Endeavour, LLC

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

2. 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.

3. Table of Contents I. Endeavour CDO Summary II. Base Case Cashflow Analysis

4. 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 $297.1 MM 63.2% Bank Loans $120 MM 25.5% $180 MM 38.3% Class A-1 Class A-2 Term Notes Revolving Notes Aaa/AAA/AAA Aaa/AAA/AAA $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/BBB $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.

6. 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

7. 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%.

8. 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

9. 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

10. 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

11. Base Case Cashflow Analysis

12. 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.

13. 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

14. Base Case Cashflow Analysis Debt and Equity Cashflows This analysis is based on assumptions on page 12 which may prove incorrect.