Chenavari Toro Income Share Discussion Threads

[spectoacc] 25/9/2020 14:31

NAV 70.8c, about where previously guessed & showing a little growth over the divi payment. Be interesting to see if they've invested more, or we get another chunky payout. Can't see it being as big as the large one but been really pleased with TORO in this market.

[rambutan2] 16/9/2020 19:45

Yes, a biggie!

[spectoacc] 16/9/2020 13:03

Divi paid today, what a whopper - got more than expected, £/Euro must have moved in favour.

[spectoacc] 03/9/2020 14:06

Glad to see no diversions in the waterfall ;)

Yes, another strong month, and hopefully some more capital returns to come soon.

[yieldsearch] 02/9/2020 08:38

July Factsheet out:

"The NAV performance on the Chenavari Toro Income Fund was 4.06% for the month of July, driven by the payments on the TCLO retention pieces in Taurus.
All TCLOs passed their interest diversion and OC tests and paid without any diversions in the waterfall.
Annualised payments on the NAV for TCLO 2, 3, 4, and 5 were 37.3%, 32.4%, 31.7%, and 25.5% respectively and 30.8% on an aggregated basis.
Except for supply/demand pressures in August, the chances of a rally in CLO spreads seemed to be limited, so the Portfolio Manager took the opportunity to trim further some of the Junior tranches early in the month while liquidity was stronger, and fears of further virus outbreaks were at the forefront.


so i read that as good nav performance and reduction in junior risk

[spectoacc] 26/8/2020 06:00

They could have been clearer about it, but that NAV will be pre the large divi, so c.70 cents current NAV IMO.

Still too large a discount, particularly for a co returning so much cash.

[yieldsearch] 25/8/2020 19:18

NAV 31.07.20: EUR 0.8461

30.06.20: Eur 0.8130

[spectoacc] 21/8/2020 08:32

An @Johnwig handle I didn't have filtered! Logged in to up-tick a SUPP post perhaps? Brilliant. 7 ticks on it so far, not a single one from someone else. Great fun.

Count the divis on TORO, Walter.

[iq151] 21/8/2020 08:02

You don't seem to know very much about investing do you, spectoacc? For instance TORO has been a disastrous holding and ramp for you. Do you think anyone takes you seriously?

[spectoacc] 20/8/2020 09:52

XD 14c this morning, hope the buyer on the OB at open knew that, 936,000 at 55c. Still - if you ignore the Special & add back the ordinary divi as being "earned" & recovered over a qtr, is an argument it shouldn't be down the full 14c.

[spectoacc] 30/7/2020 13:17

Not sure the volume for a tip/mention somewhere, but amazing how slow the market can be to pick up on good news.

[rambutan2] 27/7/2020 19:49

Fact sheet:

...The NAV performance on the Chenavari Toro Income Fund was up c.2.4% for the month of June, driven by the remarking of the Public ABS strategy and payments of the Bosphorus retention pieces in Taurus. Payments on both equity CLO tranches were paid in full as Bosphorus 4 and 5 benefited from a decent cushion on the junior/reinvestment O/C test of over 3.5%. The return on NAV for Bosphorus 4 was 18.1% annualised including the management fees rebate.

Although OC cushions only compressed marginally in June and are still around 3%, the erosion is expected to worsen as rating agencies take further negative actions and defaults begin to be realised. The percentage of deals failing at least one OC or Interest diversion test increased to 4.1% in June vs. 0.7% in May, and median WARF levels also increased by 43 month-on-month to 3,378. These deteriorations are in stark contrast to the improvement seen in MVOCs of tranches across the capital structure, while the dispersion in trading levels of junior tranches remains elevated. Following the recent rally and surge in CLO supply both on primary and secondary markets ahead of the summer break, the Portfolio Manager reduced the CLO exposure during the month, selling AAA CLOs and junior tranches. The market is expected to consolidate further from now while the broader market sentiment could be prone to less exuberance and more prudence in the coming months. Consequently, the cash position increased to circa 19% of NAV at the end of the month.

[rambutan2] 27/7/2020 19:48

Specto, that's the advantage of management having such big skin in the game:

...Although we believe that CLOs offer one of the best relative values in credit as structural protection should act as a robust mitigant against increasing credit losses, valuations have recovered significantly from their March lows. The CLO market is now expected to consolidate while the broader market sentiment could be prone to more prudence on the back of rising political risk factors and low liquidity inherent to the summer months. The exposure to CLOs was therefore tactically and selectively trimmed down, reducing the portfolio credit sensitivity and increasing the cash position with a view to increase the next total dividend distribution to circa 17% of NAV, as set out in the RNS dated 8 June 2020. All dividend decisions remain at the absolute discretion of the Board and no formal decision has been agreed relating to future dividend payments.

