Barings Euro CLO DAC (BABSE) 2022-1

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
A-1 NoteEUR78.200--AAAAAA38.00%-Floating3mEu-1993mEu+199--
A-1 LoanEUR92.800--AAAAAA38.00%-Floating3mEu-1993mEu+199--
A-2EUR15.000--AAAAAA38.00%-Fixed---4.870%--
B-1EUR22.500--AAAA28.30%-Floating3mEu-4323mEu+432--
B-2EUR6.600--AAAA28.30%-Fixed---7.270%--
CEUR15.300--A+A+23.20%-Floating3mEu-5023mEu+502--
DEUR18.600--BBBBBB-17.00%-Floating3mEu-6793mEu+679--
EEUR12.000--BB-BB-13.00%-Floating--8033mEu+803--
FEUR10.500--B-B-9.50%--------
SubEUR30.000------------Retained
Tranche Comments
A-1 Note: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Reg S; A-1 Loan: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Reg S; A-2: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Reg S; B-1: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Reg S; B-2: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Reg S; C: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Reg S; D: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Reg S; E: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Reg S; F: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Reg S; Comments: Delayed draw tranche and not issued on the Settlement Date; Sub: First Pay: 2023-07-28; Redemption: 2023-11-28; Registration: 144A/Reg S;
Deal Comments
Non Call Period: 1.00
Reinvestment Period (YRS)
1
Reinvestment Period End Date
Nov 28, 2023
WAL Test Period (YRS)
7
WAL Test Period End Date
Nov 28, 2029