ABN AMRO andDeutsche Asset Management are road showing credit-linked notes with capital protection to investors in Europe and Asia. On offer are eight and 10-year notes denominated in U.S. dollars and euros, linked to a long/short credit portfolio.
DeAM will manage leverage and make substitutions to the underlying portfolio, which employs constant proportion portfolio insurance to protect capital invested. The portfolio consists of predominately investment-grade credit, ranging from credit-default swaps and asset-swaps on bonds to constant-maturity CDS and credit indices.
Called Dynamic Credit Protection, the deal was arranged on the back of investor appetite for capital-protected structures. The deal is meant to have broad-reaching appeal with banks, insurance companies and a small number of corporates. Structuring officials at ABN and DeAM declined comment. The structure is expected to be priced by March.