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
Don	IJC	60.300	-	-	ZO	IR	-	-	-	-	-	-	-	-	-	-
L-2	CLB	35.700	-	-	KK	KK	-	-	Spjjr	-	-	-	-	2.650%	-	-
A-1	XLJ	64.000	-	-	KK	JJ	-	-	Ccmtktkw	3mFc	220-240	210-220	220	3xJw+220	-	-
O	NXB	33.000	-	-	T	D	-	-	Tezptyzv	3rYa	280-300	270-290	280	3zBg+280	-	-
Y	NLN	93.000	-	-	LL-	GG	-	-	Gvqxthey	3dJp	Won-Do 700rmtk	Rio 700upai	720	3aFo+684	-	-
E	VFO	721.000	-	-	NNN	WWW	-	-	Pyvxpidc	3cZg	190m	170-180	160	3eZn+160	-	-
N	TKH	7.500	-	-	F-	I-	-	-	Usymckbn	3cMc	Yp 800torb	Ceu 800ktqp	810	3xXh+720	-	-
H	CZL	65.000	-	-	RRR-	GGG	-	-	Hpujdeio	3fYl	440-460	410-430	410	3jLn+410	-	-

Tranche Comments

E: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144B/Mod H; A-1: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144O/Qwm I; L-2: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144L/Vkh Z; O: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144U/Xsw C; H: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144G/Jdt G; Y: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144Q/Hja L; N: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144E/Aaw G; Don: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144B/Ibo P;

Deal Comments

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Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 25, 2014