European ABS

Strategy description

The NN (L) Flex European ABS fund is an actively managed fund that invests in Asset Backed Securities (ABS) in Core and Peripheral Europe. The targeted average rating of the fund is A/A2 and all investments are at least investment-grade rated.

The investment universe of the European ABS fund exists of Investment-grade rated European ABS coming from both Peripheral and Core Europe. This could be Senior and Mezzanine tranches. Examples in this space are Spanish Residential Mortgage Backed Securities (RMBS), French Auto Loans and Italian Small & Medium Enterprises (SMEs).

The strategy seeks to identify opportunities within the European Securitised Investments Universe, using an active management approach in an aim to generate attractive returns. The credit quality is an important driver in every investment decision the team takes.

Objective

The investment objective is to preserve capital and outperform the 3M Euribor benchmark over the medium term horizon.

Key facts

Investment objective Preserve capital and outperform 3M EURIBOR (Total Return) over the medium term horizon
Coupon Floating Rate
Benchmark 3M EURIBOR (Total Return)
Established April 2014 (successor to a Dutch Basis Fonds that was established in 2000)
Investment Universe European Investment Grade Securitised Investments – in EUR or hedged to EUR. Portfolio includes a 10% “liquidity bucket” provided by “plain vanilla” AAA/AA rated Securitised Investments
Investment Style A “Top Down” approach to sector allocation is complimented by a “Bottom Up” approach to the in-depth fundamental analysis of individual transactions
Diversification Portfolio diversification provided at regional, sector, and individual instrument level. Strategy typically holds 50-70 lines
Alpha Sources
  • Active management of the investment portfolio
  • Well-informed fundamental analysis driving stock picking in relation to individual investments
  • Accessing opportunities resulting from dislocations in the market for securitised investments
  • Using the expertise and experience of the team to identify “diamonds in the dust” in Peripheral Europe
Benefits
  • AIFMD (UCITS eligible) Luxembourg-domiciled fund with daily NAV and bi-weekly liquidity 
  • Fund product is designed to benefit from dislocations in the European markets for Investment Grade Securitised Investments
  • Fund combines Investment Grade credit quality with an active management approach to generate attractive returns
  • Attractive as a stand-alone investment opportunity, or as part of a “Multicredit” strateg 
  • All currency or interest rate risks are fully hedged

NN Investment Partners

+44 (0) 207 382 1332


Key elements

  • Floating rate nature
  • Risk Diversification
  • Long-term Experience
  • Investment Grade Rating

Documents

Sector allocation is combined with an in-depth fundamental analysis of all individual transactions. These “Top Down” and “Bottom Up” approaches complement each other and drive a “stock picking” approach that seeks both to avoid a downgrade or default and to anticipate performance developments. The aim is to generate and preserve long-term excess returns. The team has typically avoided problem sectors and/ or issuers in the past and has experienced no defaults since the first investments were done in the late nineties. Important contributors to this achievement have been the high quality system capabilities (both for portfolio management and for analysis) and proven investment process.

NN Investment Partners

+44 (0) 207 382 1332


Key elements

  • Floating rate nature
  • Risk Diversification
  • Long-term Experience
  • Investment Grade Rating

Documents

Hon-Cheung Man

Hon-Cheung Man

Senior Portfolio Manager

Experience since 2005

Wouter van der Grinten

Wouter van der Grinten

Securitised Investments Analyst

Experience since 2013

NN Investment Partners

+44 (0) 207 382 1332


Key elements

  • Floating rate nature
  • Risk Diversification
  • Long-term Experience
  • Investment Grade Rating

Documents