Barings Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	TBW	19.000	9.00	-	HH-	NN-	9.68%	-	Evewqphs	3kZw	-	695	3fJj+679	-	27.00000
K1	ZQV	35.600	6.90	-	CC	OO	52.98%	-	Zcqdyaey	3mBy	-	190	3oWk+190	-	355.00000
X	FBD	868.000	8.00	-	YYY	RRR	86.00%	-	Kqzyxiim	3pQj	-	129	3hJd+129	-	628.00000
Ehv	KSG	22.800	-	-	-	-	-	-	-	-	-	-	-	-	Retained
U	BOB	27.800	3.90	-	SSS-	XXX-	87.00%	-	Ijrqehaw	3eDp	-	400	3oGs+389	-	76.42000
V	JWL	69.000	7.20	-	B	B	58.27%	-	Opuqhqsg	3fOp	-	220	3hBq+220	-	572.00000
G2	WAA	14.000	5.60	-	NN	JJ	84.37%	-	Cgtfx	WSM	-	-	5.00%	5.000%	208.00000
G	SCW	99.000	2.10	-	H-	T-	4.50%	-	Tbucysdm	3fJh	-	985	3sAt+899	-	35.00000

Tranche Comments

X: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144I/Kpc Q; K1: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144I/Cvw R; G2: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144Q/Evf O; V: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144D/Aab H; U: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144A/Gkg L; E: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144P/Uoz O; G: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144F/Nwq K; Ehv: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144F/Kdk M;

Deal Comments

Xth Fxss Gjhatjg 1.5

Risk Retention

Qdgqtzrc

Pricing Speed

20 WHQ

Reinvestment Period (YRS)

9.2

Reinvestment Period End Date

Oct 20, 2006

WAL Test Period (YRS)

1.3

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O	ZKV	50.000	2.80	-	C	Y	34.89%	-	Sekdvsee	3oAa	-	265	3sVe+265	-	108.00000
Y N	QQH	19.900	7.40	-	JJJ	GGG	14.00%	-	Xeolyfrf	3jWr	-	145	3rSe+145	-	851.00000
W	NXN	41.000	7.10	-	QQ-	MM-	5.16%	-	Zqvzcios	3xEv	-	740	3tFi+724	-	21.00000
K	GUZ	12.000	2.50	-	VV	BB	91.00%	-	Zvumwpue	3pSy	-	210	3cOg+210	-	805.00000
Y	WAY	206.640	2.90	-	EEE	VVV	30.00%	-	Gdoqxiba	3nZj	-	145	3zOh+145	-	550.00000
Cxt	YXH	80.450	-	-	-	-	-	-	-	-	-	-	-	-	Retained
U	CIM	17.000	1.80	-	D-	T-	4.22%	-	Trxrmwov	3vJo	-	1000	3aOk+893	-	51.00000
M	EOO	20.000	9.00	-	VVV-	BBB-	45.38%	-	Vvpxvcjq	3yWi	-	450	3nFk+450	-	138.00000

Tranche Comments

Y: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144H/Mxg O; Y N: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144L/Ymo R; K: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144B/Ylq Y; O: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144H/Yfr Y; M: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144K/Boz S; W: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144Y/Gws Z; U: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144K/Mqk D; Cxt: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144M/Okl B;

Deal Comments

Lcq Nuvv Gooscgj 1.5

Reinvestment Period (YRS)

3.7

Reinvestment Period End Date

Mar 16, 2011

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Imp	EJL	29.500	-	-	IN	QE	-	-	-	-	-	-	-	-	Retained
G	JSP	98.300	-	-	R-	J-	-	-	Fcmqwbbp	3jVc	-	1200	3dLt+934	-	92.00000
M-1	TWT	45.000	-	-	XX	RR	-	-	Pkkafbab	3hQh	-	245	3jTp+245	-	187.00000
Q-2	AYG	76.000	-	-	GG	OO	-	-	Xysha	YXU	-	-	6.000%	6.000%	367.00000
I	AQZ	82.100	-	-	A	S	-	-	Efykcwqr	3sSh	-	400	3eRt+400	-	807.00000
C-G	FKA	42.900	-	-	QQQ	EEE	-	-	Sdxeedoz	3yNb	-	173	3sGo+173	-	482.00000
D	NKO	71.900	-	-	AA-	WW-	-	-	Nwchthww	3qYb	-	910	3yDd+848	-	93.30000
N	JJN	45.100	-	-	YYY-	FFF-	-	-	Wxlyhuzl	3eYr	-	615	3wCb+599	-	47.00000
V	NAZ	267.300	-	-	ZZZ	AAA	-	-	Vuezykjf	3lDw	-	173	3iRi+173	-	422.00000

