CQS Credit Multi Asset Fund Investor Report - August 2018 A Sub-Fund of CQS Global Funds (Ireland) p.l.c. Performance Summary . MTD Return % YTD Return % LTD Annualised % LTD Vol % LTD Sharpe 12 Month Vol % 12 Month Sharpe Performance Index GBP 0.38 1.91 5.06 2.08 2.18 1.17 2.60 Assets Under Management 1 Total Fund ($m): 6,181 Strategy AUM ($m): 7,030 Management Group ($bn): 17.5 Historic Returns Performance Index GBP (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2018 0.77 (0.14) 0.01 0.44 (0.03) (0.13) 0.61 0.38 1.91 2017 0.83 0.68 0.27 0.60 0.91 0.18 1.01 (0.06) 0.58 0.74 0.07 0.22 6.17 2016 (0.86) (0.99) 2.43 1.42 0.86 (0.30) 1.54 1.04 0.44 0.32 0.15 0.95 7.17 2015 0.50 1.17 0.69 0.83 0.34 (0.34) 0.50 (0.18) (0.42) 0.81 0.00 (0.33) 3.62 2014 0.58 0.73 0.33 0.37 0.61 0.54 0.28 0.35 (0.38) 0.08 0.18 (0.42) 3.26 2013 0.23 0.52 1.15 0.42 (1.18) 1.24 0.45 0.96 1.12 0.63 0.45 6.13 Performance Since Inception The Performance Index GBP is a theoretical, non-investable share class and therefore does not have a NAV. It is made up of a series of share classes in order to demonstrate the longest consistently available track record for the Fund. A breakdown of the index formulation is included at the end of this document. 980 1,030 1,080 1,130 1,180 1,230 1,280 1,330 1,380 Jan 13 Apr 13 Jul 13 Oct 13 Jan 14 Apr 14 Jul 14 Oct 14 Jan 15 Apr 15 Jul 15 Oct 15 Jan 16 Apr 16 Jul 16 Oct 16 Jan 17 Apr 17 Jul 17 Oct 17 Jan 18 Apr 18 Jul 18 Performance Index GBP Legal Notice This report includes historic returns and past performance is not a reliable indicator of future results. The value of investments can go down as well as up. Please read the important legal notice at the end of this document. All Investors should ensure that they have received and read the latest Offering Do cumentation and Pre-Investment Disclosure which is available from CQS at [email protected]Source CQS. I" Strategy Assets” represent assets held across CQS managed Funds (including bespoke mandates) where similar multi -asset credit investment strategies are employed. The provision of an overall Strategy Asset AUM is for illustrative purposes only and is intended to show solely the size of the asset classes managed by CQS where the investment strategy is the similar. On 1 May 2016, a portion of the CQS Credit Multi Asset Fund was switched by way of in-specie transfer to a bespoke mandate. 1
Transcript
CQS Credit Multi Asset Fund
Investor Report - August 2018
A Sub-Fund of CQS Global Funds (Ireland) p.l.c.
Performance Summary
.MTD
Return %
YTD
Return %
LTD
Annualised %
LTD
Vol %
LTD
Sharpe
12 Month
Vol %
12 Month
Sharpe
Performance Index GBP 0.38 1.91 5.06 2.08 2.18 1.17 2.60
Assets Under Management1
Total Fund ($m): 6,181 Strategy AUM ($m): 7,030 Management Group ($bn): 17.5
Historic Returns
Performance Index
GBP (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
The Performance Index GBP is a theoretical, non-investable share class and therefore does not have a NAV. It is made up of
a series of share classes in order to demonstrate the longest consistently available track record for the Fund. A breakdown
of the index formulation is included at the end of this document.
980
1,030
1,080
1,130
1,180
1,230
1,280
1,330
1,380
Jan 1
3
Apr
13
Jul 1
3
Oct
13
Jan 1
4
Apr
14
Jul 1
4
Oct
14
Jan 1
5
Apr
15
Jul 1
5
Oct
15
Jan 1
6
Apr
16
Jul 1
6
Oct
16
Jan 1
7
Apr
17
Jul 1
7
Oct
17
Jan 1
8
Apr
18
Jul 1
8
Perf
orm
ance
Index G
BP
Legal NoticeThis report includes historic returns and past performance is not a reliable indicator of future results. The value of investments can go down as well as up. Please read the important
legal notice at the end of this document. All Investors should ensure that they have received and read the latest Offering Do cumentation and Pre-Investment Disclosure which is available from CQS at [email protected]
Source CQS. I"Strategy Assets” represent assets held across CQS managed Funds (including bespoke mandates) where similar multi-asset credit investment strategies are employed. The provision of an overall Strategy Asset AUM is for illustrative purposes only and is intended to show solely the size of the asset classes managed by CQS where the investment
strategy is the similar. On 1 May 2016, a portion of the CQS Credit Multi Asset Fund was switched by way of in-specie transfer to a bespoke mandate.
