Blue bay asset management

Absolute return in the context of low yieldsNovember 2012

Geraud Charpinf liPortfolio Manager

Contents

• BlueBay at a glanceBlueBay at a glance

• Observations on today’s investment universe

• Adapting to our changing universe

• Looking for Alpha in the right places: A few examples

• Appendix

2

About BlueBayAssets Under Management

• BlueBay manages over US$46.9 billion for a range of institutional and private clients globally

• Founded in 2001, BlueBay is a leading European credit specialist with long‐only and alternative capabilities

46,94250,000C tibl

, y g p p g y p

Historical Assets Under Management (US$mn to 28 September 2012)Assets Under Management (US$mn to 28 September 2012)

Investment Grade* 19 062

34,277

39,633

36,30140,000

Convertibles

Multi Strategy

Emerging Market

High Yield**

Investment Grade*

Investment Grade* 19,062

High Yield** 8,382

16 42316 70120,000

30,000

(US$mn) Investment Grade

Emerging Market 17,500

Multi Strategy 262

1 8754,343

9,588

16,42316,701

10,000

gy

Convertibles 1,737

187 6261,875

02002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Total Company AUM 46,942

Notes:*The Investment Grade category includes the Investment Grade Constrained strategy which has a lower benchmark outperformance (‘alpha’) target and more restrictive investment guidelines

3Data source: BlueBay Asset Management

The Investment Grade category includes the Investment Grade Constrained strategy which has a lower benchmark outperformance ( alpha ) target and more restrictive investment guidelines. As at 28 September 2012 the Investment Grade Constrained strategy had US$1.66 billion of AUM.** High Yield consists of High Yield, Leveraged Loans, Distressed and Direct Lending. Direct Lending AuM is committed capital.

• BlueBay at a glance

Contents

BlueBay at a glance




• Appendix

4

What money can buy

• Monetary policy is expected to remain accommodative for some times to come – Running yields offer a disappointing prospect for investor

14Euro Corporates7 Germany

US

10‐Year Government Bond Yields and cash rate (%) Credit Yields( %)

10

12

Emerging Market Sovereign

5

6

USUKEonia

6

8 BBB‐

3

4

2

4

A1

2

02000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

0

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

5Data source: BlueBay Asset Management, October 2012

Return on Capital and return of capital

• As yields on German government bonds have fallen, the risk of investors receiving negative absolute returns on their investment has risen based on an analysis of historical volatility

Statistics, as at 31 October 2012German

Governments

y y

Annual standard deviation of returns, since Dec 1999

3.70

Annual standard deviation of returns, since Dec 2009

5.17

Prob

ability

40 3%

Yield to Maturity 0.91

Statistical normalised probability of negative absolute return 40.3%

‐10 ‐9 ‐8 ‐7 ‐6 ‐5 ‐4 ‐3 ‐2 ‐1 0 1 2 3 4 5 6 7 8 9 10

P 40.3% Probability

absolute return (standard deviation data since 1999)

40.3%

Statistical normalised probability of negative absolute return (standard deviation data since 2009)

43%

Return (%)

6Data source: Bloomberg, Bank of America, BlueBay Asset Management, as at 31 October 2011

Volatility and dispersion

Italy Futures

• A more difficult global growth environment

• Policy intervention across continents

• Political uncertainty 110

115

120

Political uncertainty

• All are contributing to increased dispersion of performance across the investment universe.

95

100

105

Price (€)

20%

85

90

Jan‐10

Mar‐10

May‐10

Jul‐1

0

Sep‐10

Nov

‐10

Jan‐11

Mar‐11

May‐11

Jul‐1

1

Sep‐11

Nov

‐11

Jan‐12

Mar‐12

May‐12

Jul‐1

2

Sep‐12

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 20112012

Sep YTD

M di P f 1 32 5 80 7 34 8 89 6 11 7 08 3 70 0 39 0 85 1 31 13 40 5 37 2 57 7 67

iBoxx € Investment Grade Corporates – Performance of Index constituents (%)

Median Performance ‐1.32 5.80 7.34 8.89 6.11 7.08 3.70 0.39 0.85 1.31 13.40 5.37 2.57 7.67

Average Performance of top 10 % 3.01 12.38 10.80 14.79 15.43 13.48 8.57 2.22 3.62 8.37 70.82 19.92 9.32 26.92

Average Performance of bottom 10% ‐28.17 ‐0.79 ‐2.81 ‐10.97 ‐6.15 2.40 ‐1.56 ‐2.83 ‐8.45 ‐51.28 ‐9.00 ‐6.57 ‐15.70 0.29

7Data source: Bloomberg, Bank of America, BlueBay Asset Management, as at 31 October 2011

Economic cycles and investment cycles

Rising government yields

Short duration Short duration

• Investment cycles have become more blurred

• Economic cycles are shorter

• Different parts of the cycle favour different assets Rising Falling

Short durationLong credit spreads

Short durationShort credit spreads

Different parts of the cycle favour different assets gcredit spreads

credit spreads

Long durationLong credit spreads

Long durationShort credit spreads

Falling government yields

8

A Template for the Euro Sovereign Crisis

• Successful monetary union requires fiscal / political union. Policy makers will be slow to surrender sovereignty and this means volatility in Europe for years to come

