Emd montreux may 2013 final

Ignis Absolute Return Emerging Market Debt Fund

May 2013

This fund is still subject to full regulatory approval and therefore all information is subject to change

This presentation is intended for professional clients and investment professionals only and should not be relied upon by retail investors.

Ignis capabilities**

Ignis

Fixed Income €65.3bn

Equities €12.9bn

Real Estate €3.6bn

Advisors (FoF/Alts)

€2.2bn

Solutions (LDI/ALM) €39.2bn^

Key facts

Founded in 1899

Part of the Phoenix Group

AuM: €84.2bn*

140 investment professionals

Pragmatic: outcome-focused and innovative

Talent driven: creative and passionate people who

look at the world differently

Building on our heritage: evolving to address client

needs in a changing world

Aligned with clients: we are co-investors

2 *Source: Ignis at 31/12/2012 (including €11.4bn of stock-lending collateral). **AuM by business unit/investment capability (31/12/2012). ^Ignis Solutions is responsible for €39.2bn of liabilities under management.

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Stable, experienced team

Flexible, innovative approach

Proprietary technology and investment tools

Led by Ignis CIO Chris Fellingham

Emerging market debt team led by Dan Beharall

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Ignis Fixed Income: a broad range of capabilities

*Source: Ignis at 31/12/2012.

37%

28%

3%

29%

3%

Direct funds under management - €65.3bn*

Rates (DM and EM) Credit

Stock Lending Liquidity

Other

Designed to deliver:

Strong risk-adjusted returns in all market conditions by capturing non-correlated alpha

Carefully controlled volatility

Low correlation with traditional asset classes

Investing in:

A broad range of EMD instruments

Lowly correlated sources of alpha

Opportunities at a market country and instrument level


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Fund details subject to regulatory approval.

Delivering consistent performance

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98%

100%

102%

104%

106%

108%

Jan 12 Feb 12 Mar 12 Apr 12 May 12 Jun 12 Jul 12 Aug 12 Sep 12 Oct 12 Nov 12 Dec 12 Jan 13 Feb 13 Mar 13 Apr 13

Performance

Emerging Market Debt Absolute Return Fund (not publically marketed)

SONIA*

All data for illustrative purposes only. The Bothwell Emerging Market Debt Absolute Return Fund is invested in by our Life Company client and is not publicly marketed to external investors. The new fund launch subject to regulatory approval. Source: Ignis based on data sourced from HSBC, information since 31/01/2012 to 30/04/2013, based on HSBC Unit Trust Pricing, adjusted to account for 0.60% Annual Management Charge and 10% Performance Fee on all positive growth (no hurdle). All data in GBP. *Source: Lipper; SONIA is the rate that large banks use to borrow from, and lend to, one another on the overnight market. The performance data does not take account of the commissions and costs incurred on the issue and redemption of shares (including the initial charge). **Source: Ignis, ex post rolling 20 day volatility since 31/01/2012 to 30/04/2013. Past performance is not a guide to future performance. The value of investments and any income from them can fall as well as rise and is not guaranteed.

