Global credit absolute return citywire june 2012

AVIVA INVESTORS GLOBAL CREDIT ABSOLUTE RETURN

June 26, 2012

Prepared for qualified investors only

IMPORTANT INFORMATION SWITZERLAND: The Global Credit Absolute Return fund has not been approved by the Swiss Financial Market Supervisory Authority (FINMA) as a foreign collective investment scheme pursuant to Article 120 of the Swiss Collective Investment Schemes Act of 23 June 2006 (the "CISA") Accordingly, the shares may not be offered to the public in or from Switzerland and neither this presentation nor any other offering materials relating to the shares may be made available through a public offering in or from Switzerland. The shares may only be offered and this presentation may only be distributed in or from Switzerland by way of private placement to "Qualified Investors" (as defined in the CISA and its implementing ordinance).

1 Introduction to Aviva Investors

2 Team overview

3 Performance

4 Investment process

5 Appendix

AGENDAGlobal Credit Absolute Return Fund

Aviva Investors

• Globally integrated asset management

business of Aviva plc, the world’s sixth-largest

insurance group1

• Categorized as a top 20 asset manager

based on total worldwide institutional assets

under management2

• Over CHF325 billion assets under

management worldwide

• Over 450 institutional clients worldwide

• Over 20 locations worldwide

1Based on gross world-wide premiums for the year ended 12/31/20102Based on 12/31/2010 AUM; Pension and Investments June 27, 2011 issue

All other information on this page as of 31 Dec 2011.

Assets Under Management by Asset Class

CHF Billion

AVIVA INVESTORS OVERVIEW

Fixed Income

• Major presence in global fixed income markets

• Global capability that spans the full fixed

income opportunity set

• A natural investor in bonds – significant short

and long dated insurance liability business

• Integrated risk analysis

Credit40%

Sovereign46%

Convertibles1%

Other13%

Global fixed income, $256bn

3

Global Credit Absolute Return Fund

CHF20

CHF17

CHF30

CHF51

CHF204

Other

Cash

Real Estate

Equities

Fixed Income

● Five senior

fundamental

credit analysts

● Five fundamental

credit analysts in

Mumbai

● Three Quant

Analysts in

Mumbai

● Advanced

modeling

Substantial

Analytical

Resources

● 9+ years of team

collaboration

● Team experience of

managing €2bn+ bank

prop credit book and a

successful credit hedge

fund

● Fundamental, quantitative

and trading skills

● Global hedge fund, prop

trading, asset

management and

investment banking

experience

● Credit skills

encompassing alpha

generation, risk and

liquidity management

Global Process, Analytics,

Communication

● Mark Wauton –

Portfolio / Risk

Manager with 25+

years of fixed

income experience

● Jiten Joshi – 18+

years Portfolio

Management /

Fundamental

Analytical

experience

● Dinesh Pawar –

10+ years of

Portfolio

Management /

Credit Trading

experience

Fund Managers with

Complementary

Skills

GLOBAL TEAM EXPERIENCE

4


AVIVA INVESTORS – GLOBAL CREDIT ABSOLUTE RETURN FUND PERFORMANCE

Performance versus benchmark to 31 May 2012

Source: Lipper Hindsight & Aviva Investors 31 May 2012. Data is representative of share class I and is provided net of fees in EUR.Benchmark: 3 Month EURIBOR . Past performance is not a guide to the future.

3 months Year to Date 6 months 1 year

Aviva Investors - Global Credit Absolute Return Fund 0.39% 3.19% 4.71% 1.82%

5

0%

1%

2%

3%

4%

5%

3 months Year to Date 6 months 1 year


Risk Management /

Hedging

INVESTMENT PROCESS

Ensure strategy is beta neutral during

periods of high volatility and spread

widening

Look to take advantage of an emerging

shorter term trend and use market

“beta” as a source of “alpha”

