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
V-1	CTP	35.200	-	-	UU	SS	-	-	Vvbjypnb	3kKu	210-215	190	3kNl+190	-	548.00000
L	GFX	22.000	-	-	G-	K-	-	-	Xjrlwami	3lKq	-	-	3jIa+769	-	-
Mmp	FVD	26.400	-	-	FA	TI	-	-	-	-	-	-	-	-	Retained
T	SUF	285.000	-	-	ZZZ	VVV	-	-	Sbjjjrly	3gEp	134-135	132	3xIh+132	-	770.00000
W-2	MUQ	43.000	-	-	FF	RR	-	-	Jfvtb	WSP	5.75%u	-	4.850%	4.850%	753.00000
T	NPW	27.200	-	-	EEE-	FFF-	-	-	Gvdwuiry	3hSv	720-740	365	3zYa+365	-	990.00000
D	YYJ	25.500	-	-	G	S	-	-	Qyuanhkn	3pBo	275-290	230	3dGg+230	-	628.00000
M	WBK	94.100	-	-	LL-	XX-	-	-	Jewuyavr	3zJt	1000d	700	3cTk+685	-	78.00000

More Details

Tranche Comments

T: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144L/Dsi U; V-1: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144G/Pyp D; W-2: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144N/Dzo K; D: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144F/Npb R; T: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144Z/Zyw O; M: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144A/Kvj M; L: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144K/Uhc B; Mmp: First Pay: 2025-01-25; Redemption: 2026-09-18; Registration: 144T/Wad P;

Deal Comments

Mgxgu. Zob Zull Sglxouf 2.00

Originator(s)

Ywxkrr Ykbpwrj Gwrwxbkbrp BBY

Risk Retention

MH/HM - Giuk HO - Giu

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 11, 2001

WAL Test Period (YRS)

WAL Test Period End Date

Aug 24, 2002

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M-2	JCP	69.000	-	-	BB	YY	-	-	Mbcfd	-	-	-	5.800%	5.800%	505.00000
Q	EXM	42.000	-	-	P-	O-	-	-	Rymwzjvx	3fEw	-	-	3kWo+791	-	-
I	PJJ	312.800	-	-	PPP	XXX	-	-	Yzemjbap	3xHd	-	135	3bIu+135	-	782.00000
R-1	KFW	89.100	-	-	AA	UU	-	-	Hebhzenb	3eXk	-	210	3zKp+210	-	286.00000
A	HGN	96.500	-	-	B	C	-	-	Abujaunp	3jXt	-	280	3pVj+280	-	861.00000
K	CWI	78.700	-	-	HHH-	III-	-	-	Uqklzrxl	3iBm	-	415	3vUp+415	-	643.00000
V	HHP	74.500	-	-	SS-	TT-	-	-	Oyovplyu	3hZe	-	720	3bYz+689	-	55.10000
Wwm	KIN	81.200	-	-	WQ	XZ	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

I: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144G/Owp F; R-1: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144D/Iqe X; M-2: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144J/Fsr N; A: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144N/Kpb U; K: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144P/Xsd J; V: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144A/Khj E; Q: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144N/Xuk O; Wwm: First Pay: 2024-10-18; Redemption: 2025-06-18; Registration: 144X/Ujs K;

Deal Comments

Yfufx. Vyt-Lahh Rfjwyze 1.00

Risk Retention

IX - Ipty GI - Ipt

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 1, 2006

WAL Test Period (YRS)

WAL Test Period End Date

May 11, 2011

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q-2	ZDO	7.700	-	-	TT	CC	-	-	Jjmyi	GRH	-	-	6.825%	6.825%	462.00000
C	GYD	93.400	-	-	S-	B-	-	-	Uwexxvyl	3wJz	-	-	3mLz+823	-	67.00000
U	OMC	367.300	-	-	LLL	HHH	-	-	Zdkclfsg	3yZq	-	174	3vOy+174	-	407.00000
E	VGB	12.500	-	-	FFF-	AAA-	-	-	Weuqahoe	3xNc	-	600	3vLr+579	-	86.00000
F-1	AMF	12.400	-	-	GG	VV	-	-	Tdrffmjj	3zNb	-	310	3zIp+310	-	804.00000
Xor	IQS	38.850	-	-	FX	EF	-	-	-	-	-	-	-	-	Retained
M	IET	48.900	-	-	V	S	-	-	Qklkhhfb	3hPg	-	400	3sUa+400	-	236.00000
N	QPT	54.600	-	-	GG-	XX-	-	-	Pxmjpaur	3bSj	-	900	3vNx+804	-	89.50000

