Gresham Capital CLO IV B.V. - Irish Stock Exchange

y the aggregate Principal Balance of all Collateral Debt Securities (excluding Defaulted Securities) and
rounding to the nearest 0.1 per cent.
The “Fitch Recovery Rate” means, in respect of a Collateral Debt Security, the recovery rate assigned
thereto by Fitch.
(e) The Weighted Average Life Test
The “Weighted Average Life Test” will be satisfied as of any Measurement Date falling on or after the
Target Date if the Weighted Average Life on such Measurement Date is equal to or less than the number of
years (including any fraction of a year) set out in the second column of the table below corresponding to the
relevant Measurement Date.
Measurement Date falling between
July 2007 to July 2008
July 2008 to July 2009
July 2009 to July 2010
July 2010 to July 2011
July 2011 to July 2012
July 2012 to July 2013
July 2013 to July 2014
July 2014 to July 2015
July 2015 to July 2016
July 2016 to July 2017
July 2017 and after
Required Weighted Average Life
11 years
10 years
9 years
8 years
7 years
6 years
5 years
4 years
3 years
2 years
1 year
“Weighted Average Life” means as of any Measurement Date, an amount of years obtained by (i)
summing the products obtained by multiplying (A) the Average Life at that time of each Collateral Debt
Security; and (B) the Principal Balance at that time of the Collateral Debt Security; and (ii) dividing such sum
by the aggregate Principal Balance at that time of all Collateral Debt Securities.
“Average Life” means, in respect of any Collateral Debt Security, an amount equal to (a) the aggregate of
the products obtained by multiplying each scheduled principal payment due on the relevant Collateral Debt
Security by the remaining number of years (rounded to the nearest hundredth) until such scheduled principal
payment is due, divided by (b) the total of all scheduled principal payments due on such Collateral Debt
Security.
For the purposes of the Weighted Average Life Test, if any Collateral Debt Security included in such
calculation is the subject of a Securities Lending Agreement and an event of default has occurred and is
continuing with respect to such Securities Lending Agreement, the Collateral Debt Securities the subject of such
defaulted Securities Lending Agreement as well as any Securities Lending Collateral provided with respect to
such defaulted Securities Lending Agreement shall be excluded from the calculation of the Weighted Average
Life Test.
(f)
The Minimum Weighted Average Spread Test
The “Minimum Weighted Average Spread Test” will be satisfied as of any Measurement Date from (and
including) the Target Date if the Weighted Average Spread as at such Measurement Date equals or exceeds the
Minimum Weighted Average Spread as at such Measurement Date.
The “Minimum Weighted Average Spread” as of any Measurement Date will equal the greater of the
number required by (a) the Fitch Test Matrix and (b) the S&P Test Matrix (in each instance based upon the case
specified therein which is applicable as at such Measurement Date).
There shall not be included in the calculation of the Weighted Average Spread or any component thereof,
any Non-Performing Security.
The “Weighted Average Spread” as of any Measurement Date will equal the sum of (A) an amount
(rounded up to the next 0.001 per cent.) determined by (a) multiplying the Principal Balance of each Euro
Collateral Debt Security and Non-Euro Collateral Debt Security by the per annum spread over the applicable
EURIBOR (or in the case of Non-Euro Collateral Debt Securities, over the applicable floating rate index) and
(b) aggregating the amounts determined pursuant to paragraph (a) for all Euro Collateral Debt Securities and
Non-Euro Collateral Debt Securities, and (c) dividing such amount by the aggregate of the Principal Balances of
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