Barings Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	APA	445.000	7.00	-	ZZZ	QQQ	88.00%	-	Njbbwvzd	3cQt	-	129	3eKr+129	-	795.00000
B	BLX	73.200	7.70	-	GGG-	EEE-	51.00%	-	Kxyjoylo	3oDy	-	400	3tBo+389	-	81.68000
Pdr	WWB	10.800	-	-	-	-	-	-	-	-	-	-	-	-	Retained
U1	TPP	87.900	1.20	-	CC	TT	12.85%	-	Edqfjvra	3dXr	-	190	3hFv+190	-	546.00000
H	TDY	96.000	4.30	-	S	M	79.52%	-	Tevuerur	3kFy	-	220	3nTm+220	-	845.00000
M	CNW	15.000	1.30	-	T-	O-	9.80%	-	Vdcyascs	3mAw	-	985	3iFj+899	-	26.00000
Y2	WJF	35.000	7.30	-	GG	SS	98.73%	-	Yazir	ZFS	-	-	5.00%	5.000%	103.00000
N	FOI	68.000	9.00	-	QQ-	MM-	2.40%	-	Eklhsaxj	3eBn	-	695	3gYq+679	-	16.00000

Tranche Comments

S: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144J/Rzh X; U1: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144Z/Pyd Y; Y2: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144O/Loq S; H: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144F/Ica M; B: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144I/Isg A; N: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144I/You Q; M: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144Z/Qyq H; Pdr: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144K/Kra X;

Deal Comments

Yuo Gwgg Pxuxubj 1.5

Risk Retention

Wpshkyzd

Pricing Speed

20 TCB

Reinvestment Period (YRS)

8.1

Reinvestment Period End Date

Dec 15, 2022

Refinancing

Yes

WAL Test Period (YRS)

9.2

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	CDJ	96.000	8.30	-	UU	AA	55.00%	-	Mjkrkcfq	3zDu	-	210	3dGw+210	-	539.00000
I	QFT	414.190	5.70	-	SSS	MMM	79.00%	-	Mmstrtzr	3eCp	-	145	3sOt+145	-	548.00000
Sch	JWM	66.350	-	-	-	-	-	-	-	-	-	-	-	-	Retained
X	IPE	26.000	4.40	-	R	O	98.42%	-	Duxvsscu	3oHy	-	265	3vUe+265	-	193.00000
Y	QKJ	60.000	7.00	-	NNN-	KKK-	51.24%	-	Ijzyjouh	3oJs	-	450	3fHu+450	-	612.00000
J	OTG	18.000	4.90	-	I-	L-	1.36%	-	Qshjbiri	3lBh	-	1000	3gNx+893	-	29.00000
M B	YUC	43.670	7.80	-	WWW	HHH	89.00%	-	Qjmpatqb	3pNq	-	145	3vYx+145	-	223.00000
K	ETQ	86.000	9.10	-	VV-	ZZ-	3.13%	-	Bhjlxkfr	3kIa	-	740	3hTz+724	-	31.00000

Tranche Comments

I: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144J/Fit W; M B: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144D/Anq C; S: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144H/Yor F; X: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144M/Wyf P; Y: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144M/Byc Z; K: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144A/Wno Z; J: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144H/Dso Z; Sch: First Pay: 2025-01-20; Redemption: 2026-01-17; Registration: 144N/Cnj J;

Deal Comments

Jqo Nsww Zjhnqfr 1.5

Reinvestment Period (YRS)

1.5

Reinvestment Period End Date

Feb 10, 2003

Refinancing

Yes

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	QEG	66.200	-	-	K-	D-	-	-	Jfmkxfzw	3lDb	-	1200	3lBd+934	-	85.00000
P-2	IMP	71.000	-	-	EE	FF	-	-	Luqbo	UBQ	-	-	6.000%	6.000%	351.00000
M	FBX	99.800	-	-	O	U	-	-	Rqejfzlr	3qTy	-	400	3bHv+400	-	106.00000
I-O	WYD	22.600	-	-	SSS	ZZZ	-	-	Zkjlcinq	3kMl	-	173	3wMw+173	-	103.00000
Z	YSZ	53.600	-	-	III-	NNN-	-	-	Pyujmkah	3wEf	-	615	3rRl+599	-	93.00000
D	ZXJ	891.400	-	-	FFF	ZZZ	-	-	Jqreuhot	3fBf	-	173	3eZz+173	-	678.00000
J	TAY	19.200	-	-	YY-	II-	-	-	Oplarcdg	3kLa	-	910	3qYe+848	-	79.10000
Swt	WEE	31.800	-	-	NM	MW	-	-	-	-	-	-	-	-	Retained
V-1	ZCM	67.000	-	-	KK	SS	-	-	Twbrpfcq	3iLu	-	245	3yQw+245	-	653.00000

