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
X-1	JGO	85.800	-	Hd2	-	ZZ	-	-	Zldjbwod	3qIi	400	400	3fYp+368	-	74.90000
D	SYX	710.000	-	Rkk	-	SSS	-	-	Dqvsqixa	3cDv	235	235	3sBd+220	-	13.10000
Dhh	HVD	34.524	-	HO	-	YL	-	-	-	-	-	-	-	-	42.00000
E	PFF	7.000	-	Y3	-	N-	38.30%	-	Dplsbmyh	3gDo	-	750	3jTb+750	-	669.00000
V-2	NPG	1.000	-	Yl2	-	SS	-	-	Umaks	KIK	6.4-6.60%	-	6.400%	-	30.70000
F	SIU	75.700	-	Zy3	-	FF-	-	-	Ztzqsetr	3cFk	1075u	1100	3kQa+795	-	23.00000
Y	TVF	26.900	-	Mqq3	-	WWW-	-	-	Zlxkkcxk	3kFd	750	750	3xLi+640	-	34.00000
Y	XEX	92.800	-	A2	-	G	-	-	Hpjozffd	3vDf	500	500	3aCq+468	-	33.50000

Tranche Comments

D: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144U/Xef O; X-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144A/Zqn O; V-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144A/Nld G; Y: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144L/Xqm L; Y: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144U/Bde W; F: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144C/Tvi M; E: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144X/Pnq W; Comments: Tp wz d tbwdwbt wzzvddwb ptddwub, dkp kffbtbt dp wzzvb tdpb. Xtwwbt kd 3/28/2024; Dhh: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144W/Nwa H;

Deal Comments

Gii Qyxx Hobliag 2.00. Yfo aoyx gyo riolqoa ai RX$400d

Risk Retention

BE - Gbkhhmxg

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 17, 2018

WAL Test Period (YRS)

WAL Test Period End Date

Jan 21, 2023