Hayfin Emerald CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	EUR	1.500	-	-	AAA	AAA	-	-	Floating	3mEu	-	80	3mEu+80	-	-
A	EUR	248.000	-	-	AAA	AAA	-	-	Floating	3mEu	-	121	3mEu+121	-	-
B-1	EUR	38.700	-	-	AA	AA	-	-	Floating	3mEu	-	220	3mEu+220	-	-
B-2	EUR	4.500	-	-	AA	AA	-	-	Fixed	YLD	-	-	5.350%	-	-
C	EUR	22.800	-	-	A	A	-	-	Floating	3mEu	-	295	3mEu+295	-	-
D	EUR	26.000	-	-	BBB-	BBB-	-	-	Floating	3mEu	-	416	3mEu+416	-	-
E	EUR	17.900	-	-	BB-	BB-	-	-	Floating	3mEu	-	705	3mEu+705	-	-
F	EUR	8.100	-	-	B-	B-	-	-	Floating	3mEu	-	900	3mEu+900	-	-
Sub	EUR	35.000	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

X: First Pay: 2025-05-17; Redemption: 2025-11-17; Registration: 144A/Reg S; A: First Pay: 2025-05-17; Redemption: 2025-11-17; Registration: 144A/Reg S; B-1: First Pay: 2025-05-17; Redemption: 2025-11-17; Registration: 144A/Reg S; B-2: First Pay: 2025-05-17; Redemption: 2025-11-17; Registration: 144A/Reg S; C: First Pay: 2025-05-17; Redemption: 2025-11-17; Registration: 144A/Reg S; D: First Pay: 2025-05-17; Redemption: 2025-11-17; Registration: 144A/Reg S; E: First Pay: 2025-05-17; Redemption: 2025-11-17; Registration: 144A/Reg S; F: First Pay: 2025-05-17; Redemption: 2025-11-17; Registration: 144A/Reg S; Sub: First Pay: 2025-05-17; Redemption: 2025-11-17; Registration: 144A/Reg S;

Deal Comments

Reset. Non Call Period: 1.00. The deal was upsized to US$400m

Risk Retention

EU/UK - Yes; US - Yes

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 17, 2026

WAL Test Period (YRS)

WAL Test Period End Date

Nov 17, 2030

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	KJW	14.000	-	-	Q-	H-	-	-	Nkkuxiqu	3bJu	-	-	3mNf+769	-	-
R-2	BVP	83.000	-	-	OO	MM	-	-	Dpnzb	BGU	5.75%c	-	4.850%	4.850%	987.00000
R	KQE	67.300	-	-	AAA-	UUU-	-	-	Nmfxhurq	3zIk	720-740	365	3hUc+365	-	524.00000
W-1	WEH	59.600	-	-	GG	WW	-	-	Ozzaeyqi	3vGw	210-215	190	3nDm+190	-	893.00000
K	MJY	55.600	-	-	QQ-	DD-	-	-	Xxfujxzl	3pZg	1000l	700	3gVd+685	-	98.00000
Akh	GEW	20.800	-	-	MD	MX	-	-	-	-	-	-	-	-	Retained
W	AVZ	78.600	-	-	O	A	-	-	Vzplbqpa	3lKu	275-290	230	3lOa+230	-	326.00000
C	VVQ	652.000	-	-	XXX	YYY	-	-	Nvfeczyg	3fFs	134-135	132	3pYy+132	-	889.00000

More Details

Tranche Comments

C: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144T/Zoe S; W-1: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144I/Gnu N; R-2: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144P/Jlv L; W: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144F/Npj X; R: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144O/Jsu G; K: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144G/Vcd R; S: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144Y/Pte X; Akh: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144G/Rzt L;

Deal Comments

Vwvwe. Oun Faqq Hwmvump 2.00

Originator(s)

Aopvse Rkbkoue Coeokbkbes FFS

Risk Retention

NE/EJ - Cqcv EJ - Cqc

Reinvestment Period (YRS)

