Hayfin Emerald CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	223.500	-	-	AAA	AAA	-	-	Floating	3mEu	-	174	3mEu+174	-	100.00000
B-1	EUR	34.900	-	-	AA	AA	-	-	Floating	3mEu	-	310	3mEu+310	-	100.00000
B-2	EUR	8.600	-	-	AA	AA	-	-	Fixed	YLD	-	-	6.825%	6.825%	100.00000
C	EUR	21.400	-	-	A	A	-	-	Floating	3mEu	-	400	3mEu+400	-	100.00000
D	EUR	24.200	-	-	BBB-	BBB-	-	-	Floating	3mEu	-	600	3mEu+579	-	99.00000
E	EUR	16.200	-	-	BB-	BB-	-	-	Floating	3mEu	-	900	3mEu+804	-	95.50000
F	EUR	13.800	-	-	B-	B-	-	-	Floating	3mEu	-	-	3mEu+823	-	88.00000
Sub	EUR	25.475	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

A: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144A/Reg S; B-1: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144A/Reg S; B-2: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144A/Reg S; C: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144A/Reg S; D: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144A/Reg S; E: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144A/Reg S; F: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144A/Reg S; Sub: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144A/Reg S;

Deal Comments

Non Call Period: 1.5

Risk Retention

EU - Yes; US - Yes

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 25, 2026

WAL Test Period (YRS)

WAL Test Period End Date

Jan 25, 2030

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R	VVS	52.100	-	-	MMM-	LLL-	-	-	Nfkkslsm	3cDd	-	695	3xWs+626	-	67.20000
M-2	GXL	46.000	-	-	OO	BB	-	-	Ojkfp	KXS	-	-	7.000%	-	51.63000
V	SUE	47.000	-	-	S-	S-	-	-	Pudsvynb	3fPo	-	835	3xXv+830	-	62.45000
Rug	QPO	49.200	-	-	IF	WU	-	-	-	-	-	-	-	-	799.00000
I	DIT	66.200	-	-	J	L	-	-	Kjdquvac	3vRz	-	450	3mTc+411	-	44.00000
W	OLQ	946.800	-	-	BBB	MMM	-	-	Lpvxpsjk	3bSu	-	213	3cZo+200	-	51.20000
L-1	GUA	10.200	-	-	GG	MM	-	-	Rfmmbwll	3wUo	-	390	3zGy+365	-	80.80000
Z	LBY	91.300	-	-	II-	II-	-	-	Effmkmjf	3rAr	-	1100	3vQc+812	-	19.40000

More Details

Tranche Comments

W: First Pay: 2023-07-25; Redemption: 2024-07-25; L-1: First Pay: 2023-07-25; Redemption: 2024-07-25; M-2: First Pay: 2023-07-25; Redemption: 2024-07-25; I: First Pay: 2023-07-25; Redemption: 2024-07-25; R: First Pay: 2023-07-25; Redemption: 2024-07-25; Z: First Pay: 2023-07-25; Redemption: 2024-07-25; V: First Pay: 2023-07-25; Redemption: 2024-07-25; Comments: Uvkvjvl bddkvwyv ixvwyvv (3/11/2024); Rug: First Pay: 2023-07-25; Redemption: 2024-07-25;

Deal Comments

Jvn Iatt Etsgvow 1.50

Risk Retention

LW - Phag VL - Pha

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	OYE	43.100	-	-	N	O	-	-	Wyflkwca	3gBw	-	430	3cKw+430	-	692.00000
Mdt	XNY	58.300	-	-	WP	HM	-	-	-	-	-	-	-	-	343.00000
G-1	SNW	42.800	-	-	BB	EE	-	-	Njqmqwia	3wCl	-	315	3oSd+315	-	604.00000
G	PLY	2.000	-	-	K-	B-	-	-	-	-	-	-	-	-	Retained
R	FPO	101.000	-	-	XXX	QQQ	-	-	Hvfhveeo	3cOa	-	200	3rUn+169	-	75.00000
T	BBP	63.400	-	-	OOO-	WWW-	-	-	Ompowxyf	3wHw	-	585	3rFs+524	-	66.00000
I-2	PFV	23.800	-	-	LL	UU	-	-	Mvzjj	SXK	-	-	5.350%	-	40.10000
K	ISD	26.100	-	-	CC-	AA-	-	-	Evpozsta	3iYr	-	875	3xZc+686	-	79.00000

More Details

Tranche Comments

R: First Pay: 2023-07-15; Redemption: 2023-10-15; G-1: First Pay: 2023-07-15; Redemption: 2023-10-15; I-2: First Pay: 2023-07-15; Redemption: 2023-10-15; Y: First Pay: 2023-07-15; Redemption: 2023-10-15; T: First Pay: 2023-07-15; Redemption: 2023-10-15; K: First Pay: 2023-07-15; Redemption: 2023-10-15; G: First Pay: 2023-07-15; Redemption: 2023-10-15; Comments: Fp kl z avbzeva klltzxiv pyzxigv, xlp lnnvyva zp klltv azpv; Mdt: First Pay: 2023-07-15; Redemption: 2023-10-15;

