Nassau Ltd (NCC) 2021-I

ClassCCYSZE(M)WALMOSPFIDRKRC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
A1USD181.2956.20AaaAAA---38.00%-Floating3mL-1253mL+125-100.00000
A2USD35.7056.20AaaAAA---38.00%-Fixed---2.22%2.220%100.00000
B1USD22.4508.00-AA---24.00%-Floating3mL-1953mL+195-100.00000
B2USD26.5508.00-AA---24.00%-Fixed---3.01%3.010%100.00000
CUSD21.0008.80-A---18.00%-Floating3mL-2603mL+260-100.00000
DUSD17.5009.30-BBB----13.00%-Floating3mL-3753mL+375--
EUSD14.0009.70-BB----9.00%-Floating3mL-7403mL+740--
Sub AUSD18.125--------------Retained
Sub BUSD18.125--------------Retained
Tranche Comments
A1: First Pay: 2022-01-15; Redemption: 2023-08-26; A2: First Pay: 2022-01-15; Redemption: 2023-08-26; B1: First Pay: 2022-01-15; Redemption: 2023-08-26; B2: First Pay: 2022-01-15; Redemption: 2023-08-26; C: First Pay: 2022-01-15; Redemption: 2023-08-26; D: First Pay: 2022-01-15; Redemption: 2023-08-26; E: First Pay: 2022-01-15; Redemption: 2023-08-26; Sub A: First Pay: 2022-01-15; Redemption: 2023-08-26; Sub B: First Pay: 2022-01-15; Redemption: 2023-08-26;
Deal Comments
Non Call Period: 2.00
Reinvestment Period (YRS)
5
Reinvestment Period End Date
Aug 26, 2026
WAL Test Period (YRS)
4
Research
AllReportsSurveillanceOther

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