ING Bank has rolled out its second synthetic securitization of loans to Dutch small and mid-sized corporates, a EUR4.5 billion balance sheet collateralized loan obligation. The purpose of the CLO is to transfer the risk associated with the loans to the capital markets through a portfolio credit-default swap with a special purpose vehicle, which in turn will issue notes to investors.
EUR502.2 million of multiple tranches have been marketed in Europe, ranging from AAA through to BB minus. Officially the CLO is a static transaction; however, ING does have the ability to replenish the reference portfolio to maximize the economic, regulatory and capital relief it can achieve.
The deal also features a synthetic threshold of EUR93.15 million, which acts as a cushion before losses eat into proceeds of the notes. The CLO, tagged Stichting Mars 2006, has been rated by Standard & Poor's and follows ING's first Mars CLO launched in 2004. Press officials from the firm could not be reached by press time.
