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AHFM Structured Products Fund. January 2014.
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AHFM Structured Products Fund January 2014 This is a marketing communication and has not been prepared in accordance with legal requirements designed to promote independence of investment research and is not subject to any prohibition of dealing ahead of the dissemination of investment research.The information in this document is derived from sources believed to be reliable but which have not been independently verified. Any prices included within this communication are for indicative purposes only. Atlantic House Fund Management LLP makes no guarantee of its accuracy and completeness and is not responsible for errors of transmission of factual or analytical data, nor is it liable for damages arising out of any person’s reliance upon this information. All charts and graphs are from publicly available sources or proprietary data. The opinions in this document constitute the present judgment of Atlantic House Fund Management LLP, which is subject to change without notice. This document is neither an offer to sell, purchase or subscribe for any investment nor a solicitation of such an offer. This document is intended for the use of institutional and professional customers and is not intended for the use of private customers. This document is not intended for distribution in the United States of America or to US persons. This document is intended to be distributed in its entirety. No consideration has been given to the particular investment objectives, financial situation or particular needs of any recipient. Atlantic House Fund Management LLP registered in England and Wales, Registered Office: One Eleven Edmund Street, Birmingham, B3 2HJ. Registration Number: OC376604, FCA Reference: 586302.
Contents Why Launch? Can it work? Current Parameters Collateral Summary Background Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Why Launch? Rationale • Investors have consistently identified the need for a Collective Investment structured product solution to address the following: • Ineligibility of direct securities such as institutional structures in Offshore Life Assurance Bonds • Difficulty in including closed-end securities in Model Portfolio Services • Managers not wanting to self-select individual securities Background Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 AHFM Structured Product Fund Investment Objective To generate medium to long-term growth by investing in a diversified portfolio of structured investments and derivatives linked to underlying assets. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Capturing value? Background Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Surprised? * Based upon CLS pricing models as at 30th December 2013 lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Defined returns – autocall backtest (UPDATE) Background Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 AC Yr 2 Coupon = 2*12.29% AC Yr 1 Coupon = 1*10.53% AC Yr 1 Coupon = 1*9.56% AC Yr 2 Coupon = 2*10.34% AC Yr 6 Coupon = 6*8.58% AC Yr 2 Coupon = 2*8.60% AC Yr 1 Coupon = 1*9.36% AC Yr 1 Coupon = 1*10.17% AC Yr 1 Coupon = 1*9.56% AC Yr 1 Coupon = 1*10.34% AC Yr 1 Coupon = 1*9.95% AC Yr 1 Coupon = 1*12.29% AC Yr 3 Coupon = 3*12.25% These figures represent simulated past performance, based upon the actual returns of the FTSE Price and Total Return Index. Past performance is not a reliable indicator of future performance. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Current bid price of JPM 481 FTSE/S&P Defensive Autocall is 103.96p (CLS secondary market reference #481 on 11-Sep-13 closing bid) SimulatedAutocall portfolio outperformance over FTSE total return = 173.67% to date Cumulative performance (not mark-to-market!) Background Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 These figures represent simulated past performance, based upon the actual returns of the FTSE Price and Total Return Index. Past performance is not a reliable indicator of future performance. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Historical performance – one structure Background Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 These figures represent simulated past performance, based upon the actual returns of the FTSE Price and Total Return Index. Past performance is not a reliable indicator of future performance. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Investment Guidelines • Market Exposure • Predominantly major global equity indices with a bias to the UK, in either single or multi index payoffs. • At outset, only structures that provide for positive return, even in a down market will be included in the portfolio. • Credit Exposure • At outset, only issuers or counterparties with a credit rating of at least single A- will be included. • Issuer or counterparty downgrades will trigger an Investment Committee review. • 10% maximum exposure to any one single counterpart or issuer and subject to “5, 10, 40 rule”. • No more than 5% of fund’s assets in any one single security. Background Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Performance Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Current Parameters • Current Asset Allocation • Market Risk • Credit Risk • Summary of Barriers Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Based upon the portfolio as at 31st December 2013 lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Current Parameters Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Based upon invested portfolio as at 31st December 2013 Note: Calculations do not consider credit spread movements of the issuers of the securities. The MTM of the securities and therefore the NAV of the fund will decrease as credit spreads widen and vice versa if spreads narrow. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Greeks per Investment Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Based upon invested portfolio as at 31st December 2013 Note: Calculations do not consider credit spread movements of the issuers of the securities. The MTM of the securities and therefore the NAV of the fund will decrease as credit spreads widen and vice versa if spreads narrow. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Intrinsic value for certain market moves Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Based upon invested portfolio as at 31st December 2013 Note: Calculations do not consider credit spread movements of the issuers of the securities. The MTM of the securities and therefore the NAV of the fund will decrease as credit spreads widen and vice versa if spreads narrow. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
GRY for certain market moves Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Based upon invested portfolio as at 31st December 2013 Note: Calculations do not consider credit spread movements of the issuers of the securities. The MTM of the securities and therefore the NAV of the fund will decrease as credit spreads widen and vice versa if spreads narrow. lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Why buy a Gilt? Investor Market Return Cash Market Libor +4!! Libor +4!! Gilt flows - fixed SP payoff: Autocall, Digital, etc Fund Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Sell CDS? Cash Receive 100bps p.a? Gilt Market Market lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Summary • Continue to steadily invest • Consider selling some existing investments – those with low GRY • Won’t be a smooth 7% per annum – think autocallbacktest • Continue to buy low! • Try and Sell high! Background Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
Disclaimer The information in this document is derived from sources believed to be reliable but which have not been independently verified. Atlantic House Fund Management makes no guarantee of its accuracy and completeness and is not responsible for errors of transmission of factual or analytical data, nor is it liable for damages arising out of any person’s reliance upon this information. All charts and graphs are from publicly available sources or proprietary data. The opinions in this document constitute the present judgment of Atlantic House Fund Management, which is subject to change without notice. This document is neither an offer to sell, purchase or subscribe for any investment nor a solicitation of such an offer. This document is intended for the use of institutional and professional customers and is not intended for the use of private customers. This document is not intended for distribution in the United States of America or to US persons. This document is intended to be distributed in its entirety. No consideration has been given to the particular investment objectives, financial situation or particular needs of any recipient. Atlantic House Fund Management LLP registered in England and Wales, Registered Office : One Eleven Edmund Street, Birmingham, B3 2HJ. Registration Number: OC376604, FCA Reference: 586302 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 lantic House, 72 New Bond Street, London, W1S 1RR Regulated by The Financial Conduct Authority FRN: 586302.
