Wachovia Securities priced the notes last month backing INVESCO's $440 million Champlain I collateralized loan obligation. The triple-As printed at LIBOR plus 38, one point tighter than Alcentra's $375 million Pacifica CDO III, which priced two weeks ago (LMW, 4/26). This sets a new low in the CLO market since the Russian crisis, said sources. One portfolio manager said the funding costs for CLOs are plummeting as potential buyers examine the relative value to other Triple-A assets. Anthony Clemente, global partner of INVESCO's CDO and bank loan group, declined comment as the deal has not yet closed.
Champlain is a modified form of Wachovia's APEX structure, which differs from traditional CDOs in that it includes three swaps entered into between Wachovia and the fund. Wachovia bankers declined comment. Another CLO that has reportedly priced at sub-40 levels on the top-rated tranche is Putnam Investment Management's Boston Harbor 2004-1.