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
C-2	NHL	25.800	-	-	CC	LL	-	-	Roakn	-	-	-	-	2.650%	-	-
Z	PDY	29.000	-	-	JJ-	LL	-	-	Hrlsahhm	3mMt	Oit-Xi 700mkxf	Mlq 700hrxz	720	3fFq+684	-	-
Q	WUZ	304.000	-	-	NNN	III	-	-	Svqkuxdm	3iSv	190y	170-180	160	3eWl+160	-	-
Skp	FNK	25.400	-	-	KM	SA	-	-	-	-	-	-	-	-	-	-
Z-1	BBE	45.000	-	-	DD	HH	-	-	Wsrxlfiv	3bJq	220-240	210-220	220	3qAj+220	-	-
V	KJM	34.000	-	-	WWW-	LLL	-	-	Wwmwbjcj	3wGn	440-460	410-430	410	3yNv+410	-	-
H	SCT	42.000	-	-	T	T	-	-	Gxmoroyh	3oSw	280-300	270-290	280	3hFw+280	-	-
Q	LCN	4.300	-	-	J-	C-	-	-	Dmlrhedp	3vRa	Kh 800wfui	Xai 800jtwn	810	3hVr+720	-	-

Tranche Comments

Q: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144U/Vyt D; Z-1: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144M/Hwo C; C-2: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144V/Ehj F; H: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144W/Fnu W; V: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144E/Vxn U; Z: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144F/Neq X; Q: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144G/Fke P; Skp: First Pay: 2021-01-22; Redemption: 2021-06-29; Registration: 144N/Wyi F;

Deal Comments

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Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

May 15, 2008