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  • 1. Absolute return in the context of low yieldsNovember 2012Geraud CharpinPortfolio Manager f li
  • 2. Contents• BlueBay at a glance BlueBay at a glance• Observations on today’s investment universe• Adapting to our changing universe• Looking for Alpha in the right places: A few examples• Appendix 2
  • 3. About BlueBayAssets Under Management• BlueBay manages over US$46.9 billion for a range of institutional and private clients globally• Founded in 2001, BlueBay is a leading European credit specialist with long‐only and alternative capabilities , y g p p g y pAssets Under Management (US$mn to 28 September 2012) Historical Assets Under Management (US$mn to 28 September 2012) 50,000 46,942 Investment Grade* Investment Grade* 19,062 19 062 Convertibles C tibl Multi Strategy  39,633 40,000 Emerging Market  High Yield** 8,382 36,301 High Yield** 34,277 Investment Grade Investment Grade* (US$mn) Emerging Market 17,500 30,000 Multi Strategy gy 262 20,000 16,423 16,701 16 423 16 701 9,588 Convertibles 1,737 10,000 4,343 1,875 1 875 187 626 Total Company AUM 46,942 0 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012Notes:*The Investment Grade category includes the Investment Grade Constrained strategy which has a lower benchmark outperformance (‘alpha’) target and more restrictive investment guidelines The Investment Grade category includes the Investment Grade Constrained strategy which has a lower benchmark outperformance ( alpha ) target and more restrictive investment guidelines. As at 28 September 2012 the Investment Grade Constrained strategy had US$1.66 billion of AUM.** High Yield consists of High Yield, Leveraged Loans, Distressed and Direct Lending. Direct Lending AuM is committed capital. Data source: BlueBay Asset Management      3
  • 4. Contents• BlueBay at a glance BlueBay at a glance• Observations on today’s investment universe• Adapting to our changing universe• Looking for Alpha in the right places: A few examples• Appendix 4
  • 5. What money can buy• Monetary policy is expected to remain accommodative for some times to come – Running yields offer a disappointing prospect for investor10‐Year Government Bond Yields and cash rate (%) Credit Yields( %) Germany Euro Corporates 7 14 US Emerging Market Sovereign UK 6 Eonia 12 5 10 4 8 BBB‐ 3 6 2 4 A 1 2 0 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012Data source: BlueBay Asset Management, October 2012 5
  • 6. Return on Capital and return of capital• As yields on German government bonds have fallen, the risk of investors receiving negative absolute returns on their investment has risen  based on an analysis of historical volatility y y German  Statistics, as at 31 October 2012 Governments Annual standard deviation of returns,  3.70 since Dec 1999 Annual standard deviation of returns,  5.17 since Dec 2009 Yield to Maturity 0.91 Probability Statistical normalised probability of negative  40.3%  40 3% absolute return  absolute return 40.3% P (standard deviation data since 1999) Probability  Statistical normalised probability of negative  absolute return  43% ‐10 ‐9 ‐8 ‐7 ‐6 ‐5 ‐4 ‐3 ‐2 ‐1 0 1 2 3 4 5 6 7 8 9 10 (standard deviation data since 2009) Return (%)Data source: Bloomberg, Bank of America, BlueBay Asset Management, as at  31 October 2011 6
  • 7. Volatility and dispersion Italy Futures• A more difficult global growth environment  120• Policy intervention across continents  115 110• Political uncertainty Political uncertainty  105 Price (€)• All are contributing to increased dispersion of performance across the  investment universe. 100 20% 95 90 85 Jan‐10 Mar‐10 May‐10 Jul‐10 Nov‐10 Jan‐11 Mar‐11 May‐11 Jul‐11 Nov‐11 Jan‐12 Mar‐12 May‐12 Jul‐12 Sep‐10 Sep‐11 Sep‐12iBoxx € Investment Grade Corporates – Performance of Index constituents (%)  2012 1999 2000 2001 2002 2003 2004 2005 2006 2007  2008 2009 2010 2011 Sep YTD Median Performance M di P f ‐1.32  1 32 5.80  5 80 7.34  7 34 8.89  8 89 6.11  6 11 7.08  7 08 3.70  3 70 0.39  0 39 0.85  0 85 1.31  1 31 13.40  13 40 5.37  5 37 2.57 2 57 7.67 7 67 Average Performance of top 10 % 3.01  12.38  10.80  14.79  15.43  13.48  8.57  2.22  3.62  8.37  70.82  19.92  9.32 26.92 Average Performance of bottom 10%  ‐28.17  ‐0.79  ‐2.81  ‐10.97  ‐6.15  2.40  ‐1.56  ‐2.83  ‐8.45  ‐51.28  ‐9.00  ‐6.57  ‐15.70 0.29Data source: Bloomberg, Bank of America, BlueBay Asset Management, as at  31 October 2011 7
  • 8. Economic cycles and investment cycles Rising government yields Short duration Short duration Short duration Short duration Long credit spreads Short credit spreads • Investment cycles have become more blurred • Economic cycles are shorter Falling  Rising  g • Different parts of the cycle favour different assets Different parts of the cycle favour different assets credit  credit  spreads spreads Long duration Long duration Long credit spreads Short credit spreads Falling government yields 8
