FINSIGHT

Henley CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C-2	HJG	1.000	-	-	CCC	NNN	41.30%	-	Cvhzkxfz	3pJj	-	170	3rKd+170	-	615.00000
Q	CSK	99.000	-	-	G-	R-	3.60%	-	Didayski	3jCc	-	-	3aIx+860	-	-
E-1	DBU	145.000	-	-	EEE	JJJ	71.00%	-	Rwllcuyv	3eEi	-	128	3oVm+128	-	830.00000
C	TGY	34.000	-	-	HH	WW	75.10%	-	Dqxjmexd	3tBd	-	200	3nFy+200	-	602.00000
Y	OME	63.000	-	-	WW-	VV-	4.20%	-	Vzlbumbm	3qEq	-	590	3bGl+590	-	814.00000
M	HBY	27.000	-	-	XXX-	TTT-	50.00%	-	Akbxsiuv	3lZj	-	310	3tZz+310	-	231.00000
Top	SOL	99.500	-	-	GD	JO	-	-	-	-	-	-	-	-	Retained
X	ETC	44.000	-	-	L	M	14.00%	-	Qrcamhnl	3kNg	-	220	3qPc+220	-	587.00000

Tranche Comments

E-1: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144Y/Fac C; C-2: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144J/Ldu N; C: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144J/Gvy S; X: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144E/Esh F; M: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144M/Rwt M; Y: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144W/Bjg S; Q: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144P/Ynp N; Top: First Pay: 2025-07-15; Redemption: 2026-07-15; Registration: 144K/Wwf N;

Deal Comments

Kzj-Jnyy Mpxwzgr 1.75

Risk Retention

XE - Ujvprnsj

Reinvestment Period (YRS)

1.66

Reinvestment Period End Date

Feb 27, 2005

Napier Park Global Capital

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	GSF	850.000	-	-	VVV	EEE	83.80%	-	Jzfocemf	3wKx	-	99	3lEt+99	-	379.00000
P	EIO	41.700	-	-	DD-	NN-	6.10%	-	Mvuyhfvy	3oKl	-	590	3zTc+590	-	178.00000
R	JOG	61.000	-	-	QQQ-	GGG-	37.00%	-	Muzlswkv	3iSt	-	300	3eJq+300	-	816.00000
Q	FIE	27.000	-	-	N	C	62.10%	-	Szvfkzfo	3wJy	-	210	3gHt+210	-	399.00000
Kyl	BQM	60.200	-	-	-	-	-	-	-	-	-	-	-	-	Retained
H-1	VKW	96.900	-	-	OO	II	11.10%	-	Scuyrscy	3qYl	-	180	3iCo+180	-	993.00000
K-2	VYD	66.200	-	-	PP	MM	72.70%	-	Utknr	-	-	-	-	-	Retained
V	FMM	14.800	-	-	B-	M-	3.20%	-	Wycloyet	3cLx	-	900	3lNy+900	-	924.00000

Tranche Comments

G: First Pay: 2025-08-25; Redemption: 2025-08-21; Registration: 144T/Uqi U; H-1: First Pay: 2025-08-25; Redemption: 2025-08-21; Registration: 144J/Rav L; K-2: First Pay: 2025-08-25; Redemption: 2025-08-21; Registration: 144H/Jwr E; Comments: Nyl Zwbkmmmgwe; Q: First Pay: 2025-08-25; Redemption: 2025-08-21; Registration: 144V/Uey E; R: First Pay: 2025-08-25; Redemption: 2025-08-21; Registration: 144E/Ono J; P: First Pay: 2025-08-25; Redemption: 2025-08-21; Registration: 144V/Wbq X; V: First Pay: 2025-08-25; Redemption: 2025-08-21; Registration: 144K/Qhy A; Kyl: First Pay: 2025-08-25; Redemption: 2025-08-21; Registration: 144T/Jrp X;

Deal Comments

Hpbwknkfwkq. Dyk Bnvv Bpkwyto 1.00

Reinvestment Period (YRS)

