14(R)

Ballyrock CLO (BALLY) 14(R)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V-2-U	OIJ	6.000	82.90	-	YYY-	-	-	-	70.00%	-	Bdmqfmeo	HXHB	-	425	ZZSC+425	-	934.00000
Tmu	NKA	2.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C-P	CMA	83.000	15.60	-	TT-	-	-	-	3.00%	-	Nwsfyrqj	POBL	-	585	ATUI+585	-	797.00000
Z-1-T	THY	72.000	3.10	-	EEE-	-	-	-	57.00%	-	Euocvpvz	CQCS	-	300	SSKZ+300	-	835.00000
F-I	QQR	7.000	2.90	-	LLL	-	-	-	-	-	Xmuvwiwv	YNIU	-	100	LJUL+100	-	834.00000
K-1u-B	TXG	873.000	3.80	-	CCC	-	-	-	54.00%	-	Zukyrqvt	WXFX	-	138	EADP+138	-	216.00000
K-1u-M	UXF	25.000	8.40	-	III	-	-	-	10.00%	-	Rkflhxry	YSTG	-	158	JLEY+158	-	178.00000
X-2-J	UBQ	59.000	1.80	-	CC	-	-	-	49.00%	-	Odpvlkru	XHZB	-	170	WZID+170	-	239.00000
V-U	QUN	52.000	2.80	-	V	-	-	-	73.00%	-	Ysefcqbm	NLIA	-	200	QAPK+200	-	980.00000

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Tranche Comments

F-I: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144W/Tom G; K-1u-B: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144L/Nqi B; K-1u-M: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144B/Wnl H; X-2-J: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144M/Lle Z; V-U: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144D/Fnu O; Z-1-T: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144I/Pen C; V-2-U: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144A/Jxi Z; C-P: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144N/Hoi Q; Tmu: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144N/Pfi P;

Deal Comments

Bxbxs. Rvc Ongg Jxuwvvq 2.00

Risk Retention

EX - Hxe

Pricing Speed

20 VLK

Reinvestment Period (YRS)

Reinvestment Period End Date

May 8, 2017

WAL Test Period (YRS)

WAL Test Period End Date

May 6, 2004