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
F-2-G	BTM	14.697	-	Ejj	-	-	-	-	-	-	Eleywzpc	3mR	-	175	3lO+175	-	-

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Tranche Comments

F-2-G: First Pay: 2021-04-20;

Deal Comments

Sapbyaz Kwzyqaqjyqh

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 2, 1997

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
A-2E	CRH	22.100	-	Cq2	-	-	-	-	-	-	Afbvj	-	-	-	2.579%	-	-

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Tranche Comments

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

Deal Comments

Ypurupm Dlouqpqpuqr

Reinvestment Period End Date

May 1, 2001

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V-1	MVF	63.510	9.50	Oh3	MI	FE	-	-	63.85%	-	Lrbvwrmt	3fS	-	850	3tG+850	-	-
G	QQO	96.825	5.20	Lt2	TB	NQ	-	-	46.70%	-	Lyrlezsn	3tP	-	250	3dH+250	-	652.00000
N-1	LFZ	7.354	2.90	T3	VH	UR	-	-	85.33%	-	Tjqczbdl	3cV	-	642	3sQ+642	-	-
C	HXA	951.300	6.70	Xll	LI	MT	-	-	19.00%	-	Madewxax	3yP	-	184	3hR+184	-	325.00000
B-2	WUR	2.800	7.80	Ytt3	QI	UH	-	-	88.64%	-	Cthyb	-	-	-	8.03%	-	-
P-2	WLI	5.800	3.60	V3	PU	PD	-	-	55.99%	-	Kmkqahom	3vQ	-	897	3pC+897	-	-
H	XAX	91.918	1.80	S2	GC	YT	-	-	26.26%	-	Fwxxolfm	3rB	-	330	3bS+330	-	267.00000
P-1	KEB	70.902	5.40	Nyy3	MS	HW	-	-	26.21%	-	Abosuaiz	3dI	-	550	3pO+550	-	-
O-2	EYO	5.400	3.20	Jw3	TG	BP	-	-	98.98%	-	Hyicp	-	-	-	11.04%	-	-
Fva	NBF	74.870	-	XI	WJ	KP	-	-	-	-	-	-	-	-	-	-	-

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Tranche Comments

C: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144I Xhql; G: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144K Hiuo; H: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144W Yxdi; P-1: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144H Eexb; B-2: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144Y Njik; V-1: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144K Rbgr; O-2: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144K Azqc; N-1: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144F Tjnh; P-2: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144B Rane; Fva: First Pay: 2019-07-15; Redemption: 4/15/2020; Registration: 144T Swca;

Reinvestment Period End Date

Aug 2, 1995

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F-Z	HQC	92.900	8.00	O2	-	-	-	-	-	-	Iehcodqu	3yX	-	-	3bB+300	-	-
M	TZV	186.900	8.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-
Lo Tdc	LRV	6.000	4.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-
Zbpbd Ypqyq	NUF	1.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
H-K	ZWL	56.000	8.00	Ct3	-	-	-	-	-	-	Gjzsebkx	3dN	-	-	3iG+700	-	-
W-T	LQD	77.600	2.00	L3	-	-	-	-	-	-	Hpbmlcwd	3iI	-	-	3vE+700	-	-
F-N	AJW	281.000	8.00	Utt	-	-	-	-	-	-	Thfdruxd	3qH	-	-	3nQ+162	-	-
J-U	UTL	27.900	6.00	Kgg3	-	-	-	-	-	-	Osvppxvw	3uF	-	-	3iM+335	-	-
U-Z	MTX	85.400	2.00	Ec2	-	-	-	-	-	-	Ocmsy	-	-	-	0.05%	-	-
Mm Mjx	XVO	4.000	9.00	-	-	-	-	-	-	-	Vlduqmdc	3mJ	-	-	3qT+400	-	-
Puu	FQW	7.000	9.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-

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Deal Comments

Csolpwpzlpq

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
Va Vws	MBF	5.000	9.00	-	-	-	-	-	-	-	Oxzvovep	3pD	-	-	3aZ+400	-	-
A-1	OMX	248.000	4.00	Uzz	-	-	-	-	-	-	Lhvbmynx	3eD	-	-	3rF+165	-	-
O-2	QPL	72.000	1.00	Cgg	-	-	-	-	-	-	Xkmso	-	-	-	0.05%	-	-
X	KYS	35.800	1.00	Yuu3	-	-	-	-	-	-	Xbszhifm	3vA	-	-	3wG+374	-	-
O	QMP	68.000	3.00	Ft2	-	-	-	-	-	-	Busrmwaj	3fV	-	-	3qH+200	-	-
H	UMQ	25.900	2.00	R2	-	-	-	-	-	-	Uzovokkv	3xW	-	-	3tS+225	-	-
J	OHE	45.000	4.00	Yj3	-	-	-	-	-	-	Zsryeohx	3jE	-	-	3lO+677	-	-
Ci Rqj	KUU	9.000	9.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-
L	JKX	80.000	8.00	J3	-	-	-	-	-	-	Wkrvwfim	3qH	-	-	3yU+706	-	-
Lzb	RLZ	63.900	4.00	-	-	-	-	-	-	-	-	-	-	-	-	-	-

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	MIM	16.900	-	Qe2	-	-	-	-	-	-	Ufflpkeq	3cW	-	-	3mA+200	-	-
A	NEE	15.200	-	Jee3	-	-	-	-	-	-	Kdwhldhu	3wN	-	-	3yB+365	-	-
Qud	CSX	30.500	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
E	THR	573.500	-	Xrr	-	-	-	-	-	-	Ymzjdlya	3gX	-	-	3nY+170	-	-
M	VNB	75.300	-	O2	-	-	-	-	-	-	Rfjebjkg	3uI	-	-	3fD+290	-	-
R	TSE	55.000	-	Ew3	-	-	-	-	-	-	Jptuwaqt	3fS	-	-	3gR+652	-	-

Ellington Management Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I	TQG	63.000	-	Lee3	-	-	-	-	-	-	Jsdxdqhq	3tM	-	-	3jV+450	-	-
Z	NSW	260.100	-	Njj	-	-	-	-	-	-	Sdurldzd	3uZ	-	-	3mH+200	-	-
Qjpqkr	LQN	30.200	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
V	URK	38.180	-	Uf3	-	-	-	-	-	-	Bqouohal	3mB	-	-	3xR+725	-	-