  • 9. A Template for the Euro Sovereign Crisis• Successful monetary union requires fiscal / political union.  Policy makers will be slow to surrender sovereignty and this means volatility in  Europe for years to come Stress Complacency Policy Response Relief Rally yData source: BlueBay Asset Management 9
  • 10. Opportunities: Spinning around• Proprietary analysis can help to determine turning points in cycle and creates opportunities in market direction  Q3  2011 Stress Q4  Q2  2011 Q2  2012 Q4  Q 2012 2012 Complacency Policy Response Q3  Q3  Q2  2012 2012 2012 Q1  Q1 2012 Relief Rally Data source: BlueBay Asset Management 10
  • 11. • BlueBay at a glance BlueBay at a glance• Observations on today’s investment universe• Adapting to our changing universe• Looking for Alpha in the right places: A few examples• Appendix 11
  • 12. BlueBay Investment Grade ‐ Combining skillsTypical sources of alpha Euro Government  IG Global Corporate Euro Aggregate IG Absolute Return (BlueBay Investment Investment  Euro Corporate  Euro Corporate (BlueBay Global  (BlueBay Global Euro Corporate Libor Euro Corporate Libor (BlueBay Investment  (BlueBay Investment  Credit Alpha  Fund Grade Euro  (BlueBay Investment  Investment Grade  (BlueBay Investment  Grade Euro Aggregate  Grade Absolute  Long /Short Government Bond  Grade Bond Fund) Corporate Bond  Grade Libor Fund) Bond Fund) Return Bond Fund) Fund) Fund)* Alpha  Alpha  Alpha  Alpha Alpha  Alpha Alpha Target  Alpha   Target  Alpha   Target  Alpha   Target  Alpha  Target  Alpha   Target  Alpha  Target  Alpha  Alpha Source Al h S (bps) (b ) Range R (bps) (b ) Range R (bps) (b ) Range R (bps) (b ) Range R (bps) (b ) Range R (bps) (b ) Range R (bps) (b ) Range R Term Structure 50 20‐60% 40 10‐50% 25 0‐30% 25 0‐30% 15 0‐25% 65 0‐50% 260 0‐50% Credit beta 30 0‐40% 30 0‐50% 25 0‐30% 25 0‐30% 35 0‐40% 70 0‐50% 280 0‐50% Credit alpha 60 20‐60% 70 20‐70% 100 40‐100% 100 40‐100% 100 40‐100% 150 30‐100% 600 30‐100% Currency 10 0‐20% 10 0‐20% 15 0‐20% 60 0‐20% Total 150 150 150 150 150 300 12 15% 12‐15% 0‐3% 0‐3% 0‐3% 0‐3% 0‐4% 0‐6% 0‐12%  Tracking Error (relative) (relative) (relative) (relative) (absolute) (absolute) (absolute)Please refer to the Disclaimer located at the back of this presentation for important information regarding the target performance shown aboveData source: BlueBay Asset Management        Please note – expected contribution is not guaranteedNote: * This fund has not yet been launched  12
  • 13. BlueBay Investment Grade – Combining SkillsInternal exposure targets IG Global  Euro Corporate  IG Absolute Euro Government  Euro Aggregate Euro Corporate  Corporate Libor Return (BlueBay (BlueBay (BlueBay (BlueBay  (BlueBay  (BlueBay  Credit Alpha  Fund Investment Grade  Investment Grade  Investment Grade  Investment Grade  Investment Grade  Investment Grade  Long /Short Euro Government  Euro Aggregate  Euro Corporate  Global Corporate  Euro Corporate  Absolute Return  Bond) Bond) Bond) Bond)* Libor Bond) Bond) Target Exposure  Target Exposure  Target Exposure  Target Exposure  Target Exposure  Target Exposure  Alpha  (versus  (versus  (versus  (versus  (versus  (versus  Target Exposure  source Risk measure Ri k benchmark) b h k) benchmark) b h k) benchmark) b h k) benchmark) b h k) benchmark) b h k) benchmark) b h k) Interest rate duration + / – 2.0 years  + / – 1.6 years  + / – 1.0 years  + / – 1.0 years  0 to 1.0 years  ‐2.5 to +2.5 years  ‐4 to +4 years Term  Yield curve Structure Swap spreads Inflation‐linked Corporate spread  –1.25 to +2.0  0 to + 1.0 years  + / – 2.0 years  + / – 3.0 years  ‐1.0 to +4.0 years  ‐4.0 to +4.0 years  ‐6.0 to +6.0 years  duration years  Credit beta Sovereign spread  + / – 3.75 years  + / – 2.5 years  + / – 1.0 years  + / – 1.0 years  + / – 1.0 years  + / ‐ 3.75 years ‐6.0 to +6.0 years  duration Countryy Credit  Sector alpha Issuers 0‐80 issuers 0‐80 issuers 80‐200 issuers 80‐250 issuers 30–150 issuers 0–150 issuers 0–100 issuers Instrument Maximum 7.5 %  Maximum 7.5 %  Maximum 10%  Currency active currency  active currency  0% 0% 0% active currency  Maximum 20% risk risk riskData source: BlueBay Asset ManagementNote: * This fund has not yet been launched 13
  • 14. Portfolio Construction: Putting it all together Increased complexity Increased Volatility Long/ Short  capability Specialist skills over generalist Asymmetric  Shorter cycle risk/return profile Flexibility and diverse  Methodology and  gy investment universe risk managementData source: BlueBay Asset Management 14
  • 15. • BlueBay at a glance BlueBay at a glance• Observations on today’s investment universe• Adapting to our changing universe• Looking for Alpha in the right places: A few examples• Appendix 15
