19
8.90
8.89

83.31
89.40
72.51

7.48
6.48
8.89

9.69
8.90
8.89

3.37
0.15
0.06

1.65
0.06
0.07

0.90
0.13
0.06

-0.75
0.07
-0.01

-2.47
-0.02
0.00

0.83
0.77
0.66

2.28
2.08
1.94

0.07
0.00
0.01

Source: ACEMF.
2.Decrease in the allocation to AA and Below rated debt instruments over the last one quarter in the portfolios of debt mutual funds (Top 15 schemes):
Dec-15
Scheme Name

IIFL Dynamic Bond Fund-Reg(G)

Indiabulls Income Fund-Reg(G)
Birla SL ST Opportunities Fund(G)
UTI ST Income Fund-Reg(G)
UTI Income Opp Fund(G)
Indiabulls ST Fund(G)
L&T FRF(G)
SBI Treasury Advantage Fund-Reg(G)
Canara Rob Medium Term Opp Fund(G)
IDFC Ultra Short Term Fund-Reg(G)
Kotak Income Opportunities Fund(G)
L&T Ultra ST-Reg(G)
Sundaram Select Debt-STAP(G)
Reliance Corporate Bond Fund-(G)
Tata ST Bond(G)
ICICI Pru Short Term Plan(G)

Category

Credit Opportunities
Short Term Income
Credit Opportunities
Short Term Income
Ultra Short Term Plan
Ultra Short Term Plan
Medium Term
Ultra Short Term Plan
Credit Opportunities
Ultra Short Term Plan
Short Term Income
Credit Opportunities
Short Term Income
Short Term Income

Mar-16

AUM

Dynamic Income Funds

Income Funds

Feb-16

53
407
3458
5725
1011
244
129
1473
312
2873
1391
1579
661
1299
4591
5185

AA &
Below
61.79
51.58
56.49
30.58
76.33
67.47
36.83
34.59
41.83
26.66
78.05
16.59
20.42
75.06
14.79
24.08

AAA/A1

AA &
Below

35.50
33.70
12.57
30.84
19.42
42.07
53.01
52.11
35.98
70.92
15.96
64.38
55.65
19.68
55.62
36.41

65.41
23.04
40.94
10.49
66.79
37.30
34.90
20.72
31.22
19.45
72.33
6.48
9.80
76.69
5.18
12.50

AAA/A1

AA &
Below

33.39
50.92
13.45
45.03
18.15
60.40
51.97
52.14
50.90
76.99
22.61
48.97
56.96
18.45
71.91
38.29

9.74
0.00
32.33
10.37
57.94
49.76
20.33
19.96
28.36
14.64
67.98
6.79
10.62
65.55
5.39
14.77

AA rated papers
(Increase (+) /
Decrease (-)

Point to point
Return (%)

Average maturity (Yrs)

SD

AAA/A1

Change
in last
one
month

Change
in last
one
Quarter

Dec15

Feb16

Mar16

Change
in last
one
month

Change
in last
one
Quarter

1
Month

57.06
66.16
25.86
72.82
34.88
32.19
79.05
89.29
53.23
82.74
26.98
91.80
80.94
19.19
72.85
40.97

-55.67
-23.04
-8.61
-0.12
-8.86
12.46
-14.58
-0.75
-2.86
-4.81
-4.35
0.30
0.81
-11.14
0.21
2.28

-52.05
-51.58
-24.17
-20.21
-18.39
-17.70
-16.50
-14.63
-13.47
-12.02
-10.07
-9.80
-9.80
-9.50
-9.40
-9.31

1.56
3.88
5.13
3.12
2.33
0.81
0.43
0.66
3.47
0.61
1.96
0.39
4.57
4.27
2.91
4.29

1.50
1.74
5.60
2.01
2.08
0.52
0.28
0.57
3.50
0.99
2.25
0.60
2.81
4.23
2.59
4.76

0.20
2.43
5.70
1.12
1.88
0.91
0.86
0.89
3.10
0.97
2.04
1.00
2.87
4.01
2.52
4.67

-1.30
0.69
0.10
-0.89
-0.21
0.39
0.58
0.32
-0.40
-0.02
-0.21
0.40
0.06
-0.22
-0.07
-0.09

-1.36
-1.45
0.57
-2.01
-0.45
0.10
0.43
0.23
-0.37
0.36
0.08
0.61
-1.70
-0.26
-0.39
0.38

