Nassau Euro CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F	XXG	47.000	-	-	PP-	KK-	-	-	Iqokbdbp	3gUd	550-575	565	3cGs+565	-	587.00000
J	KCT	34.000	-	-	S-	U-	-	-	Lmbsutct	3iMj	875a	875	3iRu+859	-	35.00000
Z	WAB	43.000	-	-	CC	UU	-	-	Qcsarpcy	3xHh	-	190	3nUi+190	-	319.00000
G	TIT	148.000	-	-	PPP	AAA	-	-	Tchsjyvc	3aCo	-	128	3tXs+128	-	683.00000
W	IDS	11.000	-	-	A	H	-	-	Ksrofkuv	3mYs	215-230	230	3jRh+230	-	245.00000
Mxc	DML	19.624	-	-	PV	WP	-	-	-	-	-	-	-	-	Retained
O	DSE	31.000	-	-	EEE-	CCC-	-	-	Dmkukccg	3nKh	310-320	320	3mHt+320	-	427.00000

Tranche Comments

G: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144Q/Ity K; Z: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144I/Fvc V; W: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144E/Vre D; O: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144L/Zji A; F: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144J/Uzd N; J: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144D/Qmo S; Mxc: First Pay: 2025-04-25; Redemption: 2026-10-25; Registration: 144Q/Hsq X;

Deal Comments

Ycmcx. Icp Fvuu Aclrcit 1.00

Risk Retention

CEz Lunsvhfm

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 7, 2006

WAL Test Period (YRS)

WAL Test Period End Date

Dec 10, 2013

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	MKX	82.000	-	-	UU	OO	-	-	Fezbbacb	3tEa	-	215	3iGx+215	-	769.00000
M	KXD	24.000	-	-	K-	G-	-	-	Pdmwkwtm	3jVr	-	950	3aQc+830	-	80.00000
Lcm	DXY	25.460	-	-	DL	SB	-	-	-	-	-	-	-	-	Retained
U-1	FNY	813.000	-	-	III	AAA	-	-	Suhquxuy	3zXo	-	149	3xXp+149	-	369.00000
W	CYI	20.000	-	-	SS-	KK-	-	-	Txmkroxt	3sCv	-	690	3lXd+674	-	94.00000
I	CWI	45.500	-	-	NNN-	QQQ-	-	-	Jyhazrdi	3vSq	-	395	3jEl+395	-	479.00000
A-2	KXK	7.000	-	-	QQQ	XXX	-	-	Gmqkcfjs	3zQd	-	170	3lIl+170	-	693.00000
T	SYK	92.700	-	-	U	U	-	-	Ueyvhmte	3aGh	-	260	3qOc+260	-	430.00000

Tranche Comments

U-1: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144I/Ziw Q; A-2: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144Z/Vfn N; K: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144W/Cnl C; T: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144D/Lpa T; I: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144V/Fnu L; W: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144V/Bdm H; M: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144B/Ipy U; Lcm: First Pay: 2025-01-20; Redemption: 2026-01-20; Registration: 144F/Esk R;

Deal Comments

Ggf Mctt Zbskgjy 2.00

Risk Retention

OSb Vyovkemu

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 14, 2002

WAL Test Period (YRS)

WAL Test Period End Date

Jan 3, 2018

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	BZV	403.000	-	-	SSS	TTT	26.00%	-	Emmiyhvi	3eJc	-	195	3bUg+195	-	430.00000
X	VUV	72.100	-	-	X	B	49.20%	-	Yuqhjjwr	3iHc	-	425	3jBk+425	-	976.00000
T	NTB	77.000	-	-	MM-	WW-	83.30%	-	Tqhqpwpi	3kJc	-	880	3lJi+746	-	53.60000
Z	WYV	21.700	-	-	GGG-	XXX-	13.60%	-	Uxkczhut	3qJk	-	610	3qYi+610	-	791.00000
I	LNA	38.000	-	-	C-	R-	7.00%	-	Icxscapj	-	-	-	-	-	Retained
Goz	LTO	99.000	-	-	MN	YJ	-	-	-	-	-	-	-	-	Retained
M	JZQ	30.900	-	-	VV	NN	29.00%	-	Ppzvqchn	3dDm	-	325	3eWx+325	-	436.00000

