Maryland
|
000-54755
|
45-3058280
|
||
(State or Other Jurisdiction of Incorporation)
|
(Commission File Number)
|
(I.R.S. Employer Identification No.)
|
3 Park Avenue, 36th Floor
New York, New York 10016
|
||
(Address of Principal Executive Offices) |
(212) 418-4700
|
||
(Registrant’s telephone number, including area code)
|
Not applicable
|
||
(Former name or former address, if changed since last report)
|
Item 9.01. Financial Statements and Exhibits. |
(d)
|
Exhibits.
|
EXHIBIT NUMBER
|
DESCRIPTION
|
|
10.1 | Third Amended and Restated Confirmation Letter Agreement, dated April 30, 2014, by and between Flatiron Funding, LLC and Citibank, N.A. |
SIGNATURES |
CĪON Investment Corporation
|
||
Date:
|
May 5, 2014
|
By: /s/ Michael A. Reisner
|
Co-President and Co-Chief Executive Officer |
EXHIBIT NUMBER
|
DESCRIPTION
|
|
10.1 | Third Amended and Restated Confirmation Letter Agreement, dated April 30, 2014, by and between Flatiron Funding, LLC and Citibank, N.A. |
Citibank, N.A.
390 Greenwich Street
New York, New York 10013
|
Date:
|
December 17, 2012 (amended and restated as of April 30, 2014)
|
To:
|
Flatiron Funding, LLC
|
From:
|
Citibank, N.A.
|
|
333 West 34th Street
|
|
2nd Floor
|
|
New York, New York 10001
|
|
Attention: Director Derivative Operations
|
|
Facsimile: 212-615-8594
|
General Terms:
|
|
Trade Date:
|
December 17, 2012
|
Effective Date:
|
December 17, 2012
|
Amendment Effective Date: | December 9, 2013 |
Second Amendment Effective Date:
|
February 18, 2014
|
Third Amendment Effective Date: | April 30, 2014 |
Scheduled Termination Date:
|
The latest date for the final scheduled payment (or, if there is only one scheduled payment, for the scheduled payment) of principal of any Reference Obligation at any time included in the Reference Portfolio, as such date may be accelerated pursuant to the first sentence of Clause 3(c).
|
Citibank Call Date:
|
December 17, 2014; provided that Citibank and Counterparty may agree in writing to extend the Citibank Call Date.
|
Termination Date:
|
The final Scheduled Settlement Date (as defined in the Master Agreement) with respect to all Transactions (other than any Counterparty Fourth Floating Rate Payer Payment Date). The obligations of the parties to make payments required to be made hereunder shall survive the Termination Date.
|
Obligation Termination Date:
|
(a) In relation to any Repaid Obligation, the related Repayment Date; and
(b) In relation to any Terminated Obligation, the related Termination Settlement Date.
|
Reference Portfolio:
|
As of any date of determination, all Reference Obligations with respect to all Transactions outstanding on such date.
|
Reference Obligation:
|
Each obligation listed on Annex I as revised from time to time pursuant to this Confirmation having a Reference Amount equal to the "Reference Amount" indicated on Annex I for such obligation (and, in the case of a Committed Obligation, having an Outstanding Principal Amount equal to the "Outstanding Principal Amount" indicated on Annex I for such Committed Obligation), in each case, subject to adjustment by the Calculation Agent in accordance with the terms of this Confirmation. Each Reference Obligation shall be the subject of a Transaction hereunder.
|
Counterparty may, by notice to Citibank on any Business Day on or after the Trade Date (each, an "Obligation Trade Date"), designate that any obligation (each, a "Reference Obligation") shall become the subject of a Transaction hereunder. Any such notice shall specify the proposed Reference Obligation, Reference Entity, Reference Amount and Initial Price in relation to such Transaction.
Notwithstanding the foregoing, no such designation by Counterparty will be effective unless:
(a) Citibank consents on or prior to the Obligation Trade Date to the relevant Reference Obligation becoming the subject of a Transaction hereunder, such consent not to be unreasonably withheld or delayed, with effect as set forth in the second and third succeeding paragraphs;
(b) on the Obligation Trade Date (i) the relevant Reference Obligation satisfies the Obligation Criteria set forth in Annex II and (ii) the Portfolio Criteria set forth in Annex II are satisfied (or, if any Portfolio Criterion is not satisfied immediately prior to such designation, then the extent of compliance with such Portfolio Criterion is maintained or improved); and
(c) if the relevant Reference Obligation would be a Specified Reference Obligation, Counterparty gives notice of such fact to Citibank in such notice of designation (provided that any failure to give such notice shall not affect the effectiveness of such designation).
|
Without limiting the generality of the foregoing clause (a), Citibank may reasonably withhold its consent to any such designation based on any legal, accounting, tax or other similar issues that are adverse to Citibank in any material respect and that would or could reasonably be expected to arise as a result of the entry into such Transaction or any purchase by the Citibank Holder of such Reference Obligation as a hedge for such Transaction. In the event that Citibank determines not to hold, or cause to be held, all or any portion of any such Reference Obligation as a hedge for the such Transaction on the Obligation Settlement Date for such Transaction, Citibank shall no later than the Obligation Trade Date give notice thereof to Counterparty. In addition, Citibank will promptly respond to any notice from Counterparty requesting that Citibank identify whether Citibank is holding, or causing to be held, the relevant Reference Obligation as a hedge for one or more Transactions identified in such notice from Counterparty.
The "Obligation Settlement Date" for a Transaction shall be the date following the Obligation Trade Date for such Transaction that is customary for settlement of the related Reference Obligation substantially in accordance with the then-current market practice in the principal market for the related Reference Obligation (as determined by the Calculation Agent).
On the Obligation Trade Date for a Transaction, the Reference Amount of such Transaction shall, for all purposes hereof other than calculating Rate Payments, be increased by the "Reference Amount" specified in such notice from Counterparty. On the Obligation Settlement Date for a Transaction, the Reference Amount of such Transaction shall, solely for the purposes of calculating Rate Payments, be increased by the "Reference Amount" specified in such notice from Counterparty.
Once a Reference Obligation becomes the subject of a Transaction hereunder, Citibank shall promptly prepare and deliver to Counterparty a revised Annex I reflecting the Reference Portfolio as of the related Obligation Trade Date.
|
If any payment of interest on a Reference Obligation that would otherwise be made during the period from and including the Obligation Trade Date to but excluding the Termination Trade Date is not made but is capitalized as additional principal (without default), then the amount of interest so capitalized as principal shall become a new Transaction hereunder (a "PIK Transaction") having the same terms and conditions as the Transaction relating to the Reference Obligation in respect of which such interest is capitalized, except that (1) the Initial Price in relation to such PIK Transaction shall be zero, (2) the Obligation Trade Date and Obligation Settlement Date for such PIK Transaction shall be the date on which such interest is capitalized and (3) the Reference Amount of such PIK Transaction will be the amount of interest so capitalized as principal. Citibank shall give notice to Counterparty after a PIK Transaction becomes outstanding as provided above, which notice shall set forth the information in the foregoing clauses (2) and (3).
