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Palmer Square European CLO 2024-1 DAC: 06 May 2024


The assets securing the Notes will consist of a portfolio of primarily Senior Secured Loans, Senior Secured Bonds, Unsecured Senior Loans, Second Lien Loans, Mezzanine Obligations and High Yield Bonds, and will be managed by Palmer Square Europe Capital Management LLC.

Eligibility criteria (includes): it is a Senior Secured Loan (which may include PIK Securities), a Senior Secured Bond, an Unsecured Senior Loan, a Mezzanine Obligation (which may include PIK Securities), a Second Lien Loan, a Corporate Rescue Loan or a High Yield Bond; it is not a Defaulted Obligation or a Credit Impaired Obligation; it is not a Zero Coupon Security; 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 Servicer; it is not a Project Finance Loan; it is not a Step-Down Coupon Security; it shall have been acquired by the Issuer for a purchase price of not less than 50% of the par value thereof; it is, to the best of the Servicer's knowledge, an ESG Compliant Obligation; other than in the case of a Corporate Rescue Loan or Uptier Priming Debt, it has an S&P Rating of not lower than "CCC-" and a Fitch Rating of not lower than "CCC-".

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Collateral Obligations the Aggregate Principal Balance of which equals at least €360mln, representing 90.0% of the Target Par Amount.

EU & UK Risk Retention: The Retention Holder will undertake, as an originator, to subscribe for on the Issue Date and hold on an ongoing basis and for its own account, for so long as any Class of Notes remains outstanding, a material net economic interest of not less than 5% of the Principal Amount Outstanding of each Class of Notes.

US Risk Retention: The Issuer does not expect to be required to retain the Minimum Risk Retention Requirement pursuant to the US Risk Retention Rules provided, however, that the Collateral Manager in its capacity as Retention Holder will retain the Retention Notes on the Issue Date, with the intention of complying with the Securitisation Regulations.