XII

Henley CLO DAC (HNLY) XII

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
Q	FQZ	68.000	-	-	W	X	82.00%	-	Jhjozoyb	3iXd	220d	-	220	3sJj+220	-	154.00000
O-1	VLF	895.000	-	-	PPP	PPP	56.00%	-	Xqpbmqha	3eLw	-	-	128	3oYr+128	-	884.00000
Vhv	QTV	78.300	-	-	EV	WI	-	-	-	-	-	-	-	-	-	Retained
R-2	CGE	9.000	-	-	QQQ	HHH	57.10%	-	Olvevjla	3xBv	-	-	170	3zPs+170	-	306.00000
G	ZEU	22.000	-	-	BBB-	CCC-	44.00%	-	Fxuduyhx	3fRp	310w	-	310	3nCg+310	-	996.00000
Y	BKP	48.000	-	-	FF	BB	97.20%	-	Zxlampaw	3qJf	190-195	-	200	3iWp+200	-	561.00000
O	VWL	75.000	-	-	M-	U-	1.90%	-	Ncbzroqj	3pKd	925v	-	-	3eZn+860	-	-
Q	GXQ	69.000	-	-	DD-	CC-	8.20%	-	Bydewqzs	3zMu	600p	-	590	3lAr+590	-	702.00000

Tranche Comments

O-1: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144I/Axt W; R-2: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144Z/Aqh F; Y: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144K/Wcd W; Q: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144F/Rxf T; G: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144Z/Ouk K; Q: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144A/Aov K; O: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144Y/Zoi Q; Vhv: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144Z/Nfe W;

Deal Comments

Abx-Ovss Xtfxbzn 1.75

Risk Retention

PP - Qqqhtyde

Reinvestment Period (YRS)

7.66

Reinvestment Period End Date

Apr 23, 2006