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 302,654.45 1175 8.04%
2 JPMorgan 295,926.30 1292 7.86%
3 Bank of America Merrill Lynch 277,651.59 935 7.38%
4 Barclays 229,979.10 854 6.11%
5 Goldman Sachs 205,171.65 674 5.45%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 BNP Paribas 43,227.81 174 7.06%
2 JPMorgan 38,825.76 78 6.34%
3 Credit Agricole CIB 33,071.14 158 5.40%
4 UniCredit 32,366.25 145 5.29%
5 SG Corporate & Investment Banking 31,330.98 120 5.12%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 13,024.03 55 8.96%
2 Goldman Sachs 12,162.67 59 8.37%
3 Citi 9,451.48 53 6.50%
4 Morgan Stanley 8,054.41 48 5.54%
5 UBS 7,829.15 30 5.38%