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PROSPECTUS

ESP Funding I, Ltd.
ESP Funding I (Delaware) Corp.
U.S.$100,000,000 Class A-1R Revolving Floating Rate Senior Secured Notes Due 2046* U.S.$395,000,000 Class A-1T1 Floating Rate Senior Secured Notes Due 2046 U.S.$30,000,000 Class A-1T2 Floating Rate Senior Secured Notes Due 2046 U.S.$100,000,000 Class A-2 Floating Rate Senior Secured Notes Due 2046 U.S.$90,000,000 Class A-3 Floating Rate Senior Secured Notes Due 2046 U.S.$27,000,000 Class A-4 Floating Rate Senior Secured Notes Due 2046 U.S.$15,000,000 Class B Floating Rate Subordinate Secured Notes Due 2046 U.S.$10,000,000 Class C Floating Rate Junior Subordinate Secured Notes Due 2046 U.S.$13,500,000 Income Notes Due 2046
* Each Class A-1R Note will obligate the holder thereof to make advances from time to time in an amount up to such holder's Class A-1R Commitment. The Rated Notes and the Income Notes (collectively, the "Notes") are being issued by ESP Funding I, Ltd. (the "Issuer"), a newly formed exempted company with limited liability incorporated under the laws of the Cayman Islands. The Rated Notes will be co-issued on a limited recourse basis by ESP Funding I (Delaware) Corp., a newly formed Delaware corporation (the "Co-Issuer" and, together with the Issuer, the "Co-Issuers"). The Rated Notes constitute secured limited recourse debt obligations of the Issuer and the Co-Issuer. The Income Notes will constitute unsecured limited recourse debt obligations of the Issuer only. Interest on the Class A-1R Notes, the Class A-1T1 Notes and the Class A-1T2 Notes is payable on the 5th day of each month as set forth herein, beginning in November 2006, and interest on the other Classes of the Rated Notes and distributions on the Income Notes are payable on the 5th day of each January, April, July and October as set forth herein, beginning in January 2007. The Notes are scheduled to mature in October 2046. The Rated Notes are redeemable as described under the caption "Description of the Notes—Rated Notes—Early Redemption". The Rated Notes, and the Issuer's obligations under the Advance Swap and the Hedge Agreements, will be secured by a portfolio of asset-backed securities, certain payments under the Synthetic Assets and other collateral as described herein. Elliott Structured Products LLC, as Collateral Manager (the "Collateral Manager"), will perform certain administrative and advisory services for the Issuer. The Class A-1R Notes will be rated "Aaa" by Moody's Investors Service, Inc. ("Moody's") and "AAA" by Standard & Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P"), the Class A-1T1 Notes will be rated "Aaa" by Moody's and "AAA" by S&P, the Class A-1T2 Notes will be rated "Aaa" by Moody's and "AAA" by S&P, the Class A-2 Notes will be rated "Aaa" by Moody's and "AAA" by S&P, the Class A-3 Notes will be rated "Aaa" by Moody's and "AAA" by S&P, the Class A-4 Notes will be rated at least "Aa2" by Moody's and at least "AA" by S&P, the Class B Notes will be rated at least "A2" by Moody's and at least "A" by S&P and the Class C Notes will be rated at least "Baa2" by Moody's and at least "BBB" by S&P. The Income Notes will not be rated. Application will be made to the Irish Financial Services Regulatory Authority, in its capacity as competent authority under Directive 2003/71/EC (the "Prospectus Directive"), for this Prospectus to be approved. This Prospectus constitutes a "Prospectus" for the purposes of the Prospectus Regulations 2005, which implement the Prospectus Directive in Ireland. Application will be made to the Irish Stock Exchange Limited (the "Irish Stock Exchange") for the Notes to be admitted to the official list of the Irish Stock Exchange (the "Daily Official List") and trading on its regulated market.

Investing in the Notes involves risks. See "Risk Factors" beginning on page 17.
THE NOTES DO NOT REPRESENT AN INTEREST IN OR OBLIGATIONS OF, AND ARE NOT INSURED OR GUARANTEED BY, THE INITIAL PURCHASER, THE COLLATERAL MANAGER, THE TRUSTEE, THE INCOME NOTE ISSUING AND PAYING AGENT, THE PLACEMENT AGENT OR ANY OF THEIR RESPECTIVE AFFILIATES (EACH, AS DEFINED HEREIN).
The Notes have not been registered under the Securities Act of 1933, as amended (the "Securities Act"), or any state securities laws. In the United States, the Notes are being offered only to "Qualified Institutional Buyers" (as defined under Rule 144A under the Securities Act) or "Accredited Investors" (as defined under Regulation D under the Securities Act). The Notes are also being offered outside the United States to investors who are not U.S. Persons (as defined in Regulation S under the Securities Act) in accordance with Regulation S. Additionally, all investors that are U.S. Persons are also required to be "qualified purchasers" or "knowledgeable employees" with respect to the Issuer for purposes of the Investment Company Act of 1940, as amended (the "Investment Company Act"), or companies owned exclusively by qualified purchasers and/or knowledgeable employees with respect to the Issuer. For a description of certain restrictions on transfers of the Notes, see "Purchase and Transfer Restrictions", "Plan of Distribution" and "Notice to Purchasers". All of the Rated Notes (other than those sold to Accredited Investors) and those Income Notes that are purchased outside of the United States will be settled in book-entry form. The Rated Notes sold to Accredited Investors and the Income Notes sold to investors in the United States will be physical securities registered in the names of the investors. Citigroup Global Markets Inc., as initial purchaser of the Rated Notes and as placement agent for the Income Notes, expects to deliver the Notes to investors on or about September 7, 2006 (the "Closing Date").

Citigroup
September 26, 2006

Each prospective investor in the Notes should rely only on the information contained in this Prospectus ("Prospectus"). The Co-Issuers have not authorized anyone to provide any prospective investor with different information. None of the Co-Issuers, the Initial Purchaser and the Placement Agent is making an offer of these securities in any jurisdiction where the offer is not permitted. Investors in the Notes should not assume that the information contained in this Prospectus is accurate as of any date other than the date of this Prospectus.

TABLE OF CONTENTS Page NOTICE TO PURCHASERS..................................................................................................................................... iii AVAILABLE INFORMATION ................................................................................................................................ ix CERTAIN CONSIDERATIONS RELATING TO THE CAYMAN ISLANDS ........................................................ x SUMMARY ................................................................................................................................................................ 1 RISK FACTORS ....................................................................................................................................................... 17 THE ISSUER AND THE CO-ISSUER..................................................................................................................... 43 DESCRIPTION OF THE NOTES............................................................................................................................. 45 THE ADVANCE SWAP........................................................................................................................................... 80 THE INDENTURE AND THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT................ 85 SECURITY FOR THE RATED NOTES .................................................................................................................. 93 THE COLLATERAL MANAGER ......................................................................................................................... 110 THE COLLATERAL MANAGEMENT AGREEMENT ....................................................................................... 112 PURCHASE AND TRANSFER RESTRICTIONS ................................................................................................ 119 CERTAIN INCOME TAX CONSIDERATIONS................................................................................................... 141 CERTAIN ERISA AND OTHER CONSIDERATIONS ........................................................................................ 151 CERTAIN LEGAL INVESTMENT CONSIDERATIONS .................................................................................... 154 RATINGS OF THE NOTES ................................................................................................................................... 155 PLAN OF DISTRIBUTION.................................................................................................................................... 157 SETTLEMENT AND CLEARING......................................................................................................................... 159 LISTING AND GENERAL INFORMATION........................................................................................................ 160 LEGAL MATTERS ................................................................................................................................................ 162 ANNEX A – GLOSSARY ...................................................................................................................................... A-1 ANNEX B – SPECIFIED TYPES........................................................................................................................... B-1 ANNEX C – PORTFOLIO OF COLLATERAL DEBT ASSETS TO BE PURCHASED BY THE ISSUER ON THE CLOSING DATE ...................................................................................................................... C-1

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This Prospectus has been prepared by the Co-Issuers solely for use in connection with the proposed offering of the Notes described herein. This Prospectus is personal to each offeree and does not constitute an offer to any other person or to the public generally to subscribe for or otherwise acquire the Notes. Distribution of this Prospectus to any other person other than the offeree and any person retained to advise such offeree with respect to its purchase is unauthorized, and any disclosure of any of its contents, without the prior written consent of the CoIssuers, is prohibited. Each prospective investor, by accepting delivery of this Prospectus, agrees to the foregoing and to make no photocopies of this Prospectus or any documents referred to herein. None of the Initial Purchaser, the Placement Agent, the Trustee and the Collateral Manager make any representation or warranty, express or implied, to any person as to the accuracy or completeness of the information contained in this Prospectus, except, in the case of the Collateral Manager, for the Collateral Manager Information. Nothing contained in this Prospectus is, or shall be relied upon as, a representation to any person by the Initial Purchaser, the Placement Agent, the Trustee or the Collateral Manager, except, in the case of the Collateral Manager, for the Collateral Manager Information. None of the Initial Purchaser, the Placement Agent, the Trustee and the Collateral Manager have independently verified any of the information contained herein (financial, legal or otherwise) and assume no responsibility for the accuracy or completeness of any such information, except, in the case of the Collateral Manager, for the Collateral Manager Information. The ratings assigned to the Rated Notes on the Closing Date by each Rating Agency will have been assigned in accordance with such Rating Agency's published rating criteria and methodology. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning Rating Agency. In the event that a rating initially assigned to any Class of Rated Notes is subsequently lowered for any reason, no person or entity is obligated to provide any additional support or credit enhancement with respect to the Rated Notes. The Co-Issuers will inform the Irish Stock Exchange, so long as any of the Rated Notes are listed thereon and the rules of the Irish Stock Exchange so require, if the ratings assigned to such Rated Notes as of the Closing Date are reduced or withdrawn. Each person receiving this Prospectus acknowledges that such person has not relied on any of the Placement Agent, the Collateral Manager, the Trustee, the Income Note Issuing and Paying Agent, the Administrator and their respective Affiliates, or on any Affiliate of either of the Co-Issuers, in connection with the accuracy of such information or its investment decision. None of the Securities and Exchange Commission, any state securities commission and any other U.S. regulatory authority has approved or disapproved the Notes and none of the foregoing authorities has passed upon or endorsed the merits of this offering or the accuracy or adequacy of this Prospectus. Any representation to the contrary is a criminal offense. In making an investment decision, prospective investors must rely on their own examination of the CoIssuers and the terms of the offering, including the merits and risks involved. Prospective investors should not construe anything in this Prospectus as legal, regulatory, business, accounting, investment or tax advice. Each prospective investor should consult its own advisors as needed to make its investment decision and to determine whether it is legally permitted to purchase the Notes under applicable legal investment or similar laws or regulations. Investors should be aware that they may be required to bear the financial risks of their investment for an indefinite period of time. This Prospectus contains summaries believed to be accurate with respect to certain documents, but reference is made to the actual documents for complete information. All such summaries are qualified in their entirety by such reference. Copies of documents referred to herein will be made available to prospective investors upon request to the Issuer, the Initial Purchaser or the Placement Agent.

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NOTICE TO PURCHASERS THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT, THE SECURITIES LAWS OF ANY STATE OF THE UNITED STATES OR THE SECURITIES LAWS OF ANY OTHER JURISDICTION AND MAY NOT BE OFFERED, SOLD OR OTHERWISE TRANSFERRED UNLESS AN EXEMPTION FROM REGISTRATION UNDER THE SECURITIES ACT AND APPLICABLE STATE SECURITIES LAWS IS AVAILABLE. THE CO-ISSUERS ARE RELYING ON AN EXEMPTION FROM REGISTRATION UNDER THE INVESTMENT COMPANY ACT, AND NO TRANSFER OF A NOTE MAY BE MADE WHICH WOULD CAUSE EITHER OF THE CO-ISSUERS OR THE POOL OF COLLATERAL TO BECOME SUBJECT TO THE REGISTRATION REQUIREMENTS OF THE INVESTMENT COMPANY ACT. THE NOTES ARE ALSO SUBJECT TO CERTAIN OTHER RESTRICTIONS ON TRANSFER AS DESCRIBED HEREIN. THE RATED NOTES WILL BE SECURED LIMITED RECOURSE DEBT OBLIGATIONS OF THE ISSUER AND THE CO-ISSUER. THE INCOME NOTES WILL BE UNSECURED LIMITED RECOURSE DEBT OBLIGATIONS OF THE ISSUER ONLY. PRINCIPAL OF AND INTEREST ON THE RATED NOTES AND DISTRIBUTIONS ON THE INCOME NOTES WILL BE PAID, IN ACCORDANCE WITH THE PRIORITY OF PAYMENTS SET FORTH HEREIN, SOLELY FROM AND TO THE EXTENT OF THE AVAILABLE PROCEEDS FROM THE DISTRIBUTIONS ON COLLATERAL DEBT ASSETS AND OTHER COLLATERAL PLEDGED BY THE ISSUER TO SECURE THE RATED NOTES, WHICH WILL BE THE ONLY SOURCE OF PAYMENTS ON THE NOTES. FOR THESE REASONS, AMONG OTHERS, AN INVESTMENT IN THE NOTES IS NOT SUITABLE FOR ALL INVESTORS AND IS APPROPRIATE ONLY FOR AN INVESTOR CAPABLE OF (i) ANALYZING AND ASSESSING THE RISKS ASSOCIATED WITH DEFAULTS, LOSSES AND RECOVERIES ON, REINVESTMENT OF PROCEEDS OF AND OTHER CHARACTERISTICS OF ASSETS SUCH AS THOSE INCLUDED AMONG THE COLLATERAL DEBT ASSETS AND (ii) BEARING SUCH RISKS AND THE FINANCIAL CONSEQUENCES THEREOF AS THEY RELATE TO AN INVESTMENT IN THE NOTES. EXCEPT AS SET FORTH IN THIS PROSPECTUS, NO PERSON IS AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY REPRESENTATION NOT CONTAINED IN THIS PROSPECTUS AND, IF GIVEN OR MADE, SUCH INFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON. THIS PROSPECTUS DOES NOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY ANY OF THE NOTES OFFERED HEREBY IN ANY JURISDICTION TO ANY PERSON TO WHICH IT IS UNLAWFUL TO MAKE SUCH OFFER IN SUCH JURISDICTION NOR TO ANY PERSON WHO HAS NOT RECEIVED A COPY OF THIS PROSPECTUS AND EACH CURRENT AMENDMENT OR SUPPLEMENT HERETO, IF ANY. THE CO-ISSUERS ACCEPT RESPONSIBILITY FOR THE INFORMATION CONTAINED IN THIS PROSPECTUS OTHER THAN INFORMATION PROVIDED UNDER THE CAPTION "RISK FACTORS— POTENTIAL CONFLICTS OF INTEREST INVOLVING THE COLLATERAL MANAGER", "—DEPENDENCE ON KEY PERSONNEL OF THE COLLATERAL MANAGER" AND "THE COLLATERAL MANAGER". TO THE BEST KNOWLEDGE AND BELIEF OF THE CO-ISSUERS, THE INFORMATION CONTAINED IN THIS PROSPECTUS IS IN ACCORDANCE WITH THE FACTS AND DOES NOT OMIT ANYTHING LIKELY TO AFFECT THE IMPORT OF SUCH INFORMATION. THE DELIVERY OF THIS PROSPECTUS AT ANY TIME DOES NOT IMPLY THAT THE INFORMATION CONTAINED HEREIN IS CORRECT AT ANY TIME SUBSEQUENT TO ITS DATE. IT IS EXPECTED THAT PROSPECTIVE INVESTORS INTERESTED IN PARTICIPATING IN THIS OFFERING ARE WILLING AND ABLE TO CONDUCT AN INDEPENDENT INVESTIGATION OF THE RISKS POSED BY AN INVESTMENT IN THE NOTES. REPRESENTATIVES OF THE INITIAL PURCHASER WILL BE AVAILABLE TO ANSWER QUESTIONS CONCERNING THE CO-ISSUERS, THE NOTES, THE COLLATERAL MANAGER AND THE COLLATERAL AND WILL, UPON REQUEST, MAKE AVAILABLE SUCH OTHER INFORMATION AS INVESTORS MAY REASONABLY REQUEST.

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OR CAUSE TO BE MADE. NEITHER ANY SUCH FACT NOR THE FACT THAT AN EXEMPTION OR EXCEPTION IS AVAILABLE FOR A NOTE OR A TRANSACTION MEANS THAT THE SECRETARY OF STATE HAS PASSED IN ANY WAY UPON THE MERITS OR QUALIFICATIONS OF. ANY RESALE OR OTHER TRANSFER. OR CLIENT ANY REPRESENTATION INCONSISTENT WITH THE PROVISIONS OF THIS PARAGRAPH. IN ADDITION. THE INITIAL PURCHASER HAS REPRESENTED AND AGREED THAT IT: (A) HAS NOT (DIRECTLY OR INDIRECTLY) OFFERED FOR SUBSCRIPTION OR PURCHASE OR ISSUED INVITATIONS TO SUBSCRIBE FOR OR BUY NOR WILL IT SELL THE OFFERED SECURITIES. INCLUDING THE REQUIREMENT THAT. TO ANY PROSPECTIVE PURCHASER. SEE "PURCHASE AND TRANSFER RESTRICTIONS". EACH PURCHASER OF THE INCOME NOTES OFFERED IN THE UNITED STATES IN RELIANCE ON RULE 144A WILL BE REQUIRED TO MAKE CERTAIN PURCHASER REPRESENTATIONS AS DESCRIBED UNDER "PURCHASE AND TRANSFER RESTRICTIONS" HEREIN. FOR NEW HAMPSHIRE RESIDENTS ONLY: NEITHER THE FACT THAT A REGISTRATION STATEMENT OR AN APPLICATION FOR A LICENSE HAS BEEN FILED UNDER CHAPTER 421-B OF THE NEW HAMPSHIRE UNIFORM SECURITIES ACT. WITH RESPECT TO THE INCOME NOTES TRANSFERRED OR EXCHANGED IN THE UNITED STATES IN RELIANCE ON RULE 144A. WITH THE STATE OF NEW HAMPSHIRE NOR THE FACT THAT A NOTE IS EFFECTIVELY REGISTERED OR A PERSON IS LICENSED IN THE STATE OF NEW HAMPSHIRE CONSTITUTES A FINDING BY THE SECRETARY OF STATE THAT ANY DOCUMENT FILED UNDER RSA 421-B OF THE NEW HAMPSHIRE UNIFORM SECURITIES ACT IS TRUE. EACH INITIAL INVESTOR IN THE RESTRICTED CERTIFICATED NOTES WILL BE REQUIRED TO MAKE CERTAIN PURCHASER REPRESENTATIONS AS DESCRIBED UNDER "PURCHASE AND TRANSFER RESTRICTIONS" HEREIN. IT IS UNLAWFUL TO MAKE. OF NOTES WHICH IS NOT MADE IN COMPLIANCE WITH THE APPLICABLE TRANSFER RESTRICTIONS WILL BE NULL AND VOID AB INITIO. CUSTOMER. OR RECOMMENDED OR GIVEN APPROVAL TO. OR ATTEMPTED RESALE OR OTHER ATTEMPTED TRANSFER. COMPLETE AND NOT MISLEADING. OR REGISTERED BY. AS AMENDED. THE NOTES WILL BEAR RESTRICTIVE LEGENDS AND WILL BE SUBJECT TO RESTRICTIONS ON TRANSFER AS DESCRIBED HEREIN.EACH INITIAL INVESTOR IN THE RATED NOTES (OTHER THAN THE RESTRICTED CERTIFICATED NOTES) WILL BE DEEMED TO HAVE MADE CERTAIN PURCHASER REPRESENTATIONS AS DESCRIBED UNDER "PURCHASE AND TRANSFER RESTRICTIONS" HEREIN. SUBSEQUENT TRANSFEREES FURNISH A REPRESENTATION LETTER IN THE FORM PRESCRIBED BY THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT. THE AUSTRALIAN SECURITIES AND INVESTMENTS COMMISSION ("ASIC") OR THE AUSTRALIAN STOCK EXCHANGE LIMITED. ANY PERSON. NOTICE TO RESIDENTS OF AUSTRALIA NO PROSPECTUS OR OTHER DISCLOSURE DOCUMENT AS DEFINED IN THE CORPORATIONS ACT 2001 IN RELATION TO THE OFFERED SECURITIES HAS BEEN LODGED WITH. AND iv . NOTE OR TRANSACTION. NO INVITATION MAY BE MADE TO THE PUBLIC IN THE CAYMAN ISLANDS TO SUBSCRIBE FOR THE NOTES.

(B) WILL NOT (DIRECTLY OR INDIRECTLY) OFFER FOR SUBSCRIPTION OR PURCHASE OR ISSUE INVITATIONS TO SUBSCRIBE FOR OR BUY NOR WILL IT SELL THE OFFERED SECURITIES. DIRECTLY OR INDIRECTLY. SELL OR DELIVER ANY NOTES IN THE KINGDOM OF DENMARK. AS AMENDED. THE INITIAL PURCHASER HAS FURTHER REPRESENTED AND AGREED NOT TO CIRCULATE OR ISSUE ANY PROSPECTUS. THE NOTES ARE NOT REGISTERED OR AUTHORIZED FOR DISTRIBUTION UNDER THE ACT ON FOREIGN INVESTMENT FUNDS AND ACCORDINGLY MAY NOT BE. ANY OFFERS OF THE NOTES IN THE REPUBLIC OF FRANCE WILL BE MADE ONLY IN ACCORDANCE WITH ARTICLE 6 OF THE ORDINANCE DATED 28TH SEPTEMBER 1967. ADVERTISEMENT OR OTHER OFFERING MATERIAL RELATING TO THE OFFERED SECURITIES WHICH REQUIRES LODGING OR REGISTRATION WITH ASIC UNDER THE CORPORATIONS ACT 2001 OF AUSTRALIA. AND ARE NOT BEING. NOTICE TO RESIDENTS OF AUSTRIA THIS OFFERING MEMORANDUM IS NOT A PROSPECTUS UNDER THE AUSTRIAN CAPITAL MARKETS ACT OR THE AUSTRIAN INVESTMENT FUNDS ACT. 98-880. OFFERED OR v . RELATING TO OFFERS TO A LIMITED NUMBER OF INVESTORS. AND DECREE NO. DIRECTLY OR INDIRECTLY.2 OF AN "EXCLUDED OFFER" OR "EXCLUDED INVITATION" AS THOSE TERMS ARE DEFINED IN THE CORPORATIONS LAW (WITHIN THE MEANING OF THE CORPORATIONS ACT 2001 OF AUSTRALIA) AND ANY OTHER APPLICABLE LAWS AND REGULATION. THE NOTES CAN ONLY BE ACQUIRED FOR A COMMITMENT EXCEEDING €50. SALE OR DELIVERY IS. TO THE PUBLIC IN THE REPUBLIC OF FRANCE. DATED 1ST OCTOBER 1998. IN AUSTRALIA. ADVERTISEMENT OR OTHER OFFERING MATERIAL RELATING TO THE OFFERED SECURITIES. OR WAS. BUT DISREGARDING MONEYS LENT BY THE OFFEROR OR ITS ASSOCIATES. AND NO PUBLIC OFFERING OF THE NOTES IN AUSTRIA IS BEING MADE OR IS INTENDED TO BE MADE. NOTICE TO RESIDENTS OF FRANCE THE NOTES HAVE NOT BEEN OFFERED OR SOLD AND MAY NOT BE OFFERED OR SOLD. 1072 OF DECEMBER 20. UNLESS SUCH OFFER. THE PLACEMENT AGENT AND THE CO-ISSUERS HAVE EACH AGREED THAT IT HAS NOT OFFERED OR SOLD AND WILL NOT OFFER. CHAPTER 12 ON PROSPECTUSES ON FIRST PUBLIC OFFER OR CERTAIN EXECUTIVE SECURITIES AND ANY EXECUTIVE ORDERS ISSUED IN PURSUANT THEREOF. BY WAY OF PUBLIC OFFER.000 OR ITS EQUIVALENT VALUE IN ANY FOREIGN CURRENCY. IN COMPLIANCE WITH THE DANISH ACT NO. 1995 ON SECURITIES TRADING. THIS OFFERING MEMORANDUM HAS NOT BEEN EXAMINED BY A PROSPECTUS AUDITOR AND NO PROSPECTUS ON THE PRIVATE PLACEMENT OF THE NOTES HAS BEEN PUBLISHED OR WILL BE PUBLISHED IN AUSTRIA.000 OR EQUIVALENT. OR THE OFFER OR INVITATION OTHERWISE DOES NOT REQUIRE DISCLOSURE TO INVESTORS IN ACCORDANCE WITH PART 6D. ITS TERRITORIES OR POSSESSIONS UNLESS THE CONSIDERATION PAYABLE BY EACH OFFEREE OR INVITEE IS A MINIMUM AMOUNT OF AU$500. THE NOTES ARE OFFERED IN AUSTRIA ONLY TO A RESTRICTED AND SELECTED NUMBER OF PROFESSIONAL AND SOPHISTICATED INDIVIDUAL INVESTORS. NOTICE TO RESIDENTS OF GERMANY THE NOTES MAY ONLY BE ACQUIRED IN ACCORDANCE WITH THE GERMAN WERTPAPIERVERKAUFSPROSPEKTGESETZ (THE "SECURITIES SELLING PROSPECTUS ACT") AND THE AUSLANDSINVESTMENTGESETZ (THE "ACT ON FOREIGN INVESTMENT FUNDS"). NOTICE TO RESIDENTS OF DENMARK THE INITIAL PURCHASER. AND (C) HAS NOT DISTRIBUTED OR PUBLISHED AND WILL NOT DISTRIBUTE OR PUBLISH ANY DRAFT OR DEFINITIVE PROSPECTUS.

WITH RESPECT TO THE QUALIFICATION OF THE RECIPIENTS OF THESE MATERIALS FOR THE PURPOSE OF INVESTING IN THE NOTES UNDER THE LAWS OF KOREA.000 EXCLUDING COMMISSION AND OTHER FEES PER PERSON. NOTICE TO RESIDENTS OF JAPAN THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES AND EXCHANGE LAW OF JAPAN (THE "SECURITIES AND EXCHANGE LAW") AND THE INITIAL PURCHASER HAS AGREED THAT IT WILL NOT OFFER OR SELL ANY NOTES. REGULATIONS AND MINISTERIAL GUIDELINES OF JAPAN. INCLUDING AND WITHOUT LIMITATION THE FOREIGN EXCHANGE MANAGEMENT LAW AND REGULATIONS THEREUNDER. WHETHER IN HONG KONG OR ELSEWHERE. AND THE EUROPEAN COMMUNITIES (TRANSFERABLE SECURITIES AND STOCK EXCHANGES) REGULATIONS. THIS PROSPECTUS OR ANY OTHER ADVERTISEMENT. OR FOR THE BENEFIT OF. THE NOTES HAVE NOT BEEN REGISTERED UNDER THE SECURITIES AND EXCHANGE LAW OF vi . THE NOTES MAY BE OFFERED AND SOLD IN IRELAND ONLY TO PERSONS (I) WHOSE ORDINARY BUSINESS IT IS TO BUY OR SELL SHARES OR DEBENTURES (WHETHER AS PRINCIPAL OR AGENT). IN JAPAN OR TO A RESIDENT OF JAPAN AND THAT THEREAFTER IT WILL NOT OFFER OR SELL NOTES IN JAPAN OR TO A RESIDENT OF JAPAN EXCEPT PURSUANT TO AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF. NOTICE TO RESIDENTS OF IRELAND THIS PROSPECTUS HAS NOT BEEN APPROVED BY. UNLESS IT IS A PERSON WHO IS PERMITTED TO DO SO UNDER THE SECURITIES LAWS OF HONG KONG. IN JAPAN OR TO. NOTICE TO RESIDENTS OF THE SPECIAL ADMINISTRATIVE REGION OF HONG KONG NO PERSON MAY OFFER OR SELL ANY OFFERED SECURITIES IN HONG KONG BY MEANS OF THIS PROSPECTUS OR ANY OTHER DOCUMENT OTHERWISE THAN TO PERSONS WHOSE ORDINARY BUSINESS IT IS TO BUY OR SELL SECURITIES (WHETHER AS PRINCIPAL OR AGENT) OR IN CIRCUMSTANCES WHICH DO NOT CONSTITUTE AN OFFER TO THE PUBLIC WITHIN THE MEANING OF THE COMPANIES ORDINANCE (CHAPTER 32 OF THE LAWS OF HONG KONG). SUBSCRIBE FOR OR UNDERWRITE THE OFFERED SECURITIES OTHER THAN IN RESPECT OF OFFERED SECURITIES WHICH ARE OR ARE INTENDED TO BE DISPOSED OF ONLY TO PERSONS OUTSIDE HONG KONG OR ONLY TO PERSONS WHO ARE "PROFESSIONAL INVESTORS" WITHIN THE MEANING OF THE SECURITIES AND FUTURE ORDINANCE (CHAPTER 571 OF THE LAWS OF HONG KONG) AND ANY RULES MADE THEREUNDER.ADVERTISED PUBLICLY OR OFFERED SIMILARLY UNDER § 1 OF THE ACT ON FOREIGN INVESTMENT FUNDS OR THE SECURITIES SELLING PROSPECTUS ACT. THIS OFFER IS ONLY BEING MADE TO RECIPIENTS TO WHOM THIS DOCUMENT IS PERSONALLY ADDRESSED AND DOES NOT CONSTITUTE AN OFFER OR ADVERTISEMENT TO THE PUBLIC. AND (II) IN THE CONTEXT OF THEIR TRADES. ANY SECURITIES AUTHORITY IN IRELAND. THE NOTES CAN ONLY BE ACQUIRED FOR A MINIMUM PURCHASE PRICE OF AT LEAST €40. AND OTHERWISE IN COMPLIANCE WITH. ANY RESIDENT OF JAPAN (WHICH TERM AS USED HEREIN MEANS ANY PERSON RESIDENT IN JAPAN. DISPOSE OF. NO PERSON MAY ISSUE. DIRECTLY OR INDIRECTLY. INCLUDING ANY CORPORATION OR OTHER ENTITY ORGANIZED UNDER THE LAWS OF JAPAN) OR TO OTHERS FOR RE-OFFERING OR RESALE. INVITATION OR DOCUMENT WHICH CONTAINS AN INVITATION TO THE PUBLIC TO ENTER INTO OR OFFER TO ENTER INTO AN AGREEMENT TO ACQUIRE. THE SECURITIES AND EXCHANGE LAW AND ANY RELEVANT LAWS. 1963 TO 2001. OR REGISTERED WITH. NOTICE TO RESIDENTS OF KOREA THE CO-ISSUERS ARE NOT MAKING ANY REPRESENTATION. ACCORDINGLY. OR OTHERWISE IN CIRCUMSTANCES WHICH DO NOT CONSTITUTE AN OFFER TO THE PUBLIC WITHIN THE MEANING OF THE COMPANIES ACTS. PROFESSIONS AND OCCUPATIONS. EXPRESS OR IMPLIED. DIRECTLY OR INDIRECTLY. THEREFORE. 1992. OR HAVE IN ITS POSSESSION FOR THE PURPOSES OF ISSUE.

DIRECTLY OR INDIRECTLY. SOLD. LARGE INTERNATIONAL AND SUPRANATIONAL ORGANIZATIONS. PENSION FUNDS.000 OR U. INVESTMENT BANKS. THEIR BUSINESS HABITUALLY INVEST MONEY OR WHO. THAT ACT). NOTICE TO RESIDENTS OF SPAIN THIS PROSPECTUS HAS NOT BEEN AND WILL NOT BE REGISTERED WITH THE COMISION NACIONAL DEL MERCADO DE VALORES OF SPAIN AND MAY NOT BE DISTRIBUTED IN SPAIN IN CONNECTION WITH THE OFFERING AND SALE OF NOTES EXCEPT IN CIRCUMSTANCES WHICH DO NOT CONSTITUTE A PUBLIC OFFER OF SECURITIES (AS DEFINED IN ARTICLE 30BIS OF THE vii . IN ALL THE CIRCUMSTANCES CAN PROPERLY BE REGARDED AS HAVING BEEN SELECTED OTHERWISE THAN AS MEMBERS OF THE PUBLIC OR (III) TO PERSONS IN OTHER CIRCUMSTANCES WHERE THERE IS NO CONTRAVENTION OF THE SECURITIES ACT OF 1978 OF NEW ZEALAND (OR ANY STATUTORY MODIFICATION OR REENACTMENT OF. IN KOREA OR TO ANY RESIDENT OF KOREA EXCEPT PURSUANT TO APPLICABLE LAWS AND REGULATIONS OF KOREA. NOTICE TO RESIDENTS OF NEW ZEALAND THIS OFFERING MEMORANDUM HAS NOT BEEN AND WILL NOT BE REGISTERED AS A PROSPECTUS WITH THE REGISTRAR OF COMPANIES IN NEW ZEALAND. CENTRAL GOVERNMENTS. OR (II) TO PERSONS WHO IN THE COURSE OF AND FOR THE PURPOSES OF. THE NOTES MAY NOT BE OFFERED OR SOLD. NOR MAY THIS OFFERING MEMORANDUM OR ANY OTHER OFFERING DOCUMENT OR MATERIAL RELATING TO THE NOTES BE CIRCULATED OR DISTRIBUTED. OR STATUTORY SUBSTITUTION FOR. SELL. THIS PROSPECTUS OR ANY OTHER DOCUMENT OR MATERIAL IN CONNECTION WITH ANY OFFER OF THE NOTES OFFERED HEREBY MAY NOT BE ISSUED.000 (OR THE EQUIVALENT THEREOF IN OTHER CURRENCIES) TO ANYONE ANYWHERE IN THE WORLD OTHER THAN TO BANKS. IN SINGAPORE. DIRECTLY OR INDIRECTLY. NOTICE TO RESIDENTS OF THE NETHERLANDS EACH OF THE INITIAL PURCHASER AND THE PLACEMENT AGENT HAS REPRESENTED AND AGREED THAT IT HAS NOT.KOREA AND NONE OF THE NOTES MAY BE OFFERED OR SOLD OR DELIVERED. CIRCULATE OR DISTRIBUTE THIS PROSPECTUS IN SINGAPORE OR MAKE. ACCORDINGLY. INVESTMENT INSTITUTIONS. OR IN WHICH SUCH OFFER OR SALE IS MADE PURSUANT TO SUITABLE EXEMPTIONS APPLICABLE THERETO (SUCH AS BUT NOT LIMITED TO SECTION 274 OR SECTION 275 OF THE SECURITIES AND FUTURES ACT (CHAPTER 289) OF SINGAPORE). THE OFFER OF NOTES OFFERED HEREBY OR ANY INVITATION TO SUBSCRIBE FOR OR PURCHASE ANY SUCH NOTES (OR ANY ONE OF THEM) MAY NOT BE MADE. DIRECTLY OR INDIRECTLY. TREASURIES AND FINANCE COMPANIES OF LARGE ENTERPRISES AND OTHER ENTITIES WHICH TRADE OR INVEST IN SECURITIES IN THE CONDUCT OF A BUSINESS OR PROFESSION. TRANSFER OR DELIVER ANY NOTES OFFERED HEREBY (INCLUDING RIGHTS REPRESENTING AN INTEREST IN A GLOBAL NOTE) IN DENOMINATIONS LESS THAN €50. OTHER THAN UNDER CIRCUMSTANCES IN WHICH SUCH OFFER OR SALE DOES NOT CONSTITUTE AN OFFER OR SALE OF THE NOTES OFFERED HEREBY TO THE PUBLIC IN SINGAPORE. CIRCULATED OR DISTRIBUTED IN SINGAPORE. DIRECTLY OR INDIRECTLY. SECURITIES FIRMS. NO PERSON WHO RECEIVES A COPY OF THIS PROSPECTUS UNDER SUCH CIRCUMSTANCES MAY ISSUE. DIRECTLY OR INDIRECTLY. A COPY OF THIS PROSPECTUS.S. NOTICE TO RESIDENTS OF SINGAPORE THIS PROSPECTUS HAS NOT BEEN AND WILL NOT BE REGISTERED AS A PROSPECTUS WITH THE MONETARY AUTHORITY OF SINGAPORE. INSURANCE COMPANIES.$50. OFFERED. OR GIVE TO ANY OTHER PERSON. DIRECTLY OR INDIRECTLY. ACCORDINGLY. IN NEW ZEALAND OTHER THAN (I) TO PERSONS WHOSE PRINCIPAL BUSINESS IS THE INVESTMENT OF MONEY. OFFER. TRANSFERRED OR DELIVERED AND WILL NOT.

UNINCORPORATED ASSOCIATIONS ETC") OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (FINANCIAL PROMOTION) ORDER 2001 (ALL SUCH PERSONS TOGETHER BEING REFERRED TO AS "RELEVANT PERSONS"). ANY INVESTMENT OR INVESTMENT ACTIVITY TO WHICH THIS COMMUNICATION RELATES IS AVAILABLE ONLY TO RELEVANT PERSONS AND WILL BE ENGAGED IN ONLY WITH RELEVANT PERSONS. NOTICE TO RESIDENTS OF SWEDEN THIS PROSPECTUS IS FOR THE RECIPIENT ONLY AND MAY NOT IN ANY WAY BE FORWARDED TO ANY OTHER PERSON OR TO THE PUBLIC IN SWEDEN.SPANISH SECURITIES MARKET ACT (LEY 24/1988. viii . (i) any securities other than the Notes or (ii) any Notes in any jurisdiction in which it is unlawful for such person to make such an offer or solicitation. NOTICE TO RESIDENTS OF THE UNITED KINGDOM THIS COMMUNICATION IS DIRECTED ONLY AT PERSONS WHO (i) ARE OUTSIDE THE UNITED KINGDOM OR (ii) HAVE PROFESSIONAL EXPERIENCE IN MATTERS RELATING TO INVESTMENTS OR (iii) ARE PERSONS FALLING WITHIN ARTICLE 49(2)(a) TO (d) ("HIGH NET WORTH COMPANIES. the Initial Purchaser and the Placement Agent to inform themselves about. nothing contained herein shall constitute an offer to sell. and to observe. Consequently. Persons into whose possession this Prospectus comes are required by the Co-Issuers. NO PUBLIC OFFER OF THE SECURITIES OR PUBLIC DISTRIBUTION OF THIS DOCUMENT MAY BE MADE IN OR OUT OF SWITZERLAND. The distribution of this Prospectus and the offering of the Notes may also be restricted by law in certain jurisdictions. THIS DOCUMENT IS STRICTLY FOR PRIVATE USE BY ITS HOLDER AND MAY NOT BE PASSED ON TO THIRD PARTIES. THEREFORE. IT MAY NOT BE USED FOR AND SHALL NOT BE DEEMED A PUBLIC OFFERING OF THE NOTES. THIS COMMUNICATION MUST NOT BE ACTED ON OR RELIED ON BY PERSONS WHO ARE NOT RELEVANT PERSONS. NOTICE TO RESIDENTS OF TAIWAN THE OFFER OF THE NOTES HAS NOT BEEN AND WILL NOT BE REGISTERED WITH THE SECURITIES AND FUTURES COMMISSION OF THE REPUBLIC OF CHINA PURSUANT TO RELEVANT SECURITIES LAWS AND REGULATIONS AND MAY NOT BE OFFERED OR SOLD WITHIN THE REPUBLIC OF CHINA THROUGH A PUBLIC OFFERING OR IN CIRCUMSTANCE WHICH CONSTITUTES AN OFFER WITHIN THE MEANING OF THE SECURITIES AND EXCHANGE LAW OF THE REPUBLIC OF CHINA THAT REQUIRES A REGISTRATION OR APPROVAL OF THE SECURITIES AND FUTURES COMMISSION OF THE REPUBLIC OF CHINA. DE 28 DE JULIO. NOTICE TO RESIDENTS OF SWITZERLAND THIS DOCUMENT HAS NOT BEEN PREPARED FOR PRIVATE INFORMATION PURPOSES OF INTERESTED INVESTORS ONLY. or a solicitation of an offer to buy. any such restrictions. DEL MERCADO DE VALORES) AND ANY REGULATIONS ENACTED THEREUNDER) OR WITHOUT COMPLYING WITH ALL LEGAL AND REGULATORY REQUIREMENTS IN RELATION THERETO. NO APPLICATION HAS BEEN MADE UNDER SWISS LAW TO PUBLICLY MARKET THE NOTES IN OR OUT OF SWITZERLAND.

the Issuer will include in such report a reminder that (i) each Holder (other than those Holders who are not U. in connection with the Restricted Certificated Notes or Certificated Income Notes. (ii) the Notes can only be transferred to a transferee that is (a) a Qualified Institutional Buyer (or. to such Holder and a prospective purchaser designated by such Holder. ix .AVAILABLE INFORMATION To permit compliance with Rule 144A under the Securities Act in connection with the resale of the Notes. Persons and have purchased their Notes outside the United States pursuant to Regulation S) is required to be (a) a "qualified institutional buyer" as defined in Rule 144A under the Securities Act (a "Qualified Institutional Buyer") or an "accredited investor" as defined in Rule 501(a) under the Securities Act (an "Accredited Investor") and (b)(x) a "qualified purchaser" as defined in Section 2(a)(51) of the United States Investment Company Act of 1940. the information required to be delivered under Rule 144A(d)(4) under the Securities Act if at the time of the request the Co-Issuers are not reporting companies under Section 13 or Section 15(d) of the Securities Exchange Act of 1934. the Income Note Issuing and Paying Agent or (iii) if and for so long as any Notes are listed on the Irish Stock Exchange and the rules of the Irish Stock Exchange so require. To the extent the Issuer delivers any annual or other periodic report to the Holders of the Notes. or exempt from reporting pursuant to Rule 12g3-2(b) under the Exchange Act. each of the Co-Issuers (or the Issuer in the case of the Income Notes) will be required to furnish. or (y) a "knowledgeable employee" with respect to the Issuer as defined in Rule 3c-5 under the Investment Company Act or (z) a company beneficially owned exclusively by one or more "qualified purchasers" and/or "knowledgeable employees" with respect to the Issuer (each. upon request of a holder of a Note (a "Holder" or a "Noteholder"). It is not contemplated that either of the Co-Issuers will be such a reporting company or so exempt. and (iii) the Co-Issuers have the right to compel any Holder who does not meet the transfer restrictions to transfer its interest in the Notes to a person designated by the Co-Issuers or sell such interests on behalf of the Holder. a "Qualified Purchaser"). as amended (the "Exchange Act"). in each case. as amended (the "Investment Company Act") and the rules thereunder. the Trustee. purchasing for its own account. an Accredited Investor) and (b) a Qualified Purchaser purchasing for its own account.S. (ii) in the case of the Income Notes. the Irish Paying Agent located in Dublin. Such information may be obtained from (i) in the case of the Rated Notes.

A Cayman Islands court may also stay proceedings if concurrent proceedings are being brought elsewhere. The Issuer has been advised by Maples and Calder. and provided such judgment is final. the courts of the Cayman Islands will recognize and enforce a foreign judgment of a court of competent jurisdiction. As a result. and which was not obtained in a manner. for a liquidated sum not in respect of taxes or a fine or penalty. its legal advisor in the Cayman Islands. based on the principle that a judgment of a competent foreign court imposes upon the judgment debtor an obligation to pay the sum for which judgment has been given. it may not be possible for purchasers of the Notes to effect service of process upon the Issuer within the United States or to enforce against the Issuer in United States courts judgments predicated upon the civil liability provisions of the securities laws of the United States.CERTAIN CONSIDERATIONS RELATING TO THE CAYMAN ISLANDS The Issuer is an exempted company incorporated under the laws of the Cayman Islands. and is not of a kind the enforcement of which is. x . contrary to the public policy of the Cayman Islands. Although there is no statutory enforcement in the Cayman Islands of judgments obtained in New York or other states in the United States. that the United States and the Cayman Islands do not currently have a treaty providing for reciprocal recognition and enforcement of judgments in civil and commercial matters. The Issuer will appoint CT Corporation System as its agent in New York for service of process.

..S...... a "Monthly Payment Date") and.. 2006..... the 5th day of each month.... Ltd..400......S......000 aggregate principal amount of Income Notes...000....000 (approximate).... including. with respect to CDS Assets..... beginning in November 2006 (each.....$36...500. ESP Funding I (Delaware) Corp... (ii) the expenses....... including proceeds from the issuance of the Notes on the Closing Date and the upfront payment from the Initial Interest Rate Hedge Counterparty................ U..SUMMARY The following summary does not purport to be complete and is qualified in its entirety by reference to the detailed information appearing elsewhere in this Prospectus and related documents referred to herein. Effective Date:......... Collateral Manager: ...............S..... Closing Date: ....... without limitation (i) the legal fees and expenses of counsel to the Co-Issuers.... Defined terms used herein may be defined elsewhere in this Prospectus.. the 5th day of each January..... Trustee/Accountholder/Income Note Issuing and Paying Agent/Collateral Administrator:...S... the Aggregate CDS Asset Notional Amount).. Expected Proceeds:........ April. On or about September 7... Co-Issuer: . Certain General Terms Issuer: . a "Quarterly Payment Date")...500......000 (the "Aggregate Effective Date Par Amount")....... Net: U... ESP Funding I...000 (approximate)..... Gross: U............ (iv) the initial deposit into the Expense Reserve Account and (v) expenses incurred as part of obtaining admission for the Notes to trade on the Irish Stock Exchange.S..... adjusted as described herein in the case of nonBusiness Days).....685............$13......... the Class A-1T1 Notes and the Class A-1T2 Notes....... for the other Classes of Rated Notes and the Income Notes....... the Initial Purchaser and the Collateral Manager.................. Elliott Structured Products LLC LaSalle Bank National Association......000. being net proceeds after deducting certain Closing Date payments of organizational and structuring fees and expenses of the Co-Issuers....$1. The date (the "Effective Date") that is the earlier of (a) the 105th day following the Closing Date and (b) the first day on which the Aggregate Principal Balance of the Pledged Collateral Debt Assets purchased by the Issuer (including.... the aggregate amount of which such expenses is expected to equal approximately U..... together with any Collateral Principal Collections received on or prior to such date and the aggregate amount of unpaid interest accrued thereon prior to the respective dates of purchase thereof is at least equal to U........... 1 Notes:...$677..S.................. ..000 aggregate principal amount of Rated Notes and U..... For the Class A-1R Notes......000.$680. Payment Dates:.. An index of defined terms used herein indicating where the related definitions can be found appears at the end of this Prospectus................ July and October........... (iii) the expenses of offering the Notes (including placement agency fees and structuring fees).....$767.. provided that the final scheduled Monthly Payment Date and Quarterly Payment Date will be in October 2046 (in each case.... beginning in January 2007 (each....... fees and commissions incurred in connection with the acquisition of the Collateral Debt Assets to be purchased by the Issuer on the Closing Date........

.. 4 So long as any Class of Notes that is Senior to the Class C Notes remains outstanding.....50% 3-Month LIBOR + 3.....000.....S...." 2 ..000...000 U.... See "The Advance Swap..50% 3-Month LIBOR + 1...$30... "BBB" U.000 U.S..$250..000.000. 3 So long as any Class of Notes that is Senior to the Class B Notes remains outstanding..23% 1-Month LIBOR + 0.. third....$15... Class A-1T2 Notes.000 U.$90..... expressed as a spread above one-month LIBOR for the Class A-1T1 Notes and the Class A-1T2 Notes and the funded portion of the Class A-1R Notes and threemonth LIBOR for the other Classes of Rated Notes.... any interest on the Class C Notes not paid when due will be deferred and capitalized..000 and integral multiples of U.. Payments of interest on and principal of the Notes will be subordinate to certain payments. Minimum Denomination: ... 2 Interest rate per annum..23% 1-Month LIBOR + 0.$10. Seniority: .46% 3-Month LIBOR + 0.... "AAA" "Aaa"...S. First..S... subject to certain limited exceptions applicable to payment of principal of the Notes.$100.... any interest on the Class B Notes not paid when due will be deferred and capitalized.000...000 U.. Class A-4 Notes..000.S..... Class A-2 Notes. payable in arrears on each Monthly Payment Date (with respect to the Class A-1T1 Notes and the Class A-1T2 and the funded portion of the Class A-1R Notes) and each Quarterly Payment Date (with respect to the other Classes of Notes)... "AAA" "Aaa"..000 in excess thereof....$395..$1.....$100.S.. Class A-3 Notes............S..000 ___________________ 1 The Class A-1R Notes will be issued subject to the commitment of each holder thereof to make advances in an amount that may increase or decrease from time to time up to such holder's Class A-1R Commitment... based on a year of 360 days and actual number of days elapsed. fifth.40% 3-Month LIBOR + 0.. "A" "Baa2".25% Ratings (Moody's and S&P) "Aaa". sixth.0001 Stated Maturity Date October 2046 October 2046 October 2046 October 2046 October 2046 October 2046 October 2046 October 2046 Applicable Periodic Interest Rate2 1-Month LIBOR + 0. See "Description of the Notes—Priority of Payments"...000. seventh........S. "AAA" "Aaa".. fourth...Use of Proceeds: ..... "AAA" "Aaa".. "AAA" "Aa2"... Class B Notes and. Net proceeds will be used by the Issuer on the Closing Date to purchase the Collateral Debt Assets listed in Annex C attached hereto previously selected by the Collateral Manager and after the Closing Date to purchase additional Collateral Debt Assets in accordance with the investment criteria described herein.000 U....000.. Note Class A-1R Revolving Floating Rate Senior Secured Notes Class A-1T1 Floating Rate Senior Secured Notes Class A-1T2 Floating Rate Senior Secured Notes Class A-2 Floating Rate Senior Secured Notes Class A-3 Floating Rate Senior Secured Notes Class A-4 Floating Rate Senior Secured Notes Class B Floating Rate Subordinate Secured Notes3 Class C Floating Rate Junior Subordinate Secured Notes4 Principal Amount U......000 U.. including certain payments to the Advance Swap Counterparty.....S.... Class C Notes.. U. General Terms of the Rated Notes Rated Notes: . "AA" "A2".23% 3-Month LIBOR + 0.. Class A-1T1 Notes and Class A-1R Notes (including any required deposits into the Synthetic Reserve Account as described herein).S. second..$27..

.. and (ii) based on the Advance Swap Allocation Basis... Class A-3 Notes. The Rated Notes will be limited recourse debt obligations of the Co-Issuers secured pursuant to the Indenture by. (B) if the Pro Rata Payment Conditions are satisfied.... then to pay on the Pro Rata Payment Basis: (i) any Used Advance Swap Amount..... and then (b) to reduce pro rata.. payments of principal will only be paid in respect of the Rated Notes in limited circumstances provided herein. and (iii) principal of the Class A-1T2 Notes... the Collateral. any such payment permanently reducing the Advance Swap Notional Amount. subject to and in accordance with the Priority of Payments.. to pay any Class A-1R Repayment.. (a) to deposit to the Synthetic Reserve Account.. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero.. then to reduce: (i) any Used Advance Swap Amount. and payable solely from and to the extent of available proceeds from. to the extent that it determines in good faith that suitable investments in Collateral Debt Assets are not available.. 3 . by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes.. (a) to deposit to the Synthetic Reserve Account.. and then (ii) based on the Advance Swap Allocation Basis... Class A-2 Notes.. and (C) if the Pro Rata Payment Conditions are not satisfied. During the Interest-Only Period.. (1) the Aggregate Class A-1R Commitment by (x) paying any outstanding balance of the Class A-1R Notes and (y) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. Class B Notes and Class C Notes.Security for the Rated Notes:... may designate on any Quarterly Payment Date all or a portion of the Collateral Principal Collections available in accordance with the Priority of Payments to make payments of principal on the Rated Notes: (A) at the sole discretion of the Collateral Manager.. the Collateral Manager. which shall not reduce the Aggregate Class A-1R Commitment.. During the Interest-Only Period... Class A-4 Notes....... such deposit permanently reducing the Advance Swap Notional Amount Principal Repayment: .. any such payment permanently reducing the Advance Swap Notional Amount..

the Class A-3 Notes.until it is reduced to zero. the Class A-2 Notes. Class A-2 Notes. (a) the Aggregate Class A-1R Commitment by (1) paying any outstanding balance of the Class A1R Notes and (2) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. (1) the Aggregate Class A-1R Commitment by (x) paying any outstanding balance of the Class A-1R Notes and (y) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. the Class B Notes and the Class C Notes in sequence until each Class of Notes has been paid in full. Class B Notes and Class C Notes in sequence until each Class of Notes has been paid in full. and then (ii) to reduce pro rata. any such payment permanently reducing the Advance Swap Notional Amount. On each Quarterly Payment Date on which the Pro Rata Payment Conditions are not satisfied. and then (iii) to pay the principal of the Class A-1T2 Notes. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (b) any outstanding balance of the Class A-1T1 Notes. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero. and then (b) to reduce pro rata. Class A-4 Notes. the Class A-4 Notes. (i) to deposit to the Synthetic Reserve Account. On each Quarterly Payment Date after the Interest-Only Period on which the Pro Rata Payment Conditions are satisfied. Collateral Principal Collections will be used to pay on the Pro Rata Payment Basis: (A) any Used Advance Swap Amount. Collateral Principal Collections (other than Sale 4 . (B) based on the Advance Swap Allocation Basis. to the extent funds are available in accordance with the Priority of Payments. Class A-3 Notes. and (C) principal of the Class A-1T2 Notes.

funds that would otherwise be used to make (i) interest and principal payments on the Class A Notes.. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes. In addition... the Class B Notes and the Class C Notes in sequence until each Class of Notes has been paid in full.Proceeds of Credit Risk Assets. the Class B Notes and the Class C Notes in sequence until each Class of Notes has been paid in full.. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (b) any outstanding balance of the Class A-1T1 Notes... (i) to deposit to the Synthetic Reserve Account.. (i) to deposit to the Synthetic Reserve Account. and then (b) based on the Advance Swap Allocation Basis... the Class A-4 Notes.. the Class A-2 Notes. if either Coverage Test applicable to the Class C Notes is not satisfied as of any Calculation Date. any such payment permanently reducing the Advance Swap Notional Amount. If any Coverage Test applicable to the Class A Notes or the Class B Notes is not satisfied as of any Calculation Date. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero.. and then (B) based on the Advance Swap Allocation Basis. any such payment permanently reducing the Advance Swap Notional Amount.. the Class A-2 Notes. Credit Improved Assets or Defaulted Assets that have been reinvested or identified for reinvestment in accordance with the Priority of Payments and the Reinvestment Criteria) will be applied to pay.. the Class A-3 Notes... (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. (a) the Aggregate Class A-1R Commitment by (1) paying any outstanding balance of the Class A1R Notes and (2) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. Collateral Interest Collections and Collateral Principal Collections that would otherwise be used to make (i) distributions to the Holders of the Income Notes and (ii) certain other 5 . (a) any Used Advance Swap Amount. in the following order... and then (C) the principal of the Class A-1T2 Notes. and then (ii) to reduce pro rata. and then (ii) to reduce pro rata. Mandatory Redemption: ... Class B Notes and the Class C Notes and (ii) distributions to the Holders of the Income Notes and (iii) certain other payments in accordance with the Priority of Payments on the related Quarterly Payment Date will instead be applied to pay in the following order. and then (c) principal of the Class A-1T2 Notes. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero. (A) any Used Advance Swap Amount.. the Class A3 Notes.. the Class A-4 Notes.

.. Optional Redemption:...... subject to the satisfaction of certain conditions........500.... as such. Early Redemption:. The Rated Notes will be subject to early redemption in connection with an Optional Redemption.. and then (c) based on the Advance Swap Allocation Basis.. (1) the Aggregate Class A1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero...... and then (d) to pay principal of the Class A-1T2 Notes.... at the direction of the Holders of not less than a Majority of the Income Notes. on any Quarterly Payment Date following the occurrence and during the continuation of a Tax Event in an amount satisfying the Tax Materiality Condition. each as described under "Description of the Notes—Rated Notes—Early Redemption"..... and then to pay (b) any Used Advance Swap Amount.... on or after the Quarterly Payment Date occurring in October 2009.... at the direction of the Collateral Manager with the approval of the Holders of not less than a Majority of the Income Notes..... (i) to deposit to the Synthetic Reserve Account......................$1..........S.... Expected Rating: ......... and then (ii) to reduce pro rata.payments in accordance with the Priority of Payments on the related Quarterly Payment Date will instead be applied (a) to pay principal of the Class C Notes (using Collateral Interest Collections only).... Tax Redemption or Auction Call Redemption. on each subsequent Quarterly Payment Date thereafter (in each case subject to the provisions described herein).....000.... the Class A-3 Notes..........000 in excess thereof.... U.... the Class A-2 Notes..... Minimum Denomination: ..... by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes.....000 and integral multiples of U.. represent a residual interest in the assets of the Issuer.... any such payment permanently reducing the Advance Swap Notional Amount........$13. Tax Redemption: .. in accordance with the procedures..... "Description of the Notes— Rated Notes—Redemption Procedures" and "—Auction Call Redemption"...S........ 6 ....... and....... The Rated Notes may be redeemed.. the Rated Notes will subsequently be redeemed in whole but not in part (i) on or after the earlier of (a) the Quarterly Payment Date occurring in October 2014 and (b) the Quarterly Payment Date on which the Collateral Principal Balance is less than or equal to 10% of the Collateral Principal Balance as of the Effective Date and (ii) if the auction has not been successfully concluded and the Rated Notes have not been redeemed in full......... The Collateral Debt Assets will be auctioned....... U... the Class B Notes and the Class C Notes in sequence until each Class of Notes has been paid in full. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero..... General Terms of the Income Notes Aggregate Principal Amount: .. in whole but not in part.S.... and subject to the satisfaction of the conditions described under. in whole but not in part... automatically and without any direction by any person or entity...... The Income Notes will not be rated.. Auction Call Redemption: .. The Income Notes will be unsecured limited recourse obligations of the Issuer issued in accordance with the Income Note Issuing and Paying Agency Agreement and.$250............ Status: ... the Class A-4 Notes.. The Rated Notes may be redeemed...............

. N... the Class A-3 Notes..S.... (1) the Aggregate Class A1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero.. General Terms of the Advance Swap Advance Swap:.000. if the Income Notes are not otherwise redeemed in connection with a redemption of the Rated Notes.. Subject to satisfaction of the conditions to borrowing (including first using the available Class A-1R Commitment).... and then (b) based on the Advance Swap Allocation Basis... on any Quarterly Payment Date on or after the Quarterly Payment Date on which the Rated Notes have been paid in full... Draws on the Advance Swap:.. Citibank. to the extent funds are available therefor. See "Description of the Notes—Income Notes—Optional Redemption"......... (a) any Used Advance Swap Amount... Pursuant to the Advance Swap.... at the redemption price therefor.... on each Quarterly Payment Date. as initial counterparty (the "Advance Swap Counterparty").. N...... expects to transfer and assign its rights... if any Coverage Test........ following the Closing Date.A..... the Class A-2 Notes.... any such payment permanently reducing the Advance Swap Notional Amount.. but.. The Income Notes will not bear a stated rate of interest.. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero. On the Closing Date.. funds that would otherwise be paid to Income Noteholders on any Quarterly Payment Date will be diverted to pay in the following order.. distributions will be made on the Income Notes after the payment of interest on the Rated Notes and certain other amounts ranking senior in priority to such distributions as specified under the Priority of Payments. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes....Payments: ....A...$225...... the Class A-4 Notes.. duties and obligations as Advance Swap Counterparty to IXIS Financial Products Inc...... the Class B Notes and the Class C Notes in sequence until each Class of Notes has been paid in full..000. as increased or permanently reduced as of any date of determination... the Issuer may make draws on the Advance Swap from time to time in an aggregate principal amount at any one time outstanding up to the full amount of the Advance Swap Notional Amount........ as of the related Calculation Date.. subject to a onetime increase or as permanently reduced from time to time to the extent required in accordance with the Priority of Payments or permitted at the discretion of the Collateral Manager in accordance with the terms of the Advance Swap (such initial amount... the Issuer will enter into a swap agreement (the "Advance Swap") with Citibank...... Optional Redemption of the Income Notes: ......... the Issuer will be entitled to make draws from time to time in an initial amount of up to U.. the "Advance Swap Notional Amount").. and then (c) principal of the Class A-1T2 Notes... The Issuer may make draws on the Advance Swap in order to (i) pay any CDS Loss Payment.... the Holders of not less than a Majority of the Income Notes may direct the Issuer to liquidate any remaining assets and redeem the Income Notes (in whole but not in part)...... However... (ii) make any CDS Interest Payment or 7 . and then (ii) to reduce pro rata.... Subject to certain conditions described herein. (i) to deposit to the Synthetic Reserve Account.. is not satisfied as described under "Description of the Notes—Rated Notes—Mandatory Redemption" and "—Priority of Payments"...

. if the Advance Swap Counterparty has no guarantor.. if such short-term senior unsecured debt... .... the Advance Swap Counterparty will take one of the following actions (at its own expense and while continuing otherwise to perform its obligations pursuant to the Advance Swap): (A) transfer all of its rights and obligations under the Advance Swap to another entity with ratings at least equal to the thresholds 8 Advance Swap Commitment Fees and Draw Fees:... deposit or similar obligations are not rated by Moody's... Repayment of Advance Swap:. the Issuer is required to make repayments in respect of the Used Swap Amount (the "Advance Swap Repayment Amount") in amounts determined in accordance with the Used Advance Swap Repayment Amount Priority and the Priority of Payments... The Advance Swap Notional Amount will be permanently reduced on each Payment Date to the extent so required in accordance with the Priority of Payments or permitted at the discretion of the Collateral Manager in accordance with the terms of the Advance Swap... deposit or similar obligations are not rated by S&P.. An "Advance Swap Ratings Event" means the Advance Swap Counterparty's guarantor's (or. The Advance Swap will terminate on the earliest of (i) the Payment Date in October 2046.. deposit or similar obligations are rated below "Aa3" by Moody's or (B) short-term senior unsecured debt.... subject to and in accordance with the Priority of Payments on a basis that is senior to payments of interest on any Class of Notes.(iii) pay any CDS Issuer Termination Payment (other than a CDS Subordinated Issuer Termination Payment)... the long-term senior unsecured debt.. (ii) the Redemption Date and (iii) such earlier date.. Advance Swap Drawing Fees and Advance Swap Commitment Fees will be payable in arrears on each monthly Payment Date.40 percent per annum (the "Advance Swap Drawing Fee Rate") on the Average Used Advance Swap Amount for each Interest Period. A drawing fee (the "Advance Swap Drawing Fee") will accrue and be payable by the Issuer to the Advance Swap Counterparty monthly on each Monthly Payment Date at a rate equal to one-month LIBOR plus 0. The Advance Swap Notional Amount will be permanently reduced by the amount of any Advance Swap Repayment Amounts. the long-term senior unsecured debt. deposit or similar obligations are rated below "A1" by Moody's... Advance Swap Ratings Event:. deposit or similar obligations are rated lower than "AA-" by S&P..... If an Advance Swap Ratings Event shall occur and be continuing. if any........ deposit or similar obligations are rated lower than "P-1" by Moody's and the longterm senior unsecured debt... The Issuer will pay to the Advance Swap Counterparty a commitment fee (the "Advance Swap Commitment Fee") that will accrue and be payable monthly on each monthly Payment Date at a rate equal to 0....... or if such short-term senior unsecured debt... On each Quarterly Payment Date. or... on which the Advance Swap Notional Amount is reduced to zero in accordance with its terms (the "Advance Swap Termination Date").. deposit or similar obligations are rated lower than "A-1" by S&P..... the Advance Swap Counterparty's) (A) short-term senior unsecured debt. Reductions in Advance Swap Notional Amount:..13% per annum (the "Advance Swap Commitment Fee Rate") on the Average Undrawn Advance Swap Amount for each Interest Period..

.S. General Terms of the Class A-1R Notes Class A-1R Commitments: .. repaid and re-borrowed through Class A-1R Advances solely for the following purposes: (i) until the end of the Interest-Only Period. at any time in respect of any Class A-1R Note. The aggregate Class A-1R Commitments shall not exceed U. or (iii) the occurrence of a Class A-1R Commitment Termination Event. subject to certain conditions. the Advance Swap Counterparty will be obligated to fund a mandatory draw (an "Advance Swap Mandatory Draw").$100. repaid and re-borrowed at any time prior to the termination of the Aggregate Class A-1R Commitment. In addition...000. "Class A-1R Commitment" means.. the "Class A-1R Note Agent") and the Holders of the Class A1R Notes party thereto. Subject to compliance with the borrowing conditions described under "Description of the Notes—Rated Notes—Class A-1R Note Terms....set forth in the definition of "Advance Swap Ratings Event"". LaSalle Bank National Association... as permanently reduced from time to time in accordance with the Priority of Payments... the Redemption Date of the Notes. if earlier. dated as of the Closing Date (the "Class A-1R Note Purchase Agreement").. Class A1R Commitments" and "—Additional Terms Related to Class A-1R Advances" and prior to the Class A-1R Commitment Termination Date.. amounts may be borrowed. if an Advance Swap Ratings Event has occurred and is continuing for 30 days... subject to compliance with certain funding conditions specified therein. (ii) the Stated Maturity Date of the Notes or. The Class A-1R Notes will be a revolving Class of Notes under which amounts may be borrowed. or 9 . or (B) cause an entity with ratings at least equal to the thresholds set forth in the definition of "Advance Swap Ratings Event" to guarantee or provide an indemnity or letter of credit in respect of the obligations of the Advance Swap Counterparty. each Holder of the Class A-1R Notes will be obligated to make advances to the Issuer upon request (each. The portion of the Class A-1R Advance applicable to each Class A-1R Note shall be the pro rata share of the unfunded Class A-1R Commitments represented by such Class A-1R Note.. Class A-1R Note Advances: . a "Class A-1R Advance"). The Aggregate Class A-1R Commitment will continue until the date (the "Class A-1R Commitment Termination Date") of the earliest of (i) the permanent reduction of the Aggregate Class A-1R Commitment (as defined herein) to zero in accordance with the Priority of Payments. as Class A-1R Note Agent (in such capacity.000 (the "Aggregate Class A1R Commitment")... among the Issuer. Pursuant to the Note Purchase Agreement. "Class A-1R Commitment Termination Event" means certain events of bankruptcy.... to fund acquisitions (or hold as Principal Proceeds to be used for anticipated acquisitions) by the Issuer of cash-purchased Collateral Debt Assets. in an aggregate principal amount at any one time outstanding of up to the full amount of its respective Class A-1R Commitment. insolvency or reorganization of the Issuer. the maximum aggregate outstanding principal amount of advances that the Holder of such Class A-1R Note is obligated to make to the Issuer under the Class A-1R Note Purchase Agreement.

to the Collection Account in order to pay Floating Amounts or amounts payable in respect of Credit Events on the Synthetic Assets or termination events before drawing on the Class A-1R Commitment in order to fund any such amounts). and (B) if an Event of Default has occurred and is continuing at the end of the Interest-Only Period but prior to a Class A-1R Commitment Termination Date (to the extent that such Event of Default is not also a Class A-1R Commitment Termination Event). if any. to apply Class A-1R Advances solely to fund payments in respect of Synthetic Assets acquired or entered into prior to the date of the Event of Default. Interest on the outstanding principal amount from time to time of the Class A-1R Notes will accrue on each day on which any Class A-1R Advances are outstanding during each Class A-1R Interest Period at the Class A-1R Note Interest Rate. The Class A-1R Commitment Fee will be payable in arrears on each Quarterly Payment Date prior to the Class A-1R Commitment Termination Date and will rank pari passu with payments of interest on the Class A-1R Notes. on deposit... Class A-1R Commitment Fees: . Interest on the outstanding principal amount of the Class A-1R Notes will be payable in arrears on each Monthly Payment Date. on deposit in the Synthetic Asset Collateral Account to the Collection Account in order to pay Floating Amounts or amounts payable in respect of credit related events on the Synthetic Assets or termination events before drawing on the Class A-1R Commitment in order to fund any such amounts.(ii) (A) during the Interest-Only Period. Any portion of the Class A-1R Commitment Fee that is not paid when due will result in an Event of Default.. subject to and in accordance with the Priority of Payments on a basis that is senior to payments of interest on any other Class of Notes. in the Synthetic Asset Collateral Account. A commitment fee (the "Class A-1R Commitment Fee") will accrue on each day on which there is any undrawn amount of the Class A-1R Commitments (the "Aggregate Class A-1R Undrawn Amount") during each Interest Period at a rate per annum equal to 0. Repayment of Class A-1R Notes:.. and interest at the Class A-1R Note Interest Rate will accrue on any such unpaid amount.. first. Interest on Class A-1R Notes: . Interest will be payable to the respective Holders of the Class A-1R Notes proportionally based on the outstanding principal balances of their respective Class A-1R Notes. initial payment or Cash Settlement Payment (provided that the Issuer shall first release amounts. The Issuer shall first release amounts. and second.. The Class A-1R Note Interest Rate applicable to each Class A1R Interest Period shall be the rate as determined and in effect on the first day of such Class A-1R Interest Period. to make funds available for payments to the CDS Asset Counterparties under the CDS Assets.. in the Synthetic Reserve Account. See "Description of the Notes—Rated Notes—Interest on the Rated Notes".. Except in the limited circumstances described herein.. if any. Any interest and fees due and owing on the Class A-1R Notes will be paid prior to any payments of interest on any other Class of Notes in accordance with the Priority of Payments.13% calculated on the average daily Aggregate Class A-1R Undrawn Amount during such Interest Period on the basis of a 360-day year and the actual number of days elapsed... 10 .... including in conjunction with the payment of the Aggregate CDS Asset Notional Amount upon a cash or physical settlement of Synthetic Assets or any termination payment. All payments on the Class A-1R Notes will be made in accordance with the Priority of Payments.

... each Class A-1R Holder and transferee of a Class A-1R Note will be required to satisfy the Class A-1R Noteholder Ratings Requirement...... Amounts will remain on deposit in the Synthetic Asset Collateral Account only to the extent that (i) there are no outstanding drawn amounts under the Advance Swap or the Class A-1R Notes during the Interest-Only Period and no amounts outstanding under the Advance Swap after the Interest-Only Period and (ii) the sum of the Advance Swap Undrawn Notional Amount plus the Aggregate Class A-1R Undrawn Amount plus the Synthetic Reserve Account Balance plus the balance on deposit in the Synthetic Asset Collateral Account are equal to the Deposits to the Account:........ will be required to promptly) cause such Holder to transfer its rights and obligations in respect of the Class A-1R Notes to an entity that satisfies such Class A-1R Noteholder Ratings Requirement...repayment of any outstanding principal of the Class A-1R Notes will occur.... such Holder will be obligated to fully fund any undrawn portion of its Class A-1R Commitment. in accordance with the Priority of Payments.... Synthetic Asset Collateral Account Establishment of Account:.... then the Issuer will be entitled to (and... Reductions of the Aggregate Class A1R Commitment: ...... See "Description of the Notes—Priority of Payments"... Amounts will be deposited to the Synthetic Asset Collateral Account from time to time in accordance with the Priority of Payments and at the discretion of the Collateral Manager in certain circumstances.. to the extent of any related payment.... In the event that any Holder of Class A-1R Notes fails to satisfy the Class A-1R Noteholder Ratings Requirement for a period of more than 30 days and is not replaced.. the Issuer (or the Collateral Manager acting on its behalf) may. The Aggregate Class A-1R Commitment will be permanently reduced from time to time to the extent so required or permitted at the discretion of the Collateral Manager and..... under the Indenture.. If any Holder of Class A-1R Notes (i) fails to satisfy the Class A-1R Noteholder Ratings Requirement prior to the Class A-1R Commitment Termination Date or (ii) defaults in its obligation to fund its portion of any Class A-1R Advance.. Amounts maintained in the Synthetic Asset Collateral Account will be assets of the Issuer and the claims of the CDS Asset Counterparties will not be limited to such amounts. reduce the Aggregate Class A-1R Commitment by the lesser of (i) the Class A-1R Note Undrawn Amount and (ii) the amount (if any) by which the Synthetic Asset Capacity Amount is greater than zero (or any lesser amount) (in each case after giving effect to any repayment. and the Aggregate Class A-1R Commitment will be reduced to zero.. The Synthetic Asset Collateral Account will initially have no amounts on deposit. upon notice to the Class A-1R Note Agent... 11 ..... Prior to the Class A-1R Commitment Termination Date... and the balance in such account may be increased and decreased from time to time in accordance with the Priority of Payments or from time to time at the discretion of the Collateral Manager. The Trustee will establish the Synthetic Asset Collateral Account for the benefit of the CDS Asset Counterparties to collateralize all or a portion of the Issuer's obligations under the Synthetic Assets... See "Description of the Notes—Rated Notes—Class A-1R Note Mechanics—Class A-1R Holders"... prior to any payments of principal on any other Class of Notes in accordance with the Priority of Payments.... On any date prior to the Class A-1R Commitment Termination Date.. Class A-1R Holder Eligibility: .. Class A-1R Advances and Synthetic Asset Collateral Account deposit on such date)..

