Ultra Short-Term Bonds - Pictet Asset Management

Pictet – Ultra Short-Term Bonds

For internal purposes only

November 2021

MONEY MARKET TEAMMARKETING MATERIAL


For internal purposes onlyPictet Asset Management

CONTENTS

2 / 49

1 Why invest in Ultra Short Term Bonds?slide 3

2 Pictet AM’s investment expertise in Short-Term Marketsslide 9

3 Pictet – Ultra Short-Term Bondsslide 13

4 Portfolios as of 30.11.2021slide 16

Appendixslide 27

A1 Investment processslide 28

A3 ESG integrationslide 39

A2 Biographiesslide 46



Why invest in Ultra Short Term Bonds?1

3 / 49



RATIONALE

› Higher risk adjusted returns versus money market products

› Increase return potential & income generation

› Lower volatility versus traditional bond allocations

› Flexible investment strategies suited to all market conditions

› Optimal investment for strategic cash

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0

5

10

15

20

25

1 2 3 4 5 6 7 8 9 10S

prea

ds

Years

US CREDIT SPREAD

MANAGING THE LOW YIELD ENVIRONMENT

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Fed Fund Futures: steepening reopens carry trade opportunities Credit spreads appealing in the 1-to-3-year bucket

Source: Bloomberg, as at 17.12.2021

-0.1

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

1.1

1.2

1.3

1.4

1.5

Yiel

d [%

]

FED FUND FUTURES



EUR NEGATIVE YIELDS ENVIRONMENT

6 / 49Source: Bloomberg, as at 22.11.2021

-0.55

-0.5

-0.45

-0.4

-0.35

-0.3

-0.25

-0.2

%

EONIA SWAP FORWARD ECB DEPOSIT FACILITY RATE

-0.80

-0.70

-0.60

-0.50

-0.40

-0.30

-0.20

-0.10

0.00

JAN

-20

FEB

-20

MA

R-2

0

AP

R-2

0

MA

Y-2

0

JUN

-20

JUL-

20

AU

G-2

0

SE

P-2

0

OC

T-2

0

NO

V-2

0

DE

C-2

0

JAN

-21

FEB

-21

MA

R-2

1

AP

R-2

1

MA

Y-2

1

JUN

-21

JUL-

21

AU

G-2

1

SE

P-2

1

OC

T-2

1

NO

V-2

1

DE

C-2

1

Yiel

d [%

]

1 YR IN 1 YR EONIA SWAP



0

10

20

30

40

50

60

1 2 3 4 5 6 7 8 9 10

Spr

ead

(bps

)

EUR CREDIT SPREAD

Attractive EUR short term credit curve

OPPORTUNITIES IN THE SHORT END OF THE EURO CURVE

7 / 49

Euribor 3M below SWAP EONIA 3M

Source: Bloomberg, as at 17.12.2021

-0.9

-0.8

-0.7

-0.6

-0.5

-0.4

-0.3

-0.2

-0.1

0.0

JAN

-16

AP

R-1

6

JUL-

16

OC

T-1

6

JAN

-17

AP

R-1

7

JUL-

17

OC

T-1

7

JAN

-18

AP

R-1

8

JUL-

18

OC

T-1

8

JAN

-19

AP

R-1

9

JUL-

19

OC

T-1

9

JAN

-20

AP

R-2

0

JUL-

20

OC

T-2

0

JAN

-21

AP

R-2

1

JUL-

21

OC

T-2

1

Yiel

d [%

]

EURIBOR 3 MONTH ACT/360 EUR SWAP (EONIA) 3M



BENEFITS OF THE ULTRA SHORT-TERM BOND INVESTMENTS

› Navigating in low yield environmentsOffers protection from risk of interest rate cuts by locking attractive returns in the short end of the curve

› Credit risk diversificationWe aim to shift along the risk curve for the highest risk adjusted opportunities

› Active strategies balance market movementsOur instrument mix offers efficient management in every market condition

› FlexibilityInvestments in Ultra Short-Term funds can be accessed within 48 hours

› Low CostsTransaction costs in these strategies tend to be low

› Broader investment universeExtended investment universe compared to pure Money Market fundsBetter diversification and broader opportunity set

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Pictet AM’s investment expertise in Short-Term Markets2

9 / 49



INVESTMENT UNIVERSE DEFINITION

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HighLow

Duration

Pot

ential

Ret

urn

Short-Term Money Market

Standard Money Market

Ultra Short-Term SpaceShort-Term Money Market Space

Sovereign Short-Term Money Market

Ultra Short-Term Bonds

Enhanced Liquidity

Global Bonds

Credit

Bonds Space

HY / EMD

Short Mid Term Bonds

60 days 180 days 365 days



TEAM EXPERTISE IN MANAGING LOW DURATION FUNDS

› Pictet AM has been managing low duration funds (up to 6 months duration) since 1997

› The team currently manages around USD 34 billion across the following strategies:

– Sovereign Short-Term Money Market funds

– Short-Term Money Market funds

– Enhanced Liquidity funds

› For investors willing to increase duration (up to 1 year) Pictet is managing:

– Ultra Short-Term Bond Funds (EUR &USD)

11 / 49



12

TEAM’S EXPERTISE

SOVEREIGN SHORT-TERM SHORT-TERM ENHANCED ULTRA SHORT-TERMBONDS

Name Sovereign Short-Term Money Market

Short-Term Money Market Enhanced Liquidity Ultra Short-Term Bonds

Profile VNAV Sovereign fund VNAV Aaa-mf Short-Term fund VNAV Money Market fund VNAV Fund