0%

5%

10%


Volatility** Annualised standard deviation

6.9%

0.6%

Emerging Market

Debt Absolute

Return Fund

MSCI World Index

Citigroup World Gov’t Bond Index

Citigroup European

Gov’t Bond Index

iBoxx Non Gilt GBP

iBoxx Non Sovereign

EUR

Barclays Capital

Global High Yield

JP Morgan Emerging Market

Bond Index USD

Emerging Market Debt Absolute Return Fund

1.00

MSCI World Index -0.02 1.00

Citigroup World Gov’t Bond Index

-0.02 -0.30 1.00

Citigroup European Gov’t Bond Index

-0.03 -0.03 0.76 1.00

iBoxx Non Gilt GBP 0.05 -0.41 0.65 0.52 1.00

iBoxx Non Sovereign EUR 0.05 -0.28 0.64 0.68 0.76 1.00

Barclays Capital Global High Yield

0.17 0.72 -0.24 -0.08 -0.24 -0.16 1.00

JPM Emerging Market Bond Index USD

0.18 0.39 0.18 0.25 0.06 0.16 0.61 1.00

Low correlation to other risk assets

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Correlation

1.00

0.80

0.60

0.40

0.20

0.00

-0.20

-0.40

-0.60

-0.80

-1.00

All data for illustrative purposes only. The Bothwell Emerging Market Debt Absolute Return Fund is invested in by our Life Company client and is not publicly marketed to external investors. The new fund launch subject to regulatory approval. Source: Ignis based on data sourced from HSBC, information since 31/01/2012 to 30/04/2013, based on HSBC Unit Trust Pricing, adjusted to account for 0.60% Annual Management Charge and 10% Performance Fee on all positive growth (no hurdle). All data in GBP. Source: Bloomberg for all market index data (local currency shown) from 01/02/2012 to 31/01/2013. Past performance is not a guide to future performance. The value of investments and any income from them can fall as well as rise and is not guaranteed.

Emerging market debt has performed well, but limited scope for yields to fall further

Emerging market debt: Limited potential for long-only returns

Source: Bloomberg; underlying indices are JPMorgan GBI Broad, FTSE Actuaries UK Gilts All Stock, JPMorgan GBI European, JPMorgan EMBI+ Composite,

JPMorgan GBI-EM Broad and JPMorgan Broad CEMBI Composite (all converted to EUR). 2008 yields represent the 01/01/2008 values; 5-year annualised

returns are 01/01/2008-01/01/2013 returns and current yields are as of 01/05/2013.

Past performance is not a guide to future performance. The value of investments and any income from them can fall as well as rise and is not guaranteed.

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Asset class 2008 yield

(%) 5 year pa

performance (%) Current yield (%)

Prospective return?

Global Government Bonds 3.60 5.08 1.73 ?

UK Gilts 4.40 5.12 2.37 ?

European Government Bonds 4.45 6.36 2.29 ?

EM Sovereign External Debt 6.51 12.62 4.61 ?

EM Local Market Debt 7.03 8.92 5.22 ?

EM Corporate Debt 6.78 11.01 4.79 ?

EM debt markets are intrinsically different from each other, providing distinct sources of alpha

Emerging market debt: Diverse set of investable asset classes

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Type Markets Currency Sov Sprd

Corp Sprd

US Rates

EM Rates

EM Real

EM FX

External EM Sovereign External Debt USD ✓ ✓

Em Sovereign External CDS USD ✓

EM Corporate External Debt USD ✓ ✓ ✓

Local EM Sovereign Local Debt Local ✓ ✓

EM Local Rates Local ✓

EM Corporate Local Debt Local ✓ ✓ ✓

EM FX/Tbills only Local ✓

EM Local Inflation-Linked Local ✓ ✓ ✓

Frontier Markets EM Frontier Local Debt Local ✓ ✓

Aims to deliver absolute returns through:

Technical approach

Broad investment scope

Opportunistic capability

Robust risk management

Ignis Absolute Return Emerging Market Debt Fund A differentiated approach

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Fund details subject to regulatory approval.

Targeting a broader opportunity set:

Market direction

Country bonds, rates and FX

Intra-country asset relative value

Intra-market micro relative value

0

5

10

15

20

25

-1.6% -1.4% -1.2% -1.0% -0.8% -0.6% -0.4% -0.2% 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 1.4% 1.6%

Freq

uen

cy

Histogram showing distribution of weekly returns*

Normal distribution at current volatility

Positive skew of returns

1.6% 1.4% 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% -0.4% -0.6% -1.0% -0.8% -1.2% -1.4% -1.6%

Performance (since launch): 6.92%

Average weekly return: 0.10%*

Annualised standard deviation: 2.48%

Information ratio: 2.05

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All data for illustrative purposes only. The Bothwell Emerging Market Debt Absolute Return Fund is invested in by our Life Company client and is not publicly marketed to external investors. The new fund launch subject to regulatory approval. Source: Ignis based on data sourced from HSBC, information since 31/01/2012 to 30/04/2013, based on HSBC Unit Trust Pricing, adjusted to account for 0.60% Annual Management Charge and 10% Performance Fee on all positive growth (no hurdle). All data in GBP..*Based on weekly data from 03/02/2012 to 26/04/2013. Past performance is not a guide to future performance. The value of investments and any income from them can fall as well as rise and is not guaranteed.

