Endeavour, LLC
March 5, 2002
Presentation to Ian Giddy - Stern School of Business
Global Structured Finance
Banc of America Securities LLC
The information contained herein is confidential information regarding Endeavour, LLC (the “Issuer” or “Endeavour”) and is intended for use by the
addressee only. By accepting this information the recipient agrees that it will cause its directors, partners, officers, employees and representatives to
agree to use the information only to evaluate its potential interest in the securities described herein and for no other purpose and will not divulge any
such information to any other party. Any reproduction of this information, in whole or in part, is prohibited. Further, this information is subject to any
confidentiality agreement that you have signed with the Issuer, PPM America and/or Bank of America and their respective affiliates.
The information contained herein has been prepared solely for informational purposes and is not an offer, or a solicitation of an offer, to buy or sell any
security or instrument. The offering of any securities described herein (the “Securities”) will be made pursuant to an “Offering Memorandum”
prepared on behalf of the Issuer which will contain material information not contained herein and which will supersede this information in its entirety.
The Securities will be offered by Banc of America Securities LLC (in such capacity, the “Placement Agent”). Any recipient is encouraged to read the
Offering Memorandum and should conduct its own independent analysis of the data referred to herein. Any decision to invest in the securities
described herein must be made solely in reliance upon such Offering Memorandum. Additional information is available on request.
The securities described herein may only be sold to a person or an entity which is both a “Qualified Institutional Buyer” and a “Qualified Purchaser”,
each as defined under the Securities Act of 1933, as amended, and the rules promulgated thereunder or the Investment Company Act of 1940, as
amended, and the rules promulgated thereunder. Such securities will not be registered under the Securities Act of 1933, as amended, and the issuer of
such securities will not be registered under the Investment Company Act of 1940, as amended. The securities offered herein will not be approved or
disapproved by the United States Securities and Exchange Commission or any state securities commission or other regulatory authority. Furthermore,
the foregoing authorities have not confirmed the accuracy or determined the adequacy of this document. Any representation to the contrary is a
criminal offense.
None of the Issuer, the Placement Agent, PPM America, Inc. (the “Portfolio Manager” or “PPM America”), Jackson National Life Insurance Company
(the “Back-up Portfolio Manager” or “Jackson National Life”), E&Y Corporate Finance LLC (the “Sub-Advisor” or “EYCF”) or any of their
respective affiliates makes any representation or warranty, express or implied, as to the accuracy or completeness of the information contained herein
and nothing contained herein shall be relied upon as a promise or representation whether as to past or future performance. No representation is made
that the results indicated will be achieved. The information includes estimates and projections and involves significant elements of subjective
judgment and analysis. No representations are made as to the accuracy of such estimates or projections or that such projections will be realized.
Certain information contained herein has been provided by PPM America. None of such information has been verified by the Placement Agent and no
representation or warranty is made as to its accuracy or completeness. Prospective investors should make such investigation as they deem necessary.
Banc of America Securities LLC shall make available to each potential purchaser at a reasonable time prior to a purchase, the opportunity to ask
questions of and receive answers from PPM America, E&Y, the Placement Agent and the Issuer concerning the terms and conditions of the offering
and to obtain any additional material information. Neither Banc of America Securities LLC nor any of its affiliates, officers or employees are
obligated, legally or otherwise, to commit capital to the Issuer other than as specifically described in the final Offering Memorandum.
2
Table of Contents
I.
Endeavour CDO Summary
II.
Base Case Cashflow Analysis
3
Endeavour CDO Summary
4
Endeavour CDO Summary
Transaction Overview

The net proceeds from the offering of the Notes together with the proceeds from the issuance of the Membership
Interests were used by Endeavour to acquire a portfolio of U.S. Dollar-denominated distressed and non-distressed bank
loans and U.S. dollar-denominated asset backed securities.

The following diagram illustrates the fully-funded capitalization of the Endeavour.
Assets1
$297.1 MM 63.2%
Bank Loans
$156.0 MM 33.2%
Asset Backed Securities
$16.9 MM 3.6%
Reserves
Liabilities
$120 MM 25.5%
Class A-1
Term Notes
Aaa/AAA/AAA
$33.355 MM 7.1%
Class B-1
Term Notes
Baa2/BBB/BBB
$180 MM 38.3%
Class A-2
Revolving Notes
Aaa/AAA/AAA
$101.645 MM 21.6%
Class B-2
Term Notes
Baa2/BBB/BBB
$35 MM 7.5%
Membership Interests
1 Based
on Market Value as of October 5, 2001.
The Notes were issued pursuant to Rule 144A under the Securities Act of 1933 to Qualified Institutional Buyers that are also Qualified
Purchasers under section 2(a)(51) under the 1940 Act. Banc of America Securities LLC acted as the initial purchaser/placement agent
for the Issuer.
5
Endeavour CDO Summary
Transaction Details

Issuer
Endeavour, LLC

Collateral Manager
PPM America, Inc.

