Euro Corporate Strategy European Credit Team February 2016 For professional investors only. This material is not suitable for retail clients *Schroder International Selection Fund is referred to as Schroder ISF
Euro Corporate
Strategy
European Credit Team
February 2016
For professional investors only. This material is not suitable for retail clients *Schroder International Selection Fund is referred to as Schroder ISF
** Remove from final presentation **
Source: Schroders, as at 30 September 2015
*As at 31 December 2015
Bermuda Cayman Islands Mexico City New York Philadelphia
Amsterdam Copenhagen Frankfurt Geneva Gibraltar Guernsey Jersey London Luxembourg
Madrid Milan Paris Rome Stockholm Zurich
Beijing Hong Kong Jakarta Seoul Shanghai Singapore Sydney Taipei Tokyo
Buenos Aires São Paulo Chile
Dubai
(Investment offices in blue)
Independent
Established in 1804
Schroder family controls 48%* of voting equity
Stable
Strong balance sheet and stable ownership
structure
We can invest in our business through the market
cycle
Focused
Asset management is our sole business
We have no conflicts of interest
Able to support you
Global investment resources
€400.0bn AUM across the major asset classes
Schroders’ offices
Schroders Organisational strengths
1
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€400.0bn total AUM* €102.9bn fixed income division AUM**
Schroders fixed income Funds under management
2
Source: Schroders. *Data represents AUM by product sold. **Data represents AUM by investment desk. ^Other includes Convertibles, Insurance Linked, and Alternative Rates
Strategies. The charts may not add to 100% due to rounding.
30 September 2015 30 September 2015
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Schroders European credit Your investment team – integrated investment and research
3
**Includes municipals, securitised, insurance-linked and convertibles. ***London-based resources only. ****London and Zurich-based resources only.
Source: Schroders, as at 31 January 2016.
Financials Communications Utilities Industrials Quantitative Strategy
Robert Kendrick
Sam Tomlinson
Stephen Hunnisett
Patrick McCullagh Charlotte Peat
Dan Pearson
Carter Holloran
Bartek Pastwa
Rhys Thomas
Alex Stephansen
Rajeev Shah
Szevak Nszdejan
Yow Tzu Lim
Sterling Credit Euro Credit High Yield Global Credit
Alix Stewart Patrick Vogel Konstantin Leidman
Peter Harvey
Michael Scott
Lucette Yvernault
Jonathan Golan, Martin Coucke
Specialist Fixed Income Portfolio Management Teams
(no. portfolio managers)
Specialist Analyst Teams
(no. analysts)
Specialist Product Team
(no. specialists)
Credit Rates EMD Extended
sectors **
European
Credit
North
American
Credit
Asia, Australia
& EMD Credit
Quant,
Strategy &
Economy***
Portfolio-
specific**** Multi-Sector Credit
15 24 8 10 11 14 12 14 6 5 5
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Schroders: Diversified capabilities Local expertise delivered globally
4
Source: Schroders, as at 31 December 2015
Equities
Asia/Pan Pacific
Emerging Markets
European
Global/International
Japan
Large, Mid and
Small Cap
Other sector/single
country specialist
QEP
Single country
UK
US
Value, Growth
EMD and
Commodities
Emerging Market Debt –
Absolute Return
Global Currency
Private Equity
Multi-Asset
GAIA
(Global Alternative
Investor Access
Global Balanced
Hedge Funds – FoF
and single strategy
Multi-Manager
Regional Balanced
Structured Products
Tailored Benchmark
Fixed Income
Asian
Corporate, High Yield
Discretionary Money
Management
Duration specific
Emerging Market Debt
– Relative Return
European
Global
Government,
Aggregate
Index Linked
Insurance-Linked
Securities
Other specialist/single
country
UK
US
Property – UK
and Global
Schroders offices
Bermuda Cayman Islands Mexico City New York Philadelphia
Amsterdam Copenhagen Frankfurt Geneva Gibraltar Guernsey Jersey London Luxembourg
Madrid Milan Paris Rome Stockholm Zurich
Beijing Hong Kong Jakarta Seoul Shanghai Singapore Sydney Taipei Tokyo
Buenos Aires São Paulo Chile
Dubai
(Investment offices in blue)
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Aim: Continue to be the superior information ratio provider in credit
Why Schroders for European Credit?
