Carlyle Global Mkt Strategies Euro CLO 2016-2 : 18 December 2016

The assets securing the Notes will consist of a portfolio of primarily Senior Obligations, Mezzanine Obligations and High Yield Bonds and will be managed by CELF Advisors LLP.

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; is either (i) denominated in Euro or (ii) is denominated in a Qualifying Currency; is not convertible into or payable in any other currency; it is not a Defaulted Obligation or a Credit Risk Obligation; it is not a lease; it is not a Zero Coupon Security or Step-Up Coupon Security; it is not a Project Finance Loan; it is not a PIK Security; it has a minimum purchase price of 60 per cent 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 the Aggregate Principal Balance of which is equal to at least €320,000,000, which is approximately 80.0% of the Target Par Amount.

CRR 405: The Collateral Manager will, for so long as any Notes are Outstanding, undertake to subscribe for and retain a material net economic interest in the first loss tranche of not less than 5% of the securitised exposures by subscribing for and holding, on an ongoing basis, the Subordinated Notes.