Sankaty Advisors is prepping a €364.025 million ($447 million) European collateralized loan obligation, according to Moody’s Investors Service.

The deal, Rye Harbour CLO, will issue 10 classes of fixed- and floating-rate notes, nine of which are rated by Moody’s. The senior, €211.75 million class is rated ‘AAA’ and benefits from subordination of 39.5%; it is being marketed at a spread of three-month Euribor plus 130 basis points.

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