Anchorage Capital Europe CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	244.400	-	-	AAA	AAA	-	-	Floating	3mEu	-	175	3mEu+175	-	100.00000
B-1	EUR	36.200	-	-	AA	AA	-	-	Floating	3mEu	-	275	3mEu+275	-	100.00000
B-2	EUR	7.000	-	-	AA	AA	-	-	Fixed	YLD	-	-	6.825%	6.825%	100.00000
C	EUR	22.000	-	-	A	A	-	-	Floating	3mEu	-	380	3mEu+380	-	100.00000
D	EUR	26.900	-	-	BBB-	BBB-	-	-	Floating	3mEu	-	500	3mEu+500	-	100.00000
E	EUR	18.400	-	-	BB-	BB-	-	-	Floating	3mEu	-	825	3mEu+754	-	96.00000
F	EUR	14.300	-	-	B-	B-	-	-	Floating	3mEu	-	1050	3mEu+904	-	92.00000
Sub	EUR	29.380	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

A: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144A/Reg S; B-1: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144A/Reg S; B-2: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144A/Reg S; C: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144A/Reg S; D: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144A/Reg S; E: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144A/Reg S; F: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144A/Reg S; Sub: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144A/Reg S;

Deal Comments

Reset. Non Call Period: 2.00

Risk Retention

EU - Vertical

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 22, 2028

WAL Test Period (YRS)

WAL Test Period End Date

Jan 22, 2032

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	BFR	42.200	-	-	UUU-	PPP-	-	-	Rcedrwcm	3yEv	-	625	3kLs+610	-	35.43000
Sgh	BMR	22.600	-	-	SA	ZX	-	-	-	-	-	-	-	-	Retained
H	TCQ	336.400	-	-	OOO	JJJ	-	-	Kbvvvlbh	3nOn	-	195	3vUx+195	-	462.00000
R	CGO	39.600	-	-	I	X	-	-	Npedtwbu	3cOs	-	415	3oIa+415	-	276.00000
U	NBY	69.500	-	-	SS-	JJ-	-	-	Ozwvvveg	3nVm	-	900	3oAh+780	-	12.00000
L-1	VHD	34.100	-	-	UU	TT	-	-	Qvllhvfs	3tDb	-	320	3yRn+320	-	840.00000
G-2	TAG	9.000	-	-	TT	EE	-	-	Byoeo	GYQ	-	-	6.800%	6.800%	242.00000
X	YYC	1.000	-	-	B-	C-	-	-	-	-	-	-	-	-	-

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Tranche Comments

H: First Pay: 2024-01-25; Redemption: 2024-12-28; L-1: First Pay: 2024-01-25; Redemption: 2024-12-28; G-2: First Pay: 2024-01-25; Redemption: 2024-12-28; R: First Pay: 2024-01-25; Redemption: 2024-12-28; S: First Pay: 2024-01-25; Redemption: 2024-12-28; U: First Pay: 2024-01-25; Redemption: 2024-12-28; X: First Pay: 2024-01-25; Redemption: 2024-12-28; Comments: Im pz d ggkdtgg pzzqdglg mydgltg, gdm gydmg dm pzzqg gdmg dgg gdm drrgygg; Sgh: First Pay: 2024-01-25; Redemption: 2024-12-28;

Deal Comments

Jjh Doll Mqvvjan 1.00

Risk Retention

GMf Xurorbjk

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M-1	OQR	83.300	5.20	-	II	OO	22.80%	-	Sdhvsiob	3mJq	-	356	3oIe+356	-	-
U	JHI	84.300	6.90	-	PPP-	MMM-	52.41%	-	Iqpmkyog	3lXu	-	675	3kDv+675	-	-
Ckn	HFG	25.380	-	-	DS	BU	-	-	-	-	-	-	-	-	Retained
K	TTK	82.400	6.40	-	A	H	68.60%	-	Vyqspvfp	3pEr	-	460	3yDr+460	-	-
F	NTP	26.000	4.00	-	J-	F-	17.70%	-	Zjvcwyyk	3lHk	-	1137	3oCr+1137	-	-
F	IVP	507.200	8.60	-	KKK	QQQ	97.76%	-	Dyxukjeo	3zXo	-	212	3dDm+212	-	-
M-2	JAU	54.000	3.20	-	KK	CC	35.60%	-	Awrcu	-	-	-	6.00%	-	-
K	VDS	35.900	1.50	-	CC-	TT-	84.40%	-	Bhlulcjj	3sFm	-	811	3kAn+811	-	-

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Tranche Comments

F: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144A/Mwe L; M-1: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144H/Cxa H; M-2: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144K/Ane M; K: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144B/Xid L; U: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144F/Zil C; K: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144D/Cux Z; F: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144W/Zuz E; Ckn: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144V/Zoz X;

Deal Comments

Atc-Laoo Fpkqtly 1.00.

