asset management november 2009 credit suisse global convertibles

Asset Management

November 2009

Credit Suisse Global Convertibles

Asset ManagementNovember 2009

Slide 2Please see “Important Information” at the end of this material for important disclosures regardingthe data and information contained and the views and opinions expressed in this material.

Agenda

Reasons to invest

Convertibles Basics

Investment Process

Products

Performance

Why Credit Suisse?

Conclusion

Management Team



Executive Summary

Convertibles are a very attractive asset class with a tremendous performance record in the last 13 years, beating most other asset classes

Due to the uniqueness of the current situation, a convertibles investment makes especially sense now

In the last three years, the convertible team of Credit Suisse Asset Management has achieved a very good track record, outperforming the benchmark with various products

Credit Suisse Global Convertible products offer investors the opportunity to participate in convertible bonds in a transparent and diversified way



Source: Credit Suisse, UBS, Merrill Lynch, Bloomberg; Data until 30.08.2009

Convertibles with significant higher return than bonds with much lower volatility than equities

Historical performance indications and financial market scenarios are no guarantee for current or future performance

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120

140

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97 98 99 00 01 02 03 04 05 06 07 08 09

Rebas

ed Index

Leve

l

UBS Global Convertibles Index ML Global Corporates 3-5y Index

MSCI World Equities Index Global Sov. Broad Market Plus 3-5y Index

Category Return p.a. Volatility p.a. Sharpe Ratio

Global Equities 4.4% 16.6% 0.01

Global Convertibles 6.8% 12.7% 0.21

Global Goverment Bonds 4.1% 2.0% -0.04

USD Returns; Data: 31/12/1996 - 30/08/2009MSCI World vs. UBS Global Convertibles Index vs. ML G7 Sovereign 3-5y



Convertibles have regained their defensive profile in negative market phases, but show good upside potential in positive ones

Source: Credit Suisse, UBS, Bloomberg, Data until 28.10.2009


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Nov 08 Dec 08 J an 09 Feb 09 Mar 09 Apr 09 May 09 J un 09 J ul 09 Aug 09 Sep 09 Oct 09 Nov 09

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UBS Global Convertibles UBS Global Convertibles FocusUBS Global Convertibles Focus Yield S&P 500 IndexU.S. Treasuries, Bullet Structure



Why investing in convertible bonds?

Asymmetric Risk/Return-Profile. Unlimited upside-potential and bond-floor limit risk of losses (exception: default of issuer)

Diversification opportunity. Global universe; convertible bonds profit from increases in volatility, embedded options with very long maturity

Dynamic adjustment of sensitivities to bond and equity markets. Utilization of trend-following mechanisms

Anti-cyclical behavior of issuers to place bonds. Issuers have the tendency to issue convertible bonds when share prices are low and spreads are high and reversely to call paper back when the underlying shares have risen strongly (thus forcing investors to profit-taking)

Historical performance: Convertibles have performed very well in comparison to other asset classes



Recent developments

Economic situation has stabilized on a low level

Market sentiment has much improved

Equity and credit markets alike have shown a tremendous performance since beginning of March 09

After falling of a cliff, earnings revisions show a positive tendency now

Source: Bloomberg, Data until 29.10.2009


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S&P 500 (left) iTraxx Xover S10 (right, reversed)



After being in the worst crisis since the 1930's, the sentiment has shifted successively due to a couple of positive developments:

The banking sector is still weak, but seems to stabilize finally

Recent company results give the impression that the worst could be over.

Many economic indicators show signs of growth. The currently depressed economic level in many developed countries lead to good chance for an unusual combination of strong growth and low inflation

The strength of some emerging market economies are an important support for to the global development

Strong fiscal and monetary support

V-shaped economic recovery is not unlikely anymore

Positive sentiment dominates recently, ...



... nevertheless the situation is still relatively uncertain

The current crisis is unprecedented in history which makes it difficult to predict the future performance of asset classes even more than usually. Simultaneously, there are still some areas of concern:

Threat of inflation. Government liabilities reach alarming proportions

US consumer is hurt by jobless claims and rising energy costs

Tight lending standards could have negative effects on economic growth potential

Discussions on central bank exit strategies

Increasing defaults from companies and consumers alike have and will lead to rising loan loss provisions in banks' income statements

Equity valuation not necessarily cheap

Risk of W-shaped recovery



Delta and convexity at an attractive level

Source: Credit Suisse, UBS, Bloomberg Source: Credit Suisse, UBS, Data until 28.10.2009

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Dec 01 Dec 03 Dec 05 Dec 07 Dec 09

Del

ta %

UBS Convertible Global



Spreads are still above long-term average

Source: Credit Suisse, UBS, Bloomberg Source: Credit Suisse, UBS, Data until 28.10.2009

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ead

Yield Spread: UBS Global Convertibles vs. 3Y US Treasury BondsAverage Spread



Global Convertibles – Primary market activity

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le is

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US Europe Asia J apan OtherSource: Credit Suisse, UBS, Data until

30.09.2009



Reasons for investing now in convertible bonds

Uncertainty regarding the path of recovery (v- vs. w-shaped) warrants dynamic investment approaches

Limited loss potential. Delta of convertible bonds are not high by historical standards which should provide protection in case of weak equity markets. In addition, the relatively short life time and positive correlation to equity markets offer protection against inflation

Good performance perspectives. The valuation of convertibles (yield, implied volatility) offers an attractive return perspective. Rising equity markets and further spread tightening would increase the return significantly

Investor interest is increasing. New issues have been received very well during the last couple of months and the positive market momentum gains steam



Agenda

Reasons to invest

Convertibles Basics

Investment Process

Products

Performance

Why Credit Suisse?

Conclusion

Management Team



Structure of a convertible bond

Source: Credit Suisse

A convertible bond is a combination of a corporate bond and a call option on a stock

Bond

Option

Convertible

A convertible is a bond that can be exchanged into sharesat a specified conversion ratio (typically at any time)

Stocks

Nominal valueof bond

At maturity the

investor receives (but not both)≈Prospectus

Convertible Bond ≈ Corporate Bond + Embedded Call Stock Option



Price behaviour of a convertible

Bond-like Balanced Equity-alternative

Pri

ce o

f co

nvert

ible

Price of underlying stock

Parity(= conversion ratio x current stock price)

Bond

Convertible

Distressed

Bond floor

1


The bond floor of the convertible protects typically a large portion of the investment



Agenda

Reasons to invest

Convertibles Basics

Investment Process

Products

Performance

Why Credit Suisse?

Conclusion

Management Team



Credit Suisse Asset Management - Global Platform

Source: Credit Suisse (as of end of year 2008)



Asset Allocation recommendation

Directional market forecasts (equity, credit spreads, rates)

Sector/Country selection

Style preference

Bottom-up fundamentals (equity, credit)

Valuations

Technical/Sentiment analysis

Momentum

Volatility analysis

Hedge fund activity

Flows

External studies

Investment process – Sources and types of input

Fixed Income / Forex

Equity

CIO-Office

Structured Derivatives

Alternative funds

Investment banks & Brokers (external)


Global Convertible

s Team

Credit Suissse Asset Management

The Fund’s active management leverages Credit Suisse’s global investment platform.



Company Research –State-of-the-art quantitative stock selection tools




Global Fixed Income Strategy Investment Groups

Global Market Allocation

Duration/Curve Strategy

Global Market Allocation

Duration/Curve Strategy

Swap and Credit Strategy

Credit Sector Strategy

Swap and Credit Strategy

Credit Sector Strategy Global Currency Strategy Global Currency Strategy

Global Interest Rate Group

Global Interest Rate Group

Global CreditGroup

Global CreditGroup

Global Currency Group

Global Currency Group Luc Mathys

Dominic Barnes Alex Bouchardy Philipp Büchler Siegfried Cordes Daniel Egger Anna Guglielmetti Michael Markovic Eric Suter Lena Teoh

Michael Schmid Oliver Gasser Stuart Goh Giuseppe Quarto di Palo Fidel Kasikci Daniele Paglia Hans Boije

