Khartaphu CLO: 10 December 2018
A credit-linked CLO from arranger and originator Standard Chartered.
Concurrently with the issuance of the notes, the issuer will enter into the Credit Default Swap with Standard Chartered Bank pursuant to which the issuer will sell credit protection to the Swap Counterparty in respect of a portfolio, designated by the Swap Counterparty, of corporate debt.
Eligibility criteria (includes): such Reference Obligation relates to unsubordinated obligations of the relevant Reference Entity that have been analysed in accordance with the Originator's standard credit policies and guidelines and granted by a Relevant Lender; a Credit Event (or other event which, with the giving of notice or the lapse of time (or both) would become a Credit Event) shall not have occurred in relation to such Reference Obligation or Reference Entity, as the case may be; the Country of Domicile of the relevant Reference Entity is a Qualifying Country.
Summary of the initial reference portfolio: Number of Reference Obligations – 730; Number of Reference Entities – 414; Number of Reference Entity Groups – 355; WA life – 1.44 years; Industrial group (by notional amount): retail estate – 10.05%, beverage food & tobacco – 9.11%, finance – 7.96%, automotive – 7.08%. Country of domicile (by notional amount): HK – 17.03%, China – 13.60%, South Korea – 8.03% and India 6.43%.
EU Risk Retention: SCB undertakes that a member of the Standard Chartered Bank consolidated group will retain, at all times until the redemption of the Notes, a material net economic interest which shall in any event be not less than 5% of the nominal value of each Reference Obligation as contemplated by Article 405(1)(a) of the Capital Requirements Regulation, Article 51(1)(a) of the AIFM Regulation and Article 254(2)(a) of the Solvency II Regulation. Such holding will be achieved by the Relevant Lender holding the requisite amount of each Reference Obligation outside the Reference Portfolio.