Gateway III - Euro CLO S.A.

Gateway III is a €420 million collateralized loan obligation that closed in May 2006. The Gateway III portfolio is invested mainly in European leveraged bank loans and is denominated in 75% Euro and up to 25% non-Euro. Gateway III includes an 80% allocation to Senior Secured Loans, a 5% allocation to High Yield Securities, a 20% allocation to Mezzanine Loans (not to exceed 20% when aggregated with High Yield Securities), and a 3% allocation to Senior Unsecured Loans. Further, up to 5% of the portfolio may be invested in fixed-rate securities.

Closing Date   May 17, 2006
Manager Replacement Date   April 28, 2010
Distribution Dates   May 15 and November 15
End of Non-Call Period   May 17, 2009
End of Reinvestment Period   May 17, 2012
Maturity Date   May 17, 2022
Type
Cash Flow CLO

Underwriter
Lehman Brothers

Rating Agencies
Moody's, S&P

Trustee
BNP Paribas Trust Corp.

Portfolio Manager
Jonathan Butler

CDO Analyst
Sarah McMullen
+44 (0) 20 7766 2539




  Tranche   Initial Ratings   Ratings on Replacement Date   Current Ratings   Original Principal Amount (€)   Balance on Replacement Date(€)   Current Balance   Interest Rate  
  A1   Aaa/AAA   Aa3/AA-   Aa3/AA-   219,000,000   214,793,649   214,793,649   6M Euribor + .25%  
  A1-D   Aaa/AAA  
Aa3/AA-
  Aa3/AA-   25,000,000   24,519,823   24,519,823   6M Euribor + .25%  
  A2   Aaa/AAA  
Aa3/AA-
  Aa3/AA-   15,000,000   14,711,893   14,711,893   Zero Coupon  
  A3   Aaa/AAA  
Aa3/AA-
  Aa3/AA-   25,000,000   24,519,823   24,519,823   6M Euribor + .27%  
  B   Aa2/AA  
Baa2/A
  Baa2/A   25,000,000   25,000,000   25,000,000   6M Euribor + .36%  
  C   A3/A-  
Baa3/BB+
  Baa3/BB+   31,000,000   31,000,000   25,000,000   6M Euribor + .65%  
  D1   Baa3/BBB-  
Caa1/B-
  Baa3/B-   23,500,000   23,865,790   23,865,790   6M Euribor + 1.55%  
  D2   Baa3/BBB-  
Caa1/B-
  Baa3/B-   1,000,000   1,015,570   1,015,570   6M Euribor + 1.55%  
  E   Ba3/BB-  
Caa3/CCC-
  Ba3/CCC-   13,500,000   10,299,267   10,299,267   6M Euribor + 4.20%  
  Subordinated      
NR
  NR   42,000,000   42,000,000   42,000,000   Residual Interest  
          420,000,000   411,725,817   411,725,817      
Combination Notes
  T   Aaa/NR  
WR/NR
  WR/NR   $20,000,000   $0   $0   0.00%  
  U   Aaa/NR  
Aaa/NR
  Aaa/NR   $5,000,000   $5,000,000   $5,000,000   0.00%  
  V   Aaa/NR  
Aa1/NR
  Aa1/NR   15,000,000   14,711,893   14,711,893   0.00%  
  W   Baa2/NR  
B1/NR
  B1/NR   10,000,000   8,814,543   8,814,543   0.00%  
  X   Baa1/NR  
B2/NR
  B2/NR   6,000,000   6,031,131   6,031,131   0.25%  
  NR = not rated, N/A = not applicable






Prudential Investment Management is the primary asset management business of Prudential Financial, Inc. Prudential Fixed Income is Prudential Investment Management's largest public fixed income asset management unit and operates through Prudential Investment Management, Inc. (PIM), a registered investment advisor. Prudential Financial and the Rock logo are registered service marks of The Prudential Insurance Company of America and its affiliates.