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Amundi Asset Management (previously Credit Agricole Asset Management)

Manages global multi-sector bonds for MLC (since 2010)

Manages A$924 billion across the world at 31 December 2012

Amundi was formed by combining the asset management expertise of two major financial institutions:
Crédit Agricole S.A. and Société Générale.

The Global Fixed Income Team is based in Singapore and London.

Amundi has been managing global fixed income since 1965.
Why MLC has chosen Amundi?
The team’s pragmatic approach to generating investment ideas served them well during the extreme market
conditions of recent years. They also bring a different perspective, being based outside the US. Amundi’s
distinctive investment approach complements MLC’s other multi-sector bond managers very well.
Philosophy on investing
Amundi’s investment process is based on a rigorous global
top-down approach consisting of allocating the active risk of the portfolio
proportionally across several normally low-correlated sources of added
value. The key factors to generating strong risk-adjusted outperformance
include:
Philippe Jauer
CIO Global Fixed Income &
Forex Asia
Amundi Singapore

accuracy and, as importantly, statistical consistency of market views

broad diversification between assets, strategies, managers and
instruments, with a clear-cut split between long-term statistical (market)
diversification and short-term objective (managers) diversification

focus on portfolio construction based upon an overlay of separate risk
allocations

balanced mix between active relative value (long/short) management and
pure market directional anticipation, and

systematic quantification and continuous monitoring of all contributors to
risk and performance.
Cédric Morisseau,
Head of Global Bonds, Absolute
Return & Currency
Amundi London
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Investment process
Amundi’s five-step risk (and not asset) allocation process is based on the quantification, allocation and monitoring
of active risk budgets (relative to a benchmark), with a proven ability to control the risk contribution and
diversification effect of our positions across government bonds, corporate and emerging credit and currencies.
Risk and performance
measurement and control
A top-down, value-oriented allocation of ex-ante risk
Crédit Agricole &
external research,
Amundi global
fixed income
Global fixed
income
Quantitative
research
Idea generation
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Macroeconomic,
quantitative models
2
Market data
Macroeconomic analysis &
models
scenario construction
Strategic views
Risk-adjusted model
portfolio construction
3
Management
guidelines
4
Market timing,
trading, etc.
Model portfolio
5
Global fixed
income
Implementation of tactical
positions
Real portfolio
The five steps of this process are as follows.
Step 1: Macroeconomic analysis
The Global Fixed Income team benefits from the Research resources of the Crédit Agricole Group (and Amundi
Group), including but not limited to Crédit Agricole S.A.’s Macro Economic Research department as well as
Amundi’s Strategy, Emerging Debt & Currency team (London), Corporate Credit team (London, Paris &
Singapore), Amundi’s GFI Quantitative Research team (London & Paris), to put together a monthly macroeconomic scenario for the G10 markets. For developed G10 currencies, the Global Fixed Income team runs a
proprietary Purchasing Power Parity (PPP) model to determine long-term trends on currencies with similar state of
economic development.
Step 2: Construction of the strategic bond and currency scenario
The “architect forum” convenes on an ad hoc basis, whenever market conditions dictate, to determine the team’s
strategic and tactical views on the main global sovereign, corporate and emerging bond (if applicable) and
currency markets. The global fixed income and currency views generated by the architect forum as well as those
produced by other fixed income teams are gathered by the senior members of the Fixed Income Platform for
debate prior to submitting the final cut to the Global Investment Committee for approval.
Market views as well as key flagship portfolio positions are formally reviewed and validated on a regular basis (at
least monthly) at the Fixed Income platform and the Global Investment Committee levels to ensure Amundi’s
global views are correctly implemented in client portfolios.
The resulting set of qualitative views and positions are then quantified and optimised by the London-based Quant
Research analysts, using a proprietary optimiser. This allows the translation of qualitative views into statistically
consistent quantitative forecasts taking into account past volatilities and correlations.
The diagram below shows how individual portfolio managers contribute to the team’s view by bringing their value
add within the risk budget allocated by the head of the team, Cédric Morisseau. Markus Krygier, the London
Branch Deputy CIO, has the final decision-making power concerning the views.
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Architects’ Views
Directional
Relative Value
Tactical Management
Country Allocation
Bond Selection
Bonds
Duration
Curve Allocation
Tactical Management
G4 Allocation
Currencies
Quasigovernment
$ Exposure
Intra-bloc Allocation
Spread Exposure
Country
Tactical Management
Issuer Selection
Bond Selection
Note: the chart illustrates the average risk allocation across directional, relative value and overlay strategies. The investment
universe and risk budget can be tailored to each client’s constraints.
Step 3: Model portfolio construction
The resulting market scenario is then reconciled with different sets of client investment constraints (benchmark,
tracking error, investment universe) to produce model portfolios. This process is handled by the same Quant
Research analysts, again with the aid of inhouse optimisation software. Each portfolio (set of specific constraints)
has a corresponding model portfolio that provides a target bond and currency risk allocation.
Step 4: Client portfolio construction and tactical management
Construction of the client portfolio consists of investing the optimised strategic model portfolio and implementing
tactical positions within each portfolio’s pre-defined leeway. The goal is to supplement the statistical (asset
class) diversification with an objective one (investment horizon).
Depending upon the investor’s guidelines, this tactical management may represent up to one third of the total
tracking error of the portfolio and includes:

