Chicago, Aug. 31 – Sculptor Europe Loan Management Ltd. sold €407.3 million in a collateralized loan obligation being issued by Sculptor European CLO VI DAC, according to a pre-sale report.
The notes will mature on Oct. 15, 2034.
The CLO consists of €246 million of class A senior secured floating-rate notes at Euribor plus 105 basis points, €30 million of class B-1 senior secured floating-rate notes at Euribor plus 185 bps, €10 million of class B-2 2.1% senior secured fixed-rate notes, €28 million of class C senior secured deferrable floating-rate notes at Euribor plus 230 bps, €27 million of class D senior secured deferrable floating-rate notes at Euribor plus 340 bps, €19 million of class E senior secured deferrable floating-rate notes at Euribor plus 617 bps, €13 million of class F senior secured deferrable floating-rate notes at Euribor plus 900 bps and €34.3 million of subordinated notes.
The notes pay interest quarterly based on three-month Euribor. However, there is a frequency switch mechanism built into the structure of the CLO whereby the interest could be paid semiannually and interest would be based on six-month Euribor. This would happen if the portfolio becomes weighted towards collateral that pays interest less frequently than quarterly. If the discrepancy between collateral that pays quarterly interest and less frequent interest payments becomes pronounced, the interest rate frequency on the CLO notes will change.
Sculptor Europe Loan Management Ltd. will manage the collateral through the end of the reinvestment period on March 8, 2026.
The notes can be called starting March 9, 2023.
J.P. Morgan was the placement agent.
| Issuer: | Sculptor European CLO VI DAC
|
| Issue: | Floating-rate notes, fixed-rate notes and subordinated notes
|
| Amount: | €407.3 million
|
| Maturity: | Oct. 15, 2034
|
| Structure: | Cash flow CLO
|
| Placement agent: | J.P. Morgan
|
| Manager: | Sculptor Europe Loan Management Ltd.
|
| Call feature: | March 9, 2023
|
| Settlement date: | Sept. 9
|
|
|
| Class A notes
|
| Amount: | €246 million
|
| Securities: | Senior secured floating-rate notes
|
| Coupon: | Euribor plus 105 bps
|
| Rating: | S&P: AAA
|
|
|
| Class B-1 notes
|
| Amount: | €30 million
|
| Securities: | Senior secured floating-rate notes
|
| Coupon: | Euribor plus 185 bps
|
| Rating: | S&P: AA
|
|
|
| Class B-2 notes
|
| Amount: | €10 million
|
| Securities: | Senior secured fixed-rate notes
|
| Coupon: | 2.1%
|
| Rating: | S&P: AA
|
|
|
| Class C notes
|
| Amount: | €28 million
|
| Securities: | Senior secured deferrable floating-rate notes
|
| Coupon: | Euribor plus 230 bps
|
| Rating: | S&P: A
|
|
|
| Class D notes
|
| Amount: | €27 million
|
| Securities: | Senior secured deferrable floating-rate notes
|
| Coupon: | Euribor plus 340 bps
|
| Rating: | S&P: BBB-
|
|
|
| Class E notes
|
| Amount: | €19 million
|
| Securities: | Senior secured deferrable floating-rate notes
|
| Coupon: | Euribor plus 617 bps
|
| Rating: | S&P: BB-
|
|
|
| Class F notes
|
| Amount: | €13 million
|
| Securities: | Senior secured deferrable floating-rate notes
|
| Coupon: | Euribor plus 900 bps
|
| Rating: | S&P: B-
|
|
|
| Subordinated notes
|
| Amount: | €34.3 million
|
| Securities: | Subordinated notes
|
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