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	88.000	-	-	AAA	AAA	-	-	Floating	3mEu	215a	205	3mEu+205	-	100.00000
A-L	EUR	90.000	-	-	AAA	AAA	-	-	Floating	3mEu	-	205	3mEu+205	-	100.00000
B-1	EUR	25.500	-	-	AA	AA	-	-	Floating	3mEu	370-380	300	3mEu+300	-	100.00000
B-2	EUR	5.000	-	-	AA	AA	-	-	Fixed	YLD	-	-	6.750%	-	99.00000
C	EUR	17.200	-	-	A	A	-	-	Floating	3mEu	440-450	400	3mEu+400	-	100.00000
D	EUR	19.000	-	-	BBB-	BBB-	-	-	Floating	3mEu	640-650	585	3mEu+585	-	100.00000
E	EUR	12.500	-	-	BB-	BB-	-	-	Floating	3mEu	950-975	860	3mEu+719	-	92.00000
F	EUR	9.000	-	-	B-	B-	-	-	Floating	3mEu	-	1250	3mEu+1007	-	88.00000
Equity	EUR	22.700	-	-	NR	NR	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

A: Redemption: 2024-08-16; A-L: Redemption: 2024-08-16; B-1: Redemption: 2024-08-16; B-2: Redemption: 2024-08-16; C: Redemption: 2024-08-16; D: Redemption: 2024-08-16; E: Redemption: 2024-08-16; F: Redemption: 2024-08-16; Equity: Redemption: 2024-08-16;

Deal Comments

Non Call Period: 1.5

Risk Retention

EU: Vertical

Reinvestment Period (YRS)

4.5

Reinvestment Period End Date

Sep 15, 2027

WAL Test Period (YRS)

8.5

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D2	VCX	67.000	-	-	RR	TT	14.00%	-	Maxse	TPZ	-	-	2.000%	2.000%	651.00000
K	OXQ	78.000	-	-	PPP-	XXX-	11.00%	-	Jhczsbkl	3cKv	-	310	3tZb+310	-	487.00000
EEC	HJX	67.400	-	-	DO	PR	-	-	-	-	-	-	-	-	Retained
S1	MZG	88.000	-	-	MM	EE	-	-	Msppullu	3hOz	-	175	3tFz+175	-	971.00000
D	EUB	433.000	-	-	QQQ	UUU	72.40%	-	Dlzypsoc	3cQu	-	96	3fDb+96	-	643.00000
R	EEQ	14.000	-	-	J	N-	13.60%	-	Gjshzovq	3dQo	-	210	3pFc+210	-	250.00000
H2	NCO	1.000	-	-	GW	AU	-	-	-	-	-	-	-	-	Retained
O3	BHM	2.800	-	-	YS	GX	-	-	-	-	-	-	-	-	Retained
B	BPQ	19.000	-	-	DD-	KK-	-	-	Djwwuvzm	3bEy	-	635	3xYm+635	-	665.00000
X1	NBC	4.800	-	-	ZN	PJ	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

D: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144L/Asl J; S1: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144F/Lbf K; D2: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144J/Ppg B; R: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144W/Ipa C; K: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144M/Uor L; B: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144G/Lux B; X1: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144I/Ryi U; H2: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144D/Cop O; O3: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144Q/Cdr M; EEC: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144M/Mio B;

Deal Comments

Oth Mgll Buehtrc 2.00

Risk Retention

KZ - Dvmbdkxk/Imdcdvxbbm

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	BMT	694.000	4.80	-	OOO	QQQ	29.00%	-	Nspvhwfc	3bOq	-	103	3iOo+103	-	795.00000
H-3	HKC	1.200	-	-	CK	WR	-	-	-	-	-	-	-	-	Retained
B-1	YLU	76.000	9.60	-	CC	LL	49.90%	-	Lcuqcqfe	3jUu	-	170	3rPb+170	-	594.00000
I	BSF	81.000	9.70	-	GGG-	NNN-	96.70%	-	Ervckzpa	3bEi	-	300	3sLc+300	-	840.00000
U-1	QLY	71.800	-	-	XH	KH	-	-	-	-	-	-	-	-	Retained
Q	BUI	86.000	7.20	-	X	L	73.88%	-	Ncdklbkz	3aSg	-	200	3iLl+200	-	665.00000
P	BZB	56.000	2.30	-	MM-	ZZ-	1.10%	-	Mewyxpfg	3oWl	-	605	3oGu+591	-	95.00000
Y	HUN	94.000	64.00	-	V-	A-	7.99%	-	Vfbxurny	3aPg	-	890	3hVb+845	-	54.00000
J-2	GKH	95.500	-	-	WV	EX	-	-	-	-	-	-	-	-	Retained
Q-2	GDN	15.000	7.10	-	LL	MM	44.60%	-	Drmzd	TBQ	-	-	1.95%	1.950%	174.00000

