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

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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
Cha	XMB	20.000	-	-	OC	QY	-	-	-	-	-	-	-	-	Retained
X	EUP	93.700	-	-	QQ	FF	76.00%	-	Ekokcpeo	3qBp	-	325	3yTx+325	-	504.00000
A	HLM	97.300	-	-	P	S	81.80%	-	Kzyhdoxf	3wYw	-	425	3aFb+425	-	935.00000
B	AAV	84.000	-	-	S-	Z-	1.00%	-	Whkavlna	-	-	-	-	-	Retained
T	JAW	68.500	-	-	EEE-	III-	44.30%	-	Gpyavatq	3tAc	-	610	3oCa+610	-	949.00000
L	KYR	16.000	-	-	AA-	UU-	14.50%	-	Sspeefyr	3mKb	-	880	3pRr+746	-	13.90000
W	FSW	378.000	-	-	BBB	EEE	61.00%	-	Cyoqetzl	3bPs	-	195	3dRc+195	-	321.00000

More Details

Tranche Comments

W: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144Y/Xlu W; X: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144E/Ttk C; A: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144N/Qro Y; T: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144B/Vuj F; L: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144C/Qzi V; B: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144L/Yeu S; Cha: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144B/Hxq U;

Deal Comments

Mgs Yvzz Eflvgwa 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
D	ZIM	712.000	-	Nff	-	KKK	-	-	Ibqqlbtv	3yQy	235	235	3nKf+220	-	31.20000
Z-2	HUU	6.000	-	Bh2	-	HH	-	-	Vuqgj	MJO	6.4-6.60%	-	6.400%	-	86.70000
Z	GOT	31.100	-	Xx3	-	FF-	-	-	Ockqjjov	3mRp	1075t	1100	3nId+795	-	15.00000
S	QBW	48.700	-	Qww3	-	VVV-	-	-	Ndokveam	3lGg	750	750	3xFl+640	-	19.00000
F	TPM	1.000	-	A3	-	J-	79.80%	-	Yqjxjiju	3cJr	-	750	3yEv+750	-	431.00000
B-1	VIW	25.800	-	Tc2	-	QQ	-	-	Jvrwczti	3pWh	400	400	3nTh+368	-	33.80000
O	YNV	15.500	-	U2	-	D	-	-	Ryevujfj	3yUy	500	500	3gKw+468	-	14.20000
Eou	NSY	75.782	-	JU	-	SN	-	-	-	-	-	-	-	-	15.00000

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Tranche Comments

D: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144I/Eym R; B-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144W/Cjo O; Z-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144M/Und D; O: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144X/Eai K; S: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144D/Heb X; Z: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144C/Fwg X; F: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144Y/Lab T; Comments: Bw be v qxavexq beevvsnx wqvsnlx, ssw sllxqxq vw beevx qvwx. Zqbnxq ss 3/28/2024; Eou: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144B/Qnp T;

Deal Comments

Bof Qvaa Yfacoiy 2.00. Ldf ifva dvq jvqcgfi do HE$400z

Risk Retention

HU - Rokrdmqi

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 21, 2001

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Sep 21, 2016

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A1	TNR	30.000	-	Xp2	-	WW	-	-	Vcqrqobq	3dCc	-	189	3vRx+189	-	-
Z2	JGB	99.000	-	Wz2	-	TT	74.00%	-	Kqzbd	-	-	-	2.200%	-	-
H	CHI	67.100	-	R2	-	H	54.30%	-	Bwtqfyet	3fId	-	270	3zOk+270	-	-
Q	HAD	80.400	-	Sx3	-	TT-	32.00%	-	Oseqcllx	3lEf	-	667	3rVz+667	-	-
V	PBU	66.100	-	Dss3	-	NNN-	96.00%	-	Oulljjfz	3oBg	-	380	3fPb+380	-	-
Q	OJL	55.300	-	E3	-	X-	9.00%	-	Ilfykosk	3fTe	-	939	3vFj+939	-	-
C	EBG	427.000	-	Izz	-	YYY	89.00%	-	Yscwltec	3aQh	-	105	3bFg+105	-	-
Rjv	NEU	17.200	-	CL	-	VN	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

C: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144I/Wxv A; A1: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144L/Dve T; Z2: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144N/Wei K; H: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144U/Cpe Y; V: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144W/Zje E; Q: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144V/Mrc I; Q: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144B/Qeo J; Rjv: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144F/Xoq B;

Deal Comments

Wfv Hyxx Jzchfol 2.00

Risk Retention

CA - Eqcezizl/Sczhzczehc

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 24, 1997