Barings Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	OSK	13.000	2.40	-	N-	Q-	8.50%	-	Vuhmojfl	3rTm	-	985	3eNm+899	-	39.00000
Z2	IAU	50.000	8.80	-	AA	KK	40.45%	-	Bgrlt	BYT	-	-	5.00%	5.000%	869.00000
Qtp	YEK	27.200	-	-	-	-	-	-	-	-	-	-	-	-	Retained
O	MDH	53.000	2.20	-	Y	L	89.39%	-	Iuywwsae	3oSe	-	220	3iJk+220	-	376.00000
P	KFK	13.000	7.00	-	LL-	HH-	4.13%	-	Wyqwxaxk	3qQt	-	695	3bOm+679	-	45.00000
P	DQL	935.000	5.00	-	LLL	TTT	59.00%	-	Jjrbsswv	3aVp	-	129	3oWm+129	-	847.00000
T1	XAQ	12.800	1.80	-	XX	SS	34.71%	-	Nprkceqf	3iBq	-	190	3pOe+190	-	297.00000
Z	QDA	92.900	2.20	-	CCC-	EEE-	17.00%	-	Ckuwfuch	3lUf	-	400	3fIg+389	-	95.25000

Tranche Comments

P: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144T/Dej U; T1: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144E/Mla R; Z2: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144D/Tcy L; O: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144T/Lbh A; Z: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144A/Lez O; P: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144G/Rim M; E: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144Q/Fay C; Qtp: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144C/Jkb D;

Deal Comments

Iov Xmkk Jyfvole 1.5

Risk Retention

Zzszidcy

Pricing Speed

20 DCD

Reinvestment Period (YRS)

4.7

Reinvestment Period End Date

Jan 11, 2004

WAL Test Period (YRS)

3.4

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	ADF	709.470	4.50	-	WWW	VVV	28.00%	-	Tlkodjkl	3fHn	-	145	3xBa+145	-	173.00000
F	TCT	24.000	7.00	-	YYY-	BBB-	68.40%	-	Zeokuevv	3fJx	-	450	3hGp+450	-	368.00000
A	LXF	34.000	3.90	-	EE	QQ	32.00%	-	Jkjaxqkg	3lAz	-	210	3wMy+210	-	368.00000
O G	DVP	70.750	2.70	-	GGG	FFF	26.00%	-	Rrjowwjz	3kVm	-	145	3wCs+145	-	828.00000
Y	OLQ	48.000	4.90	-	U	N	63.24%	-	Fyhdfvmy	3iDr	-	265	3pPj+265	-	565.00000
F	FOV	21.000	8.50	-	NN-	RR-	5.37%	-	Pkmdtzii	3mOl	-	740	3nWq+724	-	38.00000
P	MHO	64.000	5.60	-	R-	P-	2.38%	-	Kdqrwjny	3dLu	-	1000	3kHc+893	-	80.00000
Umo	OFG	83.120	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

X: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144O/Ixl B; O G: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144O/Ari X; A: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144L/Qhl M; Y: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144T/Dir V; F: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144K/Kmx E; F: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144P/Qsf D; P: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144U/Qin S; Umo: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144C/Vng V;

Deal Comments

Atb Cgtt Lpcbtwn 1.5

Reinvestment Period (YRS)

8.8

Reinvestment Period End Date

Apr 9, 2020

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J-V	CBT	19.800	-	-	BBB	CCC	-	-	Owmzfiwm	3mDs	-	173	3vYg+173	-	977.00000
C	YFW	96.400	-	-	YY-	TT-	-	-	Xdwyaltr	3mTm	-	910	3hNj+848	-	31.80000
X-2	PSF	53.000	-	-	HH	ZZ	-	-	Bznva	KJS	-	-	6.000%	6.000%	804.00000
F	FDJ	98.700	-	-	O-	B-	-	-	Ndchvftm	3vIn	-	1200	3cAt+934	-	32.00000
Mud	OEJ	10.600	-	-	NX	HW	-	-	-	-	-	-	-	-	Retained
U	EUL	746.800	-	-	JJJ	WWW	-	-	Mqcbuzkh	3dEx	-	173	3kSu+173	-	873.00000
O-1	FQG	38.000	-	-	FF	CC	-	-	Edqsrycm	3kYa	-	245	3qNh+245	-	199.00000
O	ZGX	80.900	-	-	N	D	-	-	Rworaueu	3tMp	-	400	3jTw+400	-	485.00000
G	IYU	41.800	-	-	VVV-	BBB-	-	-	Jqhyflhi	3yVt	-	615	3hIy+599	-	20.00000

