ICG Euro CLO 2023-2: 04 February 2024

The assets securing the Notes will consist primarily of a portfolio of Senior Obligations, Mezzanine Obligations and High Yield Bonds, and will be managed by Intermediate Capital Managers Limited.

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; it is not a Defaulted Obligation, a Credit Risk Obligation 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, it has a Fitch Rating of not lower than “CCC-” and a S&P Rating of not lower than “CCC–”; it is an ESG Compliant Obligation; 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 Step-Down Coupon Security or a Step-Up Coupon Security.

The Issuer anticipates that, by the Issue Date, it (or the Investment Manager on its behalf) will have purchased or committed to purchase Collateral Obligations the Aggregate Principal Balance of which is equal to at least €378mln, which is 94.50% of the Target Par Amount.

The Notes (other than the Class Z Notes) are being offered by the Issuer through Jefferies International Limited in its capacity as Initial Purchaser of the Notes, subject to prior sale.

EU Risk Retention: Intermediate Capital Managers Limited shall act as Retention Holder for the purposes of the Securitisation Regulation Requirements and will undertake to 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 first loss tranche of not less than 5% of the nominal value of the securitised exposures through the purchase and retention of Subordinated Notes with an original Principal Amount Outstanding such that the aggregate purchase price thereof equals or exceeds 5% of the Collateral Principal Amount.

US Risk Retention: On the Issue Date, the Retention Holder expects to hold Subordinated Notes in an amount equal to at least 5% of the “fair value” of all Subordinated Notes issued on the Issue Date as an “eligible horizontal residual interest”.