Transcription
FOR ISSUE IN THE UK AND EU. FOR PROFESSIONAL CLIENTS AND QUALIFIED INVESTORS ONLYNOT TO BE REPRODUCED WITHOUT PRIOR WRITTEN APPROVALPLEASE REFER TO ALL RISK DISCLOSURES AT THE BACK OF THIS DOCUMENTFUND PROFILEGLOBAL ABSOPPORTUNITYSNAPSHOTThe global asset-backed security (ABS) market can provideinvestors with a valuable source of high quality securedcashflows. Compelling prospective risk-adjusted returns: Investorshave the potential to benefit from credit spreads that reflectthe assets' complexity versus comparably-rated corporatebonds, rather than additional credit risks. Structural protection: Investment grade ABS tranchestypically feature structural protections such as creditenhancement and security against hard assets, both ofwhich can protect investors even in the event of significantlosses on the underlying loan pools. Diversification of credit exposure: ABS can offerdiversification against an investor's more traditionalcorporate bond holdings, by providing exposure to areassuch as residential and commercial real estate, consumerfinancing and secured corporate lending. Global portfolio: A global strategy can take advantage of thefull universe of ABS opportunities. This allows for optimaldiversification and maximum flexibility in exploiting relativevalue opportunities within and across regions Floating rate returns: The Fund can generate floating rateincome in a rising rate environment, and can also lend itselfto generating a return potentially above the funding cost of aswap or UK government bond-based hedging strategy withina liability-driven investment (LDI) solution.InvestmentstrategyInvests in a globally diversified portfolio of highquality asset-backed securitiesBenchmarkSONIAInvestmentuniverseGlobal ABS opportunities which are more seniorin the capital structure and backed by portfoliosof real assets. Examples include residentialmortgage-backed securities, commercialmortgage-backed securities, collateralised loanobligations (CLOs – including small and mediumsized entity structures) and student loan ABSacross both floating and fixed rate bonds.Credit qualityMinimum weighted average ‘A’ rated portfolioEU risk retentioncomplianceFully complies with EU risk retention requirementsand regulationsCashflowsPrimarily floating rate cashflowsLiquidityDailyFund ManagersShaheer Guirguis, Head of Secured Finance, andPritesh Solanki, Portfolio Manager, SecuredFinanceMinimuminvestment1 1m/ 1m (Class A shares) 10m/ 10m (Class B)sharesBase currencyGBPGLOBAL AND HIGH GRADE ABS TRACK RECORD2GLOBAL ABS PERFORMANCE RECORD TO 31 MARCH 20223Global ABS Fund 0––2021-20222020-20212019-20202018-2019Global ABS Fund (GBP)0.378.56-5.39–SONIA0.140.060.74–The Global ABS Fund track record constitutes performance over 2 twelve-month rolling return cycles and should be meaningfullyassessed over a longer time-period. The Global ABS Fund is run by the same investment team and with the same process as our HighGrade ABS Fund, which also invests in global ABS with more of a focus on Europe. The returns of the Global ABS Fund may differ1Subscriptions from new shareholders are currently restricted, and a maximum limit applies to subscriptions from existing shareholdersinto the Fund. Please contact your Insight representative for more information.2 Source: Insight as at 31 March 2022. The Insight High Grade ABS Fund is gross of fees and in GBP. All returns over one year areannualised. Benchmark: SONIA from 2 January 2020, previously 3-month GBP LIBOR. Inception date: 07 December 2007.3 Returns shown gross of fees. The Insight High Grade ABS Fund (GLOABSUP) is in GBP. Inception date: 10 May 2018.
