REG - Clavis Securities - Notice to Noteholder - Series 2006-01 LIBOR

Deutsche Boerse AGAnnouncement

12/11/2021 16:35

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RNS Number : 2804S  Clavis Securities PLC  12 November 2021

THIS NOTICE IS IMPORTANT AND REQUIRES THE IMMEDIATE ATTENTION OF NOTEHOLDERS.
IF NOTEHOLDERS ARE IN ANY DOUBT AS TO THE ACTION THEY SHOULD TAKE, THEY SHOULD
SEEK THEIR OWN FINANCIAL AND LEGAL ADVICE, INCLUDING AS TO ANY TAX
CONSEQUENCES, IMMEDIATELY FROM THEIR STOCKBROKER, SOLICITOR, ACCOUNTANT OR
OTHER INDEPENDENT FINANCIAL OR LEGAL ADVISER.

NOTICE TO THE HOLDERS OF THE OUTSTANDING

GBP 125,000,000 Class A3a Notes due 2031

(Common Code: 025545770; ISIN: XS0255457706)

(the "Class A3a Notes")

 

EUR 181,950,000 Class A3b Notes due 2031

(Common Code: 025543874; ISIN: XS0255438748)

(the "Class A3b Notes")

GBP 12,250,000 Class M1a Notes due 2039

(Common Code: 025542444; ISIN: XS0255424441)

(the "Class M1a Notes")

EUR 45,000,000 Class M1b Notes due 2039

(Common Code: 025543904; ISIN: XS0255439043)

(the "Class M1b Notes")

GBP 24,000,000 Class M2a Notes due 2039

(Common Code: 025542541; ISIN: XS0255425414)

(the "Class M2a Notes")

GBP 2,000,000 Class B1a Notes due 2039

(Common Code: 025542592; ISIN: XS0255425927)

(the "Class B1a Notes")

EUR 16,800,000 Class B1b Notes due 2039

(Common Code: 025544072; ISIN: XS0255440728)

(the "Class B1b Notes")

GBP 8,100,000 Class B2a Notes due 2039

(Common Code: 025542681; ISIN: XS0255426818)

(the "Class B2a Notes")

of the Series 2006-01

issued by

Clavis Securities plc

(the "Issuer")

under its Asset Backed Note Programme on 8 June 2006

(the "Transaction")

The Class A3a Notes, the Class A3b Notes, the Class M1a Notes, the Class M1b
Notes, the Class M2a Notes, the Class B1a Notes, the Class B1b Notes and the
Class B2a Notes are together, the "Notes".

Capitalised terms used, but not defined, in this notice have the meaning given
to them in Edition 1 of the standard provisions document dated 14 June 2006 in
relation to the Transaction and signed by the Note Programme Arranger for the
purpose of identification (as amended from time to time, the "Standard
Provisions Document") and the Transaction Documents referred to therein.

Cessation of LIBOR

Since July 2017, there has been a concerted and intensive global
regulator-driven effort to encourage, and ultimately effect, the transition
away from the use of interbank offered rates, including the GBP London
Interbank Offered Rate ("LIBOR"), in financial instruments to risk-free rates
or other appropriate benchmarks.

In January 2020, the Bank of England (the "BoE"), the UK Financial Conduct
Authority (the "FCA") and the Working Group on Sterling Risk-Free Reference
Rates (the "RFR Working Group") published a joint statement outlining
priorities and milestones for 2020 on LIBOR transition.

On 5 March 2021, the FCA formally announced that the future cessation and loss
of representativeness of LIBOR will take place on 31 December 2021. The FCA
will no longer compel panel banks to submit to LIBOR beyond 31 December 2021
and the FCA will no longer use its powers to require the benchmark
administrator of LIBOR to continue to use its powers to publish LIBOR on the
basis of panel bank submissions. In addition, the BoE and the FCA have
mandated the RFR Working Group to promote a broad-based transition to the
Sterling Overnight Index Average ("SONIA") across sterling bond, loan and
derivative markets, so that SONIA is established as the primary sterling
interest rate benchmark by the end of 2021. Therefore, the continuation of
LIBOR on the current basis will cease after 2021, and regulators have urged
market participants to take active steps to implement the transition to SONIA
and other risk-free rates ("RFRs") ahead of this deadline.

