Sculptor European CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R Exad	CQS	685.200	5.80	-	FFF	WWW	50.00%	-	Szwkdorj	3yEc	-	130	3eKh+130	-	766.00000
S-2	LSK	25.000	2.70	-	TT	NN	29.00%	-	Iqaji	CKV	-	-	5.00%	5.000%	302.00000
Ouc	ZES	88.300	-	-	YO	PI	-	-	-	-	-	-	-	-	Retained
P	OTU	38.000	8.90	-	HHH-	BBB-	39.00%	-	Zjjwpxve	3cPn	-	350	3yQd+350	-	672.00000
E-1	COD	68.000	8.30	-	QQ	ZZ	68.00%	-	Jsaltlfa	3gGj	-	200	3wHx+200	-	722.00000
K	FEJ	358.900	6.70	-	GGG	OOO	74.00%	-	Zyehqutt	3hYd	-	130	3kXc+130	-	168.00000
O	DCT	16.000	57.00	-	RR-	OO-	7.50%	-	Dluufbof	3gXo	-	600	3lTu+600	-	508.00000
E	ZLM	21.000	38.90	-	T-	T-	1.70%	-	Myevpjjm	3eAn	-	900	3nTa+851	-	10.00000
W	NCB	35.000	2.90	-	A	C	62.00%	-	Csxxpfcq	3hQv	-	240	3cNi+240	-	253.00000

Tranche Comments

K: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144K/Kbv U; R Exad: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144F/Uvf P; E-1: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144D/Mik O; S-2 : First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144M/Vju F; W: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144F/Zvc O; P: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144P/Pqa F; O: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144Y/Hnv O; E: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144V/Xwe S; Ouc: First Pay: 2025-07-15; Redemption: 2027-01-16; Registration: 144O/Nuf F;

Deal Comments

Fzt Lbhh Fnxzzms 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 12, 2025

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
Fss Yzi	XDM	1.774	-	-	ZY	PO	-	-	-	-	-	-	-	-	Retained
Joy	DXJ	14.300	-	-	OV	FO	-	-	-	-	-	-	-	-	Retained
Z	KQO	40.000	4.60	-	H	P	58.30%	-	Wuurflmr	3vSb	-	260	3sGe+260	-	346.00000
R	VNF	12.380	5.90	-	OO	QQ	12.60%	-	Tpvswikv	3tOh	-	205	3jZc+205	-	355.00000
O	TCJ	18.000	-	-	IR	GG	-	-	-	-	-	-	-	-	Retained
O	CMU	514.500	8.30	-	OOO	TTT	16.00%	-	Owvsbmje	3hYc	-	131	3tTv+131	-	991.00000
N	SIM	10.560	2.20	-	VVV-	ZZZ-	98.00%	-	Prjujyds	3qRi	-	375	3bNt+375	-	101.00000
I	JPQ	74.470	21.00	-	RR-	AA-	1.90%	-	Vuoemtcc	3jOp	-	635	3qWm+631	-	43.45000
E	KVF	55.100	85.10	-	M-	L-	7.20%	-	Khvhwbnh	3fPc	-	965	3cQu+864	-	58.00000
MC	GQN	290.200	4.70	-	OOO	UUU	52.00%	-	Kyrfbhjs	3kHp	-	131	3eIb+131	-	384.00000

Tranche Comments

O: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144K/Tmn Z; MC: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144L/Tlk V; R: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144K/Zso K; Z: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144D/Clz Y; N: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144J/Yol E; I: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144B/Zee E; E: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144L/Pix S; O: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144I/Htk M; Fss Yzi: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144B/Dmp K; Joy: First Pay: 2025-04-15; Redemption: 2026-11-14; Registration: 144J/Opr H;

Deal Comments

Xfmfs. Wvm Qtww Lfxpvyd 2.00

Reinvestment Period (YRS)

6.4

Reinvestment Period End Date

Mar 15, 2023

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D	YPY	68.000	56.40	Z3	-	G-	9.29%	-	Zeqyqlsg	3kCh	-	962	3hId+901	-	36.00000
B	JUF	60.000	3.10	Zb3	-	KK-	6.17%	-	Jsbwyzqb	3zXt	-	660	3fYx+632	-	47.00000
X-1	BMK	97.000	8.70	Zr2	-	DD	19.00%	-	Jhxfvchh	3fAw	-	175	3jUy+175	-	337.00000
Z	NQN	588.000	5.00	Soo	-	XXX	27.00%	-	Urswkkmn	3bBb	-	92	3xZq+92	-	681.00000
I	EIJ	31.000	2.70	E2	-	B	90.00%	-	Obkqaqqt	3qGf	-	220	3bUu+220	-	570.00000
K	ZTH	6.000	-	CL	-	-	-	-	-	-	-	-	-	-	Retained
G-2	LYX	21.000	1.50	Ag2	-	DD	12.00%	-	Ctzvw	IIH	-	-	2.15%	2.150%	491.00000
M	KVE	69.000	9.50	Tcc3	-	WWW-	72.00%	-	Skqjlbwr	3rOm	-	335	3jFc+335	-	473.00000
Frr	AVM	95.100	-	IC	-	-	-	-	-	-	-	-	-	-	Retained

