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Accunia European CLO IV DAC: 13 March 2020

The assets securing the notes will consist primarily of a portfolio of Senior Loans, Second Lien Loans, Secured Senior Bonds and High Yield Bonds, and will be managed by Accunia Fondsmæglerselskab A/S. Accunia is an investment company and a specialty asset manager focused on European credit markets, primarily investing in European leveraged loans, high yield bonds and structured credit.

Eligibility criteria (includes): it is a Secured Senior Loan, a Secured Senior Bond, an Unsecured Senior Loan, a Second Lien Loan or a High Yield Bond; it is not a Defaulted Obligation, a Credit Risk Obligation or Equity Security, including any obligation convertible into an Equity Security (other than at the Issuer’s option); it is not a lease; it is not a Mezzanine Obligation, a Bridge Loan, a Structured Finance Security, a pre-funded letter of credit or a Synthetic Security; it is not a Zero Coupon Security, Step-Up Coupon Security or Step-Down Coupon Security; other than in respect 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”; is an obligation of an Obligor or Obligors Domiciled in a Non-Emerging Market Country (as determined by the Collateral Manager acting on behalf of the Issuer); it is not a Project Finance Loan; it has a S&P Rating; the purchase price thereof (excluding any Purchased Accrued Interest) is not less than 60 per cent. of the outstanding principal amount thereof as of the date of acquisition thereof.

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 approximately 80% of the Target Par Amount.

The Notes are being offered by the Issuer through BNP Paribas, London Branch in its capacity as initial purchaser of the offering of the Notes.

EU Risk Retention: Accunia Fondsmæglerselskab A/S shall act as Retention Holder for the purposes of the EU Retention Requirements. The Retention Holder will undertake to subscribe for (on the Issue Date and on the issue date of each additional issuance of Notes), hold and retain, for so long as any Notes are outstanding, a material net economic interest in the form specified in Article 6(3)(a) of the Securitisation Regulation and in accordance with the EU Retention Requirements as in force on the Issue Date (retention of no less than 5% of the nominal value of each of the tranches sold or transferred to the investors) by subscribing for and holding, on an ongoing basis, no less than 5% of the Principal Amount Outstanding of each Class of Notes then outstanding, provided that for the purposes of determining compliance with the EU Retention Requirements, the Class B-1 Notes and the Class B-2 Notes shall be deemed to constitute a single class.

US Risk Retention: The Collateral Manager has determined that the Collateral Manager will not be required to retain the Minimum Risk Retention Requirement pursuant to the U.S. Risk Retention Rules.