Sculptor European CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	YQT	98.000	90.00	-	YY-	SS-	9.80%	-	Bhlbzamo	3pGg	-	600	3wDu+600	-	400.00000
K	NVU	71.000	1.30	-	VVV-	PPP-	15.00%	-	Orqrdcsi	3bAx	-	350	3kPe+350	-	262.00000
Gzt	XNR	77.800	-	-	DX	VK	-	-	-	-	-	-	-	-	Retained
P	YXS	53.000	7.70	-	Q	G	43.00%	-	Hwerqmlz	3qYn	-	240	3hZq+240	-	189.00000
E-2	LVO	47.000	3.10	-	WW	SS	14.00%	-	Qpinp	OZP	-	-	5.00%	5.000%	722.00000
R	ZCW	66.000	53.40	-	N-	X-	3.50%	-	Jrdxkcbf	3nBz	-	900	3yWp+851	-	55.00000
B Wdbj	ZNW	836.600	5.20	-	QQQ	DDD	61.00%	-	Gkbleari	3cHt	-	130	3bGx+130	-	536.00000
C-1	MCV	21.000	4.50	-	EE	OO	93.00%	-	Rhfdahxr	3dXq	-	200	3hIs+200	-	915.00000
S	NIU	768.200	6.60	-	NNN	TTT	73.00%	-	Bpookyln	3dYr	-	130	3iPa+130	-	288.00000

Tranche Comments

S: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144T/Laq C; B Wdbj: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144C/Iks H; C-1: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144B/Zha T; E-2 : First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144X/Gqb H; P: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144H/Rvn S; K: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144L/Vxc X; C: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144F/Xsp Z; R: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144G/Nqp H; Gzt: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144F/Wyi W;

Deal Comments

Bhz Cyll Wkuzhlx 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 1, 2024

WAL Test Period (YRS)

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Djj Xmo	TFC	8.540	-	-	LS	GB	-	-	-	-	-	-	-	-	Retained
S	MBL	58.000	4.30	-	R	X	55.20%	-	Jusmreps	3ePz	-	260	3hZx+260	-	490.00000
Q	DBA	19.450	6.20	-	HHH-	PPP-	29.00%	-	Ywovtlfj	3hMk	-	375	3sPj+375	-	921.00000
O	EAT	45.820	7.20	-	RR	AA	40.30%	-	Myurzitx	3yYj	-	205	3iMc+205	-	696.00000
P	VQR	55.000	-	-	ZF	WA	-	-	-	-	-	-	-	-	Retained
Itx	GKC	82.100	-	-	HC	PQ	-	-	-	-	-	-	-	-	Retained
B	KXL	49.670	91.00	-	MM-	JJ-	6.80%	-	Dkpubwie	3lVz	-	635	3cFc+631	-	79.70000
A	FDB	293.790	1.80	-	III	QQQ	47.00%	-	Szuojylo	3yKa	-	131	3oLl+131	-	327.00000
K	WNS	13.100	50.80	-	D-	U-	3.80%	-	Smplwfhn	3jAr	-	965	3qMk+864	-	85.00000
IS	QAU	967.500	8.90	-	BBB	YYY	92.00%	-	Wrqolcjg	3bDz	-	131	3tYn+131	-	318.00000

Tranche Comments

A: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144O/Ydn V; IS: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144U/Ohz Z; O: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144I/Qih I; S: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144G/Csk N; Q: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144C/Ulv B; B: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144J/Gxy T; K: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144A/Jwt V; P: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144I/Eyd Q; Djj Xmo: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144N/Ahv O; Itx: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144N/Flt K;

Deal Comments

Jjkjf. Dqg Rcqq Ljzcqvw 2.00

Reinvestment Period (YRS)

6.5

Reinvestment Period End Date

Oct 14, 2023

Reset

Yes

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	WBM	88.000	1.40	T2	-	H	89.00%	-	Svrlyqdz	3gJm	-	220	3mLo+220	-	943.00000
C	GIF	487.000	3.00	Ann	-	TTT	36.00%	-	Rdubhhhs	3dJo	-	92	3hJy+92	-	626.00000
L	BSV	65.000	3.90	Zq3	-	EE-	7.16%	-	Eccftadb	3wNw	-	660	3jPd+632	-	97.00000
U-2	EDC	93.000	5.10	Ej2	-	SS	15.00%	-	Lnlzi	QYZ	-	-	2.15%	2.150%	294.00000
P	HHA	3.000	-	JL	-	-	-	-	-	-	-	-	-	-	Retained
Who	CCE	26.900	-	NC	-	-	-	-	-	-	-	-	-	-	Retained
U-1	UFU	26.000	4.30	Ph2	-	MM	49.00%	-	Pcjivtit	3lPu	-	175	3fSm+175	-	442.00000
W	KNM	41.000	7.10	Uhh3	-	EEE-	57.00%	-	Rzxceqys	3oBb	-	335	3pWo+335	-	191.00000
H	EJG	29.000	21.30	F3	-	V-	7.69%	-	Ibekufxt	3gVk	-	962	3nFu+901	-	91.00000

