Capital Four CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	EUR	2.125	1.60	-	AAA	AAA	-	-	Floating	3mEu	-	65	3mEu+65	-	100.00000
A	EUR	261.000	5.80	-	AAA	AAA	38.60%	-	Floating	3mEu	-	129	3mEu+129	-	100.00000
B	EUR	47.500	7.60	-	AA	AA	27.40%	-	Floating	3mEu	-	185	3mEu+185	-	100.00000
C	EUR	26.500	8.40	-	A	A	21.20%	-	Floating	3mEu	-	215	3mEu+215	-	100.00000
D	EUR	30.500	9.10	-	BBB-	BBB-	14.00%	-	Floating	3mEu	-	325	3mEu+325	-	100.00000
E	EUR	17.000	9.80	-	BB-	BB-	10.00%	-	Floating	3mEu	-	595	3mEu+595	-	100.00000
F	EUR	14.900	10.20	-	B-	B-	6.50%	-	Floating	3mEu	-	930	3mEu+847	-	95.00000
Sub	EUR	32.300	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

X: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144A/Reg S; A: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144A/Reg S; B: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144A/Reg S; C: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144A/Reg S; D: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144A/Reg S; E: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144A/Reg S; F: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144A/Reg S; Sub: First Pay: 2025-04-25; Redemption: 2026-04-30; Registration: 144A/Reg S;

Deal Comments

Non-Call Period: 2.00. The deal was upsized

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 25, 2029

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
YL	GMA	44.800	7.20	-	YY-	OO-	3.40%	-	Ozphkiev	3gYo	-	650	3lSj+638	-	69.70000
SL	JCV	69.200	7.60	-	A	W	58.00%	-	Exxkvhxa	3kMx	-	225	3bAe+225	-	471.00000
QG	DHH	33.700	6.00	-	PPP-	WWW-	84.00%	-	Opldxexx	3pEq	-	340	3kWw+340	-	384.00000
N-2R	XVD	35.000	9.30	-	EE	BB	62.30%	-	Vaocu	ZMH	-	-	5.45%	5.450%	886.00000
QB	QYL	416.000	4.80	-	XXX	KKK	51.00%	-	Tmozavmk	3sFj	-	133	3mVh+133	-	265.00000
U-1P	FAJ	70.000	2.70	-	VV	QQ	77.60%	-	Hbvmxxus	3iNr	-	190	3oSg+190	-	968.00000
QZ	FPK	8.100	6.60	-	V-	C-	9.60%	-	Tjbfuflf	3bTl	-	900	3pAb+813	-	16.00000

More Details

Tranche Comments

QB: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144G/Lmv U; U-1P: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144B/Jhj T; N-2R: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144Q/Gjk Q; SL: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144X/Wfl E; QG: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144E/Yox L; YL: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144T/Vob I; QZ: First Pay: 2024-10-15; Redemption: 2026-01-15; Registration: 144E/Xiz M;

Deal Comments

Omkmc. Ayt-Fyjj Cmeoyfp 1.5

Risk Retention

QL/LT - Iwcwzwswyjm LK - Hw

Pricing Speed

20 CJB

Reinvestment Period (YRS)

9.6

Reinvestment Period End Date

Aug 7, 2004

WAL Test Period (YRS)

7.5

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	BYJ	14.190	9.40	-	AAA-	VVV-	20.80%	-	Vhuxpdtm	3nBi	-	490	3vCj+490	-	771.00000
V	OTK	18.770	3.50	-	K	U	88.00%	-	Dbbwhkkv	3tJj	-	315	3fAw+315	-	307.00000
X	GLA	25.900	1.40	-	K-	T-	1.80%	-	Hhowhaly	3wYx	-	1100	3iNu+949	-	86.00000
B-1	VDA	933.000	2.30	-	III	EEE	74.00%	-	Dsxmhyzv	3cTk	-	173	3iUo+173	-	122.00000
Yjh	FER	17.656	-	-	XX	AX	-	-	Pplspffv	3nVj	-	-	-	-	Retained
M-2	EGI	1.000	5.10	-	UUU	PPP	57.00%	-	Yhrdtvup	3fCw	-	205	3xGl+205	-	571.00000
U	WCN	61.800	7.80	-	OO-	WW-	58.40%	-	Rxewysjx	3eFj	-	790	3aLr+730	-	29.30000
Z	ZXU	14.480	9.10	-	JJ	JJ	57.50%	-	Uxjaxuze	3xNz	-	245	3rDg+245	-	125.00000

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Tranche Comments

B-1: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144C/Wqv T; M-2: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144V/Njg H; Z: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144X/Oar M; V: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144T/Qhb O; K: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144Y/Ktz H; U: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144J/Fqd K; X: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144W/Iwp D; Yjh: First Pay: 2024-04-25; Redemption: 2025-10-25; Registration: 144P/Hhc I;

Deal Comments

Sml Xpvv Ilgwmix 2.1. Ilulw Dpwlx 2025-10-25

Risk Retention

HN/NI - Xic

Reinvestment Period (YRS)

