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
Q-1-T	JSK	73.000	2.80	-	-	EEE-	-	-	14.40%	-	Ycbcrmtl	EMAI	-	330	CEYK+330	-	439.00000
A-Q	ZBQ	79.000	48.90	-	-	UU-	-	-	7.00%	-	Zxrdcyqi	TDAD	-	625	WWYQ+625	-	461.00000
X-1-E	VTV	157.000	1.90	Xww	-	-	-	-	37.00%	-	Ipwhlcso	AQYQ	-	126	AOGK+126	-	779.00000
I-2-I	JVZ	40.000	3.60	-	-	MMM	-	-	73.00%	-	Xxyafalq	XYCE	-	142	MFBF+142	-	891.00000
Rke	UHQ	99.700	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
Z-X	LEH	49.000	7.30	-	-	CC	-	-	66.00%	-	Bebeqcxg	WBAO	-	170	JCBF+170	-	861.00000
M-1-T	GPC	17.000	9.70	-	-	P	-	-	44.00%	-	Hdzeqkqf	VQJF	-	220	AVQZ+220	-	742.00000
S-2-L	CIJ	1.000	4.10	-	-	V	-	-	11.00%	-	Wucsa	-	-	-	6.07%	6.074%	597.00000
Z-2-E	UBK	2.000	12.40	-	-	MMM-	-	-	23.80%	-	Zdyrjkuj	IYYO	-	400	NMZI+400	-	218.00000

Tranche Comments

X-1-E: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144F/Veb C; I-2-I: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144V/Ise W; Z-X: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144N/Pka F; M-1-T: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144F/Jiu U; S-2-L: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144A/Icr K; Q-1-T: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144O/Hsa A; Z-2-E: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144Y/Nzc E; A-Q: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144Q/Yxx D; Rke: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144Q/Cde O;

Deal Comments

Oxnxw. Yfv Hsnn Dxbgfud 2.00

Risk Retention

DJ - Odk

Pricing Speed

20 NFT

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 19, 2017

WAL Test Period (YRS)

WAL Test Period End Date

Jan 27, 2012

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	KKI	4.000	-	Rrr	-	SI	-	-	-	-	Pwjdvmnz	SOKU	-	130	UCTQ+130	-	-
NA	TOE	80.000	-	UL	-	KK	-	-	-	-	Rljjtsyk	MVEE	-	265	VIMC+265	-	-
PK	HXH	963.000	-	Iuu	-	ZR	-	-	-	-	Hlykwhzy	QIFF	-	190	XNFI+190	-	-
IE	JBA	72.800	-	HW	-	BB-	-	-	-	-	Vkozokcr	KXPV	-	850	TWMN+850	-	-
E1F	GPS	17.000	-	IN	-	Q	-	-	-	-	Pkuhkcrf	GNZP	-	325	NPGG+325	-	-
VR	LPZ	14.000	-	ME	-	VVV-	-	-	-	-	Amshtaox	VVQN	-	500	BLAM+500	-	-
Ztu	VAO	91.680	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
M2R	BEF	73.000	-	FD	-	R	-	-	-	-	Gaqxy	-	-	-	6.742%	-	-

Tranche Comments

S: Redemption: 2026-01-20; Registration: 144O/Fkx A; PK: Redemption: 2026-01-20; Registration: 144G/Lpl G; NA: Redemption: 2026-01-20; Registration: 144Z/Llo U; E1F: Redemption: 2026-01-20; Registration: 144M/Esg C; M2R: Redemption: 2026-01-20; Registration: 144T/Lba R; VR: Redemption: 2026-01-20; Registration: 144V/Eba Z; IE: Redemption: 2026-01-20; Registration: 144J/Eyl Z; Ztu: Redemption: 2026-01-20; Registration: 144W/Ydf E;

Deal Comments

Zgsgp. Gqm Soll Dgjgqwt 2.1

Risk Retention

JE - Ewy

Reinvestment Period (YRS)

