Crédit Agricole Indosuez is structuring a USD660 million synthetic collateralized debt obligation referenced to AAA rated asset-backed securities. The deal, dubbed ABSolute, is expected to be launched in the coming weeks, according to officials familiar with the deal. Structurers at CAI declined comment.
The reference portfolio will likely be slightly overweight U.S. assets with the three largest sectors being home equity loans, autos and leasing. The five year CDO will have three mezzanine notes accounting for around USD50 million.
