bcv chf domestic corporate bonds · bcv chf domestic corporate bonds 0.62% 4.94% 1.33% 0.57% 0.72%...

December 2019

BCV CHF Domestic Corporate Bonds

2

Universe: SBI Corporate Domestic

Swiss corporate bonds in CHF

~ 300 issues

Fixed-rate bonds

Maturity > 1 year

Amount > CHF 100 mio

Rating AAA-BBB

Sectors Rating Maturities


Sources: SIX, BCV, Bloomberg

AA3.7%

AA-9.5%

A+8.1%

A16.6%

A-23.1%

BBB+2.3%

BBB28.2%

BBB-7.8%

Financials36.9%

Industrials48.6%

Utilities14.4%

3 - 5 years23.5%

5 - 7 years30.3%

7 - 10 years21.0%

> 10 years17.7%

> 10 years

3



- « SBI Corporate Domestic » end of December 2019 (19% of the domestic universe)

Confederation23%

Gov. related20%

Securitised38%

Corporate Dom.19%

Market Value [%]

Issuers Nb of issuesWeight

(bn)

Duration

(years)

Spread

(bp)

Yield

(%)

100 301 65 5.38 74 0.2%

4


Maturity and sectors


Nb of issuesMarket

Weight (%)

Duration

Contribution

Spread

(bp)

Yield

(%)

Maturity

3 - 5 years 72 23.5% 0.49 64.3 -0.1%

5 - 7 years 87 30.3% 1.22 67.69 -0.1%

7 - 10 years 64 21.0% 1.2 75.61 0.1%

> 10 years 55 17.7% 1.45 69.19 0.1%

0 - 3 years 25 7.5% 1.04 94.78 0.5%

Sectors

Financials 125 36.9% 1.8 70.72 0.0%

Industrials 130 48.6% 2.73 62.69 0.0%

Utilities 48 14.4% 0.87 121.1 0.6%

5

10 biggest issuers of the universe

- The 10 biggest issuers represent 33.0% of the universe


IssuerMarket Value

(%)

Number of

issuesDuration (Yr)

Credit

spread (bp)

SWISSCOM AG 6.3% 14 8.43 44.47

KRAFTWERKE LINTH LIMMERN 3.7% 11 8.51 126.1

ROCHE KAPITALMARKT AG 3.5% 5 5.91 35.4

RAIFFEISEN SCHWEIZ 3.2% 7 4.07 64.12

SGS SA 3.1% 7 5.45 58.07

COOP-GRUPPE 3.0% 7 4.66 60.76

SWISS PRIME SITE AG 2.7% 7 5.61 86.26

NOVARTIS AG 2.6% 3 9.51 48.61

LGT BANK AG 2.5% 6 6.34 56.57

LAFARGEHOLCIM LTD 2.5% 5 3.47 66.54

6

Performance in CHF

Sources: BCV, SIX

31.12.2019 1 month 3 months YTD 1Y3Y

annualized

BCV CHF Domestic Corporate Bonds -0.54% -0.87% 3.06% 3.06% 1.21%

SBI Corporate Domestic -0.52% -0.86% 3.17% 3.17% 1.31%

Difference -0.02% -0.01% -0.11% -0.11% -0.11%

31.12.2019 2013* 2014 2015 2016 2017 2018 2019

BCV CHF Domestic Corporate Bonds 0.62% 4.94% 1.33% 0.57% 0.72% -0.13% 3.06%

SBI Corporate Domestic 0.48% 4.98% 1.45% 0.70% 0.82% -0.03% 3.17%

AUM (mio) 302 436 614 655 746 684 690

7

Performance against index

Since inception

Sources: BCV, SIX, Bloomberg

111.56

112.07

98.0

99.0

100.0

101.0

102.0

103.0

104.0

105.0

106.0

107.0

108.0

109.0

110.0

111.0

112.0

113.0

114.0

115.0

116.0

BCV CHF DOMESTIC CORP BOND (CLASS I) SBI CORPORATE DOMESTIC AAA-BBB

8

Daily Excess Return

Since inception

Variation of

+/- 2 basis

point


-5

-4

-3

-2

-1

-

1

2

3

4

Bp

s

Daily excess return (Class I )

9

Risk analysis

31.12.2019 Coupon (%) Yield (%)Duration

(Yr)

Credit

spread (bp)

