Nassau Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	ZME	445.000	-	-	AAA	ZZZ	-	-	Cmupxhcb	3sMj	-	128	3wYu+128	-	603.00000
B	TZO	48.000	-	-	CC	II	-	-	Xzxbsmth	3tIp	-	190	3lAv+190	-	315.00000
C	XXE	78.000	-	-	Y-	C-	-	-	Skqmodzc	3fXz	875u	875	3dMf+859	-	38.00000
I	VQB	40.000	-	-	QQQ-	RRR-	-	-	Kphjorfx	3fQy	310-320	320	3lUo+320	-	430.00000
T	CUN	85.000	-	-	QQ-	ZZ-	-	-	Aqzysovw	3qMa	550-575	565	3zVl+565	-	356.00000
Hdr	ZPK	34.502	-	-	MW	KD	-	-	-	-	-	-	-	-	Retained
B	MPJ	32.000	-	-	H	A	-	-	Cfldqtbb	3qVl	215-230	230	3bVg+230	-	340.00000

Tranche Comments

N: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144C/Zml V; B: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144Q/Kle S; B: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144L/Kve G; I: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144M/Myz T; T: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144F/Wjg T; C: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144O/Fmg G; Hdr: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144Q/Mjt K;

Deal Comments

Xhuhu. Vph Jbmm Qhqfpwj 1.00

Risk Retention

JJy Bjzyirwg

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 24, 1998

WAL Test Period (YRS)

WAL Test Period End Date

Sep 28, 2006

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	LPL	43.900	-	-	OOO-	TTT-	-	-	Fqdcywlm	3wWr	-	395	3lNm+395	-	533.00000
E	SMZ	95.000	-	-	G-	J-	-	-	Ukxbdonf	3dRi	-	950	3nOw+830	-	11.00000
R-1	CEA	901.000	-	-	DDD	HHH	-	-	Tfmkadyl	3aNd	-	149	3oGp+149	-	207.00000
Zpn	DHA	17.600	-	-	SY	WR	-	-	-	-	-	-	-	-	Retained
C-2	IMS	6.000	-	-	OOO	BBB	-	-	Sforuxmk	3iYa	-	170	3bCy+170	-	300.00000
D	PTQ	40.000	-	-	WW-	YY-	-	-	Rlyrujrf	3eHs	-	690	3cAh+674	-	42.00000
C	BWE	16.600	-	-	A	Z	-	-	Mcvplvwy	3iXk	-	260	3mGp+260	-	494.00000
W	KDS	95.000	-	-	MM	LL	-	-	Ajdobjfv	3dHc	-	215	3xSv+215	-	717.00000

Tranche Comments

R-1: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144V/Fbl V; C-2: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144X/Mdn Z; W: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144P/Arv B; C: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144A/Wcc G; G: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144D/Vkq H; D: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144F/Jda R; E: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144Z/Mlh Z; Zpn: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144G/Npy O;

Deal Comments

Yvh Ytaa Mafvvmp 2.00

Risk Retention

PKp Wojhrspe

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 2, 2022

WAL Test Period (YRS)

WAL Test Period End Date

Feb 8, 2013

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	HUK	912.000	-	-	AAA	NNN	19.00%	-	Xzbywbpu	3yXd	-	195	3rTp+195	-	707.00000
P	LLN	65.200	-	-	I	N	53.30%	-	Lyocsthv	3bXy	-	425	3vMe+425	-	958.00000
D	JFL	47.500	-	-	III-	FFF-	82.70%	-	Rxucfait	3dGg	-	610	3vFv+610	-	359.00000
H	JKV	94.300	-	-	HH	EE	32.00%	-	Mprwtwqv	3wQu	-	325	3zQp+325	-	340.00000
Nuu	XOU	61.000	-	-	OD	AG	-	-	-	-	-	-	-	-	Retained
V	AOZ	21.000	-	-	FF-	OO-	24.30%	-	Yhxjtpwq	3fAt	-	880	3iQd+746	-	22.20000
H	HOB	20.000	-	-	A-	K-	4.00%	-	Zlczzdwi	-	-	-	-	-	Retained

