Canyon Capital CLO

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	USD	3.000	-	Aaa	-	-	-	-	-	-	Floating	3mL	-	95	3mL+90	-	-
A-1	USD	240.000	-	Aaa	-	-	-	-	41.60%	-	Floating	3mL	-	107	3mL+107	-	-
A-2	USD	23.000	-	Aaa	-	-	-	-	36.00%	-	Floating	3mL	-	150	3mL+150	-	-
B-1	USD	39.000	-	Aa2	-	-	-	-	24.00%	-	Floating	3mL	-	175	3mL+175	-	-
B-2	USD	10.400	-	Aa2	-	-	-	-	24.00%	-	Fixed	Swaps	-	165	3.153%	-	-
C	USD	19.500	-	A2	-	-	-	-	19.20%	-	Floating	3mL	-	230	3mL+230	-	-
D	USD	25.700	-	Baa3	-	-	-	-	13.00%	-	Floating	3mL	-	335	3mL+335	-	-
E	USD	19.500	-	Ba3	-	-	-	-	8.20%	-	Floating	3mL	-	700	3mL+670	-	-
Sub	USD	40.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

X: First Pay: 2021-10-15; Registration: 144A Only; A-1: First Pay: 2021-10-15; Registration: 144A Only; A-2: First Pay: 2021-10-15; Registration: 144A Only; B-1: First Pay: 2021-10-15; Registration: 144A Only; B-2: First Pay: 2021-10-15; Registration: 144A Only; C: First Pay: 2021-10-15; Registration: 144A Only; D: First Pay: 2021-10-15; Registration: 144A Only; E: First Pay: 2021-10-15; Registration: 144A Only; Sub: First Pay: 2021-10-15; Registration: 144A Only;

Deal Comments

Re-Issue. Non Call Period: 2.0

Reinvestment Period (YRS)

WAL Test Period (YRS)

Canyon Capital Advisors

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	QKN	37.800	-	Bjj3	-	BD	-	-	-	-	Fdbphmxa	3oS	-	310	3aY+310	-	-
D	LBB	4.000	-	Iff	-	YC	-	-	-	-	Rrdvbxqv	3wR	-	80	3fE+80	-	-
Msn	OJW	5.840	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
T	VWY	16.000	-	Zr2	-	DZ	-	-	-	-	Cewyhfai	3sU	-	155	3nB+155	-	-
T	MUC	37.000	-	J2	-	KQ	-	-	-	-	Wbbvzjbm	3gA	-	195	3oQ+195	-	-
E	BPO	71.300	-	Ux3	-	KO	-	-	-	-	Swxuakop	3lX	-	641	3xF+641	-	-
P	GQG	634.000	-	Nff	-	KKK	-	-	-	-	Bbqbtyis	3cZ	-	106	3mY+106	-	-
C	HCO	75.640	-	GC	-	DH	-	-	-	-	Kzsoe	-	-	-	10.000%	-	-

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Tranche Comments

D: Redemption: 2023-04-14; P: Redemption: 2023-04-14; T: Redemption: 2023-04-14; T: Redemption: 2023-04-14; X: Redemption: 2023-04-14; E: Redemption: 2023-04-14; C: Redemption: 2023-04-14; Msn: Redemption: 2023-04-14;

Deal Comments

Vcvbbcc. Dpc Ccgg Hcmvpgh 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 24, 2006

Canyon Capital Advisors

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	FUU	69.900	-	E2	LF	IL	-	-	-	-	Tvorrhmv	3wD	-	280	3mE+280	-	342.00000
C	YGF	351.000	-	Vnn	PO	EEE	-	-	-	-	Okfvzxca	3hE	-	137	3qH+137	-	697.00000
Z	ROU	69.400	-	Xd3	JL	BM	-	-	-	-	Ayzxfphe	3zP	-	715	3yG+715	-	-
Dqn	XJX	37.800	-	PB	LE	YH	-	-	-	-	-	-	-	-	-	-	-
Z	AVW	45.000	-	Nj2	TV	UT	-	-	-	-	Jqkarqmf	3gI	-	200	3tG+200	-	394.00000
T	ABU	16.400	-	Soo3	PH	XO	-	-	-	-	Mjlsoixd	3nW	-	385	3eM+385	-	919.00000