|
|
Reference Entity:
|
The borrower of the Reference Obligation identified as such in Annex I. In addition, "Reference Entity", unless the context otherwise requires, shall also refer to any guarantor of or other obligor on the Reference Obligation.
|
Ramp-Up Period:
|
The period from and including the Amendment Effective Date and ending on and including the date occurring 90 days after the Amendment Effective Date.
|
Ramp-Down Period:
|
The period from and including the date 90 days prior to the Scheduled Termination Date and ending on and including the Scheduled Termination Date.
|
Portfolio Notional Amount:
|
As of any date of determination, the sum of the Notional Amounts for all Reference Obligations as of such date.
|
Notional Amount:
|
(a) In relation to any Transaction (other than with respect to any Terminated Obligation or Repaid Obligation), as of any date of determination, the Reference Amount of the related Reference Obligation as of such date multiplied by the Initial Price in relation to such Reference Obligation; and
(b) In relation to any Transaction with respect to a Terminated Obligation or Repaid Obligation, the amount of the reduction in the Reference Amount of the related Reference Obligation determined, in the case of a Terminated Obligation, pursuant to Clause 3 or, in the case of a Repaid Obligation, pursuant to Clause 5, in each case multiplied by the Initial Price in relation to the related Reference Obligation.
|
Outstanding Principal Amount:
|
In relation to any Reference Obligation as of any date of determination, the outstanding principal amount of such obligation as shown in the then current Annex I, as increased pursuant to this Clause 2 (or, in the case of any Committed Obligation, pursuant to any borrowing in respect of such Committed Obligation after the Obligation Settlement Date) and reduced pursuant to Clauses 3 and 5. Except as otherwise expressly provided below with respect to Counterparty First Floating Amounts, the principal amount of any Committed Obligation outstanding on any date shall include the aggregate stated face amount of all letters of credit, bankers' acceptances and other similar instruments issued in respect of such Committed Obligation to the extent that the holder of such Committed Obligation is obligated to extend credit in respect of any drawing or other similar payment thereunder.
|
Commitment Amount:
|
In relation to any Reference Obligation that is a Committed Obligation (and the related Transaction) as of any date of determination, the maximum outstanding principal amount of such Reference Obligation that a registered holder thereof would on such date be obligated to fund (including all amounts previously funded and outstanding, whether or not such amounts, if repaid, may be reborrowed).
|
Notional Funded Amount:
|
In relation to any Reference Obligation that is a Committed Obligation (and to the related Transaction) as of any date of determination, the greater of (a) zero and (b) the sum of (i) the Outstanding Principal Amount of such Reference Obligation as of the Obligation Trade Date multiplied by the Initial Price in relation to such Reference Obligation minus (ii) the product of (x) the excess, if any, of the Commitment Amount of such Reference Obligation as of the Obligation Trade Date over the Outstanding Principal Amount of such Reference Obligation as of the Obligation Trade Date multiplied by (y) 100% minus the Initial Price in relation to such Reference Obligation plus (iii) any increase in the Outstanding Principal Amount of such Reference Obligation during the period from but excluding the Obligation Trade Date to and including such date of determination minus (iv) any decrease in the Outstanding Principal Amount of such Reference Obligation during the period from but excluding the Obligation Trade Date to and including such date of determination.
In relation to any Reference Obligation that is a Term Obligation (and the related Transaction) as of any date of determination, the Notional Amount of such Reference Obligation.
|
Portfolio Notional Funded Amount:
|
As of any date of determination, the aggregate of all Notional Funded Amounts with respect to all Reference Obligations in the Reference Portfolio on such date of determination.
|
Reference Amount:
|
In relation to (a) any Term Obligation, the Outstanding Principal Amount thereof and (b) any Committed Obligation, the Commitment Amount thereof.
|
Utilization Amount:
|
In relation to any Calculation Period, the daily average of the Portfolio Notional Funded Amount during such Calculation Period.
|
Maximum Portfolio Notional Amount:
|
USD325,000,000, or such greater amount as the parties may agree to in writing.
|
Minimum Portfolio Notional Amount:
|
80% of the Maximum Portfolio Notional Amount.
|
Business Day:
|
New York
|
Business Day Convention:
|
Following (which shall apply to any date specified herein for the making of any payment or determination or the taking of any action which falls on a day that is not a Business Day).
If any anniversary date specified herein would fall on a day on which there is no corresponding day in the relevant calendar month, then such anniversary date shall be the last day of such calendar month.
|
Monthly Period:
|
Each period from and including the 12th day of any calendar month to but excluding the same day of the immediately succeeding calendar month.
|
Calculation Agent:
|
Citibank; provided that, if an Event of Default described in Section 5(a)(vii) occurs with respect to Citibank as Defaulting Party and no Event of Default has occurred with respect to Counterparty as Defaulting Party, then Counterparty may designate any of Bank of America, NA, The Bank of Montreal, Barclays Bank plc, Canadian Imperial Bank of Commerce, Credit Suisse, Deutsche Bank AG, JPMorgan Chase Bank, N.A., UBS AG and Wells Fargo Bank, National Association as Calculation Agent, which designation shall be effective only (a) if such designated entity accepts such appointment and agrees to perform the duties of the Calculation Agent hereunder and (b) so long as such Event of Default with respect to Citibank as Defaulting Party continues. Unless otherwise specified, the Calculation Agent shall make all determinations, calculation s and adjustments required pursuant to this Confirmation in good faith and on a commercially reasonable basis.
|
Calculation Agent City:
|
New York
|
Initial Price:
|
In relation to any Reference Obligation (and the related Transaction), the Initial Price specified in Annex I. The Initial Price will be determined as of the related Obligation Trade Date exclusive of accrued interest and will be expressed as a percentage of the Reference Amount. The Initial Price will be determined exclusive of Costs of Assignment that would be incurred by a buyer in connection with any purchase of the Reference Obligation and exclusive of any Delay Compensation.
|
Payments by Counterparty
|
|
Counterparty First Floating Amounts:
|
|
First Floating Amount Payer:
|
Counterparty
|
First Floating Amount:
|
In relation to any First Floating Rate Payer Payment Date, the sum, for each Transaction for which such date is a First Floating Rate Payer Payment Date, of the products of (a) the First Floating Rate Payer Calculation Amount for such Transaction for the related First Floating Rate Payer Calculation Period multiplied by (b) the Floating Rate Option for such Transaction during the related First Floating Rate Payer Calculation Period plus the Spread multiplied by (c) the Floating Rate Day Count Fraction; provided that, for purposes of the foregoing calculation, the percentage specified in the foregoing clause (b) shall be the Spread (and not the Floating Rate Option plus the Spread) with respect to any portion of a First Floating Rate Payer Calculation Amount constituting the undrawn stated face amount of all letters of credit, bankers' acceptances and other similar instruments issued in respect of a related Committed Obligation.