BCV CHF Domestic Corporate Bonds I 1.06 0.20 5.38 75

SBI Corporate Domestic 1.05 0.19 5.38 75

Active 0.00 0.00 0.00 0

*Portfolio Risk (%): 1.50%

*Benchmark Risk (%): 1.49%

AUM (mio): 690

Portfolio Beta: 1.00

*Based on 3 years - Daily


10

Annualized Tracking Error

Based on 60 rolling trading days since inception


5

10

15

20

25

30bp

11

Positioning

AA12.1%

A47.2%

BBB39.8%

Financials36.0%

Industrials49.0%

Utilities15.1%

0 - 3 years

7.7%

3 - 5 years

23.3%

5 - 7 years

31.2%

7 - 10 years

20.4%

> 10 years

17.6%


Fund Bench. Diff.

Financials 36.0% 36.9% -0.9%

Industrials 49.0% 48.6% 0.4%

Utilities 15.1% 14.4% 0.7%

Cash -0.1% 0.0% -0.1%

Total 100% 100%

Fund Bench. Diff.

0 - 3 years 7.7% 7.5% 0.2%

3 - 5 years 23.3% 23.5% -0.2%

5 - 7 years 31.2% 30.3% 0.9%

7 - 10 years 20.4% 21.0% -0.6%

> 10 years 17.6% 17.7% -0.1%

Total 100% 100%

Fund Bench. Diff.

AA 12.1% 13.2% -1.1%

A 47.2% 47.9% -0.7%

BBB 39.8% 38.3% 1.5%

BB 0.3% 0.0% 0.3%

Cash 0.7% 0.7% 0.0%

Total 100% 100%

Sector (%)

Maturity (%)

Rating (%)

12

Investment process

Pre-investment:

Portfolio construction

• optimized sampling

• refining based on liquidity constraints

• building of a model portfolio

Investments:

Execution and control

• execution of operations in order to minimize the market impact

• cash management: subscriptions, redemption, coupons and dividend payment

• performance and tracking error analysis

• follow changes in benchmark

13

Investment process

Prices

SIX

Optimizer

PORT®Benchmark:

SBI Corporate Domestic

(around 300 issues)

• tracking error minimization

• turnover control

Model portfolio

(around 250 issues)

14

Portfolio Management Team

Agim Xhaja joined BCV

Asset Management as head

of fixed income in 2006. He

also manages different

mandates and funds in Swiss

and International bond

portfolios. Previously he held

various positions in the credit

risk control and financial

research divisions for UBS in

Zurich and also worked in

Man Investment as financial

engineer.

He has more than 20 years

of experience in different

aspects of fixed income.

He holds a PhD in Finance

through the FAME program

(now the Swiss Financial

Institute) and the University

of Lausanne, and a Master’s

in International Economics

from the Graduate Institute of

International Studies in

Geneva. He also has a

degree in Mathematics from

the University of Tirana.

Joël Lopes joined fixed

income team in January

2014 and manages semi-

active and index-based

bond funds and

discretionary mandates

denominated in Swiss

francs.

He holds a Master's in

economics from the

University of Neuchâtel and

a Bachelor's in

management from the

Business and Economics

Faculty of the University of

Lausanne.

He has five years of

financial-market

experience.

Gaël Fichan is foreign

currency bond investment

manager responsible for

selecting securities and

building portfolios. He

brings a bottom-up

perspective to the bonds

investment committee. A

part of our team since

2013, Mr. Fichan has five

years of experience in the

financial industry.

He previously worked at

Swisscanto on the fixed

income investment team

and holds a Master's in

Banking and Finance (joint

degree program between

the: University of Zurich

and ESGF Business

School, Paris).

A member of BCV's fixed-

income investment team

since October 2015, David

Wehrli manages bond

funds and asset

management mandates in

selecting sector-specific

securities from, for

example, the non-cyclical

consumer goods and

automotive sectors.

He has a Master in

Finance and a Bachelor in

Accounting and Finance

from the University of

Neuchâtel.

Agim Xhaja Gaël Fichan Joël Lopes David Wehrli

PhD, CIO Fixed Income Investment Manager Investment Manager Investment Manager

Julien manages bonds

funds and mandates. He is

in charge of selecting

securities and building

portfolios. Julien worked for

more than 3 years at

Edmond de Rothschild as

interest rates and

currencies portfolio

manager. Prior to that, he

spent 7 seven years as a

bonds and commodities

fund manager at Diapason

Commodities

Management. He hold a

Bachelor in Management

and a Master in Financial

Engineering from HEC

Lausanne a well as a

license in Mathematics

from the Swiss Federal

Institute of Technology of

Lausanne.