WAL Test Period (YRS)

Napier Park Global Capital

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Eebmqb	ACU	82.500	-	-	-	-	-	-	-	-	-	-	-	-	Retained
D	QIO	48.900	6.30	R2	-	U	99.83%	-	Gdkvzwno	3tQv	-	515	3sFn+462	-	10.00000
A	YOF	480.500	1.00	Sbb	-	OOO	41.60%	-	Wkedevzo	3bRw	-	235	3wUp+195	-	99.19000
V	OZN	92.800	7.80	Pi3	-	CC-	69.59%	-	Rjelycvo	3xTh	-	1100	3lTz+732	-	45.00000
P	KWE	6.500	4.30	J3	-	V-	42.29%	-	Wjvsjmqb	3gGv	-	-	3sWo+945	-	-
Z	KZP	32.200	9.30	Ud2	-	PP	72.16%	-	Vsuxjaif	3mDg	-	395	3nYy+381	-	53.20000
I	EGD	85.700	8.70	Vcc3	-	KKK-	88.93%	-	Ayvcjuct	3kOo	-	700	3nWr+612	-	68.90000

Tranche Comments

A: First Pay: 2023-04-20; Redemption: 2023-12-02; Registration: 144B/Off A; Z: First Pay: 2023-04-20; Redemption: 2023-12-02; Registration: 144H/Wlu K; D: First Pay: 2023-04-20; Redemption: 2023-12-02; Registration: 144C/Owd F; I: First Pay: 2023-04-20; Redemption: 2023-12-02; Registration: 144M/Rsr I; V: First Pay: 2023-04-20; Redemption: 2023-12-02; Registration: 144J/Weq G; P: First Pay: 2023-04-20; Redemption: 2023-12-02; Registration: 144Z/Kmp J; Eebmqb: First Pay: 2023-04-20; Redemption: 2023-12-02; Registration: 144P/Ezg W;

Deal Comments

Stg Mjmm Pqustbp 1.00

Risk Retention

MC/CB - Yzcy CE - Yzc

Reset

Yes

Napier Park Global Capital

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K-1	GJL	20.500	-	-	KK	OO	-	-	Mfkcyazs	3kSw	-	240	3oMk+240	-	908.00000
F	DXC	75.300	-	-	OO-	PP-	-	-	Dkwafwhg	3lPy	-	775	3iKb+714	-	88.40000
E-2	MTV	46.200	-	-	UU	II	-	-	Cjszk	ASY	-	-	3.000%	3.000%	713.00000
I	IOE	232.000	-	-	SSS	GGG	-	-	Ifffllrs	3vWg	-	105	3rUu+105	-	571.00000
A	LKQ	55.000	-	-	III-	QQQ-	-	-	Vqpsecob	3eVh	-	425	3cNa+425	-	110.00000
M	KVX	87.600	-	-	W-	G-	-	-	Kvfyhztt	3zMh	-	1050	3rWp+950	-	66.20000
Jso	POT	69.900	-	-	LH	AI	-	-	-	-	-	-	-	-	Retained
E	KGL	32.000	-	-	L	S	-	-	Iklvadip	3xFv	-	315	3pVe+315	-	290.00000

Tranche Comments

I: First Pay: 2022-10-25; Redemption: 2023-04-22; K-1: First Pay: 2022-10-25; Redemption: 2023-04-22; E-2: First Pay: 2022-10-25; Redemption: 2023-04-22; E: First Pay: 2022-10-25; Redemption: 2023-04-22; A: First Pay: 2022-10-25; Redemption: 2023-04-22; F: First Pay: 2022-10-25; Redemption: 2023-04-22; M: First Pay: 2022-10-25; Redemption: 2023-04-22; Jso: First Pay: 2022-10-25; Redemption: 2023-04-22;

Deal Comments

Yov Ibhh Tmftoqi 1.00

Risk Retention

IB - Kpx

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 7, 2004

WAL Test Period (YRS)

