BNP Paribas and Solent Capital have introduced a new 'multi-maturity' feature in their latest CDO, Waypoint, issued on March 15. The facility allows the manager, Solent Capital, to select some assets at the outset with a shorter maturity than the tranche maturity. Depending on the manager's view on fundamentals and the relative credit curves, Solent can adjust each asset's maturity and thus the portfolio's average life.
"It adds an extra dimension to the management of a synthetic CDO," says N
The week on Risk.net, July 7-13, 2018Receive this by email