Dresdner Kleinwort Wasserstein expects to issue within the next two months its version of a synthetic collateralized loan obligation, dubbed a Promise deal, being pushed by German state-owned bank Kreditanstalt für Wiederaufbau. Jeremy Vice, head of credit derivatives and secruitization at DrKW in London, said the transaction will be similar in size and structure to the IKB Deutsche Industriebank and HypoVereinsbank transactions that came to market late last year (DW, 12/24). The IKB deal, which was lead managed by Merrill Lynch, had a notional size of EUR2.5 billion (USD2.3 billion) and the HypoVereinsbank deal weighed in at EUR1.1 billion (notional).
In the HypoVereinsbank transaction KfW sold protection to HypoVereinsbank on a basket of loans. KfW then purchased protection from a special purpose vehicle, dubbed Promise A 2000, which in turn issued five tranches of credit-linked notes, according to Bea von Gneisenau, head of European asset-backed securities trading at HypoVereinsbank in Munich. The five tranches of notes range from AAA/Aaa, which pay Euribor plus 32 basis points, to BB/Ba2, which pay Euribor plus 370bps. All the notes are rated by Fitch and Moody's Investors Service. Protection on the remainder of the portfolio was sold via a credit default swap to an Organisation for Economic Co-operation and Development-based bank.
