Rabobank International is marketing a $300 million leveraged collateralized loan obligation that uses a novel model to give the collateral manager more flexibility. The deal, called Prospero, is being managed by Rabo's New York branch and NM Rothschild & Sons.
Rabo has developed a proprietary and dynamic trading model to give it more flexibility in navigating market cycles such as tight spreads and economic swings, according to officials. In addition, the bank uses Monte Carlo simulation to capture foreign exchange and interest rate risks. Most CLOs that use a trading model rely on traditional collateral quality tests, such as weighted average rating factors and diversity scores.
Prospero is being pitched to insurance companies, private banks, asset managers and hedge funds in the U.S., Europe and Asia, according to officials in Rabobank's securitization group in London. The portfolio contains 70% U.S. loans and 30% European loans. Officials at NM Rothschild in London could not be reached for comment by press time. The deal is expected to close next week.