If the Floating Rate Option in relation to any Transaction varies during any First Floating Rate Payer Calculation Period, then the Floating Rate Option for such Calculation Period shall be equal to (a) the sum, for each day during such Calculation Period, of the products of the Notional Funded Amount of such Transaction for such Calculation Period multiplied by the Floating Rate Option in effect on such day divided by (b) the sum of the Notional Funded Amount of such Transaction on each such day.
|
First Floating Rate Payer
Calculation Amount:
|
In relation to any First Floating Rate Payer Payment Date and any Transaction, the daily average of the Notional Funded Amount of such Transaction during the related First Floating Rate Payer Calculation Period.
|
First Floating Rate Payer
Calculation Period:
|
In relation to any Transaction, each period from and including any date upon which a payment of interest is scheduled or otherwise required to be made on the related Reference Obligation to but excluding the next such date, except that (a) the initial First Floating Rate Payer Calculation Period will commence on, and include, the Obligation Settlement Date for such Transaction and (b) the final First Floating Rate Payer Calculation Period will end on, but exclude, the related Obligation Termination Date.
|
First Floating Rate
Payer Payment Dates:
|
(a) In relation to any Transaction (other than with respect to any Terminated Obligation or Repaid Obligation), the fifth Business Day following the last day of any Monthly Period during which any payment of interest is scheduled or otherwise required to be made on the related Reference Obligation, commencing with the first such date after the Obligation Settlement Date for such Transaction and ending with the last such date occurring prior to the related Obligation Termination Date; and
(b) In relation to any Transaction with respect to a Terminated Obligation or Repaid Obligation, the related Total Return Payment Date.
|
Floating Rate Option:
|
In relation to any Transaction, the floating rate index specified in the term loan agreement, revolving loan agreement or other similar credit agreement governing the related Reference Obligation (the "Reference Obligation Credit Agreement") that is used to determine the rate of interest payable on such Reference Obligation; provided that (a) if more than one interest rate setting is at any time used to determine the rate of interest payable on a Reference Obligation (i.e., an interest rate election for a specific interest period relating to such Reference Obligation), then a separate First Floating Amount shall be calculated for each portion of such Reference Obligation as to which a separate interest rate setting has been effected, (b) any interest that has accrued to a specified date but is permitted under the Reference Obligation Credit Agreement to be capitalized or deferred as of such date (without default) shall be deemed to be scheduled to be paid on such date, (c) any Reference Obligation Credit Agreement that provides for the payment of interest less frequently than quarterly will be deemed to provide for a scheduled quarterly payment of interest on each date specified by Citibank, which date so specified shall be the calendar day of the month corresponding to other payment dates applicable to the related Reference Obligation and (d) notwithstanding the foregoing, (i) if the floating rate index for such Reference Obligation (or any portion thereof) is the prime or base rate or is a fixed rate, then the Floating Rate Option for such Reference Obligation (or such portion) shall equal USD-LIBOR-BBA and (ii) if the floating rate index for such Reference Obligation (or any portion thereof) is subject to the payment of a specified minimum rate regardless of the level of the relevant floating rate index, then the Floating Rate Option will be determined without regard to such specified minimum rate.
|
Designated Maturity:
|
In relation to any Transaction, the Floating Rate Option will have a Designated Maturity and Reset Dates that correspond to the maturity and reset dates specified in the related Reference Obligation Credit Agreement, except that, if the floating rate index specified in the related Reference Obligation Credit Agreement that is used to determine the rate of interest payable on the Reference Obligation (or any portion thereof) is the prime or base rate or is a fixed rate, then for purposes of determining USD-LIBOR-BBA the "Designated Maturity" shall be one month and the first day of each First Floating Rate Payer Calculation Period will be a Reset Date.
|
Spread:
|
1.35%
|
Floating Rate Day
Count Fraction:
|
In relation to any Transaction, the Floating Rate Day Count Fraction will be the day count basis for the computation of interest specified in the related Reference Obligation Credit Agreement, except that, if the floating rate index specified in the related Reference Obligation Credit Agreement that is used to determine the rate of interest payable on the Reference Obligation (or any portion thereof) is the prime or base rate or is a fixed rate, then the Floating Rate Day Count Fraction will be Actual/360.
|
Reset Dates:
|
As set forth in "Designated Maturity" above
|
Compounding:
|
Inapplicable
|
Counterparty Second Floating Amounts:
|
|
Second Floating Amount Payer:
|
Counterparty
|
Second Floating Amount:
|
In relation to any Second Floating Rate Payer Payment Date, the product of (a) the Second Floating Rate Payer Calculation Amount for the related Second Floating Rate Payer Calculation Period multiplied by (b) the Spread multiplied by (c) the Floating Rate Day Count Fraction.
Notwithstanding the foregoing:
(a) no Second Floating Amount shall be payable with respect to any Second Floating Rate Payer Payment Date occurring on or after any date on which an Event of Default has occurred under Section 5(a)(i) or 5(a)(vii) with respect to Citibank as Defaulting Party; and
(b) no Second Floating Amount shall be payable on any Second Floating Rate Payer Payment Date, and no amount shall be payable under Clause 4(c) on any date after the last day of the Ramp-Up Period, following any date on which (i) Counterparty has designated at least 20 Designated Reference Obligations to become the subject of Transactions hereunder (as contemplated opposite the caption "Reference Obligation" above) and (ii) the aggregate Notional Amount of all Designated Reference Obligations as to which Citibank has not given its consent to such Reference Obligations becoming the subject of Transactions hereunder (as contemplated opposite the caption "Reference Obligation" above) exceeds 50% of the aggregate Notional Amount of all Reference Obligations that Counterparty has designated are to become the subject of Transactions hereunder (as contemplated opposite the caption "Reference Obligation" above).
|
Second Floating Rate Payer
Calculation Amount:
|
In relation to any Second Floating Rate Payer Calculation Period, the excess, if any, of (a) the Minimum Portfolio Notional Amount over (b) the Utilization Amount for such Second Floating Rate Payer Calculation Period.
|
Second Floating Rate Payer
Calculation Period:
|
Each Monthly Period; provided that (a) the initial Second Floating Rate Payer Calculation Period shall begin on the last day of the Ramp-Up Period and (b) the final Second Floating Rate Payer Calculation Period shall end on the last Second Floating Rate Payer Payment Date.
|
Second Floating Rate
Payer Payment Dates:
|
The fifth Business Day following the last day of each Monthly Period; provided that (a) the initial Second Floating Rate Payer Payment Date will be the first such Business Day after the last day of the Ramp-Up Period and (b) the final Second Floating Rate Payer Payment Date will be the date 180 days prior to the Scheduled Termination Date (whether or not the Termination Date occurs prior to the Scheduled Termination Date).
|
Spread:
|
1.35%
|
Floating Rate Day
Count Fraction:
|
Actual/365.
|
Compounding:
|
Inapplicable
|
Counterparty Third Floating Amounts:
|
|
Third Floating Amount Payer:
|
Counterparty
|
Third Floating Amount:
|
In relation to any Third Floating Rate Payer Payment Date, the product of (a) the Third Floating Rate Payer Calculation Amount for the related Third Floating Rate Payer Calculation Period multiplied by (b) the Spread multiplied by (c) the Floating Rate Day Count Fraction.
|
Third Floating Rate Payer
Calculation Amount:
|
In relation to any Third Floating Rate Payer Calculation Period, the excess, if any, of (a) the Maximum Portfolio Notional Amount over (b) the greater of (i) the Utilization Amount for such Third Floating Rate Payer Calculation Period plus (ii) the Minimum Portfolio Notional Amount.
