Asset Backed Securities

Asset Management – SFI Group
Asset Backed Securities
Robert Wakiyama, Multi Credit & Unconstrained
November 2014
Specialized Fixed Income Group
Overview
USD 10 billion assets under management
Comprehensive Offering
24 investment professionals with an average
of 13 years of experience
Absolute
Return
Global Developed and Emerging Market credit
solutions across sectors and rating categories
Relative and absolute return solutions with
customized benchmarks and investment guidelines
Multi Credit &
Unconstrained
Investment process with a fundamental and relative
value bottom-up security selection and top-down
macro strategy
Tailor-made investment solutions for UHNW
clients, family offices, independent asset managers,
pension funds and corporations
SFI Group
Asia
UHNW
Solutions
Risk management, investment controlling and
best execution are an integrated part of the
investment process
Sophisticated client reporting
Asset Management
Emerging
Markets
Global
Convertibles
Sources: Credit Suisse
As of 31.10.2014
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November 2014
2
Content
Introduction into Asset Backed Securities
Market Overview
ECB Covered Bond & ABS Purchase Program
Investor Considerations
Credit Suisse (Lux) Global Securitized Bond Fund
Asset Management
The disclaimer at the end is also applicable to this page.
November 2014
3
Tailwind for a Neglected Asset Class
Central Banks Drive the Revival of the Securitized Bond Market
Reuters
Financial Times
Bloomberg
Sources: Bloomberg, Financial Times, Reuters
Asset Management
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November 2014
4
Explaining Asset Backed Securities
Corporate Bonds versus ABS
Corporate Bond Investment
Asset Backed Security Investment
Deutsche Bank Senior Unsecured Bond:
German Mortgage Portfolio originated by DB:
Investor has to trust the management decisions
of the company, how to use the investment best
and to generate cashflows to repay the investment
+ interests
No company management is involved. The investor
has to know the investment
Investor has to understand the reporting standards
Investor has a transparent look-trough
of the investment and knows detailed parameter
and its changes by a monthly reporting
Cushion for loss absorption (equity) is calculated on
risk weighted assets and special reporting standards
Investor has to trust the originator for a due diligent
credit process and servicing
Cushion for loss absorption: how many mortgages
at which recovery rate could default without any loss
for the investment
Source: Credit Suisse
Asset Management
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November 2014
5
Securitized Bonds
Covered Bonds vs. ABS
Covered Bonds
Asset Backed Securities
Assets remain on the issuer’s balance sheet,
but legally and economically isolated.
Assets (true sale) will be transferred out of the
balance sheet into an SPV.
Protected by
Protected by
1. the claim against the issuer bank
1. solvency of a diversified pool of consumers
2. preferred claim to a defined pool of liabilities
2. pledged asset of the consumer
3. solvency of borrowers of the liability pool
3. lower ranked notes
SPV
Eligible
Assets
1
issue of
Covered Bonds
Assets
Simplified illustration.
Assets
Senior
Mezzanine
...Equity
Source: Credit Suisse
Asset Management
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November 2014
6
Explaining Asset Backed Securities
Who is Using ABS?
Example: Italian Banks
150.0
100.0
50.0
0.0
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
in bn USD
Example: Volkswagen
Issuance Italian ABS
Volkswagen is one of the most active issuer of ABS
globally (USD 16 bn outstanding ABS). The issuance of
ABS provide:
Over 25 Italian banks issued in the last 10 years ABS.
The issuance of ABS provide:
Diversification and building track record of securitized
funding
Diversification of funding and building track record
of securitized funding
Increase RoE buy selling lower yielding assets
2nd/3rd tier corporates access to the capital market
Refinancing leasing and auto loans in local currency
Increase RoE buy selling lower yielding assets
(mortgages)
Reduce RWA
Source: AFME & SIFMA, Volkswagen Credit Suisse As of 10.11.2014
Asset Management
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November 2014
7
Content
Introduction into Asset Backed Securities
Market Overview
ECB Covered Bond & ABS Purchase Program
Investor Considerations
Credit Suisse (Lux) Global Securitized Bond Fund
Asset Management
The disclaimer at the end is also applicable to this page.
