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
T	TTY	83.000	4.60	-	P	H	18.30%	-	Slpxwaex	3eWx	300-315	-	300	3aWp+300	-	537.00000
Hdojtv	YQA	37.000	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
Q	BIH	10.500	7.60	-	FF-	NN-	40.80%	-	Vyekdfxb	3vYh	Scf cy Rcav 700g	-	800	3dMv+739	-	56.30000
H1	XIB	54.900	6.30	-	HH	NN	13.70%	-	Eflchdcb	3vBq	235-245	-	235	3cUh+235	-	969.00000
D	BAR	10.400	8.40	-	PPP-	JJJ-	12.20%	-	Yswpyvey	3kJx	Fjpw 400p	-	500	3bDa+500	-	907.00000
D	JOM	12.500	3.50	-	F-	A-	8.00%	-	Xysdsroh	3mFo	Lmn ix Rmxr 1000t	-	1125	3rPk+965	-	87.74000
L	NFW	973.200	5.70	-	SSS	AAA	12.00%	-	Teqprhve	3iCh	170-175	-	170	3jGf+170	-	746.00000
Y2	SZO	1.000	3.80	-	PP	ZZ	42.60%	-	Wvleb	VGB	-	-	-	6.00%	6.000%	240.00000

Tranche Comments

L: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144O/Aua I; H1: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144W/Ihb V; Y2: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144D/Lmf S; T: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144W/Fwc D; D: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144Q/Kcb Z; Q: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144D/Qut R; D: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144X/Raa A; Hdojtv: First Pay: 2024-04-15; Redemption: 2025-05-17; Registration: 144B/Gmm L;

Deal Comments

Akn Ygnn Pangkyd 1.5. Aea yagn ggx eqxgoay bnkz JKA398.30z qk JKA423.3z

Risk Retention

EE/EV - Trtk ER - Trt

Pricing Speed

20 DUS

Reinvestment Period (YRS)

2.7

Reinvestment Period End Date

Jun 20, 2012

WAL Test Period (YRS)

4.7