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CMA Investor Report
August 2018
Performance Summary1
.MTD
Return %
YTD
Return %
LTD
Annualised %
NAV/
Share
Class I1 GBP 0.36 1.79 4.89 1,274.76
Class I1D GBP 0.36 1.79 3.69 1,006.97
Class I2 GBP 0.37 1.86 5.00 1,281.25
Class I2D GBP 0.37 1.24 - 994.41
Class I3 GBP 0.38 1.96 5.20 1,164.14
Class I3D GBP 0.38 1.30 - 995.03
Class I1 AUD 0.47 2.64 6.51 1,378.00
Class I2 AUD 0.48 2.71 6.22 1,128.35
Class I3 AUD 0.49 2.81 6.83 1,395.63
Class I1 USD 0.47 2.66 5.71 1,096.89
Class I2 USD 0.48 2.73 5.24 1,296.65
Class I2D USD 0.48 2.73 - 994.41
Class D1 GBP 0.38 1.95 4.46 1,063.79
Class D1D GBP 0.38 1.96 3.94 1,009.76
Class D1 AUD 0.49 2.80 - 1,041.78
Class D3 GBP 0.38 1.95 5.02 1,098.45
Class D3D GBP 0.38 1.95 - 986.33
Class D5 GBP 0.37 0.80 - 1,008.03
Class D5D GBP 0.37 0.84 - 990.50
Class E1 GBP 0.38 1.98 - 1,022.14
Class E2 GBP 0.39 0.87 - 1,008.74
1Class returns are calculated net of fees and expenses and with all dividends and income reinvested on the basis of a holding since incept ion of such class or, if such class has become dormant at any point following incept ion, since the f irst new investment into such class. The Fund launched on 21 January 2013 with Class C1 EUR, which has since become inact ive. Individuals may have dif ferent returns depending upon the date of their investment. Investors should refer to each specif ic share class for the actual historical performance of the relevant class; please request full history of data from CQS.
Commentary
The CQS Credit Multi Asset Fund (“CMA” or the “Fund”) produced a net return of
0.38% in August 2018, bringing net calendar year-to-date returns to 1.91%.
There was considerable divergence in financial markets throughout August, most acutely
evidenced by the weak performance of emerging market equities, down 2.7% when
compared to a rise of 3.3% in the S&P 500 Index. This was principally driven by
idiosyncratic and currency-related issues in Turkey and Argentina, and some contagion
was felt in Europe as Italian markets struggled.
The month also saw quite significant geographic divergence in performance between
European and US sub-investment grade credit markets. US loans underperformed their
European counterparts, returning only 40bps for the month (and 15bps when adjusted
for estimated hedging costs) versus 51bps for European loans. By contrast, US high yield
bonds outperformed those in Europe, up 72bps rather than 5bps as Europe struggled
with the macroeconomic and geopolitical backdrop.
Strategy Contribution
Sector Gross Monthly Return
Contribution (%)
ABS 0.11
Convertibles 0.04
High Yield1 0.08
Investment Grade 0.02
Loans 0.21
1Corporate Bonds and CDS excluding ABS and Convert ibles.
Regional Contribution
RegionGross Monthly Return
Contribution (%)
Americas 0.21
EMEA 0.25
Asia (0.00)
FAS 157 Fair Value Measurements
August July
Level 1 0.0 0.0
Level 2 99.0 99.2
Level 3 1.0 0.8
% Gross Market Value
FAS 157 Current Month Level 3
Asset Class
Independently
Priced
Manager
Priced
ABS Bonds 0.6 0.0
Loans 0.2 0.2
Total 0.8 0.2
% Gross Market Value
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CMA Investor Report
August 2018
Commentary
With respect to portfolio performance, all asset classes made a positive contribution to
the Fund, led by loans and asset backed securities. Loans contributed 21bps to returns.
