Danby Park CLO is preparing to raise some $388.95 million in collateralized loan obligation (debt), in a deal that will fund a pool of mostly senior, secured loans, made to the software industry, predominantly, and offer deferrable certificates to noteholders.
Other collateral in the pool includes senior secured bonds, cash and eligible investments. At least 85% of loan borrowers in the collateral pool must be based in the U.S. or Canada.
Three of the note classes—which are subordinate tranches in the capital structure—will issue deferrable notes, where the trust can defer interest payments to the notes under certain circumstances, according to S&P Global Ratings, which plans to assign ratings to the notes.
Software companies account for the broadest industry distribution, in both the identified and target portfolios, according to S&P. Even then, borrowers in the software industry account for just shy of 17% of the target portfolio, suggesting that the collateral pool is fairly well diversified.
Otherwise, the borrower portfolio reveals a broad array of industry types, including hotels, restaurants and leisure (~9%); professional services (~7%); commercial services and supplies (~5%) and health care providers and services (~5%). Among the target portfolio, about 36% of the pool has an implied rating of 'B-', the highest rating concentration, according to S&P.
Goldman Sachs & Co. is the placement agent on the transaction, while Blackstone Liquid Credit Strategies is the collateral manager, according to S&P. Danby Park is slated to close on November 21.
The rating agency does not expect to assign ratings to A-1a or A-1b in the capital structure, which will issue a combined $252 million in CLOs. Among the S&P rated notes, the rating agency expects to assign ratings of 'AA+' and 'AA' to the $12 million A-2 and $36 million B classes, respectively.
Classes C, D and E will issue the deferrable notes, and are slated to receive ratings of 'A', 'BBB-' and 'BB-', according to S&P.
The trust will issue mostly floating-rate notes and benchmark them on the three-month term secured overnight financing rate (SOFR), while spreads on the notes are expected to range from 275 basis points on the A-2 notes to 875 bps on the class E deferrable notes, at least among the S&P rates classes.
As for the most senior notes, spreads should be 210 basis points on the A-1a and the A-1b notes appear to be prepared to issue notes with a 6.0% coupon.
