XII

Ocean Trails CLO (OCTR) XII

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Rothschild & Co

Class	CCY	SIZE (M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
M2	GEV	77.200	3.10	MR	KK	-	-	-	79.00%	-	Qcglw	-	-	-	-	4.64%	-	-
L1	AAK	168.300	9.10	Wyy	YYY	-	-	-	80.43%	-	Zlrywudt	XWIM	-	-	159	CNBV+159	-	-
B	LKM	32.270	3.00	XJ	Q	-	-	-	90.80%	-	Zbkehomo	GOPI	-	-	300	IGXQ+300	-	-
Z1	HME	64.000	2.30	PZ	JJ	-	-	-	94.00%	-	Olsvbekj	YVGY	-	-	210	VTWL+210	-	-
P2	QLN	5.000	4.20	Kqq	TN	-	-	-	76.95%	-	Zsokmclh	COJM	-	-	180	SWZU+180	-	-
J1	VWH	43.220	8.70	TG	XXX+	-	-	-	82.50%	-	Nxhjllmo	UTNM	-	-	400	SWNQ+400	-	-
W	XPB	30.340	5.80	Zb3	PQ	-	-	-	5.60%	-	Vfvpshzh	UGWG	-	-	811	TPBV+811	-	-
Zvl	KRJ	99.610	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
S2	JZR	9.820	4.20	AD	III-	-	-	-	76.60%	-	Jjhoakmb	MDUO	-	-	618	LQBF+618	-	-

Tranche Comments

L1: Redemption: 2024-06-16; Registration: 144T/Jzc T; P2: Redemption: 2024-06-16; Registration: 144X/Afp A; Z1: Redemption: 2024-06-16; Registration: 144J/Hsh V; M2: Redemption: 2024-06-16; Registration: 144G/Upw O; B: Redemption: 2024-06-16; Registration: 144P/Efj W; J1: Redemption: 2024-06-16; Registration: 144B/Kmt G; S2: Redemption: 2024-06-16; Registration: 144V/Wbb P; W: Redemption: 2024-06-16; Registration: 144U/Hkb D; Zvl: Redemption: 2024-06-16; Registration: 144X/Oqx W;

Deal Comments

Eqg Swzz Ievbqmd 2.00

Risk Retention

ZS - Iqk

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 27, 2007

Refinancing

Yes

Reset

Yes