Toro European CLO 10 DAC: 01 April 2025

The assets securing the Notes will consist primarily of a portfolio of Senior Secured Loans, Senior Secured Bonds, Mezzanine Obligations, Unsecured Obligations, Second Lien Loans and High Yield Bonds, in respect of which Chenavari Credit Partners LLP is acting as investment manager.

Eligibility criteria (includes): it is a Senior Secured Loan, Senior Secured Bond, Second Lien Loan, Mezzanine Obligation, Unsecured Obligation or High Yield Bond; unless it is a Corporate Rescue Loan, it is not an obligation which has a S&P Rating lower than "CCC-" or a Fitch Rating lower than "CCC-"; it is not a lease (including a financial lease); it is not a Structured Finance Obligation, Synthetic Security, Step-Up Coupon Security, Step-Down Coupon Security or Project Finance Loan; it has a S&P Rating and a Fitch Rating; it is not a Zero-Coupon Security.

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Collateral Debt Obligations the Aggregate Principal Balance of which equals approximately €394.6mln (representing 78.93% of the Target Par Amount).

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

EU & UK Risk Retention: The Originator (Taurus Corporate Financing LLP) in its capacity as the Retention Holder will undertake that it will acquire and hold on an ongoing basis, for so long as any Class of Notes remains outstanding, Subordinated Notes with an original Principal Amount Outstanding equal to no less than 5% of the Aggregate Collateral Balance.

US Risk Retention: The Retention Holder intends to satisfy the risk retention requirements under the US Risk Retention Rules by acquiring and holding an “eligible horizontal residual interest” in an amount at least equal to the amount required (and for so long as required) by the US Risk Retention Rules.