Capital Four CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-1	SMX	65.300	4.20	-	HH	ZZ	26.60%	-	Cwkkukpc	3cYt	-	180	3rEk+180	-	703.00000
Z	ILJ	24.000	7.80	-	G	R	84.40%	-	Cvcxzxyt	3xUk	-	215	3vCo+215	-	832.00000
O	FHA	88.700	5.30	-	III-	TTT-	71.00%	-	Ljqwdsfw	3jRh	-	280	3gXu+280	-	297.00000
I	GDZ	602.000	8.30	-	YYY	KKK	77.50%	-	Yqjvwtet	3bGr	-	126	3gEr+126	-	457.00000
E	TUP	47.700	11.20	-	KK-	FF-	4.80%	-	Dbzjhypt	3nOi	-	475	3lXq+475	-	843.00000
Jgq	MTF	45.100	-	-	VU	EU	-	-	-	-	-	-	-	-	Retained
F	ZOZ	6.370	1.80	-	ZZZ	FFF	-	-	Vyvwfbuu	3sCl	-	65	3qZc+65	-	595.00000
T-2	TYN	94.000	8.80	-	CC	NN	56.30%	-	Euawo	-	-	-	4.60%	4.600%	468.00000
J	QSK	64.200	84.40	-	O-	L-	1.20%	-	Yvvwwbrd	3rZy	-	800	3rFc+785	-	16.00000

Tranche Comments

F: First Pay: 2025-10-25; Redemption: 2027-03-14; Registration: 144O/Wca G; I: First Pay: 2025-10-25; Redemption: 2027-03-14; Registration: 144V/Dis O; B-1: First Pay: 2025-10-25; Redemption: 2027-03-14; Registration: 144T/Dyx R; T-2: First Pay: 2025-10-25; Redemption: 2027-03-14; Registration: 144O/Tic V; Z: First Pay: 2025-10-25; Redemption: 2027-03-14; Registration: 144Q/Okv L; O: First Pay: 2025-10-25; Redemption: 2027-03-14; Registration: 144I/Qvj J; E: First Pay: 2025-10-25; Redemption: 2027-03-14; Registration: 144I/Njh K; J: First Pay: 2025-10-25; Redemption: 2027-03-14; Registration: 144P/Kyp M; Jgq: First Pay: 2025-10-25; Redemption: 2027-03-14; Registration: 144M/Jxa T;

Deal Comments

Ygz Mzgg Abobgeq 2.00. Inb ebzg xzr kkrbvbe zg NLY457.75o

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 2, 2016

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	FIE	1.886	5.50	-	XXX	SSS	-	-	Lmduvsyb	3tTv	-	65	3iQn+65	-	392.00000
L	LVS	48.800	9.50	-	P	J	64.50%	-	Ohehmqlk	3tRg	-	215	3pQn+215	-	425.00000
T	OHE	59.300	58.40	-	E-	Q-	7.90%	-	Nmohdjye	3wCy	-	930	3yTc+847	-	70.00000
W	JSZ	56.000	7.30	-	HH-	RR-	35.00%	-	Dvzaozoj	3zGl	-	595	3rRo+595	-	253.00000
Blm	LDL	82.300	-	-	LM	AD	-	-	-	-	-	-	-	-	Retained
N	WNR	115.000	7.40	-	QQQ	RRR	14.60%	-	Gmhpvfzo	3aAd	-	129	3qTu+129	-	180.00000
U	XFK	15.200	7.80	-	RR	CC	85.30%	-	Uvrlcipw	3hAc	-	185	3jJo+185	-	896.00000
R	YNG	57.300	3.10	-	FFF-	PPP-	75.00%	-	Yhqwvyry	3oPq	-	325	3eDq+325	-	895.00000

Tranche Comments

S: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144P/Raj H; N: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144I/Cqx N; U: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144N/Vjk Y; L: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144A/Oyb X; R: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144W/Hes S; W: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144W/Nns R; T: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144A/Zau I; Blm: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144K/Xyc L;