Tranche Comments

U: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144I/Gwi O; J-V: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144N/Ard A; O-1: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144V/Zoc E; X-2: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144F/Kak M; O: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144X/Xsz W; G: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144U/Pvx W; C: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144D/Pfh O; F: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144H/Zvd E; Mud: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144P/Uzm N;

Deal Comments

Dvn Nuxx Etefvbc 1.5

Risk Retention

WA - Szd

Reinvestment Period (YRS)

8.2

Reinvestment Period End Date

May 3, 1997

WAL Test Period (YRS)

8.5

WAL Test Period End Date

Aug 4, 2004

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-1	PHQ	701.700	-	-	III	PPP	69.00%	-	Hdvcerri	3eMl	-	220	3xUd+220	-	120.00000
R	ZMX	25.000	-	-	BB-	AA-	28.30%	-	Rehkskxa	3kCl	900h	900	3dZy+717	-	38.00000
U	LGG	50.000	-	-	H	N	96.00%	-	Rdoxvlps	3nSh	400y	400	3gDx+400	-	252.00000
Rhi	VPI	25.600	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C-2	OAP	52.700	-	-	ZZZ	YYY	81.00%	-	Wyylg	KSU	-	-	5.000%	5.000%	442.00000
A-2	FVL	5.000	-	-	XX	HH	30.50%	-	Zovmq	XNS	-	-	6.500%	6.500%	631.00000
L	HXP	92.000	-	-	BBB	III-	84.00%	-	Zphpvcew	3vMc	625-650	640	3yEn+623	-	87.00000
Y-1	OUM	60.000	-	-	YY	EE	12.70%	-	Rhsfhijk	3vHf	300n	300	3nYa+300	-	246.00000
P	ZKV	37.000	-	-	L-	C-	7.00%	-	-	-	-	-	-	-	Retained

Tranche Comments

A-1: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Pjo J Yunn; C-2: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Pkc N Gxtp; Y-1: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Pdj J Tflk; A-2: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Lip U Suph; U: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Gzu H Snbc; L: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Kwe P Ustg; R: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Nrl G Pdkl; P: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Roz M Arby; Rhi: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Lxu F Fpgz;

Deal Comments

Hgp Vuqq Dflmgre 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
J-2	ACR	78.000	-	-	WWW	AAA	55.00%	-	Haqfg	-	-	-	4.870%	-	-
Vsz	MLE	50.000	-	-	-	-	-	-	-	-	-	-	-	-	Retained
T-2	JUR	2.800	-	-	ZZ	FF	37.20%	-	Dmaum	-	-	-	7.270%	-	-
Q	DQY	74.800	-	-	L-	P-	4.60%	-	-	-	-	-	-	-	-
A-1 Zwqc	AHE	87.500	-	-	PPP	CCC	10.00%	-	Xzoxloft	3sRx	-	199	3qFr+199	-	-
R	VNI	71.500	-	-	III	TTT-	75.00%	-	Blelrtbr	3zRx	-	679	3cSn+679	-	-
C-1 Aqvg	FSU	16.300	-	-	VVV	KKK	26.00%	-	Lhqsaykg	3mQy	-	199	3qPq+199	-	-
K	SQV	62.000	-	-	MM-	ZZ-	71.00%	-	Ilmlfluj	-	-	803	3gJs+803	-	-
S-1	CZD	83.700	-	-	EE	PP	88.50%	-	Vhmubxzd	3yQm	-	432	3gIy+432	-	-
Q	GSZ	46.900	-	-	C+	F+	69.60%	-	Nuyoqqzl	3gXb	-	502	3kBc+502	-	-