November 2014
8
Global Securitized Market
Important Asset Class with USD 8 trillion Outstanding
US is still the biggest and most active market with a share of 66%.
Global Securitized Bond Market
19%
1%
Forms of Securitization
Secured bank
funding
Covered
Bonds
(Pfandbriefe)
16%
8%
56%
Covered Bonds
US MBS
US ABS
European ABS
other ABS
Mortgage
Assets other
than
Mortgages
Various
Financial
Assets
MBS
(Mortgage
Backed
Securities)
ABS
CDO
(Asset Backed (Collateralized
Securities)
Debt
Obligation)
Sources: Bloomberg, Sifma, Barclays, Credit Suisse
As of 10.11.2014
Asset Management
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November 2014
9
European ABS Market
Outstanding European ABS at 2007 Level
European ABS offer investors a broadly diversified and liquid alternative to invests in floating rate
notes
Over 90% of European ABS are Floating Rate Notes (for comparison: market size of European
corporate FRN only USD 0,32 trn)
Outstanding
3.5
1.2
3.0
1.0
2.5
0.8
0.6
0.4
2.0
1.5
1.0
0.2
0.5
0.0
0.0
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
in trn USD
1.4
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
in trn USD
New Issuance
Issuance European ABS
Outstanding European ABS
Sources: Bloomberg, Sifma, Barclays, Credit Suisse
As of 10.11.2014
Asset Management
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November 2014
10
European ABS Market
2014 - First Time more Upgrades than Downgrades
2/3 of outstanding European ABS are rated AAA and AA. Even senior tranches of peripheral
European issuer can receive ratings above the sovereign rating due to a high credit protection
(e.g., some new issued Italian Senior Auto ABS are rated AA by S&P)
2014: the upgrade to downgrade ratio shifted for the first time positive for European ABS
Current Outstanding Rating
1%
3%
5%
Rating Changes since 2007
1% 7%
4000
2869
2000
0
9%
-2000
46%
-1311
-4000
10%
-6000
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
-8000
18%
AAA
AA
A
BBB
BB
B
CCC
CC
C
Upgraded
NR
Downgraded
Sources: Bloomberg, Citi, Moody’s, S&P, Fitch, Credit Suisse
As of 10.11.2014
Asset Management
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November 2014
11
European ABS Market
Current and Historical Spreads
Yield pick up versus other high rated credit solutions with low interest rate sensitivity such as floating
rate notes and short term bonds
2007–2009 undifferentiated illiquidity crisis of the asset class turning since 2009 into a performance
correlated to the underlying risk
Current Senior ABS Spreads
Historical Spreads
700
180
600
Risk premium
120
90
60
500
400
300
200
100
30
EU Auto Senior
NL RMBS
UK RMBS
FR RMBS
UK Credit Card
IT RMBS Senior
SP RMBS senior
UK RMBS NC
EU CMBS Senior
POR RMBS Senior
Asset Management
October-06
April-07
October-07
April-08
October-08
April-09
October-09
April-10
October-10
April-11
October-11
April-12
October-12
April-13
October-13
April-14
October-14
-
0
EU CLO AAA
Risk Premium
150
IT RMBS
IT Covered Bonds 5y
UK RMBS
Sources: Bloomberg, Barclays, Moody’s, S&P, Fitch, Credit Suisse
As of 10.11.2014
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November 2014
12
Global Securitized Bond Market
Low Defaults in European ABS, Zero Defaults in Covered Bonds
Default probability of prime European ABS and corporate bonds is historically comparable
Focus Universe
10 years Corporates Covered
Bonds
EMEA
ABS
APAC
ABS
US ABS
ex
Subprime
Excluded
US
CMBS
Global
CLO
Global
CDO
US ABS
Subprime
Aaa
0.0
0.0
0.1
0.0
1.2
0.5
0.0
24.1
9.8
Aa
0.4
0.0
3.4
0.1
6.4
4.1
0.0
39.1
52.1
A
2.6
0.0
3.5
3.8
7.9
14.8
0.1
47.9
74.6
Baa
6.1
0.0
8.5
11.2
26.3
23.8
3.4
55.3
81.6
Ba
22.2
–
19.1
30.8
54.7
51.8
13.8
52.9
87.5
B
34.9
–
27.7
48.2
56.2
74.4
31.2
45.3
100.0
Caa–C
80.7
–
56.3
–
100.0
88.8
–
55.4
100.0
Investment Focus
1
CLOs (Collateralized Loan Obligations): ABS secured with senior secured loans.
