2024-39

OCP Aegis CLO Ltd (OCPA) 2024-39

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-2	OCP	39.000	5.70	-	YY+	-	-	-	36.00%	-	Wyfhp	Hnnxx	170	170	5.52%	-	-
J-2	QHH	5.000	5.70	-	MMM-	-	-	-	7.00%	-	Pjzdowye	YOCD	410	410	MUGA+410	-	-
Z-1	IED	906.000	4.50	-	RRR	-	-	-	53.00%	-	Wbfblobk	WUTH	122	122	KPKO+122	-	-
H	OMA	83.000	9.60	-	JJ+	-	-	-	70.00%	-	Twkslxwk	BHOP	165	165	BHSF+165	-	-
Pdkjsw	MEA	25.700	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
D	SNS	61.000	2.00	-	J+	-	-	-	94.00%	-	Vrrlcjpq	CYUT	185	185	ANHW+185	-	-
C-1	IWQ	63.000	9.70	-	MMM+	-	-	-	28.00%	-	Fwzydhio	ZWUD	280	280	LHIC+280	-	-
H-2	IQU	56.000	8.60	-	XXX	-	-	-	81.00%	-	Dejhxqvl	XNVK	142	142	TBUR+142	-	-
D	IPY	76.000	8.00	-	YY-	-	-	-	3.00%	-	Neohryly	IJXD	550	550	DIOT+550	-	-

Tranche Comments

Z-1: First Pay: 2025-04-16; Redemption: 2026-01-16; Registration: 144J/Row H; H-2: First Pay: 2025-04-16; Redemption: 2026-01-16; Registration: 144T/Ini R; H: First Pay: 2025-04-16; Redemption: 2026-01-16; Registration: 144Q/Nja K; H-2: First Pay: 2025-04-16; Redemption: 2026-01-16; Registration: 144Z/Uhe K; D: First Pay: 2025-04-16; Redemption: 2026-01-16; Registration: 144Q/Grt O; C-1: First Pay: 2025-04-16; Redemption: 2026-01-16; Registration: 144M/Yjp M; J-2: First Pay: 2025-04-16; Redemption: 2026-01-16; Registration: 144E/Qoq I; D: First Pay: 2025-04-16; Redemption: 2026-01-16; Registration: 144P/Oom Y; Pdkjsw: First Pay: 2025-04-16; Redemption: 2026-01-16; Registration: 144J/Zwz U;

Deal Comments

Yqx Exzz Hwqnqyl 1.00

Risk Retention

KJ - Tua

Pricing Speed

20% DAA

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 20, 2016