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GIPS® Information

T. Rowe Price ("TRP") claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. T. Rowe Price has been independently verified for the twenty four-year period ended June 30, 2020, by KPMG LLP. The verification report is available upon request. A firm that claims compliance with the GIPS standards must establish policies and procedures for complying with all the applicable requirements of the GIPS standards. Verification provides assurance on whether the firm’s policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. Verification does not provide assurance on the accuracy of any specific performance report.

TRP is a U.S. investment management firm with various investment advisers registered with the U.S. Securities and Exchange Commission, the U.K. Financial Conduct Authority, and other regulatory bodies in various countries and holds itself out as such to potential clients for GIPS purposes. TRP further defines itself under GIPS as a discretionary investment manager providing services primarily to institutional clients with regard to various mandates, which include U.S, international, and global strategies but excluding the services of the Private Asset Management group.

A complete list and description of all of the Firm's composites and/or a presentation that adheres to the GIPS® standards are available upon request. Additional information regarding the firm's policies and procedures for calculating and reporting performance results is available upon request

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SICAV

European High Yield Bond Fund

Research-driven, targeting consistent high income.

ISIN LU0596125814 WKN A1JK51

3YR Return Annualised
(View Total Returns)

Total Assets
(EUR)

2.73%
€216.5m

1YR Return
(View Total Returns)

Manager Tenure

3.99%
9yrs

Information Ratio
(5 Years)

Tracking Error
(5 Years)

-0.45
2.03%

Inception Date 20-Sep-2011

Performance figures calculated in EUR

Other Literature

30-Nov-2020 - Michael Della Vedova, Portfolio Manager,
European high yield looks attractive relative to other global high yield markets. The European Central Bank’s accommodative policy stance and likelihood of further measures support the asset class. However, we are mindful of valuations given how much spreads have tightened since March. We anticipate greater dispersion with the possibility of lower-quality names and less well-known credit stories outperforming. In this environment, we believe fundamental research and individual security selection remain imperative.
Michael Della Vedova
Michael Della Vedova, Portfolio Manager

Mike Della Vedova is a global high yield portfolio manager in the Fixed Income Division. He is a portfolio manager for the Europe High Yield Bond Strategy and co-portfolio manager for the Global High Yield Bond Fund and Global High Income Bond Strategy. He is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price International Ltd.

 

Strategy

Investment Objective

To maximise the value of its shares through both growth in the value of, and income from, its investments. The fund invests mainly in a diversified portfolio of high yield corporate bonds that are denominated in European currencies.

Investment Approach

  • The fund focuses primarily on European currency-denominated corporate debt issued by below investment-grade companies.
  • Invests mainly in BB and B rated bonds, with the ability to purchase lower-quality securities when compelling valuation and risk/reward opportunities arise.
  • The fund integrates fundamental proprietary research at the corporate bond, sovereign, and equity levels. This integral collaboration provides a holistic view of a company’s capital structure and management team, as well as its position in the larger market environment unique to each country.
  • Research focuses on quantitative and qualitative factors that drive an independent credit rating. Analysts look to identify long-term potential for balance sheet and external rating improvements while adhering to strict risk management practices.
  • Target excess-return will be primarily driven by individual security selection and, secondarily, by relative sector and credit quality allocations.

Portfolio Construction

  • At least 80% of assets will be invested in securities denominated in European currencies—mainly the euro and the pound.
  • Currency exposure is fully hedged back to the euro.
  • Up to 20% of assets may be invested outside of European currencies, including U.S. dollar high yield and investment-grade corporate bonds.
  • Target tracking error: 200–400 basis points

Performance (Class I)

Annualised Performance

  1 YR 3 YR
Annualised
5 YR
Annualised
Since Inception
Annualised
Since Manager Inception
Annualised
Fund % 3.99% 2.73% 4.30% 7.50% 7.50%
Indicative Benchmark % 2.82% 3.31% 5.21% 7.16% 7.16%
Excess Return % 1.17% -0.58% -0.91% 0.34% 0.34%

