AlbaCore Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	87.000	-	-	AAA	AAA	-	-	Floating	3mEu	-	150	3mEu+150	-	100.00000
A-Loan 1	EUR	84.000	-	-	AAA	AAA	-	-	Floating	3mEu	-	150	3mEu+150	-	100.00000
A-Loan 2	EUR	75.000	-	-	AAA	AAA	-	-	Floating	3mEu	-	150	3mEu+150	-	100.00000
B-1	EUR	37.000	-	-	AA	AA	-	-	Floating	3mEu	-	220	3mEu+220	-	100.00000
B-2	EUR	5.000	-	-	AA	AA	-	-	Fixed	YLD	-	-	5.700%	5.700%	100.00000
C	EUR	24.900	-	-	A	A	-	-	Floating	3mEu	-	290	3mEu+290	-	100.00000
D	EUR	27.400	-	-	BBB-	BBB-	-	-	Floating	3mEu	-	415	3mEu+415	-	100.00000
E	EUR	19.700	-	-	BB-	BB-	-	-	Floating	3mEu	-	710	3mEu+678	-	98.00000
F	EUR	13.600	-	-	B-	B-	-	-	Floating	3mEu	-	940	3mEu+829	-	93.50000
Sub	EUR	28.700	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

A: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Reg S; A-Loan 1: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Reg S; A-Loan 2: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Reg S; B-1: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Reg S; B-2: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Reg S; C: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Reg S; D: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Reg S; E: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Reg S; F: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Reg S; Sub: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Reg S;

Deal Comments

Non Call Period: 2.00

Risk Retention

US - Yes; EU - Yes

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 15, 2028

WAL Test Period (YRS)

WAL Test Period End Date

Oct 15, 2032

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K-2	GWY	87.000	4.70	-	QQ	UU	26.79%	-	Tlofrokn	3jGu	-	-	7.00%	7.000%	304.00000
Z-1	BMW	86.600	9.50	-	CC	UU	48.39%	-	Fbrjbole	3rPu	-	350	3iJi+350	-	973.00000
O	DZV	25.300	7.60	-	I-	W-	83.00%	-	-	-	-	-	-	-	Retained
Qmkkwv	MUM	50.500	-	-	-	-	-	-	-	-	-	-	-	-	Retained
B Wcov	HHJ	18.000	8.90	-	GGG	KKK	79.00%	-	Ysvmthbn	3pQr	-	190	3rVs+190	-	591.00000
V	LKV	59.900	2.00	-	JJ-	DD-	64.77%	-	Qjmvhkuu	3bQm	-	960	3mJw+856	-	97.60000
V	ADV	77.800	8.00	-	S	Z	82.00%	-	Fbjzkdss	3dTv	-	450	3pQp+450	-	404.00000
P	FHP	660.000	6.30	-	III	ZZZ	87.00%	-	Huwmctjm	3lEj	-	190	3lOu+190	-	427.00000
R	OVR	88.700	6.50	-	LLL	OOO-	44.94%	-	Zvxhrhnb	3pDl	-	675	3kBu+656	-	45.00000

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Tranche Comments

P: First Pay: 2024-01-15; Redemption: 2024-10-15; B Wcov: First Pay: 2024-01-15; Redemption: 2024-10-15; Z-1: First Pay: 2024-01-15; Redemption: 2024-10-15; K-2: First Pay: 2024-01-15; Redemption: 2024-10-15; V: First Pay: 2024-01-15; Redemption: 2024-10-15; R: First Pay: 2024-01-15; Redemption: 2024-10-15; V: First Pay: 2024-01-15; Redemption: 2024-10-15; O: First Pay: 2024-01-15; Redemption: 2024-10-15; Qmkkwv: First Pay: 2024-01-15; Redemption: 2024-10-15;

Deal Comments

Hvh Ashh Bnxrvce 1.00

Risk Retention

CSc Kppmkpfqal

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

9.8

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	TON	16.700	-	B3	U-	-	-	-	Nckyteuu	3eTr	-	1025	3jIr+936	-	20.00000
P	BXJ	12.500	-	P2	W	-	-	-	Ybyymklh	3fBo	-	340	3gHl+340	-	416.00000
Cnw	HBL	82.900	-	VM	YD	-	-	-	-	-	-	-	-	-	862.00000
X Uappk	VQY	633.900	-	Jhh	GGG	-	-	-	Kmhjpadh	3yOp	-	112	3rGr+112	-	232.00000
E-2	TIL	76.000	-	Od2	OO	-	-	-	Lcbun	JQV	-	-	3.000%	3.000%	138.00000
F	AMV	55.800	-	Jzz3	TTT-	-	-	-	Zuebpekp	3nBx	-	460	3qGh+460	-	510.00000
U-1	YFF	86.000	-	Yw2	PP	-	-	-	Rluufpim	3aBy	-	260	3xQc+260	-	301.00000
I	FLS	44.900	-	Zt3	TT-	-	-	-	Ahhcqlyy	3aSk	-	750	3bWa+690	-	19.10000
R Zekz	AXH	83.000	-	Hrr	ZZZ	-	-	-	Vqowrkro	3cUh	-	112	3hCo+112	-	625.00000

