Asset Management Fixed Income. Credit Suisse (Lux) AgaNola Global Convertible Bond Fund

Transcription

1 Asset Management Fixed Income Credit Suisse (Lux) AgaNola Global Convertible Bond Fund November 2016

2 Content AgaNola Credit Suisse Asset Management Cooperation Investment Philosophy & Process Key Terms Appendix November

3 Strategic Co-operation between AgaNola AG and Credit Suisse A Combination that Stands for Best of Both Worlds AgaNola Credit Suisse Asset Management Offering dedicated convertible strategies focused in the investment grade sub-universe. Strong bottom-up equity skills supported by a systematic, process driven selection approach combined with in-depth convertible analysis expertise. Fully integrated, proprietary system at its disposal, which covers all processes in the areas of portfolio management, operations and middle office. Top-quartile performance of funds in peer comparison. 3 specialized convertible experts combining more than 30 years of experience in the convertible space. Offering broad range of convertible strategies from investmentgrade, balanced to dynamic profiles. Strong bottom-up credit skills supported by the Fixed Income team and external independent credit research resources. Robust operational and risk management platform Blackrock Aladdin and end-user computing as an integrated part of the investment process. Lipper Fund Awards and 2016 for best convertible bond funds in Switzerland. 3 specialized convertible bond portfolio managers with an average of 10 years of experience. Assembling of a strong, experienced and complementary team of senior portfolio managers. The team consists of investment managers with a continuously successful track record in convertibles. Scalable and process driven platform currently managing assets of more than USD 1.0 billion. November

4 Investment Universe Focus and Responsibilities AgaNola AG Credit Suisse Focus Equity Focus Credit AgaNola AG Primary Universe (~100 Investment Grade Convertible Bonds) Selection of Investment Grade Convertibles (60 70 Names, globally diversified) Risk optimized portfolio construction by combining equity/credit views on all intstruments Strategy selection Credit Suisse Secondary Universe (~300 Convertible Bonds, unconstrained) Evaluation of Special Situations (10 30 Names, concentrated) Trade selection Trade sizing Execution Risk optimized portfolio construction by combining equity/credit views on all intstruments instruments. Sources: Credit Suisse, AgaNola November

5 Content AgaNola Credit Suisse Asset Management Cooperation Investment Philosophy & Process Key Terms Appendix November

6 Executive Summary Best In Class Investment Grade Convertible Bond Fund Market Opportunity While close to historically low levels, global interest rates are rapidly rising. Equity markets have a favorable dynamic on the back of increasing inflation expectations and global growth outlook. With investment grade and high yield credit spreads at low levels relative to historic averages it is becoming increasingly difficult for fixed income investors to generate strong absolute returns. In such an environment, investment grade convertible bonds offer a viable source of enhanced returns. Investment Solution Leveraged know-how of two convertible bond specialised managers AgaNola and Credit Suisse. Focus on the construction of a long-only global investment grade convertible bond product with upside optionality. Exploit opportunities provided by special situations, relative valuations and long-term market trends. Non-benchmark-oriented bottom-up driven investment process. Strategy Actively managed global convertible bond portfolio, focusing on upside optionality in primary and secondary universe. Primary universe (TR Global CB Investment Grade Index): accounting for a minimum of 67% of the fund s NAV. Secondary universe (TR Global CB Index): alpha generation potential from relative value and special situation opportunities uncorrelated with the overall market direction. Source: Credit Suisse As of November 30, 2016 November

7 The Case For Convertible Bonds Understanding Key Advantages Bonds: pros Bonds: cons Stocks: pros Stocks: cons Steady income Historically low income Substantial capital gain potential At or near all-time highs Why convertible bonds often outperform other asset classes? Principal protection Traditionally lower volatility Exposure to marketvalue loss from rising credit spreads and rates Poor risk/reward tradeoff Better long-term inflation hedge; tax efficiency Possibility of growing dividends Vulnerable to sharp declines in market value No principal protection CBs offer an asymmetric riskreward which can be further enhanced with the help of quantitative screening tools and/or fundamental credit analysis Converts Equities Corp. Bonds Fixed coupons Equity potential Historically outperform when interest rates rise Special situations are a particularly interesting source of alpha for convertible bonds: - takeover protection; - dividend protection; - spin-offs; - other corporate actions. Limited downside in weak equity markets Special situations Source: Credit Suisse November

