Recovery Rate Assumptions
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Generic Recovery Rate Assumptions |
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Group 1 |
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Group 2 |
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Group 3 |
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Strong Recovery (%) |
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75 |
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65 |
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30 |
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Strong Recovery MML (%) |
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65 |
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N.A. |
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N.A. |
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Senior Secured Bonds (%) |
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60 |
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60 |
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N.A. |
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Moderate Recovery (%) |
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40 |
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40 |
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20 |
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Weak Recovery (%) |
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15 |
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15 |
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5 |
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Group 1: Australia, Bermuda, Canada, Cayman Islands, New Zealand, Puerto Rico, United States.
Group 2: Austria, Barbados, Belgium, Czech Republic, Denmark, Estonia, Finland, France, Germany, Gibraltar, Hong Kong, Iceland,
Ireland, Israel, Italy, Japan, Jersey, Latvia, Liechtenstein, Lithuania, Luxembourg, Netherlands, Norway, Poland, Portugal, Singapore, Slovakia, Slovenia, South Korea, Spain, Sweden, Switzerland, Taiwan, United Kingdom.
Group 3: Albania, Argentina, Asia Others, Bahamas, Bosnia and Herzegovina, Brazil, Bulgaria, Chile, China, Colombia, Costa Rica,
Croatia, Cyprus, Dominican Republic, Eastern Europe Others, Ecuador, Egypt, El Salvador, Greece, Guatemala, Hungary, India, Indonesia, Iran, Jamaica, Kazakhstan, Liberia, Macedonia, Malaysia, Malta, Marshall Islands, Mauritius, Mexico, Middle East
and North Africa Others, Moldova, Morocco, Other Central America, Other South America, Other Sub Saharan Africa, Pakistan, Panama, Peru, Philippines, Qatar, Romania, Russia, Saudi Arabia, Serbia and Montenegro, South Africa, Thailand, Tunisia,
Turkey, Ukraine, Uruguay, Venezuela, Vietnam.
Fitch Test Matrix
Subject to the provisions provided below, on or after the Closing Date, the Collateral Manager will have the option to elect which of the cases
set forth in the matrix below (or any replacement matrix provided or confirmed by Fitch) (the Fitch Test Matrix) shall be applicable for purposes of the Maximum Fitch Rating Factor Test, the Minimum Weighted Average Fitch Recovery
Rate Test and the Fitch Minimum Floating Spread Test. The Collateral Manager will have the option to use linear interpolation within the Fitch Test Matrix to the extent required. For any given case:
(a) the applicable value for determining satisfaction of the Maximum Fitch Rating Factor Test will be the value set forth in
the column header (or linear interpolation between two adjacent columns, as applicable) of the row-column combination in the Fitch Test Matrix selected by the Collateral Manager;
(b) the applicable value for determining satisfaction of the Fitch Minimum Floating Spread Test will be the percentage set
forth in the row header (or linear interpolation between two adjacent rows as applicable) of the row-column combination in the Fitch Test Matrix selected by the Collateral Manager; and
S-5-6