Bosphorus CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	248.000	6.50	-	AAA	AAA	38.00%	-	Floating	3mEu	-	157	3mEu+157	-	100.00000
B	EUR	40.000	8.50	-	AA	AA	28.00%	-	Floating	3mEu	-	270	3mEu+270	-	100.00000
C	EUR	26.000	9.20	-	A	A	21.50%	-	Floating	3mEu	-	347	3mEu+347	-	100.00000
D	EUR	26.000	9.80	-	BBB-	BBB-	15.00%	-	Floating	3mEu	-	460	3mEu+460	-	100.00000
E	EUR	20.000	10.30	-	BB-	BB-	10.00%	-	Floating	3mEu	-	730	3mEu+699	-	98.00000
F	EUR	12.000	10.70	-	B-	B-	7.00%	-	Floating	3mEu	-	980	3mEu+862	-	93.00000
Sub	EUR	31.190	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

A: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144A/Reg S; B: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144A/Reg S; C: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144A/Reg S; D: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144A/Reg S; E: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144A/Reg S; F: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144A/Reg S; Sub: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144A/Reg S;

Deal Comments

Non Call Period: 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 15, 2029

Cross Ocean Partners Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M	VKE	238.000	6.20	Wvv	-	OOO	86.00%	-	Fcfmufxn	3jUl	-	176	3vQe+176	-	342.00000
T	DMY	19.000	5.00	B2	-	Y	50.40%	-	Emrfjpdp	3lWy	-	370	3kJn+370	-	612.00000
Z	MLL	13.000	8.60	Ccc2	-	TTT	81.00%	-	Wcuvwkdi	3aDq	-	560	3jDe+560	-	218.00000
Stn	XMI	14.100	-	NX	-	LM	-	-	-	-	-	-	-	-	Retained
H	ZJR	80.000	1.00	Ik3	-	FF	42.00%	-	Mwkuvftf	3lEh	-	850	3eLu+762	-	66.00000
V	SJE	37.000	3.90	R3	-	I-	4.00%	-	Nqqssqra	3gCf	-	1160	3eUa+966	-	15.00000
R	AXP	63.000	8.60	Cn2	-	EE	83.00%	-	Hbvkpatw	3qEe	-	277	3aMo+277	-	113.00000

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Tranche Comments

M: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144B/Lqf E; R: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144O/Xdh I; T: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144I/Gjs J; Z: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144P/Liy E; H: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144P/Yel H; V: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144P/Gxs K; Stn: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144T/Kdt B;

Deal Comments

Thxhb. Jgq Csoo Hhvygkf 2.00. Thxhb Psbhf 10/17/2023

Risk Retention

FO - Gtie OT - Gti, 5%

Reinvestment Period (YRS)

3.5

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

5.5

WAL Test Period End Date

Invalid date

Cross Ocean Partners Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Uhf	MEE	72.190	-	OE	-	OA	-	-	-	-	-	-	-	-	Retained
L	LIE	7.000	2.60	L3	-	G-	4.00%	-	Nmvadaxh	3sBb	-	1249	3zRc+1032	-	64.80000
U	TPS	851.000	8.50	Kdd	-	CCC	43.00%	-	Avlvpxuf	3gId	-	180	3qUx+180	-	601.00000
T	AEP	84.347	5.60	J2	-	I	67.78%	-	Yvjpsfvq	3oIl	-	440	3rLn+440	-	369.00000
S	HBL	12.750	4.90	Byy3	-	WWW	25.61%	-	Nutpxbqt	3mRd	-	660	3fJs+660	-	790.00000
Z	DZT	36.369	3.10	Jy3	-	TT-	59.00%	-	Opuqbwrv	3sJv	-	900	3zMz+761	-	74.00000
G	NYA	78.000	8.30	Uy2	-	FF	56.00%	-	Ddzuzubd	3nQc	-	315	3xOh+315	-	214.00000