4.5

Reinvestment Period End Date

Apr 24, 2010

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y-2	TLC	83.000	1.40	Jb1	-	-	-	-	51.00%	-	Ferveiwm	BSUB	280	300	UAPB+300	-	480.00000
Z	XNL	18.000	8.50	-	-	D	-	-	40.00%	-	Pboajchn	CNLA	410-420	425	BIIY+425	-	472.00000
K-2	LHV	6.700	3.60	-	-	RRR-	-	-	47.00%	-	Ewzoj	-	-	675	9.32%	-	86.00000
P-1	HPM	56.700	3.20	-	-	CCC-	-	-	18.00%	-	Kufmofvk	ICOJ	-	675	VGYS+580	-	92.00000
I	ORE	74.500	4.40	-	-	QQ-	-	-	98.60%	-	Ywvolsoa	PDUB	1000h	1000	AEND+845	-	47.90000
Fnh	YAN	94.500	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
D-1	MTG	319.000	7.30	Enn	-	-	-	-	91.00%	-	Nukkxhpm	GZBA	-	250	UIKO+250	-	332.00000
X	VFD	35.000	4.30	-	-	XX	-	-	67.00%	-	Txpapilg	QEQR	320-330	335	WAMV+335	-	883.00000

Tranche Comments

D-1: First Pay: 2023-07-15; Registration: 144G/Tzw G; Y-2: First Pay: 2023-07-15; Registration: 144P/Feu V; X: First Pay: 2023-07-15; Registration: 144N/Hbo B; Z: First Pay: 2023-07-15; Registration: 144F/Ela B; P-1: First Pay: 2023-07-15; Registration: 144D/Auh O; K-2: First Pay: 2023-07-15; Registration: 144A/Ere H; I: First Pay: 2023-07-15; Registration: 144D/Lwz V; Fnh: First Pay: 2023-07-15; Registration: 144H/Hmf I;

Deal Comments

Zjg Rott Lajajgf 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
K	JMH	44.000	-	-	-	G	-	-	-	-	Ldhhcjfj	XYVN	400-410	410	CKSV+410	-	-
N	POE	47.000	-	-	-	II-	-	-	-	-	Rhvshjfi	TMKV	850-875	808	KBDE+808	-	-
U1	BVT	964.000	-	-	-	CCC	-	-	-	-	Lryrhebc	EOSP	-	214	LPFD+214	-	-
K2	LFP	20.000	-	-	-	EEE	-	-	-	-	Jcfnc	-	-	-	5.568%	-	-
E	EBR	56.000	-	-	-	BB	-	-	-	-	Ufbzpaop	PCJO	300-310	310	LTJO+310	-	-
Q	MMH	88.000	-	-	-	FFF-	-	-	-	-	Wxxbdehj	NVUJ	550j	536	PPXJ+536	-	-
Yhy	GUH	90.690	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

U1: Redemption: 2023-09-29; K2: Redemption: 2023-09-29; E: Redemption: 2023-09-29; K: Redemption: 2023-09-29; Q: Redemption: 2023-09-29; N: Redemption: 2023-09-29; Yhy: Redemption: 2023-09-29;

Deal Comments

Ejv Jmhh Ohsajzl 1.00

Refinancing

Yes

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Ire	VXB	20.900	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
J2	GMY	3.000	-	Vx2	-	-	-	-	-	-	Jczal	AHY	-	-	3.095%	-	-
L	VVO	155.000	-	Sff	-	-	-	-	-	-	Cxxuumhh	3mV	-	121	3zA+121	-	-
G	JWY	43.000	-	B2	-	-	-	-	-	-	Jwsrjhox	3rL	220-230	245	3pG+245	-	-
J1	FPQ	26.000	-	Sl2	-	-	-	-	-	-	Edwyempx	3fS	-	190	3kV+190	-	-
E	FNW	44.600	-	Ftt3	-	-	-	-	-	-	Mxoqmeij	3dA	335-345	362	3dV+362	-	-
U	QBD	10.200	-	Mh3	-	-	-	-	-	-	Hxqyfhag	3bH	675-700	693	3jE+693	-	-

Tranche Comments

L: Redemption: 2024-01-18; J1: Redemption: 2024-01-18; J2: Redemption: 2024-01-18; G: Redemption: 2024-01-18; E: Redemption: 2024-01-18; U: Redemption: 2024-01-18; Ire: Redemption: 2024-01-18;

Deal Comments

Mwn Ltgg Oavfwec 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 16, 2000

Refinancing

Yes