Credit Suisse Asset Management, LLC
March 8, 2012
Credit Suisse Credit Investments Group
Presentation to the
City of Fresno Retirement Boards
Thomas J. Flannery
Senior Portfolio Manager
Managing Director
John G. Popp
CIG Global Head and CIO
Managing Director
CONFIDENTIAL – NOT FOR REDISTRIBUTION
Prepared for One-on-One Presentation
For Information Purposes Only
All Terms Subject to Change
Stephen Murphy
Relationship Manager
Director
Credit Suisse Asset Management Slide 1
1. Credit Investments Group at Credit Suisse Asset Management
Credit Suisse Asset Management Slide 2
Credit Suisse Asset Management: Focused Investment Solutions
We are a client-centric organization
dedicated to providing focused investment
solutions to investors worldwide.
We leverage Credit Suisse’s best ideas,
access, resources and capabilities globally
to establish long-term partnerships with
clients to help them thrive.
We offer a deep talent pool with over
680 investment professionals, 63 traders,
67 quantitative analysts, 29
economists/research, 30 strategists and 29
market risk specialists.
We deliver the full strength of our
global franchise through:
– Seasoned investment expertise
– Broad capabilities and partnerships
– Intellectual capital
– Comprehensive risk management
– White-glove client service
Global Reach and Local Presence1
Credit Suisse Offices
Asset Management Credit Suisse
Located in 19 countries Located in 53 countries
1 As of December 31, 2011
2 Assumes CHF/USD conversion rate of 1.063 at the end of December 31, 2011.
Asset Management at a Glance1
Date of Establishment 1935
Assets Under Management $434 billion2
Number of Employees 2,700
Credit Suisse Asset Management Slide 3
Long-Standing Tradition in Managing Non-Investment Grade Credit
$16.2bn1 under management; one of the largest, most experienced
managers of non-investment grade credit
Resources primarily dedicated to understanding and evaluating non-
investment grade credit investments
Scale
Stability
Performance
All five members of the Credit Committee are in their 14th consecutive year
managing non-investment grade portfolios together
A culture of risk management and discipline is maintained throughout the
investment process
Investment process predicated on bottom-up credit selection has generated
attractive risk-adjusted returns with lower volatility than the benchmark
Top Quartile Performance in high yield bonds over the past 1, 3 and 5 year
periods2
1 As of December 2011.
2 Source: eVestment Alliance. Rankings refer to CIG US High Yield Composite within the eVestment US High Yield Universe. Data as of December 31, 2011.
.
Credit Suisse Asset Management Slide 4
1. As of December 2011
* Members of the CIG Credit Committee
† Years of experience refers to the number of years of financial industry experience.
Credit Suisse Credit Investments Group
$16.2 billion in Managed Assets1
Senior Management and Portfolio Management†
London-Based European Industry Analysts
Daragh Murphy, CFA 13 Yrs. Director Telecom & Cable; Manufacturing; Paper & Packaging
Jakob von Kalckreuth 9 Yrs. Director Aerospace & Defense; Chemicals; Healthcare; Trading
Roberta Girard 10 Yrs. Vice President Building & Real Estate; Consumer Products
Berchmans Rivera 6 Yrs. Associate Leisure, Hotels & Gaming; Transportation
US Industry Analysts
Vance Shaw, CFA 30 Yrs. Director Oil & Gas; Utilities
James Potesky 26 Yrs. Director Chemicals; Industrials
Louis Farano 19 Yrs. Director Consumer Products; Retail; Trading
Linda Karn 17 Yrs. Director Media & Telecom; Printing & Publishing