Inception Date 20-Sep-2011

Manager Inception Date 20-Sep-2011

Indicative Benchmark: ICE BofAML European Currency High Yield Constrained Excluding Subordinated Financials Index Hedged to EUR

Data as of 31-Dec-2020

Performance figures calculated in EUR

  1 YR 3 YR
Annualised
5 YR
Annualised
Since Inception
Annualised
Fund % 3.99% 2.73% 4.30% 7.50%
Indicative Benchmark % 2.82% 3.31% 5.21% 7.16%
Excess Return % 1.17% -0.58% -0.91% 0.34%

Inception Date 20-Sep-2011

Indicative Benchmark: ICE BofAML European Currency High Yield Constrained Excluding Subordinated Financials Index Hedged to EUR

Data as of 31-Dec-2020

Performance figures calculated in EUR

Recent Performance

  Month to DateData as of 15-Jan-2021 Quarter to DateData as of 15-Jan-2021 Year to DateData as of 15-Jan-2021 1 MonthData as of 31-Dec-2020 3 MonthsData as of 31-Dec-2020
Fund % 0.20% 0.20% 0.20% 0.67% 5.50%
Indicative Benchmark % 0.47% 0.47% 0.47% 0.81% 5.53%
Excess Return % -0.27% -0.27% -0.27% -0.14% -0.03%

Inception Date 20-Sep-2011

Indicative Benchmark: ICE BofAML European Currency High Yield Constrained Excluding Subordinated Financials Index Hedged to EUR

Indicative Benchmark: ICE BofAML European Currency High Yield Constrained Excluding Subordinated Financials Index Hedged to EUR

Performance figures calculated in EUR

Past performance is not a reliable indicator of future performance.  Source for fund performance: T. Rowe Price. Fund performance is calculated using the official NAV with dividends reinvested, if any. The value of an investment and any income from it can go down as well as up. Investors may get back less than the amount invested. It will be affected by changes in the exchange rate between the base currency of the fund and the subscription currency, if different. Sales charges (up to a maximum of 5% for the A Class), taxes and other locally applied costs have not been deducted and if applicable, they will reduce the performance figures. 

Where the base currency of the fund differs from the share class currency, exchange rate movements may affect returns.

30-Nov-2020 - Michael Della Vedova, Portfolio Manager,
The European high yield market generated a positive return during November. Spreads tightened significantly as key progress in a vaccine for the coronavirus boosted investors’ risk appetite. The outcome of the U.S. election also supported sentiment as it removed a key risk from financial markets and raised expectations for a new U.S. stimulus package early next year. Within the portfolio, our security selection within the cable & satellite TV sector had a strong positive impact on relative performance. This was led by our holdings in a French telecommunications and cable operator and a Dutch cable company. Our exposures within the gaming and transportation sectors boosted returns further due to our holdings in a Spain-based gaming company and a UK car park operator. Our security selection in financial services had a negative impact, however, particularly our holdings in a financial market data provider.

Holdings

Issuers

Top
Issuers
10
Top 10 Issuers 27.06% Was (30-Nov-2020) 26.88%
Other View Top 10 Issuers

Monthly data as of31-Dec-2020

Holdings

Total
Holdings
101
Largest Holding Iceland Bondco 3.20% Was (30-Sep-2020) 3.16%
Top 10 Holdings 21.85%
Other View Full Holdings Quarterly data as of  31-Dec-2020

Quality Rating View quality analysis

  Largest Overweight Largest Underweight
Quality Rating B Rated BB Rated
By % 24.09% -49.22%
Fund 46.55% 21.45%
Indicative Benchmark 22.45% 70.67%

Average Credit Quality

B

Monthly Data as of  31-Dec-2020
Indicative Benchmark:  ICE BofAML European Currency High Yield Constrained Excluding Subordinated Financials Index Hedged to EUR

Sources for Credit Quality Diversification: Moody's Investors Service and Standard & Poor's (S&P) split ratings (i.e. BB/B and B/CCC) are assigned when the Moody's and S&P ratings differ. Short-Term holdings are not rated.

