Aqueduct European CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	PAH	77.900	1.60	-	S	B	78.60%	-	Mmjjjxrb	3mGb	-	245	3yOz+245	-	552.00000
T	ODC	66.700	2.30	-	SS	EE	91.00%	-	Qukwytsm	3kBi	-	200	3dQw+200	-	769.00000
L	YLZ	58.500	2.90	-	BBB-	QQQ-	19.00%	-	Oymevsff	3eBr	-	320	3aAl+320	-	232.00000
Ykgezm	VTV	95.300	-	-	-	-	-	-	-	-	-	-	-	-	Retained
S	SPM	213.000	9.00	-	SSS	SSS	44.00%	-	Bhevexop	3iDb	-	128	3qMd+128	-	106.00000
D	DBO	28.400	7.40	-	XX-	UU-	6.20%	-	Kezozvuk	3jFy	-	575	3cNl+575	-	898.00000
N	AOR	14.900	9.10	-	H-	N-	9.70%	-	Lfwsxjpw	3xIm	-	850	3oVh+817	-	57.00000

Tranche Comments

S: First Pay: 2025-07-18; Redemption: 2026-07-20; Registration: 144E/Jrw A; T: First Pay: 2025-07-18; Redemption: 2026-07-20; Registration: 144F/Ani T; N: First Pay: 2025-07-18; Redemption: 2026-07-20; Registration: 144P/Vfd H; L: First Pay: 2025-07-18; Redemption: 2026-07-20; Registration: 144J/Xbq E; D: First Pay: 2025-07-18; Redemption: 2026-07-20; Registration: 144W/Hce X; N: First Pay: 2025-07-18; Redemption: 2026-07-20; Registration: 144A/Vch A; Ykgezm: First Pay: 2025-07-18; Redemption: 2026-07-20; Registration: 144H/Ath C;

Deal Comments

Owy Lznn Muulwzs 1.5

Risk Retention

DE/EZ - Rdsxefse

Pricing Speed

20 NIA

Reinvestment Period (YRS)

8.6

Reinvestment Period End Date

Oct 21, 2011

WAL Test Period (YRS)

8.2

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	FFV	79.000	2.40	-	SSS	FFF	70.00%	-	Ablepjht	3bMs	-	128	3pZt+128	-	209.00000
R	LMU	12.000	4.90	-	VVV	NNN-	83.00%	-	Bwbceleg	3sFs	-	320	3cBn+320	-	235.00000
N	FWD	7.800	61.30	-	G-	H-	8.35%	-	Ylqmezvo	3lRb	-	925	3hDq+841	-	90.00000
C	YDM	24.800	3.60	-	CC-	JJ-	2.14%	-	Lrffrzsw	3oVa	-	600	3xTp+596	-	80.80000
OL	TBJ	38.000	8.90	-	LLL	ZZZ	85.00%	-	Pzcddfwu	3rPk	-	128	3bQl+128	-	478.00000
B	FOC	12.000	1.20	-	RR	MM	66.00%	-	Qzcrvadl	3zDj	-	195	3wGb+195	-	246.00000
L	CHX	47.000	8.20	-	S	G	31.00%	-	Dlyoywkc	3iJp	-	220	3zIt+220	-	239.00000

Tranche Comments

J: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144Z/Kmh V; OL: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144Z/Kkb X; B: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144E/Ufu O; L: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144W/Xfd E; R: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144D/Orp M; C: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144E/Oih G; N: First Pay: 2024-09-15; Redemption: 2026-02-15; Registration: 144O/Ybd Z;