Strong consistent track record through bull and bear markets
Integrated global investment framework that maximises skills from the global fixed income group
and beyond (e.g. macro, EMD, quant, equity team etc.)
Credit research fully aligned to credit investment process
Innovative themes-based research and investment approach
5
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A common approach applied across credit strategies
6
ISF EURO
Corporate
ISF EURO
Credit
Conviction
ISF EURO
High Yield
All
Maturities
Corporate
Bond
Long Dated
Corporate
Bond
ISF EURO
Credit
Absolute
Return
ISF
Strategic
Credit
Monthly
High Income
ISF Global
Multi Credit Credit Value
Type Benchmark
Relative
Benchmark
Relative
Benchmark
Relative
Benchmark
Relative
Benchmark
Relative
Absolute
Return
Absolute
Return Total Return Total Return Total Return
Objective
BM +100bp
p.a. gross
over a cycle
BM +200bp
p.a. gross
over a cycle
BM +150bp
p.a. gross
over a cycle
BM +75bp
p.a. gross
over a cycle
BM+75bp
p.a. gross
over a cycle
Euribor +3%
p.a. gross
T-Bills +3%
p.a. gross
over a cycle
1st Quartile
Peer Group
Returns
Ref BM
+3-4% p.a.
(L+5%)
gross over a
cycle
7-9% total
return p.a.
over the
cycle
Benchmark BoAML Euro
Corporate
iBoxx Euro
Corporate
BBB
BoA Merrill
Lynch Euro
High Yield
Constrained
Index – HEC0
BoAML
Sterling
Non-Gilts
All Stocks
BoAML
+15Yrs
Sterling
Non-Gilts
All Stocks
3m Euribor 3m UK T-Bill
Reference
only:
BoAML
European
ccy HY
Constrained
(HPC0)
Ref:
Barclays
Multiverse
ex Treasury,
A to B
Unconstrain
ed BM
agnostic
Lead Fund
Manager
Patrick Vogel
Sep 2012
Patrick Vogel
Sep 2012
Konstantin
Leidman
Nov 2012
Alix Stewart
Aug 2012
Alix Stewart
Aug 2012
Patrick
Vogel
Peter
Harvey
Apr 2006
Michael
Scott
Aug 2012
Patrick
Vogel
Konstantin
Leidman
Fund Size €6,384m €990m €240m £862m £292m €25m £1,227m £241m €100m* TBC
Inception date Jun 2000 Dec 2013 Nov 2012 Feb 2001 Jan 2001 Nov 2015 Apr 2006 Feb 2000 TBL in 2016 TBL in 2016
Source: Schroders as at 31 December 2015. ISF Global Multi Credit to be launched in H1 2016 and Credit Value in H2 2016.
* Segregated portfolio funded November 2015 to seed fund launch.
Fund range
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European credit performance Our performance is competitive
7
Source: Morningstar peer groups, data as at 31 January 2016. Schroder ISF Euro Corp Bd A Acc, Schroder ISF Euro Credit Convct A Acc. Grouped by: Morningstar Category -
EAA OE EUR Corporate Bond. Schroder ISF Euro High Yield A Acc grouped by EAA OE EUR High Yield Bond.
*Euro Corporate Bond : Patrick took over managing 01/09/2012. Euro Credit Conviction: Launched 18/12/13. Euro High Yield: Launched 14/11/12.
31 January 2016
1 year 2 years (p.a.) Since current management was in
place*
Fund
Peer
Group
Ave.
Difference Quartile
Ranking Fund
Peer
Group
Ave.
Difference Quartile
Ranking Fund
Peer
Group
Ave.
Difference Quartile
Ranking
Euro Corporate Bond -0.54 -1.78 +1.24 1 3.98 2.45 +1.53 1 5.13 3.60 +1.53 1
Euro Credit
Conviction -0.61 -1.78 +1.17 1 4.41 2.45 +1.96 1 4.61 3.55 +1.06 1
Euro High Yield 1.47 -1.20 +2.67 1 3.24 1.26 +1.98 1 5.87 4.10 +1.77 1
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European Credit composite performance Competitive performance across the range
8
Source: Schroders GIPS composite data to 31 January 2016. Data from the current investment team. * Euro Credit Conviction composite Incepted 31 January 2014.
