Mass. Firm Plans To Extend Duration To The Max

  • 03 Jun 2001
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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
  • 09 Jun 2017
1 Citi 206,449.53 755 8.84%
2 JPMorgan 192,919.68 823 8.26%
3 Bank of America Merrill Lynch 175,174.46 602 7.50%
4 Barclays 144,195.77 526 6.17%
5 Goldman Sachs 139,497.22 445 5.97%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 20 Jun 2017
1 Deutsche Bank 23,530.61 67 7.96%
2 HSBC 20,994.25 74 7.11%
3 Bank of America Merrill Lynch 20,490.14 49 6.93%
4 Credit Agricole CIB 15,076.29 72 5.10%
5 BNP Paribas 14,834.05 81 5.02%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 20 Jun 2017
1 JPMorgan 10,673.78 46 8.06%
2 Citi 9,632.20 60 7.28%
3 Goldman Sachs 9,310.79 46 7.03%
4 UBS 9,230.61 36 6.97%
5 Morgan Stanley 8,508.94 46 6.43%