Cairn managed CPDO goes global
Story date: 2007.7.31
4 July 2007
JP Morgan has confirmed that it priced and closed a CPDO managed by Cairn Financial Products last month but gave few additional details, beyond saying that the deal, Cairn CPDO I, was placed globally, across four continents, and attracted a diverse group of investors.
However, two tranches of the deal are understood to have been issued - totalling just over $100 million - of which a Moody`s Aaa tranche priced at 130bp over Libor and a smaller Aa2-rated tranche priced at 210bp.
Like the first-generation of CPDOs, the deal is based around the indices, but has no automatic roll feature. Instead, Cairn manages the portfolio and can trade current, off-the-run and expected future index names.
The London-based manager also manages the leverage of the deal within parameters agreed with JP Morgan.
A novel feature is that investors have the right to call the deal after five years if by that point it has reached its cash-in point.
Reproduced with permission from Creditflux
