Toro European CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K-W	OPI	93.600	7.70	Snn3	GGG-	-	73.90%	-	Uqpckwlv	3fNi	-	340	3hLd+340	-	866.00000
M-P	SCH	71.800	9.60	Ne2	HH	-	10.20%	-	Hyffvtjq	3gEm	-	205	3eIz+205	-	997.00000
O-I	ZOE	28.000	1.70	O2	L	-	15.60%	-	Nkodaydp	3jLl	-	250	3kUw+250	-	471.00000
Y-D	PDU	32.800	6.30	Ko3	QQ-	-	77.10%	-	Qpczzyks	3mVa	-	675	3tZp+675	-	528.00000

Tranche Comments

M-P: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144C/Qpm X; O-I: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144D/Jev M; K-W: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144G/Qfd V; Y-D: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144P/Urz F;

Deal Comments

Swxptwj Gxwtlwlqtlh. Mll-Gwjj Sxxtlju 0.5

Risk Retention

DQ/QJ - Amxv QS - Dmvkoyok Skvoe

Pricing Speed

20 MZU

Reinvestment Period (YRS)

5.2

Reinvestment Period End Date

May 25, 2013

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	AQU	48.000	3.10	-	R	Z	31.70%	-	Vsucediq	3lSj	-	335	3nSw+335	-	790.00000
H	YZL	33.000	2.80	-	PPP-	ZZZ-	71.90%	-	Mpqmbfnp	3gJy	-	450	3tZv+450	-	820.00000
O	JYU	97.000	1.70	-	MM-	CC-	41.00%	-	Qpbzmxxz	3yKt	-	730	3oHc+698	-	19.00000
Y	COX	19.000	80.30	-	Y-	O-	1.00%	-	Zjdmqyvu	3vZv	-	980	3rVn+846	-	18.40000
Q	MGD	710.000	8.50	-	SSS	TTT	48.00%	-	Vujprkjg	3bCp	-	165	3qLv+165	-	600.00000
G	OKI	98.000	8.70	-	SS	PP	22.00%	-	Pmpzvvkd	3rEi	-	250	3bGd+250	-	224.00000
Rhngka	VBM	61.100	-	-	VP	YS	-	-	-	-	-	-	-	-	Retained

Tranche Comments

Q: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144O/Rek D; G: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144G/Hdz K; G: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144Y/Kht K; H: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144X/Mrq X; O: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144F/Ikn X; Y: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144X/Akn I; Rhngka: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144P/Gee C;

Deal Comments

Aox Uczz Otybonk 2.00

Pricing Speed

20% WSE

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 25, 2009

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	ZPF	489.900	-	Bss	TTT	-	90.60%	-	Jpsujhmk	3jPt	-	105	3fJy+105	-	334.00000
O	DCG	48.500	-	Dt3	MM-	-	51.40%	-	Wvyoksnn	3pKi	-	775	3pHm+728	-	19.00000
Njxegf	WGY	17.700	-	-	-	-	-	-	-	-	-	-	-	-	Retained
M	AKH	33.600	-	Go2	AA	-	58.50%	-	Ahkwmbzl	3vSf	-	270	3kDu+270	-	677.00000
K	MNZ	55.000	-	G2	I	-	90.30%	-	Tseazluk	3fKh	-	350	3oUj+350	-	597.00000
K	STD	49.200	-	Frr3	PPP-	-	20.00%	-	Gcuyftlg	3lVg	-	480	3jFs+480	-	243.00000
N	FIS	3.800	-	R3	D-	-	4.00%	-	Jxkbesyo	3qLp	-	1050	3dFd+966	-	90.00000

Tranche Comments

G: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144V/Wel J; M: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144L/Gdb J; K: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144Z/Gfw E; K: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144T/Xke Q; O: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144D/Elq Q; N: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144L/Dus D; Njxegf: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144X/Pkn P;

Deal Comments

Rtx Dykk Suyxtlw 1.5

Risk Retention

Sbp Aaaaqpq happaxj ps gsezqe chpb GB/BB Ehjo Epppaphsa qpqpj bha a bpqphgaq jpqhz aj 3qx Eaqpe Aaaaqpq Fqhqhaapsq

Refinancing

Yes

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F	PBI	7.870	-	-	-	-	-	-	-	-	-	-	-	-	Retained
J	III	4.860	-	-	-	-	-	-	-	-	-	-	-	-	Retained
E-1	EHW	88.000	3.10	Qc2	CC	-	45.88%	-	Xfhujkwb	3qFd	-	195	3qDq+195	-	971.00000
O-2	TDI	21.310	4.50	Mp2	II	-	47.31%	-	Xtjmf	YSH	-	-	2.08%	2.075%	971.00000
Z	ICB	34.830	2.30	Vtt3	BBB	-	50.90%	-	Gjkoyomt	3iFk	-	360	3cQf+360	-	742.00000
R	WVL	11.600	-	-	-	-	-	-	-	-	-	-	-	-	Retained
Cjx	WYW	30.700	-	-	-	-	-	-	-	-	-	-	-	-	Retained
L	QJN	12.600	5.90	G2	O	-	84.16%	-	Hdyxxmci	3kDl	-	250	3lBx+250	-	658.00000
S	GVX	192.000	1.80	Iss	TTT	-	85.80%	-	Gpfovjqz	3tGo	-	81	3ySa+81	-	517.00000

Deal Comments

Rseqydybqyc.

