Canyon Euro CLO 2022-1 DAC: 08 May 2023

The assets securing the debt will consist of a portfolio of primarily Senior Obligations, Mezzanine Obligations and High Yield Bonds managed by Canyon CLO Advisors LP.

The Portfolio Manager is Canyon CLO Advisors LP (formerly Canyon CLO Advisors LLC), is registered as an investment advisor with the SEC and is a global value oriented alternative asset manager that employs a variety of credit strategies across a broad spectrum of asset classes.

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, which is not a sub-participation of a sub-participation); it is not a Structured Finance Security, a Letter of Credit or a Synthetic Security; it is not a Zero Coupon Security; it is not subject to a tender offer, voluntary redemption, exchange offer, conversion or other similar action for a price less than its par amount plus all accrued and unpaid interest; 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.

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Collateral Obligations the Aggregate Principal Balance of which is equal to at least €380mln, which is approximately 95.0% of the Target Par Amount.

The Rated Notes (other than €2,500,000 of the initial Principal Amount Outstanding of the Class E Notes and the Class F Notes) are being offered by the Issuer through Jefferies International Limited in its capacity as placement agent of such Notes subject to prior sale.

UK/EU Risk Retention: Canyon CLO Advisors LP (the “Retention Holder”) will undertake, amongst other things, that it will retain certain of the Subordinated Notes in connection with the EU/UK Retention Requirements.

US Risk Retention: Based on the LSTA Decision, it should be assumed by each prospective investor that no party involved in the transaction will retain any Notes intended to satisfy the US Risk Retention Rules.