citywire nov212011
TRANSCRIPT
11
November 2011 - BERLIN
Convertibles Bonds :
� Benefit from a long term unique
risk/return ratio, and
� Capture the current opportunity
through active management
Neuflize OBC Investissements
2 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Content
Introduction : Neuflize OBC Investissements
1- Why Convertibles ?
2- Investment team and context
3- Investment philosophy and process
4- Funds’ overviews, main parameters and performances
Contacts
3 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Snapshot : Neuflize OBC Investissements
Main facts
���� 106 employees, mostly Paris-based
� Managed and advised assets of €22.06 bil at year-
end 2010, and €23.3 bil. at end August 2011
� Focus on professional and private clients
� Very good knowledge of High Net Worth Individuals
thanks to its shareholder, the largest private bank in
France, Banque Neuflize OBC
� Created April 1, 2010 by merging the multi-
management and the pure asset management
activities but a recognized asset manager for the past
23 years
� Combines funds of funds and traditional portfolio
management, as well as segregated funds
� Offers expertise in asset allocation and advisory
through selection of asset managers and UCITS
� Flagship asset manager for the ABN AMRO Group via
Luxembourg-based Sicav and advisory services
capable of putting together custom-made solutions
Solid Shareholding Structure
Breakdown of assets
Source : Neuflize OBC Investissements - As of December 31, 2010
* Neuflize OBC Asset Management
** Asset Allocation Advisors
State of Netherlands
Privates Clients
Institutionals Clients
DPMUCITSInstitutional solutions
AAAAAA
A+ Fitch
4 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
1.Why Convertibles ?
5 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
The diversified nature and asymmetric risk profile – convexity –provide many sources of Alpha
Conversion priceBond Floor
Stock Price
Convert
ible
Pri
ce
Maximum convexity
High Yield and
distressedBond like Balanced Equity like
Increasing participation to the stock price rise - up to 100%
Decreasing participation to the stock price fall
Funds managed here
� Convertibles are sensitive to interest rates, credit spreads, underlying equity prices and their implied volatility
� In the medium term Convexity implies:
- automatic Stop Loss thanks to the bond floor (except in systemic crises)
- automatic profit-taking thanks to amortization and exercise of calls by the issuers of the best-performing underlying equities
And in the long term the primary market sustains the convexity of the asset class via issuance of balanced convertibles
� Convexity is a powerful and reliable device for the portfolio manager: in case of poor stock-picking or unfortunate timing, it limits the loss on
the position and makes it easier to exit or add to the position
Type of Convertible:
Source : Neuflize OBC Investissements
6 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
A unique/risk return ratio :over time, convertibles beat equities and balanced portfolios alike
Source : Datastream. Neuflize OBC Investissements. October 2011Past performances are not a guide to future performances
50
100
150
200
250
300
350
400
450
déc.
-94
déc.
-95
déc.
-96
déc.
-97
déc.
-98
déc.
-99
déc.
-00
déc.
-01
déc.
-02
déc.
-03
déc.
-04
déc.
-05
déc.
-06
déc.
-07
déc.
-08
déc.
-09
déc.
-10
Composite Index Iboxx Europe all mat Stoxx 600 UBS CB Europe Hedged
Convertibles vs bonds, equities and balanced portfolios Convertibles prices : a function of equities prices
Equities : DJ Stoxx 600 (RI)
Jan. 94 – Jan. 01CBs + 164% / Equities + 213%
Feb. 01 – June 03 CBs -6%/
Equities -40%
Jan. 08 – March 09 CBs -24%/Equities -50%
April 09 – June 11 CBs +52% / Equities +71%
OCs
: In
dic
e U
BS E
uro
pe C
onvert
ible
s (
RI)
Jul 03-Dec 07CBs +
42%/Equities+100%
May 11-Oct11CBs -10%/Equities-13%
50
100
150
200
250
300
350
400
450
50 100 150 200 250 300 350 400 450
Perf. an.% Volatility Perf. an.% Volatility Perf. an.% Volatility Perf. an.% Volatility Perf. an.% Volatility
ConvertiblesUBS europe
convertibles7.3% 8.6% 4.8% 7.7% 2.1% 9.9% 15.0% 9.4% -4.4% 9.8%
50% equities /
50% bonds
50% DJ Stoxx600+50%
Iboxx euro all maturities5.8% 10.0% 3.6% 10.2% 0.3% 11.6% 8.2% 11.3% -2.0% 9.8%
Equities DJ Stoxx600 (net inv.) 5.4% 20.5% 1.4% 21.1% -4.4% 23.9% 6.3% 23.2% -5.7% 20.3%
Corporate bonds Iboxx euro all maturities 5.0% 3.0% 4.4% 3.0% 3.5% 3.2% 8.5% 3.0% 0.6% 3.3%
15 years 10 years 5 years 3 years 1 year
7 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
The 2008 CB liquidity/valuation crisis was over after just 5 months ; the 2011 one should remain limited
� Sept.-Oct. 2008 : the financial crisis constrains funding and leverage for Hedge Funds and Banks/Brokers books leading to a liquidity crisis
and a sharp drop in valuations
� Oct. 2008 - March 2009 : partial restoration of liquidity and valuations; strong recovery of convertibles amidst a continuing downturn for
equities and credit.
� March – Sept. 2009 : massive use of the convertibles primary market by industrials amidst a slow return to normality for the bond market;
valuations complete their return to normality.
� July - September 2011 : the crisis evokes that of 2008, though in a fundamentally safer market with mostly ”real money” investors.
