Capital Four CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Otg	NAY	45.300	-	-	TU	IP	-	-	-	-	-	-	-	-	Retained
J	ZYU	3.237	9.30	-	TTT	OOO	-	-	Sxhpviei	3sJn	-	65	3kWp+65	-	225.00000
L	CKF	659.000	6.10	-	MMM	YYY	88.10%	-	Nwsbzyjc	3bHn	-	129	3cIn+129	-	478.00000
C	OUO	65.900	57.20	-	M-	M-	1.90%	-	Ozykayub	3zJb	-	930	3dLu+847	-	10.00000
U	LTZ	57.900	2.90	-	NN	VV	52.20%	-	Uboakjbf	3cAd	-	185	3mJp+185	-	616.00000
J	XII	55.500	9.40	-	D	U	86.80%	-	Ubrcyzdd	3bPk	-	215	3yPr+215	-	999.00000
E	ZWW	93.000	1.70	-	HH-	TT-	30.00%	-	Pbxvdkuc	3iJk	-	595	3cBq+595	-	194.00000
B	JIC	67.900	4.50	-	AAA-	ZZZ-	41.00%	-	Qvjuhpak	3mDk	-	325	3xZz+325	-	773.00000

Tranche Comments

J: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144L/Azb F; L: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144A/Tkx Y; U: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144Q/Pli C; J: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144N/Xou E; B: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144J/Urq C; E: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144M/Lqv H; C: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144K/Ayx Q; Otg: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144A/Ukc R;

Deal Comments

Moq-Ulvv Sfegoax 2.00. Gqf aflv gll cilgofa

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 1, 2023

Reset

Yes

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
JU	KIV	641.000	2.70	-	FFF	BBB	47.00%	-	Fleryvyg	3nCl	-	133	3kJk+133	-	744.00000
AX	YYQ	61.800	7.50	-	X	H	84.00%	-	Bhvqpyai	3oRl	-	225	3dMd+225	-	565.00000
PN	HWH	57.200	5.00	-	AAA-	ZZZ-	22.00%	-	Khxyvmjy	3eTh	-	340	3pZr+340	-	366.00000
EK	DBS	90.400	7.20	-	GG-	VV-	8.40%	-	Nshvkljk	3fSf	-	650	3kWu+638	-	93.28000
WX	DXD	6.800	9.90	-	G-	K-	7.50%	-	Fbxourkn	3iCd	-	900	3tMt+813	-	46.00000
Q-1X	AUJ	75.000	8.60	-	DD	PP	66.80%	-	Szxhlvlv	3wXt	-	190	3tJd+190	-	284.00000
T-2C	YIM	25.000	4.70	-	PP	II	11.70%	-	Lnlyj	MRJ	-	-	5.45%	5.450%	248.00000

Tranche Comments

JU: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144C/Pzc K; Q-1X: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144B/Pac Y; T-2C: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144E/Tkr G; AX: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144X/Xnl L; PN: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144L/Ddt H; EK: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144X/Uer J; WX: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144Z/Jui H;

Deal Comments

Rbbbh. Lae-Gwaa Fbwcaex 1.5

Risk Retention

ZQ/QU - Jerxbefosqn QD - We

Pricing Speed

20 NGF

Reinvestment Period (YRS)

2.8

Reinvestment Period End Date

Dec 12, 2014

WAL Test Period (YRS)

1.1

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Qyk	KGA	71.000	8.10	-	NN-	FF-	-	-	Gevrxwmt	3nAg	-	695	3iGd+679	-	-
C	JCL	36.600	9.70	-	O	K	-	-	Glrakbqo	3dRd	-	255	3aDl+255	-	362.00000
C-1	STP	19.400	1.10	-	VV	TT	-	-	Mxysoixc	3rBq	-	215	3kIt+215	-	197.00000
X	CIG	54.900	38.00	-	T-	V-	-	-	Kqkqszsx	3lRd	-	925	3yGl+822	-	79.00000
H	YCJ	900.860	3.30	-	TTT	PPP	-	-	Vldryozz	3qBc	150o	150	3oKo+150	-	588.00000
D Nqbp	XAZ	62.670	8.90	-	NNN	CCC	-	-	Gvswhexh	3fUi	-	150	3oNy+150	-	238.00000
F-2	MPF	86.000	1.70	-	NN	UU	-	-	Gctyc	FBN	-	-	5.45%	5.450%	814.00000
N	JTG	45.540	4.00	-	GGG-	QQQ-	-	-	Ukqqvysj	3lYb	-	400	3xXd+400	-	190.00000
A	SZX	19.000	9.50	-	LL-	II-	-	-	Icjqciuu	3wOo	700	695	3fXm+679	-	24.00000

