16(R)

Ballyrock CLO (BALLY) 16(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
P-2-F	QQQ	24.500	2.60	-	OO	-	-	-	94.00%	-	Ejjpbbvy	WBWG	-	145-150	153	MCOT+153	-	-
N-1-J Hbvh	KSF	938.000	-	-	AAA	-	-	-	41.00%	-	Xvzutuad	PWZB	-	-	115	XPDK+115	-	-
E-2-F	OGY	1.700	93.90	-	UUU-	-	-	-	81.00%	-	Gvxyjsih	MWDB	-	365-375	375	BXAP+375	-	-
L-T	NPY	22.200	50.20	-	BB-	-	-	-	3.00%	-	Lxzbmfrv	KICV	-	460-470	515	NUVH+515	-	-
Vtm	ATS	45.300	-	-	BZ	-	-	-	-	-	-	-	-	-	-	-	-	Retained
A-1-M	PWF	960.500	5.40	-	SSS	-	-	-	89.00%	-	Teqzqpxh	YTAT	-	114-115	115	DGYI+115	-	-
D-1-S	QWI	49.000	2.60	-	NNN-	-	-	-	57.00%	-	Ozoekamg	IEXH	-	245-255	275	PBJB+275	-	-
E-U	OAS	59.000	8.10	-	A	-	-	-	44.00%	-	Gsoyoufl	LNGP	-	170y	175	HMUC+175	-	-

Tranche Comments

A-1-M: First Pay: 2025-07-20; Redemption: 2027-03-13; Registration: 144Q/Grr J; N-1-J Hbvh: First Pay: 2025-07-20; Redemption: 2027-03-13; Registration: 144U/Lut L; P-2-F: First Pay: 2025-07-20; Redemption: 2027-03-13; Registration: 144L/Mqw B; E-U: First Pay: 2025-07-20; Redemption: 2027-03-13; Registration: 144Q/Zcl P; D-1-S: First Pay: 2025-07-20; Redemption: 2027-03-13; Registration: 144O/Eql Q; E-2-F: First Pay: 2025-07-20; Redemption: 2027-03-13; Registration: 144W/Zhe W; L-T: First Pay: 2025-07-20; Redemption: 2027-03-13; Registration: 144G/Vzv L; Vtm: First Pay: 2025-07-20; Redemption: 2027-03-13; Registration: 144Y/Ejk C;

Deal Comments

Axexg. Ybp Jtxx Jxjzbom 2.00

Pricing Speed

20 QNG

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 7, 2010