Merrill Lynch is said to have priced the largest ABS CDO seen in the visible market, sources said.
South Coast Funding IV, a cash flow deal, circled up at a whopping $1 billion. TCW Advisors Inc. is the collateral manager, and the deal had been launched initially at less than $500 million.
Pricing details are as follows: the $690 million triple-A rated A-1 class, with a weighted average life (WAL) of 4.0 years, priced at Libor + 55; the $120 million triple-A rated A-2 class, with a 7.0 -year WAL, priced at Libor + 95; the $110 million B class, rated Aa2’/’AA’ and carrying a 7.5-year WAL, priced at Libor + 135; the $45 million C class, rated Baa2’/BBB’, carrying a 3.8-year WAL, priced at Libor plus 325. The deal had a $35 million preferred share tranche.
Sources said the draw of the asset class, which has been popular throughout the year, alongside the strong reputation of the collateral manager, helped drum up a dramatic level of interest in the deal.