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Sculptor European CLO XI DAC: 02 May 2024

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 Sculptor Europe Loan Management Limited.

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; other than a Corporate Rescue Loan, it is not a Defaulted Obligation or a Credit Risk Obligation (unless such Defaulted Obligation is a Received Obligation); it is not (i) a Structured Finance Security (ii) a Letter of Credit or (iii) 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); other than in the case of Corporate Rescue Loans, Uptier Priming Debt or Current Pay Obligations, it has a S&P Rating of not lower than “CCC-” and 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, 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 Obligations the Aggregate Principal Balance of which is equal to at least €330mln, which is approximately 94.3% of the Target Par Amount.

The Notes are being offered by the Issuer through Barclays Bank PLC in its capacity as initial purchaser of the offering of such Subscribed Notes subject to prior sale.

EU Risk Retention: Sculptor Europe Loan Management Limited shall act as Retention Holder for the purposes of the EU Retention Requirements and will undertake, on the Issue Date, to subscribe for and (except to the extent permitted in accordance with the EU Retention Requirements) hold, on an ongoing basis for so long as any Class of Notes remains outstanding, a material net economic interest of not less than 5% of the nominal value of each of the tranches sold or transferred to investors pursuant to Article 6(3)(a) of the Securitisation Regulation, as in force as at the Issue Date.

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 US Risk Retention Rules.