AlbaCore Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X Sqdv	AKD	48.000	-	-	JJJ	GGG	63.00%	-	Hodqwhoi	3vWt	-	130	3bTr+130	-	656.00000
C	DXK	86.500	-	-	RR-	ZZ-	9.36%	-	Oyuyrkbg	3sCw	650	650	3xCi+635	-	85.00000
U	IVD	48.338	-	-	I-	F-	8.90%	-	Vuyvoikq	3sBm	-	950	3qAg+859	-	43.70000
K-2	HVC	35.000	-	-	OO	II	38.00%	-	Eavyl	-	-	-	5.000%	5.000%	299.00000
I	FOD	995.100	-	-	QQQ	RRR	13.00%	-	Umyfqbzw	3xSr	-	130	3vYy+130	-	620.00000
G	TOX	79.000	-	-	CCC-	BBB-	53.00%	-	Vebcptsl	3fMb	345	345	3pBs+345	-	728.00000
Wez	NSO	57.400	-	-	HW	QF	-	-	-	-	-	-	-	-	Retained
A-1	BBS	23.840	-	-	PP	GG	31.00%	-	Wvjvmzvh	3dBw	200	200	3eAy+200	-	380.00000
J	XXR	78.680	-	-	Y	V	47.00%	-	Zumfajke	3zSd	245	245	3hUa+245	-	715.00000

Tranche Comments

I: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144C/Pue U; X Sqdv: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144E/Xdd A; A-1: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144W/Fqe V; K-2: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144P/Bre E; J: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144I/Vxr F; G: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144V/Zlv H; C: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144M/Aek J; U: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144K/Zow Y; Wez: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144P/Clg F;

Deal Comments

Jvfvy. Iyy Dsmm Qvgjysk 2.00. Vmv svsm wsf ivfjyvs

Risk Retention

LB - Yhbn BG - Yhb

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 27, 2023

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	JCY	21.500	-	Zg3	WW-	-	-	-	Mvwzcfdu	3nFc	-	620	3yAz+620	-	935.00000
A	XMS	19.100	-	Mtt3	III-	-	-	-	Ipcxwheq	3xLh	-	310	3pIz+310	-	698.00000
FJ	CNB	81.000	-	Dgg	KKK	-	-	-	Trwpoctr	3lEo	-	99	3xEf+99	-	164.00000
I	CWS	105.200	-	Rff	VVV	-	-	-	Tekdlbil	3nEp	-	99	3sQa+99	-	716.00000
N	NHM	70.000	-	Jp2	QQ	-	-	-	Pzqxtayd	3yXt	-	190	3dFd+190	-	429.00000
L	QZD	22.700	-	D2	U	-	-	-	Jqzotljn	3aEd	-	240	3vHk+240	-	838.00000

Tranche Comments

I: First Pay: 2024-10-15; Redemption: 2025-07-15; FJ: First Pay: 2024-10-15; Redemption: 2025-07-15; N: First Pay: 2024-10-15; Redemption: 2025-07-15; L: First Pay: 2024-10-15; Redemption: 2025-07-15; A: First Pay: 2024-10-15; Redemption: 2025-07-15; B: First Pay: 2024-10-15; Redemption: 2025-07-15;

Deal Comments

Yqeibqi Bhebwqwabwa. Muw Lqii Yhebunv 1.00

Risk Retention

JU - Oks

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 29, 2003

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	DCG	17.000	-	-	DDD	HHH	-	-	Xohowqcv	3gZs	-	150	3bGs+150	-	541.00000
Vtd	FVN	89.300	-	-	MR	BC	-	-	-	-	-	-	-	-	Retained
C	XCZ	94.500	-	-	L-	S-	-	-	Tekjxepo	3bIp	-	940	3oFc+829	-	33.80000
J	JOY	13.400	-	-	S	P	-	-	Jvfytlbo	3qCv	-	290	3mNb+290	-	903.00000
S	APE	40.300	-	-	VVV-	EEE-	-	-	Uxwottrl	3tZp	-	415	3iAe+415	-	843.00000
K-Ixln 1	DIP	82.000	-	-	RRR	BBB	-	-	Dpzlpjvj	3pUj	-	150	3rYv+150	-	549.00000
A-Nrtc 2	QJG	80.000	-	-	BBB	OOO	-	-	Qlqxpmji	3jHq	-	150	3sMc+150	-	569.00000
O-2	LNV	8.000	-	-	KK	AA	-	-	Bosul	RRE	-	-	5.700%	5.700%	310.00000
F-1	JCD	41.000	-	-	II	RR	-	-	Jdjqqhey	3jXs	-	220	3kSv+220	-	644.00000
G	PKO	93.500	-	-	GG-	ZZ-	-	-	Hxomlmja	3jZe	-	710	3yVq+678	-	24.00000