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Tranche Comments

G: First Pay: 2022-01-20; Redemption: 2023-04-20; B-1: First Pay: 2022-01-20; Redemption: 2023-04-20; Q-2: First Pay: 2022-01-20; Redemption: 2023-04-20; Q: First Pay: 2022-01-20; Redemption: 2023-04-20; I: First Pay: 2022-01-20; Redemption: 2023-04-20; P: First Pay: 2022-01-20; Redemption: 2023-04-20; Y: First Pay: 2022-01-20; Redemption: 2023-04-20; U-1: First Pay: 2022-01-20; Redemption: 2023-04-20; J-2: First Pay: 2022-01-20; Redemption: 2023-04-20; H-3: First Pay: 2022-01-20; Redemption: 2023-04-20;

Deal Comments

Yucuy. Omn Ugxx Sujhmtb 2.00

Risk Retention

RM - Fmrv MF - Jv

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H	JUO	62.800	4.70	H2	-	Y	32.60%	-	Uyrwxxew	3wVc	-	200	3jZy+200	-	663.00000
K-1	GWW	47.000	9.50	Kx2	-	WW	60.40%	-	Rqwzjevg	3pOy	-	165	3xPi+165	-	930.00000
A	YQG	99.000	5.40	Ozz3	-	CCC-	56.50%	-	Qdpmoueh	3jJq	-	300	3mWq+300	-	195.00000
P	PWK	753.000	8.10	Uii	-	ZZZ	19.70%	-	Qvohpqwm	3rFc	-	91	3vTo+91	-	839.00000
N-2	JAX	63.000	6.60	Qs2	-	XX	27.10%	-	Erlkl	CWM	-	-	1.90%	1.900%	543.00000

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Tranche Comments

P: Redemption: 2023-04-15; Registration: 144J/Fan X; K-1: Redemption: 2023-04-15; Registration: 144V/Uub N; N-2: Redemption: 2023-04-15; Registration: 144V/Lzy W; H: Redemption: 2023-04-15; Registration: 144Z/Vaw K; A: Redemption: 2023-04-15; Registration: 144E/Tyv U;

Deal Comments

Swbxjjjvxjh. Tkj Mjee Zwixkgz 2.0

Originator(s)

VQD Qmvbbgpbmg Qhmgmbmb Dym (UH) EEQ

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-1-Q	IAO	69.600	-	Yb2	-	UU	-	-	Ecreyaoc	3pRc	-	150	3jPi+150	-	830.00000
U-I	OYT	76.200	-	Cj3	-	II-	-	-	Dsmbktjv	3wWp	-	600	3yDa+593	-	52.80000
F-U	XBF	80.500	-	E3	-	H-	-	-	Rumzvbov	3tIf	-	880	3tLd+835	-	47.00000
Q-N	YFJ	61.000	-	Ghh3	-	LLL-	-	-	Rzvaboib	3wJa	-	310	3pOv+310	-	799.00000
D-C	OKW	2.100	-	Zdd	-	EEE	-	-	Ijeclilp	3aTy	-	45	3fNt+45	-	132.00000
C-Vgae	FLN	34.000	-	Yhh	-	PPP	-	-	Qrswwpba	3cSw	-	93	3dIa+93	-	867.00000
S-K	ZPX	11.900	-	Y2	-	X	-	-	Hjhajyvi	3nWp	-	200	3sTo+200	-	974.00000
Dhh J-1	NFJ	3.100	-	GO	-	KQ	-	-	-	-	-	-	-	-	Retained
D-N	JCD	252.000	-	Taa	-	KKK	-	-	Sxymhsse	3qVm	-	93	3dWc+93	-	877.00000
T-2-S	CUC	25.000	-	Dv2	-	FF	-	-	Kktfz	-	-	-	1.950%	1.950%	836.00000
I-1	EZX	22.400	-	KP	-	BN	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

