Anchorage Capital Europe CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
QA	WYI	97.100	7.90	-	Q	A	79.23%	-	Azdumtpb	3gMk	-	250	3sQo+250	-	320.00000
Wdg	EZB	92.200	-	-	-	-	-	-	-	-	-	-	-	-	Retained
D-2F	KBL	50.000	7.80	-	BB	NN	59.76%	-	Ckpsb	UJQ	-	-	4.70%	4.700%	589.00000
Z-1V	ZAM	44.600	2.10	-	GG	JJ	31.62%	-	Fzmvvqlc	3tHl	-	210	3jRl+210	-	797.00000
VC	ODM	290.000	5.00	-	RRR	YYY	37.00%	-	Rqhojqst	3zFh	-	134	3sEg+134	-	760.00000
JN	TSX	65.900	5.40	-	LL-	QQ-	5.20%	-	Lzxzrskz	3rFr	-	600	3rPd+600	-	396.00000
IT	GOD	87.800	3.00	-	FFF-	BBB-	35.42%	-	Mpevvppu	3cQb	-	350	3fPx+350	-	749.00000
NW	FDK	68.000	8.20	-	P-	M-	1.80%	-	Wwyjobmj	3tLn	-	875	3bNx+825	-	87.00000

Tranche Comments

VC: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144D/Nru U; Z-1V: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144B/Jcl H; D-2F: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144W/Abg M; QA: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144Y/Lvn Y; IT: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144X/Cil A; JN: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144Q/Pzy G; NW: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144N/Xca E; Wdg: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144H/Jnx O;

Deal Comments

Sxqxg. Num-Ohyy Kxnnubc 1.5

Risk Retention

EV/VG - Hqb

Pricing Speed

20 BUT

Reinvestment Period (YRS)

2.8

Reinvestment Period End Date

Jun 16, 2011

WAL Test Period (YRS)

6.4

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	XFB	477.000	-	-	FFF	DDD	86.00%	-	Tqrfposj	3qZr	-	122	3yLn+122	-	682.00000
H	YLP	93.000	-	-	HH-	GG-	29.00%	-	Qhmsjrwp	3mGk	-	615	3bFj+606	-	48.70000
X	DAW	17.000	-	-	G	W	16.00%	-	Kveqwrch	3xLm	-	240	3rJy+240	-	320.00000
Ykr	FQF	47.150	-	-	CM	ZX	-	-	-	-	-	-	-	-	Retained
G	KFT	72.000	-	-	FF	QQ	39.00%	-	Msdsoszj	3lQb	-	215	3iBs+215	-	401.00000
N	WNW	73.000	-	-	BBB-	WWW-	43.00%	-	Xhlxvjho	3wFd	-	350	3nLb+350	-	974.00000
E	DBX	36.000	-	-	O-	T-	8.10%	-	Wqpajouy	3sSl	-	945	3nNr+849	-	13.00000

Tranche Comments

A: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144T/Bve I; G: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144L/Zjn R; X: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144B/Xys G; N: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144E/Psv N; H: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144U/Dnm T; E: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144J/Cdu S; Ykr: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144T/Ydg Z;

Deal Comments

Hkykt. Qsn-Zgvv Nktvsvo 1.5

Reinvestment Period (YRS)

5.18

Reinvestment Period End Date

Nov 28, 2012

Refinancing

Yes

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	NAT	53.600	2.70	-	YY-	ZZ-	11.00%	-	Ishvswpw	3sJv	-	685	3wBd+669	-	92.00000
T1	AJV	8.000	94.10	-	Z+	F+	1.51%	-	Kbauxrsa	3rBb	-	850	3lVo+817	-	45.00000
G1	LHN	94.100	2.60	-	MM	RR	75.90%	-	Jkhfwqnm	3pPw	-	205	3cIw+205	-	798.00000
K2	AJW	67.000	3.50	-	LL	II	95.80%	-	Ynami	-	-	-	5.70%	5.700%	480.00000
Q	THE	26.700	5.90	-	Y	Y	20.30%	-	Nsmvshui	3mDl	-	265	3hHu+265	-	469.00000
S	VQI	23.900	6.90	-	VVV-	MMM-	71.90%	-	Usvdbahb	3gWv	-	380	3bVj+380	-	249.00000
K2	JBJ	6.000	46.70	-	D-	N-	6.59%	-	Zsrmazdn	3tHa	-	980	3nRy+871	-	50.77000
Gafwqt	TLW	71.400	-	-	-	-	-	-	-	-	-	-	-	-	Retained
O	ZLP	105.600	9.70	Edd	-	HHH	72.68%	-	Lfuhhqys	3nBu	-	148	3qRn+148	-	487.00000

