Sculptor European CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	XQS	70.000	5.40	-	E	W	54.00%	-	Npwlbuzi	3vUn	-	240	3wMz+240	-	651.00000
L-2	KGR	68.000	2.20	-	KK	JJ	52.00%	-	Gbigq	JED	-	-	5.00%	5.000%	633.00000
K Huvu	FOI	185.300	2.60	-	QQQ	JJJ	72.00%	-	Chpmxwqc	3yAb	-	130	3bPy+130	-	162.00000
A	XJC	32.000	95.70	-	T-	M-	1.50%	-	Eryamenq	3qQg	-	900	3jEx+851	-	18.00000
Unl	MSY	43.900	-	-	LX	OG	-	-	-	-	-	-	-	-	Retained
Z	AGU	87.000	30.00	-	BB-	UU-	6.40%	-	Mdvwpiyh	3zAf	-	600	3iOi+600	-	220.00000
O	FAR	182.200	8.30	-	TTT	UUU	77.00%	-	Iuudkint	3gDj	-	130	3nWg+130	-	639.00000
N-1	EUY	92.000	4.60	-	KK	MM	67.00%	-	Cmekjovs	3jZn	-	200	3iEl+200	-	143.00000
P	WFY	37.000	2.10	-	EEE-	QQQ-	51.00%	-	Kekvfhxm	3rIs	-	350	3nRq+350	-	460.00000

Tranche Comments

O: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144U/Jtj J; K Huvu: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144G/Mad D; N-1: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144L/Vhm M; L-2 : First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144D/Xhu U; Y: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144D/Wht I; P: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144Q/Edd M; Z: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144O/Ldq J; A: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144W/Mar W; Unl: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144Z/Akc J;

Deal Comments

Dfb Kghh Ewatfgv 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 3, 2004

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
Y	WLX	11.200	33.70	-	X-	W-	6.50%	-	Lecryhso	3jCc	-	965	3zQu+864	-	46.00000
G	BXZ	727.220	2.50	-	SSS	FFF	21.00%	-	Yzlocobs	3rTd	-	131	3rSa+131	-	839.00000
OI	TGQ	709.900	1.90	-	ZZZ	SSS	12.00%	-	Dbqhhizh	3bMr	-	131	3cHz+131	-	188.00000
Byy Eqq	JYO	9.660	-	-	XG	AZ	-	-	-	-	-	-	-	-	Retained
M	EOG	90.910	8.70	-	II	UU	13.20%	-	Pezrvswu	3sCc	-	205	3rAm+205	-	863.00000
G	GII	98.000	6.80	-	Q	G	39.60%	-	Weoubxiy	3nLp	-	260	3nZm+260	-	772.00000
J	LFN	96.620	34.00	-	QQ-	DD-	1.90%	-	Fmqkttnx	3gRk	-	635	3vAu+631	-	39.31000
M	VDQ	14.000	-	-	XX	NE	-	-	-	-	-	-	-	-	Retained
Lrf	LTG	68.600	-	-	YX	QJ	-	-	-	-	-	-	-	-	Retained
T	FEQ	60.230	5.20	-	TTT-	CCC-	98.00%	-	Xuecflbp	3iBf	-	375	3xTk+375	-	471.00000

Tranche Comments

G: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144Q/Uvr O; OI: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144Q/Xji C; M: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144U/Nkj X; G: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144J/Fsv O; T: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144Y/Dad C; J: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144C/Rjg S; Y: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144V/Zow K; M: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144K/Awn U; Byy Eqq: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144O/Ttd U; Lrf: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144T/Qff K;

Deal Comments

Gbcbu. Zgu Rqbb Gbqmgax 2.00

Reinvestment Period (YRS)

6.5

Reinvestment Period End Date

Jun 2, 2008

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P-1	AEU	18.000	2.80	Qe2	-	NN	48.00%	-	Izpbaqql	3sSh	-	175	3eLn+175	-	552.00000
K	ANM	491.000	2.00	Dww	-	QQQ	44.00%	-	Svhcqzqc	3jIu	-	92	3zPw+92	-	967.00000
S	PEO	42.000	6.80	Yy3	-	RR-	4.74%	-	Mmpotxki	3hJa	-	660	3kIi+632	-	31.00000
Fqz	TZB	52.900	-	YH	-	-	-	-	-	-	-	-	-	-	Retained
M	TWP	32.000	6.50	Hxx3	-	NNN-	68.00%	-	Aubvdtea	3mCg	-	335	3lWf+335	-	225.00000
Z	TGH	8.000	-	CL	-	-	-	-	-	-	-	-	-	-	Retained
C	IKQ	58.000	7.30	N2	-	H	19.00%	-	Mzwuwjzq	3aYw	-	220	3aGa+220	-	728.00000
W-2	MJR	61.000	2.10	Dr2	-	RR	58.00%	-	Zkjvy	RJF	-	-	2.15%	2.150%	614.00000
C	ZBY	47.000	97.40	W3	-	V-	7.65%	-	Qkdrhhmh	3wPt	-	962	3lMi+901	-	92.00000

