Current Asset Review Period ended 1 December 018
NET ASSET VALUE ASSET CLASS Net Asset Value S$.1 million Net Asset Value S$9.41 million
NET ASSET VALUE - CURRENCY Net Asset Value S$.1 million Net Asset Value S$9.41 million
LOAN PORTFOLIO AND SECURITISATION ASSETS Portfolio as at 1 Dec 18 S$ 18.88 m Weighted Average Rating : Ba Weighted Average Coupon : 8.4% Weighted Average Maturity: 9. years No. of Securities: 9 As at 1 Dec 018, the total carrying value of the LPSA portfolio was S$18.88 million, which represented 5.9% of the Group s Net Asset Value. 16.77% of the portfolio was unrated while the rated issues had a weighted average rating of Ba. The portfolio comprised of CLO securities (66.4%), ABS securities (18.%), and RMBS securities (15.%). The largest foreign currency exposure was in US Dollars (66.4%), followed by Australian Dollar (.0%). Portfolio Distribution by Currency (as at 1 Dec 18) CNY 10.6% Portfolio Distribution by Security Type (as at 1 Dec 18) RMBS 15.% AUD.0% USD 66.4% ABS 18.% CLO 66.4% Calculation of weighted average rating is based on carrying value and the lower of Moody s, S&P and Fitch issue ratings. Calculation of weighted average coupon is based on carrying value. 4
CHINA DOMESTIC BONDS Portfolio as at 1 Dec 18 S$ 55.6 m Weighted Average Domestic Rating : AAA Weighted Average Coupon : 4.10% Weighted Average Maturity: 1.6 years No. of Securities: 0 The carrying value of the China Domestic Bonds portfolio as at 1 Dec 018 was S$55.6 million, which represented 17.% of the Group s Net Asset Value. The China Domestic Bonds are rated by China rating agencies and the weighted average domestic rating is AAA. None of the securities has an issue rating from international credit rating agencies. As at 1 Dec 018, the highest weighting sectors were energy (9.4%), utilities (5.6%), and industrials (10.8%). Portfolio Distribution by Years to Maturity (as at 1 Dec 18) Portfolio Distribution by Sector (as at 1 Dec 18) > years.6% < 1 year 8.6% Materials 10.7% Consumer Staples.5% Industrials 10.8% Energy 9.4% 1 - years 67.9% Utilities 5.6% The bonds are rated by domestic rating agencies, including China Chengxin, China Lianhe, and Dagong Credit. Calculation of weighted average coupon is based on carrying value. 5
OTHER BONDS Portfolio as at 1 Dec 18 S$ 46.9 m Weighted Average Rating : B1 Weighted Average Coupon : 6.1% Weighted Average Maturity: 9.09 years No. of Securities: 18 As at 1 Dec 018, the total carrying value of the bond portfolio was S$46.9 million, which represented 14.4% of the Group s Net Asset Value. 8.50% of the portfolio was unrated while the rated issues had a weighted average rating of B1. As of 1 Dec 018, the highest weighting sector exposures were Financials (.1%), Real Estate (.8%) and Industrials (17.7%). The largest foreign currency exposure was in US Dollars (48.8%), followed by Singapore Dollar (1.%). AUD 8.5% Portfolio Distribution by Currency (as at 1 Dec 18) CNH 7.7% EUR.9% USD 48.8% Communication Services 17.1% Portfolio Distribution by Sector (as at 1 Dec 18) Consumer Staples 0.8% Sovereign 14.% Others 4.% Financials.1% SGD 1.% Industrials 17.7% Real Estate.8% Calculation of weighted average rating is based on carrying value and the lower of Moody s, S&P and Fitch issue ratings. Calculation of weighted average coupon is based on carrying value. 6
BANK CONTINGENT CONVERTIBLES (Bank CoCo) Portfolio as at 1 Dec 18 Weighted Average Rating : S$ 115.45 m Ba Weighted Average Coupon : 6.% Weighted Average Maturity 4 : No. of Securities: 1 Bank CoCo Portfolio Distribution by Currency (as at 1 Dec 18) AUD 1.7% EUR 8.5% GBP 1.4% 6.06 years USD 4.% The carrying value as at 1 Dec 018 was S$115.45 million, which represented 5.8% of the Group s Net Asset Value..7% of the portfolio was unrated while the rated portion of the portfolio has a weighted average rating of Ba. As at 1 Dec 18, the weighted average coupon was approximately 6.%. The weighted average maturity of the Bank CoCo portfolio was about 6.06 years. The portfolio has exposure across 1 countries, with the largest exposures being France (.1%), Switzerland (18.8%) and Germany (14.4%). Bank CoCo Portfolio Distribution by Country of Issuer (as at 1 Dec 18) Italy.1% Spain.0% Singapore 1.5% Mexico 1.1% Kuwait.4% Russia.7% Brazil 4.8% France.1% SGD.% Australia 5.4% Netherlands 7.7% United Kingdom 14.0% Switzerland 18.8% Germany 14.4% Calculation of weighted average rating is based on carrying value and the lowest of Moody s, S&P and Fitch issue ratings. Calculation of weighted average coupon is based on carrying value. 4 Calculation of weighted average maturity assumes maturity at the first call date for perpetual securities, if available. 7
LISTED EQUITIES Portfolio as at 1 Dec 18 S$ 47.48 m No. of Securities 59 As at 1 Dec 018, the total carrying value of the listed equity portfolio was S$47.48 million, which represented 14.7% of the Group s Net Asset Value. As of 1 Dec 018, the highest weighting sector exposures were Financials (8.9%), Industrials (8.5%) and Energy (8.1%). The largest foreign currency exposure was in Hong Kong Dollars (67.5%), followed by Singapore Dollars (18.%). Portfolio Distribution by Currency (as at 1 Dec 18) CNY 1.6% GBP.4% KRW 7.5% SGD 18.% USD 1.0% AUD 0.9% EUR 0.9% HKD 67.5% Materials Utilities 1.5% 4.% Information Technology 5.% Communication Services 5.% Consumer Discretionary 6.8% Portfolio Distribution by Sector (as at 1 Dec 18) Energy 8.1% Real Estate 0.7% Health Care 0.6% Consumer Staples 0.1% Industrials 8.5% Financials 8.9% 8