Principal Global Investors is managing a portfolio of credit-default swaps and is offering European investors exposure to the portfolio via capital-protected notes. The notes, rated Aa3 by Moody's Investors Service, have been issued by Credit Suisse. According to the ratings report, the Swiss bank is issuing EUR32.75 million of the 10-year notes.
The manager of the portfolio is able to go both long and short credit-default swaps, which will mostly reference corporate debt and will include a range of maturities. The capital protection is provided via constant proportion portfolio insurance. Further details of the structure, including the leverage factor used in the CPPI, could not be determined. Clayton Perry, responsible for CDO distribution at Credit Suisse in London, declined comment until the notes and other related issues have closed at the end of the month. Tina Marchetti, spokeswoman for Principal in New York, declined comment.
