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
  • Today
1 Citi 358,291.38 1348 9.06%
2 JPMorgan 320,704.66 1461 8.11%
3 Bank of America Merrill Lynch 318,128.31 1104 8.04%
4 Goldman Sachs 236,643.87 789 5.98%
5 Barclays 231,197.41 895 5.84%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 35,007.57 165 6.53%
2 Deutsche Bank 34,880.53 120 6.51%
3 Bank of America Merrill Lynch 31,805.65 97 5.93%
4 BNP Paribas 27,920.60 169 5.21%
5 SG Corporate & Investment Banking 24,398.89 138 4.55%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 19,745.92 80 8.85%
2 Morgan Stanley 16,334.63 83 7.32%
3 Citi 15,972.34 95 7.16%
4 UBS 15,487.17 60 6.94%
5 Goldman Sachs 14,053.61 76 6.30%