relative value management (ie, arbitrages between government, quasi-government, agency and
supranational bonds etc)
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tactical management of modified duration using bond futures, and
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tactical management of currency exposure.
Step 5: Continuous risk monitoring
Risk is monitored at three levels:

Using their proprietary risk monitoring panels, portfolio managers can check all their portfolio risk aggregates
and allocations on an instant-update basis.
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They can also attribute their portfolio relative performance along the various risk allocation strategies
implemented. They can therefore comply with all investment guidelines.

A dedicated onsite Middle Office department monitors security and cash positions as well as portfolio
valuations through a centralised proprietary system.
The Paris-based Risk Department and the London Risk Management team check regulatory ratios and
compliance with client requirements with the aid of an internal compliance module (Gerico) and implement clearly
defined risk control procedures, including weekly review of all fixed income portfolios to monitor ex-ante risk
indicators, and monthly review of all portfolios to check the risk profiles (Askari).
A team of three compliance officers based in London has supervisory authority over managers in all regulatory
matters. Their primary duty is to act as guardians of clients’ interests.
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We continuously adapt and fine-tune our investment process to take advantage of changing market conditions.
The sources of added value, the process and fund management tools of Amundi’s Global Fixed Income team are
coherent with one another, providing consistency in our performance.
Amundi believes the following points make its global fixed income and currency investment process unique and
stand out from its competitors:
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an investment philosophy based on risk allocation rather than asset allocation
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a strong emphasis on diversification at all levels (statistical and objective)
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a clear separation between long-term strategic investment decisions, which apply to all accounts/funds
through the model portfolios, and short-term tactical overlay (trading, specific risks, eg, emerging credit)
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a systematic monitoring of sources of risk and value at each step of the process, and
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a clear-cut decision with one decision-maker for each source of performance.
Investment people
The key decision-makers of the investment team are the seven architects who are responsible for strategic
decisions in portfolios:

Laurent Crosnier, CFA, CEO & CIO, Amundi London

Markus Krygier, Deputy CIO, Amundi London

Cédric Morisseau, Head of Global Fixed Income, Absolute Return & Currency Management, Amundi London

