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2Q 2 0 1 6 Investment Report Global Interest Rate Trends Central Bank Watch Government yields declined sharply as economic uncertainty increased following the UK’s vote to leave the EU. German 10-year yields turned negative. The BoE indicated policy would be eased over the summer. Fed rate hike expectations diminished. 3.0 2.0 1.5 Germany 1.0 0.5 Japan 0.0 -0.5 Jan 15 Apr 15 Oct 15 Jul 15 Forecast Balance Sheet (% of GDP) 10-Year Government Yields (%) 110 100 90 80 70 60 50 40 30 20 10 0 2007 US 2.5 Jan 16 Apr 16 BoJ Fed ECB 2008 2009 2011 2010 2012 Source: Bloomberg 2013 2014 2015 2017 2016 Source: Bloomberg. As of 23 Mar 16 Sector Spreads Sector Returns US credit spreads continued to recover from their February wides. US MBS underperformed the strong rally in government bonds. US credit sectors outperformed over the quarter. GBP-denominated credit underperformed the strong rally in UK government bonds. 2Q16 Duration-adjusted Excess Returns (%) 8 7 US High-Yield 6 Spread (%) Euro 5 9 5 4 USD EM Sovereign US Corporate US Mortgage 3 2 1 0 Jan 14 Apr 14 Jul 14 Oct 14 Jan 15 Apr 15 Jul 15 Oct 15 Jan 16 UK EM US 4.4 4 3 2 1 0 -1 Apr 16 1.0 1.0 1.3 1.3 USD EM Sovereign EM Corp 0.2 -0.2 Corp HY Corp -0.2 -0.7 HY Source: Barclays, JPMorgan Corp MBS HY Source: Barclays, Merrill Lynch Country Returns Currency Returns Government bonds posted positive returns. Brazil outperformed on expectations the new President would employ more conservative policies. The Japanese yen rallied sharply while sterling underperformed as the UK unexpectedly voted to leave the EU. 20 10.1 10 8 6 4.4 4.5 4.5 4 2 0 0.1 Poland 0.7 Italy *All maturities 1.4 Japan 1.6 2.7 2.8 2.2 2.3 Mexico Germany France Spain US UK South Australia Brazil* Africa Source: Bloomberg, JPMorgan 2Q16 Currency Total Returns vs USD(%) 2Q16 Local Currency 7–10-Yr Total Returns (%) 12 15.2 15 9.0 10 5 0.2 0 -5 -10 -7.7 British Pound -5.5 -5.1 Mexican Peso Polish Zloty -2.8 -2.4 -2.1 Euro 2.0 3.6 -0.4 -0.1 Australian Chinese S. Korean Indian Canadian S. African Dollar Dollar Renminbi Won Rupee Rand NZ Dollar Japanese Brazilian Yen Real Source: Bloomberg Global PERFORMANCE SCORECARD We thought that … Therefore, we … And the results … Despite market volatility and increased anxiety about China’s economic outlook, the global recovery—though fragile—would be ongoing. Monetary policy would remain highly accommodative, especially in Japan and Europe. Fed rate increases would be slow and gradual in 2016. Core bond yields were expected to remain in relatively narrow ranges. Managed overall portfolio duration tactically + A long duration bias was positive and the with a bias to be long duration to offset against US outperformed Germany and Japan. A allocations to credit and EM exposure. Increased US and European yield-curve flattening bias US duration and yield curve flattening strategy. benefitted returns. Maintained the European yield curve flattening strategy. Increased short duration in Germany and Japan. The ECB remained committed to an expansionary monetary policy and this would continue to support a further narrowing of spreads between Italian government bonds and core markets. EM countries continued to face multiple headwinds but, in our opinion, valuations reflected many of these challenges and presented an opportunity to add value in select countries. Maintained exposure to Italian government + A strong recovery in long-dated Mexican bonds bonds. Remained positioned to benefit from boosted returns. Italian bonds detracted as the risk premiums in EM bonds by increasing peripheral markets underperformed Germany. exposure to Mexico. Maintained exposure to Poland, Brazil and India. Investment-grade corporate bonds had come Maintained exposure to investment-grade cor- +/–An overweight allocation to the investmentunder meaningful stress, especially BBB rated porate bonds. grade corporate bond sector contributed to issues and long maturity bonds. Valuations of returns but issue selection detracted. many securities had moved past where we saw fair value. In the financial sector, deleveraging, capital build and regulatory constraint remained credit-positive. Global growth fears had forced a sharp re-pricing Where permitted, maintained exposure to + Where permitted, high-yield and USD-deof high-yielding corporate bonds. Concerns high-yield corporate bonds and select USDnominated EM sovereign issuers contributed over defaults in the sector exceeded levels we denominated EM sovereign issues. to returns. anticipate based on our analysis of company fundamentals. The Fed had started the process of rate normalization but the BoJ and the ECB were biased to ease policy further. The yen and the euro were likely to weaken versus the US dollar. Currencies of select EM countries with strong fundamentals offered potential for appreciation. Commoditylinked currencies could recover. Western Asset Increased long positions in the Polish zloty and – Canadian dollar. Tactically reduced short positions in the yen and the euro following the UK’s vote to leave the EU. Maintained exposure to the Mexican peso and Indian rupee diversified with short positions in the Chinese renminbi and South Korean won. 2 A short position in the yen detracted significantly from performance over the quarter. Long