Composite 1yr Excess Return 2yr Excess Return p.a. 3yr Excess Return p.a. 3yr Information Ratio
Benchmarked Strategies
Euro Corporate Bond 1.25% 1.68% 2.00% 2.70
Euro Credit Conviction 2.06% 2.52% - 2.59*
Euro High Yield 3.70% 2.13% 1.49% 1.31
Composite 1yr Return 2yr Return p.a. 3yr Return p.a. 3yr Sharpe Ratio
Unconstrained Total Return Strategies
Monthly High Income 4.51% 5.76% 7.53% 1.68
Strategic Credit 2.09% 2.62% 3.44% 1.43
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Performance track record Monthly excess returns (up and down markets)
9
Up markets
Down markets
Schroders Euro Corporate Bond Composite
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Our approach to portfolio management
Integrated investment process
Broader team approach to investment management
Hands-on involvement with credit research
Innovative and creative evolution of the investment process
Themes-based investment style
A formalised procedure that continually reviews the process to successfully deliver performance in
varying investment environments
A balanced portfolio construction
Aiming for consistent out-performance of the market by implementing different investment themes
into the strategy
Portfolio construction focuses on building low correlated alpha sources while minimising risk
Include offsets in portfolio construction to ensure not all themes are pointing in same direction
11
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Investment process overview Themes-driven process
12
Source: Schroders
Multiple Credit Investment Themes Diversified by theme
Diversified by horizon
Security selection 37 credit analysts
Fully aligned research process
Credit Strategy
Input
Credit Scorecard
• Fundamentals
• Valuations
• Systemic
• Technical
Output
Cross market relative value
Risk bias
Risk Management
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Investment process Themes
Multiple, forward-looking themes diversified by style and time horizon
Regular discussion and formulation of credit themes likely to drive markets
Diversity of themes and horizons aid risk management
Recognise real value by identifying second and third order effects of themes
13
Source: Bloomberg Z-spread, Renault 3.625% 19 September 2018 was traded on issue date 11 September 2013. Updated on 8 May 2014
Illustration: Theme: Europe is going through a cyclical recovery, which will
benefit European consumers
Theme: The Yen has faced a sharp devaluation. This will benefit
Nissan, of which Renault holds a 40% stake, as exports to the US
accelerate, aided by improving consumer demand in the US
Theme: Growing US energy self-sufficiency. The shale gas
revolution is likely to switch America’s role into becoming a net energy
exporter. This will put downward pressure on petrol prices and will
boost car sales
Theme: Growing income gap. Renault has a very strong range at the
budget end of the market – Romanian manufactured Dacia – appealing
to consumers with a lower disposable income
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Innovation in credit research Themes direct focus, understanding business models to pick the winners
Credit research is fully aligned with credit themes which promotes deeper
understanding of business models, and the reaction to credit themes. Forward looking
analysis focuses on understanding the 1st, 2nd and 3rd order effects of themes on
companies
14
Company
A
Company
