Asset Management – Fixed Income
Credit Suisse (Lux) – AgaNola Global
Convertible Bond Fund
November 2016
Content
AgaNola – Credit Suisse Asset Management Cooperation
Investment Philosophy & Process
Key Terms
Appendix
Asset Management – Fixed Income
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November 2016
2
Strategic Co-operation between AgaNola AG and Credit Suisse
A Combination that Stands for “Best of Both Worlds”
AgaNola
Credit Suisse Asset Management
 Offering dedicated convertible strategies focused in the
investment grade sub-universe.
 Offering broad range of convertible strategies from investmentgrade, balanced to dynamic profiles.
 Strong bottom-up equity skills supported by a systematic,
process driven selection approach combined with in-depth
convertible analysis expertise.
 Strong bottom-up credit skills supported by the Fixed Income
team and external independent credit research resources.
 Fully integrated, proprietary system at its disposal, which covers
all processes in the areas of portfolio management, operations and
middle office.
 Robust operational and risk management platform Blackrock
Aladdin and end-user computing as an integrated part of the
investment process.
 Top-quartile performance of funds in peer comparison.
 Lipper Fund Awards 2011–2014 and 2016 for best convertible bond
funds in Switzerland.
 3 specialized convertible experts combining more than 30 years
of experience in the convertible space.
 3 specialized convertible bond portfolio managers with an
average of 10 years of experience.
 Assembling of a strong, experienced and complementary team of senior portfolio managers.
 The team consists of investment managers with a continuously successful track record in convertibles.
 Scalable and process driven platform currently managing assets of more than USD 1.0 billion.
Asset Management – Fixed Income
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November 2016
3
Investment Universe
Focus and Responsibilities
Primary Universe
AgaNola AG
(~100 Investment
Grade Convertible
Bonds)
AgaNola AG
Credit Suisse
Focus Equity
Focus Credit
Selection of Investment Grade
Convertibles
Risk optimized portfolio construction by combining equity/credit
(60–70 Names, globally
diversified)
Strategy selection
views on all intstruments
Trade selection
Secondary
Universe
Credit Suisse
(~300 Convertible
Bonds,
unconstrained)
Evaluation of Special Situations
Trade sizing
(10–30 Names, concentrated)
Execution
Risk optimized portfolio construction by combining equity/credit views on all intstruments instruments.
Asset Management – Fixed Income
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Sources: Credit Suisse, AgaNola
November 2016
4
Content
AgaNola – Credit Suisse Asset Management Cooperation
Investment Philosophy & Process
Key Terms
Appendix
Asset Management – Fixed Income
The disclaimer at the end of this document also applies to this page.
November 2016
5
Executive Summary
Best In Class Investment Grade Convertible Bond Fund
Market
Opportunity
Investment
Solution
Strategy

While close to historically low levels, global interest rates are rapidly rising.

Equity markets have a favorable dynamic on the back of increasing inflation expectations and global growth outlook.

With investment grade and high yield credit spreads at low levels relative to historic averages it is becoming increasingly
difficult for fixed income investors to generate strong absolute returns.

In such an environment, investment grade convertible bonds offer a viable source of enhanced returns.


Leveraged know-how of two convertible bond specialised managers – AgaNola and Credit Suisse.
Focus on the construction of a long-only global investment grade convertible bond product with upside optionality.

Exploit opportunities provided by special situations, relative valuations and long-term market trends.

Non-benchmark-oriented bottom-up driven investment process.

Actively managed global convertible bond portfolio, focusing on upside optionality in primary and secondary universe.

Primary universe (TR Global CB Investment Grade Index): accounting for a minimum of 67% of the fund’s NAV.
Secondary universe (TR Global CB Index): alpha generation potential from relative value and special situation
opportunities uncorrelated with the overall market direction.

