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 Citi 70,767.73 236 8.54%
2 JPMorgan 65,265.75 234 7.88%
3 Barclays 56,658.40 187 6.84%
4 Bank of America Merrill Lynch 49,197.71 178 5.94%
5 Deutsche Bank 44,635.32 162 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 6,812.19 7 16.21%
2 Deutsche Bank 3,538.77 6 8.42%
3 Citi 2,570.45 7 6.12%
4 Commerzbank Group 2,532.05 5 6.02%
5 BNP Paribas 1,798.71 8 4.28%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 UBS 998.25 3 11.59%
2 Citi 801.18 3 9.31%
3 Morgan Stanley 606.80 4 7.05%
4 Bank of America Merrill Lynch 509.34 3 5.92%
5 SG Corporate & Investment Banking 431.66 3 5.01%