ROCKALL CLO B.V. - Irish Stock Exchange

of “Caa1” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category F-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 “CCC” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
of “Caa2” for the purposes of calculating the Moody’s Advance
Amount.
“Asset Category F-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 “CCC-“ or below or “NR” for the
purposes of calculating the S&P Advance Amount or a Moody’s OC
Test Rating of “Caa3” or below or “NR” for the purposes of calculating
the Moody’s Advance Amount.
“Asset Category I-1 Investments” means Senior Secured Loans
and Senior Unsecured Loans which (i) are non-Performing, (ii) are
priced by an Approved Source and (iii) have a Market Value Price
greater than or equal to €0.95.
“Asset Category I-2 Investments” means Senior Secured Loans
and Senior Unsecured Loans which (i) are non-Performing, (ii) are
priced by an Approved Source and (iii) have a Market Value Price
greater than or equal to €0.80 and less than €0.95.
“Asset Category I-3 Investments” means (i) Senior Secured Loans
and Senior Unsecured Loans which (a) are non-Performing, (b) are
priced by an Approved Source and (c) have a Market Value Price
less than €0.80, (ii) the portion of the aggregate Market Value of all
Senior Secured Loans described in Asset Categories B-1, B-2 and
B-3 or I-1 and 1-2 above that have an S&P OC Test Rating below
“B-“ or of “NR” for the purposes of calculating the S&P Advance
Amount or a Moody’s OC Test Rating of below “B3” or of “NR” for the
purposes of calculating the Moody’s Advance Amount that is in
excess of 15 per cent. of Total Capitalisation, (iii) the portion of the
aggregate Market Value of all Senior Unsecured Loans described in
Asset Categories B-1, B-2 and B-3 or I-1 and I-2 above that have an
S&P OC Test Rating below “B-“ or of “NR” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
below “B3” or of “NR” for the purposes of calculating the Moody’s
Advance Amount that is in excess of 2.5 per cent. of Total
Capitalisation and (iv) the portion of the aggregate Market Value of
Senior Unsecured Loans that is in excess of 7.5 per cent. of Total
Capitalisation.
“Asset Category I-4 Investments” means Second Lien Loans which
(i) are non-Performing, (ii) are priced by an Approved Source and (iii)
have a Market Value Price greater than or equal to €0.95.
“Asset Category I-5 Investments” means Second Lien Loans which
(i) are non-Performing, (ii) are priced by an Approved Source and (iii)
have a Market Value Price greater than or equal to €0.80 and less
than €0.95.
“Asset Category I-6 Investments” means (i) Second Lien Loans
which (a) are non-Performing, (b) are priced by an Approved Source
and (c) have a Market Value Price less than €0.80 and (ii) the portion
of the aggregate Market Value of all Second Lien Loans described in
Asset Categories B-4, B-5 and B-6 or I-4 and I-5 above that have an
S&P OC Test Rating below “B-“ or of “NR” for the purposes of
calculating the S&P Advance Amount or a Moody’s OC Test Rating
below “B3” or of “NR” for the purposes of calculating the Moody’s
Advance Amount that is in excess of 5 per cent. of Total
Capitalisation.
“Asset Category I-7 Investments” means Mezzanine Loans which
(i) are non-Performing, (ii) are priced by an Approved Source and (iii)
- 114 -