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

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For the purposes of the Minimum Weighted Average Spread Test and the S&P Minimum Weighted Average Recovery Rate Test, the Collateral Manager shall, on behalf of the Issuer, not later than five Business Days prior to the Target Date and may at any time thereafter, upon five Business Days’ notice, notify the Trustee, the Collateral Administrator and the Rating Agencies of the S&P quality case (“S&P Quality Case”) which is to apply (which election shall be at the Collateral Manager’s discretion) in respect of such tests in respect of any Measurement Date occurring on or after the Target Date, as referred to in the S&P test matrix (the “S&P Test Matrix”) set out below. In no circumstances shall the Collateral Manager be under any obligation to elect that a different S&P Quality Case shall apply. S&P Test Matrix Quality Case Options Minimum Weighted Average Spread Test AAA AA A BBB BB S&P Minimum Weighted Average Recovery Rate Test (per cent.) 1 200 57.5 per cent. 61.5 per cent. 65.5 per cent. 68.0 per cent. 70.5 per cent. 2 210 57.0 per cent. 61.0 per cent. 65.0 per cent. 67.5 per cent. 70.0 per cent. 3 220 56.5 per cent. 60.5 per cent. 64.5 per cent. 67.0 per cent. 69.5 per cent. 4 230 56.0 per cent. 60.0 per cent. 64.0 per cent. 66.5 per cent. 69.0 per cent. 5 240 55.5 per cent. 59.5 per cent. 63.5 per cent. 66.0 per cent. 68.5 per cent. 6 250 55.0 per cent. 59.0 per cent. 63.0 per cent. 65.5 per cent. 68.0 per cent. 7 260 53.5 per cent. 57.5 per cent. 61.5 per cent. 64.0 per cent. 66.5 per cent. 8 270 51.0 per cent. 55.0 per cent. 59.0 per cent. 61.5 per cent. 64.0 per cent. 9 280 50.0 per cent. 54.0 per cent. 58.0 per cent. 60.5 per cent. 63.0 per cent. Subject to the provisions provided below, on and after the Target Date, the Collateral Manager (on behalf of the Issuer), will have the option to elect which of the cases set forth in the matrix below (the “Fitch Test Matrix”) shall be applicable for the purposes of the Maximum Weighted Average Fitch Rating Factor Test, the Minimum Weighted Average Spread Test and the Minimum Fitch Weighted Average Recovery Rate Test. (i) For any given case, the applicable column for performing the Maximum Weighted Average Fitch Rating Factor Test will be the column which corresponds to the elected case. (ii) For any given case, the applicable row for performing the Minimum Weighted Average Spread Test will be the row which corresponds to the elected case. On the Target Date, the Collateral Manager (on behalf of the Issuer), will be required to elect which case shall apply initially. Thereafter, on ten Business Days’ written notice to the Issuer, the Trustee and the Collateral Administrator, the Collateral Manager (on behalf of the Issuer) may elect to have a different case apply, provided that the Maximum Weighted Average Fitch Rating Factor Test, the Minimum Weighted Average Spread Test and the Minimum Fitch Weighted Average Recovery Rate Test applicable to the case to which the Collateral Manager (on behalf of the Issuer), desires to change are satisfied. In no event will the Issuer or the Collateral Manager (on behalf of the Issuer) be obliged to elect to have a different case apply. Weighted Average Fitch Rating Factor Minimum Weighted Average Spread 24.5 25.5 26.5 27.5 28.5 29.5 Minimum Fitch Weighted Average Recovery Rate 2.00 per cent. 64.5 per cent. 66.5 per cent. 69.0 per cent. 71.0 per cent. 72.5 per cent. 74.0 per cent. 2.10 per cent. 62.5 per cent. 65.0 per cent. 67.5 per cent. 69.5 per cent. 71.0 per cent. 72.5 per cent. 2.20 per cent. 60.5 per cent. 63.5 per cent. 66.0 per cent. 67.5 per cent. 69.0 per cent. 70.5 per cent. 2.30 per cent. 59.0 per cent. 61.0 per cent. 64.0 per cent. 66.5 per cent. 68.0 per cent. 69.0 per cent. 2.40 per cent. 58.0 per cent. 60.0 per cent. 63.0 per cent. 65.0 per cent. 66.5 per cent. 67.5 per cent. 2.50 per cent. 55.5 per cent. 57.5 per cent. 60.5 per cent. 64.0 per cent. 65.0 per cent. 66.0 per cent. 2.60 per cent. 54.5 per cent. 56.5 per cent. 59.5 per cent. 62.0 per cent. 63.5 per cent. 65.0 per cent. 2.70 per cent. 52.0 per cent. 54.5 per cent. 58.5 per cent. 60.5 per cent. 62.0 per cent. 63.5 per cent. 2.80 per cent. 50.5 per cent. 53.0 per cent. 57.5 per cent. 59.5 per cent. 61.0 per cent. 62.5 per cent. 167
