Price talk surrounding Deutsche Bank's $690 million private equity CFO has been updated: tranche A of $172.5 million of triple-A rated notes, with a 5.4 year average life, is now at Libor plus 75 basis points; tranche B of $117.3 million of Aa2/AA rated notes, with a 7.5 year average life, is now at Libor plus 150 basis points; tranche C of $62.1 million notes, rated A2/A, with a 8.9 year average life, is now at Libor plus 300 basis points; tranche D of $62.1 million rated Baa2/BBB, with a 9.7 year average life, is now at Libor plus 450 to 500 basis points.
Assets in the vehicle are a portfolio of 75 private equity limited partner interests derived from the books of Deutsche Bank Capital Partners.
Lehman Brothers priced Stanfield's $300 million CARRERA cash flow CLO at November's close. According to market sources, the deal priced at Libor plus 58 basis points and carries an 8.5 year average life. Collateral backing the CLO is 95% comprised of U.S. dollar senior secured loans and high yield bonds.
According to the Moody's Investors Service CDO Indices, out of 46 resecuritizations recently analyzed, 8.7% are failing at least one overcollateralization (O/C) test. Of 100 CLOs examined, 25% are failing at least one O/C test and of 30 IG CDOs, 3.3% are failing at least one O/C test. But high yield CBOs take the cake - 70% of high yield CBOs are failing at least one test.
Source: Thomson IFR Markets