Palmer Square EUR CLO Debt Index

The following types of CLOs are eligible for inclusion in the Underlying CLO Indices:

• “Arbitrage” CLOs, collateralized by broadly syndicated loans
• Only floating rate tranches are eligible for inclusion
• Tranche must be denominated in Euro (€)
• Closing date on or after January 1, 2009
• Minimum deal size of €350,000,000

The following types of CLOs are NOT eligible for inclusion in the Underlying CLO Indices:

• “Middle-market” CLOs, collateralized by loans to small or medium-sized firms and/or by loans of a small or medium size
• Fixed rate, revolver, combo, and step up notes
• Asset-backed CDOs, collateralized by residential, commercial or consumer credit loans
• Emerging market CLOs, collateralized by loans to or securities of emerging markets issuers
• “Balance Sheet” CLOs

Additional Inclusion Criteria:

• In addition to being Original‐Rated, AAA, AA, A, BBB, B, CLO debt eligible for inclusion in the EUR CLO Debt Indices must be issued on or after January 1, 2009, following the financial crisis of 2008.
• Index components must include debt issued by CLOs managed by managers who manage at least three outstanding CLOs, at least two of which commenced on or after January 1, 2009.
• For managers with more than 2 deals issued in one calendar year, the two largest based on par outstanding will be included.
• Additionally, the CLO tranches eligible for inclusion in the Underlying Index will include the top 50% based on deal issuance size per quarter.