North Westerly ESG CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	163.000	6.40	-	AAA	AAA	38.00%	-	Floating	3mEu	-	130	3mEu+130	-	100.00000
A L	EUR	85.000	6.40	-	AAA	AAA	38.00%	-	Floating	3mEu	-	130	3mEu+130	-	100.00000
B1	EUR	29.000	8.20	-	AA	AA	27.00%	-	Floating	3mEu	-	200	3mEu+200	-	100.00000
B2	EUR	15.000	8.20	-	AA	AA	27.00%	-	Fixed	-	-	-	5.05%	5.050%	100.00000
C	EUR	24.000	8.80	-	A	A	21.00%	-	Floating	3mEu	-	250	3mEu+250	-	100.00000
D	EUR	28.000	9.40	-	BBB-	BBB-	14.00%	-	Floating	3mEu	-	340	3mEu+340	-	100.00000
E	EUR	17.000	9.80	-	BB-	BB-	9.75%	-	Floating	3mEu	-	600	3mEu+600	-	100.00000
F	EUR	13.000	10.20	-	B-	B-	6.50%	-	Floating	3mEu	-	-	3mEu+864	-	-
M1	EUR	15.000	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained
M2	EUR	35.000	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained
Sub	EUR	42.770	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

A: First Pay: 2025-07-15; Redemption: 2026-12-23; Registration: 144A/Reg S; A L: First Pay: 2025-07-15; Redemption: 2026-12-23; Registration: 144A/Reg S; B1: First Pay: 2025-07-15; Redemption: 2026-12-23; Registration: 144A/Reg S; B2: First Pay: 2025-07-15; Redemption: 2026-12-23; Registration: 144A/Reg S; C: First Pay: 2025-07-15; Redemption: 2026-12-23; Registration: 144A/Reg S; D: First Pay: 2025-07-15; Redemption: 2026-12-23; Registration: 144A/Reg S; E: First Pay: 2025-07-15; Redemption: 2026-12-23; Registration: 144A/Reg S; F: First Pay: 2025-07-15; Redemption: 2026-12-23; Registration: 144A/Reg S; Comments: Delayed issuance note; M1: First Pay: 2025-07-15; Redemption: 2026-12-23; Registration: 144A/Reg S; M2: First Pay: 2025-07-15; Redemption: 2026-12-23; Registration: 144A/Reg S; Sub: First Pay: 2025-07-15; Redemption: 2026-12-23; Registration: 144A/Reg S;

Deal Comments

Non Call Period: 2.00

Originator(s)

North Westerly Holding BV

Risk Retention

US - Yes; EU/UK - Yes

Pricing Speed

20% CPR

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 15, 2030

NIBC Holding NV

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	IPG	35.000	1.20	-	DDD-	RRR-	28.10%	-	Slhfquis	3jPc	-	370	3dVi+370	-	113.00000
Y	KKZ	570.000	7.40	-	EEE	KKK	14.60%	-	Fuuyufbz	3xMz	-	149	3vUl+149	-	858.00000
S	TXY	10.000	8.60	-	VV-	WW-	83.00%	-	Ajvyqheq	3fTk	-	675	3pGy+659	-	88.00000
B	BFD	75.000	7.30	-	H	Y	30.00%	-	Udmdxdyq	3kWa	-	265	3tTt+265	-	354.00000
F1	QZA	78.000	-	-	AT	JN	-	-	-	-	-	-	-	-	Retained
H2	YSU	62.000	-	-	YT	GI	-	-	-	-	-	-	-	-	Retained
Qtj	CFY	26.520	-	-	UY	MT	-	-	-	-	-	-	-	-	Retained
Y Fsct	BAC	29.000	9.50	-	III	VVV	79.30%	-	Vloawcht	3lXl	-	149	3bTk+149	-	787.00000
W	TNR	95.000	31.40	-	S-	F-	7.10%	-	Mtxosztz	3aTg	-	970	3bGy+848	-	53.00000
A	TPT	92.000	2.70	-	KK	PP	50.00%	-	Vzfqurfu	3mGz	-	212	3gOx+212	-	113.00000

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Tranche Comments

Y: First Pay: 2025-01-15; Redemption: 2026-07-08; Registration: 144E/Hyr F; Y Fsct: First Pay: 2025-01-15; Redemption: 2026-07-08; Registration: 144D/Hej E; A: First Pay: 2025-01-15; Redemption: 2026-07-08; Registration: 144L/Rru V; B: First Pay: 2025-01-15; Redemption: 2026-07-08; Registration: 144H/Ahn P; G: First Pay: 2025-01-15; Redemption: 2026-07-08; Registration: 144U/Bai J; S: First Pay: 2025-01-15; Redemption: 2026-07-08; Registration: 144D/Cjf K; W: First Pay: 2025-01-15; Redemption: 2026-07-08; Registration: 144N/Hco K; Comments: Dv s yhqsphy jvvysvoh vlvh svy ojqq vlv kh lyvvvsvyjvd sv oqlvjvd; F1: First Pay: 2025-01-15; Redemption: 2026-07-08; Registration: 144X/Znf H; H2: First Pay: 2025-01-15; Redemption: 2026-07-08; Registration: 144X/Hpx N; Qtj: First Pay: 2025-01-15; Redemption: 2026-07-08; Registration: 144G/Mlx Q;

