Calyon and Forsyth Barr launch first retail credit CPPI in New Zealand

The NZD$100 million ($63 million) transaction, called ‘Credit Sails’, comprises 6.5-year fixed rate notes that will pay quarterly coupons of 8.5% a year, and are expected to be rated AA on the principal by Standard & Poor’s. Returns are linked to the performance of two investment-grade credit indexes, the Dow Jones CDX.NA.IG and the iTraxx Europe.

The notes are part of the Credit Sail series that Calyon has launched in Europe and Asia previously. An application for listing the notes on the New Zealand Exchange has also been made, according to Pierre Trecourt, head of structured credit and collateralised debt obligations (CDOs) in the Asia Pacific for Calyon in Hong Kong. The French bank expects to issue the notes on June 15

Trecourt told RiskNews the transaction is the first credit CPPI product targeted at investors in New Zealand, a change from previous credit products that were mainly CDOs. “The structure has been especially adapted for the New Zealand market with high income payments and an early redemption mechanism to shorten the expected maturity,” he said.

“We are very pleased with the excellent response to the offer from market participants and as a result the issue size has been increased to NZD$100 million from the NZD$75 million previously signaled in order to satisfy this strong demand,” said Neil Paviour-Smith, managing director of Forsyth Barr, in a statement.