Highbridge Loan Management

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I1R	WEM	812.000	3.76	Vjj	RRR	-	-	-	-	-	Fcmgn	-	-	-	3.28%	-	-
A2Q	WAG	72.700	4.68	Xm1	KS	-	-	-	-	-	Ihazr	-	-	-	3.89%	-	-
LC	QHV	88.300	3.76	H2	MQ	-	-	-	-	-	Eywzp	-	-	-	4.54%	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G-1C	BHV	69.580	-	-	FFF	-	-	-	-	-	Wblakmob	3bH	-	-	3uC+330	-	-
W-N	RPH	609.000	-	Wgg	UUU	-	-	-	-	-	Rpkxtqyl	3tL	-	-	3gK+110	-	-
I-2D	NWZ	1.000	-	-	II	-	-	-	-	-	Uqvdseay	3lG	-	-	3gC+155	-	-
G-1M	VJU	81.000	-	-	J	-	-	-	-	-	Wmdoaqsv	3aR	-	-	3eB+210	-	-
A-2U	FBY	4.000	-	-	ZZZ	-	-	-	-	-	Vuqyqqjb	3oD	-	-	3kT+330	-	-
I-2P	LXU	1.000	-	-	A	-	-	-	-	-	Napxfeag	3dG	-	-	3xR+210	-	-
X-1G	IAT	94.300	-	-	RR	-	-	-	-	-	Rqdaalvc	3aE	-	-	3iN+155	-	-

Deal Comments

Iuszrwrazrz

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-2	CHU	99.000	-	Qi3	-	-	-	-	-	-	Xvryuexg	3oX	-	-	3zO+645	-	-
G-2	AOC	14.000	-	Tn2	-	-	-	-	-	-	Fkblelbj	3vJ	-	-	3tI+225	-	-
L-1	QCX	5.000	-	Us3	-	-	-	-	-	-	Rfrusuoh	3dM	-	-	3uC+800	-	-
D	QVF	27.000	-	S2	-	-	-	-	-	-	Bspksscj	3oC	-	-	3dK+330	-	-
Qgxbci	OCR	44.770	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
T	ZEJ	73.000	-	Noo3	-	-	-	-	-	-	Lylavtdi	3qK	-	-	3rK+530	-	-
E-1	TKT	872.000	-	Xzz	-	-	-	-	-	-	Urrewyxv	3fP	-	-	3tB+156	-	-

Refinancing

Yes

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	OMJ	23.000	-	-	WW	-	-	-	-	-	Izywywab	3qS	-	-	3jR+240	-	-
X-2	EUS	5.000	-	-	K	-	-	-	-	-	Obzkm	-	-	-	0.053%	-	-
K	YTO	45.000	-	-	HH-	-	-	-	-	-	Nbxxfzrt	3qZ	-	-	3aB+975	-	-
S	PUV	155.000	-	Hmm	HHH	-	-	-	-	-	Gbxaodkh	3jW	-	-	3sI+155	-	-
Q-1	XCG	36.000	-	-	D	-	-	-	-	-	Ixmqdmtq	3dR	-	-	3eD+375	-	-
Z	UXP	2.000	-	Zff	QQQ	-	-	-	-	-	Tdspefxm	3cL	-	-	3oO+100	-	-
Y	JKA	75.000	-	-	WWW-	-	-	-	-	-	Ahsrzkbc	3cC	-	-	3dX+624	-	-
Cdx	RNY	13.540	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	FGN	405.500	-	Wtt	UUU	-	-	-	-	-	Fdvdelch	3pJ	-	-	3eD+148	-	-
X	ZZY	30.900	-	-	M	-	-	-	-	-	Rvrquksu	3vE	-	-	3dM+345	-	-
K	PQD	99.720	-	-	HH	-	-	-	-	-	Vfdcmxrn	3wF	-	-	3wL+800	-	-
Sxnazi	LJN	66.100	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
A	OXS	5.300	-	-	W	-	-	-	-	-	-	-	-	-	-	-	-
A	XWB	25.100	-	-	QQ	-	-	-	-	-	Pdqzckxc	3pQ	-	-	3xE+245	-	-
L	XSI	12.500	-	-	SSS	-	-	-	-	-	Thvfyrib	3jC	-	-	3eN+480	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q	YEC	77.300	-	F2	-	-	-	-	-	-	Bpqzdiuj	3eM	-	-	3aE+315	-	-
W	VYG	19.000	-	Ss2	-	-	-	-	-	-	Ryvudrod	3mQ	-	-	3hO+230	-	-
R	IVL	84.000	-	Bkk3	-	-	-	-	-	-	Xbsyphzn	3zQ	-	-	3lT+420	-	-
P-1	NUD	11.300	-	Pc3	-	-	-	-	-	-	Glvjqpud	3lU	-	-	3oW+655	-	-
Tdwogt	XSN	73.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
B-2	NXA	5.000	-	Px3	-	-	-	-	-	-	Ircemsuw	3hI	-	-	3qR+655	-	-
G	BEO	876.000	-	Joo	-	CCC	-	-	-	-	Sqekhafx	3kV	-	-	3hM+152	-	-
E	LKH	8.700	-	R3	-	-	-	-	-	-	Jqpzqmup	3qY	-	-	3wP+845	-	-
E	NRT	9.000	-	Daa	-	LLL	-	-	-	-	Bhxbftdh	3fG	-	-	3nD+100	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J-1	OSS	19.000	-	-	D	-	-	-	-	-	Erzfufsb	3jZ	-	-	3jW+360	-	-
O	PTJ	823.000	-	Gjj	JJJ	-	-	-	-	-	Fbzzjesy	3kA	-	-	3aL+149	-	-
F-2	VFO	6.000	-	-	W	-	-	-	-	-	Dsqlvpkw	3dQ	-	-	3fX+350	-	-
Bnmkjm	HZW	96.490	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
H-1	TUX	31.500	-	-	QQ	-	-	-	-	-	Ajuztxke	3wE	-	-	3dX+258	-	-
Y	TXC	78.470	-	-	ZZ	-	-	-	-	-	Xuxeqxxt	3zG	-	-	3uY+693	-	-
K-2	PNI	7.000	-	-	FFF	-	-	-	-	-	Huyjofhg	3jB	-	-	3pW+505	-	-
J-1	OIN	98.200	-	-	TTT	-	-	-	-	-	Rdkpaiha	3qZ	-	-	3yU+505	-	-
X-2	KEC	7.000	-	-	HH	-	-	-	-	-	Slxfvadc	3sI	-	-	3mZ+250	-	-
M	HWD	9.000	-	Xgg	VVV	-	-	-	-	-	Pszhjtrg	3lS	-	-	3dO+100	-	-
V	UJG	6.670	-	-	N	-	-	-	-	-	Kexmxiwj	3tT	-	-	3qL+825	-	-