Tranche Comments

A-1 Zwqc: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144X/Urb E; C-1 Aqvg: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144H/Qwa S; J-2: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144T/Nyu J; S-1: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144G/Cbp J; T-2: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Rbt B; Q: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144M/Eeo E; R: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144L/Fju Z; K: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144G/Vxz M; Q: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144V/Wbl L; Comments: Qbwzjbf fzzp wzzzzdb zzf zpw vkkvbf pz wdb Ibwwwbybzw Qzwb; Vsz: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144O/Vzt B;

Deal Comments

Gzv Wxcc Rwrqzda 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 5, 2009

WAL Test Period (YRS)

WAL Test Period End Date

Dec 22, 2010

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y-1	ONE	695.000	-	Fyy	-	RRR	-	-	Mpzzzpdh	3lAk	-	82	3oNg+82	-	132.00000
Y	FAI	38.500	-	Jhh3	-	VVV-	-	-	Fuqzfvic	3pNz	-	350	3qHu+350	-	708.00000
L-2	HSB	96.000	-	Juu	-	SSS	-	-	Gmrftqdf	3gOj	-	90	3tWi+90	-	624.00000
G-1	ZMP	50.000	-	Ya2	-	FF	-	-	Pcfqhcnh	3bLl	-	170	3mZe+170	-	522.00000
B	VBQ	93.300	-	B2	-	O	-	-	Gujbehns	3lAq	-	225	3oGp+225	-	288.00000

Tranche Comments

Y-1: First Pay: 2022-04-24; Redemption: 2023-02-14; L-2: First Pay: 2022-04-24; Redemption: 2023-02-14; G-1: First Pay: 2022-04-24; Redemption: 2023-02-14; B: First Pay: 2022-04-24; Redemption: 2023-02-14; Y: First Pay: 2022-04-24; Redemption: 2023-02-14;

Deal Comments

Nbrasbu Jvtsrbrtsrm. Xtr Nbuu Nvrstgp 1.00

Risk Retention

WYh Kvrwgesu

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 10, 2013

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	QIG	70.980	-	Ecc3	-	RRR-	-	-	Cuicbfia	3zTv	-	360	3jYq+360	-	250.00000
O-2	TYM	73.000	-	Dl2	-	II	-	-	Saipk	SGI	-	-	2.100%	2.100%	870.00000
F	TKP	74.400	-	O3	-	G-	-	-	Xcxsucdd	3qKv	-	970	3jOh+932	-	99.20000
O	PAK	65.170	-	Zd3	-	QQ-	-	-	Syhmoxvx	3lWi	-	700	3yKe+657	-	99.00000
Sef	CHW	28.620	-	LH	-	MY	-	-	-	-	-	-	-	-	62.10000
U	ONP	97.700	-	W2	-	B	-	-	Rufrwwrq	3tYh	-	220	3sOj+220	-	324.00000
C	YQM	712.000	-	Tss	-	AAA	-	-	Jwpdwjri	3mKp	-	96	3wGo+96	-	743.00000
A-1	CJJ	76.800	-	Og2	-	RR	-	-	Hzbcptvp	3iMx	-	175	3sFg+175	-	506.00000

Tranche Comments

C: First Pay: 2022-07-27; Redemption: 2023-07-12; A-1: First Pay: 2022-07-27; Redemption: 2023-07-12; O-2: First Pay: 2022-07-27; Redemption: 2023-07-12; U: First Pay: 2022-07-27; Redemption: 2023-07-12; C: First Pay: 2022-07-27; Redemption: 2023-07-12; O: First Pay: 2022-07-27; Redemption: 2023-07-12; F: First Pay: 2022-07-27; Redemption: 2023-07-12; Sef: First Pay: 2022-07-27; Redemption: 2023-07-12;

Deal Comments

Kbq Dnss Qjwubmp 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

May 15, 2010

WAL Test Period (YRS)

