Cross Ocean Bosphorus CLO X DAC: 19 August 2024

The assets securing the Notes will consist primarily of a portfolio of Senior Secured Loans and Senior Secured Bonds in respect of which Cross Ocean Adviser LLP is acting as Investment Manager.

The Investment Manager is an affiliate within the wider Cross Ocean Partners group. Cross Ocean Partners is a credit asset management platform investing globally in a broad range of credit and hard asset classes, including corporate loans and bonds, liquidations, aviation and real estate, and the Cross Ocean Group has assets under management of $7.6 billion as of 30 June 2024.

Eligibility criteria (includes): it is a Senior Secured Loan, Senior Secured Bond, Second Lien Loan, Unsecured Obligation or High Yield Bond; unless it is a Corporate Rescue Loan or an obligation which is Uptier Priming Debt, it is not an obligation which has a S&P Rating lower than "CCC-"; unless it is a Corporate Rescue Loan or an obligation which is Uptier Priming Debt, it is not an obligation which has a Fitch Rating lower than "CCC- "; it is an obligation of an Obligor or Obligors Domiciled in an Eligible Country; it is not a lease; it is not a Structured Finance Obligation, Synthetic Security, Zero-Coupon Security, Step-Up Coupon Security, Step-Down Coupon Security or Project Finance Loan.

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Portfolio Assets the Aggregate Principal Balance of which equals approximately €388mln (representing approximately 97.0% of the Target Par Amount).

The Notes are being offered by the Issuer through Morgan Stanley & Co. International plc in its capacity as Initial Purchaser of the Notes subject to prior sale.

EU Risk Retention: The Retention Holder (Cross Ocean Corporate Financing 1) as “originator” for the purposes of the Securitisation Regulations will subscribe for (on the Issue Date and on the issue date of each additional issuance of Notes subject to and in accordance with the Conditions) and retain on an ongoing basis a material net economic interest in the first loss tranche of not less than 5% of the nominal value of the securitised exposures through the purchase and retention of Subordinated B Notes with an aggregate purchase price equal to or greater than 5% of the Aggregate Collateral Balance on the relevant date of determination pursuant to Article 6(3)(d) of the Securitisation Regulations.

US Risk Retention: The Investment Manager does not intend to retain a risk retention interest contemplated by the US Risk Retention Rules. The transaction has been structured in reliance on the foreign safe harbour exemption to the US Risk Retention Rules.