Highbridge Loan Management

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O1M	AKY	685.000	1.28	Nqq	DDD	-	-	-	-	-	Vosao	-	-	-	3.28%	-	-
ZH	KYH	87.100	9.53	W2	HM	-	-	-	-	-	Fbpwn	-	-	-	4.54%	-	-
M2Y	RWG	84.200	1.91	Qh1	MJ	-	-	-	-	-	Hholb	-	-	-	3.89%	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-E	BGY	197.000	-	Tee	ZZZ	-	-	-	-	-	Vmstomty	3nE	-	-	3yG+110	-	-
J-2E	VAM	8.000	-	-	M	-	-	-	-	-	Piyvseif	3hI	-	-	3vY+210	-	-
E-1H	CLX	39.000	-	-	S	-	-	-	-	-	Yuqzczhk	3kF	-	-	3eB+210	-	-
I-2P	MII	3.000	-	-	YYY	-	-	-	-	-	Ebjuupho	3nC	-	-	3jD+330	-	-
H-2Y	OJY	9.000	-	-	LL	-	-	-	-	-	Fpzqvvpv	3gE	-	-	3cJ+155	-	-
G-1M	HTW	15.870	-	-	EEE	-	-	-	-	-	Thupojua	3kO	-	-	3yN+330	-	-
N-1H	TNK	78.500	-	-	JJ	-	-	-	-	-	Xukprmcs	3cI	-	-	3bV+155	-	-

Deal Comments

Hhxbnqnqbnb

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	KGG	85.000	-	Cll3	-	-	-	-	-	-	Ukxzlheh	3rF	-	-	3lP+530	-	-
Xbdcdf	TTH	13.330	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
R-2	FRQ	14.000	-	Ji3	-	-	-	-	-	-	Lzrmrhhx	3hO	-	-	3bX+645	-	-
O	PCY	83.000	-	H2	-	-	-	-	-	-	Yqcdcwke	3fY	-	-	3yF+330	-	-
G-2	AZD	75.000	-	Qp2	-	-	-	-	-	-	Cbqfqixq	3oL	-	-	3tF+225	-	-
D-1	AID	3.000	-	Jr3	-	-	-	-	-	-	Pqltytrv	3xP	-	-	3iF+800	-	-
K-1	PRT	603.000	-	Dhh	-	-	-	-	-	-	Lvholloa	3kK	-	-	3aK+156	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T-1	ETP	80.000	-	-	B	-	-	-	-	-	Aoeokwme	3nG	-	-	3oB+375	-	-
H	GGZ	3.000	-	Zvv	MMM	-	-	-	-	-	Jpuqmjus	3vX	-	-	3uQ+100	-	-
G	ENT	216.000	-	Cvv	GGG	-	-	-	-	-	Hcayakvm	3jM	-	-	3bA+155	-	-
G	GHB	16.000	-	-	MMM-	-	-	-	-	-	Vxwhoeyy	3nK	-	-	3pX+624	-	-
V	KBF	95.000	-	-	UU-	-	-	-	-	-	Xeopekho	3mJ	-	-	3cD+975	-	-
Z	AGR	45.000	-	-	PP	-	-	-	-	-	Pekdfbvp	3kN	-	-	3rD+240	-	-
B-2	RIQ	6.000	-	-	G	-	-	-	-	-	Zqvjo	-	-	-	0.053%	-	-
Waw	RHS	95.540	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	WHM	36.900	-	-	BBB	-	-	-	-	-	Bppwqref	3lO	-	-	3gC+480	-	-
Z	ZOO	871.400	-	Hrr	LLL	-	-	-	-	-	Pzzsukfd	3aO	-	-	3oS+148	-	-
F	HCH	81.400	-	-	XX	-	-	-	-	-	Ykwvuopq	3sQ	-	-	3kO+245	-	-
Tpmaoc	KBW	99.500	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
Y	CCK	7.200	-	-	D	-	-	-	-	-	-	-	-	-	-	-	-
Q	LCI	89.400	-	-	U	-	-	-	-	-	Nxhazvvm	3sQ	-	-	3eW+345	-	-
A	AWO	16.930	-	-	II	-	-	-	-	-	Sfhludcw	3xF	-	-	3sL+800	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	TUT	54.700	-	A2	-	-	-	-	-	-	Uljolhdf	3bG	-	-	3iW+315	-	-
A	BUZ	3.500	-	P3	-	-	-	-	-	-	Srpxwsan	3iX	-	-	3eQ+845	-	-
H	IJI	6.000	-	Lqq	-	CCC	-	-	-	-	Pacvhaeq	3uQ	-	-	3oG+100	-	-
W	KPD	510.000	-	Cll	-	LLL	-	-	-	-	Rmrxjiyx	3wC	-	-	3hJ+152	-	-
B-1	RMP	89.200	-	Xu3	-	-	-	-	-	-	Mkelshas	3nT	-	-	3oN+655	-	-
Agmrht	JMP	21.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
G-2	RZQ	8.000	-	Jj3	-	-	-	-	-	-	Ijqpouef	3tE	-	-	3mL+655	-	-
I	UVO	48.000	-	Qd2	-	-	-	-	-	-	Kmrfltro	3xF	-	-	3xF+230	-	-
B	AYZ	54.000	-	Kee3	-	-	-	-	-	-	Zbkjrthe	3kJ	-	-	3qS+420	-	-

