Société Générale Corporate and Investment Banking has started marketing Coriolis, a first-of-its-kind platform of structured credit notes.
This new product uses state of the art technology - VaR Proportion Portfolio Insurance (VPPI) and aims to increase management flexibility whilst keeping risk under strict control, resulting in an attractive risk-return profile.
Institutional investors will be offered capital guaranteed notes with AAA rating and various maturity, currencies and coupon profiles.
Coriolis, which is being launched in early 2006, has two distinct features:
• Returns are linked to the performance of a synthetic portfolio managed by the Hedge Fund Group within AXA Investment Managers (AXA IM). The managers' multi-strategy approach takes advantage of the increased sophistication and liquidity of the structured credit derivatives market while also exploiting its inefficiencies: leveraged capital and term structure trades, event trades and opportunistic strategies. The allocation to the different underlying strategies is managed with the aim to perform in different stages of the credit cycle.
• To generate the maximum benefit from AXA IM's management style, Société Générale has developed an innovative leverage mechanism, the VPPI technique. Based on Gap Value-at-Risk (GVaR) computation, this new risk management framework allows an optimised combination of capital protection and return, for any type of credit strategy.
Coriolis brings together proven techniques from alternative, structured products and Collateralised Debt Obligation (CDO) management in a consistent and integrated framework.
Coriolis is able to manage all market and administrative risks traditionally associated with structured credit and combines the renowned expertise of Société Générale in derivatives and structuring, with AXA IM's leading position in structured credit management.
Société Générale is a leading investment bank in structured credit with a track record in creating innovative solutions, including the first bespoke synthetic CDO on high yield in 2000 and the first fully asset managed CDO of ABS (Asset Backed Securities) in 2003. AXA IM is a leader in structured credit and has been awarded several times both for its innovation and structuring capacities and for the performance of its CDOs under management. AXA IM manages EUR 100 billion in credit, including more than EUR 25 billion in structured finance.
'With the improving credit environment of 2003/2004 behind us, we are excited to be offering such a robust multi-strategy long/short solution to investors,' says David Benarous, Portfolio Manager, Structured Credit at AXA IMHedge Funds Group. 'Coriolis is complementary to a credit portfolio allocation framework with its diversified exposure and limited structural systemic exposure.
'With the advancement of the synthetic structured credit market, this comprehensive product is designed to take full advantage of AXA IM's expertise and proven innovation capabilities. It is able to exploit inefficiencies on one hand, and a larger credit risk opportunity set on the other.'
Commenting on Coriolis, Bertrand Fitoussi, Head of Structured Credit at Société
Générale, said: 'Société Générale has developed a highly innovative approach that gives AXA IM the flexibility to affirm its value-added multi-strategy credit management team. We believe this innovation corresponds to the needs of investors globally. This innovation will allow investors in Europe, Middle-East and Asia to achieve greater access to credit markets as they will benefit from the ability to adapt credit strategies according to market conditions.'
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