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EFTA01365542

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Impact of Uninvested Cash Balances; Unpaid Accrued Interest on Collateral. To the extent the Investment Manager (on behalf of the Issuer) maintains cash balances invested in short-term investments instead of higher >ielding obligations, portfolio income will be reduced which will result in reduced amounts available for distributions on the Securities, in particular the Subordinated Securities. On the Closing Date, the Issuer is expected to have significant uninvested proceeds. This will likely reduce the amount of Interest Proceeds that would otherwise be available to distribute to the holders of the Subordinated Securities, particularly on the first Distribution Date. If the Issuer issues additional securities after the Closing Date, the Issuer would likely have significant uninvested proceeds of the offering, pending investment in Collateral Obligations. The extent to which cash balances remain uninvested will be subject to a variety of factors, including future market conditions and is difficult to predict. In addition, there will be a mismatch between the payment dates of the Collateral Obligations and the Distribution Dates with respect to the Securities. Accordingly. interest that has accrued on Collateral Obligations during a Due Period may not be received by the Issuer during such Due Period, which may adversely affect the Issuer's ability to make payments and distributions on the Securities, particularly the Subordinated Securities, on any particular Distribution Date. Calculation of Overcollateralization Tests If any Coverage Test is not satisfied as of any Determination Date, cash flows otherwise payable to Lower Ranking Classes of Securities will be diverted to the payment of principal of Higher Ranking Classes of Rated Notes as set forth in the Priority of Payments. Calculation of the Principal Balance of Collateral Obligations for purposes of the Overeollateralization Tests applies certain reductions to the par amount of Collateral O

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