Domicile Luxembourg & Switzerland Luxembourg & Switzerland Switzerland Luxembourg

Investments Type Sovereign issuers, Supra-nationals, Governments guaranteed or agencies

Traditional MM instruments Traditional MM instruments Short -Term bonds

Floating rate notes

Money Market instruments

Min Rating Moddy’s / S&P : AAA

Other Agency : Aa1/AA+

Long Term : A3 (Moody’s) / A-(S&P)

Short Term : P-2 (Moody’s) / A-2 (S&P)

Long Term : Baa2 (Moody’s) / BBB (S&P / SWX)

Short Term : P-2 (Moody’s) / A-2 (S&P)

Long term Baa2 (Moody’s) / BBB (S&P) / BBB (SWX)

Characteristics Max Duration

60 days 60 days 6 months 1 year

Investment Horizon

1-5 days min 1-5 days min 6 months min 12 months min.

Available Currencies

CHF, EUR, USD CHF, EUR, USD, GBP CHF, EUR, USD EUR, USD

ExternalRating

Moody’s Aaa-mf

Benchmark 1m Gvt Benchmark (Unofficial)

FTSE 1 MTH EURO DEP.(LC) FTSE 6 MTH EURO DEP.(LC) USD – Federal Funds Effective Rate

EUR - EONIA

ESG Integration (SFDR equivalent)

Article 6 Article 8 Article 6 Article 6



Pictet – Ultra Short-Term Bonds3

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KEY CHARACTERISTICS

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Pictet – Ultra Short Term Bonds

Key objective

› Optimal investment of

strategic cash

› Target superior return than

reference index

Investment Style

› Conservative credit approach

› Robust investment process

Key Investment Guidelines

› Investment grade only

› Max duration: 1 year

› Max maturity of instruments: 3 years

Structure

› UCITS fund (EUR &USD)

› T + 2 settlement

› Not a Money Market Fund

Note: These investment guidelines are internal guidelines which are subject to changes at any time and without any notice. For complete investment rules and limits, please refer to the fund's prospectus



MAIN INVESTMENT GUIDELINES

GENERAL LIMITS QUALITY LIMITS

› Weighted Average Maturity: Max 1 year

› Weighted Average Life: Max 2 years

› Main investments in:

– Treasury Bills

– Fiduciary Deposits

– Euro CPs, Euro CDs

– Bonds (including Private Placements & Covered)

– Floating Rate Notes

– Swaps

– Futures, options, CDS

– No ABCP, no ABS

– Money Market funds

› Maturity limit per instrument: 3 years

› No Foreign Exchange exposure

› Minimum rating:

– Baa2/P2 (Moody’s)

– BBB/A2 (S&P)

› BBB issuers: Max 35%

› Diversification rules by rating (for non government issuers)

– AAA: Max 9%,

– AA: Max 7%

– A: Max 5%

– BBB: Max 3%

Note: These investment guidelines are internal guidelines which are subject to changes at anytime without any noticeFor complete investment rules & limits, please refer to Fund’s prospectus

15 / 49



Portfolios as of 30.11.20214

16 / 49



PICTET-ULTRA SHORT TERM BONDS USD- I - PERFORMANCE

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Source: Pictet Asset Management S.A., as at 30.11.2021. Inception date: 28.06.2019. Net Asset Value. Past performance is not a guarantee or a reliable indicator of future performance.Performance data does not include the commissions and fees charged at the time of subscribing for or redeeming shares.

Net Asset Value (TWR)

Benchmark: US Effective Federal Funds Rate

Past 12-month performance



*LHS: Left hand scale, **RHS: Right hand scale

Annualised performance (%)

PORTFOLIO BENCHMARK EXCESS RETURN

1M -0.05 0.01 -0.06

3M -0.15 0.02 -0.17

YTD 0.25 0.07 0.18

1Y 0.34 0.08 0.26

Since inception (annualised)

1.13 0.60 0.53

Calendar performance (%)

PORTFOLIO BENCHMARK

2020 1.10 0.39

2019 (28 Jun) 1.38 0.99





PICTET – ULTRA SHORT TERM BOND USD KEY INFORMATIONS ( I )

Key information

Fund name Pictet – Ultra Short-Term Bonds USD

Benchmark name Federal Funds Effective Rate

Client reference currency USD

Inception date 28.06.2019

Custodian Pictet

Market value as of 30.11.2021 231.7 million USD

Portfolio characteristics

PORTFOLIO

Weighted average life 406 days

Gross of fees yield to maturity (%) 0.80%

Fed Funds (%) 0.07%

Spread on Fed Funds 0.73%

Average rating

112

Number of issuers 67

Top 10 portfolio issuers

Number of holdings

A3

Weighted average maturity 266 days

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ISSUER NAME Portfolio Weight

Abu Dhabi Commercial Bank Pjsc 4.42%

Bpce SA 3.66%

Emirates Nbd Bank Pjsc 3.45%

Toyota Motor Credit Corp 3.43%

Qatar National Bank Qpsc 3.24%

Daimler AG 3.02%

Bank Of China Ltd 2.81%

Hutchison Whampoa Ltd 2.77%

Commercial Bank Psqc/The 2.68%

Goldman Sachs Group Inc/The 2.66%

Source: Pictet Asset Management as of 30.11.2021.Weights are calculated on trade date, some positions may therefore be double counted due to rolling positions.Effective allocations are subject to change and may have changed since the date. The mentioned financial instruments are provided for illustrative purposes only and shall not be considered as a direct offering, investment recommendation or investment advice. Reference to a specific security is not a recommendation to buy or sell that security.



