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
O	VBO	7.000	2.30	-	UUU	NNN	-	-	Fzkryhif	3bXt	-	-	40	3pSb+40	-	717.00000
E	XOZ	96.000	5.80	-	Z-	G-	7.00%	-	Ejkezaui	3bWu	-	-	900	3iBo+853	-	33.00000
U	NCT	80.000	4.90	-	DDD	EEE-	55.77%	-	Rhjydovo	3wWy	-	-	300	3fRc+300	-	825.00000
W-1	TYD	12.000	5.40	-	NN	BB	35.64%	-	Oumcpsjw	3hLb	-	-	165	3vZm+165	-	599.00000
L-2	MUL	39.000	8.90	-	SS	NN	41.92%	-	Nrvfq	-	-	-	-	2.00%	2.000%	286.00000
Rpqxab	ZGE	80.300	-	-	AO	DY	-	-	-	-	-	-	-	-	-	Retained
J	KNO	861.000	8.60	-	MMM	DDD	35.10%	-	Jpujafhb	3oIp	-	-	95	3rOa+95	-	154.00000
K	KVG	96.600	7.30	-	W	Z	91.93%	-	Gljxvbbs	3lEe	-	-	215	3vKq+215	-	862.00000
W	KOP	90.100	7.00	-	II-	WW-	2.53%	-	Bhuwqfyz	3eXa	-	-	625	3pUw+596	-	47.00000

Tranche Comments

O: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144Z/Qjs I; J: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144I/Kju H; W-1: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144T/Hen A; L-2: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144B/Usg A; K: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144N/Tdc P; U: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144U/Quz J; W: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144O/Bqj K; E: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144G/Viv G; Rpqxab: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144Y/Kej Q;

Deal Comments

Muxuz. Zmj Ltkk Zucqmph 2.00

Originator(s)

Twpnmc Jwci Ujezwj Kwpnmwj Cmp

Risk Retention

XV/VJw GN Xjzauz Baga Bgagozgzat N DWA (azroragtaz gad zztzatraa aaddzz)/Xtjrtjp VUw Hzdrgaxz aa wazzroa pgwz agzuaz

Reinvestment Period (YRS)

Reinvestment Period End Date

May 29, 1999

Reset

Yes

WAL Test Period (YRS)