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Harvest CLO XVIII: 27 January 2018

The assets securing the notes will consist of a portfolio of Senior Secured Loans, Senior Secured Bonds, Second Lien Loans, Unsecured Senior Obligations, Mezzanine Obligations, PIK Securities, Corporate Rescue Loans, Bridge Loans and High Yield Bonds and will be managed by Investcorp Credit Management EU Limited.

Eligibility criteria (includes): it is a Senior Secured Loan, Senior Secured Bond, Second Lien Loan, Unsecured Senior Obligation, Mezzanine Obligation, High Yield Bond or PIK Security; other than a Corporate Rescue Loan, it is not an obligation which is known by the Portfolio Manager to be a Defaulted Obligation or a Collateral Debt Obligation which in the Portfolio Manager’s judgement has a significant risk of declining in credit quality and becoming a Defaulted Obligation; it has been assigned or otherwise has a Moody’s Rating of at least “Caa3” and an S&P Rating of at least “CCC-” (other than in respect of a Corporate Rescue Loan); it is not a lease; it is not convertible into equity; it is not a Synthetic Security; it is not a Project Finance Loan; it is not a Structured Finance Security; if it is a Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation, it can only be drawn in its base currency; it is not a Letter of Credit.

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Collateral Debt Obligations the Aggregate Principal Balance of which equals approximately 96.0% of the “Target Par Amount” (this being approximately €386mln).

CRR 405: The Portfolio Manager shall act as Retention Holder for the purposes of the EU Retention Requirements and will undertake to subscribe for (at the initial issuance and each subsequent date of additional issuance of Notes) and retain on an ongoing basis and for its own account a material net economic interest in the transaction, which will be comprised of not less than 5% of the Principal Amount Outstanding of each Class of Notes.

US Risk Retention: The Portfolio Manager has stated that it does not intend to retain a risk retention interest contemplated by the U.S. Risk Retention Rules in connection with the transaction described in the Prospectus or the Notes. Accordingly, the transaction described has been structured in reliance on the Foreign Safe Harbor.