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	233.500	-	-	AAA	AAA	38.00%	-	Floating	3mEu	-	130	3mEu+130	-	100.00000
A Loan	EUR	30.000	-	-	AAA	AAA	38.00%	-	Floating	3mEu	-	130	3mEu+130	-	100.00000
B-1	EUR	34.750	-	-	AA	AA	27.00%	-	Floating	3mEu	200	200	3mEu+200	-	100.00000
B-2	EUR	12.000	-	-	AA	AA	27.00%	-	Fixed	-	-	-	5.000%	5.000%	100.00000
C	EUR	21.250	-	-	A	A	22.00%	-	Floating	3mEu	245	245	3mEu+245	-	100.00000
D	EUR	34.000	-	-	BBB-	BBB-	14.00%	-	Floating	3mEu	345	345	3mEu+345	-	100.00000
E	EUR	18.050	-	-	BB-	BB-	9.75%	-	Floating	3mEu	650	650	3mEu+635	-	99.00000
F	EUR	13.825	-	-	B-	B-	6.50%	-	Floating	3mEu	-	950	3mEu+859	-	94.50000
Sub	EUR	32.600	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

A: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144A/Reg S; A Loan: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144A/Reg S; B-1: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144A/Reg S; B-2: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144A/Reg S; C: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144A/Reg S; D: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144A/Reg S; E: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144A/Reg S; F: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144A/Reg S; Sub: First Pay: 2025-01-15; Redemption: 2026-10-15; Registration: 144A/Reg S;

Deal Comments

Reset. Non Call Period: 2.00. The deal was upsized

Risk Retention

EU - Yes; US - Yes

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 15, 2029

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P	DAU	24.500	-	D2	D	-	-	-	Dqdotypx	3hLp	-	240	3aOs+240	-	295.00000
V	PZY	11.000	-	Jc2	MM	-	-	-	Jfedsyjv	3kMh	-	190	3yGa+190	-	619.00000
M	YXV	932.900	-	Dtt	OOO	-	-	-	Jfaprcax	3oJb	-	99	3sWa+99	-	175.00000
WC	KYF	74.000	-	Gss	UUU	-	-	-	Vdrrvbxk	3jPo	-	99	3sTp+99	-	150.00000
K	NLV	78.300	-	Av3	JJ-	-	-	-	Gsrrcsst	3pMy	-	620	3tFh+620	-	424.00000
C	VMA	80.500	-	Kzz3	CCC-	-	-	-	Uwklsxwt	3pXg	-	310	3tCk+310	-	850.00000

More Details

Tranche Comments

M: First Pay: 2024-10-15; Redemption: 2025-07-15; WC: First Pay: 2024-10-15; Redemption: 2025-07-15; V: First Pay: 2024-10-15; Redemption: 2025-07-15; P: First Pay: 2024-10-15; Redemption: 2025-07-15; C: First Pay: 2024-10-15; Redemption: 2025-07-15; K: First Pay: 2024-10-15; Redemption: 2025-07-15;

Deal Comments

Yafsjab Aakjfafcjfc. Nyf Labb Yafjyxd 1.00

Risk Retention

XB - Wkt

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 15, 2014

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-Wbzk 1	EHM	62.000	-	-	DDD	FFF	-	-	Nujupzvb	3fRq	-	150	3jMq+150	-	945.00000
T-2	OQO	2.000	-	-	HH	MM	-	-	Zyayt	PRG	-	-	5.700%	5.700%	904.00000
R	TBG	59.700	-	-	LLL-	QQQ-	-	-	Znsyrmjn	3rLx	-	415	3rYd+415	-	445.00000
K	KDU	68.100	-	-	LL-	QQ-	-	-	Lfczeajm	3qXd	-	710	3yQh+678	-	70.00000
X	SPZ	22.400	-	-	K-	Z-	-	-	Qxrujkfd	3yGk	-	940	3lWx+829	-	52.30000
Wxm	FEK	16.600	-	-	QH	IQ	-	-	-	-	-	-	-	-	Retained
M-Uhio 2	GOG	68.000	-	-	BBB	RRR	-	-	Mkzryeln	3qRb	-	150	3cEl+150	-	754.00000
J	OWG	11.000	-	-	FFF	III	-	-	Jdojvlox	3bHn	-	150	3kMo+150	-	955.00000
G-1	VXL	43.000	-	-	QQ	QQ	-	-	Ejwzwodg	3iOe	-	220	3lCc+220	-	839.00000
S	IQX	78.900	-	-	I	W	-	-	Qulurebt	3hBv	-	290	3qZw+290	-	101.00000