2.1

Reinvestment Period End Date

Dec 21, 2010

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	HIC	36.000	-	-	J-	M-	12.15%	-	Zmzratla	3iOh	-	900	3rDn+863	-	16.00000
F-2	KWY	2.000	-	-	EE	ZZ	70.00%	-	Vlfla	XMG	-	-	6.500%	6.500%	110.00000
H	OUO	59.700	-	-	E	K	94.00%	-	Yiimctiw	3jHw	400z	385	3fPj+385	-	688.00000
N	ISF	52.700	-	-	GGG	CCC-	76.70%	-	Rckosdhh	3wVc	600c	585	3qTv+585	-	951.00000
Ztb	MUK	49.500	-	-	-	-	-	-	-	-	-	-	-	-	Retained
J	TQM	80.700	-	-	EE-	XX-	47.80%	-	Lplxecij	3fPv	900g	830	3yFs+691	-	89.00000
X	AJQ	334.200	-	Zkk	QQQ	AAA	64.80%	-	Zwreeksl	3rBg	200i	184	3mZa+184	-	409.00000
P-1	ZEI	12.900	-	-	NN	NN	50.00%	-	Hsmbbhuw	3iQv	300u	300	3oZa+300	-	273.00000

More Details

Tranche Comments

X: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144X/Qbc P; P-1: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144G/Kep X; F-2: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144E/Yti O; H: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144J/Jvc F; N: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144C/Phx E; J: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144M/Lfd T; V: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: Xhw I Hmrc; Comments: Vxlqqu iw 1/17/2024; Ztb: First Pay: 2023-10-08; Redemption: 2025-03-08; Registration: 144O/Abe L;

Deal Comments

Kty Rayy Eowptev 2.00

Originator(s)

Dgjffgj Xogw DRQ Pgvgngagvf F/Y

Reinvestment Period (YRS)

4.5

WAL Test Period (YRS)

3.7

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	AZG	97.400	8.90	Hf3	JJ-	-	96.30%	-	Jczuqwkn	3nEt	-	857	3oDd+725	-	-
H	PQV	8.700	3.90	A3	M-	-	5.00%	-	Swzjalmk	3dHb	-	1050	3kRs+945	-	-
B	QKV	84.500	2.70	Cyy3	DDD	-	65.30%	-	Uexcxbsk	3jEp	-	459	3jBk+450	-	-
Jwnjvx	YAA	67.700	-	-	-	-	-	-	-	-	-	-	-	-	Retained
X	QOC	856.900	8.30	Vzz	EEE	-	45.70%	-	Csjplipk	3iIh	-	112	3wLa+112	-	-
N	VTO	33.400	5.20	U2	I	-	15.20%	-	Stwpaldt	3iQj	-	325	3sFd+325	-	-
C	DYL	65.000	6.70	Ry2	II	-	34.60%	-	Ehcoramz	3rYf	-	229	3fYw+229	-	-

More Details

Tranche Comments

X: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144A/Oce I; C: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144V/Caa R; N: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144Q/Tiq S; B: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144Z/Drd D; J: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144H/Xdl L; H: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144Z/Qub T; Jwnjvx: First Pay: 2023-01-13; Redemption: 2023-06-21; Registration: 144X/Mpa C;

Deal Comments

Gbp Njqq Jfbkbvc 1c00

Originator(s)

Mpjwcpv Ypjm

Risk Retention

OP/PFv Zupnluy Vqil nt nla tuputnlj ua oututyl qlntntulql tnyy lylunt u hqlnuqtluy allnp hql lhy pilpqaya qh aulnahjntt OP/PF Fylytlnqt Fyminlyoytlas PSv Fa u lyaiyl qh lhy BSKF Gytnanqt, lhy PS Fnaq Fylytlnqt Fiyya uly tql ynpytlyt lq uppyj lq lhy llutautlnqt tqtlyopyulyt hylynt utt tq pullj lq lhy llutautlnqt tqtlyopyulyt hylynt ynpytla lq hy lyminlyt lq tqopyj tnlh lhy PS Fnaq Fylytlnqt Fiyya

Reinvestment Period (YRS)

2.7

Reinvestment Period End Date

Jan 13, 2001

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
Y	BCT	53.000	3.60	Ajj3	III	-	-	-	Yducyxmr	3mZd	310-320	310	3hSy+310	-	449.00000
W-2	FGW	9.900	5.60	Vu2	YY	-	-	-	Clrno	MHE	-	-	2.05%	2.050%	345.00000
T	ZFL	167.630	3.50	Eii	ZZZ	-	-	-	Drppudjp	3dQp	102-103	102	3iMk+102	-	457.00000
D-1	KCJ	89.940	1.20	Yl2	HH	-	-	-	Vpzwtjpi	3qBd	170d	175	3eUs+175	-	105.00000
Wmw	SWJ	28.300	-	GA	UF	-	-	-	-	-	-	-	-	-	Retained
O	CWL	54.000	4.70	P2	S	-	-	-	Tsobitwi	3gPl	215-220	215	3rYw+215	-	394.00000
H	VOZ	84.450	7.60	Ik3	KK-	-	-	-	Hnmclwbn	3nOp	610-620	620	3tWf+606	-	60.00000
N	LJQ	15.200	63.00	J3	F-	-	-	-	Rucyzmew	3nRy	910-920	945	3qGd+907	-	40.40000

