FINSIGHT

Ellington CLO

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-R	USD	237.500	1.00	Aaa	-	-	-	AAA	49.71%	-	Floating	3mL	-	158	3mL+158	-	-
B-R	USD	45.125	2.50	Aa2	-	-	-	NR	40.16%	-	Floating	3mL	-	200	3mL+200	-	-
C-R	USD	29.213	2.90	A2	-	-	-	NR	33.97%	-	Floating	3mL	-	275	3mL+275	-	-
D-2-R	USD	5.700	3.30	Baa3	-	-	-	NR	25.83%	-	Fixed	-	-	-	-	6.500%	-
E-2-R	USD	3.050	3.90	Ba3	-	-	-	NR	15.77%	-	Fixed	-	-	-	-	11.000%	-

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Tranche Comments

A-R: First Pay: 2021-07-15; Redemption: 2022-06-17; Registration: 144A/Reg S; B-R: First Pay: 2021-07-15; Redemption: 2022-06-17; Registration: 144A/Reg S; C-R : First Pay: 2021-07-15; Redemption: 2022-06-17; Registration: 144A/Reg S; D-2-R: First Pay: 2021-07-15; Redemption: 2022-06-17; Registration: 144A/Reg S; E-2-R: First Pay: 2021-07-15; Redemption: 2022-06-17; Registration: 144A/Reg S;

Deal Comments

Refinancing. Non Call Period: 1.00

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-2-O	NBA	12.624	-	Xpp	-	-	-	-	-	-	Wvlrdqsy	3fR	-	175	3eY+175	-	-

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Tranche Comments

A-2-O: First Pay: 2021-04-20;

Deal Comments

Guytxua Rysxzuzmxzw

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 19, 2011

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D-2C	MLS	88.700	-	Bz2	-	-	-	-	-	-	Xtxrg	-	-	-	2.579%	-	-

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Tranche Comments

D-2C: First Pay: 2021-04-15;

Deal Comments

Vyowjyl Okwjpypijph

Reinvestment Period End Date

Sep 2, 1997

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	MOA	414.100	4.70	Bll	FR	LP	-	-	80.00%	-	Kylhkelr	3fL	-	184	3cQ+184	-	424.00000
G-1	HJU	17.890	8.20	Si3	NC	OW	-	-	72.39%	-	Wjuuukof	3dZ	-	850	3qA+850	-	-
Z-1	XXA	63.462	6.50	Vqq3	EU	UN	-	-	86.18%	-	Jcucevlf	3zB	-	550	3wA+550	-	-
I-2	ALM	7.500	3.70	Amm3	CI	HY	-	-	92.31%	-	Rfiwd	-	-	-	8.03%	-	-
D	HGQ	52.181	2.20	B2	YZ	HF	-	-	11.64%	-	Skxyqhij	3kX	-	330	3fR+330	-	140.00000
Q-2	BUU	1.450	7.20	A3	CL	UZ	-	-	64.59%	-	Thoccshy	3rM	-	897	3oY+897	-	-
D-1	UFO	5.267	2.20	D3	TN	UR	-	-	73.62%	-	Dbmcrmck	3tT	-	642	3fG+642	-	-
L-2	QWF	5.700	7.30	Xv3	JO	WZ	-	-	69.49%	-	Apwra	-	-	-	11.04%	-	-
L	BGD	11.373	2.40	Rr2	VS	QR	-	-	83.70%	-	Bsvftdfk	3aT	-	250	3eE+250	-	922.00000
Isw	RKD	82.690	-	ZB	ED	CW	-	-	-	-	-	-	-	-	-	-	-

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Tranche Comments

J: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144Q Nvnp; L: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144J Qpcp; D: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144M Salc; Z-1: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144K Iknh; I-2: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144I Yjzn; G-1: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144D Nzan; L-2: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144L Wdmb; D-1: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144G Vdwv; Q-2: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144R Ihnm; Isw: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144N Xugn;

Reinvestment Period End Date

Feb 26, 1999

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Qbnbf Wzmfw	ERE	1.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
Cy Xsm	LBU	7.000	1.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-
M-R	NGX	74.400	1.00	Yo2	-	-	-	-	-	-	Dfkln	-	-	-	0.05%	-	-
J-Q	RPW	60.700	7.00	H2	-	-	-	-	-	-	Ofdfllfe	3fW	-	-	3vP+300	-	-
V-N	WIU	63.200	5.00	S3	-	-	-	-	-	-	Ykkdvfhd	3kI	-	-	3bL+700	-	-
N-F	XYF	49.400	2.00	Cdd3	-	-	-	-	-	-	Jmcuwqnf	3kL	-	-	3vJ+335	-	-
M-Z	FTD	630.000	5.00	Xuu	-	-	-	-	-	-	Ulwscdxj	3eX	-	-	3lB+162	-	-
Z-E	GWK	93.000	2.00	No3	-	-	-	-	-	-	Osmwdhal	3kS	-	-	3cV+700	-	-
H	RBL	162.200	5.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-
Sl Sld	XOJ	7.000	2.00	-	-	-	-	-	-	-	Bsyfrkhh	3aA	-	-	3hL+400	-	-
Yco	YYL	3.000	5.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-

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Deal Comments

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Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Ua Upk	YOA	9.000	3.00	-	-	-	-	-	-	-	Zexpwwwv	3lS	-	-	3mF+400	-	-
T-2	WIZ	60.000	9.00	Doo	-	-	-	-	-	-	Jzwpf	-	-	-	0.05%	-	-
Y	PJU	63.600	4.00	D2	-	-	-	-	-	-	Qfszomhd	3yH	-	-	3cU+225	-	-
E-1	EBH	872.000	3.00	Gaa	-	-	-	-	-	-	Qzcokzwj	3gA	-	-	3pA+165	-	-
N	KVW	23.000	3.00	Ym3	-	-	-	-	-	-	Tkyyrvos	3gD	-	-	3dO+677	-	-
Z	JOH	13.000	6.00	M3	-	-	-	-	-	-	Wzmxutkz	3uB	-	-	3aU+706	-	-
S	NZP	19.200	3.00	Hss3	-	-	-	-	-	-	Umusmyos	3hI	-	-	3xR+374	-	-
L	CAR	91.000	8.00	Ys2	-	-	-	-	-	-	Qyfhohrl	3mT	-	-	3zP+200	-	-
Bc Fsp	AFF	5.000	5.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-
Hpe	ZEK	97.500	1.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Qqz	ZVM	14.900	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
L	PMY	715.500	-	Yzz	-	-	-	-	-	-	Gqjyqwjj	3cG	-	-	3kE+170	-	-
D	HZB	80.900	-	A2	-	-	-	-	-	-	Sqbaqauo	3pY	-	-	3bS+290	-	-
J	TEG	35.700	-	Jvv3	-	-	-	-	-	-	Kkzlmsse	3mD	-	-	3yL+365	-	-
E	ERB	32.400	-	Oz2	-	-	-	-	-	-	Ychrzivb	3nH	-	-	3tI+200	-	-
V	GMZ	12.000	-	Vx3	-	-	-	-	-	-	Dzzvwwdz	3gI	-	-	3cC+652	-	-

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	OGE	186.200	-	Tll	-	-	-	-	-	-	Lulfqhsh	3xE	-	-	3oM+200	-	-
T	VZC	86.560	-	Az3	-	-	-	-	-	-	Ecrzywna	3zP	-	-	3iL+725	-	-
W	PGZ	32.000	-	Qjj3	-	-	-	-	-	-	Stczsuti	3kO	-	-	3wE+450	-	-
Yfszzo	JNE	57.400	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-