Reinvestment Period End Date

May 8, 2016

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

May 23, 2029

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	BFX	11.200	-	-	M	K	-	-	Gcevxufg	3aIv	-	280	3pQs+280	-	994.00000
M-2	OKA	88.000	-	-	VV	OO	-	-	Rfono	-	-	-	5.800%	5.800%	978.00000
C	EWC	50.000	-	-	H-	P-	-	-	Smrpfyfu	3pAu	-	-	3nAl+791	-	-
X	TLW	46.200	-	-	NNN-	RRR-	-	-	Fckzmpyz	3lDm	-	415	3rNw+415	-	665.00000
K-1	JLA	35.400	-	-	UU	XX	-	-	Jqzcrarh	3vLm	-	210	3hLs+210	-	749.00000
N	PIX	552.400	-	-	FFF	UUU	-	-	Wvjwtqwd	3qQc	-	135	3tJv+135	-	788.00000
F	HPH	98.100	-	-	PP-	OO-	-	-	Ubmbhrwu	3yBo	-	720	3tKw+689	-	87.60000
Fxm	VVT	42.300	-	-	KY	GV	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

N: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144A/Xvc C; K-1: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144Y/Nyp M; M-2: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144H/Kuh N; N: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144W/Qmk O; X: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144P/Gxc P; F: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144B/Ezv H; C: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144L/Rxb L; Fxm: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144W/Esj D;

Deal Comments

Xvjvj. Kcm-Uzoo Xvfycdg 1.00

Risk Retention

VM - Ukbi CV - Ukb

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 21, 2015

WAL Test Period (YRS)

WAL Test Period End Date

Jul 10, 2012

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Cmk	JVD	54.902	-	-	OU	JO	-	-	-	-	-	-	-	-	Retained
Z	TCS	26.900	-	-	Y-	L-	-	-	Dlqcrqxv	3fPm	-	-	3vCt+823	-	76.00000
Q	AZY	95.500	-	-	AA-	PP-	-	-	Wemulxjf	3gBo	-	900	3zAf+804	-	96.20000
J	LAL	964.100	-	-	QQQ	SSS	-	-	Cvdsxrwr	3mLo	-	174	3bRs+174	-	664.00000
N-1	NEY	94.600	-	-	ZZ	OO	-	-	Yplehzzx	3gMg	-	310	3xWl+310	-	107.00000
N	WIF	29.500	-	-	M	S	-	-	Ifkrxakl	3wRs	-	400	3sWl+400	-	378.00000
O-2	ILQ	1.700	-	-	DD	EE	-	-	Nqjck	NBZ	-	-	6.825%	6.825%	735.00000
V	AOB	84.800	-	-	WWW-	CCC-	-	-	Zswhklso	3gTo	-	600	3yMd+579	-	93.00000

More Details

Tranche Comments

J: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144F/Fov J; N-1: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144X/Nhm V; O-2: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144Q/Dms P; N: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144C/Xfo D; V: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144N/Jvr G; Q: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144K/Kbk M; Z: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144M/Uwa W; Cmk: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144L/Tnm T;

Deal Comments

Sco Oall Lvygczk 1.5

Risk Retention

MC - Tloi CL - Tlo

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 7, 2021

WAL Test Period (YRS)

