Crédit Agricole Asset Management, the French fund manager with EUR355.1 billion in assets under management, and BNP Paribas are preparing a second tranche of their European capital-protected credit fund Dynamo and looking to raise USD200 million.
This latest offering will expand the portfolio to include assets across a suite of currencies and will also take the transaction to Asian investors. The portfolio of credit indices and long and short credit-default swaps, wrapped as a 10-year note using constant proportion portfolio insurance to protect capital invested, will be open to U.S. dollar, sterling, Swiss franc, yen and Australian dollar investors.
Jean-Francois Boulier, head of European credit and fixed income at CAAM in Paris, said the firm will actively manage the different interest rate exposures of the currencies, moving leverage and exposure in line with its view of the credit market. Hervé Besnard, head of credit derivatives product development at BNP in London, said the transaction was structured to capitalize on the success of Dynamo I (DW, 8/5), which raised EUR525 million and is performing between 20 and 40 basis points above targets. He noted the firm is targeting clients in Asia, as well as European investors that showed interest in the first tranche, but did not have time to approve the investment.
Dynamo II has a target size of USD200 million and is expected to close later this month.
