Global High-Yield - westernasset.co.jp.

2Q
2 0 1 4
Investment Report
Global High-Yield
Exhibit 1
Market Review
Barclays Global High-Yield Bond Index Returns
The Barclays Global High-Yield
Bond Index (USD-hedged) reQTD
YTD
QTD
YTD
YTW
OAS
turned 3.00% in 2Q14 and genTotal Return
Total Return
Excess Return
Excess Return
erated 200 basis points (bps) of
2Q14
3.00%
6.06%
200 bps
402 bps
5.02%
365 bps
excess returns. The Index has
generated positive total and
Source: Barclays Global High-Yield Index, USD Hedged Values
excess returns for the fourth
The Barclays 2% Issuer-Constrained US High-Yield Index returned
straight quarter. The yield curve flattened over the period as 10+2.41% in 2Q14 and outperformed duration-neutral UST by 137
year maturity US Treasury (UST) yields fell by approximately 19 bps,
bps. The Index yield-to-worst (YTW) declined month-over-month
while front-end rates were essentially unmoved. The majority of
to a record low 4.91%. The option-adjusted spread (OAS) of the
the rate decline occurred in April and May as expectations for the
Index narrowed 21 bps, ending June at 337 bps. Trading volume in
Federal Reserve’s (Fed) first rate rise continued to be deferred.
high-yield bonds in the second quarter was $450.6 billion versus
$385.2 billion in 2Q13 according to TRACE (Trade Reporting and
Economic data released throughout the second quarter were
Compliance Engine), a FINRA unit that aggregates trading volumes
generally mixed, and continued to indicate that US GDP would
on a daily basis. Monthly trading volumes have averaged $126.1
grow at a slow and steady pace. While manufacturing readings
billion during the last 12 months. Moody’s Investor Services had
showed signs of strength, consumption reports were weaker than
not updated its default study to include June data by July 7. For
forecast. The benign environment favored credit spread tightenthis month’s report we provide default data calculated by Credit
ing, although risk sentiment softened at times. This phenomenon
Suisse. Credit Suisse counted two defaults in June, and as measured
was most directly echoed in UST yields, which continued to fall
by percentage of issuers in the Credit Suisse High-Yield Index, it
from their local highs. The European Central Bank (ECB) provided a
reported the trailing 12-month issuer-weighted default rate of
meaningful boost to performance when it announced a package
1.96%, down from 2.13% at the end of May 2014. US high-yield
of policies designed to spur lending and growth across the Atlantic.
mutual funds experienced net inflows of $1.4 billion in June acWhile a second round of longer-term refinancing operations and
cording to Lipper, raising the YTD net inflow total to $4.3 billion.
unsterilized asset purchases drove risk sentiment to improve, the
High-yield new issuance totaled $101.4 billion for the quarter versus
quarter also saw some concerns over geopolitical conflicts. Risk
$79.4 billion in 2Q13. For the trailing 12 months ending with June
appetites were hurt by rebel activity in Iraq threatening to turn
2014, gross new issuance totaled $149.9 billion and $84.6 billion
into an international conflict. With uncertainty surrounding US
on a net basis after consideration of refinancing.
GDP growth and troubles abroad, investors continued to buy
fixed-income risk assets and to defer expectations of rate rises
The Barclays EM High-Yield Index was up 6.26% during the second
from the Fed. The continuing economic data trend of one step
quarter and outperformed similar-duration UST by 498 bps. Emergforward, one step back has provided a backdrop for solid perforing market (EM) debt continued to outperform. Both the index
mance from the high-yield sector as we saw in June, as well as
YTW and OAS declined over the second quarter, ending at 7.01%
year-to-date (YTD). The trend has resulted in conservative balance
and 532 bps, respectively. EM high-yield has by far the cheapest
sheet management and has encouraged companies to maintain
valuations within the global market currently.
historically high liquidity metrics. While the US economy faltered
in 1Q14, high-yield companies reduced net debt issuance yearEuropean issuers pulled back from their recent trend of outperforover-year (YoY) and continued to take advantage of low rates by
mance, reflecting our assessment that European valuations were
refinancing existing debt at lower cost of funds. Coverage ratios
richest at the end of 1Q14. The Barclays Pan-European High-Yield
remained at or above their all-time highs.
