L.A. Shop To Add Agency Floaters

First Pacific Advisors may add at least $50 million to its holdings of agency floaters pegged to the two-year Treasury swap rate.

  • 22 Apr 2005
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Thomas Atteberry
First Pacific Advisors may add at least $50 million to its holdings of agency floaters pegged to the two-year Treasury swap rate. First Pacific may make this move if a near-term sell-off drives 10-year yields to 4.60%, but the move would also depend on if it can find an issuer to underwrite such a deal, according to Thomas Atteberry, who manages $2.5 billion from Los Angeles. The manager is making this relative value play now as mortgages have richened and callable agencies are not yielding as much as six months ago, Atteberry said. Ten-year yields were at 4.46% on April 12.

Atteberry is looking to bring his approximately 4% in CMS-based agency floaters to at least 6%, making it roughly even with his holdings of CMT-based agency floaters. He said he will bulk up the percentage through new cash and the proceeds from agency bonds that have been called away. He said he prefers CMS-based agency floaters over CMT-based floaters because in a rising interest-rate environment swap spreads will rise to Treasuries. In addition, for the same coupon, should a market adjustment cause investors to flee to Treasuries, CMS-based yields will stay the same or rise while CMT-based yields will fall.

One example of a callable agency Atteberry owns but would not buy again due to spread tightening is a Federal Home Loan Bank of '09 bond with a monthly call option and a coupon that increases by 25 basis points every quarter for the first two years. If the bond is not called away before the two years is up, the bond becomes a 6% bullet.

Atteberry's portfolio is composed of 21% cash, 13% Treasuries, 25% agencies, 24.1% mortgages, 11.7% corporates and 1.9% in asset-backed securities, with the remainder in international bonds, common stock and convertibles. His benchmark is the Lehman Brothers Aggregate Bond Index.

  • 22 Apr 2005

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 358,291.38 1348 9.06%
2 JPMorgan 320,704.66 1461 8.11%
3 Bank of America Merrill Lynch 318,128.31 1104 8.04%
4 Goldman Sachs 236,643.87 789 5.98%
5 Barclays 231,197.41 895 5.84%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
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  • Today
1 HSBC 35,007.57 165 6.53%
2 Deutsche Bank 34,880.53 120 6.51%
3 Bank of America Merrill Lynch 31,805.65 97 5.93%
4 BNP Paribas 27,920.60 169 5.21%
5 SG Corporate & Investment Banking 24,398.89 138 4.55%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
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  • Today
1 JPMorgan 19,745.92 80 8.85%
2 Morgan Stanley 16,334.63 83 7.32%
3 Citi 15,972.34 95 7.16%
4 UBS 15,487.17 60 6.94%
5 Goldman Sachs 14,053.61 76 6.30%