8 Investment Philosophy Quality Blue Chips Plus Special Situations Investment Universe Investment Objective Investment Approach Quality strategy: Exposure to benchmark type Blue Chip companies with high credit quality gives this strategy a balanced risk/reward profile. Benchmark: ca positions. Primary universe: over 100 individual securities with implied investment grade rating offering limited downside on account of the solid bond floor and superior liquidity. Secondary universe: Adding special situations/unconstrained convertible bond opportunities offering significant upside from an equity and/or credit perspective. Target outperformance vs. benchmark over three to five years: 2 3% p.a. gross. Tracking error of 2 3% should be tolerated. Diversified portfolio: Sizing positions based on liquidity and quality versus high conviction investment opportunities. Derivatives overlay to enhance yield or capital preservation in strong up and down markets. Active approach: active investment management of global convertible bonds. Bottom-up driven selection process. Balanced approach: both quantitative parameters and qualitative considerations are taken into account. Focus on investment-grade core portfolio plus special situations Portfolio delta: No delta boundaries set through the Thomson Reuters Focus filter, delta moves directional with the market. Clear responsibilities/specialization of each co-investment manager. Target returns are based on historical data, it is not a projection, prediction or guarantee of future performance, and there is no certainty that the target return will be reached. Sources: Credit Suisse, AgaNola November

9 Investment Profile Targeting above Benchmark Return by Various Sources Strategies Expected Payoff versus Risky asset markets Expected Return Typical Alloc. in % Investment Grade Convertibles Benchmark Blue chip high quality issuers Benchmark size Generic market beta Typically 50 to 70 positions Returns Risky assets Convertible Benchmark Return (Historical Average ~4.5% p.a.) >70% Special Situations Non-Benchmark Selected special situations Bottom-up driven credit opportunities Typically 5 to 10 positions Deep-value approach Returns Risky assets +1 2% 10 20% Relative Value Non-Benchmark Markets dislocations New issue activities Short-term investments Corporate actions Returns Risky assets +1% <10% Overlay High conviction trades (outright, delta-hedged or option structures) tilted toward tail hedge Your Solution Core blue-chip quality convertible portfolio Yield enhancement through idiosyncratic credit risk or derivatives overlay Hedging downside/market risk actively Returns Risky assets Convertible Benchmark Return + 2 3% 100% Historical performance indications and financial market scenarios are not reliable indicators of current or future performance. Long positions can be implemented via direct bond purchases or derivatives. Short positions are implemented via derivatives (and short selling of bonds). Both volatility and expected returns are represented by market indices. They therefore may deviate from real invested portfolios. In addition, the level of volatility might change over time as markets move. Volatility and expected return figures are only an indication of the different investment profiles and do not provide any guarantee that they will stay at the same level in the future. Target returns are based on historical data, it is not a projection, prediction or guarantee of future performance, and there is no certainty that the target return will be reached. Source: Credit Suisse For illustrative purposes only. November

10 Investment Grade Convertibles Sample Prime Universe STMicroelectronics 1% Price 95 Rationale (Investment date: July 27, 2016) Historical Trade Opportunity We bought the respective bond in July 2016 moving from a neutral to an overweight position. STMicroelectronics was one of the few bonds in the primary universe offering a YTM of over 1.5% and a 1% coupon. In addition, conversion premium had just dropped to below 70% for the first time in 2016 offering better equity sensitivity. We like the improved dynamics of the Semiconductors sector despite neutral analyst recommendations. The HOLT score for STMicro is STM 1% 2021 Trade Result Entry price % YTM 1.55% Target Exit Level 115% Expected Return over 2Y 20.0% For illustrative purposes only. This document constitutes marketing material and is not the result of any financial analysis or research. Historical performance indications and financial market scenarios are not reliable indicators of current or future performance. Sources: Credit Suisse, AgaNola As of November