PICTET – ULTRA SHORT TERM BOND USD KEY INFORMATIONS ( I I )

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Breakdown by Sector

Breakdown by Instrument

Breakdown by Rating

Breakdown by Country

Source: Pictet Asset Management as of 30.11.2021.Weights are calculated on trade date, some positions may therefore be double counted due to rolling positions.Effective allocations are subject to change and may have changed since the date. This is not a buy or sell recommendation.

AA A BBB NR*

0 - 1 month 0.00% 2.85% 0.87% 0.28% 4.01%

1 - 6 months 2.00% 12.37% 6.64% 0.36% 21.37%

6 - 12 months 1.28% 23.46% 2.30% 0.38% 27.43%

1 - 2 years 3.83% 20.52% 7.42% 0.00% 31.78%

2 - 3 years 1.48% 11.90% 2.04% 0.00% 15.42%

Total 8.59% 71.10% 19.28% 1.03% 100.00%*Included Cash and equivalent

66%

33%

1%

Bonds

FRN

Cash & Deposit

1.03%1.17%1.20%1.31%

2.37%2.43%

5.92%7.90%8.23%8.30%

9.60%9.97%

10.59%11.55%

18.00%

0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%

CASH + FORWARD P&LCANADA

BELGIUMKUWAIT

SWITZERLANDAUSTRALIA

QATARJAPAN

UNITED KINGDOMKOREA (REP.)

UNITED ARAB EMIRATESFRANCE

GERMANYU.S.A.CHINA

0.00%

0.22%

0.28%

0.74%

0.95%

1.75%

2.59%

2.65%

3.45%

3.72%

7.87%

17.60%

58.18%

0% 10% 20% 30% 40% 50% 60% 70%

SWAPS P&L

UTILITIES

CASH

FORWARD P&L

TELECOMMUNICATION

CONSUMER NONCYCLICALS

CAPITAL GOODS

MEDIA

REGIONALBANKS

TRANSPORTATION

QUASI-SOVEREIGN

AUTOMOBILE

FINANCIAL (SENIOR)



PICTET-ULTRA SHORT TERM BONDS EUR-I - PERFORMANCE

20 / 49

Source: Pictet Asset Management S.A., as at 30.11.2021. Inception date: 28.06.2019. Net Asset Value. Past performance is not a guarantee or a reliable indicator of future performance.Performance data does not include the commissions and fees charged at the time of subscribing for or redeeming shares.


Benchmark: EONIA Capitalization Index

Past 12-month performance



*LHS: Left hand scale, **RHS: Right hand scale

Annualised performance (%)

PORTFOLIO BENCHMARK EXCESS RETURN

1M -0.11 -0.04 -0.07

3M -0.23 -0.12 -0.11

YTD -0.35 -0.45 0.10

1Y -0.39 -0.49 0.10

Since inception (annualised)

-0.34 -0.47 0.13

Calendar performance (%)

PORTFOLIO BENCHMARK

2020 -0.27 -0.47

2019 (28 Jun) -0.21 -0.22





PICTET – ULTRA SHORT TERM BOND EUR KEY INFORMATIONS ( I )

Key information

Fund name Pictet – Ultra Short-Term Bonds EUR

Benchmark name EONIA

Client reference currency EUR

Inception date 28.06.2019

Custodian Pictet

Market value as of 30.11.2021 279 million EUR

Portfolio characteristics

PORTFOLIO

Weighted average life 544 days

Gross of fees yield to maturity (%) -0.22%

EONIA (%) -0.490%

Spread on EONIA 0.27%

Average rating

69

Number of issuers 55

Top 10 portfolio issuers

Number of holdings

A3

Weighted average maturity 279 days

21 / 49

ISSUER NAME Portfolio Weight

Hitachi Capital Uk Plc 4.33%

Ck Hutchison Holdings Ltd 4.14%

Bank Of China Ltd 4.03%

Emirates Nbd Bank Pjsc 3.51%

Toyota Motor Finance Netherlands BV 3.26%

Natwest Markets Plc 3.14%

Honeywell International Inc 3.02%

Jpmorgan Chase Bank Na 2.92%

AusNet Services Holdings Pty Ltd 2.89%

Macquarie Bank Ltd 2.87%

Source: Pictet Asset Management as of 30.11.2021.Weights are calculated on trade date, some positions may therefore be double counted due to rolling positions.Effective allocations are subject to change and may have changed since the date. The mentioned financial instruments are provided for illustrative purposes only and shall not be considered as a direct offering, investment recommendation or investment advice. Reference to a specific security is not a recommendation to buy or sell that security.



PICTET – ULTRA SHORT TERM BOND EUR KEY INFORMATIONS ( I I )

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Breakdown by Sector

Breakdown by Instrument

Breakdown by Rating

Breakdown by Country

AA A BBB NR*

0 - 1 month 0.00% 0.00% 0.00% 22.13% 22.13%

1 - 6 months 0.00% 15.44% 0.00% -0.02% 15.42%

6 - 12 months 0.00% 9.09% 4.04% -0.01% 13.12%

1 - 2 years 0.58% 30.33% 11.74% -20.55% 22.10%

2 - 3 years 10.03% 12.83% 4.37% 0.00% 27.23%

Total 10.61% 67.70% 20.15% 1.55% 100.00%

*Included Cash and equivalent

Source: Pictet Asset Management as of 30.11.2021.Weights are calculated on trade date, some positions may therefore be double counted due to rolling positions.Effective allocations are subject to change and may have changed since the date. This is not a buy or sell recommendation..

