2024-1

ICG Euro CLO DAC (ICG) 2024-1

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Intermediate Capital Group PLC (ICG)

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
C-2	NOD	5.000	3.20	-	RR	LL	87.00%	-	Ahizm	XCY	Csw 5.00%t	-	-	5.60%	5.600%	696.00000
D2	WGV	8.000	6.70	-	C-	F-	9.42%	-	Exsfrhrb	3rBj	Wxn iv Jxtd 900v	-	995	3eLj+861	-	14.40000
O	VKY	28.000	2.90	-	LLL-	YYY-	48.00%	-	Tfqktaua	3pDg	370-380	-	370	3fQr+370	-	189.00000
Szwgqs	LBY	64.900	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
T	OAS	33.000	6.50	-	Z	M	69.00%	-	Uuvysfsb	3vKb	255-265	-	260	3tMb+260	-	717.00000
N	ABM	467.000	2.70	-	FFF	QQQ	81.00%	-	Xhuksjbq	3qNt	-	-	144	3bLg+144	-	600.00000
I1	PYD	4.000	4.40	-	E+	L+	2.30%	-	Dqvuxznk	3bSf	Uqe 800b	-	850	3kMx+799	-	82.00000
G-1	YDH	66.000	3.70	-	SS	AA	85.00%	-	Vfrfztdv	3xSx	-	-	210	3hIp+210	-	539.00000
X	SWL	63.000	1.40	-	BB-	BB-	3.70%	-	Fjzaycmv	3jTb	Yvkt 600a-700	-	670	3hVs+654	-	45.00000

Tranche Comments

N: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144G/Tcu S; G-1: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144Y/Lsg K; C-2: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144L/Jou C; T: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144A/Mvn H; O: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144G/Hii B; X: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144Z/Qii Y; I1: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144F/Msm V; D2: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144G/Cuy C; Szwgqs: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144N/Rnr A;

Deal Comments

Xqg Cwuu Xotkquj 1.5

Risk Retention

DW/WO - Tiep WT - Hz

Pricing Speed

20 DVR

Reinvestment Period (YRS)

2.5

Reinvestment Period End Date

Dec 28, 2015

WAL Test Period (YRS)

1.6