UBS Europe
Hedged
DJ € Stoxx
50
Iboxx All
Mat.Itraxx Main
Itraxx
Cross
VI 9
Months
First stage of the crisis Start 2008 - Aug. 2008 -10,7 -21,3 0,5 50 pts 211 pts 2 pts
CB Liquidity crisis Sept. - Oct. 2008 -25,2 -22,9 -7,1 52 pts 235 pts 17 pts
End of CB liquidity crisis Nov. 2008 - March 2009 11,8 -19,4 1,9 14 pts 133 pts -5 pts
General financial markets recovery March 2009 / September 2009 29,9 42,7 15,2 -74 pts -309 pts -4 pts
Overall outcome Starting 2008 / September 2009 -2,9 -30,2 9,6 36 pts 238 pts 9 pts
July 2011 / September 2011 -13,8 -23,1 -1,1 96 pts 444 pts 14 pts
Source : Datastream. Neuflize OBC Investissements. October 2011Past performances are not a guide to future performances
8 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Sharp widening of credit spreads, lower equity markets and decreased valuations create opportunities
% Discount to fair value - Europe
-4,00
-2,00
0,00
2,00
4,00
6,00
8,00
10,00
12,00
14,00
16,00
04/01
/2001
04/01
/2002
04/01
/2003
04/01
/2004
04/01
/2005
04/01
/2006
04/01
/2007
04/01
/2008
04/01
/2009
04/01
/2010
04/01
/2011
European equities vs Itraxx Crossover
% Discount to fair value - Asia ex Japan and other Emergings
-2,000,00
2,00
4,00
6,00
8,00
10,00
12,00
14,00
16,00
18,0004
/01/20
0104
/01/20
0204
/01/20
0304
/01/20
0404
/01/20
0504
/01/20
0604
/01/20
0704
/01/20
0804
/01/20
0904
/01/20
1004
/01/20
11
� discount to fair value + actual yield will be a substantial buffer in a mediocre – but not worst case - scenario
� in a best case scenario CBs could perform as much as equities
� in a just calm scenario CBs should perform better then equities
Source : Bloomberg, BoAMerrill, September 2011Past performances are not a guide to future performances
726 as of Nov. 7, 2011
3843 as of Nov. 7, 2011
3,8 as of Nov. 7, 2011
9 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
2.Investment Team & Context
10 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
An experienced and stable team of managers…
Luc Varenne, Head of Convertible team – CBs Fund Manager since 1985
Started his career at the Ministry of Finance then in various financial institutions as a fixed income and CB manager (since
1985). Luc joined the ABN AMRO group in 1991 where he has managed convertibles ever since, as well as various fixed
income funds and mandates. He launched NOBC Europe Convertible and NOBC Monde Convertible in 1997.
Frédéric Hertault, Fund Manager – CBs Fund Manager since 2000
Frédéric Hertault has a degree in Banking, Finance and Insurance from Caen IUP University, and holds a CIIA® certificate
awarded by the ACIIA (Association of Certified International Investment Analysts) and SFAF (French Association of Financial
Analysts). He has built up more than ten years’ experience as a convertible bond fund manager, including six years with
Neuflize OBC Investissements.
Sarra Rekik, Junior Fund Manager
Sarra holds a Masters in Banking, Finance and Insurance from the Université Paris Dauphine ; she has been with our firm,
within the Convertible Bonds team, for one year, as a Junior Fund Manager ; she is also highly specialized in CBs’ and
portfolio analysis.
€ 810 million under management as of end Sept 2011
NOBC Europe Convertibles (NEC) € 300m
NOBC Monde Convertibles (NMC) € 170m
Other Funds and Mandates € 340m
Regular Industry Awards
2008 Lipper award for NOBC Europe Convertibles and
NOBC Monde Convertibles
NEC � � � overall & � � � � 10y; NMC � � overall(MorningStar Sept. 2011)
11 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Research resources
� Local Research Team of 5 analysts: Chief Economist
(Head of team and Strategy), 3 Equity Analysts, 1 Credit
Analyst.
� ABN AMRO Group’s buy-side research: 40 analysts (FX,
FI/Credit, Equities, Quant) worldwide.
� Wide access to external sell-side credit and equity
research (particularly via Reuters Knowledge)
� Access to independent credit research from Standard &
Poor’s and CreditSight
supported by our PM community and ample internal/external research resources
A Community of Portfolio Managers
� 12 private discretionary Equity/Asset PMs
4 Diversified Funds/Mandates PMs
3 Fixed Income Funds/Mandates PMs
5 Equity Funds/Mandates PMs
3 Convertibles Funds/Mandates PMs.
� On-going and regular sharing of analyses and expertise (all PMs and research team located on same workspace)
� Participation to Strategy, Credit and Equity Committees
� Heads of teams attend the weekly Investment Committee
PMs not constrained in their investment decisions except on credit risks
The CB team conducts its own research
� Convertibles research in terms of:- Prospectus features- Valuation- Adequacy of technical features of each security according to expected equity/credit upside (extent/timing)- Relative opportunity of credit vs. equity exposure for each underlying company
� Credit research : to assess the bond floor solidity and to make credit risk a smart contributor to performance (deep understanding of fundamental credit analysis is crucial)
� The team allocates time for visiting companies in order to benefit from local insight - particularly in developing countries (yearly Asian trip).
12 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Middle Office and Risk Management Dept.
� MO checks Issuer limits and currency hedging daily,
sends escalating warnings,
checks the NAV calculation.
� RMD (2 professionals reporting to the Board of NOI)
monitors on a weekly basis the relative performance to
benchmark, Tracking Error, VaR ex-post and ex-ante.
Indicators analyzed during the weekly Investment
Committee meeting
Risks and performances are closely monitored
Performance Measurement & Attribution Dept.
� Performance comparison with benchmark and other relevant indices, peers,
� monthly, quarterly and yearly performance attribution
CB PMs Team
� Front office tool:
- weight of each security in real time
- allows portfolio managers to check that positions comply with targets/guidelines and calculate orders
� Proprietary screening tool :
- main characteristics of each security :
official/shadow rating, weighting in the portfolio,
duration, actual yield, implied credit spread, distance
to bond floor, equity sensitivity, "greeks”.
