Montmartre Euro CLO 2020-2 DAC: 22 August 2020
The assets securing the notes will consist predominantly of a portfolio of Secured Senior Loans and Secured Senior Bonds, Mezzanine Obligations, Corporate Rescue Loans and High Yield Bonds, and will be managed by CBAM CLO Management Europe, LLC. CBAM was established on 1 June 2020 and will perform certain collateral management and administration functions relating to the Portfolio.
The Notes (other than any Notes being sold directly by the Issuer to CBAM CLO Management Europe, LLC and any Subordinated Notes being sold directly by the Issuer to an Affiliate of the Retention Holder) are being offered by the Issuer through Barclays Bank PLC (or an affiliate thereof) in its capacities as sole arranger and initial purchaser of the offering of such Barclays Subscribed Notes.
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 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 Project Finance Loan; it is not a Current Pay Obligation and is not a PIK Security (except if such PIK Security is a Restructured Obligation); other than in the case of a Corporate Rescue Loan, it has an S&P Rating and, for so long as Fitch assigns a rating in respect of an Outstanding Class of Rated Notes, it has a Fitch Rating of not lower than "CCC-"; it is acquired by the Issuer for a purchase price equal to or greater than 60.0% of its Principal Balance.
The Issuer anticipates that, by or on the Issue Date, the Collateral Manager on its behalf will have purchased or committed to purchase Collateral Obligations the Aggregate Principal Balance of which equals at least approximately €294mln, representing approximately 98% of the Target Par Amount.
EU Risk Retention: The Collateral Manager shall act as the Retention Holder for the purposes of the EU Retention Requirements. The Retention Holder will, for so long as any Class of Notes remains outstanding, subscribe for, hold and retain on an ongoing basis, in its capacity as originator, a material net economic interest in the form specified in Article 6(3)(a) of the Securitisation Regulation of not less than 5% of the outstanding nominal value of each of the tranches sold or transferred to investors on the Issue Date within the meaning of the EU Retention Requirements, and not less than 5% of the principal amount of any outstanding Reinvestment Amounts.
US Risk Retention: Based on the LSTA Decision, 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.