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sd-10-EFTA01462190Dept. of Justice

EFTA Document EFTA01462190

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Sample BSL CLO - Equity Return Profile 20% -0-Equity Returns Under 6 Year Call Scenario 15% 10% gr 5% 0% -5% -10% 0% 1% 2% 3% 4% Per Annum Default Rate Equity Returns Constant Annual Default Rate Call Year 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% Call at 4.0 114.51% (12.11% (9.1196 [5.71% [2.01% (-2.11% [-6.71% Call at 5.0 116.01% [13.81% [11.01% [7.61% [3.7J% (-0.91% (-6.21% Call at 6.0 116.81% (14.6)% [12.0]% (8.51% [4.3J% [-0.81% [-6.91% Call

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Dept. of Justice
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sd-10-EFTA01462190
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