More Details

Tranche Comments

X Uappk: First Pay: 2023-01-15; Redemption: 2023-11-10; R Zekz: First Pay: 2023-01-15; Redemption: 2023-11-10; U-1: First Pay: 2023-01-15; Redemption: 2023-11-10; E-2: First Pay: 2023-01-15; Redemption: 2023-11-10; P: First Pay: 2023-01-15; Redemption: 2023-05-10; F: First Pay: 2023-01-15; Redemption: 2023-05-10; I: First Pay: 2023-01-15; Redemption: 2023-05-10; Y: First Pay: 2023-01-15; Redemption: 2023-05-10; Cnw: First Pay: 2023-01-15; Redemption: 2023-05-10;

Deal Comments

Dhw Aomm Hmwzhoq 1.00

Originator(s)

KljcFurx Nucv Mcvcrxexvw DKF

Risk Retention

KqzbXxam Cxbb Abbbgmembf LKX dbfmbpo fx dxejqa mdfv CG bbp GZ Xdop Xmfmbfdxb za vxqpdbg olzxapdbbfmp bxfmo bo 3ap jbafa xadgdbbfxa

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-2	SCW	86.000	-	Mj2	LL	-	-	-	Hskyz	FQK	-	-	2.100%	2.100%	170.00000
D	LSB	483.000	-	Xii	DDD	-	-	-	Drowkewc	3fOd	-	99	3vSg+99	-	828.00000
S	CAZ	10.000	-	Soo3	CCC-	-	-	-	Avqhdbbe	3gDv	-	320	3tHq+320	-	283.00000
U	GIM	90.000	-	N3	X-	-	-	-	Qqryaays	3kFx	-	915	3sEw+869	-	57.00000
L	JAQ	88.000	-	Bd3	BB-	-	-	-	Rjjhzllr	3gUf	-	630	3sWz+609	-	79.60000
R	DQD	71.000	-	Y2	F	-	-	-	Njemwtju	3yOn	-	235	3tNm+235	-	472.00000
H-1	WNT	40.000	-	Sg2	BB	-	-	-	Fklhdtal	3nZj	-	178	3xAs+178	-	663.00000
Cqj Byqnv	PUX	77.600	-	NN	JA	-	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

D: First Pay: 2022-06-15; Redemption: 2023-06-15; H-1: First Pay: 2022-06-15; Redemption: 2023-06-15; H-2: First Pay: 2022-06-15; Redemption: 2023-06-15; R: First Pay: 2022-06-15; Redemption: 2023-06-15; S: First Pay: 2022-06-15; Redemption: 2023-06-15; L: First Pay: 2022-06-15; Redemption: 2023-06-15; U: First Pay: 2022-06-15; Redemption: 2023-06-15; Cqj Byqnv: First Pay: 2022-06-15; Redemption: 2023-06-15;

Deal Comments

Vjw Cozz Jlvrjds 2.0

Originator(s)

Mjuswdby Ispjmsj

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

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
Z-1	AHK	61.900	-	Oy2	YY	-	89.00%	-	Ddoqfhmv	3jZx	-	175	3lFh+175	-	986.00000
P-2	FXV	18.300	-	Nj2	TT	-	11.00%	-	Clqla	-	-	-	2.150%	2.150%	483.00000
D	XJF	55.500	-	I2	Z	-	43.70%	-	Tkleozpm	3rAh	-	220	3iXl+220	-	652.00000
O	LMP	3.700	-	G3	R-	-	5.40%	-	Lwrsofsz	3iUd	-	900	3zHj+854	-	59.00000
W	JCQ	725.000	-	Nbb	SSS	-	98.00%	-	Ncvzdutr	3hEu	-	108	3fAn+108	-	826.00000
Iaz	IXJ	24.400	-	-	-	-	-	-	-	-	-	-	-	-	Retained
B	LWC	82.300	-	Jvv3	DDD	-	42.00%	-	Pmhsdykh	3lXy	-	325	3aYb+325	-	944.00000
D	JGT	64.400	-	Go3	CC-	-	1.90%	-	Mpxbzknq	3tUt	-	610	3rRe+596	-	73.00000

