Rolle im Portfolio
The Amundi ETF Euro Corporates provides exposure to the EUR-denominated corporate bond market. Investors are attracted to investment-grade corporate bonds for the expected steady income at higher yields vis-à-vis government bonds of similar rating and an assumed lower risk profile vis-à-vis equity. The combination of yield pick-up and relative security makes this ETF a candidate to work as a satellite component of a fixed income investment portfolio, affording investors the means to enhance expected returns.
The vast majority of corporate debt issuers are located in developed economies. The index this ETF tracks (e.g. Markit iBoxx EUR Liquid Corporate) shows a rough 50/50 split between financial and non-financial holdings. The index restricts its bond universe to the most liquid issues, which tend to be from large-cap corporations with ratings not veering significantly from those of government bonds. This is likely to curb yield pick-up potential vis-à-vis ETFs tracking corporate bond market indices encompassing a wider universe and thus with a higher risk profile. As such, the yield-enhancing potential of this ETF would perhaps be best suited within a risk-averse core fixed income portfolio made up of top rated government bond ETFs, which would tend to offer the lowest yields within the broad government bond market.
Fundamentale Analyse
As a result of the severe impairment of traditional banking lending channels since the onset of the global financial crisis, investment-grade rated corporations, both financial and non-financial, have had little option but to raise funds both for investment and refinancing purposes directly in the market via publicly-subscribed bonds.
Despite monetary authorities’ efforts to boost money supply--not to mention the burden of cleaning up private banks’ balance sheets which has been forced upon taxpayers, the banking sector in the world’s developed economies – particularly so in the Eurozone – continues to retain a fairly high level of risk aversion when it comes to re-opening the lending tap. Some, but certainly not all, of this behavioural pattern can be reasoned on regulatory changes (e.g. Basel III). This general backdrop may allow for above-average corporate bond issuance for the foreseeable future. Having said this, periods of highly volatile financial market conditions in the Eurozone (e.g. H2-11 or Q2-12) have routinely translated into a significant drop in EUR-denominated corporate bond issuance. In the long run, and on the assumption that bank lending eventually normalises, one would expect general mean-reversion (e.g. a decrease towards historical average issuance levels) to kick in.
Investor interest in the corporate bond market has grown substantially since the onset of the financial crisis. The search for safety away from troubled government bond markets has pushed corporate bond yields – particularly those of non-financial corporations – down by a sizeable measure (e.g. EUR-denominated investment grade corporate bond yields stood at 2.70% on average in October 2012 vs. 7.20% in January 2009). However, despite this decline in yields, credit spreads (i.e. the yield difference to notional lower risk assets such as AAA-rated government bonds) do remain in positive terrain. Amongst corporate bond asset classes, financial debt usually has the highest credit spreads, followed by industrial and utility companies.
Indexkonstruktion
The Markit iBoxx EUR Liquid Corporate Bond Index measures the performance of the most liquid EUR-denominated corporate bonds with investment grade rating, irrespective of issuing country. Liquid indices are subsets of iBoxx benchmark indices and are designed for derivatives and ETFs. Eligible bonds for this index must have a minimum remaining maturity of 1.5 years and minimum outstanding of EUR 750mn. The maximum number of bonds is 40, with no more than one bond from the same issuer. The index’s statistical weight split is a broad 50/50 between financials and non-financials. The Netherlands, UK and US tend to be the top three countries represented, with issues from these corporations located in these nations generally comprising around 50-60% of the index value. This reflects global trends in corporate bond issuance, with these three countries having a large pension fund customer base for this product. Index calculation is based on bid/ask quotes provided by contributing banks. Analytical values are calculated daily on closing prices. The index is weighted by market capitalisation. Coupon cash is invested at the end of each month in the money market at one-month LIBID (EURIBOR less 12.5 basis points). The index is rebalanced quarterly on the last calendar day of February, May, August and November.
Fondskonstruktion
Amundi uses synthetic replication to track the performance of the Markit iBoxx Liquid Corporate Bond Index. This ETF was launched in June 2009 and is domiciled in France. This ETF does not distribute dividends. Amundi uses the unfunded swap model for its range of ETFs. The ETF uses investors’ cash to buy a basket of securities (ie. substitute basket) and simultaneously enters into an OTC total return swap agreement with a counterparty in order to receive the performance of the benchmark index of reference (net of fees) in exchange for that of the substitute basket. According to our research, the swap counterparty for Amundi’s range of fixed income ETFs is Societe Generale. The substitute baskets for Amundi’s range of fixed income ETFs tends to be made up mainly of investment grade government bonds issued by OECD countries. To a lesser extent, Amundi can also invest in investment grade corporate and covered bonds from the same group of issuing countries. In any case, correlation between the securities included in the substitute basket and those of the underlying index is not a factor taken into consideration. The substitute basket is held in a segregated account with third party custodian CACEIS Bank and monitored daily by Amundi’s asset managers. The composition of the substitute basket is disclosed on Amundi’s website. According to UCITS III regulations, individual counterparty risk exposure is limited to 10% of the fund’s NAV at any point in time. According to our research Amundi has a target of zero counterparty exposure. This means that swaps are reset whenever their marked-to-market value becomes positive. We understand that Amundi’s policy is not to engage in securities lending.
Gebühren
The total annual expense ratio (TER) is 0.16%. This is below the average TER of 0.20% for ETFs offering exposure to the EUR-denominated corporate bond market. Additional costs potentially borne by investors and not included in the TER include bid/offer spreads and brokerage fees when buy/sell orders are placed for ETF shares.
Alternativen
Measured in terms of assets under management (AUM), Amundi takes third place after iShares and Lyxor in the ranking of providers offering ETFs to the wider EUR-denominated corporate bond market. The two undisputed leaders in this segment are the physically replicated iShares Markit iBoxx Euro Corporate Bond ETF (TER 0.20%) and the iShares BarCap Euro Corporate Bond ETF (TER 0.20%) with AUM of over EUR 3.3bn and EUR 1.6bn respectively as we write. The key difference between these two iShares funds resides in the index they track, with the Barclays Capital benchmark encompassing a much wider number of components. The Lyxor ETF Euro Corporate Bond ETF (TER 0.20%) remains the most popular synthetic offering, with AUM closing in to EUR 0.6bn. The Lyxor ETF tracks the same underlying index than the Amundi fund.