Ongoing assessment of all sources

of risk at the position and portfolio

level

Actively hedging risks as they

materialize and create downside risk,

Manage leverage profile, periodic

stress testing, trade discipline and

nimble response to credit events

Thoroughly researched individual

positions with quantitative overlay

Primarily focused on liquid, higher

capital structure investments

Bias towards “asset rich” plays in long

positions where higher recovery values

limit “asymmetric” risk

Consistent Alpha

Generation

Manage Beta

Positioning

6


Strategic Holdings Tactical Holdings Indices

Investment

Characteristics

Higher quality, lower

volatility, stable to

improving credit profile,

generally secured or senior

Higher volatility, special

situation names with a

substantial value gap and

identified catalysts

Broad market indices

consistent with market

volatility

Primary

Objective

Carry Capital Return Carry / Capital Return

Ratings BB/B, Investment Grade B/CCC, Investment Grade

Direction Long Long + Short Long + Short

Instruments Primarily Cash Bonds,

some CDS

Cash, CDS Credit Indices, Index

Options, Equity options,

Rate Futures

Horizon 6-12 months 3-6 months 3-6 months

% Gross 60 to 80% 20% to 80% 0 to 50%

% NAV 60 to 80% -50 to 50% -25% to 25%

PORTFOLIO CONSTRUCTION

Strategic +

Tactical

Longs

Tactical

ShortsNet

Exposure

Credit Index trades are more tactical in nature and are generally layered in to change the beta positioning and therefore directional bias of the strategy

Credit

Indices

7


Aviva Investors Global Credit Absolute Return

Investment policy / objective Aim to achieve a positive return under all market

conditions by investing in global corporate bonds with an

emphasis on high yield, CDS, loans and equities.

Performance target* 3.5% to 5% above 3 month EURIBOR, Net

Leverage Up to 2.5X

Base currency EUR, with hedged share classes in GBP and USD

Legal structure Sub-fund of Aviva Investors SICAV

Liquidity Daily

Minimum investment € / $ / ₤ 500,000

Annual management fee 0.50%

Performance fee 20% of performance above 3 month EURIBOR

High Watermark Yes

Administrator JP Morgan Bank Luxembourg

Auditor Ernst & Young

Legal Counsel Elvinger, Hoss & Prussen

STRATEGY TERMS

8


*Internal target only, does not form part of the fund objective.

SUMMARY: THE AVIVA INVESTORS EDGE

Deep

Analysis

Trade

Discipline

Active

HedgingLiquidity

Global team with 9+ years

experience working together

Minimize risk of

capital loss via

capital structure

hedging

Focus on issuers

with larger

capital structures

People

Stop-losses, profit-

taking with identified

target levels’

continuous

assessment of

technical entry/exit

points

Diligent

fundamental and

quantitative

research

9


APPENDIX

10

Source: Bloomberg. * Net Return. Past performance is not indicative of future results. **There is no assurance that an objective can be achieved. Any statement of return or other performance by an

index is not a representation or assurance that the information or performance attributed to the index was accurately compiled or published; Aviva Investors has not independently verified index-related

information. Index returns are provided to represent the investment environment existing during the time periods shown. For comparison purposes, an index is fully invested, which includes the

reinvestment of dividends and capital gains, but index returns do not include any transaction costs, management fees, or other costs that would reduce returns. Composition of each separately

managed account portfolio in a composite may differ from securities in the corresponding benchmark index. An index is used as a performance benchmark only, as Aviva Investors does not attempt to

replicate an index. The prior performance of an index will not be predictive of the future performance of accounts managed by Aviva Investors. An investor may not invest directly in an index. For full

information on benchmarks please refer to Appendix

PERFORMANCE METRICS

11


The Aviva Investors Global Credit Absolute Return Strategy (Aviva GCAR) was launched on May 31, 2011 as the

first credit absolute return strategy on the Aviva Investors platform with a target return: L+ 350 - 500 net of fees**.

Despite being launched close to the top of recent spread levels followed by immediate significant volatility in credit

markets, capital has been successfully preserved and the strategy is meeting its investment objectives. Returns,

volatility, drawdowns and correlation have been favourable relative to both market based and hedge fund indices.

