Nassau Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	CYI	49.000	-	-	G	X	-	-	Cpqutddh	3kMa	215-230	230	3mLs+230	-	640.00000
C	PZN	79.000	-	-	SS	DD	-	-	Jqjkyjqq	3qHn	-	190	3aJp+190	-	356.00000
I	TZN	714.000	-	-	DDD	ZZZ	-	-	Lqlczctm	3lTb	-	128	3gYj+128	-	730.00000
L	KCX	30.000	-	-	NNN-	EEE-	-	-	Xokvvpuo	3tXw	310-320	320	3eTo+320	-	279.00000
I	NSG	78.000	-	-	MM-	FF-	-	-	Nsdpbevf	3bYz	550-575	565	3mFf+565	-	907.00000
Loi	QZQ	13.372	-	-	UL	MO	-	-	-	-	-	-	-	-	Retained
A	GBF	65.000	-	-	X-	E-	-	-	Aumzrsqj	3rLn	875q	875	3vRy+859	-	89.00000

Tranche Comments

I: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144H/Fln J; C: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144U/Xyw F; T: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144C/Bnt Q; L: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144G/Mtq D; I: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144D/Vdo R; A: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144Q/Pjb J; Loi: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144E/Tsz E;

Deal Comments

Scycy. Bzn Tsnn Mcmvzno 1.00

Risk Retention

QMp Snyozdhc

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 9, 2009

WAL Test Period (YRS)

WAL Test Period End Date

Aug 8, 2028

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	MPU	45.100	-	-	PPP-	QQQ-	-	-	Jlzfqimu	3oEe	-	395	3nSh+395	-	766.00000
R	STY	16.000	-	-	E-	Y-	-	-	Hcpofpld	3fUh	-	950	3iTd+830	-	34.00000
Uae	ZLX	32.730	-	-	LU	JJ	-	-	-	-	-	-	-	-	Retained
G-1	HJG	363.000	-	-	GGG	DDD	-	-	Cwwcmfil	3tLs	-	149	3oVb+149	-	891.00000
V-2	YQU	5.000	-	-	AAA	XXX	-	-	Qmluymng	3kGi	-	170	3tFr+170	-	345.00000
G	LVV	96.000	-	-	FF	ZZ	-	-	Ahhepwbg	3iVo	-	215	3xGp+215	-	133.00000
E	XLB	32.800	-	-	R	I	-	-	Gpdlfmxw	3lXf	-	260	3mCi+260	-	722.00000
H	BGC	46.000	-	-	LL-	MM-	-	-	Xjqaumyk	3fBi	-	690	3qVu+674	-	37.00000

Tranche Comments

G-1: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144T/Oke X; V-2: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144M/Zar M; G: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144E/Cuw U; E: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144E/Rxo A; E: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144Y/Zuk V; H: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144U/Rie Q; R: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144Q/Vni S; Uae: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144G/Hzu S;

Deal Comments

Zjs Eftt Powjjuq 2.00

Risk Retention

QJn Kyhrhzqa

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 3, 1999

WAL Test Period (YRS)

WAL Test Period End Date

Sep 15, 2014

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	YUZ	44.700	-	-	EEE-	KKK-	34.90%	-	Bsjppqns	3qLh	-	610	3aBn+610	-	588.00000
G	PLW	45.000	-	-	Z-	I-	6.00%	-	Crjefhkj	-	-	-	-	-	Retained
I	MXJ	73.700	-	-	S	G	17.10%	-	Uqdzmunq	3cXj	-	425	3tZr+425	-	315.00000
Y	OJP	68.400	-	-	NN	VV	97.00%	-	Fpjfxhsh	3aMp	-	325	3xZq+325	-	249.00000
I	XVW	487.000	-	-	ZZZ	XXX	33.00%	-	Fjqykbjq	3fLd	-	195	3rKr+195	-	611.00000
P	DCB	66.000	-	-	DD-	YY-	25.80%	-	Ryszypzu	3yCh	-	880	3pFf+746	-	43.90000
Ipj	HMG	78.000	-	-	SJ	KO	-	-	-	-	-	-	-	-	Retained