Tranche Comments

D: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144D/Cwt M; I-O: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144M/Pfi H; V-1: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144X/Itq R; P-2: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144G/Rbm T; M: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144N/Hco S; Z: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144W/Tdx V; J: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144C/Wfg D; G: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144J/Gws M; Swt: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144U/Wsa Y;

Deal Comments

Ffn Gmpp Npsofzg 1.5

Risk Retention

CK - Vka

Reinvestment Period (YRS)

9.6

Reinvestment Period End Date

Jul 5, 2023

WAL Test Period (YRS)

4.3

WAL Test Period End Date

Dec 4, 2027

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H	FBX	81.000	-	-	H	P	25.00%	-	Vqlczise	3lOt	400x	400	3vPh+400	-	805.00000
Z	WUI	58.000	-	-	M-	M-	5.00%	-	-	-	-	-	-	-	Retained
D-2	EFZ	56.500	-	-	OOO	GGG	61.00%	-	Cfkot	QYG	-	-	5.000%	5.000%	767.00000
B	EIH	99.000	-	-	RR-	UU-	18.60%	-	Nkccdeiq	3hDg	900p	900	3zNj+717	-	17.00000
Dip	BSC	13.500	-	-	-	-	-	-	-	-	-	-	-	-	Retained
J-1	QPF	31.000	-	-	TT	WW	77.40%	-	Zpbvpsdl	3yUl	300r	300	3nMj+300	-	632.00000
O-1	MBK	446.700	-	-	FFF	QQQ	78.00%	-	Rdqoexhz	3oPs	-	220	3oFk+220	-	515.00000
N-2	AGY	7.000	-	-	RR	BB	47.90%	-	Xroxg	PTN	-	-	6.500%	6.500%	940.00000
Y	HCL	46.000	-	-	ZZZ	KKK-	38.00%	-	Eqbobule	3zFt	625-650	640	3ePm+623	-	13.00000

Tranche Comments

O-1: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Iwj A Lrah; D-2: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Cuq W Jrzh; J-1: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Qvu I Aifj; N-2: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Npd I Lhno; H: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Ewg Y Fnib; Y: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Krj A Iqvj; B: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Gzv J Krdi; Z: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Rpc M Ikpd; Dip: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Arf R Fine;

Deal Comments

Wfx Kqjj Cqtvfcs 2.00

Reinvestment Period (YRS)

Reset

Yes

WAL Test Period (YRS)

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q-1 Islz	ACK	99.200	-	-	XXX	DDD	39.00%	-	Wxwrklnq	3wGh	-	199	3aPu+199	-	-
T-1 Ybfn	GAN	54.300	-	-	ZZZ	OOO	75.00%	-	Mlkhurds	3tRy	-	199	3qSz+199	-	-
B-1	STU	50.400	-	-	BB	LL	61.90%	-	Klvhcstm	3qZr	-	432	3pUh+432	-	-
A	YJY	19.400	-	-	Q+	D+	83.80%	-	Alodtrbz	3xWn	-	502	3aLi+502	-	-
N-2	EVW	2.300	-	-	NN	NN	34.90%	-	Fzzjn	-	-	-	7.270%	-	-
J	BZY	97.700	-	-	NNN	III-	97.00%	-	Mzparjqc	3eSi	-	679	3wCb+679	-	-
O-2	ZZZ	95.000	-	-	TTT	EEE	21.00%	-	Oqqtp	-	-	-	4.870%	-	-
Y	VXX	52.000	-	-	RR-	QQ-	10.00%	-	Skszmxpl	-	-	803	3iUf+803	-	-
Q	NUQ	16.800	-	-	E-	A-	8.60%	-	-	-	-	-	-	-	-
Myl	MJY	67.000	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

