Mass. Firm Plans To Extend Duration To The Max

  • 03 Jun 2001
Email a colleague
Request a PDF

Merganser Capital Management is planning to go 10% over its benchmark's duration because the firm is bullish on short-term bonds, says Douglas Kelly who manages a $2 billion of short term bond portfolio. The steepening of both the yield and credit curves allows for an extra pick-up in yield and spread, which is why he is extending the term of his picks.

Kelly typically extends out the curve by swapping short-term corporates (less than 13-months) into the two- to three-year range within the same credit, picking up additional yield. For instance, he recently traded out of the 4.95% International Lease Finance (A1/AA-) notes of '03 into the '04s, for approximately $20 million, which lengthened his duration by 0.05%. He was also able to pick up 40 basis points in trading Hydro-Quebec (A2/A+) bonds of '03 out of a February maturity into a July term. He explains that for some global bonds, trading out of short-term, which are often considered very liquid, into the medium-term can offer substantial yield gains associated with the loss of liquidity.

Kelly manages a $2 billion short-term fund for the Cambridge, Mass.-based firm. The asset allocation is 40% domestic corporates, 35% ABS, 10% international corporates, 7% agency debentures, 5% agency passthrough and CMOs and 3% CMBS.

The fund's duration is 1.75 year, against 1.60 years for the benchmark Merrill Lynch One- to Three-Year Treasury index.

  • 03 Jun 2001

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 280,265.07 1033 8.97%
2 JPMorgan 255,894.98 1165 8.19%
3 Bank of America Merrill Lynch 248,918.80 861 7.97%
4 Goldman Sachs 192,023.30 615 6.15%
5 Barclays 183,846.60 703 5.89%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 28,458.91 116 7.05%
2 Deutsche Bank 26,902.99 90 6.66%
3 Bank of America Merrill Lynch 24,997.04 70 6.19%
4 BNP Paribas 21,217.62 120 5.25%
5 Credit Agricole CIB 19,454.23 112 4.82%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 13,671.74 61 7.87%
2 Citi 12,076.06 76 6.95%
3 Morgan Stanley 11,899.85 66 6.85%
4 UBS 11,800.30 47 6.80%
5 Goldman Sachs 11,111.93 58 6.40%