11 Special Situations Convertibles Sample Secondary Universe Silver Standard 2.875% Price Rationale (Investment date: February 1, 2016) Historical Trade Opportunity We bought the respective bond in February 2016 with an intitial allocation of 0.8% which we gradually increased to 2.5% through April Silver Standard is in a net cash position and the convertible bond is its only debt. Our credit analysis showed that the risk of non-payment is minimal. In addition, we have a positive view on the outlook for precious metals prices and the underlying stock. The HOLT score is 96. We took profit at % in October SSRI 2.875% 2033 Trade Result Entry price % YTP ( ) 16.8% Target Exit Level 100% Expected Return over 2Y 40.0% For illustrative purposes only. This document constitutes marketing material and is not the result of any financial analysis or research. Historical performance indications and financial market scenarios are not reliable indicators of current or future performance. Sources: Credit Suisse, AgaNola As of November

12 Relative Value Convertibles Sample Secondary Universe Severstal 0.5% Price /16 05/16 06/16 07/16 08/16 09/16 10/16 Severstal 0.5% 2021 Rationale (Investment date: May 20, 2016) Historical Trade Opportunity We bought the respective bond shortly after it was issued after its price dripped to below 98 on the secondary. Severstal is a strong and improving credit. We expected an upgrade to IG within the following12 months. The company was subsequently upgraded to BBB- on August 4, We like Severstal and the exposure to the Steel sector. the company currently has a HOLT score of 53. In addition, we like the bond profile which has a floor of and conversion premium at the time the deal was launched of only 17.50%. Trade Result Entry price % YTM 1.40% Target Exit Level 130% Expected Return over 2Y 33.0% For illustrative purposes only. This document constitutes marketing material and is not the result of any financial analysis or research. Historical performance indications and financial market scenarios are not reliable indicators of current or future performance. Sources: Credit Suisse, AgaNola As of November

13 Investment Process Overview Quantitative Screening Focus Equity Qualitative Input Focus Credit/Convert Selection & Construction Execution Risk Management & Monitoring Multifactor Equity Model Systematic evaluation based on fundamental factors, price ratios and behavioral patterns Universe is split into groups (strong buy, buy, sell and strong sell). In-depth, bottom-up process (equity and credit research) Capital structure, documentation and security review CB valuation (bond, option, liquidity) Special situations Minimizing default risk by credit analysis. Pre-trade analysis (restrictions) Strategy selection (IG vs. HY vs. RV) Trade selection (issuer, instruments) Trade sizing (volatility, correlation, liquidity, conviction) Execute all trades through Credit Suisse execution desk Best price execution principles Global broker and client network Straight-through processing to fund administration Constant reevaluation of portfolio positioning Daily attribution analysis by Blackrock/Aladdin Independent guidelines monitoring Period review of combined investment committee AgaNola proprietary analysis Credit Suisse Asset Management Credit Research Set-up Investment Manager Front- Tools (e.g. Bloomberg PORT) Credit Suisse AG Execution Desk Standard Ops Setup for FI funds. ANIS Blackrock/Aladdin UBS Delta For illustrative purposes only. Sources: Credit Suisse, AgaNola November

14 Quantitative Screening Focus Equities: Systematic Assessment of Attractiveness AS-Score Strategies Provide an objective view of all Companies included in the convertible universe Improve investment process via an analytical tool that involves the use of a set of proprietary quantitative algorithms that is consistently applied to all companies Value Momentum Quality the tendency for relatively cheap assets to outperform relatively expensive ones the tendency for an asset s recent relative performance to continue in the near future the tendency for higher quality assets to generate higher risk-adjusted returns Four intuitive criteria, when applied effectively, have delivered positive long-term returns with low correlation to each other and traditional markets. Growth the tendency for assets expected to grow faster to outperform assets expected to grow slower Systematic return forecast for the underlying equity based on a multi-factor model, taking fundamental data, price momentum and behavioral finance criteria into account Focus on equity: Convertible bond return is mainly explained through the equity return 1 1 Ammann, Kind, Seitz (July 2007) Regression analysis: Monthly return data for the Thomson Reuters Convertibles Global Index, hedged in CHF, and MSCI World Index (lc) from Sep 2002 Sep 2012; linear regression to analyze relationship. For illustrative purposes only. November

