AHFM Structured Products Fund. March 2015
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- Job Barber
- 7 years ago
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1 AHFM Structured Products Fund March 2015 This is a marketing communication and has not been prepared in accordance with legal requirements designed to promote independence of investment research and is not subject to any prohibition of dealing ahead of the dissemination of investment research. The information in this document is derived from sources believed to be reliable but which have not been independently verified. Any prices included within this communication are for indicative purposes only. Atlantic House Fund Management LLP makes no guarantee of its accuracy and completeness and is not responsible for errors of transmission of factual or analytical data, nor is it liable for damages arising out of any person s reliance upon this information. All charts and graphs are from publicly available sources or proprietary data. The opinions in this document constitute the present judgment of Atlantic House Fund Management LLP, which is subject to change without notice. This document is neither an offer to sell, purchase or subscribe for any investment nor a solicitation of such an offer. This document is intended for the use of institutional and professional customers and is not intended for the use of private customers. This document is not intended for distribution in the United States of America or to US persons. This document is intended to be distributed in its entirety. No consideration has been given to the particular investment objectives, financial situation or particular needs of any recipient. Atlantic House Fund Management LLP registered in England and Wales, Registered Office: One Eleven Edmund Street, Birmingham, B3 2HJ. Registration Number: OC376604, FCA Reference:
2 Why did we launch the Fund?
3 Rationale Why did we launch the Fund? Background Investors have consistently identified the need for a Collective Investment structured product solution to address the following: Ineligibility of direct securities such as institutional structures in Offshore Life Assurance Bonds Difficulty in including closed-end securities in Model Portfolio Services Managers not wanting to self-select individual securities Management of tax crystalisation for the end investor Investment Objective AHFM Structured Product Fund To generate medium to long-term growth by investing in a diversified portfolio of structured investments and derivatives that provide for a positive return in anything but the bleakest of market conditions. 3
4 Relative Performance
5 Relative Performance 12.00% 7.00% Newton Real Return FTSE Total Return AHFM Troy Standard Life GARS BH Macro LTD Ruffer Total Return Background 2.00% -3.00% -8.00% Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 5
6 Current shape of the Fund
7 Current Shape of the Fund Asset Allocation Credit Exposure 4% 7% 2% 1% Autocalls Digitals Boosters KO Strangles Cash 5% 6% 6% 6% 9% 4%2% 2% 61% Gilts Credit Suisse SG JPM HSBC UBS Cash 86% RBC Lloyds All data as at 13 th March
8 Current shape of the Fund Market Exposure As Measured by Delta 45% 40% 39.77% UK 35% North America 30% 25% 20% 15% 12.64% 15.06% Europe (excl. UK) Switzerland Canada 10% Asia 5% 0% 2.03% 0.27% 0.95% 0.84% Japan All data as at 13 th March
9 Current shape of the Fund Summary of Protection and Return Barriers Background Cover to lowest positive return barrier range 45.04% to 21.08% Average cover to lowest positive return barrier 33.16% Cover to capital protection barrier range 45.04% to 33.28% Average cover to capital protection barrier 39.13% All data as 13 th March
10 Current shape of the Fund Performance indicators for certain market moves Background Market move -20% -10% 0% +10% +20% Intrinsic Value/Unit Avg time to maturity GRY 6.85% 7.44% 8.51% 10.30% 10.41% Expected change in value Scenario Analysis Time/Market Move -20% -10% 0% +10% 3 months % -8.22% -0.47% 4.45% 1 year % -2.26% 6.11% 11.41% 2 year -5.36% 6.22% 15.15% 20.08% 3 year 2.71% 15.85% 24.99% 28.88% 4 year 12.97% 26.66% 34.12% 37.12% 5 year 25.45% 38.08% 43.20% 45.63% All data as at 13 th March
11 Fund performance
12 Performance Analysis 5 Dec to 15 Dec Parameter Spot move 3 yr vol move Forward move Total Impact FTSE -6.56% +1.28% -0.63% -3.52% EuroStoxx % +0.91% -0.18% -1.77% S&P % +1.67% -0.15% -0.89% Nikkei % -0.35% -0.15% -0.03% Hang Seng -3.14% +0.67% -0.27% -0.05% Canada -5.11% +1.70% -0.24% -0.06% SMI -3.45% +1.83% +0.03% -0.09% 3 yr Sterling Rates Rates fell 11.5bps over the period. The value of the fund increases by approximately 1.5bps for every 1bp decrease in rates Gilt / Asset Swap Spread Theta (time value) Typically, as marklets become jittery, the spread between Gilts and Libor widens which helps the performance of the fund to a small degree. Spreads widened 1.5bps per annum over the week As time goes by the puts the fund is inherently short decay in value helping the NAV every month % +0.12% +0.17% Estimated Total Move -5.94% Actual Move -5.86% 12
