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Analyse: iShares Barclays Capital Euro Corporate Bond ex-Financials 1-5 (DE)

Bitte keine Banken: Anleger, denen Finanztitel zu riskant sind, vermeiden mit diesem ETF Banken-Anleihen. Gleichzeitig gehen sie aber eine konzentrierte Wette auf Industrie-Bonds ein.

Lee Davidson 08.03.2013

Rolle im Portfolio

The iShares Barclays Capital Euro Corporate Bond ex-Financials 1-5 ETF offers investors exposure to EUR-denominated investment-grade corporate bonds with a 1-5y maturity issued by industrial and utility companies. Investors typically choose to invest in corporate bonds for their propensity to generate steady income streams at higher yields than government-issued debt and to be less volatile than equities. Within the corporate bond market, this ETF leans towards less risky offerings by limiting its duration and excluding financials, which tend to carry higher risk than industrial or utility companies.

Given the current low yield environment, particularly for shorter-dated maturities from top-rated issuers, investors looking to equitise their cash may find this short-dated corporate debt ETF a less suitable investment than medium-dated debt due to the latter's potential for higher returns. Going out further in the maturity spectrum poses additional risks in the form of greater duration and interest rate sensitivity, but also more possibility for upside appreciation if rates drop. This ETF tracks an index with an average maturity of around 2.85 and a modified duration of 2.6%.

Investors looking for a yield pick-up, but not willing to assume the volatility associated with equities, can consider this ETF suitable to be a satellite holding in a diversified fixed income portfolio, giving investors the means to boost overall returns. Investors can also utilise this ETF to overweight the non-financials segment of the corporate bond market. By underweighting financials, investors would be taking steps to minimise their risk exposure in the corporate bond market as financial corporate bonds tend to have higher credit spreads than other sectors.

Fundamentale Analyse

With the onset of the global financial crisis, banks and other financial institutions were suddenly grappling with shaky balance sheets and were forced to begin a painful deleveraging process. As private banks have begun to deleverage, traditional lending channels have become impaired as banks have grown less willing to lend. As a result, credit-worthy companies with healthy outlooks have been forced to issue short-term paper with greater regularity in order to access funding for investment and refinancing activities. While issuance declined in 2011 from 2010, highly volatile market conditions in the eurozone were likely to blame. In 2012, however, investment-grade corporate bond issuance rebounded strongly reaching a record USD 1.7 trn globally. In Europe, the issuance of new corporate bonds in 2012 reached a near record-high of USD 483 bn. Most likely, the surge in corporate bond issuance was due in part to positive sentiment following the European Central Bank's (ECB) liquidity actions in the early part of 2012 and the more recent assurances from the ECB that it would do "whatever it takes" to support the euro. Taking advantage of the lowest bond yields in decades, corporations are issuing higher-than-average volumes as opposed to seeking other financing sources.

Recent ECB policy has been increasingly accommodative. In the back half of 2011, acute financial market tensions prompted the ECB to cut its refinancing rate down to an historical low of 1%. However, as the eurozone has continued to struggle to regain a positive growth trajectory, the ECB saw fit to cut the rate further, down to 0.75% in July 2012.

In addition to low rates, the ECB has been active in its expanding role of lending operations over the past year. In late 2011 and continuing into early 2012, the ECB expanded its programme of non-standard liquidity provision measures with the inclusion of three-year long-term refinancing operations (LTROs) at full allotment against an expanded list of accepted collateral. The ECB hopes that the improved liquidity would help restore traditional bank lending facilities to economic agents. However, at this point, the ECB policies have done little to slow down the speed of corporate debt issuance. That said, assuming bank lending facilities normalise, then corporate bond issuance would likely mean-revert (e.g. steadily decrease towards long-term historical averages).

The global financial crisis indirectly caused a surge in the appeal of corporate bonds. Following drastic easing of monetary policy around Europe and the world, interest rates have clung to near-zero for the last four years. In such an environment, investors have been willing to take more risk to capitalise on the higher returns on offer from corporate bond issuers. However, more investors mean lower yields. The search for safety, in Europe especially, away from troubled government bond markets has contributed substantially to the driving down of corporate bond yields, especially for non-financial corporations. Credit spreads (i.e. the yield difference to notional lower risk assets such as AAA-rated government bonds) progressively tightened throughout 2012, but still remain above pre-crisis levels.

