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
A-2-E	AVJ	8.000	11.50	-	-	JJJ-	-	-	86.70%	-	Sfpayabb	ELJJ	-	400	AONR+400	-	865.00000
P-1-C	IWT	382.000	8.70	Dvv	-	-	-	-	96.00%	-	Gyokeamr	JOQE	-	126	MNPP+126	-	988.00000
E-O	MNC	79.000	59.80	-	-	QQ-	-	-	2.00%	-	Cpqxzkxz	WGTN	-	625	YIED+625	-	479.00000
D-2-G	WYN	6.000	3.20	-	-	V	-	-	77.00%	-	Bpbty	-	-	-	6.07%	6.074%	558.00000
H-2-M	KGT	51.000	8.90	-	-	GGG	-	-	48.00%	-	Dlrydsql	PHYN	-	142	EJNB+142	-	665.00000
T-1-U	OJA	38.000	9.90	-	-	M	-	-	16.00%	-	Scoevkog	UQWJ	-	220	DPKN+220	-	858.00000
Q-1-P	JZI	86.000	3.40	-	-	GGG-	-	-	27.90%	-	Vqoatmhh	XSOA	-	330	WCIV+330	-	669.00000
G-Q	KZR	35.000	4.40	-	-	NN	-	-	41.00%	-	Wzbeoaeq	PAYT	-	170	EGFL+170	-	970.00000
Udo	BYX	98.300	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

P-1-C: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144U/Lff Q; H-2-M: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144O/Vzg K; G-Q: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144J/Dpm E; T-1-U: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144C/Tcb M; D-2-G: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144Y/Dxm B; Q-1-P: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144P/Lia T; A-2-E: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144I/Pib L; E-O: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144W/Xyi A; Udo: First Pay: 2025-07-21; Redemption: 2027-04-21; Registration: 144K/Ypg U;

Deal Comments

Qfyfg. Rhk Rymm Kfqvhdn 2.00

Risk Retention

TB - Mhn

Pricing Speed

20 ZSZ

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 9, 2012

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Aug 29, 2003

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
VZ	GEN	58.000	-	CL	-	WW	-	-	-	-	Zhbnyhvn	MWQZ	-	265	ULAV+265	-	-
Xum	KTZ	38.740	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
X2K	RIZ	91.000	-	PH	-	B	-	-	-	-	Uvxzj	-	-	-	6.742%	-	-
U	KEH	9.000	-	Jjj	-	NM	-	-	-	-	Ixshcfci	CTJN	-	130	JGGR+130	-	-
XV	BBK	416.000	-	Syy	-	DI	-	-	-	-	Heuwlarm	JPFQ	-	190	KUMT+190	-	-
K1T	TGY	74.000	-	LX	-	S	-	-	-	-	Ouobrkvu	ECVG	-	325	WUCE+325	-	-
IH	ZRJ	90.000	-	FO	-	DDD-	-	-	-	-	Prjoztbh	SANY	-	500	GUVS+500	-	-
BV	ZMG	77.100	-	MB	-	UU-	-	-	-	-	Sovroxhd	CIIO	-	850	WKCL+850	-	-

Tranche Comments

U: Redemption: 2026-01-20; Registration: 144T/Yne F; XV: Redemption: 2026-01-20; Registration: 144Z/Jqi D; VZ: Redemption: 2026-01-20; Registration: 144P/Zut J; K1T: Redemption: 2026-01-20; Registration: 144T/Xkl G; X2K: Redemption: 2026-01-20; Registration: 144O/Doz W; IH: Redemption: 2026-01-20; Registration: 144F/Nnz G; BV: Redemption: 2026-01-20; Registration: 144H/Zuq N; Xum: Redemption: 2026-01-20; Registration: 144I/Knz V;

Deal Comments

Hkskw. Bhz Wull Wkrthjc 2.1

Risk Retention

BV - Hyi

Reinvestment Period (YRS)

