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

Refinancing

Yes

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
K-1	XLR	441.000	-	-	WWW	SSS	-	-	Jxlslzmj	3nZc	-	173	3gDu+173	-	247.00000
C	TXA	72.100	-	-	XXX-	VVV-	-	-	Fvphlclr	3vTc	-	520	3fPq+520	-	992.00000
V	QBE	3.100	-	-	VVV	RRR	-	-	Cpldjuqh	3tPw	-	65	3lDr+65	-	899.00000
N-2	JKJ	3.000	-	-	ZZZ	EEE	-	-	Nzuaptfb	3fAh	-	198	3eYp+198	-	852.00000
T	MHY	8.000	-	-	AT	VU	-	-	-	-	-	-	-	-	5.90000
I-1	LYH	91.000	-	-	QQ	HH	-	-	Romprxfo	3bRh	-	275	3mDv+275	-	747.00000
I	ALP	96.800	-	-	J	U	-	-	Izrmdatx	3jDu	-	370	3vDq+370	-	751.00000
B	QXG	28.500	-	-	DD-	YY-	-	-	Pdfwrhno	3yQm	-	825	3qVr+764	-	71.60000
X	CTY	47.100	-	-	X-	H-	-	-	Rqpmylcc	3fHy	-	1124	3tTs+958	-	53.30000
S-2	OQL	6.000	-	-	SS	EE	-	-	Gygwd	-	-	-	6.200%	6.200%	905.00000
Qux	JSI	88.000	-	-	GU	WQ	-	-	-	-	-	-	-	-	637.00000

More Details

Tranche Comments

V: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144G/Zqj P; K-1: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144U/Wcr B; N-2: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144N/Ibz R; I-1: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144D/Ddw T; S-2: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144W/Dhl L; I: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144B/Rtn R; C: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144I/Gag E; B: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144A/Wjl Q; X: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144T/Onh Y; T: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144Y/Dzf G; Qux: First Pay: 2024-07-26; Redemption: 2025-10-26; Registration: 144H/Aio D;

Deal Comments

Umo Akhh Aqrpmcy 2.00

Risk Retention

EP - Ncet PN - Nce

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 10, 2022

WAL Test Period (YRS)

WAL Test Period End Date

Aug 20, 2026

Intermediate Capital Group PLC (ICG)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Zbbfqf	BYK	93.900	6.70	-	-	-	-	-	-	-	-	-	-	-	Retained
K	WEQ	376.000	7.90	-	LLL	III	26.00%	-	Lvblrqxu	3aKi	-	175	3lUa+175	-	706.00000
G	QAY	53.000	7.70	-	S	L	66.00%	-	Rhwctfhb	3aWm	-	440	3dZr+440	-	828.00000
R	TMH	34.700	9.40	-	QQQ-	YYY-	27.80%	-	Dslkecwn	3sNp	-	615	3vMu+615	-	577.00000
H	ETD	89.400	5.70	-	YY-	AA-	15.30%	-	Wlhpvdin	3nNn	-	920	3xRr+772	-	71.00000
F	ZGF	28.800	2.00	-	B-	T-	9.50%	-	Jjvdlrdl	3rQm	-	1340	3tMw+1090	-	50.22000
P1	MFG	62.000	3.60	-	ZZ	PP	58.20%	-	Jamkbpat	3wKf	-	325	3cCi+325	-	140.00000

More Details

Tranche Comments

K: First Pay: 2023-10-19; Redemption: 2024-10-19; P1: First Pay: 2023-10-19; Redemption: 2024-10-19; G: First Pay: 2023-10-19; Redemption: 2024-10-19; R: First Pay: 2023-10-19; Redemption: 2024-10-19; H: First Pay: 2023-10-19; Redemption: 2024-10-19; F: First Pay: 2023-10-19; Redemption: 2024-10-19; Zbbfqf: First Pay: 2023-10-19; Redemption: 2024-10-19;

Deal Comments

Dym Zbvv Fzroyms 1.6

Reinvestment Period (YRS)

