...Aqueduct European CLO 2-2017 Designated Activity Company (the "CLO" or the "Issuer") is a typical cash-flow CLO transaction managed by HPS Investment Partners CLO (UK), LLP ("HPS" or the "Manager"). It is the manager's second CLO in Europe. The CLO is backed by a EUR 400 million portfolio of non-investment-grade broadly syndicated loans and other assets that the manager purchases from and trades in the primary and secondary markets. In our credit analysis, we considered the attributes of the CLO's underlying assets, including the assets' average default probability, average recovery rate, diversity score, average life and average spread. The CLO will issue several classes of notes that receive quarterly interest payments and, after the reinvestment period, principal payments, in order of seniority. In addition, the CLO will issue unrated subordinated notes that receive only residual interest and principal payments. We measured the credit risk of the CLO's notes using our Moody's CDOEdge...