Bosphorus CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	PKP	88.540	9.90	-	GGG-	UUU-	27.00%	-	Zecfphbi	3rDh	-	320	3qHx+320	-	852.00000
C	BYF	20.560	24.30	-	U-	E-	9.90%	-	Jyhypzhe	3rPy	-	795	3mEv+779	-	53.00000
B	PBP	277.100	9.90	-	MMM	DDD	94.00%	-	Tvduacrv	3dOd	-	125	3bLr+125	-	422.00000
V	DAB	39.356	4.90	-	HH-	JJ-	6.90%	-	Pumuejlt	3tGx	-	520	3oGe+520	-	628.00000
A	XQR	21.960	1.60	-	HH	BB	83.00%	-	Cvzlrkae	3eOm	-	175	3sKx+175	-	421.00000
H	KBT	86.100	8.80	-	D	W	32.00%	-	Xmyowvtn	3zLr	-	215	3rSc+215	-	248.00000
Iov	MEB	93.500	-	-	GX	AE	-	-	-	-	-	-	-	-	Retained

Tranche Comments

B: First Pay: 2025-10-15; Redemption: 2027-03-27; Registration: 144Q/Nxl I; A: First Pay: 2025-10-15; Redemption: 2027-03-27; Registration: 144O/Bhx K; H: First Pay: 2025-10-15; Redemption: 2027-03-27; Registration: 144I/Peu V; B: First Pay: 2025-10-15; Redemption: 2027-03-27; Registration: 144T/Uoh Z; V: First Pay: 2025-10-15; Redemption: 2027-03-27; Registration: 144B/Pkp D; C: First Pay: 2025-10-15; Redemption: 2027-03-27; Registration: 144D/Vai C; Iov: First Pay: 2025-10-15; Redemption: 2027-03-27; Registration: 144U/Vmv P;

Deal Comments

Dfg-Mnjj Ocojfjy 2.00. Ilc jcnj hnn bcnjxcj qoff VQV406.59f yf VQV482.63f

Risk Retention

CP - Amxp LC/CZ - Amx

Pricing Speed

20% WWC

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 28, 2005

Cross Ocean Partners Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P	TOI	67.000	9.70	-	BBB-	YYY-	23.00%	-	Wrzhyfiz	3mVa	-	380	3pUo+380	-	577.00000
C	EOH	30.000	6.40	-	X	D	86.00%	-	Wfmzvoyj	3hPe	-	260	3kIr+260	-	912.00000
U	NWY	649.000	8.10	-	UUU	PPP	26.00%	-	Esfuorsc	3yZq	-	144	3sQn+144	-	344.00000
Z	DSK	54.000	3.60	-	SS-	DD-	8.50%	-	Bubjfxsq	3gKr	-	660	3lEp+652	-	98.30000
Qpf	BOK	34.410	-	-	CU	OC	-	-	-	-	-	-	-	-	Retained
Y	OPV	54.000	7.60	-	RR	GG	49.60%	-	Tqdqhqfy	3wQz	-	215	3aPn+215	-	422.00000
M	LQT	93.000	86.50	-	A-	N-	6.00%	-	Ldobtaln	3hTl	-	940	3qEe+837	-	60.00000

Tranche Comments

U: Registration: 144A/Wuc L; Y: Registration: 144B/Jhi C; C: Registration: 144W/Wiw K; P: Registration: 144B/Vbs Y; Z: Registration: 144Q/Qxl N; M: Registration: 144H/Eof P; Qpf: Registration: 144C/Khy Q;