If the Maximum Portfolio Notional Amount varies during any Third Floating Rate Payer Calculation Period, then the Maximum Portfolio Notional Amount for such Calculation Period shall be equal to the daily average of the Maximum Portfolio Notional Amount during such Calculation Period.
|
Third Floating Rate Payer
Calculation Period:
|
Each Monthly Period; provided that (a) the initial Third Floating Rate Payer Calculation Period shall begin on the day immediately following the Ramp-Up Period and (b) the final Third Floating Rate Payer Calculation Period shall end on the last Third Floating Rate Payer Payment Date.
|
Third Floating Rate
Payer Payment Dates:
|
The fifth Business Day following the last day of each Monthly Period; provided that (a) the initial Third Floating Rate Payer Payment Date will be the first such Business Day after the end of the Ramp-Up Period and (b) the final Third Floating Rate Payer Payment Date will be the Termination Date.
|
Spread:
|
0.15%
|
Floating Rate Day
Count Fraction:
|
Actual/360.
|
Compounding:
|
Inapplicable
|
Counterparty Fourth Floating Amounts:
|
|
Fourth Floating Amount Payer:
|
Counterparty
|
Fourth Floating Amount:
|
Each Expense or Other Payment.
|
Fourth Floating Rate
Payer Payment Dates:
|
In relation to any Transaction, (a) the fifth Business Day following the last day of each Monthly Period, beginning with the first such Business Day after the Obligation Settlement Date for such Transaction, (b) the related Obligation Termination Date and (c) after the related Obligation Termination Date, the fifth Business Day after notice of a Fourth Floating Amount from Citibank to Counterparty; provided that, prior to the fifth Business Day after the related Obligation Termination Date, if Counterparty has received fewer than five Business Days' notice from Citibank that such Fourth Floating Amount is due and payable, such Fourth Floating Rate Payer Payment Date shall be the fifth Business Day following the last day of the next succeeding Monthly Period. The obligation of Counterparty to pay Fourth Floating Amounts in respect of any Transaction shall survive the related Obligation Termination Date.
|
Counterparty Fifth Floating Amounts:
|
|
Fifth Floating Amount Payer:
|
Counterparty
|
Fifth Floating Amount:
|
In relation to any Terminated Obligation or Repaid Obligation, Capital Depreciation, if any.
|
Fifth Floating Rate
Payer Payment Dates:
|
Each Total Return Payment Date.
|
Payments by Citibank:
|
|
Citibank Fixed Amounts:
|
|
Fixed Amount Payer:
|
Citibank
|
Fixed Amount:
|
In relation to any Transaction, the Interest and Fee Amount with respect to such Transaction for the related Fixed Amount Payer Payment Date.
|
Fixed Amount Payer Calculation Periods:
|
In relation to each Reference Obligation in the Reference Portfolio, each period from and including any date upon which a payment of interest is made on such Reference Obligation to but excluding the next such date; provided that (a) the initial Fixed Amount Payer Calculation Period shall commence on and include the Obligation Settlement Date for such Reference Obligation and (b) the final Fixed Amount Payer Calculation Period shall end on, but exclude, the related Obligation Termination Date.
|
Fixed Amount Payer Payment Dates:
|
(a) In relation to any Transaction (other than with respect to any Terminated Obligation or Repaid Obligation), the fifth Business Day following the last day of any Monthly Period during which any payment of interest is made on the related Reference Obligation, commencing with the first such date after the Obligation Settlement Date for such Transaction and ending with the last such date occurring prior to the related Obligation Termination Date; and
(b) In relation to any Transaction with respect to any Terminated Obligation or Repaid Obligation, the related Total Return Payment Date.
|
Citibank Floating Amounts:
|
|
Floating Amount Payer:
|
Citibank
|
Floating Amount:
|
In relation to any Terminated Obligation or Repaid Obligation, Capital Appreciation, if any.
|
Floating Rate Payer Payment Dates:
|
Each Total Return Payment Date.
|
(i)
|
Counterparty shall be entitled to terminate any Transaction or any portion thereof by delivering an Accelerated Termination Notice to Citibank that is given (i) on the proposed Termination Trade Date and (ii) no more than 30 days prior to the proposed Termination Settlement Date; provided that, except in the case of the termination of all Transactions, the Net Collateral Value Percentage would be greater than or equal to the Termination Threshold (in each case, after giving effect to such termination). The Accelerated Termination Notice shall specify the Reference Obligation that is the subject of such Accelerated Termination, the amount of the Terminated Obligation, the proposed Termination Trade Date and the proposed Termination Settlement Date.
|
(ii)
|
Following the occurrence of a Credit Event (as determined by the Calculation Agent) with respect to the related Reference Entity (including any guarantor or other obligor referred to in the definition thereof), Citibank shall, at any time after the Obligation Trade Date for the Reference Obligation, be entitled to propose, by notice to Counterparty, an increased Independent Amount Percentage with respect to the related Transaction. If Counterparty does not, by notice to Citibank within five Business Days after such notice from Citibank, agree to such increase, then Citibank may terminate the related Transaction by delivering an Accelerated Termination Notice to Counterparty that is given (i) on the Termination Trade Date and (ii) no fewer than 10 days prior to the proposed Termination Settlement Date. The Accelerated Termination Notice shall specify the Reference Obligation that is the subject of such Accelerated Termination, the amount of the Terminated Obligation, the Termination Trade Date and the Termination Settlement Date.
|
|
(i)
|
any Reference Obligation (including any Exchange Consideration) fails to satisfy the Obligation Criteria at any time,
|
|
(ii)
|
the Portfolio Criteria (other than clause (v) thereof) are not satisfied at any time,
|
|
(iii)
|
Counterparty fails to perform when due any obligation to Transfer Eligible Collateral under Clause 9(a) or
|
|
(iv)
|
Counterparty does not, by the deadline specified therefor in Clause 9(e), effect the Transfer to Citibank as Secured Party of Eligible Collateral contemplated by Clause 9(e),
|
(i)
|
the Calculation Agent shall be entitled to disregard any Firm Bid submitted by a Dealer if, in the Calculation Agent's commercially reasonable judgment, (x) such Dealer is ineligible to accept assignment or transfer of the related Terminated Obligation or portion thereof, as applicable, substantially in accordance with the then-current market practice in the principal market for the Terminated Obligation, as determined by the Calculation Agent, or (y) as a result of the terms of any agreement or instrument governing the related Terminated Obligation or any order of a court of competent jurisdiction relating to such Terminated Obligation, such Dealer is prohibited or restricted from obtaining any consent required for the assignment or transfer of the related Terminated Obligation or portion thereof, as applicable, to it; and
|
(ii)
|
if the Calculation Agent determines that the highest Firm Bid obtained in connection with any Termination Trade Date is not bona fide as a result of (x) the occurrence of an Event of Default described in Section 5(a)(vii) with respect to the bidder, (y) the inability, failure or refusal of the bidder to settle the purchase of the related Terminated Obligation or portion thereof, as applicable, or otherwise settle transactions in the relevant market or perform its obligations generally or (z) the Calculation Agent not having pre-approved trading lines with the bidder that would permit settlement of the purchase of the related Terminated Obligation or portion thereof, as applicable,
|
(a)
|
the Total Return Payment Date with respect to the Repaid Obligation will be the fifth Business Day next succeeding the last day of the Monthly Period in which the Repayment Date occurred;
|
(b)
|
as of the related Repayment Date, the Reference Amount of such Reference Obligation shall be decreased by an amount equal to the principal amount of the Repaid Obligation; and
|
(c)
|
the related Final Price in relation to the Repaid Obligation shall be (i) in the case of a Committed Obligation, the portion of the Reference Amount that is permanently reduced on such Repayment Date and (ii) in the case of a Term Obligation, the amount of principal and premium in respect of principal paid by such Reference Entity on the Repaid Obligation to holders thereof (or the amount by which the Reference Obligation was otherwise reduced) on such Repayment Date. Following any Repayment Date, Citibank shall promptly prepare and deliver to Counterparty a revised Annex I showing the revised Reference Amount for the related Reference Obligation.