  • 16. Opportunities: Asset Allocation in real time• A fluid asset allocation aims to create the most asymmetric risk/reward profile for the portfolio Italy 10 year spread and European Corporate bond index spread (bps) 550 310 Italy 10Y Spread (LHS) Corporate Bench spread (RHS) Corporate Bench spread (RHS) 500 290 270 450 250 Spread (bps) ) Spread (bps) S 400 230 350 210 300 190 250 170 200 150 Jan‐12 Feb‐12 Mar‐12 Apr‐12 May‐12 Jun‐12 Jul‐12 Aug‐12 Sep‐12 Oct‐12Data source: Bloomberg as at  August 2012 16
  • 17. Opportunities: Spanish Corporates vs SovereignSpanish Corporates vs Sovereign 800 Spain 5Y vs Germany Short Long Iberdrola 5Y vs Germany 700 29 June 29 J 600 (bps) 500 400 10 September 13 September 300 28 March 28 M h 200 Jan‐12 Feb‐12 Mar‐12 Apr‐12 May‐12 May‐12 Jun‐12 Jul‐12 Aug‐12 Sep‐12 Data Source:  BlueBay Asset Management, as at 18 October 2012 17
  • 18. Opportunities:  Country Relative Value• Trends in spreads have often been linked to changes in the policy framework in respective countries Spain 10 year Bono yield (%) – Italy 10 year yield (%) Overweight Spain  Overweight Italy  /underweight Italy /underweight SpainData source: Bloomberg as at  August 2012 18
  • 19. Opportunities: Government Guaranteed Bonds• Stress leads to dislocations and pricing anomalies• Future opportunities in Spanish regional debt and other guaranteed bonds pp p g gIreland government versus government guaranteed bond yield (%) Irish government guaranteed  bond (IPBS 4% 2015) Irish government  y y 4 year bond yield Overweight Irish  Overweight  govt  governments guaranteed bondsData source: Bloomberg as at August 2012 19
  • 20. Opportunities Between Countries• Market anomalies can exist due to behaviour of different investor groups with differing needs• Even if anomalies do not correct, it is possible to lock in higher running yields without adding material riskFrance and Czech bond spreads and CDS levels (bp) France and Czech bond versus CDS basis (bp) ( p) 80 Czech / Germany 10yr spread 60 40 France /Germany 10yr spread 20 0 ‐20 Czech CDS ‐40 ‐60 60 France CDS ‐80 ‐100 0 50 100 150 200 France CDS basis France CDS basis Czech CDS basis Czech CDS basisData source: Bloomberg as at June 2012 20
  • 21. Opportunities Between Market Sectors• Different investor bases lead to market inefficiencies and anomalies• We can implement as a box trade, or alternatively select the security which offers most valueItaly and Intesa bond spreads and CDS levels ( p) March 2012 y p (bp): Italy and Intesa bond versus CDS basis (bp): March 2012 60 Ispim / Germany 5yr spread 40 Italy /Germany 5yr spread 20 0 Ispim CDS ‐20 ‐40 Italy CDS ‐60 280 300 320 340 360 380 Italy CDS basis Ispim CDS basisData source: Bloomberg as at March 2012 21
  • 22. Corporate Issuer Opportunities (Cross Currency Anomalies)• Issuer recognition can vary meaningfully between domestic and international markets and influence market access and therefore pricing• Spot  pricing anomalies tends to be ironed out over a short to medium term horizon Amgen recent issuance levels across currencies (sprd versus government bonds) Amgen Inc Amgen Inc 350 • US based Pharma / Biotech company with Market  $ cap of $50bn+ and EBITDA of $5bn+.   £ 300 EUR • Rated A‐/Baa1 stable outlooks Rated A /Baa1 stable outlooks • Needed $10bn of funding  for its share buyback  250 program 200 150 100 Jun‐11 Nov‐11 May‐12 Data source: Bloomberg as at June 2012 22
  • 23. Corporate Issuer Opportunities (Event Driven)• Fundamental analysis, in depth company knowledge and management insight help us identify strong conviction calls  on corporate events• We then analyse relative value and market technicals to come up with a viable investment strategy Edison Spa Bond and CDS spreads compared to EDF Edison Spa Edison Spa 0 100 200 300 400 500 600 • 3rd Largest  Italian Electric utility • Was owned 50.1% by French utility EDF Oct‐11 Oct 11 • EDF had been negotiating with other large Italian  shareholders to acquire the rest of Edison  • Several years of political stalemate harmed Edison’s  liquidity to an extent that required some form of  liquidity to an extent that required some form of urgent resolution. Dec‐11 EDISON CDS EDF CDS May‐12 EDISON BOND EDF BOND Data source: Bloomberg as at March 2012 23
  • 24. Opportunities: Sovereign CDS basis• Some investors buy sovereign CDS as a hedge in times of stress• ISDA language: G7 country currency redenomination is not a CDS trigger event• G7 country such as Italy may be more likely to leave Euro than default on debt• CDS basis should trade negative to reflect this CDS basis should trade negative to reflect this• When basis is positive: Sell Italy & France CDS and sell BTPs & OAT 24
  • 25. Contents• BlueBay Investment Grade – Team and Process BlueBay Investment Grade  Team and Process• Analysis and Recent Trade Examples• Historical Performance• Appendix 25