. of the notional amounts of the Reference Obligations referenced by the Synthetic Assets...A.. Following the end of the Interest-Only Period and pursuant to the Priority of Payments and provided that any outstanding balances under the Advance Swap and the Class A-1R Notes have been repaid... The amounts available in the Synthetic Asset Collateral Account will be used to fund payments in respect of credit related events under the Synthetic Assets... to the extent of any Synthetic Asset Capacity Amount...... the Collateral Manager may determine to use Sale Proceeds from the disposition of cash-purchased Collateral Debt Assets to increase the Synthetic Asset Capacity Amount. the Issuer will enter into a total rate of return swap (the "Synthetic Collateral Agreement") with Citibank... The Synthetic Collateral Agreement is intended to provide a return on the Synthetic Collateral Assets equal to LIBOR and to provide for the liquidation of the Synthetic Collateral Assets at par in all circumstances in order to fund the obligations of the Issuer to pay amounts owed in respect of the Synthetic Assets.............. in whole or in part.... Total Rate of Return Swap: ... Funding the Account Following the Interest-Only Period: .. On the Closing Date..Aggregate CDS Asset Notional Amount... The Trustee will establish the Synthetic Reserve Account for the benefit of the Secured Parties and will deposit into the Synthetic Reserve Account (a) the proceeds of all draws under the Advance Swap (other than an Advance Swap Mandatory Draw and any subsequent Advance Swap Draw) and the 12 ... (the "Synthetic Collateral Assets Counterparty") pursuant to which the Synthetic Collateral Assets Counterparty will (i) agree to purchase the Eligible Synthetic Collateral Assets from the Issuer at par in certain circumstances and (ii) make payments to the extent necessary such that the aggregate return on the Synthetic Collateral Assets is at least equal to LIBOR....... Amounts in the Synthetic Asset Collateral Account............ the Collateral Manager may first repay any outstanding balances under the Advance Swap and the Class A-1R Notes and then transfer any remaining Sale Proceeds to the Synthetic Asset Collateral Account in order to collateralize the acquisition of such additional Synthetic Assets.. Upon making such a determination.. During the Interest-Only Period and to the extent that the Synthetic Asset Capacity Amount is insufficient to permit the acquisition of additional Synthetic Assets...... Discretionary Transfers to the Account: ...... Any such payments into the Synthetic Asset Collateral Account pursuant to the previous sentence will permanently reduce each of the Advance Swap Notional Amount and the Aggregate Class A-1R Commitment to the extent of the amounts deposited............... Use of Funds in the Account: ..... Collateral Principal Collections will be paid into the Synthetic Reserve Account..... then the Synthetic Asset Collateral Account to the extent that each of the Advance Swap Notional Amount and the Aggregate Class A-1R Commitment has not been permanently and irrevocably reduced to zero.. N.. may be transferred to the Collection Account as principal for application in accordance with the Priority of Payments. Investment of Funds in the Account:.. Synthetic Reserve Account Establishment of Account and Deposits Into Account:... Amounts on deposit from time to time in the Synthetic Asset Collateral Account may be invested in Eligible Synthetic Collateral Assets...... payments of Floating Amounts on the Synthetic Assets or termination payments resulting from reductions...........

.......... on any Business Day.. Description of the Collateral Collateral: .... .. the Payment Account... and any distributions of or on.......... all amounts credited to such accounts. (viii) any Cashflow Swap Agreement.. (x) all cash or other property delivered to the Trustee. the Uninvested Proceeds Account........... Discretionary Transfers from the Account: . (iii) the Issuer's rights under the Class A-1R Note Purchase Agreement.. each as a counterparty (together............ On the Closing Date. the Expense Reserve Account. any of the property of the Issuer described in the preceding clauses... each Synthetic Asset Issuer Account. the Issuer may enter into additional agreements under Pay-As-You-Go Confirmations or forms other than a PayAs-You-Go Confirmation (collectively.. in each case.. (vi) the Issuer's rights under each Short CDS Asset. the Synthetic Reserve Account..... the Short CDS Assets Reserve Account........ The "Collateral" will consist of (i) the Collateral Debt Assets listed on Annex C hereto which are delivered to the Trustee on the Closing Date and the Collateral Debt Assets acquired after the Closing Date and any Equity Securities which. at its discretion with prior notice to the Trustee and with the prior consent of the Synthetic Collateral Assets Counterparty. the Synthetic Asset Collateral Account.... the Class A-1R Notes Allocation Account and each Class A-1R Note Holder Subaccount........... whether voluntary or involuntary.. the Issuer is required to make a CDS Payment.... the Note Interest Reserve Account. If... total rate of return swaps or swaptions from time to time by executing and delivering one or more confirmations on (i) one of the recently published "Pay-As-You-Go" forms of confirmation published by the International Swap Dealers Association ("ISDA") for credit default swaps on asset-backed securities or collateralized debt obligations (or any successor version of such forms as may be approved by the Collateral Manager acting on behalf of the Issuer.. After the Closing Date.. (iv) the Issuer's rights under the Synthetic Collateral Agreement... and Eligible Investments purchased with funds credited to such accounts and all income from the investment of funds therein.. (v) the Issuer's rights under the Advance Swap....... are delivered to the Trustee after the Closing Date pursuant to the Indenture and all payments thereon or with respect thereto. at any time transfer amounts on deposit in the Synthetic Reserve Account to the Synthetic Asset Collateral Account. (ii) the Collection Account....... each a "Pay-AsYou-Go Confirmation") or (ii) forms other than a Pay-As-You-Go Confirmation. the "CDS Assets") 13 Synthetic Assets: .. The Collateral Manager may. of and to....... Use of Funds in the Account: .. Any deposits to the Synthetic Reserve Account will permanently reduce the Advance Swap Notional Amount in the amount of such deposits to the extent so required pursuant to the Advance Swap or the Priority of Payments... the Issuer will enter into a Master Agreement and Schedule with each of one or more institutions... the Collateral Account.. together with the credit default swaps entered into with the Initial CDS Asset Counterparties... pursuant to which the Issuer may enter into credit default swaps. each Hedge Counterparty Collateral Account.. (vii) each Hedge Agreement....... the Trustee will apply cash on deposit in the Synthetic Reserve Account and the sale proceeds from the sale of any Reserve Investments as and to the extent required in the CDS Payment Priority.. and (xi) all proceeds.....Class A-1R Notes (solely with respect to amounts to be used to make any CDS Payments or to fund any deficiency in the Synthetic Reserve Account). the "Initial CDS Asset Counterparties").. (ix) the rights of the Co-Issuers under each of the Transaction Documents to which either of the Co-Issuers is a party and all payments to the Issuer or the Co-Issuer thereunder or with respect thereto.

each of which will reference a specified Reference Obligation in a principal amount equal to the principal amount of the related Credit Linked Security. In the event of a physical settlement.000.$143.. to the extent that the amounts on deposit therein are less than the amounts due on any Monthly Payment Date or Quarterly Payment Date and. Following a Credit Event. See "Security for the Rated Notes—The Accounts—Synthetic Asset Collateral Account".... a "Short CDS Counterparty")... See "Security for the Rated Notes—Synthetic Assets"... the "CDS Asset Counterparties"). Each CDS Asset will reference a notional amount of one or more Reference Obligations consisting of Collateral Debt Assets that satisfy the Eligibility Criteria. with the Initial CDS Asset Counterparties. Under each CDS Asset. the Portfolio Percentage Limitations. The Issuer will release amounts from the Synthetic Asset Collateral Account and. the Issuer may enter into or purchase credit default swaps in the form of CDS Assets where the Issuer is the buyer of protection (each a "Short CDS Asset") from time to time (each.. a CDS Asset Counterparty may have the right to elect physical settlement for all or a portion of the notional amount of the relevant Reference Obligation pursuant to the related CDS Asset. The Issuer will have no obligation to make any payment in respect of a Credit Linked Security after the initial purchase of such Credit Linked Security......000.. purchase Credit Linked Securities.. The Issuer expects to enter into Synthetic Assets in respect of Reference Obligations with an aggregate initial notional amount of U..with additional counterparties that meet the eligibility requirements applicable to CDS Asset Counterparties (collectively.. During the Interest-Only Period. to the extent of the Synthetic Asset Capacity Amount.. In no event shall a Credit Linked Security be structured as a credit default swap. The Issuer will make all payments to the CDS Asset Counterparties in accordance with the Priority of Payments on the related Monthly Payment Date or Quarterly Payment Date...000. from time to time during the Interest-Only Period.. the Issuer will sell credit protection and will assume credit and interest rate risk with respect to the related Reference Obligation(s).. the Coverage Tests and the Collateral Quality Tests. Additional Fixed Amounts from each CDS Asset Counterparty determined in accordance with the terms of the related CDS Asset..S. The Issuer will receive Fixed Amounts and.. The Issuer will not be permitted to enter into Short CDS Assets after the Interest-Only Period.000 on the Closing Date and from time to time in an aggregate notional amount of up to U.$400. if any. The entry into or purchase of a Short CDS Asset will not be subject to satisfaction of the Eligibility Criteria. make draws on the Class A-1R Notes and the Advance Swap Undrawn Notional Amount and deposit all such amounts into the Collection Account for application as Principal Collections on the related Monthly Payment Date. The Issuer will pay the Floating Amounts and payments in respect of credit related events or termination events to each CDS Asset Counterparty in accordance with the terms of the related CDS Asset. The Issuer may.S. the CDS Asset Counterparty will deliver the Reference Obligation to the Issuer in exchange for a payment in cash equal to the portion of the notional amount that is physically settled...... The entry into or purchase of a Short CDS Asset will be subject to the satisfaction of the Short CDS Criteria as of the date on which the Issuer enters into a binding commitment to enter into or purchase such Short CDS Asset.. See "Security 14 . Short CDS Assets .

and the reinvestment of the Sale Proceeds of Credit Risk Assets and Credit Improved Assets in Substitute Collateral Debt Assets may occur at any time....... or entered into agreements to purchase for settlement following the Closing Date...000).... the Collateral Quality Tests (except the S&P CDO Monitor Test) and the Portfolio Percentage Limitations as of the Effective Date. with respect to CDS Assets.... It is anticipated that... Covered Short CDS Assets..$143. Collateral Debt Assets having an aggregate Principal Balance of not less than U. no later than the Effective Date. Rating Confirmation Failure.... the first Due Period thereafter........ will be at least equal to the Aggregate Effective Date Par Amount.. as of the Interim Compliance Date... on the Closing Date..S..... Mandatory Redemption". will be at least equal to the Interim Compliance Date Par Amount... the Issuer may enter into Short CDS Assets for which there are securities or other instruments which provide to the holders of such securities or other instruments credit exposure that is the opposite of the credit exposure of the applicable Short CDS Assets..... to the extent the Issuer is permitted to buy Short CDS Assets....... an Aggregate CDS Asset Notional Amount of not less than U.000 (including.... "Description of the Notes—Rated Notes—Mandatory Redemption" and "—Priority of Payments"............S..for the Rated Notes—Short CDS Assets"........ the Issuer will have purchased. The Issuer is required to satisfy the Coverage Tests......000..... Effective Date Portfolio:..... the aggregate Principal Balance of the Collateral Debt Assets (including... Equity Securities. with respect to CDS Assets.$700.... payment tranches and other main economic terms... During the Interest-Only Period.. together with any Collateral Principal Collections received on or prior to such date and the aggregate amount of unpaid interest accrued thereon prior to the respective dates of purchase thereof. subject to compliance with the Reinvestment Criteria and the other requirements specified by the Indenture as described herein.. Effective Date Tests: .. The Issuer is required to use commercially reasonable efforts to apply Uninvested Proceeds to the purchase of additional Collateral Debt Assets prior to the Effective Date. The Issuer's investment and obligations with respect to Short CDS Assets will not be taken into account except in connection with the Interest Coverage Tests.. but which are identical to such Short CDS Assets in terms of credit ratings. with respect to CDS Assets. 15 .. as and to the extent provided herein.. which shall be the period beginning on the Closing Date and continuing through the Quarterly Payment Date occurring in October 2011 and.. the Issuer may reinvest Collateral Principal Collections (including Sale Proceeds) in Substitute Collateral Debt Assets..... the aggregate Principal Balance of the Collateral Debt Assets (including.000. Sales of Defaulted Assets.. the Minimum Weighted Average Spread Test and any test described herein in which interest received is a necessary component of such test.. During the Interest-Only Period.. It is anticipated that. See "Risk Factors—Effective Date Tests.... It is anticipated that. Interim Compliance Date Portfolio: ....... together with any Collateral Principal Collections received on or prior to such date and the aggregate amount of unpaid interest accrued thereon prior to the respective dates of purchase thereof. the Aggregate CDS Asset Notional Amount)...... Credit Risk Assets and Credit Improved Assets may occur at any time. Changes in Composition of Collateral Debt Assets: ..... the Aggregate CDS Asset Notional Amount).. subject to compliance with the Closing Date Portfolio:...

up to the Synthetic Asset Capacity Amount. at its discretion. may withdraw amounts on deposit in the Synthetic Asset Collateral Account and then draw amounts on the Class A-1R Notes up to the Aggregate Class A-1R Undrawn Amount. The changes in the allocation of types of assets comprising the Collateral may be material. In order to replace Synthetic Assets with cash-purchased Collateral Debt Assets. the Issuer. 16 . See "Security for the Rated Notes—Substitute Collateral Debt Assets and Reinvestment Criteria". to fund such purchases. Pending reinvestment in Substitute Collateral Debt Assets. the Issuer may use Principal Collections (whether from Sale Proceeds or receipt of principal payments on cash-purchased Collateral Debt Assets) to pay any outstanding amounts on the Class A-1R Notes until the outstanding balance is reduced to zero and then to deposit amounts into the Synthetic Asset Collateral Account in order to increase the Synthetic Asset Capacity Amount. the Issuer may invest in Eligible Investments. In order to replace cash-purchased Collateral Debt Assets with Synthetic Assets. So long as the Class A-1R Maturity Date has not occurred. at the direction of the Collateral Manager. may replace Synthetic Assets with cashpurchased Collateral Debt Assets or vice versa. the Collateral Manager.Reinvestment Criteria and the other requirements specified by the Indenture as described herein. The Issuer expects the allocation of Collateral Debt Assets between cashpurchased Collateral Debt Assets and Synthetic Assets to change over time.

members. and all accrued and unpaid interest on. the Initial Purchaser. No payment of principal of any Class of Rated Notes that is Subordinate to the Class A-1R Notes or the Class A1T1 Notes will be made until the Aggregate Class A-1R Commitment (and the outstanding balance of the Class A1T1 Notes) are permanently reduced to zero and all principal of. the Class C Notes and the Income Notes. in addition to the matters set forth elsewhere in this Prospectus. Prospective investors should carefully consider. The Classes of the Rated Notes (other than the Class A-1R Notes and the Class A-1T1 Notes) will be subordinated to the Class A-1R Notes and the Class A-1T1 Notes. are subject to the Priority of Payments and the relative order of seniority of payment of each Class of Rated Notes. either Rating Agency. the following factors. any of their respective Affiliates and any other person or entity will be obligated to make any scheduled payments on the Rated Notes or distributions on the Income Notes. in the case of an Event of Default. the Co-Issuer or any other person or entity will be available for the payment of the deficiency. There are no scheduled payments on the Income Notes and the Holders of Income Notes are not entitled to a stated return on their investment. and the Income Notes are unsecured limitedrecourse obligations of the Issuer. payable solely from the Collateral Debt Assets and other Collateral pledged by the Issuer to secure the Rated Notes. payment of certain fees and expenses and distributions on Income Notes provided for in the Priority of Payments. any Hedge Counterparties. So long as any more Senior Class of Rated Notes remains Outstanding. payable solely from proceeds of the Collateral released from the lien of the Indenture in accordance with the Priority of Payments. Principal of the Class C Notes may be paid from Collateral Interest Collections prior to the payment of principal of more Senior Classes of Secured Notes if either of the Class C Coverage Tests is not satisfied as of the relevant Calculation Date. the Noteholders must rely solely on amounts received in respect of the Collateral Debt Assets and other Collateral pledged to secure the Rated Notes for the payment of principal thereof and interest thereon.RISK FACTORS An investment in the Notes involves significant risks that each prospective purchaser should carefully consider prior to making an investment decision with respect to the Notes. and distributions on the Income Notes. and interest on the Outstanding Rated Notes of each Class that is Senior to such Class to be paid has been paid in full. Payments of principal of and interest on the Rated Notes. 2. principal of the Rated Notes will be paid as described herein under "Description of the Notes—Priority of Payments". Following the Interest-Only Period. The Rated Notes are the joint and several limited-recourse obligations of the Co-Issuers. the Class B Notes. Consequently. the Co-Issuer. the Class A-2 Notes. Amounts available to the Trustee for the making of scheduled payments on the Rated Notes and the amounts available for distributions on the Income Notes are payable solely from the Collateral Debt Assets and other Collateral pledged by the Issuer to secure the Rated Notes and other assets of the Issuer in accordance with the Priority of Payments. the Trustee. the Share Trustee. If distributions on the Collateral are insufficient to make payments on the Rated Notes or distributions on the Income Notes. the Class A-4 Notes. directors. officers. the Administrator. In addition. the Placement Agent. the Class A-3 Notes. managers or incorporators of the Issuer. Until the Class A-1R Maturity Date or the date on which the Aggregate Outstanding Amount of the Class A-1T1 Notes is reduced to zero. Subordination of the Class A-1T2 Notes. See "Description of the Notes—Rated Notes—Status and Security" and "—Priority of Payments". No payment of interest on any Class of Rated Notes will be made until all accrued and unpaid fees on the Class A-1R Notes. 1. all in accordance with the Priority of Payments. the Collateral Manager. None of the securityholders. any remaining claims against the Issuer and the Co-Issuer will be extinguished and will not revive thereafter and no funds will be available to the Income Note Issuing and Paying Agent for distributions on the Income Notes pursuant to the Income Note Issuing and Paying Agency Agreement. Any amounts applied to make distributions on the Income Notes will not be available to support payments of principal and interest subsequently payable in respect of the Rated Notes. failure to make payment in respect of interest on the Class B Notes or the Class C Notes on any Quarterly Payment Date by reason of the Priority of Payments will not constitute an Event of Default under the Indenture. the Rated Notes of each other Class that is Senior to such Class and that remain outstanding have been paid or redeemed in full. regardless of whether any amounts are drawn on the 17 . the Controlling Class will generally be entitled to determine the remedies to be exercised under the Indenture. no other assets of the Issuer. the Class A-1R Noteholders and the Class A-1T1 Noteholders will jointly be the Controlling Class. After the disposition of all proceeds of the Collateral. Limited Assets to Make Payments on the Rated Notes and the Income Notes.

(ii) second.S. and (vii) eighth. This requirement may make the purchase of the Income Notes less desirable for certain investors.S. it is not likely that the proceeds of such sale or other disposition will be equal to the unpaid principal and interest on such Collateral Debt Asset. state securities or "Blue Sky" laws or the securities laws of any other jurisdiction and are being issued and sold in reliance on exemptions from registration provided by such laws and may only be transferred in a transaction that does not make the Co-Issuers or the pool of Collateral subject to the registration requirements of the Investment Company Act. and returns on the Income Notes will be adversely affected. by the Holders of the Class B Notes. Such restrictions on transfer may further limit the liquidity of the Notes. the Notes sold to persons who are not U. In addition. deferral or reduction in payments on the Notes occurs. the Issuer will have sufficient funds to make distributions in respect of the Income Notes. (iii) third. Remedies pursued by the Controlling Class could be adverse to the interests of the Holders of each subordinate Class of Rated Notes and to the interests of the Holders of the Income Notes. Purchasers of the Notes may find it difficult or uneconomic to liquidate their investment at any particular time. and no assurance can be given that any secondary market for the Notes will develop or that any such market would be maintained.S. by the Holders of the Income Notes. (vi) sixth. by the Holders of the Class A-3 Notes. applicable state securities laws.S.Class A-1R Notes or the Class A-1T1 Notes. See "Listing and General Information". (vii) seventh. by the Holders of the Class A-2 Notes. ERISA. such elimination will be borne (i) first. by the Holders of the Class C Notes. a purchaser must be prepared to hold the Notes for an indefinite period of time or until the maturity or early redemption thereof. by the Holders of the Class A-4 Notes. (v) fifth. no Note may be sold or transferred unless such sale or transfer is in compliance with the transfer restrictions described under "Purchase and Transfer Restrictions". Thus. See "Description of the Notes—Application of Funds upon an Event of Default". The Issuer will have only nominal equity capitalization in the form of its Ordinary Shares and the Co-Issuer will have only nominal equity capitalization in the form of U. Section 4975 of the Code and the Investment Company Act. transfers are subject to the restrictions resulting from ERISA as described under "Certain ERISA and Other Considerations". 18 . There is no market for the Notes being offered hereby and. These risks are likely to be greater for the Income Notes. by the Holders of the Class A-1R Notes and the Class A-1T1 Notes pari passu. Persons in offshore transactions in reliance on Regulation S under the Securities Act may not be sold or otherwise transferred to persons who are U. The Notes will be owned by a relatively small number of investors. To the extent that a default occurs with respect to any Collateral Debt Asset and the Trustee sells or otherwise disposes of such Collateral Debt Asset. The Notes have not been and will not be registered under the Securities Act or under any U. Limited Liquidity and Restrictions on Transfer of the Notes. Excess Funds available for distribution to the Income Notes will be reduced by losses occurring on the Collateral Debt Assets. Class A-3 Notes and Class A-4 Notes as described herein). (iv) fourth. 3. partly due to the higher level of leverage in connection with such Income Notes (as discussed below in "—Leveraged Investment"). after payment of principal and interest on the Rated Notes. Once an Event of Default has occurred (other than in relation to the Class A-1R Notes. the greatest risk of loss relating to defaults on the Collateral Debt Assets is borne by the Income Notes and then by each Class of the Rated Notes in reverse order of seniority. Class A-2 Notes. but there can be no assurance that such application will be approved. Persons (except in accordance with Rule 144A or another exemption from the registration requirements of the Securities Act) which may limit the number of potential transferees. by the Holders of the Class A-1T2 Notes. Therefore. Application will be made to list the Notes on the Irish Stock Exchange. as a result. Further. There can be no assurance that. Therefore. the Holders of a Class of Rated Notes that is Subordinate are not entitled to be paid any interest or principal until the Holders of each Class of Rated Notes that is Senior to such Class of Rated Notes have been paid in full in cash and the Holders of the Income Notes are not entitled to be paid any distributions until the Holders of each Class of Rated Notes have been paid in full in cash. See "Purchase and Transfer Restrictions". Class A-1T Notes. to the extent that any elimination.$100 of its common stock. Prospective transferees of the Income Notes will be required pursuant to the terms of the Income Note Issuing and Paying Agency Agreement to deliver written certifications to the Income Note Issuing and Paying Agent and the Issuer relating to compliance with the Securities Act. and it may be difficult for Holders of the Notes to determine the value of the Notes at any particular time.

The prior investment results of the persons associated with the Collateral Manager or any other entity or person described herein are not indicative of the Issuer's future investment results. and it can be expected that some or all of the assumptions underlying the projections will not materialize or will vary significantly from actual results. Actual results may vary from the projections. Eligible Investments. the occurrence of defaults with respect to only a small portion of the Collateral Debt Assets could result in the complete loss of the investment of the Holders of such Notes. market. Prospective purchasers should be aware that payments received by the Issuer pursuant to the Hedge Agreements. the use of leverage also creates risk for the Holders of such Notes because it increases their exposure to losses on a leveraged basis as a result of defaults with respect to the Collateral Debt Assets. any sales of Collateral Debt Assets and the effects of the Coverage Tests. Estimates of the average lives of the Rated Notes. The average lives of the Rated Notes will be affected by. Some important factors that could cause actual results to differ materially from those in any forward looking statements include changes in interest rates. Distributions on the Income Notes. This leverage will increase the potential cash flow available in respect of the amount invested by the Holders of such Notes as compared with the cash flow that would be available in respect of a comparable investment in a non-leveraged transaction. the frequency of tender or exchange offers for the Collateral Debt Assets. including the existence and frequency of exercise of any prepayment. There can be no assurance that the Issuer's investments will perform as well as the past investments of any such persons or entities.4. The weighted average life of the Rated Notes may also vary depending on whether or not the Rated Notes are redeemed in an Optional Redemption. mismatches between the timing of accrual and receipt of Collateral Interest Collections from the Collateral Debt Assets and the effectiveness 19 . The rate of future defaults and the amount and timing of any cash realization from Defaulted Assets and Credit Risk Assets also will affect the maturity and weighted average lives of the Rated Notes. are forward looking statements. among other things. other amounts in the Collection Account and the Note Interest Reserve Account and proceeds thereof may not be sufficient to fund the amounts payable to the Hedge Counterparties and to the Cashflow Swap Counterparties. See "—Nature of the Collateral Debt Assets and Inherent Risks". together with any projections. to a lesser extent. Relation to Prior Investment Results. The average lives of the Rated Notes are expected to be shorter than the number of years until their applicable Stated Maturity Dates. The nature of. Prior Experience of Collateral Manager. Income Noteholders will be entitled to receive distributions from Collateral Interest Collections released from the lien of the Indenture only to the extent permissible under the Indenture. Prior to the payment in full of the Rated Notes and all other amounts owing under the Indenture. and risks associated with. the Issuer's future investments may differ substantially from those investments and strategies undertaken historically by such persons and entities. the Rated Notes represent leveraged investments in the Collateral. The timing and amount of distributions payable to Income Noteholders and the duration of the Income Noteholders' investment in the Issuer therefore will be affected by the average life of the Rated Notes. as well as to make payments with respect to the Notes. and the variations may be material. 7. However. Leveraged Investment. The Income Notes and. the projections are only estimates. 5. Such increased cash flow will directly affect the yield on such Notes. Projections are necessarily speculative in nature. As a result. Tax Redemption or Auction Call Redemption. the financial condition of the obligors on or issuers of the Collateral Debt Assets and the characteristics of the Collateral Debt Assets. the redemption price. forecasts and estimates provided to prospective purchasers of the Notes. Due to the existence of leverage. 6. Accordingly. optional redemption or sinking fund features. Projections. the actual default rate and the actual level of recoveries on any Defaulted Assets. financial or legal uncertainties. Purchasers of the Income Notes and the Rated Notes must consider with particular care the risks of leverage as it increases substantially the likelihood that the Holders of such Notes could lose their entire investment if the pool of Collateral Debt Assets held by the Issuer is adversely affected. changes in the market value of the Income Notes and the Rated Notes could be greater than the changes in the values of the underlying Collateral Debt Assets. Average Lives and Yield Considerations. Forecasts and Estimates.

None of the Co-Issuers. the Initial Purchaser. the Issuer (i) may not have sufficient liquidity to make required payments on Synthetic Assets which may result in a termination of the related Synthetic Assets and give rise to obligations in respect of termination payments thereon which would be senior to payments on the Rated Notes or (ii) may be unable to acquire additional Collateral Debt Assets. 8. changes in prevailing interest rates. to advance funds to the Issuer prior to the Class A-1R Commitment Termination Date so long as the funded amount of the Class A-1R Notes after giving effect to such Class A-1R Advance does not exceed the Aggregate Class A-1R Commitment. An Optional Redemption. modify or eliminate provisions of the Indenture or modify the rights of the Holders of the Notes. including any revisions to reflect changes in economic conditions or other circumstances arising after the date hereof or to reflect the occurrence of unanticipated events. A decrease in the market value of the Collateral Debt Assets would adversely affect the Sale Proceeds which could be obtained upon the sale of Collateral Debt Assets and be available for distributions on the Income Notes following any sale or other disposition of the Collateral. Approval for entering into certain supplemental indentures does not require the consent of all. there can be no assurance that. U. even if the underlying assumptions do not come to fruition. from time to time. See "The Indenture and the Income Note Issuing and Paying Agency Agreement—Modification of the Indenture". Modification of the Indenture. among other things.S. There can be no assurance. the Placement Agent. and international political events. Holders of the Class A-1R Notes will be obligated. change. no further Class A-1R Advance may be made except with respect to amounts to be applied to payments in respect of the existing Synthetic Assets. Accordingly. 9. among others. See "Description of the Notes—Rated Notes—Early Redemption". 11. the condition of certain financial markets. the Trustee and the Co-Issuers may. deferral or reduction in the amounts available to make (i) interest payments on the Class B Notes or the Class C Notes and (ii) distributions to the Holders of the Income Notes. the Sale Proceeds realized would permit distributions on the Income Notes after required payments are made to the Holders of the Rated Notes (except that. Tax Redemption or Auction Call Redemption is a potential source of liquidity for the Income Notes. upon any such redemption. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero. in the case of an Auction Call Redemption. a distribution is also required to be made to the Holders of the Income Notes if and to the extent that the aggregate principal amount of the Income Notes exceeds the aggregate amount of all cash distributions on the Income Notes on or prior to the relevant Auction Date). or in some cases any. The market value of the Collateral Debt Assets will generally fluctuate with. based on the Advance Swap Allocation Basis. subject to compliance by the Issuer with certain conditions. the Collateral Manager and any of their respective Affiliates has any obligation to update or otherwise revise any projections. supplemental indentures that result in material and adverse changes to the interests of Noteholders may be approved without the consent of Noteholders adversely affected. Redemption of Rated Notes. a Tax Redemption or an Auction Call Redemption at any time would result in a liquidation and sale of the Collateral Debt Assets into the then-existing markets. any such payment permanently reducing the Advance Swap Notional Amount. If an Event of Default occurs and is continuing. and then (b) second. 10. If a Holder of a Class A-1R Note fails to advance funds to the Issuer as required under the Class A-1R Note Purchase Agreement. Pursuant to the terms of the Indenture. in accordance with the Priority of Payments. Failure of a Coverage Test will result in. Ongoing Commitments of Holders of Class A-1R Notes. (a) first. the repayment of any Used Advance Swap Amount. The failure to meet any Coverage Test applicable to a Class of Rated Notes could result in an elimination.of the Hedge Agreements and differences in the actual prepayment rates with respect to the Collateral Debt Assets from those assumed. general economic conditions. and then (ii) a reduction pro rata of (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently 20 . of the Holders of the Outstanding Notes. developments or trends in any particular industry and the financial condition of the issuers of the Collateral Debt Assets. An Optional Redemption. Therefore. Principal Prepayment of Rated Notes. (i) a deposit to the Synthetic Reserve Account. however. execute one or more supplemental indentures that add to. that the Issuer's rights to an Optional Redemption or a Tax Redemption will be exercised or that the conditions for any Redemption will be met. Potential Illiquidity and Volatility of Collateral Market Value.

transfers to the Synthetic Asset Collateral Account until the amount credited thereto equals the Aggregate CDS Asset Notional Amount. the Collateral Quality Tests (except the S&P CDO Monitor Test) and the Portfolio Percentage Limitations. and then (c) third. An increased perception of defaults among investors may reduce the demand for securities such as the Collateral Debt Assets. On the Effective Date. (b) to the extent that the Aggregate Class A-1R Commitment has not been permanently reduced to zero. the Issuer is required to satisfy the Coverage Tests. to the extent that Collateral Principal Collections are insufficient therefor. Collateral Quality Tests (except the S&P CDO Monitor Test) or Portfolio Percentage Limitations as of the Effective Date does not constitute an Event of Default but such failure may result in a Rating Agency Confirmation Failure. credit. which could have a material adverse effect on the liquidation value of the Collateral Debt Assets. The value of the Collateral Debt Assets may fluctuate from time to time 21 . liquidity. to apply Collateral Principal Collections and. The Issuer will request that each Rating Agency notify the Issuer within sixty (60) days after receipt of notice from the Issuer of the occurrence of the Effective Date and confirm whether it has reduced or withdrawn the rating (including private or confidential ratings. until the Class C Notes are paid in full. 13. repayment of the principal of the other Classes of the Rated Notes in order of seniority. repayment of the principal of the other Classes of the Rated Notes in order of seniority. in which case Collateral Interest Collections that are part of the funds that would otherwise have been potentially distributed to the Holders of the Income Notes (following the payment of certain fees and expenses of the Co-Issuers that are senior to the Income Notes) will be applied to the extent of such Collateral Interest Collections and subject to the Priority of Payments on such Quarterly Payment Date to pay principal of the Class C Notes to the extent necessary to cause such Class C Coverage Test to be satisfied as of the relevant Calculation Date or. Rating Confirmation Failure.reduced to zero. as the case may be. See "Ratings of the Notes". however. the Issuer will be required. currency and interest rate risks. and (c) repayment of an outstanding balance of the Class A-1T1 Notes. The actual default rates of the Collateral Debt Assets may exceed any hypothetical default rates assumed by investors in determining whether to purchase the Notes. if applicable) assigned by it on the Closing Date by the end of such sixty (60) day period (a "Rating Confirmation Failure"). pro rata. in each case in accordance with the Priority of Payments. on the first Quarterly Payment Date on or after such Rating Confirmation Failure and on any subsequent Quarterly Payment Date on which a Rating Confirmation Failure is continuing. See "Description of the Notes—The Coverage Tests" and "Description of the Notes—Rated Notes—Mandatory Redemption". except in the case of a failure to meet either of the Class C Coverage Tests. If any deficiencies exceed such assumed levels. the Co-Issuer or the Trustee has made any investigation into the issuers of the Collateral Debt Assets. payments on the Rated Notes and distributions on the Income Notes could be adversely affected. if less. (a) repayment of any outstanding balance of the Class A-1R Notes. 12. Collateral Interest Collections. If any Rating Agency has not confirmed the rating (including private or confidential ratings. The Issuer is not aware of a central source for relevant data or standardized method for measuring or predicting default rates of securities such as those included in the Collateral Debt Assets and none of the Issuer. it is likely that the proceeds of such sale or other disposition will be less than the unpaid principal thereof and interest thereon. industries or geographical regions. The level of Collateral securing the Notes has been established to withstand certain assumed deficiencies in payment occasioned by defaults of the Collateral Debt Assets. Nature of the Collateral Debt Assets and Inherent Risks. See "Description of the Notes—Rated Notes—Mandatory Redemption" and "—Priority of Payments". Mandatory Redemption. the rate thereof and the level of recoveries upon such defaults. provided. and prospective investors in the Notes should make their own assessment of the likelihood of defaults. any such payment permanently reducing the Aggregate Class A-1R Commitment. Certain of the Collateral Debt Assets are expected to be collateralized by sub-prime mortgage loans which may have been originated using less restrictive underwriting standards than mortgage loans which are not sub-prime. The failure to satisfy any of the Coverage Tests. first. The Collateral Debt Assets pledged to secure the Notes are expected to be subject to various types of risks including. second. To the extent that a default or impairment occurs with respect to any Collateral Debt Asset securing the Notes and the Trustee sells or otherwise disposes of such Collateral Debt Asset. and. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes. the rating assigned to such Rated Notes as of the Closing Date. The credit risk associated with the Collateral Debt Assets will be heightened to the extent the Collateral Debt Assets are concentrated in particular issuers. to the extent necessary to obtain a confirmation from each Rating Agency (a "Rating Agency Confirmation") that such Rating Agency will not reduce or will reinstate. any such payment permanently reducing the Aggregate Class A-1R Commitment. Effective Date Tests. if any) assigned by it on the Closing Date to any Class of Rated Notes. but not limited to.

as a result of cash flow being diverted to payments of principal on more senior classes. CMBS Assets. The performance of Structured Finance Securities is also dependent on the allocation of principal and interest payments as well as losses among the classes of such securities of any issue. any other type of Collateral Debt Asset may be designated as a "Structured Finance Security" in a notice from the Collateral Manager to the Trustee. Although the Issuer intends to invest primarily in RMBS Assets and CDO Assets. If any type of Collateral Debt Asset is designated as an additional type of Structured Finance Security. whether underlying collateral assets are revolving or closed-end. RMBS Prime Assets. Certain of the transactions may have structural features that divert payments of interest and/or principal to more senior classes when the delinquency or loss experience of the pool exceeds certain levels. as well as concentrations of Structured Finance Securities issued or guaranteed by affiliated obligors. After the Closing Date. which would reduce or eliminate payments of interest on one or more classes of such securities for one or more payment dates. Prior to the Class A-1R Commitment Termination Date. The Structured Finance Securities are initially expected to include the following different types: ABS Securities. The Issuer expects the initial allocation of Collateral Debt Assets between cash-purchased Collateral Debt Assets and Synthetic Assets to change over time. For instance. Structured Finance Securities. the Initial Purchaser or the Placement Agent has any liability to the Holders of the Notes as to the amount or value of. interest rate risks. CDO Investment Grade Assets (including Synthetic Assets the Reference Obligations of which are CDO Investment Grade Assets). structural risks and legal risks. the average life of the more junior securities may lengthen. Such securities generally include one or more credit enhancements. liquidity risks. market risks. the Collateral Debt Assets from time to time. whether proceeds from the underlying assets may be reinvested and the applicable redemption features. In addition. the Co-Issuer. Structured Finance Securities are subject to the significant credit risks inherent in the underlying collateral and to the risk that the servicer fails to perform. may replace Synthetic Assets with cash-purchased Collateral Debt Assets or vice versa. RMBS Subprime Assets and CDO Trust Preferred Assets. that by their terms convert into cash within a finite time period. CDO Asset Backed Securities. The changes in the allocation of types of assets comprising the Collateral Debt Assets may be material. Additionally. so long as there has been no Class A-1R Note Termination Event. the Collateral Manager. concentrations of Structured Finance Securities of a particular type. the Co-Issuer or the Trustee is under any obligation to maintain the value of the Collateral Debt Assets at any particular level. "Structured Finance Securities" are securities that entitle the holders thereof to receive payments that depend primarily on the cash flow from or sale proceeds of a specified pool of assets. The ability of the Issuer to sell Collateral Debt Assets prior to maturity is subject to certain restrictions under the Indenture including those described herein under "Security for the Rated Notes—Substitute Collateral Debt Assets and Reinvestment Criteria". None of the Issuer. the Trustee. A significant portion of the Collateral will consist of Structured Finance Securities that are subordinate in right of payment and rank junior to other securities that are secured by or represent an ownership interest in the same pool of assets. These changes in the allocation of Collateral Debt Assets could have a material adverse impact on the performance of the Collateral and the amount of funds available for payments on the Notes in accordance with the Priority of Payments. which are designed to raise the overall credit quality of the security above that of the underlying collateral. RMBS Midprime Assets. serviced by the same servicer or backed by underlying collateral located in a specific geographic region. As a result. CDO Emerging Market Assets. the Collateral Manager. operations risks. CDO High Yield Assets. CDO Squared Securities. at its discretion. the Issuer may find that. as a practical matter. CDO CRE Assets. Holders of Structured Finance Securities bear various risks: credit risks. either fixed or revolving. together with rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities. these investment opportunities are not available to it for a variety of reasons.and none of the Issuer. the Issuer may at times find it difficult to purchase suitable investments. CLO Assets. Subordinate Structured Finance Securities generally do not have the right to call a default or vote on remedies following a default unless 22 . at any time there may be a limited universe of investments that would satisfy the Reinvestment Criteria given the Collateral Debt Assets then held by the Issuer. or any decrease in the value of. may subject the Notes to additional risk. the definition of each type of Collateral Debt Asset in existence prior to such designation will be construed to exclude such newly-designated type of Collateral Debt Asset.

than would be the case for a pool of mortgage loans having more diverse property locations. a portfolio of RMBS Assets may be backed by residential mortgage loans with disproportionately large aggregate principal amounts secured by properties in only a few states or regions. The loans underlying RMBS Assets generally do not restrict prepayments. the borrower's equity in the mortgaged property and the financial circumstances of the borrower. In addition to the risks described above. generally. such as shopping malls. the market for defaulted residential mortgage loans or foreclosed properties may be very limited. because subordinate Structured Finance Securities may represent a relatively small percentage of the size of an asset pool being securitized. The structural and legal risks of Structured Finance Securities include the possibility that. other retail space. adverse events affecting industries located in such areas and natural hazards affecting such areas. As a result.more senior securities have been paid in full. Prepayments on the underlying residential mortgage loans in an issue of RMBS Assets will be affected by a variety of economic. or may require certain disclosures. "CMBS Assets" are. prohibit discriminatory lending practices. securities backed by obligations (including certificates of participation in obligations) that are principally secured by mortgages on real property or interests therein ("Commercial Mortgage Loans") having a multifamily or commercial use. hospitality properties and certain other property types. the Commercial Mortgage Loans underlying CMBS Assets are subject to particular risks. Additional risks may be presented by the type and use of a particular commercial property. the impact of a relatively small loss on the overall asset pool may be substantial to the holders of such subordinate security. At any one time. such as adverse economic conditions. "RMBS Assets" are. including general economic conditions and those in the area where the related mortgaged property is located. A portion of the Structured Finance Securities included as Collateral Debt Assets may also consist of CMBS Assets. foreclosure of such residential mortgage loan may be a lengthy and difficult process. regulate the use of consumer credit information and debt collection practices and may limit the servicer's ability to collect all or part of the principal of or interest on a residential mortgage loan. industrial or warehouse properties. The origination and servicing of the mortgage loans may be subject to various federal and state laws and regulations with respect to interest rates and other charges. Furthermore. nursing homes. but which may also include RMBS Prime Assets. office buildings. a shortfall in payments to subordinate investors in Structured Finance Securities will generally not result in a default being declared on the transaction and the transaction will not be restructured or unwound. or other factors limit refinancing alternatives. RMBS Assets are subject to particular risks. If the underlying mortgage borrower experiences business problems. in a bankruptcy or similar proceeding involving the originator or the servicer (often the same entity or affiliates). As a result. entitle the borrower to a refund of amounts previously paid by it or subject the servicer to damages and sanctions. ownership or participation interests in pools of oneto-four-family residential mortgage loans. the residential mortgage loans may be more susceptible to geographic risks relating to such areas. As a result. such balloon payment mortgages are likely to experience payment delays or even default. shorter maturities than residential mortgage loans and payment of all or substantially all of the principal only at maturity rather than regular amortization of principal. require licensing of originators. A substantial portion of the Structured Finance Securities included as Collateral Debt Assets is expected to consist of RMBS Assets. Furthermore. the assets of the issuer of the Structured Finance Security could be treated as never having been truly sold by the originator to the issuer of the Structured Finance Security and could be substantively consolidated with those of the originator. primarily RMBS Midprime Assets and RMBS Subprime Assets. The rate of defaults and losses on residential mortgage loans will be affected by a number of factors. If a residential mortgage loan is in default. Residential mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. Commercial mortgage lenders typically look to the debt service coverage ratio of a loan secured by income-producing property as an important 23 . Special risks are presented by hospitals. As a result. nursing homes and senior living centers. in general. hotels. which may result in a reduction in yield to maturity for holders of RMBS Assets. and may involve significant expenses. geographic and other factors. prepayments are likely to increase in lower interest rate environments. In addition to the risks described above. Challenges based on such doctrines could result also in cash flow delays and reductions. including lack of standardized terms. Commercial Mortgage Loans underlying CMBS Assets may provide for no amortization of principal or may provide for amortization based on a schedule substantially longer than the maturity of the mortgage loan. the related CMBS Assets could experience delays in cash flow and losses. resulting in a "balloon" payment due at maturity. including the difference between the interest rates on the underlying residential mortgage loans (giving consideration to the cost of refinancing) and prevailing mortgage rates and the availability of refinancing. or the transfer of such assets to the issuer of the Structured Finance Security could be voided as a fraudulent transfer.

A commercial property may not readily be converted to an alternative use in the event that the operation of such commercial property for its original purpose becomes unprofitable. The Collateral Debt Assets could include CMBS Assets that pay fixed rates of interest. changes in governmental rules. primarily CDO Asset Backed Securities. relative to the amount outstanding on the related Commercial Mortgage Loan. such non-paid interest will generally be capitalized and added to the outstanding principal balance of the related security. developments or trends in any particular industry and changes in prevailing interest rates. The Structured Finance Securities included as Collateral Debt Assets will also consist of CDO Assets. CDO Emerging Market Assets. particularly those which do not have conflicts of interest.measure of the risk of default on such a loan. no other assets will be available for payment of the deficiency and following realization of the underlying assets. in general. CDO Assets generally are limited recourse obligations of the issuer thereof (a "CDO Issuer") payable solely from the underlying assets of the issuer ("CDO Collateral") or proceeds thereof. The value of the CDO Assets generally will fluctuate with. Although generally the value of fixed-income securities increases during periods of falling interest rates. increases in interest rates. If an investor in the Rated Notes or Income Notes is also an investor in any CDO Assets which the Issuer purchases (or in other tranches of securities sold by the same CDO Issuer). The exercise of remedies and successful realization of liquidation proceeds relating to Commercial Mortgage Loans underlying CMBS Assets may be highly dependent on the performance of the servicer or special servicer. the condition of certain financial markets. In such cases. CDO CRE Assets. including changes in general or local economic conditions and/or specific industry segments. declines in rental or occupancy rates. the financial condition of the obligors on or issuers of the CDO Collateral. As a result. Each CDO Asset. the net operating income from and value of any commercial property is subject to various risks. like all fixed-income securities. the amount and timing of interest and principal payments will depend on the performance and characteristics of the related CDO Collateral. or issued by the same issuer. Consequently. There may be a limited number of special servicers available. investors in the Offered Securities are exposed to the risk of loss on such Collateral Debt Assets both directly and indirectly through the CDO Assets purchased by the Issuer. "CDO Assets" are. among other things. The liquidation value of any such commercial property may be substantially less. however. political events. than would be the case if such commercial property were readily adaptable to other uses. Commercial property values and net operating income are subject to volatility. as the Collateral Debt Assets in which the Issuer will invest on or after the Closing Date. Any such deferral will reduce the amount of current payments made on such CDO Assets. The CDO Collateral will include securities of the same type. the conversion of the commercial property to an alternative use would generally require substantial capital expenditures. the exposure of such investor to the risk of loss on such CDO Asset will increase as a result of its investment in the 24 . trading and reinvestment risk and tax considerations. collateralized debt obligation securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the CDO Assets) on the cash flow from (or level of defaults on) a portfolio consisting primarily of commercial and industrial bank loans. declines in real estate values. Many subordinate classes of CDO Assets provide that a deferral of interest thereon does not constitute an event of default and the holders of such securities will not have available to them any associated default remedies. The repayment of loans secured by income-producing properties is typically dependent upon the successful operation of the related real estate project rather than upon the liquidation value of the underlying real estate. As a result. holders of CDO Assets must rely solely on distributions n the underlying CDO Collateral or proceeds thereof for payment in respect thereof. However. this inverse relationship may not be as marked in the case of CMBS Assets due to the increased likelihood of prepayments during periods of falling interest rates. Furthermore. prepayments on underlying Commercial Mortgage Loans may still result in a reduction of the yield on a related issue of CMBS Assets. real estate tax rates and other operating expenses. regulations and fiscal policies. acts of God. general economic conditions. If distributions on the underlying CDO Collateral are insufficient to make payments on the CDO Assets. CDO Squared Securities and CLO Assets. will involve risks specific to the particular CDO Asset and its CDO Collateral. such as interest rate mismatches. During such periods of no-payment. which may result in net operating income becoming insufficient to cover debt service on the related mortgage loan. This effect is mitigated to some degree for mortgage loans providing for a period during which no prepayments may be made. the obligations of the issuer to pay such deficiency shall be extinguished. CDO Assets generally have underlying risks similar to many of the risks set forth herein in these "Risk Factors". generally decline in value as interest rates rise. terrorist threats and attacks and social unrest and civil disturbances. corporate debt securities and/or ABS Securities. CDO Investment Grade Assets (including Synthetic Assets the Reference Obligations of which are CDO Investment Grade Assets). CDO High Yield Assets. Fixed rate CMBS Assets.

and earned fees from each such CDO Issuer as a result of the Issuer's purchase. the loan. general economic conditions or both may impair the ability of the issuer to make payments of principal or interest. A CDO Issuer may not directly benefit from the collateral supporting the related loan and may be subject to any rights of set-off the borrower has against the selling institution. a CDO Issuer may be treated as a general creditor of such selling institution. real estate management or real estate ownership and that issues an obligation to such trust subsidiary in exchange for the net issuance proceeds of such securities. CDO Issuers may acquire interests in loans and other debt obligations by way of assignment or participation. As a result of such mismatches. that issues obligations to such trust subsidiary in exchange for the net issuance proceeds of such securities or (ii) a wholly-owned trust subsidiary of an entity whose business is significantly related to real estate. Such investments may be speculative.Rated Notes or Income Notes. securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from either an individual trust security or a pool of trust securities issued (in each case) by (i) either an individual trust security or a pool of trust securities issued (in each case) by a whollyowned trust subsidiary of a REIT. under the laws of the United States of America and the states thereof. the holders of the senior tranche thereof generally will be entitled to determine the remedies to be exercised under the indenture. If an event of default occurs under the applicable indenture. Consequently. an increase or decrease in the level of the floating rate indices could adversely impact the ability to make payments on the CDO Assets. nor any rights of set-off against the borrower. and may not have any exclusive or senior claim with resect to the selling institution's interest in. High yield debt securities are generally unsecured (and loans may be unsecured) and may be subordinated to certain other obligations of the issuer thereof. in the event of the insolvency of the selling institution. and not the borrower. a CDO Issuer will usually only have a contractual relationship with the selling institution. which generally will allow for the deferral of interest subject to the related issuer's priority of payments. however. As a result. In some cases payments of interest and principal on such CDO Assets will be subordinated to one or more classes of notes that are more senior in the related issuer's capital structure. some of which will be in the form of credit default swaps documented on Pay-As-You-Go Confirmations. The CDO Collateral of a CDO Issuer may bear interest at a fixed (floating) rate while the CDO Assets issued by such issuer may bear interest at a floating (fixed) rate. or the collateral with respect to. The purchaser of an assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation. nor have the right to object to certain changes to the loan agreement agreed to by the selling institution. or of an operating partnership subsidiary of a REIT. An increase in the default rates of high yield corporate loans could increase the likelihood that payments may not be made to holders of CDO Assets which are secured by high yield corporate loans. The Structured Finance Securities included as Collateral Debt Assets may also consist of Trust Preferred Assets. Synthetic Assets. on different date and based on different indices than the interest rates on the CDO Assets. The Reference Obligations in respect of Synthetic Assets must satisfy the definition of Collateral Debt Asset. "Trust Preferred Assets" are. which could be adverse to the interests of the Issuer as a holder of the subordinated tranches. the Coverage Tests and the Collateral 25 . the CDO Issuer may be subject to the credit risk o the selling institution as well as of the borrower. In purchasing participations. the Portfolio Percentage Limitations. The CDO Collateral may consist of loans to borrowers generally rated below investment grade. CDO Assets purchased by the Issuer may be subordinated to other classes of securities issued by each respective issuer thereof. 14. as long as any senior tranche of CDO Assets is outstanding. AssetBasked Securities and other debt instruments. A significant portion of the Collateral Debt Assets included in the Collateral is expected to consist of Synthetic Assets and may also include Short CDS Assets. A CDO Issuer generally will have no right to directly enforce compliance by the borrower with the terms of the loan agreement. there could be a floating/fixed rate or basis mismatch between such CDO Assets and CDO Collateral which bears interest at a fixed rate and there may be a timing mismatch between the CDO Assets and assets that bear interest at a floating rate as the interest rate of such assets bearing interest at a floating rat may adjust more frequently or less frequently. any Short CDS Assets will not be subject to satisfaction of the Eligibility Criteria. The Initial Purchaser also may have acted as a placement agent for some of the CDO Assets purchased by the Issuer. The lower rating of high yield securities and below investment grade loans reflects a greater possibility that adverse changes in the financial condition of an issuer. in general. CDO Assets are subject to interest rate risk. In addition. its rights can be more restricted than those of the assigning institution.

possibly significantly. any guarantor or any other person. The Issuer will not have a security interest in the Reference Obligation and will not benefit from any collateral supporting any related Reference Obligation. will be treated as a general unsecured creditor of the counterparty and will not have any claim of title with 26 . The counterparty will have no obligation to hold or own the Reference Obligation. The CDS Assets and the Short CDS Assets are contracts pursuant to which the counterparties agree to make payments to the Issuer. Performance of Synthetic Assets May Differ from Performance of Reference Obligations. The Issuer generally will have no right directly to enforce compliance by any Reference Obligor with the terms of either the related Reference Obligation or any rights of set-off against such Reference Obligor. If the credit quality of any such counterparty deteriorates. the Trustee. Investments in such types of assets through the purchase or acquisition of Synthetic Assets or entry into Short CDS Assets present risks in addition to those resulting from holding or selling the underlying Reference Obligations directly. the Noteholders will not have the right to obtain from the Issuer. and not the Reference Obligor on any related Reference Obligation. a probability of default. or. Given that the Issuer will not own the Reference Obligations (except to the extent it receives Deliverable Obligations) and that it also is subject to the credit risk of the counterparty. credit exposure and other credit or non-credit related characteristics. except upon delivery of a Deliverable Obligation in conjunction with the termination of a CDS Asset at the sole election of the CDS Asset Counterparty upon a Credit Event. Exposure to Credit Risk of Counterparties. other than the obligation of the CDS Asset Counterparty to provide publicly available information to the Issuer of the occurrence of an Credit Event. be exposed to liquidity and credit risk related to that counterparty. none of the Issuer. the Trustee or the Noteholders informed as to matters arising in relation to any Reference Obligation. Limited Information Regarding Reference Obligations. in the event of the insolvency or bankruptcy of the counterparty. The requirement of the counterparty to make payments in accordance with the CDS Assets will expose the Issuer to the default risk on the underlying Reference Obligation on an ongoing basis (in addition to the default risk of the CDS Asset Counterparty). therefore. The Synthetic Assets do not constitute a purchase or other acquisition or assignment of any interest in any Reference Obligations. in respect of the stated rate of interest. from time to time in accordance with the terms thereof. the Issuer. from those of the related Reference Obligation. such counterparty may default on its obligation to make such payments. The Issuer will not have the benefit of the remedies that would normally be available to it if it held the Reference Obligation directly. in either case. nor will the Issuer generally have any voting or other consensual rights of ownership with respect to any related Reference Obligation. a Synthetic Asset or a Short CDS Asset may have an expected return. notional amount. Although the Monthly Report will include a list of the Reference Obligations. Synthetic Assets are expected to be structured in such a way that the Issuer will receive periodic premium payments and will be required to make payments. the Trustee or the Collateral Manager information on the Reference Obligations or information regarding any obligation of any Reference Obligor. maturity date. None of the Issuer. expected loss characteristics following a default and an expected recovery following default that are different. The Issuer will usually have a contractual relationship only with the counterparty under each Synthetic Asset. to the CDS Asset Counterparty in respect of any Floating Amounts and Credit Events. including whether or not circumstances exist under which there is a possibility of the occurrence of a Credit Event.Quality Tests. because the terms of the Synthetic Asset or Short CDS Asset may be different from the terms of the corresponding Reference Obligation including. without limitation. the Collateral Manager or the Noteholders will have the right to inspect any records of the CDS Asset Counterparties or the Reference Obligors. or to disclose any further information or evidence regarding the existence or terms of any Reference Obligation or any matters arising in relation thereto or otherwise regarding any Reference Entity. No Direct Ownership of Reference Obligations. the Issuer. the Trustee. The CDS Asset Counterparties will have no obligation to keep the Collateral Manager. The Issuer will look solely to the counterparty for payments on the CDS Asset and will. The investment in a Synthetic Asset or Short CDS Asset may pose risks greater than those of an equivalent investment in the underlying Reference Obligation. Unless the counterparty is required to collateralize its obligations to the Issuer and has actually done so. Except to the extent that the CDS Asset Counterparty delivers a Deliverable Obligation. the Noteholders or any other person will have any rights to acquire from any CDS Asset Counterparty any interest in any Reference Obligation.

as buyer of protection. CDO Assets and other Structured Finance Securities. See "—Potential Conflicts of Interest with Citigroup Global Markets". the credit quality of the Reference Obligations). which will be subordinated in the Priority of Payments to the extent that the counterparty is the affected or defaulting party. in its capacity as protection buyer. in the case of a Writedown or Failure to Pay Principal (each as defined in the related CDS Asset).respect to the Reference Obligation. which could result in a reduction or delay in payments on the Notes or an Event of Default. Citigroup and its Affiliates may enter into Hedge Agreements or Short CDS Assets with the Issuer on or following the Closing Date. in which case the Issuer will be subject to additional credit risk that could result in reductions or delays in payments on the Notes if the credit quality of the counterparty deteriorates to the point at which it defaults on its obligations to the Issuer. the performance of the Issuer is dependent not only on the credit quality of the Collateral Debt Assets (including. The failure by Citigroup or its Affiliates to perform their respective obligations in any of their various capacities could reduce the funds available to the Issuer to perform its obligations. on which the Issuer receives reimbursement from the CDS Asset Counterparty. but also on the credit quality of the counterparties. The standardized terms for these types of transactions are still evolving. to pay Floating Amounts to the CDS Asset Counterparty. exposing the Issuer to a greater concentration of credit risk. in respect of the Synthetic Assets and the Short CDS Assets. the CDS Asset Counterparty. In the case of a Writedown or Failure to Pay Principal. the counterparty either transfers its obligations thereunder to a replacement counterparty with the requisite ratings or obtains a guarantee of its obligations by a guarantor with the requisite ratings or posts credit support in the manner provided thereunder. 27 . If the counterparty or the related guarantor. The CDS Assets and Short CDS Assets are expected to be structured as credit default swaps and documented pursuant to one or more Master Agreements and one or more Pay-As-You-Go Confirmations (or any successor version of such forms as may be approved by the Collateral Manager). A failure by a counterparty to perform its obligations to the Issuer would reduce the funds available to the Issuer to perform its obligations. Under the CDS Assets. Failure to Pay Principal and Interest Shortfalls under the applicable Reference Obligation. in its capacity as protection seller. Accordingly. Any difference between the Issuer's then existing CDS Assets and Short CDS Assets and the evolving market standard documentation may have a negative impact on the liquidity and market value of any such CDS Assets and Short CDS Assets. there may be a significant delay between the date of payment of the Floating Amounts to the CDS Asset Counterparty to the date. the terms that ultimately become the standard for the market may be significantly different than the terms of the CDS Assets which will be established on the Closing Date and any Short CDS Assets that may be acquired following the Closing Date. unless. in the case of a failure to observe any applicable posting requirement. within a specified number of days thereafter. Forms of Pay-As-You-Go Confirmations were recently developed to accommodate the unique features of Asset-Backed Securities. if any. including amounts in respect of any Writedown. Although Floating Amounts payable by the Issuer are contingent. is required to reimburse all or part of such Floating Amounts to the Issuer as a result of subsequent recoveries of the related shortfalls or the writing up of the principal of the related Reference Obligation. Consequently. there may be no replacement counterparty or guarantor available with the required ratings. New and Developing Structure of CDS Assets. will be entitled to elect whether to deliver a notice demanding physical settlement or to require the Issuer to make a payment of the Floating Amount in respect thereof. in lieu of payment by the Issuer of a Physical Settlement Amount. Concentrations of CDS Assets entered into with any one counterparty will increase the risk that a payment failure by such counterparty will result in a shortfall of funds available for payments on the Notes. even if the CDS Asset Counterparty. In addition. a "termination event" (and/or. a "credit support default") will occur and may result in a termination payment. the Issuer may be required. The aggregate notional amount of all CDS Assets may equal up to 40% of the Collateral Principal Balance. A concentration of CDS Assets with a limited number of counterparties or even a single counterparty could occur. even if the counterparty desires to transfer its obligations to a replacement counterparty or to designate a guarantor. if any. There can be no assurance that any counterparty will take any such action within the specified time frame. under a CDS Asset or a Short CDS Asset no longer satisfies the applicable ratings required by each Rating Agency. which could result in reductions or delays in payments on the Notes or an Event of Default.

The market for credit default swaps on assetbacked securities has only existed for a few years and is relatively illiquid (compared to the market for credit default swaps on investment grade corporate reference entities or the market for cash-purchased Collateral Debt Assets). the Collateral Manager shall direct the Trustee to withdraw the applicable amounts in the Synthetic Asset Collateral Account and deposit such amounts in the Collection Account for application in accordance with the Indenture. The interests of the related CDS Asset Counterparty or counterparty under a Short CDS Asset may conflict with the interests of the Issuer or the Noteholders and the requirement to obtain the counterparty's consent in connection with terminating or assigning a CDS Asset or Short CDS Asset may limit the Collateral Manager's ability to trade proactively and reinvest in CDS Assets or Short CDS Assets or otherwise act in the best interests of the Issuer and the Noteholders in pursuit of the Issuer's investment objectives. Any such amounts shall be available generally to secure the claims of the CDS Asset Counterparties ratably and without preference among such counterparties. In conjunction with the investment in a Synthetic Asset. Following a termination.Lack of Liquidity in Market for Credit Default Swaps. In addition. to the extent of the Synthetic Asset Capacity Amount. To the extent of any amounts or securities on deposit in the Synthetic Asset Collateral Account and upon the amortization. the Issuer is generally not permitted to terminate or assign CDS Assets or Short CDS Assets without the consent of the related counterparty and accordingly may not be able to terminate or assign such CDS Assets or Short CDS Assets in a timely fashion and for a fair price. In addition. The aggregate notional exposure of the credit default swaps on asset-backed securities is typically expected to be a multiple of the outstanding amount of the related Reference Obligation. the Issuer may not be able to enter into a replacement Synthetic Asset or may not be able to negotiate terms of a replacement that are substantially similar to the terminated Synthetic Asset or at an acceptable cost. or with respect to particular Reference Obligors or Reference Obligations. The Issuer may be obligated to make payments to the CDS Asset Counterparties upon termination of CDS Assets. The amount. No CDS Asset Counterparty will have a specific lien or claim against any amounts available from the Aggregate Class A-1R Undrawn Amount or against any amounts credited to the Synthetic Asset Collateral Account. and. in particular. through either the Aggregate Class A-1R Undrawn Amount or the Synthetic Asset Collateral Account. This excess of exposure over supply may negatively affect liquidity and valuation of credit default swaps if adverse economic developments occur in the financial and credit markets generally. Accordingly. and a CDS Asset Counterparty may have the ability to terminate the related CDS Asset without the consent of the Issuer. The amount of termination payments would generally be determined by the counterparty as the replacement cost. Synthetic Assets may provide for termination or liquidation based upon the occurrence of various events (including events related to collateral maintained by the Issuer for payments to the CDS Asset Counterparties) that would not apply if the Issuer had invested directly in the underlying Reference Obligations. Claims of Counterparties. following the end of the Interest-Only Period. Any inability to obtain the consent of the relevant counterparties may have a materially adverse effect on the Noteholders and the Notes. Obligation to Maintain Collateral. Disputes with a CDS Asset Counterparty over calculations in 28 . the Issuer may not be able to terminate a CDS Asset as easily as it would be able to buy and sell the related Reference Obligation. the Issuer may not be able to manage its exposure to the related Reference Obligation as efficiently or as economically as it would if it had purchased such Reference Obligation directly. in amounts sufficient to secure the obligations of the Issuer in accordance with the terms of the related Synthetic Assets. receivable by the Issuer upon any such termination or liquidation may be significantly less than the amount that the Issuer would have received upon the contemporaneous sale of the underlying Reference Obligation. Termination of Synthetic Assets. reduction or termination of any Reference Obligation from the related Synthetic Asset or. Amounts held in the Synthetic Asset Collateral Account generally will not be available for payments on the Notes unless and until amounts are released to the Issuer from the Synthetic Asset Collateral Account for deposit into the Collection Account. if any. This lack of liquidity and potential valuation difficulties in the credit default swap market may limit the Collateral Manager's ability to trade proactively and reinvest in Synthetic Assets or Short CDS Assets or otherwise act in the best interests of the Issuer and the Noteholders in pursuit of the Issuer's investment objectives. potentially restricting its ability to take advantage of market opportunities. The illiquidity and restrictions on transfer and termination of the Synthetic Assets and Short CDS Assets also may affect the amount and the timing of receipt of proceeds from the termination of Synthetic Assets and Short CDS Assets in connection with the acceleration of the Notes following an Event of Default or upon a Redemption of the Notes. may not be able to terminate such CDS Asset without the consent of the related CDS Asset Counterparty. the Issuer will maintain available cash reserves.

Under the Synthetic Collateral Agreement. and together with the Initial Interest Rate Hedge Agreement. Floating Rate Indices for Collateral Debt Assets. correspondingly. Repayment of the upfront payment will be amortized over the term of the Initial Interest Rate Hedge Agreement and will generally be payable senior to payments of interest and principal on the Rated Notes pursuant to the Priority of Payments. any payments of principal of or interest on the Collateral Debt Assets received during a Due Period will be reinvested in Eligible Investments maturing not later than the Business Day immediately preceding the next Monthly Payment Date. If any such Interest Rate Hedge Agreement is terminated early (other than as a result of a termination as to which the Interest Rate Hedge Counterparty is the sole defaulting or affected party. the Initial Interest Rate Hedge Counterparty will make an upfront payment to the Issuer on the Closing Date that will be used by the Issuer. Any failure of the Synthetic Collateral Assets Counterparty to meet its obligations under the Synthetic Collateral Agreement may result in the Issuer having insufficient funds to make payments in full on the Credit Default Swaps or may reduce the amounts otherwise available in accordance with the Priority of Payments to make payments of interest and. Moreover. the Synthetic Collateral Assets Counterparty will agree to pay any difference between the par value and the sale proceeds of the Eligible Synthetic Collateral Assets and to ensure that the aggregate return on the Synthetic Collateral Assets is at least equal to LIBOR. 15. to purchase Collateral Debt Assets and pay certain fees and expenses. Dollar deposits in Europe with a specified index maturity or other floating rate indices and a portion of such Collateral Debt Assets may consist of debt securities and obligations that bear interest at a fixed rate. enter into additional interest rate cap agreements. In the event of an insolvency of any counterparty under a Hedge Agreement. from time to time. In addition. Currency Risk. No assurance can be given that the Interest Rate Hedge Agreements will eliminate all material interest rate risks to the Issuer. fees on or principal of the Notes. A portion of the Collateral Debt Assets included in the Collateral may be obligations that pay interest less frequently than monthly. and the interest rates available for Eligible Investments are expected to fluctuate over time. together with the proceeds of the offering of the Notes. including termination upon the failure of the relevant Hedge Counterparty to perform its obligations thereunder. A portion of the Collateral Debt Assets that the Issuer purchases will consist of Collateral Debt Assets that bear interest based on LIBOR for U. There can also be no assurance that the Collateral Debt Assets and Eligible Investments. 29 . together with the payments to be received by the Issuer under the Interest Rate Hedge Agreements. the "Interest Rate Hedge Agreements") that are intended to mitigate a portion of the mismatch between the floating rates of interest on the Rated Notes and rates of interest on the related underlying Collateral Debt Assets. The interest-reset dates in respect of the Collateral Debt Assets may be different than the reset dates on the Rated Notes. The Issuer will. Interest Rate Hedging. interest rate swap agreements (including Deemed Floating Asset Hedges) or similar agreements (collectively. See "Security for the Rated Notes—Hedge Agreements". if any. the Issuer will be treated as a general creditor of such counterparty.respect of the amounts of any such payments may result in delays in payment on or early termination of the related CDS Asset. the termination payment (including the repayment of any remaining unamortized up-front payment). as defined in such Interest Rate Hedge Agreement). Under the Initial Interest Rate Hedge Agreement. there may be a fixed/floating interest rate or timing mismatch between the Rated Notes and the underlying Collateral Debt Assets and changes in the level of LIBOR or other floating rate indices could adversely affect the Issuer's ability to make payments on the Rated Notes and. the Issuer will be subject to the credit risk of each such counterparty. in the case of the Class A-1R Notes.S. interest rate floor agreements. enter into the Initial Interest Rate Hedge Agreement with the Initial Interest Rate Hedge Counterparty for purposes of managing the Issuer's interest rate exposure relating to the floating rate of interest payable on the Notes. Consequently. Interest Rate Risk. owed by the Issuer will be paid to the Interest Rate Hedge Counterparty before any payments are made to the Holders of the Notes. distributions on the Income Notes. there may be fluctuations in the expected Sale Proceeds on the liquidation of Fixed Rate Collateral Debt Assets as benchmark interest rates and indices decrease or increase. will in all circumstances generate sufficient funds to make timely payments of interest on the Notes. the benefits of any Interest Rate Hedge Agreement may not be achieved in the event of the early termination of such Interest Rate Hedge Agreement. As a result. There is no requirement that Eligible Investments bear interest at any required rate. In addition. The Issuer may also. on or prior to the Closing Date.

collateral securing some Collateral Debt Assets will consist of obligations of issuers or borrowers organized under the laws of various jurisdictions other than the United States or Europe. Accordingly. as collateral security for the payment or performance of an obligation. rate of inflation. Luxembourg or any other commonly used domiciles for structured product transactions or obligations of other Qualifying Foreign Obligors. Bermuda. subject to compliance with certain of the Portfolio Percentage Limitations. The Issuer will bear the risk of market changes subsequent to the acquisition of Collateral Debt Assets and the entry into related hedging arrangements as if it acquired such assets directly prior to the Closing Date. In addition. In addition. The Collateral Manager has entered into a warehouse facility (the "Warehouse Facility") with Citigroup Global Markets Inc. accrued and unpaid interest on such Collateral Debt Assets as of the Closing Date and gains or losses incurred in connection with the termination prior to the Closing Date of related hedging arrangements. despite the Issuer having the benefit of the Hedge Agreements and the distributions on the Income Notes being subordinated to the payments of interest on the Rated Notes. or non-European jurisdiction and uncertainties as to the status. resource self-sufficiency and balance of payments position. In many non-U. the Issuer may be obligated to reimburse Citigroup to the extent that it incurs losses with respect to the sale of Collateral Debt Assets purchased under the Warehouse Facility that become ineligible for sale to the Issuer or with respect to the termination of hedging arrangements entered into pursuant to the Warehouse Facility. in the case of Synthetic Assets. Moreover. If Citigroup or any of its Affiliates were to become the subject of a case or proceeding under the United States Bankruptcy Code. Investing outside the United States or Europe may involve risks that are greater or less than investing in the United States or Europe. Ireland. other liquidator or the Securities Investor Protection Corporation could assert that Collateral Debt Assets acquired from Citigroup or an Affiliate are property of the insolvency estate of Citigroup or such Affiliate. European and non-U. the Netherlands Antilles. or that the existence of the Hedge Agreements will ensure any particular return on the Income Notes. limitations on the convertibility of currency or the removal of securities. the Issuer may be obligated to pay a higher purchase price for eligible Collateral Debt Assets than it would have had it purchased such assets in the market on the Closing Date. would be property of the estate of Citigroup or such Affiliates.S. ("Citigroup") pursuant to which Citigroup will acquire Collateral Debt Assets and enter into hedging arrangements for the benefit of the Issuer.S. the British Virgin Islands. another applicable insolvency law or a stockbroker liquidation under the Securities Investor Protection Act of 1970 (a "Proceeding"). Property that Citigroup or any of its Affiliates has pledged or assigned. interpretation and application of laws. if any Hedge Counterparty defaults in making required payments under the related Hedge Agreement. each of which could have an adverse effect on the Issuer's investments in such foreign countries (which may make it more difficult to pay U. and non-European countries there is the possibility of expropriation.S. Dollar-denominated obligations such as the Collateral Debt Assets). economic or social instability or adverse diplomatic developments. the economies of individual countries may also vary significantly in such respects as growth of gross domestic product.No assurance can be made that the Hedge Agreements will eliminate all material interest rate and currency risks to the Issuer.S. The purchase price payable by the Issuer for such Collateral Debt Assets will be based on the purchase price paid (or. practices and requirements applicable to U. Purchase of Collateral Debt Assets on or Prior to the Closing Date and Certain Legal and Insolvency Considerations Relating Thereto. or non-European companies vary significantly. the accounting. In addition.. 30 . auditing and financial reporting standards. the original spread) when such Collateral Debt Assets were acquired under the Warehouse Facility. the Issuer will be exposed to the credit risk of that Hedge Counterparty with respect to such payments. depreciation. property or other assets of the Issuer. capital reinvestment. there can be no assurance that the Collateral will in all circumstances generate sufficient Collateral Interest Collections to make timely payments of interest on the Rated Notes. which may have an adverse effect on the ability of the Issuer to make payments on the Notes. or in which Citigroup or its Affiliates has granted a security interest. International Investing. (iv) different bankruptcy rights and procedures and (v) the difficulty of enforcing legal rights in a non-U. the Channel Islands. A portion of the Collateral Debt Assets may consist of obligations of issuers organized under the laws of the Bahamas. nationalization or confiscatory taxation.S. The Issuer will be required to purchase eligible Collateral Debt Assets in the Warehouse Facility for inclusion in the Collateral on the Closing Date. Finally. the trustee in bankruptcy. the Cayman Islands. political. volatility of currency exchange rates. Therefore. (iii) different clearance and settlement procedures. 16. (ii) varying levels of governmental regulation and supervision. These risks may relate to: (i) the amount of publicly available information.

Equity Securities. Even if such arguments were not successful. to the extent any distributions on the Collateral Debt Assets were paid to Citigroup. If such arguments were successful. the security interest of the Issuer (and the Trustee) in such distributions might be avoidable. Reinvestment Risk. it is possible that payments on the Notes would be subject to delays while the claim was being resolved. however. the Issuer (or the Trustee) might be delayed or prohibited from exercising remedies with respect to the Collateral Debt Assets. Respecting the possibility that the assets and liabilities of the Issuer could be consolidated with those of Citigroup. 17. the Collateral Manager may direct the sale of Collateral Debt Assets that are not Defaulted Assets. Equity Securities. will be deemed to be a pledge or collateral assignment (as opposed to the sale or other absolute transfer of such Collateral Debt Assets to the Issuer). among other factors. and accordingly that the assets and liabilities of the Issuer should be considered assets and liabilities of Citigroup. an argument could also be made that the separate existence of the Issuer should be ignored. on reinvestment rates available in the marketplace at the time and on the availability of investments satisfying the Reinvestment Criteria and acceptable to the Collateral Manager. Credit Improved Assets or Credit Risk Assets. If Citigroup were subject to a Proceeding. under the circumstances contemplated by this Prospectus. including the Issuer's interest therein. the costs associated with collecting the amounts receivable under the Collateral Debt Assets could be charged against such Collateral Debt Assets. These steps include the creation of the Issuer as a separate. At any time there may be a limited number of possible investments that would satisfy the Reinvestment Criteria given the other investments then held by the Issuer. Credit Improved Assets and Credit Risk Assets. during the period of delay. it is possible that payments on the Notes would be subject to delay while the claim was being resolved. If this argument were successful. In addition. issuers of Collateral Debt Assets may be more likely to exercise any rights they may have to redeem such obligations when interest rates or spreads are declining. The Issuer does not expect that the purchase by the Issuer of Collateral Debt Assets. Even if this argument were not successful. and post-Proceeding interest might be limited and. is not property of the estate of Citigroup or its Affiliates. The need to satisfy such Reinvestment Criteria and identify acceptable investments may require the purchase of Substitute Collateral Debt Assets having lower yields than those initially acquired or require that such Collateral Principal Collections be maintained temporarily in cash or Eligible Investments. As a result. special purpose company and restrictions on the nature of its business and an undertaking by the Issuer to observe material legal formalities. prohibitions and other possible effects described above. Any decrease in the yield on the Collateral Debt Assets will 31 . Further. The Collateral Manager may direct the sale of Defaulted Assets. the Issuer may at times find it difficult to purchase suitable investments. In such a case. The earnings with respect to such Substitute Collateral Debt Assets will depend. the Issuer (or the Trustee) would have a secured claim against Citigroup. Collateral Principal Collections and Sale Proceeds received on the Collateral Debt Assets during the Interest-Only Period will (and Sale Proceeds received on the disposition of Credit Improved Assets and Credit Risk Assets after the Interest-Only Period may) be reinvested in Substitute Collateral Debt Assets that meet the Reinvestment Criteria or temporarily reinvested in Eligible Investments pending such reinvestment in Substitute Collateral Debt Assets in accordance with the Priority of Payments. and the Trustee would be subject to the delays. other collateral might be substituted for the Collateral Debt Assets. subject to compliance with the requirements specified in "Security for the Rated Notes—Substitute Collateral Debt Assets and Reinvestment Criteria" and in the Indenture. There may be significant lags between the receipt of Collateral Principal Collections and the reinvestment thereof in Substitute Collateral Debt Assets. Furthermore. and Eligible Investments will generally carry a lower rate of interest or yield. the parties have taken steps in structuring the transactions that are intended to minimize the risk that the separate identity of the Issuer would not be respected. See "Security for the Rated Notes– Substitute Collateral Debt Assets and Reinvestment Criteria". See "The Issuer and the Co-Issuer". collections on the Collateral Debt Assets or other collateral might be applied to the payments on the Notes at different times than those required by the Indenture. however. which may reduce the aggregate yield on the Collateral.Property that Citigroup or its Affiliates has sold or absolutely assigned for fair value and transferred to another party. Subject to the limits described under "Description of the Notes—Priority of Payments" and "Security for the Rated Notes—Substitute Collateral Debt Assets and Reinvestment Criteria". the Trustee on behalf of the Secured Parties would be considered to be a secured creditor in the consolidated proceeding with respect to Citigroup.

