ABN AMRO and Dutch pension administrator PGGM have closed a synthetic CLO referencing a portfolio originated by ABN Brazilian unit Banco Real, according to a press release by the European bank. Named after the celebrated Iguacu waterfalls, the deal references a pool amounting to a notional $850 million. The credit risk of the portfolio is shared by participating credits in the first and second loss tranches of the CLO, the release said.

PGGM touted the benefits of investing in assets that aren't easily available in Europe's public market.

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