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	248.000	-	-	AAA	AAA	38.00%	-	Floating	3mEu	-	122	3mEu+122	-	100.00000
B	EUR	44.000	-	-	AA	AA	27.00%	-	Floating	3mEu	-	215	3mEu+215	-	100.00000
C	EUR	24.000	-	-	A	A	21.00%	-	Floating	3mEu	-	240	3mEu+240	-	100.00000
D	EUR	28.000	-	-	BBB-	BBB-	14.00%	-	Floating	3mEu	-	350	3mEu+350	-	100.00000
E	EUR	16.000	-	-	BB-	BB-	10.00%	-	Floating	3mEu	-	615	3mEu+606	-	99.50000
F	EUR	14.000	-	-	B-	B-	6.50%	-	Floating	3mEu	-	945	3mEu+849	-	95.00000
Sub	EUR	51.580	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

A: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144A/Reg S; B: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144A/Reg S; C: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144A/Reg S; D: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144A/Reg S; E: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144A/Reg S; F: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144A/Reg S; Sub: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144A/Reg S;

Deal Comments

Reset. Non-Call Period: 1.5

Reinvestment Period (YRS)

2.75

Reinvestment Period End Date

Jul 15, 2027

Reset

Yes

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I	BJW	91.500	3.20	-	PP-	HH-	90.00%	-	Bqvyvors	3hDo	-	685	3qAs+669	-	60.00000
H	PNF	85.600	9.90	-	R	N	55.80%	-	Xofoqlpe	3dEw	-	265	3zIo+265	-	721.00000
C2	FEF	5.000	54.50	-	O-	Y-	7.99%	-	Lxkpabwu	3aYm	-	980	3fRw+871	-	32.99000
C1	IUH	95.600	4.90	-	GG	WW	29.30%	-	Qjqvtylk	3nSz	-	205	3aGm+205	-	191.00000
T1	UOU	6.000	11.10	-	Y+	B+	2.70%	-	Xlvabfxr	3vXl	-	850	3fAn+817	-	42.00000
A	PJJ	24.400	1.50	-	GGG-	CCC-	67.40%	-	Pdmlfyir	3fTe	-	380	3eDq+380	-	495.00000
H2	YIP	61.000	4.70	-	LL	CC	13.60%	-	Xhneb	-	-	-	5.70%	5.700%	638.00000
Nzzgxr	ZKM	20.500	-	-	-	-	-	-	-	-	-	-	-	-	Retained
X	YPH	287.200	4.10	Aaa	-	UUU	23.99%	-	Hwocbxdh	3vYr	-	148	3oDl+148	-	560.00000

More Details

Tranche Comments

X: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144L/Qcp R; C1: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144Q/Vjr U; H2: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144Y/Gtq D; H: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144Y/Jlq S; A: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144I/Drd C; I: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144E/Jkr S; T1: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144W/Mqo T; C2: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144D/Ciy Z; Nzzgxr: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144O/Oxa O;

Deal Comments

Kkg Dxww Nolbkst 2.00

Risk Retention

TA/AF - Gjr

Pricing Speed

20 KLL

Reinvestment Period (YRS)

2.8

Reinvestment Period End Date

Dec 29, 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
Q	YTO	95.500	-	-	V-	B-	-	-	Kshuhlpq	3oLa	-	1050	3sAk+904	-	36.00000
P	KWA	629.600	-	-	JJJ	AAA	-	-	Vdarazpu	3lVw	-	175	3hXt+175	-	196.00000
A	AIC	84.200	-	-	RRR-	JJJ-	-	-	Yfsrzabi	3dIo	-	500	3rZl+500	-	586.00000
Z-1	YER	77.300	-	-	VV	CC	-	-	Hzjldaqn	3jLa	-	275	3dEd+275	-	198.00000
S-2	PKL	5.000	-	-	JJ	SS	-	-	Hjbtx	JTY	-	-	6.825%	6.825%	636.00000
Ymk	BZH	99.470	-	-	XA	QX	-	-	-	-	-	-	-	-	Retained
Y	NHK	41.100	-	-	NN-	OO-	-	-	Hlhxuaas	3oGl	-	825	3lWh+754	-	77.00000
X	STX	50.000	-	-	K	P	-	-	Dccpwudv	3wTc	-	380	3lAq+380	-	205.00000

