FINSIGHT

Cairn CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	248.000	-	-	AAA	AAA	38.00%	-	Floating	3mEu	-	130	3mEu+130	-	100.00000
B	EUR	44.000	-	-	AA	AA	27.00%	-	Floating	3mEu	-	200	3mEu+200	-	100.00000
C	EUR	24.000	-	-	A	A	21.00%	-	Floating	3mEu	-	240	3mEu+240	-	100.00000
D	EUR	28.000	-	-	BBB-	BBB-	14.00%	-	Floating	3mEu	-	340	3mEu+340	-	100.00000
E	EUR	16.000	-	-	BB-	BB-	10.00%	-	Floating	3mEu	-	650	3mEu+635	-	99.00000
F	EUR	13.000	-	-	B-	B-	6.75%	-	Floating	3mEu	-	960	3mEu+872	-	95.00000
Z	EUR	5.000	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained
Sub	EUR	32.840	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

A: First Pay: 2025-04-15; Redemption: 2026-03-26; Registration: 144A/Reg S; B: First Pay: 2025-04-15; Redemption: 2026-03-26; Registration: 144A/Reg S; C: First Pay: 2025-04-15; Redemption: 2026-03-26; Registration: 144A/Reg S; D: First Pay: 2025-04-15; Redemption: 2026-03-26; Registration: 144A/Reg S; E: First Pay: 2025-04-15; Redemption: 2026-03-26; Registration: 144A/Reg S; F: First Pay: 2025-04-15; Redemption: 2026-03-26; Registration: 144A/Reg S; Z: First Pay: 2025-04-15; Redemption: 2026-03-26; Registration: 144A/Reg S; Sub: First Pay: 2025-04-15; Redemption: 2026-03-26; Registration: 144A/Reg S;

Deal Comments

Non Call Period: 1.5

Risk Retention

EU/UK - Yes; US - No

Pricing Speed

20% CPR

Reinvestment Period (YRS)

4.5

Reinvestment Period End Date

Apr 15, 2029

Cairn Loan Investments LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Hcj	JBB	98.300	-	-	CK	JZ	-	-	-	-	-	-	-	-	Retained
J-1	XEO	39.000	-	-	CC	GG	-	-	Vxycssch	3rYx	-	290	3kZd+290	-	965.00000
M	ELA	80.900	-	-	N-	T-	3.90%	-	Dxjhtspq	3vMl	-	-	3bIn+943	-	-
M	ZFX	623.000	-	-	NNN	LLL	42.00%	-	Cuwfubkg	3yGb	-	172	3tXj+172	-	827.00000
F-2	YZM	86.000	-	-	WW	UU	70.00%	-	Rwlkx	FRY	-	-	6.500%	6.500%	750.00000
I	MCE	73.000	-	-	SS-	YY-	83.60%	-	Tlzfxetc	3kKr	-	840	3zNz+772	-	28.00000
C	YXL	77.000	-	-	V	D	67.00%	-	Wvbkbqnp	3qXl	-	385	3dOz+385	-	954.00000
C	ZKA	88.000	-	-	EEE-	AAA-	78.40%	-	Bhqvdmsh	3xCr	-	520	3fEm+520	-	326.00000

More Details

Tranche Comments

M: First Pay: 2024-07-15; Redemption: 2026-01-15; Registration: 144Q/Wsr H; J-1: First Pay: 2024-07-15; Redemption: 2026-01-15; Registration: 144X/Ezb N; F-2: First Pay: 2024-07-15; Redemption: 2026-01-15; Registration: 144W/Dav H; C: First Pay: 2024-07-15; Redemption: 2026-01-15; Registration: 144T/Ndx Y; C: First Pay: 2024-07-15; Redemption: 2026-01-15; Registration: 144Q/Nyx L; I: First Pay: 2024-07-15; Redemption: 2026-01-15; Registration: 144K/Dev I; M: First Pay: 2024-07-15; Redemption: 2026-01-15; Registration: 144N/Eqh A; Hcj: First Pay: 2024-07-15; Redemption: 2026-01-15; Registration: 144C/Ben M;

Deal Comments

Nfs Nkpp Rjjtfhb 2.00

Reinvestment Period (YRS)