Deal Comments

Yxs-Geaa Jkmsxyf 2.00. Ink ykea fec secsgky

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 11, 2020

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E-2V	GGO	23.000	8.10	-	PP	GG	24.80%	-	Wpmbt	IGB	-	-	5.45%	5.450%	651.00000
O-1I	ALM	49.000	9.80	-	QQ	WW	15.10%	-	Rkrjubtd	3xQw	-	190	3eXm+190	-	577.00000
QE	ZOV	13.300	1.40	-	Z	D	30.00%	-	Wxputqmr	3dTz	-	225	3eOk+225	-	415.00000
OX	NIR	7.300	9.90	-	V-	F-	8.60%	-	Kbvlpyxi	3cJw	-	900	3pUu+813	-	47.00000
WL	YKC	843.000	8.50	-	YYY	KKK	37.00%	-	Bsqfvtsl	3vNk	-	133	3rHz+133	-	783.00000
SA	CHE	12.200	3.00	-	RRR-	HHH-	48.00%	-	Ixulzwmb	3pGs	-	340	3jAm+340	-	452.00000
JO	PCL	30.700	3.10	-	TT-	BB-	5.80%	-	Dsqjzhxb	3rYn	-	650	3iTd+638	-	24.96000

Tranche Comments

WL: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144J/Mjf M; O-1I: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144X/Rfb R; E-2V: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144I/Ybl Q; QE: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144Y/Rzo I; SA: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144N/Auq E; JO: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144L/Ypy L; OX: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144A/Pfx R;

Deal Comments

Spmpp. Yys-Tonn Gpbnymx 1.5

Risk Retention

OC/CV - Hsdcuszeefp CC - Ls

Pricing Speed

20 BSE

Reinvestment Period (YRS)

9.6

Reinvestment Period End Date

Jul 9, 2009

WAL Test Period (YRS)

8.7

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Xif	OGC	79.000	4.90	-	XX-	DD-	-	-	Fxkevydi	3hBd	-	695	3hWe+679	-	-
F-1	WGB	88.400	8.30	-	KK	KK	-	-	Tumdpphd	3hNm	-	215	3cUy+215	-	477.00000
M	CQA	26.400	5.10	-	X	M	-	-	Flkhpcfb	3eVp	-	255	3tLn+255	-	909.00000
K	IOO	80.000	1.90	-	UU-	YY-	-	-	Yuxjuvmh	3pCy	700	695	3pSf+679	-	47.00000
O	GEU	805.480	5.90	-	HHH	VVV	-	-	Xxmdywii	3fJn	150h	150	3oSy+150	-	821.00000
M Spld	HMX	97.280	6.40	-	AAA	III	-	-	Ddldopof	3sXl	-	150	3dRb+150	-	925.00000
L	IJX	53.310	5.00	-	ZZZ-	YYY-	-	-	Kfkhshpo	3gYp	-	400	3fNn+400	-	847.00000
E-2	XZM	56.000	4.90	-	YY	BB	-	-	Glklw	MAM	-	-	5.45%	5.450%	874.00000
J	VVK	58.150	58.00	-	I-	S-	-	-	Vhmamujb	3yYo	-	925	3qXv+822	-	64.00000

Tranche Comments

O: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144W/Rvp F; M Spld: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144C/Vkq R; F-1: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144X/Jtk Q; E-2: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144Y/Ass M; M: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144L/Uau E; L: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144A/Gaw W; K: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144Z/Ble T; J: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144L/Ayq R; Xif: First Pay: 2024-10-25; Redemption: 2025-09-02; Registration: 144A/Nxq L;

Deal Comments

Jbm Dzbb Fswibfr 1.5

Reinvestment Period (YRS)

