1. The key to the current interest rate environment
Parvest enhanced cash 6 months
For Professional Investors
Marketing Communication
Antonio SERPICO
London, 3 October 2017

2. Contents Introduction to euro fixed income short-term management
Parvest Enhanced Cash 6 Months
Main features
Performance
Portfolio exposure
Investment policies and strategies
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3. INTRODUCTION TO EURO FIXED INCOME SHORT TERM MANAGEMENT1
INTRODUCTION TO EURO FIXED INCOME SHORT TERM MANAGEMENT
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4. Introduction to euro fixed income short-term management
Market environment & client expectations
Characteristics and key strengths
Money market rates have been negative for some time
High volatility
Net return above money market’s performance on a six-month to one-year investment horizon
Focus on risk control
experience
Advantages of
active management
expertise
Euro bond market
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5. Introduction to euro fixed income short-term management
Eonia index set to remain negative and volatile for a prolonged period
Source: BNP Paribas Asset Management, Bloomberg 31/08/2017 Eonia fixing on a daily basis
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6. ‘Enhanced cash’ strategy
A combination of fundamental and tactical approaches
Investment objective
Enhanced cash profile
Additional alpha
Parvest Dynamic Eonia portfolio composition
Portfolio approach
Short to medium-term bonds
Managed actively
Euro Fixed Income team
best strategies
Opportunistic
FUNDAMENTAL
TACTICAL
The ‘enhanced cash’ strategy is designed to outperform EONIA significantly:
based on the euro fixed income team’s best ideas and major bets
benefiting from strict risk monitoring to control performance volatility.
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7. PARVEST ENHANCED CASH 6 MONTHS2
PARVEST ENHANCED CASH 6 MONTHS
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8. Parvest Enhanced Cash 6 Months
Fund main features
Fund Main Features
Benchmark
Eonia capitalised (EUR)
Target objective
Outperform the euro money market rate (Eonia) over a recommended investment period of 6 months
Investment universe
Short-term bonds, commercial papers in fixed or floating rates
Fund Structure
Sub-fund of the PARVEST UCITS V sicav registered under the Luxembourg law
Inception date
30/10/2007
Investment horizon
6 months minimum recommended
Ex-ante volatility budget
Max 1%
NAV calculation
Daily ; settlement D+3 max
All-inclusive fees (OCR*)
LU Institutional share 0,20% LU Classic share 0,40% LU – Privilege share 0,28%
Portfolio Manager
Antonio Serpico
AUM
EUR 3.9 billion as at end August 2017
Asset manager
BNP Paribas AM Luxembourg (delegated to BNP Paribas AM France)
SRRI
2 on a scale 1 to 7, the higher the risk, the longer the recommended investment horizon
Source: BNP Paribas Asset Management. 31/08/2017 The above rules are internal guidelines mentioned for your information only and subject to change. Prospectus and KIID guidelines are leading. *all inclusive fees OCR: on-going charge ratio as of last publication or estimated.
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9. Parvest Enhanced Cash 6 Months
Performance gross of fees as at end August 2017 (for illustration only)
Source: BNP Paribas Asset Management performances gross of fees Past performance or achievements are not indicative of current or future performance.
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10. Parvest Enhanced Cash 6 Months
Portfolio exposure as at end August 2017
Country breakdown
Weight (%)
Australia
0.43%
Austria
0.08%
Belgium
2.04%
Denmark
0.09%
Finland
0.21%
France
19.49%
Germany
6.55%
Ireland
0.54%
Italy
16.62%
Japan
0.12%
Luxembourg
Mexico
Netherlands
1.59%
New Zealand
0.13%
Norway
0.16%
Portugal
0.83%
South Africa
0.15%
Spain
7.89%
Sweden
1.90%
Switzerland
1.28%
United Kingdom
14.25%
United States
15.06%
Cash and equivalent
10.31%
Key figures as at end June 2017
Number of securities
423
Weighted average maturity in years (Excluding futures)
2.479
WAM (days) (Excluding Futures)
892
Modified duration
0.78
Yield to Maturity
0.48%
Floating Rate Notes indexed to Euribor 3M
25.25%
Approximately 25% of the total assets exposed to peripheral countries
Around 25% of the portfolio in floating rate notes
Fund duration is actively managed
* Excluding futures; Source: BNP Paribas Asset Management / Proges as at end August 2017
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11. Parvest Enhanced Cash 6 Months
Portfolio exposure as at end August 2017
Median rating
Weighting %
AAA
0.00 AA
3.38 A
21.21
BBB
53.21 BB
9.29 B
1.97
Non-rated
0.63
Cash & UCITS
10.31
Sector
Weighting %
Credit Corporate
38.77
Financial Senior
36.42
Financial Subordinated debts
7.91
Government Bonds
6.59
Cash & UCITS
10.31
Source: BNP Paribas Asset Management/ Proges as at end August Mutual funds include money market funds and other euro fixed-income mutual funds
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12. Parvest Enhanced Cash 6 Months
Investment policies – portfolio exposure as at end August Focus on modified duration
Portfolio’s modified duration (MD in years) compared to German 5 Y yield (in %)
Source: Bloomberg / Proges / BNP Paribas Asset Management as at end August 2017
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13. Parvest Enhanced Cash 6 Months