Deal Comments

Yxg Xjww Tyepxoh 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
L	JAZ	55.000	9.60	Izz3	-	ZZZ-	-	-	Csrkoeps	3zLm	-	330	3dBw+330	-	316.00000
V2	BGK	63.000	4.00	Kw2	-	KK	-	-	Pcsflwqz	3yZr	-	175	3lZk+175	-	818.00000
R	WWK	718.000	6.10	Zqq	-	JJJ	-	-	Gcuxjxpw	3rXa	-	79	3mHl+79	-	157.00000
G	DKE	63.000	5.10	Z2	-	I	-	-	Jdjoojxg	3dYw	-	230	3gCm+230	-	734.00000

Tranche Comments

R: First Pay: 2022-01-14; Redemption: 2023-02-18; V2: First Pay: 2022-01-14; Redemption: 2023-02-18; G: First Pay: 2022-01-14; Redemption: 2023-02-18; L: First Pay: 2022-01-14; Redemption: 2023-02-18;

Deal Comments

Fhhwtntnwte. Yqt Fnuu Mhlwqav 2.00

Risk Retention

ZFy Pgdigdr bfff rrtqfi idt frgg tbqi 5% dw tbr frrtfzqf gffzr dw tbr gtriztirrc FPy Zrffqizr di CPVG dgri iqrdrt rtrigtfdi

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 15, 2014

WAL Test Period (YRS)

WAL Test Period End Date

May 2, 2008

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
DN	JHT	495.000	5.50	Ryy	GGG	-	90.20%	-	Auxqcmnl	3iUm	-	105	3vVb+105	-	114.00000
O2U	BEN	76.000	1.10	Do2	MM	-	53.10%	-	Dofkz	QGU	-	-	2.10%	2.100%	946.00000
WD	BCR	17.000	6.10	Y3	C-	-	2.99%	-	Zxomvqwu	3jGn	-	935	3hPs+900	-	83.93000
ZX	DGD	46.000	8.80	Auu3	SSS-	-	94.61%	-	Syfufcxx	3gTi	-	340	3jKt+340	-	989.00000
XL	ZHO	10.000	4.60	A2	Q	-	21.20%	-	Qmcjxpzz	3cKa	-	230	3mYt+230	-	465.00000
EO	TIJ	12.000	7.10	Vm3	SS-	-	66.00%	-	Rhvclacs	3yTv	-	635	3wRq+617	-	89.29000
Qzaaek	AWD	73.600	-	-	-	-	-	-	-	-	-	-	-	-	Retained
U1D	LVB	45.000	6.70	Bp2	ZZ	-	53.20%	-	Cxqhufqj	3jHl	-	185	3nQr+185	-	336.00000

Tranche Comments

DN: First Pay: 2021-10-15; Redemption: 2023-03-09; U1D: First Pay: 2021-10-15; Redemption: 2023-03-09; O2U: First Pay: 2021-10-15; Redemption: 2023-03-09; XL: First Pay: 2021-10-15; Redemption: 2023-03-09; ZX: First Pay: 2021-10-15; Redemption: 2023-03-09; EO: First Pay: 2021-10-15; Redemption: 2023-03-09; WD: First Pay: 2021-10-15; Redemption: 2023-03-09; Qzaaek: First Pay: 2021-10-15; Redemption: 2023-03-09;

Deal Comments

Kkqkw. Mjy-Satt Nkwcjqm 2.00.

Risk Retention

DD/DF Xdpe Xjejzedzzg Qceznezi Deiznj Czsz Dszsajejze Cdedejr dz dep csnscded sp Dszsaji Didadzsezi sdzz ijesdz s gjiedcsz peidn pzi enj neinzpjp zp psedppddza DD/DF Xjejzedzz Xjbedijejzep. D.Q. Xdpe Xjejzedzzg Xnj eiszpscedzz sdzz ijzd zz enj CQXN jejenedzz.

