Bank Zenit issued the first collateralized debt obligation backed by a portfolio of Russian corporate debt last month. The Red Square transaction is a two-year synthetic CDO, denominated in roubles with 40 local credits. It is one of a handful of emerging market CDO transactions, and what makes it significant is that the underlying portfolio consists of local-currency debt.
The portfolio, worth R6.7 billion ($250 million), was divided into three tranches: equity, mezzanine and a senior tranche, with the latter making up 80%.
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