Maturity View maturity analysis

  Largest Overweight Largest Underweight
Maturity 7-10 Years 1-3 Years
By % 9.88% -14.17%
Fund 21.30% 5.89%
Indicative Benchmark 11.42% 20.06%

Weighted Average Maturity

5.37 Years

Monthly Data as of  31-Dec-2020
Indicative Benchmark:  ICE BofAML European Currency High Yield Constrained Excluding Subordinated Financials Index Hedged to EUR

Duration View duration analysis

  Largest Overweight Largest Underweight
Duration Under 1 Year 3-5 Years
By % 13.34% -16.62%
Fund 21.08% 23.37%
Indicative Benchmark 7.74% 40.00%

Weighted Average Duration

2.56 Years

Monthly Data as of  31-Dec-2020
Indicative Benchmark: ICE BofAML European Currency High Yield Constrained Excluding Subordinated Financials Index Hedged to EUR

30-Sep-2020 - Michael Della Vedova, Portfolio Manager,

We continued to draw on our bottom-up fundamental research to identify names that we felt continued to offer long-term potential. The primary market reopened in September, offering additional potential opportunities. However, we remained selective and stayed focused on names with stable fundamentals rather than chasing market direction.��

��

Long-term credit convictions drive industry allocation

Our research-based, flexible approach will remain important going forward as we expect to see greater market emphasis on fundamentals. Therefore, we maintain an overweight position in the cable and satellite TV sector, which benefits from secular trends in media consumption and stable revenue streams. Although this sector underperformed during the third quarter, we continue to believe it will exhibit sustained longer-term performance. By contrast, we continued to retain an underweight to wirelines as we believe that many names in this sector will continue to face longer-term secular headwinds.

B rated names continue to offer attractive relative value

Our overall rating allocation is a by-product of our bottom-up security selection. While the near term could see further swings in market direction, we continue to identify names within the B rated category that offer attractive valuations relative to favorable fundamentals. These convictions drive our overweight exposure to the rating bracket. We hold a corresponding underweight to the BB bracket, instead prioritizing companies within brackets that offer long-term performance potential.

Sovereign views and policies are a key input to risk assessment

Proprietary sovereign views serve as a key input in our overall risk assessment. Our research-based flexible approach will be particularly important going forward. As different fiscal, monetary, and health responses play out between countries, our ability to capture dislocations can help avoid further volatility while being best positioned for a continued recovery.

We expect European corporate defaults to rise as the economic environment remains challenging. An additional layer of complexity is divergent bankruptcy policies and recovery rates across countries, highlighting the importance of an active approach to high yield investing. We believe our research in this area helps us account for the different levels of risk related to variance in default and recovery policies and where spread levels offer the best compensation for these risks. Our holistic view of capital structures and willingness to invest in holding companies is reflected in an allocation to companies domiciled in Luxembourg. Any non-euro-denominated bonds are fully hedged back to the euro.

Industry

Total
Industries
28
Largest Industry Cable Operators 13.84% Was (30-Nov-2020) 13.99%
Other View complete Industry Diversification

Monthly Data as of 31-Dec-2020

Indicative Benchmark: ICE BofAML European Currency High Yield Constrained Excluding Subordinated Financials Index Hedged to EUR

Largest Overweight

Cable Operators
By11.04%
Fund 13.84%
Indicative Benchmark 2.80%

Largest Underweight

Other Telecommunications
By-7.63%
Fund 1.22%
Indicative Benchmark 8.85%

Monthly Data as of 31-Dec-2020

30-Nov-2020 - Michael Della Vedova, Portfolio Manager,
We maintain an overweight exposure to the cable and satellite TV sector. This positioning is based on expectations that the sector will benefit over the long term from secular trends in media consumption and stable, recurring revenue business models. Conversely, we remain underweight the automotive sector due to concerns over long-term industry disruption.

