Fortis Bank recently completed one of the first synthetic CDOs incorporating credit default swaps with varying maturity dates. The Regatta CDO, issued by Solent Capital, includes both five-year and eight-year maturing credit default swaps. The structure is expected to become more popular as innovation within the managed synthetic CDO market continues developing.
The deal references 147 investment-grade corporate names and three sovereign names. Fortis bought protection on half of the portfolio for five years and the remaining half for eight years through a single-tranche CDS, according to a Fitch Ratings presale report. The A class notes reference a notional 5 billion, while the B, C and D classes reference 2.5 billion.