Chicago Shop To Rotate Corps Into MBS

  • 17 Feb 2002
Email a colleague
Request a PDF

Greg Hosbein, portfolio manager with Chicago-based Segall, Bryant & Hamill, is going to swap 5%, or $50 million of the firm's $1 billion portfolio, out of corporates into agency pass-throughs, on the view that mortgage spreads will come in over the next few months. He reasons that pass-throughs will benefit directly from a decline in interest rate volatility as the Federal Reserve is likely to keep rates unchanged, until at least until September. He notes that 30-year Fannie Mae 6.50% bonds were yielding 190 basis points over the Treasury curve last Monday, a level he sees tightening by 10-20 basis points over the next few months.

Hosbein says he will buy Fannie Mae and Freddie Mac 30-year conventional bonds, with a preference for newly issued bonds versus seasoned ones, as seasoned mortgage bonds trade at a slight premium in the current pre-pay environment, while newly issued bonds offer more yield. Preference will be given to 30-year over 15-year bonds as Hosbein anticipates the yield curve will flatten. He says purchases will be funded through profit taking in some corporates. A recent example was the sale of the First Data Corp. 4.70% notes of '06 (A1/A+). The bonds were sold because the supermarket sector has been well bid recently, says Hosbein. Most of the sales will be in the five-year maturity range in order to keep some yield, though he will ponder selling some 30-year corporate paper to remain duration neutral.

The portfolio's asset allocation is 37% corporates, 33% agency pass-throughs, 13% agency debentures, 10% Treasuries, 5% ABS and 2% cash. With a 4.57-year duration, the fund is slightly long its index, the Lehman Brothers aggregate which has a duration of 4.47 years.

  • 17 Feb 2002

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 6.56%
2 BNP Paribas 32,284.10 130 6.51%
3 UniCredit 26,992.47 123 5.44%
4 SG Corporate & Investment Banking 26,569.73 97 5.36%
5 Credit Agricole CIB 23,807.36 111 4.80%

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%