Bosphorus CLO V: 13 December 2019

The assets securing the Notes will consist primarily of a portfolio of Senior Secured Loans and Senior Secured Bonds in respect of which Commerzbank AG, London Branch is acting as investment manager.

Eligibility criteria (includes): it is a Senior Secured Loan, Senior Secured Bond, Second Lien Loan, Mezzanine Obligation, Unsecured Obligation or High Yield Bond; unless it is a Corporate Rescue Loan, it is not an obligation which has a Moody’s Rating lower than “Caa3”; it is an obligation of an Obligor or Obligors Domiciled in an Eligible Country; it is not a Structured Finance Obligation, Synthetic Security, Zero-Coupon Security, Step-Up Coupon Security, Step-Down Coupon Security, Deferring Security, Project Finance Loan; it is not a lease; it has a Moody’s Rating and a Fitch Rating; it is not a Bridge Loan; it is not a debt obligation which pays interest only and does not require the repayment of principal; it has a minimum purchase price of 60.0% of the principal balance of such obligation.

The Issuer anticipates that by the Issue Date it will have purchased or committed to purchase Portfolio Assets the Aggregate Principal Balance of which equals approximately €340mln (representing approximately 97.0% of the Target Par Amount).

The Notes are being offered by the Issuer through BNP Paribas in its capacity as Initial Purchaser of the Notes, subject to prior sale.

EU Risk Retention: In accordance with the EU Retention and Transparency Requirements, the Originator, in its capacity as the Retention Holder, will represent and undertake to hold the Retention Notes on the terms set out in the Retention Undertaking Letter (please see relevant section in the prospectus).

US Risk Retention: The Retention Holder will retain the Retention Notes in order to satisfy the requirements for retaining an “eligible vertical interest” under the U.S. Risk Retention Rules.