Babson Capital Management closed a $600 million CDO last week. The Sapphire Valley CDO, Ltd. portfolio consists of approximately 80% leveraged loans and 20% securities. Of the 20% securities, 40% are expected to be sourced synthetically through total return swaps (TRS) which will provide investors with assets that are difficult to source in the cash market, the company said. "TRS allowed us to increase our exposure to top tier managers from strong CLO vintages while reducing the time required to ramp-up," said Matthew Natcharian, managing director and head of Babson Capital's structured credit team in Springfield. The weighted average cost of the debt for the transaction was Libor plus 46 basis points. Banc of America Securities arranged the obligation and buyers included both U.S. and international institutional investors.
Babson Capital Management is headquartered in Boston and Springfield, Mass. Its U.S. bank loan team has more than $9 billion in loan assets under management. Its structured credit team has nearly $5 billion in assets under management across the CDO risk spectrum from triple-A rated debt to equity tranches.