Nomura Securities International has launched a constant proportion portfolio insurance deal managed by Fischer Francis Trees & Watts in New York and London. The fully capital-protected deal, named Averon after a river in Scotland, will have an underlying portfolio of credit-default swaps on single-name corporate credits and indices. It will be available in U.S. dollars, euros and Australian dollars, with the possibility of Canadian dollars, New Zealand dollars and yen being added after the April close. Averon will be marketed by Nomura's global credit structuring sales force and distributed in North America, Europe, Australia and Asia.
CPPI structures have become increasingly popular in the past few months as they appeal to traditionally conservative investors and allow them to squeeze credit spreads out of a tight spread environment. Fischer Francis has been interested in using CPPI since last year (DW, 12/16). Officials at Nomura and Fischer Francis declined to comment.