Philipp Büchler Alex Bouchardy Christoph Durst Marcus Hettinger Mónica Mastroberardino Joe Prendergast Ralf Seschek


Asset Allocation Committee (AAC)

FISCFISC FISCFISC



Performance Attribution, Risk-Weighted Positioning, Diversification, Corporate Actions Management, Active Sell Discipline

Risk & Performance Monitoring

Markets & Sector Research

Company Research

Global economic Framework

Top-down fundamentals & technicals

Quantative stock selection tool

Global Fixed Income ISG results

Specific Convertible Bond themes

Valuation

Momentum

Credit Quality

Peer Group Comparison

Relative Value Assessment

Instrument Research

Analyze bond characteristics

Solve complex issues with state-of the-art tools (modeling software “MONIS”)

Consider legal terms and conditions

Selecting the most appropriate convertible bonds to fulfill the desired allocation of delta, yield, and convexity for portfolio, sector and issuer

Portfolio Construction

Investment Process - Portfolio Structuring

INVESTMENT

OPPORTUNITIES

Consider and dynamically manage the top down components of the convertible bond universe.

From the bottom up perspective, a global approach to company analysis is applied that both involves credit and equity research.

Disciplined risk management and dedicated quantitative tools are key to profitably capture opportunities. Source: Credit Suisse



Agenda

Reasons to invest

Convertibles Basics

Investment Process

Products

Performance

Why Credit Suisse?

Conclusion

Management Team



Global Convertibles – Product OverviewProduct offering – Products with different risk-return profiles

Source: Credit Suisse We also offer individual mandates for institutional investors

Assets under Management: CHF 1.1 bn.

Mutual funds:

Delta

ProductCredit Suisse SICAV One

(Lux) Global Convertibles

Credit Suisse Bond Fund (CH) Convert

International

Credit Suisse SICAV II (Lux) Global Convertible

Bond-like

Balanced

Equity-like




Important fund restrictions

min. 40% of NAV has to be BBB or better rating

max. 15% straight bonds

max. 20% cash

issuers below BBB-: max. (5%, BM-weight + 1.5%)

Benchmark: UBS Global Convertibles Focus Yield (FX hedged)

– Broad universe: Global Convertibles

– 1. Filter: UBS Global Convertibles

Minimum requirements regarding liquidity and pricing

– 2. Filter: Focus

Ongoing rebalancing ensures that the classical convertible-profile

dominates

– 3. Filter: Select bonds (denominated in USD, EUR and JPY) with the

highest yieldsPrice of underlying stock

Pri

ce o

f co

nvert

ible

Bond-like Balanced Equity-like

stock

bond

convertible

Focus tries to select the issues

with the most balanced profile




Fund manager: Convertible Bonds Team (Zürich)

Fund domicile: Luxembourg

Fund currency:USD(FX hedged)

Issue date: 12.10.2007

Management Fee in % p.a.: 1.20% p.a.

Benchmark:UBS Global Convertibles Focus Yield (FX hedged)

Swiss security number:

B USD: 3323024

R EUR: 3323039

R CHF: 3323045

ISIN:

B USD: LU0315566785

R EUR: LU0315567247

R CHF: LU0315567320



Credit Suisse SICAV One (Lux) Global Convertibles

Important fund restrictions max. 30% straight bonds max. 20% cash issuers below BBB-: max. (5%, BM-weight + 2%)

Benchmark: UBS Global Convertibles Focus (FX hedged)


– 1. Filter: UBS Global Convertibles

Minimum requirements regarding liquidity and pricing

– 2. Filter: Focus

Ongoing rebalancing ensures that the classical

convertible-profile

dominates

– Advantage:

Extreme characteristics are excluded

Fast adjustments to market environment


Pri

ce o

f co

nvert

ible


stock

bond

convertible

Focus tries to select the issueswith the most balanced profile




Rating allocation* Sector allocation

A24%

BBB44%

BB17%

AA6%

CCC1%

B7%

AAA1%

Energy9%

Health Care17%

Industrials5%

Information Technology

20%

Utilities1%

Materials10%

Consumer Staples

7%

Telco5%

Financials11%

Consumer Discretionary

10%

Cash5%

* Rating sources are external as well as internal providers.

