EFTA Document EFTA01365315

High Diversity Collateralized Debt Obligations Initial Rating of Underlying Asset %of Aaa Aa A Baa Ba B Underlying Capital Structure( I) >70% 85% 80% 65% 55% 45% 30% <=70%. >10% 75% 70% 60% 50% 40% 25% <=10%. >5% 65% 55% 50% 40% 30% 20% <=5°A, >2% 55% 45% 40% 35% 25% 10% <=2% 45% 35% 30% 25% 10% 5% Low Diversity Collateralized Debt Obligations I iitial Rating of Underlyns Asset %of Aa A B B B Underlying Capital Suucturc(1) >70% 80% 7