Morgan Stanley has arranged a synthetic collateralized debt obligation on the back of a EUR300 million (USD358 million) portfolio of European mezzanine asset-backed securities. The pool of 65 securities comprises 37.08% CMBS, 24.03% RMBS, 2.81% consumer ABS, 23.95% commercial ABS and 12.12% CDOs and has an average rating of BBB. Four classes of rated notes, ranging from AAA to BBB minus, as well as unrated subordinated notes will be issued. Named Aeolus, the transaction is yet to be priced, but is expected to close this month. Structuring officials at Morgan Stanley declined comment and target investors could not be determined.
Morgan Stanley Taps European ABS For Synthetic CDO
