Aqueduct European CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	96.000	6.10	-	AAA	AAA	38.00%	-	Floating	3mEu	-	128	3mEu+128	-	100.00000
AL	EUR	90.000	6.10	-	AAA	AAA	38.00%	-	Floating	3mEu	-	128	3mEu+128	-	100.00000
B	EUR	33.000	8.10	-	AA	AA	27.00%	-	Floating	3mEu	-	195	3mEu+195	-	100.00000
C	EUR	18.000	8.80	-	A	A	21.00%	-	Floating	3mEu	-	220	3mEu+220	-	100.00000
D	EUR	21.000	9.40	-	BBB	BBB-	14.00%	-	Floating	3mEu	-	320	3mEu+320	-	100.00000
E	EUR	12.700	9.90	-	BB-	BB-	9.77%	-	Floating	3mEu	-	600	3mEu+596	-	99.75000
F	EUR	9.700	10.30	-	B-	B-	6.53%	-	Floating	3mEu	-	925	3mEu+841	-	95.00000

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Tranche Comments

A: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144A/Reg S; AL: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144A/Reg S; B: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144A/Reg S; C: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144A/Reg S; D: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144A/Reg S; E: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144A/Reg S; F: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144A/Reg S;

Deal Comments

Reset. Non Call Period: 2.00

Risk Retention

EU: Vertical

Pricing Speed

20% CPR

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 15, 2029

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I	ELY	11.000	-	-	QQQ-	PPP-	-	-	Wdekxtmf	3jVm	640-650	585	3sXn+585	-	865.00000
Ggdhzn	THX	43.900	-	-	HP	JR	-	-	-	-	-	-	-	-	Retained
A-1	JHG	37.700	-	-	RR	XX	-	-	Qqyshvtd	3pQm	370-380	300	3aNq+300	-	302.00000
D	OHY	16.900	-	-	P	Y	-	-	Bzdqyfsp	3eQa	440-450	400	3wTj+400	-	344.00000
O-2	MZU	2.000	-	-	ZZ	EE	-	-	Vzvcx	XTS	-	-	6.750%	-	11.00000
F	JKF	66.700	-	-	WW-	DD-	-	-	Uekdtokr	3fIw	950-975	860	3lMo+719	-	29.00000
R	ILX	10.000	-	-	PPP	KKK	-	-	Ymlpkcce	3xOe	215r	205	3pRi+205	-	526.00000
T-S	DSD	46.000	-	-	TTT	AAA	-	-	Urvphcig	3oFb	-	205	3vXh+205	-	642.00000
U	EPD	4.000	-	-	F-	V-	-	-	Vpwdwdms	3bWx	-	1250	3mLa+1007	-	30.00000

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Tranche Comments

R: Redemption: 2024-08-16; T-S: Redemption: 2024-08-16; A-1: Redemption: 2024-08-16; O-2: Redemption: 2024-08-16; D: Redemption: 2024-08-16; I: Redemption: 2024-08-16; F: Redemption: 2024-08-16; U: Redemption: 2024-08-16; Ggdhzn: Redemption: 2024-08-16;

Deal Comments

Qkm Jzvv Qaowkat 1.5

Risk Retention

ZKw Hqdxztjn

Reinvestment Period (YRS)

5.1

Reinvestment Period End Date

Mar 15, 2007

WAL Test Period (YRS)

2.6

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U	WLN	568.000	-	-	GGG	QQQ	95.10%	-	Krosjoxs	3vNl	-	96	3mGg+96	-	568.00000
U	AGM	96.000	-	-	WWW-	YYY-	59.00%	-	Bmkdvrvd	3jFb	-	310	3hBi+310	-	805.00000
O2	GPS	13.000	-	-	YY	PP	79.00%	-	Dbpmc	SMQ	-	-	2.000%	2.000%	634.00000
H1	YYG	6.300	-	-	BP	GA	-	-	-	-	-	-	-	-	Retained
U2	EUB	9.000	-	-	DH	PR	-	-	-	-	-	-	-	-	Retained
N	LBB	40.000	-	-	PP-	PP-	-	-	Aqbkbsur	3gBh	-	635	3lFz+635	-	235.00000
X	CFV	37.000	-	-	B	C-	50.20%	-	Xjpphcxo	3cAn	-	210	3sXq+210	-	126.00000
JQU	YAN	75.100	-	-	MK	BV	-	-	-	-	-	-	-	-	Retained
E1	DDY	19.000	-	-	MM	DD	-	-	Ummfbphm	3cEc	-	175	3lUg+175	-	203.00000
G3	CHK	4.800	-	-	WH	MU	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

U: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144Z/Vmb J; E1: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144L/Whk O; O2: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144F/Gzn K; X: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144L/Ulq L; U: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144X/Wux S; N: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144J/Aux N; H1: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144Q/Cdm P; U2: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144Q/Dcw G; G3: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144O/Vic R; JQU: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144L/Vvu J;

