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Table Of Contents
TOC Page: 1
Halcyon SAM European CLO 2008-I
As Of 12/31/2008 Scenario : Initial
TOC Page: 2
Requirements Summary
Collateral
Enhancement Moody's S&P Market
Security Security ID Obligation Maturity Date Rating Rating Frequency All In Rate Spread Price Principal Balance
Loan
ADI Finance 2 Ltd - Subordinated Term Loan - Eur/Swap ADIFinance_SubTL_EurSwp_HSAM2008-1 No 04-Jul-2011 B2 BBB- Quarterly 8.7200% 3.5800% 0.0000% 7,839,647.44 EUR
Amsterdamse Beheer - Kabel - Term Loan B Amsterdamse_TLB (Kabelcom) No 15-Sep-2014 Ba3 B Monthly 5.1920% 2.5000% 0.0000% 4,086,753.73 EUR
Amsterdamse Beheer - Kabel - Term Loan C Amsterdamse_TLC (Kabelcom) No 14-Sep-2015 Ba3 B Monthly 5.6920% 3.0000% 0.0000% 4,086,753.73 EUR
Amsterdamse Beheer - Term B1 Amsterdam_B1 No 15-Sep-2014 Ba3 B Monthly 5.1920% 2.5000% 98.5703% 506,747.66 EUR
Amsterdamse Beheer - Term B2 Amsterdam_B2 No 15-Sep-2014 Ba3 B Monthly 5.1920% 2.5000% 98.5917% 256,498.61 EUR
Amsterdamse Beheer - Term C Amsterdam_TermC No 14-Sep-2015 Ba3 B Monthly 5.6920% 3.0000% 0.0000% 763,246.27 EUR
Aster 1 SA - Term Loan A1 Germany Aster_A1g No 31-Dec-2013 Ba3 B+ Semi-Annual 5.2887% 2.2500% 0.0000% 1,005,778.26 EUR
Aster 1 SA - Term Loan A2 Brussels Aster_A2b No 31-Dec-2013 Ba3 B+ Semi-Annual 5.2887% 2.2500% 0.0000% 622,243.33 EUR
Aster 1 SA - Term Loan A3 Aster_A3 No 31-Dec-2013 Ba3 B+ Semi-Annual 5.2887% 2.2500% 0.0000% 232,257.29 EUR
Aster 1 SA - Term Loan A4 Brussels Aster_A4b No 31-Dec-2013 Ba3 B+ Semi-Annual 5.2887% 2.2500% 0.0000% 1,076.81 EUR
Aster 1 SA - Term Loan A4 Germany Aster_A4g No 31-Dec-2013 Ba3 B+ Semi-Annual 5.2887% 2.2500% 0.0000% 51,479.56 EUR
Aster 1 SA - Term Loan B1 French Aster_B1F No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 15,587.72 EUR
Aster 1 SA - Term Loan B1 German Aster_B1G No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 264,441.70 EUR
Aster 1 SA - Term Loan B1 Italian Aster_B1it No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 150,270.88 EUR
Aster 1 SA - Term Loan B1 Spain Aster_B1sp No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 8,661.47 EUR
Aster 1 SA - Term Loan B1 UK Aster_B1uk No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 45,121.65 EUR
Aster 1 SA - Term Loan B2 Belgium Aster_B2B No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 531,355.90 EUR
Aster 1 SA - Term Loan B2 German Aster_B2G No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 101,116.51 EUR
Aster 1 SA - Term Loan B2 Netherlands Aster_B2N No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 86,897.22 EUR
Aster 1 SA - Term Loan B3 Aster_TLB3 No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 404,572.06 EUR
Aster 1 SA - Term Loan B4 Belgium Aster_B4B No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 13,397.65 EUR
Aster 1 SA - Term Loan B4 French Aster_B4F No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 430.08 EUR
Aster 1 SA - Term Loan B4 German Aster_B4G No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 10,533.88 EUR
Aster 1 SA - Term Loan B4 German Undrawn ASTER1_TLB4UD No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 12,288.04 EUR
Aster 1 SA - Term Loan B4 Netherlands Aster_B4N No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 2,280.57 EUR
Aster 1 SA - Term Loan B4 Spain Aster_B4S No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 238.97 EUR
Aster 1 SA - Term Loan B4 UK Aster_B4U No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 1,244.94 EUR
Aster 1 SA - Term Loan C1 French Aster_C1F No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 15,587.72 EUR
Aster 1 SA - Term Loan C1 German Aster_C1G No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 264,441.70 EUR
Aster 1 SA - Term Loan C1 Italian Aster_C1I No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 156,500.75 EUR
Aster 1 SA - Term Loan C1 Spain Aster_C1S No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 8,661.47 EUR
Aster 1 SA - Term Loan C1 UK Aster_C1uk No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 45,121.65 EUR
Aster 1 SA - Term Loan C2 Belgium Aster_C2B No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 531,355.90 EUR
Aster 1 SA - Term Loan C2 German Aster_C2G No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 101,116.51 EUR
Aster 1 SA - Term Loan C2 Netherlands Aster_C2N No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 86,897.22 EUR
Aster 1 SA - Term Loan C3 Aster_TLC3 No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 404,572.06 EUR
Aster 1 SA - Term Loan C4 Belgium Aster_C4B No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 13,397.65 EUR
Aster 1 SA - Term Loan C4 French Aster_C4F No 31-Dec-2014 Ba3 B+ Quarterly 7.5417% 2.2500% 0.0000% 430.08 EUR
Reason
Security Security ID Settle Date PAR Amount Price Principal Interest Total Proceeds For Trade
LIBOR Paydown
SUNGARDDATASYSINC - Incremental Term Loan SUNGARD_ITL 31-Dec-2008 (5,949.55 EUR) 0.00 EUR 5,949.55 EUR 0.00 EUR 5,949.55 EUR
LIBOR Paydown Subtotal (5,949.55 EUR) 5,949.55 EUR 0.00 EUR 5,949.55 EUR
Liquidity Facility
17-Dec-2008 (4,108,879.91 EUR) 0.00 EUR 4,108,879.91 EUR 0.00 EUR 4,108,879.91 EUR
Liquidity Facility Subtotal (4,108,879.91 EUR) 4,108,879.91 EUR 0.00 EUR 4,108,879.91 EUR
Paydown
Aster 1 SA - Term Loan A1 Germany Aster_A1g 31-Dec-2008 (22,915.83 EUR) 0.00 EUR 22,915.83 EUR 0.00 EUR 22,915.83 EUR
Aster 1 SA - Term Loan A2 Brussels Aster_A2b 31-Dec-2008 (14,177.30 EUR) 0.00 EUR 14,177.30 EUR 0.00 EUR 14,177.30 EUR
Aster 1 SA - Term Loan A3 Aster_A3 31-Dec-2008 (5,291.79 EUR) 0.00 EUR 5,291.79 EUR 0.00 EUR 5,291.79 EUR
Aster 1 SA - Term Loan A4 Brussels Aster_A4b 31-Dec-2008 (24.53 EUR) 0.00 EUR 24.53 EUR 0.00 EUR 24.53 EUR
Aster 1 SA - Term Loan A4 Germany Aster_A4g 31-Dec-2008 (1,088.45 EUR) 0.00 EUR 1,088.45 EUR 0.00 EUR 1,088.45 EUR
Aster 1 SA - Term Loan A4 Germany Aster_A4g 31-Dec-2008 (84.47 EUR) 0.00 EUR 84.47 EUR 0.00 EUR 84.47 EUR
BCV Investments S.C.A - Term B Euro BCV Investments_TB Euro 31-Dec-2008 (10,587.09 EUR) 0.00 EUR 10,587.09 EUR 0.00 EUR 10,587.09 EUR
BCV Investments S.C.A - Term C Euro BCV Investments_TC Euro 31-Dec-2008 (10,587.09 EUR) 0.00 EUR 10,587.09 EUR 0.00 EUR 10,587.09 EUR
CEVAGROUPPLC - Canadian Term Loan Louis_Candiantl 31-Dec-2008 (3,105.24 EUR) 0.00 EUR 3,105.24 EUR 0.00 EUR 3,105.24 EUR
CEVAGROUPPLC - Dutch Term Loan Louis_Dutchtl 31-Dec-2008 (2,801.65 EUR) 0.00 EUR 2,801.65 EUR 0.00 EUR 2,801.65 EUR
HCA Inc - Euro Term loan HCAInc_EuroTL 31-Dec-2008 (36,348.65 EUR) 0.00 EUR 36,348.65 EUR 0.00 EUR 36,348.65 EUR
HEXIONSPECIALTYCHEMICALS - Tranche C-6 Term Loan Hexion_C-6 31-Dec-2008 (7,536.36 EUR) 0.00 EUR 7,536.36 EUR 0.00 EUR 7,536.36 EUR
Ineos Group - Term Loan B1 Ineos_TB1 31-Dec-2008 (16,635.41 EUR) 0.00 EUR 16,635.41 EUR 0.00 EUR 16,635.41 EUR
Ineos Group - Term Loan B3 Ineos_TLB3 31-Dec-2008 (8,491.90 EUR) 0.00 EUR 8,491.90 EUR 0.00 EUR 8,491.90 EUR
Ineos Group - Term Loan C1 Ineos_TC1 31-Dec-2008 (16,637.56 EUR) 0.00 EUR 16,637.56 EUR 0.00 EUR 16,637.56 EUR
Ineos Group - Term Loan C3 Ineos_TLC3 31-Dec-2008 (8,491.90 EUR) 0.00 EUR 8,491.90 EUR 0.00 EUR 8,491.90 EUR
LOUISAUSTRALIAHOLDCOPTYLIMITED - Australian Term Loan Louis Oz Holdco TL 31-Dec-2008 (1,560.56 EUR) 0.00 EUR 1,560.56 EUR 0.00 EUR 1,560.56 EUR
LYONDELLBASELL - German Tranche B3 LyondellBasell_GermanB3 31-Dec-2008 (10,050.19 EUR) 0.00 EUR 10,050.19 EUR 0.00 EUR 10,050.19 EUR
LYONDELLBASELL - German Tranche B3 LyondellBasell_GermanB3 31-Dec-2008 (25.05 EUR) 0.00 EUR 25.05 EUR 0.00 EUR 25.05 EUR
Springer Science - Term Loan B1 Springer_TB1 16-Dec-2008 (9,210.98 EUR) 0.00 EUR 9,210.98 EUR 0.00 EUR 9,210.98 EUR
Springer Science - Term Loan B1 Springer_TB1 31-Dec-2008 (19,821.35 EUR) 0.00 EUR 19,821.35 EUR 0.00 EUR 19,821.35 EUR
Springer Science - Term Loan C1 Springer_C1 16-Dec-2008 (7,929.43 EUR) 0.00 EUR 7,929.43 EUR 0.00 EUR 7,929.43 EUR
Springer Science - Term Loan C1 Springer_C1 31-Dec-2008 (17,087.50 EUR) 0.00 EUR 17,087.50 EUR 0.00 EUR 17,087.50 EUR
Springer Science - Term Loan E1 Springer_E1 16-Dec-2008 (11,430.31 EUR) 0.00 EUR 11,430.31 EUR 0.00 EUR 11,430.31 EUR
Springer Science - Term Loan E1 Springer_E1 31-Dec-2008 (24,605.89 EUR) 0.00 EUR 24,605.89 EUR 0.00 EUR 24,605.89 EUR
SUNGARDDATASYSINC - Incremental Term Loan - Euro Swap Sungard_INC_SWAP 31-Dec-2008 (5,394.00 EUR) 0.00 EUR 5,394.00 EUR 0.00 EUR 5,394.00 EUR
Paydown Subtotal (271,920.50 EUR) 271,920.50 EUR 0.00 EUR 271,920.50 EUR
Purchases
ADI Finance 2 Ltd - Subordinated Term Loan - Eur/Swap ADIFinance_SubTL_EurSwp_HSAM2008-1 20-May-2008 9,858,880.16 EUR 100.00 EUR (9,858,880.16 EUR) 0.00 EUR (9,858,880.16 EUR)
Amsterdamse Beheer - Kabel - Term Loan B Amsterdamse_TLB (Kabelcom) 20-May-2008 2,000,000.00 EUR 100.25 EUR (2,005,000.00 EUR) 0.00 EUR (2,005,000.00 EUR)
Amsterdamse Beheer - Kabel - Term Loan B Amsterdamse_TLB (Kabelcom) 30-May-2008 2,086,753.73 EUR 100.00 EUR (2,086,753.73 EUR) 0.00 EUR (2,086,753.73 EUR)
Amsterdamse Beheer - Kabel - Term Loan C Amsterdamse_TLC (Kabelcom) 20-May-2008 2,000,000.00 EUR 100.25 EUR (2,005,000.00 EUR) 0.00 EUR (2,005,000.00 EUR)
Amsterdamse Beheer - Kabel - Term Loan C Amsterdamse_TLC (Kabelcom) 30-May-2008 2,086,753.73 EUR 100.00 EUR (2,086,753.73 EUR) 0.00 EUR (2,086,753.73 EUR)
Amsterdamse Beheer - Term B1 Amsterdam_B1 30-May-2008 506,747.66 EUR 100.00 EUR (506,747.66 EUR) 0.00 EUR (506,747.66 EUR)
Amsterdamse Beheer - Term B2 Amsterdam_B2 30-May-2008 256,498.61 EUR 100.00 EUR (256,498.61 EUR) 0.00 EUR (256,498.61 EUR)
Amsterdamse Beheer - Term C Amsterdam_TermC 30-May-2008 763,246.27 EUR 100.00 EUR (763,246.27 EUR) 0.00 EUR (763,246.27 EUR)
Aster 1 SA - Term Loan A1 Germany Aster_A1g 10-Jun-2008 1,051,609.92 EUR 100.00 EUR (1,051,609.92 EUR) 0.00 EUR (1,051,609.92 EUR)
Aster 1 SA - Term Loan A2 Brussels Aster_A2b 10-Jun-2008 650,597.93 EUR 100.00 EUR (650,597.93 EUR) 0.00 EUR (650,597.93 EUR)
Purchases Subtotal 439,296,634.18 EUR (429,402,240.88 EUR) 0.00 EUR (429,402,240.88 EUR)
Sales
Avio S.p.A. - Facility B2 AVIOSPA_FACB2 05-Sep-2008 (1,155,981.58 EUR) 82.00 EUR 947,904.90 EUR 0.00 EUR 947,904.90 EUR
Avio S.p.A. - Facility B2 AVIOSPA_FACB2 05-Sep-2008 (769,729.37 EUR) 81.00 EUR 623,480.79 EUR 0.00 EUR 623,480.79 EUR
Avio S.p.A. - Facility C2 AVIOSPA_FACC2 05-Sep-2008 (1,226,697.48 EUR) 82.00 EUR 1,005,891.93 EUR 0.00 EUR 1,005,891.93 EUR
Avio S.p.A. - Facility C2 AVIOSPA_FACC2 05-Sep-2008 (816,816.72 EUR) 81.00 EUR 661,621.55 EUR 0.00 EUR 661,621.55 EUR
AVR Acquisitions - Term B3A avr_b3a 07-Jul-2008 (1,600,000.00 EUR) 94.63 EUR 1,514,000.00 EUR 0.00 EUR 1,514,000.00 EUR
Sales Subtotal (32,892,246.95 EUR) 27,868,130.62 EUR 0.00 EUR 27,868,130.62 EUR
Grand Total 402,017,637.27 EUR (397,147,360.31 EUR) 0.00 EUR (397,147,360.31 EUR)
Projected
Account Account Reinvestment
Account Name Number Type Account Balance Settled Account Balance Traded Income
HSAM CLO 2008-1 B.V - AUD Interest Account 2262360361 Interest 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - AUD Principal Account 2262360360 Principal 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - AUD Warehouse Accured Int Acc 2262360362 Interest 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - CAD Interest Account 2262361241 Interest 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - CAD Principal Account 2262361240 Principal 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - CAD Warehouse Accrued Interest Acc 2262361242 Interest 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - CHF Interest Account 2262367561 Interest 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - CHF Principal Account 2262367560 Principal 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - CHF Warehouse Accrued Interest Acc 2262367562 Interest 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - DKK Interest Account 2262362081 Interest 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - DKK Principal Account 2262362080 Principal 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - DKK Warehouse Accured Interest Acc 2262362082 Interest 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Collateral Enhancement Acc 2262379785 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Counterparty Downgrade Acc 2262379784 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Credit Short Oblig Res Acc 2262399781 Reserve 62,477.00 EUR 62,477.00 EUR 8.53 EUR
HSAM CLO 2008-1 B.V - EUR Credit Short Obligation Fund Acc 226399780 General 6,017,801.04 EUR 6,017,801.04 EUR 821.60 EUR
HSAM CLO 2008-1 B.V - EUR Expense Reserve Account 2262369783 Reserve 348,023.08 EUR 348,023.08 EUR 47.51 EUR
HSAM CLO 2008-1 B.V - EUR Hedge Termination Acc 2262379783 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Initial Proceeds Acc 2262369784 General 7.79 EUR 7.79 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Interest Account 2262369781 Interest 4,056,461.20 EUR 4,056,461.20 EUR 553.82 EUR
HSAM CLO 2008-1 B.V - EUR Liquidity Payment Acc 2262369786 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Payment Account 2262369785 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Portfolio CCY Hedge Int Acc 2262379780 Interest 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Portfolio CCY Hedge Prin Acc 2262379781 Principal 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Prefunded Commitment Acc 2262369787 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Principal Account 2262369780 Principal 1,848,065.76 EUR 3,148,065.76 EUR 252.31 EUR
HSAM CLO 2008-1 B.V - EUR Securities lending Acc 2262369788 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Synthetic Security Acc 2262369789 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Unfunded Revolver Res Acc 2262379782 Reserve 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - EUR Warehouse Accured Int Acc 2262369782 Interest 81,083.01 EUR 81,083.01 EUR 11.07 EUR
HSAM CLO 2008-1 B.V - GBP Collateral Enhancement Acc 2262378265 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Counterparty Downgrade Acc 2262378264 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Credit Short Oblig Res Acc 2262398261 Reserve 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Credit Short Obligation Fund Acc 2262398260 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Expense Reserve Account 2262368263 Reserve 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Hedge Termination Acc 2262378263 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Initial Proceeds Account 2262368264 General 0.08 EUR 0.08 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Interest Account 2262368261 Interest 188,166.13 EUR 188,166.13 EUR 25.69 EUR
HSAM CLO 2008-1 B.V - GBP Liquidity Payment Account 2262368266 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Payment Account 2262368265 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Portfolio CCY Hedge Int Acc 2262378260 Interest 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Portfolio CCY Hedge Prin Acc 2262378261 Principal 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Prefunded Commitment Acc 2262368267 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Principal Account 2262368260 Principal (1,770.80 EUR) (1,770.80 EUR) (0.24 EUR)
HSAM CLO 2008-1 B.V - GBP Securities Lending Acc 2262368268 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Synthetic Security Acc 2262368269 General 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Unfunded Revolver Res Acc 2262378262 Reserve 0.00 EUR 0.00 EUR 0.00 EUR
HSAM CLO 2008-1 B.V - GBP Warehouse Accrued Interest Acc 2262368262 Interest 1,787.91 EUR 1,787.91 EUR 0.24 EUR
HSAM CLO 2008-1 B.V - NOK Interest Account 2262365781 Interest 0.00 EUR 0.00 EUR 0.00 EUR
Outcome Requirement
OC Coverage % 138.65% >= 127.51% In Compliance
Collateral:
Aggregate Principal Balance (Excluding 381,028,423.73 EUR
Defaulted, Discounted & Deferring Interest
PIK Securities)
Plus:
Principal & Unused Proceeds Account 3,186,765.43 EUR
Balance
Defaulted Securities 2,056,191.36 EUR
PIK Security Currently Deferring Interest 0.00 EUR
Subtotal: 5,242,956.79 EUR
386,271,380.53 EUR
Less:
CCC Adjustment Amount 0.00 EUR
Discounted Securities 830,000.00 EUR
Par Value Numerator: 385,441,380.53 EUR
Notes:
Aggregate Notes Amount Outstanding 278,000,000.00 EUR
Par Value Denominator: 278,000,000.00 EUR
Outcome Requirement
OC Coverage % 133.83% >= 126.11% In Compliance
Collateral:
Aggregate Principal Balance (Excluding 381,028,423.73 EUR
Defaulted, Discounted & Deferring Interest
PIK Securities)
Plus:
Principal & Unused Proceeds Account 3,186,765.43 EUR
Balance
Defaulted Securities 2,056,191.36 EUR
PIK Security Currently Deferring Interest 0.00 EUR
Subtotal: 5,242,956.79 EUR
386,271,380.53 EUR
Less:
CCC Adjustment Amount 0.00 EUR
Discounted Securities 830,000.00 EUR
Par Value Numerator: 385,441,380.53 EUR
Notes:
Aggregate Notes Amount Outstanding 288,000,000.00 EUR
Par Value Denominator: 288,000,000.00 EUR
Outcome Requirement
OC Coverage % 125.14% >= 119.77% In Compliance
Collateral:
Aggregate Principal Balance (Excluding 381,028,423.73 EUR
Defaulted, Discounted & Deferring Interest
PIK Securities)
Plus:
Principal & Unused Proceeds Account 3,186,765.43 EUR
Balance
Defaulted Securities 2,056,191.36 EUR
PIK Security Currently Deferring Interest 0.00 EUR
Subtotal: 5,242,956.79 EUR
386,271,380.53 EUR
Less:
CCC Adjustment Amount 0.00 EUR
Discounted Securities 830,000.00 EUR
Par Value Numerator: 385,441,380.53 EUR
Notes:
Aggregate Notes Amount Outstanding 308,000,000.00 EUR
Par Value Denominator: 308,000,000.00 EUR
Outcome Requirement
OC Coverage % 118.60% >= 114.62% In Compliance
Collateral:
Aggregate Principal Balance (Excluding 381,028,423.73 EUR
Defaulted, Discounted & Deferring Interest
PIK Securities)
Plus:
Principal & Unused Proceeds Account 3,186,765.43 EUR
Balance
Defaulted Securities 2,056,191.36 EUR
PIK Security Currently Deferring Interest 0.00 EUR
Subtotal: 5,242,956.79 EUR
386,271,380.53 EUR
Less:
CCC Adjustment Amount 0.00 EUR
Discounted Securities 830,000.00 EUR
Par Value Numerator: 385,441,380.53 EUR
Notes:
Aggregate Notes Amount Outstanding 325,000,000.00 EUR
Par Value Denominator: 325,000,000.00 EUR
Outcome Requirement
OC Coverage % 114.71% >= 112.67% In Compliance
Collateral:
Aggregate Principal Balance (Excluding 381,028,423.73 EUR
Defaulted, Discounted & Deferring Interest
PIK Securities)
Plus:
Principal & Unused Proceeds Account 3,186,765.43 EUR
Balance
Defaulted Securities 2,056,191.36 EUR
PIK Security Currently Deferring Interest 0.00 EUR
Subtotal: 5,242,956.79 EUR
386,271,380.53 EUR
Less:
CCC Adjustment Amount 0.00 EUR
Discounted Securities 830,000.00 EUR
Par Value Numerator: 385,441,380.53 EUR
Notes:
Aggregate Notes Amount Outstanding 336,000,000.00 EUR
Par Value Denominator: 336,000,000.00 EUR
Outcome Requirement
Interest Coverage % 235.71% >= 130.00% In Compliance
ADD:
Actual:
Interest Account Balances 4,354,483.19 EUR
Miscellaneous Interest Proceeds 0.00 EUR
Subtotal: 4,354,483.19 EUR
Projected:
Interest on CDOs 9,667,035.90 EUR
Interest on Forward Contracts or Unhedged 0.00 EUR
CDOs
Reinvestment Income 111,771.46 EUR
Interest on Participations 0.00 EUR
Interest on Securities Lending Collateral in 0.00 EUR
event of Default
Interest Receivable Not Projected 0.00 EUR
Interest on Account Balances 95,715.77 EUR
Subtotal: 9,874,523.13 EUR
ADD:
Scheduled Periodic Asset Swap 0.00 EUR
Counterparty Payments
Interest Rate Hedge Transaction Payable 0.00 EUR
Subtotal: 0.00 EUR
Less:
Amounts payable pursuant to Condition 3 c 474,454.01 EUR
(i) A to F and Condition 3 c (ii)
Amounts held in respect of Taxes 0.00 EUR
Subtotal: 474,454.01 EUR
All-In-Rate Base Rate Spread Date From Date To Interest Par Amount TrancheGroup
Outcome Requirement
Interest Coverage % 222.77% >= 118.00% In Compliance
ADD:
Actual:
Interest Account Balances 4,354,483.19 EUR
Miscellaneous Interest Proceeds 0.00 EUR
Subtotal: 4,354,483.19 EUR
Projected:
Interest on CDOs 9,667,035.90 EUR
Interest on Forward Contracts or Unhedged 0.00 EUR
CDOs
Reinvestment Income 111,771.46 EUR
Interest on Participations 0.00 EUR
Interest on Securities Lending Collateral in 0.00 EUR
event of Default
Interest Receivable Not Projected 0.00 EUR
Interest on Account Balances 95,715.77 EUR
Subtotal: 9,874,523.13 EUR
ADD:
Scheduled Periodic Asset Swap 0.00 EUR
Counterparty Payments
Interest Rate Hedge Transaction Payable 0.00 EUR
Subtotal: 0.00 EUR
Less:
Amounts payable pursuant to Condition 3 c 474,454.01 EUR
(i) A to F and Condition 3 c (ii)
Amounts held in respect of Taxes 0.00 EUR
Subtotal: 474,454.01 EUR
All-In-Rate Base Rate Spread Date From Date To Interest Par Amount TrancheGroup
Class B
6.7020% 3.2020% 3.5000% 22-Dec-2008 22-Jun-2009 338,823.33 EUR 10,000,000.00 EUR B
Outcome Requirement
Interest Coverage % 195.69% >= 105.00% In Compliance
ADD:
Actual:
Interest Account Balances 4,354,483.19 EUR
Miscellaneous Interest Proceeds 0.00 EUR
Subtotal: 4,354,483.19 EUR
Projected:
Interest on CDOs 9,667,035.90 EUR
Interest on Forward Contracts or Unhedged 0.00 EUR
CDOs
Reinvestment Income 111,771.46 EUR
Interest on Participations 0.00 EUR
Interest on Securities Lending Collateral in 0.00 EUR
event of Default
Interest Receivable Not Projected 0.00 EUR
Interest on Account Balances 95,715.77 EUR
Subtotal: 9,874,523.13 EUR
ADD:
Scheduled Periodic Asset Swap 0.00 EUR
Counterparty Payments
Interest Rate Hedge Transaction Payable 0.00 EUR
Subtotal: 0.00 EUR
Less:
Amounts payable pursuant to Condition 3 c 474,454.01 EUR
(i) A to F and Condition 3 c (ii)
Amounts held in respect of Taxes 0.00 EUR
Subtotal: 474,454.01 EUR
All-In-Rate Base Rate Spread Date From Date To Interest Par Amount TrancheGroup
Class B
6.7020% 3.2020% 3.5000% 22-Dec-2008 22-Jun-2009 338,823.33 EUR 10,000,000.00 EUR B
Class C
8.4520% 3.2020% 5.2500% 22-Dec-2008 22-Jun-2009 854,591.11 EUR 20,000,000.00 EUR C
Outcome Requirement
Interest Coverage % 173.04% >= 100.00% In Compliance
ADD:
Actual:
Interest Account Balances 4,354,483.19 EUR
Miscellaneous Interest Proceeds 0.00 EUR
Subtotal: 4,354,483.19 EUR
Projected:
Interest on CDOs 9,667,035.90 EUR
Interest on Forward Contracts or Unhedged 0.00 EUR
CDOs
Reinvestment Income 111,771.46 EUR
Interest on Participations 0.00 EUR
Interest on Securities Lending Collateral in 0.00 EUR
event of Default
Interest Receivable Not Projected 0.00 EUR
Interest on Account Balances 95,715.77 EUR
Subtotal: 9,874,523.13 EUR
ADD:
Scheduled Periodic Asset Swap 0.00 EUR
Counterparty Payments
Interest Rate Hedge Transaction Payable 0.00 EUR
Subtotal: 0.00 EUR
Less:
Amounts payable pursuant to Condition 3 c 474,454.01 EUR
(i) A to F and Condition 3 c (ii)
Amounts held in respect of Taxes 0.00 EUR
Subtotal: 474,454.01 EUR
All-In-Rate Base Rate Spread Date From Date To Interest Par Amount TrancheGroup
Class B
6.7020% 3.2020% 3.5000% 22-Dec-2008 22-Jun-2009 338,823.33 EUR 10,000,000.00 EUR B
Class C
8.4520% 3.2020% 5.2500% 22-Dec-2008 22-Jun-2009 854,591.11 EUR 20,000,000.00 EUR C
Class D
10.7020% 3.2020% 7.5000% 22-Dec-2008 22-Jun-2009 919,777.44 EUR 17,000,000.00 EUR D
Outcome Requirement
OC Coverage % 114.71% >= 113.67% In Compliance
Collateral:
