Carlyle Euro CLO 2018-2: 01 September 2018

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 (in each case, which is not a sub-participation of a sub-participation); it is not a Defaulted Obligation or a Credit Risk Obligation; it is not a Structured Finance Security or a Synthetic Security; it is not a lease; it is not a Zero Coupon Security; other than in the case of a Corporate Rescue Loan, it has a Fitch Rating of not lower than "CCC-" and a Moody's Rating of not lower than "Caa3"; 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 Project Finance Loan; it is not a PIK Security; it has a minimum purchase price of 60.0% of the Principal Balance of such Collateral Obligation.

The Issuer has purchased or entered into an agreement to purchase a substantial portion of the Portfolio on or prior to the Issue Date pursuant to warehouse financing and related arrangements entered into by the Issuer prior to the Issue Date.


EU Risk Retention: The Collateral Manager shall act as the Retention Holder for the purposes of the EU Retention Requirements. On the Issue Date the Collateral Manager will, for so long as any Notes are outstanding, undertake to subscribe for (at the initial issuance) and retain, on an ongoing basis and for its own account, a material net economic interest in the transaction, which will be comprised of not less than 5% of the Principal Amount Outstanding of each Class of Notes pursuant to paragraph 1(a) of Article 405 of the CRR, paragraph 2(a) of the Solvency II Retention Requirements and Article 51(1)(a) of the AIFMD (being, as of the Issue Date, the "Retention Notes").

US Risk Retention: Based on the LSTA opinion, the Collateral Manager has informed the Issuer that it does not intend to obtain and retain any Notes intended to satisfy the U.S. Risk Retention Rules nor will any party seek to satisfy any requirements set forth under the U.S. Risk Retention Rules.