In particular. the Collateral Manager and its Affiliates may have economic interests in. involved in the activities of the Collateral Manager throughout the entire term of the Collateral Management Agreement. Although the professional staff assigned by the Collateral Manager to manage the Collateral expects to devote as much of its time on behalf of the Collateral Manager to the business of the Issuer as is in its judgment reasonably required. senior or junior in ranking to an investment in such issuer's securities made and/or held by the Issuer. directors. officers. Dependence on Key Personnel of the Collateral Manager. or the partners. agents or employees of the Collateral Manager or its Affiliates may serve on boards of directors of. 19. or otherwise have ongoing relationships with. render services to. to act in a way that is favorable to the Issuer or the Noteholders.have the effect of reducing the amounts available to make payments of principal and interest on the Rated Notes and distributions on the Income Notes. Furthermore. The loss of one or more of the individuals managing the Collateral could have a significant material adverse effect on the performance of the Collateral. security holders. the Collateral Manager and/or its Affiliates may make an investment on their behalf or on behalf of any account that they manage or advise without offering the investment 32 . There can be no assurance that such persons will continue to be employed by the Collateral Manager or its Affiliates or if so employed. The Collateral Manager may decline to make a particular investment for the Issuer in view of such relationships. banking. Conversely. sales of Collateral Debt Assets and purchases of Substitute Collateral Debt Assets may result in losses leading to the reduction or withdrawal of the rating of any or all of the Rated Notes by any Rating Agency. Each of such ownership and other relationships may result in securities laws restrictions on transactions in such securities by the Issuer and otherwise create conflicts of interest with respect to the Collateral Manager. or to inform the Issuer of any investments before offering any investments to other funds or accounts that the Collateral Manager and/or its Affiliates manage or advise. As a result. Potential Conflicts of Interest Involving the Collateral Manager. engage in transactions with or have other relationships with issuers in whose obligations or securities the Issuer may invest. or to which the Collateral Manager seeks to sell securities on behalf of the Issuer. 18. the Collateral Manager and its Affiliates may recommend actions that would compete with or otherwise adversely affect the Issuer. the conditions and restrictions in the Indenture may preclude advantageous sales of Collateral Debt Assets and purchases of Substitute Collateral Debt Assets. The performance of the Collateral will be highly dependent on the financial and managerial expertise of the Collateral Manager. The Collateral Manager and its Affiliates may invest for their own accounts or for the accounts of others in securities that would be appropriate investments for the Issuer and they have no duty. The effects of some of the actions described in this section may have an adverse impact on the market from which the Collateral Manager seeks to buy. financial and other activities engaged in by the Collateral Manager. the Collateral Manager and its Affiliates may make and/or hold an investment in an issuer's securities that may be pari passu. Although the Collateral Manager will commit a significant amount of its efforts to the management of the Collateral Debt Assets. such issuer. Such investments may be the same as or different from those made on behalf of the Issuer. officers or Affiliates of the Collateral Manager may possess information relating to issuers of Collateral Debt Assets that is not known to the individuals at the Collateral Manager responsible for monitoring the Collateral Debt Assets and performing the other obligations of the Collateral Manager under the Collateral Management Agreement. overall investment. its Affiliates and their respective clients and employees for their own accounts or for their respective client accounts. Notwithstanding compliance with the requirements specified herein and in the Indenture. it will also be providing services to others and will be engaged in other businesses in which the Issuer has no interest. In providing services to other clients. In the course of managing the Collateral Debt Assets held by the Issuer. Neither the Collateral Manager nor any of its Affiliates is under any obligation to offer investment opportunities of which they become aware to the Issuer or to account to the Issuer for (or share with the Issuer or inform the Issuer of) any such transaction or any benefit received by them from any such transaction. Various potential and actual conflicts of interest may arise from the advisory. it manages and will manage in the future other investment products and vehicles and is not required (and will not be able) to devote all of its time or efforts to the management of the Collateral Debt Assets. the Collateral Manager and its Affiliates may in their discretion (except as provided below under "Security for the Rated Notes—Substitute Collateral Debt Assets and Reinvestment Criteria") make investment recommendations and decisions that may be the same as or different from those made with respect to the Issuer's investments. in making such investments. See "The Collateral Manager" and "The Collateral Management Agreement". In such instances.

the Collateral Manager. at any time. See "The Collateral Management Agreement—Removal or Resignation of Collateral Manager. Accordingly. Although the officers and personnel of the Collateral Manager will devote as much time to the Issuer as the Collateral Manager deems appropriate. in its sole discretion. without limitation. that it has declined to invest in for its own account. the account of any of its Affiliates or the account of its other clients. by virtue of the internal policies of the Collateral Manager or its Affiliates relating to confidential communications. investing in. the Collateral Manager and its Affiliates will be entitled to vote the Notes held by them and by such accounts with respect to all other matters (including in directing an Optional Redemption). to make recommendations to 33 . Affiliates of the Collateral Manager will in the aggregate purchase not less than a Majority of the Income Notes from the Issuer in a privately negotiated transaction. the Collateral Manager and its Affiliates. The Collateral Manager will be free. its Affiliates and client accounts for which the Collateral Manager or its Affiliates act as collateral manager may give the Collateral Manager an incentive to take actions that vary from the interests of the other holders of the Notes. The Collateral Manager and any of its Affiliates may engage in any other business and furnish investment management and advisory services to others. serving as collateral manager or investment manager for. Affirmative obligations may arise in the future. which may include. whereby the Collateral Manager and/or its Affiliates are obligated to offer certain investments to funds or accounts that they manage or advise before or without the Collateral Manager's offering those investments to the Issuer. lending to. and the Collateral Manager is subject to compliance with such restrictions. The Collateral Manager and its Affiliates may make investment decisions for their own account or for the accounts of others. during certain periods or in certain specified circumstances. However. Appointment of Successor. In addition. The policies of the Collateral Manager and Affiliates are such that certain personnel of the Collateral Manager or its Affiliates may have or obtain information that. the Issuer may be unable to buy or sell securities or to take other actions that the Collateral Manager might consider in the best interest of the Issuer and the Noteholders.opportunity or making any investment on behalf of the Issuer. provide financing to. cannot or may not be used by the Collateral Manager on behalf of the Issuer. the Collateral Manager." Moreover. Notes held by the Collateral Manager. such persons may have conflicts in allocating their time and services among the Issuer and other accounts now or hereafter advised by the Collateral Manager and/or its Affiliates. In addition. that may be the same as or different from those made by the Collateral Manager on behalf of the Issuer. It is expected that. or otherwise deal with securities issued by issuers that would be suitable investments for the Issuer. may acquire material non-public confidential information that may restrict the Collateral Manager from purchasing securities or selling securities for itself or its clients (including the Issuer) or otherwise using such information for the benefit of its clients or itself. on the Closing Date. including other special-purpose entities organized to issue collateralized debt obligations. The Collateral Manager may make investments on behalf of the Issuer in securities or other assets. The Indenture and the Collateral Management Agreement place significant restrictions on the Collateral Manager's ability to advise the Issuer to buy or sell securities for inclusion in the Collateral. or being affiliated with. in connection with their other business activities. there will be no obligation to retain any such Notes so purchased. its Affiliates and client accounts for which the Collateral Manager or its Affiliates act as collateral manager may at times own Rated Notes of one or more Classes or other Income Notes. its Affiliates and accounts for which such Collateral Manager or any Affiliate thereof acts as collateral manager (and for which such Collateral Manager or such Affiliate has discretionary authority regarding such Notes) will be entitled to vote such Notes with respect to proposing a successor Collateral Manager. To the extent that the funds managed by the Collateral Manager owns any of the Rated Notes or Income Notes. Certain Additional Consequences. The ownership of any Income Notes by Affiliates of the Collateral Manager and. other entities organized to issue collateralized debt obligations secured by securities such as the Collateral Debt Assets and other trusts and pooled investment vehicles that acquire interests in. any Affiliate thereof and accounts for which such Collateral Manager or any such Affiliate acts as collateral manager (and for which such Collateral Manager or such Affiliate has discretionary authority regarding such Notes) will be disregarded and deemed not to be Outstanding with respect to any vote or consent of the Noteholders on any termination of the Collateral Manager or any amendment or other modification of the Collateral Management Agreement or the Indenture that increases the rights or decreases the obligations of the Collateral Manager. other Rated Notes of one or more Classes or other Income Notes by the Collateral Manager. possibly.

In the foregoing situations. In addition. The Collateral Manager. In the foregoing situations. 34 . The Collateral Manager or an Affiliate of the Collateral Manager may at certain times (i) simultaneously seek to purchase (or sell) investments from the Issuer and sell (or purchase) the same investment for a similar entity.others. or to which the Collateral Manager seeks to sell securities on behalf of the Issuer. may conduct principal trades with itself and its Affiliates. for their own account. or for other clients or Affiliates and/or (ii) take "short" positions with respect to certain securities that will be the same as the securities included in the Collateral. including other collateralized debt obligations vehicles. or effect transactions on behalf of itself or for others. In the course of managing the Collateral Debt Assets held by the Issuer. which could discourage some potential bidders from participating in the Auctions. While the Collateral Manager anticipates that any such commissions charged will be at competitive market rates. the Collateral Manager may have interests in such transactions that are adverse to those of the Issuer. or for other accounts for which they have investment discretion. The Collateral Manager may also effect client cross transactions where the Collateral Manager causes a transaction to be effected between the Issuer and another account advised by any of its Affiliates. the Collateral Manager may have interests in such transactions that are adverse to those of the Issuer. The Collateral Manager may decline to make a particular investment for the Issuer in view of such relationships. the Collateral Manager may enter into agency cross transactions where any of its Affiliates acts as broker for the Issuer and for the other party to the transaction. the Issuer is permitted (i) to purchase Collateral Debt Assets from (or enter into Synthetic Assets with) the Collateral Manager or any Affiliate of the Collateral Manager as principal and (ii) to purchase Collateral Debt Assets from any account or portfolio for which the Collateral Manager or any of its Affiliates acts as investment adviser. The Collateral Manager may bid at each Auction and. on behalf of the Issuer. or which are the same type as. Affiliates and clients of the Collateral Manager may invest in securities (or make loans) that are included among. will have the option to purchase the Collateral Debt Assets (or any subpool) for a purchase price equal to the highest bid therefor. that may be the same as or different from those effected on behalf of the Issuer. such as an interest in obtaining favorable commissions. In addition. the Collateral Manager and its Affiliates may have a potentially conflicting division of loyalties regarding both parties in the transaction. Client cross transactions enable the Collateral Manager to purchase or sell a block of securities for the Issuer at a set price and possibly avoid an unfavorable price movement that may be created through entrance into the market with such purchase or sell order. credit default swap agreements relating to entities that are issuers of Collateral Debt Assets. While the Collateral Manager anticipates that any such commissions charged will be at competitive market rates. subject to any restrictions contained in the Collateral Management Agreement and applicable law. the Collateral Manager and its Affiliates may recommend activities that would compete with or otherwise adversely affect the Issuer. the Collateral Debt Assets. or have interests different from or adverse to those of the Issuer. such as an interest in obtaining favorable commissions. As a result. The effects of some of the actions described in this section may have an adverse impact on the market from which the Collateral Manager seeks to buy. If an Affiliate of the Collateral Manager acts as a broker in an agency cross transaction. The Collateral Manager and its Affiliates may enter into. even if it may not have been the highest bidder. rank pari passu with or senior to Collateral Debt Assets. The Collateral Manager and its Affiliates and clients may also have equity and other investments in and may be lenders to. the Collateral Manager may consider its relationships with other clients (including companies the securities of which are pledged to secure the Notes) and its Affiliates. officers or Affiliates of the Collateral Manager may possess information relating to the Collateral Debt Assets that is not known to the individuals at the Collateral Manager responsible for monitoring the Collateral Debt Assets and performing other obligations under the Collateral Management Agreement. for which it serves as manager now or in the future. and may have other ongoing relationships with such entities. such person may receive commissions from one or both of the parties in the transaction. the Collateral Manager and its Affiliates may have a potentially conflicting division of loyalties regarding both parties in the transaction. In providing services to other clients. and the Collateral Manager may furnish investment management and advisory services to others who may have investment policies similar to those followed by the Collateral Manager with respect to the Issuer and who may own securities of the same class. Pursuant to the Collateral Management Agreement.

Citigroup will act as the Initial Purchaser of the Rated Notes and as Placement Agent for the Income Notes and has also previously provided financing and hedging arrangements under the Warehouse Facility. Citigroup or any other Affiliate of Citigroup will be required to consider the interests of Noteholders in exercising such rights. among other things: (a) serve as directors.. the holders of the Notes or any Hedge Counterparty. In certain circumstances. the Collateral Manager. the objective of the Collateral Manager (and any of its Affiliates involved in such transactions) shall be to allocate the executions among the relevant accounts in a manner reasonably believed by the Collateral Manager to be equitable over time for all accounts involved (taking into account constraints imposed by the Eligibility Criteria). (d) be a secured or unsecured creditor of. or hold an equity interest in. Without limiting the generality of the foregoing. the Issuer while acting in the capacity of principal or agent. the selling or purchase price. The Collateral Manager shall use commercially reasonable efforts to obtain the best execution for all orders placed with respect to the Collateral Debt Assets. including. or (g) sell any Collateral Debt Asset or Eligible Investment to. Services of the kind described in this paragraph may lead to conflicts of interest with the Collateral Manager. In pursuit of the objective of obtaining the best execution. (c) be retained to provide services unrelated to the Collateral Management Agreement to the Issuer or its affiliates and be paid therefor. Potential Conflicts of Interest with the Trustee. However. (e) serve as a member of any "creditors board" with respect to any obligation included in the Collateral which has become or may become a Defaulted Asset. agents.No provision in the Collateral Management Agreement prevents the Collateral Manager or any of its Affiliates from rendering services of any kind to any person or entity. an Affiliate of Citigroup. and Citibank N. no provision in the Collateral Management Agreement requires the Collateral Manager or its Affiliates to execute orders as part of concurrent authorizations or to aggregate sales. brokerage commission and other expenses. The Collateral Manager may aggregate sales and purchase orders of securities placed with respect to the Collateral with similar orders being made simultaneously for other accounts managed by the Collateral Manager or with accounts of the Affiliates of the Collateral Manager if in the Collateral Manager's sole judgment such aggregation would result in an overall economic benefit to the Issuer. Citigroup will purchase and hold all of the Class A-1R Notes and all of the Class A-1T1 Notes on the Closing Date. including the issuer of any obligation included in the Collateral or any of its Affiliates. The trustee and its affiliates may at any time be acting as a trustee or similar capacity on one or more Collateral Debt Assets owned by the Issuer. Citibank. 20. the Trustee or its Affiliates may receive compensation in connection with the Trustee's (or such Affiliate's) investment in certain Eligible Investments from the managers of such Eligible Investments. without limitation. its Affiliates and their respective directors. nominees or signatories for any issuer of any obligation included in the Collateral. considering all reasonable circumstances. None of Citibank. taking into consideration the availability of purchasers or sellers.A. the Trustee. employees and agents may. (f) underwrite. officers. including. timing. officers. 21. Citigroup will hold a Majority of the Controlling Class on the Closing Date by reason of its holdings of Class A-1T1 Notes and Class A-1R Notes. Potential Conflicts of Interest with Citigroup Global Markets Inc. The Advance Swap Counterparty and the Holders of the Class A-1R Notes and Class A-1T1 Notes will have certain voting and consent rights and other similar rights under the Indenture and certain other Transaction Documents. For purposes of the Indenture. general relevant trends and research and other brokerage services and support equipment and services related thereto furnished to the Collateral Manager or its Affiliates by brokers and dealers. In the event that a sale or purchase of a Collateral Debt Asset occurs as part of any aggregate sale or purchase order. partners. if applicable. any issuer of any obligation included in the Collateral. and may lead individual officers or employees of the Collateral Manager to act in a manner adverse to the Issuer. act as a distributor of or make a market in any Collateral Debt Asset or Eligible Investment. or purchase any Collateral Debt Asset or Eligible Investment from. will be the initial Advance Swap Counterparty. (b) receive fees for services to be rendered to the issuer of any obligation included in the Collateral or any affiliate thereof. employees. the conditions or terms of early redemption of the Notes. The interests of Citibank as Advance Swap Counterparty and of Citigroup as Holder of the Class A-1R Notes and Class A-1T1 Notes may conflict with the interests of the Holders of other Classes of Notes in respect of any matter requiring consent. Citigroup or its Affiliates may have had in the past and may in the future have business relationships and dealings with one or more issuers of Collateral Debt Assets and their Affiliates and may own equity or debt 35 . it being understood that the Collateral Manager has no obligation to obtain the lowest prices available. the Collateral Manager may take into consideration all factors the Collateral Manager reasonably determines to be relevant.

Citigroup or its Affiliates may buy securities from and sell securities to an issuer of Collateral Debt Assets included in the Collateral or its Affiliates for their own account or for the accounts of their customers. for which Citigroup or one of its Affiliates may have acted as underwriter. Typically. as a result of a shortfall of amounts received from the Advance Swap Counterparty. The rights of the Initial Interest Rate Hedge Counterparty may conflict with the interests of the Noteholders in respect of any matter requiring the consent of the Initial Interest Rate Hedge Counterparty.securities issued by issuers of Collateral Debt Assets or their Affiliates. 23. agent. Furthermore. Default Rates of Collateral Debt Assets. If. Citigroup Financial Products Inc. Citigroup will have no duty to act on behalf of the Noteholders and. the Issuer may default on payment of principal or interest on the Notes. general economic conditions. Some of the Collateral Debt Assets included in the Collateral may be obligations of issuers or obligors. directly or indirectly. may act in ways adverse to them. it is possible that investors in some Classes of Rated Notes and the Income Notes will not recover their original investment. Citigroup (or such Affiliate) may be expected to have interests that are adverse to the interests of the Noteholders. In addition. The Initial Interest Rate Hedge Counterparty. the Advance Swap Counterparty is required to fund Advance Swap Draws in accordance with the terms of the Advance Swap. The Issuer will purchase Collateral Debt Assets from Citigroup or its Affiliates only to the extent that such Collateral Debt Assets have been selected by the Collateral Manager for inclusion under the Warehouse Facility and the purchase of such Collateral Debt Assets is consistent with the investment guidelines described in the Warehouse Facility. an Affiliate of Citigroup. placement agent or dealer or for which an Affiliate of Citigroup has acted as lender or provided other commercial or investment banking services. 24. world political events. the Issuer is required to make any payment on a CDS Asset from sources that would have otherwise been available to make payments in accordance with the Priority of Payments. have broad authorization to perform actions. among other things. In certain circumstances.82% of the Principal Balance of the Collateral Debt Assets expected to be purchased by the Issuer on the Closing Date. The market value of the Collateral Debt Assets will generally fluctuate with. such as calculations of payment amounts. Citigroup or an Affiliate thereof will act as a CDS Asset Counterparty pursuant to certain CDS Assets acquired by the Issuer on the Closing Date and may act as the swap counterparty under other derivative agreements entered into by the Issuer itself or by the Credit Linked Security issuer of a Credit Linked Security purchased by the Issuer. including in respect of amounts due and owing on the Notes. A Citigroup Affiliate may act as a Cashflow Swap Counterparty in the future. The Issuer is not aware of a central source for relevant data or standardized method for measuring or predicting default rates of securities such as the Collateral Debt Assets. Citigroup or its Affiliates may have provided and may in the future provide investment banking services and other services to an issuer or sponsor of Collateral Debt Assets or its Affiliates and may have received or may receive compensation for such services. developments or trends in any particular industry. In such capacity as swap counterparty. Sale of Collateral Upon Default of the Notes. historical performance is not necessarily indicative of future performance. in such capacity. 22. or obligations sponsored or serviced by companies. is not required to consider the interests of the Noteholders in exercising any such rights. that involve the exercise of judgment and discretion. changes in market rates of interest. If the Advance Swap Counterparty fails to fund an Advance Swap Draw when the conditions to such funding have been satisfied. Citigroup or its Affiliates have placed or underwritten approximately 20. As such a swap counterparty. will be the Initial Interest Rate Hedge Counterparty and will have certain rights under the Initial Interest Rate Hedge Agreement. Prospective purchasers of the Rated Notes and the Income Notes should consider and assess for themselves the likely level and timing of defaults and recoveries on the Collateral Debt Assets and the likely levels of interest rates during the term of the Notes. such a swap counterparty would act as calculation agent pursuant to the derivative agreement and. Any failure of the Advance Swap Counterparty to meet its contractual obligations to fund Advance Swap Draws could result in losses to the Holders and delays in payment on the Notes.. the Issuer may have insufficient funds available to make required payments under the related CDS Asset which may result in insufficient funds to make payments required pursuant to the Priority of Payments. On any Business Day to but excluding the Advance Swap Termination Date. the conditions of financial markets and the 36 . Reliance Upon Advance Swap Counterparty.

financial condition of the issuers of such Collateral Debt Assets. Therefore, if certain Class A-1R Commitment Termination Events occur that result in the immediate repayment of the Class A-1R Notes or an Event of Default occurs with respect to the Notes, there can be no assurance that the proceeds of any sale by the Trustee of Collateral Debt Assets will be sufficient to pay in full any amounts payable to the Trustee, the Collateral Manager, any Hedge Counterparty and the CDS Asset Counterparty and the expenses of the Co-Issuers (all of which amounts (other than certain termination payments payable to any Hedge Counterparty and any CDS Asset Counterparty pursuant to the Priority of Payments) are payable prior to payments in respect of the Notes) and the fees on the Class A-1R Notes and the principal of and interest on the Rated Notes. See "—Illiquidity of Collateral Debt Assets; Restrictions on Transfer" below for certain other factors affecting the ability of the Issuer to dispose of the Collateral Debt Assets. 25. Concentration Risk. Concentration with respect to any particular obligor, servicer, region or industry will be limited as set forth in the Reinvestment Criteria including the Portfolio Percentage Limitations. However, there can be no assurance that the Reinvestment Criteria will be adequate to protect investors in the Notes from risk with respect to any one industry, region or collateral type or by any particular obligor or servicer. In addition, the Reinvestment Criteria only apply on the date of purchase of such Collateral Debt Asset and therefore, may not provide adequate protection against concentration in any particular obligor, servicer, region or industry after such purchase. 26. Illiquidity of Collateral Debt Assets; Restrictions on Transfer. There may be a limited trading market for many of the Collateral Debt Assets purchased by the Issuer, and in certain instances there may be effectively no trading market therefor. The Issuer's investment in illiquid Collateral Debt Assets may, if they become Defaulted Assets or Credit Risk Assets, restrict the Issuer's ability to dispose of such investments in a timely fashion and for attractive prices. Such illiquidity may also restrict the Issuer's ability to take advantage of market opportunities, although the Issuer is generally prohibited by the Indenture from selling Collateral Debt Assets except under certain limited circumstances described under "Security for the Notes—Substitute Collateral Debt Assets and Reinvestment Criteria". Illiquid Collateral Debt Assets may trade at a discount from otherwise comparable, more liquid investments. In addition, it is expected that the Collateral Debt Assets will not be registered under the Securities Act or registered or qualified under the securities laws of any state or other jurisdiction, and no person or entity will be obligated to register any such Collateral Debt Assets under the Securities Act or to obtain any registration or qualification under any such other securities laws. Consequently, the Issuer's transfer of such Collateral Debt Assets will be subject to satisfaction of legal requirements applicable to transfers that do not require registration under the Securities Act or registration or qualification under any applicable state securities or other laws and upon satisfaction of certain other provisions of the respective agreements pursuant to which the Collateral Debt Assets were issued. It is expected that such transfers will also be subject to satisfaction of certain other restrictions regarding the transfer thereof to, for the benefit of, or with assets of, a Plan (as defined herein), as well as certain other transfer restrictions. The existence of such transfer restrictions will negatively affect the liquidity of, and consequently the price that may be realized upon a sale of, such Collateral Debt Assets. Synthetic Assets included in the Collateral Debt Assets are also expected to be illiquid and subject to significant restrictions on transfer and termination. See "—Synthetic Assets—Lack of Liquidity in Market for Credit Default Swaps" and "—Synthetic Assets—Termination of Synthetic Assets" above. The Illiquidity of Collateral Debt Assets and the restrictions on transfer of Collateral Debt Assets, in each case, as described above, may adversely affect the amount and timing of receipt of proceeds from the sale of such Collateral Debt Assets. 27. Lender Liability Considerations; Equitable Subordination. In recent years, a number of judicial decisions in the United States have upheld the right of borrowers to sue lenders or bondholders on the basis of various evolving legal theories (collectively, termed "lender liability"). Generally, lender liability is founded upon the premise that an institutional lender or bondholder has violated a duty (whether implied or contractual) of good faith and fair dealing owed to the borrower or issuer or has assumed a degree of control over the borrower or issuer resulting in the creation of a fiduciary duty owed to the borrower or issuer or its other creditors or shareholders. Although it would be a novel application of the lender liability theories, the Issuer may be subject to allegations of

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lender liability. However, the Issuer does not intend to engage in conduct that would form the basis for a successful cause of action based upon lender liability. In addition, under common law principles that in some cases form the basis for lender liability claims, if a lender or bondholder (a) intentionally takes an action that results in the undercapitalization of a borrower to the detriment of other creditors of such borrower, (b) engages in other inequitable conduct to the detriment of such other creditors, (c) engages in fraud with respect to, or makes misrepresentations to, such other creditors or (d) uses its influence as a stockholder to dominate or control a borrower to the detriment of other creditors of such borrower, a court may elect to subordinate the claim of the offending lender or bondholder to the claims of the disadvantaged creditor or creditors, a remedy called "equitable subordination". Because of the nature of the Collateral Debt Assets, the Issuer may be subject to claims from creditors of an obligor that Collateral Debt Assets issued by such obligor that are held by the Issuer should be equitably subordinated. However, the Issuer does not intend to engage in conduct that would form the basis for a successful cause of action based upon the equitable subordination doctrine. The preceding discussion is based upon principles of United States federal and state laws. Insofar as Collateral Debt Assets that are obligations of non-United States obligors are concerned, the laws of certain foreign jurisdictions may impose liability upon lenders or bondholders under factual circumstances similar to those described above, with consequences that may or may not be analogous to those described above under United States federal and state laws. 28. Insolvency Considerations With Respect to Issuers of Collateral Debt Assets. Various laws enacted for the protection of creditors may apply to the Collateral Debt Assets included in the Collateral. If a court in a lawsuit brought by an unpaid creditor or representative of creditors of an issuer of any such Collateral Debt Asset, such as a trustee in bankruptcy, were to find that the issuer did not receive fair consideration or reasonably equivalent value for incurring the indebtedness constituting such Collateral Debt Asset and, after giving effect to such indebtedness, the issuer (i) was insolvent, (ii) was engaged in a business for which the remaining assets of such issuer constituted unreasonably inadequate capital or (iii) intended to incur, or believed that it would incur, debts beyond its ability to pay such debts as they mature, such court could determine to invalidate, in whole or in part, such indebtedness as a fraudulent conveyance, to subordinate such indebtedness to existing or future creditors of the issuer or to recover amounts previously paid by the issuer in satisfaction of such indebtedness. The measure of insolvency for purposes of the foregoing will vary. Generally, an issuer would be considered insolvent at a particular time if the sum of its debts were greater than all of its property at a fair valuation or if the present fair saleable value of its assets were less than the amount that would be required to pay its probable liabilities on its existing debts as they became absolute and matured. There can be no assurance as to what standard a court would apply in order to determine whether the issuer was "insolvent" after giving effect to the incurrence of the indebtedness constituting such Collateral Debt Asset or that, regardless of the method of valuation, a court would not determine that the issuer was "insolvent" upon giving effect to such incurrence. In addition, in the event of the insolvency of an issuer of a Collateral Debt Asset included in the Collateral, payments made on such Collateral Debt Asset could be subject to avoidance as a "preference" if made within a certain period of time (which may be as long as one (1) year and one (1) day) before insolvency. In general, if payments on a Collateral Debt Asset are avoidable, whether as fraudulent conveyances or preferences, such payments can be recaptured either from the initial recipient (such as the Issuer) or from subsequent transferees of such payments (such as the Holders of the Notes). To the extent that any such payments are recaptured from the Issuer, the resulting loss will be borne by the Holders of the Income Notes, the Class C Notes, the Class B Notes, the Class A-4 Notes, the Class A-3 Notes, the Class A-2 Notes, the Class A-1T2 Notes and (pari passu) the Class A-1R Notes and the Class A-1T1 Notes, in that order. However, a court in a bankruptcy or insolvency proceeding would be able to direct the recapture of any such payment from a Holder of Notes only to the extent that such court has jurisdiction over such Holder or its assets. In addition, if an issuer of a Collateral Debt Asset included in the Collateral is the subject of a bankruptcy proceeding, payments to the Issuer with respect to such Collateral Debt Asset may be delayed or diminished as a result of the exercise of various powers of the bankruptcy court, including the following: (i) an "automatic stay", under which the Issuer will not be able to institute proceedings or otherwise enforce its rights against the issuer or obligor with respect to such Collateral Debt Asset without permission from the court;, (ii) conversion by the bankruptcy court of such Collateral Debt Asset into more junior debt or into equity of the issuer thereof or obligor 38

thereon; (iii) modification of the terms of the Collateral Debt Asset by the bankruptcy court, including reduction or delay of the interest or principal payments thereon; and (iv) grant of a priority lien to a new money lender to the issuer of, or obligor on, the Collateral Debt Asset. 29. Certain Insolvency Considerations with Respect to the Collateral Manager and its Affiliates. It is expected that, on the Closing Date, Affiliates of the Collateral Manager will in the aggregate own all of the Income Notes. In addition, the Collateral Manager, its Affiliates and accounts for which the Collateral Manager or its Affiliates act as a Collateral Manager or advisor may at times own Notes of other Classes. Any interest in such Notes may be sold at any time to third parties. If the Collateral Manager or any Affiliate owning a portion of the Income Notes were subject to a Proceeding, an argument could also be made that the separate existence of the Issuer should be ignored, and accordingly that the assets and liabilities of the Issuer should be considered assets and liabilities of the Collateral Manager or such Affiliates. If this argument were successful, the Trustee on behalf of the Secured Parties would be considered to be a secured creditor in the consolidated proceeding with respect to the Collateral Manager or such Affiliates, and the Trustee would be subject to the delays, prohibitions and other possible effects described above. Even if this argument were not successful, it is possible that payments on the Notes would be subject to delay while the claim was being resolved. Respecting the possibility that the assets and liabilities of the Issuer could be consolidated with those of the Collateral Manager or its Affiliates, the parties have taken steps in structuring the transactions that are intended to minimize the risk that the separate identity of the Issuer would not be respected. These steps include the creation of the Issuer as a separate, special purpose company and restrictions on the nature of its business and an undertaking by each such entity to observe material legal formalities. See "The Issuer and the Co-Issuer". 30. Withholding on the Notes. The Issuer expects that payments of principal and interest on the Rated Notes and distributions on the Income Notes will ordinarily not be subject to withholding tax in the Cayman Islands, the United States or any other jurisdiction. See "Certain Income Tax Considerations". In the event that tax must be withheld or deducted from payments of principal or interest on the Rated Notes or distributions on the Income Notes, neither of the Co-Issuers shall be obliged to make any additional payments to the Holders of any Notes on account of such withholding or deduction. 31. Taxes on the Issuer. The Issuer expects that payments received on the Collateral Debt Assets, Eligible Investments, the Hedge Agreements and the Cashflow Swap Agreements generally will not be subject to withholding taxes imposed by the United States or by other countries from which such payments are sourced. Those payments, however, might become subject to U.S. or other withholding tax due to a change in law or other causes. Payments with respect to any Equity Securities or equity securities received in an Offer will likely be subject to withholding taxes imposed by the United States or other countries from which such payments are sourced. The imposition of unanticipated withholding taxes could cause a Tax Redemption and materially impair the Issuer's ability to pay principal, interest and other amounts on the Rated Notes and make distributions on the Income Notes. 32. Tax Treatment of Holders of Equity in the Issuer. The Income Note Issuing and Paying Agency Agreement requires the Issuer and each Holder of Income Notes to treat the Issuer as a corporation for U.S. federal income tax purposes and to treat the Income Notes as equity for those purposes. The Issuer is a passive foreign investment company ("PFIC"). As such, a U.S. Holder investing in the equity of the Issuer (or any class of Rated Notes that is recharacterized as equity for U.S. federal income tax purposes) typically has an option to either (1) treat the Issuer as a qualified electing fund ("QEF") and to pay income tax on its pro rata share of the Issuer's income computed on an accrual basis or (2) pay income taxes generally on the amount of cash distributions received, subject to a possible interest charge at a statutory rate on certain "excess distributions" and gains recognized on the disposition of the PFIC interest. However, depending on the ultimate composition of the pool of equity investors, the Issuer may be classified as a controlled foreign corporation, in which case U.S. Holders may be required to pay income tax based on its pro rata share of the Issuer's income generally as if the U.S. Holders had made the QEF election. Generally, a QEF election should be made on or before the due date for filing the U.S. Holder's U.S. federal income tax return for the first taxable year during which such U.S. Holder holds the Note that is deemed to be an 39

equity interest of the Issuer for U.S. federal income tax purposes. A U.S. Holder making this election is required to report its pro rata share of the Issuer's income regardless of whether the Issuer makes cash distributions during the period. It is possible that a significant amount of the Issuer's income will not be distributed on a current basis for several reasons (termed "phantom income"). Although not exhaustive, several of these reasons include: (1) gains on the sale of securities where the proceeds are reinvested in additional Collateral rather than being distributed; (2) income may be earned by the Issuer (and corresponding amounts of cash received), but the associated cash may be diverted to pay principal of Notes that are Senior to the Notes held by such U.S. Holder when certain compliance tests are not satisfied; and (3) accrual basis accounting may create timing differences from the actual cash distributions. A U.S. Holder that makes a QEF election therefore may be required to recognize phantom income in amounts significantly greater than the distributions received from the Issuer. An electing U.S. Holder generally has the ability to defer paying the tax on the phantom income until the cash is received, subject to a non-deductible interest charge. A U.S. Holder that makes no QEF generally will pay income tax on the amount of cash received in any year including both certain distributions by the PFIC and any gain recognized upon the disposition of the PFIC interest. Annually, commencing in the second year of the investment, to the extent that distributions exceed 125% of the average distribution for the prior 3 years (or lesser period if held for less than three (3) prior years), such "excess distributions" are allocated ratably over the U.S. Holder's holding period and subject to income tax on ordinary income in the current year and at the highest rate in effect for individuals or corporations in the preceding years. A non-deductible interest charge at a statutory rate may also be imposed as if the excess distributions were earned ratably over the holder's holding period. The above discussion is a very general discussion of the tax treatment of an equity investment by a U.S. taxpayer. Taxpayers should review the Prospectus and consult with their tax adviser to the extent necessary to determine the appropriate tax reporting and to assist them with the proper filings. 33. Tax Treatment of CDS Assets. Under current U.S. Federal income tax law, the treatment of Synthetic Assets in the form of credit default swaps is unclear. Certain possible tax characterizations of a credit default swap, if adopted by the U.S. Internal Revenue Service and if applied to any CDS Assets to which the Issuer is then a party, could subject payments received by the Issuer under such CDS Assets to U.S. withholding or excise tax. It is also possible that because of such tax characterizations, the Issuer could be treated as engaging in a trade or business in the United States and therefore subject to net income tax. See “Certain Income Tax Considerations." 34. Absence of Other Regulatory Oversight; Investment Company Act Considerations. While the Issuer may be considered similar in some ways to an investment company, it is not required and does not intend to register as such under the Investment Company Act, and, accordingly, investors in the Notes are not afforded the protections of the Investment Company Act. Counsel for the Co-Issuers will opine in connection with the sale of the Notes, that none of the Issuer, the Co-Issuer or the pool of Collateral is on the Closing Date an investment company required to be registered under the Investment Company Act assuming, for the purposes of such opinion, that the Notes are being offered by or through the Initial Purchaser and the Placement Agent in the manner contemplated by this Prospectus. No opinion or no-action position has been requested of the Commission with respect to the foregoing matters. If the Commission or a court of competent jurisdiction were to find that the Issuer or the Co-Issuer is required, but failed, to register as an investment company in violation of the Investment Company Act, possible consequences include, but are not limited to, the following: (i) the Commission could apply to a district court to enjoin the violation; (ii) investors in the Issuer or the Co-Issuer could sue the Issuer or the Co-Issuer, as the case may be, and recover any damages caused by the violation; and (iii) any contract to which the Issuer or the Co-Issuer, as the case may be, is a party that is made in, or whose performance involves a, violation of the Investment Company Act would be unenforceable by any party to the contract unless a court were to find that under the circumstances enforcement would produce a more equitable result than non-enforcement and would not be inconsistent with the purposes of the Investment Company Act. Should the Issuer or the Co-Issuer be subjected to any or all of the foregoing, the Issuer or the Co-Issuer, as the case may be, would be materially and adversely affected.

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35. Certain ERISA and Other Considerations. Although no assurances can be made, the conditions and restrictions on transfers of the Class C Notes and Income Notes set forth under "Purchase and Transfer Restrictions" and "Certain ERISA and Other Considerations" are generally intended to prevent the assets of the Issuer from being treated as the assets of a Benefit Plan Investor. If the assets of the Issuer were deemed to constitute the assets of an investing Benefit Plan Investor, subject to the foregoing provisions of ERISA and the Code, then, among other adverse results, (i) transactions involving the assets of the Issuer could be subject to the fiduciary responsibility and prohibited transaction provisions of ERISA and Section 4975 of the Code, (ii) the assets of the Issuer could be subject to ERISA's reporting and disclosure requirements and (iii) the fiduciary causing the Benefit Plan Investor to make an investment in the Class C Notes and Income Notes could be deemed to have delegated its responsibility to manage the assets of the Benefit Plan Investor. See "ERISA Considerations". 36. Consumer Protection Laws Considerations. The loans underlying certain of the Collateral Debt Assets and/or the originators of such loans may be subject to special rules, disclosure and licensing requirements and other provisions of federal and state consumer protection laws, including, among others, the federal Truth-in-Lending Act, Regulation Z, the Real Estate Settlement Procedures Act, the Equal Credit Opportunity Act, the Fair Credit Billing Act, the Fair Credit Reporting Act and related statutes. Failure to comply with these federal or state consumer protection laws and related statutes could subject lenders to specific statutory liabilities. In some cases, this liability may affect the subsequent assignees of such obligations, including the issuer of such Collateral Debt Assets. In particular, a lender's failure to comply with the federal Truth-in-Lending Act could subject such lender and its assignees to monetary penalties and could result in rescission. Numerous class action lawsuits have been filed in multiple states alleging violations of these statutes and seeking damages, rescission and other remedies. These suits have named the originators and current and former holders, including the issuers of related asset-backed securities. If any issuer of a Collateral Debt Asset included in the Collateral were to be named as a defendant in a class action lawsuit, the costs of defending or settling such lawsuit or a judgment could reduce the amount available for distribution on the related Collateral Debt Assets. 37. Emerging Requirements of the European Union. As part of the harmonization of securities markets in Europe, the European Union (the "E.U.") has adopted a directive known as the Prospectus Directive (which provided for mandatory implementation by E.U. member states by July 1, 2005) that regulates offers of securities to the public in E.U. member states and admissions to trading to E.U. regulated markets. The E.U. has also adopted a directive known as the Transparency Directive (which provides that it must be implemented by E.U. member states by January 20, 2007) that will among other things, impose continuing financial reporting obligations on issuers that have certain types of securities admitted to trading on an E.U. regulated market. In addition, the Market Abuse Directive (which provided for mandatory implementation by E.U. member states by October 12, 2004) harmonizes the rules on insider trading and market manipulation in respect of securities admitted to trading on an E.U. regulated market and requires issuers of such securities to disclose any non-public price-sensitive information as soon as possible, subject to certain limited exemptions. The listing of Notes on the Irish Stock Exchange would subject the Co-Issuers to regulation under these directives, although the requirements applicable to the Co-Issuers are not yet fully clarified. The Indenture will not require the Co-Issuers to maintain a listing for any Class of Notes on an E.U. regulated market if compliance with these directives (or other requirements adopted by the European Commission or a relevant E.U. member state) becomes burdensome in the sole judgment of the Collateral Manager. 38. Money Laundering Prevention. Each of the Uniting and Strengthening America by Providing Appropriate Tools Required to Intercept and Obstruct Terrorism Act of 2001 (the "USA PATRIOT Act"), signed into law on and effective as of October 26, 2001, the Proceeds of Criminal Conduct Law (2004 Revision) (enacted in the Cayman Islands) (the "PCCL"), and The Money Laundering Regulations, 2003 of the Cayman Islands (the "MLR") imposes anti-money laundering obligations on different types of financial institutions, including banks, broker-dealers and investment companies, and (in the case of the PCCL and MLR) on the Issuer. The USA PATRIOT Act requires the Secretary of the United States Department of Treasury (the "Treasury") to prescribe regulations to define the types of investment companies subject to the USA PATRIOT Act and the related antimoney laundering obligations. It is not clear whether the Treasury will require entities such as the Co-Issuers to enact anti-money laundering policies. It is possible that the Treasury will promulgate regulations requiring the CoIssuers or the Collateral Manager or other service providers to the Co-Issuers, in connection with the establishment of anti-money laundering procedures, to share information with governmental authorities with respect to investors in the Notes. Such legislation and/or regulations could require the Co-Issuers to implement additional restrictions on

41

In particular. 39. 42 .the transfer of the Notes. The terms of the Notes provide that in certain circumstances in which Holders of Rated Notes or Income Notes are permitted to vote. a failure to cast a vote. As may be required. Each Holder of Notes or Income Notes should pay particular attention to any request for a vote on any matter that may affect its interests. the PCCL and the MLR. the Co-Issuers reserve the right to request such information and take such actions as are necessary to enable it to comply with each of the USA PATRIOT Act. will be treated as a vote in favor of the underlying proposal. including an abstention by the Holder. a failure by a member of the Controlling Class or the Holder of an Income Note to cast a vote in respect to the election of a proposed successor Collateral Manager will in certain circumstances be treated as a vote in favor of the proposed successor. Non-Voting by Holders Treated as Affirmative Vote on Certain Matters.

All of the Ordinary Shares will be issued prior to the Closing Date. 2006 under the Companies Law (2004 Revision) of the Cayman Islands with the registered number 171780 and has an indefinite existence. The Directors may be contacted at the address of the Issuer set forth above. Article 3 of the Co-Issuer's Certificate of Incorporation sets out the objectives of the Co-Issuer. each of whom is an officer of the Administrator. telephone number 302-738-6680. which include the business to be carried out by the Co-Issuer in connection with the issuance of the Rated Notes.O. the authorized share capital of the Issuer will consist of the Ordinary Shares. (ii) entering into and performing its obligations under the Transaction Documents to which it is a party. (iv) pledging the Collateral as security for its obligations in respect of the Rated Notes and otherwise for the benefit of the Secured Parties. (ii) co-issuance of the Rated Notes. P. The Issuer has no indebtedness for borrowed money other than indebtedness incurred pursuant to the Indenture. 2006 under the laws of the State of Delaware with the Registration No. issuing asset backed securities. South Church Street. the Income Note Issuing and Paying Agency Agreement and the other Transaction Documents as described herein. prior business or employees. The Issuer has no prior operating history. George Town. which are unlimited. Puglisi. Newark. The sole director of the Co-Issuer is Donald Puglisi who is also the President. Secretary and Treasurer of the Co-Issuer. Cayman Islands. 43 . was registered on July 31. an exempted company incorporated with limited liability. holding and disposing of Collateral Debt Assets and investing in Eligible Investments. 850 Library Avenue. and (iii) other activities incidental to the foregoing and permitted by the Indenture. The Co-Issuer The Co-Issuer was incorporated on July 28. The directors ("Directors") of the Issuer are Phillip Hinds and Richard Ellison. The activities of the Issuer will be limited under the Indenture to (i) acquiring. The Co-Issuer has no prior operating history. Donald Puglisi may be contacted at the address of the Co-Issuer.THE ISSUER AND THE CO-ISSUER The Issuer The Issuer. Grand Cayman. The Co-Issuer will not have any substantial assets and will not pledge any assets to secure the Rated Notes. among other things. Suite 204. The Co-Issuer was established as a special purpose vehile for the purpose of. cash flow derived from the Collateral securing the Rated Notes will be the Issuer's only source of cash. (iii) issuing and selling the Notes. Box 1093GT. Delaware 19711. The activities of the Co-Issuer will be limited to (i) issuance of its common stock. On the Closing Date. prior business or employees. The Issuer was established as a special purpose vehicle for the purpose of issuing asset-backed securities. (v) issuance of the Ordinary Shares and (vi) other activities incidental to the foregoing. 4936430 and its registered office is at Donald J. The Issuer may incur debt in the future only in compliance with and pursuant to the terms of the Indenture. Clause 3 of the Issuer's Memorandum of Association sets out the objectives of the Issuer. telephone number 345945-7099. Queensgate House. The registered office of the Issuer is at the offices of Maples Finance Limited.

................... The Co-Issuer has no indebtedness for borrowed money other than indebtedness incurred pursuant to the Indenture and described herein......500...................500........... Capitalization of the Co-Issuer The Co-Issuer will be capitalized only to the extent of its common equity of U........................................... None of the Class A-1R Notes are expected to be funded on the Closing Date............ Income Notes ............ or upon 14 days' prior written notice upon the occurrence of certain events as set out in the Administration Agreement in the case of termination...........250 ______________________ 1 Represents Aggregate Class A-1R Commitment....... Grand Cayman...... South Church Street..... Ordinary Shares ...000......................................Capitalization of the Issuer The Issuer's expected initial capitalization and indebtedness on the Closing Date............ Class A-1T2 Notes. The Co-Issuer may incur debt in the future only in compliance with and pursuant to the terms of the Indenture...................000 $ 13....000.....000............. The Co-Issuer will have no assets other than its equity capital and will have no debt other than as co-issuer of the Rated Notes... but the outstanding balances of the Class A-1R Notes are expected to increase or decrease from time to time as described herein.... Class A-2 Notes .........................$100 which will be legally owned and held in charitable trust by Maples Finance Limited as the Share Trustee...... Amount (USD) $100.....................000 $780....... as share trustee (the "Share Trustee").. Such functions include communications with the holders of the Ordinary Shares and the general public and other services and providing the Issuer with its registered office address................. the Issuer will promptly appoint a successor Administrator.... Class C Notes.000..... 44 ...........000 $ 27..................S...........000 $ 15.. Total Capitalization ...000........................ in the case of termination.............O......................... The Administrator Certain administrative functions in the Cayman Islands will be performed on behalf of the Issuer by Maples Finance Limited (the "Administrator").......... All of the Issuer's issued Ordinary Shares are legally owned by Maples Finance Limited... Total Debt...... among other things...000 $100.... Total Equity........ In consideration of the foregoing.................. in the case of resignation..... Class B Notes............................. P.... or to the Administrator.. The Administrator's address is Maples Finance Limited..............000. The Administrator provides similar services to various other Cayman Islands entities........................... and will be held on the terms of a trust for the benefit of one or more charitable organizations in the Cayman Islands under the terms of a declaration of trust... The Share Trustee will have no beneficial interest in and derive no benefit other than its fees from its holding of the Ordinary Shares........000 $ 250 $ 250 $1........ Upon the occurrence of any such event........ Class A-4 Notes ........ Cayman Islands.....................................000.000.......000 $ 90.................. The Administrator may resign or be removed upon 3 months' prior written notice to the Issuer.... agree not to dispose of or otherwise deal with the Ordinary Shares........ together with the Issuer's issued Ordinary Shares under the terms of the declaration of trust described above.. after giving effect to the issuance of the Notes and the Ordinary Shares is set forth below: Class A-1R Notes ..501..000 $ 10...................................................... Queensgate House......... Under the terms of the declaration of trust.000 $780.... Class A-1T1 Notes......... the Administrator will receive various fees and other charges payable by the Issuer at rates agreed upon from time to time plus expenses........................ Class A-3 Notes ........ Retained Earnings... Box 1093GT.....000 1 $395.......000 $30...... the Share Trustee will........ George Town.......................

Under the terms of the Indenture. the Indenture and the Income Note Issuing and Paying Agency Agreement. (v) fifth. to pay any outstanding balance of the Class A-2 Notes. Class A-3 Notes. to pay any outstanding balance of the Class A-4 Notes. Class A-2 Notes. the Collateral Principal Collections will be used to pay principal of the Class A-1R Notes (and deposits into the Synthetic Reserve Account). Class A-2 Notes. the Class B Notes.g. the Class A-1R Notes and the Class A-1T1 Notes are Senior to the Class A-1T2 Notes. and. secured as described below. On each Quarterly Payment Date on which the Pro Rata Payment Conditions are not satisfied. the Class A-4 Notes.DESCRIPTION OF THE NOTES The Rated Notes will be issued by the Co-Issuers pursuant to. the Class C Notes with (a) each Class of Rated Notes (other than the Class C Notes) in such list being "Senior" to each other Class of Rated Notes that follows such Class of Notes in such list (e. Class A-2 Notes. No payment of interest on any Class of Rated Notes will be made until all accrued and unpaid interest on the Rated Notes of each Class that is Senior to such Class and that remains outstanding has been paid in full. Class A-2 Notes. and qualified in its entirety by reference to. no payment of principal of any Class of Rated Notes will be made until all principal of. pro rata. Principal of the Class C Notes may be paid from Collateral Interest Collections prior to the payment of principal of more Senior Classes of Secured Notes if either of the Class C Coverage Tests is not satisfied as of the relevant Calculation Date. and will be subject to and secured pursuant to. the payment of principal of the Rated Notes and the relative order of seniority of payment of each Class of Rated Notes is as follows: (i) first. See "The Indenture and the Income Note Issuing and Paying Agency Agreement — Additional Issuance". the Rated Notes of each Class that is Senior to such Class and that remain outstanding have been paid or redeemed in full. Class A-3 Notes. Class B Notes and Class C Notes) and (b) each Class of Notes (other than the Class A1R Notes and the Class A-1T1 Notes) in such list being "Subordinate" to each other Class of Notes that precedes such Class of Notes in such list (e. (iv) fourth. the Indenture and the Income Note Issuing and Paying Agency Agreement. So long as any Coverage Test applicable to the Class A Notes or the Class B Notes remains unsatisfied. (a) to pay any outstanding balance of the Class A-1R Notes. 45 . (vi) sixth. to fund the Synthetic Reserve Account until the amount credited thereto equals the Aggregate CDS Asset Notional Amount. the Eligible Investments and substantially all of the other assets and property of the Issuer comprising the Collateral to secure the Co-Issuers' obligations under the Rated Notes and as otherwise specified by the Indenture. Except as specified in the following paragraph and as otherwise described herein. Class A-1T1 Notes and Class A-1R Notes). and all accrued and unpaid interest on. second. See "— Priority of Payments". and (c) to pay any outstanding balance of the Class A-1T1 Notes. the Class C Notes are Subordinate to the Class B Notes. Rated Notes Status and Security The Rated Notes will be limited recourse debt obligations of the Co-Issuers. This summary does not purport to be complete and is subject to.. the provisions of the Notes. The Income Notes will be issued by the Issuer pursuant to the Income Note Issuing and Paying Agency Agreement and will not be secured. the Class A-4 Notes. Class A-3 Notes. Class A-4 Notes. sixth. third. pro rata. The following summary describes certain provisions of the Notes.g. to pay any outstanding balance of the Class A-1T2 Notes. In the Indenture. eighth. the Indenture. the Class B Notes and the Class C Notes on the Pro Rata Payment Basis. to pay any outstanding balance of the Class A-1T1 Notes. Class A-1T1 Notes. to pay any outstanding balance of the Class B Notes and. a perfected security interest in the Collateral Debt Assets. the Issuer will grant to the Secured Parties. On each Quarterly Payment Date on which the Pro Rata Payment Conditions are satisfied. to pay any outstanding balance of the Class C Notes. will have the benefit of. first. fourth. to pay any outstanding balance of the Class A-3 Notes. Class A-1T2 Notes. the Co-Issuers covenant not to issue additional debt or equity securities except the issuance of additional Notes in certain limited circumstances. Class A-3 Notes. Class A-1R Notes (and deposits into the Synthetic Reserve Account) and Class A-1T1 Notes. any such payment permanently reducing the Aggregate Class A-1R Commitment. any such payment permanently reducing the Aggregate Class A-1R Commitment. and (vii) seventh. Collateral Principal Collections will be used. (iii) third. seventh. Class A-1T2 Notes. (b) to the extent that the Aggregate Class A-1R Commitment has not been permanently reduced to zero. (ii) second. Class A-4 Notes.. fifth. Class A-1T2 Notes.

The Class A-3 Notes will bear interest at a per annum rate (the "Class A-3 Note Interest Rate") for each Interest Period equal to (a) three-month LIBOR for such Interest Period plus (b) 0. The Class A-1T1 Notes will bear interest at a per annum rate (the "Class A-1T1 Note Interest Rate") for each Interest Period equal to (a) one-month LIBOR (determined as described herein) for such Interest Period plus (b) 0. The Class A-1T2 Notes will bear interest at a per annum rate (the "Class A-1T2 Note Interest Rate") for each Interest Period equal to (a) one-month LIBOR (determined as described herein) for such Interest Period plus (b) 0. Interest on the Rated Notes Subject to the availability of funds and to the Priority of Payments. The Class B Notes will bear interest at a 46 . amounts distributed in respect of the Class A-1 Notes on any prior Monthly Payment Date during such Due Period) and (ii) any such amounts received in prior Due Periods that are not disbursed on a previous Monthly Payment Date or Quarterly Payment Date. the Class A-4 Notes. the Class B Notes and the Class C Notes and to distributions on the Income Notes. Periodic Interest on each Class of Rated Notes will accrue with respect to each related Interest Period at the Applicable Periodic Interest Rate. The interest that will be payable on the Rated Notes of each Class on each Quarterly Payment Date will be the interest that has accrued during the related Interest Period on the aggregate principal amount of the Outstanding Notes of each Class after giving effect to the aggregate payments of principal made on all previous Quarterly Payment Dates (or. the obligations of the Co-Issuers to pay such deficiency will be extinguished. and ending on the Stated Maturity Date or an earlier Redemption Date and (ii) other Classes of Notes and the Income Notes will bear interest from the Closing Date and such interest will be paid quarterly in arrears on the 5th day of each January.23%. (i) the Class A-1 Notes will bear interest from the Closing Date and such interest will be payable monthly in arrears on the 5th day of each month (each. commencing January 5. Following liquidation of the Collateral.50%. a "Monthly Payment Date"). the Class A-3 Notes. The Class A-4 Notes will bear interest at a per annum rate (the "Class A-4 Note Interest Rate") for each Interest Period equal to (a) three-month LIBOR for such Interest Period plus (b) 0. April. The Class A-2 Notes will bear interest at a per annum rate (the "Class A-2 Note Interest Rate") for each Interest Period equal to (a) three-month LIBOR (determined as described herein) for such Interest Period plus (b) 0. if such date is not a Business Day. the next Business Day (each. The Class A-1R Notes will bear interest at a per annum rate (the "Class A-1R Note Interest Rate") for each Interest Period equal to (a) one-month LIBOR (determined as described herein) for such Interest Period plus (b) 0. 2006 (the "Initial Monthly Payment Date").40%. a "Quarterly Payment Date"). the Class A-4 Notes. and payments of interest on the Class C Notes will be senior to distributions on the Income Notes. payments of interest on and principal of the Class A-3 Notes will be senior to payments of interest on and principal of the Class A-4 Notes. payments of interest on the Class A-2 Notes will be senior to payments of interest on and principal of the Class A-3 Notes. in the case of the Due Period related to a Quarterly Payment Date.46%.23%. to the extent that the proceeds of such liquidation are insufficient to meet payments due in respect of the Rated Notes and expenses of the Co-Issuers.23%. Except as otherwise described herein. the Class B Notes and the Class C Notes and to distributions on the Income Notes. the Class B Notes and the Class C Notes and to distributions on the Income Notes. and ending on the Stated Maturity Date or an earlier Redemption Date. The aggregate amount that will be available for payments on the Rated Notes and of certain expenses of the Co-Issuers on any Quarterly Payment Date or Monthly Payment Date will be the sum of (i) the total amount of payments and collections in respect of the Collateral (including any payments received under the Synthetic Assets and the Hedge Agreements and the proceeds of the sale of any Collateral) received during the related Due Period (excluding Collateral Principal Collections used to purchase Substitute Collateral Debt Assets and amounts transferred to the Synthetic Asset Collateral Account) (less. The interest that will be payable on the Class A-1 Notes on each Monthly Payment Date (including each Monthly Payment Date that is also a Quarterly Payment Date) will be the interest that has accrued during the related Interest Period on the aggregate principal amount of the Class A-1 Notes after giving effect to the aggregate payments of principal made on all previous Monthly Payment Dates in accordance with the Priority of Payments. payments of interest on the Class B Notes will be senior to payments of interest on and principal of the Class C Notes and to payments on the Income Notes. payments of fees and interest on the Class A-1 Notes will be senior to payments of interest on and principal of the Class A-2 Notes. Monthly Payment Dates) in accordance with the Priority of Payments. payments of interest on and principal of the Class A-4 Notes will be senior to payments of interest on and principal of the Class B Notes and the Class C Notes and to distributions on the Income Notes. in the case of the Class A-1 Notes. commencing November 6.Payments of interest on and principal of the Rated Notes will be made solely from the proceeds of the Collateral in accordance with the Priority of Payments. 2007 (the "Initial Quarterly Payment Date"). July and October and.

per annum rate (the "Class B Note Interest Rate") for each Interest Period equal to (a) three-month LIBOR for such Interest Period plus (b) 1.50%. The Class C Notes will bear interest at a per annum rate (the "Class C Note Interest Rate") for each Interest Period equal to (a) three-month LIBOR for such Interest Period plus (b) 3.25%. On each Monthly Payment Date (including each Monthly Payment Date that is also a Quarterly Payment Date) the Holders of the Class A-1R Notes will be entitled to receive an amount (the "Class A-1R Payment Amount") equal to the sum of (i) the product of (x) the outstanding principal amount of the Class A-1R Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-1R Note Interest Rate and (ii) solely during the Interest-Only Period, any Class A-1R Repayment to be paid on such Monthly Payment Date. On each Monthly Payment Date (including each Monthly Payment Date that is also a Quarterly Payment Date) the Holders of the Class A-1T1 Notes will be entitled to receive on account of interest an amount (the "Class A-1T1 Payment Amount") equal to the product of (x) the outstanding principal amount of the Class A-1T1 Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-1T1 Note Interest Rate. On each Monthly Payment Date (including each Monthly Payment Date that is also a Quarterly Payment Date) the Holders of the Class A-1T2 Notes will be entitled to receive on account of interest an amount (the "Class A-1T2 Payment Amount") equal to the product of (x) the outstanding principal amount of the Class A-1T2 Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-1T2 Note Interest Rate. On each Quarterly Payment Date (a) the Holders of the Class A-2 Notes will be entitled to receive on account of interest an amount (the "Class A-2 Payment Amount") equal to the product of (x) the outstanding principal amount of the Class A-2 Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-2 Note Interest Rate, (b) the Holders of the Class A-3 Notes will be entitled to receive on account of interest an amount (the "Class A-3 Payment Amount") equal to the product of (x) the outstanding principal amount of the Class A-3 Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-3 Note Interest Rate, (c) the Holders of the Class A-4 Notes will be entitled to receive on account of interest an amount (the "Class A-4 Payment Amount") equal to the product of (x) the outstanding principal amount of the Class A-4 Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-4 Note Interest Rate, (d) the Holders of the Class B Notes will be entitled to receive on account of interest an amount (the "Class B Payment Amount") equal to the product of (x) the outstanding principal amount of the Class B Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class B Note Interest Rate, (e) the Holders of the Class C Notes will be entitled to receive on account of interest an amount (the "Class C Payment Amount") equal to the product of (x) the outstanding principal amount of the Class C Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class C Note Interest Rate. Each of the Class A-1R Payment Amount, the Class A-1T1 Payment Amount, the Class A-1T2 Payment Amount, the Class A-2 Payment Amount, the Class A-3 Payment Amount, the Class A-4 Payment Amount, the Class B Payment Amount and the Class C Payment Amount is referred herein as a "Payment Amount". The Note Calculation Agent will, with respect to each related Interest Period, determine the Applicable Periodic Interest Rate and will calculate the amount of interest payable in respect of each Class of Rated Notes (each, a "Payment Amount"). For purposes of calculating the Applicable Periodic Interest Rate for each Class of Rated Notes, the Co-Issuers will appoint the Trustee as note calculation agent (in such capacity, the "Note Calculation Agent"). The Note Calculation Agent may be removed by the Issuer at any time. The Issuer will then promptly appoint a replacement Note Calculation Agent. The Note Calculation Agent may not resign its duties without a replacement having been duly appointed. The Payment Amount for each Class of Rated Notes will be calculated with respect to each such Class for the relevant Interest Period by multiplying the Applicable Periodic Interest Rate by the principal amount of the Outstanding Rated Notes of the related Class at the close of business on the day immediately preceding the relevant Quarterly Payment Date, multiplying the resulting figure by the actual number of days in such Interest Period, dividing by 360 and rounding the resulting figure to the nearest U.S.$0.01 (U.S.$0.005 being rounded upwards).

47

LIBOR, for purposes of calculating the Applicable Periodic Interest Rate for the Rated Notes, shall be determined by the Note Calculation Agent in accordance with the following provisions: (i) On the second London Banking Day prior to the commencement of an applicable Interest Period (other than for the initial Interest Period) (each such day, a "LIBOR Calculation Date"), LIBOR for such Interest Period shall equal the rate, as obtained by the Note Calculation Agent, (i) for one-month U.S. Dollar deposits in the case of the Class A-1 Notes and (ii) for three-month U.S. Dollar deposits, in the case of the Class A-2 Notes, the Class A-3 Notes, the Class A-4 Notes, the Class B Notes, the Class C Notes, in each case, based on the rates which appears on Moneyline Telerate Page 3750 or such other page as may replace Moneyline Telerate Page 3750, as of 11:00 a.m. (London time) on such LIBOR Calculation Date as reported by Bloomberg Financial Markets Commodities News. (ii) If on any LIBOR Calculation Date such rate does not appear on Moneyline Telerate Page 3750, the Note Calculation Agent shall determine the arithmetic mean of the offered quotations of the Reference Banks given to leading banks in the London interbank market (i) for one-month U.S. Dollar deposits in the case of the Class A-1 Notes and (ii) for three-month U.S. Dollar deposits, in the case of the Class A-2 Notes, the Class A-3 Notes, the Class A-4 Notes, the Class B Notes, the Class C Notes, in each case, in an amount determined by the Note Calculation Agent by reference to requests for quotations as of approximately 11:00 a.m. (London time) on the LIBOR Calculation Date made by the Note Calculation Agent to the Reference Banks. If on any LIBOR Calculation Date at least two of the Reference Banks provide such quotations, LIBOR shall equal the arithmetic mean of such quotations. If on any LIBOR Calculation Date only one or none of the Reference Banks provides such quotations, LIBOR shall be deemed to be the arithmetic mean of the offered quotations that leading banks in The City of New York selected by the Note Calculation Agent (after consultation with the Collateral Manager) are quoting on the relevant LIBOR Calculation Date (i) for one-month U.S. Dollar deposits in the case of the Class A-1R Notes and (ii) for three-month U.S. Dollar deposits, in the case of the Class A-2 Notes, the Class A-3 Notes, the Class A-4 Notes, the Class B Notes, the Class C Notes, in each case, in an amount determined by the Note Calculation Agent by reference to the principal London offices of leading banks in the London interbank market; provided that if the Note Calculation Agent is required but is unable to determine a rate in accordance with at least one of the procedures provided above, LIBOR shall be LIBOR as determined on the previous LIBOR Calculation Date for the applicable Class or Classes of Notes. As soon as possible after 11:00 a.m. (London time) on each LIBOR Calculation Date, but in no event later than 11:00 a.m. (New York time) on the London Banking Day immediately following each LIBOR Calculation Date, the Note Calculation Agent will calculate LIBOR for the next Interest Period and the Payment Amount payable for such Interest Period in respect of the Outstanding Rated Notes, rounded to the nearest cent, with half a cent being rounded upward, on the related Monthly Payment Date (with respect to the Class A-1 Notes) and the related Quarterly Payment Date (with respect to the Class A-2 Notes, the Class A-3 Notes, the Class A-4 Notes, the Class B Notes, and the Class C Notes) to be given to the Co-Issuers, the Trustee, the Collateral Manager, DTC, the Note Paying Agent and the Irish Paying Agent. The Note Calculation Agent will also specify to the Co-Issuers and the Collateral Manager the quotations upon which the Applicable Periodic Interest Rate for each Class of Rated Notes is based, and in any event the Note Calculation Agent must notify the Co-Issuers and the Collateral Manager before 5:00 p.m. (New York time) on each applicable LIBOR Calculation Date if it has not determined or is not in the process of determining the applicable LIBOR with respect to the applicable Rated Note or Rated Notes and the applicable Payment Amount with respect to the applicable Class of Rated Notes, together with its reasons for the delay. The Note Calculation Agent will cause the Applicable Periodic Interest Rate and the related Payment Amounts applicable for each Class of Rated Notes to be communicated to the Co-Issuers, the Note Paying Agent, the Collateral Manager, the Trustee, DTC and the Irish Paying Agent (so long as any Class of Notes is listed on the Irish Stock Exchange) by the London Banking Day immediately following each applicable LIBOR Calculation Date. The Irish Paying Agent will cause the Applicable Periodic Interest Rate for each applicable Interest Period for the respective Classes of Notes listed on the Irish Stock Exchange, the amount of interest payable on such applicable Notes and each Monthly Payment Date or Quarterly Payment Date, as applicable, to be delivered to the Irish Stock Exchange.