On 29 September 2021, the FCA published its proposal to permit the use of a
"synthetic" LIBOR, calculated off a SONIA basis pursuant to the exercise of
the FCA's power under Article 23D of Regulation (EU) No. 2016/1011 as it forms
part of domestic law by virtue of the European Union (Withdrawal) Act 2018
(the "UK Benchmarks Regulation"), for certain "legacy contracts" after the end
of 2021. The scope of "legacy contracts" will be determined by the FCA
following the completion of its consultation with market participants and
global stakeholders (see:
https://www.fca.org.uk/publication/consultation/cp21-19.pdf
(https://www.fca.org.uk/publication/consultation/cp21-19.pdf) ). Assuming that
the proposals in the consultation are implemented, the Notes and the
Transaction should fall within the scope of "legacy contracts" and therefore
qualify to use 3-month "synthetic" LIBOR (among other tenors) after the end of
2021 which rate will be a publicly quoted 3-month term SONIA reference rate
plus a spread adjustment of 0.1193%. However, even if the FCA proposals are
implemented, there is no guarantee that any such synthetic LIBOR will be
available beyond the end of 2022, nor that the FCA may not impose future use
restrictions on such synthetic LIBOR. As such, transition to SONIA of
instruments such as the Notes is still encouraged by the FCA.

Key LIBOR-linked exposures

By way of overview, the Transaction includes the following LIBOR-linked
elements:

1.           Notes with a floating rate of interest linked to LIBOR;

2.           a Series Investment No.1 Account and Series Investment
No.2 Account with a floating rate of interest linked to LIBOR;

3.           a Liquidity Facility with a floating rate of interest
and Associated Costs Rate linked to LIBOR; and

4.           Series Hedge Agreements with floating rates of interest
linked to LIBOR,

which in each case are subject to the terms of the Transaction Documents and
the Note Conditions.

The below provisions are subject to the Transaction Documents (as the same may
have been amended or restated from time to time).

Overview

The Issuer is considering certain amendments to the Transaction Documents to
replace LIBOR with an alternative reference rate before the discontinuation of
LIBOR and the activation of fall-back positions (if any) in such documents.
Noteholders are requested to disclose their identity and holdings to the
Issuer in order to participate in discussions relating to the replacement
methodology and are encouraged to review the Note Conditions and the
Transaction Documents in full (in particular any fall‑back provisions
applicable in case of unavailability of LIBOR) and take their own advice as to
the potential implications of the discontinuation of LIBOR.

The Issuer is considering soliciting consent for amendments to the Transaction
Documents from Noteholders. Any such solicitation will take place as soon as
possible to enable the Issuer sufficient time to implement the replacement of
LIBOR with an alternative reference rate with effect from the Interest Payment
Date falling in March 2022, being the first Interest Payment Date falling
following the cessation of LIBOR at the end of 2021. Should Noteholders not
disclose themselves and participate in discussions, the preferences of
Noteholders may not be taken into consideration in preparing the final
proposal for Noteholders to vote on by way of a Noteholder Extraordinary
Resolution at meetings of the Noteholders.

LIBOR fall-backs (if any)

A.          Notes with a floating rate of interest linked to LIBOR

If, following the discontinuation of LIBOR, the relevant Benchmark Rate
Reference Banks do not provide the Interest Calculation Agent with Benchmark
Rate Quotations in respect of the relevant Benchmark Rate and the other banks
selected by the Interest Calculation Agent as contemplated in paragraph 5.4 of
the Standard Liability Provisions are also not providing quotes, the Benchmark
Rate shall be the Benchmark Rate most recently determined in relation to the
relevant Interest Liability, as set out in paragraph 5.5 of the Standard
Liability Provisions. If the rate of interest is determined by reference to a
calculation made on a previous historic date on an ongoing basis, this would
have the effect of converting the existing floating rate of interest to a
fixed rate of interest.