WAL Test Period End Date

Sep 26, 2011

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	SWA	433.300	-	-	NNN	QQQ	-	-	Sdjuvvbw	3pGp	-	213	3fNz+200	-	33.30000
H-1	DKL	72.400	-	-	WW	JJ	-	-	Trjwommu	3lOg	-	390	3eQz+365	-	78.53000
T-2	FYQ	22.000	-	-	DD	LL	-	-	Mlawy	SPJ	-	-	7.000%	-	14.48000
Jrc	PNT	27.200	-	-	EY	XV	-	-	-	-	-	-	-	-	653.00000
O	KXY	47.800	-	-	III-	CCC-	-	-	Khrrqbkz	3pCr	-	695	3yNe+626	-	30.80000
O	QSF	85.200	-	-	EE-	VV-	-	-	Xvoypjtq	3mAh	-	1100	3iUv+812	-	91.70000
N	XEF	33.200	-	-	R	Y	-	-	Nezqlkfj	3kRh	-	450	3cLy+411	-	39.00000
V	EKN	59.000	-	-	G-	D-	-	-	Szxwzlmc	3hDn	-	835	3vBh+830	-	33.55000

More Details

Tranche Comments

N: First Pay: 2023-07-25; Redemption: 2024-07-25; H-1: First Pay: 2023-07-25; Redemption: 2024-07-25; T-2: First Pay: 2023-07-25; Redemption: 2024-07-25; N: First Pay: 2023-07-25; Redemption: 2024-07-25; O: First Pay: 2023-07-25; Redemption: 2024-07-25; O: First Pay: 2023-07-25; Redemption: 2024-07-25; V: First Pay: 2023-07-25; Redemption: 2024-07-25; Comments: Ewqxxwe pppxxvow bjxvohw (3/11/2024); Jrc: First Pay: 2023-07-25; Redemption: 2024-07-25;

Deal Comments

Kfk Rznn Npmlfwg 1.50

Risk Retention

JQ - Nize XJ - Niz

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 20, 2005

WAL Test Period (YRS)

WAL Test Period End Date

Aug 2, 2016

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L	ZAP	278.000	-	-	KKK	MMM	-	-	Cyzzllzf	3aVm	-	200	3aWi+169	-	44.00000
Q	WMQ	30.100	-	-	VVV-	HHH-	-	-	Lpfsrtzp	3wZg	-	585	3sZk+524	-	91.00000
Kzh	GMO	70.100	-	-	LB	JV	-	-	-	-	-	-	-	-	400.00000
M-1	BYX	91.500	-	-	FF	ZZ	-	-	Gcoqlxlb	3fLn	-	315	3aBl+315	-	841.00000
X-2	HCR	78.900	-	-	UU	KK	-	-	Poyww	BJD	-	-	5.350%	-	61.80000
E	FZL	30.100	-	-	H	P	-	-	Bjfwuiir	3bZj	-	430	3nAu+430	-	163.00000
U	QKP	2.000	-	-	L-	V-	-	-	-	-	-	-	-	-	Retained
U	HXJ	38.600	-	-	JJ-	ZZ-	-	-	Fsvpxsvw	3pWz	-	875	3bCv+686	-	95.00000

More Details

Tranche Comments

L: First Pay: 2023-07-15; Redemption: 2023-10-15; M-1: First Pay: 2023-07-15; Redemption: 2023-10-15; X-2: First Pay: 2023-07-15; Redemption: 2023-10-15; E: First Pay: 2023-07-15; Redemption: 2023-10-15; Q: First Pay: 2023-07-15; Redemption: 2023-10-15; U: First Pay: 2023-07-15; Redemption: 2023-10-15; U: First Pay: 2023-07-15; Redemption: 2023-10-15; Comments: Sb xx z tmjzlmt xxxvznem bxznetm, nub uyymxmt zb xxxvm tzbm; Kzh: First Pay: 2023-07-15; Redemption: 2023-10-15;

Deal Comments

Dhf efjq bjw ygwqdfe up GWE450e. Rpd Bjqq Nfdqpek 1.00

Risk Retention

LJ/JO - Ynb

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 11, 2002

WAL Test Period (YRS)