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The determination of the Applicable Periodic Interest Rate and the related Payment Amounts applicable for each Class of Rated Notes by the Note Calculation Agent will (in the absence of manifest error) be final and binding upon all parties. At any time during which any of the Rated Notes are Outstanding, if any of the Coverage Tests is not satisfied as of a Calculation Date, amounts that would otherwise be used (i) for distributions to the Holders of the Income Notes, (ii) for the payment of certain fees and expenses, (iii) in the case of a failure to satisfy either Class A Coverage Test, for interest payments on the Class B Notes and the Class C Notes and (iv) in the case of a failure to satisfy either Class B Coverage Test, for interest payments on the Class C Notes, will instead be applied on the next Quarterly Payment Date in accordance with the Priority of Payments, to the extent necessary to satisfy such Coverage Test as of such Calculation Date or until each Class of Notes has been paid in full: first, to pay in the following order, (a) any Used Advance Swap Amount, any such payment permanently reducing the Advance Swap Notional Amount, and then (b) based on the Advance Swap Allocation Basis, (i) to deposit to the Synthetic Reserve Account, such deposit permanently reducing the Advance Swap Notional Amount to zero, and then (ii) to reduce pro rata, (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero, by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes, second, to pay principal of the Class A-1T2 Notes; third, to pay principal of the Class A-2 Notes; fourth, to pay principal of the Class A-3 Notes; fifth, to pay principal of the Class A-4 Notes; and sixth, with respect to any failure to satisfy the Class B Coverage Tests or the Class C Coverage Tests, as applicable, to pay principal of the Class B Notes. In the event of any failure to satisfy the Class C Coverage Tests, the foregoing order of priority shall be modified to provide for payment first, from Collateral Interest Collections only, to pay principal of the Class C Notes and, following payment of principal of the Class B Notes and from Collateral Principal Collections only, to pay principal of the Class C Notes. So long as any Class A Notes are Outstanding, to the extent that funds are not available in accordance with the Priority of Payments on any Quarterly Payment Date to pay the full amount of interest on the Class B Notes or the Class C Notes, the amount available will be paid and any unpaid amount of interest will be deferred on such Quarterly Payment Date (any such deferred amount, the "Class B Deferred Interest Amount" and the "Class C Deferred Interest Amount", respectively), and such deferred amount will be added to the principal amount of the Class B Notes or the Class C Notes, as the case may be, and paid thereafter in accordance with the Priority of Payments. So long as any Class A Notes are Outstanding, the failure to pay the Class B Cumulative Deferred Interest Amount or the Class C Cumulative Deferred Interest Amount, as the case may be, will not be an Event of Default under the terms of the Rated Notes. See "The Indenture and the Income Note Issuing and Paying Agency Agreement—Events of Default". The Class B Cumulative Deferred Interest Amount will accrue interest, compounded quarterly on each Quarterly Payment Date, at the Class B Note Interest Rate until such Class B Cumulative Deferred Interest Amount is paid in accordance with the Priority of Payments. So long as any Class A Notes or Class B Notes are Outstanding, to the extent that funds are not available in accordance with the Priority of Payments on any Quarterly Payment Date to pay the full amount of interest on the Class C Notes, the amount available will be paid and any unpaid amount of interest will be deferred and the Class C

49

Deferred Interest Amount will be added to the principal amount of the Class C Notes and paid thereafter in accordance with the Priority of Payments. So long as the Class A Notes or Class B Notes are Outstanding, the failure to pay the Class C Cumulative Deferred Interest Amount will not be an Event of Default under the terms of the Rated Notes. See "The Indenture and the Income Note Issuing and Paying Agency Agreement—Events of Default". The Class C Cumulative Deferred Interest Amount will accrue interest, compounded quarterly on each Quarterly Payment Date, at the Class C Note Interest Rate until such Class C Cumulative Deferred Interest Amount is paid in accordance with the Priority of Payments. Interest will cease to accrue on each Rated Note or, in the case of a partial repayment, on such part, from the date of repayment or the Stated Maturity Date of each Rated Note unless payment of principal is improperly withheld or unless default otherwise occurs with respect to such payments of principal. See "—Principal of the Rated Notes". To the extent lawful and enforceable, interest on Defaulted Interest with respect to any Rated Note will accrue at the Applicable Periodic Interest Rate of such Rated Note until paid as provided herein. Principal of the Rated Notes The Rated Notes will mature on the Stated Maturity Date, unless previously redeemed or repaid as described herein. During the Interest-Only Period, the Collateral Manager is generally expected to reinvest Collateral Principal Collections to acquire Substitute Collateral Debt Assets. See "Security for the Rated Notes—Substitute Collateral Debt Assets and Reinvestment Criteria". During the Interest-Only Period, the Collateral Manager, to the extent that it determines in good faith that suitable investments in Collateral Debt Assets are not available, may designate on any Quarterly Payment Date all or a portion of the Collateral Principal Collections available in accordance with the Priority of Payments to make payments of principal on the Rated Notes, (A) if the Pro Rata Payment Conditions are satisfied, then to pay (a) any Used Advance Swap Amount, any such payment permanently reducing the Advance Swap Notional Amount, and then (b) based on the Advance Swap Allocation Basis, (i) a deposit to the Synthetic Reserve Account, such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero, and then (ii) to reduce pro rata, (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero, by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes, and then (c) to pay any outstanding balance of the Class A-1T2 Notes, and then (d) to pay any outstanding balance of the Class A-2 Notes, and then (e) to pay any outstanding balance of the Class A-3 Notes, and then (f) to pay any outstanding balance of the Class A-4 Notes, and then (g) to pay outstanding balance of the Class B Notes, and then (h) to pay any outstanding balance of the Class C Notes. On each Quarterly Payment Date after the Interest-Only Period, subject to the Priority of Payments and so long as each of the Coverage Tests (as described under "Description of the Notes—The Coverage Tests") is satisfied, an amount equal to the lesser of (i) the Collateral Principal Collections and (ii) the amount of funds remaining in the Collection Account (in each case after reduction for any amounts identified for reinvestment pursuant to clause (B)(21) of the Priority of Payments) will be applied to redeem the Rated Notes in accordance with and subject to the Priority of Payments. At any time during which any of the Coverage Tests are not satisfied, Collateral Interest Collections and, then, Collateral Principal Collections will be applied, first, to pay in the following order, (a) any Used Advance Swap Amount, any such payment permanently reducing the Advance Swap Notional Amount, and then (b) based on the Advance Swap Allocation Basis, (i) to deposit to the Synthetic Reserve Account, such deposit permanently reducing the Advance Swap Notional Amount to zero, and then (ii) to reduce pro rata, (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero, by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes; 50

first. subject to compliance with certain borrowing conditions specified therein. or (A) during the Interest-Only Period.second. subject to certain specified conditions. and sixth. from Collateral Interest Collections only. with respect to any failure to satisfy the Class B Coverage Tests or the Class C Coverage Tests. to pay principal of the Class A-1T2 Notes. to pay principal of the Class A-3 Notes. in an aggregate principal amount at any one time outstanding of up to the full amount of its respective Class A-1R Commitment. fifth. the "Class A-1R Note Agent") and the Holders from time to time of the Class A-1R Notes. to make funds available for payments to the CDS Asset Counterparties under the CDS Assets. to the Collection Account in order to pay Floating Amounts or amounts payable in respect of Credit Events on the Synthetic Assets or termination events before drawing on the Class A-1R Commitment in order to fund any such amounts). a "Class A-1R Advance"). Any payment of principal of the Rated Notes of any Class will be made by the Note Paying Agent on a pro rata basis among the Holders of Rated Notes of such Class according to the respective unpaid principal amounts thereof outstanding immediately prior to such payment. In the event of any failure to satisfy the Class C Coverage Tests. fourth. as applicable. each Holder of the Class A-1R Notes will be obligated to make advances to the Issuer upon request (each. to pay principal of the Class A-4 Notes. in the Synthetic Asset Collateral Account. to pay principal of the Class C Notes and. LaSalle Bank National Association. dated as of the Closing Date (the "Class A-1R Note Purchase Agreement"). if any. in the Synthetic Reserve Account. Class A-1R Note Fundings Class A-1R Commitments The Class A-1R Notes will be a revolving Class of Notes under which amounts may be borrowed. the foregoing order of priority shall be modified to provide for payment first. to apply Class A-1R Advances solely to 51 . The portion of the Class A-1R Advance applicable to each Class A-1R Note shall be the pro rata share of the unfunded Class A-1R Commitments represented by such Class A-1R Note. Subject to satisfaction of the conditions precedent to requesting a Class A-1R Advance and prior to the Class A-1R Commitment Termination Date. repaid and re-borrowed prior to the Class A-1R Commitment Termination Date. and (B) if an Event of Default has occurred and is continuing at the end of the Interest-Only Period but prior to a Class A-1R Commitment Termination Date (to the extent that such Event of Default is not also a Class A-1R Commitment Termination Event). and second. following payment of principal of the Class B Notes and from Collateral Principal Collections only. among the Issuer. as Class A-1R Note Agent (in such capacity. to pay principal of the Class C Notes. amounts may be borrowed. third. Pursuant to the Class A-1R Note Purchase Agreement. to fund acquisitions (or hold as Principal Proceeds to be used for anticipated acquisitions) by the Issuer of cash-purchased Collateral Debt Assets. including in conjunction with the payment of the Aggregate CDS Asset Notional Amount upon a cash or physical settlement of Synthetic Assets or any termination payment. repaid and re-borrowed through Class A-1R Advances solely for the following purposes: (i) (ii) until the end of the Interest-Only Period. to pay principal of the Class B Notes. to pay principal of the Class A-2 Notes. on deposit. initial payment or Cash Settlement Payment (provided that the Issuer shall first release amounts.

the Collateral Manager. Interest will accrue on any portion of the Class A-1R Commitment Fee that is not paid when due at the Class A-1R Note Interest Rate.13% calculated on the average daily Aggregate Class A-1R Undrawn Amount during such Interest Period on the basis of a 360-day year and the actual number of days elapsed. if the unused 52 .$1 in excess thereof) or. Class A-1R Advances shall be applied solely to fund payments in respect of Synthetic Assets acquired or entered into prior to the date of the Event of Default. will not exceed the Aggregate Class A-1R Commitment.fund payments in respect of Synthetic Assets acquired or entered into prior to the date of the Event of Default. acting pursuant to the Collateral Management Agreement) request. will deliver a request to the Class A-1R Note Agent (with a copy to the Trustee) for such Class A-1R Advance. Class A-1R Advances (each date of any such Class A-1R Advance. Class A-1R Advances On any Business Day prior to the Class A-1R Commitment Termination Date. Interest will be payable to the respective Holders of the Class A-1R Notes proportionally based on the outstanding principal amounts of their respective Class A-1R Notes. A commitment fee (the "Class A-1R Commitment Fee") will accrue on each day on which there is any undrawn amount of the Aggregate Class A-1R Commitment (the "Aggregate Class A-1R Undrawn Amount") during each Interest Period at a rate per annum equal to 0. the Class A-1R Noteholders will be obligated to make Class A-1R Advances to the Issuer to fund the Issuer's obligations to Synthetic Asset Counterparties. Any interest and fees due and owing on the Class A-1R Notes will be paid pari passu with payments of interest on the Class A-1T1 Notes and prior to any payments of interest on any other Class of Notes in accordance with the Priority of Payments.S. and the Holders of the Class A-1R Notes. the Issuer may (at the direction of the Collateral Manager. a "Class A-1R Advance Date").S. Not later than 11:00 a. (New York City time) on the third Business Day prior to the funding date for a Class A-1R Advance. Interest on the outstanding principal amount of the Class A-1R Notes will be payable in arrears on each Monthly Payment Date. subject to and in accordance with the Priority of Payments on a basis that is pari passu with payments of interest on the Class A-1T1 Notes and senior to payments of interest on any other Class of Notes. provided that the following borrowing conditions are satisfied: (i) (ii) the aggregate outstanding amount of the Class A-1R Notes. Interest on the outstanding principal amount from time to time of the Class A-1R Notes will accrue on each day which any Class A-1R Advances are outstanding during each Class A-1R Interest Period at the Class A-1R Note Interest Rate for such Class A-1R Interest Period and shall be payable on the Monthly Payment Date next following such Class A-1R Interest Period in accordance with the Priority of Payments. after giving effect to such Class A-1R Advance. if so requested.000 (and integral multiples of U. The Class A-1R Commitment Fee will be payable in arrears on each Quarterly Payment prior to the Class A-1R Commitment Termination Date and will rank pari passu with payments of interest on the Class A-1R Notes. Except under certain limited circumstances specified in the Class A-1R Note Purchase Agreement. Each Class A-1R Advance shall be in an aggregate amount of at least U. The Class A-1R Note Interest Rate applicable to each Class A-1R Interest Period shall be the rate as determined and in effect on the LIBOR Calculation Date. After the occurrence and during the continuation of an Event of Default at the end of the Interest-Only Period but prior to a Class A-1R Commitment Termination Date (to the extent that such Event of Default is not also a Class A-1R Commitment Termination Event). shall advance. Interest on the Class A-1R Notes will be computed on the basis of a 360-day year and the actual number of days elapsed.m. and each other applicable condition to such Class A-1R Advance set forth in the Class A-1R Note Purchase Agreement is satisfied.$500. Any such request will include: (a) the Class A1R Advance Date and (b) the amount of such Class A-1R Advance. on behalf of the Issuer.

S.000. The Issuer (or the Collateral Manager acting on its behalf) shall have the right to repay the outstanding principal amount of the Class A-1R Notes.$1. or on any Quarterly Payment Date (or other date subject to the payment of any applicable Breakage Costs associated with such repayment on a date other than a Quarterly Payment Date). The Trustee shall (at the direction of the Collateral Manager) withdraw proceeds of any Class A-1R Advance from the Class A-1R Notes Allocation Account in order to make payments in respect Synthetic Assets. See "Description of the Notes—Priority of Payments". the Class A-1R Advance Date specified in such notice. as provided in the Indenture and. The aggregate principal amount of any partial voluntary repayment of the Class A-1R Notes (taken as a whole).000 in excess thereof) or. 53 . Reductions of the Aggregate Class A-1R Commitment The Aggregate Class A-1R Commitment will be permanently and irrevocably reduced from time to time. make deposits to the Synthetic Asset Collateral Account with respect to Synthetic Assets that the Issuer has entered into. the Issuer (or the Collateral Manager acting on its behalf) may. Such repayment shall not reduce the Aggregate Class A-1R Commitment. will be at least U.S. Class A-1R Advances and deposits into the Synthetic Asset Collateral Account and the Synthetic Reserve Account on such date).000 (and integral multiples of U. will generally be made prior to other payments by the Issuer pursuant to the Priority of Payments. by the amount (if any) by which the Synthetic Asset Capacity Amount is greater than zero (or any lesser amount) (in each case after giving effect to any repayment. to the extent that the Issuer. plus accrued interest. subject to availability to the Issuer of amounts constituting Collateral Principal Collections. Repayments of Class A-1R Notes Payments on the Class A-1R Notes.S. designated by the Issuer. such lesser amount. The Class A-1R Noteholders will fund such Class A1R Advance on the third Business Day following the Business Day on which such request is received by the Class A-1R Note Agent or. Promptly following receipt of a Class A-1R Advance request.000. so long as a Class A-1R Termination Event has not occurred. the Rated Notes of each other Class that is Senior to such Class and that remain outstanding have been paid or redeemed in full. If an Event of Default has occurred and is continuing prior to the end of the Interest-Only Period. reduce the Aggregate Class A-1R Commitment by the lesser of (i) the Class A-1R Note Undrawn Amount and (ii) the amount (if any) by which the Synthetic Asset Capacity Amount is greater than zero (or any lesser amount) (in each case after giving effect to any repayment.S. In addition. provided that no Event of Default has occurred nor is continuing.portion of the Aggregate Class A-1R Commitment is less than U. (i) pays any outstanding principal amount of the Class A-1R Notes (except as provided in the Indenture and the Class A-1R Note Purchase Agreement) or (ii) funds the Synthetic Asset Collateral Account and the Synthetic Reserve Account in an amount equal to the Aggregate CDS Asset Notional Amount.$500. in whole or in part. Class A-1R Advances and deposits into the Synthetic Asset Collateral Account and the Synthetic Reserve Account on such date). the Class A-1R Note Undrawn Amount will be permanently and irrevocably reduced to zero. and all accrued and unpaid interest on. with respect to a Monthly Payment Date. upon notice to the Class A-1R Note Agent. acquire cash-purchased Collateral Debt Assets or to transfer amounts to the Collection Account for distribution as Collateral Principal Collections in accordance with the Priority of Payments as described below under "Security for the Secured Notes—The Accounts". the Class A-1R Note Agent will forward a copy of such request to each Class A-1R Noteholder (with a copy to the Trustee). Any Class A-1R Advance will be made pro rata according to the unused portion of the Class A-1R Commitment of each Class A-1R Noteholder.$500. on any date prior to the Class A-1R Commitment Termination Date. the Aggregate Class A-1R Commitment shall be reduced.$500. on any Monthly Payment Date occurring during the Interest-Only Period (or other date subject to the payment of any applicable Breakage Costs associated with such repayment on a date other than a Monthly Payment Date). Except as described in the Priority of Payments or otherwise provided herein. if later. as set forth in the Priority of Payments. such lesser amount. if the Aggregate Outstanding Amount of the Class A-1R Notes is less than U. no payment of principal of any Class of Rated Notes that is Subordinate to the Class A-1R Notes will be made until the Aggregate Class A-1R Commitment (and any outstanding balance of the Class A-1R Notes) are permanently reduced to zero and all principal of. On the last day of the Interest-Only Period.

and amounts held therein shall be applied by the Trustee to fund such Class A-1R Advances. deposit or similar obligations of such Class A-1R Noteholder (or prospective transferee) are rated at least "AA-" by S&P. 54 . then the Issuer will promptly cause such Holder to transfer its rights and obligations in respect of the Class A-1R Notes to a Person that does satisfy the Class A-1R Noteholder Ratings Requirement. but will not be considered drawn for purposes of calculating interest on the related Class A-1R Notes and will not accrue interest at the Class A-1R Note Interest Rate. If any Holder of Class A-1R Notes defaults in its obligation to fund any portion of a Class A-1R Advance. deposit or similar obligations of such Class A-1R Noteholder (or prospective transferee) are rated "P1" by Moody's and at least "A-1+" by S&P. for so long as such Holder has not been replaced as provided in the Indenture. or (ii) the obligations of such Class A-1R Noteholder (or prospective transferee) under the Class A-1R Notes are guaranteed (pursuant to a guarantee which complies with the then-current S&P criteria regarding guarantees) by an entity that meets the criteria for Class A-1R Noteholders set forth in (i) above. The Holder of any Class A-1R Notes being replaced will bear all administrative and similar costs of effecting such a transfer. in the event that any Holder of Class A-1R Notes fails to satisfy the Class A-1R Noteholder Ratings Requirement for a period of more than 30 days and is not replaced. So long as any Holder remains subject to a Class A-1R Mandatory Advance. provided that if such shortterm debt. deposit or similar obligations of such Class A-1R Noteholder (or prospective transferee) are not rated by S&P. The "Class A-1R Noteholder Ratings Requirement" will be satisfied on any date of determination with respect to any Holder of Class A-1R Notes (or prospective transferee thereof) if: (i) the short-term debt. such Holder will be obligated to fully and immediately fund any undrawn portion of its Class A-1R Commitment (a "Class A-1R Mandatory Advance"). Any Class A-1R Mandatory Advance will be deposited into the relevant Holder Subaccount. or interest on. In addition. shall be remitted to an account held by the Trustee in respect of such Holder (each. any Class A-1R Note held by such Holder. the pro rata share of such advance will be withdrawn from the Holder Subaccount. Upon any future Class A-1R Advance with respect to such Class A-1R Notes. a "Class A-1R Noteholder Subaccount") to secure the obligation of such Holder to fund Class A-1R Advances. If any Holder of Class A-1R Notes (i) fails to satisfy the Class A-1R Noteholder Ratings Requirement prior to the Class A-1R Commitment Termination Date or (ii) defaults in its obligation to fund its portion of any Class A-1R Advance. any payments of principal of. and any payments of a Class A-1R Commitment Fee otherwise payable to such Holder. each Class A-1R Holder and transferee of a Class A-1R Note will be required at all times to satisfy the Class A-1R Noteholder Ratings Requirement. Any Class A-1R Mandatory Advance. the related Class A-1R Note. or interest on.Class A-1R Holder Eligibility Prior to the Class A-1R Commitment Termination Date. From and after the date on which amounts are deposited into a Holder Subaccount and until the earliest to occur of: (i) the assignment by such Holder of all of its rights and obligations under its Class A-1R Notes and the Class A-1R Note Purchase Agreement to an assignee meeting the Class A-1R Noteholder Ratings Requirement. while on deposit in the Holder Subaccount prior to inclusion in a Class A-1R Advance. unless and until any such amount is withdrawn from the Holder Subaccount to fund a Class A-1R Advance. the provisions of the foregoing paragraph will be applicable to the treatment of any payments of principal of. but will not be required to pay a premium or accept a discount (other than a premium or discount arising as a result of changes in the market price of the Class A-1R Notes) in connection with another party acquiring such Holder's Class A-1R Notes. the long-term debt. will continue to accrue the Class A-1R Commitment Fee.

and (iii) the Class A-1R Commitment Termination Date. at the direction of the Collateral Manager. at the direction of the Holders of a SuperMajority of the Income Notes (a "Tax Redemption"). will arrange for the sale of the Collateral Debt Assets in accordance with the Indenture. described under "—Redemption Procedures" and "—Auction Call Redemption" below. Investment earnings received during each Due Period in respect of Class A-1R Eligible Investments in a Class A-1R Noteholder's Holder Subaccount will be paid directly to such Class A-1R Noteholder on the related Monthly Payment Date (unless applied to fund a shortfall in such Class A-1R Noteholders' obligation to fund a Class A-1R Advance). the obligation of such Class A-1R Noteholder to fund any Class A-1R Advance will be satisfied by (i) the withdrawal by the Trustee of funds from such Holder Subaccount (with prior notice thereof to the Class A-1R Agent). on the Quarterly Payment Date following each Auction Date thereafter (such redemption. and subject to the satisfaction of the conditions. and in connection with. the Trustee. will be at least equal to the sum of (a) all amounts due under the Advance Swap plus (b) the aggregate Redemption Prices of the Rated Notes plus (c) any accrued but unpaid fees and expenses of the Issuer pursuant to clauses (B)(1) through (B)(6) and clauses (B)(22) through (B)(26) of the Priority of Payments (including any termination payments payable by the Issuer resulting from the termination of the Hedge Agreements. provided that (i) the Sale Proceeds resulting from the liquidation of the Collateral Debt Assets.(ii) the delivery by such assignee of a certification in writing that such assignee satisfies the Class A-1R Noteholder Ratings Requirement. all in accordance with the terms of and for the purposes set forth in the Class A-1R Note Purchase Agreement and in the Indenture. (ii) all payments of principal with respect to such Class A-1R Advance will be made by depositing the related funds into such Holder Subaccount. the "Class A-1R Eligible Investments") at the written direction of the related Holder (which may be in the form of standing instructions). and (iii) the Trustee will withdraw funds (with prior notice thereof to the Class A-1R Note Agent) from such Holder Subaccount at the time of. Early Redemption The Rated Notes will be subject to redemption in whole but not in part at their respective Redemption Prices in the following circumstances: (1) on or after the Quarterly Payment Date occurring in October 2009. such funds will remain uninvested. an "Auction Call Redemption"). the Cashflow Swap Agreements and the Synthetic Assets pursuant 55 . in consultation with the Collateral Manager. together with the balance of all Eligible Investments and cash held by the Issuer and amounts to be released from the Synthetic Asset Collateral Account in conjunction with the termination of the Synthetic Assets. the making of any such Class A-1R Advance or any payment described in the foregoing clauses of this paragraph and will deposit funds (with prior notice thereof to the Class A-1R Note Agent) into such Holder Subaccount. (2) on any Quarterly Payment Date following the occurrence and during the continuation of a Tax Event in an amount satisfying the Tax Materiality Condition. and (3) automatically and without any direction by any person or entity. in accordance with the procedures. Redemption Procedures In the event of a Redemption of the Notes in whole. together with such supporting evidence as shall be reasonably satisfactory to the Trustee and the Issuer. in each case. with the approval of the Holders of a Super-Majority of the Income Notes (an "Optional Redemption"). In the absence of such instructions. The Trustee will invest any amounts on deposit in any Holder Subaccount in Eligible Investments maturing on the day following the date of acquisition thereof (collectively. (i) on or after the earlier of (a) the Quarterly Payment Date occurring in October 2014 and (b) the Quarterly Payment Date on which the Collateral Principal Balance is less than or equal to 10% of the Collateral Principal Balance as of the Effective Date and (ii) if the Rated Notes have not been redeemed in full on the Quarterly Payment Date referred to in the foregoing clause (i).

to pay the Total Redemption Amount. to each Holder of Notes at such Holder's address in the Note Register maintained by the Note Registrar in accordance with the provisions of the Indenture and to the Collateral Manager. the Collateral Manager. together with the Eligible Investments maturing on or prior to the scheduled Redemption Date and any termination payments received by the Issuer under any Hedge Agreements on or prior to the scheduled Redemption Date. or (ii) prior to selling any Collateral Debt Assets or any other Collateral. Any notice of redemption may be withdrawn by the Issuer up to the fourth (4th) Business Day prior to the Redemption Date by written notice to the Trustee. in form satisfactory to the Trustee. in form satisfactory to the Trustee. to make such a redemption. the Collateral Manager has furnished to the Trustee evidence. to sell. and in each case. that the Collateral Manager on behalf of the Issuer has entered into a binding agreement or agreements with an institution or institutions (or guarantor or guarantors of the obligations): (a) with regard to which Rating Agency Confirmation has been received. an amount equal to (x) the Income Notes Stated Amount minus (y) the aggregate amount of all cash distributions on the Income Notes (whether in respect of distributions or redemption payments made to the Income Note Issuing and Paying Agent for distribution to the Income Noteholders) on or prior to the relevant Redemption Date (such amounts described in clauses (a) through (d). postage prepaid. the "Total Redemption Amount"). to the extent necessary. The Issuer will also deliver notice of redemption to the Irish Paying Agent for delivery to the Irish Stock Exchange if and so long as any Class of Notes to be redeemed is listed on the Irish Stock Exchange. Notice of redemption will be given by first-class mail. in immediately available funds. not later than the Business Day immediately preceding the scheduled Redemption Date. mailed not less than ten (10) Business Days prior to the applicable Redemption Date. the Collateral Manager certifies that the expected proceeds from such sale will. collectively. in the aggregate. all or part of the Collateral Debt Assets at a purchase price at least equal to an amount sufficient. and (vi) such Sale Proceeds must be received by the Trustee at least one (1) Business Day prior to the scheduled Redemption Date and are used. in each case. (iii) each Hedge Agreement and Cashflow Swap Agreement must be terminated and any amounts due thereunder paid. No Optional Redemption or Tax Redemption shall occur unless either: (i) at least four (4) Business Days before the scheduled Redemption Date. (iv) each Synthetic Asset must be terminated and any amounts due by the Issuer thereunder paid out of assets in the applicable Synthetic Asset Collateral Account (or other permitted source). or (b) whose long-term unsecured debt obligations (other than such obligations whose rating is based on the credit of a person other than such institution) have a credit rating from Moody's of at least "P-1" and of at least "A-1" from S&P. as determined by the Trustee. together with the Eligible Investments maturing on or prior to the scheduled Redemption Date and any termination payments received by the Issuer under any Hedge Agreements on or prior to the scheduled Redemption Date. Notes called for redemption must be surrendered at the office of any paying agent appointed pursuant to the Indenture in order to receive the Redemption Price.to the Redemption and the establishment of reserves in respect of any payments that may become payable pursuant to any Synthetic Assets that cannot be terminated) plus (d) unless a Majority of the Income Notes have waived payment in full of principal of the Income Notes (other than in the event of a Tax Redemption). (ii) any amounts outstanding under the Advance Swap shall be paid in full and all Outstanding Rated Notes must be simultaneously redeemed. each CDS Asset Counterparty and any Hedge Counterparty only if the Collateral Manager is unable to deliver such sale agreement or agreements or certifications. Notice of any such withdrawal shall be given by the Trustee to each Rating Agency and to each Holder of Rated Notes at such Holder's address in the Note Register maintained by the Note Registrar by overnight courier guaranteeing next day delivery (or second (2nd) day 56 . (v) the Senior Collateral Management Fee and the Subordinate Collateral Management Fee and any expenses or amounts payable by the Issuer pursuant to the Priority of Payments in connection with the Redemption of the Notes must be paid or provided for. The Issuer may not determine to effect a Redemption unless such amounts will be at least equal to the Total Redemption Amount. equal or exceed. the Total Redemption Amount. as the case may be.

the Income Noteholders. the Trustee will decline to consummate such sale and may not solicit any further bids or otherwise negotiate any further sale of Collateral Debt Assets in relation to such Auction and (iv) unless the Notes are redeemed in full prior to the next succeeding Auction Date. If any of the foregoing conditions are not met with respect to any Auction or if the highest bidder fails to pay the purchase price before the sixth (6th) Business Day following the relevant Auction Date.delivery outside the United States) sent not later than the third (3rd) Business Day prior to such Redemption Date. the Trustee will sell and transfer the Collateral Debt Assets (or each subpool). (iii) subject to clause (iv) below. will be redeemed on the Quarterly Payment Date immediately following the relevant Auction Date in the order of priorities specified under "Application of Funds upon Redemption". the Income Notes. deliver a notice of such withdrawal to the Irish Paying Agent for delivery to the Irish Stock Exchange not less than three (3) Business Days prior to such Redemption Date. In the event that all of the conditions set forth in the foregoing clauses (i) through (iv) have been met. to the extent that such Rating Confirmation Failure is continuing. but will not be required to. Mandatory Redemption If a Rating Confirmation Failure occurs. the Trustee or their respective Affiliates may. in accordance with the procedures set forth in the Indenture (the "Auction Procedures") and at the expense of the Issuer. (iii) the Trustee determines that the Highest Auction Price would result in the Sale Proceeds from the Collateral Debt Assets (or the related Subpools) for a purchase price (paid in cash) which together with the Balance of all Eligible Investments and cash in the Accounts (other than any Hedge Counterparty Collateral Account. to the extent funds are available therefor. the Trustee and the Collateral Manager will. to the extent that Collateral Principal Collections are insufficient therefor. an "Auction Date") occurring no later than ten (10) Business Days prior to the applicable Redemption Date. to such highest bidder(s) in accordance with and upon completion of the Auction Procedures. in each case in accordance with the Priority of Payments. Any Redemption will be subject to the satisfaction of each of the following conditions: (i) the related Auction has been conducted in accordance with the Auction Procedures. Synthetic Asset Collateral Account and Synthetic Asset Issuer Account) will be at least equal to the Total Redemption Amount. on the first Quarterly Payment Date on or after and on any subsequent Quarterly Payment Date. and (iv) the bidder(s) who offered the Highest Auction Price for the Collateral Debt Assets (or the related Subpools) enter(s) into a written agreement with the Issuer (which the Issuer will execute if the conditions set forth above and in the Indenture are satisfied and which execution will constitute certification by the Issuer that such conditions have been satisfied) that obligates the highest bidder(s) (or the highest bidder for each Subpool) to purchase all of the Collateral Debt Assets (or the relevant Subpool) and provides for payment in full (in cash) of the purchase price to the Trustee on or prior to the sixth (6th) Business Day following the relevant Auction Date. (ii) the Trustee has received bids for the Collateral Debt Assets (or for each of the related Subpools) from at least two Qualified Bidders (including the winning Qualified Bidder) identified on a list provided by the Collateral Manager to the Trustee for the purchase of the Collateral Debt Assets or the purchase of each Subpool. 57 . bid at the Auction. Any of the Collateral Manager. warranty or recourse. Any Redemption will only be effected on a Quarterly Payment Date. and the Rated Notes and. Auction Call Redemption In connection with an Auction Call Redemption. (i) the Redemption will not occur on the Quarterly Payment Date following the relevant Auction Date. In addition. Collateral Interest Collections. the Issuer will be required. the Trustee will. The Trustee will deposit the purchase price for the Collateral Debt Assets in the Collection Account. if any Class of Notes to have been redeemed is listed on the Irish Stock Exchange and the rules of such exchange so require. without representation. the Trustee will conduct another Auction on the next succeeding Auction Date. (ii) the Trustee will give notice of the withdrawal of the Redemption. to apply Collateral Principal Collections and. conduct an auction (an "Auction") of the Collateral Debt Assets included in the Collateral on a date (each such date.

without limitation. to pay principal of the Class A-2 Notes. the Hedge Counterparties. provided that if either Class C Coverage Test is not satisfied as of any Calculation Date. if any Coverage Test applicable to a Class of Rated Notes is not satisfied on any Calculation Date. to the extent funds are available therefor. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes. in certain circumstances. and seventh. to pay in the following order. (i) a deposit to the Synthetic Reserve Account.S. the Holders of the Rated Notes. subject to the Priority of Payments. to pay principal of each other Class of Secured Notes until such Class C Coverage Test is satisfied or until the Class C Notes are paid in full. (a) any Used Advance Swap Amount. to pay principal of the Class A-4 Notes. Tax 58 .000 in excess thereof. Payments On each Quarterly Payment Date. Collateral Interest Collections will be released from the lien of the Indenture for payment to the Income Note Issuing and Paying Agent only after the payment of interest on the Rated Notes and. of the Issuer. such deposit permanently reducing the Advance Swap Notional Amount to zero. together with Collateral Principal Collections. The Stated Maturity Date of the Income Notes is the Quarterly Payment Date in October 2046. Collateral Interest Collections that would otherwise be used (i) for distributions to the Holders of the Income Notes and (ii) for the payments of certain unpaid fees and expenses will instead be applied.000 and integral multiples of U. to pay principal of the Class C Notes in each case to the extent necessary in order to obtain a Rating Agency Confirmation from each Rating Agency with respect to each such Class of Rated Notes. then Collections that would otherwise be used on the related Quarterly Payment Date to make payments in respect of (i) interest on any Class of Rated Notes Subordinate to such Class of Rated Notes. whether secured or unsecured and known or unknown. the Collateral Manager and any judgment creditors. See "—Priority of Payments". the Income Notes may be paid in full prior to the Stated Maturity Date thereof following the Mandatory Redemption. sixth. See "—Principal of the Rated Notes and "—Priority of Payments". second. third. and the Holders of the Income Notes will rank behind all of the creditors. any such payment permanently reducing the Advance Swap Notional Amount.$250. and then (b) based on the Advance Swap Allocation Basis. and then (ii) to reduce pro rata. to pay principal of the Class A-1T2 Notes.first. to permanently reduce the Advance Swap Notional Amount and the Class A-1R Commitment and to reduce the outstanding principal of each other Class of Rated Notes. to pay principal of the Class B Notes. to pay principal of the Class A-3 Notes. Optional Redemption. to pay principal on the Class C Notes and then. The Income Notes represent a residual interest in the assets of the Issuer. fourth. so long as any Class of Rated Notes is outstanding. (ii) distributions in respect of the Income Notes and (iii) certain other expenses will be used instead. fifth. In addition. Income Notes Status The Income Notes will be issued pursuant to the Income Note Issuing and Paying Agency Agreement and will not be secured under the Indenture.$1. including.S. However. principal due in respect of the Rated Notes and the payment of certain other amounts in accordance with the Priority of Payments. in accordance with the Priority of Payments. (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. The Income Notes will be issued in minimum denominations of U.

Optional Redemption On any Quarterly Payment Date on or after the Quarterly Payment Date on which the Rated Notes have been paid in full. any Taxes. or to each Holder of a Note at such Holder's address appearing in the applicable register (in the case of any Restricted Certificated Notes or Certificated Income Notes). out of proceeds of the liquidation of the pool of Collateral. repurchased or paid and surrendered (including pursuant to any prepayment) for cancellation as described herein will forthwith be canceled and may not be reissued or resold. and without withholding or deduction for. Payments on the Notes will be payable by wire transfer in same day. unless such withholding or deduction is required by applicable law. Collateral Principal Collections are not permitted to be released from the lien of the Indenture and will not be available to make distributions on the Income Notes. Final distributions on the Income Notes will be made only against surrender of the certificate representing such Income Notes at the office of the Income Note Registrar. as modified by the practice of any relevant governmental revenue authority. the Income Notes may be redeemed (in whole but not in part) at the direction of the Holders of a Super-Majority of the Income Notes (in each case. Payments Payments in respect of interest on a Class A-1R Note or Class A-1T Note will be made to the person in whose name the relevant Note is registered fifteen (15) days prior to the applicable Monthly Payment Date and payments of interest on a Rated Note (other than a Class A-1R Note or Class A-1T Note) and principal on a Rated Note or distributions to Holders of Income Notes will be made to the person in whose name the relevant Note is registered fifteen (15) days prior to the applicable Monthly Payment Date. freely transferable funds to a U. or to each Holder of Certificated Notes. Until the Rated Notes and certain other amounts have been paid in full. (i) cause notice of such Income Note Optional Redemption to be delivered to the Irish Paying Agent (for delivery to the Company Announcements Office of the Irish Stock Exchange) not less than ten (10) Business Days prior to the date of redemption and (ii) promptly notify the Irish Paying Agent of such Optional Redemption. if and for so long as any Income Notes to be redeemed are listed on the Irish Stock Exchange and the rules of the Irish Stock Exchange so require. None of the Issuer. Any such notice of redemption may be withdrawn by the Income Note Issuing and Paying Agent by delivering a notice of such withdrawal to the Company Announcements Office of the Irish Stock Exchange not less than three (3) Business Days prior to the scheduled date of redemption.S.S. then the Issuer will make such distributions net of such Taxes and will not be obligated to pay any additional amounts in respect of such withholding or deduction. the Co-Issuer. to the extent practicable or otherwise by U. Redemption Procedures The Income Note Issuing and Paying Agent will.Redemption or Auction Call Redemption of the Rated Notes. Dollar account maintained by DTC or its nominee (in the case of the Global Notes). Dollar check drawn on a bank in the United States sent by mail either to DTC or its nominee (in the case of the Global Notes). If the Issuer is so required to deduct or withhold any Taxes from payments of principal and interest in respect of the Rated Notes or distributions in respect of the Income Notes. the Trustee or any Note Paying Agent will have any responsibility or liability for any 59 . Cancellation All Notes that are redeemed. an "Income Note Optional Redemption"). a "Note Paying Agent"). No Gross-Up All payments of principal and interest in respect of the Rated Notes or distributions in respect of the Income Notes made by the Issuer will be made free and clear of. Final payments in respect of principal on the Rated Notes will be made only against surrender of the Rated Notes at the office of any note paying agent appointed under the Indenture (each.

any amounts due under any CDS Asset other than any CDS Asset Issuer Termination Payments and (ii) from Collateral Principal Collections only. then from Collateral Principal Collections. as applicable. as applicable. as the case may be) shall thereupon cease. will be applied by the Trustee in the following order of priority (the "Priority of Payments"). The Co-Issuers also expect that payments by participants to owners of beneficial interests in such Global Notes held through such participants will be governed by standing instructions and customary practices. provided that (i) with respect to clauses (A)(1) through (A)(6) (except as otherwise provided for pursuant to clauses (A)(1) and (A)(4)) and (B)(1) through (B)(26) (except as otherwise provided for pursuant to clauses (B)(4). or for payments made thereby on account of beneficial interests in. such application will be made from Collateral Interest Collections only. Collateral Interest Collections and Collateral Principal Collections with respect to the related Due Period will be distributed in the following order of priority: (1) to pay pari passu to any CDS Asset Counterparty. as the case may be. first. as is now the case with securities held for the accounts of customers registered in the names of nominees for such customers. Priority of Payments Unless an Event of Default has occurred and is continuing. the "Irish Paying Agent"). such application shall be made. and the Holder of such Certificated Note shall thereafter look only to the Co-Issuers as unsecured general creditors for payment of such amounts and all liability of the Trustee or such Note Paying Agent with respect to such money (but only to the extent of the amounts so paid to the Issuer or the Co-Issuer. that is not a Redemption Date. Ireland (such paying agent.aspects of the records maintained by DTC or its nominee or any of its participants relating to. to the extent Collateral Interest Collections are not sufficient for such payments. (B)(8). of the principal amounts of the Outstanding Notes following each Monthly Payment Date and Quarterly Payment Date and if any Class of Notes does not receive scheduled payments of principal or interest on a Monthly Payment Date or Quarterly Payment Date. from Collateral Interest Collections and then. Global Notes. on each Monthly Payment Date or Quarterly Payment Date. in accordance with a Monthly Report prepared by or on behalf of the Issuer as of the last day of the related Due Period preceding such Monthly Payment Date or Quarterly Payment Date. The Co-Issuers expect that DTC or its nominee. Collateral Interest Collections and Collateral Principal Collections in the Collection Account. The Co-Issuers will inform the Irish Stock Exchange. so long as any of the Notes are listed thereon and the rules of the Irish Stock Exchange so require. will immediately credit participants' accounts with payments in amounts proportionate to their respective beneficial interests in such Global Notes as shown on the records of DTC or its nominee. (B)(13). any CDS Asset Issuer Termination Payments (other than any Subordinated CDS Asset Termination Payments). such application will be made from Collateral Principal Collections only: (A) On each Monthly Payment Date that is not also a Quarterly Payment Date. with respect to clause (B)(18) below such application will be made from Collateral Principal Collections and then from Collateral Interest Collections. For so long as any of the Notes are listed on the Irish Stock Exchange and the rules of such exchange so require. the Co-Issuers will maintain a paying agent in Dublin. upon receipt of any payment of principal or interest or distributions in respect of Global Notes held by DTC or its nominee. at any time. (B)(21) and (B)(25)) below. with respect to clause (B)(21) below. Such payments will be the responsibility of such participants. The Issuer may terminate the appointment of the Irish Paying Agent and the Irish Paying Agent may resign. (i) first from Collateral Interest Collections. from Collateral Principal Collections and (ii) with respect to clauses (B)(13) and (B)(25) below. by giving at least thirty (30) days' notice to the respective other party. and. 60 . Any money deposited with the Trustee or any Note Paying Agent in trust for the payment of the principal of or interest on any Certificated Note and remaining unclaimed for two years after such principal or interest has become due and payable shall be paid to the Co-Issuers at the request of the Co-Issuers. (B)(18).

without limitation. the Income Note Issuing and Paying Agent and the Administrator. 61 . Collateral Interest Collections. Collateral Interest Collections and Collateral Principal Collections with respect to the related Due Period will be distributed in the following order of priority: From: first. Collateral Interest Collections. Collateral Interest Collections. then Collateral Principal Collections (5) to pay the applicable Class A-1T2 Payment Amount. to remain in the Collection Account for application on the next succeeding Monthly Payment Date. from Collateral Principal Collections only. (2) to pay any accrued and unpaid fees due to the Trustee. then Collateral Principal Collections first. which shall not reduce the Aggregate Class A-1R Commitment. including any termination payments (other than any Subordinated Cashflow Swap Termination Payments). provided that the cumulative amount paid under this clause (2) may not. (3) to pay pari passu (a) the applicable Class A-1R Payment Amount and (b) the applicable Class A-1T1 Payment Amount. annual return fees) payable by the Co-Issuers. the Collateral Administrator. Collateral Interest Collections.From: first. then Collateral Principal Collections (2) to pay pari passu (a) to the Advance Swap Counterparty any accrued and unpaid Advance Swap Drawing Fee and any accrued and unpaid Advance Swap Commitment Fee. and (6) the balance. Quarterly Payment Date or Redemption Date. for any CDS Payments (other than CDS Interest Payments) previously paid by the Advance Swap Counterparty with respect to Synthetic Assets. including any termination payments (other than any Subordinated Hedge Termination Payments). as the case may be. exceed in any consecutive 12-month period the sum of (a) 0. for any amounts paid by the Advance Swap Counterparty in respect of CDS Interest Payments and (b) from Collateral Principal Collections only. (B) On each Quarterly Payment Date or the Redemption Date. to pay any Class A-1R Repayment. (a) from Collateral Interest Collections only. Collateral Interest Collections. then Collateral Principal Collections (1) to pay taxes and filing fees and registration fees (including. first. under any Cashflow Swap Agreement. which reimbursement amounts under clause (b) shall permanently reduce the Advance Swap Notional Amount.01% of the Collateral Principal Balance as of the first day of the related Interest Period plus (b) $25. any amounts due to such Hedge Counterparty under any Hedge Agreement.000 (such sum to be prorated based upon the actual number of days in any applicable period). at the sole discretion of the Collateral Manager. in the following order. under each Hedge Agreement and (c) to each Cashflow Swap Counterparty. (b) to each Hedge Counterparty. any amounts due to such Cashflow Swap Counterparty. then Collateral Principal Collections first. in the aggregate. and (ii) during and to the end of the Interest-Only Period. (4) (i) to reimburse the Advance Swap Counterparty. if any.

then Collateral Principal Collections first. including any termination payments (other than any Subordinated Cashflow Swap Termination Payments). and then (c) to deposit to the Expense Reserve Account the amount needed to bring the amount on deposit therein to U.$195. then Collateral Principal Collections (5) to pay pari passu (a) to the Advance Swap Counterparty any accrued and unpaid Advance Swap Drawing Fee and any accrued and unpaid Advance Swap Commitment Fee. Collateral Interest Collections. Collateral Interest Collections. (8) to reimburse the Advance Swap Counterparty. exceed U. in the following order. Collateral Interest Collections. first. (b) the Class A-1R Payment Amount. (4) to pay pari passu (a) to any CDS Asset Counterparty.S. (7) to pay pro rata (a) the Class A-1T1 Payment Amount. (i) first from Collateral Interest Collections. Collateral Interest Collections. then from Collateral Principal Collections. then from Collateral Principal Collections. any termination payments due under any Short CDS Asset (other than any Subordinated Short CDS Termination Payments). provided that the cumulative amount paid under this clause (3) (excluding any Administrative Expenses due or accrued with respect to the actions taken on or prior to the Closing Date and amounts the Trustee incurs in connection with any Event of Default) may not.S. the Collateral Administrator. under each Hedge Agreement and (c) to each Cashflow Swap Counterparty.000. (i) first from Collateral Interest Collections. any amounts due under any CDS Asset other than any CDS Asset Issuer Termination Payments and (ii) from Collateral Principal Collections only. but excluding the Collateral Management Fee). and then (b) the amount of any accrued and unpaid expenses due to the Administrator and any other Administrative Expenses (including amounts payable to the Collateral Manager under the Collateral Management Agreement.$50. then Collateral Principal Collections first. (b) to each Hedge Counterparty. under any Cashflow Swap Agreement. first. in the aggregate. in the following order. any amounts due to such Hedge Counterparty under any Hedge Agreement. (a) from Collateral Interest Collections only. (a) any accrued and unpaid expenses and indemnities due to the Trustee. subject to satisfaction of the Short CDS Trading Termination Criteria as applicable. and (b) to any Short CDS Asset Counterparty. 62 . the Class A-1R Note Agent and the Income Note Issuing and Paying Agent. then Collateral Principal Collections (9) to pay the Class A-1T2 Payment Amount. for any amounts paid by the Advance Swap Counterparty in respect of CDS Interest Payments and (b) from Collateral Principal Collections only. any amounts due to such Cashflow Swap Counterparty. including any termination payments (other than any Subordinated Hedge Termination Payments). (6) to pay to the Collateral Manager the Senior Collateral Management Fee with respect to such Quarterly Payment Date and any Senior Collateral Management Fee with respect to a previous Quarterly Payment Date that was not paid on a previous Quarterly Payment Date.first.000 in any consecutive 12-month period. then Collateral Principal Collections (3) to pay. for any CDS Payments (other than CDS Interest Payments) previously paid by the Advance Swap Counterparty with respect to Synthetic Assets. Collateral Interest Collections. any CDS Asset Issuer Termination Payments (other than any Subordinated CDS Asset Termination Payments). (c) any Class A-1R Commitment Fee and (d) any Class A1R Breakage Costs to the Holders of the Class A-1R Notes. which reimbursement amounts under clause (b) shall permanently reduce the Advance Swap Notional Amount. any amounts due under any Short CDS Asset other than any termination payments and (ii) from Collateral Principal Collections only.

Collateral Interest Collections. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes. any such payment permanently reducing the Advance Swap Notional Amount. Collateral Interest Collections. (a) any Used Advance Swap Amount. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero. any such payment permanently reducing the Advance Swap Notional Amount. to pay principal of the Class A-4 Notes. to pay principal of the Class A-1T2 Notes. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes. Collateral Interest Collections. to pay the applicable Payment Amount to the Holders of the first. then Collateral Principal Collections Collateral Interest Collections only (13) to pay. then Collateral Principal Collections (10) A-2 Notes. (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. (i) to deposit to the Synthetic Reserve Account. to pay in the following order. (12) if either of the Class A Coverage Tests is not satisfied as of the preceding Calculation Date: First. and then (ii) to reduce pro rata. in each case. (i) to deposit to the Synthetic Reserve Account. (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. to pay the applicable Payment Amount to the Holders of the Class first. then Collateral Principal Collections (11) to pay the applicable Payment Amount to the Holders of the Class A-3 Notes. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero. and then (ii) to reduce pro rata. (a) any Used Advance Swap Amount. Fifth. to pay in the following order. first. Second. Collateral Interest Collections. then Collateral Principal Collections first. (14) Class B Notes. Collateral Interest Collections. 63 . then Collateral Principal Collections (15) if either of the Class B Coverage Tests is not satisfied as of the preceding Calculation Date: First. to the extent necessary to cause the Class A Coverage Tests to be satisfied on such Quarterly Payment Date or until the principal amount of each such Class of Notes has been paid in full.first. Third. to pay principal of the Class A-3 Notes. and then (b) based on the Advance Swap Allocation Basis. and then (b) based on the Advance Swap Allocation Basis. to pay principal of the Class A-2 Notes. and then to pay the applicable Payment Amount to the Holders of the Class A-4 Notes. Fourth. from Collateral Interest Collections (if any) only. an amount equal to the Interest Reserve Amount for deposit into the Note Interest Reserve Account.

to the extent necessary to cause each of the Class B Coverage Tests to be satisfied on such Quarterly Payment Date or until the principal amount of each such Class of Notes has been paid in full. to pay principal of the Class A-1T2 Notes. (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. any such payment permanently reducing the Advance Swap Notional Amount. in each case. to pay the principal of the Class A-2 Notes. to pay the principal of the Class A-1T2 Notes. and then (ii) to reduce pro rata. Second. if any). to pay principal of the Class B Notes. to pay principal of the Class A-2 Notes. to pay the principal of the Class A-3 Notes. 64 .Second. Sixth. (17) Class C Notes. to pay principal of the Class B Notes (including the Class B Cumulative Deferred Interest Amount. to pay the principal of the Class A-4 Notes. Third. then Collateral Principal Collections (16) to pay the Class B Cumulative Deferred Interest Amount. Collateral Interest Collections. if any. to pay the applicable Payment Amount to the Holders of the first. provided that such payment shall not cause any Class A Coverage Test or Class B Coverage Test to fail. Collateral Principal Collections. on the first Quarterly Payment Date on or thereafter and on any subsequent Quarterly Payment Date to the extent that a Rating Confirmation Failure is continuing: First. Collateral Interest Collections. to pay principal of the Class A-4 Notes. first. Fourth. and Sixth. then Collateral Interest Collections (18) if a Rating Confirmation Failure has occurred. Fifth. Fourth. in each case to the extent necessary in order to obtain a Rating Agency Confirmation from each Rating Agency with respect to each such Class of Rated Notes. Third. to pay the principal of the Class C Notes. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes. then Collateral Principal Collections first. Fifth. and then (b) based on the Advance Swap Allocation Basis. to pay in the following order. (a) any Used Advance Swap Amount. and Seventh. (i) to deposit to the Synthetic Reserve Account. to pay principal of the Class A-3 Notes. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero.

to pay in the following order. if any) (using Collateral Principal Collections only). which shall not reduce the Aggregate Class A-1R Commitment. as applicable. to pay the principal of the Class C Notes (including the Class C Cumulative Deferred Interest Amount. if any). and then (ii) to reduce pro rata.first. (i) to deposit to the Synthetic Reserve Account. and Eighth. Collateral Interest Collections. first. in the following order: Collateral Principal Collections only (A) at the sole discretion of the Collateral Manager. to pay the principal of the Class B Notes (including the Class B Cumulative Deferred Interest Amount. Third. to pay the principal of the Class A-4 Notes Seventh. Second. (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. and then (ii) any remaining amount to be applied. then Collateral Principal Collections (20) to pay the Class C Cumulative Deferred Interest Amount. to pay any Class A-1R Repayment. then Collateral Principal Collections (19) if either of the Class C Coverage Tests is not satisfied as of the preceding Calculation Date: First. to remain available for application to the purchase of Substitute Collateral Debt Assets (subject to satisfaction of the Reinvestment Criteria and. Collateral Interest Collections. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes. to pay principal of the Class C Notes (including the Class C Cumulative Deferred Interest Amount. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero. any such payment permanently reducing the Advance Swap Notional Amount. (a) any Used Advance Swap Amount. to pay the principal of the Class A-3 Notes. if any. Fifth. (21) (a) on each Quarterly Payment Date during and to the end of the Interest-Only Period: (i) at the sole determination of the Collateral Manager. to pay the principal of the Class A-1T2 Notes. provided that such payment shall not cause any Coverage Test to fail. to pay the principal of the Class A-2 Notes. Fourth. in an amount up to any remaining Collateral Principal Collections. to the extent necessary to cause each of the Class C Coverage Tests to be satisfied on such Quarterly Payment Date. Sixth. the Additional Criteria) by no later than the last day of the Due Period relating to the Quarterly Payment Date immediately following such Quarterly Payment Date. 65 . to pay to the Collection Account. and then (b) based on the Advance Swap Allocation Basis. if any) (using only Collateral Interest Collections and not Collateral Principal Collections). in each case.

and then (4) to pay the principal of the Class A-2 Notes until such Class of Notes has been paid in full. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (ii) any outstanding balance of the Class A-1T1 Notes. Class A-3 Notes. and then (b) to reduce pro rata. any such payment permanently reducing the Advance Swap Notional Amount. and (c) principal of the Class A-1T2 Notes. as applicable. to pay to the Collection Account. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes. and then (ii) to reduce pro rata. to remain available for application to the purchase of Substitute Collateral Debt Assets (subject to satisfaction of the Reinvestment Criteria and. and then (ii) to reduce pro rata. (a) to deposit to the Synthetic Reserve Account. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero. any such payment permanently reducing the Advance Swap Notional Amount. and (C) otherwise to pay. and then (ii) if the Pro Rata Payment Conditions are satisfied. any such payment permanently reducing the Advance Swap Notional Amount. (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. in the following order. and then (2) based on the Advance Swap Allocation Basis. the Additional Criteria) by no later than the last day of the Due Period relating to the Quarterly Payment Date immediately following such Quarterly Payment Date. in an amount equal to the lesser of (A) the amount of the Collateral Principal Collections received and not subsequently reinvested during the related Due Period that represent Sale Proceeds of Credit Risk Assets. then any remaining amount to pay on the Pro Rata Payment Basis: (a) any Used Advance Swap Amount. Class A-2 Notes. and then (7) to pay the principal of the Class B Notes until such Class of Notes has been paid in full. by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any 66 on each Quarterly Payment Date following the Interest-Only . (i) the Aggregate Class A-1R Commitment by (x) paying any outstanding balance of the Class A-1R Notes and (y) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero.(B) if the Pro Rata Payment Conditions are satisfied. (i) to deposit to the Synthetic Reserve Account. (b) Period: (i) at the sole determination of the Collateral Manager. and then (3) to pay the principal of the Class A-1T2 Notes until such Class of Notes has been paid in full. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero. (i) to deposit to the Synthetic Reserve Account. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero. (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. Class A-4 Notes. then the Issuer shall pay on the Pro Rata Payment Basis: (a) any Used Advance Swap Amount. Credit Improved Assets and Defaulted Assets and (B) the amount of funds then remaining in the Collection Account. (b) based on the Advance Swap Allocation Basis. and then (5) to pay the principal of the Class A-3 Notes until such Class of Notes has been paid in full. (b) based on the Advance Swap Allocation Basis. and then (6) to pay the principal of the Class A-4 Notes until such Class of Notes has been paid in full. (1) any Used Advance Swap Amount. Class B Notes and Class C Notes until each such Class of Notes has been paid in full. and then (8) to pay the principal of the Class C Notes until such Class of Notes has been paid in full.

by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes. as the case may be. expenses and indemnities due to the Trustee. whether as a result of an amount limitation imposed thereunder or otherwise. and then (e) the principal of the Class A-3 Notes until such Class of Notes has been paid in full. Synthetic Collateral Assets Counterparty. the Collateral Administrator. indemnities and other liabilities of the Co-Issuers (including such expenses. then Collateral Principal Collections Collateral Interest Collections only first. first to pay any 67 first. but excluding the Subordinate Collateral Management Fee) to the extent not paid under clauses (1) through (3) above. if any. Class B Notes and Class C Notes until each such Class of Notes has been paid in full. 50% of all remaining Collateral Interest Collections after application of clauses (1) through (24) above. (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero. Collateral Interest Collections. such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero. (b) on the Redemption Date. any accrued and unpaid expenses. Class A-4 Notes. and (c) principal of the Class A-1T2 Notes. and (26) (a) if so instructed by the Collateral Manager. indemnities and value added taxes. (25) if the Additional Class C Principal Coverage Test is not satisfied as of the preceding Calculation Date. first. and then (ii) to reduce pro rata. to pay principal of the Class C Notes until the Class C Notes are paid in full. of the Collateral Manager. then Collateral Principal Collections (22) to pay. liabilities. (23) to pay to the Collateral Manager the Subordinate Collateral Management Fee with respect to such Quarterly Payment Date and any due and unpaid Subordinate Collateral Management Fee with respect to a previous Quarterly Payment Date that was not paid on a previous Quarterly Payment Date. (i) to deposit to the Synthetic Reserve Account. Short CDS Asset Counterparty. and then (b) based on the Advance Swap Allocation Basis. in the following order. Collateral Interest Collections. (24) to pay pari passu Defaulted Synthetic Termination Payments and termination payments and any other amounts due and payable to each CDS Asset Counterparty. and then (c) the principal of the Class A-1T2 Notes until such Class of Notes has been paid in full. then Collateral Principal Collections first. Subordinated Synthetic Collateral Assets Termination Payments. (iii) if the Pro Rata Payment Conditions are not satisfied. Collateral Interest Collections.outstanding balance of the Class A-1T1 Notes. (a) any Used Advance Swap Amount. not paid in full under clauses (1) through (3) above. to make a deposit into the Short CDS Assets Reserve Account. and (ii) on a pro rata basis. in the following order (i) any accrued and unpaid fees. and then (g) the principal of the Class B Notes until such Class of Notes has been paid in full. the Income Note Issuing and Paying Agent and the Administrator to the extent. Hedge Counterparty and Cashflow Swap Counterparty in respect of any Subordinated CDS Asset Termination Payments. and then (h) the principal of the Class C Notes until such Class of Notes has been paid in full. any such payment permanently reducing the Advance Swap Notional Amount. Class A-2 Notes. and then (d) the principal of the Class A-2 Notes until such Class of Notes has been paid in full. . including as a result of a waiver by the Collateral Manager of such Subordinate Collateral Management Fee. in each case. then any remaining amount to pay. Subordinated Short CDS Termination Payments. Collateral Interest Collections. and then (f) the principal of the Class A-4 Notes until such Class of Notes has been paid in full. the Class A-1R Note Agent. Subordinated Hedge Termination Payments or Subordinated Cashflow Swap Termination Payments. Class A-3 Notes.

necessary to cause the available balance therein equal to the 68 . Application of Funds upon an Event of Default If an Event of Default has occurred and is continuing. provided that that if any of the Collateral Quality Tests (except for S&P CDO Monitor Test) or any of the Coverage Tests are not satisfied as of the Effective Date. on behalf of the Issuer. (ii) the Advance Swap Commitment Fee and Advance Swap Drawing Fee (including defaulted interest on the Advance Swap. paid pro rata based on the Class A-1 Pro Rata Allocation. for distributions on the Income Notes in accordance with the Income Note Issuing and Paying Agency Agreement and then to pay any remaining Excess Funds comprising the remaining Collateral Interest Collections in accordance with the following subclause (c). (vi) the Periodic Interest on the Class A-3 Notes (including Defaulted Interest on such Class A-3 Notes. and payment of principal not constituting the Class C Cumulative Deferred Interest Amount shall be paid before principal constituting the Class C Cumulative Deferred Interest Amount. (iii) the Class A-1R Commitment Fee and Periodic Interest on the Class A-1R Notes and the Class A-1T1 (including Defaulted Interest on such Class A-1R Notes and Class A-1T1. Any amounts applied to the redemption of any Class of Rated Notes shall be applied to such Class of Rated Notes pro rata in accordance with the Aggregate Outstanding Amounts of such Class of Rated Notes on the Redemption Date. (B)(18) or (B)(19) of the Priority of Payments. from the Collection Account. and (iii) the amounts set forth in clauses (B)(22) through (B)(26) of the Priority of Payments. the Collateral. if any). if any.then Collateral Principal Collections remaining Collateral Principal Collections to the Income Note Issuing and Paying Agent. (iv) the Periodic Interest on the Class A-1T2 Notes (including Defaulted Interest on such Class A-1T2 Notes. Application of Funds upon Redemption On any Redemption Date. until paid in full and then to deposit to the Synthetic Reserve Account the amount. the Trustee will pay. (i) no payment to the Income Note Issuing and Paying Agent and no distributions on the Income Notes shall be made until the occurrence of the earlier of the following: (x) each of the Collateral Quality Tests (except for S&P CDO Monitor Test) and each of the Coverage Tests is satisfied or (y) Rating Agency Confirmation is obtained from Moody's and (ii) until either of the conditions set forth in clause (i) above is satisfied. if any. amounts that would otherwise be paid to the Income Note Issuing and Paying Agent for distributions on the Income Notes will instead be deposited into the Collection Account as Collateral Interest Collections. if any. (v) the Periodic Interest on the Class A-2 Notes (including Defaulted Interest on such Class A-2 Notes. if any). and proceeds of the sale or liquidation of. payment of principal not constituting the Class B Cumulative Deferred Interest Amount shall be paid before principal constituting the Class B Cumulative Deferred Interest Amount. if any). if any). (ii) the Redemption Price of each Class of Rated Notes in accordance with the Priority of Payments. (ix) any outstanding principal of the Class A-1R Notes and the Class A-1T1 Notes. (i) the amounts set forth in clauses (B)(1) through (B)(6) and clause (B)(8) of the Priority of Payments. With respect to principal payments of the Class B Notes and Class C Notes in connection with a mandatory redemption pursuant to clauses (B)(15). on the date or dates determined by the Trustee. for distributions on the Income Notes in accordance with the Income Note Issuing and Paying Agency Agreement. if any. in the following order. if any) (provided that payments of interest on the Class A-1 Notes and the Class A-1R Commitment Fee in respect of the Class A-1R Notes (in respect of the Class A-1R Commitment Fee on the Class A-1R Note Undrawn Amount. (vii) the Periodic Interest on the Class A-4 Notes (including Defaulted Interest on such Class A-4 Notes). in the following order: (i) amounts corresponding to the amounts set forth in clauses (B)(1) through (B)(6) of the Priority of Payments. if any. on behalf of the Issuer. any Class A-1R Commitment Fee accrued prior to its reduction to zero) will be paid pro rata between the Class A-1T1 Notes and the Class A-1R Notes based on the Class A-1 Pro Rata Allocation). necessary to cause the available balance therein to equal the Aggregate CDS Asset Notional Amount with respect to any Synthetic Assets that have not been terminated. (viii) any outstanding principal on the Advance Swap until paid in full and then to deposit to the Synthetic Asset Collateral Account the amounts. from all collections from. and (c) on any Quarterly Payment Date to pay all Excess Funds to the Income Note Issuing and Paying Agent. the Trustee will pay.

.. Class C Interest Coverage Test .... for interest payments on the Class B Notes and the Class C Notes and (iv) in the case of a failure to satisfy either Class B Coverage Test....................... Class C Principal Coverage Test...... will instead be applied on the related Quarterly Payment Date... to principal prepayments of the Rated Notes in accordance with the Priority of Payments on such Quarterly Payment Date until such Coverage Test is satisfied as of the Calculation Date or the Rated Notes are paid in full............................. Class B Interest Coverage Test . The Interest Coverage Test for the Class A Notes.. if any) until paid in full and (xvi) amounts corresponding to the amounts set forth in clauses (B)(22) through (B)(26) of the Priority of Payments...... The Coverage Tests The Interest Coverage Tests and the Principal Coverage Tests At any time during which any of the Rated Notes are Outstanding... the Class B Notes or the Class C Notes is satisfied as of any date of determination during the period commencing on the Effective Date and extending through the initial Quarterly Payment Date if the Interest Coverage Ratio for such Class is equal to or exceeds 100.......... the Class B Notes or the Class C Notes is satisfied as of any date of determination during the period commencing on the Effective Date and extending through the Initial Quarterly Payment Date if the Principal Coverage Ratio is equal to or exceeds 100....20% 69 .... Required Interest Coverage Ratio 101....... (xiii) outstanding principal of the Class A-4 Notes until paid in full.......... (xiv) the Periodic Interest on the Class B Notes (including Defaulted Interest on the Class B Notes..... (xi) outstanding principal of the Class A-2 Notes until paid in full....... (iii) in the case of a failure to satisfy either Class A Coverage Test. (ii) for the payment of certain fees and expenses.. for interest payments on the Class C Notes.... Required Principal Coverage Ratio 102................... (xv) the Periodic Interest on the Class C Notes (including Defaulted Interest on the Class C Notes...................... if any) until paid in full. to the extent necessary to satisfy such Coverage Test as of such Calculation Date...........Aggregate CDS Asset Notional Amount with respect to any Synthetic Assets that have not been terminated..50% 100......... if any of the Coverage Tests is not satisfied as of the related Calculation Date.20% 100.40% 101.0% and as of any subsequent date of determination when the Principal Coverage Ratio for such Class is equal to or exceeds the required level set forth below: Principal Coverage Test Class A Principal Coverage Test.. if any) and then outstanding principal of the Class B Notes (including the Class B Cumulative Deferred Interest Amount.......... amounts that would otherwise be used (i) for distributions to the Holders of the Income Notes. (xii) outstanding principal of the Class A-3 Notes until paid in full......00% 100........... Class B Principal Coverage Test...20% The Principal Coverage Test for the Class A Notes............ if any) and then outstanding principal of the Class C Notes (including Class C Cumulative Deferred Interest Amount...0% and as of any subsequent date of determination when the Interest Coverage Ratio for such Class is equal to or exceeds the required level set forth below: Interest Coverage Test Class A Interest Coverage Test ...................... (x) outstanding principal of the Class A-1T2 Notes until paid in full..

provided that (i) any remaining principal amount of the transferor's interest in the Rule 144A Global Note will either equal zero or meet the required minimum denominations and (ii) such transfer is made to a U. Person that is a Qualified Institutional Buyer within the meaning of Rule 144A under the Securities Act and a Qualified Purchaser in a transaction that meets the requirements of Rule 144A under the Securities Act and that the transferee.S. Interests in the Income Notes will be issued and transferred in minimum denominations of U. by purchase of such interest in the Rule 144A Global Notes. New York.$250.000 in excess thereof. the transfer is being made to a person that is both an Accredited Investor and a Qualified Purchaser in a transaction that is exempt from registration under.000 and integral multiples of U. provided that any remaining principal amount of the transferor's interest in the Rule 144A Global Note will either equal zero or meet the required minimum denominations. among other things. in accordance with the applicable procedures of DTC.S. all or a portion of an interest in a Rule 144A Global Note may be transferred to a person taking delivery in the form of an interest in a Regulation S Global Note or exchanged for an interest in a Regulation S Global Note. the registration requirements of the Securities Act and in accordance with the requirements described under "Purchase and Transfer Restrictions".S.$250. New York 10041-0099. with an address at 55 Water Street. the registration requirements of the Securities Act.S. Person and that such transfer is being made in an offshore transaction in accordance with Regulation S and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction and only in a denomination greater than or equal to the required minimum denominations and (ii) from the transferor (in the form provided in the Indenture) to the effect that. The Rule 144A Global Notes will be deposited with the Trustee as custodian for The Depository Trust Company ("DTC"). Person and that such transfer is being made in an offshore transaction in accordance with Regulation S and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction.000 in excess thereof. and is only in a denomination greater than or equal to the required minimum denominations. the transferee is not a U. "U.$1. legal opinions or other information as the Issuer may reasonably require to confirm that such transfer is being made pursuant to an exemption from. All or a portion of an interest in a Rule 144A Global Note may be transferred to a person who takes delivery of a Restricted Certificated Note in accordance with the applicable procedures of DTC.S.$1.S. warranties and acknowledgments applicable to transfers or purchases of an interest in a Rule 144A Global Note described under "Purchase and Transfer Restrictions". persons (as defined in Regulation S under the Securities Act. All or a portion of an interest in a Rule 144A Global Note may be transferred to a person taking delivery in the form of an interest in a Rule 144A Global Note in accordance with the applicable procedures of DTC (in addition to procedures and restrictions set forth under the Indenture).000 and integral multiples of U. and (ii) such other certifications. as nominee of DTC. Denomination. among other things.S. among other things. 70 . will be deemed to have made all representations. Persons") pursuant to Rule 144A under the Securities Act will be represented by one or more permanent global certificates in definitive. the transfer is being made to a person whom the transferor reasonably believes is not a U. provided that any remaining principal amount of the transferor's interest in the Rule 144A Global Note will either equal zero or meet the required minimum denominations. or in a transaction not subject to. Rule 144A Global Notes The Rated Notes (other than the Class A-1R Notes) sold in the United States or to U. procedures and restrictions set forth under the Indenture) and only upon receipt by the Trustee of (i) a written certification from the transferee (each substantially in the form provided in the Indenture) to the effect that. Registration and Transfer of the Notes Minimum Denomination Interests in each Class of Rated Notes will be issued and transferred in minimum denominations of U. Clearstream and Euroclear (in addition to the procedures and restrictions set forth under the Indenture) and only upon receipt by the Trustee of a written certification (i) from the transferee (in the form provided in the Indenture) to the effect that. ("Cede"). or is not subject to. and will be registered in the name of Cede & Co.S.Form. In addition. fully registered form without interest coupons attached (the "Rule 144A Global Notes").S. Clearstream and Euroclear (in addition to the requirements.

upon transfer. No service charge will be made for any registration of transfer or exchange of an interest in a Rule 144A Global Note. and of any applicable restrictions on transfer. Transfers of interests in the Rule 144A Global Notes are subject to certain additional restrictions.Any beneficial interest in a Rule 144A Global Note that is transferred to a person who takes delivery in the form of an interest in a Regulation S Global Note will. with such sale to be effected within thirty (30) days after notice of such sale requirement is given. On or after the Exchange Date. either of the Co-Issuers determines that any beneficial owner of a Rule 144A Global Note (or any interest therein) (i) is a U.000 in securities of issuers that are not affiliated persons of the dealer. to any subsequent transferee.$25. the Permanent Regulation S 71 . fully registered form without interest coupons attached (the "Permanent Regulation S Global Notes" and. The Indenture provides that if. in connection with such transfer. unless investment decisions with respect to the plan are made solely by the fiduciary. title and interest to such Rule 144A Global Note (or interest therein) to a Person that is a Qualified Institutional Buyer or Accredited Investor and a Qualified Purchaser.S. such Co-Issuer may require. (ii) the transferee is not a dealer described in paragraph (a)(1)(ii) of Rule 144A unless such transferee owns and invests on a discretionary basis at least U. collectively with the Temporary Regulation S Global Notes. If such beneficial owner fails to effect the transfer required within such thirty (30) day period. accordingly. shall cause such beneficial owner's interest in such Note to be transferred in a commercially reasonable sale (conducted by the Trustee in accordance with Section 9-610(b) of the Uniform Commercial Code as in effect in the State of New York as applied to securities that are sold on a recognized market or that may decline speedily in value) to a person that certifies to the Trustee and the Co-Issuers. See "Purchase and Transfer Restrictions". cease to be an interest in such Rule 144A Global Note and become an interest in a Restricted Certificated Note and. interests in Temporary Regulation S Global Notes will be exchangeable for interests in one or more permanent global certificates in definitive. the "Regulation S Global Notes") upon certification that the beneficial interests in such Temporary Regulation S Global Notes are owned by persons who are not U. Persons. or a trust fund referred to in paragraph (a)(1)(i)(F) of Rule 144A that holds the assets of such a plan. as nominee of DTC. The Temporary Regulation S Global Notes will be deposited with the Trustee acting as custodian for DTC and will be registered in the name of Cede & Co. by notice to such Holder. Regulation S Global Notes. Each transferee of a Rule 144A Global Note (or any interest therein) will be deemed to represent at the time of transfer that: (i) the transferee is a Qualified Institutional Buyer and also a Qualified Purchaser. will thereafter be subject to all transfer restrictions and other procedures applicable to interests in a Restricted Certificated Note for as long as it remains such an interest. that such Holder sell all of its right. the Trustee. that such person is a Qualified Institutional Buyer or Accredited Investor and a Qualified Purchaser and (ii) pending such transfer. accordingly. trustee or sponsor of such plan. no further payments will be made in respect of such Note held by such beneficial owner. but the Trustee may require payment of a sum sufficient to cover any tax or other governmental charge payable in connection therewith.. will thereafter be subject to all transfer restrictions and other procedures applicable to interests in a Regulation S Global Note for as long as it remains such an interest. (iii) the transferee is not a plan referred to in paragraph (a)(1)(i)(D) or (a)(1)(i)(E) of Rule 144A. Regulation S Global Income Notes The Rated Notes (other than the Class A-1R Notes) initially sold to persons who are not U. Persons (as defined in Regulation S under the Securities Act) in offshore transactions (as defined in Regulation S) in reliance on Regulation S under the Securities Act will be initially represented by one or more temporary global certificates in definitive. notwithstanding the restrictions on transfer contained therein. representations and warranties as provided in the Indenture. for the respective accounts of Euroclear and Clearstream. Person and (ii) is not a Qualified Institutional Buyer and also a Qualified Purchaser. Any interest in a Rule 144A Global Note that is transferred to a person taking delivery in the form of a Restricted Certificated Note will.S.S. cease to be an interest in such Rule 144A Global Note and become an interest in the Regulation S Global Note and. each transferee of an interest in a Rule 144A Global Note will also be deemed to have made certain additional acknowledgments. on behalf of and at the expense of the Issuer. In particular.S. On the exchange of a Temporary Regulation S Global Note for a Permanent Regulation S Global Note. upon transfer.000. and (iv) the transferee will provide written notice of the foregoing. fully registered form without interest coupons attached (the "Temporary Regulation S Global Notes"). (i) upon direction from the Issuer.

interests in Temporary Regulation S Global Income Notes will be exchangeable for interests in one or more permanent global certificates in definitive. Interests in the Regulation S Global Notes or the Regulation S Global Income Notes may not be held by a U.S. in accordance with the applicable procedures of DTC. the Permanent Regulation S Global Income Note will be deposited with the Income Note Issuing and Paying Agent acting as custodian for DTC and will be registered in the name of Cede.S. provided that (i) any remaining principal amount of the transferor's interest in the Regulation S Global Notes or any remaining amount of the transferor's interest in the Regulation S Global Income Notes will either equal zero or meet the required minimum denominations and (ii) such transfer is made to a person who is not a U. among other things. Persons. if such Holder does not comply with such demand within thirty (30) days thereof. The Income Notes initially sold to persons who are not U. fully registered form without interest coupons attached (the "Permanent Regulation S Global Income Notes" and. On or after the Exchange Date. as nominee of DTC.. fully registered form without interest coupons attached (the "Temporary Regulation S Global Income Notes"). the Indenture and the Income Note Issuing and Paying Agency Agreement permits the Issuer to demand that any person holding Regulation S Global Income Notes (or a beneficial interest therein) who is determined to be a Benefit Plan Investor or a Controlling Person not permitted to acquire or hold such Notes to sell such Regulation S Global Income Notes (or a beneficial interest therein) to a person who is not a Benefit Plan Investor or is a Controlling Person and who meets all other applicable transfer restrictions and. All or a portion of an interest in a Regulation S Global Note may be transferred to a person who takes delivery of a Restricted Certificated Note in accordance with the applicable procedures of DTC. Clearstream or Euroclear (in addition to the procedures and restrictions set forth in the Indenture or the Income Note Issuing and Paying Agency Agreement). Beneficial interests in Regulation S Global Notes or Regulation S Global Income Notes will be subject to certain restrictions on transfer set forth therein and in the Indenture or the Income Note Issuing and Paying Agency Agreement (as applicable) as described herein under "Purchase and Transfer Restrictions". as nominee of DTC. In addition. as applicable. for the respective accounts of Euroclear and Clearstream. as applicable. the "Regulation S Global Income Notes") upon certification that the beneficial interests in such Temporary Regulation S Global Income Notes are owned by persons who are not U. will be deemed to have made all representations. by purchase of such interest in such Regulation S Global Notes or Regulation S Global Income Notes. Person in offshore transactions in reliance on an exemption from the registration requirements of the Securities Act under Regulation S of the Securities Act and that the transferee. Clearstream or Euroclear (in addition to the procedures and restrictions set forth in the Indenture) upon receipt by the Trustee of a written certification from each of the transferor and the transferee (in the case of a transfer) or the Holder (in the case of an exchange) in the form provided in the Indenture to the effect that. The Temporary Regulation S Global Income Notes will be deposited with the Trustee acting as custodian for DTC and will be registered in the name of Cede & Co. for the respective accounts of Euroclear and Clearstream. On the exchange of a Temporary Regulation S Global Income Note for a Permanent Regulation S Global Income Note. Clearstream and 72 . described under "Purchase and Transfer Restrictions". All or a portion of an interest in a Regulation S Global Note or a Regulation S Global Income Note may be transferred to a person taking delivery in the form of an interest in a Regulation S Global Note or a Regulation S Global Income Note.Global Note will be deposited with the Trustee acting as custodian for DTC and will be registered in the name of Cede. provided that any remaining principal amount of the transferor's interest in the Regulation S Global Note will either equal zero or meet the required minimum denominations. Without limiting any remedies available for any breaches by it of any warranties or other assurances. as applicable. Persons (as defined in Regulation S under the Securities Act) in offshore transactions (as defined in Regulation S) in reliance on Regulation S under the Securities Act will be initially represented by one or more temporary global certificates in definitive. the transfer or exchange is to a person that is both (i) a Qualified Institutional Buyer and (ii) a Qualified Purchaser. all or a portion of an interest in a Regulation S Global Note may be transferred to a person taking delivery in the form of an interest in a Rule 144A Global Note or exchanged for an interest in a Rule 144A Global Note in accordance with the applicable procedures of DTC. and only in a denomination greater than or equal to the required minimum denominations. the Issuer may sell such Holder's interest in the Income Notes.S. for the respective accounts of Euroclear and Clearstream. warranties and acknowledgements applicable to transfers or purchases of an interest in a Regulation S Global Note or Regulation S Global Income Note. Person at any time.S. as nominee of DTC. collectively with the Temporary Regulation S Global Income Notes.

will thereafter be subject to all transfer restrictions and other procedures applicable to interests in a Rule 144A Global Note for as long as it remains such an interest. accordingly. See "—Minimum Denomination" above. 73 . each transferee of an interest in a Regulation S Global Note or Regulation S Global Income Note will also be deemed to have made certain additional acknowledgments. the transfer is being made to a person that is both an Accredited Investor and a Qualified Purchaser in a transaction that is exempt from registration under. but the Trustee or the Income Note Issuing and Paying Agent. Except in the limited circumstances described under "—Book-Entry Settlement of the Global Notes". will thereafter be subject to all transfer restrictions and other procedures applicable to interests in a Restricted Certificated Note for as long as it remains such an interest. upon transfer. the transfer or exchange is to a person that is both (i)(a) a Qualified Institutional Buyer or (b) an Accredited Investor (subject to the delivery of such certifications. the registration requirements of the Securities Act. All or a portion of an interest in a Regulation S Global Income Note. Any interest in a Regulation S Global Note that is transferred to a person taking delivery in the form of a Rule 144A Global Note will. as the case may be. owners of beneficial interests in the Global Notes will not be entitled to have such Notes registered in their names. Clearstream and Euroclear (in addition to those in the Income Note Issuing and Paying Agency Agreement) upon receipt by the Income Note Issuing and Paying Agent of a certificate from each of the transferor and the transferee in the form provided in the Income Note Issuing and Paying Agency Agreement) to the effect that. legal opinions or other information as the Issuer may reasonably require to confirm that such transfer is being made pursuant to an exemption from. as applicable. any interest in a Regulation S Global Note or Regulation S Global Income Note held by such Holder who is determined to be a U. provided that any remaining principal amount of the transferor's interest in the Regulation S Global Note will either equal zero or meet the required minimum denominations. No service charge will be made for any registration of transfer or exchange of an interest in a Regulation S Global Note or a Regulation S Global Income Note. as applicable. accordingly. and the Income Note Issuing and Paying Agency Agreement. cease to be an interest in such Regulation S Global Note and become an interest in a Restricted Certificated Note and. may be transferred to a person taking delivery in the form of a Certificated Income Note or exchanged for a Certificated Income Note in accordance with the applicable procedures of DTC. the registration requirements of the Securities Act and in accordance with the requirements described under "Purchase and Transfer Restrictions". Transfers of interests in the Regulation S Global Notes or the Regulation S Global Income Notes are subject to certain additional restrictions. representations and warranties as provided in the Indenture and the Income Note Issuing and Paying Agency Agreement. permit the Issuer to demand that the Holder sell to a Holder permitted under the Indenture or the Income Note Issuing and Paying Agency Agreement. as applicable. among other things. upon transfer. the Issuer may sell such Holder's interest in the Regulation S Global Note or Regulation S Global Income Note. procedures and restrictions set forth under the Indenture) and only upon receipt by the Trustee of (i) a written certification from the transferee (each substantially in the form provided in the Indenture) to the effect that. The Indenture.Euroclear (in addition to the requirements. may require payment of a sum sufficient to cover any tax or other governmental charge payable in connection therewith. accordingly. or in a transaction not subject to.S. if the Holder does not comply with such demand within thirty (30) days thereof. and is only in a denomination greater than or equal to the required minimum denominations and (ii) such other certifications. In particular. cease to be an interest in such Regulation S Global Note and become an interest in a Rule 144A Global Note and. upon transfer. will thereafter be subject to all transfer restrictions and other procedures applicable to interests in a Certificated Income Note for as long as it remains such an interest. legal opinions or other information as the Issuer may reasonably require to confirm that such transfer is being made pursuant to an exemption from. Person and. See "Purchase and Transfer Restrictions". in the case of the Income Notes. Any interest in a Regulation S Global Income Note that is transferred to a person taking delivery in the form of a Certificated Income Note will. provided that any remaining interest of the transferor in the Regulation S Global Income Notes will either equal zero or meet the required minimum denominations. and only in a denomination greater than or equal to the required minimum denominations. among other things. in the case of the Rated Notes. the registration requirements of the Securities Act) and (ii) a Qualified Purchaser. or is not subject to. cease to be an interest in such Regulation S Global Income Note and become an interest in a Certificated Income Note and. or in a transaction not subject to. Any interest in a Regulation S Global Note that is transferred to a person taking delivery in the form of a Restricted Certificated Note will.

