Calyon is arranging a new ‘Ocean’ credit note issue that will use constant proportion portfolio insurance (CPPI) techniques to protect capital invested in a long/ short portfolio of credit default swaps – both single names and indexes – and cash bonds based on both investment grade and high yield names. Axa IM will manage the issue. The Ocean notes are the latest in a series of CPPI credit notes issued since July. Axa IM, which manages a total of 42 CPPI products with a notional value of €2.
The week in Risk.net, February 10-16 2017Receive this by email