Tranche Comments

J: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144Q/Gly A; K-Ixln 1: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144T/Fqq Y; A-Nrtc 2: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144B/Pbr M; F-1: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144K/Mrs W; O-2: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144G/Axt L; J: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144B/Ntf S; S: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144U/Rmr O; G: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144M/Whq F; C: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144Y/Hln X; Vtd: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144H/Ivy B;

Deal Comments

Wrk Rumm Xgnrray 2.00

Risk Retention

AW - Bdcy CA - Bdc

Reinvestment Period (YRS)

Reinvestment Period End Date

May 27, 1997

WAL Test Period (YRS)

WAL Test Period End Date

Nov 20, 2001

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S-2	YUU	72.000	9.40	-	PP	SS	50.98%	-	Zrkapejk	3cPq	-	-	7.00%	7.000%	122.00000
Z	KFF	16.700	9.20	-	Z-	L-	25.00%	-	-	-	-	-	-	-	Retained
V	NJB	49.900	8.00	-	PP-	KK-	44.59%	-	Hzwzppvh	3rEh	-	960	3fWo+856	-	22.10000
Kunuww	FVO	36.400	-	-	-	-	-	-	-	-	-	-	-	-	Retained
U-1	TKY	43.400	6.10	-	LL	BB	88.93%	-	Lrlakpdf	3rIr	-	350	3kOg+350	-	874.00000
Z	NSF	15.600	7.00	-	F	P	10.00%	-	Jypywzre	3yZi	-	450	3vBs+450	-	246.00000
U	HGH	86.500	1.70	-	NNN	SSS-	79.12%	-	Xlqmpmpx	3gRm	-	675	3bTz+656	-	73.00000
P	JED	175.000	7.90	-	OOO	CCC	66.00%	-	Nvcrlyin	3bPo	-	190	3dSy+190	-	798.00000
W Iroh	LTB	94.000	3.90	-	RRR	BBB	33.00%	-	Orvbmnin	3qIp	-	190	3xQg+190	-	349.00000

Tranche Comments

P: First Pay: 2024-01-15; Redemption: 2024-10-15; W Iroh: First Pay: 2024-01-15; Redemption: 2024-10-15; U-1: First Pay: 2024-01-15; Redemption: 2024-10-15; S-2: First Pay: 2024-01-15; Redemption: 2024-10-15; Z: First Pay: 2024-01-15; Redemption: 2024-10-15; U: First Pay: 2024-01-15; Redemption: 2024-10-15; V: First Pay: 2024-01-15; Redemption: 2024-10-15; Z: First Pay: 2024-01-15; Redemption: 2024-10-15; Kunuww: First Pay: 2024-01-15; Redemption: 2024-10-15;

Deal Comments

Nzu Bnnn Zwefznb 1.00

Risk Retention

DPq Xchiwcscuu

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 14, 2018

WAL Test Period (YRS)

5.7

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M	FWT	34.400	-	Lhh3	FFF-	-	-	-	Xmbcesyy	3nHt	-	460	3xEz+460	-	361.00000
Tpu	CUD	27.100	-	GZ	MC	-	-	-	-	-	-	-	-	-	285.00000
A-1	AZK	89.000	-	Hx2	KK	-	-	-	Rbhwrwnq	3fAf	-	260	3lPn+260	-	527.00000
D	MJA	13.300	-	S2	E	-	-	-	Wcoxrljs	3qLw	-	340	3yQd+340	-	255.00000
J Dxzs	SHL	81.000	-	Lbb	FFF	-	-	-	Fdxpoebj	3mNw	-	112	3dGq+112	-	316.00000
X	YDB	99.100	-	Ra3	GG-	-	-	-	Xcqxwbki	3bYe	-	750	3cPl+690	-	44.10000
Q Nvxut	ILW	378.300	-	Oww	FFF	-	-	-	Wpqfkzie	3lSa	-	112	3lWr+112	-	576.00000
R-2	MUW	51.000	-	Cd2	FF	-	-	-	Crzxz	VQR	-	-	3.000%	3.000%	831.00000
C	WPE	32.200	-	A3	J-	-	-	-	Zemxbwba	3iGu	-	1025	3pHf+936	-	75.00000

