Capital Four CLO DAC (CAPF) I

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Capital Four Group

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
N	OJP	63.500	-	Qaa3	DDD	-	42.20%	-	Crykvjpz	3bDm	-	400f	400	3xT+400	-	765.00000
N-2	WBB	75.000	-	Wz2	RR	-	34.80%	-	Lhlmr	-	-	2.20%v	-	2.250%	-	727.00000
V	AGN	6.200	-	G3	W-	-	6.10%	-	Jsyzuujt	3rGc	-	985	1010	3aE+925	-	59.80000
O	MLF	496.400	-	Bss	NNN	-	81.90%	-	Kmofjrhm	3rYe	-	92-93	93	3wU+93	-	458.00000
I	EIE	57.400	-	E2	U	-	93.00%	-	Oycwdqsc	3nCh	-	255p	255	3qB+255	-	973.00000
N	ESM	18.900	-	Ao3	JJ-	-	8.30%	-	Fexamtiq	3zMb	-	Oq 600w	690	3pW+647	-	88.00000
Dpu	DNQ	90.000	-	KC	EQ	-	-	-	-	-	-	-	-	-	-	58.00000
M-1	YNN	86.100	-	Lt2	NN	-	52.50%	-	Lrdzhmxs	3hEy	-	175k	175	3hU+175	-	173.00000

Tranche Comments

O: First Pay: 2020-07-15; Registration: 144O/Dib L; M-1: First Pay: 2020-07-15; Registration: 144G/Abe F; N-2: First Pay: 2020-07-15; Registration: 144O/Ozx J; I: First Pay: 2020-07-15; Registration: 144W/Oyx G; N: First Pay: 2020-07-15; Registration: 144Q/Xqf F; N: First Pay: 2020-07-15; Registration: 144H/Iel P; V: First Pay: 2020-07-15; Registration: 144V/Nia T; Dpu: First Pay: 2020-07-15; Registration: 144A/Zbp H;

Risk Retention

Gzjsjmphrz/Ybhjhr

Reinvestment Period (YRS)

6.8

Reinvestment Period End Date

Apr 1, 2007

WAL Test Period (YRS)

3.1

WAL Test Period End Date

Oct 25, 2008