Aggregate Principal Balance (Excluding 381,028,423.73 EUR
Defaulted, Discounted & Deferring Interest
PIK Securities)
Plus:
Principal & Unused Proceeds Account 3,186,765.43 EUR
Balance
Defaulted Securities 2,056,191.36 EUR
PIK Security Currently Deferring Interest 0.00 EUR
Subtotal: 5,242,956.79 EUR
386,271,380.53 EUR
Less:
CCC Adjustment Amount 0.00 EUR
Discounted Securities 830,000.00 EUR
Par Value Numerator: 385,441,380.53 EUR
Notes:
Aggregate Notes Amount Outstanding 336,000,000.00 EUR
Par Value Denominator: 336,000,000.00 EUR
Current No. of
Calc. Interest Days in No. of Days
Maturity Interest Collected Method PAR Contract Rate Payment Date Period Scheduled Distribution Reinvested Reinvestment Interest
Moody S&P
Default Default Market Recovery Recovery
Security Security ID Maturity Date Obligation Date Par Amount Price Rate Rate
CASTLEBIDCOLTD - Second Lien - Eur/Swap CastBidco_SecLien_EurSwap_HSAM2008 09-Sep-2013 Yes 1,880,700.00 EUR 3.0000% 25.0000% 45.0000%
LYONDELLBASELL - German Tranche B3 LyondellBasell_GermanB3 20-Dec-2013 Yes 3,979,924.76 EUR 39.5000% 75.0000% 68.0000%
Mother Bidco Limited - Second Lien Term Loan - Eur/Swap Mther_Bidco_2ndLienSwap_Halcy2008 31-May-2014 Yes 5,717,916.14 EUR 3.5000% 25.0000% 45.0000%
Mother Bidco Limited - Term Loan B - Eur/Swap Mther_Bidco_TLBSwap_Halcy2008 31-May-2013 Yes 1,270,648.03 EUR 10.1600% 75.0000% 68.0000%
Mother Bidco Limited - Term Loan C - Eur/sWAP Mther_Bidco_TLCswap_Halcy2008 31-May-2013 Yes 1,270,648.03 EUR 7.7500% 75.0000% 68.0000%
Moody's Recovery
Security Security ID AssetType Security Level Moody Country Rating Principal Balance Rate Recovery Amount
ADI Finance 2 Ltd - Subordinated Term Loan - Eur/Swap ADIFinance_SubTL_EurSwp_HSAM2008-1 Loan Senior Unsecured United Kingdom B2 7,839,647.44 EUR 25.0000% 1,959,911.86 EUR
Amsterdamse Beheer - Kabel - Term Loan B Amsterdamse_TLB (Kabelcom) Loan Senior Secured Netherlands Ba3 4,086,753.73 EUR 75.0000% 3,065,065.30 EUR
Amsterdamse Beheer - Kabel - Term Loan C Amsterdamse_TLC (Kabelcom) Loan Senior Secured Netherlands Ba3 4,086,753.73 EUR 75.0000% 3,065,065.30 EUR
Amsterdamse Beheer - Term B1 Amsterdam_B1 Loan Senior Secured Netherlands Ba3 506,747.66 EUR 75.0000% 380,060.75 EUR
Amsterdamse Beheer - Term B2 Amsterdam_B2 Loan Senior Secured Netherlands Ba3 256,498.61 EUR 75.0000% 192,373.96 EUR
Amsterdamse Beheer - Term C Amsterdam_TermC Loan Senior Secured Netherlands Ba3 763,246.27 EUR 75.0000% 572,434.70 EUR
Aster 1 SA - Term Loan A1 Germany Aster_A1g Loan Senior Secured Luxembourg Ba3 1,005,778.26 EUR 50.0000% 502,889.13 EUR
Aster 1 SA - Term Loan A2 Brussels Aster_A2b Loan Senior Secured Luxembourg Ba3 622,243.33 EUR 50.0000% 311,121.66 EUR
Aster 1 SA - Term Loan A3 Aster_A3 Loan Senior Secured Luxembourg Ba3 232,257.29 EUR 50.0000% 116,128.64 EUR
Aster 1 SA - Term Loan A4 Brussels Aster_A4b Loan Senior Secured Luxembourg Ba3 1,076.81 EUR 50.0000% 538.40 EUR
Aster 1 SA - Term Loan A4 Germany Aster_A4g Loan Senior Secured Luxembourg Ba3 51,479.56 EUR 50.0000% 25,739.78 EUR
Aster 1 SA - Term Loan B1 French Aster_B1F Loan Senior Secured Luxembourg Ba3 15,587.72 EUR 50.0000% 7,793.86 EUR
Aster 1 SA - Term Loan B1 German Aster_B1G Loan Senior Secured Luxembourg Ba3 264,441.70 EUR 50.0000% 132,220.85 EUR
Aster 1 SA - Term Loan B1 Italian Aster_B1it Loan Senior Secured Luxembourg Ba3 150,270.88 EUR 50.0000% 75,135.44 EUR
Aster 1 SA - Term Loan B1 Spain Aster_B1sp Loan Senior Secured Luxembourg Ba3 8,661.47 EUR 50.0000% 4,330.74 EUR
Aster 1 SA - Term Loan B1 UK Aster_B1uk Loan Senior Secured Luxembourg Ba3 45,121.65 EUR 50.0000% 22,560.83 EUR
Aster 1 SA - Term Loan B2 Belgium Aster_B2B Loan Senior Secured Luxembourg Ba3 531,355.90 EUR 50.0000% 265,677.95 EUR
Aster 1 SA - Term Loan B2 German Aster_B2G Loan Senior Secured Luxembourg Ba3 101,116.51 EUR 50.0000% 50,558.26 EUR
Aster 1 SA - Term Loan B2 Netherlands Aster_B2N Loan Senior Secured Luxembourg Ba3 86,897.22 EUR 50.0000% 43,448.61 EUR
Aster 1 SA - Term Loan B3 Aster_TLB3 Loan Senior Secured Luxembourg Ba3 404,572.06 EUR 50.0000% 202,286.03 EUR
Aster 1 SA - Term Loan B4 Belgium Aster_B4B Loan Senior Secured Luxembourg Ba3 13,397.65 EUR 50.0000% 6,698.83 EUR
Aster 1 SA - Term Loan B4 French Aster_B4F Loan Senior Secured Luxembourg Ba3 430.08 EUR 50.0000% 215.04 EUR
Aster 1 SA - Term Loan B4 German Aster_B4G Loan Senior Secured Luxembourg Ba3 10,533.88 EUR 50.0000% 5,266.94 EUR
Aster 1 SA - Term Loan B4 German Undrawn ASTER1_TLB4UD Loan Senior Secured Luxembourg Ba3 12,288.04 EUR 50.0000% 6,144.02 EUR
Aster 1 SA - Term Loan B4 Netherlands Aster_B4N Loan Senior Secured Luxembourg Ba3 2,280.57 EUR 50.0000% 1,140.29 EUR
Aster 1 SA - Term Loan B4 Spain Aster_B4S Loan Senior Secured Luxembourg Ba3 238.97 EUR 50.0000% 119.49 EUR
Aster 1 SA - Term Loan B4 UK Aster_B4U Loan Senior Secured Luxembourg Ba3 1,244.94 EUR 50.0000% 622.47 EUR
Aster 1 SA - Term Loan C1 French Aster_C1F Loan Senior Secured Luxembourg Ba3 15,587.72 EUR 50.0000% 7,793.86 EUR
Aster 1 SA - Term Loan C1 German Aster_C1G Loan Senior Secured Luxembourg Ba3 264,441.70 EUR 50.0000% 132,220.85 EUR
Aster 1 SA - Term Loan C1 Italian Aster_C1I Loan Senior Secured Luxembourg Ba3 156,500.75 EUR 50.0000% 78,250.38 EUR
Aster 1 SA - Term Loan C1 Spain Aster_C1S Loan Senior Secured Luxembourg Ba3 8,661.47 EUR 50.0000% 4,330.74 EUR
Aster 1 SA - Term Loan C1 UK Aster_C1uk Loan Senior Secured Luxembourg Ba3 45,121.65 EUR 50.0000% 22,560.83 EUR
Aster 1 SA - Term Loan C2 Belgium Aster_C2B Loan Senior Secured Luxembourg Ba3 531,355.90 EUR 50.0000% 265,677.95 EUR
Aster 1 SA - Term Loan C2 German Aster_C2G Loan Senior Secured Luxembourg Ba3 101,116.51 EUR 50.0000% 50,558.26 EUR
Aster 1 SA - Term Loan C2 Netherlands Aster_C2N Loan Senior Secured Luxembourg Ba3 86,897.22 EUR 50.0000% 43,448.61 EUR
Aster 1 SA - Term Loan C3 Aster_TLC3 Loan Senior Secured Luxembourg Ba3 404,572.06 EUR 50.0000% 202,286.03 EUR
Aster 1 SA - Term Loan C4 Belgium Aster_C4B Loan Senior Secured Luxembourg Ba3 13,397.65 EUR 50.0000% 6,698.83 EUR
Aster 1 SA - Term Loan C4 French Aster_C4F Loan Senior Secured Luxembourg Ba3 430.08 EUR 50.0000% 215.04 EUR
Aster 1 SA - Term Loan C4 German Aster_C4G Loan Senior Secured Luxembourg Ba3 10,533.88 EUR 50.0000% 5,266.94 EUR
Aster 1 SA - Term Loan C4 German Undrawn ASTER_TLC4GUD Loan Senior Secured Luxembourg Ba3 12,288.04 EUR 50.0000% 6,144.02 EUR
Aster 1 SA - Term Loan C4 Netherlands Aster_C4N Loan Senior Secured Luxembourg Ba3 2,280.57 EUR 50.0000% 1,140.29 EUR
Cov Lite Loans Loans - Country Group-A Subtotal 13,165,561.50 EUR 8,030,992.52 EUR
Cov Lite Loans Loans - Country Group-B Subtotal 4,000,000.00 EUR 2,000,000.00 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I The S&P Minimum Page 1
11:23:17 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 61
Asset S&P Recovery
Security Security ID Type Security Level S&P Country Rating Principal Balance Rate Recovery Amount
Amsterdamse Beheer - Term B2 Amsterdam_B2 Loan Senior Secured Netherlands B 256,498.61 EUR 68.0000% 174,419.05 EUR
Amsterdamse Beheer - Term C Amsterdam_TermC Loan Senior Secured Netherlands B 763,246.27 EUR 68.0000% 519,007.46 EUR
Autobar - Tranche B Charden_TLB Loan Senior Secured Netherlands B 2,911,542.49 EUR 68.0000% 1,979,848.90 EUR
Autobar - Tranche C Charden_TLC Loan Senior Secured Netherlands B 2,911,542.49 EUR 68.0000% 1,979,848.90 EUR
AVR Acquisitions - Term B3A avr_b3a Loan Senior Secured Netherlands B 4,710,694.49 EUR 68.0000% 3,203,272.25 EUR
AVR Acquisitions - Term B3B avr_b3b Loan Senior Secured Netherlands B 143,866.91 EUR 68.0000% 97,829.50 EUR
AVR Acquisitions - Term B3C avr_b3c Loan Senior Secured Netherlands B 389,244.49 EUR 68.0000% 264,686.25 EUR
AVR Acquisitions - Term B3D AVR_TL_B3D Loan Senior Secured Netherlands B 457,566.97 EUR 68.0000% 311,145.54 EUR
AVR Acquisitions - Term Loan B AVR_TLB Loan Senior Secured Netherlands B 878,924.15 EUR 68.0000% 597,668.42 EUR
AVR Acquisitions - Term Loan C AVR_TLC Loan Senior Secured Netherlands B 3,180,297.00 EUR 68.0000% 2,162,601.96 EUR
BCM Ireland Finance - Facility B BCM_B Loan Senior Secured Ireland B+ 2,462,068.60 EUR 68.0000% 1,674,206.64 EUR
BCM Ireland Finance - Facility C BCM_C Loan Senior Secured Ireland B+ 2,462,343.10 EUR 68.0000% 1,674,393.31 EUR
CEVAGROUPPLC - Canadian Term Loan Louis_Candiantl Loan Senior Secured Netherlands B 1,217,254.04 EUR 68.0000% 827,732.75 EUR
CEVAGROUPPLC - Dutch Term Loan Louis_Dutchtl Loan Senior Secured Netherlands B 1,098,247.30 EUR 68.0000% 746,808.16 EUR
CEVAGROUPPLC - EURO pre-funded LC facility Lous_LC Loan Senior Secured Netherlands B 1,065,290.91 EUR 68.0000% 724,397.82 EUR
Ineos Group - Term Loan B1 Ineos_TB1 Loan Senior Secured United Kingdom B 1,613,634.99 EUR 68.0000% 1,097,271.79 EUR
Ineos Group - Term Loan B3 Ineos_TLB3 Loan Senior Secured United Kingdom B 823,713.92 EUR 68.0000% 560,125.47 EUR
Ineos Group - Term Loan C1 Ineos_TC1 Loan Senior Secured United Kingdom B 1,613,842.89 EUR 68.0000% 1,097,413.17 EUR
Ineos Group - Term Loan C3 Ineos_TLC3 Loan Senior Secured United Kingdom B 823,713.92 EUR 68.0000% 560,125.47 EUR
LOUISAUSTRALIAHOLDCOPTYLIMITED - Australian Term Loan Louis Oz Holdco TL Loan Senior Secured Netherlands B 611,740.30 EUR 68.0000% 415,983.40 EUR
LYONDELLBASELL - German Tranche B3 LyondellBasell_GermanB3 Loan Senior Secured Netherlands D 3,979,924.76 EUR 68.0000% 2,706,348.84 EUR
Macq UK Broadcast Ent Ltd - Junior Term Loan - Eur/Swap MacqEnterpise_JuniorTLSwap_HSAM2008 Loan Senior Secured England B- 3,631,289.88 EUR 68.0000% 2,469,277.12 EUR
MacQuarie - Facility A2 - Eur/Swap MAcQBroadcast_A2Swap_HSAM2008 Loan Senior Secured United Kingdom B- 4,885,089.00 EUR 68.0000% 3,321,860.52 EUR
Mobilserv Ltd - Term B - Euro/Swap Mobilserv Ltd_TLB_SWAP Loan Senior Secured United Kingdom B 1,335,671.55 EUR 68.0000% 908,256.65 EUR
Mobilserv Ltd - Term C - Euro/Swap Mobilserv Ltd_TLC_SWAP Loan Senior Secured United Kingdom B 781,391.39 EUR 68.0000% 531,346.15 EUR
MONTJEUBIDCOLTD - Facility B - Eur/Swap MontBidco_FacB_eurSwap_HSAM08 Loan Senior Secured United Kingdom B- 2,821,050.00 EUR 68.0000% 1,918,314.00 EUR
MONTJEUBIDCOLTD - Facility C - Eur/Swap MontBidco_FacC_EurSwap_HSAM08 Loan Senior Secured United Kingdom B- 2,821,050.00 EUR 68.0000% 1,918,314.00 EUR
Mother Bidco Limited - Term Loan B - Eur/Swap Mther_Bidco_TLBSwap_Halcy2008 Loan Senior Secured United Kingdom CCC+ 1,270,648.03 EUR 68.0000% 864,040.66 EUR
Mother Bidco Limited - Term Loan C - Eur/sWAP Mther_Bidco_TLCswap_Halcy2008 Loan Senior Secured United Kingdom CCC+ 1,270,648.03 EUR 68.0000% 864,040.66 EUR
Project Alpha III - Term B3 ProjectAlpha_B3 Loan Senior Secured United Kingdom B+ 7,500,000.00 EUR 68.0000% 5,100,000.00 EUR
SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan Senior Secured Ireland BB 3,500,000.00 EUR 68.0000% 2,380,000.00 EUR
SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan Senior Secured Ireland BB 3,500,000.00 EUR 68.0000% 2,380,000.00 EUR
United Biscuits - Term B1 - Eur/Swap UnitedBiscuits_TB1_EurSwap_HSAM08 Loan Senior Secured United Kingdom B 6,269,000.00 EUR 68.0000% 4,262,920.00 EUR
UPC Financing - Term Loan M UPC_TLM Loan Senior Secured Netherlands B+ 5,000,000.00 EUR 68.0000% 3,400,000.00 EUR
Virgin Media Investment Holdings Limited - Facility B12 - eur/Swap Virgin_B6Swap_HSAM2008 Loan Senior Secured United Kingdom B+ 1,417,606.40 EUR 68.0000% 963,972.35 EUR
Virgin Media Investment Holdings Limited - Term Loan B11 - VirginMedia_B5Swap_HSAM2008 Loan Senior Secured United Kingdom B+ 2,787,959.25 EUR 68.0000% 1,895,812.29 EUR
Eur/Swap
Virgin Media Investment Holdings Limited - Term Loan B7 - Virgin_B1Swap_HSAM2008 Loan Senior Secured United Kingdom B+ 1,734,290.00 EUR 68.0000% 1,179,317.20 EUR
Eur/Swap
Virgin Media Investment Holdings Limited - Term Loan B8 - Virgin_B2Swap_HSAM2008 Loan Senior Secured United Kingdom B+ 2,027,110.00 EUR 68.0000% 1,378,434.80 EUR
Eur/Swap
Yellow Brick Road - Term Loan B2 YBR_B2 Loan Senior Secured Netherlands B 910,346.00 EUR 68.0000% 619,035.28 EUR
Yellow Brick Road - Term Loan C2 YBR_C2 Loan Senior Secured Netherlands B 629,020.02 EUR 68.0000% 427,733.61 EUR
Yellow Brick Road - Tranche B YBR_TLB Loan Senior Secured Netherlands B 2,862,783.35 EUR 68.0000% 1,946,692.68 EUR
Yellow Brick Road - Tranche C YBR_TLC Loan Senior Secured Netherlands B 3,631,216.65 EUR 68.0000% 2,469,227.32 EUR
Senior Secured Loans - Country Group-A Subtotal 103,641,623.26 EUR 70,476,303.82 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I The S&P Minimum Page 2
11:23:17 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 62
Asset S&P Recovery
Security Security ID Type Security Level S&P Country Rating Principal Balance Rate Recovery Amount
Aster 1 SA - Term Loan B1 Italian Aster_B1it Loan Senior Secured Luxembourg B+ 150,270.88 EUR 56.0000% 84,151.69 EUR
Aster 1 SA - Term Loan B1 Spain Aster_B1sp Loan Senior Secured Luxembourg B+ 8,661.47 EUR 56.0000% 4,850.42 EUR
Aster 1 SA - Term Loan B1 UK Aster_B1uk Loan Senior Secured Luxembourg B+ 45,121.65 EUR 56.0000% 25,268.12 EUR
Aster 1 SA - Term Loan B2 Belgium Aster_B2B Loan Senior Secured Luxembourg B+ 531,355.90 EUR 56.0000% 297,559.30 EUR
Aster 1 SA - Term Loan B2 German Aster_B2G Loan Senior Secured Luxembourg B+ 101,116.51 EUR 56.0000% 56,625.25 EUR
Aster 1 SA - Term Loan B2 Netherlands Aster_B2N Loan Senior Secured Luxembourg B+ 86,897.22 EUR 56.0000% 48,662.44 EUR
Aster 1 SA - Term Loan B3 Aster_TLB3 Loan Senior Secured Luxembourg B+ 404,572.06 EUR 56.0000% 226,560.35 EUR
Aster 1 SA - Term Loan B4 Belgium Aster_B4B Loan Senior Secured Luxembourg B+ 13,397.65 EUR 56.0000% 7,502.68 EUR
Aster 1 SA - Term Loan B4 French Aster_B4F Loan Senior Secured Luxembourg B+ 430.08 EUR 56.0000% 240.84 EUR
Aster 1 SA - Term Loan B4 German Aster_B4G Loan Senior Secured Luxembourg B+ 10,533.88 EUR 56.0000% 5,898.97 EUR
Aster 1 SA - Term Loan B4 German Undrawn ASTER1_TLB4UD Loan Senior Secured Luxembourg B+ 12,288.04 EUR 56.0000% 6,881.30 EUR
Aster 1 SA - Term Loan B4 Netherlands Aster_B4N Loan Senior Secured Luxembourg B+ 2,280.57 EUR 56.0000% 1,277.12 EUR
Aster 1 SA - Term Loan B4 Spain Aster_B4S Loan Senior Secured Luxembourg B+ 238.97 EUR 56.0000% 133.82 EUR
Aster 1 SA - Term Loan B4 UK Aster_B4U Loan Senior Secured Luxembourg B+ 1,244.94 EUR 56.0000% 697.17 EUR
Aster 1 SA - Term Loan C1 French Aster_C1F Loan Senior Secured Luxembourg B+ 15,587.72 EUR 56.0000% 8,729.12 EUR
Aster 1 SA - Term Loan C1 German Aster_C1G Loan Senior Secured Luxembourg B+ 264,441.70 EUR 56.0000% 148,087.35 EUR
Aster 1 SA - Term Loan C1 Italian Aster_C1I Loan Senior Secured Luxembourg B+ 156,500.75 EUR 56.0000% 87,640.42 EUR
Aster 1 SA - Term Loan C1 Spain Aster_C1S Loan Senior Secured Luxembourg B+ 8,661.47 EUR 56.0000% 4,850.42 EUR
Aster 1 SA - Term Loan C1 UK Aster_C1uk Loan Senior Secured Luxembourg B+ 45,121.65 EUR 56.0000% 25,268.12 EUR
Aster 1 SA - Term Loan C2 Belgium Aster_C2B Loan Senior Secured Luxembourg B+ 531,355.90 EUR 56.0000% 297,559.30 EUR
Aster 1 SA - Term Loan C2 German Aster_C2G Loan Senior Secured Luxembourg B+ 101,116.51 EUR 56.0000% 56,625.25 EUR
Aster 1 SA - Term Loan C2 Netherlands Aster_C2N Loan Senior Secured Luxembourg B+ 86,897.22 EUR 56.0000% 48,662.44 EUR
Aster 1 SA - Term Loan C3 Aster_TLC3 Loan Senior Secured Luxembourg B+ 404,572.06 EUR 56.0000% 226,560.35 EUR
Aster 1 SA - Term Loan C4 Belgium Aster_C4B Loan Senior Secured Luxembourg B+ 13,397.65 EUR 56.0000% 7,502.68 EUR
Aster 1 SA - Term Loan C4 French Aster_C4F Loan Senior Secured Luxembourg B+ 430.08 EUR 56.0000% 240.84 EUR
Aster 1 SA - Term Loan C4 German Aster_C4G Loan Senior Secured Luxembourg B+ 10,533.88 EUR 56.0000% 5,898.97 EUR
Aster 1 SA - Term Loan C4 German Undrawn ASTER_TLC4GUD Loan Senior Secured Luxembourg B+ 12,288.04 EUR 56.0000% 6,881.30 EUR
Aster 1 SA - Term Loan C4 Netherlands Aster_C4N Loan Senior Secured Luxembourg B+ 2,280.57 EUR 56.0000% 1,277.12 EUR
Aster 1 SA - Term Loan C4 Spain Aster_C4S Loan Senior Secured Luxembourg B+ 238.97 EUR 56.0000% 133.82 EUR
Aster 1 SA - Term Loan C4 UK Aster_C4U Loan Senior Secured Luxembourg B+ 1,244.94 EUR 56.0000% 697.17 EUR
Brenn - Acquisition Facility 2 Brentag_acqfac Loan Senior Secured Germany B 4,587,634.71 EUR 56.0000% 2,569,075.44 EUR
Brenn - Facility B3 EUR Brenntag_B3EUR Loan Senior Secured Germany B 1,000,000.00 EUR 56.0000% 560,000.00 EUR
Brenn - Facility C1 Brentagg_fac.C1 Loan Senior Secured Germany B 1,563,127.46 EUR 56.0000% 875,351.38 EUR
Brenn - Facility C2 Brenntag_fac.C2 Loan Senior Secured Germany B 436,872.54 EUR 56.0000% 244,648.62 EUR
BRENNTAGFINANCECOIISARL - Acquisition Facility 2 BRENNTAGF_AF2 Loan Senior Secured Germany B 280,771.41 EUR 56.0000% 157,231.99 EUR
BRENNTAGHOLDINGSNVNETH - Acquisition Facility 2 BRENTGH_ACQF2 Loan Senior Secured Germany B 1,131,593.88 EUR 56.0000% 633,692.57 EUR
CBRFASHIONGMBH - Term Loan B CBRFASHN_TLB Loan Senior Secured Germany B 1,875,000.00 EUR 56.0000% 1,050,000.00 EUR
CBRFASHIONGMBH - Term Loan C LX068781 Loan Senior Secured Germany B 1,725,000.00 EUR 56.0000% 966,000.00 EUR
Chaterhouse - Term Loan B1 - Acquico Charterhouse_TLB1_Acq Loan Senior Secured Germany B 1,251,391.54 EUR 56.0000% 700,779.26 EUR
Chaterhouse - Term Loan B2 Charterhouse_TLB2 Loan Senior Secured Germany B 248,608.46 EUR 56.0000% 139,220.74 EUR
Cortefiel - Facility B1 CORTEFIEL_B1 Loan Senior Secured Spain B 2,859,901.10 EUR 56.0000% 1,601,544.62 EUR
Cortefiel - Facility B2 CORTEFIEL_B2 Loan Senior Secured Spain B 3,119,892.12 EUR 56.0000% 1,747,139.59 EUR
Cortefiel - Facility B3 CORTEFIEL_B3 Loan Senior Secured Spain B 5,000,000.00 EUR 56.0000% 2,800,000.00 EUR
Demeter - Facility B DEMETERIB_FB Loan Senior Secured Spain B+ 1,500,000.00 EUR 56.0000% 840,000.00 EUR
Demeter - Facility C DEMETERIB_FC Loan Senior Secured Spain B+ 1,500,000.00 EUR 56.0000% 840,000.00 EUR
DSBG - Term B dsbg_tb Loan Senior Secured Spain B+ 1,375,000.00 EUR 56.0000% 770,000.00 EUR
DSBG - Term C dsbg_tc Loan Senior Secured Spain B+ 1,375,000.00 EUR 56.0000% 770,000.00 EUR
Elster - Term B1 ELSTERGRP_B1 Loan Senior Secured Germany B+ 1,802,099.05 EUR 56.0000% 1,009,175.47 EUR
Elster - Term C1 ELSTERGRP_C1 Loan Senior Secured Germany B+ 1,802,099.05 EUR 56.0000% 1,009,175.47 EUR
Elster - Term Loan B - Eur/Swap Elster_TLB_EurSwap_HSAM2008 Loan Senior Secured Germany B+ 457,418.82 EUR 56.0000% 256,154.54 EUR
Elster - Term Loan C - Eur/Swap Elster_TLC_EurSwap_HSAM2008 Loan Senior Secured Germany B+ 457,418.82 EUR 56.0000% 256,154.54 EUR
Escaline S.a.r.l - Term B Escaline_TermB Loan Senior Secured Germany B- 1,503,773.95 EUR 56.0000% 842,113.41 EUR
Escaline S.a.r.l - Term C Escaline_TermC Loan Senior Secured Germany B- 1,503,773.95 EUR 56.0000% 842,113.41 EUR
Fresenius SE - Additional Tranche B1 Euro Term Loan FreseniusSE_AddB1Euro Loan Senior Secured Germany BB 1,000,000.00 EUR 56.0000% 560,000.00 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I The S&P Minimum Page 3
11:23:17 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 63
Asset S&P Recovery
Security Security ID Type Security Level S&P Country Rating Principal Balance Rate Recovery Amount
Lavena - Term B Holdco Lavena_HoldcoB Loan Senior Secured Germany CCC+ 2,638,722.29 EUR 56.0000% 1,477,684.48 EUR
Lavena - Term C Holdco Lavena_HoldcoC Loan Senior Secured Germany CCC+ 2,638,722.28 EUR 56.0000% 1,477,684.48 EUR
Neggio Holdings 3 GmbH - Facility B2 Negg_FacB2 Loan Senior Secured Germany BB 1,250,000.00 EUR 56.0000% 700,000.00 EUR
Neggio Holdings 3 GmbH - Facility C2 Negg_FacC2 Loan Senior Secured Germany BB 1,250,000.00 EUR 56.0000% 700,000.00 EUR
Neggio Holdings 3 GmbH - Term Loan B Neggio_TLB Loan Senior Secured Germany BB 3,600,000.00 EUR 56.0000% 2,016,000.00 EUR
Neggio Holdings 3 GmbH - Term Loan C Neggio_TLC Loan Senior Secured Germany BB 3,600,000.00 EUR 56.0000% 2,016,000.00 EUR
Nordic Telephone Company Holding ApS. - Term B2 Nordic_B2 Loan Senior Secured Denmark BB- 4,467,835.34 EUR 56.0000% 2,501,987.79 EUR
Nordic Telephone Company Holding ApS. - Term C2 Nordic_C2 Loan Senior Secured Denmark BB- 4,786,546.13 EUR 56.0000% 2,680,465.83 EUR
PFCAPITALSARL - Term Loan B1a PFCAPITL_TB1A Loan Senior Secured Germany B 826,993.35 EUR 56.0000% 463,116.27 EUR
PFCAPITALSARL - Term Loan B1c PFCAPTL_B1C Loan Senior Secured Germany B 257,163.88 EUR 56.0000% 144,011.77 EUR
PFCAPITALSARL - Term Loan B1e PFCAPTL_TB1E Loan Senior Secured Germany B 495,075.39 EUR 56.0000% 277,242.22 EUR
PFCAPITALSARL - Term Loan B1f PFCAPTL_TLB1F Loan Senior Secured Germany B 397,401.72 EUR 56.0000% 222,544.96 EUR
PFCAPITALSARL - Term Loan C1 PFCAPITL_TLC1 Loan Senior Secured Germany B 373,688.57 EUR 56.0000% 209,265.60 EUR
PFCAPITALSARL - Term Loan C2 PFCAPTL_TC2 Loan Senior Secured Germany B 138,830.41 EUR 56.0000% 77,745.03 EUR
PFCAPITALSARL - Term Loan C3 PFCAPITL_TLC3 Loan Senior Secured Germany B 288,292.88 EUR 56.0000% 161,444.02 EUR
PFCAPITALSARL - Term Loan C4 PFCAPITL_TLC4 Loan Senior Secured Germany B 1,174,226.77 EUR 56.0000% 657,566.99 EUR
PPE - Term B ppe_tb Loan Senior Secured Spain CCC+ 4,018,608.43 EUR 56.0000% 2,250,420.72 EUR
PPE - Term C ppe_tc Loan Senior Secured Spain CCC+ 1,569,017.30 EUR 56.0000% 878,649.69 EUR
Qidnax - Term Loan B2 LX070674 Loan Senior Secured Sweden BB- 1,676,663.38 EUR 56.0000% 938,931.49 EUR
Qidnax - Term Loan C2 Qidnax_TLC2 Loan Senior Secured Sweden BB- 1,676,663.38 EUR 56.0000% 938,931.49 EUR
Rotac Holding AB - Term Loan B1 Rotac_TLB1 Loan Senior Secured Sweden B- 3,750,000.00 EUR 56.0000% 2,100,000.00 EUR
Rotac Holding AB - Term Loan C1 Rotac_TLC1 Loan Senior Secured Sweden B- 3,456,521.74 EUR 56.0000% 1,935,652.17 EUR
Spiinnaker - Tranche E1 Spinnaker_TE1 Loan Senior Secured Spain CCC- 423,544.57 EUR 56.0000% 237,184.96 EUR
Spiinnaker - Tranche E2 Spinnaker_TE2 Loan Senior Secured Spain CCC- 423,544.57 EUR 56.0000% 237,184.96 EUR
Spiinnaker - Tranche F1 Spinnaker_TrF1 Loan Senior Secured Spain CCC- 3,989,591.20 EUR 56.0000% 2,234,171.07 EUR
Spiinnaker - Tranche F2 Spinnaker_TrF2 Loan Senior Secured Spain CCC- 3,989,591.20 EUR 56.0000% 2,234,171.07 EUR
Springer Science - Term Loan B1 Springer_TB1 Loan Senior Secured Germany B 937,634.35 EUR 56.0000% 525,075.24 EUR
Springer Science - Term Loan C1 Springer_C1 Loan Senior Secured Germany B 808,316.40 EUR 56.0000% 452,657.18 EUR
Springer Science - Term Loan E1 Springer_E1 Loan Senior Secured Germany B 1,163,963.79 EUR 56.0000% 651,819.72 EUR
Telenet Bidco NV - Term Loan C Telenet-TLC- Loan Senior Secured Belgium B 2,000,000.00 EUR 56.0000% 1,120,000.00 EUR
WAM - Additional Term B1 WAMACQ_AB1 Loan Senior Secured Spain BB- 1,000,000.00 EUR 56.0000% 560,000.00 EUR
WAM - Additional Term C1 WAMACQ-AC1 Loan Senior Secured Spain BB- 1,000,000.00 EUR 56.0000% 560,000.00 EUR
WAM - Term Loan B1 WAM_B1 Loan Senior Secured Spain BB- 1,500,000.00 EUR 56.0000% 840,000.00 EUR
WAM - Term Loan B3 WAMACQ_TLB3 Loan Senior Secured Spain BB- 1,474,324.32 EUR 56.0000% 825,621.62 EUR
WAM - Term Loan B4 WAMACQ_TLB4 Loan Senior Secured Spain BB- 1,861,737.42 EUR 56.0000% 1,042,572.96 EUR
WAM - Term Loan C1 WAM_C1 Loan Senior Secured Spain BB- 1,500,000.00 EUR 56.0000% 840,000.00 EUR