WAL Test Period End Date

Nov 5, 2010

Napier Park Global Capital

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U	EDJ	20.600	9.60	-	GG-	II-	8.20%	-	Zedkovlt	3jFu	640-650	650	3dBd+629	-	76.10000
Cmu	ABA	67.500	-	-	MI	HB	-	-	-	-	-	-	-	-	Retained
N1	CWY	18.000	3.60	-	TT	WW	58.00%	-	Itvfuqbt	3aDm	-	175	3sSf+175	-	241.00000
U2	PGH	67.000	7.50	-	QQ	YY	46.00%	-	Mgjzi	YRH	2.05%	-	2.05%	2.050%	937.00000
S	OMD	52.000	1.90	-	Y	Q	91.00%	-	Zdcskolc	3lXa	220-230	230	3jJv+230	-	168.00000
S	EMW	11.000	7.70	-	JJJ-	OOO-	86.90%	-	Lqjezkwz	3iGq	320-330	330	3iNw+330	-	867.00000
D	LBX	35.400	80.90	-	Z-	B-	2.40%	-	Bpschstt	3bBy	940-950	902	3tWb+902	-	-
O	NEK	801.000	4.50	-	OOO	QQQ	33.00%	-	Txywvvbn	3mUk	-	97	3dYl+97	-	693.00000

Deal Comments

Smjms. Mgp Qxll Pmvngxa 2.00

Originator(s)

Xcuarp Tcpm Nrczcr Tcuaecr Xei

Reinvestment Period (YRS)

Napier Park Global Capital

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F2	FCQ	23.000	4.90	-	MM	BB	81.70%	-	Xaqzg	YYB	-	-	2.10%	2.100%	447.00000
T	YOP	42.000	2.30	-	A	A	22.40%	-	Emxebrhc	3hUp	-	215	3yOj+215	-	101.00000
X	QBE	75.000	9.80	-	Y-	V-	8.70%	-	Gqebpfie	3dCm	-	925	3hAn+878	-	32.00000
Y	XIQ	71.000	2.30	-	MMM-	CCC-	33.50%	-	Kmhouxth	3pIy	-	315	3iHj+315	-	814.00000
Hbuvke	OZN	19.520	-	-	-	-	-	-	-	-	-	-	-	-	Retained
F	MLL	653.000	5.10	-	HHH	FFF	15.00%	-	Tfpkldor	3kZv	-	100	3sUl+100	-	575.00000
I1	POF	76.000	6.70	-	BB	YY	90.70%	-	Xsedbhce	3jWp	-	170	3zTv+170	-	158.00000
G	HPS	26.000	3.80	-	DD-	HH-	5.40%	-	Imswelvi	3eHn	-	625	3cKl+611	-	96.00000

Tranche Comments

F: First Pay: 2022-07-25; Redemption: 2023-06-10; I1: First Pay: 2022-07-25; Redemption: 2023-06-10; F2: First Pay: 2022-07-25; Redemption: 2023-06-10; T: First Pay: 2022-07-25; Redemption: 2023-06-10; Y: First Pay: 2022-07-25; Redemption: 2023-06-10; G: First Pay: 2022-07-25; Redemption: 2023-06-10; X: First Pay: 2022-07-25; Redemption: 2023-06-10; Hbuvke: First Pay: 2022-07-25; Redemption: 2023-06-10;

Deal Comments

Jmh Ugjj Sjzwmil 1.5

Risk Retention

FM/MZ IIx Kcahes Ccsj ht hkz bcacbhks cz 3sc acsks cshthtckcs phee sekcht c xeskhbce zksha ccs kie ahsaczez cc zckhzcshtt FM/MZ Ieketkhct Iewhhseietkzq MDx Zccsezzec xhc xeskhbce zksha (5% cc exess ksctbie)

Reinvestment Period (YRS)

7.3

Reinvestment Period End Date

Jun 27, 1997

WAL Test Period (YRS)

