TABX Free-For-All Settles

Trading in the tranched ABX index was more orderly last week, following the publication of the first week's closing prices by Markit Group.

  • 23 Feb 2007
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Trading in the tranched ABX index was more orderly last week, following the publication of the first week's closing prices by Markit Group. Market makers began to align their levels with those standardized by Markit, which helped to bring bid-ask spreads in to between three and five basis points compared with 10 bps the week before.

The lack of order spurred reports two weeks ago that several market makers lost some money in early trades. The senior tranches of both 06-02 and 07-01 tightened from where their original coupons printed and the mezzanine tranches widened.

Also adding to the trading free-for-all was the fact that corporate credit correlation desks and ABS portfolio managers were apparently all using different models to draw their correlation views, adding to the disparity among trading views. One quantitative analyst said dealers were using the Gaussian copula model used to price the corporate index tranches while others were using a model that plugged in constant mortgage prepayment numbers.

  • 23 Feb 2007

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 313,852.39 1175 8.95%
2 JPMorgan 286,674.13 1305 8.17%
3 Bank of America Merrill Lynch 281,869.72 974 8.04%
4 Goldman Sachs 214,547.99 704 6.12%
5 Barclays 205,147.76 790 5.85%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Deutsche Bank 31,971.88 102 6.84%
2 HSBC 31,343.18 140 6.70%
3 Bank of America Merrill Lynch 28,468.55 82 6.09%
4 BNP Paribas 24,679.63 135 5.28%
5 SG Corporate & Investment Banking 22,195.55 122 4.75%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 15,956.24 68 8.20%
2 Morgan Stanley 15,028.69 75 7.73%
3 UBS 14,195.29 55 7.30%
4 Citi 13,827.82 85 7.11%
5 Goldman Sachs 11,994.74 65 6.17%