Countries

Total
Countries
20
Largest Country United States 21.62% Was (30-Nov-2020) 22.68%
Other View complete Country Diversification

Monthly Data as of 31-Dec-2020

Indicative Benchmark: ICE BofAML European Currency High Yield Constrained Excluding Subordinated Financials Index Hedged to EUR

Largest Overweight

United States
By7.69%
Fund 21.62%
Indicative Benchmark 13.93%

Largest Underweight

Italy
By-6.96%
Fund 5.05%
Indicative Benchmark 12.01%

Monthly Data as of 31-Dec-2020

30-Sep-2017 - Michael Della Vedova, Portfolio Manager,
We do not expect to add value via currency management and typically hedge our non-euro exposure back to euros to limit volatility, keeping the focus on credit selection.

Currency

Total
Currencies
5
Largest Currency 99.69% Was (30-Nov-2020) 99.83%
Other View completeCurrency Diversification

Monthly Data as of  31-Dec-2020

Indicative Benchmark :

Largest Overweight

euro
By 9.40%
Fund 99.69%
Indicative Benchmark 90.29%

Largest Underweight

British pound sterling
By -9.48%
Fund 0.23%
Indicative Benchmark 9.71%

Monthly Data as of  31-Dec-2020

The fund is fully hedged back to euro, although direct exposure may total less than 100%. It is important to note that there can be no assurances that the currency hedging employed will fully eliminate the shareholder's exposure to exchange rate fluctuations.

31-Jul-2017 - Michael Della Vedova, Portfolio Manager,
We do not expect to add value via currency management and typically hedge our non-euro exposure back to euros to limit volatility, keeping the focus on credit selection.

Team (As of 15-Jan-2021)

Michael Della Vedova

Mike Della Vedova is a global high yield portfolio manager in the Fixed Income Division. He is a portfolio manager for the Europe High Yield Bond Strategy and co-portfolio manager for the Global High Yield Bond Fund and Global High Income Bond Strategy. He is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price International Ltd.

Mike’s investment experience began in 1994, and he has been with T. Rowe Price since 2009, beginning in the Fixed Income department. Prior to this, Mike was cofounder and partner of Four Quarter Capital, a credit hedge fund focusing on below investment-grade European corporate debt. Mike also was employed by Muzinich & Company as a senior analyst and assistant portfolio manager in London.

Mike earned an LL.B. and a B.Com. in finance from the University of New South Wales and a Graduate Diploma in Legal Practice (GDLP) from the University of Technology, Sydney. He also was admitted as a solicitor to the Supreme Court of New South Wales.

  • Fund manager
    since
    2011
  • Years at
    T. Rowe Price
    11
  • Years investment
    experience
    27
Michael Lesesne

Michael Lesesne is a global high yield portfolio specialist in the Fixed Income Division. He supports the High Yield, Floating Rate Bank Loan, and Credit Opportunities Strategies, working closely with clients, prospects, and consultants. Michael is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price Associates, Inc.

Michael’s investment experience began in 1991, and he has been with T. Rowe Price since 2012, beginning as a global high yield portfolio specialist in the Fixed Income Investment Specialists department. Prior to T. Rowe Price, Michael was employed by Lord Abbett as a partner and director of credit research. Before that, Michael was a senior high yield credit analyst at Weiss, Peck & Greer and at TIAA-CREF.

Michael earned a B.A. in business economics from Brown University and an M.B.A. in finance from Columbia Business School.

  • Years at
    T. Rowe Price
    8
  • Years investment
    experience
    29

Fee Schedule

Share Class Minimum Initial Investment and Holding Amount (EUR) Minimum Subsequent Investment (EUR) Minimum Redemption Amount (EUR) Sales Charge (up to) Investment Management Fee (up to) Ongoing Charges
Class A €1,000 €100 €100 5.00% 115 basis points 1.28%
Class I €2,500,000 €100,000 €0 0.00% 60 basis points 0.67%
Class Q €1,000 €100 €100 0.00% 60 basis points 0.71%
Class Sd €10,000,000 €0 €0 0.00% 0 basis points 0.10%

Please note that the Ongoing Charges figure is inclusive of the Investment Management Fee and is charged per annum.