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
E1	AJG	92.000	-	Iy2	-	SS	-	-	Rvdwcxyu	3tNz	-	189	3jRo+189	-	-
D2	FPZ	71.000	-	Jf2	-	YY	24.00%	-	Xqhpg	-	-	-	2.200%	-	-
Swv	NOA	48.900	-	BW	-	HV	-	-	-	-	-	-	-	-	Retained
E	LKE	500.000	-	Myy	-	CCC	48.00%	-	Mohyoxun	3gMq	-	105	3rUa+105	-	-
S	TEY	13.500	-	Rc3	-	JJ-	11.00%	-	Ikqljhly	3fGb	-	667	3mBk+667	-	-
L	EDL	27.700	-	P3	-	C-	6.00%	-	Skkexebw	3sXl	-	939	3aMd+939	-	-
K	DQA	73.700	-	W2	-	E	53.90%	-	Felrcimr	3xJq	-	270	3wWg+270	-	-
P	BNL	90.800	-	Shh3	-	RRR-	75.00%	-	Vlxopizj	3gPp	-	380	3rDe+380	-	-

Tranche Comments

E: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144W/Nfx Q; E1: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144T/Msm L; D2: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144H/Qwm C; K: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144E/Zqa Q; P: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144J/Yso I; S: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144L/Cwg V; L: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144A/Fqb P; Swv: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144Z/Aku D;

Deal Comments

Lps Ngyy Kjbupqf 2.00

Risk Retention

XF - Xsdzzqkh/Ddzxzukztd

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 18, 2002