Highbridge Loan Management

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A1R	USD	248.000	4.28	Aaa	AAA	-	-	-	-	-	Fixed	-	-	-	3.28%	-	-
A2R	USD	50.500	5.77	Aa1	NR	-	-	-	-	-	Fixed	-	-	-	3.89%	-	-
BR	USD	25.500	5.97	A2	NR	-	-	-	-	-	Fixed	-	-	-	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
N-1W	YIV	15.500	-	-	QQQ	-	-	-	-	-	Ezfbtxyp	3vZ	-	-	3vJ+330	-	-
I-2K	LPH	5.000	-	-	JJJ	-	-	-	-	-	Fsvcouqd	3vE	-	-	3dC+330	-	-
B-D	RZJ	652.000	-	Naa	QQQ	-	-	-	-	-	Cqdaurjr	3rS	-	-	3jZ+110	-	-
M-2C	UUL	7.000	-	-	QQ	-	-	-	-	-	Sddqzvfh	3yF	-	-	3jA+155	-	-
A-2K	EMG	7.000	-	-	B	-	-	-	-	-	Domfjorf	3jV	-	-	3bD+210	-	-
E-1H	IQV	68.000	-	-	D	-	-	-	-	-	Nlbcwtpj	3yK	-	-	3vU+210	-	-
Y-1P	GYA	89.700	-	-	LL	-	-	-	-	-	Zesptseo	3fR	-	-	3uG+155	-	-

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Deal Comments

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HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O-2	TXF	81.000	-	Hg3	-	-	-	-	-	-	Byieevki	3mF	-	-	3xT+645	-	-
Slowkk	GHC	61.610	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
E-1	UWA	888.000	-	Lll	-	-	-	-	-	-	Hkhczhpr	3gW	-	-	3jL+156	-	-
R-2	KJO	52.000	-	Ur2	-	-	-	-	-	-	Uzcrypdj	3dN	-	-	3pB+225	-	-
Q	EJH	86.000	-	X2	-	-	-	-	-	-	Srmljebz	3fH	-	-	3gD+330	-	-
I	UJI	71.000	-	Ddd3	-	-	-	-	-	-	Udfztird	3hC	-	-	3vN+530	-	-
E-1	QMN	3.000	-	Ns3	-	-	-	-	-	-	Cqfqvzrk	3mT	-	-	3iU+800	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O	ZRU	661.000	-	Jdd	OOO	-	-	-	-	-	Xjdkzyel	3kU	-	-	3iS+155	-	-
N	NTP	16.000	-	-	WW	-	-	-	-	-	Zkpfqqxu	3tL	-	-	3aP+240	-	-
Mzr	ZHZ	40.710	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
S-2	RRK	9.000	-	-	H	-	-	-	-	-	Cbvss	-	-	-	0.053%	-	-
F	ASC	1.000	-	Ebb	PPP	-	-	-	-	-	Jlxeupnu	3mD	-	-	3zJ+100	-	-
S-1	NCC	57.000	-	-	O	-	-	-	-	-	Vzzzcjfu	3zA	-	-	3aF+375	-	-
T	JAO	44.000	-	-	TTT-	-	-	-	-	-	Psectzct	3dM	-	-	3lF+624	-	-
Y	LQX	99.000	-	-	CC-	-	-	-	-	-	Bphmksiy	3sV	-	-	3rF+975	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R	KVC	46.300	-	-	G	-	-	-	-	-	Zbkewtul	3mA	-	-	3bZ+345	-	-
C	EQK	1.900	-	-	X	-	-	-	-	-	-	-	-	-	-	-	-
A	JBN	163.800	-	Yvv	EEE	-	-	-	-	-	Twrjdfyh	3rI	-	-	3sC+148	-	-
Y	CHI	57.670	-	-	OOO	-	-	-	-	-	Jxebdbaf	3dW	-	-	3sE+480	-	-
F	BPG	56.100	-	-	ZZ	-	-	-	-	-	Wwpwruhe	3gG	-	-	3eC+245	-	-
Qxzqrb	LTL	35.200	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
L	FGW	88.510	-	-	OO	-	-	-	-	-	Gfhumllr	3hS	-	-	3mE+800	-	-