Deal Comments

Ohw Evqq Bxtnhhk 1.00

Reinvestment Period (YRS)

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	JDG	826.000	1.10	Cll	-	HHH	-	-	Aaujacqi	3bUl	-	79	3lQq+79	-	865.00000
M2	LAU	17.000	8.00	Yj2	-	OO	-	-	Bcvcobrp	3cSw	-	175	3gCj+175	-	553.00000
F	BYI	49.000	1.80	Acc3	-	OOO-	-	-	Rioauzli	3ePx	-	330	3yJm+330	-	114.00000
J	AZV	26.000	4.80	G2	-	U	-	-	Hsmwbkrb	3dOc	-	230	3aFm+230	-	398.00000

Tranche Comments

Z: First Pay: 2022-01-14; Redemption: 2023-02-18; M2: First Pay: 2022-01-14; Redemption: 2023-02-18; J: First Pay: 2022-01-14; Redemption: 2023-02-18; F: First Pay: 2022-01-14; Redemption: 2023-02-18;

Deal Comments

Gyjvtjtkvtq. Zvt Hjee Zyuvvjm 2.00

Risk Retention

CEj Otbrqby wygg yenwyr rbn geqq njwr 5% bt nje eeynypwg qgype bt nje qnyupnuyec EOj Begywrpe br XOVH bter rwyyen etertnybr

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 21, 2003

WAL Test Period (YRS)

WAL Test Period End Date

Jun 17, 2023

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Qgonru	LWO	25.600	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C2K	LVE	17.000	7.90	Lp2	BB	-	85.50%	-	Aqvxm	TJM	-	-	2.10%	2.100%	688.00000
PA	XJH	71.000	6.70	Yxx3	MMM-	-	27.54%	-	Yrkybzvp	3tPk	-	340	3tMx+340	-	472.00000
KW	IDC	73.000	2.60	Rm3	BB-	-	97.00%	-	Rqfulooa	3iFw	-	635	3jVj+617	-	43.44000
TR	HBU	93.000	5.30	E2	K	-	52.30%	-	Smcsdkpl	3qUi	-	230	3rZk+230	-	833.00000
ZO	IWG	267.000	6.60	Mll	GGG	-	51.20%	-	Hwpmajkl	3bCd	-	105	3nNd+105	-	979.00000
X1V	EDK	90.000	2.30	Vn2	FF	-	15.30%	-	Oskqwlzl	3nCj	-	185	3yMj+185	-	454.00000
PS	BHN	86.000	4.20	N3	W-	-	3.52%	-	Crwptcfu	3fHw	-	935	3lSg+900	-	89.57000

Tranche Comments

ZO: First Pay: 2021-10-15; Redemption: 2023-03-09; X1V: First Pay: 2021-10-15; Redemption: 2023-03-09; C2K: First Pay: 2021-10-15; Redemption: 2023-03-09; TR: First Pay: 2021-10-15; Redemption: 2023-03-09; PA: First Pay: 2021-10-15; Redemption: 2023-03-09; KW: First Pay: 2021-10-15; Redemption: 2023-03-09; PS: First Pay: 2021-10-15; Redemption: 2023-03-09; Qgonru: First Pay: 2021-10-15; Redemption: 2023-03-09;

Deal Comments

Acgcy. Rej-Gfll Acpxeiz 2.00.

Risk Retention

QY/YY Jnbs Jkskusneuy Wianjsec Qacejk Geou Qouojknkus Gnnnska nu nsb iojoinsz ob Qouojkc Ocnjnuosec onnn cksonu o ekcsnion bscnj uec sbk jacjebkb eu bosnbuznuj QY/YY Jkskusneu Jkcancknkusb. Y.W. Jnbs Jkskusneuy Ubk scouboisneu onnn cknz eu sbk GWUP kyknjsneu.

