The Creditflux league tables are the most reliable and closely watched measure of dealer and manager activity in the synthetic CDO and index tranche markets. Despite the private nature of these markets, we estimate that the league tables cover 75% of the bespoke synthetic CDO business and 80% of index tranche volumes.
We publish regular league tables and volume tables based on CDOs included in Creditflux Data+. There are a number of sources for the information, including rating agency press releases and other announcements. In addition, we ask counterparties and managers to submit details of recently traded deals at the end of each quarter. At the end of the year, the data for the four quarters is added to produce full year league and volume tables.
The basic methodology for the league tables is to add together the volume of tranched portfolio protection bought and sold by each counterparty, and then to apply a risk weighting to those totals. Volumes include unfunded trades (including those collateralised through a CSA) and funded trades issued in the form of a credit-linked note. See complete methodology.
If you would like to reproduce any of these tables please contact Tom Davidson.
| Arranger | $m | % | |
| 1 | JP Morgan | 106,451 | 22 |
| 2 | Calyon | 96,813 | 20 |
| 3 | Deutsche Bank | 62,380 | 13 |
| 4 | BNP Paribas | 61,786 | 13 |
| 5 | UBS | 37,042 | 8 |
| 6 | Barclays | 22,556 | 5 |
| 7 | Societe Generale | 21,615 | 4 |
| 8 | Citi | 20,741 | 4 |
| 9 | Lehman Brothers | 13,779 | 3 |
| 10 | Bear Stearns | 10,655 | 2 |
| Other | 27,824 | 6 | |
| Total* | 383,219 |
*includes double counting adjustment
Source: Creditflux Data+
| Arranger | $m | % | |
| 1 | Calyon | 69,214 | 38 |
| 2 | JP Morgan | 27,821 | 15 |
| 3 | Barclays | 22,680 | 12 |
| 4 | UBS | 14,421 | 8 |
| 5 | BNP Paribas | 11,829 | 7 |
| 6 | Deutsche Bank | 9,845 | 5 |
| 7 | Merrill Lynch | 8,051 | 4 |
| 8 | Citi | 6,880 | 4 |
| 9 | HSBC | 5,673 | 3 |
| 10 | Societe Generale | 5,390 | 3 |
| Other | 6,918 | 4 | |
| Total* | 159,505 |
*includes double counting adjustment
Source: Creditflux Data+
| Arranger | $m | % | |||||
| 1 | JP Morgan | 404,075 | 17 | ||||
| 2 | Citi | 367,222 | 15 | ||||
| 3 | Lehman Brothers | 366,377 | 15 | ||||
| 4 | UBS | 350,677 | 15 | ||||
| 5 | Deutsche Bank | 330,478 | 14 | ||||
| 6 | BNP Paribas | 194,748 | 8 | ||||
| 7 | Calyon | 111,744 | 5 | ||||
| 8 | Societe Generale | 109,421 | 5 | ||||
| 9 | Merrill Lynch | 79,256 | 3 | ||||
| 10 | HSBC | 60,470 | 3 | ||||
| Other | 88,636 | 4 | |||||
| Total* | 1,769,331 | ||||||
*includes double counting adjustment
Source: Creditflux Data+
| Arranger | $m | % | |||||
| 1 | JP Morgan | 129,236 | 18 | ||||
| 2 | Lehman Brothers | 128,158 | 18 | ||||
| 3 | Deutsche Bank | 98,860 | 14 | ||||
| 4 | UBS | 80,665 | 11 | ||||
| 5 | Merrill Lynch | 77,992 | 11 | ||||
| 6 | Citi | 73,976 | 10 | ||||
| 7 | BNP Paribas | 53,774 | 7 | ||||
| 8 | Societe Generale | 37,132 | 5 | ||||
| 9 | Calyon | 27,440 | 4 | ||||
| 10 | HSBC | 15,365 | 2 | ||||
| Other | 31,079 | 4 | |||||
| Total* | 542,331 | ||||||
*includes double counting adjustment
Source: Creditflux Data+