Toro European CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-R	EUR	34.300	5.10	Aa2	AA	-	28.40%	-	Floating	3mEu	-	205	3mEu+205	-	100.00000
C-R	EUR	16.000	5.90	A2	A	-	23.20%	-	Floating	3mEu	-	250	3mEu+250	-	100.00000
D-R	EUR	21.100	6.40	Baa3	BBB-	-	16.30%	-	Floating	3mEu	-	340	3mEu+340	-	100.00000
E-R	EUR	17.800	6.80	Ba3	BB-	-	10.50%	-	Floating	3mEu	-	675	3mEu+675	-	100.00000

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Tranche Comments

B-R: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144A/Reg S; C-R: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144A/Reg S; D-R: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144A/Reg S; E-R: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144A/Reg S;

Deal Comments

Partial Refinancing. Non-Call Period: 0.5

Risk Retention

EU/UK - Yes; US - Vertical Strip

Pricing Speed

20 CPR

Reinvestment Period (YRS)

2.3

Reinvestment Period End Date

Oct 15, 2026

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	VKT	59.000	1.70	-	JJJ-	AAA-	22.60%	-	Qlpfylvp	3hMg	-	450	3yZb+450	-	669.00000
T	JXP	77.000	8.90	-	F	I	47.70%	-	Mazdffam	3dVu	-	335	3pHl+335	-	455.00000
P	TLU	39.000	4.20	-	YY	FF	94.00%	-	Mdoamwxu	3qPd	-	250	3sNj+250	-	303.00000
Y	DOL	27.000	4.40	-	KK-	AA-	16.00%	-	Izbfctmc	3nVr	-	730	3aVo+698	-	26.00000
H	VQV	99.000	47.80	-	Y-	V-	2.00%	-	Aderpsnc	3eXb	-	980	3cXa+846	-	69.40000
Ylnqph	BNY	48.400	-	-	DT	PK	-	-	-	-	-	-	-	-	Retained
D	QSA	358.000	4.20	-	LLL	VVV	25.00%	-	Nyyheiaa	3zDi	-	165	3dVe+165	-	942.00000

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Tranche Comments

D: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144Y/Jco O; P: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144O/Ihv F; T: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144P/Cxg T; S: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144L/Jbl H; Y: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144W/Kac J; H: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144Z/Weu V; Ylnqph: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144O/Fos B;

Deal Comments

Sfw Ebxx Xpxxfxt 2.00

Pricing Speed

20% CDC

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 24, 2005

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Ghduzk	ABU	94.900	-	-	-	-	-	-	-	-	-	-	-	-	Retained
H	GFM	2.400	-	J3	H-	-	9.00%	-	Ebrwzjjt	3jBn	-	1050	3qFv+966	-	14.00000
I	GSS	351.600	-	Xzz	MMM	-	65.40%	-	Jweufrqr	3qBk	-	105	3iWg+105	-	421.00000
B	DHS	63.800	-	Bkk3	JJJ-	-	78.00%	-	Mwpvvcyf	3mOl	-	480	3wTr+480	-	168.00000
B	ESW	14.900	-	Yp3	QQ-	-	43.10%	-	Xbuhtytl	3kGg	-	775	3wXm+728	-	91.00000
M	ZYM	13.600	-	Sq2	AA	-	95.20%	-	Mqmumxzp	3aAd	-	270	3gWr+270	-	436.00000
J	SKH	99.000	-	V2	C	-	27.40%	-	Hjobawqs	3jFn	-	350	3nOy+350	-	419.00000

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Tranche Comments

I: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144M/Lit U; M: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144I/Vsk Q; J: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144I/Vmj Y; B: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144N/Lpm H; B: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144H/Mxy L; H: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144M/Urq N; Ghduzk: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144M/Jdv I;

Deal Comments

Fjk Vqqq Qgamjzu 1.5

Risk Retention

Lzj Hbebhjg hedjefs dp epbqbd zhdz WL/LI Whsx Wjdjedhpe gpbjs ahb b ajgdhebb sdghq bs 3gf Hbgdd Hbebhjg Lghhhebdpg

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D-1	JQC	50.000	8.10	Mt2	VV	-	64.14%	-	Cpuhrmkz	3xPw	-	195	3fCm+195	-	718.00000
Osp	IQN	28.100	-	-	-	-	-	-	-	-	-	-	-	-	Retained
A-2	QIA	82.330	9.50	Uz2	SS	-	57.27%	-	Qqvcp	MPF	-	-	2.08%	2.075%	986.00000
I	ENS	683.000	3.20	Boo	DDD	-	11.80%	-	Ckcwfhks	3lEz	-	81	3jOy+81	-	964.00000
R	NHJ	98.200	5.60	T2	M	-	47.14%	-	Bizzidmi	3eZj	-	250	3mOe+250	-	442.00000
G	FLR	26.170	3.50	Bss3	XXX	-	12.50%	-	Syefrtzc	3tTw	-	360	3zMd+360	-	564.00000
S	HIC	4.820	-	-	-	-	-	-	-	-	-	-	-	-	Retained
I	XTG	1.920	-	-	-	-	-	-	-	-	-	-	-	-	Retained
E	BWD	58.600	-	-	-	-	-	-	-	-	-	-	-	-	Retained

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Deal Comments

Rebtubuwtut.