Stress

Complacency Policy Response

Relief Rally


y

Opportunities: Spinning around

• Proprietary analysis can help to determine turning points in cycle and creates opportunities in market direction

Stress Q4 2011

Q3 2011

Q2 2012

Q2 2012Q4 2012Q

2012

Complacency Policy Response

Q1Q2 2012

Q3 2012

Q3 2012

Relief Rally

Q1 2012






• Appendix

11

BlueBay Investment Grade ‐ Combining skillsTypical sources of alpha

Euro Government (BlueBay Investment

Euro AggregateEuro Corporate

IG Global Corporate(BlueBay Global Euro Corporate Libor

IG Absolute Return

Fund(BlueBay Investment

Grade Euro Government Bond

Fund)

(BlueBay Investment Grade Euro Aggregate

Bond Fund)

Euro Corporate (BlueBay Investment Grade Bond Fund)

(BlueBay Global Investment Grade Corporate Bond

Fund)*

Euro Corporate Libor(BlueBay Investment Grade Libor Fund)

(BlueBay Investment Grade Absolute

Return Bond Fund)

Credit Alpha Long /Short

Al h S

Alpha Target (b )

Alpha R

Alpha Target (b )

Alpha R

Alpha Target (b )

Alpha R

AlphaTarget (b )

Alpha R

Alpha Target (b )

Alpha R

AlphaTarget (b )

Alpha R

AlphaTarget (b )

Alpha RAlpha Source (bps) Range (bps) Range (bps) Range (bps) Range (bps) Range (bps) Range (bps) Range

Term Structure 50 20‐60% 40 10‐50% 25 0‐30% 25 0‐30% 15 0‐25% 65 0‐50% 260 0‐50%

Credit beta 30 0‐40% 30 0‐50% 25 0‐30% 25 0‐30% 35 0‐40% 70 0‐50% 280 0‐50%

Credit alpha 60 20‐60% 70 20‐70% 100 40‐100% 100 40‐100% 100 40‐100% 150 30‐100% 600 30‐100%

Currency 10 0‐20% 10 0‐20% 15 0‐20% 60 0‐20%

Total 150 150 150 150 150 300 12‐15%Total 150 150 150 150 150 300 12 15%

Tracking Error0‐3%

(relative)0‐3%

(relative)0‐3%

(relative)0‐3%

(relative)0‐4%

(absolute)0‐6%

(absolute)0‐12%

(absolute)

Please refer to the Disclaimer located at the back of this presentation for important information regarding the target performance shown above

12Data source: BlueBay Asset Management Please note – expected contribution is not guaranteedNote: * This fund has not yet been launched

BlueBay Investment Grade – Combining SkillsInternal exposure targets

Euro Government Euro Aggregate Euro Corporate IG Global Corporate

Euro Corporate Libor

IG AbsoluteReturn

Fund(BlueBay

Investment Grade Euro Government

Bond)

(BlueBayInvestment Grade Euro Aggregate

Bond)

(BlueBayInvestment Grade Euro Corporate

Bond)

Corporate(BlueBay

Investment Grade Global Corporate

Bond)*

Libor(BlueBay

Investment Grade Euro Corporate Libor Bond)

Return(BlueBay

Investment Grade Absolute Return

Bond)

Credit Alpha Long /Short

Alpha Ri k

Target Exposure (versus

b h k)


b h k)


b h k)


b h k)


b h k)


b h k)Target Exposure

source Risk measure benchmark) benchmark) benchmark) benchmark) benchmark) benchmark)

Term Structure

Interest rate durationYield curveSwap spreadsInflation‐linked

+ / – 2.0 years + / – 1.6 years + / – 1.0 years + / – 1.0 years 0 to 1.0 years ‐2.5 to +2.5 years ‐4 to +4 years

Credit beta

Corporate spread duration 0 to + 1.0 years

–1.25 to +2.0 years

+ / – 2.0 years + / – 3.0 years ‐1.0 to +4.0 years ‐4.0 to +4.0 years ‐6.0 to +6.0 years

Sovereign spread duration + / – 3.75 years + / – 2.5 years + / – 1.0 years + / – 1.0 years + / – 1.0 years + / ‐ 3.75 years ‐6.0 to +6.0 years

CountryCredit alpha

ySectorIssuersInstrument

0‐80 issuers 0‐80 issuers 80‐200 issuers 80‐250 issuers 30–150 issuers 0–150 issuers 0–100 issuers

CurrencyMaximum 7.5 % active currency

risk

Maximum 7.5 % active currency

risk0% 0% 0%

Maximum 10% active currency

riskMaximum 20%

13Data source: BlueBay Asset ManagementNote: * This fund has not yet been launched

Portfolio Construction: Putting it all together

Increased VolatilityLong/ Short capability

Increased complexitySpecialist skills over generalist

Shorter cycleFlexibility and diverse investment universe

Asymmetric risk/return profileMethodology and gyrisk management






• Appendix

15

Opportunities: Asset Allocation in real time

• A fluid asset allocation aims to create the most asymmetric risk/reward profile for the portfolio