© Western Asset Management Company 2014. This publication is the property of Western Asset Management Company and is intended for the sole use of its clients, consultants, and
other intended recipients. It should not be forwarded to any other person. Contents herein should be treated as confidential and proprietary information. This material may not be
reproduced or used in any form or medium without express written permission.
Global High-Yield
Index (USD-hedged) returned 2.10% and outperformed durationneutral UST by 134 bps over the period. The OAS of the market
was flat at 298 bps. Yields also fell, reaching 3.61% at the end of the
quarter, down from 3.82% at the beginning. Valuations continue
to be the richest in Europe. Spreads in Europe are 39 bps tighter
than in the US (the next closest global region) and yields are 1.30%
lower. The default rate in Europe fell meaningfully over the quarter, according to Moody’s. The trailing 12-month issuer-weighted
default rate declined by 0.5% to 2.2% at the end of 2Q14. A year
ago, the default rate was 3.44%. Moody’s expects the default rate
to fall further by the end of 2014, declining to 1.01%.
just 2.73% for similar-duration UST. Meanwhile the Credit Index
OAS has narrowed from +1807 bps to +337 bps from December
2008 to June 2014.
Given these metrics and the extended length of the credit market’s recovery, it’s understandable for those with little historical
reference and regard for credit fundamentals to conclude that
de-risking or reducing one’s credit exposure would be an appropriate course of action. Many investors did just that when the
OAS hit +600 then +500, and again at +450, 400 and finally at
+350. However understandable these investors’ actions were, at
each juncture they would have de-risked too early. Western Asset has made many adjustments to our high-yield portfolios over
this time, but one aspect has remained consistent: our portfolios
have consistently remained higher-yielding than the Index. This
strategy has been driven by our view that favorable fundamental
and technical backdrops should result in historically low default
rates and our belief that a low default rate environment favors
higher-yielding issues.
Performance Review
The Global High-Yield Composite returned 3.06% in 2Q14, edging
out the performance of its benchmark, the Barclays Global HighYield Index (USD-hedged), which gained 3.00%. Regional biases
had little impact on overall performance for the quarter. The strategy benefited from an underweight to European issuers, which
performed the worst over the period. However, an overweight to
US issuers had a negative impact that mostly offset this. From a
quality perspective, the strategy benefited from an overweight
to lower-quality bonds, although an overweight to CCCs was a
detractor. However, we also maintained an overweight to single
Bs, which were the top index performer for the period. Issue selection had a marginally positive impact on relative performance.
Positions that outperformed included sovereign debt issued by
Venezuela, Turkey and Mexico. At the same time, positions in
Gymboree (GYMB) and Mirabella Nickel (ATIAU) detracted as the
credits underperformed.
From a fundamental perspective, while the US economy posted a
miserable -2.9% growth rate in 1Q14, high-yield companies posted
an impressive YoY 10% growth in EBITDA. 1Q14 marked the fourth
consecutive quarter of increasing EBITDA. In terms of the market’s
technical position, high-yield companies have reduced the amount
of debt maturing (and in most cases needing to be re-financed)
in the period 2014–2016 from over $300 billion in 2008 to under
$100 billion today. Though we have seen a dramatic improvement
in high-yield valuations since the financial crisis, current valuations
remain wide of the average valuation for the three-year period
before June 2007. From June 2004 through June 2007, the average month-end OAS reading of the Barclays US High-Yield Index
was 319 bps with a tight of 238 bps reached in May 2007. While
it’s debatable that high-yield valuations will ascend to these levels
again, in our view, given current market conditions, we believe the
risk/reward profile favors further valuation improvement.