|
(i)
|
Non-Reliance. It is acting for its own account, and it has made its own independent decisions to enter into such Transaction and as to whether such Transaction is appropriate or proper for it based upon its own judgment and upon advice from such advisors as it has deemed necessary. It is not relying on any communication (written or oral) of the other party as investment advice or as a recommendation to enter into such Transaction; it being understood that information and explanations related to the terms and conditions of such Transaction shall not be considered investment advice or a recommendation to enter into such Transaction. It has not received from the other party any assurance or guarantee as to the expected results of such Transaction;
|
(ii)
|
Evaluation and Understanding. It is capable of evaluating and understanding (on its own behalf or through independent professional advice), and understands and accepts, the terms, conditions and risks of such Transaction. It is also capable of assuming, and assumes, the financial and other risks of such Transaction;
|
(iii)
|
Status of Parties. The other party is not acting as a fiduciary or an advisor for it in respect of such Transaction; and
|
(iv)
|
Reliance on its Own Advisors. Without limiting the generality of the foregoing, in making its decision to enter into, and thereafter to maintain, administer or terminate, such Transaction, it will not rely on any communication from the other party as, and it has not received any representation or other communication from the other party constituting, legal, accounting, business or tax advice, and it will consult its own legal, accounting, business and tax advisors concerning the consequences of such Transaction.
|
(i)
|
such Transaction does not create any direct or indirect obligation of any Reference Entity or any direct or indirect participation in any Reference Obligation or any other obligation of any Reference Entity;
|
(ii)
|
each party and its Affiliates may deal in any Reference Obligation and may accept deposits from, make loans or otherwise extend credit to, and generally engage in any kind of commercial or investment banking or other business with any Reference Entity, any Affiliate of any Reference Entity, any other person or entity having obligations relating to any Reference Entity and may act with respect to such business in the same manner as if such Transaction did not exist and may originate, purchase, sell, hold or trade, and may exercise consensual or remedial rights in respect of, obligations, securities or other financial instruments of, issued by or linked to any Reference Entity, regardless of whether any such action might have an adverse effect on such Reference Entity, the value of the related Reference Obligation or the position of the other party to such Transaction or otherwise;
|
(iii)
|
except as provided in Clause 7(d)(iii), each party and its Affiliates and the Calculation Agent may, whether by virtue of the types of relationships described herein or otherwise, at the date hereof or at any time hereafter, be in possession of information regarding any Reference Entity or any Affiliate of any Reference Entity that is or may be material in the context of such Transaction and that may or may not be publicly available or known to the other party. In addition, except as provided in Clause 7(b)(vii), this Confirmation does not create any obligation on the part of such party and its Affiliates to disclose to the other party any such relationship or information (whether or not confidential);
|
(iv)
|
neither Citibank nor any of its Affiliates shall be under any obligation to hedge such Transaction or to own or hold any Reference Obligation as a result of such Transaction, and Citibank and its Affiliates may establish, maintain, modify, terminate or re-establish any hedge position or any methodology for hedging at any time without regard to Counterparty. Counterparty acknowledges and agrees that it is not relying on any representation, warranty or statement by Citibank or any of its Affiliates as to whether, at what times, in what manner or by what method Citibank or any of its Affiliates may engage in any hedging activities;
|
(v)
|
notwithstanding any other provision in this Confirmation or any other document, Citibank and Counterparty (and each employee, representative, or other agent of Citibank or Counterparty) may each disclose to any and all persons, without limitation of any kind, the U.S. tax treatment and U.S. tax structure of the transaction and all materials of any kind (including opinions or other tax analyses) that are provided to them relating to such U.S. tax treatment and U.S. tax structure (as those terms are used in Treasury Regulations under Sections 6011, 6111 and 6112 of the U.S. Internal Revenue Code of 1986, as amended (the "Code")), other than any information for which nondisclosure is reasonably necessary in order to comply with applicable securities laws. To the extent not inconsistent with the previous sentence, Citibank and Counterparty will each keep confidential (except as required by law) all information unless the other party has consented in writing to the disclosure of such information;
|
(vi)
|
if Citibank chooses to hold a Reference Obligation as a result of any Transaction, Citibank shall hold such Reference Obligation directly or through an Affiliate (the "Citibank Holder"). The Citibank Holder may deal with such Reference Obligation as if the related Transaction did not exist, provided that, so long as the Citibank Holder remains the lender of record with respect to such Reference Obligation, upon any occasion permitting the Citibank Holder to exercise any right in relation to such Reference Obligation to give or withhold consent (an "Election") to an action proposed to be taken (or to be refrained from being taken), the Citibank Holder shall, insofar as permitted under (x) applicable laws, rules and regulations and (y) each provision of any agreement or instrument evidencing or governing such Reference Obligation (and, in the case of any participation interest, governing such participation interest), give its consent to the action proposed to be taken (or to be refrained from being taken), unless (A) Counterparty, by timely notice to Citibank, requests (a "Counterparty Election Request") that the Citibank Holder withhold such consent and (B) the Citibank Holder, in its sole discretion, elects to withhold such consent in accordance with the Counterparty Election Request. Notwithstanding the foregoing: (1) the Citibank Holder shall have no obligation to respond to, or consult with Counterparty in relation to, a Counterparty Election Request (failure to respond to a Counterparty Election Request being deemed a denial); (2) the Citibank Holder shall have no other duties or obligations to Counterparty of any nature with respect to any Election or any Counterparty Election Request; (3) the Citibank Holder shall not be liable to Counterparty or any of its Affiliates for the consequences of any consent given or withheld by the Citibank Holder in connection with such Reference Obligation (whether or not pursuant to a Counterparty Election Request); and (4) if the Citibank Holder elects in its sole discretion to withhold its consent in accordance with a Counterparty Election Request, the Citibank Holder may subsequently determine to give such consent at any time without notice to Counterparty; and
|
(vii)
|
in connection with each Reference Obligation that is held by a Citibank Holder as a result of any Transaction, the Citibank Holder will promptly (and in any event within one Business Day after receipt) deliver or cause to be delivered to Counterparty the following information and documentation, in each case, to the extent actually received by the Citibank Holder from the Reference Entity or its agents under the related Reference Obligation Credit Agreement: all notices of any borrowings, prepayments and interest rate settings, all amendments, waivers, tenders, exchanges and other modifications (whether final or proposed) in relation to the terms of the Reference Obligation; and all notices given by the Reference Entity to the lenders or their agent or by the lenders or their agent to the Reference Entity in relation to the exercise of remedies.