13 When does the Fund sell?
14 When does the Fund sell an Investment? JPM FTSE / S&P / Eurostoxx Defensive Autocall (10%) Strike Date 11 th April 2014 Strike Levels / / Potential Annual Return 10% Autocall Barriers: Year 1 100% Year 2 95% Year 3 90% Year 4 85% Year 5 80% Year 6 60% Protection Level 60% Background 14
15 When does the Fund sell an Investment? 110% 108% First put on 11 Apr 14 Background Price 100 GRY 10% 106% 104% 102% 100% 98% OTC_2 FTSE SPX Date sold 25 Feb 15 Price GRY 5.30% FTSE perf +5.91% SPX perf % SX5E perf % 96% 05-Dec Jan Feb Mar Apr May Jun-14 GRY earnt 10.68% 15
16 When does the Fund sell an Investment? Gilt backed FTSE / S&P / Eurostoxx / Nikkei Defensive Autocall (9%) Strike Date 16 th January 2014 Strike Levels / / / Potential Annual Return 9.0% Autocall Barriers: Year 1 100% Year 2 95% Year 3 90% Year 4 85% Year 5 80% Year 6 55% Protection Level 55% Background 16
17 When does the Fund sell an Investment? Jan Mar May Jul Sep Nov Jan-15 OTC4 FTSE 100 S&P 500 EuroStoxx 50 Nikkei First put on 16 Jan 14 Background Price 100% GRY 9.00% Date sold 5 Mar 14 Price % GRY 5.06% FTSE perf +1.52% S&P perf +4.38% SX5E perf % NKY perf % GRY earnt 12.90% 17
18 Summary
19 Summary Fully invested with AUM over 63 million Background Performance in line with expectation. Continuing to take profits early where risk / rewards dictate. Thanks for the support! Atlantic House, 1 st Floor, New Noel Bond Street. Street. London London W1F W1S 8GB 1RR - Tel: - Tel: Authorised Authorised and and Regulated Regulated by the by the Financial Financial Conduct Conduct Authority Authority Firm Firm No. No
20 Appendix 20
21 Current shape of the Fund 13 March 2015 NAV ( ) % Total fund Background Summary Greeks Issuer exposure FTSE SPX SX5E Canada NKY HSI SMI Total Bank Exposure Delta 39.77% 12.64% 15.06% 0.27% 0.84% 0.95% 2.03% 71.56% CS 9.01% Vega -0.50% -0.31% -0.31% -0.01% -0.03% -0.03% -0.02% -1.20% HSBC 5.48% Beta 45.97% 16.50% 18.88% 0.40% 1.25% 1.30% 2.34% 86.62% UBS 5.99% Skew RBC 1.86% SG 5.97% JPM 5.82% Analytics Lloyds 1.58% Market move -20% -10% 0 10% 20% Cash 3.71% Intrinsic NAV/unit ( ) Gilt 60.59% GRY 6.75% 7.29% 8.21% 9.74% 9.85% Total % Duration (yrs) Payoff Exposure Scenario Analysis Payoff Exposure Market move -20% -10% 0 10% Autocall 86.25% 3 months % -8.74% -1.03% 3.86% Digital 4.42% 1 year % -2.82% 5.51% 10.78% Booster 7.23% 2 year -5.90% 5.62% 14.49% 19.40% KO Strangle 1.58% 3 year 2.13% 15.19% 24.29% 28.15% Non-payoffs 0.52% 4 year 12.33% 25.94% 33.36% 36.35% Total % 5 year 24.74% 37.29% 42.39% 44.81% 1 Month VAR (99%) % Bank MTMs Received / Paid Over/Under Pledge or Recall Amount due Daily VAR (99%) 3.69% JPM (GBP) 152, , , Pledge 260,000 Daily NAV Move % UBS (USD) 619, , , VAR breach No Derived 12m volatilty 16.00% KIID Synthetic Risk Cat 6 All data as at 29 th January 2015 NAV Protected Amount % All data as at 13 th March
