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Happy Holidays!

By David O'Malley | December 25, 2017

Wishing you a healthy and happy holiday season and a prosperous 2018.   We will be back with our regular Monday Morning O’Malley and Chart of the Week posts starting… Read More

Can the Short-Volatility Trade Continue to Carry in 2018?

By John Swarr | December 21, 2017

Before bitcoin grabbed all of the headlines this November, a widely talked about trade in 2017 had been the short-volatility trade. One popular trade investors have used to monetize the low volatility environment, XIV, has gained almost 200% this year. Although these returns don’t stack up with bitcoin’s run in 2017, the fundamentals driving short-volatility strategies are much clearer. But before discussing why the past year has been supportive of short-volatility strategies, I want to discuss two types of strategies first.

Tax Reform Expected to be Signed into Law This Week

By David O'Malley | December 18, 2017

After a lot of anticipation and a busy congressional review process this fall, it looks highly probable that tax reform will be passed into law this week. With the remaining holdout Republican Senators publicly announcing their support, the path is now clear for the largest change in tax policy in three decades.

Are CLOs Getting Longer or Shorter?

By Jason Merrill | December 14, 2017

The lifecycle of a collateralized loan obligation (CLO) is typically characterized by an initial warehouse/ramp-up period, during which the CLO manager purchases collateral to back the CLO. This is followed by the reinvestment period, during which the CLO manager actively trades the portfolio based on a particular strategy. The reinvestment period is then followed by the amortization period, during which time the proceeds from sales or paydowns are used to amortize the CLO debt tranches and wind down the deal. The length of the reinvestment period is sometimes used by investors as a proxy for the length of the deal in general, with an adjustment for where in the capital stack the investor is located. CLO debt investors used to complain about reinvestment periods getting longer. For post-crisis deals, it was common for the reinvestment period to be four years long. Then, five-year reinvestment periods became the “new normal,” and managers that could get away with it would opt for the longer reinvestment period, thus locking up management fees and AUM for a longer period of time. The industry was aware that extending the reinvestment period was a positive for CLO managers and equity holders, but a negative for debtholders. What could debt investors do to counter this sea change in the industry?

Central Banks Take Center Stage

By David O'Malley | December 11, 2017

This week, several key central banks are holding monetary policy meetings. The U.S. Federal Reserve (Fed), European Central Bank (ECB), Bank of England (BOE) and Swiss National Bank are all providing their last policy guidance of the year.

Bitcoin and a Flattening Yield Curve

By Zhiwei Ren | December 7, 2017

Bitcoin is a hot topic in the financial media right now. At post time, one bitcoin is worth approximately $11,750, up from roughly $1,000 at the beginning of 2017. We also… Read More

Economic Data Overshadowed by Events in Washington

By David O'Malley | December 4, 2017

The events in Washington overshadowed the release of solid economic data last week. With consistent economic data emerging over the last few weeks, markets have shifted their primary attention to the events in Washington. 

Disclosure Statement

This blog post is for informational use only. The views expressed are those of the author, Dave O’Malley, and do not necessarily reflect the views of Penn Mutual Asset Management. This material is not intended to be relied upon as a forecast, research or investment advice, and it is not a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy.

Any statements about financial and company performance of The Penn Mutual Life Insurance Company or its insurance subsidiaries (each, “Client”) made by the author is provided with a written consent from the Client.  Penn Mutual Asset Management is a wholly owned subsidiary of The Penn Mutual Life Insurance Company.


Opinions and statements of financial market trends that are based on current market conditions constitute judgment of the author and are subject to change without notice.  The information and opinions contained in this material are derived from sources deemed to be reliable but should not be assumed to be accurate or complete.  Statements that reflect projections or expectations of future financial or economic performance of the markets may be considered forward-looking statements.  Actual results may differ significantly.  Any forecasts contained in this material are based on various estimates and assumptions, and there can be no assurance that such estimates or assumptions will prove accurate.

Investing involves risk, including possible loss of principal.  Past performance is no guarantee of future results.  All information referenced in preparation of this material has been obtained from sources believed to be reliable, but accuracy and completeness are not guaranteed. There is no representation or warranty as to the accuracy of the information and Penn Mutual Asset Management shall have no liability for decisions based upon such information.

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