15(R)

Ballyrock CLO (BALLY) 15(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
FV	LSM	94.000	44.80	-	CC-	-	-	-	5.00%	-	Svcaypdr	JIZD	-	515-535	525	JJXQ+525	-	-
N1C	CNY	418.000	3.90	-	ZZZ	-	-	-	24.00%	-	Clbcmxyh	SHSW	-	133	133	CUUE+133	-	-
F1E	YZO	63.000	8.30	-	BBB-	-	-	-	40.00%	-	Dmkxdbjs	GQYB	-	275-285	285	LAND+285	-	-
OR	TIN	29.000	5.20	-	U	-	-	-	74.00%	-	Opkxqtfc	AZYZ	-	175-185	185	XJAH+185	-	-
Sno	MAB	89.820	-	-	TE	-	-	-	-	-	-	-	-	-	-	-	-	Retained
A2A	FPU	11.000	2.90	-	XXX	-	-	-	51.00%	-	Puvvsbqm	MIOH	-	150-155	155	EJMY+155	-	-
AC	FFN	63.000	6.10	-	XX	-	-	-	38.00%	-	Sfepblbu	MZNN	-	160-165	160	SVKQ+160	-	-
E2H	JON	2.000	87.00	-	III-	-	-	-	36.00%	-	Bdjaamnm	VXXM	-	390-400	395	ATAT+395	-	-
Hqq Xyq	KRY	8.550	-	-	SU	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

N1C: First Pay: 2025-04-01; Redemption: 2027-01-15; Registration: 144V/Iyp U; A2A: First Pay: 2025-04-01; Redemption: 2027-01-15; Registration: 144F/Hnq S; AC: First Pay: 2025-04-01; Redemption: 2027-01-15; Registration: 144C/Ffw V; OR: First Pay: 2025-04-01; Redemption: 2027-01-15; Registration: 144Y/Mqb S; F1E: First Pay: 2025-04-01; Redemption: 2027-01-15; Registration: 144N/Ika D; E2H: First Pay: 2025-04-01; Redemption: 2027-01-15; Registration: 144V/Koe Q; FV: First Pay: 2025-04-01; Redemption: 2027-01-15; Registration: 144Q/Mzo L; Hqq Xyq: First Pay: 2025-04-01; Redemption: 2027-01-15; Registration: 144G/Rwz X; Sno: First Pay: 2025-04-01; Redemption: 2027-01-15; Registration: 144B/Env Q;

Deal Comments

Spupg. Apx-Kwvv Npcapgn 2.00

Pricing Speed

20% QHP

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 11, 2006