PROSPECTUS DUCHESS VI CLO BV CITIGROUP Dated 17 August ...

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the Issuer) and which meet the Eligibility Criteria or, to the extent applicable, the Reinvestment Criteria, in sufficient amounts to permit the investment or reinvestment of all or a portion of the funds then in the Principal Collection Account that are to be invested in Additional Collateral Debt Securities, a Special Redemption of the Notes may occur pursuant to Condition 7(b)(i)(C) (Redemption at the Option of the Collateral Manager). Any failure by the Collateral Manager, acting on behalf of the Issuer, to enter into required additional Hedge Transactions or to meet the targets referred to above could result in interest rate or currency mismatches or a Special Redemption of a portion of the Notes, which could adversely affect the Issuer’s ability to fund its expenditure and reduce the leverage ratio of the Class F Secured Income Notes to each Class of Rated Notes, each of which could adversely affect the level of returns to the holders of the Class F Secured Income Notes. Nature of Collateral The Collateral is subject to credit, liquidity, interest rate, equity and, in some cases, non-credit related risks. It is expected that substantially all of the Collateral Debt Securities which secure the Notes will be Bank Loans, Mezzanine Loans, Special Debt Securities, Synthetic Securities and Structured Finance Securities (or participations or sub-participations thereof) borrowed or issued by various obligors denominated in euro (or in one of the predecessor currencies of a European Union member state which has since adopted the euro as its currency) or in sterling and that such Bank Loans, Mezzanine Loans, Special Debt Securities, Synthetic Securities and Structured Finance Securities will be rated below investment grade, all of which have greater credit and liquidity risk than investment grade debt obligations. In addition, a significant portion of the Collateral will be acquired by the Collateral Manager, on behalf of the Issuer, after the Closing Date, and, accordingly, the financial performance of the Issuer may be affected by the price and availability of Collateral to be purchased that will satisfy the constraints set out below under “Description of the Portfolio – Eligibility Criteria” and “Description of the Portfolio – Reinvestment Criteria”. The amount and nature of Collateral securing the Notes have been established to withstand certain assumed deficiencies in payment resulting from defaults in respect of the Collateral Debt Securities. See “Rating of the Notes”. If any deficiencies exceed such assumed levels, however, payment of the Notes could be adversely affected. If a default occurs with respect to any Collateral Debt Security securing the Notes and the Issuer (acting on the advice of the Collateral Manager) sells or otherwise disposes of such Collateral Debt Security, it is not likely that the proceeds of such sale or disposition will be equal to the amount of principal and interest owing to the Issuer in respect of such Collateral Debt Security. If the Collateral Manager, on behalf of the Issuer is unable to acquire Collateral after the Closing Date that satisfies the constraints set out below under “Description of the Portfolio – Eligibility Criteria” and “Description of the Portfolio – Reinvestment Criteria”, the Issuer may not be able to satisfy one or more of the Coverage Tests, which could result in prepayment of the Notes. The market value of the Collateral Debt Securities in the Portfolio will generally fluctuate with, among other things, the financial condition of the obligors on or issuers of the Collateral Debt Securities or, with respect to Synthetic Securities, of the obligors on or issuers of the Reference Obligations, general economic conditions, the condition of certain financial markets, political events, developments or trends in any particular industry and changes in prevailing interest rates. The public markets for non-investment grade corporate debt securities have in the past experienced periods of volatility and periods of reduced liquidity. Changes in the market value of the Collateral Debt Securities in the Portfolio generally do not affect the Issuer’s interest or principal collections. However, a decrease in the market value of the Collateral Debt Securities in the Portfolio would adversely affect the sale proceeds that could be obtained upon the sale of the Collateral Debt Securities in the Portfolio and could ultimately affect the ability of the Issuer to pay in full or redeem the Notes. The ability of the Collateral Manager, on behalf of the Issuer to sell Collateral Debt Securities in the Portfolio prior to maturity is subject to certain restrictions in the Collateral Management Agreement as described below under “Description of the Portfolio – Sale of Collateral Debt Securities and Reinvestment Criteria”. If a Collateral Debt Security is sold or principal payments are received in respect of a Collateral Debt Security, the Collateral Manager at times may be unable to identify a suitable substitute investment or the Collateral Manager, on behalf of the Issuer may be unable to purchase a suitable substitute investment in periods of market volatility or disruption or for any number of other reasons, including the constraints set out below under “Description of the Portfolio – Eligibility Criteria” and “Description of the Portfolio – Reinvestment Criteria”. Bank Loans; Mezzanine Loans. The Collateral Debt Securities in the Portfolio may include Bank Loans lent predominantly to a variety of European borrowers which are rated below investment grade. Such loans are of a type generally incurred by the borrowers thereunder in connection with highly leveraged transactions, often (although not exclusively) to finance internal growth, acquisitions, mergers, or 40
