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August 2011
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August 2011

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  1. BNPP Investment Partners and FFTW Firm Overview August 2011

  2. Firm Overview

  3. BNP Paribas Investment Partners Within BNP Paribas Group BNP Paribas Retail Banking Investment Solutions Corporate and Investment Banking BNP Paribas Assurance BNP Paribas Wealth Management BNP Paribas Securities Services BNP Paribas Investment Partners BNP Paribas Personal Investors BNP Paribas Real Estate 2

  4. 3 FFTW is the U.S. and Global Fixed Income Partner for BNP Paribas Investment Partners • BNP Paribas Investment Partners: • Assets under management: • US$783 billion* • International presence: • 3,800 professionals worldwide in 43 countries • Financial strength: • BNP Paribas rated AA by Standard & Poor’s Source: BNP Paribas Investment Partners, as of June 30, 2011. All figures, including AUM figures, are as of June 30, 2011. * Including assets under advisory.

  5. Importance BNPP IP client base includes 57 Central Banks, Supranationals and Sovereign Wealth Funds totalling USD 67 billion in assets 28 clients at FFTW with USD 30 billion in assets under management FFTW Experience Client relationships with Central Banks since 1975 and Official Institutions since 1976 Longest relationship: 36 years Most recent relationship: 2011 Central Banks & Official Institutions Are An Important Part of Our Business 4 Asset Class Client Domicile Source: BNP Paribas Investment Partners, as of June 30, 2011. Pies and figures include assets under advisory of US$13 billion.

  6. Recognized Expertise in Asset Management - Solid Ratings Fitch awarded an M2+ rating to BNPP IP for global asset management activities, including the bond activities delegated to FFTW The rating was reaffirmed in April 2010 and January 2011 5

  7. FFTW Overview Dedicated to fixed income since 1972 Focused product range Specialised investment teams One central investment philosophy Committed to building long-term client relationships Backed by BNP Paribas 6

  8. FFTW Has a Rich History Specializing in Fixed Income 7 1972 FFTW founded; began managing fixed income portfolios 1984 Launched first mortgage only account 1995 Opened Singapore office 2001 Began managing segregated inflation-linked accounts 2010 Fortis Investment Management’s fixed income unit merged with FFTW 1986 Purchased first ABS security 1997 Added Asian credit capability 2002 Began managing first segregated currency overlay account 2010 Introduced emerging market corporate debt capability 1974 Started managing short-term and cash management accounts 1988 Began managing global fixed income 2006 Became a wholly-owned subsidiary of BNP Paribas 2011 Initiated diversified real return strategy 1999 Announced formation of strategic alliance with BNP Paribas 1975 Gained first central bank client 1989 Opened London office 2006 Established emerging market local bond strategy 2011 As of May 31, 2011, $52.8 billion in assets under management and advisory Source: FFTW. AUM (assets under management) data includes approximately US$12.5 billion in advisory assets and may as a result differ from AUM data disclosed on Form ADV. Further, AUM data is generally calculated based on current or recent market values. However, certain assets (including guaranteed investment contracts) are marked at book value. Such assets may represent a material portion of assets under management from time to time, so different asset pricing methodologies may result in different calculations of assets under management. As of May 31, 2011, the AUM data represents assets managed and/or advised by Fischer Francis Trees & Watts, Inc., Fischer Francis Trees & Watts UK Limited, Fischer Francis Trees & Watts Singapore Limited and fixed income assets of the Chicago office of Fortis Investment Management USA, Inc.

  9. FFTW’s Client Base Invests Across Multiple Sectors Assets by Client Type Assets by Mandate Assets by Mandate Assets by Client Domicile 8 Source: FFTW. Figures may not add to 100% due to rounding AUM (assets under management) data includes approximately US$12.1 billion in advisory assets and may as a result differ from AUM data disclosed on Form ADV. Further, AUM data is generally calculated based on current or recent market values. However, certain assets (including guaranteed investment contracts) are marked at book value. Such assets may represent a material portion of assets under management from time to time, so different asset pricing methodologies may result in different calculations of assets under management. As of March 31, 2011, the AUM data represents assets managed and/or advised by Fischer Francis Trees & Watts, Inc., Fischer Francis Trees & Watts UK Limited, Fischer Francis Trees & Watts Singapore Limited and fixed income assets of the Chicago office of Fortis Investment Management USA, Inc.