70%

28%

2%1%

Bonds

FRN

Cash & Deposit

Commercial Papers (CP)

-0.04%-0.03%

0.68%0.94%1.08%1.61%1.72%

3.51%4.50%

5.59%11.86%

13.41%22.23%

32.92%

-10% 0% 10% 20% 30% 40%

FORWARD P&L

FUTURES MTM AND OTHERS

CONSUMER CYCLICALS

BASIC INDUSTRIES

ENERGY

CASH

SOVEREIGN

REGIONALBANKS

TELECOMMUNICATION

UTILITIES

AUTOMOBILE

CONSUMER NONCYCLICALS

QUASI-SOVEREIGN

FINANCIAL (SENIOR)

1.57%1.80%2.11%2.33%

2.73%3.45%3.55%3.75%

4.86%5.02%

5.77%8.57%

8.95%11.33%

17.01%17.20%

0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%

CASH + FORWARD P&LBELGIUMSWEDENMEXICO

NETHERLANDSFRANCE

FINLANDSWITZERLAND

UNITED ARAB EMIRATESKOREA (REP.)

AUSTRALIAGERMANY

JAPANUNITED KINGDOM

U.S.A.CHINA



Entry Exit Conversion

J ** LU2009036844 0.12% 0.25% No 5.00% 1.00% 2.00%

I * LU2009036414 0.17% 0.33% No 5.00% 1.00% 2.00%

I dy * LU2012942152 0.17% 0.33% No 5.00% 1.00% 2.00%

P LU2009036505 0.26% 0.42% No 5.00% 3.00% 2.00%

R LU2009036760 0.34% 0.50% No 3.00% 1.00% 2.00%

Transaction fees (max in %)

Commission and fees as at 30/11/2021

Class ISIN Management fee(%) Ongoing charges(%) Performance fee

PICTET – ULTRA SHORT TERM BONDS USD – TECHNICAL DETAILS

23 / 49

Source: Pictet Asset Management, * Min Investment USD 1 mio or clients with advisory/discretionary mandate / ** Min Investment USD 100 mio.

Fund Description

Name:

Management Company:

Custodian:

Fund's domicile:

Fund managers

Legal status:

Investment horizon:

Reference currency:

Inception:

Reference Index Federal Funds Effective Rate

Source: Pictet Asset Management

Luxembourg

Philippe Billot, Jean Braun

Investment Company with Variable Capital (Sicav/OEIC)

One year or more

USD

28/06/2019

Pictet Ultra Short -Term Bonds USD

Pictet Asset Management (Europe) S.A.

Pictet & Cie (Europe) S.A.



24 / 49

MAIN RISKS

Source: Pictet Asset Management.

1 2 3 4 5 6 7

Typically higher rewardsTypically lower rewards

Lower risk Higher risk

Risk indicator for the I-USD share class

The Share Class is assigned to this risk category because of the price variations resulting from its currency and the nature of the Compartment's investments and strategy. The risk category shown is based on historical data and may not be a reliable indication for the future risk profile of the Share Class. It is not a target or a guarantee and may change over time. The lowest category does not mean a risk-free investment. The Compartment offers no capital guarantee or asset protection measures. The Compartment may be exposed to the following risks which are not adequately captured by the synthetic risk indicator and may negatively impact its value:

Counterparty risk: losses occur when a counterparty does not honour its obligations related to contracts such as over-the-counter derivatives.

Credit risk: sudden losses may occur when issuers of debt securities default on their payment obligations.

Operational risk: losses resulting from human errors, system failures, incorrect valuation and safekeeping of assets.

Sustainability risk: ESG related risk events or conditions could cause a material negative impact on the value of the investment if they were to occur.



Entry Exit Conversion

J ** LU2009037495 0.07% 0.19% No 5.00% 1.00% 2.00%

I * LU2009036927 0.12% 0.29% No 5.00% 1.00% 2.00%

I dy * LU2012942236 0.12% 0.29% No 5.00% 1.00% 2.00%

P LU2009037065 0.21% 0.38% No 5.00% 3.00% 2.00%

R LU2009037222 0.29% 0.47% No 3.00% 1.00% 2.00%

Commission and fees as at 30/11/2021

Class ISIN Management fee(%) Ongoing charges(%) Performance feeTransaction fees (max in %)

PICTET – ULTRA SHORT TERM BONDS EUR – TECHNICAL DETAILS

25 / 49

Fund Description

Name:

Management Company:

Custodian:

Fund's domicile:

Fund managers

Legal status:

Investment horizon:

Reference currency:

Inception:

Reference Index

Investment Company with Variable Capital (Sicav/OEIC)

One year or more

EUR

28/06/2019

EONIA CAPITALIZATION INDEX 7 DAYS

Source: Pictet Asset Management

Pictet Ultra Short -Term Bonds EUR

Pictet Asset Management (Europe) S.A.

Pictet & Cie (Europe) S.A.

Luxembourg

Philippe Billot, Jean Braun

Source: Pictet Asset Management, * Min Investment EUR 1 mio or clients with advisory/discretionary mandate / ** Min Investment EUR 100 mio.



26 / 49

MAIN RISKS

Source: Pictet Asset Management.

1 2 3 4 5 6 7

Typically higher rewardsTypically lower rewards

Lower risk Higher risk

Risk indicator for the I-EUR share class

The Share Class is assigned to this risk category because of the price variations resulting from its currency and the nature of the Compartment's investments and strategy. The risk category shown is based on historical data and may not be a reliable indication for the future risk profile of the Share Class. It is not a target or a guarantee and may change over time. The lowest category does not mean a risk-free investment. The Compartment offers no capital guarantee or asset protection measures. The Compartment may be exposed to the following risks which are not adequately captured by the synthetic risk indicator and may negatively impact its value:

Counterparty risk: losses occur when a counterparty does not honour its obligations related to contracts such as over-the-counter derivatives.

