Barclays has repackaged part of a $1 billion CLO portfolio that was downgraded two months ago into new triple-A-rated securities. The CLO is managed by Highland Capital Management.
Barclays is selling $77.25 million of securities backed by leverage loans with a triple-A rating, according to Bloomberg. The bank also created a separate triple-A-rated portion worth $18.8 million.
The new CLO has been named the Blue Wing Asset Vehicle, and was created from the higher quality portion of Westchester CLO Ltd., a $1 billion CDO arranged in May 2007 by Lehman Brothers.
In July, Morgan Stanley created the first strategy to do such a repackage. In that repackaging, Morgan Stanley sold an $87 million portion of a CLO, which had previously been downgraded, with a triple-A rating. Morgan Stanley created the securities from Greywolf CLO I, a CDO that Goldman Sachs arranged in January 2007.
That sale was a landmark in the market’s return to large structure finance vehicles, as it was the first to involve corporate loans. Banks had been doing the same with commercial mortgage-backed securities around the start of summer.