Deutsche Bank Enters Large Dollar/Yen Risk-Reversal

  • 25 Mar 2002
Email a colleague
Request a PDF

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 %
  • Last updated
  • Today
1 JPMorgan 20,817.74 56 8.80%
2 Citi 20,610.84 51 8.72%
3 Barclays 16,808.93 39 7.11%
4 HSBC 16,223.20 45 6.86%
5 BNP Paribas 14,082.74 30 5.95%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 BNP Paribas 56,371.71 236 6.79%
2 Credit Agricole CIB 50,115.87 240 6.03%
3 JPMorgan 46,785.38 108 5.63%
4 UniCredit 45,665.76 207 5.50%
5 SG Corporate & Investment Banking 43,321.52 173 5.21%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Morgan Stanley 114.77 1 17.52%
1 BNP Paribas 114.77 1 17.52%
3 Commerzbank Group 65.85 2 10.05%
4 Oakley Advisory Ltd 64.52 1 9.85%
4 Barclays 64.52 1 9.85%