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Fitch Assigns BlueBay IG Libor Fund 'Strong' Fund Quality Rating
June 26, 2014 / 2:26 PM / 3 years ago

Fitch Assigns BlueBay IG Libor Fund 'Strong' Fund Quality Rating

(The following statement was released by the rating agency) Link to Fitch Ratings' Report: BlueBay Investment Grade Libor Fund here LONDON/PARIS, June 26 (Fitch) Fitch Ratings has assigned the BlueBay Investment Grade Libor Fund (BlueBay IGL) a 'Strong' Fund Quality Rating. The fund is managed by BlueBay Asset Management LLP. KEY RATING DRIVERS The 'Strong' rating reflects the fund's research-driven investment approach, allowing an effective exploitation of diversified sources of fixed income returns within a well-defined risk-control framework. The rating is also supported by the depth of BlueBay's dedicated fixed income resources. FUND PROFILE BlueBay IGL is a sub-fund of a Luxembourg Part I SICAV and is UCITS IV-compliant. Launched in April 2008, the fund invests predominately in euro investment grade (IG) securities, with interest-rate duration hedged to a maximum of one year. The fund aims to generate excess returns of 150bps per annum, gross of fees, over the Merrill Lynch Euro Currency Libor 3-Month Constant Maturity Index with a maximum tracking error of 4%. The fund had EUR1.1bn of assets at end-May 2014. INVESTMENT PROCESS The fund implements a well-balanced, research-driven investment process combining macro, fundamental, technical and relative valuation inputs in a formalised, disciplined but also flexible and reactive manner. Fixed income alpha sources result from the implementation of high conviction, mainly relative value trades (sector and security selection) within well-defined risk guidelines. Macro exposures are adjusted dynamically using a derivatives-based overlay strategy. Interest-rate duration is hedged using interest rate swaps and government bond futures. RESOURCES The lead portfolio manager (PM), Raphael Robelin, has 17 years of investment experience and is the co-CIO and co-head of IG. The fund benefits from the depth of BlueBay's IG fixed income resources (22 PMs and analysts, with an average of 12 years of experience). TRACK RECORD Since its launch, the fund has exceeded its objectives, returning a cumulative 26.1% (net of fees) compared with the benchmark of 9.2%, with an annualised tracking error of 2% as at end-May 2014. The fund benefits from markets where there are high levels of variability in credit spreads and maintains an overall long credit bias. As such, 2011 was a fairly poor year for the fund as markets were sentiment-driven, and the fund undertook too much risk as the contagion effect to corporate issuers was misjudged. FUND MANAGER Founded in 2001 and now owned by the Royal Bank of Canada (AA/Stable/F1+), BlueBay Asset Management is a specialist credit asset manager with assets under management of USD62.4bn as at end-March 2014 (of which USD27.6bn was in IG credit). BlueBay has been investing in IG credit and managing long/short funds since 2002. RATING SENSITIVITIES The rating may be sensitive to material changes in the investment or operational processes or resources dedicated to the fund. A material adverse deviation from Fitch's guidelines for any key rating driver could result in a downgrade. For example, this may be manifested in significant structural deterioration in the fund's performance or excessive risk-taking relative to the fund's investment guidelines. Fitch sees limited key person dependency given the depth of the IG team. Conversely, an upgrade could result from a demonstrated consistent outperformance of the funds objectives on a risk adjusted basis during a number of different market environments. Fitch's Fund Quality Ratings combine Fitch's experience in qualitative fund analysis with rankings and performance data from Lipper, a Thomson Reuters company. Fitch's Fund Quality Ratings offer an independent, forward-looking assessment of a fund's key performance and risk attributes and consistency of longer-term returns, relative to peer group or benchmarks. The ratings focus on the fund manager's investment process, key fund performance drivers, risk management, and the quality of the fund's operational infrastructure. For more information, please see www.fundmanagement.fitchratings.com To receive forthcoming Fund Quality Rating research, opt in here Contacts: Primary Analyst Richard Woodrow, CFA Associate Director 30 North Colonnade London E14 5GN +44 203 530 1388 Secondary Analyst Manuel Arrive, CFA Senior Director +33 1 44 29 91 77 Committee Chairperson Roger Merritt Managing Director +1 212 908 0636 Media Relations: Elaine Bailey, London, Tel: +44 203 530 1153, Email: Elaine.Bailey@fitchratings.com. Additional information is available at www.fitchratings.com. Applicable criteria, 'Fund Quality Ratings Criteria', dated 19 September 2011, are available at www.fitchratings.com. Applicable Criteria and Related Research: Fund Quality Ratings Criteria: Assessing Funds’ Investment Processes and Operational Attributes here Additional Disclosure Solicitation Status here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

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