Confirm Cancel

Download

Latest Date Range
Audience for the document: Share Class: Language of the document:
Download Cancel

Download

Share Class: Language of the document:
Download Cancel

Change Details

If you need to change your email address please contact us.
Change password
Save Cancel
Subscriptions
OK
You are ready to start subscribing.
Get started by going to our products or insights section to follow what you're interested in.

Products Insights

GIPS® Information

T. Rowe Price ("TRP") claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. T. Rowe Price has been independently verified for the twenty four-year period ended June 30, 2020, by KPMG LLP. The verification report is available upon request. A firm that claims compliance with the GIPS standards must establish policies and procedures for complying with all the applicable requirements of the GIPS standards. Verification provides assurance on whether the firm’s policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. Verification does not provide assurance on the accuracy of any specific performance report.

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. 

You have successfully subscribed.

Notify me by email when
regular data and commentary is available
exceptional commentary is available
new articles become available

Thank you for your continued interest

T. Rowe Price

Please enter valid search characters

T. Rowe Price

Please enter valid search characters

Home / Products / Strategy / Floating Rate Bank Loan Strategy
All Products Documents

Past performance is not a reliable indicator of future performance.

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).

Strategy HighLights
GIPS

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

Tracking Error
(5 Years)

4.04%
1.55%
Data as of 30-Sep-2021
Data as of 30-Sep-2021

1YR Return (Net)
(View Total Returns)

Information Ratio
(5 Years)

7.54%
-0.08
Data as of 30-Sep-2021
Data as of 30-Sep-2021

Inception Date 29-Feb-2008

Performance figures calculated in USD

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

Strategies with co-portfolio managers display the manager with the longer tenure. 

Holdings information and other breakdowns (such as country and currency) are related to those of representative portfolio ("Portfolio"). The Portfolio is an account in the composite we believe most closely reflects current portfolio management style for the strategy. Performance is not a consideration in the selection of the representative portfolio. The characteristics of the representative portfolio shown may differ from those of other accounts in the strategy. Please see the GIPS® Disclosure page for additional information on the composite.

The specific securities identified and described above do not represent all of the securities purchased, sold or recommended for advisory clients and no assumptions should be made that investments in the securities identified and discussed were or will be profitable.