Sub-Advisor
E&Y Corporate Finance LLC

Back-Up Manager
Jackson National Life Insurance Company

Management Fee
Distressed Loans - 1.15%
ABS - 0.35%

Incentive Management Fee
20% of Equity Cashflows if over 8% IRR on Equity achieved

Closing Date
October 23, 2001

Payment Dates
Quarterly, 3/15, 6/15, 9/15, 12/15, starting 3/15/02

Credit Enhancement
Excess Spread, Reserve Account, Subordination

Reinvestment Period
0 years (Static Pool)

Ramp-Up Period
Distressed Loans - 100% by December 31, 2001
ABS - 60% by Closing Date, 100% by February 23, 2002

Class B Coupon Step-Up Date
December 15, 2011
6
Endeavour CDO Summary
Transaction Highlights


Collateral

Distressed loans purchased at a Weighted Average Price of 59.371 cents on the dollar.

Multi-sector diverse static pool

63.2% discounted, market value performing and non-performing loans

33.2% higher quality, investment grade ABS

3.6% Senior Interest Reserve and Expense Reserve Accounts
Portfolio Manager

Experienced ABS and Distressed Debt portfolio manager - PPM America

Well-qualified sub-advisor - Ernst & Young Corporate Finance, L.L.C.

Portfolio Manager has the ability to sell defaulted, credit risk and credit improved assets at any time and the
discretion to sell 25% of the ABS pool per annum.

Short weighted average life due to the usage of “turbo” structure which diverts all excess spread to pay down principal

Revolving nature of the Class A-2 Notes mitigates ramp-up risk, improves excess spread and allows Endeavour to
efficiently fund revolving loan commitments.