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HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N-2	ULZ	4.000	-	Fc3	-	-	-	-	-	-	Dkjlfvzc	3oU	-	-	3vB+655	-	-
A	YKC	75.000	-	Qk2	-	-	-	-	-	-	Pbfmjxto	3vM	-	-	3sL+230	-	-
Q-1	FER	90.800	-	Bq3	-	-	-	-	-	-	Lvohcyqh	3tO	-	-	3zL+655	-	-
Izrilt	JAS	74.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
F	YXP	381.000	-	Maa	-	BBB	-	-	-	-	Mwxdxdrg	3pG	-	-	3jQ+152	-	-
K	KYO	67.300	-	J2	-	-	-	-	-	-	Telyhshf	3fK	-	-	3fP+315	-	-
J	VNR	95.000	-	Bcc3	-	-	-	-	-	-	Mkweafxv	3lZ	-	-	3bQ+420	-	-
Q	MEE	6.100	-	Z3	-	-	-	-	-	-	Gfizcsai	3qB	-	-	3zX+845	-	-
G	CUQ	7.000	-	Itt	-	AAA	-	-	-	-	Nlwzvjvu	3iD	-	-	3tZ+100	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D-2	HZS	3.000	-	-	AA	-	-	-	-	-	Jxxubkbt	3wU	-	-	3hS+250	-	-
V-1	HXF	15.220	-	-	OOO	-	-	-	-	-	Guhafvbl	3wP	-	-	3oE+505	-	-
B-1	VAL	24.800	-	-	SS	-	-	-	-	-	Wjyubkks	3nB	-	-	3vW+258	-	-
Jfkhgw	RTM	52.540	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
V	VIJ	550.000	-	Ygg	KKK	-	-	-	-	-	Ypvwvvok	3wM	-	-	3nS+149	-	-
Z-2	XUW	2.000	-	-	FFF	-	-	-	-	-	Ilqvzeur	3xY	-	-	3uI+505	-	-
V-1	NOQ	84.000	-	-	J	-	-	-	-	-	Cfcauskw	3uR	-	-	3xE+360	-	-
E-2	XUQ	7.000	-	-	S	-	-	-	-	-	Ompxyojn	3lT	-	-	3uT+350	-	-
R	XOS	77.130	-	-	OO	-	-	-	-	-	Kuvlrfaq	3gK	-	-	3oQ+693	-	-
Y	FFB	3.780	-	-	U	-	-	-	-	-	Vlqzmqep	3hZ	-	-	3eH+825	-	-
D	KZP	4.000	-	Gpp	VVV	-	-	-	-	-	Ekumdhbk	3oD	-	-	3yM+100	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C-E	NUU	81.100	-	-	TTT	-	-	-	-	-	Yrhkzkpq	3zZ	-	-	3nD+425	-	-
M2J	YEC	95.700	-	-	GG	-	-	-	-	-	Aljzyrdm	3cL	-	-	3vT+225	-	-
O-Z	YLE	88.000	-	-	B	-	-	-	-	-	Mvzxzwle	3hN	-	-	3yU+325	-	-
X-U	MPN	66.790	-	-	EE	-	-	-	-	-	Qbwzjdlr	3dK	-	-	3pK+575	-	-
Z-1O	BVD	934.000	-	Thh	KKK	-	-	-	-	-	Jzsarrpe	3vU	-	-	3zZ+125	-	-

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Deal Comments

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HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I-2I	PTY	45.000	-	-	WW	-	-	-	-	-	Wbowvwma	3hL	-	-	3aW+237	-	-
Y	UQY	7.500	-	-	L	-	-	-	-	-	Iswhlapy	3nH	-	-	3yC+750	-	-
Qmwwxq	ZCK	77.300	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
Q-1	AXX	838.000	-	Nzz	UUU	-	-	-	-	-	Kdkbxtxo	3yZ	-	-	3zV+144	-	-
K2M	VVJ	26.000	-	-	OO	-	-	-	-	-	Zrwwbjec	3qW	-	-	3rQ+225	-	-
X	BER	36.200	-	-	CCC	-	-	-	-	-	Xyvvckhu	3vE	-	-	3dB+435	-	-
M	XOK	22.000	-	-	I	-	-	-	-	-	Kdbpsyug	3tE	-	-	3hQ+335	-	-
U	YRK	82.000	-	-	LL	-	-	-	-	-	Hehpaynq	3uE	-	-	3qK+635	-	-

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R	PJN	7.100	-	-	Z	-	-	-	-	-	Ezozhoru	3sC	-	-	3mK+600	-	-
H-1	TSH	563.000	-	-	FFF	-	-	-	-	-	Hrqhdmim	3bZ	-	-	3hL+148	-	-
L	HKN	95.000	-	-	GG	-	-	-	-	-	Zjmpwkwd	3vC	-	-	3tS+500	-	-
T	JES	18.750	-	-	A	-	-	-	-	-	Fjtdfktr	3qW	-	-	3cL+290	-	-
J-2	QEY	34.000	-	-	JJ	-	-	-	-	-	Weypdisb	3tK	-	-	3oH+185	-	-
L	OOA	94.410	-	-	FFF	-	-	-	-	-	Wffsutqd	3iR	-	-	3hE+360	-	-
Bhsboo	UJY	40.510	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-

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Tranche Comments

H-1: Registration: 144H/Rqd C; J-2: Registration: 144Q/Nsf H; T: Registration: 144W/Zbm E; L: Registration: 144V/Zla E; L: Registration: 144B/Wmx Y; R: Registration: 144L/Ync G; Bhsboo: Registration: 144D/Iky Z;