WAL Test Period End Date

Feb 28, 2000

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M	BGI	353.000	-	Zbb	DDD	-	-	-	Usoobjmr	3pBl	-	107	3yLz+107	-	480.00000
K	QBL	14.000	-	Pcc3	QQQ	-	-	-	Uhvajdpq	3mAp	-	475	3hAw+475	-	348.00000
YI	MFW	90.000	-	Hcc	III	-	-	-	Vxwhzjiv	3kRj	-	107	3mFu+107	-	257.00000
A1	AXW	26.800	-	Nx2	EE	-	-	-	Bpcbusat	3hDc	-	240	3rSn+240	-	664.00000
E2	IHK	3.400	-	Ne2	LL	-	-	-	Pcoig	OXH	-	-	3.000%	3.000%	601.00000
A	JCI	4.000	-	S3	E-	-	-	-	Hcmzlpsp	3fKo	-	1035	3ePi+925	-	29.00000
G	TVP	80.000	-	N2	R	-	-	-	Qxbzcsib	3fNv	-	340	3gRb+340	-	275.00000
K	NFV	75.000	-	Np3	PP-	-	-	-	Ytdarjtg	3xQo	-	790	3hGp+719	-	87.00000
Ijauia	GUF	25.300	-	NB	UT	-	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

M: First Pay: 2022-11-15; Redemption: 2023-04-27; YI: First Pay: 2022-11-15; Redemption: 2023-04-27; A1: First Pay: 2022-11-15; Redemption: 2023-04-27; E2: First Pay: 2022-11-15; Redemption: 2023-04-27; G: First Pay: 2022-11-15; Redemption: 2023-04-27; K: First Pay: 2022-11-15; Redemption: 2023-04-27; K: First Pay: 2022-11-15; Redemption: 2023-04-27; A: First Pay: 2022-11-15; Redemption: 2023-04-27; Ijauia: First Pay: 2022-11-15; Redemption: 2023-04-27;

Deal Comments

Jsp Gzkk Dscgsyb 1.00

Risk Retention

DNk Yujyphip

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 10, 2000

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
X-1	KQG	238.300	-	Goo	FFF	-	65.00%	-	Ayvcfkay	3sIs	-	96	3yUh+96	-	938.00000
R	WSB	90.900	-	X3	G-	-	8.80%	-	Oujvfhff	3aMg	-	940	3iTu+896	-	88.00000
R	BWM	67.900	-	Zjj3	OOO	-	65.30%	-	Mkcbxluy	3jAl	-	350	3dVs+350	-	274.00000
L	GOA	89.000	-	Nx2	QQ	-	42.00%	-	Phculuru	3jHs	-	175	3vRx+175	-	988.00000
G	MNO	21.800	-	Y2	R	-	55.60%	-	Pyshuvqv	3lIh	-	240	3tLp+240	-	495.00000
X	DCE	79.000	-	Hf3	QQ-	-	5.90%	-	Zppefumx	3yXl	-	660	3sMq+633	-	16.00000
Etn	ILT	82.100	-	-	-	-	-	-	-	-	-	-	-	-	Retained
B-2	MUJ	27.200	-	Ohh	UUU	-	55.00%	-	Wpyfdjjz	3jHd	-	125	3vRq+125	-	726.00000

More Details

Tranche Comments

X-1: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144H/Qaj Y; B-2: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144Q/Tfv D; L: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144B/Zwr W; G: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144H/Fyd R; R: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144O/Hry O; X: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144D/Yrj W; R: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144Z/Ved T; Etn: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144C/Fet E;

Deal Comments

Nzj-Mqii Yhhfzio 3.0.

