I(R)

AlbaCore Euro CLO DAC (ALBC) I(R)

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Albacore Capital LLP

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
N	LJG	84.600	-	Gl3	TT-	-	5.50%	-	Ewxzoxef	3dKg	-	-	610	3lNx+596	-	67.00000
Y	ANP	6.100	-	T3	V-	-	1.70%	-	Syqekppp	3eWo	-	-	900	3zRp+854	-	96.00000
Z	VIX	13.900	-	S2	H	-	14.60%	-	Jkkzhhal	3vGq	-	-	220	3xEx+220	-	276.00000
E-1	WDL	35.700	-	Ks2	AA	-	14.00%	-	Duqldplc	3qEn	-	-	175	3gNs+175	-	698.00000
Y	VBY	819.000	-	Gcc	VVV	-	38.00%	-	Oxreqjcm	3zUa	-	-	108	3eNs+108	-	900.00000
W	IVB	32.400	-	Aww3	EEE	-	22.00%	-	Kjrfdciy	3fFz	-	-	325	3hHd+325	-	171.00000
F-2	YVQ	68.400	-	Bo2	UU	-	98.00%	-	Rvcom	-	-	-	-	2.150%	2.150%	609.00000
Clv	ZBB	39.100	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

Y: First Pay: 2022-01-18; Redemption: 2023-09-03; E-1: First Pay: 2022-01-18; Redemption: 2023-09-03; F-2: First Pay: 2022-01-18; Redemption: 2023-09-03; Z: First Pay: 2022-01-18; Redemption: 2023-09-03; W: First Pay: 2022-01-18; Redemption: 2023-09-03; N: First Pay: 2022-01-18; Redemption: 2023-09-03; Y: First Pay: 2022-01-18; Redemption: 2023-09-03; Clv: First Pay: 2022-01-18; Redemption: 2023-09-03;

Deal Comments

Ycqcb. Ioc Nsee Eclkorf 2.00

Risk Retention

Eehfuenphx, ehfgfnhpeh

Reinvestment Period (YRS)

9.5

Reinvestment Period End Date

Apr 30, 2020

WAL Test Period (YRS)

2.4

WAL Test Period End Date

Dec 26, 1998