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
U	WXW	81.000	-	-	QQ-	WW-	-	-	Gxocmdfb	3qAr	-	690	3zRa+674	-	58.00000
G	WWM	72.000	-	-	W-	E-	-	-	Nmxosdcw	3oEp	-	950	3bTa+830	-	18.00000
C-2	DQE	3.000	-	-	PPP	UUU	-	-	Wezsybub	3lOl	-	170	3jBk+170	-	501.00000
R	IJE	31.700	-	-	PPP-	ZZZ-	-	-	Iejptckq	3nYe	-	395	3nKp+395	-	964.00000
Z	GZI	88.800	-	-	D	J	-	-	Gquotdcs	3sPq	-	260	3yDy+260	-	884.00000
Rdz	YZM	40.930	-	-	MQ	TD	-	-	-	-	-	-	-	-	Retained
Y	HZA	49.000	-	-	NN	FF	-	-	Ifurtado	3aQl	-	215	3gMy+215	-	808.00000
A-1	MZV	658.000	-	-	QQQ	GGG	-	-	Jxkoaloq	3jYg	-	149	3nIk+149	-	893.00000

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Tranche Comments

A-1: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144G/Tnx C; C-2: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144A/Izj M; Y: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144Q/Ecz J; Z: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144V/Dyg Z; R: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144B/Kma N; U: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144M/Bcy G; G: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144T/Hyl Z; Rdz: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144T/Pkm G;

Deal Comments

Ykv Yboo Dzyxkgj 2.00

Risk Retention

AHv Fzfmddkg

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 29, 2006

Refinancing

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Dec 10, 2025