- overall sensitivity parameters : equity sensitivity,
rating classes breakdown, credit exposure and equity
sensitivity breakdown by sector and country, average
actual and coupon yields, average distance to bond
floor.
. . . helps portfolio managers to assess compliance
with internal guidelines and other external constraints
13 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
3.Investment philosophy and process
14 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Investment Philosophy: maximum convexity and active management to leverage Alpha sources
� Delivering outperformance while amplifying the spontaneous behavior of the asset class :
� support of maximum convexity - picking the most convex convertibles including synthetics if needed
� active management of all sources of alpha intrinsic to the asset class
� actively locking in part of the generated return
� limiting risks
� without an aggressive equity sensitivity
� Seeking Alpha on mid-term basis through Equity/Credit selection & management of the funds overall sensitivity parameters
to :
� Interest rate (yield curve)
� Equity
� Credit spreads
� Sector allocation of these 2 risks
� Volatility
� Seeking Alpha on short term (months) basis through constant arbitrage
� in terms of technical profile according to expectations of the equity upside (risk. extent. and rapidity)
� in terms of valuation (Implied Volatility, Credit Spread) vs the asset Class and/or similar securities
� in terms of duration of each credit risk
� between credit and equity risk for a given company
We take advantage of all those alpha opportunities, and therefore use all instruments sensitive to risks inherent to
convertibles. i.e. bonds. options on equities and interest rates, synthetic convertibles
15 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Investment Universe and Guidelines
� Traditional CBs as a priority : minimum 50% of AUM
� Synthetic CBs :
- Issued by a financial institution rated at least A-,
- Fully exchangeable for the underlying stock – identically to
traditional CBs, in order to maximize convexity
� Synthetics are a combination of :
- a listed Equity Call Option
- a straight Bond issued by the same company, (exceptionally,
by another entity in the same group or just cash)
� Straight bonds from convertible issuers or other issuers : max
20% of AUM
� Short selling of listed calls on the underlying equities of the
portfolio - to gain on volatility/time value and to even out
performance and equity sensitivity : max 25% of equity sensitivity
of each underlying
� Put purchases in order to raise CBs bond floors
� Futures and options on bond or equity indices in order to limit
overall risks
� Tactical purchases of listed calls (or call spreads or call
ratios) on equity indices : for a notional amount below 5% of AUM
Details of Financial Instruments allowed Investment Guidelines
� Total Equity Sensitivity/Delta : between 20% and 50%
� Interest Rate Sensitivity : below 2,5
� Average Premium to bond floor : below 15%
� non-investment grade: ≤60% of AUM, Average rating : ≥ BB
� small/mid caps (market cap. < € 3 bn): below 30%, no market
cap. below € 100 m
� CBs (total of both traditional & synthetic) : over 75%
� Straight bonds (excl. Synthetics) : below 20%
� Equity holdings : below 2%, only after conversion and for no
longer than 1 month
� Currency risk : essentially hedged into EUR. Currencies pegged to
USD (AED. HKD. CNY) are hedged against EUR via USD. Residual
risk < 5% of NAV
� Diversification: no position above 4% and below 0.5% (cf next
page)
� No leverage, but fund usually fully invested
16 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Buy & Sell discipline & diversification guidelines limit risks
European Global
Market Cap/ Rating > 3€bn €1bn<and< €3bn €100m<and< €1bn > 3€bn €1bn<and< €3bn €100m<and< €1bn
>BBB 4% 2.5% 1.75% 3% 2% 1.25%
BB 2.5% 1.75% 1.5% 2% 1.25% 1%
B 1.5% 1.25% 1% 1.25% 1% 0,75%
CCC 1% 0.75% 0.75% 0,75% 0.75% 0.5%
� Any convertible is bought with an equity sensitivity ≤ 50% (or a premium to bond floor < 20%) and sold when equity sensitivity is above 75%
� Position on each convertible ≤ 10% of the outstanding amount of the issue
� total synthetic convertibles structured by a given broker/bank: ≤ 5% of the AUM
� Limit per issuer according to rating and market cap (see chart below)
17 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
A dynamic/iterative process
Top-down analysis
Macro & Strategy
Investment & Strategycommittees
Convertiblesanalysis
Valuation(credit/volatility)
ProspectusBloomberg / Brokers
Bottom-up analysis
Equities / CreditEquity & Credit
CommitteesExternal research
platforms
Maincharacteristics
Equity sensitivity
Sectors / Themes
Credit risk
Volatility
Duration
Distance to Benchmark
Securities Selection
Convertible bonds.
Synthetics
Straight bonds
Guidelines,Investment
rules
Research InvestmentDecisions
Portfolio construction(securities/instruments weighting)
Portfolio. performance & risk analysis
Comparison to the universe and
managers objectives
Portfolio
PerformanceattributionPM&A Dpt.
Risk measureVaR analysis
RMD Dpt.
