Two months after CIBC closed its first visible balance-sheet synthetic CLO, the bank is preparing to launch a second $1 billion-area deal within the next couple of weeks, once again seeking regulatory capital relief.

Rating agency sources say they are working on at least six North American balance-sheet CLOs, a significant increase over last year.

The five-year bullet CLO will be structured and placed by CIBC. The transaction will have approximately 40% Canadian obligors, a significant decrease from the first deal, which was said to be almost all Canadian credits. Overall, North American entities comprise 75% of the pool and European Union-domiciled obligors are capped at 25%.

Although the pool is largely static, CIBC does have some limited substitution rights. The weighted average credit rating on Imperial I was said to be triple-B, with an initial limit of 10% for double-B-plus reference entities. The largest industry concentration was about 8%, with obligor concentration limits at about 2% if rated triple-B-plus and above, and 1% if triple-B and below. The pool had a limit of 25% for mapped ratings with an implied Standard & Poor's rating of triple-B minus.

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