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Derivatives

French, U.S. Managers To Pitch Novel ABS CDO

IXIS Asset Management and Deerfield Capital Management are launching a first-of-a-kind single-tranche synthetic asset-backed securities collateralized debt obligation.

IXIS Asset Management and Deerfield Capital Management are launching a first-of-a-kind single-tranche synthetic asset-backed securities collateralized debt obligation. The expected USD300-500 million CDO is called Aramis after a character in The Three Musketeers because three parties are involved in the deal. It is thought to be the first co-managed ABS CDO and also the first to reference European and U.S. ABS.

The underlying USD3 billion portfolio will consist initially of 60% U.S. and 40% European residential and commercial mortgage-backed securities. Paris-based IXIS AM will manage the European portion of the portfolio, and Chicago-based Deerfield will manage the U.S. portion. Aramis is being structured by Merrill Lynch in London.

Merrill will offer AAA through BBB mezzanine notes on 10% of the portfolio and delta hedge the rest. The first piece will be launched globally, excluding in the U.S, and is expected to close by the end of March to accommodate the end of the fiscal year in Japan. A second tap for U.S. investors is expected to follow later this year for timing reasons.

Yannig Loyer, director in credit structuring at Merrill in London, and officials at IXIS AM declined comment ahead of its close.

 

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