Homebound CLO portfolio manager takes stress-testing to new level

By Faro Ipoll

The human cost of CLO managers having to stay indoors with no deals to price is starting to become apparent, as a recent Creditflux survey inadvertently revealed.

One well known CLO portfolio manager has developed a compulsion to tranche everything in his living space, from cereal to clothes and shoes, to shades of wall paint and - finally - family members.

According to the manager's partner, things took a turn for the worse last Wednesday when he complained of failing his WFH test and started continuously measuring their "weighted averages". This was only alleviated by ample liquidity and a night on the cushions.

Reconciliation came Thursday, when he said they were 'off negative watch' despite the downgrades. But then tranched 'pay-outs' of the manager's meticulously stockpiled toilet paper stash began. Depending on 'performance' and 'seniority', his nearest and dearest could receive the likes of Angel Soft, Kirkland Signature and Quilted Northern Ultra Plush down to Scott 1000 and Walmart's Great Value Bathroom Tissue.

"I have to report everything to the trustees," said the manager, in all block capitals, when asked for comment by Creditflux. "But how am I supposed to limit the number of par flushes?"

By Friday, the manager's partner was coming around to the idea of making substitutions.

"We are well collateralised but I now realise there is not enough geographical diversification in the portfolio," she said. "And to top it off, there are these troublesome little triple C buckets running around. Maybe I could sell them?"

However, things were on the up again after a Monday afternoon spent seriously levered. During this, the manager hit on the idea to take up oil painting and this has become the pass-time of the whole family. At time of press, they have painted three mountains, five lakes, four rocks, seven parks, two bridges, three towers, several geometric shapes, a horse and an eagle.

The April edition of the Creditlfux monthly mag has been delivered to their door.

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Comment by: Anonymous. Posted 1 month ago [2020-04-01 16:59:23]

CLO humour!