Palmer Square 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 U.S. dollar
• Closing date on or after January 1, 2009
• Minimum deal size of $600 million for deals issued Jan 1, 2009 – Dec 31, 2012
• Minimum deal size of $500 million for deals issued Dec 31, 2012 – current

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