H2O MultiAggregate2020: V shock, L shock, or U shock

Matthieu Genessay, PartnerMarch 2020

Uniqueness

H2O AM: EUR 30 billion macro firm based in London

2.

Style A long-term, top-down, mostly relative value, and unconstrained approach

Process Fully discretionary, no black-box

Strong contribution from currency strategies

Source: H2O AM, December 2019

H2O’s DNA

Philosophy

• What you don’t see is more important than what you see

• Investors’ market perception and management biases offer a prime source of performance

Source: H2O AM3.

The analyses and opinions referenced herein represent the subjective views of the author(s) as referenced, are as of date shown and are subject to change without prior notice. There can be no assurance that developments will transpire as may be forecasted in this material.

FOR INVESTMENT PROFESSIONAL USE ONLY

4.

50% sovereign bonds, 30% currencies and 20% corporate credit*

Benchmark: Barclays Global Aggregate Hedged in USD Largest Global Fixed Income

Index

A macro orientated global fixed income strategy

Important note: Investors should consider the investment objectives, risks, charges and expenses of the fund before investing. These pieces of information are detailed in the fund’s prospectus and KIID. To obtain these documents, please contact your usual investment advisor or visit our website www.h2o-am.com.* Average risk allocation since the launch

For Investment Professional Use Only.

- Long and Short Relative value strategies- 3-year investment horizon- Risk limited to twice the risk of the Index

USD 2.6 bn AUM

Source: CACEIS, data as at 31/12/2019.

FX and sovereign bonds are managed separately and offer diversification

H2O MultiAggregate USD R 2017 2018 2019Sovereign Bonds 4.4% 0.6% 2.5%Currencies 0.7% 6.1% 4.3%Corporate Credit 1.9% -0.6% 2.6%Others -0.1%Fixed Fees -1.4% -1.4% -1.4%

Total net Outperformance 5.6% 4.7% 7.8%

Barclays Global Aggregate Index (hedged) 3.0% 1.8% 8.2%

Total net Absolute performance 8.8% 6.6% 16.7%

Source: H2O AM as at 31/12/2019. Past performance is not a reliable indicator of future returns.5.

The analyses and opinions referenced herein represent the subjective views of the author(s) as referenced, are as of date shown and are subject to change without prior notice. There can be no assurance that developments will transpire as may be forecasted in this material.

2016 2017 2018 2019 ITD ann.* (31-Dec-2015)

H2O MULTIAGGREGATE USD R 9.02% 8.80% 6.53% 16.69% 10.19%Benchmark 3.95% 3.04% 1.76% 8.22% 4.21%Volatility 5.20% 3.42% 5.35% 4.38% 4.65%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

2016 2017 2018 2019 ITD ann.* (31-Dec-2015)

H2O MULTIAGGREGATE USD R 9.02% 8.80% 6.53% 16.69% 10.19%Benchmark 3.95% 3.04% 1.76% 8.22% 4.21%Volatility 5.20% 3.42% 5.35% 4.38% 4.65%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

H2O MultiAggregate (USD R) net performance as at 31/12/2019

Source: H2O AM as at 31/12/2019. * annualised. Past performance is not a reliable indicator of future returns.

Performance relates to the share class indicated above and is presented net of fees, on a NAV to NAV basis. Important note: Investors should consider the investment objectives, risks, charges and expenses of the fund before investing. These pieces of information are detailed in the fund’s prospectus and KIID. To obtain these documents, please contact your usual investment advisor or visit our website www.h2o-am.com. H2O MultiAggregate are sub-funds of H2O Global Strategies ICAV (Irish Collective Asset Management Vehicle), a UCITS organized under the laws of Ireland and authorized by the financial regulator (Central Bank of Ireland).

6.

Views

Why H2O MultiAggregate Bond?

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Diversification 0% correlation to Global Fixed Income benchmarks (Barclays, JP)

Set of uncorrelated macro strategies / direction of rates and central banks

Source: H2O AM as of 31/01/20. ITD correlation between H2O MultiAggregate USD R and Barclays Global Agg Hedged USD is -0.01 and correlation with JP Morgan GBI Broad Hedged USD is 0.01. All calculations are between December 2015 and December 2018, using daily data, unless otherwise stated. All figures are in USD currency, unless otherwise stated.