The growing European portfolio drove performance, with strong capital gains bolstered
by income. In contrast, the US loan portfolio experienced capital losses associated with
idiosyncratic issues at a pharmaceutical borrower. This loss has not been realised by the
Fund, and we believe it is temporary. Asset backed securities contributed 11bps, with
carry bolstered by small capital gains in the portfolio in spite of continued supply-driven
price volatility in CLO liability investments.
Elsewhere, high yield contributed an estimated 8bps, with idiosyncratic capital gains in
the US supporting returns. The European contribution was principally income driven.
Convertibles contributed an estimated 4bps, led by the US book, in-line with global
equity performance. Despite a challenging backdrop, the investment grade (financials)
strategy performed relatively well, with a 2bps contribution.
Loans
Technical factors drove performance in the loan market, with a benign fundamental
environment still largely intact. August returns came to 0.40% for the S&P/LSTA
Leveraged Loan Index and 0.51% for the S&P European Leveraged Loan Index, with
market moves detracting 0.07% in the US and adding 0.20% in Europe.
The softness in US Loan secondary prices was driven by the high volume of merger and
acquisition transactions which funded during the month. While few new issue
transactions were launched in August, those brought to market at the end of July
allocated in early August. 73% of new issue was to fund merger and acquisition activity,
which delivered new supply to the market. Demand was stable and largely supportive in
both markets. Retail inflows of $891m in August brings the total so far this year to more
than $10bn. CLO issuance in both markets remained robust, with $13.6bn of CLO
issuance in the US and €1.3bn of CLO issuance in Europe. Fundamentals remained
largely supportive across both the US and European loan markets, with default rates
falling to 1.99% in the US and 0.12% in Europe.
Taking a closer look at US performance, the lower rated (and higher yielding) end of the market continued to outperform, with single Bs outperforming BBs (0.47% versus
0.29%). As with previous months, the outlier in terms of return continued to be CCCs,
which were up 0.82%. Second liens returned 0.62% for the month. Sector performance
in the US was evenly balanced, with retailers leading the way. Within Europe, single Bs
outperformed higher quality, up 0.59%. BBs returned 0.30%. The UK outperformed as a
consequence of a continued lack of GBP issuance, idiosyncratic price gains and higher
spreads, up 0.64%.
The Fund’s loans strategy contributed 21 bps (gross) to returns in August. This was
primarily attributable to interest, fees and other income across the regional portfolios.
On the secondary trading side, we saw secondary market improvement in a security
software company. Supportive financial results drove secondary prices higher. Gains were offset by mark-to-market losses in a pharmaceutical company which lost a contract
during the quarter. At the end of August, the loans portfolio was fully invested across
161 borrowers, with a spread to maturity of approximately 5.48%.
High Yield
August continued the trend of diverging performance between the US and European high
yield markets, as macroeconomic and geopolitical events in Turkey and Italy weighed on
European equities and higher risk asset classes, while strong data and resilient rates led
to a robust month in US high yield markets.
In the US, we saw the compression theme resume after a relatively long period of
underperformance. BBs rallied to return 0.90%, ahead of both Bs and CCs, which returned 0.63% and 0.38% respectively. New issuance was $16.7bn in August, while we
saw inflows of $780bn into the asset class. Combined with coupons and repayments, the
market remained technically in a very balanced place. The top performing sectors were
transportation services, consumer products and restaurants, while retail and oil services
underperformed.
Industry Contribution
Industry
Gross Monthly
Return
Contribution (%)
ABS 0.11
Automobiles & Components 0.01
Banks 0.00
Capital Goods 0.02
Commercial & Prof Services 0.04
Consumer Durables & Apparel (0.02)
Consumer Services 0.03
Diversified Financials 0.03
Energy 0.01
Food & Staples Retailing (0.00)
Food, Beverage & Tobacco 0.02
Health Care Eqt & Services 0.02
Household & Personal Products 0.01
Insurance 0.01
Materials 0.03
Media 0.04
Pharmaceuticals & Life Sciences (0.05)
Retailing 0.01
Semiconductors & Equipment (0.01)
Software & Services 0.11
Technology Hardware & Equipt 0.02
Telecommunication Services 0.01
Transportation 0.01
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CMA Investor Report
August 2018
Commentary
Unlike the US, there was no clear rating theme in Europe. BBs moved 20bps lower, in part due to the higher weighting of Italian risk in this
part of the market, while single Bs returned 60bps after a heavy issuance calendar in July and CCCs were flat on the month. Issuance and fund
flows were both muted in Europe, with only $0.6bn of new issuance and inflows of $58m during August. Against this backdrop, sector
dispersion remained elevated, with metals and miners outperforming while supermarkets and construction lagged.
