Dollar/Yen Vols Spike As Barrier Looms

  • 22 Sep 2003
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One-month dollar/yen implied volatility leaped to 9.6% last Wednesday, up from 8.4% the previous week. The move came as many market participants started to think the Japanese currency was close to smashing through the JPY116 barrier, the Bank of Japan has been trying to protect. Last Wednesday the yen was trading as low as JPY116.15, down from JPY117.5 two days before. The currency pair had traded at JPY116.35 the previous week.

While the Bank of Japan has aggressively intervened recently, last week there was a feeling that it is not capable of influencing the direction of the currency, said the trader. Demand for buying yen remained strong, aided by the continued flows into Japanese equities. Most trading was focused on the purchase of yen calls/dollar puts with strike levels sitting anywhere between JPY110 and JPY116, he said. Many trades were set to mature within a week, taking maturities past the group-of-seven meeting scheduled for Sept. 20, or after fiscal year-end at the end of September. One-month 25-delta risk reversals also increased to 1.8% in favor of yen calls last Wednesday, up from 1.3% the previous week.

T.J. Marta, foreign exchange strategist at Citigroup Global Markets in New York, noted that there was a lot of pressure on the yen as market players tested whether the BoJ would intervene. Over the next month Citigroup expects the yen to hold over JPY115, although the firm's 12-month forecast predicts the currency to strengthen to JPY110-JPY112, he said.

USD/JPY Spot & One-Month Implied Volatility

  • 22 Sep 2003

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 414,341.60 1584 9.05%
2 JPMorgan 376,530.42 1722 8.23%
3 Bank of America Merrill Lynch 357,892.56 1291 7.82%
4 Goldman Sachs 265,958.80 913 5.81%
5 Barclays 263,382.44 1050 5.75%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 44,979.63 190 6.73%
2 Deutsche Bank 37,019.66 134 5.54%
3 BNP Paribas 35,303.69 205 5.28%
4 JPMorgan 33,752.71 110 5.05%
5 Bank of America Merrill Lynch 32,865.23 106 4.91%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 22,398.41 104 8.72%
2 Morgan Stanley 18,608.72 99 7.25%
3 Citi 17,768.49 110 6.92%
4 UBS 17,372.80 70 6.77%
5 Goldman Sachs 17,228.66 97 6.71%