Credit Suisse has issued the first long/short collateralised commodity obligation notes. The $190 million issue followed the April 17 publication of Derivative Fitch’s rating criteria for CCOs.
The AAA-rated notes are denominated in US dollar, euro and Australian dollar, across three- and five-year tranches, and offer protected coupon payments. The principal repayments are based on the performance of long and short positions on a portfolio of commodities.
The Swiss bank priced the five- and three