Both the European and US high yield strategies finished ahead of the market in August, with Europe the largest overall contributor given its
higher allocation. The European high yield strategy had multiple idiosyncratic wins, as bonds recovered from weaker price action in July and
companies announced positive results. Positive contributions came from a name in the debt collector space, a chemicals company and a UK
recovery services business, while a European cable business was a small detractor. In the US, we saw limited detractors and two larger idiosyncratic gains from a US home alarm business which is tendering for bonds we own and a US cable business with positive results. The
allocation continued to be largely concentrated in the European book given the better current relative value, while the running yield on the
yield was 7.6% at month-end in US dollar terms.
Asset Backed Securities
ABS markets, by and large, were relatively quiet in August, with some sectors starting the month on a stronger relative value footing after
underperformance in July, which had been driven by a heavy supply side technical.
Following an exceptionally active July, European CLO markets slowed down markedly in August, with only three new issues printing and
lacklustre secondary markets. US non-agency markets, likewise, were very quiet throughout the month. We continue to be constructive on
ABS fundamentals and believe there will continue to be attractive relative value opportunities across sectors as the market situation progresses and further upside return potential develops from within our current portfolio.
Convertibles
Global convertibles had a solid month of performance, with the Thomson Reuters Global Focus Index rising 1.2% in US dollar terms, hedged.
New issuance volumes were relatively modest in August, as anticipated given the summer month, totalling $4.6bn of which the US accounted
for the majority with $3.3bn of new paper. Year-to-date, the global convertible market has seen a good increase in new issuance with $66.2bn
of paper issued year-to-date versus $50.9bn at this time last year. The US has accounted for over 60% of this activity.
Monthly returns were driven by US holdings, with slight losses in European and Asian names. Healthcare and information technology holdings
were the main gainers, with contributions from holdings in a US mobile payments group and a leading gene sequencing company. A US
semiconductor holding detracted as the company disappointed on guidance.
Outlook & Positioning
We have observed increased divergence in markets in recent months, both at the sector and security level, and geographically between the US
and Europe. We have been careful to maintain our investment discipline in recent months, and believe that rigorous fundamental analysis will
continue to prove its value in identifying attractive idiosyncratic investment opportunities in this environment.
Geographically, while we remain fundamentally positive on the US economy, valuations have moved significantly in the sub-investment grade
markets, and we have started to become concerned about the risk of complacency as spreads move lower. Compression of sub-investment
grade yields in the US, and a higher spread in European high yield than US high yield for the first time in for many years, represent investor risk
appetite and the strength of the US economy as much as nervousness about the political situation in Europe. However, the continued impact
of higher Treasury yields and short-term rates could create headwinds for fixed income, in our view, which are not always reflected in the
return profile for investors.
While cognisant of the political risks in Europe and other geopolitical uncertainties, we therefore continue to pivot our loans exposure back
towards Europe from the US, while seeking idiosyncratic opportunities, principally through high yield. Reflecting this, our exposure to asset-
backed securities will remain at approximately 24%, high yield at 9.5%, and investment grade (financials) and convertibles at 3.5% and 4.6%
respectively. Our exposure to loans will be 55.5%, with a gradual increase in European exposure over the US as opportunities permit. The
cash weighting, therefore, will be circa 3%. Inevitably, intra-month these allocations could change given the volatility we have seen in credit
markets.
Craig Scordellis – Head of Long-Only Multi-Asset Credit
The Fund may have since exited some or all of the positions detailed in the above commentary. Quoted Fund returns reference the Performance Index GBP. Investors should note the base currency of the Fund is in US dollars. All market data sourced from Bloomberg, MSCI,
Barclays, BofA Merrill Lynch, Markit and UBS.
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CMA Investor Report
August 2018
Asset Class AnalysisSensitivities
Loans54.7%
High Yield9.7%
Investment Grade3.3%
ABS24.0%
Convertibles4.8%
Cash4
3.5%
% NAVRisk Type August July
Credit Spread Delta ($k)1 (1,916.53) (1,778.35)
Interest Rate Rho ($k)1 (545.21) (483.52)
Equity Delta ($m) 109.71 110.02
1Credit Spread Delta and Interest Rate Rho exclude ABS.