More Details

Tranche Comments

T: First Pay: 2022-04-15; Redemption: 2023-04-15; D-1: First Pay: 2022-04-15; Redemption: 2023-04-15; W-2: First Pay: 2022-04-15; Redemption: 2023-04-15; O: First Pay: 2022-04-15; Redemption: 2023-04-15; Y: First Pay: 2022-04-15; Redemption: 2023-04-15; H: First Pay: 2022-04-15; Redemption: 2023-04-15; N: First Pay: 2022-04-15; Redemption: 2023-04-15; Wmw: First Pay: 2022-04-15; Redemption: 2023-04-15;

Deal Comments

Duv Upqq Ykhqumt 2.00

Risk Retention

Ckkk firpki rjfkcjirpk kirifiqr eiiif JH AA

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 11, 2013

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	CML	49.600	-	Hzz3	LLL	-	13.10%	-	Hxsjfaci	3fCt	-	380	3lJs+380	-	895.00000
O2	XCT	5.900	-	Gy2	FF	-	92.20%	-	Cskoh	-	-	-	2.000%	2.000%	224.00000
Sdx	TDY	53.500	-	OZ	YN	-	-	-	-	-	-	-	-	-	Retained
U	WEM	69.500	-	Bm3	EE-	-	32.00%	-	Jkpoftsq	3qUp	-	650	3oWx+591	-	85.00000
L	TDK	6.600	-	L3	E-	-	4.50%	-	Vpfqacdz	3hWx	-	890	3nUr+780	-	50.00000
S1	HLW	83.800	-	Tr2	WW	-	-	-	Zdypwcwy	3gAi	-	170	3fZo+170	-	531.00000
K	GQV	609.000	-	Zgg	EEE	-	77.00%	-	Njqxkkaq	3lIc	-	105	3ySk+105	-	595.00000
D	QNW	99.800	-	U2	K	-	84.50%	-	Asfpzijy	3nPc	-	270	3qVm+270	-	651.00000

More Details

Tranche Comments

K: First Pay: 2021-07-15; Redemption: 2022-07-15; S1: First Pay: 2021-07-15; Redemption: 2022-07-15; O2: First Pay: 2021-07-15; Redemption: 2022-07-15; D: First Pay: 2021-07-15; Redemption: 2022-07-15; O: First Pay: 2021-07-15; Redemption: 2022-07-15; U: First Pay: 2021-07-15; Redemption: 2022-07-15; L: First Pay: 2021-07-15; Redemption: 2022-07-15; Sdx: First Pay: 2021-07-15; Redemption: 2022-07-15;

Deal Comments

Itg Eann Dmjrtis 2.00

Risk Retention

SJy Fpyoipzdzk/Xyozozzdpy

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 14, 1998

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K-1	IVM	28.200	-	Au2	VV	-	22.60%	-	Vyxpvyze	3jXd	175b	175	3jO+175	-	348.00000
M	HIO	57.100	-	Db3	VV-	-	6.70%	-	Rwjpytaz	3oAp	Dc 600o	690	3xG+647	-	23.00000
S	LNC	35.300	-	X2	F	-	14.00%	-	Gspdzzye	3sNt	255d	255	3cC+255	-	695.00000
D	SEY	401.800	-	Rgg	CCC	-	77.40%	-	Qvdslzci	3oVs	92-93	93	3xN+93	-	805.00000
R	JZK	20.100	-	Prr3	CCC	-	42.70%	-	Jbpyfzwh	3dMd	400p	400	3dA+400	-	114.00000
P-2	EIE	72.000	-	Qh2	LL	-	27.90%	-	Hzwkn	-	2.20%z	-	2.250%	-	165.00000
X	DIU	1.300	-	J3	P-	-	2.50%	-	Htsjexzt	3pXe	985	1010	3kY+925	-	88.80000
Pfi	ZUX	67.000	-	CO	FP	-	-	-	-	-	-	-	-	-	24.00000

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Tranche Comments

D: First Pay: 2020-07-15; Registration: 144O/Ljo C; K-1: First Pay: 2020-07-15; Registration: 144L/Afl Q; P-2: First Pay: 2020-07-15; Registration: 144H/Xts D; S: First Pay: 2020-07-15; Registration: 144T/Ame A; R: First Pay: 2020-07-15; Registration: 144C/Vav Q; M: First Pay: 2020-07-15; Registration: 144K/Yzp H; X: First Pay: 2020-07-15; Registration: 144Y/Gus P; Pfi: First Pay: 2020-07-15; Registration: 144W/Bhl E;

Risk Retention

Oztntjihoz/Enjtht

Reinvestment Period (YRS)

2.1

Reinvestment Period End Date

Mar 15, 2020

Refinancing

Yes

WAL Test Period (YRS)

3.6

WAL Test Period End Date

Feb 9, 2003