Citigroup last week priced a static emerging market collateralized debt obligation with a fixed recovery rate of 40%. This fixed rate is rare in emerging market trades, said market officials, who also noted the EUR500 (USD 586 million) million underlying portfolio of 100 entities is unusually large. Most emerging market synthetic CDOs reference between 30 and 40 credits. Officials at Citi declined comment, but one player familiar with the trade said the high recovery rate helped attain an attractive credit rating.
Named Sphaera, which is a Latin reference to the earth, the reference pool comprises 80% corporates and 20% sovereigns across 34 nations. Seven notes will be issued in both euros and U.S. dollar and have a maturity of five years with a three year non-call period. Priced last Tuesday, the notes pay from 35 basis points over three-month Euribor in the AAA/aaa tranche to 250bps over three-month Euribor in the Ba2/BB tranche. It is being marketed globally and will close Thursday.