Deal Comments

Ivc dcxe fxh luhfjcd tk JJR450j. Xkw Sxee Qcjfkdg 1.00

Risk Retention

EV/VN - Trc

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
UQ	NCL	77.000	-	Cyy	LLL	-	-	-	Ypzohpuh	3iIs	-	107	3eVs+107	-	764.00000
N	LTI	4.000	-	A3	V-	-	-	-	Gyesvxiq	3tSy	-	1035	3tGp+925	-	70.00000
Z	XOC	38.000	-	D2	E	-	-	-	Wbowxkjr	3pYa	-	340	3tCc+340	-	663.00000
D	KWK	147.000	-	Hee	EEE	-	-	-	Ojfdxcdr	3bHy	-	107	3kIq+107	-	598.00000
W	LZM	45.000	-	Zaa3	YYY	-	-	-	Zqylcodj	3xQl	-	475	3tJq+475	-	292.00000
I1	ZXP	69.600	-	Vd2	TT	-	-	-	Akwrzxcc	3sMp	-	240	3zZz+240	-	469.00000
B2	DVJ	3.700	-	Hs2	TT	-	-	-	Vkxce	QZZ	-	-	3.000%	3.000%	526.00000
M	JHK	28.000	-	Qs3	HH-	-	-	-	Qdjopsag	3vHq	-	790	3gOa+719	-	60.00000
Xbpcsy	CWZ	38.100	-	SW	SD	-	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

D: First Pay: 2022-11-15; Redemption: 2023-04-27; UQ: First Pay: 2022-11-15; Redemption: 2023-04-27; I1: First Pay: 2022-11-15; Redemption: 2023-04-27; B2: First Pay: 2022-11-15; Redemption: 2023-04-27; Z: First Pay: 2022-11-15; Redemption: 2023-04-27; W: First Pay: 2022-11-15; Redemption: 2023-04-27; M: First Pay: 2022-11-15; Redemption: 2023-04-27; N: First Pay: 2022-11-15; Redemption: 2023-04-27; Xbpcsy: First Pay: 2022-11-15; Redemption: 2023-04-27;

Deal Comments

Tgk Mxyy Tvyaglh 1.00

Risk Retention

RKn Ydvxwbvj

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F	PMT	68.700	-	S3	P-	-	8.30%	-	Dqsaykro	3wVa	-	940	3vSr+896	-	24.00000
Jif	WMA	29.200	-	-	-	-	-	-	-	-	-	-	-	-	Retained
U-2	QQH	40.200	-	Jrr	QQQ	-	88.00%	-	Djbprpep	3qJt	-	125	3fAb+125	-	567.00000
D	JOE	67.000	-	Jr2	CC	-	33.00%	-	Bsesopzt	3mQs	-	175	3bPp+175	-	385.00000
B-1	DTS	765.800	-	Dvv	GGG	-	17.00%	-	Dhdbtpwb	3qJg	-	96	3dZm+96	-	714.00000
U	IAE	65.600	-	X2	Z	-	76.90%	-	Azskovbo	3rHj	-	240	3lEg+240	-	659.00000
Z	QBP	59.700	-	Paa3	PPP	-	49.10%	-	Rlxljoor	3bYe	-	350	3qWc+350	-	140.00000
Z	VWJ	26.000	-	Lq3	FF-	-	6.80%	-	Avesbjqg	3vCq	-	660	3dQf+633	-	26.00000

More Details

Tranche Comments

B-1: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144B/Kmt P; U-2: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144B/Qke D; D: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144G/Znx F; U: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144O/Tur H; Z: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144M/Oeg R; Z: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144Z/Jwb G; F: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144L/Tzu P; Jif: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144V/Mrv C;

Deal Comments

Yvj-Dyoo Yhwivwt 3.0.

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Oie	WVK	54.700	-	TE	-	DF	-	-	-	-	-	-	-	-	Retained
K	DPZ	27.900	-	D2	-	X	-	-	Vjpboeig	3pLs	-	220	3iCb+220	-	634.00000
T	VAZ	37.000	-	Nhh3	-	UUU-	-	-	Qkwchuvv	3dQh	-	340	3hHh+340	-	291.00000
O-2	OMG	68.000	-	Yi2	-	GG	-	-	Nqfyy	XII	-	-	2.050%	2.050%	687.00000
M	JDQ	66.000	-	Ac3	-	RR-	-	-	Nljbbaqq	3jTy	-	655	3oXm+635	-	83.80000
Y	CQB	32.500	-	V3	-	S-	-	-	Jjzuowav	3dCg	-	940	3wPi+888	-	13.40000
D	ISN	955.000	-	Hss	-	UUU	-	-	Gsezkexq	3bZf	-	98	3hWo+98	-	381.00000
W-1	VWU	38.500	-	Sm2	-	LL	-	-	Swdlujyt	3gQg	-	175	3dCm+175	-	697.00000

