Trading Activity In Outstanding European CLO Transactions: Second-Quarter 2010 Aug 10

Standard & Poors, August 2010

Abstract
This report aims to provide market participants with certain information regarding the managed nature of European collateralized loan obligation (CLO) portfolios on a quarterly basis. It presently covers 206 outstanding European CLO transactions that we rate, managed by 58 asset managers, with combined assets under management of approximately €90 billion. We collect the information in this report from transaction-level performance data in our collateralized debt obligation (CDO) surveillance databases, which is based on reported information received on each transaction that we rate. The current report provides reported second-quarter 2010 information for tradesboth purchases and salesmade by the managers of Standard & Poor's-rated European CLO portfolios. Gross purchases were €3.35 billion, while gross sales were €1.63 billion. The proceeds managers use...

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- Duchess I CDO S.A.
- Clare Island B.V.
- Intercontinental CDO S.A.
- Jubilee CDO II B.V.
- RMF Euro CDO S.A.
- Leopard CLO I B.V.
- North Westerly CLO I B.V.
- Leveraged Finance Europe Capital II B.V.
- Eurocredit CDO III B.V.
- Partholon CDO I PLC
- Clarenville CDO S.A.
- Jubilee CDO III B.V.
- Aquilae CLO I PLC
- Leopard CLO II B.V.
- Harvest CLO I S.A.
- Petrusse European CLO S.A.
- Duchess III CDO S.A.
- Jubilee CDO IV B.V.
- North Westerly CLO II B.V.
- Leveraged Finance Europe Capital III B.V.
- Harbourmaster CLO 4 B.V.
- Adagio CLO I B.V.
- Eurocredit CDO IV B.V.
- Avoca CLO II B.V.
- Alzette European CLO S.A.
- Hamlet I Leveraged Loan Fund B.V.
- Leopard CLO III B.V.
- CELF Loan Partners B.V.
- Prospero CLO I
- Duchess IV CLO B.V.
- Harvest CLO II S.A.
- GSC European CDO II S.A.
- Jubilee CDO V B.V.
- Silver Birch CLO I B.V.
- Harbourmaster CLO 5 B.V.
- Avoca CLO III PLC
- RMF Euro CDO III PLC
- Wood Street CLO I B.V.
- ORYX European CLO B.V.
- CELF Loan Partners II PLC
- Harbourmaster CLO 6 B.V.
- Duchess V CLO B.V.
- Boyne Valley B.V.
- Cadogan Square CLO B.V.
- Adagio II CLO PLC
- Avoca CLO IV PLC
- Hyde Park CDO B.V.
- Cheyne Credit Opportunity CDO I B.V.
- Dryden X-Euro CLO 2005 PLC
- BACCHUS 2006-1 PLC
- Wood Street CLO II B.V.
- Magi Funding I PLC
- Gresham Capital CLO 1 B.V.
- Mercator CLO I PLC
- Harvest CLO III PLC
- European Enhanced Loan Fund S.A.
- Eaton Vance CDO VII PLC
- Gateway III - Euro CLO S.A.
- RMF Euro CDO IV PLC
- Alpstar CLO 1 PLC
- Halcyon Structured Asset Management European CLO 2006-I B.V.
- Dalradian European CLO I B.V.
- Wood Street CLO III B.V.
- Leopard CLO IV B.V.
- Nash Point CLO
- Avoca CLO V PLC
- Laurelin B.V.
- Grosvenor Place CLO I B.V.
- Highlander Euro CDO B.V.
- Theseus European CLO S.A.
- Vallauris II CLO PLC
- North Westerly CLO III B.V.
- Cadogan Square CLO II B.V.
- Oak Hill European Credit Partners I PLC
- Adagio III CLO PLC
- Jubilee CDO VI B.V.
- Harvest CLO IV PLC
- BACCHUS 2006-2 PLC
- Leveraged Finance Europe Capital IV B.V.
- DRYDEN XIV - EURO CLO 2006 PLC