0.61
0.92
1.26
0.94
1.03
0.89
0.98
1.01
1.08
0.99
0.95
1.02
1.07
1.16
1.01
1.24

3
Month
2.49
2.09
3.08
1.96
2.28
2.15
2.29
2.37
2.36
2.43
2.56
2.31
2.48
2.64
2.25
2.71

0.20
0.10
0.09
0.07
0.06
0.06
0.03
0.03
0.07
0.03
0.05
0.03
0.07
0.08
0.06
0.10

II. Changes in the Average Maturity of the Portfolio:

3.Increase in the Average maturity (Yrs) of the Portfolio of debt mutual funds over the last one quarter (Top 15 schemes):
Dec-15
Scheme Name

L&T Gilt Fund(G)

RETAIL RESEARCH

Category

Gilt - LT

Feb-16

AA rated papers
(Increase (+) /
Decrease (-)

Mar-16

AUM

97

AA &
Below
0.00

AAA/A1

AA &
Below

0.00

0.00

AAA/A1

AA &
Below

0.00

0.00

Point to point
Return (%)

Average maturity (Yrs)

SD

AAA/A1

Change
in last
one
month

Change
in last
one
Quarter

Dec15

Feb16

Mar16

Change
in last
one
month

Change
in last
one
Quarter

1
Month

0.00

0.00

0.00

12.92

18.56

20.76

2.20

7.84

1.73

3
Month
4.88

0.25

Page |2

RETAIL RESEARCH
ICICI Pru Gilt-Treasury-PF(G)
LIC Nomura MF G-Sec-Reg(G)
ICICI Pru Short Term Gilt Fund(G)
IDFC Corp Bond Fund-Reg(G)
Axis Income Fund(G)
Birla SL Dynamic Bond Fund-Ret(G)
Baroda Pioneer Gilt Fund(G)
DSPBR G Sec Fund-Reg(G)
Franklin India G-Sec-Comp(G)
Axis Fixed Income Opp Fund-Reg(G)
Axis Dynamic Bond Fund(G)
BNP Paribas ST Income Fund-Reg(G)
Baroda Pioneer Dynamic Bond Fund(G)
JM Money Mgr-Reg(G)

Gilt - ST
Gilt - LT
Gilt - ST
Short Term Income
Income Funds
Dynamic Income Fu
Gilt - LT
Gilt - LT
Gilt - LT
Short Term Income
Dynamic Income Fu
Short Term Income
Dynamic Income Fu
Ultra Short Term P

45
65
159
1535
222
12502
60
726
66
400
320
165
27
75

0.00
0.00
0.00
0.00
4.84
12.17
0.00
0.00
0.00
30.65
2.85
9.90
14.94
6.50

0.00
0.00
0.00
0.00
21.77
1.19
0.00
0.00
0.00
48.98
19.89
58.35
0.00
56.85

0.00
0.00
0.00
0.00
7.56
11.54
0.00
0.00
0.00
26.67
4.78
31.83
17.46
5.63

0.00
0.00
0.00
88.70
27.09
1.21
0.00
0.00
0.00
43.37
27.94
33.00
0.00
86.77

0.00
0.00
0.00
0.00
8.07
6.41
0.00
0.00
0.00
24.69
4.71
29.19
22.18
6.76

0.00
0.00
0.00
94.19
35.35
8.89
0.00
0.00
0.00
54.85
33.62
55.93
0.00
92.65

0.00
0.00
0.00
0.00
0.51
-5.13
0.00
0.00
0.00
-1.98
-0.07
-2.64
4.71
1.13

0.00
0.00
0.00
0.00
3.23
-5.75
0.00
0.00
0.00
-5.96
1.86
19.29
7.24
0.26

0.41
12.67
2.72
0.00
7.90
17.42
9.68
10.60
19.61
1.50
9.90
1.08
10.61
0.40

0.42
12.42
6.72
4.09
11.00
18.31
9.25
10.68
20.38
3.60
12.20
2.00
10.94
0.30

5.69
17.13
6.09
3.14
10.50
19.96
11.63
12.44
21.40
3.20
11.50
2.63
12.06
1.72

5.27
4.71
-0.63
-0.95
-0.50
1.65
2.38
1.76
1.02
-0.40
-0.70
0.63
1.12
1.42

5.28
4.46
3.37
3.14
2.60
2.54
1.95
1.84
1.79
1.70
1.60
1.55
1.45
1.32

1.33
1.57
1.12
1.13
1.22
1.48
1.27
1.43
1.54
1.11
1.30
1.03
1.21
1.05

7.28
3.69
3.26
2.33
3.08
4.52
3.17
2.82
4.89
2.60
3.37
2.34
3.41
2.33

0.36
0.24
0.13
0.10
0.18
0.20
0.21
0.21
0.25
0.07
0.18
0.05
0.18
0.03

4.Decrease in the Average maturity (Yrs) of the Portfolio of debt mutual funds over the last one quarter (Top 15 schemes):
Dec-15
Scheme Name

