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
N	AQS	77.000	-	-	MMM-	HHH-	-	-	Kceubfkh	3bHy	-	310-320	320	3eYf+320	-	268.00000
Y	IJR	253.000	-	-	FFF	WWW	-	-	Bxbryxyx	3tRj	-	-	128	3zCk+128	-	762.00000
Ufx	NUU	40.223	-	-	QX	SJ	-	-	-	-	-	-	-	-	-	Retained
S	EGI	88.000	-	-	UU-	YY-	-	-	Vzwdlhed	3gVn	-	550-575	565	3cYl+565	-	112.00000
V	YIU	76.000	-	-	CC	BB	-	-	Bbrmdior	3gSc	-	-	190	3xVm+190	-	629.00000
E	OFO	45.000	-	-	X	W	-	-	Xvfwjuhr	3yIg	-	215-230	230	3nWf+230	-	759.00000
M	HOS	71.000	-	-	K-	T-	-	-	Hwyvxshn	3qBm	-	875z	875	3rCe+859	-	37.00000

Tranche Comments

Y: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144X/Tag E; V: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144D/Aph M; E: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144O/Tie K; N: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144V/Ipy X; S: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144T/Xaw Q; M: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144A/Ksz K; Ufx: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144O/Fcj M;

Deal Comments

Sgwgt. Gsc Kbzz Cgflsve 1.00

Risk Retention

JEh Jxsotiwq

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 22, 2016

WAL Test Period (YRS)

WAL Test Period End Date

Apr 11, 2029