  • 26. European Investment Grade at BlueBay – Our Track Record Long Only Products – BlueBay Investment Grade Euro Aggregate Bond FundPerformance (€ gross of fees to 28 September 2012) 1M 3M YTD 2011 Ann. SI* A SI*BlueBay Funds ‐ BlueBay Investment Grade Euro Aggregate Bond Fund 2.78% 6.18% 18.05% 4.24% 10.44%Barclays Capital Euro Aggregate Index  1.00% 3.68% 8.14% 3.24% 4.55%Alpha 1.78% 2.50% 9.91% 1.00% 5.89%Cumulative Gross Relative Performance (to 28 September 2012) Risk/Return Characteristics25% BlueBay Investment Grade Euro Aggregate Bond Fund Barclays Capital Euro Aggregate Index  5.89% Alpha20% 1.5% p.a. gross  of fees15% 2.64 Information Actual Cumulative SI Actual Cumulative SI Ratio10% >0.5 Target 5% 2.25% Tracking  g Error 0% 0‐3% 0 1 2 3 4 5 6 7 ‐5% l‐11 l‐12 b‐11 p‐11 b‐12 p‐12 n‐11 n‐12 c‐10 c‐11 n‐11 n‐12 g‐11 g‐12 y‐11 y‐12 t‐11 v‐10 v‐11 r‐11 r‐12 r‐11 r‐12 Feb Sep Feb Sep Jul Jul Aug Aug Jan Jan Dec May Jun Dec May Jun Nov Nov Oct Apr Apr Mar MarData source: BlueBay Asset Management      Fund Type: UCITS IV Fund (Part I SICAV)    *Annualised return. Fund inception 2 November 2010Please refer to the Disclaimer located at the back of this presentation for important information regarding the performance shown above 26
  • 27. European Investment Grade at BlueBay – Our Track Record Long Only Products – BlueBay Investment Grade Euro Government Bond FundPerformance (€ gross of fees to 28 September 2012) 1M 3M YTD 2011 Ann SI* A SI*BlueBay Funds ‐ BlueBay Investment Grade Euro Government Bond Fund 2.89% 5.92% 15.27% 5.19% 11.48%Barclays Capital Euro Aggregate Treasury Index  1.30% 3.67% 7.79% 3.36% 6.24%Alpha 1.59% 2.25% 7.48% 1.83% 5.24%Cumulative Gross Relative Performance (to 28 September 2012) Risk/Return Characteristics**25% BlueBay Investment Grade Euro Government Bond Fund Barclays Capital Euro Aggregate Treasury Index  5.24%20% Alpha 1.5% p.a. gross of  fees15% Information 2.59 Actual Cumulative SI10% Ratio >0.5 Target 5% Tracking  2.03% Error 0‐3% 0% 0 1 2 3 4 5 6 ‐5% Jul‐12 Jul‐11 Sep‐12 Feb‐12 Sep‐11 Feb‐11 Jan‐12 Jan‐11 Dec‐11 Dec‐10 Jun‐12 Aug‐12 Jun‐11 Aug‐11 May‐12 May‐11 Oct‐11 Nov‐11 Apr‐12 Apr‐11 Mar‐12 Mar‐11Data source: BlueBay Asset Management      Fund Type: UCITS IV Fund (Part I SICAV)   *Annualised return. Fund inception 22 December 2010Please refer to the Disclaimer located at the back of this presentation for important information regarding the performance shown above 27
  • 28. European Investment Grade at BlueBay – Our Track RecordLong Only Products – BlueBay Investment Grade Bond FundPerformance (€ gross of fees to 28 September 2012) 1M 3M YTD 2011 2010 2009 2008 2007 2006 Ann. SI* A SI* BlueBay Funds ‐ BlueBay Investment Grade Bond Fund 1.58% 4.86% 12.27% 0.40% 5.05% 20.87% 1.70% 3.11% 1.80% 6.83% iBoxx Euro Corporates Index 0.68% 4.26% 10.30% 1.72% 4.73% 16.02% ‐4.00% ‐0.21% 0.39% 4.63% Alpha 0.90% 0.60% 1.97% ‐1.32% 0.32% 4.84% 5.70% 3.33% 1.41% 2.20%Cumulative Gross Relative Performance (to 28 September 2012) Risk/Return Characteristics90% BlueBay Funds ‐ BlueBay Investment Grade Bond Fund iBoxx Euro Corporates Index80% 2.20% Alpha l h70% 1.50% p.a. gross of  fees60%50% 1.62 Information I f ti Actual Annualised SI Actual Annualised SI Ratio40% >0.5 Target30%20% 1.36% 1 36% Tracking10% Error 0‐3% 0% Dec‐11 Oct‐06 Oct‐09 Nov‐03 Apr‐08 Jul‐07 Jul‐10 Apr‐11 Sep‐12 Jan‐06 Jan‐09 Aug‐04 May‐05 0 1 2 3 4 A A M D N A SData source: BlueBay Asset Management      Fund Type: UCITS IV Fund (Part I SICAV)    *Annualised return. Fund inception date: 11 Nov 2003Please refer to the Disclaimer located at the back of this presentation for important information regarding the performance shown above 28
  • 29. European Investment Grade at BlueBay – Our Track Record Long Only Products – BlueBay Investment Grade Absolute Return Bond FundPerformance (€ gross of fees to 28 September 2012) 1M 3M YTD 1YR Cum. SI* C SI*BlueBay Funds – BlueBay Investment Grade Absolute Return Bond Fund 2.15% 3.59% 12.06% 13.75% 8.69%Merrill Lynch Euro Currency LIBOR 3‐Month Constant Maturity Index 0.03% 0.20% 0.82% 1.25% 1.31%Alpha 2.12% 3.39% 11.24% 12.50% 7.38%Cumulative Gross Relative Performance (to 28 September 2012) Risk/Return Characteristics**14.0% BlueBay Investment Grade Absolute Return Bond Fund Merrill Lynch Euro Currency LIBOR 3‐Month Constant Maturity Index 7.38%12.0% Alpha 3.0% p.a. gross of 10.0% fees 8.0% 2.61 Actual Cumulative SI 6.0% Information Ratio R i Target >0.5 4.0% 2.0% Tracking  2.85% 0.0% Error 0‐6%‐2.0% 0 1 2 3 4 5 6 7 8‐4.0% ec‐11 un‐11 un‐12 Oct‐11 ov‐11 J ul‐11 pr‐12 J ul‐12 ep‐11 eb‐12 ep‐12 ar‐12 an‐12 ug‐11 ug‐12 ay‐11 ay‐12 Ma Ap De No Ma Ma Ju Ju Au Au Ja Se Fe SeData source: BlueBay Asset Management      Fund Type: UCITS IV Fund (Part I SICAV)   *Cumulative return. Fund inception 24 May 2011Please refer to the Disclaimer located at the back of this presentation for important information regarding the performance shown above 29