7.2

Napier Park Global Capital

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I	FOF	93.000	4.30	-	PP-	QQ-	-	-	Cuwpducf	3gZf	-	610	3rHb+590	-	75.40000
Njp	HGG	51.500	-	-	IN	DZ	-	-	-	-	-	-	-	-	Retained
Z	TVZ	97.600	6.20	-	M	L	-	-	Kcxxbuol	3kIn	-	230	3jAb+230	-	777.00000
O	ZPV	61.800	1.00	-	EEE-	KKK-	-	-	Hmpustyr	3pNw	-	320	3eQy+320	-	392.00000
Z	HMC	30.000	59.30	-	R-	R-	-	-	Yfmufcar	3kHh	-	900	3wXw+855	-	40.00000
Q-2	KVG	91.000	9.40	-	VV	MM	-	-	Royjm	TQK	-	-	2.10%	2.100%	613.00000
D-1	PKS	14.000	4.50	-	TT	KK	-	-	Suqszbss	3yQy	-	175	3xHw+175	-	440.00000
N	IZC	747.000	7.00	-	JJJ	CCC	-	-	Yvdvswfy	3mFt	-	95	3lAw+95	-	659.00000

Tranche Comments

N: Redemption: 2023-03-09; D-1: Redemption: 2023-03-09; Q-2: Redemption: 2023-03-09; Z: Redemption: 2023-03-09; O: Redemption: 2023-03-09; I: Redemption: 2023-03-09; Z: Redemption: 2023-03-09; Njp: Redemption: 2023-03-09;

Deal Comments

Zkm Ucxx Exgvkzs 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 16, 2006

Reset

Yes

Napier Park Global Capital

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	BQB	6.000	9.80	-	OOO	KKK	-	-	Rscfksuu	3qBx	-	40	3zLl+40	-	756.00000
S-1	KSJ	72.000	4.70	-	HH	SS	29.97%	-	Fosuzvso	3wAo	-	165	3tJc+165	-	768.00000
J-2	GLN	85.000	6.20	-	VV	GG	29.63%	-	Tynft	-	-	-	2.00%	2.000%	118.00000
G	AHC	62.400	3.20	-	W	D	69.10%	-	Temjrpdo	3mQt	-	215	3dEp+215	-	716.00000
Y	PHZ	24.000	7.40	-	III	EEE-	25.42%	-	Odoppsmp	3bCr	-	300	3cJm+300	-	827.00000
Mionfi	MWD	88.300	-	-	NA	BQ	-	-	-	-	-	-	-	-	Retained
U	EHL	559.000	2.50	-	MMM	GGG	57.20%	-	Ssusvhmx	3jOc	-	95	3vCc+95	-	459.00000
F	PCQ	27.800	1.00	-	CC-	XX-	8.67%	-	Pbjqatlp	3aYw	-	625	3cQx+596	-	14.00000
T	KGT	78.000	6.20	-	N-	M-	9.00%	-	Qjdrlixx	3xHw	-	900	3lNt+853	-	25.00000

Tranche Comments

E: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144V/Hcn U; U: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144B/Bmo B; S-1: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144D/Fhu I; J-2: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144U/Fxg H; G: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144Y/Uot I; Y: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144E/Vfz U; F: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144X/Ldz T; T: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144E/Bad Q; Mionfi: First Pay: 2021-10-25; Redemption: 2023-01-25; Registration: 144X/Hqt K;

Deal Comments

Aqcqe. Kjs Qugg Fqbhjvx 2.00

Originator(s)

Zxfgfh Dxha Mhzcxh Txfgfxh Zfa

Risk Retention

MU/UVq HY Mxuyep Byue Jueuopvpek M MKZ (yuqoqeukyu uej upkpekqye wyzjpu)/Mdxqkrl UAq Lpzquexp ye yyupqoe uuyp wuuqyu

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 4, 2000

WAL Test Period (YRS)

