Credit Lyonnais prepares Asian-flavoured arbitrage synthetic CDO

This will represent Credit Lyonnais’s first synthetic project in the region, but the bank is no stranger to CDOs and has already structured Emerging Asia CBO, an $80 million arbitrage cash-collateralised bond obligation it arranged for the International Finance Corporation – the private sector arm of the World Bank – which it closed last year.

“We have an initial project which will come out soon, within a month,” Winand said. The synthetic CDO will be based on global assets, including an Asian portion, he added, declining to comment further on the deal.

Winand’s securitisation team is working in conjunction with the bank’s credit derivatives team to structure the transaction.

Synthetic transactions are growing in Japan to compensate for a lack of liquidity in the cash market, Winand said.

Responding to market developments, Credit Lyonnais is beefing up its securitisation and credit derivatives teams in Tokyo, where the bank sees most growth in the region.

Winand moved to Tokyo from Hong Kong last August when Credit Lyonnais reshuffled its fixed-income organisation in Asia. In his new role, Winand oversees the bank’s securitisation team, which has been centralised in Tokyo to develop the whole range of asset-backed securities, from conduit transactions to mortgage-backed to non-performing loan-related structures.

The bank has poached staff from rivals such as Bear Stearns, and the securitisation team is now 15-strong.

Outside Japan, Winand said South Korea remained a good market for securitisation and Taiwan could yield significant potential once relevant legislation is in place.

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