Philippe Jauer, CIO, Amundi Singapore

Fabio Castaldi, Head of Absolute Return, Amundi London

Merrick Styles, Co-Head of Investments, Amundi UK Limited, and

Christopher Morris, Co-Head of Investments, Amundi UK Limited.
The “architect forum” meets on an ad-hoc basis whenever the market conditions warrant it to determine the team’s
strategic and tactical views on the main global, corporate and emerging bond, equity and currency markets. Cedric
Morisseau is responsible for crystallising and formulating the views of the team. Markus Krygier, Deputy CIO –
Amundi London has the ultimate decision-making authority concerning team market views.
The market views as well as key portfolio positions are reviewed on a regular basis at Amundi Group’s Fixed
Income platform and Investment Orientation and Policy Committee levels on an ongoing basis and at least
monthly on a formal basis.
The Investment Orientation and Policy Committee, chaired by Pascal Blanqué (Amundi Group’s Global CIO)
reviews and validates the Amundi macroeconomic scenario, reviews and validates the key investment parameters
of a set of key flagship portfolios, and provides risk and investment guidance to the teams whenever deemed
necessary. It works as a permanent forum and meets formally once a month.
The Fixed Income Platform Executive Committee gathers the teams’ views, including the architects’ views,
discusses and validates the overall fixed income flagship portfolios and reports to the Amundi IOC. The committee
is also responsible for making sure that Amundi’s global views are correctly implemented in the client portfolios,
and determines the portfolio manager’s leeway in terms of implementation.
As a consequence, Amundi Group’s CIO retains a final say on our key investment themes, so that we make sure
that Amundi’s best investment ideas will find their way into the whole spectrum of our client’s portfolios.
Our Global Fixed Income, Absolute Return & Currency investment process relies on teamwork and depends on all
portfolio managers contributing freely and transparently. It is an ongoing process with decisions taken any time as
markets dictate, without the constraints of pre-scheduled committees.
Biographies for the Architects Committee
Laurent Crosnier, CFA, CIO & CEO – Amundi London
Laurent Crosnier began his career in the financial industry in 1989 as a futures trader at ODDO, a
European investment banking boutique. He joined Amundi in 1991 as a Euro Fixed Income
manager and has been focusing on Euro Corporate management since 1997.
Laurent was appointed Head of Inflation, Duration & Credit management in 2006 and then
promoted to Head of the Euro Fixed and Credit Department in 2008. In April 2010, he was
appointed Chief Investment Officer of Amundi London Branch. In October 2010, Laurent Crosnier
has been promoted to the position of CEO of Amundi London Branch, retaining his position of CIO and continuing
to act in this capacity.
Laurent holds a Bachelor’s degree in Economics and a Postgraduate degree in Economics and Finance from the
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University of Paris Dauphine. He is also a CFA charterholder.
Markus Krygier, Deputy CIO – Amundi London
Markus Krygier has been Deputy CIO of Amundi London Branch since April 2010. He joined
Amundi in 2007 as a Global Fixed Income & Currency manager within the Global Fixed Income &
Currency team. Prior to joining the company he worked as a Managing Director, Chief Debt
Strategist & Global Head of FX Strategy at Dresdner Kleinwort (2004–2007), as an Economist in
the International Capital Markets Department at the International Monetary Fund (2003–2004), as
Head of Strategy at Crédit Agricole Asset Management (2000–2003), as an Emerging Market
Economist & Strategist (1999–2000), as a Financial Market Economist (1997–1999) at West
Merchant Bank (WestLB Group) and as a Bond Analyst at WestLB Research (1996–1997).
Markus holds a PhD in Economics from Wayne State University, Detroit (1998) and the Advanced Studies
Certificate in International Economics from the Kiel Institute of World Economics (1990).
Cédric Morisseau, Head of Global Bonds, Absolute Return & Currency – Amundi London
Cédric Morisseau began his investment career at Amundi in 1994. After working three years as
an Assistant Fixed Income manager, he became a Global Fixed Income portfolio manager in
1997.
In May 2006, he was promoted to Deputy Head - Global Fixed Income, Absolute Return &
Currency Management, and in July 2010 he was promoted to Head of Global Fixed Income,
Absolute Return & Currency Management.