UTI Gilt Adv-LTP(G)

JM Income(G)
IDBI Gilt Fund(G)
BNP Paribas Government Securities (G)
BNP Paribas Flexi Debt Fund(G)
Canara Rob Dynamic Bond Fund-Reg(G)
SBI Magnum Gilt-LTP-Reg(G)
Canara Rob Gilt PGS-Reg(G)
IDFC G Sec-PF-Reg(G)
IDFC G Sec-Invest-A(G)
IDBI Dynamic Bond(G)
Tata Dynamic Bond Fund-Plan A(G)
UTI Dynamic Bond Fund-Reg(G)
UTI Bond Fund(G)
Tata Gilt Securities Fund-A(G)

RETAIL RESEARCH

Category

Gilt - LT
Income Funds
Gilt - LT
Gilt - LT
Dynamic Income Fu
Dynamic Income Fu
Gilt - LT
Gilt - LT
Gilt - LT
Gilt - LT
Dynamic Income Fu
Dynamic Income Fu
Dynamic Income Fu
Income Funds
Gilt - LT

Feb-16

Mar-16

AUM

517
995
20
44
391
148
2243
58
161
766
82
1001
945
2648
98

AA &
Below
0.00
0.00
0.00
0.00
0.00
5.77
0.00
0.00
0.00
0.00
2.25
0.00
4.57
2.66
0.00

AAA/A1

AA &
Below

0.00
8.83
0.00
0.00
17.07
0.00
0.00
0.00
0.00
0.00
5.92
12.20
6.42
14.12
0.00

0.00
0.00
0.00
0.00
0.00
5.92
0.00
0.00
0.00
0.00
2.31
0.00
2.76
2.70
0.00

AAA/A1

AA &
Below

0.00
37.51
0.00
0.00
5.25
0.00
0.00
0.00
0.00
0.00
5.92
11.94
6.16
12.34
0.00

0.00
0.00
0.00
0.00
0.26
5.85
0.00
0.00
0.00
0.00
2.41
0.00
2.73
1.49
0.00

AA rated papers
(Increase (+) /
Decrease (-)

Point to point
Return (%)

Average maturity (Yrs)

SD

AAA/A1

Change
in last
one
month

Change
in last
one
Quarter

Dec15

Feb16

Mar16

Change
in last
one
month

Change
in last
one
Quarter

1
Month

0.00
98.08
0.00
0.00
35.04
6.79
0.00
0.00
0.00
0.00
10.60
24.63
28.72
17.56
0.00

0.00
0.00
0.00
0.00
0.26
-0.07
0.00
0.00
0.00
0.00
0.09
0.00
-0.03
-1.21
0.00

0.00
0.00
0.00
0.00
0.26
0.08
0.00
0.00
0.00
0.00
0.16
0.00
-1.84
-1.17
0.00

21.92
20.79
26.73
21.63
13.30
20.39
12.14
23.99
11.04
10.65
14.77
10.86
10.68
11.13
13.51

13.90
0.17
15.18
11.38
9.59
18.73
6.58
23.93
5.62
5.53
8.75
7.42
6.45
7.61
8.91

5.41
4.65
15.78
11.10
5.35
13.33
5.23
17.77
4.96
4.86
9.14
5.30
5.17
5.98
8.46

-8.49
4.48
0.60
-0.28
-4.24
-5.40
-1.35
-6.16
-0.66
-0.67
0.39
-2.12
-1.28
-1.63
-0.45

-16.51
-16.14
-10.95
-10.53
-7.95
-7.06
-6.91
-6.22
-6.08
-5.79
-5.63
-5.56
-5.50
-5.15
-5.05

1.45
0.76
1.34
1.38
1.20
1.24
1.30
1.40
1.31
1.21
1.16
1.09
1.53
1.39
1.29

3
Month
2.46
1.76
3.73
3.89
3.25
4.50
2.81
5.34
2.47
2.26
2.30
2.35
2.43
2.21
2.60

0.23
0.20
0.24
0.22
0.19
0.22
0.22
0.26
0.21
0.21
0.19
0.18
0.20
0.18
0.21

Page |3

RETAIL RESEARCH
5.Schemes that benefitted from the rally that witnessed post Union Budget:
Dec-15
Scheme Name

ICICI Pru Gilt-Treasury-PF(G)

