A collateralized loan obligation (CLO) is in works from collateral manager West Gate Horizons Advisors for $366.65 million, according to a pre-sale from Standard & Poor’s.
The deal has multiple tranches. The largest single tranche is an A class for $242.50 million, which has a subordination of 39.12% and a rating of ‘AAA (sf).’
Other classes include $51 million of B notes rated ‘AA (sf); $25.75 million in C notes rated ‘A (sf)’; and $20.25 million of D notes rated ‘BBB (sf).’ There are also, E and F tranches that are sub investment grade, and an unrated chunk for $36 million. The C, D, E, and F notes are all deferrable.
The transaction is due to close August 29. The pool is made up of broadly syndicated senior secured loans that are sub investment grade. The arranger is Nomura Securities International. West Gate manages three CLOs for a combined $1.2 billion.
There are 152 obligors linked to the pool. None are dominant. As of August 16, the largest obligor in the portfolio accounted for 1.28% of the amount.
The overcollateralization of the A piece is 147.75% based on the target portfolio for the transaction. If the percentage falls below 102%, a default event is triggered. This ties default probability to a deterioration in the underlying pool’s credit quality.
The average weighted spread of the portfolio is 382 basis points over 3-month LIBOR.