Schedule 4 - Taxation

Version 1 - Released and Dated 14th November 2022

SCHEDULE 4 - TAXATION

Prospective investors should consult their professional advisers on the possible tax consequences of buying, holding or selling any Notes under the laws of their country of citizenship, residence or domicile.

Luxembourg Taxation

Taxation of the Management Company

The Management Company will be considered as a fiscal resident of Luxembourg from a Luxembourg tax law perspective and should therefore be able to obtain a residence certificate from the Luxembourg tax authorities.

The Management Company will be liable for Luxembourg corporation taxes. The current standard applicable rate in Mamer, including corporate income tax (impôt sur le revenu des collectivités), municipal business tax (impôt commercial communal) and solidarity taxes, is 28,69 per cent. Liability for such corporation taxes extends to the Issuer's worldwide profits including capital gains, subject to the provisions of any relevant double taxation treaty. The taxable income of the Issuer is computed by application of all rules of the Luxembourg Income Tax Law of 4 December 1967 (Loi concernant l'impôt sur le revenu), as amended and currently applied by the Luxembourg tax authorities.

Taxation of the Issuer

The Issuer is the Management Company acting for and on behalf of the Compartment.

Each Compartment of the Securitisation Fund is incorporated as a contractual relation between the Management Company and the Unitholders.

The Notes are issued at the charge of one Compartment.

The Issuer is deemed to be tax transparent for Luxembourg tax laws.

It will not be considered a fiscal resident of Luxembourg from a Luxembourg tax law perspective and should therefore not be able to obtain a residence certificate from the Luxembourg tax authorities.

Conversely, the Unitholders of the Compartment(s) may claim to be the holder of the portion of the assets and liabilities of the Compartment in which they hold Units.

The profits realised by the Compartment are not subject to tax in Luxembourg. However, in certain circumstances, the Unitholders may be taxed in Luxembourg or abroad by transparency on some gains realized on some Luxembourg (foreign) based assets.

The payment of interests, coupons, and premia upon redemption of some Notes are not subject to withholding taxes at source in Luxembourg but may in certain conditions not be deductible for some Unitholders in their country of residence,

The transfer or sale of securities of the Issuer will not be subject to Luxembourg registration or stamp duty.

The Issuer will not be subject to an annual minimum wealth tax (impôt sur la fortune) . Should such tax become applicable it would be apportioned between the Compartments.

Taxation of Non-Resident Noteholders

Under Luxembourg general tax laws currently in force, there is no withholding tax on payments of principal, premium or interest made to non-resident Noteholders, nor on accrued but unpaid interest in respect of the Notes, nor is any Luxembourg withholding tax payable upon redemption or repurchase of the Notes held by non-resident Noteholders.

Non-resident Noteholders, who do not have a permanent establishment or fixed place of business in Luxembourg, to which the Notes are attributable, will not be subject to Luxembourg taxation with respect to payments of principal or interest (including accrued but unpaid interest), payments received upon redemption, repurchase or exchange of the Notes.

Gains realised by a non-resident Noteholder, who does not have a permanent establishment or fixed place of business in Luxembourg, to which the Notes are attributable, on the sale or disposal of Notes are not subject to Luxembourg income tax.

Noteholders will not be deemed resident, domiciled or carrying on business in Luxembourg solely by reason of holding, execution, performance, delivery, exchange and/or enforcement of the Notes.

Taxation of Resident Noteholders

Under the law of 23 December 2005, as amended (hereinafter the “Relibi Law”), payments of interest or similar income made or ascribed by a paying agent established in Luxembourg to or for the benefit of an individual beneficial owner who is a resident of Luxembourg will be subject to a withholding tax of 20 per cent. Such withholding tax will be in full discharge of income tax if the beneficial owner is an individual acting in the course of the management of his/her private wealth. Responsibility for the withholding of the tax lies with the Luxembourg-paying agent. An individual beneficial owner resident in Luxembourg, acting in the course of the management of his/her private wealth, may opt for a final withholding tax of 20 per cent on eligible interest income received from a paying agent established in an EU Member State, EEA State (Iceland, Liechtenstein and Norway). In case such an option is exercised, such interest does not need to be reported in the annual tax return.

