Primus Asset Management is bringing to market a collateralized debt obligation which features notably low subordination on the highest-rated tranche. The transaction, called Primo CDO, is part of a new breed of investment-grade CDOs which can achieve low subordination levels under Standard & Poor's Evaluator 3 model (DW, 1/13).
Investors are being offered exposure to a AAA-rated slice with 4% subordination, which officials say is 1% below attachment points commonly seen. "This is definitely one of the lowest levels," said a portfolio manager at a London-based group. The seven-year CDO also features AA- and A-rated tranches linked to a portfolio of predominately A-rated credits.
The CDO was arranged by Calyon, but structurers from the firm were traveling and could not be reached for comment. Candace Lau-Hansen, global head of marketing at Primus Financial in New York, declined comment. Investors and size of the deal could not be immediately determined.