DHFL Pramerica Inflation Index(G)
ICICI Pru Gilt-Invest-PF(G)
ICICI Pru Long Term Gilt Fund(G)
Birla SL G-Sec-LT(G)
Birla SL Gilt Plus-PF(G)
Canara Rob Gilt PGS-Reg(G)
HDFC Gilt-Long Term Plan(G)
Franklin India G-Sec-LTP(G)
Kotak Gilt-Invest-Reg(G)
ICICI Pru Long Term Plan-Ret(G)
ICICI Pru Income(G)
Kotak Bond Fund - Plan A(G)
Franklin India G-Sec-Comp(G)
L&T Gilt Fund(G)

Category

Gilt - ST
Inflation Inde
Gilt - LT
Gilt - LT
Gilt - LT
Gilt - LT
Gilt - LT
Gilt - LT
Gilt - LT
Gilt - LT
Income Funds
Income Funds
Income Funds
Gilt - LT
Gilt - LT

Feb-16

Mar-16

AUM

45
104
820
1507
941
58
58
2613
371
861
781
3314
4607
66
97

AA &
Below

AAA/A1

AA &
Below

AAA/A1

AA &
Below

AAA/A1

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
3.84
4.48
0.00
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2.91
5.97
1.43
0.00
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
7.07
2.88
0.00
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
3.06
6.01
0.83
0.00
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
6.75
3.16
0.00
0.00

0.00
10.43
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
12.04
10.49
22.26
0.00
0.00

AA rated papers
(Increase (+) /
Decrease (-)
Change Change
in last
in last
one
one
month
Quarter
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-0.32
2.91
0.28
-1.32
0.00
0.00
0.00
0.00

Average maturity (Yrs)

Dec15

Feb16

Mar16

0.41
7.45
23.78
22.21
23.21
22.58
23.99
20.86
20.92
14.45
18.56
19.36
14.65
19.61
12.92

0.42
6.37
24.29
23.29
20.62
23.76
23.93
21.29
21.63
17.00
20.17
19.53
16.84
20.38
18.56

5.69
8.33
20.63
22.65
19.45
23.59
17.77
20.55
21.53
15.75
15.18
17.10
13.43
21.40
20.76

Change
in last
one
month
5.27
1.96
-3.66
-0.64
-1.17
-0.17
-6.16
-0.74
-0.10
-1.25
-4.99
-2.43
-3.41
1.02
2.20

Point to point Return (%)

Change
in last
one
Quarter
5.28
0.88
-3.15
0.44
-3.76
1.01
-6.22
-0.31
0.61
1.30
-3.38
-2.26
-1.22
1.79
7.84

1
Month

2
Months

3
Months

1.33
1.20
1.57
1.66
1.75
1.60
1.40
1.57
1.58
1.82
1.44
1.51
1.68
1.54
1.73

4.33
3.77
5.43
5.28
5.28
5.14
4.92
5.08
4.83
4.91
4.93
4.98
4.61
4.56
4.39

7.28
6.56
5.79
5.60
5.58
5.57
5.34
5.28
5.19
5.13
5.10
4.94
4.90
4.89
4.88

SD

0.36
0.35
0.27
0.27
0.27
0.27
0.26
0.24
0.25
0.25
0.24
0.23
0.24
0.25
0.25

Dhuraivel Gunasekaran (Dhuraivel.gunasekaran@hdfcsc.com)

RETAIL RESEARCH Tel: (022) 3075 3400 Fax: (022) 2496 5066 Corporate Office
HDFC securities Limited, I Think Techno Campus, Building - B, "Alpha", Office Floor 8, Near Kanjurmarg Station, Opp. Crompton Greaves, Kanjurmarg (East), Mumbai 400 042 Phone: (022) 3075 3400 Fax: (022) 2496 5066 Website: www.hdfcsec.com Email:
hdfcsecretailresearch@hdfcsec.com.
Disclaimer: Mutual Funds investments are subject to risk. Past performance is no guarantee for future performance.This document has been prepared by HDFC Securities Limited and is meant for sole use by the recipient and not for circulation. This document is not to be reported or
copied or made available to others. It should not be considered to be taken as an offer to sell or a solicitation to buy any security. The information contained herein is from sources believed reliable. We do not represent that it is accurate or complete and it should not be relied upon as
such. We may have from time to time positions or options on, and buy and sell securities referred to herein. We may from time to time solicit from, or perform investment banking, or other services for, any company mentioned in this document. This report is intended for non-Institutional
Clients.
This report has been prepared by the Retail Research team of HDFC Securities Ltd. The views, opinions, estimates, ratings, target price, entry prices and/or other parameters mentioned in this document may or may not match or may be contrary with those of the other Research teams
(Institutional, PCG) of HDFC Securities Ltd. HDFC Securities Ltd. is a SEBI Registered Research Analyst having registration no. INH000002475.

RETAIL RESEARCH

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