Madison Park Euro Funding XII (Cadogan Sq) : 01 October 2018

This will be a securitisation of mainly senior secured obligations with a component of senior unsecured, mezzanine and second-lien loans, and the portfolio will be managed by Credit Suisse Asset Management Limited. It is the manager's 12th European CLO.

Concentration limits (include): at least 90% of the portfolio comprises senior secured obligations; up to 12.5% of the portfolio can be invested in fixed-rate assets; the top 10 obligors in the portfolio are limited to 20% of the portfolio balance; to 20% of the portfolio in non-euro denominated assets; max of 5% in PIK securities & partial deferrable securities; max of 5% in corporate rescue loans; max of 30% in cov-lite loans.

The CLO envisages a further 4.5-year reinvestment period and an 8.5-year weighted average life.