The USD200 million static deal, called Cargo 2, consists of 100 long and 100 short European-style trigger swaps on 17 commodities. The weightings of the commodities vary, but the long and short portfolios are balanced. Vicens said the short positions benefit the structure by offsetting losses on long positions.
Cargo 2 has between two and 20 trigger swaps per commodity, with long trigger swaps referencing nickel, zinc, lead, tin, copper, silver and crude oil, among others, and short trigger exposure to commodities including heating oil, natural gas, gold, crude oil and aluminum. The trigger barriers on the swaps range from 12% to 60% of the commodity spot price. Cargo 2 notes will be offered in three- and five-year maturities, each of which is expected to raise USD100 million. It is expected to close this month but pricing details could not be determined by press time.
Vincens said Derivative Fitch has seen lots of dealer interest in long/short CCOs since it published its rating methodology last month, but that others are further off. "It's very preliminary," he said.