For illustrative purpose only.
Asset Management
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Sources: Moody’s, Credit Suisse
November 2014
13
Content
Introduction into Asset Backed Securities
Market Overview
ECB Covered Bond & ABS Purchase Program
Investor Considerations
Credit Suisse (Lux) Global Securitized Bond Fund
Asset Management
The disclaimer at the end is also applicable to this page.
November 2014
14
ECB Covered Bond & ABS Purchase Program
Instrument to Control More Directly the Monetary Base
The impact of the interaction could be (1) potential squeeze of funding cost and (2) increased return
on equity, which remains with the issuing bank
Target is (1) to incentivize banks to sell more assets in ABS from the balance sheet & (2) issue new
loans to the real economy
Asset Backed Security1
1
Current cost of funding
Potential Impact of ABSPP
Senior Notes
Rating AAA
Libor +1.1%
Libor +0.5%
Mezzanine Notes
Rating A
Libor + 2,1%
Libor + 1.5%
Equity (retained
from the issuer)
Excees
Spread (9%)
Excees
Spread (15%)
Simplified illustration. For illustration purpose only. Assumption of an average yield on the mortgage portfolio of 2%.
Asset Management
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Source: Credit Suisse
November 2014
15
ECB Covered Bond & ABS Purchase Program
Ambitious Target for New Purchase Program
The ECB started it’s 3rd purchase program end of October 2014 and bought within the first 3 weeks
already EUR 10bn European covered bonds.
Expected start of the ABS purchase program end of November
ECB Purchase Program: targets (in bn EUR)
ECB Purchase Program: realized (in bn EUR)
1200
80
1000
60
800
600
40
400
20
200
0
0
2009/2011
2011/2012
2014/2016
Covered Bond PP 1
Covered Bond PP 2
Covered Bond PP 3
ABS PP
Target
2009/2011
2011/2012
2014/2016
Covered Bond PP 1
Covered Bond PP 2
Covered Bond PP 3
ABS PP
Sources: Bloomberg, ECB, Credit Suisse As of 10.11.2014
Asset Management
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November 2014
16
Key Developments in the ABS Market
Investor sentiment
Awareness of inherent risks of the asset class
Risk retention
Issuer of ABS in Europe have to retain a certain portion of the first loss tranche of each investment.
This exposes issuers directly to the risk of each transactions and can mitigate the risk of moral hazard
and a negative selection bias of the assets in ABS.
Transparency
Central banks introduced new measures to address information asymmetry with the securitization
process. The new transparency requirements for ABS are now considerably above the requirements
for other assets classes, e.g., Covered bonds.
Regulatory environment
The regulatory framework in Europe and US currently differ in essential points. An international
alignment would be more supportive for an efficient and liquid market.
Source: Credit Suisse
Asset Management
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November 2014
17
Content
Introduction into Asset Backed Securities
Market Overview
ECB Covered Bond & ABS Purchase Program
Investor Considerations
Credit Suisse (Lux) Global Securitized Bond Fund
Asset Management
The disclaimer at the end is also applicable to this page.
November 2014
18
Investor Considerations
Low Interest Rate Sensitivity Thanks to Floating Rate Structure
ABS provide a liquid investment solution to reduce interest rate risk
Attractive relative value for short term high rated credit risk
Performance after announcement of the FED tapering
110
3.0
108
Performance
106
2.0
104
1.5
102
1.0
100
98
Aug-12
0.5
Nov-12
Feb-13
May-13
CS Global Securitized Bond Fund
Aug-13
Nov-13
Feb-14
Barclays Global Agg Corp A
May-14
Aug-14
5 year US government yield (rhs)
Historical performance indications and financial market scenarios are no reliable indicator for current or future
performance. Performance indications do not consider commissions levied at subscription and/or redemption.
