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Aqueduct European CLO 1-2017: 04 July 2017


The assets securing the Notes will consist of a portfolio of primarily Senior Obligations, Mezzanine Obligations and High Yield Bonds, and will be managed by HPS Investment Partners CLO (UK) LLP.

HPS LLC (formerly known as Highbridge Principal Strategies, LLC) was formed as a subsidiary of HCM in 2007 to focus on managing debt and equity investments, including loan, mezzanine, credit opportunities, private equity and other investments. HCM is a subsidiary of JPMAM, which is itself a subsidiary of JPM. On 31 March 2016, the senior executives of HPS LLC acquired HPS LLC and its subsidiaries from JPMAM, consummating the HPS/JPMAM Transaction. The Collateral Manager was incorporated to establish and manage European collateralised loan obligations and invest in and hold retention interests in European CLOs managed by the Collateral Manager in accordance with the EU Retention Requirements.

Eligibility criteria (includes): it is a Secured Senior Obligation, a Corporate Rescue Loan, an Unsecured Senior Obligation, a Mezzanine Obligation, a Second Lien Loan or a High Yield Bond (in each case, which is not a sub-participation of a sub-participation); it is not a Defaulted Obligation or a Credit Risk Obligation; it is not a lease; it is not a Structured Finance Security or a Synthetic Security; it is not a Zero Coupon Security or Step-Up Coupon Security; other than in the case of a Corporate Rescue Loan, it has an S&P Rating of not lower than "CCC-" and a Moody's Rating of not lower than "Caa3";it is not a Step-Down Coupon Security; it is not a Project Finance Loan; it is not a Collateral Obligation with an Obligor domiciled in a country with a Moody's local currency country risk ceiling below "A3".

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Collateral Obligations, the Aggregate Principal Balance of which is equal to at least €240mln which is approximately 60.0% of the Target Par Amount.

CRR: …the Collateral Manager will for so long as any Notes are Outstanding: (a) undertake to purchase (at the initial issuance and each subsequent date of additional issuance of Notes) .. and retain, for its own account, a material net economic interest in the transaction comprising not less than 5.0% of the Principal Amount Outstanding of each Class of Notes within the meaning of paragraph 1(a) of Article 405 of the CRR.

The Collateral Manager intends to rely on an exemption provided for in Section __.20 of the U.S. Risk Retention Rules regarding non-U.S. transactions that meet certain requirements.