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

Interest Rate Risk
The Rated Notes (other than the Class A1A Notes), Euro Drawings under the Class A1A Notes and any
Class A1B Refinancing Notes bear interest at a rate based on the Applicable EURIBOR and Sterling Drawings
under the Class A1A Notes bear interest at a rate based on the Class A1A LIBOR.
The aggregate principal amount of the floating rate Notes and the amount outstanding under the Class A1A
Notes are not exactly equal to the aggregate principal amount of floating rate Collateral Debt Securities, nor is
the basis of computation of such respective floating rates the same, nor is the timing of payments of such
respective floating rate notes the same.
Accordingly, the Notes are subject to interest rate risk to the extent that there is an interest rate mismatch
between (a) the aggregate principal amount of the floating rate Notes and the amount outstanding under the
Class A1A Notes, and the aggregate principal amount of floating rate Collateral Debt Securities or (b) different
interest rate bases used as the basis for calculating interest on a Rated Note or the Class A1A Notes and any
floating rate Collateral Debt Security.
The Notes are also subject to a timing mismatch between the floating rate Notes and the underlying
Collateral Debt Securities as the interest rates on Collateral Debt Securities may adjust more frequently or less
frequently, on different dates and based on different indices than the interest on the floating rate Notes. It is
expected that the Liquidity Facility will be used to mitigate the effects of any such timing mismatches.
However, no assurance can be given that the notional amount of the Liquidity Facility will be sufficient to cover
the full extent of these timing mismatches.
In addition, any payments of principal of or interest on Collateral Debt Securities received during a Due
Period and not invested in other Collateral Debt Securities will generally be reinvested in Eligible Investments
maturing not later than the Determination Date immediately preceding the next Payment Date. There is no
requirement that Eligible Investments bear interest at the Applicable EURIBOR or as the case may be, Class
A1A LIBOR, and the interest rates available for Eligible Investments are inherently uncertain.
As a result of these mismatches, a change in the level of EURIBOR or as the case may be, LIBOR or other
floating rate indices could adversely impact the ability of the Issuer to make payments on the Notes (including
by reason of a decline in the value of previously issued fixed rated Collateral Debt Securities as interest rates
increase).
The Issuer has not entered into interest rate swap agreements or interest rate cap agreements to reduce the
impact of the interest rate mismatches which might otherwise arise. No interest hedge transactions are required
by the Rating Agencies as determined by their multiple stress scenarios. Therefore, the Class N Notes may bear
more interest rate risk than the Rated Notes.
There can be no assurance that the Collateral Debt Securities and Eligible Investments will in all
circumstances generate sufficient Interest Proceeds to make timely payments of interest on the Notes or to
ensure any particular return. Because interest on the Notes is payable from Interest Proceeds, there can be no
assurance that the yield on such Notes will not be adversely affected.
Currency Risk
The Notes (other than the Class A1A Notes) are obligations of the Issuer denominated in Euro and the Class
A1A Notes are obligations of the Issuer denominated in Euro and Sterling. The Issuer will be able to acquire
Collateral Debt Securities denominated in Euro and Sterling and in non-Euro currencies, provided that such
Non-Euro Collateral Debt Securities are the subject of an Asset Swap Transaction. The Issuer, subject to
Condition 3(c) (Priorities of Payment), will use Sterling Interest Proceeds and Sterling Principal Proceeds to pay
its liabilities under the Class A1A Notes denominated in Sterling and Euro Interest Proceeds and Euro Principal
Proceeds to pay its liabilities under the Notes and the Class A1A Notes denominated in Euro. On the Issue
Date, the Issuer also purchased Sterling call options pursuant to the Initial Hedge Agreement. To the extent that
there are excess proceeds denominated in one currency, and the Issuer does not have sufficient amounts in the
other currency to pay its liabilities, then in accordance with the Priorities of Payment and the provisions of
Condition 3(c)(v) (FX Conversion), the Issuer may convert such excess proceeds into the required currency at
the Spot Rate to pay such liabilities. In addition, if the Collateral Manager on behalf of the Issuer exercises the
Sterling call options, the Issuer may receive Sterling amounts to meet its Sterling liabilities. Therefore, the
Noteholders may suffer a risk that Euro Interest Proceeds and Euro Principal Proceeds which may have been
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