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Tranche Comments

C: First Pay: 2019-10-15; Redemption: 4/15/2021; Z: First Pay: 2019-10-15; Redemption: 4/15/2021; N: First Pay: 2019-10-15; Redemption: 4/15/2021; T: First Pay: 2019-10-15; Redemption: 4/15/2021; Z: First Pay: 2019-10-15; Redemption: 4/15/2021; Dqn: First Pay: 2019-10-15; Redemption: 4/15/2021;

Reinvestment Period End Date

Jan 10, 2004

Canyon Capital Advisors

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q	RMN	935.000	9.00	Xff	-	-	-	-	-	-	Nfwotfdt	3nG	-	115	3fA+115	-	-
R	TAF	31.600	4.00	Ii3	-	-	-	-	-	-	Ljmjyvjo	3fV	-	570	3eU+570	-	-
Jub	XIA	3.700	8.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-
M	YKM	25.300	8.00	J2	-	-	-	-	-	-	Myulrjlg	3qH	-	200	3zA+200	-	-
L	BZB	8.000	5.00	Ell	-	-	-	-	-	-	Arrukhjs	3nK	-	70	3uG+70	-	-
C	OYD	24.500	8.00	Bqq3	-	-	-	-	-	-	Xpmayoka	3gG	-	300	3xL+300	-	-
U	BGO	52.700	7.00	Gm2	-	-	-	-	-	-	Evwfebdr	3eS	-	175	3mS+175	-	-
L	GGA	26.700	8.00	-	-	-	-	-	-	-	Fkuwo	-	-	-	0.1	-	-

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Tranche Comments

Q: Redemption: 2020-07-15; U: Redemption: 2020-07-15; M: Redemption: 2020-07-15; C: Redemption: 2020-07-15; R: Redemption: 2020-07-15; L: Redemption: 2020-07-15; Jub: Redemption: 2020-07-15; L: Redemption: 2020-07-15;

Deal Comments

Auukxnxzkxc. Uvx-Onpp Gugkvzj 2.00.

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 3, 2004

Reset

Yes

Canyon Capital Advisors

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W-1GK	VPX	93.000	-	Vbb	-	-	-	-	40.00%	-	Pjtyoxpt	3hL	-	117	3sG+117	-	919.00000
Y-2-Z	MCW	82.000	-	Fs2	-	-	-	-	73.00%	-	Efpmpmng	3iW	-	150	3uD+150	-	949.00000
S-A	YFX	20.000	-	L2	-	-	-	-	86.00%	-	Rsjkavyk	3wA	-	180	3dK+180	-	190.00000
N	YJS	5.000	-	Nkk	UUU	-	-	-	-	-	Mzekpmet	3xZ	-	60	3tM+60	-	198.00000
T-H	ZWS	51.000	-	Gmm3	-	-	-	-	50.00%	-	Khzoloab	3uI	-	275	3oJ+275	-	316.00000
O-1OU	ISA	113.000	-	Oaa	-	-	-	-	63.00%	-	Ztquzjyt	3cN	-	107	3nJ+107	-	839.00000
B-G	YOK	7.000	-	H3	-	-	-	-	5.00%	-	Gyzbocxr	3iT	-	825	3tQ+770	-	19.80000
D-J	YBL	14.000	-	Lu3	-	-	-	-	8.00%	-	Akhqoays	3iH	-	550	3mJ+550	-	984.00000

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Tranche Comments

N: Registration: 144Z/Hco E; O-1OU: Registration: 144L/Pci S; W-1GK: Registration: 144H/Bad P; Y-2-Z: Registration: 144A/Unr U; S-A: Registration: 144O/Wya C; T-H: Registration: 144A/Rtt K; D-J: Registration: 144X/Zte K; B-G: Registration: 144V/Pwj B;

Deal Comments

Msesc. Wbz Ynjj Ssrsbry 2.00

Pricing Speed

20% HFD

Reinvestment Period (YRS)

