Arbour CLO VIII DAC: 20 August 2020

The assets securing the notes will consist of a portfolio of primarily Senior Loans, Secured Senior Bonds, Mezzanine Obligations and High Yield Bonds, and will be managed by Oaktree Capital Management (Europe) LLP. The deal will feature a non-call to 15 July 2021, and a reinvestment period up to 15 July 2033.

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, a High Yield Bond, a PIK Obligation or a Bridge Loan; it is not a lease; it is not a Structured Finance Security, a Project Finance Loan, a pre-funded letter of credit or a Synthetic Security; it is not a debt obligation that pays scheduled interest less frequently than annually (other than, for the avoidance of doubt, PIK Obligations); 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); it is not a Step-Down Coupon Security; it is not a Zero Coupon Obligation; it has a minimum purchase price of 60.0% of the Principal Balance of such Collateral Debt Obligation.

The Issuer anticipates that, by the Issue Date, it (or the Collateral Manager on its behalf) will have purchased or committed to purchase Collateral Debt Obligations the Aggregate Principal Balance of which is at least €285mln, which is approximately 95.0% of the Target Par Amount.

The notes are being offered by the issuer through Barclays Bank PLC or an affiliate thereof in its capacity as initial purchaser of the offering of such notes subject to prior sale.

EU Risk Retention: On the Issue Date the Retention Holder, Oaktree Capital Management (Europe) LLP, will undertake to acquire and retain a material net economic interest in the transaction, which will be comprised of a first loss tranche, by holding in its own name and on its own account, on an ongoing basis for so long as any Class of Notes remains outstanding, Subordinated Notes with a Principal Amount Outstanding such that the aggregate purchase price thereof equals no less than 5% of the Target Par Retention Amount.

US Risk Retention: The Collateral Manager has informed the Issuer that it does not expect to be required to retain the Minimum Risk Retention Requirement pursuant to the U.S. Risk Retention Rules.