  • 30. BlueBay Credit Alpha Long Short Fund – IntroductionPerformance of the BlueBay Credit Alpha Long Short Fund Performance (%) Net of Fees (EUR) of BlueBay Credit Alpha Long Short Fund Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  Fund YTD  2012 4.55 3.89 0.57 0.36 1.58 2.67 2.06 0.16 3.62 21.10 2011 ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ 0.11 0.19 0.30 Performance of the Credit Relative Value Strategy within the BlueBay Multi‐Strategy Fund  (%) Net of Fees (USD) to 14 October 2011* Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  Strategy YTD  2011 1.82 1.35 1.07 ‐0.07 ‐0.28 1.45 1.48 ‐1.06 ‐0.96 1.09* ‐‐ ‐‐ 5.99 2010 3.16 0.47 3.04 0.44 ‐2.58 ‐0.07 2.05 1.06 1.15 0.76 ‐0.80 ‐1.23 7.54 2009  ‐‐ 0.86 3.56 6.29 4.69 5.73 10.99 2.77 3.00 3.01 1.70 2.20 54.56 Cumulative Net Performance of BlueBay  Credit Alpha Long Short Fund  Performance Analysis (Net of Fees)*(1)  (EUR to 28 September 2012) Credit Relative  C dit R l ti Credit Alpha  25% Value Strategy  Long Short Fund BlueBay Credit Alpha Long Short Fund within MSF (to 30‐Sep‐12) (to 14‐Oct‐11) 20% Annualised return (%) NA 23.32Performance Analysis (Net of Fees)(1)  15% Whole months data required to calculate the below (to 30‐Sep‐11) 10% Annualised volatility (%) NA 9.41 5% Sharpe Ratio(2) NA 3.88 Positive Months (%) 100.00 75.00 0% Jul 12 2 Feb 12 2 Sep 12 2 Jan 12 2 Dec 11 1 Jun 12 2 Aug 12 2 May 12 2 Nov 11 1 Apr 12 2 Mar 12 2 Worst drawdown (%) NA ‐2.65 Recovery time (months) NA 2 monthsThe BlueBay Credit Alpha Long Short Fund (“Fund”) was launched and seeded with internal capital within the class D GBP management shares. D shares are not subject to standard management and performance fees. Therefore to provide representative comparison for a typical investor, the performance above represents the actual performance of the Fund since inception, but hedged into EUR and calculated net of fees assuming the standard terms of the Class A shares which carry a 2% management fee and 20% performance fee. The second part of the table above relates to the historical track record of the Credit Relative Value Strategy within the BlueBay Multi‐Strategy Fund (Credit Relative Value Strategy). It is important to note that although the Fund is managed by the same portfolio management team as the Credit Relative Value Strategy, the two portfolios have different investment objectives, guidelines and restrictions. No representation is being made that the Fund will or is likely to achieve performance similar to that shown for the Credit Relative Value Strategy. *Partial performance provided as the Credit Relative Value Strategy within the BlueBay Multi‐Strategy Fund was wound up on 14th October 2011. Ernst & Young have performed Agreed Upon Procedures to verify BlueBay have calculated the Credit Relative Value Strategy Track Record in accordance with the stated Calculation Methodology. Ernst & Young noted no exceptions in performing the Agreed Upon Procedures. Copies of the full Factual Finding Report issued by Ernst and Young on completing the Agreed Upon Procedures are available for inspection at BlueBay’s Offices.(1) Risk statistics are annualized and calculated using monthly data points since inception. For any meaningful results a minimum sample of 36 data points is recommended, and no risk statistics will be produced until there is a sample of 12 data points. Where history is less than 36 months caution should be taken with the interpretation of this data. Returns for periods of less than 1 year have not been annualized in accordance with current GIPS reporting requirements.Please refer to the Disclaimer located at the back of this presentation for important information regarding the performance and calculation methodology shown above. Data Source: BlueBay Asset Management 30
  • 31. BlueBay Investment Grade – The Team  A dedicated team of 19 investment professionals Risk Management,  Compliance & Legal • Experience: The team has an average  Dominique Kobler investment experience of 11 years (Head of Risk & Performance) IG  IG Steve Thomas (Global Head of Compliance)  Investment Team • Specialisation: Each team at BlueBay Asset  James Brace  Management has long only and long/short  (General Counsel) 6 Portfolio Managers specialists Lucien Orlovius Raphael Robelin (Senior. Non‐Sovereigns) (Head of Transactional Legal) Mark Dowding (Senior. Sovereigns) Geraud Charpin (Non‐Sovereigns) Geraud Charpin (Non Sovereigns) • Participation at Investment Committee: Participation at Investment Committee:  Andrzej Skiba (Non‐Sovereigns) Senior investment professionals across all  Marc Stacey (Covered Bonds) product areas are members of the  Russel Matthews (Sovereigns) Investment Committee, chaired by the CIO 3 Assistant Portfolio Managers • Dedicated research: Supported by a  Sheraz Hussain (Sovereigns) Tom Moulds (Swaps) dedicated unit of credit analysts focusing  d d d f d l f Chau Tran (Non‐Sovereigns) on financials, industrials and crossover  companies/issues 