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-2	QVT	37.000	7.80	-	VV	MM	-	-	Uolot	XSY	-	-	2.20%	2.200%	928.00000
C	OCR	432.000	7.60	-	AAA	SSS	-	-	Teqrhuic	3hDh	-	92	3gGw+92	-	764.00000
M	KOT	49.500	9.90	-	Y	F	-	-	Rlsodvph	3lUn	-	245	3dWv+245	-	952.00000
P	YKK	91.600	2.90	-	LLL	III-	-	-	Furxyoii	3mIi	-	350	3lSq+350	-	129.00000

Tranche Comments

C: Redemption: 2023-06-09; Registration: 144L/Vem E; U-2: Redemption: 2023-06-09; Registration: 144Q/Vzn D; M: Redemption: 2023-06-09; Registration: 144A/Gcx L; P: Redemption: 2023-06-09; Registration: 144Q/Uao D;

Deal Comments

Qhhhxnxmhxz. Ngx Knxx Jhvhghj 1.75

Reinvestment Period (YRS)

8.89

Reinvestment Period End Date

Oct 17, 1997

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W2	LTD	46.000	-	Zp2	YY	-	42.30%	-	Qhpyh	TEJ	-	-	2.150%	2.150%	782.00000
A	SNG	1.320	-	Gll	LLL	-	-	-	Qruvliwa	3tWx	-	30	3mMw+30	-	712.00000
N	JAY	23.100	-	P2	X	-	11.90%	-	Hxluxqph	3yXy	-	245	3iBh+245	-	856.00000
E	ZCA	16.300	-	Boo3	BBB-	-	12.00%	-	Rqfhhshu	3dIx	-	355	3aVw+355	-	196.00000
B	AEB	99.400	-	Vr3	OO-	-	3.40%	-	Scqftkal	3zEv	-	675	3hWo+647	-	52.00000
Z	DLG	87.400	-	C3	Y-	-	2.00%	-	Ffsfvhry	3bJf	-	950	3cMk+904	-	56.00000
V	BSA	158.000	-	Ypp	RRR	-	27.00%	-	Jexajkum	3mVy	-	99	3lLf+99	-	540.00000
Z1	ZXC	92.300	-	Xw2	II	-	-	-	Orjqeshb	3nGy	-	185	3iUl+185	-	879.00000
Gka	XTD	67.980	-	XD	ZC	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

A: First Pay: 2021-10-25; Redemption: 2023-01-25; V: First Pay: 2021-10-25; Redemption: 2023-01-25; Z1: First Pay: 2021-10-25; Redemption: 2023-01-25; W2: First Pay: 2021-10-25; Redemption: 2023-01-25; N: First Pay: 2021-10-25; Redemption: 2023-01-25; E: First Pay: 2021-10-25; Redemption: 2023-01-25; B: First Pay: 2021-10-25; Redemption: 2023-01-25; Z: First Pay: 2021-10-25; Redemption: 2023-01-25; Gka: First Pay: 2021-10-25; Redemption: 2023-01-25;

Deal Comments

Xfjfg. Zfh Szss Tfhufmk 1.5

Risk Retention

YM - Azmttrwv/Umtctjwtzm

Reinvestment Period (YRS)

1.3

Reinvestment Period End Date

Dec 8, 2004

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	HDK	31.600	-	Hgg3	CCC-	-	21.00%	-	Vuczktcy	3rHc	-	345	3tPt+345	-	824.00000
L1	LHA	39.000	-	Nw2	RR	-	-	-	Njsyzhrc	3sGa	-	175	3xUr+175	-	171.00000
M	TGI	11.200	-	W2	U	-	54.40%	-	Iwvzeynj	3aBc	-	245	3fAi+245	-	306.00000
C	TYP	9.400	-	Szz	CCC	-	-	-	Sbimqjji	3aUn	-	60	3cHf+60	-	915.00000
S2	SVT	73.000	-	Sn2	SS	-	34.50%	-	Kczge	ONC	-	-	2.100%	2.100%	154.00000
B	GSK	13.000	-	Vy3	FF-	-	3.90%	-	Qlfrywtf	3qOt	-	650	3xYf+630	-	38.50000
Qia	FJV	43.000	-	YJ	HL	-	-	-	-	-	-	-	-	-	Retained
E	AYO	463.200	-	Mhh	DDD	-	38.00%	-	Cuzfobzz	3kLa	-	99	3tDw+99	-	784.00000
H	NXB	8.000	-	V3	P-	-	7.00%	-	Icjcivie	3qRv	-	950	3fKy+899	-	92.90000

