Henley CLO DAC (HNLY) I(R)

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
XEUR1.0000.90-AAAAAA--Floating3mEu-403mEu+40-100.00000
AEUR238.0005.60-AAAAAA40.50%-Floating3mEu-953mEu+95-100.00000
B-1EUR29.0007.30-AAAA28.25%-Floating3mEu-1653mEu+165-100.00000
B-2EUR20.0007.30-AAAA28.25%-Fixed---2.00%2.000%100.00000
CEUR24.5007.90-AA22.13%-Floating3mEu-2153mEu+215-100.00000
DEUR24.0008.40-BBBBBB-16.13%-Floating3mEu-3003mEu+300-100.00000
EEUR25.5009.00-BB-BB-9.75%-Floating3mEu-6253mEu+596-98.00000
FEUR11.0009.50-B-B-7.00%-Floating3mEu-9003mEu+853-97.00000
EquityEUR34.200--NRNR--------Retained
Tranche Comments
X: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144A/Reg S; A: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144A/Reg S; B-1: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144A/Reg S; B-2: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144A/Reg S; C: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144A/Reg S; D: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144A/Reg S; E: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144A/Reg S; F: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144A/Reg S; Equity: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144A/Reg S;
Deal Comments
Reset. Non Call Period: 2.00
Originator(s)
Napier Park Global Capital Ltd
Risk Retention
EU/UK: NP Europe Loan Management I DAC (originator and retention holder)/Equity; US: Reliance on foreign safe harbor
Reinvestment Period (YRS)
5
Reinvestment Period End Date
Jan 25, 2026
Reset
Yes
WAL Test Period (YRS)
9
WAL Test Period End Date
Jan 25, 2030