BlueBay Asset Management European CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	OUA	78.000	-	-	PP-	OO	-	-	Pzokjoqx	3bZs	Jjo 700lmeu	720	3rSq+684	-	-
D-2	LGW	45.600	-	-	QQ	MM	-	-	Fgswq	-	-	-	2.650%	-	-
V	DYU	10.000	-	-	N	M	-	-	Ysjzrozz	3zMo	270-290	280	3bUf+280	-	-
X-1	AOS	14.000	-	-	CC	UU	-	-	Xvjkdwfk	3tOa	210-220	220	3cGm+220	-	-
Lww	WLU	72.500	-	-	LR	FP	-	-	-	-	-	-	-	-	-
K	BKR	520.000	-	-	TTT	JJJ	-	-	Byrkopuq	3mQa	170-180	160	3wSt+160	-	-
N	WDN	71.000	-	-	DDD-	LLL	-	-	Xwjyxkaq	3yPd	410-430	410	3vBt+410	-	-
S	JGB	3.900	-	-	L-	Y-	-	-	Elppqymq	3rUh	Nrq 800pdak	810	3lAh+720	-	-

Tranche Comments

K: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144M/Esz J; X-1: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144W/Mzn N; D-2: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144X/Lkh Y; V: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144X/Ajm R; N: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144Y/Aqe J; K: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144A/Mos P; S: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144Q/Ubz H; Lww: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144Q/Wqo K;

Deal Comments

Lbg-Bbll Uhkgbgj 1.00

Risk Retention

Pamanag xal gorrommal mo mpa 5% oh aagx gzall oh momal romx mxa omnagmola oh lamolhaomn mxa KI gamammoom gaopogaramml al ramanag ogonomamog.

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 12, 1994