Calyon is working on several capital protected structures that will offer exposure to a combination of credit and credit-correlation instruments. Ally Chow, head of product management and syndication in London, said constant proportion portfolio insurance will be applied to a range of credit investments, including single-name credit-default swaps or indices, index tranches, high-yield and asset-backed securities.
Investor appetite for credit CPPI has driven the initiative, Chow said. She noted feedback gathered when road showing Ocean, a AAA-rated credit CPPI managed by AXA Investment Managers the firm first launched in Asia last year, signaled the volume of demand for protected structures. "We expect to see growing demand for CPPI products with different asset classes as underlying." Managers, maturities, currency denomination and portfolio sizes have not yet been chosen.
In Ocean, AXA manages bonds, credit-default swaps and credit indices and can go long or short. Another issue of notes from Ocean will be marketed this month to investors globally, Chow said, with notes offered with five-, seven- and 10-year maturities and across various currencies.
