Text extracted via OCR from the original document. May contain errors from the scanning process.
High Diversity Collateralized Debt Obligations
Initial Rating of Underlying Asset
%of
Aaa
Aa
A
Baa
Ba
B
Underlying
Capital
Structure( I)
>70%
85%
80%
65%
55%
45%
30%
<=70%.
>10%
75%
70%
60%
50%
40%
25%
<=10%.
>5%
65%
55%
50%
40%
30%
20%
<=5°A,
>2%
55%
45%
40%
35%
25%
10%
<=2%
45%
35%
30%
25%
10%
5%
Low Diversity Collateralized Debt Obligations
I iitial Rating of Underlyns Asset
%of
Aa
A
B
B
B
Underlying
Capital
Suucturc(1)
>70%
80%
75%
60%
50%
45%
30%
<=70%
>10%
7014
60%
55%
45%
35%
25%
<=10%,
>5%
60%
50%
45%
35%
25%
15%
<=5%,
>2%
50%
40%
35%
30%
20%
10%
<=2%
30%
25%
20%
15%
7%
4%
(1) Initial par amount of rancho to which Structured Finance Obligation relates divided by initial par
amount of total securities issued by Structured Finance Obligation issuer.
"Moody's Weighted Average Recovery Rate": As of any date of determination, the number obtained by
(a) multiplying the applicable Moody's Recovery Rate as of such date of each Collateral Obligation (excluding any
Defaulted Obligations and Deferring PIK Obligations) by its Principal Balance: (b) summing the amount obtained in
clause (a) on such date and (c) &iAng the sum obtained in clause (b) by the Aggregate Principal Balance of all
Collateral Obligations (excluding any Defaulted Obligations and Deferring PIK Obligations).
"Note Payment Sequence": The application. in accordance with the Priority of Payments, of Interest
Proceeds or Principal Proceeds, as applicable, in the following order:
(i)
to the redemption of the Class A-1 Notes until the Class A-1 Notes have been fully redeemed:
(i)
to the redemption of the Class A-2 Notes until the Class A-2 Notes have been fully redeemed:
(iii)
to the payment of unpaid Deferred Interest on the Class B Notes until such amounts have been
paid in full:
(iv)
to the redemption of the Class B Notes until the Class B Notes have been fully redeemed;
(v)
to the payment of unpaid Deferred Interest on the Class C Notes until such amounts have been
paid in full;
(vi)
to the redemption of the Class C Notes until the Class C Notes have been fully redeemed;
109
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0056013
CONFIDENTIAL
SDNY GM_00202197
EFTA01365315