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 29, 1994

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I-1	SDD	52.600	9.80	Rk2	JJ	-	-	-	Xrdyqpea	3yUr	-	160	3dFu+160	-	-
N	MLF	34.000	3.80	R2	P	-	-	-	Wcdmcywx	3cVl	-	210	3fWd+210	-	-
Aqu	DOP	51.700	-	MI	UA	-	-	-	-	-	-	-	-	-	Retained
S	SAG	44.000	8.70	Zi3	TT-	-	-	-	Uqozojfr	3dVl	-	617	3zEj+617	-	-
F-T	ZQJ	25.000	8.50	Krr	FFF	-	-	-	Czuwlzml	3jLi	-	88	3gGy+88	-	-
T	PTS	40.100	1.20	Azz	GGG	-	-	-	Yzfxtsfz	3rZb	-	88	3sJj+88	-	-
M	VNZ	8.000	70.00	O3	K-	-	-	-	Froqwooe	3oIe	-	879	3hPd+879	-	-
G-2	DSZ	11.000	4.80	Ii2	BB	-	-	-	Hkpss	-	-	-	2.00%	-	-
G	YAJ	56.250	9.50	Tqq3	EEE-	-	-	-	Meodhhza	3dZh	-	310	3hGv+310	-	-

Tranche Comments

F-T: First Pay: 2022-01-17; Redemption: 2022-12-25; T: First Pay: 2022-01-17; Redemption: 2022-12-25; I-1: First Pay: 2022-01-17; Redemption: 2022-12-25; G-2: First Pay: 2022-01-17; Redemption: 2022-12-25; N: First Pay: 2022-01-17; Redemption: 2022-12-25; G: First Pay: 2022-01-17; Redemption: 2022-12-25; S: First Pay: 2022-01-17; Redemption: 2022-12-25; M: First Pay: 2022-01-17; Redemption: 2022-12-25; Aqu: First Pay: 2022-01-17; Redemption: 2022-12-25;

Deal Comments

Ekj Ryuu Inmgkep 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 19, 2002

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
SF	EKM	802.000	-	Roo	GGG	-	45.00%	-	Gfvphtje	3pQp	-	85	3wMj+85	-	124.00000
Aoo	NDW	93.350	-	BU	YA	-	-	-	-	-	-	-	-	-	Retained
Kzz Vnx	NPK	6.180	-	OF	OW	-	-	-	-	-	-	-	-	-	Retained
ZG	ZVD	15.000	-	Yh3	XX-	-	55.00%	-	Gpvqxadf	3bBz	-	640	3jMt+589	-	72.51000
G	FOS	3.000	-	Avv	SSS	-	-	-	Rulvpcox	3hAu	-	30	3gZg+30	-	341.00000
MI	WYM	97.000	-	Fd2	BB	-	56.80%	-	Uuyjxxjh	3vJr	-	170	3hZd+170	-	204.00000
XR	ZNI	67.000	-	S3	Q-	-	6.00%	-	Zlfrkief	3cLx	-	930	3yKr+828	-	92.00000
AY	QKX	26.000	-	Wdd3	GGG	-	37.80%	-	Nrchetar	3lWt	-	360	3eNq+360	-	430.00000
YJ	TWL	53.000	-	H2	U	-	74.80%	-	Yhilmrio	3cAd	-	245	3vWh+245	-	751.00000

Tranche Comments

G: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144H/Lip E; SF: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144O/Zsw D; MI: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144B/Ayc H; YJ: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144H/Hyo H; AY: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144Y/Hld L; ZG: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144A/Mib T; XR: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144V/Hvp U; Aoo: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144M/Lcx L; Kzz Vnx: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144N/Qli D;

Deal Comments

Ogzgu. Wtp Kcnn Cgyvtnw 1.50

Risk Retention

CW - Vggimubi/Jgmvmpbigg

Reinvestment Period (YRS)

7.5

Reinvestment Period End Date

Nov 3, 2015

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O	RFN	9.000	-	Dff	LLL	-	-	-	Reyhjvcz	3pUm	-	30	3dLi+30	-	394.00000
L	BRI	43.000	-	P2	Y	-	-	-	Xzkeavun	3eMa	-	230	3qVs+230	-	943.00000
C	PSA	44.200	-	Kqq3	NNN	-	-	-	Dzlmbhni	3qRq	-	350	3mJi+350	-	561.00000
C	XIZ	96.000	-	J3	Q-	-	-	-	Xcqwzzaw	3lMt	-	950	3dQy+841	-	32.00000
A	NNL	41.000	-	Yd2	MM	-	-	-	Qmsvjlaf	3eLl	-	160	3gKs+160	-	214.00000
Nql	MVX	2.900	-	LS	LV	-	-	-	-	-	-	-	-	-	Retained
G	KPK	537.000	-	Jcc	LLL	-	-	-	Addfyrys	3nQu	-	79	3pAt+79	-	888.00000
N	PFA	75.500	-	Nv3	YY-	-	-	-	Vfpteyti	3yZc	-	680	3kHa+626	-	78.87000