B.          Series Investment No.1 Account and Series Investment No.2
Account bearing rate of interest linked to LIBOR

The Series Investment Account Interest Rate is based on the then rate of
Current Note GBP Libor (being the then prevailing Benchmark Rate in respect
of the Class B2a Notes - i.e. LIBOR - at that time as determined and
calculated under the Note Specific Conditions). No alternative interest rate
is provided for in the Transaction Documents. This will potentially result in
no effective interest rate being applied to Series Investment No.1 Account
and Series Investment No.2 Account.

C.          Liquidity Facility bearing rate of interest linked to
LIBOR

In respect of each Series Liquidity Facility Drawing, the Issuer shall pay
interest on each such Liquidity Facility Drawing on the basis that such
interest shall accrue, be calculated and be paid in accordance with and
subject to the terms of the provisions set out in section 1 (Standard Interest
Liability Provisions) of the Standard Liability Provisions and in all other
respects such Standard Interest Liability Provisions shall apply in the same
manner as they are expressed to apply to interest on the Class A1a Notes
(regardless of whether any Class A1a Notes are outstanding at the relevant
time). Taking into account that the relevant Benchmark Rate is LIBOR, please
refer to paragraph 1 (Notes with a floating rate of interest linked to LIBOR)
above.

D.          Series Hedge Agreements with floating rates of interest
linked to LIBOR

Floating rates of interest payable under the Series Hedge Agreements are based
on the then Current Note GBP Libor determined in accordance with the Note
Conditions for the relevant Note Interest Payment Period (being the then
prevailing Benchmark Rate in respect of the Class B2a Notes - i.e., LIBOR - at
that time as determined and calculated under the Note Specific Conditions).
This is the rate payable by the Series Hedge Providers in relation to the
Series Hedge Agreements. Taking into account that the relevant Benchmark Rate
in relation to each Class of Notes denominated in GBP is LIBOR, please refer
to paragraph A (Notes with a floating rate of interest linked to LIBOR) above.
Note that although the 2006 ISDA Definitions have been incorporated into the
Series Hedge Agreements, the LIBOR fallbacks as embedded in Supplements 70,
74, 75 and 76 to the 2006 ISDA Definitions will not apply in relation to the
Series Hedge Agreements.

Notwithstanding the above, in relation to the Series Tracker Rate Hedge
Agreements, the Issuer is required to pay an amount with a floating rate of
interest linked to the rate for deposits in Sterling which appears on
http://www.bankofengland.co.uk/ (http://www.bankofengland.co.uk/) , or such
other reliable sources as agreed between the parties. If such rate is not
available or such other reliable source cannot be accessed between the
parties, then the fall-back rate will be based on a floating rate of interest
linked to GBP-LIBOR-BBA (as defined in the 2006 ISDA Definitions). The
fall-back for GBP-LIBOR-BBA is set out in the 2006 ISDA Definitions, which
state that if such rate does not appear on the Reuters Screen LIBOR01 page,
the relevant rate will be determined as if the parties had specified
"GBP-LIBOR-Reference Banks" as the applicable floating rate.
"GBP-LIBOR-Reference Banks" is defined in the 2006 ISDA Definitions as a rate
determined on the basis of the rates at which deposits in Sterling are offered
by four major banks in the London interbank market and the arithmetic mean of
the quotations received. Following the cessation of LIBOR, the expectation is
that "GPB-LIBOR-Reference Banks" will become inoperable as major banks will
not provide the required quotations.

Restrictions on Amendments

Any proposed amendment to the Transaction Documents governing the live LIBOR
exposures in order to implement the transition from Sterling LIBOR to SONIA or
an alternative reference rate (including the determination of any credit
spread adjustment and any consequential amendments to the Transaction
Documents to give effect thereto) will require the approval of Noteholders by
way of Extraordinary Resolutions passed by Noteholders in accordance with the
Note Conditions and the Standard Series Note Trust Provisions Document. Such
amendments will also require the approval of certain parties to those
Transaction Documents. The Issuer is, together with its legal counsel,
preparing draft amendment documentation which will be shared with Noteholders
as part of the Issuer's request for consent.