S. or upon specific request for removal of the legend on such Certificated Note. a Restricted Certificated Note. The Restricted Certificated Notes will be offered in the United States only to persons who are Accredited Investors (subject to the delivery of such certifications. exchange or replacement of Certificated Notes bearing the legend. exchange. within five Business Days of such request if made at the Corporate Trust Office of the Note Registrar. 74 . as the case may be. the Trustee will. the registration requirements of the Securities Act) in reliance on the exemption from registration under the Securities Act and who are also Qualified Purchasers. Subject to the restrictions on transfer set forth in the Indenture and the Restricted Certificated Notes. as applicable. Restricted Certificated Notes The Rated Notes sold in the United States or to U. any interest in a Restricted Certificated Note held by such Holder that is determined not to have been either (i) a non-U. unless there is delivered to the Co-Issuers satisfactory evidence. Transfers of Restricted Certificated Notes may only be effected by delivery as required by the Indenture of the required written certifications to the Trustee and the Issuer from the proposed transferee regarding compliance with applicable transfer restrictions. or in a transaction not subject to. one or more Certificated Notes corresponding to the principal amount of Certificated Notes surrendered for transfer. The Indenture permits the Issuer to demand that the Holder sell to a Holder permitted under the Indenture. See "Purchase and Transfer Restrictions". In exchange for any Restricted Certificated Notes properly presented for transfer with all necessary accompanying documentation. the Issuer may sell such Holder's interest in the Restricted Certificated Note on such terms as the Issuer may accept. or replacement that bear the legend. in the case of Rated Notes. any Note Paying Agent or the Note Transfer Agent. Holders of the Restricted Certificated Notes may transfer or exchange such Notes in whole or in part (in an aggregate principal amount equal to any authorized denomination) by surrendering such Restricted Certificated Notes at the corporate trust office of the Note Registrar (the "Corporate Trust Office"). through the Trustee. in the case of Regulation S Global Income Notes. The presentation for transfer of any Restricted Certificated Notes will not be valid unless made at the Corporate Trust Office of the Note Registrar or at the office of a transfer agent by the registered Holder in person or by a duly authorized attorney-in-fact. if the Holder does not comply with such demand within 30 days thereof. A Holder of a Certificated Note may transfer or exchange such Certificated Note by surrendering it at the office of any Note Paying Agent. Upon the transfer. A description of the rules and procedures applicable to Certificated Income Notes is set forth below under "—Certificated Income Notes" and a description of the rules and procedures applicable to the Restricted Certificated Notes is set forth below under "—Restricted Certificated Notes". as the case may be. which may include an opinion of counsel reasonably satisfactory to the Co-Issuers that neither the legend nor the restrictions on transfer set forth therein are required to ensure compliance with the provisions of the Securities Act or the Investment Company Act. together with an executed instrument of assignment and an investor certificate substantially in the form attached to the Indenture. to the transferee or send by first-class mail at the risk of the transferee to such address as the transferee may request. or will refuse to remove the legend. Any Notes issued in the form of definitive physical certificates (the "Certificated Notes") in exchange for beneficial interests in Global Notes will bear the legends referred to under "Purchase and Transfer Restrictions" and will be subject to the transfer restrictions referred to in such legends. Any exchange or transfer will be in an amount no less than the required minimum denominations and any remaining principal amount of the transferor's interest in a Restricted Certificated Note will either equal zero or meet the required minimum denominations. and the Income Note Issuing and Paying Agency Agreement. deliver at the Corporate Trust Office of the Note Registrar or the office of the transfer agent. Person or (ii) both (a) a Qualified Purchaser and (b) a Qualified Institutional Buyer or an Accredited Investor at the time of acquisition of such Restricted Certificated Note and. legal opinions or other information as required pursuant to the Indenture or as the Issuer may reasonably require to confirm that such transfer is being made pursuant to an exemption from. Persons pursuant to Section 4(2) under the Securities Act will be issued in the form of definitive physical certificates in fully registered form only (each. Any Income Notes issued in the form of Certificated Income Notes and any Rated Notes issued in the form of Restricted Certificated Notes will bear the legends referred to under "Purchase and Transfer Restrictions" and will be subject to the transfer restrictions referred to in such legends.S. a "Restricted Certificated Note"). the Co-Issuers will deliver.will not receive or be entitled to receive definitive physical certificates and will not be considered "Holders" of such Notes under the Indenture. or within 10 Business Days if made at the office of a transfer agent. to the Holder or the transferee. for a like aggregate principal amount of Notes as may be requested.

Upon receipt by the Note Registrar of such holder's Certificated Class A-1R Notes properly endorsed for such exchange and written instructions from such holder designating the number and principal amounts of the applicable Certificated Class A-1R Notes to be issued 75 . If a holder of a beneficial interest in one or more Certificated Class A-1R Notes wishes at any time to exchange its interest in such related Certificated Class A-1R Notes for an interest in one or more such Certificated Class A-1R Notes of different principal amounts. in principal amounts designated by the transferee (the aggregate of such amounts being the same as the beneficial interest in the related Certificated Class A-1R Notes surrendered by the transferor) and in the minimum denominations and integral multiples in excess thereof. provided that the person taking an interest in a Regulation S Global Note is not a U.All or a portion of an interest in a Restricted Certificated Note may be exchanged for or transferred to a person taking delivery in the form of an interest in a Rule 144A Global Note.S. Upon receipt by the Issuer and the Note Registrar (with a copy to the Advance Swap Counterparty) of such holder's Certificated Class A-1R Note properly endorsed for assignment to the transferee. Any purported transfer in violation of the foregoing requirements shall be null and void ab initio.S. The Holder of a Restricted Certificated Note will not be required to bear the costs and expenses of effecting any transfer or registration of transfer. as provided below. Certificated Class A-1R Notes The Class A-1R Notes offered or sold in the United States or to U. a transfer certificate and an investor letter. Any such exchange or transfer will be reflected upon receipt by the Note Registrar of (i) the Restricted Certificated Note to be exchanged or transferred. Persons in offshore transactions in reliance on Regulation S. except that the relevant Holder will be required to bear (i) the expenses of delivery by other than regular mail (if any) and (ii) if the Co-Issuers so require. such holder may exchange or cause the exchange of such interest for an equivalent beneficial interest in the Certificated Class A-1R Notes bearing the same designation as the related Certificated Class A-1R Notes endorsed for exchange as provided below. Persons pursuant to Rule 144A or Section 4(2) under the Securities Act. the payment of a sum sufficient to cover any duty. and the Note Registrar will cancel the Restricted Certificated Note. which shall be duly executed by the Issuer and authenticated by the Trustee or the Authenticating Agent. or to non-U. each given by the transferee of such beneficial interest. If a holder of a beneficial interest in a Certificated Class A-1R Note wishes at any time to transfer its interest in such Certificated Class A-1R Note such holder may transfer or cause the transfer of such interest for an equivalent beneficial interest in one or more such Certificated Class A-1R Notes. and the Note Registrar shall not register any such purported transfer and shall not authenticate and deliver such Certificated Class A-1R Notes. properly endorsed for assignment and (ii) a certificate substantially in the form provided in the Indenture given by the Holder (in the case of an exchange) or by the transferee (in the case of a transfer). provided that the person taking an interest in a Rule 144A Global Note is a Qualified Institutional Buyer and a Qualified Purchaser. Any exchange or transfer will be in an amount no less than the required minimum denominations and any remaining principal amount of the transferor's interest in a Restricted Certificated Note will either equal zero or meet the required minimum denominations. the Note Registrar shall cancel such Certificated Class A-1R Note record the transfer in the Note Register and authenticate and deliver one or more Certificated Class A-1R Notes bearing the same designation as the related Certificated Class A-1R Notes endorsed for transfer.S. properly endorsed for assignment and (ii) a certificate substantially in the form provided in the Indenture given by the Holder (in the case of an exchange) or by the transferee (in the case of a transfer). Any exchange or transfer will be in an amount no less than the required minimum denominations and any remaining principal amount of the transferor's interest in a Restricted Certificated Note will either equal zero or meet the required minimum denominations. Any such exchange or transfer will be reflected upon receipt by the Note Registrar of (i) the Restricted Certificated Note to be exchanged or transferred. Person and that such transfer is being made in an offshore transaction in accordance with Regulation S and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction. All or a portion of an interest in a Restricted Certificated Note may be exchanged for or transferred to a person taking delivery in the form of an interest in a Regulation S Global Note. shall be issued in the form of definitive physical certificates in fully registered form without interest coupons with such legends as may be applicable thereto. registered in the names specified in the assignment. and the Note Registrar will cancel the Restricted Certificated Note. stamp tax or governmental charge or insurance charges that may be imposed in relation thereto.

and is hereby irrevocably authorized by such Holder to cause its interest in such Certificated Class A-1R Note to be transferred in a commercially reasonable sale (conducted by the Trustee in accordance with Section 9-610(b) of the Uniform Commercial Code as in effect in the State of New York as applied to securities that are customarily sold on a recognized market or that may decline speedily in value) to a person that certifies to the Co-Issuers and the Trustee. and subject to. Person or (ii) both (A) a Qualified Purchaser and (B) a Qualified Institutional Buyer or an Accredited Investor. the Issuer may sell such Holder's interest in the Certificated Income Note on such terms as the Issuer may accept. The Income Note Issuing and Paying Agency Agreement permits the Issuer to demand that the Holder sell to a Holder permitted under the Income Note Issuing and Paying Agency Agreement. registered in the same names as the related Certificated Class A-1R Notes surrendered by such holder or such different names as are specified in the endorsement described in clause (A) above.S.3-101. Each purchaser and each transferee of a Certificated Class A-1R Note will represent that either (a) it is not (and for so long as it holds a Certificated Class A-1R Note or any interest therein will not be). Transfers of Certificated Income Notes may only be effected by delivery to the Income Note Issuing and Paying Agent and the Issuer of the required written certifications from the proposed transferee regarding compliance with applicable transfer restrictions.S.F. 76 . such sale to be effected within thirty (30) days after notice of such sale requirement is given. if the Holder does not comply with such demand within thirty (30) days thereof. Section 2510. Person or (ii) both (A) a Qualified Purchaser and (B) a Qualified Institutional Buyer or an Accredited Investor. Persons pursuant to Section 4(2) or Rule 144A under the Securities Act will be issued in the form of definitive physical certificates in fully registered form only (each. in connection with such transfer. title and interest in such Certificated Class A-1R Notes to a Person that is either (i) a non-U. record the exchange in the Note Register and authenticate and deliver one or more Certificated Class A-1R Notes bearing the same designation endorsed for exchange. the Trustee shall on behalf of and at the expense of the Issuer.R. in different principal amounts designated by such holder (the aggregate principal amounts being the same as the beneficial interest in the Certificated Class A-1R Notes surrendered by such holder). ERISA. the registration requirements of the Securities Act) in reliance on the exemption from registration under the Securities Act. no further payments will be made in respect of such Certificated Class A-1R Note (or beneficial interest therein) held by such Holder. any interest in a Certificated Income Note held by such Holder who is determined not to have been either (i) a non-U. or (b) its purchase and holding of Certificated Class A-1R Note does not and will not result in a nonexempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code. the Issuer may require. by notice to such Holder. and is not acting on behalf of (and for so long as it holds a Certificated Class A-1R Note or any interest therein will not be acting on behalf of). and the minimum denominations and integral multiples in excess. (1) an "employee benefit plan" as defined in Section 3(3) of. Certificated Income Notes The Income Notes initially sold or transferred in the United States or to U. Person or (ii) both (a) a Qualified Purchaser and (b) a Qualified Institutional Buyer or an Accredited Investor at the time of acquisition of such Certificated Income Note and. (2) a "plan" as defined in Section 4975(e)(1) of. legal opinions or other information as the Issuer may reasonably require to confirm that such transfer is being made pursuant to an exemption from. Person or (ii) both (A) a Qualified Purchaser and (B) a Qualified Institutional Buyer or an Accredited Investor and (y) pending such transfer. See "Purchase and Transfer Restrictions". and subject to. that such Holder sell all its right. plan or entity is subject to Title I of ERISA or Section 4975 of the Code. in each case who are also Qualified Purchasers. The Certificated Income Notes will be offered in the United States only to persons who are (i) Qualified Institutional Buyers in reliance on the exemption from registration under the Securities Act provided by Rule 144A thereunder or (ii) Accredited Investors (subject to the delivery of such certifications. If the Issuer determines that any interest in a Certificated Class A-1R Note is being held by a Holder that is determined not to have been. that such Person is either (i) a non-U. or in a transaction not subject to.S. at the time of purchase.S.S. or (3) an entity which is deemed to hold the assets of any such plan pursuant to 29 C. a "Certificated Income Note"). the Code. (x) upon direction from the Issuer.(the aggregate principal amounts of such Certificated Class A-1R Notes being the same as the Certificated Class A1R Notes surrendered for exchange). either (i) a non-U. which employee benefit plan. If such Holder fails to effect the transfer required within such 30-day period. then the Note Registrar shall cancel such Certificated Class A-1R Notes.

the Issuer will issue or cause to be issued certificates in the form of definitive physical certificates in exchange for the applicable Global Notes to the beneficial owners of such Global Notes in the manner set forth in the Indenture. or of any authority therein or thereof having power to tax. to the transferee or send by first-class mail at the risk of the transferee to such address as the transferee may request. the Initial Purchaser. which in turn will hold the interests in such Global Notes in customers' securities accounts in the depositories' names on the books of DTC. or participants in. in the case of the Rated Notes. if (i) DTC notifies the Trustee or the Income Note Issuing and Paying Agent that it is unwilling or unable to continue as depository for the Global Notes or DTC. Investors may hold their interests in a Rule 144A Global Note directly through DTC if they are participants in DTC. or in the interpretation or administration of such laws or regulations which become effective on or after the Closing Date. 77 . and DTC may be treated by the Co-Issuers. the Initial Purchaser. DTC as well as any other persons on whose behalf such participants may act (including Euroclear and Clearstream and account holders and participants therein) will have no rights under the Indenture. in the case of the Rated Notes. Euroclear or Clearstream ceases to be a Clearing Agency registered under the Exchange Act. a Certificated Income Note for a like aggregate principal amount of Income Notes as may be requested. In exchange for any Certificated Income Notes properly presented for transfer with all necessary accompanying documentation. the payment of a sum sufficient to cover any duty. the Placement Agents and the Income Note Issuing and Paying Agent and any agent of the Co-Issuers. Members of. the Trustee. or the Income Note Issuing and Paying Agency Agreement in the case of the Income Notes. stamp tax or governmental charge or insurance charges that may be imposed in relation thereto. the registered owner of such Global Note in respect of each amount so paid. No person other than the registered owner of the relevant Global Note will have any claim against the Co-Issuers in respect of any payment due on that Global Note. the Income Note Issuing and Paying Agent or any Note Paying Agent becomes aware that it is or will be required to make any deduction or withholding from any payment in respect of the Global Notes which would not be required if the Global Notes were not represented by a global certificate. the Income Note Issuing and Paying Agent will. within five (5) Business Days of such request if made at the Corporate Trust Office of the Income Note Issuing and Paying Agent. as custodian for DTC. Investors may hold their interests in a Regulation S Global Note or a Regulation S Global Income Note directly through Clearstream or Euroclear. deliver at the Corporate Trust Office of the Income Note Issuing and Paying Agent or the office of the transfer agent as the case may be. Clearstream and Euroclear will hold interests in the Regulation S Global Notes and the Regulation S Global Income Notes on behalf of their participants through their respective depositories. and a successor depository or clearing agency is not appointed by the Trustee or the Income Note Issuing and Paying Agent within ninety (90) days after receiving such notice or (ii) as a result of any amendment to or change in the laws or regulations of the Cayman Islands. except that the relevant Holder will be required to bear (i) the expenses of delivery by other than regular mail (if any) and (ii) if the Co-Issuers so require. or indirectly through organizations which are participants in DTC. the Placement Agents or the Income Note Issuing and Paying Agent as the Holder of such Global Notes for all purposes whatsoever. the Trustee. or to the order of. with respect to such Global Notes held on their behalf by the Trustee or the Income Note Issuing and Paying Agent. in the case of the Income Notes. and the Co-Issuers will be discharged by payment to. the Issuer. or the Income Note Issuing and Paying Agency Agreement. or within ten (10) Business Days if made at the office of a transfer agent. The Holder of a Certificated Income Note will not be required to bear the costs and expenses of effecting any transfer or registration of transfer. However. or indirectly through organizations which are participants in Clearstream or Euroclear. the Trustee. if they are participants in Clearstream or Euroclear. Holders of the Certificated Income Notes may transfer or exchange such Income Notes in whole or in part (in an aggregate principal amount equal to any authorized denomination) by surrendering such Income Notes at the corporate trust office of the Income Note Issuing and Paying Agent (the "Corporate Trust Office"). together with an executed instrument of assignment and an investor certificate substantially in the form attached to the Income Note Issuing and Paying Agency Agreement. The presentation for transfer of any Certificated Income Notes will not be valid unless made at the Corporate Trust Office of the Income Note Issuing and Paying Agent or at the office of a transfer agent by the registered Holder in person or by a duly authorized attorney-in-fact. Book-Entry Settlement of the Global Notes The registered owner of a Global Note will be the only person entitled to receive payments in respect of the Notes represented by such Global Note.Subject to the restrictions on transfer set forth in the Income Note Issuing and Paying Agency Agreement and the Certificated Income Notes.

as the case may be. the Placement Agent. Subject to compliance with the transfer restrictions applicable to the Notes described above and under "Purchase and Transfer Restrictions". will be effected through DTC in accordance with DTC rules on behalf of Euroclear or Clearstream. if the transaction meets its settlement requirements. by its respective depository. None of the Issuer. The CoIssuers expect that DTC or its nominee—upon receipt of any distribution in respect of a Regulation S Global Income Note representing an Income Note held by it or its nominee—will immediately credit participants' accounts with payments in amounts proportionate to their respective beneficial interests in the stated amount of such Income Notes as shown on the records of DTC or its nominee. and directly or indirectly through Euroclear or Clearstream participants. as the case may be. DTC has advised the Co-Issuers that it will take any action permitted to be taken by a Holder of the Notes only at the direction of one or more participants to whose account with DTC an interest in a Global Note is credited and only in respect of that portion of the principal amount of the applicable Notes as to which the participant or participants has or have given direction. the Trustee. provided that these cross-market transactions will require delivery of instructions to Euroclear or Clearstream. the ability of a person holding a beneficial interest in a Global Note to pledge its interest to a person or entity that does not participate in the DTC system. who in turn act on behalf of indirect participants and certain banks. 78 . the securities account of a Euroclear or Clearstream participant purchasing an interest in a Global Note from a DTC participant will be credited during the securities settlement processing day (which must be a business day for Euroclear and Clearstream) immediately following the DTC settlement date and the credit of any transactions in interests in a Global Note settled during the processing day will be reported to the relevant Euroclear or Clearstream participant on that day. the Co-Issuer. on the other. The laws of some states require that certain persons take physical delivery of securities in definitive form. Cash received in Euroclear or Clearstream as a result of sales of interests in a Global Note by or through a Euroclear or Clearstream participant to a DTC participant will be received with value on the DTC settlement date but will be available in the relevant Euroclear or Clearstream cash account only as of the business day following settlement through DTC. Transfers between participants in Euroclear and Clearstream will be effected in the ordinary way in accordance with their respective rules and operating procedures. Transfers between participants in DTC will be effected in the ordinary way in accordance with DTC rules and will be settled in immediately available funds. the ability to transfer beneficial interests in a Global Note to these persons may be limited. Because DTC can only act on behalf of participants. Consequently. deliver instructions to its respective depository to take action to effect final settlement on its behalf by delivering or receiving interests in a Regulation S Global Note or a Regulation S Global Income Note through DTC and making or receiving payment in accordance with normal procedures for immediately available funds settlement applicable to DTC. or otherwise take actions in respect of its interest. by the counterparty in the system in accordance with its rules and procedures and within its established deadlines (Brussels time). supervising or reviewing any records relating to the beneficial ownership interests. any Note Paying Agent. cross-market transfers between DTC. the Initial Purchaser. may be affected by the lack of a physical certificate of the interest.Payments of principal of and interest on a Rule 144A Global Note and a Regulation S Global Note or distributions made on a Regulation S Global Income Note will be made to DTC or its nominee. the Income Note Issuing and Paying Agent. the Collateral Manager or any of their respective Affiliates will have any responsibility or liability for any aspect of the records relating to or payments made on account of beneficial ownership interests in a Global Note or for maintaining. The Co-Issuers also expect that payments by participants to owners of beneficial interests in a Global Note held through the participants will be governed by standing instructions and customary practices. on the one hand. Clearstream participants and Euroclear participants may not deliver instructions directly to the depositories for Clearstream or Euroclear. Euroclear or Clearstream. will. as is now the case with securities held for the accounts of customers registered in the names of nominees for such customers. as the registered owner thereof. Because of time zone differences. The payments will be the responsibility of the participants. as the case may be. The Co-Issuers expect that DTC or its nominee—upon receipt of any payment of principal or interest in respect of a Rule 144A Global Note or a Regulation S Global Note representing a Note held by it or its nominee— will immediately credit participants' accounts with payments in amounts proportionate to their respective beneficial interests in the stated initial principal amount of such Note as shown on the records of DTC or its nominee.

defaced. a member of the Federal Reserve System. as the case may be. Lost or Stolen Certificates In case any Certificated Note or Certificated Income Note shall become mutilated. Defaced. the Income Note Issuing and Paying Agency Agreement or the Income Notes. the Issuer or the Co-Issuers. Mutilated. Clearstream. in every case of destruction. as applicable. dealers and trust companies that clear through or maintain a custodial relationship with a participant. will furnish to the Issuer or the Co-Issuers. either directly or indirectly ("indirect participants"). the Income Note Issuing and Paying Agent or any Note Paying Agent will have any responsibility for the performance by DTC. as applicable. Clearstream and Euroclear. loss or theft of the Note. as applicable. the Co-Issuer. 79 . and the Note Registrar or Income Note Registrar. they are under no obligation to perform or continue to perform these procedures. however. lost or stolen. brokers. as the case may be. as applicable. nothing in the Indenture. trust companies and clearing corporations and may include certain other organizations. as the case may be. None of the Issuer. provided. thereby eliminating the need for physical movement of certificates. the Notes. the Trustee or any Paying Agent any right against Euroclear to require that Euroclear reverse or rescind any trade completed in accordance with the rules of Euroclear. as the case may be. Although DTC. satisfactory evidence of the destruction. Upon the issuance of any such Certificated Note or Certificated Income Note. destroyed. dated the date of its authentication and bearing interest from the date to which interest has been paid on the Rated Note in the case of the Certificated Note. may require the payment by the registered Holder thereof of a sum sufficient to cover fees and expenses connected therewith. or in lieu of and substitution for such Certificated Note or Certificated Income Note. as the case may be. the Trustee. loss or theft of such Certificated Note or Certificated Income Note. as the case may be. Euroclear or their respective participants or indirect participants of their respective obligations under the rules and procedures governing their operations. without prejudice to the rights of the Co-Issuers against any beneficial owner or purported beneficial owner of Notes. Participants include securities brokers and dealers. Any purported transfer of a Note not in accordance with the Indenture or the Income Note Issuing and Paying Agency Agreement. and the procedures may be discontinued at any time. will authenticate and deliver a new Certificated Note or Certificated Income Note. as the case may be. the Note Registrar or the Income Note Registrar. a "clearing corporation" within the meaning of the New York Uniform Commercial Code and a "clearing agency" registered pursuant to the provisions of Section 17A of the Exchange Act. and of the ownership thereof. the applicant will also furnish to the Issuer or the Co-Issuers. of like tenor (including the same date of issuance) and equal principal amount. and entitled to distributions from the date such distributions have been paid in the case of the Certificated Income Notes. the Issuer or the Co-Issuers. Clearstream and Euroclear have agreed to the foregoing procedures in order to facilitate transfers of interests in the Global Notes among participants of DTC. will execute and upon the request of the Issuer or the CoIssuers. will be null and void ab initio and will not be given effect for any purpose whatsoever. DTC was created to hold securities for its participants and facilitate the clearance and settlement of securities transactions between participants through electronic book-entry changes in accounts of its participants. the applicant for a substitute Certificated Note or Certificated Income Note. lost or stolen. banks. will be interpreted to confer on the Co-Issuers. as the case may be. security or indemnity as may be required by them to save each of them harmless and. Destroyed. Indirect access to the DTC system is also available to others such as banks. registered in the same manner.DTC is a limited purpose trust company organized under the laws of the State of New York. as applicable. in exchange and substitution for the Certificated Note or Certificated Income Note (upon surrender and cancellation thereof). In case such Certificated Note or Certificated Income Note is destroyed.

or (iii) a reduction of the Advance Swap Notional Amount is specified to occur pursuant to the Priority of Payments on any Quarterly Payment Date. the "Advance Swap Notional Amount"). on the last day of the Interest-Only Period.THE ADVANCE SWAP The following summary describes certain provisions of the Advance Swap.000) (such lesser amount. dated as of the Closing Date (the "Advance Swap"). under which the Advance Swap Counterparty will agree to make available to the Issuer drawings (each. and qualified in its entirety by reference to.$1. to reduce the Advance Swap Notional Amount by an amount not to exceed the lesser of (x) the Advance Swap Undrawn Notional Amount and (y) the amount (if any) by which the Synthetic Asset Capacity Amount is greater than zero (or any lesser amount that is an integral multiple of U. The Issuer will not make an Advance Swap Draw under the Advance Swap on the Closing Date. no Event of Default shall have occurred and be continuing. the Issuer is in compliance with each Coverage Test and no Event of Default shall have occurred. upon three Business Days' prior notice in writing to the Advance Swap Counterparty. (2) to make any CDS Interest Payment due and payable to a CDS Counterparty as and to the extent an Advance Swap Draw on the Advance Swap Undrawn Notional Amount is required to make such payment pursuant to the CDS Payment Priority. (b) the Redemption Date and (c) such earlier date. or (iv) at any time a reduction in respect of any Synthetic Unfunded Excess Capacity Reduction is required pursuant to the Advance Swap or the Indenture. makes any deposit to the Synthetic Reserve Account or the Synthetic Asset Collateral Account in an amount equal to the Advance Swap Notional Reduction Amount. In order to provide the Issuer with funds to meet its obligations under the CDS Assets after the Synthetic Reserve Account.S. as initial counterparty (the "Advance Swap Counterparty"). with Citibank. the "Advance Swap Notional Reduction Amount") or (2) after the end of the Interest-Only Period. then the Issuer may elect. to reduce the Advance Swap Notional Amount with respect to any deposit of funds into the Synthetic Reserve Account or the Synthetic Asset Collateral Account. as it may be increased or decreased in accordance with the Advance Swap. or 80 . upon three Business Days' prior notice in writing to the Advance Swap Counterparty. or (ii) the Issuer (1) at any time elects.S. an "Advance Swap Draw") in an aggregate amount up to U.A.000 (such amount. ("Citibank"). subject to the terms and conditions set forth in the Advance Swap. the Issuer may draw on the Advance Swap Undrawn Notional Amount to obtain funds for the following purposes (each such draw. the provisions of the Advance Swap. (the "Advance Swap Scheduled Termination Date"). The Advance Swap Notional Amount will be permanently reduced from time to time. to the extent that (i) the Issuer makes any required repayment of any Advance Swap Draws pursuant to the Priority of Payments in the Indenture. the Synthetic Asset Collateral Account. Notional Amount The Advance Swap Notional Amount will be subject to reduction from time to time and a one-time increase at the end of the Interest-Only Period.$225. If the Interest-Only Period shall not have ended. Draws On any Business Day up to but excluding the Advance Swap Termination Date. the Advance Swap Notional Amount will be increased by the amount of the Class A-1R Commitment Shift-Over Amount.000. The Advance Swap will terminate on the date (the "Advance Swap Termination Date") that is the earliest of (a) the Payment Date in October 2046. the Issuer will enter into a swap agreement. If. This summary does not purport to be complete and is subject to. The Advance Swap Draws will not be invested in Collateral Assets but instead will be used to make payments to the CDS Asset Counterparties. on which the Advance Swap Notional Amount is reduced to zero in accordance with its terms and the Indenture. if any. the Class A-1R Note Undrawn Amount and available funds in the Principal Collections Account have been reduced to zero. an "Advance Swap Draw"): (1) to pay any CDS Loss Payment due and payable to a CDS Counterparty as and to the extent an Advance Swap Draw on the Advance Swap Undrawn Notional Amount is required to make such payment pursuant to the CDS Payment Priority (as described below). N.

The Advance Swap Commitment Fee will be payable subject to and in accordance with the Priority of Payments. Commitment Fees and Drawing Fees Pursuant to the Advance Swap. one-month LIBOR plus 1. the "Advance Swap Draw Date"). The Advance Swap Drawing Fee will be calculated based upon the Average Used Advance Swap Amount multiplied by the Advance Swap Drawing Fee Rate multiplied by the actual number of days during each applicable Interest Period divided by 360. which shall deposit any such retained amounts in any related Advance Swap Mandatory Draw Reserve Account. Any Advance Swap Commitment Fee that is accrued but unpaid on any Payment Date in accordance with the Priority of Payments will accrue interest thereon at a rate equal to Advance Swap Drawing Fee Rate (subject to the above provisions on default and nonaccrual if the Advance Swap Counterparty is in default under the Advance Swap). of the Advance Swap Draw Date. The Issuer (or the Trustee on behalf of the Issuer) will make the Advance Swap Draws on the Advance Swap Undrawn Notional Amount by delivering a notice substantially in the form required pursuant to the Advance Swap (an "Advance Swap Draw Notice") for settlement not less than three (3) Business Days following the delivery of such Advance Swap Draw Notice (such settlement date.(3) to pay any CDS Issuer Termination Payment (other than a CDS Subordinated Issuer Termination Payment) due and payable to a CDS Counterparty as and to the extent an Advance Swap Draw on the Advance Swap Undrawn Notional Amount is required to make such payment pursuant to the CDS Payment Priority.40 percent per annum or.m. Each Advance Swap Draw Notice shall be delivered via facsimile or electronic mail in accordance with the terms of the Advance Swap. the Issuer will pay to the Advance Swap Counterparty a commitment fee (the "Advance Swap Commitment Fee") that will accrue and be payable monthly on each monthly Payment Date at a rate equal to 0. The Advance Swap Counterparty will fund each Advance Swap Draw on the related Advance Swap Draw Date by wire transfer of immediately available funds to the Synthetic Reserve Account in accordance with the instructions set forth in the Advance Swap Draw Notice not later than 11:00 a. The Advance Swap Commitment Fee will be calculated based upon the Average Undrawn Advance Swap Amount multiplied by the Advance Swap Commitment Fee Rate multiplied by the actual number of days during each applicable Interest Period divided by 360. The aggregate of all Advance Swap Draws shall not exceed the Advance Swap Notional Amount. "Average Used Advance Swap Amount" for any Interest Period is (x) the sum of the amount of the Used Advance Swap Amount for each day during the Interest Period divided by (y) the actual number of days in the Interest Period. Any Advance Swap Drawing Fee that is accrued but unpaid on any Monthly Payment Date in accordance with the Priority of Payments will accrue interest thereon at a rate equal to Advance Swap Drawing Fee Rate (subject to the above provisions on default and non-accrual if the Advance Swap Counterparty is in default under the Advance Swap). provided that no Advance Swap Commitment Fee amount will accrue or be payable for any period in which the Advance Swap Counterparty is in default of its obligations to fund an Advance Swap Draw. However.13% per annum (the "Advance Swap Commitment Fee Rate") on the Average Undrawn Advance Swap Amount for each Interest Period. A drawing fee (the "Advance Swap Drawing Fee") will accrue and be payable by the Issuer to the Advance Swap Counterparty monthly on each Monthly Payment Date at a rate equal to one-month LIBOR plus 0. "Average Undrawn Advance Swap Amount" for any Interest Period is (x) the sum of the amount of the Advance Swap Undrawn Notional Amount for each day during the Interest Period divided by (y) the actual number of days in the Interest Period. The Advance Swap Drawing Fee that is due on any Monthly Payment Date will be paid in accordance with the Priority of Payments prior to the payment of any interest that is due and payable on such Monthly Payment Date in respect of the Notes. The Advance Swap Drawing Fee will be payable to the Advance Swap Counterparty subject to and in accordance with the Priority of Payments.00 percent per annum (the "Advance Swap Drawing Fee Rate") on the Average Used Advance Swap Amount for each Interest Period. provided that the Advance Swap Drawing Fee will accrue for any period in which the Advance Swap Counterparty is in default of its obligations to fund an Advance Swap Draw under the Advance Swap. such Advance Swap Drawing Fees will not be paid to the Advance Swap Counterparty during the continuance of such default and shall be retained by the Trustee. The Advance Swap Commitment Fee that is due on any Monthly Payment Date will be paid in accordance with the Priority of Payments prior to the payment of any interest that is due and payable on such Monthly Payment Date in respect of the Notes. 81 . if an Event of Default has occurred and is continuing.

and fourth. if the Outstanding Principal Draw Amount has not been reduced to zero. as the case may be. the Advance Swap Counterparty may be required to immediately fund the Advance Swap Undrawn Notional Amount. such Available Funds will not be available for Advance Swap Repayment Amounts until after such Available Funds have been applied in accordance with the Priority of Payments on the relevant Payment Date. The "Used Advance Swap Repayment Amount Priority" shall mean: (i) first. if the Outstanding Principal Draw Amount has not been reduced to zero. transfer to or at the direction of the Advance Swap Counterparty one or more Reserve Investments remaining in the Synthetic Reserve Account and/or Eligible Synthetic Collateral Assets on deposit in the Synthetic Asset Collateral Account in an aggregate par amount up to the remaining Outstanding Principal Draw Amount (with respect to which Reserve Investments or Eligible Synthetic Collateral Assets. if the Outstanding Principal Draw Amount has not been reduced to zero. Mandatory Draw Upon the occurrence of certain downgrade events with respect to the Advance Swap Counterparty or a failure to fund an Advance Swap Draw. (ii) (iii) (iv) provided that. third. The Trustee shall withdraw amounts in the Advance Swap Mandatory Draw Reserve Account in order to fund any Advance Swap Draws during any period that the Advance Swap Counterparty is required to make an 82 . Eligible Synthetic Collateral Assets on deposit in the Synthetic Asset Collateral Account as of such date (whether or not available in cash. a mandatory draw (the "Advance Swap Mandatory Draw") in an amount equal to the Advance Swap Undrawn Notional Amount shall become due and payable without any notice or further action on the part of the Issuer or any other Person upon (i) the Advance Swap Counterparty's failure to fund any Advance Swap Draw or (ii) the occurrence and continuance of an Advance Swap Ratings Event for a period of 30 days. Provided that no Event of Default with respect to the insolvency of the Issuer shall have occurred and be continuing. but excluding any Reserve Investments being traded below par) will be liquidated and the sale proceeds thereof (other than investment earnings thereon) will be paid to the Advance Swap Counterparty until the Outstanding Principal Draw Amount is reduced to zero. but excluding any Eligible Synthetic Collateral Assets being traded below par) will be liquidated and the sale proceeds thereof (other than investment earnings thereon) will be paid to the Advance Swap Counterparty until the Outstanding Principal Draw Amount is reduced to zero. Collateral Principal Collections on deposit in the Collection Account or Eligible Investments as of such date purchased with Collateral Principal Collections (whether or not available in cash) will be liquidated and such cash and/or sale proceeds (other than investment earnings thereon) will be paid to the Advance Swap Counterparty until the Outstanding Principal Draw Amount is reduced to zero. Reserve Investments on deposit in the Synthetic Reserve Account as of such date (whether or not available in cash. second. those with the shortest average life will be transferred or delivered first). the Issuer is required to make repayments in respect of the Used Advance Swap Amount (the "Advance Swap Repayment Amount") in amounts determined in accordance with the Used Advance Swap Repayment Amount Priority and the Priority of Payments. Any Advance Swap Mandatory Draw shall be deposited into the Advance Swap Mandatory Draw Reserve Account. following the calculation of Available Funds on each Calculation Date. The Advance Swap Notional Amount will be permanently reduced by the amount of any Advance Swap Repayment Amounts.Repayment of Draws On each Quarterly Payment Date.

deposit or similar obligations are rated below "Aa3" by Moody's or (B) short-term senior unsecured debt.C. Citibank is an indirect wholly-owned subsidiary of Citigroup Inc. S. Earnings on such investments shall be paid to the Advance Swap Counterparty on each Payment Date to the extent that the amounts remaining on deposit therein are equal to the Advance Swap Undrawn Notional Amount. a Delaware holding company. the Advance Swap Counterparty will take one of the following actions (at its own expense and while continuing otherwise to perform its obligations pursuant to the Advance Swap): (A) transfer all of its rights and obligations under the Advance Swap to another entity with ratings at least equal to the thresholds set forth in the definition of "Advance Swap Ratings Event". with the SEC and publicly available portions of the reports filed with the Comptroller of the Currency by Citibank.. None of the Issuer. 2006. contained in such paragraph has been furnished solely to provide limited information regarding Citibank and Citigroup Inc.gov. Amounts in the Advance Swap Mandatory Draw Reserve Account may be invested in Eligible Assets at the direction of the Advance Swap Counterparty. the Advance Swap Counterparty. The obligations of Citibank under the Advance Swap will not be guaranteed by Citigroup Inc. Washington.Advance Swap Mandatory Draw. if such short-term senior unsecured debt. and its consolidated subsidiaries.fdic.. any amount in such account will not be considered to be part of the Used Swap Amount and will not accrue the Advance Swap Drawing Fee. indemnity or letter of credit shall be subject to approval by the Rating Agencies.A. Citibank. deposit or similar obligations are rated below "A1" by Moody's. deposit or similar obligations are rated lower than "A-1" by S&P. or (B) cause an entity with ratings at least equal to the thresholds set forth in the definition of "Advance Swap Ratings Event" to guarantee or provide an indemnity or letter of credit in respect of the obligations of the Advance Swap Counterparty. As of June 30. Prior to withdrawal of amounts in the Advance Swap Mandatory Draw Reserve Account to fund any Advance Swap Draws. the long-term senior unsecured debt. deposit or similar obligations are rated below "AA-" by S&P. the Advance Swap Counterparty and its affiliates have not prepared and do not accept responsibility for this Prospectus. The information concerning Citibank and Citigroup Inc. N. The information in the preceding paragraph has been provided by the Advance Swap Counterparty for use in this Prospectus. and does not purport to be comprehensive. the Advance Swap Counterparty's) (A) short-term senior unsecured debt.. 83 . the total assets of Citibank and its consolidated subsidiaries represented approximately 48% of the total assets of Citigroup Inc. the Initial Purchaser or the Collateral Manager. Citibank.A. or. N. the Initial Purchaser or the Collateral Manager assumes responsibility for such information. Except for such paragraph. To the extent that amounts on deposit in the Advance Swap Mandatory Draw Reserve Account are less than the Advance Swap Undrawn Notional Amount. The information appearing under this heading has been prepared by Citibank and has not been independently verified by the Issuer. D. and now is a national banking association organized under the National Bank Act of 1864. The form and substance of any agreement transferring the rights and obligations of the Advance Swap Counterparty and any guarantee. but will continue to accrue the Advance Swap Commitment Fee in accordance with the terms therefor. 20219 or from the site maintained by the FDIC on the World Wide Web at http://www. This information is qualified in its entirety by the detailed information appearing in the filings made by Citigroup Inc. was originally organized on June 16. deposit or similar obligations are not rated by S&P.W. 1812. If an Advance Swap Ratings Event shall occur and be continuing. Advance Swap Ratings Event An "Advance Swap Ratings Event" means the Advance Swap Counterparty's guarantor's (or. deposit or similar obligations are rated lower than "P-1" by Moody's and the long-term senior unsecured debt. Copies of the reports filed with the Comptroller of the Currency can be obtained from their offices at 250 E Street. deposit or similar obligations are not rated by Moody's. any payments that would otherwise be paid to the Advance Swap Counterparty pursuant to the Advance Swap shall be paid into the Advance Swap Mandatory Draw Reserve Account. if the Advance Swap Counterparty has no guarantor. the long-term senior unsecured debt. or if such short-term senior unsecured debt.

and interest in. the Advance Swap to IXIS Financial Products Inc. IXIS Financial Products Inc. comply with the minimum rating criteria applicable to the Advance Swap Counterparty under the Advance Swap. Citibank will transfer and assign all of its rights and obligations under. through credit support by an affiliate. 84 . within a limited period of time following the Closing Date. No assurance can be made that such transfer will occur or as to the timing of any such transfer. its obligations as such will at such time.Successor Advance Swap Counterparty The Issuer expects that. has advised the Issuer that if it becomes the Advance Swap Counterparty.

(v) a default in the performance. breach or failure and requiring it to be remedied and stating that such notice is a "Notice of Default" under the Indenture. of the Advance Swap Drawing Fee. or 85 . of any Advance Swap Drawing Fee. a continuation of such failure for a period of seven (7) Business Days after the Trustee is made aware of such administrative error). any Note Paying Agent or the Note Registrar. such default continues for a period of seven (7) Business Days after the Trustee is made aware of such administrative error). in the case of a default in payment resulting solely from an administrative error or omission by the Trustee. the Administrator. (ii) a default in the payment of any principal.THE INDENTURE AND THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT The following summary describes certain provisions of the Indenture and the Income Note Issuing and Paying Agency Agreement. the provisions of the Indenture and the Income Note Issuing and Paying Agency Agreement. the Administrator. breach or failure of a representation or warranty regarding the Collateral. if the Advance Swap and the Aggregate Class A-1R Commitment have been terminated and there are no Class A Notes or Class B Notes Outstanding. of any other covenant (it being understood that non-compliance with any of the Coverage Tests. such default continues for a period of five (5) Business Days after the Trustee is made aware of such administrative error). any Note Paying Agent or the Note Registrar or by any bank or other third party institution involved in respect of such payments or any combination of such parties. or. in the case of a default in payment resulting solely from an administrative error or omission by the Trustee. or if the Advance Swap and the Aggregate Class A-1R Commitment have been terminated and there are no Class A Notes Outstanding. any Advance Swap Commitment Fee. the Class A-1R Notes or any other Rated Note (or. any Class A-1R Commitment Fee or any interest on any Class A Note. when due and payable. when due and payable. fifteen (15) days) from the earlier of knowledge by the Co-Issuers or the Collateral Manager or notice to the Co-Issuers and the Collateral Manager by the Trustee or to the Co-Issuers and the Collateral Manager by the Holders of at least 25%. in the case of a default in payment resulting solely from an administrative error or omission by the Trustee. and qualified in its entirety by reference to. or if any certificate or writing delivered pursuant thereto proves to be incorrect when made. (iii) the failure on any Monthly Payment Date or Quarterly Payment Date to disburse amounts available in accordance with the Priority of Payments (except as provided in paragraphs (i) and (ii) above) and a continuation of such failure for five (5) Business Days (or. specifying such default. in the case of default. in Aggregate Outstanding Amount. which default or breach has a material adverse effect on the Rated Noteholders and continues for a period of thirty (30) days (or. on any Class B Note. on any Class C Note (or. any Note Paying Agent or the Note Registrar or by any bank or other third party institution involved in respect of such payments or any combination of such parties. insolvency or reorganization of either of the Co-Issuers as set forth in the Indenture. (iv) either of the Co-Issuers or the pool of Collateral becomes an investment company required to be registered under the Investment Company Act. of the Outstanding Rated Notes of any Class. the Collateral Quality Tests or the Portfolio Percentage Limitations will not constitute a default or breach) or of any representation or warranty of the Co-Issuers made in the Indenture. the Administrator. Events of Default An "Event of Default" is defined in the Indenture to include: (i) a default for five (5) Business Days in the payment. (vi) certain events of bankruptcy. or breach. The summary does not purport to be complete and is subject to.

any Hedge Agreement and Cashflow Swap Agreement. (ii) a default in the payment of principal of the Advance Swap or any Rated Note at its Stated Maturity Date or Redemption Date. such default continues for a period of seven (7) Business Days). request and offer of such indemnity failed to institute any such proceeding and (iv) no direction inconsistent with such written request has been given to the Trustee during such thirty (30) day period or by a Majority of the Controlling Class. the Trustee will. any Note Paying Agent or the Note Registrar. continue making and applying payments and deposits and maintain all accounts in respect of the Collateral and the Rated Notes in accordance with the Indenture unless (i) the Trustee determines (such determinations to be based according to the procedures described in the Indenture) that the anticipated proceeds of a sale or liquidation of the Collateral (after deducting reasonable expenses relating to such sale or liquidation) would be sufficient to discharge in full the Redemption Prices then due on the Rated Notes. provided that the Principal Coverage Amount in respect of the calculation of such ratio (i) shall not include any subtractions or discounts set forth in the definition thereof and (ii) shall include (1) Defaulted Assets at the lower of their Market Values or their recovery rates and (2) Discount Collateral Debt Assets at their purchase prices. the Administrator. the Trustee will retain the Collateral intact. If an Event of Default occurs and is continuing. except (i) a default in the payment. unless it will be paid in full all amounts owing to it by the Issuer. as the case may be. its Rated Note or otherwise unless (i) such Holder previously has given to the Trustee written notice of an Event of Default. but only if (i) such direction will not conflict with any rule of law or provision of the Indenture (including the limitations described in the paragraph above) and (ii) the Trustee determines that such action will not involve it incurring any liability (unless the Trustee is indemnified to its satisfaction against any such liability). collect and cause the collection of all proceeds in respect of the Collateral. declare the principal of and accrued interest on all the Rated Notes to be immediately due and payable. if so directed by the Holders of a Majority of the Controlling Class. when due and payable. in the case of a default in payment resulting solely from an administrative error or omission by the Trustee. the Holders of at least 25% of the then outstanding principal amount of the Rated Notes of the Controlling Class have made a written request to the Trustee to institute such proceedings in its own name as Trustee and such Holders have offered the Trustee reasonable indemnity. of any interest or fees on the Advance Swap or any Rated Note. declare that no further CDS Assets may be purchased by the Issuer and declare a Synthetic Unfunded Excess Capacity Reduction to occur (except that in the case of an Event of Default described in clause (vi) above. any amounts required to be paid under the Advance Swap. to disburse amounts available in the Collection Account in accordance with the Priority of Payments and continuation of such failure for a period of five (5) Business Days (or. (iii) the failure on any Monthly Payment Date or Quarterly Payment Date. the Class A Principal Coverage Ratio is less than 100%. If an Event of Default occurs and is continuing when any Class of Rated Notes is Outstanding. The Holders of a Majority of the Controlling Class will have the right to direct the Trustee in writing in the conduct of any proceedings or in the sale of any or all of the Collateral due to the occurrence and continuation of an Event of Default (subject to the preceding paragraph). all unpaid Administrative Expenses and the Senior Collateral Management Fee and the Subordinate Collateral Management Fee (to the extent not waived by the Collateral Manager in connection with such sale or liquidation) and the Holders of a Majority of the Controlling Class agree with such determination or (ii) the Holders of a Super-Majority of the Controlling Class (and.(vii) on any Measurement Date. each Hedge Counterparty. (ii) except in the case of a default in the payment of principal or interest. (iv) certain events of bankruptcy or insolvency with respect to the Co-Issuers or (v) any provision of the Indenture that cannot be modified or amended without the waiver or consent of the Holder of each Outstanding Rated Note materially and adversely affected thereby. such an acceleration. such cessation of further CDS Asset purchases and such a Synthetic Unfunded Excess Capacity Reduction will occur automatically). the Advance Swap Counterparty. The Holders of a Majority of the Controlling Class may waive any past default and its consequences with respect to such Notes. Only the Trustee may pursue the remedies available under the Indenture and no Holder of a Rated Note will have the right to institute any proceeding with respect to the Indenture. (iii) the Trustee has for thirty (30) days after receipt of notice. 86 . each Cashflow Swap Counterparty and (with respect to any accrued and unpaid Senior Collateral Management Fee) direct the sale and liquidation of the Collateral.

(vi) modify any of the provisions of the Indenture with respect to supplemental indentures except to increase the percentage of Holders of 87 . reduce the principal amount thereof or the rate of interest thereon. the consent of Holders of the Income Notes (if materially and adversely affected thereby). In addition. may execute a supplemental indenture to add provisions to. or the coin or currency in which. the Class A1R Note Agent and the Collateral Manager. Modification of the Indenture Except as provided below. the Trustee and the Co-Issuers. no supplemental indenture may (i) change the applicable Stated Maturity Date of the Rated Notes or scheduled redemption of the principal of or the due date of any installment of interest on the Rated Notes. with the consent of the Advance Swap Counterparty. for so long as any of the Notes are listed on the Irish Stock Exchange and the guidelines of the Irish Stock Exchange so require. Notices to the Income Noteholders will be given by first class mail. change the provisions of the Indenture relating to the application of proceeds of any Collateral to the payment of principal of or interest on the Rated Notes or change any place where. (ii) reduce the percentage of Holders of the Aggregate Outstanding Amount of Rated Notes of each Class. the consent of the Advance Swap Counterparty and the consent of each Hedge Counterparty and Cashflow Swap Counterparty (but only if the right of such Hedge Counterparty and Cashflow Swap Counterparty to payments in accordance with the Priority of Payments is materially and adversely affected). Without the written consent of the Holders of 75% or more of the aggregate principal amount of each materially and adversely affected Class of Rated Notes Outstanding. Notices Notices to the Holders of the Notes will be given by first-class mail. Rated Notes or the principal thereof or interest thereon is payable. notice or consent concerns the removal of the Collateral Manager. the Indenture or modify in any manner the rights of the Holders of the Rated Notes of such Class or of the Income Notes or the Hedge Counterparties under the Indenture. notice or consent. postage prepaid.During any period following the acceleration of the Notes but prior to the liquidation of the Collateral. or change the earliest date on which Rated Notes may be redeemed. whose consent is required for the authorization of any supplemental indenture or for any waiver of compliance with certain provisions of the Indenture or certain defaults thereunder or their consequences. (iv) permit the creation of any security interest ranking prior to or on a parity with the security interest of the Indenture with respect to any part of the Collateral or terminate such security interest on any property at any time subject thereto (other than in accordance with the Indenture) or deprive the Holder of any Rated Note of the security afforded by the security interest of the Indenture. or the percentage in aggregate principal amount of Income Notes. Notes owned by the Collateral Manager will be disregarded in certain circumstances as set forth in the Collateral Management Agreement. Rating Agency Confirmation (for so long as any Rated Notes are Outstanding). to the registered Holders of Notes at their addresses appearing in the Note Register. In determining whether the Holders of the requisite percentage of Notes have given any direction. provided that if such direction. with the written consent of the Class A-1R Notes Agent and the Holders of at least 75% of the Outstanding Rated Notes of each Class (in principal amount) materially and adversely affected thereby and the written consent of Holders of a Super-Majority of the Income Notes (if materially and adversely affected thereby). or change in any manner or eliminate any provisions of. or impair the right to institute suit for the enforcement of any such payment on or after the Stated Maturity Date thereof (or. or the Redemption Price with respect thereto. in the case of redemption. to the registered Holders of the Income Notes at their address appearing in the Income Note Register. (iii) impair or adversely affect the Collateral except as otherwise permitted by the Indenture. (v) reduce the percentage of Holders of the Aggregate Outstanding Amount of Rated Notes of each Class whose Holders' consent is required to request the Trustee to preserve the Collateral or rescind the Trustee's election to preserve the Collateral or to sell or liquidate the Collateral pursuant to the Indenture. notices to the Holders of such Notes will also be published in the Irish Stock Exchange's Daily Official List. on or after the Redemption Date). any proceeds (exclusive of interest) realized upon the maturity or payment of Eligible Investments will be reinvested in Eligible Investments in the same manner as such proceeds would be invested if the Notes had not been accelerated. postage prepaid. Notes owned by the Co-Issuers or any Affiliates thereof will be disregarded and deemed not to be Outstanding.

"Synthetic Assets".S. cure any ambiguity. as applicable. or to affect the right of the Holders of Rated Notes to the benefit of any provisions for the redemption of such Rated Notes contained therein. (x) otherwise correct. (ii) add to the covenants of the Co-Issuers or the Trustee for the benefit of the Holders of the Rated Notes. provided that such action will not cause Holders to experience any material change to the timing. convey and confirm unto the Trustee any property subject to the lien of the Indenture. (viii) correct or amplify the description of any property at any time subject to the lien of the Indenture. "Outstanding" or terms related thereto or the Priority of Payments set forth in the Indenture. the Portfolio Percentage Limitations and the definitions applicable thereto to correspond with published or written changes in the guidelines. convey. unless each Holder of Rated Notes of each Class whose rating will be reduced or withdrawn has. (ix) make any change required by the stock exchange on which any Class of Rated Notes is listed. methodology or standards established by the Rating Agencies. the Hedge Counterparties or the Income Noteholders to: (i) evidence the assumption by any such successor of the covenants of the Co-Issuers with respect to the Rated Notes or the Indenture. after notice that the proposed supplemental indenture would result in such reduction or withdrawal of the rating of the Class of Rated Notes held by such Holder. The Co-Issuers and the Trustee may also enter into supplemental indentures. to modify the calculation of the Collateral Quality Tests.S. (xi) modify provisions stating that the obligations of the Co-Issuers are joint and several limited recourse obligations of the Co-Issuers payable solely from the Collateral in accordance with the terms of the Indenture or (xii) modify the terms of the Advance Swap or the Class A-1R Note Purchase Agreement (items (i) through (xii) collectively. (vi) modify the restrictions on and procedures for resale and other transfers of the Rated Notes in accordance with any change in any applicable law or regulation (or interpretation thereof) or enable the Co-Issuers to rely upon any less restrictive exemption from registration under the Securities Act or the Investment Company Act (in addition to that provided under Section 3(c)(7) thereunder) or remove restrictions on resale and transfer to the extent not required thereunder. any Note Paying Agent or the Trustee from being subject to withholding or other taxes. (viii) modify any of the provisions of the Indenture in such a manner as to affect the calculation of the amount of any payment of interest or principal of any Rated Note on any Monthly Payment Date or Quarterly Payment Date.1001-3 of the U. state or local income tax on a net income tax basis. the Trustee shall not enter into any such supplemental indenture if. (v) take any action necessary or advisable to prevent the Issuer. "Eligibility Criteria". which is determined by the Trustee to be proper to make if the Trustee determines (based solely upon an opinion of counsel) that such modification will not have a material adverse effect on the interests of Holders of any Class or Classes of Rated Notes and which is of a formal. or (xiv) agree to any modification of the Indenture or any other Transaction Document (other than in respect of a Reserved Matter). in order to permit or maintain such listing. assign. (ix) make modifications to facilitate new Hedge Agreements. (xiii) with the consent of the Collateral Manager and a Majority of the Controlling Class. authentication and delivery of the Rated Notes. without obtaining the consent of any Holders of the Rated Notes. mortgage or pledge any property to or with the Trustee in accordance with the Indenture. provided that in any such case. If any Class of Rated Notes is then rated by any Rating Agency. (vii) modify the definition of the terms "Eligible Investments". Treasury regulations. if any. (xii) modify any provision (other than in respect of a Reserved Matter) that the Issuer or the Collateral Manager determines to be necessary or desirable in order for the Co-Issuers to maintain any desired exemption from registration of the CoIssuers under the Investment Company Act or of the offer of the Notes under the Securities Act. amend. character of source of income from the notes and will not be considered a significant modification resulting in an exchange for purposes of section 1. Rating Agency Confirmation would not be received with respect to such supplemental indenture. Rating Agency Confirmation is received from S&P and such supplemental indenture would not cause the then-current rating on the Rated Notes to be reduced or withdrawn. or to better assure. (x) modify provisions related to the bankruptcy or insolvency of the Co-Issuers. transfer. (iv) effect the appointment of a successor Trustee. consented to such supplemental indenture. manifest error or inconsistency or correct any typographical error in the Indenture. as a result of such supplemental indenture. defect. terms and purposes of the issue. federal. (xi) modify the Indenture to conform to the Prospectus for the Rated Notes. minor or technical nature or is to correct a manifest error. (vii) grant. (iii) add to the conditions.the Aggregate Outstanding Amount of Rated Notes of each Class whose Holders' consent is required for any such action or to provide that other provisions of the Indenture cannot be modified or waived without the written consent of the Holders of 75% or more of the aggregate principal amount of each affected Class of Rated Notes Outstanding. fees or assessments or to prevent the Issuer from being treated as engaged in a United States trade or business or otherwise being subjected to U. The Trustee shall not enter into any supplemental indenture otherwise permitted without the consent of the Holders of Notes if the interests of any Holder of Rated Notes or the Income Noteholders would be materially and 88 . the "Reserved Matters"). limitations or restrictions on the authorized amount.

Modification of Certain Other Documents Prior to entering into any amendment to the Advance Swap. (ix) the Holders of the Income Notes shall have been notified in writing 30 days prior to such issuance and a Majority of the Class A Notes shall have consented to 89 . obligations or duties of the Collateral Manager unless the Collateral Manager has provided its prior written consent thereto. the Collateral Management Agreement. provided. (ii) such additional securities must be issued for a cash sales price (the net sale proceeds to be invested in Collateral Debt Assets or. the Collateral Manager has provided its prior written consent thereto. that the Collateral Manager will not be bound by any amendment. (vi) Rating Agency Confirmation has been obtained. as the case may be. (iv) the terms (other than the date of issuance. The Issuer will not consent to any supplemental indenture that would have a material adverse effect on any Hedge Counterparty. supplement or other modification to the Indenture to become effective unless the Collateral Manager has been given at least ten (10) Business Days' prior written notice and a copy thereof. Prior to entering into any waiver in respect of any of the foregoing agreements. and if required by the preceding sentence. without first obtaining the consent of Holders evidencing a Super-Majority of each affected Class of Notes then Outstanding. the issue price and the date from which interest will accrue) of such Notes must be identical to the terms of the Notes of the Class of which such Notes are a part. the Trustee shall be entitled to rely upon an opinion of counsel as to whether the interests of any Holder of Rated Notes or the Income Noteholders would be materially and adversely affected by any such supplemental indenture. Unless notified by (i) the Advance Swap Counterparty that it will be materially and adversely affected. however. in an amount not to exceed the percentage of the outstanding Income Notes or Class A-1R Notes each Holder held immediately prior to such issuance of such additional Income Notes or Class A-1R Notes and on the same terms offered to investors generally. the Class A-1R Note Purchase Agreement. that the following conditions are satisfied (i) such additional issuances may not exceed 100% in the aggregate of the original principal amount of each applicable Class of Notes issued and outstanding on the Closing Date. powers. as applicable. any CDS Asset Counterparty or the Synthetic Collateral Assets Counterparty without the consent of each Hedge Counterparty. (v) the ratings on each Class of Notes must at such time be no lower than the original ratings assigned on the Closing Date. supplement or other modification to the Indenture of which it has received written notice from the time it has received a copy of such amendment. the Collateral Administration Agreement. the Issuer is required by the Indenture to obtain a Rating Agency Confirmation from each Rating Agency. the Notes and ownership and disposition of the Collateral Debt Assets. The Collateral Manager will be bound to follow any amendment. each CDS Asset Counterparty and the Synthetic Collateral Assets Counterparty.adversely affected thereby. provided. supplement or other modification from the Issuer or the Trustee. pending such investment. (ii) a Super-Majority of any Class of Rated Notes that such Class will be materially and adversely affected or (iii) Holders of a Super-Majority of Income Notes that the Income Noteholders will be materially and adversely affected. enter into additional Hedge Agreements in connection with the Issuer's issuance of and making of payments on. the Advance Swap Counterparty. the Account Control Agreement or any Hedge Agreement. the Issuer is required to provide each Rating Agency and the Trustee with written notice of such waiver. deposited in the Collection Account and invested in Eligible Investments). (iii) additional securities of each Class must be issued in a pro rata amount (based on the then aggregate outstanding principal amount of each Class issued and outstanding on the Closing Date) and the Aggregate Class A-1R Commitment must be increased in a pro rata amount (based on the Aggregate Class A-1R Commitment as of the Closing Date) in accordance with the terms thereof. the Administration Agreement. the Advance Swap Counterparty. any Cashflow Swap Counterparty. if applicable. Additional Issuance The Indenture will provide that during the Interest-Only Period the Co-Issuers may issue and sell additional Notes of all existing Classes of Notes and the Issuer will use the proceeds to purchase additional Collateral Debt Assets and. The Co-Issuers will agree that they will not permit any amendment. (viii) the Collateral Manager shall have consented to such additional issuance. supplement or other modification to the Indenture that affects the rights. each Cashflow Swap Counterparty. (vii) the Holders of the Income Notes and the Class A-1R Notes (for so long as the Class A-1R Notes are Outstanding) shall have been notified in writing 30 days prior to such issuance and shall have been afforded the first opportunity to purchase additional Income Notes or Class A-1R Notes.

partnership. the Trustee will hold the assets of the Issuer in the Trustee's name as agent for. The Trustee and its Affiliates may receive compensation in connection with the investment of assets of the Issuer in certain Eligible Investments as provided in the Indenture. federal income taxation with respect to its net income. Class B Notes and Class C Notes shall be accorded the same tax characterization for U. respectively. federal income tax purposes as the original notes and securities and (d) any such additional Class A Notes. The Share Trustee. (xi) each of the Advance Swap Counterparty. the Note Registrar. the Paying Agents. as registered holder of the Ordinary Shares under a declaration of trust. The shareholders of the Issuer may voluntarily wind up the Issuer only by special resolution of the Ordinary Shares. and the Share Trustee. The Trustee will be obligated to act for the benefit of the Secured Parties pursuant to the terms of the Indenture.S. will be required to covenant that. any other corporation.S. or transfer or convey all or substantially all of its assets to. 90 . the Holders of Income Notes of the holders of the Ordinary Shares or any other equity in the Issuer or the Co-Issuer may cause the Issuer or the Co-Issuer to petition for bankruptcy before one (1) year and one (1) day or. and (xii) the Issuer shall have delivered an Officer's Certificate to the Trustee confirming that the conditions precedent contained in clauses (i) – (xi) have been satisfied. merge into. the applicable preference period then in effect. to consolidate with. willful misconduct or bad faith on its part. they will not permit the Issuer or the Co-Issuer. has covenanted not to propose or pass any resolution to wind up the Issuer unless the Share Trustee consider that such resolution is in the best interests of the Holders of the Notes or the Share Trustee are directed in writing to do so by the Trustee and/or the Income Note Issuing and Paying Agent (having first been indemnified to the Share Trustee's satisfaction in respect of all liabilities which they may incur in so doing) and subject (for so long as any of the Notes are rated by a Rating Agency) to having given prior written notice thereof to such Rating Agency. including with respect to the disposition and liquidation of the assets of the Issuer. arising out of or in connection with the acceptance or administration of the Indenture.such issuance. in accordance with the directions delivered pursuant to the Indenture. the CoIssuer or the pool of Collateral (or any part thereof) will be required. Trustee LaSalle Bank National Association will be appointed as the Trustee for the Holders of the Rated Notes pursuant to the Indenture. Eligible Investments may include investments for which the Trustee and/or its Affiliates provide services. for purposes of Sections 1271 through 1275 of the Code and the regulations promulgated thereunder. The Indenture contains provisions for the indemnification of the Trustee for any loss. No Petition for Bankruptcy The Indenture and the Income Note Issuing and Paying Agency Agreement will provide that none of the Trustee. (x) an opinion of counsel must be delivered to the Trustee to the effect that none of the Issuer. Merger or Transfer of Assets The Holders of the Income Notes. the Income Note Registrar. The payment of the fees and expenses of the Trustee is solely the obligation of the Co-Issuers. Pursuant to the Indenture. and that (a) such additional issuance will not result in the Issuer becoming subject to U. will be part of the same issue as the original Class A Notes. Class B Notes and Class C Notes. the Class A-1R Note Agent and a Majority of the Controlling Class shall have consented to such additional issuance. as a result of such issuance. to be registered as an investment company under the Investment Company Act. Consolidation. and for the benefit of. as a condition to acquiring the Income Notes. liability or expense incurred without negligence. trust or other person or other entity. have elapsed since the final payments to the Holders of any Class of Notes. Class B Notes and Class C Notes. (c) any such additional Class A Notes. the Holders of Rated Notes. for as long as there shall be any Notes outstanding. as applicable. the Secured Parties and will carry out its duties and obligations. (b) such additional issuance would not cause Holders of the Notes previously issued to be deemed to have sold or exchanged such Notes under Section 1001 of the Code. if longer. except under the limited circumstances set forth in the Indenture. the Transfer Agents. as a condition to acquiring the Ordinary Shares and the Co-Issuer's common shares. The Co-Issuers and their Affiliates may maintain other banking relationships in the ordinary course of business with the Trustee. respectively.

approval and consent rights with respect to the Transaction Documents. by the Trustee then in office. the Advance Swap Counterparty. The Holders of Income Notes also have certain voting rights with respect to. However. the Account Control Agreement and the Income Note Issuing and Paying Agency Agreement. the Account Control Agreement. the Class A-1R Note Agent. In the case of the resignation of the Trustee. the Rated Noteholders. The Trustee may resign at any time upon thirty (30) days' written notice to the Co-Issuers. or any Person succeeding to all or substantially all of the corporate trust business of the Trustee. Under the Indenture. provided such Person shall be otherwise qualified and eligible pursuant to the Indenture. the Trustee or any Holder of Rated Notes may petition the court to appoint a successor trustee. or any Person resulting from any merger. and construed in accordance with. modification or supplement may be made to the Income Note Issuing and Paying Agency Agreement if such amendment. the Income Note Issuing and Paying Agency Agreement and the Purchase Agreement will be governed by.Under the Indenture. any successor by merger. conversion or consolidation. The Income Note Issuing and Paying Agency Agreement contains provisions for the indemnification of the Income Note Issuing and Paying Agent for any loss. In case any of the Rated Notes have been authenticated. Approval of the Holders evidencing a Super-Majority of the Income Notes is required for the Issuer to remove the Income Note Issuing and Paying Agent. without the execution or filing of any paper or any further act on the part of any of the parties hereto. the Hedge Counterparty. The removal or resignation of the Trustee will not be effective until a successor trustee has been appointed by the Co-Issuers and approved by written consent of a Majority of the Controlling Class. Income Note Issuing and Paying Agency Agreement Pursuant to the Income Note Issuing and Paying Agency Agreement. Voting Rights of the Holders of Income Notes The Holders of the Income Notes are entitled to certain voting. the Co-Issuers irrevocably submit to the non-exclusive jurisdiction of any New York State or Federal court sitting in the Borough of Manhattan in The City of New York in any action or proceeding arising out of or 91 . removal and replacement of the Collateral Manager which are described under "The Collateral Management Agreement". among other things. conversion or consolidation to such authenticating Trustee may adopt such authentication and deliver the Rated Notes so authenticated with the same effect as if such successor Trustee had itself authenticated such Rated Notes. approval or consent right with respect to the Issuer amending any Transaction Documents to amend the terms thereof for the purpose of facilitating compliance by the Issuer with a more favorable exemption from registration under the Investment Company Act. the Income Note Issuing and Paying Agent will perform various fiscal services on behalf of the Holders of the Income Notes. shall be the successor of the Trustee under the Indenture. The successor Trustee will notify the Collateral Manager and each Rating Agency of any such merger. without first obtaining the consent of Holders evidencing a Super-Majority of the Income Notes. the Collateral Manager and each Rating Agency. modification or supplement would adversely affect the rights or interests of the Holders of the Income Notes. and subject to satisfaction of all of the conditions. liability or expense incurred without gross negligence. The Income Note Issuing and Paying Agency Agreement provides that no amendment. described under "Description of the Notes—Rated Notes—Redemption Procedures". arising out of or in connection with the acceptance or administration of the Income Note Issuing and Paying Agency Agreement. Governing Law Each of the Notes. the Indenture. the Holders of Income Notes will not have any voting. conversion or consolidation to which the Trustee shall be a party. but not delivered. the law of the State of New York. the Trustee may be removed by the Holders of a Super-Majority of each Class of Rated Notes. if no successor trustee has been appointed within thirty (30) days after the expiration of the Trustee's thirty (30) day notice period to the Co-Issuers. the Synthetic Collateral Account Control Agreement. The payment of the fees and expenses of the Income Note Issuing and Paying Agent is solely the obligation of the Issuer. willful misconduct or bad faith on its part. Any Person into which the Trustee may be merged or converted or with which it may be consolidated. The Indenture provides that a Super-Majority of the Income Notes is entitled to exercise the Optional Redemption in accordance with the procedures.

the Initial Purchaser. the Income Note Issuing and Paying Agent. to the Issuer.relating to the Notes. including information regarding the characteristics of the Collateral Debt Assets included in the Collateral (individually and collectively). and the Co-Issuers irrevocably agree that all claims in respect of such action or proceeding may be heard and determined in such New York State or Federal court. the payments due as of such Monthly Payment Date. account information and information regarding the Coverage Tests. in a timely fashion. and the Trustee will provide timely and adequate notification to all recipients regarding any such change. In connection with providing access to its website. calculations of the Collateral Quality Tests and information relating to each Hedge Counterparty and CDS Asset Counterparty. the Income Note Issuing and Paying Agent. 92 . the Placement Agent and the Collateral Manager any information relating to the Collateral or the Accounts regularly maintained by the Trustee that each such Person may from time to time request in order to verify the information contained in the Monthly Report. the Indenture or the Account Control Agreement. Reports The Issuer (or the Collateral Manager on behalf of the Issuer) will prepare or cause to be prepared a "Monthly Report". the Hedge Counterparties.net. the Note Paying Agent. the Collateral Manager. each Rating Agency (so long as any Rated Notes are rated by such Rating Agency). and the Issuer will deliver or cause the Monthly Report to be delivered or made available to each of the Trustee. determined as of each Calculation Date. the Hedge Counterparties. All information made available on the Trustee's website will be restricted. The Trustee will make such reports available via its internet website initially located at www. each Rating Agency (so long as any Rated Notes are rated by such Rating Agency). The Trustee shall have the right to change the way such information is distributed to Holders of Notes in order to make such distribution more convenient or accessible to recipients. Each Monthly Report will provide certain information. the Initial Purchaser and the Note Paying Agent (accompanied by a request that it be transmitted or made available to the Holders of Notes (or any beneficial owner of a Note that has provided the required beneficial owner certification) on the books of the Note Paying Agent) by no later than the close of business on the Monthly Payment Date. the Trustee will supply. the Trustee may require registration and the acceptance of a disclaimer. and the Trustee shall provide access to such reports only to those parties entitled thereto. As set forth in the Indenture.cdotrustee.

