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
P-D	AOY	15.000	1.20	-	G	-	-	-	24.00%	-	Ekiisdji	MDIH	-	200	VSKK+200	-	479.00000
U-2-J	HEC	47.000	6.60	-	PP	-	-	-	39.00%	-	Ccpuobwz	BCUJ	-	170	VQLJ+170	-	295.00000
I-R	AIB	7.000	6.50	-	BBB	-	-	-	-	-	Vmsltjhc	LPWT	-	100	DPHQ+100	-	476.00000
J-2-G	ZBN	2.000	74.50	-	TTT-	-	-	-	58.00%	-	Ywkhctbf	PCYO	-	425	QDPC+425	-	330.00000
T-1-F	UPH	90.000	6.20	-	HHH-	-	-	-	56.00%	-	Cvbbopim	VBWP	-	300	NLGU+300	-	269.00000
N-1q-H	ZMT	12.000	3.80	-	LLL	-	-	-	55.00%	-	Cmuqoskm	ZHNI	-	158	ZOSE+158	-	663.00000
E-X	EPU	32.000	28.30	-	NN-	-	-	-	4.00%	-	Gbhkobam	UJYK	-	585	WOOA+585	-	238.00000
Pmp	BVI	8.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
A-1p-U	MKK	628.000	4.30	-	SSS	-	-	-	75.00%	-	Ayphssvk	ZYOT	-	138	BXNL+138	-	258.00000

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Tranche Comments

I-R: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144O/Qqt B; A-1p-U: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144H/Jby Y; N-1q-H: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144H/Mmv M; U-2-J: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144G/Bbq U; P-D: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144H/Xpa G; T-1-F: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144Y/Tpo T; J-2-G: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144E/Fie E; E-X: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144L/Uyj V; Pmp: First Pay: 2025-01-20; Redemption: 2026-07-20; Registration: 144L/Wav K;

Deal Comments

Bpeps. Njc Vqpp Wpazjbm 2.00

Risk Retention

DK - Ibj

Pricing Speed

20 NYW

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 20, 2012

Reset

Yes

WAL Test Period (YRS)