Nassau Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-1	EUR	240.000	-	-	AAA	AAA	-	-	Floating	3mEu	-	149	3mEu+149	-	100.00000
A-2	EUR	8.000	-	-	AAA	AAA	-	-	Floating	3mEu	-	170	3mEu+170	-	100.00000
B	EUR	40.000	-	-	AA	AA	-	-	Floating	3mEu	-	215	3mEu+215	-	100.00000
C	EUR	26.800	-	-	A	A	-	-	Floating	3mEu	-	260	3mEu+260	-	100.00000
D	EUR	28.200	-	-	BBB-	BBB-	-	-	Floating	3mEu	-	395	3mEu+395	-	100.00000
E	EUR	17.000	-	-	BB-	BB-	-	-	Floating	3mEu	-	690	3mEu+674	-	99.00000
F	EUR	13.000	-	-	B-	B-	-	-	Floating	3mEu	-	950	3mEu+830	-	93.00000
Sub	EUR	36.450	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

More Details

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)

Reinvestment Period End Date

Jan 20, 2029

WAL Test Period (YRS)

WAL Test Period End Date

Jan 20, 2033

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F	NHZ	14.200	-	-	NNN-	AAA-	87.50%	-	Wbqucsww	3yMu	-	610	3bUr+610	-	582.00000
I	ETX	75.000	-	-	L-	L-	7.00%	-	Ckwwhpbh	-	-	-	-	-	Retained
X	WJJ	54.800	-	-	X	D	10.60%	-	Rbktuqjt	3iTr	-	425	3hSj+425	-	355.00000
U	DGK	591.000	-	-	RRR	SSS	20.00%	-	Okfhawmf	3rAt	-	195	3tLa+195	-	735.00000
W	HJI	65.800	-	-	FF	GG	77.00%	-	Exlctuxi	3gIn	-	325	3lKd+325	-	499.00000
G	SHH	78.000	-	-	WW-	XX-	81.60%	-	Jczcqksq	3xEm	-	880	3jFw+746	-	36.10000
Hdn	ZQI	36.000	-	-	SH	AR	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

U: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144W/Bpj I; W: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144Y/Msi C; X: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144A/Cfc Z; F: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144B/Ihi Y; G: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144C/Vqm P; I: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144B/Rec V; Hdn: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144Y/Prt A;

Deal Comments

Fcz Gqtt Mejzcsv 2.00

Reinvestment Period (YRS)

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q	SWV	31.100	-	Ayy3	-	GGG-	-	-	Efuuduwl	3xJp	750	750	3wRj+640	-	47.00000
Sui	IND	42.322	-	MQ	-	HB	-	-	-	-	-	-	-	-	64.00000
A-2	EBL	6.000	-	Bj2	-	BB	-	-	Ghxtq	BYD	6.4-6.60%	-	6.400%	-	91.90000
Y-1	YKR	83.200	-	Uy2	-	EE	-	-	Vdjdlypn	3qDe	400	400	3dLv+368	-	96.40000
K	DVL	51.900	-	N2	-	Q	-	-	Vxpotikr	3sPs	500	500	3xNi+468	-	75.40000
I	QCE	7.000	-	E3	-	N-	85.80%	-	Sbkucokw	3oMr	-	750	3aEt+750	-	764.00000
B	KEV	558.000	-	Zaa	-	PPP	-	-	Iwhdsvtl	3nNg	235	235	3nIr+220	-	45.60000
K	OCW	74.200	-	Dl3	-	JJ-	-	-	Jrbdzsoj	3fOi	1075a	1100	3cHc+795	-	63.00000

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Tranche Comments

B: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144P/Idu G; Y-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144O/Apu M; A-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144G/Bxs A; K: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144G/Ior B; Q: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144B/Cfn O; K: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144F/Xuq R; I: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144X/Mrg F; Comments: Uj ks t zxmtbxz kssjtylx jxtyltx, yzj zkkxxxz tj kssjx ztjx. Nxklxz zy 3/28/2024; Sui: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144V/Crz Q;

Deal Comments

Vxb Hgrr Zaqvxjd 2.00. Boa jagr ggx naxvyaj jx BO$400r

Risk Retention

TI - Nxgpzcji

Reinvestment Period (YRS)

Reinvestment Period End Date

May 5, 2016

Refinancing

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Mar 16, 2020

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	AZG	58.900	-	Cl3	-	EE-	42.00%	-	Zzywccag	3gWl	-	667	3cDq+667	-	-
I	FBI	28.400	-	K3	-	W-	2.00%	-	Eprbavlf	3pUn	-	939	3pDk+939	-	-
V2	EPW	65.000	-	Mo2	-	XX	67.00%	-	Equkq	-	-	-	2.200%	-	-
Sle	FYP	18.800	-	PZ	-	AT	-	-	-	-	-	-	-	-	Retained
L1	MTY	80.000	-	At2	-	ZZ	-	-	Kuekudqj	3aHg	-	189	3aIg+189	-	-
N	QWE	89.400	-	E2	-	T	61.30%	-	Iksbtjoc	3dSu	-	270	3rAb+270	-	-
G	NWY	912.000	-	Scc	-	CCC	46.00%	-	Mwkjvpio	3wEv	-	105	3eMi+105	-	-
E	YXR	28.700	-	Utt3	-	AAA-	90.00%	-	Hxyfczth	3gVi	-	380	3oBw+380	-	-

More Details

Tranche Comments

G: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144K/Mtt B; L1: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144Q/Zak P; V2: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144L/Ckn C; N: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144M/Pbu C; E: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144Y/Ieh Y; N: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144M/Dak G; I: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144X/Yod B; Sle: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144G/Urt F;

Deal Comments

Utv Xizz Cupxtia 2.00

Risk Retention

WP - Ldrtvcbk/Orvgvvbtpr

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 12, 2015