EFTA01365629.pdf

Class A-1 Notes Class A-2 Notes Class B Notes Class C Notes Class D Notes Recovery S&P Recovery S&P Recovery• S&P Recovery S&P Recovery S&P Rate Recovery• Rate Recovery Rate Recovery Rate Recovery Rate Reim% ery Case Rate Case Rate Case Rate Case Rate Case Rate 19 44.50% 19 53.25% 19 59.25% 19 65.350% 19 70.80% 20 44.75% 20 53.50% 20 59.55% 20 65.700% 20 71.15% 21 45.00% 21 53.75% 21 59.85% 21 66.050% 21 71.50% 22 45.25% 22 54.00% 22 60.15% 22 66.400% 22 71.85% 23 45.50% 23 54.25% 23 60.45% 23 66.750% 23 72.20% 24 45.75% 24 54.50% 24 60.75% 24 67.100% 24 72.55% 25 46.00% 25 54.75% 25 61.05% 25 67.450% 25 72.90% 26 46.25% 26 55.00% 26 61.35% 26 67.800% 26 73.25% 27 46.50% 27 55.25% 27 61.65% 27 68.150% 27 73.60% 28 46.75% 28 55.50% 28 61.95% 28 68.500% 28 73.95% 29 47.00% 29 55.75% 29 62.25% 29 68.850% 29 74.30% 30 4715% 30 56.00% 30 62.55% 30 69.200% 30 74.65% 31 47.50% 31 56.25% 31 62.85% 31 69.550% 31 75.00% 32 47.75% 32 56.50% 32 63.15% 32 69.900% 32 75.35% 33 48.00% 33 56.75% 33 63.45% 33 70.250% 33 75.70% "S&P Rating": With respect to any Collateral Obligation. the rating determined as follows: provided, however. (a) if such Collateral Obligation is (x) on watch for upgrade by S&P it shall be treated as upgraded by one rating subcategory or (y) on watch for downgrade by S&P it shall be treated as downgraded by one rating subcategory•, unless S&P has notified the Investment Manager in writing that such treatment is no longer requited, (b) if it is a DIP Loan with a rating by S&P as published by S&P. its S&P Rating shall be such rating. (c) if it is a Structured Finance Obligation, its S&P Rating shall be determined based on clause (v) and (d) if it is a Current Pay Obligation of an obligor that (x) is not in bankruptcy and (y) has a Distressed Exchange Offer pending, its S&P Rating shall be determined based on clause (vi): (i) if there is an issuer credit rating by S&P as published by S&P (or rating on a guarantor that unconditionally and irrevocably guarantees such Collateral Obligation). then the S&P Rating of such Collateral Obligation shall be such rating; (ii) if them is not an issuer credit rating by S&P but there is a rating by S&P on a senior unsecured obligation of the obligor. then the S&P Rating of such Collateral Obligation shall be such rating: (iii) if such Collateral Obligation is a senior secured or senior unsecured obligation of the obligor (A) if there is not an issuer credit rating or a rating on a senior unsecured obligation of the obligor by S&P, but there is a rating by S&P on a senior secured obligation of the obligor. then the S&P Rating of such Collateral Obligation shall be one subcategory below such rating; and (B) if there is not an issuer credit rating or a rating on a senior unsecured or senior secured obligation of the obligor by S&P, but there is a rating by S&P on a subordinated obligation of the obligor. then the S&P Rating of such Collateral Obligation shall be one subcategory• above such rating if such rating is higher than -BB+" and will be two subcategories above such rating if such rating is "BB+" or lower. 118 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0056428 CONFIDENTIAL SDNY GM_00202612 EFTA01365629