Correlation Dangers Deter Tranchelets Players

Some credit dealers are holding off entering the budding tranchelets market because of uncertainty over correlation risks.

  • 24 Feb 2006
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Some credit dealers are holding off entering the budding tranchelets market because of uncertainty over correlation risks. They say the instruments are extremely sensitive to even the smallest change in the correlation curve and these minuscule changes can be hard to predict. "Because of the narrow attachment points, a small move in the curve will have a big impact on the tranche," said one dealer at a top-tier credit house.

Tranchelets are very thin slices of index equity tranches which first hit the market last year. A handful of firms began quoting two-way prices on them last month (DW, 1/20). One London-based analyst said his firm is comfortable using tranchelets as a risk-management tool only, off-setting bespoke tranches of collateralized debt obligations. "We will not trade for trade sake," he added.

  • 24 Feb 2006

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 16 Jan 2017
1 Citi 22,118.13 61 9.00%
2 Barclays 20,987.41 55 8.54%
3 JPMorgan 17,406.75 53 7.08%
4 HSBC 16,333.52 48 6.64%
5 Goldman Sachs 15,454.74 49 6.29%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 17 Jan 2017
1 Commerzbank Group 114.00 1 66.16%
2 CaixaBank 37.05 1 21.50%
3 UniCredit 10.62 1 6.17%
3 BNP Paribas 10.62 1 6.17%
Subtotal 172.30 3 100.00%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 17 Jan 2017
1 SG Corporate & Investment Banking 770.06 2 16.80%
2 Goldman Sachs 656.16 2 14.32%
3 JPMorgan 527.28 4 11.50%
4 Emirates NBD PJSC 408.38 1 8.91%
5 Deutsche Bank 321.53 3 7.01%