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Derivatives

BNP Paribas Issues Two CDOs

BNP Paribas priced two synthetic collateralized debt obligations totaling EUR2.625 billion (USD2.4 billion) last week. Antoine Chausson, head of structuring credit derivatives in London, said it structured the transactions in the same week because they were not competing with each other for investors, even though both CDOs have five-year maturities and are referenced to investment grade Group of Seven corporates. Chausson said the difference is in the tranches of the two deals. CDO Master Investments is a EUR1.625 billion CDO made up of 68 credit default swaps and split into three tranches of credit-linked notes: a EUR49 million triple-A tranche; a EUR44 million double-A tranche; and, a EUR26 million A-minus tranche. The Rivera Finance 2 is a EUR1 billion CDO and is also split into three tranches but it has a EUR16 million triple-B plus tranche instead of the A-minus tranche. Chausson said investors in Northern Europe are likely to snap up the lower risk CDO Master Investments deal while Southern European investors will go for the higher coupon paid in the Rivera Finance 2 transaction.

Click here for the CDO Master Investments in pdf format.

Click here for the Rivera Finance 2 in pdf format.

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