WAM - Term Loan C3 WAMACQ_TLC3 Loan Senior Secured Spain BB- 1,474,324.32 EUR 56.0000% 825,621.62 EUR
WAM - Term Loan C4 WAMACQ_TLC4 Loan Senior Secured Spain BB- 1,861,737.32 EUR 56.0000% 1,042,572.90 EUR
Senior Secured Loans - Country Group-B Subtotal 114,311,603.15 EUR 64,014,497.76 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I The S&P Minimum Page 4
11:23:17 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 64
Asset S&P Recovery
Security Security ID Type Security Level S&P Country Rating Principal Balance Rate Recovery Amount
Fives - Term B Fives_TLB Loan Senior Secured France B+ 2,659,849.65 EUR 48.0000% 1,276,727.83 EUR
Fives - Term C Fives_TLC Loan Senior Secured France B+ 2,659,849.65 EUR 48.0000% 1,276,727.83 EUR
GGP C - B Term Loan GGP_B TL Loan Senior Secured Italy B 3,477,272.73 EUR 48.0000% 1,669,090.91 EUR
GGP C - C Term Loan GGP_C TL Loan Senior Secured Italy B 3,477,272.73 EUR 48.0000% 1,669,090.91 EUR
Holding - Additional HBI Facility B HOLDING-ADLFB Loan Senior Secured France B+ 4,546,969.70 EUR 48.0000% 2,182,545.46 EUR
Holding - Additional HBI Facility C HOLDING_ADLFC Loan Senior Secured France B+ 4,153,030.30 EUR 48.0000% 1,993,454.54 EUR
Holding - Term B1 HldgBercy_TLB1 Loan Senior Secured France B+ 1,500,000.00 EUR 48.0000% 720,000.00 EUR
Holding - Term C1 HldgBercy_TLC1 Loan Senior Secured France B+ 1,500,000.00 EUR 48.0000% 720,000.00 EUR
Materis - Term B Materis Loan Senior Secured France B 1,491,359.81 EUR 48.0000% 715,852.71 EUR
Materis - Term C Mat_TLC Loan Senior Secured France B 1,491,359.81 EUR 48.0000% 715,852.71 EUR
Nocibe - Additional Term B1 Groupe Nocibe_AddTB1 Loan Senior Secured France B 3,598,432.52 EUR 48.0000% 1,727,247.61 EUR
Nocibe - Additional Term B2 Groupe Nocibe_AddTB2 Loan Senior Secured France B 569,563.63 EUR 48.0000% 273,390.54 EUR
Nocibe - Additional Term C1 Groupe Nocibe_AddTC1 Loan Senior Secured France B 3,598,432.52 EUR 48.0000% 1,727,247.61 EUR
Nocibe - Additional Term C2 Groupe Nocibe_AddTC2 Loan Senior Secured France B 569,563.63 EUR 48.0000% 273,390.54 EUR
Orangina - Facility B1 BlackL_TLB1 Loan Senior Secured France B 150,000.00 EUR 48.0000% 72,000.00 EUR
Orangina - Facility B5a BlackL_TLB5a Loan Senior Secured France B 9,296,875.00 EUR 48.0000% 4,462,500.00 EUR
Orangina - Facility B5b BlackL_TLB5b Loan Senior Secured France B 703,125.00 EUR 48.0000% 337,500.00 EUR
Orangina - Facility C1 BlackL_TLC1 Loan Senior Secured France B 974,809.37 EUR 48.0000% 467,908.50 EUR
Orangina - Facility C2 BlackL_TLC2 Loan Senior Secured France B 555,131.22 EUR 48.0000% 266,462.99 EUR
Pages Jaunes Group S.A - Term A PagesJaunes_TermA Loan Senior Secured France B 3,000,000.00 EUR 48.0000% 1,440,000.00 EUR
Rank Holdings I SA - Term Loan BI RankHold_TLBI Loan Senior Secured Switzerland B+ 1,179,422.50 EUR 48.0000% 566,122.80 EUR
Rank Holdings I SA - Term Loan BII RankHold_TLBII Loan Senior Secured Switzerland B+ 57,745.53 EUR 48.0000% 27,717.85 EUR
Rank Holdings I SA - Term Loan CI RankHold_TLCI Loan Senior Secured Switzerland B+ 1,237,168.03 EUR 48.0000% 593,840.65 EUR
TYROLACQUISITION2SAS - Term B TYROLACQ2_TB Loan Senior Secured France BB- 5,000,000.00 EUR 48.0000% 2,400,000.00 EUR
TYROLACQUISITION2SAS - Term C TYROLACQ2_TC Loan Senior Secured France BB- 5,000,000.00 EUR 48.0000% 2,400,000.00 EUR
Vivarte - Term Loan B1 Vivarte_B Loan Senior Secured France B 3,750,000.00 EUR 48.0000% 1,800,000.00 EUR
Vivarte - Term Loan C1 Vivarte_C Loan Senior Secured France B 3,750,000.00 EUR 48.0000% 1,800,000.00 EUR
Xstrata - Tranche B1 Fin Spie_TLB Loan Senior Secured France B 2,058,626.27 EUR 48.0000% 988,140.61 EUR
Xstrata - Tranche B3 Fin Spie_TLB3 Loan Senior Secured France B 2,058,626.27 EUR 48.0000% 988,140.61 EUR
YPSO Hold - B Acq 1 YPSO_B ACQ 1 Loan Senior Secured France B 864,300.36 EUR 48.0000% 414,864.17 EUR
YPSO Hold - B Acq 2 YPSO_B Acq 2 Loan Senior Secured France B 1,309,353.60 EUR 48.0000% 628,489.73 EUR
YPSO Hold - B Recap 1 YPSOHolding_TBRecap1 Loan Senior Secured France B 2,728,582.46 EUR 48.0000% 1,309,719.58 EUR
YPSO Hold - B Recap 2 YPSOHolding_TBRecap2 Loan Senior Secured France B 97,763.58 EUR 48.0000% 46,926.52 EUR
YPSO Hold - C Acq Ypso_CAcq Loan Senior Secured France B 1,390,000.00 EUR 48.0000% 667,200.00 EUR
YPSO Hold - C Recap Ypso_CRecap Loan Senior Secured France B 2,610,000.00 EUR 48.0000% 1,252,800.00 EUR
Senior Secured Loans - Country Group-C Subtotal 102,640,970.66 EUR 49,267,665.92 EUR
Senior Secured Loans - Country Group-D Subtotal 14,005,143.45 EUR 7,842,880.33 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I The S&P Minimum Page 5
11:23:17 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 65
Moodys Minimum Diversity Test
Report Summary
Industry
Principal Equivalent Diversity
SIC Description Issuer Balance % of Avg Unit Score Score
Aerospace and Defense
ADI Finance 2 Limited 7,839,647.44 EUR 1.2756 1
BCV Investments S.C.A 8,978,825.82 EUR 1.4610 1
Automobile
Financiere Truck 3,897,584.78 EUR 0.6342 0.6342
(Investissement) SAS
Beverage, Food and Tobacco - Europe Subtotal 35,472,025.58 EUR 3.9475 2.3000
Buildings and Real Estate - Europe Subtotal 7,232,719.63 EUR 1.1769 1.1000
Cargo Transport
Ceva Logistics Canada ULC 3,992,532.55 EUR 0.6497 0.6497
Containers, Packaging and Glass - Europe Subtotal 9,474,336.06 EUR 1.4026 1.2000
Diversified/Conglomerate
Manufacturing
Aster 1 SA 5,215,943.59 EUR 0.8487 0.8487
Diversified/Conglomerate Service
Sungard Data Systems Inc 2,152,206.00 EUR 0.3502 0.3502
Diversified/Conglomerate Service -
Europe
Charterhouse Inuit (Acquico) 7,000,000.00 EUR 1.1390 1
GMBH
Ecological - Europe
AVR Acquisitions B.V. 9,760,594.01 EUR 1.5882 1
Grocery - Europe
Demeter Iberia 3,000,000.00 EUR 0.4882 0.4882
Healthcare, Education and Childcare - Europe Subtotal 19,593,903.27 EUR 3.0156 2.0000
Healthcare, Education and Childcare - North America Subtotal 8,883,610.43 EUR 1 1.0000
Leisure, Amusement, Motion Pictures, Entertainment - Europe Subtotal 33,455,160.84 EUR 4.9181 2.6333
Machinery (Non-Agriculture,
Non-Construction and
Non-Electronic)
Financiere Spie SAS 4,117,252.54 EUR 0.6699 0.6699
Fives Lille 5,319,699.30 EUR 0.8656 0.8656
Neggio Holdings 3 GmbH 9,700,000.00 EUR 1.5784 1
Pamplona PE Holdco 5 SA 5,587,625.73 EUR 0.9092 0.9092
Machinery (Non-Agriculture, Non-Construction and Non-Electronic) Subtotal 24,724,577.57 EUR 3.4447 2.1333
Mining, Steel, Iron and Non-Precious Metals Subtotal 8,826,271.54 EUR 1 1.0000
Printing, Publishing, and Broadcasting - Europe Subtotal 24,108,842.06 EUR 3.4735 2.1667
Telecommunications
TDC A/S 9,254,381.47 EUR 1.5058 1
Pre
Notched
Moody's Moody's Rating
Security Security ID Rating Principal Balance Rating Factor Weight
ADI Finance 2 Ltd - Subordinated Term Loan - Eur/Swap ADIFinance_SubTL_EurSwp_HSAM2008-1 7,839,647.44 EUR B2 2,460.00 19,285,532,702.40 EUR
Amsterdamse Beheer - Kabel - Term Loan B Amsterdamse_TLB (Kabelcom) 4,086,753.73 EUR Ba3 1,980.00 8,091,772,385.40 EUR
Amsterdamse Beheer - Kabel - Term Loan C Amsterdamse_TLC (Kabelcom) Ba3 4,086,753.73 EUR Ba3 1,980.00 8,091,772,385.40 EUR
Amsterdamse Beheer - Term B1 Amsterdam_B1 Ba3 506,747.66 EUR Ba3 1,980.00 1,003,360,366.80 EUR
Amsterdamse Beheer - Term B2 Amsterdam_B2 256,498.61 EUR Ba3 1,980.00 507,867,247.80 EUR
Amsterdamse Beheer - Term C Amsterdam_TermC 763,246.27 EUR Ba3 1,980.00 1,511,227,614.60 EUR
Aster 1 SA - Term Loan A1 Germany Aster_A1g Ba3 1,005,778.26 EUR Ba3 2,220.00 2,232,827,737.20 EUR
Aster 1 SA - Term Loan A2 Brussels Aster_A2b Ba3 622,243.33 EUR Ba3 2,220.00 1,381,380,192.60 EUR
Aster 1 SA - Term Loan A3 Aster_A3 Ba3 232,257.29 EUR Ba3 2,220.00 515,611,183.80 EUR
Aster 1 SA - Term Loan A4 Brussels Aster_A4b Ba3 1,076.81 EUR Ba3 2,220.00 2,390,518.20 EUR
Aster 1 SA - Term Loan A4 Germany Aster_A4g Ba3 51,479.56 EUR Ba3 2,220.00 114,284,623.20 EUR
Aster 1 SA - Term Loan B1 French Aster_B1F Ba3 15,587.72 EUR Ba3 2,220.00 34,604,738.40 EUR
Aster 1 SA - Term Loan B1 German Aster_B1G Ba3 264,441.70 EUR Ba3 2,220.00 587,060,574.00 EUR
Aster 1 SA - Term Loan B1 Italian Aster_B1it Ba3 150,270.88 EUR Ba3 2,220.00 333,601,353.60 EUR
Aster 1 SA - Term Loan B1 Spain Aster_B1sp Ba3 8,661.47 EUR Ba3 2,220.00 19,228,463.40 EUR
Aster 1 SA - Term Loan B1 UK Aster_B1uk Ba3 45,121.65 EUR Ba3 2,220.00 100,170,063.00 EUR
Aster 1 SA - Term Loan B2 Belgium Aster_B2B Ba3 531,355.90 EUR Ba3 2,220.00 1,179,610,098.00 EUR
Aster 1 SA - Term Loan B2 German Aster_B2G Ba3 101,116.51 EUR Ba3 2,220.00 224,478,652.20 EUR
Aster 1 SA - Term Loan B2 Netherlands Aster_B2N Ba3 86,897.22 EUR Ba3 2,220.00 192,911,828.40 EUR
Aster 1 SA - Term Loan B3 Aster_TLB3 Ba3 404,572.06 EUR Ba3 2,220.00 898,149,973.20 EUR
Aster 1 SA - Term Loan B4 Belgium Aster_B4B Ba3 13,397.65 EUR Ba3 2,220.00 29,742,783.00 EUR
Aster 1 SA - Term Loan B4 French Aster_B4F Ba3 430.08 EUR Ba3 2,220.00 954,777.60 EUR
Aster 1 SA - Term Loan B4 German Aster_B4G Ba3 10,533.88 EUR Ba3 2,220.00 23,385,213.60 EUR
Aster 1 SA - Term Loan B4 German Undrawn ASTER1_TLB4UD Ba3 12,288.04 EUR Ba3 2,220.00 27,279,448.80 EUR
Aster 1 SA - Term Loan B4 Netherlands Aster_B4N Ba3 2,280.57 EUR Ba3 2,220.00 5,062,865.40 EUR
Aster 1 SA - Term Loan B4 Spain Aster_B4S Ba3 238.97 EUR Ba3 2,220.00 530,513.40 EUR
Aster 1 SA - Term Loan B4 UK Aster_B4U Ba3 1,244.94 EUR Ba3 2,220.00 2,763,766.80 EUR
Aster 1 SA - Term Loan C1 French Aster_C1F Ba3 15,587.72 EUR Ba3 2,220.00 34,604,738.40 EUR
Aster 1 SA - Term Loan C1 German Aster_C1G Ba3 264,441.70 EUR Ba3 2,220.00 587,060,574.00 EUR
Aster 1 SA - Term Loan C1 Italian Aster_C1I Ba3 156,500.75 EUR Ba3 2,220.00 347,431,665.00 EUR
Aster 1 SA - Term Loan C1 Spain Aster_C1S Ba3 8,661.47 EUR Ba3 2,220.00 19,228,463.40 EUR
Aster 1 SA - Term Loan C1 UK Aster_C1uk Ba3 45,121.65 EUR Ba3 2,220.00 100,170,063.00 EUR
Aster 1 SA - Term Loan C2 Belgium Aster_C2B Ba3 531,355.90 EUR Ba3 2,220.00 1,179,610,098.00 EUR
Aster 1 SA - Term Loan C2 German Aster_C2G Ba3 101,116.51 EUR Ba3 2,220.00 224,478,652.20 EUR
Aster 1 SA - Term Loan C2 Netherlands Aster_C2N Ba3 86,897.22 EUR Ba3 2,220.00 192,911,828.40 EUR
Aster 1 SA - Term Loan C3 Aster_TLC3 Ba3 404,572.06 EUR Ba3 2,220.00 898,149,973.20 EUR
Aster 1 SA - Term Loan C4 Belgium Aster_C4B Ba3 13,397.65 EUR Ba3 2,220.00 29,742,783.00 EUR
Aster 1 SA - Term Loan C4 French Aster_C4F Ba3 430.08 EUR Ba3 2,220.00 954,777.60 EUR
Aster 1 SA - Term Loan C4 German Aster_C4G Ba3 10,533.88 EUR Ba3 2,220.00 23,385,213.60 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I The Maximum Portfolio Page 1
11:23:52 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 88
Pre
Notched
Moody's Moody's Rating
Security Security ID Rating Principal Balance Rating Factor Weight
Aster 1 SA - Term Loan C4 German Undrawn ASTER_TLC4GUD Ba3 12,288.04 EUR Ba3 2,220.00 27,279,448.80 EUR
Aster 1 SA - Term Loan C4 Netherlands Aster_C4N Ba3 2,280.57 EUR Ba3 2,220.00 5,062,865.40 EUR
Aster 1 SA - Term Loan C4 Spain Aster_C4S Ba3 238.97 EUR Ba3 2,220.00 530,513.40 EUR
Aster 1 SA - Term Loan C4 UK Aster_C4U Ba3 1,244.94 EUR Ba3 2,220.00 2,763,766.80 EUR
Autobar - Tranche B Charden_TLB B2 2,911,542.49 EUR B2 2,460.00 7,162,394,525.40 EUR
Autobar - Tranche C Charden_TLC B2 2,911,542.49 EUR B2 2,460.00 7,162,394,525.40 EUR
AVR Acquisitions - Term B3A avr_b3a Ba3 4,710,694.49 EUR Ba3 2,460.00 11,588,308,445.40 EUR
AVR Acquisitions - Term B3B avr_b3b Ba3 143,866.91 EUR Ba3 2,460.00 353,912,598.60 EUR
AVR Acquisitions - Term B3C avr_b3c Ba3 389,244.49 EUR Ba3 2,460.00 957,541,445.40 EUR
AVR Acquisitions - Term B3D AVR_TL_B3D Ba3 457,566.97 EUR Ba3 2,460.00 1,125,614,746.20 EUR
AVR Acquisitions - Term Loan B AVR_TLB Ba3 878,924.15 EUR Ba3 2,460.00 2,162,153,409.00 EUR
AVR Acquisitions - Term Loan C AVR_TLC Ba3 3,180,297.00 EUR Ba3 2,460.00 7,823,530,620.00 EUR
BCM Ireland Finance - Facility B BCM_B B1 2,462,068.60 EUR B1 2,220.00 5,465,792,292.00 EUR
BCM Ireland Finance - Facility C BCM_C B1 2,462,343.10 EUR B1 2,220.00 5,466,401,682.00 EUR
BCV Investments S.C.A - Second Lien BCV Investments_2ndLien B2 4,500,000.00 EUR B2 2,720.00 12,240,000,000.00 EUR
BCV Investments S.C.A - Term B Euro BCV Investments_TB Euro B2 2,239,412.91 EUR B2 2,720.00 6,091,203,115.20 EUR
BCV Investments S.C.A - Term C Euro BCV Investments_TC Euro B2 2,239,412.91 EUR B2 2,720.00 6,091,203,115.20 EUR
Brenn - Acquisition Facility 2 Brentag_acqfac B2 4,587,634.71 EUR B2 2,720.00 12,478,366,411.20 EUR
Brenn - Facility B3 EUR Brenntag_B3EUR B2 1,000,000.00 EUR B2 2,720.00 2,720,000,000.00 EUR
Brenn - Facility C1 Brentagg_fac.C1 B2 1,563,127.46 EUR B2 2,720.00 4,251,706,691.20 EUR
Brenn - Facility C2 Brenntag_fac.C2 B2 436,872.54 EUR B2 2,720.00 1,188,293,308.80 EUR
BRENNTAGFINANCECOIISARL - Acquisition Facility 2 BRENNTAGF_AF2 B2 280,771.41 EUR B2 2,720.00 763,698,235.20 EUR
BRENNTAGHOLDINGSNVNETH - Acquisition Facility 2 BRENTGH_ACQF2 B2 1,131,593.88 EUR B2 2,720.00 3,077,935,353.60 EUR
Capio - Second Lien Tr2 OPICAAB_SLT2 B3 1,000,000.00 EUR B2 2,460.00 2,460,000,000.00 EUR
Capio - Term Loan B1 opica_tlb1 B3 196,399.24 EUR B2 2,460.00 483,142,130.40 EUR
Capio - Term Loan B2 opica_tlb2 B3 315,361.24 EUR B2 2,460.00 775,788,650.40 EUR
Capio - Term Loan B4 opica_tlb4 B3 236,101.11 EUR B2 2,460.00 580,808,730.60 EUR
Capio - Term Loan C1 opica_tlc1 B3 196,399.25 EUR B2 2,460.00 483,142,155.00 EUR
Capio - Term Loan C2 opica_tlc2 B3 315,361.24 EUR B2 2,460.00 775,788,650.40 EUR
Capio - Term Loan C4 opica_tlc4 B3 176,086.49 EUR B2 2,460.00 433,172,765.40 EUR
CBRFASHIONGMBH - Term Loan B CBRFASHN_TLB B1 1,875,000.00 EUR B3 3,080.00 5,775,000,000.00 EUR
CBRFASHIONGMBH - Term Loan C LX068781 B1 1,725,000.00 EUR B3 3,080.00 5,313,000,000.00 EUR
CEVAGROUPPLC - Canadian Term Loan Louis_Candiantl B2 1,217,254.04 EUR B2 2,720.00 3,310,930,988.80 EUR
CEVAGROUPPLC - Dutch Term Loan Louis_Dutchtl B2 1,098,247.30 EUR B2 2,720.00 2,987,232,656.00 EUR
CEVAGROUPPLC - EURO pre-funded LC facility Lous_LC B2 1,065,290.91 EUR B2 2,720.00 2,897,591,275.20 EUR
Chaterhouse - Second Lien ChartHouse_2L B3 5,500,000.00 EUR B3 3,080.00 16,940,000,000.00 EUR
Chaterhouse - Term Loan B1 - Acquico Charterhouse_TLB1_Acq B3 1,251,391.54 EUR B3 3,080.00 3,854,285,943.20 EUR
Chaterhouse - Term Loan B2 Charterhouse_TLB2 B3 248,608.46 EUR B3 3,080.00 765,714,056.80 EUR
COGNIS - Term A COGNIS&MACANY_TLA B2 982,367.86 EUR B2 2,720.00 2,672,040,579.20 EUR
COGNIS - Term B COGNIS&MACANY_TLB B2 3,017,632.14 EUR B2 2,720.00 8,207,959,420.80 EUR
Cortefiel - Facility B1 CORTEFIEL_B1 2,859,901.10 EUR B3 3,080.00 8,808,495,388.00 EUR
Cortefiel - Facility B2 CORTEFIEL_B2 3,119,892.12 EUR B3 3,080.00 9,609,267,729.60 EUR
Cortefiel - Facility B3 CORTEFIEL_B3 5,000,000.00 EUR B3 3,080.00 15,400,000,000.00 EUR
Demeter - Facility B DEMETERIB_FB B1 1,500,000.00 EUR B1 1,980.00 2,970,000,000.00 EUR
Demeter - Facility C DEMETERIB_FC B1 1,500,000.00 EUR B1 1,980.00 2,970,000,000.00 EUR
DSBG - Term B dsbg_tb Ba3 1,375,000.00 EUR Ba3 1,550.00 2,131,250,000.00 EUR
DSBG - Term C dsbg_tc Ba3 1,375,000.00 EUR Ba3 1,550.00 2,131,250,000.00 EUR
Elster - Term B1 ELSTERGRP_B1 B3 1,802,099.05 EUR B3 1,130.00 2,036,371,926.50 EUR
Elster - Term C1 ELSTERGRP_C1 B3 1,802,099.05 EUR B3 1,130.00 2,036,371,926.50 EUR
Elster - Term Loan B - Eur/Swap Elster_TLB_EurSwap_HSAM2008 B3 457,418.82 EUR B3 1,130.00 516,883,266.60 EUR
Elster - Term Loan C - Eur/Swap Elster_TLC_EurSwap_HSAM2008 B3 457,418.82 EUR B3 1,130.00 516,883,266.60 EUR
Escaline S.a.r.l - Term B Escaline_TermB B2 1,503,773.95 EUR B2 3,080.00 4,631,623,766.00 EUR
Escaline S.a.r.l - Term C Escaline_TermC B2 1,503,773.95 EUR B2 3,080.00 4,631,623,766.00 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I The Maximum Portfolio Page 2
11:23:52 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 89
Pre
Notched
Moody's Moody's Rating
Security Security ID Rating Principal Balance Rating Factor Weight
FCIINTLSAS - Term Loan B3b FCISA_TLB3B Ba3 3,987,697.43 EUR Ba3 1,766.00 7,042,273,661.38 EUR
Ferretti S.P.A - Mezzanine FerrettiSPA_Mezz B1 1,000,000.00 EUR B1 2,460.00 2,460,000,000.00 EUR
Ferretti S.P.A - Tranche B Ferretti_TrB B1 2,888,334.09 EUR B1 2,460.00 7,105,301,861.40 EUR
Ferretti S.P.A - Tranche C Ferretti_TrC B1 2,888,334.09 EUR B1 2,460.00 7,105,301,861.40 EUR
Financiere Daunou 9 S.AR.L - Term Loan D1 FinDaunou9_TLD1 B1 969,230.77 EUR B2 3,080.00 2,985,230,771.60 EUR
Financiere Daunou 9 S.AR.L - Term Loan D2 FinDaunou9_TLD2 B1 69,230.77 EUR B2 3,080.00 213,230,771.60 EUR
Financiere Daunou 9 S.AR.L - Term Loan D3 FinDaunou9_TLD3 B1 461,538.46 EUR B2 3,080.00 1,421,538,456.80 EUR
Financiere Truck - Term Loan - Euro FinanciereTruck_TLEUR Ba3 3,340,369.24 EUR Ba3 1,550.00 5,177,572,322.00 EUR
Financiere Truck - Term Loan B - Euro/Swap Fraikin_TLB_Swap Ba3 557,215.54 EUR Ba3 1,550.00 863,684,087.00 EUR
Fives - Term B Fives_TLB B2 2,659,849.65 EUR B2 2,460.00 6,543,230,139.00 EUR
Fives - Term C Fives_TLC B2 2,659,849.65 EUR B2 2,460.00 6,543,230,139.00 EUR
Fresenius SE - Additional Tranche B1 Euro Term Loan FreseniusSE_AddB1Euro Ba1 1,000,000.00 EUR Ba1 940.00 940,000,000.00 EUR
GGP C - B Term Loan GGP_B TL B1 3,477,272.73 EUR B1 1,980.00 6,885,000,005.40 EUR
GGP C - C Term Loan GGP_C TL B1 3,477,272.73 EUR B1 1,980.00 6,885,000,005.40 EUR
HCA Inc - Euro Term loan HCAInc_EuroTL B2 8,883,610.43 EUR B2 2,720.00 24,163,420,369.60 EUR
HEXIONSPECIALTYCHEMICALS - Tranche C-6 Term Loan Hexion_C-6 B2 2,969,327.02 EUR B2 2,720.00 8,076,569,494.40 EUR
Holding - Additional HBI Facility B HOLDING-ADLFB B2 4,546,969.70 EUR B2 2,460.00 11,185,545,462.00 EUR
Holding - Additional HBI Facility C HOLDING_ADLFC B2 4,153,030.30 EUR B2 2,460.00 10,216,454,538.00 EUR
Holding - Term B1 HldgBercy_TLB1 B2 1,500,000.00 EUR B2 2,460.00 3,690,000,000.00 EUR
Holding - Term C1 HldgBercy_TLC1 B2 1,500,000.00 EUR B2 2,460.00 3,690,000,000.00 EUR
Ineos Group - Term Loan B1 Ineos_TB1 B3 1,613,634.99 EUR B3 3,490.00 5,631,586,115.10 EUR
Ineos Group - Term Loan B3 Ineos_TLB3 B3 823,713.92 EUR B3 3,490.00 2,874,761,580.80 EUR
Ineos Group - Term Loan C1 Ineos_TC1 B3 1,613,842.89 EUR B3 3,490.00 5,632,311,686.10 EUR
Ineos Group - Term Loan C3 Ineos_TLC3 B3 823,713.92 EUR B3 3,490.00 2,874,761,580.80 EUR
ISSHOLDA/S - Term Loan D ISS_TL D B2 4,000,000.00 EUR B2 2,720.00 10,880,000,000.00 EUR
Lavena - Mezzanine Lavena_Mezz B2 1,666,045.69 EUR Caa1 4,080.00 6,797,466,415.20 EUR
Lavena - Second Lien Lavena_TD B2 1,800,528.97 EUR Caa1 4,080.00 7,346,158,197.60 EUR
Lavena - Term B Holdco Lavena_HoldcoB B2 2,638,722.29 EUR Caa1 4,080.00 10,765,986,943.20 EUR
Lavena - Term C Holdco Lavena_HoldcoC B2 2,638,722.28 EUR Caa1 4,080.00 10,765,986,902.40 EUR
LOUISAUSTRALIAHOLDCOPTYLIMITED - Australian Term Loan Louis Oz Holdco TL B2 611,740.30 EUR B2 2,720.00 1,663,933,616.00 EUR
Macq UK Broadcast Ent Ltd - Junior Term Loan - Eur/Swap MacqEnterpise_JuniorTLSwap_HSAM2008 B2 3,631,289.88 EUR B2 2,460.00 8,932,973,104.80 EUR
MacQuarie - Facility A2 - Eur/Swap MAcQBroadcast_A2Swap_HSAM2008 B2 4,885,089.00 EUR B2 2,460.00 12,017,318,940.00 EUR
Materis - Term B Materis B2 1,491,359.81 EUR B2 2,460.00 3,668,745,132.60 EUR
Materis - Term C Mat_TLC B2 1,491,359.81 EUR B2 2,460.00 3,668,745,132.60 EUR
Mobilserv Ltd - Term B - Euro/Swap Mobilserv Ltd_TLB_SWAP B1 1,335,671.55 EUR B1 1,980.00 2,644,629,669.00 EUR
Mobilserv Ltd - Term C - Euro/Swap Mobilserv Ltd_TLC_SWAP B1 781,391.39 EUR B1 1,980.00 1,547,154,952.20 EUR
MONTJEUBIDCOLTD - Facility B - Eur/Swap MontBidco_FacB_eurSwap_HSAM08 B2 2,821,050.00 EUR B2 2,460.00 6,939,783,000.00 EUR
MONTJEUBIDCOLTD - Facility C - Eur/Swap MontBidco_FacC_EurSwap_HSAM08 B2 2,821,050.00 EUR B2 2,460.00 6,939,783,000.00 EUR
Neggio Holdings 3 GmbH - Facility B2 Negg_FacB2 Ba3 1,250,000.00 EUR Ba3 1,550.00 1,937,500,000.00 EUR
Neggio Holdings 3 GmbH - Facility C2 Negg_FacC2 Ba3 1,250,000.00 EUR Ba3 1,550.00 1,937,500,000.00 EUR
Neggio Holdings 3 GmbH - Term Loan B Neggio_TLB Ba3 3,600,000.00 EUR Ba3 1,550.00 5,580,000,000.00 EUR
Neggio Holdings 3 GmbH - Term Loan C Neggio_TLC Ba3 3,600,000.00 EUR Ba3 1,550.00 5,580,000,000.00 EUR
Nocibe - Additional Term B1 Groupe Nocibe_AddTB1 B2 3,598,432.52 EUR B2 2,460.00 8,852,143,999.20 EUR
Nocibe - Additional Term B2 Groupe Nocibe_AddTB2 B2 569,563.63 EUR B2 2,460.00 1,401,126,529.80 EUR
Nocibe - Additional Term C1 Groupe Nocibe_AddTC1 B2 3,598,432.52 EUR B2 2,460.00 8,852,143,999.20 EUR
Nocibe - Additional Term C2 Groupe Nocibe_AddTC2 B2 569,563.63 EUR B2 2,460.00 1,401,126,529.80 EUR
Nordic Telephone Company Holding ApS. - Term B2 Nordic_B2 Ba3 4,467,835.34 EUR Ba3 1,766.00 7,890,197,210.44 EUR
Nordic Telephone Company Holding ApS. - Term C2 Nordic_C2 Ba3 4,786,546.13 EUR Ba3 1,766.00 8,453,040,465.58 EUR
Orangina - Facility B1 BlackL_TLB1 B1 150,000.00 EUR B1 2,460.00 369,000,000.00 EUR
Orangina - Facility B5a BlackL_TLB5a B1 9,296,875.00 EUR B1 2,460.00 22,870,312,500.00 EUR
Orangina - Facility B5b BlackL_TLB5b B1 703,125.00 EUR B1 2,460.00 1,729,687,500.00 EUR
Orangina - Facility C1 BlackL_TLC1 B1 974,809.37 EUR B1 2,460.00 2,398,031,050.20 EUR
Orangina - Facility C2 BlackL_TLC2 B1 555,131.22 EUR B1 2,460.00 1,365,622,801.20 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I The Maximum Portfolio Page 3
11:23:52 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 90
Pre
Notched
Moody's Moody's Rating
Security Security ID Rating Principal Balance Rating Factor Weight
Pages Jaunes Group S.A - Term A PagesJaunes_TermA B3 3,000,000.00 EUR B3 3,080.00 9,240,000,000.00 EUR
PFCAPITALSARL - Term Loan B1a PFCAPITL_TB1A B2 826,993.35 EUR B2 2,460.00 2,034,403,641.00 EUR
PFCAPITALSARL - Term Loan B1c PFCAPTL_B1C B2 257,163.88 EUR B2 2,460.00 632,623,144.80 EUR
PFCAPITALSARL - Term Loan B1e PFCAPTL_TB1E B2 495,075.39 EUR B2 2,460.00 1,217,885,459.40 EUR
PFCAPITALSARL - Term Loan B1f PFCAPTL_TLB1F B2 397,401.72 EUR B2 2,460.00 977,608,231.20 EUR
PFCAPITALSARL - Term Loan C1 PFCAPITL_TLC1 B2 373,688.57 EUR B2 2,460.00 919,273,882.20 EUR
PFCAPITALSARL - Term Loan C2 PFCAPTL_TC2 B2 138,830.41 EUR B2 2,460.00 341,522,808.60 EUR
PFCAPITALSARL - Term Loan C3 PFCAPITL_TLC3 B2 288,292.88 EUR B2 2,460.00 709,200,484.80 EUR
PFCAPITALSARL - Term Loan C4 PFCAPITL_TLC4 B2 1,174,226.77 EUR B2 2,460.00 2,888,597,854.20 EUR
PFCAPITALSARL - Term Loan D PFCAPITL_TLD B2 2,000,000.00 EUR B2 2,460.00 4,920,000,000.00 EUR
PPE - Term B ppe_tb 4,018,608.43 EUR Caa1 4,080.00 16,395,922,394.40 EUR
PPE - Term C ppe_tc 1,569,017.30 EUR Caa1 4,080.00 6,401,590,584.00 EUR
Project Alpha III - Term B3 ProjectAlpha_B3 7,500,000.00 EUR B1 1,980.00 14,850,000,000.00 EUR
Qidnax - Mezzanine Facility A - Eur/Swap Qidnax_MezzFacA_EurSwp_Halcyon2008 B2 1,311,351.94 EUR B2 2,460.00 3,225,925,772.40 EUR
Qidnax - Mezzanine Facility B Qidnax_Mezz B B2 1,917,168.50 EUR B2 2,460.00 4,716,234,510.00 EUR
Qidnax - Term Loan B2 LX070674 B2 1,676,663.38 EUR B2 2,460.00 4,124,591,914.80 EUR
Qidnax - Term Loan C2 Qidnax_TLC2 B2 1,676,663.38 EUR B2 2,460.00 4,124,591,914.80 EUR
Rank Holdings I SA - Term Loan BI RankHold_TLBI B1 1,179,422.50 EUR B1 2,220.00 2,618,317,950.00 EUR
Rank Holdings I SA - Term Loan BII RankHold_TLBII B1 57,745.53 EUR B1 2,220.00 128,195,076.60 EUR
Rank Holdings I SA - Term Loan CI RankHold_TLCI B1 1,237,168.03 EUR B1 2,220.00 2,746,513,026.60 EUR
Rotac Holding AB - Term Loan B1 Rotac_TLB1 B1 3,750,000.00 EUR B1 3,080.00 11,550,000,000.00 EUR
Rotac Holding AB - Term Loan C1 Rotac_TLC1 B1 3,456,521.74 EUR B1 3,080.00 10,646,086,959.20 EUR
SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Ba3 3,500,000.00 EUR Ba3 1,766.00 6,181,000,000.00 EUR
SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Ba3 3,500,000.00 EUR Ba3 1,766.00 6,181,000,000.00 EUR
Spiinnaker - Tranche E1 Spinnaker_TE1 B2 423,544.57 EUR Caa2 6,500.00 2,753,039,705.00 EUR
Spiinnaker - Tranche E2 Spinnaker_TE2 B2 423,544.57 EUR Caa2 6,500.00 2,753,039,705.00 EUR
Spiinnaker - Tranche F1 Spinnaker_TrF1 B2 3,989,591.20 EUR Caa2 6,500.00 25,932,342,800.00 EUR
Spiinnaker - Tranche F2 Spinnaker_TrF2 B2 3,989,591.20 EUR Caa2 6,500.00 25,932,342,800.00 EUR
Springer Science - Term Loan B1 Springer_TB1 937,634.35 EUR B2 3,080.00 2,887,913,798.00 EUR
Springer Science - Term Loan C1 Springer_C1 808,316.40 EUR B2 3,080.00 2,489,614,512.00 EUR
Springer Science - Term Loan E1 Springer_E1 1,163,963.79 EUR B2 3,080.00 3,585,008,473.20 EUR
SUNGARDDATASYSINC - Incremental Term Loan - Euro Swap Sungard_INC_SWAP B2 2,152,206.00 EUR B2 2,720.00 5,854,000,320.00 EUR
Telenet Bidco NV - Term Loan C Telenet-TLC- Ba3 2,000,000.00 EUR Ba3 1,766.00 3,532,000,000.00 EUR
Trader Media Corp - Facility B - Eur/Swao TraderMedia_BSwap_HSAM2008 B2 6,165,561.50 EUR B2 2,460.00 15,167,281,290.00 EUR
TYROLACQUISITION2SAS - Second Lien TYROLACQ2_2L B2 1,750,000.00 EUR B2 2,460.00 4,305,000,000.00 EUR
TYROLACQUISITION2SAS - Term B TYROLACQ2_TB B2 5,000,000.00 EUR B2 2,460.00 12,300,000,000.00 EUR
TYROLACQUISITION2SAS - Term C TYROLACQ2_TC B2 5,000,000.00 EUR B2 2,460.00 12,300,000,000.00 EUR
United Biscuits - Term B1 - Eur/Swap UnitedBiscuits_TB1_EurSwap_HSAM08 B1 6,269,000.00 EUR B1 2,460.00 15,421,740,000.00 EUR
UPC Financing - Term Loan M UPC_TLM B1 5,000,000.00 EUR B1 2,220.00 11,100,000,000.00 EUR
Virgin Media Investment Holdings Limited - Facility B12 - eur/Swap Virgin_B6Swap_HSAM2008 Ba3 1,417,606.40 EUR Ba3 1,766.00 2,503,492,902.40 EUR
Virgin Media Investment Holdings Limited - Term Loan B11 - Eur/Swap VirginMedia_B5Swap_HSAM2008 Ba3 2,787,959.25 EUR Ba3 1,766.00 4,923,536,035.50 EUR
Virgin Media Investment Holdings Limited - Term Loan B7 - Eur/Swap Virgin_B1Swap_HSAM2008 Ba3 1,734,290.00 EUR Ba3 1,766.00 3,062,756,140.00 EUR
Virgin Media Investment Holdings Limited - Term Loan B8 - Eur/Swap Virgin_B2Swap_HSAM2008 Ba3 2,027,110.00 EUR Ba3 1,766.00 3,579,876,260.00 EUR
Vivarte - Term Loan B1 Vivarte_B 3,750,000.00 EUR B2 2,460.00 9,225,000,000.00 EUR
Vivarte - Term Loan C1 Vivarte_C 3,750,000.00 EUR B2 2,460.00 9,225,000,000.00 EUR
WAM - Additional Term B1 WAMACQ_AB1 B1 1,000,000.00 EUR B1 1,980.00 1,980,000,000.00 EUR
WAM - Additional Term C1 WAMACQ-AC1 B1 1,000,000.00 EUR B1 1,980.00 1,980,000,000.00 EUR
WAM - Term Loan B1 WAM_B1 B1 1,500,000.00 EUR B1 1,980.00 2,970,000,000.00 EUR
WAM - Term Loan B3 WAMACQ_TLB3 B1 1,474,324.32 EUR B1 1,980.00 2,919,162,153.60 EUR
WAM - Term Loan B4 WAMACQ_TLB4 B1 1,861,737.42 EUR B1 1,980.00 3,686,240,091.60 EUR
WAM - Term Loan C1 WAM_C1 B1 1,500,000.00 EUR B1 1,980.00 2,970,000,000.00 EUR
WAM - Term Loan C3 WAMACQ_TLC3 B1 1,474,324.32 EUR B1 1,980.00 2,919,162,153.60 EUR
WAM - Term Loan C4 WAMACQ_TLC4 B1 1,861,737.32 EUR B1 1,980.00 3,686,239,893.60 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I The Maximum Portfolio Page 4
11:23:52 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 91
Pre
Notched
Moody's Moody's Rating
Security Security ID Rating Principal Balance Rating Factor Weight
World Directories Acquisition Corp. - Facility 1 wdac_facility1 B3 7,000,000.00 EUR B2 2,720.00 19,040,000,000.00 EUR
Xstrata - Tranche B1 Fin Spie_TLB B2 2,058,626.27 EUR B2 2,460.00 5,064,220,624.20 EUR
Xstrata - Tranche B3 Fin Spie_TLB3 B2 2,058,626.27 EUR B2 2,460.00 5,064,220,624.20 EUR
Yellow Brick Road - Term Loan B2 YBR_B2 B2 910,346.00 EUR B2 2,460.00 2,239,451,160.00 EUR
Yellow Brick Road - Term Loan C2 YBR_C2 B2 629,020.02 EUR B2 2,460.00 1,547,389,249.20 EUR
Yellow Brick Road - Tranche B YBR_TLB B2 2,862,783.35 EUR B2 2,460.00 7,042,447,041.00 EUR
Yellow Brick Road - Tranche C YBR_TLC B2 3,631,216.65 EUR B2 2,460.00 8,932,792,959.00 EUR
YPSO Hold - B Acq 1 YPSO_B ACQ 1 B1 864,300.36 EUR B1 1,980.00 1,711,314,712.80 EUR
YPSO Hold - B Acq 2 YPSO_B Acq 2 B1 1,309,353.60 EUR B1 1,980.00 2,592,520,128.00 EUR
YPSO Hold - B Recap 1 YPSOHolding_TBRecap1 B1 2,728,582.46 EUR B1 1,980.00 5,402,593,270.80 EUR
YPSO Hold - B Recap 2 YPSOHolding_TBRecap2 B1 97,763.58 EUR B1 1,980.00 193,571,888.40 EUR
YPSO Hold - C Acq Ypso_CAcq B1 1,390,000.00 EUR B1 1,980.00 2,752,200,000.00 EUR
YPSO Hold - C Recap Ypso_CRecap B1 2,610,000.00 EUR B1 1,980.00 5,167,800,000.00 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I The Maximum Portfolio Page 5
11:23:52 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 92
Portfolio Assets - Asset Swap
Report Summary
Aggregate Principal
Balance Report Total % of APB Requirement
381,028,423.73 EUR 49,452,327.53 EUR 12.9786% >= 0.0000% In Compliance
Loan
ADI Finance 2 Ltd - Subordinated Term Loan - Eur/Swap ADIFinance_SubTL_EurSwp_HSAM2008-1 EUR 04-Jul-2011 Yes No No 0.00 EUR 7,839,647.44 EUR
Elster - Term Loan B - Eur/Swap Elster_TLB_EurSwap_HSAM2008 EUR 30-Sep-2013 Yes No No 0.00 EUR 457,418.82 EUR
Elster - Term Loan C - Eur/Swap Elster_TLC_EurSwap_HSAM2008 EUR 30-Sep-2014 Yes No No 0.00 EUR 457,418.82 EUR
Financiere Truck - Term Loan B - Euro/Swap Fraikin_TLB_Swap EUR 31-Mar-2014 Yes No No 0.00 EUR 557,215.54 EUR
Macq UK Broadcast Ent Ltd - Junior Term Loan - Eur/Swap MacqEnterpise_JuniorTLSwap_HSAM2008 EUR 01-Jul-2015 Yes No No 0.00 EUR 3,631,289.88 EUR
MacQuarie - Facility A2 - Eur/Swap MAcQBroadcast_A2Swap_HSAM2008 EUR 12-Jan-2014 Yes No No 0.00 EUR 4,885,089.00 EUR
Mobilserv Ltd - Term B - Euro/Swap Mobilserv Ltd_TLB_SWAP EUR 22-Sep-2014 Yes No No 0.00 EUR 1,335,671.55 EUR
Mobilserv Ltd - Term C - Euro/Swap Mobilserv Ltd_TLC_SWAP EUR 22-Sep-2015 Yes No No 0.00 EUR 781,391.39 EUR
MONTJEUBIDCOLTD - Facility B - Eur/Swap MontBidco_FacB_eurSwap_HSAM08 EUR 15-Mar-2015 Yes No No 0.00 EUR 2,821,050.00 EUR
MONTJEUBIDCOLTD - Facility C - Eur/Swap MontBidco_FacC_EurSwap_HSAM08 EUR 15-Mar-2016 Yes No No 0.00 EUR 2,821,050.00 EUR
Qidnax - Mezzanine Facility A - Eur/Swap Qidnax_MezzFacA_EurSwp_Halcyon2008 EUR 25-Apr-2017 Yes No No 0.00 EUR 1,311,351.94 EUR
SUNGARDDATASYSINC - Incremental Term Loan - Euro Swap Sungard_INC_SWAP EUR 28-Feb-2014 Yes No No 0.00 EUR 2,152,206.00 EUR
Trader Media Corp - Facility B - Eur/Swao TraderMedia_BSwap_HSAM2008 EUR 23-Mar-2015 Yes No No 0.00 EUR 6,165,561.50 EUR
United Biscuits - Term B1 - Eur/Swap UnitedBiscuits_TB1_EurSwap_HSAM08 EUR 24-Jan-2015 Yes No No 0.00 EUR 6,269,000.00 EUR
Virgin Media Investment Holdings Limited - Facility B12 - eur/Swap Virgin_B6Swap_HSAM2008 EUR 03-Sep-2012 Yes No No 0.00 EUR 1,417,606.40 EUR
Virgin Media Investment Holdings Limited - Term Loan B11 - Eur/Swap VirginMedia_B5Swap_HSAM2008 EUR 03-Sep-2012 Yes No No 0.00 EUR 2,787,959.25 EUR
Virgin Media Investment Holdings Limited - Term Loan B7 - Eur/Swap Virgin_B1Swap_HSAM2008 EUR 03-Sep-2012 Yes No No 0.00 EUR 1,734,290.00 EUR
Virgin Media Investment Holdings Limited - Term Loan B8 - Eur/Swap Virgin_B2Swap_HSAM2008 EUR 03-Sep-2012 Yes No No 0.00 EUR 2,027,110.00 EUR
Ceased to be
Asset Discounted Discounted Purchase
Security Security ID Type Obligation Obligation Price Principal Balance
ISSHOLDA/S - Term Loan D ISS_TL D Loan Yes No 79.2500% 4,000,000.00 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I (c) Mezzanine, High Page 1
11:24:11 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 95
(p) Revolving and/or Delayed Drawdown Obligations
Report Summary
11-Feb-2009 Halcyon SAM European CLO 2008-I (p) Revolving and/or Page 1
11:24:18 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 96
(b) Senior Secured Loans
Report Summary
Aggregate Principal
Balance + Eligible
Investments Report Total % of APBEI Requirement
384,215,199.81 EUR 348,430,457.27 EUR 90.69% >= 87.00% In Compliance
11-Feb-2009 Halcyon SAM European CLO 2008-I (b) Senior Secured Page 1
11:24:21 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 97
Security Security ID Asset Type SecurityLevel Principal Balance
Autobar - Tranche B Charden_TLB Loan Senior Secured 2,911,542.49 EUR
Autobar - Tranche C Charden_TLC Loan Senior Secured 2,911,542.49 EUR
AVR Acquisitions - Term B3A avr_b3a Loan Senior Secured 4,710,694.49 EUR
AVR Acquisitions - Term B3B avr_b3b Loan Senior Secured 143,866.91 EUR
AVR Acquisitions - Term B3C avr_b3c Loan Senior Secured 389,244.49 EUR
AVR Acquisitions - Term B3D AVR_TL_B3D Loan Senior Secured 457,566.97 EUR
AVR Acquisitions - Term Loan B AVR_TLB Loan Senior Secured 878,924.15 EUR
AVR Acquisitions - Term Loan C AVR_TLC Loan Senior Secured 3,180,297.00 EUR
BCM Ireland Finance - Facility B BCM_B Loan Senior Secured 2,462,068.60 EUR
BCM Ireland Finance - Facility C BCM_C Loan Senior Secured 2,462,343.10 EUR
BCV Investments S.C.A - Term B Euro BCV Investments_TB Euro Loan Senior Secured 2,239,412.91 EUR
BCV Investments S.C.A - Term C Euro BCV Investments_TC Euro Loan Senior Secured 2,239,412.91 EUR
Brenn - Acquisition Facility 2 Brentag_acqfac Loan Senior Secured 4,587,634.71 EUR
Brenn - Facility B3 EUR Brenntag_B3EUR Loan Senior Secured 1,000,000.00 EUR
Brenn - Facility C1 Brentagg_fac.C1 Loan Senior Secured 1,563,127.46 EUR
Brenn - Facility C2 Brenntag_fac.C2 Loan Senior Secured 436,872.54 EUR
BRENNTAGFINANCECOIISARL - Acquisition Facility 2 BRENNTAGF_AF2 Loan Senior Secured 280,771.41 EUR
BRENNTAGHOLDINGSNVNETH - Acquisition Facility 2 BRENTGH_ACQF2 Loan Senior Secured 1,131,593.88 EUR
Capio - Term Loan B1 opica_tlb1 Loan Senior Secured 196,399.24 EUR
Capio - Term Loan B2 opica_tlb2 Loan Senior Secured 315,361.24 EUR
Capio - Term Loan B4 opica_tlb4 Loan Senior Secured 236,101.11 EUR
Capio - Term Loan C1 opica_tlc1 Loan Senior Secured 196,399.25 EUR
Capio - Term Loan C2 opica_tlc2 Loan Senior Secured 315,361.24 EUR
Capio - Term Loan C4 opica_tlc4 Loan Senior Secured 176,086.49 EUR
CBRFASHIONGMBH - Term Loan B CBRFASHN_TLB Loan Senior Secured 1,875,000.00 EUR
CBRFASHIONGMBH - Term Loan C LX068781 Loan Senior Secured 1,725,000.00 EUR
CEVAGROUPPLC - Canadian Term Loan Louis_Candiantl Loan Senior Secured 1,217,254.04 EUR
CEVAGROUPPLC - Dutch Term Loan Louis_Dutchtl Loan Senior Secured 1,098,247.30 EUR
CEVAGROUPPLC - EURO pre-funded LC facility Lous_LC Loan Senior Secured 1,065,290.91 EUR
Chaterhouse - Term Loan B1 - Acquico Charterhouse_TLB1_Acq Loan Senior Secured 1,251,391.54 EUR
Chaterhouse - Term Loan B2 Charterhouse_TLB2 Loan Senior Secured 248,608.46 EUR
COGNIS - Term A COGNIS&MACANY_TLA Loan Senior Secured 982,367.86 EUR
COGNIS - Term B COGNIS&MACANY_TLB Loan Senior Secured 3,017,632.14 EUR
Cortefiel - Facility B1 CORTEFIEL_B1 Loan Senior Secured 2,859,901.10 EUR
Cortefiel - Facility B2 CORTEFIEL_B2 Loan Senior Secured 3,119,892.12 EUR
Cortefiel - Facility B3 CORTEFIEL_B3 Loan Senior Secured 5,000,000.00 EUR
Demeter - Facility B DEMETERIB_FB Loan Senior Secured 1,500,000.00 EUR
Demeter - Facility C DEMETERIB_FC Loan Senior Secured 1,500,000.00 EUR
DSBG - Term B dsbg_tb Loan Senior Secured 1,375,000.00 EUR
DSBG - Term C dsbg_tc Loan Senior Secured 1,375,000.00 EUR
Elster - Term B1 ELSTERGRP_B1 Loan Senior Secured 1,802,099.05 EUR
Elster - Term C1 ELSTERGRP_C1 Loan Senior Secured 1,802,099.05 EUR
Elster - Term Loan B - Eur/Swap Elster_TLB_EurSwap_HSAM2008 Loan Senior Secured 457,418.82 EUR
Elster - Term Loan C - Eur/Swap Elster_TLC_EurSwap_HSAM2008 Loan Senior Secured 457,418.82 EUR
Escaline S.a.r.l - Term B Escaline_TermB Loan Senior Secured 1,503,773.95 EUR
Escaline S.a.r.l - Term C Escaline_TermC Loan Senior Secured 1,503,773.95 EUR
FCIINTLSAS - Term Loan B3b FCISA_TLB3B Loan Senior Secured 3,987,697.43 EUR
Ferretti S.P.A - Tranche B Ferretti_TrB Loan Senior Secured 2,888,334.09 EUR
Ferretti S.P.A - Tranche C Ferretti_TrC Loan Senior Secured 2,888,334.09 EUR
Financiere Truck - Term Loan - Euro FinanciereTruck_TLEUR Loan Senior Secured 3,340,369.24 EUR
Financiere Truck - Term Loan B - Euro/Swap Fraikin_TLB_Swap Loan Senior Secured 557,215.54 EUR
Fives - Term B Fives_TLB Loan Senior Secured 2,659,849.65 EUR
Fives - Term C Fives_TLC Loan Senior Secured 2,659,849.65 EUR
Fresenius SE - Additional Tranche B1 Euro Term Loan FreseniusSE_AddB1Euro Loan Senior Secured 1,000,000.00 EUR
GGP C - B Term Loan GGP_B TL Loan Senior Secured 3,477,272.73 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I (b) Senior Secured Page 2
11:24:21 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 98
Security Security ID Asset Type SecurityLevel Principal Balance
GGP C - C Term Loan GGP_C TL Loan Senior Secured 3,477,272.73 EUR
HCA Inc - Euro Term loan HCAInc_EuroTL Loan Senior Secured 8,883,610.43 EUR
HEXIONSPECIALTYCHEMICALS - Tranche C-6 Term Loan Hexion_C-6 Loan Senior Secured 2,969,327.02 EUR
Holding - Additional HBI Facility B HOLDING-ADLFB Loan Senior Secured 4,546,969.70 EUR
Holding - Additional HBI Facility C HOLDING_ADLFC Loan Senior Secured 4,153,030.30 EUR
Holding - Term B1 HldgBercy_TLB1 Loan Senior Secured 1,500,000.00 EUR
Holding - Term C1 HldgBercy_TLC1 Loan Senior Secured 1,500,000.00 EUR
Ineos Group - Term Loan B1 Ineos_TB1 Loan Senior Secured 1,613,634.99 EUR
Ineos Group - Term Loan B3 Ineos_TLB3 Loan Senior Secured 823,713.92 EUR
Ineos Group - Term Loan C1 Ineos_TC1 Loan Senior Secured 1,613,842.89 EUR
Ineos Group - Term Loan C3 Ineos_TLC3 Loan Senior Secured 823,713.92 EUR
Lavena - Term B Holdco Lavena_HoldcoB Loan Senior Secured 2,638,722.29 EUR
Lavena - Term C Holdco Lavena_HoldcoC Loan Senior Secured 2,638,722.28 EUR
LOUISAUSTRALIAHOLDCOPTYLIMITED - Australian Term Loan Louis Oz Holdco TL Loan Senior Secured 611,740.30 EUR
Macq UK Broadcast Ent Ltd - Junior Term Loan - Eur/Swap MacqEnterpise_JuniorTLSwap_HSAM2008 Loan Senior Secured 3,631,289.88 EUR
MacQuarie - Facility A2 - Eur/Swap MAcQBroadcast_A2Swap_HSAM2008 Loan Senior Secured 4,885,089.00 EUR
Materis - Term B Materis Loan Senior Secured 1,491,359.81 EUR
Materis - Term C Mat_TLC Loan Senior Secured 1,491,359.81 EUR
Mobilserv Ltd - Term B - Euro/Swap Mobilserv Ltd_TLB_SWAP Loan Senior Secured 1,335,671.55 EUR
Mobilserv Ltd - Term C - Euro/Swap Mobilserv Ltd_TLC_SWAP Loan Senior Secured 781,391.39 EUR
MONTJEUBIDCOLTD - Facility B - Eur/Swap MontBidco_FacB_eurSwap_HSAM08 Loan Senior Secured 2,821,050.00 EUR
MONTJEUBIDCOLTD - Facility C - Eur/Swap MontBidco_FacC_EurSwap_HSAM08 Loan Senior Secured 2,821,050.00 EUR
Neggio Holdings 3 GmbH - Facility B2 Negg_FacB2 Loan Senior Secured 1,250,000.00 EUR
Neggio Holdings 3 GmbH - Facility C2 Negg_FacC2 Loan Senior Secured 1,250,000.00 EUR
Neggio Holdings 3 GmbH - Term Loan B Neggio_TLB Loan Senior Secured 3,600,000.00 EUR
Neggio Holdings 3 GmbH - Term Loan C Neggio_TLC Loan Senior Secured 3,600,000.00 EUR
Nocibe - Additional Term B1 Groupe Nocibe_AddTB1 Loan Senior Secured 3,598,432.52 EUR
Nocibe - Additional Term B2 Groupe Nocibe_AddTB2 Loan Senior Secured 569,563.63 EUR
Nocibe - Additional Term C1 Groupe Nocibe_AddTC1 Loan Senior Secured 3,598,432.52 EUR
Nocibe - Additional Term C2 Groupe Nocibe_AddTC2 Loan Senior Secured 569,563.63 EUR
Nordic Telephone Company Holding ApS. - Term B2 Nordic_B2 Loan Senior Secured 4,467,835.34 EUR
Nordic Telephone Company Holding ApS. - Term C2 Nordic_C2 Loan Senior Secured 4,786,546.13 EUR
Orangina - Facility B1 BlackL_TLB1 Loan Senior Secured 150,000.00 EUR
Orangina - Facility B5a BlackL_TLB5a Loan Senior Secured 9,296,875.00 EUR
Orangina - Facility B5b BlackL_TLB5b Loan Senior Secured 703,125.00 EUR
Orangina - Facility C1 BlackL_TLC1 Loan Senior Secured 974,809.37 EUR
Orangina - Facility C2 BlackL_TLC2 Loan Senior Secured 555,131.22 EUR
Pages Jaunes Group S.A - Term A PagesJaunes_TermA Loan Senior Secured 3,000,000.00 EUR
PFCAPITALSARL - Term Loan B1a PFCAPITL_TB1A Loan Senior Secured 826,993.35 EUR
PFCAPITALSARL - Term Loan B1c PFCAPTL_B1C Loan Senior Secured 257,163.88 EUR
PFCAPITALSARL - Term Loan B1e PFCAPTL_TB1E Loan Senior Secured 495,075.39 EUR
PFCAPITALSARL - Term Loan B1f PFCAPTL_TLB1F Loan Senior Secured 397,401.72 EUR
PFCAPITALSARL - Term Loan C1 PFCAPITL_TLC1 Loan Senior Secured 373,688.57 EUR
PFCAPITALSARL - Term Loan C2 PFCAPTL_TC2 Loan Senior Secured 138,830.41 EUR
PFCAPITALSARL - Term Loan C3 PFCAPITL_TLC3 Loan Senior Secured 288,292.88 EUR
PFCAPITALSARL - Term Loan C4 PFCAPITL_TLC4 Loan Senior Secured 1,174,226.77 EUR
PPE - Term B ppe_tb Loan Senior Secured 4,018,608.43 EUR
PPE - Term C ppe_tc Loan Senior Secured 1,569,017.30 EUR
Project Alpha III - Term B3 ProjectAlpha_B3 Loan Senior Secured 7,500,000.00 EUR
Qidnax - Term Loan B2 LX070674 Loan Senior Secured 1,676,663.38 EUR
Qidnax - Term Loan C2 Qidnax_TLC2 Loan Senior Secured 1,676,663.38 EUR
Rank Holdings I SA - Term Loan BI RankHold_TLBI Loan Senior Secured 1,179,422.50 EUR
Rank Holdings I SA - Term Loan BII RankHold_TLBII Loan Senior Secured 57,745.53 EUR
Rank Holdings I SA - Term Loan CI RankHold_TLCI Loan Senior Secured 1,237,168.03 EUR
Reinvestible Cash Eligible Investments Reinvestible Cash Reinvestible Cash 3,186,776.08 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I (b) Senior Secured Page 3
11:24:21 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 99
Security Security ID Asset Type SecurityLevel Principal Balance
Rotac Holding AB - Term Loan B1 Rotac_TLB1 Loan Senior Secured 3,750,000.00 EUR
Rotac Holding AB - Term Loan C1 Rotac_TLC1 Loan Senior Secured 3,456,521.74 EUR
SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan Senior Secured 3,500,000.00 EUR
SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan Senior Secured 3,500,000.00 EUR
Spiinnaker - Tranche E1 Spinnaker_TE1 Loan Senior Secured 423,544.57 EUR
Spiinnaker - Tranche E2 Spinnaker_TE2 Loan Senior Secured 423,544.57 EUR
Spiinnaker - Tranche F1 Spinnaker_TrF1 Loan Senior Secured 3,989,591.20 EUR
Spiinnaker - Tranche F2 Spinnaker_TrF2 Loan Senior Secured 3,989,591.20 EUR
Springer Science - Term Loan B1 Springer_TB1 Loan Senior Secured 937,634.35 EUR
Springer Science - Term Loan C1 Springer_C1 Loan Senior Secured 808,316.40 EUR
Springer Science - Term Loan E1 Springer_E1 Loan Senior Secured 1,163,963.79 EUR
SUNGARDDATASYSINC - Incremental Term Loan - Euro Swap Sungard_INC_SWAP Loan Senior Secured 2,152,206.00 EUR
Telenet Bidco NV - Term Loan C Telenet-TLC- Loan Senior Secured 2,000,000.00 EUR
Trader Media Corp - Facility B - Eur/Swao TraderMedia_BSwap_HSAM2008 Loan Senior Secured 6,165,561.50 EUR
TYROLACQUISITION2SAS - Term B TYROLACQ2_TB Loan Senior Secured 5,000,000.00 EUR
TYROLACQUISITION2SAS - Term C TYROLACQ2_TC Loan Senior Secured 5,000,000.00 EUR
United Biscuits - Term B1 - Eur/Swap UnitedBiscuits_TB1_EurSwap_HSAM08 Loan Senior Secured 6,269,000.00 EUR
UPC Financing - Term Loan M UPC_TLM Loan Senior Secured 5,000,000.00 EUR
Virgin Media Investment Holdings Limited - Facility B12 - eur/Swap Virgin_B6Swap_HSAM2008 Loan Senior Secured 1,417,606.40 EUR
Virgin Media Investment Holdings Limited - Term Loan B11 - Eur/Swap VirginMedia_B5Swap_HSAM2008 Loan Senior Secured 2,787,959.25 EUR
Virgin Media Investment Holdings Limited - Term Loan B7 - Eur/Swap Virgin_B1Swap_HSAM2008 Loan Senior Secured 1,734,290.00 EUR
Virgin Media Investment Holdings Limited - Term Loan B8 - Eur/Swap Virgin_B2Swap_HSAM2008 Loan Senior Secured 2,027,110.00 EUR
Vivarte - Term Loan B1 Vivarte_B Loan Senior Secured 3,750,000.00 EUR
Vivarte - Term Loan C1 Vivarte_C Loan Senior Secured 3,750,000.00 EUR
WAM - Additional Term B1 WAMACQ_AB1 Loan Senior Secured 1,000,000.00 EUR
WAM - Additional Term C1 WAMACQ-AC1 Loan Senior Secured 1,000,000.00 EUR
WAM - Term Loan B1 WAM_B1 Loan Senior Secured 1,500,000.00 EUR
WAM - Term Loan B3 WAMACQ_TLB3 Loan Senior Secured 1,474,324.32 EUR
WAM - Term Loan B4 WAMACQ_TLB4 Loan Senior Secured 1,861,737.42 EUR
WAM - Term Loan C1 WAM_C1 Loan Senior Secured 1,500,000.00 EUR
WAM - Term Loan C3 WAMACQ_TLC3 Loan Senior Secured 1,474,324.32 EUR
WAM - Term Loan C4 WAMACQ_TLC4 Loan Senior Secured 1,861,737.32 EUR
World Directories Acquisition Corp. - Facility 1 wdac_facility1 Loan Senior Secured 7,000,000.00 EUR
Xstrata - Tranche B1 Fin Spie_TLB Loan Senior Secured 2,058,626.27 EUR
Xstrata - Tranche B3 Fin Spie_TLB3 Loan Senior Secured 2,058,626.27 EUR
Yellow Brick Road - Term Loan B2 YBR_B2 Loan Senior Secured 910,346.00 EUR
Yellow Brick Road - Term Loan C2 YBR_C2 Loan Senior Secured 629,020.02 EUR
Yellow Brick Road - Tranche B YBR_TLB Loan Senior Secured 2,862,783.35 EUR
Yellow Brick Road - Tranche C YBR_TLC Loan Senior Secured 3,631,216.65 EUR
YPSO Hold - B Acq 1 YPSO_B ACQ 1 Loan Senior Secured 864,300.36 EUR
YPSO Hold - B Acq 2 YPSO_B Acq 2 Loan Senior Secured 1,309,353.60 EUR
YPSO Hold - B Recap 1 YPSOHolding_TBRecap1 Loan Senior Secured 2,728,582.46 EUR
YPSO Hold - B Recap 2 YPSOHolding_TBRecap2 Loan Senior Secured 97,763.58 EUR
YPSO Hold - C Acq Ypso_CAcq Loan Senior Secured 1,390,000.00 EUR
YPSO Hold - C Recap Ypso_CRecap Loan Senior Secured 2,610,000.00 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I (b) Senior Secured Page 4
11:24:21 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 100
(q)(iii) Single Obligor
Target Par Amount 392,000,000.00 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(iii) Single Obligor Page 1
11:24:26 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 101
Issuer Asset Principal Balance % of Total
Aster 1 SA Term Loan B1 Italian 150,270.88 EUR
Aster 1 SA Term Loan B1 UK 45,121.65 EUR
Aster 1 SA Term Loan C1 UK 45,121.65 EUR
Aster 1 SA Term Loan B1 French 15,587.72 EUR
Aster 1 SA Term Loan B1 German 264,441.70 EUR
Aster 1 SA Term Loan B2 German 101,116.51 EUR
Aster 1 SA Term Loan B2 86,897.22 EUR
Netherlands
Aster 1 SA Term Loan B2 Belgium 531,355.90 EUR
Aster 1 SA Term Loan B4 French 430.08 EUR
Aster 1 SA Term Loan B4 2,280.57 EUR
Netherlands
Aster 1 SA Term Loan B4 UK 1,244.94 EUR
Aster 1 SA Term Loan B4 Spain 238.97 EUR
Aster 1 SA Term Loan B4 German 10,533.88 EUR
Aster 1 SA Term Loan B4 Belgium 13,397.65 EUR
Aster 1 SA Term Loan C1 French 15,587.72 EUR
Aster 1 SA Term Loan C1 Spain 8,661.47 EUR
Aster 1 SA Term Loan C1 Italian 156,500.75 EUR
Aster 1 SA Term Loan C1 German 264,441.70 EUR
Aster 1 SA Term Loan C2 German 101,116.51 EUR
Aster 1 SA Term Loan C2 86,897.22 EUR
Netherlands
Aster 1 SA Term Loan C2 Belgium 531,355.90 EUR
Aster 1 SA Term Loan C4 French 430.08 EUR
Aster 1 SA Term Loan C4 2,280.57 EUR
Netherlands
Aster 1 SA Term Loan C4 UK 1,244.94 EUR
Aster 1 SA Term Loan C4 Spain 238.97 EUR
Aster 1 SA Term Loan C4 German 10,533.88 EUR
Aster 1 SA Term Loan C4 Belgium 13,397.65 EUR
Aster 1 SA Term Loan B3 404,572.06 EUR
Aster 1 SA Term Loan C3 404,572.06 EUR
Aster 1 SA Term Loan B4 German 12,288.04 EUR
Undrawn
Aster 1 SA Term Loan C4 German 12,288.04 EUR
Undrawn
Aster 1 SA Subtotal 5,215,943.59 EUR 1.3306%
AVR Acquisitions B.V.
