Structured Issuance Quells Nikkei Vol

Strong flows of options-based equity investment products in Japan have dampened implied volatility on the Nikkei.

  • 13 Oct 2006
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Strong flows of options-based equity investment products in Japan have dampened implied volatility on the Nikkei.

According to estimates by Citigroup, USD2 billion-worth of structured investment products were issued in September, approximately double an average month. The weight of this issuance dragged two-year Nikkei implied vol to 16.5% last month from 19%. It has also prompted a spate of variance swap trading to play on Japanese equity volatility versus the Standard & Poor's 500 and Euro STOXX 50. Strategists at the firm noted it is an attractive carry trade, as Euro STOXX and S&P variance are expensive in comparison with Nikkei.

The compression of Japanese implied vols is also tipped to continue. If the Nikkei reaches 17,000--it was about 16,400 as DW went to press Thursday--this could trigger another spate of structured issuance, as it is a call level for a chunk of equity investment products. Citi estimates December might see this bumper crop of issuance again affect Nikkei implied volatility levels.

  • 13 Oct 2006

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
  • 14 Mar 2017
1 Bank of America Merrill Lynch 10,650.87 23 11.13%
2 Deutsche Bank 8,169.49 17 8.53%
3 HSBC 6,243.46 23 6.52%
4 Citi 4,355.35 13 4.55%
5 SG Corporate & Investment Banking 4,273.37 17 4.46%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 21 Mar 2017
1 JPMorgan 5,440.56 17 10.74%
2 Deutsche Bank 4,468.97 23 8.82%
3 UBS 3,742.72 17 7.39%
4 Citi 3,393.89 23 6.70%
5 Goldman Sachs 3,360.93 18 6.63%