Carlyle Euro CLO 2020-1 DAC: 17 April 2020
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.
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 lease; it is not a Structured Finance Security or a Synthetic Security; it is not a debt obligation which pays interest only and does not require the repayment of principal; 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 Step-Down Coupon Security or a Step-Up Coupon Security; it is not a Project Finance Loan; it has a minimum purchase price of 55.0% of the Principal Balance of such Collateral Obligation.
The transaction features a 3yr non-call period and a 4.5yr reinvestment period.
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 €405mln, representing approximately 90.00% 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.
EU Risk Retention: On the Issue Date the Collateral Manager will, for so long as any Notes are outstanding, undertake to 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 (with, for such purposes, the Class A-2A Notes and the Class A-2B Notes together treated as a single Class), 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.