XI(R)

Ocean Trails CLO (OCTR) XI(R)

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
W	OTU	93.000	5.90	-	RR	-	-	-	39.00%	-	Oxfztewh	QQCZ	-	155n	155	WEGE+155	-	-
C	EBH	336.000	5.60	-	ZZZ	-	-	-	78.30%	-	Pphxkmvh	LIWU	-	104b	103	JUBO+103	-	-
H	UWR	62.000	7.60	-	SSS-	-	-	-	13.70%	-	Jkydkzsk	YZVS	-	290x	310	LWUQ+310	-	-
V	TNN	58.000	5.30	-	II-	-	-	-	9.10%	-	Hrzphyie	NULI	-	650j	685	JDFA+685	-	-
M1	QNF	14.000	2.60	-	M	-	-	-	57.70%	-	Zqbwwioy	NYZH	-	185j	185	GBPI+185	-	-

Tranche Comments

C: Redemption: 2026-02-04; Registration: 144K/Ocd K; W: Redemption: 2026-02-04; Registration: 144Z/Mom I; M1: Redemption: 2026-02-04; Registration: 144B/Ycp Y; H: Redemption: 2026-02-04; Registration: 144J/Ovk L; V: Redemption: 2026-02-04; Registration: 144D/Ycn Q;

Deal Comments

Ibbqnknzqne. Sen-Akll Nbsqebh 1.00

Risk Retention

YQ - Jlnh YY - Jln

Pricing Speed

20 DDR

Reinvestment Period (YRS)

5.1

Reinvestment Period End Date

Jan 29, 2011