Open Category List

We have been asked why the performances of the fund are trailing to the Bloomberg Barclays AT1 CoCo Index

  • Home
  • /
  • February 2020
  • /
  • We have been asked why the performances of the fund are trailing to the Bloomberg Barclays AT1 CoCo Index

Context: The EUR fund has been performing differently than the USD fund when compared to the Bloomberg Barclays AT1 CoCo indexes EUR and USD respectively

The difference in performance between the EUR fund and USD fund when compared to the AT1 coco EUR and USD indexes respectively are mainly due to the higher proportion of high beta names in the EUR AT1 CoCo Index. While the USD AT1 CoCo index is dominated by the higher quality names that we hold like HSBC, UBS, CS, etc (and therefore is a closer proxy of the AT1s we hold in the USD Fund), over the past few years we have seen more lower quality/higher beta issuance in EUR AT1 CoCos. In particular this has been either smaller names or peripheral names (Italy/Spain), of which we have obviously stayed away from given the weaker fundamentals (15% of the index is now Italy and 28% Spain). Nevertheless, as sentiment has been very strong, these names have outperformed the higher quality names. For example, see the chart below comparing the performance of a few second-tier peripheral names (Banco BPM, an Italian bank or Bankia a Spanish Bank) against Rabobank or HSBC. As these weaker names in the Periphery are more exposed to idiosyncratic events as well as political issues (Italy for example) – this can lead to very poor outcomes for bondholders (Banco Popular for example) as well as very high volatility (see the chart of Monte dei Paschi’s Tier 2 falling to 45% in early 2019).



  • Please read this important legal information before proceeding.

    Information contained herein are solely for the use of the person who has accessed this information and may not be reproduced or distributed, even partially, to any other person or entity.

    The material contained herein is confidential and intended solely for the use of the persons or entities with nationality of or respectively with their residence, domicile, registered office or effective administration in a State or Country in which distribution, publication, making available or use of the information is not contrary to applicable laws or any other regulation.

    The material contained herein is aimed at sophisticated, professional, eligible, institutional and/or qualified investors/intermediaries who have the knowledge and financial sophistication to understand and bear the risks associated with the investments described.

    The information is solely product-related and does not take into account any personal circumstances and does not qualify as general or personal investment recommendation or advice. In particular, the information is given by way of information only and does not constitute a specific legal offer for the purchase or sale of financial instruments. Moreover, nothing contained herein is constitutive of any tax advice.

    Every effort has been made to ensure the accuracy of the financial information herein but the information contained herein has not been independently reviewed or verified. Therefore, Atlanticomnium SA gives no assurance, express or implied, as to whether such information is accurate, true or complete and no responsibility is accepted by Atlanticomnium SA for any errors or omissions. Third-party content is the property of its respective provider or its licensor and is protected by applicable copyright law.

    Past performance is not indicative of future performance. The price of shares/units and the income from the funds/trusts can go down as well as up and may be affected by changes in rates of exchange or financial markets fluctuation, out of the scope of Atlanticomnium SA.

    To the fullest extent permitted by law, in no event shall Atlanticomnium SA or our affiliates, or any of our directors, employees, contractors, service providers or agents have any liability whatsoever to any person for any direct or indirect loss, liability, cost, claim, expense or damage of any kind, whether in contract or in tort, including negligence, or otherwise, arising out of or related to the use of the information provided.