Chenavari ABS fund up amid quarter-end volatility

Chenavari Investment Managers’ Toro Capital IA fund — which invests in a broad mix of European securitized assets — posted returns of 1.08% last month, amid sharper market volatility towards the end of the first half of the year.

  • By Joseph McDevitt
  • 22 Jul 2013


In an investor update seen by EuroWeek’s sister publication Securitization Intelligence (SI), Chenavari officials said June’s wider volatility, coupled with the traditional quarter-end illiquidity, presented “great opportunities” for portfolio rebalancing.

“The latest vintages of peripheral senior RMBS lost 3 to 4%, while high beta mezzanines — such ...

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Rank Lead Manager/Arranger Total Volume $m No. of Deals Share % by Volume
1 Bank of America Merrill Lynch (BAML) 1,284 2 30.09
2 Barclays 633 1 14.82
3 BNP Paribas 509 1 11.91
4 Citi 467 1 10.94
5 Morgan Stanley 455 1 10.66

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4 JPMorgan 7,225.34 25 9.54%
5 Wells Fargo Securities 6,258.35 24 8.26%