Henley CLO XII DAC: 26 December 2024

The assets securing the Notes will consist primarily of a portfolio of Senior Loans, Senior Secured Bonds, Mezzanine Obligations and High Yield Bonds, and will be managed by Napier Park Global Capital Ltd (the Collateral Manager).

Eligibility criteria (includes): it is a Senior Secured Loan, a Senior Secured Bond, an Unsecured Senior Loan, a Mezzanine Obligation, a Second Lien Loan, a Corporate Rescue Loan, Exchanged Obligation or a High Yield Bond; it is not a Defaulted Obligation or a Credit Impaired Obligation; it is not a Structured Finance Security or a Synthetic Security; it is not a Zero Coupon Security; other than in the case of a Corporate Rescue Loan, a Current Pay Obligation or an obligation which is Uptier Priming Debt, it has a Fitch Rating of not lower than “CCC-” and an S&P Rating of not lower than “CCC-”; it is an obligation in respect of which the Obligor (or the guarantor of such obligation) is Domiciled in a Qualifying Country, as determined by the Collateral Manager; it is not a Project Finance Loan; it is not a letter of credit.

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Collateral Debt Obligations, the Aggregate Principal Balance of which equals at least €400mln (representing 100.00% of the Target Par Amount).

The Notes are being offered by the Issuer through Barclays Bank PLC in its capacity as sole arranger and initial purchaser of the offering of such Notes, subject to prior sale.

EU & UK Risk Retention: The Retention Holder (NP Europe Loan Management I) will undertake to acquire on the Issue Date and retain, in its capacity as “originator” for the purposes of the EU/UK Retention Requirements, on an ongoing basis for so long as any Class of Notes remains outstanding, a material net economic interest equal to not less than 5% of the nominal value of each Class of Notes, pursuant to paragraph 3(a) of Article 6 of the EU/UK Securitisation Regulation as in effect on the Issue Date.

US Risk Retention: The Collateral Manager has informed the Issuer that neither it nor any of its affiliates intends to purchase or retain any Notes for purposes of complying with the US Risk Retention Rules on or after the Issue Date.