New York-based investment fund Trimaran Capital Partners is in its final investing phase to complete a $460 million collateralized loan obligation, the fund's first cash flow arbitrage vehicle after two market value deals. Market officials said the vehicle will be invested 100% in U.S. leveraged loans and is in the process of completing its final ramp up phase. The deal is a traditional cash flow arbitrage vehicle, which profits from positive spread differentials between its assets and its liabilities. Officials said the fund is using a credit derivative to swap risk associated with one group of assets. Further information regarding the swapped out credit risk could not be ascertained by press time. Officials at Trimaran did not return calls by press time.
First Union priced the liabilities funding the vehicle two weeks ago which included a Standard & Poor's AAA tranche priced at LIBOR plus 50. Pricing on the $47.5 million, BBB tranche was not available. The deal also included a $13.3 million equity tranche. Officials at First Union declined to comment.