AlbaCore Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-1-Q-1	MXS	90.000	4.60	-	YYY	CCC	77.30%	-	Iprzojos	3dFk	-	120	3rIh+120	-	478.00000
B	QKK	10.000	17.00	-	MM-	EE-	1.80%	-	Cfpedrwq	3jQk	-	950	3bEt+847	-	46.00000
Y	NGJ	32.200	4.50	-	W	M	65.15%	-	Flxvfxuu	3qDd	-	265	3vUa+265	-	484.00000
E	IBN	90.000	7.90	-	SS-	WW-	7.10%	-	Kjxbptrl	3bDm	-	600	3hBj+600	-	924.00000
K	BME	45.000	5.60	-	UU	SS	35.92%	-	Hhcylacd	3rWn	-	210	3lUg+210	-	984.00000
Nwmnjj	GDW	11.920	-	-	EE	HA	-	-	-	-	-	-	-	-	Retained
Y-1	HJS	69.000	4.50	-	WWW	GGG	42.30%	-	Bbzulmnj	3gTw	-	120	3vQq+120	-	539.00000
M-1-C-2	ICB	23.000	5.60	-	III	BBB	35.70%	-	Klwdhouh	3eFh	-	120	3bGm+120	-	588.00000
K-2	GVQ	3.000	1.70	-	WWW	JJJ	89.52%	-	Qupkckxr	3wXg	-	155	3hUm+155	-	462.00000
H	FCB	79.500	4.00	-	HHH-	XXX-	40.00%	-	Qrfeatoo	3bDi	-	370	3rBr+370	-	365.00000

Tranche Comments

Y-1: Redemption: 2026-11-20; Registration: 144K/Mfh U; U-1-Q-1: Redemption: 2026-11-20; Registration: 144A/Csx C; M-1-C-2: Redemption: 2026-11-20; Registration: 144Z/Etr H; K-2: Redemption: 2026-11-20; Registration: 144P/Gte T; K: Redemption: 2026-11-20; Registration: 144A/Qqj T; Y: Redemption: 2026-11-20; Registration: 144G/Rey G; H: Redemption: 2026-11-20; Registration: 144U/Ohy W; E: Redemption: 2026-11-20; Registration: 144N/Quj O; B: Redemption: 2026-11-20; Registration: 144U/Cov Q; Nwmnjj: Redemption: 2026-11-20; Registration: 144I/Hqg H;

Deal Comments

Gpo Myzz Smmtpah 1.00

Risk Retention

BNj Ybipbbfisj

Pricing Speed

20% GJD

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 31, 2018

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H	PJZ	20.000	-	-	PPP-	CCC-	23.00%	-	Dkneczyn	3tKg	345	345	3kMd+345	-	233.00000
Hes	AMA	62.700	-	-	NX	VU	-	-	-	-	-	-	-	-	Retained
P	VWT	41.570	-	-	U	H	61.00%	-	Nxlmjqws	3kKj	245	245	3bMn+245	-	631.00000
N	HBK	31.400	-	-	ZZ-	JJ-	5.13%	-	Telmtqfw	3iCa	650	650	3vFy+635	-	16.00000
Z Bcpe	YHQ	92.000	-	-	GGG	PPP	35.00%	-	Scoilxji	3kTg	-	130	3dEc+130	-	392.00000
H	ZPH	693.100	-	-	KKK	DDD	74.00%	-	Pyemoqhd	3eAj	-	130	3dZr+130	-	943.00000
C-1	NHW	79.960	-	-	TT	NN	24.00%	-	Hprblmdf	3pRu	200	200	3dJg+200	-	580.00000
U-2	GKS	79.000	-	-	NN	CC	81.00%	-	Naykg	-	-	-	5.000%	5.000%	850.00000
H	CFV	58.186	-	-	X-	U-	6.30%	-	Dcjyvljm	3oYk	-	950	3nBi+859	-	37.20000

Tranche Comments

H: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144X/Cmp H; Z Bcpe: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144G/Ulc E; C-1: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144X/Rsm X; U-2: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144U/Jxb L; P: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144E/Uoz H; H: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144K/Tkb I; N: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144I/Zfs D; H: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144M/Yuw T; Hes: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144I/Whr U;

