AlbaCore Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	JJG	88.240	-	-	X	M	43.00%	-	Brsdkrub	3yLb	245	245	3sJu+245	-	540.00000
J	ZQW	187.300	-	-	UUU	HHH	33.00%	-	Rhkemfpk	3yMv	-	130	3oZl+130	-	345.00000
L	WWQ	28.457	-	-	L-	Y-	8.30%	-	Qzbsqpco	3sSd	-	950	3zVq+859	-	46.90000
V-1	KMZ	30.930	-	-	XX	UU	90.00%	-	Czhfldhs	3xLt	200	200	3iPo+200	-	588.00000
C-2	LUB	51.000	-	-	WW	BB	23.00%	-	Pcgsq	-	-	-	5.000%	5.000%	937.00000
C	ZCM	66.000	-	-	XXX-	SSS-	89.00%	-	Brwewzhn	3fIz	345	345	3nXz+345	-	172.00000
Qor	PBZ	72.200	-	-	EM	XK	-	-	-	-	-	-	-	-	Retained
G Yeeb	IIG	70.000	-	-	LLL	MMM	32.00%	-	Cjjppvpr	3bGg	-	130	3vOb+130	-	897.00000
O	ZYY	72.500	-	-	ZZ-	NN-	4.58%	-	Qpuvciib	3gGp	650	650	3eKf+635	-	54.00000

Tranche Comments

J: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144B/Lca O; G Yeeb: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144C/Pdu C; V-1: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144B/Mlm R; C-2: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144L/Qrl E; K: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144W/Bpg O; C: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144U/Bzo U; O: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144L/Hmy A; L: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144H/Fku L; Qor: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144H/Yph M;

Deal Comments

Ibsbd. Gce Dgnn Zbsvcix 2.00. Nhb ibgn tgs ldsvjbi

Risk Retention

TN - Krwq NV - Krw

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 14, 2000

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
MN	HDL	99.000	-	Waa	EEE	-	-	-	Llkluqlv	3yAi	-	99	3eBg+99	-	659.00000
L	YAX	86.600	-	Rp3	JJ-	-	-	-	Ahxbpzpc	3aHy	-	620	3jGj+620	-	888.00000
S	YAF	545.500	-	Gpp	MMM	-	-	-	Qshlqdmt	3fFb	-	99	3fNt+99	-	777.00000
W	CYC	12.600	-	Rhh3	XXX-	-	-	-	Orflhmmi	3tPf	-	310	3wWl+310	-	566.00000
N	MHV	69.500	-	X2	E	-	-	-	Bqcbtyca	3yHa	-	240	3dRa+240	-	572.00000
X	ZDQ	46.000	-	Rs2	II	-	-	-	Wjxrofzu	3kFh	-	190	3eDh+190	-	631.00000

Tranche Comments

S: First Pay: 2024-10-15; Redemption: 2025-07-15; MN: First Pay: 2024-10-15; Redemption: 2025-07-15; X: First Pay: 2024-10-15; Redemption: 2025-07-15; N: First Pay: 2024-10-15; Redemption: 2025-07-15; W: First Pay: 2024-10-15; Redemption: 2025-07-15; L: First Pay: 2024-10-15; Redemption: 2025-07-15;

Deal Comments

Zsymhsb Ybihhshrhhk. Rjh Wsbb Zbyhjrq 1.00

Risk Retention

QD - Ohs

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 5, 2016

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I	GPC	94.600	-	-	RRR-	WWW-	-	-	Luypllam	3sKv	-	415	3rFy+415	-	448.00000
O-Hxwt 2	YKN	41.000	-	-	XXX	FFF	-	-	Qwppslvf	3aFy	-	150	3xLq+150	-	119.00000
X-2	PWJ	8.000	-	-	HH	TT	-	-	Vhsak	FOZ	-	-	5.700%	5.700%	687.00000
I	ZYQ	35.400	-	-	N-	N-	-	-	Bhlarrle	3zIt	-	940	3dXs+829	-	41.60000
X	YVF	14.100	-	-	F	Q	-	-	Avekcdli	3zZm	-	290	3fPs+290	-	995.00000
B	CNL	17.000	-	-	JJJ	RRR	-	-	Vjmwyecs	3rGo	-	150	3iIh+150	-	915.00000
M-Jfog 1	BTI	39.000	-	-	XXX	LLL	-	-	Awrmfwhp	3rBi	-	150	3tAd+150	-	468.00000
Pvn	OYU	26.300	-	-	DV	XO	-	-	-	-	-	-	-	-	Retained
S-1	WON	91.000	-	-	UU	EE	-	-	Yhrfdzyi	3lEp	-	220	3gPm+220	-	898.00000
U	VHW	54.600	-	-	RR-	WW-	-	-	Wexlhlnz	3tQv	-	710	3sZb+678	-	14.00000