15 Qualitative Input Detailed Fundamental Credit and Equity Analysis Fundamental Outlook (top down) Issuer Analysis (bottom up) Global growth, inflation and interest rate outlook Leverage versus earnings cycle Systemic event risks Default and recovery rate outlook Sector trends, trend on downgrade/upgrade cycle, bank lending environment contractionary versus expansionary Financial and business analysis Management quality Market/competitive position and event risk Catalyst to reduce credit risk Sources: Equity and Credit research from independent research sources (e.g. Creditsights or Lucror). Internal investment specialists e.g. HY, EM, Asia. Company meetings. Relative Valuations Technical Indicators Option valuation based on volatility and borrowing costs Long term spread analysis on sector, rating category Relative value analysis versus market, sector and rating Bond spreads versus Credit Default Swaps Issuer credit curve valuations Capital structure considerations Structural, documentation issues Measuring risk appetite Gauging trader s positions Supply versus demand balance Tracking fund flows across all European convertible bond managers Sources: Specialized convertible portfolio manager assessment. Bond documentation and vendor information systems. Global research. Peer analysis. For illustrative purposes only. Sources: Credit Suisse, AgaNola November

16 Portfolio Positioning (I / II) Putting it all together in a diversified investment approach Portfolio Statistics Fund BM Δ Delta 49.2% 48.6% 0.6% Current Yield 0.9% 1.0% -0.1% Yield-to-maturity/-put -7.9% -8.5% 0.6% Modified Duration Distance to Bond Floor 20.2% 20.3% -0.1% Average Rating BBB- BBB Number of holdings Assets under Management (USD Milions) Top 10 Issuers (cumulated) 33.9% Reference Currency USD Benchmark Thomson Reuters Convertible Global Inv. Grade Legal Structure Luxemburg UCITS Subscriptions & Redemptions Daily Inception Date Rating Fund BM Δ AAA 0.3% 0.3% 0.0% AA 0.6% 0.0% 0.6% A 29.4% 45.4% -16.0% BBB 62.9% 54.3% 8.6% BB 5.0% 0.0% 5.0% B 0.0% 0.0% 0.0% Others 1.9% 0.0% 1.9% Region Fund BM Δ Cash 7.2% 0.0% 7.2% Americas 33.0% 33.1% -0.1% Western Europe 45.0% 47.6% -2.5% EEMEA 8.2% 9.9% -1.7% Japan 2.1% 2.4% -0.4% Asia ex Japan 4.4% 7.0% -2.5% -10% -5% 0% 5% 10% -5% 0% 5% 10% For illustrative purposes only. Source: Credit Suisse, AgaNola; Data as per November 30, 2016 November

17 Portfolio Positioning (II / II) Sector Allocation Sector Fund BM Δ -5% 0% 5% 10% Sector Active Delta -2% -1% 0% 1% 2% Cash 7.2% 0.0% 7.2% Basic Resources 3.9% 2.0% 1.9% Health Care 6.6% 5.9% 0.8% Chemicals 1.3% 0.8% 0.5% Automobiles & Parts 2.7% 2.2% 0.5% Technology 20.1% 19.9% 0.3% Industrial Goods & Services 14.7% 14.6% 0.2% Personal & Household Goods 5.1% 5.0% 0.1% Retail 0.7% 0.8% -0.1% Telecommunications 7.9% 8.1% -0.1% Construction & Materials 1.6% 1.8% -0.2% Travel & Leisure 3.7% 4.0% -0.2% Real Estate 9.5% 10.5% -1.1% Financial Services 1.7% 2.8% -1.1% Oil & Gas 5.5% 6.9% -1.4% Banks 3.3% 5.4% -2.1% Insurance 1.7% 3.9% -2.3% Basic Resources 0.8% Industrial Goods & Services 0.5% Automobiles & Parts 0.5% Health Care 0.3% Insurance 0.2% Chemicals 0.2% Personal & Household Goods 0.1% Technology 0.0% Construction & Materials 0.0% Telecommunications 0.0% Retail -0.1% Travel & Leisure -0.1% Financial Services -0.1% Oil & Gas -0.2% Real Estate -0.3% Banks -0.5% Utilities -0.5% Utilities 2.7% 5.5% -2.7% For illustrative purposes only. Source: Credit Suisse, AgaNola; Data as per November 30, 2016 November

