Gateway IV - Euro CLO S.A.

Gateway IV is a €400 million collateralized loan obligation that closed in May 2007. The Gateway IV portfolio is invested mainly in European leveraged bank loans and is denominated in 75% Euro and up to 25% non-Euro. Gateway IV 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 30, 2007
Manager Replacement Date   April 28, 2010
Distribution Dates   April 25 and October 25
End of Non-Call Period   October 25, 2010
End of Reinvestment Period   April 30, 2013
Maturity Date   April 30, 2023
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   Aaa/AAA   Aaa/AAA   191,,000,000   181,029,800   181,029,800   6M Euribor + .21%  
  A1-D   Aaa/AAA  
Aaa/AAA
  Aaa/AAA   25,000,000   23,695,000   23,695,000   6M Euribor + .21%  
  A2   Aaa/AAA  
Aa3/AA-
  Aa3/AA-   54,000,000   54,000,000   54,000,000   6M Euribor + .31%  
  B   Aa2/AA  
Baa1/A-
  Baa1/A-   22,000,000   22,000,000   22,000,000   6M Euribor + .38%  
  C   A2/A  
Ba2/BB+
  Ba2/BB+   34,000,000   34,369,679   34,369,679   6M Euribor + .60%  
  D   Baa3/BBB-  
Caa1/B+
  Caa1/B+   20,000,000   21,212,653   21,212,653   6M Euribor + 1.40%  
  E   Ba3/BB-  
Ca/CCC-
  Ca/CCC-   14,000,000   15,294,113   15,294,113   6M Euribor + 3.40%  
  Subordinated      
NR
  NR   40,000,000   40,000,000   40,000,000   Residual Interest  
          400,000,000   391,752,272   391,752,272      
Combination Notes
  R   A2/A  
Ba3/BB+
  Ba3/BB+   6,000,000   6,052,189   6,052,189   0.00%  
  S   NR/BBB  
NR/CCC-
  NR/CCC-   6,000,000   6,028,175   6,028,175   0.00%  
  T   NR/BBB-  
NR/CCC-
  NR/CCC-   4,000,000   4,121,265   4,121,265   0.00%  
  U   NR/BBB  
NR/CCC-
  NR/CCC-   5,000,000   5,248,701   5,248,701   0.00%  
  V   NR/AAA  
NR/NR
  NR/NR   10,000,000   0   0   0.00%  
  W   Baa1/NR  
B3/NR
  B3/NR   8,000,000   8,189,636   8,189,636   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.