WestLB last week priced a $1 billion multi-sector collateralized debt obligation called Blue Heron Funding V, says a CDO market participant. The deal closed last Wednesday. The CDO is managed out of New York by the portfolio management unit of WestLB. WestLB is the underwriter for the notes, which are backed by a pool of commercial mortgage-backed securities, residential mortgage-backed securities, asset-backed securities and CDOs. This deal, a hybrid between an asset-backed commercial paper conduit and a CDO, is similar to others in the Blue Heron series that have put options embedded in the structure (BW, 9/30). Tom McCaffery, WestLB's regional head of global financial markets in New York, was travelling and unavailable for comment.
The money market tranches were priced at LIBOR plus one and three basis points for the class A1 and A2 pieces, respectively. The class B notes were priced at 125 basis points over LIBOR. Class C notes were offered at LIBOR plus 400 basis points.