|
(i)
|
it is entering into such Transaction for investment, financial intermediation, hedging or other commercial purposes; and
|
(ii)
|
(x) it is an "eligible contract participant" as defined in Section 1a of the U.S. Commodity Exchange Act, as amended (the "CEA"), (y) the Master Agreement and each Transaction are subject to individual negotiation by each party, and (z) neither the Master Agreement nor any Transaction will be executed or traded on a "trading facility" within the meaning of Section 1a of the CEA.
|
(i)
|
its financial condition is such that it has no need for liquidity with respect to its investment in any Transaction and no need to dispose of any portion thereof to satisfy any existing or contemplated undertaking or indebtedness. Its investments in and liabilities in respect of any Transaction, which it understands is not readily marketable, are not disproportionate to its net worth, and it is able to bear any loss in connection with any Transaction, including the loss of its entire investment in such Transaction;
|
(ii)
|
it understands that no obligations of Citibank to it hereunder will be entitled to the benefit of deposit insurance and that such obligations will not be guaranteed by any Affiliate of Citibank or any governmental agency;
|
(iii)
|
as of (x) the relevant Obligation Trade Date and (y) any date on which a sale is effected pursuant to Clause 4(a) or on which the Calculation Agent solicits Firm Bids pursuant to Clause 4(b), neither Counterparty nor any of its Affiliates, whether by virtue of the types of relationships described herein or otherwise, is on such date in possession of information regarding any related Reference Entity or any Affiliate of such Reference Entity that is or may be material in the context of such Transaction or the purchase or sale of any related Reference Obligation unless such information either (x) is publicly available or (y) has been made available to each registered owner of such Reference Obligation on a basis that permits such registered owner to disclose such information to any assignee of or participant (whether on a funded or unfunded basis) in, or any prospective assignee of or participant (whether on a funded or unfunded basis) in, any rights or obligations under the related Reference Obligation Credit Agreement;
|
(iv)
|
it has delivered to Citibank on or prior to the date hereof (and it will, prior to any expiration of any such form previously so delivered, deliver to Citibank) a United States Internal Revenue Service Form W-9 (or applicable successor form), properly completed and signed (which representation shall also be made for purposes of Section 3(f) of the Master Agreement);
|
(v)
|
it could have received all payments on the Reference Obligation without any withholding tax if it had been the registered owner of the Reference Obligation (which representation shall also be made for purposes of Section 3(f) of the Master Agreement);
|
(vi)
|
it is not, for U.S. Federal income tax purposes, a tax-exempt organization and to the extent it is a pass-through entity for U.S. Federal income tax purposes, it either has disclosed or will disclose to its tax-exempt investors, if any, that direct and indirect investments of Counterparty may cause tax-exempt investors of Counterparty to recognize unrelated business taxable income;
|
(vii)
|
it understands that the entry into a Transaction hereunder might cause it to be treated as the beneficial owner of the related Reference Obligation for U.S. Federal income tax purposes and has obtained tax advice from its auditors or external legal counsel, in either case of recognized standing in relation to U.S. Federal income tax matters, that considers the tax consequences of that treatment; and
|
(viii)
|
any purchase by it of record ownership of the Reference Amount of the related Reference Obligation would not have resulted in a violation or breach, or otherwise contravened, the related Reference Obligation Credit Agreement.
|
(a)
|
With respect to each Transaction to which this Confirmation relates, an "Independent Amount" shall be applicable to Counterparty on each date of determination in an amount equal to the Notional Amount of such Transaction on such date of determination multiplied by the relevant Independent Amount Percentage (determined in accordance with the table set forth below).
|
Condition
|
Independent Amount Percentage
|
|
(i) Except as provided in clause (iii) below, with respect to any Transaction not relating to a Specified Reference Obligation
|
25%
|
|
(ii) Except as provided in clause (iii) below, with respect to any Transaction relating to a Specified Reference Obligation
|
Such percentage as Citibank shall specify on or prior to the Obligation Trade Date for such Transaction | |
(iii) With respect to any Reference Obligation whose Independent Amount Percentage is agreed in writing as provided in Clause 3(a)(ii)
|
Such Independent Amount Percentage as is agreed in writing as provided in Clause 3(a)(ii)
|
|
Not later than (i) the Effective Date and (ii) the date of any increase in the Independent Amount Percentage applicable to any Transaction, Counterparty as Pledgor will Transfer to Citibank as Secured Party Eligible Collateral having a Value as of the date of Transfer equal to the related Independent Amount (or increase in the related Independent Amount) determined pursuant this Clause 9(a).
|
(b)
|
In no event shall Citibank as Secured Party be obligated to Transfer Posted Credit Support in respect of a Return Amount to Counterparty as Pledgor if the Value as of any Valuation Date of all Posted Credit Support held by Citibank as Secured Party would be less than the Independent Amount determined pursuant to Clause 9(a).
|
(c)
|
In no event shall Counterparty as a Secured Party have any positive "Exposure" to Citibank with respect to the Transactions to which this Confirmation relates.
|
(d)
|
Without limiting Clause 3(b)(iv), in no event shall Citibank as a Secured Party shall have any positive "Exposure" to Counterparty with respect to the Transactions to which this Confirmation relates.
|
(e)
|
If (i) the Net Collateral Value Percentage on any Valuation Date is less than the Termination Threshold on such Valuation Date and (ii) Citibank gives notice thereof to Counterparty on any Business Day, Counterparty will, not later than the close of business on the Business Day following the date of such notice from Citibank, effect the Transfer to Citibank as Secured Party of Eligible Collateral such that the Net Collateral Value Percentage after giving effect to such Transfer is at least equal to the Cure Threshold. In addition, Counterparty may, on any Business Day, effect the Transfer to Citibank as Secured Party of any additional Eligible Collateral.
|
(f)
|
If Counterparty enters into any Transaction under the Master Agreement other than the Transactions contemplated by this Confirmation (each, a "Separate Transaction"), then the Credit Support Amount with respect to Counterparty as Pledgor shall never be less than the "Credit Support Amount" with respect to Counterparty as Pledgor calculated (i) solely with reference to all Separate Transactions and (ii) without regard to the Independent Amount applicable to Counterparty as Pledgor under this Confirmation.
|
(g)
|
Each Business Day shall be a Valuation Date.
