Hi, which banks have the best interest rate vol desks on the street? I've heard GS and MS, but would like to hear thoughts from people in the industry. Much appreciated!
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Very much depends on specifics, such as the ccy... IMHO, the all around best one is probs Deutsche, followed closely by JP. My Z$2c...
Thanks for the response Martinghoul. Would you care to elaborate more on your answer? Why Deutsche, why JP? Also, my question was in particular with regards to USD
I'd put JPM and GS ahead of DB right now, DB's rates business is facing a lot of headwind from US capital requirements... there was an article yesterday about them cutting their US balance sheet by 25%... That's going to hurt.
That said, the talent at all 3 are great and DB/JPM have the highest market share (so you'll see a lot, maybe not make a lot).
So, first and foremost, this is based on my personal experience (a client's perspective, to be sure)...
I specifically mention DB because one of their strengths is consistent pricing of rate vol across ccies (e.g. EUR, GBP, USD, JPY). Moreover, they're just solid and extremely reliable (e.g. always willing to show a px, never any whiny excuses about poor liquidity, no backing off the price shown for silly reasons, etc). JPM is similar, if slightly worse. Goldman is OK, but a little inconsistent, even in USD vol.
Citi is OK, but quite flaky at times.
How's Citi?
How would MS compare to the banks you mentioned above? What has your experience with them been like, if any?
MS is OK. Quite good in USD, including some slightly more exo rate stuff, since the head of the desk is a very good guy. The other ccies, not particularly impressive (other than JPY).
The one big question w/rates at Stanley is the recent leadership turmoil. First Ken deRegt, followed relatively quickly by Glenn Hadden (good riddance, IMHO). Not clear what's next, although, to be fair, I have not seen any adverse impact on the people/desks I speak to.
@Martinghoul indeed thanks for the color... Hadden was the former GS trader no? Care to elaborate on why you think he was a good riddance? Somewhat tangential topic to this thread so don't feel obligated to respond
Yes, Glenn Hadden was at Goldman at one point. While at Stanley, it appears that, for two years in a row, he managed to lose quite a lot of money on relatively random (IMHO) and extremely large prop trades. These losses were especially large when taking into account the "transitional" state of the Stanley rates franchise.
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