D
Company
B
Company
E
Company
C
Asia Revenues
Internet Trade
Bank
Deleveraging
Company
F Income Gap
Ties with multiple themes: High
conviction
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Investment process Credit strategy
Monthly meetings to assess top-down views on credit and identify potential changes
The output is the European credit scorecard of our views with scores of -3 to +3
– the input scorecard summarises our views for macroeconomics, corporate fundamentals, systemic risks
and technicals
– the output score summarises our top-down sector views and off benchmark markets
15
Source: Schroders, Monthly Credit Strategy Meeting, 5th August 2014
Illustration:
* - Current score (previous score)
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Investment process Proprietary tools for quantitative credit and relative value analysis
Screening tool that covers 95% of global universe with over 60 statistical fields to identify
momentum or mean reversion
A two dimensional process over time horizons and across investment universes
Ability to create both market neutral strategies and take advantage of market timing
Extensive curve analysis to determine opportunity value across CDS tenor and bond maturities
Decomposition into alpha and beta adjusted performance versus index and Schroders bespoke
‘Super Sectors’
16
Source: Schroders
Illustration: Index Schroders Analyst Net 3Mnth Beta to Currrent (09-May) Z-Spread change (bp) 3 Mnth Hist 6 Mnth CDS Basis 3M Beta implied Alpha
Isin Bond Market Sector Amt (mn) Pos (mn) Rating Cntry Rec. Lev Index Sector Price Yld TW MDur TW G-Sprd G-Sprd Cntry CDS basis Z-Sprd 1D 1W 1M 3M YTD Min Max Z-Score Z-Scor RSI 3M Z-Score Vs. Index Vs. Sector
XS0763122578ABBNVX 2 5/8 03/26/19 Capital Goods 1,250 A2/A/BBB+ CH 0.3x 0.44 0.60 106.81 1.41 5.44 89 128 -7 49 -1 -6 0 -16 -15 42 63 -0.6 -1.2 42.7 0.0 -2 -7
FR0010801761ALOFP 4 09/23/14 Capital Goods 743 Baa2/BBB/NR FR 3S 1.4x 0.47 0.64 104.50 0.69 1.33 68 65 -5 37 -1 -10 -13 -28 -31 37 66 -2.2 -2.8 21.1 0.9 -14 -19
FR0010948232ALOFP 2 7/8 10/05/15 Capital Goods 500 Baa2/BBB/NR FR 3S 1.4x 0.52 0.72 104.76 0.87 2.31 83 70 21 46 -2 -7 -13 -31 -37 46 78 -1.7 -2.1 29.3 0.6 -15 -21
FR0011193531ALOFP 3 7/8 03/02/16 Capital Goods 500 Baa2/BBB/NR FR 3S 1.4x 0.59 0.82 107.96 0.99 2.68 93 76 25 53 -1 -5 -14 -33 -44 52 86 -1.7 -1.8 22.5 0.6 -15 -22
FR0010850701ALOFP 4 1/8 02/01/17 Capital Goods 750 Baa2/BBB/NR FR 3S 1.4x 0.73 1.01 110.25 1.29 3.47 111 85 38 72 0 -5 -10 -31 -36 71 103 -1.6 -1.9 27.7 0.5 -9 -17
FR0011342740ALOFP 2 1/4 10/11/17 Capital Goods 350 Baa2/BBB/NR FR 3S 1.4x 0.76 1.04 103.36 1.46 4.15 117 86 54 78 -1 -5 -6 -33 -30 78 110 -1.2 -1.7 31.2 0.2 -10 -18
FR0010948240ALOFP 3 5/8 10/05/18 Capital Goods 500 Baa2/BBB/NR FR 3S 1.4x 0.80 1.10 110.13 1.65 4.86 120 86 72 82 -1 -6 -5 -34 -41 82 114 -1.4 -1.7 27.9 0.2 -9 -18
FR0010870949ALOFP 4 1/2 03/18/20 Capital Goods 750 Baa2/BBB/NR FR 3S 1.4x 0.99 1.36 115.36 2.07 5.96 139 98 75 101 -1 -8 -8 -39 -46 101 139 -1.5 -1.8 30.1 0.4 -9 -20
XS0604462704AMCAU 4 5/8 04/16/19 Capital Goods 550 Baa2/BBB/NR AU 4MD 2.6x 0.71 0.98 116.76 1.64 5.28 111 -128 27 72 -1 -11 -9 -12 -14 72 91 -3.3 -3.3 30.8 1.2 10 2
XS0907606379AMCAU 2 3/4 03/22/23 Capital Goods 300 Baa2e/BBB/NR AU 4MD 2.6x 0.97 1.34 101.46 2.58 8.53 127 -66 19 106 0 -7 -3 106 115 32.8 -0.3
XS0302740328ATCOA 4 3/4 06/05/14 Capital Goods 340 A2/A/NR SE 0.4x 0.09 0.13 104.63 0.41 1.02 39 -37 3 10 1 -5 3 -2 -6 5 15 -0.3 -0.5 48.1 -1.1 1 0
