London-based Cheyne Capital Management Ltd. has priced a $4.57 billion managed IG synthetic CBO via Morgan Stanley, called Cheyne IG CDO I. The deal, which was upsized from $4.4 billion, has a 90% super senior tranche and 10% funded notes underlying. The geographic mix of underlying assets includes 59% North America, 38% Western Europe and 3% Asia.
Morgan Stanley priced each tranche at par as follows: triple-A at 6ML+55, double-A at 6ML+85, single-A at 6ML+175, and triple-B at 6ML+350.
Morgan Stanley placed a massive amount of equity to get Cheyne done, $103 million, in a market where a $30 million slice of first loss equity shares can make a deal choke or remain in the origination queue for a year or longer.
Morgan Stanley also sold $301.4 million of equity recently in the year's first market value CDO, Special Value Absolute Return, an $860.4 million deal for Tennenbaum & Co. that priced on May 14th.
