Twist On Synthetic CLOs Emerges

Barclays Capital is offering novel synthetic delta-hedged single-tranche collateralized loan obligations.

  • 26 Jan 2007
Email a colleague
Request a PDF

Barclays Capital is offering novel synthetic delta-hedged single-tranche collateralized loan obligations. Other synthetic CLOs so far are believed to have been non-correlation hedged full-capital structures. The challenges have been liquidity of the underlying assets, correlation modeling and call risk associated with European leveraged loan credit-default swap spreads contracts. "I don't know how, but they've achieved the impossible," said one asset manager.

Heikki Monkkonen, head of credit structuring in London, declined comment on the mechanics of the CLO. He said the first bespoke deal printed in November and there is significant investor interest, but added that tightening spreads have made the deals difficult to execute. Single-name LCDS have come in about 30-40 basis points since December and the basis between cash and LCDS has widened to about 70-80 bps.

  • 26 Jan 2007

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 20,521.83 80 6.93%
2 Barclays 20,382.90 37 6.89%
3 JPMorgan 18,760.94 72 6.34%
4 Goldman Sachs 17,444.96 41 5.89%
5 BNP Paribas 16,525.22 36 5.58%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 48,528.41 214 6.32%
2 Deutsche Bank 44,075.51 161 5.74%
3 BNP Paribas 41,452.79 240 5.40%
4 JPMorgan 37,278.65 134 4.85%
5 SG Corporate & Investment Banking 36,258.27 187 4.72%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Goldman Sachs 1,607.28 5 24.01%
2 Credit Suisse 1,301.65 4 19.45%
3 UBS 970.80 3 14.50%
4 BNP Paribas 522.35 4 7.80%
5 SG Corporate & Investment Banking 444.17 3 6.64%