The Clinton Group, a macro hedge fund based in New York, is shopping a collateralized bond obligation based on an underlying reference pool of credit default swaps and expects to come to market with the 144a deal late next month. The approximately USD500 million deal is based on a reference pool of some USD2 billion in default protection, according to officials in New York who had seen preliminary offering documentation. Officials at The Clinton Group declined comment.
Prudential Securities was working on the structure before the firm's parent company recently decided to exit fixed income, market officials said. General Re Securities may have picked up the baton, say bankers, as several of Pru's CBO structuring team have joined the firm, which is in the process of stepping up its institutional client business (DW, 1/15). An official at Gen Re declined comment.
In the deal a special purpose vehicle sells credit default protection to banks on a range of names. It then issues various tranches of notes to investors and uses the proceeds to purchase authorized securities, most likely Treasuries. One banker who had seen preliminary documentation said the reference pool includes a mortgage tranche, noting that The Clinton Group specializes in mortgage transactions.
