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Derivatives

BNP Preps Longer-Dated CDO For Japan

BNP Paribas is planning to extend the curve for Japanese synthetic CDOs with seven and 10-year deals in the works.

BNP Paribas is planning to extend the curve for Japanese synthetic CDOs with seven and 10-year deals in the works. "We're now speaking with rating agencies about these types of deals," said Shun Cajot Yoshida, credit structurer at BNP in Tokyo, explaining the firm has been working on the models for such deals and expects to begin closing the transactions in the next few months. "Japanese investors have become comfortable buying five-year deals in the last two to three years and now see they can extend the tenor and benefit from the curve."

While the majority of deals now being pitched in Japan are linked to overseas credit due to more attractive spread levels, there is still demand for domestic names that conservative investors are more familiar with. Yoshida said such deals will be offered across tranches of 80 to 100 Japanese default-swaps. "I have a feeling there will be decent interest," he continued.

BNP brought one of the first Japanese CDOs to market in 2001 (DW, 11/15/01) and has subsequently rolled out regular domestic deals in the country via its Serina Finance vehicle.

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