Citigroup is road showing a synthetic emerging-market collateralized debt obligation and is aiming to raise E500 million. The static deal has been structured to shift risk from the firm's balance sheet to the capital market and is a follow-up to Sphaera, an emerging market CDO it launched last year (DW, 12/9). Officials from the firm declined all comment.
The static, five-year deal offers synthetic exposure to a portfolio of 100 emerging market entities across 34 nations. It comprises 80% corporates and 20% sovereigns in Asia, Eastern Europe, Latin America, the Middle East and Africa. Each underlying credit has a fixed recovery rate of 40%.
Investment is being offered through fixed or floating rate notes rated AAA by Standard & Poor's and A through to A3 by Moody's Investors Service. Marketing is currently underway in Europe, Asia and the U.S. and notes will be dominated in either euros or U.S. dollars. Sphaera II is expected to close late next week.
