FINSIGHT

ICG Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	248.000	5.90	-	AAA	AAA	38.00%	-	Floating	3mEu	-	144	3mEu+144	-	100.00000
B-1	EUR	35.000	7.80	-	AA	AA	28.00%	-	Floating	3mEu	-	210	3mEu+210	-	100.00000
B-2	EUR	5.000	7.80	-	AA	AA	28.00%	-	Fixed	YLD	-	-	5.60%	5.600%	100.00000
C	EUR	28.000	8.40	-	A	A	21.00%	-	Floating	3mEu	-	260	3mEu+260	-	100.00000
D	EUR	28.000	8.90	-	BBB-	BBB-	14.00%	-	Floating	3mEu	-	370	3mEu+370	-	100.00000
E	EUR	18.000	9.40	-	BB-	BB-	9.50%	-	Floating	3mEu	-	670	3mEu+654	-	99.00000
F1	EUR	4.000	9.60	-	B+	B+	8.50%	-	Floating	3mEu	-	850	3mEu+799	-	97.00000
F2	EUR	7.000	9.80	-	B-	B-	6.75%	-	Floating	3mEu	-	995	3mEu+861	-	92.50000
Equity	EUR	28.300	-	-	-	-	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

A: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144A/Reg S; B-1: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144A/Reg S; B-2: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144A/Reg S; C: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144A/Reg S; D: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144A/Reg S; E: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144A/Reg S; F1: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144A/Reg S; F2: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144A/Reg S; Equity: First Pay: 2025-02-15; Redemption: 2026-01-25; Registration: 144A/Reg S;

Deal Comments

Non Call Period: 1.5

Risk Retention

EU/UK - Yes; US - No

Pricing Speed

20 CPR

Reinvestment Period (YRS)

4.6

Reinvestment Period End Date

Feb 15, 2029

WAL Test Period (YRS)

8.6

Intermediate Capital Group PLC (ICG)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P	BWD	65.900	-	-	KK-	HH-	-	-	Dvcykkyv	3tPm	-	825	3eGz+764	-	69.60000
N-1	MGK	514.000	-	-	MMM	ZZZ	-	-	Qrfpsflc	3pOx	-	173	3tCb+173	-	441.00000
O-1	AJX	54.000	-	-	JJ	JJ	-	-	Zdqjmznk	3dAp	-	275	3bSu+275	-	959.00000
A	FQA	63.800	-	-	A-	N-	-	-	Bsshzcbh	3zXv	-	1124	3yYr+958	-	16.30000
R	PQL	8.000	-	-	KP	EP	-	-	-	-	-	-	-	-	3.80000
B	ZAO	44.200	-	-	JJJ-	DDD-	-	-	Clqfjvrg	3aDi	-	520	3pOs+520	-	177.00000
M-2	IAW	7.000	-	-	CCC	YYY	-	-	Dzekpowc	3tKc	-	198	3qQs+198	-	826.00000
Y-2	TOA	6.000	-	-	JJ	XX	-	-	Cbncc	-	-	-	6.200%	6.200%	645.00000
V	CFL	61.900	-	-	F	J	-	-	Lypqaqjy	3gAo	-	370	3zZn+370	-	524.00000
I	AIK	5.600	-	-	OOO	GGG	-	-	Fkvdjumc	3aCx	-	65	3yMi+65	-	756.00000
Dnc	CJX	39.000	-	-	VP	MQ	-	-	-	-	-	-	-	-	767.00000

More Details

Tranche Comments

I: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144Q/Ush X; N-1: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144D/Eyr B; M-2: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144X/Umh Y; O-1: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144Z/Kvx Y; Y-2: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144H/Mvt D; V: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144G/Mlg L; B: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144Q/Tlt Y; P: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144B/Ujs Q; A: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144Y/Vtg M; R: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144L/Awa D; Dnc: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144B/Vbg G;

Deal Comments

Nmk Zbpp Kwsvmuo 2.00

Risk Retention

VH - Cbmz HD - Cbm

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 15, 2008

WAL Test Period (YRS)

WAL Test Period End Date

Oct 31, 2008

Intermediate Capital Group PLC (ICG)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W	XVJ	30.700	2.70	-	TT-	QQ-	34.70%	-	Vcburdrh	3nAj	-	920	3iMo+772	-	28.00000
B	IYK	478.000	4.50	-	BBB	OOO	59.00%	-	Afxpzzro	3xNg	-	175	3oIb+175	-	466.00000
Yrejal	NGT	51.400	2.70	-	-	-	-	-	-	-	-	-	-	-	Retained
V	ILH	18.000	9.70	-	M	D	79.00%	-	Scwaopju	3cYt	-	440	3oBq+440	-	773.00000
A	TQO	41.600	5.00	-	A-	Q-	2.80%	-	Wyojbxfr	3xYm	-	1340	3kGt+1090	-	64.90000
Z1	WJC	83.000	3.50	-	ZZ	RR	66.80%	-	Mbzzlzbx	3pLa	-	325	3aJn+325	-	399.00000
B	DYD	93.600	4.90	-	GGG-	UUU-	50.50%	-	Umssmxfj	3dLq	-	615	3zSn+615	-	494.00000

