Correlation Trading Through Swaps

Correlation trading through swaps enables one to take a purely systematic correlation view. The fixed side of the swap is based on the implied correlation, which is calculated from the related implied volatilities. The floating side is the final realized correlation of spot returns at expiration (typically 4pm London WMR Fix) using the standard Pearson's correlation. Due to the mean reverting nature of correlations and the fact that they have mathematical and natural type boundaries, the product can create excellent trading opportunities. Other attractive features are asset diversification, zero premium outlay, and efficiency relative to the vanilla option replication.

  • 01 Oct 2010
IntroductionCorrelation trading through swaps enables one to take a purely systematic correlation view. The fixed side of the swap is based on the implied correlation, which is calculated from the related implied volatilities. The floating side is the final realized correlation of spot returns at expiration (typically ...

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All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 24 Jul 2017
1 Citi 253,106.92 930 8.89%
2 JPMorgan 230,914.50 1036 8.11%
3 Bank of America Merrill Lynch 221,389.46 762 7.78%
4 Goldman Sachs 171,499.26 554 6.03%
5 Barclays 169,046.60 646 5.94%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 27,039.93 106 7.36%
2 Deutsche Bank 25,125.19 81 6.84%
3 Bank of America Merrill Lynch 23,128.33 61 6.29%
4 BNP Paribas 19,315.94 110 5.26%
5 Credit Agricole CIB 18,706.93 106 5.09%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 18 Jul 2017
1 JPMorgan 12,578.87 55 8.17%
2 Citi 11,338.07 71 7.36%
3 UBS 10,682.06 44 6.93%
4 Goldman Sachs 10,419.53 53 6.76%
5 Morgan Stanley 10,194.88 57 6.62%