Asset-Backed Securities

Vontobel Fund - TwentyFour Monument European Asset Backed Securities

ISIN
LU1602256296
Valor
36484864

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.

97.97
NAV
-4.01%
Performance YTD
As at 10 Aug 2022

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.

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

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

Insights

All data is as at 30 Jun 2022 unless otherwise indicated.

Fund performance

Cumulative performance

1M YTD 3 yrs p.a. 5 yrs p.a. Since Inception
HI (hedged) CHF -1.2% -3.6% -0.9% -0.3% -1.6%

Performance for 12 month periods

07.11 - 06.12 07.12 - 06.13 07.13 - 06.14 07.14 - 06.15 07.15 - 06.16 07.16 - 06.17 07.17 - 06.18 07.18 - 06.19 07.19 - 06.20 07.20 - 06.21 07.21 - 06.22
HI (hedged) CHF NA NA NA NA NA NA 1.8% -0.7% -3.4% 4.4% -3.4%

Performance for calendar years

Portfolio characteristics

Portfolio
Volatility 4.7%
Sharpe Ratio negative
Interest rate duration 0.0
Credit duration 2.5
Expected annual yield 2.9%
Average Rating AA-
Number of positions 99.0
[3 years annualized]

All data is as at 10 Aug 2022 unless otherwise indicated.

Fund data
Portfolio Manager TwentyFour Asset Management LLP
Fund Domicile Luxembourg
Fund Currency EUR
Share Class Currency CHF
End of fiscal year 31 August
Share Class Launch date 27 Jun 2017
Distribution type Accum
Swing pricing Yes
SFDR Classification Article 8
Fund Registrations AT, CH, DE, ES, FI, GB, IT, LI, LU, NL, NO, SE, SG
Share Class Registrations AT, CH, DE, GB, LI, LU, SG
Nav Information
Highest since launch 102.17
Lowest since launch 92.91
Fund size in mln. EUR 152.24
Share class size in mln. CHF 14.68
Fees And Expenses
Management fee 0.50%
TER* 0.68% (28 Feb 2022)
Identifiers
ISIN LU1602256296
Valor 36484864
Bloomberg VONTFHI LX
WKN A2JKN9
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% 1.16% 28 Feb 2022
AH (hedged) USD LU1882612994 Dist Retail 5 Nov 2018 1.00% 1.22% 28 Feb 2022
AH (hedged) CHF LU1882612648 Dist Retail 5 Nov 2018 1.00% 1.22% 28 Feb 2022
AH (hedged) GBP LU1882612721 Dist Retail 5 Nov 2018 1.00% 1.22% 28 Feb 2022
AHI (hedged) GBP LU2388185246 Dist Institutional 6 Oct 2021 0.50% 0.68% 28 Feb 2022
AQHG (hedged) GBP LU2388185089 Dist Institutional 6 Oct 2021 0.35% 0.53% 28 Feb 2022
AQHNG (hedged) GBP LU2388184868 Dist Retail 6 Oct 2021 0.35% 0.57% 28 Feb 2022
HG (hedged) GBP LU2388185162 Accum Institutional 6 Oct 2021 0.35% 0.53% 28 Feb 2022
HI (hedged) CHF LU1602256296 Accum Institutional 27 Jun 2017 0.50% 0.68% 28 Feb 2022
HI (hedged) USD LU1602256700 Accum Institutional 27 Jun 2017 0.50% 0.68% 28 Feb 2022
HI (hedged) GBP LU2388185329 Accum Institutional 6 Oct 2021 0.50% 0.68% 28 Feb 2022
HN (hedged) GBP LU1882613372 Accum Retail 5 Nov 2018 0.50% 0.72% 28 Feb 2022
HN (hedged) CHF LU1882613299 Accum Retail 5 Nov 2018 0.50% 0.72% 28 Feb 2022
HN (hedged) USD LU1882613455 Accum Retail 5 Nov 2018 0.50% 0.72% 28 Feb 2022
HNG (hedged) GBP LU2388184942 Accum Retail 6 Oct 2021 0.35% 0.57% 28 Feb 2022
I EUR LU1602255561 Accum Institutional 27 Jun 2017 0.50% 0.62% 28 Feb 2022
N EUR LU1882613026 Accum Retail 5 Nov 2018 0.50% 0.66% 28 Feb 2022

* TER includes performance fee where applicable

All data is as at 30 Jun 2022 unless otherwise indicated.

