CSFB Recommends Basket FX Trade

  • 08 Jan 2001
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Credit Suisse First Boston is recommending that clients buy one-year dollar puts against a basket of currencies containing euro, Swiss franc, sterling, Australian, Canadian and New Zealand dollars. Kevin Chang, foreign exchange strategist in London, said it is recommending this trade because the bank expects the dollar to depreciate against the basket of currencies as the U.S. economy slows down. National Association of Purchasing Management manufacturing survey data released last week suggests the weakening is likely to continue, as the economy slows and interest rates fall.

CSFB is pitching the strategy with a maturity of between six months and one year because it believes there is room for a short-term correction in the dollar's recent weakening against the euro. CSFB forecasts euro/dollar at above parity, dollar/Swiss franc at CHF1.56, cable at USD1.45, dollar/Aussie at USD0.60, dollar/Canada at CAD1.45 and dollar/New Zealand at USD0.48 in 12-months.

In the middle of December Chang recommended a similar trade in which customers would buy a three-month at-the-money dollar put against an equally weighted basket of euro, yen, Swiss franc and Canadian dollar, which cost 2.22% of the dollar notional value with implied volatility of 9.42%. Plain-vanilla options would have cost 40 basis points more than an option on a basket of currencies because imperfect correlation across exchange rates lowers implied volatility. This basket had appreciated by 3.22% on Friday. Chang has taken yen out of the basket it is recommending now because CSFB thinks that it has already appreciated as much as it will.

  • 08 Jan 2001

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%