Asset-Backed Securities

Vontobel Fund - TwentyFour Monument European Asset Backed Securities

ISIN
LU2388184868
Valor
113723425
Sedol
BKP54W9

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.

101.82
NAV
4.68%
Performance YTD
As at 7 Jun 2023

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 28 Apr 2023 unless otherwise indicated.

Fund performance

Cumulative performance

1M YTD Since Inception
AQHNG (hedged) GBP 1.1% 3.9% 1.0%

Performance for 12 month periods

05.12 - 04.13 05.13 - 04.14 05.14 - 04.15 05.15 - 04.16 05.16 - 04.17 05.17 - 04.18 05.18 - 04.19 05.19 - 04.20 05.20 - 04.21 05.21 - 04.22 05.22 - 04.23
AQHNG (hedged) GBP NA NA NA NA NA NA NA NA NA NA 1.3%

Performance for calendar years

Portfolio characteristics

Portfolio
Volatility 4.3%
Sharpe Ratio negative
Interest rate duration 0.1
Credit duration 2.3
Expected annual yield 6.8%
Average Rating AA-
Number of positions 65.0
[1 year]

All data is as at 7 Jun 2023 unless otherwise indicated.

Fund data
Portfolio Manager TwentyFour Asset Management LLP
Fund Domicile Luxembourg
Fund Currency EUR
Share Class Currency GBP
Year End 31 August
Share Class Launch date 6 Oct 2021
Distribution Type Dist
Swing pricing Yes
Minimum investment 50,000,000.00
SFDR Classification Article 8
Fund Registrations AT, CH, DE, ES, FI, GB, IT, LI, LU, NL, NO, SE, SG
Share Class Registrations GB, LU, SG
Nav Information
Highest since launch 101.68
Lowest since launch 94.78
Fund size in mln. EUR 122.08
Share class size in mln. GBP 0.00
Fees And Expenses
Management fee 0.35%
TER* 0.58% (28 Feb 2023)
Identifiers
ISIN LU2388184868
Valor 113723425
Bloomberg VOABSAH LX
SEDOL BKP54W9
WKN A3C394
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 2023
AHI (hedged) GBP LU2388185246 Dist Institutional 6 Oct 2021 0.50% 0.69% 28 Feb 2023
AQHG (hedged) GBP LU2388185089 Dist Institutional 6 Oct 2021 0.35% 0.54% 28 Feb 2023
AQHNG (hedged) GBP LU2388184868 Dist Retail 6 Oct 2021 0.35% 0.58% 28 Feb 2023
HG (hedged) GBP LU2388185162 Accum Institutional 6 Oct 2021 0.35% 0.54% 28 Feb 2023
HI (hedged) USD LU1602256700 Accum Institutional 27 Jun 2017 0.50% 0.69% 28 Feb 2023
HI (hedged) GBP LU2388185329 Accum Institutional 6 Oct 2021 0.50% 0.69% 28 Feb 2023
HI (hedged) CHF LU1602256296 Accum Institutional 27 Jun 2017 0.50% 0.69% 28 Feb 2023
HN (hedged) GBP LU1882613372 Accum Retail 5 Nov 2018 0.50% 0.73% 28 Feb 2023
HN (hedged) CHF LU1882613299 Accum Retail 5 Nov 2018 0.50% 0.73% 28 Feb 2023
HNG (hedged) GBP LU2388184942 Accum Retail 6 Oct 2021 0.35% 0.58% 28 Feb 2023
I EUR LU1602255561 Accum Institutional 27 Jun 2017 0.50% 0.63% 28 Feb 2023
N EUR LU1882613026 Accum Retail 5 Nov 2018 0.50% 0.67% 28 Feb 2023

* TER includes performance fee where applicable

All data is as at 28 Apr 2023 unless otherwise indicated.

Rating Structure

Major Sectors

View all documents View latest documents

Document Date EN
Factsheets & Commentaries
Factsheet Apr 2023
Monthly Commentary Apr 2023
UCITS KIIDs
Key Investor Information Document (KIID) May 2023
Legal Documents
AGM EGM invitation Jan 2023
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 May 2023
Notification to Investors Dec 2022
Notification to Investors Nov 2022
Notification to Investors Jan 2022
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 Mar 2023
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Sustainability Related Disclosures
Sustainability Related Disclosures Dec 2022
Financial Reports
Annual Distribution Nov 2022
Annual Report Aug 2022
Distribution Dates Jan 2023
Quarterly Distribution Mar 2023
Semi-Annual Report Feb 2023
Semi Annual Distribution Apr 2023
UK Tax Reporting Aug 2022
Dealing Information
Holiday Calendar 2023 Jan 2023
Order Subscription Form Jan 2020
Insights
Solvency II and Asset Backed Securities Nov 2017
Policies
Sanctioned Countries Oct 2022
Shareclass Naming Convention Jan 2022