Correlation Matrix

Aviva Investors

GCAR

ML Global HY 0.36

S&P 500 (0.29)

HFRX Global Hedge Fund Index 0.04

86

88

90

92

94

96

98

100

102

104

Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar May

Aviva Investors GCAR Comparative Performance

Aviva Investors GCAR HFRI RV: FI Corporate Index HFRX Global Hedge Fund Index

Jun 2011 - May 2012 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May YE 2011 YTD 2012

Aviva Investors GCAR -1.9% 1.2% -2.3% -0.6% 1.5% -0.7% 1.5% 1.6% 1.2% -0.2% 0.3% 0.3% -1.3% 3.2% 1.8%

ML Global HY -1.1% 0.9% -4.4% -3.7% 6.0% -2.7% 2.5% 3.7% 2.9% 0.2% 0.7% -1.6% -2.8% 6.0% 3.1%

S&P 500 -1.8% -2.1% -5.7% -7.2% 10.8% -0.5% 0.9% 4.4% 4.1% 3.1% -0.7% -6.3% -6.5% 4.2% -2.6%

HFRI RV: FI Corporate Index -0.6% 0.0% -2.6% -2.3% 2.3% -1.1% 0.7% 2.2% 1.5% 0.7% 0.3% -0.8% -3.6% 3.9% 0.2%

HFRX Global Hedge Fund Index -1.6% -0.1% -3.5% -3.0% 0.8% -0.9% -0.4% 1.7% 1.4% 0.0% 0.1% -1.7% -8.4% 1.5% -7.0%

Since

Inception

20122011

Jun 2011 - May 2012

Aviva

Investors GCAR ML Global HY S&P 500

HFRI RV: FI

Corporate Index*

HFRX Global

Hedge Fund Index

Inception to Date Performance (%) 1.8% 3.1% -2.6% 0.2% -7.0%

Standard Deviation (%) 3.8% 5.3% 23.4% 5.2% 3.6%

Positive Months (%) 58% 58% 42% 55% 33%

Maximum Drawdown (%) -4.7% -10.2% -18.8% -5.4% -8.5%

Maximum Drawdown Single Month (%) -2.3% -4.4% -7.2% -2.6% -3.5%

Source: Bloomberg. * Net Return. Past performance is not indicative of future results. **There is no assurance that an objective can be achieved.

Any statement of return or other performance by an index is not a representation or assurance that the information or performance attributed to the index was accurately compiled or published; Aviva

Investors has not independently verified index-related information. Index returns are provided to represent the investment environment existing during the time periods shown. For comparison

purposes, an index is fully invested, which includes the reinvestment of dividends and capital gains, but index returns do not include any transaction costs, management fees, or other costs that would

reduce returns. Composition of each separately managed account portfolio in a composite may differ from securities in the corresponding benchmark index. An index is used as a performance

benchmark only, as Aviva Investors does not attempt to replicate an index. The prior performance of an index will not be predictive of the future performance of accounts managed by Aviva

Investors. An investor may not invest directly in an index. For full information on benchmarks please refer to Appendix

ACHIEVED INVESTMENT OBJECTIVES

Delivering strong Sharpe ratios in positive months

Limiting drawdowns in negative months

12


Positive Months Jul Oct Dec Jan Feb Apr May Average

Aviva Investors GCAR % return 1.23% 1.47% 1.47% 1.60% 1.17% 0.31% 0.26% 1.21%

Std Deviation 0.9% 1.2% 0.6% 0.6% 0.4% 0.3% 0.7% 0.7%

Sharpe ratio (Euribor) 1.25 1.10 2.45 2.52 2.69 0.82 0.30 1.68

2011 2012

-2.3%

-0.6% -0.7%

0.3%

-4.4%

-3.7%

-2.7%

-1.6%

-5.7%

-7.2%

-0.5%

-6.3%

-2.6% -2.3%

-1.1% -0.8%

-3.5%-3.0%

-0.9%

-1.7%

-8%

-6%

-4%

-2%

0%

2%

Aug 2011 Sep 2011 Nov 2011 May 2012

Aviva Investors GCAR ML Global HY S&P 500 HFRI RV: FI Corporate Index HFRX Global Hedge Fund Index

Net Exposure is monitored on a notional, market

value and “beta” adjusted basis

Beta adjusted exposure is calculated by

aggregating the betas of individual positions

Individual betas are assigned on a forward

looking basis using historical volatility ratios and

amplitude betas (observed price betas)

Ongoing calibration of individual betas to

determine changes to net positioning

Dynamically manage net positioning via single

name and index trades

Holdings are shown for illustrative purposes only. Each account is managed individually. Accordingly, holdings may vary. The inclusion of holdings information in this presentation should not

be interpreted a recommendation to buy or sell or hold any security. It should not be assumed that an investment in the securities mentioned was or will be profitable. Holdings are subject to

change.

