Nassau Euro CLO DAC (NCCE) II

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
AEUR248.000-Aaa-AAA--Floating3mEu2352353mEu+220-99.50000
B-1EUR33.800-Aa2-AA--Floating3mEu4004003mEu+368-98.50000
B-2EUR5.000-Aa2-AA--FixedYLD6.4-6.60%-6.400%-99.50000
CEUR17.500-A2-A--Floating3mEu5005003mEu+468-98.50000
DEUR22.200-Baa3-BBB---Floating3mEu7507503mEu+640-95.00000
EEUR22.600-Ba3-BB---Floating3mEu1075a11003mEu+795-87.00000
FEUR0.000-B3-B----------
SubEUR55.625-NR-NR--------80.00000
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)
2
Reinvestment Period End Date
Feb 9, 2025
WAL Test Period (YRS)
7
WAL Test Period End Date
Aug 9, 2029