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Nassau Euro CLO II DAC: 14 February 2023

The assets securing the Notes (as defined below) will consist primarily of a portfolio of Senior Obligations, Mezzanine Obligations and High Yield Bonds managed by Nassau Corporate Credit (UK) LLP.

Eligibility criteria (includes): it is a Secured Senior Obligation, a Corporate Rescue Loan, an Unsecured Senior Obligation, a Mezzanine Obligation, a Second Lien Loan or a High Yield Bond, in each case; it is not a Defaulted Obligation, a Credit Risk Obligation (other than in the case of a Corporate Rescue Loan, a Current Pay Obligation or a Received Obligation acquired in a Bankruptcy Exchange) or a Deferring Security; it is not a Structured Finance Security or a Synthetic Security; it is not a Zero Coupon Security; other than in the case of a Corporate Rescue Loan or Uptier Priming Debt or a Received Obligation that is a Defaulted Obligation, it has a Moody’s Rating of not lower than “Caa” and a Fitch Rating of not lower than “CCC”; 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).

The Issuer anticipates that, by the Issue Date, it (or the Collateral Manager on its behalf) will have purchased or committed to purchase Collateral Obligations the Aggregate Principal Balance of which is equal to at least €398mln, which is 99.5% of the Target Par Amount.

EU Risk Retention: Nassau Corporate Credit (UK) LLP shall act as Retention Holder for the purposes of the Securitisation Regulation Requirements and will acquire on the Issue Date and retain, in its capacity as originator, on an ongoing basis for so long as any Class of Notes remains outstanding, a material net economic interest in the transaction comprising not less than 5% of the Principal Amount Outstanding of each Class of Notes.

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