Indexkonstruktion

The Barclays Capital EUR Corporate Bond ex-Financials 1-5 Index measures the performance of fixed-rate investment-grade EUR-denominated corporate bonds from industrial and utility corporations issued in the Eurobond and Eurozone markets irrespective of issuing country. The index only considers issuances with maturity of at least one year and up to, but not including 5 years. Bonds with equity-type features as well as floating rate notes and private placements are excluded. There is no limit on the number of bonds eligible for the index. The distribution by sector is roughly 84% in industrials and 16% in utilities. Eligible bonds must have a minimum time to maturity of one year and a minimum outstanding of EUR 300mn. The relatively low minimum outstanding allows a broad geographical diversification in terms of issuers. However, Dutch and French issuers generally account for 45% of the index, both in terms of the actual number of constituents and value. Bonds are priced daily by Barclays Capital traders or third-party vendors. Analytical values are calculated daily on bid prices as of 16:15 London time. The index is rebalanced monthly on the last business day of the month. Income arising from coupon and redemptions is held in the index as non-invested cash until rebalancing when it is then removed from the index.

Fondskonstruktion

iShares uses physical replication to track the performance of the Barclays Capital EUR Corporate Bond ex-Financials 1-5 index. As the benchmark index of reference holds a fairly large number of components iShares uses statistical sampling in order to construct the fund. In terms of maturity distribution, the fund has a clear short-term maturity bias (e.g. around 55% of the fund constituents have a maturity below three years). The fund was launched in September 2009 and is domiciled in Ireland. This is a EUR-denominated ETF that distributes dividends on a semi-annual basis, with historical data showing a January-June/July payment pattern. As of February 2013, the tracking difference since the fund’s inception, measured in terms of annualised total returns after fees (note – the annual total expense ratio is 0.20%), stood at 0.10%. iShares may engage in securities lending in order to optimise the ETF’s tracking performance. BlackRock acts as investment manager on behalf of iShares. Lending operations are hedged by taking UCITS-approved collateral greater than the loan value and by revaluing loans and collateral on a daily basis. The collateral is held in a ringfenced account by a third party custodian. The degree of overcollateralisation is a function of the assets provided as collateral, but typically ranges from 102.5% to 112%. Lending revenue is split 60/40 between the ETF and BlackRock, respectively.

Gebühren

iShares charges a total expense ratio (TER) equal to 0.20% for this ETF, which is the average for ETFs offering exposure to the EUR-denominated non-financial corporate bond market.

Alternativen

As of this writing, there is no like-for-like competitor to the iShares BarCap Euro corporate ex-financials 1-5y ETF. Alternatives tend to focus on the whole rather than just the shorter-maturity spectrum of the corporate ex-financials debt market. Amongst these, the iShares Barclays Capital Euro Corporate Bond ex-Financials ETF (TER 0.20%) is the largest as measured in AUM terms.

Alternatives from other providers include the Lyxor Euro Corporate Bond ex Financials ETF, a swap-based product charging a TER of 0.20%. This Lyxor ETF tracks a different index (e.g. iBoxx Euro Liquid Corporate Non Financials) which restricts its bond universe to just 20 components in a bid to capture the most liquid segment of the non-financial segment of the EUR-denominated corporate bond market.

Lagging behind both iShares and Lyxor in liquidity terms we find the db x-trackers iBoxx EUR Liquid Corporate 100 Non-Financial ETF (TER 0.20%), the Amundi Euro Corporate ex-Financials iBoxx ETF (TER 0.16%) and the ETFlab iBoxx EUR Liquid Non-Financials Diversified ETF (TER 0.20%). The db x-trackers and Amundi funds are swap-based, while the ETFlab fund is physically replicated.

Über den Autor

Lee Davidson  is an ETF analyst with Morningstar Europe.