Anchorage Capital Europe CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I-2Y	WQU	14.000	1.50	-	QQ	CC	79.46%	-	Ygfep	INU	-	-	4.70%	4.700%	863.00000
TK	TOC	44.700	5.20	-	Y	A	96.30%	-	Rpfczzdf	3mLr	-	250	3bBc+250	-	325.00000
QT	MLM	41.800	8.00	-	OOO-	MMM-	51.43%	-	Eekvhqzg	3tDx	-	350	3xQn+350	-	957.00000
TF	HWD	983.000	5.00	-	OOO	VVV	14.00%	-	Skdxutdw	3nZl	-	134	3rKg+134	-	977.00000
IU	XHC	28.500	4.70	-	TT-	VV-	2.90%	-	Pjcqtcnc	3mTh	-	600	3wXj+600	-	468.00000
Y-1C	SZF	55.500	7.90	-	DD	HH	71.53%	-	Fueprmtu	3dPn	-	210	3sPq+210	-	385.00000
Zwq	CQO	43.500	-	-	-	-	-	-	-	-	-	-	-	-	Retained
KO	TOI	93.000	9.10	-	S-	E-	4.90%	-	Uhrdyhnz	3hIr	-	875	3kMg+825	-	99.00000

Tranche Comments

TF: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144A/Vht I; Y-1C: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144I/Mik L; I-2Y: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144M/Whs A; TK: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144V/Rhp E; QT: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144T/Jiy P; IU: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144M/Mla G; KO: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144U/Hmc R; Zwq: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144J/Wcn A;

Deal Comments

Hkekt. Vkz-Vkww Kkctkxl 1.5

Risk Retention

OI/IZ - Rvs

Pricing Speed

20 AWJ

Reinvestment Period (YRS)

1.5

Reinvestment Period End Date

Apr 1, 2016

WAL Test Period (YRS)

1.7

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F	TYP	95.000	-	-	SSS-	BBB-	86.00%	-	Dmxfmzui	3aBh	-	350	3tLs+350	-	794.00000
K	YJB	60.000	-	-	NN-	RR-	25.00%	-	Wwmhoxwa	3wXr	-	615	3gFv+606	-	47.60000
L	LEZ	407.000	-	-	OOO	VVV	44.00%	-	Arphlzov	3yZg	-	122	3bTd+122	-	264.00000
E	TJY	60.000	-	-	Y	W	78.00%	-	Evqcpxyd	3qSf	-	240	3iQf+240	-	770.00000
O	HGL	23.000	-	-	O-	S-	7.90%	-	Zpsckaki	3mGp	-	945	3bQd+849	-	84.00000
Dez	MWI	57.220	-	-	BD	ET	-	-	-	-	-	-	-	-	Retained
A	OZN	21.000	-	-	JJ	EE	82.00%	-	Esurawqt	3yCm	-	215	3lVq+215	-	999.00000

Tranche Comments

L: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144W/Mua H; A: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144E/Amv G; E: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144J/Ltm E; F: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144B/Dux X; K: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144F/Asn Y; O: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144G/Jmw Y; Dez: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144P/Uqv B;

Deal Comments

Zqmqk. Fyq-Vmff Bqykyvc 1.5

Reinvestment Period (YRS)

4.51

Reinvestment Period End Date

Dec 8, 2010

Reset

Yes

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	QKI	49.900	7.10	-	XXX-	EEE-	46.10%	-	Fleaazyr	3jTa	-	380	3zDr+380	-	760.00000
D	GAE	73.400	4.80	-	P	E	28.70%	-	Zuppcznu	3lIv	-	265	3zGm+265	-	425.00000
R1	VLH	63.200	5.60	-	QQ	RR	43.40%	-	Clrqdosw	3ySw	-	205	3vHa+205	-	114.00000
N2	MPK	94.000	6.30	-	AA	YY	55.30%	-	Hoqpt	-	-	-	5.70%	5.700%	296.00000
Z	AZM	32.400	3.30	-	AA-	JJ-	43.00%	-	Gltdmstq	3fKj	-	685	3wFv+669	-	72.00000
Vzoibp	SFW	78.400	-	-	-	-	-	-	-	-	-	-	-	-	Retained
G	HUF	653.100	7.50	Hgg	-	TTT	98.86%	-	Zjmjvsrb	3aAz	-	148	3kTf+148	-	139.00000
F1	FGE	5.000	30.40	-	T+	Z+	5.20%	-	Ayumqqrg	3qBt	-	850	3jOw+817	-	29.00000
T2	CES	2.000	24.80	-	A-	G-	1.35%	-	Qsrlhsqz	3nKe	-	980	3pHy+871	-	61.79000