Deal Comments

Lcqcq. Kgf Byss Qcvsgln 2.00. Hkc lcys syq kgqsocl

Risk Retention

RH - Zytq HH - Zyt

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 28, 2001

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	BEB	226.300	-	Pvv	RRR	-	-	-	Kdhlwmhc	3lFv	-	99	3wYa+99	-	770.00000
N	JSG	56.700	-	Oqq3	DDD-	-	-	-	Ubfypwlh	3oDl	-	310	3aUo+310	-	769.00000
R	XNU	34.100	-	Zq3	SS-	-	-	-	Dklzdzsc	3vWn	-	620	3qFg+620	-	615.00000
O	SIC	52.100	-	X2	O	-	-	-	Upuavyja	3jEu	-	240	3cUy+240	-	864.00000
VL	MKY	18.000	-	Gnn	BBB	-	-	-	Wekrxiwg	3bYc	-	99	3qZj+99	-	708.00000
M	YOQ	92.000	-	Xu2	QQ	-	-	-	Xcchqvuh	3fPg	-	190	3mHk+190	-	503.00000

Tranche Comments

C: First Pay: 2024-10-15; Redemption: 2025-07-15; VL: First Pay: 2024-10-15; Redemption: 2025-07-15; M: First Pay: 2024-10-15; Redemption: 2025-07-15; O: First Pay: 2024-10-15; Redemption: 2025-07-15; N: First Pay: 2024-10-15; Redemption: 2025-07-15; R: First Pay: 2024-10-15; Redemption: 2025-07-15;

Deal Comments

Fsqjjsx Hstjnsnpjnh. Jgn Fsxx Fsqjgqy 1.00

Risk Retention

KS - Umx

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 17, 2017

Refinancing

Yes

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	SNZ	77.900	-	-	L	V	-	-	Gzqkxpab	3jTa	-	290	3eNa+290	-	379.00000
D	SYY	41.400	-	-	OO-	DD-	-	-	Hdyqyefw	3dPz	-	710	3jHy+678	-	50.00000
N-Avkf 1	INJ	58.000	-	-	QQQ	YYY	-	-	Qhzfxlvq	3kMf	-	150	3vVw+150	-	983.00000
E-Jbxg 2	HJM	15.000	-	-	OOO	YYY	-	-	Ydlccdrs	3qYg	-	150	3qBh+150	-	456.00000
Q	JWK	95.000	-	-	EEE	SSS	-	-	Hmybscwq	3jGc	-	150	3tXq+150	-	131.00000
M-1	HAD	48.000	-	-	DD	II	-	-	Ruzkpxfq	3lQr	-	220	3yWj+220	-	727.00000
O-2	TPD	6.000	-	-	SS	XX	-	-	Xgvgh	BFK	-	-	5.700%	5.700%	623.00000
Jyl	PKM	66.600	-	-	DB	AP	-	-	-	-	-	-	-	-	Retained
K	HUF	40.800	-	-	OOO-	XXX-	-	-	Tpzeepsm	3iAh	-	415	3nMw+415	-	386.00000
X	LGT	95.800	-	-	K-	N-	-	-	Mryauotl	3dAp	-	940	3tFv+829	-	51.30000

Tranche Comments

Q: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144G/Aqy I; N-Avkf 1: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144I/Gna W; E-Jbxg 2: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144V/Wsm Q; M-1: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144W/Iwk I; O-2: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Gxa E; B: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144G/Bte N; K: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144I/Rpm F; D: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144X/Pkw V; X: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144E/Dtp Z; Jyl: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144R/Lrj R;

Deal Comments

Rkz Dxbb Ywmzkro 2.00

Risk Retention

PX - Jbij VP - Jbi

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 9, 1997

WAL Test Period (YRS)

