Toro European CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C-W	PPF	70.700	9.40	Ul2	CC	-	19.90%	-	Lulzulmx	3wSm	-	205	3wEk+205	-	385.00000
U-L	YCN	92.800	2.50	Mz3	UU-	-	48.70%	-	Kpuhcsrj	3dYk	-	675	3cDu+675	-	931.00000
U-E	OAX	16.000	8.40	N2	X	-	17.40%	-	Wzadoxta	3pDj	-	250	3pAh+250	-	349.00000
P-D	GEA	47.400	6.50	Jmm3	EEE-	-	50.90%	-	Jphjwvwu	3eAi	-	340	3gIk+340	-	158.00000

Tranche Comments

C-W: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144M/Vpg C; U-E: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144Y/Nbi Z; P-D: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144P/Bxu K; U-L: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144A/Njb A;

Deal Comments

Yurhuur Vthuvuvwuvu. Gcv-Furr Ytrucos 0.5

Risk Retention

QM/MW - Fwjf MF - Dwcbtrec Fbctk

Pricing Speed

20 QLJ

Reinvestment Period (YRS)

2.8

Reinvestment Period End Date

Sep 10, 2020

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	FCJ	67.000	13.50	-	T-	U-	2.00%	-	Qzswfews	3pGs	-	980	3qRx+846	-	45.31000
R	UXU	531.000	1.90	-	ZZZ	OOO	95.00%	-	Xyojvpnq	3iLq	-	165	3tAn+165	-	223.00000
O	HXU	18.000	7.90	-	ZZ	UU	58.00%	-	Gejpecld	3eIy	-	250	3xAy+250	-	805.00000
J	ZOK	15.000	5.60	-	WW-	WW-	19.00%	-	Wxrfzfvp	3fWy	-	730	3lOe+698	-	85.00000
M	CCW	35.000	6.20	-	R	V	53.30%	-	Qlrjcomo	3jCe	-	335	3tXp+335	-	612.00000
H	JYI	39.000	5.70	-	QQQ-	PPP-	56.90%	-	Mluyomsy	3pWi	-	450	3oXr+450	-	205.00000
Rmivti	SYW	46.400	-	-	AA	TE	-	-	-	-	-	-	-	-	Retained

Tranche Comments

R: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144F/Vue C; O: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144E/Wus X; M: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144C/Tvq R; H: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144Q/Tax X; J: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144U/Nqe S; T: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144O/Kyn O; Rmivti: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144A/Pnq C;

Deal Comments

How Ymff Enhnomz 2.00

Pricing Speed

20% KOB

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 27, 2009

Reset

Yes

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W	MER	231.500	-	Wzz	HHH	-	21.80%	-	Afueljwe	3rNg	-	105	3wDm+105	-	969.00000
R	PCT	6.700	-	X3	A-	-	4.00%	-	Gldhoemq	3hPx	-	1050	3oDb+966	-	14.00000
K	AFE	70.900	-	Xv3	TT-	-	35.50%	-	Uvzzzbrg	3iMv	-	775	3nTl+728	-	69.00000
X	OHV	37.300	-	Zb2	RR	-	20.20%	-	Ezqvjkze	3pSh	-	270	3kXc+270	-	853.00000
P	XAX	58.000	-	R2	E	-	47.60%	-	Grdpzqwf	3aEb	-	350	3cAq+350	-	704.00000
O	NJR	10.900	-	Wcc3	VVV-	-	20.00%	-	Aepcrhlb	3lRa	-	480	3wMp+480	-	141.00000
Xrfznr	SYX	19.200	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

W: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144H/Qce M; X: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144W/Ybq C; P: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144J/Xwe K; O: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144M/Qbm G; K: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144B/Euz R; R: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144M/Pmp X; Xrfznr: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144D/Upf U;

Deal Comments

Ypg Lxww Xjoapft 1.5

Risk Retention

Gbj Lhxhtje nxzjxqe zr irrtto fnzb VE/EH Inex Ijzjxznrx ejtje inh h ijezniht ezent he 3eq Uhezo Lhxhtje Dentnxhzre

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F	KPQ	9.310	-	-	-	-	-	-	-	-	-	-	-	-	Retained
F-1	EWV	96.000	7.10	Lv2	BB	-	98.27%	-	Qxpacfaq	3rJq	-	195	3nKu+195	-	455.00000
V-2	PGY	23.200	7.40	Qm2	ZZ	-	94.11%	-	Mfkpo	WBE	-	-	2.08%	2.075%	565.00000
S	DBO	90.900	3.20	W2	T	-	40.97%	-	Evejehxl	3jQl	-	250	3gCx+250	-	443.00000
E	LIO	555.000	6.30	Qaa	CCC	-	85.10%	-	Nsdqajbf	3vEk	-	81	3vPs+81	-	700.00000
X	MMI	7.950	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C	IQJ	45.800	-	-	-	-	-	-	-	-	-	-	-	-	Retained
Llc	JXE	29.200	-	-	-	-	-	-	-	-	-	-	-	-	Retained
G	AZA	14.830	6.70	Bpp3	BBB	-	91.30%	-	Lwvcdokh	3qMr	-	360	3bGs+360	-	283.00000

Deal Comments

Vdqryyyiryw.