Credit risk: sudden losses may occur when issuers of debt securities default on their payment obligations.

Operational risk: losses resulting from human errors, system failures, incorrect valuation and safekeeping of assets.

Sustainability risk: ESG related risk events or conditions could cause a material negative impact on the value of the investment if they were to occur.



Appendix

27 / 49



Investment processA1

28 / 49



M-T. Barton PMC. Liaw PMG. Chamorro PMP. Petit PMA. Gocer PMR. Simpson PMS. Rebis QSA. Cristea MRC. Myburgh IAC. Preece IAE. Yeo IAS. Astridge IAS. Zou IA

FIXED INCOME

Team Assistants K. Kelly - EA to CIOM. Sunderji - TA Fixed Income (GVA)R. Da Costa - TA Fixed Income (LDN)

R. SagayamCIO Fixed Income

Developed Credit MarketsMoney Market Emerging DebtEmerging Corporate

P. Billot PMJ. Braun PMM. Junge PMS. Mauron PM

E. Marika PMJ. Hutter PMO. Hildbrand PMO. Haubner PM

Portfolio Management

Investment GradeJ. Mawby PMM. Magnin PMC-A. Bory PM

High YieldA. Wilmont PMP. Agarwal PM

A. Sanchez Balcazar PMD. Bopp PME. Hoxha PMO. Valtanen PMF. Vojnic-Zelic PML. Jaccard IAM. Rigo QA

A. Defise PML. Chua PMV. Ferraton CAT. Low CAE. Popov CAI. Le CAJ.P. B. Ochoa CAY. Luu IA

Greater China

C. Yeung PMT. Xiao CAE. Zhang CAE. Chen IA

Total Return

Total Return Credit Distressed DebtJ. Mawby PM G.Velimukhametova PM C-A. Bory PM T. Heimlich PM

I. Kearney PMV.Mehta PM

Emerging Debt L/SK. Gada PMT. Nocella PMR. Singh PM

Client Portfolio Managers

K. GriffithsG. PayneK. Tasellari HugP. Schuetz S. RüeggL. ZhuA. LaurencetQ. ZhangD. Gorgone

Fixed Income Trading

C. JamesA. SoucasB. ElliottM CheungJ. ChavaillazJ. FrewJ-P. Ruez M. Gautschi

P. GuesnetP-E. CharlierP.MontalbettiS. Nejman S-M. PangS. TohM. ParmarE. TraversiA. Ng

Bold: Team HeadsPM: Portfolio ManagerMR: Macro ResearchCA /IA/ TA/ QS/QA: Credit Analyst / Investment Analyst / Team Assistant/ Quantitative strategist/Quantitative AnalystSource: Pictet Asset Management

Invest. Strategy & Solutions

M. BenhaimM. Mistry

Research

P. Buff CA/PMK. Khangura CAM. Chabot CAF. Nicolas CAG. Reichenbach CAA. Magi CAJ. Berry CAS.Ortolan CAJ. Minster CAQuant ResearchN.Musolino QA

F. Salmon PM

P. ZweifelA. KadilliN. MarkovS. KhannicheL. Saugy

Swiss Bond Global Bond

Economic Analysis

29



THE MONEY MARKET TEAM

Philippe Billot

Head of Money Market

EUR

Jean Braun

Senior Investment Manager

USD, GBP

Micki Junge


CHF

Sylvian Mauron


Sovereign Funds, JPY

P. ZweifelS. KhannicheN. MarkovA. KadilliL. Saugy

M. Chabot

P. Buff

F. Nicolas

E. Popov

V. Ferraton

T. Low

I. Le

K. Khangura

G. Reichenbach

J. Berry

T. Xiao

A. Magi

S. Ortolan

J. Minster

E. Zhang

J.P. Berrios Ochoa

E. CambierG. HoàngA. Akadiri

Patrick MontalbettiMoney Market trader

Matthias GautschiCHF Bond trader

Back upS. NejmanB. Elliott

David Gorgone

Client Portfolio Manager

Money Market Investment Team

Economic Analysis

Credit Analysis

FI Risk

Trading

30



0

5

10

15

20

25

30

35

40

45

1805

Pictet & Cie

First Institutional Mandate

1967 1999 2001 2003 2005 2007 20131997 20112009 2015 2017 2019

PICTET MONEY MARKET EVOLUTION

Support Teams

Concept funds(*)

Money Marketfunds

Liquidityfunds

FundLaunches

Sovereignfunds

DedicatedCredit Research

DedicatedTrading Desk

EnhancedLiquidityfunds

Quantitative Analysis Team

Fixed IncomeRisk Team

31 / 49

(*) replaced by Enhanced Liquidity Funds on 1st January 2011

Sub

prim

ecr

isis

Sov

erei

gnde

btcr

isis

ESG Team

Ultra-Short Term Bonds funds

2021

US

D B

n



PICTET ASSET MANAGEMENT MONEY MARKET STRENGTHS

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Source: Pictet Asset Management S.A.

