Serena 8 is a five-year transaction referenced to a portfolio of credit default swaps on 72 names. The portfolio is static, meaning that “no substitution will occur during the life of the transaction (and) portfolio performance will not depend on the actions of an outside manager,” the bank said.
Like the other Serena series, Serena 8 is primarily targeted at Japanese investors and is rated by local agency Rating and Investment Information (R&I).
Special purpose vehicle Serena Finance is issuing four classes of notes worth ¥2 billion each and rated AAA, AA+, AA- and A-. The super senior tranche is worth ¥133 billion and the equity tranche is ¥3 billion.
Proceeds from the four credit-linked notes will be used to buy Japanese government bonds (JGBs) to be used as collateral for the notes. At the same time, Serena will sell credit protection to BNP Paribas on the reference portfolio, for which it will be paid a premium. Serena will use the income from the JGBs and its credit default swap with BNP Paribas to service the debt on its notes issue.
Delacote noted that there is no Serena 9 currently in the pipeline.
The week on Risk.net, March 10-16 2018Receive this by email