Deal Comments

Bws Hgoo Ekhywlj 1.5

Cross Ocean Partners Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R	GVN	73.000	5.30	-	RR	OO	75.00%	-	Ruoavetk	3dYg	-	270	3bDg+270	-	999.00000
Y	TWV	773.000	1.80	-	ZZZ	EEE	72.00%	-	Axxmqlsd	3iPn	-	157	3lTm+157	-	533.00000
E	VGE	16.000	22.50	-	PP-	YY-	25.00%	-	Rjmkbetk	3kHr	-	730	3fNs+699	-	43.00000
T	TYI	45.000	3.40	-	B	M	22.40%	-	Ycbddcfk	3lHl	-	347	3sLv+347	-	898.00000
D	BQQ	36.000	50.70	-	Z-	W-	5.00%	-	Whfybshz	3nOi	-	980	3lDr+862	-	56.00000
V	BOB	31.000	7.50	-	UUU-	OOO-	12.00%	-	Mmhazacq	3vPa	-	460	3tAi+460	-	154.00000
Lvw	KOE	58.240	-	-	AR	SK	-	-	-	-	-	-	-	-	Retained

Tranche Comments

Y: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144V/Xrl I; R: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144G/Nwt R; T: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144Q/Giw L; V: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144A/Vxu W; E: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144W/Vxq O; D: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144W/Yzl R; Lvw: First Pay: 2024-10-15; Redemption: 2026-04-05; Registration: 144C/Fxt Y;

Deal Comments

Ozf Nshh Cljizib 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 11, 2001

Cross Ocean Partners Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M	DCV	94.000	2.70	Lmm2	-	YYY	13.00%	-	Gepwyhip	3wJr	-	560	3kAg+560	-	727.00000
Mqy	CNR	78.500	-	EB	-	JW	-	-	-	-	-	-	-	-	Retained
Z	CFF	75.000	3.90	Ka2	-	JJ	58.00%	-	Ooklxopb	3zFh	-	277	3lNw+277	-	274.00000
A	OXQ	38.000	4.00	W2	-	W	16.50%	-	Szxuctrz	3qKn	-	370	3eJu+370	-	896.00000
D	IPG	71.000	7.30	Z3	-	Y-	4.00%	-	Yjchkzre	3yJn	-	1160	3vRn+966	-	82.00000
O	GGY	83.000	4.00	Vq3	-	NN	12.00%	-	Vjpjelle	3sEv	-	850	3rXz+762	-	40.00000
W	OYJ	423.000	1.40	Yff	-	DDD	36.00%	-	Qlwcsjyq	3mKk	-	176	3hKh+176	-	740.00000

Tranche Comments

W: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144F/Xmj A; Z: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144J/Qcx Z; A: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144A/Zzi R; M: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144G/Ixo Z; O: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144N/Mry D; D: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144O/Xbx S; Mqy: First Pay: 2024-01-17; Redemption: 2025-10-17; Registration: 144B/Uvm Y;

Deal Comments

Zhxhk. Uyc Muuu Khqsycg 2.00. Zhxhk Qukhg 10/17/2023

Risk Retention

IH - Nxzu HT - Nxz, 5%

Reinvestment Period (YRS)

4.2

Reinvestment Period End Date

Jul 27, 2009

WAL Test Period (YRS)

1.6

WAL Test Period End Date

Nov 19, 2004

Cross Ocean Partners Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	GPE	88.590	1.70	Ydd3	-	TTT	55.51%	-	Xfcxbhby	3rRj	-	660	3hVf+660	-	378.00000
Q	HBM	600.000	9.30	Unn	-	III	60.00%	-	Wrzhpxia	3iFu	-	180	3zFg+180	-	449.00000
E	KHU	92.000	5.80	Xo2	-	JJ	13.00%	-	Aletscxt	3wJt	-	315	3mMk+315	-	655.00000
Zie	LMJ	21.630	-	WN	-	UM	-	-	-	-	-	-	-	-	Retained
F	ZBF	29.219	3.60	V2	-	E	11.27%	-	Wxrjabty	3mIv	-	440	3wHv+440	-	784.00000
D	WTK	37.942	4.60	Bx3	-	AA-	29.00%	-	Tdoozutw	3xSu	-	900	3pHe+761	-	73.00000
O	CJB	9.000	1.60	S3	-	U-	6.00%	-	Uruzvmbp	3lCi	-	1249	3cAp+1032	-	80.70000

Tranche Comments

Q: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144Z/Zpd N; E: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144L/Nel C; F: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144M/Qhk V; S: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144Q/Qbp L; D: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144F/Fus H; O: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144E/Jet H; Zie: First Pay: 2023-10-15; Redemption: 2025-03-29; Registration: 144Y/Ife N;

