Two noteworthy arbitrage synthetic CDOs entered the market last week: the first managed synthetic investment-grade (IG) CBO from MBIA Capital Management Corp., and a static-pool synthetic high-yield CBO - the first of its kind to reference high-yield bonds - from Goldman Sachs.
Goldman's $400 million synthetic high-yield CBO will be administered by the firm and only has two visible tranches offered to investors. The super-senior portfolio default swap tranche is $256 million (64%) of the deal and references a Goldman high-yield portfolio, said buyside sources. The Moody's-rated triple-A and double-A tranches are not offered, as is the case with the $44 million (11%) in equity. The $20 million (5%) triple-B is said to be offered at Libor plus 350 basis points and the double-B (5%) is offered at Libor plus 750 basis points.