  10. Central Banks & Official Institutions are an Important Part of Our Business • Importance • Client base includes 17 Central Banks and 11 Supranationals, Official Institutions and Sovereign Wealth Funds • AUM at June 30, 2011, of US$30 billion • Experience • Client relationships with Central Banks since 1975 and Official Institutions since 1976 • Longest Central Bank relationship: 36 Years • Most recent Central Bank relationship: 2011 Mandate Geography Source: FFTW. Figures may not add to 100% due to rounding AUM (assets under management) data includes approximately US$12.5 billion in advisory assets and may as a result differ from AUM data disclosed on Form ADV. Further, AUM data is generally calculated based on current or recent market values. However, certain assets (including guaranteed investment contracts) are marked at book value. Such assets may represent a material portion of assets under management from time to time, so different asset pricing methodologies may result in different calculations of assets under management. As of June 30, 2011, the AUM data represents assets managed and/or advised by Fischer Francis Trees & Watts, Inc., Fischer Francis Trees & Watts UK Limited, Fischer Francis Trees & Watts Singapore Limited and fixed income assets of the Chicago office of Fortis Investment Management USA, Inc.

  11. FFTW Central Bank and Official Institution Business Geography Fixed Income Mandate Type Source: FFTW. Figures may not add to 100% due to rounding AUM (assets under management) data includes approximately US$12.5 billion in advisory assets and may as a result differ from AUM data disclosed on Form ADV. Further, AUM data is generally calculated based on current or recent market values. However, certain assets (including guaranteed investment contracts) are marked at book value. Such assets may represent a material portion of assets under management from time to time, so different asset pricing methodologies may result in different calculations of assets under management. As of June 30, 2011, the AUM data represents assets managed and/or advised by Fischer Francis Trees & Watts, Inc., Fischer Francis Trees & Watts UK Limited, Fischer Francis Trees & Watts Singapore Limited and fixed income assets of the Chicago office of Fortis Investment Management USA, Inc.

  12. Central Banks & Official Institutions – A Range of Mandates 11 Central Banks & Sovereign Wealth Funds Official Institutions As of May 31, 2011.

  13. FFTW Investment Organization Chart CEO, FFTW GLOBAL CIO, FFTW PRODUCT SOLUTIONS DIVISION INVESTMENT RISK & PERFORMANCE TEAM US GLOBAL SHORT DURATION & ABSOLUTE RETURN EMERGING DEBT CREDIT RESEARCH PORTFOLIO MANAGEMENT • Sourced from FFTW affiliate BNP Paribas Asset Management’s credit analyst resources ALPHA TEAMS QUANTITATIVE RESEARCH EMERGING DEBT STRUCTURED SECURITIES MONEY MARKETS GLOBAL RATES SECTOR ROTATION CURRENCIES 12

  14. Services for Central Banks & Official Institutions

  15. 14 Dedicated Training for Central Bank & Official Institution Clients Broad experience with training programs • Adviser/manager to central banks for over 30 years • Specialize in designing programs to meet client requirements • Work collaboratively with clients to ensure optimal relevance Multiple program types • General or topic specific programs • Junior to senior level trainees • Several days to one week FFTW Annual New York Central Bank Training Weeks • Two intensive training programs requiring focus and dedication from the participants • One week program focusing on portfolio management • Four day program on operations and back office topics specific to central banks • Small group size to maximize interaction • Focus on developing skills specific to the needs of those involved in reserve management • Lectures, discussions, quizzes and homework ensure knowledge retention Training is an ongoing and interactive process • Continued communication via telephone, e-mail, the Internet or video conference • Client access to investment professionals for questions, discussions or larger projects

  16. > 600 participants • 21 Client Training Programs: • 6 One week Seminars • 4 Seminars of 1 -2 days • 10 Half-day Workshops • 2 Internships of 2-3 weeks • 9 Locations: Paris, Amsterdam, Hong Kong, New York, Brussels, Frankfurt, Toronto, Montreal, Lagos 15 2010 Training Events at a Glance: BNP Paribas Investment Academy

