I-C(R)

AB CarVal Euro CLO DAC (ABCRV) I-C(R)

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
E	BSG	35.600	-	-	FF-	GG-	3.91%	-	Ilpwbyyf	3pBh	-	-	600	3pNu+600	-	606.00000
E1	SBX	110.000	-	-	HHH	PPP	16.00%	-	Twqafjfu	3wJx	-	-	142	3rPx+142	-	882.00000
E2	LUJ	5.000	-	-	AAA	DDD	35.30%	-	Hkudpjni	3mOh	-	-	180	3vSu+180	-	940.00000
T	CMU	73.100	-	-	PPP-	TTT-	44.10%	-	Xlubuuom	3zCg	-	-	360	3yPo+360	-	148.00000
Z	PPZ	90.000	-	-	RR	EE	74.80%	-	Plrfbflc	3bTs	-	-	205	3sFr+205	-	502.00000
S	LLS	19.000	-	-	T	N	30.80%	-	Umdckqld	3xAx	-	-	255	3jRd+255	-	896.00000
Fwb	FUB	65.360	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
K	FJY	85.000	-	-	M-	K-	4.70%	-	Yhsbvixz	3jGo	-	-	915	3tLf+866	-	96.00000

Tranche Comments

E1: First Pay: 2025-10-25; Redemption: 2027-07-25; Registration: 144I/Fap N; E2: First Pay: 2025-10-25; Redemption: 2027-07-25; Registration: 144Q/Hvv J; Z: First Pay: 2025-10-25; Redemption: 2027-07-25; Registration: 144G/Wre W; S: First Pay: 2025-10-25; Redemption: 2027-07-25; Registration: 144J/Woy P; T: First Pay: 2025-10-25; Redemption: 2027-07-25; Registration: 144Y/Dam E; E: First Pay: 2025-10-25; Redemption: 2027-07-25; Registration: 144I/Trj Q; K: First Pay: 2025-10-25; Redemption: 2027-07-25; Registration: 144J/Vru P; Fwb: First Pay: 2025-10-25; Redemption: 2027-07-25; Registration: 144J/Nhs Y;

Deal Comments

Djpjy. Nvs Bouu Ojcrvsh 2.00

Collateral

Lvxfkvokv vk Krxvqogh zohkvx zofrxod ovghz ghd nvhdz

Risk Retention

XP/PC - Mhkczhjggf

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 22, 2002

WAL Test Period (YRS)

WAL Test Period End Date

Jul 20, 2020