Lehman Brothers has priced the notes for INVESCO's new $300 million collateralized loan obligation, Saratoga CLO 1. The $228 million triple-A notes were priced at a respectable LIBOR plus 46 basis points, which is off the ultra-tight levels seen earlier this summer but well within those seen on a number of August deals. An official at INVESCO declined comment on the transaction. Calls to Lehman were not returned.
The spread on INVESCO's CLO is wider than the notes for CLOs from rivals Credit Suisse Asset Management, PIMCO and Blackrock Financial Management, whose liabilities priced in the summer. However, it is tighter than pricing for American Express Asset Management and Aladdin Capital Management's new deals. The pricing illustrates the overall spread widening for CLOs, one analyst said, adding that INVESCO's deal is at the tightest end possible right now.
Saratoga is a cash-flow arbitrage deal, with the underlying collateral composed of B1 and B2 loans. The other tranches of Saratoga include a $24 million A2/A tranche priced at LIBOR plus 150 basis points; a $11.25 million Baa2/BBB tranche priced at LIBOR plus 250 basis points; a $6.75 million Ba1/BB+ tranche priced at LIBOR plus 750 basis points and a $30 million equity piece. The amount of collateral already purchased could not be ascertained.
INVESCO has been investing in the high-yield market since 1990 and now manages more than $5.2 billion in bank loans and CLOs. The team is led by Anthony Clemente, managing director and head of the high-yield investments group, who joined in 1998. The other bank loan portfolio managers are Anne McCarthy, Joseph Rotondo and Gregory Stoeckle.