European credit investors on Wednesday were for the first time offered notes based on the iTraxx indices but secured by German mortgage-backed bonds and repurchase agreements, said the International Index Company, which manages the widely-used index of credit default swaps. Three credit-linked notes were issued mirroring the iTraxx Europe index, which contains 125 credits, the HiVol index of most actively traded names and the Crossover index of credits rated both investment and non-investment grade. The notes are rated BBB+, BBB- and B+ respectively by ratings agency Standard & Poor's.
All three categories of notes are for a minimum nominal amount of 500 million euros.
The Europe and HiVol index-linked notes pay a floating rate and were priced to yield three-month Euribor plus 42.75 and 85 basis points respectively. The Crossover note pays a fixed yield of 6.44 percent.
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