Strategy

Floating Rate Bank Loan

The Floating Rate Bank Loan Composite seeks high current income and capital appreciation primarily through investment in floating rate bank loans and floating rate debt securities rated below investment grade (BB or below) by S&P, Moody's, or another nationally recognized securities rating organization (NRSRO).

3YR Return Annualised (Net)
(View Total Returns)

Tracking Error
(5 Years)

2.25%
1.61%

1YR Return (Net)
(View Total Returns)

Information Ratio
(5 Years)

-1.28%
0.22

Inception Date 29-Feb-2008

Performance figures calculated in USD

Other Literature

Paul Massaro, CFA
Paul Massaro, CFA, Portfolio Manager

Paul Massaro is head of the Global High Yield team and portfolio manager of the Floating Rate Bank Loan Strategy in the Fixed Income Division. He is president and chairman of the Investment Advisory Committees for the Floating Rate and Institutional Income Funds, executive vice president and chairman for the Floating Rate Multi-Sector Account Portfolios, and a vice president and an Investment Advisory Committee member of the Capital Appreciation Fund. Paul is also an Investment Advisory Committee member of the High Yield Fund, High Yield Multi-Sector Account Portfolios, and the Institutional High Yield Fund and a member of the Fixed Income Steering Committee. Paul is a vice president of T. Rowe Price Associates, Inc., T. Rowe Price Group, Inc., and T. Rowe Price Trust Company.

 

Strategy

Investment Approach

  • Managing Bank Loan securities since 2002
  • Invest primarily in BB- and B-rated loans, with the ability to invest in lower-quality loans and high yield bonds when compelling valuation opportunities arise.
  • Proprietary and independent fundamental research is key — disciplined and consistently applied investment process with emphasis on industries that enjoy stable cash flow and rational competitive environments.
  • Holistic fundamental research – close collaboration between fixed income and equity research analysts provides a complete capital structure perspective and an information advantage
  • Disciplined risk management practices employed in conjunction with broad portfolio diversification to manage risk profile.

Portfolio Construction

  • Diversified portfolio structure: typically 200-300 issuers
  • At least 80% floating rate bank loans and corporate senior floating rate notes
  • Up to 20% in fixed-rate securities including high yield bonds and reserves for liquidity
  • 15% industry exposure maximum
    • Industry exposure typically will range +/- 5% around benchmark weight

Holdings

Issuers

Top
Issuers
10
Top 10 Issuers 25.85% Was (31-Mar-2020) 24.16%
Other View Top 10 Issuers

Monthly data as of 30-Jun-2020

Holdings

Total
Holdings
279
Largest Holding Asurion 2.58% Was (31-Mar-2020) 2.43%
Top 10 Holdings 18.88%
Other View Full Holdings Quarterly data as of 30-Jun-2020

Quality Rating View quality analysis

  Largest Overweight Largest Underweight
Quality Rating Short Term BB Rated
By % 7.53% -8.30%
Portfolio 7.53% 9.85%
Benchmark 0.00% 18.15%

Average Credit Quality

B

Monthly Data as of 30-Jun-2020
Benchmark:  S&P/LSTA Performing Loan Index

The source of credit quality for the S&P/LSTA Performance Loan Index is Standard & Poor's. 

Sources for credit quality: Moody's Investors Service and Standard & Poor's (S&P); split ratings (i.e. BB/B and B/CCC) are assigned when the Moody's and S&P ratings differ.  T. Rowe Price does not evaluate these ratings, but simply assigns them to the appropriate credit quality category as determined by the rating agency. T. Rowe Price uses the rating of the underlying investment vehicle for credit default swaps. Short-Term holdings are not rated.

