Carlyle Euro CLO 2017-2: 05 August 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 CELF Advisors LLP. CELF is a subsidiary of an affiliate of The Carlyle Group LP, which is a global alternative asset manager with approximately $162 billion of assets under management across 287 investment vehicles as of 31 March 2017.
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); is either (I) denominated in Euro or (II) is denominated in a Qualifying Currency; 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"; is an obligation of an Obligor or Obligors Domiciled in a Non-Emerging Market Country; it is not a Project Finance Loan; it is not a PIK Security; it has a minimum purchase price of 60.0% of the Principal Balance of such Collateral Obligation.
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 €315mln which is approximately 70.0% of the Target Par Amount.
The Notes are being offered by the Issuer through Citigroup Global Markets Limited in its capacity as placement agent of the offering of such Notes.
CRR 405: On the Issue Date, the Collateral Manager will undertake to subscribe for and retain on an ongoing basis for so long as any Notes remain outstanding not less than 5% of the Principal Amount Outstanding of each Class of Notes for the purposes of paragraph 1(a) of Article 405 of the CRR, paragraph (1)(a) of Article 51 of the AIFMD Retention Requirements and paragraph 2(a) of Article 254 of the Solvency II Retention Requirements.
With respect to the U.S. Risk Retention Rules, the Collateral Manager will satisfy the U.S. Risk Retention Rules by acquiring an eligible vertical interest equal to not less than 5% in each Class of Notes issued by the Issuer on the Issue Date and it will comply with all legal requirements imposed on the "sponsor of a securitization transaction".