Swaps Liquidation Hits Mart Before Month-End

  • 03 Dec 2001
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The unwinding of swaps and futures led to massive movements in the over-the-counter interest-rate derivatives market last week, as some hedge funds and proprietary desks sold in advance of the end of the month when many, particularly in the U.S., close their books for the year. The activity led to substantial moves in all swap spreads. For example, in the U.S., the more liquid two-year spreads widened to 3.8% from 3.52% last Tuesday, a huge move when compared to the daily average of roughly seven basis points, according to traders and strategists. A relatively benign week of U.S. economic figures also contributed, leading punters to speculate interest rates may start to raise early next year.

The majority of the activity, however, centered on the more-liquid listed markets. More than a million short-end futures were traded on the London International Financial Futures and Options Exchange on Tuesday, an astronomical amount, roughly double the average daily volume, said Meyrick Chapman, a derivatives strategist at UBS Warburg in London.

  • 03 Dec 2001

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 417,761.51 1606 9.02%
2 JPMorgan 380,362.89 1737 8.21%
3 Bank of America Merrill Lynch 364,928.71 1322 7.88%
4 Goldman Sachs 269,252.76 932 5.82%
5 Barclays 267,252.43 1082 5.77%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 45,449.36 196 6.56%
2 BNP Paribas 38,734.80 217 5.59%
3 Deutsche Bank 37,615.10 139 5.43%
4 JPMorgan 34,724.19 118 5.01%
5 Bank of America Merrill Lynch 33,835.53 112 4.88%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 22,475.46 105 8.65%
2 Morgan Stanley 19,057.00 101 7.34%
3 Citi 17,812.08 111 6.86%
4 UBS 17,693.89 71 6.81%
5 Goldman Sachs 17,333.10 99 6.67%