Calyon is road showing a seven-year forward-starting collateralized debt obligation which kicks in in year three and pays a guaranteed coupon during the first two years. Officials familiar with the structure said multiple tranches are being offered, with the AAA-slice paying around 100 basis points. Structurers at Calyon declined comment.
Investment in the deal, called Duet, is linked to a portfolio of 125 credit-default swaps. If there are any defaults in the first two years, the portfolio will not be replenished and leverage will be reduced. It is being marketed to clients in Europe, Asia and the U.S. Further details, including deal size and launch date could not be immediately determined.
Forward-starting structures have been gaining momentum this year, spurred on by steep seven and 10-year credit curves which allow dealers to pay more attractive spreads than on a straight five- or seven-year deal (1/27).
