Watch before You Invest - Aspects of Risk Management as an Asset Manager
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1 Watch before You Invest - Aspects of Risk Management as an Asset Manager Carl McGann Chief Operating Officer- Investments Asia Pacific ex-japan i n i i n N
2 Not so long ago l-jfear Returns /63% China Food Inflation Fears To Spur Price Controls?H WMurh.---'""^.^ $.S&P 500 MSCIACAF ' - TViay-07 Sep-07 Source: Bloomberg, October 2007
3 The World has Changed i isobn f Amerca 142 has 40 Jun-C ub bep-u«uec-ua Mar-uy Jun-uy 6ep-uy / O/f / " -I AC APxJ MSCI AC World Source: Bloomberg, 30 September 2009 I fj I I II M Jl I
4 Risk Management - A Holistic View from the Buy side Investment Management Process BEFORE INVESTMENT DURING INVESTMENT AFTER INVESTMENT Counterparty Risk Market & Regulator Due Diligence New Instrument Approval Portfolio Risk Investment Guidelines Compliance Rules Portfolio Risk Capacity Management Source: FIL Limited, September 2009
5 Counterparty Risk
6 Why Was There So Little Focus on Default Risk? t.-s Decomposition of Sterling-Denominated Investment Grade Corporate Bond Spreads Residual (including compensation for illiquidity) Compensation for uncertainty about default losses Compensation for expected default losses Total spread Basis points 8OO 7OO 6OO 5OO 4OO 3OO 2OO OOO O1 O2 O3 OS O9 O Sources: Bloomberg, Merrill Lynch, Thomson Datastream and Bank calculations. Source; Bank of England Financial Stability Report, June 2009
7 What about the Rating Agencies? US Investment Banks - CDS history (5 year - Senior) US Investment Banks - Share prices (Rebased) Before After crisis Current Ratings crisis (Dec 2008) (Oct 2009) JP Morgan Aa2 Aa2 Aa3 Goldman Aa3 A1 MS Ci Q..d ro Q Q Jan-04 Dec-04 Nov-05 Ocl-06 Sep-07 Aug-08 Jul-09 JP Morgan Goldman Morgan Stanley Citigroup Merrill Lynch -Lehman Jan-07 Jul-07 Jan-08 Jul-08 - JP Morgan Goldman Sachs Citigroup Merrill Lynch Jan-09 Jul-09 Morgan Stanley - - Lehman Brothers Source: Bloomberg, October 2009
8 What is the Aim of Counterparty Research? -* *> m Jj mil Protect the assets of investors from risk of default & loss through dealings with counterparties Have a broad enough number of counterparties to ensure we can achieve best execution on behalf of our investors ^^M AMM^M«MHHMMj Independence of approval & execution is key Source: F1L Limited, September 2009
9 Key Research Challenges - as a Global Investor m mi] n Large number of potential counterparties for a global organisation a 410 counterparties globally-42% North America, 30% Australasia, 28% Europe Frequently private, small or foreign counterparties n Highly leveraged & usually opaque Total Counterparties by Rating Other 2% A 0% 13% Counterparty Exposure by Rating Other A 3% 0% B 54% Source: FIL Limited, data as of 6 October 2009 includes both FMR & FIL counterparties
10 SSFSSrajPS! %&S$^.'*t&&teurKift!tsg,^:._. Counterparty Research & Analysis Group 19 counterparty risk professionals located in Boston, London & Hong Kong n A long history - established following the collapse of Barings in 1995 Independent of the trading and investment management functions n The Group conducts fundamental due diligence/research on all of Fidelity's trading counterparties globally - just like all our other company analysts just different focus Covers all of Fidelity's trading desks located in Boston, London & Hong Kong n Leverages-off & provides input to investment analysts (approx 630 Managers and Analysts) Source; FIL Limited, October
11 I Fidelity's Counterparty Approval Process j i T Research Inputs Financial Statements Background Company Information Due Diligence Meeting Regulatory and Legal Filings Other, (Trading desk, investment analyst views, etc.) Comprehensive Analysis Analytical Outputs Formal Research Note Counterparty Rating ivation of Trading Code Control Procedures addition of New Counterparty to Approved.1st radinq Desk Notification Source: FIL Limited, September
12 The Process in Action - Lehman Brothers Fidelity CRA Rating Bi-weekly calls with Lehman Brothers initiated Bear Sterns taken over by JP Morgan Second internal downgrade Lehman Brothers filed for bankruptcy Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Lehman Brothers Moody's Rating Change CRA Rating Change Source: Bloomberg, FIL, November
13 Market & Regulator Due Diligence
14 Markets We Trade in Across the Globe Reviewed Global Markets Jf 1HM... Over 70 markets actively traded Source: FIL Limited, October Colours above refer to approvals for equities or futures & options.