  17. 16 BNP Paribas / FFTW Services for Central Banks and Official Institutions • Deep understanding of reserve management • Firm experience through 30+ years of working with central banks and official institutions • Dedicated coverage team who have worked with central banks and official institutions for over 20 years • Conservative portfolio management skills for central bank and official institution reserve portfolios • Investment management team includes former central bankers • Training for front office AND back office • An understanding of the need to teach our clients and not present to them • Full Range of BNP Paribas Banking Services Includes: • Deposits • Treasury functions • FX trades

  18. Why FFTW & BNPP IP

  19. Why FFTW and BNPP IP Focus exclusivelyon fixed income mandates for institutional investors with nearly 40 years of experiencein institutional asset management Systematic usage of multiple, diversified and distinct sources of alpha, generated by our specialized alpha teams, delivers customized client solutions Independent and sophisticated risk management processes monitor and control risk at every step of the investment process Global portfolio management team together with dedicated client service professionals facilitate building long-term relationships Part of the BNP Paribas organization providing the financial stability and global resources to strengthen our capabilities

  20. Appendix & Disclaimers

  21. 20 Additional Disclosures Opinions expressed are current as of the date appearing in this document only. This document is confidential and may not be reproduced or redistributed, in any form and by any means, without FFTW’s prior written consent. This document is provided for your reference on a private and confidential basis to discuss an existing or potential advisory relationship. You are invited to meet with FFTW to discuss any of the information provided herein or otherwise, including any and all terms (including fees) that may apply to the relationship. Past performance is not indicative of future results. The value of investments and the income derived from those investments may fluctuate over time such that the value of a portfolio at any given point in time may be more or less than its original value. No warranty is provided as to the performance or profitability of any portfolio or any part thereof, nor is any guarantee made that the investment objectives, expectations or targets described in this presentation or anywhere else will be achieved, including without limitation any risk control, risk management or return objectives, expectations or targets. A portfolio may suffer loss of principal, and income, if any, may fluctuate. The value of investments may be affected by a variety of factors, including, but not limited to, economic and political developments, interest rates and issuer-specific events, market conditions, sector positioning, and other factors. Performance results presented reflect the reinvestment of earnings. Performance results presented are gross of all fees, including management fees and, if applicable, performance fees. A portfolio’s returns will be reduced by all applicable fees and expenses. A description of management and performance fees is included in Part II of FFTW’s Form ADV. Below is an illustration of the effect of management and performance fees (where applicable) on portfolio returns. The illustration assumes that (i) the portfolio had a steady excess return, gross of fees, of 1% per year (examples A & B), (ii) the portfolio was subject to a yearly management fee of 15 basis points of the market value of the portfolio (examples A & B), (iii) the portfolio was subject to an annual performance fee of 20 percent of the net excess return of the portfolio for the year (example B only), and (iv) there were no cash flows during the period (examples A & B). The illustration shows the compounding effect of management and performance fees (where applicable) on portfolio returns over time, assuming that other factors such as investment return and fees remain constant. The illustration below is simplified. The difference between gross-of-fees and net-of-fees performance return will in practice depend on a variety of factors. The illustration below is cumulative and not annualized. These performance results may be presented by consultants to clients (or prospective clients) only in accordance with applicable law, including on a one-on-one basis and with required disclosures. Target/expected returns represent results of statistical modeling of return ranges of asset classes. They are provided for informational purposes only as of a certain date. There is no assurance that the target/expected returns set forth in this presentation will be achieved. Target/expected returns are subject to high levels of uncertainty regarding future economic and market factors that may affect actual future performance. Accordingly, target/expected returns are hypothetical and should be viewed as merely representative of a broad range of possible returns. Target/expected returns should not be construed as providing any assurance or guarantee as to returns that may be realized in the future from investments in any asset or asset class described herein. Target/expected returns are based on a number of assumptions, they are subject to significant revision and may change materially with changes in underlying assumptions that may occur, among other things, as a result of changes in economic and market conditions. FFTW has no obligation to provide recipients hereof with updates or changes to this data as assumptions, economic and market conditions, models or other matters change. The calculation of target/expected returns includes observations and/or assumptions and involves significant elements of subjective judgment and analysis. No representations are made as to the accuracy of such observations and/or assumptions and there can be no assurances that actual events will not differ materially from those assumed. In the event any of the assumptions used in this presentation do not prove to be true, results are likely to vary from those discussed herein.