Noteholders who are residents of Luxembourg will not be liable for any Luxembourg income tax on repayment of principal.

A Noteholder who is a resident of Luxembourg for tax purposes or who has a permanent establishment or a fixed place of business in Luxembourg, to which the Notes are attributable, is subject to Luxembourg income tax in respect of the interest paid or accrued on, or any other income derived from, the Notes. An individual Luxembourg resident Noteholder, acting in the course of the management of his/her private wealth, is subject to Luxembourg income tax in respect of interest or any other income received, except if withholding tax has been levied on such payments in accordance with the Relibi Law.

Under Luxembourg, domestic tax law, gains realised by an individual Noteholder, who acts in the course of the management of his private wealth and who is a resident of Luxembourg for tax purposes, on the sale or disposal, in any form whatsoever, of Notes are not subject to Luxembourg income tax, provided this sale or disposal took place at least six months after the acquisition of the Notes. An individual Noteholder, who acts in the course of the management of his private wealth and who is a resident of Luxembourg for tax purposes, has further to include the portion of the gain corresponding to accrued but unpaid interest in respect of the Notes in his taxable income, except if (a) withholding tax has been levied on such payments in accordance with the Relibi Law, or (b) the individual Noteholder has opted for the application of a 20 per cent tax in full discharge of income tax in accordance with the Relibi Law, which applies if a payment of interest has been made or ascribed by a paying agent established in an EU Member State (other than Luxembourg), or in a Member State of the European Economic Area (other than an EU Member State).

Such withholding tax or self-applied tax on interest payments received by the Luxembourg individual resident taxpayers acting in the framework of their private wealth is a final tax liability.

Gains realised by a corporate Noteholder or by an individual Noteholder, who acts in the course of the management of a professional or business undertaking, who is a resident of Luxembourg for tax purposes or who has a permanent establishment or a fixed place of business in Luxembourg, to which the Notes are attributable, on the sale or disposal, in any form whatsoever, of Notes are subject to Luxembourg income tax.

A Luxembourg Noteholder that is governed by the Law on private wealth management companies of 11 May 2007, as amended by the Law on undertakings for collective investment of 17 December 2010, as amended, or by the Law on specialised investment funds of 13 February 2007, as amended, or by the law of 23 July 2016 on reserved alternative investment funds, as amended (to the extent that the Noteholder has not opted to be treated as an investment company in risk capital) will not be subject to any Luxembourg income tax in respect of interest received or accrued on the Notes, or on gains realised on the sale or disposal, in any form whatsoever, of Notes.

Wealth tax

A corporate Noteholder who is resident in Luxembourg for tax purposes or maintains a permanent establishment or a permanent representative in Luxembourg to which such Notes are attributable, is subject to Luxembourg wealth tax on such Notes, except if the Noteholder is governed by the Law on private wealth management companies of 11 May 2007, as amended, by the Law on undertakings for collective investment of 17 December 2010, as amended, by the Law on specialised investment funds of 13 February 2007, as amended, or if the Noteholder is another securitisation company under the Securitisation Law or an investment company in risk capital under the law of 15 June 2004, as amended (both subject to an annual minimum wealth tax).

An individual Noteholder, whether he/she is a resident of Luxembourg or not, is not subject to Luxembourg wealth tax on Notes.

Other taxes applicable to Noteholders

Under present Luxembourg tax law, in the case where a Noteholder is a resident for tax purposes of Luxembourg at the time of his death, the Notes are included in his taxable estate, for inheritance tax purposes and gift tax may be due on a gift or donation of Notes, if the gift is recorded in a Luxembourg deed.

Proposed financial transactions tax

The European Commission has published a proposal for a Directive for a common financial transactions tax ("FTT") in Belgium, Germany, Estonia, Greece, Spain, France, Italy, Austria, Portugal, Slovenia and Slovakia (the "participating Member States"). The proposed FTT has very broad scope and could, if introduced in its current form, apply to certain dealings in Notes (including secondary market transactions) in certain circumstances. Primary market transactions are in principle exempt.