4Includes committed cash e.g. margin posted on FX hedging
Risk Highlights
Metric August July
Weighted Average Rating 2 B+ B+
Percentage Long BEE with Public Rating 84.0% 82.8%
Percentage of Investments with Public Rating 83.0% 82.4%
Yield to Expected Maturity USD 6.79% 6.84%
Yield to Expected Maturity GBP 5.46% 5.49%
Yield to Expected Maturity AUD 6.55% 6.64%
Spread Duration 4.37 4.38
Interest Rate Duration 1.24 1.22
Long Bond Equivalent Exposure (%NAV) 96.5% 97.0%
Long Inventory Value (%NAV) 96.1% 96.5%
BEE of Sold Credit Derivatives (%NAV) 0.3% 0.5%
2Weighted Average Rating: Positions, including cash, are weighted according to BEE and spread implied ratings are used where instrument/issuer ratings are not available. Cash is rated according to the issuer rating of the custodian bank.
Regional Analysis of Long BEE
Americas44.7%
EMEA54.0%
Asia1.2%
% of Long BEE
Value at Risk (VaR)
10 Day 99% VaR August July
Risk Type ($m) (% NAV) ($m) (% NAV)
ABS 18.72 0.30% 19.05 0.33%
Convertibles 5.43 0.09% 4.55 0.08%
Loans 13.93 0.23% 13.34 0.23%
High Yield 3 8.82 0.14% 8.75 0.15%
Investment Grade 3 4.34 0.07% 3.85 0.07%
Uncommitted Capital (0.00) (0.00%) (0.00) 0.00%
Diversification (10.52) (0.17%) (11.54) (0.20%)
Total 40.72 0.66% 38.01 0.66%
1 Day 95% VaR August July
Risk Type ($m) (% NAV) ($m) (% NAV)
ABS 3.50 0.06% 3.32 0.06%
Convertibles 1.15 0.02% 1.01 0.02%
Loans 1.73 0.03% 1.86 0.03%
High Yield 3 1.27 0.02% 1.27 0.02%
Investment Grade 3 0.89 0.01% 0.80 0.01%
Uncommitted Capital (0.00) (0.00%) (0.00) (0.00%)
Diversification (2.59) (0.04%) (2.04) (0.04%)
Total 5.95 0.10% 6.22 0.11%
3Corporate Bonds and CDS excluding ABS and Convertibles.
5Other contains all sectors where exposure represents less than 0.80% of NAV.
Total Fund (0.16%) 0.20% 3.72% (3.72%) 0.90% (0.86%)
Asset Class ABS - 10% ABS +10%ABS2 (2.40%) 2.40%
Convertibles - -
High Yield - -
Investment Grade - -
Loans - -
Uncommitted Capital - -
Total Fund (2.40%) 2.40%1Scenarios in the table above are independent market shocks and therefore do not incorporate other correlated market shocks. For example, the equity shock does not imply a movement in credit spreads, interest rates and other risk factors.2Credit and Interest rate scenarios exclude ABS.
-0.15% -0.10% -0.05% 0.00% 0.05%
AUD
CHF
GBP
USD
EUR
HKD
SEK
SGD
% NAV
Rating Breakdown (no Proxy Rating)
Exposure Breakdown by Country
15.5%
16.6%
13.0%
25.4%
6.5%
3.0%
4.7%
0.9%
2.5%
4.5%
1.0%
4.1%
2.1%
0.0%
0.2%
0% 10% 20% 30%
NR
CCC+ Below
B-
B
B+
BB-
BB
BB+
BBB-
BBB
BBB+
A-
A
AA-
AA% NAV
Country ABS Convertibles High Yield Investment
Grade
Loans Total
Australia 0.1% - - - 0.3% 0.4%
Austria - 0.0% - - - 0.0%
Belgium - - - 0.1% 0.3% 0.4%
Canada - - - - 0.9% 0.9%
China - 0.4% - - - 0.4%
Czech Republic - - 0.2% - - 0.2%
Denmark - - 0.2% - 0.4% 0.6%
Finland - - - - 0.3% 0.3%
France - 0.5% - 0.2% 4.1% 4.8%
Germany - 0.3% 0.6% 0.3% 3.5% 4.8%
Hong Kong - 0.0% - - - 0.0%
Hungary - 0.1% - - - 0.1%
Ireland - - 0.3% - - 0.3%
Italy 0.0% 0.2% 0.3% - 0.5% 1.1%
Japan - 0.3% - - - 0.3%
Korea, Republic Of - 0.1% - - - 0.1%
Luxembourg - - 1.0% - 1.2% 2.2%
Malaysia - 0.0% - - - 0.0%
Malta - - - - 0.3% 0.3%
Mexico - 0.0% - - - 0.0%
Netherlands - - 0.4% 0.6% 3.9% 4.8%
Norway - 0.2% - - 0.4% 0.5%
