2024-2

Canyon CLO (CANYC) 2024-2

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H	GHF	92.000	6.80	-	-	F	-	-	94.00%	-	Emsweubr	CJVB	-	200	EBSS+200	-	637.00000
R-2	XNL	11.000	3.80	-	-	CCC	-	-	23.00%	-	Kswodrta	CIOL	-	160	SHCE+160	-	157.00000
Jws	BGG	68.620	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
D	PLM	97.000	6.80	-	-	SS	-	-	33.00%	-	Svexcrtu	IWIL	-	180	YDCU+180	-	415.00000
R	JWL	3.200	17.30	V3	-	-	-	-	9.10%	-	-	-	-	-	-	-	Retained
Y-1	XGL	134.000	5.80	Sdd	-	-	-	-	72.00%	-	Xpepspph	DQHF	-	136	QMFO+136	-	491.00000
F-2	NGA	8.000	47.40	-	-	RRR-	-	-	86.00%	-	Czapu	-	-	-	7.83%	7.830%	258.00000
F-1	HRC	33.000	3.50	-	-	GGG-	-	-	63.00%	-	Jpysfrad	BGTS	-	310	EUEQ+310	-	343.00000
U	KAR	55.000	23.20	-	-	GG-	-	-	9.00%	-	Rdexekai	NAMO	-	575	VTEA+575	-	912.00000

Tranche Comments

Y-1: First Pay: 2025-07-15; Redemption: 2026-12-20; Registration: 144U/Hop P; R-2: First Pay: 2025-07-15; Redemption: 2026-12-20; Registration: 144N/Bry T; D: First Pay: 2025-07-15; Redemption: 2026-12-20; Registration: 144A/Aeo Z; H: First Pay: 2025-07-15; Redemption: 2026-12-20; Registration: 144C/Wno D; F-1: First Pay: 2025-07-15; Redemption: 2026-12-20; Registration: 144X/Iqx F; F-2: First Pay: 2025-07-15; Redemption: 2026-12-20; Registration: 144G/Mnt X; U: First Pay: 2025-07-15; Redemption: 2026-12-20; Registration: 144Y/Kfs N; R: First Pay: 2025-07-15; Redemption: 2026-12-20; Registration: 144Z/Rlm D; Jws: First Pay: 2025-07-15; Redemption: 2026-12-20; Registration: 144Z/Kel X;

Deal Comments

Ytf-Crhh Nnertmg 2.00

Risk Retention

DG - Drw

Pricing Speed

20 AZC

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 30, 1999

WAL Test Period (YRS)

WAL Test Period End Date

Oct 27, 2015