BlueMountain Fuji EUR CLO V DAC: 15 December 2019
The assets securing the notes will consist predominantly of a portfolio of Secured Senior Loans, Secured Senior Bonds, Unsecured Senior Obligations, Mezzanine Obligations, Second Lien Loans and High Yield Bonds, and will be managed by BlueMountain Fuji Management, LLC.
Eligibility criteria (includes): it is a Secured Senior Loan, a Secured Senior Bond, a Corporate Rescue Loan, an Unsecured Senior Obligation, a Mezzanine Obligation, a Second Lien Loan or a High Yield Bond; it is not a lease; it is not a Structured Finance Security, a pre-funded letter of credit or a Synthetic Security; it is not a Zero Coupon Security; it has an S&P Rating of not lower than “CCC” and it has a Fitch Rating of not lower than “CCC-” (in each case unless it is a Corporate Rescue Loan); it is an obligation of an Obligor or Obligors Domiciled in a Non-Emerging Market Country (as determined by the Investment Manager acting on behalf of the Issuer); it is not a Project Finance Loan; it is not a Bridge Loan; it is not a Step-Up Coupon Obligation and is not a Step-Down Coupon Obligation; it has a minimum purchase price of 60.0% of the Principal Balance of such Collateral Debt Obligation.
The Issuer anticipates that, by the Issue Date, the Investment Manager on its behalf will have purchased or committed to purchase Collateral Debt Obligations the Aggregate Principal Balance of which equals at least €297.5mln, representing 85.0% of the Target Par Amount.
The notes will be offered by the Issuer through Credit Suisse Securities (Europe) Limited in its capacity as arranger and initial purchaser of the offering of such notes.
EU Risk Retention: BlueMountain will, for so long as any Class of Rated Notes remains outstanding, undertake on the Issue Date to acquire through the Retention Holder and retain on an on-going basis a material net economic interest in the first loss tranche in accordance with paragraph 3(d) of Article 6 of the Securitisation Regulation, by way of holding Subordinated Notes with an aggregate Principal Amount Outstanding of not less than 5% of the Aggregate Collateral Balance.
US Risk Retention: In the LSTA Decision, the Panel held that collateral managers of “open market CLOs” (described in the LSTA Decision as CLOs where assets are acquired from “arms-length negotiations and trading on an open market”) are not “securitizers” or “sponsors” under Section 941 of the Dodd-Frank Act and, therefore, are not subject to risk retention and do not have to comply with the U.S. Risk Retention Rules. Based on the LSTA Decision, no transaction party currently intends to obtain on the Issue Date and retain after the Issue Date any Notes for the purpose of satisfying the U.S. Risk Retention Rules nor will any transaction party seek to satisfy any other requirements (including with respect to disclosure) set forth in the U.S. Risk Retention Rules.