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As of 31 December 2009
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Assets Under Management
€1 billion
Closing Date
28 June 2001
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Overview
Our €1 billion Duchess I fund was fully invested as of July 2002. Babson Capital Europe's maiden CDO fund, originally closed at €750 million in June 2001, tapped up in February 2002 to €1 billion as a result of the Duchess I's strong early performance. Duchess I has benefited from its ability to invest at large scale while delivering diversity by excellent access to credit opportunities. Duchess I is predominantly invested in the European senior secured loan market, with small investments made in European mezzanine and LBO sourced high yield bonds. Duchess I's target asset mix is as follows: - Senior Secured Loans - minimum of 75%
- Mezzanine Loans - maximum of 25%
- High Yield Bonds - maximum of 10% of the 25% allocated to mezzanine
Duchess I was amended on 22 July 2005.
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Portfolio Characteristics
| Duchess I CDO S.A. |
| Capital Structure |
Original Rating |
Spread |
Original Balance |
| Class A-1 |
Aaa/AAA |
5.832% |
€ 10,000,000 |
| Class A-2 |
Aaa/AAA |
Euribor + 42bps |
€ 855,000,000 |
| Class B-2 |
Ba2/BB+ |
11.35% |
€ 37,000,000 |
| Class C - Secured Income Notes |
NR/NR |
- |
€ 98,000,000 |
| Total |
- |
- |
€ 1,000,000,000 |
Table represents the fund's original capital structure, balance, and tranche ratings.
Ratings: Moody's/Standard & Poor's