Performanceanalysis
managers
18 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Investment convictions : examples and rational
Portuguese CB with high party
protection free of sovereign risk
Wind, Jaguar/Tata, Tui, REC, BES/Bradesco,
Parpublica/Galp, Kloeckner
Up to limit max (60% HY &
average rating ≥ BB)High Yield
Credit
Full Convexity role during crisis30%≤ Target ≤ 40%Equity
Sensitivity
Specific RationalSecurity nameSub-sectorSector
Favored
Investment
Themes 2011
Abengoa, RECGreen EnergyEnergy
Super Cycle
Asian &
Emerging
countries
growth
EnergyExplorers Refiners Services
Drillers
Essar, Galp, Maurel, BP, Lukoil – Transocean,
Technip, Polarcus, TMKLong term scarcity of oil reserves
MaterialsPlatinum, Steel, Gold
Uranium, Coal
Aquarius, Mittal, Kloeckner, Petropavlosk, James
River, Bumi, PaladinSubject to Asian mini cycle
InfrastructureProperty, Highways,
Engineering
Immofinanz, Silic, Derwent, Agile, Kaisa, Emaar,
Assystem, Larsen&Toubro(In Europe, Real Estate should prove
defensive)
ConsumptionAgriculture - Luxury
- Household
China Agri, Olam, Daimler, Hengdeli, PPR
Danone, Pernod, San Miguel,Adidas, Intime Growing upper and middle class
Niche growth
Telecoms Satellite, Mobile China Unicom In emerging countries
Technology
Internet Storage
Cloud computing
Networks Touch screen
Webmed, Econocom, Mysis, EMC, Oracle, Ingenico,
Sandisk, TPK, Alcatel
HealthBiotech, Generics, Seniors Gilead, Orpea, Brookdale Population ageing
ConsumptionFish Farming
Pescanova Wild fish scarcity
M & AMysis, Aquarius, Paladin, Tui, Webmed, Maurel,
Galp, SilicCB protection can prove very valuable
Source : Neuflize OBC Investissements, September 2011
Security presented in funds’ overviews
19 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
1000
1200
1400
1600
1800
2000
2200
2400
2600
2800
3000
juin 09 sept 09 déc 09 mars 10 juil 10 oct 10 janv 11 mai 11
80
90
100
110
120
130
140
150
160
170
180
Vedanta stock Vedanta 4% 17 Vedanta 5,5% 16
Active management via arbitrage between convertibles with the same underlying equity: Vedanta
Source : Neuflize OBC Investissements. September 2011Past performances are not a guide to future performances
Convertible PriceStock Price
dateoperation
convertible price
initial
position4.60% 02/21/2026
12-june-09
Primary market
Vedanta’s exposure
increase
Buy 5.5% 13/07/2016 at
100.0
starting
26/10/2009
progressive liquidation
due to possible soft call
exercise
Sell 4.6% 02/21/2026 at 104.0
8-jan.-10 Soft Call exercise 4.60% 02/21/2026
2-march-10
Primary market
Vedanta’s exposure
increase
Buy 4 % 30/03/2017 à 100.0
28 july-4 aug.
arbitrage: partial profit
taking and equity
sensitivity decrease
Sell 5.50% 13/07/2016 à 126.9
Buy 4 % 30/03/2017 à 106.5
13-aug.-10
Arbitrage’s profit taking
and equity sensitivity
increase
Sell 4 % 30/03/2017 à 96.3
Buy 5.50% 13/07/2016 à 110.2
20-dec.-10
arbitrage: partial profit
taking and equity
sensitivity decrease
Sell 5.50% 13/07/2016 à 119.1
Buy 4 % 30/03/2017 à 100.3
6-may-11
Arbitrage’s profit taking
and equity sensitivity
increase
Sell 4 % 30/03/2017 à 104.4
Buy5.50% 13/07/2016 à 119.5
� : sell � : Buy
20 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
0
5
10
15
20
25
30
35
40
29/05/2008 15/12/2008 03/07/2009 19/01/2010 07/08/2010 23/02/2011
0
10
20
30
40
50
60
70
Rhodia stock Rhodia 0,5% 14
Active management including convertibles, straight bonds and listed options: Rhodia
29/05/2008 15/07/2009 Octobre 2009 04/04/201113/12/201012/05/2010
date operation instrument price
29-may-08 Buy bond TV 15/10/2013 94
pure credit exposure via the FRN: credit spread at 4.16% vs 3.02% for the
convertible ( price at 37 i.e. Yield=7.76% )
15-july-09
Sell bond TV 15/10/2013 79.8
Buy CB 0.50% 01/01/2014 32.75
arbitrage: FRN spread at 8.51% vs 11.10% for the convertible ( bond-like, longer
maturity, yield at 13.77% )
oct/may-09 Sell CB 0.50% 01/01/2014 41 / 46.3
Bond-like CB sold during spread decrease
12-may-10 Buy bond 7.00% 15/05/2018 100
Primary market discount opportunity ; Yield at 7% vs 5.1% for the CB; longer
duration – issuance spread at 3.60% vs 3.40% for a CB at €31.5 ( CDS at 3.30%)
13-dec-10
Buy Call Call 12/11 24.00 4.67
Sell Call Call 12/11 30.00 2
Synthetic CB with the addition of a Call Spread - price 2.67
04-april-11
Sell bond 7.00% 15/05/2018 111.75
Sell Call pending Call 12/11 24.00 Call spread
value: 4.5 to
6Buy Call pending Call 12/11 30.00
Profit-taking
Source : Neuflize OBC Investissements. September 2011Past performances are not a guideline for future performances
21 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
4.Funds’ overviews, main parameters and performances
22 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
France. Luxembourg. Netherland. Germany. Switzerland*France. Luxembourg. Netherland. Germany. SwitzerlandRegistered in (*pending)
SICAV French Law UCIT IIIFCP French Law UCIT III
C-share : FR0010281477 I-share : FR0010281568 C-share : FR0010279315 I-share : FR0010557900
C-share : A0M06V I-share : A1H8FJ C-share : A1CUFS I-share : A1H8FK
Currency
Benchmark
Management Fees
Euro
UBS European Focus Hedged (EUR) CB Index
Euro
UBS Global Focus Hedged (EUR) CB Index
C-share : 1.35% of NAV + 20% performance fees if perf. positive
I-share : 0.70% of NAV - no performance fees
C-share : 1.35% of NAV + 20% performance fees if perf. Positive
Entrance / Exit Fees Max 2.5% Max 2.5% / N.A.