Focus on liquidity

Active management

Conservative creditapproach

Embedded riskmanagement

ESG integration

Dedicated trading desk

Stable & experiencedInvestment Team

Investment Philosophy Dedicated infrastructure

Long & consistent trackrecord

Investment Team



ULTRA SHORT TERM BONDS – INVESTMENT APPROACH


Yield

Flexible Investment

Solution

CreditLiquidity

› Wide investment universe

› Conservative credit approach

› Multiple investment strategies

› Yield pick-up through investments in fully hedged non-base currency papers

› Active monitoring of primary & secondary market

› Excellent market access

› Dedicated traders

› Portfolio diversification

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INVESTMENT PROCESS

Generation of investment ideas› Economic

environment› Central bank policy

outlook› Sector credit outlook› Market liquidity

Ex-ante control:› Investment

guidelines› Credit limits› Liquidity ratios

Asset selection› Instrument selection› Issuer selection

Portfolio strategy Macro analysis

Interest rate strategy› Duration› Yield curve

positioning› Hedging policy

Credit exposure› Issuer’s credit

profile› Spread analysis› ESG criteria*

Liquidity target› Cash and T-bills

allocation

Portfolio construction Portfolio monitoring

Risk control & compliance› Money market

regulation› Internal investment

guidelines› Portfolio risks› ESG concerns*

Monthly Weekly/Daily Daily Daily

Economic analysis Credit research Trading

Credit research

Risk control Compliance

Cash flow managementStrategy revision

Credit exposure› Weekly validation of

investment list

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These investment guidelines are internal guidelines which are subject to change at any time and without any notice within the limits of the fund’s prospectus*The investment process integrates ESG factors based on proprietary and third-party research to evaluate investment risks and opportunities. Issuers with high sustainability risks and/or adverse impacts on society and the environment may be purchased and retained in the portfolio



Fixed income credit research – 16 dedicated analystsEmerging Markets Research

CREDIT RESEARCH – DEDICATED ANALYTICAL TEAM

V. Ferraton

Singapore

Geneva

London

T.H. Low

E. Popov

› Highly experienced team› 7 credit analysts for emerging markets

specialized by country› Including 2 credit analyst focused on

Greater China› 9 credit analysts for developed markets

specialized by sector› Direct reporting to PMs to enhance

interactions & idea generation› Comprehensive assessment (fundamentals,

ESG, valuation, technicals)› Executable investment ideas› Internal database - a single entry point to all

research produced across the firm Hong Kong

Source: Pictet Asset Management SA

T .Xiao

16

I. Le

E. Zhang

Shanghai

F. Nicolas M. Chabot G. ReichenbachK. KhanguraP. Buff

Developed Markets Research

A. Magi J. Berry S. Ortolan J. Minster

J.P. Berrios Ochoa



CREDIT RESEARCH - SYSTEMATIC ANALYTICAL APPROACH

RELATIVE VALUE

FUNDAMENTAL CREDIT OPINION RATING

FUNDAMENTALS TECHNICALS

› Earnings quality

› Indebtedness

› Cash flow volatility

› Corporate strategy

› Management history

› Organic growth

› Shareholder friendliness / dividends

› Rating agency trend

› Primary supply & demand trends

› Refinancing risk

› CP back up lines

› Quality of issuer support

› Programme size / type

› Central Bank eligibility

› Liability matching

› Extent of banking relationships

Trading levels vs.

› Market dynamics

› Sector peers

› Similar maturities

› Yield curve

INVESTMENT AUTHORIZATION


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PAMFOLIO – OUR PORTFOLIO MANAGEMENT SYSTEM

Specific adminisatration table for each type of strategy or mandate

Consolidation of different issuers under the parent company Responsible Credit Analyst and FCO score clearly identified

Maximum consolidated exposure per issuer and maximum maturity allowed

Investment universe integrated in PAMFolio

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RISK MANAGEMENT & CONTROL: 3 LEVELS OF CONTROL

The risk management function at Pictet Asset Management is based on multiple levels of risk controlaiming to protect client portfolios:

› Have clear ownership of portfolio risk and manage this on a day-to-day basis.

› They are supported by embedded risk management tools

Investment managers

› Monitors portfolios independently of investment teams

› Seeks to identify situations that could lead to unacceptable losses; in essence defining the firm’s risk appetite

Investment Risk&

Performance team

› Monitors adherence to legal and contractual limits and investigates any breaches that are detected

Compliance

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ESG integrationA3

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OUR DRIVING PRINCIPLES

“We are convinced that Environmental, Social and Governance (ESG) considerations can help us make better long-term investment decisions for our clients.

We are committed to integrating material ESG criteria in our investment processes and ownership practices with a view to enhance returns and/or mitigate risks.

We embed ESG in our risk management and reporting tools in order to maintain high standards of transparency and accountability.

We believe in responsible capitalism and take a holistic view that considers the complex interactions between economy, society and the environment.”

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Laurent Ramsey Managing Partner, Pictet GroupCo-CEO, Pictet Asset Management

Responsibility is in our DNA. It’s the way we conduct

investment research meetings, build our investment process,

report to clients, as well as how we engage as a firm. It

can not be a tick-the-box exercise.



Triggered SSF initiative to encourage index

providers to ban controversial weapons manufacturers from mainstream indices

RESPONSIBLE INVESTMENT AT PICTET ASSET MANAGEMENT

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2. Responsible products and solutions

Develop strategies that provide capital to companies that aim to

have a positive impact

4. Client disclosure

Report on ESG metricsat portfolio level

3. Active ownership

Active engagement to improve ESG practices and

systematically exercise voting rights

1. ESG integration into investment processes

and risk management

Firmwide exclusions e.g. controversial weapons and

thermal coal extraction

5. Researchand thought leadership

Lead industry-wide initiatives and educate

2000

2006

20071990s

First strategies incorporating sustainable

criteria

First SRI mandate for Emerging Markets

Early UNPRI signatory

Launch of our first environmental strategy

focused on Water

2013 2016 2018

Founding member of Swiss

Sustainable Finance (SSF)

Launch of our thematic blog -

mega.online

2019

Launch of first EM Debt sustainable

strategy

Member of the IIGCC

UNPRI A+ rating since

1999Launch of first SRI strategy

2014

Key milestones

Our approach: five main pillars

2017

Source: Pictet Asset Management, 31.07.2021

Research partnership on Climate Change and EM with Oxford

University

2020



ESG IN THE MM INVESTMENT PROCESS – ARTICLE 6 SFDR

We strongly believe that actively considering ESG and especially Governance issues can help reduce credit risk.