18 Credit Suisse (Lux) AgaNola Global Convertible Bond Fund Performance (gross) Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 CS (Lux) AgaNola Global Convertible Inv. Grade Bond Fund EB USD (gross) Thomson Reuters Global Inv. Grade CB Index (hedged into USD) YTD 1Y 3Y (ann.) 5Y (ann.) Fund (gross) 2.2% 1.2% 4.5% 6.1% -1.9% 9.2% 11.1% 6.4% 3.8% Benchmark 3.1% 2.2% 4.9% 6.5% -2.1% 9.3% 11.1% 7.0% 3.9% Relative (gross) -0.9% -1.0% -0.4% -0.4% 0.2% -0.2% 0.0% -0.5% -0.2% TER 0.5% Historical performance indications and financial market scenarios are not reliable indicators of current or future performance. Source: Credit Suisse As of November 30, 2016 November

19 Content AgaNola Credit Suisse Asset Management Cooperation Investment Philosophy & Process Key Terms Appendix November

20 Credit Suisse (Lux) AgaNola Global Convertible Bond Fund Key Facts Fund name Credit Suisse (Lux) AgaNola Global Convertible Bond Fund Domicile Luxembourg Legal structure Investment company with variable capital under Luxembourg law (SICAV) UCITS compliant Investment manager Credit Suisse AG/AgaNola AG Portfolio manager Lukas Buxtorf, Rossitza Haritova Currency share classes USD, EUR, CHF Investment objective The investment objective is to achieve an outperformance versus the benchmark. Management fee p.a. B/BH: 1.20%, IB/IBH: 0.80%, IBP/IBHP: 0.60%, UB/UBH: 0.90% Performance fee Applying only for IAP/IBP/IAHP/IBHP share classes, 20% Performance Fee above 5% hurdle rate with high water mark Benchmark Thomson Reuters Global Convertible Investment Grade Index Liquidity and subscriptions Daily, with cutoff at 3:00 p.m. CET Launch Date /Co-managed since Sales Charges Maximum sales charge 5%. Standard sales charge at Credit Suisse 1%. Merger date December 2016 Share Classes Management Fee Expected TER* Valor no. ISIN Number B USD n/a 1.20% 1.38% n/a LU BH CHF n/a 1.20% 1.38% n/a LU BH EUR n/a 1.20% 1.37% n/a LU IB USD USD 500, % 0.97% n/a To follow To follow IBH CHF CHF 500, % 0.97% n/a To follow To follow IBH EUR EUR 500, % 0.97% n/a LU IBHP CHF CHF 500, % 0.77% 20% To follow To follow IBHP EUR EUR 500, % 0.77% 20% To follow To follow UB USD n/a 0.90% 1.09% n/a LU UBH CHF n/a 0.90% 1.09% n/a LU UBH EUR n/a 0.90% 1.08% n/a LU Source: Credit Suisse November

21 Credit Suisse (Lux) AgaNola Global Convertible Bond Fund Key Investment Guidelines Allocation/Exposure Maximum annualized tracking error (target) 5% Minimum annualized tracking error (target) 1% Maximum modified duration 10 Minimum modified duration 0 Minimum average rating BBB- Minimum annualized Information-Ratio (target) 0.3 Minimum exposure investment grade rated (primary universe) 67% Maximum exposure secondary universe (non-ig, straight bonds, structured products, stocks) 33% Maximum exposure to stocks and structured products 20% Maximum exposure to Emerging Markets 25% Minimum issue amount outstanding USD 80 mn Maximum exposure third party ratings (R&I, Mikuni, CS internal ratings) 50% Maximum exposure to CS internal ratings 20% Maximum exposure to open-end Collective investment vehicles 10% Maximum exposure via equity derivatives 10% Maximum exposure per issuer with rating BBB- or higher 10% Maximum exposure per issuer with rating BB+ or lower 3% Please refer to the fund prospectus for more information. Source: Credit Suisse November

