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
Email a colleague
Request a PDF

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 30,363.50 109 7.56%
2 JPMorgan 27,423.07 94 6.82%
3 Goldman Sachs 27,365.68 53 6.81%
4 Barclays 25,009.79 63 6.22%
5 Deutsche Bank 22,679.02 69 5.64%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Mizuho 299.85 1 21.73%
1 ING 299.85 1 21.73%
1 Commerzbank Group 299.85 1 21.73%
1 BNP Paribas 299.85 1 21.73%
5 UBS 60.22 1 4.36%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Goldman Sachs 1,607.28 5 22.59%
2 Credit Suisse 1,301.65 4 18.30%
3 UBS 970.80 3 13.65%
4 BNP Paribas 522.35 4 7.34%
5 SG Corporate & Investment Banking 444.17 3 6.24%