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CDOs

Eurocredit CDO I BV

Eurocredit CDO I closed in September 1999 with an original size of €417m and was the first arbitrage cashflow CDO to be based on European loan, bond and mezzanine collateral. The fund is a mix of high yield bonds and leverage loans with a small mezzanine component. The reinvestment period for this fund expired in September 2004 and the transaction is now amortising. Eurocredit CDO I is rated by Moody's.

Eurocredit CDO II BV

This €370m fund was ICML's second cashflow CDO with a similar mix of high yield bonds, senior leverage loans and mezzanine and closed in October 2000. The reinvestment period for this fund expired in October 2005 and we are now evaluating various options for this transaction. Eurocredit CDO II is rated by Moody's.

Eurocredit CDO III BV

Eurocredit CDO III closed in September 2003. It is a €250m fund and is invested predominantly in senior loans, with a basket for mezzanine investments. Eurocredit CDO III is rated by S&P and Moodys.

Eurocredit CDO IV BV

Eurocredit CDO IV closed in November 2004. It is a €355m fund and is invested predominantly in senior loans, with some exposure to mezzanine and high yield bonds. Eurocredit CDO IV is rated by S&P and Moodys.

Eurocredit CDO V PLC

This transaction is the successor vehicle to Promus I BV. Closed in September 2006, it is a €600m fund and is invested predominantly in senior loans, with some exposure to mezzanine and high yield bonds. Eurocredit CDO V is rated by S&P and Moodys.

Eurocredit CDO VI PLC

Closed in December 2006, Eurocredit CDO VI is a €500m fund and is invested predominantly in senior loans, with some exposure to mezzanine and high yield bonds. Eurocredit CDO VI is rated by S&P and Moodys.

Promus I BV

This transaction has recently been refinanced and the assets sold to Eurocredit CDO V PLC.

Promus II BV

This transaction has recently been refinanced and the assets sold to Eurocredit CDO VII PLC.

Eurocredit CDO VII PLC

Eurocredit CDO VII closed in April 2007. It is a €520m fund and is invested predominantly in senior loans, with some exposure to mezzanine and high yield bonds. Eurocredit CDO VII is rated by S&P and Moodys.

Eurocredit CDO VIII PLC

Eurocredit CDO VIII closed in December 2007. It is a €636m fund and is invested predominantly in senior loans, with some exposure to mezzanine. Eurocredit CDO VIII is rated by S&P and Moodys.

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