Tabula J.P. Morgan Global Credit Volatility Premium Index UCITS ETF (EUR) - Acc.

AuM:
€12'631'675
Ongoing charges:
0.50%
NAV:
€9637.1632
Ticker:
TVOL
Benchmark ticker:
JCREVOLP Index

Data: Net Asset Value (NAV) and Assets under Management (AuM) as of 10 August 2020

Capital is at risk. The value of your investment may go down as well as up and you may not get back the amount you invested. Investors should read the Key risks section of this page, Key Investor Information Document and Prospectus prior to investing.

Exposure to global volatility risk premia with limited market risk.

The Tabula J.P. Morgan Global Credit Volatility Premium Index UCITS ETF (the Fund) aims to achieve the returns of the J.P. Morgan Global Credit Volatility Premium Index (JCREVOLP Index), less fees and expenses.

About the index

The JCREVOLP Index provides short exposure to volatility in North American and European High Yield CDS markets by tracking the return of two credit volatility indices, rebalanced to an equal weighting monthly. To minimise market exposure, each credit volatility index sells and simultaneously delta hedges option strangles on the relevant CDS indices:

  • iTraxx Crossover (XO) 5y (75 European sub-investment grade entities, equally weighted)
  • CDX HY 5y (100 North American sub-investment grade entities, equally weighted)

Interest accrued on the notional cash amount makes up the remainder of the Index Value. Interest accrues at a rate equal to EONIA -0.25% (subject to change).

Investment process

The Fund aims to replicate the performance of the Index via an OTC Total Return Swap whereby it receives the return of the index in exchange for agreed payments to the Swap Counterparty. The Fund aims to achieve returns due by investing in cash and non-cash collateral, in the ranges of approximately 10% and 90% of its Net Asset Value respectively.

Registered countries

The fund is currently registered for sale in Ireland, Austria, Denmark, Finland, France, Germany, Italy, Luxembourg, Netherlands, Norway, Spain, Portugal, Sweden, Switzerland, United Kingdom.

Fund information
ReplicationIndirect
Issuer: Tabula ICAV
Investment manager:Cheyne Capital Management (UK) LLP
Custody & administration:HSBC Securities Services (Ireland) DAC
Fund inception: 28 March 2019
Share class inception: 28 March 2019
Ongoing charges:0.50%
Income treatment: Accumulating
Domicile: Ireland
Base currency: EUR
Share class currency: EUR
Primary listing:London Stock Exchange
Primary ticker:TVOL
ISIN: IE00BHPGG813
UK distributor/reporting status:Pending approval
ISA & SIPP eligible:Yes
Index information
Index name:J.P. Morgan Global Credit Volatility Premium Index
Index provider:J.P. Morgan Securities PLC
Bloomberg index ticker:JCREVOLP Index
Regional focus:Global
Listing information
Exchange:London Stock ExchangeBX SwissXetra
Trading hours:0800 to 1630 London time0900 to 1730 Swiss time0900 to 1730 German time
Trading currency:EUREUREUR
Settlement:T+2, however primary market creation settles T+1 T+2, however primary market creation settles T+1T+2, however primary market creation settles T+1
Exchange ticker:TVOLTVOLTABV
Bloomberg ticker:TVOL LNTVOL SWTABV GR
RIC:TVOL.LTVOL.Sn/a
SEDOL/VALOR:BHPGG8147182943n/a
WKN:A2PFWWA2PFWWA2PFWW

Key risks

No capital protection: The value of your investment may go down as well as up and you may not get back the amount you invested.

Market risk: The fund is primarily exposed to credit risk. Returns will suffer if there is a default, or higher perceived risk of default, among the entities referenced by the CDS indices, or a write-down (“bail in”) of an entity’s debt by financial authorities. The Sub-Fund may also be impacted by other factors affecting the value of debt securities issued by those entities, including changes in interest rates and exchange rates. When selling CDS on subordinate debt, such debt may be subordinate to senior debt.

Leverage: The fund may use leverage, so losses may be magnified.

Liquidity risk: Lower liquidity means there are insufficient buyers or sellers to allow the Sub-Fund to sell or buy investments readily. Neither the Index provider nor the issuer make any representation or forecast on the liquidity of CDS transactions.

Counterparty risk: The fund may incur losses if any institution providing services or acting as a derivatives counterparty becomes insolvent.

Credit risk: The issuer of a financial asset held within the fund may not pay income or repay capital to the fund when due.

OTC Total Return Swap risk: Swap returns are subject to the returns of the Index or reference assets. Valuations of a fund’s Investments may in certain circumstances, only be available from a limited number of market participants who may also act as counterparties to these transactions. Such valuations may therefore be subjective and there may be substantial differences between any available valuations.

Contact us for further information about Tabula ETFs.

Email  info@tabulaim.com
Phone  +44 20 3909 4700