Gresham Capital CLO IV B.V. - Irish Stock Exchange

the downgraded Selling Institution or Synthetic Security Obligor (as the case may be)
with one which has the appropriate higher credit rating to ensure the limits are met.
In the event that the downgraded Selling Institution or Synthetic Security Obligor has not been
replaced within 30 days in accordance with paragraph (2) above and the limits set out in the
above table are still exceeded then one or more Participations or Synthetic Securities (as the
case may be) of the relevant Selling Institution or Synthetic Security Obligor will be
downgraded by the same number of rating categories as the downgraded Selling Institution or
Synthetic Security Obligor until such time as the Selling Institution or Synthetic Security
Obligor (as the case may be) has been replaced by one which has the appropriate higher credit
rating to ensure that the above limits are met;
(B) in the case of a Participation, following such acquisition, the aggregate Principal Balance of
all Collateral Debt Securities constituting interests in Collateral Debt Securities acquired by
way of a Participation involving more than one intermediary party from Selling Institutions is
not more than 5 per cent. of the Maximum Investment Amount (or any higher amount subject
to the receipt of Rating Agency Confirmation in respect thereto);
(xi) the aggregate principal amount of (i) Bank Loans of any single obligor may not be more than
€7,500,000 or £5,061,000, save that in the case of up to four obligors, the aggregate principal
amount of Bank Loans of two such obligors may equal up to €11,500,000 or £7,760,200 each and
the aggregate principal amount of Bank Loans of the other two such obligors may equal up to
€9,000,000 or £6,073,200 each and (ii) Mezzanine Loans, Second Lien Loans and CLO Securities
of any single obligor may not be more than €4,500,000 or £3,036,600 save that in the case of up to
five obligors, the aggregate principal amount of Mezzanine Loans, Second Lien Loans and CLO
Securities may equal up to €6,000,000 or £4,048,800;
(xii) no Collateral Debt Security comprised in a Fitch Industry Category may be acquired if, following
such purchase, more than 15 per cent. of the Maximum Investment Amount will consist of
Collateral Debt Securities comprised in such Fitch Industry Category; and
(xiii) no Collateral Debt Security comprised in a Fitch Industry Category may be acquired if, following
such purchase, more than 35 per cent. of the Maximum Investment Amount will consist of
Collateral Debt Securities comprised in the three largest Fitch Industry Categories.
For the purposes of the Eligibility Criteria, any Sterling amounts which are to be converted into Euro shall
be converted using the Issue Date Spot Rate.
The failure by any Collateral Debt Security to satisfy any of the Eligibility Criteria at any time after its
acquisition shall be of no consequence.
For the purposes of the Eligibility Criteria:
“Cumulative Sterling Defaults” means the principal amount outstanding of all Sterling Collateral Debt
Securities which have become Defaulted Securities since the Issue Date.
“Cumulative Sterling Realised Losses” means Cumulative Sterling Defaults minus Cumulative Sterling
Realised Recoveries.
“Cumulative Sterling Realised Recoveries” means all recoveries received in respect of Sterling Collateral
Debt Securities since the Issue Date.
“Fitch Industry Category” means each of the categories listed below plus any other industry category
published by Fitch other than any industry category which is no longer used by Fitch at the relevant point in
time.
Industry Categories
Aerospace & Defence
Automobiles
Banking & Finance
Broadcasting/Media/Cable
Building & Materials
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