Mariner Coria: the changing face of arbitrage
Banks are under growing pressure to quickly recycle the risks arising from structured products and other derivatives business, but traditional buyers of the exposure are in retreat – a cue for at least one new fund to get into the game
A few months ago, the investment team at Mariner Coria began receiving calls from dealers eager to offload correlation risk between the euro/US dollar exchange rate and the Euro Stoxx 50 index.
Dealers accumulated the exposure as US retail investors piled into currency-hedged exchange-traded funds (ETFs) and structured notes referencing European equities – with one such ETF offered by WisdomTree Investments drawing nearly $16 billion of inflows since the start of this year.
The flows left
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