Arini European CLO I DAC: 19 December 2023

The assets securing the Notes will primarily consist of a portfolio of Secured Senior Loans, Secured Senior Bonds, Unsecured Senior Obligations, Mezzanine Obligations, Second Lien Loans, Corporate Rescue Loans and High Yield Bonds, and will be managed by Squarepoint Capital LLP prior to the Authorisation Date and Arini Capital Management Limited.

Squarepoint is part the Squarepoint Group, which operates an asset management business and provides discretionary investment advisory services. As of 30 June 2023, the Squarepoint Group has approximately USD17bln of assets under management, and has its main offices in Singapore, New York and London. Arini is currently trading under the name of Squarepoint, which is authorised and regulated by the FCA. As of 31 August 2023, Arini has approximately USD 2.9bln of assets under management and maintains offices in London, New York and Washington employing 17 investment professionals.

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; it is not a Structured Finance Security or a Synthetic Security; other than in the case of Corporate Rescue Loans or Uptier Priming Debt, it is an obligation which has a Fitch Rating of “CCC-” or higher and an S&P Rating of “CCC-” or higher; it has not been called for, and is not subject to a pending, redemption; it is not a Project Finance Loan; the minimum purchase price of the Collateral Obligation is 60.0% of the Principal Balance of such Collateral Obligation.

The Notes are being offered by the Issuer through Merrill Lynch International in its capacity as Initial Purchaser of the Notes subject to prior sale.

EU & UK Risk Retention: Arini Loan Management Designated Activity Company will act as retention holder. In such capacity, for the purposes of the EU/UK Retention Requirements, the originator, sponsor or original lender will retain, on an ongoing basis, a material net economic interest of not less than 5% in the securitisation in accordance with the applicable EU/UK Retention Requirement.

US Risk Retention: The Retention Holder will retain the US Retained Interest in compliance with the US Risk Retention Rules and such that the US Retained Interest satisfies the requirements for retaining an “eligible vertical interest” under the US Risk Retention Rules.