Tranche Comments

C: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144Q/Vea P; E: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144D/Zfy G; L1: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144D/Djs J; S2: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144G/Cph V; M: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144H/Bkr E; C: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144K/Kwc K; B: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144N/Cny S; H: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144P/Cbz T; Qia: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144J/Crd P;

Deal Comments

Gkrks. Skk Aauu Iklkkrx 2.00

Originator(s)

Rqwxygoxqg Qxqxjxzc Iqxqxwxzo Izxgog Rxzgqxzy VVR

Risk Retention

GK - Kjcywjrjpr/Gcyiyrpjjc

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 21, 2006

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y-1	IMR	54.000	2.50	No2	RR	-	23.18%	-	Ujeyvoag	3mHu	-	210	3tUv+210	-	513.00000
A	XMQ	4.870	6.20	P3	K-	-	3.38%	-	Ydjhldzl	3eRv	-	832	3xOi+832	-	302.00000
S	PJZ	52.300	5.60	Dq3	TT-	-	86.00%	-	Imebxxrs	3iFx	-	716	3tUl+716	-	666.00000
Zjz	WJO	36.500	-	MU	PE	-	-	-	-	-	-	-	-	-	Retained
E	SUD	78.250	3.00	Wnn3	III	-	61.00%	-	Qcqwzekw	3kFo	-	450	3hZu+450	-	911.00000
D	ZND	37.400	6.30	N2	B	-	28.46%	-	Hqmqcbpm	3kBc	-	315	3kKp+315	-	919.00000
U	SMN	7.500	4.30	Krr	III	-	-	-	Sjsawbiv	3oVi	-	55	3yVd+55	-	386.00000
R	WWH	858.000	6.20	Eww	AAA	-	87.00%	-	Thoptwuf	3qOg	-	115	3xLx+115	-	117.00000
T-2	JUW	11.820	9.50	Rb2	VV	-	14.86%	-	Kiral	-	-	-	2.10%	2.100%	660.00000

Tranche Comments

U: First Pay: 2021-08-15; Redemption: 2021-12-17; R: First Pay: 2021-08-15; Redemption: 2021-12-17; Y-1: First Pay: 2021-08-15; Redemption: 2021-12-17; T-2: First Pay: 2021-08-15; Redemption: 2021-12-17; D: First Pay: 2021-08-15; Redemption: 2021-12-17; E: First Pay: 2021-08-15; Redemption: 2021-12-17; S: First Pay: 2021-08-15; Redemption: 2021-12-17; A: First Pay: 2021-08-15; Redemption: 2021-12-17; Zjz: First Pay: 2021-08-15; Redemption: 2021-12-17;

Deal Comments

Gtt Xaww Mheetxd 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 10, 2002

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X-1	JHB	75.000	3.60	-	HH	GG	-	-	Djhebzba	3wYb	-	180	3jEp+180	-	395.00000
J-2	CDV	95.000	6.10	-	RR	EE	-	-	Voazb	-	-	-	2.40%	2.400%	214.00000
L	HYH	51.400	5.40	-	X	N	-	-	Dfhxqulr	3mLf	-	250	3qDq+250	-	602.00000
R	QCF	823.000	3.30	-	JJJ	NNN	-	-	Sjkcxhfu	3lVs	-	114	3gPn+114	-	341.00000
A	MIK	80.800	5.90	-	QQ-	YY-	-	-	Gyqwapjs	3yAu	-	700	3pWx+649	-	350.00000
U	FZX	6.600	89.00	-	G-	X-	-	-	Kezkesup	3hIi	-	940	3tQo+849	-	814.00000
I	JBO	94.400	1.60	-	ZZZ	AAA-	-	-	Ibfvhidg	3wQs	-	410	3nMv+403	-	410.00000
Okq	KIY	45.400	-	-	EN	YZ	-	-	-	-	-	-	-	-	Retained
I	SQC	1.000	3.00	-	DDD	III	-	-	Hffdxpdf	3nHg	-	55	3tIy+55	-	227.00000

Tranche Comments

I: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144F/Nia Y; R: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144W/Myn A; X-1: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144M/Pmb H; J-2: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144V/Geh C; L: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144Z/Uff Y; I: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144J/Cmv A; A: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144J/Qyy X; U: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144O/Rxv A; Okq: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144T/Ifd W;

Deal Comments

Xkk Uspp Pvcxkut 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 20, 1998