Purchases at Closing The Collateral Manager expects that. in each case subject to the applicable provisions described herein. Collateral Debt Assets having an aggregate Principal Balance of not less than U. It is further anticipated that. "RMBS Assets" means residential mortgage-backed securities that represent interests in pools of residential mortgage loans primarily secured by one to four family residential mortgage loans 93 . The remaining 30% is expected to be purchased during the period from the Closing Date until the Effective Date. A significant portion of the Collateral Debt Assets (by outstanding Principal Balance) as of the Closing Date will consist of RMBS Assets. or will have entered into agreements to purchase. and each Substitute Collateral Debt Asset acquired after the Closing Date is required to satisfy the Reinvestment Criteria. The Collateral will be subject to a security interest created under the Indenture. with respect to CDS Assets. Collateral Principal Collections (including Sale Proceeds) may be reinvested in Substitute Collateral Debt Assets if the Reinvestment Criteria are satisfied. Each Collateral Debt Asset acquired on or after the Closing Date. The composition of the Collateral Debt Assets will be determined by the selections of the Collateral Manager and will be required to satisfy (i) the Collateral Quality Tests on the Effective Date and (ii) the Coverage Tests as of each Calculation Date. on or prior to the Closing Date. the Issuer will have purchased. Under the Collateral Management Agreement. will be at least equal to the Interim Compliance Date Par Amount. net of any hedging costs and expenses) on the dates the Issuer entered into its commitments to purchase and/or the date such Collateral Debt Assets were acquired by Citigroup (at the direction of the Collateral Manager) with the intention of transferring such Collateral Debt Assets to the Issuer. the Aggregate CDS Asset Notional Amount) (including Collateral Debt Assets acquired by the Issuer on the Closing Date). together with any Collateral Principal Collections received on or prior to such date and the aggregate amount of unpaid interest accrued thereon prior to the respective dates of purchase thereof.000. the aggregate Principal Balance of the Collateral Debt Assets (including. as of the Interim Compliance Date. approximately 70% (by aggregate Principal Balance) of the Collateral Debt Assets. the Issuer will have purchased. and such values may be greater or less than the market values on the Closing Date. no later than the Effective Date. together with any Collateral Principal Collections received on or prior to the Effective Date and the aggregate amount of unpaid interest accrued thereon prior to the respective dates of purchase thereof. the Aggregate CDS Asset Notional Amount). Collateral Debt Assets (including. the Issuer is required to use commercially reasonable efforts to apply Uninvested Proceeds to purchase additional Collateral Debt Assets such that. the Issuer will have purchased or entered into agreements to purchase for settlement following the Closing Date. or entered into agreements to purchase for settlement following the Effective Date. During the Interest-Only Period.SECURITY FOR THE RATED NOTES Acquisitions of Collateral Debt Assets General Net proceeds of the issuance of the Notes (without any initial draw on the Class A-1R Notes) will be used by the Issuer on the Closing Date to purchase a diversified portfolio of Collateral Debt Assets (listed in Annex C attached hereto) previously selected by the Collateral Manager and after the Closing Date to purchase additional Collateral Debt Assets prior to the Effective Date in accordance with the investment criteria described herein.$700. by the Closing Date. as applicable. the Collateral Manager is required to represent to the Issuer that as of the Closing Date the debt obligations included in the Collateral meet each of the Eligibility Criteria.000. After the Closing Date. A list of the Collateral Debt Assets expected to be acquired by the Issuer on the Closing Date is attached as Annex C to this Prospectus.S. and each additional Collateral Debt Asset acquired during the period from the Closing Date until the Effective Date. It is anticipated that. is required to satisfy the Eligibility Criteria. with respect to CDS Assets. having an aggregate Principal Balance of not less than the Aggregate Effective Date Par Amount. The prices paid for such Collateral Debt Assets at settlement on the Closing Date will be the value (in some cases.

and include RMBS Prime Assets. The termination of any Synthetic Asset may result in the payment by or to the Issuer of a termination payment. after giving effect to such sale and after giving effect to the acquisition of any Substitute Collateral Debt Assets. Credit Improved Assets. Subject to the limitations set forth herein. the Collateral Manager may direct the sale of Collateral Debt Assets. pursuant to the Indenture. Credit Risk Assets and Other Collateral Debt Assets". Equity Securities. the Collateral Quality Tests (with the exception of S&P CDO Monitor Test) and the Portfolio Percentage Limitations. within 90 days. as of the Closing Date will consist of RMBS Midprime Assets and a portion of the Collateral Debt Assets (by outstanding Principal Balance). the Issuer must satisfy each of the Coverage Tests. amortization of the Aggregate CDS Asset Notional Amount). will consist of CDO Assets. Effective Date Tests On the Effective Date. in compliance with the Reinvestment Criteria. the Collateral Manager may direct the sale of any Defaulted Asset. See "Risk Factors" and "Description of the Notes— Mandatory Redemption". the Issuer. Substitute Collateral Debt Assets and Reinvestment Criteria Disposition of Collateral Debt Assets The Collateral Debt Assets may be retired prior to their respective final maturities due to. With respect to any sale of CDS Assets. During the Interest-Only Period and subject to the Collateral Manager's discretion to repay the Rated Notes in accordance with clause (B)(21)(a) of the Priority of Payments. Any resulting termination payment by the Issuer shall be paid in accordance with the Priority of Payments. the Collateral Manager may direct the Trustee to sell any Credit Risk Asset. as of the Closing Date. At any time. In addition. Credit Improved Assets. one or more Substitute Collateral Debt Assets with an aggregate Principal Balance at least equal to the Applicable Replacement Principal Balance. Defaulted Asset or Equity Security as further described below under "—Sale of Defaulted Assets. the Collateral Manager will use commercially reasonable efforts to purchase. as of the Closing Date will consist of ABS Securities that cannot otherwise be classified as RMBS Assets or CDO Assets. A portion of the Collateral Debt Assets (by outstanding Principal Balance). A significant portion of the Collateral Debt Assets (by outstanding Principal Balance). During the Interest-Only Period and subject to certain conditions set forth herein. the repayment or redemption of a portion of the Notes in accordance with the Priority of Payments. Following the Interest-Only Period and subject to the Collateral Manager's discretion to repay the Rated Notes in accordance with clause (B)(21)(b) of the Priority of Payments. the existence and frequency of exercise of any optional redemption or principal prepayment features of such Collateral Debt Assets (including. Collateral Quality Tests (other than the S&P CDO Monitor Test) or Portfolio Percentage Limitations as of the Effective Date does not constitute an Event of Default but such failure may result in a Rating Agency Confirmation Failure and. will consist of RMBS Prime Assets. in the case of CDS Assets. See "—Discretionary Sales". the Issuer is required to satisfy the Coverage Tests. provided that. Any termination payment received by the Issuer shall be treated as gain on sale or receipt of interest to the extent that amounts would be so recognized had the Issuer sold the related Reference Obligation. consequently. a portion of the Collateral Debt Assets (by outstanding Principal Balance). as of the Closing Date. Sale Proceeds from the disposition of Defaulted Assets may not be reinvested in Substitute Collateral Debt Assets. Sale and Substitution of Defaulted Assets. 94 . Equity Securities. A portion of the Collateral Debt Assets (by outstanding Principal Balance). will consist of RMBS Subprime Assets. among other things. Equity Securities. as of the Closing Date. Credit Risk Assets and Other Collateral Debt Assets The sale of Defaulted Assets. Credit Improved Asset. will need to come to an agreement with the relevant CDS Asset Counterparty to terminate such CDS Asset. RMBS Midprime Assets and RMBS Subprime Assets. the Collateral Manager may also direct the sale of other Collateral Debt Assets from time to time during the Interest-Only Period. Sale of Defaulted Assets. The failure to satisfy any of the specified Coverage Tests. Credit Risk Assets and Credit Improved Assets may occur at any time. absent the occurrence of a termination event giving the Issuer the right to terminate.

as and to the extent provided herein after the Interest-Only Period. During the Interest-Only Period and subject to the Collateral Manager's discretion to repay the Rated Notes in accordance with clause (B)(21)(a) of the Priority of Payments. in compliance with the Reinvestment Criteria (except in respect of the S&P CDO Monitor Test). 95 . Further. if the Collateral Manager certifies to the Trustee that the Reinvestment Criteria and the Additional Criteria are satisfied. one or more Substitute Collateral Debt Assets with an aggregate Principal Balance at least equal to the Applicable Replacement Principal Balance. Sale and Substitution of Credit Risk Assets. At any time. within 90 days. within 90 days. the Collateral Manager may reinvest Sale Proceeds from the sale of any Credit Risk Asset in Substitute Collateral Debt Assets within 90 days of the sale of such Credit Risk Asset. that. Collateral Principal Collections (including Sale Proceeds) and. the Collateral Manager may direct the sale of any Equity Security. Reinvestment Criteria and Additional Criteria During the Interest-Only Period. provided that. (vi) and (ix) of the Eligibility Criteria must be sold within five (5) Business Days of receipt (or within five (5) Business Days of such later date as such Equity Security may first be sold in accordance with its terms and applicable law). provided. These limits and time periods may be extended subject to obtaining Rating Agency Confirmation. within 90 days.Sale and Substitution of Equity Securities and Margin Stock. in compliance with the Reinvestment Criteria. Any Margin Stock acquired by the Issuer shall be sold not later than 45 days after the Issuer's acquisition of such Margin Stock or the date upon which such Collateral Debt Asset became Margin Stock. During the Interest-Only Period and subject to the Collateral Manager's discretion to repay the Rated Notes in accordance with clause (B)(21)(a) of the Priority of Payments. the Coverage Tests and the S&P CDO Monitor Test are satisfied. Following the end of the InterestOnly Period the Collateral Manager may Reinvest Sale Proceeds from the sale of any Credit Improved Asset in Substitute Collateral Debt Assets within 90 days of the sale of such Credit Improved Asset. or (ii) (x) if immediately prior to giving effect to such purchase. At any time. any Substitute Collateral Debt Assets purchased with Sale Proceeds from any sale of Credit Improved Assets shall have an aggregate Principal Balance greater than or equal to the aggregate Principal Balance of the Credit Improved Assets that were sold. Notwithstanding the foregoing. the Collateral Manager will use commercially reasonable efforts to purchase. the Collateral Manager acting on behalf of the Issuer shall use commercially reasonable efforts to purchase. in compliance with the Reinvestment Criteria. Sale and Substitution of Credit Improved Assets. no Sale Proceeds of an Equity Security will be used to purchase any Substitute Collateral Debt Assets (except to the extent of any such Sale Proceeds remaining at the end of the Interest-Only Period that may be applied in the following Due Period). if the Principal Coverage Amount is less than the Aggregate Effective Date Par Amount. Following the end of the Interest-Only Period. At any time. but in any event within one year from the later of their acquisition and the date when they are legally permitted to be sold. the Portfolio Percentage Limitations and the S&P CDO Monitor Test. the Collateral Manager will use commercially reasonable efforts to purchase. the Collateral Manager may direct the sale of any Credit Improved Asset. the Portfolio Percentage Limitations. one or more Substitute Collateral Debt Assets with an aggregate Principal Balance at least equal to the Applicable Replacement Principal Balance. Equity Securities received by the Issuer in exchange offers shall be sold as soon as commercially practicable in the Collateral Manager's reasonable business judgment. and any Deliverable Obligation that does not satisfy clause (v) of the Eligibility Criteria shall be treated as a Taxed Collateral Debt Asset. Sale Proceeds of Defaulted Assets. the Collateral Manager may direct the sale of any Credit Risk Asset. any of the Collateral Quality Tests. Credit Risk Assets and Credit Improved Assets may be reinvested in Substitute Collateral Debt Assets if both (A) no such Sale Proceeds are reinvested in (i) Cap Corridor Floaters or (ii) any Floating Rate Collateral Debt Asset that (in the reasonable business judgment of the Collateral Manager) has complex conditions relating to its floating rate and (B) after such reinvestment (which shall be deemed to be the date on which the Issuer enters into commitments to purchase such Substitute Collateral Debt Assets). if the Collateral Manager certifies to the Trustee that the Reinvestment Criteria and the Additional Criteria are satisfied. any Deliverable Obligation that does not satisfy clauses (vi) and (ix) of the Eligibility Criteria must be sold promptly after receipt (or within five (5) Business Days of such later date as such Deliverable Obligation may first be sold in accordance with its terms and applicable law). after the Interest-Only Period. one or more Substitute Collateral Debt Assets with an aggregate Principal Balance at least equal to the Applicable Replacement Principal Balance. During the Interest-Only Period and subject to the Collateral Manager's discretion to repay the Rated Notes in accordance with clause (B)(21)(a) of the Priority of Payments. Equity Securities that are received upon the exercise of convertible bonds or that do not satisfy clauses (v). either (i) the Collateral Quality Tests.

the Collateral Manager will apply the Portfolio Percentage Limitations and the Collateral Quality Tests to (i) the portfolio of Collateral Debt Assets prior to such purchase. then the Collateral Manager shall promptly notify the Trustee. (iv) each Principal Coverage Ratio at the time of such reinvestment is greater than or equal to its level as of the Effective Date and (v) no Rating Agency shall have (x) withdrawn or reduced the ratings assigned on the Closing Date to any Class A Notes or (y) withdrawn or reduced by more than one rating subcategory the ratings assigned on the Closing Date to any Class B Notes or Class C Notes. which shall promptly notify the Controlling Class and the Rating Agencies of such noncompliance. Collateral Quality Test or Coverage Test. if the Collateral Manager certifies to the Trustee that (A) the Reinvestment Criteria are satisfied and (B) each of the following additional criteria (the "Additional Criteria") are satisfied: (i) the Moody's Rating and the S&P Rating of such Collateral Debt Asset shall be at least equal to the Moody's Rating and the S&P Rating of the Credit Risk Asset or Credit Improved Asset being replaced. immediately prior to the sale transaction that generated such Sale Proceeds. The Issuer (or the Collateral Manager on behalf of the Issuer) shall provide written notice of such waiver to each Rating Agency. Short CDS Criteria and Short CDS Trading Termination Criteria rather than considering the effect of each purchase and sale of a Collateral Debt Asset individually. For the purpose of the Reinvestment Criteria. and need not comply with the Reinvestment Criteria with respect to such obligation or security on the date of acquisition. If any Package Trade results in noncompliance with any of the Reinvestment Criteria. In determining whether the Reinvestment Criteria will be satisfied by the purchase of any additional Collateral Debt Asset. the Moody's Minimum Weighted Average Recovery Rate Test and (unless Rating Agency Confirmation is obtained from Moody's) the Moody's Asset Correlation Test. the Coverage Tests and the S&P CDO Monitor Test that were satisfied immediately prior to giving effect to such purchase shall fail to be satisfied after giving effect to such purchase ((A) and (B) collectively.the Coverage Tests and the S&P CDO Monitor Test were not satisfied. with respect to any Package Trade. Following the end of the Interest-Only Period. the Short CDS Criteria and the Short CDS Trading Termination Criteria shall be measured by determining the aggregate effect of such Package Trade on the Issuer's level of compliance with the applicable Reinvestment Criteria. the "Reinvestment Criteria"). then the Issuer must comply with each of the Reinvestment Criteria on the date on which the Issuer entered into such commitment. Any and all sales of Collateral Debt Assets and reinvestments of Sale Proceeds in Substitute Collateral Debt Assets shall be conducted on "arm's length" terms. (ii) the Average Life of such Collateral Debt Asset shall be the same or less than the Average Life of the Credit Risk Asset or Credit Improved Asset being replaced. with any other Collateral Debt Asset that has been sold or prepaid but not replaced being deemed to remain in the portfolio of Collateral Debt Assets. the assessment of whether compliance with any Portfolio Percentage Limitation. Short CDS Criteria or Short CDS Trading Termination Criteria. the Issuer shall be in compliance with each of the Coverage Tests. the Coverage Tests and the S&P CDO Monitor Test that were not satisfied shall be made worse after giving effect to such proposed purchase and (y) none of the Collateral Quality Tests. the Portfolio Percentage Limitations. none of such Collateral Quality Tests. as if any such Collateral Debt Asset which has been sold or prepaid but not replaced were deemed to remain in the portfolio of Collateral Debt Assets and (ii) the portfolio of Collateral Debt Assets as if such purchase had been made with the proposed additional Collateral Debt Asset being treated as replacing the same principal amount of any Collateral Debt Asset that has been sold or prepaid as the Collateral Manager may in its discretion select. In addition. as applicable. 96 . compliance with the Reinvestment Criteria. (iii) after giving effect to such replacement. Collateral Quality Test or Coverage Test is maintained or improved as the result of the reinvestment of any Sale Proceeds (other than Sale Proceeds generated by the sale of a Defaulted Obligation or Credit Risk Obligation) shall be based upon the Portfolio Percentage Limitations. the Moody's Maximum Rating Distribution Test. the Collateral Manager may reinvest Sale Proceeds from the sale of any Credit Risk Asset and any Credit Improved Asset in Substitute Collateral Debt Assets within 90 days of the sale of such Credit Risk Asset or Credit Improved Asset. If the Issuer has previously entered into a commitment to acquire an obligation or security in order to be acquired for inclusion in the Collateral. and the Collateral Manager shall seek the best price and execution in accordance with the Collateral Management Agreement. and the Collateral Manager shall be prohibited from effecting any further Package Trades on behalf of the Issuer unless the Controlling Class waives such prohibition or such noncompliance has been cured and Rating Agency Confirmation with respect to S&P is received. the Portfolio Percentage Limitations.

Credit Improved Assets and Credit Risk Assets as provided herein. then 0% of the Collateral Principal Balance at the beginning of that year (or. Equity Security. if at any time of such sale: (i) if the Class C Principal Coverage Ratio is greater than 100. Class A-1R Commitment Termination Event or Termination Event under the Advance Swap has occurred and is continuing.25% and the Moody’s Weighted Average Rating Factor is less than 85. Unless so designated by the Collateral Manager. In determining the annual trading limit set forth above. Equity Securities and Deliverable Obligations that do not satisfy clause (f) of the Eligibility Criteria) does not exceed during any calendar year. (ii) if the the Class C Principal Coverage Ratio is equal to or less than 100. such Eligible Investments will not constitute Collateral Principal Collections which must be applied in accordance with the Priority of Payments if such sale occurred (i) within 30 Business Days prior to the Calculation Date for a Credit Risk Asset and (ii) within 90 days prior to the Calculation Date for a Defaulted Asset so long as the Coverage Tests were satisfied immediately prior to the sale of such Defaulted Asset. Measurement of the degree of compliance with the Reinvestment Criteria will be required on any Measurement Date. so long as (a) no Event of Default under the Indenture. (or vice versa) will not be included for purposes of calculating such annual trading limit. then 25. the Collateral Manager reasonably believes that it will be able. the Collateral Principal Balance as of the Effective Date) and (y) in the sole judgment of the Collateral Manager. (A) if the Principal Coverage Amount is less than the Aggregate Effective Date Par Amount. Credit Risk Asset or Credit Improved Asset so long as (x) the Aggregate Principal Balance of all such Collateral Debt Assets sold (excluding any required sales of Taxed Collateral Debt Assets.50% and (iii) if the Class C Principal Coverage Ratio is equal to or less than 100% or the Moody’s Weighted Average Rating Factor is greater than 85. Discretionary Sales In addition to the sale and reinvestment of Defaulted Assets. the Collateral Manager may direct the disposition of any Collateral Debt Asset during the Interest-Only Period that is not a Defaulted Asset. the Collateral Manager is not required to and has not identified Substitute Collateral Debt Assets for purchase.00%. pending reinvestment in Substitute Collateral Debt Assets or such amounts may be used to pay principal on the Class A-1R Notes (and such payment shall not reduce the Aggregate Class A-1R Commitment).25% and the Moody’s Weighted Average Rating Factor is less than 85. 97 . Margin Stock. Equity Securities. then 12. to invest. the sale of any Collateral Debt Asset that is a debt obligation and the contemporaneous acquisition of a Synthetic Asset. in the case of the year in which the Closing Date occurs. Temporary Investment of Collateral Principal Collections If. or enter into commitments to invest. Collateral Principal Collections may be reinvested in Eligible Investments on a temporary basis. no later than thirty (30) days thereafter. the Aggregate CDS Asset Notional Amount for which is the debt obligation sold.No purchase of Collateral Debt Assets may be made unless certain procedures relating to the perfection of the Trustee's security interest in the Substitute Collateral Debt Assets have taken place and no Event of Default shall have occurred and be continuing. the Sale Proceeds from the sale of such Collateral Debt Asset in one or more items of Substitute Collateral Debt Assets having an aggregate Principal Balance equal to or greater than the Principal Balance of such Collateral Debt Asset to be sold and (B) the Reinvestment Criteria would be satisfied after giving effect to such sale and subsequent purchase described in (y)(A) above. (b) the Class A Principal Coverage Test has been satisfied and (c) Moody's has not withdrawn or reduced its (i) longterm ratings of any Class A Notes by one or more rating subcategory since the Closing Date (unless it subsequently has been upgraded or reinstated to at least the rating assigned on the Closing Date) or (ii) long term ratings of any Class B Notes or Class C Notes by two or more rating subcategories since the Closing Date (unless it subsequently has been upgraded or reinstated to at least one rating subcategory below the rating assigned on the Closing Date). at the time of sale of any Collateral Debt Assets.

Compliance with the S&P CDO Monitor Test is not required in connection with the sale of a Credit Improved Asset or a Credit Risk Asset and the reinvestment of the Sale Proceeds thereof.In the case where the Collateral Manager on behalf of the Issuer directs the Trustee to sell a Credit Improved Asset or a Credit Risk Asset and temporarily invests the Sale Proceeds thereof in Eligible Investments pending purchase of one or more Substitute Collateral Debt Assets. as supplemented by a schedule and a confirmation on either (i) one of the recently published "Pay-As-You-Go" confirmations published by ISDA for credit default swaps on asset-backed securities or collateralized debt obligations (or any successor version of such forms as may be approved by the Collateral Manager acting on behalf of the Issuer.S. Each Reference Obligation will be required to satisfy the eligibility criteria for Collateral Debt Assets at the time the Issuer enters into the transaction in respect of such Reference Obligation. 98 . each of which will reference a specified Reference Obligation in a principal amount equal to the principal amount of the related Credit Linked Security.000. published by the International Swaps and Derivatives Association. Each Synthetic Asset will include a schedule of Reference Obligations. The Fixed Amount for each calculation period will be an amount equal to (a) the sum for each Reference Obligation of the product of (i) the weighted average notional amount of such Reference Obligation during such calculation period. In no event shall a Credit Linked Security be structured as a credit default swap. Inc. CDS Asset Counterparty Payments Under each CDS Asset. the "Initial CDS Asset Counterparties"). the Moody's Asset Correlation Test and the S&P Minimum Recovery Rate Test shall in all cases be measured by comparing the Reinvestment Criteria as calculated after the purchase of the Substitute Collateral Debt Asset and before the sale of the Credit Improved Asset or the Credit Risk Asset and (y) the remaining Reinvestment Criteria will be determined by comparing the results of such tests after the purchase of the Substitute Collateral Debt Asset with the results after the sale of any Credit Improved Asset or Credit Risk Asset and the retention of the Sale Proceeds thereof in the Collection Account. each CDS Asset Counterparty will be required to pay to the Issuer the Fixed Amount. compliance with (x) the Moody's Minimum Weighted Average Rating Factor Test. The initial notional amount of each Reference Obligation will be designated by the Collateral Manager on behalf of the Issuer and will be set forth in the schedule of Reference Obligations to the related Synthetic Asset. The notional amount of each Reference Obligation will be reduced by the amount of any principal amortization on such Reference Obligation and by any Floating Amount (other than Interest Shortfalls) or Physical Settlement Amount paid by the Issuer to the CDS Asset Counterparty in respect of such Reference Obligation. Synthetic Assets General On the Closing Date. the "Pay-As-You-Go Confirmation") or (ii) forms other than a Pay-As-You-Go Confirmation. the numerator of which will be the actual number of days in the calculation period and the denominator of which will be 360. the Issuer will enter into initial CDS Assets with one or more institutions (collectively. It is expected that the Aggregate CDS Asset Notional Amount on the Closing Date will be approximately U. and increased by any reimbursement amount realized in respect of reimbursement of Floating Amounts for such Reference Obligation. purchase Credit Linked Securities. and each Reference Obligation will be treated as a distinct transaction and not part of an index.$143. The Issuer may. from time to time during the Interest-Only Period. the Weighted Average Life Test. the Moody's Maximum Weighted Average Recovery Rate Test. The failure of any Reference Obligation to meet the Eligibility Criteria after the date that the Issuer is committed to enter into the related transaction will not constitute an Event of Default under the Indenture or an event of default or termination event under the Synthetic Asset. The Issuer will have no obligation to make any payment in respect of a Credit Linked Security after the initial purchase of such Credit Linked Security.000. (ii) the applicable Fixed Rate and (iii) a fraction. ("ISDA"). The CDS Assets will be documented on the standard form of the Multicurrency-Cross Border Master Agreement (1992) (the "Master Agreement").

See "Risk Factors—Synthetic Assets". the Issuer may not liquidate any Collateral Debt Assets or Deliverable Obligations to make payments to the CDS Asset Counterparty. the Synthetic Asset Collateral Account. Failure to Pay Principal or Interest Shortfall (each as defined in the related CDS Asset) occurs and the Issuer pays to the applicable CDS Asset Counterparty a Floating Amount in respect thereof. the Issuer will make such payment on a current basis. Depending upon existing market conditions at the time of any such termination. that reimbursements in respect of Writedowns and Failures to Pay Principal will first be applied to any previous payment amounts calculated but not paid by the Issuer to the CDS Asset Counterparty due to any insufficiency of the amounts available from the Synthetic Reserve Account. then from drawing on the Class A-1R Notes (to the extent of any available Class A-1R Commitment) and from Collateral Principal Collections (in such order as the Collateral Manager may determine in its sole discretion). the Issuer will be required to pay to the CDS Asset Counterparty an amount equal to the notional amount of the related Reference Obligation (a "Physical Settlement Amount") in exchange for the delivery by the CDS Asset Counterparty to the Issuer of such Reference Obligation (the "Deliverable Obligation"). provided. in which event the Issuer or the CDS Asset Counterparty may be required to make a Termination Payment. The Issuer will make payments of Floating Amounts and Physical Settlement Amounts under each Synthetic Asset at any time. provided payments of interest shortfalls shall first be paid from the Synthetic Reserve Account and the Synthetic Asset Collateral Account. and shall last be paid by drawing on the Advance Swap Undrawn Notional Amount. Early termination of the CDS Asset will not relieve the Issuer of its obligation to use proceeds from the liquidation of Collateral Debt Assets and Deliverable Obligations at maturity or redemption to pay any unpaid amounts owing to the CDS Asset Counterparty. and last from draws on the Advance Swap Undrawn Notional Amount. the Class A-1R Note Undrawn Amount or the Advance Swap Undrawn Notional Amount. Except upon maturity or redemption. the Issuer or the CDS Asset Counterparty may terminate a CDS Asset.If a Writedown. Failure to Pay Principal or Interest Shortfall. then shall next be paid by drawing on the Class A-1R Notes and from Collateral Interest Collections (in such order as the Collateral Manager may determine in its sole discretion). however. the amount available to pay to the Noteholders may be reduced. a Termination Payment may be owed by or to the Issuer. The obligation of the CDS Asset Counterparty to pay such reimbursement amounts will apply to any reimbursement made under the governing instruments for the related Reference Obligation on or prior to the day that is one calendar year after the date on which such Reference Obligation is deleted or the related CDS Asset is terminated. Termination of CDS Assets Under certain circumstances in the CDS Assets. the Issuer will be required to make payments to the CDS Asset Counterparty. The CDS Asset Counterparty will have the right to physically settle the CDS Asset upon the occurrence of a Credit Event for only a portion of the Aggregate CDS Asset Notional Amount of the affected Reference Obligation. that is. If a credit related event occurs that constitutes a Credit Event under the CDS Asset and the conditions to settlement are satisfied. the CDS Asset Counterparty will be required to pay to the Issuer on each periodic payment date an amount equal to the Additional Fixed Amount in respect of reimbursements of any amounts previously paid by the Issuer in respect of any Writedown. Failure to Pay Principal or Interest Shortfall which will be equal to the loss actually incurred as a result of such event on a "pay-as-you-go" basis. 99 . The affected Reference Obligation will be treated under the CDS Asset as deleted from the CDS Asset for all purposes of the transaction. first from amounts in the Synthetic Reserve Account and the Synthetic Asset Collateral Account. in which case only such portion of the notional amount will be deleted. Payments by the Issuer Following the occurrence of certain credit related events under a CDS Asset. If the Issuer is required to make a Termination Payment. The Issuer will be required to pay to the CDS Asset Counterparty a Floating Amount following the occurrence of a Writedown. and the making of such payment will not result in the deletion of the affected Reference Obligation from the related CDS Asset or otherwise affect the treatment of such Reference Obligation under the CDS Asset (except that the notional amount of such Reference Obligation will be reduced by the amount of such payment).

(viii) with respect to the Short CDS Assets. within ten (10) Business Days of the date on which the Collateral Manager becomes aware or acquires knowledge that such Collateral Debt Asset. an account designated as the "Note Interest Reserve Account" (the "Note Interest Reserve an account designated as the "Expense Reserve Account" (the "Expense Reserve an account designated as the "Collateral Account" (the "Collateral Account"). (ix) with respect to the Synthetic Assets. to the Issuer. and 100 . the account designated as the "Short CDS Assets Reserve Account" (the "Short CDS Assets Reserve Account"). tax on a net income basis or being or becoming subject to the U. either (i) sell or otherwise dispose of all or a portion of such Taxed Collateral Debt Asset in accordance with the provisions of the Indenture. the Collateral Manager on behalf of and at the expense of the Issuer shall.S. (x) if required by the terms of a Synthetic Asset. an Equity Security or a Deliverable Obligation would result in the Issuer being or becoming subject to U. (vi) an account designated as the "Collection Account" (the "Collection Account"). Equity Security. Equity Security or Deliverable Obligation is a Taxed Collateral Debt Asset.S. The Issuer shall cause the purposes and permitted activities of any such subsidiary to be restricted solely to the acquisition. branch profits tax (in either case. the Accountholder will establish each of the trust accounts described in paragraphs (i) to (xi) below (the "Accounts") (each of which may be a sub-account of a single account) to be held in the United States in the name of the Trustee for the benefit and on behalf of the Secured Parties (except for the Synthetic Asset Collateral Account which will be held for the benefit and on behalf of the CDS Asset Counterparties) and over which the Trustee will have exclusive control and the sole right of withdrawal: (i) (ii) Account"). such Collateral Debt Asset. (iii) (iv) Account"). or Deliverable Obligation becoming a "Taxed Collateral Debt Asset").Tax Subsidiary In the event that the ownership of a Collateral Debt Asset. an account designated as the "Uninvested Proceeds Account" (the "Uninvested Proceeds an account designated as the "Payment Account" (the "Payment Account"). holding and disposition of such Taxed Collateral Debt Asset and shall require such subsidiary to distribute 100% of the proceeds of any sale of such Taxed Collateral Debt Asset. the Accountholder may also establish an account designated as the "Synthetic Asset Issuer Account" (the "Synthetic Asset Issuer Account"). or (ii) set up a special purpose subsidiary (a "Tax Subsidiary") to receive and hold any such Taxed Collateral Debt Asset unless the Issuer has received an opinion of nationally recognized counsel that the Issuer can hold such Taxed Collateral Debt Asset directly without causing the Issuer to be treated as engaged in a trade or business in the United States for United States federal income tax purposes. net of any tax liabilities. (v) Account"). The Accounts General On or prior to the Closing Date. the account designated as the "Synthetic Asset Collateral Account" (the "Synthetic Asset Collateral Account"). (vii) an account designated as the "Class A-1R Notes Allocation Account" (the " Class A-1R Notes Allocation Account").

the Collateral Manager on behalf of the Issuer may direct the Trustee to. in each case. unless directed by the Collateral Manager. Collection Account Two sub-accounts of the Collection Account will be established.000. Uninvested Proceeds Account On the Closing Date. will be available. and all proceeds from the Eligible Investments in such Account will be retained in such Account. the Trustee shall deposit into the Short CDS Assets Reserve Account an amount equal to U. without limitation. pending such investment in additional Collateral Debt Assets. the Collateral Manager on behalf of the Issuer may direct the Trustee to. such funds will be invested in Eligible Investments with stated maturities no later than the Business Day immediately preceding the next Monthly Payment Date. Short CDS Assets Reserve Account On the Closing Date. the legal fees and expenses of counsel to the Co-Issuers. All Collateral Principal Collections will be deposited into one sub-account and all Collateral Interest Collections will be deposited into the other sub-account. will be invested by the Trustee as directed by the Issuer (or the Collateral Manager on behalf of the Issuer) in Eligible Investments with stated maturities no later than the Business Day prior to the Quarterly Payment Date next succeeding the acquisition of such Eligible Investments. the expenses of offering the Notes and amounts deposited in the Expense Reserve Account on such date). on behalf and for the benefit of the Secured Parties and. unless applied to purchase Substitute Collateral Debt Assets or to make payments on the Synthetic Assets. at its discretion. pending such investment. amounts received in such Account during a Due Period. not to exceed $350. the Trustee will deposit into the Uninvested Proceeds Account all Uninvested Proceeds (other than the organizational and structuring fees and expenses of the Co-Issuers (including.000 plus the aggregate 101 .$500. the Trustee will deposit into the Payment Account the balance of the Collection Account (including reinvestment income but excluding any Collections received after the end of the Due Period with respect to such Monthly Payment Date) for distribution in accordance with the Priority of Payments on the related Monthly Payment Date or Quarterly Payment Date. and upon such direction the Trustee shall. The Collateral Manager. No amounts held in the Short CDS Assets Reserve Account shall be transferred to the Uninvested Proceeds Account.(xi) Account"). such funds will be invested in Eligible Investments with stated maturities no later than the Business Day immediately preceding the next Payment Date).000. apply funds in the Short CDS Assets Reserve Account to (i) enter into Short CDS Assets (and. Thereafter. the Trustee shall transfer to the Short CDS Assets Reserve Account any proceeds resulting from the unwinding of a Short CDS Asset. On or prior to the Business Day prior to each Monthly Payment Date. not later than 90 days after the Closing Date. Amounts received in the Synthetic Asset Collateral Account will be invested in Synthetic Asset Collateral. The Collateral Manager may. together with reinvestment earnings thereon. at any time transfer amounts on deposit in the Short CDS Assets Reserve Account to the Collection Account as Collateral Interest Collections or Collateral Principal Collections. On and prior to the Effective Date.S. (ii) pre-fund payment obligations and (iii) make payments with respect to any Short CDS Assets. provided that any such amounts transferred into the Collection Account as Collateral Interest Collections shall be limited to the sum of $500. an account designated as the "Synthetic Reserve Account" (the "Synthetic Reserve With respect to each Account (other than the Payment Account and the Synthetic Asset Collateral Account). and upon such direction the Trustee shall. invest funds in the Uninvested Proceeds Account in additional Collateral Debt Assets and. At any time during the Interest-Only Period. will on a one-time basis deposit or cause to be deposited into the sub-account for Collateral Interest Collections an amount determined by the Collateral Manager. and amounts received in prior Due Periods and retained in such Account. the Initial Purchaser and the Collateral Manager). for deposit into the Payment Account to be used for the payment of the amounts set forth under "Description of the Notes—Priority of Payments". The Trustee shall transfer any Uninvested Proceeds remaining on deposit in the Uninvested Proceeds Account on the Effective Date to the Collection Account to be treated as Collateral Principal Collections on the first Quarterly Payment Date and distributed in accordance with the Priority of Payments.

On the Business Day prior to each Monthly Payment Date. See "Description of the Notes—Priority of Payments". each in accordance with the Priority of Payments. withdraw amounts from the Expense Reserve Account to pay accrued and unpaid Administrative Expenses of the Co-Issuers. Class A-1R Notes Allocation Account The Trustee shall deposit the proceeds of all Class A-1R Advances under the Class A-1R Notes into the Class A-1R Notes Allocation Account.S.000 on the day which is 120 days following the Closing Date (or. Note Interest Reserve Account On each Quarterly Payment Date. The Trustee may.Premium Amounts that have been paid from Collateral Interest Collections or in accordance with the Priority of Payments. an amount equal to U. if such date is not a Business Day. funds standing to the credit of the Payment Account shall be applied to pay interest on and principal of the Rated Notes and. Expense Reserve Account The Trustee will deposit into the Expense Reserve Account. Class A-1R Note Holder Subaccount If any Class A-1R Noteholder is required to fund a Class A-1R Mandatory Advance.S. in accordance with the Priority of Payments. Collateral Account The Trustee shall deposit all Collateral received by it into the Collateral Account. N. into the Note Interest Reserve Account. the Trustee will deposit into the Payment Account the balance of the Note Interest Reserve Account (including reinvestment income) for distribution as Collateral Interest Collections in accordance with the Priority of Payments on the related Monthly Payment Date. Amounts on deposit in the Class A-1R Notes Allocation Account may be withdrawn from time to time and at the direction of the Collateral Manager in order to purchase Collateral Debt Assets or deposited into the Collection Account as Collateral Principal Collections.$50. to pay Administrative Expenses and other amounts. and on each Monthly Payment Date in accordance with the Priority of Payments. the next Business Day) shall be transferred by the Trustee into the Uninvested Proceeds Account. on the Closing Date. See "Description of the Notes—Priority of Payments". from time to time and at any time. Any amounts held in the Expense Reserve Account in excess of U. See "Description of the Notes—Priority of Payments". equitable or beneficial interest in the Collateral Account other than in accordance with the Priority of Payments. See "Description of the Notes—Priority of Payments". upon direction from the Issuer.$50. which shall be held in the name of the Trustee as Entitlement Holder in trust 102 . All amounts remaining on deposit in the Expense Reserve Account at the time when substantially all of the Issuer's assets have been sold or otherwise disposed of will be deposited by the Trustee into the Collection Account for distribution as Collateral Interest Collections in accordance with the Priority of Payments on the immediately succeeding Quarterly Payment Date. the Trustee will deposit the Interest Reserve Amount. The Issuer shall not use any amounts on deposit to acquire any cash-purchased Collateral Debt Assets from any affiliates of Citibank. The Co-Issuers shall not have any legal. See "Description of the Notes—Priority of Payments".000.A. if any. the Trustee shall cause to be established a single Securities Account in respect of such Class A-1R Noteholder (each such account a "Class A-1R Noteholder Subaccount"). Payment Account On each Monthly Payment Date and Quarterly Payment Date.

at the direction of the Collateral Manager. Amounts will remain on deposit in the Synthetic Asset Collateral Account only to the extent that: (i) there are no outstanding drawn amounts under the Advance Swap or the Class A-1R Notes during the Interest-Only Period and no amounts outstanding under the Advance Swap after the Interest-Only Period. withdraw cash from the Synthetic Asset Collateral Account and sell or otherwise dispose of Reserve Investments (in accordance with the Synthetic Collateral Agreement) such that the amount of cash and sale proceeds equals the Synthetic Asset Capacity Amount. if any. the Trustee. Amounts deposited in the Synthetic Asset Collateral Account will be invested in Eligible Synthetic Collateral Assets at the direction of the Synthetic Collateral Assets Counterparty in accordance with the Synthetic Collateral Agreement (such investments. All payments of principal with respect to such Class A-1R Advance will be deposited into the Class A-1R Noteholder Subaccount. the Issuer and the Accountholder shall enter into an account control agreement with respect to such account in a form substantially similar to the Account Control Agreement entered into on the Closing Date. Any amounts available in the Synthetic Asset Collateral Account. Amounts on deposit in any Class A-1R Noteholder Subaccount shall be returned to the applicable Class A1R Noteholder upon receipt by the Trustee of (i) instruction from the Issuer (or the Collateral Manager on behalf of the Issuer) stating that the conditions precedent for such return have been met in accordance with the Class A-1R Note Purchase Agreement or (ii) evidence satisfactory to the Trustee that the requirements for termination of such Class A-1R Noteholder Subaccount have been met in accordance with the terms of the Class A-1R Note Purchase Agreement. the Trustee shall withdraw the amount of such advance from the Class A-1R Noteholder Subaccount. Amounts will be deposited to the Synthetic Asset Collateral Account from time to time in accordance with the Priority of Payments and at the discretion of the Collateral Manager. such funds will remain uninvested. up to the Aggregate CDS Asset Notional Amount with respect to the relevant related Reference Obligation. upon any future Class A-1R Advance with respect to such Class A-1R Noteholder. to be held in the name of the Trustee. prior to the Closing Date. To the extent that amounts available in the Synthetic Asset Collateral Account exceed the Synthetic Asset Capacity Amount. Synthetic Asset Collateral Account The Trustee shall. Thereafter. as applicable. the Trustee will. Upon Issuer Order. Investment earnings received during each Due Period in respect of Class A-1R Notes Eligible Investments in the Class A-1R Noteholder's Subaccount will be paid directly to the Class A-1R Noteholder on the related Monthly Payment Date (unless applied to fund a shortfall in such Class A-1R Noteholder's obligation to fund a Class A-1R Advance). and such amount will be deposited into the Collection Account as Collateral Interest Collections or Collateral Principal Collections. In the absence of such instructions. the "Class A-1R Notes Eligible Investments") at the written direction of the Class A-1R Noteholder (which may be in the form of standing instructions). establish a Synthetic Asset Collateral Account. 103 . The Trustee will invest any amounts on deposit in the Class A-1R Noteholder Subaccount in Eligible Investments maturing on the day following the date of acquisition thereof (collectively. as directed by the Issuer or the Collateral Manager on behalf of the Issuer (which direction may be in the form of standing instructions). The Trustee shall deposit into any such Class A-1R Noteholder Subaccount all amounts that are received from the applicable Class A-1R Noteholder to secure the obligations of such Class A-1R Noteholder in accordance with the terms of the Class A-1R Note Purchase Agreement. On or before the Business Day immediately preceding each Payment Date. and (ii) the sum of the Advance Swap Undrawn Notional Amount plus the Aggregate Class A-1R Undrawn Amount plus the Synthetic Reserve Account Balance plus the balance on deposit in the Synthetic Asset Collateral Account are equal to the Aggregate CDS Asset Notional Amount. for the benefit of the Secured Parties (subject to the claims of the CDS Asset Counterparties) which shall be designated as the "Synthetic Asset Collateral Account". as of the related Calculation Date.for the benefit of the Secured Parties and which may be a sub-account of another account established under the Indenture. "Reserve Investments"). such excess will be transferred to the Collection Account as principal for application in accordance with the Priority of Payments. may be transferred to the Collection Account as principal payments prior to the related Quarterly Payment Date for payment to the related CDS Asset Counterparty.

which may be a sub-account of another account established under the Indenture.During the Interest-Only Period and to the extent that the Synthetic Asset Capacity Amount is insufficient to permit the acquisition of additional Synthetic Assets. in the Aggregate CDS Asset Notional Amount of any CDS Asset. the Collateral Manager may determine to use Sale Proceeds from the disposition of cash-purchased Collateral Debt Assets to increase the amount of Synthetic Assets held by the Issuer. to the extent of any Synthetic Asset Capacity Amount. the Collateral Manager may first repay any outstanding balances under the Advance Swap and the Class A-1R Notes until the outstanding balances thereof are reduced to zero and then transfer any remaining Sale Proceeds to the Synthetic Reserve Account. The Trustee shall deposit into any such Synthetic Asset Issuer Account all amounts that are received from the applicable CDS Asset Counterparty to secure the obligations of such CDS Asset Counterparty in accordance with the terms of such CDS Asset. Amounts on deposit from time to time in the Synthetic Asset Collateral Account will be used to make payments to the CDS Asset Counterparties in respect of the CDS Assets. Synthetic Asset Issuer Account If the terms of any CDS Asset require the CDS Asset Counterparty to secure its obligations with respect to such CDS Asset. payments of Floating Amounts on the CDS Assets or termination payments resulting from reductions. Any such payments into the Synthetic Asset Collateral Account pursuant to the previous sentence will permanently reduce each of the Advance Swap Notional Amount and the Aggregate Class A-1R Commitment to the extent of the amounts deposited. the Issuer and the Custodian will enter into an account control agreement with respect to such account in a form substantially similar to the Account Control Agreement entered into by the Issuer on the Closing Date. Amounts contained in any Synthetic Asset Issuer Account shall not be considered to be an asset of the CoIssuers for purposes of any of the Collateral Quality Tests or the Coverage Tests. amounts credited to a Synthetic Asset Issuer Account shall be invested in Eligible Investments. Collateral Principal Collections will be paid into the Synthetic Reserve Account. Amounts contained in any Synthetic Asset Issuer Account shall be withdrawn by the Trustee at the direction of the Collateral Manager and applied to the payment of any amount payable by the related CDS Asset Counterparty to the Issuer. In addition. but the CDS Asset that relates to such Synthetic Asset Issuer Account shall be considered an asset of the Issuer for such purposes. any amounts in the Synthetic Asset Collateral Account. the Trustee shall cause to be established a Synthetic Asset Issuer Account to be held in the name of the Trustee for the benefit of the Secured Parties. then to the Synthetic Asset Collateral Account. The amounts available in the Synthetic Asset Collateral Account will be utilized to fund payments in respect of Credit Events under the CDS Assets. As directed by the Collateral Manager acting upon the direction and in accordance with the terms of the applicable CDS Asset. provided that any termination payments set forth in clause (B)(24) of the Priority of Payments shall only be paid in accordance with the Priority of Payments. Any excess amounts held in a Synthetic Asset Issuer Account after payment of all amounts owing from the related CDS Asset Counterparty to the Issuer as a result of an event of default or termination event shall be withdrawn from such Synthetic Asset Issuer Account at the direction of the Collateral Manager and paid to the related CDS Asset Counterparty in accordance with the applicable CDS Asset. Upon making such a determination. may be transferred to the Collection Account as Collateral Principal Collections. Income received on amounts credited to such Synthetic Asset Issuer Account shall be withdrawn from such account and paid to the related CDS Asset Counterparty in accordance with the terms of the applicable CDS Asset. Following the end of the Interest-Only Period and pursuant to the Priority of Payments and provided that any outstanding balances under the Advance Swap and the Class A-1R Notes have been repaid. in order to collateralize the acquisition of such additional Synthetic Assets. in whole or in part. then the Synthetic Asset Collateral Account to the extent that each of the Advance Swap Notional Amount and the Aggregate Class A-1R Commitment has not been permanently and irrevocably reduced to zero. The Trustee. Synthetic Reserve Account The Trustee shall deposit into the Synthetic Reserve Account (a) the proceeds of all draws under the Advance Swap (other than an Advance Swap Mandatory Draw and any subsequent Advance Swap Draw) and the 104 .

The Issuer may enter into Interest Rate Hedge Agreements with one or more counterparties (each such counterparty or any substitute or replacement therefor. (the "Initial Interest Rate Hedge Counterparty"). for purposes of managing the Issuer's interest rate exposure relating to the floating rate of interest payable on the Notes. If. upon any future Advance Swap Draws. and construed in accordance with. provided that the Issuer will not be required to obtain Rating Agency Confirmation in connection with entering into any Deemed Floating Asset Hedges which are Form-Approved Hedge Agreements. any payments due to the Advance Swap Counterparty with respect to the Advance Swap will be deposited into the Advance Swap Mandatory Draw Reserve Account. Thereafter. and any replacement therefor. Advance Swap Mandatory Draw Reserve Account If the Advance Swap Counterparty is required to fund an Advance Swap Mandatory Draw. The Collateral Manager may. enter into an Interest Rate Hedge Agreement (the "Initial Interest Rate Hedge Agreement") with Citigroup Financial Products Inc. Any deposits to the Synthetic Reserve Account will permanently reduce the Advance Swap Notional Amount in the amount of such deposits to the extent so required pursuant to the Advance Swap or the Priority of Payments. the Trustee shall cause to be established an account (the "Advance Swap Mandatory Draw Reserve Account"). Amounts on deposit in the Advance Swap Mandatory Draw Reserve Account shall be returned to the Advance Swap Counterparty upon receipt by the Trustee of instruction from the Issuer (or the Collateral Manager on behalf of the Issuer) stating that the conditions precedent for such return have been met in accordance with the Advance Swap. at the direction of the Collateral Manager. The Issuer will. New York 10013. an "Interest Rate Hedge Agreement"). shall withdraw the amount of such draw from the Advance Swap Mandatory Draw Reserve Account. 10th Floor. To the extent that amounts held in the Advance Swap Mandatory Draw Reserve Account are less than the Advance Swap Undrawn Notional Amount. the Issuer is required to make a CDS Payment. confirmations and credit support documents. The Trustee shall deposit into the Advance Swap Mandatory Draw Reserve Account all amounts that are received from or on behalf of the Advance Swap Counterparty to secure the obligations of such Advance Swap Counterparty in accordance with the terms of the Advance Swap. the Trustee will apply cash on deposit in the Synthetic Reserve Account and the sale proceeds from the sale of any Reserve Investments as and to the extent required in the CDS Payment Priority. on any Business Day. on or prior to the Closing Date.Class A-1R Notes (solely with respect to amounts to be used to make any CDS Payments or to fund any deficiency in the Synthetic Reserve Account). at its discretion with prior notice to the Trustee and with the prior consent of the Synthetic Collateral Assets Counterparty. Any Hedge Agreements will be governed by. Hedge Agreements The Issuer may from time to time enter into interest rate swap agreements (each such agreement together with any related schedules. the Trustee. The Issuer will pay to the Initial Interest Rate Hedge Counterparty a fixed rate on the notional 105 . in each case subject to Rating Agency Confirmation and in the case of new Interest Rate Hedge Counterparties. a Delaware corporation with its principal offices located at 250 West Street. the laws of the State of New York. The Issuer may enter into the Interest Rate Hedge Agreement for purposes of managing the Issuer's interest rate risk exposure relating to the variable rate of interest applicable to the Rated Notes and/or the cash flow timing mismatch with respect to particular Collateral Debt Assets. The Issuer may enter into Interest Rate Hedge Agreements with such Interest Rate Hedge Counterparties as it may elect in its sole discretion. the "Interest Rate Hedge Counterparty") and including Deemed Floating Asset Hedges. the delivery of an opinion of counsel to the Interest Rate Hedge Counterparty. New York. at any time transfer amounts on deposit in the Synthetic Reserve Account to the Synthetic Asset Collateral Account.

All payments by the Issuer will be paid on a 106 . terminate such Hedge Agreement or reduce the notional amounts of any Hedge Agreement. sell all or a portion of any Hedge Agreement. provided that the Issuer will not have to obtain Rating Agency Confirmation in connection with entering into any Deemed Floating Asset Hedges or Deemed Fixed Asset Hedges which are Form-Approved Hedge Agreements. which may include subaccounts with respect to each Hedge Agreement. The Collateral Manager and the Rating Agencies will be notified by the Issuer of any amendments to and modifications of any Hedge Agreement. (ii) a change in law making it illegal for either the Issuer or the related Hedge Counterparty to be a party to. Only a single net payment will be made under a Hedge Agreement with respect to each Monthly Payment Date.036. in each case subject to Rating Agency Confirmation and in the case of new Hedge Counterparties. or perform an obligation under. Each Hedge Agreement will terminate by its terms. The amounts payable to the Hedge Counterparties will be paid in accordance with the Priority of Payments and will be limited to the amounts payable under the Priority of Payments. conservatorship. Pursuant to any Hedge Agreement that is an interest rate swap agreement. either (i) the Issuer will agree to pay the Hedge Counterparty thereto an amount equal to interest on the notional amount at a fixed interest rate specified therein and such Hedge Counterparty will agree to pay the Issuer an amount equal to interest on the notional amount based on LIBOR or (ii) the Issuer will agree to pay to the Hedge Counterparty thereto an amount equal to interest on the notional amount based on LIBOR and such Hedge Counterparty will agree to pay the Issuer an amount equal to interest on the notional amount at a fixed interest rate specified herein. Because repayment of the up-front payment will be amortized over the term of the Initial Interest Rate Hedge Agreement. Each Hedge Agreement will provide that upon occurrence of a termination event the Issuer and the Hedge Counterparty will settle their payment obligations as set forth in the Hedge Agreement and a termination payment may be payable by the Issuer to the Hedge Counterparty or by the Hedge Counterparty to the Issuer.S. Depending on prevailing interest rates at the time of any such termination or notional amount reduction. to purchase Collateral Debt Assets and to pay certain fees and expenses. (iii) failure of the Hedge Counterparty to take remedial action after a Substitution Event or a Collateralization Event (as described below) and (iv) any additional termination events specified in the Hedge Agreement. The Issuer will use the up-front payment. The Issuer is also authorized after the Closing Date to enter into additional Hedge Agreements with such Hedge Counterparties as it may elect in its sole discretion. upon the earliest to occur of (i) certain events of bankruptcy. together with the proceeds of the issuance of the Notes (including the initial draw on the Class A-1R Notes). The Trustee shall. subject to certain conditions specified in the Indenture. provided that Rating Agency Confirmation has been received.$5. the delivery of an opinion of counsel to the Hedge Counterparty. On or after the Closing Date. prior to the Closing Date. the fixed rate payable by the Issuer will be higher than would otherwise have been payable without the up-front payment. Pursuant to the Initial Interest Rate Hedge Agreement. insolvency. to be held in the name of the Trustee in trust for the benefit of the Secured Parties. the Issuer could be required to make substantial payments to Hedge Counterparties. the Initial Interest Rate Hedge Counterparty will make an up-front payment to the Issuer in the amount of U. cause the Accountholder to establish a segregated account to be designated as a "Hedge Counterparty Collateral Account".amount (which may decline over time) with respect to each Monthly Payment Date in exchange for an upfront payment and a periodic payment of LIBOR on such notional amount. receivership or reorganization of the Issuer or the related Hedge Counterparty or the acceleration of the Notes as a result of the occurrence of an Event of Default. The claims of each Hedge Counterparty (if there is more than one) will rank equally and pari passu with the claims of other Hedge Counterparties entitled to receive payments at the same level of priority within the Priority of Payments. the Issuer may increase the notional amount of an existing Hedge Agreement.000. The amounts payable to any Hedge Counterparty under the Hedge Agreements will be limited to the amounts payable under the Priority of Payments. the Hedge Agreement. The Trustee shall deposit all collateral received from any Hedge Counterparty under the Hedge Agreements in such Hedge Counterparty Collateral Account. whether or not all the Notes have been paid in full prior to such termination.

an Event of Default under the Indenture will not occur if a Hedge Agreement is terminated. within thirty (30) days following such Substitution Event or (y) in the case of a Substitution Event referred to in paragraph (i) of the definition thereof. provided that no Substitution Event has occurred. of at least "P-1" or (iv) take such other steps as each Rating Agency that has downgraded the Hedge Counterparty may require (as confirmed to the Collateral Manager in writing) to ensure that the then-current ratings on the Rated Notes by either Rating Agency is not reduced or withdrawn. the long-term rating of such Hedge Ratings Determining Party from S&P is lower than "A+" (each. the Issuer shall have the right to terminate the related Hedge Agreement with all costs of such termination to be paid by the relevant Hedge Counterparty. (ii) if no short-term rating is available from Moody's. Concurrently. if the Hedge Ratings Determining Party does not have a short-term rating from S&P.Monthly Payment Date in accordance with the Priority of Payments. In the event that (i) so long as any Rated Notes are Outstanding and rated by S&P. in such amounts and at such times as are sufficient to maintain the then current rating of each Class of Notes by each Rating Agency. but such payment may not be sufficient to enable the Issuer to do so. if the related Hedge Ratings Determining Party does not have a short-term rating. There can be no assurance that such amounts will be sufficient to provide for the full payment of interest on the Notes at the Applicable Periodic Interest Rate or for the payment of any distributions on the Income Notes. a "Collateralization Event"). pursuant to such Credit Support Annex. a Substitution Event will be deemed to have occurred and the Hedge Counterparty will be required to take the remedial action specified below. interest due on the Notes will be paid from amounts received on the Collateral Debt Assets without the benefits of such Hedge Agreement or a substitute hedge agreement. the long-term rating of the Hedge Ratings Determining Party from S&P is withdrawn. If the Issuer is unable to obtain a substitute hedge agreement. suspended or downgraded below "A-". or (iii) the failure by the relevant Hedge Counterparty to take any of the actions specified in the paragraph above within thirty (30) days of the occurrence of a Collateralization Event (each. suspended or downgraded below "BBB-" or. the shortfall will be paid in accordance with the Priority of Payments. If the Hedge Counterparty fails to assign its rights and obligations under the relevant Hedge Agreement to a 107 . (ii) with respect to which a Rating Agency Confirmation has been obtained and (iii) that assumes all of such Hedge Counterparty's obligations under the Hedge Agreement pursuant to an agreement satisfactory to the Issuer. the Issuer will agree to use reasonable efforts to enter into a substitute hedge agreement on similar terms to the extent that the Issuer is able to enter into such an agreement. (i) the short-term rating of any Hedge Ratings Determining Party from Moody's is lower than "P-1" or is "P-1" and has been placed on and is remaining on credit watch with negative implications by Moody's or the long-term rating of the Hedge Ratings Determining Party from Moody's is withdrawn suspended or downgraded below "A1" or is "A1" and has been placed on and is remaining on credit watch with negative implications by Moody's. either (i) enter into the Credit Support Annex. suspended or downgraded below "Aa3" or is "Aa3" and has been placed on and is remaining on credit watch with negative implications by Moody's or (iii) the short-term rating of the Hedge Ratings Determining Party from S&P is lower than "A-1" or. Any termination payment payable by a Hedge Counterparty to the Issuer may be applied by the Issuer to enter into a substitute hedge agreement. (iii) obtain a guarantor for the obligations of such Hedge Counterparty under the Hedge Agreement with a long-term issuer credit rating from S&P of at least "A+" or a short term issuer credit rating from S&P of at least "A-1" and with a long-term unsecured debt rating from Moody's of at least "Aa3" and a short-term unsecured debt rating from Moody's. assign its rights and obligations under the related Hedge Agreement at no cost to the Issuer to a party (the "Substitute Party") selected by the Hedge Counterparty that (i) satisfies the Hedge Counterparty Ratings Requirement. the relevant Hedge Counterparty shall. However. deliver to the Trustee collateral of such types. then the relevant Hedge Counterparty will. taken any of the actions required above. (ii) the short-term rating of the Hedge Ratings Determining Party from Moody's is "P-2" or lower or the long-term rating of the Hedge Ratings Determining Party from Moody's is withdrawn. immediately following such Substitution Event. the short-term rating of the Hedge Ratings Determining Party from S&P is withdrawn. In such event. If a Hedge Agreement is terminated while any of the Notes remain Outstanding. If at any time. a "Substitution Event"). within thirty (30) days of the occurrence of such Collateralization Event. if no long-term rating is available. the long-term rating of the related Hedge Ratings Determining Party from Moody's is withdrawn. If the Hedge Counterparty has not. within thirty (30) days of the occurrence of such Collateralization Event. solely in the case of an interest rate swap. suspended or downgraded to "A3" or lower or. (x) in the case of a Substitution Event referred to in paragraph (ii) of the definition thereof. suspended or falls to "A2" or lower. (ii) find a replacement Hedge Counterparty as permitted under the relevant Hedge Agreement that satisfies the Hedge Counterparty Ratings Requirement. furnish a legal opinion to the Rating Agencies as to the enforceability of such Credit Support Annex and. the long-term rating of the Hedge Ratings Determining Party from Moody's is withdrawn.

the Issuer may enter into or purchase credit default swaps as a buyer of protection (each. (iv) the terms of the Short CDS Asset will not require the Issuer to post any collateral in any circumstances other than its obligation to post collateral to the Short CDS Account to cover its reimbursement obligations pursuant to the related Confirmation. The payments to be made by the Issuer to each Cashflow Swap Counterparty will consist of the repayment by the Issuer of the upfront payment received from such Cashflow Swap Counterparty together with interest thereon. (ii) if the Short CDS Asset is acquired on or after the Effective Date. The entry into or purchase by the Issuer of a Short CDS Asset will not be subject to satisfaction of the Eligibility Criteria. a "Short CDS Asset Counterparty") that satisfy the requirements described herein. post and maintain. the Covered Short CDS Asset Additional Criteria shall have been satisfied. enter into Cashflow Swap Agreements with Cashflow Swap Counterparties. Cashflow Swap Agreements The Issuer may. the Issuer shall not terminate any Cashflow Swap Agreement. the Collateral Quality Tests. a "Short CDS Asset") from time to time with counterparties (each. no replacement of the Cashflow Swap Counterparty or other remedial action with respect to such Cashflow Swap Counterparty will be required upon a failure of the Cashflow Swap Counterparty to satisfy any particular ratings requirement. the Issuer will not be dependent on the credit quality of such Cashflow Swap Counterparty and as such. The Issuer's entry into any Cashflow Swap Agreement with any Cashflow Swap Counterparty is subject to Rating Agency Confirmation. Prior to the receipt of Rating Agency Confirmation from S&P. while it continues in good faith to search for an eligible Substitute Party. Short CDS Assets and Covered Short CDS Assets General During the Interest-Only Period. The entry into or purchase by the Issuer of a Short CDS Asset will be subject to satisfaction of the following conditions (the "Short CDS Criteria") as of the date on which the Issuer has a binding commitment to enter into or purchase the Short CDS Asset: (i) either (a)(1) the Short CDS Asset Premium Test shall have been satisfied or (2) if the Short CDS Asset is acquired on or after the Effective Date. The Issuer will not be permitted to enter into Short CDS Assets following the termination of the Interest-Only Period. as the case may be. each Interest Coverage Test will be satisfied immediately after giving effect to the entry into or purchase of such Short CDS Asset. (iii) if proceeds from the sales of any Short CDS Assets are to be used to purchase or enter into any Covered Short CDS Assets after the Interest-Only Period. To the extent that a Cashflow Swap Counterparty has no ongoing payment obligations to the Issuer subsequent to the upfront payment by the Cashflow Swap Counterparty. or continue to maintain. then (a) the Hedge Counterparty shall. collateral in accordance with the Credit Support Annex and (b) the Issuer shall have the right to terminate the Hedge Agreement with all costs of such termination to be paid by the Hedge Counterparty. from time to time. the Portfolio Percentage Limitations or the Coverage Tests.Substitute Party within thirty (30) days following such Substitution Event (in the case of a Substitution Event referred to in sub-clause (ii) of the definition thereof) or within seven (7) days following such Substitution Event (in the case of a Substitution Event referred to in sub-clause (i) of the definition thereof above). the Minimum Weighted Average Spread Test will be satisfied immediately after giving effect to the entry into or purchase of such Short CDS Asset or (b) the Fixed Amount is equal to zero. (v) any Short CDS Asset Counterparty has either a long-term senior unsecured debt or deposit rating by Moody's of at least "Aa2" or short-term unsecured debt or deposit rating of "P-1" and either a long-term senior 108 .

including any termination payment payable by the Issuer as a result of assigning or terminating the Short CDS Asset. The Collateral Manager may not direct the addition or removal of any Short CDS Asset unless there are sufficient amounts available to pay any up-front payment or termination payment. to the extent the Issuer is permitted to buy Short CDS Assets. The payment of any Trading Termination Payments is subject to the satisfaction of the Short CDS Trading Termination Criteria. (vi) the acquisition (including the manner of acquisition). at the discretion of the Collateral Manager. Any amounts will be payable by the Issuer in accordance with the Priority of Payments as described herein. trade or business for U. Covered Short CDS Assets During the Interest-Only Period. will be.S. 109 . either (a) deposited into the Collection Account for application as Collateral Interest Collections (or. and the Issuer is authorized to make any such purchase which shall constitute a Matching Long Position for such Short CDS Asset. federal income tax purposes or otherwise be subject to tax on a net income basis in any jurisdiction outside the Issuer’s jurisdiction of incorporation. as Collateral Principal Collections) except to the extent that the Issuer is required to retain amounts related to the Issuer's reimbursement obligations under the related Short CDS Asset or (b) deposited into the Short CDS Assets Reserve Account. reimbursement payments and termination payments. enforcement and disposition of such Short CDS Asset will not cause the Issuer to be treated as engaged in a U. including any early termination payment received by the Issuer as a result of assigning or terminating a Short CDS Asset. Issuer's Obligations under Short CDS Assets The Issuer's obligations under a Short CDS Asset may include an up-front payment. The Issuer's investment and obligations with respect to Short CDS Assets will not be taken into account except in connection with the Interest Coverage Tests. or shall have posted collateral in an amount and manner sufficient to obtain Rating Agency Confirmation. and (vii) the payments to the Issuer on the Short CDS Asset are not subject to withholding tax unless the Short CDS Asset Counterparty is required to make "gross-up" payments sufficient to cover any withholding tax imposed at any time on payments made to the Issuer with respect thereto. the Issuer may enter into Covered Short CDS Assets.unsecured debt or deposit rating by S&P of at least "AA-" or short-term senior unsecured debt or deposit rating of "A-1". which may require the Issuer to first purchase such Reference Obligation. A Short CDS Asset may provide that the Issuer may elect to physically settle following a credit event by delivery to the Short CDS Asset Counterparty of the related Reference Obligation. Payments to Issuer under Short CDS Assets All amounts paid to the Issuer by a Short CDS Counterparty. the Minimum Weighted Average Spread Test and any other test described herein in which interest received by the Issuer is a component. at the discretion of the Collateral Manager.S. as applicable. periodic premium payments. ownership.

7 billion.. a Managing Director and Chief Investment Officer of the Collateral Manager. 2006. Elliott Structured Products LLC The Collateral Manager was organized in 2005. a fund under common management. a Delaware limited liability company ("Elliott").. aggregate capital under management in excess of $6. these individuals are currently employed by Elliott Management Corporation in its Structured Products team. Although the persons described below are currently employed by Elliott Management Corporation. and "correlation" products. The Elliott Funds. Key Personnel Set forth below is information regarding the background. which was founded in 1977 (together with Elliott International. The Collateral Manager will perform its duties in accordance with the requirements set forth in the Indenture and in accordance with the provisions of the Collateral Management Agreement. had. completeness or applicability of such information. as the Collateral Manager under a Collateral Management Agreement between the Issuer and Elliott dated as of the Closing Date (the "Collateral Management Agreement"). such persons may not necessarily continue to be so employed during the entire term of the Collateral Management Agreement and if so employed. The Collateral Manager may be subject to certain conflicts of interest. Mr. ∗ 110 . Elliott Management Corporation will also be providing support services to the Collateral Manager. See "Risk Factors – Potential Conflicts of Interest Involving the Collateral Manager". credit default swaps. principal responsibilities and other affiliations of certain of the principal officers of the Collateral Manager and certain other persons who will be primarily responsible for performing the duties of the Collateral Manager. began the Structured Products team upon joining Elliott Management Corporation in 2003. The information appearing in this section has been prepared by the Collateral Manager and has not been independently verified by the Initial Purchaser or the Issuer. Elliott Management Corporation is a Delaware corporation under common control with the Elliott Funds. may not necessarily continue to be responsible for performing any of the functions of the Collateral Manager related to the Collateral.P. Elliott or its Affiliates may in the future purchase Rated Notes or additional Income Notes. as of July 1. Kasoff spent over four years as a senior member of Deutsche Bank's The information contained herein about the Elliott Funds is for background purposes only and is not intended to constitute an offering of interests in the Elliott Funds. the "Elliott Funds"). In addition to their listed capacities with the Collateral Manager. Prior to joining Elliott Management Corporation.P. his strategy expanded to include RMBS. See also "Risk Factors – Potential Conflicts of Interest Involving the Collateral Manager" for other possible conflicts of Elliott. Steve Kasoff. administrative and advisory functions with respect to the Collateral will be performed by Elliott Structured Products LLC. Head of Structured Products Mr. It is owned by a subsidiary of Elliott Associates.THE COLLATERAL MANAGER The Collateral Manager accepts responsibility for the information contained in this section and to the best of their knowledge the information is in accordance with the facts and does not omit anything likely to affect the import of such information. L. Elliott and its Affiliates may sell any or all of the Notes they own at any time to related or unrelated parties. ABS. but will not have any obligation to do so. Initially focused on the CDO market. which are multi-strategy hedge funds. Kasoff. which provides certain management functions for the Elliott Funds pursuant to contract. Neither the Initial Purchaser nor the Issuer assumes any responsibility for the accuracy. L.∗ It is currently expected that one or more Affiliates of Elliott will purchase in the aggregate on the Closing Date a Majority of the Income Notes. General Certain management.

A. in Finance from the W. from the Chinese University of Hong Kong. he worked for 10 years at Morgan Stanley. and served on the staff of the Council of Economic Advisers in the Executive Office of the President of the United States. GSC Partners and Starwood Capital Group. covering CDOs. Mr. Prior to Elliott Management Corporation. trading. joined Elliott Management Corporation in 2001 and is a CDO trader and structured products analyst. a Vice-President of the Collateral Manager. Kasoff received an M. Mr. a Vice-President of the Collateral Manager. covering systems development and financial analytics. Schorin's ABS research was recognized by investors by his perennial selection to the Institutional Investor Fixed Income Research All-America Team. mezzanine finance. Portfolio Manager – ABS Mr. Appaloosa. a Managing Director of the Collateral Manager. and Blackrock. in Computer Science and Industrial Engineering from Bogazici University and an M. Charles Schorin.A. Mike Yilmaz.S.S. Paul Stillman School of Business at Seton Hall University.S. with distinction. Prior to Morgan Stanley.CDO group. Jakubowski received a B. Mr. Prior to joining the firm he spent a year at Andersen's Financial Practice group. with First Honors. Kasoff previously held positions in Merrill Lynch's CDO group and Lehman Brothers' mortgage group. in Finance from Rutgers University. Jakubowski has 15 years experience in the financial industry. having worked in various capacities at Prudential Financial. joined Elliott Management Corporation in May 2005 to spearhead its ABS effort. real estate private equity and quantitative trading. including structuring. a B. 111 .D. CMBS and CDOs. working on financial modeling and technology project management. Deal Financial Analytics & Systems Development Mr. Jakubowski joined Elliott Management Corporation in 2001 and worked on a variety of special projects and financial reporting before joining the Structured Products team in 2005.S. He holds a M. Mr. degrees in Economics from Princeton University. an MS in Electrical Engineering from Columbia University and a Bachelor of Engineering. In this role. Prior to joining Elliott. he relocated to London to set up Morgan Stanley's European ABS Research team and was similarly recognized by European investors.B. Mr. Yu joined Elliott Management Corporation in 2006. where he was a Managing Director and Global Director of Securitization Research. Schorin. Henry Yu. in Mathematics in Finance from New York University. in Economics from the Wharton School and a B. Structured Credit/CDOs Mr. in Electrical Engineering from the School of Engineering & Applied Science at the University of Pennsylvania. in Economics. including ABS. He previously held investment management and trading positions at Gerber Capital. In 2000. maintains deal models. He earned his B.S. and the development of the firm's European CDO effort.A. degree summa cum laude from the University of Pennsylvania and his M. He received an MBA in Finance from the Stern Business School at New York University. leveraged buyouts. MacKay Shields. joined the Structured Products team at Elliott Management Corporation in 2005. he provides analytical support. He was an analyst at Rohm & Haas Company between 1998 and 2000. He received a B.A. in Finance from the Wharton School of the University of Pennsylvania and a B. Yilmaz. distressed debt. Yu spent six years at Goldman Sachs. and monitors the status of active positions. John Jakubowski. RMBS. Mr. from Yale University. Rishi Patel. Patel. covering ABS and CDO investments. Deal Monitoring/Analytics Mr. where he held a number of responsibilities. Mr.B. Schorin held positions in mortgage research and strategy with other dealers.S. Structured Credit/ABS Mr. with responsibility for research on all collateralized securities worldwide. and Ph.

