21(R)

Ballyrock CLO (BALLY) 21(R)

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

FMR LLC (dba Fidelity Investments)

Class	CCY	SIZE (M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
K1U-Z	JVV	5.000	4.00	-	OOO	-	-	-	42.00%	-	Dyycfjlu	SPFR	-	155n	156	IDYX+156	-	-
N2-P	RVX	94.000	8.90	-	WW	-	-	-	96.00%	-	Fvfhqmee	JVYU	-	170x	170	VUZV+170	-	-
X2-V	VUI	4.000	2.30	-	BBB-	-	-	-	54.00%	-	Ybngc	-	-	410-420	410	7.39%	-	-
C1C-D	KFW	155.000	6.80	-	DDD	-	-	-	50.00%	-	Dpmvrrcm	SDYB	-	136	136	YJVE+136	-	-
V-O	VEC	19.000	3.00	-	X	-	-	-	90.00%	-	Kkzsrucz	KIPK	-	195i	195	HIBB+195	-	-
Q1-G	GCP	63.000	8.70	-	AAA-	-	-	-	59.00%	-	Nbyplxuw	GYMM	-	300-310	315	NKGN+315	-	-
I-E	CAN	26.000	1.30	-	ZZ-	-	-	-	3.00%	-	Kpphtbnv	BOGS	-	575-600	600	HUXK+600	-	-

Tranche Comments

C1C-D: First Pay: 2025-01-20; Redemption: 2026-10-20; Registration: 144Q/Jrd U; K1U-Z: First Pay: 2025-01-20; Redemption: 2026-10-20; Registration: 144Z/Dhi R; N2-P: First Pay: 2025-01-20; Redemption: 2026-10-20; Registration: 144V/Cnu E; V-O: First Pay: 2025-01-20; Redemption: 2026-10-20; Registration: 144B/Tmc V; Q1-G: First Pay: 2025-01-20; Redemption: 2026-10-20; Registration: 144K/Chv D; X2-V: First Pay: 2025-01-20; Redemption: 2026-10-20; Registration: 144N/Ifv A; I-E: First Pay: 2025-01-20; Redemption: 2026-10-20; Registration: 144G/Eyy U;

Deal Comments

Bcvcs. Mgp Auqq Tchpghw 2.00

Risk Retention

VD - Cck

Pricing Speed

20% XYK

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 14, 2006