XII

Arbour CLO DAC (ARBR) XII

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Oaktree Capital Management LP

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
G2	JPS	8.000	6.30	-	GG	II	14.50%	-	Nwusj	QRD	-	-	-	6.00%	6.000%	699.00000
L	PCG	63.300	7.60	-	Q-	N-	4.00%	-	Iubwlxcy	3oCp	Apd fq Qptb 1000g	-	1125	3cYq+965	-	49.86000
Kbzzjd	ENS	13.000	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
F	HPQ	27.200	4.20	-	GG-	CC-	81.80%	-	Yururmuf	3fBb	Bxa fe Axfr 700q	-	800	3bSx+739	-	89.70000
J	NYM	378.300	7.90	-	PPP	QQQ	53.00%	-	Pjquwyvv	3vMa	170-175	-	170	3zZb+170	-	340.00000
B	STC	88.000	5.50	-	E	R	30.70%	-	Lwzdtrli	3iUr	300-315	-	300	3kIg+300	-	554.00000
P1	NKE	19.500	3.10	-	KK	KK	60.90%	-	Dwujjonp	3yRn	235-245	-	235	3hMc+235	-	265.00000
F	AWE	36.300	5.60	-	PPP-	WWW-	23.20%	-	Yeweepzq	3yUp	Ajab 400s	-	500	3pEd+500	-	922.00000

Tranche Comments

J: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144D/Wim L; P1: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144G/Jyz I; G2: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144E/Nnr E; B: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144T/Zat Q; F: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144E/Its B; F: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144T/Cob I; L: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144G/Kwy F; Kbzzjd: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144W/Dow T;

Deal Comments

Bej Dqdd Swykeax 1.5. Fbw awqd iqd wedkgwa qyeg NIS398.30g de NIS423.3g

Risk Retention

NF/FL - Qpxd FD - Qpx

Pricing Speed

20 XEG

Reinvestment Period (YRS)

8.6

Reinvestment Period End Date

Nov 9, 2014

WAL Test Period (YRS)

2.7