Asset Management
Interest Rate in %
2.5
The disclaimer at the end is also applicable to this page.
Sources: Barclays Global Agg Index, Credit Suisse
As of 31.10.2014
November 2014
19
Investor Considerations
Low Correlation to Other Asset Classes
ABS show low return correlations to equities and other fixed income asset classes. Hence, adding
securitized assets allows for additional alpha sources while simultaneously reducing risk.
A multi asset class portfolio offers a higher degree of diversification and better risk/return
characteristics
ABS
Equities
Corporate
Bonds
Government
Bonds
Inflation
Linked
High Yield
ABS
1.00
Equities
0.03
1.00
Corporate Bonds
0.20
(0.10)
1.00
Government Bonds
0.01
(0.36)
0.75
1.00
Inflation Linked
0.10
(0.19)
0.69
0.77
1.00
High Yield
0.22
0.64
0.41
(0.05)
0.07
1.00
Emerging Market
0.06
0.44
0.51
0.27
0.29
0.72
Historical performance indications and financial market scenarios are no reliable
indicator for current or future performance.
Asset Management
Emerging
Market
1.00
Sources: Bloomberg, Credit Suisse, JP Morgan, Citigroup, Barclays
Fas of 30.09.2009–31.08.2014
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November 2014
20
Investor Considerations
Conservative Investment Approach
Cash
7%
Liquidity
and Short
Term
Fixed Income
High Yield
6%
Senior Secured
Loans
Yield
Yield
5%
Emerging
Market High Yield
4%
Credit Suisse
Global
Securitized
Bd Fd
3%
2%
1%
0%
Cash
0%
US Broad IG
Global Government
US IG
1-3y Floating Rate
Notes
1%
2%
3%
4%
5%
6%
7%
8%
9%
Volatility
Volatility
Historical performance indications and financial market scenarios are no reliable
indicator for current or future performance. For illustrative purpose only.
Asset Management
The disclaimer at the end is also applicable to this page.
Sources: Barclays, JPM, Citigroup, Credit Suisse
November 2014
21
Content
Introduction into Asset Backed Securities
Market Overview
ECB Covered Bond & ABS Purchase Program
Investor Considerations
Credit Suisse (Lux) Global Securitized Bond Fund
Asset Management
The disclaimer at the end is also applicable to this page.
November 2014
22
Credit Suisse (Lux) Global Securitized Bond Fund
Fund Performance (Net) versus Peers
130
120
110
100
90
80
70
60
Mar 08
Mar 09
Mar 10
Mar 11
Mar 12
Mar 13
CS Global Securitized Bond Fund USD
Julius Baer ABS Fund
Legg Mason Adj Rate Income Fund
Amundi ABS fund
Historical performance indications and financial market scenarios are no reliable indicator for
current or future performance. Performance indications do not consider commissions levied at
subscription and/or redemption.
Asset Management
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Mar 14
Sources: Bloomberg, Credit Suisse
As of 31.10.2014
November 2014
23
Credit Suisse (Lux) Global Securitized Bond Fund
Portfolio Overview
Key Figures
Maturity in Years
Reference Currency
Industry Sector Allocation
USD
00-01
12.0%
RMBS
25.8%
HEDGED
01-02
10.8%
CLO
16.8%
1.41%
02-03
18.4%
COMMERCIAL MBS
14.3%
0.25
03-04
19.2%
COVERED BOND
8.1%
Number of Positions
285
04-05
21.9%
RMBS NC
8.0%
Average Rating
AA-
05-07
11.3%
STUDENT LOAN ABS
5.4%
Average maturity in years
3.75
07-10
5.5%
AUTOMOBILE ABS
5.3%
Top 10 issuer cumulated
20.4%
10-15
0.7%
BANKS
4.1%
Largest Position
1.59%
15-20
0.2%
SME ABS
3.6%
20+
0.0%
CREDIT CARD ABS
3.2%
OTHER
5.4%
BM type
Portfolio Yield
Modified Duration
Current AuM in m
Data as of
1356
31.10.14
0%
20%
40%
Historical performance indications and financial market scenarios are no reliable indicator for
current or future performance. Performance indications do not consider commissions levied at
subscription and/or redemption
Asset Management
The disclaimer at the end is also applicable to this page.
