HVB closes $1 billion CDO

As part of the transaction, Cayman Island-registered special-purpose vehicle Artemus Strategic Asian Credit Fund is issuing four classes of secured floating-rate notes due in March 2010. There is also a super senior tranche worth $800 million and an equity tranche worth $20 million.

Artemus is issuing $127 million of class A notes rated AAA by Standard & Poor’s and Fitch and Aaa by Moody’s Investors Service; $20 million of class B notes rated AA and Aa2; $20 million of class C notes rated A and A2; and $13 million of class D notes rated BBB and Baa2.

The hybrid CDO is referenced on a portfolio expected to comprise $120 million in cash bonds, most of which are asset-backed securities, and $880 million of synthetic securities, including sovereign and corporate exposures. BNP Paribas, Deutsche Bank and JP Morgan Chase are credit default swap counterparties.

Geographically, the portfolio has a 50% exposure in the Asia-Pacific region, including Japan, Australia and New Zealand. The other half of the portfolio has US and European exposures. In terms of placement, the HVB official said the transaction was sold globally.

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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