The official added that although the transaction is expected to close soon, the structure has not yet been finalised.
Like other Serena Finance deals, the latest transaction will be rated by local Japanese rating agency Rating and Investment Information (R&I) and sold to Japanese investors.
As part of the deal, special purpose vehicle Serena Finance will issue five classes of credit-linked notes rated AAA, AA+, A+, BBB+ and BBB- by R&I. It would then use the proceeds to buy Japanese government bonds (JGBs).
At the same time, Serena will sell credit protection to BNP Paribas on the reference portfolio, for which it will receive a premium. Serena will use the income from the JGBs and its credit default swap with BNP Paribas to service the debt on its notes issue.