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High Yield Europe Defensive offers exposure to Europe crossover credit while controlling volatility and downside risk

Investment Theme

Defensive Strategies/ Income

Asset class



Defensive / Income


THEAM Quant High Yield Europe Defensive Fund seeks to provide yield through a Solvency II-friendly (Volatility control mechanism and Protection Overlay) exposure to High Yield Credit (Long exposure to iTraxx Crossover index).

Key points:

The Protection Overlay fully satisfies the criteria for a risk mitigation technique set in Art. 209 of the Delegated Regulation 2015/35 of 10 October 2014 to qualify as a Solvency II hedging program

  • Firstly, the strategy is systematic and rule-based.
  • Moreover, put options premium is fixed and can be financed by the revenue generated by the credit spread.
  • In addition, liquidity is ensured by BNP Paribas, who delivers the performance of  the BNP Paribas High Yield Europe Defensive TR Index and bears the risk of renewing the included protection.

Performance data and latest documents

Investments in the aforementioned strategies are subject to market fluctuation and risks inherent in investing in securities. The value of investments and the revenue they generate can increase or decrease and it is possible that investors will not recover their initial investment. Source: BNP Paribas Asset Management Holding, registered with the Paris Registry of Commerce and Companies under number 682 001 904 as a Limited Company with share capital of 23 041 936 euros. Registered office: 1 Boulevard Haussmann, 75009 Paris. Postal address: TSA 47000/75318 PARIS CEDEX 09