BCV CHF Domestic Corporate Bonds. March 2018

Transcription

1 BCV CHF Domestic Corporate Bonds March 2018

2 Universe: SBI Corporate Domestic Universe: SBI Corporate Domestic Swiss corporate bonds in CHF ~ 250 issues Fixed-rate bonds Maturity > 1 year Amount > CHF 100 mio Rating AAA-BBB Sectors Rating Maturities Utilities 18.2% Industrials 44.1% Financials 37.7% BBB+ 16.5% A- 20.7% BBB 6.5% BBB- 10.2% A 23.1% AA 2.4% A+ 12.1% AA- 8.7% 5-7 years 26.4% 7-10 years 19.5% > 10 years 3-5 years 26.0% 0-3 years 18.4% Sources: SIX, POINT 2

3 Universe: SBI Corporate Domestic - «SBI Corporate Domestic» end of March 2018 (16% of the domestic universe) Issuers Issues Weight (bn) Duration (years) Spread (bp) Yield (%) % Market Value [%] Corporate Dom. 16% Confederation 25% Securitised 35% Gov. related 24% Sources: SIX, POINT 3

4 Universe: SBI Corporate Domestic Maturity and sectors Maturity Nb of issues Market Weight (%) Duration Contribution Spread (bp) Yield (%) 0-3 years % % 3-5 years % % 5-7 years % % 7-10 years % % > 10 years % % Total % % Sectors Nb of issues Market Weight (%) Duration Contribution Spread (bp) Yield (%) Financials % % Industrials % % Utilities % % Total % % Sources: SIX, POINT 4

5 10 biggest issuers of the universe Issuer Market Value (%) Number of issues Duration (Yr) Credit spread (bp) SWISSCOM AG 6.04% KRAFTWERKE LINTH-LIMMERN AG 3.89% RAIFFEISEN SCHWEIZ GENOSSENSCH 3.74% COOP-GRUPPE GENOSSENSCHAFT 3.68% SGS SA 3.37% LGT BANK AG 3.18% ROCHE KAPITALMARKT AG 3.08% ZURICH INSURANCE CO LTD 2.85% NANT DE DRANCE SA 2.74% SWISS PRIME SITE AG 2.66% The 10 biggest issuers represent 35% of the universe Sources: SIX, POINT 5

6 Performance in CHF Performance in CHF month 3 months YTD 1Y BCV CHF Domestic Corporate Bonds 0.22% -0.29% -0.29% 0.23% SBI Corporate Domestic 0.22% -0.25% -0.25% 0.34% Difference 0.00% -0.03% -0.03% -0.11% * BCV CHF Domestic Corporate Bonds 0.62% 4.94% 1.33% 0.57% 0.72% -0.29% SBI Corporate Domestic 0.48% 4.98% 1.45% 0.70% 0.82% -0.25% AUM (mio) * since Sources: BCV, SIX 6

7 Performance against index Since inception BCV CHF DOMESTIC CORP BOND (CLASS I) SBI CORPORATE DOMESTIC AAA-BBB Sources: BCV, SIX 7

8 Daily Excess Return Since inception Variation of +/- 2 basis point Sources: BCV, SIX 8

9 Risk analysis Coupon (%) Yield (%) Duration (Yr) Credit spread (bp) BCV CHF Domestic Corporate Bonds I SBI Corporate Domestic Active *Portfolio Risk (%): 1.59% *Benchmark Risk (%): 1.60% AUM (mio): 754 Portfolio Beta: 1.00 *Based on 3 years - Daily Sources: BCV, SIX 9

10 Annualized Tracking Error Based on 60 rolling trading days since inception pb Sources: BCV, SIX 10

11 Liquidity Average Bid-Ask Spread 2.0% 1.5% 1.0% 0.5% 0.0% Domestic Non Fin. Domestic Fin. Source: Bloomberg 11

12 Positioning Sector (%) Fund Bench. Diff. Financials 37.7% 37.7% 0.0% Industrials 43.7% 44.1% -0.3% Utilities 18.4% 18.2% 0.1% Cash 0.2% 0.0% 0.2% Total 100% 100% Utilities 18.4% Financials 37.7% Maturity (%) Fund Bench. Diff. 0-3 years 17.9% 18.4% -0.5% 3-5 years 26.5% 26.0% 0.6% 5-7 years 27.0% 26.4% 0.6% 7-10 years 18.9% 19.5% -0.6% > 10 years 9.8% 9.8% 0.0% Total 100% 100% Industrials 43.7% AA 11.3% 5-7 years 27.0% 7-10 years 18.9% > 10 years 9.8% 0-3 years 17.9% 3-5 years 26.5% Rating (%) Fund Bench. Diff. AA 11.3% 11.1% 0.3% A 55.7% 55.8% -0.2% BBB 32.8% 33.1% -0.3% BB 0.0% 0.0% 0.0% Cash 0.2% 0.0% 0.2% Total 100% 100% BBB 32.8% A 55.7% Sources: BCV, SIX, POINT 12

