Deutsche Bank Enters Large Dollar/Yen Risk-Reversal

  • 25 Mar 2002
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Deutsche Bank entered up to USD1 billion (notional) of two-week U.S. dollar/Japanese yen 25-delta risk reversals Tuesday on behalf of a client, according to rival traders in London. A Deutsche Bank trader acknowledged the bank had executed a large customer trade where it bought upside dollar calls/yen puts struck at JPY133.85 and sold downside dollar puts/yen calls struck at JPY130. Spot was JPY131.5 Wednesday and had been as much as a full yen higher the previous day. The Deutsche Bank official declined further comment.

Traders said the transaction was entered late in the day on Tuesday, at around 4 p.m. London time, leading to what they described as a "messy" execution that forced volatility higher. One-month dollar/yen implied vol began the day at 10.2% and jumped as high as 10.85% because of the activity, according to traders in London. "They certainly didn't choose the most liquid time; but if the customer called at that time, the only way they can do it is a messy way," noted one trader.

Others said the trade pays off if the yen weakens in advance of next month's fiscal year-end in Japan, as expected. One trader said Japanese monetary officials, who have already expressed their view for a weaker yen, would especially like to see that happen by Japanese year-end at the end of the month, because that would increase the value of foreign-denominated assets.

  • 25 Mar 2002

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
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1 JPMorgan 163,028.47 711 8.04%
2 Citi 160,005.15 642 7.90%
3 Bank of America Merrill Lynch 132,268.74 528 6.53%
4 Barclays 127,185.71 494 6.28%
5 HSBC 106,407.22 534 5.25%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
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1 Bank of America Merrill Lynch 12,912.95 35 6.60%
2 BNP Paribas 12,334.48 61 6.31%
3 UniCredit 11,196.47 58 5.73%
4 Citi 9,580.75 37 4.90%
5 Deutsche Bank 8,953.95 35 4.58%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
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1 Morgan Stanley 5,578.64 26 10.66%
2 JPMorgan 4,866.13 28 9.30%
3 Goldman Sachs 4,404.70 21 8.41%
4 Citi 3,774.39 24 7.21%
5 UBS 3,602.23 16 6.88%