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As of 31 December 2009
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Assets Under Management
€550 million
Closing Date
24 April 2003
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Overview
Duchess II closed in April 2003 at €550 million, making it what we believe to be the largest CDO fund to close in Europe in 2003. The fund invested primarily in European senior secured loans with small investments made in European mezzanine loans. Duchess II was fully invested in December 2003 and called in April 2007. The portfolio generated a gross equity IRR of 22.07% (18.82% net post incentive fees).
Duchess II was similar in structure to Duchess I.
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Portfolio Characteristics
| Duchess II CDO S.A. |
| Capital Structure |
Original Rating |
Spread |
Original Balance |
| Class A-1 |
Aaa/AAA |
4.796% |
€ 6,600,000 |
| Class A-2 |
Aaa/AAA |
Euribor + 65bps |
€ 362,150,000 |
| Class B |
Aa3/AA- |
Euribor + 100bps |
€49,500,000 |
| Class C |
A2/A |
Euribor + 200bps |
€ 44,000,000 |
| Class D-1 |
Baa2/BBB |
7.319% |
€ 7,300,000 |
| Class D-2 |
Baa2/BBB |
Euribor + 300bps |
€ 11,950,000 |
| Class E-1 |
Ba3/BB- |
11.516% |
€ 6,750,000 |
| Class E-2 |
Ba3/BB- |
Euribor + 750bps |
€ 9,750,000 |
| Class F - Secured Income Notes |
NR/NR |
- |
€ 52,000,000 |
| Total |
- |
- |
€ 550,000,000 |
Table represents the fund's original capital structure, balance, and tranche ratings.
Ratings: Moody's/Standard & Poor's