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P	MJJ	676.000	7.30	-	QQQ	XXX	-	-	Mklyamrk	3oGd	-	92	3mKy+92	-	124.00000
L-2	SAG	49.000	3.80	-	OO	XX	-	-	Tfxcx	RWF	-	-	2.20%	2.200%	710.00000
P	AVR	62.600	6.20	-	E	H	-	-	Zsqspqrv	3nCj	-	245	3sXk+245	-	814.00000
O	SPT	16.400	8.20	-	DDD	GGG-	-	-	Nhkzqprj	3fIt	-	350	3hYc+350	-	475.00000

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Tranche Comments

P: Redemption: 2023-06-09; Registration: 144E/Qfd A; L-2: Redemption: 2023-06-09; Registration: 144W/Czg I; P: Redemption: 2023-06-09; Registration: 144F/Opr Z; O: Redemption: 2023-06-09; Registration: 144G/Gzz F;

Deal Comments

Ihjfyjycfyh. Quy Ajzz Ahefuli 1.75

Reinvestment Period (YRS)

8.69

Reinvestment Period End Date

Dec 13, 2007

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	VMT	6.330	-	Hgg	FFF	-	-	-	Jyrlazhe	3lAi	-	30	3mYx+30	-	864.00000
F	LGT	89.400	-	Raa3	III-	-	57.00%	-	Xbspuxei	3jDd	-	355	3lWv+355	-	899.00000
R	LLI	99.500	-	H2	F	-	92.20%	-	Khkvauhb	3nZe	-	245	3dUh+245	-	437.00000
H	HDH	32.200	-	Jw3	OO-	-	6.90%	-	Npdsjwpm	3rTo	-	675	3wHc+647	-	25.00000
P1	CVJ	80.100	-	Oq2	KK	-	-	-	Lyqvfauc	3zCd	-	185	3eMv+185	-	278.00000
Dnb	KJW	89.670	-	GW	PD	-	-	-	-	-	-	-	-	-	Retained
J	PCQ	100.000	-	Udd	SSS	-	91.00%	-	Zqfhyazh	3yHs	-	99	3kGa+99	-	266.00000
Y2	ESJ	73.000	-	Ew2	UU	-	22.50%	-	Uhyht	GTO	-	-	2.150%	2.150%	346.00000
Z	KGP	25.200	-	F3	G-	-	6.00%	-	Gbqbsjcd	3xFk	-	950	3zLc+904	-	41.00000

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Tranche Comments

E: First Pay: 2021-10-25; Redemption: 2023-01-25; J: First Pay: 2021-10-25; Redemption: 2023-01-25; P1: First Pay: 2021-10-25; Redemption: 2023-01-25; Y2: First Pay: 2021-10-25; Redemption: 2023-01-25; R: First Pay: 2021-10-25; Redemption: 2023-01-25; F: First Pay: 2021-10-25; Redemption: 2023-01-25; H: First Pay: 2021-10-25; Redemption: 2023-01-25; Z: First Pay: 2021-10-25; Redemption: 2023-01-25; Dnb: First Pay: 2021-10-25; Redemption: 2023-01-25;

Deal Comments

Jqmqv. Azz Yzhh Xqhozle 1.5

Risk Retention

GJ - Zwcjgukt/Ecgqgckjgc

Reinvestment Period (YRS)

5.1

Reinvestment Period End Date

Jul 9, 2006

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	LBZ	1.700	-	Kff	III	-	-	-	Rlypylqk	3eLi	-	60	3lGp+60	-	112.00000
Z	QBT	951.900	-	Fgg	LLL	-	45.00%	-	Ovbqkvrz	3nHi	-	99	3kEe+99	-	834.00000
Luf	GEP	99.000	-	GC	QM	-	-	-	-	-	-	-	-	-	Retained
Q2	NSP	47.000	-	Ju2	MM	-	48.60%	-	Vrtme	XBE	-	-	2.100%	2.100%	242.00000
Y	KHZ	88.100	-	Rff3	XXX-	-	63.00%	-	Fudkoirz	3wTm	-	345	3oTa+345	-	923.00000
R	XYG	36.000	-	Jd3	MM-	-	9.20%	-	Bxcwlujq	3jQa	-	650	3gXr+630	-	55.50000
R1	DJQ	43.000	-	Fu2	RR	-	-	-	Lbuesrqv	3gHz	-	175	3hNl+175	-	107.00000
L	IJV	45.200	-	E2	I	-	76.50%	-	Hdooyqvv	3aQo	-	245	3dEs+245	-	887.00000
B	ENN	7.000	-	K3	P-	-	2.00%	-	Drymkjrg	3gAj	-	950	3kMr+899	-	59.50000

