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

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
T	CQQ	46.000	5.70	-	-	W	-	-	49.00%	-	Dkjaawxa	DBIK	410-420	425	BJQB+425	-	183.00000
T-2	IRQ	10.000	9.10	Vo1	-	-	-	-	96.00%	-	Odbkytdi	CTOC	280	300	HHHT+300	-	479.00000
Q	TNU	24.200	3.70	-	-	FF-	-	-	46.80%	-	Cecrortp	GAOZ	1000y	1000	LOZN+845	-	90.40000
B-2	XIY	4.900	1.70	-	-	DDD-	-	-	73.00%	-	Ppgop	-	-	675	9.32%	-	14.00000
Q-1	TEG	292.000	7.80	Szz	-	-	-	-	37.00%	-	Awczrohs	IGIV	-	250	TQYS+250	-	364.00000
T	UIQ	92.000	2.90	-	-	ZZ	-	-	79.00%	-	Iljzyvvx	CCYH	320-330	335	ZXLD+335	-	886.00000
Xyv	YAA	38.800	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
L-1	ATJ	53.600	1.50	-	-	QQQ-	-	-	42.00%	-	Jumkbfct	XAOI	-	675	WWBN+580	-	50.00000

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Tranche Comments

Q-1: First Pay: 2023-07-15; Registration: 144B/Xkv B; T-2: First Pay: 2023-07-15; Registration: 144O/Atf V; T: First Pay: 2023-07-15; Registration: 144Y/Jfa M; T: First Pay: 2023-07-15; Registration: 144B/Xle T; L-1: First Pay: 2023-07-15; Registration: 144V/Eqj A; B-2: First Pay: 2023-07-15; Registration: 144K/Axt P; Q: First Pay: 2023-07-15; Registration: 144N/Yfo Q; Xyv: First Pay: 2023-07-15; Registration: 144X/Wsf O;

Deal Comments

Xxo Eozz Noswxiq 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
T1	ESM	174.000	-	-	-	FFF	-	-	-	-	Vhodhocv	HQAJ	-	214	QYQO+214	-	-
K2	RUM	46.000	-	-	-	KKK	-	-	-	-	Bowyi	-	-	-	5.568%	-	-
L	UIS	26.000	-	-	-	D	-	-	-	-	Hlepxqwf	JBJP	400-410	410	SZXH+410	-	-
R	OPP	47.000	-	-	-	QQQ-	-	-	-	-	Nyvzvcfk	WVNY	550i	536	YTNG+536	-	-
Mvd	QVF	51.350	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
D	CQE	92.000	-	-	-	XX	-	-	-	-	Oufdqaqv	QVHQ	300-310	310	ETEZ+310	-	-
X	ABX	33.000	-	-	-	CC-	-	-	-	-	Upozayjw	YKSK	850-875	808	WJGI+808	-	-

More Details

Tranche Comments

T1: Redemption: 2023-09-29; K2: Redemption: 2023-09-29; D: Redemption: 2023-09-29; L: Redemption: 2023-09-29; R: Redemption: 2023-09-29; X: Redemption: 2023-09-29; Mvd: Redemption: 2023-09-29;

Deal Comments

Kbb Dkoo Stgybdl 1.00

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	XXV	855.000	-	Mjj	-	-	-	-	-	-	Zqjumluj	3lK	-	121	3nO+121	-	-
L2	ZGV	3.000	-	Br2	-	-	-	-	-	-	Tbkad	KGV	-	-	3.095%	-	-
Sgk	FTT	97.400	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
I1	EJM	55.000	-	Pg2	-	-	-	-	-	-	Hqmxcazm	3aM	-	190	3sT+190	-	-
E	IVT	11.800	-	Rff3	-	-	-	-	-	-	Esjoeqkl	3uI	335-345	362	3vW+362	-	-
Z	IJX	33.000	-	T2	-	-	-	-	-	-	Jvfeyihs	3bF	220-230	245	3gX+245	-	-
L	POE	77.900	-	Em3	-	-	-	-	-	-	Kwdaarsc	3rV	675-700	693	3aB+693	-	-

More Details

Tranche Comments

S: Redemption: 2024-01-18; I1: Redemption: 2024-01-18; L2: Redemption: 2024-01-18; Z: Redemption: 2024-01-18; E: Redemption: 2024-01-18; L: Redemption: 2024-01-18; Sgk: Redemption: 2024-01-18;

Deal Comments

Nwb Jhoo Cnptwju 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 10, 2015

Reset

Yes