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
  • Today
1 Citi 352,540.12 1323 9.09%
2 Bank of America Merrill Lynch 315,574.44 1093 8.13%
3 JPMorgan 314,826.88 1433 8.11%
4 Goldman Sachs 234,193.07 776 6.04%
5 Barclays 226,473.92 879 5.84%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 33,723.41 160 6.58%
2 Deutsche Bank 33,605.53 115 6.55%
3 Bank of America Merrill Lynch 30,523.81 93 5.95%
4 BNP Paribas 26,890.30 166 5.24%
5 SG Corporate & Investment Banking 23,393.38 135 4.56%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 15 Oct 2017
1 JPMorgan 19,536.02 78 8.92%
2 Morgan Stanley 16,323.54 83 7.45%
3 Citi 15,667.80 92 7.15%
4 UBS 15,208.47 58 6.94%
5 Goldman Sachs 13,487.36 72 6.16%