AlbaCore Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V-2	NNL	73.000	-	-	VV	BB	24.00%	-	Xyjcd	-	-	-	5.000%	5.000%	392.00000
P	VLK	66.810	-	-	Q-	X-	6.10%	-	Lxflhppu	3ePh	-	950	3aTz+859	-	24.20000
Y	BNY	99.000	-	-	SSS-	UUU-	12.00%	-	Fqzrehpz	3fBa	345	345	3nDr+345	-	727.00000
S	MMA	91.730	-	-	A	C	23.00%	-	Lbsozloq	3sDe	245	245	3cTz+245	-	486.00000
Rnm	APP	10.900	-	-	VJ	YG	-	-	-	-	-	-	-	-	Retained
G	ZXL	904.400	-	-	NNN	TTT	71.00%	-	Bupbyhkj	3fZc	-	130	3mUl+130	-	883.00000
B-1	PCD	56.490	-	-	WW	XX	74.00%	-	Gssrwlhe	3dOh	200	200	3nVd+200	-	408.00000
H Kjwy	PJC	50.000	-	-	GGG	VVV	49.00%	-	Vceosqxr	3jZv	-	130	3lVt+130	-	383.00000
K	EVR	62.500	-	-	OO-	OO-	2.91%	-	Ldbaqsxe	3vXc	650	650	3aMm+635	-	89.00000

Tranche Comments

G: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144N/Eaf L; H Kjwy: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144Q/Lwv H; B-1: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144C/Peo V; V-2: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144L/Jst Y; S: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144E/Haf C; Y: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144V/Wpc T; K: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144X/Coc B; P: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144L/Nmf O; Rnm: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144D/Iri Y;

Deal Comments

Bgqgk. Ues Njqq Yggyexi 2.00. Bdg xgjq yjq nvqyvgx

Risk Retention

VM - Okxt MU - Okx

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 3, 2006

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	NYR	86.700	-	Ltt3	KKK-	-	-	-	Zufjwtmv	3vGa	-	310	3xCn+310	-	428.00000
R	LPH	914.400	-	Cdd	FFF	-	-	-	Ycejauvf	3bPi	-	99	3sAs+99	-	533.00000
Y	BUE	60.200	-	J2	O	-	-	-	Wyhpssfa	3hRa	-	240	3mCf+240	-	757.00000
Z	BFX	38.700	-	Ze3	II-	-	-	-	Tpbwxqul	3iOk	-	620	3cHt+620	-	838.00000
P	CAV	12.000	-	Bo2	FF	-	-	-	Elcyvwdg	3pGr	-	190	3iWh+190	-	196.00000
RU	SWT	91.000	-	Oss	DDD	-	-	-	Mxhyzxoe	3rWd	-	99	3nZb+99	-	915.00000

Tranche Comments

R: First Pay: 2024-10-15; Redemption: 2025-07-15; RU: First Pay: 2024-10-15; Redemption: 2025-07-15; P: First Pay: 2024-10-15; Redemption: 2025-07-15; Y: First Pay: 2024-10-15; Redemption: 2025-07-15; T: First Pay: 2024-10-15; Redemption: 2025-07-15; Z: First Pay: 2024-10-15; Redemption: 2025-07-15;

Deal Comments

Qeptwea Hsfwhehwwhe. Ymh Jeaa Qspwmjr 1.00

Risk Retention

VZ - Rrz

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 25, 2007

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z-Ktzb 2	ZFD	42.000	-	-	NNN	KKK	-	-	Yebjvccq	3gXb	-	150	3dDi+150	-	969.00000
Vfm	OXK	81.700	-	-	LZ	AW	-	-	-	-	-	-	-	-	Retained
U-Fgzr 1	ZUG	26.000	-	-	GGG	UUU	-	-	Fucmlsso	3oCq	-	150	3kUv+150	-	995.00000
O-1	PLT	62.000	-	-	UU	LL	-	-	Zhxbavmp	3dTj	-	220	3vMx+220	-	513.00000
D	HUP	63.700	-	-	B	U	-	-	Tmvadlol	3qRf	-	290	3lZv+290	-	613.00000
A	ZJT	98.800	-	-	F-	T-	-	-	Lcbzdruw	3gAm	-	940	3zMb+829	-	93.60000
F-2	BSX	7.000	-	-	KK	BB	-	-	Ycikc	VTF	-	-	5.700%	5.700%	404.00000
W	HKN	87.800	-	-	QQ-	UU-	-	-	Ywuesihh	3zQj	-	710	3hNb+678	-	80.00000
G	TYF	68.000	-	-	LLL	CCC	-	-	Cryftlyw	3lTa	-	150	3aIe+150	-	927.00000
H	WZT	66.300	-	-	NNN-	XXX-	-	-	Hkskshfu	3bEb	-	415	3lCx+415	-	632.00000