ecapitalisations. As a result of the additional debt incurred by the borrower in the course of such a transaction, the borrower’s creditworthiness is often judged by the rating agencies to be below investment grade. The Collateral Debt Securities in the Portfolio may include Mezzanine Loans lent predominantly to a variety of European borrowers which are rated below investment grade. Mezzanine finance generally comprises a secured loan which is subordinated in terms of priority of repayment and security behind the senior debt and therefore has a higher risk profile than senior debt. Because of the greater risk, mezzanine lenders may be granted share options or warrants in the borrower which can be exercised in certain circumstances, principally being immediately prior to the borrower’s shares being sold or floated in an initial public offering. Many of the Bank Loans and Mezzanine Loans purchased by the Collateral Manager, on behalf of the Issuer will have no, or only a limited, trading market. The Collateral Manager, on behalf of the Issuer may purchase Bank Loans and Mezzanine Loans that are significantly less liquid than bank loans typically made to investment grade borrowers. Although the Collateral Manager, on behalf of the Issuer does not generally intend to dispose of Bank Loans and Mezzanine Loans prior to their maturity, the Issuer’s investment in illiquid Bank Loans and Mezzanine Loans may restrict its ability to dispose of investments in a timely fashion and for a fair price. Illiquid Bank Loans and Mezzanine Loans may trade at a discount to comparable, more liquid investments. In addition, because of the provision of confidential information, the unique and customised nature of a loan agreement and the private syndication of a loan, certain Bank Loans and Mezzanine Loans may not be purchased or sold as easily as publicly traded securities, particularly as a result of the increased degree of complexity in negotiating a secondary market purchase or sale which complexity does not exist, for example, in the high-yield bond market. Historically the trading volume in the bank loan market has been small relative to the high-yield bond market. Bank Loans and Mezzanine Loans may encounter trading delays due to their unique and customised nature and transfers may be prohibited without the consent of an agent bank or borrower. Bank Loans and Mezzanine Loans may become non-performing for a variety of reasons. Such non-performing Bank Loans and Mezzanine Loans may require substantial workout negotiations or restructuring that may entail, among other things, a substantial reduction in the interest rate, a substantial write-down of the principal of the loan and/or the deferral of payments. In addition, the Issuer may incur additional expenses to the extent it is required to seek recovery upon a default on a Bank Loan or Mezzanine Loan or participate in the restructuring of such obligation. Although the Collateral Manager may recommend the Issuer to exercise voting rights with respect to an individual Bank Loan or Mezzanine Loan, there can be no certainty that the Issuer will be able to exercise votes in respect of a sufficient percentage of voting rights with respect to such Bank Loan or Mezzanine Loan to determine the outcome of such vote. Should increases in default rates occur with respect to this type of collateral, the actual default rates of the Collateral Debt Securities in the Portfolio may exceed the hypothetical default rates assumed by investors in determining whether to purchase any of the Notes. In addition, recoveries of Defaulted Collateral Debt Securities may be lower than the hypothetical default rates assumed by investors in determining whether to purchase any of the Notes. Participations and Transfers. The Issuer may acquire interests in Collateral Debt Securities which are loans either directly (by way of novation, sale or assignment) or indirectly (by way of participation or sub-participation or through the acquisition of Synthetic Securities). Each institution from which such an interest is acquired is referred to herein as a Selling Institution. Interests in loans acquired directly by way of novation, sale or assignment are referred to herein as Transfers. Interests in loans acquired indirectly by way of participation or sub-participation are referred to herein as Participations. The purchaser of a Transfer typically succeeds to all the rights of the assigning Selling Institution and becomes entitled to the benefit of the loans and the other rights of the lender under