$125m (+18.75m) sen unsec (sub guarantee) coming tonight from MS
Terms: 7y, 2¾-3¼% up 22½-25½%, full pctns.UOP=note hedge/gcp $1.2bn consumer debt portfolio manager with 2 exist deals; $115m 3% 17 issued 11/12 up 25% w/stk @ $25¼.Stk +40% & $173m 3% 20 issued 06/13 up 30%. Stk +40% again & here we are. 3%/20 backs out L+515 for 6.3y (125.5 vs cls).
PFcash=240m,1.975bn (1.35bn secured & above 3 pari CBs),LTMebitda=250m, lev=7.9x.We’d assume
L+650 for 7y. ADV=257k, no leaps, 1y 100d/50d=23%.
Very little gamma in structure but we’ll be generous & use 23vol. Theo=98.2/100.7/103.4 (L+600/23=99.2/100.8/104.2). Possible l/only demand w/lack of balanced/par paper but 3 deals w/duration & delta is a lot 4 ADV. Low gamma/low adv, not obv 4 hedge unless directional