ROCKALL CLO B.V. - Irish Stock Exchange

than €0.95.
“Asset Category B-9 Investments” means Mezzanine Loans which
(i) are Performing, (ii) are priced by an Approved Source and (iii)
have a Market Value Price less than €0.80.
“Asset Category C-1 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of at least “BBB+” for the purposes
of calculating the S&P Advance Amount or a Moody’s OC Test
Rating of at least “Baa1” for the purposes of calculating the Moody’s
Advance Amount.
“Asset Category C-2 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “BBB” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “Baa2” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category C-3 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “BBB-“ for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “Baa3” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category D-1 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “BB+” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “Ba1” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category D-2 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “BB” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “Ba2” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category D-3 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “BB-“ for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “Ba3” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category E-1 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “B+” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “B1” for the purposes of calculating the Moody’s Advance Amount.
“Asset Category E-2 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “B” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “B2” for the purposes of calculating the Moody’s Advance Amount.
“Asset Category E-3 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “B-“ for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “B3” for the purposes of calculating the Moody’s Advance Amount.
“Asset Category F-1 Investments” means High Yield Securities
which (i) are Performing, (ii) are priced by an Approved Source and
(iii) have an S&P OC Test Rating of “CCC+” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
- 113 -