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GSO/Blackstone's first CLO of 2018 weighs in at $1B

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GSO/Blackstone Debt Funds Management has issued its first U.S. collateralized loan obligation of the year with one of the tightest triple-A spreads in the post-financial crisis era.

Cook Park CLO is a $1.03 billion transaction backed by broadly syndication loans, and is the Blackstone Group’s first new issue since last November. According to S&P Global Ratings, the deal’s Class A senior notes pay 92 basis points over Libor, even narrower than the 95 basis points that Zais Group CLO 8, which priced Feb. 6, pays on its senior tranche.

Another narrow print came from Chicago-based Tall Tree Investment Management, which in January issued the $363.3 million Monoarch Grove 2018 with a triple-A tranche that pays only 88 basis points over Libor. The Zais and Tall Tree deals both had shorter reinvestment periods (three years and two years, respectively, to Cook Park's five-year period), and Tall Tree's Monarch deal repackaged assets from its 2014 Tuolumne Grove CLO, according to Moody’s Investors Service.

Cook Park has a standard two-year noncall period.

S&P Global Ratings said the transaction’s lower weighted-average spread of 3.34% and excess spread of 2.02% (higher than the three-month average of other S&P rated deals) “indicates a slightly stronger underlying portfolio from a cash flow perspective.”

But the deal’s credit strength is weakened by a higher scenario default rate and a lower weighted average recovery rate of the underlying assets.

GSO/Blackstone now has $22.3 billion in CLO assets under management.

The firm was the second-largest issuer of U.S. broadly syndicated CLOs in 2017, with six deals totaling $4.4 billion.

Three of them came after August, as the asset manager cased together new portfolios of speculative-grade loan assets at increasingly lower AAA prices: the $613.5 million Dewolf Park CLO at 121 basis points on Aug. 9; the $1.02 billion Gilbert Park CLO at 119, and the $610.6 million Long Point Park CLO 2017-1 at 107.

GSO/Blackstone also issued three euro-denominated deals in 2017 totaling €1.24 million.

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