4.5

Reinvestment Period End Date

Jun 12, 2007

Capital Four Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F	NXK	31.000	2.10	-	-	NN	-	-	83.00%	-	Oilqrzki	WXPQ	320-330	335	IAVK+335	-	822.00000
Sdk	NCJ	54.200	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
S-1	OIH	888.000	2.90	Knn	-	-	-	-	91.00%	-	Wqmvvxhc	PTTD	-	250	JDWB+250	-	785.00000
Y-2	OLY	15.000	5.20	Ic1	-	-	-	-	25.00%	-	Hrbuqcmj	NEQD	280	300	BUUG+300	-	456.00000
I	ZZR	18.000	9.80	-	-	J	-	-	49.00%	-	Twsaeiix	UCQV	410-420	425	SSWD+425	-	202.00000
A-1	KPW	88.300	9.90	-	-	III-	-	-	44.00%	-	Zbxkcace	IQGG	-	675	LYDV+580	-	12.00000
V-2	GJM	2.800	7.50	-	-	DDD-	-	-	29.00%	-	Gawtk	-	-	675	9.32%	-	50.00000
I	YTL	46.800	8.10	-	-	NN-	-	-	53.80%	-	Njzcbqvc	YWXA	1000s	1000	PICF+845	-	87.30000

Tranche Comments

S-1: First Pay: 2023-07-15; Registration: 144E/Keu Y; Y-2: First Pay: 2023-07-15; Registration: 144P/Dla Z; F: First Pay: 2023-07-15; Registration: 144H/Lda W; I: First Pay: 2023-07-15; Registration: 144U/Eai Q; A-1: First Pay: 2023-07-15; Registration: 144L/Tzm U; V-2: First Pay: 2023-07-15; Registration: 144N/Ome I; I: First Pay: 2023-07-15; Registration: 144Z/Vzh D; Sdk: First Pay: 2023-07-15; Registration: 144D/Fha O;

Deal Comments

Kkh Meuu Ajqmkea 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
X	OQR	85.000	-	-	-	KK	-	-	-	-	Lbbuvjvh	LCWW	300-310	310	JVHJ+310	-	-
C	VNG	20.000	-	-	-	P	-	-	-	-	Tvdbsmdr	SSFG	400-410	410	DLSZ+410	-	-
C1	BMS	975.000	-	-	-	YYY	-	-	-	-	Lsuapwyg	EZTS	-	214	QWHY+214	-	-
I	OAC	64.000	-	-	-	RR-	-	-	-	-	Vdoeapns	CDVY	850-875	808	ILKH+808	-	-
B2	ZTP	64.000	-	-	-	BBB	-	-	-	-	Pbcab	-	-	-	5.568%	-	-
Q	NVS	25.000	-	-	-	III-	-	-	-	-	Sumohwzh	ACPX	550n	536	THEX+536	-	-
Tcx	UFV	86.100	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

C1: Redemption: 2023-09-29; B2: Redemption: 2023-09-29; X: Redemption: 2023-09-29; C: Redemption: 2023-09-29; Q: Redemption: 2023-09-29; I: Redemption: 2023-09-29; Tcx: Redemption: 2023-09-29;

Deal Comments

Svw Gukk Loefvcd 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
K	LIT	95.500	-	Avv3	-	-	-	-	-	-	Gxsavqcd	3vG	335-345	362	3bE+362	-	-
X	KAY	314.000	-	Xff	-	-	-	-	-	-	Iehrueww	3wR	-	121	3zD+121	-	-
S1	ISP	97.000	-	Jd2	-	-	-	-	-	-	Zqloeilq	3dS	-	190	3kV+190	-	-
P	GBF	88.000	-	E2	-	-	-	-	-	-	Szlumbcq	3xD	220-230	245	3wQ+245	-	-
T2	IXC	3.000	-	Ir2	-	-	-	-	-	-	Jjizr	YUE	-	-	3.095%	-	-
U	PBB	10.600	-	Uk3	-	-	-	-	-	-	Trumcayw	3lK	675-700	693	3fX+693	-	-
Ayg	GFT	37.730	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

X: Redemption: 2024-01-18; S1: Redemption: 2024-01-18; T2: Redemption: 2024-01-18; P: Redemption: 2024-01-18; K: Redemption: 2024-01-18; U: Redemption: 2024-01-18; Ayg: Redemption: 2024-01-18;

Deal Comments

Uwo Uzpp Fcfawbu 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 30, 2006