Vibrant, MidOcean, Dorchester Park CLOs price; Dorchester triple-A tranche hits 140 bps spread

By Rebecca Melvin

New York, Feb. 5 – Terms emerged Thursday on three recently priced collateralized loan obligations that between them totaled more than $1.3 billion of notes.

The deals included the $414.35 million Vibrant CLO III, the $411 million MidOcean Credit CLO IV and the $509.44 million Dorchester Park CLO.

Meanwhile U.S. CLO credit performance has remained stable into 2015 amid benign fundamentals although loan price action has moved average equity NAV lower, Bank of America Merrill Lynch analysts wrote about CLOs in their most recent securitization products note.

The outlook is for a slight pickup in defaults in distressed names, particularly in the energy, materials and retail sectors, the analysts wrote in their firm’s Securitization Weekly published Jan .30.

Nevertheless they hold that credit performance will remain favorable as loan fundamentals “begin to normalize,” and credit selection reemerges as a primary factor in CLO performance

Dorchester Park pricing

The Dorchester Park CLO Ltd./Dorchester Park CLO LLC consists of floating-rate notes and subordinated notes under manager GSO/Blackstone Debt Funds Management LLC.

It “represents a triple-A tight since a couple of deals priced at the same level in 2013,” according to the BofA Merrill Lynch Securitization Weekly.

The $509.44 million of Dorchester Park notes due Jan. 20, 2027 included a $312.5 million tranche of class A floating-rate notes (//AAA) at Libor plus 140 basis points.

An originator fund set up by GSO Capital was reported to be among the investors, making this deal potentially risk-retention compliant, the analysts wrote.

The U.S. risk retention rules under the Volcker rule will become effective in late 2016.

The CLO also sold $62.75 million of class B floating-rate notes (//AA) at Libor plus 220 bps; $27.25 million of class C deferrable floating-rate notes (//A) at Libor plus 320 bps; $19 million of class D deferrable floating-rate notes (//BBB) at Libor plus 355 bps; $25 million of class E deferrable floating-rate notes (//BB) at Libor plus 525 bps; $17 million of class F deferrable floating-rate notes (//B) at Libor plus 625 bps, and a $49.94 million equity tranche.

Deutsche Bank Securities Inc. was arranger and placement agent.

GSO/Blackstone previously was in the U.S. primary market in December with the $510 million Bowman Park CLO Ltd./Bowman Park CLO LLC offering.

Vibrant, MidOcean price

The Vibrant CLO III Ltd./Vibrant CLO III LLC consists of floating-rate and subordinated notes that mature 2026 and is managed by DFG Investment Advisors Inc.

MidOcean Credit CLO IV/MidOcean Credit CLO IV LLC consists of floating-rate and subordinated notes that mature 2027 and is managed by MidOcean Credit Fund Management.

At the top of the Vibrant CLO III deal structure was $249 million of class A-1 senior secured floating-rate notes (Aaa//AAA) at Libor plus 163 basis points.

It also included $51.5 million of class A-2 senior secured floating-rate notes (Aa2) at Libor plus 245 bps; $22.5 million of class B senior secured floating-rate notes (A2) at Libor plus 330 bps; $26 million of class C deferrable floating-rate notes (Baa3) at Libor plus 365 bps; $20 million of class D deferrable floating-rate notes (Ba3) at Libor plus 500 bps and $45.35 million of subordinated notes in the

equity tranche.

BNP Paribas arranged the deal.

DFG, a New York-based money manager, sold $350.68 million of notes in the Vibrant CLO II, Ltd. transaction in September 2013.

MidOcean priced a $251.5 million tranche of class A floating-rate notes (/AAA/) at Libor plus 155 basis points.

The CLO also sold $48.50 million of class B floating-rate notes (/AA/) at Libor plus 245 bps; $29.75 million of class C deferrable floating-rate notes (/A/) at Libor plus 325 bps; $20.75 million of class D deferrable floating-rate notes (/BBB/) at Libor plus 390 bps; $18 million of class E deferrable floating-rate notes (/BB/) at Libor plus 540 bps and $10.50 million of class F deferrable floating-rate notes (/B/) at Libor plus 700 bps.

The offering included $32 million of income notes in the equity tranche.

Credit Suisse Securities (USA) LLC was the initial purchaser of the deal.

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