Rating Structure

Major Sectors

View all documents View latest documents

Document Date EN
Factsheets & Commentaries
Factsheet Jun 2022
Monthly Commentary Jun 2022
KIIDs
KIID Apr 2022
Legal Documents
AGM EGM invitation Jan 2022
AGM EGM invitation May 2021
AGM EGM invitation Jan 2021
AGM EGM invitation Jan 2020
Articles of Association Apr 2016
Notification to Investors Sep 2021
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 Jan 2022
View more Legal Documents View less Legal Documents
Financial Reports
Annual Distribution Nov 2021
Annual Report Aug 2021
Distribution Dates Jan 2022
Quarterly Distribution Jun 2022
Semi-Annual Report Feb 2022
UK Tax Reporting Aug 2021
Dealing Information
Holiday Calendar 2022 Jun 2022
Order Subscription Form Jan 2020
Insights
Solvency II and Asset Backed Securities Nov 2017
Policies
Sanctioned Countries Sep 2016
Shareclass Naming Convention Jan 2022

Summary

The Sub-Fund promotes environmental and social characteristics by following integration and exclusions approaches by investing in debt securities of companies with excellent Environmental, Social and Governance ratings.

No sustainable investment objective

This financial product promotes environmental or social characteristics, but does not have as its objective a sustainable investment.

Environmental or social characteristics of the financial product

The Sub-Fund invests in debt securities of companies with excellent Environmental, Social and Governance ratings. To define the investment universe, the team applies a two-step sustainability screening based on a proprietary scoring model: 1) to exclude issuers active in controversial businesses, like tobacco, alcohol, weapons, or gambling, or intensively using fossil resources, 2) to include only those issuers whose sustainability scores exceed the defined minimum.

Investment strategy

Our investment process consists of detailed, systematic qualitative and quantitative analysis of a potential investee’s sustainability risks and sustainability factors (collectively Sustainability Indicators). Integrating Sustainability Indicators is a central pillar in the investment process with the aim of improving the long-term risk-return characteristics of the sub-fund’s portfolio and supporting elevated social or environmental practices by the investee companies.

Proportion of investments

We have applied our sustainability selection criteria to 100% of the securities in the sub-fund.

Monitoring of environmental or social characteristics

Compliance with the environmental and social characteristics is monitored on an on-going basis.

Methodologies

We seek to avoid investments in companies with material production in tobacco, alcohol, gambling, adult entertainment, controversial weapons and carbon intensive industries, and companies involved in animal testing for cosmetic purposes. This list is not exhaustive and may change from time to time to reflect new developments and research in the field of sustainable investment, for example where technology or social trends evolve. In addition, issues/securities must have an ESG rating above a minimum threshold based on our proprietary scoring model and we positively screen companies through a comprehensive analysis process, which may include the use of specialized rating agencies and systems.

In addition to the scoring of securities, the portfolio management system records positive or negative changes and enables us to understand and assess individual bonds on a relative value basis, given ESG factors – in this sense the ESG assessment does not solely dictate buy or sell recommendations, but it is part of an overall assessment of the validity of an investment decision. Further information on the model and the ESG approach can be found at https://www.twentyfouram.com/responsible-investment.

Data sources and processing

The sustainability ratings are based upon information raw data from issuers and evaluated in-house as well as information raw data from specialized third-party ESG data providers compiled and evaluated in the proprietary in-house sustainability model database. Additional fundamental information from companies, media, NGOs as well as international organizations is evaluated in the database. The major third-party ESG data provider is ASSET4.

Limitations to methodologies and data

The data obtained from third-party data providers or issuers may be incomplete, inaccurate, or unavailable and the assumptions or models on which internal analysis rests may have flaws that render the internal assessment incomplete or inaccurate. As a result, there exists a risk of incorrectly assessing a security or issuer, resulting in the incorrect inclusion or exclusion of a security. There is also a risk we may not apply the relevant criteria of the ESG research correctly or that the sub-fund could have indirect exposure to issuers who do not meet the relevant criteria.

Due diligence

Each asset in the portfolio has its sustainability performance reevaluated using the sustainability framework once a year by our investment team.

Engagement policies

The sub-fund applies the Vontobel Asset Management voting and engagement policies. For the equity funds, voting rights are executed under the responsibility of the portfolio manager, by using proxy service providers for research, voting recommendations and voting administration. Bond investors do not have voting rights. Engagement is part of the ESG research process. It includes communications between the ESG research team and the management teams of investee companies, typically in case of specific issues or controversies that may cover ESG concerns.

Designated reference benchmark

This sub-fund does not have a designated reference ESG benchmark, but applies a conventional benchmark whose construction does not take into account ESG criteria.