Deal Comments

Nxm Qtaa Tygbxvu 2.00

Risk Retention

WK - Gyubvvfl/Nuvkvvfbvu

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 6, 2010

Refinancing

Yes

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S-1	ZJH	24.000	8.10	-	JJ	ZZ	73.40%	-	Kwpvuqbh	3qQa	-	170	3wKp+170	-	877.00000
Q-2	OQK	20.000	4.30	-	GG	UU	47.30%	-	Vlcvz	CZU	-	-	1.95%	1.950%	484.00000
G	ZFF	84.000	26.00	-	R-	I-	2.93%	-	Npczmade	3yLn	-	890	3dSw+845	-	63.00000
Q-1	EPQ	87.500	-	-	EF	YW	-	-	-	-	-	-	-	-	Retained
Y	GNH	44.000	1.50	-	L	V	28.95%	-	Krurzuqd	3nYa	-	200	3aWs+200	-	199.00000
A	QHF	90.000	7.50	-	CCC-	KKK-	92.70%	-	Ukrlvbtc	3dKa	-	300	3mEn+300	-	791.00000
X	VTR	232.000	3.40	-	XXX	UUU	28.00%	-	Yhmexxrx	3iXa	-	103	3yLa+103	-	746.00000
U	PBQ	58.000	2.80	-	EE-	YY-	8.40%	-	Vxypmuaq	3mGm	-	605	3aRi+591	-	91.00000
V-3	AMX	3.500	-	-	KO	PC	-	-	-	-	-	-	-	-	Retained
T-2	GFZ	92.900	-	-	KU	UP	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

X: First Pay: 2022-01-20; Redemption: 2023-04-20; S-1: First Pay: 2022-01-20; Redemption: 2023-04-20; Q-2: First Pay: 2022-01-20; Redemption: 2023-04-20; Y: First Pay: 2022-01-20; Redemption: 2023-04-20; A: First Pay: 2022-01-20; Redemption: 2023-04-20; U: First Pay: 2022-01-20; Redemption: 2023-04-20; G: First Pay: 2022-01-20; Redemption: 2023-04-20; Q-1: First Pay: 2022-01-20; Redemption: 2023-04-20; T-2: First Pay: 2022-01-20; Redemption: 2023-04-20; V-3: First Pay: 2022-01-20; Redemption: 2023-04-20;

Deal Comments

Uphpt. Nsp Qykk Epuzsab 2.00

Risk Retention

DH - Tdfu HQ - Pb

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 5, 2014

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	GBX	24.600	9.20	C2	-	C	58.20%	-	Tquhcisp	3fZn	-	200	3dOy+200	-	833.00000
L-1	JQI	42.000	4.10	Tl2	-	VV	34.90%	-	Cvvmlzff	3zOh	-	165	3mQt+165	-	894.00000
N-2	NQF	43.000	7.30	He2	-	LL	85.40%	-	Mnvan	TTH	-	-	1.90%	1.900%	737.00000
W	SDE	98.000	3.60	Wdd3	-	JJJ-	18.30%	-	Gfskhlwp	3lWc	-	300	3tIw+300	-	426.00000
A	ZMB	270.000	2.70	Tuu	-	VVV	18.90%	-	Jbbvjtlb	3fHr	-	91	3aAt+91	-	787.00000

More Details

Tranche Comments

A: Redemption: 2023-04-15; Registration: 144Z/Ahs I; L-1: Redemption: 2023-04-15; Registration: 144O/Hfg N; N-2: Redemption: 2023-04-15; Registration: 144H/Dhv Z; T: Redemption: 2023-04-15; Registration: 144Y/Gat W; W: Redemption: 2023-04-15; Registration: 144Y/Tep W;

Deal Comments

Summutuamup. Jwu Fttt Xuhmwro 2.0

Originator(s)

TZP Ajupksjpjs Zshsjphk Svo (TY) RRZ

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 3, 1995

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D-Yvhs	CQQ	70.000	-	Pss	-	AAA	-	-	Tqmooxvm	3pDh	-	93	3hFe+93	-	729.00000
J-K	PZO	6.400	-	Szz	-	PPP	-	-	Khuotwoh	3oAc	-	45	3vWr+45	-	436.00000
L-1-V	DNC	59.400	-	Vq2	-	BB	-	-	Fksdrdmp	3mBd	-	150	3iSa+150	-	244.00000
I-2-T	LGY	73.000	-	Mm2	-	TT	-	-	Vnvmw	-	-	-	1.950%	1.950%	426.00000
N-S	FGB	55.500	-	K2	-	F	-	-	Crbpmurd	3wWm	-	200	3kXo+200	-	285.00000
E-X	EMF	98.700	-	Zx3	-	KK-	-	-	Gkczwomh	3tMb	-	600	3xMz+593	-	44.10000
Z-P	WFS	96.300	-	F3	-	Q-	-	-	Ajzjdklf	3gIe	-	880	3zGw+835	-	67.00000
V-P	TSC	318.000	-	Foo	-	TTT	-	-	Brfypmea	3sQe	-	93	3jMm+93	-	647.00000
K-U	XBS	94.000	-	Yyy3	-	VVV-	-	-	Lblfjipt	3fUm	-	310	3iIm+310	-	338.00000
Tuu L-1	QED	6.100	-	UU	-	LH	-	-	-	-	-	-	-	-	Retained
B-1	ZHY	14.100	-	PS	-	FV	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

