Project finance: CLO, synthetic CLO and synthetic CBO

1998: from this date, several CLOs and (later) synthetic CLO issues have occurred. Details here

In synthetic CLOs, the credit risk is removed on the pool by issuing credit-linked notes to absorb losses. The first CLO of this kind was EPIC by Depfa and insured by KfW. A more recent example was Boadilla Project Finance CLO 2009-1 by Santander. Prospectus here

Dexia Local's WISE 2006-1 CBO had a portfolio of project finance bonds not loans. The bonds were credit enhanced by monoline insurers. The CBO was called a 'double-default' structure because the monolines had to default and the bond issuers had to default, before the CBO's CLN investors sufered credit losses.

Details on the above offers here and here

losses