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Swisscanto Asset Management AG
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Short Duration Global High Yield
An Attractive Carry Strategy
Shahzada Omar Saeed, Head of High Yield
Citywire Conference, Cologne 21-22 June 2012
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Agenda
1. High Yield at Swisscanto
2. The Case for Short Duration High Yield
3. Investment Process
4. Product(s) and Performance
5. Appendix – The Case for High Yield
© Swisscanto Asset Management AG
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Lead Manager's Profile
Shahzada Omar Saeed
Head of High Yield
Omar Saeed (1975), MBA in Financial Management, is the lead
manager for the Swisscanto (CH) Institutional Bond Fund -
Global High Yield I and Swisscanto (LU) Bond Invest Global
High Yield H CHF/EUR/USD B and J
Previously he worked for Western Asset Management Company
in London as a High Yield Portfolio Manager, where he was
responsible to co-manage euros800m in High Yield and
leverage loan portfolios. He gained similar experience at
Foreign & Colonial Asset Management where he was Deputy
Manager for the Global High Yield retail fund. In addition Omar
gained industry experience at Standard & Poor’s Rating
Services in London. Omar received his MBA from Greenwich
University, Pakistan Campus of Southeastern University,
Washington D.C. in 1998 with Distinction in Financial
Management.
Joined Swisscanto: 2009 Professional experience: 13
years
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
F&C MaximumIncome Fund
(Apr 06-Apr 07)
Western AssetEuropean HighYield Portfolios(Jun 07-Jul 09)
Western AssetEuropean
Leverage LoanFund
(Oct 07-Jul 09)
Swisscanto (CH)InstitutionalGlobal High
YieldBond Fund(Jan 10 - to date)
Swisscanto (LU)Bond Invest
Short DurationGlobal High Yield
Fund(Jan 11 - to date)
Consistent & Solid Track Record of Alpha Generation
950bps
1080bps
242bps 246bps
Before fees & expenses
462bps
© Swisscanto Asset Management AG
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Swisscanto – High Yield Team
Hansueli Gasser
Senior Portfolio Manager
Hansueli Gasser (1959), lic. oec. HSG, is a member of the Senior Management and works as Credit Analyst and
Portfolio Manager in the High Yield team. As Portfolio Manager, he co-manages the Swisscanto (CH) Institutional
Bond Fund - Global High Yield I.
He began working in the securities business at UBS in 1985. In the course of his professional career, he has
acquired in-depth knowledge in corporate finance and M&A, and also in the credit, issuing and investment
business.
Joined Swisscanto: 2003 Professional experience: 27 years
Roland Hausheer
Senior Portfolio Manger
Roland Hausheer, (1973), lic. oec. et lic. iur. HSG, is a Director and member of the Senior Management. As a
senior portfolio manager within the high yield team he covers the airlines, energy and transportation sectors.
Roland began his career in the financial industry as credit analyst at RMF Investment Management, Pfaeffikon
(SZ) and London.
Prior to that, Roland was part of the Global Proprietary Trading team at Credit Suisse, London and as Credit
Analyst/Portfolio manager responsible for trading fundamental credit strategies in both high yield and investment
grade names.
Joined Swisscanto: 2011 Professional experience: 10 years
© Swisscanto Asset Management AG
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High Yield at Swisscanto –
Now a Top Quartile High-Yield Manager By Assets
High Yield AuM’s almost tripled since 2010 --- Committed & Growing Set of Investors
High Yield AUM ($m) at Swisscanto
$475.0
$215.0
$315.0
$0
$200
$400
$600
$800
$1'000
$1'200
$1'400
June 2007 June 2008 June 2009 June 2010 June 2012
Swisscanto (CH) Institutional
Bond Fund - Global High Yield I
Swisscanto (LU) - Short Duration
Global High Yield H
High Yield Investments in
Credit/Absolute Return Funds
© Swisscanto Asset Management AG
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R: 1
G: 138
B: 69
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G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
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R: 36
G: 192
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G: 185
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Agenda
1. High Yield at Swisscanto
2. The Case for Short Duration High Yield
3. Investment Process
4. Product(s) and Performance
5. Appendix – The Case for High Yield
© Swisscanto Asset Management AG
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R: 1
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G: 236
B: 198
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Case for Short Duration High Yield
Key Investment Highlights
• Significantly reduces exposure to interest rate risk
• Significantly reduces volatility
• The sub-asset class makes an excellent substitute vs equities
• Significantly lowers credit risk
• Forms a strong alternative vs the leverage loan asset class/funds
Swisscanto is Currently the Only Provider for a Global High Yield Short Duration Fund
© Swisscanto Asset Management AG
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R: 1
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B: 69
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G: 236
B: 198
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R: 36
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R: 164
G: 236
B: 245
Source: J.P. Morgan; S&P/LCD
Investment Rationale – Short Duration High Yield versus Interest
Rate Sensitive Products
High Yield serves as a strong hedge against rising treasury yields
© Swisscanto Asset Management AG
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Short Duration High Yield’s negative correlation to interest rates would be at least similar to leveraged loans
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© Swisscanto Asset Management AG
Investment Rationale – Short Duration High Yield Currently Generates
50%-55% of Volatility, but Investors Realise 90% of the Regular High Yield
Short Duration High-Yield offers an Exceptional Risk Reward
Stabile Phase
X
Regular High Yield Generates 50%
Volatility for Similar Returns as Equities
Short Duration High Yield Generates 50%
Volatility for 85% of The Regular Yield – In
Other Terms Short Duration High Yield
Generates a Quarter of Volatility for 85% of
Equities Returns
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Investment Rationale –
Asset class performance during recent periods of market stress
Merril Lynch Benchmark
Indices data as of the 8th
June 2012
Benchmark
Credit
ratings
Benchmark
Duration
Benchmark
Spread
Benchmark
Yield
Aug-Oct
2011
sell-off
Systemic
crisis
returns
March 2011
(Fukushima
, rising
treasuires,
ME
uprising)
May 2010
(European
peripheral
crisis)
FY 2008
(peak of
systemic
crisis)
SWC Glb High Yield
(Q432)
SWC Global Short
Duration high-yield (Q471)
Global IG (G0BC)
Sub Financial (Q510)
Global EM (IM00)
Equities (S&P 500)
B+
B+
A-
BBB
BB-
n.a.