AVR Acquisitions B.V. Term Loan B 878,924.15 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(iii) Single Obligor Page 2
11:24:26 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 102
Issuer Asset Principal Balance % of Total
AVR Acquisitions B.V. Term Loan C 3,180,297.00 EUR
AVR Acquisitions B.V. Term B3A 4,710,694.49 EUR
AVR Acquisitions B.V. Term B3B 143,866.91 EUR
AVR Acquisitions B.V. Term B3C 389,244.49 EUR
AVR Acquisitions B.V. Term B3D 457,566.97 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(iii) Single Obligor Page 3
11:24:26 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 103
Issuer Asset Principal Balance % of Total
Ceva Group PLC Dutch Term Loan 1,098,247.30 EUR
Ceva Group PLC EURO pre-funded LC 1,065,290.91 EUR
facility
Louis Australia Holdco PTY Limited Australian Term Loan 611,740.30 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(iii) Single Obligor Page 4
11:24:26 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 104
Issuer Asset Principal Balance % of Total
European Directories (DH6) B.V Term Loan B2 910,346.00 EUR
European Directories (DH6) B.V Term Loan C2 629,020.02 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(iii) Single Obligor Page 5
11:24:26 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 105
Issuer Asset Principal Balance % of Total
Global Garden Products C Sarl
Global Garden Products C Sarl B Term Loan 3,477,272.73 EUR
Global Garden Products C Sarl C Term Loan 3,477,272.73 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(iii) Single Obligor Page 6
11:24:26 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 106
Issuer Asset Principal Balance % of Total
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(iii) Single Obligor Page 7
11:24:26 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 107
Issuer Asset Principal Balance % of Total
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(iii) Single Obligor Page 8
11:24:26 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 108
Issuer Asset Principal Balance % of Total
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(iii) Single Obligor Page 9
11:24:26 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 109
Issuer Asset Principal Balance % of Total
United Biscuits Term B1 - Eur/Swap 6,269,000.00 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(iii) Single Obligor Page 10
11:24:26 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 110
Issuer Asset Principal Balance % of Total
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(iii) Single Obligor Page 11
11:24:26 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 111
(q)(ii) Single Obligor - High Yield Security, Mezzanine Loans & Senior Unsecured Loan
Target Par Amount 392,000,000.00 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(ii) Single Obligor Page 1
11:24:30 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 112
Issuer Asset Principal Balance % of Total
11-Feb-2009 Halcyon SAM European CLO 2008-I (q)(ii) Single Obligor Page 2
11:24:30 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 113
(k) Fixed Rate Collateral Debt Obligations
Report Summary
Maximum Investment
Amount Report Total % of MIA Requirement
404,000,000.00 EUR 0.00 EUR 0.00% <= 5.00% In Compliance
11-Feb-2009 Halcyon SAM European CLO 2008-I (k) Fixed Rate Page 1
11:24:34 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 114
(l) Collateral Debt Obligations that pay interest less frequently than semi-annually
Report Summary
Maximum Investment
Amount Report Total % of MIA Requirement
404,000,000.00 EUR 0.00 EUR 0.00% <= 5.00% In Compliance
11-Feb-2009 Halcyon SAM European CLO 2008-I (l) Collateral Debt Page 1
11:24:38 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 115
(s) Zero Coupon Securities
Report Summary
11-Feb-2009 Halcyon SAM European CLO 2008-I (s) Zero Coupon Page 1
11:24:43 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 116
(m) PIK Securities
Report Summary
11-Feb-2009 Halcyon SAM European CLO 2008-I (m) PIK Securities Page 1
11:24:47 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 117
(v) Structured Finance Securities
Report Summary
Maximum Investment
Amount Report Total % of MIA Requirement
404,000,000.00 EUR 0.00 EUR 0.0% <= 5.0% In Compliance
11-Feb-2009 Halcyon SAM European CLO 2008-I (v) Structured Finance Page 1
11:24:51 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 118
(g) UnHedged Collateral Debt Securities
Report Summary
11-Feb-2009 Halcyon SAM European CLO 2008-I (g) UnHedged Collateral Page 1
11:24:55 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 119
Portfolio Assets - CCC Obligations
Maximum Investment Amount: 404,000,000.00 EUR
CCC Obligations 27,627,243.52 EUR
7.5% of Maximum Investment Amount 30,300,000.00 EUR
CCC Excess Amount: 0.00 EUR
Moodys S&P
Moody's Recovery Recovery CCC
Security Security ID Rating SP Rating Principal Balance CCC Excess Market Price Rate Rate AdjustedAmount
Financiere Daunou 9 S.AR.L - Term Loan D1 FinDaunou9_TLD1 B2 CCC+ 969,230.77 EUR 0.00 EUR 0.0000% 45.0000% 40.0000% 0.00 EUR
Financiere Daunou 9 S.AR.L - Term Loan D2 FinDaunou9_TLD2 B2 CCC+ 69,230.77 EUR 0.00 EUR 0.0000% 45.0000% 40.0000% 0.00 EUR
Financiere Daunou 9 S.AR.L - Term Loan D3 FinDaunou9_TLD3 B2 CCC+ 461,538.46 EUR 0.00 EUR 0.0000% 45.0000% 40.0000% 0.00 EUR
HEXIONSPECIALTYCHEMICALS - Tranche C-6 Term Loan Hexion_C-6 B2 CCC+ 2,969,327.02 EUR 0.00 EUR 0.0000% 70.0000% 56.0000% 0.00 EUR
Lavena - Mezzanine Lavena_Mezz Caa1 CCC+ 1,666,045.69 EUR 0.00 EUR 84.0000% 45.0000% 40.0000% 0.00 EUR
Lavena - Second Lien Lavena_TD Caa1 CCC+ 1,800,528.97 EUR 0.00 EUR 0.0000% 45.0000% 40.0000% 0.00 EUR
Lavena - Term B Holdco Lavena_HoldcoB Caa1 CCC+ 2,638,722.29 EUR 0.00 EUR 0.0000% 65.0000% 56.0000% 0.00 EUR
Lavena - Term C Holdco Lavena_HoldcoC Caa1 CCC+ 2,638,722.28 EUR 0.00 EUR 0.0000% 65.0000% 56.0000% 0.00 EUR
PPE - Term B ppe_tb Caa1 CCC+ 4,018,608.43 EUR 0.00 EUR 0.0000% 50.0000% 56.0000% 0.00 EUR
PPE - Term C ppe_tc Caa1 CCC+ 1,569,017.30 EUR 0.00 EUR 0.0000% 50.0000% 56.0000% 0.00 EUR
Spiinnaker - Tranche E1 Spinnaker_TE1 Caa2 CCC- 423,544.57 EUR 0.00 EUR 0.0000% 50.0000% 56.0000% 0.00 EUR
Spiinnaker - Tranche E2 Spinnaker_TE2 Caa2 CCC- 423,544.57 EUR 0.00 EUR 0.0000% 50.0000% 56.0000% 0.00 EUR
Spiinnaker - Tranche F1 Spinnaker_TrF1 Caa2 CCC- 3,989,591.20 EUR 0.00 EUR 0.0000% 50.0000% 56.0000% 0.00 EUR
Spiinnaker - Tranche F2 Spinnaker_TrF2 Caa2 CCC- 3,989,591.20 EUR 0.00 EUR 0.0000% 50.0000% 56.0000% 0.00 EUR
Aggregate Principal
Balance Report Total % of APB
381,028,423.73 EUR 381,028,423.73 EUR 100.0000%
Belgium
Telenet Bidco NV - Term Loan C Telenet-TLC- Tier C 2,000,000.00 EUR 0.5249%
Denmark
ISSHOLDA/S - Term Loan D ISS_TL D Tier C 4,000,000.00 EUR 1.0498%
Nordic Telephone Company Holding ApS. - Term B2 Nordic_B2 Tier C 4,467,835.34 EUR 1.1726%
Nordic Telephone Company Holding ApS. - Term C2 Nordic_C2 Tier C 4,786,546.13 EUR 1.2562%
England
Macq UK Broadcast Ent Ltd - Junior Term Loan - Eur/Swap MacqEnterpise_JuniorTLSwap_HSAM2008 Tier A 3,631,289.88 EUR 0.9530%
France
Capio - Second Lien Tr2 OPICAAB_SLT2 Tier C 1,000,000.00 EUR 0.2624%
Capio - Term Loan B1 opica_tlb1 Tier C 196,399.24 EUR 0.0515%
Capio - Term Loan B2 opica_tlb2 Tier C 315,361.24 EUR 0.0828%
Capio - Term Loan B4 opica_tlb4 Tier C 236,101.11 EUR 0.0620%
Capio - Term Loan C1 opica_tlc1 Tier C 196,399.25 EUR 0.0515%
Capio - Term Loan C2 opica_tlc2 Tier C 315,361.24 EUR 0.0828%
Capio - Term Loan C4 opica_tlc4 Tier C 176,086.49 EUR 0.0462%
FCIINTLSAS - Term Loan B3b FCISA_TLB3B Tier C 3,987,697.43 EUR 1.0466%
Financiere Truck - Term Loan - Euro FinanciereTruck_TLEUR Tier C 3,340,369.24 EUR 0.8767%
Financiere Truck - Term Loan B - Euro/Swap Fraikin_TLB_Swap Tier C 557,215.54 EUR 0.1462%
Fives - Term B Fives_TLB Tier C 2,659,849.65 EUR 0.6981%
Fives - Term C Fives_TLC Tier C 2,659,849.65 EUR 0.6981%
Holding - Additional HBI Facility B HOLDING-ADLFB Tier C 4,546,969.70 EUR 1.1933%
Holding - Additional HBI Facility C HOLDING_ADLFC Tier C 4,153,030.30 EUR 1.0900%
Holding - Term B1 HldgBercy_TLB1 Tier C 1,500,000.00 EUR 0.3937%
Holding - Term C1 HldgBercy_TLC1 Tier C 1,500,000.00 EUR 0.3937%
Materis - Term B Materis Tier C 1,491,359.81 EUR 0.3914%
Materis - Term C Mat_TLC Tier C 1,491,359.81 EUR 0.3914%
Nocibe - Additional Term B1 Groupe Nocibe_AddTB1 Tier C 3,598,432.52 EUR 0.9444%
Nocibe - Additional Term B2 Groupe Nocibe_AddTB2 Tier C 569,563.63 EUR 0.1495%
Nocibe - Additional Term C1 Groupe Nocibe_AddTC1 Tier C 3,598,432.52 EUR 0.9444%
Nocibe - Additional Term C2 Groupe Nocibe_AddTC2 Tier C 569,563.63 EUR 0.1495%
Orangina - Facility B1 BlackL_TLB1 Tier C 150,000.00 EUR 0.0394%
Orangina - Facility B5a BlackL_TLB5a Tier C 9,296,875.00 EUR 2.4399%
Orangina - Facility B5b BlackL_TLB5b Tier C 703,125.00 EUR 0.1845%
Germany
Brenn - Acquisition Facility 2 Brentag_acqfac Tier B 4,587,634.71 EUR 1.2040%
Brenn - Facility B3 EUR Brenntag_B3EUR Tier B 1,000,000.00 EUR 0.2624%
Brenn - Facility C1 Brentagg_fac.C1 Tier B 1,563,127.46 EUR 0.4102%
Brenn - Facility C2 Brenntag_fac.C2 Tier B 436,872.54 EUR 0.1147%
BRENNTAGFINANCECOIISARL - Acquisition Facility 2 BRENNTAGF_AF2 Tier B 280,771.41 EUR 0.0737%
BRENNTAGHOLDINGSNVNETH - Acquisition Facility 2 BRENTGH_ACQF2 Tier B 1,131,593.88 EUR 0.2970%
CBRFASHIONGMBH - Term Loan B CBRFASHN_TLB Tier B 1,875,000.00 EUR 0.4921%
CBRFASHIONGMBH - Term Loan C LX068781 Tier B 1,725,000.00 EUR 0.4527%
Chaterhouse - Second Lien ChartHouse_2L Tier B 5,500,000.00 EUR 1.4435%
Chaterhouse - Term Loan B1 - Acquico Charterhouse_TLB1_Acq Tier B 1,251,391.54 EUR 0.3284%
Chaterhouse - Term Loan B2 Charterhouse_TLB2 Tier B 248,608.46 EUR 0.0652%
COGNIS - Term A COGNIS&MACANY_TLA Tier B 982,367.86 EUR 0.2578%
COGNIS - Term B COGNIS&MACANY_TLB Tier B 3,017,632.14 EUR 0.7920%
Elster - Term B1 ELSTERGRP_B1 Tier B 1,802,099.05 EUR 0.4730%
Elster - Term C1 ELSTERGRP_C1 Tier B 1,802,099.05 EUR 0.4730%
Elster - Term Loan B - Eur/Swap Elster_TLB_EurSwap_HSAM2008 Tier B 457,418.82 EUR 0.1200%
Elster - Term Loan C - Eur/Swap Elster_TLC_EurSwap_HSAM2008 Tier B 457,418.82 EUR 0.1200%
Escaline S.a.r.l - Term B Escaline_TermB Tier B 1,503,773.95 EUR 0.3947%
Escaline S.a.r.l - Term C Escaline_TermC Tier B 1,503,773.95 EUR 0.3947%
Financiere Daunou 9 S.AR.L - Term Loan D1 FinDaunou9_TLD1 Tier B 969,230.77 EUR 0.2544%
Financiere Daunou 9 S.AR.L - Term Loan D2 FinDaunou9_TLD2 Tier B 69,230.77 EUR 0.0182%
Financiere Daunou 9 S.AR.L - Term Loan D3 FinDaunou9_TLD3 Tier B 461,538.46 EUR 0.1211%
Fresenius SE - Additional Tranche B1 Euro Term Loan FreseniusSE_AddB1Euro Tier B 1,000,000.00 EUR 0.2624%
Lavena - Mezzanine Lavena_Mezz Tier B 1,666,045.69 EUR 0.4372%
Lavena - Second Lien Lavena_TD Tier B 1,800,528.97 EUR 0.4725%
Lavena - Term B Holdco Lavena_HoldcoB Tier B 2,638,722.29 EUR 0.6925%
Lavena - Term C Holdco Lavena_HoldcoC Tier B 2,638,722.28 EUR 0.6925%
Neggio Holdings 3 GmbH - Facility B2 Negg_FacB2 Tier B 1,250,000.00 EUR 0.3281%
Neggio Holdings 3 GmbH - Facility C2 Negg_FacC2 Tier B 1,250,000.00 EUR 0.3281%
Neggio Holdings 3 GmbH - Term Loan B Neggio_TLB Tier B 3,600,000.00 EUR 0.9448%
Neggio Holdings 3 GmbH - Term Loan C Neggio_TLC Tier B 3,600,000.00 EUR 0.9448%
PFCAPITALSARL - Term Loan B1a PFCAPITL_TB1A Tier B 826,993.35 EUR 0.2170%
PFCAPITALSARL - Term Loan B1c PFCAPTL_B1C Tier B 257,163.88 EUR 0.0675%
PFCAPITALSARL - Term Loan B1e PFCAPTL_TB1E Tier B 495,075.39 EUR 0.1299%
Ireland
BCM Ireland Finance - Facility B BCM_B Tier B 2,462,068.60 EUR 0.6462%
BCM Ireland Finance - Facility C BCM_C Tier B 2,462,343.10 EUR 0.6462%
SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Tier B 3,500,000.00 EUR 0.9186%
SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Tier B 3,500,000.00 EUR 0.9186%
Italy
BCV Investments S.C.A - Second Lien BCV Investments_2ndLien Tier D 4,500,000.00 EUR 1.1810%
BCV Investments S.C.A - Term B Euro BCV Investments_TB Euro Tier D 2,239,412.91 EUR 0.5877%
BCV Investments S.C.A - Term C Euro BCV Investments_TC Euro Tier D 2,239,412.91 EUR 0.5877%
Ferretti S.P.A - Mezzanine FerrettiSPA_Mezz Tier D 1,000,000.00 EUR 0.2624%
Ferretti S.P.A - Tranche B Ferretti_TrB Tier D 2,888,334.09 EUR 0.7580%
Ferretti S.P.A - Tranche C Ferretti_TrC Tier D 2,888,334.09 EUR 0.7580%
GGP C - B Term Loan GGP_B TL Tier D 3,477,272.73 EUR 0.9126%
GGP C - C Term Loan GGP_C TL Tier D 3,477,272.73 EUR 0.9126%
Luxembourg
Aster 1 SA - Term Loan A1 Germany Aster_A1g Tier C 1,005,778.26 EUR 0.2640%
Aster 1 SA - Term Loan A2 Brussels Aster_A2b Tier C 622,243.33 EUR 0.1633%
Aster 1 SA - Term Loan A3 Aster_A3 Tier C 232,257.29 EUR 0.0610%
Aster 1 SA - Term Loan A4 Brussels Aster_A4b Tier C 1,076.81 EUR 0.0003%
Aster 1 SA - Term Loan A4 Germany Aster_A4g Tier C 51,479.56 EUR 0.0135%
Aster 1 SA - Term Loan B1 French Aster_B1F Tier C 15,587.72 EUR 0.0041%
Aster 1 SA - Term Loan B1 German Aster_B1G Tier C 264,441.70 EUR 0.0694%
Aster 1 SA - Term Loan B1 Italian Aster_B1it Tier C 150,270.88 EUR 0.0394%
Aster 1 SA - Term Loan B1 Spain Aster_B1sp Tier C 8,661.47 EUR 0.0023%
Aster 1 SA - Term Loan B1 UK Aster_B1uk Tier C 45,121.65 EUR 0.0118%
Aster 1 SA - Term Loan B2 Belgium Aster_B2B Tier C 531,355.90 EUR 0.1395%
Aster 1 SA - Term Loan B2 German Aster_B2G Tier C 101,116.51 EUR 0.0265%
Aster 1 SA - Term Loan B2 Netherlands Aster_B2N Tier C 86,897.22 EUR 0.0228%
Aster 1 SA - Term Loan B3 Aster_TLB3 Tier C 404,572.06 EUR 0.1062%
Aster 1 SA - Term Loan B4 Belgium Aster_B4B Tier C 13,397.65 EUR 0.0035%
Aster 1 SA - Term Loan B4 French Aster_B4F Tier C 430.08 EUR 0.0001%
Aster 1 SA - Term Loan B4 German Aster_B4G Tier C 10,533.88 EUR 0.0028%
Aster 1 SA - Term Loan B4 German Undrawn ASTER1_TLB4UD Tier C 12,288.04 EUR 0.0032%
Aster 1 SA - Term Loan B4 Netherlands Aster_B4N Tier C 2,280.57 EUR 0.0006%
Aster 1 SA - Term Loan B4 Spain Aster_B4S Tier C 238.97 EUR 0.0001%
Aster 1 SA - Term Loan B4 UK Aster_B4U Tier C 1,244.94 EUR 0.0003%
Aster 1 SA - Term Loan C1 French Aster_C1F Tier C 15,587.72 EUR 0.0041%
Aster 1 SA - Term Loan C1 German Aster_C1G Tier C 264,441.70 EUR 0.0694%
Netherlands
Amsterdamse Beheer - Kabel - Term Loan B Amsterdamse_TLB (Kabelcom) Tier A 4,086,753.73 EUR 1.0726%
Amsterdamse Beheer - Kabel - Term Loan C Amsterdamse_TLC (Kabelcom) Tier A 4,086,753.73 EUR 1.0726%
Amsterdamse Beheer - Term B1 Amsterdam_B1 Tier A 506,747.66 EUR 0.1330%
Amsterdamse Beheer - Term B2 Amsterdam_B2 Tier A 256,498.61 EUR 0.0673%
Amsterdamse Beheer - Term C Amsterdam_TermC Tier A 763,246.27 EUR 0.2003%
Autobar - Tranche B Charden_TLB Tier A 2,911,542.49 EUR 0.7641%
Autobar - Tranche C Charden_TLC Tier A 2,911,542.49 EUR 0.7641%
AVR Acquisitions - Term B3A avr_b3a Tier A 4,710,694.49 EUR 1.2363%
AVR Acquisitions - Term B3B avr_b3b Tier A 143,866.91 EUR 0.0378%
AVR Acquisitions - Term B3C avr_b3c Tier A 389,244.49 EUR 0.1022%
AVR Acquisitions - Term B3D AVR_TL_B3D Tier A 457,566.97 EUR 0.1201%
AVR Acquisitions - Term Loan B AVR_TLB Tier A 878,924.15 EUR 0.2307%
AVR Acquisitions - Term Loan C AVR_TLC Tier A 3,180,297.00 EUR 0.8347%
CEVAGROUPPLC - Canadian Term Loan Louis_Candiantl Tier A 1,217,254.04 EUR 0.3195%
CEVAGROUPPLC - Dutch Term Loan Louis_Dutchtl Tier A 1,098,247.30 EUR 0.2882%
CEVAGROUPPLC - EURO pre-funded LC facility Lous_LC Tier A 1,065,290.91 EUR 0.2796%
LOUISAUSTRALIAHOLDCOPTYLIMITED - Australian Term Loan Louis Oz Holdco TL Tier A 611,740.30 EUR 0.1605%
LYONDELLBASELL - German Tranche B3 LyondellBasell_GermanB3 Tier A 0.00 EUR 0.0000%
UPC Financing - Term Loan M UPC_TLM Tier A 5,000,000.00 EUR 1.3122%
World Directories Acquisition Corp. - Facility 1 wdac_facility1 Tier A 7,000,000.00 EUR 1.8371%
Yellow Brick Road - Term Loan B2 YBR_B2 Tier A 910,346.00 EUR 0.2389%
Yellow Brick Road - Term Loan C2 YBR_C2 Tier A 629,020.02 EUR 0.1651%
Yellow Brick Road - Tranche B YBR_TLB Tier A 2,862,783.35 EUR 0.7513%
Yellow Brick Road - Tranche C YBR_TLC Tier A 3,631,216.65 EUR 0.9530%
Spain
Cortefiel - Facility B1 CORTEFIEL_B1 Tier C 2,859,901.10 EUR 0.7506%
Cortefiel - Facility B2 CORTEFIEL_B2 Tier C 3,119,892.12 EUR 0.8188%
Cortefiel - Facility B3 CORTEFIEL_B3 Tier C 5,000,000.00 EUR 1.3122%
Demeter - Facility B DEMETERIB_FB Tier C 1,500,000.00 EUR 0.3937%
Demeter - Facility C DEMETERIB_FC Tier C 1,500,000.00 EUR 0.3937%
DSBG - Term B dsbg_tb Tier C 1,375,000.00 EUR 0.3609%
DSBG - Term C dsbg_tc Tier C 1,375,000.00 EUR 0.3609%
PPE - Term B ppe_tb Tier C 4,018,608.43 EUR 1.0547%
PPE - Term C ppe_tc Tier C 1,569,017.30 EUR 0.4118%
Sweden
Qidnax - Mezzanine Facility A - Eur/Swap Qidnax_MezzFacA_EurSwp_Halcyon2008 Tier B 1,311,351.94 EUR 0.3442%
Qidnax - Mezzanine Facility B Qidnax_Mezz B Tier B 1,917,168.50 EUR 0.5032%
Qidnax - Term Loan B2 LX070674 Tier B 1,676,663.38 EUR 0.4400%
Qidnax - Term Loan C2 Qidnax_TLC2 Tier B 1,676,663.38 EUR 0.4400%
Rotac Holding AB - Term Loan B1 Rotac_TLB1 Tier B 3,750,000.00 EUR 0.9842%
Rotac Holding AB - Term Loan C1 Rotac_TLC1 Tier B 3,456,521.74 EUR 0.9072%
Switzerland
Rank Holdings I SA - Term Loan BI RankHold_TLBI Tier B 1,179,422.50 EUR 0.3095%
Rank Holdings I SA - Term Loan BII RankHold_TLBII Tier B 57,745.53 EUR 0.0152%
Rank Holdings I SA - Term Loan CI RankHold_TLCI Tier B 1,237,168.03 EUR 0.3247%
United Kingdom
ADI Finance 2 Ltd - Subordinated Term Loan - Eur/Swap ADIFinance_SubTL_EurSwp_HSAM2008-1 Tier A 7,839,647.44 EUR 2.0575%
CASTLEBIDCOLTD - Second Lien - Eur/Swap CastBidco_SecLien_EurSwap_HSAM2008 Tier A 0.00 EUR 0.0000%
Ineos Group - Term Loan B1 Ineos_TB1 Tier A 1,613,634.99 EUR 0.4235%
Ineos Group - Term Loan B3 Ineos_TLB3 Tier A 823,713.92 EUR 0.2162%
Ineos Group - Term Loan C1 Ineos_TC1 Tier A 1,613,842.89 EUR 0.4235%
Ineos Group - Term Loan C3 Ineos_TLC3 Tier A 823,713.92 EUR 0.2162%
MacQuarie - Facility A2 - Eur/Swap MAcQBroadcast_A2Swap_HSAM2008 Tier A 4,885,089.00 EUR 1.2821%
Mobilserv Ltd - Term B - Euro/Swap Mobilserv Ltd_TLB_SWAP Tier A 1,335,671.55 EUR 0.3505%
Mobilserv Ltd - Term C - Euro/Swap Mobilserv Ltd_TLC_SWAP Tier A 781,391.39 EUR 0.2051%
MONTJEUBIDCOLTD - Facility B - Eur/Swap MontBidco_FacB_eurSwap_HSAM08 Tier A 2,821,050.00 EUR 0.7404%
MONTJEUBIDCOLTD - Facility C - Eur/Swap MontBidco_FacC_EurSwap_HSAM08 Tier A 2,821,050.00 EUR 0.7404%
Mother Bidco Limited - Second Lien Term Loan - Eur/Swap Mther_Bidco_2ndLienSwap_Halcy2008 Tier A 0.00 EUR 0.0000%
Mother Bidco Limited - Term Loan B - Eur/Swap Mther_Bidco_TLBSwap_Halcy2008 Tier A 0.00 EUR 0.0000%
Mother Bidco Limited - Term Loan C - Eur/sWAP Mther_Bidco_TLCswap_Halcy2008 Tier A 0.00 EUR 0.0000%
Project Alpha III - Term B3 ProjectAlpha_B3 Tier A 7,500,000.00 EUR 1.9684%
Trader Media Corp - Facility B - Eur/Swao TraderMedia_BSwap_HSAM2008 Tier A 6,165,561.50 EUR 1.6181%
United Biscuits - Term B1 - Eur/Swap UnitedBiscuits_TB1_EurSwap_HSAM08 Tier A 6,269,000.00 EUR 1.6453%
Virgin Media Investment Holdings Limited - Facility B12 - eur/Swap Virgin_B6Swap_HSAM2008 Tier A 1,417,606.40 EUR 0.3720%
Virgin Media Investment Holdings Limited - Term Loan B11 - Eur/Swap VirginMedia_B5Swap_HSAM2008 Tier A 2,787,959.25 EUR 0.7317%
Virgin Media Investment Holdings Limited - Term Loan B7 - Eur/Swap Virgin_B1Swap_HSAM2008 Tier A 1,734,290.00 EUR 0.4552%
Virgin Media Investment Holdings Limited - Term Loan B8 - Eur/Swap Virgin_B2Swap_HSAM2008 Tier A 2,027,110.00 EUR 0.5320%
United States
HCA Inc - Euro Term loan HCAInc_EuroTL US 8,883,610.43 EUR 2.3315%
HEXIONSPECIALTYCHEMICALS - Tranche C-6 Term Loan Hexion_C-6 US 2,969,327.02 EUR 0.7793%
SUNGARDDATASYSINC - Incremental Term Loan - Euro Swap Sungard_INC_SWAP US 2,152,206.00 EUR 0.5648%
Aggregate Principal
Balance Report Total % of APB
381,028,423.73 EUR 381,028,423.73 EUR 100.0000%
Automobile
Financiere Truck - Term Loan - Euro FinanciereTruck_TLEUR 3,340,369.24 EUR
Financiere Truck - Term Loan B - Euro/Swap Fraikin_TLB_Swap 557,215.54 EUR
Cargo Transport
CEVAGROUPPLC - Canadian Term Loan Louis_Candiantl 1,217,254.04 EUR
CEVAGROUPPLC - Dutch Term Loan Louis_Dutchtl 1,098,247.30 EUR
CEVAGROUPPLC - EURO pre-funded LC facility Lous_LC 1,065,290.91 EUR
LOUISAUSTRALIAHOLDCOPTYLIMITED - Australian Term Loan Louis Oz Holdco TL 611,740.30 EUR
Diversified/Conglomerate Manufacturing
Aster 1 SA - Term Loan A1 Germany Aster_A1g 1,005,778.26 EUR
Aster 1 SA - Term Loan A2 Brussels Aster_A2b 622,243.33 EUR
Aster 1 SA - Term Loan A3 Aster_A3 232,257.29 EUR
Aster 1 SA - Term Loan A4 Brussels Aster_A4b 1,076.81 EUR
Aster 1 SA - Term Loan A4 Germany Aster_A4g 51,479.56 EUR
Aster 1 SA - Term Loan B1 French Aster_B1F 15,587.72 EUR
Aster 1 SA - Term Loan B1 German Aster_B1G 264,441.70 EUR