- Harbourmaster Pro-Rata CLO 2 B.V.
- Regent's Park CDO B.V.
- Duchess VI CLO B.V.
- Jubilee CDO VII B.V.
- Eurocredit CDO V PLC
- CELF Loan Partners III PLC
- Euro-Galaxy CLO B.V.
- Gresham Capital CLO II B.V.
- Avoca CLO VI PLC
- Prospero CLO II B.V.
- Dalradian European CLO II B.V.
- Versailles CLO M.E. I PLC
- Egret Funding CLO I PLC
- Cairn CLO I B.V.
- eleX Alpha S.A.
- Green Park CDO B.V.
- Duchess VII CLO B.V.
- Gresham Capital CLO III B.V.
- Aquilae CLO II PLC
- Queen Street CLO I B.V.
- Harbourmaster CLO 7 B.V.
- CELF Low Levered Partners PLC
- Harbourmaster CLO 8 B.V.
- Skellig Rock B.V.
- Wood Street CLO IV B.V.
- Lombard Street CLO I PLC
- Halcyon Structured Asset Management European CLO 2006-II B.V.
- Cordatus Loan Fund I PLC
- GSC European CDO I-R S.A.
- Eurocredit CDO VI PLC
- Mercator CLO II PLC
- Cadogan Square CLO III B.V.
- Grosvenor Place CLO II B.V.
- KINTYRE CLO I PLC
- Gateway II Euro CLO B.V.
- Dalradian European CLO III B.V.
- Penta CLO 1 S.A.
- Avoca CLO VII PLC
- Neptuno CLO I B.V.
- RMF Euro CDO V PLC
- Jubilee CDO I-R B.V.
- Ares Euro CLO I B.V.
- Harvest CLO V PLC
- Alpstar CLO 2 PLC
- Eurocredit CDO VII PLC
- DRYDEN XV - EURO CLO 2006 PLC
- St. Paul's CLO 1 B.V.
- BACCHUS 2007-1 PLC
- Eaton Vance CDO X PLC
- Gateway IV - Euro CLO S.A.
- Leopard CLO V B.V.
- Malin CLO B.V.
- Cadogan Square CLO IV B.V.
- Queen Street CLO II B.V.
- Highlander Euro CDO III B.V.
- Gresham Capital CLO IV B.V.
- CELF Loan Partners IV PLC
- GSC European CDO V PLC
- Ares European CLO III B.V.
- Cordatus Loan Fund II PLC
- Harbourmaster CLO 9 B.V.
- Laurelin II B.V.
- Wood Street CLO V B.V.
- Halcyon Structured Asset Management European CLO 2007-1 B.V.
- Oak Hill European Credit Partners II PLC
- Avoca CLO VIII Ltd.
- Harbourmaster Pro-Rata CLO 3 B.V.
- ACA Euro CLO 2007-1 PLC
- Dalradian European CLO IV B.V.
- Intermediate Finance II PLC
- Contego CLO I B.V.
- Strawinsky I PLC
- Wood Street CLO VI B.V.
- Cairn CLO II B.V.
- Mercator CLO III Ltd.
- Grosvenor Place CLO III B.V.
- Euro-Galaxy II CLO B.V.
- Windmill CLO I Ltd.
- PDM CLO I B.V.
- Jubilee CDO VIII B.V.
- Axius European CLO S.A.
- Avoca CLO IX Ltd.
- Munda CLO I B.V.
- Lightpoint Pan-European CLO 2007-1 PLC
- Eurocredit CDO VIII Ltd.
- St. James's Park CDO B.V.
- Harbourmaster CLO 10 B.V.
- Ares European CLO II B.V.
- Global Senior Loan Index Fund 1 B.V.
- CLAVOS Euro CDO Ltd.
- Neptuno CLO II B.V.
- Static Loan Funding 2007-I Ltd.
- NAC EuroLoan Advantage I Ltd.
- BASE CLO I B.V.
- Eurocredit Opportunities Parallel Funding I Ltd.
- Harbourmaster CLO 11 B.V.
- Halcyon Structured Asset Management European Long Secured/Short Unsecured CLO 2008-I B.V.
- Highlander Euro CDO II B.V. / Highlander Euro CDO II (Cayman) Ltd.
- CELF Loan Partners V Ltd.
- Euro Atlantis CLO Ltd.
- Jubilee CDO IX B.V.
- Highlander Euro CDO IV B.V.
- Gresham Capital CLO V B.V.
- Global Loan Opportunity Fund B.V.
- Halcyon Structured Asset Management CLO 2008-II B.V.
- Cordatus Recovery Partners I Ltd.
- CELF Loan Partners 2008-2 Ltd.
- Fugu CLO B.V.

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