J.P. Morgan has priced the notes for PIMCO's latest collateralized loan obligation, Waveland INGOTS. The AAA notes for the $350 million cash flow deal are priced at LIBOR plus 55 basis points, which is at the tight end of recent spreads. PIMCO has managed 24 cash flow CDOs, 14 of which are invested in high-yield assets, according to Fitch Ratings. Calls to PIMCO officials were not returned.
The deal uses the proprietary J.P. Morgan INGOTS structure and has both class A-1 and A-2 notes, according to an analyst. The $80 million of A-1 notes are structured as delayed-draw notes and may be borrowed over time until the final day of the ramp-up period. When the A-1 notes are not fully drawn, the noteholders will receive a commitment fee on the unused balance of notes. This will enable Waveland to access capital as it accumulates collateral. Also, Waveland has a senior loan agreement with J.P. Morgan that can provide up to $21.875 million of additional funding. The agreement enables the issuer to keep the portfolio fully invested throughout the reinvestment period to offset the impact of deteriorating credits or defaults.
| How It's Priced | ||
| Rating | Tranche Size | Pricing |
| AAA/Aaa/AAA | $80 million | LIB+55 |
| Aaa/AAA/AAA | $201.75 million | LIB+55 |
| A2/A/A | $14.5 million | LIB+160 |
| A2/A/A | $10 million | 5.15% |
| BBB | $40.75 million | LIB+175 |
| BBB | $3 million | 5.2% |