Endeavour, LLC

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Endeavour, LLC

• March 5, 2002
• Presentation to Ian Giddy - Stern School of
  Business
• Global Structured Finance
• Banc of America Securities LLC

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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), EY
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, EY, 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.
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Table of Contents
I. Endeavour CDO Summary II. Base Case
Cashflow Analysis
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Endeavour CDO Summary
5
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
Liabilities
120 MM 25.5 180 MM
38.3 Class A-1
Class A-2 Term Notes
Revolving Notes Aaa/AAA/AAA
Aaa/AAA/AAA
297.1 MM 63.2 Bank Loans
156.0 MM 33.2 Asset Backed Securities
33.355 MM 7.1 101.645 MM 21.6
Class B-1 Class B-2
Term Notes Term Notes Baa2/BBB/BBB Baa2/BBB/B
BB
16.9 MM 3.6 Reserves
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.
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Endeavour CDO Summary
Transaction Details

• Issuer Endeavour, LLC
• Collateral Manager PPM America, Inc.
• Sub-Advisor EY 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

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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 SP, Moodys and Fitch, respectively,
  and wrapped to AAA/Aaa/AAA by MBIA.

1 Gross Weighted Average Price 59.37. Net
Weighted Average Price 57.33.
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Endeavour CDO Summary
Assets - Bank Loan Pool1
1 As of 10/5/01 2 Market value is the product of
the loan price and current balance and is
unadjusted for netback
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Endeavour CDO Summary
Assets - ABS Pool1
2
3
1 As of January 31, 2002 2 Acquisition Date is
February 21, 2002, after which time all scheduled
and unscheduled principal payments pay down the
notes 3 Calculated as a percentage of Total
Issuer Capitalization 4 2.5 of Total Issuer
Capitalization after closing 5 10 if servicer
is rated at least A-/S2 by Fitch 6 With one up
to 15 if rated AAA by any 2 of the 3 rating
agencies 7 Except that 3 can be 15 each
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Endeavour CDO Summary
Liabilities
1 Interest paid quarterly 2 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
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Base Case Cashflow Analysis
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Base Case Cashflow Analysis
Priority of Payments
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
1 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.
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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 on a pool of 38 borrowers 2 For all
defaulted loans, whether defaulted on or after
closing
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Base Case Cashflow Analysis
Debt and Equity Cashflows
This analysis is based on assumptions on page 12
which may prove incorrect.