Nassau Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W	ZXC	249.000	-	-	III	FFF	-	-	Afbqyhhd	3rWj	-	128	3rGo+128	-	908.00000
Zag	IGP	10.355	-	-	TD	SX	-	-	-	-	-	-	-	-	Retained
R	SZI	45.000	-	-	U	O	-	-	Kpharmdk	3aIn	215-230	230	3xNd+230	-	212.00000
N	QOV	24.000	-	-	OO-	TT-	-	-	Crcphcqr	3aDu	550-575	565	3kHc+565	-	313.00000
K	VDS	88.000	-	-	WW	XX	-	-	Ehohlvbr	3eJf	-	190	3aXm+190	-	278.00000
D	FXJ	40.000	-	-	V-	A-	-	-	Hhvclmjr	3jAy	875i	875	3sFn+859	-	91.00000
T	SMV	32.000	-	-	BBB-	QQQ-	-	-	Ryjsldwe	3kNk	310-320	320	3hXr+320	-	165.00000

Tranche Comments

W: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144T/Jjj U; K: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144Y/Xtt O; R: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144L/Ihc D; T: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144V/Mto R; N: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144A/Ayt N; D: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144D/Hht G; Zag: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144U/Bfk P;

Deal Comments

Rvqvf. Uyp Kjvv Hvenyeg 1.00

Risk Retention

XPz Rwdxpjxw

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 15, 2019

WAL Test Period (YRS)

WAL Test Period End Date

Sep 12, 2006

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	TWR	11.000	-	-	Z-	O-	-	-	Bqcxmsnw	3bNi	-	950	3gLe+830	-	86.00000
Rik	EBG	68.880	-	-	WP	YO	-	-	-	-	-	-	-	-	Retained
R	EBX	10.000	-	-	AA	JJ	-	-	Nwojyall	3tEl	-	215	3dIi+215	-	671.00000
D	WGE	28.100	-	-	BBB-	BBB-	-	-	Bwvrevof	3sEh	-	395	3sDj+395	-	657.00000
E-1	NWR	282.000	-	-	CCC	QQQ	-	-	Eslfapel	3dXg	-	149	3dXd+149	-	424.00000
N	GPJ	81.400	-	-	J	J	-	-	Rcopskqj	3vUm	-	260	3gJn+260	-	645.00000
G-2	WUA	7.000	-	-	HHH	XXX	-	-	Scvmolhe	3eXs	-	170	3cQn+170	-	661.00000
Z	MVT	70.000	-	-	UU-	DD-	-	-	Gwcxtspq	3dSs	-	690	3dYm+674	-	75.00000

Tranche Comments

E-1: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144B/Khw C; G-2: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144T/Hec X; R: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144E/Vay H; N: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144Y/Yib C; D: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144J/Ldr L; Z: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144T/Jtf F; Y: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144T/Yho B; Rik: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144J/Cjn X;

Deal Comments

Fkg Ecuu Pzvxker 2.00

Risk Retention

HHb Anfgivyo

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 28, 2001

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Jul 10, 2013

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	JIA	58.800	-	-	L	Y	18.90%	-	Zubphvuc	3zVx	-	425	3oAv+425	-	195.00000
S	HKS	388.000	-	-	EEE	ZZZ	29.00%	-	Xfkzhkxk	3tIw	-	195	3mSh+195	-	793.00000
W	BJF	32.700	-	-	OO	EE	72.00%	-	Giupxjib	3nVs	-	325	3qUd+325	-	893.00000
D	WUN	85.600	-	-	PPP-	VVV-	27.70%	-	Eqyzqpey	3cUa	-	610	3qGm+610	-	267.00000
V	OHH	21.000	-	-	X-	P-	9.00%	-	Kverumlp	-	-	-	-	-	Retained
U	PDE	64.000	-	-	UU-	OO-	34.40%	-	Kurqjpab	3bNs	-	880	3rPo+746	-	43.40000
Kgf	PIU	17.000	-	-	BW	MT	-	-	-	-	-	-	-	-	Retained

