Asset Backed Securities (ABS)

TwentyFour Asset Management

The ABS strategies covers 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 relationships with both issuers and banks, which can offer potentially material benefits in yield and structuring for the investors in our strategies. Our ABS team has been involved in the ABS market since the first European securitisations in the late 1980s. The team has a diverse range of backgrounds covering portfolio management, trading, structuring, treasury and credit ratings.

Portfolio Management

Investment Grade European ABS Composite

Data as at 09.30.2019

Cumulative Performance

QTD YTD 1 year 3 years 5 years Since Inception 3 years annualized 5 years annualized Since inception annualized
0.93% 3.98% 3.64% 13.42% 14.28% 46.84% 4.29% 2.70% 3.86%

Discrete Performance

2010 2011 2012 2013 2014 2015 2016 2017 2018
3.99% -5.98% 15.19% 4.89% 4.53% -2.23% 4.53% 6.23% 1.58%

Source: TwentyFour. Performance figures shown are of the GBP performance adjusted to take into account the impact of share class FX hedging from GBP to USD. Returns are presented on a mid-to-mid basis inclusive of net reinvested income and net of all expenses. Past performance is not a reliable indicator of future performance. The performance data do not take account of the commissions and costs incurred on issue and redemption.. The value of an investment and the income from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested. Composite performance is calculated using the weighted average daily performance of similar portfolios within the Composite, since the earliest inception date. All portfolios within the Composite are managed by the same team.

Disclaimer

Investment Grade European ABS Composite

Year Composite Gross Return (%) Composite Net Return(%) Custom Benchmark Return (%) Composite 3-Yr st Dev (%) Benchmark 3-Yr st Dev (%) Number of Portfolios Internal Dispersion (%) Composite Assets ($M) Total GIPS Assets (£M) Total GIPS Assets + Entity Assets (£M)
2011 -4.85 -5.56 na na na <5 na 79 515 983
2012 16.55 15.67 na na na <5 na 75 784 1415
2013 6.02 5.23 na 3.91 na <5 na 83 1616 2234
2014 5.70 4.92 na 2.83 na <5 na 209 2621 4023
2015 -1.15 -1.89 na 1.89 na <5 na 226 3957 5483
2016 5.24 4.46 na 2.44 na <5 na 212 5153 7811
2017 6.04 5.27 na 2.32 na <5 na 546 8267 11273
2018 0.34 -0.34 na 2.13 na <5 na 944 11070 13957
Compliance Statement

The Firm claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. The Firm has been independently verified for the periods January 1, 2011 through December 31, 2018. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.

Definition of the Firm

The Firm is defined as TwentyFour Asset Management LLP and all subsidiaries or affiliates and is a fixed income asset management firm established in 2008 and regulated by the Financial Conduct Authority. The Firm is defined to include assets managed across all global offices and includes both the institutional and wholesale lines of business.

Policies

The Firm’s policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.

Composite Description

The Investment Grade European ABS Composite intends to provide an attractive level of income relative to prevailing interest rates whilst maintaining a strong focus on capital preservation. The Composite is essentially exposed to fixed income, in particular ABS. The Composite was created in February 2018. The Composite was formerly named Investment Grade Asset Backed Securities (to 2016) and ABS European Investment Grade Bond Composite (to 2019).

Benchmark

No benchmark is presented because the composite’s strategy is unique and we believe that no benchmark that reflects this strategy exists.

Fees

Returns are presented Gross and Net of the actual Annual Management Charge (AMC). The highest fee schedule for the composite is 0.75% per annum.

List of Composites

A list of all composite descriptions is available upon request.

Statistics

The number of portfolios and internal dispersion are not shown because there were five or fewer portfolios for all periods presented. The three-year annualized ex-post standard deviation of the composite is not presented because 36 monthly composite returns are not available.

Disclaimer

Past performance does not guarantee future results. Performance is shown inclusive of net reinvested income. The value of invested monies can increase or decrease and there is no guarantee that all or part of your invested capital can be returned. The performance data do not take account of the commissions and costs incurred on issue and redemption.

Insights

TwentyFour Asset Management
White Paper

UK ABS: Braced For a Boris Brexit

With the election of Boris Johnson as leader of the Conservative Party, and subsequently as the next UK prime minister, the chances of a ‘no-deal’ Brexit took a decisive tick upwards. We believe the UK ABS market will be an effective defensive holding against the deep uncertainty around the Brexit outcome, and one which could also offer some material spread upside given the premium currently being priced into UK assets.

Read more