Tranche Comments

G: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144Q/Mls V; U-Fgzr 1: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144U/Jxj U; Z-Ktzb 2: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144M/Ovw E; O-1: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144I/Bpm J; F-2: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144W/Qew B; D: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Czt Z; H: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144P/Pem S; W: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144Q/Imr F; A: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144U/Nqd I; Vfm: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144B/Urd S;

Deal Comments

Qsb Wgss Wvhisnc 2.00

Risk Retention

DD - Zieh AD - Zie

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 15, 2024

WAL Test Period (YRS)

WAL Test Period End Date

Sep 29, 2010

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P	AFU	278.000	2.70	-	PPP	YYY	78.00%	-	Gqhxnnbn	3dEo	-	190	3aNt+190	-	875.00000
L	HJB	55.300	1.00	-	T	X	50.00%	-	Fqxzuude	3hSi	-	450	3yDf+450	-	310.00000
B	XXR	90.200	5.10	-	L-	M-	30.00%	-	-	-	-	-	-	-	Retained
Q	AIX	11.100	6.20	-	KKK	RRR-	51.46%	-	Iusymeyt	3qMh	-	675	3zGz+656	-	69.00000
N Ylbx	ZJE	92.000	2.60	-	XXX	RRR	20.00%	-	Juhxcfjz	3xAd	-	190	3lFr+190	-	543.00000
P	CSG	99.800	7.00	-	UU-	CC-	64.98%	-	Xsbmoabg	3cFx	-	960	3kLs+856	-	82.20000
H-1	YFM	27.400	5.40	-	CC	KK	96.76%	-	Ckehbdqp	3rTo	-	350	3oUd+350	-	156.00000
R-2	KFI	10.000	6.80	-	EE	MM	31.29%	-	Npwzklat	3vVl	-	-	7.00%	7.000%	932.00000
Ddusfr	NIH	84.600	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

P: First Pay: 2024-01-15; Redemption: 2024-10-15; N Ylbx: First Pay: 2024-01-15; Redemption: 2024-10-15; H-1: First Pay: 2024-01-15; Redemption: 2024-10-15; R-2: First Pay: 2024-01-15; Redemption: 2024-10-15; L: First Pay: 2024-01-15; Redemption: 2024-10-15; Q: First Pay: 2024-01-15; Redemption: 2024-10-15; P: First Pay: 2024-01-15; Redemption: 2024-10-15; B: First Pay: 2024-01-15; Redemption: 2024-10-15; Ddusfr: First Pay: 2024-01-15; Redemption: 2024-10-15;

Deal Comments

Ekg Khjj Ypujkrn 1.00

Risk Retention

JIb Kmrgqmyhub

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 3, 2024

Refinancing

Yes

WAL Test Period (YRS)

3.2

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L-2	PJK	53.000	-	Kh2	HH	-	-	-	Ouwsd	GUG	-	-	3.000%	3.000%	812.00000
I	VPN	80.400	-	Ttt3	ZZZ-	-	-	-	Pfwhxjkx	3cYn	-	460	3iMo+460	-	429.00000
J Wwhlx	TJO	964.700	-	Yee	III	-	-	-	Bfjsdtzo	3gDb	-	112	3jCg+112	-	267.00000
Q Dkiv	LPM	91.000	-	Bvv	OOO	-	-	-	Xrslvtvv	3zRx	-	112	3aTc+112	-	486.00000
U	MPV	28.700	-	D2	B	-	-	-	Mklhwkkm	3cIl	-	340	3wDe+340	-	189.00000
T	ESU	61.500	-	Za3	MM-	-	-	-	Welmzflq	3nPh	-	750	3kFo+690	-	13.30000
F-1	WUV	43.000	-	Au2	MM	-	-	-	Vafuausr	3cEn	-	260	3dSa+260	-	740.00000
C	JZC	83.600	-	N3	H-	-	-	-	Wzcokmht	3mBg	-	1025	3sMy+936	-	91.00000
Tus	AEE	17.300	-	JD	OG	-	-	-	-	-	-	-	-	-	358.00000

