Pacific Investment Management Company (PIMCO) set a new benchmark for top-tier CDO managers last Tuesday by issuing an arb cashflow investment-grade (IG) CBO via a 43 basis points over six-month Libor print (A/L nine years) on its unwrapped triple-A class.

The 43 basis-point level is two basis points tighter than guidance and six basis points inside of the last unwrapped cashflow CBO from Atlantic Asset Management that priced in early April, Clearwater Funding CDO 2002-A, via Credit Suisse First Boston. While equity investors are always pleased to see a tight print on the debt, some portfolio managers saw PIMCO's San Miguel CDO, Ltd. as an expensive transaction despite the premier name. "On a relative-value basis, getting paid one extra basis point for an unwrapped triple-A versus the 42-basis-point print on Clearwater's natural triple-A with MBIA behind it made it an easy decision for us to decline participating," noted one potential investor.

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