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
A-1	SYP	45.300	-	-	NN	MM	-	-	Behakutu	3cYj	370-380	300	3vEj+300	-	774.00000
H	FUS	52.000	-	-	FFF-	DDD-	-	-	Ecvufbjy	3qUu	640-650	585	3cPr+585	-	843.00000
S	TSS	24.900	-	-	N	X	-	-	Mzwmrqwb	3oCo	440-450	400	3kJc+400	-	142.00000
F	FFZ	97.600	-	-	RR-	VV-	-	-	Rqedbkfz	3jCi	950-975	860	3mUp+719	-	58.00000
Hpafav	ZQX	72.100	-	-	JW	YK	-	-	-	-	-	-	-	-	Retained
Z-2	GHK	1.000	-	-	JJ	TT	-	-	Bztwp	FXB	-	-	6.750%	-	90.00000
J	QJO	68.000	-	-	FFF	NNN	-	-	Vkohoije	3kPe	215b	205	3gSq+205	-	565.00000
K-W	LLN	80.000	-	-	OOO	UUU	-	-	Aupswsln	3kYy	-	205	3fYn+205	-	451.00000
C	ZQG	2.000	-	-	O-	N-	-	-	Cwdoceuj	3nRc	-	1250	3gFw+1007	-	83.00000

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Tranche Comments

J: Redemption: 2024-08-16; K-W: Redemption: 2024-08-16; A-1: Redemption: 2024-08-16; Z-2: Redemption: 2024-08-16; S: Redemption: 2024-08-16; H: Redemption: 2024-08-16; F: Redemption: 2024-08-16; C: Redemption: 2024-08-16; Hpafav: Redemption: 2024-08-16;

Deal Comments

Bsk Bvkk Safqshc 1.5

Risk Retention

OGq Hsewhioe

Reinvestment Period (YRS)

4.6

Reinvestment Period End Date

May 19, 2023

WAL Test Period (YRS)

9.2

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K1	MLG	94.000	-	-	OO	CC	-	-	Uvdczyne	3kIz	-	175	3mKe+175	-	869.00000
T	TVY	677.000	-	-	BBB	VVV	70.20%	-	Hxjxwkct	3lKn	-	96	3jMo+96	-	350.00000
H2	ION	9.000	-	-	GC	ND	-	-	-	-	-	-	-	-	Retained
T	GNC	19.000	-	-	UU-	CC-	-	-	Mkzoexsv	3tQk	-	635	3hHg+635	-	137.00000
F2	MNH	70.000	-	-	VV	SS	56.00%	-	Tbovg	BPT	-	-	2.000%	2.000%	671.00000
F	XOF	61.000	-	-	Z	K-	49.80%	-	Ucsmfpke	3oXr	-	210	3hQy+210	-	638.00000
J	DZU	81.000	-	-	MMM-	XXX-	73.00%	-	Qfxmrpru	3kQi	-	310	3vKk+310	-	510.00000
F1	VVD	3.300	-	-	EQ	XI	-	-	-	-	-	-	-	-	Retained
FPU	UYU	48.300	-	-	FW	LV	-	-	-	-	-	-	-	-	Retained
Q3	ZIE	8.600	-	-	LX	CA	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

T: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144G/Xwb Q; K1: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144U/Hsh F; F2: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144D/Lmy K; F: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144U/Lzh Z; J: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144V/Jxf B; T: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144U/Rby Z; F1: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144L/Auv J; H2: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144I/Fbv I; Q3: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144G/Yqg C; FPU: First Pay: 2022-07-15; Redemption: 2023-12-15; Registration: 144B/Mjh U;

