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
  • 24 Jul 2017
1 Citi 253,106.92 930 8.89%
2 JPMorgan 230,914.50 1036 8.11%
3 Bank of America Merrill Lynch 221,389.46 762 7.78%
4 Goldman Sachs 171,499.26 554 6.03%
5 Barclays 169,046.60 646 5.94%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 25 Jul 2017
1 HSBC 27,039.93 106 7.36%
2 Deutsche Bank 25,125.19 81 6.84%
3 Bank of America Merrill Lynch 23,128.33 61 6.29%
4 BNP Paribas 19,315.94 110 5.26%
5 Credit Agricole CIB 18,706.93 106 5.09%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 25 Jul 2017
1 JPMorgan 13,488.13 59 8.47%
2 Citi 11,496.21 73 7.22%
3 UBS 11,302.86 45 7.09%
4 Morgan Stanley 10,864.95 59 6.82%
5 Goldman Sachs 10,434.21 54 6.55%