M&G Credit Income Investment Trust Plc · LSE:MGCI

M&G Credit Income Investment Trust — M&G (Lux) Optimal Income Fund — Non-Deal Roadshow (April 2022)

31 slides from M&G Credit Income Investment Trust's roadshow presentation, April 2022

  1. Slide 1: M&G (Lux) Optimal Income Fund

    M&G (Lux) Optimal Income Fund Richard Woolnough, Fund Manager April 2022 Marketing communication for investment professional use only.

  2. Slide 2: Main risks that could affect performance

    M&G (Lux) Optimal Income Fund The main risks that could affect performance are set out below: • The value and income from the fund's assets will go down as well as up. This will cause the value of your investment to fall as well as rise. There is no guarantee that the fund will achieve its objective

  3. Slide 3: Macro update

    O M&G Investments Macro update

  4. Slide 4: Unemployment rate over time

    Unemployment rate over time US, UK and Eurozone United States United Kingdom Eurozone 13% 13% 11% 12% 10% 12% 11% 9% 10% 11% 9% 8% 8% 7% 10% 7% 6% 6% 9% 5% 5% 8% 4% 4% 3% 3% 7% 4 Source: Bloomberg, 31 December 2021 (latest data available)

  5. Slide 5: Inflation over time

    Inflation over time US, UK and Eurozone 15.0% US UK Eurozone 13.0% 11.0% 9.0% 7.0% 5.0% 3.0% 1.0% -1.0% -3.0% Source: Bloomberg, 28 February 2022 5

  6. Slide 6: The US labour market is strong

    The US labour market is strong There are more jobs available than people looking for a job There are more jobs available than people looking for a job Private quits rate* vs unemployment rate 25 12% 1.0% Number of unemployed people 10% 20 1.5% Number of job openings 8% 15 2.0% millions 6% 10 2.5% 4%

  7. Slide 7: 5y Government bond yields

    5y Government bond yields US, UK and Germany 5y US Treasury yield 5y UK Gilt yield 5y German Bund yield 3.5% 2.5% 1.5% 3.0% 2.0% 1.0% 2.5% 1.5% 0.5% 2.0% 1.0% 1.5% 0.0% 0.5% 1.0% -0.5% 0.0% 0.5% 0.0% -0.5% -1.0% 7 Source: Bloomberg, 30 March 2022

  8. Slide 8: 30y Government bond yields

    30y Government bond yields US, UK and Germany 30y US Treasury yield 30y UK Gilt yield 30y German Bund yield 4.0% 4.0% 3.0% 3.5% 2.5% 3.5% 3.0% 2.0% 3.0% 2.5% 1.5% 2.5% 2.0% 1.0% 1.5% 2.0% 0.5% 1.0% 1.5% 0.0% 0.5% 1.0% 0.0% -0.5% 8 Source: Bloomberg, 30 March 2022

  9. Slide 9: Risk-reward in 5 year Bunds

    Risk-reward in 5 year Bunds 5y Bund scenarios 6.0% Scenarios Price return after 1 year if yield goes to: 5.0% 4.0% 4% -16% 3.0% 3% -12% 2.0% 2% -7% 1.0% 1% -3% 0.0% 0% +3% -1% 8% -1.0% Source: Bloomberg, 30 March 2022 9

  10. Slide 10: Risk-reward in 30 year Bunds

    Risk-reward in 30 year Bunds 30y Bund scenarios 7.0% Scenarios Price return after 1 year if yield goes to: 6.0% 5.0% 5% -72% 4.0% 4% -62% 3.0% 3% -49% 2.0% 2% -32% 1.0% 1% -8% 0.0% 0% +25% -1.0% Source: Bloomberg, 30 March 2022 10

  11. Slide 11: Credit spreads over time

    Global IG Corporate Bond Index Credit spreads over time What past experience tell us about corporate bond spreads 500 Credit crisis 450 400 350 Extreme value Covid-19 300 Eurozone debt crisis OAS spread 250 Oil collapse 200 Attractive value 150 Decent value 100 Fair value 50 Expensive 0 Jun-11 Dec-0

  12. Slide 12: High Yield vs Investment Grade valuations

    High Yield vs Investment Grade valuations iTraxx Xover – iTraxx EUR 600 550 iTraxx Xover spread – iTraxx EUR spread (bp) 500 450 400 350 300 250 200 150 100 Source: Bloomberg, 30 March 2022 12

  13. Slide 13: M&G (Lux) Optimal Income Fund

    M&G (Lux) Optimal Income Fund

  14. Slide 14: Fund facts

    Fund facts M&G (Lux) Optimal Income Fund Past performance is not a guide to future performance Fund name M&G (Lux) Optimal Income Fund Fund manager: Richard Woolnough Launch date of the SICAV* 7 September 2018 Launch date of the OEIC* 8 December 2006 Manager tenure (strategy) 8 December 2006 Fund si

  15. Slide 15: Performance in Euros

    Performance in Euros M&G (Lux) Optimal Income Fund Past performance is not a guide to future performance Annual performance Yr to MRQ** 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 % % % % % % % % % % % M&G (Lux) Optimal Income Fund 1.2 1.2 1.4 6.8 -4.0 4.3 7.0 -1.6 4.7 7.2 13.0 Benchmark* -0.9

  16. Slide 16: Performance since inception

    M&G (Lux) Optimal Income fund Performance since inception Past performance is not a guide to future performance 280 280 260 260 Total return (30/04/2007 = 100) Total return (30/04/2007=100) 240 240 220 220 200 200 180 180 160 160 140 140 120 120 100 100 80 80 M&G (Lux) Optimal Income Euro A share cl