AuM Sept. 30, 2011 € 302 million € 173 million
C-share : November 19, 1997 I-share : June 6, 2005Inception Dates C-share : March 21, 1997 I-share : December 28, 2008
Each working day until 17h30 at Caceis Bank Each working day until 17h30 at Caceis Bank
Awards
Morningstar
Lipper Award France 2008 Lipper Award France 2008
C-share : �� I-share : ���C-share : ��� I-share : ���
I-share : 0.70% of NAV - no performance fees
ISIN Code
WKN
Legal Form
NOBC Europe Convertibles NOBC Monde ConvertiblesCharacteristics
Funds’ Factsheets
Subscriptions/Redemptions
23 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
NOBC Europe Convertibles – main parameters and positions
Inclusion/Exclusion
44.5
73.0
28.8
42.4
% of AUM belonging to Bench.
% with underlyings belonging to Bench.
0.65
0.25
1.55
0.19
Gamma
Vega
8.6%7,3%���� Premium to Bond floor
Sensitivity Parameters
8,4%14,2%% Emerging
47.3%53.8%High Yield
17.1%
0%
21.8%
16.1%
€1bn ≤ Capi ≤ à €3bn
€100m ≤ Capi ≤ à €1bn
BBB-BB+Average Rating
26%24%���� Equity Sensitivity (incl Equity hedging)
2.12.7Interest Rate Sensitivity
0%0,7%Cash
0%28%Synthetics (Bond or collateralized cash + listed call)
3.24.5Average Maturity
4.926.72���� Average actual Yield weighted by duration
Portfolio Breakdown (in % of total AUM) Fund B’mark
Number of securities 70 37
Traditional CBs 66,2% 100%
Synthetic CBs (EMTN exchangeable) 0 0%
Convexity
NAV move in case of a 20% equity fall
and 20% equity rise
- 3.8%
+5.8%
- 4.4%
+5.9%
Source : Neuflize OBC Investissements, September 30, 2011Past performances are not a guide to future performances
Fund BenchmarkPositions (% nav)
1. Lukoil Oao-Spon Adr/Lukoil Intl Finance Bv 2,625% 16/06/20153,24 5,162. Industrivarden Ab-C Shs/Ab Industrivarden 2.5% 02/27/20152,60 2,423. International Power Plc / Intl Power Fin Iii Ltd 4,75% 152,58 3,374. Daimler Ag-Registered Shares/Aabar Investments Pjsc 4% 27/05/20162,58 5,175. Steinhoff Intl Holdings Ltd/Steinhoff Finance Hldg 5% 22/05/20162,556. Ppr/Misarte 3,25% 01/01/2016 2,51 3,237. Cap Gemini Sa 1% 12 2,47 2,268. Arcelormittal 9,375% 16 2,349. Ucb Sa/Ucb Sa 4.5% 10/22/2015 2,33 2,5410.Richter Gedeon Nyrt./Mnv Zrt 4.4% 25/09/20142,12 3,26
Total 25,31 27,41
Issuers (% nav)1. Lukoil 0Ao-Cls 3,24 5,16
2. Cap Gemini 2,63 5,163. International Power Plc 2,63 3,374. Industrivarden Ab-A Shs 2,60 2,425. Aabar Investments Pjsc 2,58 5,176. Steinhoff Intl Holdings Ltd 2,557. Artemis Sa 2,51 3,238. Arcelormittal 2,40 7,929. Ucb Sa 2,32 2,5410.Wpp Group Plc 2,18
Total 25,63 34,97
Equity Sensitivity (% total)1. Galp Energia Sgps Sa-B Shrs 6,95 11,462. International Power Plc 4,18 2,533. Danone 3,86 8,314. Steinhoff Intl Holdings Ltd 3,665. Aurubis Ag 3,646. Lukoil Oao-Spon Adr 3,47 5,387. Ucb Sa 3,35 3,768. Banco Bradesco S.A. 3,239. Cap Gemini 3,22 2,3510.Abengoa Sa 3,04
Total 38,60 33,78
24 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
NOBC Europe Convertibles – breakdown (% of total AUM)
Sector (based on underlying equities)
Country (based on underlying equities)Rating
NOBC Europe ConvertiblesBenchmark
23%
30%
43%
2% 2%
26%
36%
30%
4% 3%
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
0-15 15 -25 25-50 50-75 75 -100
Equity Sensitivity
Equity sensitivity
0 1 0 2 0 3 0 4 0 5 0
A A A
A
B B B
B B
B
C C C
N R
0
5
1 0
1 5
2 0
2 5
3 0
Consum
er
Dis
cre
tionary
Energ
y
Mate
rials
Industr
ials
Fin
ancia
ls
Health C
are
Info
rmation
technolo
gy
Tele
com
Consum
er
Sta
ple
s
Utilities
IG : 11.20 %, HY : 26.36 %
IG : 11.17 %, HY : 23.51 %
0
5
1 0
1 5
2 0
2 5
3 0
3 5
Fra
nce
UK
Germ
any
Port
ugal
Russia
Belg
ium
Neth
erl
ands
Norw
ay
Spain
Sw
eden
Austr
ia
South
Afr
ica
Bra
zil
Hungary
Italy
Luxem
bourg
Fin
land
UA
E
Sw
itzerl
and
US
Gre
ece
Source : Neuflize OBC Investissements, September 30, 2011Past performance is not necessarily a guide to future performance.
25 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
NOBC Europe Convertibles – Performances vs peer group averageand benchmark
* European Convertibles funds in EUR ranked within the « Euro Convertible » list of MorningStar. The selected funds are hedged into €, have a track record of at
least 3 years with an AUM ≥ €100m.