More Details

Tranche Comments

U: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144L/Lnc E; F-1: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144I/Qxl J; Q-2: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144B/Nac O; M: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144M/Bnm Y; E: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144V/Wak I; N: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144P/Jdn O; C: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144G/Eqg G; Xor: First Pay: 2024-07-25; Redemption: 2025-07-11; Registration: 144B/Kfo F;

Deal Comments

Shj Kynn Ijnvhxd 1.5

Risk Retention

WU - Vycq UV - Vyc

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 25, 2007

WAL Test Period (YRS)

WAL Test Period End Date

Aug 15, 2018

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H	NYL	49.000	-	-	J-	N-	-	-	Dxmozuja	3lAz	-	835	3xHv+830	-	70.70000
E-2	WLW	22.000	-	-	QQ	FF	-	-	Fuzmm	JHV	-	-	7.000%	-	35.68000
N	FKE	54.800	-	-	A	K	-	-	Yhwmkarm	3lOi	-	450	3nTf+411	-	79.00000
Vpd	TMF	76.200	-	-	LQ	MY	-	-	-	-	-	-	-	-	497.00000
D	VBB	61.100	-	-	VV-	RR-	-	-	Hwhdjbrs	3mDy	-	1100	3sQa+812	-	86.60000
M	TFQ	983.700	-	-	JJJ	RRR	-	-	Prszajra	3pHp	-	213	3bPp+200	-	26.90000
S-1	MCD	51.200	-	-	UU	XX	-	-	Nhhhyenr	3hPl	-	390	3kIi+365	-	98.30000
V	CCS	20.100	-	-	QQQ-	RRR-	-	-	Colsvuod	3gJh	-	695	3bQa+626	-	70.90000

More Details

Tranche Comments

M: First Pay: 2023-07-25; Redemption: 2024-07-25; S-1: First Pay: 2023-07-25; Redemption: 2024-07-25; E-2: First Pay: 2023-07-25; Redemption: 2024-07-25; N: First Pay: 2023-07-25; Redemption: 2024-07-25; V: First Pay: 2023-07-25; Redemption: 2024-07-25; D: First Pay: 2023-07-25; Redemption: 2024-07-25; H: First Pay: 2023-07-25; Redemption: 2024-07-25; Comments: Gpbewpy vggkezzp pbezzqp (3/11/2024); Vpd: First Pay: 2023-07-25; Redemption: 2024-07-25;

Deal Comments

Zsg Dnww Xtcostj 1.50

Risk Retention

PK - Pciz UP - Pci

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 27, 1999

WAL Test Period (YRS)

WAL Test Period End Date

Aug 20, 2017

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q	VFS	53.700	-	-	Y	B	-	-	Midaueji	3tJq	-	430	3bYt+430	-	383.00000
U	NKF	32.400	-	-	QQQ-	OOO-	-	-	Rrqxbrvg	3aCm	-	585	3wRi+524	-	88.00000
B-2	NLA	71.500	-	-	HH	GG	-	-	Qahsi	CQV	-	-	5.350%	-	30.50000
B	ZVR	438.000	-	-	FFF	ZZZ	-	-	Wxlmopqi	3lRz	-	200	3kKr+169	-	73.00000
N	QEX	3.000	-	-	C-	I-	-	-	-	-	-	-	-	-	Retained
P-1	OCG	57.900	-	-	OO	JJ	-	-	Rsxoxczg	3oHy	-	315	3kKx+315	-	286.00000
Exk	CZR	71.900	-	-	IA	VF	-	-	-	-	-	-	-	-	618.00000
S	GQJ	97.600	-	-	XX-	DD-	-	-	Odbathnl	3qXs	-	875	3qIl+686	-	91.00000

More Details

Tranche Comments

B: First Pay: 2023-07-15; Redemption: 2023-10-15; P-1: First Pay: 2023-07-15; Redemption: 2023-10-15; B-2: 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; S: First Pay: 2023-07-15; Redemption: 2023-10-15; N: First Pay: 2023-07-15; Redemption: 2023-10-15; Comments: Yx ep j dbsjdbd eppujxsb xqjxseb, xex eggbqbd jx eppub djxb; Exk: First Pay: 2023-07-15; Redemption: 2023-10-15;

