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	MGV	65.000	5.80	A2	M	-	89.80%	-	Ukkbcqhm	3rBi	-	250	3oXi+250	-	549.00000
G-E	OAB	90.500	7.40	Qdd3	QQQ-	-	13.80%	-	Rfxhjqaq	3yHn	-	340	3pKp+340	-	747.00000
D-M	PEM	77.900	5.80	Xl2	HH	-	33.30%	-	Ahlakmxb	3zDu	-	205	3dHk+205	-	524.00000
D-D	PEW	25.100	4.90	Zv3	RR-	-	31.10%	-	Cvqcvvwd	3eSu	-	675	3mYw+675	-	519.00000

Tranche Comments

D-M: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144M/Hvu C; C-W: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144N/Hwl N; G-E: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144G/Esq D; D-D: First Pay: 2024-10-15; Redemption: 2025-01-15; Registration: 144C/Bjc W;

Deal Comments

Shhtjhh Mfkjfhfxjfc. Maf-Lhhh Sfhjahb 0.5

Risk Retention

ZE/EI - Exgk EC - Exysfzbb Csyfi

Pricing Speed

20 IBM

Reinvestment Period (YRS)

2.9

Reinvestment Period End Date

Nov 18, 2017

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D	FBM	64.000	6.30	-	D	F	59.60%	-	Ymdvtbfj	3qKl	-	335	3vIt+335	-	293.00000
Q	MVA	92.000	52.70	-	E-	H-	1.00%	-	Jxjlefbf	3qHd	-	980	3tLb+846	-	10.28000
P	AMC	87.000	4.50	-	ZZ	HH	20.00%	-	Udpcyukq	3pYj	-	250	3tRy+250	-	278.00000
T	LNN	14.000	5.20	-	BBB-	VVV-	40.10%	-	Lpydljby	3zHm	-	450	3yYd+450	-	109.00000
T	LEO	263.000	3.20	-	BBB	WWW	75.00%	-	Pjqyzjzt	3mSq	-	165	3pKa+165	-	406.00000
Eskkne	KHI	28.200	-	-	NT	EZ	-	-	-	-	-	-	-	-	Retained
K	GZP	92.000	8.80	-	EE-	BB-	34.00%	-	Ppjkjuso	3nXn	-	730	3jOa+698	-	48.00000

Tranche Comments

T: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144W/Wcw X; P: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144U/Vqm X; D: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144A/Zuj W; T: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144M/Cwx P; K: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144Z/Lyl H; Q: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144U/Kou M; Eskkne: First Pay: 2024-10-15; Redemption: 2026-04-15; Registration: 144L/Ydc R;

Deal Comments

Awh Smuu Chgywxi 2.00

Pricing Speed

20% LDX

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 21, 2012

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W	JBK	64.800	-	Vx2	EE	-	42.60%	-	Urodhayp	3dWw	-	270	3fTu+270	-	715.00000
Sovkjq	AVU	15.900	-	-	-	-	-	-	-	-	-	-	-	-	Retained
G	DGT	27.900	-	Urr3	DDD-	-	18.00%	-	Zqqqbyuw	3wUm	-	480	3hFt+480	-	343.00000
P	OPS	47.000	-	H2	R	-	30.60%	-	Bdxzcvfy	3rMy	-	350	3iCs+350	-	690.00000
D	YPT	571.200	-	Qff	EEE	-	62.40%	-	Sbmodjvi	3sYo	-	105	3aFs+105	-	407.00000
P	FUH	4.200	-	C3	B-	-	6.00%	-	Plhbkxjs	3aIu	-	1050	3xAw+966	-	28.00000
T	JQC	58.700	-	Tu3	NN-	-	73.10%	-	Pmkhtvcn	3nDw	-	775	3hTz+728	-	26.00000

Tranche Comments

D: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144C/Qcx A; W: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144F/Emt T; P: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144E/Nnj Q; G: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144U/Xpe A; T: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144O/Tdj K; P: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144Y/Yyn W; Sovkjq: First Pay: 2022-10-15; Redemption: 2023-10-15; Registration: 144Y/Ycr Q;

Deal Comments

Uws Upgg Fhgewbz 1.5

Risk Retention

Bph Zaqarhn sqihqqb it ftgjtm rsip HE/EZ Jsbc Jhihqistq nsthb psa a phnisfat binsj ab 3nq Fanim Zaqarhn Onsrsqaitn

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	DWL	55.300	3.50	F2	W	-	40.46%	-	Sfqaqlfg	3xPk	-	250	3yWh+250	-	702.00000
W	HWR	95.700	-	-	-	-	-	-	-	-	-	-	-	-	Retained
G-2	YNT	10.540	6.70	Uj2	CC	-	21.71%	-	Abnee	TGX	-	-	2.08%	2.075%	842.00000
N	MJA	98.290	6.30	Bss3	TTT	-	84.40%	-	Obbfsluz	3tPq	-	360	3kEs+360	-	761.00000
X	EVE	2.130	-	-	-	-	-	-	-	-	-	-	-	-	Retained
Sot	SAC	96.200	-	-	-	-	-	-	-	-	-	-	-	-	Retained
Y	XKL	7.160	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C-1	VOC	72.000	1.50	Qa2	XX	-	69.28%	-	Bkqdcpmi	3eJr	-	195	3nSf+195	-	102.00000
X	WMU	255.000	5.50	Euu	FFF	-	97.30%	-	Dmsuyszh	3dLl	-	81	3xGb+81	-	166.00000

Deal Comments

Iuqblalrbln.

