JPMorgan scooped this category again, seeing off hot competition, after investing heavily in its institutional platform, particularly for hedge funds, and driving into emerging markets such as Russia, Brazil and South Africa. Under Global Head of Equity Derivatives David Herzberg, the firm expanded this year through the purchase of Bear Stearns and introduced several innovations that gave it an edge. On the trading side it introduced Pulsar, a put option strategy which offers investors the chance to buy protection without buying volatility at high implied levels. It also introduced the autocorrelation swap, a mean reversion trade, and tracked correlation daily, trading it as an individual asset class. Its allocator product, which is an alternative to trade de-correlation, takes advantage of high smile/skew risk premiums and avoids dispersion pitfalls. The firm introduced several new structures, including the Power Index, an algorithmic investment strategy linked to the Hong Kong Power and Hang Seng China Enterprises Indexes, and the Equity Index Linked Annual Review Pay-Off, an auto-callable UCITS III fund linked to the FTSE 100, one of its 39 UCITS compliant issues in the last year. Its Efficiente structure, which applies asset allocations dynamically while providing short signals on frontier markets, has also proved popular, raising USD600 million from institutional and retail clients since its launch last summer. JPMorgan also showed its nimbleness by recycling risk effectively, launching a syndication function as the liquidity crunch intensified, and increasing its non-recourse financing business.
* Credit Suisse * Goldman Sachs * Deutsche Bank * SG Corporate & Investment Banking