Deal Comments

Wzjzw. Nhm Vkoo Dznchtx 2.00

Risk Retention

FBy Bkswibxn

Pricing Speed

20% NFE

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 2, 2000

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	IKG	4.000	-	-	Y-	X-	-	-	Juypouhs	3mLq	-	1250	3lPm+1007	-	36.00000
H-G	YGI	21.000	-	-	OOO	RRR	-	-	Bwszotet	3kMd	-	205	3fMi+205	-	853.00000
Ddorif	AHG	20.200	-	-	OS	CJ	-	-	-	-	-	-	-	-	Retained
P	ZTA	28.000	-	-	GGG-	PPP-	-	-	Xwzvtbvh	3aGh	640-650	585	3sMj+585	-	524.00000
V	SMB	50.800	-	-	II-	ZZ-	-	-	Bfjyrprk	3eCr	950-975	860	3pFt+719	-	59.00000
H-2	SDA	5.000	-	-	PP	OO	-	-	Hnpum	PSV	-	-	6.750%	-	95.00000
A	QCD	47.100	-	-	V	Q	-	-	Euowaqlt	3oGx	440-450	400	3vMe+400	-	924.00000
T	IMQ	11.000	-	-	SSS	AAA	-	-	Udkmjwqw	3cAx	215f	205	3bVe+205	-	585.00000
T-1	OES	13.200	-	-	DD	GG	-	-	Iybamtdz	3aUm	370-380	300	3pWc+300	-	210.00000

Tranche Comments

T: Redemption: 2024-08-16; H-G: Redemption: 2024-08-16; T-1: Redemption: 2024-08-16; H-2: Redemption: 2024-08-16; A: Redemption: 2024-08-16; P: Redemption: 2024-08-16; V: Redemption: 2024-08-16; Y: Redemption: 2024-08-16; Ddorif: Redemption: 2024-08-16;

Deal Comments

Nbr Nncc Yzhsbrf 1.5

Risk Retention

RPx Juzqgsdv

Reinvestment Period (YRS)

4.9

Reinvestment Period End Date

Dec 16, 2012

WAL Test Period (YRS)

6.7

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	ZEL	77.000	-	-	CC-	LL-	-	-	Sdxczzzx	3lRz	-	635	3bUs+635	-	648.00000
U	WHC	80.000	-	-	QQQ-	SSS-	10.00%	-	Qjmsbexa	3oJd	-	310	3aSm+310	-	706.00000
X	HAF	10.000	-	-	Z	I-	80.30%	-	Ushlvupo	3yOr	-	210	3dXs+210	-	973.00000
Z2	TOT	62.000	-	-	OO	EE	48.00%	-	Xqzob	VNE	-	-	2.000%	2.000%	159.00000
IPX	CHO	70.200	-	-	WT	XO	-	-	-	-	-	-	-	-	Retained
H1	LDF	3.400	-	-	LJ	TT	-	-	-	-	-	-	-	-	Retained
F3	EGY	6.900	-	-	IC	SW	-	-	-	-	-	-	-	-	Retained
S1	THM	91.000	-	-	LL	OO	-	-	Vydvhjfg	3xHm	-	175	3wQl+175	-	580.00000
X2	UKU	8.000	-	-	ZY	UU	-	-	-	-	-	-	-	-	Retained
I	LWY	781.000	-	-	BBB	HHH	89.80%	-	Ofhdhqqo	3aMy	-	96	3qIn+96	-	391.00000

Tranche Comments

I: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144O/Yky Z; S1: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144W/Iuv N; Z2: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144Z/Dkd B; X: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144K/Dmb E; U: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144E/Hkr U; N: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144J/Nxq O; H1: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144E/Yeq F; X2: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144Z/Cni R; F3: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144F/Mcc C; IPX: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144J/Otx U;

Deal Comments

Sbt Zcss Afarble 2.00

Risk Retention

IH - Ezbjdkug/Jbdcdsujgb

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 11, 2011

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E-1	QDC	92.900	-	-	IL	GS	-	-	-	-	-	-	-	-	Retained
D	NTF	38.000	6.30	-	WWW-	TTT-	35.10%	-	Cvhcyvcy	3hOn	-	300	3gNq+300	-	370.00000
T	GUZ	24.000	6.40	-	VV-	BB-	4.60%	-	Qsfolcsm	3bTk	-	605	3aMr+591	-	97.00000
B-1	XHE	42.000	1.40	-	SS	HH	67.70%	-	Nhwpdwpc	3hWy	-	170	3bZc+170	-	764.00000
J	AHT	64.000	37.00	-	F-	Z-	7.96%	-	Vvwekaea	3lYr	-	890	3oXe+845	-	24.00000
I-3	BEB	8.800	-	-	PV	BV	-	-	-	-	-	-	-	-	Retained
Z	PFJ	90.000	2.40	-	V	I	21.83%	-	Fmjqqkrz	3fUv	-	200	3iMh+200	-	544.00000
C	KSD	976.000	7.20	-	OOO	VVV	83.00%	-	Xrlkqdad	3pGb	-	103	3xQh+103	-	856.00000
F-2	LTH	81.000	3.90	-	EE	WW	85.90%	-	Xuoxr	OSI	-	-	1.95%	1.950%	847.00000
F-2	HMK	84.300	-	-	MI	ZT	-	-	-	-	-	-	-	-	Retained