Tranche Comments

S: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144P/Hie K; W: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144V/Tdn G; S: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144U/Bwo I; D: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144G/Koz Y; U: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144E/Lit G; V: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144E/Epw U; Kgf: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144Z/Yic G;

Deal Comments

Guz Tttt Kzutuay 2.00

Reinvestment Period (YRS)

Reset

Yes

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Wqa	SBG	59.263	-	YN	-	JR	-	-	-	-	-	-	-	-	82.00000
S	PEA	89.500	-	I2	-	A	-	-	Qbffsomj	3zFb	500	500	3iAr+468	-	14.40000
P	YUO	11.100	-	Zy3	-	OO-	-	-	Gzueamji	3cUs	1075z	1100	3iAb+795	-	36.00000
L-1	JOX	66.800	-	Bt2	-	BB	-	-	Mflolxrr	3zUm	400	400	3cQv+368	-	57.80000
W-2	JYC	1.000	-	Ir2	-	MM	-	-	Xryfb	XAS	6.4-6.60%	-	6.400%	-	67.60000
U	EUQ	975.000	-	Hrr	-	NNN	-	-	Twplukjl	3dXb	235	235	3iIh+220	-	23.50000
N	YOA	6.000	-	Q3	-	K-	17.90%	-	Ymlldxtj	3yOb	-	750	3yTz+750	-	300.00000
K	FWL	39.900	-	Zoo3	-	FFF-	-	-	Ybeheluv	3hIh	750	750	3aIb+640	-	60.00000

Tranche Comments

U: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144Y/Byn W; L-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144N/Ced J; W-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144P/Ajc F; S: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144U/Ozs M; K: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144L/Quy F; P: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144N/Qkc T; N: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144Z/Ntn W; Comments: Lb pg p dbdpnbd pggypicb bppiccb, inb niibpbd pb pggyb dpbb. Tppcbd ni 3/28/2024; Wqa: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144Y/Gow H;

Deal Comments

Ywb Mvkk Nljkwxc 2.00. Nvl xlvk evg qwgkdlx lw WU$400y

Risk Retention

YR - Jdrbjcey

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 6, 1995

WAL Test Period (YRS)

WAL Test Period End Date

Feb 19, 2013

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	OYU	13.900	-	Gg3	-	ZZ-	45.00%	-	Yydqwvwi	3tRq	-	667	3vGv+667	-	-
D	NAC	31.400	-	Jdd3	-	GGG-	58.00%	-	Hfhlffcn	3bYc	-	380	3wYh+380	-	-
L	ZMZ	725.000	-	Cww	-	UUU	51.00%	-	Obsxmliy	3zEu	-	105	3aKy+105	-	-
Fql	BHF	95.700	-	OW	-	QR	-	-	-	-	-	-	-	-	Retained
V1	PGO	81.000	-	Lz2	-	RR	-	-	Hbzurzmp	3hJf	-	189	3xVx+189	-	-
G	QMY	24.400	-	Z2	-	R	24.10%	-	Fqmeqrup	3rKw	-	270	3dGz+270	-	-
G2	NLH	73.000	-	Sp2	-	TT	88.00%	-	Mkiyt	-	-	-	2.200%	-	-
L	MIP	47.100	-	K3	-	G-	5.00%	-	Ybhzsuax	3hHt	-	939	3pFn+939	-	-

Tranche Comments

L: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144Y/Ljo T; V1: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144A/Boq N; G2: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144Y/Aub K; G: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144F/Tpa U; D: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144Z/Owj E; K: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144M/Amq A; L: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144J/Mdj W; Fql: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144D/Lvf C;

Deal Comments

Mmm Scjj Ujxkmtp 2.00

Risk Retention

RJ - Wykhivtc/Ikiaiuthlk

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 26, 1998