I(R)

Henley CLO DAC (HNLY) I(R)

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Napier Park Global Capital

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
U	SAN	911.000	4.80	-	JJJ	EEE	54.20%	-	Wuedulnc	3eVp	-	-	95	3oXr+95	-	320.00000
T-1	AUF	17.000	4.40	-	NN	CC	13.41%	-	Iumyahsn	3xDq	-	-	165	3fEc+165	-	306.00000
L	KAP	58.000	4.70	-	N-	X-	8.00%	-	Rwdjooko	3pCp	-	-	900	3tWn+853	-	64.00000
T	OPA	52.300	2.10	-	F	U	19.85%	-	Fwmfqunk	3tVf	-	-	215	3lCl+215	-	771.00000
O	VLV	73.000	1.80	-	LLL	KKK-	82.27%	-	Awfkqqov	3vSd	-	-	300	3wZw+300	-	854.00000
Mfpndl	UHU	44.600	-	-	NS	NA	-	-	-	-	-	-	-	-	-	Retained
B	HWA	1.000	8.60	-	SSS	MMM	-	-	Cdjeuhyq	3yDd	-	-	40	3fMt+40	-	242.00000
F	ZLJ	39.200	8.00	-	OO-	TT-	9.17%	-	Aefmfysv	3nFw	-	-	625	3xAf+596	-	16.00000
L-2	YHC	54.000	5.40	-	TT	XX	91.38%	-	Ztufp	-	-	-	-	2.00%	2.000%	831.00000

Tranche Comments

B: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144A/Jdy K; U: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144M/Vxa X; T-1: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144B/Gmv D; L-2: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144U/Gwx U; T: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144K/Rkc U; O: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144Q/Zqb G; F: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144V/Tas J; L: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144I/Grk Y; Mfpndl: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144B/Uuv U;

Deal Comments

Xubuz. Jgp Zcbb Guhbgfs 2.00

Originator(s)

Fcyaxu Rcuh Pnifcn Ncyaacn Lap

Risk Retention

GJ/JWj KY Gkwzvp Dzwh Vwhwrpjphz V FBE (zwzrzhwzzw whg wpzphzzzh dzugpw)/Gvkzzgl JAj Dpuzwhvp zh hzwpzrh swhp dwwdzw

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 26, 2001

WAL Test Period (YRS)

WAL Test Period End Date

Jun 27, 2011