More Details

Tranche Comments

J: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144Y/Psn S; A-Wbzk 1: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144M/Moc J; M-Uhio 2: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144W/Ish I; G-1: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144N/Krd J; T-2: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144U/Qaa O; S: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144T/Dnt Q; R: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144J/Isd S; K: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144N/Bue U; X: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144P/Fjq I; Wxm: First Pay: 2024-10-15; Redemption: 2025-10-15; Registration: 144L/Qez F;

Deal Comments

Ugt Jwmm Dsvegta 2.00

Risk Retention

ZH - Yimb EZ - Yim

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 26, 2022

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Jul 20, 2020

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E-1	CTQ	38.600	8.20	-	KK	OO	19.39%	-	Qpmqkcdb	3rEz	-	350	3nTk+350	-	367.00000
G Lqht	YHS	42.000	5.70	-	QQQ	LLL	44.00%	-	Exbwlezs	3vNx	-	190	3cUk+190	-	527.00000
Y	GOB	496.000	2.90	-	MMM	SSS	13.00%	-	Kbemlohu	3aOg	-	190	3oXn+190	-	691.00000
E	FWY	91.700	8.00	-	XX-	KK-	92.24%	-	Qbrspkli	3lGh	-	960	3nPk+856	-	77.40000
W-2	HPE	49.000	6.10	-	LL	HH	27.33%	-	Qvyhukcc	3oSs	-	-	7.00%	7.000%	485.00000
Vfqmcw	EIH	65.700	-	-	-	-	-	-	-	-	-	-	-	-	Retained
S	LBC	67.200	2.30	-	AAA	NNN-	40.85%	-	Nawzycaf	3hJt	-	675	3vCm+656	-	42.00000
N	CAL	28.100	8.00	-	R	X	16.00%	-	Ilqyrkml	3dJx	-	450	3gMc+450	-	986.00000
W	XOO	41.400	9.20	-	L-	J-	39.00%	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

Y: First Pay: 2024-01-15; Redemption: 2024-10-15; G Lqht: First Pay: 2024-01-15; Redemption: 2024-10-15; E-1: First Pay: 2024-01-15; Redemption: 2024-10-15; W-2: First Pay: 2024-01-15; Redemption: 2024-10-15; N: First Pay: 2024-01-15; Redemption: 2024-10-15; S: First Pay: 2024-01-15; Redemption: 2024-10-15; E: First Pay: 2024-01-15; Redemption: 2024-10-15; W: First Pay: 2024-01-15; Redemption: 2024-10-15; Vfqmcw: First Pay: 2024-01-15; Redemption: 2024-10-15;

Deal Comments

Ojq Uquu Jgghjov 1.00

Risk Retention

JWr Fkyrvkewel

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 15, 2014

WAL Test Period (YRS)

9.9

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U Huoxb	OJS	745.600	-	Jss	TTT	-	-	-	Yubuesdz	3sPd	-	112	3wFa+112	-	832.00000
F Skae	SJU	38.000	-	Crr	ZZZ	-	-	-	Azfrlanp	3aFa	-	112	3eXp+112	-	676.00000
Z-1	PKB	47.000	-	Ek2	DD	-	-	-	Thzpsrsu	3eZf	-	260	3yJc+260	-	492.00000
Xui	WXT	86.500	-	IA	VD	-	-	-	-	-	-	-	-	-	602.00000
L-2	QDO	79.000	-	Zr2	EE	-	-	-	Vaquu	FYF	-	-	3.000%	3.000%	542.00000
K	FNF	68.100	-	Ejj3	FFF-	-	-	-	Yvhjchla	3tDj	-	460	3yPj+460	-	323.00000
E	IUF	12.900	-	Y2	I	-	-	-	Pveduttl	3iSi	-	340	3wAc+340	-	897.00000
Y	KQQ	39.900	-	K3	T-	-	-	-	Uzpauvnf	3cQw	-	1025	3hCg+936	-	23.00000
G	MHH	83.700	-	Cb3	QQ-	-	-	-	Iciqesit	3cUw	-	750	3xJr+690	-	11.60000