31/12/1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
NOBC EUROPE CONVERTIBLES 4,36 -5,04 -6,28 8,44 4,76 13,52 14,39 5,04 -33,53 43,55 6,37
UBS CB Europe Focus Hedged 3,33 -2,05 -7,79 12,11 3,65 9,82 15,77 2,24 -31,70 31,60 6,92
UBS CB Europe Hedged -0,86 -3,17 -1,47 10,22 5,35 9,45 18,38 4,14 -27,58 39,02 7,98
catégorie Morningstar -1,29 -5,06 -7,24 8,58 2,98 9,76 9,93 1,40 -23,05 27,14 5,92
Performance moyenne Peer Group* -0,66 -3,35 -6,59 8,70 2,69 9,71 10,17 2,33 -20,64 27,76 4,97
Rang Peer Group 6 / 24 13 / 29 13 / 34 21 / 36 9 / 39 5 / 40 6 / 40 9 / 42 40 / 42 3 / 43 16 / 43
Source: Morningstar, September 30, 2011Past performances are not a guide to future performances
YTD 1 an 3 ans 5 ans 10 ans création
NOBC EUROPE CONVERTIBLES -12,80 -10 ,04 17,33 -2,55 34,91 80,24
UBS CB Europe Focus Hedged -6,91 -3 ,64 18,19 -3,30 29,58 93,40
UBS CB Europe Hedged -11,12 -6 ,93 23,03 7,78 56,08 121,04
catégorie Morningstar -9,68 -6 ,70 13,36 -1,26 23,92 64,89
Performance moyenne Peer Group* -9,51 -6 ,76 14,18 2,68 22,81 41,44
Rang Peer Group 30 / 36 29 / 36 9 / 35 21 / 34 4 / 25 5 / 17
60
80
100
120
140
160
180
sept.-01
mars-02
sept.-02
mars-03
sept.-03
mars-04
sept.-04
mars-05
sept.-05
mars-06
sept.-06
mars-07
sept.-07
mars-08
sept.-08
mars-09
sept.-09
mars-10
sept.-10
mars-11
sept.-11
NOBC EUROPE CONVERTIBLES UBS CB Europe Focus Hedged Morningstar category
26 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
NOBC Europe Convertibles – Performance attribution
Segment WeightSegment Internal
WeightPerformance
% in the
Benchmark
Segment Internal
Weight
Benchmark
Performance
FI Convertibles (delta 0 - 15) 5,13% -1,80% UBS Warburg FI 25,88% -11,15%
Investment Grade 0,00% 0,00% Investment Grade 15,61% 60,31% -9,10%
Non Investment Grade 5,13% 100,00% -1,80% Non Investment Grade 10,27% 39,69% -14,26%
Mixed + Equities Convertibles (delta 15 - 100) 92,04% -10,18% UBS Warburg Mixed + Equity 74,12% -5,43%
Energy 15,37% 16,70% -7,52% Energy 14,89% 20,08% -16,85%
Materials 14,97% 16,26% -19,07% Materials 6,68% 9,01% -19,82%
Industry 10,30% 11,20% -12,27% Industry 11,55% 15,58% -11,81%
Consumer Discretionary 21,78% 23,66% -10,47% Consumer Discretionary 10,92% 14,73% -9,82%
Consumer Staples 3,99% 4,33% -2,33% Consumer Staples 3,59% 4,85% 0,03%
Healthcare 5,10% 5,54% -8,30% Healthcare 8,66% 11,68% -1,44%
Finance 11,85% 12,88% -15,44% Finance 4,13% 5,57% -9,64%
Information Technology 3,34% 3,63% 35,32% Information Technology 7,53% 10,16% 35,50%
Telecommunications 1,60% 1,73% -29,46% Telecommunications 2,82% 3,80% 5,40%
Utilities 3,74% 4,06% -4,77% Utilities 3,36% 4,53% -1,91%
Short Term 4,21% 0,70%
Bonds Futures (contribution) -1,86%
Equities Futures (contribution) -0,22%
FX Futures (contribution) 3,76%
Cash 0,82% -533,71%
Fees -0,67%
Actual Performance -12,80%
Recalculated Performance -12,80% UBS WARBURG EUROPE performance -6,91%
NOBC Europe Convertibles from 12/31/2010 to 09/30/2011
Source: Neuflize OBC Investissements, September 30, 2011Benchmark :UBS Europe Focus Hedged Convertible IndexPast performances are not a guide to future performances
27 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
NOBC Monde Convertibles – main parameters and positions
0.65
0.25
1.55
0.19
Gamma
Vega
Inclusion/Exclusion
11.210.1���� Premium to Bond floor
Sensitivity Parameter
14.626.3% Emerging
34.159.9High Yield
14.516.3€1bn ≤ Capi ≤ à €3bn
1.218.5€100m ≤ Capi ≤ à €1bn
BBB+BB+Average Rating
2927���� Equity Sensitivity
2.162.43Interest Rate Sensitivity
1.0Cash
10.7Synthetics (Bond or collateralized cash + listed call)
5.33.6Average Maturity
3.617.54���� Average actual Yield weighted by IR sensitivity
Portfolio Breakdown (in % of total AUM) Fund B’mark
Number of securities 79 144
Traditional CBs 83.4 100
Synthetic CBs (EMTN exchangeable) 0 0
Convexity
NAV move in case of a 20% fall
and 20% rise
- 3.8
+5.8
- 4.4
+6.0
% of AUM belonging to Bench.
% with underlyings belonging to Bench.