Source: Credit Suisse
As of November 30, 2016
Asset Management – Fixed Income
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November 2016
6
The Case For Convertible Bonds
Understanding Key Advantages
Bonds: pros
Bonds: cons
Stocks: pros
Steady income
Historically low income
Substantial capital gain
At or near all-time highs
potential
Principal protection
Better long-term
Exposure to marketinflation hedge; tax
value loss from rising
credit spreads and rates efficiency
Vulnerable to sharp
declines in market value
Traditionally lower
volatility
Poor risk/reward trade- Possibility of growing
off
dividends
No principal protection
Converts
Fixed coupons
Stocks: cons
Equities

Corp.
Bonds

Equity potential


Historically outperform when interest rates rise


Limited downside in weak equity markets

Special situations

Why convertible bonds often
outperform other asset
classes?
 CBs offer an asymmetric riskreward which can be further
enhanced with the help of
quantitative screening tools
and/or fundamental credit
analysis
 Special situations are a
particularly interesting source of
alpha for convertible bonds:
- takeover protection;
- dividend protection;
- spin-offs;
- other corporate actions.

Source: Credit Suisse
Asset Management – Fixed Income
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November 2016
7
Investment Philosophy
Quality Blue Chips Plus Special Situations
Investment Universe
Investment Objective
Investment Approach
 Quality strategy: Exposure to
benchmark type Blue Chip companies
with high credit quality gives this strategy
a balanced risk/reward profile.
 Target outperformance vs. benchmark
over three to five years: 2–3% p.a.
gross.
 Active approach: active investment
management of global convertible bonds.
 Benchmark: ca. 60–70 positions.
 Primary universe: over 100 individual
securities with implied investment grade
rating offering limited downside on
account of the solid bond floor and
superior liquidity.
 Secondary universe: Adding special
situations/unconstrained convertible bond
opportunities offering significant upside
from an equity and/or credit perspective.
 Bottom-up driven selection process.
 Tracking error of 2–3% should be
tolerated.
 Diversified portfolio: Sizing positions
based on liquidity and quality versus high
conviction investment opportunities.
 Balanced approach: both quantitative
parameters and qualitative considerations
are taken into account. Focus on
investment-grade core portfolio plus special
situations
 Derivatives overlay to enhance yield
or capital preservation in strong up
and down markets.
 Portfolio delta: No delta boundaries set
through the Thomson Reuters Focus filter,
delta moves directional with the market.
 Clear responsibilities/specialization
of each co-investment manager.
Target returns are based on historical data, it is not a projection, prediction or guarantee of future performance,
and there is no certainty that the target return will be reached.
Asset Management – Fixed Income
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Sources: Credit Suisse, AgaNola
November 2016
8
Investment Profile
Targeting above Benchmark Return by Various Sources
Expected Payoff versus Risky
asset markets
Strategies
 Blue chip high quality issuers
 Benchmark size
 Generic market beta
 Typically 50 to 70 positions
Risky assets
 Selected special situations
 Bottom-up driven credit opportunities
 Typically 5 to 10 positions
 Deep-value approach
Typical Alloc.
in %
>70%
+1–2%
10–20%
+1%
<10%
Risky assets
 Markets dislocations
Returns
Relative Value –
Non-Benchmark
(Historical Average
~4.5% p.a.)
Returns
Special Situations –
Non-Benchmark
Convertible
Benchmark Return
Returns
Investment Grade
Convertibles –
Benchmark
Expected Return
 New issue activities
 Short-term investments
 Corporate actions
Risky assets
Overlay
 High conviction trades (outright, delta-hedged or option structures) tilted toward tail hedge
Your Solution
 Core blue-chip quality convertible portfolio
 Hedging downside/market risk actively
Convertible Benchmark
Return
+ 2–3%
Returns
 Yield enhancement through idiosyncratic credit risk or
derivatives overlay
Risky assets
Historical performance indications and financial market scenarios are not reliable indicators of current or future
performance. Long positions can be implemented via direct bond purchases or derivatives. Short positions are
implemented via derivatives (and short selling of bonds). Both volatility and expected returns are represented by
market indices. They therefore may deviate from real invested portfolios. In addition, the level of volatility might
change over time as markets move. Volatility and expected return figures are only an indication of the different
investment profiles and do not provide any guarantee that they will stay at the same level in the future. Target returns
are based on historical data, it is not a projection, prediction or guarantee of future performance, and there is no
certainty that the target return will be reached.
Asset Management – Fixed Income
100%
The disclaimer at the end of this document also applies to this page.
Source: Credit Suisse
For illustrative purposes only.
November 2016
9
Investment Grade Convertibles
Sample Prime Universe
STMicroelectronics 1% 2021
Historical Trade Opportunity
Rationale (Investment date: July 27, 2016)
110
 We bought the respective bond in July 2016 moving from a neutral
to an overweight position.
 STMicroelectronics was one of the few bonds in the primary universe
offering a YTM of over 1.5% and a 1% coupon.
 In addition, conversion premium had just dropped to below 70% for
the first time in 2016 offering better equity sensitivity.
 We like the improved dynamics of the Semiconductors sector despite
neutral analyst recommendations. The HOLT score for STMicro is
45.
105
Price
100
95
90
Trade Result
85
STM 1% 2021
 Entry price 01.02.2016
97.60%
 YTM
1.55%
 Target Exit Level
115%
 Expected Return over 2Y
20.0%
For illustrative purposes only. This document constitutes marketing material and is not the result of any financial analysis