4.2yrs
1.95yrs
5.8yrs
5.0yrs
5.7yrs
800bps
735bps
250bps
1030bps
815bps
8.88%
7.91%
3.39%
11.375%
9.125%
2.1%
(div yield)
-11.8%
-6.8%
-1.6%
-21%
-8.5%
-22%
-0.34%
+0.24%
-0.12%
+0.64%
+1.70%
-0.15%
(intra
month
-6%)
-3.23%
-1.44%
-0.39%
-2.95%
-2.62%
-8.25%
(intra
month
-18%)
-28.6%
-13.1%
-4.9%
-25.7%
-19.0%
-39.1%
Only in a systemic crisis, investors are at risk of significant underperformance
© Swisscanto Asset Management AG
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R: 1
G: 138
B: 69
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G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
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B: 132
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B: 245
Investment Rationale –
Lower Credit Risk: A Case of Temporal Seniority
Despite MGM’s low credit ratings of B3/CCC+, this is not reflective of the group’s adequate
liquidity profile (We Hold the 10.375% May 2014 secured bonds)
© Swisscanto Asset Management AG
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R: 1
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G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
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B: 245
Investment Rationale –
Short Duration Global High Yield vs Leverage Loans
Key data points as at 8th June 2012 Swisscanto Short Duration Global High Yield
Benchmark
US Leverage Loans Index
Income 7.5% 4.0%
Yield 7.9% 6.87%
Final maturity <2.5 years 5 years
Credit Spread Duration 1.95 yrs 3 yrs
Spread vs Treasury 735bps 584 bps
Leverage 3.8x 3.9x
Average issuer ratings BB- B
Average issue (Benchmark Credit Ratings) B+ B+
Interest Rate Risk low none (FRN structure)
Liquidity (bid/offer) 1.5pts 2.0pts
A. Total return expectations 1st June 2012 Approx 10% Approx 6%
B. Default rate consensus (for next 2 years) 3.0% 2.5%
C. Recovery rate 35% 65%
D. Default loss (B x (100%-C)) 1.9% 0.88%
Total return after default loss (A-D) Approx 8% approx 5.125%
Short Duration High-Yield offers a strong alternative to Leverage Loans
© Swisscanto Asset Management AG
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B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
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B: 245
Investment Rationale – High Yield Fundamentals In Far Better
Shape, Despite an on-going EU Zone Recession
• Corporate balance sheets are
in solid shape, cash to debt
ratios well above average
• Cash levels can cover all debt
maturities for 2012, however
from H2 2013 - 2015 a
maturity wall does exist in
Europe
• Fundamental Picture amongst
US High Yield Corporates
remains solid
© Swisscanto Asset Management AG
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R: 1
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B: 69
R: 198
G: 236
B: 198
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• High Yield issuers on aggregate still focused on improving credit metrics & generating
free cash flow
• Stress levels in covenants are very low compared to prior recessions
Investment Rationale – High Yield Fundamentals in Far Better
Shape, despite an on-going EU Zone Recession
© Swisscanto Asset Management AG
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R: 255
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R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
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S&P, Moody’s and the market forecasts 2012 defaults approx 2.5% & recoveries at 40%
Default Outlook – Swisscanto’s Conservative Outlook...
Source: Swisscanto
Inverse Correlation of Defaults and Recoveries
1.5%
3.9% 4.0%
10.4%
18.2%
5.5%
1.4% 2.4%
0.7% 0.6%
7.3%
12.7%
0.7%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012E
0%
10%
20%
30%
40%
50%
60%
Aggregate Default Rate (LHS) Aggregate recovery (RHS)
1.7%
4.0%
market estimates default
Rates circa 2.5%
at recovery of 40%
© Swisscanto Asset Management AG
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R: 1
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B: 69
R: 198
G: 236
B: 198
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…leaving room for spread tightening
Swisscanto Forecasts Fair Value for Short Duration high yield market approx 500bps-550bps
What Swisscanto short duration global high yield customised benchmark spread implies for future default rates:
Actual Spread - Excess Spread* Default loss par- recovery rate Default Rate
735 bps - 300 bps = 435 bps / (100%-40%) = 7.3%
Lets assume conservatively a recovery rate of 35% and a 4% default rate, our spread forecast:
Default Rate x par-recovery rate = Default loss + Excess Spread* Forecast
4.0% x (100% - 35%) = 260 bps + 300 bps = 560 bps
as of 8th June 2012 *Excess spread = past 25 year premium for liquidity & volatility ranges between 150bps-380bps (For Regular High Yield)
*Excess spread = past 25 year premium for liquidity & volatility ranges between 150bps-380bps (For Regular High Yield) as of 8th June 2012
Our fund offers a spread carry of 840bps, hence tightening potential stronger than the market
© Swisscanto Asset Management AG
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R: 255
G: 121
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R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Spread Tightening Potential for Short Duration High-Yield –
Assessed from a Volatility Perspective
• With shorter business cycles and a
prevailing debt crisis volatility likely to
remain elevated for the medium term
• We assume an average VIX level of mid-
20's over the coming years on an
average basis
• Taking into account Short Duration High
Yield sub-asset class generating 50%
lower volatility than regular high-yield,
minimum excess spread investors should
be compensated for conservatively is
250bps-300bps range
© Swisscanto Asset Management AG
17
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B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Source: Swisscanto
Total Return Forecast for 12 months
Running income unhedged
(May 30th 2012 onwards) 7.90%
Swisscanto short duration HY benchmark
Yield
Hedging costs + yield differential -0.06% Interest rate differential + hedging transaction
costs of 12bps p.a.
