INVESCO Senior Secured Management (ISSM) plans to close a synthetic CLO early this month, referencing $500 million in high yield bank loans through a series of total return swaps. The deal, Hudson Canyon Loan Fund, is being arranged by Citibank, which is also the protection buyer. LaSalle Bank is the trustee on the transaction.

Hudson Canyon is INVESCO's first CLO using the TRS structure, which allows for greater access to the loan market since the assets are referenced synthetically, said Alla Zaydman, senior director at Derivative Fitch. The structure is typical of other TRS CLOs, although the deal utilizes excess spread more so than subordination to achieve credit enhancement and pay down the notes, Zaydman said.

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