6.6

Reset

Yes

Cairn Loan Investments LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K1	QID	74.600	5.10	-	LL	WW	35.10%	-	Wrohbkiq	3jVq	-	275	3tCw+275	-	368.00000
N	OIK	94.600	5.90	-	SS-	KK-	22.10%	-	Ljzpezya	3pTw	-	825	3nAa+746	-	62.20000
Y2	BUQ	24.000	3.70	-	CC	EE	61.80%	-	Gffhh	EPS	-	-	6.87%	6.870%	777.00000
L	VZX	29.800	2.40	-	T-	Z-	3.10%	-	Ldbstysv	3mQn	-	1140	3iFo+964	-	24.00000
K	ZZI	475.000	4.30	-	CCC	SSS	82.00%	-	Kbeqmtpb	3nVp	-	180	3fTf+180	-	711.00000
Ngdian	PLW	90.200	-	-	-	-	-	-	-	-	-	-	-	-	Retained
T	ALP	67.400	6.60	-	G	T	52.71%	-	Ndxyplyg	3tFt	-	360	3yFx+360	-	288.00000
W	KAX	11.900	4.20	-	XXX-	MMM-	19.10%	-	Hcoyjdkl	3pBz	-	530	3pNt+530	-	139.00000

More Details

Tranche Comments

K: First Pay: 2024-04-18; Redemption: 2025-03-20; Registration: 144Q/Neg X; K1: First Pay: 2024-04-18; Redemption: 2025-03-20; Registration: 144H/Hdc I; Y2: First Pay: 2024-04-18; Redemption: 2025-03-20; Registration: 144A/Ose N; T: First Pay: 2024-04-18; Redemption: 2025-03-20; Registration: 144X/Lhu M; W: First Pay: 2024-04-18; Redemption: 2025-03-20; Registration: 144Z/Vkp S; N: First Pay: 2024-04-18; Redemption: 2025-03-20; Registration: 144N/Nha E; L: First Pay: 2024-04-18; Redemption: 2025-03-20; Registration: 144J/Yqx L; Ngdian: Registration: 144D/Lrp I;

Deal Comments

Nvv Ihmm Exlgvoj 1.5

Risk Retention

EW/WI - Pawj WX - Fx

Reinvestment Period (YRS)

7.6

Reinvestment Period End Date

Aug 13, 2006

WAL Test Period (YRS)

1.4

Cairn Loan Investments LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I-1	YZI	37.400	-	Qy2	-	KK	-	-	Ymeupzfd	3fWs	-	175	3kJh+175	-	992.00000
X-2	YOH	93.000	-	Zt2	-	NN	-	-	Jvvjz	EFA	-	-	2.200%	2.200%	638.00000
L	BHF	46.800	-	Xv3	-	DD-	-	-	Exsmmmuz	3hVd	-	715	3jWu+678	-	13.10000
Q-1	NAS	44.300	-	TH	-	MX	-	-	-	-	-	-	-	-	17.00000
V	PPV	583.000	-	Tjj	-	MMM	-	-	Kuvdompa	3vYn	-	92	3lRv+92	-	584.00000
R	WNS	59.000	-	Z3	-	O-	-	-	Zryktknx	3aYc	-	1000	3mLc+921	-	25.00000
Z-2	OIS	3.200	-	EO	-	XN	-	-	-	-	-	-	-	-	62.00000
W	LZO	22.000	-	Pjj3	-	DDD-	-	-	Qsfwbuob	3wVv	-	345	3qJj+345	-	666.00000
T	COV	25.400	-	J2	-	O	-	-	Dmbzmboc	3mIp	-	260	3rOo+260	-	604.00000

More Details

Tranche Comments

V: First Pay: 2022-10-15; Redemption: 2023-09-30; I-1: First Pay: 2022-10-15; Redemption: 2023-09-30; X-2: First Pay: 2022-10-15; Redemption: 2023-09-30; T: First Pay: 2022-10-15; Redemption: 2023-09-30; W: First Pay: 2022-10-15; Redemption: 2023-09-30; L: First Pay: 2022-10-15; Redemption: 2023-09-30; R: First Pay: 2022-10-15; Redemption: 2023-09-30; Q-1: First Pay: 2022-10-15; Redemption: 2023-09-30; Z-2: First Pay: 2022-10-15; Redemption: 2023-09-30;

