BNPP AM Euro CLO 2017 BV: 14 September 2017

The assets securing the Notes will consist of a portfolio of primarily Senior Loans and Mezzanine Loans, and will be managed by BNP PARIBAS ASSET MANAGEMENT France SAS.

Eligibility criteria (includes): it is a Secured Senior Loan, a DIP Loan, an Unsecured Senior Loan, a Mezzanine Loan or a Second Lien Loan; it is either (i) denominated in Euros and is not convertible into or payable in any other currency or (ii) other than in the case of a Revolving Obligation or a Delayed Drawdown Collateral Obligation, denominated in United States dollars, pounds sterling or any other lawful currency of a Qualifying Country; it is not a Bond; it is not a Structured Finance Security or a Synthetic Security; it is not a lease; it is not a Fixed Rate Obligation; it is not a Step-Up Coupon Obligation or Step-Down Coupon Obligation; it is not a Zero Coupon Obligation; other than in the case of DIP Loans, it is not an obligation which has a Moody’s Rating of “Caa3” or lower or a Fitch Rating of “CCC-” or lower; it is an obligation of an Obligor or Obligors Domiciled in a Qualifying Country (as determined by the Collateral Manager acting on behalf of the Issuer); it is not a Project Finance Loan.

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 €197.88mln, which is approximately 56.5% of the Target Par Amount.


CRR 405: The Collateral Manager (in its capacity as the Retention Holder) will, pursuant to the Retention Undertaking Letter, undertake to acquire on the Issue Date and retain the Retention Notes in order to comply with the EU Retention Requirements.

U.S. Credit Risk Retention: In order to comply, the Collateral Manager (in its capacity as the Retention Holder) will acquire and retain an eligible vertical interest consisting of not less than 5% of the principal amount of the Notes of each Class issued by the Issuer on the Issue Date.