7 Analysts Robert Lambert (Analyst – Utilities, TMT) • Demonstrable track record: Since inception  Nesche Yazgan (Analyst – Industrials)  BlueBay Investment Grade Bond Fund has  BlueBay Investment Grade Bond Fund has Russell Vincett (Junior Analyst – Industrials) produced an annualised excess return of  Caroline McQueston (Analyst – Financials) James MacDonald (Analyst – Financials) 2.20% with an information ratio of 1.62  Trade Execution  Arun Konkoth (Analyst – US TMT, Retail) (figures to 28 September 2012) & Treasury John Guarnera (Analyst – US Financials) Investment Committee Daniel Grimstead (Execution Trader – IG)Christopher Lemmo (Ch i h (Execution Trader – IG) i d G) Mark Poole (CIO) M k P l (CIO) Vinit Patel (Execution Trader – IG) Alex Khein (COO) Senior investment  professionals Please refer to the Disclaimer located at the back of this presentation for important information regarding the performance shown above 31
  • 32. BlueBay Investment Grade – The TeamPortfolio Manager ProfilesRaphael Robelin Mark DowdingCo Head Investment Grade  Senior Portfolio ManagerCo‐Head Investment Grade ‐ Senior Portfolio Manager Co Head Investment Grade  Senior Portfolio Manager Co‐Head Investment Grade ‐ Senior Portfolio ManagerRaphael co‐heads the investment grade team at BlueBay. He joined BlueBay  Mark joined BlueBay in August 2010 from Deutsche Asset Management, in August 2003 from Invesco where he was Portfolio Manager for Investment  where he was Head of Fixed Income in Europe. Grade Funds.  Prior to this, Mark was Head of Fixed Income in Europe for Invesco, where he Prior to that, he was a Portfolio Manager with BNP Group and Saudi  worked with Raphael Robelin, prior to him joining BlueBay in 2003. International Bank.  Mark started his career as a Fixed Income Portfolio Manager at Morgan Raphael holds a degree in Engineering (IT) and Applied Mathematics from  Grenfell in 1993 and holds a BA Hons in Economics from the University of EFREI as well as a Masters in Management and International Finance from La EFREI as well as a Masters in Management and International Finance from La Warwick.Sorbonne, Paris.Geraud Charpin Russel MatthewsPortfolio Manager Portfolio ManagerGeraud joined BlueBay in August 2008 from UBS where he was Head of  Russel joined BlueBay in September 2010 from Invesco Asset Management European Credit Strategy. Prior to that, he was a credit strategist with BNP  where he was a Portfolio Manager and Co‐Head of Global Macro Alpha. Paribas and a credit analyst with Dresdner Kleinwort Benson and NatwestMarkets. Markets Russel began his investment career at Citigroup Asset Management in April began his investment career at Citigroup Asset Management in April  1999 before joining Invesco to work with Mark Dowding and Raphael Geraud holds a degree in Engineering from ICPI Lyon, France as well as a  Robelin in 2000. Master of Finance from ESSEC International Management School, Paris. He achieved a Bachelor of Arts majoring in Economics and Journalism from  Rhodes University in 1995 and a Post Graduate Diploma in Business  Management from the University of Cape Town in 1996. M f h U i i fC T i 1996 32
  • 33. BlueBay European Investment Grade – The TeamInvestment Grade Team Experience Investment Name Role BlueBay Since Previous Experience Education Experience (yrs) Engineering (IT) and Applied Mathematics from EFREI, Masters  Raphael Robelin Senior Portfolio Manager Aug‐03 16 Invesco, BNP Group, Saudi International Bank in Management and International Finance La Sorbonne, Paris Mark Dowding Senior Portfolio Manager Aug‐10 19 Deutsche AM, Invesco, Morgan Grenfell BA Hons in Economics (University of Warwick) Natwest, Dresdner Kleinwort Benson,  MSc Finance, Essec Management School; Geraud Charpin Portfolio Manager Aug‐08 17 BNP Paribas, UBS BA Engineering, ICPI Engineering School Andrzej Skiba Portfolio Manager Feb‐05 11 Goldman Sachs BSc (Hons) Management, International Business Economics  Invesco Asset Management, Citigroup Asset  BA Economics and Journalism, Rhodes University  Russel Matthews Portfolio Manager Sep‐10 13 Management  PGD Business Management, University of Cape Town Marc Stacey Portfolio Manager Sep‐04 10 CSFB Bachelor of Business Science – Finance, Honours Sheraz Hussain Assistant Portfolio Manager Feb‐05 7 Lloyds Syndicates BSc Maths/Economics/Statistics – Actuarial Exams Tom Moulds Assistant Portfolio Manager Dec‐05* 6 Beicon Group, Schneider Electric, Synstar BSc (Hons) Mathematics BComm in Actuarial Studies and Finance Chau Tran Assistant Portfolio Manager Jun‐07** 6 Westpac Banking Corporation Associate Institute of Actuaries Australia (AIAA) Invesco Asset Management;  BA (Hons) Accounting and Financial Analysis, Institute of  Caroline McQueston Caroline McQueston Analyst – Analyst – Financials Apr‐04 10 Royal Bank of Scotland; Morgan Stanley Chartered Accountants of Scotland, Chartered