The Royal Bank of Scotland is in the market with a synthetic collateralized loan obligation that will reference senior and mezzanine leveraged loans. The deal is expected to be E500 million and is called Skye CLO I. RBS will enter into a super senior credit default swap of E300 million and purchase junior credit protection from Skye for approximately E200 million, according to a source. Skye will then issue a variety of notes. This is the second synthetic CLO from RBS that taps the leveraged loan asset class. The firm raised debt backing a deal called Cairngorm in 2001. Officials from RBS did not return calls.