BlackRock European CLO V: 09 May 2018

The assets securing the Notes will consist of a portfolio of primarily Senior Loans, Senior Secured Bonds, Mezzanine Obligations and High Yield Bonds, and will be managed by BlackRock Investment Management (UK) Limited.

Eligibility criteria (includes): it is a Senior Secured Loan, a Senior Secured Bond, an Unsecured Senior Loan, a Mezzanine Obligation, a Second Lien Loan, a Corporate Rescue Loan, or a High Yield Bond; it is not a Defaulted Obligation or a Credit Impaired Obligation; it is not a lease; it is not a Zero Coupon Security; other than in the case of a Corporate Rescue Loan, it has an Fitch Rating of not lower than “CCC” and a Moody’s Rating of not lower than “Caa3”; it is not a Project Finance Loan; it is not a Step-Down Coupon Security; it is not an Equity Security, including any obligation convertible into an Equity Security.

The Issuer anticipates that, by the Issue Date, it or the Collateral Manager on its behalf will have purchased or committed to purchase Collateral Debt Obligations, the Aggregate Principal Balance of which is equal to at least €360mln which is approximately 90.0% of the Target Par Amount.

The Notes are being offered by the Issuer through Merrill Lynch International in its capacity as initial purchaser of the offering of such Notes.


CRR 405: The Collateral Manager, in its separate capacity as Retention Holder, will undertake, on the Issue Date, to subscribe for and hold on an ongoing basis, as sponsor, not less than 5% of the nominal value of each of the tranches sold or transferred to investors within the meaning of paragraph 1(a) of Article 405 of the CRR, paragraph 1(a) of Article 51 of the AIFMD Level 2 Regulations and paragraph 2(a) of Article 254 of the Solvency II Level 2 Regulation.

US Risk Retention: The Collateral Manager has informed the Issuer that it will not be required to retain the Minimum Risk Retention Requirement pursuant to the U.S. Risk Retention Rules provided, however, that the Collateral Manager in its capacity as Retention Holder will retain the Retention Notes on the Issue Date with the intention of complying with the EU Retention Requirements.