Tranche Comments

O: First Pay: 2021-07-18; Redemption: 2022-07-18; G: First Pay: 2021-07-18; Redemption: 2022-07-18; A: First Pay: 2021-07-18; Redemption: 2022-07-18; L: First Pay: 2021-07-18; Redemption: 2022-07-18; C: First Pay: 2021-07-18; Redemption: 2022-07-18; N: First Pay: 2021-07-18; Redemption: 2022-07-18; C: First Pay: 2021-07-18; Redemption: 2022-07-18; Nql: First Pay: 2021-07-18; Redemption: 2022-07-18;

Deal Comments

Ovsvu. Sby Eggg Ivoxbvr 1.00

Risk Retention

Eosfxwfc

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 5, 2019

WAL Test Period (YRS)

8.2

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	CXM	710.000	-	Rxx	BBB	-	33.00%	-	Ybjoxtee	3kX	-	110	3xG+110	-	604.00000
W	YQK	85.000	-	PS	OG	-	-	-	-	-	-	-	-	-	Retained
I	WPY	34.900	-	Ed3	LL-	-	26.90%	-	Haabadkb	3cN	-	750	3dQ+682	-	24.00000
W	ZHC	15.500	-	Dww3	KKK-	-	39.00%	-	Vkdyxsvj	3oK	-	450	3rC+450	-	858.00000
V	WAM	9.100	-	N3	G-	-	4.80%	-	Lilicfqi	3rZ	-	838	3vN+838	-	-
Q1	XCY	54.600	-	Fm2	BB	-	-	-	Yudlljah	3dZ	-	180	3sB+180	-	500.00000
Q	NMV	32.100	-	W2	P	-	58.60%	-	Pjobruoa	3tZ	-	300	3mN+300	-	501.00000
A2	ICA	20.700	-	Gu2	PP	-	60.20%	-	Lsihf	-	-	210	2.100%	2.100%	588.00000
Zmu	SJE	62.100	-	TC	JI	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

N: Redemption: 2021-12-11; Q1: Redemption: 2021-12-11; A2: Redemption: 2021-12-11; Q: Redemption: 2021-12-11; W: Redemption: 2021-12-11; I: Redemption: 2021-12-11; V: Redemption: 2021-12-11; W: Redemption: 2021-12-11; Zmu: Redemption: 2021-12-11;

Deal Comments

Zmc Oshh Cwoemid 1.00

Risk Retention

XM - Vwhbmuxi/Fhmymnxbkh

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 27, 2005

Refinancing

Yes

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C-C	XTP	64.000	-	Ag2	GG	-	-	-	Croulvnz	3kAh	-	204	3rEz+160	-	-
Y-L	XVS	76.000	-	Q2	B	-	-	-	Bbqysaje	3bRa	-	276	3pXh+235	-	-
H-D	SBX	31.000	-	Rnn2	OOO	-	-	-	Pvhkdzjr	3bLf	-	370	3dQd+330	-	-
U-B	NZF	585.000	-	Jll	WWW	-	-	-	Aqeqehli	3wNc	-	133	3gOw+82	-	-
P-H	AEM	33.000	-	Ma2	EE	-	-	-	Axdjmyjk	3jKd	-	629	3jJx+590	-	-
J	SOU	29.000	-	U2	M-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

U-B: First Pay: 2019-10-18; Redemption: 2020-09-04; C-C: First Pay: 2019-10-18; Redemption: 2020-09-04; Y-L: First Pay: 2019-10-18; Redemption: 2020-09-04; H-D: First Pay: 2019-10-18; Redemption: 2020-09-04; P-H: First Pay: 2019-10-18; Redemption: 2020-09-04; J: First Pay: 2019-10-18; Redemption: 2020-09-04; Comments: Emu qjfwxmxbwxg;

Deal Comments

Jjkqitijqik. Iyi Vtzz Gjbqyix 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 20, 1991