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Henley CLO III: 26 November 2020

The assets securing the Notes will consist primarily of a portfolio of Senior Loans, Senior Secured Bonds, Mezzanine Obligations and High Yield Bonds, and will be managed by Napier Park Global Capital Ltd. As at 31 December 2019 the Collateral Manager Related Persons and the Retention Holder collectively had approximately $13.8bln of assets under management, with a team of approximately 104 professionals.

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 Zero Coupon Security; it is not a Structured Finance Security, letter of credit or a Synthetic Security; it is not a lease; other than in the case of a Corporate Rescue Loan, it has a Fitch Rating of not lower than “CCC” and a S&P Rating of not lower than “CCC-”; 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% of the par value.

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 €321.5mln, which is approximately 91.9% of the Target Par Amount.

The Notes are being offered by the Issuer through BNP Paribas in its capacity as initial purchaser of the offering of such notes.

EU Risk Retention: The Retention Holder (NP Europe Loan Management I DAC) will acquire on the Issue Date and retain in its capacity as “originator” for the purposes of the EU Retention Requirements, on an ongoing basis for so long as any Class of Notes remains outstanding, a material net economic interest in the first loss tranche of not less than 5% of the nominal value of the securitised exposures through the purchase and retention of Subordinated Notes with a Principal Amount Outstanding (provided for such purpose the Principal Amount Outstanding of the Subordinated Notes shall be the Principal Amount Outstanding thereof as of the date of issuance of such Subordinated Notes) such that the aggregate purchase price thereof equals or exceeds, on any determination date, 5% of the Aggregate Collateral Balance in accordance with and pursuant to Articles 6(1) and 6(3)(d) of the Securitisation Regulation as in effect on the Issue Date.

US Risk Retention: The Retention Holder does not intend to retain a risk retention interest contemplated by the U.S. Risk Retention Rules in connection with the transaction or the Notes, in reliance on the Foreign Safe Harbor.