Calyon last week launched the first retail credit-linked note for the New Zealand market with capital protection. Structured using constant proportion portfolio insurance, the firm is already looking to issue follow-up deals.
"It's a market where there are a lot of public offerings for CDOs--investors are receptive to new products," said Pierre Trecourt, head of structured credit and CDOs for Asia Pacific in Hong Kong. The deal, issued through Calyon's credit-linked note program dubbed Credit SAILS, has a six and a half year maximum maturity and is principal-linked to a AA-rated synthetic CDO based on five-year global default-swap names. Additionally, coupons are linked to the performance of the CDX and iTraxx Europe credit indices. If, after three years, all of the coupons are received and the principal is above par, the structure will be redeemed early.
While this is Calyon's first public offering in the region from the Credit SAILS series, the firm has closed similar credit deals for institutional clients in Australia, Taiwan and Korea, as well as in Europe. The product is targeted to close later this week with an anticipated size of NZD100 million (USD63.2 million) in notes. "It depends on the appetite but we hope to quickly follow up on this transaction," added Trecourt. The deal is being distributed by Forsyth Barr.