positions in the Polish zloty and Mexican peso also detracted. This was mildly offset by short exposures to the euro and Australian dollar which provided diversification. Second Quarter 2016 Global OUTLOOK The UK’s decision to leave the EU raises significant political and economic uncertainty, which is likely to have a negative impact on investment and consumer confidence in both the UK and Europe. However, with global growth and inflation risks skewed to the downside, we expect the Bank of England (BoE), European Central Bank (ECB) and Bank of Japan (BoJ) to provide further policy accommodation over the coming months, and for the Federal Reserve (Fed) to retain its “data dependent” bias. spread widening contained. Should risk premiums rise in the next few months due to increased uncertainty surrounding the EU framework, however, we would look to add to exposure. The direct impact of Brexit on Asia is not expected to be material. In Japan, however, the stronger yen and decline in the Nikkei over the past year may curtail capital expenditure and spending on labor. This may also knock consumption despite the recently announced delay in the consumption tax increase and we expect further fiscal and monetary easing over the next few months. The probability of a hard landing in China remains low in our opinion as the government has considerable policy levers to boost economic growth. While recognizing that downside risks persist, Western Asset’s view remains that the global recovery, though fragile, will be positive and sustainable as policy accommodation from central banks around the world ultimately succeeds in underpinning growth. Global portfolios remain positioned with an overweight to spread products, in particular to US investment-grade corporate bonds, to take advantage of attractive valuations and solid fundamentals, while maintaining diversified strategies to manage volatility and to mitigate downside risks. With the Fed now expected to be on hold for the foreseeable future, the outlook for the US dollar becomes more uncertain. While we believe that over the longer-term the continued expansion of the BoJ’s and ECB’s balance sheet should continue to push the yen and euro weaker, in the near term, we have tactically reduced short exposures. In our opinion, the Fed is now unlikely to raise rates this year. The Fed will be concerned about the potential negative impact on global growth from Brexit and any tightening of financials conditions from a stronger US dollar or weaker equity markets. We therefore expect the Fed to maintain a cautious, risk-management-focused approach, absent a much stronger signal from the economic data or from markets. Overall, we expect global bond yields to remain in relatively narrow ranges over the next few months, so tactical duration and yield curve management remain key macro strategies. We maintain a long US duration position, but a move deeper into negative yields for core European and Japanese government bond yields may provide the opportunity to reduce exposure further. Although global corporate earnings may weaken modestly in the near term, the technical tailwinds remain very positive for US and European credit in our opinion. Strong investor flows into US credit in search of higher yielding assets and ECB corporate bond purchases are expected to see corporate bonds outperform government bonds over the rest of the year. We remain overweight to the financial sector given the continued secular de-risking and the attractive valuations outweighing the near term earnings pressure from lower margins. Trade links between the UK and most EM economies are relatively limited but a further decline in global trade will add to the headwinds already faced by emerging economies due to the slowdown in growth in China. We believe the spreads available in select EMs present an opportunity to add value especially where their economies are not directly correlated with the UK or Europe, such as in Mexico, India and Brazil, and where yield curve flattening trends likely to be supported by weak growth, low developed market rates and proactive central bank policies. The ramifications of Brexit for Poland are potentially significant. However, Poland benefits greatly from the free movement of EU labor and is a large net recipient of EU funds. Support for continuation of EU membership in Poland is likely to remain high. With slower growth and continued downside inflation surprises, we believe Polish rates remain attractive, especially relative to core eurozone yields. In the UK, investment is likely to be considerably weaker as companies defer spending plans until there is more clarity over the UK’s future relationship with the EU. Consumer confidence is also likely to be hit, further impacting the growth outlook. However, against this, the 15% depreciation in sterling on a trade-weighted basis over the last 12 months should help the export sector while a further easing of monetary policy by the BoE, which we anticipate over the next few months, will help to cushion the downturn. The direct exposure in global portfolios to UK assets remains low, with investments focused primarily in UK financial institutions. While the headwinds for the UK bank and insurance sector have clearly increased post the Brexit vote, and we expect further pressure on