Source: S&P, Moody's, Credit Suisse (as of 31.10.2009)



Western Europe35%

EEMEA5%

Americas43%

Asia ex12%

J apan5%


Regional allocation Currency allocation

Source: Bloomberg, Credit Suisse (as of 31.10.2009)

USD65.5%

EUR22.1%

J PY5.3%

CHF1.6%

GBP1.0%

CNY0.3%HKD2.7%SGD1.6%

Currency exposure is usually hedged




10 largest holdings

Source: Credit Suisse (as of 31.10.2009)

0.0% 1.0% 2.0% 3.0% 4.0% 5.0%

PPR

HOLOGIC INC

SUZUKI MOTOR

ANGLO AMER PLC

SYMANTEC CORP

INTEL CORP

AMGEN INC

TRANSOCEAN LTD

EMC CORP/MASS

MEDTRONIC INC

Larg

est ho

ldin

gs





Fund domicile: Luxembourg

Fund currency:EUR/CHF/USD(FX hedged)



Benchmark:UBS Global Convertibles Focus (FX hedged)

Swiss security number:

B USD: 10169270

R EUR: 10639347

S EUR: 10627572

ISIN:

B EUR: LU0426279682

R EUR: LU0457025293

S EUR: LU0456270396



Credit Suisse Bond Fund (CH) Convert International

Important restrictions

min. 40% of NAV has to be BBB or better rating

max. 15% straight bonds

max. 20% cash

issuers below BBB-: max. max(5%, BM-weight + 1.5%)

UBS Global Convertibles (FX unhedged)


– Filter: UBS Global Convertibles

Minimum requirements regarding liquidity and

pricing


Pri

ce o

f co

nvert

ible


stock

bond

convertible

This benchmark covers the whole universe

including extreme outliers



Credit Suisse Bond Fund (CH) Convert International


Fund domicile: Switzerland

Fund currency:CHF/USD

(FX unhedged)



Benchmark:UBS Global Convertibles

(FX unhedged)

Swiss security number:A CHF: 1930836

A USD: 277151

ISIN:A CHF: CH0019308367

A USD: CH0002771514



Global Convertibles – Product characteristics


As of 02.11.2009

CS SICAV II (Lux) Global Convertible Bonds CS Sicav One (Lux) Global Convertibles CS BF Convert International

Delta (%) 34.7 42.3 45.1Yield (%) 4.29 1.28 2.92Mod. Dur. 2.98 2.39 2.34Rating:AAA 1.4% 1.4% 0.4%AA 6.9% 6.0% 3.2%A 7.6% 23.8% 16.0%BBB 39.6% 43.8% 40.8%BB 32.9% 17.1% 23.2%B 10.9% 7.3% 12.5%CCC 0.7% 0.5% 2.2%CC 0.0% 0.0% 0.0%C 0.0% 0.0% 1.1%D 0.0% 0.0% 0.0%



Agenda

Reasons to invest

Convertibles Basics

Investment Process

Products

Performance

Why Credit Suisse?

Conclusion

Management Team



Significant outperformance in difficult environment(Gross performance figures)

Source: Credit Suisse, Bloomberg, Data until 28.10.2009

Performance data takes no account of management and administration fee Historical performance indications and financial market scenarios are no guarantee for current or future performance

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CS Bond Fund Convert International CS FI SICAV - SIF Global Convertible

CS SICAV II (Lux) Global Convertible Bonds CSA Equity-linked Bond Portfolio

Inception

14.12.200712.10.2007

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CS Bond Fund Convert International CS FI SICAV - SIF Global Convertible

CS SICAV II (Lux) Global Convertible Bonds CSA Equity-linked Bond Portfolio

Inception

14.12.200712.10.2007



Agenda

Reasons to invest

Convertibles Basics

Investment Process

Products

Performance

Why Credit Suisse?

Conclusion

Management Team



Why Credit Suisse?

