Signal Harmonic CLO II DAC: 10 April 2024

The assets securing the Notes will consist primarily of a portfolio of Senior Obligations and High Yield Bonds managed by collateral manager Signal Harmonic Limited.

Signal Harmonic Limited is a limited company incorporated in England under the laws of England and Wales. The Collateral Manager is currently not authorised and regulated in the conduct of its business by the FCA, but is an appointed representative of the Co-Collateral Manager.

Eligibility criteria (includes): it is a Secured Senior Obligation, an Exchanged Obligation, a Corporate Rescue Loan, an Unsecured Senior Obligation, a Second Lien Loan, a First Lien Last Out Loan or a High Yield Bond; it is not a (i) Structured Finance Security, (ii) Letter of Credit, or (iii) Synthetic Security; it is not a (i) Zero Coupon Security, or (ii) Step-Down Coupon Security; other than in the case of a Corporate Rescue Loan (which shall have a rating as determined by the definition of “S&P Rating” and “Fitch Rating” as applicable), it is an obligation which has: (i) an S&P Rating of “CCC-” or higher, and (ii) a Fitch Rating of “CCC-” or higher; it is an obligation of an Obligor or Obligors Domiciled in a Non-Emerging Market Country (as determined by the Collateral Managers acting on behalf of the Issuer); other than in the case of a Swapped Non-Discount Obligation, it has a minimum purchase price of 60.0% of the Principal Balance of such Collateral Obligation.

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Collateral Obligations representing approximately 90.0% of the Target Par Amount. The estimated proceeds of the issue of the Notes are expected to be approximately €446,640,000.00.

EU & UK Risk Retention: On the Issue Date, Signal Loan Management DAC (the Retention Holder) will undertake, amongst other things, that it will purchase and retain certain Retention Notes with the intention of complying with the EU/UK Retention Requirements as they apply as at the Issue Date.

US Risk Retention: The Collateral Managers and the Retention Holder, as sponsors under the US Risk Retention Rules, do not intend to retain at least 5% of the credit risk of the securitised assets for the purposes of compliance with the credit risk retention requirements of Section 941 of the Dodd-Frank Act, but rather intend to rely on an exemption provided for in Section __.20 of the US Risk Retention Rules regarding non-US transactions that meet certain requirements.