Aegon USA is still the largest U.S. based investor in asset-backed securities, with more than $5.2 billion in visible ABS, according to Thomson Financial BondWatch. Aegon's $5.2 billion in ABS represents about 10% of its total fixed income portfolio, which is approximately $53.7 billion in size. MBS and CMO investments make up roughly 20% of Aegon's portfolio.
Pacific Investment Management Co. runs the fund with the largest nominal amount of ABS, roughly $1.4 billion, although that figure apparently has not been updated since the start of 2Q01. Pimco is the eighth largest holder of ABS, with $2.8 billion, which is approximately 4.15% of its $68 billion fixed income portfolio.
Interestingly, smaller bracket player Strong Capital Management manages the fund with second largest nominal amount of ABS (see profile, ASR 6/25/01), called Strong Advantage Fund. The account allocates $1.18 billion to ABS, which is slightly more than 25% of the $4.6 billion total. Strong's total fixed income portfolio is approximately $17 billion in size, ABS making up about 8.63% or $1.5 billion. Strong places in the low 20s overall for management companies holding ABS.
No. 2 management company, Teacher Insurance & Annuity Association, holds approximately $4.4 billion in ABS, which is about 6.16% of its $71.7 billion fixed income portfolio.
Prudential Investment Management, New York Life, Metropolitan Life Insurance Co., and Allstate Corp. each hold about $3.5 billion of visible ABS in their portfolios. MetLife is also a strong player in MBS and CMOs, with more than $9 billion allocated to each asset class for approximately 25% of its total fixed income portfolio, which is about $72.9 billion in size. Both Prudential and MetLife have managed structured finance CDOs.
BondWatch gathers its data from a combination of U.S. regulatory filings, mostly submitted to the National Association of Insurance Commissioners (NAIC) and Securities & Exchange Commission. BondWatch also monitors fund prospectuses.