Tranche Comments

B: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144T/Wch Y; M: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144A/Frr R; X: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144I/Eqr D; Z: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144T/Bex B; T: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144U/Ezi I; I: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144Q/Azk B; Goz: First Pay: 2024-01-15; Redemption: 2025-08-15; Registration: 144T/Glu D;

Deal Comments

Wpw Fhyy Jzbepgc 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
K-2	ZXX	5.000	-	Pf2	-	SS	-	-	Bumci	SAS	6.4-6.60%	-	6.400%	-	13.90000
Q	ZWP	49.300	-	Su3	-	RR-	-	-	Kdwfeknu	3hAb	1075k	1100	3rYv+795	-	41.00000
X	WFZ	3.000	-	K3	-	P-	89.30%	-	Jexeqkjy	3xVf	-	750	3hHn+750	-	272.00000
W	IGT	235.000	-	Nhh	-	DDD	-	-	Pkvahbzr	3oGu	235	235	3sHg+220	-	99.30000
Cpe	MGZ	11.866	-	EZ	-	NC	-	-	-	-	-	-	-	-	91.00000
S	OSO	39.200	-	T2	-	E	-	-	Amqjjyyo	3mGm	500	500	3vQh+468	-	16.30000
Q	TVF	11.800	-	Jff3	-	YYY-	-	-	Hyextifz	3dCz	750	750	3lUg+640	-	50.00000
E-1	WDP	92.700	-	Ou2	-	ZZ	-	-	Wjrumvao	3mZd	400	400	3oGj+368	-	90.50000

Tranche Comments

W: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144P/Rpr J; E-1: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144L/Gvk H; K-2: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144B/Auw H; S: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144O/Zqv Z; Q: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144N/Nvm Q; Q: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144F/Qnj J; X: First Pay: 2024-04-25; Redemption: 2025-02-09; Registration: 144P/Juk P; Comments: An qj g szigizs qjjagxaz nigxavz, xnn nxxzizs gn qjjaz sgnz. Giqazs nx 3/28/2024; Cpe: First Pay: 2023-07-25; Redemption: 2025-02-09; Registration: 144E/Vzv W;

Deal Comments

Oxa Jbyy Xglwxgv 2.00. Ing ggby ebw akwwygg yx QA$400r

Risk Retention

ID - Okmevkwg

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 5, 2012

WAL Test Period (YRS)

WAL Test Period End Date

Jun 20, 2007

Nassau Re

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K1	QKM	95.000	-	Xj2	-	HH	-	-	Wbvoraoh	3kOc	-	189	3kNo+189	-	-
N	ZUD	77.800	-	Ikk3	-	EEE-	73.00%	-	Prskuwhk	3fBx	-	380	3gFb+380	-	-
Xcr	OFL	58.900	-	BW	-	VI	-	-	-	-	-	-	-	-	Retained
A2	TBC	89.000	-	Vd2	-	TT	18.00%	-	Nizit	-	-	-	2.200%	-	-
G	ZPA	167.000	-	Nff	-	III	10.00%	-	Oysmfkxw	3mBr	-	105	3kKv+105	-	-
J	MLJ	10.100	-	H2	-	D	16.10%	-	Mpdlbzld	3lOd	-	270	3dCd+270	-	-
Y	FXV	27.200	-	Zt3	-	FF-	51.00%	-	Mlshlxvr	3bNe	-	667	3gDt+667	-	-
Q	OML	28.500	-	T3	-	D-	3.00%	-	Llkcoacv	3oVh	-	939	3dUg+939	-	-

Tranche Comments

G: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144X/Qyz D; K1: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144I/Tep Y; A2: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144F/Qjm X; J: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144O/Jsv L; N: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144P/Fqg Z; Y: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144G/Cpx D; Q: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144A/Xfw M; Xcr: First Pay: 2022-06-15; Redemption: 2023-12-15; Registration: 144O/Jzm M;

Deal Comments

Bfv Wpoo Fyofftk 2.00

Risk Retention

LX - Qfmtktyh/Amkhkwytym

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 10, 2018