Citigroup Plans Derivatives Use For Liquidity Funds

  • 03 Dec 2001
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Citigroup Asset Management is planning to use interest-rate and cross-currency interest-rate swaps for its newly launched open-ended euro and sterling-denominated liquidity funds and could put up to 10% of its assets into synthetic securities. The fund manager will use swaps to hedge exposure and alter duration but not to leverage the portfolio's positions, said Olivier Asselin, head of the short-term duration group in London. The so-called liquidity plus funds are currently EUR10 million (USD8.8 million) and GBP18 million (USD25 million), some of which is seed capital, he expects them to grow substantially.

Asselin said the funds have not yet begun to use swaps because the derivatives are relatively illiquid and as the portfolios are currently small they have to hold liquid assets in case of redemptions. Using swaps will allow the funds to generate a higher return. "A synthetic product can have a higher return, because you can get some pickup between a U.S. dollar or Japanese yen asset swap into the euro," Asselin added. However, he stressed the funds will limit their synthetic investments to 10% to maintain enough liquidity. The funds are aimed at institutional investors who want to invest for a four to six-month period. The asset manager has used cross-currency interest-rate swaps before but is currently shying away from the credit derivatives market, he added.

Asselin said the fund will select highly rated counterparties based on cost and will not deal exclusively with its in house dealer. He declined further comment.

  • 03 Dec 2001

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 16 Jan 2017
1 Citi 22,118.13 61 9.00%
2 Barclays 20,987.41 55 8.54%
3 JPMorgan 17,406.75 53 7.08%
4 HSBC 16,333.52 48 6.64%
5 Goldman Sachs 15,454.74 49 6.29%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 17 Jan 2017
1 Commerzbank Group 114.00 1 66.16%
2 CaixaBank 37.05 1 21.50%
3 UniCredit 10.62 1 6.17%
3 BNP Paribas 10.62 1 6.17%
Subtotal 172.30 3 100.00%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 17 Jan 2017
1 SG Corporate & Investment Banking 770.06 2 16.80%
2 Goldman Sachs 656.16 2 14.32%
3 JPMorgan 527.28 4 11.50%
4 Emirates NBD PJSC 408.38 1 8.91%
5 Deutsche Bank 321.53 3 7.01%