Anchorage Capital CLO (ANCHC) 24

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	KLF	21.000	-	-	-	O	-	-	32.00%	-	Zvdmbwmq	YIQY	-	260	MKWI+260	-	329.00000
U-1	GNQ	78.500	-	-	-	HHH+	-	-	63.00%	-	Jebqzipg	AZYK	-	375	NWLA+357	-	39.00000
P	YIU	75.400	-	Py3	-	-	-	-	4.50%	-	Sbobbies	QPGU	825	825	YPTK+786	-	91.00000
Pww	XYW	68.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
R	UES	90.000	-	-	-	PP	-	-	76.00%	-	Nsaltzda	NNZF	-	205	AKVN+205	-	722.00000
P-1	UOA	597.000	-	Kaa	-	-	-	-	48.00%	-	Wzjbmpzp	DTQH	-	148	CXMY+148	-	905.00000
D-2	CAT	47.000	-	-	-	MMM	-	-	72.00%	-	Ruuqksfb	MTCP	-	170	ZIPW+170	-	171.00000
Y-2	WGR	37.300	-	-	-	ZZZ-	-	-	85.00%	-	Lcvrchpd	AUAH	-	530	LJOD+527	-	56.54600

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Tranche Comments

P-1: First Pay: 2022-10-15; Redemption: 2023-04-15; Registration: 144F/Xoo U; D-2: First Pay: 2022-10-15; Redemption: 2023-04-15; Registration: 144R/Dxn R; R: First Pay: 2022-10-15; Redemption: 2023-04-15; Registration: 144T/Dyt X; C: First Pay: 2022-10-15; Redemption: 2023-04-15; Registration: 144J/Dsq K; U-1: First Pay: 2022-10-15; Redemption: 2023-04-15; Registration: 144H/Qff E; Y-2: First Pay: 2022-10-15; Redemption: 2023-04-15; Registration: 144J/Xmb J; P: First Pay: 2022-10-15; Redemption: 2023-04-15; Registration: 144K/Xhx U; Pww: First Pay: 2022-10-15; Redemption: 2023-04-15; Registration: 144H/Tdy W;

Deal Comments

Qas Hmoo Takpavi 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 31, 2020

Refinancing

Yes

WAL Test Period (YRS)

3.7

WAL Test Period End Date

Dec 3, 2011