Current Positive carry over benchmark +1.00% Typically ranges averages 60 bps +
benchmark
Running income EUR hedged 8.84%
Expected impact of change in 2yr treasury
yields -1.00%
Assume 2 year treasury/bunds yields rise a
further 50 bps (0.625%)
Expected impact of change in spreads +2.6% That is 135bps tightening x duration of the
benchmark (1.95 yrs) to 600 bps
Expected return before fees 10.46%
We Forecast Short Duration High Yield Total Returns of
8%-10%% p.a. (EUR hedged) in 2012-2013
© Swisscanto Asset Management AG
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R: 1
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B: 158
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G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Agenda
1. High Yield at Swisscanto
2. The Case for Short Duration High Yield
3. Investment Process
4. Product(s) and Performance
5. Appendix – The Case for High Yield
© Swisscanto Asset Management AG
19
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B: 229
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G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
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R: 164
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B: 245
High Yield Investment Process – An Integrated Approach
Equal emphasis applied to Top Down and Bottom up Process
Portfolio Construction
approx. 100 issuers
50%
Credit
Analysis
50%
Beta
Analysis
• High Yield Team are members & contributors to the Credit,
Equity & Alternative Investment Tracks
• Objective of these tracks is to gauge "Risk-off" &
"Risk-on" nature of the market
• Opinions and conclusion reached aren't necessarily
binding, as nature of the asset class would demand
a varying Portfolio Strategy implemented by Lead PM
• Bottom up emphasis of 50% does not imply 50% time
spent on bottom up process, almost 80% of time
consumed by High Yield team is on stock selection
& trade idea generation;
© Swisscanto Asset Management AG
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G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
• Vertically integrated
• Apart from the Macro
strategy, the high-yield team
are contributors within the
alpha tracks for the credit,
equity and alternative
investments strategy(s)
• Pragmatic and systematic
Strategy
Issuer Analysis &
Portfolio
construction
• Consistent and efficient
implementation
• Solid platform
• Best execution
• Multi-level management of all
relevant risks
High Yield Investment Process – An Integrated Approach
Simple, Systematic and Replicable
Control
© Swisscanto Asset Management AG
21
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
• Apart from the Macro
strategy, the high-yield
team are contributors
within the alpha tracks for
the credit, sector, equity
and alternative
investments strategy(s)
• Pragmatic and systematic
Credit Beta
• In-depth Credit
analysis
• Relative Value
Analysis
• Challenged by co-
manager, and sector
specialist from Investment
Grade side during daily
and weekly reviews
• Decisions are immediately
binding for HY portfolio &
Investment grade PM’s
holding High Yield bonds
• Systematic documentation
High Yield Investment Process – An integrated approach
Simple, Systematic and Replicable
Ratification
• Solid platform
• Best execution via
trading desk
Execution
Bottom up
Analysis &
Portfolio
Construction
© Swisscanto Asset Management AG
22
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
High Yield Issuer Analysis –
An equal emphasis on bottom-up process
Experience managing leverage
Reporting style – transparency, accessibility
Quality and depth of experience
Free cash flow (FCF) generation (EBITDA – cash interest- taxes- working capital adjustments-
capital expenditures-dividends; (FCF/Sales, FCF total debt), net debt to EBITDA, Interest cover ratios
Liquidity and covenant analysis (average debt maturity, borrowing capacity, headroom within
Covenants, bondholder protection
Seniority of debt
Across capital structure, (loans, senior secured, senior sub, sub, holdco etc
Compare value vs market and vs peers, convexity of the bond
Analysing default probabilities via assessing Compensation per turn of leverage & implied equity cushion
Fundamental rating (analog rating agencies) - Trading recommendations (over-/underweight).
In Depth & Traditional Credit Analysis
Relative competitive position
Key profitability drivers
Cyclicality of business
Calculate asset values based on total enterprise value (TEV) to EBITDA, its comparability with to public
comparables, near term market transactions
Management
Company Analysis
Financial Profile
Asset Valuation
Relative Value
Analysis
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
High Yield strategy – Ratification process
Analysts
recommendation
Responsible PM / Analyst
gives recommendations
based on secondary
analysis and market
observations
Ratification
Challenged by co-
manager, and sector
specialist from
Investment Grade side
during daily and weekly
reviews
Objectives
Decisions are
communicated and
immediately binding for the
High Yield portfolio &
Investment grade portfolio
managers holding High
Yield bonds
Systematic documentation
Vertical integrated Analysts/Investment Manager Model
© Swisscanto Asset Management AG
24
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Portfolio Surveillance – Adequate Resources to Systematically
Cover 130-140 Issuers
Global High Yield fund: 86 High Yield
11 Investment Grade
Short Duration Global High Yield: 71 High Yield
12 Investment Grade
Total High Yield Issuers: 111 Significant Overlap
Total Investment Grade Issuers: 15 Significant Overlap
Total Issuers: 126 HY and IG Issuers
Hansueli Gasser: 35-40 HY issuers
(Capital Goods, Consumer cyclical,
Technology, Commodities )
S.Omar Saeed: 30 HY issuers
(Telecoms, Services Cyclical,
Paper & Packaging)
Roland Hausheer: 35-40 Issuers
(Energy, airlines, transportation)
Investment Grade & Xover Coverage
Stefan Eichenberger (autos): 6 (Xover Issuers)
Blaise Roduit Pharma/Consumer Staple): 4 (Xover Issues)
Jerome Benathan (Energy & Telecoms): 8 (IG/Xover Issuers)
Mirko Santucci (IG Financials): 11 (IG Issuers)
Total Issuer Coverage: 29 (24% of issuers)
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Investment Process – Sell discipline an Absolute Key
Relative value target
Revised credit opinion
• Valuation of bond, meets or exceeds our fair value target
• And/or the credit risk associated with holding a bond is no longer compensating for the expected
returns ; for e.g. entire CCC overweight sold on April 21st 2010 (5 days prior to the recent market sell-off
relating to soverign debt fears);
During May-July 2011 we built upto c19% cash and government bonds, anticipating a sell-off
• Analyst/PM changes his original premise that effects our fundamental valuation
We outperformed the benchmark 4 out of 5 times during periods of market stress
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Investment Process – Strong Sell Discipline Evidenced by
Outperformance during times of Market Stress
Strong Investment Process Ensures Consistent Outperformance during Periods of "Risk-off"
-4.00%
-3.50%
-3.00%
-2.50%
-2.00%
-1.50%
-1.00%
-0.50%
0.00%
0.50%
1.00%
Feb 10 May 2010 Nov 10 Mar 2011 July-Oct2011
Benchmark (CHF 100% hedged)
Swisscanto CH Inst Global High Yield Fund
+7bps
+15bps
-47bps
+22bps
+96bps
* Before fees & expenses * Before fees & expenses
16.00%
16.50%
17.00%
17.50%
18.00%
18.50%
19.00%
19.50%
20.00%
20.50%
Benchmark (CHF 100%hedged)
Swisscanto CH Inst GlobalHigh Yield Fund
Cumulative Outperformance
Alpha
+242bps
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Investment Process – Consistent Implementation of Strategy
Portfolio Positioning Since April 2012
Lowered duration, increased cash levels , improved credit ratings and increased allocations to secured bonds
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Portfolio Construction
• Optimal diversification – we target issuers concentration at about 100 issuers (+/- 10) with
High Yield accounting for 85 names (+/- 10) with the remainder comprising of top 15
(+/- 5) picks in the investment grade space
• Allocate 5%-7% of portfolio for tactical capital structure and relative value arbitrage trades
on a monthly basis
• Consistent implementation of the macro- and credit-strategy
• Neutral positioning of currencies
• Efficient implementation through state-of-the-art tools
• Cost-efficient execution of trades through own execution desk
Optimal Diversification, Consistent and Efficient Implementation
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Risk Management
PM risk quantification (Risk Manager IV)
Ongoing quantification by CRO (Risk Metrics)
Risk monitoring committe identifies new risks
Management of counterparty limits
Independent controlling of all investment guidelines.
