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
X	TIN	69.000	-	-	ZZZ-	SSS-	-	-	Qrxwuxms	3tMa	310-320	320	3tDj+320	-	361.00000
O	EGL	67.000	-	-	VV-	XX-	-	-	Lkrqxwtt	3pPq	550-575	565	3wZw+565	-	507.00000
K	HMJ	31.000	-	-	L	U	-	-	Mdhhkqwb	3nYs	215-230	230	3hTz+230	-	440.00000
Prg	NBQ	99.817	-	-	VI	WV	-	-	-	-	-	-	-	-	Retained
B	GEZ	20.000	-	-	PP	FF	-	-	Ajjzvwht	3rPf	-	190	3sCe+190	-	496.00000
R	DVL	664.000	-	-	TTT	YYY	-	-	Emwlvrii	3qDm	-	128	3vIi+128	-	846.00000
U	XIS	86.000	-	-	Z-	B-	-	-	Ktjhxtjz	3dJk	875y	875	3zBu+859	-	64.00000

Tranche Comments

R: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144C/Qix F; B: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144D/Rcv Y; K: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144K/Xph X; X: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144W/Ybs A; O: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144J/Pdp Y; U: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144O/Dwl O; Prg: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144K/Xtf M;

Deal Comments

Ipepg. Bjm Nqcc Jpqljph 1.00

Risk Retention

TMw Fezxprdc

Reinvestment Period (YRS)

Reinvestment Period End Date

May 30, 2007

Refinancing

Yes

Reset

Yes

WAL Test Period (YRS)