Italy 10 year spread and European Corporate bond index spread (bps)

310550Italy 10Y Spread (LHS)

Corporate Bench spread (RHS)

250

270

290

450

500

S)

Corporate Bench spread (RHS)

210

230

300

350

400

Spread (bps)Spread

(bps)

150

170

190

200

250

300

150200Jan‐12 Feb‐12 Mar‐12 Apr‐12 May‐12 Jun‐12 Jul‐12 Aug‐12 Sep‐12 Oct‐12

16Data source: Bloomberg as at August 2012

Opportunities: Spanish Corporates vs Sovereign

Spanish Corporates vs Sovereign

800

700

800

Spain 5Y vs Germany

Iberdrola 5Y vs GermanyShort Long

29 J

600

29 June

400

500

(bps)

300

400

28 M h

10 September

13 September

200Jan‐12 Feb‐12 Mar‐12 Apr‐12 May‐12 May‐12 Jun‐12 Jul‐12 Aug‐12 Sep‐12

28 March

17Data Source: BlueBay Asset Management, as at 18 October 2012

Opportunities: Country Relative Value

• Trends in spreads have often been linked to changes in the policy framework in respective countries

Spain 10 year Bono yield (%) – Italy 10 year yield (%)

Overweight Spain /underweight Italy

Overweight Italy /underweight Spain


Opportunities: Government Guaranteed Bonds

• Stress leads to dislocations and pricing anomalies

• Future opportunities in Spanish regional debt and other guaranteed bondspp p g g

Ireland government versus government guaranteed bond yield (%)

Irish government guaranteed bond (IPBS 4% 2015)

Irish government 4 year bond yieldy y

Overweight Irish governments

Overweight govt guaranteed bonds


Opportunities Between Countries

• Market anomalies can exist due to behaviour of different investor groups with differing needs

• Even if anomalies do not correct, it is possible to lock in higher running yields without adding material risk

France and Czech bond spreads and CDS levels (bp) France and Czech bond versus CDS basis (bp)( p)

Czech / Germany 10yr spread 60

80

France /Germany 10yr spread

0

20

40

Czech CDS

60

‐40

‐20

0 50 100 150 200

France CDS

‐100

‐80

‐60

France CDS basis Czech CDS basis

20Data source: Bloomberg as at June 2012

France CDS basis Czech CDS basis

Opportunities Between Market Sectors

• Different investor bases lead to market inefficiencies and anomalies

• We can implement as a box trade, or alternatively select the security which offers most value

Italy and Intesa bond spreads and CDS levels (bp): March 2012 Italy and Intesa bond versus CDS basis (bp): March 2012

Ispim / Germany 5yr spread

40

60

y p ( p) Italy and Intesa bond versus CDS basis (bp): March 2012

Italy /Germany 5yr spread

0

20

Ispim CDS‐20

0

280 300 320 340 360 380

Italy CDS

‐60

‐40

Italy CDS basis Ispim CDS basis

21Data source: Bloomberg as at March 2012

Corporate Issuer Opportunities (Cross Currency Anomalies)

• Issuer recognition can vary meaningfully between domestic and international markets and influence market access and therefore pricing

• Spot pricing anomalies tends to be ironed out over a short to medium term horizon

Amgen recent issuance levels across currencies (sprd versus government bonds)

Amgen Inc

300

350

$

£

EUR

Amgen Inc

• US based Pharma / Biotech company with Market cap of $50bn+ and EBITDA of $5bn+.

• Rated A‐/Baa1 stable outlooks

200

250

Rated A /Baa1 stable outlooks

• Needed $10bn of funding for its share buyback program

150

200

100Jun‐11 Nov‐11 May‐12

22Data source: Bloomberg as at June 2012

Corporate Issuer Opportunities (Event Driven)

• Fundamental analysis, in depth company knowledge and management insight help us identify strong conviction calls on corporate events

• We then analyse relative value and market technicals to come up with a viable investment strategy

Edison Spa Bond and CDS spreads compared to EDF

Edison SpaEdison Spa

• 3rd Largest Italian Electric utility

• Was owned 50.1% by French utility EDF

0 100 200 300 400 500 600

Oct 11• EDF had been negotiating with other large Italian

shareholders to acquire the rest of Edison

• Several years of political stalemate harmed Edison’s liquidity to an extent that required some form of

Oct‐11

liquidity to an extent that required some form of urgent resolution. Dec‐11

EDISON CDS

May‐12

EDF CDS

EDISON BOND

EDF BOND

23Data source: Bloomberg as at March 2012

Opportunities: Sovereign CDS basis

• Some investors buy sovereign CDS as a hedge in times of stress

• ISDA language: G7 country currency redenomination is not a CDS trigger event

• G7 country such as Italy may be more likely to leave Euro than default on debt

• CDS basis should trade negative to reflect this• CDS basis should trade negative to reflect this

• When basis is positive: Sell Italy & France CDS and sell BTPs & OAT

24

Contents

• BlueBay Investment Grade – Team and ProcessBlueBay Investment Grade Team and Process