22 Current investments 13-Mar-15 Bank TAB Trade Ref Structure AC barrier 1 AC barrier 2 AC barrier 3 AC barrier 4 AC barrier 5 AC barrier 6 KI barrier Cash - accrued fee UBS CH AHFM_1 AHFM_14 Autocall 100% 95% 90% 85% 80% 70% 60% HSBC GB00BG48MF09 AHFM_2 AHFM_2 Digital % % % % % 60% 60% SG XS AHFM_3 AHFM_17 Autocall 100% 100% 95% 90% 85% 65% 65% - - AHFM_ RBC XS AHFM_5 AHFM_5 Digital % % % % % 65% 65% CS XS AHFM_6 AHFM_16 Autocall 100% 95% 90% 85% 80% 75% 60% JPM NL AHFM_7 AHFM_19 Autocall 100% 95% 90% 85% 80% 75% 65% CS XS AHFM_8 AHFM_20 Autocall 100% 95% 90% 85% 80% 60% 60% - - AHFM_ HSBC GB00BH36QY96 AHFM_10 AHFM_10 Booster SG JE00BVVPY533 AHFM_11 AHFM_22 Autocall 100% 95% 90% 85% 80% 75% 65% CS XS AHFM_12 AHFM_23 Autocall 100% 95% 90% 85% 80% 72% 60% JPM XS AHFM_13 AHFM_21 Autocall 100% 95% 90% 85% 80% 60% 60% Lloyds XS AHFM_15 AHFM_15 KO Strangle JPM Gilt OTC 1 AHFM_OTC_02 AHFM_OTC_16 Autocall 100% 95% 90% 85% 80% 75% 65% JPM Gilt OTC 13 AHFM_OTC_03 AHFM_OTC_17 Autocall 100% 100% 100% 95% 90% 65% 60% UBS Gilt OTC 22 AHFM_OTC_04 AHFM_OTC_23 Autocall 100% 95% 90% 85% 80% 59% 59.0% UBS Gilt OTC1 AHFM_OTC_05 AHFM_OTC_21 Autocall 100% 100% 100% 100% 100% 60% 53% SG Gilt OTC6 AHFM_OTC_07 AHFM_OTC_25 Autocall 100% 95% 90% 85% 80% 65% 60% UBS Gilt OTC6 AHFM_OTC_08 AHFM_OTC_08 Autocall 100% 100% 100% 100% 100% 62.5% 60.0% JPM Gilt OTC6 AHFM_OTC_09 AHFM_OTC_20 Autocall 100% 100% 100% 90% 80% 65% 65% JPM Gilt OTC6 AHFM_OTC_10 AHFM_OTC_10 Autocall 100% 100% 100% 90% 80% 75.0% 65.0% JPM Gilt OTC6 AHFM_OTC_11 AHFM_OTC_11 Booster JPM Gilt OTC6 AHFM_OTC_12 AHFM_OTC_12 Autocall 100% 95% 90% 85% 80% 60% 60% JPM Gilt OTC13 AHFM_OTC_14 AHFM_OTC_14 Autocall 100% 100% 100% 100% 100% 75% 60% JPM Gilt OTC13 AHFM_OTC_15 AHFM_OTC_15 Autocall 100% 95% 90% 85% 80% 62% 60% UBS Gilt OTC13 AHFM_OTC_18 AHFM_OTC_18 Autocall 100% 95% 90% 85% 80% 55% 55% UBS Gilt OTC6 AHFM_OTC_24 AHFM_OTC_24 Autocall 100% 95% 90% 85% 80% 65% 60% All data as at 13 th March
23 Current investments 13-Mar-15 Payoffs Bank TAB Trade Ref Structure Cash - accrued fee UBS CH AHFM_1 AHFM_14 Autocall % % % % % % HSBC GB00BG48MF09 AHFM_2 AHFM_2 Digital % % % % % % SG XS AHFM_3 AHFM_17 Autocall % % % % % % - - AHFM_ RBC XS AHFM_5 AHFM_5 Digital % % % % % % CS XS AHFM_6 AHFM_16 Autocall % % % % % % JPM NL AHFM_7 AHFM_19 Autocall % % % % % % CS XS AHFM_8 AHFM_20 Autocall % % % % % % - - AHFM_ HSBC GB00BH36QY96 AHFM_10 AHFM_10 Booster SG JE00BVVPY533 AHFM_11 AHFM_22 Autocall % % % % % % CS XS AHFM_12 AHFM_23 Autocall % % % % % % JPM XS AHFM_13 AHFM_21 Autocall % % % % % % Lloyds XS AHFM_15 AHFM_15 KO Strangle JPM Gilt OTC 1 AHFM_OTC_02 AHFM_OTC_16 Autocall 9.40% 18.13% 26.86% 35.59% 44.32% 53.05% JPM Gilt OTC 13 AHFM_OTC_03 AHFM_OTC_17 Autocall 10.20% 20.40% 30.60% 40.80% 51.00% 61.20% UBS Gilt OTC 22 AHFM_OTC_04 