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Chorus Capital featured in PCFI

Private Credit Fund Intelligence talks to Chorus Capital's CEO and Arizona State Retirement System's Deputy CIO about why risk-sharing is proving increasingly popular with pension funds.


Chorus’ niche strategy proves popular with pension funds

Chorus Capital brings in $1.4bn for risk-sharing funds as investors diversify private credit

By Meng Shi, 24 March 2021

Chorus Capital, a pure player in credit risk-sharing, last month completed fundraising for its fourth credit fund, Chorus Capital Credit Fund IV after raking in $1.4bn in capital commitments, well above its initial target of $1bn. The London-based firm, which focuses on the European market, has already invested 65% of the fund, and expects to fully deploy the capital in the next six months.

While the credit fund has attracted strong interests from a variety of investors, including insurance companies, family offices and endowments, the strategy was particularly favored by pension fund managers, who have committed over 77% of the $1.4bn fund, said Gilles Marchesin, Chorus’ chief executive. The fund’s risk return profile is appealing to institutional investors who seek to diversify their private debt portfolio beyond traditional strategies, Marchesin added.

Institutional investors are turning to niche credit strategies to diversify their credit portfolio. Among a wide variety of those strategies, so-called “credit risk sharing transactions” have caught investors’ attention due to their unique, attractive risk-return profile, according to pension fund managers.

In credit risk-sharing transactions, investors typically take exposure to the first-loss credit risk on a portfolio of large corporate loans held on a bank’s balance sheet. When a credit loss occurs following a credit event on the referenced debt instrument, meaning the borrower is unlikely to fully repay the debt, the investor providing the credit protection to the bank will have to pay its share of the loss. In return, the investor receives a spread income paid by the bank for taking on the credit risk.

“We see credit risk-sharing transactions as a long-term growing opportunity that offers attractive risk adjusted returns,” said Al Alaimo, deputy chief investment officer at Arizona State Retirement System, which is one of Chorus Capital’s largest investors. The system has committed $350m to private fund Chorus Capital Rondo LP. That investment is housed in the pension manager’s credit portfolio under the category of “other credit”.

“The strategy serves as a good diversifier for our credit portfolio, the bulk of which is made up of investments in the leveraged finance markets across the US and Europe,” Alaimo said. “It provides us with some unique credit exposures, such as undrawn revolving credit facilities in the investment-grade market and leveraged loans issued by large corporates.”

“Meanwhile, the investments incur less volatility while delivering higher returns that are in line with our overall return target of 9% to 10%, “ he added. Chorus typically focuses on investments in large corporate loan portfolios. As a result, about 70% of Fund IV’s exposure is to investment-grade credits.

The pandemic-triggered market disruption, according to Marchesin, in effect handed an advantage to the firm. On one side, banks have been further incentivised to issue risk sharing transactions during the pandemic as they seek to boost capital ratios and return on equity, a measure of how profitably a bank invests shareholders’ money. On the other side, the firm has made a number of investments in the secondary market in risk-sharing transactions, at materially wider spreads.

Moreover, the firm’s portfolio has proved to be resilient during the pandemic as many large corporate borrowers were supported by their banks and had easy access to the public markets. They were able to raise debt and equity to bolster their balance sheet and survive through the economic downturn.

According to Marchesin, only two companies out of the 226 defaulted borrowers tallied by S&P in 2020 were in its existing portfolio, which only experienced marginal losses due to small concentrations and high recovery rates for both these exposures. Chorus claims that pension funds make up 60% of its investor base, and 25% of it’s overall investors base coming from the US. It is one of a string of asset managers exploring opportunities in credit risk-sharing. Last November, Swedish pension fund Alecta and Dutch pension fund manager PGGM announced they have entered into a credit risk sharing deal with JP Morgan that covers around $2.5bn of corporate loans.

Credit risk sharing presents “an attractive way to add unique credit risk that cannot be found in public markets, in an investment format that provides a robust return under various economic scenarios,” said PGGM in a research note released in 2018.

PGGM, which manages a €5.3bn credit risk sharing portfolio established since 2006, noted in the report that its credit-risk sharing mandate has historically realised average returns of around 10-12% per annum.

Published with permission of PCFI Global. 

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