BBAM European CLO I DAC: 30 June 2020
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 BlueBay Asset Management LLP. The Collateral Manager is a limited liability partnership incorporated in the UK and is part of the BlueBay Group, and is a wholly-owned subsidiary of Royal Bank of Canada and part of the RBC asset management division, RBC Global Asset Management. As of 31 May 2020, BlueBay’s pro forma assets under management were approximately U.S.$60.1bln, with approximately U.S.$11.51bln in Leverage Finance strategies.
Eligibility criteria (includes): it is a Senior Secured Loan, a Senior Secured Bond, an Unsecured Senior Loan, a Mezzanine 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 or a Synthetic Security; it is not a lease; 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 50.0 per cent 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 €225mln, which is approximately 90.0% of the Target Par Amount.
The Notes are being offered by the Issuer through Credit Suisse Securities (Europe) Limited in its capacity as sole arranger and initial purchaser of the offering.
EU Risk Retention: The Retention Holder (BlueBay Asset Management LLP) will, for so long as any Class of Notes remains outstanding, undertake to subscribe for and retain on the Issue Date (and each subsequent date of additional issuance of Notes) and hold on an ongoing basis and for its own account a material net economic interest of not less than 5% of the nominal value of each Class of Notes.
US Risk Retention: As a result of the court ruling, it should be assumed by each prospective investor 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.