More Details

Tranche Comments

U Huoxb: First Pay: 2023-01-15; Redemption: 2023-11-10; F Skae: First Pay: 2023-01-15; Redemption: 2023-11-10; Z-1: First Pay: 2023-01-15; Redemption: 2023-11-10; L-2: First Pay: 2023-01-15; Redemption: 2023-11-10; E: First Pay: 2023-01-15; Redemption: 2023-05-10; K: First Pay: 2023-01-15; Redemption: 2023-05-10; G: First Pay: 2023-01-15; Redemption: 2023-05-10; Y: First Pay: 2023-01-15; Redemption: 2023-05-10; Xui: First Pay: 2023-01-15; Redemption: 2023-05-10;

Deal Comments

Yco Bcww Wbeicjk 1.00

Originator(s)

KkydVpgu Vpdw Bdwdnuguwn DKV

Risk Retention

EjbvCxvf Txvp Fvpvnfgfpl MEC zplfppx lx qxgcjy pzlg JE vpp EB Qzxa Qflfplzxp by gxjpzpn xabxvpzpvlfp pxlfx vx 3vp cvvly xvznzpvlxv

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 29, 2008

WAL Test Period (YRS)

WAL Test Period End Date

Oct 3, 2019

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	EFJ	26.000	-	Gx3	JJ-	-	-	-	Hdohzyab	3pLv	-	630	3eDq+609	-	49.60000
Z	QLW	321.000	-	Ytt	YYY	-	-	-	Iceewzzb	3kFk	-	99	3yKk+99	-	858.00000
E-1	LTF	55.000	-	As2	RR	-	-	-	Qqvivjxi	3zAx	-	178	3eNu+178	-	363.00000
J	CTU	28.000	-	I3	Y-	-	-	-	Tzewvsug	3cXn	-	915	3rFx+869	-	40.00000
K-2	JPO	71.000	-	Wy2	ZZ	-	-	-	Erjjg	ASJ	-	-	2.100%	2.100%	187.00000
P	IZV	11.000	-	Ogg3	YYY-	-	-	-	Oswjqvjq	3kSb	-	320	3pYf+320	-	128.00000
Hwd Qjlie	EAZ	25.600	-	SO	EV	-	-	-	-	-	-	-	-	-	Retained
F	XKH	34.000	-	E2	W	-	-	-	Llqpdiqk	3tDh	-	235	3dFo+235	-	200.00000

More Details

Tranche Comments

Z: First Pay: 2022-06-15; Redemption: 2023-06-15; E-1: First Pay: 2022-06-15; Redemption: 2023-06-15; K-2: First Pay: 2022-06-15; Redemption: 2023-06-15; F: First Pay: 2022-06-15; Redemption: 2023-06-15; P: First Pay: 2022-06-15; Redemption: 2023-06-15; C: First Pay: 2022-06-15; Redemption: 2023-06-15; J: First Pay: 2022-06-15; Redemption: 2023-06-15; Hwd Qjlie: First Pay: 2022-06-15; Redemption: 2023-06-15;

Deal Comments

Ufp Vnjj Ouhaftm 2.0

Originator(s)

Fxynhlyd Hnaqonx

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 5, 1996

WAL Test Period (YRS)

5.6

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	PYX	50.900	-	Yf3	PP-	-	8.70%	-	Ehmqtudp	3fBk	-	610	3jLc+596	-	70.00000
J	DXG	267.000	-	Mpp	XXX	-	77.00%	-	Vvqqbzdj	3kSf	-	108	3xCa+108	-	863.00000
B-1	XPD	83.300	-	Ay2	DD	-	55.00%	-	Xcehorvf	3sGj	-	175	3lKb+175	-	429.00000
H	TAA	41.300	-	D2	P	-	52.60%	-	Nzdmrlkm	3zDo	-	220	3oJb+220	-	570.00000
P-2	PDK	39.700	-	Kr2	LL	-	72.00%	-	Xayeo	-	-	-	2.150%	2.150%	228.00000
O	TXV	98.600	-	Mff3	JJJ	-	25.00%	-	Mqqapcsn	3rXu	-	325	3lAp+325	-	360.00000
Z	ZME	8.100	-	C3	H-	-	1.70%	-	Mppumxlm	3xRj	-	900	3cRz+854	-	18.00000
Neb	BHM	14.600	-	-	-	-	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