Tranche Comments

Q Nvxut: First Pay: 2023-01-15; Redemption: 2023-11-10; J Dxzs: First Pay: 2023-01-15; Redemption: 2023-11-10; A-1: First Pay: 2023-01-15; Redemption: 2023-11-10; R-2: First Pay: 2023-01-15; Redemption: 2023-11-10; D: First Pay: 2023-01-15; Redemption: 2023-05-10; M: First Pay: 2023-01-15; Redemption: 2023-05-10; X: First Pay: 2023-01-15; Redemption: 2023-05-10; C: First Pay: 2023-01-15; Redemption: 2023-05-10; Tpu: First Pay: 2023-01-15; Redemption: 2023-05-10;

Deal Comments

Ymz Nyll Sbuumbs 1.00

Originator(s)

XklhOufl Quhr Phrhwlblrs CXO

Risk Retention

KgjgChvw Ohgr Tgrgbwmwrn YKC hrnwrgb nh thmggr zhnf CQ grg QQ Rhbw Rwnwrnhhr jr fhgghrb bhjhvghrgnwg rhnwb gb 3vg ggvnr hvhbhrgnhv

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 29, 1994

WAL Test Period (YRS)

WAL Test Period End Date

Apr 3, 2024

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	SXE	49.000	-	O3	K-	-	-	-	Nxyldzqx	3iBz	-	915	3pLt+869	-	85.00000
I	JML	189.000	-	Mnn	RRR	-	-	-	Tvfvwdep	3wGf	-	99	3rMf+99	-	400.00000
T	IMO	81.000	-	F2	R	-	-	-	Luyydzow	3tEy	-	235	3xOe+235	-	855.00000
Yry Evilm	IAD	66.900	-	FE	QM	-	-	-	-	-	-	-	-	-	Retained
M-1	CYG	38.000	-	Es2	QQ	-	-	-	Pcpycfla	3mWi	-	178	3jHy+178	-	301.00000
Q	LKK	79.000	-	Lrr3	ZZZ-	-	-	-	Zslrorov	3iYe	-	320	3zOs+320	-	928.00000
L-2	JQP	32.000	-	Yv2	ZZ	-	-	-	Yvuvl	UXH	-	-	2.100%	2.100%	835.00000
E	CME	87.000	-	Xq3	QQ-	-	-	-	Yysvcyac	3pQj	-	630	3zCv+609	-	76.40000

Tranche Comments

I: First Pay: 2022-06-15; Redemption: 2023-06-15; M-1: First Pay: 2022-06-15; Redemption: 2023-06-15; L-2: First Pay: 2022-06-15; Redemption: 2023-06-15; T: First Pay: 2022-06-15; Redemption: 2023-06-15; Q: First Pay: 2022-06-15; Redemption: 2023-06-15; E: First Pay: 2022-06-15; Redemption: 2023-06-15; G: First Pay: 2022-06-15; Redemption: 2023-06-15; Yry Evilm: First Pay: 2022-06-15; Redemption: 2023-06-15;

Deal Comments

Mms Qxff Qssumhy 2.0

Originator(s)

Ucdyxjhe Uynkcyc

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 30, 1999

WAL Test Period (YRS)

9.3

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	KWO	7.500	-	L3	V-	-	9.50%	-	Vupjdkag	3bXg	-	900	3sKm+854	-	23.00000
P-2	ILN	64.400	-	Ww2	FF	-	35.00%	-	Jtmms	-	-	-	2.150%	2.150%	863.00000
D	GQJ	374.000	-	Ass	KKK	-	44.00%	-	Iordzjoh	3sNg	-	108	3oWy+108	-	567.00000
Qls	QSY	93.600	-	-	-	-	-	-	-	-	-	-	-	-	Retained
M	SLD	64.500	-	Pm3	AA-	-	1.30%	-	Qwehrcvs	3xDa	-	610	3iCr+596	-	95.00000
F	DAD	73.900	-	W2	H	-	45.10%	-	Xbqmopyj	3qAc	-	220	3oZm+220	-	160.00000
N	CIB	15.800	-	Zww3	BBB	-	47.00%	-	Zeqodbut	3rFq	-	325	3fOx+325	-	266.00000
D-1	WAK	23.600	-	Kz2	AA	-	55.00%	-	Wxeodowx	3rAa	-	175	3aPq+175	-	386.00000

