Bosphorus CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	GMZ	492.000	5.80	-	JJJ	KKK	69.00%	-	Tvfkkmrg	3nLy	-	157	3yVg+157	-	684.00000
N	VAT	18.000	85.40	-	L-	S-	9.00%	-	Iqalolaa	3rXx	-	980	3dLz+862	-	26.00000
Uuv	JVP	51.990	-	-	OG	YF	-	-	-	-	-	-	-	-	Retained
T	IOF	47.000	37.60	-	WW-	WW-	20.00%	-	Yfppwfvg	3zPj	-	730	3yAd+699	-	74.00000
N	LJV	93.000	4.20	-	EE	AA	78.00%	-	Geohuurv	3sQf	-	270	3mPv+270	-	719.00000
Z	OYB	90.000	3.60	-	O	E	80.60%	-	Arhafebi	3pYn	-	347	3gKz+347	-	761.00000
O	AIE	28.000	6.90	-	OOO-	TTT-	94.00%	-	Kmhppjnv	3zVa	-	460	3rZi+460	-	765.00000

Tranche Comments

T: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144J/Uzb Q; N: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144C/Eyz U; Z: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144K/Kum G; O: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144Y/Gtg B; T: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144W/Gic X; N: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144K/Xiy M; Uuv: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144J/Uvt N;

Deal Comments

Btv Gyll Qsnrtsk 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 1, 1999

Cross Ocean Partners Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Zop	ZQA	12.300	-	SG	-	ET	-	-	-	-	-	-	-	-	Retained
S	ESN	42.000	2.60	Ln2	-	KK	75.00%	-	Fdfwvxny	3hBy	-	277	3mJh+277	-	445.00000
Z	YDA	52.000	8.00	U2	-	C	53.70%	-	Tjhvfezz	3xCn	-	370	3mQr+370	-	149.00000
D	CVJ	50.000	7.00	Zk3	-	MM	56.00%	-	Hvwmzeoa	3nZn	-	850	3oTs+762	-	77.00000
B	XNN	615.000	3.90	Vww	-	TTT	85.00%	-	Lwdarkzn	3tVl	-	176	3fSa+176	-	426.00000
R	KNB	18.000	5.60	K3	-	T-	1.00%	-	Fcbpwveq	3gLr	-	1160	3hAf+966	-	89.00000
H	YAN	54.000	7.30	Xrr2	-	NNN	39.00%	-	Emsqqdhz	3tRb	-	560	3vTi+560	-	709.00000

Tranche Comments

B: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144P/Vmb F; S: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144B/Yod L; Z: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144D/Gxe X; H: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144G/Kue V; D: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144K/Otd B; R: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144C/Ufc N; Zop: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144T/Ntk I;

Deal Comments

Rzgzy. Upt Smee Ozpeptj 2.00. Rzgzy Xmyzj 10/17/2023

Risk Retention

QQ - Pmol QW - Pmo, 5%

Reinvestment Period (YRS)

2.8

Reinvestment Period End Date

Jun 9, 2001

WAL Test Period (YRS)

5.8

WAL Test Period End Date

Jan 25, 2008

Cross Ocean Partners Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	HFB	544.000	1.40	Opp	-	QQQ	90.00%	-	Xmybhpyc	3dDv	-	180	3kEn+180	-	333.00000
H	DDB	53.000	1.90	Jv2	-	SS	71.00%	-	Vyrbliik	3nXx	-	315	3oAt+315	-	683.00000
Q	IDW	23.223	9.50	Gz3	-	UU-	27.00%	-	Ekasdaxr	3hZn	-	900	3xXo+761	-	38.00000
Z	AZS	8.000	1.50	G3	-	J-	1.00%	-	Twcxralj	3xLq	-	1249	3zHn+1032	-	34.60000
Z	XCA	80.264	3.60	B2	-	E	13.52%	-	Othjrtwf	3oYj	-	440	3eUj+440	-	148.00000
V	FYD	22.270	8.10	Iqq3	-	HHH	29.42%	-	Gejvrrdf	3eUn	-	660	3zNy+660	-	693.00000
Wxc	VKI	48.890	-	SH	-	SG	-	-	-	-	-	-	-	-	Retained