• Analysis and Recent Trade Examples

• Historical Performance

• Appendix

25

European Investment Grade at BlueBay – Our Track Record Long Only Products – BlueBay Investment Grade Euro Aggregate Bond Fund

1M 3M YTD 2011 A SI*

Performance (€ gross of fees to 28 September 2012)

1M 3M YTD 2011 Ann. SI*

BlueBay Funds ‐ BlueBay Investment Grade Euro Aggregate Bond Fund 2.78% 6.18% 18.05% 4.24% 10.44%

Barclays Capital Euro Aggregate Index 1.00% 3.68% 8.14% 3.24% 4.55%

Alpha 1.78% 2.50% 9.91% 1.00% 5.89%

25%

5.89%

Risk/Return CharacteristicsCumulative Gross Relative Performance (to 28 September 2012)

Barclays Capital Euro Aggregate Index BlueBay Investment Grade Euro Aggregate Bond Fund

15%

20% 1.5% p.a. gross of fees

2.64Information

Alpha

Actual Cumulative SI

5%

10% >0.5

2.25%Tracking

InformationRatio


Target

‐5%

0%

v‐10

c‐10

n‐11

b‐11

r‐11

r‐11

y‐11

n‐11 l‐11

g‐11

p‐11

t‐11

v‐11

c‐11

n‐12

b‐12

r‐12

r‐12

y‐12

n‐12 l‐12

g‐12

p‐12

0‐3%

0 1 2 3 4 5 6 7

gError

26

Nov

Dec Jan

Feb

Mar

Apr

May Jun

Jul

Aug

Sep

Oct

Nov

Dec Jan

Feb

Mar

Apr

May Jun

Jul

Aug

Sep

Data source: BlueBay Asset Management Fund Type: UCITS IV Fund (Part I SICAV) *Annualised return. Fund inception 2 November 2010

Please refer to the Disclaimer located at the back of this presentation for important information regarding the performance shown above

European Investment Grade at BlueBay – Our Track Record Long Only Products – BlueBay Investment Grade Euro Government Bond Fund

1M 3M YTD 2011 A SI*


1M 3M YTD 2011 Ann SI*

BlueBay Funds ‐ BlueBay Investment Grade Euro Government Bond Fund 2.89% 5.92% 15.27% 5.19% 11.48%

Barclays Capital Euro Aggregate Treasury Index 1.30% 3.67% 7.79% 3.36% 6.24%

Alpha 1.59% 2.25% 7.48% 1.83% 5.24%

25%

5.24%

Risk/Return Characteristics**Cumulative Gross Relative Performance (to 28 September 2012)

Barclays Capital Euro Aggregate Treasury Index BlueBay Investment Grade Euro Government Bond Fund

15%

20%1.5% p.a. gross of fees

2.59

5.24%

InformationRatio

Alpha


0%

5%

10%

0‐3%

>0.5

2.03%Tracking Error

RatioTarget

‐5%

0%

Dec

‐10

Jan‐11

Feb‐11

Mar‐11

Apr‐11

May‐11

Jun‐11

Jul‐1

1

Aug‐11

Sep‐11

Oct‐11

Nov

‐11

Dec

‐11

Jan‐12

Feb‐12

Mar‐12

Apr‐12

May‐12

Jun‐12

Jul‐1

2

Aug‐12

Sep‐12

0 1 2 3 4 5 6

27Data source: BlueBay Asset Management Fund Type: UCITS IV Fund (Part I SICAV) *Annualised return. Fund inception 22 December 2010


European Investment Grade at BlueBay – Our Track RecordLong Only Products – BlueBay Investment Grade Bond Fund


1M 3M YTD 2011 2010 2009 2008 2007 2006 A SI*1M 3M YTD 2011 2010 2009 2008 2007 2006 Ann. SI*

BlueBay Funds ‐ BlueBay Investment Grade Bond Fund 1.58% 4.86% 12.27% 0.40% 5.05% 20.87% 1.70% 3.11% 1.80% 6.83%

iBoxx Euro Corporates Index 0.68% 4.26% 10.30% 1.72% 4.73% 16.02% ‐4.00% ‐0.21% 0.39% 4.63%

Alpha 0.90% 0.60% 1.97% ‐1.32% 0.32% 4.84% 5.70% 3.33% 1.41% 2.20%

80%

90%

Risk/Return Characteristics

iBoxx Euro Corporates Index

BlueBay Funds ‐ BlueBay Investment Grade Bond Fund

Cumulative Gross Relative Performance (to 28 September 2012)

2.20%l h

50%

60%

70% 1.50% p.a. gross of fees

1.62I f ti

Alpha

Actual Annualised SI

20%

30%

40% >0.5

1 36%

InformationRatio

Actual Annualised SI

Target

0%

10%

Nov

‐03

Aug‐04

May‐05

Jan‐06

Oct‐06

Jul‐0

7

Apr‐08

Jan‐09

Oct‐09

Jul‐1

0

Apr‐11

Dec

‐11

Sep‐12

0‐3%

1.36%

0 1 2 3 4

TrackingError

28

N A M A A D S

Data source: BlueBay Asset Management Fund Type: UCITS IV Fund (Part I SICAV) *Annualised return. Fund inception date: 11 Nov 2003Please refer to the Disclaimer located at the back of this presentation for important information regarding the performance shown above