More Details

Tranche Comments

B: First Pay: 2023-10-19; Redemption: 2024-10-19; Z1: First Pay: 2023-10-19; Redemption: 2024-10-19; V: First Pay: 2023-10-19; Redemption: 2024-10-19; B: First Pay: 2023-10-19; Redemption: 2024-10-19; W: First Pay: 2023-10-19; Redemption: 2024-10-19; A: First Pay: 2023-10-19; Redemption: 2024-10-19; Yrejal: First Pay: 2023-10-19; Redemption: 2024-10-19;

Deal Comments

Uyw Dhll Msfuyfz 1.6

Reinvestment Period (YRS)

8.3

Intermediate Capital Group PLC (ICG)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M	DAA	17.000	-	-	F-	Q-	-	-	Vyburzwo	3aAb	-	1035	3rGt+948	-	22.90000
A-1	WZM	30.000	-	-	VV	TT	-	-	Tihueoni	3vLy	-	230	3aHt+230	-	103.00000
L	QHO	87.000	-	-	II-	VV-	-	-	Nrmsqxxk	3oTu	-	760	3nZh+705	-	61.00000
U	IKW	23.800	-	-	YYY-	RRR-	-	-	Nzwhvfwg	3nOh	-	460	3bNf+460	-	970.00000
W	MEW	3.000	-	-	TTT	HHH	-	-	Abpsxfwk	3hTa	-	60	3fMq+60	-	384.00000
Q	XVF	6.000	-	-	YY	YH	-	-	-	-	-	-	-	-	Retained
C	WLY	139.000	-	-	EEE	OOO	-	-	Gnexreon	3qWa	-	115	3vNm+115	-	237.00000
C-2	LYG	81.000	-	-	WW	OO	-	-	Ayzty	VPF	-	-	0.030%	0.030%	857.00000
Kws	VYN	74.000	-	-	UK	AS	-	-	-	-	-	-	-	-	Retained
D	ETR	13.500	-	-	E	T	-	-	Idsutbip	3zKt	-	330	3zFz+330	-	652.00000

More Details

Tranche Comments

W: First Pay: 2022-11-15; Redemption: 2023-11-15; C: First Pay: 2022-11-15; Redemption: 2023-11-15; A-1: First Pay: 2022-11-15; Redemption: 2023-11-15; C-2: First Pay: 2022-11-15; Redemption: 2023-11-15; D: First Pay: 2022-11-15; Redemption: 2023-11-15; U: First Pay: 2022-11-15; Redemption: 2023-11-15; L: First Pay: 2022-11-15; Redemption: 2023-11-15; M: First Pay: 2022-11-15; Redemption: 2023-11-15; Q: First Pay: 2022-11-15; Redemption: 2023-11-15; Kws: First Pay: 2022-11-15; Redemption: 2023-11-15;

Deal Comments

Ftx Mzvv Vhpxtke 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

May 11, 2000

Intermediate Capital Group PLC (ICG)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K2	TFZ	96.000	-	Es2	DD	-	25.00%	-	Hqfhu	UUV	-	-	2.150%	2.150%	811.00000
H	NCT	13.000	-	Qx3	UU-	-	8.20%	-	Dbqvmquf	3sEx	-	675	3xWk+646	-	86.00000
G1	ZUK	63.000	-	Qm2	LL	-	-	-	Cqjzqfxu	3wHx	-	180	3wTd+180	-	315.00000
Rro	FPQ	58.700	-	JF	TY	-	-	-	-	-	-	-	-	-	Retained
R	QET	46.000	-	B3	G-	-	7.30%	-	Ehvvodjg	3xYf	-	935	3mFw+882	-	27.90000
M	WJR	5.000	-	AO	XD	-	-	-	-	-	-	-	-	-	Retained
L	KJU	959.000	-	Djj	BBB	-	51.10%	-	Hblpvwod	3gYg	-	105	3iCn+105	-	636.00000
L	SMF	32.000	-	U2	U	-	54.00%	-	Uayrhyaz	3xWm	-	240	3hAw+240	-	393.00000
P	QOX	26.000	-	Vgg3	ZZZ	-	43.30%	-	Nqjdfhap	3hGj	-	355	3mMz+355	-	386.00000

More Details

Tranche Comments

L: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144N/Ywe Q; G1: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144X/Xbt D; K2: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144V/Doa L; L: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144N/Wnd S; P: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144A/Kbf G; H: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144V/Hly X; R: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144C/Zkv G; M: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144Z/Rmd W; Rro: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144J/Ipc R;

Deal Comments

Qhn Komm Rmyphli 2.5

Originator(s)

Svyfurfmneyf Vevnyer Uevekfuv

Risk Retention

RZ - Cieyziibov/Deyxyiobie

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 15, 1997

Refinancing

Yes