Henley CLO DAC (HNLY) VI

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
AEUR232.0005.80-AAAAAA42.00%-Floating3mEu-1003mEu+100-100.00000
B1EUR29.0007.10-AAAA29.80%-Floating3mEu-1703mEu+170-100.00000
B2EUR20.0007.10-AAAA29.80%-FixedYLD--2.10%2.100%100.00000
CEUR33.0007.90-AA21.50%-Floating3mEu-2153mEu+215-100.00000
DEUR27.0008.50-BBB-BBB-14.80%-Floating3mEu-3153mEu+315-100.00000
EEUR20.0009.10-BB-BB-9.80%-Floating3mEu-6253mEu+611-99.00000
FEUR12.0009.60-B-B-6.80%-Floating3mEu-9253mEu+878-97.00000
EquityEUR32.850------------Retained
Tranche Comments
A: First Pay: 2022-07-25; Redemption: 2023-06-10; B1: First Pay: 2022-07-25; Redemption: 2023-06-10; B2: First Pay: 2022-07-25; Redemption: 2023-06-10; C: First Pay: 2022-07-25; Redemption: 2023-06-10; D: First Pay: 2022-07-25; Redemption: 2023-06-10; E: First Pay: 2022-07-25; Redemption: 2023-06-10; F: First Pay: 2022-07-25; Redemption: 2023-06-10; Equity: First Pay: 2022-07-25; Redemption: 2023-06-10;
Deal Comments
Non Call Period: 1.5
Risk Retention
EU/UK RR: Napier Park in its capacity as 3rd party originator will retain a vertical strip for the purposes of satisfying EU/UK Retention Requirements; US: Addressed via vertical strip (5% of every tranche)
Reinvestment Period (YRS)
4.5
Reinvestment Period End Date
Jun 10, 2026
WAL Test Period (YRS)
8.5