Sound Point Euro CLO III Funding: 27 March 2020

The assets securing the Notes will consist primarily of a portfolio of Senior Loans, Senior Secured Bonds, Mezzanine Obligations and High Yield Bonds, and will be managed by Sound Point CLO C-MOA, LLC.

Eligibility criteria (includes): it is a Senior Secured Loan, a Senior Secured Bond, an Unsecured Senior Loan, a Mezzanine Obligation, a Second Lien Loan, a Corporate Rescue Loan, or a High Yield Bond; it is: (i) denominated in Euro; or (ii) denominated in a Qualifying Currency other than Euro; it is not a lease; it is not a Structured Finance Security, letter of credit or a Synthetic Security; it is not a Zero Coupon Security; other than in the case of a Corporate Rescue Loan, it has a Fitch Rating of not lower than “CCC-” and an S&P Rating of not lower than “CCC-”; it is an obligation in respect of which the Obligor (or the guarantor of such obligation) is Domiciled in a Qualifying Country, as determined by the Collateral Manager; it is not a Project Finance Loan; it shall have been acquired by the Issuer for a purchase price of not less than 60.0 per cent of the par value thereof.

The Issuer anticipates that, by the Issue Date, it or the Collateral Manager on its behalf will have purchased or committed to purchase Collateral Debt Obligations the Aggregate Principal Balance of which is equal to at least €370mln, which is approximately 92.5% of the Target Par Amount.

The Notes (other than the Retention Notes) are being offered on the Issue Date by the Issuer through Morgan Stanley & Co. International plc in its capacity as initial purchaser of the offering of such Notes subject to prior sale.

UK Risk Retention: SP CMOA in its separate capacity as Retention Holder will undertake, in accordance with the EU Retention Requirements in force as at the Issue Date, to subscribe for and retain on an ongoing basis for so long as any Class of Notes remains outstanding a material net economic interest equal to not less than 5% of the nominal value of each of the Classes of Notes sold or transferred to investors, pursuant to paragraph 3(a) of Article 6 of the Securitisation Regulation.

US Risk Retention: Based on the LSTA Decision, no party involved in the transaction will retain any Notes intended to satisfy the U.S. Risk Retention Rules