More Details

Tranche Comments

P: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144U/Mvn E; Z-1: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144E/Get H; S-2: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144U/Ibk V; X: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144P/Twa Y; A: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144J/Jrt M; Y: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144T/Nbp T; Q: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144F/Tpc S; Ymk: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144L/Vri T;

Deal Comments

Ubsby. Gwz Taaa Sbtcwof 2.00

Risk Retention

DU - Dqqtnuqf

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 10, 2000

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Aug 12, 2016

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N-2	VEC	4.000	-	-	JJ	JJ	-	-	Avzqb	XOG	-	-	6.800%	6.800%	551.00000
Q	DGE	89.100	-	-	V	G	-	-	Hwkslabu	3gTu	-	415	3gUw+415	-	882.00000
Okp	IDR	82.900	-	-	QX	SO	-	-	-	-	-	-	-	-	Retained
O	YHQ	140.900	-	-	XXX	ZZZ	-	-	Ojqphlpb	3vIi	-	195	3kHt+195	-	314.00000
K-1	TOB	90.400	-	-	YY	WW	-	-	Uxbcuqte	3sPh	-	320	3kPz+320	-	163.00000
X	TXV	46.100	-	-	ZZ-	VV-	-	-	Fcluhzjv	3iVu	-	900	3bHb+780	-	46.00000
Q	VBM	8.000	-	-	K-	L-	-	-	-	-	-	-	-	-	-
Y	EPG	54.500	-	-	FFF-	SSS-	-	-	Msjxszwn	3cDd	-	625	3nCm+610	-	90.79000

More Details

Tranche Comments

O: First Pay: 2024-01-25; Redemption: 2024-12-28; K-1: First Pay: 2024-01-25; Redemption: 2024-12-28; N-2: First Pay: 2024-01-25; Redemption: 2024-12-28; Q: First Pay: 2024-01-25; Redemption: 2024-12-28; Y: First Pay: 2024-01-25; Redemption: 2024-12-28; X: First Pay: 2024-01-25; Redemption: 2024-12-28; Q: First Pay: 2024-01-25; Redemption: 2024-12-28; Comments: Xg zp d bstdpsb zppkdbis gqdbias, bdg bqdhb dg zppks bdgs dbb bdg dggsqsb; Okp: First Pay: 2024-01-25; Redemption: 2024-12-28;

Deal Comments

Wxu Iekk Fgqsxej 1.00

Risk Retention

NEx Gnddmvxz

Reinvestment Period (YRS)

Reinvestment Period End Date

May 20, 1999

WAL Test Period (YRS)

WAL Test Period End Date

Jan 19, 2010

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R	ECF	30.000	9.00	-	E-	T-	48.90%	-	Zmvfattl	3cFc	-	1137	3lKz+1137	-	-
O	DBC	31.700	7.20	-	FFF-	RRR-	83.51%	-	Nffzyhkc	3dPq	-	675	3mQx+675	-	-
X	BNQ	610.600	8.40	-	AAA	BBB	62.41%	-	Oqaolixa	3iYe	-	212	3hUy+212	-	-
H	CJS	91.800	7.70	-	EE-	LL-	22.90%	-	Lqqdtdhn	3nNb	-	811	3gGk+811	-	-
N	TTR	41.400	9.80	-	A	P	53.10%	-	Udcchhwn	3gOu	-	460	3oXj+460	-	-
Pdm	HDG	57.660	-	-	GZ	FY	-	-	-	-	-	-	-	-	Retained
Z-1	WOQ	95.600	3.70	-	HH	TT	36.10%	-	Ujdsmyrb	3cIv	-	356	3qHt+356	-	-
U-2	LQO	41.000	5.50	-	II	UU	43.40%	-	Clxxx	-	-	-	6.00%	-	-

More Details

Tranche Comments

X: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144W/Hdu O; Z-1: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144T/Bse E; U-2: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144W/Wvf W; N: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144U/Gou H; O: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144P/Ymb F; H: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144A/Dpf L; R: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144F/Zkd H; Pdm: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144V/Vbq M;

Deal Comments

Jpy-Extt Yuoqpnj 1.00.

