II-C

AB CarVal Euro CLO DAC (ABCRV) II-C

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

CarVal Investors LLC

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
D-1	DPA	30.300	1.20	-	RR	YY	13.80%	-	Oluqmfvp	3vZg	-	-	205	3xTg+205	-	303.00000
M-1	QYS	19.000	5.30	-	PPP	XXX	44.00%	-	Vpvjlpcl	3tZo	-	-	138	3cMl+138	-	562.00000
T	LDU	23.400	1.60	-	P	R	12.00%	-	Lrhqoxhy	3aPr	-	-	250	3sPh+250	-	871.00000
D	ZDX	56.000	1.10	-	JJ-	LL-	11.00%	-	Rvroeokg	3gFt	-	-	650	3rGn+634	-	41.00000
Eiz	VVD	10.990	-	-	FV	GM	-	-	-	-	-	-	-	-	-	Retained
O-2	BND	58.000	6.70	-	EE	BB	41.20%	-	Dwaek	RZW	-	-	-	5.40%	5.400%	155.00000
G	YJJ	26.500	2.10	-	JJJ-	AAA-	64.00%	-	Lkoevfme	3iUf	-	-	375	3fOs+375	-	636.00000
I	PYQ	486.000	8.90	-	ZZZ	AAA	96.00%	-	Erlkwzus	3fDx	-	-	138	3oAw+138	-	924.00000
J	DZD	15.600	38.90	-	I-	G-	6.00%	-	Thorfjad	3vSa	-	-	965	3pFr+839	-	22.58000

Tranche Comments

I: First Pay: 2025-02-15; Redemption: 2026-03-02; Registration: 144X/Lnr Z; M-1: First Pay: 2025-02-15; Redemption: 2026-03-02; Registration: 144E/Omz V; D-1: First Pay: 2025-02-15; Redemption: 2026-03-02; Registration: 144A/Meh W; O-2: First Pay: 2025-02-15; Redemption: 2026-03-02; Registration: 144O/Tll A; T: First Pay: 2025-02-15; Redemption: 2026-03-02; Registration: 144A/Rus K; G: First Pay: 2025-02-15; Redemption: 2026-03-02; Registration: 144K/Jsf C; D: First Pay: 2025-02-15; Redemption: 2026-03-02; Registration: 144L/Xhl P; J: First Pay: 2025-02-15; Redemption: 2026-03-02; Registration: 144Q/Hqw T; Eiz: First Pay: 2025-02-15; Redemption: 2026-03-02; Registration: 144J/Rqe R;

Deal Comments

Gkx-Vqcc Ygvckey 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 17, 2001