22 Credit Suisse (Lux) AgaNola Global Convertible Bond Fund Experienced Portfolio Managers Lukas Buxtorf AgaNola Senior Portfolio Manager Convertibles Rossitza Haritova Credit Suisse AG Senior Portfolio Manager Convertibles Lukas Buxtorf is a Senior Portfolio Manager at AgaNola AG. He started his career in 2005 at Horizon21 AG, Switzerland, in the alternative investment sector. He possesses profound investment analysis expertise with a particular knowledge in the convertible bonds area. Lukas Buxtorf joined AgaNola AG in As of 2012 he has been responsible for the management of several convertible bond portfolios. He holds a bachelor degree in economics from the University of Applied Sciences of Bern and is a CFA charterholder. Lukas Buxtorf was born in 1979 and lives in Switzerland. Rossitza Haritova is a convertible bond specialist with 15 years of experience in the product. She joined Credit Suisse Asset Management's Fixed Income team from the Credit Suisse London office where she worked as a senior convertible bond and credit strategist. Previously she held similar roles at Morgan Stanley, Vicis Capital, Nomura and HSBC. Rossitza focuses on high yield and distressed convertible trade idea generation and has been regularly voted No.1 in the annual Extel and Greenwich Associates annual surveys. She holds a Master's degree in Economics and is a CFA charterholder. She speaks English, German, Russian and Bulgarian. The individuals mentioned above only conduct regulated activities in the jurisdiction(s) where they are properly licensed, where relevant. Source: Credit Suisse November

23 Credit Suisse (Lux) AgaNola Global Convertible Bond Fund Senior Management Marco Tinnirello AgaNola AG Head Asset Management Peter Schilling Credit Suisse AG Senior Portfolio Manager Head Convertibles Marco Tinnirello is Head of Asset Management at AgaNola and responsible for the development of systematic investment strategies and quantitative analysis. He has extensive experience in equity strategies as well as global balanced strategies. He co-founded AlphaStream, worked for OZ Bankers, Andersen Business Consulting and Handelsbank NatWest. He graduated in quantitative finance and earned a Master of Advanced Studies in Finance jointly delivered by the University of Zurich and the Swiss Federal Institute of Technology. He holds a BSc in Economics and is a CFA Charterholder. Marco Tinnirello was born in 1972 and lives with his family in Switzerland. After his studies in 1990, Peter worked for the Nassauische Sparkasse, Delbrück & CO Privatbankiers and Deka Investment, in different fund management divisions. During his career, he had a variety of positions in the fields of equity, fixed income, corporate credit, strategy, as well as management of multi asset class mandates. His comprehensive and diverse knowledge, in addition to his 20+ years capital markets experience, makes him a highly qualified senior fund manager. Peter joined Credit Suisse in Since then the Global Convertibles team was awarded with the Lipper Fund Award for the best convertible fund in Switzerland in the years Peter Schilling holds a degree in business studies (Diplom-Kaufmann) from the J. W. Goethe University in Frankfurt. The individuals mentioned above only conduct regulated activities in the jurisdiction(s) where they are properly licensed, where relevant. Source: Credit Suisse November

24 Content AgaNola Credit Suisse Asset Management Cooperation Investment Philosophy & Process Key Terms Appendix November

25 Credit Suisse (Lux) AgaNola Global Convertible Bond Fund Track Record Gross Performance AgaNola GCF Institutional CHF Benchmark CS (Lux) Global Conv. IG BF CHF BM (Change 07/2013) YTD 1Y 3Y (ann.) 4Y (ann.) ** AgaNola (gross) 0.90% 0.15% 3.29% 7.21% 2.10% 5.03% 19.21% 7.18% Benchmark 1.89% 0.74% 4.07% 7.07% 2.92% 6.82% 15.13% 4.75% Credit Suisse (gross) 0.51% -0.78% 3.39% 5.35% 2.84% 6.03% 10.61% 4.96% Benchmark * 1.89% 0.74% 4.07% 6.01% 2.91% 6.81% 10.81% 5.29% * Credit Suisse fund changed the benchmark as per July 1 st, ** Performance since June 1 st, Historical performance indications and financial market scenarios are not reliable indicators of current or future performance. Performance indications do not consider commissions levied at subscription and/or redemption. Sources: Bloomberg, AgaNola, Credit Suisse As of November

