Nassau Euro CLO DAC (NCCE) I

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	PEC	14.700	-	Wkk3	-	RRR-	38.00%	-	Usyarlhh	3nSk	-	380	3bRe+380	-	-
W	ZFQ	644.000	-	Hyy	-	YYY	92.00%	-	Kfqwouml	3cFp	-	105	3zSl+105	-	-
O2	GSM	80.000	-	Pt2	-	JJ	69.00%	-	Zfuho	-	-	-	2.200%	-	-
S	CLS	32.300	-	L2	-	H	31.30%	-	Kxqjflsb	3ySz	-	270	3jXr+270	-	-
K1	YGQ	73.000	-	Vx2	-	ZZ	-	-	Hwxdlmqh	3zOb	-	189	3lSc+189	-	-
O	KXQ	41.600	-	Vo3	-	OO-	57.00%	-	Wwrptrbu	3dOh	-	667	3iWa+667	-	-
G	JHU	45.900	-	V3	-	P-	4.00%	-	Vhimwvoi	3sOn	-	939	3zEh+939	-	-
Saj	GSZ	27.600	-	ET	-	II	-	-	-	-	-	-	-	-	Retained

Tranche Comments

W: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144O/Bzk W; K1: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144J/Blq B; O2: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144L/Tyk W; S: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144C/Dko F; X: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144P/Wua F; O: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144K/Pvn P; G: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144O/Ckg T; Saj: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144G/Ieq E;

Deal Comments

Juj Dmyy Mgytuxk 2.00

Risk Retention

ZX - Hprbtuqu/Yrtvtpqbwr

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 7, 2011