CVC Cordatus Loan Fund XI Limited: 09 September 2018

The assets securing the notes will consist of a portfolio of Senior Secured Loans, Senior Secured Bonds, Second Lien Loans, Mezzanine Obligations and High Yield Bonds, and will be managed by CVC Credit Partners European CLO Management LLP.

Eligibility criteria (includes): it is a Senior Secured Loan, Senior Secured Bond, an Senior Unsecured Obligation, a Corporate Rescue Loan, a Mezzanine Obligation, a Second Lien Loan or a High Yield Bond or a PIK Obligation; it is not a Defaulted Obligation or a Credit Impaired Obligation; it is not a lease; it is not a Structured Finance Security, pre-funded letter of credit or a Synthetic Security; it is not a Zero Coupon Obligation, Step-Up Coupon Security or Step-Down Coupon Security; other than in the case of Corporate Rescue Loans, it has a Moody’s Rating of not lower than “Caa3” and a Fitch Rating of not lower than “CCC-”; is not an obligation of an Obligor or Obligors Domiciled in a country with a Moody’s local currency country risk ceiling of “Baa1” or below; it is not a Bridge Loan or Project Finance Loan; it has a minimum purchase price of 60 per cent of the Principal Balance of such Collateral Debt Obligation.

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 is equal to at least €337,500,000, which is approximately 75.0% of the Target Par Amount.


EU Risk Retention: The Collateral Manager shall act as Retention Holder for the purposes of the EU Retention Requirements. On the Issue Date, the Collateral Manager will undertake to subscribe for and retain, on an ongoing basis, for as long as a Class of Notes remains outstanding, Class M-1 Subordinated Notes with a Principal Amount Outstanding equal to not less than 5% of the greater of (i) the Aggregate Collateral Balance and (ii) the Target Par Amount in accordance with paragraph 1(d) of Article 405 of the CRR, Article 51(1)(d) of the AIFMD Level 2 Regulation and paragraph 2(d) of Article 254 of the Solvency II Retention Requirements.

US Risk Retention: In the LSTA Decision (as defined in the prospectus), the United States Court of Appeals for the District of Columbia held that regulators lacked Congressional authority to designate the collateral manager of an open-market CLO as the “sponsor” of such CLO. As a result, the U.S. Retention Requirements are not expected to apply to the transactions contemplated herein.