28.8
42.4
44.5
73.0
Fund BenchmarkPositions (% nav)
1. Lukoil Oao-Spon Adr/Lukoil Intl Finance Bv 2,625% 16/06/20152,81 1,362. Daimler Ag-Registered Shares/Aabar Investments Pjsc 4% 27/05/20162,72 1,373. Gilead Sciences Inc/Gilead Sciences Inc 1.625% 05/01/20162,70 1,294. Shangri-La Asia Ltd/Newford Capital Ltd 0% 12/05/20162,41 0,375. China Agri-Industries Hldgs/Glory River Holdings Ltd 1% 07/29/20152,41 0,406. Steinhoff Intl Holdings Ltd/Steinhoff Finance Hldg 5% 22/05/20162,16 0,447. Arcelormittal 9,375% 16 2,118. China Unicom Hong Kong Ltd / Billion Express Investme ,75% 152,08 1,919. Olam International Ltd/Olam International Ltd 6% 15/10/20162,05 0,5110.Lotte Shopping Co Ltd 0% 16 2,05 0,40
Total 23,51 8,05
Issuers (% nav)1. Lukoil 0Ao-Cls 2,81 1,36
2. Aabar Investments Pjsc 2,72 1,373. Gilead Sciences, Inc. 2,70 3,194. Newford Capital Ltd 2,41 0,375. China Agri-Industries Hldgs 2,41 0,406. Asia Cement Corp 2,21 0,317. Arcelormittal 2,16 2,438. Steinhoff Intl Holdings Ltd 2,16 0,889. China Unicom Hong Kong Ltd 2,08 1,9110.Olam International Ltd 2,05 0,51
Total 23,73 12,73
Equity Sensitivity (% total)1. Galp Energia Sgps Sa-B Shrs 6,06 2,702. China Unicom Hong Kong Ltd 5,15 4,393. San Miguel Corp 4,56 1,534. Gilead Sciences Inc 4,24 4,755. Sandisk Corp 3,17 1,806. Olam International Ltd 3,14 0,727. Steinhoff Intl Holdings Ltd 2,80 1,288. Lam Research Corp 2,799. Lukoil Oao-Spon Adr 2,71 1,2610.Banco Bradesco S.A. 2,62 0,88
Total 37,26 19,32
Source : Neuflize OBC Investissements, September 30, 2011Past performances are not a guide to future performances
28 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Asian Countries (based on underlying equities)
Ratings Region (based on underlying equities)
Sector (based on underlying equities)
NOBC Monde Convertibles – breakdown (% of total AUM)
0
1
2
3
4
5
6
7
8
9
Chin
a
Hong K
ong
Philip
pin
es
Sin
gapore
South
Kore
a
India
Taiw
an
Indonesia
Mala
ysia
0
5
1 0
1 5
2 0
2 5
3 0
3 5
4 0
4 5
5 0
Euro
pe
Am
eri
ca
Asia
ex J
ap
Japan
Afr
ica/M
iddle
East
0 1 0 2 0 3 0 4 0 5 0
A A A
A A
A
B B B
B B
B
C C C
N R
0
5
10
15
20
25
30
Consum
er
Dis
cre
tionary
Info
rmation
technolo
gy
Energ
y
Mate
rials
Health C
are
Fin
ancia
ls
Industr
ials
Consum
er
Sta
ple
s
Tele
com
Utilities
Source : Neuflize OBC Investissements, September 30, 2011Past performances are not a guide to future performances
NOBC Monde ConvertiblesBenchmark
29 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Portfolio breakdown by region and sector of underlying equities
Source: Neuflize OBC Investissements, September 30, 2011Benchmark :UBS Global Focus Hedged Convertible IndexPast performances are not a guide to future performances
%AuM %Sensi Africa/Middle East %AuM %Sensi America %AuM %Sensi Asia ex Jap %AuM %Sensi Europe %AuM %Sensi Japan %AuM %Sensi99.0% 100.0% 5.2% 4.4% 20.4% 24.7% 30.7% 33.9% 40.6% 35.5% 2.1% 1.5%
Energy 16.3% 19.1% Polarcus Ltd 0.5% 0.3% Transocean Ltd 2.0% 1.0% Bumi Resources Tbk Pt 1.2% 1.4% Lukoil Oao-Spon Adr 2.8% 2.7%Jinkosolar Holding 0.3% 0.1% Galp Energia Sgps Sa-B Shrs 1.8% 5.9%
Abengoa Sa 1.3% 2.3%Essar Energy Plc 1.2% 1.1%
Technip Sa 1.2% 1.2%Bp Plc 1.1% 1.0%
Tmk-Gdr Reg S 0.8% 0.1%Renewable Energy Corp As 0.8% 0.0%
Maurel Et Prom 0.6% 0.9%Seadrill Ltd 0.5% 0.8%
Theolia 0.2% 0.2%Materials 12.8% 7.8% Aquarius Platinum Limited 1.4% 0.8% James River Coal Co 0.4% 0.3% Tata Steel Limited 2.0% 2.1% Arcelormittal 2.2% 0.8%
Paladin Energy Ltd 0.9% 0.2% Vedanta Resources Plc 2.0% 1.6%Fufeng Group Ltd 0.9% 0.3% Anglo American Plc 1.5% 0.8%
Asia Cement Corp 0.7% 0.6% Talvivaara Mining Co Plc 0.8% 0.2%Industrials 8.9% 5.0% Ship Finance Intl Ltd 0.6% 0.5% China Agri-Industries Hldgs 2.4% 1.0% Intl Consolidated Airline-Di 1.4% 0.4% Asahi Glass Co Ltd 1.3% 0.8%
Ytl Corporation Berhad 1.0% 0.9% Sacyr Vallehermoso Sa 1.1% 0.8%Sas Ab 0.6% 0.1%
Assystem 0.5% 0.6%Consumer Discretionary 24.2% 21.5% Steinhoff Intl Holdings Ltd 2.2% 2.7% Iconix Brand Group Inc 1.2% 1.3% Shangri-La Asia Ltd 2.4% 2.4% Daimler Ag-Registered Shares2.7% 2.2%
