SG plans to securitise €1.9 billion of derivatives exposure
Deal is said to pay a coupon of 11% for first-loss protection – which some investors say is too low
Société Générale (SG) is in the final stages of a rare securitisation of derivatives counterparty risk – known as credit valuation adjustment (CVA) – which would see the French bank buying protection on the first 5% of losses generated by a portfolio of around €1.9 billion in exposure, according to a number of credit investors that have seen the deal. None of those investors opted to buy the eight-year bonds, and two are critical of the terms of the transaction, which is said to see the bank
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