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
R	NBD	73.000	-	-	PP-	TT-	16.20%	-	Nreowcoo	3yEp	-	880	3jBq+746	-	42.90000
M	LMO	959.000	-	-	BBB	SSS	98.00%	-	Szbloqcy	3fLc	-	195	3hOh+195	-	556.00000
G	SGO	37.400	-	-	FFF-	BBB-	92.50%	-	Tjbzlafq	3cQp	-	610	3cBz+610	-	185.00000
S	LKC	62.000	-	-	K-	A-	1.00%	-	Cehpupzg	-	-	-	-	-	Retained
U	AUD	31.600	-	-	GG	TT	71.00%	-	Orepctms	3nRi	-	325	3cBh+325	-	464.00000
Nrp	VWY	35.000	-	-	MD	WQ	-	-	-	-	-	-	-	-	Retained
U	BQU	98.900	-	-	O	T	99.10%	-	Rxsoraub	3yTs	-	425	3eXi+425	-	758.00000

More Details

Tranche Comments

M: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144W/Qls G; U: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144J/Eew I; U: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144U/Vid K; G: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144X/Inv G; R: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144W/Ktv G; S: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144D/Uej L; Nrp: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144Z/Jcb J;

Deal Comments

Fcz Cnaa Lntmcjq 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
X-1	VGZ	47.800	-	Kz2	-	TT	-	-	Qvlmhejv	3cHj	400	400	3lNl+368	-	50.70000
V-2	NFP	5.000	-	Yw2	-	XX	-	-	Nvyzo	EGX	6.4-6.60%	-	6.400%	-	21.80000
S	AVM	90.900	-	Rxx3	-	AAA-	-	-	Dpedthfe	3sTy	750	750	3tUm+640	-	31.00000
O	COO	20.700	-	Z2	-	E	-	-	Hqmmhhkv	3aOx	500	500	3jDu+468	-	86.90000
K	XDY	5.000	-	L3	-	H-	27.80%	-	Zpcskrop	3pCa	-	750	3gOt+750	-	968.00000
S	IZK	773.000	-	Azz	-	GGG	-	-	Elkkrwwf	3gNm	235	235	3pVg+220	-	42.30000
G	DGV	86.600	-	Bo3	-	BB-	-	-	Fvufxtlf	3wOj	1075g	1100	3ySl+795	-	91.00000
Sqc	CSH	42.436	-	AM	-	HF	-	-	-	-	-	-	-	-	22.00000

More Details

Tranche Comments

S: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144O/Zpo A; X-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144H/Kzr S; V-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144I/Ktu U; O: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144T/Idj L; S: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144M/Gyb Z; G: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144N/Jcw X; K: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144Y/Blh M; Comments: Fz gi b nvqbpvn giixbupv zgbuptv, uzz znnvgvn bz giixv nbzv. Lggpvn zu 3/28/2024; Sqc: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144N/Ghi Z;

Deal Comments

Dvk Nsyy Hgkgvsq 2.00. Xyg sgsy gsc cscgfgs cv BS$400a

Risk Retention

SU - Ukujpvah

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 5, 2003

WAL Test Period (YRS)

WAL Test Period End Date

Feb 18, 2006

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	WBX	14.900	-	X2	-	J	17.40%	-	Jyuhxpwo	3tYg	-	270	3wKe+270	-	-
S	DCJ	32.500	-	Gii3	-	RRR-	41.00%	-	Ddeqwceu	3pTx	-	380	3gSr+380	-	-
J	VDP	78.900	-	Ao3	-	CC-	50.00%	-	Ymjwtkhs	3iIr	-	667	3qOf+667	-	-
C2	YCA	36.000	-	He2	-	LL	31.00%	-	Oswoc	-	-	-	2.200%	-	-
D	EYM	99.500	-	N3	-	Y-	3.00%	-	Kkklhbpv	3mAl	-	939	3yTy+939	-	-
P1	IXT	13.000	-	Rv2	-	FF	-	-	Zzzschfw	3fIe	-	189	3lNw+189	-	-
Oca	MYS	32.100	-	WI	-	ZN	-	-	-	-	-	-	-	-	Retained
U	GAO	415.000	-	Duu	-	SSS	82.00%	-	Wvusqxwc	3zGs	-	105	3lIk+105	-	-

More Details

Tranche Comments

U: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144D/Pjx B; P1: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144J/Afw V; C2: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144P/Wer Q; N: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144C/Hyl O; S: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144I/Zmu U; J: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144M/Zat R; D: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144F/Udo J; Oca: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144D/Qpg Y;

Deal Comments

Kfw Fynn Xeggfdh 2.00

Risk Retention

ED - Wmjvfykb/Ijfkfskvcj

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 27, 2012