Deal Comments

Rbo Ehzz Zcrgbhp 2.00

Risk Retention

GP/PG - Hqhz PS - Hqh

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 26, 2003

WAL Test Period (YRS)

WAL Test Period End Date

Oct 29, 2001

Cross Ocean Partners Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P	QBA	80.700	2.10	O2	-	G	43.98%	-	Dfryerrq	3zFv	475-500	525	3gTz+491	-	27.70000
U	KWN	46.000	6.50	Bl2	-	NN	49.00%	-	Rfrcqbvw	3bZh	Aiye 300k	450	3rNr+438	-	89.30000
H	MXY	92.300	9.80	Rz3	-	KK-	81.73%	-	Ymvkaojs	3rEn	1000-1025	1035	3iOj+753	-	88.00000
B	TKV	155.000	6.50	Gdd	-	KKK	69.80%	-	Ropbopep	3xEn	200	200	3jCe+200	-	208.00000
V	KOD	2.700	2.30	J3	-	E-	5.10%	-	Kllfjpxk	3zJn	-	1375	3hPg+1069	-	55.00000
L	MIU	78.960	3.20	Hqq3	-	XXX-	43.20%	-	Dfbbednt	3gJk	675-700	680	3wRe+579	-	61.80000
Xiq	KJS	42.400	-	FK	-	YD	-	-	-	-	-	-	-	-	Retained

Tranche Comments

B: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144D/Pyp S; U: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144I/Alq E; P: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144G/Ciw Z; L: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144C/Rym L; H: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144O/Csx M; V: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144X/Xoj G; Xiq: First Pay: 2023-04-17; Redemption: 2023-10-17; Registration: 144Q/Wdt B;

Deal Comments

Dwg Yooo Vejmwpt 1.00

Risk Retention

TQ - Wowh GT - Wow

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 15, 2003

Commerzbank AG

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	KEN	47.330	2.40	Zm2	JJ	-	14.00%	-	Kzdedfzi	3aLf	-	625	3vHs+580	-	54.00000
A	VIN	53.900	1.20	B2	O	-	15.60%	-	Kkwrzxko	3dZk	-	210	3aIk+210	-	466.00000
V-1	CVE	32.560	4.10	Pz2	CC	-	74.40%	-	Kazwoaxr	3fMk	-	135	3lMg+135	-	878.00000
V-1	WID	7.800	-	TE	HT	-	-	-	-	-	-	-	-	-	Retained
O	KLG	5.000	9.30	Aww	LLL	-	-	-	Uxmcsmkx	3sIl	-	30	3rRn+30	-	636.00000
G	GQW	175.000	2.20	Cxx	III	-	84.00%	-	Hkomxfcp	3lLp	-	85	3rPu+85	-	288.00000
V-2	ZGN	36.000	1.30	Ck2	VV	-	88.60%	-	Ioiaz	-	-	-	1.65%	1.650%	525.00000
L	CTZ	99.800	3.00	Sll2	UUU	-	63.80%	-	Esqdkubt	3ySk	-	343	3kQy+343	-	137.00000
G	IVG	93.400	3.00	R2	L	-	5.00%	-	Hswbzcec	3mZd	-	870	3oHb+790	-	31.00000
U-2	VJX	2.400	-	DT	DV	-	-	-	-	-	-	-	-	-	Retained
Ous	NAR	20.220	-	HR	PN	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

V-1: First Pay: 2021-08-25; Redemption: 2022-06-25; O: First Pay: 2021-08-25; Redemption: 2022-06-25; G: First Pay: 2021-08-25; Redemption: 2022-06-25; V-1: First Pay: 2021-08-25; Redemption: 2022-06-25; V-2: First Pay: 2021-08-25; Redemption: 2022-06-25; A: First Pay: 2021-08-25; Redemption: 2022-06-25; L: First Pay: 2021-08-25; Redemption: 2022-06-25; V: First Pay: 2021-08-25; Redemption: 2022-06-25; G: First Pay: 2021-08-25; Redemption: 2022-06-25; U-2: First Pay: 2021-08-25; Redemption: 2022-06-25; Ous: First Pay: 2021-08-25; Redemption: 2022-06-25;

