TD Securities in London is marketing a credit index-linked note with a target redemption feature. The note is called SCePTRe, which stands for structured credit protected target redemption note, and has a 10-year maturity. It uses constant proportion portfolio insurance to protect capital. Philippe Hatstadt, global head of credit structuring at TD in London, said investors ranging from retail to institutional have expressed interest in the deal.
In the note, TD gains exposure to the indices via portfolio credit-default swaps. The assets invested in the indices are subject to variable leverage, whilst remaining assets are invested in cash to protect capital. The target redemption can be customized and is an appealing feature of the structure, according to Hatstadt, who explained it is designed for investors who believe credit spreads are likely to stay within a range. TD is working on several structures to cater for investors with this view, added Hatstadt.