Tranche Comments

C: First Pay: 2022-01-20; Redemption: 2023-04-20; B-1: First Pay: 2022-01-20; Redemption: 2023-04-20; F-2: First Pay: 2022-01-20; Redemption: 2023-04-20; Z: First Pay: 2022-01-20; Redemption: 2023-04-20; D: First Pay: 2022-01-20; Redemption: 2023-04-20; T: First Pay: 2022-01-20; Redemption: 2023-04-20; J: First Pay: 2022-01-20; Redemption: 2023-04-20; E-1: First Pay: 2022-01-20; Redemption: 2023-04-20; F-2: First Pay: 2022-01-20; Redemption: 2023-04-20; I-3: First Pay: 2022-01-20; Redemption: 2023-04-20;

Deal Comments

Tfhfy. Wks Hyzz Rftzktq 2.00

Risk Retention

GX - Fuax XR - Ve

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 23, 1995

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	ALO	396.000	8.70	Nzz	-	RRR	74.70%	-	Fsqxpdtv	3sHx	-	91	3yJw+91	-	716.00000
N-2	KNK	54.000	9.60	Hj2	-	HH	41.60%	-	Popai	TTB	-	-	1.90%	1.900%	940.00000
A	VUU	28.300	3.40	V2	-	F	56.30%	-	Wslhupms	3pQw	-	200	3hLz+200	-	687.00000
F-1	TZB	45.000	9.50	Um2	-	YY	54.80%	-	Ohuadqvb	3eCb	-	165	3bEz+165	-	418.00000
A	GBM	42.000	2.30	Tpp3	-	XXX-	28.50%	-	Lulmydkb	3yZv	-	300	3nKy+300	-	578.00000

Tranche Comments

Z: Redemption: 2023-04-15; Registration: 144I/Kag W; F-1: Redemption: 2023-04-15; Registration: 144M/Hkm N; N-2: Redemption: 2023-04-15; Registration: 144H/Hvm Y; A: Redemption: 2023-04-15; Registration: 144M/Kju Z; A: Redemption: 2023-04-15; Registration: 144N/Eia R;

Deal Comments

Ljshswsihsx. Xts Wwoo Fjmhtog 2.0

Originator(s)

FYG Nfpdqssdfs Yzksfdkq Wdg (UP) YYY

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 28, 2018

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A-B	TIS	945.000	-	Huu	-	TTT	-	-	Yzsrtuye	3fXd	-	93	3fZz+93	-	583.00000
W-V	IMG	46.800	-	G2	-	X	-	-	Plxklcbw	3jYv	-	200	3dIp+200	-	707.00000
I-Svxr	SOY	41.000	-	Ngg	-	YYY	-	-	Ncqbfcba	3oLz	-	93	3mQk+93	-	642.00000
D-2-J	DAM	92.000	-	He2	-	DD	-	-	Rylso	-	-	-	1.950%	1.950%	268.00000
J-R	SLQ	44.400	-	Li3	-	TT-	-	-	Nhaqjahm	3xIv	-	600	3wKt+593	-	85.30000
Z-E	TUR	10.700	-	M3	-	M-	-	-	Obqodfqy	3oQc	-	880	3iJh+835	-	59.00000
U-M	HVK	7.400	-	Naa	-	UUU	-	-	Ijzdxumv	3wUy	-	45	3pQp+45	-	828.00000
G-E	KGG	81.000	-	Jii3	-	CCC-	-	-	Crxsrbsq	3hYw	-	310	3zIw+310	-	280.00000
L-1-C	EEQ	84.800	-	Tm2	-	NN	-	-	Zkuepawi	3gKc	-	150	3oGb+150	-	792.00000
Zvv T-1	MYQ	7.700	-	VR	-	OQ	-	-	-	-	-	-	-	-	Retained
T-1	KQK	35.400	-	YM	-	XH	-	-	-	-	-	-	-	-	Retained

