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.
More on Credit Derivatives
UBS in Australia sold off CDS portfolio in fixed income scale-back
Fears relationship between credit indexes and constituents becoming more tenuous
A new product could smoothe the gap between capital and accounting rules
Banks can use maths - rather than special chips - to boost computing speed
Sign up for Risk.net email alerts
Nominated for two technology awards
Nominated for post trade technology award
Sponsored webinar: Collateral and counterparty tracking
Isda directors warn on fragmentation, access and liquidity - but expect problems to pass
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.