We believe

Long-term economic fundamentals will drive long-term market returns, but short-term dynamics are the key driver of short-term emerging market debt returns

To generate strong risk-adjusted returns a manager must identify diversified alpha sources:

- Focusing on quantitative and market-driven perspectives, as well as traditional country analysis

- Identifying discrete and uncorrelated ‘layers’ of market opportunity

- Seeking both long and short-term opportunities

Philosophy

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High Yield

Credit

Frontier

Markets

Emerging

Market

Local

Emerging

Market

External

Investment

Grade Credit

G7

Government

Beta (duration)

Slope

Relative value

Butterfly

Volatil ity

Relative value

volatil ity

Illiquidity

Co

mp

lexity

Optimising return potential

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For illustrative purposes only

We aim to operate nearer the curve for maximum potential success rate

Liquid/efficient/ highly followed

Less followed/ greater opportunity

Opportunity set classified into four distinct sources of alpha

Fundamental and quantitative analysis applied across each area

Generating stand-alone ideas or feeding through to populate other layers

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Investment process: multi-layered approach

Instrument

Micro

Country

Asset class

Mo

re q

uan

titative

Mo

re fun

dam

ental

Team manage €475m EM debt assets

Disciplined, team-based approach

Individual specialisms

Managing external debt since 1997, local debt since 2003

Ignis emerging market debt team: Diversified skill set

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Role Years’

experience Years at

Ignis Investment perspective

Background

Dan Beharall Head of EM Fixed Income

17 2 Fundamental Henderson (AMP), Bankers Trust Intl

Sailesh Lad Deputy portfolio manager

16 1 Market Henderson, Bluebay, Moore Capital, Credit Suisse

Mikhail Volodchenko Market analyst 5 5 Quantitative Ignis

Source: Ignis at 30/04/2012

Work with Ignis Rates team to debate global macro themes including:

- Global growth and inflation prospects

- G7 fiscal and monetary policy

- Key geopolitical issues

Track broad valuation metrics to appraise perceived value at asset class level:

- Yield advantage versus core rates

- Term premium available

- Relationship with other risk markets

Asset class layer – determine beta/duration target

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Asset class

Macro

Continued Developed Market liquidity provision

Risk assets performing well

Fundamental

Domestic data worsening

FX pressures supportive

Market

Continued inflow momentum, plus sovereign wealth funds

Supportive portfolio positioning

Outcome

Position: long duration in local bond markets

Strong performance driver in 2012

Trade example: Long duration in local bond markets during 2012

Source: Ignis, Bloomberg at 15/03/2013

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Asset class

1

3

5

7

9-120

-100

-80

-60

-40

-20

-

20

Jun 07 Dec 07 Jun 08 Dec 08 Jun 09 Dec 09 Jun 10 Dec 10 Jun 11 Dec 11 Jun 12 Dec 12

%

No

rmal

ised

mar

ket

leve

ls

Risk Asset Performance

S&P 500 US Treasury 10yr Yield

JPM EMBI GD Hard Currency Bond Index Spread Yield Difference JPM GBI-EM Local Index vs 5yr UST (RHS)