or research. Historical performance indications and financial market scenarios are not reliable indicators of current or
future performance.
Asset Management – Fixed Income
The disclaimer at the end of this document also applies to this page.
Sources: Credit Suisse, AgaNola
As of 31.10. 2016
November 2016
10
Special Situations Convertibles
Sample Secondary Universe
Silver Standard 2.875% 2033
Historical Trade Opportunity
Rationale (Investment date: February 1, 2016)
110
 We bought the respective bond in February 2016 with an intitial
allocation of 0.8% which we gradually increased to 2.5% through
April 2016.
 Silver Standard is in a net cash position and the convertible bond is
its only debt. Our credit analysis showed that the risk of non-payment
is minimal.
 In addition, we have a positive view on the outlook for precious
metals prices and the underlying stock. The HOLT score is 96.
 We took profit at 97.355% in October 2016
105
100
95
Price
90
85
80
75
70
Trade Result
65
60
SSRI 2.875% 2033
 Entry price 01.02.2016
66.25%
 YTP (01.02.2020)
16.8%
 Target Exit Level
100%
 Expected Return over 2Y
40.0%
For illustrative purposes only. This document constitutes marketing material and is not the result of any financial analysis
or research. Historical performance indications and financial market scenarios are not reliable indicators of current or
future performance.
Asset Management – Fixed Income
The disclaimer at the end of this document also applies to this page.
Sources: Credit Suisse, AgaNola
As of 31.10. 2016
November 2016
11
Relative Value Convertibles
Sample Secondary Universe
Severstal 0.5% 2021
Historical Trade Opportunity
Rationale (Investment date: May 20, 2016)
125
 We bought the respective bond shortly after it was issued after its
price dripped to below 98 on the secondary.
 Severstal is a strong and improving credit. We expected an upgrade
to IG within the following12 months. The company was subsequently
upgraded to BBB- on August 4, 2016.
 We like Severstal and the exposure to the Steel sector. the company
currently has a HOLT score of 53.
 In addition, we like the bond profile which has a floor of 92.50 and
conversion premium at the time the deal was launched of only
17.50%.
120
115
Price
110
105
100
Trade Result
95
90
04/16
05/16
06/16
07/16
08/16
Severstal 0.5% 2021
09/16
10/16
 Entry price 01.02.2016
97.80%
 YTM
1.40%
 Target Exit Level
130%
 Expected Return over 2Y
33.0%
For illustrative purposes only. This document constitutes marketing material and is not the result of any financial analysis
or research. Historical performance indications and financial market scenarios are not reliable indicators of current or
future performance.
Asset Management – Fixed Income
The disclaimer at the end of this document also applies to this page.
Sources: Credit Suisse, AgaNola
As of 31.10. 2016
November 2016
12
Investment Process
Overview
Quantitative Screening
Focus Equity
Qualitative Input
Focus Credit/Convert
Selection &
Construction
Execution
Risk Management
& Monitoring
 Multifactor Equity
Model
 Systematic
evaluation based on
fundamental
factors, price ratios
and behavioral
patterns
 Universe is split into
groups (strong buy,
buy, sell and strong
sell).
 In-depth, bottom-up
process (equity and
credit research)
 Capital structure,
documentation and
security review
 CB valuation (bond,
option, liquidity)
 Special situations
 Minimizing default
risk by credit
analysis.
 Pre-trade analysis
(restrictions)
 Strategy selection
(IG vs. HY vs. RV)
 Trade selection
(issuer,
instruments)
 Trade sizing
(volatility,
correlation, liquidity,
conviction)
 Execute all trades
through Credit
Suisse execution
desk
 Best price
execution principles
 Global broker and
client network
 Straight-through
processing to fund
administration
 Constant reevaluation of
portfolio positioning
 Daily attribution
analysis by
Blackrock/Aladdin
 Independent
guidelines
monitoring
 Period review of
combined
investment
committee
 AgaNola proprietary
analysis
 Credit Suisse Asset
Management Credit
Research Set-up
 Investment
Manager FrontTools (e.g.
Bloomberg PORT)
 Credit Suisse AG
Execution Desk
 Standard Ops Setup for FI funds.
 ANIS
 Blackrock/Aladdin
 UBS Delta
For illustrative purposes only.
Asset Management – Fixed Income
Sources: Credit Suisse, AgaNola
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November 2016
13
Quantitative Screening
Focus Equities: Systematic Assessment of Attractiveness
AS-Score
Strategies
 Provide an objective view of all
Companies included in the
convertible universe
 Improve investment process via an
analytical tool that involves the use
of a set of proprietary quantitative
algorithms that is consistently
applied to all companies
Value
the tendency for relatively cheap assets to
outperform relatively expensive ones
Momentum
the tendency for an asset’s recent relative
performance to continue in the near future
Quality
the tendency for higher quality assets to generate
higher risk-adjusted returns
Growth
Four intuitive criteria, when
applied effectively, have
delivered positive long-term
returns with low correlation
to each other and traditional
markets.
the tendency for assets expected to grow faster to
outperform assets expected to grow slower
Systematic return forecast for the underlying equity based on a multi-factor model, taking fundamental data, price momentum and behavioral finance
criteria into account
Focus on equity: Convertible bond return is mainly explained through the equity return1
1 Ammann,
Kind, Seitz (July 2007) Regression analysis: Monthly return data for the Thomson Reuters Convertibles Global Index, hedged in CHF, and MSCI World Index
(lc) from Sep 2002 – Sep 2012; linear regression to analyze relationship.
For illustrative purposes only.
Asset Management – Fixed Income
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November 2016
14
Qualitative Input
Detailed Fundamental Credit and Equity Analysis
Fundamental Outlook
(top down)





