OCP Euro CLO 2020-4 DAC: 26 June 2020

The assets securing the notes will consist primarily of a portfolio of Senior Obligations, Mezzanine Obligations and High Yield Bonds, and will be managed by Onex Credit Partners, LLC. Founded in 1984, Onex invests and manages capital on behalf of its shareholders, institutional investors and high net worth clients from around the world. In total Onex has approximately $33bln of assets under management, of which approximately $6.0bln is shareholder capital.

Eligibility criteria (includes): it is a Secured Senior Obligation, a Corporate Rescue Loan, an Unsecured Senior Obligation, a Mezzanine Obligation, a Second Lien Loan or a High Yield Bond, in each case; it is not a Defaulted Obligation or a Credit Risk Obligation (unless such Defaulted Obligation is being acquired in an Exchange Transaction); it is not a Structured Finance Security or a Synthetic Security; it is not a lease; 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 of an Obligor or Obligors Domiciled in a Non-Emerging Market Country (as determined by the Portfolio Manager acting on behalf of the Issuer); it is not a Project Finance Loan; it has a minimum purchase price of 60.0% of the Principal Balance of such Collateral Obligation.

The Issuer anticipates that, by the Issue Date, it, or the Portfolio Manager on its behalf, will have purchased or committed to purchase Collateral Obligations the Aggregate Principal Balance of which is equal to at least €225mln, which is 90.0% of the Target Par Amount.

The notes are being offered by the Issuer through Credit Suisse Securities (Europe) Limited in its capacity as initial purchaser of the offering of the notes subject to prior sale.