Nassau Euro CLO DAC (NCCE) II

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	248.000	-	Aaa	-	AAA	-	-	Floating	3mEu	235	235	3mEu+220	-	99.50000
B-1	EUR	33.800	-	Aa2	-	AA	-	-	Floating	3mEu	400	400	3mEu+368	-	98.50000
B-2	EUR	5.000	-	Aa2	-	AA	-	-	Fixed	YLD	6.4-6.60%	-	6.400%	-	99.50000
C	EUR	17.500	-	A2	-	A	-	-	Floating	3mEu	500	500	3mEu+468	-	98.50000
D	EUR	22.200	-	Baa3	-	BBB-	-	-	Floating	3mEu	750	750	3mEu+640	-	95.00000
E	EUR	22.600	-	Ba3	-	BB-	-	-	Floating	3mEu	1075a	1100	3mEu+795	-	87.00000
F	EUR	0.000	-	B3	-	B-	-	-	-	-	-	-	-	-	-
Sub	EUR	55.625	-	NR	-	NR	-	-	-	-	-	-	-	-	80.00000

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Tranche Comments

A: First Pay: 2023-07-25; Redemption: 2025-02-09; B-1: First Pay: 2023-07-25; Redemption: 2025-02-09; B-2: First Pay: 2023-07-25; Redemption: 2025-02-09; C: First Pay: 2023-07-25; Redemption: 2025-02-09; D: First Pay: 2023-07-25; Redemption: 2025-02-09; E: First Pay: 2023-07-25; Redemption: 2025-02-09; F: First Pay: 2023-07-25; Redemption: 2025-02-09; Comments: It is a delayed issuance tranche, not offered at issue date; Sub: First Pay: 2023-07-25; Redemption: 2025-02-09;

Deal Comments

Non Call Period: 2.00. The deal was upsized to US$400m

Risk Retention

EU - Vertical

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 9, 2025

WAL Test Period (YRS)

WAL Test Period End Date

Aug 9, 2029

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