PROSPECTUS DUCHESS VI CLO BV CITIGROUP Dated 17 August ...
PROSPECTUS DUCHESS VI CLO BV CITIGROUP Dated 17 August ...
PROSPECTUS DUCHESS VI CLO BV CITIGROUP Dated 17 August ...
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S&P Quality Case Options<br />
Minimum S&P Weighted<br />
Average Recovery Rate Test<br />
Minimum Weighted Average<br />
Spread Tests<br />
(bps)<br />
Break-Even Default Rates<br />
1 60% 2.2% BDR Set 1<br />
2 60% 2.3% BDR Set 2<br />
3 60% 2.4% BDR Set 3<br />
4 60% 2.5% BDR Set 4<br />
5 60% 2.6% BDR Set 5<br />
6 60% 2.7% BDR Set 6<br />
7 60% 2.8% BDR Set 7<br />
8 60% 2.9% BDR Set 8<br />
9 60% 3.0% BDR Set 9<br />
10 58% 2.2% BDR Set 10<br />
11 58% 2.3% BDR Set 11<br />
12 58% 2.4% BDR Set 12<br />
13 58% 2.5% BDR Set 13<br />
14 58% 2.6% BDR Set 14<br />
15 58% 2.7% BDR Set 15<br />
16 58% 2.8% BDR Set 16<br />
<strong>17</strong> 58% 2.9% BDR Set <strong>17</strong><br />
18 58% 3.0% BDR Set 18<br />
19 56% 2.2% BDR Set 19<br />
20 56% 2.3% BDR Set 20<br />
21 56% 2.4% BDR Set 21<br />
22 56% 2.5% BDR Set 22<br />
23 56% 2.6% BDR Set 23<br />
24 56% 2.7% BDR Set 24<br />
25 56% 2.8% BDR Set 25<br />
26 56% 2.9% BDR Set 26<br />
27 56% 3.0% BDR Set 27<br />
28 54% 2.2% BDR Set 28<br />
29 54% 2.3% BDR Set 29<br />
30 54% 2.4% BDR Set 30<br />
31 54% 2.5% BDR Set 31<br />
32 54% 2.6% BDR Set 32<br />
33 54% 2.7% BDR Set 33<br />
34 54% 2.8% BDR Set 34<br />
35 54% 2.9% BDR Set 35<br />
36 54% 3.0% BDR Set 36<br />
37 52% 2.2% BDR Set 37<br />
38 52% 2.3% BDR Set 38<br />
39 52% 2.4% BDR Set 39<br />
40 52% 2.5% BDR Set 40<br />
41 52% 2.6% BDR Set 41<br />
42 52% 2.7% BDR Set 42<br />
43 52% 2.8% BDR Set 43<br />
44 52% 2.9% BDR Set 44<br />
45 52% 3.0% BDR Set 45<br />
46 50 % 2.2% BDR Set 46<br />
47 50 % 2.3% BDR Set 47<br />
48 50 % 2.4% BDR Set 48<br />
49 50 % 2.5% BDR Set 49<br />
50 50 % 2.6% BDR Set 50<br />
51 50 % 2.7% BDR Set 51<br />
52 50 % 2.8% BDR Set 52<br />
53 50% 2.9% BDR Set 53<br />
54 50 % 3.0% BDR Set 54<br />
Securities Lending ................................... Subject to certain conditions, the Issuer will be permitted to lend<br />
the Collateral Debt Securities under Securities Lending<br />
Agreements. See “The Portfolio – Securities Lending” below.<br />
Reinvestment in Collateral Debt<br />
Securities .................................................<br />
Subject to the limits described in the Priorities of Payment,<br />
Principal Proceeds, Sterling Principal Proceeds, drawings under the<br />
Revolving Loan Facility and the amount credited to the Initial<br />
Proceeds Account, the Additional Collateral Account and the<br />
Sterling Additional Collateral Account may be used during the<br />
Reinvestment Period to purchase Collateral Debt Securities<br />
meeting the Eligibility Criteria provided that the Reinvestment<br />
Criteria are satisfied after the relevant acquisition. See<br />
“Description of the Portfolio – Sale of Collateral Debt Securities<br />
24
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