Under the current proposal, the FTT could apply in certain circumstances to persons both within and outside of the participating Member States. Generally, it would apply to certain dealings in Notes where at least one party is a financial institution, and at least one party is established in a participating Member State.

Prospective holders of Notes are advised to seek their own professional advice in relation to the FTT.

CRS

European Directive 2014/107/EU of 9 December 2014 (“Directive”) amending Directive 2011/16/EU as regards mandatory automatic exchange of information in the field of taxation, like other international agreements, such as those that have been or will be adopted in connection with the information exchange standard developed by the OECD (more generally known as the ‘Common Reporting Standard’ or ‘CRS’), require participating jurisdictions to obtain information from their financial institutions and to exchange such information as of 1 January 2016. The Directive has been implemented into Luxembourg law by the Law of 2015.

Accordingly, Noteholders may be required to provide information in relation to their identity and fiscal residence (and certain other information) in order to ascertain their CRS status and information regarding a Noteholder may be reported to the Luxembourg tax authorities.

Investors should consult their professional advisors on the possible tax and other consequences with respect to the implementation of the CRS.

DAC6

Additionally, on 25 May 2018, the Council of the European Union adopted Directive 2018/822 amending Directive 2011/16/EU as regards the mandatory automatic exchange of information in the field of taxation that imposes a reporting obligation on parties involved in transactions that may be associated with aggressive tax planning (“DAC 6”).

More specifically, the reporting obligation applies to cross-border arrangements that, among others, satisfy one or more “hallmarks” provided for in DAC6 (the “Reportable Arrangement”).

In the case of a Reportable Arrangement, the information that must be reported includes the name of all relevant taxpayers and intermediaries, details on the hallmarks that make the arrangement reportable, a summary of the content of the Reportable Arrangement, the date on which the first steps of the arrangement were made or will be made, the value of the Reportable Arrangement as well as the identification of any EU Member States likely to be concerned by the Reportable Arrangement and any other person likely to be affected by the arrangement.

The reporting obligation rests in principle with persons that design, market or organise the Reportable Arrangement and professional advisors (intermediaries). However, in certain cases, the taxpayer itself can be subject to the reporting obligation.

The information reported will be automatically exchanged between the tax authorities of all Member States.

DAC 6 should have been implemented in the domestic laws of the Member States by 31 December 2019 and apply as from 1 July 2020 pursuant to the law of 25th of March 2020.

In light of the broad scope of DAC6, transactions carried out by the Issuer or Noteholder(s) may fall within the scope of DAC6 and thus be reportable.

FATCA

The Foreign Account Tax Compliance Act ("FATCA") became law in the United States in 2010. It requires financial institutions outside the United States ("foreign financial institutions" or "FFIs") to pass information about "financial accounts" held by "specified U.S. persons", directly or indirectly, to the U.S. tax authorities, the Internal Revenue Service ("IRS") on an annual basis. A 30% (thirty percent) withholding tax is imposed on certain U.S. source income of any FFI that fails to comply with this requirement. On 28 March 2014, the Grand-Duchy of Luxembourg entered into a Model 1 Intergovernmental Agreement ("IGA") with the United States of America and a memorandum of understanding in respect thereof. The Issuer would hence have to comply with such Luxembourg IGA as implemented into Luxembourg law by the Law relating to foreign account tax compliance of 24 July 2015 (the "Luxembourg FATCA") in order to comply with the provisions of FATCA rather than directly complying with the U.S. Treasury Regulations implementing FATCA.

Under Luxembourg FATCA and the Luxembourg IGA, it may be required to collect information aiming to identify direct and indirect Noteholders that are "Specified U.S. Persons" for FATCA purposes ("FATCA reportable accounts"). Any such information on FATCA reportable accounts will be shared with the Luxembourg tax authorities which will exchange that information on an automatic basis with the Government of the United States of America pursuant to Article 28 of the Convention between the United States of America and the Grand Duchy of Luxembourg for the Avoidance of Double Taxation and the Prevention of Fiscal Evasion with respect to Taxes in Income and Capital, entered into in Luxembourg on 3 April 1996.