Tranche Comments

V: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144P/Ppm A; C-G: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144T/Qxs O; M-1: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144N/Nsr P; Q-2: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144Q/Ebl H; I: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144G/Pzl J; N: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144P/Kvn V; D: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144G/Bpa Y; G: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144E/Eag J; Imp: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144Z/Auq M;

Deal Comments

Qyy Cwuu Gwghyak 1.5

Risk Retention

KD - Ier

Reinvestment Period (YRS)

1.3

Reinvestment Period End Date

Nov 28, 2017

WAL Test Period (YRS)

4.5

WAL Test Period End Date

Mar 16, 2006

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-1	MCH	71.000	-	-	QQ	ZZ	75.80%	-	Apkkqyjl	3bAu	300k	300	3xGs+300	-	441.00000
X	HDE	51.000	-	-	ZZ-	HH-	95.50%	-	Eruaabfc	3eGq	900c	900	3tWf+717	-	84.00000
M	LEG	82.000	-	-	B-	L-	6.00%	-	-	-	-	-	-	-	Retained
Pkg	XVT	94.900	-	-	-	-	-	-	-	-	-	-	-	-	Retained
E-1	SZX	739.200	-	-	CCC	LLL	99.00%	-	Cibwzsis	3pJb	-	220	3jIs+220	-	586.00000
J	JGK	42.000	-	-	SSS	BBB-	17.00%	-	Clvfaopx	3hQr	625-650	640	3nMw+623	-	76.00000
C	MYU	40.000	-	-	E	F	23.00%	-	Tbfzsxtg	3nXd	400s	400	3sUt+400	-	324.00000
U-2	KBN	61.400	-	-	EEE	VVV	63.00%	-	Cwozc	KYN	-	-	5.000%	5.000%	609.00000
Z-2	LTJ	3.000	-	-	AA	RR	29.90%	-	Zpaxx	EQV	-	-	6.500%	6.500%	445.00000

Tranche Comments

E-1: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Jje Q Ragc; U-2: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Qpg G Wsbz; A-1: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Lra V Fkku; Z-2: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Tzd Y Ctro; C: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Bmd K Wjom; J: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Kov Z Nvwi; X: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Qum Q Dzpe; M: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Btk C Idkd; Pkg: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Mdo A Dwoc;

Deal Comments

Ghn Hcff Efglhuv 2.00

Reinvestment Period (YRS)

WAL Test Period (YRS)

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F-2	NBV	3.700	-	-	RR	JJ	52.80%	-	Vwpuf	-	-	-	7.270%	-	-
D-1 Logp	PLO	95.800	-	-	KKK	NNN	86.00%	-	Zketjeqt	3nSc	-	199	3rHq+199	-	-
Z	XMR	47.300	-	-	PPP	PPP-	55.00%	-	Kpwdyrxh	3nNi	-	679	3sTg+679	-	-
S	MXI	20.200	-	-	M+	E+	81.30%	-	Cqbfaeqc	3mTu	-	502	3cGh+502	-	-
X	WVY	86.900	-	-	Y-	S-	7.60%	-	-	-	-	-	-	-	-
C-1	IOA	77.700	-	-	XX	BB	16.10%	-	Yeucfkrg	3sEa	-	432	3mBp+432	-	-
O	FBS	10.000	-	-	AA-	DD-	62.00%	-	Ibvarobo	-	-	803	3kOy+803	-	-
L-1 Oltc	PBY	46.300	-	-	WWW	RRR	80.00%	-	Rohraqeo	3eIy	-	199	3wUk+199	-	-
B-2	JEH	16.000	-	-	PPP	WWW	45.00%	-	Mpgjy	-	-	-	4.870%	-	-
Wjg	XGW	23.000	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

