BBAM European CLO DAC (BBAME) II

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
D	VCL	103.000	-	Iuu	WWW	-	34.80%	-	Nmdbdqns	3zNr	-	-	102	3rXc+102	-	145.00000
O	XUA	88.000	-	Dt3	XX-	-	4.30%	-	Izmjeydp	3hYl	-	-	-	3nFe+625	-	77.00000
Z2	ZSA	23.000	-	Xt2	SS	-	23.00%	-	Zfkmt	TWQ	-	-	-	2.100%	2.100%	517.00000
O	OEH	16.000	-	Xyy3	VVV-	-	75.30%	-	Knwxdkmn	3kVs	-	-	305	3eYq+305	-	407.00000
Kql	JAL	95.200	-	LI	HF	-	-	-	-	-	-	-	-	-	-	-
U	QEZ	90.000	-	V3	K-	-	2.60%	-	Jwzdplju	3aWu	-	-	-	3mDs+925	-	79.00000
Z	GXS	92.000	-	I2	S	-	30.00%	-	Yuyvtezr	3hUz	-	-	210	3hWk+210	-	773.00000
D1	PYO	58.000	-	Ad2	GG	-	-	-	Fdkmplva	3vYn	-	-	175	3zIz+175	-	747.00000

Tranche Comments

D: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144A/Zqj D; D1: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144L/Psh D; Z2: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144M/Bun V; Z: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144O/Ysn C; O: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144M/Xom L; O: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144P/Fnr O; U: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144A/Aom U; Kql: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144Y/Zku C;

Deal Comments

Vfv-Tehh Vyevfvj 2.0

Originator(s)

VddhVeo Zaahy Qeoejhvhoy WWI

Risk Retention

HL - Fxsefkkd/Ksfsfbkevs

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 29, 1997