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Barings Euro CLO 2021-1 DAC: 15 May 2021

The assets securing the Notes will consist of a portfolio of predominantly Secured Senior Obligations, Secured Senior Notes, Unsecured Senior Obligations, Second Lien Loans, Mezzanine Obligations and High Yield Bonds, and will be managed by Barings (U.K.) Limited (the Collateral Manager).

Eligibility criteria (includes): it is a Secured Senior Obligation, a Corporate Rescue Loan, an Unsecured Senior Obligation, a Mezzanine Obligation, a Second Lien Loan or a High Yield Bond; it is not a Defaulted Obligation or a Credit Risk Obligation; it is not a Structured Finance Security or a Synthetic Security; it is not a lease; it is not a Zero Coupon Security, Step-Up Coupon Security or Step-Down Coupon Security; other than in the case of Corporate Rescue Loans, it is an obligation which has a Moody’s Rating of “Caa2” or higher and a Fitch Rating of “CCC” or higher; it is not a Project Finance Loan; it is purchased at a price not less than 60.0% of the Principal Balance thereof.

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Collateral Obligations the Aggregate Principal Balance of which is equal to at least €380mln, which is approximately 95% of the Target Par Amount.

The Notes (other than the Retention Notes) are being offered by the Issuer through Barclays Bank plc in its capacity as placement agent of the offering of such Notes subject to prior sale.

EU & UK Risk Retention: The Collateral Manager shall act as Retention Holder for the purposes of the EU Retention and Transparency Requirements and will undertake to purchase (on the Issue Date and on each subsequent date of additional issuances of the Notes) and retain on an ongoing basis, for its own account, a material net economic interest in the transaction in the form specified in Article 6(3)(a) of the Securitisation Regulation as in force on the Issue Date, comprising not less than 5% of the Principal Amount Outstanding of each Class of Notes, for the purposes of compliance with the EU Retention and Transparency Requirements.

US Risk Retention: In the LSTA Decision, the United States Court of Appeals for the District of Columbia held that regulators lacked Congressional authority to designate the collateral manager of an open-market CLO as the “sponsor” of such CLO. As a result, no party involved in the transaction will obtain on the Issue Date and retain any Notes intended to satisfy the U.S. Risk Retention Rules.