European Investment Grade at BlueBay – Our Track Record Long Only Products – BlueBay Investment Grade Absolute Return Bond Fund

1M 3M YTD 1YR C SI*


1M 3M YTD 1YR Cum. SI*

BlueBay Funds – BlueBay Investment Grade Absolute Return Bond Fund 2.15% 3.59% 12.06% 13.75% 8.69%

Merrill Lynch Euro Currency LIBOR 3‐Month Constant Maturity Index 0.03% 0.20% 0.82% 1.25% 1.31%

Alpha 2.12% 3.39% 11.24% 12.50% 7.38%

12.0%

14.0%

Risk/Return Characteristics**Cumulative Gross Relative Performance (to 28 September 2012)

Merrill Lynch Euro Currency LIBOR 3‐Month Constant Maturity Index

BlueBay Investment Grade Absolute Return Bond Fund

7.38%Alpha

6.0%

8.0%

10.0%3.0% p.a. gross of fees

2.61InformationR i

Alpha


0.0%

2.0%

4.0%>0.5

2.85%Tracking Error

Ratio Target

‐4.0%

‐2.0%

0.0%

ay‐11

un‐11

ul‐11

ug‐11

ep‐11

ct‐11

ov‐11

ec‐11

an‐12

eb‐12

ar‐12

pr‐12

ay‐12

un‐12

ul‐12

ug‐12

ep‐12

0‐6%

0 1 2 3 4 5 6 7 8

Error

29

Ma Ju J Au Se O No

De Ja Fe Ma

Ap Ma Ju J Au Se

Data source: BlueBay Asset Management Fund Type: UCITS IV Fund (Part I SICAV) *Cumulative return. Fund inception 24 May 2011


BlueBay Credit Alpha Long Short Fund – IntroductionPerformance of the BlueBay Credit Alpha Long Short Fund

Performance (%) Net of Fees (EUR) of BlueBay Credit Alpha Long Short Fund

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Fund YTD

2012 4.55 3.89 0.57 0.36 1.58 2.67 2.06 0.16 3.62 21.10

Performance of the Credit Relative Value Strategy within the BlueBay Multi‐Strategy Fund (%) Net of Fees (USD) to 14 October 2011*

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Strategy YTD

2011 1.82 1.35 1.07 ‐0.07 ‐0.28 1.45 1.48 ‐1.06 ‐0.96 1.09* ‐‐ ‐‐ 5.99

2011 ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ ‐‐‐ 0.11 0.19 0.30

2010 3.16 0.47 3.04 0.44 ‐2.58 ‐0.07 2.05 1.06 1.15 0.76 ‐0.80 ‐1.23 7.54

2009 ‐‐ 0.86 3.56 6.29 4.69 5.73 10.99 2.77 3.00 3.01 1.70 2.20 54.56

Cumulative Net Performance of BlueBay Credit Alpha Long Short Fund

(EUR to 28 September 2012)Performance Analysis (Net of Fees)*(1)

C dit R l ti

BlueBay Credit Alpha Long Short Fund

Credit Alpha Long Short Fund(to 30‐Sep‐12)

Credit Relative Value Strategy within MSF

(to 14‐Oct‐11)

Annualised return (%) NA 23.32

Performance Analysis (Net of Fees)(1) 15%

20%

25%

Whole months data required to calculate the below (to 30‐Sep‐11)

Annualised volatility (%) NA 9.41

Sharpe Ratio(2) NA 3.88

Positive Months (%) 100.00 75.00 0%

5%

10%

1 1 2 2 2 2 2 2 2 2 2

The BlueBay Credit Alpha Long Short Fund (“Fund”) was launched and seeded with internal capital within the class D GBP management shares. D shares are not subject to standard management and performance fees. Therefore to provide representative comparison for a typical investor, the performance above represents the actual performance of the Fund since inception, but hedged into EUR and calculated net of fees assuming the standard terms of the Class A shares which carry a 2% management fee and 20% performance fee. The second part of the table above relates to the historical track record of the Credit Relative Value Strategy within the BlueBay Multi‐Strategy Fund (Credit Relative Value Strategy). It is

Worst drawdown (%) NA ‐2.65

Recovery time (months) NA 2 monthsNov 11

Dec 11

Jan 12

Feb 12

Mar 12

Apr 12

May 12

Jun 12

Jul 12

Aug

12

Sep 12

30

important to note that although the Fund is managed by the same portfolio management team as the Credit Relative Value Strategy, the two portfolios have different investment objectives, guidelines and restrictions. No representation is being made that the Fund will or is likely to achieve performance similar to that shown for the Credit Relative Value Strategy. *Partial performance provided as the Credit Relative Value Strategy within the BlueBay Multi‐Strategy Fund was wound up on 14th October 2011. Ernst & Young have performed Agreed Upon Procedures to verify BlueBay have calculated the Credit Relative Value Strategy Track Record in accordance with the stated Calculation Methodology. Ernst & Young noted no exceptions in performing the Agreed Upon Procedures. Copies of the full Factual Finding Report issued by Ernst and Young on completing the Agreed Upon Procedures are available for inspection at BlueBay’s Offices.(1) Risk statistics are annualized and calculated using monthly data points since inception. For any meaningful results a minimum sample of 36 data points is recommended, and no risk statistics will be produced until there is a sample of 12 data points. Where history is less than 36 months caution should be taken with the interpretation of this data. Returns for periods of less than 1 year have not been annualized in accordance with current GIPS reporting requirements.Please refer to the Disclaimer located at the back of this presentation for important information regarding the performance and calculation methodology shown above. Data Source: BlueBay Asset Management

