Calyon To Link CDO Payout To Equity Mart

Calyon is working on a synthetic collateralized debt obligation in which the coupon of one of the tranches is linked to the Standard & Poor's 500 and the Nikkei 225.

  • 03 Sep 2004
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Calyon is working on a synthetic collateralized debt obligation in which the coupon of one of the tranches is linked to the Standard & Poor's 500 and the Nikkei 225. Pierre Trecourt, executive director and Asia-Pacific head of credit-structuring in Hong Kong, said coupons for CDOs have been linked to exposures such as inflation, but the firm believes this is the first to include equity indexes.

"Overall, investors in Asia are still bullish on Japan and the S&P 500 is great for diversification," said Trecourt, adding it provides a benchmark for equities. There is a growing interest in Asia for ABS CDO transactions. "It provides the best return for a quality CDO basket," he added.

The CDO squared, dubbed ABSolute 5, is referenced to a USD2 billion portfolio of AAA ABS and AA synthetic CDO risk. The ABS makes up some 80% of the portfolio. The derivatives house will sell two tranches, a USD20 million AAA tranche and a USD50 million AA slice. Only about half of the AA tranche will offer the equity payout with the remainder linked to a floating-rate coupon. A portion of the initial premium received from the CDO will be invested in equity options in order to generate the equity payout.

The majority of the transaction will be sold in Asia, with regional investment-grade credits making a sizable portion of the 100-name pool in the CDO portfolio. The ABS pool comprises U.S. and European underlyings. Trecourt noted that with interest rates in Asia near historical lows, investors are willing to consider equity returns in anticipation of higher upside potential.

The former Crédit Agricole Indosuez kicked off the ABSolute series early last year (DW, 4/7/03).

 

  • 03 Sep 2004

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 18 Jul 2017
1 Citi 244,235.70 910 8.87%
2 JPMorgan 223,767.95 1021 8.13%
3 Bank of America Merrill Lynch 211,276.97 750 7.68%
4 Barclays 166,062.82 634 6.03%
5 Goldman Sachs 162,877.27 537 5.92%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 18 Jul 2017
1 HSBC 25,202.67 100 7.14%
2 Deutsche Bank 25,125.19 81 7.12%
3 Bank of America Merrill Lynch 21,836.07 58 6.18%
4 BNP Paribas 18,395.95 105 5.21%
5 Credit Agricole CIB 18,048.72 104 5.11%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 18 Jul 2017
1 JPMorgan 12,578.87 55 8.17%
2 Citi 11,338.07 71 7.36%
3 UBS 10,682.06 44 6.93%
4 Goldman Sachs 10,419.53 53 6.76%
5 Morgan Stanley 10,194.88 57 6.62%