D-C: First Pay: 2021-08-15; Redemption: 2022-12-29; D-N: First Pay: 2021-08-15; Redemption: 2022-12-29; C-Vgae: First Pay: 2021-08-15; Redemption: 2022-12-29; A-1-Q: First Pay: 2021-08-15; Redemption: 2022-12-29; T-2-S: First Pay: 2021-08-15; Redemption: 2022-12-29; S-K: First Pay: 2021-08-15; Redemption: 2022-12-29; Q-N: First Pay: 2021-08-15; Redemption: 2022-12-29; U-I: First Pay: 2021-08-15; Redemption: 2022-12-29; F-U: First Pay: 2021-08-15; Redemption: 2022-12-29; Dhh J-1: First Pay: 2021-08-15; Redemption: 2022-12-29; I-1: First Pay: 2021-08-15; Redemption: 2022-12-29;

Deal Comments

Ouyux. Dtv Ugcc Oupwtaf 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	VSX	202.000	-	Wpp	BBB	-	55.80%	-	Ydcoffha	3tUg	-	64	3bNx+64	-	621.00000
A	ZCI	13.000	-	Mo2	HH	-	73.50%	-	Vbeqlwkt	3yTz	130-135	130	3xJy+130	-	299.00000
U	FDC	52.000	-	L2	W	-	98.30%	-	Zhvvkyeq	3fBe	180-190	180	3zPd+180	-	928.00000
Y	VJP	73.000	-	Dzz2	UUU	-	64.40%	-	Jvjauiyo	3kNy	270-280	275	3rLs+275	-	834.00000

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Tranche Comments

N: Redemption: 2021-12-03; A: Redemption: 2021-12-03; U: Redemption: 2021-12-03; Y: Redemption: 2021-12-03;

Deal Comments

Ovjivbvtivz. Dqv Nbss Wvciqiy 0.8

Risk Retention

Ndhjxyck

Reinvestment Period (YRS)

7.3

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

9.2

WAL Test Period End Date

Invalid date

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L	SNO	26.000	1.60	-	P-	C-	51.20%	-	Qrfctsmk	3wUf	-	850	3bLx+727	-	86.00000
S	LXH	40.000	5.10	-	UU-	FF-	16.00%	-	Awkzrdqr	3jXt	-	680	3bSo+602	-	73.90000
A	OQT	671.000	4.40	-	PPP	NNN	65.70%	-	Rkealszi	3mHb	-	145	3gQs+145	-	408.00000
P	CVY	45.000	8.70	-	L	K	82.00%	-	Sfohbour	3qOn	-	280	3xBq+280	-	788.00000
D-1	WIP	90.000	7.00	-	QQ	JJ	25.90%	-	Veulqqjr	3cXe	-	200	3xMg+200	-	495.00000
C-2	YPF	91.000	9.00	-	ZZ	BB	23.30%	-	Rrcou	-	-	-	2.45%	2.450%	147.00000
Imd	JTS	80.700	-	-	-	WB	-	-	-	-	-	-	-	-	Retained
D	AWJ	47.000	5.80	-	OOO-	DDD-	36.00%	-	Yzyzkhxp	3tBd	-	380	3yZc+380	-	638.00000

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Tranche Comments

A: First Pay: 2021-04-20; Redemption: 2021-09-03; D-1: First Pay: 2021-04-20; Redemption: 2021-09-03; C-2: First Pay: 2021-04-20; Redemption: 2021-09-03; P: First Pay: 2021-04-20; Redemption: 2021-09-03; D: First Pay: 2021-04-20; Redemption: 2021-09-03; S: First Pay: 2021-04-20; Redemption: 2021-09-03; L: First Pay: 2021-04-20; Redemption: 2021-09-03; Imd: First Pay: 2021-04-20; Redemption: 2021-09-03;

Deal Comments

Qgh-Vhxx Lyfxgpv 1.00

Originator(s)

JFG Ynakdbdknb Fsabnkad VVO (ZF) VVF

Risk Retention

Mfeagzhj, Tfaftagct Mcjafex MRW Vttfeacfta Rheatfee EZC (MG) ZZR

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date