PanEuropean 9.8% - - - - 9.8%
Portugal - - - 0.0% - 0.0%
Russian Federation - 0.1% - - - 0.1%
Spain - 0.2% 0.4% 0.6% 1.4% 2.6%
Sweden - 0.1% 0.6% - 0.4% 1.1%
Switzerland - 0.1% - 0.2% 1.0% 1.4%
UAE - 0.1% - - - 0.1%
United Kingdom 2.7% 0.3% 2.9% 1.2% 9.5% 16.6%
United States 11.4% 1.8% 2.8% - 26.3% 42.2%
Total 24.0% 4.8% 9.7% 3.3% 54.7% 96.5%
Rating Breakdown (with Proxy Rating)
18.1%
13.7%
27.5%
15.3%
4.3%
5.0%
1.0%
2.5%
4.8%
1.1%
4.3%
2.1%
0.1%
0.1%
0.4%
0.0%
0% 10% 20% 30%
CCC+ BelowB-B
B+BB-BB
BB+BBB-BBB
BBB+A-A
A+AA-AA
AA+
% NAV
Ratings Analysis Graphs (inc Proxy Rating): Includes cash. Internal credit ratings are used where externally sourced credit ratings are not available. Cash is rated according to the issuer rating of the custodian bank.
Global Sub Investment Grade All Maturities 5584.1 90.3% 5229.0 91.1%
Non Government Bonds 5895.0 95.4% 5491.4 95.7%
Inflation-Linked Bonds 0.0 0.0% 0.0 0.0%
Fixed Interest Total 3 5900.9 95.5% 5497.4 95.8%
Credit Default Swaps 20.1 0.3% 30.3 0.5%
Cash & Net Current Assets 218.8 3.5% 170.1 3.0%
Cash Total 238.9 3.9% 200.4 3.5%
Total 6181.1 100.0% 5738.6 100.0%
CDS CS01 ($K) -8.2
3For Convertible bonds, the maturity is the earliest o f put date and contractual maturity.
August July
1Bond Floor M arket Value of each convertible shown as Fixed Interest value with the remainder shown as Equity value.2Includes short dated Government bonds held for cash management purposes.
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CMA Investor Report
August 2018
Compliance Summary
Reference Description Long BEE ($m) % NAV Limit Utilisation Status
1a Loans 3,383.1 54.7% 60% 91.2% Appr. Limit
1b Corporate Bonds and CDS HY 596.7 9.7% 50% 19.3% Pass
Reference Description Long BEE ($m) % NAV Limit Utilisation Status
3a Max. Position ABS Originally AAA 29.4 0.5% 3% 15.8% Pass
3b Max Position ABS Originally Non-AAA 35.0 0.6% 1.5% 37.7% Pass
Reference Description Long BEE ($m) % NAV Limit Utilisation Status
4a Top Industry Limit 647.7 10.5% 15% 69.9% Pass
Reference Description Long BEE ($m) % NAV Limit Utilisation Status
5a Top IG Conviction Position 27.4 0.4% 6% 7.4% Pass
5b Top IG Non-Convicton Position 15.2 0.2% 4% 6.2% Pass
5c Top Sub-IG Position 75.9 1.2% 4% 30.7% Pass
Reference Description Long BEE ($m) % NAV Limit Utilisation Status
6a First Lien Loans 2,963.9 48.0% 60% 79.9% Pass
6b Second Lien Loans 416.0 6.7% 10% 67.3% Pass
6c Mezzanine Loans - - 10% - Pass
Reference Description Long BEE ($m) % NAV Limit Utilisation Status
7a Emerging Markets 81.1 1.3% 15% 8.7% Pass
Reference Description Value Limit Utilisation Status
8a IR Duration 1.24 2.00 62.2% Pass
Reference Description bps NAV Limit Utilisation Status
9a Equity-10% (16) (50) 32.4% Pass
Reference Description Limit Status
10a New Trade Liquidity Test 15% Pass
Reference AIFMD Leverage Limits % NAV Limit Utilisation Status
11a Gross Method1 170% 200% 84.8% Appr. Limit
11b Commitment Method2 97% 125% 77.3% Pass
1For methodology details see Article 4(3) o f Directive2011/61/EU (AIFM D) and Articles 6, 7, 9 and 10 of Delegated Regulation 231/2013.2For methodology details see Article 4(3) o f Directive 2011/61/EU (AIFM D) and Articles 6, 8, 9, 10 and 11 of Delegated Regulation 231/2013.