In addition, for any date of determination, with respect to the tables comprising the Fitch Test Matrix for the purposes of the Maximum Weighted Average Fitch Rating Factor Test, the Minimum Weighted Average Spread Test and the Minimum Fitch Weighted Average Recovery Rate Test, as applicable, the Collateral Manager may elect to (i) apply a different row and/or column of any table, (ii) add additional rows and/or columns to any table (which may or may not include a combination of the existing values), (iii) modify rows and/or columns to any table or (iv) add further tables, in each case so long as, immediately after giving effect to the changes, each of the Maximum Weighted Average Fitch Rating Factor Test, the Minimum Weighted Average Spread Test and the Minimum Fitch Weighted Average Recovery Rate Test will be satisfied (or if not satisfied, such test will be at least as close to being satisfied) according to the scores that are prescribed by the newly selected, added or modified row, columns or table; provided that, no rows, columns or tables may be added or modified unless Fitch has confirmed that such proposed action will not result in a change to Fitch’s then current rating of the Notes. (c) Maximum Weighted Average Fitch Rating Factor Test The “Maximum Weighted Average Fitch Rating Factor Test” will be satisfied as at any Measurement Date from (and including) the Target Date if the Weighted Average Fitch Rating Factor as at such Measurement Date is less than or equal to the level specified under the case specified in the Fitch Test Matrix as at such Measurement Date. The “Weighted Average Fitch Rating Factor” is the number determined by (i) summing the products obtained by multiplying the Principal Balance of each Collateral Debt Security (excluding Defaulted Securities) by its Fitch Rating Factor, (ii) dividing such sum by the aggregate of the Principal Balance of each Collateral Debt Security (excluding Defaulted Securities) and (iii) rounding the result to the nearest one decimal place. The “Fitch Rating Factor” is the number set forth in the table below opposite the Fitch Rating of such Collateral Debt Security. Rating Factors AAA 0.19 AA+ 0.57 AA 0.89 AA- 1.15 A+ 1.65 A 1.85 A- 2.44 BBB+ 3.13 BBB 3.74 BBB- 7.26 BB+ 10.18 BB 13.53 BB- 18.46 B+ 22.84 B 27.67 B- 34.98 CCC+ 43.36 CCC 48.52 CCC- 62.76 CC 77.00 C 95.00 DDD — D 100.00 (d) Minimum Fitch Weighted Average Recovery Rate Test The “Minimum Fitch Weighted Average Recovery Rate Test” will be satisfied as at any Measurement Date from (and including) the Target Date if the Fitch Weighted Average Recovery Rate is equal to or greater than the level specified under the case specified in the Fitch Test Matrix as at such Measurement Date. For the purposes of this test, all Collateral Debt Securities which are Defaulted Securities shall be excluded. The “Fitch Weighted Average Recovery Rate” shall be the rate (expressed as a percentage) determined by summing the products obtained by multiplying the outstanding Principal Balance of each Collateral Debt Security (excluding Defaulted Securities) by the Fitch Recovery Rate in relation thereto and dividing such sum 168
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Gresham Capital CLO IV B.V. (a priv
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with particular reference to its ow
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AUTHORITY (BUNDESANSTALT FÜR FINAN
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AVAILABLE INFORMATION To permit com
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SUMMARY This summary does not inclu
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e paid in accordance with the Prior
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Commitment Fee ....................
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provided that the Issuer has obtain
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Security for the Notes: ...........
