BlueBay launches emerging market CDO

London-based BlueBay Asset Management has launched a $350 million emerging market synthetic collateralised debt obligation (CDO).

The seven-year deal, called Hemisphere, is arranged by JP Morgan and is referenced to a portfolio of 45 emerging market names with a 75%/25% split between sovereign and corporate entities.

As reported in February’s Asia Risk magazine (page 4), the deal is structured as a single-tranche transaction with a choice of currencies and coupon types. The transaction has been placed to investors in US dollars, euros and yen.

BlueBay, which established a structured products and fund derivatives group in July 2004, will manage the underlying portfolio, its first emerging market synthetic CDO.

"The pricing of Hemisphere is a significant milestone for BlueBay,” says Alex Khein, head of structured products and derivatives. “Not only does it represent our inaugural transaction as a CDO manager, it is also the beginning of a major strategic initiative for us within the structured product area.”