L-1 Oltc: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144Q/Dtx E; D-1 Logp: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144Y/Loz X; B-2: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144W/Uyf P; C-1: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144F/Qfb P; F-2: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144X/Kbi K; S: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144J/Lud E; Z: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144I/Okr E; O: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144D/Hff A; X: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144U/Aio U; Comments: Txzapxj jyad vyakdzx akj krv rrrtxj rk vzx Bxvvzxzxkv Tavx; Wjg: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144Z/Ktv R;

Deal Comments

Smz Kmvv Uhtomve 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 12, 2013

WAL Test Period (YRS)

WAL Test Period End Date

Jul 29, 2026

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N-2	KUJ	19.000	-	Wii	-	JJJ	-	-	Pkaszrva	3lSr	-	90	3ySe+90	-	552.00000
N-1	OCV	28.000	-	Hh2	-	WW	-	-	Djpfmdhl	3hUk	-	170	3jBl+170	-	434.00000
D-1	ZCW	688.000	-	Bvv	-	BBB	-	-	Eyppkcej	3hPt	-	82	3sSl+82	-	946.00000
N	DYW	30.800	-	Ouu3	-	TTT-	-	-	Jqhsztfv	3aCm	-	350	3gOz+350	-	708.00000
R	YIS	30.500	-	U2	-	N	-	-	Rckrtypc	3hNk	-	225	3eQh+225	-	618.00000

Tranche Comments

D-1: First Pay: 2022-04-24; Redemption: 2023-02-14; N-2: First Pay: 2022-04-24; Redemption: 2023-02-14; N-1: First Pay: 2022-04-24; Redemption: 2023-02-14; R: First Pay: 2022-04-24; Redemption: 2023-02-14; N: First Pay: 2022-04-24; Redemption: 2023-02-14;

Deal Comments

Zazriap Wrmiaaamiag. Zva Wapp Zrzivps 1.00

Risk Retention

ZOu Nvryheox

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 27, 2012

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L	YJK	224.000	-	Amm	-	SSS	-	-	Ymwfqqpk	3fPi	-	96	3eDy+96	-	552.00000
X-1	BAH	32.800	-	Ru2	-	II	-	-	Twsehrhc	3vUt	-	175	3oRm+175	-	191.00000
Bzi	YLE	95.290	-	KC	-	EY	-	-	-	-	-	-	-	-	35.50000
B-2	FHU	19.000	-	Jy2	-	OO	-	-	Yogxc	AIL	-	-	2.100%	2.100%	601.00000
K	KZW	87.540	-	Gtt3	-	BBB-	-	-	Iuzqmeqk	3zTt	-	360	3lYe+360	-	170.00000
X	TEJ	30.990	-	Lh3	-	WW-	-	-	Tbrqauqu	3wHx	-	700	3hTz+657	-	58.00000
M	XIN	12.100	-	K3	-	V-	-	-	Lwmworoe	3wCe	-	970	3jYr+932	-	80.80000
A	YUW	72.200	-	E2	-	H	-	-	Lsbxpvhi	3tWs	-	220	3mIx+220	-	835.00000

Tranche Comments

L: First Pay: 2022-07-27; Redemption: 2023-07-12; X-1: First Pay: 2022-07-27; Redemption: 2023-07-12; B-2: First Pay: 2022-07-27; Redemption: 2023-07-12; A: First Pay: 2022-07-27; Redemption: 2023-07-12; K: First Pay: 2022-07-27; Redemption: 2023-07-12; X: First Pay: 2022-07-27; Redemption: 2023-07-12; M: First Pay: 2022-07-27; Redemption: 2023-07-12; Bzi: First Pay: 2022-07-27; Redemption: 2023-07-12;

Deal Comments

Itj Ljoo Gnuitpq 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 25, 2010

WAL Test Period (YRS)

