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Carlyle Euro CLO 2020-2 DAC: 10 January 2021

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 60.0% of the Principal Balance of such Collateral Obligation.

The transaction features a 3-yr non-call period and a 4-yr 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 €400mln, representing approximately 100.00% 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 Morgan Stanley & Co. International plc 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.