|
Notices to Citibank:
|
|
Citibank, N.A., New York Branch
390 Greenwich Street, 4th Floor
New York, New York 10013
Tel: (212) 723-6181
Fax: (646) 291-5779
Attn: Mitali Sohoni
with a copy to:
Office of the General Counsel
Fixed Income and Derivatives Sales and Trading
Citibank, N.A., New York Branch
388 Greenwich Street, 17th Floor
New York, New York 10013
Tel: (212) 816-2121
Fax: (646) 862-8431
Attn: Craig Seledee
|
Notices to Counterparty:
|
|
Flatiron Funding, LLC
c/o CĪON Investment Corporation
3 Park Avenue, 36th Floor
New York, NY 10016
Attention: General Counsel
Facsimile: (212) 418-4739
|
|
Payments to Citibank:
|
|
Citibank, N.A., New York
ABA No.: 021-000-089
Account No.: 00167679
Ref: Financial Futures
|
|
Payments to Counterparty:
|
|
Account Name: CION Investment Corporation
Bank: U.S. Bank, N.A., Minneapolis, MN
ABA No.: 091-000-022
Account: 1047-9089-5668
FFC: 163276-200
|
(a)
|
The Office of Citibank for each Transaction:
|
(a)
|
in the case of "Interest and Accruing Fees" (as defined in the "Standard Terms and Conditions for Par/Near Par Trade Confirmations" or "Standard Terms and Conditions for Distressed Trade Confirmations", as applicable to the relevant Reference Obligation, most recently published by the LSTA prior to the Trade Date), shall not include any amounts that accrue prior to the Obligation Settlement Date for the related Reference Obligation or that accrue on or after the Obligation Termination Date for the related Reference Obligation or portion thereof,
|
(b)
|
in the case of "Non-Recurring Fees" (as so defined), shall not include any amounts that accrue prior to the Obligation Trade Date for the related Reference Obligation or that accrue on or after the Termination Trade Date for the related Reference Obligation or portion thereof,
|
(c)
|
shall be determined after deducting any Costs of Assignment that would be incurred by a buyer in connection with any purchase of the Reference Obligation as a hedge for such Transaction and, in connection with the establishment by the Citibank Holder of a related hedge in respect of such Transaction, shall be adjusted by any Delay Compensation as provided in Clause 6(b); and
|
(d)
|
in the case of any Transaction as to which the related Reference Obligation is a Committed Obligation, shall include only 75% of fees that are stated to accrue on or in respect of the unfunded portion of any Commitment Amount.
|
(i)
|
if the Reference Obligation itself is rated by Moody's (including pursuant to any credit estimate), such rating,
|
(ii)
|
if the foregoing paragraph is not applicable, then, if the Reference Obligation is a Loan and the related Reference Entity has a corporate family rating by Moody's, the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Loan:
|
Loan
|
Relevant Rating
|
|
The Loan is a secured obligation, but is not a Second Lien Loan and is not Subordinate
|
The rating by Moody's that is one rating subcategory above such corporate family rating
|
|
The Loan is an unsecured obligation or is a Second Lien Loan, but is not Subordinate
|
The rating by Moody's that is one rating subcategory below such corporate family rating
|
|
The Loan is Subordinate
|
The rating by Moody's that is two rating subcategories below such corporate family rating
|
(iii)
|
if the foregoing paragraphs are not applicable, but there is a rating by Moody's on a secured obligation of the Reference Entity that is not a Second Lien Loan and is not Subordinate (the "other obligation"), the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Reference Obligation:
|
Reference Obligation
|
Relevant Rating
|
|
The Reference Obligation is a secured obligation, but is not a Second Lien Loan and is not Subordinate
|
The rating assigned by Moody's to the other obligation
|
|
The Reference Obligation is an unsecured obligation or is a Second Lien Loan, but is not Subordinate
|
The rating by Moody's that is one rating subcategory below the rating assigned by Moody's to the other obligation
|
|
The Reference Obligation is Subordinate
|
The rating by Moody's that is two rating subcategories below the rating assigned by Moody's to the other obligation
|
(iv)
|
if the foregoing paragraphs are not applicable, but there is a rating by Moody's on an unsecured obligation of the Reference Entity (or, failing that, an obligation that is a Second Lien Loan) but is not Subordinate (the "other obligation"), the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Reference Obligation:
|
Reference Obligation
|
Relevant Rating
|
|
The Reference Obligation is a secured obligation, but is not a Second Lien Loan and is not Subordinate
|
The rating by Moody's that is one rating subcategory above the rating assigned by Moody's to the other obligation
|
|
The Reference Obligation is an unsecured obligation or is a Second Lien Loan, but is not Subordinate
|
The rating assigned by Moody's to the other obligation
|
|
The Reference Obligation is Subordinate
|
The rating by Moody's that is one rating subcategory below the rating assigned by Moody's to the other obligation
|
(v)
|
if the foregoing paragraphs are not applicable, but there is a rating by Moody's on an obligation of the Reference Entity that is Subordinate (the "other obligation"), the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Reference Obligation:
|
Reference Obligation
|
Relevant Rating
|
|
The Reference Obligation is a secured obligation, but is not a Second Lien Loan and is not Subordinate
|
The rating by Moody's that is two rating subcategories above the rating assigned by Moody's to the other obligation
|
|
The Reference Obligation is an unsecured obligation or is a Second Lien Loan, but is not Subordinate
|
The rating by Moody's that is one rating subcategory above the rating assigned by Moody's to the other obligation
|
|
The Reference Obligation is Subordinate
|
The rating assigned by Moody's to the other obligation
|
(vi)
|
if a rating cannot be assigned pursuant to clauses (i) through (v), the Moody's Rating may be determined using any of the methods below:
|
|
(A)
|
for up to 5% of the Portfolio Target Amount, Counterparty may apply to Moody's for a shadow rating or public rating of such Reference Obligation, which shall then be the Moody's Rating (and Counterparty may deem the Moody's Rating of such Reference Obligation to be "B3" pending receipt of such shadow rating or public rating, as the case may be); provided that (x) a Reference Obligation will not be included in the 5% limit of the Portfolio Target Amount if Counterparty has assigned a rating to such Reference Obligation in accordance with clause (B) below and (y) upon receipt of a shadow rating or public rating, as the case may be, such Reference Obligation will not be included in the 5% limit of the Portfolio Target Amount;
|
|
(B)
|
for up to 5% of the Portfolio Target Amount, if there is a private rating of an obligor that has been provided by Moody's to Citibank and Counterparty, Counterparty may impute a Moody's Rating that corresponds to such private rating; provided that a Reference Obligation will not be included in the 5% limit of the Portfolio Target Amount if Counterparty has applied to Moody's for a shadow rating; or
|
|
(C)
|
for up to 10% of the Portfolio Target Amount, the Moody's Rating may be determined in accordance with the methodologies for establishing the S&P Rating except that the Moody's Rating of such obligation will be (1) one sub-category below the Moody's equivalent of the S&P Rating if such S&P Rating is "BBB-" or higher and (2) two sub-categories below the Moody's equivalent of the S&P Rating if such S&P Rating is "BB+" or lower.