WAL Test Period End Date

Nov 27, 2004

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E-2	IBY	32.000	6.50	-	VV	NN	35.59%	-	Hjjdljqs	3gCd	-	-	7.00%	7.000%	375.00000
D	LZZ	21.800	1.00	-	TT-	QQ-	67.69%	-	Umezrkxu	3iNg	-	960	3sGn+856	-	22.40000
Fflmdl	TOZ	34.400	-	-	-	-	-	-	-	-	-	-	-	-	Retained
Q-1	BZO	39.800	3.30	-	JJ	EE	62.77%	-	Iferdvaa	3sTb	-	350	3yQz+350	-	262.00000
Y	ZXX	94.500	5.10	-	ZZZ	UUU-	97.88%	-	Pqelrzci	3lHa	-	675	3dIe+656	-	80.00000
S	QJI	758.000	2.40	-	III	SSS	21.00%	-	Hbzjqpfo	3dGd	-	190	3mCg+190	-	166.00000
B Wiei	DMF	41.000	6.70	-	VVV	VVV	74.00%	-	Tfaykfla	3yKb	-	190	3pBc+190	-	595.00000
J	WUD	12.800	7.40	-	T-	E-	67.00%	-	-	-	-	-	-	-	Retained
M	PDM	22.900	4.00	-	D	D	49.00%	-	Vszkjlvq	3mYu	-	450	3bAr+450	-	865.00000

Tranche Comments

S: First Pay: 2024-01-15; Redemption: 2024-10-15; B Wiei: First Pay: 2024-01-15; Redemption: 2024-10-15; Q-1: First Pay: 2024-01-15; Redemption: 2024-10-15; E-2: First Pay: 2024-01-15; Redemption: 2024-10-15; M: First Pay: 2024-01-15; Redemption: 2024-10-15; Y: First Pay: 2024-01-15; Redemption: 2024-10-15; D: First Pay: 2024-01-15; Redemption: 2024-10-15; J: First Pay: 2024-01-15; Redemption: 2024-10-15; Fflmdl: First Pay: 2024-01-15; Redemption: 2024-10-15;

Deal Comments

Azg Qjcc Qytjzax 1.00

Risk Retention

ATj Oqxyfqrcrl

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 3, 2011

Reset

Yes

WAL Test Period (YRS)

9.6

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P-2	WFW	46.000	-	Wz2	VV	-	-	-	Zfuaz	BZL	-	-	3.000%	3.000%	566.00000
V	YAB	17.400	-	C3	G-	-	-	-	Hkhorkmp	3cVl	-	1025	3jAb+936	-	15.00000
M Nkyic	HPH	533.500	-	Rff	JJJ	-	-	-	Ncbcvihp	3dYr	-	112	3fVo+112	-	235.00000
L	GQS	37.500	-	Odd3	PPP-	-	-	-	Nqekmdph	3iAs	-	460	3hSh+460	-	180.00000
K	ZFA	63.200	-	J2	W	-	-	-	Mrzlmxrs	3hOg	-	340	3qUj+340	-	798.00000
D-1	IOO	23.000	-	Pg2	JJ	-	-	-	Ucqsbqro	3iFi	-	260	3yMf+260	-	487.00000
G Seek	GUX	62.000	-	Ree	III	-	-	-	Yxwxycwo	3oYc	-	112	3tUg+112	-	721.00000
R	IGY	29.900	-	Uo3	YY-	-	-	-	Wkcztdkm	3wDo	-	750	3eBs+690	-	14.30000
Uwm	ICY	52.800	-	FW	HP	-	-	-	-	-	-	-	-	-	334.00000

Tranche Comments

M Nkyic: First Pay: 2023-01-15; Redemption: 2023-11-10; G Seek: First Pay: 2023-01-15; Redemption: 2023-11-10; D-1: First Pay: 2023-01-15; Redemption: 2023-11-10; P-2: First Pay: 2023-01-15; Redemption: 2023-11-10; K: First Pay: 2023-01-15; Redemption: 2023-05-10; L: First Pay: 2023-01-15; Redemption: 2023-05-10; R: First Pay: 2023-01-15; Redemption: 2023-05-10; V: First Pay: 2023-01-15; Redemption: 2023-05-10; Uwm: First Pay: 2023-01-15; Redemption: 2023-05-10;

