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Adagio CLO VIII DAC: 12 November 2019

The assets securing the notes will consist predominantly of a portfolio of Secured Senior Loans and Secured Senior Bonds, Mezzanine Obligations, Corporate Rescue Loans and High Yield Bonds, and will be managed by AXA Investment Managers, Inc.

Eligibility criteria (includes): it is a Secured Senior Loan, a Secured Senior Bond, a Corporate Rescue Loan, an Unsecured Senior Obligation, a Mezzanine Obligation, a Second Lien Loan or a High Yield Bond; if such obligation were a Collateral Debt Obligation other than a Corporate Rescue Loan, it would not constitute a Defaulted Obligation or a Credit Impaired Obligation; it is not a lease; it is not a Structured Finance Security, a pre-funded letter of credit or a Synthetic Security; it is not a Zero Coupon Security; it is an obligation of an Obligor or Obligors Domiciled in a Non-Emerging Market Country (as determined by the Investment Manager acting on behalf of the Issuer); it is not a Project Finance Loan; it is not a Current Pay Obligation and is not a PIK Security (except if such PIK Security is a Restructured Obligation); it has (i) a Fitch Rating not lower than “CCC-” and (ii) a Moody’s Default Probability Rating not lower than “Caa3”; it is acquired by the Issuer for a purchase price equal to or greater than 60.0% of its Principal Balance.

The Issuer anticipates that, by or on the Issue Date, the Investment Manager on its behalf will have purchased or committed to purchase Collateral Debt Obligations the Aggregate Principal Balance of which equals at least approximately €280mln, representing approximately 80% of the Target Par Amount.

The Notes will be offered by the Issuer through Barclays Bank plc (or an affiliate thereof) in its capacities as sole arranger and initial purchaser of the offering of such notes.

EU Risk Retention: The Investment Manager will subscribe for, hold and retain, on an ongoing basis in its capacity as originator, for so long as any Class of Notes remains outstanding, a material net economic interest in form specified in Article 6(3)(a) of the Securitisation Regulation of not less than 5% of the outstanding nominal value of each of the tranches sold or transferred to investors on the Issue Date within the meaning of the EU Retention Requirements.

US Risk Retention: Based on the LSTA Decision, it should be assumed by each prospective investor that no party involved in the transaction will obtain on the Issue Date and retain any Notes intended to satisfy the U.S. Risk Retention Rules.