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Thank for sharing this CLO information. In recent years, I considered investing in a dedicated CLO fund¹. CLO funds with high credit ratings offered greater yields than other bond funds with similar credit ratings. Default risk was said to be low and apparently there were zero defaults for the nearly 7,000 AAA-rated CLO debt tranches issued between 1993 and 2022.
The fact that the vast majority of CLO ETFs (13/16) were in existence for less than 3 years (inception dates listed below) gave me pause. Six CLO ETFs were introduced while the Fed was hiking interest rates from March 2022 - July 2023. Since CLOs are floating-rate instruments, rate hikes are obviously advantageous. It wasn't clear to me how CLO ETFs would react during certain less favorable market environments.
RCTIX portfolio managers have really decreased CLO exposure. Prior RCTIX Fact Sheets showed the following CLO allocations. The February 2022 Fact Sheet is the latest one in my possession since I exited the fund after George Jikovski left abruptly in 2022.
Comments
Thank for sharing this CLO information.
In recent years, I considered investing in a dedicated CLO fund¹.
CLO funds with high credit ratings offered greater yields than other bond funds with similar credit ratings.
Default risk was said to be low and apparently there were zero defaults for the nearly 7,000 AAA-rated
CLO debt tranches issued between 1993 and 2022.
The fact that the vast majority of CLO ETFs (13/16) were in existence for less than 3 years (inception dates listed below) gave me pause. Six CLO ETFs were introduced while the Fed was hiking interest rates
from March 2022 - July 2023. Since CLOs are floating-rate instruments, rate hikes are obviously advantageous.
It wasn't clear to me how CLO ETFs would react during certain less favorable market environments.
AAA (09/08/2020)
JAAA (10/16/2020)
JBBB (01/11/2022)
CLOI (06/21/2022)
ICLO (12/09/2022)
CLOA (01/10/2023)
CLOZ (01/23/2023)
CLOX (07/18/2023)
PAAA (07/19/2023)
PSQA (09/11/2024)
ACLO (11/15/2024)
PCLO (12/02/2024)
PCMM (12/02/2024)
NCLO (12/10/2024)
CLOB (12/24/2024)
BCLO (01/19/2025)
¹ For several years I owned RCTIX which often had a sizable allocation to CLOs.
https://www.rivercanyonfunds.com/wp-content/uploads/2023/09/RCTIX-Fact-Sheet-03.31.25.pdf
RCTIX portfolio managers have really decreased CLO exposure.
Prior RCTIX Fact Sheets showed the following CLO allocations.
The February 2022 Fact Sheet is the latest one in my possession
since I exited the fund after George Jikovski left abruptly in 2022.
12/31/2019: 30%
06/30/2020: 14%
12/31/2020: 8%
06/30/2021: 11%
12/31/2021: 18%
02/28/2022: 15%