Carlyle Global Market Strategies Euro CLO 2015-2 Designated Activity Company -- Moody's assigns provisional ratings to seven classes of refinancing notes to be issued by Carlyle Global Market Strategies Euro CLO 2015-2 DAC

Rating Action: Moody's assigns provisional ratings to seven classes of refinancing notes to be issued by Carlyle Global Market Strategies Euro CLO 2015-2 DACGlobal Credit Research - 28 Jan 2022London, 28 January 2022 -- Moody's Investors Service ("Moody's") announced that it has assigned the following provisional ratings to refinancing notes to be issued by Carlyle Global Market Strategies Euro CLO 2015-2 DAC (the "Issuer"):....EUR 248,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2035, Assigned (P)Aaa (sf)....EUR 26,500,000 Class A-2A-R Senior Secured Floating Rate Notes due 2035, Assigned (P)Aa2 (sf)....EUR 12,500,000 Class A-2B-R Senior Secured Fixed Rate Notes due 2035, Assigned (P)Aa2 (sf)....EUR 24,400,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2035, Assigned (P)A2 (sf)....EUR 29,600,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2035, Assigned (P)Baa3 (sf)....EUR 20,200,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2035, Assigned (P)Ba3 (sf)....EUR 11,200,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2035, Assigned (P)B3 (sf)RATINGS RATIONALEThe rationale for the ratings is based on a consideration of the risks associated with the CLO's portfolio and structure as described in our methodology.As part of this reset, the Issuer will amend the base matrix and modifiers that Moody's will take into account for the assignment of the definitive ratings.As part of this refinancing, the Issuer will extend the reinvestment period by 4.7 years to 4.7 years and the weighted average life by 2.9 years to 8.7 years. It will also amend certain concentration limits, definitions including the definition of "Adjusted Weighted Average Rating Factor" and minor features. The issuer will include the ability to hold loss mitigation obligations. In addition, the Issuer will amend the base matrix and modifiers that Moody's will take into account for the assignment of the definitive ratings.The Issuer is a managed cash flow CLO. At least 90% of the portfolio must consist of secured senior loans or senior secured bonds and up to 10% of the portfolio may consist of unsecured senior loans, second-lien loans, high yield bonds and mezzanine loans. The underlying portfolio is expected to be approximately 55% ramped as of the closing date.CELF Advisors LLP ("CELF") will continue to manage the CLO. It will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 4.7-year reinvestment period. Thereafter, subject to certain restrictions, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations and credit improved obligations.The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority.In addition to the seven classes of notes rated by Moody's, the Issuer will increase the Subordinated Notes which were originally issued to a total of Euro 47.9 million which are not rated.Methodology Underlying the Rating Action:The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1293730. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.Factors that would lead to an upgrade or downgrade of the ratings:The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance.Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021.Moody's used the following base-case modeling assumptions:Target Par Amount: EUR 400,000,000Diversity Score: 51Weighted Average Rating Factor (WARF): 3075Weighted Average Spread (WAS): 3.60%Weighted Average Coupon (WAC): 4.50%Weighted Average Recovery Rate (WARR): 44.5%Weighted Average Life (WAL): 7.7 yearsMoody's has addressed the potential exposure to obligors domiciled in countries with local currency ceiling (LCC) of A1 or below. As per the portfolio constraints and eligibility criteria, exposures to countries with LCC of A1 to A3 cannot exceed 10% and obligors cannot be domiciled in countries with LCC below A3.Further details regarding Moody's analysis of this transaction may be found in the related new issue report, available soon on Moodys.com.REGULATORY DISCLOSURESFor further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1316604.The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the EU and is endorsed by Moody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating. Selina Wong Vice President - Senior Analyst Structured Finance Group Moody's Investors Service Ltd. One Canada Square Canary Wharf London E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 Carole Gintz Associate Managing Director Structured Finance Group JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 Releasing Office: Moody's Investors Service Ltd. 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