Accountant, IMC MA (Hons) Business Studies, Institute of Chartered Accountants  James MacDonald Analyst – Financials Sep‐07 5 Price Waterhouse Coopers of Scotland, Chartered Accountant Robert Lambert Analyst – Utilities, TMT Sep‐08 15 Credit Suisse; Citigroup; RBS Trust Bank BA (Hons) Business Studies, 1997, ACCA Nesche Yazgan Analyst  Analyst – Industrials Jul 06 Jul‐06 14 Barclays Capital, Credit Sights, Deutsche Bank Barclays Capital, Credit Sights, Deutsche Bank Masters Degree in Economics 1997, Trier Masters Degree in Economics 1997, Trier Russell Vincett Analyst – Industrials Jun‐07 9 Merrill Lynch Int’l; Fore Research Ltd BSc (Hons) Economics and Finance NYU’s Stern School of Business B.S. (Cum Laude) in Finance and  Arun Konkoth Analyst – US TMT, Retail Jun‐12 4 Credit Suisse International Business, minor in Psychology Société Générale, Bank of America, Verition MBA  University of North Carolina at Chapel Hill, BS College of  John Guarnera Analyst – US Financials Jul‐12 14 Group LLC William and Mary in VirginiaData as at 28 September 2012      *Joined the Investment Grade team in July 2007     **Joined the Investment Grade team in September 2010 33
  • 34. DisclaimerThis document is issued by BlueBay Asset Management LLP, which is authorised and regulated by the UK Financial Services Authority (FSA) and registered with the US Securities and Exchange Commission (SEC) as an Investment Adviser. BlueBay Asset ManagementUSA LLC is a subsidiary of BlueBay Asset Management (Services) Ltd. BlueBay Asset Management International Limited is registered in Japan as an investment adviser and discretionary investment manager.The document is intended for “professional clients” and “eligible counterparties” (as defined by the FSA handbook of rules and guidance) only and should not be relied upon by any other category of customer. This document does not constitute an offer to sell or thesolicitation of an offer to purchase any security or investment product in any jurisdiction. Any such offer or solicitation may only be made by means of delivery of an approved confidential Prospectus. This document is confidential and may not be distributed withoutthe express written consent of BlueBay Asset Management LLP.No BlueBay Fund will be offered, except pursuant and subject to the offering memorandum and subscription materials (the "Offering Materials"), which may be provided to Canadian permitted clients only, and not to any other category of investor. This document isfor general information only and is not a complete description of an investment in any BlueBay Fund. If there is an inconsistency between this document and the Offering Materials for the BlueBay Fund, the provisions in the Offering Materials shall prevail.Information herein is believed to be reliable but BlueBay Asset Management LLP does not warrant its completeness or accuracy. The opinions expressed within are entirely those of BlueBay and do not constitute an offer of investment advice. All informationprovided in this document is for informational purposes only and should not be deemed as a guide to investing or a recommendation to buy the securities mentioned. BlueBay closely monitors the markets and may make changes to BlueBay’s investment strategy oroutlook when warranted by changing market conditions. There is no guarantee that the opinions expressed herein will be valid beyond the date of this document.Any indices shown are presented only to allow for comparison of the BlueBay funds performance to that of certain widely recognised indices. The volatility of the indices may be materially different from the individual performance attained by a specific fund orinvestor. addition,investor In addition the BlueBay fund holdings may differ significantly from the securities that comprise the indices shown Investors cannot invest directly in an index shown. index.Gross performance figures reflect the reinvestment of all dividends and earnings, but do not reflect the deduction of investment management and performance fees. An investor’s return will be reduced by the deduction of the applicable fees, which will vary withthe rate of return on the fund. For example, the compounding effect of a 0.60% management fee and a 0.20% performance fee would reduce annualised returns from 10% to 9.32% over a 5 year period. In addition, the typical fees and expenses charged to a fundwill offset the funds trading profits. A description of the specific fee structure for each BlueBay fund is contained in the fund’s Prospectus.Net performance figures reflect the reinvestment of all dividends and earnings, and the deduction of investment management and performance fees. In addition, the typical fees and expenses charged to a fund will offset the funds trading profits. A description ofthe specific fee structure for each BlueBay fund is contained in the fund’s Prospectus. Figures may not sum due to