Calpers Prepares First CDO Investment

  • 11 Nov 2002
Email a colleague
Request a PDF

The California Public Employees' Retirement System plans to make its first investment in CDOs in the coming months. CalPERS, the U.S.' largest public pension fund, with assets totaling approximately USD136 billion, will likely invest USD25-50 million before year end, according to Mark Anson, cio in Sacramento, Calif.

Anson said CalPERS would invest in the equity tranche of a CDO, because, "you get more bang for your buck." The pension fund already invests in the underlying primary assets and is large enough to diversify its own portfolio so does not want to take unleveraged exposure, he added.

In choosing a deal Anson said, "We are agnostic, we will look at both cash and synthetic. What we are looking for is the best structure."

More pension funds are looking at CDOs to boost their returns and diversify their portfolios, according to Darren Smith, co-head of CDOs at Dresdner Kleinwort Wasserstein in London. CDO equity is suited to pension funds because they are paid up front and given an illiquidity premium. Smith estimated that a diversified pool of CDO equity could give a return in the mid-teens even if there were some defaults, and if credit quality improves that return could jump to 20-30%.

  • 11 Nov 2002

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 238,370.95 916 8.14%
2 JPMorgan 221,587.27 991 7.57%
3 Bank of America Merrill Lynch 214,543.42 717 7.33%
4 Barclays 184,024.85 666 6.29%
5 HSBC 157,697.44 732 5.39%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 32,467.80 60 6.57%
2 BNP Paribas 32,284.10 130 6.53%
3 UniCredit 26,992.47 123 5.46%
4 SG Corporate & Investment Banking 26,569.73 97 5.37%
5 Credit Agricole CIB 23,807.36 111 4.81%

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 8.82%
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%