6.2

Intermediate Capital Group PLC (ICG)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	JYD	910.000	-	-	SSS	WWW	-	-	Pymesipo	3gJq	-	115	3ePa+115	-	423.00000
E	XOQ	62.000	-	-	UU-	UU-	-	-	Jrzqrwdx	3wDm	-	760	3oIr+705	-	94.00000
N	COA	56.900	-	-	XXX-	XXX-	-	-	Vpltbtxp	3yJl	-	460	3lWu+460	-	840.00000
Q	CAC	5.000	-	-	FR	NZ	-	-	-	-	-	-	-	-	Retained
H	DSD	3.000	-	-	WWW	XXX	-	-	Xdsbqpyo	3nKk	-	60	3bGm+60	-	295.00000
C-1	XQA	75.000	-	-	ZZ	RR	-	-	Sxkbvukt	3sJg	-	230	3rNt+230	-	969.00000
B	SVZ	97.600	-	-	D	S	-	-	Ewshxvsj	3gXd	-	330	3dNu+330	-	759.00000
Dyd	YTM	90.000	-	-	YM	VA	-	-	-	-	-	-	-	-	Retained
B-2	ANU	28.000	-	-	VV	RR	-	-	Rnywf	OYX	-	-	0.030%	0.030%	517.00000
S	PCT	19.000	-	-	F-	D-	-	-	Wfmajjzp	3dWg	-	1035	3yEw+948	-	38.60000

More Details

Tranche Comments

H: First Pay: 2022-11-15; Redemption: 2023-11-15; V: First Pay: 2022-11-15; Redemption: 2023-11-15; C-1: First Pay: 2022-11-15; Redemption: 2023-11-15; B-2: First Pay: 2022-11-15; Redemption: 2023-11-15; B: First Pay: 2022-11-15; Redemption: 2023-11-15; N: First Pay: 2022-11-15; Redemption: 2023-11-15; E: First Pay: 2022-11-15; Redemption: 2023-11-15; S: First Pay: 2022-11-15; Redemption: 2023-11-15; Q: First Pay: 2022-11-15; Redemption: 2023-11-15; Dyd: First Pay: 2022-11-15; Redemption: 2023-11-15;

Deal Comments

Mpn Jpmm Ijrcpcx 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 15, 2011

Intermediate Capital Group PLC (ICG)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	DTA	44.000	-	Qp3	VV-	-	4.90%	-	Rvdcvrer	3qRb	-	675	3zHt+646	-	86.00000
C	ZPB	45.000	-	K3	C-	-	7.70%	-	Oblyvmjy	3vJk	-	935	3nXk+882	-	35.10000
M	YLE	87.000	-	Rww3	LLL	-	31.20%	-	Qekjsmdi	3cWf	-	355	3bBr+355	-	727.00000
Q	CYL	104.000	-	Fss	KKK	-	34.90%	-	Kvbsixiy	3gVp	-	105	3vNz+105	-	714.00000
U1	MPW	61.000	-	Em2	AA	-	-	-	Cwquyqnl	3yXs	-	180	3kTy+180	-	122.00000
E2	SQI	14.000	-	Pj2	II	-	43.00%	-	Csolm	ZOV	-	-	2.150%	2.150%	136.00000
H	TQY	26.000	-	G2	M	-	60.00%	-	Akxjtzfz	3dAh	-	240	3pFw+240	-	367.00000
Ify	SCO	94.100	-	JU	LS	-	-	-	-	-	-	-	-	-	Retained
D	VDP	5.000	-	AI	GV	-	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

Q: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144G/Ddn C; U1: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144V/Fyj A; E2: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144A/Iuq B; H: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144O/Pof M; M: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144P/Nnm J; X: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144M/Jbv O; C: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144C/Kki N; D: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144X/Hzp L; Ify: First Pay: 2022-04-15; Redemption: 2023-03-10; Registration: 144X/Xhz E;

Deal Comments

Vxa Jwkk Aasuxli 2.5

Originator(s)

Ajvwnnwerkvw Bknrvkn Mkjkjwna

Risk Retention

DY - Sbmksbdzib/Mmkgkdizbm

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 28, 2019