Investment policies – portfolio exposure as at end August Subordinate and high-yield financials
BB and non-rated in weight (in %)
Subordinated in weight (in %)
Source: Proges / BNP Paribas Asset Management as at end August 2017
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14. Parvest Enhanced Cash 6 Months
Active management on ‘high-beta bonds’
Based on the major bets and best ideas of the team to capture market inefficiencies and enhance the portfolio’s returns
Tactical bucket (weight in % )
Tactical bucket includes the following
Subordinated financial bonds
High-yield bonds with maturities superior to 3 months
Non-rated debts with maturities superior to 6 months
Euro government bonds issued by peripheral countries with maturities superior to 3 years
Euro inflation-linked bonds
These internal guidelines are mentioned for your information only and are subject to change. Prospectus and KIID guidelines are leading.
Source: BNP Paribas Asset Management as at end August 2017
Past performance or achievements are not indicative of future performance.
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15. Short-term bond euro aggregate strategies
Benchmark
+ 50bp
Flexible
Eonia+100bp
18 months
Eonia+ 70bp
1 year
Parvest Bond Euro Short Term
6 months
Enhanced Cash 1 year strategy with SRI approach
Parvest Enhanced Cash 6 Months
Active benchmarked management
Source: BNP Paribas Asset Management Euro Sovereign & Aggregate Investments as at end August 2017
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16. Disclaimer
BNP PARIBAS ASSET MANAGEMENT UK Limited, “the investment company”, is authorised and regulated by the Financial Conduct Authority. Registered in England No: , registered office: 5 Aldermanbury Square, London, England, EC2V 7BP, United Kingdom.
This material is produced for information purposes only and does not constitute:
1. an offer to buy nor a solicitation to sell, nor shall it form the basis of or be relied upon in connection with any contract or commitment whatsoever or
2. investment advice.
This material makes reference to certain financial instruments authorised and regulated in their jurisdiction(s) of incorporation.
No action has been taken which would permit the public offering of the financial instrument(s) in any other jurisdiction, except as indicated in the most recent prospectus and the Key Investor Information Document (KIID) of the relevant financial instrument(s) where such action would be required, in particular, in the United States, to US persons (as such term is defined in Regulation S of the United States Securities Act of 1933). Prior to any subscription in a country in which such financial instrument(s) is/are registered, investors should verify any legal constraints or restrictions there may be in connection with the subscription, purchase, possession or sale of the financial instrument(s).
Investors considering subscribing to the financial instrument(s) should read carefully the most recent prospectus and Key Investor Information Document (KIID) and consult the financial instrument(s’) most recent financial reports. These documents are available on the website.
Opinions included in this material constitute the judgement of the investment management company at the time specified and may be subject to change without notice. The investment management company is not obliged to update or alter the information or opinions contained within this material. Investors should consult their own legal and tax advisors in respect of legal, accounting, domicile and tax advice prior to investing in the financial instrument(s) in order to make an independent determination of the suitability and consequences of an investment therein, if permitted. Please note that different types of investments, if contained within this material, involve varying degrees of risk and there can be no assurance that any specific investment may either be suitable, appropriate or profitable for an investor’s investment portfolio.
Given the economic and market risks, there can be no assurance that the financial instrument(s) will achieve its/their investment objectives. Returns may be affected by, amongst other things, investment strategies or objectives of the financial instrument(s) and material market and economic conditions, including interest rates, market terms and general market conditions. The different strategies applied to financial instruments may have a significant effect on the results presented in this material. Past performance is not a guide to future performance and the value of the investments in financial instrument(s) may go down as well as up. Investors may not get back the amount they originally invested.
The performance data, as applicable, reflected in this material, do not take into account the commissions, costs incurred on the issue and redemption and taxes.
This document is directed only at person(s) who have professional experience in matters relating to investments (“relevant persons”). Any investment or investment activity to which this document relates is available only to and will be engaged in only with Professional Clients as defined in the rules of the Financial Conduct Authority. Any person who is not a relevant person should not act or rely on this document or any of its contents.
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