Cédric holds a Bachelor’s degree in Management and a Master’s degree in Political Science from the University of
Paris II Panthéon-Assas.
Philippe Jauer, CIO Global Fixed Income & Forex Asia – Amundi Singapore
Philippe Jauer joined the Amundi London branch in November 2004 as a Global Fixed Income
portfolio manager. At the beginning of 2006, he was also appointed Head of Treasury
management. In 2008, he joined the Global Fixed Income & Currency team in Amundi Singapore
as CIO Global Fixed Income & Forex Asia. He is a member of the board of Amundi Singapore.
Philippe started his career in 1990 as a Fixed Income & Derivatives Trader at Caisse des Dépôts
& Consignations (1989–1992). In 1992, he joined Credit Suisse First Boston as a Treasurer
(1992–1993). In 1993, he joined Elf Aquitaine as Head of the proprietary fixed income portfolio
(1993–1996). In 1996, he moved to Credit Agricole Corporate and Investment Bank, first as Head
of Interest Rate Structured Products Portfolio (1996–97), then as a Proprietary Trader on Interest
Rate and Credit (1997–2001) based in New York, and finally as Head of Group Treasury Department (35 staff) for
Banque Saudi Fransi in Saudi Arabia, a subsidiary of Credit Agricole (2001–2004).
Philippe holds a Postgraduate degree in International Finance from the University of Paris I Panthéon La
Sorbonne and a Postgraduate degree in Financial Analysis from CNAM.
Fabio Castaldi, Head of Absolute Return – Amundi London
Fabio Castaldi started in 1993 as option trader on government bonds and managed volatility
books until early 2006 on bond options and interest rates derivatives on Euro, USD and JPY
markets.
Since joining Amundi in 2006, he worked in the Global Balanced Team of Paris where he
developed, with Alexandre Burgues, volatility overlay on multi asset class funds for a total AUM of
EUR 2.5 bn. The focus was mainly on equity and interest rate volatilities. After working from
October 2008 to March 2010 in the Volatility Team of Paris, he joined Amundi London in April
2010 to establish a multi-asset class volatility overlay for the GFI and absolute return funds. In
January 2012 Fabio was appointed Head of Absolute Return, Amundi London.
Fabio holds a master’s degree in Business Economics from the Università Commerciale L. Bocconi in Milan
(1993).
Merrick Styles, Co-Head of Investment – Amundi (UK) Limited
Merrick Styles joined Amundi London Branch in October 2005 as a quantitative portfolio manager
with particular expertise in currency markets. He was in charge of managing all the Amundi
London currency portfolios, unfunded overlays and some global macro mandates, before he was
appointed Head of Absolute Return in July 2010. In January 2012, he was appointed Co-Head of
Investments, Amundi UK Limited, and remains in his capacity as a member of the GFI team's
architect committee.
Merrick holds a BEng in Mechanical Engineering (University of Southampton), an Engineering
Doctorate in Automotive Engineering (Cranfield University) and a MSc in Investment
Management (CASS Business School).
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Christopher Morris, Co-Head of Investment – Amundi (UK) Limited
Christopher Morris joined Amundi London Branch as an architect & senior portfolio manager in
October 2010. In January 2012 he was appointed Co-Head of Investment of Amundi (UK)
Limited, retaining specific responsibilities with Amundi London Branch, and remains in his
capacity as a member of the GFI team's architect committee.
Prior to this, Christopher spent six years as the Senior London Representative of the IMF’s
Monetary and Capital Markets Department. He and his team in London wrote major sections of
the IMF’s flagship Global Financial Stability Report. During the financial crisis he was responsible
for modelling and describing the deleveraging process, and forecasting “how it will develop”. He
also designed and performed versions of the bank “stress tests” to identify the capital shortfalls of
global banks. Before joining the London Office, he was a Senior Economist in Washington DC, and in Tokyo
during the Asian Crisis (for the then Research Department). In Tokyo, he led missions to financial centres in Asia
and participated in the Financial Sector Assessment Program Study of Japan. He represented the IMF in regional
policy for a (ASEAN; APEC; Manila Framework Group) and presented papers at a number of regional conferences
and forums. Before that, he worked as an economist in the IMF’s South East Asia and Pacific Department in
Washington DC and in the IMF’s Research Department.
Before joining the IMF, Christopher worked in the UK.Civil Service. He gave advice on privatisation to the
