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Following Capital Structures Over Time to Extract Value MONEY MANAGER INTERVIEW Following Capital Structures Over Time to Extract Value MICHAEL KAO, AKANTHOS CAPITAL MANAGEMENT, LLC MICHAEL KAO is CEO and Portfolio Manager at Akanthos Capital Management, LLC. Mr. Kao has devised and implemented investment strategies spanning multiple asset classes and markets since 1992. Prior to forming Akanthos Capital Management, LLC, in 2002, Mr. Kao worked at Canyon Capital Advisors, where he analyzed, devised and implemented trading strategies in convertible and capital structure arbitrage, merger arbitrage, standalone and option strategies, and firm-wide portfolio hedges using index options, interest rate instruments, currency options and commodity options. While at Canyon Capital Advisors, he co-founded and lead-managed the firm’s Arbitrage Strategies Group, and co-founded the Canyon Capital Arbitrage Fund, directing investments for just under $700 million of fund capital in various arbitrage strategies spanning convertible, capital structure and merger arbitrage. Mr. Kao began his investment career at the J. Aron Currencies and Commodities division of Goldman Sachs, engaging in index arbitrage, proprietary trading strategies in over 30 underlying future and options markets, and dynamically hedging and making markets in various commodity-linked derivatives. Mr. Kao is a graduate of the University of California at Berkeley with a B.S. in electrical engineering and computer Science, and the Wharton School of the University of Pennsylvania with an MBA in finance. SECTOR — GENERAL INVESTING Mr. Kao: One of the early lessons, and one that I (AFJ502) TWST: Please begin with some highlights from adhere to today, is that you always have to have a view on your career, with a view to steps that led you to found everything at all times. It’s something that I encourage my Akanthos Capital Management. analysts at Akanthos to have. Essentially, we have to have a view Mr. Kao: My pre-Akanthos career was short but on pretty much everything in our portfolio at all times. eventful, preparing me for the company we have today. I graduated My boss at Goldman was a gentleman by the name of from Berkeley with an engineering degree and went straight to James Riley, who headed precious metals and commodities trading. Wall Street to work for Goldman Sachs. My first job was in the J. Jimmy, as we called him, was one of the best instinctual traders I have Aron Group, which is the currency and commodities division, and ever met. He taught me not the high finance of trading, but the street which led me to trade a product called the Goldman Sachs smarts of trading. That is, the tactics of trading, especially reading Commodity Index. It was a combination of a market-making desk, market sentiment and understanding the dynamics of trading. a derivatives trading desk as well as a proprietary trading desk, From a practical standpoint he also taught me the value of because the Index product was a nascent one at the time. having positive gamma versus negative gamma. Perhaps I should My mandate was to ensure that there was liquidity in digress for a minute and demystify the jargon. Gamma is a piece of the product for any institutional investor that wanted to invest in jargon that options traders use to describe the rate of change of the commodities. It was essentially a market-making type of role, delta of an option. Delta of an option is basically an option’s and because it was new, in-between times where there was sensitivity to the underlying share price. Therefore the gamma is the institutional flow, we had to find ways to make ourselves rate of change of that rate of change, if you will. It’s a little bit of an relevant. We were encouraged to essentially have proprietary esoteric concept, but basically when you are long optionality — views on all 22 of the underlying commodities at the time. when you are long options — you have a quality called positive 952-7400 (212) Wolfrath permission contact Kenneth reproduction material: For Copyrighted TWST: What did you take away from the experience? gamma. If the underlying stock or commodity goes up, your option MONEY MANAGER INTERVIEW — MICHAEL KAO becomes more and more sensitive. So the lessons I learned at to arbitrage the convertible bond against the stock. Goldman were trading instincts and optionality. Over the years General Motors became more indebted After that I went off to Wharton business school and did a and the fundamentals declined. Now remember, this was the old short stint at Harvard Management Company, working for folks like GM, and the trades we did sort of migrated into where we were Jon Jacobson and Jack Meyer. That was where I was introduced to arbitraging the convert against straight debt, thus underscoring