Ossiam cross-lists smart beta corporate bond ETF on Deutsche Börse

Feb 28th, 2018 | By | Category: Fixed Income

Ossiam has cross-listed the Ossiam Solactive Moody’s Analytics IG EUR Select Credit ETF (OSXF GY) on Deutsche Börse.

Ossiam cross-lists smart beta corporate bond ETF on Deutsche Börse

Ossiam has cross-listed its smart beta fixed income ETF onto Deutsche Börse.

This new smart beta fixed income ETF, which debuted on Euronext Paris on 15 February 2018, invests in a portfolio of euro-denominated investment grade corporate bonds, seeking to maximise total return while maintaining a low credit risk profile.

The fund tracks the Solactive Moody’s Analytics IG EUR Select Credit Index.

Bonds are selected by applying Moody’s Analytics public-firm EDF (Expected Default Frequency) credit measures, which are forward-looking, point-in-time default probabilities. These measures are based on information from equity markets and are combined with a detailed picture of a company’s capital structure.

Moody’s Analytics combines EDF metrics with other inputs to produce a credit spread valuation framework, known as FVS (Fair Value Spreads). EDF and FVS metrics are used to provide investors with an exposure to the high-quality corporate sector through a methodology emphasizing cost-efficiency and liquidity.

The methodology selects a liquid and investable bond portfolio from the components of the parent Solactive Euro IG Corporate Index which is first filtered to retain only the most liquid bonds. It is then further refined by a quality filter based on Moody’s Analytics EDF credit measures to remove the bonds displaying the highest downside risk. The final stage of the process is to compare the remaining bonds’ Option Adjusted Spread to their Moody’s Analytics Fair Value Spread to select the 100 most-undervalued bonds.

The index is equally weighted, re-balanced quarterly and aims to maintain the same sector and duration exposure as its parent index. The index allows a maximum weighting of 5% per issuer in order to enhance diversification.

The fund trades in euros, accumulates income generated within its portfolio, and has a total expense ratio (TER) of 0.35%. It has accumulated approximately €40 million in assets under management since its launch.

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