Credit Houses Make Inroads Into Tranchelets Market

JPMorgan, Merrill Lynch and Deutsche Bank are among credit houses making inroads into the budding tranchelets market by quoting two-way prices for the instruments.

  • 20 Jan 2006
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JPMorgan, Merrill Lynch and Deutsche Bank are among credit houses making inroads into the budding tranchelets market by quoting two-way prices for the instruments. Tranchelets are very thin slices of the equity tranches in the credit derivatives indices (DW, 1/6).

Dirk Muench, credit derivates analyst at JPMorgan in London, said, "It's a need of JPMorgan and the wider market to improve risk management of CDOS, especially in the first-loss piece," he said. A trader added, "They are a very, very hot topic." The instruments present opportunities for higher yield because of higher leverage and risk, as well as relative-value plays and option-like trades on default rates, he added.

Mickey Bhatia, director and head of flow correlation trading at Deutsche Bank in London, said his firm is trading an average of four CDX tranchelets a week with notionals of between USD5 and USD10 million. He also noted a number of inter-dealer plays. Dealers at Credit Suisse First Boston, Morgan Stanley, Citigroup are also considering or already trading tranchelets.

Olivier Renault, credit strategist at Citigroup in London, said a liquid tranchelets market may not develop until observable implied correlation points for tranches below 3% materialize. Another strategist agreed, saying there are price discrepancies between dealers who have different default-rate assumptions. "At the moment it's the gut feeling of the trader," he noted.

  • 20 Jan 2006

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 317,691.74 1201 8.90%
2 JPMorgan 291,227.96 1326 8.16%
3 Bank of America Merrill Lynch 285,088.11 991 7.99%
4 Goldman Sachs 217,749.25 714 6.10%
5 Barclays 209,291.80 811 5.87%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 32,320.82 147 6.67%
2 Deutsche Bank 32,259.50 104 6.66%
3 Bank of America Merrill Lynch 28,890.43 85 5.96%
4 BNP Paribas 25,663.29 144 5.30%
5 Credit Agricole CIB 22,617.86 130 4.67%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 18,160.85 71 9.15%
2 Morgan Stanley 15,215.44 76 7.67%
3 UBS 14,195.29 55 7.15%
4 Citi 14,014.57 86 7.06%
5 Goldman Sachs 12,113.98 67 6.10%