Outlook
The high-yield market made new post-financial-crisis bests in
June. The OAS of the Barclays US High-Yield Bond Index finished
2Q14 at +337 bps, its lowest reading since the eruption of the
financial crisis in June 2007; in addition, the Index’s YTW ended
June at 4.91%, an all-time low. Since December 2008 when the
credit market recovery began in earnest, the Barclays US High-Yield
Bond Index has generated an annualized return of 19.38% versus
For more information on Western Asset visit our website
at www.westernasset.co.jp.
Past results are not indicative of future investment results. Investments are not guaranteed and you may lose money. This publication is for informational purposes only and reflects the
current opinions of Western Asset Management. Information contained herein is believed to be accurate, but cannot be guaranteed. Opinions represented are not intended as an offer
or solicitation with respect to the purchase or sale of any security and are subject to change without notice. Statements in this material should not be considered investment advice.
Employees and/or clients of Western Asset Management may have a position in the securities mentioned. This publication has been prepared without taking into account your objectives, financial situation or needs. Before acting on this information, you should consider its appropriateness having regard to your objectives, financial situation or needs. It is your
responsibility to be aware of and observe the applicable laws and regulations of your country of residence. Potential investors in emerging markets should be aware that investment in
these markets can involve a higher degree of risk.
Western Asset Management Company Distribuidora de Títulos e Valores Limitada is authorised and regulated by Comissão de Valores Mobiliários and Banco Central do Brasil. Western
Asset Management Company Pty Ltd ABN 41 117 767 923 is the holder of the Australian Financial Services Licence 303160. Western Asset Management Company Pte. Ltd. Co. Reg. No.
200007692R is a holder of a Capital Markets Services Licence for fund management and regulated by the Monetary Authority of Singapore. Western Asset Management Company Ltd is
a registered financial instruments dealer whose business is investment advisory or agency business, investment management, and Type II Financial Instruments Dealing business with
the registration number KLFB (FID) No. 427, and members of JIAA (membership number 011-01319) and JITA. Western Asset Management Company Limited (“WAMCL”) is authorised
and regulated by the Financial Conduct Authority (“FCA”). In the UK this communication is a financial promotion solely intended for professional clients as defined in the FCA Handbook
and has been approved by WAMCL.
Western Asset
2
Second Quarter 2014
パフォーマンス・ディスクロージャー
2013年12月31日現在
䉫䊨䊷䊋䊦䊶䊊䉟䊶䉟䊷䊦䊄␠ௌ䉮䊮䊘䉳䉾䊃
ญᐳᢙ
䊃䊷䉺䊦䊥䉺䊷䊮
䉫䊨䉴
䊈䉾䊃
䉮䊮䊘䉳䉾䊃⸳ቯᣣ䋺㪉㪇㪇㪍ᐕ㪈㪇᦬㪈ᣣ㩷㩷㩷㫓㩷㩷㩷䉮䊮䊘䉳䉾䊃૞ᚑᣣ䋺㪉㪇㪇㪐ᐕ㪐᦬㪉㪋ᣣ
䊔䊮䉼䊙䊷䉪
㪊ᐕ㑆䈱ᮡḰ஍Ꮕ
䉮䊮䊘䉳䉾䊃
ᤨଔ
䊥䉺䊷䊮
䉫䊨䉴
䊔䊮䉼䊙䊷䉪
ᢔ䉌䈳䉍
㩿⊖ਁ☨䊄䊦㪀
✚⾗↥䈮
䈍䈔䉎ഀว
✚⾗↥㗵
㩿⊖ਁ☨䊄䊦㪀
概要：ウエスタン・アセットのグローバル・ハイ・イールド社債は、アクティブ運用の投資アプローチを採用し、リスクが管理された戦略です。トップダウ
ンのマクロ経済の見通しに加え、ボトムアップのクレジット・アナリストによる業界・銘柄のファンダメンタル分析およびレラティブ・バリュー分析を融
合させてポートフォリオを構築・維持し、リスク調整後リターンの向上を目指します。
運用目標：リスクをベンチマーク水準に維持しつつ、市場サイクルを通じて年率で150ベーシス・ポイント以上の対ベンチマーク超過収益の獲得を目
指します。
ベンチマーク：バークレイズ・グローバル・ハイ・イールド・ボンド・インデックス
基本通貨：米ドル ¦ コンポジット最低運用資産規模：2,000万ドル
料率：1億ドル以下の部分：年率0.40%（税抜き）、1億ドル超の部分：年率0.30%（税抜き）。
上記は、一社で最低運用金額以上の個別契約を締結される投資家向けの標準的な報酬体系です。
検証期間：当コンポジットは2009年1月1日から2013年12月31日の期間で検証済みです。
1
一部期間で計測（2006年10月1日から12月31日）
Western Asset claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in
compliance with the GIPS standards. Western Asset has been independently verified for the periods from January 1, 1993 to December 31, 2013.
Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2)
the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. The verification and performance
examination reports are available upon request.
For GIPS® purposes, the Firm is defined as Western Asset, a primarily fixed-income investment manager comprised of Western Asset Management Company,
Western Asset Management Company Limited, Western Asset Management Company Pte. Ltd., Western Asset Management Company Ltd, Western Asset
Management Company Pty Ltd, and Western Asset Management Company Distribuidora de Títulos e Valores Mobiliários (DTVM) Limitada, with offices in
Pasadena, New York, London, Singapore, Tokyo, Melbourne, São Paulo, Hong Kong, and Dubai. Each Western Asset company is a wholly owned subsidiary
of Legg Mason, Inc. (“Legg Mason”) but operates autonomously, and Western Asset, as a firm, is held out to the public as a separate entity. Western Asset
Management Company was founded in 1971.
The Firm is comprised of several entities as a result of various historical acquisitions made by Western Asset and their respective performance has been
integrated into the Firm in line with the portability requirements set forth by GIPS.
The Composite is valued monthly. The Composite returns are the asset-weighted average of the performance results of all the accounts in the Composite. Grossof-fees returns are presented before management fees, but after all trading expenses. Net of fees results are calculated using a model approach whereby the
current highest tier of the appropriate strategy’s fee schedule is used. This model fee does not reflect the deduction of performance based fees. The portfolios in
the Composite are all actual, fee-paying and performance fee-paying, fully discretionary accounts managed by the Firm for at least one full month. Investment
results shown are for taxable and tax-exempt accounts and include the reinvestment of all earnings. Any possible tax liabilities incurred by the taxable accounts
have not been reflected in the net performance. Composite performance results are time-weighted net of trading commissions and other transaction costs
including non-recoverable withholding taxes. Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon
request.
The returns for the accounts in the Composite are calculated using a time-weighted rate of return adjusted for weighted cash flows. The returns for commingled
funds in the Composite are calculated daily using net asset value (NAV). Trade date accounting is used since inception and market values include interest
income accrued on securities held within the accounts. Performance is calculated using asset values denominated in a base currency. Composite assets at
year-end presented in the schedule are translated to U.S. dollars using end of year exchange rates.
Composite returns are measured against a market index. The market index is unmanaged and provided to represent the investment environment in existence
during the time periods shown. For comparison purposes, its performance has been linked in the same manner as the Composite. The market index presented
was obtained from third party sources deemed reliable but not guaranteed for accuracy or completeness. Benchmark returns and benchmark three-year
annualized ex-post standard deviation are not covered by the report of independent accountants.