Class A Notes structured to a natural AAA/Aaa/AAA rating by S&P, Moody’s and Fitch, respectively, and wrapped to
AAA/Aaa/AAA by MBIA.
1
Gross Weighted Average Price = 59.37%. Net Weighted Average Price = 57.33%.
7
Endeavour CDO Summary
Assets - Bank Loan Pool1
Total Legal Funded Balance
Total Unfunded Commitments
Total Commitments
M arket Value of Legal Balance (gross)
Netback
M arket Value of Legal Balance (net)
Discretionary Bank Loan Capacity
M aximum Exposure to Loans
409,659,478
58,763,078
468,422,556
243,209,258
8,369,823
234,839,434
3,500,000
297,102,512
Percent of Collateral (M arket Value)
Weighted Average Price (gross)
Weighted Average Price (net)
Number of Borrowers
Number of Loans
M aximum Exposure (percent of loan pool)
M inimum Exposure (percent of loan pool)
Average Exposure (percent of loan pool)
63.20%
59.37%
57.33%
38
100
7.76%
0.50%
2.50%
Payment Status (Past Due Interest or Principal)
Paying
Non-Paying
Count
57
43
Balance (in MM)
$259.7
$150.0
% Total Balance
63.40%
36.60%
Mkt. Value (in MM)2
$175.7
$67.5
% of Total Mkt. Value
72.24%
27.76%
Loan Type
Term Loan
Revolving
Count
66
34
Balance (in MM)
$238.7
$171.0
% Total Balance
58.25%
41.75%
Mkt. Value (in MM)2
$127.6
$115.6
% of Total Mkt. Value
52.49%
47.51%
Syndication
Bilateral (Bank of America as sole lender)
Syndicated
Count
28
72
Balance (in MM)
$83.1
$326.6
% Total Balance
20.28%
79.72%
Mkt. Value (in MM)2
$45.9
$197.3
% of Total Mkt. Value
18.87%
81.13%
Asset Based Loans
ABL
Non- ABL
Count
21
79
Balance (in MM)
$152.5
$257.2
% Total Balance
37.23%
62.77%
Mkt. Value (in MM)2
$99.3
$143.9
% of Total Mkt. Value
40.83%
59.17%
Loan Category
Middle Market Loans (Total Debt < 50MM)
Large Corporate Loans (Total Debt >50MM)
Count
36
64
Balance (in MM)
$131.3
$278.4
% Total Balance
32.05%
67.95%
Mkt. Value (in MM)2
$71.4
$171.8
% of Total Mkt. Value
29.37%
70.63%
Coupon Type (All Loans)
Fixed Rate
Floating Rate - Prime Based
Floating Rate - LIBOR Based
Count
13
45
42
Balance (in MM)
$39.1
$203.7
$166.9
% Total Balance
9.55%
49.72%
40.73%
WA Coupon
9.97%
8.18%
6.88%
WA Spread
1 As
2.58%
3.08%
of 10/5/01
value is the product of the loan price and current balance and is unadjusted for netback
2 Market
8
Endeavour CDO Summary
Assets - ABS Pool1
Original Par Value of purchased collateral
Target Par at Effective Date 2
Original Par Value as a % of Target Par
Number of securities
Moody’s Rating Factor
$132,886,053
$155,000,000
85.73%
26
76
Weighted Average Purchase Price
Moody’s Diversity Score
Fixed / Floating ratio
Spread on floating rate assets
Average deal size
Maximum Percentage of Aggregate Principal Balance Tests (ABS only)
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
Maximum
1
2
3
4
5
6
7
Percentage of Fixed Rate Securities
Percentage of Floating Rate Securities
Percentage of Pure Private Securities
Percentage of Corporate Guarantees
Percentage of Securities Paying Less Frequently than Quarterly
Percentage from a Single Issue
Percentage serviced by a Single Servicer
Percentage of Synthetic Securities
Percentage of Synthetic Securities from a Single Synthetic Counterparty
Percentage of Qualifying Foreign Obligors
Percentage of United Kingdom Obligors
Percentage of Canadian Obligors
Percentage of Qualifying Foreign Obligors (any one jurisdiction)
Percentage of Non-Specified Foreign Obligors
Percentage of Non-Specified Foreign Obligors (any one jurisdiction)
Percentage of Step-Up Bonds
Percentage of Step-Down Bonds
Amount of CDO Securities
Percentage of Securities of one ABS type
Actual
99.53%
13.6
21/79
+0.83%
$5.11 million
Test3
5.90% 20.00%
22.40% 90.00%
0.00% 15.00%
8.00%
0.00%
0.00% 10.00%
4.00% 4
2.95%
5.10% 7.50% 5,6
5.00%
0.00%
2.00%
0.00%
0.00% 15.00%
0.00% 10.00%
0.00% 10.00%
5.00%
0.00%
4.00%
1.30%
2.00%
1.30%
5.00%
0.00%
5.00%
0.00%
20MM
9.9MM
6.72% 12.50% 7
As of January 31, 2002
Acquisition Date is February 21, 2002, after which time all scheduled and unscheduled principal payments pay down the notes
Calculated as a percentage of Total Issuer Capitalization
2.5% of Total Issuer Capitalization after closing
10% if servicer is rated at least A-/S2 by Fitch
With one up to 15% if rated AAA by any 2 of the 3 rating agencies
Except that 3 can be 15% each
9
Endeavour CDO Summary
Liabilities
Class A-21,4
Senior Revolving Notes
$180,000,000
3M LIBOR + 0.46%
Floating
Aaa/AAA/AAA2
Moody's/S&P/Fitch
Class B-11,5
Term Notes
$33,355,000
8.00%
Fixed (Current Pay)
Baa2/BBB/BBB7
Moody's/S&P/Fitch
Class B-25,6
Term Notes
$101,645,000
8.00% (PIK Note)
Fixed (Non-current Pay)
Baa2/BBB/BBB7
Moody's/S&P/Fitch
Class C5
Membership Interests
$35,000,000
Residual
Equity
Rating
Rating Agency
Class A-11
Senior Term Notes
$120,000,000
3M LIBOR + 0.46%
Floating
Aaa/AAA/AAA2
Moody's/S&P/Fitch
Duration3,8
2.0 years
2.0 years
3.0 years
3.3 years
3.7 years
Expected Maturity3,8
Legal Final Maturity
Form
09/15/2004
12/15/2013
144A/DTC Only
09/15/2004
12/15/2013
144A/Physical
03/15/2005
12/15/2032
144A/Physical
03/15/2005
12/15/2032
144A/Physical
06/15/2006
Principal
Interest Rate
Coupon Type
Not Rated
144A/Physical
1 Interest
paid quarterly
Class A Notes structured to a natural Aaa/AAA/AAA level and wrapped to Aaa/AAA/AAA by MBIA
3 Base case cashflows and recovery assumptions detailed on page 12
4 0.20% Commitment Fee on undrawn amount
5 Class B coupon steps up to 9.50% on 12/15/2011; excess spread diverted from equityholders
6 Interest is capitalized until the Class A-1 Notes and Class A-2 Notes are paid down, thereafter quarterly
7 With respect to principal only
8 Assumes deal is called as soon as Class A Notes are paid off
2
1
0
Base Case Cashflow Analysis
1
1
Base Case Cashflow Analysis
Priority of Payments
1
Distribution of Interest Proceeds1
Distribution of Principal Proceeds2(a), (b)
Taxes
Administrative Expenses
Deposit to the Expense Reserve Account
Primary Management Fee
Class A Credit Enhancement Premium
Regular Hedge Payments and Certain Termination Payments
Class A Interest and Commitment Fee
Claims Reimbursement to MBIA
Class B-1 and after Class A has paid down, Class B-2 Interest
Hedge Termination Payments
Unpaid Class A-2 Additional Interest
Unpaid Administrative Expenses
Secondary Management Fee
Class B Increased Margin
Taxes
Administrative Expenses
Deposit to the Expense Reserve Account
Primary Management Fee
Class A Credit Enhancement Premium
Regular Hedge Payments and Certain Termination Payments
Class A Interest and Commitment Fee
Class A Principal
Claims Reimbursement to MBIA
Class B-1 Interest and Class B-2 Interest
Class B Principal
Hedge Termination Payments
Class A-2 Additional Interest and Administrative Expenses
Secondary Management Fee
Excess to Principal Proceeds
Excess to Membership Interests
Interest Proceeds generally include interest payments received (including net receipts from the hedge counterparty) and certain fees and
premiums to the extent eligible for distribution.
2 (a) Principal Proceeds generally include principal payments received and certain fees and premiums to the extent eligible for distribution
and excess Interest Proceeds. (b) Principal Proceeds pay out interest on issued notes and certain fees to the extent they are not paid in
full by the Interest Proceeds.
1
2
Base Case Cashflow Analysis
Assumptions

