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Derivatives

CAAM Ponders CPPI Credit Note Expansion

Crédit Agricole Asset Management is looking to expand a European credit fund by opening its capital-protected portfolio to U.S. dollar and sterling investors.

Crédit Agricole Asset Management is looking to expand a European credit fund by opening its capital-protected portfolio to U.S. dollar and sterling investors. The portfolio, called Dynamo, is wrapped as a 10-year note with capital protection through constant proportion portfolio insurance. It was structured by BNP Paribas and managed by CAAM (DW, 6/24).

Hervé Boiral, euro credit portfolio manager at the EUR355.1 billion fund firm in Paris, said the move to another currency would be driven by the level of interest from investors in Asia and the Middle East. He declined to put a figure on investment needed for the expansion, noting discussions were in an early stage. Factors which would halt growth of the fund include credit spreads tightening further or unforeseen regulatory issues, Boiral said.

The note would give new investors exposure to cash assets and credit-default swaps referenced to high-yield, emerging market and investment-grade entities. Boiral said the maturity of the trades in the portfolio would be dictated by investor needs. There would be no limit on the turnover in the managed credit fund.

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