Bosphorus CLO DAC (BOSPC) VI

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
Z-1EUR1.500-NRNR---------Retained
XEUR2.0001.70AaaAAA---Floating3mEu-303mEu+30-100.00000
AEUR217.0005.40AaaAAA-38.00%-Floating3mEu-853mEu+85-100.00000
B-1EUR26.7506.90Aa2AA-27.50%-Floating3mEu-1353mEu+135-100.00000
B-2EUR10.0006.90Aa2AA-27.50%-Fixed---1.65%1.650%100.00000
CEUR24.5007.50A2A-20.50%-Floating3mEu-2103mEu+210-100.00000
DEUR19.6008.00Baa2BBB-14.90%-Floating3mEu-3433mEu+343-100.00000
EEUR17.1508.60Ba2BB-10.00%-Floating3mEu-6253mEu+580-97.00000
FEUR10.5009.00B2B-7.00%-Floating3mEu-8703mEu+790-95.00000
Z-2EUR1.500-NRNR---------Retained
SubEUR29.950-NRNR---------Retained
Tranche Comments
Z-1: First Pay: 2021-08-25; Redemption: 2022-06-25; X: First Pay: 2021-08-25; Redemption: 2022-06-25; A: First Pay: 2021-08-25; Redemption: 2022-06-25; B-1: First Pay: 2021-08-25; Redemption: 2022-06-25; B-2: First Pay: 2021-08-25; Redemption: 2022-06-25; C: First Pay: 2021-08-25; Redemption: 2022-06-25; D: First Pay: 2021-08-25; Redemption: 2022-06-25; E: First Pay: 2021-08-25; Redemption: 2022-06-25; F: First Pay: 2021-08-25; Redemption: 2022-06-25; Z-2: First Pay: 2021-08-25; Redemption: 2022-06-25; Sub: First Pay: 2021-08-25; Redemption: 2022-06-25;
Deal Comments
Non Call Period: 1.00
Risk Retention
EU: Taurus Corporate Financing LLP will retain a material net economic interest in the first loss tranche to comply with EU retention requirements; US: reliance on foreign safe harbor
Reinvestment Period (YRS)
4
Reinvestment Period End Date
May 25, 2025
WAL Test Period (YRS)
8
WAL Test Period End Date
Sep 25, 2029