SG launches arbitrage synthetic CDO with 100% Asian exposure
The transaction was arranged solely by SG and carries a final maturity of five years.
The underlying collateral consists of a portfolio of 25 credit default swaps based on the debt of companies from Australia, China, Hong Kong, Korea, Malaysia, the Philippines, Singapore and Thailand, with an average rating of Baa3 by Moody’s.
The CDO comprises a $77 million senior-class tranche rated Aaa, a $13 million mezzanine class tranche rated Baa3 and a $10 million non-rated equity tranche.
“This is a landmark deal in the Asian CDO market, extending the application of CDO technology to purely Asian credits," said Gilbert Tse, head of structured derivatives at SG. The French bank plans to market the transaction around the world.
More on Credit derivatives
7 days in 60 seconds
Digital offices, Brexit swaptions and forex derivatives
The week on Risk.net, July 7-13, 2018
Receive this by email
Back to Top