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Aqueduct European CLO 3-2019: 28 March 2019


The assets securing the notes will consist of a portfolio of primarily Senior Obligations, Mezzanine Obligations and High Yield Bonds, and will be managed by HPS Investment Partners CLO (UK) LLP. With approximately 330 employees, including approximately 130 investment professionals, as of 31 December 2018, HPS manages capital for sophisticated investors, including financial institutions, public and corporate pension funds, endowments, foundations and family offices, as well as individuals. HPS LLC (formerly known as Highbridge Principal Strategies, LLC) is based in New York and HPSIP is based in London.

Eligibility criteria (includes): it is a Secured Senior Obligation, a Corporate Rescue Loan, an Unsecured Senior Obligation, a Mezzanine Obligation, a Second Lien Loan or a High Yield Bond (in each case, which is not a sub-participation of a sub-participation); it is not a Defaulted Obligation or a Credit Risk Obligation; it is not a Structured Finance Security or a Synthetic Security; it is not a Zero Coupon Security or Step-Up Coupon Security; it is not a lease; other than in the case of a Corporate Rescue Loan, it has an Fitch Rating of not lower than "CCC-" and a Moody's Rating of not lower than "Caa3"; is an obligation of an Obligor or Obligors Domiciled in a Non-Emerging Market Country (as determined by the Collateral Manager acting on behalf of the Issuer).

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Collateral Obligations the Aggregate Principal Balance of which is equal to at least €300mln, which is approximately 75.0% of the Target Par Amount.

EU Risk Retention: The Retention Holder (the collateral manager) will undertake to purchase and retain, for its own account, a material net economic interest in the transaction comprising not less than 5% of the Principal Amount Outstanding of each Class of Notes for the purposes of satisfying the EU Retention Requirements.