  17. Slide 17: Duration evolution

    Duration evolution M&G (Lux) Optimal Income Fund 9.0 * 8.0 7.0 6.0 Duration (years) 5.0 4.0 3.0 2.0 1.0 0.0 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 Dec-19 Dec-20 Dec-21 On 8 March 2019, the non-sterling assets of the M&G Optimal Income Fund, a UK-au

  18. Slide 18: Duration contributions

    Duration contributions M&G (Lux) Optimal Income Fund 6.0 * 5.0 4.0 3.0 Duration (years) 2.0 1.0 0.0 -1.0 -2.0 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Sep-18 Mar-19 Sep-19 Mar-20 Sep-20 Mar-21 Sep-21 Mar-22 Total GBP EUR USD Othe

  19. Slide 19: Asset allocation over time

    Asset allocation over time M&G (Lux) Optimal Income Fund Government bonds (and cash) IG corporate 45% * 80% * 40% 70% 35% neutral 60% 30% 50% 25% 40% 20% 30% 15% neutral 10% 20% 5% 10% 0% 0% 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2006 2007 2008 2009 2010 2011

  20. Slide 20: Key changes we made since 2020

    Key changes we made since 2020 M&G (Lux) Optimal Income Fund Long dated IG Corp bonds exposure Financials exposure High Yield exposure 35% 33% 32% 33% 31% 28% 27% 29% 27% 23% 22% 25% 23% 18% 17% 21% 19% 13% 12% 17% 15% 8% 7% Source: M&G, 30 March 2022. Please note, portfolio data is based on interna

  21. Slide 21: Spread duration by asset class

    Spread duration by asset class M&G (Lux) Optimal Income Fund Spread duration over time Spread duration contribution 8.0 4.0 * 7.5 3.5 7.0 3.0 Spread duration (years) Spread duration (years) 6.5 2.5 6.0 2.0 5.5 1.5 5.0 1.0 4.5 0.5 4.0 0.0 3.5 -0.5 3.0 Other IG Govies EUR Periph Govies EM Govies On 8

  22. Slide 22: Duration vs credit risk

    Duration vs credit risk M&G (Lux) Optimal Income Fund 10 9 8 End 2007 Bloomberg Global Aggregate index Reference index* 7 6 End 2010 Duration, years 5 4 3 Start 2012 2 End 2015 1 0 AAA AA A BBB BB B CCC Credit risk Current positioning Previous months’ positioning On 8 March 2019, the non-sterling as

  23. Slide 23: Appendix

    0 M&G APPENDIX Investments

  24. Slide 24: M&G (Lux) Optimal Income Fund as an SFDR Article 8 Fund

    M&G (Lux) Optimal Income Fund as an SFDR Article 8 Fund Positive ESG tilt + exclusions 2 things have changed 1. Positive ESG tilt 2. Exclusions M&G (Lux) Optimal Income Fund will commit to M&G (Lux) Optimal Income Fund will exclude maintain a weighted average ESG score above the companies that do no

  25. Slide 25: Households are in a strong financial position

    Households are in a strong financial position Net worth at an all-time high while debt payments as % of income at an all-time low Household net worth as % of GDP Debt payments as % of disposable income 650% 14% Debt payments as % of disposable income 600% 13% 550% 12% 500% average 11% 450% 10% 400%

  26. Slide 26: Excess liquidity increased significantly during the pandemic

    Excess liquidity increased significantly during the pandemic Money supply (M2) 32 Excess liquidity 16 $ trillion (log scale) Pre Covid trend 8 4 Source: M&G, Bloomberg, Fed Z-1 financial accounts, 31 January 2022. M2 is a classification of money supply. It includes M1 – which is comprised of cash ou

  27. Slide 27: Wages are rising

    Wages are rising Atlanta Fed wage growth tracker 6.5% 6.0% 5.5% 5.0% 4.5% 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% Source: Bloomberg, 28 February 2021. 27

  28. Slide 28: Aggregate weekly payroll and nominal GDP

    Aggregate weekly payroll and nominal GDP Nominal spending capacity has increased significantly US aggregate weekly payroll MoM change (simple moving average) US aggregate weekly payroll YoY vs US nominal GDP YoY 30% 0.25 US aggregate weekly payroll YoY US Nominal GDP YoY 0.2 20% 0.15 10% 0.1 0% 0.05

  29. Slide 29: Real rates over time

    Real rates over time Fed is well behind the curve 12.0% 0.2 Fed rate minus core PCE 10.0% 0.18 8.0% 0.16 6.0% 0.14 4.0% 0.12 2.0% 0.1 0.0% 0.08 -2.0% 0.06 -4.0% 0.04 -6.0% 0.02 -8.0% 0 1971 1974 1977 1980 1983 1986 1989 1992 1995 1998 2001 2004 2007 2010 2013 2016 2019 2022 Source: Bloomberg, 28 Feb

  30. Slide 30: Duration by currency and maturity

    Duration by currency and maturity M&G (Lux) Optimal Income Fund 0-5 years 5-10 years 2.25 4.75 EUR GBP USD JPY EUR GBP USD JPY 1.75 3.75 2.75 1.25 1.75 0.75 0.75 0.25 -0.25 -0.25 -1.25 2019 2020 2021 2022 2019 2020 2021 2022 10-15 years 15+ years 3.00 EUR GBP USD JPY EUR GBP USD JPY Other 1.50 2.00

  31. Slide 31: For Investment Professionals and Institutional Investors only

    For Investment Professionals and Institutional Investors only. Not for onward distribution. No other persons should rely on any information contained within. Distribution of this document in or from Switzerland is not permissible with the exception of the distribution to Qualified Investors accordin

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