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BlueMountain EUR 2021-1 CLO: 28 March 2021

The assets securing the Notes will consist predominantly of a portfolio of Secured Senior Loans, Secured Senior Bonds, Unsecured Senior Obligations, Mezzanine Obligations, Second Lien Loans and High Yield Bonds, and will be managed by Assured Investment Management LLC in its capacity as investment manager and retention holder.

The Notes will be issued at a maximum issue price of up to 100% of the principal amount thereof. The Notes (other than certain Subordinated Notes that are being acquired by IAIs from the Issuer on the Issue Date) will be offered by the Issuer through Barclays Bank plc in its capacity as sole arranger and initial purchaser of the offering of such Notes subject to prior sale.

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 (including, for the avoidance of doubt, a finance lease); it is not a Structured Finance Security, a pre-funded letter of credit or a Synthetic Security; it is not a Zero Coupon Security; it is an obligation of an Obligor or Obligors Domiciled in a Non-Emerging Market Country (as determined by the Investment Manager acting on behalf of the Issuer); it is not a Project Finance Loan; it has a minimum purchase price of 60.0% 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 €315mln, representing 90% of the Target Par Amount.

EU Risk Retention: On the Issue Date Assured Investment Management will, for so long as any Class of Rated Notes remains outstanding, hold a material net economic interest of not less than 5% of the nominal value of each of the tranches sold or transferred to investors pursuant to Article 6(3)(a) of each of the Securitisation Regulations as in force as at the Issue Date.

US Risk Retention: Based on the LSTA Decision, no transaction party currently intends to obtain on the Issue Date and retain after the Issue Date any Notes for the purpose of satisfying the U.S. Risk Retention Rules