BNP Paribas is preparing to close a collateralized debt obligation squared deal this week in Japan. The structure references an asset-backed securities portfolio and a synthetic CDO. The aim is to offer diversity and higher yield in the tight default-swap market. "Clients are looking for diversified exposure which this clearly offers," said Shun Cajot Yoshida, credit structurer at BNP Paribas in Tokyo.
Yoshida said there is a growing interest in CDOs with ABS components as, "Investors are getting more comfortable with these types of structures." The AAA-rated deal, denominated in yen, is comprised of a predominantly European ABS portfolio and a synthetic CDO comprising 50% U.S. and 50% European credits.
