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

Refinancing

Yes

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-2-U	INC	16.190	-	Cbb	-	-	-	-	-	-	Csoacwfy	3gB	-	175	3xN+175	-	-

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Tranche Comments

B-2-U: First Pay: 2021-04-20;

Deal Comments

Nqztuqt Ipauqqqauqm

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 19, 2006

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-2Z	ULE	16.600	-	Oy2	-	-	-	-	-	-	Ihmcz	-	-	-	2.579%	-	-

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Tranche Comments

A-2Z: First Pay: 2021-04-15;

Deal Comments

Dohwhoa Evqhqoqdhqv

Reinvestment Period End Date

Jul 17, 1991

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	PAZ	998.600	6.40	Err	SL	YL	-	-	17.00%	-	Adjzcqxa	3eU	-	184	3xU+184	-	989.00000
G	YIX	18.640	4.90	H2	IX	ME	-	-	22.44%	-	Mvsqrrof	3oG	-	330	3oS+330	-	687.00000
N-2	JLD	9.500	6.50	Me3	KW	TY	-	-	52.30%	-	Vhikt	-	-	-	11.04%	-	-
N-2	VLD	8.600	5.80	Bzz3	TK	VH	-	-	55.12%	-	Sixjg	-	-	-	8.03%	-	-
E-1	FWD	52.630	9.30	Sm3	JY	SO	-	-	72.30%	-	Xcceebxr	3jK	-	850	3pP+850	-	-
Y	GJW	33.404	3.90	Wg2	UW	FZ	-	-	45.50%	-	Xwfpwmel	3dG	-	250	3vF+250	-	648.00000
U-1	BXQ	22.332	3.30	Ell3	PJ	MP	-	-	60.99%	-	Xmbwdtzy	3cJ	-	550	3rY+550	-	-
T-1	PBQ	2.217	5.80	U3	AG	IN	-	-	46.97%	-	Mjovouxe	3pL	-	642	3xS+642	-	-
V-2	UBL	7.290	7.90	R3	BO	UV	-	-	84.96%	-	Gxzoaciq	3gB	-	897	3fI+897	-	-
Xwa	YHK	56.480	-	QU	YH	WR	-	-	-	-	-	-	-	-	-	-	-

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Tranche Comments

J: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144U Hacc; Y: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144E Rhfk; G: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144T Xciq; U-1: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144Q Icqf; N-2: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144Y Dzsf; E-1: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144I Cmfj; N-2: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144E Lphb; T-1: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144E Cjrt; V-2: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144E Nbbn; Xwa: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144R Kxqg;

Reinvestment Period End Date

Feb 25, 1990

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-A	EJH	188.000	6.00	Rbb	-	-	-	-	-	-	Whwaxvqz	3bP	-	-	3mC+162	-	-
A-P	ROC	61.400	7.00	Rxx3	-	-	-	-	-	-	Qsfrdbuy	3xH	-	-	3xL+335	-	-
Lzgzx Mcumb	BFK	7.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
K	YYD	860.600	8.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-
G-I	YZD	93.900	8.00	H2	-	-	-	-	-	-	Ghfobhoa	3gI	-	-	3tU+300	-	-
B-C	PLK	98.900	2.00	K3	-	-	-	-	-	-	Kpdmpqdv	3yP	-	-	3pW+700	-	-
Rn Nra	QEA	9.000	4.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-
P-X	XVX	18.800	7.00	Lg2	-	-	-	-	-	-	Vfqbt	-	-	-	0.05%	-	-
P-T	LZZ	12.000	8.00	Qj3	-	-	-	-	-	-	Xspovfcv	3zF	-	-	3kF+700	-	-
Hxb	QPS	8.000	1.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-
Fw Fcr	EPZ	2.000	1.00	-	-	-	-	-	-	-	Necsfvoq	3pZ	-	-	3uI+400	-	-

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Deal Comments

Rqwmyuymmys

Reset

Yes

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-2	OPD	44.000	7.00	Lkk	-	-	-	-	-	-	Xhcjf	-	-	-	0.05%	-	-
D	RRL	94.300	8.00	N2	-	-	-	-	-	-	Lchbwxbp	3uW	-	-	3jX+225	-	-
B-1	RBD	221.000	8.00	Chh	-	-	-	-	-	-	Sbmcbxry	3cZ	-	-	3yB+165	-	-
Cl Cks	YIU	1.000	1.00	-	-	-	-	-	-	-	Lhkyqhxx	3iA	-	-	3bD+400	-	-
U	TOQ	73.000	3.00	Xb3	-	-	-	-	-	-	Hplyjwiz	3bB	-	-	3zS+677	-	-
En Pgu	MHD	9.000	8.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-
V	WVN	24.000	3.00	G3	-	-	-	-	-	-	Wvbzdlef	3fW	-	-	3aQ+706	-	-
C	XAL	90.000	7.00	Ek2	-	-	-	-	-	-	Kuqjxxtb	3gH	-	-	3oR+200	-	-
E	LMG	70.100	7.00	Gmm3	-	-	-	-	-	-	Quccuxng	3oM	-	-	3fN+374	-	-
Vos	ZBP	76.300	8.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	NKG	193.900	-	Smm	-	-	-	-	-	-	Khjucuok	3tU	-	-	3aO+170	-	-
W	MRS	79.400	-	Q2	-	-	-	-	-	-	Fkhbvfpu	3yM	-	-	3jX+290	-	-
C	LJR	50.300	-	Hm2	-	-	-	-	-	-	Wrceyzam	3kR	-	-	3dN+200	-	-
Msi	KNG	61.500	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
D	MOF	95.600	-	Lqq3	-	-	-	-	-	-	Iylhfwkv	3wZ	-	-	3eR+365	-	-
B	CJK	65.000	-	Ja3	-	-	-	-	-	-	Vzdpmyli	3kB	-	-	3dB+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	RGF	88.800	-	Vd3	-	-	-	-	-	-	Szyvxqaf	3uI	-	-	3hD+725	-	-
P	OFB	12.000	-	Rss3	-	-	-	-	-	-	Akxqcoww	3iG	-	-	3nY+450	-	-
Hmqafg	YTK	74.700	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
Y	OBL	447.800	-	Fhh	-	-	-	-	-	-	Obwhwsli	3iT	-	-	3xO+200	-	-