BlueBay Investment Grade – The Team A dedicated team of 19 investment professionals

• Experience: The team has an average investment experience of 11 years

Risk Management, Compliance & Legal

Dominique Kobler(Head of Risk & Performance)

IG• Specialisation: Each team at BlueBay Asset

Management has long only and long/short specialists

• Participation at Investment Committee:

Steve Thomas(Global Head of Compliance)

James Brace (General Counsel)

Lucien Orlovius(Head of Transactional Legal)

IG Investment Team

6 Portfolio ManagersRaphael Robelin (Senior. Non‐Sovereigns)

Mark Dowding (Senior. Sovereigns)Geraud Charpin (Non Sovereigns) Participation at Investment Committee:

Senior investment professionals across all product areas are members of the Investment Committee, chaired by the CIO

• Dedicated research: Supported by a d d d f d l f

Geraud Charpin (Non‐Sovereigns)Andrzej Skiba (Non‐Sovereigns)Marc Stacey (Covered Bonds)Russel Matthews (Sovereigns)

3 Assistant Portfolio ManagersSheraz Hussain (Sovereigns)

dedicated unit of credit analysts focusing on financials, industrials and crossover companies/issues

• Demonstrable track record: Since inception BlueBay Investment Grade Bond Fund has

Sheraz Hussain (Sovereigns)Tom Moulds (Swaps)

Chau Tran (Non‐Sovereigns)

7 AnalystsRobert Lambert (Analyst – Utilities, TMT)Nesche Yazgan (Analyst – Industrials) BlueBay Investment Grade Bond Fund has

produced an annualised excess return of 2.20% with an information ratio of 1.62 (figures to 28 September 2012)Trade Execution

& Treasury

Daniel Grimstead (Execution Trader – IG)

Ch i h ( i d G)

Investment Committee

M k P l (CIO)

Russell Vincett (Junior Analyst – Industrials)Caroline McQueston (Analyst – Financials)James MacDonald (Analyst – Financials)Arun Konkoth (Analyst – US TMT, Retail)John Guarnera (Analyst – US Financials)

Christopher Lemmo (Execution Trader – IG)

Vinit Patel (Execution Trader – IG)

Mark Poole (CIO)Alex Khein (COO)Senior investment

professionals

31Please refer to the Disclaimer located at the back of this presentation for important information regarding the performance shown above

BlueBay Investment Grade – The TeamPortfolio Manager Profiles

Raphael RobelinCo‐Head Investment Grade ‐ Senior Portfolio Manager

Mark DowdingCo‐Head Investment Grade ‐ Senior Portfolio ManagerCo Head Investment Grade Senior Portfolio Manager

Raphael co‐heads the investment grade team at BlueBay. He joined BlueBay in August 2003 from Invesco where he was Portfolio Manager for Investment Grade Funds.

Co Head Investment Grade Senior Portfolio Manager

Mark joined BlueBay in August 2010 from Deutsche Asset Management, where he was Head of Fixed Income in Europe.

Prior to that, he was a Portfolio Manager with BNP Group and Saudi International Bank.

Raphael holds a degree in Engineering (IT) and Applied Mathematics from EFREI as well as a Masters in Management and International Finance from La

Prior to this, Mark was Head of Fixed Income in Europe for Invesco, where he worked with Raphael Robelin, prior to him joining BlueBay in 2003.

Mark started his career as a Fixed Income Portfolio Manager at Morgan Grenfell in 1993 and holds a BA Hons in Economics from the University of Warwick.EFREI as well as a Masters in Management and International Finance from La

Sorbonne, Paris.Warwick.

Geraud CharpinPortfolio Manager

Russel MatthewsPortfolio Manager

Geraud joined BlueBay in August 2008 from UBS where he was Head of European Credit Strategy. Prior to that, he was a credit strategist with BNP Paribas and a credit analyst with Dresdner Kleinwort Benson and NatwestMarkets

Russel joined BlueBay in September 2010 from Invesco Asset Management where he was a Portfolio Manager and Co‐Head of Global Macro Alpha.

Russel began his investment career at Citigroup Asset Management in AprilMarkets.

Geraud holds a degree in Engineering from ICPI Lyon, France as well as a Master of Finance from ESSEC International Management School, Paris.

Russel began his investment career at Citigroup Asset Management in April 1999 before joining Invesco to work with Mark Dowding and Raphael Robelin in 2000.

He achieved a Bachelor of Arts majoring in Economics and Journalism from Rhodes University in 1995 and a Post Graduate Diploma in Business M f h U i i f C T i 1996

32

Management from the University of Cape Town in 1996.

