Attentus CDO I Offering Circular - Irish Stock Exchange

Interest Rate Risk. The Senior Notes bear interest at a rate based on three-month LIBOR (except
for the Class C-2B Notes during the period from the Closing Date to the last day of the Interest Period
ending prior to the Distribution Date occurring in May 2011) as determined on the relevant LIBOR
Determination Date. The Collateral Debt Securities will include obligations that bear interest at fixed
rates or at floating rates that are not the same as the rate or rates on the Senior Notes. In addition, a
portion of the Collateral Debt Securities may bear interest at a fixed rate for a specified period of time and
then bear interest at a floating rate until their maturity. Accordingly, the Senior Notes are subject to
interest rate risk to the extent that there is an interest rate mismatch between the rates at which interest
accrues on the Senior Notes and the rates at which interest accrues on the Collateral Debt Securities. In
addition, any payments of principal of or interest on Collateral Debt Securities received during a Due
Period will be reinvested in Eligible Investments maturing not later than the Business Day immediately
preceding the next Distribution Date. There is no requirement that Eligible Investments bear interest at
LIBOR, and the interest rates available for Eligible Investments are inherently uncertain. As a result of
these mismatches, a change in three-month LIBOR could adversely impact the ability of the Issuer to
make payments on the Notes (including by reason of a decline in the value of previously issued fixed rate
Collateral Debt Securities as LIBOR increases). With a view toward mitigating a portion of such interest
rate mismatch, the Issuer may on the Closing Date, and may at any time during the Reinvestment Period,
upon satisfaction of the Rating Condition with respect thereto, enter into one or more Hedge Agreements
in accordance with the terms of the Indenture. There cannot, however, be any assurance that the
Collateral Debt Securities and Eligible Investments, together with the Hedge Agreements, will generate
sufficient Interest Proceeds to make timely payments of interest on the Senior Notes. Moreover, the
benefits of the Hedge Agreements may not be achieved in the event of the early termination of the Hedge
Agreements, including termination upon the failure of any Hedge Counterparty to perform its obligations
thereunder. See “Security for the Senior Notes—The Hedge Agreements.”
Subject to the satisfaction of the Rating Condition with respect to such reduction, the Collateral
Manager may on any Distribution Date direct the Issuer to reduce the notional amount of any interest rate
swap or cap outstanding under any Hedge Agreement. In the event of any such reduction, the applicable
Hedge Counterparty or the Issuer may be required to make a termination payment in respect of such
reduction to the other party. See “Security for the Senior Notes—The Hedge Agreements.”
The Hedge Agreement that will be in effect on the Closing Date may provide that the Hedge
Counterparty will make an up-front payment to the Issuer. As a result of such up-front payment, if any,
the amounts payable under the Hedge Agreement by the Issuer on each Distribution Date may be more
than each would have been if the up-front payment had not been made. Therefore, if such an up-front
payment were made, the funds available to make payments on the Notes may be less on each Distribution
Date than they would have been if the up-front payment had not been made. Moreover, in the event of an
early termination of such Hedge Agreement, the Issuer is more likely to be required to make a termination
payment to the Hedge Counterparty (and the amount of such termination payment is likely to be larger) as
a result of such up-front payment.
Average Life of the Offered Notes and Prepayment Considerations. The average life of the
Offered Notes are expected to be shorter than the number of years until the Stated Maturity thereof. See
“Maturity, Prepayment and Yield Considerations.”
The average life of the Offered Notes will be affected by the financial condition of the issuers of
the Collateral Debt Securities and the characteristics of the Collateral Debt Securities, including the
existence and frequency of exercise of any prepayment, optional redemption or sinking fund features, the
prevailing level of interest rates, the redemption price, the actual default rate and the actual level of
recoveries on any Defaulted Securities, the frequency of tender or exchange offers for the Collateral Debt
Securities and any dividends or other distributions received in respect of Equity Securities. Pursuant to
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