Fortis Investment Management France, the French arm of Fortis Investments with EUR95.7 billion (USD116 billion) under management, is gearing up to manage a public collateralized debt obligation referenced to emerging market entities. The portfolio comprises sovereigns and corporates with ratings of low- or sub-investment grade. Rating agency officials said this type of deal is not common, estimating they see less than five emerging market CDOs per year.
As manager, Fortis can substitute reference entities in the portfolio to maintain credit rating, as well as reduce or increase the percentage threshold of the mezzanine notes to fund the transaction's synthetic trading account. Fortis can then use this account to enter into short positions on emerging market names, including entities not included in the portfolio.
Named Rivera, the seven-year transaction was arranged by Barclays Bank. Structuring officials at Fortis in Paris and Barclays in London declined comment. The trade's currency, target notional and potential investors, as well as motivation for referencing entirely emerging market entities, could not be determined by press time. It is expected to close this month. The various tranches of Rivera have been given preliminary ratings ranging from BBB to AAA by Standard & Poor's.
