Sankaty tweaks CLO 2.0 structure for Rye Harbour

By Owen Sanderson
17 Dec 2014

Sankaty Advisors and Citigroup have priced Rye Harbour CLO, a €350m European CLO 2.0 with a few structural tweaks from the standard deal. Like most new-style collateralised loan obligations, the deal will be 90% senior secured, with strict limits on unhedged non-euro assets.

But the deal features a different approach to limiting extension risk. Usually, after the reinvestment period is over, the weighted average life test in a CLO becomes tighter and tighter — meaning the manager will have arranged the portfolio so it rolls off naturally or can be sold ...

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