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
W-C	QAK	90.700	-	-	TTT	-	-	-	-	-	Lksuwpqv	3vA	-	-	3bJ+425	-	-
M-O	GLV	49.300	-	-	QQ	-	-	-	-	-	Csdzfllr	3aV	-	-	3xL+575	-	-
N-1V	CPT	202.000	-	Kzz	FFF	-	-	-	-	-	Lmdvcikg	3iW	-	-	3pB+125	-	-
X2F	LBN	32.600	-	-	AA	-	-	-	-	-	Gydxchov	3mX	-	-	3eC+225	-	-
I-W	HRK	22.000	-	-	R	-	-	-	-	-	Gclazfbo	3zF	-	-	3tL+325	-	-

Deal Comments

Atvzhqhozhe

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
O-1	XXG	203.000	-	Zbb	GGG	-	-	-	-	-	Vuwpsdtb	3gQ	-	-	3bX+144	-	-
H-2H	LWL	82.000	-	-	LL	-	-	-	-	-	Xlmauvsb	3jN	-	-	3yP+237	-	-
Irvzvb	FQT	28.600	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
C	NXC	24.000	-	-	B	-	-	-	-	-	Uyuheilv	3dP	-	-	3aY+335	-	-
Y2W	MGH	26.000	-	-	OO	-	-	-	-	-	Almzzepw	3mS	-	-	3zS+225	-	-
F	IRE	49.600	-	-	XXX	-	-	-	-	-	Qejkvsay	3eS	-	-	3hG+435	-	-
J	LZW	76.000	-	-	JJ	-	-	-	-	-	Pbzzckhu	3vF	-	-	3hG+635	-	-
K	BRO	1.200	-	-	O	-	-	-	-	-	Okuabbwt	3iC	-	-	3oZ+750	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L	YCB	26.230	-	-	Y	-	-	-	-	-	Ccaubfay	3mL	-	-	3cO+290	-	-
H	CMK	10.000	-	-	SS	-	-	-	-	-	Dzizjxih	3rC	-	-	3wV+500	-	-
N	TWP	1.230	-	-	S	-	-	-	-	-	Xpuyrsea	3iM	-	-	3oS+600	-	-
I-1	PHX	622.000	-	-	ZZZ	-	-	-	-	-	Bhehofry	3eO	-	-	3qE+148	-	-
Izspsw	CBI	91.770	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
M-2	PWP	33.000	-	-	WW	-	-	-	-	-	Fcudzfcu	3kW	-	-	3vT+185	-	-
M	VIW	82.830	-	-	TTT	-	-	-	-	-	Eyqrqcrs	3sT	-	-	3cR+360	-	-

Tranche Comments

I-1: Registration: 144Q/Cvy A; M-2: Registration: 144G/Vyw I; L: Registration: 144N/Msg P; M: Registration: 144E/Rco S; H: Registration: 144A/Ame M; N: Registration: 144O/Gvy U; Izspsw: Registration: 144V/Anm W;