Automated control of limits in SimCorp Dimension.
Market risks
Counterparties
Compliance
Ongoing performance control by performance analyst Performance
Operational risk committee
Internal and external audit
Op risk
Comprehensive Management of all Relevant Risks
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
• Depiction of the
benchmarks at securities
level
• Daily updated
representation of the
positioning as per
investment policy in the
Simcorp portfolio
management system
• Breakdown of the tracking
error using Risk Manager IV
Control – Investment Controlling
Portfolio Manager Team leader
CIO
• Monthly reviews
• Continuous performance
monitoring
• Limit monitoring by
independent controlling
• Automatic reporting carried
out by the system
Independent Investment Controlling
Investment
Controlling
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Agenda
1. High Yield at Swisscanto
2. The Case for Short Duration High Yield
3. Investment Process
4. Product(s) and Performance
5. Appendix – The Case For High Yield
© Swisscanto Asset Management AG
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R: 253
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B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (CH) Institutional Bond Fund – Global High Yield I
(Global High Yield Fund)
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (CH) Institutional Bond Fund – Global High Yield I
Product Strategy
• Benchmark:
Customized Global High Yield Benchmark: 66.67% Merril Lynch European currency 2%
constrained, excluding financials + 33.33% Merril Lynch US HY 2% constrained, excluding
financials
• Merrill Lynch Global High Yield hedged in CHF (Q432) from 01.02.2010
• Actively managed and well-diversified multi-currency Global High Yield bond fund
• Minimum average ratings allowed : B-/B3
• Min. 85% invested in High Yield bonds (non-sovereign and non-government issuers)
• Maximal bond weight:
Weight in the benchmark index + max 3.0% (max 1% if rated CCC and below)
• Tracking Error ex ante <3%-4%
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Performance – Remains Comfortably Top Quartile (in local
currency terms) versus peers
Minimum 9.8%
is the
cumulative
differential in
interest rates &
hedging costs
b/w CHF & USD
Implying Our
Top Ranking
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Performance – Performance vs Relevant European Peers
(in LC terms), Since Takeover
Minimum
2.6%
Cumulative interest
rate & hedging
cost difference
b/w CHF & EUR
& GBP
Implying we
rank #2
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
01.0
2.2
010
01.0
4.2
010
01.0
6.2
010
01.0
8.2
010
01.1
0.2
010
01.1
2.2
010
01.0
2.2
011
01.0
4.2
011
01.0
6.2
011
01.0
8.2
011
01.1
0.2
011
01.1
2.2
011
01.0
2.2
012
01.0
4.2
012
High Yield - Total Return Profile
SWISSCANTO CH INS BD-GL HY-I ALLIANZ EURO HIGH YIELD-C ABERDEEN GL-SL EURO HY BD-A2PICTET-EUR HIGH YIELD-P HERMES GLB HIGH YLD BD-Z£A HENDERSON HIGH YLD M IN-A-INBLUEBAY-HIGH YIELD BOND-B€ NEWTON GLBL HI YLD BD-£-INC F&C MAXIMUM INCOME BD-1-INCING L RENTA-GL HI YLD-PC€H HSBC GIF-EURO H/Y BOND-IC ROBECO HIGH YLD BD-E€ KAMES HIGH YIELD GLOBL BD-A€
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (CH) Institutional Bond Fund – Global High Yield I
Consistent Investment Style and Strategy
• Better than benchmark credit ratings in our fund:
Fund BB- vs Benchmark B+
• Shorter duration than the benchmark, 0.4yrs-
0.5yrs, allowing to reduce volatility & retain pull to
par feature
• Retain a greater security and recovery profile for
our fund. The benchmark consists of 30% secured
bonds, we maintain 43% secured bonds
(exceeding our 35%-40% targeted range)
• Retain NO active exposure to toxic & illiquid high
yield rated financial tier-1 securities
• Retain a running yield of approx 100bps above
the benchmark coupon of 7.78% we plan to
maintain this level, implying a cumulative income
of approx 8.6% on a cumulative basis (unhedged);
Higher Quality, Higher Carry, High Security & Yet Market Beating Performance
8th June, 2012 Key Portfolio Statistics Global High Yield Benchmark Cash 8.00% 0.00%
Investment Grade 10.20% 4.25%
BB 25.40% 50.50%
B 44.00% 33.75%
CCC 12.4%* 11.50%
Average credit ratings BB- B+
Average Duration 3.54yrs 4.15yrs
Average Yield 10.12% 8.875%
Par weighted coupon 8.60% 7.75%
Secured bonds 43.4% 31.6%
Cumulative Performance** 20.0% 17.58% * 1.4% CCC bonds to be redeemed by end of June 2012 due to an IPO
**since internal implementation of new benchmark internally 1st feb 2010 & before costs, fees,
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (CH) Institutional Bond Fund – Global High Yield I
Key Sector Positioning
• Emphasis still primarily based upon
issuer selection and bottom-up
analysis
• Overweight, TMT, Healthcare,
Consumer & services cyclical,
Packaging, Building materials & IG
subordinated (Tier-1, UT2, LT2)
financials with short calls (<2 years)
• Retain underweight Energy &
Utilities, Basic Industries, Airlines,
Housing & construction sectors
• Current emerging markets exposure
(on a commercial basis) of approx
18%, (main exposures to South
Africa, Latin America, Russia,
China/HK,)
Paper & Forestry; 5.4%
Investment Grade Financials; 4.6%
Chemicals; 2.8%
Utilities; 1.0%
Healthcare; 7.2%
Real Estate; 1.6%
Automotive; 3.4%
Energy; 4.1%
Cyclical services; 9.6%
Consumer Staples; 5.0%
Telecoms; 15.9%
Media; 5.1%
Technology; 0.9%
Transport; 7.5%
Machinery; 2.5%
Building Materials; 7.5%
Packaging; 3.2% Metals & Mining;
3.7%
Aerospace & Defense; 1.4%
Retailers; 3.3%
Sector breakdown
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (CH) Institutional Bond Fund – Global High Yield I
Key Data
Name Swisscanto (CH) Institutional Bond Fund - Global High Yield I
Currencies CHF (global portfolio all currencies are hedged)
Tranches I (Institutional)
Security number 3095586
ISIN CH0030955865
Domicile Switzerland
Distribution Distributing
Registration CH
All-in fee 0.80% p.a.