Edward DeBruyn 14 Yrs. Director Manufacturing; Paper & Packaging
Ramin Kamali 11 Yrs. Director Financial Services; Real Estate
Michael Chaisanguanthum 9 Yrs. Director Distressed & Restructurings; Aerospace & Defense
Joshua Shedroff 9 Yrs. Vice President Automotive; Metals & Mining; Shipping
Amir Vardi 8 Yrs. Vice President Structured Credit
David Mechlin, CFA 6 Yrs. Associate Leisure; Technology
Buo Zhang 5 Yrs. Associate Restaurants; Ecological Services
Carson Cooper 3 Yrs. Analyst Hotels & Gaming; Healthcare
Alex Witkes 1 Yr. Analyst Healthcare
Dedicated Middle Office: 30 Professionals Asset Management Risk Management: 24 Professionals
Analyst Team†
US Trading and Strategy
Adrienne Dale 13 Yrs. Director Product Specialist
Grey Harris 16 Yrs. Vice President High Yield Bond Trading
Paul Roth 10 Yrs. Vice President Market Strategy; Product Specialist
Ilan Friedman 9 Yrs. Vice President Leveraged Loan Trading
Jonida Afezolli 3 Yrs. Analyst Market Strategy
Credit Portfolio Management and Research Capabilities
Andrew H. Marshak *
Managing Director
Head of Europe
22 Years Experience
David H. Lerner *
Managing Director
Sr. Portfolio Manager
22 Years Experience
Thomas J. Flannery *
Managing Director
Sr. Portfolio Manager
16 Years Experience
Linda R. Karn *
Director
Head of Research
17 Years Experience
Wing Chan, CFA
Director
Portfolio Manager
14 Years Experience
Lauri Whitlock
Director
Chief Operating Officer
22 Years Experience
John G. Popp *
Managing Director
Global Head and CIO
28 Years Experience
Credit Suisse Asset Management Slide 6
Investment Philosophy: Intensive Research, Relative Value Approach
Performance is driven by a strong credit culture and a systematic investment process
Bottom-up Portfolio Construction
Preservation of Principal
Relative Value Discipline
Driven by detailed fundamental credit
analysis
Seeks to protect against downside through loss
avoidance
Within capital structure, across comparable
companies, and across industries
Credit Suisse Asset Management Slide 7
Investment Process
Initial review of
prospectus
Assign to analyst or
pass based on industry,
size, business
prospects, rating,
sponsorship, financials
Top down analysis
Preliminary
Screening
Investment Strategy: Relative Value Among Issuers, Industries, Asset Classes, Tranches
Asset Sourcing Monitoring/Risk
Management
Investment
Selection
Fundamental
Credit Analysis
Analyst presentations
made to Credit
Committee to review
new investment
recommendations
Review pricing,
investment alternatives
Buy/Sell/Hold
recommendations
Consensus decision
Bottom-up research
Company specific
analysis
Meetings with
management
Prepare historical and
projected financial
analysis
Comparative credit and
pricing analysis
Analysis of structural
aspects of transaction
Commercial Banks
Investment Banks
LBO Firms
Financial Intermediaries
New Issues
Secondary Markets
Daily portfolio updates
to review market
conditions and forward
calendar
Ongoing comparable
company analysis
Ongoing review of
company’s securities
Credit reviews
Credit watch list
Regular analysis and
meetings between Risk
Management Team and
Portfolio Managers
Credit Suisse Asset Management Slide 8
-100%
0%
100%
200%
300%
400%
500%
600%
700%
800%
900%
Jul-
89
Jul-
91
Jul-
93
Jul-
95
Jul-
97
Jul-
99
Jul-
01
Jul-
03
Jul-
05
Jul-
07
Jul-
09
Jul-
11
US High Yield Bond Composite Gross
US High Yield Bond Composite Net
US High Yield Bond Composite Merrill Lynch Us High Yield Master II Index
CIG US High Yield Composite Performance
† Inception Date: July 1989. Data as of January 31, 2012.