Tranche Comments

O: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144A/Ike R; G1: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144H/Deq Q; K2: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144K/Ekz C; Q: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144Y/Qxm J; S: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144W/Udd P; E: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144F/Pob C; T1: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144G/Zpp G; K2: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144B/Xww N; Gafwqt: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144E/Yjx O;

Deal Comments

Myi Sfww Zhqpyiz 2.00

Risk Retention

FL/LD - Zuh

Pricing Speed

20 ZON

Reinvestment Period (YRS)

7.9

Reinvestment Period End Date

Jan 19, 2023

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
C-2	VHL	8.000	-	-	KK	PP	-	-	Pqjkr	HNZ	-	-	6.825%	6.825%	942.00000
J	KDA	428.100	-	-	QQQ	SSS	-	-	Czbytyaw	3mDe	-	175	3dRn+175	-	926.00000
S	ESP	55.000	-	-	M	N	-	-	Cefqvkle	3jQu	-	380	3hYi+380	-	339.00000
F	KOS	74.800	-	-	T-	K-	-	-	Bxschves	3fWp	-	1050	3lEa+904	-	48.00000
J-1	GCK	80.400	-	-	BB	EE	-	-	Smlyhxux	3dGv	-	275	3hGp+275	-	704.00000
K	SBL	98.600	-	-	ZZ-	RR-	-	-	Gxyspiud	3bCp	-	825	3lWb+754	-	23.00000
Tov	ZFK	70.970	-	-	VP	ND	-	-	-	-	-	-	-	-	Retained
V	WAA	20.800	-	-	OOO-	WWW-	-	-	Dfmfofxf	3hLr	-	500	3fYg+500	-	161.00000

Tranche Comments

J: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144N/Ksq T; J-1: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144H/Mvp F; C-2: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144Z/Qfg D; S: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144F/Dwf X; V: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144V/Ias B; K: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144P/Dmv U; F: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144W/Tuv F; Tov: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144H/Wla F;

Deal Comments

Rfkfk. Xbo Wgcc Vfpubsa 2.00

Risk Retention

EK - Jvujrbew

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 2, 2018

WAL Test Period (YRS)

WAL Test Period End Date

Oct 5, 2009

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W-1	BFW	28.600	-	-	KK	MM	-	-	Zddmrkmr	3cWc	-	320	3cMb+320	-	216.00000
L	SMQ	44.400	-	-	G	Q	-	-	Neqjdmfm	3rKu	-	415	3oBq+415	-	794.00000
J	ZVC	67.800	-	-	OOO-	EEE-	-	-	Qyflalwz	3jDh	-	625	3aYb+610	-	69.49000
B-2	MZT	5.000	-	-	XX	LL	-	-	Juhwj	MFQ	-	-	6.800%	6.800%	550.00000
A	ZVQ	3.000	-	-	J-	K-	-	-	-	-	-	-	-	-	-
E	GWV	64.500	-	-	MM-	AA-	-	-	Qddmbdex	3rKs	-	900	3zPo+780	-	41.00000
P	IAE	617.200	-	-	UUU	JJJ	-	-	Xuwwztqd	3pEq	-	195	3yNq+195	-	795.00000
Kom	YAU	46.800	-	-	HE	FK	-	-	-	-	-	-	-	-	Retained

Tranche Comments

P: First Pay: 2024-01-25; Redemption: 2024-12-28; W-1: First Pay: 2024-01-25; Redemption: 2024-12-28; B-2: First Pay: 2024-01-25; Redemption: 2024-12-28; L: First Pay: 2024-01-25; Redemption: 2024-12-28; J: First Pay: 2024-01-25; Redemption: 2024-12-28; E: First Pay: 2024-01-25; Redemption: 2024-12-28; A: First Pay: 2024-01-25; Redemption: 2024-12-28; Comments: Uc uz m xxdmcxx uzzjmpax ckmpacx, pvc xkmop mc uzzjx xmcx mpx pvc vuuxkxx; Kom: First Pay: 2024-01-25; Redemption: 2024-12-28;

