Natixis aims to close a $660 million balance sheet CLO, says Moody's

Natixis is in the process of pulling off a balance sheet CLO, according to a pre-sale report released by Moody’s. The bank is taking $660 million of senior secured corporate loans off its balance sheet to form Liberty Island Funding 2011-1, which is expected to close next Thursday. The New York branch of Natixis has been named as manager of the CLO – its first mandate as a CLO manager. But the manager will not act alone as GoldenTree has been announced as the collateral advisor.

As is typically the case with balance sheet transactions, the manager has limited ability to reinvest. This CLO comes with an 18 month reinvestment period and reaches its maturity date in eight years. Moody’s notes that Natixis may sell defaulted and credit risk obligations. It may also dispose of other assets with the consent of, and in some cases at the direction of, GoldenTree. Beyond the reinvestment period, no more purchases will be permitted.

Liberty Island Funding 2011-1 has a two-tranche structure (see table). $419 million of senior notes rated Aaa by Moody’s will pay a coupon of 150bp over Libor. These notes benefit from 36.5% subordination. Below the triple-A tranche, sits a $241 million un-rated equity tranche.  

Liberty Island Funding 2011-1