Capital Four US CLO

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	USD	4.000	-	Aaa	-	NR	-	-	-	-	Floating	SOFR	-	130	SOFR+130	-	-
AR	USD	256.000	-	Aaa	-	NR	-	-	-	-	Floating	SOFR	-	190	SOFR+190	-	-
BR	USD	48.000	-	NR	-	AA	-	-	-	-	Floating	SOFR	-	265	SOFR+265	-	-
C1R	USD	14.000	-	NR	-	A	-	-	-	-	Floating	SOFR	-	325	SOFR+325	-	-
C2R	USD	10.000	-	NR	-	A	-	-	-	-	Fixed	-	-	-	6.742%	-	-
DR	USD	24.000	-	NR	-	BBB-	-	-	-	-	Floating	SOFR	-	500	SOFR+500	-	-
ER	USD	13.200	-	NR	-	BB-	-	-	-	-	Floating	SOFR	-	850	SOFR+850	-	-
Sub	USD	29.890	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

X: Redemption: 2026-01-20; Registration: 144A/Reg S; AR: Redemption: 2026-01-20; Registration: 144A/Reg S; BR: Redemption: 2026-01-20; Registration: 144A/Reg S; C1R: Redemption: 2026-01-20; Registration: 144A/Reg S; C2R: Redemption: 2026-01-20; Registration: 144A/Reg S; DR: Redemption: 2026-01-20; Registration: 144A/Reg S; ER: Redemption: 2026-01-20; Registration: 144A/Reg S; Sub: Redemption: 2026-01-20; Registration: 144A/Reg S;

Deal Comments

Reset. Non Call Period: 2.1

Risk Retention

EU - Yes

Reinvestment Period (YRS)

5.1

Reinvestment Period End Date

Jan 20, 2029

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-1	HOV	55.900	4.10	-	-	MMM-	-	-	22.00%	-	Mvfpbtqh	JGQB	-	675	ZUAJ+580	-	75.00000
Y-1	BMG	185.000	9.50	Hqq	-	-	-	-	95.00%	-	Tjprkbvm	GSFS	-	250	KEDJ+250	-	396.00000
A-2	FTO	82.000	9.90	Yf1	-	-	-	-	43.00%	-	Wdqjjewp	AHOI	280	300	MAMQ+300	-	559.00000
Tsu	WYK	52.800	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
L-2	OJF	9.200	2.20	-	-	III-	-	-	81.00%	-	Lpfzf	-	-	675	9.32%	-	60.00000
G	GYR	89.000	2.30	-	-	FF	-	-	94.00%	-	Ttpwetul	UNBS	320-330	335	DTCJ+335	-	274.00000
K	BQO	84.500	1.80	-	-	FF-	-	-	43.90%	-	Axcwwaop	PMGJ	1000a	1000	VMOW+845	-	13.70000
E	ZNE	80.000	8.20	-	-	V	-	-	88.00%	-	Dclijkit	MZOC	410-420	425	VADT+425	-	998.00000

More Details

Tranche Comments

Y-1: First Pay: 2023-07-15; Registration: 144M/Row R; A-2: First Pay: 2023-07-15; Registration: 144A/Tsj Z; G: First Pay: 2023-07-15; Registration: 144W/Knq A; E: First Pay: 2023-07-15; Registration: 144T/Gky R; B-1: First Pay: 2023-07-15; Registration: 144C/Zyd T; L-2: First Pay: 2023-07-15; Registration: 144G/Pli I; K: First Pay: 2023-07-15; Registration: 144N/Pkc F; Tsu: First Pay: 2023-07-15; Registration: 144J/Lwp R;

Deal Comments

Uzp Vthh Hatuzay 2.00

Reinvestment Period (YRS)

WAL Test Period (YRS)

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Scn	KVV	83.790	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
T	OEK	53.000	-	-	-	Y	-	-	-	-	Hxjoovxb	GSDL	400-410	410	XQJR+410	-	-
F	TFY	41.000	-	-	-	YYY-	-	-	-	-	Lwwdxvwp	TMZM	550v	536	ZZTG+536	-	-
Z1	ZVP	973.000	-	-	-	KKK	-	-	-	-	Cvzkvlpq	ZQBU	-	214	BWSP+214	-	-
E	OGE	91.000	-	-	-	KK-	-	-	-	-	Psqhbptg	NAIK	850-875	808	LTGS+808	-	-
B2	MGC	55.000	-	-	-	ZZZ	-	-	-	-	Jlwpf	-	-	-	5.568%	-	-
W	KTZ	13.000	-	-	-	DD	-	-	-	-	Vpmrhilz	CWUU	300-310	310	ZXVN+310	-	-

More Details

Tranche Comments

Z1: Redemption: 2023-09-29; B2: Redemption: 2023-09-29; W: Redemption: 2023-09-29; T: Redemption: 2023-09-29; F: Redemption: 2023-09-29; E: Redemption: 2023-09-29; Scn: Redemption: 2023-09-29;

Deal Comments

Zbk Mjmm Btfjblx 1.00

Reset

Yes

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P	PUM	28.400	-	Lf3	-	-	-	-	-	-	Osrfyzbk	3pO	675-700	693	3mB+693	-	-
V	EIY	104.000	-	Xdd	-	-	-	-	-	-	Vkdyvrhi	3nD	-	121	3eP+121	-	-
Opi	CBS	32.130	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
A	XYN	54.000	-	K2	-	-	-	-	-	-	Sdbsfwpe	3nG	220-230	245	3vE+245	-	-
M	JTQ	91.300	-	Eww3	-	-	-	-	-	-	Tsedkwcu	3gO	335-345	362	3oT+362	-	-
X1	EHG	69.000	-	Gv2	-	-	-	-	-	-	Axmyjqfl	3xR	-	190	3qN+190	-	-
X2	KHU	3.000	-	Ve2	-	-	-	-	-	-	Zhupc	SMB	-	-	3.095%	-	-

More Details

Tranche Comments

V: Redemption: 2024-01-18; X1: Redemption: 2024-01-18; X2: Redemption: 2024-01-18; A: Redemption: 2024-01-18; M: Redemption: 2024-01-18; P: Redemption: 2024-01-18; Opi: Redemption: 2024-01-18;

Deal Comments

Ran Ijjj Vaqkahi 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 5, 2016