governments of Hungary and Russia. Living in Hungary, he managed a team of consultants advising on the
regulatory framework and privatisation strategy for the electricity industry. In Russia, he led a team advising the
Russian Ministry of Fuels and Energy on various energy sector issues.
Christopher graduated from the London School of Economics and has a Master’s degree in Economics from
George Washington University in Washington DC He is a qualified accountant.
Organisation chart
Source: Amundi London Branch, February 2013.
There were no changes to the London-based Global Fixed Income team over 2012, but a few notable additions in
Singapore and Kuala Lumpur. Phillip Chow, CFA came on board in December 2012 as a portfolio manager
working on global and Asian bond portfolios. Phillip has almost 20 years’ investment experience covering rates,
credit and FX for global asset managers in London and Singapore. In addition, Ahmad Najib Bin Nazlan joined
Amundi in October 2012 as Head of Global Sukuk management, based in Kuala Lumpur.
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Investment idea: currency markets
In order to implement their macroeconomic outlook, Amundi often chooses to express views through the currency
markets. Overall, they believe that macro visibility has improved. Amundi’s base case in 2013 is that monetary
policy will be kept supportive as growth stabilises, even if inflation expectations rise. They believe the challlenge
lies in the fact that global growth will remain heterogenous. On one hand, the eurozone and UK are flirting with
recession and Japanese GDP growth is contracting sharply. On the other hand, the Chinese economy appears to
be stabilising while the US is delivering positive macro surprises. Managing the inflection points in risk appetite will
continue to be a significant driver of returns in 2013. In the current environment, they believe the USD remains
undervalued among developed market currencies, most notably relative to the commodity, European and yen
currency blocs. Diversification into a broad basket of emerging market currencies will be maintained in their
portfolios in 2013.
Amundi are maintaining their portfolios’ positioning in favour of risky assets. They are still underweight in terms of
duration,with a strategy focused on widening of the US-EUR spread and a bias towards curve flattening. However,
they adjusted their position on the UK curve, reducing their flattening strategy on the long end of the curve.
Amundi remain constructive on peripheral debt insofar as the firewall implemented by the ECB appears to be
effective and yields remain attractive. Within their risky-asset allocation, they are reducing their exposure to credit
in favour of emerging currencies.
This strategy may no longer be included in Amundi’s portfolio as their view may have changed since this
document was prepared.
Disclaimer:
The information contained in this material has been provided to you by MLC Limited (ABN 90 000 000 402) and MLC
Investments Limited (ABN 30 002 641 661) and is intended as general information only for residents of Australia. It is not
intended to be a solicitation from Amundi to invest in any of its products directly, or to engage Amundi directly. The information is
current as at 7 March 2013, except for the amount managed which is updated as stated. It has not been prepared to take into
account individual investment objectives, financial situation or investment needs. Prior to making an investment decision, you
should assess whether the information in this material is appropriate to your particular investment objectives, financial situation
or investment needs. It is recommended that you obtain financial advice specific to your situation before making any financial
investment or insurance decision. Past performance is not indicative of future performance. The future value of your investment
may rise and fall with changes in the market.
An investment with MLC Limited or MLC Investments Limited does not represent a deposit with, or a liability of National Australia
Bank Limited (ABN 12 004 044 937) or other member company of the National group of companies and is subject to investment
risk including possible delays in repayment and loss of income and capital invested.
None of MLC Limited or MLC Investments Limited or other member companies in the National Group of companies, or appointed
managers guarantee the capital value or performance of any specific investments selected by investors except where specified
in the current disclosure document.
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