Industry

Total
Industries
30
Largest Industry Services 14.34% Was (31-Mar-2020) 12.86%
Other View complete Industry Diversification

Monthly Data as of 30-Jun-2020

Benchmark: S&P/LSTA Performing Loan Index

Largest Overweight

Financial
By4.03%
Portfolio 9.60%
Benchmark 5.57%

Largest Underweight

Building Products
By-2.29%
Portfolio 0.00%
Benchmark 2.29%

Monthly Data as of 30-Jun-2020

Team (As of 05-Aug-2020)

Paul Massaro, CFA

Paul Massaro is head of the Global High Yield team and portfolio manager of the Floating Rate Bank Loan Strategy in the Fixed Income Division. He is president and chairman of the Investment Advisory Committees for the Floating Rate and Institutional Income Funds, executive vice president and chairman for the Floating Rate Multi-Sector Account Portfolios, and a vice president and an Investment Advisory Committee member of the Capital Appreciation Fund. Paul is also an Investment Advisory Committee member of the High Yield Fund, High Yield Multi-Sector Account Portfolios, and the Institutional High Yield Fund and a member of the Fixed Income Steering Committee. Paul is a vice president of T. Rowe Price Associates, Inc., T. Rowe Price Group, Inc., and T. Rowe Price Trust Company.

Paul’s investment experience began in 2000, and he has been with T. Rowe Price since 2003, beginning in the Fixed Income Division as a credit analyst covering wireless services, broadcasting, and consumer and forest products. In 2008, he helped launch the Floating Rate Bank Loan Strategy, and in 2013, he assumed full portfolio management responsibility. Prior to T. Rowe Price, Paul was employed by Banc of America Securities in the area of equity research. He was also in credit research at J.P. Morgan Chase.

Paul earned a B.S. in business management from Cornell University and an M.B.A. in finance and strategic management from the University of Pennsylvania, The Wharton School. Paul also has earned the Chartered Financial Analyst® designation.

CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute.

  • Portfolio manager
    since
    2010
  • Years at
    T. Rowe Price
    17
  • Years investment
    experience
    20
Stephen M. Finamore, CFA

Steve Finamore is a portfolio manager in the Fixed Income Division. He manages the Floating Rate Strategies, with a focus on floating rate separate accounts, and the bank loan sleeves of several multi-sector portfolios. He is a vice president and member of the Investment Advisory Committees for the Floating Rate Bank Loan and High Yield Bond Strategies and a member of the LIBOR Replacement Committee. Steve is a vice president of T. Rowe Price Associates, Inc., and T. Rowe Price Group, Inc.

Steve’s investment experience began in 2000, and he has been with T. Rowe Price since 2005, beginning in the Fixed Income Division as a high yield credit analyst. After that, he became an associate portfolio manager. Prior to T. Rowe Price, Steve was employed by Mellon Ventures, Inc., and Deutsche Bank Alex. Brown as an analyst.

Steve earned a B.A. in finance and business economics and computer applications from the University of Notre Dame and an M.B.A. in finance and accounting from The University of Chicago, Booth School of Business. Steve also has earned the Chartered Financial Analyst® designation.

CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute.

  • Years at
    T. Rowe Price
    15
  • Years investment
    experience
    20
Michael Lesesne

Michael Lesesne is a global high yield portfolio specialist in the Fixed Income Division. He supports the High Yield, Floating Rate Bank Loan, and Credit Opportunities Strategies, working closely with clients, prospects, and consultants. Michael is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price Associates, Inc.

Michael’s investment experience began in 1991, and he has been with T. Rowe Price since 2012, beginning as a global high yield portfolio specialist in the Fixed Income Investment Specialists department. Prior to T. Rowe Price, Michael was employed by Lord Abbett as a partner and director of credit research. Before that, Michael was a senior high yield credit analyst at Weiss, Peck & Greer and at TIAA-CREF.

Michael earned a B.A. in business economics from Brown University and an M.B.A. in finance from Columbia Business School.

  • Years at
    T. Rowe Price
    8
  • Years investment
    experience
    29

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GIPS® Information

T. Rowe Price ("TRP") claims compliance with the Global Investment Performance Standards (GIPS®). TRP has been independently verified for the twenty one- year period ended June 30, 2017 by KPMG LLP. The verification report is available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.

TRP is a U.S. investment management firm with various investment advisers registered with the U.S. Securities and Exchange Commission, the U.K. Financial Conduct Authority, and other regulatory bodies in various countries and holds itself out as such to potential clients for GIPS purposes. TRP further defines itself under GIPS as a discretionary investment manager providing services primarily to institutional clients with regard to various mandates, which include U.S, international, and global strategies but excluding the services of the Private Asset Management group.

A complete list and description of all of the Firm's composites and/or a presentation that adheres to the GIPS® standards are available upon request. Additional information regarding the firm's policies and procedures for calculating and reporting performance results is available upon request

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