the loan agreement. The Issuer as an assignee will generally have the right to receive directly from the borrower all payments of principal and interest to which it is entitled provided notice of such Transfer has been given to the borrower. As a purchaser of a Transfer, the Issuer typically will have the same voting rights as other lenders under the applicable loan agreement and will have the right to vote to waive enforcement of breaches of covenants. The Issuer will also have the same rights as other lenders to enforce compliance by the borrower with the terms of the loan agreement, to set off claims against the borrower and to have recourse to collateral supporting the loan. As a result, the Issuer will generally not bear the credit risk of the Selling Institution and the insolvency of the Selling Institution should have little effect on the ability of the Issuer to continue to receive payment of principal or interest from the borrower. The Issuer will, however, assume the credit risk of the borrower. Participations by the Issuer in a Selling Institution’s portion of the loan typically results in a contractual relationship only with such Selling Institution and not with the borrower under such loan. The 41
Page 1 and 2: PROSPECTUS DUCHESS VI CLO B.V. (A p
Page 3 and 4: investments or (iii) are persons fa
Page 5 and 6: (THE CODE), OR (III) ANY ENTITY WHO
Page 7 and 8: NOTWITHSTANDING ANYTHING IN THIS PR
Page 9 and 10: SUMMARY OF TERMS The following summ
Page 11 and 12: the issuance of Class A-1 Refinanci
Page 13 and 14: Revolving Loan Increased Margin. Pa
Page 15 and 16: the Collateral Manager within 120 d
Page 17 and 18: Collateral Enhancement Account as a
Page 19 and 20: the Senior Debt (other than any acc
Page 21 and 22: Deferred Interest will not be an Is
Page 23 and 24: Amount) will be applied in accordan
Page 25 and 26: Optional Redemption ...............
Page 27 and 28: In the event that any Class C Cover
Page 29 and 30: Class C Notes and, if there are no
Page 31 and 32: Moody’s Quality Case Options Dive
Page 33 and 34: and Reinvestment Criteria” below.
Page 35 and 36: Payment Date or to acquire Collater
Page 37 and 38: Noteholders and the Class F Secured
Page 39 and 40: purchasing for its own account, to
Page 41 and 42: RISK FACTORS An investment in the N
Page 43 and 44: paragraph (EE) of Condition 3(c)(i)
Page 45 and 46: (Application of Interest Proceeds o
Page 47: Purchase of Collateral Debt Securit
Page 51 and 52: Securities may be more likely to ex
Page 53 and 54: Reference Obligation. The Issuer ge
Page 55 and 56: Concentration Risk Payments in resp
Page 57 and 58: on behalf of the Issuer might breac
Page 59 and 60: not materialise or will vary signif
Page 61 and 62: Average Life and Duration of the No
Page 63 and 64: Dependence on Key Personnel Because
Page 65 and 66: Rate). The Revolving Loan Facility
Page 67 and 68: CONDITIONS OF THE NOTES The followi
Page 69 and 70: Schedule) between, amongst others,
Page 71 and 72: of which such Person is the general
Page 73 and 74: consideration for a service supplie
Page 75 and 76: Class B Regulation S Definitive Not
Page 77 and 78: Class D Regulation S Notes means th
Page 79 and 80: Class F Secured Income Rule 144A De
Page 81 and 82: Component means any Class E Note Co
Page 83 and 84: Currency Swap Payment means, in res
Page 85 and 86: Collateral Debt Security when all c
Page 87 and 88: Euro-zone has the meaning given the
Page 89 and 90: Initial Exchange Rate means £1.00
Page 91 and 92: acquisition by, or on behalf of, th
Page 93 and 94: Issuer, converted into Euro at the
Page 95 and 96: Minimum Moody’s Weighted Average
Page 97 and 98: (iv) the determination by the Trust
Page 99 and 100:
and any euro denominated Eligible I
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Proceedings has the meaning given t
Page 103 and 104:
ealisation is less than the Princip
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such Asset Swap Transaction, exclud
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Sterling Additional Collateral Acco
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(i) (j) (k) any scheduled principal
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(b) (c) such Synthetic Security wil
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the copy of the Register held by th
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(i) Application of Interest Proceed
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(S) (T) (U) (V) (W) (X) (Y) (Z) (AA
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(C) (D) (E) (F) (G) (H) (I) (J) (K)
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and/or repayment in full, to redeem
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(D) (E) (F) (G) during the Reinvest
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(vii) Application of Sterling Inter
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Principal Proceeds on Payment Dates
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(iii) (iv) (v) (vi) (vii) (viii) (i
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(b) (c) Application of Proceeds upo
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of the relevant Note holder and (ii
Page 135 and 136:
