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

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Collateral Quality Tests Minimum Weighted Average Spread Test S&P Minimum Weighted Average Recovery Rate Test CDO Evaluator Test Required See Matrix See Matrix Positive Certain Eligibility Criteria 2 : ..................... Criteria Mezzanine Loans, Senior Lien Loans, CLO Securities or Special Debt Securities (collectively) CLO Securities Special Debt Securities Synthetic Securities, Participations and Collateral Debt Securities the subject of Securities Lending Agreements Collateral Debt Securities pertaining to U.S. obligors Synthetic Securities or Participations with a counterparty rated less than “A-1+” by S&P or Collateral Debt Securities where obligor is from a country rated less than “AA” by S&P (other specified bivariate risk exposure limits apply) Sterling Collateral Debt Securities Sterling Collateral Debt Securities together with Non-Euro Collateral Debt Securities denominated in Sterling PIK Securities Bank Loans, any single obligor Bank Loans, 2 out of 4 obligors Bank Loans, remaining 2 out of 4 obligors Mezzanine Loans, Senior Lien Loans, CLO Securities or Special Debt Securities, any single obligor Mezzanine Loans, Senior Lien Loans, CLO Securities or Special Debt Securities, up to five obligors Collateral Debt Securities comprised in any single Fitch Industry Category Collateral Debt Securities comprised in any of the three largest Fitch Industry Categories Percentage Permitted of the Maximum Investment Amount Max 12.5 per cent. Max 5 per cent. Max 5 per cent. Max 20 per cent. Max 20 per cent. Max 20 per cent. Max 25 per cent. Max 35 per cent. Max 5 per cent. Max €7,500,000 or £5,061,000 Max €11,500,000 or £7,760,200 Max €9,000,000 or £6,073,200 Max €4,500,000 or £3,036,600 Max €6,000,000 or £4,048,800 Max 15 per cent. Max 35 per cent. Coverage Tests: .............................. Payments under the Notes are subject to the Coverage Tests. The Coverage Tests include the following: (i) the Senior Overcollateralisation Ratio Test; (ii) the Class B Overcollateralisation Ratio Test; (iii) the Class C Overcollateralisation Ratio Test; (iv) the Class D 2 For a more complete description of the Eligibility Criteria, see “Description of the Portfolio—Eligibility Criteria”. 19
Overcollateralisation Ratio Test; (v) the Class E Overcollateralisation Ratio Test; and (vi) the Senior Interest Coverage Test. A breach of a Coverage Test will cause redemption of the Notes of the Class to which such Coverage Test relates and all prior ranking Classes of Notes in accordance with the Priorities of Payment on the related Payment Date; such redemption to be applied out of Interest Proceeds and Principal Proceeds. Each of the Coverage Tests shall be satisfied on a Measurement Date on or after the Target Date if the corresponding Overcollateralisation Ratio on such Measurement Date is at least equal to the percentage specified in the table below in relation to the respective Coverage Test. Class A B C D E Required Overcollateralisation Ratio 133.9 per cent. 125.0 per cent. 116.6 per cent. 109.1 per cent. 104.9 per cent. The Senior Interest Coverage Test shall be satisfied on a Measurement Date on or after the Target Date if the Senior Interest Coverage Ratio on such Measurement Date is at least equal to 105.0 per cent. Collateral Enhancement Securities: .......... Collateral Enhancement Securities are comprised of warrants and equity securities (excluding any Defaulted Equity Securities or Dutch Ineligible Securities or Margin Stock (as defined under Regulation U issued by the Board of Governors of the United States Federal Reserve System)), including, without limitation, warrants attached to Mezzanine Loans or Second Lien Loans and any equity security received upon conversion or exchange of, or exercise of an option under, or any warrant or equity security purchased as part of a unit with, or otherwise in respect of, a Collateral Debt Security. The ratings assigned by the Rating Agencies to the Senior Notes and the other Classes of Rated Notes do not take into account the value of the Collateral Enhancement Securities. Accordingly, Collateral Enhancement Securities are excluded from any determination of satisfaction of the Coverage Tests or the Collateral Quality Tests and neither the Eligibility Criteria nor the Reinvestment Criteria apply to Collateral Enhancement Securities. Collateral Enhancement Securities are either purchased by or on behalf of the Issuer in accordance with the Collateral Management Agreement as part of a unit with Collateral Debt Securities or purchased independently out of amounts standing to the credit of the Collateral Enhancement Account from time to time (which shall be funded out of amounts which would otherwise be payable to the Class N Noteholders in accordance with the Priorities of Payment). See “Description of the Portfolio—Collateral Enhancement Securities” below. Amounts standing to the credit of the Collateral Enhancement Account may be applied by the Collateral Manager (on behalf of the Issuer) as set out in “Description of the Accounts—Collateral Enhancement Account”. Securities Lending: .................................. Subject to certain conditions, the Issuer (or the Collateral Manager on behalf of the Issuer) is permitted to lend the Collateral Debt Securities under Securities Lending Agreements. See “Description of the Portfolio—Securities Lending” below. 20
Page 1 and 2: Gresham Capital CLO IV B.V. (a priv
Page 3 and 4: with particular reference to its ow
Page 5 and 6: AUTHORITY (BUNDESANSTALT FÜR FINAN
Page 7 and 8: AVAILABLE INFORMATION To permit com
Page 9 and 10: SUMMARY This summary does not inclu
Page 11 and 12: e paid in accordance with the Prior
Page 13 and 14: Commitment Fee ....................