Global growth, inflation and interest rate outlook
Leverage versus earnings cycle
Systemic event risks
Default and recovery rate outlook
Sector trends, trend on downgrade/upgrade cycle, bank lending
environment – contractionary versus expansionary
Sources:
Issuer Analysis
(bottom up)




Financial and business analysis
Management quality
Market/competitive position and event risk
Catalyst to reduce credit risk
 Internal investment specialists
e.g. HY, EM, Asia.







Option valuation based on volatility and borrowing costs
Long term spread analysis on sector, rating category
Relative value analysis versus market, sector and rating
Bond spreads versus Credit Default Swaps
Issuer credit curve valuations
Capital structure considerations
Structural, documentation issues
Sources:




Measuring risk appetite
Gauging trader’s positions
Supply versus demand balance
Tracking fund flows across all European convertible bond managers
 Global research.
Relative Valuations
Technical Indicators
 Equity and Credit research
from independent research
sources (e.g. Creditsights or
Lucror).
 Company meetings.
 Specialized convertible
portfolio manager assessment.
 Bond documentation and
vendor information systems.
 Peer analysis.
For illustrative purposes only.
Asset Management – Fixed Income
Sources: Credit Suisse, AgaNola
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November 2016
15
Portfolio Positioning (I / II)
Putting it all together in a diversified investment approach
Portfolio Statistics
Fund
BM
Δ
Delta
49.2%
48.6%
Current Yield
0.9%
Yield-to-maturity/-put
Rating
Fund
BM
Δ
0.6%
AAA
0.3%
0.3%
0.0%
1.0%
-0.1%
AA
0.6%
0.0%
0.6%
-7.9%
-8.5%
0.6%
A
29.4%
45.4%
-16.0%
Modified Duration
4.9
4.9
-0.1
BBB
62.9%
54.3%
8.6%
Distance to Bond Floor
20.2%
20.3%
-0.1%
BB
5.0%
0.0%
5.0%
Average Rating
BBB-
BBB
B
0.0%
0.0%
0.0%
Number of holdings
105
92
Others
1.9%
0.0%
1.9%
Assets under Management (USD Milions)
473.2
Top 10 Issuers (cumulated)
33.9%
Reference Currency
USD
Region
Fund
BM
Δ
Benchmark
Thomson Reuters Convertible Global Inv. Grade
Cash
7.2%
0.0%
7.2%
Legal Structure
Luxemburg UCITS
Americas
33.0%
33.1%
-0.1%
Subscriptions & Redemptions
Daily
Western Europe
45.0%
47.6%
-2.5%
Inception Date
29.01.20110
EEMEA
8.2%
9.9%
-1.7%
Japan
2.1%
2.4%
-0.4%
Asia ex Japan
4.4%
7.0%
-2.5%
13
-10% -5% 0%
-5%
0%
5% 10%
5%
10%
For illustrative purposes only. Source: Credit Suisse, AgaNola;
Data as per November 30, 2016
Asset Management – Fixed Income
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November 2016
16
Portfolio Positioning (II / II)
Sector Allocation
Sector
Sector
Fund
BM
Δ
Cash
7.2%
0.0%
7.2%
Basic Resources
0.8%
Basic Resources
3.9%
2.0%
1.9%
Industrial Goods & Services
0.5%
Health Care
6.6%
5.9%
0.8%
Automobiles & Parts
0.5%
Chemicals
1.3%
0.8%
0.5%
Health Care
0.3%
Automobiles & Parts
2.7%
2.2%
0.5%
Insurance
0.2%
Technology
20.1%
19.9%
0.3%
Chemicals
0.2%
Industrial Goods & Services
14.7%
14.6%
0.2%
Personal & Household Goods
0.1%
Personal & Household Goods
5.1%
5.0%
0.1%
Technology
0.0%
Retail
0.7%
0.8%
-0.1%
Construction & Materials
0.0%
Telecommunications
7.9%
8.1%
-0.1%
Telecommunications
0.0%
Construction & Materials
1.6%
1.8%
-0.2%
Retail
-0.1%
Travel & Leisure
3.7%
4.0%
-0.2%
Travel & Leisure
-0.1%
Real Estate
9.5%
10.5%
-1.1%
Financial Services
-0.1%
Financial Services
1.7%
2.8%
-1.1%
Oil & Gas
-0.2%
Oil & Gas
5.5%
6.9%
-1.4%
Real Estate
-0.3%
Banks
