Henley CLO DAC (HNLY) VI

Napier Park Global Capital

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	232.000	5.80	-	AAA	AAA	42.00%	-	Floating	3mEu	-	100	3mEu+100	-	100.00000
B1	EUR	29.000	7.10	-	AA	AA	29.80%	-	Floating	3mEu	-	170	3mEu+170	-	100.00000
B2	EUR	20.000	7.10	-	AA	AA	29.80%	-	Fixed	YLD	-	-	2.10%	2.100%	100.00000
C	EUR	33.000	7.90	-	A	A	21.50%	-	Floating	3mEu	-	215	3mEu+215	-	100.00000
D	EUR	27.000	8.50	-	BBB-	BBB-	14.80%	-	Floating	3mEu	-	315	3mEu+315	-	100.00000
E	EUR	20.000	9.10	-	BB-	BB-	9.80%	-	Floating	3mEu	-	625	3mEu+611	-	99.00000
F	EUR	12.000	9.60	-	B-	B-	6.80%	-	Floating	3mEu	-	925	3mEu+878	-	97.00000
Equity	EUR	32.850	-	-	-	-	-	-	-	-	-	-	-	-	Retained

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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

COMPANY

FINSIGHT.COM