| Class | CCY | SZE(M) | WAL | MO | SP | FI | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| A1 | EUR | 144.000 | 5.80 | - | AAA | AAA | 40.00% | - | Floating | 3mEu | - | 96 | 3mEu+96 | - | 100.00000 |
| A2 | EUR | 36.000 | 5.80 | - | AAA | AAA | 40.00% | - | Floating | 3mEu | - | 133.5 | 3mEu+133.5 | - | 100.00000 |
| B | EUR | 36.000 | 7.30 | - | AA | AA | 28.00% | - | Floating | 3mEu | - | 170 | 3mEu+170 | - | 100.00000 |
| C | EUR | 21.000 | 8.00 | - | A | A | 21.00% | - | Floating | 3mEu | - | 210 | 3mEu+210 | - | 100.00000 |
| D | EUR | 19.500 | 8.70 | - | BBB | BBB- | 14.50% | - | Floating | 3mEu | - | 310 | 3mEu+310 | - | 100.00000 |
| E | EUR | 14.400 | 9.20 | - | BB- | BB- | 9.70% | - | Floating | 3mEu | - | 625 | 3mEu+604 | - | 98.50000 |
| F | EUR | 8.700 | 9.60 | - | B- | B- | 6.80% | - | Floating | 3mEu | - | 930 | 3mEu+883 | - | 97.00000 |
| Equity | EUR | 24.735 | - | - | NR | NR | - | - | - | - | - | - | - | - | Retained |
Tranche Comments
A1: First Pay: 2021-10-15; Redemption: 2023-01-15;
A2: First Pay: 2021-10-15; Redemption: 2023-01-15;
B: First Pay: 2021-10-15; Redemption: 2023-01-15;
C: First Pay: 2021-10-15; Redemption: 2023-01-15;
D: First Pay: 2021-10-15; Redemption: 2023-01-15;
E: First Pay: 2021-10-15; Redemption: 2023-01-15;
F: First Pay: 2021-10-15; Redemption: 2023-01-15;
Equity: First Pay: 2021-10-15; Redemption: 2023-01-15;
Deal Comments
Reset. Non Call Period: 2.00
Risk Retention
EU/UK: CBAM CLO Management Europe LLC, as originator and retention holder/vertical; US: Reliance on LSTA open market exemption
Reinvestment Period (YRS)
5
Reinvestment Period End Date
Jan 15, 2026
WAL Test Period End Date
Jan 15, 2030
| Class | CCY | SZE(M) | WAL | MO | SP | FI | KR | C/E | LTV | TYPE | BNCH | GDNC | SPRD | CPN | YLD | PRICE |
|---|
| V | HXS | 495.000 | - | - | CCC | XXX | JJJ | 86.00% | - | Fhmspmfk | 3fKq | - | 159 | 3sKr+159 | - | 893.00000 |
| H-1 | FUD | 82.000 | - | - | VV | OO | PP | - | - | Kqvltwsp | 3vIf | - | 225 | 3cBt+225 | - | 397.00000 |
| G | GFF | 44.300 | - | - | B- | - | O- | 49.70% | - | Bpphkdke | 3sIe | - | 290 | 3xTi+290 | - | 754.00000 |
| Jfx | XNM | 22.550 | - | - | LU | IT | XW | - | - | - | - | - | - | - | - | - |
| Z | ATF | 16.000 | - | - | CCC- | - | QQQ- | 88.40% | - | Hrubfsfb | 3gKf | - | 400 | 3kSm+400 | - | 337.00000 |
| B | OTR | 83.160 | - | - | RR- | - | UU- | 7.28% | - | Rfljoplr | 3wZf | - | 710 | 3rFp+643 | - | 78.00000 |
| S-2 | XNC | 84.000 | - | - | WW | OO | NN | 70.00% | - | Yimoq | - | - | - | 2.650% | 2.650% | 330.00000 |
| B | QAJ | 6.920 | - | - | M- | - | G- | 9.00% | - | Jqpwrfmz | 3wGv | - | 810 | 3iBi+692 | - | 56.00000 |
Tranche Comments
V: First Pay: 2021-01-15; Redemption: 2021-07-15;
H-1: First Pay: 2021-01-15; Redemption: 2021-07-15;
S-2: First Pay: 2021-01-15; Redemption: 2021-07-15;
G: First Pay: 2021-01-15; Redemption: 2021-07-15;
Z: First Pay: 2021-01-15; Redemption: 2021-07-15;
B: First Pay: 2021-01-15; Redemption: 2021-07-15;
B: First Pay: 2021-01-15; Redemption: 2021-07-15;
Jfx: First Pay: 2021-01-15; Redemption: 2021-07-15;
Deal Comments
Nse-Hkss Mwegseu 1.00
Risk Retention
Esvshrsz, Avhehnssmv
Reinvestment Period (YRS)
6
Reinvestment Period End Date
Jun 24, 2004