Calyon is marketing a USD147 million synthetic collateralized debt obligation with an underlying portfolio of asset-backed securities sourced by Winchester Capital, the principal finance arm of Deutsche Bank. This joins 10 CDOs totaling more than USD23 billion already under WinCap management, but it's the first to be arranged by Calyon, according to credit officials.
Exposure is linked to a pool of residential mortgage-backed securities, commercial mortgage-backed securities, CDOS and other ABS securities. The deal features management mechanics more typical of a cash than a synthetic transaction, in that has a six-month ramp-up period, and a five-year portfolio replenishment period after which the notes will amortize in line with the portfolio. Only investment-grade securities can be added, 50% of which must be AAA-rated.
Exposure is being offered through a series of floating-rate notes rated AAA to BBB by Standard & Poor's, which will be issued through a special purpose vehicle. Target investors could not be determined, but the road show is reported to include Asia. Officials at WinCap declined comment, referring calls to Calyon, where structurers were traveling and could not be reached.
