Credit Suisse is planning a U.S. roadshow for a London-based collateralized equity default obligation later this month. The deal, called CEDO IV, is the fourth in a series of static synthetic collateralized debt obligations referencing corporate equity-default swaps and the first brought to the U.S. The roadshow is intended to test interest for a product previously marketed only in Europe and Asia.
"So far, we have done zero testing in the U.S.," said Stephane Diederich, managing director in equity derivatives at Credit Suisse in London. "But we foresee good demand given the overlap between the CDO and CEDO investor base."
The CEDO series was designed to provide a source of yield in a tight interest-rate and tight credit-spread environment. It consists of 112 long-short EDS on corporate names. CEDO I, issued last spring (DW, 5/6) and CEDO II, issued last fall (DW, 11/11), were broadly distributed in Europe and Asia. CEDO III, issued in January, was a private placement for a single investor in Europe or Asia, which Diederich declined to name. "CEDO IV will be a copy and paste," he said. "It will be the same structure but different portfolios."
Moody's Investors Service in London rated CEDO I Aaa and CEDO II--a series of notes of different classes--Aaa to Baa2. CEDO III was rated A3. The six-year transaction, will be shown to insurers, pension funds and proprietary desks in Europe, Asia and the U.S.