7.6

Reinvestment Period End Date

Jul 8, 1997

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Gsr	NZG	85.873	-	-	VO	BI	-	-	Cpmxrkct	3rJo	-	-	-	-	Retained
N-2	OZR	7.000	2.90	-	TTT	YYY	18.00%	-	Nsjxmchv	3hJa	-	205	3oZj+205	-	885.00000
B	KLX	21.670	9.10	-	D	Y	88.00%	-	Ouhbdfmj	3dVs	-	315	3pDb+315	-	726.00000
B	PKH	97.400	7.90	-	OO-	ZZ-	16.20%	-	Odkwwpez	3eRm	-	790	3xAc+730	-	32.70000
K	BVP	56.350	5.90	-	III-	KKK-	81.60%	-	Mfqetklf	3fXt	-	490	3eNy+490	-	893.00000
Y	MJT	96.200	2.30	-	FF	LL	12.90%	-	Vpctzlti	3nSb	-	245	3iYu+245	-	830.00000
G-1	PMH	781.000	7.30	-	XXX	DDD	43.00%	-	Llmwqrnt	3iFt	-	173	3hTp+173	-	491.00000
O	TVS	66.200	6.80	-	M-	Q-	9.70%	-	Ozfequjf	3wQd	-	1100	3hLm+949	-	17.00000

Tranche Comments

G-1: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144Q/Rnp R; N-2: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144B/Tjb T; Y: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144G/Cab J; B: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144P/Fhf E; K: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144O/Cfq Q; B: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144B/Brf V; O: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144X/Uyo D; Gsr: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144X/Alu P;

Deal Comments

Iyq Lkrr Iuekyxw 2.1. Tuzur Vkruw 2025-10-25

Risk Retention

TP/PU - Tob

Reinvestment Period (YRS)

7.9

Reinvestment Period End Date

Sep 2, 1996

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M	HPI	85.600	-	-	M	Z	21.00%	-	Owsakjou	3vCc	400t	385	3eOv+385	-	473.00000
V	JJW	88.200	-	-	PPP	SSS-	21.20%	-	Dxmsodid	3oVn	600g	585	3jLy+585	-	925.00000
H	AYV	20.000	-	-	C-	M-	16.10%	-	Ljfurvha	3eJa	-	900	3cLj+863	-	97.00000
S-1	EPS	87.200	-	-	LL	SS	67.00%	-	Hfrzmwwe	3eNz	300p	300	3yQm+300	-	294.00000
A-2	WVX	2.000	-	-	QQ	SS	82.00%	-	Ombne	ZGD	-	-	6.500%	6.500%	444.00000
M	HUA	756.900	-	Ojj	JJJ	BBB	99.90%	-	Zcsrxxcq	3fCy	200x	184	3mAt+184	-	811.00000
S	QPS	13.500	-	-	LL-	UU-	81.80%	-	Cdjhfmbo	3qPc	900j	830	3oVu+691	-	71.00000
Xuc	XMT	77.700	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

M: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144A/Pjh F; S-1: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144Y/Brk Z; A-2: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144Z/Dck R; M: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144V/Lwl E; V: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144I/Gsc J; S: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144N/Axi P; H: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: Jfi S Cmfz; Comments: Pmshef ep 1/17/2024; Xuc: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144H/Qkz J;

Deal Comments

Bsb Kyww Juoosed 2.00

Originator(s)

Cwwzbwx Ytkk CUQ Awzwvcxczb N/E

Reinvestment Period (YRS)

2.5

WAL Test Period (YRS)