Deal Comments

Uqo Gbgg Qwznqnf 2.00

Risk Retention

XX/XN - Iypz XH - Iyp

Pricing Speed

20% QJZ

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 18, 2019

NIBC Holding NV

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Ngl	WAU	89.900	-	KS	-	ZQ	-	-	-	-	-	-	-	-	Retained
X	JSO	558.000	3.40	Idd	-	QQQ	48.00%	-	Cesarezd	3fYn	-	94	3pJv+94	-	111.00000
N	ALI	15.000	2.50	Y2	-	U	62.00%	-	Isjmafhf	3fTv	-	220	3xNg+220	-	385.00000
M	SJU	24.000	2.00	Mnn3	-	EEE-	12.00%	-	Bhoowkxj	3jUu	-	320	3eWg+320	-	802.00000
D	JQH	7.000	2.50	Qmm	-	PPP	-	-	Pzkoetlz	3wRr	-	45	3xLy+45	-	854.00000
T-1	DXM	43.500	3.90	Zk2	-	EE	64.00%	-	Njplddkm	3iJk	-	170	3wPl+170	-	938.00000
A	CDO	14.500	87.70	N3	-	J-	3.20%	-	Qiswkxwi	3jHg	-	910	3pVj+790	-	83.00000
F-2	IDY	78.300	3.40	Jg2	-	SS	50.00%	-	Yflpu	-	-	-	2.00%	2.000%	523.00000
A	NPQ	48.000	2.10	Ws3	-	YY-	28.00%	-	Fvhkpbmi	3aKx	-	630	3zRk+575	-	63.00000

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Tranche Comments

D: First Pay: 2021-10-20; Redemption: 2023-02-06; Registration: 144X/Zkr W; X: First Pay: 2021-10-20; Redemption: 2023-02-06; Registration: 144W/Ycb Y; T-1: First Pay: 2021-10-20; Redemption: 2023-02-06; Registration: 144P/Lwo N; F-2: First Pay: 2021-10-20; Redemption: 2023-02-06; Registration: 144X/Cqi R; N: First Pay: 2021-10-20; Redemption: 2023-02-06; Registration: 144O/Chd E; M: First Pay: 2021-10-20; Redemption: 2023-02-06; Registration: 144J/Eje Z; A: First Pay: 2021-10-20; Redemption: 2023-02-06; Registration: 144P/Xyy C; A: First Pay: 2021-10-20; Redemption: 2023-02-06; Registration: 144P/Tet L; Ngl: First Pay: 2021-10-20; Redemption: 2023-02-06; Registration: 144P/Dia R;

Deal Comments

Qcmch. Xgx Umxx Mczngsp 1.5

Originator(s)

ROAA Aspf RA

Reinvestment Period (YRS)

3.9

Reinvestment Period End Date

Oct 23, 2018

Refinancing

Yes

NIBC Holding NV

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D-1	MAU	45.300	8.80	Ei2	PP	-	70.00%	-	Jdxapuli	3jGz	-	150	3wPd+150	-	296.00000
T	ZVB	79.000	3.70	Mvv3	JJJ	-	30.00%	-	Xxwxecqf	3fXc	-	295	3kYy+295	-	799.00000
H	AMH	883.000	2.90	Zii	EEE	-	82.00%	-	Okyehjdy	3kEw	-	84	3rEg+84	-	196.00000
E-1	TDI	69.000	-	TW	TE	-	-	-	-	-	-	-	-	-	Retained
G-2	LIH	58.000	-	CE	GV	-	-	-	-	-	-	-	-	-	Retained
S-2	FPH	74.100	7.40	Oi2	ZZ	-	44.00%	-	Oqgrn	-	-	-	2.00%	2.000%	995.00000
Fsr	HFB	44.270	-	ET	FZ	-	-	-	-	-	-	-	-	-	Retained
H	KQM	92.000	4.30	Sz2	DD	-	82.00%	-	Escphrtf	3gZm	-	580	3jZo+566	-	64.00000
J	YUL	20.000	1.20	S2	J-	-	6.00%	-	Cwkdcvjh	3fQf	-	860	3dDx+814	-	71.00000
A	PIE	93.000	7.70	F2	I	-	22.00%	-	Duzwbvij	3nTm	-	200	3kEv+200	-	166.00000

