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
Z-1	EUR	1.500	-	NR	NR	-	-	-	-	-	-	-	-	-	Retained
X	EUR	2.000	1.70	Aaa	AAA	-	-	-	Floating	3mEu	-	30	3mEu+30	-	100.00000
A	EUR	217.000	5.40	Aaa	AAA	-	38.00%	-	Floating	3mEu	-	85	3mEu+85	-	100.00000
B-1	EUR	26.750	6.90	Aa2	AA	-	27.50%	-	Floating	3mEu	-	135	3mEu+135	-	100.00000
B-2	EUR	10.000	6.90	Aa2	AA	-	27.50%	-	Fixed	-	-	-	1.65%	1.650%	100.00000
C	EUR	24.500	7.50	A2	A	-	20.50%	-	Floating	3mEu	-	210	3mEu+210	-	100.00000
D	EUR	19.600	8.00	Baa2	BBB	-	14.90%	-	Floating	3mEu	-	343	3mEu+343	-	100.00000
E	EUR	17.150	8.60	Ba2	BB	-	10.00%	-	Floating	3mEu	-	625	3mEu+580	-	97.00000
F	EUR	10.500	9.00	B2	B	-	7.00%	-	Floating	3mEu	-	870	3mEu+790	-	95.00000
Z-2	EUR	1.500	-	NR	NR	-	-	-	-	-	-	-	-	-	Retained
Sub	EUR	29.950	-	NR	NR	-	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

Z-1: First Pay: 2021-08-25; Redemption: 2022-06-25; X: First Pay: 2021-08-25; Redemption: 2022-06-25; A: First Pay: 2021-08-25; Redemption: 2022-06-25; B-1: First Pay: 2021-08-25; Redemption: 2022-06-25; B-2: First Pay: 2021-08-25; Redemption: 2022-06-25; C: First Pay: 2021-08-25; Redemption: 2022-06-25; D: First Pay: 2021-08-25; Redemption: 2022-06-25; E: First Pay: 2021-08-25; Redemption: 2022-06-25; F: First Pay: 2021-08-25; Redemption: 2022-06-25; Z-2: First Pay: 2021-08-25; Redemption: 2022-06-25; Sub: First Pay: 2021-08-25; Redemption: 2022-06-25;

Deal Comments

Non Call Period: 1.00

Risk Retention

EU: Taurus Corporate Financing LLP will retain a material net economic interest in the first loss tranche to comply with EU retention requirements; US: reliance on foreign safe harbor

Reinvestment Period (YRS)

Reinvestment Period End Date

May 25, 2025

WAL Test Period (YRS)

WAL Test Period End Date

Sep 25, 2029

COMPANY

FINSIGHT.COM