materially from the High Grade ABS Fund. The High Grade ABS Fund has a track record of over 10 years and has delivered positiveabsolute returns in every full calendar year with no defaults or performance-related downgrades since launch in 20074.Risk statistics: Tracking error (3 years): 3.84%, Information ratio (3 years): 0.36.HIGH GRADE ABS PERFORMANCE RECORD TO 31 MARCH 14Insight High Grade ABS Fund (GBP)INVESTMENT STRATEGY6Figure 1: Fund portfolio ratings, jurisdiction and asset TMENT PROCESSThe Global ABS Fund invests primarily in investment grade ABSon a global basis, with the main opportunity set in European, UK,US and Australian markets. All non-base currency exposure isfully hedged.Credit ratingAAA 42.8%AA 23.5%A 24.9%BBB 8.5%Sub-investment grade 0.3%JurisdictionUK 29.3%Pan-Europe 28.6%US 9.3%Australia 4.8%Ireland 4.3%Spain 1.8%Germany 1.1%Netherlands 0.8%Italy 0.8%Canada 0.7%Finland 0.1%Cash 17.8%Asset type2013There are four stages to our investment process for our ABSportfolios.Asset screening: The scope of the global opportunity set meanswe can screen out a large proportion of the investible universeto focus our coverage on preferred sectors and risk.Qualitative analysis: We analyse top-down economic factorsaffecting the performance of ABS collateral, such as but notrestricted to, unemployment rates, property prices and interestrates. We also consider the credit quality of the originating bankor financial institution as part of our bottom-up analysis,including how they service cashflows of performing and nonperforming borrowers.This is complemented by a rigorous bottom-up approachassessing the characteristics of a bond’s collateral, such as loanto-value (LTV) ratios on mortgage pools, borrowers’ debt-toincome ratios, geographic spread of borrowers and historicalcollateral performance.Our access to proprietary macroeconomic forecasting tools andour deep understanding of mortgage-originating practicesallows us to select what we believe to be the highest-qualityinvestments.Quantitative analysis: We price investments using quantitativemodels to predict the impact of our qualitative assessments oncollateral pools, stress testing each deal to understand the levelof economic stress they will likely be able to withstand.Proactive monitoring: Our surveillance systems enable us topinpoint potential problems quickly, allowing us to exit positionsin a timely fashion.Collateralised Loan Obl. 31.2%Non-conforming RMBS 16.0%Commercial MBS 10.4%Residential MBS (RMBS) 6.6%Buy-to-let RMBS 4.6%Autos 2.6%Non-performing finance 2.3%Credit cards 2.3%Consumer 2.2%Aircraft finance 2.1%Residential finance 0.7%Student loans 0.6%SME finance 0.2%Receivables 0.1%Whole Business Sec. 0.1%Cash 17.8%Source: Insight as at 31 March 2022.Returns shown gross of fees. The Insight High Grade ABS Fund (ILPLDXUP) is in GBP. Inception date: 07 December 2007.6 Model figures have certain inherent limitations. Clients’ actual results may be materially different than the model results presented.7Source: Insight as at 31 March 2022.5
THE TEAM8 Insight’s Secured Finance Team is a specialist team of globalinvestment professionals overseeing approximately 17.4bnof secured lending across global residential mortgages,supply chain finance, commercial real estate loans, corporateloans, ABS and CLOs. Led by Shaheer Guirguis, the team hascomplementary experience of secured finance transactionsacross market segments, transaction stage (e.g. origination,underwriting, valuation, structuring and modelling) andportfolio management. The Secured Finance Team is supported by the skills andcapabilities of Insight’s Fixed Income Group, of which theTeam is a part. The Fixed Income Group numbers 168investment professionals, together managing over 224.0bnof fixed income and money market assets. Within the Group,investment professionals’ average industry experience is19 years. Insight’s Fixed Income Group is built on specialist knowledge,experience and organised into specialist units, which enablesus to maintain the diversity and precision which lies at theheart of our investment philosophy and long-term trackrecord.A summary of the key risks and considerations our process seeks to identify are included in Figure 2 below.Figure 2: Risks and considerationsUnderlying assetsType and quality of collateralUnderwritingQuality of the originating bank’s underwritingCapital structureSeniority of the trancheCredit enhancementType and structure of any credit enhancementServicingQuality of