3.3%
5.4%
-2.1%
Banks
-0.5%
Insurance
1.7%
3.9%
-2.3%
Utilities
-0.5%
Utilities
2.7%
5.5%
-2.7%
-5%
0%
5%
10%
Active Delta
-2% -1% 0%
1%
2%
For illustrative purposes only. Source: Credit Suisse, AgaNola;
Data as per November 30, 2016
Asset Management – Fixed Income
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November 2016
17
Credit Suisse (Lux) – AgaNola Global Convertible Bond Fund
Performance (gross)
160
150
140
130
120
110
100
90
Jan-10
Jul-10
Jan-11
Jul-11
Jan-12
Jul-12
Jan-13
Jul-13
CS (Lux) AgaNola Global Convertible Inv. Grade Bond Fund EB USD (gross)
Jan-14
Jul-14
Jan-15
Jul-15
Jan-16
Jul-16
Thomson Reuters Global Inv. Grade CB Index (hedged into USD)
YTD
1Y
3Y (ann.)
5Y (ann.)
2011
2012
2013
2014
2015
Fund (gross)
2.2%
1.2%
4.5%
6.1%
-1.9%
9.2%
11.1%
6.4%
3.8%
Benchmark
3.1%
2.2%
4.9%
6.5%
-2.1%
9.3%
11.1%
7.0%
3.9%
-0.9%
-1.0%
-0.4%
-0.4%
0.2%
-0.2%
0.0%
-0.5%
-0.2%
Relative (gross)
TER
0.5%
Historical performance indications and financial market scenarios are not reliable indicators of current or future performance.
Asset Management – Fixed Income
The disclaimer at the end of this document also applies to this page.
Source: Credit Suisse
As of November 30, 2016
November 2016
18
Content
AgaNola – Credit Suisse Asset Management Cooperation
Investment Philosophy & Process
Key Terms
Appendix
Asset Management – Fixed Income
The disclaimer at the end of this document also applies to this page.
November 2016
19
Credit Suisse (Lux) AgaNola Global Convertible Bond Fund
Key Facts
Fund name
Credit Suisse (Lux) AgaNola Global Convertible Bond Fund
Domicile
Luxembourg
Legal structure
Investment company with variable capital under Luxembourg law (SICAV) – UCITS compliant
Investment manager
Credit Suisse AG/AgaNola AG
Portfolio manager
Lukas Buxtorf, Rossitza Haritova
Currency share classes
USD, EUR, CHF
Investment objective
The investment objective is to achieve an outperformance versus the benchmark.
Management fee p.a.
B/BH: 1.20%, IB/IBH: 0.80%, IBP/IBHP: 0.60%, UB/UBH: 0.90%
Performance fee
Applying only for IAP/IBP/IAHP/IBHP share classes, 20% Performance Fee above 5% hurdle rate with high water mark
Benchmark
Thomson Reuters Global Convertible Investment Grade Index
Liquidity and subscriptions
Daily, with cutoff at 3:00 p.m. CET
Launch Date
29.10.2010/Co-managed since 12.12.2016
Sales Charges
Maximum sales charge 5%. Standard sales charge at Credit Suisse 1%.
Merger date
December 2016
Share Classes
B USD
BH CHF
BH EUR
IB USD
IBH CHF
IBH EUR
IBHP CHF
IBHP EUR
UB USD
UBH CHF
UBH EUR
Management Fee
n/a
n/a
n/a
USD 500,000
CHF 500,000
EUR 500,000
CHF 500,000
EUR 500,000
n/a
n/a
n/a
1.20%
1.20%
1.20%
0.80%
0.80%
0.80%
0.60%
0.60%
0.90%
0.90%
0.90%
1.38%
1.38%
1.37%
0.97%
0.97%
0.97%
0.77%
0.77%
1.09%
1.09%
1.08%
Expected TER*
n/a
n/a
n/a
n/a
n/a
n/a
20%
20%
n/a
n/a
n/a
Valor no.
10670988
10670990
10670991
To follow
To follow
24943198
To follow
To follow
26349671
26349690
26349698
ISIN Number
LU0458985982
LU0458986014
LU0458986105
To follow
To follow
LU1089177338
To follow
To follow
LU1144398358
LU1144398432
LU1144398515
Source: Credit Suisse
Asset Management – Fixed Income
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November 2016
20
Credit Suisse (Lux) AgaNola Global Convertible Bond Fund
Key Investment Guidelines
Allocation/Exposure
Maximum annualized tracking error (target)
5%
Minimum annualized tracking error (target)
1%
Maximum modified duration