NET EXPOSURE / LEVERAGE

13

* Net Beta Adj. Exposure = Beta adjusted XO equivalent exposure as a % of average of starting and ending period Capital Invested

Leverage is not used as a primary way to achieve

returns

High leverage will normally coincide with the need

to increase short positions considerably during

periods of market stress

Since launch given extreme spread volatility, Aviva

GCAR leverage briefly reached 2.00x in August

2011, but has been quite stable since September

2011 at around 1.25X

Leverage Net Exposure

0.00 x

0.50 x

1.00 x

1.50 x

2.00 x

2.50 x

0%

20%

40%

60%

80%

100%

120%

Long Exposure (Left Axis) Short Exposure (Left Axis)

Gross leverage (Right axis)

-20%

0%

20%

40%

60%

80%

100%

Net Exposure (Market Values) Net Beta Adj. Exposure*


• Market neutral to net short bias

• Maintain index hedges

• Add single name and thematic sector basket hedges

• Increase net long position

• Reduce index hedges

• Take profit / unwind single name CDSs

• Increase beta of longs

• Reduce long bias

• Increase market hedges primarily via indices

• Reduce beta of longs

• Long bias

• Strategic carry trades plus event driven tactical trades

• Selective tactical shorts

• Capital structure hedging

STEADY VOL

RISING VOL

MARKET STRESS

DECLINING VOL

Due to the inherent leverage in the developed world’s financial system, the medium to long-term will be defined

by shorter exaggerated spread volatility cycles embedded within the longer traditional credit default cycle. These

spikes in volatility will often erode capital without a corresponding rise in defaults thereby placing a premium on

quantitative analysis, skillful trading and beta management techniques to complement sound fundamental

analysis.

NET EXPOSURE: RESPONSE TO VOLATILITY CYCLES

Quantitative modeling of indices

Volatility regime identification

Correlation of risk assets

Mean reversion vs. momentum

Qualitative assessment of market risk

Financial sector deleveraging led crisis

Timing and significance of headline risk

Traditional default cycle

14


RESEARCH PROCESS

Traditional Research

Additional

quant

research

Published information:

Financial statements

Company websites

Indentures

Industry data

Quantitative Overlay

Non-published information:

Company Meetings

Conferences

Networking

Dealer Desks

Quantitative factors:

Spread volatility

Beta analysis

Correlation analysis

Momentum vs. mean-reversion

Underlying equity and cap

structure technicals

15


Fundamental / Valuation

Company

– Company and org structure

– Management

– Operating performance

– Cash flow generation

– Capital Structure analysis

– Liquidity analysis

– Covenant analysis

Sector

– Competitive positioning

– Industry structure / trends

Relative Value

– Comparable credits

– Within capital structure

Trade Strategy

Type of trade: strategic vs. tactical

Security selection

Liquidity assessment

Sizing of capital at risk

Identifying hedges/ratios

Stop loss levels

Target exit levels

Risk / Reward

– Identify catalysts

– Upside determination

– Quantify downside risk

– Maximum MTM loss

– Recovery values

PORTFOLIO CONSTRUCTION / RISK MANAGEMENT

ALPHA GENERATIONIDEA GENERATION

PROPRIETARY SCREENS, BROKER SOURCED IDEAS, SECTOR THEMES, MARKET EXPERIENCE

16


● Extensive fundamental and technical analysis of target investment

opportunities

● Ongoing review of fundamentals and potential change in credit quality

● 5% adverse move in individual name requires a trade thesis revisit

● Determine idiosyncratic tail risk and identify potential hedges

● Diversification: 40-60 positions, but sufficient specific risk to achieve alpha