© Swisscanto Asset Management AG
39
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (LU) Bond Invest Short Duration Global High Yield H
CHF/EUR/USD B and J
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (LU) Short Duration Global High Yield H –
Key Investment Guidelines
Name Swisscanto (LU) Bond Invest Global High Yield H (Short Duration)
Portfolio Maturity 3 years – 4years (Current 2.7years)
Total Single Positions Max 10% > 4 years
Portfolio (credit) spread duration Benchmark 1.9years +/- 0.5years or <2.5 years
Portfolio Instruments Fixed & Floating rate notes + CDS
Target Issuers Minimum 70 issuers
Reference Index 50% Merril Lynch US HY (1-3 year) + 50% Merril Lynch EU HY (1-3 year), ex-financials
Current Yield to Maturity 9.2% (dynamic)
Average Credit Ratings
Strictly maintained between B+ to BB- (Benchmark B+)
Per Issuer BB & B max 5%
Per Issuer >CCC max 2.5%
Secured Bonds Exposure >30% of portfolio
Sectors Max weight per sector 20%
Max weight Financials 10% (incl: Max weight subordinated financials 5%)
Risk Tracking error ex ante >3%-4% ex-post (4%-5%)
© Swisscanto Asset Management AG
41
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (LU) Short Duration Global High Yield H –
Consistent Investment Style & Strategy
8th June, 2012 Key Portfolio Statistics Short Duration High Yield Fund Benchmark Cash 11.50% 0.00%
Investment Grade 6.90% 2.80%
BB 20.30% 49.00%
B 55.60% 32.60%
CCC 5.70% 12.30%
Average Credit Ratings BB B+
Average Credit Spread Duration 1.79yrs 1.90yrs
Average Yield 9.20% 7.91%
Secured bonds 48.2% 19.6%
EU High Yield 43.5% 50.0%
US High Yield 56.5% 50.0%
Total Positions 116 273
Cumulative Performance* 7.29% 4.83% CHF J *H initiated 31st January 2011 before fees, hedging costs
Higher Quality, Higher Carry & High Security Yet Market Beating Performance
© Swisscanto Asset Management AG
42
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (LU) Short Duration Global High Yield H:
Pull to Par Effect – "Hard-Wired" Commitment to Lower Duration to
1.5yrs from 1.8yrs by YE 2012
• Pull to Par effect to become very
strong in the next 6 months
• Investors entering in the strategy now,
are effectively entering the sweet-spot of
the portfolio ---almost 75% of portfolio
will have a duration less than 2 years
• Volatility in the fund is likely to decrease
further and the highest yield amongst
peers of 9.2% will allow superior risk
adjusted returns
• Focus is to maintain our superior
track record of ZERO defaults and
ZERO near defaults
Investors Taking Exposure Now Are Close to Entering The Sweet Spot of the Portfolio
*As at June 8th 2012
23.0%
31.0%
9.0%
22.0%
15.0% Credit Spread Duration<1 year (incl Cash)
Credit Spread Duration 1-2 years
Credit Spread Duration 2-2.5 years
Credit Spread Duration2.5-3 years
Credit Spread Duration>3 years
© Swisscanto Asset Management AG
43
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (LU) Short Duration Global High Yield H –
Sector Diversification
Key Highlights
• Portfolio consists of 86 issuers,
diversified in 15 sectors
• 55% of sector positioning is
defensive
• Financial subordinated issues
exposure below the max 5% limit
• No sector exposure beyond 20%
Financials - Subordinated; 4.20%
Financials - Senior ; 1.20%
Real Estate; 1.10%
Paper & Forestry; 6.90%
Chemcials; 3.30%
Metals & Minings;
3.70%
Packaging; 1.50%
Building Materials; 7.20%
Auto; 3.30%
Pharma/HealthCare; 14.90%
Retailers; 5.60% Consumer
Staples; 2.90% Energy & Utilities;
6.30%
Telecom/Media; 9.30%
Transport; 7.30%
Cyclical Services; 9.80%
Cash; 11.50%
© Swisscanto Asset Management AG
44
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (LU) Short Duration Global High Yield H – Global Strategy &
Expertise Allows For us to Efficiently Invest Across Geographic Areas
US High Yield 57%
EU High Yield 43%
US High
Yield ; 45%
EU High Yield; 55%
• Sovereign related stress
& recession in peripheral
Europe = underweight EU
Geographic Strategy at
Launch (31st January
2011)
Geographic Strategy
(Dec 2011 – March 2012)
Geographic Strategy at
Present
(June 15th 2012)
US High Yield 57%
EU High Yield 43%
• Prior to LTRO1 program
implementation, on the 19th
December 2011, we cut our
entire overweight in US HY and
moved overweight in EU HY
• Since April 2012 , tight
valuations and profit
taking on EU short
duration high-yield
positions , move back to
underweight EU
© Swisscanto Asset Management AG
45
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (LU) Short Duration Global High Yield H –
