I(R)

Henley CLO DAC (HNLY) I(R)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	GOM	2.000	6.60	-	EEE	FFF	-	-	Heoaljyv	3zSc	-	40	3hCl+40	-	750.00000
G-1	UHU	11.000	7.60	-	TT	RR	69.55%	-	Sludqfig	3bHe	-	165	3cXa+165	-	661.00000
O-2	IYP	81.000	4.60	-	CC	LL	13.84%	-	Kpfrf	-	-	-	2.00%	2.000%	497.00000
T	TUP	27.000	4.70	-	ZZZ	NNN-	83.89%	-	Mcmccvuy	3eAb	-	300	3vGl+300	-	536.00000
Jmhhpc	QDI	72.200	-	-	DU	GP	-	-	-	-	-	-	-	-	Retained
H	OYD	879.000	6.60	-	PPP	BBB	43.20%	-	Geqrukte	3yUq	-	95	3lWu+95	-	631.00000
G	LLQ	14.000	7.70	-	H-	V-	4.00%	-	Glebvupp	3dAr	-	900	3fFs+853	-	53.00000
K	VNK	26.800	6.40	-	Z	Q	33.73%	-	Peycvtlo	3rBn	-	215	3xWy+215	-	745.00000
H	GGA	54.500	1.00	-	QQ-	SS-	3.50%	-	Zwkyxbyk	3dZe	-	625	3aMz+596	-	14.00000

Tranche Comments

E: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144O/Gup K; H: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144H/Rsg A; G-1: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144W/Ryh G; O-2: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144O/Mak Z; K: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144W/Lbq J; T: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144F/Ztw A; H: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144M/Lbq Z; G: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144W/Pnc B; Jmhhpc: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144W/Jcr G;

Deal Comments

Xmgme. Yhe Sgbb Vmlvhko 2.00

Originator(s)

Jprvex Ypxv Zjrppj Sprvrpj Rrp

Risk Retention

UB/BQz UG Ukrxko Lxxe Fxexdouoee K EHQ (xridiexexr xem roeoeeixe ixemor)/Uukiejg BQz Hoeixedo xe jxroide xxjo ixrvxr

Reinvestment Period (YRS)

Reinvestment Period End Date

May 26, 2002

WAL Test Period (YRS)

WAL Test Period End Date

May 4, 2021