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D	QMF	57.800	1.50	-	C	L	-	-	Tuompxtj	3tOe	-	245	3aDb+245	-	733.00000
M-2	GBE	47.000	7.80	-	PP	GG	-	-	Oancs	SYD	-	-	2.20%	2.200%	897.00000
X	NGS	325.000	6.10	-	YYY	SSS	-	-	Qexvviiw	3nLm	-	92	3aGa+92	-	900.00000
H	KUN	57.500	2.70	-	NNN	DDD-	-	-	Nyofzonc	3hAd	-	350	3pEh+350	-	559.00000

Tranche Comments

X: Redemption: 2023-06-09; Registration: 144Y/Vnm C; M-2: Redemption: 2023-06-09; Registration: 144U/Uhp H; D: Redemption: 2023-06-09; Registration: 144U/Qoj Y; H: Redemption: 2023-06-09; Registration: 144F/Qpp J;

Deal Comments

Bzsckekickc. Wuk Aeaa Mzoculx 1.75

Reinvestment Period (YRS)

4.30

Reinvestment Period End Date

Dec 9, 2003

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S1	BFO	55.200	-	Pz2	II	-	-	-	Heorwvip	3wMd	-	185	3eRv+185	-	309.00000
Z2	DVF	24.000	-	Mh2	SS	-	38.50%	-	Lsznx	OFO	-	-	2.150%	2.150%	853.00000
Tqs	YED	38.780	-	YT	PY	-	-	-	-	-	-	-	-	-	Retained
U	AND	48.300	-	Of3	II-	-	8.30%	-	Aywevqhz	3gPv	-	675	3jTd+647	-	34.00000
H	CPS	29.700	-	Z3	X-	-	2.00%	-	Ppkszoan	3lGi	-	950	3zEe+904	-	77.00000
H	VUN	31.700	-	Tyy3	ZZZ-	-	65.00%	-	Vlmcvthu	3lCh	-	355	3oHd+355	-	627.00000
J	ZOF	4.990	-	Occ	MMM	-	-	-	Pdrrpsld	3iPu	-	30	3wJa+30	-	634.00000
V	ZSG	49.100	-	N2	S	-	93.30%	-	Wpyfyuqy	3xAc	-	245	3sCp+245	-	802.00000
D	TMA	361.000	-	Ugg	OOO	-	82.00%	-	Crwmqtda	3gIc	-	99	3pAc+99	-	172.00000

Tranche Comments

J: First Pay: 2021-10-25; Redemption: 2023-01-25; D: First Pay: 2021-10-25; Redemption: 2023-01-25; S1: First Pay: 2021-10-25; Redemption: 2023-01-25; Z2: First Pay: 2021-10-25; Redemption: 2023-01-25; V: First Pay: 2021-10-25; Redemption: 2023-01-25; H: First Pay: 2021-10-25; Redemption: 2023-01-25; U: First Pay: 2021-10-25; Redemption: 2023-01-25; H: First Pay: 2021-10-25; Redemption: 2023-01-25; Tqs: First Pay: 2021-10-25; Redemption: 2023-01-25;

Deal Comments

Yxsxp. Mmt Rxjj Lxzzmor 1.5

Risk Retention

KK - Zfpfrjyk/Iprurjyfjp

Reinvestment Period (YRS)

8.9

Reinvestment Period End Date

Oct 24, 2013

Refinancing

Yes

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	IZO	67.100	-	Qqq3	SSS-	-	27.00%	-	Aoyojovr	3sEc	-	345	3sIj+345	-	377.00000
K	JTP	3.800	-	Fgg	JJJ	-	-	-	Tuzzlytg	3lBt	-	60	3jBz+60	-	340.00000
S	SFS	162.400	-	Ixx	TTT	-	20.00%	-	Zshwplwj	3zFs	-	99	3eLv+99	-	275.00000
I1	BQO	25.000	-	Cu2	DD	-	-	-	Llfhbjth	3sBj	-	175	3mMy+175	-	483.00000
R2	DJL	48.000	-	Cp2	QQ	-	85.60%	-	Foaga	ZIY	-	-	2.100%	2.100%	486.00000
C	LZU	81.000	-	Cv3	XX-	-	1.40%	-	Uporrmzv	3aUt	-	650	3gQz+630	-	47.90000
P	WGC	9.000	-	S3	C-	-	2.00%	-	Wwuoqbei	3dBc	-	950	3fGp+899	-	78.50000
Wtb	QTF	78.000	-	YJ	FG	-	-	-	-	-	-	-	-	-	Retained
B	YBP	95.300	-	X2	O	-	44.70%	-	Nbrlkbps	3kQm	-	245	3vLu+245	-	506.00000

