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CalPERS Readies Plunge Into CDO World

10 Nov 2002

The California Public Employees' Retirement System plans to make its first investment in collateralized debt obligations in the coming months, according to BW sister publication Derivatives Week. CalPERS will likely invest $25-50 million before year end, according to Mark Anson, cio in Sacramento. CalPERS is the largest public pension fund, with assets totaling approximately $136 billion.

Anson said CalPERS would invest in the equity tranche of a CDO because, "you get more bang for your buck." CalPERS 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 agonistic, we will look at both cash and synthetic. What we are looking for is the best structure."

10 Nov 2002