Fixed Income Management

P l Abberley
Paul Abb l

DRAFT 12 January 2011 V1

1
Fixed income management at Aviva Investors

A major fixed income player in the market

Market leading
g expertise
p

St
Strong ttrack
k record
d off outperformance
t f and
dddelivery
li

2
 Aviva Investors: credit performance

Aviva Investors Investment Grade Aviva Investors

Corporate Bonds – US Corporate Bond Fund – UK

% %
14 10
12.71 Gross Performance 9.22
to 30/9/10 Gross Performance
11.67 9 to 30/11/10
12
Barclays Capital 8 Iboxx Non-Gilts All
10.02 7.05
10 U.S. Credit Index 6.80 (£)
7
8.29
6 5 33
5.33
8 7 27
7.27
6.48 5 4.47
6 3.69
4

4 3

2
2
1

0 0
One year Three years Five years One year Three years Five years
An institutional segregated mandate. AuM of $1.16bn An Investment Company with Variable Capital (ICVC) which is
as at 30/09/2010. an authorised collective investment scheme. AuM of £1.53bn as
at 30/11/2010.

Aviva Investors Investment Grade Corporate Bonds – performance for the period ended
30/09/2010.
Source: Aviva Investors North America Performance Team (GIPS compliant).
Aviva Investors Corporate Bond Fund – performance for the period ended 30/11/2010.
Source: Aviva Investors UK Performance Measurement Team.
All returns are annualised.
Past performance is not a guide to future performance.
3
 Aviva Investors: peer group performance

Aviva Investors Aviva Investors Corporate Bond Fund

Global High Yield Bond and Strategic Bond Fund – UK

Quartile Quartile

1st 1st

2nd 2nd

3rd 3rd Corporate Bond

Percentile
Global High Yield
Percentile Strategic Bond
4th 4th Percentile

One Year Two Years One Year Two Years Three Years
AuM of $70m as at 30/09/2010. AuM of £1.52bn (Corporate Bond Fund) and £82m (Strategic
Bond Fund) as at 31/12/2010.

Aviva Investors Global High Yield Bond Fund – performance for the period ended 30/09/2010. Source – eVestment database.
Aviva Investors Corporate Bond Fund and Strategic Bond Fund – performance for the period ended 31/12/2010. Source – Lipper.
Past performance is not a guide to future performance.
4
 Aviva Investors: a major fixed income presence

Assets under management: £150 billion

Deep knowledge of markets

Sovereign
34%

Scale brings influence and a

“seat at the table”

Corporate Bonds
55% Utilising risk & idea
idea-generating
generating
models combined with
fundamental research
Other
6%

Convertibles
1%
Mortgages
4%

Source: Aviva Investors @ 30/6/10. 5

 Aviva Investors: very well resourced
fixed income group

122 Investment professionals worldwide (66 credit professionals)

8 Credit 2 Credit
research research

12 Portfolio 2 Portfolio
management management
16 Credit
research

18 Portfolio
management

7 Credit 1 Portfolio
research management

High calibre credit Viewing the market from Re-engineered processes for
professionals many different dimensions, contemporary markets
linking with expertise and
Buy side,
B id sell
ll side,
id long
l only
l knowledge from other asset Adapting
Ad ti tto new li
liquidity
idit
& hedge fund expertise classes challenges
6
Case Study – Delta Lloyd proceeds

Challenging
g g demands Strong
g delivery
y

£850 million corporate bond portfolio

specifically
p y tailored to p
provide 8x more profitable than a cash
cash-only
only holding
• Rapid exposure to the market

• A complementary risk profile for the

Aviva Group
No defaults or downward rating transitions
• Strict duration requirements

• Investment grade only

• Liquidity demands Liquidity tested: cost of trading just 5 cents