NGC Euro CLO (NGC) 5

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P	COJ	41.000	-	-	OOO-	AAA-	51.28%	-	Vdpzevfn	3fVc	-	355	3lMq+355	-	470.00000
L	JTU	97.000	-	-	H	S	34.00%	-	Jlxcusby	3kGa	-	240	3jTr+240	-	344.00000
S	QIE	94.000	-	-	HH-	VV-	4.80%	-	Fuzjksex	3rMb	-	575	3pOu+575	-	492.00000
Y	LBC	37.000	-	-	Z-	G-	2.10%	-	Ieozzoxj	3rVx	-	900	3eHe+832	-	68.00000
Sgsvtw	SFW	41.000	-	-	-	-	-	-	-	3aZq	-	-	-	-	-
Q	AWC	20.000	-	-	JJ	VV	61.31%	-	Bhpqytfm	3jQs	-	200	3pVh+200	-	528.00000
E	AQL	275.000	-	-	FFF	WWW	75.00%	-	Wljasumc	3iKv	-	122	3kIt+122	-	564.00000

Tranche Comments

E: First Pay: 2025-10-15; Redemption: 2026-11-02; Registration: 144A/Uvp J; Q: First Pay: 2025-10-15; Redemption: 2026-11-02; Registration: 144A/Meo N; L: First Pay: 2025-10-15; Redemption: 2026-11-02; Registration: 144V/Oup J; P: First Pay: 2025-10-15; Redemption: 2026-11-02; Registration: 144X/Goe N; S: First Pay: 2025-10-15; Redemption: 2026-11-02; Registration: 144H/Hdn E; Y: First Pay: 2025-10-15; Redemption: 2026-11-02; Registration: 144H/Fik B; Sgsvtw: First Pay: 2025-10-15; Redemption: 2026-11-02; Registration: 144A/Eev Y;

Deal Comments

Tmw Sgnn Ggwtmmf 1.5

Pricing Speed

20 FZX

Reinvestment Period (YRS)

3.6

Reinvestment Period End Date

Sep 9, 2007

WAL Test Period (YRS)

6.6