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Rockford Tower Europe CLO 2018-1: 07 December 2018

The assets securing the notes will consist primarily of a portfolio of Senior Loans, Senior Secured Bonds, Mezzanine Obligations and High Yield Bonds, and will be managed by Rockford Tower Capital Management, L.L.C.

RTCM is a Delaware series limited liability company affiliated with King Street Capital Management, L.P. Pursuant to the terms of the Staff and Services Agreement, RTCM has engaged KSCM to provide (or cause one or more of its Affiliates to provide) it with certain personnel, facilities, systems and services in conducting collateral management activities. KSCM was founded in 1995 and is registered with the SEC and has approximately $18.8bln of assets under management as of 30 June 2018.

Eligibility criteria (includes): it is a Senior Secured Loan, a Senior Secured Bond, an Unsecured Senior Loan, an Unsecured Senior Bond, a Mezzanine Obligation, a Second Lien Loan, a Corporate Rescue Loan, or a High Yield Bond; it is: (i) denominated in Euro; or (ii) denominated in a Qualifying Currency other than Euro; other than a Corporate Rescue Loan, it is not a Defaulted Obligation or a Credit Impaired Obligation; 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 Fitch Rating of not lower than “CCC-” and a Moody’s Rating of not lower than “Caa3”; it is not a Project Finance Loan; if it is a Revolving Obligation or Delayed Drawdown Collateral Debt Obligation, it can only be drawn in Euro; it shall have been acquired by the Issuer for a purchase price of not less than 65.0 per cent. of the par value thereof, unless such obligation is a Swapped Non-Discount 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 Eur320mln, which is approximately 80.0% of the Target Par Amount.

EU Risk Retention: The Collateral Manager (Rockford) shall act as Retention Holder for the purposes of the EU Risk Retention Requirements and will, for so long as any Class of Notes remains Outstanding, retain on an ongoing basis Subordinated Notes with a Principal Amount Outstanding equal to not less than 5% of the greater of the Aggregate Collateral Balance and the Maximum Par Amount.

US Risk Retention: Based on the LSTA Decision, it should be assumed 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.