THE KEY TO THE CURRENT INTEREST RATE ENVIRONMENT PARVEST ENHANCED CASH 6 MONTHS ANTONIO SERPICO London, 3 October 2017 FOR PROFESSIONAL INVESTORS MARKETING COMMUNICATION
Contents Introduction to euro fixed income short-term management Parvest Enhanced Cash 6 Months Main features Performance Portfolio exposure Investment policies and strategies 02/10/2017 2
1 INTRODUCTION TO EURO FIXED INCOME SHORT TERM MANAGEMENT 02/10/2017 3
Introduction to euro fixed income short-term management Market environment & client expectations Characteristics and key strengths Money market rates have been negative for some time Euro bond market High volatility Advantages of active management expertise Net return above money market s performance on a six-month to oneyear investment horizon Focus on risk control experience 02/10/2017 4
Introduction to euro fixed income short-term management Eonia index set to remain negative and volatile for a prolonged period Source: BNP Paribas Asset Management, Bloomberg 31/08/2017 Eonia fixing on a daily basis 02/10/2017 5
Enhanced cash strategy A combination of fundamental and tactical approaches Investment objective The enhanced cash strategy is designed to outperform EONIA significantly: - based on the euro fixed income team s best ideas and major bets - benefiting from strict risk monitoring to control performance volatility. Parvest Dynamic Portfolio Eonia approach portfolio composition FUNDAMENTAL Short to medium-term bonds Managed actively TACTICAL Euro Fixed Income team best strategies Opportunistic Enhanced cash profile Additional alpha 02/10/2017 6
2 PARVEST ENHANCED CASH 6 MONTHS 02/10/2017 7
Parvest Enhanced Cash 6 Months Fund main features Fund Main Features Benchmark Target objective Investment universe Fund Structure Eonia capitalised (EUR) Outperform the euro money market rate (Eonia) over a recommended investment period of 6 months Short-term bonds, commercial papers in fixed or floating rates Sub-fund of the PARVEST UCITS V sicav registered under the Luxembourg law Inception date 30/10/2007 Investment horizon 6 months minimum recommended Ex-ante volatility budget Max 1% NAV calculation Daily ; settlement D+3 max All-inclusive fees (OCR*) LU0325598752 - Institutional share 0,20% LU0325598166 - Classic share 0,40% LU0325599644 Privilege share 0,28% Portfolio Manager Antonio Serpico AUM EUR 3.9 billion as at end August 2017 Asset manager SRRI BNP Paribas AM Luxembourg (delegated to BNP Paribas AM France) 2 on a scale 1 to 7, the higher the risk, the longer the recommended investment horizon Source: BNP Paribas Asset Management. 31/08/2017 The above rules are internal guidelines mentioned for your information only and subject to change. Prospectus and KIID guidelines are leading. *all inclusive fees OCR: on-going charge ratio as of last publication or estimated. 02/10/2017 8
Parvest Enhanced Cash 6 Months Performance gross of fees as at end August 2017 (for illustration only) Source: BNP Paribas Asset Management performances gross of fees Past performance or achievements are not indicative of current or future performance. 02/10/2017 9
Parvest Enhanced Cash 6 Months Portfolio exposure as at end August 2017 Key figures as at end June 2017 Number of securities 423 Weighted average maturity in years (Excluding futures) Approximately 25% of the total assets exposed to peripheral countries Around 25% of the portfolio in floating rate notes Fund duration is actively managed 2.479 WAM (days) (Excluding Futures) 892 Modified duration 0.78 Yield to Maturity 0.48% Floating Rate Notes indexed to Euribor 3M 25.25% Country breakdown Weight (%) Australia 0.43% Austria 0.08% Belgium 2.04% Denmark 0.09% Finland 0.21% France 19.49% Germany 6.55% Ireland 0.54% Italy 16.62% Japan 0.12% Luxembourg 0.08% Mexico 0.21% Netherlands 1.59% New Zealand 0.13% Norway 0.16% Portugal 0.83% South Africa 0.15% Spain 7.89% Sweden 1.90% Switzerland 1.28% United Kingdom 14.25% United States 15.06% Cash and equivalent 10.31% * Excluding futures; Source: BNP Paribas Asset Management / Proges as at end August 2017 02/10/2017 10
Parvest Enhanced Cash 6 Months Portfolio exposure as at end August 2017 Median rating Weighting % AAA 0.00 AA 3.38 A 21.21 BBB 53.21 BB 9.29 B 1.97 Sector Weighting % Credit Corporate 38.77 Financial Senior 36.42 Financial Subordinated debts 7.91 Government Bonds 6.59 Cash & UCITS 10.31 Non-rated 0.63 Cash & UCITS 10.31 Source: BNP Paribas Asset Management/ Proges as at end August 2017. Mutual funds include money market funds and other euro fixed-income mutual funds 02/10/2017 11
Parvest Enhanced Cash 6 Months Investment policies portfolio exposure as at end August 2017. Focus on modified duration Portfolio s modified duration (MD in years) compared to German 5 Y yield (in %) Source: Bloomberg / Proges / BNP Paribas Asset Management as at end August 2017 02/10/2017 12
Parvest Enhanced Cash 6 Months Investment policies portfolio exposure as at end August 2017- Subordinate and high-yield financials BB and non-rated in weight (in %) Subordinated in weight (in %) Source: Proges / BNP Paribas Asset Management as at end August 2017 02/10/2017 13
Parvest Enhanced Cash 6 Months Active management on high-beta bonds Based on the major bets and best ideas of the team to capture market inefficiencies and enhance the portfolio s returns Tactical bucket (weight in % ) Tactical bucket includes the following Subordinated financial bonds High-yield bonds with maturities superior to 3 months Non-rated debts with maturities superior to 6 months Euro government bonds issued by peripheral countries with maturities superior to 3 years Euro inflation-linked bonds These internal guidelines are mentioned for your information only and are subject to change. Prospectus and KIID guidelines are leading. Source: BNP Paribas Asset Management as at end August 2017 Past performance or achievements are not indicative of future performance. 02/10/2017 14
Short-term bond euro aggregate strategies Flexible Benchmark + 50bp Eonia+100bp 18 months Eonia+ 70bp 6 months Parvest Enhanced Cash 6 Months 1 year Enhanced Cash 1 year strategy with SRI approach Parvest Bond Euro Short Term Active benchmarked management Source: BNP Paribas Asset Management Euro Sovereign & Aggregate Investments as at end August 2017 02/10/2017 15
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