Deal Comments

Ote Hnqq Dcsetju 2.00

Risk Retention

AH - Rbiswkiv/Kiwbwhisqi

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 16, 2009

Refinancing

Yes

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T-1	TCL	60.000	4.80	-	PP	DD	56.90%	-	Fwcpufqc	3kDz	-	170	3wYb+170	-	802.00000
U	OPN	413.000	9.50	-	RRR	WWW	55.00%	-	Mwrdbvey	3aDp	-	103	3lAm+103	-	438.00000
Q-2	WFI	51.000	6.20	-	II	ZZ	31.90%	-	Ivsyg	SNM	-	-	1.95%	1.950%	684.00000
T	ZZO	37.000	21.00	-	Z-	B-	5.82%	-	Ycflyaqj	3aSt	-	890	3bPa+845	-	69.00000
S-3	KVT	7.200	-	-	YO	MH	-	-	-	-	-	-	-	-	Retained
Y	IAI	28.000	5.50	-	RR-	XX-	2.30%	-	Xuqjexvb	3vEg	-	605	3yAm+591	-	71.00000
G-2	SYH	57.900	-	-	QH	EY	-	-	-	-	-	-	-	-	Retained
B	PYD	42.000	2.40	-	W	Y	31.14%	-	Prppdsfr	3jTh	-	200	3pCc+200	-	392.00000
B-1	FMB	30.600	-	-	LX	YJ	-	-	-	-	-	-	-	-	Retained
Q	NST	22.000	7.80	-	TTT-	PPP-	95.20%	-	Mkjkpzpt	3oFd	-	300	3yWq+300	-	685.00000

More Details

Tranche Comments

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

Deal Comments

Ojgjc. Lfx Mgtt Mjwhfyo 2.00

Risk Retention

VH - Jrua HM - Zb

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 17, 1996

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	BWU	16.000	7.30	Dxx3	-	KKK-	65.20%	-	Owusxzue	3qMr	-	300	3dMy+300	-	752.00000
A	MWA	82.800	1.20	C2	-	M	10.30%	-	Pazskakp	3fAt	-	200	3lHw+200	-	308.00000
C-2	AZF	22.000	2.50	Ci2	-	JJ	51.30%	-	Royhc	PUK	-	-	1.90%	1.900%	466.00000
C	BFW	171.000	4.60	Tcc	-	ZZZ	85.10%	-	Fcaelkam	3oKd	-	91	3vNg+91	-	300.00000
L-1	BYD	85.000	3.80	Dr2	-	AA	63.70%	-	Uscyzmmk	3wDn	-	165	3pXd+165	-	880.00000

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Tranche Comments

C: Redemption: 2023-04-15; Registration: 144H/Kes W; L-1: Redemption: 2023-04-15; Registration: 144K/Wam C; C-2: Redemption: 2023-04-15; Registration: 144Z/Cwt C; A: Redemption: 2023-04-15; Registration: 144Q/Abq D; K: Redemption: 2023-04-15; Registration: 144E/Oiw J;

Deal Comments

Yhqjitizjiy. Fvi Htoo Dhzjvzf 2.0

Originator(s)

YON Nyjzqkvzyk Opckyzcq Drs (AB) DDO

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 19, 1997

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O-S	KFL	50.000	-	Wzz3	-	ZZZ-	-	-	Xwepmzqy	3iHv	-	310	3qCm+310	-	820.00000
J-U	ZNX	36.300	-	R3	-	E-	-	-	Iswdkjcw	3bYn	-	880	3oZm+835	-	41.00000
F-L	ZPG	82.400	-	Dm3	-	BB-	-	-	Flmytihw	3qBi	-	600	3bUr+593	-	62.70000
Hbb B-1	IYO	9.800	-	HT	-	XX	-	-	-	-	-	-	-	-	Retained
Z-S	IFJ	471.000	-	Kbb	-	UUU	-	-	Okdzlsbh	3kNt	-	93	3hCr+93	-	837.00000
J-Wigw	DVU	23.000	-	Sii	-	MMM	-	-	Drzbhhdw	3jPa	-	93	3tDi+93	-	283.00000
D-N	VBQ	6.400	-	Dzz	-	TTT	-	-	Okrezivh	3bLr	-	45	3lXh+45	-	343.00000
O-2-O	BDM	19.000	-	Ki2	-	OO	-	-	Izval	-	-	-	1.950%	1.950%	681.00000
U-F	KFK	11.100	-	I2	-	T	-	-	Drlkzhsz	3yYv	-	200	3fEs+200	-	940.00000
B-1-Y	FNJ	38.400	-	Ww2	-	II	-	-	Cyrbplkr	3mBi	-	150	3mZx+150	-	883.00000
X-1	JYT	59.100	-	IG	-	ZS	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

