Japan’s Sumitomo Mitsui Banking Corporation (SMBC) is preparing to launch its second balance sheet synthetic collateralised loan obligation on March 24, ahead of the fiscal year end, with a ¥1 trillion ($8.35 billion) transaction.The bank is issuing ¥40 billion of floating-rate credit-linked notes due in November 2004 and ¥63 billion of senior credit default swaps rated Aaa. The transaction is referenced on ¥1 trillion of loans extended by SMBC to small and medium-sized companies. The senior credit swap is rated Aaa by Moody’s Investors Service, while the ¥20 billion of Class B notes are rated A2 and the ¥20 billion of Class C notes are rated Baa3.
The name of the special purpose vehicle, the super senior credit default swap tranch and the equity portion were not disclosed, but officials familiar with the transaction said the structure is very similar to SMBC’s Proton deal that closed in December.
The latest transaction is being arranged by Goldman Sachs, which also arranged the Proton deal with Daiwa Securities SMBC Europe, although Goldman Sachs didn’t confirm the mandate.
More on Credit Derivatives
EU stress tests showed €34.5 billion notional legacy book
Clearing credit hub closes, with Markit citing disappointing Sef volumes
UBS in Australia sold off CDS portfolio in fixed income scale-back
Fears relationship between credit indexes and constituents becoming more tenuous
Sign up for Risk.net email alerts
Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
Nominated for two technology awards
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.