BNP AM

The bank for a changing world

The fund aims to provide capital growth via exposure to European high-yield credit whilst controlling for volatility and minimising drawdown.

Investment Theme

Defensive Strategies

Asset class

Equity

Style

Income

Fund Objective:

The THEAM Quant High Yield Europe Defensive fund seeks to provide capital growth by being exposed to a long position on European high-yield credit and by implementing a dynamic defensive swaption overlay strategy, which aims at mitigating risk by reducing volatility and drawdown in the fund.

Key Points:

  • Systematic and rule-based strategy providing transparent, synthetic exposure to pure high yield Europe credit.
  • Solvency II-friendly: SCR costs are comparable to Investment-Grade Credit with the same duration.
  • Strategy also consists of a defensive overlay, aimed at providing downside protection in case of severe credit-spread widening, at reduced costs over the long term.

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.

Performance data and latest documents

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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