The deal will use two special-purpose vehicles, Golden Jade CDO Ltd and Golden Jade CDO LLC, that will act as co-issuers to three classes of rated notes as well as some unrated notes. The rated notes consist of a $20 million Class A floating-rate notes rated Aaa; $10 million Class B floating-rate notes rated Aa1 by Moody’s; and $27.5 million Class C floating-rate notes rated A3. All notes will mature in 2006 and were placed globally.
Proceeds from the notes will be invested with FGIC Capital Market Services, a New York-based monoline insurance company. At the same time the co-issuers will enter into a credit default swap (CDS) on the reference portfolio with Lehman Brothers Special Financing. Under the CDS, the issuers will provide credit protection to Lehman Brothers Special Financing, which in return will pay the premiums on the CDS to the issuers until the scheduled final payment date in May 2006.