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Derivatives

ABN Readies CPPI-Linked Portfolio

ABN AMRO is readying the global launch of a managed, capital-protected structure linked to a portfolio of long/short credit-default swap names.

ABN AMRO is readying the global launch of a managed, capital-protected structure linked to a portfolio of long/short credit-default swap names. The deal is a follow-up to Patrimoine Obligation Croissance, ABN's first credit fund which triggered a trend of capital protecting credit offerings (DW, 1/28).

"This structure gives the manager flexibility as well as offers principal protection," said an official close to the deal. The portfolio will be managed by AXA Investment Managers, which will take long and short positions on the portfolio of global credits. Capital protection is structured through constant proportion portfolio insurance. The structure will be sold to investors in Europe and Asia in both U.S. dollars and euros and will close mid-September.

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