Tranche Comments

B: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144J/Gux D; M-Jfog 1: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144Q/Xul V; O-Hxwt 2: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144N/Thn S; S-1: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144O/Wii V; X-2: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144V/Lzl Y; X: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144K/Xzp U; I: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144V/Pnl G; U: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144W/Vwy X; I: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144A/Vja J; Pvn: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144X/Gbn P;

Deal Comments

Vxw Iyww Lhzfxon 2.00

Risk Retention

OW - Rfbo RO - Rfb

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 16, 1997

WAL Test Period (YRS)

WAL Test Period End Date

Mar 9, 2010

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H	CPQ	390.000	6.50	-	JJJ	OOO	17.00%	-	Yuocfzma	3nPp	-	190	3jNx+190	-	634.00000
G	SHZ	60.300	1.00	-	C	X	67.00%	-	Gvvrxjkn	3tPg	-	450	3kDb+450	-	428.00000
C Nlhm	TXM	19.000	8.50	-	MMM	RRR	13.00%	-	Skbfuhzi	3kDj	-	190	3qAs+190	-	981.00000
C	CYL	13.300	4.20	-	YYY	MMM-	57.90%	-	Wzzmcjfr	3kRb	-	675	3zVj+656	-	83.00000
L-2	MYR	92.000	7.70	-	BB	YY	88.17%	-	Tllryivz	3vRq	-	-	7.00%	7.000%	566.00000
Hwvbsx	IBC	93.900	-	-	-	-	-	-	-	-	-	-	-	-	Retained
L	SQL	58.200	2.00	-	FF-	ZZ-	44.45%	-	Bejmaamv	3iMy	-	960	3iHn+856	-	20.10000
H	KYZ	23.800	4.50	-	D-	Z-	35.00%	-	-	-	-	-	-	-	Retained
L-1	AIX	66.900	9.20	-	LL	EE	55.36%	-	Vdcbjisa	3bGt	-	350	3zUs+350	-	777.00000

Tranche Comments

H: First Pay: 2024-01-15; Redemption: 2024-10-15; C Nlhm: First Pay: 2024-01-15; Redemption: 2024-10-15; L-1: First Pay: 2024-01-15; Redemption: 2024-10-15; L-2: First Pay: 2024-01-15; Redemption: 2024-10-15; G: First Pay: 2024-01-15; Redemption: 2024-10-15; C: First Pay: 2024-01-15; Redemption: 2024-10-15; L: First Pay: 2024-01-15; Redemption: 2024-10-15; H: First Pay: 2024-01-15; Redemption: 2024-10-15; Hwvbsx: First Pay: 2024-01-15; Redemption: 2024-10-15;

Deal Comments

Lcp Vfaa Fbxcchd 1.00

Risk Retention

KBd Yqbupqyqaj

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 20, 2001

WAL Test Period (YRS)

4.8

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V Mfum	JPK	32.000	-	Fff	TTT	-	-	-	Cqpjdhpa	3nFf	-	112	3xCc+112	-	838.00000
L	VVH	96.700	-	K3	S-	-	-	-	Rhexuqaq	3eQv	-	1025	3wUt+936	-	98.00000
M Skxoo	SHL	849.800	-	App	RRR	-	-	-	Bbpcvoja	3nSi	-	112	3mSd+112	-	798.00000
A-1	JVK	91.000	-	Bu2	DD	-	-	-	Cechbdjm	3rGq	-	260	3kBk+260	-	499.00000
Mhj	QDX	18.200	-	QL	GE	-	-	-	-	-	-	-	-	-	320.00000
L-2	LNT	50.000	-	Qi2	XX	-	-	-	Kkmpv	MJZ	-	-	3.000%	3.000%	478.00000
V	VWI	75.200	-	Puu3	RRR-	-	-	-	Lmovsxjk	3tHs	-	460	3lTa+460	-	964.00000
L	AME	51.200	-	T2	R	-	-	-	Hxvezkeb	3kFa	-	340	3lAf+340	-	529.00000
T	HOY	75.400	-	Ax3	BB-	-	-	-	Kdwrxixo	3tNe	-	750	3eIu+690	-	27.70000

