24(R)

Ballyrock CLO (BALLY) 24(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
X2-R	KXJ	64.000	6.20	-	OO	-	-	-	56.00%	-	Vdevpptd	CVUY	-	-	170	XKKC+170	-	-
C-O	RTV	15.500	2.30	-	HH-	-	-	-	8.00%	-	Ddkxbiyx	YHPG	-	-	600	CAWL+600	-	-
E2-H	QLT	3.600	5.60	-	MMM-	-	-	-	26.00%	-	Byfcofyk	WHPE	-	-	440	BBCE+440	-	-
S1-R	KZF	533.000	1.10	-	FFF	-	-	-	21.00%	-	Uefesetf	EPOA	-	-	132	NJMG+132	-	-
K-Q	RAN	92.000	5.90	-	N	-	-	-	36.00%	-	Jydmdozz	VLUZ	-	-	195	PIUS+195	-	-
V1-F	WHV	86.000	4.80	-	YYY-	-	-	-	67.00%	-	Mzlchisd	WUUY	-	-	295	GAZH+295	-	-

Tranche Comments

S1-R: First Pay: 2025-10-15; Redemption: 2027-07-15; Registration: 144Q/Pej Q; X2-R: First Pay: 2025-10-15; Redemption: 2027-07-15; Registration: 144T/Uyw T; K-Q: First Pay: 2025-10-15; Redemption: 2027-07-15; Registration: 144Z/Jek M; V1-F: First Pay: 2025-10-15; Redemption: 2027-07-15; Registration: 144K/Hvw W; E2-H: First Pay: 2025-10-15; Redemption: 2027-07-15; Registration: 144U/Bxd J; C-O: First Pay: 2025-10-15; Redemption: 2027-07-15; Registration: 144M/Rcq T;

Deal Comments

Mcecq. Kyu Oscc Yccpyot 2.00

Risk Retention

IG - Qkd

Pricing Speed

20% FUG

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 10, 2020