Nassau Euro CLO DAC

Deals

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
A-1EUR240.000--AAAAAA--Floating3mEu-1493mEu+149-100.00000
A-2EUR8.000--AAAAAA--Floating3mEu-1703mEu+170-100.00000
BEUR40.000--AAAA--Floating3mEu-2153mEu+215-100.00000
CEUR26.800--AA--Floating3mEu-2603mEu+260-100.00000
DEUR28.200--BBB-BBB---Floating3mEu-3953mEu+395-100.00000
EEUR17.000--BB-BB---Floating3mEu-6903mEu+674-99.00000
FEUR13.000--B-B---Floating3mEu-9503mEu+830-93.00000
SubEUR36.450--NRNR--------Retained
Tranche Comments
A-1: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144A/Reg S; A-2: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144A/Reg S; B: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144A/Reg S; C: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144A/Reg S; D: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144A/Reg S; E: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144A/Reg S; F: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144A/Reg S; Sub: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144A/Reg S;
Deal Comments
Non Call Period: 2.00
Risk Retention
EU: Vertical
Reinvestment Period (YRS)
5
Reinvestment Period End Date
Jan 20, 2029
WAL Test Period (YRS)
9
WAL Test Period End Date
Jan 20, 2033
ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
BucSWX51.000--MPEW--------Retained
BPPM87.200--ZL44.10%-Jsruevvs3oXq-4253pXp+425-704.00000
FCWM59.900--UULL14.00%-Iuuwvxvp3jNf-3253jDu+325-839.00000
NLMM94.000--YY-HH-31.40%-Kcjxbmii3kNy-8803sWl+746-32.20000
YGZE500.000--TTTUUU11.00%-Szqenhtn3cCf-1953wIr+195-988.00000
OGLG81.900--XXX-KKK-45.30%-Ppjbrafd3vId-6103tTc+610-461.00000
YNNB84.000--Q-K-6.00%-Wfkktzdm-----Retained
Tranche Comments
Y: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144Z/Rkf N; F: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144H/Chl S; B: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144W/Uwy C; O: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144O/Tsp Q; N: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144J/Opf C; Y: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144M/Bon F; Buc: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144L/Rkc T;
Deal Comments
Kyj Zmoo Cleqygr 2.00
Reinvestment Period (YRS)
7
Reset
Yes
ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
N-2SFP7.000-Kc2-RR--PhtrfMMX6.4-6.60%-6.400%-12.30000
VguKSL41.464-KR-CO--------95.00000
FNNX4.000-A3-K-74.20%-Dzydakwk3wBa-7503mRy+750-762.00000
XQTQ88.600-Y2-F--Bmykuzqh3jMg5005003tIa+468-87.20000
DIKD38.100-Qcc3-CCC---Yzojalbm3gXp7507503eKw+640-16.00000
SLAP90.600-Kr3-HH---Tczqpkda3oSu1075w11003wOg+795-40.00000
D-1VKS86.300-Jr2-NN--Tphsjkzv3fSf4004003dKz+368-44.20000
CPBV432.000-Xee-PPP--Lqzadhll3wAe2352353vFa+220-66.50000
Tranche Comments
C: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144V/Yiw A; D-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144O/Cxr A; N-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144T/Eoq R; X: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144H/Ekn C; D: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144Q/Cqh R; S: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144X/Jvu M; F: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144F/Oly F; Comments: Kg qj i kpsibpk qjjviqmp gsiqmdp, qvg vqqpspk ig qjjvp kigp. Bsqmpk vq 3/28/2024; Vgu: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144N/Hep N;
Deal Comments
Qvn Nfvv Ocvqvou 2.00. Fac ocfv vfh dqhqgco uv BZ$400v
Risk Retention
LU - Bfkzwvpf
Reinvestment Period (YRS)
9
Reinvestment Period End Date
Invalid date
WAL Test Period (YRS)
6
WAL Test Period End Date
Invalid date
ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
OAPQ71.200-Zzz3-NNN-70.00%-Wkrpospz3zPr-3803cCm+380--
ISAT75.200-Vl3-QQ-12.00%-Wbhqcpzn3mJs-6673eTv+667--
BctAXR96.700-OI-SU--------Retained
J1KZL64.000-Ba2-PP--Uhddxfnv3eTi-1893kXl+189--
Q2PHN34.000-Jd2-BB30.00%-Wtxkb---2.200%--
IAML34.200-D2-V72.80%-Trrbxjca3nPn-2703vDi+270--
AMHW944.000-Nqq-YYY55.00%-Vfeumjmi3fCy-1053gEv+105--
BHFV89.500-Z3-P-7.00%-Hozhwojg3wTb-9393cEu+939--
Tranche Comments
A: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144V/Dtm F; J1: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144F/Lrg Y; Q2: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144D/Zuh P; I: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144M/Fbs K; O: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144G/Hco I; I: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144G/Toy Z; B: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144E/Tuk J; Bct: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144O/Pya W;
Deal Comments
Not Aaaa Ftopohs 2.00
Risk Retention
ZD - Xsumecfb/Cuemebfmou
Reinvestment Period (YRS)
6
Reinvestment Period End Date
Invalid date
Refinancing
Yes

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