The Interest Calculation Agent has no discretion in relation to the
determination of the Interest Rate and is obliged to determine the same in
accordance with the Note Conditions and the Transaction Documents. Neither the
Series Note Trustee nor the Security Trustee is in a position to exercise any
discretionary power in relation to any proposed amendment to the Transaction
Documents in connection with LIBOR transition as any alteration of the
Interest Rate applicable in respect to Notes is a Series Basic Terms
Modification. A Series Basic Terms Modification in relation to a Series shall
not be effective unless sanctioned by a Noteholder Extraordinary Resolution
duly passed at separate meetings of the holders of each Class of Notes in that
Series. As a result, the Issuer will need to obtain consent from the holders
of each Class of Notes, including those with a floating rate of interest
linked to EURIBOR.

Nothing in this notice is intended to amount to an invitation or inducement to
engage in investment activity, the exchange of commercially sensitive
information and/or any other form of coordination, other than what is strictly
necessary for the review of the Note Conditions and the Transaction Documents
in light of proposed amendments to such documents, including in relation to
the transition from LIBOR to an alternative reference rate. Please note that
any information disclosed amongst Noteholders might constitute inside
information under the Market Abuse Regulation (EU) 596/2014 as it forms part
of domestic law by virtue of the European Union (Withdrawal) Act 2018 as
regards the Issuer and the Notes. By contacting the Issuer and engaging with
other Noteholders (if applicable), all Noteholders confirm that they are aware
that any such information disclosed between Noteholders might constitute
inside information and that they are aware of their legal responsibilities in
that respect.

In accordance with normal practice, neither the Series Note Trustee nor the
Security Trustee assumes any responsibility for this notice. Neither the
Series Note Trustee nor the Security Trustee has verified, nor expresses any
opinion as to the contents of, this notice, nor makes any representation that
all relevant information has been disclosed, or has been disclosed accurately,
to Noteholders.

Accordingly, the Series Note Trustee and the Security Trustee urge Noteholders
who are in any doubt as to the impact of this notice to seek their own
independent legal and/or financial advice.

Procedure for disclosing identity and holdings

The Issuer wishes to initiate engagement strategy with Noteholders and has
appointed i2 Capital Markets Ltd as its information agent (the "Information
Agent") to facilitate communication between the Noteholders and the Issuer,
initially by requesting Noteholders (or their respective custodians and
intermediaries) to disclose their identities and holdings of the Notes to the
Information Agent as soon as possible.

Noteholders are encouraged to disclose themselves as a matter of urgency by
contacting the Information Agent. Noteholders (or their respective custodians
and intermediaries) should respond to this disclosure request by no later than
4:00pm (London Time) on 26 November 2021 via one of two options below:

1.         Providing their information directly to the Information
Agent (including through its custodian bank, broker or other intermediary) by
registering interest at:

 
https://i2capmark.com/event-details/29/Holder/clavis-securities-plc-series-2006-1
(https://i2capmark.com/event-details/29/Holder/clavis-securities-plc-series-2006-1)
 

            Registration will allow holders (or their
representative) to receive up-to-date information, notices and materials
promptly about any forthcoming information regarding the Notes.

            In order to access this restricted information, holders
must first register as a user (follow the prompts to sign up) then access the
event relating to the Notes by completing a participation form, which will
include submitting your current proof of holding.

            Please obtain either a current custodian statement or
screenshot from your custodian who has an account with either Euroclear Bank
SA/NV ("Euroclear") and/or Clearstream Banking, S.A, Luxembourg
("Clearstream"); and/or

2.         Provide the required information, via their custodian bank,
to the relevant clearing system, Euroclear or Clearstream, through the
relevant disclosure event established for this identification request.

The Issuer and the Information Agent do not require the blocking of your
securities in order to reply to the request and custodian banks should ensure
they advise their clients of this identification request.

Any information gathered by the Information Agent will be kept strictly
confidential and for use by the Issuer (and its advisers) only.

If you have any questions or require any clarification about this notice,
please contact the Information Agent:

i2 Capital Markets Ltd

Kemp House

160 City Road

London

EC1V 2NX

Email: info@i2capmark.com (mailto:info@i2capmark.com)

Phone: +44 203 633 1212

Attention: The Directors

This notice is given by the Issuer on 12 November 2021.

 

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