From: Daniel Sabba
To: jeevacation@gmail.com
Cc: , Paul Morris
Stewart Oldfield
Subject: Follow-up on CLO mezzanine [C]
Date: Fri, 12 Dec 2014 17:33:08 +0000
Attachments: Clear Laken Final_Offering_Circular.PDF; ING_IM_CLO_2011-1_Indenture.pdfi
ING 2011-1 Offering_MemoradumJecopy).pdf; Clear_Laken Indenture.pdf
Classification: Confidential
Hi Jeffrey,
Per our conversation, we wanted to send you two mezzanine CLO bonds from our investment bank's inventory, for a total of
$8.9mm. These deals have weighted average lives (WAL) of approximately 5 years or less and the bonds are 3m Libor
floaters. Some points that apply to both deals:
- both deals are callable in the next payment date
- when modeling weighted average for different constant prepayment rates (CPRs), we assumed 1% constant default rate and
75% recovery
- both deals are eligible for repo once a Global Master Repurchase Agreement (GMRA) is implemented with Southern
Financial (we have started the GMRA process)
I would like to speak about these transactions when you have a moment and brief you on bid/ask, market dynamics,
regulatory environment, etc.
CLO 2.0
Manager. Voya
Ticker: INGIM 2011-1A D
Size: $3.9mm
Offer: 100.00
Rating: BB+
Coupon: 3mL+450bps
Discount Margin (DM): 450bps
WAL range: next payment date-5.49y (10CPR)
WAL (40 CPR): 3.47y
WAL (25 CPR): 4.67y
WAL (10 CPR): 5.49y
CLO 1.0
Manager. Babson
Ticker CLRLK 2006-1A C
Size: $5mm
Offer: 96.00
Rating: Baa2/BBB
Coupon: 3mL+145bps
DM range: 235-274bps
DM (40 CPR): 274bps
DM (25 CPR): 253bps
DM (10 CPR): 235bps
WAL range: next payment date-4.75y (10CPR)
WAL (40 CPR): 3.25y
WAL (25 CPR): 3.94y
WAL (10 CPR): 4.75y
EFTA01002747
I have also attached the indentures and offering memorandums for these deals.
Daniel
Daniel Sabba
Key Client Partners
This communication may contain confidential and/or privileged information.
If you are not the intended recipient (or have received this communication
in error) please notify the sender immediately and destroy this
communication. Any unauthorized copying, disclosure or distribution of the
material in this communication is strictly forbidden.
Deutsche Bank does not render legal or tax advice, and the information
contained in this communication should not be regarded as such.
EFTA01002748