III(R)

Capital Four US CLO (CAPFU) III(R)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M-2-K	ZWD	34.000	9.80	-	-	GGG	-	-	14.00%	-	Pzmsptea	JPVB	-	142	VYDY+142	-	644.00000
J-O	VOG	28.000	6.30	-	-	LL	-	-	14.00%	-	Typdtehs	EJAX	-	170	JSOE+170	-	993.00000
Z-1-Y	NOS	29.000	2.60	-	-	OOO-	-	-	62.40%	-	Hqzhxind	SVBZ	-	330	YMCI+330	-	457.00000
G-1-N	MUD	658.000	6.30	Ndd	-	-	-	-	32.00%	-	Bruokmhi	IABK	-	126	CHBE+126	-	114.00000
N-2-F	PXT	2.000	2.30	-	-	R	-	-	35.00%	-	Wnjus	-	-	-	6.07%	6.074%	334.00000
Wmd	AYZ	90.800	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
O-W	HKU	66.000	16.70	-	-	VV-	-	-	5.00%	-	Pqeoemwc	HOES	-	625	HJYC+625	-	778.00000
I-2-L	WEM	5.000	43.60	-	-	III-	-	-	32.70%	-	Jysdvqxo	JZFG	-	400	CHTE+400	-	344.00000
F-1-I	RWT	75.000	8.70	-	-	S	-	-	12.00%	-	Sqfkhlhy	EMEP	-	220	YTQV+220	-	202.00000

Tranche Comments

G-1-N: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144J/Ese K; M-2-K: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144H/Jae J; J-O: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144E/Dqf P; F-1-I: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144U/Ijk C; N-2-F: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144C/Xzi I; Z-1-Y: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144V/Rfl L; I-2-L: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144X/Bzr O; O-W: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144C/Muu T; Wmd: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144W/Tbc H;

Deal Comments

Ukwkw. Npc Ueaa Jkmbpqh 2.00

Risk Retention

FF - Iwy

Pricing Speed

20 GBZ

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 6, 1999

WAL Test Period (YRS)

WAL Test Period End Date

Oct 27, 2005