Pre-migration untagged articles

Queen’s Walk Investment Ltd, the listed ABS fund managed by Cheyne Capital Management (UK), posted a Eu67.7m loss this week.

Merrill Lynch has begun marketing its innovative managed synthetic foreign exchange CDO, Prometheus Capital. The Eu156m deal uses a portfolio of 14 FX trigger swaps of mainly emerging market currencies — Mexican pesos, Norwegian kroner, Hugarian forints, Indonesian rupiah, Turkish lira, South African rand, New Zealand dollars, Argentine pesos, Brazilian reals, Russian roubles and Taiwanese dollars. Each swap has between one and three triggers ranging from 58% to 157% of the spot price at closing. If the spot rates at maturity breach the triggers in any currency, the exposure will be written off. The portfolio manager, Credit Suisse Asset Management, may substitute up to 30% of the portfolio each year. Prometheus will issue four tranches of five year notes rated by Standard & Poor’s — Eu56m of triple-a paper, Eu16m of double-A notes, a Eu34m single-A tranche and a Eu50m triple-B piece. Two commercial real estate CDOs will be priced shortly. Market sources say that price guidance for Investec’s Eu300m CRE CDO, led by Bear Stearns and Wachovia Securities, is in the 27bp area for the triple-A tranche, in the 55bp area for the double-A notes, 75bp-80bp for the single-A piece, in the 165bp area for the triple-B paper and in the 375bp area for the double-B tranche. Meanwhile, Citigroup and Lehman Brothers have released guidance for Fortress Investment Group’s Eu800m Duncannon CRE CDO. Duncannon’s triple-A notes are talked at 27bp to 29bp over Euribor, the double-A notes in the low 40s, the single-A notes at 70bp to 75bp, the A-/A rated paper at 85bp to 90bp, the BBB+/BBB+ notes in the 140bp area, the triple-B notes in the 160bp area, the BBB-/BBB- tranche in the 185bp area, the BB/BB+ piece in the 325bp area and the BB-/BB- notes in the 370bp area.

We were delighted to see that Barclays seems to be changing its battle plans in its struggle to acquire ABN Amro.

DnB Nor’s inaugural covered bond, a Eu1.5bn five year fell short of expectations this week, becoming a victim of a deterioration in market sentiment.

A senior Dutch official advising the Supreme Court on the ABN Amro sale of LaSalle ruled on Tuesday that the bank did not have to put the sale of its US subsidiary to a shareholder vote.

Talking of UBS and the unexpected early death of Dillon Read Capital Management, we did advise EuroWeek readers that this story had attracted the attention of some of the better investigative journalists in the United States.

Treasuries sold off in the aftermath of the Federal Open Market Communitee meeting yesterday (Thursday) and swap spreads widened by about 0.5bp, reported dealers in New York.

BNP Paribas is the world’s 14th biggest revenue earner in investment banking, according to Dealogic — about the same size as Barclays Capital, ABN Amro and Royal Bank of Scotland, but only a quarter as big as the market leader JP Morgan.

BNP Paribas is one of Europe’s top two corporate lenders, and an active player in leveraged finance.