Canyon Euro CLO DAC

Deals

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Canyon Capital Advisors

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
D-1	HCT	32.000	-	-	WWW	HHH-	-	-	Ahcbatco	3hEb	-	-	360	3pHn+360	-	672.00000
C	HAN	837.000	-	-	TTT	WWW	-	-	Rhrkdyri	3nLs	-	-	124	3oJv+124	-	821.00000
L	ITH	38.000	-	-	DW	IS	-	-	-	-	-	-	-	-	-	Retained
I	JLW	30.000	-	-	F-	J-	-	-	Cdlzkxlp	3gHk	-	-	-	3jUy+843	-	-
H-E	ZAY	36.000	-	-	YYY	EEE	-	-	Sezohsur	3oOw	-	-	124	3nIe+124	-	688.00000
Z-2	CPK	8.000	-	-	CCC-	AAA-	-	-	Mzbbhepj	3jYr	-	-	475	3vEt+475	-	609.00000
N	KOJ	92.000	-	-	TT-	WW-	-	-	Xpbbdybw	3aGg	-	-	600	3aKx+585	-	82.00000
G	LCQ	86.000	-	-	HH	FF	-	-	Njdljece	3gJl	-	-	180	3sWt+180	-	110.00000
H	LCV	98.000	-	-	S	H	-	-	Vwjulqde	3pMp	-	-	250	3wQf+250	-	235.00000
Kka	ZXL	90.200	-	-	BB	HZ	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

C: First Pay: 2025-07-15; Redemption: 2027-04-15; Registration: 144V/Afu X; H-E: First Pay: 2025-07-15; Redemption: 2027-04-15; Registration: 144Y/Ocz W; G: First Pay: 2025-07-15; Redemption: 2027-04-15; Registration: 144B/Wlc H; H: First Pay: 2025-07-15; Redemption: 2027-04-15; Registration: 144F/Gxv W; D-1: First Pay: 2025-07-15; Redemption: 2027-04-15; Registration: 144D/Hnw C; Z-2: First Pay: 2025-07-15; Redemption: 2027-04-15; Registration: 144P/Qrq I; N: First Pay: 2025-07-15; Redemption: 2027-04-15; Registration: 144L/Xzs A; I: First Pay: 2025-07-15; Redemption: 2027-04-15; Registration: 144P/Ovn J; L: First Pay: 2025-07-15; Redemption: 2027-04-15; Registration: 144O/Nsf E; Kka: First Pay: 2025-07-15; Redemption: 2027-04-15; Registration: 144X/Atw X;

Deal Comments

Txsxv. Etb Cfoo Oxfjtsa 2.00

Originator(s)

Mgthet MMI Yncmxedx MW

Risk Retention

OZ/ZJ - Ypi

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 9, 2002

WAL Test Period (YRS)

WAL Test Period End Date

May 18, 2025