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Mackay Shields Euro CLO 1: 08 November 2019

The assets securing the notes will consist of a portfolio of primarily Senior Loans, Senior Secured Bonds, Mezzanine Obligations and High Yield Bonds, and will be managed by MacKay Shields Europe Investment Management Limited.

MacKay Shields LLC is a registered investment adviser. MacKay US was acquired by New York Life Insurance Company in 1984 and provides investment management services to pension funds, government and financial institutions, family offices, high net worth individuals, endowments and foundations across the globe. On 1 February 2017 New York Life acquired a majority interest in CVP Holdings LLC, which is the parent of Credit Value Partners LLC, a registered investment advisor. That majority interest was transferred to MacKay US early in 2019. In August 2019, MacKay US entered into an agreement to acquire CVP CLO Manager LLC and CVP Europe Investment Management Limited and to spin off Credit Value Partners LLC, which will focus on the US distressed debt and private credit business.

Eligibility criteria (includes): it is a Senior Secured Loan, a Senior Secured Bond, an Unsecured Senior Loan, a Mezzanine Obligation, a PIK Obligation, a Second Lien Loan, a Corporate Rescue Loan, or a High Yield Bond; 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 lease; it is not a Zero Coupon Security; other than in the case of a Corporate Rescue Loan, it has an S&P Rating of not lower than “CCC-” and a Moody’s Rating of not lower than “Caa3”; it is an obligation in respect of which the Obligor (or the guarantor of such obligation) is domiciled in a Qualifying Country, as determined by the Collateral Manager; it is not a Project Finance Loan; it is not a Step-Down Coupon Security; it shall have been acquired by the Issuer for a purchase price of not less than 60.0 percent 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 €280mln, which is approximately 80.0% of the Target Par Amount.

EU Risk Retention: On the Issue Date the Retention Holder (MacKay Shields ECO Funding DAC) will undertake to subscribe for and hold on an ongoing basis, as originator, not less than 5% of the nominal value of the securitised exposures through the purchase and retention of Subordinated Notes with an original Principal Amount Outstanding such that the aggregate purchase price thereof equals or exceeds 5% of the Aggregate Collateral Balance in accordance with and pursuant to Articles 6(1) and 6(3)(d) of the Securitisation Regulation.

US Risk Retention: The Retention Holder will retain the U.S. Retention Interest in compliance with the U.S. Risk Retention Rules, and such U.S. Retention Interest satisfies the requirements of an “eligible horizontal residual interest” under the U.S. Risk Retention Rules.