ABX CPDOs To Include Varying Maturities

GLOBALCAPITAL INTERNATIONAL LIMITED, a company

incorporated in England and Wales (company number 15236213),

having its registered office at 4 Bouverie Street, London, UK, EC4Y 8AX

Accessibility | Terms of Use | Privacy Policy | Modern Slavery Statement | Event Participant Terms & Conditions

ABX CPDOs To Include Varying Maturities

Credit structurers in the U.S. are running models on asset-backed constant proportion debt obligations that would include different maturities of the asset-backed securities index, ABX, in the reference pool.

Credit structurers in the U.S. are running models on asset-backed constant proportion debt obligations that would include different maturities of the asset-backed securities index, ABX, in the reference pool.

The first batch of U.S. ABS CPDOs are in the pipeline (DW, 10/9), but most are expected to only reference five-year protection on the ABX because that tenor has the most liquidity. Some dealers, however, are looking to include both five- and 10-year protection as a relative-value play on the maturities, coupled with the leverage embedded in the CPDO.

HSBC is reportedly working on one such deal, although details could not be determined by press time. Officials at HSBC declined comment.

Related articles

Gift this article