Carlyle sets CLO benchmark

Carlyle European Leveraged Finance Loan Partners (CELF) achieved excellent levels on its debut deal. Overall pricing was tighter than on any other CLO to have emerged in the public markets in Europe or the US. The size of the deal was also increased.

The issue, arranged and underwritten by JP Morgan, began at €400m before growing to €450m. The transaction is backed by a portfolio of predominantly euro-denominated senior and mezzanine secured leveraged loans managed by CELF Investment Advisors.

The deal’s Triple A tranche printed at Libor plus 26bp, 1bp back of the M&G’s previous CLO, Leopard CLO III. At around 36.5bp, overall cost of funds was about 1bp tighter than Leopard. This is because the market is net tighter, despite its recent wobble. The Carlyle team also has a strong track record, consisting of several senior officials who were formerly at Prudential (M&G).

According to investors, Carlyle began the 12-month ramp up period in the fourth quarter of 2004. At that point, market sources said the firm was looking to close the deal as high as €500m. The structure is straightforward, allowing buyers to focus on the track record and portfolio. The UK, Germany and France dominate the pool geographically, while industry diversity is fairly standard.

In other CLO news, Cheyne CLO Investments I took collateralised loan obligations to another level, with a partially synthetic CDO of CLO tranches, from Cheyne Capital Management. Structured with a US$165m super-senior swap and US$139m of FRNs, Cheyne avoids any problem with the sourcing of collateral, the majority of which comes through the total return swap.