S&P says the Belo deal is the first CDO using commodity swaps that it has rated.
The underlying of the CDO is a portfolio of 15 commodity trigger swaps, including gold, silver, platinum, palladium, copper, aluminium, zinc, tin, lead, Brent, WTI, gas oil, heating oil, unleaded gas and natural gas.
Repayment of capital is dependent on the spot price of the underlying commodities at maturity in 2009. If the price of one drops below 65% of its initial valuation price, then a trigger event occurs. There are 10 separate trigger prices, counting down in 5% bands to a 20% floor. Payoff levels depend on the various trigger events which have occurred.