XS0757310270ATCOA 2 5/8 03/15/19 Capital Goods 500 A2/A/NR SE 0.4x 0.37 0.51 107.21 1.33 5.42 82 3 16 42 -1 -6 1 -6 -6 35 52 -0.6 -1.1 47.1 0.1 5 1
XS0896144655ATCOA 2 1/2 02/28/23 Capital Goods 500 A2/A/NR SE 0.4x 0.50 0.70 103.62 2.09 8.62 78 38 14 57 1 -6 4 51 65 42.3 -0.2
XS0633342604CAT 2 3/4 06/06/14 Capital Goods 600 A2/A/A US 2S 0.7x 0.14 0.20 102.45 0.46 1.04 44 35 -1 15 0 -2 2 -6 -10 10 23 -0.7 -1.2 48.7 0.0 -2 -3
XS0782692510CAT 1 3/8 05/18/15 Capital Goods 600 A2/A/A US 2S 0.7x 0.21 0.28 101.53 0.61 1.97 59 38 1 24 -1 -3 2 -5 -6 15 29 -0.1 -0.5 53.1 -0.5 1 -1
FR0010804492CEIFP 3 7/8 09/23/16 Capital Goods 1,250 3.00 NR/BBB-/NR FR 3S 1.10 1.52 107.28 1.64 3.11 151 128 112 0 -6 -12 -39 -60 111 149 -1.6 -1.7 25.6 -5 -18
FR0011125442CEIFP 4 5/8 10/05/17 Capital Goods 900 2.00 NR/BBB-/NR FR 3S 1.20 1.65 111.38 1.91 3.94 162 131 124 1 -8 -13 -36 -62 123 159 -1.9 -1.6 20.0 1 -13
FR0010817452CEIFP 4 3/8 11/06/19 Capital Goods 750 2.00 NR/BBB-/NR FR 3S 1.25 1.73 112.42 2.29 5.60 167 129 129 1 -9 -14 -42 -65 128 168 -1.8 -1.6 19.4 -3 -18
FR0010941690CEIFP 3 1/2 03/22/21 Capital Goods 750 2.00 NR/BBB-/NR FR 3S 1.40 1.93 106.13 2.63 6.83 173 129 140 -2 -11 -19 -49 -62 140 187 -2.0 -2.1 14.8 -6 -22
FR0010804500CEIFP 4 7/8 09/23/24 Capital Goods 1,000 NR/BBB-/NR FR 3S 1.54 2.13 115.08 3.26 8.66 180 125 163 -1 -13 -15 -40 -62 163 201 -2.3 -1.7 19.9 8 -10
XS0640936067DE 3 1/4 06/22/16 Capital Goods 300 A2/A/NR US 3S 0.1x 0.28 0.39 107.53 0.80 2.92 70 41 -9 30 1 -2 -1 -7 -3 24 41 -0.7 -1.0 41.7 -1.0 2 -2
XS0445463887EADFP 4 5/8 08/12/16 Capital Goods 1,000 2.30 A2/A-/BBB+ NL 3S -1.6x 0.35 0.49 111.94 0.89 2.99 78 63 11 38 -1 -4 -3 -8 -6 33 48 -1.1 -1.5 38.1 -1.9 3 -1
XS0176914579EADFP 5 1/2 09/25/18 Capital Goods 500 A2/A-/BBB+ NL 3S -1.6x 0.48 0.67 121.36 1.35 4.67 91 66 29 53 -2 -5 -2 -3 -15 51 62 -1.5 -1.3 43.6 -1.5 12 7
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Investment process Fundamental research
Integrated credit team aligned with investment process is a major differentiator
No sector silo approach to investment or research
Understanding business models and the relationship between issuers
Working together to understand the supply chain and revenue relationships across sectors
Identify the under-researched bond issuers that lie outside the scope of standard research
processes
17
Source: Schroders, Analyst Handbook, 5th June 2014
Illustration:
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Summary outlook for European credit
Fundamental
European growth set to continue led by the ‘weaker’ states. Inflation expectations driven by global growth, oil and commodities
US & UK growth momentum moderating. China slowdown poses risk to global growth.
Europe is behind the US in the credit cycle
Improved Eurozone credit conditions
Volatility in yield providing better entry, volatility in spread giving more alpha opportunities
Systemic risks
China risk to the fore, ISIS needs to be monitored
EM economic fundamentals challenged
Technicals
Positioning has become more risk-averse
Flows into Euro IG space are negative so far in 2016
19
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Global Growth Europe remains on track: domestic demand and loosening policy
21
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Investment grade non-financial companies
Earnings concerns?