General Certain advisory and administrative functions with respect to the Collateral will be performed by the Collateral Manager under a Collateral Management Agreement to be entered into between the Issuer and the Collateral Manager (the "Collateral Management Agreement"). hold the security received as a result of such offer as part of the Collateral. the Issuer may be unable to buy or sell securities or to take other actions. See "Risk Factors—Potential Conflicts of Interest Involving the Collateral Manager". sell the security received pursuant to such offer or disposition and thereafter deposit such proceeds in the Collection Account. negotiation and management of the Initial Interest Rate Hedge Agreement and any other Hedge Agreements. upon written direction of the Collateral Manager. and the Collateral Manager is subject to compliance with such restrictions. or apply the proceeds of such disposition to the purchase of a Substitute Collateral Debt Asset. the Trustee. Certain administrative duties of the Issuer will be performed for the Issuer. certain information with respect to the composition and characteristics of the Collateral Debt Assets. if any Collateral Debt Asset in the Collateral is a Defaulted Asset. the provisions of the Collateral Management Agreement. or the Collateral Manager on behalf of the Issuer. Pursuant to the terms of the Collateral Management Agreement. may affect the actual average lives of the Notes of any Class and the date of redemption of the Income Notes. in its capacity as the collateral administrator under the Collateral Administration Agreement. with respect to the Collateral. during certain periods or in certain specified circumstances. The Indenture places significant restrictions on the Collateral Manager's ability to advise the Issuer to buy and sell securities for the Collateral. The Collateral Manager may direct the Trustee to purchase a Collateral Debt Asset or Eligible Investment from. Upon any offer or other disposition of a Collateral Debt Asset in the Collateral. all in accordance with the terms of the Indenture. provided that (i) the board of directors of the Issuer will have received from the Collateral Manager such information relating to such purchase or sale as it may reasonably require and will have approved such purchase or sale and the price in advance and (ii) if a Collateral Debt Asset is purchased from or 112 . the Collateral Manager will (i) select all Collateral Debt Assets to be acquired by the Issuer and all Eligible Investments to be acquired by the Issuer. The summary does not purport to be complete and is subject to. including the performance of certain calculations with respect to each of the Reinvestment Criteria by the Collateral Administrator and the Collateral Manager under the Collateral Administration Agreement. and. which the Collateral Manager might consider in the best interests of the Issuer and the Securityholders as a result of the restrictions contained in the Indenture.THE COLLATERAL MANAGEMENT AGREEMENT The following summary describes certain provisions of the Collateral Management Agreement. or sell a Collateral Debt Asset or Eligible Investment to. accordingly. Accordingly. with respect to the composition and characteristics of Collateral Debt Assets in the Collateral. the Collateral Manager will instruct the Trustee as to the appropriate action to be taken against the issuer of such Collateral Debt Asset and whether to retain or dispose of such Collateral Debt Asset. and qualified in its entirety by reference to. on a monthly basis. In addition. dispose of or tender such Collateral Debt Asset. any disposition or tender of a Collateral Debt Asset. the Collateral Manager or any of its Affiliates as principal or any account or portfolio managed or advised by the Collateral Manager or any of its Affiliates as principal (the "Collateral Manager Parties"). The Collateral Manager will also provide the Issuer and the Trustee with certain information. In addition. with the assistance of LaSalle. the Collateral Manager will notify the Trustee and the Issuer when it receives notice that any such Collateral Debt Asset is subject to an offer and instruct the Trustee whether to retain. the reinvestment of the proceeds of any such disposition in Eligible Investments and with respect to the retention of the proceeds of any such disposition or the application thereof toward the purchase of an additional Collateral Debt Asset and (ii) advise the Issuer with respect to interest rate risk management and perform certain related functions such as the selection. See "Security for the Notes—Substitute Collateral Debt Assets and Reinvestment Criteria". will either deposit the proceeds of such offer or disposition in the Collection Account. monitor the Collateral Debt Assets and provide the Issuer. Any such actions directed by the Collateral Manager may change the composition and characteristics of the Collateral Debt Assets included in the Collateral and the rate of payment thereon.

or recommend to the account the buying or selling of. provided that with respect to each of clauses (i) through (iv). the failure to cure such violation within the period in which a reasonably diligent person could cure such breach. as the Collateral Manager directs to be purchased or sold on behalf of the Issuer. the occurrence and continuation of an Event of Default under the Indenture that results from a breach by the Collateral Manager of its duties under the Collateral Management Agreement or the terms of the Indenture applicable to it. See "Risk Factors—Potential Conflicts of Interest Involving the Collateral Manager". an amount equal to the average of the bona fide bids for such Collateral Debt Asset obtained by the Collateral Manager at the time of such purchase or disposition from any two dealers unaffiliated with each other and the Collateral Manager and chosen by the Collateral Manager or (B) if two such bids are not obtained. Certain Additional Consequences The Collateral Manager may. cause or direct another account managed by the Collateral Manager to buy or sell. among other things: (a) (b) a willful and intentional violation by the Collateral Manager of any material provision of the Collateral Management Agreement or the Indenture applicable to it. an amount equal to the original purchase price paid by the Issuer or such Collateral Manager Party therefor. For purposes of the Collateral Management Agreement. or if such Collateral Debt Asset is not of a type owned by such other persons. the Collateral Manager is an Affiliate of Elliott Management Corporation or (2) a Majority of the Controlling Class consents to such event. from time to time. advisory and other types of services to other clients whose investment policies differ from and/or conflict with those followed by the Collateral Manager on behalf of the Issuer. the Income Note Issuing and Paying Agent. which may differ from and/or conflict with those effected with respect to the securities in the Collateral. the occurrence of any of the following: (i) a merger of the Collateral Manager into any other Person. Any purchases or sales made pursuant to the foregoing will be made in compliance with the Advisers Act and in accordance with the Collateral Manager's reasonable and customary business practices. less any repayment of principal made with respect thereto. "cause" will mean. Appointment of Successor. (ii) a merger of the Collateral Manager with any other Person. (A) if such Collateral Debt Asset is of a type normally traded by dealers and owned by persons other than the Issuer or one of the Collateral Manager Parties. which period shall not exceed 60 days. at any time. be removed for cause upon 30 days’ prior written notice by the Issuer (with a copy to the Trustee. respectively. such event shall not constitute cause if either (1) after giving effect to such event. the Collateral Manager may. The Collateral Manager may therefore make recommendations to or effect transactions for such other clients. (iii) the succession by another Person to substantially all of the business of the Collateral Manager and (iv) any other corporate action with an effect substantially similar to any of clauses (i) through (iii) above. certain insolvency events with respect to the Collateral Manager. The Collateral Manager and its Affiliates may engage in other business and furnishing investment management. securities of the same or a different kind or class of the same issuer.sold to one of the Collateral Manager Parties. (c) (d) (e) 113 . resulting in a new Person. as required by the Indenture. if such violation is not capable of cure within 45 days after the Collateral Manager becomes aware (or receives written notice from the Trustee) of such violation. S&P and the Initial Purchaser) by the Holders of a Super-Majority of the Income Notes or of the Controlling Class. a violation by the Collateral Manager of any provision of the Collateral Management Agreement or the Indenture applicable to it which has a material adverse effect on the Issuer or the Holders of the Notes of any Class or the Income Notes and the failure to cure such violation within 45 days of becoming aware (or receiving written notice from the Trustee) of such violation or. In addition. the purchase price or sale price thereof will in no event be greater or less than. Removal or Resignation of Collateral Manager. as applicable.

However. of the rights and obligations of the Collateral Manager under the Collateral Management Agreement to any Person (other than an Affiliate to the extent described below). elect one of the following: (i) to approve the Substitute Collateral Manager or (ii) to disapprove the Substitute Collateral Manager and terminate the Interest-Only Period. the Substitute Collateral Manager shall assume the responsibilities of the Collateral Manager and the Interest-Only Period shall be terminated. Any assignment to a Substitute Collateral Manager. (g) (h) If a dispute arises as to whether cause exists to remove the Collateral Manager in accordance with the foregoing. any Affiliate thereof and accounts for which such Collateral Manager or any such Affiliate acts as collateral manager (and for which such Collateral Manager or such Affiliate has discretionary authority regarding such Notes) shall be disregarded and deemed not to be Outstanding with respect to any vote or consent of the Noteholders on any termination of the Collateral Manager. assign any of its rights and delegate any of its obligations under the Collateral Management Agreement to an Affiliate or a whollyowned subsidiary of an Affiliate. its Affiliates and accounts for which such Collateral Manager or any Affiliate thereof acts as collateral manager (and for which such Collateral Manager or such Affiliate has discretionary authority regarding such Notes) will be entitled to vote such Notes with respect to proposing a successor Collateral Manager. 114 . the Collateral Manager may. in whole or in part. Any and all Notes held by the Collateral Manager. the occurrence of a Key Manager Event. voting as separate Classes. the Trustee will give notice to the Holders of the Notes. In connection with the removal of the Collateral Manager pursuant to clause (d) or (f) of the definition of "cause. so long as (i) such assignment does not constitute an “assignment” for purposes of Section 205(a)(2) of the Advisers Act and (ii) such Affiliate or wholly-owned subsidiary meets each of the criteria for an Eligible Successor set forth herein. including assignments as determined by reference to the Advisers Act. by written notice (delivered not later than the date specified in the notice to the Holders of the Income Notes and the Controlling Class. In the event that option (i) is selected by a Super-Majority of the Controlling Class (calculated based on the aggregate principal amount of the Notes held by the Holders of the Controlling Class) and a Super-Majority of the Income Notes (calculated based on the original aggregate principal amount of the Income Notes held by the Income Noteholders). the Substitute Collateral Manager shall assume the responsibilities of the Collateral Manager.(f) the taking of any action by the Collateral Manager or its Affiliates that constitutes fraud or criminal activity in the performance of the Collateral Manager's obligations under the Collateral Management Agreement. the Collateral Manager. Notwithstanding the foregoing. which shall be a date no less than 30 days nor more than 60 days after the date of such notice). In all other cases. Upon delivery of notice from the Trustee that the Collateral Manager is assigning its rights and obligations under the Collateral Management Agreement to a Substitute Collateral Manager in accordance with the foregoing. If the Collateral Manager is removed for cause in accordance with the foregoing. which Controlling Class will be entitled to propose a successor Collateral Manager (which proposed successor may include Elliott or any Affiliate thereof or successor thereto) within 60 days after the Controlling Class and the Designated Financial Insurer receive notice that the Collateral Manager has been removed. The Collateral Manager may assign its rights and obligations under the Collateral Management Agreement to a substitute Collateral Manager (a "Substitute Collateral Manager"). the Trustee (to be forwarded by the Trustee to the Holders of the Notes) and the Rating Agencies. and the occurrence and continuation of a Class A Coverage Failure without a cure thereof for 30 days following delivery of a Coverage Cause Removal Notice from the Controlling Class to the Collateral Manager. the Trustee may petition any court of competent jurisdiction for a determination. without the consent of the Issuer or any Holders of the Rated Notes and the Income Notes. The Collateral Management Agreement also permits the Collateral Manager to resign as Collateral Manager upon 60 days' prior written notice to the Issuer. by the Collateral Manager will require that the Collateral Manager provide the Trustee with written notice and the Issuer with Rating Agency Confirmation. the Holders of the Outstanding Income Notes and the Controlling Class may." the Collateral Manager shall provide notice thereof to the Designated Financial Insurer and the Holders of the Controlling Class.

the Co-Issuer or the pool of Collateral to be required to be registered under the Investment Company Act (any Person that meets each of the conditions set forth in clauses (i) through (iv) above. If (i) any appointment of a successor Collateral Manager is not effective within 180 days of the termination or resignation of the predecessor or (ii) a successor Collateral Manager has not been selected in accordance with the 115 . whereupon such official Income Note nominee shall become the successor Collateral Manager or (ii) to disapprove the second "official Income Note nominee". whereupon a Majority of the Controlling Class may (within 30 days after the date it receives such notice) by written notice elect one of the following: (i) to approve the second "official Income Note nominee". a non-response by the Controlling Class within 30 days after the date of the notice of such second "official Income Note nominee" shall constitute an approval by the Controlling Class. the Co-Issuer or the pool of Collateral becomes an investment company required to be registered under the Investment Company Act and such requirement has not been eliminated after a period of 45 days. If the Controlling Class disapproves the first "official Income Note nominee. duties and obligations of the Collateral Manager hereunder and under the applicable terms of the Indenture and (iv) it shall not cause the Issuer. The proposed successor Collateral Manager on the list who receives the greatest amount of votes from the Income Notes (such votes to be calculated by attributing each dollar of Income Notes owned by a voter to the successor such Holder selected) will become the "official Income Note nominee" to succeed the Collateral Manager. If the Controlling Class votes to disapprove the second "official Income Note nominee". the Controlling Class shall. the Holders of a Majority of the Controlling Class will be entitled to propose a successor Collateral Manager (which proposed successor shall become the successor Collateral Manager)." each Holder (or group of Holders) of 25% or more in aggregate principal amount of the Outstanding Income Notes and the Controlling Class will (in each case) be entitled to propose a successor Collateral Manager (which proposed successor may include Elliott or any Affiliate thereof or successor thereto) within 60 days after the Collateral Manager shall have delivered notice to each of them and the Designated Financial Insurer that the Collateral Manager has resigned or has been removed. the Collateral Management Agreement provides that it will automatically terminate if the Issuer. as successor to the Collateral Manager under the Collateral Management Agreement in the assumption of all of the responsibilities. following consultation with the Income Noteholders select an "alternate Controlling Class nominee". With respect to the first "official Income Note nominee." a non-response by the Controlling Class within 30 days after the date of the notice of such first "official Income Note nominee" shall constitute a disapproval by the Controlling Class. The Collateral Manager will thereafter deliver to the Holders of the Income Notes (with a copy to the Controlling Class and the Designated Financial Insurer) a list of all the successor Collateral Managers that were proposed and a ballot requesting them to choose within 10 days of such delivery one successor Collateral Manager from the list. Any successor Collateral Manager must be a Person which (i) it is not an Affiliate of any Holder of Notes (other than Elliott or any Affiliate thereof or successor thereto). (ii) has demonstrated an ability to perform professionally and competently duties similar to those imposed upon the Collateral Manager under the Collateral Management Agreement. whereupon a Majority of the Controlling Class may (within 30 days after the date it receives such notice) by written notice elect one of the following: (i) to approve the "official Income Note nominee". whereupon such official Income Note nominee shall become the successor Collateral Manager or (ii) to disapprove the "official Income Note nominee". (iii) is legally qualified and has the capacity to act as Collateral Manager. whereupon such alternate Controlling Class nominee shall become the successor Collateral Manager. With respect to the second "official Income Note nominee".The proposed successor Collateral Manager who receives the greatest amount of votes from the Controlling Class owned by a voter to the successor such Holder has voted in favor of) will become the successor Collateral Manager. In addition. other than in the case of removal pursuant to clause (d) or (f) of the definition of "cause. In connection with the removal or resignation of the Collateral Manager and the appointment of a successor. If none of the Holders of the Outstanding Income Notes propose an "official Income Note nominee" in accordance with the foregoing paragraph. the Collateral Manager shall provide notice thereof such within 10 days thereafter to the Controlling Class and the Designated Financial Insurer (with a copy to the Trustee and the Income Note Issuing and Paying Agent). If the Income Noteholders elect an "official Income Note nominee". select a second "official Income Note nominee" and shall provide notice thereof to the Controlling Class and the Designated Financial Insurer (with a copy to the Trustee and the Income Note Issuing and Paying Agent). an "Eligible Successor")." the Income Noteholders may within 10 days of receiving written notice of disapproval or of any non-response becoming effective.

within ten (10) Business Days following the occurrence of a Key Manager Departure. then each such proposed replacement person shall as of the next succeeding Business Day become a Key Manager. whichever occurs first. and within 20 Business Days after receipt of such notice by the Controlling Class and the Designated Financial Insurer. If a Controlling Class approval is received within 20 Business Days after the Controlling Class and the Designated Financial Insurer receive the notice of such proposed replacement person. An Interest Only Period Suspension shall continue until the date that is the earlier (i) the date of effectiveness of any Key Manager Departure Cure and (ii) the date of expiration or earlier termination of the Interest-Only Period. the Trustee or a Majority of the Controlling Class may petition any court of competent jurisdiction for the appointment of a substitute Collateral Manager without the approval of the Noteholders. If at any time one or more Key Managers cease to be employed by the Collateral Manager on a substantially full-time basis in a senior management position. any Affiliate thereof and accounts for which such Collateral Manager or any such Affiliate acts as collateral manager (and for which such Collateral Manager or such Affiliate has discretionary authority regarding such Notes) will be disregarded and deemed not to be Outstanding with respect to any vote or consent of the Noteholders on any termination of the Collateral Manager or any amendment or other modification of the Collateral Management Agreement or the Indenture that increases the rights or decreases the obligations of the Collateral Manager. Moreover. the Collateral Manager and its Affiliates will be entitled to vote the Notes held by them and by such accounts with respect to all other matters (including in directing an Optional Redemption). the Controlling Class may again reply to the Collateral Manager with an approval or with a disapproval. Any non-response by the Controlling Class shall be treated as a Controlling Class Non-Approval for purposes of this Section. If a Controlling Class Non-Approval to such proposed replacement occurs. at any time. then a Key Manager Event shall have occurred. the Income Noteholders or the Rating Agencies. Notes held by the Collateral Manager. individual purchases and sales of Collateral Debt Assets constituting Credit-Risk Assets or Credit-Improved Assets may be effected by the Collateral Manager with (in each case) the prior approval of the Controlling Class acting in its discretion. Any non-response by the Controlling Class within 20 days shall be treated as a Controlling Class Non-Approval. and within 20 Business Days after written notice of any such different proposed replacement person has been furnished to the Controlling Class. If a Key Manager Departure occurs and no Key Manager Departure Cure occurs for a period of four months. the Controlling Class may reply to the Collateral Manager with an approval or with a disapproval (a "Controlling Class Non-Approval"). then on such day the Interest Only Period shall be suspended and shall be treated as though it had terminated for purposes of the provisions of the Indenture applicable to purchases and sales of Collateral Debt Assets and the Priority of Payments. If no Controlling Class response is received by the Collateral Manager within 20 Business Days. a replacement for each of the departed Key Managers may be proposed by the Collateral Manager by notice furnished to the Controlling Class and the Designated Financial Insurer. The Collateral Manager shall be obligated to notify the Controlling Class in writing. If a Controlling Class Non-Approval 116 . then the resigning or removed Collateral Manager. the Collateral Manager. Following the date of occurrence of such Key Manager Departure.voting procedures set forth herein. Different replacement persons may be proposed by the Collateral Manager by notice to the Controlling Class and the Designated Financial Insurer. If the Controlling Class replies to the Collateral Manager with its approval. provided. then such replacement person shall become a Key Manager as of the next succeeding Business Day after such approval. as the case may be. the Collateral Manager may in its discretion propose a replacement person for each such departed Key Manager by written notice to the Controlling Class and the Designated Financial Provider. Key Manager Event If on any day during the Interest Only Period a Key Manager Departure occurs. such non-response by the Controlling Class shall be treated as an approval with respect to each such different proposed replacement person. where such cessation does not constitute a Key Manager Departure. then the Collateral Manager will have the right to propose one or more different replacement persons in response. its Affiliates and accounts for which such Collateral Manager or any Affiliate thereof acts as collateral manager (and for which such Collateral Manager or such Affiliate has discretionary authority regarding such Notes) will be entitled to vote such Notes with respect to proposing a successor Collateral Manager. that during such period of suspension (an "Interest-Only Period Suspension"). However.

the Income Note Fiscal Agent. stockholders. willful misconduct. or any Affiliates or its or their respective directors. Any such waiver. Indemnity Neither the Collateral Manager. the Trustee. except by reason of acts or omissions constituting bad faith. Any non-response by the Controlling Class within 20 days shall be treated as a Controlling Class Non-Approval. The Collateral Manager shall propose such additional Key Managers by written notice to the Controlling Class and the Designated Financial Provider. officers. At any time that a Key Manager Departure has not occurred (or at any time after a Key Manager Departure Cure has been effected). propose additional Key Managers. the Holders of the Notes or any other person for acts or omissions of the Collateral Manager. recordkeepers and other professionals retained by the Issuer (or by the Collateral Manager on the Issuer's behalf). The Senior Collateral Management Fee payable on any Quarterly Payment Date will be payable prior to payments of interest or principal on the Notes. If the Controlling Class replies to the Collateral Manager with its approval. shall only apply to the applicable Quarterly Payment Date. and will be payable prior to distributions on the Income Notes and will accrue from the Closing Date at a rate of 0. however. for the following expenses and costs: (a) legal advisers. partners and employees from and against any and all expenses. under or in connection with the Collateral Management Agreement. fees and expenses of Rating Agencies incurred in connection with obtaining ratings for 117 . The Collateral Management Fee will be payable on each Quarterly Payment Date to the extent of the funds available for such purpose in accordance with the Priority of Payments. including. The Senior Collateral Management Fee and the Subordinate Collateral Management Fee will accrue if unpaid or waived (but without the accrual of any interest thereon) and be payable on the next Quarterly Payment Date on which funds are available therefor in accordance with the Priority of Payments. losses. nor any of its Affiliates or its or their respective directors. that the Collateral Manager will not be liable. judgments. The Collateral Manager may waive any portion or all of any Subordinate Collateral Management Fee payable on any Quarterly Payment Date at its sole discretion. gross negligence or reckless disregard of its duties under the Collateral Management Agreement and the terms of the Indenture applicable to it. the Collateral Manager will be entitled to receive the Senior Collateral Management Fee and the Subordinate Collateral Management Fee (collectively. auditors. stockholders. accountants. officers. in its sole discretion. agents. the Collateral Manager may in its discretion propose a different additional Key Manager. assessments.occurs with respect to such replacement person. costs. If a Controlling Class Non-Approval occurs with respect to such replacement person. however. The Issuer will indemnify the Collateral Manager and its Affiliates and their respective directors. The Subordinate Collateral Management Fee payable on any Quarterly Payment Date will be payable from funds remaining after payment of interest (and. the Collateral Manager may in its discretion propose a different replacement person. agents. or reckless disregard. claims or other liabilities of any nature whatsoever (including reasonable attorneys' fees) in respect of or arising from acts or omissions made in good faith in the performance of the duties of the Collateral Manager under the Collateral Management Agreement and the terms of the Indenture applicable to it and not constituting bad faith. partners or employees. Compensation of the Collateral Manager As compensation for the performance of its obligations under the Collateral Management Agreement. willful misconduct or gross negligence in the performance. The Collateral Manager will be responsible for its own expenses incurred in the course of performing its obligations under the Collateral Management Agreement. provided that the total numbers of Key Managers shall not at any time exceed four. without limitation. provided.05% per annum of the Fee Basis Amount. if required. Limitation of Liability. stockholders.03% per annum of the Fee Basis Amount. the Indenture or the Fiscal Agency Agreement. demands. The Senior Collateral Management Fee and the Subordinate Collateral Management Fee will be calculated on the basis of a 360-day year and twelve 30-day months. principal) on the Notes and will accrue for each Due Period at a rate of 0. the Collateral Manager may. charges. damages. then such proposed additional person shall become a Key Manager as of the next succeeding Business Day after such approval. agents. of the duties of the Collateral Manager under the Collateral Management Agreement or the Indenture. officers. the "Collateral Management Fee"). partners or employees will be liable to the Issuer. among other things.

(f) certain travel and related expenses incurred by the Collateral Manager and (g) legal advisers and other professional retained by the Collateral Manager in connection with any amendment or modification of the Indentures. (d) certain amounts payable to the Collateral Manager pursuant to the Collateral Management Agreement. Such expenses will be paid by the Issuer in accordance with the Priority of Payments. the Collateral Management Agreement or the Collateral Administration Agreement. (b) legal advisers and other professionals retained by the Issuer or by the Collateral Manager on the Issuer's behalf for the restructuring of. (c) the preparation of reports to the Holders of the Notes. or the enforcement of rights under. the Collateral. (e) amounts payable to the Collateral Administrator pursuant to the Collateral Administration Agreement. 118 .Collateral.

Section 3(c)(7) exempts issuers from the registration requirements of the Investment Company Act that privately place their securities solely to "qualified purchasers". retained to advise the Initial Offeree with respect thereto and other persons meeting the requirements of Rule 144A or Regulation S is unauthorized and any disclosure of any of its contents. among other things.000 in investments. by accepting delivery of this Prospectus. is prohibited. The Notes have not been and will not be registered under the Securities Act or any state securities or "Blue Sky" laws or the securities laws of any other jurisdiction and. any person who in the aggregate owns and invests. Additionally. by holding a Note. without the prior written consent of the Co-Issuers. Rated Notes Legend Unless determined otherwise by the Co-Issuers in accordance with applicable law and so long as any Class of Rated Notes is Outstanding. each Holder of a Note will acknowledge and agree. or in offshore transactions in accordance with Regulation S. accordingly. provided to it by the Issuer. will be deemed to have represented.000. Offerees. In general. Without limiting the foregoing. resold. the "Initial Offerees").S. pledged or otherwise transferred except in accordance with the restrictions described under "Notice to Purchasers" and below. Offeree") and each prospective initial purchaser of the Notes offered in reliance on Regulation S under the Securities Act (together with U. or another exemption from registration from the Securities Act.. if any. (ii) The Initial Offeree agrees to make no photocopies of this Prospectus or any documents referred to herein and. including. any natural person who owns not less than U. Prospective Initial Investors in the Notes Each prospective initial purchaser of the Notes offered in reliance on Rule 144A or another applicable exemption from registration under the Securities Act (a "U. the Rated Notes will bear a legend substantially set forth below: 119 .000 in investments. New York. "qualified purchaser" means. without limitation. may not be reoffered. 390 Greenwich Street.$25. the Co-Issuer or the pool of Collateral is registered as an investment company under the Investment Company Act. among other things. the Initial Offeree has reviewed the list (attached hereto as Annex C) of the Collateral Debt Assets expected to be purchased by the Issuer on the Closing Date.S. if the Initial Offeree does not purchase the Notes or the offering is terminated. not less than U. but that the Co-Issuers and the pool of Collateral are exempt from registration as such by virtue of Section 3(c)(7) of the Investment Company Act. sale.PURCHASE AND TRANSFER RESTRICTIONS Because of the following restrictions. and trusts as to which both the settlor and the decision-making trustee are qualified purchasers (but only if such trust was not formed for the specific purpose of making such investment). resale. Distribution of this Prospectus or disclosure of any of its contents to any person other than the Initial Offeree and those persons. acknowledged and agreed as follows: (i) The Initial Offeree acknowledges that this Prospectus is personal to the Initial Offeree and does not constitute an offer to any other person or to the public generally to subscribe for or otherwise acquire the Notes other than pursuant to Rule 144A. the Initial Purchaser and the Placement Agent and not on any other information. purchasers are advised to consult legal counsel prior to making any offer. and has based its decision to purchase the Notes upon the information contained herein and on written information. to return this Prospectus and all documents referred to herein to Citigroup Global Markets Inc. New York 10013. the "Risk Factors" section herein. Attention: Global Structured Credit Products Group. the Co-Issuer. (iii) The Initial Offeree has carefully read and understands this Prospectus.S.000. if any.S. that such Holder understands that none of the Issuer. on a discretionary basis. pledge or transfer of the Notes.$5.

PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS. PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE BENEFICIARIES OR PARTICIPANTS MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE AND (4) AGREES TO PROVIDE NOTICE TO ANY SUBSEQUENT TRANSFEREE OF THE TRANSFER RESTRICTIONS PROVIDED IN THIS LEGEND AND (d) THAT IS (1) A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A "QUALIFIED INSTITUTIONAL BUYER" AS DEFINED IN RULE 144A 120 .$25. (b)(1) THAT WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER. COMMON TRUST FUND. AS AMENDED (THE "INVESTMENT COMPANY ACT"). AS APPLICABLE. THE HOLDER HEREOF. PLEDGE OR OTHERWISE TRANSFER THIS NOTE (OR ANY INTEREST HEREIN) EXCEPT IN COMPLIANCE WITH THE SECURITIES ACT. EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER. THE INVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWS OF ANY JURISDICTION AND IN ACCORDANCE WITH THE RESTRICTIONS. PENSION. AND THE RESTRICTIONS ON SALE AND TRANSFER SET FORTH IN THE INDENTURE. (c) THAT (1) HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS IF THE PURCHASER IS A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30. FURTHER REPRESENTS. THE CO-ISSUER OR THE POOL OF COLLATERAL TO BE REQUIRED TO BE REGISTERED UNDER THE INVESTMENT COMPANY ACT. CERTIFICATIONS AND OTHER REQUIREMENTS SPECIFIED IN THE INDENTURE (i) TO A TRANSFEREE (a) THAT IS A QUALIFIED PURCHASER PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED PURCHASER IN A TRANSACTION THAT WOULD NOT CAUSE THE ISSUER. BY ITS ACCEPTANCE OF THIS NOTE. AS AMENDED (THE "SECURITIES ACT"). (3) IF IT WOULD BE AN INVESTMENT COMPANY BUT FOR THE EXCEPTION IN SECTION 3(c)(1) OR SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT.000. THE INVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWS OF THE UNITED STATES OR ANY OTHER JURISDICTION.THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933. THE HOLDER HEREOF. (2) THAT IS NOT A PARTNERSHIP. BENEFICIARIES OR PARTICIPANTS. ANY STATE SECURITIES LAWS IN THE UNITED STATES OR THE SECURITIES LAWS OF ANY OTHER JURISDICTION AND NONE OF THE ISSUER. (2) IS NOT A BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U. IN EACH CASE.000 IN SECURITIES OF UNAFFILIATED ISSUERS. REPRESENTS THAT IT HAS OBTAINED THIS NOTE IN A TRANSACTION IN COMPLIANCE WITH THE SECURITIES ACT. BY ITS ACCEPTANCE OF THIS NOTE.S. WHOSE INVESTMENT IN THE INCOME NOTES AND ANY RATED NOTES DOES NOT EXCEED 40% OF ITS TOTAL ASSETS AND (4) THAT IT DID NOT SPECIFICALLY SOLICIT ADDITIONAL CAPITAL OR SIMILAR CONTRIBUTIONS FROM ANY PERSON OWNING AN EQUITY OR SIMILAR INTEREST IN IT FOR THE PURPOSE OF ENABLING IT TO PURCHASE THE INCOME NOTES. THE CO-ISSUER OR THE POOL OF COLLATERAL HAS BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940. ACKNOWLEDGES AND AGREES THAT IT WILL NOT REOFFER. RESELL. (3) IS NOT A SPECIAL TRUST. 1996. PENSION. MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE.

PERSON (AS DEFINED IN REGULATION S OF THE SECURITIES ACT) AND IS ACQUIRING THIS NOTE IN AN OFFSHORE TRANSACTION IN COMPLIANCE WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT AND. THE ISSUER MAINTAINS THE RIGHT TO RESELL ANY 121 . STATING THAT. AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE. WITH RESPECT TO EACH CLASS OF RATED NOTES OF NOT LESS THAN U. THE TRANSFEREE IS A QUALIFIED PURCHASER AND AN ACCREDITED INVESTOR PURCHASING FOR ITS OWN ACCOUNT AND HAS PROVIDED AN OPINION OF COUNSEL TO EACH OF THE TRUSTEE AND THE ISSUER THAT SUCH TRANSFER MAY BE MADE PURSUANT TO AN EXEMPTION FROM REGISTRATION UNDER THE SECURITIES ACT IF SO REQUIRED BY THE TRUSTEE OR THE ISSUER. EACH PURCHASER OR TRANSFEREE OF THIS NOTE WILL BE DEEMED TO HAVE MADE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN THE INDENTURE. IN ADDITION TO THE FOREGOING. IF THE TRANSFER OF NOTES IS TO BE MADE TO AN ACCREDITED INVESTOR. "QUALIFIED PURCHASER" MEANS ANY PERSON THAT IS (i) A "QUALIFIED PURCHASER" AS DEFINED IN SECTION 2(a)(51) OF THE INVESTMENT COMPANY ACT AND THE RULES THEREUNDER.$250. EACH TRANSFEROR OF THIS NOTE AGREES TO PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INDENTURE TO THE TRANSFEREE. OR (ii) A "KNOWLEDGEABLE EMPLOYEE" WITH RESPECT TO THE ISSUER AS DEFINED IN RULE 3c-5 UNDER THE INVESTMENT COMPANY ACT OR (iii) A COMPANY BENEFICIALLY OWNED EXCLUSIVELY BY ONE OR MORE "QUALIFIED PURCHASERS" AND/OR "KNOWLEDGEABLE EMPLOYEES" WITH RESPECT TO THE ISSUER.S. THE TRUSTEE OR ANY INTERMEDIARY. IN ADDITION TO THE FOREGOING.S. WILL BE VOID AB INITIO.UNDER THE SECURITIES ACT (A "QUALIFIED INSTITUTIONAL BUYER") PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER IN COMPLIANCE WITH RULE 144A UNDER THE SECURITIES ACT OR (2) AN "ACCREDITED INVESTOR" AS DEFINED IN RULE 501(a) UNDER THE SECURITIES ACT (AN "ACCREDITED INVESTOR") OR (ii) TO A TRANSFEREE THAT IS NOT A U.000 FOR THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING. EACH TRANSFEROR OF THIS NOTE AGREES TO PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INDENTURE TO THE TRANSFEREE. THE ISSUER MAINTAINS THE RIGHT TO RESELL ANY INTEREST IN THIS NOTE PREVIOUSLY TRANSFERRED TO HOLDERS NOT ELIGIBLE TO PURCHASE SUCH INTEREST IN ACCORDANCE WITH AND SUBJECT TO THE TERMS OF THE INDENTURE. IN THE CASE OF CLAUSES (i) AND (ii). NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE CO-ISSUERS. ANY SALE OR TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE AND EFFECT. THE TRANSFEREE OF THE NOTES WILL BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER AND THE TRUSTEE A TRANSFER CERTIFICATE IN THE FORM ATTACHED TO THE INDENTURE. AMONG OTHER THINGS. IN A PRINCIPAL AMOUNT.

WITHOUT PREJUDICE TO THE RIGHTS OF THE ISSUER AGAINST ANY BENEFICIAL OWNER OF PURPORTED BENEFICIAL OWNER OF NOTES. NO OTHER ASSETS OF THE CO-ISSUERS WILL BE AVAILABLE TO MEET SUCH INSUFFICIENCY. THE SUMS PAID TO. NOTHING IN THE INDENTURE OR THE NOTES SHALL BE INTERPRETED TO CONFER ON THE CO-ISSUERS. AN "EMPLOYEE BENEFIT PLAN" AS DEFINED IN SECTION 3(3) OF. THE CO-ISSUERS IN RESPECT OF THE COLLATERAL. ACCORDINGLY. FEDERAL INCOME TAX STRUCTURE OF THIS TRANSACTION. INTEREST OR ANY OTHER AMOUNT TO BE MADE BY THE CO-ISSUERS IN RESPECT OF THE NOTES OR UNDER ANY TRANSACTION DOCUMENT WILL BE PAYABLE PURSUANT TO THE PRIORITY OF PAYMENTS AND ONLY FROM. FEDERAL INCOME TAX TREATMENT OR THE U. To be included for the Rated Notes. THE U. AND SUBJECT TO. OR NET PROCEEDS RECOVERED BY OR ON BEHALF OF. WHO WILL BE REQUIRED TO CERTIFY AS TO ITEM (A) OR (B) BELOW. THE TRUSTEE OR ANY NOTE PAYING AGENT ANY RIGHT AGAINST EUROCLEAR TO REQUIRE THAT EUROCLEAR REVERSE OR RESCIND ANY TRADE COMPLETED IN ACCORDANCE WITH THE RULES OF EUROCLEAR. IN WRITING AS PART OF THE TRANSFER CERTIFICATE THAT IT WILL EXECUTE AND DELIVER) THAT EITHER (A) IT IS NOT (AND FOR SO LONG AS IT HOLDS ANY NOTE OR INTEREST THEREIN WILL NOT BE).S. PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH IN THE INDENTURE. THE HOLDER OF THIS NOTE ACKNOWLEDGES THAT NOTWITHSTANDING ANY OTHER PROVISION OF THE INDENTURE OR ANY OTHER TRANSACTION DOCUMENT. other than the Class A-1R Notes and the Class C Notes: EACH ORIGINAL PURCHASER AND EACH TRANSFEREE OF THIS NOTE OR AN INTEREST THEREIN IS DEEMED TO REPRESENT AND WARRANT (EXCEPT FOR ORIGINAL PURCHASERS AND TRANSFEREES THAT ARE ACCREDITED INVESTORS. AS AMENDED 122 . AS APPLICABLE. THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS THAN THE AMOUNT SHOWN ON THE FACE HEREOF. NO PARTICIPANT IN THE TRANSACTION REPRESENTED BY THIS NOTE SHALL BE LIMITED FROM DISCLOSING THE U. ANY PERSON ACQUIRING THIS NOTE MAY ASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY OF THE TRUSTEE.S.INTEREST IN THIS NOTE PREVIOUSLY TRANSFERRED TO HOLDERS NOT ELIGIBLE TO PURCHASE SUCH INTERESTS IN ACCORDANCE WITH AND SUBJECT TO THE TERMS OF THE INDENTURE. ALL PAYMENTS OF PRINCIPAL. EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974. IF THE PROCEEDS OF THE COLLATERAL ARE NOT SUFFICIENT FOR THE CO-ISSUERS TO MEET THEIR OBLIGATIONS IN RESPECT OF THE NOTES AND OTHER TRANSACTION DOCUMENTS.S. AND IS NOT ACTING ON BEHALF OF (AND FOR SO LONG AS IT HOLDS ANY NOTE OR INTEREST THEREIN WILL NOT BE ACTING ON BEHALF OF). HOWEVER. NOTWITHSTANDING ANY PROVISION TO THE CONTRARY. AND TO THE EXTENT OF.

"BENEFIT PLAN INVESTOR" MEANS ANY (i) "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA). THE U. WITHOUT LIMITATION. INTERNAL REVENUE CODE OF 1986. IT IS NOT AND WILL NOT BE A BENEFIT PLAN INVESTOR WITHIN THE MEANING OF 29 C. OR AN ENTITY WHICH IS DEEMED TO HOLD THE ASSETS OF ANY SUCH PLAN PURSUANT TO 29 C.F. AS AMENDED (THE "CODE"). To be included for the Class C Notes offered in reliance on Rule 144A: EACH ORIGINAL PURCHASER AND EACH TRANSFEREE OF THIS NOTE WILL BE REQUIRED TO REPRESENT AND AGREE THAT. EXCEPT AS EXPRESSLY PERMITTED ABOVE. (ii) "PLAN" (AS DEFINED IN SECTION 4975(e)(l) OF THE CODE). AND (iii) IT IS NOT AND WILL NEVER BECOME (A) A PERSON (OTHER THAN A BENEFIT PLAN INVESTOR) THAT HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR (B) A PERSON THAT PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER. WHILE SUCH NOTES ARE HELD BY SUCH TRANSFEREE OR PERSON. THAT IS SUBJECT TO SECTION 4975 OF THE CODE. § 2510. PLAN OR ENTITY IS SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE. THAT IS SUBJECT TO TITLE I OF ERISA.R. NO SALE OR TRANSFER OF THESE NOTES (OR ANY INTEREST HEREIN) MAY BE MADE UNLESS SUCH SALE OR TRANSFER WILL BE MADE TO A TRANSFEREE PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A PERSON WHICH. FURTHER. SECTION 2510. AN INSURANCE COMPANY GENERAL ACCOUNT. IN ADDITION.S. INCLUDING.F. AND SUBJECT TO.F. IN EACH CASE. (ii) PROHIBITED TRANSACTION EXEMPTION 95-60 ISSUED BY THE UNITED STATES DEPARTMENT OF LABOR APPLIES TO EXEMPT THE PURCHASE AND HOLDING OF THIS NOTE FROM THE PROHIBITED TRANSACTION PROVISIONS OF ERISA AND SECTION 4975 OF THE CODE. IS NOT AND. OR ANY "AFFILIATE" (AS DEFINED IN 29 C.("ERISA").R. OR (iii) ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCH ENTITY. WILL NOT BE. EACH INITIAL PURCHASER AND TRANSFEREE OF AN INTEREST IN THE NOTES REPRESENTED HEREBY REPRESENTS TO THE ISSUER. A BENEFIT PLAN INVESTOR. OR (B) ITS PURCHASE AND HOLDING OF SUCH NOTE IS AND WILL NOT RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE. EXCEPT AS EXPRESSLY PROVIDED BELOW IN THE CASE OF CERTAIN INSURANCE COMPANY GENERAL ACCOUNTS.3-101(f)(3)) OF ANY SUCH PERSON (A "CONTROLLING PERSON").R. AN INSURANCE COMPANY ACTING ON BEHALF OF ITS GENERAL ACCOUNT REPRESENTS AND AGREES THAT (i) THE PERCENTAGE OF THE ASSETS IN ITS GENERAL ACCOUNT THAT MAY BE OR BECOME PLAN ASSETS DOES NOT AND SHALL NOT EXCEED 25%. A "PLAN" AS DEFINED IN SECTION 4975(e)(1) OF. EXCEPT AS EXPRESSLY PERMITTED ABOVE.3-101. AS APPLICABLE.3-101. THE 123 . WHICH EMPLOYEE BENEFIT PLAN. SECTION 2510.

IF SUCH HOLDER DOES NOT COMPLY WITH SUCH DEMAND WITHIN THIRTY (30) DAYS THEREOF. IN ADDITION. IF SUCH HOLDER DOES NOT COMPLY WITH SUCH DEMAND WITHIN 30 DAYS THEREOF. AMONG OTHER THINGS (i) IT IS NOT. IN EACH CASE. IT UNDERSTANDS THAT THE INDENTURE PERMITS THE ISSUER TO DEMAND THAT ANY PERSON HOLDING ANY INTEREST IN THE NOTES REPRESENTED HEREBY WHO IS DETERMINED TO BE A BENEFIT PLAN INVESTOR SELL SUCH INTEREST TO A PERSON WHO IS NOT A BENEFIT PLAN INVESTOR OR IS NOT A CONTROLLING PERSON AND WHO MEETS ALL OTHER APPLICABLE TRANSFER RESTRICTIONS AND. AND (ii) WITHOUT LIMITING ANY REMEDIES AVAILABLE FOR ANY BREACHES BY IT OF ANY WARRANTIES OR OTHER ASSURANCES.R. WILL NOT BE. AND FOR SO LONG AS IT HOLDS ANY INTEREST IN THE NOTES REPRESENTED HEREBY. 124 . A BENEFIT PLAN INVESTOR. THE TRUSTEE. FURTHER. A BENEFIT PLAN INVESTOR. To be included for the Class C Notes offered in reliance on Regulation S: EACH ORIGINAL PURCHASER OF THIS NOTE WILL BE REQUIRED TO AND EACH TRANSFEREE OF THIS NOTE WILL BE DEEMED TO REPRESENT AND AGREE THAT IT IS NOT AND WILL NOT BE A BENEFIT PLAN INVESTOR WITHIN THE MEANING OF 29 C. THE ISSUER MAY SELL SUCH HOLDER'S INTEREST IN A NOTE REPRESENTED HEREBY. WHILE SUCH NOTE IS HELD BY SUCH TRANSFEREE OR PERSON. AND THE PLACEMENT AGENT THAT. WITHOUT LIMITATION. AND THE PLACEMENT AGENT THAT. IT UNDERSTANDS THAT THE INDENTURE PERMITS THE ISSUER TO DEMAND THAT ANY PERSON HOLDING ANY INTEREST IN A NOTE REPRESENTED HEREBY WHO IS DETERMINED TO BE A BENEFIT PLAN INVESTOR TO SELL SUCH INTEREST TO A PERSON WHO IS NOT A BENEFIT PLAN INVESTOR AND WHO MEETS ALL OTHER APPLICABLE TRANSFER RESTRICTIONS AND. SECTION 2510.3-101. AN INSURANCE COMPANY GENERAL ACCOUNT. A BENEFIT PLAN INVESTOR. AND (ii) WITHOUT LIMITING ANY REMEDIES AVAILABLE FOR ANY BREACHES BY IT OF ANY WARRANTIES OR OTHER ASSURANCES. WILL NOT BE. AS APPLICABLE. AMONG OTHER THINGS (i) IT IS NOT. (ii) "PLAN" (AS DEFINED IN SECTION 4975(e)(1) OF THE CODE). "BENEFIT PLAN INVESTOR" MEANS ANY (i) "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA). WILL NOT BE. IS NOT AND. EACH INITIAL PURCHASER AND TRANSFEREE OF AN INTEREST IN THE NOTES REPRESENTED HEREBY REPRESENTS TO THE ISSUER. NO SALE OR TRANSFER OF THIS NOTE (OR ANY INTEREST HEREIN) MAY BE MADE UNLESS SUCH SALE OR TRANSFER WILL BE MADE TO A TRANSFEREE PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A PERSON WHICH. INCLUDING. AND FOR SO LONG AS IT HOLDS ANY INTEREST IN A NOTE REPRESENTED HEREBY. THAT IS SUBJECT TO SECTION 4975 OF THE CODE OR (iii) ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCH ENTITY.TRUSTEE. THAT IS SUBJECT TO TITLE I OF ERISA.F. THE ISSUER MAY SELL SUCH HOLDER'S INTEREST IN THE NOTES REPRESENTED HEREBY.

3-101. CDOs OF CITIGROUP GLOBAL MARKETS AT (212) 723-6173 BEGINNING NO LATER THAN TEN (10) DAYS AFTER ITS ISSUANCE. NEW YORK. AND NOT IN PART. To be included for the Certificated Class A-1R Notes: EACH ORIGINAL PURCHASER AND EACH TRANSFEREE OF THIS NOTE OR AN INTEREST THEREIN REPRESENTS AND WARRANTS THAT EITHER (A) IT IS NOT (AND FOR SO LONG AS IT HOLDS ANY NOTE OR INTEREST THEREIN WILL NOT BE). INTERNAL REVENUE CODE OF 1986. EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974. HAS AN INTEREST HEREIN. NEW YORK. TO THE CO-ISSUERS OR THEIR AGENT FOR REGISTRATION OF TRANSFER. THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS THAN THE AMOUNT SHOWN 125 . AN "EMPLOYEE BENEFIT PLAN" AS DEFINED IN SECTION 3(3) OF. THE U. OR AN ENTITY WHICH IS DEEMED TO HOLD THE ASSETS OF ANY SUCH PLAN PURSUANT TO 29 C. FEDERAL INCOME TAX PURPOSES. TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF INTERESTS IN THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. OR OF SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADE TO CEDE & CO. In addition. AND IS NOT ACTING ON BEHALF OF (AND FOR SO LONG AS IT HOLDS ANY NOTE OR INTEREST THEREIN WILL NOT BE ACTING ON BEHALF OF).. SECTION 2510. OR (B) ITS PURCHASE AND HOLDING OF SUCH NOTE IS AND WILL NOT RESULT IN A NONEXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE.).S. CEDE & CO.To be included for all the Global Notes other than Class A-1R Notes: ANY TRANSFER. UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY ("DTC"). TRANSFER OF THIS NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE.F. INFORMATION RELATING TO THE ISSUE PRICE OF THE NOTE. PLEDGE OR OTHER USE OF THIS NOTE FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER HEREOF.S. PLAN OR ENTITY IS SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE. WHICH EMPLOYEE BENEFIT PLAN. PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH IN THE INDENTURE. AND SUBJECT TO.S. shall bear the following legend: THIS NOTE HAS BEEN ISSUED WITH ORIGINAL ISSUE DISCOUNT ("OID") FOR U. A "PLAN" AS DEFINED IN SECTION 4975(e)(1) OF. AS AMENDED ("ERISA"). THE U. EXCHANGE OR PAYMENT AND ANY NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. to the extent issued with original issue discount. THE AMOUNT OF OID ON THE NOTE.S.R. AS AMENDED (THE "CODE"). AND SUBJECT TO. U. ITS ISSUE DATE AND THE YIELD TO MATURITY OF THE NOTE MAY BE OBTAINED FROM THE MANAGING DIRECTOR. the Class B Notes and the Class C Notes. ACCORDINGLY.

and subsequent transferee of. IN ACCORDANCE WITH AND SUBJECT TO THE PROVISIONS OF THE CLASS A-1R NOTE PURCHASE AGREEMENT. "CLASS A-1R ADVANCES" AND "CLASS A-1R COMMITMENT" HAVE THE MEANINGS SPECIFIED IN THE CLASS A-1R NOTE PURCHASE AGREEMENT OR IN THE INDENTURE. NO OTHER ASSETS OF THE CO-ISSUERS WILL BE AVAILABLE TO MEET SUCH INSUFFICIENCY. it will be deemed to have represented and agreed that it (a)(1) was not formed for the purpose of investing in the Issuer or the CoIssuer.ON THE FACE HEREOF. (3) if it would be an investment company but for the exception in Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act. Initial Investors and Transferees of Interests in Rule 144A Global Notes Each initial investor in. (2) is not a partnership. IF THE PROCEEDS OF THE COLLATERAL ARE NOT SUFFICIENT FOR THE CO-ISSUERS TO MEET THEIR OBLIGATIONS IN RESPECT OF THE NOTES AND OTHER TRANSACTION DOCUMENTS. INTEREST OR ANY OTHER AMOUNT TO BE MADE BY THE CO-ISSUERS IN RESPECT OF THE NOTES OR UNDER ANY TRANSACTION DOCUMENT WILL BE PAYABLE PURSUANT TO THE PRIORITY OF PAYMENTS AND ONLY FROM. FEDERAL INCOME TAX TREATMENT OR THE U. In addition. IT IS OBLIGATED TO MAKE CLASS A-1R ADVANCES TO THE ISSUER UPON THE REQUEST OF THE ISSUER.S. THE CLASS A-1R NOTE AGENT AND THE CLASS A-1R HOLDERS PARTY THERETO (THE "CLASS A-1R NOTE PURCHASE AGREEMENT"). its investment in the Rated Notes and any Income Notes does not exceed 40% of its total assets and (4) it did not specifically solicit additional capital or similar 126 . AND TO THE EXTENT OF. as applicable. ANY PERSON ACQUIRING THIS NOTE MAY ASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY OF THE TRUSTEE. DATED AS OF SEPTEMBER 7. THE HOLDER OF THIS NOTE ACKNOWLEDGES THAT NOTWITHSTANDING ANY OTHER PROVISION OF THE INDENTURE OR ANY OTHER TRANSACTION DOCUMENT. may designate the particular investments to be made. AS APPLICABLE. NOTWITHSTANDING ANY PROVISION TO THE CONTRARY.S. FEDERAL INCOME TAX STRUCTURE OF THIS TRANSACTION. FOR SO LONG AS IT IS THE HOLDER OF SUCH NOTE AND UNTIL THE EARLIER OF (I) ITS SALE OR TRANSFER OF SUCH NOTE AND (II) THE COMMITMENT TERMINATION DATE. ALL PAYMENTS OF PRINCIPAL. AMONG THE CO-ISSUERS. NO PARTICIPANT IN THE TRANSACTION REPRESENTED BY THIS NOTE SHALL BE LIMITED FROM DISCLOSING THE U. EACH HOLDER OF THIS NOTE ACKNOWLEDGES AND AGREES THAT. an interest in a Rule 144A Global Note will be deemed to have represented and agreed as follows: (i) It (a) is a Qualified Institutional Buyer and is acquiring the Rated Notes in reliance on the exemption from the Securities Act registration provided by Rule 144A thereunder. THE CO-ISSUERS IN RESPECT OF THE COLLATERAL. IN AN AMOUNT UP TO ITS CLASS A-1R COMMITMENT. beneficiaries or participants. common trust fund. profit sharing or other retirement trust fund or plan in which the partners. (b) is a Qualified Purchaser purchasing for its own account and (c) understands the Rated Notes will bear the legend set forth above and be represented by one or more Rule 144A Global Notes. pension. THE SUMS PAID TO. THE TERMS "CLASS A-1R COMMITMENT TERMINATION DATE". 2006. OR NET PROCEEDS RECOVERED BY OR ON BEHALF OF.

(iii) In connection with the purchase of the Rated Notes: (a) neither of the Co-Issuers is acting as a fiduciary or financial or investment advisor for it. profit sharing or other retirement trust fund or plan in which the beneficiaries or participants may designate the particular investments to be made. (c) it has consulted with its own legal. regulatory. or (b) its purchase and holding of such Rated Note does not and will not result in a nonexempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code.S.$250.000 in securities of unaffiliated issuers. investment.$25. pension. Section 2510. (d) it is not a special trust. plan or entity described in clause (1). (e) will provide notice to any subsequent transferee of the transfer restrictions provided in the legend. such Rated Notes may be offered. (c) is not a broker-dealer that owns and invests on a discretionary basis less than U. tax. with respect to each Class of Rated Notes U. profit sharing or other retirement trust fund or plan in which the partners. (iv) In connection with the Rated Notes (other than Class C Notes). (b) it is not relying (for purposes of making any investment decision or otherwise) upon any advice. (2) a "plan" as defined in section 4975(e)(1) of. resell. and subject to ERISA. (2) or (3) is subject to Title I of ERISA or Section 4975 of the Code. distribution or other disposition thereof in violation of the Securities Act.S.000 for it or for each account for which it is acting and (g) will provide the Co-Issuers from time to time such information as it may reasonably request in order to ascertain compliance with this paragraph (i). (f) it has made investments prior to the date hereof and was not formed solely for the purpose of investing in the Rated Notes. and is not acting on behalf of (and for so long as it holds any Rated Note or interest therein will not be acting on behalf of). financial and accounting advisors to the extent it has deemed necessary and has made its own investment decisions based upon its own judgment and upon any advice from such advisors as it has deemed necessary and not upon any view expressed by the Co-Issuers or the Initial Purchaser. and subject to the Code. beneficiaries or participants may designate the particular investments to be made. or (3) an entity which is deemed to hold the assets of any such plan pursuant to 29 C. 127 . pledged or otherwise transferred only in accordance with the provisions of the Indenture and the legend on such Rated Notes.000. the Rated Notes have not been and will not be registered under the Securities Act and. (ii) It understands that the Rated Notes have been offered only in a transaction not involving any public offering in the United States within the meaning of the Securities Act. in each case. pension. (f) will hold and transfer in an amount of not less than.contributions from any person owning an equity or similar interest in it for the purpose of enabling it to purchase the Income Notes. (1) an "employee benefit plan" as defined in section 3(3) of. (e) it is acquiring the Rated Notes as principal solely for its own account for investment and not with a view to the resale. It acknowledges that no representation is made as to the availability of any exemption under the Securities Act or any state securities laws for resale of the Rated Notes. and (j) it is a sophisticated investor and is purchasing the Rated Notes with a full understanding of all of the terms. pledge or otherwise transfer the Rated Notes. except when each beneficial owner of the purchaser is a Qualified Purchaser purchasing for its own account. if in the future it decides to offer. either (a) it is not (and for so long as it holds any Rated Note or interest therein will not be). (2) common trust fund or (3) special trust.R. business. which employee benefit plan. (i) all Rated Notes (together with any other securities of the Co-Issuers) purchased and held directly or indirectly by it constitute in the aggregate an investment of no more than 40% of its assets or capital. counsel or representations (whether written or oral) of the Co-Issuers or the Initial Purchaser (in its capacity as such) or any of their agents. (b) has received the necessary consent from its beneficial owners if the purchaser is a private investment company formed before April 30. 1996. resold. other than any statements in a current Prospectus for such Rated Notes and any representations expressly set forth in a written agreement with such party. shall at all times be the sole beneficial owner thereof for purposes of the Investment Company Act and all other purposes and will not sell participation interests in the Notes or enter into any other arrangement pursuant to which any other person shall be entitled to a beneficial interest in the distributions on the Rated Notes.3-101. conditions and risks thereof and is capable of assuming and willing to assume those risks. (d) its purchase of the Rated Notes will comply with all applicable laws in any jurisdiction in which it resides or is located. (g) it is not a (1) partnership.F. (h) it may not hold any Rated Notes for the benefit of any other person.

(vii) It will not. notice or other communication published in any newspaper. the Issuer may sell its interest in the Rated Note. (ii) Prohibited Transaction Exemption 95-60 issued by the U. that is subject to section 4975 of the Code or (3) entity whose underlying assets include plan assets by reason of such an employee benefit plan's or plan's investment in such entity.F.S. 128 . if it does not comply with such demand within thirty (30) days thereof. Section 2510. at any time. magazine or similar medium or broadcast over television or radio or seminar or meeting whose attendees have been invited by general solicitations or advertising.S. it agrees to such treatment. any advertisement. It understands that the Rated Notes will be highly illiquid and are not suitable for short term trading. title and interest in such Rated Notes (a) to a person who is both a Qualified Institutional Buyer and a Qualified Purchaser in a transaction meeting the requirements of Rule 144A.F. (b) to a person who will take delivery of its interest in Rule 144A Global Notes in the form of an interest in a Regulation S Global Note and who is not a U.S. including an opportunity to ask questions of and request information from the Co-Issuers.(v) With respect to each Class C Note subject to Rule 144A.R. (viii) It understands that the Indenture permits the Co-Issuers to demand that any beneficial owner of Rule 144A Global Notes who is determined not to be both a Qualified Institutional Buyer and a Qualified Purchaser at the time of acquisition of such Rule 144A Global Notes to sell all its right. offer to buy or offer to sell the Rated Notes by any form of general solicitation or advertising. It has had access to such financial and other information concerning the Co-Issuers and the Notes. payments on the Rated Notes may be deferred. and (iii) it is not and will never become (A) a person (other than a Benefit Plan Investor) that has the discretionary authority or control with respect to the assets of the issuer or (B) a person that provides investment advice for a fee (direct or indirect) with respect to the assets of the issuer or any "affiliate" (as defined in 29 C. article. The Rated Notes are a leveraged investment in a portfolio of Collateral Debt Assets that may expose the Rated Notes to disproportionately large changes in value. except as otherwise required by any taxing authority under applicable law. without limitation.R. (ix) It acknowledges that it is its intent and that it understands it is the intent of the Co-Issuers that. Person in a transaction meeting the requirements of Regulation S or (c) to a person who will take delivery of its interests in Rule 144A Global Notes in the form of interests in a Restricted Certificated Note and who is an Accredited Investor and a Qualified Purchaser in a transaction exempt from registration under the Securities Act or any state or other relevant securities laws and. that is subject to Title I of ERISA. reduced or eliminated entirely. but not limited to. It understands that it is possible that due to the structure of the transaction and the performance of the portfolio. and the Income Notes bear the first risk of loss. "Benefit Plan Investor" is defined in 29 C. (vi) It understands that an investment in the Rated Notes involves certain risks. including each Class A-1R Advance.3-101. § 2510. including the risk of loss of all or a substantial part of its investment under certain circumstances. will be treated as indebtedness of the Issuer and (3) the Income Notes will be treated as equity in the Issuer. an insurance company acting on behalf of its general account may purchase Class C Notes subject to Rule 144A. with respect to such Class C Note. including.F. an insurance company general account. The Co-Issuers have assets limited to the Collateral Debt Assets for payment of the Rated Notes and the Income Notes. to report all income (or loss) in accordance with such treatment and to take no action inconsistent with such treatment. (2) "plan" (as defined in section 4975(e)(1) of the Code). as it deemed necessary or appropriate in order to make an informed investment decision with respect to its acquisition of the Rated Notes. for purposes of U.3-101(f)(3)) of any such person (a "Controlling Person"). as applicable. (2) the Rated Notes. Department of Labor applies to exempt the purchase and holding of the Class C Notes subject to Rule 144A from the prohibited transaction provisions of ERISA and Section 4975 of the Code. including. state and local income taxes.3-101 to mean any (1) "employee benefit plan" (as defined in section 3(3) of ERISA). it is not and will not be a Benefit Plan Investor (a "Benefit Plan Investor") within the meaning of 29 C. in which case it shall represent and agree that (i) the percentage of the assets in its general account that may be or become plan assets does not and shall not exceed 25%. (1) the Issuer will be treated as a corporation.R. federal. Section 2510. Notwithstanding the foregoing.

the Collateral Manager and their counsel will rely on the accuracy and truth of the foregoing representation. it is not. it does not have its principal place of business in any Federal Reserve District of the FRB.(x) It is aware that.S. a U. (viii). (iv) If a transferee. it is not acquiring any Rated Note as part of a plan to reduce. Initial Investors and Transferees of Interests in Regulation S Global Notes Each initial investor in. (v) With respect to each Class C Note subject to Regulation S. title and interest in such Regulation S Global Notes to a person who (a) is not a U. and it hereby consents to such reliance. will not be. Person in a transaction meeting the requirements of Regulation S. Persons as defined in Regulation S under the Securities Act. an Accredited Investor and a Qualified Purchaser in a transaction meeting the requirements of Rule 144A or another exemption from registration under the Securities Act and. if such Holder does not comply with such demand within thirty (30) days thereof. as applicable. avoid or evade U. 129 . and that beneficial interests therein may be held only through DTC or one of its nominees. who is both a Qualified Institutional Buyer or. if the Holder does not comply with such demand within thirty (30) days thereof. the Issuer may sell such Holder's interest in the Rated Note. an interest in a Regulation S Global Note (other than Class C Notes) will be deemed to have made the representations set forth in clauses (ii). except as otherwise provided in the Indenture. the Issuer may sell such Holder's interest in the Class C Note subject to Regulation S. or it has satisfied and will satisfy all applicable registration and other requirements of the FRB in connection with its acquisition of the Rated Notes. and will not be. (xi) It understands that the Co-Issuers. in the case of a Restricted Certificated Note. Person to sell all its right. (iv). and subsequent transferee of. the Rated Notes being sold to it will be represented by one or more Global Notes. It and each beneficial owner of the Rated Notes that it holds is not. (ii) If it is not a "United States person" as defined in Section 7701 (a)(30) of the Code. (xii) If acquiring the Rated Notes from an existing Holder. federal income taxes owed.S. (vi). The Rated Notes so represented may not at any time be held by or on behalf of U. (ix) and (x) above and will be deemed to have further represented and agreed as follows: (i) It is aware that the sale of Rated Notes to it is being made in reliance on the exemption from registration provided by Regulation S under the Securities Act and understands that the Rated Notes offered in reliance on Regulation S under the Securities Act will bear the legend set forth above and be represented by or one or more Regulation S Global Notes. (b) will take delivery of the Holder's Regulation S Global Notes in the form of an interest in a Rule 144A Global Note or a Restricted Certificated Note. owing or potentially owed or owing.S. (iii) It understands that the Indenture permits the Issuer to demand that any beneficial owner of Regulation S Global Notes who is determined to be a U. it has satisfied and will satisfy all applicable registration and other requirements of the Board of Governors of the Federal Reserve System (the "FRB") in connection with its acquisition of the Rated Notes. the Initial Purchaser.S. and for so long as it holds any Class C Notes subject to Regulation S. Person (as defined in Regulation S under the Securities Act) and its purchase of the Rated Notes will comply with all applicable laws in any jurisdiction in which it resides or is located.S. the Trustee. a Benefit Plan Investor and it understands that the Indenture permits the Issuer to demand that any person holding Class C Notes subject to Regulation S (or a beneficial interest therein) who is determined to be a Benefit Plan Investor to sell such Class C Notes subject to Regulation S (or a beneficial interest therein) to a person who is not a Benefit Plan Investor and who meets all other applicable transfer restrictions and. (iii).

it represents and warrants that it (a)(1) was not formed for the purpose of investing in the Issuer or the Co-Issuer. its investment in the Rated Notes and any Income Notes does not exceed 40% of its total assets and (4) it did not specifically solicit additional capital or similar contributions from any person owning an equity or similar interest in it for the purpose of enabling it to purchase the Income Notes. beneficiaries or participants. (iv). and subsequent transferee of. in connection with any transfer of such Certificated Class A-1R Notes. (f) will hold and transfer Class A-1R Notes in an amount of not less than U. as applicable. a written certification substantially in the form provided in the Indenture.$250. if it does not comply with such demand within 30 days thereof. in which such investor or transferee will make the representations set forth in clauses (ii). (vi).000. (e) will provide notice to any subsequent transferee of the transfer restrictions provided in the legend. pension. (iii).000 in securities of unaffiliated issuers. In addition. (iv) It satisfies the requirements of the Class A-1R Noteholder Ratings Requirement. (iii) If acquiring the Rated Notes from an existing Holder. (b) is a Qualified Purchaser purchasing for its own account and (c) understands the Class A-1R Notes will bear the legend set forth herein and be represented by one or more Certificated Class A-1R Notes. (3) if it would be an investment company but for the exception in Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act.S. in each case. (c) is not a broker-dealer that owns and invests on a discretionary basis less than U. (ii) It understands that the Indenture permits the Co-Issuers to demand that any beneficial owner of Certificated Class A-1R Notes who is determined not to be both a Qualified Institutional Buyer and a Qualified Purchaser at the time of acquisition of such Certificated Class A-1R Notes to sell all its right. (2) is not a partnership. (b) has received the necessary consent from its beneficial owners if the purchaser is a private investment company formed before April 30. the Co-Issuer and the Trustee. 1996.000 for it or for each account for which it is acting and (g) will provide the Co-Issuers from time to time such information as they may reasonably request in order to ascertain compliance with this paragraph (i).$25. (viii) and (x) above under "—Initial Investors and Transferees of Interests in Rule 144A Global Notes" and as follows: With respect to any Class A-1R Notes Acquired by a U. With respect to any Class A-1R Notes Acquired by a Non-U. the Issuer may sell its interest in the Certificated Class A-1R Note.S. Person in a transaction meeting the requirements of Regulation S and. it has satisfied and will satisfy all applicable registration and other requirements of the FRB in connection with its acquisition of the Restricted Certificated Notes.S. (d) it is not a special trust. profit sharing or other retirement trust fund or plan in which the beneficiaries or participants may designate the particular investments to be made. profit sharing or other retirement trust fund or plan in which the partners. may designate the particular investments to be made. Person (i) It (a) is a Qualified Institutional Buyer and is acquiring the Class A-1R Notes in reliance on the exemption from the Securities Act registration provided by Rule 144A thereunder or is an Accredited Investor and is acquiring the Class A-1R Notes in reliance on the exemption from Securities Act registration provided by Section 4(2) thereof.Initial Investors and Transferees of Interests in Certificated Class A-1R Notes Each initial investor in. It understands that the Certificated Class A-1R Notes will bear the legend set forth herein and will be issued as physical definitive certificates in registered form only. except when each beneficial owner of the purchaser is a Qualified Purchaser purchasing for its own account. pension. Person (i) It is aware that the sale of Certificated Class A-1R Notes to it is being made in reliance on the exemption from registration provided by Regulation S under the Securities Act and understands that the Certificated Class A-1R Notes offered in reliance on Regulation S under the Securities Act will bear the legend set forth above and be represented by or one or more Certificated Class A-1R Notes. title and interest in such Certificated Class A-1R Notes (a) to a person who is both (1) a Qualified Institutional Buyer or an Accredited Investor and (2) a Qualified Purchaser in a transaction meeting the requirements of Rule 144A or Section 4(2) of the Securities Act or (b) to a person who is not a U. It and each 130 . (v).S. any Certificated Class A-1R Note will be required to provide to the Issuer.S. common trust fund.

000 for it or for each account for which it is acting and (g) will provide the Co-Issuers from time to time such information as it may reasonably request in order to ascertain compliance with this paragraph (i). or in a transaction not subject to. a U. (iv). 1996. in connection with any transfer of such Restricted Certificated Notes. a written certification substantially in the form provided in the Indenture. profit sharing or other retirement trust fund or plan in which the partners. Person to sell all its right. U. Person who is acquiring the Restricted Certificated Notes in an offshore transaction in accordance with Regulation S. pension. may designate the particular investments to be made.000. (3) if it would be an investment company but for the exception in Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act. (iii). except when each beneficial owner of the purchaser is a Qualified Purchaser purchasing for its own account. avoid or evade U. It understands that the Restricted Certificated Notes will bear the legend set forth above and will be issued as physical definitive certificates in registered form only. Initial Investors and Transferees of Interests in Restricted Certificated Notes Each initial investor in. common trust fund. (v) It satisfies the requirements of the Class A-1R Noteholder Ratings Requirement. In addition. federal income taxes owed. as applicable. Person and its purchase of the Rated Notes will comply with all applicable laws in any jurisdiction in which it resides or is located.S.S. title and interest in such Regulation S Global Notes to a person who (a) is not a U. (ix) and (x) above under "—Initial Investors and Transferees of Interests in Rule 144A Global Notes" and as follows: (i) It (a) is an Accredited Investor and is acquiring the Restricted Certificated Notes in reliance on the exemption from the Securities Act registration provided by Section 4(2) thereof (subject to the delivery of such certifications. (iv) If a transferee.$25. if the Holder does not comply with such demand within thirty (30) days thereof. beneficiaries or participants.beneficial owner of the Rated Notes that it holds is not. (iii) It understands that the Indenture permits the Co-Issuers to demand that any beneficial owner of Certificated Class A-1R Notes who is determined to be a U.000 in securities of unaffiliated issuers. its investment in the Rated Notes and any Income Notes does not exceed 40% of its total assets and (4) it did not specifically solicit additional capital or similar contributions from any person owning an equity or similar interest in it for the purpose of enabling it to purchase the Income Notes. 131 . the Issuer may sell such Holder's interest in the Certificated Class A-1R Note. (ii) If it is not a "United States person" as defined in Section 7701 (a)(30) of the Code.S. it is not acquiring any Rated Note as part of a plan to reduce. (d) it is not a special trust.S. and will not be. legal opinions or other information as the Co-Issuers may reasonably require to confirm that such transfer is being made pursuant to an exemption from. with respect to each Class of Restricted Certificated Notes. (b) has received the necessary consent from its beneficial owners if the purchaser is a private investment company formed before April 30. the registration requirements of the Securities Act) and a Qualified Purchaser purchasing for its own account or (b) not a U. owing or potentially owed or owing.$250. pension. Person in a transaction meeting the requirements of Regulation S or (b) is both (1) a Qualified Institutional Buyer or an Accredited Investor and (2) a Qualified Purchaser in a transaction meeting the requirements of Rule 144A or Section 4(2) of the Securities Act and. and subsequent transferee of. it represents and warrants that it (a)(1) was not formed for the purpose of investing in the Issuer or the Co-Issuer.S. (vi). (e) will provide notice to any subsequent transferee of the transfer restrictions provided in the legend. any Restricted Certificated Note will be required to provide to the Co-Issuers and the Trustee. profit sharing or other retirement trust fund or plan in which the beneficiaries or participants may designate the particular investments to be made. (viii).S. in each case. (v). (f) will hold and transfer in an amount of not less than. in which such investor or transferee will make the representations set forth in clauses (ii).S. or it has satisfied and will satisfy all applicable registration and other requirements of the FRB in connection with its acquisition of the Rated Notes. it does not have its principal place of business in any Federal Reserve District of the FRB. (2) is not a partnership. (c) is not a broker-dealer that owns and invests on a discretionary basis less than U.

THE HOLDER HEREOF. PLEDGE OR OTHERWISE TRANSFER THE NOTES REPRESENTED HEREBY (OR ANY INTEREST THEREIN) EXCEPT IN COMPLIANCE WITH THE SECURITIES ACT. ACKNOWLEDGES AND AGREES THAT IT WILL NOT REOFFER. BY ITS ACCEPTANCE OF THE NOTES REPRESENTED HEREBY. AND THE RESTRICTIONS ON SALE AND TRANSFER SET FORTH IN THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT. BY ITS ACCEPTANCE OF THE NOTES REPRESENTED HEREBY. it has satisfied and will satisfy all applicable registration and other requirements of the FRB in connection with its acquisition of the Restricted Certificated Notes.(ii) It understands that the Indenture permits the Co-Issuers to demand that any beneficial owner of Restricted Certificated Notes who is determined (a) not to be both an Accredited Investor and a Qualified Purchaser or (b) to be a U. Person at the time of acquisition of such Restricted Certificated Notes who purported to acquire such Restricted Certificated Notes pursuant to Regulation S to sell all its right. ANY STATE SECURITIES LAWS IN THE UNITED STATES OR THE SECURITIES LAWS OF ANY OTHER JURISDICTION AND NEITHER THE ISSUER NOR THE POOL OF COLLATERAL HAS BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940. the Issuer may sell its interest in the Restricted Certificated Note. the certificates in respect of the Income Notes will bear a legend substantially set forth below: THE NOTES REPRESENTED HEREBY HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933. REPRESENTS THAT IT HAS OBTAINED THESE NOTES IN A TRANSACTION IN COMPLIANCE WITH THE SECURITIES ACT. (iii) If acquiring the Rated Notes from an existing Holder. THE INVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWS OF ANY JURISDICTION AND IN ACCORDANCE WITH THE CERTIFICATIONS AND OTHER REQUIREMENTS SPECIFIED IN THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT REFERRED TO HEREIN (i) TO A TRANSFEREE (a) THAT IS A QUALIFIED PURCHASER PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED PURCHASER IN A TRANSACTION THAT WOULD NOT CAUSE THE ISSUER. THE INVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWS OF THE UNITED STATES OR ANY OTHER JURISDICTION.S. RESELL. Person in a transaction meeting the requirements of Regulation S and.S. title and interest in such Restricted Certificated Notes (a) to a person who is both an Accredited Investor and a Qualified Purchaser in a transaction meeting the requirements of an exemption from registration under the Securities Act and any state or other relevant securities laws or (b) to a person who will take delivery of its interest in such Restricted Certificated Notes in the form of an interest in either (1) the Rule 144A Global Notes by a person who is a Qualified Institutional Buyer and a Qualified Purchaser in a transaction exempt from registration under the Securities Act in accordance with Rule 144A or (2) the Regulation S Global Notes by a person who is not a U. THE CO-ISSUER OR THE POOL OF COLLATERAL TO BE REQUIRED TO BE REGISTERED UNDER THE INVESTMENT COMPANY 132 . Income Notes Legend Unless determined otherwise by the Issuer in accordance with applicable law and so long as the Income Notes are Outstanding. FURTHER REPRESENTS. if it does not comply with such demand within 30 days thereof. THE HOLDER HEREOF. AS AMENDED (THE "SECURITIES ACT"). AS AMENDED (THE "INVESTMENT COMPANY ACT").

(3) IF IT WOULD BE AN INVESTMENT COMPANY BUT FOR THE EXCEPTION IN SECTION 3(c)(1) OR SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT. "QUALIFIED PURCHASER" MEANS ANY PERSON THAT IS (i) A "QUALIFIED PURCHASER" AS DEFINED IN SECTION 2(a)(51) OF THE INVESTMENT COMPANY ACT AND THE RULES THEREUNDER.S.S. EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER. MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE. IN THE CASE OF CLAUSES (i) AND (ii).000 FOR THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING. WHOSE INVESTMENT IN THE NOTES AND ANY RATED NOTES DOES NOT EXCEED 40% OF ITS TOTAL ASSETS AND (4) THAT IT DID NOT SPECIFICALLY SOLICIT ADDITIONAL CAPITAL OR SIMILAR CONTRIBUTIONS FROM ANY PERSON OWNING AN EQUITY OR SIMILAR INTEREST IN IT FOR THE PURPOSE OF ENABLING IT TO PURCHASE THE NOTES. BENEFICIARIES OR PARTICIPANTS. PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS. COMMON TRUST FUND. OR (ii) A "KNOWLEDGEABLE EMPLOYEE" WITH RESPECT TO THE ISSUER AS DEFINED IN RULE 3c-5 UNDER THE INVESTMENT COMPANY ACT OR (iii) A COMPANY BENEFICIALLY OWNED EXCLUSIVELY BY ONE 133 . PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE BENEFICIARIES OR PARTICIPANTS MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE AND (4) AGREES TO PROVIDE NOTICE TO ANY SUBSEQUENT TRANSFEREE OF THE TRANSFER RESTRICTIONS PROVIDED IN THIS LEGEND AND (d) THAT (1) IS A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE l44A UNDER THE SECURITIES ACT (A "QUALIFIED INSTITUTIONAL BUYER") PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER IN COMPLIANCE WITH RULE l44A UNDER THE SECURITIES ACT OR (2) IS AN ACCREDITED INVESTOR AS DEFINED IN RULE 501(a) OF REGULATION D UNDER THE SECURITIES ACT (AN "ACCREDITED INVESTOR") OR (ii) TO A TRANSFEREE THAT IS NOT A U. PENSION.000 IN SECURITIES OF UNAFFILIATED ISSUERS. (b)(1) THAT WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER. (3) IS NOT A SPECIAL TRUST. EACH PURCHASER OR TRANSFEREE OF THE NOTES REPRESENTED HEREBY WILL BE DEEMED TO HAVE MADE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT. THE NOTES REPRESENTED HEREBY ARE NOT TRANSFERABLE EXCEPT IN ACCORDANCE WITH THE RESTRICTIONS DESCRIBED HEREIN.ACT.000. IN EACH CASE. AS APPLICABLE. PENSION.S. (c) THAT (1) HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS IF THE PURCHASER IS A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30.$25. (2) THAT IS NOT A PARTNERSHIP.$250. 1996. (2) IS NOT A BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U. IN A MINIMUM DENOMINATION OF U. PERSON (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT) AND IS ACQUIRING THESE NOTES IN AN OFFSHORE TRANSACTION IN COMPLIANCE WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT AND.