rounding.Hypothetical/forecast performance figures are based on the stated facts and assumptions. No representation is being made that BlueBay Funds will or are likely to achieve profits or losses similar to those shown. There are frequently sharp differences betweenhypothetical/forecast performance results and the actual results subsequently achieved by any particular investment or trading strategy. There are numerous other factors related to the markets in general or to the implementation of any specific investment ortrading strategy which cannot be fully accounted for in the preparation of hypothetical/forecast performance results and all which can adversely affect trading results.The performance track record may include a named fund manager’s activity for and on behalf of their previous firm in their capacity as the named fund manager of a named fund. Investors should be aware that any performance should not be attributed solely tothat named fund manager as it derived from their previous firm’s investment process and support functions.Risk statistics are annualized and calculated using weekly data points since inception. Risk statistics will be produced once there are 3 complete months of data available; for meaningful results a minimum sample of 36 data points is recommended and where historyis less than 3 years caution should be taken with the interpretation and representation of this data. Returns for periods of less than 1 year have not been annualized in accordance with current industry standard reporting practices.Past performance will not necessarily be repeated and is not indicative of future results The investments discussed may fluctuate in value and you may not get back the amount invested There is no guarantee that the objectives shown will be achieved Changes in results. invested. achieved.rates of exchange may have an adverse effect on the value of investments. Investment in derivatives may involve a high degree of gearing or leverage, so that a relatively small movement in the price of the underlying investment results in a much larger movementin the price of the instrument, as a result of which prices are more volatile. The BlueBay funds are subject to various other risk factors and conflicts of interest. For further information regarding the risk factors and conflicts of interest with respect to each BlueBayfund please refer to the fund’s Prospectus.Any investor who proposes to subscribe for an investment in any of the BlueBay funds must be able to bear the risks involved and must meet the respective fund’s suitability requirements. No assurance can be given that a fund’s investment objectives will beachieved. BlueBay fund investments may be speculative and involve a substantial degree of risk. The funds may be leveraged and engage in other speculative investment practices that may increase the risk of investment loss. An investor must realise that he or shecould lose all or a substantial amount of his or her investment in a BlueBay fund. The investments and strategies discussed here may not be suitable for all investors; if you have any doubts you should consult your investment adviser.Investments in the BlueBay funds may be highly illiquid and there may not be a secondary market for an investor’s interest in the funds, in which case none should be expected to develop. There are restrictions on transferring interests in the funds. The fees and y y g y q y y , p p gexpenses charged to a fund may offset the funds trading profits. The instruments in which the funds invest may involve complex tax structures and there may be delays in distributing important tax information. The funds are not required to provide periodic pricingor valuation information to investors with respect to its individual investments.BlueBay is not registered under securities laws in Canada and is relying on the international dealer exemption under applicable provincial securities legislation, which permit BlueBay to carry out certain specified dealer activities for those Canadian residents thatqualify as "a Canadian permitted client”, as such term is defined under applicable securities legislation in Canada.® Registered trademark of Royal Bank of Canada. RBC Global Asset Management is a trademark of Royal Bank of Canada.No part of this document may be reproduced in any manner without the prior written permission of BlueBay Asset Management LLP. Copyright 2012 © BlueBay, the investment manager, advisor and global distributor of the BlueBay Funds, is a wholly‐ownedsubsidiary of Royal Bank of Canada and the BlueBay Funds may be considered to be related and/or connected issuers to Royal Bank of Canada and its other affiliates. BlueBay Asset Management LLP, registered office 77 Grosvenor Street, London W1K 3JR, England, /partnership registered in England and Wales number OC370085. All rights reserved.Custom – Data end September 2012 34