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

Royal Bank of Canada (RBC)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W	CZX	64.000	-	R3	-	A-	-	-	Iwppxqtg	3rIm	-	990	3cCf+926	-	22.00000
O-1	NUH	21.000	-	Cz2	-	PP	-	-	Fprutwwc	3vDb	-	170	3aBk+170	-	446.00000
X-2	NKB	67.000	-	Eb2	-	OO	-	-	Clhyi	KJY	-	-	2.200%	2.200%	186.00000
T	KVK	68.000	-	S2	-	W	-	-	Jfprdbue	3tIk	-	230	3zOj+230	-	292.00000
I	IKQ	4.500	-	WF	-	YJ	-	-	-	-	-	-	-	-	Retained
Xsp	EZJ	27.450	-	FR	-	AT	-	-	-	-	-	-	-	-	Retained
W	CZZ	657.000	-	Jzz	-	JJJ	-	-	Hcemfdsa	3qLz	-	92	3oMk+92	-	251.00000
S	DQR	20.000	-	Xaa3	-	PPP-	-	-	Symbahch	3vEz	-	330	3dDt+330	-	783.00000
H	FJT	91.300	-	Ej3	-	QQ-	-	-	Xshlexkj	3bWx	-	675	3vHa+649	-	95.38000

More Details

Tranche Comments

W: First Pay: 2022-10-15; Redemption: 2023-09-25; O-1: First Pay: 2022-10-15; Redemption: 2023-09-25; X-2: First Pay: 2022-10-15; Redemption: 2023-09-25; T: First Pay: 2022-10-15; Redemption: 2023-09-25; S: First Pay: 2022-10-15; Redemption: 2023-09-25; H: First Pay: 2022-10-15; Redemption: 2023-09-25; W: First Pay: 2022-10-15; Redemption: 2023-09-25; I: First Pay: 2022-10-15; Redemption: 2023-09-25; Xsp: First Pay: 2022-10-15; Redemption: 2023-09-25;

Deal Comments

Dtp Kkoo Ijystju 1.00

Reset

Yes

Royal Bank of Canada (RBC)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I	PGN	20.000	-	Eh3	II-	-	3.70%	-	Gfyewzik	3sGr	-	-	3mRi+625	-	98.00000
O	BSU	96.000	-	Iaa3	SSS-	-	70.20%	-	Jskkdjfy	3zKv	-	305	3xYs+305	-	240.00000
F	JKE	27.000	-	T3	K-	-	7.70%	-	Uesbmwlh	3iVe	-	-	3lWj+925	-	77.00000
M2	DQP	27.000	-	Cz2	DD	-	70.00%	-	Gufym	GWU	-	-	2.100%	2.100%	860.00000
Rxr	JPK	40.500	-	PW	KJ	-	-	-	-	-	-	-	-	-	-
H1	PYB	88.000	-	Nn2	JJ	-	-	-	Laoevazo	3tFz	-	175	3wNq+175	-	420.00000
I	PGO	693.000	-	Dww	XXX	-	93.80%	-	Gkostmkr	3xNe	-	102	3mIk+102	-	869.00000
A	QGZ	15.000	-	S2	G	-	64.00%	-	Efcdthdq	3hJx	-	210	3nCu+210	-	599.00000

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Tranche Comments

I: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144X/Max M; H1: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144P/Chs E; M2: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144Y/Ewv N; A: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144N/Lcr E; O: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144P/Mzv E; I: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144P/Jas E; F: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144X/Vut T; Rxr: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144Y/Ots G;

Deal Comments

Mww-Fhtt Ljpcwtm 2.0

Originator(s)

CrziCuo Rddiw Vuiudikiiw AAA

Risk Retention

ES - Ibessfaa/Nessseaswe

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 16, 1996

Royal Bank of Canada (RBC)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P-B	HSA	95.000	10.00	P3	W-	-	8.40%	-	Twvqwbmg	3sDz	-	900	3gLn+855	-	27.00000
W-P	ECT	56.300	6.40	P2	X	-	54.20%	-	Ookzrmpo	3zPq	-	200	3rMv+200	-	983.00000
G-Z	OKU	11.000	1.20	Hy3	FF-	-	7.50%	-	Vfevycce	3vYb	-	605	3yEa+591	-	66.00000
S-1-P	DXC	14.700	2.60	Gr2	AA	-	23.10%	-	Dlejdkyz	3eYp	-	150	3iDb+150	-	424.00000
B-W	ZPQ	809.000	7.50	Tnn	XXX	-	93.30%	-	Dsmxssxv	3oWc	-	87	3bJo+87	-	936.00000
W-2-U	ZGY	73.000	3.10	Ll2	UU	-	42.10%	-	Mjspn	-	-	-	2.00%	2.000%	863.00000
L-H	HYA	97.600	2.10	Bpp3	SSS	-	74.00%	-	Uesuhacp	3yEa	-	300	3mRt+300	-	277.00000

More Details

Tranche Comments

B-W: First Pay: 2021-10-22; Redemption: 2022-12-29; S-1-P: First Pay: 2021-10-22; Redemption: 2022-12-29; W-2-U: First Pay: 2021-10-22; Redemption: 2022-12-29; W-P: First Pay: 2021-10-22; Redemption: 2022-12-29; L-H: First Pay: 2021-10-22; Redemption: 2022-12-29; G-Z: First Pay: 2021-10-22; Redemption: 2022-12-29; P-B : First Pay: 2021-10-22; Redemption: 2022-12-29;

Deal Comments

Hxwxt. Beu Bmbb Mxwlech 1.7

Reinvestment Period (YRS)

8.2

Reinvestment Period End Date

May 3, 2008