AHFM_OTC_23 Autocall 10.17% 19.17% 28.17% 37.17% 46.17% 55.17% UBS Gilt OTC1 AHFM_OTC_05 AHFM_OTC_21 Autocall 9.20% 18.40% 27.60% 36.80% 46.00% 55.20% SG Gilt OTC6 AHFM_OTC_07 AHFM_OTC_25 Autocall 8.50% 17.00% 25.50% 34.00% 42.50% 51.00% UBS Gilt OTC6 AHFM_OTC_08 AHFM_OTC_08 Autocall 12.15% 21.75% 31.35% 40.95% 50.55% 60.15% JPM Gilt OTC6 AHFM_OTC_09 AHFM_OTC_20 Autocall 9.98% 19.18% 28.38% 37.58% 46.78% 55.98% JPM Gilt OTC6 AHFM_OTC_10 AHFM_OTC_10 Autocall 11.96% 20.11% 28.26% 36.41% 44.56% 52.71% JPM Gilt OTC6 AHFM_OTC_11 AHFM_OTC_11 Booster JPM Gilt OTC6 AHFM_OTC_12 AHFM_OTC_12 Autocall 9.15% 17.40% 25.65% 33.90% 42.15% 50.40% JPM Gilt OTC13 AHFM_OTC_14 AHFM_OTC_14 Autocall 9.70% 19.40% 29.10% 38.80% 48.50% 58.20% JPM Gilt OTC13 AHFM_OTC_15 AHFM_OTC_15 Autocall 11.25% 20.25% 29.25% 38.25% 47.25% 56.25% UBS Gilt OTC13 AHFM_OTC_18 AHFM_OTC_18 Autocall 9.60% 19.20% 28.80% 38.40% 48.00% % UBS Gilt OTC6 AHFM_OTC_24 AHFM_OTC_24 Autocall 8.50% 17.00% 25.50% 34.00% 42.50% 51.00% All data as at 13 th March
24 Risk Metrics per Security 13-Mar-15 Delta Vega Bank TAB Trade Ref Structure FTSE SPX SX5E Canada NKY HSI SMI FTSE SPX SX5E Canada NKY HSI SMI Cash - accrued fee UBS CH AHFM_1 AHFM_14 Autocall 35.50% 11.22% 16.74% 0.00% 0.00% 0.00% 0.00% -0.55% -0.31% -0.43% 0.00% 0.00% 0.00% 0.00% HSBC GB00BG48MF09 AHFM_2 AHFM_2 Digital 45.52% 14.61% 0.00% 0.00% 0.00% 0.00% 0.00% -0.99% -0.54% 0.00% 0.00% 0.00% 0.00% 0.00% SG XS AHFM_3 AHFM_17 Autocall 37.54% 10.83% 0.00% 0.00% 0.00% 0.00% 0.00% -0.31% -0.15% 0.00% 0.00% 0.00% 0.00% 0.00% - - AHFM_ % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% RBC XS AHFM_5 AHFM_5 Digital 45.52% 0.00% 0.00% 14.61% 0.00% 0.00% 0.00% -0.99% 0.00% 0.00% -0.54% 0.00% 0.00% 0.00% CS XS AHFM_6 AHFM_16 Autocall 36.34% 12.64% 0.00% 0.00% 0.00% 0.00% 0.00% -0.21% -0.27% 0.00% 0.00% 0.00% 0.00% 0.00% JPM NL AHFM_7 AHFM_19 Autocall 30.66% 24.88% 0.00% 0.00% 0.00% 0.00% 0.00% -0.41% -0.43% 0.00% 0.00% 0.00% 0.00% 0.00% CS XS AHFM_8 AHFM_20 Autocall 20.40% 19.39% 28.93% 0.00% 0.00% 0.00% 0.00% -0.50% -0.36% -0.50% 0.00% 0.00% 0.00% 0.00% - - AHFM_ % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% HSBC GB00BH36QY96 AHFM_10 AHFM_10 Booster 94.69% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -0.85% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% SG JE00BVVPY533 AHFM_11 AHFM_22 Autocall 32.09% 15.38% 0.00% 0.00% 0.00% 0.00% 0.00% -0.55% -0.23% 0.00% 0.00% 0.00% 0.00% 0.00% CS XS AHFM_12 AHFM_23 Autocall 34.66% 0.00% 36.96% 0.00% 0.00% 0.00% 0.00% -0.58% 0.00% -0.71% 0.00% 0.00% 0.00% 0.00% JPM XS AHFM_13 AHFM_21 Autocall 21.40% 18.37% 21.54% 0.00% 0.00% 0.00% 0.00% -0.43% -0.35% -0.31% 0.00% 0.00% 0.00% 0.00% Lloyds XS AHFM_15 AHFM_15 KO Strangle 81.58% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -0.69% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% JPM Gilt