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Barings Euro CLO 2023-2 DAC: 23 December 2023

The assets securing the Notes will consist of a portfolio of predominantly Secured Senior Obligations, Secured Senior Notes, Unsecured Senior Obligations, Second Lien Loans, Mezzanine Obligations and High Yield Bonds, and will be managed by Barings (UK) Limited (the Collateral Manager).

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; 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, Step-Up Coupon Security or Step-Down Coupon Security; other than in the case of Corporate Rescue Loans or Uptier Priming Debt, it is an obligation which has a Fitch Rating of “CCC-” or higher and a S&P Rating of “CCC-” or higher; 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 Project Finance Loan; it is purchased at a price not less than 60.0% of the Principal Balance thereof.

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 €383.31mln, which is approximately 95.83% of the Target Par Amount.

The Notes (other than the Retention Notes) are being offered by the Issuer through Jefferies International Limited in its capacity as placement agent of the offering of such Notes subject to prior sale.

EU & UK Risk Retention: With respect to the EU/UK Retention and Transparency Requirements, the Retention Holder (Barings (UK) Limited) will acquire and hold the Retention Notes.

US Risk Retention: According to the LSTA Decision it should be assumed that no party involved in the transaction will obtain on the Issue Date and retain any Notes intended to satisfy the US Risk Retention Rules