John Hancock Life Insurance Co. recently launched and priced Signature QSPE Limited, a static bond-backed CDO structured to satisfy QSPE criteria as defined by the current version of FAS 140.
The CDO market does not often see static, cash bond deals, as most of the visible balance sheet market has moved to the synthetic realm. According to a ratings report from Moody's Investors Service, most of the assets in Signature QSPE are U.S. dollar denominated bonds.
While details are scarce - primarily because most people familiar with the deal were out on holiday last week - it's understood that the bonds backing the fully ramped up CDO came from Hancock's balance sheet.
Morgan Stanley is lead underwriter on the deal, which is structured as a $123 million, triple-A floating-rate senior class on top of a $140 million single-A rated, fixed-rate B class.
As previously reported in ASR, John Hancock Life Insurance Co. has made a few splashes this year in the financial accounting arena. In August, John Hancock Financial Services petitioned the Financial Accounting Standards Board to take management fees out of the FIN 46 expected residual return analysis.
In its November quarterly financial statement, Hancock differed implementing FIN 46 but took CDO disclosure to the next level, providing a cumulative asset/liability breakdown of the CDOs it manages, plus a detailed table of its exposure to loss at the various credit tiers.