bcv chf domestic corporate bonds · bcv chf domestic corporate bonds 0.62% 4.94% 1.33% 0.57% 0.72%...
TRANSCRIPT
December 2019
BCV CHF Domestic Corporate Bonds
2
Universe: SBI Corporate Domestic
Swiss corporate bonds in CHF
~ 300 issues
Fixed-rate bonds
Maturity > 1 year
Amount > CHF 100 mio
Rating AAA-BBB
Sectors Rating Maturities
Universe: SBI Corporate Domestic
Sources: SIX, BCV, Bloomberg
AA3.7%
AA-9.5%
A+8.1%
A16.6%
A-23.1%
BBB+2.3%
BBB28.2%
BBB-7.8%
Financials36.9%
Industrials48.6%
Utilities14.4%
3 - 5 years23.5%
5 - 7 years30.3%
7 - 10 years21.0%
> 10 years17.7%
> 10 years
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Universe: SBI Corporate Domestic
Sources: SIX, BCV, Bloomberg
- « SBI Corporate Domestic » end of December 2019 (19% of the domestic universe)
Confederation23%
Gov. related20%
Securitised38%
Corporate Dom.19%
Market Value [%]
Issuers Nb of issuesWeight
(bn)
Duration
(years)
Spread
(bp)
Yield
(%)
100 301 65 5.38 74 0.2%
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Universe: SBI Corporate Domestic
Maturity and sectors
Sources: SIX, BCV, Bloomberg
Nb of issuesMarket
Weight (%)
Duration
Contribution
Spread
(bp)
Yield
(%)
Maturity
3 - 5 years 72 23.5% 0.49 64.3 -0.1%
5 - 7 years 87 30.3% 1.22 67.69 -0.1%
7 - 10 years 64 21.0% 1.2 75.61 0.1%
> 10 years 55 17.7% 1.45 69.19 0.1%
0 - 3 years 25 7.5% 1.04 94.78 0.5%
Sectors
Financials 125 36.9% 1.8 70.72 0.0%
Industrials 130 48.6% 2.73 62.69 0.0%
Utilities 48 14.4% 0.87 121.1 0.6%
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10 biggest issuers of the universe
- The 10 biggest issuers represent 33.0% of the universe
Sources: SIX, BCV, Bloomberg
IssuerMarket Value
(%)
Number of
issuesDuration (Yr)
Credit
spread (bp)
SWISSCOM AG 6.3% 14 8.43 44.47
KRAFTWERKE LINTH LIMMERN 3.7% 11 8.51 126.1
ROCHE KAPITALMARKT AG 3.5% 5 5.91 35.4
RAIFFEISEN SCHWEIZ 3.2% 7 4.07 64.12
SGS SA 3.1% 7 5.45 58.07
COOP-GRUPPE 3.0% 7 4.66 60.76
SWISS PRIME SITE AG 2.7% 7 5.61 86.26
NOVARTIS AG 2.6% 3 9.51 48.61
LGT BANK AG 2.5% 6 6.34 56.57
LAFARGEHOLCIM LTD 2.5% 5 3.47 66.54
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Performance in CHF
Sources: BCV, SIX
31.12.2019 1 month 3 months YTD 1Y3Y
annualized
BCV CHF Domestic Corporate Bonds -0.54% -0.87% 3.06% 3.06% 1.21%
SBI Corporate Domestic -0.52% -0.86% 3.17% 3.17% 1.31%
Difference -0.02% -0.01% -0.11% -0.11% -0.11%
31.12.2019 2013* 2014 2015 2016 2017 2018 2019
BCV CHF Domestic Corporate Bonds 0.62% 4.94% 1.33% 0.57% 0.72% -0.13% 3.06%
SBI Corporate Domestic 0.48% 4.98% 1.45% 0.70% 0.82% -0.03% 3.17%
AUM (mio) 302 436 614 655 746 684 690
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Performance against index
Since inception
Sources: BCV, SIX, Bloomberg
111.56
112.07
98.0
99.0
100.0
101.0
102.0
103.0
104.0
105.0
106.0
107.0
108.0
109.0
110.0
111.0
112.0
113.0
114.0
115.0
116.0
BCV CHF DOMESTIC CORP BOND (CLASS I) SBI CORPORATE DOMESTIC AAA-BBB
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Daily Excess Return
Since inception
Variation of
+/- 2 basis
point
Sources: BCV, SIX, Bloomberg
-5
-4
-3
-2
-1
-
1
2
3
4
Bp
s
Daily excess return (Class I )
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Risk analysis
31.12.2019 Coupon (%) Yield (%)Duration
(Yr)
Credit
spread (bp)
BCV CHF Domestic Corporate Bonds I 1.06 0.20 5.38 75
SBI Corporate Domestic 1.05 0.19 5.38 75
Active 0.00 0.00 0.00 0
*Portfolio Risk (%): 1.50%
*Benchmark Risk (%): 1.49%
AUM (mio): 690
Portfolio Beta: 1.00
*Based on 3 years - Daily
Sources: BCV, SIX, Bloomberg
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Annualized Tracking Error
Based on 60 rolling trading days since inception
Sources: BCV, SIX, Bloomberg
5
10
15
20
25
30bp
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Positioning
AA12.1%
A47.2%
BBB39.8%
Financials36.0%
Industrials49.0%
Utilities15.1%
0 - 3 years
7.7%
3 - 5 years
23.3%
5 - 7 years
31.2%
7 - 10 years
20.4%
> 10 years
17.6%
Sources: BCV, SIX, Bloomberg
Fund Bench. Diff.
Financials 36.0% 36.9% -0.9%
Industrials 49.0% 48.6% 0.4%
Utilities 15.1% 14.4% 0.7%
Cash -0.1% 0.0% -0.1%
Total 100% 100%
Fund Bench. Diff.
