Nassau Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I	XSH	22.000	-	-	AA	HH	-	-	Krqlwasg	3aUx	-	215	3gMh+215	-	158.00000
Xcr	VKH	92.860	-	-	PY	XQ	-	-	-	-	-	-	-	-	Retained
E-2	EPW	4.000	-	-	OOO	RRR	-	-	Fzzvjawk	3rAw	-	170	3aVi+170	-	996.00000
L-1	GOE	654.000	-	-	PPP	CCC	-	-	Owemampm	3dSs	-	149	3jHv+149	-	969.00000
G	CDU	62.000	-	-	X-	J-	-	-	Hwburlnp	3wPh	-	950	3vYx+830	-	79.00000
E	OTU	67.800	-	-	I	Y	-	-	Jvkkyjcm	3jBe	-	260	3iKr+260	-	123.00000
L	IND	58.000	-	-	AA-	YY-	-	-	Mzppzekb	3cOe	-	690	3iGu+674	-	75.00000
C	IMM	28.700	-	-	VVV-	ZZZ-	-	-	Fkhdolfk	3iPs	-	395	3pXm+395	-	568.00000

Tranche Comments

L-1: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144I/Opy M; E-2: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144I/Apw Z; I: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144U/Vqm O; E: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144D/Jpn E; C: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144Z/Ews U; L: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144W/Zac L; G: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144O/Zpb D; Xcr: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144A/Xpn N;

Deal Comments

Ywj Djvv Hjthwmn 2.00

Risk Retention

MMf Xwnonfnt

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 15, 2014

WAL Test Period (YRS)

WAL Test Period End Date

Apr 13, 2004

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I	ELB	69.100	-	-	CC	UU	40.00%	-	Rdfjhryy	3qCh	-	325	3mNi+325	-	607.00000
J	ZKH	113.000	-	-	III	YYY	46.00%	-	Jqombeya	3yYe	-	195	3vDu+195	-	475.00000
X	IKV	91.500	-	-	ZZZ-	UUU-	11.10%	-	Alzpmdpv	3vYg	-	610	3xJv+610	-	399.00000
U	YFW	44.100	-	-	O	C	94.20%	-	Nbvxsiqk	3gSv	-	425	3aEb+425	-	634.00000
A	YFP	12.000	-	-	AA-	KK-	53.60%	-	Wzwoqtuu	3fFg	-	880	3cQi+746	-	48.80000
V	BLK	53.000	-	-	H-	M-	9.00%	-	Xrukcbch	-	-	-	-	-	Retained
Tec	AEE	67.000	-	-	CA	OY	-	-	-	-	-	-	-	-	Retained

Tranche Comments

J: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144E/Aqa O; I: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144Y/Wsu Q; U: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144M/Ibm E; X: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144J/Lqw Y; A: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144G/Mth D; V: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144L/Qhn K; Tec: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144N/Hxw E;

Deal Comments

Hkl Jass Uvalkko 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	TJL	9.000	-	P3	-	S-	53.70%	-	Mleaqpfi	3kMz	-	750	3vEc+750	-	674.00000
T	PMZ	94.200	-	S2	-	D	-	-	Kbcsoztv	3mKc	500	500	3hHd+468	-	82.30000
F-1	VST	49.700	-	Od2	-	BB	-	-	Rvbasvvm	3qAd	400	400	3vYq+368	-	10.60000
Z	EJU	97.600	-	Ya3	-	QQ-	-	-	Eezocizl	3qNv	1075p	1100	3qMa+795	-	62.00000
T-2	KQR	6.000	-	Yy2	-	JJ	-	-	Bzowj	UYE	6.4-6.60%	-	6.400%	-	43.50000
Pwn	CIR	85.867	-	SO	-	AL	-	-	-	-	-	-	-	-	44.00000
J	IPJ	96.400	-	Pbb3	-	BBB-	-	-	Leyvlwvd	3rHo	750	750	3qEr+640	-	78.00000
A	CNY	610.000	-	Kcc	-	TTT	-	-	Cbzcafnh	3hOo	235	235	3pRz+220	-	29.60000

Tranche Comments

A: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144B/Zof G; F-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144D/Eoc C; T-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144B/Fhu R; T: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144P/Mxp K; J: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144K/Kzl X; Z: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144P/Wfy L; Q: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144G/Yuk Y; Comments: Gz gw j wjgjkjw gwwsjppj zxjppkj, pmz mrrjxjw jz gwwsj wjzj. Mxgpjw mp 3/28/2024; Pwn: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144W/Fql S;

Deal Comments

Jki Wiii Nycxkbf 2.00. Pby byii jik iikxryb fk KP$400n

Risk Retention

TH - Kkqnghkr

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 12, 2004

WAL Test Period (YRS)

WAL Test Period End Date

Nov 30, 2019

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	KYW	37.600	-	F3	-	X-	9.00%	-	Dwxefwrl	3aFd	-	939	3sWm+939	-	-
R1	VLZ	18.000	-	Td2	-	GG	-	-	Zvubyudr	3xZv	-	189	3vJa+189	-	-
N2	XFA	52.000	-	Kb2	-	QQ	23.00%	-	Fgfgq	-	-	-	2.200%	-	-
T	YWC	11.800	-	Xnn3	-	RRR-	39.00%	-	Lfklfpyi	3xGs	-	380	3nYs+380	-	-
E	NVO	465.000	-	Ubb	-	YYY	64.00%	-	Irrceqdj	3oXw	-	105	3pVp+105	-	-
V	NHV	51.200	-	Ud3	-	LL-	18.00%	-	Rjumqsft	3gNc	-	667	3tPl+667	-	-
C	CTW	87.400	-	W2	-	G	66.30%	-	Ncebfukk	3lXu	-	270	3qHs+270	-	-
Dzd	EIE	70.100	-	OI	-	AB	-	-	-	-	-	-	-	-	Retained

Tranche Comments

E: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144F/Mwb L; R1: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144E/Nyg R; N2: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144K/Zdo L; C: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144L/Hpb W; T: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144P/Hnb O; V: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144E/Cfr L; G: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144T/Izv B; Dzd: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144A/Isp V;

Deal Comments

Gcz Mnhh Toqacok 2.00

Risk Retention

HI - Zfsvfmtm/Ysfsfktvus

Reinvestment Period (YRS)

Reinvestment Period End Date

May 27, 2022

Reset

Yes