CIFC Corp. is planning to roll out a new CLO, possibly by the end of the year, and is also looking to sell or call an existing CLO, the asset management company disclosed in a regulatory filing late Monday.
CIFC had previously disclosed that it obtained a total return swap warehouse line of credit with Citigroup in the second quarter which it has been using to acquire loans for a new CLO. However, it had not disclosed the capacity of the line of credit or the likely timing of a deal.
The company's third quarter financial report, filed with the Securities and Exchance Commission late Monday, indicates that, as of Sept. 30, the notional amount of senior secured corporate loans included as reference obligations in the warehouse was $186.7 million.
It also said the maximum amount of reference obligations under the warehouse line of credit is $350 million.
CIFC is "hopeful" that it can issue the CLO in 4Q11.
CIFC also disclosed in its third quarter report that it is exploring the sale of its interest in one of its 30 existing CLOs, the DFR Middle Market CLO, to an unnamed third party.
“If we determine that such a sale would not result in a satisfactory price, we intend to call and liquidate the DFR MM CLO, subject to market and other conditions, at the next available call date in January 2012,” the company said.
CIFC acquired the DFR MM CLO through its acquisition of Deerfield Capital, which closed in April. The company manages a total of $11.2 billion in its 30 existing CLOs, according to information posted on its website.
CIFC owns all of the DRF MM CLO’s subordinated notes and the CLO is consolidated on the company’s balance sheet. CIFC anticipates that it could incur a loss, on a GAAP basis, of between $5 million and $15 million as a result of sale.
The company said its maximum exposure to loss on its investment in the CLO is limited to its initial investment of $69 million, including $50 million of subordinated notes and $29 million of debt).
The SEC filing does not discuss the potential financial impact of calling the deal.