Structured Products and Credit Derivatives
OFI AM's structured products and credit derivatives team develops a range of directional funds (long only), alternative funds (capital arbitrage, long/short credit, negative base arbitrage, relative value), and CDO-type funds (Collateralised Debt Obligations).
Always attentive to the needs of its French and international institutional clients, it designs, builds and manages products which provide them with immediate and personalised solutions, optimised to their liability constraints (liability-driven investments).
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Investment Philosophy
An investment process combining quantitative and qualitative analysis of issuers, ranging from fundamental to non-correlated management.
Dynamic and active management of CDO credit tranche rating.
Management ReportCredit spreads continued their narrowing trend in 2006, especially in the investment grade and high yield categories.
This movement had a positive effect on the performance of the OVAL Signatures Euribor fund. Recently, this trend has been undermined by the American “sub-prime” crisis, which has led to much wider spreads in the high yield category, an opportunity seized by OVAL Credit Arbitrage's managers.
In the face of the global deterioration of credit market fundamentals, we have reacted by expanding the scope of our investments and by strengthening our teams of credit analysts and structured credit managers.
These new hires allowed us to launch two pubic offerings in 2006, Eiffel (synthetic CDO in partnership with Calyon) and Caravelle (long/short CPPI credit, in partnership with IXIS CIB), and to create, in 2007, Constellations (synthetic CDO in partnership with Bear Stearns).
Our range is expected to continue its expansion in the area of managed structured products, CPPI-type products (new low volatility product) or those based on the best funds of the OFI AM range.
Expertise
Credit management and arbitrage
Structured management
Quantitative credit analysis
Fundamental credit analysis
Risk management (OFI Credit Watch)
Structured management
Quantitative credit analysis
Fundamental credit analysis
Risk management (OFI Credit Watch)
Information
Head : Guillaume Launay
Management team : 12 people
Assets under management € 1,7 bn
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