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Calyon Launches Its Debut Aussie ABS CDO

10 Dec 2004

Calyon has recently launched its first collateralized debt obligation referenced to asset-backed securities in the Australian market.

Calyon has recently launched its first collateralized debt obligation referenced to asset-backed securities in the Australian market. The French bank teamed up with National Australia Bank to offer the deal. "It was the perfect match, NAB is very knowledgeable in the Australian ABS market while we have built a strong track record on ABS CDOs," said Pierre Trecourt, executive director and Asia-Pacific head of credit structuring at Calyon in Hong Kong. 10% of the structure, called Maison Plus, is referenced to Australian commercial mortgaged back securities, 20% to residential mortgaged back securities and the remaining proportion is linked to a AA synthetic collateralized debt obligation. The synthetic CDO contains a pool of 280 global credit-default swaps. Structured notes rated AAA, AA plus, AA totaling AUD120 million (USD90.9 million) have been issued mainly to Australian institutional investors, with a small portion denominated in euro for clients in Europe. Credit structurers at NAB in Sydney did not return messages by press time.

Trecourt said Aussie end users were attracted to the mixed capital structure of the deal, given that some investors had been burned by losses in pure synthetic CDOs in recent years. "It's a very conservative tranching. It appears to us that Australian investors are more concerned about the safety than the pricing," he added.

Calyon also completed the sixth launch of its ABSolute ABS CDO series, selling a USD45 million in notes in Asia, noted Trecourt. The former Crédit Agricole Indosuez kicked off the ABSolute series early last year (DW, 4/7/03) with ABSolute 5 hitting the market in September (DW, 10/3).

10 Dec 2004

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