OREANDA-NEWS. Fitch Ratings has affirmed BlueBay Total Return Credit (TRC) Fund's and BlueBay Global Diversified Corporate Bond Fund's (GDCBF) 'Strong' Fund Quality Ratings. The funds are managed by BlueBay Asset Management LLP (BlueBay).

The affirmation of the 'Strong' ratings reflects the stability in the funds' research-driven, flexible multi-strategy investment approach, based on a balanced mix of fundamental top-down macro and bottom-up selection inputs within a well-defined risk-control framework. The ratings are also supported by the depth of BlueBay's global fixed-income resources, which the funds makes full use of.

KEY RATING DRIVERS

Fund Profile
TRC Fund is a sub-fund of a Luxembourg Part I SICAV and is UCITS IV-compliant. Launched in October 2013, it invests in a selection of primarily high yield (HY) global credits through a flexible, total return, high-conviction approach. It aims to generate annual absolute returns of 5%-10% each year over a cycle, gross of fees, with a volatility target of between 5% and 10%.

GDCBF is a sub-fund of BlueBay Structured Funds, a Luxembourg SICAV-SIF (Non-UCITS). Launched in December 2009, it invests in a selection of BlueBay's single-asset class funds as a fund of funds. The focus is on European investment-grade (IG) corporate credits (minimum 40% in IG), with a core allocation to BlueBay Investment Grade Bond Fund (rated "Excellent / Under Review"). It aims to generate annual returns of 250bps above its benchmark, Markit iBoxx Euro Corporates TR, gross of fees, over a credit cycle.

Investment Process
Active allocation across different credit asset classes drives the investment process, with risks and transaction costs closely monitored. Macro hedges, cash balances (up to 35%) and defensive credit selection seek to preserve capital in TRC. Credit selection reflects Bluebay's highest conviction trades in each sub-asset class.

Discretionary scenario-based asset performance forecasts and probabilities are defined, normalised and agreed through a formal scorecard and committee approach. A monthly asset allocation committee subsequently provides optimal asset class allocations over a three- to six-month horizon.

Resources
The asset allocation committee consists of six senior investment professionals including the co-CIOs who drive allocation decisions. Credit selection in the TRC and in the funds that GDCBF invests in is the responsibility of an asset class specialist Portfolio Manager (PM) within each designated section of the portfolio. As such, the funds draw extensively on Bluebay's deep fixed income resources.
Track Record
The negative performance of TRC in the year to November 2015 (-3% net of fee for I EUR shareclass) drove the net cumulative performance of the fund into negative territory since inception. 2015 performance was mainly driven by poor security selection. Since inception, credit market returns (beta) has been the main performance driver.

Similarly, GDCBF underperformed its benchmark (2.7% for H EUR shareclass), net of fees, in the year to end-November, but in line with the benchmark over a five year period.

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 (AUM) of USD58.1bn at end-September 2015 (USD5.3bn in multi-asset credit).

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, notable structural deterioration in the fund's performance or departure of key members of the asset allocation committee may result in the funds being placed 'Under Review' or downgraded. Conversely, an upgrade could result from a proven ability to outperform peers consistently on a risk-adjusted basis over a minimum of five years.

Contacts:
Primary Analyst
Manuel Arrive, CFA
Senior Director
+33 1 44 29 91 77
Fitch France S.A.S.
60 rue de Monceau
Paris 75008

Secondary Analyst
Alastair Sewell, CFA
Senior Director
+44 203 530 1147

Committee Chairperson
Ralph Aurora
Senior Director
+1 212 908 0528

Media Relations: Rose Millburn, London, Tel: +44 203 530 1741, Email: rose.millburn@fitchratings.com.

Additional information is available at www.fitchratings.com.

The sources of information used to assess this rating were the public domain and BlueBay.

Applicable Criteria
Fund Quality Rating Criteria (pub. 16 Sep 2014)

Additional Disclosures
Solicitation Status
Endorsement Policy
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21 Dec 2015 7:41 AM EST

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