Page 15 and 16: provided that the Issuer has obtain
Page 17: Security for the Notes: ...........
Page 21 and 22: Liquidation of Collateral Debt Secu
Page 23 and 24: Class A1A Regulation S Notes and Cl
Page 25 and 26: The Trust Deed provides that the Is
Page 27 and 28: (a) take any corporate action or ot
Page 29 and 30: Notes will be made until principal
Page 31 and 32: the Issuer entered into the commitm
Page 33 and 34: elative to the high yield bond mark
Page 35 and 36: While the Issuer expects that the r
Page 37 and 38: Investment and Repayment of Payment
Page 39 and 40: In its capacity as Collateral Manag
Page 41 and 42: Termination Amount. The payment of
Page 43 and 44: available to them on subsequent pay
Page 45 and 46: Liability to Stamp Taxation and Oth
Page 47 and 48: the Issuer is party that is made in
Page 49 and 50: CONDITIONS OF THE NOTES The followi
Page 51 and 52: Account and the Sterling Principal
Page 53 and 54: Eligibility Criteria, an interest i
Page 55 and 56: of deposits in Sterling (for the av
Page 57 and 58: equire, a specific number thereof a
Page 59 and 60: “Class C Rule 144A Definitive Not
Page 61 and 62: “Class E Rule 144A Global Note”
Page 63 and 64: “Collection Accounts” means the
Page 65 and 66: Debt Security; provided always (I)
Page 67 and 68: (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
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(ii) shall be paid to the Class A1A
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(A) (B) (C) (D) (E) Senior Notes: I
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meet the Eligibility Criteria or, t
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E Note (other than any Class E Defe
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the sole Issuer Event of Default is
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(J) (K) (L) (M) (N) (O) (P) (Q) (R)
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each a “Basic Terms Modification
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any jurisdiction of a judgment alre
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(v) the Trustee has been fully inde
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USE OF PROCEEDS The net proceeds fr
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Meetings: The holder of each Global
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BOOK ENTRY CLEARANCE PROCEDURES The
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persons or entities that do not par
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RATING OF THE RATED NOTES It was a
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DESCRIPTION OF THE ISSUER General T
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Date between, inter alia, the Found
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practice, all members of the IPF an
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DESCRIPTION OF THE PORTFOLIO 1. Int
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estrictions as set out in the Colla
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(B) in the case of a Synthetic Secu
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(ix) no Collateral Debt Security wh
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Industry Categories Business Servic
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(ii) all Additional Collateral Debt
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(h) Unscheduled Principal Proceeds
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(ii) the aggregate Principal Balanc
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(B) Unscheduled Principal Proceeds
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In addition, for any date of determ
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all Euro Collateral Debt Securities
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specified benchmark rating level ba
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(g) Reinvestment OC Test The “Rei
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Affiliates of the Collateral Manage
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amount permitted from all Selling I
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Key Persons being convicted for fra
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Liquidity Facility Agreement DESCRI
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Sterling by the Issuer shall not ex
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Coverage Tests, Reinvestment OC Tes
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Portfolio (a) the information requi
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DESCRIPTION OF THE CLASS A1A NOTE P
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provide Drawings under the Class A1
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Investments having a maturity date
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The Issuer shall procure that on an
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TAX CONSIDERATIONS General The foll
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This summary is based on interpreta
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A U.S. Holder of a Senior Note will
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the first taxable year for which it
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any distributions in excess of such
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oker has been in existence) is deri
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Capital gains made on the sale or p
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Holders who may be liable to taxati
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ERISA CONSIDERATIONS The U.S. Emplo
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DEED, REQUIRED TO CERTIFY) WITH RES
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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
Page 231 and 232:
Presentation Date..................
Page 233:
REGISTERED OFFICE OF THE ISSUER Riv
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Gresham Capital CLO IV B.V. - Irish Stock Exchange

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