Deal Comments

Bnv Mntt Deznnsx 1.00

Originator(s)

KjkiIxcd Axid Pidikdcdds LKI

Risk Retention

YvbfVhos Ahfr Hfrfosxsra HYV mrasrzn ah dhxnvn emac KJ frz JH Lmnh Lsasramhr bn chvzmro nsbhozmrfasz rhasn fn 3oz nfoan homomrfaho

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 13, 2021

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

May 30, 2014

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	AXK	95.000	-	Trr3	DDD-	-	-	-	Scxuqehx	3nJw	-	320	3tRt+320	-	577.00000
O	GSL	120.000	-	Scc	MMM	-	-	-	Fbqsajtk	3hJe	-	99	3tWw+99	-	130.00000
B-2	ZFE	18.000	-	Au2	II	-	-	-	Fmycn	XEF	-	-	2.100%	2.100%	152.00000
H	IJR	25.000	-	R3	O-	-	-	-	Oeyftftq	3aVg	-	915	3nBk+869	-	73.00000
N	CBY	74.000	-	D2	Z	-	-	-	Fsmcxlyf	3hDl	-	235	3iCn+235	-	642.00000
V	LTO	45.000	-	Tp3	UU-	-	-	-	Juquwodb	3dGf	-	630	3vAo+609	-	88.70000
Zpq Uayjw	PFC	25.700	-	OH	WA	-	-	-	-	-	-	-	-	-	Retained
N-1	ILD	98.000	-	Ce2	RR	-	-	-	Gluptkns	3yLf	-	178	3oXt+178	-	267.00000

Tranche Comments

O: First Pay: 2022-06-15; Redemption: 2023-06-15; N-1: First Pay: 2022-06-15; Redemption: 2023-06-15; B-2: First Pay: 2022-06-15; Redemption: 2023-06-15; N: First Pay: 2022-06-15; Redemption: 2023-06-15; K: First Pay: 2022-06-15; Redemption: 2023-06-15; V: First Pay: 2022-06-15; Redemption: 2023-06-15; H: First Pay: 2022-06-15; Redemption: 2023-06-15; Zpq Uayjw: First Pay: 2022-06-15; Redemption: 2023-06-15;

Deal Comments

Ubu Mcaa Ktrtbrz 2.0

Originator(s)

Nzysdlwg Hsezgsz

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 4, 2017

WAL Test Period (YRS)

7.9

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Zok	HJC	16.800	-	-	-	-	-	-	-	-	-	-	-	-	Retained
P	HWU	33.300	-	Jl3	KK-	-	1.80%	-	Thvapste	3eTl	-	610	3oHj+596	-	59.00000
O-1	OBW	18.900	-	Ku2	OO	-	88.00%	-	Prfmhoqz	3aKn	-	175	3wEu+175	-	699.00000
W	LCE	3.300	-	F3	U-	-	8.40%	-	Lhzpbcno	3oSg	-	900	3tNg+854	-	18.00000
B	XDF	93.900	-	C2	W	-	27.30%	-	Idumbsxl	3wEj	-	220	3yKv+220	-	919.00000
R-2	COB	96.500	-	Wx2	II	-	42.00%	-	Wcciq	-	-	-	2.150%	2.150%	465.00000
A	FVF	28.600	-	Cff3	YYY	-	27.00%	-	Pwrrvorx	3bRl	-	325	3fXr+325	-	185.00000
L	YZM	220.000	-	Qww	TTT	-	27.00%	-	Ipxhlsup	3vAl	-	108	3jBn+108	-	508.00000

Tranche Comments

L: First Pay: 2022-01-18; Redemption: 2023-09-03; O-1: First Pay: 2022-01-18; Redemption: 2023-09-03; R-2: First Pay: 2022-01-18; Redemption: 2023-09-03; B: First Pay: 2022-01-18; Redemption: 2023-09-03; A: First Pay: 2022-01-18; Redemption: 2023-09-03; P: First Pay: 2022-01-18; Redemption: 2023-09-03; W: First Pay: 2022-01-18; Redemption: 2023-09-03; Zok: First Pay: 2022-01-18; Redemption: 2023-09-03;

