Single-Tranche Loan CDOs Wait In The Wings

A handful of firms in Europe and the U.S. are preparing to launch single tranches of loan-only credit-default swaps.

  • 01 Dec 2006
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A handful of firms in Europe and the U.S. are preparing to launch single tranches of loan-only credit-default swaps. Barclays Capital, Credit Suisse and Goldman Sachs are tipped to bring out the first tranche deals early next year. Officials at the firms declined comment.

Capital structure arbitrage hedge funds have requested bespoke portfolios of LCDS and have been searching for a way to incorporate views on correlation across different types of credit, according to a hedge fund consultant. Dealers, however, have been reluctant to structure tranches of loan credit-default swaps without a reference index to provide observable reference prices and a means to hedge single-tranche issues. Although there is an index in Europe, the iTraxx LevX, there is not enough liquidity to give a reliable market-value for tranches.

The expectation is the correlation market will take off once the index offers enough liquidity to provide a delta hedge. Firms are also working on updating correlation models that may be easily adapted to different classes of credit, such as LCDS and tranches of asset-backed securities (DW, 11/27).

  • 01 Dec 2006

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 67,814.25 217 8.37%
2 JPMorgan 64,786.86 230 8.00%
3 Barclays 55,262.22 183 6.82%
4 Bank of America Merrill Lynch 48,274.42 172 5.96%
5 Deutsche Bank 43,665.36 159 5.39%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Bank of America Merrill Lynch 6,217.19 6 15.22%
2 Deutsche Bank 3,538.77 6 8.66%
3 Citi 2,570.45 7 6.29%
4 Commerzbank Group 2,532.05 5 6.20%
5 BNP Paribas 1,798.71 8 4.40%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 UBS 998.25 3 12.17%
2 Citi 693.55 2 8.46%
3 Morgan Stanley 606.80 4 7.40%
4 Bank of America Merrill Lynch 509.34 3 6.21%
5 Jefferies LLC 409.89 4 5.00%