‘Fresh’ tier-one issuance may hit credit derivatives spreads

A convertible bond structure used by Benelux bancassurer Fortis in an April 29 issue could, if replicated throughout Europe by other banks and insurance companies, lead to a significant widening of credit default spreads and a new focus on basis risk associated with recovery rates, say bankers at JP Morgan Chase who worked on the deal.

Some banks and insurers view Fortis’ e1.25 billion floating-rate, equity-linked subordinated hybrid (Fresh) security as the ‘holy grail’ of tier-one issuance

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: