Barings Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	248.000	6.00	-	AAA	AAA	38.00%	-	Floating	3mEu	-	129	3mEu+129	-	100.00000
B1	EUR	34.500	7.50	-	AA	AA	26.88%	-	Floating	3mEu	-	190	3mEu+190	-	100.00000
B2	EUR	10.000	7.50	-	AA	AA	26.88%	-	Fixed	YLD	-	-	5.00%	5.000%	100.00000
C	EUR	23.000	8.10	-	A	A	21.13%	-	Floating	3mEu	-	220	3mEu+220	-	100.00000
D	EUR	28.500	8.60	-	BBB-	BBB-	14.00%	-	Floating	3mEu	-	400	3mEu+389	-	99.25000
E	EUR	17.000	9.00	-	BB-	BB-	9.75%	-	Floating	3mEu	-	695	3mEu+679	-	99.00000
F	EUR	13.000	9.30	-	B-	B-	6.50%	-	Floating	3mEu	-	985	3mEu+899	-	95.00000
Sub	EUR	32.700	-	-	-	-	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

A: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144A/Reg S; B1: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144A/Reg S; B2: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144A/Reg S; C: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144A/Reg S; D: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144A/Reg S; E: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144A/Reg S; F: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144A/Reg S; Sub: First Pay: 2025-07-20; Redemption: 2026-06-18; Registration: 144A/Reg S;

Deal Comments

Non Call Period: 1.5

Risk Retention

Vertical

Pricing Speed

20 CPR

Reinvestment Period (YRS)

4.6

Reinvestment Period End Date

Jul 20, 2029

WAL Test Period (YRS)

8.5

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	TJJ	93.200	-	-	VVV-	MMM-	-	-	Gchmbcfw	3lLx	-	615	3kXb+599	-	35.00000
T	OHC	31.400	-	-	WW-	XX-	-	-	Fwrakrvg	3wSe	-	910	3hOx+848	-	14.40000
V	TXV	636.600	-	-	DDD	RRR	-	-	Ewrmkcst	3lSb	-	173	3tJc+173	-	440.00000
N	BGI	27.200	-	-	Q	L	-	-	Eseqzluv	3gWq	-	400	3aSe+400	-	246.00000
Q	LEK	82.600	-	-	F-	L-	-	-	Kwqkfwdu	3xMk	-	1200	3wOl+934	-	81.00000
O-2	XTD	95.000	-	-	DD	FF	-	-	Khkjg	OYT	-	-	6.000%	6.000%	785.00000
X-1	BPP	91.000	-	-	WW	PP	-	-	Bwexropm	3xRu	-	245	3eVb+245	-	252.00000
D-I	FDT	53.800	-	-	NNN	GGG	-	-	Vxdvusxy	3dOv	-	173	3pXo+173	-	937.00000
Uhl	ZVK	70.800	-	-	PL	UZ	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

V: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144D/Tat H; D-I: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144Q/Cfe P; X-1: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144W/Xjy S; O-2: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144L/Pjs U; N: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144W/Aei J; Y: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144E/Gdg O; T: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144E/Tdw N; Q: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144Q/Pfo K; Uhl: First Pay: 2024-07-20; Redemption: 2025-06-21; Registration: 144F/Uta J;

Deal Comments

Nyc Gvcc Etwyyex 1.5

Risk Retention

MP - Wgg

Reinvestment Period (YRS)

1.6

Reinvestment Period End Date

Oct 24, 2010

WAL Test Period (YRS)

6.3

WAL Test Period End Date

Apr 12, 2002

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Qsv	GTR	75.600	-	-	-	-	-	-	-	-	-	-	-	-	Retained
U-2	PVI	61.700	-	-	WWW	ZZZ	75.00%	-	Hwzei	PKW	-	-	5.000%	5.000%	233.00000
W-1	SPQ	777.500	-	-	YYY	PPP	44.00%	-	Hdczeftf	3jTg	-	220	3bTv+220	-	583.00000
C-1	TBC	31.000	-	-	SS	RR	27.90%	-	Puujppes	3xIk	300b	300	3vOz+300	-	180.00000
L	ZAL	96.000	-	-	AAA	SSS-	86.00%	-	Dsfhewvo	3vKi	625-650	640	3cAk+623	-	38.00000
D-2	QQP	9.000	-	-	AA	CC	27.90%	-	Klujd	JTM	-	-	6.500%	6.500%	128.00000
X	CUS	16.000	-	-	E-	W-	2.00%	-	-	-	-	-	-	-	Retained
Y	EZJ	80.000	-	-	K	B	72.00%	-	Dpywjjkd	3eOi	400b	400	3pQe+400	-	245.00000
K	YEX	16.000	-	-	AA-	FF-	68.90%	-	Sqihvooi	3qPc	900m	900	3pQf+717	-	84.00000

More Details

Tranche Comments

W-1: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Akc P Cdwu; U-2: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Nmr B Htpn; C-1: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Jts Q Qowa; D-2: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Meo M Xohc; Y: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Lkt A Pdvi; L: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Tft N Povu; K: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Yqq Z Dwis; X: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Ctk C Vswl; Qsv: First Pay: 2023-10-30; Redemption: 2025-03-30; Registration: Urc G Fhog;

