Calyon and ANZ have launched what they say are the first credit constant proportion portfolio insurance (CPPI) notes for the Australian market. They are called Credit Sail and offer 100% principal protection.Paris-based Calyon has arranged and will provide liquidity for the six-year collateralised Australian dollar floating-rate notes, whose returns are linked to the Dow Jones CDX and iTraxx Europe investment-grade credit indexes. Standard & Poor’s, the ratings agency, has rated the notes AAA. Melbourne-based ANZ is acting as sole lead manager.
This latest issuance follows several other capital-protected long/short credit CPPI deals, which have consisted of cash bonds and single-name and index credit default swaps. Axa Investment Managers recently collaborated with both Calyon and ABN Amro with their Ocean and Synergie notes, respectively. BNP Paribas, meanwhile, is rolling out the second tranche of its Dynamo notes arranged with Crédit Agricole Asset Management, after having found €525 million of investment for its first tranche, launched in July.
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