bcv chf foreign bonds e new · 2 universe: sbi foreign aaa-bbb universe: sbi foreign foreign...
TRANSCRIPT
March 2018
BCV CHF Foreign Bonds
2
Universe: SBI Foreign AAA-BBB
Universe: SBI Foreign
Foreign borrowers in CHF
~ 500 issues
Fixed-rate bonds
Maturity > 1 year
Amount > CHF 100 mio
Rating AAA-BBB
Sectors Rating Maturities
AAA21.5%
AA32.9%
A27.5%
BBB18.0%
Agencies20.0%
Covered11.1%
Financials28.2%
Industrials23.3%
Gov. Related17.4%
0 - 3 years30.1%
3 - 5 years21.4%
5 - 7 years25.0%
7 - 10 years11.9%
> 10 years11.7%
Sources: SIX, POINT
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Remarks on the SBI Foreign AAA-BBB
Sources: SIX, POINT
- SBI Domestic AAA-BBB: 73% (CHF 337 bill.)
- SBI Foreign AAA-BBB: 27% (CHF123 bill.)
- SBI Foreign AAA-BBB represents an important part of SBI (Total) AAA-BBB
- Composition of SBI AAA-BBB end of March 2018 :
Domestic73%
Foreign27%
Market value in %
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20 biggest positions of universe by issuer
Sources: SIX, POINT
IssuerMarket Value
(%)
Number of
issuesDuration (Yr)
Credit spread
(bp)
EUROPEAN INVESTMENT BANK 6.0% 15 6.6 20
OESTERREICHISCHE KONTROLLBANK 3.9% 9 7.2 30
BANK NEDERLANDSE GEMEENTEN NV 3.5% 9 4.2 26
NEDERLANDSE WATERSCHAPSBANK NV 2.6% 10 5.5 29
COOPERATIEVE RABOBANK UA 2.2% 7 4.0 56
CORPORACION ANDINA DE FOMENTO 2.0% 10 5.9 59
CREDIT SUISSE AG/GUERNSEY 1.9% 5 4.7 92
CREDIT AGRICOLE SA/LONDON 1.8% 14 4.9 75
DEUTSCHE BAHN FINANCE GMBH 1.8% 6 5.5 41
NATIONAL AUSTRALIA BANK LTD 1.8% 8 4.8 54
CIE DE FINANCEMENT FONCIER SA 1.5% 6 6.1 37
KREDITANSTALT FUER WIEDERAUFBA 1.4% 3 7.6 22
WESTPAC BANKING CORP 1.4% 7 5.8 64
GAZPROM OAO VIA GAZ CAPITAL SA 1.3% 4 3.7 164
SNCF RESEAU EPIC 1.3% 5 10.1 42
REPUBLIC OF POLAND GOVERNMENT 1.3% 2 1.9 52
MONDELEZ INTERNATIONAL INC 1.3% 7 4.5 82
CAISSE DE REFINANCEMENT DE L'H 1.3% 6 4.3 38
CENTRAL AMERICAN BANK FOR ECON 1.2% 7 3.8 59
CREDIT AGRICOLE HOME LOAN SFH 1.2% 7 7.4 39
- The 20 biggest issuers represent 41% of the universe
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Performance in CHF
Sources: BCV, SIX
Performance in CHF
29.03.2018 1 month 3 months YTD 1Y3 years
(annualized)
BCV CHF Foreign Bonds I 0.16% -0.43% -0.43% -0.56% 0.13%
SBI Foreign AAA-BBB 0.19% -0.36% -0.36% -0.30% 0.34%
Difference -0.03% -0.07% -0.07% -0.25% -0.20%
2010 2011 2012 2013 2014 2015 2016 2017 2018
BCV CHF Foreign Bonds I 3.48% 2.54% 5.92% 0.28% 4.58% 0.92% 0.95% -0.05% -0.43%
SBI Foreign AAA-BBB 3.67% 2.73% 6.01% 0.38% 4.78% 1.10% 1.09% 0.21% -0.36%
AUM (mio) 582 652 819 830 842 847 782 673 657
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Performance against index
Since 31.08.2009
Sources: BCV, SIX
100
104
108
112
116
120
124
BCV CHF FOREIGN BONDS (CLASSE I) SBI FOREIGN AAA-BBB
7
Performance against index
Since beginning of the year 2013
Sources: BCV, SIX
98
100
102
104
106
108
110
BCV CHF FOREIGN BONDS (CLASSE I) SBI FOREIGN AAA-BBB
8
Daily Excess Return
Since 31.12.2010
Sources: BCV, SIX
-8
-6
-4
-2
-
2
4
6
8
pb
Daily Excess Return (Class I)
Variation of +/- 2 basis point
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Risk analysis
Sources: BCV, POINT
29.03.2018 Coupon (%) Yield (%)Duration
(Yr)
Credit
spread (bp)
BCV CHF Foreign Bonds I 1.41 0.26 5.15 54
SBI Foreign AAA-BBB 1.48 0.25 5.10 54
Active -0.07 0.01 0.05 0
*Portfolio Risk (%): 1.45%
*Benchmark Risk (%): 1.46%
AUM (mio): 657
Portfolio Beta: 1.00
*Based on 3 years - Daily
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Annualized Tracking Error
Based on 6 trading months
Sources: BCV, SIX
5
10
15
20
25
30
35
40
Subscription of 60 millions CHF near the end of the year 2011 implying a relative
performance of +9bp and -4bp over two consecutive days
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Liquidity
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%08
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Avg Bid-Ask Spread Average (before crisis)
Source: Bloomberg
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Positioning
Sources: SIX, POINT
Fund Bench. Diff.
