Crédit Agricole Indosuez and Crédit Lyonnais are preparing to launch a pair of asset-backed synthetic collateralized debt obligations, in the run-up to the integration of the firms next month.
The two transactions, to be distributed in Asia, Europe and Japan, are a continuation of Indosuez's ABS CDO program that kicked off last year (DW, 6/23). "Mixes of ABS and CDOs were successful last year and the increase in size reflects the bigger demand for such types of deals," said Loic Fery, managing director and global head of credit derivatives and structures at Indosuez in London. Indosuez and Lyonnais, which will be integrated under the name CALYON, are joint-book runners for the deals. Fery will assume the role of global head of structured credit for the combined entity (DW, 2/8).
The firms are readying an issue, dubbed SAGA, for Japanese investors which will be their first CDO of ABS in Japan, and is referenced to a portfolio of triple-A U.S. assets totaling JPY133 billion (USD1.25 billion). The structure includes a funded JPY7 million tranche, an unfunded JPY125 million tranche and a triple-A rated tranche denominated in euros totaling EUR7.5 million (USD9.13 million), noted Fery.
Additionally, the French houses are preparing to launch a USD700 million CDO of ABS, called ABSolute 3, a sequel to CAI's ABSolute series that was launched in the previous year. Fery noted that the majority of the deal will be placed in Asia and issued in local currencies while the remainder is to be sold in Europe. The structure is referenced to a portfolio that is 90% triple-A asset-backed securities and 10% double-A rated CDOs.
A total amount of USD49 million in credit-linked notes in three tranches will be issued, which will be publicly rated in the coming days, along with a USD651 million super-senior tranche that will be privately placed, he continued.
