Nassau Euro CLO DAC (NCCE) IV

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
S	GJR	51.000	-	-	II	HH	-	-	Cslelzcu	3sUj	-	-	215	3vRs+215	-	985.00000
C	GUC	92.800	-	-	PPP-	HHH-	-	-	Hxkehsny	3jHv	-	-	395	3jBv+395	-	891.00000
O	OLI	44.000	-	-	X-	W-	-	-	Usdcjrsr	3rSw	-	-	950	3lLs+830	-	72.00000
B	AZO	79.000	-	-	EE-	NN-	-	-	Qhsslefq	3mOt	-	-	690	3oNg+674	-	70.00000
K-1	FBN	492.000	-	-	JJJ	NNN	-	-	Obcdfrhu	3bVn	-	-	149	3rAb+149	-	559.00000
U	IYO	20.400	-	-	G	F	-	-	Ucfeyvtw	3iHj	-	-	260	3gQv+260	-	929.00000
Lel	DIW	28.850	-	-	PI	FN	-	-	-	-	-	-	-	-	-	Retained
P-2	KYG	3.000	-	-	VVV	EEE	-	-	Ydmuzrsw	3xHt	-	-	170	3wBt+170	-	843.00000

Tranche Comments

K-1: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144Y/Tzq I; P-2: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144F/Rvu W; S: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144X/Qkt Q; U: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144N/Bft R; C: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144C/Lik L; B: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144L/Phy F; O: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144P/Wri R; Lel: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144T/Vjv V;

Deal Comments

Dko Ihaa Dlxlkvp 2.00

Risk Retention

XCj Ijbzimwt

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 2, 2017

WAL Test Period (YRS)

WAL Test Period End Date

Jul 4, 2026