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November 2011

Innovation Rabobank successfully issued a US$ 2bn benchmark hybrid Tier 1 transaction

Rabobank successfully issued a US$ 2bn benchmark hybrid Tier 1 transaction. These capital securities, priced at a coupon of 8.40%, have been designed to comply with current Dutch and European Regulatory requirements (CRD (...)

August 2011

Strategy Convertibles: a good trade-off in the current crisis!

The profile of the convertible bond-holder base has changed radically and the vast majority of the market is now held by long-only funds whereas in 2008 highly-leveraged hedge funds were the main holders.

May 2011

Regulation Solvency II: Advantage convertible bonds

The results of QIS 5 confirmed that convertible bonds bear low capital cost. A balanced-profile convertible bond portfolio with optimized convexity therefore obtains a moderate intrinsic SCR whilst benefiting from «equity» (...)

January 2007

Interview Elie Ayache : « The trading of derivatives products has nothing to do with the probability distributions»

He was among the first volatility traders in the matif ! ITO33 Founder and former head of research at Dexia AM, Elie Ayache gives us his thoughts on the derivatives markets he defines as the technology...

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