Class C Note Interest Rate, the Cla
Page 137 and 138:
(g) Interest on the Class J Combina
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(B) (C) (D) Redemption for Tax Reas
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Coverage Test is not met on any Mea
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(b) (c) (d) (e) Payments Subject to
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10. Events of Default (a) Events of
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applicable, payable in respect of,
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as directed by an Extraordinary Res
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equirements, upon payment by the cl
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materially prejudicial to the inter
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aggregate at that time of the Euro
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(c) Agent for Service of Process: t
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FORM OF THE NOTES References below
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Exchange Date means a day falling n
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BOOK-ENTRY CLEARANCE PROCEDURES The
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Participants, the ability of a pers
Page 167 and 168:
RATING OF THE SENIOR NOTES, CLASS B
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DESCRIPTION OF THE ISSUER General T
Page 171 and 172:
Holding Structure The entire issued
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● Second, to the cash flow and cr
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Netherlands. Eva's responsibilities
Page 177 and 178:
Andrew Hendley, Finance Assistant,
Page 179 and 180:
purchased during the Ramp-Up Period
Page 181 and 182:
e the obligor of the related Refere
Page 183 and 184:
Selling Institution or Synthetic Se
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(xv) the aggregate principal amount
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6.2 Conditions of Sale and/or Reinv
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Proceeds subject to the conditions
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(d) there is no downgrade on the Ra
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As part of the acquisition of or en
Page 195 and 196:
Moody’s Quality Case Options Dive
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(e) (f) (g) Geographically Based In
Page 199 and 200:
The Average Portfolio Rating is det
Page 201 and 202:
& Poor’s and no other security or
Page 203 and 204:
shall be equal to the sum of (x) al
Page 205 and 206:
The Class C Break-Even Loss Rate, a
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(on a pro rata basis) in whole or i
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(e) (f) (g) (h) permit the Issuer t
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DESCRIPTION OF THE COLLATERAL MANAG
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Liquidity Facility Agreement DESCRI
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DESCRIPTION OF THE REPORTS 1. Month
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(xiii) (xiv) (xv) (xvi) (xvii) whic
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Weighted Average Recovery Rate Test
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Interest accrued on any PIK Securit
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Securitisations”, published on 21
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such Due Period in accordance with
Page 227 and 228:
DESCRIPTION OF THE ACCOUNTS Account
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Additional Collateral Account and S
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Account Bank shall within 30 days o
Page 233 and 234:
(ii) (iii) the transfer is construe
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herein, and this description does n
Page 237 and 238:
payable in cash or property (other
Page 239 and 240:
interest on the tax, as if such dis
Page 241 and 242:
generally will realize an amount eq
Page 243 and 244:
CERTAIN ERISA CONSIDERATIONS The U.
Page 245 and 246:
SUBJECT TO SECTION 4975 OF THE CODE
Page 247 and 248:
PLAN OF DISTRIBUTION AND TRANSFER R
Page 249 and 250:
The Regulation S Notes will be issu
Page 251 and 252:
Czech Republic Each Manager has rep
Page 253 and 254:
commodity dealers as well as entiti
Page 255 and 256:
of South Africa and (b) to any enti
Page 257 and 258:
elevant jurisdiction or (b) a trans
Page 259 and 260:
outstanding (other than any nominal
Page 261 and 262:
REQUIREMENT SET FORTH IN SUCH LETTE
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REFERRED TO IN PARAGRAPH (a)(1)(i)(
Page 265 and 266:
SALE REQUIREMENT IS GIVEN. IF SUCH
Page 267 and 268:
GENERAL INFORMATION 1. Clearing Sys
Page 269 and 270:
GLOSSARY OF DEFINED TERMS £ vii
Page 271 and 272:
Currency Swap (Income) Receipt.....
Page 273 and 274:
Rating Agency Confirmation.........
Page 275:
REGISTERED OFFICE OF THE ISSUER Par
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PROSPECTUS DUCHESS VI CLO BV CITIGROUP Dated 17 August ...

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