Arvinmeritor Inc 1.0% 0.7% Lotte Shoping Co Ltd 2.0% 2.0% Ppr 2.0% 1.8%Brookdale Senior Living Inc1.0% 1.2% Far Eastern New Century Corp1.6% 0.9% Tui Travel Plc 1.2% 0.7%
Maoye International Hldgs 1.4% 0.5% Jaguar Land Rover Plc 1.0% 0.0%Hengdeli Holdings Ltd 1.1% 1.0% Tui Ag 1.0% 1.2%
Intime Department Store 0.7% 0.7% Sol Melia Sa 0.7% 0.5%Home Inns & Hotels Manag-Adr0.5% 0.7% Nokian Renkaat Oyj 0.1% 0.0%
Videocon Industries Ltd 0.4% 1.2%Consumer Staples 5.6% 9.4% Archer-Daniels-Midland Co1.2% 1.0% Olam International Ltd 2.1% 3.1% Pescanova Sa 0.8% 0.8%
San Miguel Corp 1.5% 4.5%Health Care 6.7% 7.9% Gilead Sciences Inc 2.7% 4.2% Ucb Sa 1.8% 2.4%
Illumina Inc 1.1% 1.0% Richter Gedeon Nyrt. 1.0% 0.3%Financials 6.5% 5.9% Emaar Properties Pjsc 1.1% 0.5% Banco Bradesco S.A. 1.8% 2.6% Agile Property Holdings Ltd 1.6% 0.3% Immofinanz Ag 1.1% 0.9%
Kaisa Group Holdings Ltd 0.9% 1.5%Information Technology 14.0% 16.9% Lam Research Corp 1.8% 2.7% Hynix Semiconductor Inc 1.3% 1.5% Cap Gemini 1.2% 1.3% Elpida Memory Inc 0.8% 0.6%
Sandisk Corp 1.6% 3.1% Tpk Holding Co Ltd 0.9% 0.7% Alcatel-Lucent 0.7% 1.0%Emc Corp/Mass 1.4% 1.9% Econocom Group 0.6% 0.6%
Oracle Corp 1.3% 1.4% Misys Plc 0.5% 0.5%Webmd Health Corp 0.9% 1.2% Intralot S.A.-Integrated Lot 0.5% 0.0%
Renesola Ltd-Adr 0.4% 0.2%Telecom 3.2% 5.4% Vimpelcom Ltd-Spon Adr 0.0% 0.3% China Unicom Hong Kong Ltd2.1% 5.0% Wind Acquisition Finance Spa 1.2% 0.0%Utilities 0.8% 1.1% China Power International 0.8% 1.1%
30 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
NOBC Monde Convertibles – Performances vs peer group averageand benchmark
Source: Morningstar, September 30, 2011Past performances are not a guide to future performances
* global Euro hedged convertibles bond funds in EUR
** global Euro hedged convertibles bond funds in EUR ranked within the «Global Convertible» list of MorningStar. The selected funds have a track record of at least 3 years with an AUM ≥ €100m.
NB : the fund is fully hedged into € since end 2004 (partially in 2003 & 2004)
31/12/1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
NOBC MONDE CONVERTIBLES -5,86 -2,37 -11,89 3,38 -0,36 22,25 6,40 12,56 -36,21 47,31 11,57
UBS CB Global Focus Hedged -0,68 -2,06 -11,93 18,76 5,66 3,60 12,93 7,17 -26,83 23,88 9,20
UBS CB Global Focus 3,59 0,38 -22,44 3,48 0,78 12,59 5,31 -0,13 -22,99 21,27 17,22
Morningstar category* 1,46 -1,14 -9,95 6,67 2,51 13,31 7,13 4,30 -26,99 27,54 7,51
Peer Group** average mean 1,51 0,40 -2,25 4,85 3,40 12,00 5,82 5,97 -20,31 27,18 8,49
Peer Group Rank 6 / 6 5 / 7 7 / 8 8 / 9 10 / 11 2 / 15 10 / 15 1 / 20 20 / 22 6 / 23 6 / 25
YTD 1 year 3 years 5 years 10 yearsSince Inception
NOBC MONDE CONVERTIBLES -14,95 -11 ,21 21,58 5,80 24,61 59,47
UBS CB Global Focus Hedged -6,28 -2 ,21 15,69 4,12 36,19 80,65
UBS CB Global Focus -6,29 -0 ,88 25,52 4,37 5,29 67,04
Morningstar category* -8,26 -4 ,75 13,07 -0,76 22,14 73,37
Peer Group average mean -7,31 -4 ,10 14,71 4,92 18,59 39,37
Peer Group Rank 28 / 28 27 / 27 7 / 22 10 / 18 6 / 8 3 / 4
8 0
9 0
1 0 0
1 1 0
1 2 0
1 3 0
1 4 0
1 5 0
1 6 0
d é c . - 0 4 j u i n - 0 5 d é c . - 0 5 j u i n - 0 6 d é c . - 0 6 j u i n - 0 7 d é c . - 0 7 j u i n - 0 8 d é c . - 0 8 j u i n - 0 9 d é c . - 0 9 j u i n - 1 0 d é c . - 1 0 j u i n - 1 1
N O B C M O N D E C O N V E R T I B L E S U B S C B G l o b a l F o c u s H e d g e d M o r n i n g s t a r C a t e g o r y
31 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Basile Schlumberger, Head of Sales
� Direct Line : (00-33) 1 5621 8866
� Cell Phone : (00-33) 6 8462 8375
� Email: [email protected]
Jézabelle Froissart, Senior Sale
� Direct Line : (00-33) 1 5621 7846
� Cell Phone : (00-33) 6 2028 3329
� Email : [email protected]
Robert Vela, Senior Sale
� Direct Line : (00-33) 1 5621 9149
� Cell Phone : (00-33) 7 7734 4598
� Email : [email protected]
For further information, please contact :
Luc Varenne, Head of Convertibles Management
� Direct Line : (00-33) 1 5621 9853
� Cell Phone : (00-33) 6 2425 6460
� Email: [email protected]
32 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN
Disclaimer
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