Grand Horn CLO Ltd.
$500.0 million cashflow CLO, closed December 19, 2007
$500.0 million cashflow CLO, closed December 19, 2007
| Capital Structure | Amount | Percentage | Original Rating |
| Class A-1 | $365,000,000 | 72.9% | AAA/Aaa |
| Class B | $28,500,000 | 5.7% | AA/Aa2 |
| Class C | $27,500,000 | 5.5% | A/A2 |
| Class D | $20,250,000 | 4.1% | BBB/Baa2 |
| Class E | $19,000,000 | 3.8% | BB/Ba2 |
| Preference Shares | $39,750,000 | 8.0% | NR |
| Total: | $500,000,000 |
The collateral for the CLO consists primarily of senior secured loans issued
by non-investment grade corporate borrowers organized in the US. There is
a 10% basket for senior unsecured loans, a 5% basket for second lien loans
and a 5% basket for high yield bonds. The portfolio manager for the transaction
is George Goudelias. The first payment date for the liabilities and equity
is April 14, 2008.
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