SG marketing CPDO

SG CIB is in the middle of the book-building process, and hopes to launch the deal at the end of February. The aim is for the CPDO to reach €150-200 million in size, said Tony Venutolo, head of structured credit at SG CIB in London.

As credit spreads continue to contract to record tight levels and spread widening is anticipated, structurers have sought to introduce a short capability into many types of structured credit transactions. For Stelaris, SG CIB has included a short bucket so that when spreads widen, the transaction will benefit. The deal will be taking long positions on the five-year iTraxx and the Dow Jones CDX credit derivatives indexes, and short positions on the 10-year version of the indexes.

Investment banks have wrangled with how to improve upon the first CPDO, called Surf, launched by ABN Amro last summer (see: A new twist).

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