Past performance is not a guarantee or an indication of future results
July 1989 Inception to January 2012CIG US High Yield
Composite, Gross
CIG US High Yield
Composite, Net
ML US High Yield
Master II
Constrained Index
Average Monthly Return 0.83% 0.79% 0.73%
Annualized Return 10.14% 9.54% 8.62%
Standard Deviation (Monthly) 2.23% 2.23% 2.66%
Annualized Volatility 7.74% 7.73% 9.21%
Sharpe Ratio 0.85 0.77 0.55
Information Ratio 0.38 0.23
Annualized Alpha 2.75% 2.14%
Annualized as of January 31, 2012 YTD 1-year 3-year 5-year 10-year ITD†
CIG US High Yield Bond Composite, Gross 2.52% 6.87% 22.50% 8.54% 9.13% 10.14%
CIG US High Yield Bond Composite, Net 2.45% 6.09% 21.48% 7.57% 8.33% 9.54%
Merrill Lynch US High Yield Master II Constrained Index 2.90% 5.19% 22.65% 7.91% 9.02% 8.62%
Gross Outperformance -0.38% 1.68% -0.15% 0.63% 0.11% 1.52%
Net Outperformance -0.45% 0.90% -1.17% -0.34% -0.69% 0.91%
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
CIG US High Yield Bond Composite, Gross 3.17% 4.23% -6.84% 6.02% 0.83% 22.86% 12.39% 2.51% 10.94% 2.71% -23.52% 53.47% 15.55% 6.70%
CIG US High Yield Bond Composite, Net 2.70% 3.79% -7.19% 5.66% 0.52% 22.43% 11.96% 1.72% 9.76% 1.65% -24.22% 52.09% 14.52% 5.92%
Merrill Lynch US High Yield Master II Constrained Index 3.59% 1.74% -5.67% 5.44% -1.53% 30.63% 10.79% 2.09% 10.69% 2.53% -26.16% 58.10% 15.07% 4.37%
Gross Outperformance -0.42% 2.49% -1.17% 0.57% 2.36% -7.76% 1.60% 0.42% 0.25% 0.18% 2.65% -4.63% 0.48% 2.33%
Net Outperformance -0.89% 2.05% -1.53% 0.22% 2.05% -8.20% 1.17% -0.37% -0.93% -0.88% 1.94% -6.01% -0.54% 1.56%
1989 1990 1991 1992 1993 1994 1995 1996 1997
CIG US High Yield Bond Composite, Gross -1.94% -4.35% 44.07% 23.76% 33.38% -1.98% 20.09% 13.82% 15.70%
CIG US High Yield Bond Composite, Net -2.16% -4.79% 43.48% 23.23% 32.81% -2.42% 19.78% 13.40% 15.23%
Merrill Lynch US High Yield Master II Constrained Index -3.23% -7.04% 39.93% 17.86% 17.36% -1.25% 19.71% 11.29% 13.18%
Gross Outperformance 1.29% 2.68% 4.14% 5.90% 16.02% -0.73% 0.38% 2.53% 2.52%
Net Outperformance 1.06% 2.25% 3.55% 5.37% 15.45% -1.17% 0.07% 2.11% 2.05%
Credit Suisse Asset Management Slide 9
High Yield Representative Portfolio Characteristics
For illustrative purposes only
Data as of January 31, 2012
Index used is BofA Merrill Lynch Master Constrained II Index
Portfolio Index
Modified Duration 2.77 4.20
Effective Maturity 3.49 5.45
Average Quality B+ B+
Effective Yield 7.06 7.59
Average Coupon 8.36 8.22
Number of Holdings 173
Number of Distinct Issuers 162
Largest Corp Credit Issuer 2.14%
Total Portfolio Characteristics
89.00%
5.41%
5.06% 0.53% North America
DevelopedEurope/MiddleEast
Cash
Asia/Australia/NewZealand
Industry Breakdown
Ratings Breakdown
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
Portfolio
Index
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
Portfolio
Index
Credit Suisse Asset Management Slide 10
CIG Competitive Advantages
Sourcing
Fundamental
Analysis
Sell Discipline
Relative Value
Trading
A key to portfolio management is ensuring that investments are selected from the largest
number of potential opportunities
CIG’s scale, reputation, and long-standing relationships provide access and larger
allocations to new issue deals
17 dedicated sector analysts perform detailed bottom-up fundamental analysis on
corporate issuers and make recommendations to the Credit Committee
Daily, quarterly, and ad-hoc meetings serve to introduce new investments, monitor existing
holdings, and frame overarching portfolio strategy and themes
PMs actively monitor trading levels to determine attractiveness of each company on a
relative value basis
Buy/sell transactions are executed to rotate portfolios to credits with more attractive
risk/return profiles
Credits are sold when they meet or exceed relative value targets, credit quality is expected
to decline materially, or there is a material change to the original investment thesis
Sell decisions may be made by PMs without the need for Credit Committee approval
Credit Suisse Asset Management Slide 12
A. High Yield Review and Market
Outlook
Please see “Important Legal Information” at the end of this material for important disclosures regarding the data and information contained and the views and opinions expressed in this material.
Credit Suisse Asset Management Slide 13
High Yield: Q4 2011 Market Overview
Source: BofA Merrill Lynch, Credit Suisse, As of December 31, 2011.