26 Credit Suisse (Lux) AgaNola Global Convertible Bond Fund Gross Performance Comparison Same Strategy since July 1, Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 CS (Lux) Global Conv. IG BF CHF AgaNola GCF Institutional CHF Historical performance indications and financial market scenarios are not reliable indicators of current or future performance. Performance indications do not consider commissions levied at subscription and/or redemption. Sources: Bloomberg, AgaNola, Credit Suisse As of November

27 Credit Suisse (Lux) AgaNola Global Convertible Bond Fund Governance Task Responsibility Members Joined Investment Committee Quarterly meeting or ad-hoc Setting strategic parameters of the investment strategy, performance review, macro themes Sounding board for conflicts Marco Tinnirello, Head Asset Management, AgaNola AG Lukas Buxtorf, Senior Portfolio Manager, AgaNola AG Peter Schilling, Head Convertibles, Credit Suisse AG Rossitza Haritova, Senior Portfolio Manager, Credit Suisse AG Portfolio Management Daily interaction on risk and investment opportunities, portfolio attribution and balancing Universe responsibility pre-defined Weekly team meeting to discuss market developments, priorities and portfolio review Operational implementation through Credit Suisse AG including STP, Execution and fund administration. Lukas Buxtorf, Senior Portfolio Manager, AgaNola AG Rossitza Haritova, Senior Portfolio Manager, Credit Suisse AG Risk Management Pre-Trade compliance Daily monitoring of investment guidelines post-trade Risk assessment, attribution & contribution Regulatory framework Independent compliance and risk management functions of AgaNola AG and Credit Suisse AG Please refer to the fund prospectus for more information. Source: Credit Suisse November

28 Disclaimer 2016 Morningstar. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. The information provided herein constitutes marketing material. It is not investment advice or otherwise based on a consideration of the personal circumstances of the addressee nor is it the result of objective or independent research. The information provided herein is not legally binding and it does not constitute an offer or invitation to enter into any type of financial transaction. The information provided herein was produced by Credit Suisse Group AG and/or its affiliates and subsidiaries (hereafter "CS") with the greatest of care and to the best of its knowledge and belief. The information and views expressed herein are those of CS at the time of writing and are subject to change at any time without notice. They are derived from sources believed to be reliable. CS provides no guarantee with regard to the content and completeness of the information and does not accept any liability for losses that might arise from making use of the information. If nothing is indicated to the contrary, all figures are unaudited. The information provided herein is for the exclusive use of the recipient. Neither this information nor any copy thereof may be sent, taken into or distributed in the United States or to any U. S. person (within the meaning of Regulation S under the US Securities Act of 1933, as amended). It may not be reproduced, neither in part nor in full, without the written permission of CS. The fund is domiciled in Luxembourg. The representative in Switzerland is Credit Suisse Funds AG, Zurich. The paying agent in Switzerland is Credit Suisse AG, Zurich. The prospectus, the simplified prospectus and/or the Key Investor Information Document (KIID) and the annual and half-yearly reports may be obtained free of charge from Credit Suisse Funds AG, Zurich or from any branch of Credit Suisse AG in Switzerland. Investment principal on bonds can be eroded depending on sale price, market price or changes in redemption amounts. Care is required when investing in such instruments. For Liechtenstein the document may only be distributed by licensed entities. The shares offered are exclusively offered to a limited group of investors. This document may not be reproduced or used for any other purpose, nor be furnished to any other person other than those to whom copies have personally been sent. This material and the transactions described therein are not nor have been subject to the review and supervision of the Liechtenstein Financial Market Authority. Copyright 2016 Credit Suisse Group AG and/or its affiliates and subsidiaries. All rights reserved. November