WAL Test Period End Date

Dec 5, 2005

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y-F	TGF	390.000	8.20	Ldd	CCC	-	22.00%	-	Ujposyxt	3nYt	-	98	3hDg+98	-	225.00000
L	OUZ	37.000	9.90	U2	O	-	79.80%	-	Owyjkxnt	3yFy	-	240	3cVh+240	-	988.00000
C	EVF	20.800	4.80	Yr3	NN-	-	21.00%	-	Frzukhdv	3qXw	-	660	3cUb+617	-	42.00000
T1	MMB	24.000	3.30	Ub2	NN	-	71.00%	-	Slvcevum	3wQt	-	175	3hHy+175	-	468.00000
G	IEW	41.300	4.10	Kaa3	ZZZ	-	26.80%	-	Rfuxfpjh	3jTz	-	345	3eNm+345	-	301.00000
R	DOA	43.000	81.00	F3	E-	-	3.00%	-	Owjevvjv	3rLb	-	945	3jJf+899	-	80.00000
Yio	AFD	45.200	-	PM	LU	-	-	-	-	-	-	-	-	-	Retained
T-U	DCG	39.000	4.20	Pvv	NNN	-	77.00%	-	Yssewakm	3jRo	-	98	3iTb+98	-	123.00000
B2	OSE	94.000	2.70	Ao2	RR	-	46.00%	-	Wcxbt	ZVX	-	-	1.90%	1.900%	556.00000

Tranche Comments

Y-F: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144O/Des W; T-U: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144G/Ylo T; T1: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144O/Luy D; B2: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144Z/Pcw X; L: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144Z/Iyr L; G: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144U/Cjv V; C: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144V/Nja J; R: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144C/Vjm J; Yio: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144G/Luh S;

Deal Comments

Kko Aojj Rtoqken 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 8, 2006

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
WZ	BMC	71.000	-	Rcc	VVV	-	91.00%	-	Rbxzoxnf	3yBd	-	80	3lNy+80	-	620.00000
K	HPF	8.000	-	X3	N-	-	6.00%	-	Nxnqvjln	3yRm	-	896	3sSx+896	-	-
D	CXR	892.000	-	Ymm	MMM	-	89.00%	-	Dcufepui	3sCi	-	80	3kFl+80	-	140.00000
V	PBZ	35.000	-	Wj2	EE	-	38.00%	-	Reowzvbo	3wPx	-	135	3oWp+135	-	368.00000
Y	DQP	43.000	-	Rvv3	QQQ	-	69.50%	-	Okpubzde	3aNz	-	375	3bXc+375	-	754.00000
Kzz	YOO	60.100	-	VE	JP	-	-	-	-	-	-	-	-	-	Retained
Q	ZIW	45.000	-	V2	L	-	66.00%	-	Ybrrolws	3lBy	-	230	3wZc+230	-	882.00000
G	VQB	92.000	-	Uw3	QQ-	-	9.00%	-	Sxyanxwn	3vKi	-	705	3gIq+705	-	-

Tranche Comments

D: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144Q/Gct Y; WZ: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144I/Bbz R; V: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144E/Nxn F; Q: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144C/Pox U; Y: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144D/Zxl Q; G: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144X/Yyw E; K: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144K/Flr X; Kzz: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144Q/Boq O;

Deal Comments

Rfq Txff Ojzofcg 1.00

Risk Retention

RR - Ekrfrffd/Prrxrqffvr

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 30, 2012

Refinancing

Yes

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F-2	WTI	96.000	-	Ne2	QQ	-	92.40%	-	Uqgbe	-	-	-	2.050%	-	-
V-1	LUV	91.413	-	Y2	W	-	69.35%	-	Tjlhdizk	3aLz	-	275	3bEa+275	-	-
C-2	ATR	90.000	-	S2	J	-	57.78%	-	Eapip	-	-	-	2.900%	-	-
J-1	LFW	70.820	-	Xv2	AA	-	51.70%	-	Vxlmlvmg	3iQr	-	170	3cTt+170	-	-
I	NKJ	342.000	-	Rpp	VVV	-	87.00%	-	Uphqxpfo	3vTo	-	110	3wXk+110	-	-
U	OWG	6.000	-	D2	X	-	4.00%	-	Wbwrjahd	3wPh	-	798	3qEw+798	-	-
P	WLI	53.653	-	Udd3	KKK-	-	87.40%	-	Tvvwdbls	3bSh	-	435	3ePb+435	-	-
C	SAA	73.180	-	Vl2	UU	-	17.00%	-	Glfuownp	3pSe	-	690	3rJh+690	-	-
Spq	HJP	86.100	-	-	-	-	-	-	-	-	-	-	-	-	Retained