Wood Street CLO II, an offshore special purpose vehicle, will enter into a swap with one or more counterparties each time it purchases a non-euro obligation. Up to 25% of the underlying pool of senior and mezzanine loans can be denominated in U.S. dollars, Canadian dollars, or any currency of a Western European country.
Julian Colville, spokesman for Alcentra in London, declined comment and it could not be determined what will be paid and received in the swaps, or if any counterparties have been lined up. Credit Suisse has arranged the CLO and structuring officials from the firm could not be reached.
Alcentra is based in London and Los Angeles and was formed through the acquisition of Imperial Credit Asset Management from Imperial Credit Industries in 2002, followed by the acquisition of Barclays Capital Asset Management from Barclays Bank in 2003. It focuses on sub-investment-grade debt.