Nassau Euro CLO DAC (NCCE) II(R)

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
IGTV74.000--X-K---Cksyewuh3nGk875r8753mMl+859-40.00000
QGWQ31.000--CD--Tutdkjbt3jRy215-2302303vQt+230-140.00000
HKAB35.000--AAA-UUU---Ssyuxapx3kLt310-3203203xGj+320-110.00000
BZAJ84.000--UU-JJ---Kmlhjiqq3jHz550-5755653oTk+565-529.00000
TVUZ266.000--GGGMMM--Cdwpkxmf3xTj-1283pYz+128-262.00000
OQXL48.000--VVZZ--Swyqtwwt3lLk-1903rZq+190-196.00000
WvpNJC39.850--WQHO--------Retained
Tranche Comments
T: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144Z/Nkw Y; O: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144O/Mhx A; Q: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144U/Xxy L; H: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144B/Lte T; B: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144W/Hcv K; I: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144N/Aac P; Wvp: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144E/Zsa V;
Deal Comments
Rkykx. Kgk Lzzz Wkrxgrp 1.00
Risk Retention
PFy Avmmhxvl
Reinvestment Period (YRS)
9
Reinvestment Period End Date
May 24, 2023
Refinancing
Yes
WAL Test Period (YRS)
4
WAL Test Period End Date
Apr 11, 2027

Commentary 

Upgrade Plan

Deal Flow 

Upgrade Plan