European fixed income specialist Tabula Investment Management has listed its credit volatility premium ETF, the Tabula JP Morgan Global Credit Volatility Premium Index UCITS ETF (TAB2 GR), on Deutsche Börse’s Xetra platform.
Michael John Lytle, CEO of Tabula Investment Management.
The ETF captures the difference between realized and implied volatility in credit default swap (CDS) index options markets.
The listing trades in euros and becomes Tabula’s first product on Germany’s foremost exchange.
The fund is linked to the JP Morgan Global Credit Volatility Premium Index, which reflects the performance of selling options on European and North American high yield CDS indices while hedging out the exposure to credit spreads on a daily basis through delta hedging.
The underlying high yield CDS indices comprise the iTraxx Crossover 5y Index, which consists of 75 European entities, and the Markit CDX HY 5y Index, which consists of 100 North American entities. Each index is equally weighted and rebalanced monthly.
Index returns are calculated by JP Morgan using CDS index and CDS index options pricing data from IHS Markit, while the performance of the index itself is replicated in the ETF through the use of total return swaps. Residual cash collateral is invested in short-dated government bonds, further enhancing the return.
The fund comes with an expense ratio of 0.50% and currently houses approximately €50 million in assets under management.
While this is Tabula’s first ETF to list on Xetra, its entire range has for some time be approved for distribution in Germany and available to trade locally on Börse Berlin, as well as on the London Stock Exchange and BX Swiss. The listing on Xetra, however, Germany’s most liquid ETF market, will undoubtedly help pique local interest in the product.
Michael John Lytle, CEO of Tabula Investment Management, commented, “We are focused on delivering a broad range of fixed income factors which were previously only available to sophisticated investors. There is a growing need for more innovative fixed income tools to manage risk and navigate markets, and we are excited to be able to offer this product to German investors.”
Martin Reck, Managing Director Cash Market at Deutsche Börse, added, “The addition of the Tabula JP Morgan Global Credit Volatility Premium Index UCITS ETF has significantly diversified the range of products on our exchange and we are excited to welcome Tabula as a promising new ETF provider.”
The listing is the latest move by Tabula to increase the availability of its products across Europe.
Earlier this month, the firm boosted its Iberian presence by securing permission from the regulator in Spain, the National Securities Market Commission (CNMV), to distribute its ETFs within the country.