Barings Euro CLO 2018-1: 21 March 2018
The assets securing the Notes will consist of a portfolio of predominantly Secured Senior Obligations, Secured Senior Notes, Unsecured Senior Obligations, Second Lien Loans, Mezzanine Obligations and High Yield Bonds, and will be managed by Barings (U.K.) Limited.
The Notes are being offered by the Issuer through Barclays Bank PLC in its capacity as initial purchaser of such Notes subject to prior sale.
Barings (U.K.) Limited (formerly Babson Capital Management (UK) Limited) will act as the Collateral Manager. In May 2004, Babson Capital acquired Duke Street Capital Debt Management Limited from Duke Street Capital Group. On 30 September 2004, Duke Street Capital Debt Management Limited changed its name to Babson Capital Europe Limited and subsequently, on 30 January 2015, Babson Capital Europe Limited changed its name to Babson Capital Management (UK) Limited.
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; 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, Step-Up Coupon Security or Step-Down Coupon Security; other than in the case of Corporate Rescue Loans, it is an obligation which has a Moody’s Rating of “Caa3” or higher and a S&P Rating of “CCC-” or higher; it is not a Project Finance Loan; it is purchased at a price not less than 60 per cent of the Principal Balance thereof; it is not a Letter of Credit.
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 €375mln which is approximately 75.0% of the Target Par Amount.
CRR 405: The Collateral Manager shall act as Retention Holder for the purposes of the EU Retention Requirements and shall undertake to purchase (on the Issue Date and on each subsequent date of additional issuances of the Notes) from the Issuer or the Initial Purchaser and retain on an ongoing basis, for its own account, a material net economic interest in the transaction comprising not less than 5% of the Principal Amount Outstanding of each Class of Notes within the meaning of paragraph 1(a) of Article 405 of the CRR, Article 51(1)(a) of the AIFM Regulation and paragraph 2(a) of Article 254 and Article 256 of Commission Delegated Regulation (EU) 2015/35.
US Risk Retention: As of the date of the Offering Circular, it is possible that none of the Collateral Manager or its affiliates will be required to comply with the U.S. Risk Retention Rules with respect to this transaction. As a result, prospective investors should assume that the provisions of the U.S. Risk Retention Rules that require the “sponsor” of a securitisation transaction, either directly or through its “majority-owned affiliates”, to acquire and retain an economic interest in the credit risk of the securitised assets of at least 5 per cent in accordance with the U.S. Risk Retention Rules will not apply to the Collateral Manager or any of its affiliates.