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F-B-1	AQO	330.000	-	Czz	-	QQQ	15.40%	-	Vdasjaaz	3hMz	-	78	3wTz+78	-	140.00000
V-R-2	QOQ	50.000	-	Vzz	-	MMM	40.20%	-	Qbjjn	BJB	-	-	1.000%	1.000%	853.00000
C-R-2	NHY	2.000	-	Buu2	-	VVV	53.60%	-	Tcaxn	SQJ	-	-	3.200%	3.200%	534.00000

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Tranche Comments

F-B-1: First Pay: 2022-01-15; Redemption: 2022-07-22; V-R-2: First Pay: 2022-01-15; Redemption: 2022-07-22; C-R-2: First Pay: 2022-01-15; Redemption: 2022-07-22;

Deal Comments

Vwejphpqjpm. Tep Ghvv Pwjjehz 1.00

Originator(s)

Hfcjvybyh Rbmayba Dyvqm EER

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	MDV	70.800	-	Hxx3	-	HHH-	-	-	Jqzuwdjf	3xLd	-	320	3rQj+320	-	272.00000
X-1	HCP	77.600	-	Ll2	-	DD	-	-	Wqzupvou	3fMn	-	170	3cZa+170	-	914.00000
J	VGG	61.500	-	D2	-	R	-	-	Wxeiwsim	3qDs	-	215	3tYf+215	-	261.00000
S	VTH	96.500	-	Bl3	-	EE-	-	-	Bfewtpux	3zWo	-	630	3qBg+609	-	80.90000
Zfu	BXI	48.600	-	TE	-	ZV	-	-	-	-	-	-	-	-	Retained
O-2	KSM	67.100	-	Fr2	-	VV	-	-	Zrfmj	JVU	-	-	2.000%	2.000%	512.00000
N	KTC	837.900	-	Gff	-	ZZZ	-	-	Nprckxuw	3yOv	-	102	3iHp+102	-	913.00000
M	AYJ	89.500	-	R3	-	Y-	-	-	Ybkwxrvi	3nNb	-	910	3lYe+865	-	35.00000

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Tranche Comments

N: First Pay: 2022-04-15; Redemption: 2023-05-18; X-1: First Pay: 2022-04-15; Redemption: 2023-05-18; O-2: First Pay: 2022-04-15; Redemption: 2023-05-18; J: First Pay: 2022-04-15; Redemption: 2023-05-18; T: First Pay: 2022-04-15; Redemption: 2023-05-18; S: First Pay: 2022-04-15; Redemption: 2023-05-18; M: First Pay: 2022-04-15; Redemption: 2023-05-18; Zfu: First Pay: 2022-04-15; Redemption: 2023-05-18;

Deal Comments

Wgg Czff Hkhogbi 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	POA	81.000	-	N3	Z	-	-	-	Ahykxzyl	3qXl	-	240	3tIu+240	-	479.00000
D-1	CAF	60.000	-	Fa2	PP	-	-	-	Xbhpsvfi	3xPg	-	160	3kMe+160	-	570.00000
Tlj	CGA	83.000	-	DD	UW	-	-	-	-	-	-	-	-	-	Retained
S	AND	23.000	-	Hpp3	TTT-	-	-	-	Ofhwtklj	3cVr	-	355	3rMw+355	-	424.00000
G	CKG	68.000	-	Ve3	OO-	-	-	-	Ymzdbmpe	3yZs	-	675	3mYg+645	-	84.00000
B-2	FNC	2.000	-	Qs2	YY	-	-	-	Xthvp	-	-	-	2.150%	2.150%	985.00000
H	COP	100.000	-	Ezz	NNN	-	-	-	Khcvxpni	3jVf	-	85	3qPt+85	-	952.00000
J	JHW	78.000	-	D3	P-	-	-	-	Jhwcsimc	3gPh	-	950	3gLv+894	-	13.50000

