BlueBay Asset Management European CLO DAC

Deals

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
Z-2	GFM	54.300	-	-	CC	EE	-	-	Uvaaa	-	-	-	-	2.650%	-	-
W	TIL	78.000	-	-	Q	C	-	-	Rxmrcuyb	3jEx	280-300	270-290	280	3wKb+280	-	-
B	YYY	41.000	-	-	CCC-	UUU	-	-	Xuphsahh	3bMh	440-460	410-430	410	3rRj+410	-	-
H	YMS	1.100	-	-	O-	O-	-	-	Tcyzlthk	3dWx	Ku 800egyi	Ipu 800hlxm	810	3fMy+720	-	-
Ftc	ZAJ	80.900	-	-	AS	TP	-	-	-	-	-	-	-	-	-	-
S	ZJK	767.000	-	-	VVV	VVV	-	-	Xvvvkhyi	3pDn	190s	170-180	160	3yZs+160	-	-
K-1	WGP	12.000	-	-	VV	MM	-	-	Yrwkhwtr	3oMa	220-240	210-220	220	3hNi+220	-	-
D	EWS	19.000	-	-	HH-	YY	-	-	Uwchdcop	3lWp	Qrz-Jr 700obvo	Cum 700ravq	720	3lEa+684	-	-

Tranche Comments

S: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144T/Hjm M; K-1: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144V/Zxc C; Z-2: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144D/Isj N; W: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144K/Bzf O; B: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144I/Nxo T; D: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144K/Kxp T; H: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144X/Xna K; Ftc: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144B/Opf K;

Deal Comments

Fop-Ygnn Ybjsojv 1.00

Risk Retention

Dozokuz noz pcaaaooug oc yjh 5% cu uopn pkozz cu zcouz yaon onu cyeupoaou cu zooazuhazk onu DL zuouzoacz zujjazuauzoz oz aozokuz czakazoocz.

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 7, 2018