my other asset classes, and that the world of finance is greater than just theory of using the capital structure for maximum effectiveness. pork bellies and orange juice. After business school I landed at TWST: Can you give a specific example of this Canyon Partners, a then-nascent credit fund in Los Angeles. I was one arbitrage trade? of four investment professionals and the first that was hired with a Mr. Kao: Sure. There was a point in time where you derivatives background. I was able to learn credit analysis from two could buy the convertibles for, as I recall, a 14% yield, and you very smart credit guys, Josh Friedman and Mitch Julis, both of whom could short equivalent duration straight debt at a 12% yield. had previously been at Drexel Burnham. Typically a convertible ought to be priced At Canyon, which I joined in 1997, at a premium to straight debt. And if all Highlights I was given fairly free rein and developed my things being equal, if the coupons are the investment philosophy involving being same, if the durations are the same, the Michael Kao discusses his firm’s creative up and down the capital structure. It convertible ought to be priced at a premium, investment philosophy and involved looking for the best bang for the buck because presumably there is some value strategy, which follows capital in the capital structure, and especially that you pay for that underlying equity structures over very long periods identifying the fulcrum security — whether it option. In this case the market was pricing of time to extract as much value be the equity or the preferred, or the debt — the convertible 200 basis points wider than as possible. He says that his firm where you can have the biggest opportunity. At the equivalent duration straight debt. In is a bottom-up hunter of value up Canyon I was doing hybrid trades, combining other words, the market was paying you an and down the capital structures. elements of credit analysis, meaning buying extra 200 basis points to take the option, Mr. Kao uses an example of an bank debt and high-yield convertible bonds, which was a complete inefficiency in the arbitrage trade to represent this and hedging them with option strategies. capital structure that we exploited. philosophy as well as an Then in 1998, I formalized my Once the auto and financial crisis idiosyncratic situation that approach with a white paper that I entitled impacted Wall Street, GM became what I represented a win for his firm. “Alpha with Asymmetry.” I posited that you call a modern-day railroad bond. If you may Companies discussed: General can combine certain strategies, which are recall from your history books, in World War Motors Company (GM); Ford long gamma strategies, and combine them II President Roosevelt commandeered the Motor Co. (F); Federal National with other event-driven types of strategies. railroad system to ensure a reliable supply of Mortgage Association (FNMA) Essentially it involved recognizing that the war material. When he essentially and Federal Home Loan Mortgage price that you pay for an explicit catalyst is nationalized the railroad system, their bonds Corporation (FMCC). sometimes negative optionality, but that collapsed down to five cents on the dollar. It through intelligent security selection you can wasn’t fundamentals that drove the bonds to create an interesting alpha stream. five cents on the dollar; it was a complete This was basically the centerpiece of my investment style random active government interference that caused it. that I started doing at Canyon and built into what I’ll call a relative A little-known trader by the name of Cy Lewis, at a value business. It was those founding principles that I used to start then-unknown firm Bear Stearns, saw, based on liquidation Akanthos, which is what we’re now about. We follow capital analysis, these bonds could be worth par if at the end of the day structures over very long periods of time. One of the things our we are a country based on the rule of contract law. Based on that clients know us for is that we’ll pick over the capital structure every assumption, he made what turned out to be an historic wager that which way until we’ve extracted every bit of value from it, paid off and put Bear Stearns on the map. assuming there is value to be recognized. I called GM a modern-day railroad bond because in the TWST: Can you exemplify your strategy with a spring of 2009, the Administration was doing a similar thing portfolio holding to help illustrate your process? I see that across multiple industries. In autos, specifically, the Chrysler among your top holdings is General Motors. Do you still hold it? senior secured lenders were being bullied into accepting a $0.35 Mr. Kao: In December we closed out our GM (GM) on the dollar settlement.
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