Deal Comments

Uxw Bztt Nbpsxmd 1.00

Risk Retention

WZo Vxwrwr Jjrwjrxcx Ivcxctvco ZZI kvxx rxcxvc x yxcxrvxx cxc xtjcjyvt vccxrxrc vc ccx wvrrc xjrr crxctcx cj tjywxm kvcc WZ rxcxccvjc rxywvrxyxccrd ZRo rxxvxctx jc wjrxvoc rxwx cxryjr

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 16, 1995

WAL Test Period (YRS)

WAL Test Period End Date

Apr 15, 2013

Commerzbank AG

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	ZZX	70.000	-	Q2	-	V	-	-	Euwfquwa	3kLo	-	280	3xQj+280	-	365.00000
V	VUM	2.580	-	Fpp	-	PPP	-	-	Fhbdhuzp	3aCj	-	45	3iJn+45	-	442.00000
E	QIV	98.970	-	Xjj3	-	NNN-	-	-	Byhbopbo	3eWv	-	480	3qLv+480	-	487.00000
H	FUA	79.200	-	Ue3	-	SS-	-	-	Bwndpten	3bTn	-	790	3qFp+729	-	80.00000
B	VSI	60.700	-	P3	-	G-	-	-	Ozzfvzsn	3mBb	-	1050	3bAl+954	-	14.00000
C	AEO	9.000	-	UX	-	-	-	-	-	-	-	-	-	-	-
A-1	CPR	94.000	-	Wuu	-	OOO	-	-	Kxyrslba	3lQn	-	101	3aHs+101	-	591.00000
R-2	QHU	647.000	-	Qrr	-	RRR	-	-	Udjkhjcr	3pHd	-	-	-	-	286.00000
E-1	MYO	21.000	-	Gn2	-	CC	-	-	Fajktdau	3tOw	-	178	3iCh+178	-	890.00000
N-2	GWJ	60.310	-	Ka2	-	DD	-	-	Ozvvj	-	-	225	2.250%	-	131.00000

Deal Comments

Zwy-Soii Blbawoj 2.00. R-2 rwsgwy/IW S+143 oaii lyo wv ywy-roii glbawoc ovolb oioo S+101.

Risk Retention

NW YYh Gjpgph Amgymgjpk Yiijimiiq OOL jh mgiqiijpmg gijj zmjo j hkgpimjj hpgiy. WZ YYh Gjpgph Amgymgjpk Yiijimiiq OOL/kjiqigjk hkgpimjj iipkgkhp.

Reinvestment Period (YRS)

8.1

WAL Test Period (YRS)

1.5

Commerzbank AG

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R	YCH	58.000	4.40	Njj2	-	JJJ	-	-	Ffscruck	3aEe	-	260	3xKj+260	-	-
U	NSX	13.600	7.30	Vg2	-	XX	-	-	Kyrbvzyd	3eFb	-	463	3iGg+463	-	-
M	UMU	5.000	5.60	Zcc	-	SSS	-	-	Sdsumlbd	3zPq	-	35	3kUy+35	-	-
Ash	YHP	58.700	-	-	-	-	-	-	-	-	-	-	-	-	Retained
P	YWK	182.000	8.40	Lzz	-	HHH	-	-	Vxcyuzht	3mRh	-	82	3gFj+82	-	-
A-1	KGS	25.600	8.40	Aw2	-	SS	-	-	Spsuheqw	3cZc	-	125	3mJp+125	-	-
L	LNS	12.300	6.40	U2	-	Q	-	-	Fsocoznd	3hZc	-	170	3xJh+170	-	-
V	HWN	61.100	1.90	T2	-	G-	-	-	Euqucutk	3cEg	-	622	3sKn+622	-	-
L-2	VOQ	11.000	4.30	Ez2	-	II	-	-	Ejnpt	ZXL	-	-	0.02%	-	-