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Aqueduct European CLO 4-2019: 09 July 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.

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 (which is not, in each case, 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 lease; it is not a Zero Coupon Security or Step-Up Coupon Security; 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"; it is not a Project Finance Loan; it is not a Collateral Obligation with an Obligor domiciled in a country with a Moody's local currency country risk ceiling below "A3"; it is not a Letter of Credit; it has a minimum purchase price of 60.0% of the Principal Balance of such Collateral Obligation.

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 €240mln, which is approximately 60.0% of the Target Par Amount.

The Notes (other than the Retention Notes purchased by the Retention Holder) are being offered by the Issuer through Morgan Stanley & Co. International plc in its capacity as initial purchaser of the offering of such Notes.

EU Risk Retention: In accordance with the EU Retention Requirements, the Retention Holder (the Collateral Manager) will undertake to purchase (at the initial issuance and each subsequent date of additional issuance of Notes) 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 such purposes, the Class B-1 Notes and the Class B-2 Notes together shall be treated as a single Class) for the purposes of satisfying the EU Retention Requirements.