BlueMountain Fuji EUR CLO IV: 24 March 2019

The assets securing the notes will consist predominantly of a portfolio of Secured Senior Loans, Secured Senior Bonds, Unsecured Senior Obligations, Mezzanine Obligations and High Yield Bonds, and will be managed by BlueMountain Fuji Management LLC, acting through its Series A entity (known as BlueMountain A) in its capacity as investment manager.

Eligibility criteria (includes): it is a Secured Senior Loan, a Secured Senior Bond, a Corporate Rescue Loan, an Unsecured Senior Obligation, a Mezzanine Obligation, a Second Lien Loan or a High Yield Bond; it is not a lease; it is not a Structured Finance Security, a pre-funded letter of credit or a Synthetic Security; it is not a Defaulted Obligation or a Credit Impaired Obligation; it is not a Zero Coupon Security; it has an Fitch Rating of not lower than “CCC-” and a Moody’s Default Probability Rating of not lower than “Caa3” (in each case unless it is a Corporate Rescue Loan); it is not a Project Finance Loan; it is not a Bridge Loan nor a Deferring Security; it has a minimum purchase price of 65% of the Principal Balance of such Collateral Debt Obligation.

The Issuer anticipates that, by the Issue Date, the Investment Manager on its behalf will have purchased or committed to purchase Collateral Debt Obligations, the Aggregate Principal Balance of which equals at least €280,000,000, representing 80.0% of the Target Par Amount.

EU Risk Retention: BlueMountain will, for so long as any Class of Rated Notes and Class M Notes remain outstanding, undertake and agree on the Issue Date to acquire through the Retention Holder and retain on an ongoing basis a material net economic interest in the first loss tranche, by way of holding Subordinated Notes with an aggregate Principal Amount Outstanding, at any time, of not less than 5% of the Aggregate Collateral Balance.