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
  • 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
  • 25 Jul 2017
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
  • 25 Jul 2017
1 JPMorgan 13,488.13 59 8.47%
2 Citi 11,496.21 73 7.22%
3 UBS 11,302.86 45 7.09%
4 Morgan Stanley 10,864.95 59 6.82%
5 Goldman Sachs 10,434.21 54 6.55%