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
E-1f-B	CNU	58.000	1.40	-	NNN	-	-	-	79.00%	-	Bpsxfisg	EGPT	-	158	DMNH+158	-	336.00000
Y-A	GEW	33.000	3.60	-	A	-	-	-	47.00%	-	Imoezrui	WQJW	-	200	NGGW+200	-	429.00000
V-D	AMC	91.000	81.70	-	EE-	-	-	-	3.00%	-	Feohohpu	KUEN	-	585	PMTY+585	-	804.00000
Eeb	KFV	5.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
N-2-W	MUG	18.000	7.40	-	EE	-	-	-	29.00%	-	Jejoxvxz	ZTWA	-	170	VGUG+170	-	622.00000
U-2-Z	YRL	3.000	98.10	-	WWW-	-	-	-	84.00%	-	Bcpmwjet	JBFP	-	425	PTNT+425	-	743.00000
K-H	BCH	5.000	7.60	-	YYY	-	-	-	-	-	Sxczfbbe	ITHW	-	100	SINN+100	-	891.00000
J-1l-T	CSY	916.000	9.90	-	HHH	-	-	-	68.00%	-	Lsoamjix	ZEMU	-	138	KZNS+138	-	142.00000
D-1-F	HUP	21.000	5.50	-	XXX-	-	-	-	23.00%	-	Grzqjcoo	KQNU	-	300	JOWM+300	-	484.00000

Tranche Comments

K-H: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144N/Jpv G; J-1l-T: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144W/Apw B; E-1f-B: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144M/Chf L; N-2-W: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144N/Wof L; Y-A: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144Q/Roy R; D-1-F: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144F/Taf N; U-2-Z: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144H/Kdh J; V-D: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144J/Yfs W; Eeb: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144I/Jom F;

Deal Comments

Vixif. Jzv Fuyy Dijtzip 2.00

Risk Retention

DA - Rtk

Pricing Speed

20 NSO

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 19, 2004

WAL Test Period (YRS)

WAL Test Period End Date

Oct 24, 2003