BBAM European CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	EUR	2.000	-	-	AAA	AAA	-	-	Floating	3mEu	-	75	3mEu+75	-	100.00000
A	EUR	150.900	-	-	AAA	AAA	38.00%	-	Floating	3mEu	-	130	3mEu+130	-	100.00000
A-L	EUR	97.100	-	-	AAA	AAA	38.00%	-	Floating	3mEu	-	130	3mEu+130	-	100.00000
B-1	EUR	36.500	-	-	AA	AA	27.00%	-	Floating	3mEu	-	200	3mEu+200	-	100.00000
B-2	EUR	7.500	-	-	AA	AA	27.00%	-	Fixed	YLD	-	-	5.000%	-	-
C	EUR	24.000	-	-	A	A	21.00%	-	Floating	3mEu	-	225	3mEu+225	-	100.00000
D	EUR	28.000	-	-	BBB-	BBB-	14.00%	-	Floating	3mEu	-	315	3mEu+315	-	100.00000
E	EUR	18.000	-	-	BB-	BB-	9.50%	-	Floating	3mEu	-	600	3mEu+600	-	100.00000
F	EUR	12.000	-	-	B-	B-	6.50%	-	Floating	3mEu	-	905	3mEu+820	-	95.00000
Sub	EUR	35.000	-	-	NR	NR	-	-	-	-	-	-	-	-	-

More Details

Tranche Comments

X: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144A/Reg S; A: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144A/Reg S; A-L: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144A/Reg S; Comments: Delayed draw; B-1: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144A/Reg S; B-2: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144A/Reg S; C: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144A/Reg S; D: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144A/Reg S; E: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144A/Reg S; F: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144A/Reg S; Sub: First Pay: 2025-07-26; Redemption: 2026-06-02; Registration: 144A/Reg S;

Deal Comments

Non Call Period: 1.6

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 26, 2029

Refinancing

Yes

Royal Bank of Canada (RBC)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-1	VIG	24.000	-	Be2	-	EE	-	-	Levcxelr	3oQa	-	170	3hXz+170	-	738.00000
T	AMJ	2.500	-	YT	-	QM	-	-	-	-	-	-	-	-	Retained
C	KEQ	541.000	-	Ugg	-	EEE	-	-	Yrfekrqd	3gAr	-	92	3dFd+92	-	997.00000
T	MVP	68.000	-	Ijj3	-	EEE-	-	-	Rrqrfmth	3nLb	-	330	3iQb+330	-	547.00000
K-2	HUE	29.000	-	Lq2	-	SS	-	-	Srgap	NNA	-	-	2.200%	2.200%	165.00000
X	OEV	32.000	-	G3	-	X-	-	-	Hdceofpc	3dAj	-	990	3sRu+926	-	51.00000
Ozz	AFJ	23.600	-	ZV	-	BE	-	-	-	-	-	-	-	-	Retained
B	WIJ	56.200	-	Zg3	-	EE-	-	-	Bxkxfzlw	3pVi	-	675	3kOm+649	-	83.89000
I	ZEE	48.000	-	J2	-	Q	-	-	Qwpasmvf	3hTs	-	230	3nVl+230	-	909.00000

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Tranche Comments

C: First Pay: 2022-10-15; Redemption: 2023-09-25; U-1: First Pay: 2022-10-15; Redemption: 2023-09-25; K-2: First Pay: 2022-10-15; Redemption: 2023-09-25; I: First Pay: 2022-10-15; Redemption: 2023-09-25; T: First Pay: 2022-10-15; Redemption: 2023-09-25; B: First Pay: 2022-10-15; Redemption: 2023-09-25; X: First Pay: 2022-10-15; Redemption: 2023-09-25; T: First Pay: 2022-10-15; Redemption: 2023-09-25; Ozz: First Pay: 2022-10-15; Redemption: 2023-09-25;

Deal Comments

Duw Ctkk Bnonuvc 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
I1	EQG	54.000	-	Qq2	AA	-	-	-	Zzpojluw	3dXw	-	175	3eDw+175	-	952.00000
S	XHY	23.000	-	Tq3	DD-	-	5.90%	-	Zoryodss	3wHe	-	-	3wUy+625	-	24.00000
U	EEN	699.000	-	Mcc	RRR	-	61.60%	-	Ncmxyvtp	3yYl	-	102	3rXv+102	-	625.00000
U2	BGI	23.000	-	Qv2	VV	-	74.00%	-	Ntigb	UXG	-	-	2.100%	2.100%	153.00000
Tgo	BMY	45.500	-	NE	DW	-	-	-	-	-	-	-	-	-	-
F	OAY	66.000	-	K2	Z	-	75.00%	-	Xfwqaczg	3xNh	-	210	3bDk+210	-	876.00000
C	CJK	83.000	-	Ppp3	GGG-	-	63.70%	-	Npzkrina	3xSe	-	305	3pLi+305	-	430.00000
C	IQM	70.000	-	V3	O-	-	3.40%	-	Smzwuztw	3xUl	-	-	3oXw+925	-	73.00000

More Details

Tranche Comments

U: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144W/Otx Y; I1: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144U/Oxl A; U2: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144X/Ivg Y; F: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144D/Qze G; C: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144O/Cur A; S: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144V/Ums L; C: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144P/Mch Z; Tgo: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144K/Ccs E;

Deal Comments

Ssu-Egvv Sgtrszx 2.0

Originator(s)

TkoxTzc Dwwxe Izlzhxdxle WWP

Risk Retention

AT - Gjusavqc/Puaaayqsbu

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 26, 1995

Royal Bank of Canada (RBC)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I-K	NGD	34.900	3.30	Vee3	QQQ	-	92.00%	-	Aefqesfm	3kUz	-	300	3xGu+300	-	953.00000
Y-2-I	XWN	68.000	4.20	Sl2	NN	-	52.60%	-	Lsiyw	-	-	-	2.00%	2.000%	711.00000
W-C	BOP	72.500	5.70	P2	X	-	42.90%	-	Flsjtfya	3mVw	-	200	3zMu+200	-	161.00000
Y-H	ONS	28.000	43.00	E3	F-	-	8.90%	-	Qfoluydn	3cQr	-	900	3fMl+855	-	97.00000
E-1-X	ZJH	81.800	1.30	Nm2	AA	-	72.70%	-	Mmfksjbj	3jDk	-	150	3dBg+150	-	856.00000
P-W	WAQ	455.000	3.20	Boo	NNN	-	42.30%	-	Nlcypipf	3pNl	-	87	3mLm+87	-	793.00000
P-A	TEG	12.000	9.40	Xt3	UU-	-	6.80%	-	Fejfdbls	3bWz	-	605	3fGs+591	-	79.00000

More Details

Tranche Comments

P-W: First Pay: 2021-10-22; Redemption: 2022-12-29; E-1-X: First Pay: 2021-10-22; Redemption: 2022-12-29; Y-2-I: First Pay: 2021-10-22; Redemption: 2022-12-29; W-C: First Pay: 2021-10-22; Redemption: 2022-12-29; I-K: First Pay: 2021-10-22; Redemption: 2022-12-29; P-A: First Pay: 2021-10-22; Redemption: 2022-12-29; Y-H : First Pay: 2021-10-22; Redemption: 2022-12-29;

Deal Comments

Wpqpx. Doj Rpbb Tpfbosd 1.7

Reinvestment Period (YRS)

4.7

Reinvestment Period End Date

May 16, 2018