[spectoacc] 27/7/2020 07:35

Much larger declared divi than I was expecting - nice to see another IT willing to return uninvested cash ahead of re-investing it for the sake of it.

[rambutan2] 26/5/2020 03:44

Brett Jefferson is the President and Co-CIO of Hildene Capital Management, an asset manager he founded in 2008 that oversees $9 billion in structured credit strategies and was listed in Barron’s Top 100 Annual Hedge Funds ranking for six consecutive years. (Talks CLOs from 56mins):

[rambutan2] 17/5/2020 19:21

Latest Chenavari views:

Global markets witnessed one of the sharpest price actions from late February throughout most of March when the world realised that the virus outbreak had started to spread exponentially. In the past 8 to 10 weeks, governments, central banks and regulators have been scrambling to find the right balance between saving lives and supporting businesses and these actions have reduced the systemic risk to a large extent. Although US equity markets have rebounded closer to where they started in 2020 (with S&P 500 at -9.32% YTD as of 11 May 2020) driven by positive sentiment, European credit and equity markets have not recovered with quite the same magnitude (EURO STOXX 50 down 22.66% and generic Markit iTraxx Crossover 5Y spreads still 143.72% wider YTD). Whilst there are still many unknowns surrounding growth and default expectations, our specialist investment teams believe that with the right expertise, relative value approach and sourcing capabilities, investment opportunities in European credit are attractive from a fundamental, relative value and technical perspective, and can compare favourably to their US counterparts...

[rambutan2] 17/5/2020 19:14

Worth a listen:

S8 E12 What the CLO market can tell us about the state of corporate credit ft Joe Mezyk


Also
S8 E8 Securitized Credit in 2020 ft. Andrew Hsu
Posted: Thursday, April 16th, 2020

And
S6 E3 Andrew Hsu, Infrastructure and ABS Team, DoubleLine – The Sherman Show
Posted: Monday, July 29th, 2019
Andrew Hsu Conducts a Tour d’Horizon of the Structured Products Universe

And
S6 E7 Joe Mezyk, CLO Analyst – DoubleLine, The Sherman Show
Posted: Thursday, September 26th, 2019
CLO analyst Joe Mezyk joins The Sherman Show to explain the $750 billion collateralized loan obligation market

[rambutan2] 23/3/2020 20:09

Re convexity:

[spectoacc] 23/3/2020 06:47

Brilliant, thanks. TORO is one of the few I'm glad to be stuck in.

"• In our view, this terrible pandemic due to the COVID-19 outbreak is undoubtedly triggering an eventdriven recession. In turn, it is likely to lead to a global cyclical recession.
• This recessionary environment will expose the many weaknesses of the credit markets.
• I first believe we should all be humble, given that the peak of the crisis has not been reached in either
Continental Europe or the US, where the lock-down is just starting.
• Current prices may exhibit some value, as the markets have corrected sharply since the beginning of
March.
• However, what is cheap is not necessarily good value. There are primarily two main reasons for which
I urge caution:"

[rambutan2] 22/3/2020 22:13

Worth a read:

[rambutan2] 12/3/2020 11:28

So, a real world test of their hedging strategy has commenced. Next nav will be interesting to see.

[spectoacc] 23/1/2020 15:27

LOL. Because it's so easy to "inadvertently" tender your 5%. Fill in the form, tick the boxes, sign it, date it, write out an envelope, put a stamp on, post it.

If those things weren't done, the "broker" shouldn't be tendering anything.

"22 January 2020

Director Dealing Update

The Company has been notified, on 20 January 2020, that the broker of Roberto Silvotti (Director) had inadvertently tendered 5% of his holding as a part of the August 2019 tender process.

This has resulted in his holding decreasing by 47,734 shares. His current shareholding in the company is therefore 1,641,632 shares.

Should Mr Silvotti rectify the position with his broker an updated announcement regarding his shareholding shall be made. "

[rambutan2] 21/1/2020 17:28

Yes, am still a happy holder of this rather unloved vehicle.

Have you looked at HTCF, on a smaller discount, but there's a catalyst for it to be closed. I think...