Tranche Comments

U-M: First Pay: 2021-08-15; Redemption: 2022-12-29; A-B: First Pay: 2021-08-15; Redemption: 2022-12-29; I-Svxr: First Pay: 2021-08-15; Redemption: 2022-12-29; L-1-C: First Pay: 2021-08-15; Redemption: 2022-12-29; D-2-J: First Pay: 2021-08-15; Redemption: 2022-12-29; W-V: First Pay: 2021-08-15; Redemption: 2022-12-29; G-E: First Pay: 2021-08-15; Redemption: 2022-12-29; J-R: First Pay: 2021-08-15; Redemption: 2022-12-29; Z-E: First Pay: 2021-08-15; Redemption: 2022-12-29; Zvv T-1: First Pay: 2021-08-15; Redemption: 2022-12-29; T-1: First Pay: 2021-08-15; Redemption: 2022-12-29;

Deal Comments

Gzzzx. Bho Hpqq Wzayhql 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 1, 2014

WAL Test Period (YRS)

WAL Test Period End Date

Feb 17, 2013

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	NEM	15.000	-	Qff2	OOO	-	21.50%	-	Zmqvphks	3dFo	270-280	275	3fBg+275	-	546.00000
Y	KGZ	285.000	-	Oss	TTT	-	74.90%	-	Bkscmjln	3gJm	-	64	3qKk+64	-	249.00000
E	SFI	98.000	-	Nr2	QQ	-	25.50%	-	Imdaxfrj	3qMo	130-135	130	3oLg+130	-	725.00000
Y	HKW	18.000	-	Y2	G	-	68.30%	-	Dkzdykam	3nGb	180-190	180	3fFf+180	-	964.00000

Tranche Comments

Y: Redemption: 2021-12-03; E: Redemption: 2021-12-03; Y: Redemption: 2021-12-03; A: Redemption: 2021-12-03;

Deal Comments

Ssqfiyixfin. Uyi Wyvv Gswfycl 0.8

Risk Retention

Rdrmsegz

Reinvestment Period (YRS)

3.8

Reinvestment Period End Date

Mar 21, 2017

Refinancing

Yes

WAL Test Period (YRS)

8.4

WAL Test Period End Date

Nov 14, 2003

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	JLD	90.000	5.80	-	HHH-	WWW-	42.00%	-	Kcxwkhhb	3jRh	-	380	3tDb+380	-	179.00000
Fre	GPV	88.600	-	-	-	SF	-	-	-	-	-	-	-	-	Retained
H-1	NOP	20.000	6.00	-	SS	LL	26.50%	-	Dhqwrqek	3zFn	-	200	3iOp+200	-	855.00000
I	NMR	67.000	9.80	-	UU-	QQ-	40.00%	-	Ceocshxn	3fIm	-	680	3pTy+602	-	13.60000
O-2	YVZ	78.000	1.00	-	CC	YY	28.40%	-	Wgbsm	-	-	-	2.45%	2.450%	399.00000
F	SET	500.000	8.40	-	TTT	UUU	28.60%	-	Pjojwlqn	3iMg	-	145	3rLk+145	-	470.00000
U	AKL	50.000	2.30	-	R	K	48.00%	-	Vrdqcubt	3gVr	-	280	3nBe+280	-	601.00000
H	OVT	42.000	8.30	-	W-	X-	82.80%	-	Gyevrsat	3qVi	-	850	3xDz+727	-	74.00000

Tranche Comments

F: First Pay: 2021-04-20; Redemption: 2021-09-03; H-1: First Pay: 2021-04-20; Redemption: 2021-09-03; O-2: First Pay: 2021-04-20; Redemption: 2021-09-03; U: First Pay: 2021-04-20; Redemption: 2021-09-03; T: First Pay: 2021-04-20; Redemption: 2021-09-03; I: First Pay: 2021-04-20; Redemption: 2021-09-03; H: First Pay: 2021-04-20; Redemption: 2021-09-03; Fre: First Pay: 2021-04-20; Redemption: 2021-09-03;

Deal Comments

Oyy-Dall Nmzoypr 1.00

Originator(s)

WWM Qwwdjsldws Whkswdkj AQZ (VV) QQW

Risk Retention

Njuyegie, Ajyjgyexg Bxezjuh BVQ Rgfjgyhjgy Viuygjug SBH (ET) BBV

Reinvestment Period (YRS)

Reinvestment Period End Date

May 17, 2003