The news affects €11.5 million of notes; another €41 million was bought back and cancelled before the cash-out. Four more series of notes have been placed on watch for downgrades as spreads continue to widen: two Baa2-rated Tyger notes, two A2-rated notes in ABN Amro's Surf CPDO, and a UBS CPDO credit default swap (CDS).
UBS was forced to restructure several tranches of the Tyger CPDO last month, but nobody expected the restructuring would be followed by a cash-out. The benchmark iTraxx Europe five-year index has risen dramatically, with spreads going from a low of 268.5bp on October 11 to 399.9bp on November 21. Unlike first-generation CPDOs such as Surf, Tyger was based on a bespoke portfolio of financial CDS, not on a credit index such as the iTraxx.