Aster 1 SA - Term Loan B1 Italian Aster_B1it 150,270.88 EUR
Aster 1 SA - Term Loan B1 Spain Aster_B1sp 8,661.47 EUR
Aster 1 SA - Term Loan B1 UK Aster_B1uk 45,121.65 EUR
Aster 1 SA - Term Loan B2 Belgium Aster_B2B 531,355.90 EUR
Aster 1 SA - Term Loan B2 German Aster_B2G 101,116.51 EUR
Aster 1 SA - Term Loan B2 Netherlands Aster_B2N 86,897.22 EUR
Aster 1 SA - Term Loan B3 Aster_TLB3 404,572.06 EUR
Aster 1 SA - Term Loan B4 Belgium Aster_B4B 13,397.65 EUR
Aster 1 SA - Term Loan B4 French Aster_B4F 430.08 EUR
Aster 1 SA - Term Loan B4 German Aster_B4G 10,533.88 EUR
Aster 1 SA - Term Loan B4 German Undrawn ASTER1_TLB4UD 12,288.04 EUR
Aster 1 SA - Term Loan B4 Netherlands Aster_B4N 2,280.57 EUR
Aster 1 SA - Term Loan B4 Spain Aster_B4S 238.97 EUR
Aster 1 SA - Term Loan B4 UK Aster_B4U 1,244.94 EUR
Aster 1 SA - Term Loan C1 French Aster_C1F 15,587.72 EUR
Aster 1 SA - Term Loan C1 German Aster_C1G 264,441.70 EUR
Aster 1 SA - Term Loan C1 Italian Aster_C1I 156,500.75 EUR
Aster 1 SA - Term Loan C1 Spain Aster_C1S 8,661.47 EUR
Aster 1 SA - Term Loan C1 UK Aster_C1uk 45,121.65 EUR
Aster 1 SA - Term Loan C2 Belgium Aster_C2B 531,355.90 EUR
Aster 1 SA - Term Loan C2 German Aster_C2G 101,116.51 EUR
Aster 1 SA - Term Loan C2 Netherlands Aster_C2N 86,897.22 EUR
Aster 1 SA - Term Loan C3 Aster_TLC3 404,572.06 EUR
Aster 1 SA - Term Loan C4 Belgium Aster_C4B 13,397.65 EUR
Aster 1 SA - Term Loan C4 French Aster_C4F 430.08 EUR
Aster 1 SA - Term Loan C4 German Aster_C4G 10,533.88 EUR
Aster 1 SA - Term Loan C4 German Undrawn ASTER_TLC4GUD 12,288.04 EUR
Aster 1 SA - Term Loan C4 Netherlands Aster_C4N 2,280.57 EUR
Aster 1 SA - Term Loan C4 Spain Aster_C4S 238.97 EUR
Aster 1 SA - Term Loan C4 UK Aster_C4U 1,244.94 EUR
Diversified/Conglomerate Service
SUNGARDDATASYSINC - Incremental Term Loan - Euro Swap Sungard_INC_SWAP 2,152,206.00 EUR
Ecological - Europe
AVR Acquisitions - Term B3A avr_b3a 4,710,694.49 EUR
AVR Acquisitions - Term B3B avr_b3b 143,866.91 EUR
AVR Acquisitions - Term B3C avr_b3c 389,244.49 EUR
AVR Acquisitions - Term B3D AVR_TL_B3D 457,566.97 EUR
AVR Acquisitions - Term Loan B AVR_TLB 878,924.15 EUR
AVR Acquisitions - Term Loan C AVR_TLC 3,180,297.00 EUR
Electronics
Elster - Term B1 ELSTERGRP_B1 1,802,099.05 EUR
Elster - Term C1 ELSTERGRP_C1 1,802,099.05 EUR
Elster - Term Loan B - Eur/Swap Elster_TLB_EurSwap_HSAM2008 457,418.82 EUR
Elster - Term Loan C - Eur/Swap Elster_TLC_EurSwap_HSAM2008 457,418.82 EUR
FCIINTLSAS - Term Loan B3b FCISA_TLB3B 3,987,697.43 EUR
WAM - Additional Term B1 WAMACQ_AB1 1,000,000.00 EUR
WAM - Additional Term C1 WAMACQ-AC1 1,000,000.00 EUR
WAM - Term Loan B1 WAM_B1 1,500,000.00 EUR
WAM - Term Loan B3 WAMACQ_TLB3 1,474,324.32 EUR
WAM - Term Loan B4 WAMACQ_TLB4 1,861,737.42 EUR
WAM - Term Loan C1 WAM_C1 1,500,000.00 EUR
WAM - Term Loan C3 WAMACQ_TLC3 1,474,324.32 EUR
WAM - Term Loan C4 WAMACQ_TLC4 1,861,737.32 EUR
Grocery - Europe
Demeter - Facility B DEMETERIB_FB 1,500,000.00 EUR
Demeter - Facility C DEMETERIB_FC 1,500,000.00 EUR
Healthcare, Education and Childcare - North America Subtotal 8,883,610.43 EUR 2.33%
Leisure, Amusement, Motion Pictures, Entertainment - Europe Subtotal 33,455,160.84 EUR 8.78%
Mining, Steel, Iron and Non-Precious Metals Subtotal 8,826,271.54 EUR 2.32%
Telecommunications
Nordic Telephone Company Holding ApS. - Term B2 Nordic_B2 4,467,835.34 EUR
Nordic Telephone Company Holding ApS. - Term C2 Nordic_C2 4,786,546.13 EUR
Telenet Bidco NV - Term Loan C Telenet-TLC- 2,000,000.00 EUR
TYROLACQUISITION2SAS - Second Lien TYROLACQ2_2L 1,750,000.00 EUR
TYROLACQUISITION2SAS - Term B TYROLACQ2_TB 5,000,000.00 EUR
TYROLACQUISITION2SAS - Term C TYROLACQ2_TC 5,000,000.00 EUR
UPC Financing - Term Loan M UPC_TLM 5,000,000.00 EUR
Aggregate Principal
Balance Report Total % of APB
381,028,423.73 EUR 381,028,423.73 EUR 100.0000%
Automotive
Financiere Truck - Term Loan - Euro FinanciereTruck_TLEUR 3,340,369.24 EUR
Financiere Truck - Term Loan B - Euro/Swap Fraikin_TLB_Swap 557,215.54 EUR
Clothing/textiles
CBRFASHIONGMBH - Term Loan B CBRFASHN_TLB 1,875,000.00 EUR
CBRFASHIONGMBH - Term Loan C LX068781 1,725,000.00 EUR
Conglomerates
Chaterhouse - Second Lien ChartHouse_2L 5,500,000.00 EUR
Chaterhouse - Term Loan B1 - Acquico Charterhouse_TLB1_Acq 1,251,391.54 EUR
Chaterhouse - Term Loan B2 Charterhouse_TLB2 248,608.46 EUR
SUNGARDDATASYSINC - Incremental Term Loan - Euro Swap Sungard_INC_SWAP 2,152,206.00 EUR
Electronics/electrical
FCIINTLSAS - Term Loan B3b FCISA_TLB3B 3,987,697.43 EUR
WAM - Additional Term B1 WAMACQ_AB1 1,000,000.00 EUR
WAM - Additional Term C1 WAMACQ-AC1 1,000,000.00 EUR
WAM - Term Loan B1 WAM_B1 1,500,000.00 EUR
WAM - Term Loan B3 WAMACQ_TLB3 1,474,324.32 EUR
WAM - Term Loan B4 WAMACQ_TLB4 1,861,737.42 EUR
WAM - Term Loan C1 WAM_C1 1,500,000.00 EUR
WAM - Term Loan C3 WAMACQ_TLC3 1,474,324.32 EUR
WAM - Term Loan C4 WAMACQ_TLC4 1,861,737.32 EUR
Food products
Demeter - Facility B DEMETERIB_FB 1,500,000.00 EUR
Demeter - Facility C DEMETERIB_FC 1,500,000.00 EUR
Orangina - Facility B1 BlackL_TLB1 150,000.00 EUR
Food service
Autobar - Tranche B Charden_TLB 2,911,542.49 EUR
Autobar - Tranche C Charden_TLC 2,911,542.49 EUR
Holding - Additional HBI Facility B HOLDING-ADLFB 4,546,969.70 EUR
Holding - Additional HBI Facility C HOLDING_ADLFC 4,153,030.30 EUR
Holding - Term B1 HldgBercy_TLB1 1,500,000.00 EUR
Holding - Term C1 HldgBercy_TLC1 1,500,000.00 EUR
Health care
Capio - Second Lien Tr2 OPICAAB_SLT2 1,000,000.00 EUR
Capio - Term Loan B1 opica_tlb1 196,399.24 EUR
Capio - Term Loan B2 opica_tlb2 315,361.24 EUR
Capio - Term Loan B4 opica_tlb4 236,101.11 EUR
Capio - Term Loan C1 opica_tlc1 196,399.25 EUR
Capio - Term Loan C2 opica_tlc2 315,361.24 EUR
Capio - Term Loan C4 opica_tlc4 176,086.49 EUR
Fresenius SE - Additional Tranche B1 Euro Term Loan FreseniusSE_AddB1Euro 1,000,000.00 EUR
HCA Inc - Euro Term loan HCAInc_EuroTL 8,883,610.43 EUR
Pages Jaunes Group S.A - Term A PagesJaunes_TermA 3,000,000.00 EUR
PFCAPITALSARL - Term Loan B1a PFCAPITL_TB1A 826,993.35 EUR
PFCAPITALSARL - Term Loan B1c PFCAPTL_B1C 257,163.88 EUR
PFCAPITALSARL - Term Loan B1e PFCAPTL_TB1E 495,075.39 EUR
PFCAPITALSARL - Term Loan B1f PFCAPTL_TLB1F 397,401.72 EUR
PFCAPITALSARL - Term Loan C1 PFCAPITL_TLC1 373,688.57 EUR
PFCAPITALSARL - Term Loan C2 PFCAPTL_TC2 138,830.41 EUR
PFCAPITALSARL - Term Loan C3 PFCAPITL_TLC3 288,292.88 EUR
PFCAPITALSARL - Term Loan C4 PFCAPITL_TLC4 1,174,226.77 EUR
PFCAPITALSARL - Term Loan D PFCAPITL_TLD 2,000,000.00 EUR
Rotac Holding AB - Term Loan B1 Rotac_TLB1 3,750,000.00 EUR
Rotac Holding AB - Term Loan C1 Rotac_TLC1 3,456,521.74 EUR
Industrial equipment
DSBG - Term B dsbg_tb 1,375,000.00 EUR
DSBG - Term C dsbg_tc 1,375,000.00 EUR
Elster - Term B1 ELSTERGRP_B1 1,802,099.05 EUR
Elster - Term C1 ELSTERGRP_C1 1,802,099.05 EUR
Elster - Term Loan B - Eur/Swap Elster_TLB_EurSwap_HSAM2008 457,418.82 EUR
Elster - Term Loan C - Eur/Swap Elster_TLC_EurSwap_HSAM2008 457,418.82 EUR
Fives - Term B Fives_TLB 2,659,849.65 EUR
Fives - Term C Fives_TLC 2,659,849.65 EUR
Neggio Holdings 3 GmbH - Facility B2 Negg_FacB2 1,250,000.00 EUR
Neggio Holdings 3 GmbH - Facility C2 Negg_FacC2 1,250,000.00 EUR
Neggio Holdings 3 GmbH - Term Loan B Neggio_TLB 3,600,000.00 EUR
Neggio Holdings 3 GmbH - Term Loan C Neggio_TLC 3,600,000.00 EUR
Xstrata - Tranche B1 Fin Spie_TLB 2,058,626.27 EUR
Leisure goods/activities/movies
Ferretti S.P.A - Mezzanine FerrettiSPA_Mezz 1,000,000.00 EUR
Ferretti S.P.A - Tranche B Ferretti_TrB 2,888,334.09 EUR
Ferretti S.P.A - Tranche C Ferretti_TrC 2,888,334.09 EUR
Project Alpha III - Term B3 ProjectAlpha_B3 7,500,000.00 EUR
Qidnax - Mezzanine Facility A - Eur/Swap Qidnax_MezzFacA_EurSwp_Halcyon2008 1,311,351.94 EUR
Qidnax - Mezzanine Facility B Qidnax_Mezz B 1,917,168.50 EUR
Qidnax - Term Loan B2 LX070674 1,676,663.38 EUR
Qidnax - Term Loan C2 Qidnax_TLC2 1,676,663.38 EUR
Not Specified
BRENNTAGFINANCECOIISARL - Acquisition Facility 2 BRENNTAGF_AF2 280,771.41 EUR
GGP C - B Term Loan GGP_B TL 3,477,272.73 EUR
GGP C - C Term Loan GGP_C TL 3,477,272.73 EUR
MONTJEUBIDCOLTD - Facility B - Eur/Swap MontBidco_FacB_eurSwap_HSAM08 2,821,050.00 EUR
MONTJEUBIDCOLTD - Facility C - Eur/Swap MontBidco_FacC_EurSwap_HSAM08 2,821,050.00 EUR
Publishing
Springer Science - Term Loan B1 Springer_TB1 937,634.35 EUR
Springer Science - Term Loan C1 Springer_C1 808,316.40 EUR
Springer Science - Term Loan E1 Springer_E1 1,163,963.79 EUR
Trader Media Corp - Facility B - Eur/Swao TraderMedia_BSwap_HSAM2008 6,165,561.50 EUR
World Directories Acquisition Corp. - Facility 1 wdac_facility1 7,000,000.00 EUR
Yellow Brick Road - Term Loan B2 YBR_B2 910,346.00 EUR
Yellow Brick Road - Term Loan C2 YBR_C2 629,020.02 EUR
Yellow Brick Road - Tranche B YBR_TLB 2,862,783.35 EUR
Yellow Brick Road - Tranche C YBR_TLC 3,631,216.65 EUR
Steel
Spiinnaker - Tranche E1 Spinnaker_TE1 423,544.57 EUR
Spiinnaker - Tranche E2 Spinnaker_TE2 423,544.57 EUR
Spiinnaker - Tranche F1 Spinnaker_TrF1 3,989,591.20 EUR
Spiinnaker - Tranche F2 Spinnaker_TrF2 3,989,591.20 EUR
Surface transport
CEVAGROUPPLC - Canadian Term Loan Louis_Candiantl 1,217,254.04 EUR
CEVAGROUPPLC - Dutch Term Loan Louis_Dutchtl 1,098,247.30 EUR
CEVAGROUPPLC - EURO pre-funded LC facility Lous_LC 1,065,290.91 EUR
LOUISAUSTRALIAHOLDCOPTYLIMITED - Australian Term Loan Louis Oz Holdco TL 611,740.30 EUR
Telecommunications/cellular
BCM Ireland Finance - Facility B BCM_B 2,462,068.60 EUR
BCM Ireland Finance - Facility C BCM_C 2,462,343.10 EUR
Macq UK Broadcast Ent Ltd - Junior Term Loan - Eur/Swap MacqEnterpise_JuniorTLSwap_HSAM2008 3,631,289.88 EUR
MacQuarie - Facility A2 - Eur/Swap MAcQBroadcast_A2Swap_HSAM2008 4,885,089.00 EUR
Nordic Telephone Company Holding ApS. - Term B2 Nordic_B2 4,467,835.34 EUR
Nordic Telephone Company Holding ApS. - Term C2 Nordic_C2 4,786,546.13 EUR
Telenet Bidco NV - Term Loan C Telenet-TLC- 2,000,000.00 EUR
UPC Financing - Term Loan M UPC_TLM 5,000,000.00 EUR
Utilities
ADI Finance 2 Ltd - Subordinated Term Loan - Eur/Swap ADIFinance_SubTL_EurSwp_HSAM2008-1 7,839,647.44 EUR
Aggregate Principal
Balance Report Total % of APB
381,028,423.73 EUR 381,028,423.73 EUR 100.0000%
Moody's
Country Moody's Asset Mezzanine
Security Security ID Region Country Rating Rating Sovereign Security Level Type Obligation Principal Balance APB %
Aster 1 SA
Aster 1 SA - Term Loan A1 Germany Aster_A1g Luxembourg Ba3 No Senior Secured Loan No 1,005,778.26 EUR
Aster 1 SA - Term Loan A2 Brussels Aster_A2b Luxembourg Ba3 No Senior Secured Loan No 622,243.33 EUR
Aster 1 SA - Term Loan A3 Aster_A3 Luxembourg Ba3 No Senior Secured Loan No 232,257.29 EUR
Aster 1 SA - Term Loan A4 Brussels Aster_A4b Luxembourg Ba3 No Senior Secured Loan No 1,076.81 EUR
Aster 1 SA - Term Loan A4 Germany Aster_A4g Luxembourg Ba3 No Senior Secured Loan No 51,479.56 EUR
Aster 1 SA - Term Loan B1 French Aster_B1F Luxembourg Ba3 No Senior Secured Loan No 15,587.72 EUR
Aster 1 SA - Term Loan B1 German Aster_B1G Luxembourg Ba3 No Senior Secured Loan No 264,441.70 EUR
Aster 1 SA - Term Loan B1 Italian Aster_B1it Luxembourg Ba3 No Senior Secured Loan No 150,270.88 EUR
Aster 1 SA - Term Loan B1 Spain Aster_B1sp Luxembourg Ba3 No Senior Secured Loan No 8,661.47 EUR
Aster 1 SA - Term Loan B1 UK Aster_B1uk Luxembourg Ba3 No Senior Secured Loan No 45,121.65 EUR
Aster 1 SA - Term Loan B2 Belgium Aster_B2B Luxembourg Ba3 No Senior Secured Loan No 531,355.90 EUR
Aster 1 SA - Term Loan B2 German Aster_B2G Luxembourg Ba3 No Senior Secured Loan No 101,116.51 EUR
Aster 1 SA - Term Loan B2 Netherlands Aster_B2N Luxembourg Ba3 No Senior Secured Loan No 86,897.22 EUR
Aster 1 SA - Term Loan B3 Aster_TLB3 Luxembourg Ba3 No Senior Secured Loan No 404,572.06 EUR
Aster 1 SA - Term Loan B4 Belgium Aster_B4B Luxembourg Ba3 No Senior Secured Loan No 13,397.65 EUR
Aster 1 SA - Term Loan B4 French Aster_B4F Luxembourg Ba3 No Senior Secured Loan No 430.08 EUR
Aster 1 SA - Term Loan B4 German Aster_B4G Luxembourg Ba3 No Senior Secured Loan No 10,533.88 EUR
Aster 1 SA - Term Loan B4 German Undrawn ASTER1_TLB4UD Luxembourg Ba3 No Senior Secured Loan No 12,288.04 EUR
Aster 1 SA - Term Loan B4 Netherlands Aster_B4N Luxembourg Ba3 No Senior Secured Loan No 2,280.57 EUR
Aster 1 SA - Term Loan B4 Spain Aster_B4S Luxembourg Ba3 No Senior Secured Loan No 238.97 EUR
Aster 1 SA - Term Loan B4 UK Aster_B4U Luxembourg Ba3 No Senior Secured Loan No 1,244.94 EUR
Aster 1 SA - Term Loan C1 French Aster_C1F Luxembourg Ba3 No Senior Secured Loan No 15,587.72 EUR
Aster 1 SA - Term Loan C1 German Aster_C1G Luxembourg Ba3 No Senior Secured Loan No 264,441.70 EUR
Aster 1 SA - Term Loan C1 Italian Aster_C1I Luxembourg Ba3 No Senior Secured Loan No 156,500.75 EUR
Aster 1 SA - Term Loan C1 Spain Aster_C1S Luxembourg Ba3 No Senior Secured Loan No 8,661.47 EUR
Aster 1 SA - Term Loan C1 UK Aster_C1uk Luxembourg Ba3 No Senior Secured Loan No 45,121.65 EUR
Aster 1 SA - Term Loan C2 Belgium Aster_C2B Luxembourg Ba3 No Senior Secured Loan No 531,355.90 EUR
Demeter Iberia
Demeter - Facility B DEMETERIB_FB Spain B1 No Senior Secured Loan No 1,500,000.00 EUR
Demeter - Facility C DEMETERIB_FC Spain B1 No Senior Secured Loan No 1,500,000.00 EUR
Escaline S.a.r.l
Escaline S.a.r.l - Term B Escaline_TermB Germany B2 No Senior Secured Loan No 1,503,773.95 EUR
Escaline S.a.r.l - Term C Escaline_TermC Germany B2 No Senior Secured Loan No 1,503,773.95 EUR
Ferretti S.P.A
Ferretti S.P.A - Mezzanine FerrettiSPA_Mezz Italy B1 No Senior Unsecured Loan Yes 1,000,000.00 EUR
Ferretti S.P.A - Tranche B Ferretti_TrB Italy B1 No Senior Secured Loan No 2,888,334.09 EUR
Ferretti S.P.A - Tranche C Ferretti_TrC Italy B1 No Senior Secured Loan No 2,888,334.09 EUR
Fives Lille
Fives - Term B Fives_TLB France B2 No Senior Secured Loan No 2,659,849.65 EUR
Fives - Term C Fives_TLC France B2 No Senior Secured Loan No 2,659,849.65 EUR
Fresenius
Fresenius SE - Additional Tranche B1 Euro Term Loan FreseniusSE_AddB1Euro Germany Ba1 No Senior Secured Loan No 1,000,000.00 EUR
HCA Inc
HCA Inc - Euro Term loan HCAInc_EuroTL United States B2 No Senior Secured Loan No 8,883,610.43 EUR
Materis SAS
Materis - Term B Materis France B2 No Senior Secured Loan No 1,491,359.81 EUR
Materis - Term C Mat_TLC France B2 No Senior Secured Loan No 1,491,359.81 EUR
MEP II S.a.r.l.
Cortefiel - Facility B1 CORTEFIEL_B1 Spain B3 No Senior Secured Loan No 2,859,901.10 EUR
Cortefiel - Facility B2 CORTEFIEL_B2 Spain B3 No Senior Secured Loan No 3,119,892.12 EUR
Cortefiel - Facility B3 CORTEFIEL_B3 Spain B3 No Senior Secured Loan No 5,000,000.00 EUR
Mobilserv Ltd
Mobilserv Ltd - Term B - Euro/Swap Mobilserv Ltd_TLB_SWAP United Kingdom B1 No Senior Secured Loan No 1,335,671.55 EUR
Mobilserv Ltd - Term C - Euro/Swap Mobilserv Ltd_TLC_SWAP United Kingdom B1 No Senior Secured Loan No 781,391.39 EUR
Opica AB
Capio - Second Lien Tr2 OPICAAB_SLT2 France B2 No Senior Unsecured Loan No 1,000,000.00 EUR
Capio - Term Loan B1 opica_tlb1 France B2 No Senior Secured Loan No 196,399.24 EUR
Capio - Term Loan B2 opica_tlb2 France B2 No Senior Secured Loan No 315,361.24 EUR
Capio - Term Loan B4 opica_tlb4 France B2 No Senior Secured Loan No 236,101.11 EUR
Capio - Term Loan C1 opica_tlc1 France B2 No Senior Secured Loan No 196,399.25 EUR
Capio - Term Loan C2 opica_tlc2 France B2 No Senior Secured Loan No 315,361.24 EUR
Capio - Term Loan C4 opica_tlc4 France B2 No Senior Secured Loan No 176,086.49 EUR
Pamplona PE Holdco 5 SA
PPE - Term B ppe_tb Spain Caa1 No Senior Secured Loan No 4,018,608.43 EUR
PPE - Term C ppe_tc Spain Caa1 No Senior Secured Loan No 1,569,017.30 EUR
Qidnax AB
Qidnax - Mezzanine Facility A - Eur/Swap Qidnax_MezzFacA_EurSwp_Halcyon2008 Sweden B2 No Senior Unsecured Loan Yes 1,311,351.94 EUR
Qidnax - Mezzanine Facility B Qidnax_Mezz B Sweden B2 No Senior Unsecured Loan Yes 1,917,168.50 EUR
Qidnax - Term Loan B2 LX070674 Sweden B2 No Senior Secured Loan No 1,676,663.38 EUR
Qidnax - Term Loan C2 Qidnax_TLC2 Sweden B2 No Senior Secured Loan No 1,676,663.38 EUR
Rank Holdings I SA
Rank Holdings I SA - Term Loan BI RankHold_TLBI Switzerland B1 No Senior Secured Loan No 1,179,422.50 EUR
Rank Holdings I SA - Term Loan BII RankHold_TLBII Switzerland B1 No Senior Secured Loan No 57,745.53 EUR
Rank Holdings I SA - Term Loan CI RankHold_TLCI Switzerland B1 No Senior Secured Loan No 1,237,168.03 EUR
Rotac Holding AB
Rotac Holding AB - Term Loan B1 Rotac_TLB1 Sweden B1 No Senior Secured Loan No 3,750,000.00 EUR
Rotac Holding AB - Term Loan C1 Rotac_TLC1 Sweden B1 No Senior Secured Loan No 3,456,521.74 EUR
Spinnaker Holdings
Spiinnaker - Tranche E1 Spinnaker_TE1 Spain Caa2 No Senior Secured Loan No 423,544.57 EUR
Spiinnaker - Tranche E2 Spinnaker_TE2 Spain Caa2 No Senior Secured Loan No 423,544.57 EUR
Spiinnaker - Tranche F1 Spinnaker_TrF1 Spain Caa2 No Senior Secured Loan No 3,989,591.20 EUR
Spiinnaker - Tranche F2 Spinnaker_TrF2 Spain Caa2 No Senior Secured Loan No 3,989,591.20 EUR
TDC A/S
Nordic Telephone Company Holding ApS. - Term B2 Nordic_B2 Denmark Ba3 No Senior Secured Loan No 4,467,835.34 EUR
Nordic Telephone Company Holding ApS. - Term C2 Nordic_C2 Denmark Ba3 No Senior Secured Loan No 4,786,546.13 EUR
Telenet Bidco NV
Telenet Bidco NV - Term Loan C Telenet-TLC- Belgium Ba3 No Senior Secured Loan No 2,000,000.00 EUR
United Biscuits
United Biscuits - Term B1 - Eur/Swap UnitedBiscuits_TB1_EurSwap_HSAM08 United Kingdom B1 No Senior Secured Loan No 6,269,000.00 EUR
UPC Financing
UPC Financing - Term Loan M UPC_TLM Netherlands B1 No Senior Secured Loan No 5,000,000.00 EUR
Vivarte
Vivarte - Term Loan B1 Vivarte_B France B2 No Senior Secured Loan No 3,750,000.00 EUR
Vivarte - Term Loan C1 Vivarte_C France B2 No Senior Secured Loan No 3,750,000.00 EUR
WAM Acquisition SA
WAM - Additional Term B1 WAMACQ_AB1 Spain B1 No Senior Secured Loan No 1,000,000.00 EUR
WAM - Additional Term C1 WAMACQ-AC1 Spain B1 No Senior Secured Loan No 1,000,000.00 EUR
WAM - Term Loan B1 WAM_B1 Spain B1 No Senior Secured Loan No 1,500,000.00 EUR
WAM - Term Loan B3 WAMACQ_TLB3 Spain B1 No Senior Secured Loan No 1,474,324.32 EUR
WAM - Term Loan B4 WAMACQ_TLB4 Spain B1 No Senior Secured Loan No 1,861,737.42 EUR
WAM - Term Loan C1 WAM_C1 Spain B1 No Senior Secured Loan No 1,500,000.00 EUR
WAM - Term Loan C3 WAMACQ_TLC3 Spain B1 No Senior Secured Loan No 1,474,324.32 EUR
WAM - Term Loan C4 WAMACQ_TLC4 Spain B1 No Senior Secured Loan No 1,861,737.32 EUR
YPSO Holding
YPSO Hold - B Acq 1 YPSO_B ACQ 1 France B1 No Senior Secured Loan No 864,300.36 EUR
YPSO Hold - B Acq 2 YPSO_B Acq 2 France B1 No Senior Secured Loan No 1,309,353.60 EUR
YPSO Hold - B Recap 1 YPSOHolding_TBRecap1 France B1 No Senior Secured Loan No 2,728,582.46 EUR
YPSO Hold - B Recap 2 YPSOHolding_TBRecap2 France B1 No Senior Secured Loan No 97,763.58 EUR
11-Feb-2009 Halcyon SAM European CLO 2008-I Securities that have Page 1
11:25:27 AM Scenario: Initial As of 31-Dec-2008 Method: Trade Date Page 148
Portfolio Assets - Interest Calculation Parameters
Aggregate Par Amount: 381,028,423.73 EUR
Fixed Rate Securities (excluding Defaults) 0.00 EUR
Floating Rate Securities (excluding Defaults) 381,028,423.73 EUR
Securities Paying Annually 0.00 EUR
Securities Paying Semi-Annually 96,089,069.47 EUR
Securities Paying Quarterly 88,297,267.61 EUR
Securities Paying Bi-Monthly 7,980,594.72 EUR
Securities Paying Monthly 202,781,328.89 EUR
Below listed as a %age of APA: 0.00 EUR
Fixed Rate Securities 0.0000%
Floating Rate Securities 100.0000%
Securities Paying Annually 0.0000%
Securities Paying Semi-Annually 25.2183%
Securities Paying Quarterly 23.1734%
Securities Paying Bi-Monthly 2.0945%
Securities Paying Monthly 53.2195%
Float
Bi-monthly CEVAGROUPPLC - Canadian Term Loan Louis_Candiantl Loan 1,217,254.04 EUR ACT/360 EURIBOR 6.8670% 3.0000% 36,517.62 EUR 83,588.83 EUR
Bi-monthly CEVAGROUPPLC - Dutch Term Loan Louis_Dutchtl Loan 1,098,247.30 EUR ACT/360 EURIBOR 6.8670% 3.0000% 32,947.42 EUR 75,416.64 EUR
Bi-monthly LOUISAUSTRALIAHOLDCOPTYLIMITED - Australian Term Loan Louis Oz Holdco TL Loan 611,740.30 EUR ACT/360 EURIBOR 6.8670% 3.0000% 18,352.21 EUR 42,008.21 EUR
Bi-monthly Rotac Holding AB - Term Loan B1 Rotac_TLB1 Loan 252,733.88 EUR ACT/360 EURIBOR 5.8263% 2.0000% 5,054.68 EUR 14,725.11 EUR
Bi-monthly Rotac Holding AB - Term Loan B1 Rotac_TLB1 Loan 546,968.59 EUR ACT/360 EURIBOR 5.8263% 2.0000% 10,939.37 EUR 31,868.19 EUR
Bi-monthly Rotac Holding AB - Term Loan B1 Rotac_TLB1 Loan 773,733.75 EUR ACT/360 EURIBOR 5.8263% 2.0000% 15,474.68 EUR 45,080.28 EUR
Bi-monthly Rotac Holding AB - Term Loan B1 Rotac_TLB1 Loan 2,176,563.79 EUR ACT/360 EURIBOR 5.8263% 2.0000% 43,531.28 EUR 126,813.79 EUR