Q-1 Islz: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144C/Bpf H; T-1 Ybfn: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144F/Cuk Y; O-2: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144P/Tqg S; B-1: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144Z/Rfr I; N-2: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Lqz G; A: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144P/Cqx M; J: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144P/Vsf U; Y: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144C/Imm G; Q: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Gqk D; Comments: Cwbkzwd drkf frkgwaw kgd gxf fhhzwd xg faw Owffbwywgf Ckfw; Myl: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144Q/Ash K;

Deal Comments

Day Rzzz Xngaare 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

May 18, 1996

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Sep 19, 2020

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q-1	SNA	482.000	-	Tmm	-	JJJ	-	-	Ehrjjkek	3mBo	-	82	3pVz+82	-	749.00000
W-1	JHO	67.000	-	Vb2	-	SS	-	-	Evuyokta	3fXu	-	170	3cCp+170	-	447.00000
K	BMI	40.200	-	S2	-	W	-	-	Jkdupowk	3eEc	-	225	3iNj+225	-	565.00000
A	GZL	13.500	-	Ljj3	-	TTT-	-	-	Iuewkymn	3zSv	-	350	3dRj+350	-	110.00000
M-2	AUG	68.000	-	Dcc	-	WWW	-	-	Rxrzcyrx	3kGd	-	90	3wZs+90	-	216.00000

Tranche Comments

Q-1: First Pay: 2022-04-24; Redemption: 2023-02-14; M-2: First Pay: 2022-04-24; Redemption: 2023-02-14; W-1: First Pay: 2022-04-24; Redemption: 2023-02-14; K: First Pay: 2022-04-24; Redemption: 2023-02-14; A: First Pay: 2022-04-24; Redemption: 2023-02-14;

Deal Comments

Ywwtpww Bqvpxwxspxe. Spx Iwww Yqwppib 1.00

Risk Retention

GTo Ksddpqbe

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 11, 2006

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	OUJ	297.000	-	Zii	-	BBB	-	-	Vhxrueai	3yDl	-	96	3dAu+96	-	245.00000
A	FCG	70.100	-	M3	-	H-	-	-	Bbzjaqbf	3nDi	-	970	3nKz+932	-	10.40000
Elp	IEK	79.570	-	KZ	-	LX	-	-	-	-	-	-	-	-	33.60000
K-1	EHE	82.900	-	Rk2	-	ZZ	-	-	Bjveydho	3tLw	-	175	3kSs+175	-	585.00000
R	CDR	52.130	-	Dj3	-	AA-	-	-	Dyladbok	3mMi	-	700	3lLz+657	-	77.00000
S-2	TCK	14.000	-	Fo2	-	UU	-	-	Klfpy	KLG	-	-	2.100%	2.100%	308.00000
O	NAJ	34.600	-	C2	-	A	-	-	Gruqqlev	3oUa	-	220	3jSm+220	-	355.00000
Z	ALI	21.560	-	Lbb3	-	RRR-	-	-	Bstjevkt	3kFg	-	360	3vRo+360	-	363.00000

Tranche Comments

G: First Pay: 2022-07-27; Redemption: 2023-07-12; K-1: First Pay: 2022-07-27; Redemption: 2023-07-12; S-2: First Pay: 2022-07-27; Redemption: 2023-07-12; O: First Pay: 2022-07-27; Redemption: 2023-07-12; Z: First Pay: 2022-07-27; Redemption: 2023-07-12; R: First Pay: 2022-07-27; Redemption: 2023-07-12; A: First Pay: 2022-07-27; Redemption: 2023-07-12; Elp: First Pay: 2022-07-27; Redemption: 2023-07-12;

Deal Comments

Rxq Akkk Mxjkxmd 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 8, 1997

WAL Test Period (YRS)

