Bosphorus CLO DAC (BOSPC) VI

Commerzbank AG

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R-2	COX	76.000	3.10	Vu2	OO	-	97.30%	-	Jgngm	-	-	-	1.65%	1.650%	679.00000
F-2	PHF	1.100	-	GA	EF	-	-	-	-	-	-	-	-	-	Retained
C	WBG	139.000	9.90	Zvv	SSS	-	29.00%	-	Mehjxzle	3zQh	-	85	3yPt+85	-	313.00000
O	YNQ	91.100	1.80	X2	F	-	93.40%	-	Ecehelxj	3fHx	-	210	3xEi+210	-	520.00000
S	OPW	5.000	9.50	Nss	WWW	-	-	-	Wvffzboj	3lSs	-	30	3bMw+30	-	469.00000
I-1	KDJ	38.440	9.70	Jy2	WW	-	89.40%	-	Ukbdcmhg	3nEf	-	135	3rRl+135	-	645.00000
S-1	LLZ	6.800	-	CM	IS	-	-	-	-	-	-	-	-	-	Retained
N	VWD	56.500	3.00	Dhh2	KKK	-	60.90%	-	Ncsmzaxi	3wLo	-	343	3dTo+343	-	360.00000
M	WGM	32.300	5.00	C2	I	-	3.00%	-	Qxpkorts	3wFu	-	870	3jAa+790	-	14.00000
Q	OPZ	80.840	3.70	Wu2	XX	-	12.00%	-	Xyfqccru	3xAj	-	625	3tEs+580	-	57.00000
Nel	IHE	59.100	-	DB	QA	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

S-1: First Pay: 2021-08-25; Redemption: 2022-06-25; S: First Pay: 2021-08-25; Redemption: 2022-06-25; C: First Pay: 2021-08-25; Redemption: 2022-06-25; I-1: First Pay: 2021-08-25; Redemption: 2022-06-25; R-2: First Pay: 2021-08-25; Redemption: 2022-06-25; O: First Pay: 2021-08-25; Redemption: 2022-06-25; N: First Pay: 2021-08-25; Redemption: 2022-06-25; Q: First Pay: 2021-08-25; Redemption: 2022-06-25; M: First Pay: 2021-08-25; Redemption: 2022-06-25; F-2: First Pay: 2021-08-25; Redemption: 2022-06-25; Nel: First Pay: 2021-08-25; Redemption: 2022-06-25;

Deal Comments

Lco Gmyy Xfxqcxj 1.00

Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 12, 2010

WAL Test Period (YRS)

WAL Test Period End Date

Mar 27, 2016