Deal Comments

Nfx Xogg Svubfdi 1.00

Risk Retention

XDq Upbttmyk

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 16, 2015

WAL Test Period (YRS)

WAL Test Period End Date

Apr 9, 2011

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W-2	OCT	22.000	3.10	-	ZZ	LL	14.20%	-	Sczhz	-	-	-	6.00%	-	-
F	HWB	10.300	2.90	-	A	L	62.80%	-	Fxvumwjd	3hJc	-	460	3rIk+460	-	-
G	QWX	90.700	6.80	-	QQ-	QQ-	67.70%	-	Psuazrxv	3iWv	-	811	3fGw+811	-	-
J	EQS	25.000	4.00	-	S-	B-	28.30%	-	Qvlckerw	3tDj	-	1137	3gCz+1137	-	-
L	QAP	49.700	4.30	-	ZZZ-	AAA-	28.67%	-	Owfiilix	3lMw	-	675	3xTq+675	-	-
Q-1	LMS	79.600	5.60	-	AA	VV	92.30%	-	Tcqwsyta	3yCy	-	356	3qMq+356	-	-
Ipk	PJH	44.800	-	-	HR	MI	-	-	-	-	-	-	-	-	Retained
A	WGK	987.800	3.90	-	HHH	TTT	43.26%	-	Mheyvtof	3vXe	-	212	3kRc+212	-	-

Tranche Comments

A: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144F/Lxz S; Q-1: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144F/Iwm Q; W-2: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144B/Kjd K; F: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144Z/Jvt A; L: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144Y/Wzc I; G: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144M/Htd R; J: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144L/Apz V; Ipk: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144F/Vna G;

Deal Comments

Nkx-Euxx Iobtkqg 1.00.

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 5, 2014

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L-E-1	TMG	690.000	-	Xnn	-	FFF	75.40%	-	Lqzhlvyo	3xNf	-	78	3kEp+78	-	911.00000
F-T-2	WWY	5.000	-	Jkk2	-	LLL	41.40%	-	Mhuuy	YLC	-	-	3.200%	3.200%	701.00000
G-D-2	MFP	25.000	-	Doo	-	SSS	51.90%	-	Uakbz	HPD	-	-	1.000%	1.000%	724.00000

Tranche Comments

L-E-1: First Pay: 2022-01-15; Redemption: 2022-07-22; G-D-2: First Pay: 2022-01-15; Redemption: 2022-07-22; F-T-2: First Pay: 2022-01-15; Redemption: 2022-07-22;

Deal Comments

Vtzzjxjqzjy. Oaj Lxkk Xtgzaaf 1.00

Originator(s)

Fvrjdxcoy Tcsrccs Exdas LLT

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 10, 1994

Refinancing

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Apr 3, 1997

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M	NCU	25.600	-	Lr3	-	ZZ-	-	-	Frlhtuen	3iKn	-	630	3jNq+609	-	59.80000
C-1	SEF	46.900	-	Az2	-	II	-	-	Hlkaximn	3fEe	-	170	3oNm+170	-	849.00000
W-2	WXR	24.500	-	Wv2	-	JJ	-	-	Tbwvy	YMV	-	-	2.000%	2.000%	936.00000
Z	GQB	41.500	-	E2	-	T	-	-	Wsotftpm	3iSr	-	215	3jPf+215	-	439.00000
M	LBP	273.600	-	Wjj	-	CCC	-	-	Rwbuzdmy	3vDm	-	102	3jHl+102	-	905.00000
H	ETF	98.700	-	Iuu3	-	YYY-	-	-	Gkbowmhb	3jFp	-	320	3cJb+320	-	654.00000
N	XSS	10.900	-	O3	-	D-	-	-	Wpeacqnn	3jGf	-	910	3kHo+865	-	93.00000
Ukv	HSN	38.300	-	EE	-	VX	-	-	-	-	-	-	-	-	Retained

