Calyon, BofA Ready CDO Squared

Calyon and Bank of America have teamed up to structure a synthetic collateralized debt obligation.

  • 10 Jun 2005
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Calyon and Bank of America have teamed up to structure a synthetic collateralized debt obligation. The five-year deal, managed by Henderson Global Investors, is likely to top EUR250 million (USD308 million) and will give investors exposure to seven mezzanine tranches of CDOs referenced to a portfolio of investment grade corporates.

Dominic Powell, head of the investment solutions group at Henderson in London, said the CDO squared, named Midgard, has been marketed to investors globally. Henderson will manage the CDO. An official close to the deal said the structure appeals to investors because there are not many other CDO squared deals in the market right now, as recent market volatility has made it harder to price these transactions attractively. Loic Fery, managing director of capital markets and global head of structured credit and CDOs at Calyon in London, declined comment. Calls to Bank of America were not returned by press time.

Midgard is a sister transaction to Asgard, Henderson's CDO of asset-backed securities and CDO tranches which the firm marketed with Deutsche Bank last August (DW, 6/20). Powell said the name Midgard is the Nordic equivalent of Middle Earth and refers to the land of men.

The transaction was due to be priced last Friday as DW went to press. Tranches of the CDO squared have been given preliminary ratings between AA and AAA by Standard and Poor's.

  • 10 Jun 2005

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5 Goldman Sachs 158,954.58 518 5.39%

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4 SG Corporate & Investment Banking 26,569.73 97 5.36%
5 Credit Agricole CIB 23,807.36 111 4.80%

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4 UBS 6,098.17 23 5.29%
5 Credit Suisse 5,236.02 28 4.54%