CIBC has recently finished up its European roadshow for Callidus Capital Management's Ambac-wrapped inaugural CDO, according to investors. The arb cashflow HY CBO is said to be talking its triple-A-wrapped notes at +45-50 basis points over Libor, the same level as last week.
Callidus is a brand new company formed by a group of Wall Street heavies with the plan of managing assets via structuring and issuing CDOs. The team is comprised of Rick Ivers, Wayne Mueller, Gary Neems, Jerry Nichols and Mavis Taintor.
The group reportedly is marketing a value-investing orientation focused on in-depth, hands-on, bottom-up, fundamental credit analysis.
The transaction is expected to generate excess spread of approximately 586 basis points per annum, which will be available to the senior notes as a "first-loss" protection against any portfolio losses.
Assuming the 10-year Treasury rate is 4.30% (11/ 06/ 2001) and the six-month Libor is 2.11% (11/ 06/2001), and that 85% of the collateral earns a fixed coupon of 9. 00%, and 15% of the collateral earns a spread of 3.00% over Libor, (or approximately .81% over 10-year Treasurys), the average current yield on the collateral is approximately 8. 42%.
Ivers is a founder of Callidus Capital. He was most recently a managing director in the Leveraged Finance Group of Credit Suisse First Boston, responsible for origination and structuring of HY bond underwriting and leveraged loans, a position he held from 1998 to the present and from 1994 until late 1996.
From late 1996 to 1998, Ivers was MD and head of the Bank Loan Group at Salomon Brothers and at Salomon Smith Barney after its acquisition of Salomon Brothers. Mr. Ivers raised and managed the $1. 35 billion Salomon Bank Loan Fund.
Bringing private equity experience to the firm is Neems is also a founder of Callidus Capital. Prior to joining Callidus Capital, Neems was a co- managing partner of Advanta Partners LP, a private equity investment partnership with $100 million in committed capital, which he joined in the spring of 1995. Advanta Partners specialized in making private-equity investments for acquisitions, recapitalizations and growth financings for companies in the information services, financial services, business services outsourcing and direct marketing industries. Prior to Advanta Partners, Neems was a managing director and partner of Clipper Capital Partners, an investment affiliate of CSFB.
Another architect in bringing Callidus Capital to life is Nichols. He was most recently VP, senior portfolio manager for Delaware Investment Advisors ("Delaware") where he has worked since 1989. At Delaware, Nichols co-managed the $4. 1 billion high-yield debt operation where he managed assets for Delaware mutual funds, institutions, and collateralized debt obligations with both total return and income objectives.
From 1986 until 1989, Nichols was senior vice president - Investments for Ocwen Financial Group, where he served as portfolio manager for $400 million in high yield securities, $600 million of investment grade bonds, and $500 million in commercial loan assets.