Segovia European CLO 5-2018 (Halcyon 18-1): 09 August 2018

The assets securing the notes will consist of a portfolio of primarily Secured Senior Loans, Secured Senior Bonds, Unsecured Senior Obligations, Second Lien Loans, High Yield Bonds and Mezzanine Obligations, and will be managed by Halcyon Loan Advisors (UK) LLP.

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 not a Structured Finance Security or a Synthetic Security; it is not an Equity Security, including any obligation convertible into an Equity Security; it is not a lease; it is not a Zero Coupon Obligation; it is not a Letter of Credit; it is not a Project Finance Loan; it is not a Step-Down Coupon Obligation or a Step-Up Coupon Obligation; it is not an obligation of an Obligor or Obligors Domiciled in Japan; it is an obligation that has a minimum purchase price of 60% 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 Eur332.5mln, which is approximately 95.0% 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.


EU Risk Retention: In accordance with the EU Retention Requirements, the Collateral Manager (Halcyon Loan Advisors (UK) LLP), in its capacity as the Retention Holder, will undertake to subscribe for and retain a material net economic interest of not less than 5% of the Principal Amount Outstanding of each Class of Notes by subscribing for and holding, on an ongoing basis, and for so long as any Notes are outstanding, no less than 5% of the Principal Amount Outstanding of each Class of Notes.

US Risk Retention: Based on the LSTA Decision, it should be assumed by each prospective investor that no party involved in the transaction will obtain on the Issue Date and retain any Notes intended to satisfy the U.S. Risk Retention Rules.