Denali Asset Management two weeks ago priced notes on its roughly $400 million collateralized loan obligation--Denali Capital CLO I-- and is still in the market completing the ramp up of 35% of the deal's collateral. Greg Cooper, managing director at Denali, said notes were priced two weeks ago and were underwritten by J.P. Morgan, as the vehicle had 65% of its collateral ramped prior to issuance of liabilities.
The vehicle's collateral is comprised of loans, including some smaller mid-market credits, he noted. "We actually wanted to do something in September," he said in response to whether or not an exceptionally attractive arbitrage on cash flow deals surfacing after the Sept. 11 attacks influenced his decision to get the deal closed now. Cooper explained that the deal was scheduled to go forward in September prior to the terrorist attacks and had just been delayed. Cooper declined to provide any other additional information and referred questions to other officials at the firm, who declined to comment, forwarding all questions to David Heilbrunn, v.p. in CDO syndications at J.P. Morgan. Heilbrunn also declined to comment.
Another fund manager said the deal is expected to close imminently. Market sources said pricing on the $326 million triple-A tranche was roughly LIBOR plus 43 basis points.