Jubilee CLO 2020-XXIV DAC: 14 January 2021
The assets securing the Notes will consist predominantly of a portfolio of Secured Senior Loans, Secured Senior Bonds, Unsecured Senior Obligations, Mezzanine Obligations and High Yield Bonds, and will be managed by Alcentra Limited.
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 a Moody's Default Probability Rating of not lower "Caa3" (in each case unless it is a Corporate Rescue Obligation or such obligation is being acquired in a Bankruptcy Exchange); 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 Step-Up Coupon Security or a Step-Down Coupon Security; it is not a Project Finance Loan; it is purchased at a price not less than 60.0% of par.
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 is at least €295mln, representing approximately 98.0% of the Target Par Amount.
The Notes will be offered by the Issuer through Merrill Lynch International in its capacity as initial purchaser of the offering of such Notes subject to prior sale.
EU Risk Retention: Alcentra Viaduct Fund (Master Fund) L.P., the Retention Holder, will act as originator and retention holder for the purposes of the EU Retention and Disclosure Requirements and the "sponsor" under the U.S. Risk Retention Rules. The Retention Holder will undertake to acquire on the Issue Date and hold, 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 an original Principal Amount Outstanding such that the aggregate purchase price thereof equals or exceeds 5% of the Aggregate Collateral Balance, for the purposes of complying with Article 6(3)(d) of the EU Retention Requirements as they apply as at the Issue Date.
US Risk Retention: The Retention Holder will acquire the Subordinated Notes on or prior to the Issue Date in an aggregate amount which will be equal to at least 5% of the "fair value" (as defined in the U.S. Risk Retention Rules) of all of the Notes as of the Issue Date.