Sources: Bloomberg, Credit Suisse
As of 31.10.2014
November 2014
24
Credit Suisse (Lux) Global Securitized Bond Fund
Portfolio Overview
Top Positions
Country Allocation
Rating Allocation
SIENA 2010-7 A3
1.6%
UNITED KINGDOM
20.8%
AAA
51.2%
STORM 2014-3 A2
1.2%
UNITED STATES
20.1%
AA+
12.1%
CHSNT 2014-1 A
1.2%
ITALY
12.4%
AA
9.4%
BCARD 2014-1X A
1.2%
PAN-EUROPE
11.3%
AA-
2.1%
OKK 1 A
1.1%
NETHERLANDS
8.6%
A+
3.8%
1.1%
GERMANY
5.0%
A
12.8%
9.3%
WESTPAC BANKING
BSCMS 2005-T20 A4A
1.1%
AUSTRALIA
4.6%
A-
ALBA 2011-1 A2
1.1%
LUXEMBOURG
4.5%
BBB+
GFUND 2014-1 A2
1.1%
FRANCE
3.9%
BBB
-1.5%
TAURS 2013-GMF1 B
1.0%
NORWAY
3.3%
BBB-
0.5%
PARGN 20 A
0.9%
PORTUGAL
1.4%
BB+
0.0%
MODA 2014-1 A
0.9%
SWEDEN
1.3%
BB
0.0%
BERAB 3 A
0.9%
OTHER
2.8%
< BB
0.0%
Historical performance indications and financial market scenarios are no reliable indicator for
current or future performance. Performance indications do not consider commissions levied at
subscription and/or redemption
Asset Management
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0.4%
Sources: Bloomberg, Credit Suisse
As of 31.10.2014
November 2014
25
Credit Suisse (Lux) Global Securitized Bond Fund
Avoid High Risk Bucket within Second Tier Assets
Italian ABS
6.0%
2.0%
5.0%
1.5%
4.0%
3.0%
1.0%
2.0%
0.5%
1.0%
0.0%
0.0%
0–1
1–3
3–5
7+
5–7
CS Global Securitized Bond Fund
AA+
BM
AA
AA-
A+
A
A- BBB+ BBB BBB- BB+
CS Global Securitized Bond Fund
BM
UK RMBS Non-conforming
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
8.0%
6.0%
4.0%
2.0%
0–1
1–3
3–5
CS Global Securitized Bond Fund
7+
5–7
BM
0.0%
AA+
AA
A+
A
A-
CS Global Securitized Bond Fund
Data for illustrative purpose only.
Asset Management
AA-
BBB+ BBB BBBBM
Sources: Bloomberg, Credit Suisse
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November 2014
26
Summary
Market Highlights
Central banks highlight the importance
of ABS and provide the basis of being
an active player in the ABS market
The floating rate profile of ABS provides
a protection against rising interest rates
Securitized bonds offer diversification
benefits due to low correlation to other
asset classes
Fund Highlights
Conservative investment approach
focusing on securitizations of prime assets
with high seniority allows the generation of
low volatile returns
The fund has daily liquidity and targets
an average AA-rating
Current portfolio yield offers a pick-up
versus floating rate notes and short term
bonds
Broad diversification across countries,
collateral types and issuers to limit credit
risk
Historical performance indications and financial market scenarios are no reliable indicator for current or future performance.
Asset Management
The disclaimer at the end is also applicable to this page.