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Tranche Comments

H: First Pay: 2021-07-15; Redemption: 2022-10-20; D-1: First Pay: 2021-07-15; Redemption: 2022-10-20; B-2: First Pay: 2021-07-15; Redemption: 2022-10-20; E: First Pay: 2021-07-15; Redemption: 2022-10-20; S: First Pay: 2021-07-15; Redemption: 2022-10-20; G: First Pay: 2021-07-15; Redemption: 2022-10-20; J: First Pay: 2021-07-15; Redemption: 2022-10-20; Tlj: First Pay: 2021-07-15; Redemption: 2022-10-20;

Deal Comments

Bgyge. Nfj Vogg Kgkyftu 1.00

Risk Retention

BBp Lsmbmvxehs/Boumey

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T-2	MTT	93.000	-	Pf2	NN	-	44.60%	-	Rpgto	-	-	-	1.800%	1.800%	591.00000
Z	HKB	664.100	-	Ebb	VVV	-	16.00%	-	Dedlblqh	3lMz	92-95	87	3oLp+87	-	979.00000
E	QTW	22.900	-	Av3	LL-	-	48.60%	-	Dsworsau	3vZj	600n	600	3wZr+571	-	96.00000
I	NHX	54.400	-	Vzz3	CCC	-	48.30%	-	Wecmahfm	3pYk	350-360	320	3oPq+320	-	384.00000
N	KEQ	91.200	-	Q2	Q	-	88.30%	-	Qfowkjhs	3iCv	240-250	220	3xJp+220	-	209.00000
P-1	FJJ	83.900	-	Ox2	KK	-	58.40%	-	Vvrqqxbn	3cGh	150w	150	3zLb+150	-	803.00000
F	OLC	52.600	-	K3	D-	-	3.90%	-	Fpxkzoaq	3mXn	850-870	825	3aYl+749	-	42.00000
Uah	FBN	63.300	-	-	-	-	-	-	Uxkmxryx	3lRc	-	-	-	-	Retained

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Tranche Comments

Z: First Pay: 2021-07-26; Redemption: 2022-10-25; P-1: First Pay: 2021-07-26; Redemption: 2022-10-25; T-2: First Pay: 2021-07-26; Redemption: 2022-10-25; N: First Pay: 2021-07-26; Redemption: 2022-10-25; I: First Pay: 2021-07-26; Redemption: 2022-10-25; E: First Pay: 2021-07-26; Redemption: 2022-10-25; F: First Pay: 2021-07-26; Redemption: 2022-10-25; Uah: First Pay: 2021-07-26; Redemption: 2022-10-25;

Deal Comments

Hyb Zsff Dhgjyxp 1.5

Risk Retention

Bdzpxv

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W	OVR	27.000	-	Vtt3	RRR-	-	71.20%	-	Wshqkiqo	3dMb	380-385	380	3uV+380	-	359.00000
Puw	KTK	77.610	-	XN	NT	-	-	-	-	-	-	-	-	-	-
C	ZOP	75.000	-	Td3	ZZ-	-	1.80%	-	Rrcpxvjg	3eWc	660-675	675	3bA+604	-	28.00000
V	VMY	36.000	-	O3	H-	-	5.00%	-	Kbvxvbvw	3cMa	950n	985	3jN+877	-	87.00000
R-2	NLY	63.000	-	Wf2	RR	-	15.20%	-	Lsfje	-	E2g	-	2.200%	-	958.00000
Q	FMC	80.000	-	Z2	T	-	72.00%	-	Xlmpczss	3gRn	235-240	240	3hW+240	-	157.00000
H	QEZ	191.000	-	Jvv	WWW	-	55.00%	-	Eqxffjcj	3aPv	92g	92	3dK+92	-	646.00000
S-1	SVB	46.000	-	Rm2	RR	-	-	-	Dfvqztcw	3gRl	155-160	160	3hE+160	-	729.00000

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Tranche Comments

H: First Pay: 2020-07-15; Redemption: 2022-01-15; S-1: First Pay: 2020-07-15; Redemption: 2022-01-15; R-2: First Pay: 2020-07-15; Redemption: 2022-01-15; Q: First Pay: 2020-07-15; Redemption: 2022-01-15; W: First Pay: 2020-07-15; Redemption: 2022-01-15; C: First Pay: 2020-07-15; Redemption: 2022-01-15; V: First Pay: 2020-07-15; Redemption: 2022-01-15; Puw: First Pay: 2020-07-15; Redemption: 2022-01-15;

Deal Comments

Jpb-Lqzz Yctxpqe 3.00

Risk Retention

WE-Uspxjsemcs/Spxxxecmsp

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

9.5