Barings U.K. is serving as manager for a new collateralized loan obligation warehouse funding structure that will have a target notional value of between €320-€400 million (US$338-$422.8 million), according to a report from bond rating agency DBRS.
Barings Euro CLO 2017-1 B.V. is a two-note structure supported by the payments to a senior funding facility and a mezzanine funding facility that will back financing for the ramp-up of loan and high-yield bonds collateral for a subsequent CLO issuance.
DBRS has assigned a provisional ‘A’ structured finance rating to the senior facility, and a ‘BBB (low)’ to the mezzanine tranche. The CLO borrowing entity is domiciled in The Netherlands.
Through February 27, the transaction portfolio consisted of €23.3 million (US$24.63 million) of existing obligations, according to DBRs.
The potential size of the warehouse, which will have a 12-month reinvestment period prior to amortization, is to be determined through two different covenant matrices. Under the €320 million structure, the first drawing point after closing will have a total capitalization of €170 million (US$179.7 million) through a €119 million (€124 million) draw on the senior facility and €11 million (US$11.63 million) on the mezzanine (leaving €40 million in available equity).
For the €400 million structure, the total capitalization on first draw would be €210 million (US$231.5 million) for the senior facility and €6 million in the mezzanine with €50 million available equity. In both scenarios, the growth in the equity size will allow an increase in the mezzanine facility – or allow a reduction to support credit enhancement of the senior facility.
The warehouse will mature either at the subsequent Barings CLO closing date or the optional or mandatory early redemption dates.