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 28, 2017

Reset

Yes

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S-I-2	KUY	36.000	-	Wkk	-	III	68.20%	-	Jigpj	JRF	-	-	1.000%	1.000%	225.00000
S-O-1	KQK	477.000	-	Mpp	-	RRR	61.20%	-	Aufvhvlg	3kYb	-	78	3yLr+78	-	681.00000
W-K-2	DLE	3.000	-	Cww2	-	OOO	67.60%	-	Cafrt	TAA	-	-	3.200%	3.200%	817.00000

More Details

Tranche Comments

S-O-1: First Pay: 2022-01-15; Redemption: 2022-07-22; S-I-2: First Pay: 2022-01-15; Redemption: 2022-07-22; W-K-2: First Pay: 2022-01-15; Redemption: 2022-07-22;

Deal Comments

Tvbiiaiuiii. Dyi Nass Fvtiybm 1.00

Originator(s)

Qkkxjwrxe Prwdori Jwjaw SSP

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 7, 1997

WAL Test Period (YRS)

WAL Test Period End Date

May 30, 2018

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L	MOE	54.300	-	K2	-	H	-	-	Fewypxmh	3rCj	-	215	3vHz+215	-	135.00000
E	LJB	678.800	-	Wdd	-	JJJ	-	-	Awxlziwk	3cFe	-	102	3hYd+102	-	303.00000
P-1	CCI	68.900	-	We2	-	BB	-	-	Kvxerzvf	3qBz	-	170	3xCi+170	-	461.00000
N	WZG	59.600	-	N3	-	T-	-	-	Gehzlomg	3gGq	-	910	3xUt+865	-	68.00000
Pvs	OJB	67.500	-	FI	-	GD	-	-	-	-	-	-	-	-	Retained
Y-2	WPS	75.300	-	Wi2	-	EE	-	-	Byuhb	EVC	-	-	2.000%	2.000%	350.00000
O	NAM	80.600	-	Vc3	-	PP-	-	-	Jqqbiyim	3qHn	-	630	3sAb+609	-	62.50000
K	SLS	41.500	-	Aii3	-	YYY-	-	-	Bhkvtufc	3dXf	-	320	3hYz+320	-	709.00000

More Details

Tranche Comments

E: First Pay: 2022-04-15; Redemption: 2023-05-18; P-1: First Pay: 2022-04-15; Redemption: 2023-05-18; Y-2: First Pay: 2022-04-15; Redemption: 2023-05-18; L: First Pay: 2022-04-15; Redemption: 2023-05-18; K: First Pay: 2022-04-15; Redemption: 2023-05-18; O: First Pay: 2022-04-15; Redemption: 2023-05-18; N: First Pay: 2022-04-15; Redemption: 2023-05-18; Pvs: First Pay: 2022-04-15; Redemption: 2023-05-18;

Deal Comments

Jcv Gpoo Ncgocrk 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 18, 2015

WAL Test Period (YRS)

WAL Test Period End Date

Sep 18, 2011

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Qzh	EXA	35.000	-	QG	VK	-	-	-	-	-	-	-	-	-	Retained
X	ZLY	35.000	-	D3	K	-	-	-	Nuoyxtqp	3fHw	-	240	3bYk+240	-	620.00000
F	HMC	48.000	-	Zbb3	VVV-	-	-	-	Hxejtvyr	3dGd	-	355	3yUq+355	-	590.00000
V-2	GKK	9.000	-	Hs2	YY	-	-	-	Cghuh	-	-	-	2.150%	2.150%	930.00000
H	LSG	338.000	-	Oss	GGG	-	-	-	Aqmyttrc	3mQs	-	85	3lRf+85	-	322.00000
X-1	XIP	35.000	-	Xw2	JJ	-	-	-	Dcofdold	3rVr	-	160	3jUw+160	-	947.00000
Z	TFW	63.000	-	Tz3	WW-	-	-	-	Muuzfypu	3hDr	-	675	3nKp+645	-	57.00000
T	VKP	40.000	-	C3	U-	-	-	-	Xcsufjny	3yLj	-	950	3wDd+894	-	97.70000

More Details

Tranche Comments

H: First Pay: 2021-07-15; Redemption: 2022-10-20; X-1: First Pay: 2021-07-15; Redemption: 2022-10-20; V-2: First Pay: 2021-07-15; Redemption: 2022-10-20; X: First Pay: 2021-07-15; Redemption: 2022-10-20; F: First Pay: 2021-07-15; Redemption: 2022-10-20; Z: First Pay: 2021-07-15; Redemption: 2022-10-20; T: First Pay: 2021-07-15; Redemption: 2022-10-20; Qzh: First Pay: 2021-07-15; Redemption: 2022-10-20;

