SG Corporate & Investment Banking is marketing in Europe and the U.S. its first synthetic collateralized loan obligation of U.S. leveraged loans. The USD300 million static unfunded synthetic deal, called SYCLONS for Synthetic CLO Notes, consists of 100% loan-only credit-default swaps on 60 B plus-rated names.
Tony Venutolo, executive director in structured credit products at SG in London, said SG used U.S. LCDS rather than European contracts because the former do not cancel when the loans are refinanced and therefore are easier to model. He added the CLO fills a gap in asset classes for the French bank. It will price in a few weeks.