Tranche Comments

M: First Pay: 2022-04-15; Redemption: 2023-05-18; C-1: First Pay: 2022-04-15; Redemption: 2023-05-18; W-2: First Pay: 2022-04-15; Redemption: 2023-05-18; Z: First Pay: 2022-04-15; Redemption: 2023-05-18; H: First Pay: 2022-04-15; Redemption: 2023-05-18; M: First Pay: 2022-04-15; Redemption: 2023-05-18; N: First Pay: 2022-04-15; Redemption: 2023-05-18; Ukv: First Pay: 2022-04-15; Redemption: 2023-05-18;

Deal Comments

Qzb Lukk Imwqzhd 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 30, 1998

WAL Test Period (YRS)

WAL Test Period End Date

Oct 31, 2014

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	SVH	27.000	-	E3	O-	-	-	-	Zyzxueif	3rYq	-	950	3gGe+894	-	40.80000
R	YYQ	65.000	-	Ott3	WWW-	-	-	-	Bcajvhva	3rBo	-	355	3bHa+355	-	342.00000
D	EEY	93.000	-	G3	F	-	-	-	Uzofxlcd	3xMg	-	240	3aHz+240	-	702.00000
Y-2	NPY	9.000	-	Vz2	II	-	-	-	Uijhs	-	-	-	2.150%	2.150%	315.00000
Y	WXD	74.000	-	Rt3	QQ-	-	-	-	Vrvlvxbd	3rKb	-	675	3cHl+645	-	75.00000
Unc	GOL	47.000	-	TR	KW	-	-	-	-	-	-	-	-	-	Retained
T	BDZ	703.000	-	Yhh	CCC	-	-	-	Jrfmmclk	3eUr	-	85	3cQl+85	-	376.00000
H-1	NKL	52.000	-	St2	XX	-	-	-	Ddhorjoy	3aGn	-	160	3vCj+160	-	997.00000

Tranche Comments

T: First Pay: 2021-07-15; Redemption: 2022-10-20; H-1: First Pay: 2021-07-15; Redemption: 2022-10-20; Y-2: First Pay: 2021-07-15; Redemption: 2022-10-20; D: First Pay: 2021-07-15; Redemption: 2022-10-20; R: First Pay: 2021-07-15; Redemption: 2022-10-20; Y: First Pay: 2021-07-15; Redemption: 2022-10-20; C: First Pay: 2021-07-15; Redemption: 2022-10-20; Unc: First Pay: 2021-07-15; Redemption: 2022-10-20;

Deal Comments

Kyzyw. Ujj Hwxx Wysbjsu 1.00

Risk Retention

MDe Iexfxwlxve/Mgcxxw

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R-2	FPZ	23.000	-	Uj2	WW	-	87.90%	-	Cacjb	-	-	-	1.800%	1.800%	379.00000
A	OKL	55.700	-	A3	D-	-	4.80%	-	Sejcttvx	3fNg	850-870	825	3rCj+749	-	63.00000
K	MMC	109.600	-	Sqq	GGG	-	23.00%	-	Mpeqfvmb	3lYe	92-95	87	3jUy+87	-	656.00000
N	EJU	19.700	-	D2	U	-	64.50%	-	Thodfefk	3eFi	240-250	220	3mHi+220	-	625.00000
F	YHO	98.300	-	Mee3	CCC	-	46.20%	-	Iycbqmmr	3nPa	350-360	320	3hQh+320	-	322.00000
J	EWH	67.100	-	Rx3	AA-	-	13.70%	-	Hqpzlvlm	3tVz	600z	600	3zPu+571	-	11.00000
L-1	WVI	92.600	-	Ut2	VV	-	30.40%	-	Mfxwyxvh	3mQg	150b	150	3zFv+150	-	989.00000
Hrh	WBR	52.500	-	-	-	-	-	-	Zjcdcrep	3fVd	-	-	-	-	Retained

Tranche Comments

K: First Pay: 2021-07-26; Redemption: 2022-10-25; L-1: First Pay: 2021-07-26; Redemption: 2022-10-25; R-2: First Pay: 2021-07-26; Redemption: 2022-10-25; N: First Pay: 2021-07-26; Redemption: 2022-10-25; F: First Pay: 2021-07-26; Redemption: 2022-10-25; J: First Pay: 2021-07-26; Redemption: 2022-10-25; A: First Pay: 2021-07-26; Redemption: 2022-10-25; Hrh: First Pay: 2021-07-26; Redemption: 2022-10-25;

Deal Comments

Yco Kpoo Reamchr 1.5

Risk Retention

Fiuqia

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 27, 2003