10
Minimum modified duration
0
BBB-
Minimum average rating
0.3
Minimum annualized Information-Ratio (target)
Minimum exposure investment grade rated (primary universe)
67%
Maximum exposure secondary universe (non-IG, straight bonds, structured products, stocks)
33%
Maximum exposure to stocks and structured products
20%
Maximum exposure to Emerging Markets
25%
USD 80 mn
Minimum issue amount outstanding
Maximum exposure third party ratings (R&I, Mikuni, CS internal ratings)
50%
Maximum exposure to CS internal ratings
20%
Maximum exposure to open-end Collective investment vehicles
10%
Maximum exposure via equity derivatives
10%
Maximum exposure per issuer with rating BBB- or higher
10%
3%
Maximum exposure per issuer with rating BB+ or lower
Please refer to the fund prospectus for more information.
Asset Management – Fixed Income
Source: Credit Suisse
The disclaimer at the end of this document also applies to this page.
November 2016
21
Credit Suisse (Lux) AgaNola Global Convertible Bond Fund
Experienced Portfolio Managers
Lukas Buxtorf
AgaNola
Rossitza Haritova
Credit Suisse AG
Senior Portfolio Manager
Convertibles
Senior Portfolio Manager
Convertibles
Lukas Buxtorf is a Senior Portfolio Manager at
AgaNola AG. He started his career in 2005 at
Horizon21 AG, Switzerland, in the alternative
investment sector. He possesses profound investment
analysis expertise with a particular knowledge in the
convertible bonds area.
Rossitza Haritova is a convertible bond specialist with
15 years of experience in the product. She joined
Credit Suisse Asset Management's Fixed Income
team from the Credit Suisse London office where she
worked as a senior convertible bond and credit
strategist.
Lukas Buxtorf joined AgaNola AG in 2009. As of
2012 he has been responsible for the management of
several convertible bond portfolios.
Previously she held similar roles at Morgan Stanley,
Vicis Capital, Nomura and HSBC.
He holds a bachelor degree in economics from the
University of Applied Sciences of Bern and is a CFA
charterholder. Lukas Buxtorf was born in 1979 and
lives in Switzerland.
Rossitza focuses on high yield and distressed
convertible trade idea generation and has been
regularly voted No.1 in the annual Extel and
Greenwich Associates annual surveys.
She holds a Master's degree in Economics and is a
CFA charterholder. She speaks English, German,
Russian and Bulgarian.
The individuals mentioned above only conduct regulated activities in the jurisdiction(s) where they are properly
licensed, where relevant.
Asset Management – Fixed Income
The disclaimer at the end of this document also applies to this page.
Source: Credit Suisse
November 2016
22
Credit Suisse (Lux) AgaNola Global Convertible Bond Fund
Senior Management
Marco Tinnirello
AgaNola AG
Peter Schilling
Credit Suisse AG
Head Asset Management
Senior Portfolio Manager
Head Convertibles
Marco Tinnirello is Head of Asset Management at
AgaNola and responsible for the development of
systematic investment strategies and quantitative
analysis. He has extensive experience in equity
strategies as well as global balanced strategies. He
co-founded AlphaStream, worked for OZ Bankers,
Andersen Business Consulting and Handelsbank
NatWest. He graduated in quantitative finance and
earned a Master of Advanced Studies in Finance
jointly delivered by the University of Zurich and the
Swiss Federal Institute of Technology. He holds a BSc