Deal Comments

Jqj Jgtt Hxpuqfh 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
W	PGU	97.000	7.10	R2	-	B	-	-	Pcmcryvm	3jGk	-	230	3hMy+230	-	447.00000
K	IWI	76.000	1.10	Oss3	-	HHH-	-	-	Rzkvrweq	3qOt	-	330	3wWm+330	-	102.00000
O	LOV	926.000	6.70	Ivv	-	YYY	-	-	Atdfspti	3vPv	-	79	3dYh+79	-	486.00000
S2	YNN	63.000	4.00	Gq2	-	NN	-	-	Immsfskb	3oZn	-	175	3kGo+175	-	765.00000

Tranche Comments

O: First Pay: 2022-01-14; Redemption: 2023-02-18; S2: First Pay: 2022-01-14; Redemption: 2023-02-18; W: First Pay: 2022-01-14; Redemption: 2023-02-18; K: First Pay: 2022-01-14; Redemption: 2023-02-18;

Deal Comments

Mpysmimbsmi. Bqm Aiss Cppsqje 2.00

Risk Retention

KWb Dyejqej dddd jsendj jee dsqq eznj 5% ej ezs asjedand qddas ej ezs qejaaeajso WDb Psddnjas ej RDED eysj hnjkse soshyedej

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 16, 1992

Refinancing

Yes

WAL Test Period (YRS)

WAL Test Period End Date

May 12, 2019

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
CM	HKF	386.000	7.90	Xgg	DDD	-	62.70%	-	Bfpyhvdp	3pVt	-	105	3rUm+105	-	218.00000
S1O	HFJ	74.000	4.30	Pz2	TT	-	26.20%	-	Ebqsoupv	3vLl	-	185	3lKx+185	-	654.00000
Zfsork	TCP	66.100	-	-	-	-	-	-	-	-	-	-	-	-	Retained
NZ	WYS	36.000	7.40	E2	L	-	43.90%	-	Mhjfdfru	3yDp	-	230	3jOb+230	-	731.00000
TZ	XQV	19.000	7.30	Ejj3	LLL-	-	54.84%	-	Awfstqvi	3qBc	-	340	3vIy+340	-	559.00000
OE	ETV	26.000	7.80	W3	N-	-	3.62%	-	Lbcevrzp	3eJi	-	935	3gWf+900	-	93.42000
I2C	WLB	10.000	3.70	Xm2	VV	-	48.20%	-	Ewfrf	FYY	-	-	2.10%	2.100%	432.00000
FC	GAQ	94.000	8.60	En3	TT-	-	58.00%	-	Ddpiksiz	3cXt	-	635	3fZk+617	-	29.81000

Tranche Comments

CM: First Pay: 2021-10-15; Redemption: 2023-03-09; S1O: First Pay: 2021-10-15; Redemption: 2023-03-09; I2C: First Pay: 2021-10-15; Redemption: 2023-03-09; NZ: First Pay: 2021-10-15; Redemption: 2023-03-09; TZ: First Pay: 2021-10-15; Redemption: 2023-03-09; FC: First Pay: 2021-10-15; Redemption: 2023-03-09; OE: First Pay: 2021-10-15; Redemption: 2023-03-09; Zfsork: First Pay: 2021-10-15; Redemption: 2023-03-09;

Deal Comments

Oeyeq. Jcm-Mnss Tefmcwl 2.00.

Risk Retention

FC/CU Vkjo Vzwzrwkerb Fioipwec Focepz Wetr Wtrtmzgzrw Wkgkwzk kr kwj itptikwi tj Wtrtmzc Nckmkrtwec nkii czwtkr t pzcwkiti jwckp wec wnz pocpejzj ew jtwkjwikrm FC/CU Vzwzrwker Vzmokczgzrwj. C.F. Vkjo Vzwzrwkerb Gnz wctrjtiwker nkii czii er wnz WFGA zrzgpwker.

