Henley CLO DAC (HNLY) IV

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
AEUR248.000--AAAAAA38.00%-Floating3mL-903mL+90-100.00000
B1EUR13.000--AAAA--Floating3mL-1353mL+135-100.00000
B2EUR20.000--AAAA29.80%-Fixed---1.650%1.650%100.00000
CEUR27.600--AA22.90%-Floating3mL-2103mL+210-100.00000
DEUR23.800--BBBBBB-16.90%-Floating3mL-3003mL+300-100.00000
EEUR27.600--BB-BB-10.00%-Floating3mL-5603mL+525-97.50000
FEUR12.000--B-B-7.00%-Floating3mL-8203mL+746-95.00000
SubEUR35.075--NRNR--------Retained
Tranche Comments
A: First Pay: 2021-10-25; Redemption: 2022-10-25; B1: First Pay: 2021-10-25; Redemption: 2022-10-25; B2: First Pay: 2021-10-25; Redemption: 2022-10-25; C: First Pay: 2021-10-25; Redemption: 2022-10-25; D: First Pay: 2021-10-25; Redemption: 2022-10-25; E: First Pay: 2021-10-25; Redemption: 2022-10-25; F: First Pay: 2021-10-25; Redemption: 2022-10-25; Sub: First Pay: 2021-10-25; Redemption: 2022-10-25;
Deal Comments
Non Call Period: 1.00
Risk Retention
Horizontal/Originator
Reinvestment Period (YRS)
4
Reinvestment Period End Date
Jul 25, 2025