The CDO market was ripe with activity last week.
Reportedly about $325 million in size, CREST 2003-2 is a static cash flow CDO with Wachovia Securities and Deutsche Bank as co-leads on the A and B class notes.
According to sources, initial price talk for the class A notes, fixed or floating - you choose - is heard to be tight at 48 over Libor or swaps. The $146.3 million top tranche is rated triple-A by Moody's Investors Service and Standard & Poor's. Price talk down the structure follows: a $48.8 million class B rated Aa2'/ AA' is heard at 80 over Libor/swaps; the class C rated A3'/'A-' is heard to be in the 120 to 125 range over Libor/swaps; the class D rated Baa3'/'BBB' is heard in low 200 range over Libor/swaps; and the class E notes rated Ba3'/ BB' are heard at 525 over Treasurys.
Separately, a fairly sizeable cash flow CDO is said to be making the rounds. The G-Force CDO 2003-1, $615.6 million in size, contains a mix of fixed- and floating-rate ABS and MBS. Managed by G Funds Asset Management - jointly owned by GMAC Institutional Advisors and Goff-Moore Strategic Partners - the CDO contains class A to K notes, as well as a $130.7 million tranche of preferred shares. (Tranche sizes, at press time, ranged from a $190 million triple-A class to an $18 million triple-B G class.) The G-Force CDO has a WARF of 20.7 and a WAL of 9.6 years. The rated average coupon is 5.84%. The transaction is expected to close around Dec. 20, led by Bear Stearns and Morgan Stanley.
Finally, the $500 million Capital Source CLO off the commercial loan platform of Wachovia Securities, priced shortly after launch (see scorecards). Citigroup Global Markets and Nomura Securities are co-leads. The portfolio consists of 49 obligors from 27 industries across 24 states and has a weighted average coupon of 8.8%.