in Economics and is a CFA Charterholder. Marco
Tinnirello was born in 1972 and lives with his family in
Switzerland.
After his studies in 1990, Peter worked for the
Nassauische
Sparkasse,
Delbrück
&
CO
Privatbankiers and Deka Investment, in different fund
management divisions. During his career, he had a
variety of positions in the fields of equity, fixed income,
corporate credit, strategy, as well as management of
multi asset class mandates. His comprehensive and
diverse knowledge, in addition to his 20+ years capital
markets experience, makes him a highly qualified
senior fund manager. Peter joined Credit Suisse in
2008. Since then the Global Convertibles team was
awarded with the Lipper Fund Award for the best
convertible fund in Switzerland in the years 20112014. Peter Schilling holds a degree in business
studies (Diplom-Kaufmann) from the J. W. Goethe
University in Frankfurt.
The individuals mentioned above only conduct regulated activities in the jurisdiction(s) where they are properly
licensed, where relevant.
Asset Management – Fixed Income
The disclaimer at the end of this document also applies to this page.
Source: Credit Suisse
November 2016
23
Content
AgaNola – Credit Suisse Asset Management Cooperation
Investment Philosophy & Process
Key Terms
Appendix
Asset Management – Fixed Income
The disclaimer at the end of this document also applies to this page.
November 2016
24
Credit Suisse (Lux) AgaNola Global Convertible Bond Fund
Track Record – Gross Performance
150
150
140
140
130
130
120
120
110
110
100
100
90
90
AgaNola GCF Institutional CHF
Benchmark
CS (Lux) Global Conv. IG BF CHF
BM (Change 07/2013)
YTD
1Y
3Y (ann.)
4Y (ann.)
2015
2014
2013
2012 **
AgaNola (gross)
0.90%
0.15%
3.29%
7.21%
2.10%
5.03%
19.21%
7.18%
Benchmark
1.89%
0.74%
4.07%
7.07%
2.92%
6.82%
15.13%
4.75%
Credit Suisse (gross)
0.51%
-0.78%
3.39%
5.35%
2.84%
6.03%
10.61%
4.96%
Benchmark *
1.89%
0.74%
4.07%
6.01%
2.91%
6.81%
10.81%
5.29%
* Credit Suisse fund changed the benchmark as per July 1st, 2013.
** Performance since June 1st, 2012.
Historical performance indications and financial market scenarios are not reliable indicators of current or future
performance. Performance indications do not consider commissions levied at subscription and/or redemption.
Asset Management – Fixed Income
Sources: Bloomberg, AgaNola, Credit Suisse
As of 31.10.2016
The disclaimer at the end of this document also applies to this page.
November 2016
25
Credit Suisse (Lux) AgaNola Global Convertible Bond Fund
Gross Performance Comparison – Same Strategy since July 1, 2013
125.00
120.00
115.00
110.00
105.00
100.00
95.00
Jun-13
Dec-13
Jun-14
Dec-14
CS (Lux) Global Conv. IG BF CHF
Jun-15
Jun-16
AgaNola GCF Institutional CHF
Historical performance indications and financial market scenarios are not reliable indicators of current or future
performance.
Performance indications do not consider commissions levied at subscription and/or redemption.
Asset Management – Fixed Income
Dec-15
Sources: Bloomberg, AgaNola, Credit Suisse
As of 31.10.2016
The disclaimer at the end of this document also applies to this page.
November 2016
26
Credit Suisse (Lux) AgaNola Global Convertible Bond Fund
Governance
Task
Responsibility – Members
Joined
Investment
Committee
 Quarterly meeting or ad-hoc
 Setting strategic parameters of the investment strategy,
performance review, macro themes
 Sounding board for conflicts




