EFTA01376344

"S&P Recovery Rate": The S&P Recovery Rate of any Collateral Obligation will be determined based on the tables below in the following manner, or such higher recovery rate for which Rating Agency Confirmation from S&P is obtained: (a) If the Collateral Obligation has an S&P Asset Specific Recovery Rating. then the S&P Recovery Rate is the applicable percentage set forth in the Table 1. (b) If the Collateral Obligation is either senior unsecured debt or subordinated debt that does not have an S&P Asset Specific Recovery Rating and the senior secured debt of the obligor has an S&P Asset Specific Recovery Rating. then S&P Recovery, Rate with respect to each Class of Notes will be determined based on Table 2 and 3. (c) If the Collateral Obligation does not have an S&P Assigned Recovery Rating and the relevant obligor does not have senior secured debt with a current S&P Assigned Recovery Rating. then the S&P Recovery Rate with respect to each Class of Notes will be determined based on Table 4. Table 1: Recovery Rates for Assets with S&P Assigned Recovery Ratings Notes rating categories S&P Assigned Recovery Rating AAA AA A BBB BB B and CCC % % % % I+ 75 85 88 90 92 95 I 65 75 80 85 90 95 2 50 60 66 73 79 85 3 30 40 46 53 59 65 4 20 26 33 39 43 45 5 5 10 15 20 23 25 6 2 4 6 8 10 10 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0072396 CONFIDENTIAL SDNY_GM_00218580 EFTA01376344