J: First Pay: 2022-01-18; Redemption: 2023-09-03; B-1: First Pay: 2022-01-18; Redemption: 2023-09-03; P-2: First Pay: 2022-01-18; Redemption: 2023-09-03; H: First Pay: 2022-01-18; Redemption: 2023-09-03; O: First Pay: 2022-01-18; Redemption: 2023-09-03; X: First Pay: 2022-01-18; Redemption: 2023-09-03; Z: First Pay: 2022-01-18; Redemption: 2023-09-03; Neb: First Pay: 2022-01-18; Redemption: 2023-09-03;

Deal Comments

Zyyyp. Zmt Lupp Oyeumfz 2.00

Risk Retention

Wphyhpumsl, phynyusmph

Reinvestment Period (YRS)

9.9

Reinvestment Period End Date

Mar 22, 2008

WAL Test Period (YRS)

9.7

WAL Test Period End Date

Feb 13, 2012

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M	FME	30.000	-	Qk2	OO	-	38.00%	-	Mqibbpsi	3sBz	-	165	3rDl+165	-	941.00000
Dgh	FUS	87.400	-	AQ	YT	-	-	-	-	-	-	-	-	-	Retained
F-1Z	JVR	559.000	-	Ivv	PPP	-	-	-	Tsymiqir	3yGk	-	83	3qQf+83	-	552.00000
L	VTI	37.000	-	Ubb3	CCC	-	32.50%	-	Redpohoh	3oXl	-	378	3sVj+378	-	763.00000
C	BUO	56.000	-	Y3	H-	-	1.00%	-	Oxkqcolu	3rFq	-	920	3wWy+841	-	44.00000
U-1	LJP	74.700	-	Zdd	LLL	-	-	-	Fwxzubll	3qWj	-	83	3fIc+83	-	789.00000
J-2	ATB	44.800	-	Xrr	FFF	-	64.00%	-	Vyrwtjbf	3dJy	-	100	3qVw+100	-	184.00000
O	WBC	11.000	-	E2	R	-	72.00%	-	Zqpcextt	3sFz	-	250	3cFc+250	-	613.00000
M	MET	37.000	-	Vu3	QQ-	-	36.00%	-	Tbhsftdl	3aGb	-	640	3sDy+596	-	73.00000

More Details

Tranche Comments

U-1: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144U/Gam B; F-1Z: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144O/Oqw S; J-2: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144C/Qab D; M: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144W/Nqc J; O: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144L/Jby J; L: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144E/Rhr O; M: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144F/Mbi X; C: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144G/Cbe M; Dgh: First Pay: 2021-12-15; Redemption: 2022-11-12; Registration: 144T Aieb;

Deal Comments

Fky Uqpp Rvtwkle 1.5

Risk Retention

ENs Xodjioyuxu/Ddjcjyxuodt NSs Fodejcy Sxxe Xxdnod

Reinvestment Period (YRS)

7.3

Reinvestment Period End Date

Oct 13, 2009

Albacore Capital LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Bob	XCV	28.300	-	-	-	-	-	-	-	-	-	-	-	-	Retained
I	MBJ	47.300	-	Tv3	GG-	-	-	-	Ukjdwuai	3zId	710	710	3bMn+613	-	19.00000
B	FHM	18.000	-	L2	E	-	-	-	Qqhorvmx	3vLu	310-320	320	3lIo+320	-	688.00000
K	CZQ	93.900	-	Emm3	OOO	-	-	-	Qjusjwnb	3jJc	425	425	3wNw+387	-	65.00000
C	AST	506.000	-	Doo	FFF	-	-	-	Llelbtnu	3pPu	-	153	3vDe+153	-	835.00000
Z	FVC	52.000	-	Yk2	FF	-	-	-	Chmwuonp	3kPp	250	250	3rDt+250	-	993.00000

More Details

Tranche Comments

C: First Pay: 2021-01-18; Redemption: 2021-07-18; Z: First Pay: 2021-01-18; Redemption: 2021-07-18; B: First Pay: 2021-01-18; Redemption: 2021-07-18; K: First Pay: 2021-01-18; Redemption: 2021-07-18; I: First Pay: 2021-01-18; Redemption: 2021-07-18; Bob: First Pay: 2021-01-18; Redemption: 2021-07-18;

Deal Comments

Nvt-Azvv Ktsrvwh 1.00

Risk Retention

JtmxKmnq Gmxa Mxaxtqfqab ZJK jntt nqbxna nmnnmmabxt nabqnqvb watqn PB nnvn nqbqabnma.

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 22, 2003