-1.2

-1.0

-0.8

-0.6

-0.4

-0.2

-

0.2

0.4


%

EM Term Premium vs G5

-3-2-1

- 1 2 3 4 5 6 7 8 9


%

EM Inflation and GDP Growth Inflation

GDP Growth

Identify the key drivers of interest rates for each country

- Key economic and political themes

- Market sentiment/positioning

- Asset flows

Blend of perspectives critical

Use forward rates to understand market expectations

Set country exposures

Country layer – set country exposures

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Country

Macro

Hunt for yield continues – Nigeria is a high yielding market

Market

JP Morgan announcement that Nigeria will be added to its Index

Fundamental

Research trip confirmed reform momentum

Outcome

Position: long of Nigerian bonds

Trade profitable; continue to hold

Trade example: long Nigerian bonds

Source: Bloomberg at 07/03/2013

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7

9

11

13

15

17

19

Feb 12 Apr 12 Jun 12 Aug 12 Oct 12 Dec 12 Feb 13

%

Nigerian 10 year bond yield

JPM Index announcement: trade entered

Country

Use of full range of instruments to maximise risk-adjusted returns

Relative valuation analysis to assess best ways of implementing country views

Variety of quantitative tools/screens used to understand relative value between available instruments

Quant screens supported by qualitative analysis

Instrument layer: selecting the best instrument type

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Instrument

Market

Growing interest in Philippines’ onshore bonds

Fundamental

Maintained positive view on Philippines

Quantitative

Analysis of historic spread between onshore and offshore Philippines’ bonds highlighted departure from historic norm

Cross market comparison of onshore/offshore spreads pointed to likely mean reversion

Outcome

Switched from offshore to onshore position

Profits taken following reversion to mean

Trade example: onshore versus offshore relative value


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Instrument

-120

-100

-80

-60

-40

-20

0

20

40

Jan 12 Mar 12 May 12 Jul 12 Sep 12 Nov 12 Jan 13 Mar 13

Bp

s

Spread between onshore/offshore Philippines’ bonds

Switch to onshore

Profit taken

Highlight attractive opportunities within an asset type

Use quantitative analysis including correlation and regressions

Determine best implementation of macro, country or asset views

Also identifies stand-alone relative value opportunities

Micro layer – choosing individual securities

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Micro

Market

Turkish 10 year bonds over subscribed

Fundamental

Clear indication from Turkish monetary authorities of intention to cut interest rates to support FX objectives

Quantitative

Relative value analysis suggested that curve was too flat for this stage in the interest rate cycle and versus peers

Outcome

Position: long 5 year, short 10 year Turkish local bonds

Profits taken

Trade example: Turkish local bond steepener


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Micro

-40

-20

0

20

40

60

80

100

120

Feb 12 Apr 12 Jun 12 Aug 12 Oct 12 Dec 12 Feb 13

Bp

s

Spread between Turkish 5y and 10y bonds (slope)

Trade entered

Profit taken

Broad universe of investments

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Instruments traded

EM bonds

Interest rate swaps

Credit default swaps

Forward FX

FX options

Swaptions

Exchange traded futures and options

Derivatives management at Ignis

Derivatives excellence programme

€127bn* notional derivatives traded in 2012

Independent counterparty risk committee

Positions collateralised daily for cash

*Source: Ignis at 31/12/2012.

Tactical risk management

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Aggregated portfolio risk

Country risk

Position risk

• Total VaR

• Total Exposure

• Rate sensitivity

• FX exposure

• Correlation

• Stop loss/review

Risk measurement and monitoring undertaken independently

Diverse range of contributors to alpha generation

Source: Ignis, based on desk estimates, indicative only, base currency, based on the Bothwell EMD Absolute Return Fund. Data at 30/04/2013.

All data for illustrative purposes only. Fund launch subject to regulatory approval.

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-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%Historic alpha attribution by market

FX

Fixed Income

Source: Ignis, ThinkFolio, indicative only, base currency, based on the Bothwell EMD Absolute Return Fund. Data at 30/04/2013. All data for illustrative purposes only. Fund launch subject to regulatory approval.

Current positioning by country

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-4

-3

-2

-1

0

1

2

3

4

5FX Exposure

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6Duration Contribution

External

Local

Delivering performance

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98%

100%

102%

104%

106%

108%


Performance

Absolute Return Emerging Market Debt Fund

SONIA*

All data for illustrative purposes only. The Bothwell Emerging Market Debt Absolute Return Fund is invested in by our Life Company client and is not publicly marketed to external investors. The new fund launch subject to regulatory approval. Source: Ignis based on data sourced from HSBC, information since 31/01/2012 to 30/04/2013, based on HSBC Unit Trust Pricing, adjusted to account for 0.60% Annual Management Charge and 10% Performance Fee on all positive growth (no hurdle). All data in GBP. *Source: Lipper; SONIA is the rate that large banks use to borrow from, and lend to, one another on the overnight market. The performance data does not take account of the commissions and costs incurred on the issue and redemption of shares (including the initial charge). Past performance is not a guide to future performance. The value of investments and any income from them can fall as well as rise and is not guaranteed.