To ensure compliance with FATCA, Luxembourg FATCA and the Luxembourg IGA:

1. Noteholders may be requested to submit information or documentation, including W-8 tax forms, a Global Intermediary Identification Number, if applicable, or any other valid evidence of a Noteholder's FATCA registration with the IRS or a corresponding exemption, in order to ascertain such Noteholder's FATCA status;

2. information concerning a FATCA reportable account under Luxembourg FATCA and the Luxembourg IGA may be reported to the Luxembourg tax authorities;

3. information concerning payments to Noteholders with FATCA status of a non-participating foreign financial institution may be reported to the Luxembourg tax authorities;

4. applicable U.S. withholding taxes may be deducted from certain payments made to a Noteholder in accordance with FATCA, Luxembourg FATCA and the Luxembourg IGA; and

5. any such personal information may be divulged to any immediate payer of certain U.S. source income as may be required for withholding and reporting to occur with respect to the payment of such income.

The discussion on US taxation is not intended or written to be used, and it cannot be used by any taxpayer, for the purpose of avoiding penalties that may be imposed on the taxpayer. The discussion was written to support the documentation of issuance of the Notes described herein. Each prospective Investor should seek advice based on such investor's particular circumstances from an independent tax advisor.

Dividend Equivalent Payment (Section 871(m))

The Section 871(m) of the US tax code provides for a 30 per cent. withholding tax (subject to reduction under an applicable treaty) on "dividend equivalents" that are paid to foreign investors with respect to certain financial instruments that reference the performance of a United States equity. Under these rules, if a Note that is issued after 1 January 2017 provides for "delta-one" exposure to the performance of shares of a United States corporation, the Issuer will be obligated to impose United States withholding tax in respect of the actual dividends that are paid on the shares of the corporation (or corporations) that are referenced by the Note even if the Issuer does not actually transmit such amounts to the Noteholder. This tax will also apply if a Note provides for “delta-one” exposure to an index or basket that includes shares of a United States corporation unless as discussed below, the index or basket constitutes a "qualified index". If the basket or index is not a "qualified index", the tax will only apply to the dividends on shares of the United States corporations that are included in the index. A Note will generally be treated as providing for a "delta-one" position if it provides for 100 per cent. participation in all of the appreciation and depreciation in the performance of the shares that are referenced by the Note during the term of the Note.

The Issuer will state in the Final Terms of any Series of Notes that reference the performance of equity, an index or a basket that includes equity or an index if we have determined that the Note is subject to Section 871(m) withholding tax as of the issue date of the Note.

If a Note is subject to the Section 871(m) withholding tax described above, each dividend that is paid on a

U.S. equity that is referenced by the Note will be subject to a withholding tax at the time that the dividend is paid (or, in certain cases, at the close of the quarter upon which the dividend is paid) even though the Issuer will not make any distributions on such Note until the redemption or maturity of the Note. The Issuer will remit the withholding tax to the IRS. The Issuer will not reduce the amount that is due under the Note by the amount of the Section 871(m) withholding tax. Rather, the Issuer will be deemed to have paid the amount of the Section 871(m) tax to the Noteholder and then paid such amount on the Noteholder’s behalf to the IRS. The Issuer expects, however, that as a general matter, any Note that is subject to the Section 871(m) tax will reference a net dividend index or basket in which the dividend amount that is included in the index or basket will be reduced by the amount of withholding tax that would be imposed on a direct foreign holder of the United States stocks that are referenced by the Note (which is the same rate as the Section 871(m) tax). In addition, the withholding tax rate that will be used to determine the Section 871(m) withholding tax as well as the net dividend that is included in the index or basket that is referenced by the Note will not take into account any reduced rate to which a Noteholder may be entitled under an applicable tax treaty. Furthermore, a Noteholder may not receive the necessary information reporting to enable you to claim a refund for the excess of the withholding tax over the tax that would be imposed under an applicable treaty. In addition, a Noteholder may not be able to claim a credit for the payment of Section 871(m) withholding tax in the Noteholder’s resident tax jurisdiction, and the Noteholder therefore should consult a tax advisor in such jurisdiction as to whether he/she/it will be able to claim such a credit. The withholding tax that the Issuer collects will completely satisfy a Noteholder's Section 871(m) tax liability and therefore no other withholding agent (including any financial intermediaries in the chain of ownership for the Note) will be obligated to impose any additional Section 871(m) tax with respect to the Note.