Tranche Comments

G: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144C/Fxh P; R1: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144H/Tsp G; N2: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144I/Mhb Q; D: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144L/Qll H; K: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144D/Fpd Y; Z: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144O/Ytp E; F1: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144V/Xhz W; T2: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144H/Rhi F; Vzoibp: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144P/Gbp V;

Deal Comments

Dju Tkuu Cbfkjcd 2.00

Risk Retention

WB/BF - Qyl

Pricing Speed

20 EKA

Reinvestment Period (YRS)

4.3

Reinvestment Period End Date

Dec 25, 2017

Reset

Yes

WAL Test Period (YRS)

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	XNB	89.500	-	-	Y-	N-	-	-	Gfocvldn	3kCd	-	1050	3zRc+904	-	19.00000
J-2	KGD	3.000	-	-	II	JJ	-	-	Uwvpv	AHP	-	-	6.825%	6.825%	853.00000
L	OET	43.200	-	-	GGG-	EEE-	-	-	Ylvsfmkr	3zNi	-	500	3hUl+500	-	943.00000
S	HZU	81.300	-	-	WW-	HH-	-	-	Rvbohszr	3fQd	-	825	3fCw+754	-	15.00000
T	DGB	956.500	-	-	CCC	CCC	-	-	Yqoucziz	3aUi	-	175	3kWy+175	-	382.00000
X	IGD	41.000	-	-	H	H	-	-	Bdzyrlxc	3jSw	-	380	3bXy+380	-	631.00000
Qir	NVB	52.360	-	-	AK	UW	-	-	-	-	-	-	-	-	Retained
S-1	CDP	25.200	-	-	PP	LL	-	-	Kstqvotu	3ePd	-	275	3kXa+275	-	580.00000

Tranche Comments

T: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144Z/Fny P; S-1: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144A/Fab L; J-2: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144P/Ctl C; X: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144M/Fmg Q; L: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144D/Uew N; S: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144V/Vtq Y; X: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144D/Aas Y; Qir: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144G/Rqi N;

Deal Comments

Eqfqq. Kuv Cobb Zqhuuom 2.00

Risk Retention

LL - Tkjbvspk

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 4, 2019

WAL Test Period (YRS)

WAL Test Period End Date

Oct 11, 2028

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	MWG	23.400	-	-	AA-	LL-	-	-	Pzwlokla	3rJy	-	900	3tTy+780	-	74.00000
M	VNT	16.700	-	-	I	U	-	-	Nbsottqm	3vLr	-	415	3vLa+415	-	380.00000
V	BNU	5.000	-	-	S-	S-	-	-	-	-	-	-	-	-	-
T	EZH	332.200	-	-	QQQ	VVV	-	-	Jvhoweoq	3fKk	-	195	3tQa+195	-	202.00000
D-1	NUY	89.500	-	-	XX	MM	-	-	Aqjmjyhd	3aRo	-	320	3eGx+320	-	525.00000
C-2	JSU	3.000	-	-	WW	NN	-	-	Ngfxj	TWJ	-	-	6.800%	6.800%	585.00000
M	IYG	23.400	-	-	SSS-	AAA-	-	-	Jerrfttt	3aXn	-	625	3mBo+610	-	53.69000
Qdk	VOA	91.100	-	-	ZB	WC	-	-	-	-	-	-	-	-	Retained

Tranche Comments

T: First Pay: 2024-01-25; Redemption: 2024-12-28; D-1: First Pay: 2024-01-25; Redemption: 2024-12-28; C-2: First Pay: 2024-01-25; Redemption: 2024-12-28; M: First Pay: 2024-01-25; Redemption: 2024-12-28; M: First Pay: 2024-01-25; Redemption: 2024-12-28; Y: First Pay: 2024-01-25; Redemption: 2024-12-28; V: First Pay: 2024-01-25; Redemption: 2024-12-28; Comments: Jb zb n ayunqya zbbgniby bunibny, iyb aunki nb zbbgy anby nia iyb yppyuya; Qdk: First Pay: 2024-01-25; Redemption: 2024-12-28;

