Harvest CLO DAC (HARVT) XXVII

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
AEUR246.000-Aaa-AAA38.50%-Floating3mEu-1003mEu+100-100.00000
B1EUR28.100-Aa2-AA28.40%-Floating3mEu-1703mEu+170-100.00000
B2EUR12.500-Aa2-AA28.40%-FixedYLD--2.150%2.150%100.00000
CEUR26.000-A2-A21.90%-Floating3mEu-2153mEu+215-100.00000
DEUR26.400-Baa3-BBB15.30%-Floating3mEu-3403mEu+340-100.00000
EEUR23.000-Ba3-BB-9.50%-Floating3mEu-6403mEu+619-98.50000
FEUR11.000-B3-B-6.80%-Floating3mEu-9303mEu+885-97.00000
ZEUR0.250-NR-NR--------Retained
SubEUR36.050-NR-NR--------Retained
Tranche Comments
A: First Pay: 2022-07-15; Redemption: 2023-05-30; Registration: 144A/Reg S; B1: First Pay: 2022-07-15; Redemption: 2023-05-30; Registration: 144A/Reg S; B2: First Pay: 2022-07-15; Redemption: 2023-05-30; Registration: 144A/Reg S; C: First Pay: 2022-07-15; Redemption: 2023-05-30; Registration: 144A/Reg S; D: First Pay: 2022-07-15; Redemption: 2023-05-30; Registration: 144A/Reg S; E: First Pay: 2022-07-15; Redemption: 2023-05-30; Registration: 144A/Reg S; F: First Pay: 2022-07-15; Redemption: 2023-05-30; Registration: 144A/Reg S; Z: First Pay: 2022-07-15; Redemption: 2023-05-30; Registration: 144A/Reg S; Sub: First Pay: 2022-07-15; Redemption: 2023-05-30; Registration: 144A/Reg S;
Deal Comments
Non Call Period: 2.00
Originator(s)
Investcorp Credit Management (ICM)
Risk Retention
EU - Horizontal/Originator; US - Foreign Safe Harbour
Reinvestment Period (YRS)
5
Reinvestment Period End Date
Jul 15, 2026