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.
The deal priced as follows: the $690 million triple-A rated A-1 class, with a weighted average life (WAL) of 4.0 years, priced at Libor plus 55; the $120 million triple-A rated A-2 class, with a 7.0-year WAL, priced at Libor plus 95; the $110 million B class, rated Aa2'/'AA' and carrying a 7.5 WAL, priced at Libor plus 135; the $45 million C class, rated Baa2'/BBB', carrying a 3.8 WAL, priced at Libor plus 325. The deal had a $35 million preferred-share tranche.
Sources said the draw of the asset class, combined with TCW's solid reputation as a collateral manager, helped drum up a dramatic level of interest in the deal.