Westpac launches CDO of CDOs

The transaction, called Quadrum, is referenced to a pool of US and European CDOs, synthetic CDOs, portfolio credit default swaps and Australian mortgage backed securities, and is aimed at freeing up economic capital within the bank. “This kind of multi-sector CDO has been rated for several years in the US and Europe, but as far as I am aware, this is the first time a transaction such as this has been done in Asia,” says Yusuke Seki, vice-president and senior analyst at Moody’s Investors Service in Tokyo.

The transaction, which closed in late-December, comprises a large super senior tranche, totalling around $1.1 billion. The mezzanine portion consists of five classes of notes denominated in US dollars and euros, and rated by Moody’s and Standard & Poor’s: EUR25 million of Class A1 notes rated Aa2 by Moody’s; EUR12 million of Class B1 notes rated A2; $20 million of Class B2 notes also rated A2; EUR19 million of Class C1 notes rated Baa2; and $8 million of Class C2 notes also rated Baa2. The equity portion, which will be held by Westpac, represents around $76 million.

“[The deal] is all about economic capital management,” Nick Taylor, director of structured securities at Westpac in Sydney, told RiskNews. “It’s part of the evolution of the bank in terms of how we manage our balance sheet.”

The transaction was placed primarily with European investors, with some buying interest coming out of Asia, Taylor added.

  • LinkedIn  
  • Save this article
  • Print this page  

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: