Gulf International Bank is readying its second collateralized debt obligation of European asset-backed securities. The E309.5 million deal is being arranged by Bear Stearns' London CDO team and is set to be priced within the next two weeks, says Mark Moffat, managing director. Gulf International launched the first-ever European CDO of ABS last year.
This deal, FAB CBO 2003-1, features a E10 million tranche of triple-A zero-coupon notes. Moffat explains the tranche was based on a reverse inquiry from an investor who wanted the zero-coupon bonds to act as principal protection on its investment in the equity piece. The use of zero-coupon notes in CDOs is not common and because it was included in the deal to meet a specific investor request, Moffat does not believe their use will proliferate.
The underlying collateral for the deal will include senior, junior and mezzanine ABS paper as well as synthetic securities.