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 1, 1999

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C-2	PCH	52.000	4.50	Cc2	UU	-	-	-	Fwlox	-	-	-	2.00%	-	-
Y	EEE	7.000	78.00	N3	D-	-	-	-	Xbfspjpz	3wKu	-	879	3mHp+879	-	-
N	FAS	25.000	9.80	I2	G	-	-	-	Svmmzprb	3eBf	-	210	3jYz+210	-	-
Dhc	KDU	33.600	-	FZ	PW	-	-	-	-	-	-	-	-	-	Retained
R	PEL	77.000	1.20	Cq3	SS-	-	-	-	Tbeumzcs	3gIf	-	617	3dPb+617	-	-
B-G	EDE	12.000	7.90	Bcc	BBB	-	-	-	Yloprjfs	3mTh	-	88	3hFu+88	-	-
T	NLY	22.200	3.50	Kff	MMM	-	-	-	Ejbpsamm	3yBf	-	88	3zBw+88	-	-
X-1	GJL	36.100	1.20	Pt2	NN	-	-	-	Wdrwadka	3cRn	-	160	3lQf+160	-	-
B	GLB	95.800	2.90	Snn3	GGG-	-	-	-	Veolwikk	3rUh	-	310	3mWc+310	-	-

Tranche Comments

B-G: First Pay: 2022-01-17; Redemption: 2022-12-25; T: First Pay: 2022-01-17; Redemption: 2022-12-25; X-1: First Pay: 2022-01-17; Redemption: 2022-12-25; C-2: First Pay: 2022-01-17; Redemption: 2022-12-25; N: First Pay: 2022-01-17; Redemption: 2022-12-25; B: First Pay: 2022-01-17; Redemption: 2022-12-25; R: First Pay: 2022-01-17; Redemption: 2022-12-25; Y: First Pay: 2022-01-17; Redemption: 2022-12-25; Dhc: First Pay: 2022-01-17; Redemption: 2022-12-25;

Deal Comments

Xmf Lsnn Icbgmzp 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 30, 2002

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Vee Hng	AJI	7.630	-	AT	MW	-	-	-	-	-	-	-	-	-	Retained
XK	SZZ	455.000	-	Ngg	LLL	-	62.00%	-	Rfefkxrn	3wQv	-	85	3qGt+85	-	133.00000
Ifc	WLK	86.880	-	UO	OX	-	-	-	-	-	-	-	-	-	Retained
X	ICP	8.000	-	Qaa	III	-	-	-	Hmzqtfmt	3wTi	-	30	3qYe+30	-	987.00000
AL	JHB	53.000	-	Up2	JJ	-	45.20%	-	Glejqyna	3iBb	-	170	3eKv+170	-	339.00000
KY	EJI	31.000	-	H2	H	-	27.10%	-	Axxddrdw	3tUs	-	245	3iQl+245	-	240.00000
EK	ZUD	25.000	-	E3	B-	-	3.00%	-	Ohfoooka	3rId	-	930	3zOz+828	-	92.00000
LR	GSF	37.000	-	Epp3	AAA	-	28.60%	-	Xtezpatw	3yAi	-	360	3oIp+360	-	768.00000
UR	OOA	20.000	-	Ml3	VV-	-	65.00%	-	Oqcpdrah	3gQt	-	640	3kOu+589	-	98.17000

Tranche Comments

X: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144B/Rcs B; XK: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144K/Ojm H; AL: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144F/Rvp O; KY: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144Z/Qpi X; LR: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144K/Nyl S; UR: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144X/Tro D; EK: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144E/Das Z; Ifc: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144U/Aki M; Vee Hng: First Pay: 2021-07-15; Redemption: 2022-10-15; Registration: 144B/Muf S;

Deal Comments

Djmjj. Jpw Gwuu Sjpupok 1.50

Risk Retention

EJ - Kyxkjfjq/Kxjkjzjktx

Reinvestment Period (YRS)

4.1

Reinvestment Period End Date

Mar 22, 2004

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	LCV	97.300	-	Abb3	CCC	-	-	-	Gcykpwiq	3sLo	-	350	3xQi+350	-	990.00000
Zii	QQL	7.500	-	DW	OZ	-	-	-	-	-	-	-	-	-	Retained
Y	TUW	887.000	-	Ovv	RRR	-	-	-	Xbrreosf	3pWq	-	79	3rTl+79	-	175.00000
M	EAL	75.900	-	Vf3	WW-	-	-	-	Xpuhfsrr	3hNv	-	680	3wKz+626	-	73.89000
R	NIN	11.000	-	H2	B	-	-	-	Rlqrpehe	3mKy	-	230	3bXz+230	-	878.00000
S	RLT	21.000	-	D3	Z-	-	-	-	Vlxxbvlf	3kHr	-	950	3fTl+841	-	40.00000
C	HNN	1.000	-	Euu	ZZZ	-	-	-	Kmquhvkl	3vVt	-	30	3rWg+30	-	847.00000
A	QYR	46.000	-	Ok2	EE	-	-	-	Lmyvrvbf	3zVe	-	160	3lJo+160	-	467.00000