Performance vs Peers with >1 year Track Record
Maintain zero exposure in GIP, significant underweight in peripheral Europe (companies earnings range 15%-28%
on domestic regions), zero defaults & zero near defaults in our portfolio
Relative underperformance during stress period purely due to differences in product & geographic area of focus
(peers are focusing on >B and 100% US HY short duration benchmarks
-10%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
02.2
011
04.2
011
06.2
011
08.2
011
10.2
011
12.2
011
02.2
012
04.2
012
Swisscanto Short Duration High Yield vs Peers (Euro (Inst) Tranche)
SWISSCANTO LU BD-GL H/Y-H€J AXA IM FIIS-US SH DUR HY-EH€ MUZINICH SHORT DUR HG YD-H€A
PETERCAM L-BONDS EUR HY ST-F UBS LUX-SH DUR HIGH YLD-€HPA WFA SHRT TRM HI YLD-INV
© Swisscanto Asset Management AG
46
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (LU) Bond Invest Global High Yield H –
Performance vs More Recent & European Short Duration Peers
-10%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
09
.03.2
01
1
09
.05.2
01
1
09
.07.2
01
1
09
.09.2
01
1
09
.11.2
01
1
09
.01.2
01
2
09
.03.2
01
2
09
.05.2
01
2
Swisscanto Short Duration High Yield vs Nordea Short Duration High Yield
SWISSCANTO LU BD-GL H/Y-H€J NORDEA 1 LOW DUR US HY-HBI€
-1%
0%
1%
2%
3%
4%
5%
6%
01
.02.2
01
2
01
.04.2
01
2
01
.06.2
01
2
Swisscanto Short Duration High Yield vs Peers (Euro (Inst) Tranche)
SWISSCANTO LU BD-GL H/Y-H€J PICTET-EUR SHRTRM HI YLD-P
-12%
-10%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
02
.06.2
01
1
02
.08.2
01
1
02
.10.2
01
1
02
.12.2
01
1
02
.02.2
01
2
02
.04.2
01
2
02
.06.2
01
2
Swisscanto Short Duration High Yield vs Peers (Euro (Inst) Tranche)
SWISSCANTO LU BD-GL H/Y-H€J WESTLB-EUR CRED SH DUR-RF-B
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
19
.08.2
01
1
19
.10.2
01
1
19
.12.2
01
1
19
.02.2
01
2
19
.04.2
01
2
Swisscanto Short Duration High Yield vs Axa EUR Short Duration High-Yield
SWISSCANTO LU BD-GL H/Y-H€J AXA IM FIIS-EUR SH DUR H-B€I
© Swisscanto Asset Management AG
47
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (LU) Short Duration Global High Yield H –
Superior Alpha Generation versus Peers
Substantiates our Superior Alpha Generation Capacity versus Competitors Globally
100% of our investments reported earnings better than and/or in line earnings results during
Q1 2012, showcasing our superior stock selection capacity
* Before Fees & Expenses
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
8.00%
9.00%
US HY (BB-B) 1-3 year 2% Cap (EUR H) EU High Yield (ex financial) 2% Cap (EURH)
Swisscanto Short Duration HYBenchmark (ex-financial) 2% cap (EUR H)
Swisscanto Global HY Short DurationFUND (EUR J Tranche H)
+236bps vs BM
© Swisscanto Asset Management AG
48
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (LU) Short Duration Global High Yield H –
Quality of Excess Performance
• Information ratio as per tracking
error ex-post is 0.53
• Tracking error ex-ante within
stipulated >3%-<4% range
* Before Fees & Expenses
© Swisscanto Asset Management AG
49
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Why Swisscanto High Yield?
• Swisscanto is the only provider of a truly global high yield short duration fund
• Experienced Manager with a strong track record of consistent alpha generation --- lead manager's
solid track record of generating only 1 default and 1 near default in 13 years
• A well diversified portfolio a result of a implementing a strong investment process
• Portfolio Strategy geared towards consistently maintaining higher quality, higher carry, higher security
bias, and still generate higher returns than its benchmark
• Swisscanto short duration high yield fund, offers the highest yield (of 9.2%) versus all short
duration peers Globally
An Unrivalled Investment Philosphy and Product Strategy at Present
© Swisscanto Asset Management AG
50
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Swisscanto (LU) Short Duration Global High Yield H –
Key Data
Name Swisscanto (LU) Bond Invest Global High Yield H
Currencies CHF / EUR / USD (global portfolio all currencies are hedged)
Tranches B (Retail) J (Institutional)
Security number H CHF B: 11963041 H CHF J: 12353466
H EUR B: 11963062 H EUR J: 12353467
H USD B: 12353464 H USD J: 12353468
ISIN H CHF B: LU0556184884 H CHF J: LU0582724935
H EUR B: LU0556185345 H EUR J: LU0582725072
H USD B: LU0582725312 H USD J: LU0582725403
Domicile Luxemburg
Distribution Reinvesting
Registration CH, FL, D, A, LUX
All-in fee B-Tranche: 1.30% p.a. / J-Tranche: 0.80% p.a.