BlueBay European Investment Grade – The TeamInvestment Grade Team Experience

Name Role BlueBay SinceInvestment

Experience (yrs)Previous Experience Education

Raphael Robelin Senior Portfolio Manager Aug‐03 16 Invesco, BNP Group, Saudi International BankEngineering (IT) and Applied Mathematics from EFREI, Masters in Management and International Finance La Sorbonne, Paris

Mark Dowding Senior Portfolio Manager Aug‐10 19 Deutsche AM, Invesco, Morgan Grenfell BA Hons in Economics (University of Warwick)

Geraud Charpin Portfolio Manager Aug‐08 17Natwest, Dresdner Kleinwort Benson, BNP Paribas, UBS

MSc Finance, Essec Management School;

BA Engineering, ICPI Engineering School

Andrzej Skiba Portfolio Manager Feb‐05 11 Goldman Sachs BSc (Hons) Management, International Business Economics

Russel Matthews Portfolio Manager Sep‐10 13Invesco Asset Management, Citigroup Asset Management

BA Economics and Journalism, Rhodes University

PGD Business Management, University of Cape Town

Marc Stacey Portfolio Manager Sep‐04 10 CSFB Bachelor of Business Science – Finance, Honours

Sheraz Hussain Assistant Portfolio Manager Feb‐05 7 Lloyds Syndicates BSc Maths/Economics/Statistics – Actuarial Exams

Tom Moulds Assistant Portfolio Manager Dec‐05* 6 Beicon Group, Schneider Electric, Synstar BSc (Hons) Mathematics

Chau Tran Assistant Portfolio Manager Jun‐07** 6 Westpac Banking CorporationBComm in Actuarial Studies and Finance

Associate Institute of Actuaries Australia (AIAA)

Caroline McQueston Analyst – Financials Apr‐04 10Invesco Asset Management; BA (Hons) Accounting and Financial Analysis, Institute of

Caroline McQueston Analyst – Financials Apr‐04 10Royal Bank of Scotland; Morgan Stanley Chartered Accountants of Scotland, Chartered Accountant, IMC

James MacDonald Analyst – Financials Sep‐07 5 Price Waterhouse CoopersMA (Hons) Business Studies, Institute of Chartered Accountants of Scotland, Chartered Accountant

Robert Lambert Analyst – Utilities, TMT Sep‐08 15 Credit Suisse; Citigroup; RBS Trust Bank BA (Hons) Business Studies, 1997, ACCA

Nesche Yazgan Analyst – Industrials Jul‐06 14 Barclays Capital, Credit Sights, Deutsche Bank Masters Degree in Economics 1997, TrierNesche Yazgan Analyst Industrials Jul 06 Barclays Capital, Credit Sights, Deutsche Bank Masters Degree in Economics 1997, Trier

Russell Vincett Analyst – Industrials Jun‐07 9 Merrill Lynch Int’l; Fore Research Ltd BSc (Hons) Economics and Finance

Arun Konkoth Analyst – US TMT, Retail Jun‐12 4 Credit SuisseNYU’s Stern School of Business B.S. (Cum Laude) in Finance and International Business, minor in Psychology

John Guarnera Analyst – US Financials Jul‐12 14Société Générale, Bank of America, VeritionGroup LLC

MBA University of North Carolina at Chapel Hill, BS College of William and Mary in Virginia

33Data as at 28 September 2012 *Joined the Investment Grade team in July 2007 **Joined the Investment Grade team in September 2010

Disclaimer

This document is issued by BlueBay Asset Management LLP, which is authorised and regulated by the UK Financial Services Authority (FSA) and registered with the US Securities and Exchange Commission (SEC) as an Investment Adviser. BlueBay Asset ManagementUSA LLC is a subsidiary of BlueBay Asset Management (Services) Ltd. BlueBay Asset Management International Limited is registered in Japan as an investment adviser and discretionary investment manager.

The document is intended for “professional clients” and “eligible counterparties” (as defined by the FSA handbook of rules and guidance) only and should not be relied upon by any other category of customer. This document does not constitute an offer to sell or thesolicitation of an offer to purchase any security or investment product in any jurisdiction. Any such offer or solicitation may only be made by means of delivery of an approved confidential Prospectus. This document is confidential and may not be distributed withoutthe express written consent of BlueBay Asset Management LLP.

No BlueBay Fund will be offered, except pursuant and subject to the offering memorandum and subscription materials (the "Offering Materials"), which may be provided to Canadian permitted clients only, and not to any other category of investor. This document isfor general information only and is not a complete description of an investment in any BlueBay Fund. If there is an inconsistency between this document and the Offering Materials for the BlueBay Fund, the provisions in the Offering Materials shall prevail.

Information herein is believed to be reliable but BlueBay Asset Management LLP does not warrant its completeness or accuracy. The opinions expressed within are entirely those of BlueBay and do not constitute an offer of investment advice. All informationprovided in this document is for informational purposes only and should not be deemed as a guide to investing or a recommendation to buy the securities mentioned. BlueBay closely monitors the markets and may make changes to BlueBay’s investment strategy oroutlook when warranted by changing market conditions. There is no guarantee that the opinions expressed herein will be valid beyond the date of this document.