OTC 1 AHFM_OTC_02 AHFM_OTC_16 Autocall 51.75% 15.12% 0.00% 0.00% 0.00% 0.00% 28.01% -0.14% -0.36% 0.00% 0.00% 0.00% 0.00% -0.28% JPM Gilt OTC 13 AHFM_OTC_03 AHFM_OTC_17 Autocall 40.17% 26.16% 15.49% 0.00% 0.00% 0.00% 0.00% -0.34% -0.51% -0.51% 0.00% 0.00% 0.00% 0.00% UBS Gilt OTC 22 AHFM_OTC_04 AHFM_OTC_23 Autocall 25.51% 20.04% 28.40% 0.00% 12.10% 0.00% 0.00% -0.53% -0.49% -0.44% 0.00% -0.17% 0.00% 0.00% UBS Gilt OTC1 AHFM_OTC_05 AHFM_OTC_21 Autocall 28.71% 7.46% 0.00% 0.00% 0.00% 19.22% 0.00% -0.71% -0.49% 0.00% 0.00% 0.00% -0.57% 0.00% SG Gilt OTC6 AHFM_OTC_07 AHFM_OTC_25 Autocall 22.97% 0.00% 38.23% 0.00% 0.00% 0.00% 0.00% -0.53% 0.00% -0.76% 0.00% 0.00% 0.00% 0.00% UBS Gilt OTC6 AHFM_OTC_08 AHFM_OTC_08 Autocall 38.97% 10.88% 13.87% 0.00% 0.00% 0.00% 0.00% -0.43% -0.25% -0.30% 0.00% 0.00% 0.00% 0.00% JPM Gilt OTC6 AHFM_OTC_09 AHFM_OTC_20 Autocall 22.81% 0.00% 29.24% 0.00% 0.00% 0.00% 0.00% -0.51% 0.00% -0.72% 0.00% 0.00% 0.00% 0.00% JPM Gilt OTC6 AHFM_OTC_10 AHFM_OTC_10 Autocall 53.66% 12.98% 0.00% 0.00% 0.00% 0.00% 0.00% -0.36% -0.25% 0.00% 0.00% 0.00% 0.00% 0.00% JPM Gilt OTC6 AHFM_OTC_11 AHFM_OTC_11 Booster 33.80% 38.17% 36.54% 0.00% 0.00% 0.00% 0.00% -0.69% -0.62% -0.61% 0.00% 0.00% 0.00% 0.00% JPM Gilt OTC6 AHFM_OTC_12 AHFM_OTC_12 Autocall 34.12% 9.79% 11.71% 0.00% 0.00% 0.00% 0.00% -0.26% -0.16% -0.38% 0.00% 0.00% 0.00% 0.00% JPM Gilt OTC13 AHFM_OTC_14 AHFM_OTC_14 Autocall 70.56% 8.95% 18.12% 0.00% 0.00% 0.00% 0.00% -0.41% -0.37% -0.42% 0.00% 0.00% 0.00% 0.00% JPM Gilt OTC13 AHFM_OTC_15 AHFM_OTC_15 Autocall 36.11% 14.52% 22.74% 0.00% 0.00% 0.00% 0.00% -0.17% -0.29% -0.29% 0.00% 0.00% 0.00% 0.00% UBS Gilt OTC13 AHFM_OTC_18 AHFM_OTC_18 Autocall 27.02% 7.30% 0.00% 0.00% 2.84% 0.00% 11.20% -0.54% -0.62% 0.00% 0.00% -0.44% 0.00% -0.20% UBS Gilt OTC6 AHFM_OTC_24 AHFM_OTC_24 Autocall 22.97% 0.00% 38.23% 0.00% 0.00% 0.00% 0.00% -0.53% 0.00% -0.76% 0.00% 0.00% 0.00% 0.00% All data as at 13 th March
25 GRY per Security 13-Mar-15 Based upon current spot Bank TAB Trade Ref Structure Payoff Payoff date Overide price (offer) GRY (offer) Overide price (bid) Cash - accrued fee UBS CH AHFM_1 AHFM_14 Autocall % 20-Jun % % 10.21% HSBC GB00BG48MF09 AHFM_2 AHFM_2 Digital % 11-Nov % % 6.53% SG XS AHFM_3 AHFM_17 Autocall % 20-Oct % % 11.53% - - AHFM_ % X 0.00% % 0.00% RBC XS AHFM_5 AHFM_5 Digital % 20-Nov % % 7.48% CS XS AHFM_6 AHFM_16 Autocall % 24-Aug % % 16.85% JPM NL AHFM_7 AHFM_19 Autocall % 21-Dec % % 9.16% CS XS AHFM_8 AHFM_20 Autocall % 28-Feb % % 10.38% - - AHFM_ % X 0.00% % 0.00% HSBC GB00BH36QY96 AHFM_10 AHFM_10 Booster % 11-Dec % % 6.02% SG JE00BVVPY533 AHFM_11 AHFM_22 Autocall % 10-Mar % % 9.88% CS XS AHFM_12 AHFM_23 Autocall % 02-May % % 9.10% JPM XS AHFM_13 AHFM_21 Autocall % 10-Mar % % 4.04% Lloyds XS AHFM_15 AHFM_15 KO Strangle % 14-Jul % % 0.32% JPM Gilt OTC 1 AHFM_OTC_02 AHFM_OTC_16 Autocall % 26-Jul % % 10.38% JPM Gilt OTC 13 AHFM_OTC_03 AHFM_OTC_17 Autocall % 10-Sep % % 9.18% UBS Gilt OTC 22 AHFM_OTC_04 AHFM_OTC_23 Autocall % 01-May % % 9.15% UBS Gilt OTC1 AHFM_OTC_05 AHFM_OTC_21 Autocall % 29-Jan % % 7.82% SG Gilt OTC6 AHFM_OTC_07 AHFM_OTC_25 Autocall % 10-Mar % % 9.29% UBS Gilt OTC6 AHFM_OTC_08 AHFM_OTC_08 Autocall % 15-Jun % % 12.43% JPM Gilt OTC6 AHFM_OTC_09 AHFM_OTC_20 Autocall % 12-Jan % % 8.99% JPM Gilt OTC6 AHFM_OTC_10 AHFM_OTC_10 Autocall % 09-Sep % % 12.00% JPM Gilt OTC6 AHFM_OTC_11 AHFM_OTC_11 Booster % 10-Jun % % 6.41% JPM Gilt OTC6 AHFM_OTC_12 AHFM_OTC_12 Autocall % 20-May % % 13.65% JPM Gilt OTC13 AHFM_OTC_14 AHFM_OTC_14 Autocall % 13-May % % 8.16% JPM Gilt OTC13 AHFM_OTC_15 AHFM_OTC_15 Autocall % 12-Sep % % 9.62% UBS Gilt OTC13 AHFM_OTC_18 AHFM_OTC_18 Autocall % 14-Dec % % 9.14% UBS Gilt OTC6 AHFM_OTC_24 AHFM_OTC_24 Autocall % 10-Mar % % 8.30% GRY (bid) All data as at 13 th March
26 GRY per Security Bank Trade %age Price % % 0.00% 10.00% 20.00% UBS AHFM_ % % 7.68% 8.40% 9.79% 14.60% 14.60% HSBC AHFM_2 2.58% % 6.42% 6.42% 6.42% 6.42% 6.42% SG AHFM_ % % 7.55% 8.59% 10.64% 10.64% 10.64% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% RBC AHFM_5 1.87% % 7.38% 7.38% 7.38% 7.38% 7.38% CS AHFM_ % % 7.64% 8.73% 15.57% 15.57% 15.57% JPM AHFM_ % % 7.18% 7.80% 8.86% 10.57% 10.57% CS AHFM_ % 99.74% 8.42% 9.14% 10.10% 11.02% 11.02% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% HSBC AHFM_ % % -0.66% 2.82% 5.92% 8.70% 10.85% SG AHFM_ % 98.05% 7.72% 8.42% 9.60% 11.09% 11.09% CS AHFM_ % 99.05% 7.54% 8.11% 8.84% 9.40% 9.40% JPM AHFM_ % 99.75% 7.52% 8.07% 8.80% 9.34% 9.34% Lloyds AHFM_ % % 3.66% 2.01% 0.22% 3.03% 6.07% JPM AHFM_OTC_ % % 7.43% 8.15% 9.61% 14.43% 14.43% JPM AHFM_OTC_ % % 8.19% 8.19% 8.88% 11.21% 11.21% UBS AHFM_OTC_ % 99.84% 7.46% 7.99% 8.64% 9.10% 9.10% UBS AHFM_OTC_ % % 7.64% 7.64% 7.64% 9.81% 9.81% SG AHFM_OTC_ % % 7.27% 7.75% 8.20% 8.20% 8.20% UBS AHFM_OTC_ % % 7.44% 7.44% 8.50% 8.50% 8.50% JPM AHFM_OTC_ % % 7.53% 7.76% 7.73% 7.73% 7.73% JPM AHFM_OTC_ % % 6.94% 7.22% 9.88% 9.88% 9.88% JPM AHFM_OTC_ % % 0.32% 3.45% 6.23% 8.56% 8.56% JPM AHFM_OTC_ % % 6.87% 7.34% 8.09% 8.09% 8.09% JPM AHFM_OTC_ % % 7.96% 7.96% 7.96% 19.66% 19.66% JPM AHFM_OTC_ % % 7.36% 7.95% 8.92% 10.71% 10.71% UBS AHFM_OTC_ % % 7.78% 8.22% 7.75% 7.75% 7.75% UBS AHFM_OTC_ % % 7.08% 7.43% 7.23% 7.23% 7.23% All data as at 13 th March
27 Why buy a Gilt? Investor Market Libor +4!! Return Cash Market Gilt flows - fixed Fund Libor +4!! SP payoff: Autocall, Digital, etc Sell CDS? Cash Gilt Receive 100bps p.a? Market Market 27
