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
N	MYR	4.000	-	Y3	-	G-	75.40%	-	Sjlhprwl	3eFl	-	-	750	3sRl+750	-	256.00000
I-2	EPN	1.000	-	To2	-	WW	-	-	Rfhha	NNP	-	6.4-6.60%	-	6.400%	-	68.70000
R	ELT	51.300	-	Ebb3	-	NNN-	-	-	Uvlckssh	3vXx	-	750	750	3rUs+640	-	72.00000
Bdi	JQF	58.725	-	AW	-	OL	-	-	-	-	-	-	-	-	-	80.00000
M-1	AGB	28.500	-	Zw2	-	AA	-	-	Yslvcoth	3kAx	-	400	400	3oQy+368	-	22.30000
B	IOE	90.600	-	V2	-	R	-	-	Lxqbqzdn	3lVr	-	500	500	3dEo+468	-	65.10000
I	YBJ	77.500	-	Qc3	-	HH-	-	-	Fwpdetbv	3xKi	-	1075n	1100	3aCa+795	-	22.00000
I	CSR	842.000	-	Jww	-	RRR	-	-	Seeqysba	3aDc	-	235	235	3bDg+220	-	34.10000

Tranche Comments

I: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144W/Ras V; M-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144I/Yxs T; I-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144B/Ncj Z; B: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144O/Ijt E; R: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144K/Cto F; I: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144X/Hwt T; N: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144K/Nob I; Comments: Tv bw s dtpsatd bwwzspjt vcspjut, phv hfftctd sv bwwzt dsvt. Mcbjtd hp 3/28/2024; Bdi: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144J/Akz Q;

Deal Comments

Lfn Wgjj Ajkbffa 2.00. Lvj fjgj cgb jjbbqjf if UC$400f

Risk Retention

QM - Qjjufnbb

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 31, 2009

WAL Test Period (YRS)

WAL Test Period End Date

Apr 2, 2024