WHAT WE DO

WHAT WE DON’T DO› Due to specific characteristics of

Money Market funds

* Regulation (EU) 2019/2088 of the European Parliament and of the Council of 27 November 2019 on Sustainability-related disclosures in the financial services sector (SFDR).

42

Article 6* funds

Investment process ESG integrated

Data SourceExternal providers √

In-House ESG expertise √

Data integration

Embedded in portfolio management system √

Pre-check trade alerts √

Tailor-made and regular trading alerts √

Credit Analysis check Poor ESG score issuers reviews In-depth & internal analysis

Credit Risk Team Portfolio ESG exposure reviews Bi-monthly

Exclusion Exclusion Policy Pictet AM Level 1

Article 6* funds

Compare funds to ESG benchmark NOControversial weapons & Thermal coal extraction

Article 6 (or equivalent)FUNDS CURRENCY DOMICILE

Pictet CH – Sovereign Short-Term Money Market USD, EUR, CHF Switzerland

Pictet – Sovereign Short-Term Money Market USD, EUR Luxembourg

Pictet CH – Enhanced Liquidity USD, EUR, CHF Switzerland

Pictet – Ultra Short-Term Bonds USD, EUR Luxembourg



ESG MONEY MARKET ASSESSMENT – ARTICLE 6

Objective

Definition of Poor ESG scores

Implementation of an internal policy for investments/positions with a poor ESG score in Money Market funds.

– Provider 1

– Provider 2

1 2 3 4 5

1 2 3 4 5 6 7 8 9 10

Credit analyst viewon the ESG issues

Is the score due to a current/past event? Has the company implemented any measures to enhance the situation and avoid any recurrence?

›Team view of the ESG issue

›Risk/return analysis; rationales of investment

›Classification on a scale (comfortable/on watch/follow closely)

Short description of the rationales behind the poor ESG score based on the ESG provider report

Key takeaway Outlook Credit Analyst Opinion

MM Team Assessment

Final Decision

Exclusion of the name or keeping in the Whitelist or other (for ex. restriction for a specific fund range or in terms of maturity)

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FIRM-WIDE EXCLUSIONS

Company exclusions based on revenue thresholds

ACTIVITY LEVEL 1 LEVEL 2 LEVEL 3

Fossil fuels and nuclear energy

Thermal coal extraction >25% >25% >25%

Thermal coal power generation >25% >25%

Oil & gas production >25%

Oil sands extraction >25% >10%

Shale energy extraction >25% >10%

Off-shore arctic oil & gas exploration >10% >10%

Nuclear power generation >50%

Weapons

Production of controversial weapons >0% >0% >0%

Military contracting weapons >10% >10%

Military contracting weapon-relatedproducts and/or services

>50%

Small arms civilian customers(assault weapons)

>10% >10%

Small arms civilian customers (non-assault weapons)

>10% >10%

Small arms military/law enforcementcustomers

>25% >25%

Small arms key components >25% >25%

ACTIVITY LEVEL 1 LEVEL 2 LEVEL 3

Other controversial activities

Tobacco products production >10% >10%

Adult entertainment production >10% >10%

Gambling operations >10% >10%

Genetically modified plants and seeds development

>25%

Genetically modified plants and seeds growth

>25%

Pesticides Production >10%

Pesticides Retail >10%

Source: Pictet Asset Management, 10.03.2021These are internal guidelines and may be subject to changes at any time and without prior notice. Exclusions are based on reliable sources gathered from reputable third-party research providers. Pictet Asset Management retains full discretion over exclusions and always reserves the right to deviate from third party information on a case-by-case basis.

The exclusion policy does apply to passive funds but always subject to no material detrimental effect on the funds’ tracking objectives.

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FIRM-WIDE EXCLUSIONS

Company exclusions based on breaches of international norms

CRITERIA LEVEL 1 LEVEL 2 LEVEL 3

Companies in severe breach of UN Global Compact Principles on humanrights, labour standards, environmental protection and anti-corruption

No Yes Yes

Country exclusions based on international sanctions

CRITERIA LEVEL 1 LEVEL 2 LEVEL 3

Countries subject to hard sanctions by Switzerland, the European Union and the US Office of Foreign Assets Control

Yes Yes Yes

Source: Pictet Asset Management, 10.03.2021These are internal guidelines and may be subject to changes at any time and without prior notice. Exclusions are based on reliable sources gathered from reputable third-party research providers. Pictet Asset Management retains full discretion over exclusions and always reserves the right to deviate from third party information on a case-by-case basis.

The exclusion policy does apply to passive funds but always subject to no material detrimental effect on the funds’ tracking objectives.

Exclusions are based on reliable sources gathered from reputable third-party research providers. They apply to all types of securities (equities, bonds, convertible bonds) issued by excluded entities, as well as bonds issued by related financial vehicles. They do not apply to passive strategies that replicate market indices or open-ended funds managed by third-party managers.

Please refer to our responsible investment policy on www.assetmanagement.pictet for further information.