Performance data quoted represents past performance and is no guarantee of future results.

“There is just one question: The speed of the Fed ”

H2O views Scenario 1:Fed slows down

Scenario 2:Fed accelerates

Negative US and German Duration

- +

Long USD + +

Bullish Europe + -

Bearish Asia - +

Nota Bene: The analyses and opinions referenced herein represent the subjective views of the author(s) as referenced, are as of date shown and are subject to change without prior notice. There can be no assurance that developments will transpire as may be forecasted in this material.

8. Source: H2O AM.

1. Resilient US growth & FED normalisation

• Underweight duration: 2 years compared to 8 years for Barclays Global Agg

• Long US dollar : 18%

• Short US Treasuries (-0.7 year) and no US high yield exposure

2. China faces structural and cyclical weaknesses

• Short Asian (-10%) & commodity-related currencies (-2.8%)

• No exposure to EM corporate

3. Europe is set to revive in 2020

• Long EMU peripheral debt (2.5 years)

• Long EUR/CHF (-17%)

• Short Germany: -1.2 year

4. Diversification strategies

• High running yield: +6.0% (2/3 coming from FX)

• Long MXN (+16%)

9. Source: H2O AM. Data as at 28/02/2020. As a reminder, a duration of 1 year means that if rates go down by 1%, the performance will be +1%

Nota Bene: The analyses and opinions referenced herein represent the subjective views of the author(s) as referenced, are as of date shown and are subject to change without prior notice. There can be no assurance that developments will transpire as may be forecasted in this material.

H2O’s main positions

H2O MultiAggregate bond positions as at 28/02/2020

1. Sovereign bond exposure

2. Credit exposure

10. Source: H2O AM Front Office tools as at 28/02/2020.

1-3 years 3-7 years 7-15 years 15+ years Total(Mod. Duration bps)

G4

USA -15 -152 -40 136 -70Japan 0 0 1

UK 1 16 18Germany 1 -19 -98 -10 -126

GIP

SItaly 3 60 170 16 248

PortugalGreece 1 1 4 1 8Spain

Oth

ers Mexico 7 29 4 41

Others 1 3 13 16Total -9 -102 69 177 135

Europe USA Other DM EM Total

Credit IG 2.3% 0.8% 0.2% 0.4% 3.7%

Credit High Yield 11.2% 0.2% 0.0% 0.3% 11.8%

ABS 2.6% 1.0% 0.3% 4.0%

Total % 16.1% 2.0% 0.6% 0.7% 19.4%

Total mdbps 47 5 0 4 57

H2O MultiAggregate FX positions as at 28/02/2020

11. Source: H2O AM Front Office tools as at 28/02/2020.

H2O macro outlook

The analyses and opinions referenced herein represent the subjective views of the author(s) as referenced, are as of date shown and are subject to change without prior notice. There can be no assurance that developments will transpire as may be forecasted in this material.12.

Framework of risk

13. Source: H2O AM. Data as at 31/01/2020

1. Two types of market shocks

• Exogenous : rapid crisis but quick recovery• Endogenous: erratic behaviour but recovery as well

2. An epidemics like Coronavirus is a third case

• A mix of exogenous and endogenous

3. The uncertainty is length of time more than the outcome

• Insurance from central banks• Markets technical adjusting more than fundamentals> volatility peaks quicker

The analyses and opinions referenced herein represent the subjective views of the author(s) as referenced, are as of date shown and are subject to change without prior notice. There can be no assurance that developments will transpire as may be forecasted in this material.

2020 coronavirus impact

14. Source: H2O AM. Data as at 28/02/2020

Growth

Scenario 1 Scenario 2 Scenario 3

Chinese shock

H2O scenario

Market scenario

The analyses and opinions referenced herein represent the subjective views of the author(s) as referenced, are as of date shown and are subject to change without prior notice. There can be no assurance that developments will transpire as may be forecasted in this material.

The economy looks very volatile but it is not

15. Source: H2O AM. Bruno Crastes – CEO, February 2020

“From a macro standpoint, in developed economies, the negative impact during the first quarter of the year will be partly cushioned by the positive windfall gain of the drop in commodity prices coupled with a resilient consumer.”