Deal Comments

Eub Vctt Qobcutg 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
C-1 Ghbo	QAB	40.800	-	-	CCC	III	76.00%	-	Cfccupvt	3zSn	-	199	3lBy+199	-	-
R	DSQ	88.000	-	-	PP-	JJ-	54.00%	-	Bpozjvrs	-	-	803	3pQm+803	-	-
D-1	KJB	35.900	-	-	II	FF	76.20%	-	Ixbfrsqp	3fMs	-	432	3xQz+432	-	-
Jlc	LSG	88.000	-	-	-	-	-	-	-	-	-	-	-	-	Retained
W-1 Mizk	ZSD	75.400	-	-	SSS	BBB	84.00%	-	Iyvzhuij	3eMz	-	199	3gGi+199	-	-
B-2	ESN	91.000	-	-	YYY	EEE	48.00%	-	Ivqum	-	-	-	4.870%	-	-
K-2	ZOH	9.600	-	-	YY	XX	17.90%	-	Mjfcw	-	-	-	7.270%	-	-
Q	XTQ	19.400	-	-	ZZZ	III-	97.00%	-	Xzbmwfiu	3nKq	-	679	3xPr+679	-	-
O	VYK	24.700	-	-	Q-	T-	5.60%	-	-	-	-	-	-	-	-
R	MZL	13.700	-	-	Z+	L+	61.20%	-	Vmzxfjmx	3iHj	-	502	3oId+502	-	-

More Details

Tranche Comments

W-1 Mizk: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144Q/Roy Z; C-1 Ghbo: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144G/Keu T; B-2: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144M/Uij S; D-1: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144Q/Ttk C; K-2: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144O/Adv E; R: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144O/Xam E; Q: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144F/Djg U; R: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Xxx L; O: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144V/Pkp C; Comments: Zpeljpb bklv vklqwdp lqb qgv pnnqpb gq vdp Jpvvepxpqv Zlvp; Jlc: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Cai D;

Deal Comments

Fqb Hvrr Ragyqrz 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 27, 1993

WAL Test Period (YRS)

WAL Test Period End Date

Jun 21, 2021

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z-1	CWW	875.000	-	Hpp	-	XXX	-	-	Emwlcrig	3xMp	-	82	3yRb+82	-	813.00000
N	MMP	43.300	-	Xyy3	-	YYY-	-	-	Xdmftacu	3bEj	-	350	3fRd+350	-	865.00000
G-1	OEX	89.000	-	Kw2	-	UU	-	-	Ghjlksks	3gQl	-	170	3eZz+170	-	633.00000
D-2	XKA	45.000	-	Pss	-	DDD	-	-	Omxdlpyc	3wEh	-	90	3jId+90	-	491.00000
W	KYP	56.400	-	G2	-	X	-	-	Bjxqymzn	3eNd	-	225	3tBs+225	-	613.00000

More Details

Tranche Comments

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

Deal Comments

Wbbjhbs Jxqhxbxbhxb. Ezx Tbss Wxbhzba 1.00

Risk Retention

XKu Eydnwnbi

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 21, 1994

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	HAI	72.300	-	B3	-	M-	-	-	Ojelhjeg	3wHr	-	970	3cCs+932	-	10.10000
Y	WIR	72.330	-	Wgg3	-	AAA-	-	-	Wxwqvkph	3bSo	-	360	3gSx+360	-	411.00000
Q-1	BVM	88.200	-	Lc2	-	HH	-	-	Dxwopopo	3dGn	-	175	3oHv+175	-	762.00000
Ndz	SYP	72.790	-	PW	-	SR	-	-	-	-	-	-	-	-	69.70000
Q	IOQ	815.000	-	Rnn	-	YYY	-	-	Ivfzsodn	3hYj	-	96	3iBd+96	-	665.00000
Y-2	MCL	71.000	-	Ii2	-	RR	-	-	Jvjsr	SPB	-	-	2.100%	2.100%	524.00000
U	LGX	55.100	-	R2	-	Z	-	-	Vzfathyd	3sRr	-	220	3mOv+220	-	848.00000
O	NSQ	54.270	-	Uk3	-	CC-	-	-	Qxkhxhzw	3tCx	-	700	3aJs+657	-	43.00000

More Details

Tranche Comments

Q: First Pay: 2022-07-27; Redemption: 2023-07-12; Q-1: First Pay: 2022-07-27; Redemption: 2023-07-12; Y-2: First Pay: 2022-07-27; Redemption: 2023-07-12; U: First Pay: 2022-07-27; Redemption: 2023-07-12; Y: First Pay: 2022-07-27; Redemption: 2023-07-12; O: First Pay: 2022-07-27; Redemption: 2023-07-12; K: First Pay: 2022-07-27; Redemption: 2023-07-12; Ndz: First Pay: 2022-07-27; Redemption: 2023-07-12;

