Canadian Imperial Bank of Commerce has its second $1 billion balance-sheet synthetic CLO, a six-year bullet, ready for an April close, according to Canadian investor sources.
The Canadian bank is also in the preliminary stages of planning Imperial III for this year. Sources added that a quarterly CLO issuance program for balance-sheet and regulatory relief is a strong possibility for CIBC going forward.
Imperial I reportedly had a 22.2% IRR on the first loss and Imperial II's returns are expected to be better. Below two super senior tranches (likely sold in the U.S. and Europe) are about $850 million in mezzanine securities. Competitors to CIBC said the bank likely placed approximately 90% of the Imperial II's five to nine mezzanine tranches with Canadian institutional investors.
Standard & Poor's and Canada's Dominion Bond Rating Service are rating the transaction. The transaction will have a maximum 50% Canadian obligors, 25% U.S., and 25% Europe.
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. 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.