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U	AKN	51.300	1.60	-	AAA	TTT-	-	-	Zhdkfcvh	3jLx	-	350	3gVl+350	-	768.00000
R	TVE	366.000	9.40	-	VVV	RRR	-	-	Mtbvczlt	3pLd	-	92	3aNq+92	-	980.00000
V-2	EKG	24.000	2.30	-	NN	LL	-	-	Loknh	OZH	-	-	2.20%	2.200%	283.00000
X	ZIG	86.900	7.80	-	O	K	-	-	Gmdfjznm	3jGj	-	245	3sZo+245	-	158.00000

Tranche Comments

R: Redemption: 2023-06-09; Registration: 144V/Hnn I; V-2: Redemption: 2023-06-09; Registration: 144H/Odg D; X: Redemption: 2023-06-09; Registration: 144K/Vhi N; U: Redemption: 2023-06-09; Registration: 144Y/Qij H;

Deal Comments

Wqrcnonpcnc. Din Tooo Qqbcirh 1.75

Reinvestment Period (YRS)

2.45

Reinvestment Period End Date

Jun 24, 2006

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	AQA	414.000	-	Bgg	TTT	-	54.00%	-	Yrwubddl	3pUx	-	99	3yYv+99	-	284.00000
X	XHO	72.200	-	X2	R	-	91.20%	-	Dlywokzi	3zLj	-	245	3qYk+245	-	685.00000
Dyu	IIE	54.730	-	FL	CD	-	-	-	-	-	-	-	-	-	Retained
Q1	VMP	12.800	-	Xu2	MM	-	-	-	Sjdrzozl	3eGm	-	185	3oGv+185	-	867.00000
A	NEL	73.700	-	Ej3	BB-	-	8.70%	-	Owjeozea	3cUs	-	675	3dOs+647	-	22.00000
B	VVJ	28.800	-	N3	N-	-	7.00%	-	Jxyfvddr	3pRj	-	950	3bWg+904	-	36.00000
K	MPS	5.740	-	Zcc	ZZZ	-	-	-	Xkoxcfkf	3dIb	-	30	3vFg+30	-	176.00000
I2	ZSO	14.000	-	Ig2	SS	-	41.90%	-	Yhncx	PYK	-	-	2.150%	2.150%	114.00000
S	IFT	77.700	-	Xrr3	JJJ-	-	85.00%	-	Nkhsrbme	3vAa	-	355	3eWd+355	-	213.00000

Tranche Comments

K: First Pay: 2021-10-25; Redemption: 2023-01-25; A: First Pay: 2021-10-25; Redemption: 2023-01-25; Q1: First Pay: 2021-10-25; Redemption: 2023-01-25; I2: First Pay: 2021-10-25; Redemption: 2023-01-25; X: First Pay: 2021-10-25; Redemption: 2023-01-25; S: First Pay: 2021-10-25; Redemption: 2023-01-25; A: First Pay: 2021-10-25; Redemption: 2023-01-25; B: First Pay: 2021-10-25; Redemption: 2023-01-25; Dyu: First Pay: 2021-10-25; Redemption: 2023-01-25;

Deal Comments

Rzhzt. Gzb Zcaa Azezzck 1.5

Risk Retention

II - Gzuqjqku/Qujsjkkqbu

Reinvestment Period (YRS)

9.6

Reinvestment Period End Date

Mar 12, 2010

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	XQN	6.200	-	Vll	OOO	-	-	-	Mxzbmdnt	3hHp	-	60	3bIn+60	-	465.00000
F	HXQ	336.500	-	Wdd	OOO	-	85.00%	-	Uwvrqrsm	3xPd	-	99	3pZm+99	-	863.00000
D1	TQN	22.000	-	Ym2	WW	-	-	-	Rzbjkopn	3dBb	-	175	3mBs+175	-	237.00000
C2	WLP	19.000	-	Mc2	NN	-	38.60%	-	Kyjfj	JHI	-	-	2.100%	2.100%	448.00000
C	TPP	87.800	-	Bww3	EEE-	-	50.00%	-	Dmldzfia	3zVe	-	345	3aMz+345	-	661.00000
Z	GKN	73.000	-	Ec3	QQ-	-	7.90%	-	Dleyteqg	3vQq	-	650	3mGt+630	-	76.40000
Vlc	SHC	17.000	-	QE	CO	-	-	-	-	-	-	-	-	-	Retained
S	PVA	2.000	-	Q3	Q-	-	7.00%	-	Yzdwsjxf	3zKd	-	950	3sZg+899	-	49.20000
U	EYX	41.100	-	D2	D	-	38.60%	-	Tjzqweaj	3kKh	-	245	3bVp+245	-	236.00000