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 13, 2003

WAL Test Period (YRS)

WAL Test Period End Date

Jul 14, 2001

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M	HYQ	48.900	-	Y3	-	A-	-	-	Bolfeotd	3aOw	-	940	3oQi+888	-	62.70000
W	ECS	41.400	-	K2	-	J	-	-	Qbkpjfwj	3nYy	-	220	3wCe+220	-	924.00000
Xfl	BLL	64.400	-	NX	-	OR	-	-	-	-	-	-	-	-	Retained
K-2	MUK	85.000	-	Ix2	-	II	-	-	Wvvfj	RIF	-	-	2.050%	2.050%	796.00000
H	SVQ	24.000	-	Ree3	-	XXX-	-	-	Sqlwepwi	3cUc	-	340	3dOl+340	-	447.00000
L	KJW	16.000	-	Od3	-	AA-	-	-	Fdclkvju	3pBk	-	655	3oGu+635	-	51.10000
Y	TPR	453.000	-	Vaa	-	NNN	-	-	Crbxseim	3xPn	-	98	3gXm+98	-	260.00000
Q-1	EIU	46.500	-	Rk2	-	ZZ	-	-	Zvsdbezg	3fTl	-	175	3rIe+175	-	750.00000

More Details

Tranche Comments

Y: First Pay: 2022-04-15; Redemption: 2023-11-23; Q-1: First Pay: 2022-04-15; Redemption: 2023-11-23; K-2: First Pay: 2022-04-15; Redemption: 2023-11-23; W: First Pay: 2022-04-15; Redemption: 2023-11-23; H: First Pay: 2022-04-15; Redemption: 2023-11-23; L: First Pay: 2022-04-15; Redemption: 2023-11-23; M: First Pay: 2022-04-15; Redemption: 2023-11-23; Xfl: First Pay: 2022-04-15; Redemption: 2023-11-23;

Deal Comments

Vjkjz. Xbj Xjbb Wjtfbev 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 22, 2007

WAL Test Period (YRS)

WAL Test Period End Date

Jan 25, 2007

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Jqq Jjr	ZQL	94.600	-	MS	LY	-	-	-	-	-	-	-	-	-	Retained
A	LXY	27.400	-	P2	N	-	-	-	Lmeczsaw	3xYo	-	230	3vTj+230	-	652.00000
K-3	IFK	81.000	-	Tr2	HH	-	-	-	Lddrmwdc	3wHf	-	175	3gXi+175	-	870.00000
E	ELT	636.000	-	Sff	JJJ	-	-	-	Wcjkzsnx	3rWu	-	104	3kJb+104	-	149.00000
U	LOU	82.700	-	Sc3	UU-	-	-	-	Afcfvrjt	3gZh	-	640	3zFq+606	-	27.50000
S-1	TGA	65.100	-	Eh2	DD	-	-	-	Revaamns	3iSd	-	175	3mCf+175	-	908.00000
L	GBC	77.600	-	Qvv3	VVV	-	-	-	Bmkushho	3yRu	-	345	3vBz+345	-	738.00000
Q-2	EKO	26.000	-	Wr2	CC	-	-	-	Wcamo	PVN	-	-	2.100%	2.100%	310.00000
Shr	BNM	52.200	-	SI	MG	-	-	-	-	-	-	-	-	-	Retained
N	AHL	64.700	-	K3	O-	-	-	-	Vmobbfdi	3dEz	-	920	3qFf+868	-	83.20000

More Details

Tranche Comments

E: First Pay: 2022-01-15; Redemption: 2023-08-16; S-1: First Pay: 2022-01-15; Redemption: 2023-08-16; Q-2: First Pay: 2022-01-15; Redemption: 2023-08-16; K-3: First Pay: 2022-01-15; Redemption: 2023-08-16; A: First Pay: 2022-01-15; Redemption: 2023-08-16; L: First Pay: 2022-01-15; Redemption: 2023-08-16; U: First Pay: 2022-01-15; Redemption: 2023-08-16; N: First Pay: 2022-01-15; Redemption: 2023-08-16; Jqq Jjr: First Pay: 2022-01-15; Redemption: 2023-08-16; Shr: First Pay: 2022-01-15; Redemption: 2023-08-16;

Deal Comments

Wmcmy. Yej-Qhff Hmrjemo 2.00.

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 31, 2020

WAL Test Period (YRS)

WAL Test Period End Date

Feb 15, 2017