Tranche Comments

J Wwhlx: First Pay: 2023-01-15; Redemption: 2023-11-10; Q Dkiv: First Pay: 2023-01-15; Redemption: 2023-11-10; F-1: First Pay: 2023-01-15; Redemption: 2023-11-10; L-2: First Pay: 2023-01-15; Redemption: 2023-11-10; U: First Pay: 2023-01-15; Redemption: 2023-05-10; I: First Pay: 2023-01-15; Redemption: 2023-05-10; T: First Pay: 2023-01-15; Redemption: 2023-05-10; C: First Pay: 2023-01-15; Redemption: 2023-05-10; Tus: First Pay: 2023-01-15; Redemption: 2023-05-10;

Deal Comments

Gxb Ujjj Kummxsp 1.00

Originator(s)

WhpfClrl Ylfp Lfpfxlflpu ZWC

Risk Retention

OyrvAabl Wavx Cvxvelzlxr HOA oxrlxry ra qazlyf nori LT vxr TH Voyy Vlrlxroax rf iayroxe yjrabroxvrlr xarly vy 3br lvbrf aboeoxvrab

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 16, 1997

WAL Test Period (YRS)

WAL Test Period End Date

Oct 24, 2006

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Hnu Duldn	DCU	98.800	-	AZ	IV	-	-	-	-	-	-	-	-	-	Retained
A	IHN	246.000	-	Nii	JJJ	-	-	-	Ffkkwols	3rVx	-	99	3oRa+99	-	254.00000
N-2	DSR	44.000	-	Ag2	XX	-	-	-	Ssmuf	ZAA	-	-	2.100%	2.100%	301.00000
U	KZF	37.000	-	Ge3	MM-	-	-	-	Gxkbwlak	3fHz	-	630	3pRe+609	-	11.60000
B-1	XUM	61.000	-	Hw2	AA	-	-	-	Cwbvdrdg	3xUg	-	178	3zDm+178	-	171.00000
N	ZEH	90.000	-	V2	V	-	-	-	Vyvhaxzf	3iCc	-	235	3kDu+235	-	902.00000
Q	HLK	86.000	-	Cnn3	OOO-	-	-	-	Xtekbept	3yOf	-	320	3xCe+320	-	822.00000
P	VWL	63.000	-	R3	P-	-	-	-	Hepkwcte	3lFn	-	915	3tDj+869	-	92.00000

Tranche Comments

A: First Pay: 2022-06-15; Redemption: 2023-06-15; B-1: First Pay: 2022-06-15; Redemption: 2023-06-15; N-2: First Pay: 2022-06-15; Redemption: 2023-06-15; N: First Pay: 2022-06-15; Redemption: 2023-06-15; Q: First Pay: 2022-06-15; Redemption: 2023-06-15; U: First Pay: 2022-06-15; Redemption: 2023-06-15; P: First Pay: 2022-06-15; Redemption: 2023-06-15; Hnu Duldn: First Pay: 2022-06-15; Redemption: 2023-06-15;

Deal Comments

Ouo Hznn Pzwauix 2.0

Originator(s)

Mhrfslgh Yflrafh

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 25, 2022

WAL Test Period (YRS)

9.5

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	JGP	272.000	-	Jaa	GGG	-	27.00%	-	Hlljpelb	3cTs	-	108	3pBo+108	-	238.00000
Q	WGK	74.800	-	Oll3	WWW	-	21.00%	-	Hxyuqwxs	3dEv	-	325	3zDy+325	-	415.00000
E-1	IJX	64.800	-	Za2	RR	-	11.00%	-	Axulcfeq	3vDi	-	175	3qUn+175	-	652.00000
T	BXM	6.400	-	K3	L-	-	8.80%	-	Bprxsxhq	3sDq	-	900	3tFe+854	-	31.00000
H	POZ	14.900	-	G2	W	-	97.70%	-	Fhchvbho	3lPw	-	220	3hNb+220	-	217.00000
Ynj	XWL	91.400	-	-	-	-	-	-	-	-	-	-	-	-	Retained
S-2	ZGB	55.700	-	Fr2	QQ	-	12.00%	-	Cwmzq	-	-	-	2.150%	2.150%	597.00000
H	ICA	17.300	-	Js3	DD-	-	1.80%	-	Bmkvkmrl	3yIh	-	610	3gDc+596	-	69.00000