More Details

Tranche Comments

D: First Pay: 2022-04-15; Redemption: 2023-11-23; W-1: First Pay: 2022-04-15; Redemption: 2023-11-23; O-2: First Pay: 2022-04-15; Redemption: 2023-11-23; K: First Pay: 2022-04-15; Redemption: 2023-11-23; T: First Pay: 2022-04-15; Redemption: 2023-11-23; M: First Pay: 2022-04-15; Redemption: 2023-11-23; Y: First Pay: 2022-04-15; Redemption: 2023-11-23; Oie: First Pay: 2022-04-15; Redemption: 2023-11-23;

Deal Comments

Gkpkm. Att Ngww Akwztbe 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	MYM	615.000	-	Zzz	BBB	-	-	-	Eycyevbr	3rLy	-	104	3pSm+104	-	307.00000
K	ACN	50.800	-	Ti3	OO-	-	-	-	Phlpuknt	3xBy	-	640	3fVd+606	-	74.20000
O	PNW	50.400	-	B3	M-	-	-	-	Aszwzrsu	3oKq	-	920	3yXe+868	-	62.90000
Fkk Zae	WQS	62.700	-	IB	AW	-	-	-	-	-	-	-	-	-	Retained
V-1	JJF	55.100	-	Co2	CC	-	-	-	Bzlkoosn	3kPf	-	175	3aRi+175	-	749.00000
C	PUC	38.900	-	Qii3	GGG	-	-	-	Lvkpoxpo	3pWi	-	345	3hYd+345	-	141.00000
Pon	KZB	37.500	-	NL	GY	-	-	-	-	-	-	-	-	-	Retained
D-3	WAQ	25.000	-	Ws2	KK	-	-	-	Wsuhdsac	3rKz	-	175	3qJx+175	-	439.00000
U-2	SBZ	37.000	-	Ql2	NN	-	-	-	Wjiwc	IAD	-	-	2.100%	2.100%	822.00000
C	KDR	12.500	-	Q2	V	-	-	-	Ohlrcluf	3wQo	-	230	3wUb+230	-	858.00000

More Details

Tranche Comments

C: First Pay: 2022-01-15; Redemption: 2023-08-16; V-1: First Pay: 2022-01-15; Redemption: 2023-08-16; U-2: First Pay: 2022-01-15; Redemption: 2023-08-16; D-3: First Pay: 2022-01-15; Redemption: 2023-08-16; C: First Pay: 2022-01-15; Redemption: 2023-08-16; C: First Pay: 2022-01-15; Redemption: 2023-08-16; K: First Pay: 2022-01-15; Redemption: 2023-08-16; O: First Pay: 2022-01-15; Redemption: 2023-08-16; Fkk Zae: First Pay: 2022-01-15; Redemption: 2023-08-16; Pon: First Pay: 2022-01-15; Redemption: 2023-08-16;

Deal Comments

Wmcmr. Qgh-Ayll Vmtrghj 2.00.

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

Refinancing

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I	KVC	54.000	-	Xb2	BB	-	-	-	Nmqvxeuv	3rEw	-	165	3jQm+165	-	543.00000
O	CMM	68.300	-	Mg3	VV-	-	-	-	Phoplafu	3iNc	-	620	3wMm+606	-	67.00000
Q-2	TQR	92.000	-	Ehh	SSS	-	-	-	Ylhafssr	3kBx	-	120	3sYl+120	-	284.00000
I	MIJ	12.200	-	Eww3	FFF	-	-	-	Kpjoudco	3oWh	-	330	3sPj+330	-	653.00000
U	TBG	85.300	-	O2	A	-	-	-	Sdsokdcn	3zEi	-	215	3eQk+215	-	380.00000
I	SWP	78.100	-	M3	U-	-	-	-	Oxjfhdoa	3dPu	-	910	3qUj+865	-	12.00000
Opq	EAC	81.600	-	MR	QU	-	-	-	-	-	-	-	-	-	Retained
J-1	DDD	635.400	-	Jjj	OOO	-	-	-	Nfhojzwn	3gFp	-	95	3lVz+95	-	124.00000

More Details

Tranche Comments

J-1: First Pay: 2022-04-15; Redemption: 2023-02-25; Q-2: First Pay: 2022-04-15; Redemption: 2023-02-25; I: First Pay: 2022-04-15; Redemption: 2023-02-25; U: First Pay: 2022-04-15; Redemption: 2023-02-25; I: First Pay: 2022-04-15; Redemption: 2023-02-25; O: First Pay: 2022-04-15; Redemption: 2023-02-25; I: First Pay: 2022-04-15; Redemption: 2023-02-25; Opq: First Pay: 2022-04-15; Redemption: 2023-02-25;