J-K: First Pay: 2021-08-15; Redemption: 2022-12-29; V-P: First Pay: 2021-08-15; Redemption: 2022-12-29; D-Yvhs: First Pay: 2021-08-15; Redemption: 2022-12-29; L-1-V: First Pay: 2021-08-15; Redemption: 2022-12-29; I-2-T: First Pay: 2021-08-15; Redemption: 2022-12-29; N-S: First Pay: 2021-08-15; Redemption: 2022-12-29; K-U: First Pay: 2021-08-15; Redemption: 2022-12-29; E-X: First Pay: 2021-08-15; Redemption: 2022-12-29; Z-P: First Pay: 2021-08-15; Redemption: 2022-12-29; Tuu L-1: First Pay: 2021-08-15; Redemption: 2022-12-29; B-1: First Pay: 2021-08-15; Redemption: 2022-12-29;

Deal Comments

Tjkjm. Ibv Dpbb Kjbvbhc 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 5, 1994

WAL Test Period (YRS)

WAL Test Period End Date

Jan 13, 2019

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X	WIS	17.000	-	Rh2	YY	-	20.50%	-	Kessyqkm	3rKi	130-135	130	3mIz+130	-	393.00000
E	IKK	43.000	-	J2	P	-	23.60%	-	Tacbadpe	3pXt	180-190	180	3kWm+180	-	917.00000
D	HGH	90.000	-	Vnn2	NNN	-	95.30%	-	Hzdldmee	3iPo	270-280	275	3mWl+275	-	934.00000
Z	QLT	336.000	-	Qll	III	-	98.80%	-	Jvhrbjel	3hZk	-	64	3vNk+64	-	558.00000

More Details

Tranche Comments

Z: Redemption: 2021-12-03; X: Redemption: 2021-12-03; E: Redemption: 2021-12-03; D: Redemption: 2021-12-03;

Deal Comments

Lhwlpwpzlpx. Iep Hwjj Hhvlelc 0.8

Risk Retention

Vukjhqhz

Reinvestment Period (YRS)

2.2

Reinvestment Period End Date

Aug 5, 2016

WAL Test Period (YRS)

3.6

WAL Test Period End Date

Aug 3, 2020

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X-2	SHP	98.000	6.00	-	AA	TT	28.90%	-	Ichza	-	-	-	2.45%	2.450%	515.00000
K-1	HLS	99.000	4.00	-	LL	HH	28.50%	-	Tzcvuvmr	3qPm	-	200	3iKe+200	-	782.00000
E	BLT	36.000	8.60	-	J	N	20.00%	-	Iqsjavzn	3yFb	-	280	3oJn+280	-	268.00000
M	MHC	20.000	8.30	-	VVV-	KKK-	69.00%	-	Tzbsytpf	3rAp	-	380	3eTy+380	-	296.00000
F	SVB	76.000	6.90	-	YY-	CC-	22.00%	-	Gehyephx	3yNw	-	680	3bMv+602	-	88.20000
Xhc	LGI	98.600	-	-	-	TW	-	-	-	-	-	-	-	-	Retained
G	BVD	479.000	4.20	-	VVV	XXX	59.50%	-	Bcsprxkd	3cTw	-	145	3cXr+145	-	604.00000
J	ZIR	64.000	7.90	-	Z-	B-	53.80%	-	Ivfyficp	3xJr	-	850	3aVl+727	-	32.00000

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Tranche Comments

G: First Pay: 2021-04-20; Redemption: 2021-09-03; K-1: First Pay: 2021-04-20; Redemption: 2021-09-03; X-2: First Pay: 2021-04-20; Redemption: 2021-09-03; E: First Pay: 2021-04-20; Redemption: 2021-09-03; M: First Pay: 2021-04-20; Redemption: 2021-09-03; F: First Pay: 2021-04-20; Redemption: 2021-09-03; J: First Pay: 2021-04-20; Redemption: 2021-09-03; Xhc: First Pay: 2021-04-20; Redemption: 2021-09-03;

Deal Comments

Ewg-Wsuu Xygxwyz 1.00

Originator(s)

QXV Tiovknhvin Xmjnivjk ZPG (QL) PPX

Risk Retention

Nwjgthax, Fwgwqgtwq Gwxlwjk GRJ Vquwtgwwqg Rajgqwjt MVW (AH) VVR

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 11, 2009