Citi Short SIV Draws Rival Interest

Firms across the Street are looking to replicate Citigroup's novel structured investment vehicle, Zela Finance, the first SIV to go short credit by using some of its returns to buy credit-default swap protection.

  • 03 Nov 2006
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Firms across the Street are looking to replicate Citigroup's novel structured investment vehicle, Zela Finance, the first SIV to go short credit by using some of its returns to buy credit-default swap protection. Officials at Citi declined comment. Zela came to market late last month. Ratings agency officials said they have seen a string of similar proposals, declining to give details.

Including a short credit portfolio reduces the overall volatility of the SIV's net-asset value. That earned Zela income notes a rating of A minus from Standard & Poor's, higher than it would otherwise have been. The funds available for the short portfolio, known as the running yield, are restricted to the excess spread generated by the long portfolio, minus the minimum coupon of LIBOR plus 25 basis points paid to income note holders, according to a rating agency official.

"What's happening is more investors are looking for protection," said one CDO analyst. He noted the introduction of CDS on asset-backed securities has opened the door for non-traditional players. SIV investors, among some of the more conservative participants in the credit markets, requested additional protection in the structures, officials said.

  • 03 Nov 2006

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 241,977.38 927 8.19%
2 JPMorgan 223,817.40 997 7.58%
3 Bank of America Merrill Lynch 216,160.55 723 7.32%
4 Barclays 185,098.93 672 6.27%
5 Goldman Sachs 158,991.47 518 5.38%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 32,522.19 61 6.54%
2 BNP Paribas 32,284.10 130 6.49%
3 UniCredit 26,992.47 123 5.43%
4 SG Corporate & Investment Banking 26,569.73 97 5.34%
5 Credit Agricole CIB 23,807.36 111 4.79%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Goldman Sachs 10,167.68 46 8.81%
2 JPMorgan 9,894.90 42 8.58%
3 Citi 8,202.25 45 7.11%
4 UBS 6,098.17 23 5.29%
5 Credit Suisse 5,236.02 28 4.54%