Aqueduct European CLO DAC (AQUE) 6-2021

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
AEUR242.000--AAAAAA39.50%-Floating3mEu-963mEu+96-100.00000
B1EUR24.000--AAAA--Floating3mEu-1753mEu+175-100.00000
B2EUR10.000--AAAA31.00%-FixedYLD--2.000%2.000%100.00000
CEUR42.000--AA-20.50%-Floating3mEu-2103mEu+210-100.00000
DEUR26.000--BBB-BBB-14.00%-Floating3mEu-3103mEu+310-100.00000
EEUR18.000--BB-BB---Floating3mEu-6353mEu+635-100.00000
Z1EUR0.100--NRNR--------Retained
Z2EUR7.000--NRNR--------Retained
Z3EUR0.100--NRNR--------Retained
PTCEUR48.400--NRNR--------Retained
Tranche Comments
A: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144A/Reg S; B1: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144A/Reg S; B2: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144A/Reg S; C: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144A/Reg S; D: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144A/Reg S; E: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144A/Reg S; Z1: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144A/Reg S; Z2: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144A/Reg S; Z3: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144A/Reg S; PTC: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144A/Reg S;
Deal Comments
Non Call Period: 2.00
Risk Retention
EU - Vertical/Originator
Reinvestment Period (YRS)
5
Reinvestment Period End Date
Dec 15, 2026