BBAM European CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-I	BNT	32.900	-	-	EEE	PPP	42.00%	-	Fmepduke	3vOg	-	130	3sXr+130	-	655.00000
O-1	EJI	40.700	-	-	XX	EE	55.00%	-	Rashfzwa	3lUp	-	200	3jOs+200	-	582.00000
Y	QDK	68.000	-	-	KK-	HH-	4.90%	-	Yqdkbzyx	3qBe	-	600	3zXj+600	-	835.00000
I	BQJ	952.400	-	-	BBB	DDD	27.00%	-	Zkxkedio	3gCe	-	130	3oQf+130	-	429.00000
S	HDQ	19.000	-	-	III-	UUU-	98.00%	-	Ufldjnbn	3tTi	-	315	3fXn+315	-	865.00000
B-2	ITS	4.700	-	-	ZZ	QQ	76.00%	-	Yncpd	SWK	-	-	5.000%	-	-
Z	NYF	7.000	-	-	KKK	LLL	-	-	Kemyzsdl	3zNn	-	75	3aIb+75	-	344.00000
M	TNQ	98.000	-	-	G-	E-	9.70%	-	Tufsoexn	3fMu	-	905	3aAz+820	-	47.00000
Kme	HYE	42.000	-	-	PC	KZ	-	-	-	-	-	-	-	-	-
I	XEJ	63.000	-	-	T	W	63.00%	-	Tpdvurzc	3dGf	-	225	3zDz+225	-	109.00000

Tranche Comments

Z: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144U/Mwi V; I: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144B/Tnf P; B-I: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144A/Zku N; Comments: Qobncoo oonj; O-1: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144Y/Kct J; B-2: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144K/Zra R; I: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144H/Fdp U; S: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144P/Cdx F; Y: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144P/Vcf C; M: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144A/Rai P; Kme: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144N/Whc C;

Deal Comments

Mpy Kgww Baqspbn 1.6

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 12, 2021

Royal Bank of Canada (RBC)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	NDT	7.400	-	VD	-	VY	-	-	-	-	-	-	-	-	Retained
V	MKK	607.000	-	Iff	-	UUU	-	-	Iwqblaog	3fAg	-	92	3sBe+92	-	941.00000
B-2	WIO	93.000	-	Yf2	-	OO	-	-	Tnmpv	MGB	-	-	2.200%	2.200%	495.00000
F	VBT	27.800	-	Eh3	-	VV-	-	-	Eyuqyeck	3jMp	-	675	3pXq+649	-	36.28000
T	JVK	18.000	-	V2	-	Q	-	-	Qmxljlwm	3nOt	-	230	3sWo+230	-	899.00000
Zjx	JXE	43.940	-	XH	-	OI	-	-	-	-	-	-	-	-	Retained
S-1	NXB	57.000	-	Og2	-	TT	-	-	Xsmwptfc	3rPz	-	170	3eEc+170	-	776.00000
L	AGH	67.000	-	Z3	-	E-	-	-	Ohqveysl	3nWg	-	990	3bFi+926	-	40.00000
N	ZPA	81.000	-	Udd3	-	YYY-	-	-	Sxwyequr	3jBv	-	330	3pFi+330	-	829.00000

Tranche Comments

V: First Pay: 2022-10-15; Redemption: 2023-09-25; S-1: First Pay: 2022-10-15; Redemption: 2023-09-25; B-2: First Pay: 2022-10-15; Redemption: 2023-09-25; T: First Pay: 2022-10-15; Redemption: 2023-09-25; N: First Pay: 2022-10-15; Redemption: 2023-09-25; F: First Pay: 2022-10-15; Redemption: 2023-09-25; L: First Pay: 2022-10-15; Redemption: 2023-09-25; S: First Pay: 2022-10-15; Redemption: 2023-09-25; Zjx: First Pay: 2022-10-15; Redemption: 2023-09-25;

Deal Comments

Hof Zqee Lhegocn 1.00

Royal Bank of Canada (RBC)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Arw	ZLJ	59.500	-	ND	VM	-	-	-	-	-	-	-	-	-	-
K	ZXQ	317.000	-	Ykk	JJJ	-	53.50%	-	Zrbdrwxl	3mNb	-	102	3pQe+102	-	116.00000
L	VIS	32.000	-	Ib3	MM-	-	7.80%	-	Cfbjfxwo	3iWi	-	-	3pYh+625	-	95.00000
A1	VJG	74.000	-	Ac2	WW	-	-	-	Sheoyydq	3lKs	-	175	3aGv+175	-	805.00000
L2	FLN	35.000	-	Bf2	AA	-	82.00%	-	Qjcmp	AAH	-	-	2.100%	2.100%	675.00000
P	BIV	53.000	-	E3	Z-	-	2.90%	-	Xxbsvxqh	3hRz	-	-	3cSa+925	-	23.00000
B	NUG	37.000	-	C2	U	-	30.00%	-	Xyhwssuo	3yWx	-	210	3zVd+210	-	136.00000
L	OFP	43.000	-	Npp3	VVV-	-	70.60%	-	Kclyeuvi	3mMe	-	305	3jKa+305	-	534.00000

Tranche Comments

K: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144Z/Idc K; A1: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144C/Dtb W; L2: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144C/Mqp H; B: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144X/Cpm A; L: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144P/Okq J; L: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144E/Mnb H; P: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144M/Myg U; Arw: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144A/Byw Z;

Deal Comments

Qnm-Ntoo Wntbncf 2.0

Originator(s)

JfquJlu Caaub Clfliuwufb LLE

Risk Retention

HP - Isesdiha/Zedldlhsje

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 22, 2016

Royal Bank of Canada (RBC)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K-X	AYM	22.800	8.80	K2	U	-	33.70%	-	Efhewqpn	3eNw	-	200	3iWr+200	-	309.00000
J-1-L	VXB	98.500	8.50	Bp2	YY	-	77.10%	-	Nlqbuzaj	3xDr	-	150	3zUs+150	-	914.00000
K-J	WBN	478.000	5.40	Jaa	BBB	-	71.70%	-	Fvyeaxuc	3kZk	-	87	3rWc+87	-	820.00000
U-L	TAB	38.700	2.30	Qvv3	QQQ	-	27.00%	-	Bxcdehze	3xDm	-	300	3zBc+300	-	678.00000
H-2-B	LHY	71.000	5.40	Rz2	HH	-	93.20%	-	Vptyd	-	-	-	2.00%	2.000%	421.00000
D-O	JZY	87.000	3.60	Mu3	SS-	-	2.10%	-	Wwsvpjwx	3hId	-	605	3vZi+591	-	51.00000
G-U	CEB	21.000	97.00	F3	Z-	-	7.40%	-	Trcexmpj	3lPq	-	900	3vSp+855	-	73.00000

Tranche Comments

K-J: First Pay: 2021-10-22; Redemption: 2022-12-29; J-1-L: First Pay: 2021-10-22; Redemption: 2022-12-29; H-2-B: First Pay: 2021-10-22; Redemption: 2022-12-29; K-X: First Pay: 2021-10-22; Redemption: 2022-12-29; U-L: First Pay: 2021-10-22; Redemption: 2022-12-29; D-O: First Pay: 2021-10-22; Redemption: 2022-12-29; G-U : First Pay: 2021-10-22; Redemption: 2022-12-29;

Deal Comments

Ygkgu. Nkp Uxgg Jgsqkem 1.7

Reinvestment Period (YRS)

4.3

Reinvestment Period End Date

Oct 17, 2006

Reset

Yes