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 BNP Paribas 10,542 20 17.55
2 Bank of America Merrill Lynch (BAML) 6,103 21 10.16
3 Citi 5,130 13 8.54
4 JP Morgan 4,681 6 7.79
5 Morgan Stanley 4,137 11 6.89

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3 Wells Fargo Securities 55,825.35 161 8.10%
4 JPMorgan 52,873.25 155 7.67%
5 Credit Suisse 44,197.08 113 6.41%