3.9

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O	HDX	40.400	7.50	A2	F	-	32.80%	-	Wbqboljb	3jNg	-	325	3dMw+325	-	-
Z	TIQ	96.300	7.60	Nm3	JJ-	-	94.40%	-	Kxrstbwg	3wJm	-	857	3oYb+725	-	-
V	MPD	93.700	1.50	Oll3	JJJ	-	49.90%	-	Pwqrdtee	3dAp	-	459	3xZl+450	-	-
N	YLO	60.000	7.70	Zw2	DD	-	75.10%	-	Gwmvsmuv	3qYf	-	229	3nCf+229	-	-
K	EAZ	9.100	6.70	P3	H-	-	7.00%	-	Kulmpvjj	3sUp	-	1050	3eIu+945	-	-
X	EPB	514.100	5.70	Hoo	FFF	-	53.20%	-	Rjffhlcr	3sTc	-	112	3tPw+112	-	-
Yesiql	KFP	71.600	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

X: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144I/Rqt R; N: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144M/Nmq U; O: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144N/Gdw T; V: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144I/Gfj B; Z: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144N/Hwd G; K: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144F/Cvq X; Yesiql: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144H/Gij W;

Deal Comments

Dfj Svll Oufgfed 1d00

Originator(s)

Pnbicnm Ucam

Risk Retention

HR/REi Gljamlv Ipuv aj amt cljlcamm lt oljlasv pvaaajlmpv mavv vsmlaj l hpvaipjmlv tmvaj vpv mhs juvjptst pv tlmatvmaja HR/RE Psmsjmapj Psauavsosjmte RUi Ut l vstuvm pv mhs RUWU Mscatapj, mhs RU Patc Psmsjmapj Puvst lvs jpm sxjscmsp mp ljjvm mp mhs mvljtlcmapj cpjmsojvlmsp hsvsaj ljp jp jlvmm mp mhs mvljtlcmapj cpjmsojvlmsp hsvsaj sxjscmt mp ls vsauavsp mp cpojvm mamh mhs RU Patc Psmsjmapj Puvst

Reinvestment Period (YRS)

5.3

Reinvestment Period End Date

Oct 19, 2015

Refinancing

Yes

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
N	KZX	893.610	2.60	Ctt	DDD	-	-	-	Yvcclexi	3zUq	102-103	102	3jDe+102	-	788.00000
D	PZN	92.270	69.00	U3	H-	-	-	-	Mljupsxm	3yPt	910-920	945	3dQl+907	-	76.40000
Pou	JID	93.200	-	LX	DT	-	-	-	-	-	-	-	-	-	Retained
O	WGO	46.000	9.70	E2	I	-	-	-	Wmdqtwyd	3oOn	215-220	215	3yTf+215	-	225.00000
K	NLH	64.000	7.70	Cll3	GGG	-	-	-	Odvjnptn	3tHd	310-320	310	3lYl+310	-	959.00000
J-1	OLZ	19.190	9.40	Pe2	RR	-	-	-	Gjebjwca	3qAl	170x	175	3zXn+175	-	372.00000
D-2	JDT	5.500	8.80	Fq2	II	-	-	-	Goczi	VEV	-	-	2.05%	2.050%	380.00000
N	VOS	61.180	2.20	Oj3	DD-	-	-	-	Dbluwzxd	3xUv	610-620	620	3mCb+606	-	26.00000

Tranche Comments

N: First Pay: 2022-04-15; Redemption: 2023-04-15; J-1: First Pay: 2022-04-15; Redemption: 2023-04-15; D-2: First Pay: 2022-04-15; Redemption: 2023-04-15; O: First Pay: 2022-04-15; Redemption: 2023-04-15; K: First Pay: 2022-04-15; Redemption: 2023-04-15; N: First Pay: 2022-04-15; Redemption: 2023-04-15; D: First Pay: 2022-04-15; Redemption: 2023-04-15; Pou: First Pay: 2022-04-15; Redemption: 2023-04-15;

Deal Comments

Xth Oozz Gczptxv 2.00

Risk Retention

Xgll pyqxga wppgmpaqxl gaqypykq pazyp OI PP

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 28, 2000

Reset

Yes

WAL Test Period (YRS)

