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
A	EUR	140.000	-	-	AAA	AAA	-	-	Floating	3mEu	170-180	160	3mEu+160	-	-
B-1	EUR	15.000	-	-	AA	AA	-	-	Floating	3mEu	210-220	220	3mEu+220	-	-
B-2	EUR	12.500	-	-	AA	AA	-	-	Fixed	-	-	-	2.650%	-	-
C	EUR	20.000	-	-	A	A	-	-	Floating	3mEu	270-290	280	3mEu+280	-	-
D	EUR	15.000	-	-	BBB-	BBB	-	-	Floating	3mEu	410-430	410	3mEu+410	-	-
E	EUR	11.000	-	-	BB-	BB	-	-	Floating	3mEu	Low 700’s	720	3mEu+684	-	-
F	EUR	5.500	-	-	B-	B-	-	-	Floating	3mEu	Low 800’s	810	3mEu+720	-	-
Sub	EUR	31.500	-	-	NR	NR	-	-	-	-	-	-	-	-	-

More Details

Tranche Comments

A: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144A/Reg S; B-1: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144A/Reg S; B-2: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144A/Reg S; C: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144A/Reg S; D: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144A/Reg S; E: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144A/Reg S; F: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144A/Reg S; Sub: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144A/Reg S;

Deal Comments

Non-Call Period: 1.00

Risk Retention

Manager has committed to buy 5% of each class of notes with the objective of satisfying the EU retention requirements as manager originator.

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 22, 2023