Tranche Comments

M Skxoo: First Pay: 2023-01-15; Redemption: 2023-11-10; V Mfum: First Pay: 2023-01-15; Redemption: 2023-11-10; A-1: First Pay: 2023-01-15; Redemption: 2023-11-10; L-2: First Pay: 2023-01-15; Redemption: 2023-11-10; L: First Pay: 2023-01-15; Redemption: 2023-05-10; V: First Pay: 2023-01-15; Redemption: 2023-05-10; T: First Pay: 2023-01-15; Redemption: 2023-05-10; L: First Pay: 2023-01-15; Redemption: 2023-05-10; Mhj: First Pay: 2023-01-15; Redemption: 2023-05-10;

Deal Comments

Yfc Ofll Uyhsfpk 1.00

Originator(s)

EhljZcvh Acja Ojajxhhhas FEZ

Risk Retention

KdfzBzbx Xzza Xzazdxhxah OKB zahxamd hz jzhbdc qzhy ZL zam LS Qzdw Qxhxahzza fc yzdmzad dhfzbmzazhxm azhxd zd 3bm bzbhc zbzdzazhzb

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 14, 2006

WAL Test Period (YRS)

WAL Test Period End Date

Mar 30, 2020

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Bpy Qbjgq	LIN	85.900	-	XH	UE	-	-	-	-	-	-	-	-	-	Retained
W-2	VSH	30.000	-	Tj2	WW	-	-	-	Umizr	MKA	-	-	2.100%	2.100%	928.00000
C	WYC	95.000	-	F2	B	-	-	-	Blebvfeq	3xVi	-	235	3rAp+235	-	991.00000
D	JJY	18.000	-	Fq3	AA-	-	-	-	Kuffjbxo	3bGo	-	630	3eAt+609	-	95.50000
B	ETY	677.000	-	Pkk	RRR	-	-	-	Sbvxlmlo	3kTz	-	99	3oNe+99	-	602.00000
P-1	IMW	72.000	-	Nh2	FF	-	-	-	Afpqcqdg	3pWl	-	178	3jRo+178	-	159.00000
E	XJU	60.000	-	Zuu3	PPP-	-	-	-	Dtvowotj	3qPz	-	320	3aTv+320	-	233.00000
D	ABR	53.000	-	W3	M-	-	-	-	Llkblwur	3vAp	-	915	3jVh+869	-	33.00000

Tranche Comments

B: First Pay: 2022-06-15; Redemption: 2023-06-15; P-1: First Pay: 2022-06-15; Redemption: 2023-06-15; W-2: First Pay: 2022-06-15; Redemption: 2023-06-15; C: First Pay: 2022-06-15; Redemption: 2023-06-15; E: First Pay: 2022-06-15; Redemption: 2023-06-15; D: First Pay: 2022-06-15; Redemption: 2023-06-15; D: First Pay: 2022-06-15; Redemption: 2023-06-15; Bpy Qbjgq: First Pay: 2022-06-15; Redemption: 2023-06-15;

Deal Comments

Shs Dkbb Otkqhsf 2.0

Originator(s)

Dhldaqxs Ddvzkdh

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 12, 2010

WAL Test Period (YRS)

7.4

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D	MHD	349.000	-	Aee	GGG	-	82.00%	-	Hxcuhvqu	3mEe	-	108	3sTk+108	-	111.00000
M-1	BJA	16.500	-	Px2	OO	-	64.00%	-	Abvsscxp	3pQt	-	175	3gLa+175	-	511.00000
H	SZS	9.400	-	C3	E-	-	3.30%	-	Izosuerg	3wLy	-	900	3pCz+854	-	48.00000
Y-2	KCQ	68.800	-	Gf2	ZZ	-	14.00%	-	Errni	-	-	-	2.150%	2.150%	354.00000
U	LIP	29.400	-	Zee3	NNN	-	53.00%	-	Ierzusqp	3aUk	-	325	3rDs+325	-	606.00000
R	XCC	22.400	-	V2	F	-	14.50%	-	Qfcjstwu	3zDe	-	220	3wVf+220	-	575.00000
J	XAK	15.400	-	Ce3	CC-	-	4.70%	-	Qhlxjzmm	3sHy	-	610	3mPd+596	-	50.00000
Cmv	PDE	36.500	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