Bi-monthly SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan 1,116,333.15 EUR ACT/360 EURIBOR 4.7410% 1.8750% 20,931.25 EUR 52,925.35 EUR
Bi-monthly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 187,019.93 EUR ACT/360 EURIBOR 4.9910% 2.1250% 3,974.17 EUR 9,334.16 EUR
Monthly Amsterdamse Beheer - Kabel - Term Loan B Amsterdamse_TLB (Kabelcom) Loan 4,086,753.73 EUR ACT/360 EURIBOR 5.1920% 2.5000% 102,168.84 EUR 212,184.25 EUR
Monthly Amsterdamse Beheer - Kabel - Term Loan C Amsterdamse_TLC (Kabelcom) Loan 4,086,753.73 EUR ACT/360 EURIBOR 5.6920% 3.0000% 122,602.61 EUR 232,618.02 EUR
Monthly Amsterdamse Beheer - Term B1 Amsterdam_B1 Loan 506,747.66 EUR ACT/360 EURIBOR 5.1920% 2.5000% 12,668.69 EUR 26,310.34 EUR
Monthly Amsterdamse Beheer - Term B2 Amsterdam_B2 Loan 256,498.61 EUR ACT/360 EURIBOR 5.1920% 2.5000% 6,412.47 EUR 13,317.41 EUR
Monthly Amsterdamse Beheer - Term C Amsterdam_TermC Loan 763,246.27 EUR ACT/360 EURIBOR 5.6920% 3.0000% 22,897.39 EUR 43,443.98 EUR
Monthly BCM Ireland Finance - Facility B BCM_B Loan 2,462,068.60 EUR ACT/360 EURIBOR 4.5670% 1.8750% 46,163.79 EUR 112,442.67 EUR
Monthly BCM Ireland Finance - Facility C BCM_C Loan 2,462,343.10 EUR ACT/360 EURIBOR 4.8170% 2.1250% 52,324.79 EUR 118,611.07 EUR
Monthly BCV Investments S.C.A - Second Lien BCV Investments_2ndLien Loan 4,500,000.00 EUR ACT/360 EURIBOR 6.9420% 4.2500% 191,250.00 EUR 312,390.00 EUR
Monthly BCV Investments S.C.A - Term B Euro BCV Investments_TB Euro Loan 485,743.86 EUR ACT/360 EURIBOR 4.8170% 2.1250% 10,322.06 EUR 23,398.28 EUR
Monthly BCV Investments S.C.A - Term B Euro BCV Investments_TB Euro Loan 1,753,669.05 EUR ACT/360 EURIBOR 4.8170% 2.1250% 37,265.47 EUR 84,474.24 EUR
Monthly BCV Investments S.C.A - Term C Euro BCV Investments_TC Euro Loan 485,743.86 EUR ACT/360 EURIBOR 5.4420% 2.7500% 13,357.96 EUR 26,434.18 EUR
Monthly BCV Investments S.C.A - Term C Euro BCV Investments_TC Euro Loan 1,753,669.05 EUR ACT/360 EURIBOR 5.4420% 2.7500% 48,225.90 EUR 95,434.67 EUR
Monthly CBRFASHIONGMBH - Term Loan B CBRFASHN_TLB Loan 1,875,000.00 EUR ACT/360 EURIBOR 4.8680% 2.1250% 39,843.75 EUR 91,275.00 EUR
Monthly CBRFASHIONGMBH - Term Loan C LX068781 Loan 1,725,000.00 EUR ACT/360 EURIBOR 5.1180% 2.3750% 40,968.75 EUR 88,285.50 EUR
Monthly Cortefiel - Facility B1 CORTEFIEL_B1 Loan 2,859,901.10 EUR ACT/360 EURIBOR 4.9420% 2.2500% 64,347.77 EUR 141,336.31 EUR
Monthly Cortefiel - Facility B2 CORTEFIEL_B2 Loan 3,119,892.12 EUR ACT/360 EURIBOR 4.9420% 2.2500% 70,197.57 EUR 154,185.07 EUR
Monthly Cortefiel - Facility B3 CORTEFIEL_B3 Loan 5,000,000.00 EUR ACT/360 EURIBOR 4.9420% 2.2500% 112,500.00 EUR 247,100.00 EUR
Monthly DSBG - Term B dsbg_tb Loan 1,375,000.00 EUR ACT/360 EURIBOR 5.5850% 2.2500% 30,937.50 EUR 76,793.75 EUR
Monthly DSBG - Term C dsbg_tc Loan 1,375,000.00 EUR ACT/360 EURIBOR 6.0850% 2.7500% 37,812.50 EUR 83,668.75 EUR
Monthly Elster - Term B1 ELSTERGRP_B1 Loan 1,802,099.05 EUR ACT/360 LIBOR 4.8700% 2.0000% 36,041.98 EUR 87,762.22 EUR
Monthly Elster - Term C1 ELSTERGRP_C1 Loan 1,802,099.05 EUR ACT/360 LIBOR 5.3700% 2.5000% 45,052.48 EUR 96,772.72 EUR
Monthly Elster - Term Loan B - Eur/Swap Elster_TLB_EurSwap_HSAM2008 Loan 457,418.82 EUR ACT/360 EURIBOR 4.3530% 1.4800% 6,769.80 EUR 19,911.44 EUR
Monthly Elster - Term Loan C - Eur/Swap Elster_TLC_EurSwap_HSAM2008 Loan 457,418.82 EUR ACT/360 EURIBOR 4.8330% 1.9600% 8,965.41 EUR 22,107.05 EUR
Monthly FCIINTLSAS - Term Loan B3b FCISA_TLB3B Loan 3,987,697.43 EUR ACT/360 EURIBOR 5.7100% 2.3750% 94,707.81 EUR 227,697.52 EUR
Monthly Ferretti S.P.A - Tranche C Ferretti_TrC Loan 2,888,334.09 EUR ACT/360 EURIBOR 5.6920% 3.0000% 86,650.02 EUR 164,403.98 EUR
Monthly Fives - Term B Fives_TLB Loan 2,659,849.65 EUR ACT/360 EURIBOR 4.6920% 2.0000% 53,196.99 EUR 124,800.15 EUR
Monthly Fives - Term C Fives_TLC Loan 2,659,849.65 EUR ACT/360 EURIBOR 5.4420% 2.7500% 73,145.87 EUR 144,749.02 EUR
Monthly Fresenius SE - Additional Tranche B1 Euro Term Loan FreseniusSE_AddB1Euro Loan 1,000,000.00 EUR ACT/360 EURIBOR 6.8750% 3.5000% 35,000.00 EUR 68,750.00 EUR
Monthly Holding - Additional HBI Facility B HOLDING-ADLFB Loan 4,546,969.70 EUR ACT/360 EURIBOR 4.5750% 2.0000% 90,939.39 EUR 208,023.86 EUR
Monthly Holding - Additional HBI Facility C HOLDING_ADLFC Loan 4,153,030.30 EUR ACT/360 EURIBOR 5.0750% 2.5000% 103,825.76 EUR 210,766.29 EUR
Monthly Holding - Term B1 HldgBercy_TLB1 Loan 1,500,000.00 EUR ACT/360 EURIBOR 4.5750% 2.0000% 30,000.00 EUR 68,625.00 EUR
Monthly Holding - Term C1 HldgBercy_TLC1 Loan 1,500,000.00 EUR ACT/360 EURIBOR 5.0750% 2.5000% 37,500.00 EUR 76,125.00 EUR
Monthly Macq UK Broadcast Ent Ltd - Junior Term Loan - Eur/Swap MacqEnterpise_JuniorTLSwap_HSAM2008 Loan 3,631,289.88 EUR ACT/360 EURIBOR 6.2720% 3.5800% 130,000.18 EUR 227,754.50 EUR
Monthly MacQuarie - Facility A2 - Eur/Swap MAcQBroadcast_A2Swap_HSAM2008 Loan 4,885,089.00 EUR ACT/360 EURIBOR 4.3320% 1.6400% 80,115.46 EUR 211,622.06 EUR
Monthly Materis - Term B Materis Loan 1,491,359.81 EUR ACT/360 EURIBOR 5.0670% 2.3750% 35,419.80 EUR 75,567.20 EUR
Monthly Materis - Term C Mat_TLC Loan 1,491,359.81 EUR ACT/360 EURIBOR 5.4420% 2.7500% 41,012.39 EUR 81,159.80 EUR
Monthly Mobilserv Ltd - Term B - Euro/Swap Mobilserv Ltd_TLB_SWAP Loan 1,335,671.55 EUR ACT/360 EURIBOR 4.7430% 2.0000% 26,713.43 EUR 63,350.90 EUR
Monthly Mobilserv Ltd - Term C - Euro/Swap Mobilserv Ltd_TLC_SWAP Loan 781,391.39 EUR ACT/360 EURIBOR 5.2630% 2.5200% 19,691.06 EUR 41,124.63 EUR
Monthly MONTJEUBIDCOLTD - Facility B - Eur/Swap MontBidco_FacB_eurSwap_HSAM08 Loan 2,821,050.00 EUR ACT/360 EURIBOR 5.5080% 1.9850% 55,997.84 EUR 155,383.43 EUR
Monthly MONTJEUBIDCOLTD - Facility C - Eur/Swap MontBidco_FacC_EurSwap_HSAM08 Loan 2,821,050.00 EUR ACT/360 EURIBOR 5.9880% 2.4650% 69,538.88 EUR 168,924.47 EUR
Monthly Neggio Holdings 3 GmbH - Facility B2 Negg_FacB2 Loan 1,250,000.00 EUR ACT/360 EURIBOR 4.7430% 2.0000% 25,000.00 EUR 59,287.50 EUR
Monthly Neggio Holdings 3 GmbH - Facility C2 Negg_FacC2 Loan 1,250,000.00 EUR ACT/360 EURIBOR 5.2430% 2.5000% 31,250.00 EUR 65,537.50 EUR
Monthly Neggio Holdings 3 GmbH - Term Loan B Neggio_TLB Loan 253,178.49 EUR ACT/360 EURIBOR 4.7430% 2.0000% 5,063.57 EUR 12,008.26 EUR
Monthly Neggio Holdings 3 GmbH - Term Loan B Neggio_TLB Loan 652,545.13 EUR ACT/360 EURIBOR 4.7430% 2.0000% 13,050.90 EUR 30,950.22 EUR
Monthly Neggio Holdings 3 GmbH - Term Loan B Neggio_TLB Loan 1,228,995.06 EUR ACT/360 EURIBOR 4.7430% 2.0000% 24,579.90 EUR 58,291.24 EUR
Monthly Neggio Holdings 3 GmbH - Term Loan B Neggio_TLB Loan 1,465,281.32 EUR ACT/360 EURIBOR 4.7430% 2.0000% 29,305.63 EUR 69,498.29 EUR
Monthly Neggio Holdings 3 GmbH - Term Loan C Neggio_TLC Loan 273,744.00 EUR ACT/360 EURIBOR 5.2430% 2.5000% 6,843.60 EUR 14,352.40 EUR
Monthly Neggio Holdings 3 GmbH - Term Loan C Neggio_TLC Loan 705,550.91 EUR ACT/360 EURIBOR 5.2430% 2.5000% 17,638.77 EUR 36,992.03 EUR
Monthly Neggio Holdings 3 GmbH - Term Loan C Neggio_TLC Loan 1,291,879.65 EUR ACT/360 EURIBOR 5.2430% 2.5000% 32,296.99 EUR 67,733.25 EUR
Monthly Neggio Holdings 3 GmbH - Term Loan C Neggio_TLC Loan 1,328,825.44 EUR ACT/360 EURIBOR 5.2430% 2.5000% 33,220.64 EUR 69,670.32 EUR
Monthly Nocibe - Additional Term B1 Groupe Nocibe_AddTB1 Loan 3,598,432.52 EUR ACT/360 EURIBOR 4.9420% 2.2500% 80,964.73 EUR 177,834.54 EUR
Monthly Nocibe - Additional Term B2 Groupe Nocibe_AddTB2 Loan 569,563.63 EUR ACT/360 EURIBOR 4.9420% 2.2500% 12,815.18 EUR 28,147.83 EUR
Monthly Nocibe - Additional Term C1 Groupe Nocibe_AddTC1 Loan 3,598,432.52 EUR ACT/360 EURIBOR 5.3170% 2.6250% 94,458.85 EUR 191,328.66 EUR
Monthly Nocibe - Additional Term C2 Groupe Nocibe_AddTC2 Loan 569,563.63 EUR ACT/360 EURIBOR 5.3170% 2.6250% 14,951.05 EUR 30,283.70 EUR
Monthly Nordic Telephone Company Holding ApS. - Term B2 Nordic_B2 Loan 4,467,835.34 EUR ACT/360 EURIBOR 5.4490% 1.8750% 83,771.91 EUR 243,452.35 EUR
Monthly Nordic Telephone Company Holding ApS. - Term C2 Nordic_C2 Loan 4,786,546.13 EUR ACT/360 EURIBOR 5.6990% 2.1250% 101,714.11 EUR 272,785.26 EUR
Monthly Orangina - Facility B5a BlackL_TLB5a Loan 4,296,875.00 EUR ACT/360 EURIBOR 4.8987% 2.1250% 91,308.59 EUR 210,491.02 EUR
Monthly Orangina - Facility B5b BlackL_TLB5b Loan 703,125.00 EUR ACT/360 EURIBOR 4.8987% 2.1250% 14,941.41 EUR 34,443.98 EUR
Monthly Pages Jaunes Group S.A - Term A PagesJaunes_TermA Loan 3,000,000.00 EUR ACT/360 EURIBOR 4.5200% 1.5000% 45,000.00 EUR 135,600.00 EUR
Monthly Project Alpha III - Term B3 ProjectAlpha_B3 Loan 7,500,000.00 EUR ACT/360 EURIBOR 4.9420% 2.2500% 168,750.00 EUR 370,650.00 EUR
Monthly Rank Holdings I SA - Term Loan BI RankHold_TLBI Loan 538,386.93 EUR ACT/360 EURIBOR 5.3540% 2.2500% 12,113.71 EUR 28,825.24 EUR
Monthly Rank Holdings I SA - Term Loan BI RankHold_TLBI Loan 641,035.57 EUR ACT/360 EURIBOR 5.3540% 2.2500% 14,423.30 EUR 34,321.04 EUR
Monthly Rank Holdings I SA - Term Loan BII RankHold_TLBII Loan 57,745.53 EUR ACT/360 EURIBOR 5.3540% 2.2500% 1,299.27 EUR 3,091.70 EUR
Monthly Rank Holdings I SA - Term Loan CI RankHold_TLCI Loan 134,770.01 EUR ACT/360 EURIBOR 5.6040% 2.5000% 3,369.25 EUR 7,552.51 EUR
Monthly Rank Holdings I SA - Term Loan CI RankHold_TLCI Loan 139,307.25 EUR ACT/360 EURIBOR 5.6040% 2.5000% 3,482.68 EUR 7,806.78 EUR
Monthly Rank Holdings I SA - Term Loan CI RankHold_TLCI Loan 262,633.06 EUR ACT/360 EURIBOR 5.6040% 2.5000% 6,565.83 EUR 14,717.96 EUR
Monthly Rank Holdings I SA - Term Loan CI RankHold_TLCI Loan 700,457.71 EUR ACT/360 EURIBOR 5.6040% 2.5000% 17,511.44 EUR 39,253.65 EUR
Monthly Rotac Holding AB - Term Loan C1 Rotac_TLC1 Loan 1,026,467.63 EUR ACT/360 EURIBOR 4.9610% 2.2500% 23,095.52 EUR 50,923.06 EUR
Monthly Rotac Holding AB - Term Loan C1 Rotac_TLC1 Loan 2,430,054.11 EUR ACT/360 EURIBOR 4.9610% 2.2500% 54,676.22 EUR 120,554.98 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan 55,816.54 EUR ACT/360 EURIBOR 4.7170% 1.8750% 1,046.56 EUR 2,632.87 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan 62,138.25 EUR ACT/360 EURIBOR 4.8290% 1.8750% 1,165.09 EUR 3,000.66 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan 143,496.16 EUR ACT/360 EURIBOR 4.7170% 1.8750% 2,690.55 EUR 6,768.71 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan 211,346.86 EUR ACT/360 EURIBOR 4.8290% 1.8750% 3,962.75 EUR 10,205.94 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan 373,908.23 EUR ACT/360 EURIBOR 4.6180% 1.8750% 7,010.78 EUR 17,267.08 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 24,737.14 EUR ACT/360 EURIBOR 4.9670% 2.1250% 525.66 EUR 1,228.69 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 62,089.77 EUR ACT/360 EURIBOR 4.9670% 2.1250% 1,319.41 EUR 3,084.00 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 74,807.94 EUR ACT/360 EURIBOR 4.8170% 2.1250% 1,589.67 EUR 3,603.50 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 142,655.47 EUR ACT/360 EURIBOR 4.9670% 2.1250% 3,031.43 EUR 7,085.70 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 186,862.37 EUR ACT/360 EURIBOR 5.7350% 2.1250% 3,970.83 EUR 10,716.56 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 187,633.12 EUR ACT/360 EURIBOR 5.2820% 2.1250% 3,987.20 EUR 9,910.78 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 224,424.09 EUR ACT/360 EURIBOR 4.8170% 2.1250% 4,769.01 EUR 10,810.51 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 375,266.23 EUR ACT/360 EURIBOR 5.1450% 2.1250% 7,974.41 EUR 19,307.45 EUR
Monthly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 878,996.59 EUR ACT/360 EURIBOR 4.9670% 2.1250% 18,678.68 EUR 43,659.76 EUR
Monthly Springer Science - Term Loan B1 Springer_TB1 Loan 937,634.35 EUR ACT/360 Euribor 5.0680% 2.3750% 22,268.82 EUR 47,519.31 EUR
Monthly Springer Science - Term Loan C1 Springer_C1 Loan 808,316.40 EUR ACT/360 Euribor 5.4430% 2.7500% 22,228.70 EUR 43,996.66 EUR
Monthly Springer Science - Term Loan E1 Springer_E1 Loan 1,163,963.79 EUR ACT/360 Euribor 5.4430% 2.7500% 32,009.00 EUR 63,354.55 EUR
Monthly Telenet Bidco NV - Term Loan C Telenet-TLC- Loan 2,000,000.00 EUR ACT/360 EURIBOR 5.4420% 2.7500% 55,000.00 EUR 108,840.00 EUR
Monthly TYROLACQUISITION2SAS - Second Lien TYROLACQ2_2L Loan 1,750,000.00 EUR ACT/360 EURIBOR 5.9420% 3.2500% 56,875.00 EUR 103,985.00 EUR
Monthly TYROLACQUISITION2SAS - Term B TYROLACQ2_TB Loan 5,000,000.00 EUR ACT/360 EURIBOR 4.6920% 2.0000% 100,000.00 EUR 234,600.00 EUR
Monthly United Biscuits - Term B1 - Eur/Swap UnitedBiscuits_TB1_EurSwap_HSAM08 Loan 2,586,503.35 EUR ACT/360 EURIBOR 4.8920% 2.1200% 54,833.87 EUR 126,531.74 EUR
Monthly UPC Financing - Term Loan M UPC_TLM Loan 5,000,000.00 EUR ACT/360 EURIBOR 5.6117% 2.0000% 100,000.00 EUR 280,585.00 EUR
Monthly Vivarte - Term Loan B1 Vivarte_B Loan 3,750,000.00 EUR ACT/360 EURIBOR 5.1570% 2.0000% 75,000.00 EUR 193,387.50 EUR
Monthly Vivarte - Term Loan C1 Vivarte_C Loan 3,750,000.00 EUR ACT/360 EURIBOR 5.6570% 2.5000% 93,750.00 EUR 212,137.50 EUR
Monthly WAM - Additional Term B1 WAMACQ_AB1 Loan 1,000,000.00 EUR ACT/360 LIBOR 5.5247% 2.0000% 20,000.00 EUR 55,247.00 EUR
Monthly WAM - Additional Term C1 WAMACQ-AC1 Loan 1,000,000.00 EUR ACT/360 LIBOR 6.0247% 2.5000% 25,000.00 EUR 60,247.00 EUR
Monthly WAM - Term Loan B1 WAM_B1 Loan 1,500,000.00 EUR ACT/360 Euribor 5.5247% 2.0000% 30,000.00 EUR 82,870.50 EUR
Monthly WAM - Term Loan B3 WAMACQ_TLB3 Loan 1,474,324.32 EUR ACT/360 EURIBOR 5.5247% 2.0000% 29,486.49 EUR 81,452.00 EUR
Monthly WAM - Term Loan B4 WAMACQ_TLB4 Loan 1,861,737.42 EUR ACT/360 EURIBOR 5.5247% 2.0000% 37,234.75 EUR 102,855.41 EUR
Monthly WAM - Term Loan C1 WAM_C1 Loan 1,500,000.00 EUR ACT/360 Euribor 6.0247% 2.5000% 37,500.00 EUR 90,370.50 EUR
Monthly WAM - Term Loan C3 WAMACQ_TLC3 Loan 1,474,324.32 EUR ACT/360 EURIBOR 6.0247% 2.5000% 36,858.11 EUR 88,823.62 EUR
Monthly WAM - Term Loan C4 WAMACQ_TLC4 Loan 1,861,737.32 EUR ACT/360 EURIBOR 6.0247% 2.5000% 46,543.43 EUR 112,164.09 EUR
Monthly Xstrata - Tranche B1 Fin Spie_TLB Loan 2,058,626.27 EUR ACT/360 EURIBOR 4.9610% 2.2500% 46,319.09 EUR 102,128.45 EUR
Monthly Xstrata - Tranche B3 Fin Spie_TLB3 Loan 2,058,626.27 EUR ACT/360 EURIBOR 4.9610% 2.2500% 46,319.09 EUR 102,128.45 EUR
Monthly Yellow Brick Road - Term Loan B2 YBR_B2 Loan 910,346.00 EUR ACT/360 EURIBOR 5.1931% 2.5000% 22,758.65 EUR 47,275.18 EUR
Monthly Yellow Brick Road - Term Loan C2 YBR_C2 Loan 629,020.02 EUR ACT/360 EURIBOR 5.6931% 3.0000% 18,870.60 EUR 35,810.74 EUR
Monthly Yellow Brick Road - Tranche B YBR_TLB Loan 1,298,799.67 EUR ACT/360 Euribor 5.1931% 2.5000% 32,469.99 EUR 67,447.97 EUR
Monthly Yellow Brick Road - Tranche B YBR_TLB Loan 1,563,983.68 EUR ACT/360 Euribor 5.1931% 2.5000% 39,099.59 EUR 81,219.24 EUR
Monthly Yellow Brick Road - Tranche C YBR_TLC Loan 452,309.35 EUR ACT/360 Euribor 5.6931% 3.0000% 13,569.28 EUR 25,750.42 EUR
Monthly Yellow Brick Road - Tranche C YBR_TLC Loan 3,178,907.30 EUR ACT/360 Euribor 5.6931% 3.0000% 95,367.22 EUR 180,978.37 EUR
Monthly YPSO Hold - B Acq 1 YPSO_B ACQ 1 Loan 864,300.36 EUR ACT/360 EURIBOR 5.1920% 2.5000% 21,607.51 EUR 44,874.47 EUR
Monthly YPSO Hold - B Acq 2 YPSO_B Acq 2 Loan 1,309,353.60 EUR ACT/360 EURIBOR 5.1920% 2.5000% 32,733.84 EUR 67,981.64 EUR
Monthly YPSO Hold - B Recap 1 YPSOHolding_TBRecap1 Loan 2,728,582.46 EUR ACT/360 EURIBOR 5.1920% 2.5000% 68,214.56 EUR 141,668.00 EUR
Monthly YPSO Hold - B Recap 2 YPSOHolding_TBRecap2 Loan 97,763.58 EUR ACT/360 EURIBOR 5.1920% 2.5000% 2,444.09 EUR 5,075.89 EUR
Monthly YPSO Hold - C Acq Ypso_CAcq Loan 1,390,000.00 EUR ACT/360 EURIBOR 5.4420% 2.7500% 38,225.00 EUR 75,643.80 EUR
Monthly YPSO Hold - C Recap Ypso_CRecap Loan 2,610,000.00 EUR ACT/360 EURIBOR 5.4420% 2.7500% 71,775.00 EUR 142,036.20 EUR
Quarterly AVR Acquisitions - Term B3A avr_b3a Loan 4,710,694.49 EUR ACT/360 EURIBOR 5.2230% 2.2500% 105,990.63 EUR 246,039.57 EUR
Quarterly AVR Acquisitions - Term B3B avr_b3b Loan 143,866.91 EUR ACT/360 EURIBOR 5.2230% 2.2500% 3,237.01 EUR 7,514.17 EUR
Quarterly AVR Acquisitions - Term B3C avr_b3c Loan 142,801.63 EUR ACT/360 EURIBOR 5.2230% 2.2500% 3,213.04 EUR 7,458.53 EUR
Quarterly AVR Acquisitions - Term B3C avr_b3c Loan 246,442.86 EUR ACT/360 EURIBOR 5.2230% 2.2500% 5,544.96 EUR 12,871.71 EUR
Quarterly AVR Acquisitions - Term B3D AVR_TL_B3D Loan 457,566.97 EUR ACT/360 EURIBOR 5.2230% 2.2500% 10,295.26 EUR 23,898.72 EUR
Quarterly AVR Acquisitions - Term Loan B AVR_TLB Loan 213,859.42 EUR ACT/360 EURIBOR 5.2230% 2.2500% 4,811.84 EUR 11,169.88 EUR
Quarterly AVR Acquisitions - Term Loan B AVR_TLB Loan 665,064.73 EUR ACT/360 EURIBOR 5.2230% 2.2500% 14,963.96 EUR 34,736.33 EUR
Quarterly AVR Acquisitions - Term Loan C AVR_TLC Loan 3,180,297.00 EUR ACT/360 EURIBOR 5.4730% 2.5000% 79,507.43 EUR 174,057.65 EUR
Quarterly BRENNTAGFINANCECOIISARL - Acquisition Facility 2 BRENNTAGF_AF2 Loan 280,771.41 EUR ACT/360 EURIBOR 7.1360% 2.0000% 5,615.43 EUR 20,035.85 EUR
Quarterly BRENNTAGHOLDINGSNVNETH - Acquisition Facility 2 BRENTGH_ACQF2 Loan 1,131,593.88 EUR ACT/360 EURIBOR 7.1360% 2.0000% 22,631.88 EUR 80,750.54 EUR
Quarterly Capio - Second Lien Tr2 OPICAAB_SLT2 Loan 1,000,000.00 EUR ACT/360 EURIBOR 8.9148% 4.0000% 40,000.00 EUR 89,147.90 EUR
Quarterly Capio - Term Loan B1 opica_tlb1 Loan 196,399.24 EUR ACT/360 EURIBOR 7.1648% 2.2500% 4,418.98 EUR 14,071.59 EUR
Quarterly Capio - Term Loan B2 opica_tlb2 Loan 315,361.24 EUR ACT/360 EURIBOR 7.1648% 2.2500% 7,095.63 EUR 22,594.97 EUR
Quarterly Capio - Term Loan B4 opica_tlb4 Loan 236,101.11 EUR ACT/360 EURIBOR 7.1648% 2.2500% 5,312.27 EUR 16,916.15 EUR
Quarterly Capio - Term Loan C1 opica_tlc1 Loan 196,399.25 EUR ACT/360 EURIBOR 7.2898% 2.3750% 4,664.48 EUR 14,317.09 EUR
Quarterly Capio - Term Loan C2 opica_tlc2 Loan 315,361.24 EUR ACT/360 EURIBOR 7.2898% 2.3750% 7,489.83 EUR 22,989.17 EUR
Quarterly Capio - Term Loan C4 opica_tlc4 Loan 176,086.49 EUR ACT/360 EURIBOR 7.2898% 2.3750% 4,182.05 EUR 12,836.34 EUR
Quarterly CEVAGROUPPLC - EURO pre-funded LC facility Lous_LC Loan 1,065,290.91 EUR ACT/360 LOC 5.9730% 5.9730% 63,629.83 EUR 63,629.83 EUR
Quarterly COGNIS - Term A COGNIS&MACANY_TLA Loan 982,367.86 EUR ACT/360 EURIBOR 5.3290% 2.0000% 19,647.36 EUR 52,350.38 EUR
Quarterly COGNIS - Term B COGNIS&MACANY_TLB Loan 3,017,632.14 EUR ACT/360 EURIBOR 5.3290% 2.0000% 60,352.64 EUR 160,809.62 EUR
Quarterly Financiere Truck - Term Loan - Euro FinanciereTruck_TLEUR Loan 3,340,369.24 EUR ACT/360 EURIBOR 5.7837% 2.5000% 83,509.23 EUR 193,196.94 EUR
Quarterly HCA Inc - Euro Term loan HCAInc_EuroTL Loan 8,883,610.43 EUR ACT/360 EURIBOR 4.9644% 2.0000% 177,672.21 EUR 441,016.18 EUR
Quarterly HEXIONSPECIALTYCHEMICALS - Tranche C-6 Term Loan Hexion_C-6 Loan 2,969,327.02 EUR ACT/360 EURIBOR 4.9420% 2.2500% 66,809.86 EUR 146,744.14 EUR
Quarterly ISSHOLDA/S - Term Loan D ISS_TL D Loan 4,000,000.00 EUR ACT/360 EURIBOR 6.9930% 3.7500% 150,000.00 EUR 279,720.00 EUR
Quarterly Lavena - Mezzanine Lavena_Mezz Loan 1,114.76 EUR ACT/360 EURIBOR 8.8733% 3.5000% 39.02 EUR 98.92 EUR
Quarterly PFCAPITALSARL - Term Loan B1a PFCAPITL_TB1A Loan 826,993.35 EUR ACT/360 EURIBOR 5.6567% 2.5000% 20,674.83 EUR 46,780.53 EUR
Quarterly PFCAPITALSARL - Term Loan B1c PFCAPTL_B1C Loan 257,163.88 EUR ACT/360 EURIBOR 5.6567% 2.5000% 6,429.10 EUR 14,546.99 EUR
Quarterly PFCAPITALSARL - Term Loan B1e PFCAPTL_TB1E Loan 495,075.39 EUR ACT/360 EURIBOR 5.6567% 2.5000% 12,376.88 EUR 28,004.93 EUR
Quarterly PFCAPITALSARL - Term Loan B1f PFCAPTL_TLB1F Loan 397,401.72 EUR ACT/360 EURIBOR 5.6567% 2.5000% 9,935.04 EUR 22,479.82 EUR
Quarterly PFCAPITALSARL - Term Loan C1 PFCAPITL_TLC1 Loan 373,688.57 EUR ACT/360 EURIBOR 6.1567% 3.0000% 11,210.66 EUR 23,006.88 EUR
Quarterly PFCAPITALSARL - Term Loan C2 PFCAPTL_TC2 Loan 138,830.41 EUR ACT/360 EURIBOR 6.1567% 3.0000% 4,164.91 EUR 8,547.37 EUR
Quarterly PFCAPITALSARL - Term Loan C3 PFCAPITL_TLC3 Loan 288,292.88 EUR ACT/360 EURIBOR 6.1567% 3.0000% 8,648.79 EUR 17,749.33 EUR
Quarterly PFCAPITALSARL - Term Loan C4 PFCAPITL_TLC4 Loan 1,174,226.77 EUR ACT/360 EURIBOR 6.1567% 3.0000% 35,226.80 EUR 72,293.62 EUR
Quarterly PFCAPITALSARL - Term Loan D PFCAPITL_TLD Loan 2,000,000.00 EUR ACT/360 EURIBOR 7.6567% 4.5000% 90,000.00 EUR 153,134.00 EUR
Quarterly PPE - Term B ppe_tb Loan 4,018,608.43 EUR ACT/360 EURIBOR 6.1510% 2.2500% 90,418.69 EUR 247,184.60 EUR
Quarterly PPE - Term C ppe_tc Loan 1,569,017.30 EUR ACT/360 EURIBOR 6.6510% 2.7500% 43,147.98 EUR 104,355.34 EUR
Quarterly SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan 73,222.09 EUR ACT/360 EURIBOR 7.2200% 1.8750% 1,372.91 EUR 5,286.63 EUR