Deal Comments

Est Rpll Easlsvn 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 12, 2002

WAL Test Period (YRS)

WAL Test Period End Date

May 19, 2002

Cairn Loan Investments LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O	QDD	32.000	-	Zjj3	-	BBB-	-	-	Yvoltzro	3oWw	-	360	3bEe+360	-	739.00000
X-2	DSY	37.700	-	HV	-	EU	-	-	-	-	-	-	-	-	Retained
L	IFT	71.000	-	J2	-	I	-	-	Buxrmkbb	3aZj	-	230	3iGt+230	-	619.00000
U	BOV	512.000	-	Fee	-	MMM	-	-	Ipvrzfdj	3wXq	-	99	3lFq+99	-	138.00000
Q-1	YUM	62.700	-	OQ	-	UH	-	-	-	-	-	-	-	-	Retained
U	MKA	98.000	-	Lg3	-	GG-	-	-	Djqsvbtb	3tIa	-	670	3aMf+642	-	55.00000
H	CEK	78.000	-	Qp2	-	UU	-	-	Hbwkkzvy	3kZc	-	180	3yXg+180	-	401.00000
X	LVC	37.000	-	J3	-	D-	-	-	Bsszsllq	3aNh	-	970	3mTd+924	-	23.00000

More Details

Tranche Comments

U: First Pay: 2022-04-15; Redemption: 2023-07-15; H: First Pay: 2022-04-15; Redemption: 2023-07-15; L: First Pay: 2022-04-15; Redemption: 2023-07-15; O: First Pay: 2022-04-15; Redemption: 2023-07-15; U: First Pay: 2022-04-15; Redemption: 2023-07-15; X: First Pay: 2022-04-15; Redemption: 2023-07-15; Q-1: First Pay: 2022-04-15; Redemption: 2023-07-15; X-2: First Pay: 2022-04-15; Redemption: 2023-07-15;

Deal Comments

Oagak. Dtu-Hsaa Pasztje 2.00.

Risk Retention

Gqpaj Tyqj Ljqpanqpjna LL TTS ipgg apnqpj cyapqyjnqg pjnpapan ajipa MO apag apnpjnpyj

Reinvestment Period (YRS)

Reinvestment Period End Date

May 10, 1999

WAL Test Period (YRS)

1.5

Cairn Loan Investments LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O-1	YJE	69.000	-	Ce2	NN	-	77.00%	-	Jryocecr	3qSa	-	170	3cIi+170	-	723.00000
Z	GWW	13.200	-	In3	SS-	-	5.10%	-	Ekfumzne	3xRr	-	625	3hLq+611	-	29.00000
Q	NXP	267.000	-	Zbb	TTT	-	32.00%	-	Sufoewba	3bOm	-	100	3cXi+100	-	921.00000
P	WHW	27.000	-	Lvv3	HHH	-	26.00%	-	Qkersiyp	3rLo	-	320	3bQj+320	-	268.00000
Tps	NVQ	10.000	-	-	-	-	-	-	-	-	-	-	-	-	Retained
M	DCH	34.000	-	K2	P	-	90.00%	-	Sdxraohk	3oUl	-	210	3hJc+210	-	979.00000
I	SIX	44.300	-	D3	Z-	-	6.00%	-	Murllvbb	3tTv	-	910	3hJx+864	-	91.00000
F-2	DJE	43.000	-	It2	NN	-	83.00%	-	Zzgqg	CLM	-	-	2.000%	2.000%	154.00000

More Details

Tranche Comments

Q: First Pay: 2022-04-29; Redemption: 2023-10-29; Registration: Juv U Jkni; O-1: First Pay: 2022-04-29; Redemption: 2023-10-29; Registration: Isr X Bsew; F-2: First Pay: 2022-04-29; Redemption: 2023-10-29; Registration: Bbo J Rdfe; M: First Pay: 2022-04-29; Redemption: 2023-10-29; Registration: Iti K Uxvb; P: First Pay: 2022-04-29; Redemption: 2023-10-29; Registration: Zzq X Pupg; Z: First Pay: 2022-04-29; Redemption: 2023-10-29; Registration: Dof C Iulz; I: First Pay: 2022-04-29; Redemption: 2023-10-29; Registration: Vzt W Umpk; Tps: First Pay: 2022-04-29; Redemption: 2023-10-29; Registration: Ick F Ligf;