© Swisscanto Asset Management AG
51
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Agenda
1. High Yield at Swisscanto
2. The Case for Short Duration High Yield
3. Investment Process
4. Product(s) and Performance
5. Appendix – The Case For High Yield
© Swisscanto Asset Management AG
52
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
High Yield versus Equities
Source: Barclays, J.P. Morgan, S&P/LCD
6 Market Crisis and 27 years on, High Yield asset class has experienced 5 negative returns only
9.7
25.6
17.4
5.0
12.5
0.8
-9.6
46.2
15.7 17.1
-1.0
19.2
11.4 12.8
1.9 2.4
-5.9
5.3
-1.4
29.0
11.1
2.7
11.9
1.9
15.1
3.0
Even after big gains, returns historically remain healthy in subsequent years
Stabile Phase Stabile Phase Stabile Phase
84‘ 85‘ 86‘ 87‘ 89‘ 91‘ 93‘ 92‘ 00‘ 98‘ 97‘ 96‘ 95‘ 94‘ 04‘ 03‘ 02‘ 01‘ 99‘ 90‘ 05‘ 06‘ 07‘ 08‘ 10‘ 88‘ 09‘
Stabile Phase
10.5%
11'‘
© Swisscanto Asset Management AG
53
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
….and returns have been generated with significantly lower
volatility
An efficient portfolio should have consistently higher allocations to the High Yield asset class
Realized returns
Standard Deviation (Risk)
0.0 22.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
-7.0
8.0
-6.0
-5.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
GOBC CHF hedged HPIC1 CHF hedged
JCNF CHF hedged
Cust Aktien Schweiz
Hedged MSCI North America Hdg USD
Hedged MSCI UK GBP
Hedged MSCI EMU EUR
Hedged Russell 2000 TR USD
Cust High Yield SW BM
At 35% exposure to Swisscanto’s customised High Yield benchmark allows credit only or credit/equity portfolios
to maximize the sharpe ratio of the fund and boost weighted total returns by 50bps
100% Global
Investment Grade
JCNF is US HY
HPIC1 is EUR HY
Source: Swisscanto
© Swisscanto Asset Management AG
54
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
High-Yield versus Equities, Similar Returns at 50% Volatility
High-Yield offers an Attractive Risk Reward
Stabile Phase
© Swisscanto Asset Management AG
55
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Source: J.P. Morgan; S&P/LCD
High Yield versus Interest Rate Sensitive Products
High Yield Serves as a Hedge against Rising Treasury yields
© Swisscanto Asset Management AG
56
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
High Yield versus Investment Grade
High Yield performs well versus Investment Grade in a rising rate environment
12 months ending 10 Year Treasury yield
move
High Yield bonds total
returns (CHF hedged)
Investment-grade bonds
total returns (CHF
hedged)
Sep 87
Feb 89
Dec 1994
Dec 1999
May 2004
Jun 06
Sep 10- Apr 2011
220 bps
117 bps
204 bps
179 bps
130 bps
120 bps
approx 90bps
3.93%
6.87%
-0.19%
-1.58%
11.65%
2.80%
5.35%
-3.74%
0.97%
-2.74%
-5.67%
1.49%
-4.80%
-1.05%
High Yield has Consistently Outperformed Investment Grade
Over the Past 6 cycles of Treasury Yield Increases
Source: Swisscanto, Bloomberg, Merril Lynch
during the past 25 years High Yield has out-
performed investment grade bonds in each treasury
rate hike cycle by 630bps on a CHF hedged basis
© Swisscanto Asset Management AG
57
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Lending Standards a Primary Indicator for Default Outlook
Central Banks Globally via Respective Liquidity Programs to Ensure that Lending Standards Continue to Improve & Corporate Defaults Remain Low
© Swisscanto Asset Management AG
58
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Outlook for Recoveries – Strong Correlation to ISM Index
Source: DB, Federal Reserve, Moody's
Global ISM Data to Remain Soft or circa 50 Level Corresponding to Recovery Values Ranging 35%-40%
10
20
30
40
50
60
70
30 40 50 60 70
ISM Manufacturing
Recovery
Rate
(%
)
Swisscanto's expectations For Europe
10
20
30
40
50
60
70
30 40 50 60 70
ISM Manufacturing
Recovery R
ate
(%
)
10
20
30
40
50
60
70
30 40 50 60 70
ISM Manufacturing
Recovery
Rate
(%
)
Swisscanto's expectations For USA
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Source: Swisscanto
Resulting in greater protection and significantly higher and sustainable recovery rates through a default cycle
..recoveries to be further aided as corporates offer new
issuances increasingly with better security packages
12% 20% 23% 26.7% 30.4% 33% 34.5%
0%
20%
40%
60%
80%
100%
120%
avg b/w 1982-2007
2008 2009 2010 2011 2012E 2013E
Unsecured Bonds Secured Bonds
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Investment Rationale – High Yield Fundamentals in Far Better
Shape, Despite an on-going EU Zone Recession
• Corporate balance sheets are
in solid shape, cash to debt
ratios well above average
• Cash levels can cover all debt
maturities for 2012, however
from H2 2013 - 2015 a
maturity wall does exist in
Europe
• Fundamental Picture amongst
US High Yield Corporates
remains solid
© Swisscanto Asset Management AG
61
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
• High Yield issuers on aggregate still focused on improving credit metrics & generating
free cash flow
• Stress levels in covenants are very low compared to prior recessions
High Yield Fundamentals in Far Better Shape, despite an on-
going EU Zone Recession
© Swisscanto Asset Management AG
62
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Post 2009, Where do High Yield Primary Issues Stand From a
Credit Quality Perspective?
High Yield issuer leverage 25% lower and proportion
of CCC’s 50% lower than peak for new issues
© Swisscanto Asset Management AG
63
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
From a Structural Perspective?
• New issuance has secured bonds 2x higher than 2006 providing downside protection
• Defaults will be low as excessive LBO style lending experienced during 2004-2007 did not
take place since 2009, i.e. four times lower
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Expect More of the Same Over the Next 3 years
Above average primary issuance required between
2012-2013 to fund the maturity wall between 2013-2015
European Leverage
Finance Market is estimated
to generate yearly cash flows
(coupons & redemptions) of approx.
