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	-	-	-	-	-	-	-	-	-

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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
S	NVN	25.400	-	Lc3	-	MM-	-	-	Yfeoxzjh	3sCq	-	675	3lFr+649	-	94.25000
R	LLT	872.000	-	Lyy	-	VVV	-	-	Nkseozqu	3tOs	-	92	3mMk+92	-	397.00000
Kej	BSA	18.750	-	JX	-	SJ	-	-	-	-	-	-	-	-	Retained
N	QCS	3.800	-	BI	-	US	-	-	-	-	-	-	-	-	Retained
P	OMR	13.000	-	All3	-	GGG-	-	-	Rujhvvej	3dYp	-	330	3aKf+330	-	302.00000
I-1	AKU	84.000	-	Hd2	-	KK	-	-	Voxojmcm	3iQt	-	170	3eEr+170	-	234.00000
H-2	FKG	11.000	-	Fu2	-	BB	-	-	Kwylz	GQE	-	-	2.200%	2.200%	168.00000
Y	SNJ	90.000	-	Q3	-	L-	-	-	Ukodmini	3bAp	-	990	3cKl+926	-	81.00000
M	CER	84.000	-	L2	-	T	-	-	Biywtzoi	3bOy	-	230	3vAl+230	-	470.00000

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Tranche Comments

R: First Pay: 2022-10-15; Redemption: 2023-09-25; I-1: First Pay: 2022-10-15; Redemption: 2023-09-25; H-2: First Pay: 2022-10-15; Redemption: 2023-09-25; M: First Pay: 2022-10-15; Redemption: 2023-09-25; P: First Pay: 2022-10-15; Redemption: 2023-09-25; S: First Pay: 2022-10-15; Redemption: 2023-09-25; Y: First Pay: 2022-10-15; Redemption: 2023-09-25; N: First Pay: 2022-10-15; Redemption: 2023-09-25; Kej: First Pay: 2022-10-15; Redemption: 2023-09-25;

Deal Comments

Sjq Ggcc Texgjep 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
D	OOB	964.000	-	Soo	XXX	-	39.40%	-	Dvurydjg	3sAe	-	102	3dNh+102	-	740.00000
Y	JJY	77.000	-	S2	E	-	54.00%	-	Czjaxfoy	3rZw	-	210	3sCa+210	-	182.00000
G	QJJ	33.000	-	Xpp3	AAA-	-	80.40%	-	Imumpbyp	3bLs	-	305	3jYe+305	-	117.00000
Kvh	DAE	42.600	-	DR	VE	-	-	-	-	-	-	-	-	-	-
H2	KOB	35.000	-	Br2	XX	-	69.00%	-	Rihbk	KKA	-	-	2.100%	2.100%	809.00000
K	GLS	34.000	-	Mm3	ZZ-	-	6.20%	-	Zdlcdkmk	3oXy	-	-	3qDs+625	-	43.00000
A1	PNY	29.000	-	Es2	SS	-	-	-	Mmvzulku	3dYl	-	175	3xRu+175	-	484.00000
P	HKY	11.000	-	C3	Z-	-	2.80%	-	Kyqwctik	3vOa	-	-	3fYz+925	-	90.00000

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Tranche Comments

D: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144X/Mwu B; A1: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144M/Rol D; H2: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144O/Jbz N; Y: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144Q/Zzt H; G: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144N/Ivi O; K: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144Z/Kra T; P: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144X/Idl Z; Kvh: First Pay: 2022-07-15; Redemption: 2023-07-15; Registration: 144A/Nwg Z;

Deal Comments

Ukf-Oqyy Rcmnklg 2.0

Originator(s)

JrleJvz Yllej Bvnvbewenj ZZS

Risk Retention

SH - Tjyjmbez/Lymkmcejay

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 17, 1996

Royal Bank of Canada (RBC)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M-2-R	LGL	21.000	5.50	At2	YY	-	21.10%	-	Bcxjp	-	-	-	2.00%	2.000%	955.00000
H-S	ITH	27.000	8.30	Ve3	DD-	-	3.70%	-	Zufypaqg	3zEf	-	605	3tEz+591	-	99.00000
N-X	BLK	46.500	7.50	I2	I	-	54.60%	-	Edklexha	3lCa	-	200	3sWh+200	-	166.00000
Z-Z	XAJ	208.000	5.50	Lhh	VVV	-	40.20%	-	Bwtmvoft	3oEl	-	87	3rZj+87	-	252.00000
V-P	QUS	95.000	85.00	I3	K-	-	3.70%	-	Mqveujma	3sCc	-	900	3vAa+855	-	25.00000
A-C	QJO	72.300	4.10	Vzz3	WWW	-	55.00%	-	Pfykzrek	3xBq	-	300	3eGx+300	-	287.00000
W-1-J	GAC	18.200	2.50	We2	AA	-	52.40%	-	Frwfmfhf	3nOx	-	150	3bDz+150	-	628.00000

More Details

Tranche Comments

Z-Z: First Pay: 2021-10-22; Redemption: 2022-12-29; W-1-J: First Pay: 2021-10-22; Redemption: 2022-12-29; M-2-R: First Pay: 2021-10-22; Redemption: 2022-12-29; N-X: First Pay: 2021-10-22; Redemption: 2022-12-29; A-C: First Pay: 2021-10-22; Redemption: 2022-12-29; H-S: First Pay: 2021-10-22; Redemption: 2022-12-29; V-P : First Pay: 2021-10-22; Redemption: 2022-12-29;

Deal Comments

Vvqvv. Oym Nwoo Svsfyir 1.7

Reinvestment Period (YRS)

1.1

Reinvestment Period End Date

Dec 9, 2009

Reset

Yes