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

The “Class B Loss Differential” at any time, is the rate calculated by subtracting the Class B Scenario Loss
Rate at such time from the Class B Break Even Loss Rate at such time.
The “Class B Scenario Loss Rate” at any time, is an estimate of the cumulative default rate for the Current
Portfolio or the Proposed Portfolio, as applicable, consistent with a “AA” rating of the Class B Notes by S&P
determined by application of the CDO Evaluator at such time.
The “Class C Break Even Loss Rate” at any time, is the maximum percentage of defaults which the
Current Portfolio or the Proposed Portfolio, as applicable, can sustain, as determined by S&P through
application of the CDO Evaluator, which after giving effect to S&P’s assumptions on recoveries and timing and
to the Priorities of Payment, will result in sufficient funds remaining for the ultimate payment of the Class C
Notes in full and the ultimate payment of interest on the Class C Notes.
The “Class C Loss Differential” at any time, is the rate calculated by subtracting the Class C Scenario
Loss Rate at such time from the Class C Break Even Loss Rate at that time.
The “Class C Scenario Loss Rate” at any time, is an estimate of the cumulative default rate for the Current
Portfolio or the Proposed Portfolio, as applicable, consistent with a “A” rating of the Class C Notes by S&P,
determined by application of the CDO Evaluator at such time.
The “Class D Break Even Loss Rate” at any time, is the maximum percentage of defaults which the
Current Portfolio or the Proposed Portfolio, as applicable, can sustain, as determined by S&P through
application of the CDO Evaluator, which after giving effect to S&P’s assumptions on recoveries and timing and
to the Priorities of Payment, will result in sufficient funds remaining for the ultimate payment of the Class D
Notes in full and the ultimate payment of interest on the Class D Notes.
The “Class D Loss Differential” at any time, is the rate calculated by subtracting the Class D Scenario
Loss Rate at such time from the Class D Break Even Loss Rate at such time.
The “Class D Scenario Loss Rate” at any time, is an estimate of the cumulative default rate for the Current
Portfolio or the Proposed Portfolio, as applicable, consistent with a “BBB” rating of the Class D Notes by S&P
determined by application of the CDO Evaluator at such time.
The “Class E Break Even Loss Rate” at any time, is the maximum percentage of defaults which the
Current Portfolio or the Proposed Portfolio, as applicable, can sustain, as determined by S&P through
application of the CDO Evaluator, which after giving effect to S&P’s assumptions on recoveries and timing and
to the Priorities of Payment, will result in sufficient funds remaining for the ultimate payment of the Class E
Notes in full and the ultimate payment of interest on the Class E Notes.
The “Class E Loss Differential” at any time, is the rate calculated by subtracting the Class E Scenario Loss
Rate at such time from the Class E Break Even Loss Rate at such time.
The “Class E Scenario Loss Rate” at any time, is an estimate of the cumulative default rate for the Current
Portfolio or the Proposed Portfolio, as applicable, consistent with a “BB” rating of the Class E Notes by S&P
determined by application of the CDO Evaluator at such time.
The “Current Portfolio” means the portfolio (measured by Principal Balance) of Collateral Debt
Securities, Euro Principal Proceeds, Sterling Principal Proceeds and Uninvested Proceeds held as cash and
Eligible Investments purchased with Euro Principal Proceeds, Sterling Principal Proceeds or Uninvested
Proceeds existing immediately prior to the sale, maturity or other disposition of a Collateral Debt Security or a
proposed purchase of a Collateral Debt Security, as the case may be.
The “Proposed Portfolio” means the portfolio (measured by Principal Balance) of Collateral Debt
Securities, Euro Principal Proceeds, Sterling Principal Proceeds and Uninvested Proceeds held as cash and
Eligible Investments purchased with Euro Principal Proceeds, Sterling Principal Proceeds or Uninvested
Proceeds resulting from the sale, maturity or other disposition of a Collateral Debt Security or a proposed
purchase of a Collateral Debt Security, as the case may be.
The “CDO Evaluator” is the dynamic, analytical computer model developed by S&P used to estimate
default risk of Collateral Debt Securities and provided to the Collateral Manager and the Collateral
Administrator on or before the Issue Date, as it may be modified by S&P from time to time. The CDO
Evaluator calculates the cumulative default rate of a pool of Collateral Debt Securities consistent with a
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