II(R)

BlueMountain Fuji Eur CLO DAC (BLUEME) II(R)

Assured Guaranty Ltd (fka BlueMountain Capital Management)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V-I	IYW	342.100	7.20	Zcc	NNN	-	42.60%	-	Ucmwpmko	3tMz	-	65	3lIy+65	-	577.00000
A-I	JLW	21.500	8.30	Kz2	TT	-	80.30%	-	Huepeckl	3eAp	-	140	3bOu+140	-	968.00000
P-L	MWE	30.100	3.60	X2	D	-	23.30%	-	Yshbyeui	3yDc	-	195	3lRa+195	-	204.00000
N-X	MWX	23.100	5.40	Ttt2	AAA	-	80.30%	-	Kxoewufa	3cAp	-	280	3zDb+280	-	370.00000

Deal Comments

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Risk Retention

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Reinvestment Period (YRS)

8.1

Reinvestment Period End Date

Nov 19, 1996

WAL Test Period (YRS)

WAL Test Period End Date

Feb 2, 2018