Sources: Schroders, S&P Capital IQ, MS Research as at December 2015
Based on >€/$ 500m market cap universe ~970 European and ~ 1,600 North American non-financials companies
Earnings concerns Higher for North American companies. % of North American
companies with negative LTM EPS at a cycle high
22
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IG non-financials BBB excluding energy, metals and
mining (base currency)
IG non-financials BBB excluding energy, metals and
mining (base currency)
Valuations Cross currency adjusted – € IG more attractive excl. energy, metals and mining
Source: Schroders, Barclays, Bloomberg, Data as of January 2016
Yield to Worst (%) Yield to Worst (%)
Avg life
Cro
ss C
urr
ency A
dju
ste
d
Avg life
23
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Euro IG
Valuations – spread distributions Opportunities in security selection
Source: Schroders, January 2016
OAS
24
Mean
Median
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Schroder ISF Euro Corporate Bond
Performance and (gross) attribution
25
Source: Schroders, gross of all fees, based on end of day market prices for benchmark comparison * 2012 since current management were in place – 01/09/12
Date Fund Return Index Return Alpha (bps) FX (bps) Rates (bps) Sovereign (bps) Credit (bps) Residual (bps)
2012* 4.38% 3.55% 83 0 3 3 58 19
2013 5.11% 2.39% 272 -1 -22 29 226 39
2014 9.91% 8.25% 165 -1 -6 58 96 17
2015 1.76% -0.43% 219 -4 1 22 188 13
Jan-15 1.49% 0.87% 62 0 1 6 54 2
Feb-15 1.22% 0.64% 58 0 2 6 51 -1
Mar-15 0.10% -0.06% 16 0 -5 0 17 6
Apr-15 -0.36% -0.49% 13 -1 0 0 12 2
May-15 -0.51% -0.43% -8 0 3 -2 -8 -1
Jun-15 -1.94% -1.92% -2 -2 6 1 -10 3
Jul-15 1.60% 1.21% 38 0 1 1 36 1
Aug-15 -0.92% -0.76% -16 0 2 1 -18 -1
Sep-15 -0.59% -0.66% 7 0 2 3 1 1
Oct-15 1.74% 1.35% 39 0 -2 1 42 -2
Nov-15 0.76% 0.69% 7 0 -3 3 7 1
Dec-15 -0.77% -0.82% 5 0 -2 1 5 1
Jan-16 0.11% 0.59% -49 0 4 2 -54 0
Total 22.84% 14.96% 788 -7 -16 128 588 95
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Value in non-cyclical, non-financial subordinated bonds Orange: customer growth, maintaining market share, reducing debt
Source: Bloomberg, February 2016
26
Orange equity price vs corporate bond price Orange corporate bond price vs total debt
/ capital
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Value in subordinated insurance Aviva: Robust capital position
Source: Aviva 2015 Interim Results August 2015, Bloomberg, February 2016
27
Aviva equity vs corporate bond price
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Sector allocation
Schroder ISF EURO Corporate Bond Positioning
28
Source: Schroders, Bank of America Merrill Lynch. Based on un-audited data as at 29 January 2016
*Fund issuer number treats each CDS index as a single issuer and excludes the non-credit line items (Futures Fixed Income, Margin Cash Balance, SYN, Synthetic Cash Fixed
Income, Currency). **Memo: High yield bonds are also included in the other sector breakdown in the rest of the chart
The chart will not add up to 100 as it does not include futures, IRS, forwards, TRS, cash synthetic or the CDS float (non-active leg of the CDS)
Fund Benchmark
Assets under management €6.5 billion €1.8 trillion
Effective Yield 2.0% 1.3%
OAS +212 +148
Effective Duration 4.9 4.9
Number of issuers* 224 553
Average Credit Weighting BBB+ A-
Market value (%)
Hedged Currency (%MV)
GBP 7.43
USD 5.97
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Schroder ISF EURO Corporate Bond Positioning in industrials
Sector allocation breakdown for industrials in the fund
29
Source: Schroders, Bank of America Merrill Lynch. Breakdown of Industrials in the fund by MLX level 3. Based on un-audited data as at 29 January 2016
Market value (%)
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Schroder ISF EURO Corporate Bond Rating breakdown
30
Source: Schroders/Bank of America Merrill Lynch/Fixed Income Analytics as at 29 January 2016, Based on un-audited data
*Bank of America Merrill Lynch EMU Corporate Index (Bloomberg ticker: ER00 Index). Ratings by average of S&P, Moody’s and Fitch
The chart will not add up to 100 as it does not include futures, IRS, forwards, TRS, cash synthetic or the CDS float (non-active leg of the CDS)
Market value (%)
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Schroder ISF EURO Corporate Bond Top 10 Ticker overweights and underweights by MV(%)