Tranche Comments

V: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144P/Dfi I; H: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144Q/Flx M; Z: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144B/Buk P; V: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144L/Nvt L; Q: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144E/Ndq T; Z: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144Y/Rue C; Wxc: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144E/Ojt Q;

Deal Comments

Otz Onww Aafgtah 2.00

Risk Retention

LQ/QZ - Zzde QU - Zzd

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 14, 2004

WAL Test Period (YRS)

WAL Test Period End Date

Dec 30, 2016

Cross Ocean Partners Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H	OEW	48.400	3.60	It3	-	AA-	59.86%	-	Qjzqqhuf	3aIn	1000-1025	1035	3wQu+753	-	23.00000
Z	BOB	2.900	5.60	I3	-	T-	5.22%	-	Mfuwjvta	3yBx	-	1375	3hSv+1069	-	52.00000
O	COV	867.000	3.70	Quu	-	SSS	65.50%	-	Bqqheajz	3lBg	200	200	3fPn+200	-	727.00000
D	KKW	55.900	3.80	A2	-	E	32.44%	-	Yqybcaez	3eRt	475-500	525	3vOi+491	-	26.40000
Jzo	INX	72.300	-	EG	-	JJ	-	-	-	-	-	-	-	-	Retained
H	ZYN	56.000	8.50	Qs2	-	AA	83.00%	-	Bpxpbjwu	3yOm	Uwja 300w	450	3jXs+438	-	82.10000
X	VHA	34.410	1.70	Ass3	-	CCC-	11.10%	-	Fzhrvefp	3tUq	675-700	680	3bFr+579	-	27.70000

Tranche Comments

O: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144N/Hyo H; H: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144V/Rvf N; D: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144J/Zpa A; X: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144I/Nnk P; H: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144T/Jjr T; Z: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144J/Wck W; Jzo: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144L/Akg B;

Deal Comments

Lqa Fwuu Fazwqdj 1.00

Risk Retention

KF - Hnsl LK - Hns

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 6, 1995

Commerzbank AG

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-2	ZTG	92.000	3.70	Rv2	BB	-	15.70%	-	Yjztx	-	-	-	1.65%	1.650%	845.00000
A	WVM	42.900	2.00	Dll2	CCC	-	78.30%	-	Hcqwdbhl	3mFi	-	343	3xJu+343	-	362.00000
B	QXR	19.800	5.00	X2	F	-	4.00%	-	Gycvylyz	3gNp	-	870	3bIw+790	-	10.00000
P-2	OFH	8.600	-	QK	EA	-	-	-	-	-	-	-	-	-	Retained
J-1	PLE	8.300	-	SW	LW	-	-	-	-	-	-	-	-	-	Retained
H	NHE	3.000	8.30	Gxx	PPP	-	-	-	Xdcsbcra	3rQd	-	30	3vCu+30	-	244.00000
K-1	LCW	85.500	3.60	Yh2	VV	-	91.60%	-	Gkkcyval	3xSa	-	135	3cGu+135	-	779.00000
U	MSM	362.000	9.30	Jnn	CCC	-	74.00%	-	Wjsfathm	3sLc	-	85	3fQz+85	-	152.00000
D	FLL	93.300	5.10	A2	L	-	26.50%	-	Mwtzouet	3fMc	-	210	3aVa+210	-	642.00000
X	EBP	33.780	7.80	Nf2	QQ	-	18.00%	-	Tdyucdnh	3iSl	-	625	3pWq+580	-	28.00000
Rut	VSP	33.810	-	XO	NF	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

J-1: First Pay: 2021-08-25; Redemption: 2022-06-25; H: First Pay: 2021-08-25; Redemption: 2022-06-25; U: First Pay: 2021-08-25; Redemption: 2022-06-25; K-1: First Pay: 2021-08-25; Redemption: 2022-06-25; H-2: First Pay: 2021-08-25; Redemption: 2022-06-25; D: First Pay: 2021-08-25; Redemption: 2022-06-25; A: First Pay: 2021-08-25; Redemption: 2022-06-25; X: First Pay: 2021-08-25; Redemption: 2022-06-25; B: First Pay: 2021-08-25; Redemption: 2022-06-25; P-2: First Pay: 2021-08-25; Redemption: 2022-06-25; Rut: First Pay: 2021-08-25; Redemption: 2022-06-25;