0 - 3 years 7.7% 7.5% 0.2%
3 - 5 years 23.3% 23.5% -0.2%
5 - 7 years 31.2% 30.3% 0.9%
7 - 10 years 20.4% 21.0% -0.6%
> 10 years 17.6% 17.7% -0.1%
Total 100% 100%
Fund Bench. Diff.
AA 12.1% 13.2% -1.1%
A 47.2% 47.9% -0.7%
BBB 39.8% 38.3% 1.5%
BB 0.3% 0.0% 0.3%
Cash 0.7% 0.7% 0.0%
Total 100% 100%
Sector (%)
Maturity (%)
Rating (%)
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Investment process
Pre-investment:
Portfolio construction
• optimized sampling
• refining based on liquidity constraints
• building of a model portfolio
Investments:
Execution and control
• execution of operations in order to minimize the market impact
• cash management: subscriptions, redemption, coupons and dividend payment
• performance and tracking error analysis
• follow changes in benchmark
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Investment process
Prices
SIX
Optimizer
PORT®Benchmark:
SBI Corporate Domestic
(around 300 issues)
• tracking error minimization
• turnover control
Model portfolio
(around 250 issues)
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Portfolio Management Team
Agim Xhaja joined BCV
Asset Management as head
of fixed income in 2006. He
also manages different
mandates and funds in Swiss
and International bond
portfolios. Previously he held
various positions in the credit
risk control and financial
research divisions for UBS in
Zurich and also worked in
Man Investment as financial
engineer.
He has more than 20 years
of experience in different
aspects of fixed income.
He holds a PhD in Finance
through the FAME program
(now the Swiss Financial
Institute) and the University
of Lausanne, and a Master’s
in International Economics
from the Graduate Institute of
International Studies in
Geneva. He also has a
degree in Mathematics from
the University of Tirana.
Joël Lopes joined fixed
income team in January
2014 and manages semi-
active and index-based
bond funds and
discretionary mandates
denominated in Swiss
francs.
He holds a Master's in
economics from the
University of Neuchâtel and
a Bachelor's in
management from the
Business and Economics
Faculty of the University of
Lausanne.
He has five years of
financial-market
experience.
Gaël Fichan is foreign
currency bond investment
manager responsible for
selecting securities and
building portfolios. He
brings a bottom-up
perspective to the bonds
investment committee. A
part of our team since
2013, Mr. Fichan has five
years of experience in the
financial industry.
He previously worked at
Swisscanto on the fixed
income investment team
and holds a Master's in
Banking and Finance (joint
degree program between
the: University of Zurich
and ESGF Business
School, Paris).
A member of BCV's fixed-
income investment team
since October 2015, David
Wehrli manages bond
funds and asset
management mandates in
selecting sector-specific
securities from, for
example, the non-cyclical
consumer goods and
automotive sectors.
He has a Master in
Finance and a Bachelor in
Accounting and Finance
from the University of
Neuchâtel.
Agim Xhaja Gaël Fichan Joël Lopes David Wehrli
PhD, CIO Fixed Income Investment Manager Investment Manager Investment Manager
Julien manages bonds
funds and mandates. He is
in charge of selecting
securities and building
portfolios. Julien worked for
more than 3 years at
Edmond de Rothschild as
interest rates and
currencies portfolio
manager. Prior to that, he
spent 7 seven years as a
bonds and commodities
fund manager at Diapason
Commodities
Management. He hold a
Bachelor in Management
and a Master in Financial
Engineering from HEC
Lausanne a well as a
license in Mathematics
from the Swiss Federal
Institute of Technology of
Lausanne.
Julien Marcel
Investment Manager
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Investing in the Swiss fixed income market with
the BCV CHF Domestic Corporate Bonds
Take advantage of the opportunities offered by Swiss corporate bonds issued in Swiss
francs
Diversified exposure while minimizing idiosyncratic risk
Replicate as closely as possible the performance of its benchmark the SBI Corporate
Domestic (tracking error 0.10 – 0.20%)
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Fund Characteristics
Legal Structure Fund under Swiss law
Registration Switzerland
Depository bank Banque Cantonale Vaudoise (BCV), Lausanne, Switzerland
Auditor PricewaterhouseCoopers SA, Pully, Switzerland
Fund Manager BCV Asset Management, Lausanne, Switzerland
Fund Management Gérifonds SA, Lausanne, Switzerland
Liquidity Daily, 14h
Launch date 19.03.2013
Fees (p.a.)
Class A: 0.65%
Class I: 0.20%
Anti-dilution fee 0.20%
Base currency CHF
ISIN numbers CHF A: CH0200992128 / CHF I: CH0200992177
Telekurs numbers CHF A: 20099212 / CHF I: 20099217
Bloomberg tickers CHF A: BCVDCBA SW / CHF I: BCVDCBI SW
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Your specialists, always at your disposal
Agim Xhaja, PhD, CIO Fixed Income
Bonds & Forex Investment Manager
021 212 21 13
Joel Lopes
Strategist Investment manager
021 212 22 39
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Your Asset Management Advisor
021 212 31 18
Banque Cantonale Vaudoise
Asset Management
CP 300 [email protected]
1001 Lausanne www.bcv.ch/invest
Frédéric Gardet Urs ZieglerMichel Aubry
044 388 71 30
Banque Cantonale Vaudoise
Asset Management
Talacker 35 [email protected]
8001 Zürich www.bcv.ch/invest
Gilles Guyaz Philippe MaederMartin Koenig Ulrich Lüthy Philippe Schlatter
Jürg BaltenspergerRiccardo Cutruneo Adrian Leiser
Sergio Del GottardoJulien Brasey
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Important legal information
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