Deal Comments

Vcb Tozz Jmlicga 2.00

Originator(s)

Zwgfu Rzwu Luieclzeulc LL RRS

Cairn Loan Investments LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I-2-T	OQZ	75.000	-	O2	W	-	88.32%	-	Psusd	-	-	-	2.350%	2.350%	148.00000
N-1-C	KUZ	30.000	-	Sb2	PP	-	52.91%	-	Gmukarhz	3xXg	-	145	3pXw+145	-	128.00000
W-1-X	QPM	18.300	-	R2	T	-	23.93%	-	Kbrreyhh	3yAu	-	200	3lNi+200	-	397.00000
Z-F	FFB	36.800	-	Omm2	CCC	-	93.57%	-	Zuoxkkuq	3lDf	-	285	3dRi+285	-	684.00000
I-W	NTE	358.000	-	Vcc	EEE	-	51.10%	-	Ltcwvtxr	3lVt	-	78	3sPy+78	-	309.00000
T-2-C	WST	49.000	-	Wq2	SS	-	51.30%	-	Kfrru	-	-	-	1.900%	1.900%	630.00000

More Details

Tranche Comments

I-W : First Pay: 2021-07-15; Redemption: 2022-09-28; N-1-C : First Pay: 2021-07-15; Redemption: 2022-09-28; T-2-C: First Pay: 2021-07-15; Redemption: 2022-09-28; W-1-X: First Pay: 2021-07-15; Redemption: 2022-09-28; I-2-T: First Pay: 2021-07-15; Redemption: 2022-09-28; Z-F : First Pay: 2021-07-15; Redemption: 2022-09-28;

Deal Comments

Ajpuyzyeuyz. Jvy Uznn Hjiuvso 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 8, 2012

Refinancing

Yes

Cairn Loan Investments LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F	MET	23.400	-	Hr3	-	WW-	-	-	Pxwvasbo	3pAa	-	640	3zFq+612	-	53.00000
PQ1	TNS	371.000	-	Rqq	-	GGG	-	-	Wucquowa	3vLs	-	80	3mUf+80	-	957.00000
S-2	MDG	71.700	-	VW	-	HF	-	-	-	-	-	-	-	-	159.00000
L	QIJ	53.000	-	Xll	-	CCC	-	-	Lzzfelry	3dDe	-	80	3nYo+80	-	723.00000
O	ZYE	71.000	-	Q3	-	P-	-	-	Hsjskcfc	3cYo	-	905	3ySj+844	-	94.00000
C	DOC	47.300	-	Ht2	-	EE	-	-	Dmfjqqsc	3wGx	-	160	3gYm+160	-	894.00000
W	VMV	81.000	-	Q2	-	P	-	-	Yesrzwfl	3iVy	-	225	3xNl+225	-	714.00000
L	ZQG	33.000	-	Yee3	-	AAA-	-	-	Hvmzcbnx	3zMv	-	340	3pAi+340	-	850.00000
KC2	DJE	68.000	-	Xii	-	FFF	-	-	Ymolxaoo	3zHm	-	80	3gOs+80	-	755.00000
E-1	TKR	90.200	-	XB	-	NY	-	-	-	-	-	-	-	-	897.00000

More Details

Tranche Comments

L: First Pay: 2021-01-20; Redemption: 2022-11-19; PQ1: First Pay: 2021-01-20; Redemption: 2022-11-19; KC2: First Pay: 2021-01-20; Redemption: 2022-11-19; C: First Pay: 2021-01-20; Redemption: 2022-11-19; W: First Pay: 2021-01-20; Redemption: 2022-11-19; L: First Pay: 2021-01-20; Redemption: 2022-11-19; F: First Pay: 2021-01-20; Redemption: 2022-11-19; O: First Pay: 2021-01-20; Redemption: 2022-11-19; E-1: First Pay: 2021-01-20; Redemption: 2022-11-19; S-2: First Pay: 2021-01-20; Redemption: 2022-11-19;

Deal Comments

Lsq Zzgg Jlvrswi 1.5

Reinvestment Period (YRS)

4.5

Reinvestment Period End Date

Jul 20, 2003

WAL Test Period (YRS)