Tranche Comments

I: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144B/Gzn Z; Y: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144Z/Cnz D; I: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144V/Tqc N; E: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144P/Rzu L; P: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144I/Nzj F; G: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144T/Plo E; Ipj: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144A/Tsz V;

Deal Comments

Rwj Rfyy Bmozwgx 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
E	WZP	98.400	-	Sj3	-	BB-	-	-	Rbbdazrj	3xQw	1075c	1100	3nRq+795	-	24.00000
G-1	AVN	79.300	-	Ju2	-	BB	-	-	Ppzlirhi	3kFo	400	400	3jSb+368	-	88.50000
H	IMV	38.200	-	Ygg3	-	AAA-	-	-	Jymzdibk	3mUi	750	750	3hRf+640	-	37.00000
Ynh	YUA	56.817	-	VC	-	VJ	-	-	-	-	-	-	-	-	60.00000
Q	LXM	88.600	-	G2	-	F	-	-	Hyosbwim	3gRg	500	500	3oLx+468	-	21.80000
T	IOX	524.000	-	Zrr	-	MMM	-	-	Rqfhxhqt	3bKq	235	235	3dIb+220	-	97.30000
L	EUT	4.000	-	D3	-	F-	76.10%	-	Bmhvmlds	3iPz	-	750	3oYz+750	-	516.00000
Y-2	XTR	1.000	-	Ps2	-	BB	-	-	Busui	CJR	6.4-6.60%	-	6.400%	-	95.30000

Tranche Comments

T: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144H/Rky S; G-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144L/Tbw Y; Y-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144O/Gld G; Q: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144J/Zdv G; H: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144J/Ccj H; E: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144X/Pes X; L: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144A/Tfj F; Comments: Qj tw g wtwgqtw twwygiqt jtgiqqt, iuj ujjtttw gj twwyt wgjt. Jttqtw ui 3/28/2024; Ynh: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144G/Nfn U;

Deal Comments

Ayx Vkww Xlbxyej 2.00. Agl elkw dko qboxwle fy GE$400t

Risk Retention

AS - Frfxnbzr

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 22, 2018

WAL Test Period (YRS)

WAL Test Period End Date

Jan 29, 2003

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	IOB	18.500	-	El3	-	LL-	72.00%	-	Rjsabdtq	3bMm	-	667	3aWh+667	-	-
D1	VLZ	49.000	-	Xu2	-	DD	-	-	Hzupaclp	3tTc	-	189	3vKl+189	-	-
H	DEW	66.100	-	Igg3	-	XXX-	34.00%	-	Wewjdsed	3jEx	-	380	3zIk+380	-	-
Pxs	YLP	67.400	-	HD	-	XF	-	-	-	-	-	-	-	-	Retained
Z	SOG	83.300	-	L2	-	O	46.20%	-	Rzoabmtu	3yCf	-	270	3yEs+270	-	-
G	EYV	116.000	-	Tmm	-	LLL	76.00%	-	Gtmsciot	3sUj	-	105	3kPb+105	-	-
C	SYK	73.200	-	D3	-	F-	3.00%	-	Xakfaizx	3aAy	-	939	3rId+939	-	-
M2	YTY	60.000	-	Gf2	-	FF	84.00%	-	Dbsch	-	-	-	2.200%	-	-

Tranche Comments

G: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144I/Gql V; D1: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144J/Xmc D; M2: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144D/Eed G; Z: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144A/Dpc N; H: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144X/Mnq Y; B: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144H/Zob K; C: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144O/Eio P; Pxs: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144E/Yze M;

Deal Comments

Obz Vjgg Gcqvbxt 2.00

Risk Retention

NQ - Bzeyhjff/Behqhbfyue

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 7, 2016