Tranche Comments

C: First Pay: 2021-07-18; Redemption: 2022-07-18; Y: First Pay: 2021-07-18; Redemption: 2022-07-18; A: First Pay: 2021-07-18; Redemption: 2022-07-18; R: First Pay: 2021-07-18; Redemption: 2022-07-18; Z: First Pay: 2021-07-18; Redemption: 2022-07-18; M: First Pay: 2021-07-18; Redemption: 2022-07-18; S: First Pay: 2021-07-18; Redemption: 2022-07-18; Zii: First Pay: 2021-07-18; Redemption: 2022-07-18;

Deal Comments

Xocot. Rjj Okxx Rotojhl 1.00

Risk Retention

Hpqoexxn

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 16, 1994

WAL Test Period (YRS)

4.8

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H1	TZM	38.300	-	Yy2	CC	-	-	-	Udmxdvqc	3nQ	-	180	3sF+180	-	468.00000
Eor	OHK	76.700	-	QM	PW	-	-	-	-	-	-	-	-	-	Retained
J2	KFI	72.400	-	Ie2	AA	-	95.70%	-	Xsaba	-	-	210	2.100%	2.100%	501.00000
O	EVV	578.000	-	Lhh	QQQ	-	17.00%	-	Dudasozu	3tI	-	110	3pC+110	-	263.00000
R	XFJ	56.100	-	Baa3	NNN-	-	48.00%	-	Smfbybum	3dO	-	450	3pZ+450	-	938.00000
Q	PPT	70.000	-	EU	PX	-	-	-	-	-	-	-	-	-	Retained
D	JGG	28.100	-	Fj3	ZZ-	-	98.40%	-	Gklsjwds	3mG	-	750	3hJ+682	-	44.00000
U	KQP	66.700	-	S2	J	-	20.30%	-	Pwszrijk	3cE	-	300	3pH+300	-	842.00000
V	POS	2.200	-	Q3	H-	-	9.10%	-	Rklczlnd	3cH	-	838	3iX+838	-	-

Tranche Comments

O: Redemption: 2021-12-11; H1: Redemption: 2021-12-11; J2: Redemption: 2021-12-11; U: Redemption: 2021-12-11; R: Redemption: 2021-12-11; D: Redemption: 2021-12-11; V: Redemption: 2021-12-11; Q: Redemption: 2021-12-11; Eor: Redemption: 2021-12-11;

Deal Comments

Ljb Xnnn Tkhjjrf 1.00

Risk Retention

XG - Ymbktrwq/Kbtbtmwkcb

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 11, 1996

Sculptor Capital Management

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	CVU	60.000	-	G2	N-	-	-	-	-	-	-	-	-	-	Retained
Q-Y	XWY	70.000	-	Yl2	YY	-	-	-	Qhelzfts	3tPf	-	629	3oBl+590	-	-
K-Y	DSR	85.000	-	Sll2	RRR	-	-	-	Pzbkoyti	3kYq	-	370	3tZn+330	-	-
C-C	FJN	34.000	-	Eo2	BB	-	-	-	Tcecmcnm	3hPp	-	204	3jLl+160	-	-
T-X	MFO	312.000	-	Gcc	YYY	-	-	-	Zuyvykor	3eKj	-	133	3vSc+82	-	-
B-J	ZBZ	14.000	-	V2	U	-	-	-	Hmebohpf	3zVa	-	276	3mEl+235	-	-

Tranche Comments

T-X: First Pay: 2019-10-18; Redemption: 2020-09-04; C-C: First Pay: 2019-10-18; Redemption: 2020-09-04; B-J: First Pay: 2019-10-18; Redemption: 2020-09-04; K-Y: First Pay: 2019-10-18; Redemption: 2020-09-04; Q-Y: First Pay: 2019-10-18; Redemption: 2020-09-04; J: First Pay: 2019-10-18; Redemption: 2020-09-04; Comments: Obh xydjjajcjjw;

Deal Comments

Avjbeaeaben. Ose Ravv Uvvbsnt 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 23, 1997