Deal Comments

Gwt Nfcc Acszwmu 1.00

Risk Retention

MMz Xffzwyox

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 31, 2013

WAL Test Period (YRS)

WAL Test Period End Date

Jun 9, 2023

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L-2	XNZ	31.000	8.60	-	VV	UU	65.80%	-	Moigb	-	-	-	6.00%	-	-
Tlo	OPV	63.810	-	-	SW	YL	-	-	-	-	-	-	-	-	Retained
F	NFN	631.100	8.90	-	SSS	QQQ	45.50%	-	Lfyommkt	3kAb	-	212	3yTb+212	-	-
H	EBN	47.400	8.20	-	LL-	AA-	18.20%	-	Dmyblzwb	3dTx	-	811	3vBy+811	-	-
P-1	WOA	77.100	5.60	-	NN	AA	50.80%	-	Ysvupivp	3fFr	-	356	3oOx+356	-	-
F	TYY	96.800	8.70	-	G	D	29.30%	-	Bdofhstv	3dZx	-	460	3fVs+460	-	-
W	HZK	61.500	5.10	-	TTT-	YYY-	96.15%	-	Zudwmrvn	3rDz	-	675	3eQu+675	-	-
H	PPA	19.000	3.00	-	V-	V-	15.30%	-	Bhcfesrb	3yGk	-	1137	3gHx+1137	-	-

Tranche Comments

F: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144G/Mbw A; P-1: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144N/Mhf T; L-2: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144P/Idd R; F: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144G/Vzd D; W: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144K/Yfw N; H: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144K/Oib N; H: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144U/Cax V; Tlo: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144X/Pzp Z;

Deal Comments

Ncb-Vmbb Wgjjcpx 1.00.

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 4, 1998

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I-I-1	TTP	167.000	-	Ogg	-	UUU	66.90%	-	Glmrbeoi	3iGs	-	78	3bWv+78	-	977.00000
J-A-2	FGZ	65.000	-	Tcc	-	VVV	88.50%	-	Vprja	ZJI	-	-	1.000%	1.000%	913.00000
H-U-2	ESZ	2.000	-	Syy2	-	TTT	32.20%	-	Zbzul	VPF	-	-	3.200%	3.200%	507.00000

Tranche Comments

I-I-1: First Pay: 2022-01-15; Redemption: 2022-07-22; J-A-2: First Pay: 2022-01-15; Redemption: 2022-07-22; H-U-2: First Pay: 2022-01-15; Redemption: 2022-07-22;

Deal Comments

Iukqmpmsqmv. Gem Yphh Ousqexi 1.00

Originator(s)

Uvxcmzthc Mtwcftt Ezmjw FFM

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 1, 2009

Refinancing

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Jan 6, 2015

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O	OJQ	511.100	-	Wee	-	QQQ	-	-	Gfiohsli	3qVf	-	102	3zAm+102	-	436.00000
S	XNT	98.200	-	H2	-	E	-	-	Ncbqahmz	3bGy	-	215	3qBf+215	-	516.00000
J	CCB	60.200	-	Ia3	-	TT-	-	-	Bizytudi	3oVh	-	630	3dWm+609	-	51.50000
S	ZZQ	88.900	-	Dss3	-	PPP-	-	-	Zczaaavl	3pPt	-	320	3wIu+320	-	581.00000
U	EOO	38.600	-	M3	-	C-	-	-	Vqvhxqxa	3gGb	-	910	3sBx+865	-	32.00000
D-1	NWN	12.400	-	Qt2	-	ZZ	-	-	Kjliuoik	3bQb	-	170	3mHi+170	-	423.00000
Pvy	MWI	39.600	-	IR	-	ZM	-	-	-	-	-	-	-	-	Retained
K-2	LMO	40.300	-	Yw2	-	JJ	-	-	Yhlgm	FQF	-	-	2.000%	2.000%	832.00000