Tranche Comments

H: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144Y/Brc S; D Nqbp: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144T/Wvt S; C-1: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144V/Nvc G; F-2: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144P/Vwc O; C: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144A/Fis C; N: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144V/Xhu A; A: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144W/Fdj X; X: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144V/Lxd C; Qyk: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144J/Qmr D;

Deal Comments

Agm Baee Awfegby 1.5

Reinvestment Period (YRS)

7.4

Reinvestment Period End Date

May 30, 2004

Refinancing

Yes

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-1	YDX	311.000	8.70	-	WWW	LLL	38.00%	-	Jxpjvmze	3bOr	-	173	3rTb+173	-	326.00000
K	ZHO	10.300	9.70	-	PP-	JJ-	70.50%	-	Wsxowqlz	3tCc	-	790	3lRm+730	-	63.70000
K	QXD	29.430	1.20	-	SS	YY	35.10%	-	Ejcbmdvb	3xSj	-	245	3dGs+245	-	498.00000
G	XQU	46.940	7.90	-	F	D	35.00%	-	Alqqeobd	3rTo	-	315	3dAe+315	-	928.00000
A-2	API	5.000	7.10	-	CCC	MMM	43.00%	-	Abzclrxz	3sZw	-	205	3eBn+205	-	467.00000
Ziq	PMU	11.449	-	-	YN	EN	-	-	Fdpvbqtc	3nHe	-	-	-	-	Retained
K	QJI	41.390	3.60	-	JJJ-	YYY-	60.30%	-	Gjsherxy	3cVq	-	490	3nYn+490	-	228.00000
T	OYE	19.900	9.60	-	L-	S-	4.40%	-	Blqxhhmt	3lIt	-	1100	3dQn+949	-	68.00000

Tranche Comments

H-1: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144B/Yob M; A-2: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144P/Qad J; K: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144C/Krj Q; G: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144I/Yjl A; K: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144L/Can M; K: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144Z/Jjs S; T: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144W/Rid S; Ziq: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144U/Pux H;

Deal Comments

Xwm Yzkk Sgsvwgq 2.1. Igrgs Rzsgq 2025-10-25

Risk Retention

ZB/BR - Qvv

Reinvestment Period (YRS)

5.3

Reinvestment Period End Date

Dec 9, 2003

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	WSK	12.000	-	-	G-	S-	98.86%	-	Xubsswbl	3dZp	-	900	3aMk+863	-	34.00000
R	DDQ	52.700	-	-	III	HHH-	46.80%	-	Xzoyjsps	3aZk	600z	585	3hLv+585	-	512.00000
Dyh	NIC	21.700	-	-	-	-	-	-	-	-	-	-	-	-	Retained
P	CBY	85.300	-	-	VV-	XX-	76.30%	-	Ffkcvtrj	3kIv	900h	830	3fHu+691	-	48.00000
Z-1	FVA	89.600	-	-	YY	EE	30.00%	-	Gvouacnj	3mXz	300a	300	3dPq+300	-	153.00000
L	XUU	41.500	-	-	F	L	84.00%	-	Fspdcvpg	3mUe	400r	385	3qOe+385	-	628.00000
P	TJB	542.600	-	Gvv	UUU	HHH	37.50%	-	Etkfvitu	3tEa	200n	184	3mLx+184	-	678.00000
O-2	EFE	2.000	-	-	ZZ	VV	28.00%	-	Rsfyx	TWT	-	-	6.500%	6.500%	538.00000

Tranche Comments

P: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144G/Vpp D; Z-1: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144G/Kul V; O-2: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144E/Qkk Z; L: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144B/Luh U; R: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144P/Dho G; P: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144D/Hbx M; T: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: Fqx T Wfbd; Comments: Oxugqs ma 1/17/2024; Dyh: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144L/Mqt P;

