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

A U.S. Holder of a Senior Note will recognise exchange gain or loss with respect to principal in an amount
equal to the difference between (i) the U.S. dollar value of the principal payment (based on the spot rate for
euros on the date of sale, exchange, retirement, or receipt of a principal payment), and (ii) the U.S. dollar value
of the euros paid for the Note (or the amount attributable to a principal payment) translated at the spot rate on
the date the Note was acquired. Exchange gain or loss is realised only to the extent of total gain or loss on the
transaction, and is generally treated as U.S. source ordinary income or loss. Gain or loss in excess of exchange
gain or loss will be capital gain or loss and will be long term capital gain or loss if the U.S. Holder held the Note
for more than one year at the time of disposition. In certain circumstances, U.S. Holders that are individuals may
be entitled to preferential treatment for net long term capital gains; however, the ability of U.S. Holders to offset
capital losses against ordinary income is limited.
U.S. Federal Tax Treatment of U.S. Holders of the Class B Notes, Class C Notes, Class D Notes, and Class
E Notes
Original Issue Discount. The Issuer will treat the Class B Notes, Class C Notes, Class D Notes and Class E
Notes as issued with original issue discount (“OID”) for U.S. federal income tax purposes. The total amount of
such discount with respect to a Class B Note, Class C Note, Class D Note or Class E Note will equal the sum of
all payments to be received under such Note less its issue price (the first price at which a substantial amount of
the Class B Notes, Class C Notes, Class D Notes or Class E Notes were sold to investors). A U.S. Holder of a
Class B Note, Class C Note, Class D Note or Class E Note will be required to include the U.S. dollar value of
OID in income as it accrues. The U.S. dollar value of the accrued OID income will be determined by translating
the OID at the average U.S. dollar exchange rate for euros in effect during the Interest Accrual Period or, with
respect to an Interest Accrual Period that spans two taxable years, the partial period within the taxable year. A
U.S. Holder may, however, elect to translate the accrued OID income using the U.S. dollar spot rate for euros on
the last day of the Interest Accrual Period or, with respect to an accrual period that spans two taxable years, on
the last day of the taxable year. However, if the last day of an Interest Accrual Period is within five business
days of the receipt of accrued OID income, the OID income may be translated at the U.S. dollar spot rate on the
date of receipt. If a U.S. Holder makes the election, it must be applied consistently to all of the U.S. Holder’s
debt instruments and may not be changed without the consent of the IRS.
The amount of OID accruing in any accrual period will generally equal the stated interest accruing in that
period (whether or not currently due) plus any additional amount representing the accrual under a constant yield
method of any additional OID represented by the excess of the principal amount of the Class B Notes, the Class
C Notes, the Class D Notes or Class E Notes over their issue price. Accruals of any such additional OID will be
based on the weighted average life of the Class B Notes, Class C Notes, Class D Notes or Class E Notes rather
than their stated maturity. It is possible the IRS could assert and a court could ultimately hold that some other
method of accruing OID on the Class B Notes, Class C Notes, Class D Notes and/or Class E Notes should apply.
U.S. Holders of the Class B Notes, Class C Notes, Class D Notes and/or Class E Notes may be required to
include OID in advance of the receipt of cash attributable to such income. Accruals of OID will be calculated
by assuming that interest will be paid over the life of the Class B Notes, Class C Notes, Class D Notes and Class
E Notes based on the value of EURIBOR used in setting interest for the first Payment Date, and then adjusting
the accrual for each subsequent Payment Date based on the difference between the value of EURIBOR used in
setting interest for that subsequent Payment Date and the assumed rate.
A U.S. Holder will recognise exchange gain or loss with respect to OID income on the date the payment of
OID is received in an amount equal to the difference, if any, between the U.S. dollar value of the payment with
respect to the OID income (based on the U.S. dollar spot rate for euros on the date received) and the U.S. dollar
value of the accrued OID income (computed as determined above). Any exchange gain or loss will generally be
treated as U.S. source ordinary income or loss.
Sale, Exchange and Retirement of the Class B Notes, Class C Notes, Class D Notes and Class E Notes. In
general, a U.S. Holder of a Class B Note, Class C Note, Class D Note or Class E Note will have a basis in their
Note equal to the U.S. dollar value of the euros paid for their Note (based on the U.S. dollar spot rate for euros
on the date their Note was acquired) (i) increased by any amount includable in income by such U.S. Holder as
OID (as described above), and (ii) reduced by the U.S. dollar value of any payments received on the Note (based
on the U.S. dollar spot rate for euros on the date received). Upon a sale, exchange, or retirement of a Class B
Note, Class C Note, Class D Note or Class E Note, a U.S. Holder will generally recognise gain or loss equal to
the difference between the U.S. dollar value of the euros received on the date of sale, exchange or retirement
and the holder’s adjusted tax basis in such Note.
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