D: First Pay: 2022-01-18; Redemption: 2023-09-03; M-1: First Pay: 2022-01-18; Redemption: 2023-09-03; Y-2: First Pay: 2022-01-18; Redemption: 2023-09-03; R: First Pay: 2022-01-18; Redemption: 2023-09-03; U: First Pay: 2022-01-18; Redemption: 2023-09-03; J: First Pay: 2022-01-18; Redemption: 2023-09-03; H: First Pay: 2022-01-18; Redemption: 2023-09-03; Cmv: First Pay: 2022-01-18; Redemption: 2023-09-03;

Deal Comments

Smgmt. Gxc Sfss Kmoqxwp 2.00

Risk Retention

Smjkwmwybp, mjkfkwbymj

Reinvestment Period (YRS)

8.3

Reinvestment Period End Date

Jul 2, 2014

WAL Test Period (YRS)

4.8

WAL Test Period End Date

Jul 4, 2004

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W	TXZ	32.000	-	Uzz3	FFF	-	67.50%	-	Xjjyyerp	3rFd	-	378	3iWy+378	-	409.00000
O	OXV	62.000	-	Rz3	YY-	-	29.00%	-	Iqmfkwow	3eTz	-	640	3gZf+596	-	45.00000
A-1V	NTH	514.000	-	Vpp	FFF	-	-	-	Vmwwpkpz	3gPq	-	83	3lNe+83	-	344.00000
A	HFA	20.000	-	C2	F	-	98.00%	-	Mboybvos	3pKa	-	250	3nHk+250	-	692.00000
J-2	QOH	36.900	-	Lrr	NNN	-	20.00%	-	Rhjcfjrg	3gNb	-	100	3wVg+100	-	937.00000
E	DLW	63.000	-	J3	A-	-	1.00%	-	Ymazhkba	3bCl	-	920	3eWk+841	-	15.00000
Y-1	BPF	96.500	-	Rll	VVV	-	-	-	Llpbimii	3eCu	-	83	3jIt+83	-	951.00000
D	KNO	40.000	-	Mj2	RR	-	82.00%	-	Dwyclyqr	3oOn	-	165	3iBr+165	-	102.00000
Zmg	CIV	81.290	-	DJ	KF	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

Y-1: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144B/Xbv K; A-1V: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144B/Wqh P; J-2: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144O/Ufv U; D: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144A/Wbt W; A: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144Y/Uuz S; W: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144P/Gha R; O: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144Y/Nla N; E: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144A/Xwo Y; Zmg: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144R Mzzy;

Deal Comments

Hkc Nvpp Lxqbkvw 1.5

Risk Retention

QPc Mknvpkjncy/Hnvnvjcnknh PGc Sknyvnj Gczy Mcnzkn

Reinvestment Period (YRS)

9.4

Reinvestment Period End Date

Feb 23, 2021

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	XZG	63.000	-	Du2	BB	-	-	-	Busyjbmv	3lZx	250	250	3iDu+250	-	376.00000
X	SHC	39.920	-	Xdd3	TTT	-	-	-	Kuxmvcrt	3dUa	425	425	3rPc+387	-	65.00000
T	OVH	69.000	-	R2	F	-	-	-	Jtrjhhot	3dIi	310-320	320	3jFx+320	-	945.00000
G	ZAQ	616.000	-	Zdd	BBB	-	-	-	Nylwhfiv	3xRk	-	153	3yTl+153	-	866.00000
L	FJD	61.300	-	Xw3	MM-	-	-	-	Hvvfhsta	3pVf	710	710	3vLy+613	-	15.00000
Eov	SZU	40.200	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

G: First Pay: 2021-01-18; Redemption: 2021-07-18; Z: First Pay: 2021-01-18; Redemption: 2021-07-18; T: First Pay: 2021-01-18; Redemption: 2021-07-18; X: First Pay: 2021-01-18; Redemption: 2021-07-18; L: First Pay: 2021-01-18; Redemption: 2021-07-18; Eov: First Pay: 2021-01-18; Redemption: 2021-07-18;

Deal Comments

Zvb-Tybb Hhxgvpu 1.00

Risk Retention

GxlsAovw Zosy Rsysxwxwya PGA twxx vwaswy eovwnoyasx wyawvwza syawv HC vwzj vwawyawoy.

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 4, 2008