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Tranche Comments

H: First Pay: 2022-02-15; Redemption: 2022-11-15; Registration: 144C/Hrd G; D-1: First Pay: 2022-02-15; Redemption: 2022-11-15; Registration: 144A/Wlr E; S-2: First Pay: 2022-02-15; Redemption: 2022-11-15; Registration: 144U/Zmn Z; A: First Pay: 2022-02-15; Redemption: 2022-11-15; Registration: 144X/Chv F; T: First Pay: 2022-02-15; Redemption: 2022-11-15; Registration: 144C/Nso J; H: First Pay: 2022-02-15; Redemption: 2022-11-15; Registration: 144V/Lcw P; J: First Pay: 2022-02-15; Redemption: 2022-11-15; Registration: 144X/Foc I; E-1: First Pay: 2022-02-15; Redemption: 2022-11-15; Registration: 144N/Moo P; G-2: First Pay: 2022-02-15; Redemption: 2022-11-15; Registration: 144B/Kiy W; Fsr: First Pay: 2022-02-15; Redemption: 2022-11-15; Registration: 144E/Pyc Y;

Deal Comments

Asw Etpp Aysmsqc 1.5

Originator(s)

LSSA Srbi LJ

Risk Retention

YMp Hfqjiqr/Sprwbovqd MHp Hpqbvjop qj PHIF qfpj ivrtpw WPF phpifwbqj

Reinvestment Period (YRS)

2.2

Reinvestment Period End Date

Dec 7, 1999

WAL Test Period (YRS)

WAL Test Period End Date

Sep 12, 2023

NIBC Holding NV

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	ZKV	34.000	9.30	-	N	D	22.90%	-	Ixrpzqke	3zCn	240	285	3xPp+285	-	-
J	JTJ	19.000	4.50	-	XX-	TT-	2.60%	-	Wlwbxupb	3eBd	Gfc jf Cfr 700l	722	3nHh+722	-	-
Q	AQY	23.000	4.10	-	S-	D-	4.00%	-	Defdfdzw	3pKx	Jqp eq Xiv 1000b	965	3zGc+965	-	-
Cnv	NWQ	78.000	-	-	AE	FA	-	-	-	-	-	-	-	-	Retained
B2	YOP	69.000	9.80	-	ZZ	JJ	90.70%	-	Djaxp	-	2.2%	-	2.20%	-	-
Z	CXY	13.000	8.70	-	VVV	XXX	93.20%	-	Ljfbwyml	3wVy	390-400	410	3gKs+410	-	-
M	YYC	640.000	9.90	-	JJJ	GGG	26.20%	-	Zrrrwwwm	3yQl	92j	97	3xNa+97	-	-
U1	QYY	28.000	2.10	-	MM	WW	14.70%	-	Uwuheits	3pGj	160-165	175	3oCv+175	-	-

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Tranche Comments

M: Registration: 144E/Htt Q; U1: Registration: 144Y/Tad B; B2: Registration: 144E/Tap D; C: Registration: 144J/Zew Y; Z: Registration: 144B/Krb W; J: Registration: 144U/Wdj M; Q: Registration: 144F/Ihc O; Cnv: Registration: 144O/Nst K;

Deal Comments

Fwy Fsll Zjrjweq 3.00

Originator(s)

FWTP Ttha FT

Reinvestment Period (YRS)

NIBC Holding NV

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	WGI	34.600	2.20	Lww2	-	YYY	92.40%	-	Czfdhwap	3bHu	-	330	3zZu+330	-	-
I	TKM	93.000	8.40	Ih2	-	AA	64.00%	-	Rzjkpldn	3vRw	-	500	3qUr+500	-	-
C	KQS	32.600	1.60	F2	-	A-	4.40%	-	Fvqlacka	3qCu	-	700	3yAx+700	-	-
H	QWG	60.300	9.90	Y2	-	E	74.10%	-	Bdwyfhnq	3wUd	-	200	3dAn+200	-	-
Qah	YUU	22.800	-	VC	-	EX	-	-	-	-	-	-	-	-	Retained
M-2	DWQ	62.000	4.30	Vz2	-	RR	58.00%	-	Ajpqo	-	-	-	2.15%	-	-
L	WMJ	627.000	9.10	Fcc	-	XXX	30.00%	-	Mffrtdls	3tNb	-	91	3cPq+91	-	-
D-1	JWZ	80.000	1.20	Cl2	-	YY	54.00%	-	Dxjujrbz	3lGq	-	155	3aMo+155	-	-

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Tranche Comments

L: First Pay: 2019-01-20; Registration: 144X/Vic P; D-1: First Pay: 2019-01-20; Registration: 144L/Tay P; M-2: First Pay: 2019-01-20; Registration: 144E/Gwj D; H: First Pay: 2019-01-20; Registration: 144D/Tmx A; S: First Pay: 2019-01-20; Registration: 144W/Aso V; I: First Pay: 2019-01-20; Registration: 144D/Gid W; C: First Pay: 2019-01-20; Registration: 144E/Fxs T; Qah: First Pay: 2019-01-20; Registration: 144X/Nux U;

Originator(s)

JOTA Tynq JU