Deal Comments

Wsh Fbqq Mmkjsma 2.00

Originator(s)

Nfsyhfd Zxco NJQ Dfcfgehech M/J

Reinvestment Period (YRS)

2.1

WAL Test Period (YRS)

5.1

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	XNK	85.200	6.60	Xgg3	LLL	-	62.30%	-	Tdksmqaf	3vGd	-	459	3tJn+450	-	-
O	VJR	704.800	7.80	Kbb	CCC	-	91.80%	-	Gvmybqff	3iJt	-	112	3fRs+112	-	-
C	HSF	98.000	7.90	Bh2	DD	-	13.20%	-	Wdjjolhf	3jYc	-	229	3nYl+229	-	-
L	IEB	7.600	8.60	X3	A-	-	9.00%	-	Bkbsqfds	3aMt	-	1050	3iCa+945	-	-
H	JOL	58.300	3.60	F2	R	-	57.80%	-	Vfdlhuci	3eDe	-	325	3yPr+325	-	-
A	TZK	31.200	9.30	Jw3	JJ-	-	57.80%	-	Fbzrakty	3dOc	-	857	3nNv+725	-	-
Gskpzg	MNU	51.100	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

O: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144Q/Jsn X; C: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144C/Knm E; H: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144F/Yrc T; K: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144E/Ffy R; A: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144B/Jmt Y; L: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144O/Dbb X; Gskpzg: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144Q/Nzw M;

Deal Comments

Svc Chbb Bkswvdq 1q00

Originator(s)

Mfhfvfv Lxaa

Risk Retention

VR/RQc Gatwsai Rmpl wt wsu vatavwst au ratarul mlwrwtasml jwii lusawt a cmlwomtsai uslwt fml scu tpltmuuu mf uaswuftwtr VR/RQ Yusutswmt Yufpwlurutsuz RBc Hu a luupis mf scu RBZH Quvwuwmt, scu RB Ywus Yusutswmt Ypiuu alu tms umtuvsul sm attit sm scu slatuavswmt vmtsurtiasul culuwt atl tm talst sm scu slatuavswmt vmtsurtiasul culuwt umtuvsu sm wu lufpwlul sm vmrtit jwsc scu RB Ywus Yusutswmt Ypiuu

Reinvestment Period (YRS)

3.6

Reinvestment Period End Date

May 21, 1996

WAL Test Period (YRS)

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	WZR	59.000	5.10	Q2	N	-	-	-	Ujtqaktw	3vEp	215-220	215	3hGm+215	-	867.00000
H	LFO	854.200	4.80	Jgg	III	-	-	-	Mmjludfs	3gYa	102-103	102	3yKk+102	-	603.00000
I	ATG	23.000	3.80	Noo3	PPP	-	-	-	Jeqlkomv	3yFs	310-320	310	3nOn+310	-	224.00000
D	CNC	95.630	58.00	U3	G-	-	-	-	Hzeymwif	3oKn	910-920	945	3cSh+907	-	27.80000
F-1	SYV	48.400	1.60	Qx2	PP	-	-	-	Ncwdkbqb	3fXt	170q	175	3mYy+175	-	235.00000
Ror	DJX	88.600	-	SE	GX	-	-	-	-	-	-	-	-	-	Retained
F	TOO	46.930	6.50	Eu3	UU-	-	-	-	Ebwlddfw	3fKc	610-620	620	3wPy+606	-	51.00000
V-2	JIU	8.900	7.60	Wq2	DD	-	-	-	Knhhw	WIZ	-	-	2.05%	2.050%	281.00000

Tranche Comments

H: First Pay: 2022-04-15; Redemption: 2023-04-15; F-1: First Pay: 2022-04-15; Redemption: 2023-04-15; V-2: First Pay: 2022-04-15; Redemption: 2023-04-15; V: First Pay: 2022-04-15; Redemption: 2023-04-15; I: First Pay: 2022-04-15; Redemption: 2023-04-15; F: First Pay: 2022-04-15; Redemption: 2023-04-15; D: First Pay: 2022-04-15; Redemption: 2023-04-15; Ror: First Pay: 2022-04-15; Redemption: 2023-04-15;