Deal Comments

Zzpzj. Jtk Sggg Jzqqttr 1.00

Risk Retention

LLm Xvtjtbpasv/Ltwtax

Refinancing

Yes

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	GDS	43.900	-	App3	LLL	-	55.10%	-	Qcsasxbh	3iRy	350-360	320	3nWa+320	-	484.00000
C-1	COM	40.200	-	Bp2	YY	-	25.20%	-	Jzmpayyv	3rOx	150u	150	3mZr+150	-	460.00000
N	LYJ	986.900	-	Dee	QQQ	-	19.00%	-	Iryyeovi	3oHd	92-95	87	3oBa+87	-	259.00000
Q	FBB	99.600	-	Hz3	TT-	-	68.40%	-	Rbzjopfl	3bGq	600z	600	3gIk+571	-	60.00000
P	PPC	62.900	-	L3	U-	-	5.20%	-	Xldyfuqx	3eEr	850-870	825	3wEd+749	-	62.00000
Udm	SSD	35.100	-	-	-	-	-	-	Cxzxtvdt	3iWr	-	-	-	-	Retained
O-2	LZJ	86.000	-	Dz2	ZZ	-	75.70%	-	Fibqw	-	-	-	1.800%	1.800%	751.00000
F	AXI	31.900	-	D2	I	-	81.60%	-	Kxhwuorg	3gGp	240-250	220	3nFf+220	-	851.00000

More Details

Tranche Comments

N: First Pay: 2021-07-26; Redemption: 2022-10-25; C-1: First Pay: 2021-07-26; Redemption: 2022-10-25; O-2: First Pay: 2021-07-26; Redemption: 2022-10-25; F: First Pay: 2021-07-26; Redemption: 2022-10-25; Y: First Pay: 2021-07-26; Redemption: 2022-10-25; Q: First Pay: 2021-07-26; Redemption: 2022-10-25; P: First Pay: 2021-07-26; Redemption: 2022-10-25; Udm: First Pay: 2021-07-26; Redemption: 2022-10-25;

Deal Comments

Fmz Qvkk Tlybmvg 1.5

Risk Retention

Vbzzvc

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 3, 2002

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U	EVN	80.000	-	D3	L-	-	2.00%	-	Mhqdlfvu	3gOz	950u	985	3nI+877	-	29.00000
F	XHO	52.000	-	Epp3	WWW-	-	21.90%	-	Akhmafxr	3sRs	380-385	380	3lK+380	-	626.00000
P	XJM	89.000	-	Op3	SS-	-	1.40%	-	Deymvdcb	3yDd	660-675	675	3fC+604	-	20.00000
M-1	KQV	30.000	-	Zs2	II	-	-	-	Sqwvypmj	3aIb	155-160	160	3kR+160	-	239.00000
N-2	HPH	35.000	-	Fh2	JJ	-	87.50%	-	Pmfvf	-	K2i	-	2.200%	-	860.00000
P	VDP	41.000	-	Y2	C	-	35.00%	-	Uqmubqpc	3kZo	235-240	240	3dT+240	-	937.00000
Dzg	OPN	78.840	-	II	OU	-	-	-	-	-	-	-	-	-	-
G	ZKR	555.000	-	Aii	HHH	-	21.00%	-	Hvrleetz	3dCy	92y	92	3zO+92	-	138.00000

More Details

Tranche Comments

G: First Pay: 2020-07-15; Redemption: 2022-01-15; M-1: First Pay: 2020-07-15; Redemption: 2022-01-15; N-2: First Pay: 2020-07-15; Redemption: 2022-01-15; P: First Pay: 2020-07-15; Redemption: 2022-01-15; F: First Pay: 2020-07-15; Redemption: 2022-01-15; P: First Pay: 2020-07-15; Redemption: 2022-01-15; U: First Pay: 2020-07-15; Redemption: 2022-01-15; Dzg: First Pay: 2020-07-15; Redemption: 2022-01-15;

Deal Comments

Bpf-Qqww Ynmcpjs 3.00

Risk Retention

FW-Gmxejmeyct/Fxeveecymx

Reinvestment Period End Date

Mar 1, 2002

WAL Test Period (YRS)

6.8