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

While the Issuer expects that the returns on a Synthetic Security will generally reflect those of the related
Reference Obligation, as a result of the terms of the Synthetic Security and the assumption of the credit risk of
the applicable Synthetic Security Obligor, a Synthetic Security may have a different expected return, a different
(and potentially greater) probability of default, a different (and potentially greater) expected loss characteristic
following a default, and a different (and potentially lower) expected recovery following default.
Additionally, when compared to the Reference Obligation, the terms of a Synthetic Security may provide
for different maturities, currency, payment dates, interest rates, interest rate references, credit exposures, or
other credit or non-credit related characteristics. Subject to Rating Agency Confirmation, a Synthetic Security
may also involve leveraged exposure to the related Reference Obligation. Upon default on a Reference
Obligation, or in certain circumstances, default or other actions by an obligor of a Reference Obligation, the
terms of the relevant Synthetic Security may permit or require the Synthetic Security Obligor to satisfy its
obligations under the Synthetic Security by delivering to the Issuer the Reference Obligation or an amount equal
to the then current market value of the Reference Obligation.
Furthermore, prospective investors in the Notes should note that although a Synthetic Security must meet
the Eligibility Criteria, its Reference Obligation does not need to satisfy all of the requirements of the Eligibility
Criteria and, in particular, that the Reference Obligation does not need to be a Euro denominated instrument and
does not need to satisfy the maturity limitations set out in the Eligibility Criteria. Since Reference Obligations
are not required to be denominated in Euro, the Issuer may be required to take delivery of a non-Euro
denominated security or of a currency other than Euro, exposing the Issuer to exchange rate fluctuations.
Moreover, if the Reference Obligation is delivered to the Issuer and such Reference Obligation does not satisfy
the Eligibility Criteria when delivered, the Issuer will not be permitted to include such Reference Obligation as a
Collateral Debt Security for the purposes of the Collateral Quality Tests, the Coverage Tests or the
Reinvestment Criteria.
The Issuer may acquire Synthetic Securities which are linked to the performance of other Synthetic
Securities.
It should also be noted that Synthetic Securities have a limited liquidity and the Issuer may have difficulty
disposing of Synthetic Securities because there may not be a trading market for such assets and this could
indirectly affect the ability of the Issuer to make payments on the Notes.
Participations and Transfers. The Issuer may acquire interests in Collateral Debt Securities which are
loans either directly (by way of novation, sale or assignment) or indirectly (by way of participation or subparticipation
or through the acquisition of Synthetic Securities). Each institution from which such an interest is
acquired is referred to in this section titled “Risk Factors” only as a Selling Institution. Interests in loans
acquired directly by way of novation, sale or assignment are referred to herein as “Transfers”. Interests in
loans acquired indirectly by way of participation or sub-participation are referred to herein as “Participations”.
The purchaser of a Transfer typically succeeds to all the rights of the assigning Selling Institution and
becomes entitled to the benefit of the loans and the other rights of the lender under the loan agreement. The
Issuer as an assignee will generally have the right to receive directly from the borrower all payments of principal
and interest to which it is entitled, provided notice of such Transfer has been given to the borrower. As a
purchaser of a Transfer, the Issuer typically will have the same voting rights as other lenders under the
applicable loan agreement and will have the right to vote to waive enforcement of breaches of covenants. The
Issuer will also have the same rights as other lenders to enforce compliance by the borrower with the terms of
the loan agreement, to set off claims against the borrower and to have recourse to collateral supporting the loan.
As a result, the Issuer will generally not bear the credit risk of the Selling Institution and the insolvency of the
Selling Institution should have little effect on the ability of the Issuer to continue to receive payment of principal
or interest from the borrower. The Issuer will, however, assume the credit risk of the borrower.
Participations by the Issuer in a Selling Institution’s portion of the loan typically results in a contractual
relationship only with such Selling Institution and not with the borrower under such loan. The Issuer would, in
such case, have the right to receive payments of principal and interest to which it is entitled only upon receipt by
the Selling Institution of such payments from the borrower. In purchasing Participations, the Issuer generally
will have no right to enforce compliance by the borrower with the terms of the applicable loan agreement, nor
any rights of set off against the borrower and the Issuer may not directly benefit from the collateral supporting
the loan in respect of which it has purchased a Participation. As a result, the Issuer will assume the credit risk of
both the borrower and the Selling Institution selling the Participation. In the event of the insolvency of the
Selling Institution selling a Participation, the Issuer may be treated as a general creditor of the Selling Institution
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