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
  • 13 Mar 2017
1 JPMorgan 94,925.33 384 8.39%
2 Citi 87,531.58 331 7.74%
3 Bank of America Merrill Lynch 84,341.49 288 7.46%
4 Barclays 75,288.19 241 6.66%
5 Goldman Sachs 68,504.71 208 6.06%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 16 May 2017
1 Deutsche Bank 19,381.65 47 8.82%
2 Bank of America Merrill Lynch 18,968.25 36 8.63%
3 HSBC 18,103.95 50 8.24%
4 BNP Paribas 8,911.57 55 4.05%
5 SG Corporate & Investment Banking 8,885.00 54 4.04%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 16 May 2017
1 JPMorgan 8,369.56 33 8.53%
2 UBS 8,282.28 33 8.44%
3 Citi 6,605.58 44 6.74%
4 Goldman Sachs 6,444.85 31 6.57%
5 Bank of America Merrill Lynch 6,215.31 24 6.34%