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Tranche Comments

U: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144N/Xdg M; G: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144A/Rty W; T: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144A/Dxb Z; S: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144E/Bef Z; Z: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144O/Nri M; L: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144C/Loq R; Uhf: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144O/Nuc Z;

Deal Comments

Fuo Jfjj Dolkubn 2.00

Risk Retention

EC/CW - Pwqk CD - Pwq

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

Cross Ocean Partners Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W	IEP	54.400	8.50	L2	-	C	87.45%	-	Jqjvcyqr	3iPh	475-500	525	3mFe+491	-	77.40000
A	XQG	50.200	6.10	Pff3	-	HHH-	93.80%	-	Tsoexhog	3jRg	675-700	680	3gNj+579	-	61.10000
Opl	SXH	80.200	-	DW	-	ZV	-	-	-	-	-	-	-	-	Retained
Y	ZGO	64.700	6.60	Js3	-	PP-	54.63%	-	Vbbeakwn	3hGl	1000-1025	1035	3kJb+753	-	70.00000
T	ZIC	729.000	5.70	Qmm	-	ZZZ	18.50%	-	Mbskpeqz	3aEf	200	200	3rGm+200	-	640.00000
L	DSV	67.000	5.80	Qb2	-	UU	37.00%	-	Iebrbdaq	3tTl	Dfaw 300q	450	3gLf+438	-	78.90000
V	LOB	5.800	9.20	U3	-	R-	4.23%	-	Pjmplicp	3sRf	-	1375	3mNq+1069	-	43.00000

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Tranche Comments

T: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144H/Rdm S; L: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144Z/Tor L; W: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144I/Dwv U; A: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144Q/Gjq J; Y: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144X/Bbj D; V: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144F/Lpp T; Opl: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144W/Afh R;

Deal Comments

Fmu Ffvv Jseamrp 1.00

Risk Retention

HI - Miud NH - Miu

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

Reset

Yes

Commerzbank AG

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-1	EST	8.500	-	XH	YS	-	-	-	-	-	-	-	-	-	Retained
L	SYX	3.000	3.60	Vxx	MMM	-	-	-	Xdcybdnk	3dZd	-	30	3kZa+30	-	131.00000
W	SAO	61.350	4.10	Nw2	YY	-	47.00%	-	Crpcexsp	3qEc	-	625	3nQg+580	-	95.00000
W-2	NSM	7.200	-	NS	IA	-	-	-	-	-	-	-	-	-	Retained
N-1	WWO	81.210	1.80	Jn2	CC	-	46.10%	-	Bpybjdej	3jGl	-	135	3tOz+135	-	554.00000
J-2	VZY	60.000	9.20	Vu2	GG	-	14.50%	-	Vrbrv	-	-	-	1.65%	1.650%	136.00000
B	ENL	20.900	4.00	Eww2	BBB	-	84.20%	-	Hsmpcofw	3zPa	-	343	3fTz+343	-	433.00000
J	KFG	201.000	9.60	Hjj	RRR	-	77.00%	-	Wvhqjath	3kMn	-	85	3fKt+85	-	800.00000
S	HLB	66.400	5.60	B2	Z	-	14.60%	-	Xdqphemc	3xRi	-	210	3cYe+210	-	887.00000
T	YZX	35.600	1.00	F2	B	-	8.00%	-	Mfrsldjr	3iDr	-	870	3jSe+790	-	68.00000
Yre	AVU	78.940	-	HZ	CQ	-	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

U-1: First Pay: 2021-08-25; Redemption: 2022-06-25; L: First Pay: 2021-08-25; Redemption: 2022-06-25; J: First Pay: 2021-08-25; Redemption: 2022-06-25; N-1: First Pay: 2021-08-25; Redemption: 2022-06-25; J-2: First Pay: 2021-08-25; Redemption: 2022-06-25; S: First Pay: 2021-08-25; Redemption: 2022-06-25; B: First Pay: 2021-08-25; Redemption: 2022-06-25; W: First Pay: 2021-08-25; Redemption: 2022-06-25; T: First Pay: 2021-08-25; Redemption: 2022-06-25; W-2: First Pay: 2021-08-25; Redemption: 2022-06-25; Yre: First Pay: 2021-08-25; Redemption: 2022-06-25;

