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

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DESCRIPTION OF THE REPORTS Monthly Reports The Collateral Administrator shall not later than the fifteenth Business Day after the 20 th day of the month or if such day is not a Business Day, the next succeeding Business Day, commencing in January 2008, on behalf of the Issuer, compile and provide to the Trustee, the Collateral Manager, the Issuer and the Rating Agencies and, upon written request therefor in accordance with Condition 4(d) (Information Regarding the Portfolio) certifying that it is a holder of a beneficial interest in any Note, to such holder, a monthly report (the “Monthly Report”), which shall contain the following information with respect to the Collateral Debt Securities, determined by the Collateral Administrator as of the 20 th day of the month or if such day is not a Business Day, the next succeeding Business Day: Portfolio (a) the aggregate of the Principal Balances of, respectively, the Collateral Debt Securities and Collateral Enhancement Securities, the annual interest rate, Stated Maturity, obligor under, industry and Fitch Recovery Rate and S&P recovery rate and Fitch Rating and S&P Rating (if applicable) (but not any confidential credit estimate) of, each Collateral Debt Security and Collateral Enhancement Security (including identifying which of the Collateral Debt Securities or Collateral Enhancement Securities (if any) have been downgraded or upgraded by either of the Rating Agencies since the date of the last Monthly Report) unless prevented from doing so in relation to non-public ratings that cannot be disclosed as agreed to under the terms of receiving such ratings; (b) the identity of, respectively, any Collateral Debt Securities and Collateral Enhancement Securities that were released for sale or other disposition (excluding those released pursuant to any Securities Lending Agreement) (and the nature of any such sale or disposition, for example, whether it was the sale of a Credit Risk Security, a Credit Improved Security or a discretionary sale) or that were acquired since the date of determination of the last Monthly Report; (c) the purchase or sale price of each Collateral Debt Security and Collateral Enhancement Securities acquired and/or sold since the date of determination of the last Monthly Report and the identity of the purchasers or sellers thereof, if any, that are Affiliated with the Collateral Manager; (d) subject to any confidentiality obligations binding on the Issuer, the identity of each Collateral Debt Security which became a Defaulted Security or in respect of which a Defaulted Equity Security has been received since the date of determination of the last Monthly Report; Accounts (a) the amount of any proceeds standing to the credit of the Interest Collection Account, the Principal Collection Account, the Sterling Interest Account and the Sterling Principal Account; (b) the amount of any funds standing to the credit of the Initial Proceeds Account, the Collateral Enhancement Account, the Additional Collateral Account, the Sterling Additional Collateral Account, the Euro Principal Reserve Account, the Euro Payment Account, the Sterling Payment Account, the Liquidity Payment Accounts, the Stand-by Liquidity Account, the Securities Lending Account, the Euro Expense Account, the Sterling Expense Account, the Custody Account and any other accounts (including any Stand-by Account) of the Issuer as may be established from time to time; Hedge Transactions (a) the outstanding notional amount of each Hedge Transaction and the current rates of interest (if an interest hedge transaction) or the current rates of exchange (if a currency hedge transaction or Asset Swap Transaction); (b) the amount scheduled to be received and paid by the Issuer pursuant to each Hedge Transaction on the next Payment Date; (c) the amount received and paid by the Issuer pursuant to each Hedge Transaction since the date of the last Monthly Report; 185
Coverage Tests, Reinvestment OC Test and Collateral Quality Tests (a) the Senior Overcollateralisation Ratio, Class B Overcollateralisation Ratio, Class C Overcollateralisation Ratio, Class D Overcollateralisation Ratio, Class E Overcollateralisation Ratio, Reinvestment OC Ratio and a statement as to whether each of such tests is satisfied; (b) the Senior Interest Coverage Ratio and a statement as to whether such test is satisfied; (c) a statement as to whether the Maximum Weighted Average Fitch Rating Factor Test is satisfied; (d) the Fitch Weighted Average Recovery Rate and a statement as to whether the Minimum Fitch Weighted Average Recovery Rate Test is satisfied; (e) the Weighted Average Life and a statement as to whether the Weighted Average Life Test is satisfied; (f) the Weighted Average Spread and a statement as to whether the Minimum Weighted Average Spread Test is satisfied; (g) the S&P Minimum Average Recovery Rate and a statement as to whether the S&P Minimum Weighted Average Recovery Rate Test is satisfied; (h) a statement as to whether the CDO Evaluator Test is satisfied; together with all underlying information used to calculate each of the above; Eligibility Criteria (a) the aggregate Principal Balance consisting of Bank Loans, cash and Eligible Investments; (b) the aggregate Principal Balance (in Euro or its equivalent in Sterling using the Issue Date Spot Rate): (i) which consists of Mezzanine Loans, Second Lien Loans, <strong>CLO</strong> Securities and Special Debt Securities; (ii) which consists of <strong>CLO</strong> Securities; (iii) which consists of Special Debt Securities; (iv) which consists of Synthetic Securities and identifying those Synthetic Securities entered into for the sole purpose of producing payments denominated in Euro in respect of non-Euro denominated securities or shortening the maturity of the Reference Obligation and, in respect of any such Synthetic Security, identifying the rating of the counterparty of any associated put or other acceptable instrument; (v) which consists of Participations and identifying those Participations which are Secured Participations; (vi) which have a rating of “CCC+” or less; (vii) which consists of Collateral Debt Securities consisting of obligations in respect of which an Obligor is incorporated or established under the laws of the United States of America or any state thereof; (viii) which provide for payment of interest in cash less frequently than quarterly and more frequently than semi-annually; (ix) which consists of obligations with a Stated Maturity which falls later than the Maturity Date of each Class of Notes; (x) which consists of Collateral Debt Securities in respect of which the holder has the right to acquire an equity interest in the obligor (including by means of converting any part of the debt obligation into equity); 186
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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
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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
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
Page 165 and 166: (B) Unscheduled Principal Proceeds
Page 167 and 168: In addition, for any date of determ
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: Sterling by the Issuer shall not ex
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
Page 215 and 216: DEED, REQUIRED TO CERTIFY) WITH RES
Page 217 and 218: United States The Initial Purchaser
Page 219 and 220: or any other governmental authority
Page 221 and 222: to its purchase of Notes, to ask qu
Page 223 and 224: PLAN, UNLESS INVESTMENT DECISIONS A
Page 225 and 226: GENERAL INFORMATION 1. Clearing Sys
Page 227 and 228: INDEX OF DEFINED TERMS £ £.......
Page 229 and 230: 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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