the servicerJurisdictionHow creditor friendly is the jurisdiction e.g. strong incentives to keep paying the mortgagePre-payment riskFactors that may result in principal being repaid earlier or later than expectedMarket riskLiquidity and mark to market riskINSIGHT’S SECURED FINANCE OFFERING9A comparison of Insight’s strategies, all of which are EU Risk Retention compliant, is provided in the table below:Liquid ABSHigh Grade ABS10Global ABSSecured Finance(soft closed)11Secured Finance ed credit100%95%95%60%60%Secured loans0%5%5%40%40%Geographic focusEuropeEuropeGlobalGlobalGlobalWeighted average maturity1.7 years2.9 years3.2 years2.6 years3.2 yearsSpread over benchmark 75bp 120bp 170bp 364bp 292bpCurrent average ratingAAAAA AA-AA8Source: Insight as at 31 March 2022.As at 31 March 2022.10 Previously named LIBOR Plus. It was renamed High Grade ABS on 2 January 2020.11 Investments into this strategy are currently restricted. Please contact your relationship manager for up-to-date details. The currentholdings of existing investors are not affected. Investors are able to sell all or part of an existing holding as normal.12From 2 January 2020, previously 3-month GBP LIBOR.9
ABOUT INSIGHT INVESTMENT13Insight has, over the past 15 years, built a unique investment platform that delivers outcome-oriented investment solutions to ourclients: We currently manage 817bn in assets under management(AUM). Our clients are among the most sophisticated institutionalinvestors in the world and include leading pension funds,sovereign wealth funds, corporations and insurers. We build portfolios aimed at an outcome, in partnership withclients. Our investment strategies are designed to evolve tomeet changing needs and stay ahead of marketdevelopments. We were among the first asset managers to bringinstitutional-quality processes and transparency to absolutereturn investing. Insight is at the forefront of developing new ways ofinvesting, providing institutional investors with access toinnovative investment strategies, coupled with robust riskmanagement techniques. We were a pioneer in recognisingthe unrewarded nature of currency risk and the importance ofliabilities. Liability-driven investment (LDI) has been asignificant contributor to protecting funding levels forpension funds over the past decade.FUND DETAILSInvestment strategyInvests in a globally diversified portfolio of high- quality asset-backed securitiesBenchmarkSONIALaunch date10 May 2018Investment universeGlobal ABS opportunities which are more senior in the capital structure and backed by portfolios of real assets. Examplesinclude residential mortgage-backed securities, commercial mortgage-backed securities, collateralised loan obligations(CLOs – including small and medium-sized entity structures) and student loan ABS across both floating and fixed rate bonds.Credit qualityMinimum weighted average ‘A’ rated portfolioEU risk retentioncomplianceFully complies with EU risk retention requirements and regulationsCashflowsPrimarily floating rate cashflowsLiquidityDailyFund structureQIAIFFund ManagersMinimum investmentShaheer Guirguis, Head of Secured Finance, and Pritesh Solanki, Portfolio Manager, Secured Finance14Base currency 1m/ 1m (Class A shares) 10m/ 10m (Class B) sharesGBPAnnual management fee 35bpAllocation restrictions Minimum average ratingMinimum individual security ratingMaximum portfolio WALMaximum interest rate durationABB7-years2-yearsSector restrictions Maximum investment in CLOsMaximum CMBSMaximum USMaximum AustraliaMaximum Loans50%50%50%50%5%Prohibited assets Collateralised debt obligations of US sub-prime residential mortgages Structured investment vehicle capital notes Manufactured housing-backed debt13As at 31 March 2022. Assets under management (AUM) are represented by the value of cash securities and other economic exposuremanaged for clients. Figures shown in GBP. Reflects the AUM of Insight, the corporate brand for certain companies operated by InsightInvestment Management Limited (IIML). Insight includes, among others, Insight Investment Management (Global) Limited (IIMG), InsightInvestment International Limited (IIIL), Insight Investment Management (Europe) Limited (IIMEL) and Insight North America LLC (INA),each of which provides asset management services.14 Subscriptions from new shareholders are currently restricted, and a maximum limit applies to subscriptions from existingshareholders into the Fund. Please contact your Insight representative for more information.