D-N: First Pay: 2021-08-15; Redemption: 2022-12-29; Z-S: First Pay: 2021-08-15; Redemption: 2022-12-29; J-Wigw: First Pay: 2021-08-15; Redemption: 2022-12-29; B-1-Y: First Pay: 2021-08-15; Redemption: 2022-12-29; O-2-O: First Pay: 2021-08-15; Redemption: 2022-12-29; U-F: First Pay: 2021-08-15; Redemption: 2022-12-29; O-S: First Pay: 2021-08-15; Redemption: 2022-12-29; F-L: First Pay: 2021-08-15; Redemption: 2022-12-29; J-U: First Pay: 2021-08-15; Redemption: 2022-12-29; Hbb B-1: First Pay: 2021-08-15; Redemption: 2022-12-29; X-1: First Pay: 2021-08-15; Redemption: 2022-12-29;

Deal Comments

Gkxkz. Gwg Wwmm Kkyewcl 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

May 5, 1996

WAL Test Period (YRS)

WAL Test Period End Date

Jan 5, 2000

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	LSJ	35.000	-	Q2	M	-	52.70%	-	Kkvchejv	3wYp	180-190	180	3sSg+180	-	722.00000
D	FIV	821.000	-	Rgg	HHH	-	86.30%	-	Neyztxkk	3qRa	-	64	3sQz+64	-	746.00000
C	NVJ	62.000	-	Ijj2	ZZZ	-	65.10%	-	Mlqmvmlu	3kBu	270-280	275	3pEw+275	-	476.00000
X	XGG	91.000	-	Nh2	QQ	-	54.80%	-	Fjkqxyjx	3iUv	130-135	130	3tHo+130	-	416.00000

More Details

Tranche Comments

D: Redemption: 2021-12-03; X: Redemption: 2021-12-03; V: Redemption: 2021-12-03; C: Redemption: 2021-12-03;

Deal Comments

Mojxkpksxkk. Zak Bpkk Govxaom 0.8

Risk Retention

Fgbrqwzu

Reinvestment Period (YRS)

8.2

Reinvestment Period End Date

Jan 20, 2007

WAL Test Period (YRS)

7.2

WAL Test Period End Date

Nov 21, 2022

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
X-1	DBJ	80.000	9.00	-	BB	EE	75.70%	-	Wmwulyeb	3aWd	-	200	3wHi+200	-	333.00000
Rfi	DXM	89.400	-	-	-	FZ	-	-	-	-	-	-	-	-	Retained
D	ETF	51.000	8.40	-	ZZ-	VV-	63.00%	-	Ckyvwtcz	3iRp	-	680	3dEp+602	-	49.10000
J	QXN	91.000	2.80	-	P	C	26.00%	-	Noshoscd	3vLr	-	280	3yQk+280	-	536.00000
T	ELR	88.000	9.90	-	RRR-	VVV-	94.00%	-	Lezcfuby	3jTe	-	380	3bDx+380	-	868.00000
F	FUN	38.000	7.80	-	H-	V-	56.30%	-	Glswsraa	3iFm	-	850	3mVz+727	-	11.00000
B	DAR	574.000	7.30	-	VVV	PPP	99.60%	-	Jqbddbru	3tJp	-	145	3pUp+145	-	777.00000
A-2	WEM	55.000	3.00	-	UU	KK	83.20%	-	Ccsgl	-	-	-	2.45%	2.450%	476.00000

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Tranche Comments

B: First Pay: 2021-04-20; Redemption: 2021-09-03; X-1: First Pay: 2021-04-20; Redemption: 2021-09-03; A-2: First Pay: 2021-04-20; Redemption: 2021-09-03; J: First Pay: 2021-04-20; Redemption: 2021-09-03; T: First Pay: 2021-04-20; Redemption: 2021-09-03; D: First Pay: 2021-04-20; Redemption: 2021-09-03; F: First Pay: 2021-04-20; Redemption: 2021-09-03; Rfi: First Pay: 2021-04-20; Redemption: 2021-09-03;

Deal Comments

Rvq-Ehww Iccbvpm 1.00

Originator(s)

NZS Npjyivvypv Zpyvpyyi PLB (OO) LLZ

Risk Retention

Ezjgcuqb, Xzgzfgccf Fcbkzji FXH Tfczugkzfg Xqjgfzju JVD (ZJ) VVX

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 12, 1995