● Dynamic “beta” adjusted long/short bias monitoring

● Concentration Limits: 5% net single name, 25% net sector

● Leverage Limits: 2.5X gross

● Currency exposure hedged and embedded rate risk is managed separately

● Scenario stress testing: macro, spread, interest rate

● 25 basis point “alpha” hard stop loss

● Quick trading response to fundamental news flow

● Profit taking and stop-loss discipline

● Invest in names with actively traded capital structure

Portfolio

Level

Position

Level

Trade

Discipline

RISK MANAGEMENT

Our risk management approach emphasizes smoothing volatility while aiming to ensure that the hedges do not become a source of downside risk themselves

17


Type of Risk Instrument

Single Name CDS

Sub Debt

Equity + Options

Investment Objective

Skill

Specific

Sector

Market

Risk Free

Credit Indices

Equity Indices

Index Options

Futures

Cash

Capital structure hedges

Minimize idiosyncratic tail risk

Maximize idiosyncratic sharpe

Hedge adverse sector risk

Thematic short sector baskets

Directional bias management

Manage embedded rate risk

HEDGING FRAMEWORK

Our hedging framework aims to ensure that the risk/return trade off is appropriate for idiosyncratic

developments and prevailing market condition. In periods of high volatility the manager has an analytical

framework to take the fund notionally back to cash

18


Establish correlation and betas

Determine the PnL neutral hedge ratio

Determine if hedges yield higher sharpe ratios

Determine hedge ratio that maximizes return/vol

For illustrative purposes only. Holdings are shown for illustrative purposes only. Each account is managed individually. Accordingly, holdings may vary. The inclusion of holdings information in

this presentation should not be interpreted a recommendation to buy or sell or hold any security. It should not be assumed that an investment in the securities mentioned was or will be

profitable. Holdings are subject to change.

● Capital Structure trade Short MGM 5Y CDS vs. Long MGM 13% Sr Secured

CAPITAL STRUCTURE HEDGING

19


Single Name Betas Beta Adjusted Exposure

•Calculate historical betas of individual positions

•30D volatility ratio

•10D volatility ratio

•Observed Price beta

•Assign a forward beta based on historical betas as well as qualitative assessment of inherent spread vol of the position relative to the market

• Aggregate beta adjusted exposures

• Ongoing calibration of individual betas to determine changes to net positioning

• Dynamically manage net positioning via single name and index trades

Holdings are shown for illustrative purposes only. Each account is managed individually. Accordingly, holdings may vary. The inclusion of holdings information in this presentation should not be

interpreted a recommendation to buy or sell or hold any security. It should not be assumed that an investment in the securities mentioned was or will be profitable. Holdings are subject to

change.

