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Derivatives

IXIS Tests Managed ABS CPPI

IXIS Asset Management is offering its first constant proportion portfolio insurance deal referencing asset-backed securities.

IXIS Asset Management is offering its first constant proportion portfolio insurance deal referencing asset-backed securities. The structure, called Albatros, is a hybrid long/short CPPI of cash ABS and corporate credit-default swaps. It consists of about 40% European ABS, 20% long-only global CDS and 40% long/short ABS and CDS. Notes will be offered in a range of currencies, maturities and formats. The first offering is expected to close next week at EUR200 million and a second offering is expected in a month or two.

Albatros is IXIS's second CPPI under management. Its first, called Catamaran, was pure corporate exposure. Ibrahima Kobar, global head of fixed income at IXIS in Paris, said ABS give the structure stability and add diversification to IXIS' range of products. Kobar said he chose SG Corporate & Investment Banking as the arranger because of its gap value-at-risk methodology, which enables diversification into ABS and short exposure (DW, 3/3).

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