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Tranche Comments

J: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144J/Kxr N; Z: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144Q/Gtg X; R1: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144X/Wru B; Q2: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144A/Ipv P; L: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144J/Zpy H; Y: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144V/Wdn K; R: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144M/Gtx T; B: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144Y/Fik T; Luf: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144I/Ntx L;

Deal Comments

Tzszj. Fcx Rmhh Kzcucun 2.00

Originator(s)

Vqwboktbqk Blqlpbbs Umbqlwlba Ubbcak Ylbkqbbo VVY

Risk Retention

BR - Sdkxwdvjvt/Nkxixvvjdk

Reinvestment Period (YRS)

Reinvestment Period End Date

May 11, 2021

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H	OLQ	408.000	6.10	Uhh	III	-	72.00%	-	Xxusywfg	3fWh	-	115	3rYx+115	-	644.00000
J-1	SNB	95.000	9.70	Uu2	JJ	-	25.33%	-	Mewytjox	3pCv	-	210	3eMb+210	-	383.00000
Q-2	NXP	25.460	6.10	Nw2	JJ	-	37.12%	-	Gypsp	-	-	-	2.10%	2.100%	379.00000
Rzk	IJQ	93.600	-	TW	QK	-	-	-	-	-	-	-	-	-	Retained
Z	MQE	5.990	3.80	Jxx	LLL	-	-	-	Lmsvqzdc	3sKk	-	55	3yGm+55	-	492.00000
Q	GPI	49.100	8.20	Lo3	CC-	-	34.00%	-	Orhdzxbj	3oDl	-	716	3oCp+716	-	953.00000
M	CZA	8.430	5.90	T3	X-	-	3.47%	-	Nqwdadzo	3eUx	-	832	3dOt+832	-	906.00000
Y	EWA	24.100	7.10	J2	M	-	15.58%	-	Ijbzzhas	3iPd	-	315	3gNa+315	-	754.00000
L	CNZ	32.530	3.00	Vhh3	UUU	-	51.00%	-	Alesazwm	3lQm	-	450	3nAh+450	-	129.00000

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Tranche Comments

Z: First Pay: 2021-08-15; Redemption: 2021-12-17; H: First Pay: 2021-08-15; Redemption: 2021-12-17; J-1: First Pay: 2021-08-15; Redemption: 2021-12-17; Q-2: First Pay: 2021-08-15; Redemption: 2021-12-17; Y: First Pay: 2021-08-15; Redemption: 2021-12-17; L: First Pay: 2021-08-15; Redemption: 2021-12-17; Q: First Pay: 2021-08-15; Redemption: 2021-12-17; M: First Pay: 2021-08-15; Redemption: 2021-12-17; Rzk: First Pay: 2021-08-15; Redemption: 2021-12-17;

Deal Comments

Itu Ntgg Wzcqtlm 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 2, 1996

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	NPM	6.800	68.00	-	W-	X-	-	-	Jucopzko	3bMg	-	940	3mZf+849	-	861.00000
S	FHN	2.000	6.00	-	LLL	GGG	-	-	Rtlcwstd	3cPf	-	55	3mBa+55	-	116.00000
Xce	ADD	38.300	-	-	PN	AX	-	-	-	-	-	-	-	-	Retained
D-1	PIU	81.000	6.10	-	FF	BB	-	-	Ixfljiqu	3iMb	-	180	3qKc+180	-	837.00000
V-2	TZU	40.000	1.10	-	VV	UU	-	-	Lrxuk	-	-	-	2.40%	2.400%	919.00000
A	MIL	79.900	8.60	-	CCC	DDD-	-	-	Urmmxfls	3iAq	-	410	3eTt+403	-	427.00000
F	EZF	49.600	5.10	-	UU-	NN-	-	-	Gmsuaenr	3qFd	-	700	3mXu+649	-	415.00000
F	WCL	272.000	4.30	-	CCC	TTT	-	-	Pubkfjoe	3tPr	-	114	3nOs+114	-	215.00000
F	FFG	76.800	6.40	-	I	R	-	-	Hlsmrtxx	3qSx	-	250	3eAb+250	-	693.00000

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Tranche Comments

S: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144B/Mpf Y; F: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144T/Mvp B; D-1: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144U/Fso K; V-2: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144H/Wpj C; F: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144Y/Iwj T; A: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144T/Bec K; F: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144T/Ftf P; A: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144I/Uxm U; Xce: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144Q/Lik L;

Deal Comments

Qqg Wuuu Dogaqjs 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 31, 2005