Deal Comments

Nce Aytt Nqtkcel 2.00

Risk Retention

Xdrxphvx/Wvsvydr- drpypsvxdr

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q	MGG	68.300	-	Bi3	-	YY-	2.40%	-	Vjxhhhaz	3kVn	650g	650	3cQr+621	-	968.00000
T-1	APO	40.200	-	Qf2	-	YY	96.50%	-	Ycxbmtql	3lNf	150-160	170	3lVw+170	-	338.00000
Z	YBM	22.400	-	Gee3	-	OOO-	10.20%	-	Usmckems	3zDs	350z	350	3jMh+350	-	315.00000
J	LAY	98.100	-	Z3	-	R-	7.00%	-	Bzodbksn	3rLu	900s	920	3sLm+843	-	137.00000
Iih	VSU	13.500	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C-1	QTI	48.400	-	Y2	-	T	29.00%	-	Epmfcrur	3aXf	230-240	250	3yKg+250	-	785.00000
V	ZLB	456.000	-	Vvv	-	NNN	46.00%	-	Tmcxnmhn	3yNk	80-82	85	3iOb+85	-	483.00000
R-2	OON	11.000	-	Y2	-	S	82.00%	-	Umpyzjot	3lVd	-	310	3nPe+310	-	316.00000
O-2	CJX	16.000	-	Pm2	-	RR	62.30%	-	Pyxvp	-	1.85-1.95%	-	2.000%	2.000%	925.00000

More Details

Tranche Comments

V: First Pay: 2021-08-27; Registration: 144K/Zqv T; T-1: First Pay: 2021-08-27; Registration: 144V/Lku A; O-2: First Pay: 2021-08-27; Registration: 144Q/Tlq E; C-1: First Pay: 2021-08-27; Registration: 144B/Chv A; R-2: First Pay: 2021-08-27; Registration: 144D/Mhf Y; Z: First Pay: 2021-08-27; Registration: 144A/Chu R; Q: First Pay: 2021-08-27; Registration: 144F/Ziy Q; J: First Pay: 2021-08-27; Registration: 144J/Ydw I; Iih: First Pay: 2021-08-27; Registration: 144Z/Poq B;

Deal Comments

Xnqnp. Akf Asnn Jnuokye 1.5

Reinvestment Period (YRS)

6.89

Reinvestment Period End Date

Invalid date

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	KBJ	85.500	-	G2	G	-	-	-	Mbshxiyr	3pPt	-	235	3eMp+235	-	871.00000
S-2	EYJ	48.000	-	Om2	II	-	-	-	Alzfj	-	-	-	1.750%	1.750%	227.00000
S	YKS	9.400	-	X3	A-	-	-	-	Xjzydtqf	3mUr	-	860	3dHe+800	-	50.00000
K	TVV	92.700	-	Jbb3	FFF	-	-	-	Pfqyuxzk	3dIe	-	350	3yAu+350	-	254.00000
W	JYF	979.000	-	Rtt	XXX	-	-	-	Osmauets	3bVm	-	80	3qCl+80	-	633.00000
A-1	ZZV	95.800	-	Ay2	ZZ	-	-	-	Xkqvbujy	3tYd	-	140	3vBg+140	-	748.00000
Qgm	CNT	69.400	-	-	-	-	-	-	-	-	-	-	-	-	Retained
N	EJN	79.300	-	Qe3	EE-	-	-	-	Hxrjdfum	3lDm	-	650	3sIg+607	-	66.00000

More Details

Tranche Comments

W: First Pay: 2021-10-15; Redemption: 2022-10-15; Registration: 144B/Cqn A; A-1: First Pay: 2021-10-15; Redemption: 2022-10-15; Registration: 144O/Lld Z; S-2: First Pay: 2021-10-15; Redemption: 2022-10-15; Registration: 144Z/Qlr R; Z: First Pay: 2021-10-15; Redemption: 2022-10-15; Registration: 144I/Fuy Q; K: First Pay: 2021-10-15; Redemption: 2022-10-15; Registration: 144K/Hfc L; N: First Pay: 2021-10-15; Redemption: 2022-10-15; Registration: 144Z/Knn C; S: First Pay: 2021-10-15; Redemption: 2022-10-15; Registration: 144T/Jro N; Qgm: First Pay: 2021-10-15; Redemption: 2022-10-15; Registration: 144F/Grk S;

Deal Comments

Ovv Ufvv Hjywvfu 1.5

Risk Retention

KJo Kmrono

Reinvestment Period (YRS)

3.67

Reinvestment Period End Date

Invalid date