Paris-based Ofivalmo Gestion, an asset manager and subsidiary of the Ofivalmo Group which manages more than EUR8 billion in assets, and Calyon have priced a callable synthetic CDO. Eiffel is a seven-year CDO which can be bought back by Ofivalmo after three years. It allows for multiple issues of notes with fixed, floating or hybrid spread coupons linked to a 123-name synthetic portfolio with a average rating of BBB plus.
There is a Standard & Poor's-only AAA-rated note which takes advantage of the agency's new default rate assumptions to pay six-month EURIBOR plus 75 basis points, stepping up to 95 bps if not called at year three. To satisfy investors whose guidelines demand dual ratings, a second AAA offering rated by S&P and Moody's Investors Service will return 50 bps over six-month EURIBOR, stepping up to 70 bps if not called at year three. Going down the capital structure, the AA note will pay 110 bps over three month EURIBOR stepping up to 140 bps and the A note pays 150 bps stepping up to 190 bps. Eiffel will be issued March 23. Officials at Calyon declined comment and officials at Ofivalmo could not be reached by press time.
