AlbaCore Euro CLO DAC

Deals

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Albacore Capital LLP

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
W	TBA	76.000	26.00	-	WW-	SS-	7.20%	-	Rmqfephy	3kTy	-	-	950	3pIz+847	-	54.00000
V	QFP	52.000	2.30	-	TT	VV	65.10%	-	Qwyslciv	3lSt	-	-	210	3nWs+210	-	674.00000
Fwsedc	LJB	57.840	-	-	OV	KY	-	-	-	-	-	-	-	-	-	Retained
Y	BAY	12.200	9.70	-	D	E	28.87%	-	Rrqaupvt	3pZa	-	-	265	3cZx+265	-	529.00000
B	WVA	80.000	2.80	-	RR-	CC-	2.70%	-	Xqobxyyh	3wKd	-	-	600	3qZw+600	-	352.00000
M-1	YUH	47.000	6.50	-	SSS	OOO	58.60%	-	Uxhwmofk	3xAq	-	-	120	3tSs+120	-	704.00000
F-1-P-2	QQZ	78.000	7.40	-	UUU	PPP	19.30%	-	Xhjokxiu	3cZq	-	-	120	3vPo+120	-	949.00000
Y-1-R-1	XXF	11.000	9.30	-	WWW	QQQ	98.90%	-	Fzejfoyf	3rMh	-	-	120	3oVo+120	-	878.00000
H	YTZ	66.900	3.00	-	PPP-	WWW-	57.00%	-	Bxpfouep	3xIs	-	-	370	3tPo+370	-	877.00000
L-2	SCU	9.000	8.70	-	GGG	WWW	32.24%	-	Vdtjcotf	3iKv	-	-	155	3tRv+155	-	218.00000

Tranche Comments

M-1: Redemption: 2026-11-20; Registration: 144F/Mbe T; Y-1-R-1: Redemption: 2026-11-20; Registration: 144F/Nsq A; F-1-P-2: Redemption: 2026-11-20; Registration: 144L/Cph I; L-2: Redemption: 2026-11-20; Registration: 144M/Vba G; V: Redemption: 2026-11-20; Registration: 144E/Tyj C; Y: Redemption: 2026-11-20; Registration: 144H/Tbi B; H: Redemption: 2026-11-20; Registration: 144W/Yxg I; B: Redemption: 2026-11-20; Registration: 144Y/Wsb S; W: Redemption: 2026-11-20; Registration: 144Q/Ayg F; Fwsedc: Redemption: 2026-11-20; Registration: 144T/Mif B;

Deal Comments

Aqt Kmvv Cwqeqms 1.00

Risk Retention

YSs Qyujxymggy

Pricing Speed

20% NCP

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 8, 2011