New issuance in the U.S. CDO market remains dormant amid continued ratings instability. But the center of gravity seems to be moving east for CDOs as an increasing number of transactions are popping up overseas, particularly synthetic structures.
Across the pond, Calyon is arranging a E100 million ($142 million) synthetic CDO to be fully managed by M&G Investment Management under the name Ocelot III. The Bank of New York in London will be the trustee on the deal. The transaction will reference corporations, including long positions on 135 unequally weighted names with a 10% bucket to buy short protection on corporate names, according to a presale report from Moody's Investors Service. The highest concentration of names in the portfolio is expected to be in banking, followed by insurance, oil and gas, telecommunications, chemicals, plastics and rubber, and utilities. The majority of these names will come from the U.S. and Western Europe, Standard & Poor's said in a presale report. The notes will pay a quarterly coupon of three-month Euribor plus a margin, S&P said. The transaction is set to close this month.