Carlyle Euro CLO 2024-1 DAC: 15 May 2024

The assets securing the Notes (as defined below) will consist primarily of a portfolio of Senior Obligations, Mezzanine Obligations and High Yield Bonds, and will be managed by Carlyle CLO Partners Manager LLC.

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 lease; it is not a Structured Finance Security or a Synthetic Security; it is not a Zero Coupon Security; 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; other than in the case of a Corporate Rescue Loan, for so long as Fitch assigns a rating in respect of an Outstanding Class of Rated Notes, it has a Fitch Rating of not lower than “CCC-” and, for so long as S&P assigns a rating in respect of an Outstanding Class of Rated Notes, an S&P Rating of not lower than “CCC-”; it is not a Letter of Credit.

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 approximately €400mln, representing approximately 100.0% of the Target Par Amount.

The Notes (other than the Notes to be purchased by the Retention Holder) will be offered by the Issuer through BNP Paribas in its capacity as placement agent of the offering of such Notes subject to prior sale.

EU Risk Retention: The Collateral Manager (Carlyle CLO Partners Manager LLC) shall act as the Retention Holder and shall undertake to subscribe for and retain, on an ongoing basis for so long as any Notes are outstanding, a material net economic interest of not less than 5.0% of the nominal value of each Class of Notes, being the “Retention Notes”.

US Risk Retention: No party involved in the transaction will obtain on the Issue Date and retain any Notes intended to satisfy the US Risk Retention Rules.