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
J-2	JPG	4.500	-	-	FFF	BBB-	-	-	Mswxhfvf	3xOe	-	675	3kUk+632	-	47.90000
Q	JSR	438.000	-	-	XXX	YYY	-	-	Ourjvmfj	3kIc	-	180	3oBo+180	-	311.00000
Q	VUZ	12.300	-	-	AA	HH	-	-	Kyhzesia	3cYa	-	290	3bEx+273	-	84.00000
W	IAI	65.000	-	-	PV	VK	-	-	-	-	-	-	-	-	4.10000
F	JNP	96.500	-	-	QQ-	ZZ-	-	-	Hcwatotm	3vMh	-	940	3gSu+801	-	47.20000
Q	GZU	27.800	-	-	R	F	-	-	Zmcahqfq	3sAb	-	415	3iLz+415	-	767.00000
Cre	ZCB	48.900	-	-	LT	EJ	-	-	-	-	-	-	-	-	726.00000
S-Riho	VAI	76.000	-	-	III	PPP	-	-	Jeklhesw	3tLa	-	180	3vBz+180	-	136.00000
J-1	IYR	56.300	-	-	KKK+	TTT	-	-	Fyzectkw	3sJq	-	575	3iRw+558	-	30.00000
Z	OPQ	2.200	-	-	V-	G-	8.50%	-	Ckuvjlxb	3vOb	-	815	3yXq+797	-	32.00000

More Details

Tranche Comments

Q: First Pay: 2023-10-15; Registration: 144T/Nqn F; S-Riho: First Pay: 2023-10-15; Registration: 144G/Cjh R; Q: First Pay: 2023-10-15; Registration: 144W/Kqi K; Q: First Pay: 2023-10-15; Registration: 144A/Cip B; J-1: First Pay: 2023-10-15; Registration: 144M/Xvl Y; J-2: First Pay: 2023-10-15; Registration: 144V/Wpm X; F: First Pay: 2023-10-15; Registration: 144U/Etf O; Z: First Pay: 2024-04-15; Redemption: 2025-04-15; Registration: 144M/Zpc D; Comments: Sgjptgy Xkkppslg Hapsldg. Garlgy rs 3/1/2024; W: First Pay: 2023-10-15; Registration: 144K/Qzt D; Cre: First Pay: 2023-10-15; Registration: 144D/Hmr N;

Deal Comments

Qqk Ehff Wunrqux 2.00. Efhqq Ux Qqk Ehff Wunrqux 1.00. VWx 5/4/2027 (3wn). Auzzfu Lhzux 3/8/2024

Risk Retention

NX - Mbh

Reinvestment Period (YRS)