CIBC World Markets is structuring a synthetic collateralized debt obligation that market officials said would resemble the firm's first CDO, Imperial 1, which it issued in December (DW, 12/8). The firm is planning to issue the CDO before the end of the first quarter, said one market official.
The CDO, which market officials said will probably be called Imperial 2, will be referenced to a USD1 billion section of Canadian Imperial Bank of Commerce's USD50 billion corporate loan and bond portfolio, in the same structure as Imperial 1. CIBC is structuring the product in a way that will allow it to remove credit risk from the firm's loan portfolio, according to the official.
David Allan, managing director and head of Canadian securitization in Toronto, declined to confirm or deny the CDO. But said, "the Imperial 1 transaction was a big winner for the bank. It would not be difficult to think the bank has similar products on the way. We would be happy to see something along those lines this quarter. It delivered everything the bank was looking for."
Investors will be able to buy into the deal through an equity tranche, a mezzanine tranche, or a super senior tranche. The super senior tranche will make up at least 80% of the deal, another market official said. The mezzanine tranche will be divided into three credit-linked notes with rated AAA to BBB, the official added.