Portfolio
Management
 Daily interaction on risk and investment opportunities,
portfolio attribution and balancing
 Universe responsibility pre-defined
 Weekly team meeting to discuss market developments,
priorities and portfolio review
 Operational implementation through Credit Suisse AG
including STP, Execution and fund administration.
 Lukas Buxtorf, Senior Portfolio Manager, AgaNola AG
 Rossitza Haritova, Senior Portfolio Manager, Credit Suisse AG
Risk
Management




Pre-Trade compliance
Daily monitoring of investment guidelines post-trade
Risk assessment, attribution & contribution
Regulatory framework
Marco Tinnirello, Head Asset Management, AgaNola AG
Lukas Buxtorf, Senior Portfolio Manager, AgaNola AG
Peter Schilling, Head Convertibles, Credit Suisse AG
Rossitza Haritova, Senior Portfolio Manager, Credit Suisse AG
 Independent compliance and risk management functions of
AgaNola AG and Credit Suisse AG
Please refer to the fund prospectus for more information.
Asset Management – Fixed Income
Source: Credit Suisse
The disclaimer at the end of this document also applies to this page.
November 2016
27
Disclaimer
© 2016 Morningstar. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is
not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past
performance is no guarantee of future results.
The information provided herein constitutes marketing material. It is not investment advice or otherwise based on a consideration of the personal circumstances of the addressee nor is it
the result of objective or independent research. The information provided herein is not legally binding and it does not constitute an offer or invitation to enter into any type of financial
transaction. The information provided herein was produced by Credit Suisse Group AG and/or its affiliates and subsidiaries (hereafter "CS") with the greatest of care and to the best of its
knowledge and belief. The information and views expressed herein are those of CS at the time of writing and are subject to change at any time without notice. They are derived from
sources believed to be reliable. CS provides no guarantee with regard to the content and completeness of the information and does not accept any liability for losses that might arise from
making use of the information. If nothing is indicated to the contrary, all figures are unaudited. The information provided herein is for the exclusive use of the recipient. Neither this
information nor any copy thereof may be sent, taken into or distributed in the United States or to any U. S. person (within the meaning of Regulation S under the US Securities Act of
1933, as amended). It may not be reproduced, neither in part nor in full, without the written permission of CS.
The fund is domiciled in Luxembourg. The representative in Switzerland is Credit Suisse Funds AG, Zurich. The paying agent in Switzerland is Credit Suisse AG, Zurich.
The prospectus, the simplified prospectus and/or the Key Investor Information Document (KIID) and the annual and half-yearly reports may be obtained free of charge from Credit Suisse
Funds AG, Zurich or from any branch of Credit Suisse AG in Switzerland.
Investment principal on bonds can be eroded depending on sale price, market price or changes in redemption amounts. Care is required when investing in such instruments.
For Liechtenstein the document may only be distributed by licensed entities.
The shares offered are exclusively offered to a limited group of investors. This document may not be reproduced or used for any other purpose, nor be furnished to any other person other
than those to whom copies have personally been sent. This material and the transactions described therein are not nor have been subject to the review and supervision of the Liechtenstein
Financial Market Authority.
Copyright © 2016 Credit Suisse Group AG and/or its affiliates and subsidiaries. All rights reserved.
Asset Management – Fixed Income
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November 2016
28