Refer to this video CA SiteMinder® Federation Demo - YouTube
Since CA SSO is Service Provider, on CA SSO end we would create a local SP, Remote IdP and SAML 2.0 SP-->IdP Partnership (exactly reverse of what you have described i.e. We have created a local IDP , remote SP and the connection).
Start by Creating Entity Objects
Entity-1 : Local SP CA SSO
Entity-2 : Remote IdP (You can import IdP's Metadata)
Move ahead with Partnership
SAML 2.0 SP --> IdP Object from the Drop-Down in Partnership.
These are just the WAMUI objects and WAMUI side of configuration (Policy Server and Policy Store). I am hoping you have completed necessary pre-requisite installs on WA-WAOP or CA Access Gateway which would act as the front end (hosts all the endpoints URLs).