Agencies 19.7 20.0 -0.3
Covered 9.5 11.1 -1.6
Financials 28.7 28.2 0.5
Industrials 25.4 23.3 2.1
Gov. Related 16.6 17.4 -0.8
Cash 0.1 0.0 0.1
Total 100 100
Fund Bench. Diff.
0 - 3 years 30.0 30.1 -0.1
3 - 5 years 22.2 21.4 0.8
5 - 7 years 24.0 25.0 -1.0
7 - 10 years 12.4 11.9 0.5
> 10 years 11.4 11.7 -0.3
Total 100 100
Fund Bench. Diff.
AAA 19.6 21.5 -1.9
AA 32.0 32.9 -0.9
A 27.9 27.5 0.4
BBB 20.4 18.0 2.3
Cash 0.1 0.0 0.1
Total 100 100
Rating (%)
Sector (%)
Maturity (%)
Funds Bench. Diff.
Supranational 11.3 11.2 0.1
Chile 1.3 1.3 0.0
Mexico 0.9 0.9 0.0
China 0.6 0.6 0.0
Slovakia 0.6 0.7 -0.1
India 0.6 0.6 0.0
United Arab Emirates 0.6 0.5 0.0
Qatar 0.3 0.0 0.3
Panama 0.1 0.1 0.0
United States 14.2 14.2 0.1
France 13.8 14.1 -0.3
Netherlands 12.3 12.2 0.0
Austria 6.3 6.9 -0.6
Germany 5.6 5.9 -0.4
Australia 5.1 5.1 0.0
Switzerland 3.5 3.0 0.5
Sweden 3.4 3.6 -0.2
Canada 3.3 3.7 -0.4
New Zealand 3.1 3.1 0.0
…
United Kingdom 2.3 2.4 -0.1
S.Korea 2.0 1.3 0.7
Spain 1.5 1.2 0.3
Finland 1.3 1.8 -0.5
Norway 1.0 1.6 -0.6
Denmark 0.8 1.2 -0.5
Italy 0.6 0.6 0.1
Luxembourg 0.1 0.1 0.0
…
Countries (%)
13
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 et coupons and dividend payment
• performance supervision, tracking error analysis
• follow up of changes within the benchmark
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Investment process
PricesSIX
OptimizerPOINT®
Benchmark: SBI Foreign AAA-BBB
(around 500 issues)• tracking error minimisation
• turnover control
• respect of the constraints
Model portfolio(around 450 issues)
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The bond management team BCV
A member of our team since 2006, Agim Xhaja is in charge of managing fixed income portfolios and the BCV International Bonds fund.He has 14 years of investment experience. His career began in 2001 with UBS, where he held various positions in the credit risk controland financial research divisions. Mr. Xhaja has a PhD in finance from the International Center for Financial Asset Management andEngineering (now the Swiss Financial Institute) and the University of Lausanne, a Masters in international economics from the GraduateInstitute of International Studies in Geneva, and a degree in mathematics from the University of Tirana.