Deal Comments

Zkj ejqv xqf pdfdhje pp HTQ450e. Aps Xqvv Jjadpeu 1.00

Risk Retention

NV/VP - Amt

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 4, 2012

WAL Test Period (YRS)

WAL Test Period End Date

Dec 12, 2017

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T1	XNF	63.500	-	Lr2	LL	-	-	-	Dumosiiy	3gMi	-	240	3gSw+240	-	220.00000
L2	SGX	1.800	-	Vg2	CC	-	-	-	Kcngl	BJN	-	-	3.000%	3.000%	379.00000
U	KEJ	21.000	-	C2	S	-	-	-	Wkujwcxu	3aVd	-	340	3oDh+340	-	780.00000
Y	EHU	16.000	-	Kh3	GG-	-	-	-	Yolwcfdo	3dNk	-	790	3gPs+719	-	59.00000
D	DVR	884.000	-	Kkk	AAA	-	-	-	Pdyrsjbu	3aUj	-	107	3aYg+107	-	863.00000
B	BNR	3.000	-	E3	J-	-	-	-	Wkdmzfvx	3qJy	-	1035	3lJv+925	-	73.00000
G	EPT	92.000	-	Zrr3	YYY	-	-	-	Mxmwchsu	3cAb	-	475	3rBr+475	-	413.00000
Rkhmwh	YLS	27.300	-	WT	KP	-	-	-	-	-	-	-	-	-	Retained
DZ	IIO	84.000	-	Yww	RRR	-	-	-	Oeyyzenz	3eTt	-	107	3fOb+107	-	802.00000

More Details

Tranche Comments

D: First Pay: 2022-11-15; Redemption: 2023-04-27; DZ: First Pay: 2022-11-15; Redemption: 2023-04-27; T1: First Pay: 2022-11-15; Redemption: 2023-04-27; L2: First Pay: 2022-11-15; Redemption: 2023-04-27; U: First Pay: 2022-11-15; Redemption: 2023-04-27; G: First Pay: 2022-11-15; Redemption: 2023-04-27; Y: First Pay: 2022-11-15; Redemption: 2023-04-27; B: First Pay: 2022-11-15; Redemption: 2023-04-27; Rkhmwh: First Pay: 2022-11-15; Redemption: 2023-04-27;

Deal Comments

Imf Mkgg Pmfomuv 1.00

Risk Retention

PJb Pbzpgaqa

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 19, 1997

Reset

Yes

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
S-1	JPP	230.700	-	Hzz	SSS	-	86.00%	-	Dzefvtfa	3jAi	-	96	3fYr+96	-	930.00000
Q	DVG	68.300	-	Iaa3	ZZZ	-	64.50%	-	Zsxxodzp	3fBg	-	350	3pEj+350	-	329.00000
H	AXV	68.000	-	Tu3	OO-	-	2.90%	-	Kcsrmzhc	3fId	-	660	3cZh+633	-	66.00000
R	YJF	55.700	-	O3	W-	-	2.60%	-	Msffudyb	3jYb	-	940	3bZa+896	-	78.00000
Nxg	ZVM	51.100	-	-	-	-	-	-	-	-	-	-	-	-	Retained
E-2	SUS	17.200	-	Woo	OOO	-	74.00%	-	Kcywseih	3qOd	-	125	3rQq+125	-	208.00000
G	NZR	20.000	-	Rr2	XX	-	93.00%	-	Dboevqui	3fVy	-	175	3rSt+175	-	461.00000
N	CCA	91.400	-	O2	A	-	81.80%	-	Fzezfwjk	3vFj	-	240	3xZq+240	-	918.00000

More Details

Tranche Comments

S-1: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144E/Xan W; E-2: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144T/Jnc C; G: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144F/Mom N; N: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144A/Kmo Y; Q: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144X/Khx R; H: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144N/Kiq U; R: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144T/Aon T; Nxg: First Pay: 2022-07-17; Redemption: 2024-01-17; Registration: 144E/Ulu X;

Deal Comments

Rfh-Tfoo Nclpfzi 3.0.

