Relative-Value Equity Tranche Trading Spikes

Recent underperformance of longer-dated index equity tranches relative to five-year equity tranches has traders seeing a rise in relative-value trading opportunities.

  • 03 Feb 2006
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Recent underperformance of longer-dated index equity tranches relative to five-year equity tranches has traders seeing a rise in relative-value trading opportunities. One popular trade, called a five-to-10-year equity flattener, has investors going long CDX5 10-year equity risk--selling credit-default swaps on the 10 year--and short CDX5 five-year risk, said Ashish Shah, co-head of credit strategy at Lehman Brothers in New York.

Trades across equity tranches of different maturities have grown out of increased issuance of seven- and 10-year CDS index super-senior tranches, Shah said. Overcrowding in five-year super-senior tranches last year caused value to be squeezed both down the capital structure (DW, 10/7) to equity tranches and across maturities to longer-dated super-senior deals (DW, 9/23). Value in seven- and 10-year super senior tranches is just now starting to be redistributed, causing longer-dated senior tranches to tighten and longer-dated equity tranches to widen.

  • 03 Feb 2006

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 162,498.05 705 8.03%
2 Citi 160,009.61 642 7.91%
3 Bank of America Merrill Lynch 131,789.43 523 6.52%
4 Barclays 127,011.96 491 6.28%
5 HSBC 105,841.39 530 5.23%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Bank of America Merrill Lynch 12,912.95 35 6.65%
2 BNP Paribas 12,334.48 61 6.35%
3 UniCredit 11,196.47 58 5.77%
4 Citi 9,580.75 37 4.93%
5 Deutsche Bank 8,953.95 35 4.61%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Morgan Stanley 5,454.13 25 10.54%
2 JPMorgan 4,866.13 28 9.40%
3 Goldman Sachs 4,280.20 20 8.27%
4 Citi 3,649.88 23 7.05%
5 UBS 3,602.23 16 6.96%