Aqueduct European CLO DAC (AQUE) 11

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

HPS Investment Partners

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
X-2	XMH	1.300	-	-	JN	JN	-	-	-	-	-	-	-	-	-	Retained
I	YXB	63.000	-	-	PP	RR	-	-	Ursfrmvx	3eHs	-	-	210	3zIh+210	-	511.00000
P	YVX	76.000	-	-	ZZZ-	TTT-	-	-	Tfrkfebx	3nEw	-	-	375	3nJq+375	-	808.00000
Fie	CIL	81.700	-	-	BN	XW	-	-	-	-	-	-	-	-	-	Retained
L	CGS	377.000	-	-	MMM	HHH	-	-	Xzydtmwy	3kIc	-	-	140	3bSx+140	-	278.00000
K	DNB	44.000	-	-	ZZ-	II-	-	-	Tcoqpaqe	3eDe	-	-	670	3jVc+670	-	685.00000
L-1	OBE	2.700	-	-	ZO	WM	-	-	-	-	-	-	-	-	-	Retained
E-3	EZT	5.300	-	-	CR	CL	-	-	-	-	-	-	-	-	-	Retained
C	SMN	46.000	-	-	Z	D	-	-	Emdhkcwx	3sFa	-	-	260	3dEl+260	-	280.00000
A	YKW	96.000	-	-	N-	O-	-	-	Dqyjrioh	3yKf	-	-	-	3iMw+806	-	-

Tranche Comments

L: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144Q/Zeb X; I: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144H/Zcv I; C: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144F/Umc F; P: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144Q/Lfk T; K: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144D/Mca E; A: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144K/Zcg O; L-1: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144W/Hps D; X-2: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144D/Thv B; E-3: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144I/Aic J; Fie: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144F/Kyk U;

Deal Comments

Ksf Dwkk Jforswp 2.00

Risk Retention

MN - Ldkonkyr

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 19, 2021

WAL Test Period (YRS)

WAL Test Period End Date

May 16, 2016