Octagon Investment Partners IX, Ltd. JPMorgan - Irish Stock Exchange

The "Class A-1 Loss Differential" will be, at any time, the rate calculated by subtracting the Class A-1 Scenario
Default Rate at such time from the Class A-1 Break-Even Default Rate at such time.
The "Class A-1 Scenario Default Rate" will be, at any time, an estimate (determined by application of the
Standard & Poor's CDO Monitor at such time) of the maximum cumulative default rate for the Current Portfolio or
the Proposed Portfolio, as applicable, that would be consistent with a "AAA" rating of the Class A-1 Notes by
Standard & Poor's.
The "Class A-1 Break-Even Default Rate" will be, on any date of determination, the maximum percentage of
defaults that the Current Portfolio or the Proposed Portfolio, as applicable, can sustain, through application of the
Standard & Poor's CDO Monitor, and that, after giving effect to Standard & Poor's assumptions on recoveries on
defaulted obligations and timing of such recoveries and to the Priority of Payments, will result in sufficient funds
remaining for the payment of the Class A-1 Notes in full by their Stated Maturity and the timely payment of interest
on the Class A-1 Notes.
The "Class A-2 Loss Differential" will be, at any time, the rate calculated by subtracting the Class A-2 Scenario
Default Rate at such time from the Class A-2 Break-Even Default Rate at such time.
The "Class A-2 Scenario Default Rate" will be, at any time, an estimate (determined by application of the
Standard & Poor's CDO Monitor at such time) of the maximum cumulative default rate for the Current Portfolio or
the Proposed Portfolio, as applicable, that would be consistent with a "AA" rating of the Class A-2 Notes by
Standard & Poor's.
The "Class A-2 Break-Even Default Rate" will be, on any date of determination, the maximum percentage of
defaults that the Current Portfolio or the Proposed Portfolio, as applicable, can sustain, through application of the
Standard & Poor's CDO Monitor, and that, after giving effect to Standard & Poor's assumptions on recoveries on
defaulted obligations and timing of such recoveries and to the Priority of Payments, will result in sufficient funds
remaining for the payment of the Class A-2 Notes in full by their Stated Maturity and the timely payment of interest
on the Class A-2 Notes.
The "Class B Loss Differential" will be, at any time, the rate calculated by subtracting the Class B Scenario
Default Rate at such time from the Class B Break-Even Default Rate at such time.
The "Class B Scenario Default Rate" will be, at any time, an estimate (determined by application of the
Standard & Poor's CDO Monitor at such time) of the maximum cumulative default rate for the Current Portfolio or
the Proposed Portfolio, as applicable, that would be consistent with a "A" rating of the Class B Notes by Standard &
Poor's.
The "Class B Break-Even Default Rate" will be, on any date of determination, the maximum percentage of
defaults that the Current Portfolio or the Proposed Portfolio, as applicable, can sustain, through application of the
Standard & Poor's CDO Monitor, and that, after giving effect to Standard & Poor's assumptions on recoveries on
defaulted obligations and timing of such recoveries and to the Priority of Payments, will result in sufficient funds
remaining for the payment of the Class B Notes in full by their Stated Maturity and the timely payment of interest on
the Class B Notes.
The "Class C Loss Differential" will be, at any time, the rate calculated by subtracting the Class C Scenario
Default Rate at such time from the Class C Break-Even Default Rate at such time.
The "Class C Scenario Default Rate" will be, at any time, an estimate (determined by application of the
Standard & Poor's CDO Monitor at such time) of the maximum cumulative default rate for the Current Portfolio or
the Proposed Portfolio, as applicable, that would be consistent with a "BBB" rating of the Class C Notes by Standard
& Poor's.
The "Class C Break-Even Default Rate" will be, on any date of determination, the maximum percentage of
defaults that the Current Portfolio or the Proposed Portfolio, as applicable, can sustain, through application of the
Standard & Poor's CDO Monitor, and that, after giving effect to Standard & Poor's assumptions on recoveries on
defaulted obligations and timing of such recoveries and to the Priority of Payments, will result in sufficient funds
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