Chicago-Based ARM Shop To Buy Faster Reset Paper

  • 08 Dec 2002
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David Petrosinelli, portfolio manager at Chicago-based Shay Assets Management, says the firm will reduce interest rate risk by allocating more to faster resetting securities in a move destined to reposition its $3.7 billion adjustable rate mortgage portfolio as it believes interest rates are about to rise. He reasons that in a rising interest rate environment, bonds that reset to a coupon in line with market rates perform better.

Petrosinelli plans on following this strategy in two ways. First, by swapping 3%, or $111 million, out of Ginnie Mae ARMs into Fannie Mae and Freddie Mac ARMs because Freddie and Fannies have a faster reset (four to six month's interval) than Ginnies, which only reset once a year. He will also rotate 8%, or $296 million, of the firm's portfolio out of fixed-rate collateralized mortgage obligations into an equal amount of cash and floating rate CMOs.

Petrosinelli allocates 25% to private labels ARMs, 15% to cash, 14% to Fannie Mae ARMs, 14% to Freddie Mac ARMs, 14% to fixed-rate CMOs, 13% to floating CMOs and 5% to Ginnie Mae ARMs. The average duration is nine months. The firm uses the six-month Treasury bill as its benchmark.

  • 08 Dec 2002

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
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1 JPMorgan 157,356.37 678 8.16%
2 Citi 152,676.64 610 7.92%
3 Bank of America Merrill Lynch 124,631.28 499 6.47%
4 Barclays 122,825.35 473 6.37%
5 HSBC 99,755.18 499 5.18%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
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1 Bank of America Merrill Lynch 12,891.73 34 6.67%
2 BNP Paribas 12,285.93 60 6.36%
3 UniCredit 11,196.47 58 5.79%
4 Citi 9,580.75 37 4.96%
5 Deutsche Bank 8,945.44 35 4.63%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
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1 Morgan Stanley 5,248.63 23 10.64%
2 JPMorgan 4,558.16 26 9.24%
3 Goldman Sachs 4,254.47 19 8.62%
4 Citi 3,649.88 23 7.40%
5 UBS 3,602.23 16 7.30%