Carlyle Euro CLO DAC (CGMSE) 2022-3

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
A-1AEUR174.3005.80-AAAAAA40.50%-Floating3mEu-1203mEu+120-100.00000
A-1BEUR25.0005.80-AAAAAA40.50%-Floating3mEu-1483mEu+148-100.00000
A-2AEUR25.1007.40-AAAA28.00%-Floating3mEu-2503mEu+250-100.00000
A-2BEUR16.8007.40-AAAA28.00%-FixedYLD--3.15%3.150%100.00000
BEUR20.1008.10-AA22.00%-Floating3mEu-3703mEu+370-100.00000
CEUR21.1008.70-BBB-BBB-15.70%-Floating3mEu-6003mEu+600-100.00000
DEUR15.4009.20-BB-BB-11.10%-Floating3mEu-9753mEu+819-91.00000
EEUR12.9009.60-B-B-7.30%-Floating3mEu-12503mEu+1062-90.00000
EquityEUR27.000------------Retained
Tranche Comments
A-1A: First Pay: 2023-01-13; Redemption: 2024-01-13; A-1B: First Pay: 2023-01-13; Redemption: 2024-01-13; A-2A: First Pay: 2023-01-13; Redemption: 2024-01-13; A-2B: First Pay: 2023-01-13; Redemption: 2024-01-13; B: First Pay: 2023-01-13; Redemption: 2024-01-13; C: First Pay: 2023-01-13; Redemption: 2024-01-13; D: First Pay: 2023-01-13; Redemption: 2024-01-13; E: First Pay: 2023-01-13; Redemption: 2024-01-13; Equity: First Pay: 2023-01-13; Redemption: 2024-01-13;
Deal Comments
Non Call Period: 1.5
Risk Retention
EU/UK: CELF ADVISORS LLP in its capacity as Manager Originator will continue to retain a vertical strip for the purposes of satisfying EU/UK Retention Requirement; US: As a result of the LSTA Decision, the US Risk Retention Rules are not expected to apply to the transaction contemplated herein and no party to the transaction contemplated herein expects to be required to comply with the US Risk Retention Rules
Reinvestment Period (YRS)
4.5
Reinvestment Period End Date
Jan 13, 2027
WAL Test Period (YRS)
8.5