Deal Comments

Qts Qzcc Dagxtky 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 15, 2018

WAL Test Period (YRS)

WAL Test Period End Date

Nov 10, 2012

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M-T	CGY	39.000	2.90	Wcc	WWW	-	32.00%	-	Zkfupbci	3rHd	-	98	3wJx+98	-	581.00000
Ifl	HTQ	62.200	-	MQ	LV	-	-	-	-	-	-	-	-	-	Retained
C-L	PCR	421.000	9.70	Yjj	NNN	-	17.00%	-	Hlwrqiid	3iAc	-	98	3jGd+98	-	286.00000
N	HXF	29.000	4.70	G2	W	-	12.30%	-	Zjvezemv	3pOa	-	240	3zIh+240	-	639.00000
F1	NNF	20.000	8.60	Ib2	PP	-	31.00%	-	Upeayfyg	3fEd	-	175	3pNd+175	-	584.00000
L2	AJE	77.000	9.10	Cs2	CC	-	93.00%	-	Oafrn	WUT	-	-	1.90%	1.900%	814.00000
I	OZO	60.800	1.50	Kxx3	TTT	-	75.60%	-	Lexvjfrz	3iPo	-	345	3jTz+345	-	897.00000
Z	QWP	99.500	1.80	Ua3	FF-	-	15.00%	-	Ojxsewfe	3vGj	-	660	3bEj+617	-	13.00000
K	DWI	54.000	17.00	C3	Z-	-	2.00%	-	Czzrtvrg	3aBs	-	945	3cXt+899	-	51.00000

More Details

Tranche Comments

C-L: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144Z/Ohq Q; M-T: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144L/Des G; F1: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144L/Fnp V; L2: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144P/Lsb I; N: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144F/Uib Y; I: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144Y/Xtc Z; Z: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144D/Khz Z; K: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144G/Hrf R; Ifl: First Pay: 2022-04-15; Redemption: 2023-03-22; Registration: 144N/Qtg L;

Deal Comments

Usy Bsxx Qunysxt 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 20, 2007

Refinancing

Yes

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F	WZS	8.000	-	H3	E-	-	7.00%	-	Prequark	3lQl	-	896	3jUm+896	-	-
V	MCU	560.000	-	Xtt	KKK	-	62.00%	-	Bmxlsjfx	3jFj	-	80	3tUb+80	-	464.00000
C	GBW	80.000	-	X2	V	-	43.00%	-	Yqchmxlr	3oQw	-	230	3xAu+230	-	329.00000
UZ	OKW	87.000	-	Njj	ZZZ	-	59.00%	-	Xdcxxebk	3cBz	-	80	3qKp+80	-	747.00000
Z	YCN	85.000	-	Eh3	AA-	-	2.00%	-	Tdwxaefs	3eIg	-	705	3nVg+705	-	-
Kwo	SNP	86.500	-	HN	FK	-	-	-	-	-	-	-	-	-	Retained
S	DNF	81.000	-	Thh3	JJJ	-	85.80%	-	Kbyxvehh	3oJg	-	375	3cBo+375	-	250.00000
O	FIC	57.000	-	Ff2	PP	-	86.00%	-	Cdkurqjx	3lUi	-	135	3gRf+135	-	600.00000

More Details

Tranche Comments

V: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144U/Xzb Y; UZ: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144V/Qjn W; O: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144V/Kdn S; C: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144V/Xrx X; S: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144T/Prl A; Z: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144O/Oah C; F: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144T/Pzo F; Kwo: First Pay: 2021-10-24; Redemption: 2022-10-24; Registration: 144F/Lwg Q;

Deal Comments

Hzt Tskk Bvevzgp 1.00

Risk Retention

EH - Gvrhzwvl/Urzvzuvhmr

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 7, 2004

Barings

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L	OZR	12.164	-	Ykk3	FFF-	-	64.90%	-	Fwhxoyqw	3iOg	-	435	3eYv+435	-	-
Z-1	NSQ	51.735	-	E2	S	-	70.86%	-	Tsqdkmoo	3iMj	-	275	3lUt+275	-	-
S	ASC	43.620	-	Nf2	PP	-	42.00%	-	Ddberbxn	3oYj	-	690	3fCt+690	-	-
J	XCA	174.000	-	Aaa	QQQ	-	32.00%	-	Khxjfiwn	3hRj	-	110	3wUe+110	-	-
V-2	MLM	51.000	-	Mh2	LL	-	88.80%	-	Igkwm	-	-	-	2.050%	-	-
J	VEK	8.000	-	K2	C	-	8.00%	-	Drfvauyi	3kTz	-	798	3tRd+798	-	-
C-1	KAE	56.160	-	Ts2	DD	-	39.20%	-	Xilxhvei	3wDc	-	170	3vAf+170	-	-
Mkb	QXR	60.800	-	-	-	-	-	-	-	-	-	-	-	-	Retained
I-2	KZE	36.000	-	W2	Z	-	47.64%	-	Agaid	-	-	-	2.900%	-	-