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BiographiesA2

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JEAN BRAUN MICKI JUNGEPHILIPPE BILLOT

BIOGRAPHIES (1)

Head of Money Market Senior Investment ManagerMoney Market team Money Market team

Philippe Billot joined Pictet Asset Management S.A. in 2006 as Head of Money Market in the Fixed Income team.

Before joining Pictet, he worked at AXA SA as Head of the Treasury Department and then at AXA Investment Managers as Head of Money Markets and Treasury where he spent a total of 14 years. Previously he worked as a Manager of Financial Market Management at Crédit National.

Philippe graduated with a degree in Finance and Marketing from the HEC (Ecole des Hautes Etudes Commerciales) in Paris. He is a member of the STEP (Short Term European Paper) Market Committee

Jean Braun joined Pictet Asset Management S.A.'s Fixed Income team in 2006 as a Senior Investment Manager focusing on money market management.

Before joining Pictet, he worked for AXA Investment Managers in Paris, where he was deputy head of the money markets team. He was in charge of the forex activities, including trading and hedging strategies, as well as non-European money market portfolios. Jean has more than 20 years’ professional experience that includes working at Barclays Capital and the Credit Lyonnais and BNP Paribas Groups.

Jean is a graduate from the Ecole Supérieure de Sciences Economiques et Commerciales (ESSEC) in Paris.

Senior Investment ManagerMoney Market team

Micki Junge joined Pictet Asset Management S.A.’s Fixed Income team in 2002 and is a Senior Investment Manager focusing on money market management.

He originally joined Pictet & Cie in 1998 as a fixed income trader in the Sales & Trading Department.

Before Pictet, he worked for UBS Geneva on the Swiss Franc Trading and Arbitrage desk and for Paribas (Suisse) in the Swiss Franc Fixed Income Team.

Micki holds the CFPI and EFFAS qualifications (CFPI/AZEK).

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Senior Investment Manager Client Portfolio Manager

DAVID GORGONE

Money Market team Fixed Income Team

SYLVIAN MAURON

Sylvian Mauron joined Pictet in 2006. He is a Senior Investment Manager.

Prior to assuming his current responsibilities, he spent 6 years working at Pictet's trading desks as a treasury cash management trader and short-term interest rate trader. Sylvian has an extensive experience in trading money market instruments and interest rate derivatives.

Sylvian holds a degree in Management with a special focus on Finance from the University of Fribourg. He holds the CFA Certificate in ESG Investing. He is a Chartered Financial Analyst (CFA) charterholder.

David Gorgone joined Pictet in 2009 and is a Client Portfolio Manager for the Money Market team in Geneva.

When he joined Pictet, he worked as a trader for hedge funds. He transferred to Pictet Asset Management in 2011 as a Derivatives Officer within Pictet Asset Management's Derivatives Support team. He moved to the Swiss Institutional team in 2015 as a Senior Client Servicing Manager for institutional clients.

David holds a Bachelor’s degree in Economics and Finance from the University of Geneva (HEC) and a Executive Master’s degree in Banking & Finance from Kalaidos University of Applied Sciences. He holds the CFA Certificate in ESG Investing. He is also a Chartered Alternative Investment Analyst (CAIA) charterholder.

BIOGRAPHIES (2)

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For more informationThis marketing material is issued by Pictet Asset Management (Europe) S.A.. It is neither directed to, nor intended for distribution or use by, any person or entity who is a citizen or resident of, or domiciled or located in, any locality, state, country or jurisdiction where such distribution, publication, availability or use would be contrary to law or regulation. Only the latest version of the fund’s prospectus, KIID (Key Investor Information Document), regulations, annual and semi-annual reports may be relied upon as the basis for investment decisions. These documents are available on assetmanagement.pictet or at Pictet Asset Management (Europe) S.A., 15, avenue J. F. Kennedy, L-1855 Luxembourg.

The information and data presented in this document are not to be considered as an offer or solicitation to buy, sell or subscribe to any securities or financial instruments or services.

Information, opinions and estimates contained in this document reflect a judgment at the original date of publication

and are subject to change without notice. Pictet Asset Management (Europe) S.A. has not taken any steps to ensure that the securities referred to in this document are suitable for any particular investor and this document is not to be relied upon in substitution for the exercise of independent judgment. Tax treatment depends on the individual circumstances of each investor and may be subject to change in the future. Before making any investment decision, investors are recommended to ascertain if this investment is suitable for them in light of their financial knowledge and experience, investment goals and financial situation, or to obtain specific advice from an industry professional.

The value and income of any of the securities or financial instruments mentioned in this document may fall as well as rise and, as a consequence, investors may receive back less than originally invested

Past performance is not a guarantee or a reliable indicator of future performance. Performance data does not include the commissions and

fees charged at the time of subscribing for or redeeming shares. This marketing material is not intended to be a substitute for the fund’s full documentation or any information which investors should obtain from their financial intermediaries acting in relation to their investment in the fund or funds mentioned in this document.

Any index data referenced herein remains the property of the Data Vendor. Data Vendor Disclaimers are available on assetmanagement.pictet in the “Resources” section of the footer.

This document is a marketing communication issued by Pictet Asset Management and is not in scope for any MiFID II/MiFIRrequirements specifically related to investment research. This material does not contain sufficient information to support an investment decision and it should not be relied upon by you in evaluating the merits of investing in any products or services offered or distributed by Pictet Asset Management.

PICTET ASSET MANAGEMENT S.A.

For further information, please visit our websiteassetmanagement.pictet

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Ultra Short-Term Bonds - Pictet Asset Management

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