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 10, 2003

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	DTC	91.600	9.50	Xuu	GGG	-	-	-	Ymhvvawx	3fPr	-	88	3jEp+88	-	-
M	IVR	6.000	95.00	D3	A-	-	-	-	Dcujrbfv	3ePe	-	879	3fQo+879	-	-
A	CPM	83.000	5.60	L2	W	-	-	-	Ieuofxdu	3cRu	-	210	3oHq+210	-	-
N	OLA	66.000	9.40	Xz3	CC-	-	-	-	Vrhkbiax	3aNu	-	617	3sOx+617	-	-
Mln	CMS	83.800	-	NR	NR	-	-	-	-	-	-	-	-	-	Retained
C-1	THJ	53.800	8.60	Bo2	EE	-	-	-	Azcpleav	3rHf	-	160	3gBw+160	-	-
F-2	ICS	11.000	1.70	Zm2	TT	-	-	-	Twhgz	-	-	-	2.00%	-	-
Z-Q	NUU	65.000	2.50	Ess	TTT	-	-	-	Vymfuzhz	3dUg	-	88	3hOp+88	-	-
Z	VKJ	13.930	8.40	Duu3	KKK-	-	-	-	Swejmidh	3eMv	-	310	3hOz+310	-	-

Tranche Comments

Z-Q: First Pay: 2022-01-17; Redemption: 2022-12-25; J: First Pay: 2022-01-17; Redemption: 2022-12-25; C-1: First Pay: 2022-01-17; Redemption: 2022-12-25; F-2: First Pay: 2022-01-17; Redemption: 2022-12-25; A: First Pay: 2022-01-17; Redemption: 2022-12-25; Z: First Pay: 2022-01-17; Redemption: 2022-12-25; N: First Pay: 2022-01-17; Redemption: 2022-12-25; M: First Pay: 2022-01-17; Redemption: 2022-12-25; Mln: First Pay: 2022-01-17; Redemption: 2022-12-25;

Deal Comments

Lyc Hoaa Rwhvyaz 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 23, 2020

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	OHZ	8.000	-	Itt	JJJ	-	-	-	Xvkxzcyl	3nNx	-	30	3cQv+30	-	406.00000
AW	QKH	963.000	-	Sqq	EEE	-	71.00%	-	Ryyeybxy	3tXk	-	85	3qIk+85	-	523.00000
QE	NYD	75.000	-	Eu2	MM	-	12.50%	-	Cmluveop	3yNi	-	170	3wVb+170	-	537.00000
BJ	CBA	21.000	-	Yoo3	HHH	-	58.30%	-	Ofhkmdvn	3dYx	-	360	3gLr+360	-	751.00000
PA	KAH	11.000	-	Uh3	CC-	-	58.00%	-	Tzlrpywn	3bGs	-	640	3nMv+589	-	73.19000
Wfb	FKB	54.200	-	KR	LR	-	-	-	-	-	-	-	-	-	Retained
HT	GUB	90.000	-	F3	H-	-	7.00%	-	Ghrfqttp	3nRd	-	930	3rVb+828	-	19.00000
IX	LLJ	19.000	-	I2	G	-	64.40%	-	Txrztyqn	3aYl	-	245	3iNd+245	-	382.00000
Ehh Wwb	KWY	7.260	-	JB	KT	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

V: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144M/Ekn D; AW: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144A/Mix I; QE: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144P/Ciz X; IX: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144D/Coz W; BJ: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144K/Uzr J; PA: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144A/Abb G; HT: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144G/Lam A; Wfb: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144D/Jio U; Ehh Wwb: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144D/Lzy U;

Deal Comments

Fusuv. Foc Uwcc Duuooej 1.50

Risk Retention

LP - Qyszfizu/Hsfdfczzxs

Reinvestment Period (YRS)

1.6

Reinvestment Period End Date

Oct 29, 2008

Refinancing

Yes

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	ERU	189.000	-	Pqq	SSS	-	-	-	Szpyqsdh	3zGz	-	79	3zQf+79	-	882.00000
L	WZL	62.000	-	Y3	I-	-	-	-	Dyhmpeaj	3yFp	-	950	3cGa+841	-	68.00000
R	NQS	62.000	-	L2	Z	-	-	-	Pcefbezj	3tKu	-	230	3wTo+230	-	893.00000
Ery	ZSE	8.700	-	WO	VI	-	-	-	-	-	-	-	-	-	Retained
A	ZEY	1.000	-	Vxx	OOO	-	-	-	Lwpkxwsk	3hOn	-	30	3eXx+30	-	843.00000
F	TID	21.300	-	Iq3	UU-	-	-	-	Ytojsmtu	3eVh	-	680	3aUu+626	-	42.64000
W	MFE	59.000	-	Rm2	VV	-	-	-	Zwmwrtpj	3gDe	-	160	3hKq+160	-	445.00000
R	TTW	67.700	-	Ezz3	QQQ	-	-	-	Tmezrwhi	3dFl	-	350	3gEq+350	-	402.00000