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Overcollateralisation Ratio Test; (
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Liquidation of Collateral Debt Secu
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Class A1A Regulation S Notes and Cl
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The Trust Deed provides that the Is
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(a) take any corporate action or ot
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Notes will be made until principal
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the Issuer entered into the commitm
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elative to the high yield bond mark
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While the Issuer expects that the r
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Investment and Repayment of Payment
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In its capacity as Collateral Manag
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Termination Amount. The payment of
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available to them on subsequent pay
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Liability to Stamp Taxation and Oth
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the Issuer is party that is made in
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CONDITIONS OF THE NOTES The followi
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Account and the Sterling Principal
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Eligibility Criteria, an interest i
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of deposits in Sterling (for the av
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equire, a specific number thereof a
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“Class C Rule 144A Definitive Not
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“Class E Rule 144A Global Note”
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“Collection Accounts” means the
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Debt Security; provided always (I)
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(ii) if any Collateral Debt Securit
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acquisition thereof by the Issuer a
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prior to the Payment Date immediate
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Manager acting on behalf of the Iss
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including for the avoidance of doub
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Maturity Date and a security in res
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“Note Interest Rate” means, in
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(a) is a Business Day; (b) is or fa
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(c) in the case of a Hedge Counterp
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“Relevant Amount” in respect of
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counterparty has the regulatory cap
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“Sterling Interest Account” mea
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(h) any scheduled principal payment
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of the related Reference Obligation
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e represented by a Class A1A Rule 1
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(Application of Interest Proceeds b
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(W) (X) (Y) (Z) (AA) (BB) (CC) (DD)
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(D) (E) (F) (G) (H) (I) (J) (K) (L)
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(AA) (BB) after taking account of t
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the extent of any Sterling payments
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contractual rights) or any of them
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the Management Agreement; (D) the I
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shall be deferred and shall, with e
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“Euro zone” means the region co
Page 115 and 116: (ii) shall be paid to the Class A1A
Page 117 and 118: (A) (B) (C) (D) (E) Senior Notes: I
Page 119 and 120: meet the Eligibility Criteria or, t
Page 121 and 122: E Note (other than any Class E Defe
Page 123 and 124: the sole Issuer Event of Default is
Page 125 and 126: (J) (K) (L) (M) (N) (O) (P) (Q) (R)
Page 127 and 128: each a “Basic Terms Modification
Page 129 and 130: any jurisdiction of a judgment alre
Page 131 and 132: (v) the Trustee has been fully inde
Page 133 and 134: USE OF PROCEEDS The net proceeds fr
Page 135 and 136: Meetings: The holder of each Global
Page 137 and 138: BOOK ENTRY CLEARANCE PROCEDURES The
Page 139 and 140: persons or entities that do not par
Page 141 and 142: RATING OF THE RATED NOTES It was a
Page 143 and 144: DESCRIPTION OF THE ISSUER General T
Page 145 and 146: Date between, inter alia, the Found
Page 147 and 148: practice, all members of the IPF an
Page 149 and 150: DESCRIPTION OF THE PORTFOLIO 1. Int
Page 151 and 152: estrictions as set out in the Colla
Page 153 and 154: (B) in the case of a Synthetic Secu
Page 155 and 156: (ix) no Collateral Debt Security wh
Page 157 and 158: Industry Categories Business Servic
Page 159 and 160: (ii) all Additional Collateral Debt
Page 161 and 162: (h) Unscheduled Principal Proceeds
Page 163 and 164: (ii) the aggregate Principal Balanc
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Page 169 and 170: all Euro Collateral Debt Securities
Page 171 and 172: specified benchmark rating level ba
Page 173 and 174: (g) Reinvestment OC Test The “Rei
Page 175 and 176: Affiliates of the Collateral Manage
Page 177 and 178: amount permitted from all Selling I
Page 179 and 180: Key Persons being convicted for fra
Page 181 and 182: Liquidity Facility Agreement DESCRI
Page 183 and 184: Sterling by the Issuer shall not ex
Page 185 and 186: Coverage Tests, Reinvestment OC Tes
Page 187 and 188: Portfolio (a) the information requi
Page 189 and 190: DESCRIPTION OF THE CLASS A1A NOTE P
Page 191 and 192: provide Drawings under the Class A1
Page 193 and 194: Investments having a maturity date
Page 195 and 196: The Issuer shall procure that on an
Page 197 and 198: TAX CONSIDERATIONS General The foll
Page 199 and 200: This summary is based on interpreta
Page 201 and 202: A U.S. Holder of a Senior Note will
Page 203 and 204: the first taxable year for which it
Page 205 and 206: any distributions in excess of such
Page 207 and 208: oker has been in existence) is deri
Page 209 and 210: Capital gains made on the sale or p
Page 211 and 212: Holders who may be liable to taxati
Page 213 and 214: ERISA CONSIDERATIONS The U.S. Emplo
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United States The Initial Purchaser
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or any other governmental authority
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to its purchase of Notes, to ask qu
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PLAN, UNLESS INVESTMENT DECISIONS A
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GENERAL INFORMATION 1. Clearing Sys
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INDEX OF DEFINED TERMS £ £.......
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Cumulative Sterling Realised Recove
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Presentation Date..................
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REGISTERED OFFICE OF THE ISSUER Riv
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Gresham Capital CLO IV B.V. - Irish Stock Exchange

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