BofA High Yield Master II Constrained Index
Q4 Total Return 6.19%
Average Price 98.01
Spread-to-Worst 730
Yield-to-Worst 8.27%
Average Quality B1
Mod. Duration 4.74
Average Maturity 6.8 yrs
Ratings Returns
BB 5.54%
B 6.30%
CCC 7.80%
CC 14.31%
Top Industries
Real Estate 12.65%
Technology and Electronics 10.70%
Bottom Industries
Utility -1.56%
Energy -2.09%
40
50
60
70
80
90
100
110
0
500
1,000
1,500
2,000
2,500
Jan
-01
Jan
-02
Jan
-03
Jan
-04
Jan
-05
Jan
-06
Jan
-07
Jan
-08
Jan
-09
Jan
-10
Jan
-11
Price
Spre
ad (bps)
BofA ML High Yield Constrained Index Spread-to-Worst
BofA ML High Yield Constrained Index Average Price
Credit Suisse Asset Management Slide 14
Market Update: Fundamentals
*Source: Credit Suisse. As of December 2011.
** Source: S&P LCD. As of December 2011.
Defaults
– High yield par-weighted default rates at 1.82%*, versus historical average of 4.52%
Distressed Ratio
– High yield distressed ratio fell from 22.3% to 17.9%** in Q4 2011
0%
4%
8%
12%
16%
Jan-0
1
Jan-0
2
Jan-0
3
Jan-0
4
Jan-0
5
Jan-0
6
Jan-0
7
Jan-0
8
Jan-0
9
Jan-1
0
Jan-1
1
Senior Loan Defaults
High Yield Defaults
Distressed Ratio by Number of Issuers LTM Par-Weighted Default Rates
0%
20%
40%
60%
80%
100%
Jan-0
1
Jan-0
2
Jan-0
3
Jan-0
4
Jan-0
5
Jan-0
6
Jan-0
7
Jan-0
8
Jan-0
9
Jan-1
0
Jan-1
1
S&P LSTA Index Distress RatioBofA HY Index Distress Ratio
Credit Suisse Asset Management Slide 15
Market Update: Technicals
Data as of December 2011
New-issuance market
– High Yield priced $38.1bn in bonds in Q4. 2011. FY 2011 marked the second most
active bond new issue year on record with total issuance of $246bn
Mutual Fund Flows
– High yield mutual fund saw inflows of $11.7bn in Q4 for a total inflow of $13.5bn in 2011
HY and Senior Loan Mutual Fund Flows
Credit Suisse Asset Management Slide 16
B. Additional Information
Please see “Important Legal Information” at the end of this material for important disclosures regarding the data and information contained and the views and opinions expressed in this material.
Asset Management November 2011
Slide 17
Please see “Important Information” at the end of this material for important disclosures regarding the data and information contained and the views and opinions expressed in this material.
Experienced Leadership
Name
John G. Popp
Andrew H. Marshak
David H. Lerner
Thomas J. Flannery
Linda R. Karn
Managing Director
Group Head and CIO
Managing Director
Head of Europe
Managing Director
US Portfolio Manager
Managing Director
US Portfolio Manager
Director
Wharton School, M.B.A.
Pomona College, B.A.
Wharton School, B.S.
George Washington
University, B.B.A.
Georgetown University, B.S.
Babson College, B.S.
Background
Education
Title
Over 27 years of leveraged finance investment experience
First Dominion Capital - Founding Partner and Head of
Asset Management
Indosuez Capital – Managing Director
Kidder, Peabody – Senior Vice President – Investment
Banking
Drexel Burnham – Vice President – Investment Banking
Member of Brookings Institution’s Foreign Policy
Leadership Committee
Over 21 years of leveraged finance investment experience
First Dominion Capital – Founding Partner and Managing
Director
Indosuez Capital – Vice President
Donaldson, Lufkin & Jenrette Investment Banking
Over 21 years of leveraged finance investment experience
First Dominion Capital – Senior Vice President
Mitsubishi Trust and Banking Corp. – Leveraged Finance
Group
Banque Francaise du Commerce Exterieur
Chase Manhattan Bank
Over 15 years of leveraged finance investment experience
First Dominion Capital
Houlihan Lokey Howard & Zukin – Financial Restructuring
Group
Over 16 years of leveraged finance investment experience
CIG Credit Committee Member
First Dominion Capital – Vice President
TD Securities (USA) – Media and Telecom Equity Research
Credit Suisse Asset Management Slide 18
Disclosures
This material has been prepared by Credit Suisse Asset Management, LLC (“Credit Suisse”) on the basis of publicly available information, internally developed data and other third party sources believed to be reliable. Credit Suisse has not sought to independently verify information obtained from public and third party sources and makes no representations or warranties as to accuracy, completeness or reliability of such information. All opinions and views constitute judgments as of the date of writing without regard to the date on which the reader may receive or access the information, and are subject to change at any time without notice and with no obligation to update. This material is for informational and illustrative purposes only as in intended solely for the information of those to whom it is distributed by Credit Suisse. No part of this material may be reproduced or retransmitted in any manner without the prior written permission of Credit Suisse. Credit Suisse does not represent, warrant or guarantee that this information is suitable for any purpose and it should not be used as a basis for investment decisions. This material does not purport to contain all of the information that a prospective investor may wish to consider. This material is not to be relied upon as such or used in substitution for the exercise of independent judgment. Past performance is no guarantee or indication of future results. This material should