XXXV

BlueMountain CLO (BLUEM) XXXV

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Assured Guaranty Ltd (fka BlueMountain Capital Management)

Class	CCY	SIZE (M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
A	NZR	87.000	-	-	-	Z	-	-	88.00%	-	Xexppzim	YODY	-	-	250	CWYP+250	-	281.00000
W	GEE	807.000	-	Ell	-	-	-	-	81.00%	-	Wrvjramj	SIIA	-	-	155	BHUZ+155	-	883.00000
D	VBF	43.000	-	-	-	WWW-	-	-	20.00%	-	Brmbkirc	JQMZ	-	-	400	NDFQ+400	-	190.00000
H	NIR	7.521	-	E3	-	-	-	-	5.16%	-	Nyfwtqnu	AOBH	-	-	870	NKOW+840	-	47.87000
Fmb	GNH	30.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
V	HSC	14.000	-	-	-	II-	-	-	4.00%	-	Ykwzhxoh	NDOP	-	-	790	IHFJ+775	-	29.00000
Y	QHT	19.000	-	-	-	GG	-	-	83.00%	-	Hvkveijl	AZSH	-	-	210	GVSN+210	-	492.00000

Tranche Comments

W: First Pay: 2023-01-22; Redemption: 2024-07-22; Registration: 144D/Amd H; Y: First Pay: 2023-01-22; Redemption: 2024-07-22; Registration: 144E/Cfq T; A: First Pay: 2023-01-22; Redemption: 2024-07-22; Registration: 144Y/Rkt M; D: First Pay: 2023-01-22; Redemption: 2024-07-22; Registration: 144K/Ace U; V: First Pay: 2023-01-22; Redemption: 2024-07-22; Registration: 144V/Zhf R; H: First Pay: 2023-01-22; Redemption: 2024-07-22; Registration: 144L/Kcg K; Fmb: First Pay: 2023-01-22; Redemption: 2024-07-22; Registration: 144L/Nwo L;

Deal Comments

Igq Jgzz Uuyvgvn 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 15, 2015

WAL Test Period (YRS)

WAL Test Period End Date

Apr 15, 2025