Internal dispersion is calculated using the asset-weighted standard deviation of annual gross returns of those portfolios that were included in the Composite
for the entire year. For each annual period, accounts with less than 12 months of returns are not represented in the dispersion calculation. Periods with five or
fewer accounts are not statistically representative and are not presented. The three-year annualized ex-post standard deviation measures the variability of the
composite and the benchmark returns over the preceding 36-month period. Any gross total three-year annualized ex-post standard deviation measures prior to
2011, included within the “Examination Period” identified above, are not covered by the report of independent accountants.
Past investment results are not indicative of future investment results.
Western Asset’s list of composite descriptions is available upon request. Please contact Veronica A. Amici at 626•844•9535 or [email protected]. All
returns for strategies with inception prior to January 1, 2004 are available upon request.
For more information on Western Asset visit our website at www.westernasset.co.jp
ウエスタン・アセット
リスク・ディスクロージャー
投資一任契約に係る投資顧問料：
グローバルハイ・イールド債：
1億ドル以下の部分：年率 0.40%（税抜き）
1億ドル超の部分：年率 0.30%（税抜き）
最低運用資産規模:5,000万米ドルまたは5,000万ユーロ
上記は、一社で最低運用金額以上の個別契約を締結される投資家向けの標準的な報酬体系です。
有価証券の売買又はデリバティブ取引の売買手数料を運用財産の中からお支払い頂きます。投資
信託に投資する場合は信託報酬、管理報酬等の手数料が必要となります。
これらの手数料には多様
な料率が設定されているためこの書面に記載することはできません。デリバティブ取引を利用する
場合、運用財産から委託証拠金その他の保証金を預託する場合がありますが、デリバティブ取引の
額がそれらの額を上回る可能性があります。その額や計算方法はこの書面に記載することはできま
せん。投資一任契約に基づき運用財産の運用を行った結果、金利、通貨の価格、金融商品市場にお
ける相場その他の指標に係る変動により、損失が生ずるおそれがあります。損失の額が、運用財産
から預託された委託証拠金その他の保証金の額を上回る恐れがあります。個別交渉により、一部の
お客様とより低い料率で投資一任契約を締結する場合があります。
© Western Asset Management Company 2014.　当資料の著作権は、
ウエスタン・アセット・マネジ
メント株式会社およびその関連会社（以下「ウエスタン・アセット」
という）に帰属するものであり、
ウエ
スタン・アセットの顧客、
その投資コンサルタント及びその他の当社が意図した受取人のみを対象と
して作成されたものです。第三者への提供はお断りいたします。当資料の内容は、秘密情報及び専有
情報としてお取り扱い下さい。無断で当資料のコピーを作成することや転載することを禁じます。
過去の実績は将来の投資成果を保証するものではありません｡当資料は情報の提供のみを目的とし
ており、作成日におけるウエスタン・アセットの意見を反映したものです。
ウエスタン・アセットは、
ここ
に提供した情報が正確なものであるものと信じておりますが､それを保証するものではありません。
当資料に記載の意見は、特定の有価証券の売買のオファーや勧誘を目的としたものではなく、事前
の予告なく変更されることがあります。当資料に書かれた内容は、投資助言ではありません。
ウエス
タン・アセットの役職員及び顧客は、当資料記載の有価証券を保有している可能性があります。当資
料は、お客様の投資目的、経済状況或いは要望を考慮することなく作成されたものです。お客様は、
当資料に基づいて投資判断をされる前に、お客様の投資目的、経済状況或いは要望に照らして、そ
れが適切であるかどうかご検討されることをお勧めいたします。お客様の居住国において適用され
る法律や規制を理解し、それらを考慮する責任はお客様にあります。
ウエスタン・アセット・マネジメント株式会社について
業務の種類：金融商品取引業者（投資運用業、投資助言・代理業、第二種金融商品取引業）
登録番号：関東財務局長（金商）第427号
加入協会：一般社団法人日本投資顧問業協会（会員番号　011-01319）
一般社団法人投資信託協会
ウエスタン・アセット

Download Report