ITO33 is pleased to announce the release of IssueConvertibles, a stand-alone Convertible Bond Pricing solution designed specifically for ECM users. IssueConvertibles provides a user-friendly interface to quickly set-up and evaluate a new issue, handling complex terms to help meet the issuers requirements. Main functionalities include scenario analysis on a range of coupons and premiums, volatility and credit assumptions, generation of watchlists to help compare different structures over time for optimal timing of launch, new issue reports and several other helpful features.

We have positive feedback from current users and other institutions trialling.

ITO33 is pleased to announce that two new major institutions have selected CoCo33 valuation and risk management solution to oversee and manage their holdings of regulatory capital securities such as AT1 bonds, Tier2 bonds and RT1 bonds. Other institutions are currently evaluating our model and the pipeline looks promising.

ITO33 is glad to invite portfolio managers and risk analysts to a presentation of CoCo33, our pricing and risk management solution for regulatory capital securities issued by banks and insurance companies.

Date: April 4, 2024
Time: 4:30pm
Venue: Le Bristol, 112 rue du Faubourg Saint Honoré, Paris

Speakers: Philippe Henrotte, Co-Founder and partner of ITO33, Head of Research and Willy Lorange, Head of Quant Support Team.

Presentations finish at 18:30 and will be followed by drinks and canapes.

To attend, please submit your details by filling the Contact Us form.

We will be thrilled to welcome you on the 4th of April.

The ITO33 team

Most notably:

• Suboptimal Call Probability: the probability that an issuer will respect the gentleman agreement and call a bond at its next call date even when the value of the bond is lower than the call price.
• Suboptimal Call Value: the value given to investors as a result of a possible suboptimal call policy.
• Extension Probability: the probability that a security will be extended (not called) at the next call date, taking into account the possible suboptimal call policy of the issuer.

Opscore 3.9.6.0 delivers several new capabilities to end-users:

• Support for call trigger periods based on average
• Support for Warrant make whole
• Improvements for Warrant dividend protection
• Display Brownian volatility with Front End outputs
• Display Equivalent Credit Spread in Front End outputs
• Support for 20 out of 30 contingent conversion
• Support for NDF based yield curves
• Allow import of full database from ITO33 server
• Option to delete database before import

CoCo33 Data Service delivers to risk managers consistent pricing and risk data on Regulatory Capital Securities issued by Banks and Insurance companies.

ITO33 is Sponsor of Quant Insights conference: THE CASE OF BANK REGULATORY CAPITAL SECURITIES
27th-28th October 2021, Globally Live-Online

Paris, May 11, 2020 - ITO33 announces a new major version of Opscore.

Opscore 3.9 delivers several new capabilities to end-users:

• Better support for bond series, all public/private equities and depositary receipts, basket of bond and warrant.
• Improved Dividend Protection Passthrough clause.
• A new representation of the yield curves to enable usage of the legs as reference for floating rate bonds.
• New Database structure which includes in particular a new dividend extrapolation model, new object for Delta One inputs, new storage for model inputs.
• API support fugit for American option, fugit and probability for soft call and hard call events, Mandatory with overlapping soft and hard call, conversion make whole support, new conversion settlement issuer options.

ITO33 is Sponsor of Volatility and Tail Risk Investing conference
6 April 2017, London

ITO33/Kite Surf 1st VOLATILITY SUMMIT: Everything you always wanted to know about Volatility but were afraid to ask

Among the various issues that will be covered, here is a foretaste:

1. Banks and Asset-Managers still have a problem with their volatility surfaces modelling let alone their exotic options risk.
2. Why ITO33’s regime switching stochastic Volatility model is the long-awaited solution to this problem of volatility surfaces and volatility arbitrage.
3. On the importance of a proper delta one calibration before you run your volatility model.
4. On the importance of withholding tax on dividends, seasonality of dividends and borrow rates in the delta one calibration.
5. An explanation of the spread between the variance swap curve and the log-k option strips curve. Introduction to a service that can quantify that spread.
6. Should S&P options and VIX options be priced separately, or should they be priced in a single and consistent framework?
7. Introduction to optimal hedging of equity derivatives.
8. The benefit of using sanitised and pre-organised exchange data, together with over-the-counter data.
9. The usefulness of virtual instruments in the calibration basket for model parameter stability and dealing with sparse data markets.
10. The benefit to your technology and quant departments of outsourcing your model calibration.