CDOs/CLOs

摘要

Blackstone/GSO Debt Funds Management printed a €411.1m CLO via Citigroup last week. oartry park clo, its first trade of the year, matched the level achieved by Prameria, which printed Dryden 35 Euro CLO 2014 on February 13. The new deal came floating and fixed-rate Triple A and Double A bonds all at par. These were split into €238m of Class A-1A at three-month Euribor plus 130bp and €5m of Class A-1B at 1.585%, and €30m of A-2A notes at three-month Euribor plus 210bp and €12m of A-2B bonds at 2.531%. The rest of the structure was sold at a discount to par, all in floating format rated Single A to Single B. The €24m Class B came at 290bp at a price of 99.35 to give a margin of 300bp, the €21.5m Class C at 375bp with a price of 97.65 to bump the margin up to 410bp, the €24.5m Class D at 565bp with a price of 96.05 for a spread of 625bp and the €11.5m Class E at 700bp and a price of 91.15 for a margin of 840bp. The equity slice was €44.6m. The underlying portfolio targets a minimum 90% senior secured obligations. There is a covenant limiting the top 10 obligors to 20%, which is new for 'CLO 2.0' deals, according to Fitch.