Credit Suisse - Global Player

– Strong in-house portfolio management & research resources

– Market power gives an advantage in terms of order execution & broker services

– Convertible expertise & funds for more than 25 years

Credit Suisse - Convertible Team

– Highly qualified and experienced team

– Longtime collaboration within the team

– Very good track record of the team

– Strong investment process

Active management of all three segments (equity, credit, balanced)

Focus on bottom-up analysis

Credit Suisse - Convertible Products

– Wide range of convertible products

– Feasibility of individual solutions

Various reasons to choose Credit Suisse for your convertible investment



Agenda

Reasons to invest

Convertibles Basics

Investment Process

Products

Performance

Why Credit Suisse?

Conclusion

Management Team



Opportunities Risks

Asymmetric Risk/Return-Profile. Unlimited

upside-potential, but limited downside-

potential due to bond-floor (exception: default

of an issuer)

Positive correlation effects to other asset

classes

Participate from a brightening economic

environment

Global Convertible offers a highly diversified

and international investment opportunity

Default of an issuer

Under extreme conditions with a strong credit

spread widening and simultaneously falling

stock prices, the performance of convertibles

could disappoint (but maybe only temporary)

Opportunities & Risks



Executive Summary

Convertibles are a very attractive asset class with a tremendous performance record in the last 13 years, beating most other asset classes

Due to the uniqueness of the current situation, a convertibles investment makes especially sense now

In the last three years, the convertible team of Credit Suisse Asset Management has achieved a very good track record, outperforming the benchmark with various products

Credit Suisse Global Convertible products offer investors the opportunity to participate in convertible bonds in a transparent and diversified way



Agenda

Reasons to invest

Convertibles Basics

Investment Process

Products

Performance

Why Credit Suisse?

Conclusion

Management Team



Credit Suisse Multi Asset Class SolutionsFixed Income Organization

MACSFixed Income

Michel D. Degen Maurizio Pedrini, CEFA

MACSFixed Income

Michel D. Degen Maurizio Pedrini, CEFA

Michel Berger

Alexandre Bruhin

Christoph Durst

Laura Slater, CIIA

Marcel Rüede,

CFA

Dominique Gilgen

Alexandre Bouchardy CFA

PhD Mónica Mastroberardino

PhD Doris Röhl-Schmidt

Christian Senn

Roger Wyss, CFA

Thomas Baumgartner CEFA

Simone Stäuble CFA

PhD Urs Haberthür

PhD Manuel Walker

Global Rates & Credit /

Discretionary Solutions

Luc Mathys CFA, FRM

Global Rates & Credit /

Discretionary Solutions

Luc Mathys CFA, FRM

Structured Finance

Oliver Gasser CFA

Structured Finance

Oliver Gasser CFA

Global Convertibles

Patrick Blauth CFA

Global Convertibles

Patrick Blauth CFA

CHF Fixed Income

Eric SuterCEFA

CHF Fixed Income

Eric SuterCEFA

Engineered Solutions

Daniele Paglia

Engineered Solutions

Daniele Paglia

Global Fixed Income

Institutional Solutions

Philipp Büchler CFA

Global Fixed Income

Institutional Solutions

Philipp Büchler CFA

Libor Products

Michael Schmid CEFA

Libor Products

Michael Schmid CEFA

MACS International

Frankfurt: Siegfried Cordes Milano: Anna Guglielmetti London: Dominic Barnes Singapore: Stuart Goh

MACS International

Frankfurt: Siegfried Cordes Milano: Anna Guglielmetti London: Dominic Barnes Singapore: Stuart Goh

Investment Solutions &Capabilities

Dominik Scheck

CFA

Investment Solutions &Capabilities

Dominik Scheck

CFA

Robert Moreth

Peter Schilling, CEFA

Fixed Income Trading

Roger Tschantre Samuel Brun Renzo Bagorda Matthias Gehrig

Fixed Income Trading

Roger Tschantre Samuel Brun Renzo Bagorda Matthias Gehrig



Peter Schilling, Diplom-Kaufmann, CEFAPeter holds a degree in business studies (Diplom-Kaufmann) from the J. W. Goethe University in Frankfurt. After his studies in 1990 he worked for the Nassauische Sparkasse, Delbrück and Deka Investment in different fund management divisions. During his career he had a variety of positions in the fields of equity, fixed income, corporate credit, strategy as well as balanced mandates. His comprehensive and diverse knowledge in addition to his close to 20 years capital markets experience makes him an highly qualified senior fund manager and ideal complement for our team. Peter joined Credit Suisse in 2008.

