Trinitas (Mackay Shields Euro CLO 2) Refinance: 12 May 2022

The assets securing the Notes will consist of a portfolio of primarily Senior Loans, Senior Secured Bonds, Mezzanine Obligations and High Yield Bonds, and will be managed by Trinitas Capital Management LLC (as successor collateral manager to WhiteStar Asset Management LLC).

On 30 July 2020 (the Original Issue Date) Trinitas Euro CLO II (formerly known as MacKay Shields Euro CLO-2 Designated Activity Company) issued Class X Senior Secured Floating Rate Notes due 2033, Class A Senior Secured Floating Rate Notes due 2033, Class B Senior Secured Floating Rate Notes due 2033, Class C Senior Secured Deferrable Floating Rate Notes due 2033, Class D Senior Secured Deferrable Floating Rate Notes due 2033, Class E Senior Secured Deferrable Floating Rate Notes due 2033 and Subordinated Notes due 2033.

On 28 April 2022 (the re-Issue Date) the Issuer will, subject to certain conditions, refinance the Original Rated Notes by issuing Class X-R Senior Secured Floating Rate Notes due 2035, Class A-R Senior Secured Floating Rate Notes due 2035, Class B-R Senior Secured Floating Rate Notes due 2035, Class C-R Senior Secured Deferrable Floating Rate Notes due 2035, Class D-R Senior Secured Deferrable Floating Rate Notes due 2035, Class E-R Senior Secured Deferrable Floating Rate Notes due 2035 and Class F-R Senior Secured Deferrable Floating Rate Notes due 2035. The Issuer will also issue additional Subordinated Notes due 2035.

The Offered Notes are being offered by the Issuer through BNP Paribas in its capacity as initial purchaser of the Offered Notes subject to prior sale.

EU & UK Risk Retention: The Collateral Manager shall act as Retention Holder for the purposes of the EU/UK Retention Requirements and will, on the Issue Date, purchase and retain on an ongoing basis, as Originator, not less than 5% of the nominal value of the securitised exposures through the purchase and retention of Subordinated Notes with an original Principal Amount Outstanding such that the aggregate purchase price thereof equals or exceeds 5% of the Aggregate Collateral Balance in accordance with and pursuant to Articles 6(1) and 6(3)(d) of the EU/UK Securitisation Regulations.

US Risk Retention: Based on the LSTA Decision and the Mandate, it should be assumed that no party involved in the transaction will obtain on the Issue Date and retain any Notes intended to satisfy the US Risk Retention Rules.