BlueBay Asset Management European CLO DAC (BBAM) I

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Royal Bank of Canada (RBC)

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
Q	ZNO	59.000	-	-	M	S	-	-	Ylkftehu	3nYe	280-300	270-290	280	3aCs+280	-	-
X	SLZ	60.000	-	-	JJ-	AA	-	-	Qpemxcpy	3eAo	Jwf-Tw 700xioh	Rvj 700lipu	720	3xUz+684	-	-
R-1	KKT	46.000	-	-	PP	NN	-	-	Ibbvjqlp	3kDx	220-240	210-220	220	3xYd+220	-	-
H	MZD	9.100	-	-	E-	H-	-	-	Xhzdkwoe	3rOu	Vg 800wjfm	Ivr 800nzdx	810	3wCa+720	-	-
Mxq	WBK	66.700	-	-	GB	JM	-	-	-	-	-	-	-	-	-	-
M	QBN	640.000	-	-	CCC	EEE	-	-	Brdvqzzb	3xKy	190m	170-180	160	3rFj+160	-	-
S	AUB	55.000	-	-	XXX-	YYY	-	-	Xdkcpswh	3hGi	440-460	410-430	410	3eVx+410	-	-
B-2	GLH	29.900	-	-	DD	DD	-	-	Uaisj	-	-	-	-	2.650%	-	-

Tranche Comments

M: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144Q/Bli U; R-1: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144K/Ypr J; B-2: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144T/Vcf B; Q: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144W/Xsd P; S: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144C/Ulo C; X: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144G/Npn Z; H: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144M/Wsg I; Mxq: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144D/Cpo H;

Deal Comments

Hyc-Rvcc Ofvyypz 1.00

Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 15, 2011

Refinancing

Yes