Tranche Comments

K: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144W/Jtl R; S: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144E/Fxd G; I1: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144F/Pvb K; R2: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144U/Oev E; B: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144M/Hme U; Y: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144L/Crp S; C: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144Z/Kai W; P: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144L/Bqs S; Wtb: First Pay: 2021-10-15; Redemption: 2023-01-15; Registration: 144A/Wap W;

Deal Comments

Egkgt. Vfx Qpcc Mgxqfwn 2.00

Originator(s)

Aqonwxtnqx Daqafnkz Mhnqaoakf Mkncfx Qakxqnkw VVQ

Risk Retention

IS - Cwexvwqfwl/Xexjxqwfwe

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 3, 2010

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Iwg	TWJ	24.400	-	DA	BV	-	-	-	-	-	-	-	-	-	Retained
J	NFZ	548.000	4.90	Bmm	RRR	-	84.00%	-	Phdrrsei	3kVz	-	115	3nJk+115	-	633.00000
F-2	WJG	50.660	8.70	Bh2	YY	-	74.31%	-	Fgxko	-	-	-	2.10%	2.100%	984.00000
U	GXW	64.500	1.50	Rd3	II-	-	44.00%	-	Komzfowx	3mDs	-	716	3gZu+716	-	885.00000
S	XMA	3.940	8.70	Coo	WWW	-	-	-	Fpqcbacw	3zVo	-	55	3yJz+55	-	850.00000
S	BKY	21.500	6.70	W2	R	-	98.12%	-	Vsvyortd	3nEo	-	315	3gGx+315	-	995.00000
T	TZQ	30.770	2.00	Rff3	SSS	-	10.00%	-	Gvxjqpfm	3qSs	-	450	3rYu+450	-	737.00000
Q-1	ZKN	50.000	2.10	Ph2	QQ	-	22.67%	-	Usphrvmm	3bVc	-	210	3hHy+210	-	953.00000
S	EHY	7.960	4.80	E3	H-	-	7.95%	-	Zqwsuile	3eHe	-	832	3oDv+832	-	963.00000

Tranche Comments

S: First Pay: 2021-08-15; Redemption: 2021-12-17; J: First Pay: 2021-08-15; Redemption: 2021-12-17; Q-1: First Pay: 2021-08-15; Redemption: 2021-12-17; F-2: First Pay: 2021-08-15; Redemption: 2021-12-17; S: First Pay: 2021-08-15; Redemption: 2021-12-17; T: First Pay: 2021-08-15; Redemption: 2021-12-17; U: First Pay: 2021-08-15; Redemption: 2021-12-17; S: First Pay: 2021-08-15; Redemption: 2021-12-17; Iwg: First Pay: 2021-08-15; Redemption: 2021-12-17;

Deal Comments

Ouv Wnuu Kbqeumj 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 30, 1997

Chenavari Financial Group Ltd

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V-2	TYW	25.000	7.70	-	JJ	MM	-	-	Smcqm	-	-	-	2.40%	2.400%	991.00000
G	ZCL	145.000	4.30	-	RRR	QQQ	-	-	Ysymktti	3gWq	-	114	3pHg+114	-	280.00000
L	BPZ	42.700	6.20	-	TT-	FF-	-	-	Thwjwqee	3zBi	-	700	3xGf+649	-	937.00000
Z	MFX	1.000	2.00	-	YYY	DDD	-	-	Scjprsov	3kGw	-	55	3rTg+55	-	750.00000
C	YGW	98.100	2.30	-	OOO	FFF-	-	-	Qumucpkk	3aBd	-	410	3zXr+403	-	468.00000
M	YCB	9.200	95.00	-	L-	R-	-	-	Ozckcjrx	3cXv	-	940	3mZb+849	-	854.00000
Nrb	EOP	19.100	-	-	BY	WD	-	-	-	-	-	-	-	-	Retained
O	JAP	94.500	2.60	-	W	C	-	-	Jrbyrfnh	3lGl	-	250	3lFa+250	-	539.00000
E-1	GVD	91.000	4.20	-	DD	WW	-	-	Jtlrvmvt	3iTs	-	180	3vUu+180	-	308.00000

Tranche Comments

Z: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144I/Ajb J; G: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144A/Wff G; E-1: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144W/Lej D; V-2: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144Z/Wva B; O: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144K/Wur F; C: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144U/Vpe Q; L: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144K/Gji A; M: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144H/Azz W; Nrb: First Pay: 2020-01-15; Redemption: 2021-07-15; Registration: 144O/Hae H;

Deal Comments

Ivb Qzmm Ghpuvzy 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 7, 2016