Global Convertibles – Team

Patrick Blauth, Diplom-Kaufmann, CFAAfter a vocational education in banking at Deutsche Bank in Frankfurt, Patrick studied in Germany and the United States, earning a Master in business studies (Diplom-Kaufmann) from Universität Mannheim. In 1999 he started to work as portfolio manager for Deka Investment in Frankfurt. Being firstly mainly involved with liquid interest rates products, he shifted his focus successively towards credits and specialized products. Since 2003 he was member of the corporate team at Deka. Besides the responsibility for some pure credit portfolios, he was the fund manager of Deka’s flagship mutual funds for convertibles (Deka-Wandelanleihen) and subordinated debt (DekaGenüsse+Renten). Since the start of 2008 he works as Senior Portfolio Manager and heads the Global Convertible Team at Credit Suisse Asset Management.Robert Moreth, MBA After finishing a vocational education in the automotive industry, Robert joined the military forces in order to take over a position at NATO in the Netherlands. He studied at the same time and graduated with a Bachelor’s degree in International Finance and Accounting. Robert applied his interest in finance when he did internships with KPMG in their business research division as well as with Deutsche Bank where he was a member of the Global Markets Research team. In addition he earned an MBA in Finance from the University of Nottingham. In 2006 Robert accepted a position as Portfolio Manager for Convertible Bonds at Deka Investment. He managed institutional convertible bond funds with a focus on European issuers before he was also responsible for Deka‘s convertible bond mutual fund (Deka Wandelanleihen). Robert joined Credit Suisse in 2008.



This presentation was produced by CREDIT SUISSE (hereafter "Bank") with the greatest of care and to the best of its knowledge and belief. However, the Bank provides no guarantee with regard to its content and completeness and does not accept any liability for losses which might arise from making use of this information. The opinions expressed in this document are those of the Bank at the time of writing and are subject to change at any time without notice. If nothing is indicated to the contrary, all figures are unaudited. This document is provided for information purposes only and is for the exclusive use of the recipient. It does not constitute an offer or a recommendation to buy or sell financial instruments or banking services and does not release the recipient from exercising his/her own judgment. The recipient is in particular recommended to check that the information provided is in line with his/her own circumstances with regard to any legal, regulatory, tax or other consequences, if necessary with the help of a professional advisor. This document may not be reproduced either in part or in full without the written permission of the Bank. It is expressly not intended for persons who, due to their nationality or place of residence, are not permitted access to such information under local law. Every investment involves risk, especially with regard to fluctuations in value and return. It should be noted that historical returns and financial market scenarios are no guarantee of future performance. Investments in foreign currencies involve the additional risk that the foreign currency might lose value against the investor‘s reference currency.

Fund management company of the Funds under Swiss law as well as representative of the foreign funds registered for public sale in Switzerland is CREDIT SUISSE ASSET MANAGEMENT FUNDS AG, Zurich. Custodian Bank of the funds under Swiss law as well as Paying Agent of the foreign funds registered for public sale in Switzerland is CREDIT SUISSE, Zurich. Subscriptions are only valid on the basis of the current sales prospectus and the most recent annual report (or half-yearly report, if this is more recent). The prospectus, the simplified prospectus, the management regulations and the annual and half-yearly reports may be obtained free of charge from CREDIT SUISSE ASSET MANAGEMENT FUNDS AG, Zurich and from any bank in the Credit Suisse Group AG in Switzerland. Copyright © 2009 Credit Suisse Group AG and/or its affiliates. All rights reserved.

Important Information

asset management november 2009 credit suisse global convertibles

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