The Section 871(m) withholding tax will generally not apply to a Note that references a qualified index even if it is otherwise a "delta-one" Note. A "qualified index" is an index that is passive, diverse, widely used by numerous market participants, and that satisfies a number of technical requirements that are set forth in United States Treasury regulations. Even if an index otherwise constitutes a "qualified index", a Note may not be treated as referencing a "qualified index" with respect to a particular holder if the holder holds a related short position in one or more of the component securities in the index (other than a short position in the entire index, or a "de minimis" short position with a value of less than 5 per cent. of the value of the long positions in the index). Because of this possibility, custodians and other withholding agents may require a holder of a Note that references a "qualified index" to make representations or certifications regarding the nature of any short positions that it holds with respect to the components of the index, and it is possible that a custodian or other withholding agent will impose the Section 871(m) withholding tax if it does not receive a satisfactory representation or certification or if it otherwise concludes that you may hold a related short position described above.

In addition, a Noteholder may be subject to Section 871(m) even if it holds a Note that is not a "delta-one" Note under the rules described above if (a) the Noteholder's position under the Note would be "delta-one" when combined with other related positions that are held by the Noteholder or (b) if a principal purpose for the holder's investment in the Note is to avoid the application of Section 871(m), in which case a special Section 871(m) anti-abuse rule could apply to the Noteholder's investment in the Notes. In such a case, a United States alien Noteholder may be liable for Section 871(m) tax in respect of its Notes even when no withholding is required in respect of the Notes.

Furthermore, Notes that are issued on or after 1 January 2021 may be subject to Section 871(m) even if they are not a "delta-one" Security under the rules described above. It is possible that the IRS could assert that a Note that is issued before such date could be deemed to be reissued for tax purposes after 1 January 2021 upon (a) a rebalancing or adjustment of the asset, position, index or basket that is referenced by the Note or (b) a substitution of the issuer of a Note. In such a case, a Note that is originally issued before 1 January 2021 and is not "delta-one" (and is thus originally not subject to Section 871(m)) could be subject to Section 871(m) after the deemed reissuance. The application of Section 871(m) to the Notes is complex, and there may be uncertainties regarding the application of Section 871(m) to the Notes. If you are a United States alien Noteholder, the Noteholder should consult his tax advisor about the application of Section 871(m) to his Notes.

In case any payments will be made to the Noteholders through Clearstream Luxembourg and Euroclear (the “ICSDs”), there will not be any withholding tax deducted or processed by the ICSDs. Payments will be made in gross amounts.

Other jurisdictions

Interest, dividend and other income realised by the Issuer derived from the Underlying Assets may be subject to withholding and other taxes levied by the jurisdictions in which the income is sourced. It is impossible to predict the rate of foreign tax the Issuer will pay since the amount of the assets to be invested in various countries and the ability of the Issuer to mitigate such taxes is not known.

The information set out above is a summary of those tax issues which could arise in Luxembourg and does not purport to be a comprehensive analysis of the tax issues which could affect a prospective subscriber in the Notes. It is expected that Noteholders may be resident for tax purposes in many different countries. Consequently, no attempt is made in this Private Placement Memorandum to summarise the tax consequences for each prospective investor of subscribing, converting, holding, redeeming or otherwise acquiring or disposing of the Notes. These consequences will vary in accordance with the law and practice currently in force in an investor's country of citizenship, residence, domicile or incorporation and with his or her personal circumstances.

Future changes in applicable law

The foregoing description of Luxembourg tax consequences of an investment in the Notes is based on laws and regulations which are subject to change through legislative, judicial or administrative action. Other legislation could be enacted that would subject the Issuer to income taxes or subject Noteholders to increased income taxes or withholding taxes.