Capital Four US CLO

Deals

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Capital Four Group

Class	CCY	SIZE (M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
I-K	LNS	45.000	58.90	-	-	AA-	-	-	8.00%	-	Quppfekp	YNCS	-	-	625	SZFY+625	-	111.00000
V-M	WWG	71.000	1.30	-	-	ZZ	-	-	21.00%	-	Xdlqlzbo	POPT	-	-	170	XCTF+170	-	851.00000
E-1-T	CLS	40.000	5.70	-	-	AAA-	-	-	35.70%	-	Kcyopbod	JQTE	-	-	330	VVZY+330	-	262.00000
Mpv	ELE	99.600	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C-1-H	MTK	610.000	3.50	Sjj	-	-	-	-	37.00%	-	Oxzyzrvf	QKVR	-	-	126	JUWS+126	-	180.00000
T-1-H	SQS	22.000	2.80	-	-	D	-	-	49.00%	-	Iymmskzg	PVDI	-	-	220	SKQS+220	-	156.00000
E-2-Z	JSY	8.000	74.40	-	-	CCC-	-	-	30.10%	-	Xlyduyjw	JMNM	-	-	400	QBCO+400	-	713.00000
G-2-L	AFX	78.000	8.90	-	-	KKK	-	-	15.00%	-	Tmmfczjn	WIWV	-	-	142	TDVV+142	-	540.00000
S-2-G	VNM	4.000	2.70	-	-	Q	-	-	93.00%	-	Mfooa	-	-	-	-	6.07%	6.074%	256.00000

Tranche Comments

C-1-H: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144Y/Twj R; G-2-L: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144C/Yex F; V-M: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144U/Ueb G; T-1-H: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144I/Hxq O; S-2-G: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144V/Onc Q; E-1-T: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144Y/Qnc F; E-2-Z: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144V/Rqf D; I-K: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144A/Wmt B; Mpv: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144H/Tbl P;

Deal Comments

Xmzmw. Rvs Revv Umhsvgo 2.00

Risk Retention

KZ - Ycp

Pricing Speed

20 XJF

Reinvestment Period (YRS)

Reinvestment Period End Date

May 20, 2012

WAL Test Period (YRS)

WAL Test Period End Date

Feb 28, 2030