BlueMountain Fuji EUR CLO II: 01 July 2017
The assets securing the Notes will consist predominantly of a portfolio of Secured Senior Loans, Secured Senior Bonds, Unsecured Senior Obligations, Mezzanine Obligations and High Yield Bonds, and will be managed by BlueMountain Fuji Management LLC, acting through its Series A in its capacity as investment manager.
Eligibility criteria (includes): it is a Secured Senior Loan, a Secured Senior Bond, a Corporate Rescue Loan, an Unsecured Senior Obligation, a Mezzanine Obligation, a Second Lien Loan or a High Yield Bond; it is either denominated in Euro or denominated in a Qualifying Currency other than Euro; it is not a lease; it is not a Structured Finance Security, a pre-funded letter of credit or a Synthetic Security; it is not a Zero Coupon Security; it is not a Project Finance Loan; it is not a Bridge Loan; it has a minimum purchase price of 60.0% of the Principal Balance.
The Issuer anticipates that, by the Issue Date, BlueMountain on its behalf will have purchased or committed to purchase Collateral Debt Obligations, the Aggregate Principal Balance of which equals at least €262.5mln, representing 75.0% of the Target Par Amount.
CRR 405: BlueMountain B intends to act as retention holder for the purposes of the EU Retention Requirements. BlueMountain will, for so long as any Class of Rated Notes remains outstanding, undertake and agree: (a) on the Issue Date to acquire through BlueMountain B a material net economic interest in the first loss tranche (within the meaning of paragraph 1(d) of Article 405 of the CRR, by way of holding Subordinated Notes with an aggregate Principal Amount Outstanding, at any time, of not less than 5% of the Aggregate Collateral Balance; (b) not to sell, hedge or otherwise mitigate its credit risk under or associated with the Retention, except to the extent not expressly prohibited by the EU Retention Requirements.
US risk retention: BlueMountain has informed the Issuer that BlueMountain B intends to purchase and retain (for so long as is required under the U.S. Risk Retention Rules) the U.S. Retention Notes.