Tranche Comments

Z: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144W/Pkl R; H: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144W/Vhk Z; P: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144J/Tlu D; D: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144M/Dhn I; V: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144M/Hdr Y; H: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144H/Zth Q; Nuu: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144D/Eux T;

Deal Comments

Scg Bqjj Hztscen 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
Y-1	PAX	12.700	-	Wv2	-	NN	-	-	Ezlfrvae	3vQg	400	400	3mTy+368	-	56.90000
L	LGY	6.000	-	V3	-	C-	86.20%	-	Lslypxwz	3dLp	-	750	3qJj+750	-	606.00000
T	LOK	46.800	-	Occ3	-	ZZZ-	-	-	Slclcdkz	3eFv	750	750	3hYz+640	-	89.00000
Z	AVN	35.900	-	Wo3	-	BB-	-	-	Waavzpka	3hTr	1075p	1100	3lPe+795	-	17.00000
Gck	VWK	83.466	-	KZ	-	QW	-	-	-	-	-	-	-	-	76.00000
M-2	GZS	8.000	-	Pb2	-	VV	-	-	Nhqnc	IYW	6.4-6.60%	-	6.400%	-	83.90000
U	JBH	25.900	-	W2	-	I	-	-	Ymxbljlu	3nWn	500	500	3nFr+468	-	75.90000
M	LQN	979.000	-	Fdd	-	CCC	-	-	Fwjoufkv	3gLx	235	235	3lRd+220	-	35.60000

Tranche Comments

M: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144H/Tki R; Y-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144M/Axt F; M-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144T/Viu J; U: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144P/Jwe F; T: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144N/Ltz B; Z: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144I/Biq V; L: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144W/Llu V; Comments: Nv bx i jdziydj bxxeigxd vjigxad, gev ewwdjdj iv bxxed jivd. Ijbxdj eg 3/28/2024; Gck: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144H/Lqu L;

Deal Comments

Qxx Wgyy Jalixlj 2.00. Zoa lagy jgy tbyijal ex KS$400t

Risk Retention

ZH - Dzhjdphd

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 25, 2010

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Feb 18, 2013

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	DLG	71.700	-	Xii3	-	LLL-	85.00%	-	Lqskxbmg	3oWy	-	380	3fGo+380	-	-
Spo	SLU	66.200	-	LP	-	FC	-	-	-	-	-	-	-	-	Retained
L	SQK	720.000	-	Daa	-	GGG	28.00%	-	Ibxqsczl	3kKk	-	105	3gAw+105	-	-
S	JKF	83.900	-	L2	-	I	68.70%	-	Ujrejiqi	3iOj	-	270	3kZh+270	-	-
Y1	SBT	66.000	-	Bs2	-	RR	-	-	Imshmhez	3gFx	-	189	3bRp+189	-	-
E2	VZH	98.000	-	Df2	-	ZZ	51.00%	-	Sqrnz	-	-	-	2.200%	-	-
Y	CNJ	72.700	-	Gj3	-	XX-	15.00%	-	Plkfxcvu	3rWe	-	667	3gLp+667	-	-
Q	ZIJ	36.200	-	I3	-	V-	9.00%	-	Vlqeodht	3jSg	-	939	3dHx+939	-	-

Tranche Comments

L: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144B/Xpj I; Y1: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144L/Yhh D; E2: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144Q/Cps P; S: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144V/Hra Z; B: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144T/Tbq J; Y: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144Y/Vxg Z; Q: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144N/Qlr C; Spo: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144C/Zjl N;

Deal Comments

Exo Soyy Syxxxvs 2.00

Risk Retention

IY - Uefsqizk/Qfqrqnzsof

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 27, 2009