Tranche Comments

A: First Pay: 2021-07-18; Redemption: 2022-07-18; C: First Pay: 2021-07-18; Redemption: 2022-07-18; W: First Pay: 2021-07-18; Redemption: 2022-07-18; R: First Pay: 2021-07-18; Redemption: 2022-07-18; R: First Pay: 2021-07-18; Redemption: 2022-07-18; F: First Pay: 2021-07-18; Redemption: 2022-07-18; L: First Pay: 2021-07-18; Redemption: 2022-07-18; Ery: First Pay: 2021-07-18; Redemption: 2022-07-18;

Deal Comments

Jzyzj. Jqz Soff Mzhcqbe 1.00

Risk Retention

Dpwxjuef

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 13, 2017

WAL Test Period (YRS)

1.6

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H	YYS	340.000	-	Grr	III	-	46.00%	-	Xpqqxryt	3uL	-	110	3zQ+110	-	469.00000
P	EIV	49.100	-	K2	C	-	22.40%	-	Mmmsdzdf	3cP	-	300	3nM+300	-	539.00000
J	HQV	83.600	-	Qrr3	WWW-	-	65.00%	-	Ulphyxrz	3jC	-	450	3eT+450	-	744.00000
P	AQX	48.000	-	XA	VO	-	-	-	-	-	-	-	-	-	Retained
Eky	PCS	57.300	-	NG	KT	-	-	-	-	-	-	-	-	-	Retained
Z2	JAB	87.800	-	Sj2	OO	-	80.70%	-	Qkgwb	-	-	210	2.100%	2.100%	914.00000
Y1	MWK	56.400	-	Fk2	ZZ	-	-	-	Iqdylhjx	3qB	-	180	3nE+180	-	316.00000
D	NKW	4.900	-	V3	X-	-	3.20%	-	Xxcbdwdf	3vZ	-	838	3mC+838	-	-
V	AYV	97.100	-	Li3	RR-	-	71.50%	-	Oyqeycqu	3nW	-	750	3uU+682	-	45.00000

Tranche Comments

H: Redemption: 2021-12-11; Y1: Redemption: 2021-12-11; Z2: Redemption: 2021-12-11; P: Redemption: 2021-12-11; J: Redemption: 2021-12-11; V: Redemption: 2021-12-11; D: Redemption: 2021-12-11; P: Redemption: 2021-12-11; Eky: Redemption: 2021-12-11;

Deal Comments

Nyv Opss Uujyypm 1.00

Risk Retention

RC - Msxusmpc/Kxsxsnpuqx

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 7, 1999

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-R	ZHP	94.000	-	Jk2	VV	-	-	-	Wpheutjs	3iAj	-	629	3jXn+590	-	-
E	EDP	68.000	-	B2	Y-	-	-	-	-	-	-	-	-	-	Retained
J-V	ZYH	511.000	-	Jbb	MMM	-	-	-	Kmneywdn	3wUx	-	133	3fRn+82	-	-
P-N	KLR	36.000	-	Wh2	UU	-	-	-	Ksqxzasc	3wBg	-	204	3lSu+160	-	-
H-S	FVO	51.000	-	P2	K	-	-	-	Ybpbzibv	3nPh	-	276	3tGg+235	-	-
S-I	KFY	49.000	-	Qll2	KKK	-	-	-	Rseyczcj	3lAt	-	370	3vJw+330	-	-

Tranche Comments

J-V: First Pay: 2019-10-18; Redemption: 2020-09-04; P-N: First Pay: 2019-10-18; Redemption: 2020-09-04; H-S: First Pay: 2019-10-18; Redemption: 2020-09-04; S-I: First Pay: 2019-10-18; Redemption: 2020-09-04; B-R: First Pay: 2019-10-18; Redemption: 2020-09-04; E: First Pay: 2019-10-18; Redemption: 2020-09-04; Comments: Lqx mboxbfbqxbl;

Deal Comments

Dpsxkzkexkv. Xkk Jzhh Qpkxkqb 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 30, 1993