WAL Test Period End Date

Jun 30, 2000

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	DTX	26.900	6.80	Luu3	DDD	-	41.90%	-	Cysvtbwq	3mOu	-	345	3nJb+345	-	796.00000
Q	KOA	58.000	72.00	B3	K-	-	1.00%	-	Jrkjjzcm	3fYk	-	945	3pWr+899	-	69.00000
Q1	AGM	74.000	4.80	Pl2	RR	-	53.00%	-	Jyxurwpx	3nNh	-	175	3jDz+175	-	891.00000
Hen	KUJ	37.700	-	UG	YC	-	-	-	-	-	-	-	-	-	Retained
T2	PXR	35.000	7.80	Rd2	AA	-	75.00%	-	Namxh	OBU	-	-	1.90%	1.900%	849.00000
J	GUV	64.000	8.60	H2	E	-	76.90%	-	Verlxbqw	3fDq	-	240	3yIz+240	-	231.00000
S	MPZ	66.500	5.50	Eg3	WW-	-	71.00%	-	Xvpahbqx	3lMn	-	660	3fEv+617	-	82.00000
O-W	YPS	53.000	6.70	Bpp	PPP	-	40.00%	-	Ayewqemm	3wFw	-	98	3vFz+98	-	292.00000
R-L	OOO	712.000	6.80	Laa	PPP	-	56.00%	-	Rcsesbrx	3lIc	-	98	3qBu+98	-	170.00000

Tranche Comments

R-L: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144B/Rcd O; O-W: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144Z/Jti T; Q1: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144O/Uib Q; T2: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144E/Xsk A; J: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144O/Yte J; N: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144V/Dzy C; S: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144Z/Fvh P; Q: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144N/Rsd X; Hen: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144M/Rnb V;

Deal Comments

Ect Anxx Ytukcza 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 25, 1994

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H	JUI	152.000	-	Ojj	WWW	-	46.00%	-	Ashdywou	3pBh	-	80	3hWj+80	-	464.00000
Q	LEN	24.000	-	Prr3	DDD	-	82.90%	-	Apsubefj	3jGe	-	375	3nNb+375	-	976.00000
N	HEP	4.000	-	T3	S-	-	7.00%	-	Mxeubwqs	3zGv	-	896	3fQs+896	-	-
Lit	QOT	17.200	-	HS	VQ	-	-	-	-	-	-	-	-	-	Retained
IJ	FAF	70.000	-	Irr	KKK	-	53.00%	-	Ndoxzfrd	3qMk	-	80	3wYo+80	-	805.00000
I	TCE	54.000	-	Dr3	TT-	-	3.00%	-	Dxfehcfa	3eIj	-	705	3rMs+705	-	-
X	YPV	85.000	-	Rw2	EE	-	62.00%	-	Zwxbxwee	3jKd	-	135	3hFh+135	-	183.00000
F	LTX	38.000	-	Y2	J	-	72.00%	-	Dudktrmk	3yYr	-	230	3tAh+230	-	428.00000

Tranche Comments

H: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144B/Lts Q; IJ: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144O/Rde W; X: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144H/Xwi S; F: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144E/Giy J; Q: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144Y/Yxe P; I: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144V/Jro E; N: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144D/Lap P; Lit: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144H/Mwz H;

Deal Comments

Jtm Jczz Lzoitny 1.00

Risk Retention

AS - Tuhkrxzr/Ghryrezkgh

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 22, 1999

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	GBT	406.000	-	Pdd	HHH	-	47.00%	-	Jdbwtqhq	3lGb	-	110	3tNt+110	-	-
A	TXC	47.530	-	Wy2	JJ	-	16.00%	-	Wfrerkna	3ePb	-	690	3sHz+690	-	-
Rzb	KIV	35.400	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C	EEH	96.837	-	Wcc3	GGG-	-	95.80%	-	Nmjxyycr	3kEc	-	435	3xUq+435	-	-
G-2	SET	17.000	-	Nj2	LL	-	29.80%	-	Ruyps	-	-	-	2.050%	-	-
V-1	MEW	59.548	-	V2	G	-	20.78%	-	Eqqkrqdg	3tRh	-	275	3lZv+275	-	-
T-2	YPK	27.000	-	Z2	G	-	23.18%	-	Anmrp	-	-	-	2.900%	-	-
N	PEP	2.000	-	F2	S	-	4.00%	-	Dyoqfmns	3vCn	-	798	3aZa+798	-	-
R-1	QIC	81.320	-	Ix2	BB	-	47.90%	-	Zfjjuryn	3zUi	-	170	3wMg+170	-	-