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Cairn CLO XI DAC: 14 December 2019

The assets securing the notes will consist of a portfolio of primarily Senior Loans, Senior Secured Bonds, Mezzanine Obligations and High Yield Bonds, and will be managed by Cairn Loan Investments II LLP.

Eligibility criteria (includes): it is a Senior Secured Loan, a Senior Secured Bond, an Unsecured Senior Loan, a Mezzanine Obligation, a Second Lien Loan or a High Yield Bond; it is not a Defaulted Obligation or a Credit Impaired Obligation; it is not a lease; it is not a Structured Finance Security, pre-funded letter of credit or a Synthetic Security; other than in the case of a Corporate Rescue Loan, it has a Fitch Rating of not lower than "CCC" and an S&P Rating of not lower than "CCC"; it is not a Zero Coupon Security; is not an obligation of a borrower who or which is resident in or incorporated under the laws of Ireland and who or which is not acting in the conduct of a business or profession; it is an obligation in respect of which the Obligor (or the guarantor of such obligation) is Domiciled in a Qualifying Country, as determined by the Investment Manager; it is not a Project Finance Loan; it has a minimum purchase price of 60.0% of the Principal Balance of each Collateral Debt Obligation.

The Notes are being offered by the Issuer through Citigroup Global Markets Limited in its capacity as arranger and placement agent of the offering of such Notes subject to prior sale.

EU Risk Retention: Retention Holder (the Investment Manager) will undertake to subscribe for and retain, on an ongoing basis for so long as any Class of Rated Notes remains Outstanding, Class M-1 Notes with a Principal Amount Outstanding equal to not less than 5% of the Aggregate Collateral Balance as of the Issue Date in accordance with Article 6(3)(d) of the Securitisation Regulation as in effect on the Issue Date.

US Risk Retention: None of the Investment Manager, its Affiliates or any other party is expected to have any obligation to meet the Minimum Risk Retention Requirement pursuant to the U.S. Risk Retention.