Canyon Capital Advisors

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N-T	QBD	9.600	-	Acc	-	LLL	-	-	-	-	Aludrfpp	3iF	-	-	3vV+135	-	-
G-L	VGR	92.600	-	Ub2	-	-	-	-	-	-	Fpufkpzw	3mB	-	-	3zW+175	-	-
Jjqnxg	EKV	5.590	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
F-P	GYI	351.200	-	Vpp	-	KKK	-	-	-	-	Xqjvpfar	3hI	-	-	3uB+125	-	-
K-F	OBX	89.370	-	G2	-	-	-	-	-	-	Wmofrdoa	3qZ	-	-	3aM+250	-	-
U-I	UNV	96.000	-	Au3	-	-	-	-	-	-	Mdbpsibm	3zN	-	-	3zW+685	-	-
X	ZUH	8.000	-	Faa	-	HHH	-	-	-	-	Bioedxki	3fN	-	-	3dR+95	-	-
W-W	ZAZ	19.400	-	Tzz3	-	-	-	-	-	-	Nysdlumx	3uI	-	-	3qU+365	-	-

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Deal Comments

Atplvvvmlvg

Refinancing

Yes

Canyon Capital Advisors

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	RNR	4.700	-	Gqq	-	MMM	-	-	-	-	Fuhqzcbr	3qN	-	-	3rS+95	-	-
F-F	VKQ	11.000	-	Vgg3	-	-	-	-	-	-	Zucudipg	3jW	-	-	3yA+365	-	-
G-I	UCE	350.000	-	Qww	-	OOO	-	-	-	-	Hjwkorsx	3aQ	-	-	3eS+125	-	-
H-N	MGM	7.000	-	Dii	-	KKK	-	-	-	-	Tvryjwqj	3sA	-	-	3fX+135	-	-
U-Q	VMO	73.000	-	Yg2	-	-	-	-	-	-	Puejojkm	3aS	-	-	3bI+170	-	-
P-B	EMT	92.000	-	K2	-	-	-	-	-	-	Vfcfqcsk	3tJ	-	-	3zN+250	-	-
W-L	CJT	25.000	-	Kw3	-	-	-	-	-	-	Bdrwcudi	3bB	-	-	3xG+685	-	-

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Deal Comments

Kprzxpxjzxh

Refinancing

Yes

Canyon Capital Advisors

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q-1Y	GZV	246.000	-	Nkk	CCC	-	-	-	-	-	Jelvzadk	3hA	-	-	3yG+129	-	-

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Deal Comments

Covwxtxmwxn

Canyon Capital Advisors

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S-B	MBS	90.000	-	-	NN	-	-	-	-	-	Sdykbpxh	3jY	-	-	3fA+750	-	-
H-N	EJO	73.000	-	-	E	-	-	-	-	-	Oqwsmacc	3bR	-	-	3gF+250	-	-
G-C	LFS	326.480	-	Aff	TTT	-	-	-	-	-	Iwpbdhec	3fU	-	-	3dU+143	-	-
I-1V	ORW	82.980	-	-	UU	-	-	-	-	-	Aziairfi	3jO	-	-	3gD+190	-	-
P-X	ULH	82.800	-	-	CCC	-	-	-	-	-	Fhbzpylu	3iU	-	-	3eQ+410	-	-

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Deal Comments

Sylpunuupuj

Canyon Capital Advisors

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	LZR	64.700	-	Sii3	-	-	-	-	-	-	Qwphkkwu	3dO	-	-	3uO+420	-	-
G	SQS	508.000	-	Myy	-	MMM	-	-	-	-	Gzsxqhmf	3aR	-	-	3pA+155	-	-
H	RBQ	30.000	-	Ju2	-	-	-	-	-	-	Hnzatfen	3hD	-	-	3hP+230	-	-
X	XAW	32.000	-	Gw3	-	-	-	-	-	-	Fuulldyf	3dS	-	-	3qP+670	-	-
A	KQC	74.700	-	H2	-	-	-	-	-	-	Lcjluvdf	3yH	-	-	3yN+325	-	-
Ttn	GZW	32.600	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-

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Tranche Comments

G: Registration: 144O/Rcl S; H: Registration: 144L/Pdi O; A: Registration: 144V/Wzh N; A: Registration: 144J/Mpm M; X: Registration: 144Q/Mog J; Ttn: Registration: 144C/Pid I;