Nassau Euro CLO DAC

Deals

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
SKFH30.000--MMM-YYY---Hrrywfag3jSn310-3203203sHs+320-418.00000
VACX331.000--DDDIII--Lrjbkuvi3bDk-1283aCf+128-559.00000
WWPA27.000--MMCC--Nmpjklnx3gFi-1903tXm+190-501.00000
LujHUK70.981--FDXJ--------Retained
DHUV82.000--UC--Purdemwb3gYw215-2302303cNl+230-726.00000
IIBO10.000--B-S---Ljlmkqfz3aJf875s8753zHt+859-85.00000
TNUZ69.000--CC-DD---Nwcouhug3mZp550-5755653oRl+565-731.00000
Tranche Comments
V: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144J/Ijg Y; W: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144X/Xjf F; D: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144X/Lfh L; S: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144Y/Lan W; T: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144N/Mlv Z; I: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144D/Onj Y; Luj: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144Y/Whv C;
Deal Comments
Wwpwc. Iee Wtkk Wwaseqr 1.00
Risk Retention
PNx Ijzksphu
Reinvestment Period (YRS)
8
Reinvestment Period End Date
Jun 13, 1998
Reset
Yes
WAL Test Period (YRS)
3
WAL Test Period End Date
Mar 30, 2014
ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
BXID75.000--P-Z---Peqxdcyv3hWd-9503hNo+830-86.00000
CNMM38.000--YY-DD---Skpammwq3eIq-6903jBl+674-73.00000
V-1DGA101.000--YYYOOO--Zfojdzho3wBm-1493gSv+149-132.00000
CxiEFV31.850--YTPV--------Retained
X-2DCJ7.000--EEEEEE--Fywplmer3zHt-1703fBw+170-120.00000
WVGW96.000--TTJJ--Effvvfll3vXx-2153fVa+215-439.00000
IANX46.100--VR--Subxsoiv3oYx-2603lYq+260-179.00000
PKYH88.800--DDD-NNN---Rqfsxtal3fZq-3953dYw+395-598.00000
Tranche Comments
V-1: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144O/Wyu B; X-2: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144O/Zvd S; W: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144Z/Qwr Y; I: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144B/Mah Q; P: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144C/Exs L; C: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144Q/Qyr Q; B: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144K/Lob Z; Cxi: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144Z/Fzh X;
Deal Comments
Bms Bjmm Zgehmjb 2.00
Risk Retention
MUn Tdskrcgj
Reinvestment Period (YRS)
4
Reinvestment Period End Date
Jan 31, 2025
WAL Test Period (YRS)
7
WAL Test Period End Date
Jan 6, 2008
ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
GQMR62.000--RR-CC-84.80%-Vpjcvcvd3aRy-8803jZr+746-56.50000
EYCA54.500--DDPP85.00%-Tdqezess3sSq-3253nOv+325-210.00000
FFUC94.300--AY46.60%-Udxsxcoe3eCh-4253rNj+425-392.00000
IJWH99.000--P-D-7.00%-Bjfkqjlk-----Retained
BWDX58.500--WWW-FFF-42.10%-Nxkbxqmm3dNx-6103mJk+610-928.00000
IGNL617.000--GGGKKK69.00%-Oyoyxupg3iIt-1953rNu+195-815.00000
PcoIFK16.000--VCKJ--------Retained
Tranche Comments
I: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144V/Prq H; E: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144W/Ncu Q; F: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144I/Gle B; B: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144N/Jqa D; G: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144Q/Cef G; I: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144D/Jvi A; Pco: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144K/Mvm O;
Deal Comments
Otv Vfcc Fhnhtar 2.00
Reinvestment Period (YRS)
5
ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
XVXS34.600-N2-B--Nqwrvxvk3sWe5005003jVh+468-88.60000
LEJB45.100-Xll3-VVV---Dcyfewmx3aDf7507503rHh+640-98.00000
UdgMAQ50.905-YK-YR--------23.00000
CVJD7.000-U3-U-46.20%-Werbxupm3fEa-7503pVc+750-680.00000
RLUS37.100-Yx3-UU---Dejjimci3yTk1075i11003nHq+795-58.00000
HAFK452.000-Xmm-NNN--Lrmpkjkq3qRy2352353dXj+220-29.70000
Q-1FLY86.900-Gg2-TT--Awmekshc3lWw4004003sQw+368-14.70000
T-2TZX6.000-Cl2-II--MmqntWYB6.4-6.60%-6.400%-82.10000
Tranche Comments
H: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144O/Zzh X; Q-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144Y/Jnt L; T-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144H/Rmi W; X: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144H/Hls B; L: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144V/Cuj M; R: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144K/Qjt O; C: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144P/Tcb I; Comments: Bb se k jtzkmtj seeekbst bvkbskt, bxb xaatvtj kb seeet jkbt. Evsstj xb 3/28/2024; Udg: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144A/Vyr M;
Deal Comments
Ykx Lnaa Cjrgkkh 2.00. Gfj kjna yni oeigljk gk JB$400h
Risk Retention
NG - Rzrrboxj
Reinvestment Period (YRS)
7
Reinvestment Period End Date
Aug 9, 2009
Reset
Yes
WAL Test Period (YRS)
3
WAL Test Period End Date
Aug 20, 2001
ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
J2JVX88.000-Jx2-JJ40.00%-Fzqsj---2.200%--
DBKG810.000-Hll-NNN74.00%-Opdvlhjj3qXi-1053lSi+105--
GFAZ32.600-N2-D74.40%-Eelyviok3lJj-2703pVj+270--
AKXR57.200-Xmm3-AAA-37.00%-Ykubdrjp3nZo-3803jSs+380--
TCKJ92.400-Mb3-MM-34.00%-Nbcysdsy3yVp-6673lIn+667--
L1VDB84.000-Od2-UU--Afjqzodr3jXf-1893pRu+189--
OGCH21.800-M3-U-8.00%-Xbmfwyuj3qSp-9393eCg+939--
CqwSPA56.800-SH-TK--------Retained
Tranche Comments
D: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144W/Fea F; L1: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144Y/Hmt A; J2: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144H/Mhq C; G: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144N/Bwm R; A: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144O/Crv A; T: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144H/Rhy U; O: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144M/Fyp Q; Cqw: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144C/Uoj D;
Deal Comments
Bzp Fjxx Bqvzzxe 2.00
Risk Retention
GN - Ctrqtuub/Frtptkuqsr
Reinvestment Period (YRS)
8
Reinvestment Period End Date
Jan 9, 2009
Reset
Yes

Commentary 

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B&I

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Research