28 Market Exposure Investment Guidelines Background Predominantly major global equity indices with a bias to the UK, in either single or multi index payoffs. At outset, only structures that provide for positive return, even in a down market will be included in the portfolio. In selecting the structures, 4 risk measures are considered: Historical analysis of investment return in relation to capital preservation and positive return. Long term estimated performance Expected GRY to maturity of all investments calculated for different index performances. Medium term estimated performance Scenario analysis for up and down markets performed for different time periods to estimate future NAV. Short term estimated performance Greeks are calculated so day-to-day NAV performance can be estimated and understood. Atlantic House, 1 st Floor, 72 New 2-4 Noel Bond Street. London W1F W1S 8GB 1RR - -Tel: Tel: Authorised Authorised and Regulated and Regulated by the by Financial the Financial Conduct Conduct Authority Authority Firm No. Firm No
29 Credit Exposure Investment Guidelines Background At outset, only issuers or counterparties with a credit rating of at least single A- will be included. Issuer or counterparty downgrades will trigger an Investment Committee review. 10% maximum exposure to any one single counterpart or issuer and subject to 5, 10, 40 rule. No more than 5% of fund s assets in any one single security. With bank credit spreads currently quite tight, over 50% of the Fund is invested in Gilt-backed investments. 29
30 Investment Process & Selection Investment Process Investment Selection Primary & secondary market opportunities Effect on Overall Portfolio Counterparty and credit risk At least weekly Investment Committee meeting Underlying, volatility, correlation & interest rate risk Mark-to- Market The Committee will assess: GRY Adherence to investment objective and constraints Intrinsic Value A diversified portfolio in terms of investment return & risk in different market scenarios 30
31 Historical Index Performances
32 Historical Index Performances % Background % % % SPX Index UKX Index SX5E Index 50.00% 0.00% 01/02/ /02/ /02/ /02/ /02/ % 32
33 Historical performance one structure % % Background % % % 90.00% 80.00% 70.00% 60.00% FTSE 100 Price Symphony % 40.00% Jan-08 Apr-08 Jul-08 Nov-08 Feb-09 May-09 Sep-09 Dec-09 Mar-10 Jun-10 Oct-10 Jan-11 These figures represent simulated past performance, based upon the actual returns of the FTSE Price and Total Return Index. Past performance is not a reliable indicator of future performance. 33
34 Administrative Details Fund type Investment Manager Liquidity Currency UCITS IV Atlantic House Fund Management LLP Daily GBP Minimum subscription amount B Class: 5,000,000 Initial charge B Class: 0% AMC B Class: 0.55% TER B Class: 0.88% Share type Reporting status ISIN/Sedol Listing Administrator, registrar, transfer agent Custodian Promoter Auditor Accumulation Yes B Class ISIN : E00BFLR2202 B Class SEDOL: BFLR220 IE Irish Stock Exchange RBC Investor Services Ireland Limited RBC Investor Services Bank S.A., Dublin Branch Gemini Investment Management Limited Deloitte and Touche 34