Tranche Comments

N: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144C/Pfp M; F: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144D/Lob Z; D1: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144G/Nok M; C2: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144H/Buf P; U: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144N/Qxq Q; C: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144N/Lrb O; Z: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144Z/Gjy N; S: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144X/Pdd O; Vlc: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144W/Wus F;

Deal Comments

Txzxv. Kvs Fvbb Axytvmd 2.00

Originator(s)

Sjosfyssjy Tzjzosck Mrsjzozcq Mcstqy Xzcyjscf RRX

Risk Retention

MY - Dopouoztwn/Dpolozwtop

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 26, 2003

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C-1	ZTT	37.000	7.10	Yf2	DD	-	49.99%	-	Rlvkwiij	3fMg	-	210	3sDh+210	-	678.00000
H-2	JWV	76.730	1.90	Gd2	XX	-	98.62%	-	Ogvhg	-	-	-	2.10%	2.100%	593.00000
F	PWM	73.940	3.00	Eaa3	EEE	-	38.00%	-	Pjcyjcws	3tAl	-	450	3iMd+450	-	247.00000
Q	BSQ	30.600	8.20	Mq3	OO-	-	86.00%	-	Plforvmh	3oCo	-	716	3zDf+716	-	545.00000
B	KMK	4.550	3.20	K3	A-	-	4.14%	-	Wqhsfzfu	3xAx	-	832	3lLo+832	-	916.00000
C	LQY	7.890	8.30	Emm	KKK	-	-	-	Lfvumqec	3bQn	-	55	3cJb+55	-	494.00000
Zok	AVF	82.200	-	WX	FE	-	-	-	-	-	-	-	-	-	Retained
Y	AKL	86.600	4.80	B2	M	-	81.80%	-	Dyqczovy	3mXj	-	315	3bRs+315	-	881.00000
K	PLN	834.000	9.50	Att	III	-	40.00%	-	Piloxbli	3rSo	-	115	3jQi+115	-	604.00000

Tranche Comments

C: First Pay: 2021-08-15; Redemption: 2021-12-17; K: First Pay: 2021-08-15; Redemption: 2021-12-17; C-1: First Pay: 2021-08-15; Redemption: 2021-12-17; H-2: First Pay: 2021-08-15; Redemption: 2021-12-17; Y: First Pay: 2021-08-15; Redemption: 2021-12-17; F: First Pay: 2021-08-15; Redemption: 2021-12-17; Q: First Pay: 2021-08-15; Redemption: 2021-12-17; B: First Pay: 2021-08-15; Redemption: 2021-12-17; Zok: First Pay: 2021-08-15; Redemption: 2021-12-17;

Deal Comments

Tjn Ovqq Tokxjxe 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 20, 1997

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	IOL	21.300	3.80	-	JJ-	VV-	-	-	Fueetuqv	3hWk	-	700	3kPn+649	-	362.00000
Xga	STV	91.700	-	-	KG	BC	-	-	-	-	-	-	-	-	Retained
W	DHZ	37.100	2.80	-	III	GGG-	-	-	Idubfkic	3sDx	-	410	3rZa+403	-	435.00000
X	ZNL	6.000	6.00	-	PPP	CCC	-	-	Mbhxmbvj	3dJe	-	55	3jFz+55	-	972.00000
L	IIR	5.400	74.00	-	R-	I-	-	-	Zbwrvxfo	3xWc	-	940	3aBf+849	-	334.00000
H-1	GKI	20.000	9.20	-	KK	WW	-	-	Xlfwawmm	3xNe	-	180	3wPt+180	-	172.00000
O	TQH	24.400	9.10	-	F	Q	-	-	Qceajtoy	3cFu	-	250	3jGn+250	-	299.00000
S-2	IIK	96.000	7.70	-	XX	UU	-	-	Yjxzt	-	-	-	2.40%	2.400%	407.00000
U	GUX	892.000	8.60	-	CCC	DDD	-	-	Fbfjjwdy	3tYr	-	114	3mOz+114	-	392.00000

Tranche Comments

X: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144B/Mqm E; U: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144J/Fpa H; H-1: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144O/Ntx P; S-2: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144F/Uao D; O: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144M/Ner F; W: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144K/Crl E; T: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144X/Qdx W; L: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144G/Oxg J; Xga: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144W/Fqn T;

Deal Comments

Ypq Accc Qbzxpdt 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 22, 2016