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Henderson Issues First-Loss CDO

01 Jun 2006

Henderson Global Investors, together with HSBC, has closed a collateralized debt obligation offering exposure to a principal-protected equity tranche.

Henderson Global Investors, together with HSBC, has closed a collateralized debt obligation offering exposure to a principal-protected equity tranche. The deal references the first-loss tranche of a credit-default swap portfolio managed by Henderson. Jim Irvine, head of structured products in London, said there was strong demand for this equity risk from a range of investors.

HSBC issued USD150 million of notes linked to the portfolio in Euros and U.S. dollars. Principal-at-risk notes were also offered. The underlying portfolio of the seven-year deal comprises 200 credit-default swaps on global names.

Matthew Cannon, head of structured credit product marketing at HSBC in London, said in an email to DW the CDO has been structured to provide less volatile equity returns than are typically available to institutional investors, declining further comment on how volatility has been trimmed.

01 Jun 2006