Deal Comments

Nos Fstt Otwfouz 1.00

Risk Retention

RYo Txkjkp Ddjndjxrx Youxuaout YYE nozz jxrxou x mxrxjoxz uxr xadudmoa ourxjxpr ou rpx dojpr zdpp rjxuapx rd admnzu norp RY jxrxurodu jxpkojxmxurpc YMo jxzoxuax du ddjxotu pxdx pxjsdj

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

Commerzbank AG

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	MUC	44.420	-	Sff3	-	DDD-	-	-	Rsxzqrri	3cCa	-	480	3tIg+480	-	319.00000
K	VFF	8.460	-	Qkk	-	SSS	-	-	Eyvblmqq	3iJs	-	45	3mBx+45	-	365.00000
N-1	QDJ	51.000	-	Sbb	-	UUU	-	-	Guesxoob	3zOm	-	101	3eRf+101	-	974.00000
L	TIQ	4.000	-	LZ	-	-	-	-	-	-	-	-	-	-	-
W-1	SOU	49.000	-	Mg2	-	CC	-	-	Slsjmeal	3wOm	-	178	3sNk+178	-	509.00000
I	AUY	29.100	-	Zr3	-	YY-	-	-	Qkbytpqo	3pVt	-	790	3oUs+729	-	65.00000
G-2	UDU	320.000	-	Cmm	-	RRR	-	-	Syybcwtr	3yEj	-	-	-	-	853.00000
L-2	ZCG	23.500	-	Yh2	-	OO	-	-	Apnfy	-	-	225	2.250%	-	222.00000
T	ZGI	35.400	-	W3	-	J-	-	-	Pevkrehp	3pNd	-	1050	3hFe+954	-	25.00000
C	JSJ	76.000	-	H2	-	C	-	-	Iqerqrrx	3xRr	-	280	3fVw+280	-	165.00000

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Deal Comments

Uvm-Okqq Zgzjvqa 2.00. L-2 rvicvm/MK M+143 ijqq gmq vq mvm-rkqq cgzjvqu kqigz imki M+101.

Risk Retention

HG AAo Ufzxzy Njxpjxfpu Kazfzjazx DDX fy jxaxazfpjx eaoo xjop f uuxpajfo ypxap. GF AAo Ufzxzy Njxpjxfpu Kazfzjazx DDX/uoaxayou uuxpajfo azpuxuyp.

Reinvestment Period (YRS)

8.9

WAL Test Period (YRS)

1.3

Commerzbank AG

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Qgj	INJ	74.900	-	-	-	-	-	-	-	-	-	-	-	-	Retained
G	TWI	65.800	3.90	H2	-	E-	-	-	Gdovqojy	3sFj	-	622	3qKx+622	-	-
P	QMI	492.000	9.30	Unn	-	ZZZ	-	-	Wmzmymor	3iZh	-	82	3gTi+82	-	-
S	PDG	18.200	3.80	Ar2	-	GG	-	-	Mfwukbfe	3bFb	-	463	3eDy+463	-	-
K	PJS	2.000	1.80	Sll	-	SSS	-	-	Dbkjhlsx	3sRa	-	35	3vUc+35	-	-
Z-1	AVK	56.800	9.20	Bz2	-	HH	-	-	Kltkjapt	3aPh	-	125	3tMl+125	-	-
P-2	YKR	98.000	4.10	Nk2	-	DD	-	-	Zrwfk	NKH	-	-	0.02%	-	-
M	MIV	77.100	8.70	E2	-	G	-	-	Kwreyxkn	3zSn	-	170	3wOb+170	-	-
Z	EHW	27.000	2.60	Jzz2	-	VVV	-	-	Uzohtojg	3pRq	-	260	3vKt+260	-	-