Daiwa Asset Management will be the adviser for the management of the underlying portfolio that was bought from the market, said Nick James, deputy general manager in the derivatives trading division at Daiwa Securities SMBC in Tokyo.
The deal is the second in the Zest series of synthetic CDOs launched by Daiwa Securities SMBC. The first, called Zest, was a ¥6 billion static synthetic CDO that was also backed by a portfolio of Japanese credit default swaps bought from the market and closed in February. James noted that the firm is looking to do a third synthetic CDO called Zest III by September, that will also be backed by a portfolio of Japanese names. Details of the deal have yet to be decided.