31
Source: Schroders FIA at 29 January 2016, Based on un-audited data. The above is for information only and is not a recommendation to buy or sell. Overweights and
underweights by market value (%) versus the benchmark (including single name CDS but excluding bunds and CDS indices)
Ticker Name Overweight (%)
T AT&T Inc +2.04
YBS Yorkshire Building Society +1.95
BKIR Bank of Ireland +1.83
ANNGR Vonovia SE +1.76
FCACAP FCA Bank SpA +1.75
HTHROW Heathrow Funding +1.52
LLOYDS Lloyds Banking Group PLC +1.38
AVLN Aviva PLC +1.36
SSELN SSE PLC +1.15
FLYFP Fonciere Lyonnaise +1.10
Ticker Name Underweight (%)
ACAFP Credit Agricole Groupe -2.17
RABOBK Rabobank -2.17
ENIIM ENI SpA -2.11
VW Volkswagen AG -1.66
BNP BNP Paribas SA -1.54
HSBC HSBC Holdings PLC -1.33
TELEFO Telefonica SA -1.23
GE General Electric Co -1.20
BFCM Credit Mutuel-CIC Group -1.02
BMW BMW -0.95
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Fund profile Schroder ISF Euro Corporate Bond
33
*This is not a complete set of fund rules and represents the typical internal, non mandatory limits under which the fund is managed
Please note that such limits may be deviated from and are subject to change without notice
Fund Managers: Patrick Vogel supported by the credit team
Peer Group: Micropal Fixed Income EUR-corporate bond
Benchmark: Bank of America Merrill Lynch EMU Corporate index (Bloomberg ticker = ER00 Index)
Aim: To consistently outperform the market, leading to competitive peer group performance over the market cycle
Style:
A fully integrated global fixed income platform combining expertise across all fixed income sectors
Top down research identifying themes driving all fixed income sectors
Multiple themes applied though credit selection into diversified credit strategies
Emphasis on disciplined and rigorous credit research
Guidelines*:
Maximum 10% in cash; maximum 20% in cash and government bonds
Maximum of 20% in total in High Yield
Maximum 20% in non Euro denominated assets
Hedged 100% to Euro
Overall portfolio duration: Benchmark +/- 2 years
Derivatives used include: currency forwards, interest rate futures, interest rate swaps,
and credit default swaps
2x limit on fund value-at-risk relative to benchmark value-at-risk (including all derivatives)
Max 50% in long risk or short risk CDS positions
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This document does not constitute an offer to anyone, or a solicitation by anyone, to subscribe for shares of Schroder International Selection Fund (the “Company”). Nothing in this
document should be construed as advice and is therefore not a recommendation to buy or sell shares
Subscriptions for shares of the Company can only be made on the basis of its latest Key Investor Information Document and prospectus, together with the latest audited annual
report (and subsequent unaudited semi-annual report, if published), copies of which can be obtained, free of charge, from Schroder Investment Management (Luxembourg) S.A.
An investment in the Company entails risks, which are fully described in the prospectus
Past performance is not a reliable indicator of future results, prices of shares and the income from them may fall as well as rise and investors may not get the amount
originally invested
Schroders has expressed its own views and opinions in this document and these may change
This document is issued by Schroder Investment Management Ltd., 31, Gresham Street, EC2V 7QA, who is authorised and regulated by the Financial Conduct Authority. For your
security, all telephone calls are recorded
Risk Considerations
A security issuer may not be able to meet its obligations to make timely payments of interest and principal. This will affect the credit rating of those securities
The currency derivative instruments employed are subject to the risk of default by the counterparty. The unrealised gain on the transaction as well as some of the desired market
exposure may therefore be lost
The Fund’s operations depend on third parties and it may suffer disruption or loss in the event of their failure
The fund may use financial derivative instruments as part of the investment process. There is no guarantee that they will deliver the expected results
Important information
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