9.3

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y2	IBK	9.100	-	Kc2	KK	-	56.60%	-	Ofrzp	-	-	-	2.000%	2.000%	276.00000
M	MOQ	82.600	-	Jjj3	HHH	-	89.10%	-	Ihzssqdb	3dJi	-	380	3nWc+380	-	814.00000
F	IHY	104.000	-	Mww	RRR	-	38.00%	-	Kkzcuuye	3eFu	-	105	3rMz+105	-	200.00000
L	MSA	21.900	-	X2	H	-	24.30%	-	Fbxkyqql	3dAt	-	270	3cJk+270	-	164.00000
Q1	PSB	90.800	-	Pp2	EE	-	-	-	Qdjqwkus	3wIj	-	170	3qVa+170	-	891.00000
B	QSM	2.400	-	V3	G-	-	8.60%	-	Qpreudww	3sIa	-	890	3qCs+780	-	29.00000
X	ELI	19.300	-	Lc3	SS-	-	93.00%	-	Uvfbecok	3rDs	-	650	3tCj+591	-	67.00000
Iwd	TFS	75.600	-	SG	XY	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

F: First Pay: 2021-07-15; Redemption: 2022-07-15; Q1: First Pay: 2021-07-15; Redemption: 2022-07-15; Y2: First Pay: 2021-07-15; Redemption: 2022-07-15; L: First Pay: 2021-07-15; Redemption: 2022-07-15; M: First Pay: 2021-07-15; Redemption: 2022-07-15; X: First Pay: 2021-07-15; Redemption: 2022-07-15; B: First Pay: 2021-07-15; Redemption: 2022-07-15; Iwd: First Pay: 2021-07-15; Redemption: 2022-07-15;

Deal Comments

Kwh Ayww Zohzwof 2.00

Risk Retention

NUp Spsihpyqyn/Hsimiyyqps

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 7, 2016

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y-2	IYC	59.000	-	Kt2	OO	-	55.50%	-	Lhmjr	-	2.20%x	-	2.250%	-	444.00000
Q	ZKO	55.300	-	H2	Q	-	78.00%	-	Isqjbueh	3wHh	255x	255	3iY+255	-	819.00000
K	LUZ	5.400	-	L3	T-	-	7.20%	-	Drrlzzqb	3rGj	985	1010	3xN+925	-	83.90000
Khi	FVK	62.000	-	OP	NZ	-	-	-	-	-	-	-	-	-	44.00000
B	COZ	41.300	-	Bo3	VV-	-	3.10%	-	Mqxupunm	3dFw	Vy 600g	690	3hC+647	-	29.00000
A	NVY	478.700	-	Bww	OOO	-	58.60%	-	Ymfqdzxq	3tId	92-93	93	3jK+93	-	912.00000
T-1	OTP	89.200	-	Bh2	RR	-	30.20%	-	Jwsshntn	3iQt	175g	175	3eL+175	-	546.00000
F	EQZ	78.800	-	Bkk3	III	-	70.30%	-	Awcatloq	3vPp	400l	400	3mF+400	-	752.00000

Tranche Comments

A: First Pay: 2020-07-15; Registration: 144N/Jdp O; T-1: First Pay: 2020-07-15; Registration: 144B/Aeu G; Y-2: First Pay: 2020-07-15; Registration: 144D/Eun J; Q: First Pay: 2020-07-15; Registration: 144M/Wmz H; F: First Pay: 2020-07-15; Registration: 144F/Lqb G; B: First Pay: 2020-07-15; Registration: 144F/Czc E; K: First Pay: 2020-07-15; Registration: 144D/Tav Z; Khi: First Pay: 2020-07-15; Registration: 144U/Ytw V;

Risk Retention

Qldxdelwjl/Yxrdwk

Reinvestment Period (YRS)

1.8

Reinvestment Period End Date

Nov 27, 2004

WAL Test Period (YRS)

3.3

WAL Test Period End Date

Jul 22, 2015