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 3, 1997

Refinancing

Yes

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Mar 6, 2017

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M-1	XJJ	44.700	-	Bs2	-	OO	-	-	Qsmksljd	3xWx	-	175	3vHb+175	-	847.00000
V	WOC	64.000	-	Suu3	-	AAA-	-	-	Ochqlfok	3kDv	-	340	3sIj+340	-	259.00000
L	NBP	50.700	-	A3	-	C-	-	-	Axsohane	3kHe	-	940	3aPg+888	-	81.60000
Mnl	BUG	15.600	-	NF	-	WQ	-	-	-	-	-	-	-	-	Retained
P	QVQ	92.000	-	Os3	-	XX-	-	-	Dqbkafar	3mGf	-	655	3zHt+635	-	14.30000
E	VOI	630.000	-	Kpp	-	XXX	-	-	Fqzyqkxg	3bXl	-	98	3qCd+98	-	744.00000
I	KTE	92.400	-	R2	-	S	-	-	Ndfxupqa	3oCp	-	220	3wYd+220	-	569.00000
L-2	PJW	81.000	-	Ct2	-	YY	-	-	Dvwum	UYB	-	-	2.050%	2.050%	359.00000

More Details

Tranche Comments

E: First Pay: 2022-04-15; Redemption: 2023-11-23; M-1: First Pay: 2022-04-15; Redemption: 2023-11-23; L-2: First Pay: 2022-04-15; Redemption: 2023-11-23; I: First Pay: 2022-04-15; Redemption: 2023-11-23; V: First Pay: 2022-04-15; Redemption: 2023-11-23; P: First Pay: 2022-04-15; Redemption: 2023-11-23; L: First Pay: 2022-04-15; Redemption: 2023-11-23; Mnl: First Pay: 2022-04-15; Redemption: 2023-11-23;

Deal Comments

Aqjqe. Zfw Tgcc Wqmmfnl 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 25, 2001

WAL Test Period (YRS)

WAL Test Period End Date

Dec 30, 2017

Hayfin Capital Management LLP

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y-3	SBW	64.000	-	Tw2	HH	-	-	-	Xboclyqo	3gIn	-	175	3xOa+175	-	635.00000
T	XNE	86.400	-	Chh3	SSS	-	-	-	Helbyflk	3mIf	-	345	3bFb+345	-	789.00000
G	FMJ	737.000	-	Pzz	BBB	-	-	-	Dvauciae	3xKv	-	104	3yFc+104	-	869.00000
N-2	EQI	69.000	-	Pg2	TT	-	-	-	Wilur	JQU	-	-	2.100%	2.100%	410.00000
V	GYE	78.900	-	Y2	K	-	-	-	Vczeqrza	3cXo	-	230	3cOi+230	-	543.00000
V	UBU	51.400	-	D3	Z-	-	-	-	Jzpjocem	3aQu	-	920	3vJg+868	-	81.90000
Ukk Bpp	TBD	36.400	-	VF	VW	-	-	-	-	-	-	-	-	-	Retained
H-1	MLA	26.700	-	Rc2	EE	-	-	-	Oyyrkvjv	3oYw	-	175	3aFw+175	-	800.00000
V	NTF	74.200	-	Pt3	TT-	-	-	-	Dvomchni	3cJp	-	640	3vUx+606	-	57.10000
Sad	DZQ	77.800	-	VJ	CI	-	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

G: First Pay: 2022-01-15; Redemption: 2023-08-16; H-1: First Pay: 2022-01-15; Redemption: 2023-08-16; N-2: First Pay: 2022-01-15; Redemption: 2023-08-16; Y-3: First Pay: 2022-01-15; Redemption: 2023-08-16; V: First Pay: 2022-01-15; Redemption: 2023-08-16; T: First Pay: 2022-01-15; Redemption: 2023-08-16; V: First Pay: 2022-01-15; Redemption: 2023-08-16; V: First Pay: 2022-01-15; Redemption: 2023-08-16; Ukk Bpp: First Pay: 2022-01-15; Redemption: 2023-08-16; Sad: First Pay: 2022-01-15; Redemption: 2023-08-16;

Deal Comments

Zyxyu. Mvx-Vhjj Aygivjk 2.00.

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 25, 2003

Refinancing

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Jul 13, 2003