e20bn not enough to
cover itself the refinancing needs
b/w H2 2013 – H1 2016
US Leverage Finance Market no longer
has a "Maturity wall"
but rather a "hump in 2014"
plus yearly cash flows
(coupons + redemptions = est $120bn)
more than adequate
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
And be Paid a Significant New Issue Premium
© Swisscanto Asset Management AG
66
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Recent Sell-off, Creates a Significant Opportunity for Spread
Tightening
Swisscanto forecasts fair value for high yield spread to range between 625bps-675bps
What today’s Swisscanto global high yield customised benchmark spread implies for future default rates:
Actual Spread - Excess Spread* Default loss par- recovery rate Default Rate
800bps - 400 bps = 400 bps / (100%-40%) = 6.7%
Lets assume conservatively a recovery rate of 35% and a 4% default rate, our spread forecast:
Default Rate x par-recovery rate = Default loss + Excess Spread* Forecast
4.0% x (100% - 35%) = 260 bps + 400 bps = 660 bps
Forecasts as of 8th June 2012 *Excess spread = past 25 year premium for liquidity & volatility ranges between 150bps-380bps
*Excess spread = past 25 year premium for liquidity & volatility ranges between 150bps-380bps Forecasts as of 8th June 2012
© Swisscanto Asset Management AG
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R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Spread Tightening Potential Assessed Further from a Volatility
Perspective
• With shorter business cycles and a
prevailing debt crisis volatility likely to
remain elevated for the medium term
• We assume a VIX level average mid 20's
over the coming years on an average
basis
• Therefore, minimum excess spread
investors should be compensated for
should range average 350bps-420bps
(2x the 26 yr historical average or 14bps
of excess spread per unit of VIX)
© Swisscanto Asset Management AG
68
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
We Forecast Medium Duration High Yield Total Returns of 10%-12%
p.a. (CHF Hedged)
Source: Swisscanto
Total Return Forecast for 12 months
Running income unhedged
(June, 2012 onwards) 8.875% Swisscanto customised benchmark yield
Hedging costs + yield differential -0.69% Interest rate differential + hedging transaction
costs of 12 bps
Positive carry +0.88% To range between +50 bps & 100 bps + BM
Running income CHF hedged 9.06%
Expected impact of change in 5-7yr
treasury yields -2.08%
Assume 7year bunds/US treasuries rise a
further 50bps to 1.6% US treasuries
Expected impact of change in spreads +4.2% That is 100bps tightening x duration of the
benchmark (4.2 yrs) to 700 bps
Expected return before fees 11.2%
Market Forecasts 5%-7% total returns in USD hedged terms (before fees) for 2012
© Swisscanto Asset Management AG
69
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Should High Yield be Ignored?
We call for an allocation of approximately 10% to High Yield (medium and short)
Increasing allocations by institutional & private wealth managers at the expense of govt bonds, investment grade bonds
32%
European + US High Yield
(ex-financials)
8%
56%
4%
EUR + US
Investment Grade
European + US
Leverage loans
EUR + US
Treasuries
Increasing convergence
between Leverage Loans
& High Yield asset
classes
© Swisscanto Asset Management AG
70
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Contacts
Account Management
Portfolio Management
Karsten Marzinzik
Senior Account Manager
Manager
E-Mail: [email protected]
Andreas Rothmer
Senior Account Manager
Director
E-Mail: [email protected]
Jan Sobotta
Senior Account Manager
Director
E-Mail: [email protected]
Shahzada Omar Saeed
Head of High Yield
Director
+41 58 344 49 11
© Swisscanto Asset Management AG
71
R: 253
G: 0
B: 13
R: 1
G: 128
B: 158
R: 255
G: 153
B: 0
R: 229
G: 229
B: 229
R: 102
G: 102
B: 102
R: 255
G: 121
B: 127
R: 1
G: 138
B: 69
R: 198
G: 236
B: 198
Standardreihenfolge für Grafiken aller Art (inkl. entsprechende Beschriftungsfarbe): R: 132
G: 214
B: 132
R: 36
G: 192
B: 218
R: 255
G: 185
B: 185
R: 164
G: 236
B: 245
Disclaimer
Diese Unterlagen sind ausschliesslich für den Gebrauch durch qualifizierte Intermediäre von Swisscanto bestimmt.
Jegliche anderweitige Verwendung oder Vervielfältigung ist untersagt. Die Unterlagen dürfen unter keinen Umständen
als Werbematerial für den öffentlichen Vertrieb verwendet und ohne vorherige schriftliche Zustimmung der Swisscanto
Asset Management AG weder direkt noch indirekt einer Drittpartei zur Verfügung gestellt werden. Der Intermediär ist für
die Verwendung von Informationen aus diesen Unterlagen insbesondere dem Anleger wie auch Swisscanto gegenüber
allein verantwortlich. Die vergangene Performance ist kein Indikator für die zukünftige Wertentwicklung und bietet keine
Garantie für den Erfolg in der Zukunft. Die Performancedaten wurden ohne Berücksichtigung der bei Ausgabe und
Rücknahme der Anteile erhobenen Kommissionen und Kosten und auf der Basis der Wiederanlage etwaiger
Ausschüttungen berechnet. Der Inhalt wurde sorgfältig recherchiert und zusammengestellt. Provisionen, Gebühren und
andere Entgelte wirken sich negativ auf die Performance aus. Gleichwohl kann Swisscanto Asset Management AG nicht
die Gewähr der Richtigkeit, Vollständigkeit sowie der Aktualität der gemachten Angaben übernehmen. Alleinverbindliche
Grundlage für den Erwerb von Swisscanto Anlagefonds sind die jeweiligen Verkaufsprospekte und Jahresberichte. Für
allfällige Rückfragen kontaktieren Sie bitte schriftlich die Swisscanto Asset Management AG, Nordring 4, 3000 Bern 25.
Diese Publikation ist für die Verbreitung in Deutschland bestimmt und richtet sich nicht an Anleger in anderen Ländern.
Alle hier veröffentlichten Angaben dienen ausschliesslich Werbezwecken und stellen keine Anlageberatung oder
sonstige Empfehlung dar. Alleinverbindliche Grundlage für den Erwerb von Swisscanto Fonds sind die jeweiligen
Verkaufsprospekte und Rechenschaftsberichte. Dies ist ein Fonds luxemburgischen Rechts. Verkaufsprospekte,
wesentliche Anlegerinformationen, Vertragsbedingungen sowie letzte Jahres- und Halbjahresberichte können bei der
Zahl- und Informationsstelle DekaBank, Mainzer Landstrasse 16, 60235 Frankfurt a.M. kostenlos und in Papierform oder
unter www.swisscanto.com bezogen werden. Mit der Anlage sind Risiken, insbesondere diejenigen von Wert- und
Ertragsschwankungen, verbunden. Die Risiken sind im Einzelnen im Verkaufsprospekt und in den wesentlichen
Anlegerinformationen dargelegt.
© Swisscanto Asset Management AG
72