Citigroup on Tuesday priced a $408 million CLO managed by BlackRock, according to sources.
The BMI CLO I priced as follows: Libor plus 125 basis points for the $259 million triple-A tranche, which makes up 63.5% of the overall structure; Libor plus 190 basis points for the double-A tranche; Libor plus 250 basis points for the single-A tranche; Libor plus 275 basis points for the triple-B tranche; and Libor plus 300 bps for the double-B tranche.
The fund, the sixth CLO to close so far this year, priced tighter than initial price talk, most notably the triple-B and double-B tranches, which were initially talked at Libor plus 365 basis points and Libor plus 525 basis points, respectively.
Representatives from Citi and BlackRock did not immediately return calls requesting comment.
According to a Moody's Investor Service presale report, the transaction is a typical cash-flow CLO backed by a U.S. dollar-denominated, broadly syndicated loan portfolio (SFN, May 10, 2011).
BMI CLO I is expected to have a one-year non-call period and a three-year reinvestment period, according to the Moody’s report. Like many recent transactions, it will have a legal maturity of 10 years. The portfolio makes up a minimum of 90% senior secured loans and a maximum of 10% second-lien loans, senior secured bonds, senior unsecured bonds.
The loan assets in the initial portfolio, along with reinvestment assets, are assumed to have a weighted average floating spread of 365 basis points, along with a discount price of 99. The bonds in the portfolio are assumed to have an average fixed-rate coupon of 7.25%, according to Moody’s.