IMPORTANT INFORMATIONTEN-YEAR PERFORMANCE RECORD TO 31 MARCH 2022Calendar year 0122013Insight High Grade ABS Fund IA0.140.060.740.800.410.440.580.550.520.69Insight High Grade ABS Fund (GBP)SONIA12-month rolling returnsPlease refer to the following risk disclosures. Returns shown gross of fees. The Insight High Grade ABS Fund (ILPLDXUP) is in GBP.Inception date: 07 December 2007.RISK DISCLOSURESPast performance is not indicative of future results. Investment in any strategy involves a risk of loss which may partly be due toexchange rate fluctuations.The performance results shown, whether net or gross of investment management fees, reflect the reinvestment of dividends and/orincome and other earnings. Any gross of fees performance does not include fees, taxes and charges and these can have a materialdetrimental effect on the performance of an investment. Taxes and certain charges, such as currency conversion charges may dependon the individual situation of each investor and are subject to change in future.Any target performance aims are not a guarantee, may not be achieved and a capital loss may occur. The scenarios presented are anestimate of future performance based on evidence from the past on how the value of this investment varies over time, and/or prevailingmarket conditions and are not an exact indicator. They are speculative in nature and are only an estimate. What you will get will varydepending on how the market performs and how long you keep the investment/product. Strategies which have a higher performanceaim generally take more risk to achieve this and so have a greater potential for the returns to be significantly different than expected.Any projections or forecasts contained herein are based upon certain assumptions considered reasonable. Projections are speculativein nature and some or all of the assumptions underlying the projections may not materialize or vary significantly from the actual results.Accordingly, the projections are only an estimate.Portfolio holdings are subject to change, for information only and are not investment recommendations.ASSOCIATED INVESTMENT RISKSIIFIG Global ABS Fund The issuer of a debt security may not pay income or repay capital to the bondholder when due. Investments in emerging markets can be less liquid and riskier than more developed markets and difficulties in accounting, dealing,settlement and custody may arise. Investments in bonds are affected by interest rates and inflation trends which may affect the value of the portfolio. Where high yield instruments are held, their low credit rating indicates a greater risk of default, which would affect the value of theportfolio. The investment manager may invest in instruments which can be difficult to sell when markets are stressed. The specific collateral used to secure a loan may decline in value or become illiquid, which would adversely affect the loan’s value.Also, many loans are not actively traded, which may impair the ability of the portfolio to realise full value in the event of the need toliquidate such assets. Exposure to international markets means exposure to changes in currency rates which could affect the value of the portfolio.VOLCKER DISCLOSURESThe fund described in this document meets the definition of a covered fund under Volcker regulations, that is, a domestic or foreignhedge fund, private equity fund, venture capital fund, commodity pool or alternative investment fund (AIF) that is sold in a private,restricted or unregistered offering to investors who must meet certain net worth, income or sophistication standards or is sold to arestricted number of investors. Generally, any such fund is not registered with a securities/commodity regulator and therefore cannotbe offered to the general or retail public unless the investor meets some type of qualification to demonstrate the investor doesn’t needthe protection of the securities or commodities regulations. Any losses in the fund will be borne solely by investors in the fund and not by BNY Mellon (including its affiliates); thereforeBNY Mellon’s losses in the fund will be limited to losses attributable to the ownership interests in the fund held by BNY Mellonand any affiliate in its capacity as an investor in the fund or as beneficiary of a restricted profit interest held by BNY Mellon orany affiliate. Ownership interests in the fund are not insured by the FDIC, are not deposits, obligations of, or endorsed or guaranteed inany way, by BNY Mellon. Neither BNY Mellon nor any of its controlled affiliates (which includes the fund’s general manager/managing partner/ investment adviser), may directly or indirectly, guarantee, assume, or otherwise insure the obligations orperformance of the fund or of any other covered fund in which the fund invests. Investors should read the fund’s offering documents before investing in the fund. Information about the role of BNY Mellon,its controlled affiliates, and their employees in sponsoring or providing services to the fund are described in the Volcker Rulesection of the offering documents.
Institutional Business om 44 20 7321 1552Consultant Relationship m 44 20 7321 1023European Business Developmenteurope@insightinvestment.com 49 69 12014 2650 44 20 7321 insightinvestment.comThis document is a financial promotion and is not investment advice. Unless otherwise attributed the views and opinions expressed arethose of Insight Investment at the time of publication and are subject to change. This document may not be used for the purposes of anoffer or solicitation to anyone in any jurisdiction in which such offer or solicitation is not authorised or to any person to whom it isunlawful to make such offer or solicitation. Insight does not provide tax or legal advice to its clients and all investors are strongly urgedto seek professional advice regarding any potential strategy or investment. Telephone conversations may be recorded in accordancewith applicable laws.For clients and prospects of Insight Investment Management (Global) Limited: Issued by Insight Investment Management (Global)Limited. Registered office 160 Queen Victoria Street, London EC4V 4LA. Registered in England and Wales. Registered number00827982. Authorised and regulated by the Financial Conduct Authority. FCA Firm reference number 119308.For clients and prospects of Insight Investment Management (Europe) Limited: Issued by Insight Investment Management (Europe)Limited. Registered office Riverside Two, 43-49 Sir John Rogerson’s Quay, Dublin, D02 KV60. Registered in Ireland. Registered number581405. Insight Investment Management (Europe) Limited is regulated by the Central Bank of Ireland. CBI reference number C154503. 2022 Insight Investment. All rights reserved.CS047 UK -EU
mortgage-backed securities, collateralised loan obligations (CLOs - including small and medium-sized entity structures) and student loan ABS across both floating and fixed rate bonds. Credit quality Minimum weighted average 'A' rated portfolio EU risk retention compliance Fully complies with EU risk retention requirements and regulations
