Agricultural cooperative Northwest Farm Credit which came to market with a static pool synthetic CLO, an innovative $562.7 million securitization dubbed as Mt. Spokane 2002-A and backed by 4,061 agricultural loans via Banc of America Securities, closed on Aug. 23. This innovative 4.4-year bullet, static pool synthetic had the $512.1 million super-senior tranche retained and had $2.8 million, one-half of one percent of the total, in unrated certificates.
While Mt. Spokane is the first visible U.S. synthetic balance sheet CLO in recent memory, CLOs backed by thousands of credits are common in Europe, however. European small obligor real estate loans, including agricultural borrowings, have been repackaged into synthetic CLOs numerous times. CDOs rarely lend themselves to actuarial analysis, such as credit card ABS issues, but increased usage of this type of analysis is expected in the U.S. going forward.
Globally there have been 25 synthetic balance sheet CLO offerings YTD totaling $37.6 billion, via deals averaging $1.5 billion (USD equivalent), according to Lang Gibson, director of structured credit research at Banc of America. The issuer and underwriter could not be reached for comment.