III

Nassau Euro CLO DAC (NCCE) III

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O	PLW	268.000	-	-	PPP	ZZZ	68.00%	-	Sbyplwza	3xUf	-	195	3nBz+195	-	921.00000
K	CSA	73.900	-	-	B	Q	51.50%	-	Euckiyai	3cGa	-	425	3oJr+425	-	886.00000
O	DBV	76.000	-	-	AA-	AA-	32.10%	-	Grwyyisq	3iOj	-	880	3aEm+746	-	59.10000
K	BAY	72.000	-	-	B-	E-	6.00%	-	Uwvmdscv	-	-	-	-	-	Retained
Xys	KVH	65.000	-	-	HD	TX	-	-	-	-	-	-	-	-	Retained
R	YNO	41.500	-	-	SS	HH	99.00%	-	Ashoduuh	3tCv	-	325	3fHb+325	-	734.00000
Z	KGR	87.500	-	-	TTT-	LLL-	39.20%	-	Dkoespsm	3aVo	-	610	3gQp+610	-	743.00000

Tranche Comments

O: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144D/Hef L; R: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144T/Olb J; K: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144C/Fup U; Z: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144B/Taa P; O: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144M/Uha E; K: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144Y/Aim K; Xys: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144J/Zyx O;

Deal Comments

Hgn Rqvv Qkhlgay 2.00

Reinvestment Period (YRS)