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.
2006 synthetic issuance
Other league tables
2006 synthetic arranger league tables
| $m | % | ||
| 1 | JP Morgan | 348,573 | 22 |
| 2 | Calyon | 228,441 | 15 |
| 3 | BNP Paribas | 218,990 | 14 |
| 4 | Morgan Stanley | 153,884 | 10 |
| 5 | Merrill Lynch | 143,438 | 9 |
| 6 | Deutsche Bank | 136,894 | 9 |
| 7 | SG | 102,123 | 7 |
| 8 | Barclays | 101,903 | 7 |
| 9 | Bank of America | 77,752 | 5 |
| 10 | Citigroup | 72,844 | 5 |
| Other | 183,510 | 12 | |
| Total* | 1,554,404 | ||
| *includes double counting adjustment | |||
| $m | % | ||
| 1 | JP Morgan | 1,409,984 | 28 |
| 2 | Morgan Stanley | 1,065,301 | 22 |
| 3 | Citigroup | 714,343 | 14 |
| 4 | Lehman Brothers | 617,930 | 12 |
| 5 | Barclays | 499,186 | 10 |
| 6 | Deutsche Bank | 497,825 | 10 |
| 7 | SG | 399,026 | 8 |
| 8 | BNP Paribas | 298,854 | 6 |
| 9 | Bear Stearns | 281,459 | 6 |
| 10 | Calyon | 208,314 | 4 |
| Other | 533,173 | 11 | |
| Total* | 4,949,538 | ||
|
*includes double counting adjustment | |||
†April-December only
Synthetic manager league tables at 1 July 2007
| 1 | Cheyne Capital | 36,426 |
| 2 | Ixis Asset Management | 30,969 |
| 3 | Axa Investment Managers | 28,329 |
| 4 | SGAM Alternative Investment | 25,745 |
| 5 | Deutsche AM | 25,682 |
| 6 | UBS Global Asset Management | 23,296 |
| 7 | Prudential M&G | 21,074 |
| 8 | Babson Capital | 13,493 |
| 9 | Solent Capital | 12,714 |
| 10 | Credit Agricole Asset Management | 11,437 |
| Source: Creditflux Data+ | ||
| 1 | Axa Investment Managers | 5,366 |
| 2 | Barclays Global Investors | 4,488 |
| 3 | Ixis Asset Management | 4,137 |
| 4 | SGAM Alternative Investment | 2,921 |
| 5 | ACA Capital | 2,914 |
| 6 | Deutsche AM | 2,741 |
| 7 | Babson Capital | 2,563 |
| 8 | UBS Global Asset Management | 2,325 |
| 9 | Cheyne Capital | 2,025 |
| 10 | Prudential M&G | 1,883 |
| Source: Creditflux Data+ | ||