Bain Capital Euro CLO 2018-1: 27 May 2018

The assets securing the notes will consist primarily of a portfolio of Senior Obligations, Mezzanine Obligations and High Yield Bonds, and will be managed by Bain Capital Credit, Ltd. (formerly Sankaty Advisors, Limited).

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 (unless such Defaulted Obligation is being acquired in an Exchange Transaction); it is not a lease; it is not a Structured Finance Security, Letter of Credit or a Synthetic Security; it is not a Zero Coupon Security; it has a Fitch Rating of not lower than “CCC” and a Moody’s Rating of not lower than “Caa3”; it is not a debt obligation which pays interest only and does not require the repayment of principal; it is not a Step-Down Coupon Security; it is not a Project Finance Loan; it is not a Current Pay Obligation and is not a PIK 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 Obligations the Aggregate Principal Balance of which is equal to at least €327mln, which is approximately 93.4% of the Target Par Amount.

CRR 405: In accordance with the EU Retention Requirements, the Collateral Manager will undertake to subscribe for on the Issue Date and retain on an ongoing basis for so long as any notes are outstanding a material net economic interest comprised of not less than 5% of the Principal Amount Outstanding of each class of notes pursuant to paragraph 1(a) of Article 405 of the CRR, paragraph 2(a) of the Solvency II Retention Requirements and Article 51(1)(a) of the AIFMD.

U.S. Risk Retention: Based on the D.C. Circuit Ruling, no party currently intends to obtain on the Issue Date and retain any Notes intended to satisfy the U.S. Risk Retention Rules nor will any party seek to satisfy any requirements set forth under the U.S. Risk Retention Rules.