Limit Excess Count
Since last audit 0
August 2018 0
9
CMA Investor Report
August 2018
Definitions Fund Details1
Management Group assets under management includes mandates with discretionary
Value at Risk – 10 Day 99% VaR is the predicted worst-case loss at a 99% confidence
interval over a ten business day holding period.
Value at Risk – 1 Day 95% VaR is the predicted worst-case loss at a 95% confidence
interval over a one business day holding period.
Fund VaR is less than the sum of the individual component VaRs as the portfolio benefits
from diversification. VaR is a statistical framework that supports the quantification of
market risk within a portfolio of assets. VaR is calculated by RiskMetrics Group’s Web
Services market risk solution which is supported by RiskServer™ version 5.0. VaR is
calculated using RiskMetrics® historic simulation methodology over a two year period
and utilises RiskMetrics® CreditGrades™ methodology and historical CDS spreads to
model credit spread risk; details of the risk methodologies and valuation models can be
found at www.riskmetrics.com. Not all risks to which the portfolio may be exposed are
captured by VaR analysis.
Credit Ratings Standard and Poor's (S&P) and Moody's Corporation (Moody’s) ratings
are used to classify instruments and/or the relevant issuers. For the purpose of
calculating the Weighted Average Rating, spread implied ratings are applied where an
instrument or issuer is not rated by either agency. Cash is rated according to the issuer
rating of the custodian bank.
Equity Delta The equity-equivalent exposure of all positions in the portfolio.
Credit Spread Delta The impact on the value of the Fund’s securities of a one basis
point parallel upwards shift in credit spreads.
Interest Rate Rho The impact on the value of the Fund’s securities of a one basis point
parallel upwards shift in yield curves.
Uncommitted Capital Percentage of Fund NAV not currently supporting the
portfolio.
Bond Equivalent Exposure (BEE) For equity and debt instruments, the market value
of the position. For CDS the notional adjusted by the market value of the position.
Gross Monthly Return Contribution The local currency profit & loss converted at
the month-end FX rate into the Fund's currency as a contribution to overall fund return.
$m refers to millions of US Dollars
$k refers to thousands of US Dollars
FAS 157:
Level 1 - Quoted prices are available in active markets for identical investments from
market data sources. Investments include listed equities, listed bonds and listed
derivatives. FAS 157 requires that the Directors do not adjust the quoted price for these
investments, even in situations where the Fund holds a large position and a sale could
reasonably impact the quoted price.
Level 2 - Pricing inputs are observable broker-quoted prices for identical investments.
Investments typically within this category include bonds and loans, less liquid and
restricted equity securities and OTC derivatives.
Level 3 - Pricing inputs have limited or no observability. This category may include
securities where there is independent information, but limited corroborative back up
information. This may also, or additionally, include situations where there is little, if any,
market activity for the investment, and the inputs into the determination of fair value
require significant judgment or estimation.
Investment
Manager CQS (UK) LLP
Structure A sub-fund of CQS Global
Funds (Ireland) p.l.c. an Irish
'Qualifying Investor Alternative
Investment Fund'
with segregated liability
between sub-funds
Launch 21 January 2013
Status Open
Share Classes AUD, EUR, GBP, and USD
Distributing and Non-
Distributing Sub-Classes
availableManagement Fee2 Class I1: 0.75% p.a.
Class I2: 0.65% p.a.
Class I3: 0.50% p.a.
Class I4: 0.40% p.a.
Class D: blended management
fee rate for qualifying
consultants and/or their clients
Class E: blended management
fee rate for eligible LGPS pools
and underlying LGPS clients in
England and Wales
Subscriptions Monthly
Redemptions Monthly, with 30 days' notice
Lock Up None for I Classes;
Soft-Lock for D/E Classes
Gate Hybrid 10% per month
Class I1: USD1m / GBP650k
Class I2: USD50m / GBP35m
Class I3: USD200m / GBP125m
Class I4: USD620m / GBP400m
Class D/E: GBP10m
Custodian JP Morgan Bank (Ireland) plc
Administrator JP Morgan Hedge Fund Services
(Ireland) Limited
Auditor Ernst & Young
Financial Year End June
Last Audit 30 June 2017
1Subject to the terms of the Company’s Prospectus and the
Supplement of the Fund.
