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Derivatives

CPPI Coupon Ratings Top Dealers' Wish List

Dealers are asking rating agencies to rate the coupon component of constant proportion portfolio insurance notes because more ratings-based investors are looking to buy into the credit strategy.

Dealers are asking rating agencies to rate the coupon component of constant proportion portfolio insurance notes because more ratings-based investors are looking to buy into the credit strategy. Dealers say ratings would grow the investor base for the product and allow them to tap retail players who are big buyers of capital-protected risk.

At present, agencies rate only the likelihood of an investor getting principal back at maturity. "We are developing methodologies to meet this demand," said Katrien van Acoloyen, structured finance analyst at Standard & Poor's. Methodologies will likely center around where the triggers are set which move invested assets between the risky and safe buckets.

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