CLO equity funds lag behind net asset value

By Owen Sanderson
03 Oct 2019

The largest listed funds buying CLO exposures are trading well below net asset value, suggesting some end investors see the asset class having worse prospects than the managers active in the sector. But part of the problem comes from managers’ marking of their investments, which has kept the NAV high for one of the sector’s largest players, GSO’s risk retention fund.

Fair Oak Capital’s Income Fund, Blackstone/GSO’s Loan Financing Fund, Chenavari’s Toro Income, and Tetragon Financial Group’s Tetragon funds all trade well below their net asset values — but for distinct reasons.

The largest of these, Blackstone/GSO Loan Financing, started to slump below its net asset value in summer ...

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