CIBC is prepping what is believed to be the first visible CLO backed primarily by Canadian corporate credits.
The $1 billion synthetic balance-sheet CLO, structured and placed by CIBC, is a mostly static deal, though CIBC is allowed to dynamically substitute names from time to time to include obligors for whom the bank has already reached its maximum credit exposure. These will replace names of obligors with equivalent credit standing for whom the bank bears less exposure.
The transaction will have an 85%-90% super senior-tranched basket credit default swap and about 10%-15% of cash notes providing subordination. …
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