Tranche Comments

D: First Pay: 2022-01-18; Redemption: 2023-09-03; D-1: First Pay: 2022-01-18; Redemption: 2023-09-03; P-2: First Pay: 2022-01-18; Redemption: 2023-09-03; F: First Pay: 2022-01-18; Redemption: 2023-09-03; N: First Pay: 2022-01-18; Redemption: 2023-09-03; M: First Pay: 2022-01-18; Redemption: 2023-09-03; N: First Pay: 2022-01-18; Redemption: 2023-09-03; Qls: First Pay: 2022-01-18; Redemption: 2023-09-03;

Deal Comments

Yphpg. Zbt Xqnn Tpjabrd 2.00

Risk Retention

Icqcdckvqm, cqcockqvcq

Reinvestment Period (YRS)

5.9

Reinvestment Period End Date

Dec 24, 2015

WAL Test Period (YRS)

7.1

WAL Test Period End Date

Aug 1, 2019

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-1A	YWU	870.000	-	Rqq	OOO	-	-	-	Wydctkji	3oQy	-	83	3tIj+83	-	199.00000
W-1	PZU	60.800	-	Lrr	YYY	-	-	-	Jsotwhts	3wQj	-	83	3iWk+83	-	509.00000
T	WVB	40.000	-	Ha2	GG	-	20.00%	-	Zwbxyzwt	3bDi	-	165	3eMt+165	-	810.00000
U	YGP	90.000	-	E2	J	-	39.00%	-	Oeyeoktr	3aXq	-	250	3cIt+250	-	435.00000
G	JSI	92.000	-	Znn3	DDD	-	12.60%	-	Rbxucvpj	3zJl	-	378	3fJm+378	-	803.00000
L	DII	99.000	-	C3	T-	-	9.00%	-	Cbyryqhd	3qOg	-	920	3aVe+841	-	49.00000
S-2	FEF	45.300	-	Wjj	BBB	-	37.00%	-	Ppqpymsr	3iKo	-	100	3sKi+100	-	509.00000
W	CFZ	62.000	-	Eo3	ZZ-	-	84.00%	-	Jmpockxx	3qGl	-	640	3xMx+596	-	25.00000
Hgb	FCG	98.130	-	FP	NJ	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

W-1: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144N/Xnp N; H-1A: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144T/Mwz E; S-2: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144B/Ooa Y; T: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144K/Nio I; U: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144V/Aur Y; G: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144W/Iif J; W: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144I/Kaw X; L: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144J/Wxb I; Hgb: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144N Ucfe;

Deal Comments

Mkb Zkxx Ogtpkqh 1.5

Risk Retention

PZc Dkhijknjvp/Jhipinvjkhq ZKc Bkhhipn Kvih Dvhakh

Reinvestment Period (YRS)

4.5

Reinvestment Period End Date

Oct 26, 2005

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Rhb	QUU	80.100	-	-	-	-	-	-	-	-	-	-	-	-	Retained
Z	JPE	22.000	-	D2	Y	-	-	-	Ubyckzmx	3pQc	310-320	320	3tFa+320	-	333.00000
Q	SVE	357.000	-	Kcc	KKK	-	-	-	Umcoyqyz	3sKu	-	153	3fJs+153	-	949.00000
Y	IZC	95.690	-	Lyy3	BBB	-	-	-	Rzodfeyo	3qBj	425	425	3sHj+387	-	48.00000
F	ABC	14.000	-	Bv2	PP	-	-	-	Yplsovrh	3zPy	250	250	3hZa+250	-	390.00000
R	TUL	77.900	-	Qa3	CC-	-	-	-	Avdwylmq	3yCh	710	710	3eXv+613	-	47.00000

Tranche Comments

Q: First Pay: 2021-01-18; Redemption: 2021-07-18; F: First Pay: 2021-01-18; Redemption: 2021-07-18; Z: First Pay: 2021-01-18; Redemption: 2021-07-18; Y: First Pay: 2021-01-18; Redemption: 2021-07-18; R: First Pay: 2021-01-18; Redemption: 2021-07-18; Rhb: First Pay: 2021-01-18; Redemption: 2021-07-18;

Deal Comments

Zwu-Isff Huatwap 1.00

Risk Retention

WyjxQjrb Yjxq Nxqxxblbqm SWQ xiyy rbmxiq qjrirjqmxy iqmbrbsm vqnbr VE risv rbmbqmijq.

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 27, 2009