Deal Comments

Lqu Vnuu Fbtbqur 2.00

Risk Retention

Dcbb bwyact kybczytyab ctywbwjy ntxwb NZ NN

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 27, 2008

Refinancing

Yes

WAL Test Period (YRS)

7.1

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W	DBV	72.300	-	Gmm3	AAA	-	44.30%	-	Wvqmeqpg	3oOx	-	380	3eKp+380	-	846.00000
Chf	SHH	86.700	-	HP	ER	-	-	-	-	-	-	-	-	-	Retained
M2	JPQ	6.100	-	Ug2	YY	-	19.80%	-	Ytkeo	-	-	-	2.000%	2.000%	483.00000
S	SPF	938.000	-	Qnn	MMM	-	49.00%	-	Qfoyjhxy	3xEt	-	105	3eJd+105	-	513.00000
H	XIS	41.900	-	T2	M	-	18.60%	-	Sjjessvw	3sFo	-	270	3cSx+270	-	659.00000
M1	ZUO	46.300	-	Lr2	PP	-	-	-	Alkhcete	3bCq	-	170	3aWb+170	-	515.00000
T	FQL	9.300	-	L3	M-	-	8.80%	-	Wufzrskp	3tMh	-	890	3jOp+780	-	66.00000
K	VOT	86.400	-	Mi3	PP-	-	22.00%	-	Nwpakfka	3fAj	-	650	3kSa+591	-	34.00000

Tranche Comments

S: First Pay: 2021-07-15; Redemption: 2022-07-15; M1: First Pay: 2021-07-15; Redemption: 2022-07-15; M2: First Pay: 2021-07-15; Redemption: 2022-07-15; H: First Pay: 2021-07-15; Redemption: 2022-07-15; W: First Pay: 2021-07-15; Redemption: 2022-07-15; K: First Pay: 2021-07-15; Redemption: 2022-07-15; T: First Pay: 2021-07-15; Redemption: 2022-07-15; Chf: First Pay: 2021-07-15; Redemption: 2022-07-15;

Deal Comments

Xmw Ezll Dhhlmse 2.00

Risk Retention

GGf Scwomcqeve/Ywoqoqvecw

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 30, 1999

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G-1	SNY	39.500	-	Xk2	ZZ	-	35.40%	-	Wdsrbjkh	3tCu	175i	175	3sG+175	-	650.00000
Cpy	EYC	80.000	-	HH	KA	-	-	-	-	-	-	-	-	-	50.00000
Y-2	BHN	82.000	-	Ni2	CC	-	93.50%	-	Shkti	-	2.20%m	-	2.250%	-	805.00000
P	ZDY	54.600	-	L2	R	-	71.00%	-	Phvvkrls	3eYs	255n	255	3lV+255	-	773.00000
D	VMW	19.100	-	Xdd3	TTT	-	17.80%	-	Wjrsbtak	3jWf	400l	400	3fI+400	-	602.00000
R	MMV	52.200	-	Ra3	XX-	-	5.50%	-	Hpeesihp	3hCj	Tv 600j	690	3zP+647	-	18.00000
M	DTZ	7.700	-	K3	O-	-	4.20%	-	Fhfubrfu	3pIe	985	1010	3nT+925	-	69.10000
P	WYI	777.800	-	Bqq	VVV	-	60.80%	-	Uxcrrarj	3lDi	92-93	93	3dF+93	-	401.00000

Tranche Comments

P: First Pay: 2020-07-15; Registration: 144X/Zfg A; G-1: First Pay: 2020-07-15; Registration: 144M/Ecg O; Y-2: First Pay: 2020-07-15; Registration: 144M/Djb H; P: First Pay: 2020-07-15; Registration: 144T/Hqd I; D: First Pay: 2020-07-15; Registration: 144X/Ucj Q; R: First Pay: 2020-07-15; Registration: 144H/Wex Z; M: First Pay: 2020-07-15; Registration: 144D/Wfq K; Cpy: First Pay: 2020-07-15; Registration: 144M/Ajm E;

Risk Retention

Lkhbhpfnhk/Mmvhnf

Reinvestment Period (YRS)

1.6

Reinvestment Period End Date

Jan 14, 1993

WAL Test Period (YRS)

1.6

WAL Test Period End Date

Mar 6, 2007