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Hayfin Emerald CLO III: 19 September 2019

The assets securing the notes will consist of a portfolio of primarily Senior Obligations, Mezzanine Obligations and High Yield Bonds, and will be managed by Hayfin Emerald Management LLP (the Collateral Manager).

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; 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 debt obligation which pays interest only and does not require the repayment of principal; is an obligation of an Obligor who is Domiciled in a jurisdiction the Moody’s local currency country risk ceiling of which is “A3” or above; it is not a Project Finance Loan; it has a minimum purchase price of 60.0% 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 €350mln, which is approximately 87.5% 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 subject to prior sale.

EU Risk Retention: Hayfin Emerald Management LLP shall act as the Retention Holder for the purposes of the EU Retention and Transparency Requirements. On the Issue Date the Retention Holder will undertake to subscribe for and retain a material net economic interest in the first loss tranche of not less than 5% of the securitised exposures by subscribing for and holding, on an ongoing basis, and for so long as any Notes are outstanding, Subordinated Notes with a Principal Amount Outstanding equal to not less than 5% of (i) on any Business Day prior to the Effective Date, the greater of the Collateral Principal Amount and the Maximum Par Amount and (ii) otherwise, the greater of the Maximum Par Amount and the highest Collateral Principal Amount recorded from and including the Effective Date to the Maturity Date.

US Risk Retention: Based on the LSTA Decision and the Mandate, 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.