Portfolio managers and ratings analysts said the pipeline for fully-rated credit constant proportion portfolio insurance deals is swelling and inquiries are picking up. Peter Meijer, v.p. in synthetic structured credit at JPMorgan in London, said interest in the USD4 billion CPPI market is especially strong among institutional investors, which traditionally account for only about 40% of the investor base. Under Basel II, bank investors will need a rating for both the principal and coupon of credit investments.
Alexandre Linden, director at Fitch Ratings in London, said there is also interest in constant proportion debt obligations, a CPPI variant in which the coupon is rated, but the principal is not protected. "This is the busiest time ever," he said, adding several deals are ready to close this month.
