Asset-Backed Securities (ABS)

TwentyFour’s ABS funds cover the whole risk spectrum available, from enhanced cash to direct asset-backed lending. The breadth and size of what we manage enables us to leverage our relationship with both issuers and banks, which can offer potentially material benefits in yield and structuring for the investors in our strategies.  

Key members of the TwentyFour team are regarded as pioneers in European ABS, having been involved in the market since its first securitisations in the late 1980s. The team regularly advises European policymakers and is heavily involved in guiding the path for regulation in this sector. Accordingly, TwentyFour is one of Europe’s leading ABS managers.

Funds

5 funds available

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Monument Bond Fund

Asset Backed Securities

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Share class Currency ISIN Valor NAV YTD As at
A acc (Net) GBP GB00B3VH8W86 13.66 0.77% 15 Apr 2021
I Acc (Gross) GBP GB00B4XMPS34 147.29 0.90% 15 Apr 2021
I Acc (Net) GBP GB00B3V5V897 142.01 0.90% 15 Apr 2021
I Inc (Gross) GBP GB00B4XCQT18 111.27 0.90% 15 Apr 2021
I Inc (Net) GBP GB00B3XVTT21 111.26 0.90% 15 Apr 2021
L Acc (Gross) GBP GB00BDD9NJ41 1.10 0.97% 15 Apr 2021
L Acc (Net) GBP GB00BDD9NG10 1.16 0.97% 15 Apr 2021
L Inc (Gross) GBP GB00BDD9NH27 1.03 0.97% 15 Apr 2021
L Inc (Net) GBP GB00BDD9NF03 1.05 0.97% 15 Apr 2021
TwentyFour Income Fund

Asset Backed Securities

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Share class Currency ISIN Valor NAV YTD As at
Ordinary Share Class GBP GG00B90J5Z95 112.92 2.48% 9 Apr 2021
TwentyFour Sustainable Enhanced Income ABS Fund

Asset Backed Securities

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Share class Currency ISIN Valor NAV YTD As at
A Acc GBP IE00BMX0BH45 - - -
A Inc GBP IE00BMX0BJ68 102.50 1.19% 31 Mar 2021
UK Mortgages Limited

Asset Backed Securities

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Share class Currency ISIN Valor NAV YTD As at
Ordinary Share Class GBP GG00BXDZMK63 80.34 -0.40% 29 Jan 2021
Vontobel Fund - TwentyFour Monument European Asset Backed Securities

Asset Backed Securities

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Share class Currency ISIN Valor NAV YTD As at
A EUR LU1882612564 43753862 98.99 0.80% 15 Apr 2021
AH (hedged) USD LU1882612994 43753876 105.48 1.04% 15 Apr 2021
AH (hedged) CHF LU1882612648 43753868 99.56 0.74% 15 Apr 2021
AH (hedged) GBP LU1882612721 43753874 100.71 1.22% 15 Apr 2021
HI (hedged) USD LU1602256700 36484869 111.72 1.19% 15 Apr 2021
HI (hedged) CHF LU1602256296 36484864 101.53 0.88% 15 Apr 2021
HN (hedged) CHF LU1882613299 43753894 100.57 0.86% 15 Apr 2021
HN (hedged) USD LU1882613455 43753897 106.86 1.19% 15 Apr 2021
HN (hedged) GBP LU1882613372 43753896 103.49 1.07% 15 Apr 2021
I EUR LU1602255561 36484858 103.53 0.96% 15 Apr 2021
N EUR LU1882613026 43753879 101.59 0.94% 15 Apr 2021

What are Asset-Backed Securities?

Asset-Backed Securities (ABS) are a type of bond, typically issued by banks or other lenders.

What makes ABS different to other parts of fixed income, such as government or corporate bonds, is that they are ‘secured’ against a specially designed pool of loans with similar characteristics.

This collateral pool will typically contain thousands of high-quality loans such as mortgages, and the repayments on those assets are directed straight to investors in the bonds.

This is where the phrase ‘securitisation’ comes from – investors’ coupons are secured by the cash flowing from the regular interest and principal paid on the assets included in the pool.

  • Asset : Thousands of assets with regular repayments and similar characteristics, such as mortgages or car loans, are pooled together.
  • Backed : The company issuing the ABS sets up a legally separated Special Purpose Vehicle (SPV), which purchases the asset pool. The bonds investors buy are backed by the interest and principal proceeds from the asset pool. This means bondholders’ exposure is to the assets themselves rather than the seller of those assets; in an RMBS, for example, investors have exposure to the mortgages but not the bank that made those loans to customers.
  • Securities : The company sells bonds – or securities – via the SPV to investors, who are paid directly from the repayments on the assets in the pool.

At first glance, the ABS market can look like a confusing mix of acronyms (RMBS, CLOs, Auto ABS) but they simply identify the assets backing the bonds – residential mortgages, senior secured corporate loans, auto loans.

ABS at a glance

The European ABS market is split broadly into four areas, though certain sub-sets of these sectors are considered important distinct products in their own right, such as Auto ABS and Credit Card ABS.

  • Residential Mortgage-Backed Securities (RMBS) are backed by pools of mortgage loans extended by banks and other financial institutions. They represent the largest component of the European ABS market and they are also the most liquid. RMBS itself includes sub-categories such as Prime, Non-conforming and Buy-to-Let RMBS, broadly defined by the typical profile of borrower in the pool.
  • Consumer Receivables (Consumer ABS) ) include a large variety of unsecured consumer debt types that have been securitised including auto loans, credit card receivables and unsecured personal loans.
  • Commercial Mortgage-Backed Securities (CMBS) are backed by commercial mortgages rather than residential mortgages, and use structures similar to other forms of ABS.
  • Collateralised Loan Obligations (CLOs) are pools of corporate loans, refinanced in a securitised structure. Pools can be static or actively managed by a specialist loan manager.

Why invest?

 

Higher yield

ABS normally offers a higher yield for a given rating or maturity than more mainstream investments such as government or corporate bonds

Less volatile

ABS are virtually all floating rate, meaning they are naturally expected to be far less volatile than fixed rate bonds in periods when interest rates are volatile

Investor protection

Built-in features such as credit enhancement, loss-absorbing reserve funds and the legal separation of issuer and asset pool, intended to provide a level of investor protection

 

High transparency

High transparency with transaction reports detailed enough to view the performance of each individual loan in the asset pool, enabling investors to conduct their own research

Complexity premium

ABS remains a largely under-researched and poorly understood asset class, meaning those that put in the effort and expertise can be rewarded with a speciality premium

Meet the team

 

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