Research: Rating Action: Moody’s Assigns Final Ratings to Seven Classes of Notes Issued by European Sculptor CLO IX DAC


London, March 10, 2022 — Moody’s Investors Service (“Moody’s”) has announced that it has assigned the following final ratings to bonds issued by Sculptor European CLO IX DAC (the “Issuer”):

….EUR 248,000,000 Class A senior secured floating rate notes, due 2034, final rating assigned Aaa (sf)

….EUR 27,000,000 Class B-1 Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf)

….EUR 13,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf)

….EUR 24,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned A2 (sf)

….EUR 28,000,000 Class D Floating Rate Senior Secured Notes due 2034, final rating assigned Baa3 (sf)

…. EUR 21,000,000 Class E Senior Secured Floating Rate Notes due 2034, final rating assigned Ba3 (sf)

….EUR 12,000,000 Deferred Floating Rate Senior Secured Bonds of the F category due 2034, final rating assigned B3 (sf)


The justification of the ratings is based on a consideration of the risks associated with the portfolio and the structure of the CLO, as described in our methodology.

The Issuer is a managed cash flow CLO. At least 90% of the portfolio must be comprised of senior secured bonds and up to 10% of the portfolio may be comprised of senior unsecured bonds, junior loans, mezzanine bonds and bonds high yield. The portfolio is expected to be increased by 90% from the closing date and consist mainly of corporate loans to debtors domiciled in Western Europe.

The requirements for determining the effective date of this transaction are lower than those of other European CLOs because (i) the full face value is given to the defaulted bonds upon assessment whether the transaction has reached the target nominal amount expected and (ii) satisfaction of the Caa concentration limit is not required as of the Effective Date. Moody’s believes that the proposed treatment of defaulted bonds may introduce additional credit risk to bondholders since the potential nominal loss resulting from recoveries less than the nominal amount of a defaulted bond will not be taken into account. Moody’s also believes that the absence of any requirement to meet the Caa concentration limit on the Effective Date could result in a more blunt portfolio rating distribution. However, Moody’s concedes that compliance with (i) the other concentration limits, (ii) each of the coverage tests and (iii) each of the collateral quality tests can mitigate this risk of barbelling. Due to the introduction of relatively weaker effective date requirements, outstanding ratings of CLO Notes could be adversely affected around the effective date, despite meeting the effective date requirements. effect of the transaction.

Sculptor Europe Loan Management Limited (“Sculptor”) will manage the CLO. It will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activities, including discretionary trading, during the 4.6 year reinvestment period of the transaction. Thereafter, subject to certain restrictions, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from the sale of credit risk-linked bonds or enhanced bonds.

In addition to the seven classes of bonds rated by Moody’s, the Issuer has issued EUR 8,000,000 of Class Z Notes and EUR 34,600,000 of Subordinated Notes which are not rated. Class Z Notes bear interest in an amount equivalent to a typical subordinated management fee.

The transaction incorporates interest and face value coverage tests which, if triggered, divert interest and principal proceeds to repay the notes in order of seniority.

Methodology behind the rating action:

The main methodology used in these ratings is “Moody’s Global Approach to Rating Collateralized Loan Obligations” published in December 2021 and available on You can also visit the rating methodologies page on for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of ratings:

The performance of the Notes rated is subject to uncertainty. The performance of the ratings is sensitive to the performance of the underlying portfolio, which in turn depends on changing economic and credit conditions. The collateral manager’s investment decisions and transaction management will also affect rating performance.

Moody’s modeled the transaction using a cash flow model based on the binomial expansion technique, as described in Section 2.3 of Moody’s Global Approach to Rating Collateralized Loan Obligations rating methodology released in December 2021. Moody’s used the following base modeling assumptions:

Nominal amount: EUR 400,000,000

Diversity score: 48

Weighted Average Rating Factor (WARF): 3000

Weighted Average Deviation (WAS): 3.75%

Weighted Average Coupon (WAC): 4.00%

Weighted average recovery rate (WARR): 43.50%

Weighted Average Life (WAL): 7.5 years

Moody’s has addressed potential exposure to obligors domiciled in countries with a local currency cap (LCC) of A1 or less. In accordance with portfolio constraints, exposures to countries with an LCC below Aa3 cannot exceed 10%, exposures with an LCC below A3 may not exceed 0%.


For details on key rating assumptions and Moody’s sensitivity analysis, see the Methodological Assumptions and Sensitivity to Assumptions sections in the Disclosure Form. Rating symbols and definitions from Moody’s are available at:

Further information on representations, warranties and enforcement mechanisms available to investors can be found at

The analysis relies on an assessment of the characteristics of the collateral to determine the distribution of collateral losses, ie the function correlated to an assumption about the probability of occurrence of each level of possible collateral losses. Secondly, Moody’s assesses each possible collateral loss scenario using a model that reproduces the relevant structural characteristics to deduce the payouts and therefore the ultimate potential losses for each rated instrument. The loss incurred by a rated instrument in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

Moody’s quantitative analysis involves an evaluation of scenarios that focus on factors contributing to rating sensitivity and consider the likelihood of material collateral losses or impaired cash flows. Moody’s weights the impact on rated instruments based on its assumptions of the likelihood of events in such scenarios occurring.

For ratings issued on a program, series, category/class of debt or security, this announcement provides certain regulatory information regarding each rating of a subsequently issued bond or note of the same series, category/class of debt, security or under a program for which ratings are derived exclusively from existing ratings in accordance with Moody’s rating practices. For ratings issued on a media provider, this announcement provides certain regulatory information relating to the credit rating action on the media provider and each particular credit rating action for securities whose credit ratings are derived from the support provider’s credit rating. For the provisional ratings, this press release provides certain regulatory information relating to the provisional rating assigned, and to a final rating that may be assigned after the final issuance of the debt, in each case where the structure and conditions of the transaction n have not changed prior to the final rating being assigned in a way that would have affected the rating. For more information, please see the ratings tab on the respective issuer’s issuer/entity page on

For all relevant securities or rated entities receiving direct credit support from the lead entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action , the associated regulatory information will be that of the guarantor entity. Exceptions to this approach exist for the following information, if applicable to the jurisdiction: Ancillary services, Information to be provided to the rated entity, Information to be provided by the rated entity.

The ratings have been disclosed to the rated entity or its designated agent(s) and issued without modification as a result of such disclosure.

These notes are solicited. Please refer to Moody’s Policy on the Designation and Assignment of Unsolicited Credit Ratings available on its website

The regulatory information contained in this press release applies to the credit rating and, if applicable, the outlook or rating revision relating thereto.

Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis are available at

The worldwide credit rating on this credit rating announcement was issued by one of Moody’s affiliates outside the EU and is approved by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Main. -le-Main 60322, Germany, in accordance with Article 4(3) of Regulation (EC) No 1060/2009 on credit rating agencies. Further information on the EU approval status and which Moody’s office issued the credit rating is available at

Please check for updates on changes to the lead rating analyst and Moody’s legal entity that issued the rating.

Please see the ratings tab on the issuer/entity page on for additional regulatory information for each credit rating.

Carine Kumps-Feniou
VP – Senior Credit Officer
Structured Finance Group
Moody’s Investors Service Ltd.
A square of Canada
Canary Wharf
London, E14 5FA
JOURNALISTS: 44 20 7772 5456
Customer service: 44 20 7772 5454

Volker Gulde
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Customer service: 44 20 7772 5454

Release Office:
Moody’s Investors Service Ltd.
A square of Canada
Canary Wharf
London, E14 5FA
JOURNALISTS: 44 20 7772 5456
Customer service: 44 20 7772 5454


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