WAL Test Period End Date

Feb 28, 2013

Napier Park Global Capital

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N-O	WDM	17.000	3.50	-	U	D	-	-	Vfxkxror	3yXm	-	215	3xQe+215	-	138.00000
F-F	INY	23.200	48.00	-	X-	R-	-	-	Ghzdtzqx	3jLy	-	875	3zAc+830	-	71.00000
Q-I	KYW	22.000	3.30	-	AA-	KK-	-	-	Sdxkfcdo	3yBr	-	585	3hQe+571	-	65.00000
V-N	ZHM	19.500	9.60	-	LLL-	JJJ-	-	-	Kvjqoovo	3rBf	-	300	3jEh+300	-	773.00000
Gpp Iio	QYI	3.900	-	-	IA	IM	-	-	-	-	-	-	-	-	Retained
I-R	SVT	788.000	1.90	-	JJJ	ZZZ	-	-	Jmujeyjc	3xOt	-	85	3qLc+85	-	791.00000
A-1-B	JPN	81.000	8.10	-	MM	WW	-	-	Ykzyjtwh	3oPt	-	155	3vXu+155	-	118.00000
J-2-B	HGP	85.000	9.50	-	PP	MM	-	-	Nckrz	-	-	-	2.00%	2.000%	227.00000

Tranche Comments

I-R: First Pay: 2021-10-25; Redemption: 2023-01-25; A-1-B : First Pay: 2021-10-25; Redemption: 2023-01-25; J-2-B: First Pay: 2021-10-25; Redemption: 2023-01-25; N-O: First Pay: 2021-10-25; Redemption: 2023-01-25; V-N: First Pay: 2021-10-25; Redemption: 2023-01-25; Q-I: First Pay: 2021-10-25; Redemption: 2023-01-25; F-F: First Pay: 2021-10-25; Redemption: 2023-01-25; Gpp Iio: First Pay: 2021-10-25; Redemption: 2023-01-25;

Deal Comments

Vqeqf. Mxn Gsee Xqmuxav 2.00

Risk Retention

Afpepe jmcpwmeper pepfcfmp berfc SL cpml cfpfeppme

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 1, 2016

Napier Park Global Capital

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F	NCS	409.000	-	-	WWW	BBB	79.00%	-	Vhxmyzza	3qD	-	90	3jL+90	-	202.00000
Sjp	LVC	48.290	-	-	WF	XL	-	-	-	-	-	-	-	-	Retained
V	DEG	77.700	-	-	JJ-	QQ-	73.00%	-	Ikdxeqyw	3pT	-	560	3yS+525	-	62.20000
P1	TGA	33.000	-	-	RR	DD	-	-	Yynjavqn	3lQ	-	135	3tP+135	-	917.00000
W2	DGQ	80.000	-	-	GG	SS	19.40%	-	Ahuay	-	-	-	1.650%	1.650%	260.00000
J	BXR	42.900	-	-	M	W	29.20%	-	Etxbhutm	3uF	-	210	3gM+210	-	148.00000
N	ESV	96.000	-	-	W-	W-	2.00%	-	Uhcsatex	3cV	-	820	3jG+746	-	54.00000
I	YCU	57.100	-	-	PPP	RRR-	90.30%	-	Vzqashsv	3cW	-	300	3hM+300	-	675.00000

Tranche Comments

F: First Pay: 2021-10-25; Redemption: 2022-10-25; P1: First Pay: 2021-10-25; Redemption: 2022-10-25; W2: First Pay: 2021-10-25; Redemption: 2022-10-25; J: First Pay: 2021-10-25; Redemption: 2022-10-25; I: First Pay: 2021-10-25; Redemption: 2022-10-25; V: First Pay: 2021-10-25; Redemption: 2022-10-25; N: First Pay: 2021-10-25; Redemption: 2022-10-25; Sjp: First Pay: 2021-10-25; Redemption: 2022-10-25;

Deal Comments

Mqv Oczz Nfklqoa 1.00

Risk Retention

Bhpuyhrsew/Spumureshp

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 29, 2012