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Derivatives

ABN To Offer Correlation Swaps

ABN AMRO is gearing up to offer correlation swaps on baskets of single stocks.

ABN AMRO is gearing up to offer correlation swaps on baskets of single stocks. According to an official familiar with the plan, the firm is about a month away from pitching these swaps to hedge funds and other clients in Europe. The move comes on the back of the Dutch house's equity volatility build up which saw the hire of Paul Lewis, a variance swaps trader, from Citigroup last year (DW, 8/19).

The official said correlation swaps are a growth market, adding more and more clients are getting to grips with trading equity correlation. Equity derivative officials at ABN declined comment.

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