Source: Credit Suisse
As of 31.10.2014
November 2014
27
Credit Suisse (Lux) Global Securitized Bond Fund
Key Facts
Fund name
Credit Suisse (Lux) Global Securitized Bond Fund
Domicile
Luxembourg
Platform
Credit Suisse Investment Funds 1
Investment Advisor
Credit Suisse Asset Management, Zurich
Currency share classes
USD/EUR/CHF/GBP (hedged share classes – other currencies and distribution share classes available on request)
Investment objective
The fund targets sustainable returns with limited volatility
Benchmark
Barclays 50% US ABS FRN + 50% Pan Euro ABS FRN ex Spain
Minimum investment
EB and EBH classes: one unit; IB and IBH classes: 1,000,000 (in share class currency)
EU taxation
In Scope
Liquidity and subscriptions Daily, with cutoff at 3:00 p.m. CET
Share Classes
Management Fee Expected TER1
Valor no.
ISIN Number
Institutional/HNWI
IB
(USD, accumulating)
0.42%
0.57%
23727978
LU1034382256
Institutional/HNWI
IBH
(EUR hedged, accumulating)
0.42%
0.57%
23729139
LU1034382413
Institutional/HNWI
IBH
(CHF hedged, accumulating)
0.42%
0.57%
23729088
LU1034382330
Institutional/HNWI
IBH
(GBP hedged, accumulating)
0.42%
0.57%
23729148 LU1034382504
Institutional/discretionary
EB
(USD, accumulating)
0.42%
0.55%
3679006
LU0340000263
Institutional/discretionary
EBH
(EUR hedged, accumulating)
0.42%
0.55%
3679016
LU0340000933
Institutional/discretionary
EBH
(CHF hedged, accumulating)
0.42%
0.55%
3679019
LU0340001154
1
Estimated expected TER, including custody, admin, tax d’abo, others.
Asset Management
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Source: Credit Suisse
November 2014
28
Investment Management Team
Credit Suisse (Lux) Global Securitized Bond Fund (1/2)
Oliver R. Gasser
Head Multi
Credit Solutions
Dominique Gilgen
Co-Manager of the CS (Lux) Global
Securitized Bond Fund
Securitization Expertise: Since 2002
Securitization Expertise: Since 2009
Focus on US & European CMBS and RMBS
Focus on European RMBS & CMBS as well as
Structuring Balance Sheet Securitization
Consumer ABS
Senior PM multi-credit strategies/asset allocation advise
Macroeconomic ABS strategy
Previous Positions:
2002–2007 Head Structuring Securitization at UBS loan
book (focus on RMBS, CMBS and B/S CLOs).
1990–2002 Fixed Income Trading and Sales
at Credit Suisse.
Previous Positions:
Research assistant at the institute of financial management
at the University of Bern, responsible for the development
of quantitative models and tools for resolving financial and
economic question.
Mr. Gasser holds a Degree in BA from the University
of Applied Sciences Zurich and qualified as a Chartered
Financial Analyst (CFA) in 2006.
Dominique Gilgen qualified as Chartered Financial Analyst
(CFA) and holds a Master of Science in Economics from
the University of Bern with focus on financial market theory
and econometrics.
Asset Management
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November 2014
29
Investment Management Team
Credit Suisse (Lux) Global Securitized Bond Fund (2/2)
Robert Wakiyama
Co-Manager of the CS (Lux) Global
Securitized Bond Fund
Securitization Expertise: Since 2004
Focus on global CDOs & US ABS market
Covered Bonds specialist
Structured Credit Modeling
Previous Positions:
2007–2012 Fixed Income Portfolio Manager at Clariden
Leu: In charge of the global ABS and CDO investments
of the Asset Management.
2004–2007 Analyst for CDO & ABS and Structured Credit
Modeling at LBBW.
2000–2004 Risk Management & Private Banking
at LBBW.
Laura Slater
Fixed Income Portfolio Manager
Fund
Securitization Expertise: Since 2006
Focus on European Credit Card and Consumer ABS
Previous Positions:
2004–2006 Fixed Income Portfolio Manager at VP Bank.
2000–2004 Private Client Portfolio Manager at Bank Leu.
Mrs. Slater graduated in Economics, Financial Planning
and Asset Planning from the University of St. Gall in 1999
and successfully qualified as a Certified International
Investment Analyst (CIIA) in 2002.
Mr. Wakiyama graduated from the University of
Hohenheim with a Masters degree in Economics.
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