15 Fidelity International New Markets Committee (FINMaC) Process * f jf t A global independent Committee comprising Investment Administration, Risk Management, Regulatory Strategy, Trading, ClOs, COOs & Investment Compliance Regular quarterly meetings to review & approve new market submissions & proposed changes to existing approved markets GENERAL COUNTRY OVERVIEW COUNTRY-WIDE INVESTMENT ISSUES EXCHANGE SPECIFIC ISSUES INVESTMENT ADMINISTRATION a Economic environment & outlook a Political environment & sovereign risk n Currency risk a Banking sector risk a Foreign Exchange n Foreign & Other Ownership Restrictions n Taxation Regime a Market / Exchange Holidays a Exchange Membership a Regulation a Liquidity n Equity Trading a Equity Settlement & Clearing n Corporate Actions & Dividends a Pricing a Corporate Governance / Proxy Voting a Sub-Custodians a Central Depository / Registration a Compliance Source: FIL Limited, September
16 Markets We Trade in Across the Globe Reviewed Global Markets i Source: FIL Limited, October Colours above refer to approvals for equities or futures & options. 16
17 Key Conclusions if There has been an increased focus on all aspects of investment risk management over the past months as the operating environment has become increasingly uncertain The investment risk management process must consider risk before, during and after investing - risks before investing have regained attention lately given the significant change in the risk landscape The key requirements for a comprehensive risk management framework are technology & information, robust processes, the right expertise, a risk conscious corporate culture and independence & segregation of duties - this requires scale, resources and commitment through the cycles Source: FIL Limited, September
18 Appendix
19 Carl McGann - Chief Operating Officer - APxJ Investments Professional Experience Present Chief Operating Officer Fidelity International, Hong Kong Head of Investment Services Fidelity International, Hong Kong Head of Adviser Services, Products and Platforms Zurich Financial Services, Australia Head of Strategy, Distribution Zurich Financial Services, Australia Vice President, Sales and Relationship Management Bankers Trust, Australia Vice President, 2IC of Singapore BT Funds Management, Singapore Vice President, National Manager Investor Services Bankers Trust, Australia Senior Accountant, Audit and Advisory Services Ernst & Young Chartered Accountants, Australia Education and Qualifications B.Comm. (Accounting and Finance), University of New South Wales, Australia Graduate Diploma and Member, Australian Institute of Company Directors Chartered Accountant Source: FIL Limited 19
20 Compliance information This document has been prepared by Fidelity for informational purposes and may not be reproduced or circulated without written consent from Fidelity. All views expressed cannot be construed as an offer or recommendation by Fidelity. This is prepared by Fidelity based on the reliable information. While care has been taken to ensure the information herein is accurate, Fidelity is not responsible for any errors or omissions relating to specific information provided by third parties. All views in this document are based on data available at the time the document was prepared. These views may have changed due to market movements or other circumstances thereafter. Fidelity, Fidelity International, and Pyramid Logo are trademarks of FIL Limited used with its permission. 20
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