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ARMADA EURO CLO I: 23 September 2017

The assets securing the Notes will consist of a portfolio of primarily Senior Obligations, Mezzanine Obligations and High Yield Bonds, and will be managed by Brigade Capital Europe Management LLP. Brigade was formed in 2006 and exists as an asset management firm focusing on high yield, distressed debt and leveraged loans. As of 1 June 2017, Brigade had approximately U$18.3bln under management.

Eligibility criteria (includes): it is a Secured Senior Obligation, a Corporate Rescue Loan, an Unsecured Senior Obligation, a Mezzanine Obligation, a Second Lien Loan or a High Yield Bond (in each case, which is not a sub-participation of a sub-participation); is either (I) denominated in Euro or (II) denominated in a Qualifying Currency; it is not a lease; it is not a Structured Finance Security or a Synthetic Security; it is not a Zero Coupon Security or Step-Up Coupon Security; other than in the case of a Corporate Rescue Loan, it has an S&P Rating of not lower than “CCC-” and a Moody’s Rating of not lower than “Caa3”; it is not a Project Finance Loan; it is not a Letter of Credit.

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Collateral Obligations the Aggregate Principal Balance of which is equal to at least €252mln which is approximately 70.0% of the Target Par Amount.

CRR 405: The Collateral Manager shall act as the Retention Holder for the purposes of the EU Retention Requirements for so long as any Notes are Outstanding and shall undertake to subscribe for and retain a material net economic interest in the transaction which will be comprised of not less than 5.0% of the Principal Amount Outstanding of each Class of Notes pursuant to paragraph 1(a) of Article 405 of the CRR, paragraph 2(a) of the Solvency II Retention Requirements and Article 51(1)(a) of the AIFMD.

US Risk Retention Rules: The Retention Holder will retain the US Retention Interest in compliance with the US Risk Retention Rules such that it satisfies the requirements for retaining an “eligible vertical interest”.