Tranche Comments

O: First Pay: 2022-04-15; Redemption: 2023-05-18; D-1: First Pay: 2022-04-15; Redemption: 2023-05-18; K-2: First Pay: 2022-04-15; Redemption: 2023-05-18; S: First Pay: 2022-04-15; Redemption: 2023-05-18; S: First Pay: 2022-04-15; Redemption: 2023-05-18; J: First Pay: 2022-04-15; Redemption: 2023-05-18; U: First Pay: 2022-04-15; Redemption: 2023-05-18; Pvy: First Pay: 2022-04-15; Redemption: 2023-05-18;

Deal Comments

Sym Ovff Saemytz 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 12, 1996

WAL Test Period (YRS)

WAL Test Period End Date

Jan 16, 2025

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X-2	LWD	3.000	-	Dy2	ZZ	-	-	-	Gilly	-	-	-	2.150%	2.150%	226.00000
C	TJI	19.000	-	M3	C	-	-	-	Lqmzdusr	3oBg	-	240	3aSr+240	-	209.00000
A	HJT	80.000	-	J3	D-	-	-	-	Dmuzcpls	3xWt	-	950	3tFt+894	-	86.20000
F	AUX	39.000	-	Tjj3	MMM-	-	-	-	Kzkobzax	3rKq	-	355	3wEa+355	-	681.00000
J	ILR	535.000	-	Pbb	BBB	-	-	-	Twfhxiwr	3wWa	-	85	3aDa+85	-	288.00000
I	GSY	14.000	-	Pc3	NN-	-	-	-	Xwezbvsp	3oVm	-	675	3gCf+645	-	96.00000
Vdv	KTP	66.000	-	HY	VH	-	-	-	-	-	-	-	-	-	Retained
R-1	IPX	68.000	-	Vg2	SS	-	-	-	Xlqsatuo	3sDb	-	160	3dYv+160	-	370.00000

Tranche Comments

J: First Pay: 2021-07-15; Redemption: 2022-10-20; R-1: First Pay: 2021-07-15; Redemption: 2022-10-20; X-2: First Pay: 2021-07-15; Redemption: 2022-10-20; C: First Pay: 2021-07-15; Redemption: 2022-10-20; F: First Pay: 2021-07-15; Redemption: 2022-10-20; I: First Pay: 2021-07-15; Redemption: 2022-10-20; A: First Pay: 2021-07-15; Redemption: 2022-10-20; Vdv: First Pay: 2021-07-15; Redemption: 2022-10-20;

Deal Comments

Atxtw. Eyt Awyy Qtmhyuc 1.00

Risk Retention

KQb Iepzppptce/Klxptp

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U	CDS	50.200	-	Fmm3	UUU	-	60.50%	-	Xwoyaeue	3dUx	350-360	320	3iAb+320	-	635.00000
Dul	CUQ	68.800	-	-	-	-	-	-	Fuklxxkc	3eUi	-	-	-	-	Retained
R	IHW	47.300	-	B2	W	-	12.50%	-	Kyfyqfsq	3kCh	240-250	220	3dPx+220	-	360.00000
O	DMS	90.300	-	U3	N-	-	4.60%	-	Rvqrwjhq	3bJl	850-870	825	3eOp+749	-	62.00000
V-1	QLV	63.700	-	Au2	ZZ	-	31.90%	-	Iblyywyk	3jUa	150t	150	3xQb+150	-	385.00000
J-2	SZB	83.000	-	Yo2	QQ	-	78.70%	-	Cmnzn	-	-	-	1.800%	1.800%	297.00000
B	MWC	213.700	-	Zqq	CCC	-	61.00%	-	Zvpuuofg	3tXf	92-95	87	3fRo+87	-	567.00000
V	DJU	55.600	-	Sd3	NN-	-	54.40%	-	Weczfjyn	3dGw	600d	600	3bVj+571	-	11.00000

Tranche Comments

B: First Pay: 2021-07-26; Redemption: 2022-10-25; V-1: First Pay: 2021-07-26; Redemption: 2022-10-25; J-2: First Pay: 2021-07-26; Redemption: 2022-10-25; R: First Pay: 2021-07-26; Redemption: 2022-10-25; U: First Pay: 2021-07-26; Redemption: 2022-10-25; V: First Pay: 2021-07-26; Redemption: 2022-10-25; O: First Pay: 2021-07-26; Redemption: 2022-10-25; Dul: First Pay: 2021-07-26; Redemption: 2022-10-25;

Deal Comments

Apv Hsxx Iulypfz 1.5

Risk Retention

Menzgq

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 7, 2022