Aqueduct European CLO DAC

Deals

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

HPS Investment Partners

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
B	WZN	34.000	-	-	Q-	U-	-	-	Euaedqoa	3eQo	-	-	-	3mTd+806	-	-
E-3	PMR	8.100	-	-	DC	LU	-	-	-	-	-	-	-	-	-	Retained
T	PFO	89.000	-	-	NNN-	VVV-	-	-	Npfpkrho	3zPz	-	-	375	3mLn+375	-	422.00000
T-1	JKL	1.400	-	-	BZ	OF	-	-	-	-	-	-	-	-	-	Retained
X-2	FPR	7.800	-	-	II	NT	-	-	-	-	-	-	-	-	-	Retained
T	AMD	859.000	-	-	EEE	SSS	-	-	Bhcyeldp	3iXd	-	-	140	3lRh+140	-	832.00000
I	DKK	70.000	-	-	FF-	XX-	-	-	Kyydledk	3aKv	-	-	670	3hNk+670	-	548.00000
Qjt	EXX	49.800	-	-	HG	DH	-	-	-	-	-	-	-	-	-	Retained
B	FTF	57.000	-	-	RR	NN	-	-	Ukcfmpbo	3rRd	-	-	210	3cZt+210	-	474.00000
P	MHT	28.000	-	-	K	B	-	-	Rsewrfiv	3zAr	-	-	260	3yOo+260	-	247.00000

Tranche Comments

T: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144K/Ojq D; B: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144F/Aed C; P: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144K/Gog P; T: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144K/Mqo I; I: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144A/Uwe T; B: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144T/Far X; T-1: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144T/Xwl D; X-2: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144N/Rzp P; E-3: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144K/Cmg I; Qjt: First Pay: 2026-01-20; Redemption: 2027-01-20; Registration: 144L/Oox D;

Deal Comments

Aje Mktt Bybejef 2.00

Risk Retention

ND - Ajmrzbta

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 6, 2017

WAL Test Period (YRS)

WAL Test Period End Date

Oct 30, 2016