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Aqueduct European CLO 5-2020 DAC: 03 September 2020


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 (the Collateral Manager).

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); other than in the case of a Corporate Rescue Loan, it is not a Defaulted Obligation or a Credit Risk Obligation; it is not a lease; 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 debt obligation which pays interest only and does not require the repayment of principal; 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); it is not a Project Finance Loan; it is not a Bridge Loan; it has a minimum purchase price of 60% 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 €360mln, which is approximately 90.0% of the Target Par Amount.

The Notes (other than the Retention Notes) are being offered by the Issuer through BNP Paribas in its capacity as initial purchaser of the offering of such Notes subject to prior sale.

EU Risk Retention: In accordance with the EU Retention Requirements, the Retention Holder (the Collateral Manager) will 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.