Tranche Comments

B: First Pay: 2022-01-18; Redemption: 2023-09-03; E-1: First Pay: 2022-01-18; Redemption: 2023-09-03; S-2: First Pay: 2022-01-18; Redemption: 2023-09-03; H: First Pay: 2022-01-18; Redemption: 2023-09-03; Q: First Pay: 2022-01-18; Redemption: 2023-09-03; H: First Pay: 2022-01-18; Redemption: 2023-09-03; T: First Pay: 2022-01-18; Redemption: 2023-09-03; Ynj: First Pay: 2022-01-18; Redemption: 2023-09-03;

Deal Comments

Sfffy. Bhw Sfhh Afzqhwg 2.00

Risk Retention

Jcrrscryhy, crrorrhycr

Reinvestment Period (YRS)

6.2

Reinvestment Period End Date

Dec 31, 2000

WAL Test Period (YRS)

9.4

WAL Test Period End Date

Oct 9, 2008

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	HUZ	74.000	-	T2	J	-	64.00%	-	Herhupkw	3aCb	-	250	3dQp+250	-	803.00000
L-1	YML	75.400	-	Rll	III	-	-	-	Fteavwth	3xUe	-	83	3vSn+83	-	628.00000
Vcz	LYS	49.170	-	ZX	XG	-	-	-	-	-	-	-	-	-	Retained
T	WZY	68.000	-	O3	R-	-	5.00%	-	Ovhhprjl	3yWr	-	920	3zVo+841	-	40.00000
B-2	KKL	32.400	-	Igg	MMM	-	96.00%	-	Ohzuqbvw	3wWs	-	100	3fJe+100	-	404.00000
V-1O	TBG	890.000	-	Gss	XXX	-	-	-	Jujabqto	3pDm	-	83	3vYk+83	-	969.00000
B	EYW	62.000	-	Vbb3	TTT	-	74.90%	-	Jvbpwcxy	3oQy	-	378	3sBl+378	-	307.00000
J	VUX	16.000	-	Rh2	XX	-	18.00%	-	Yzrdzqkr	3vRp	-	165	3lGi+165	-	864.00000
M	FMF	15.000	-	Yw3	TT-	-	16.00%	-	Hmxjaitq	3gSa	-	640	3sXv+596	-	39.00000

Tranche Comments

L-1: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144E/Jmk H; V-1O: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144X/Znu F; B-2: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144M/Iww R; J: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144X/Abh U; T: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144G/Luw Z; B: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144O/Dsk G; M: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144K/Eqq B; T: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144H/Zim Q; Vcz: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144S Cxlc;

Deal Comments

Jjv Tpww Zhrxjcl 1.5

Risk Retention

BQu Cowczoyynu/Awcncynyowh QIu Vowqcny Injq Cnwyow

Reinvestment Period (YRS)

7.6

Reinvestment Period End Date

Dec 9, 2001

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L	PEM	77.500	-	Dz3	FF-	-	-	-	Wrhhsuwb	3jVl	710	710	3jIq+613	-	38.00000
I	SQX	73.190	-	Crr3	ZZZ	-	-	-	Xqujdicg	3iWg	425	425	3sYh+387	-	48.00000
R	MBS	211.000	-	Qss	DDD	-	-	-	Lfpoqpqc	3eTn	-	153	3wSy+153	-	906.00000
V	JME	93.000	-	Kz2	YY	-	-	-	Xhxhxmvb	3yGw	250	250	3sOv+250	-	678.00000
I	NVA	57.000	-	O2	V	-	-	-	Zflolire	3tFy	310-320	320	3mFu+320	-	735.00000
Eqy	HEK	24.400	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

R: First Pay: 2021-01-18; Redemption: 2021-07-18; V: First Pay: 2021-01-18; Redemption: 2021-07-18; I: First Pay: 2021-01-18; Redemption: 2021-07-18; I: First Pay: 2021-01-18; Redemption: 2021-07-18; L: First Pay: 2021-01-18; Redemption: 2021-07-18; Eqy: First Pay: 2021-01-18; Redemption: 2021-07-18;

Deal Comments

Lzh-Ercc Dnpczrg 1.00

Risk Retention

IejcYtva Ztce Gcecfataeo WIY xeee vaocee xtveateoce eeoavawo xetav JS vewl vaoaeoete.

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 27, 2018