Nassau Euro CLO DAC

Deals

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Nassau Re

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
Y	DLP	193.000	-	-	QQQ	RRR	-	-	Auedcwsj	3hUb	-	-	128	3nOy+128	-	707.00000
B	PIQ	91.000	-	-	BB	TT	-	-	Dsyfvfwz	3yLa	-	-	190	3jYi+190	-	173.00000
O	SGQ	93.000	-	-	V-	W-	-	-	Tlpjlkqv	3rAa	-	875g	875	3xKn+859	-	58.00000
S	HSP	64.000	-	-	KK-	KK-	-	-	Jyqlrkmu	3iHf	-	550-575	565	3qOn+565	-	645.00000
Yxq	TDS	56.930	-	-	IP	PA	-	-	-	-	-	-	-	-	-	Retained
B	ZTM	73.000	-	-	Q	K	-	-	Ycprklhn	3aYf	-	215-230	230	3hMa+230	-	228.00000
U	JQG	75.000	-	-	KKK-	CCC-	-	-	Ifjqyfko	3rAc	-	310-320	320	3nZz+320	-	945.00000

Tranche Comments

Y: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144Z/Qqv W; B: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144P/Ble E; B: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144C/Lsg N; U: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144Z/Jhc A; S: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144C/Yws P; O: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144A/Dui G; Yxq: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144I/Mpm R;

Deal Comments

Evvvb. Dgv Uphh Wvlegeo 1.00

Risk Retention

QNf Kgehthqr

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 12, 2007

WAL Test Period (YRS)

WAL Test Period End Date

Dec 22, 2010