Attentus CDO I Offering Circular - Irish Stock Exchange

(iii) establishing recovery floors or other means of interest rate and credit protection
as a result of interest shortfalls, writedowns and defaults on Reference Obligations.
Synthetic Securities will not be used as a means of leveraging credit risk, whether through the use
of a basket of Reference Obligations or otherwise (which, if not leveraged, may be permitted consistent
with the definition of “Collateral Debt Security”), and except as otherwise permitted herein will not be
used as a means of making future advances to a Synthetic Security Counterparty (it being understood that
a payment of Synthetic Security Collateral in exchange for Deliverable Obligations (as defined below)
does not constitute such an advance).
The Issuer's exposure to a particular Synthetic Security Counterparty will be subject to the
limitations described in the definition of “Synthetic Security Counterparty”. As part of the purchase of a
Synthetic Security, the Issuer may be required to purchase or post Synthetic Security Collateral.
“Deliverable Obligation” means, except as provided in the immediately following paragraph, a
debt obligation or other security that is delivered to the Issuer upon the occurrence of certain “credit
events” under a Synthetic Security that satisfies the definition of “Collateral Debt Security” at the time it
is delivered to the Issuer, except that such debt obligation or other security may be a Credit Risk Security
or a Defaulted Security at the time delivered to the Issuer; provided, that notwithstanding any provision to
the contrary contained herein, the Issuer may accept the delivery of a Deliverable Obligation that does not
meet the foregoing requirements if (i) the terms of the related Synthetic Security otherwise satisfy the
definition of “Deliverable Obligation” at the time it is purchased by or entered into by the Issuer and (ii) it
would be impractical or impossible for the Synthetic Security Counterparty to deliver a Deliverable
Obligation that satisfies the requirements set forth in the definition of “Deliverable Obligation” and cash
settlement is not permitted; and provided further, that in the event the Issuer accepts a Deliverable
Obligation that does not meet the requirements of this definition (a “Substitute Deliverable Obligation”)
because it is impractical or impossible for the Synthetic Security Counterparty to deliver a Deliverable
Obligation meeting such requirements, the market value, as determined by the Collateral Manager, of the
Substitute Deliverable Obligation must be at least as high as the Deliverable Obligation that could not be
delivered. If any security shall be delivered to the Issuer other than in accordance with the requirements
set forth in this paragraph, such security shall be deemed to be an Equity Security.
The Collateral Quality Tests
The “Collateral Quality Tests” will be used, together with the Eligibility Criteria and the
Collateral Debt Securities Criteria, primarily as criteria for purchasing Collateral Debt Securities. The
Collateral Quality Tests will consist of the Moody’s Asset Correlation Test, the Moody’s Implied
Weighted Average Rating Factor Test, the Fitch Weighted Average Rating Factor Test, the Weighted
Average Coupon Test, the Weighted Average Life Test and the Weighted Average Spread Test.
Measurement of the degree of compliance with the Collateral Quality Tests will be required on
the Closing Date and on the Ramp-Up Completion Date.
Ratings Matrix. Subject to the provisions provided below, the Collateral Manager will have the
option to elect which combination of Moody’s Asset Correlation Factor and Moody’s Implied Weighted
Average Rating Factor set forth in the Ratings Matrix shall be applicable for purposes of the Moody’s
Asset Correlation Test and the Moody’s Implied Weighted Average Rating Factor Test. On the Effective
Date, the Collateral Manager will be required to elect which "row/column combination" shall apply
initially. Thereafter, on two Business Days' notice to the Trustee and Moody's, the Collateral Manager
may elect to have a different "row/column combination" apply. In no event will the Collateral Manager be
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