BETA ADJUSTED EXPOSURE

WIN 8 7/8 06/30/17

JAH 8 05/01/16

BMET 10 10/15/17

NLSN 7 3/4 10/15/18

DISH 7 1/8 02/01/16

TWTC 8 03/01/18

DAN 6 1/2 02/15/19

HCA 7 1/4 09/15/20

PXD 6 7/8 05/01/18

INTEL 8 1/2 11/01/19

INTEL 8 1/2 11/01/19

HST 5 7/8 06/15/19

HST 5 7/8 06/15/19

WIN 7 1/2 06/01/22

WPX 6 01/15/22

CHTR 6 1/2 04/30/21

CHTR 6 1/2 04/30/21

F 5 05/15/18

LVLT 8 5/8 07/15/20

FMEGR 5 5/8 07/31/19

FMEGR 5 7/8 01/31/22

MGM 11 1/8 11/15/17

0.59 0.69 0.40 0.50 946,674

2.19 0.33 0.11 0.50 948,841

0.33 0.22 0.25 0.50 567,355

0.81 0.55 0.67 0.75 871,504

0.52 0.53 0.81 0.50 765,138

0.96 0.77 0.48 0.75 855,906

0.63 0.76 0.96 0.50 561,506

0.51 0.32 0.73 0.70 1,061,488

1.17 0.76 0.51 0.25 616,797

0.63 0.60 0.83 1.00 791,961

0.63 0.60 0.83 1.00 839,709

0.86 0.58 NA 0.75 587,856

0.86 0.58 NA 0.75 587,856

0.77 0.53 1.32 1.00 581,854

1.33 0.58 0.45 0.50 744,048

0.57 0.44 1.09 0.75 1,526,429

0.57 0.44 1.09 0.75 617,129

1.11 0.47 0.77 0.50 612,783

1.04 0.93 NA 1.50 938,747

NA 0.60 NA 1.00 416,634

NA 0.44 NA 1.00 413,199

0.44 0.32 0.16 0.50 1,295,268

Vol ratio

30d

Vol ratio

10d

3m Observed

Beta

Assigned

Beta Adj. Exposure

Beta adjusted MV (Actual) MV (Beta)

US HY Holdings

Eur Eur

Bonds 27,104,951 17,043,921

Single Name CDS Longs - -

CDX HY - -

Single Name Shorts-CDX HY (2,130,672) (3,196,009)

Single Name Shorts-CDX IG (CDX HY equiv) (1,953,691) (586,107)

US Net (CDX HY equiv) 23,020,587 13,261,805

US Net (XO equiv) 23,020,587 9,283,263

Europe HY Holdings

Eur Eur

HY Bonds 10,297,948 6,173,974

Xover - -

Subfin (XO equiv) 5,259,004 3,944,253

Snrfin (XO equiv) 4,724,543 1,889,817

Main - -

Single Name Shorts-XO (6,254,661) (6,566,547)

Single Name Shorts-Main (XO equiv) (8,404,438) (3,627,189)

EU HY Net (XO equiv) 5,622,397 1,814,308

HY Portfolio Net (XO equiv) 28,642,984 11,097,571

IG Book

Eur Eur (on XO)

IG Bonds - CDX IG (XO equiv) 6,183,865 784,965

IG Bonds - Main (XO equiv) 16,710,687 4,321,263

GCAR Portfolio excl rates (XO equiv) 51,537,536 16,203,799

20


Historical Scenario Analysis Aggregate PnL Impact

Holdings are shown for illustrative purposes only. Each account is managed individually. Accordingly, holdings may vary. The inclusion of holdings information in this presentation should not

be interpreted a recommendation to buy or sell or hold any security. It should not be assumed that an investment in the securities mentioned was or will be profitable. Holdings are subject to

change.

• Determine stress assumption based on historical cycles (Recent 2008/2009 being most relevant)

• Sensitize individual risk components, including embedded rate risk for IG

• Stress each position based on “stressed” beta assumptions

• Determine aggregate P&L impact (test a “melt-up” scenario as well)

• Calculate potential additional hedges required

Methodology Individual Position Impact

PORTFOLIO STRESS TESTING

Name EUR Notional

Z Sprd/CDS

Sprd

Assigned

Beta

Stress

Beta

Point/Spd

Impact PnL Impact

bps

impact

US HY

WIN 8 7/8 06/30/17 1,733,042 434 0.50 1.00 (8.00) (138,643) (19)

JAH 8 05/01/16 1,733,042 252 0.50 1.00 (8.00) (138,643) (19)

BMET 10 10/15/17 1,039,825 262 0.50 1.00 (8.00) (83,186) (11)

NLSN 7 3/4 10/15/18 1,039,825 374 0.75 1.50 (12.00) (124,779) (17)

DISH 7 1/8 02/01/16 1,386,434 336 0.50 1.00 (8.00) (110,915) (15)

TWTC 8 03/01/18 1,039,825 419 0.75 1.50 (12.00) (124,779) (17)

DAN 6 1/2 02/15/19 1,039,825 393 0.50 1.00 (8.00) (83,186) (11)

HCA 7 1/4 09/15/20 1,386,434 432 0.70 1.40 (11.20) (155,281) (21)

PXD 6 7/8 05/01/18 2,103,934 239 0.25 0.50 (4.00) (84,157) (11)

