Harvest CLO XXXIII DAC: 23 November 2024

The assets securing the Notes will consist of a portfolio of Senior Secured Loans, Senior Secured Bonds, Second Lien Loans, Unsecured Senior Obligations, Mezzanine Obligations, PIK Securities, Corporate Rescue Loans and High Yield Bonds, and will be managed by Investcorp Credit Management EU Limited.

Eligibility criteria (includes): it is a Senior Secured Loan, Senior Secured Bond, Second Lien Loan, Unsecured Senior Obligation, Mezzanine Obligation, High Yield Bond, Received Obligation or PIK Security; it is not a lease; it is not an obligation whose repayment is subject to substantial non-credit related risk or the non-occurrence of certain catastrophes as determined by the Portfolio Manager; it is not convertible into equity; other than in the case of a Corporate Rescue Loan or Uptier Priming Debt, it has been assigned or otherwise has an S&P Rating of at least "CCC-" and a Fitch Rating of at least "CCC-"; it is not a Synthetic Security; it is not a Project Finance Loan; it is not a Letter of Credit; it has a minimum purchase price of 60.0% of the Principal Balance of each Collateral Debt Obligation.

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Collateral Debt Obligations the Aggregate Principal Balance of which equals at least €400mln (representing 100.0% of the Target Par Amount).

The Rated Notes are being offered by the Issuer through J.P. Morgan Securities plc or an affiliate thereof in its capacity as lead manager, arranger and initial purchaser of the offering of the Notes.

EU Risk Retention: The Portfolio Manager (Investcorp European Loan Company) shall act as an "originator" for the purposes of the Retention Requirements and will subscribe for on the Issue Date (and each subsequent date of additional issuance of Notes) and hold on an ongoing basis and on its own account, for so long as any Class of Notes remains outstanding, a material net economic interest in the transaction which will be comprised of not less than 5.0% of the Principal Amount Outstanding of each Class of Notes.

US Risk Retention: The Retention Holder will not be required to retain an eligible vertical interest in connection with satisfying the US Risk Retention Rules.