II(R)

Nassau Euro CLO DAC (NCCE) II(R)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	KIK	59.000	-	-	OO	LL	-	-	Zqblveyq	3gTa	-	190	3wIr+190	-	250.00000
B	OSH	99.000	-	-	W	M	-	-	Pzwzezsn	3jYr	215-230	230	3mLc+230	-	650.00000
Vcd	YYO	23.356	-	-	TH	WW	-	-	-	-	-	-	-	-	Retained
Z	XPG	17.000	-	-	PP-	BB-	-	-	Aeupvyvi	3wAi	550-575	565	3rDx+565	-	160.00000
S	EON	34.000	-	-	V-	F-	-	-	Eylzupdj	3cDj	875k	875	3hUy+859	-	95.00000
J	OOA	959.000	-	-	WWW	AAA	-	-	Zwpmtwqn	3eNh	-	128	3mNq+128	-	268.00000
T	MLI	83.000	-	-	ZZZ-	NNN-	-	-	Aeqhdidr	3sKl	310-320	320	3mZi+320	-	718.00000

Tranche Comments

J: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144L/Qir J; G: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144B/Kbw K; B: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144B/Fit R; T: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144V/Vxq J; Z: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144Z/Pil X; S: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144V/Ply U; Vcd: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144V/Tcc K;

Deal Comments

Ukeks. Ukq Vxxx Dkjkkxz 1.00

Risk Retention

GQg Hwurfhsq

Reinvestment Period (YRS)

Reinvestment Period End Date

May 20, 2026

WAL Test Period (YRS)

WAL Test Period End Date

Feb 4, 2012