Nassau Euro CLO DAC (NCCE) IV

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-2	VPJ	4.000	-	-	VVV	AAA	-	-	Tmwxffdg	3rCp	-	170	3bUg+170	-	768.00000
W	FFZ	98.000	-	-	V-	O-	-	-	Uwxxfyii	3qOu	-	950	3eXc+830	-	87.00000
Soe	AMJ	53.360	-	-	DX	DL	-	-	-	-	-	-	-	-	Retained
X	AWE	90.300	-	-	VVV-	NNN-	-	-	Gczrvyar	3gQz	-	395	3xJu+395	-	565.00000
W	FJT	34.000	-	-	XX-	LL-	-	-	Uccwdspl	3cTs	-	690	3sMi+674	-	18.00000
E-1	MHY	914.000	-	-	YYY	YYY	-	-	Yxzrchyi	3aYi	-	149	3eZk+149	-	364.00000
P	OVH	66.800	-	-	K	I	-	-	Bpbsbqdm	3vQc	-	260	3pUn+260	-	368.00000
I	CKZ	81.000	-	-	QQ	TT	-	-	Xccpynhn	3fHe	-	215	3mUp+215	-	908.00000

Tranche Comments

E-1: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144H/Iwf G; H-2: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144Y/Rap W; I: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144U/Dqw Z; P: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144N/Ymk C; X: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144J/Zao M; W: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144A/Qmo W; W: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144N/Anl S; Soe: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144T/Ajn W;

Deal Comments

Bbn Cayy Gwulbzc 2.00

Risk Retention

HBu Vwffhpzo

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 29, 2002

WAL Test Period (YRS)

WAL Test Period End Date

Jul 21, 2018