|
(i)
|
if the Reference Obligation itself is rated by S&P (including pursuant to any credit estimate), such rating,
|
(ii)
|
if the foregoing paragraph is not applicable, then, if the Reference Obligation is a Loan and the related Reference Entity has a corporate issuer rating by S&P, the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Loan:
|
Loan
|
Relevant Rating
|
|
The Loan is a secured obligation, but is not a Second Lien Loan and is not Subordinate
|
The rating by S&P that is one rating subcategory above such corporate issuer rating
|
|
The Loan is an unsecured obligation or is a Second Lien Loan, but is not Subordinate
|
The rating by S&P that is one rating subcategory below such corporate issuer rating
|
|
The Loan is Subordinate
|
The rating by S&P that is two rating subcategories below such corporate issuer rating
|
(iii)
|
if the foregoing paragraphs are not applicable, but there is a rating by S&P on a secured obligation of the Reference Entity that is not a Second Lien Loan and is not Subordinate (the "other obligation"), the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Reference Obligation:
|
Reference Obligation
|
Relevant Rating
|
|
The Reference Obligation is a secured obligation, but is not a Second Lien Loan and is not Subordinate
|
The rating assigned by S&P to the other obligation
|
|
The Reference Obligation is an unsecured obligation or is a Second Lien Loan, but is not Subordinate
|
The rating by S&P that is one rating subcategory below the rating assigned by S&P to the other obligation
|
|
The Reference Obligation is Subordinate
|
The rating by S&P that is two rating subcategories below the rating assigned by S&P to the other obligation
|
(iv)
|
if the foregoing paragraphs are not applicable, but there is a rating by S&P on an unsecured obligation of the Reference Entity (or, failing that, an obligation that is a Second Lien Loan) but is not Subordinate (the "other obligation"), the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Reference Obligation:
|
Reference Obligation
|
Relevant Rating
|
|
The Reference Obligation is a secured obligation, but is not a Second Lien Loan and is not Subordinate
|
The rating by S&P that is one rating subcategory above the rating assigned by S&P to the other obligation
|
|
The Reference Obligation is an unsecured obligation or is a Second Lien Loan, but is not Subordinate
|
The rating assigned by S&P to the other obligation
|
|
The Reference Obligation is Subordinate
|
The rating by S&P that is one rating subcategory below the rating assigned by S&P to the other obligation
|
(v)
|
if the foregoing paragraphs are not applicable, but there is a rating by S&P on an obligation of the Reference Entity that is Subordinate (the "other obligation"), the rating specified in the applicable row of the table below under "Relevant Rating" opposite the row in the table below that describes such Reference Obligation:
|
Reference Obligation
|
Relevant Rating
|
|
The Reference Obligation is a secured obligation, but is not a Second Lien Loan and is not Subordinate
|
The rating by S&P that is two rating subcategories above the rating assigned by S&P to the other obligation
|
|
The Reference Obligation is an unsecured obligation or is a Second Lien Loan, but is not Subordinate
|
The rating by S&P that is one rating subcategory above the rating assigned by S&P to the other obligation
|
|
The Reference Obligation is Subordinate
|
The rating assigned by S&P to the other obligation
|
(vi)
|
if the foregoing paragraphs are not applicable, then the S&P Rating shall be "CC"; provided that:
|
(a)
|
except as provided in the following clause (b), if the related Final Price is not determined in accordance with Clause 4(a), the "Termination Trade Date" will be the bid submission deadline for the Firm Bid or combination of Firm Bids for all of the Reference Amount of such Terminated Obligation that are to be the basis for determining the Final Price of such Terminated Obligation as designated by the Calculation Agent in order to cause the related Total Return Payment Date to occur as promptly as practicable (in the discretion of the Calculation Agent) after the date originally designated as the "Termination Trade Date" in the related Accelerated Termination Notice; and
|
(b)
|
in respect of the Scheduled Termination Date, if the related Final Price is not determined in accordance with Clause 4(a), the "Termination Trade Date" will be the date so designated by the Calculation Agent in its discretion, occurring during the 60 calendar days preceding the Scheduled Termination Date (or earlier in the case of any Terminated Obligation determined by the Calculation Agent in its sole discretion to be a distressed loan or other obligation) in a manner reasonably likely to cause the final Total Return Payment Date to occur on the Scheduled Termination Date.
|
Reference Obligation
|
Reference Entity
|
Reference Amount
|
Outstanding Principal Amount
|
Initial Price (%)
|
Obligation Trade Date
|
Obligation Settlement Date
|
Independent Amount Percentage (if a Specified Reference Obligation)
|
(i)
|
The obligation is a Loan.
|
(ii)
|
The obligation is denominated in USD.
|
(iii)
|
The obligation constitutes a legal, valid, binding and enforceable obligation of the applicable Reference Entity, enforceable against such person in accordance with its terms.
|
(iv)
|
The obligation does not require any future advances to be made to the related issuer or obligor on or after the relevant Obligation Trade Date, except for any Delayed Drawdown Reference Obligation or Revolving Reference Obligation.
|
(v)
|
Except for any Second Lien Loan, the obligation is not Subordinate.
|
(vi)
|
The obligation is secured.
|
(vii)
|
On the relevant Obligation Trade Date for the Transaction relating to the obligation, the obligation is in the form of, and is treated as, indebtedness for U.S. Federal income tax purposes.
|
(viii)
|
Transfers thereof on the Obligation Trade Date may be effected pursuant to the Standard Terms and Conditions for Par/Near Par Trade Confirmations and not the Standard Terms and Conditions for Distressed Trade Confirmations, in each case as published by the LSTA and as in effect on the Obligation Trade Date.
|
(ix)
|
Except for any Specified Reference Obligation, the obligation is not a Second Lien Loan.
|
(x)
|
Except for any Specified Reference Obligation, on the Obligation Trade Date the obligation is part of a fungible class of debt obligations (as to issuance date and all economic terms) of at least USD125,000,000.
|
(xi)
|
Except for any Specified Reference Obligation, the obligation has an Initial Price of at least 80%.
|
(xii)
|
Except for any Specified Reference Obligation, the obligation has as of the Obligation Trade Date a Moody's Rating of at least B3 and an S&P Rating of at least B-.
|
(xiii)
|
Except for any Specified Reference Obligation, the obligation is on the Obligation Trade Date the subject of at least two bid quotations from nationally recognized independent dealers in the related obligation as reported on a nationally recognized pricing service.
|
(i)
|
The Portfolio Notional Amount does not exceed the Maximum Portfolio Notional Amount.
|
(ii)
|
The sum of the Notional Amounts for Reference Obligations of any single Reference Entity or any of its Affiliates does not exceed 10% of the Portfolio Target Amount.
|
(iii)
|
The sum of the Notional Amounts for Reference Obligations of Reference Entities in any single Moody's Industry Classification Group does not exceed 15% of the Portfolio Target Amount; provided that the sum of the Notional Amounts for Reference Obligations of Reference Entities in one Moody's Industry Classification Group may be up to 20% of the Portfolio Target Amount.
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(iv)
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The sum of the Notional Amounts for Specified Reference Obligations does not exceed 20% of the Portfolio Target Amount.
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(v)
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After the Ramp-Up Period and prior to the Ramp-Down Period, the Reference Portfolio has a Weighted Average Rating of at most 2,720.
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Moody's Rating | Rating Factor |
Aaa | 1 |
Aa1 | 10 |
Aa2 | 20 |
Aa3 | 40 |
A1 | 70 |
A2 | 120 |
A3 | 180 |
Baa1 | 260 |
Baa2 | 360 |
Baa3 | 610 |
Ba1 | 940 |
Ba2 | 1,350 |
Ba3 | 1,766 |
B1 | 2,220 |
B2 | 2,720 |
B3 | 3,490 |
Caa1 | 4,770 |
Caa2 | 6,500 |
Caa3 or below | 10,000 |