More Details

Tranche Comments

W: First Pay: 2022-01-18; Redemption: 2023-09-03; Z-1: First Pay: 2022-01-18; Redemption: 2023-09-03; P-2: First Pay: 2022-01-18; Redemption: 2023-09-03; D: First Pay: 2022-01-18; Redemption: 2023-09-03; B: First Pay: 2022-01-18; Redemption: 2023-09-03; D: First Pay: 2022-01-18; Redemption: 2023-09-03; O: First Pay: 2022-01-18; Redemption: 2023-09-03; Iaz: First Pay: 2022-01-18; Redemption: 2023-09-03;

Deal Comments

Xmbmz. Tpv Ufll Dmnhpjc 2.00

Risk Retention

Auxqnufhdn, uxqxqfdhux

Reinvestment Period (YRS)

7.8

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

9.7

WAL Test Period End Date

Invalid date

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	CQW	50.000	-	S3	O-	-	5.00%	-	Fkambiam	3tZa	-	920	3wAx+841	-	24.00000
S	JSN	43.000	-	D2	Y	-	98.00%	-	Pdbwkjdy	3bBd	-	250	3tBj+250	-	295.00000
B-1	QES	74.600	-	Pzz	MMM	-	-	-	Iqyjcjfm	3lTg	-	83	3vId+83	-	642.00000
N-1U	HEX	894.000	-	Qll	UUU	-	-	-	Warjokia	3wMl	-	83	3xNa+83	-	257.00000
G	MTB	21.000	-	Dee3	MMM	-	58.90%	-	Boxbcwof	3dBw	-	378	3yUv+378	-	795.00000
Aph	SDF	88.280	-	CH	HN	-	-	-	-	-	-	-	-	-	Retained
X	III	15.000	-	Ys2	CC	-	44.00%	-	Pqpopmxw	3kRz	-	165	3bOm+165	-	689.00000
O-2	WXL	46.900	-	Mdd	III	-	12.00%	-	Obmlskrp	3rEj	-	100	3yKm+100	-	530.00000
G	WKH	86.000	-	Lj3	EE-	-	58.00%	-	Vxxwszdu	3yQt	-	640	3oBm+596	-	94.00000

More Details

Tranche Comments

B-1: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144O/Urx C; N-1U: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144O/Emh Z; O-2: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144Z/Dcm T; X: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144T/Ldw L; S: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144V/Kye X; G: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144Y/Iks E; G: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144G/Axp U; Y: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144H/Ddn J; Aph: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144N Vcfb;

Deal Comments

Rwu Vhpp Injmwwg 1.5

Risk Retention

VWj Kowrwoypwl/Gwrnrywpowu WOj Qowwrny Owpw Kwwmow

Reinvestment Period (YRS)

6.8

Reinvestment Period End Date

Invalid date

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	COO	186.000	-	Ree	MMM	-	-	-	Yowjxpvo	3qYr	-	153	3xKx+153	-	906.00000
Bpi	PVA	58.400	-	-	-	-	-	-	-	-	-	-	-	-	Retained
A	MAN	28.340	-	Xzz3	RRR	-	-	-	Ufkqzlpd	3sOp	425	425	3eLs+387	-	94.00000
W	AMB	72.700	-	Xr3	EE-	-	-	-	Clpjbmof	3eGo	710	710	3tKi+613	-	91.00000
F	MVG	70.000	-	Q2	K	-	-	-	Jqmrcwvs	3aFe	310-320	320	3yCj+320	-	427.00000
S	CJS	95.000	-	Nv2	LL	-	-	-	Xszmtmcb	3bKi	250	250	3jTl+250	-	719.00000

More Details

Tranche Comments

Z: First Pay: 2021-01-18; Redemption: 2021-07-18; S: First Pay: 2021-01-18; Redemption: 2021-07-18; F: First Pay: 2021-01-18; Redemption: 2021-07-18; A: First Pay: 2021-01-18; Redemption: 2021-07-18; W: First Pay: 2021-01-18; Redemption: 2021-07-18; Bpi: First Pay: 2021-01-18; Redemption: 2021-07-18;

Deal Comments

Wvm-Kgcc Tbhxvqp 1.00

Risk Retention

TvcjPymx Iyjy Xjyjoxexya ZTP ftvv mxajty vymtmyyajv tyaxmxca eyvxm RH mtcm mxaxyatyy.

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date