BankInvest, a Copenhagen-based multi-asset emerging-market manager, is marketing in Europe its first full-capital structure synthetic collateralized loan obligation. The expected EUR500 million CLO is also its first to reference 100% emerging market corporate loans. BankInvest has 22 single-tranche primarily investment-grade CLOs under management and experience managing long-only portfolios of emerging market corporate and sovereign loans.
The deal is being structured by Citigroup and is called Orb because it is an extension of Citi's static synthetic emerging market CLO series Spheara, in which BankInvest was the lead equity investor. Andrea Panzieri, head of fixed income at BankInvest in Copenhagen, said the firm helped select the portfolio for Sphaera II, which closed last month, and wanted to use its familiarity with Citi's balance sheet to structure a follow-on deal it would manage and invest in. "We wanted to bring together our experience in single-tranche CDO management and long-only emerging market corporate management," he said.
Orb's 75-name portfolio will initially reference 55% loans on Citi's balance sheet and 45% loans sourced in the market from five investment banks including Credit Suisse, ING and HSBC. More than half of the initial reference pool will be investment-grade loans to emerging market corporates in countries such as Kazakhstan and Mexico, but there is no investment-grade requirement. Orb is priced with a flat correlation assumption across the capital structure and is structured with a 40% fixed recovery for more efficient tranching.
