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Carlyle Euro CLO 2019-1: 19 March 2019

The assets securing the Notes will consist primarily of a portfolio of Senior Obligations, Mezzanine Obligations and High Yield Bonds, and will be managed by CELF Advisors LLP. CELF is a subsidiary of an affiliate of The Carlyle Group LP. The Carlyle Group is a global investment manager with approximately $216 billion of assets under management across 343 investment vehicles, as of 31 December 2018.

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 (in each case, which is not a sub-participation of a sub-participation); it is not a Defaulted Obligation or a Credit Risk Obligation; it is not a Structured Finance Security or a Synthetic Security; it is not a lease; it is not a Zero Coupon Security or Step-Up Coupon Security; is an obligation of an Obligor or Obligors Domiciled in a Non-Emerging Market Country (as determined by the Collateral Manager acting on behalf of the Issuer); it is not a Project Finance Loan; it is not a PIK Security; it is not a Collateral Obligation with an Obligor domiciled in a country with a Moody’s local currency country risk ceiling below “A3”.

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 approximately €400mln, representing approximately 100% of the Target Par Amount

The Notes (other than the Notes to be purchased by the Retention Holder) will be offered by the Issuer through BNP Paribas in its capacity as initial purchaser of the offering of such Notes.

EU Risk Retention: The Collateral Manager shall act as the Retention Holder for the purposes of the EU Retention Requirements. On the Issue Date the Collateral Manager will, for so long as any Notes are Outstanding, undertake, subscribe for and retain, on an ongoing basis, a material net economic interest of not less than 5% of the nominal value of each Class of Notes, being the “Retention Notes”.

US Risk Retention: 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.