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EFTA01365543

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exercise of any redemption rights (or tender offers or exchange offers for such obligations). the prevailing level of interest rates, the redemption price. the actual default rate and the actual level of recoveries on defaulted obligations. the level of reinvestment of certain types of proceeds after the Reinvestment Period. prepayments and the amount and frequency of any sales of Collateral Obligations by the Investment Manager and the ability of the Investment Manager to invest in additional Collateral Obligations. A shortening of the average life of the Rated Notes may adversely affect returns on the Subordinated Securities. The Collateral Obligations actually acquired by the Issuer may be different from those expected to be purchased by the Investment Manager, on behalf of the Issuer. due to market conditions, availability of such Collateral Obligations and other factors. The actual portfolio of Collateral Obligations owned by the Issuer will change from time to time as a result of sales and purchases of Collateral Obligations. The Issuer will cause the redemption (in whole but not in part) of all Classes of the Notes, as described under, and subject to the conditions described in. "Description of Certain Terms of the Securities — Optional Redemption." In addition, the Notes may be accelerated upon the occurrence of an Event of Default, as described under "The Indenture and the Fiscal Agency Agreement — Events of Default; Acceleration." There can be no assurance that. upon any Rated Notes Redemption the proceeds realized would permit any payment on the Subordinated Securities after all required payments are made in accordance with the Priority of Payments. or upon an acceleration of the Notes, the proceeds realized would be sufficient to pay the Rated Notes in full and permit any payment on the Subordinated Securities. In particular, the market prices of the Collateral Obligations and any payment due to Hedge Counteiparties will affect returns

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