not be viewed as a current or past recommendation or a solicitation of an offer to buy or sell any securities or investment products or to adopt any investment strategy. The securities identified and described do not represent all of the securities purchased, sold or recommended for client accounts. The reader should not assume that any investment in companies, securities, sectors and/or markets identified or described herein were or will be profitable and no representation is made that any investor will or is likely to achieve results comparable to those shown or will make any profit or will be able to avoid incurring substantial losses. This information report does not constitute research and may not be used or relied upon in connection with any offer or sale of a security or hedge fund or fund of hedge funds. Performance differences for certain investors may occur due to various factors, including timing of investment and eligibility to participate in new issues, Investment return will fluctuate and may be volatile, especially over short time horizons. Current and future portfolio compositions may be significantly different from the information shown herein. Investing entails risks, including possible loss of some or all of the investors principal. The investment views and market opinions/analyses expressed herein may not reflect those of Credit Suisse Group as a whole and different views may be expressed based on different investment styles, objectives, views or philosophies. To the extent that these materials contain statements about the future, such statements are forward to looking and subject to a number of risks and uncertainties. The only legally binding terms of any investment products described herein including risk considerations are set forth in the private placement memoranda and subscription documents which are available upon request. This document does not constitute an offer or invitation to enter into any type of financial transaction. The issuer has no obligation to issue any investment product described herein. Before deciding to invest, prospective investors should carefully read the relevant private placement memorandum and subscription documents and pay particular attention to the risk factors contained therein and determine if such investment product suits the investors particular circumstances and should be independently asses (with the investors tax, legal and financial advisers) the specific risks (maximum loss, currency risks, etc.) and the legal, regulatory, credit, tax and accounting consequences. Prospective investors should have the financial ability and willingness to accept the risk characteristics of this investment product for any particular investor or as to the future performance of such investment product. Performance data are net of management fees unless otherwise stated. The asset management business of Credit Suisse Group is comprised of a network of entities around the world. Each legal entity is subject to distinct regulatory requirements and certain asset management products and services may not be available in all jurisdictions or to all client types. There is no intention to offer products or services in countries or jurisdictions where such offer would be unlawful under the relevant domestic law. The charts, tables and graphs contained in this document are not intended to be used to assist the reader in determining which securities to buy or sell or when to buy or sell securities. Benchmarks are used solely for purposes of comparison does not mean that there will necessarily be a correlation between the returns described herein and the benchmarks. There are limitations in using financial indices for comparison purposes because, among other reasons, such indices may have different volatility, diversification, credit and other material characteristics (such as number or type of instrument security). IRS Circular 230 Notice: Any tax statement herein regarding any U.S. federal tax is not intended or written to be used, and cannot be used, by any taxpayer for the purpose of avoiding any U.S. federal tax penalties. Any such statement herein was written to support the marketing or promotion of the transaction(s) or matter(s) to which the statement relates. Each taxpayer should seek advice based on the taxpayer’s particular circumstances from an independent advisor. RISKS Portfolios contain investments rated below investment grade. These investments are speculative in nature and are considered to have a high degree of investment risk. Such assets have greater default risks, greater exposure to market volatility and liquidity risks when compared to investment grade debt obligations There may be limited liquidity for some of the securities that the funds invest in due to the lack of a secondary market, while transfer restrictions on the securities will further limit liquidity Portfolios invest in globally denominated assets, some of which may be subject to a greater degree of regional economic conditions and sovereignty risks As portfolio investments may be denominated in currencies other than the reference currency, the overall value can be impacted by changing exchange rates No capital protection
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