Barclays Bank's Risk Management team in London is laying off $1 billion in ABS exposure via a balance- sheet synthetic investment-grade structured finance CDO rated only by Fitch Ratings that is due to close by mid-April.
The 10-year transaction, dubbed White Oak Ltd., marks the Risk Finance Group's eleventh synthetic CDO. Investors will rely on the creditworthiness of Barclays (AA+/F-1+) since no collateral will be posted unless the bank is downgraded to F-1. In such a case Barclays will post assets equal to the amount of the funded notes, explained an official at Fitch. Fitch used Barclays' F-1+ rating, the short-term equivalent to triple-A, as a rationale to get the deal up to AAA.