INTEL 8 1/2 11/01/19 1,486,716 534 1.00 2.00 (16.00) (237,875) (32)

HST 5 7/8 06/15/19 1,454,863 343 0.75 1.50 (12.00) (174,584) (23)

WIN 7 1/2 06/01/22 544,425 475 1.00 2.00 (16.00) (87,108) (12)

WPX 6 01/15/22 1,451,800 379 0.50 1.00 (8.00) (116,144) (16)

CHTR 6 1/2 04/30/21 2,683,641 392 0.75 1.50 (12.00) (322,037) (43)

F 5 05/15/18 1,158,928 259 0.50 1.00 (8.00) (92,714) (12)

LVLT 8 5/8 07/15/20 586,946 597 1.50 3.00 (24.00) (140,867) (19)

FMEGR 5 5/8 07/31/19 392,588 307 1.00 2.00 (16.00) (62,814) (8)

FMEGR 5 7/8 01/31/22 392,588 328 1.00 2.00 (16.00) (62,814) (8)

MGM 11 1/8 11/15/17 2,282,410 356 0.50 1.00 (8.00) (182,593) (24)

CDX HY XO Main EUR rates GBP rates USD rates Rate Hedges

Px Move -8.0 -15.3 -2.6 EUR GBP USD

Sprd Move 219 500 60 -50 -50 -50 -50 4.9 5.2 7.4

Additional Hedge

PnL bps XO HY MAIN

Stressed Impact 907,510 121 (5,939,748) (11,343,879) (35,033,091)

Since Inception 1,363,551 184 (8,924,582) (17,044,390) (52,637,874)

Flat PnL (2,271,061) (306) 14,864,331 28,388,268 87,670,964

IG Average duration

21


Ris

k T

akin

g

Ma

rke

t V

ola

tilit

y

Risk on

Risk offCDS

Indices

Hedging:

Low

Volatility

High

Volatility

Equities

Portfolio risk adapts based on market conditions

Implementation of beta hedges

Indices vs. single name CDS

Qualitative assessment of market risk

Financial sector deleveraging led crisis

Traditional default cycle

Quantitative modeling of macro indices

Regime switching model

Mean reversion vs. momentum/trending

Correlation of risk assets

Volatility Regime Identification Volatility Regime Management

For illustrative purposes only.

VOLATILITY REGIME MANAGEMENT

22


BIOGRAPHY

Keith Kelsall, CFAClient Portfolio Manager

Joined Investment Industry in 1990

Main responsibilitiesKeith is the client portfolio manager for convertible bonds and credit strategies.

Experience and qualificationsKeith joined Aviva Investors in 2009. Prior to joining Aviva Keith worked at Barclays Global Investors as a senior fixed income product specialist. Prior to this position Keith was a senior fixed income portfolio manager at Daiwa SB Investments and a fixed income portfolio manager at Fiduciary Trust. Keith began his investment career as a fixed income analyst at Deutsche Bank.Keith holds a BA in economics, accounting and financial management from Sheffield university. Keith is also a CFA charterholder.

23


Mark WautonHead of Credit

After a six year career in the Army, Mark joined the investment industry in 1986

Main responsibilitiesMark is responsible for our high alpha capabilities in investment grade, high yield and credit absolute return fixed income capabilities, while also ensuring that we deliver for more traditional active mandates.

Experience and qualificationsMark joined Aviva Investors in April 2009. Prior to joining Aviva Investors Mark was Head of Strategic Credit trading at ABN AMRO. Mark has held Head of Fixed Income roles at Commerz International and Dunedin Fund Managers as well as Head of European Fixed Income at UBS Asset Management. He also co-managed the AlphaGen Credit Hedge Fund at Gartmore.

Mark successfully completed the AIIMR in 1994 and is now an ASIP. He holds an MSc in Investment Analysis from Stirling University.

BIOGRAPHY

Jiten Joshi Head of Offshore Research

Main responsibilitiesJiten leads a team of analysts to support the London-based credit team. Jiten is responsible for supporting and enhancing the London team’s fundamental credit research capabilities as well as providing technical and risk analysis.

