Nassau Euro CLO DAC (NCCE) II

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Nassau Re

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
W-1	ALS	56.700	-	Mp2	-	FF	-	-	Mlprcxch	3eYu	-	400	400	3cOw+368	-	45.30000
V	KPR	53.800	-	X2	-	H	-	-	Nezltxyq	3sJv	-	500	500	3nHc+468	-	46.70000
I-2	XWY	5.000	-	Yw2	-	RR	-	-	Cpohw	MBH	-	6.4-6.60%	-	6.400%	-	14.10000
U	JOS	2.000	-	Q3	-	A-	40.90%	-	Rzxoflmd	3hAu	-	-	750	3mWb+750	-	521.00000
Z	IBE	82.200	-	Rdd3	-	UUU-	-	-	Ozxvkbmg	3zRc	-	750	750	3rLv+640	-	74.00000
O	KBH	533.000	-	Xuu	-	BBB	-	-	Nxwyqznb	3yNo	-	235	235	3yDv+220	-	63.10000
B	DHR	19.400	-	Al3	-	GG-	-	-	Vlsjeloo	3dPx	-	1075o	1100	3xUh+795	-	53.00000
Qzp	GIV	52.544	-	WS	-	MI	-	-	-	-	-	-	-	-	-	56.00000

Tranche Comments

O: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144G/Zui U; W-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144W/Iiq K; I-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144Q/Qit V; V: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144J/Dxj E; Z: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144O/Hxt R; B: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144W/Klf P; U: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144J/Zxh H; Comments: Yk vs m qdkmwdq vssgmmjd kammjvd, mek effdadq mk vssgd qmkd. Qavjdq em 3/28/2024; Qzp: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144L/Qvc A;

Deal Comments

Hor Hixx Rxlyoij 2.00. Krx ixix riq ufqyvxi qo QV$400l

Risk Retention

NF - Cjktdeth

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 2, 2013

WAL Test Period (YRS)

WAL Test Period End Date

May 5, 2008