IIS Asset Management
IIS Asset Management is a BaFin (German Financial Supervisory Authority) regulated manager of institutional Collateralized Loan Obligation (CLO) tranche portfolios. Our focus is on rated tranches, as their performance and value is predominantly driven by loan market beta risk, as opposed to equity tranches whose default risks we consider fundamentally mispriced and which are predominantly driven by manager alpha, which can vary widely even for the same manager depending on vintage.
Our strategy is to ascertain the worst-case credit loss risk of a given CLO portfolio and its capital loss implications for each of the CLO tranches to avoid capital losses for our investors while targeting leveraged returns both in terms of capital gains and current coupons given the high price convexity of the rated tranches. At the core of this strategy is our proprietary cash flow model.
We are a boutique asset manager with a small team of six with portfolio management, structuring and risk management experience in the CDO and CLO markets since their inception, and a combined team experience of over 100 years in global capital markets, structured credit and investment banking dating back to the early 1980s.
We offer our investment strategies in listed vehicles as well as offering bespoke portfolio management and investment strategies for managed accounts to accommodate their regulatory and balance sheet constraints. We only accept institutional investors.