CDO pipeline looks good

The European CDO pipeline is building nicely, despite the onset of summer, and a number of prints are expected during the week.

WestLB’s €300m Silver Birch CLO looks set to be priced during the week as the bank completes the process of firming up indications of interest. There has been no change to preliminary guidance, which has Triple A notes talked at plus 26bp–28bp.

Spread guidance for PREPS 2005-1 is in the market, which is also expected this week. The €313m SME CLO of loans originated by Capital Efficiency Group, through HVB and JP Morgan, has €235m of Triple A notes indicated at six-month Euribor plus the high 20bp range, Single As at the plus 40bp area and unrated Class C notes at the plus low to middle 80bp area.

Also set to be priced, according to a buyside source, is the Cheyne Synthetic Portfolio Insurance trade from JP Morgan, with some €200m of equity notes expected. The investor also said Axa’s Aria II synthetic, again from JP Morgan, could come this week at the earliest, otherwise the week after.

JP Morgan is also marketing the US$200m Galena CDO I for Blackrock Financial Management. The synthetic references 107 corporates with varying exposures and an average rating of Baa2 and a WARF of 377.

CSFB is marketing the next European CLO to come from Alcentra, which will be called Wood Street and sized at least at €300m. Further details are expected to emerge soon. CSFB is also rumoured to be working on a deal with Cheyne Capital, which is believed to be similar to the partly synthetic Cheyne CLO Investments I CDO of CLOs from earlier this year.

There have been no further developments with the IXIS managed Rubis synthetic CDO of ABS and CDO, which DrKW has been marketing. DrKW’s synthetic desk is currently looking at structures for various managers for its next public trade, focusing particularly on equity and super-senior tranches.