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
X-1	GLY	78.000	-	-	II	OO	-	-	Dbvruced	3bTq	210-220	220	3xOh+220	-	-
Z	ZYX	5.900	-	-	Y-	R-	-	-	Ukcbpsvc	3oMb	Yfe 800jyti	810	3aSy+720	-	-
Unh	WFG	98.600	-	-	PV	TF	-	-	-	-	-	-	-	-	-
U-2	NOT	59.600	-	-	LL	EE	-	-	Jjxwq	-	-	-	2.650%	-	-
P	EAU	503.000	-	-	OOO	YYY	-	-	Efbmovoy	3hGf	170-180	160	3hSg+160	-	-
J	NPJ	15.000	-	-	W	O	-	-	Nekuodbb	3hBd	270-290	280	3aMf+280	-	-
J	EWT	74.000	-	-	YY-	RR	-	-	Nshxtoao	3iTa	Mpb 700nltx	720	3zUz+684	-	-
F	VOS	90.000	-	-	AAA-	AAA	-	-	Uxzsddbo	3aWj	410-430	410	3nHf+410	-	-

Tranche Comments

P: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144F/Omh Z; X-1: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144I/Vji A; U-2: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144T/Kxl M; J: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144D/Jty L; F: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144Q/Enj J; J: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144C/Wzl O; Z: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144F/Exs H; Unh: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144B/Vow C;

Deal Comments

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Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 18, 1995