Deal: Apollo CCO
Structurer: Barclays Capital
Date Announced: December 7 2004
Barclays Capital issued the first collateralized commodity obligation (CCO) last month, providing fixed-income investors with access to commodities as an asset class. Historically, collateralized debt obligations (CDO) have used bonds, loans or credit default swaps as the underlying asset. This variant uses derivatives technology to create a debt-style pay-off for a different asset class, giving investors exposure to a basket of commodities in an established fixed-income format.
The commodities in the CCO, named Apollo, comprise energy, base metals and precious metals, including gold, silver, aluminium, copper, as well as Brent, heating oil and natural gas. The vehicle will have a similar template to traditional collateralized synthetic obligations (CSO), with tranches ranging from equity to Triple A and super senior. However, the underlying derivative assets are commodity trigger swaps (CTS). Their ?trigger events? will be determined by a...