Julien Marcel

Investment Manager

15

Investing in the Swiss fixed income market with

the BCV CHF Domestic Corporate Bonds

Take advantage of the opportunities offered by Swiss corporate bonds issued in Swiss

francs

Diversified exposure while minimizing idiosyncratic risk

Replicate as closely as possible the performance of its benchmark the SBI Corporate

Domestic (tracking error 0.10 – 0.20%)

16

Fund Characteristics

Legal Structure Fund under Swiss law

Registration Switzerland

Depository bank Banque Cantonale Vaudoise (BCV), Lausanne, Switzerland

Auditor PricewaterhouseCoopers SA, Pully, Switzerland

Fund Manager BCV Asset Management, Lausanne, Switzerland

Fund Management Gérifonds SA, Lausanne, Switzerland

Liquidity Daily, 14h

Launch date 19.03.2013

Fees (p.a.)

Class A: 0.65%

Class I: 0.20%

Anti-dilution fee 0.20%

Base currency CHF

ISIN numbers CHF A: CH0200992128 / CHF I: CH0200992177

Telekurs numbers CHF A: 20099212 / CHF I: 20099217

Bloomberg tickers CHF A: BCVDCBA SW / CHF I: BCVDCBI SW

17

Your specialists, always at your disposal

Agim Xhaja, PhD, CIO Fixed Income

Bonds & Forex Investment Manager

[email protected]

021 212 21 13

Joel Lopes

Strategist Investment manager

[email protected]

021 212 22 39

18

Your Asset Management Advisor

021 212 31 18

Banque Cantonale Vaudoise

Asset Management

CP 300 [email protected]

1001 Lausanne www.bcv.ch/invest

Frédéric Gardet Urs ZieglerMichel Aubry

044 388 71 30

Banque Cantonale Vaudoise

Asset Management

Talacker 35 [email protected]

8001 Zürich www.bcv.ch/invest

Gilles Guyaz Philippe MaederMartin Koenig Ulrich Lüthy Philippe Schlatter

Jürg BaltenspergerRiccardo Cutruneo Adrian Leiser

Sergio Del GottardoJulien Brasey

19

Important legal information

Waiver of liability. While we make every reasonable effort to use reliable information, we make no representation or warranty of any kind that all informationcontained in this document is accurate or complete. Only values and performance figures calculated by the custodian bank are authoritative. We disclaim all liabilityor responsibility for any loss, damage or injury that may result directly or indirectly from this information. The information and opinions contained in this document arerepresentative of the situation on the date this document was prepared and may change at any time, particularly as a result of changes in the general market trend,interest rates and exchange rates, and legislative and/or regulatory changes. We are under no obligation to update or modify this document.

No offer or recommendation. This document is for information purposes only; it does not constitute bookbuilding, an offer to buy or sell or a personalizedinvestment recommendation. Before conducting any transaction, we recommend that you contact your advisors to carry out a specific examination of your risk profileand that you seek information about the risks involved. One such source of information is the SwissBanking brochure "Special risks in securities trading" (availableat BCV offices and on the BCV website www.bcv.ch). In particular, we draw your attention to the fact that prior performance must not be taken as a guarantee ofcurrent or future performance, and does not take into account commissions or fees for the issuance/purchase or redemption/sale of units.

Interests in certain securities and relations with third parties. It is possible that BCV, companies in our Group and/or their directors, managers and employeeshold or have held interests in or positions on certain securities, which they may buy or sell at any time, or that they have acted or traded as a market maker. Theymay have or have had business relationships with the issuers of certain securities, or provide or have provided them with corporate finance services, capital marketservices or any other financial services.

Restrictions on distribution. Certain transactions and/or the distribution of this document may be prohibited or subject to restrictions for persons in jurisdictionsother than Switzerland (particularly Germany, the EU, the UK, and the USA) and for US persons. The distribution of this document is only authorized to the extentallowed by applicable law.

Trademark and copyright. The BCV logo and trademark are protected by law. This document is subject to copyright and may not be reproduced unless thereproduction mentions its author, copyright and all the legal information it contains. Prior written authorization from BCV is required to use this document for public orcommercial purposes.

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bcv chf domestic corporate bonds · bcv chf domestic corporate bonds 0.62% 4.94% 1.33% 0.57% 0.72%...

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