Palmer Square European CLO DAC

Deals

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Palmer Square Capital Management

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
I	VOV	54.000	2.20	-	S	J	47.00%	-	Kmklyxdm	3nKg	220-230	-	230	3eGi+230	-	557.00000
P	VAG	544.000	5.00	-	VVV	YYY	48.00%	-	Uqcrxffr	3wSs	133s	-	133	3rBg+133	-	833.00000
J	CEF	85.000	5.90	-	XX-	LL-	3.70%	-	Ybmltdki	3aEq	550-560	-	575	3oLh+575	-	962.00000
U	IKN	12.000	8.60	-	X-	L-	8.30%	-	Sduvawiz	3nMm	Scc 800x ei 98h	-	850	3oDs+817	-	96.00000
Wwvwld	JPH	48.100	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
J	XLI	74.000	4.60	-	GG	WW	42.00%	-	Vpdsqibp	3iZr	180v	-	195	3bLd+195	-	269.00000
W	BGQ	83.000	7.00	-	OOO-	FFF-	46.00%	-	Mruaycqp	3sRy	315-325	-	325	3tAw+325	-	647.00000

Tranche Comments

P: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144O/Czy N; J: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144D/Iix L; I: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144I/Xdo B; W: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144N/Tzt T; J: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144A/Rmn I; U: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144W/Mwb J; Wwvwld: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144J/Yfb D;

Deal Comments

Bjzjh. Bkz-Uuaa Hjxikhq 1.50

Risk Retention

ZD/DP - Zbb

Pricing Speed

20 MED

Reinvestment Period (YRS)

9.6

Reinvestment Period End Date

Feb 11, 2003

WAL Test Period (YRS)

2.7