The key difference between the EUR and USD fund performance is that EUR-denominated subordinated debt has underperformed USD-denominated subordinated debt, even for the same issuers. Taking AT1 CoCos as an example, you can see below that EUR AT1 CoCos are down 5% year-to-date, compared to USD AT1 CoCos that are up around 2% year-to-date (7% differential).
Obviously, the decline in rates in USD has helped USD bonds perform better, but spreads have also recovered to a larger extent in USD. Spreads on EUR AT1 CoCos are still 230 bps wider year-to-date, while only 160 bps wider on USD AT1 CoCos. In short, USD AT1s have recovered more rapidly and benefitted from the rates tailwind. Forward-looking, it means that EUR AT1s have scope to outperform USD AT1s, as it is fair to expect that over time, this spread differential should normalize.