35 Who are AHFM? AHFM was formed in 2012 and is approved as an Investment Manager by the Financial Conduct Authority AHFM comprises four founding partners who between them have more than 60 years industry experience. Andrew Lakeman Co-founder, Catley Lakeman Securities. Director in the Equity Derivatives business at Citi from 2005, responsible for securitised product sales to UK asset managers. Prior to joining Citi, worked for AXA IM as Investment Sales Manager for London and the South East. Prior to this, responsible for strategic alliances at Threadneedle Investments. Andrew started his career in sales at John Govett. Tom May Co-founder, Catley Lakeman Securities. Previously head of the European Securitised Equity Derivative and Secondary Market Trading at Citi between 2005 and Prior to this, equity derivatives trader at Citi. Edward Senior Previously an MD and head of EMEA Multi-asset Structuring at Citigroup. Having joined the firm's Finance Department in 1998, Edward spent the next three years qualifying as a Chartered Management Accountant (ACMA), before moving to the equity derivatives trading desk and spending the next 10 years focusing on equity derivative and multi-asset structuring. 35
36 Contacts Atlantic House Fund Management LLP Tom May Edward Senior T: ( +44 ) T: ( +44 ) M: ( +44 ) M: ( +44 ) E: tom.may@atlantichousefm.com E: edward.senior@atlantichousefm.com 36
37 Disclaimer The information in this document is derived from sources believed to be reliable but which have not been independently verified. Atlantic House Fund Management makes no guarantee of its accuracy and completeness and is not responsible for errors of transmission of factual or analytical data, nor is it liable for damages arising out ofany person s reliance upon this information. All charts and graphs are from publicly available sources orproprietary data. The opinions in this document constitute the present judgment of Atlantic House Fund Management, which is subject to change without notice. This document is neither an offer to sell, purchase or subscribe for any investment nor a solicitation of such an offer. This document is intended for the use of institutional and professional customers and is not intended for the use of private customers. This document is not intended for distribution in the United States of America or to US persons. This document is intended to be distributed in its entirety. No consideration has been given to the particular investment objectives, financial situation or particular needs of any recipient. Atlantic House Fund Management LLP registered in England and Wales, Registered Office : One Eleven Edmund Street, Birmingham, B3 2HJ. Registration Number: OC376604, FCA Reference:
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