Purple Finance CLO 1: 12 January 2018
The assets securing the Notes will consist of a portfolio of primarily Senior Secured Loans, Senior Secured Bonds, Mezzanine Obligations and High Yield Bonds, and will be managed by Natixis Asset Management (the Collateral Manager).
Natixis Asset Management is 100% owned by Natixis Investment Managers (formerly known as Natixis Global Asset Management). Natixis IM operates as the holding company for the asset management business of NATIXIS, a global financial services company. As of 30 September 2017 the assets under management of Natixis IM and its affiliated investment managers were €813.1 billion.
Eligibility criteria (includes): it is a Senior Secured Loan, a Senior Secured Bond, an Unsecured Senior Loan, a Mezzanine Obligation, a Second Lien Loan, a Corporate Rescue Loan or a High Yield Bond; it is not a Defaulted Obligation or a Credit Impaired Obligation; it is not a lease; it is not a Structured Finance Security, letter of credit or a Synthetic Security; it is not a Zero Coupon Security; other than in the case of a Corporate Rescue Loan, it has an S&P Rating of not lower than “B-” and a Moody’s Rating of not lower than “B3”; it is not a Project Finance Loan; it is not a Step-Down Coupon Security; the minimum purchase price of the Collateral Debt Obligation is 60.0% of the Principal Balance of such Collateral Debt Obligation.
The Issuer anticipates that, by the Issue Date, it or the Collateral Manager on its behalf will have purchased or committed to purchase Collateral Debt Obligations the Aggregate Principal Balance of which is equal to at least €203mln, which is approximately 67.7% of the Target Par Amount.
CRR 405: On the Issue Date, the Collateral Manager, in its capacity as Retention Holder (for the purpose of the EU Retention Requirements) will subscribe for and hold on an ongoing basis, as originator, a material net economic interest of not less than 5% in the securitisation comprised of the Notes in the form specified in paragraph 1(d) of Article 405 of the CRR, paragraph 1(d) of Article 51 of the AIFMD Level 2 Regulations and paragraph 2(d) of Article 254 of the Solvency II Level 2 Regulation, being retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, through the purchase and retention of the Retention Notes.
US Risk Retention: The Retention Holder will retain the U.S. Retention Interest sufficient to satisfy the requirements for retaining an “eligible horizontal residual interest” under the U.S. Risk Retention Rules.