Agim Xhaja, PhD, CIO Fixed Income
Fabio Simoncini, Investment Manager
He is in charge of Swiss franc-denominated bond fundsand management mandates that are either indexed-basedor semi-actively managed. He has 13 years of experiencein the financial industry. Before joining the fixed incomeinvestment team in July 2013, Mr. Simoncini worked for11 years at Lombard Odier in Geneva, first as aquantitative portfolio manager for equities, then as a fixedincome manager in charge of index-based investmentsand developing quantitative strategies. He holds aMaster's and a PhD in Mathematics from the SwissFederal Institute of Technology (EPFL) in Lausanne.
Joël Lopes joined our bond-management team in January2014 and manages semi-active and index-based bondfunds and discretionary mandates denominated in Swissfrancs. He holds a Master's in economics from theUniversity of Neuchâtel and a Bachelor's in managementfrom the Business and Economics Faculty of theUniversity of Lausanne. He has two years of financial-market experience.
Joël Lopes, Investment Manager
Gaël Fichan, Investment Manager
Gaël Fichan is foreign currency bond investmentmanager responsible for selecting securities and buildingportfolios. He brings a bottom-up perspective to thebonds investment committee. A part of our team since2013, Mr. Fichan has four years of experience in thefinancial industry. He previously worked at Swisscanto onthe fixed income investment team and holds a Master's inBanking and Finance (joint degree program between the:University of Zurich and ESGF Business School, Paris).
A member of BCV's fixed-income investment team sinceOctober 2015, David Wehrli manages bond funds andasset management mandates with proven experience inselecting sector-specific securities from, for example, thenon-cyclical consumer goods and automotive sectors. Hehas a Master in Finance and a Bachelor in Accountingand Finance from the University of Neuchâtel.
David Wehrli, Investment Manager
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Investing in the Swiss fixed income market withBCV CHF Foreign Bonds
Take advantage of the opportunities offered by foreign bonds issued in Swiss francs
Diversified exposure while minimizing idiosyncratic risk
Replicate as closely as possible the performance of its benchmark, the SBI Foreign AAA-BBB TR (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 17.08.2009
Fees (p.a.)Class A: 0.65%
Class I: 0.25%
Anti-dilution fee 0.20%
Base currency CHF
ISIN numbers CHF A: CH0102907844 / CHF I: CH0102907927
Telekurs numbers CHF A: 10290784 / CHF I: 10290792
Bloomberg tickers CHF A: AMPRFBD SW / CHF I: AMPRFBI SW
18
℡
℡
℡
Your specialists, always at your disposal
Agim Xhaja, PhD, CIO Fixed Income
Bonds & Forex Investment Manager
021 212 21 13
Fabio Simoncini
Strategist Investment manager
021 212 20 91
Joel Lopes
Strategist Investment manager
021 212 22 39
19
Your contact person
℡ 021 212 31 18
Banque Cantonale VaudoiseAsset ManagementCP 300 [email protected] Lausanne www.bcv.ch/invest
Frédéric Gardet
Gilles Guyaz Philippe MaederMartin Koenig Ulrich Lüthy Philippe Schlatter
Urs ZieglerMichel Aubry
℡ 044 388 71 30
Banque Cantonale VaudoiseAsset ManagementTalacker 35 [email protected] Zürich www.bcv.ch/invest
Jürg BaltenspergerRiccardo Cutruneo
Julien Brasey
20
Important legal information
Waiver of liability. While we make every reasonable effort to use reliable information, we make no representation or warranty of any kind that all informationcontained in this document is accurate or complete. Only values and performance figures calculated by the custodian bank are authoritative. We disclaim all liabilityor responsibility for any loss, damage or injury that may result directly or indirectly from this information. The information and opinions contained in this document arerepresentative of the situation on the date this document was prepared and may change at any time, particularly as a result of changes in the general market trend,interest rates and exchange rates, and legislative and/or regulatory changes. We are under no obligation to update or modify this document.
No offer or recommendation. This document is for information purposes only; it does not constitute bookbuilding, an offer to buy or sell or a personalizedinvestment recommendation. Before conducting any transaction, we recommend that you contact your advisors to carry out a specific examination of your risk profileand that you seek information about the risks involved. One such source of information is the SwissBanking brochure "Special risks in securities trading" (availableat BCV offices and on the BCV website www.bcv.ch). In particular, we draw your attention to the fact that prior performance must not be taken as a guarantee ofcurrent or future performance, and does not take into account commissions or fees for the issuance/purchase or redemption/sale of units.
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