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As of 31 December 2009
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Assets Under Management
€450 million
Closing Date
29 July 2004
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Overview
Duchess III closed in July 2004 at €450 million. The fund is predominantly invested in the European senior secured loan market with small investments made in European mezzanine loans. Duchess III was fully invested in December 2004. Duchess III's target asset mix is as follows: - Senior secured loans - minimum of 75%
- Mezzanine loans - maximum of 25%
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Portfolio Characteristics
| Duchess III CDO S.A. |
| Capital Structure |
Original Rating |
Spread |
Original Balance |
| Class A |
Aaa/AAA |
Euribor + 39bps |
€ 301,500,000 |
| Class B |
Aa2/AA |
Euribor + 75bps |
€ 54,000,000 |
| Class C-1 |
Baa2/BBB |
6.908% |
€10,750,000 |
| Class C-2 |
Baa2/BBB |
Euribor + 245bps |
€ 23,000,000 |
| Class D-1 |
Ba3/BB- |
11.393% |
€ 7,000,000 |
| Class D-2 |
Ba3/BB- |
Euribor + 725bps |
€ 8,750,000 |
| Class E - Secured Income Notes |
NR/NR |
- |
€ 45,000,000 |
| Total |
- |
- |
€ 450,000,000 |
Table represents the fund's original capital structure, balance, and tranche ratings.
Ratings: Moody's/Standard & Poor's