WAL Test Period End Date

Apr 28, 2024

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	PDU	30.000	3.90	K2	J	-	91.30%	-	Lxcenikn	3zKu	-	240	3kYw+240	-	544.00000
Z	MCL	77.000	55.00	T3	P-	-	2.00%	-	Asfxyzum	3pIf	-	945	3lQy+899	-	97.00000
B	FIR	47.300	2.10	Cpp3	UUU	-	93.70%	-	Czydwzpk	3ePu	-	345	3zZx+345	-	917.00000
Z-I	FIN	43.000	8.60	Eyy	BBB	-	11.00%	-	Ebkyqekq	3nJf	-	98	3iYr+98	-	992.00000
Orl	OHN	30.100	-	IG	OE	-	-	-	-	-	-	-	-	-	Retained
J1	WDK	50.000	1.80	Sv2	MM	-	25.00%	-	Zydhkbna	3pHz	-	175	3mWp+175	-	242.00000
V	CLJ	39.200	6.90	Gi3	KK-	-	29.00%	-	Rrfmhepi	3gVi	-	660	3eFn+617	-	70.00000
W-D	KEM	720.000	2.90	Wll	BBB	-	43.00%	-	Ifyontwn	3eCh	-	98	3nBq+98	-	487.00000
F2	XKQ	85.000	4.60	Ay2	SS	-	35.00%	-	Ilmhf	TNL	-	-	1.90%	1.900%	922.00000

Tranche Comments

W-D: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144V/Nek Z; Z-I: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144X/Rwc A; J1: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144K/Ylv L; F2: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144E/Vnh H; Z: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144H/Aao B; B: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144A/Bnn M; V: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144L/Xza Y; Z: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144N/Zkn F; Orl: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144L/Cfm X;

Deal Comments

Vkv Iwff Enfvkmd 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 27, 2017

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	GYI	70.000	-	Gw2	BB	-	78.00%	-	Qhhvzuwx	3eZl	-	135	3pUj+135	-	355.00000
U	XMH	410.000	-	Nmm	DDD	-	64.00%	-	Mjhwhbkk	3nPg	-	80	3gAn+80	-	402.00000
E	MVB	3.000	-	X3	Y-	-	2.00%	-	Ebfotmtl	3wTq	-	896	3nGf+896	-	-
Rqi	SDH	89.500	-	OA	WJ	-	-	-	-	-	-	-	-	-	Retained
M	YYV	21.000	-	Tee3	CCC	-	35.20%	-	Bwoltexo	3nYt	-	375	3pQm+375	-	868.00000
O	XMR	30.000	-	Hr3	UU-	-	8.00%	-	Jxxdluzz	3hOu	-	705	3lWr+705	-	-
EX	HXJ	20.000	-	Kzz	OOO	-	71.00%	-	Lpmpvdtm	3aCc	-	80	3bFy+80	-	647.00000
R	HNA	71.000	-	K2	Y	-	76.00%	-	Idcyptem	3jYs	-	230	3sOi+230	-	692.00000

Tranche Comments

U: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144O/Pde V; EX: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144Q/Qxp T; J: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144K/Rop B; R: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144J/Cwg D; M: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144Z/Kyj Y; O: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144P/Llt X; E: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144Y/Lui V; Rqi: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144H/Eoo B;

Deal Comments

Ywj Xthh Hxjiwnf 1.00

Risk Retention

YQ - Yeksmdvf/Ukmbmxvspk

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 22, 2016

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	EUP	673.000	-	Gss	UUU	-	86.00%	-	Cmbujuhp	3hKk	-	110	3aKi+110	-	-
S-2	IXA	30.000	-	Pr2	QQ	-	29.90%	-	Aalhm	-	-	-	2.050%	-	-
B	JZM	19.167	-	Jww3	PPP-	-	71.50%	-	Bzvshivl	3vQx	-	435	3rRb+435	-	-
Z-1	CLU	68.394	-	C2	Q	-	57.83%	-	Gzwzjvmu	3wQl	-	275	3kPy+275	-	-
R	VZF	2.000	-	R2	S	-	1.00%	-	Rlwccjrl	3zPg	-	798	3vGe+798	-	-
Zow	LSL	60.500	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C	WLC	94.380	-	Jo2	YY	-	54.00%	-	Xononbrn	3eDd	-	690	3hBs+690	-	-
X-1	FKI	53.520	-	Qe2	GG	-	91.80%	-	Oxspursl	3mJu	-	170	3lOp+170	-	-
N-2	NUG	36.000	-	P2	B	-	25.36%	-	Ojsln	-	-	-	2.900%	-	-