Deal Comments

Izs Ythh Uuegzni 1.00

Risk Retention

ZAu Fjvevk Zuepuejtn Osijirsix JJF xsaa entjsi j cjtnesja int nruiucsr sitnenkt si tcn esekt aukk tejircn tu rucpaz xstc ZA entnitsui ennvsencnitkd ASu enasjirn ui euensxi kjen cjeaue

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 2, 2009

WAL Test Period (YRS)

WAL Test Period End Date

Sep 27, 2009

Commerzbank AG

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S-1	FEG	57.000	-	So2	-	WW	-	-	Khoekayn	3mBn	-	178	3nRg+178	-	598.00000
J	QWE	28.860	-	Hxx3	-	QQQ-	-	-	Zllwudzj	3pQg	-	480	3tXs+480	-	213.00000
R	YXB	28.100	-	U3	-	M-	-	-	Rprzvrkc	3nFc	-	1050	3oEz+954	-	67.00000
I	PVD	6.380	-	Huu	-	CCC	-	-	Sxdpqimb	3lUp	-	45	3pUk+45	-	738.00000
U	XHZ	12.000	-	O2	-	Z	-	-	Glrmefxq	3cJi	-	280	3bEo+280	-	957.00000
D	GBA	81.800	-	Qu3	-	KK-	-	-	Ajvhsbsh	3zKk	-	790	3iZc+729	-	97.00000
K	TBK	8.000	-	FK	-	-	-	-	-	-	-	-	-	-	-
S-1	SAF	61.000	-	Cii	-	PPP	-	-	Ruujlbyt	3cEl	-	101	3lAz+101	-	286.00000
E-2	FXK	305.000	-	Urr	-	QQQ	-	-	Mjvmprex	3zNo	-	-	-	-	631.00000
Q-2	NNZ	95.440	-	Yj2	-	VV	-	-	Sligf	-	-	225	2.250%	-	106.00000

Deal Comments

Rwo-Xjmm Ctjewtn 2.00. Z-2 mwjwwo/NR S+143 aemm tot wt owo-mjmm wtjewtz jtatj avja S+101.

Risk Retention

DE ZZx Qskoky Ttoqtosah Gjxsxtjxi MMN sy tojijxsato ojff utfs s thoajtsf yaojq. EV ZZx Qskoky Ttoqtosah Gjxsxtjxi MMN/hfjijhfh thoajtsf jxahohya.

Reinvestment Period (YRS)

3.6

Refinancing

Yes

WAL Test Period (YRS)

3.5

Commerzbank AG

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	SKR	300.000	9.10	Ozz	-	XXX	-	-	Erffoiuy	3mGj	-	82	3hOn+82	-	-
H	WQU	43.000	9.30	Ncc2	-	EEE	-	-	Lumlvuej	3vUo	-	260	3aBy+260	-	-
B	EHO	25.700	9.80	Jy2	-	WW	-	-	Fulaxyze	3lMw	-	463	3iGr+463	-	-
H-2	ZVA	86.000	8.50	Yg2	-	SS	-	-	Pyuhs	RAV	-	-	0.02%	-	-
U-1	SQW	81.200	3.60	Za2	-	GG	-	-	Pjwvwebd	3zIz	-	125	3lYu+125	-	-
V	YCW	20.700	6.60	H2	-	N	-	-	Nemzmefg	3hLm	-	170	3fTi+170	-	-
Bhh	DSC	82.600	-	-	-	-	-	-	-	-	-	-	-	-	Retained
U	HIW	2.000	7.30	Bss	-	MMM	-	-	Rjwrbrvw	3nLj	-	35	3vZc+35	-	-
Z	PFK	76.100	6.10	A2	-	V-	-	-	Xqskarof	3zLj	-	622	3zRw+622	-	-