3Or the foreign currency equivalent thereof.
Min. Investment /
Min. Holding in
order to Access.3
2M anagement Fees deducted as an expense of the Fund and ref lected accordingly in the NAV. Share Classes effect ive as at 1 September 2015. Classes I3 and I4 are marginal fee rates charged on assets above minimum threshold. For D and E Classes, please contact CQS for further information.
10
CMA Investor Report
August 2018
Definitions Cont.
Performance Index GBP
21 January 2013 (launch) – 31 May 2015 Class C1 GBP returns (now inactive)
1 June 2015 – 28 August 2015
Weighted average of GBP Classes I1
(formerly C2), I2 (formerly C3) and C4
returns
1 September 2015 - 30 September 2016Weighted average of GBP Classes I1 and I2
returns
1 October 2016 to the present dateWeighted average of GBP Classes I1, I2, I3
and D3 returns
Class I3 AUD (Formerly Class C1 AUD)
1 February 2013 - 31 July 2013 Class B1 AUD (now inactive)
1 August 2013 to the present dateClass I3 AUD (formerly Class C1 AUD)
returns
Investors should note that the base currency of the Fund is US dollars
11
This document has been issued by CQS (UK) LLP (FRN 400496) which is authorised and regulated by the UK Financial Conduct Authority and/or (as the case may be) CQS (US), LLC which is a registered investment adviser with the SEC. The information is intended solely for sophisticated investors who are (a) professional investors as defined in Article 4 of the European Directive 2011/61/EU (b) accredited investors (within the meaning given to such term in Regulation D under the U.S. Securities Act of 1933, as amended) and (c) qualified purchasers (within the meaning given to such term in Section 2(a)(51) of the U.S Investment Company Act 1940, as amended). 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The term “CQS” as used herein may include one or more of any CQS branded entities including CQS (UK) LLP, CQS Cayman Limited Partnership which is registered with the Cayman Islands Monetary Authority, CQS (Hong Kong) Limited which is regulated by the Hong Kong Securities and Futures Commission, CQS (US), LLC which is registered with the US Securities and Exchange Commission, and CQS Investment Management (Australia) Pty Limited which is registered with the Australian Securities & Investments Commission, Australian Financial Services Licence No. 386047.This document has been prepared for general information purposes only and has not been delivered for registration in any jurisdiction nor has its content been reviewed by any regulatory authority in any jurisdiction. The information contained herein does not constitute: (i) a binding legal agreement; (ii) legal, regulatory, tax, accounting or other advice; (iii) an offer, recommendation or solicitation to buy or sell shares or interests in any fund or any security, commodity, financial instrument or derivative linked to, or otherwise included in, a portfolio managed or advised by CQS; or (iv) an offer to enter into any other transaction whatsoever (each a “Transaction”). Any decision to enter into a Transaction should be based on your own independent investigation of the Transaction and appraisal of the risks, benefits and suitability of such Transaction in light of your individual circumstances. 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In relation to each member state of the EEA (each a “Member State”), this document may only be distributed and shares or interests in a CQS Fund (“Shares”) may only be offered or placed in a Member State to the extent that: (1) the CQS Fund is permitted to be marketed to professional investors in the relevant Member State in accordance with the AIFMD (as implemented into the local law/regulation of the relevant Member State); or (2) this document may otherwise be lawfully distributed and the Shares may otherwise be lawfully offered or placed in that Member State (including at the initiative of the investor).Information required, to the extent applicable, for Distribution of Foreign Collective Investment Schemes to Qualified Investors in Switzerland: The representative in Switzerland is ARM Swiss Representatives SA, Route de Cité-Ouest 2, 1196 Gland, Switzerland. The distribution of Shares of the relevant CQS Fund in Switzerland will be exclusively made to, and directed at, qualified investors (the “Qualified Investors”), as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended (“CISA”) and its implementing ordinance (the “Swiss Distribution Rules”). Accordingly, the relevant CQS Fund has not been and will not be registered with the Swiss Financial Market Supervisory Authority ("FINMA"). The paying agent in Switzerland is Banque Cantonale de Genève, 17, quai de l’Ile, 1204 Geneva, Switzerland. The relevant Offering Document and all other documents used for marketing purposes, including the annual and semi-annual report, if any, can be obtained free of charge from the representative in Switzerland. The place of performance and jurisdiction is the registered office of the representative in Switzerland with regards to the Shares distributed in and from Switzerland. 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