profitability, capital ratios remain solid and we remain comfortable with the institutions we hold. With volatility likely to remain elevated, we will look for opportunities to take advantage of market anomalies. Our focus remains on longer-term fundamentals with diversified strategies to manage risk. We believe the economic fallout in the eurozone should be reasonably contained. Exports are likely to weaken and investment may be curtailed, but the momentum the consumer has garnered in the early months of this year should be maintained as further action from the ECB keeps the pressure on savers to spend. Global portfolios maintain a modest long position in Italian government bonds. We believe the ECB’s aggressive sovereign bond purchase program will keep any Western Asset 3 Second Quarter 2016 Global INVESTMENT THEMES AND STRATEGIES Themes Strategies While recognizing downside risks persist, Western Asset’s view remains that the global recovery, though fragile, will be positive and sustainable as policy accommodation from central banks around the world ultimately succeeds in underpinning growth. The Fed is now unlikely to raise rates this year. Global bond yields are expected to remain in relatively narrow ranges over the next few months. Manage overall portfolio duration and yield curve positioning tactically. Maintain a bias to be long overall portfolio duration as a ballast against credit and other spread sectors. Maintain a short position in European and Japanese duration in favor of the US. With global growth and inflation risks skewed to the downside, we expect the BoE, ECB and BoJ to provide further policy accommodation over coming months. The ECB’s aggressive sovereign bond purchase program should continue to provide support for peripheral eurozone bonds. Select EMs present an opportunity to add value especially where their economies are not directly correlated with the UK or Europe, such as in Mexico and India. Polish rates remain attractive versus core eurozone yields. Maintain exposure to Italian government bonds. Remain positioned to benefit from the risk premiums in select EM bonds by maintaining exposure to Mexican, Polish and Indian bonds. Corporate earnings may weaken in the near term but the technical tailwinds remain very positive for US and European credit. Strong investor flows into US credit in search of higher yielding assets and ECB corporate bond purchases are expected to see corporate bonds outperform government bonds over the rest of the year. Remain overweight to the financial sector given the continued secular de-risking and the attractive valuations outweighing the near term earnings pressure from lower margins. Remain long in investment-grade corporate bonds with a bias towards the non-cyclical industrial and the financial issuers and the US market. Valuations remain attractive in higher-yielding corporate bonds given underlying credit fundamentals. Pricing is expected to continue to recover over time as default risks in the sector exceed levels we anticipate. Where permitted, maintain exposure to high-yield debt. With the Fed now expected to be on hold for the foreseeable future, the outlook for the US dollar becomes more uncertain. Over the longer term, the continued expansion of the BoJ’s and ECB’s balance sheets should continue to push the yen and euro weaker. Currencies of select EM countries offer the potential to rebound versus the US dollar from current levels. Maintain modest short positions in the yen and the euro. Maintain long exposure to select EM currencies, including the Mexican peso, Polish zloty and Indian rupee. Maintain a short position to the Australian dollar, Korean won and Chinese renminbi for diversification purposes. © Western Asset Management Company 2016. This publication is the property of Western Asset Management Company and is intended for the sole use of its clients, consultants, and other intended recipients. It should not be forwarded to any other person. Contents herein should be treated as confidential and proprietary information. This material may not be reproduced or used in any form or medium without express written permission. Past results are not indicative of future investment results. Investments are not guaranteed and you may lose money. This publication is for informational purposes only and reflects the current opinions of Western Asset Management. Information contained herein is believed to be accurate, but cannot be guaranteed. Opinions represented are not intended as an offer or solicitation with respect to the purchase or sale of any security and are subject to change without notice. Statements in this material should not be considered investment advice. Employees and/or clients of Western Asset Management may have a position in the securities mentioned. This publication has been prepared without taking into account your objectives, financial situation or needs. Before acting on this information, you should consider its appropriateness having regard to your objectives, financial situation or needs. It is your responsibility to be aware of and observe the applicable laws and regulations of your country of residence. Potential investors in emerging markets should be aware that investment in these markets can involve a higher degree of risk. 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