We consider the well-known Lozi map, which is a 2D piecewise linear map depending on two parameters. This map can be considered as a piecewise linear analog of the Hénon map, allowing to simplify the rigorous proof of the existence of a chaotic attractor. The related parameter values belong to a part of the parameter plane where the map has two saddle fixed points. In the present paper, we investigate a different part of the parameter plane, namely, the vicinity of the curve related to a center bifurcation of the fixed point. A distinguishing property of the Lozi map is that it is conservative at the parameter value corresponding to this bifurcation. As a result, the bifurcation structure close to the center bifurcation curve is quite complicated. In particular, an attracting fixed point (focus) can coexist with various attracting cycles, as well as with chaotic attractors, and the number of coexisting attractors increases as the parameter point approaches the center bifurcation curve. The main result of the present paper is related to the rigorous description of this bifurcation structure. Specifically, we obtain, in explicit form, the boundaries of the main periodicity regions associated with the pairs of complementary cycles with rotation number [Formula: see text]. Similar approach can be applied to other periodicity regions. Our study contributes also to the border collision bifurcation theory since the Lozi map is a particular case of the 2D border collision normal form.