Waterstown Park CLO DAC

Deals

Blackstone Credit (fka GSO Capital Partners)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	SYP	53.000	-	-	KK	TT	46.40%	-	Omwswlkk	3bVi	-	200	3iZx+200	-	499.00000
E2	BME	9.000	-	-	XXX	MMM	80.00%	-	Ecrvcoah	3hEb	-	165	3jDi+165	-	216.00000
H	OEE	82.000	-	-	RRR-	NNN-	31.00%	-	Obmuhblh	3hMz	-	320	3jPv+320	-	103.00000
Kgj	VPZ	97.600	-	-	FZ	XA	-	-	-	-	-	-	-	-	Retained
N1	BIV	376.000	-	-	DDD	AAA	49.00%	-	Pvmblzvm	3aDb	-	128	3pRc+128	-	214.00000
S	XDQ	60.000	-	-	LL-	VV-	6.60%	-	Kuyqlcrj	3hCe	-	570	3fEr+570	-	983.00000
Q	OXL	36.000	-	-	V	L	82.00%	-	Uqblszad	3wUp	-	230	3qEt+230	-	892.00000
U	PQE	37.000	-	-	A-	Z-	8.10%	-	Jkpwjeei	3zFi	-	865	3oKf+835	-	31.00000

Tranche Comments

N1: First Pay: 2025-07-25; Redemption: 2026-07-25; Registration: 144Z/Ajx J; E2: First Pay: 2025-07-25; Redemption: 2026-07-25; Registration: 144P/Fkm H; T: First Pay: 2025-07-25; Redemption: 2026-07-25; Registration: 144K/Lif P; Q: First Pay: 2025-07-25; Redemption: 2026-07-25; Registration: 144X/Yfo M; H: First Pay: 2025-07-25; Redemption: 2026-07-25; Registration: 144Q/Zre J; S: First Pay: 2025-07-25; Redemption: 2026-07-25; Registration: 144V/Flf I; U: First Pay: 2025-07-25; Redemption: 2026-07-25; Registration: 144P/Qvj D; Kgj: First Pay: 2025-07-25; Redemption: 2026-07-25; Registration: 144T/Awk Q;

Deal Comments

Svs Ompp Zsyjvyi 1.5

Reinvestment Period (YRS)

2.6

Reinvestment Period End Date

Aug 27, 2021

WAL Test Period (YRS)