Quarterly SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan 338,308.89 EUR ACT/360 EURIBOR 5.0300% 1.8750% 6,343.29 EUR 17,016.94 EUR
Quarterly SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan 377,446.31 EUR ACT/360 EURIBOR 5.0300% 1.8750% 7,077.12 EUR 18,985.55 EUR
Quarterly SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan 561,928.05 EUR ACT/360 EURIBOR 7.2200% 1.8750% 10,536.15 EUR 40,571.21 EUR
Quarterly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 70,699.63 EUR ACT/360 EURIBOR 7.4700% 2.1250% 1,502.37 EUR 5,281.26 EUR
Quarterly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 334,327.41 EUR ACT/360 EURIBOR 5.2800% 2.1250% 7,104.46 EUR 17,652.49 EUR
Quarterly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 372,787.53 EUR ACT/360 EURIBOR 7.4430% 2.1250% 7,921.74 EUR 27,746.58 EUR
Quarterly SMURFITKAPPAACQUISITIONS - Term Loan C1 - Euro SMRFKP_TC1EUR Loan 377,692.78 EUR ACT/360 EURIBOR 5.2800% 2.1250% 8,025.97 EUR 19,942.18 EUR
Quarterly Spiinnaker - Tranche E1 Spinnaker_TE1 Loan 423,544.57 EUR ACT/360 EURIBOR 8.1050% 2.7500% 11,647.48 EUR 34,328.29 EUR
Quarterly Spiinnaker - Tranche E2 Spinnaker_TE2 Loan 423,544.57 EUR ACT/360 EURIBOR 8.6050% 3.2500% 13,765.20 EUR 36,446.01 EUR
Quarterly Spiinnaker - Tranche F1 Spinnaker_TrF1 Loan 3,989,591.20 EUR ACT/360 EURIBOR 8.1050% 2.7500% 109,713.76 EUR 323,356.37 EUR
Quarterly Spiinnaker - Tranche F2 Spinnaker_TrF2 Loan 3,989,591.20 EUR ACT/360 EURIBOR 8.6050% 3.2500% 129,661.71 EUR 343,304.32 EUR
Quarterly SUNGARDDATASYSINC - Incremental Term Loan - Euro Swap Sungard_INC_SWAP Loan 2,152,206.00 EUR ACT/360 EURIBOR 4.8020% 1.7500% 37,663.61 EUR 103,348.93 EUR
Quarterly Trader Media Corp - Facility B - Eur/Swao TraderMedia_BSwap_HSAM2008 Loan 6,165,561.50 EUR ACT/360 EURIBOR 6.8500% 1.7600% 108,513.88 EUR 422,340.96 EUR
Quarterly World Directories Acquisition Corp. - Facility 1 wdac_facility1 Loan 7,000,000.00 EUR ACT/360 EURIBOR 5.6527% 1.7500% 122,500.00 EUR 395,689.00 EUR
Semi-Annual ADI Finance 2 Ltd - Subordinated Term Loan - Eur/Swap ADIFinance_SubTL_EurSwp_HSAM2008-1 Loan 7,839,647.44 EUR ACT/360 EURIBOR 8.7200% 3.5800% 280,659.38 EUR 683,617.26 EUR
Semi-Annual Aster 1 SA - Term Loan A1 Germany Aster_A1g Loan 1,005,778.26 EUR ACT/360 EURIBOR6 5.2887% 2.2500% 22,630.01 EUR 53,192.59 EUR
Semi-Annual Aster 1 SA - Term Loan A2 Brussels Aster_A2b Loan 622,243.33 EUR ACT/360 EURIBOR6 5.2887% 2.2500% 14,000.47 EUR 32,908.58 EUR
Semi-Annual Aster 1 SA - Term Loan A3 Aster_A3 Loan 232,257.29 EUR ACT/360 EURIBOR6 5.2887% 2.2500% 5,225.79 EUR 12,283.39 EUR
Semi-Annual Aster 1 SA - Term Loan A4 Brussels Aster_A4b Loan 1,076.81 EUR ACT/360 EURIBOR6 5.2887% 2.2500% 24.23 EUR 56.95 EUR
Semi-Annual Aster 1 SA - Term Loan A4 Germany Aster_A4g Loan 3,707.51 EUR ACT/360 EURIBOR6 5.2887% 2.2500% 83.42 EUR 196.08 EUR
Semi-Annual Aster 1 SA - Term Loan A4 Germany Aster_A4g Loan 47,772.05 EUR ACT/360 EURIBOR6 5.2887% 2.2500% 1,074.87 EUR 2,526.52 EUR
Semi-Annual Aster 1 SA - Term Loan B1 French Aster_B1F Loan 3,241.87 EUR ACT/360 Euribor 7.5417% 2.2500% 72.94 EUR 244.49 EUR
Semi-Annual Aster 1 SA - Term Loan B1 French Aster_B1F Loan 12,345.85 EUR ACT/360 Euribor 7.5417% 2.2500% 277.78 EUR 931.09 EUR
Semi-Annual Aster 1 SA - Term Loan B1 German Aster_B1G Loan 57,531.99 EUR ACT/360 Euribor 7.5417% 2.2500% 1,294.47 EUR 4,338.89 EUR
Semi-Annual Aster 1 SA - Term Loan B1 German Aster_B1G Loan 206,909.71 EUR ACT/360 Euribor 7.5417% 2.2500% 4,655.47 EUR 15,604.51 EUR
Semi-Annual Aster 1 SA - Term Loan B1 Italian Aster_B1it Loan 150,270.88 EUR ACT/360 EURIBOR 7.5417% 2.2500% 3,381.09 EUR 11,332.98 EUR
Semi-Annual Aster 1 SA - Term Loan B1 Spain Aster_B1sp Loan 1,980.53 EUR ACT/360 EURIBOR 7.5417% 2.2500% 44.56 EUR 149.37 EUR
Semi-Annual Aster 1 SA - Term Loan B1 Spain Aster_B1sp Loan 6,680.94 EUR ACT/360 EURIBOR 7.5417% 2.2500% 150.32 EUR 503.86 EUR
Semi-Annual Aster 1 SA - Term Loan B1 UK Aster_B1uk Loan 45,121.65 EUR ACT/360 EURIBOR 7.5417% 2.2500% 1,015.24 EUR 3,402.94 EUR
Semi-Annual Aster 1 SA - Term Loan B2 Belgium Aster_B2B Loan 531,355.90 EUR ACT/360 Euribor 7.5417% 2.2500% 11,955.51 EUR 40,073.27 EUR
Semi-Annual Aster 1 SA - Term Loan B2 German Aster_B2G Loan 101,116.51 EUR ACT/360 Euribor 7.5417% 2.2500% 2,275.12 EUR 7,625.90 EUR
Semi-Annual Aster 1 SA - Term Loan B2 Netherlands Aster_B2N Loan 86,897.22 EUR ACT/360 Euribor 7.5417% 2.2500% 1,955.19 EUR 6,553.53 EUR
Semi-Annual Aster 1 SA - Term Loan B3 Aster_TLB3 Loan 404,572.06 EUR ACT/360 EURIBOR 7.5417% 2.2500% 9,102.87 EUR 30,511.61 EUR
Semi-Annual Aster 1 SA - Term Loan B4 Belgium Aster_B4B Loan 13,397.65 EUR ACT/360 Euribor 7.5417% 2.2500% 301.45 EUR 1,010.41 EUR
Semi-Annual Aster 1 SA - Term Loan B4 French Aster_B4F Loan 89.46 EUR ACT/360 Euribor 7.5417% 2.2500% 2.01 EUR 6.75 EUR
Semi-Annual Aster 1 SA - Term Loan B4 French Aster_B4F Loan 340.62 EUR ACT/360 Euribor 7.5417% 2.2500% 7.66 EUR 25.69 EUR
Semi-Annual Aster 1 SA - Term Loan B4 German Aster_B4G Loan 4,137.06 EUR ACT/360 Euribor 7.5417% 2.2500% 93.08 EUR 312.00 EUR
Semi-Annual Aster 1 SA - Term Loan B4 German Aster_B4G Loan 6,396.82 EUR ACT/360 Euribor 7.5417% 2.2500% 143.93 EUR 482.43 EUR
Semi-Annual Aster 1 SA - Term Loan B4 German Undrawn ASTER1_TLB4UD Loan 12,288.04 EUR ACT/360 EURIBOR 7.5417% 2.2500% 276.48 EUR 926.73 EUR
Semi-Annual Aster 1 SA - Term Loan B4 Netherlands Aster_B4N Loan 2,280.57 EUR ACT/360 Euribor 7.5417% 2.2500% 51.31 EUR 171.99 EUR
Semi-Annual Aster 1 SA - Term Loan B4 Spain Aster_B4S Loan 238.97 EUR ACT/360 Euribor 7.5417% 2.2500% 5.38 EUR 18.02 EUR
Semi-Annual Aster 1 SA - Term Loan B4 UK Aster_B4U Loan 1,244.94 EUR ACT/360 Euribor 7.5417% 2.2500% 28.01 EUR 93.89 EUR
Semi-Annual Aster 1 SA - Term Loan C1 French Aster_C1F Loan 3,241.89 EUR ACT/360 Euribor 7.5417% 2.2500% 72.94 EUR 244.49 EUR
Semi-Annual Aster 1 SA - Term Loan C1 French Aster_C1F Loan 12,345.83 EUR ACT/360 Euribor 7.5417% 2.2500% 277.78 EUR 931.09 EUR
Semi-Annual Aster 1 SA - Term Loan C1 German Aster_C1G Loan 57,531.99 EUR ACT/360 Euribor 7.5417% 2.2500% 1,294.47 EUR 4,338.89 EUR
Semi-Annual Aster 1 SA - Term Loan C1 German Aster_C1G Loan 206,909.71 EUR ACT/360 Euribor 7.5417% 2.2500% 4,655.47 EUR 15,604.51 EUR
Semi-Annual Aster 1 SA - Term Loan C1 Italian Aster_C1I Loan 156,500.75 EUR ACT/360 Euribor 7.5417% 2.2500% 3,521.27 EUR 11,802.82 EUR
Semi-Annual Aster 1 SA - Term Loan C1 Spain Aster_C1S Loan 8,661.47 EUR ACT/360 Euribor 7.5417% 2.2500% 194.88 EUR 653.22 EUR
Semi-Annual Aster 1 SA - Term Loan C1 UK Aster_C1uk Loan 45,121.65 EUR ACT/360 EURIBOR 7.5417% 2.2500% 1,015.24 EUR 3,402.94 EUR
Semi-Annual Aster 1 SA - Term Loan C2 Belgium Aster_C2B Loan 531,355.90 EUR ACT/360 Euribor 7.5417% 2.2500% 11,955.51 EUR 40,073.27 EUR
Semi-Annual Aster 1 SA - Term Loan C2 German Aster_C2G Loan 101,116.51 EUR ACT/360 Euribor 7.5417% 2.2500% 2,275.12 EUR 7,625.90 EUR
Semi-Annual Aster 1 SA - Term Loan C2 Netherlands Aster_C2N Loan 86,897.22 EUR ACT/360 Euribor 7.5417% 2.2500% 1,955.19 EUR 6,553.53 EUR
Semi-Annual Aster 1 SA - Term Loan C3 Aster_TLC3 Loan 404,572.06 EUR ACT/360 Euribor 7.5417% 2.2500% 9,102.87 EUR 30,511.61 EUR
Semi-Annual Aster 1 SA - Term Loan C4 Belgium Aster_C4B Loan 13,397.65 EUR ACT/360 Euribor 7.5417% 2.2500% 301.45 EUR 1,010.41 EUR
Semi-Annual Aster 1 SA - Term Loan C4 French Aster_C4F Loan 89.44 EUR ACT/360 Euribor 7.5417% 2.2500% 2.01 EUR 6.75 EUR
Semi-Annual Aster 1 SA - Term Loan C4 French Aster_C4F Loan 340.64 EUR ACT/360 Euribor 7.5417% 2.2500% 7.66 EUR 25.69 EUR
Semi-Annual Aster 1 SA - Term Loan C4 German Aster_C4G Loan 10,533.88 EUR ACT/360 Euribor 7.5417% 2.2500% 237.01 EUR 794.43 EUR
Semi-Annual Aster 1 SA - Term Loan C4 German Undrawn ASTER_TLC4GUD Loan 12,288.04 EUR ACT/360 EURIBOR 7.5417% 2.2500% 276.48 EUR 926.73 EUR
Semi-Annual Aster 1 SA - Term Loan C4 Netherlands Aster_C4N Loan 2,280.57 EUR ACT/360 Euribor 7.5417% 2.2500% 51.31 EUR 171.99 EUR
Semi-Annual Aster 1 SA - Term Loan C4 Spain Aster_C4S Loan 238.97 EUR ACT/360 Euribor 7.5417% 2.2500% 5.38 EUR 18.02 EUR
Semi-Annual Aster 1 SA - Term Loan C4 UK Aster_C4U Loan 1,244.94 EUR ACT/360 Euribor 7.5417% 2.2500% 28.01 EUR 93.89 EUR
Semi-Annual Autobar - Tranche B Charden_TLB Loan 2,911,542.49 EUR ACT/360 EURIBOR 7.8028% 2.5000% 72,788.56 EUR 227,181.84 EUR
Semi-Annual Autobar - Tranche C Charden_TLC Loan 2,911,542.49 EUR ACT/360 EURIBOR 8.3028% 3.0000% 87,346.27 EUR 241,739.55 EUR
Semi-Annual Brenn - Acquisition Facility 2 Brentag_acqfac Loan 85,082.24 EUR ACT/360 EURIBOR 7.1360% 2.0000% 1,701.64 EUR 6,071.47 EUR
Semi-Annual Brenn - Acquisition Facility 2 Brentag_acqfac Loan 442,427.68 EUR ACT/360 EURIBOR 7.1360% 2.0000% 8,848.55 EUR 31,571.64 EUR
Semi-Annual Brenn - Acquisition Facility 2 Brentag_acqfac Loan 1,020,986.95 EUR ACT/360 EURIBOR 7.1360% 2.0000% 20,419.74 EUR 72,857.63 EUR
Semi-Annual Brenn - Acquisition Facility 2 Brentag_acqfac Loan 3,039,137.84 EUR ACT/360 EURIBOR 7.1360% 2.0000% 60,782.76 EUR 216,872.88 EUR
Semi-Annual Brenn - Facility B3 EUR Brenntag_B3EUR Loan 127,709.28 EUR ACT/360 EURIBOR 7.1360% 2.0000% 2,554.19 EUR 9,113.33 EUR
Semi-Annual Brenn - Facility B3 EUR Brenntag_B3EUR Loan 187,955.81 EUR ACT/360 EURIBOR 7.1360% 2.0000% 3,759.12 EUR 13,412.53 EUR
Semi-Annual Brenn - Facility B3 EUR Brenntag_B3EUR Loan 684,334.91 EUR ACT/360 EURIBOR 7.1360% 2.0000% 13,686.70 EUR 48,834.14 EUR
Semi-Annual Brenn - Facility C1 Brentagg_fac.C1 Loan 370,534.74 EUR ACT/360 EURIBOR 7.3860% 2.2500% 8,337.03 EUR 27,367.70 EUR
Semi-Annual Brenn - Facility C1 Brentagg_fac.C1 Loan 1,192,592.72 EUR ACT/360 EURIBOR 7.3860% 2.2500% 26,833.34 EUR 88,084.90 EUR
Semi-Annual Brenn - Facility C2 Brenntag_fac.C2 Loan 436,872.54 EUR ACT/360 EURIBOR 7.3860% 2.2500% 9,829.63 EUR 32,267.41 EUR
Semi-Annual Chaterhouse - Second Lien ChartHouse_2L Loan 5,500,000.00 EUR ACT/360 EURIBOR 6.8430% 3.7500% 206,250.00 EUR 376,366.65 EUR
Semi-Annual Chaterhouse - Term Loan B1 - Acquico Charterhouse_TLB1_Acq Loan 1,251,391.54 EUR ACT/360 EURIBOR 5.0930% 2.0000% 25,027.83 EUR 63,733.75 EUR
Semi-Annual Chaterhouse - Term Loan B2 Charterhouse_TLB2 Loan 2,422.15 EUR ACT/360 EURIBOR 5.0930% 2.0000% 48.44 EUR 123.36 EUR
Semi-Annual Chaterhouse - Term Loan B2 Charterhouse_TLB2 Loan 83,317.27 EUR ACT/360 EURIBOR 5.0930% 2.0000% 1,666.35 EUR 4,243.37 EUR
Semi-Annual Chaterhouse - Term Loan B2 Charterhouse_TLB2 Loan 162,869.04 EUR ACT/360 EURIBOR 5.0930% 2.0000% 3,257.38 EUR 8,294.97 EUR
Semi-Annual Demeter - Facility B DEMETERIB_FB Loan 1,500,000.00 EUR ACT/360 EURIBOR 6.6840% 2.3750% 35,625.00 EUR 100,260.00 EUR
Semi-Annual Demeter - Facility C DEMETERIB_FC Loan 1,500,000.00 EUR ACT/360 EURIBOR 7.0590% 2.7500% 41,250.00 EUR 105,885.00 EUR
Semi-Annual Escaline S.a.r.l - Term B Escaline_TermB Loan 125,314.51 EUR ACT/360 EURIBOR 7.9090% 2.7500% 3,446.15 EUR 9,911.12 EUR
Semi-Annual Escaline S.a.r.l - Term B Escaline_TermB Loan 1,378,459.44 EUR ACT/360 EURIBOR 6.7060% 2.7500% 37,907.63 EUR 92,439.49 EUR
Semi-Annual Escaline S.a.r.l - Term C Escaline_TermC Loan 1,503,773.95 EUR ACT/360 EURIBOR 8.4090% 3.2500% 48,872.65 EUR 126,452.35 EUR
Semi-Annual Ferretti S.P.A - Mezzanine FerrettiSPA_Mezz Loan 1,000,000.00 EUR ACT/360 EURIBOR 9.1530% 4.0000% 40,000.00 EUR 91,530.00 EUR
Semi-Annual Ferretti S.P.A - Tranche B Ferretti_TrB Loan 2,888,334.09 EUR ACT/360 EURIBOR 6.4560% 2.5000% 72,208.35 EUR 186,470.85 EUR
Semi-Annual Financiere Daunou 9 S.AR.L - Term Loan D1 FinDaunou9_TLD1 Loan 969,230.77 EUR ACT/360 EURIBOR 6.6620% 3.6250% 35,134.62 EUR 64,570.15 EUR
Semi-Annual Financiere Daunou 9 S.AR.L - Term Loan D2 FinDaunou9_TLD2 Loan 69,230.77 EUR ACT/360 EURIBOR 6.6620% 3.6250% 2,509.62 EUR 4,612.15 EUR
Semi-Annual Financiere Daunou 9 S.AR.L - Term Loan D3 FinDaunou9_TLD3 Loan 461,538.46 EUR ACT/360 EURIBOR 6.6620% 3.6250% 16,730.77 EUR 30,747.69 EUR
Semi-Annual Financiere Truck - Term Loan B - Euro/Swap Fraikin_TLB_Swap Loan 557,215.54 EUR ACT/360 EURIBOR6 5.8970% 2.1100% 11,757.25 EUR 32,859.00 EUR
Semi-Annual GGP C - B Term Loan GGP_B TL Loan 3,477,272.73 EUR ACT/360 EURIBOR 5.6670% 2.2500% 100,738.64 EUR 253,727.05 EUR
Semi-Annual GGP C - C Term Loan GGP_C TL Loan 3,477,272.73 EUR ACT/360 EURIBOR 6.1670% 2.7500% 123,125.00 EUR 276,113.41 EUR
Semi-Annual Ineos Group - Term Loan B1 Ineos_TB1 Loan 1,613,634.99 EUR ACT/360 EURIBOR 9.7770% 4.5000% 72,613.57 EUR 157,765.09 EUR
Semi-Annual Ineos Group - Term Loan B3 Ineos_TLB3 Loan 823,713.92 EUR ACT/360 EURIBOR 9.7770% 4.5000% 37,067.13 EUR 80,534.51 EUR
Semi-Annual Ineos Group - Term Loan C1 Ineos_TC1 Loan 1,613,842.89 EUR ACT/360 EURIBOR 10.2770% 5.0000% 80,692.14 EUR 165,854.63 EUR
Semi-Annual Ineos Group - Term Loan C3 Ineos_TLC3 Loan 823,713.92 EUR ACT/360 EURIBOR 10.2770% 5.0000% 41,185.70 EUR 84,653.08 EUR
Semi-Annual Lavena - Mezzanine Lavena_Mezz Loan 68,416.07 EUR ACT/360 EURIBOR 8.6510% 3.5000% 2,394.56 EUR 5,918.67 EUR
Semi-Annual Lavena - Mezzanine Lavena_Mezz Loan 1,596,514.86 EUR ACT/360 EURIBOR 8.6510% 3.5000% 55,878.02 EUR 138,114.50 EUR
Semi-Annual Lavena - Second Lien Lavena_TD Loan 1,800,528.97 EUR ACT/360 EURIBOR 8.9010% 3.7500% 67,519.84 EUR 160,265.08 EUR
Semi-Annual Lavena - Term B Holdco Lavena_HoldcoB Loan 2,638,722.29 EUR ACT/360 EURIBOR 7.5260% 2.3750% 62,669.65 EUR 198,590.24 EUR
Semi-Annual Lavena - Term C Holdco Lavena_HoldcoC Loan 2,638,722.28 EUR ACT/360 EURIBOR 7.7760% 2.6250% 69,266.46 EUR 205,187.04 EUR
Semi-Annual Orangina - Facility B1 BlackL_TLB1 Loan 150,000.00 EUR ACT/360 EURIBOR 7.6117% 2.3750% 3,562.50 EUR 11,417.55 EUR
Semi-Annual Orangina - Facility B5a BlackL_TLB5a Loan 5,000,000.00 EUR ACT/360 EURIBOR 5.3287% 2.1250% 106,250.00 EUR 266,435.00 EUR
Semi-Annual Orangina - Facility C1 BlackL_TLC1 Loan 974,809.37 EUR ACT/360 EURIBOR 8.1117% 2.8750% 28,025.77 EUR 79,073.61 EUR
Semi-Annual Orangina - Facility C2 BlackL_TLC2 Loan 555,131.22 EUR ACT/360 EURIBOR 6.0417% 2.8750% 15,960.02 EUR 33,539.36 EUR
Semi-Annual Qidnax - Mezzanine Facility A - Eur/Swap Qidnax_MezzFacA_EurSwp_Halcyon2008 Loan 1,311,351.94 EUR ACT/360 EURIBOR 7.5560% 3.6000% 47,208.67 EUR 99,085.75 EUR
Semi-Annual Qidnax - Mezzanine Facility B Qidnax_Mezz B Loan 1,917,168.50 EUR ACT/360 EURIBOR 8.4560% 4.5000% 86,272.58 EUR 162,115.77 EUR
Semi-Annual Qidnax - Term Loan B2 LX070674 Loan 1,676,663.38 EUR ACT/360 EURIBOR 5.8310% 1.8750% 31,437.44 EUR 97,766.24 EUR
Semi-Annual Qidnax - Term Loan C2 Qidnax_TLC2 Loan 1,676,663.38 EUR ACT/360 EURIBOR 6.3310% 2.3750% 39,820.76 EUR 106,149.56 EUR
Semi-Annual SMURFITKAPPAACQUISITIONS - Term Loan B1 - Euro SMRFKP_TB1EUR Loan 186,055.47 EUR ACT/360 EURIBOR 4.9120% 1.8750% 3,488.54 EUR 9,139.04 EUR
Semi-Annual TYROLACQUISITION2SAS - Term C TYROLACQ2_TC Loan 5,000,000.00 EUR ACT/365 EURIBOR 7.4010% 2.2500% 112,500.00 EUR 370,050.00 EUR
Semi-Annual United Biscuits - Term B1 - Eur/Swap UnitedBiscuits_TB1_EurSwap_HSAM08 Loan 3,682,496.65 EUR ACT/360 EURIBOR 7.2780% 2.1200% 78,068.93 EUR 268,012.11 EUR
Semi-Annual Virgin Media Investment Holdings Limited - Facility B12 - eur/Swap Virgin_B6Swap_HSAM2008 Loan 1,417,606.40 EUR ACT/360 EURIBOR 8.4150% 3.2600% 46,213.97 EUR 119,291.58 EUR
Semi-Annual Virgin Media Investment Holdings Limited - Term Loan B11 - Eur/Swap VirginMedia_B5Swap_HSAM2008 Loan 2,787,959.25 EUR ACT/360 EURIBOR 8.4150% 3.2600% 90,887.47 EUR 234,606.77 EUR
Semi-Annual Virgin Media Investment Holdings Limited - Term Loan B7 - Eur/Swap Virgin_B1Swap_HSAM2008 Loan 1,734,290.00 EUR ACT/360 EURIBOR 8.4060% 3.2600% 56,537.85 EUR 145,784.42 EUR
Semi-Annual Virgin Media Investment Holdings Limited - Term Loan B8 - Eur/Swap Virgin_B2Swap_HSAM2008 Loan 2,027,110.00 EUR ACT/360 EURIBOR 8.4060% 3.2600% 66,083.79 EUR 170,398.87 EUR
9,648,106.60
Float Subtotal 381,028,423.73 EUR 23,001,207.02 EUR
EUR
Date
Defaulted Unadjusted S&P Prior Rating
Security Security ID Obligation Principal Balance S&P Rating Type Rating Rating Changed
ADI Finance 2 Ltd - Subordinated Term Loan - Eur/Swap ADIFinance_SubTL_EurSwp_HSAM2008-1 No 7,839,647.44 EUR BBB+ BBB-
Amsterdamse Beheer - Kabel - Term Loan B Amsterdamse_TLB (Kabelcom) No 4,086,753.73 EUR B B
Amsterdamse Beheer - Kabel - Term Loan C Amsterdamse_TLC (Kabelcom) No 4,086,753.73 EUR B B
Amsterdamse Beheer - Term B1 Amsterdam_B1 No 506,747.66 EUR B B
Amsterdamse Beheer - Term B2 Amsterdam_B2 No 256,498.61 EUR B B
Amsterdamse Beheer - Term C Amsterdam_TermC No 763,246.27 EUR B B
Aster 1 SA - Term Loan A1 Germany Aster_A1g No 1,005,778.26 EUR B+ B+
Aster 1 SA - Term Loan A2 Brussels Aster_A2b No 622,243.33 EUR B+ B+
Aster 1 SA - Term Loan A3 Aster_A3 No 232,257.29 EUR B+ B+
Aster 1 SA - Term Loan A4 Brussels Aster_A4b No 1,076.81 EUR B+ B+
Aster 1 SA - Term Loan A4 Germany Aster_A4g No 51,479.56 EUR B+ B+
Aster 1 SA - Term Loan B1 French Aster_B1F No 15,587.72 EUR B+ B+
Aster 1 SA - Term Loan B1 German Aster_B1G No 264,441.70 EUR B+ B+
Aster 1 SA - Term Loan B1 Italian Aster_B1it No 150,270.88 EUR B+ B+
Aster 1 SA - Term Loan B1 Spain Aster_B1sp No 8,661.47 EUR B+ B+
Aster 1 SA - Term Loan B1 UK Aster_B1uk No 45,121.65 EUR B+ B+
Aster 1 SA - Term Loan B2 Belgium Aster_B2B No 531,355.90 EUR B+ B+
Aster 1 SA - Term Loan B2 German Aster_B2G No 101,116.51 EUR B+ B+
Aster 1 SA - Term Loan B2 Netherlands Aster_B2N No 86,897.22 EUR B+ B+
Aster 1 SA - Term Loan B3 Aster_TLB3 No 404,572.06 EUR B+ B+
Aster 1 SA - Term Loan B4 Belgium Aster_B4B No 13,397.65 EUR B+ B+
Aster 1 SA - Term Loan B4 French Aster_B4F No 430.08 EUR B+ B+
Aster 1 SA - Term Loan B4 German Aster_B4G No 10,533.88 EUR B+ B+
Aster 1 SA - Term Loan B4 German Undrawn ASTER1_TLB4UD No 12,288.04 EUR B+ B+
Aster 1 SA - Term Loan B4 Netherlands Aster_B4N No 2,280.57 EUR B+ B+
Aster 1 SA - Term Loan B4 Spain Aster_B4S No 238.97 EUR B+ B+
Aster 1 SA - Term Loan B4 UK Aster_B4U No 1,244.94 EUR B+ B+
Aster 1 SA - Term Loan C1 French Aster_C1F No 15,587.72 EUR B+ B+
Aster 1 SA - Term Loan C1 German Aster_C1G No 264,441.70 EUR B+ B+
Aster 1 SA - Term Loan C1 Italian Aster_C1I No 156,500.75 EUR B+ B+
Maximum Investment
Amount Report Total % of MIA Requirement
404,000,000.00 EUR 34,892,246.95 EUR 8.64% <= 20.00% In Compliance
Issuer Asset Reason For Sale Sale Date Price Trade Amount
Avio S.p.A. Facility B2 Discretionary 05-Sep-2008 81.00 769,729.37 EUR
Avio S.p.A. Facility B2 Discretionary 05-Sep-2008 82.00 1,155,981.58 EUR
Avio S.p.A. Facility C2 Discretionary 05-Sep-2008 81.00 816,816.72 EUR
Avio S.p.A. Facility C2 Discretionary 05-Sep-2008 82.00 1,226,697.48 EUR
AVR Acquisitions B.V. Term B3A Discretionary 07-Jul-2008 94.63 1,600,000.00 EUR
BCV Investments S.C.A Term B Euro Discretionary 07-Nov-2008 90.00 500,000.00 EUR
BCV Investments S.C.A Term C Euro Discretionary 07-Nov-2008 90.00 500,000.00 EUR
Black Lion Beverages III B.V. Facility B1 Discretionary 28-Oct-2008 80.00 600,000.00 EUR
Black Lion Beverages III B.V. Facility C1 Discretionary 28-Oct-2008 80.00 600,000.00 EUR
Black Lion Beverages III B.V. Term Loan B3 Discretionary 28-Oct-2008 80.00 220,588.24 EUR
Black Lion Beverages III B.V. Term Loan B4 Discretionary 28-Oct-2008 80.00 1,279,411.76 EUR
Condor Systems Inc Term Loan B Discretionary 17-Jul-2008 82.50 1,867,729.11 EUR
Condor Systems Inc Term Loan C1 Discretionary 17-Jul-2008 82.50 1,098,664.17 EUR
Condor Systems Inc Term Loan C2 Discretionary 17-Jul-2008 82.50 741,598.56 EUR
Gala Electric Casinos Limited Term Loan B - GBP Discretionary 26-Jun-2008 88.00 841,128.81 EUR
Gala Electric Casinos Limited Term Loan C - GBP Discretionary 26-Jun-2008 88.00 841,128.81 EUR
Global Garden Products C Sarl B Term Loan Discretionary 31-Dec-2009 65.00 1,000,000.00 EUR
Global Garden Products C Sarl C Term Loan Discretionary 31-Dec-2009 65.00 1,000,000.00 EUR
Holding Bercy Investissement S.C.A Additional HBI Facility B Discretionary 30-Oct-2008 79.00 2,150,000.00 EUR
Holding Bercy Investissement S.C.A Additional HBI Facility C Discretionary 30-Oct-2008 79.00 2,150,000.00 EUR
Kabel Deutschland Gmbh Tranche A Discretionary 19-Dec-2008 82.00 2,000,000.00 EUR
Kabel Deutschland Gmbh Tranche A Discretionary 19-Dec-2008 82.00 3,000,000.00 EUR
Macquarie UK Broadcast Enterprises Limited Junior Term Loan - Eur/Swap Discretionary 29-Aug-2008 100.00 1,253,800.00 EUR
Nordic Telephone Company Holding ApS. Term B2 Discretionary 09-Oct-2008 94.25 485,305.38 EUR
Nordic Telephone Company Holding ApS. Term C2 Discretionary 09-Oct-2008 94.25 485,305.38 EUR
United Biscuits Holdco Limited Term B1 - GBP Discretionary 01-Aug-2008 91.50 3,508,361.60 EUR
WAM Acquisition SA Term Loan B3 Discretionary 13-Oct-2008 82.50 1,600,000.00 EUR
WAM Acquisition SA Term Loan C3 Discretionary 13-Oct-2008 82.50 1,600,000.00 EUR