6.9%

0.6%

Appendix

DANIEL BEHARALL, MSc – Head of Emerging Markets Fixed Income Investment Experience: 17 years Daniel joined Ignis Asset Management’s Fixed Income Team in December 2010 from Henderson Investors, where he spent fifteen years, beginning as a quantitative analyst at AMP, transitioning to a portfolio manager at AMP/Henderson and becoming head of emerging market debt in 1998. He joined AMP (Henderson) from Bankers Trust International, where he was a derivatives analyst. He graduated from The London School of Economics in 1993 with a BSc (Econ.) with Maths and IT. He then went on to further his education and graduated from City University Business School in 1999 with an MSc (with distinction) in Mathematical Finance. Daniel is IMC qualified and is an Associate of the UK Society of Investment Professionals.

SAILESH LAD, BA (Hons) – Portfolio Manager, Emerging Markets Fixed Income Investment Experience: 16 years Sailesh joined Ignis Asset’s Management’s Emerging Markets Fixed Income team in January 2012. Throughout his career he has been dedicated to looking at Emerging Markets, whether external, local debt or foreign exchange across all time zones, making use of all instruments available to best implement trading strategies. Sailesh joined Ignis from Henderson Global Investors and previously worked at Bluebay Asset Management, Moore Europe Capital Management, Credit Suisse and Moore European Capital Management, where he began his career. Sailesh holds a first class honours degree in Financial Economics from Coventry University is IMC qualified and is FSA registered.

MIKHAIL VOLODCHENKO, CFA, MSc – Market Analyst, Emerging Markets Fixed Income Investment Experience: 5 years Mikhail joined Ignis Asset Management in June 2008 as a performance analyst. He then moved to the Client Investment Office as an Investment Analyst in June 2009 before transitioning to an Investment Risk Manager in June 2011. Mikhail joined the Emerging Market Debt Team in February 2013 as an Emerging Markets Fixed Income Analyst. Mikhail graduated from University College London in 2006 with an upper second BSc Hons in Mathematics and Management studies. He then went on to complete a MSc (with distinction) in Finance from Imperial Business School in 2008. Mikhail is a CFA Charterholder.

EMD team biographies

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Disclosure

This material is prepared and presented for informational purposes to provide an introduction to the business activities of Ignis Investment Services Limited. It relates to the discretionary investment management services of Ignis Investment Services Limited, it does not constitute an offer to sell or a solicitation of any offer to invest in Ignis Investment Services Limited or any funds managed by Ignis Investment Services Limited. It is provided to the named recipient only and may not be passed to any other person. The views expressed do not constitute investment advice. This material does not form any part of any contract for the sale or purchase of any investment. This communication has promotional purposes and is intended as a summary. It does not constitute an invitation, offer, solicitation or recommendation to purchase or sell shares in the Strategy. It is only intended for distribution to Investment Professionals. Distribution of this document and the offering of shares in certain jurisdictions may be restricted by law and accordingly persons into whose possession this document comes are required to inform themselves about and to observe such restrictions. The views expressed do not constitute investment advice. This document does not form any part of any contract for the sale or purchase of any investment. Past performance is not a guide to future performance. The value of investments can fall as well as rise and is not guaranteed. This communication does not attempt to provide a full analysis of those matters with which it deals and is provided for general information purposes only. This document has been issued by Ignis Investment Services Limited registered in Scotland Number SC101825. Registered Office: 50 Bothwell Street, Glasgow G2 6HR. Authorised and regulated by the Financial Services Authority.

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Economy & Finance

Emd montreux may 2013 final