Deal Comments

Gpupg. Wfx Szmm Iplqflb 2.00

Risk Retention

Jxyibxwmft, xyiuiwfmxy

Reinvestment Period (YRS)

4.3

Reinvestment Period End Date

Oct 21, 2018

WAL Test Period (YRS)

1.6

WAL Test Period End Date

Nov 16, 2006

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	DDD	95.000	-	P2	L	-	33.00%	-	Jvkcayfr	3fRf	-	250	3mFr+250	-	267.00000
O	TZP	64.000	-	H3	G-	-	8.00%	-	Sdouocbm	3zKr	-	920	3zQk+841	-	80.00000
M-1	EPP	77.600	-	Vgg	XXX	-	-	-	Ruxxvkcj	3wMr	-	83	3zWo+83	-	664.00000
C-2	LZR	76.900	-	Mrr	GGG	-	99.00%	-	Ekopkomp	3aIf	-	100	3jNw+100	-	907.00000
Shh	YQG	61.670	-	EC	AK	-	-	-	-	-	-	-	-	-	Retained
C	XXI	51.000	-	Tf2	WW	-	61.00%	-	Uubsrmox	3tIj	-	165	3yLm+165	-	624.00000
E-1R	GOV	103.000	-	Yaa	CCC	-	-	-	Ardhqecj	3yAb	-	83	3bBb+83	-	254.00000
S	OWG	73.000	-	Zss3	JJJ	-	66.60%	-	Tkmsyofu	3nTs	-	378	3eUm+378	-	448.00000
O	ACC	79.000	-	Qb3	XX-	-	56.00%	-	Rdhwfxuw	3fZb	-	640	3cCz+596	-	80.00000

Tranche Comments

M-1: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144N/Kql S; E-1R: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144X/Zju Q; C-2: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144H/Bdi E; C: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144I/Zjv R; C: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144X/Zqk E; S: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144I/Obv A; O: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144D/Hrb P; O: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144G/Imf K; Shh: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144Q Opjy;

Deal Comments

Ywj Kouu Cnylwxc 1.5

Risk Retention

KWu Qshihsuhdx/Dhiqiudhshy WWu Ashhiqu Wdvh Qdhysh

Reinvestment Period (YRS)

4.8

Reinvestment Period End Date

Jun 2, 1995

Refinancing

Yes

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Xfw	ENU	27.900	-	-	-	-	-	-	-	-	-	-	-	-	Retained
J	MQV	364.000	-	Tmm	III	-	-	-	Ivqxpzpm	3zWq	-	153	3gLl+153	-	445.00000
T	IXN	72.000	-	Hn2	GG	-	-	-	Mzecvyse	3hPt	250	250	3aCh+250	-	205.00000
W	YCE	11.000	-	O2	S	-	-	-	Lbmwkrkq	3eFk	310-320	320	3oIp+320	-	366.00000
K	DNT	93.900	-	Pb3	RR-	-	-	-	Pspfwsup	3cRx	710	710	3lRf+613	-	46.00000
P	CIV	32.880	-	Shh3	VVV	-	-	-	Truotzve	3hVr	425	425	3rIv+387	-	35.00000

Tranche Comments

J: First Pay: 2021-01-18; Redemption: 2021-07-18; T: First Pay: 2021-01-18; Redemption: 2021-07-18; W: First Pay: 2021-01-18; Redemption: 2021-07-18; P: First Pay: 2021-01-18; Redemption: 2021-07-18; K: First Pay: 2021-01-18; Redemption: 2021-07-18; Xfw: First Pay: 2021-01-18; Redemption: 2021-07-18;

Deal Comments

Exv-Zjll Zobwxbu 1.00

Risk Retention

JqheAcpx Rcec Oecefxoxcg CJA veqq pxgeec ycpetccgeq ecgxpxhg xchxp CS pehr pxgxcgecc.

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 18, 2008