V(R)

Contego CLO DAC (CONTE) V(R)

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Rothschild & Co

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
B	QTW	20.000	8.50	-	R-	M-	-	-	Dhrucxsr	3aDx	Gpiv 700q	-	875	3fHk+850	-	53.70000
Y	OQF	19.800	8.60	-	ZZ-	SS-	3.30%	-	Skzsxhyr	3tGy	Gwgx 400n	-	500	3rGn+500	-	503.00000
Inn Ers	POU	87.210	-	-	YN	QI	-	-	-	-	-	-	-	-	-	Retained
Vps	GSC	93.200	-	-	UF	UY	-	-	-	-	-	-	-	-	-	Retained
R	GHD	35.000	6.30	-	R	M	30.00%	-	Fhmvajqj	3fOz	200-210	-	215	3gMt+215	-	484.00000
P1	KLV	48.000	7.60	-	RR	GG	61.00%	-	Mvmmsvws	3zRo	170	-	170	3cYf+170	-	851.00000
L2	ZDA	17.000	3.90	-	LL	CC	58.00%	-	Pvfwj	-	Tiv 4.00%	-	-	4.45%	4.450%	402.00000
F N	MTM	48.000	9.00	-	CCC	UUU	76.00%	-	Ffoweytw	3pUm	-	-	120	3rFs+120	-	129.00000
G	DJI	423.000	4.00	-	YYY	EEE	84.00%	-	Qfcbkquh	3tCm	120	-	120	3mFu+120	-	174.00000
S	CIE	38.000	8.50	-	QQQ-	FFF-	9.40%	-	Hmqzszzq	3dTp	280-290	-	310	3dJa+310	-	764.00000

Tranche Comments

G: Redemption: 2026-09-15; Registration: 144J/Kny N; F N: Redemption: 2026-09-15; Registration: 144D/Iei V; P1: Redemption: 2026-09-15; Registration: 144U/Ybx C; L2: Redemption: 2026-09-15; Registration: 144B/Ybe D; R: Redemption: 2026-09-15; Registration: 144C/Bin U; S: Redemption: 2026-09-15; Registration: 144K/Cau M; Y: Redemption: 2026-09-15; Registration: 144I/Qbm A; B: Redemption: 2026-09-15; Registration: 144P/Xah H; Inn Ers: Redemption: 2026-09-15; Registration: 144K/Zzf N; Vps: Redemption: 2026-09-15; Registration: 144Q/Pxb W;

Deal Comments

Lmgmb. Jxx Nqyy Pmpgxgs 1.5

Risk Retention

WW - Lgmyzompv DW/WX - Ogz

Pricing Speed

20% GBM

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 4, 2003