Any indices shown are presented only to allow for comparison of the BlueBay funds performance to that of certain widely recognised indices. The volatility of the indices may be materially different from the individual performance attained by a specific fund orinvestor In addition the BlueBay fund holdings may differ significantly from the securities that comprise the indices shown Investors cannot invest directly in an indexinvestor. In addition, the BlueBay fund holdings may differ significantly from the securities that comprise the indices shown. Investors cannot invest directly in an index.

Gross performance figures reflect the reinvestment of all dividends and earnings, but do not reflect the deduction of investment management and performance fees. An investor’s return will be reduced by the deduction of the applicable fees, which will vary withthe rate of return on the fund. For example, the compounding effect of a 0.60% management fee and a 0.20% performance fee would reduce annualised returns from 10% to 9.32% over a 5 year period. In addition, the typical fees and expenses charged to a fundwill offset the funds trading profits. A description of the specific fee structure for each BlueBay fund is contained in the fund’s Prospectus.

Net performance figures reflect the reinvestment of all dividends and earnings, and the deduction of investment management and performance fees. In addition, the typical fees and expenses charged to a fund will offset the funds trading profits. A description ofthe specific fee structure for each BlueBay fund is contained in the fund’s Prospectus. Figures may not sum due to rounding.

Hypothetical/forecast performance figures are based on the stated facts and assumptions. No representation is being made that BlueBay Funds will or are likely to achieve profits or losses similar to those shown. There are frequently sharp differences betweenhypothetical/forecast performance results and the actual results subsequently achieved by any particular investment or trading strategy. There are numerous other factors related to the markets in general or to the implementation of any specific investment ortrading strategy which cannot be fully accounted for in the preparation of hypothetical/forecast performance results and all which can adversely affect trading results.

The performance track record may include a named fund manager’s activity for and on behalf of their previous firm in their capacity as the named fund manager of a named fund. Investors should be aware that any performance should not be attributed solely tothat named fund manager as it derived from their previous firm’s investment process and support functions.

Risk statistics are annualized and calculated using weekly data points since inception. Risk statistics will be produced once there are 3 complete months of data available; for meaningful results a minimum sample of 36 data points is recommended and where historyis less than 3 years caution should be taken with the interpretation and representation of this data. Returns for periods of less than 1 year have not been annualized in accordance with current industry standard reporting practices.

Past performance will not necessarily be repeated and is not indicative of future results The investments discussed may fluctuate in value and you may not get back the amount invested There is no guarantee that the objectives shown will be achieved Changes inPast performance will not necessarily be repeated and is not indicative of future results. The investments discussed may fluctuate in value and you may not get back the amount invested. There is no guarantee that the objectives shown will be achieved. Changes inrates of exchange may have an adverse effect on the value of investments. Investment in derivatives may involve a high degree of gearing or leverage, so that a relatively small movement in the price of the underlying investment results in a much larger movementin the price of the instrument, as a result of which prices are more volatile. The BlueBay funds are subject to various other risk factors and conflicts of interest. For further information regarding the risk factors and conflicts of interest with respect to each BlueBayfund please refer to the fund’s Prospectus.

Any investor who proposes to subscribe for an investment in any of the BlueBay funds must be able to bear the risks involved and must meet the respective fund’s suitability requirements. No assurance can be given that a fund’s investment objectives will beachieved. BlueBay fund investments may be speculative and involve a substantial degree of risk. The funds may be leveraged and engage in other speculative investment practices that may increase the risk of investment loss. An investor must realise that he or shecould lose all or a substantial amount of his or her investment in a BlueBay fund. The investments and strategies discussed here may not be suitable for all investors; if you have any doubts you should consult your investment adviser.

Investments in the BlueBay funds may be highly illiquid and there may not be a secondary market for an investor’s interest in the funds, in which case none should be expected to develop. There are restrictions on transferring interests in the funds. The fees andy y g y q y y , p p gexpenses charged to a fund may offset the funds trading profits. The instruments in which the funds invest may involve complex tax structures and there may be delays in distributing important tax information. The funds are not required to provide periodic pricingor valuation information to investors with respect to its individual investments.

BlueBay is not registered under securities laws in Canada and is relying on the international dealer exemption under applicable provincial securities legislation, which permit BlueBay to carry out certain specified dealer activities for those Canadian residents thatqualify as "a Canadian permitted client”, as such term is defined under applicable securities legislation in Canada.

® Registered trademark of Royal Bank of Canada. RBC Global Asset Management is a trademark of Royal Bank of Canada.

No part of this document may be reproduced in any manner without the prior written permission of BlueBay Asset Management LLP. Copyright 2012 © BlueBay, the investment manager, advisor and global distributor of the BlueBay Funds, is a wholly‐owned/

34Custom – Data end September 2012

subsidiary of Royal Bank of Canada and the BlueBay Funds may be considered to be related and/or connected issuers to Royal Bank of Canada and its other affiliates. BlueBay Asset Management LLP, registered office 77 Grosvenor Street, London W1K 3JR, England,partnership registered in England and Wales number OC370085. All rights reserved.

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