Fair Oaks Loan Funding II: 31 May 2020

The assets securing the notes will consist of a portfolio of primarily Senior Loans, Senior Secured Bonds, Mezzanine Obligations and High Yield Bonds, and will be managed by Fair Oaks Capital Ltd.

The Collateral Manager, along with its US affiliate Fair Oaks Capital US LP, is an independent corporate credit asset management and advisory firm. The Collateral Manager also acts as investment manager or adviser to a range of funds and a segregated management account, in each case focused on corporate credit. As at 31 March 2020 Fair Oaks had approximately $2.0 billion assets under management.

Eligibility criteria (includes): it is a Senior Secured Loan, a Senior Secured Bond, an Unsecured Senior Loan, a Mezzanine Obligation, a Second Lien Loan, a Corporate Rescue Loan, or a High Yield Bond; other than in the case of a Corporate Rescue Loan, it is not a Defaulted Obligation or a Credit Impaired Obligation; it is not a Structured Finance Security, letter of credit or a Synthetic Security; it is not a lease; it is not a Zero Coupon Security; other than in the case of a Corporate Rescue Loan, it has a Fitch Rating of not lower than “CCC-” and an S&P Rating of not lower than “CCC”; it is an obligation in respect of which the Obligor (or the guarantor of such obligation) is Domiciled in a Qualifying Country, as determined by the Collateral Manager; it is not a Project Finance Loan; it is not a Step-Down Coupon Security; it shall have been acquired by the Issuer for a purchase price of not less than 55.0 per cent. of the par value thereof, unless such obligation is a Swapped Non-Discount Obligation.

The Issuer anticipates that, by the Issue Date, it or the Collateral Manager on its behalf will have purchased or committed to purchase Collateral Debt Obligations the Aggregate Principal Balance of which is equal to at least €235mln, which is approximately 94.0% of the Target Par Amount.

The Notes (other than the Class E Notes, the Class Z Notes, the Retention Notes and the Class M Notes) are being offered by the Issuer through J.P. Morgan Securities plc or an affiliate thereof in its capacity as placement agent for the offering of such Notes.

EU Risk Retention: FOMC II L.P. will act as retention holder. The Retention Holder has been established to invest in US and European CLOs or other vehicles and structures which provide exposure to portfolios consisting primarily of US and European floating-rate senior secured loans. The Retention Holder will agree to acquire and retain on an ongoing basis for so long as any Class of Notes remains outstanding a material net economic interest in the first loss tranche of not less than 5% of the nominal value of the securitised exposures through the purchase on the Issue Date and retention of Subordinated Notes with an aggregate purchase price equal to or greater than 5% of the Aggregate Collateral Balance on the relevant date of determination.

US Risk Retention: It is unclear whether this transaction would be subject to or exempt from the U.S. Risk Retention Rules and whether the Collateral Manager or the Retention Holder might be deemed a “sponsor” for the purposes of the U.S. Risk Retention Rules. Each of the Collateral Manager and the Retention Holder has informed the Issuer that it does not intend to purchase or retain Notes for the purposes of satisfying the U.S. Risk Retention Rules. Nevertheless, to the extent that the U.S. Risk Retention Rules apply to this offering, the Collateral Manager and the Retention Holder intend to comply with the “Safe harbor for certain foreign-related transactions” contained in Section __.20 of the U.S. Risk Retention Rules.