Crédit Agricole Indosuez is working on three synthetic collateralized debt obligations with equity tranches of around three times the normal size. The CDOs have first-loss tranches of 6%, according to Loic Fery, managing director and global head of credit derivatives and structures in London.
Fery said sophisticated investors, such as hedge funds, are wanting to gain exposure to non-rated tranches to obtain the best possible risk/return profile. He added that the investors do not need the rating because the portfolio can be customized to their needs.
The three CDOs, dubbed Cassiopea, Beltegeuse and Altair, are referenced to EUR800 million (USD918 million) pools of corporates. The average rating of the pools is Baa2 and they are diversified across industries and regions, noted Fery.