Loan Pool1

Cumulative defaults are a percentage of committed balance and apply only to the non-defaulted loans

36.6% of pool defaulted at closing (63.4% of pool is not defaulted at closing, i.e., the non-defaulted loan
pool)

Unfunded loan balances are drawn at the time of default

2 year delay in recoveries

Default timing vector (quarterly)


20%-20%-15%-15%-10%-10%-5%-5%

93.46% of the non-defaulted loan pool is floating with a coupon of L + 3.41%

6.54% of the non-defaulted loan pool is fixed with a coupon of 8.59%

Base case assumes 65% cumulative default rate on the non-defaulted loan pool and 75% recovery rate2
ABS Pool

Class B Notes are called and ABS bonds are sold at par net of swap hedges after Class A Notes are paid off

Maximum average credit rating of 200 A3/Baa1

0.25% annualized defaults commencing in the first period

50% immediate recoveries

80% of pool floating with a coupon of L + 0.75%

20% of pool fixed with a coupon of 5.8%

LIBOR curve as of January 31, 2002
1 Based
2 For
on a pool of 38 borrowers
all defaulted loans, whether defaulted on or after closing
1
3
Base Case Cashflow Analysis
Debt and Equity Cashflows
Base Case Cash Flows
Date
10/23/01
3/15/02
6/15/02
9/15/02
12/15/02
3/15/03
6/15/03
9/15/03
12/15/03
3/15/04
6/15/04
9/15/04
12/15/04
3/15/05
6/15/05
9/15/05
12/15/05
3/15/06
6/15/06
9/15/06
12/15/06
Libor
1.84%
1.95%
2.30%
2.80%
3.36%
3.95%
4.44%
4.92%
5.14%
5.22%
5.54%
5.85%
5.94%
5.96%
6.17%
6.37%
6.36%
6.28%
6.42%
6.54%
Class A
Interest
Class A
Principal
Class B-1
Interest
Class B-1
Principal
Class B-2
Interest
Class B-2
Principal
Equity
$2,169,478 $25,586,676 $1,052,536
$0
$0
$0
$0
$1,355,709 $17,794,373
$667,100
$0
$0
$0
$0
$1,477,463 $10,640,413
$667,100
$0
$0
$0
$0
$1,685,947
$7,998,988
$640,975
$0
$0
$0
$0
$1,934,651
$2,003,504
$394,227
$0
$0
$0
$0
$2,303,054
$1,884,071
$114,903
$0
$0
$0
$0
$2,584,580
$1,651,459
$0
$0
$0
$0
$0
$2,808,435
$6,568,891
$0
$0
$0
$0
$0
$2,855,606 $148,522,041
$0
$0
$0
$0
$0
$773,258 $32,527,008
$726,136
$0
$0
$0
$0
$318,251 $20,755,500
$0 $4,788,462
$0 $16,526,781
$0
$0
$0
$644,889 $6,746,023 $2,225,756 $23,283,061
$0
$0
$0
$509,969 $25,498,450 $1,760,095 $88,004,727 $29,384,420
$0
$0
$0
$0
$0
$0 $20,216,758
$0
$0
$0
$0
$0
$0 $18,710,829
$0
$0
$0
$0
$0
$0 $10,813,854
$0
$0
$0
$0
$0
$0
$28,625
$0
$0
$0
$0
$0
$0 $1,715,779
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
This analysis is based on assumptions on page 12 which may prove incorrect.
1
4