Rolle im Portfolio
The iShares Markit iBoxx USD Corporate Bond ETF offers investors exposure to the USD-denominated corporate bond market, both from financial and non-financial corporations. Investors are traditionally attracted to investment-grade corporate bonds for the expected steady income at higher yields yields vis-à-vis government bonds of similar rating and an assumed lower risk profile vis-à-vis equity. The corporate bond market in the US is underpinned by solid demand from the likes of pension funds, thus making it larger and more liquid relative to those in other geographical areas.
Unless pursuing a US-centric investment strategy, European-based investors are likely to use this USD-denominated dividend-distributing ETF as a satellite element in a fixed income portfolio. Aside from foreign exchange considerations, investors also have to account for interest risk. Demand from the domestic pension fund community biases US corporate bond issuance towards the long-end of the maturity spectrum. As a result, this ETF tracks an index with medium-to-high maturity and duration metrics. This makes it vulnerable to proportionally higher capital losses relative to shorter duration funds at times of rising interest rates.
This ETF tracks an index which restricts its bond universe to the most liquid issues, which tend to be from large-cap corporations with ratings not differing significantly from those of government bonds. However, as the bulk of US corporate bond issuance is long-dated, there is a structural case for a substantial yield pick-up.
Fundamentale Analyse
As a result of the severe impairment of traditional banking lending channels since the onset of the global financial crisis, investment-grade rated corporations, both financial and non-financial, have had little option but to raise funds both for investment and refinancing purposes directly in the market via publicly-subscribed bonds.
Despite monetary authorities’ efforts to boost money supply--not to mention the burden of cleaning up private banks’ balance sheets, which has been forced upon taxpayers--the banking sector in the world’s developed economies continues to retain a fairly high level of risk aversion when it comes to re-opening the lending tap. Some, but certainly not all, of this behavioural pattern can be reasoned on upcoming regulatory changes (e.g. Basel III). This general backdrop may allow for steady above-average corporate bond issuance for some time to come, but in the longer run, assuming banking lending normalises, one would expect mean-reversion to kick in. However, the corporate bond market in the UK should continue to be well supported on steady demand from the likes of pension funds.
Investor interest in the corporate bond market has grown substantially since the onset of the financial crisis. The search for safety away from troubled government bond markets has pushed corporate bond yields down by a sizeable measure (e.g. USD-denominated investment grade corporate bond yields stood at 4.50% on average in January 2012 vs. 7.60% in January 2009). Besides, the relative stability of the US market vs. the more volatile conditions in other markets (e.g Eurozone) have made for more favourable issuance conditions for USD-denominated corporate bonds. In any case, credit spreads (i.e. the yield difference to notional lower risk assets such as AAA-rated government bonds) still remain above pre-crisis levels. Amongst corporate bond asset classes, financial debt usually has the highest credit spreads, followed by industrial and utility companies.
Indexkonstruktion
The Markit iBoxx USD Liquid Investment Grade Top 30 Index measures the performance of the largest and most liquid USD-denominated corporate bonds with investment grade rating, irrespective of issuing country. Liquid indices are subsets of the iBoxx benchmark indices and have been specifically designed for derivatives and ETFs. In addition to the rules governing the iBoxx benchmark indices, additional selection criteria are applied. For the iBoxx USD Liquid Investment Grade Top 30 Index, bonds must have a minimum remaining maturity of 2 years and a minimum outstanding of USD 1bn. The maximum number of bonds in the index is 30, chosen from the largest overall issuers included in the broad iBoxx USD Corporate Bond Index. The index tends to show a 50/50 Financials/Non-Financials split in statistical weights terms. Index calculation is based on bid/ask quotes provided by contributing banks. Index analytical values are calculated daily on the basis of closing prices. The index is weighted by market capitalisation. Cash from coupon payments is invested at the end of each month in the money market at a rate of one-month LIBID (USD one-month LIBOR less 12.5 basis points). The index is rebalanced quarterly on the last calendar day of February, May, August and November.
Fondskonstruktion
iShares uses physical replication to track the performance of the Markit iBoxx USD Liquid Investment Grade Top 30 Index. Although the index components are limited to 30, the ETF’s basket of constituents holds a larger number (e.g. 59 as of this writing). The ETF is fully replicated, if by that one understands that the basket generally holds all the index constituents while keeping the statistical weightings of the issuing countries and economic sectors broadly in proportion to those of the index. However, by holding additional bonds, both from issuers represented the underlying index as well as others, iShares aims at increasing diversification. In fact, the ETF prospectus readily describes the construction methodology as “sampling” rather than “full replication”. The fund was launched in May 2003 and is domiciled in Ireland. As of end January 2012, the tracking difference since the fund’s inception, measured in terms of annualised total returns after fees (note – the total annual expense ratio is 0.20%) stood at 0.22%. Historical performance data shows that tracking difference has increased since the ETF switched to its current benchmark index from the broader iBoxx USD Liquid Investment Grade to the Top 30 in December 2007. This ETF distributes dividends on a quarterly basis, with historical data showing a Mar-Jun-Sep-Dec payment pattern. 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
The total annual expense ratio (TER) is 0.20%. This is average for European-domiciled ETFs offering exposure to the corporate bond market.
Alternativen
As we write (e.g. late February 2012) and according to our research, iShares remains the sole European ETP provider to market an ETF offering 100% exposure to the USD-denominated corporate bond market.
Until May 2011 European investors seeking alternatives had no choice but to consider a US-domiciled fund, while seeking advice on likely tax implications. In May 2011 State Street came to the marketplace with the SPDR Barclays Capital US Aggregate Bond ETF (TER 0.20%), a physically-replicated fund, which although not a like-for-like alternative, does offer partial exposure to the US corporate bond market. Its assets under management are a fraction of those in the iShares ETF, and would-be investors would also gain exposure to non-corporate bonds (e.g. government, agency).
