Bangkok--13 Jul--Fitch Ratings
Fitch Ratings (Thailand) has affirmed Thailand-based TMB Treasury Money Fund’s (TMBTM) and TMB Money Fund’s (TMBMF) National Money Market Fund Ratings at 'AAAmmf(tha)'. Both are money market funds managed by TMB Asset Management Co., Ltd. (TMBAM).
The 'AAAmmf(tha)' ratings reflect the funds’ strong capacity to achieve their investment objectives of preserving principal and providing shareholder liquidity through limiting credit, market and liquidity risk. The main rating drivers are the credit quality, diversification, and liquidity of the funds’ portfolios and the capabilities and resources of TMBAM as investment advisor. As of 30 June 2011, TMBTM and TMBMF had approximately THB16.9bn and THB14.3bn, respectively, in total assets under management.
Both funds pursue their investment objectives by investing in high-quality short-term debt securities including the Thai government’s and Bank of Thailand’s debt securities, time deposits, bills of exchanges, promissory notes, and repurchase agreements.
Consistent with Fitch's 'AAAmmf(tha)' investment guidelines, TMBTM and TMBMF maintain high credit quality by investing exclusively in securities rated ‘F1(tha)’ or ‘F1+(tha)’ (with a minimum 50% in ‘F1+(tha)’) by Fitch or of a comparable credit quality according to other rating agencies. In line with the same guidelines, the funds limit their exposure to individual obligors and counterparties. As of 30 June 2011, both funds’ Portfolio Credit Factor, which is a risk-weighted measure of the credit quality and maturity profile of the funds’ portfolio securities, met Fitch's 'AAAmmf (tha)' investment guidelines of 1.50 or less.
The funds seek to limit their interest rate exposure by limiting its weighted average maturity to reset date (WAMr) to 60 days, consistent with Fitch's 'AAAmmf(tha)' investment guidelines. Although the funds do not set a limit on weighted average final maturity (WAMf), all of their investments are in fixed-rate securities resulting in similar levels between their WAMr and WAMf. As of 30 June 2011, TMBTM’s and TMBMF’s WAMr was at 44 and 56 days, respectively. The funds’ overall maturity profiles are currently consistent with Fitch’s investment guidelines of 397-day maximum maturity limit for financial institution, corporate and fixed rate-government securities.
The funds’ additional investment restrictions are aimed at maintaining sufficient levels of daily and weekly liquidity to meet investors' redemption requests. In line with Fitch's investment guidelines applicable to money market funds in Thailand, the funds invest at least 15% of its total assets in securities maturing overnight or other qualified assets and at least 30% of its total assets in securities maturing within seven business days or other qualified assets. The funds have fully met these liquidity requirements over the past 12 months. As of 30 June 2011, TMBTM had 89% of its total assets in securities maturing overnight or other qualified assets and 100% in securities maturing within seven business days or other qualified assets while TMBMF had 42% in securities maturing overnight or other qualified assets and 46% in securities maturing within seven business days or other qualified assets.
TMBAM has been operating a mutual fund business since 1996. The major shareholder is TMB Bank (‘A+(tha)’/Stable/‘F1(tha)’), Thailand’s seventh-largest commercial bank, with a 75% stake. As of 30 June 2011, TMBAM was ranked sixth in Thailand’s mutual fund business with 87 funds representing THB128.4bn worth of assets under management. Fitch notes that TMBAM has adequate compliance, monitoring, investment decision-making processes and fund support in place to ensure consistent performance in required investment practices.
The ratings may be sensitive to material changes in the credit quality or market risk profiles of the respective funds. A material adverse deviation from Fitch guidelines for any key rating driver could lead to the rating being downgraded by Fitch. For additional information about Fitch money market fund ratings guidelines, please see the criteria referenced below, which can be found on Fitch’s website.
To maintain the National Money Market Fund rating, Fitch seeks weekly fund and portfolio holdings information from TMBAM and conducts surveillance checks against its investment guidelines.