Birch Grove CLO (BIRCH) 11

Birch Grove Capital

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D2	CNV	9.000	-	ZQ	-	KKK-	-	-	66.00%	-	Dflrm	-	400-425	-	7.973%	-	-
D	YRU	18.000	-	CG	-	ZZ-	-	-	8.00%	-	Dcccrqwe	UMWL	575-600	580	MQQV+580	-	-
Z1	JZP	16.000	-	SW	-	SSS-	-	-	53.00%	-	Gbupkuwr	LBZV	295-305	310	CMLK+310	-	-
Efn	UUR	84.740	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
P1	YQA	152.000	-	Gpp	-	FE	-	-	18.00%	-	Acazdarh	JHVH	136	136	LSIX+136	-	-
B2	JAA	97.000	-	BZ	-	CCC	-	-	52.00%	-	Yvrpjabp	TIUT	156a	161	BJFA+161	-	-
Y	MTC	99.000	-	MS	-	QQ	-	-	54.00%	-	Wecvkbyn	QMJN	170-175	175	HAPN+175	-	-
U	UPH	87.000	-	PI	-	S	-	-	27.00%	-	Nqydhwbc	DCAF	190-200	200	EIVP+200	-	-

Tranche Comments

P1: Redemption: 2027-01-22; Registration: 144P/Row Z; B2: Redemption: 2027-01-22; Registration: 144U/Leq X; Y: Redemption: 2027-01-22; Registration: 144X/Hve L; U: Redemption: 2027-01-22; Registration: 144A/Pvw A; Z1: Redemption: 2027-01-22; Registration: 144P/Caf N; D2: Redemption: 2027-01-22; Registration: 144O/Wsv E; D: Redemption: 2027-01-22; Registration: 144W/Ttj M; Efn: Redemption: 2027-01-22; Registration: 144C/Bhk Y;

Deal Comments

Sfy Scyy Hktefja 2.00. Gbk jkcy ocq emqeikj

Risk Retention

OZ - Tfp

Pricing Speed

20% KUF

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 27, 2003