Asset-Backed Securities

Vontobel Fund - TwentyFour Monument European Asset Backed Securities

ISIN
LU1602255561
Valor
36484858
Sedol
BYVXB35

Investment objective

This bond fund aims to provide an attractive level of income relative to prevailing interest rates, while maintaining a strong focus on capital preservation and respecting risk diversification.


Key features

The fund invests with a focus on Europe in fixed-income securities, particularly asset-backed securities, in various currencies of diverse issuers of good quality (at least low investment grade). The fund can use derivative financial instruments for hedging purposes.


Approach

The experienced and diverse investment team focuses initially on capital preservation, avoiding defaults and mitigating volatility, as well as accessing an attractive revenue stream on a risk-adjusted basis. The team drives this by a thorough analysis of fundamental credit risk as well as by the liquidity profile of each position and the relative value present in the portfolio compared to the market. The team extensively mitigates interest-rate and currency risks by investing solely in floating-rate bonds and hedging currency exposures.

104.09
NAV
1.50%
Performance YTD
As at 29 Jul 2021

Why invest?

  • ABS normally offers a higher yield for a given rating or maturity than more mainstream investments such as government or corporate bonds
  • 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 rising
  • Built-in investor protection features such as credit enhancement, loss-absorbing reserve funds and the legal separation of issuer and asset pool
  • 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
  • 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 complexity premium

A fund that invests across the full range of investment grade European ABS, using the natural advantages of the asset class and a vastly experienced team to target stable, attractive returns.

Fund characteristics

  • No capital guarantee or principal protection – capital preservation is sought by high conviction stock selection from experienced ABS specialists
  • Bonds must be rated at least BBB or equivalent at time of investment
  • The Fund is typically happy to hold all investments to maturity, though it trades based on relative value seeking to generate alpha for investors
  • Flexibility to invest across the full spectrum of products, yielding greater access to transactions and ability to influence their pricing and/or structure
  • Large amount of resources devoted to due diligence, meetings with servicers and CLO managers, and forensic internal modelling

Investment universe

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 created by banks and other financial institutions. They represent the largest component of the European ABS market and are typically the most liquid
  • Consumer Receivables include a large variety of unsecured consumer debt types that have been securitized, including auto loans, credit card receivables and unsecured personal loans
  • Commercial Mortgage-Backed Securities (CMBS) are mortgage-backed securities backed by commercial rather than residential mortgages, using structures similar to other forms of ABS
  • Collateralized Loan Obligations (CLOs) are pools of corporate loans refinanced in a securitized structure, where pools can be static or actively managed by a specialist loan manager

Investment team

From the beginning we built our team of investment professionals to reflect the structure of today’s fixed income market. From structuring and ratings specialists to trading and investment banking, we have people who know the bond markets inside out. Our team is deliberately drawn from a diverse range of nationalities and cultures. This is how we look to escape the echo chamber, using diverse insights from people who are not having the same conversations and reading the same press.

Insights

All data is as at 30 Jun 2021 unless otherwise indicated.

Fund performance

Cumulative performance

1M YTD 3 yrs p.a. Since Inception
I EUR 0.1% 1.4% 0.5% 4.0%

Performance for 12 month periods

1 Jul 2016 - 30 Jun 2017 1 Jul 2017 - 30 Jun 2018 1 Jul 2018 - 30 Jun 2019 1 Jul 2019 - 30 Jun 2020 1 Jul 2020 - 30 Jun 2021
I EUR NA 2.4% -0.2% -2.9% 4.7%

Performance for calendar years

Volatility & risk

Portfolio
Volatility 4.6%
Sharpe Ratio 0.2
Interest rate duration 0.0
Credit duration 2.7
Average Rating A+
Number of positions 90.0
[3 years annualized]

All data is as at 29 Jul 2021 unless otherwise indicated.

Fund data
Portfolio Manager TwentyFour Asset Management LLP
Fund Domicile Luxembourg
Fund Currency EUR
Share Class Currency EUR
End of fiscal year 31 August
Share Class Launch date 27 Jun 2017
Distribution type Accum
Swinging single pricing Yes
Fund Registrations AT, CH, DE, ES, FI, FR, GB, IT, LI, LU, NL, NO, SE, SG
Share Class Registrations CH, DE, ES, FI, FR, GB, IT, LI, LU, NL, NO, SE, SG
Nav Information
Highest since launch 103.97
Lowest since launch 94.41
Fund size in mln. EUR 162.86
Share class size in mln. EUR 119.99
Fees And Expenses
Management fee 0.50%
TER* 0.63% (28 Feb 2021)
Identifiers
ISIN LU1602255561
Valor 36484858
Bloomberg VONTFIE LX
SEDOL BYVXB35
WKN A2DTWS
Parties
Depository RBC Investor Services Bank S.A.
Management Company Vontobel Asset Management S.A.
Swiss Paying Agent Bank Vontobel AG
Swiss Representative Vontobel Fonds Services AG

Available Share Classes

Share class Currency ISIN Distrib. Type Launch date Management fee TER* TER Date
A EUR LU1882612564 Dist Retail 5 Nov 2018 1.00% 1.17% 28 Feb 2021
AH (hedged) USD LU1882612994 Dist Retail 5 Nov 2018 1.00% 1.23% 28 Feb 2021
AH (hedged) CHF LU1882612648 Dist Retail 5 Nov 2018 1.00% 1.23% 28 Feb 2021
AH (hedged) GBP LU1882612721 Dist Retail 5 Nov 2018 1.00% 1.23% 28 Feb 2021
HI (hedged) USD LU1602256700 Accum Institutional 27 Jun 2017 0.50% 0.69% 28 Feb 2021
HI (hedged) CHF LU1602256296 Accum Institutional 27 Jun 2017 0.50% 0.69% 28 Feb 2021
HN (hedged) CHF LU1882613299 Accum Retail 5 Nov 2018 0.50% 0.73% 28 Feb 2021
HN (hedged) USD LU1882613455 Accum Retail 5 Nov 2018 0.50% 0.73% 28 Feb 2021
HN (hedged) GBP LU1882613372 Accum Retail 5 Nov 2018 0.50% 0.73% 28 Feb 2021
I EUR LU1602255561 Accum Institutional 27 Jun 2017 0.50% 0.63% 28 Feb 2021
N EUR LU1882613026 Accum Retail 5 Nov 2018 0.50% 0.67% 28 Feb 2021

All data is as at 30 Jun 2021 unless otherwise indicated.

Rating Structure

Major Sectors

View all documents View latest documents

Document Date EN
Factsheets & Commentaries
Factsheet Jun 2021
Monthly Commentary Jun 2021
KIIDs
KIID May 2021
Legal Documents
AGM EGM invitation May 2021
AGM EGM invitation Jan 2021
AGM EGM invitation Jan 2020
Articles of Association Apr 2016
Notification to Investors Jul 2021
Notification to Investors May 2021
Notification to Investors Mar 2021
Notification to Investors Feb 2021
Notification to Investors Nov 2019
Sales Prospectus Mar 2021
View more Legal Documents View less Legal Documents
Financial Reports
Annual Report Aug 2020
Semi-Annual Report Feb 2021
UK Tax Reporting Aug 2020
UK Tax Reporting Aug 2019
View more Financial Reports View less Financial Reports
Dealing Information
Holiday Calendar 2021 Jan 2021
Order Subscription Form Jan 2020
Insights
Solvency II and Asset Backed Securities Nov 2017
Policies
Sanctioned Countries Sep 2016
Shareclass Naming Convention Jun 2021