The analyses and opinions referenced herein represent the subjective views of the author(s) as referenced, are as of date shown and are subject to change without prior notice. There can be no assurance that developments will transpire as may be forecasted in this material.

1. Lack of safe haven assets

• US treasuries are the only available option

2. Regulation adds local pressure

• VaR rebalancing, short-term volatility, algorithmic

The market structure remains identical

16.

12,000 bn.

6,000 bn.

JP

EU

US

Q1 2009 Q3 2019

Supply of safe haven securities (billionUSD)

The analyses and opinions referenced herein represent the subjective views of the author(s) as referenced, are as of date shown and are subject to change without prior notice. There can be no assurance that developments will transpire as may be forecasted in this material.

Source: H2O AM. February 2020

How technical factors dominated also in 2019: S&P

2015-18 profit growth :6-7%/yr

2019 : 0% profit growth

32% of rerating

No profits expected Margins to come downBut: Strong buybacks Extremely light positioning Volatility to come down CBs to come to the rescue

S&P 500

17.Source: H2O AM. February 2020

Intra-day volatility is the main indicator: European banks on the 26th February 2020

18.

The analyses and opinions referenced herein represent the subjective views of the author(s) as referenced, are as of date shown and are subject to change without prior notice. There can be no assurance that developments will transpire as may be forecasted in this material.

Source: H2O AM. February 2020

EM total return v. USD : zero performance since 2012

19.

The analyses and opinions referenced herein represent the subjective views of the author(s) as referenced, are as of date shown and are subject to change without prior notice. There can be no assurance that developments will transpire as may be forecasted in this material.

Source: H2O AM. February 2020

Disclaimer

20.

H2O AM LLP is authorised and regulated by the Financial Conduct Authority (FCA) and is listed on the UK Financial Services Register under firm reference number 529105.

This document (and any attachments thereto) is confidential and for use only by the intended recipient. Access by others is unauthorized. Its content should not be relied upon and no liability or responsibility is accepted by us (H2O AM LLP) or associated companies), without subsequent written confirmation of its contents, signed by an authorized signatory. If you are not the intended recipient, please notify us promptly and delete all copies and note any discloser, copying, distribution or any action taken or omitted to be taken in reliance on the information it contains is prohibited and may be unlawful. This message is provided for information purposes and should not be construed as a solicitation or offer to buy or sell any securities or related financial instruments.

Risks: The fund invests in different asset classes , including fixed income, equities and currencies. Fixed Income investments are particularly sensitive to interest rate changes , and the fund may lose value if interest rates rise . The Funds are exposed to specific risks, including: the risk of capital loss, discretionary management, credit, interest rate, counterparty, volatility , exchange rates as well as arbitrage, overexposure and investment in emerging markets. The capital invested is not guaranteed. For a more complete description of risks , see the prospectus of the relevant fund.

This material is for information purposes only. Any and all information contained in this material may be modified at any time without notice. The performance figures refer to the past and the past performance is not a reliable indicator of future result. Any reference to a ranking, a rating or an award relating to the Fund provides no guarantee for future performance results. Risks and expenses of any investment into the Fund are described into the Prospectus of the Fund which is available on the website: www.h2o-am.com.

This material may not be distributed, published, or reproduced, in whole or in part, without the prior approval of H2OAMLLP. H2O is authorised and regulated by the Financial Conduct Authority (FCA) and is listed on the UK Financial Services Register under firm reference number 529105.

Company Name & Business Office: H2O AM LLP, 2nd floor, 10 Old Burlington Street, London W1S 3AG, United Kingdom. Company Number OC356207.

DisclaimerThis material has been provided for information purposes only to investment service providers or other Professional Clients or Institutional Investors and, when required by local regulation, only at their written request. This material must not be used with Retail Investors. This material may not be redistributed, published, or reproduced, in whole or in part. Although Natixis Investment Managers believes the information provided in this material to be reliable, including that from third party sources, it does not guarantee the accuracy, adequacy or completeness of such information. The analyses and opinions referenced herein represent the subjective views of the author as referenced and are subject to change. There can be no assurance that developments will transpire as may be forecasted in this material.

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