BNP Paribas plans to expand its synthetic collateralized debt obligation business outside of Europe. It aims to structure its first synthetic CDO in the U.S., boost its presence in Japan and possibly structure a CDO in Hong Kong. Antoine Chausson, head of structured credit derivatives in London, said London is the hub of the business, but added it wants to offer synthetic CDOs in other areas.
The CDOs will be based on its CDO Master Investments 2 structure, which includes credit-default swaps and asset-backed securities. Chausson said this reduces the exposure to individual entities and also diversifies the portfolio. The reference portfolio on the U.S. CDO will be USD1-4 billion and the reference portfolio on the Japanese CDOs will be USD500,000-USD2 billion depending on demand. The Hong Kong CDO is still in the initial planning phase.
Shun Cajot Yoshida, credit structurer in Tokyo, said he expects it will structure one CDO a quarter. The products will have the same structure but different portfolio's from the Serena Finance CDO it launched at the end of November (DW, 11/14).