  22. 21 Additional Disclosures The past performance of the representative portfolio is shown for illustrative purposes only in connection with a consideration of the proposed strategy. It represents performance of a portfolio with a fundamental investment objective that is similar to the investment objective of the strategy under consideration. Past performance is not indicative of future performance, and, in addition, the past performance of the representative portfolio does not represent the past or future performance of any other portfolio. The performance of the portfolio under consideration may differ from the performance of the representative portfolio due to a number of factors including, without limitation, potentially differing rates of fees and expenses applicable to each such portfolio, cash levels, investment timing issues, and regulatory considerations that could impact the performance of each portfolio relative to the other. Tracking volatility is one possible measurement of the dispersion of a portfolio’s returns from its stated benchmark. More specifically, it is the standard deviation of such excess returns. Tracking volatility is a figure that represents statistical expectations falling within a normal distribution of returns. Dependent on the measurement period, normal statistical distributions of returns suggests that approximately two thirds of the time the annual gross returns of the accounts will lie in a range equal to the benchmark return plus or minus the tracking volatility if the market behaves in a manner suggested by historical returns. Targeted tracking volatility therefore applies statistical probabilities (and the language of uncertainty) and so cannot be predictive of actual results. The returns that will actually be achieved may inherently lie outside of the range suggested by the historic tracking volatility. The actual tracking volatility is the result of many factors (including but not limited to market volatility, company specific anomalies, instability of correlation between benchmark holdings, timing differences between the calculation of the portfolio value and the valuation of the benchmark by the index provider). In addition, past tracking volatility is not indicative of future tracking volatility and there can be no assurance that the tracking volatility actually reflected in a portfolio will be at levels specified in the investment objectives. Comparisons to a benchmark are provided for informational purposes only. While FFTW seeks to design a portfolio that reflects appropriate risk and return characteristics, including in respect of sector weights, credit quality and duration, it should be understood that such characteristics, as well as portfolio volatility, may deviate to varying degrees from those of the benchmark. The risk management process described herein includes an effort to monitor and manage risk, but should not be confused with and does not imply low risk. This document is not to be construed as an offer to buy or sell any financial instrument. It is presented only to provide information on investment strategies and current financial market trends. The analyses and opinions contained in this document are those of Fischer Francis Trees & Watts, and are based upon information obtained by Fischer Francis Trees & Watts from sources which are believed to be reliable. Fischer Francis Trees & Watts provides no assurance as to the completeness or accuracy of the information contained in this document. Statements concerning financial market trends are based on current market conditions, which will fluctuate. Investment strategies which utilize foreign exchange may entail increased risk due to political and economic uncertainties. The views expressed in this document may change at any time. Information is provided as of the date indicated and Fischer Francis Trees & Watts assumes no duty to update such information. There is no guarantee, either express or implied, that these investment strategies work under all market conditions. Past performance is not a guarantee of future results. Readers should independently evaluate the information presented and reliance upon such information is at their sole discretion. The information contained herein (and any calculation of targeted/expected returns) includes estimates and assumptions and involves significant elements of subjective judgment and analysis. No representations are made as to the accuracy of such estimates and assumptions, and there can be no assurance that actual events will not differ materially from those estimated or assumed. In the event that any of the estimates or assumptions used in this presentation prove to be untrue, results are likely to vary from those discussed herein. Please note that FFTW utilizes pricing sources and methodologies which reflect market practice, including its own valuations if FFTW determines that valuation data from independent sources is not available or is unreliable. However, your custodian, who maintains the official books and records for your portfolio, may utilize different pricing sources resulting in deviations between FFTW’s and the custodian’s valuations. Further, from time to time financial markets may suffer periods of illiquidity caused by unusual volatility or extreme disturbances and prices realized could vary widely from recent valuations. Fischer Francis Trees & Watts, Inc. is registered with the US Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940, as amended. Fischer Francis Trees & Watts UK Limited is authorized and regulated by the Financial Services Authority. Registered in England No: 979759, registered office: 5 Aldermanbury Square, London, England, EC2V 7BP, United Kingdom. FFTW UK is also registered with the US Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940, as amended. Fischer Francis Trees & Watts Singapore Limited is registered with the Monetary Authority of Singapore for the conduct of Fund Management business and is the holder of a Capital Markets Services Licence. FFTW Singapore is also registered with the US Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940, as amended.