BNP Paribas rejigs CLO team, bolsters CDOs

BNP Paribas is understood to be reviewing its collateralised debt obligation (CDO) activities, with a particular focus on the cash side of the business.

As a result, it is believed both Guy Hart and Christos Danias are "in consultations" pending the results of the review. Hart was head of the structured credit syndicate desk at the bank in London. He has covered the asset-backed securities (ABS) syndicate in the past, but is believed to have recently shifted to an emphasis on collateralised loan obligations (CLOs).

Danias was head of European CDOs within securitisation, also based in London. He was hired at BNP in May 2006 from Credit Suisse, where he had been a vice-president in its CDO group. It is believed a member of his structuring team in London, William Ma, has also shifted in status at the bank.

Spokespeople at the bank declined to comment.

Moody's today downgraded four tranches of a BNP Paribas CDO of ABS, called Sycamore. The tranches, issued under the Omega Capital Europe special purpose vehicle, were downgraded from A2 to A3.

Four of the most senior tranches, three of which were rated Aaa and one at Aa3, were affirmed. These tranches had been on watch for downgrade but the rating had been bolstered by the removal of a recently downgraded US subrime asset and adding highly rated 2007 vintage ABS instead.

The effect was to increase credit enhancement for the senior tranches at the expense of the profitability of the more junior tranches, as they are lower down in the payment waterfall.

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