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, coupons and dividend payment performance and tracking error analysis follow changes in benchmark 13

14 Investment process Benchmark: SBI Corporate Domestic (around 250 issues) Optimizer POINT Prices SIX tracking error minimisation turnover control Model portfolio (around 200 issues) 14

15 The bond management team BCV Agim Xhaja, PhD, CIO Fixed Income 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 control and financial research divisions. Mr. Xhaja has a PhD in finance from the International Center for Financial Asset Management and Engineering (now the Swiss Financial Institute) and the University of Lausanne, a Masters in international economics from the Graduate Institute of International Studies in Geneva, and a degree in mathematics from the University of Tirana. Fabio Simoncini, Investment Manager He is in charge of Swiss franc-denominated bond funds and management mandates that are either indexed-based or semi-actively managed. He has 13 years of experience in the financial industry. Before joining the fixed income investment team in July 2013, Mr. Simoncini worked for 11 years at Lombard Odier in Geneva, first as a quantitative portfolio manager for equities, then as a fixed income manager in charge of index-based investments and developing quantitative strategies. He holds a Master's and a PhD in Mathematics from the Swiss Federal Institute of Technology (EPFL) in Lausanne. Joël Lopes, Investment Manager Joël Lopes joined our bond-management 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 two years of financialmarket experience. Gaël Fichan, Investment Manager 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 four 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). David Wehrli, Investment Manager A member of BCV's fixed-income investment team since October 2015, David Wehrli manages bond funds and asset management mandates with proven experience 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. 15

16 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 %) 16

17 Fund Characteristics Legal Structure Registration Depository bank Auditor Fund Manager Fund Management Liquidity Fund under Swiss law Switzerland Banque Cantonale Vaudoise (BCV), Lausanne, Switzerland PricewaterhouseCoopers SA, Pully, Switzerland BCV Asset Management, Lausanne, Switzerland Gérifonds SA, Lausanne, Switzerland Daily, 14h Launch date Fees (p.a.) Class A: 0.65% Class I: 0.20% Anti-dilution fee 0.20% Base currency ISIN numbers CHF CHF A: CH / CHF I: CH Telekurs numbers CHF A: / CHF I: Bloomberg tickers CHF A: BCVDCBA SW / CHF I: BCVDCBI SW 17

18 Your specialists, always at your disposal Agim Xhaja, PhD, CIO Fixed Income Bonds & Forex Investment Manager Fabio Simoncini Strategist Investment manager Joel Lopes Strategist Investment manager 18

19 Your contact person Michel Aubry Frédéric Gardet Urs Ziegler Banque Cantonale Vaudoise Asset Management CP Lausanne Julien Brasey Gilles Guyaz Martin Koenig Ulrich Lüthy Philippe Maeder Philippe Schlatter Riccardo Cutruneo Jürg Baltensperger Banque Cantonale Vaudoise Asset Management Talacker Zürich 19

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 information contained in this document is accurate or complete. Only values and performance figures calculated by the custodian bank are authoritative. We disclaim all liability or responsibility for any loss, damage or injury that may result directly or indirectly from this information. The information and opinions contained in this document are representative 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 personalized investment recommendation. Before conducting any transaction, we recommend that you contact your advisors to carry out a specific examination of your risk profile and that you seek information about the risks involved. One such source of information is the SwissBanking brochure "Special risks in securities trading" (available at BCV offices and on the BCV website In particular, we draw your attention to the fact that prior performance must not be taken as a guarantee of current or future performance, and does not take into account commissions or fees for the issuance/purchase or redemption/sale of units. Interests in certain securities and relations with third parties. It is possible that BCV, companies in our Group and/or their directors, managers and employees hold or have held interests in or positions on certain securities, which they may buy or sell at any time, or that they have acted or traded as a market maker. They may have or have had business relationships with the issuers of certain securities, or provide or have provided them with corporate finance services, capital market services or any other financial services. Restrictions on distribution. Certain transactions and/or the distribution of this document may be prohibited or subject to restrictions for persons in jurisdictions other than Switzerland (particularly Germany, the EU, the UK, and the USA) and for US persons. The distribution of this document is only authorized to the extent allowed by applicable law. Trademark and copyright. The BCV logo and trademark are protected by law. This document is subject to copyright and may not be reproduced unless the reproduction mentions its author, copyright and all the legal information it contains. Prior written authorization from BCV is required to use this document for public or commercial purposes. Telephone. Please note that calls to BCV phone numbers may be recorded. By calling us, you tacitly agree to this practice. 20