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
X	QLB	59.000	9.00	-	TTT-	LLL-	18.00%	-	Oyfoulzy	3bSj	315-325	-	325	3cXv+325	-	833.00000
Z	ULU	25.000	8.60	-	VV	OO	86.00%	-	Suqxpsdl	3oMh	180v	-	195	3iCn+195	-	324.00000
Z	TLH	67.000	3.80	-	N-	U-	1.10%	-	Svxnvvpn	3iCt	Bjj 800p bf 98f	-	850	3qHw+817	-	83.00000
U	ITP	725.000	9.00	-	NNN	YYY	26.00%	-	Vhbbwqwp	3tKt	133q	-	133	3dDn+133	-	292.00000
V	ZSZ	10.000	1.10	-	O	Y	23.00%	-	Bekdvary	3nZx	220-230	-	230	3hAe+230	-	276.00000
X	IIM	28.000	5.40	-	FF-	NN-	9.30%	-	Nmqyzqnt	3xJp	550-560	-	575	3dCi+575	-	154.00000
Phmumh	HFI	44.700	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

U: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144N/Ihz D; Z: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144N/Fxo P; V: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144H/Tje P; X: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144J/Vii V; X: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144H/Gfn S; Z: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144G/Tmg N; Phmumh: First Pay: 2026-01-15; Redemption: 2027-01-15; Registration: 144D/Kub D;

Deal Comments

Kmcmj. Yte-Upcc Smautmq 1.50

Risk Retention

DO/OI - Fnp

Pricing Speed

20 GYU

Reinvestment Period (YRS)

8.1

Reinvestment Period End Date

Sep 3, 2008

WAL Test Period (YRS)

7.6