Experience and qualificationsJiten was a special situations analyst at Pali Capital responsible for idea generation across the capital structure of stressed and distressed credits. Prior to Pali, he was an Executive Director responsible for co-managing the US exposure of a global prop desk at ÅBN AMRO. Prior to ABN, he was part of a team managing the Gartmore AlphaGen Credit Hedge Fund for 3 years. Prior to joining Gartmore, Jiten was a Vice President and senior analyst covering Cable, Media and Energy for investment grade, high yield and distressed securities at JP Morgan Fleming Asset Management. Jiten’s sell side experience includes High Yield Origination at Chase Securities and Restructuring at Houlihan Lokey. He holds an MBA in Finance from the Columbia Business School and a BA in Economics from Columbia University.

24


Dinesh PawarHead of Credit Flow Trading

Main responsibilitiesDinesh is responsible for credit flow trading and has over 10 years of investment experience. Dinesh has an overview of all the trading strategies within each of the credit portfolios and provides analysis on hedging, trading tactics, and the use of derivatives.

Experience and qualificationsPrior to joining Aviva Investors he was the Market Risk Manager for Deutsche Bank financial markets responsible for managing the banks Loan Book, Loan Trading, Credit Origination and Global Risk Syndicate. Prior to this Dinesh was a Director and worked at ABN AMRO as part of the Credit prop team focusing on EU and GBP credits. Before joining ABN AMRO, Dinesh was a Credit Trader for the AlphaGen Credit Hedge fund, and was the co-manager of the Gartmore High Yield Retail fund. Dinesh has a BA Hons in Business Finance and an MSc in Banking and International Finance from Cass Business School

INDEX INFORMATION

Property

&

Casualty

Insurance

Life

Insurance &

Annuity

– ML Global HY - Merrill Lynch Global High Yield Index tracks the performance of USD, CAD, GBP and EUR denominated below Investment Grade corporate debt. Constituents are weighted based on their current amount outstanding.

– S&P 500 - Standard and Poor's 500 Index is a capitalization-weighted index of 500 stocks.

– HFRI RV FI Corporate Index - HFRI RV FI Corporate Index includes strategies in which the investment thesis is predicated on realization of a spread between related instruments in which one or multiple components of the spread is a corporate fixed income instrument. Strategies employ an investment process designed to isolate attractive opportunities between a variety of fixed income instruments, typically realizing an attractive spread between multiple corporate bonds or between a corporate and risk free government bond.

– HFRX Global Hedge Fund Index - The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry.

25


IMPORTANT INFORMATION

Property

&

Casualty

Insurance

Life

Insurance &

Annuity

Except where stated as otherwise, the source of all information is Aviva Investors Global Services Limited (Aviva

Investors) as at 31 May 2012.

The content of this document does not purport to be representational or provide warranties above and beyond

those contained in the Prospectus and subscription documentation of the Fund. The Prospectus and the

subscription document contain the full terms, conditions, representations and warranties in respect of the Fund.

Nothing in this document shall be construed as forming any part of those terms, conditions, representations or

warranties.

Any opinions expressed are based on the internal forecasts of Aviva Investors and they should not be relied upon

as indicating any guarantee of return from an investment managed by Aviva Investors. No part of this document is

intended to constitute advice or recommendations of any nature.

The value of an investment in the fund can go down as well as up and can fluctuate in response to changes in

exchange rates. Past performance is not a guide to the future.

The distribution and offering of shares may be restricted by law in certain jurisdictions. This document should not

be taken as a recommendation or offer by anyone in any jurisdiction in which such an offer is not authorised or to

any person to whom it is unlawful to make such an offer or solicitation.

Aviva Investors Global Services Limited, registered in England No. 1151805. Registered Office: No. 1 Poultry,

London EC2R 8EJ. Authorised and regulated in the UK by the Financial Services Authority and a member of the

Investment Management Association.

Contact us at Aviva Investors Global Services Limited, No. 1 Poultry, London EC2R 8EJ.

Compliance ref: 12/0403/300912

26


Global credit absolute return citywire june 2012

Economy & Finance

Transcript of Global credit absolute return citywire june 2012