Société Générale is structuring a EUR300 million (USD261 million) arbitrage synthetic collateralized debt obligation. An investor in London said the portfolio consists of credit-default swaps referenced to 54 European and six U.S. blue chip corporates. He added, there is no exposure to the airline or gaming industries.
The timetable for the deal, named Score, has not been set yet, according to the investor, who added, "it will go to market when they have found the equity investors." Officials at SG did not return calls before press time.
