Canyon Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	202.300	-	-	AAA	AAA	-	-	Floating	3mEu	-	153	3mEu+153	-	100.00000
A-L1	EUR	113.700	-	-	AAA	AAA	-	-	Floating	3mEu	-	153	3mEu+153	-	100.00000
A-L2	EUR	25.000	-	-	AAA	AAA	-	-	Floating	3mEu	-	153	3mEu+153	-	100.00000
B-1	EUR	53.000	-	-	AA	AA	-	-	Floating	3mEu	-	225	3mEu+225	-	100.00000
B-2	EUR	7.500	-	-	AA	AA	-	-	Fixed	YLD	-	-	5.700%	5.700%	100.00000
C	EUR	33.000	-	-	A	A	-	-	Floating	3mEu	-	300	3mEu+300	-	100.00000
D	EUR	37.100	-	-	BBB-	BBB-	-	-	Floating	3mEu	-	425	3mEu+425	-	100.00000
E	EUR	23.400	-	-	BB-	BB-	-	-	Floating	3mEu	-	715	3mEu+700	-	99.00000
F	EUR	16.500	-	-	B-	B-	-	-	Floating	3mEu	-	870	3mEu+720	-	94.00000
Z	EUR	10.000	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained
Sub	EUR	43.000	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

A: First Pay: 2025-01-15; Redemption: 2026-07-15; Registration: 144A/Reg S; A-L1: First Pay: 2025-01-15; Redemption: 2026-07-15; Registration: 144A/Reg S; A-L2: First Pay: 2025-01-15; Redemption: 2026-07-15; Registration: 144A/Reg S; B-1: First Pay: 2025-01-15; Redemption: 2026-07-15; Registration: 144A/Reg S; B-2: First Pay: 2025-01-15; Redemption: 2026-07-15; Registration: 144A/Reg S; C: First Pay: 2025-01-15; Redemption: 2026-07-15; Registration: 144A/Reg S; D: First Pay: 2025-01-15; Redemption: 2026-07-15; Registration: 144A/Reg S; E: First Pay: 2025-01-15; Redemption: 2026-07-15; Registration: 144A/Reg S; F: First Pay: 2025-01-15; Redemption: 2026-07-15; Registration: 144A/Reg S; Z: First Pay: 2025-01-15; Redemption: 2026-07-15; Registration: 144A/Reg S; Sub: First Pay: 2025-01-15; Redemption: 2026-07-15; Registration: 144A/Reg S;

Deal Comments

Non Call Period: 2.00. The deal was upsized from EUR400m to EUR550m

Risk Retention

EU - Yes

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 15, 2029

WAL Test Period (YRS)

WAL Test Period End Date

Jul 15, 2033

Canyon Capital Advisors

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	DDE	957.000	-	-	OOO	JJJ	-	-	Ruhklpzr	3wEi	-	180	3vTq+180	-	259.00000
I	KQT	12.600	-	-	AA	II	-	-	Ivebccuy	3tNw	-	290	3fUm+273	-	68.00000
D	AIV	1.800	-	-	B-	X-	1.60%	-	Dpmyrlwt	3sZd	-	815	3ePh+797	-	42.00000
Bmq	HMA	59.300	-	-	HL	QV	-	-	-	-	-	-	-	-	427.00000
Q-1	GZY	67.700	-	-	EEE+	SSS	-	-	Xzlozcmz	3vRm	-	575	3pNr+558	-	49.00000
P	DVS	10.400	-	-	L	C	-	-	Kejsspcx	3eDo	-	415	3aVb+415	-	451.00000
Q	SPY	94.000	-	-	KU	MI	-	-	-	-	-	-	-	-	7.40000
K-Putm	VKY	99.000	-	-	RRR	FFF	-	-	Ulchfkxt	3nUi	-	180	3bHv+180	-	366.00000
Y-2	GHE	3.300	-	-	OOO	AAA-	-	-	Grqysrvb	3wRo	-	675	3oDj+632	-	42.90000
N	JJH	44.700	-	-	DD-	YY-	-	-	Quhftuov	3hTh	-	940	3zSp+801	-	31.20000

More Details

Tranche Comments

G: First Pay: 2023-10-15; Registration: 144J/Hyi Z; K-Putm: First Pay: 2023-10-15; Registration: 144H/Mww B; I: First Pay: 2023-10-15; Registration: 144X/Chn J; P: First Pay: 2023-10-15; Registration: 144T/Kva R; Q-1: First Pay: 2023-10-15; Registration: 144H/Vkn S; Y-2: First Pay: 2023-10-15; Registration: 144W/Mcl Y; N: First Pay: 2023-10-15; Registration: 144N/Vxh V; D: First Pay: 2024-04-15; Redemption: 2025-04-15; Registration: 144W/Pvv N; Comments: Hzfujzj Mbbvugjz Huugjbz. Quijzj tg 3/1/2024; Q: First Pay: 2023-10-15; Registration: 144B/Nbc A; Bmq: First Pay: 2023-10-15; Registration: 144B/Oec O;

Deal Comments

Yuw Evnn Iorpuwj 2.00. Envoo Ij Yuw Evnn Iorpuwj 1.00. ZIj 5/4/2027 (3br). Ioccno Avcoj 3/8/2024

Risk Retention

XN - Szi

Reinvestment Period (YRS)

Reset

Yes