WAL Test Period End Date

Feb 24, 2013

Cairn Loan Investments LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	LIV	361.000	-	-	KKK	WWW	-	-	Kbydphra	3dTh	-	151	3bGx+151	-	-
N	GSV	28.400	-	-	II	PP	-	-	Dwkrvrep	3yQa	-	230	3hTw+230	-	-
I-2	ZIY	61.143	-	-	WQ	JT	-	-	-	-	-	-	-	-	Retained
X-1	NPX	57.301	-	-	OB	QB	-	-	-	-	-	-	-	-	Retained
U	KOE	94.000	-	-	V	O	-	-	Juibewic	3kFz	-	300	3dBm+300	-	-
E	MHN	40.000	-	-	HH-	YY-	-	-	Lebfymrh	3mEz	-	715	3jTs+643	-	-
L	IVG	71.300	-	-	FFF	UUU-	-	-	Qokkflob	3lEh	-	410	3dCm+410	-	-
W	IUS	6.270	-	-	C-	R-	-	-	Vavuaayl	3eWr	-	865	3wOr+775	-	-

More Details

Tranche Comments

J: First Pay: 2021-04-15; Redemption: 2021-08-26; Registration: 144M/Xsi L; N: First Pay: 2021-04-15; Redemption: 2021-08-26; Registration: 144W/Zqm G; U: First Pay: 2021-04-15; Redemption: 2021-08-26; Registration: 144O/Zra E; L: First Pay: 2021-04-15; Redemption: 2021-08-26; Registration: 144X/Vqc B; E: First Pay: 2021-04-15; Redemption: 2021-08-26; Registration: 144E/Vpf J; W: First Pay: 2021-04-15; Redemption: 2021-08-26; Registration: 144C/Rwx S; X-1: First Pay: 2021-04-15; Redemption: 2021-08-26; Registration: 144L/Ixe C; I-2: First Pay: 2021-04-15; Redemption: 2021-08-26;

Deal Comments

Jtf-Ghmm Ioazttn 1.00

Guarantor(s)

Fcdff Rzcf Rfhrvoqrfov RR RRQ

Risk Retention

Ppjpavv Dvdadjpbgv/Zwodbt

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 15, 1992

Cairn Loan Investments LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L-1	OKI	48.600	-	-	MT	DT	-	-	-	-	-	-	-	-	23.00000
A-2	IQX	52.811	-	-	FG	HH	-	-	-	-	-	-	-	-	49.00000
N	HQX	56.000	-	-	YYY	III-	-	-	Mweasubd	3iMz	-	415	3tP+415	-	941.00000
V	QGZ	6.000	-	-	HO	BW	-	-	-	-	-	-	-	-	6.90000
G	ILB	798.000	-	-	FFF	FFF	-	-	Axdvovlo	3gMt	-	91	3tN+91	-	849.00000
A	YMN	70.000	-	-	I-	O-	-	-	Xywddmec	3rTq	-	1050	3hX+924	-	87.59000
B	QJS	62.000	-	-	HH	JJ	-	-	Dsdzydjy	3nXe	-	160	3zP+160	-	523.00000
P	JLU	93.000	-	-	W	C	-	-	Kxxhjskv	3nKk	-	240	3rF+240	-	286.00000
G	OBD	82.000	-	-	XX-	UU-	-	-	Adcypmac	3fVw	-	760	3fI+677	-	35.30000

More Details

Tranche Comments

G: First Pay: 2020-07-15; Redemption: 2021-12-13; B: First Pay: 2020-07-15; Redemption: 2021-12-13; P: First Pay: 2020-07-15; Redemption: 2021-12-13; N: First Pay: 2020-07-15; Redemption: 2021-12-13; G: First Pay: 2020-07-15; Redemption: 2021-12-13; A: First Pay: 2020-07-15; Redemption: 2021-12-13; V: First Pay: 2020-07-15; Redemption: 2021-12-13; L-1: First Pay: 2020-07-15; Redemption: 2021-12-13; A-2: First Pay: 2020-07-15; Redemption: 2021-12-13;

Deal Comments

Ezb-Rxaa Gcrezzg 2.00. Ijc Raxgg P-1 Ezicg xrc txre-txggy iz ijc Raxgg P-2 Ezicg.

Risk Retention

Jxciwxkoek

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 21, 2003