Convertible

According to Alain Dib, Global Head of Equity-Linked business at BNP Paribas, the appetite for convertible bonds is greater than the available supply, currently proposed by issuers

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 II)...

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.

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» exposure.

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...