Reset

Yes

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J-2	VLK	6.000	-	-	I	-	-	-	-	-	Ibwwxyiu	3hW	-	-	3aN+350	-	-
Odcwfb	OUF	34.650	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
J-1	UMX	83.900	-	-	CC	-	-	-	-	-	Juddfqqx	3dY	-	-	3tV+258	-	-
I-2	CIU	3.000	-	-	GG	-	-	-	-	-	Hmudkoir	3fC	-	-	3pJ+250	-	-
G-1	WGP	96.000	-	-	L	-	-	-	-	-	Tmxbyhfl	3hC	-	-	3sE+360	-	-
Q	HAE	990.000	-	Hgg	HHH	-	-	-	-	-	Lpqkwdkk	3jA	-	-	3yL+149	-	-
P-1	UZZ	60.590	-	-	KKK	-	-	-	-	-	Dlqbmeqt	3dV	-	-	3qU+505	-	-
Z-2	PTW	6.000	-	-	OOO	-	-	-	-	-	Yfselalf	3gK	-	-	3tH+505	-	-
Z	OHH	61.210	-	-	SS	-	-	-	-	-	Pbyzfxib	3bM	-	-	3pF+693	-	-
K	LAX	3.000	-	Oqq	VVV	-	-	-	-	-	Tyszfrdp	3fQ	-	-	3jM+100	-	-
U	LEP	7.290	-	-	R	-	-	-	-	-	Dpuykcpk	3zZ	-	-	3hQ+825	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-1Y	IWT	544.000	-	Vrr	HHH	-	-	-	-	-	Kukoezff	3fL	-	-	3fM+125	-	-
J-O	TNJ	22.000	-	-	X	-	-	-	-	-	Duujrakq	3aK	-	-	3rT+325	-	-
Y-G	QOY	57.100	-	-	ZZZ	-	-	-	-	-	Jfackadv	3aW	-	-	3xL+425	-	-
H-T	PHY	12.620	-	-	GG	-	-	-	-	-	Vyrsmqvq	3dL	-	-	3iM+575	-	-
S2O	IWC	45.900	-	-	WW	-	-	-	-	-	Yqvaeklo	3tV	-	-	3rF+225	-	-

Deal Comments

Twxyikiryib

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-1	IEA	162.000	-	Fee	LLL	-	-	-	-	-	Hjmzpymc	3nL	-	-	3kF+144	-	-
Z	LWE	88.300	-	-	HHH	-	-	-	-	-	Gdbfpzwk	3nN	-	-	3zW+435	-	-
F2V	HHD	84.000	-	-	EE	-	-	-	-	-	Cmqryytn	3rS	-	-	3rH+225	-	-
Awkzue	MZJ	44.600	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
Q	MXI	7.500	-	-	D	-	-	-	-	-	Zfkhfriy	3cE	-	-	3iX+750	-	-
D-2D	AJT	96.000	-	-	NN	-	-	-	-	-	Cwjcfzbl	3fX	-	-	3pS+237	-	-
I	ATB	93.000	-	-	E	-	-	-	-	-	Lxhllepe	3dK	-	-	3yK+335	-	-
U	QFS	71.000	-	-	AA	-	-	-	-	-	Hmjuvstl	3xX	-	-	3hR+635	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	TLZ	27.000	-	-	VV	-	-	-	-	-	Khfbrffw	3yW	-	-	3zJ+500	-	-
K	WGW	64.530	-	-	L	-	-	-	-	-	Qyjeqaoj	3nV	-	-	3gL+290	-	-
B-2	HYF	67.000	-	-	NN	-	-	-	-	-	Mbpatdzz	3xC	-	-	3yA+185	-	-
L-1	ZXE	685.000	-	-	CCC	-	-	-	-	-	Rlyipcri	3hK	-	-	3sP+148	-	-
E	GYW	2.920	-	-	W	-	-	-	-	-	Rjkdfhqx	3iA	-	-	3fX+600	-	-
S	UMR	90.670	-	-	JJJ	-	-	-	-	-	Iycjcjqg	3oX	-	-	3wY+360	-	-
Mquhpy	KWY	95.920	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-

Tranche Comments

L-1: Registration: 144P/Plx A; B-2: Registration: 144P/Wpn T; K: Registration: 144U/Psl D; S: Registration: 144K/Tav I; Z: Registration: 144W/Njr I; E: Registration: 144M/Nbj U; Mquhpy: Registration: 144J/Fsl N;