AND (iii) IT IS NOT AND WILL NEVER BECOME (A) A PERSON (OTHER THAN A BENEFIT PLAN INVESTOR) THAT HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR (B) A PERSON THAT PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER. ANY SALE OR TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE AND EFFECT. THE ISSUER IN RESPECT OF THE COLLATERAL. SECTION 2510. NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUER. IN ADDITION TO THE FOREGOING. THE SUMS PAID TO. THE INCOME NOTE ISSUING AND PAYING AGENT OR ANY INTERMEDIARY. NO OTHER ASSETS OF THE ISSUER WILL BE AVAILABLE TO MEET SUCH INSUFFICIENCY.R.F. IF THE PROCEEDS OF THE COLLATERAL ARE NOT SUFFICIENT FOR THE ISSUER TO MEET ITS OBLIGATIONS IN RESPECT OF THE NOTES AND OTHER TRANSACTION DOCUMENTS. AND TO THE EXTENT OF. IT IS NOT AND WILL NOT BE A BENEFIT PLAN INVESTOR WITHIN THE MEANING OF 29 C. OR ANY "AFFILIATE" (AS 134 . ALL DISTRIBUTIONS TO BE MADE BY THE ISSUER IN RESPECT OF THE NOTES OR UNDER ANY TRANSACTION DOCUMENT WILL BE PAYABLE PURSUANT TO THE PRIORITY OF PAYMENTS AND ONLY FROM. To be included in the case of the Certificated Income Notes: EACH ORIGINAL PURCHASER AND EACH TRANSFEREE OF THIS NOTE WILL BE REQUIRED TO REPRESENT AND AGREE THAT. THE ISSUER MAINTAINS THE RIGHT TO RESELL ANY INTEREST IN ANY NOTE REPRESENTED HEREBY PREVIOUSLY TRANSFERRED TO HOLDERS NOT ELIGIBLE TO HOLD SUCH INTERESTS IN ACCORDANCE WITH AND SUBJECT TO THE TERMS OF THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT. (ii) PROHIBITED TRANSACTION EXEMPTION 95-60 ISSUED BY THE UNITED STATES DEPARTMENT OF LABOR APPLIES TO EXEMPT THE PURCHASE AND HOLDING OF THIS NOTE FROM THE PROHIBITED TRANSACTION PROVISIONS OF ERISA AND SECTION 4975 OF THE CODE.3-101. AN INSURANCE COMPANY ACTING ON BEHALF OF ITS GENERAL ACCOUNT REPRESENTS AND AGREES THAT (i) THE PERCENTAGE OF THE ASSETS IN ITS GENERAL ACCOUNT THAT MAY BE OR BECOME PLAN ASSETS DOES NOT AND SHALL NOT EXCEED 25%. EACH TRANSFEROR OF THE NOTES REPRESENTED HEREBY AGREES TO PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT TO THE TRANSFEREE. WILL BE VOID AB INITIO. OR NET PROCEEDS RECOVERED BY OR ON BEHALF OF. EXCEPT AS EXPRESSLY PROVIDED BELOW IN THE CASE OF CERTAIN INSURANCE COMPANY GENERAL ACCOUNTS.OR MORE "QUALIFIED PURCHASERS" AND/OR "KNOWLEDGEABLE EMPLOYEES" WITH RESPECT TO THE ISSUER. THE HOLDER OF THIS NOTE ACKNOWLEDGES THAT NOTWITHSTANDING ANY OTHER PROVISION OF THE NOTES OR ANY OTHER TRANSACTION DOCUMENT. AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE.

AND (ii) WITHOUT LIMITING ANY REMEDIES AVAILABLE FOR ANY BREACHES BY IT OF ANY WARRANTIES OR OTHER ASSURANCES. NO SALE OR TRANSFER OF THESE NOTES (OR ANY INTEREST HEREIN) MAY BE MADE UNLESS SUCH SALE OR TRANSFER WILL BE MADE TO A TRANSFEREE PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A PERSON WHICH. FURTHER. A BENEFIT PLAN INVESTOR. § 2510. AND FOR SO LONG AS IT HOLDS ANY INTEREST IN THE NOTES REPRESENTED HEREBY. WHILE SUCH NOTES ARE HELD BY SUCH TRANSFEREE OR PERSON. THE INCOME NOTE ISSUING AND PAYING AGENT AND THE PLACEMENT AGENT THAT. AN INSURANCE COMPANY GENERAL ACCOUNT. THE TRUSTEE. IT UNDERSTANDS THAT THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT PERMITS THE ISSUER TO DEMAND THAT ANY PERSON HOLDING ANY INTEREST IN THE NOTES REPRESENTED HEREBY WHO IS DETERMINED TO BE A BENEFIT PLAN INVESTOR SELL SUCH INTEREST TO A PERSON WHO IS NOT A BENEFIT PLAN INVESTOR OR IS NOT A CONTROLLING PERSON AND WHO MEETS ALL OTHER APPLICABLE TRANSFER RESTRICTIONS AND. A BENEFIT PLAN INVESTOR. IN EACH CASE. IS NOT AND. EXCEPT AS EXPRESSLY PERMITTED ABOVE. DISTRIBUTIONS OF AVAILABLE FUNDS TO THE HOLDER OF THE NOTES REPRESENTED HEREBY ARE SUBORDINATE TO THE PAYMENT ON EACH PAYMENT DATE OF INTEREST ON AND PRINCIPAL OF EACH CLASS OF RATED NOTES ISSUED BY THE ISSUER PURSUANT TO THE INDENTURE REFERRED TO IN THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT AND THE PAYMENT OF CERTAIN OTHER AMOUNTS IN THE MANNER PROVIDED IN THE PRIORITY OF PAYMENTS SET FORTH IN THE INDENTURE.F. "BENEFIT PLAN INVESTOR" MEANS ANY (i) "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA). AMONG OTHER THINGS (i) IT IS NOT. WILL NOT BE. IN ADDITION. NOTWITHSTANDING ANY PROVISION TO THE CONTRARY.R.3-101(f)(3)) OF ANY SUCH PERSON (A "CONTROLLING PERSON"). IF SUCH HOLDER DOES NOT COMPLY WITH SUCH DEMAND WITHIN 30 DAYS THEREOF. INCLUDING. WILL NOT BE. THAT IS SUBJECT TO SECTION 4975 OF THE CODE. AS APPLICABLE. EACH INITIAL PURCHASER AND TRANSFEREE OF AN INTEREST IN THE NOTES REPRESENTED HEREBY REPRESENTS TO THE ISSUER. WITHOUT LIMITATION.S. FEDERAL INCOME TAX TREATMENT OR THE U. (ii) "PLAN" (AS DEFINED IN SECTION 4975(e)(l) OF THE CODE). 135 .S.DEFINED IN 29 C. OR (iii) ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCH ENTITY. EXCEPT AS EXPRESSLY PERMITTED ABOVE. THAT IS SUBJECT TO TITLE I OF ERISA. FEDERAL INCOME TAX STRUCTURE OF THIS TRANSACTION. NO PARTICIPANT IN THE TRANSACTION REPRESENTED BY THIS NOTE SHALL BE LIMITED FROM DISCLOSING THE U. THE ISSUER MAY SELL SUCH HOLDER'S INTEREST IN THE NOTES REPRESENTED HEREBY.

THAT IS SUBJECT TO TITLE I OF ERISA. (ii) "PLAN" (AS DEFINED IN SECTION 4975(e)(1) OF THE CODE). IT IS NOT. WITHOUT LIMITATION. INCLUDING. IT UNDERSTANDS THAT THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT PERMITS THE ISSUER TO DEMAND THAT ANY PERSON HOLDING ANY INTEREST IN THE NOTES REPRESENTED HEREBY WHO IS 136 .F. EXCHANGE OR PAYMENT AND ANY NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY ("DTC"). AND NOT IN PART.R. "BENEFIT PLAN INVESTOR" MEANS ANY (i) "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA). IN ADDITION. EACH INITIAL PURCHASER AND TRANSFEREE OF AN INTEREST IN THE NOTES REPRESENTED HEREBY REPRESENTS TO THE ISSUER. FURTHER. IN EACH CASE. THE INCOME NOTE ISSUING AND PAYING AGENT AND THE PLACEMENT AGENT THAT. AN INSURANCE COMPANY GENERAL ACCOUNT. OR OF SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADE TO CEDE & CO. A BENEFIT PLAN INVESTOR. WILL NOT BE. AND FOR SO LONG AS IT HOLDS ANY INTEREST IN THE NOTES REPRESENTED HEREBY. SECTION 2510. AMONG OTHER THINGS (i) EXCEPT AS EXPRESSLY PERMITTED ABOVE. TO THE ISSUER OR ITS AGENT FOR REGISTRATION OF TRANSFER. NEW YORK. NO SALE OR TRANSFER OF THESE NOTES (OR ANY INTEREST HEREIN) MAY BE MADE UNLESS SUCH SALE OR TRANSFER WILL BE MADE TO A TRANSFEREE PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A PERSON WHICH.3-101. TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF INTERESTS IN THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. EACH ORIGINAL PURCHASER OF THIS NOTE WILL BE REQUIRED TO AND EACH TRANSFEREE OF THIS INCOME NOTE WILL BE DEEMED TO REPRESENT AND AGREE THAT IT IS NOT AND WILL NOT BE A BENEFIT PLAN INVESTOR WITHIN THE MEANING OF 29 C. NEW YORK.). THE TRUSTEE. OR (iii) ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCH ENTITY. A BENEFIT PLAN INVESTOR.To be included in the case of the Regulation S Global Income Notes: ANY TRANSFER. WILL NOT BE. IS NOT AND. PLEDGE OR OTHER USE OF THIS NOTE FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER HEREOF. THAT IS SUBJECT TO SECTION 4975 OF THE CODE. AND (ii) WITHOUT LIMITING ANY REMEDIES AVAILABLE FOR ANY BREACHES BY IT OF ANY WARRANTIES OR OTHER ASSURANCES. AS APPLICABLE. WHILE SUCH NOTES ARE HELD BY SUCH TRANSFEREE OR PERSON.. CEDE & CO. HAS AN INTEREST HEREIN. TRANSFER OF THIS NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE.

000 in securities of unaffiliated issuers. IF SUCH HOLDER DOES NOT COMPLY WITH SUCH DEMAND WITHIN THIRTY (30) DAYS THEREOF. 1996. THE ISSUER MAY SELL SUCH HOLDER'S INTEREST IN THE NOTES REPRESENTED HEREBY. FEDERAL INCOME TAX TREATMENT OR THE U. (d) it is not a special trust. beneficiaries or participants. In addition. except when each beneficial owner of the purchaser is a Qualified Purchaser purchasing for its own account.000 (or such other amount. as applicable.S. pension. DISTRIBUTIONS OF AVAILABLE FUNDS TO THE HOLDER OF THE NOTES REPRESENTED HEREBY ARE SUBORDINATE TO THE PAYMENT ON EACH PAYMENT DATE OF INTEREST ON AND PRINCIPAL OF EACH CLASS OF RATED NOTES ISSUED BY THE ISSUER PURSUANT TO THE INDENTURE REFERRED TO IN THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT AND THE PAYMENT OF CERTAIN OTHER AMOUNTS IN THE MANNER PROVIDED IN THE PRIORITY OF PAYMENTS SET FORTH IN THE INDENTURE.DETERMINED TO BE A BENEFIT PLAN INVESTOR TO SELL SUCH INTEREST TO A PERSON WHO IS NOT A BENEFIT PLAN INVESTOR AND WHO MEETS ALL OTHER APPLICABLE TRANSFER RESTRICTIONS AND. its investment in the Income Notes and any Notes does not exceed 40% of its total assets and (4) it did not specifically solicit additional capital or similar contributions from any person owning an equity or similar interest in it for the purpose of enabling it to purchase the Income Notes. NOTWITHSTANDING ANY PROVISION TO THE CONTRARY.$25.S. as permitted hereunder and under the Income Note Issuing and Paying Agency Agreement). legal opinions or other information as the Issuer may reasonably require to confirm that such transfer is being made pursuant to an exemption from. or in a transaction not subject to. the Certificated Income Notes will be required to provide to the Issuer and the Income Note Issuing and Paying Agent in connection with any transfer of such Certificated Income Notes a written certification in substantially the form provided in the Income Note Issuing and Paying Agency Agreement. (2) is not a partnership.000.S. (b) has received the necessary consent from its beneficial owners if the purchaser is a private investment company formed before April 30.$250. in each case. the registration requirements of the Securities Act). (e) will provide notice to any subsequent transferee of the transfer restrictions provided in the legend. (f) will hold and transfer the Income Notes in a minimum denomination of not less than U. (b) is a Qualified Purchaser purchasing for its own account and (c) understands the Income Notes will bear the legend set forth above. (c) is not a broker-dealer that owns and invests on a discretionary basis less than U. it represents and warrants that it (a)(1) was not formed for the purpose of investing in the Issuer. in which such investor or transferee will make the following representations: (i) It (a) (1) is a Qualified Institutional Buyer and is acquiring the Income Notes in reliance on the exemption from Securities Act registration provided by Rule 144A thereunder or (2) is an Accredited Investor acquiring the Income Notes in reliance on the exemption from registration provided by Section 4(2) thereof (subject to the delivery of such certifications. (3) if it would be an investment company but for the exception in Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act. Initial Investors in and Transferees of Certificated Income Notes Each initial investor in. may designate the particular investments to be made. FEDERAL INCOME TAX STRUCTURE OF THIS TRANSACTION. and subsequent transferee of. common trust fund.S. profit sharing or other retirement trust fund or plan in which the beneficiaries or participants may designate the particular investments to be made. pension. profit sharing or other retirement trust fund or plan in which the partners. NO PARTICIPANT IN THE TRANSACTION REPRESENTED BY THIS NOTE SHALL BE LIMITED FROM DISCLOSING THE U. for it or for each account for which it is acting and (g) will provide the Issuer 137 .

sold. § 2510. for purposes of U. pledged or otherwise transferred. state and local income taxes. (d) its purchase of the Income Notes will comply with all applicable laws in any jurisdiction in which it resides or is located. tax. and (iii) it is not and will never become (A) a person (other than a Benefit Plan Investor) that has the discretionary authority or control with respect to the assets of the issuer or (B) a person that provides investment advice for a fee (direct or indirect) with respect to the assets of the issuer or any "affiliate" (as defined in 29 C. Department of Labor applies to exempt the purchase and holding of the Income Notes from the prohibited transaction provisions of ERISA and Section 4975 of the Code. and (h) it is a sophisticated investor and is purchasing the Income Notes with a full understanding of all of the terms. regulatory.R. resell. in which case it shall represent and agree that (i) the percentage of the assets in its general account that may be or become plan assets does not and shall not exceed 25%.3-101 to mean any (1) "employee benefit plan" (as defined in section 3(3) of ERISA).S. resold. Section 2510. the Income Notes have not been and will not be registered under the Securities Act. that is subject to section 4975 of the Code. Notwithstanding the foregoing. the foregoing with respect to its status as a Benefit Plan Investor. (1) the Issuer will be treated as a corporation. that is subject to Title I of ERISA. (e) it is acquiring the Income Notes as principal solely for its own account for investment and not with a view to the resale. the transferee will be required to provide the Trustee or the Income Note Issuing and Paying Agent (as applicable) with a letter containing representations and agreements substantially similar to the representations specified in clauses (i) through (vii). Section 2510.3-101.F. stating. counsel or representations (whether written or oral) of the Issuer or the Placement Agent or any of their agents other than any statements in a current Prospectus for such Income Notes and any representations expressly set forth in a written agreement with such party. (c) it has consulted with its own legal. and it is capable of assuming and willing to assume those risks. including.from time to time such information as it may reasonably request in order to ascertain compliance with this paragraph (i). with respect to a Certificated Income Note.F. conditions and risks thereof.F. 138 . without limitation. before any interest in a Certificated Income Note may be offered. "Benefit Plan Investor" is defined in 29 C. distribution or other disposition thereof in violation of the Securities Act. (iii) In connection with the purchase of the Income Notes: (a) the Issuer is not acting as a fiduciary or financial or Collateral Manager for it. it is not and will not be a Benefit Plan Investor (a "Benefit Plan Investor") within the meaning of 29 C. It agrees that.R. an insurance company acting on behalf of its general account may purchase Income Notes. (v) It acknowledges that it is its intent and that it understands it is the intent of the Issuer that. financial and accounting advisors to the extent it has deemed necessary and has made its own investment decisions based upon its own judgment and upon any advice from such advisors as it has deemed necessary and not upon any view expressed by the Issuer or the Placement Agent. (iv) With respect to each Income Note.S. as applicable. investment. federal. shall at all times be the sole beneficial owner thereof for purposes of the Investment Company Act and all other purposes and will not sell participation interests in the Income Notes or enter into any other arrangement pursuant to which any other person shall be entitled to a beneficial interest in the distributions on the Income Notes. (b) it is not relying (for purposes of making any investment decision or otherwise) upon any advice. pledged or otherwise transferred only in accordance with the provisions of the Income Note Issuing and Paying Agency Agreement and the legend on such Income Notes. (2) "plan" (as defined in section 4975(e)(1) of the Code). (g) it may not hold any Income Notes for the benefit of any other person. pledge or otherwise transfer the Income Notes. business. (ii) Prohibited Transaction Exemption 95-60 issued by the U.3-101(f)(3)) of any such person (a "Controlling Person"). (ii) It understands that the Income Notes have been offered only in a transaction not involving any public offering in the United States within the meaning of the Securities Act.R. and. such Income Notes may be offered. or (3) entity whose underlying assets include plan assets by reason of such an employee benefit plan's or plan's investment in such entity. if in the future it decides to offer. It acknowledges that no representation is made as to the availability of any exemption under the Securities Act or any state securities laws for resale of the Income Notes. an insurance company general account. (f) it has made investments prior to the date hereof and was not formed solely for the purpose of investing in the Income Notes. among other things.

the representations set forth in clauses (ii) through (vii) of the section above and each of the following representations and agreements: (i) It is aware that the sale of Income Notes to it is being made in reliance on the exemption from registration provided by Regulation S and understands that the Income Notes offered in reliance on Regulation S will bear the legend set forth above and be represented by one or more Regulation S Global Income Notes. the representation that such person is both (1) a Qualified Institutional Buyer or an Accredited Investor and (2) a Qualified Purchaser purchasing for its own account. Person in a transaction meeting the requirements of Regulation S or (b) to a person who will take delivery of its Income Notes in the form of Certificated Income Notes and who executes and delivers to the Issuer and the Income Note Issuing and Paying Agent written certification in the form provided in the Income Note Issuing and Paying Agency Agreement. will be deemed to have made. (iv) It is aware that.S. the Income Note Issuing and Paying Agent. it agrees to such treatment. The Income Notes so represented may not at any time be held by or on behalf of U. federal income taxes owed. it is not acquiring any Rated Note as part of a plan to reduce. if it does not comply with such demand within thirty (30) days thereof.S. avoid or evade U. and will not be.S. (vi) It understands that the Issuer. Person in a transaction meeting the requirements of Regulation S. except as otherwise provided in the Income Note Issuing and Paying Agency Agreement. title and interest in such Income Notes (a) to a person who is not a U. the Placement Agent. in a transaction meeting the requirements of Rule 144A under the Securities Act or Section 4(2) thereof and. (ii) If it is not a "United States person" as defined in Section 7701 (a)(30) of the Code. (iii) It understands that the Income Note Issuing and Paying Agency Agreement permits the Issuer to demand that any beneficial owner of Regulation S Global Income Notes who is determined to be a U. 139 . including. Person to sell all its right. if it does not comply with such demand within thirty (30) days thereof. and it hereby consents to such reliance. Persons as defined in Regulation S under the Securities Act. (vii) It understands that the Income Note Issuing and Paying Agency Agreement permits the Issuer to demand that any Holder of a Certificated Income Note who is determined not to be either (a) a person that is both (1) either a Qualified Institutional Buyer or an Accredited Investor and (2) a Qualified Purchaser purchasing for its own account or (b) a person who will take delivery of its Income Notes in the form of an interest in Regulation S Global Income Notes. Initial Investors and Transferees of Interests in Regulation S Global Income Notes Each initial investor in the Income Notes represented by an interest in a Regulation S Global Income Note.(2) the Rated Notes. including each Class A-1R Advance. except as otherwise required by any taxing authority under applicable law.S. will be required in a subscription agreement to be provided on or prior to the Closing Date to the Issuer and the Income Note Issuing and Paying Agent to make. will be treated as indebtedness of the Issuer and (3) the Income Notes will be treated as equity in the Issuer. Person (as defined in Regulation S under the Securities Act) and its purchase of the Income Notes (as applicable) will comply with all applicable laws in any jurisdiction in which it resides or is located. It and each beneficial owner of the Income Notes that it holds is not. the Collateral Manager and their counsel will rely upon the accuracy and truth of the foregoing representations. the Issuer may sell its interest in the Income Note.S. a U. and each subsequent transferee of Income Notes represented by an interest in a Regulation S Global Income Note. in which such person will make all representations.S. and in each case who is not a U. owing or potentially owed or owing. the Income Notes being sold to it will be represented by one or more Global Notes. warranties and acknowledgements applicable to transferees of Certificated Income Notes. the Issuer may sell its interest in the Income Notes. respectively. without limitation. to sell such Income Notes to a person who meets all applicable transfer restrictions and. to report all income (or loss) in accordance with such treatment and to take no action inconsistent with such treatment. respectively.

Settlement All payments in respect of the Notes shall be made in United States dollars in same-day funds.(v) It is not. and for so long as it holds any Income Notes. a Benefit Plan Investor and it understands that the Income Note Issuing and Paying Agency Agreement permits the Issuer to demand that any person holding Regulation S Global Income Notes (or a beneficial interest therein) who is determined to be a Benefit Plan Investor to sell such Regulation S Global Income Notes (or a beneficial interest therein) to a person who is not a Benefit Plan Investor and who meets all other applicable transfer restrictions and. if such Holder does not comply with such demand within thirty (30) days thereof. 140 . the Issuer may sell such Holder's interest in the Income Note. will not be.

a citizen or individual resident of the United States of America. straddle. Holder" includes a beneficial owner of a Note that is. federal income tax consequences of an investment in the Notes as described herein.CERTAIN INCOME TAX CONSIDERATIONS This discussion is not intended or written to be used. persons subject to alternative minimum tax. In addition.S.S. ownership and disposition of the Notes to investors that acquire the Notes at original issuance and.S. conversion or constructive sale transaction. This summary is included herein for general information only.S. As used in this section. insurance companies. U. federal income tax consequences to them of acquiring.S. Prospective investors that are partnerships. Internal Revenue Service (the "IRS") will take a similar view of the U. administrative rulings and practice and judicial decisions in effect or available on the date of this Prospectus as well as the expected Cayman Islands undertaking described in "—Cayman Islands Taxation".S. federal income tax as a partnership. federal income tax and Cayman Islands tax laws. and there can be no assurance that the U.S. and was written to support the promotion or marketing of the transaction. federal income tax and Cayman Islands tax consequences of the purchase. in the case of the Notes.S. LOCAL. and cannot be used by any person.S. or a trust if. any state thereof or the District of Columbia.S. the summary assumes that a Holder of a Note holds such Note as a capital asset within the meaning of Section 1221 of the U. 141 . federal income tax purposes regardless of its source. which change or interpretation may apply retroactively and could affect the continued validity of this summary. In addition. Internal Revenue Code of 1986. federal income tax purposes created or organized in or under the laws of the United States of America. if an entity or an arrangement is classified and treated for U. straddle. for U. Each prospective investor should seek advice based on such person's particular circumstances from an independent tax advisor. FEDERAL INCOME TAX AND CAYMAN ISLANDS TAX CONSEQUENCES OF THE PURCHASE. dealers in securities or currencies. All of the foregoing are subject to change or differing interpretation at any time. with respect to each Class of Notes. federal income tax purposes). a court within the United States of America is able to exercise primary supervision over its administration and one or more United States persons (as defined in the Code) have the authority to control all substantial decisions of such trust. federal income tax laws and Cayman Islands tax laws. for the purpose of avoiding United States Federal tax penalties. but excludes certain types of investors that are subject to special U. an estate the income of which is includible in gross income for U.S.S. FOREIGN OR OTHER TAX LAWS. Persons holding the Notes as part of a hedge. should consult their own tax advisors to determine the U. and partners in such partnerships. expatriates. owning and disposing of the Notes. financial institutions. federal income tax treatment of the partners in the partnership generally will depend on the classification and treatment of the partners and the activities of the partnership. including but not limited to. the first price at which a substantial amount of Notes of such Class are sold to investors is referred to herein as the "Issue Price"). a corporation or other entity treated as a corporation for U. for an amount equal to the "Issue Price" of the relevant Class of Notes (for purposes of this section. this summary does not describe any tax consequences arising under the laws of any state.S. ACCORDINGLY. tax exempt investors.S. regulations (final. in general.S. the U. federal income tax rules which are not discussed herein. or conversion transaction (as such terms are defined for U. Holders that purchase the Notes for a price other than the Notes' respective Issue Prices and subsequent purchasers of the Notes. as amended (the "Code") and not as part of a hedge.S. temporary and proposed). federal income tax purposes. OWNERSHIP AND DISPOSITION OF THE NOTES AND THE POSSIBLE APPLICATION OF STATE. locality or taxing jurisdiction other than the U. This summary is based on the U. persons that own (directly or indirectly) stock of the Issuer or equity interests in a beneficial owner of Notes. General The following summary describes the principal U. the term "U.S. traders in securities. PROSPECTIVE INVESTORS IN THE NOTES SHOULD CONSULT THEIR OWN TAX ADVISORS AS TO U. In general. This summary does not purport to be a comprehensive description of all the tax considerations that may be relevant to a particular investor's decision to purchase the Notes.

U. revenue ruling or judicial decision.S. In particular.S. and it is possible that.S. In this regard. income derived by the Issuer may be subject to withholding taxes imposed by the United States or other countries. the Issuer would be subject under the Code to the regular U.S. or deemed to be engaged. it is possible that the Issuer might be unable to comply with its covenant in the Indenture that it will not become the owner of any asset that would cause it to be engaged. Tax Counsel will assume that any such advice and/or opinions (other than such opinion of Special U.S. federal income tax purposes. The opinion of Special U. unless the interest constitutes a certain type of contingent interest or is paid to a 10% shareholder of the payor. 1984. and on certain factual assumptions and representations as to the Issuer's contemplated activities. The Code provides an exemption (the "portfolio interest exemption") from such withholding tax for interest paid with respect to certain debt obligations issued after July 18.S.S.S.S. the Issuer is not expected to be subject to U. Tax Counsel) are correct and complete.S. The opinion received by the Issuer from Special U. the IRS could adopt a tax characterization that results in parties entering into such contracts. including the Issuer. federal income tax treatment of derivative contracts in the form of credit default swaps is unclear. and Special U. source interest income received by a foreign corporation not conducting a trade or business within the United States is subject to U. Generally. federal income tax to non-U. The imposition of such taxes would materially affect the Issuer's financial ability to make payments with respect to the Notes and could materially affect the yield of the Notes. custodian or other agent.S. in a U. and the Issuer had taxable income that is effectively connected with such U. to a controlled foreign corporation related to the 142 . in specified circumstances the Indenture permits the Issuer to receive Equity Securities that might result in a violation of that covenant.S. opinions of Special U. This particular exemption does not apply to non-U. in the opinion of Clifford Chance US LLP. Tax Counsel are not binding on the IRS and there can be no assurance that positions contrary to those stated in such opinions may not be asserted successfully by the IRS. trade or business for U. the Treasury regulations (final. federal income tax on a net income basis (or the branch profits tax described below).S.S. In interpreting and complying with the Transaction Documents. corporations which restrict their activities in the United States to trading in stocks and securities (and any other activity closely related thereto) for their own account. the Issuer and the Collateral Manager are entitled to rely upon the advice and/or opinions of their counsel. The aforementioned opinion of Special U.S. as a result of such review. temporary and proposed) thereunder. Tax Counsel will be based on the Code. Taxation The Code and the Treasury regulations promulgated thereunder provide a specific exemption from U. although no activity closely comparable to that contemplated by the Issuer has been the subject of any Treasury regulation. special U.S. tax counsel to the Issuer ("Special U. prospective investors should note that the U. However. Tax Counsel does not cover such circumstances. under current law and assuming compliance with the Transaction Documents by all parties thereto. The Issuer intends to conduct its affairs in accordance with such assumptions and representations.S. federal income tax on a net income basis. commission agent. Tax Counsel's interpretation thereof. federal corporate income tax on such effectively connected taxable income (and possibly to the 30% branch profits tax as well). based on the foregoing. the Issuer's contemplated activities will not cause it to be treated as conducting a trade or business within the United States under the Code and the Issuer's profits will not otherwise be subject to U. federal income taxes on its net income. withholding tax at the rate of 30% of the amount thereof. Tax Counsel"). With respect to Cayman Islands taxation. Notwithstanding the foregoing.S. trade or business.S. corporations that are engaged in activities in the United States other than trading in stocks and securities for their own account or that are dealers in stocks and securities. In addition. see the discussion below in "—Cayman Islands Taxation". Withholding Taxes Although. whether such trading (or such other activity) is conducted by the corporation or its employees or through a resident broker. the existing authorities. if it were determined that the Issuer were conducting a trade or business within the United States (as defined in the Code).S. The IRS has recently announced that it is reviewing the treatment of such derivative contracts. In certain circumstances. The Issuer intends to rely on the above exemption and does not intend to operate so as to be subject to U. being treated as engaged in a trade or business within the United States.S.S. and the remainder of this summary assumes such result.Taxation of the Issuer U.

if the Issue Price of a Note is less than such Note's "stated redemption price at maturity" by more than a de minimis amount. the Class A-1T1 Notes. the Class A-4 Notes. The remainder of this discussion assumes that the Class A Notes (including any Class A-1R Advance). a U. U. federal income tax purposes. or interpretations thereof (including. the Issuer for U. rather than debt of. the Class B Notes and the Class C Notes as debt for U. Holders thereof would be subject to the treatment described below for U. However. It is not anticipated that the Class A Notes will be issued with OID and the remainder of this discussion assumes this to be the case. the U. Holder will be considered to have purchased such Note with original issue discount ("OID"). issuers. federal income tax treatment of these Notes. or to a bank with respect to a loan entered into in the ordinary course of its business.S. stated interest which is unconditionally payable in money at least annually).S. withholding taxes.S. the Class A-4 Notes.S. retirement or other disposition of. the Class B Notes or the Class C Notes were treated as equity in.S. Holders upon sale. other than with respect to an Equity Security. federal income tax purposes. However. except that income with respect to an Equity Security may be subject to withholding tax imposed by the United States of America or another jurisdiction.S.S. the Class A-1T1 Notes.S. Holders should note that. be treated as debt for U. If any of the Class A Notes (including any Class A-1R Advance). as a result of the review currently being undertaken by the IRS as to the appropriate U. as noted above. Holders of the Class A Notes generally will include in gross income payments of stated interest received on the Class A Notes. the Issuer may only acquire a particular Collateral Debt Asset if either payments thereon are not subject to foreign withholding tax or the Issuer of the Collateral Debt Asset is required to make "gross-up" payments.S. tax law or administrative practice. In this regard. withholding tax as a result of a change in U. the Issuer does not intend to derive material amounts of any other items of income that would be subject to U. and no ruling will be sought from the IRS regarding this. or any other. In the opinion of Special U. will agree to treat these Notes as debt for such purposes. the Class A-2 Notes.S. federal income tax purposes. redemption. Interest and Discount on the Notes Subject to the discussion below. withholding taxes could constitute a Tax Event.S.S. income derived by the Issuer. tax law or administrative practice. aspect of the U.S. will be free of or fully "grossed up" for any material amount of U. Holders of Income Notes and there might be adverse tax consequences for such U. withholding taxes at the time of acquisition or the obligor is required to make "gross-up" payments to fully offset any tax on any such payments. there can be no assurance that income derived by the Issuer will not generally become subject to U.S. the Issuer is permitted to acquire a particular Collateral Debt Asset only if the payments thereon are exempt from U. Accordingly. The stated redemption price at maturity of a Note will be the sum of all payments to be received on such Note other than payments of "qualified stated interest" (in general. Such opinions and agreement are not binding on the IRS.S. there can be no assurance that the IRS will not contend. the Class A-3 Notes. withholding tax. the Class A-2 Notes. Prospective U.S. Taxation of the Holders Status of the Class A Notes. Any change in U.S. or interpretations thereof resulting in the income of the Issuer becoming subject to U. as ordinary interest income from sources outside the United States. the Class A-1T2 Notes.S.payor. will not be "qualified stated interest"). the Class B Notes and the Class C Notes are treated as debt for U. and each Holder and beneficial owner of such Note.S. therefore. assuming compliance with the foregoing restrictions and subject to the foregoing qualifications. See "Description of the Notes—Rated Notes—Early Redemption".S. or the receipt of certain types of distributions on. that these Notes are equity in the Issuer. all of the stated interest payments on such Notes will be included in the stated 143 . the Notes of such Class. In this regard. and that a court will not ultimately hold. It is also anticipated that the Issuer will acquire Collateral Debt Assets that consist of obligations of non-U. In addition. by acceptance of such Note or a beneficial interest therein.S. because interest on the Class B Notes and the Class C Notes is not unconditionally payable in money on each Quarterly Payment Date (and. and the Class B Notes will. U. federal income tax characterization of credit default swaps). in accordance with their usual method of tax accounting. Accordingly. Tax Counsel. procedure. the Class B Notes and the Class C Notes The Issuer will treat each Class A-1R Advance. each Class A-1R Advance. the Class A-3 Notes. federal income tax purposes. and the Class C Notes should. the Class A-1T2 Notes.S. procedure.

as interest from sources outside the United States.S. However. exchange. However.S. In certain circumstances. due to the thin level of subordination and other factors. Holder's usual method of tax accounting and without regard to the timing of actual payments on such Note.S. Holder of a Note issued with OID will be required to accrue and include in gross income the sum of the "daily portions" of total OID on such Note under a constant yield method.S. U. (i) increased by any amount includible in income by such Holder as OID with respect to such Note. Gain recognized by a U.S.S.S. Holder pursuant to the OID rules. and the foregoing discussion assumes. exchange. redemption.S. Holder held the Note for more than one year at the time of disposition. retirement or other disposition of such Notes might be treated as ordinary income rather than as capital gain.S.S. by acceptance of such Note or a beneficial interest therein. that the Notes will not be classified as "contingent payment debt obligations" for purposes of calculating OID. will agree to treat such Note as equity for such purposes.redemption price at maturity of such Notes and must therefore be accrued by a U. for each day during the taxable year on which the U. A U. Holders to offset capital losses against ordinary income is limited. the Issuer intends to accrue any remaining discount on the Class B Notes or the Class C Notes (which generally will equal the excess of the Note's stated principal amount over its issue price) over the period that starts on the Closing Date and ends on the last day of the Call Period based on a constant yield method. a U. The Issuer intends to accrue OID attributable to the stated interest on the Class B Notes and the Class C Notes based on the value of LIBOR used in setting interest for the first Interest Period and then to adjust the income for each subsequent Interest Period for any difference in the actual value of LIBOR used in setting interest for that subsequent Interest Period and the assumed rate. and (ii) reduced by any payments on such Note other than payments of stated interest on a Class A Note. Holder held such Note regardless of such U. redemption or retirement of a Note generally will be treated as from sources within the United States. which will be taxable as described above) and the Holder's tax basis in such Note.S. Holders of the Class B Notes and Class C Notes may be required to include in gross income increasing amounts of OID and may be required to include OID in advance of cash attributable to such income. Under the foregoing method. it is possible that the IRS will take a contrary view and seek to so classify some or all of the Notes. Sale and Retirement of the Notes In general. 144 . The Issuer intends to treat the Income Notes as equity in the Issuer for U. Holder will generally recognize gain or loss equal to the difference between the amount realized on the sale. A U. Holders that are individuals may be entitled to preferential treatment for net long-term capital gains. In the absence of controlling authority. as described below. Such gain or loss will be long-term capital gain or loss if the U. among other consequences. exchange. Taxation of Income Notes Investment in a Passive Foreign Investment Company The Income Notes are in the form of debt and are treated as debt under the laws of the Cayman Islands.S. the ability of U. Holder will also recognize gain upon receipt of a principal payment equal to the difference between the amount received and the portion of its basis that is considered to be allocable to such payment. and loss so recognized generally will offset income from sources in the United States. redemption or retirement of a Note. federal income tax purposes. Upon a sale. redemption or retirement (other than amounts attributable to accrued interest on a Class A Note. federal income tax purposes and each Holder and beneficial owner of an Income Note. any gain recognized on the sale.S. If the IRS were successful in so classifying the Notes. however.S. Holder on the sale. a strong likelihood exists that the Income Notes will be treated as equity of the Issuer for U. The Issuer intends to take the position. Holder of a Note will have a basis in such Note equal to the cost of such Note to such Holder. U. U.S. a U.

An "excess distribution" is the amount by which distributions for a taxable year exceed 125 percent of the average distribution in respect of the Income Notes during 145 . federal income tax purposes that are not distributed on the Income Notes. Holder of Income Notes. Holder. Holders of Income Notes. a gift of Income Notes.S.S.S. in the manner described below. generally override those pertaining to a PFIC with respect to which a QEF election is in effect. Holder will not be eligible for the dividends received deduction or the preferential 15% U. Holder will be required in each taxable year to include in gross income (i) as ordinary income. tax would be imposed based upon the maximum ordinary income tax rate applicable in the year in which such income is deemed to be earned.S.S. an exchange of Income Notes pursuant to a corporate reorganization. which include both certain distributions by a PFIC and any gain recognized on a disposition of PFIC stock. the Issuer may have in any given year substantial amounts of earnings for U. Holder information needed for the determination of such holder's pro rata share of the Issuer's ordinary earnings and net capital gain. Accordingly. An amount included in an electing U. Holders that make a QEF election with respect to the Issuer may owe tax on significant "phantom" income. the rules pertaining to a "controlled foreign corporation".S.S. the cash payment of which may be deferred. must be accompanied by filing each year a form with the U.S. The amount allocated to the current year will be included in the U. Holder owns Income Notes. Holder does not make the QEF election. If applicable to a U. an electing U. a QEF election should be made by filing IRS Form 8621 on or before the due date for filing a U. Holders that make the "qualified electing fund" (or "QEF") election described below and certain tax-exempt investors. discussed below.S. Holders may also be permitted to elect to defer payment of some or all of the taxes on the QEF's income subject to an interest charge on the deferred amount. if made. federal income tax purposes. In this respect. U.S. a U. However. it will be subject to special rules for the taxation of "excess distributions". Section 1291 of the Code provides that the amount of any "excess distribution" will be treated as ordinary income and will be treated as earned pro rata over the holding period of the U. are subject to certain punitive rules regarding the taxation of "excess distributions" (which include both certain distributions by a PFIC and any gain recognized on a disposition of PFIC stock). Holders that are treated as U. In addition. U. Holder making the QEF election must also file Form 8621 annually with the IRS.S. other than U. Shareholders of a CFC (as defined below).S. federal income tax rate in respect of such income or gain.S.The Issuer will be a "passive foreign investment company" ("PFIC") for U.S. Holder's QEF election.S. will be considered U.S. Accordingly. whether or not distributed. or the use of Income Notes as security for a loan (including pursuant to a margin account) generally will be treated as a disposition of such Income Notes. shareholders in a PFIC. such Holder's pro rata share of the Issuer's net capital gain.S. Holder's gross income for the current year as ordinary income. perhaps for a substantial period of time.S. all U. federal foreign tax credit purposes.S. Holders (other than certain tax-exempt investors) should consider making a QEF election. the balance of this discussion assumes that each U. U. if U.S.S. A U. Holder's investment in Income Notes. For this purpose. Except as otherwise provided.S. such Holder's pro rata share of the Issuer's ordinary earnings and (ii) as capital gain. other than U. In certain cases in which a QEF does not distribute all of its earnings in a taxable year. As a result.S. The Issuer will undertake to comply with the IRS information requirements necessary to be a QEF and to provide to each U. such amount will be treated as income from sources within the United States for such purposes to the extent that such amount is attributable to income of the Issuer from sources within the United States. Holder's tax return. and interest would be charged (based upon interest rates for underpayments of U. The QEF election is effective only if certain required information is made available by the Issuer.S. absent an election to defer payment of taxes. That election.S. With respect to amounts allocated to prior years. In general.S. any losses of the Issuer in a taxable year will not be available to such U. Thus. federal income tax return for the first taxable year for which such U. U. prospective purchasers of Income Notes should be aware that it is expected that the Collateral Debt Assets may be purchased by the Issuer with substantial OID.S. Failure to comply with the annual reporting requirement described in the preceding sentence may result in the termination or invalidation of a U. federal income taxes) with respect to such tax from the due date of the return for each such year. In general. Holder (other than certain taxexempt investors) makes the QEF election provided in Section 1295 of the Code. If a timely QEF election is made for the Issuer.S. Holder's gross income should be treated as income from sources outside the United States for U. If a U.S. shareholders in a PFIC.S.S. Holders collectively own (directly or constructively) 50% or more (measured by vote or value) of the Income Notes. Holder's U. and the PFIC rules are otherwise applicable to such U. Holder and may not be carried back or forward in computing the Issuer's ordinary earnings and net capital gain in other taxable years.S.

if the Issuer were treated as a CFC and a U. and subject to certain exceptions. "subpart F income" includes dividends.S. Shareholder therein. If more than 70% of the Issuer's income is subpart F income. Holder's holding period for the Income Notes subsequently ceased (either because the Issuer ceased to be a CFC or the U.S. As a result. Holders (other than certain tax-exempt investors) should consider making a QEF election. Holder's holding period for the Income Notes would continue to be the date upon which such U. As indicated above. In that case. Shareholder. Shareholder therein (the "qualified portion" of the U. a U. interest.S.S. such U. gains from the sale of shares and securities. all U. Holder's holding period for the Income Notes). federal foreign tax credit purposes to the extent that it is attributable to income of the Issuer from sources within the United States.S. distributions should be allocated first to amounts previously taxed pursuant to the QEF election (or pursuant to the CFC rules. Holder remained a U.S.S. Shareholder of the Issuer would be treated.S.S. Shareholder of a CFC. If the Issuer were treated as a CFC. such gains will be treated as ordinary income of the U. unless the U.S. indirectly or constructively) by such U.S. Holder is a U. In general.S.S.S. the Issuer would not be treated as a PFIC or a QEF with respect to such U. Holder acquired the Income Notes. Shareholders".S.S.S. is owned (actually or constructively) by "U. Accordingly. as receiving a deemed dividend (taxable as ordinary income) at the end of the taxable year of the Issuer in an amount equal to that person's pro rata share of the "subpart F income" of the Issuer. Shareholder of the Issuer that made a QEF election with respect to the Issuer would be taxable on the subpart F income of the Issuer under rules described in the preceding paragraph and not under the QEF rules previously described. if the Issuer were to constitute a CFC. In addition. the Issuer would again be treated as a PFIC that is not a QEF with respect to such U. Shareholders. Holders possessing (actually or constructively) 10% or more of the Outstanding Income Notes are U.S. Holder for the period during which the Issuer remained a CFC and such U. Holder may not be available.S. certain types of insurance income and income from certain transactions with related parties. a stepped-up basis in the Income Notes upon the death of an individual U.S. Shareholders. Holder had owned any Income Notes for any period of time prior to such qualified portion and had not made a QEF election with respect to the Issuer. Holder were treated as a U. for this purpose. Holder has made a timely QEF election as described above and whether the U. measured by reference to combined voting power or value.S. Holder made an election to recognize gain with respect to the Income Notes and a QEF election with respect to the Issuer. annuities. in very general terms. If this argument were successful and more than 50% of the Income Notes (determined with respect to aggregate value or aggregate amount of Outstanding Income Notes) are owned (directly. Distributions in excess of previously taxed amounts pursuant to a 146 . unless the U. notwithstanding the fact that the character of such gains generally would otherwise be preserved under the QEF rules. Holder ceased to be a U. and the beginning of such U. Holder. Investment in a Controlled Foreign Corporation The Issuer may be classified as a controlled foreign corporation ("CFC"). It is likely that. if shorter. Furthermore. Shareholder).S. then solely for purposes of the PFIC rules. if applicable) and to this extent will not be taxable to U. It is possible that the IRS would assert that the Income Notes are de facto voting securities and that U.S. Holders. the investor's holding period for the Income Notes). certain gains from commodities transactions. will vary depending on whether a U. A U.S. then 100% of its income will be so treated. Such dividend would be treated as income from sources within the United States for U. subject to certain exceptions. Shareholder under the CFC rules.S. any gain recognized upon sale or redemption of the Income Notes (and any final distribution) will be treated as a distribution and taxed under the rules described above. If the qualified portion of such U.S. to the extent subpart F income of the Issuer includes net capital gains.S.S. Interest on Income Notes The treatment of actual distributions of cash on the Income Notes.S. is any United States person that possesses (actually or constructively) 10% or more of the combined voting power of all classes of shares of the foreign corporation. If the Issuer were treated as a CFC. a foreign corporation will be classified as a CFC if more than 50% of the shares of the corporation. the Issuer would be treated as a CFC. a U. Holder's holding period for the Income Notes would be treated as beginning on the first day following the end of such qualified portion. Among other items.the three preceding taxable years (or. If a timely QEF election has been made.S. all or most of its income would be subpart F income.

S.S. if applicable) will be treated first as a nontaxable reduction to the U.S.S. and decreased by actual distributions from the Issuer that are deemed to consist of such previously taxed amounts or are treated as a nontaxable reduction to the U. Gain recognized by a U. if U.S. federal income tax purposes. If a U.S.S. Holder treated as a U. exchange.S. Holder held the Income Note for more than one year at the time of the disposition.S.S. Holder's tax basis for an Income Note will equal the amount paid for the Income Note. Such basis will be increased by amounts taxable to such U. In that event.S. except to the extent that the Notes are considered debtfinanced property (as defined in the Code) of the tax-exempt U. Except as discussed below. See "— Investment in a Passive Foreign Investment Company". a U.S. In this regard. Holder under the QEF or CFC regimes. a percentage of the dividend income equal to the proportion of the Issuer's income from sources within the United States generally will be treated as income from sources within the United States for such purposes. shareholder.S. Holder's share of the current or accumulated earnings and profits of the Issuer. Holders In general. except to the extent that distributions may be attributable to amounts previously taxed to the U. however. Holder. Tax Treatment of Tax-Exempt U. as applicable.S. other than gain constituting an excess distribution under the PFIC rules. In certain circumstances. any gain realized on the sale. the ability of U. In the event that a U.S.QEF election (or pursuant to the CFC rules. if applicable. Holder's tax basis for the Income Notes to the extent thereof and then as capital gain. Holder's tax basis for the Income Note (as described above). such gain or loss will be longterm capital gain or loss if the U. federal foreign tax credit purposes and loss so recognized generally will offset income from sources within the United States.S.S. some or all of any distributions with respect to the Income Notes may constitute "excess distributions".S.S. Holder of the Notes will not be subject to tax on unrelated business taxable income ("UBTI") with respect to income and gains from the Notes regardless of whether they are treated as equity or debt of the Issuer for U. in the case of a U. earnings and profits would not include any amounts previously taxed pursuant to a timely QEF election or pursuant to the CFC rules.S.S.S. Holder were treated as a U. Holder that owns more than 50% of the Outstanding Income Notes and also owns Rated Notes should consider the possible 147 . Holder pursuant to the CFC rules or are treated as "excess distributions". Holders to offset capital losses against ordinary income is limited. Holder does not make a timely QEF election. Holder's tax basis for the Income Notes to the extent thereof and then as capital gain. Dividends received from a foreign corporation generally will be treated as income from sources outside the United States for U. distributions on the Income Notes generally would be treated as dividends to the extent paid out of the Issuer's current or accumulated earnings and profits not allocated to any "excess distributions". Initially.S. See "—Investment in a Passive Foreign Investment Company". Holders collectively own (directly or constructively) 50% or more (measured by vote or value) of the Income Notes. Holder on the sale or other disposition of an Income Note (other than. then except to the extent that distributions may be attributable to amounts previously taxed pursuant to the CFC rules. A tax-exempt U. redemption or other taxable disposition of an Income Note equal to the difference between the amount realized and such U. any such gain characterized as a dividend. a tax-exempt U. then as a nontaxable reduction to the U.S. Holder does not make a timely QEF election as described above. redemption or other taxable disposition of an Income Note. exchange.S. Shareholder therein. Disposition of the Income Notes In general. U. then any gain realized by such U. as discussed below) generally will be treated as from sources within the United States for U.S. Holder of an Income Note will recognize gain or loss upon the sale.S. Holder's adjusted tax basis in the Income Note. taxable as previously described. federal foreign tax credit purposes. Holder upon the disposition of Income Notes would be treated as ordinary income to the extent of the U. (or any gain deemed to accrue prior to the time a non-timely QEF election is made) will be taxed as ordinary income and subject to an additional tax reflecting a deemed interest charge under the special tax rules applicable to an "excess distribution" from a PFIC described above. individuals) may be entitled to preferential treatment for net long-term capital gains.S. Holders who are individuals (or whose income is taxable to U. If the Issuer were treated as a CFC and a U. a U. However.S.

S. Tax Treatment of Non-U.S. Holders of Notes In general. under certain circumstances. Backup withholding is not an additional tax. Holder could be required to pay a penalty equal to 10% of the gross amount paid for such Notes (subject to a maximum penalty of U.S.application of the special UBTI rules for amounts received from controlled entities.S.S. if the Issuer participates in a "reportable transaction". a U. exchange or retirement of the Notes by a non-U. The definition of "reportable transaction" is highly technical.S. Information Reporting and Backup Withholding Information reporting to the IRS generally will be required with respect to payments of principal and interest (including accrual of any OID) on the Notes. Holders may be required to comply with applicable certification procedures to establish that they are not United States persons in order to avoid the application of such information reporting requirements and backup withholding tax. Holder of Income Notes (or any other Notes.S. In addition. A backup withholding tax will apply to those payments if such Holder fails to provide certain identifying information (such as the Holder's taxpayer identification number) to the Trustee.S.$100. federal income tax purposes) for cash will be required to file Form 926 or similar form with the IRS if (i) such person owned. in very general terms. Transfer Reporting Requirements A United States person (including a tax-exempt entity) that purchases the Income Notes (or any other Notes.S. Disclosure of Reportable Transactions and Maintenance of Participants List Under Treasury regulations. among other things.S.S. directly or by attribution. except in cases involving intentional disregard).S.S. which may apply with respect to their acquisition of the Notes. a U.S. In the event a U.S. federal information return and participates in a "reportable transaction" in a taxable year is required to disclose certain information on IRS Form 8886 (or its successor form) attached to such person's U. when aggregated with all transfers made by such person (or any related person) within the preceding 12 month period. federal income tax return or U. exceeds U. Tax-exempt U. certain organizers and sellers of a "reportable transaction" will be required to maintain lists of participants in the transaction containing identifying information.S. payments on the Income Notes and proceeds of the sale of the Rated Notes and the Income Notes to Holders other than corporations and other exempt recipients. federal income tax purposes) that is a "reporting shareholder" of the Issuer will be treated as participating in the transaction and will be 148 . federal income tax liability for the amount of any backup withholding tax and a refund of any excess amount provided required information is furnished to the IRS. However. Holder fails to file any such required form.S. federal income or withholding tax. any person that files a U. for U. such non-U. Holders should consult their own tax advisors concerning an investment in the Notes.S. payments on the Notes to a Holder that is not. United States persons should consult their tax advisors with respect to this or any other reporting requirement.S. Holders of Notes should consult their tax advisers as to their qualification for exemption from backup withholding and the procedures for obtaining such exemption. Holder (a "non-U. immediately after the transfer at least 10% by vote or value of the Issuer or (ii) if the transfer.000. under these Treasury regulations. Non-U. and furnish those lists and documents to the IRS upon request. federal income tax purposes.$100. Holder.S. under these regulations. federal income tax purposes in excess of certain threshold amounts. Holder in the United States. it is offered under conditions of confidentiality or it results in the claiming of a loss or losses for U. federal tax return for such taxable year (and also file a copy of such form with the IRS's Office of Tax Shelter Analysis) and to retain certain documents related to the transaction.S. if such Notes are treated as equity for U. will not be subject to U. unless (i) such income is effectively connected with a trade or business conducted by such non-U. In addition. a transaction may be a "reportable transaction" if.S. if such Notes are treated as equity for U. Holder is a nonresident alien individual who holds the Notes as a capital asset and is present in the United States for at least 183 days in the taxable year of the sale and certain other conditions are satisfied.000. Holder") and gain realized on the sale. retain certain documents related to the transaction. and a Holder can claim a credit against its U. or (ii) in the case of gain. the U.

Payments of interest and principal and other distributions on the Notes will not be subject to taxation in the Cayman Islands and no withholding will be required on the payment of interest and principal and other distributions to any holder of the Notes nor will gains derived from the disposal of the Notes be subject to Cayman Islands income or corporation tax. as such. which is subject to prospective and retroactive change.S. corporation or capital gains tax and no estate duty. Holder of Income Notes or other equity in the Issuer will be treated as a "reporting shareholder" of the Issuer if (i) such U.subject to the rules described above. has applied for and has obtained an undertaking from the Governor in Cabinet of the Cayman Islands in the following form: 149 . The Cayman Islands currently have no income. Holders of Income Notes that are "reporting shareholders" any information necessary to complete IRS Form 8886 (or its successor form). Prospective investors in the Notes should consult their own tax advisors concerning any possible disclosure obligations under these Treasury regulations with respect to their ownership or disposition of the Notes in light of their particular circumstances. A Note and an instrument of transfer in respect of a Note is stampable if executed in or brought into the Cayman Islands. Holder owns 10% or more of the Income Notes or other equity in the Issuer and makes a QEF election with respect to the Issuer or (ii) the Issuer is treated as a CFC and such U. The Company has been incorporated under the laws of the Cayman Islands as an exempted company and. inheritance tax or gift tax.S. and does not consider tax consequences other than those arising under Cayman Islands law.S. The Issuer intends to provide to U. residence or domicile. the Issuer nevertheless may participate in certain types of transactions that could be treated as "reportable transactions". Holder is a "U. Although most of the Issuer's activities generally are not expected to give rise to "reportable transactions". No stamp duty is payable by Holders in respect of the issue of the Notes. Cayman Islands Taxation Prospective investors should consult their professional advisers on the possible tax consequences of buying. The discussion is a general summary of present law. holding or selling any Notes under the laws of their country of citizenship. It is not intended as tax advice.S. does not consider any investor's particular circumstances. The following is a discussion on certain Cayman Islands income tax consequences of an investment in the Notes. Shareholder" (as defined above) of the Issuer.S. A U.

1. gains or appreciations shall apply to the Company or its operations. of any relevant payment as defined in Section 6(3) of the Tax Concessions Law (1999 Revision). income. (a) (b) that no law which is hereafter enacted in the Islands imposing any tax to be levied on profits. the Governor in Cabinet undertakes with ESP Funding I. 150 .The Tax Concessions Law 1999 Revision Undertaking as to Tax Concessions In accordance with the provision of Section 6 of The Tax Concession Law (1999 Revision). these concessions shall be for a period of thirty years from the 8th day of August.2. or by way of the withholding in whole or in part. 2006. that no tax to be levied on profits. (c) on or in respect of the shares. debentures or other obligations of the Company. and in addition. (the "Company"). gains or appreciations or which is in the nature of estate duty or inheritance tax shall be payable: 2. Ltd. 2. income.

(ii) each original purchaser of a Regulation S Global Income Note or a Class C Note 151 . "ERISA Plans") and on those persons who are fiduciaries with respect to ERISA Plans. Under such Plan Asset Regulation. (1) an "employee benefit plan" as defined in Section 3(3) of. and is not acting on behalf of (and for so long as it holds a Rated Note or any interest therein will not be acting on behalf of). Equity participation by "Benefit Plan Investors" in an entity is significant if. other than Benefit Plan Investors. such as individual retirement accounts (together with ERISA Plans. or (b) its purchase and holding of such Rated Note other than a Class C Note is and will be covered by a prohibited transaction class exemption issued by the DOL or otherwise would not result in a prohibited transaction. The U.S. and subject to ERISA. exercising control over the assets of the entity or providing investment advice with respect to such assets for a fee. A party in interest or disqualified person who engages in a prohibited transaction may be subject to excise taxes and other penalties and liabilities under ERISA and Section 4975 of the Code. 25% or more of the value of any class of equity interests in the entity (excluding the value of any interests held by certain person. Department of Labor (the "DOL") has promulgated a regulation. unless a statutory or administrative exemption is applicable to the transaction. including the fiduciary responsibility provisions of Title I of ERISA. an equity interest includes any interest in an entity other than an instrument that is treated as indebtedness under applicable local law and which has no substantial equity features. Each purchaser and each transferee of a Rated Note (other than a Class C Note) will be deemed to represent that either (a) it is not (and for so long as it holds a Rated Note or any interest therein will not be). (3) an entity which is deemed to hold the assets of any such plan pursuant to 29 C. For purposes of the Plan Asset Regulation. 29 CFR Section 2510.F. Thus. a "Controlling Person")) is held by Benefit Plan Investors (the "25% Threshold").3-101. describing what constitutes the assets of a Plan with respect to the Plan's investment in an entity for purposes of certain provisions of ERISA. Each original purchaser of a Rated Note or an Certified Income Note and each transferee is responsible for determining the extent. "Plans")) and certain persons (referred to as "parties in interest" or "disqualified persons") having certain relationships to such Plans. Section 2510.3-101 (the "Plan Asset Regulation"). The Issuer will require that the initial purchase and subsequent transfers and purchases of Income Notes will not be held by Benefit Plan Investors (other than as set forth below) by requiring each purchaser of an Income Note to make certain representations and agree to additional transfer restrictions described under "Purchase and Transfer Restrictions". which employee benefit plan. direct or indirect (such as the Collateral Manager). or any affiliates of such person (any such person. to which the purchase and holding of such a Note will constitute a prohibited transaction under ERISA. (2) a "plan" as defined in Section 4975(e)(1) of. if a Plan invests in an "equity interest" of an entity that is neither a "publicly offered security" nor a security issued by an investment company registered under the Investment Company Act. and subject to the Code. immediately after the most recent acquisition of any equity interest in the entity. (i) each original purchaser and each transferee of a Certificated Income Note or a Class C Note offered in reliance on Rule 144A will be required to certify that it is not and will not be a Benefit Plan Investor (except to the extent described below with respect to insurance company general accounts) or a Controlling Person. if any.R. Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the assets of an ERISA Plan (as well as those plans that are not subject to Title I of ERISA but which are subject to Section 4975 of the Code. the Plan's assets include both the equity interest and an undivided interest in each of the entity's underlying assets. including entities such as collective investment funds and separate accounts whose underlying assets include the assets of such plans (collectively.CERTAIN ERISA AND OTHER CONSIDERATIONS ERISA imposes certain requirements on "employee benefit plans" (as defined in Section 3(3) of ERISA) subject to Title I of ERISA. unless it is established that the entity is an "operating company" or that equity participation in the entity by Benefit Plan Investors (as defined herein) is not "significant". plan or entity is subject to Title I of ERISA or Section 4975 of the Code.

would be satisfied in all instances. In the preamble to PTCE 95-60. v. a Benefit Plan Investor. funds allocated to the general account of an insurance company pursuant to a contract with an employee benefit plan that vary with the investment experience of the insurance company may under certain circumstances be treated as "plan assets".401-c (Jan.R. such an insurance company should consider the retroactive and prospective exemptive relief granted by the Department of Labor for transactions involving insurance company general accounts in DOL Prohibited Transaction Class Exemption ("PTCE") 95-60 (60 Fed. (iv) various providers of fiduciary or other services to the Issuer. Harris Trust and Savings Bank.S. Reg. in the case of PTCE 95-60. then. 29 C. Jul. 2000). 1995) and the regulations issued by the DOL. insurance companies general accounts that are Benefit Plan Investors will be permitted to acquire Certificated Income Notes or a Class C Note offered in reliance on Rule 144A as noted below. Any insurance company proposing to invest assets of its general account in the Notes should consider the extent to which such investment would be subject to the requirements of ERISA in light of the John Hancock decision and the 1996 enactment of Section 401(c) of ERISA. only the proportion of an insurance company general account's equity investment in the entity that represents plan assets should be taken into account. and exempts the purchase and holding of the Income Notes or Class C Notes offered in reliance on Rule 144A from the prohibited transaction rules of ERISA and Section 4975 of the Code. the Income Note Issuing and Paying Agency Agreement and the Indenture permit the Issuer to demand that any person holding Regulation S Global Income Notes or Class C Notes offered in reliance on Regulation S (or a beneficial interest therein) who is determined to be a Benefit Plan Investor to sell such Regulation S Global Income Notes or Class C Notes offered in reliance on Regulation S (or a beneficial interest therein) to a person who is not a Benefit Plan Investor and who meets all other applicable transfer restrictions and. 152 . and for so long as it holds such Regulation S Global Income Note (or a beneficial interest therein) will not be. if such Holder does not comply with such demand within thirty (30) days thereof. (ii) the assets of the Issuer could be subject to ERISA's reporting and disclosure requirements. If the assets of the Issuer were deemed to constitute the assets of an investing Benefit Plan Investor. and (iii) it is not and shall not be a Controlling Person. Although the DOL has not specified how to determine the proportion of an insurance company general account that represents plan assets for purposes of the 25% threshold. and any other parties with authority or control with respect to the Issuer. Notwithstanding the foregoing. In particular. which generally prohibits plan fiduciaries from maintaining the indicia of ownership of assets of plans subject to Title I of ERISA outside the jurisdiction of the district courts of the United States. subject to the foregoing provisions of ERISA and the Code. among other adverse results. 35925. (i) transactions involving the assets of the Issuer could be subject to the fiduciary responsibility and prohibited transaction provisions of ERISA and Section 4975 of the Code. the Issuer may sell such Holder's interest in the Income Note or Class C Notes offered in reliance on Regulation S. it has. there is no assurance that a similar measurement would be used for purposes of applying the 25% threshold. within the meaning of ERISA) by virtue of their provision of such services and (v) it is not clear that Section 404(b) of ERISA. 510 U. could be deemed to be "plan fiduciaries" or otherwise "parties in interest" or "disqualified persons" (in each case. Co.offered in reliance on Regulation S (or a beneficial interest therein) will be required to certify that it is not. provided a method for determining the percentage of an insurance company's general account held by the benefit plans of an employer and its affiliates by comparing the reserves and liabilities for the general account contracts held by such plans to the total reserves and liabilities of the general account (exclusive of separate account liabilities) plus surplus. 5. for purposes of calculating the 25% threshold under the significant participation test of the Plan Asset Regulation. In addition. (iii) the fiduciary causing the Benefit Plan Investor to make an investment in the equity of the Issuer could be deemed to have delegated its responsibility to manage the assets of the Benefit Plan Investor. However. Any insurance company using general account assets to purchase Certificated Income Notes or Class C Notes offered in reliance on Rule 144A will represent and agree that (i) the percentage of the assets of the general account that may be or become plan assets does not and shall not exceed 25% (ii) PTCE 95-60 applies. the DOL noted that.F. Based on the reasoning of the United States Supreme Court in John Hancock Mutual Life Ins. section 2550. a Benefit Plan Investor and (iii) each subsequent transferee of a Regulation S Global Income Note or a Class C Note offered in reliance on Regulation S (or a beneficial interest therein) will be deemed to represent that it is not. 12. without limiting any remedies available for any breaches by it of any warranties or other assurances. 86 (1993). and for so long as it holds such Regulation S Global Income Note (or a beneficial interest therein) will not be.

SOME OF WHICH MAY HAVE RETROACTIVE APPLICATION AND EFFECT. It will be the responsibility of those deciding on behalf of such plans to acquire and hold Notes to determine that the acquisition and holding of the Notes do not violate any such laws.Employee benefit plans not subject to ERISA or Section 4975 of the Code may be subject to other federal. RULINGS. 153 . and each such plan purchasing Notes will be deemed to have represented and agreed that such purchase and holding do not constitute or result in such a violation. PROSPECTIVE INVESTORS SHOULD CONSULT WITH THEIR OWN LEGAL AND OTHER ADVISORS PRIOR TO INVESTING TO DETERMINE THE ERISA IMPLICATIONS OF SUCH INVESTMENTS IN LIGHT OF SUCH INVESTOR'S CIRCUMSTANCES. state. THE PRECEDING DISCUSSION IS ONLY A SUMMARY OF CERTAIN OF THE ERISA AND OTHER IMPLICATIONS OF AN INVESTMENT IN THE NOTES AND DOES NOT PURPORT TO BE COMPLETE. THE MATTERS DISCUSSED ABOVE MAY BE AFFECTED BY FUTURE REGULATIONS. AND COURT DECISIONS. local or non-US employee benefits laws. MOREOVER.

the National Credit Union Administration. which has been adopted by the respective federal regulators comprising the FFIEC. the Board of Governors of the Federal Reserve System. The uncertainties described above (and any unfavorable future determinations concerning legal investment or financial institution regulatory characteristics of the Notes) may affect the liquidity of the Notes. the Placement Agent or the Collateral Manager makes any representation as to the proper characterization of the Notes for legal investment or other purposes. Any such institution should consult its legal advisors in determining whether and to what extent there may be restrictions on its ability to invest in the Notes. guidelines and regulations prior to purchasing the Notes. 154 . None of the Issuer. the Office of Thrift Supervision. Accordingly. Depository institutions should review and consider the applicability of the Federal Financial Institutions Examination Council ("FFIEC") Supervisory Policy Statement on Securities Activities. regulatory capital requirements or review by regulatory authorities should consult their own legal advisors in determining whether and to what extent the Notes are subject to investment.CERTAIN LEGAL INVESTMENT CONSIDERATIONS Institutions whose investment activities are subject to legal investment laws and regulations or to review by certain regulatory authorities may be subject to restrictions on investments in the Notes. any state insurance commission. the Initial Purchaser. any financial institution that is subject to the jurisdiction of the Comptroller of the Currency. capital or other restrictions. all institutions whose activities are subject to legal investment laws and regulations. or any other federal or state agencies with similar authority should review any applicable rules. Without limiting the foregoing. the Federal Deposit Insurance Corporation. or as to the ability of particular investors to purchase the Notes for legal investment or other purposes. the Co-Issuer. or as to the ability of particular investors to purchase the Notes under applicable investment restrictions.

The Income Notes will not be rated. There can be no assurance. and the diversification requirements that the Collateral Debt Assets must satisfy. based largely upon Moody's statistical analysis of historical default rates on debt obligations with various ratings. Inc. Inc. the asset and interest coverage required for the Class A Notes. sell or hold securities and may be subject to revision or withdrawal at any time by the assigning Rating Agency. The ratings assigned to the Class A Notes. Moody's rating takes into account the qualitative features of the transaction. so long as any of the Rated Notes are listed thereon. that actual defaults on the Collateral Debt Assets will not exceed those in S&P's analysis. based on historical default rates for similar debt obligations. ("S&P" and. the Class B Notes and the Class C Notes by S&P address the likelihood of the timely payment of interest and ultimate payment of principal by the Stated Maturity Date. that the Class A-1T1 Notes will be rated "Aaa" by Moody's and "AAA" by S&P. the "Rating Agencies"). and that the Class C Notes be rated at least "Baa2" by Moody's and at least "BBB" by S&P on the Closing Date. the historical volatility of such default rates (which increases as securities with lower ratings are added to the portfolio) and an additional default assumption to account for future fluctuations in defaults. Moody's ratings on the Notes addresses the ultimate cash receipt of all required interest and principal payments as provided by the governing documents. In addition. taking into account the expected volatility of the default rate of the portfolio based on the level of diversification by issuer and industry. a portion of the Collateral Debt Assets may not be rated by Moody's but will be assigned a rating pursuant to the methodology described in the definition of "Moody's Rating". The Co-Issuers will inform the Irish Stock Exchange. consequently. that the Class A-1T2 Notes will be rated "Aaa" by Moody's and "AAA" by S&P. that the Class B Notes be rated at least "A2" by Moody's and at least "A" by S&P. In addition to these quantitative tests. loss rates) will not differ from those in S&P's analysis. the legal structure and the risks associated with such structure. including the experience of the Collateral Manager. that the Class A-4 Notes be rated at least "Aa2" by Moody's and at least "AA" by S&P. together with Moody's. Moody's The rating assigned by Moody's is based upon its assessment of the probability that the Collateral Debt Assets will provide sufficient funds to pay the Class A Notes. and no representation is made. the Class B Notes and the Class C Notes. ("Moody's") and "AAA" by Standard & Poor's. 155 . that the Class A-3 Notes will be rated "Aaa" by Moody's and "AAA" by S&P. and is based on the expected loss posed to the Holders of Class A Notes.RATINGS OF THE NOTES It is a condition to the issuance of the Notes that the Class A-1R Notes be rated "Aaa" by Moody's Investors Service. if the ratings assigned to such Rated Notes as of the Closing Date are reduced or withdrawn. Moody's analyzes the likelihood that each debt obligation included in the portfolio will default. Moody's then determines the level of credit protection necessary to achieve the default probability associated with the rating of the structured securities. A security rating is not a recommendation to buy. no person or entity is obligated to provide any additional support or credit enhancement with respect to the Notes. In the event that a rating initially assigned to any Class of Rated Notes is subsequently lowered for any reason. a division of The McGraw-Hill Companies. S&P's rating of each Class of Notes will be established under various assumptions and scenario analyses. or that recovery rates with respect thereto (and. that the Class A-2 Notes will be rated "Aaa" by Moody's and "AAA" by S&P. its view as to the quality of the participants in the transaction and other factors that it deems relevant. S&P S&P will rate each Class of Rated Notes in a manner similar to the manner in which it rates other structured issues. the Class B Notes and the Class C Notes (which is achieved through the subordination of more junior Notes). the Class B Notes and the Class C Notes relative to the promise of receiving the present value of such payments.

a portion of the Collateral Debt Assets may not be rated by S&P but will be assigned a rating pursuant to the methodology described in the definition of "S&P Rating". 156 .In addition.

Additionally. The Placement Agency Agreement provides that the Placement Agent will use its reasonable efforts to sell on behalf of the Issuer the Income Notes pursuant to Section 4(2) of. in connection with the Income Notes. in case of the Income Notes. it will not offer or sell the Rated Notes or the Income Notes. as placement agent (the "Placement Agent"). The Purchase Agreement further provides that the obligations of the Initial Purchaser to purchase the Rated Notes are subject to approval of legal matters by counsel and to other conditions. another exemption from registration of Notes under the Securities Act). from or otherwise involving the United Kingdom. an offer or sale of the Notes within the United States by a dealer that is not participating in the offering may violate the registration requirements of the Securities Act if that offer or sale is made otherwise than in accordance with Rule 144A (or. or for the account or benefit of. except as permitted by the Purchase Agreement or the Placement Agency Agreement. The Placement Agency Agreement further provides that the obligations of the Placement Agent to place Income Notes are subject to approval of legal matters by counsel and to other conditions. or for the account or benefit of. Persons are required to be Qualified Purchasers purchasing for their own account. that are applicable to a Holder that is a U. as applicable. See "Notice to Purchasers". The Purchase Agreement provides that. within the United States or to. Persons except in transactions exempt from. the Placement Agent has agreed that. and the Income Notes are being offered by the Issuer through Citigroup. The Initial Purchaser. In addition. as applicable. Persons as part of its distribution at any time. to prospective purchasers from time to time in negotiated transactions at varying prices to be determined in each case at the time of sale (i) within the United States to a purchaser that is (a) a Qualified Institutional Buyer (or. the Securities Act. U. purchasers of the Notes who are U. The Notes have not been and will not be registered under the Securities Act and may not be offered or sold within the United States or to. the Placement Agent and their respective Affiliates may have had in the past and may in the future have business relationships and dealings with one or more issuers of the Collateral Debt Assets and their Affiliates and may own equity or debt securities issued by such issuers or their Affiliates.S. or not subject to. an Accredited Investor) and (b) a Qualified Purchaser purchasing for its own account and that can make all of the representations in the Indenture or the Income Note Issuing and Paying Agency Agreement. Person and (ii) outside the United States in reliance on Regulation S. in connection with sales outside the United States. pursuant to a purchase agreement with the Co-Issuers (the "Purchase Agreement"). as initial purchaser of the Rated Notes (in such capacity.S. U. as applicable.S. The Initial Purchaser will resell the Rated Notes pursuant to Rule 144A and Regulation S under the Securities Act. the Initial Purchaser will purchase all of the Rated Notes from the Co-Issuers. subject to the satisfaction of certain conditions. including liabilities under the Securities Act. the Initial Purchaser and. the registration requirements of the Securities Act. and has agreed to contribute to payments that the Initial Purchaser may be required to make in 157 . Any invitation or inducement to engage in investment activity (within the meaning of Section 21 of the Financial Services and Markets Act 2000 (the "FSMA")) in connection with the issue or sale of any Notes may only be communicated or caused to be communicated in circumstances in which Section 21(1) of the FSMA does not apply to the Issuer.PLAN OF DISTRIBUTION The Rated Notes are being offered by Citigroup. as the case may be. the "Initial Purchaser"). Accordingly. the Placement Agent or their respective Affiliates may have provided and may in the future provide investment banking services to an issuer of Collateral Debt Assets or its Affiliates and may have received or may receive compensation for such services. pursuant to a placement agency agreement with the Issuer (the "Placement Agency Agreement"). The Issuer has agreed to indemnify the Initial Purchaser against certain liabilities. with respect to the Rated Notes. Each Purchaser of the Notes must comply with all applicable provisions of the FSMA with respect to anything done by it in relation to the Notes in.S. The Initial Purchaser. with respect to the Income Notes. or Regulation S under.

4th Floor. and has agreed to contribute to payments that the Placement Agent may be required to make in respect thereof. and if any of the Initial Purchaser or the Placement Agent makes such a market it may discontinue any market-making activities with respect to the Notes at any time without notice. including liabilities under the Securities Act. 158 . as and if issued.respect thereof. New York 10013. Each of the Initial Purchaser and the Placement Agent will represent and agree that it has not made and will not make any invitation to the public in the Cayman Islands to subscribe for the Notes pursuant to Section 194 of The Companies Law (2004 Revision). the Issuer has agreed to indemnify the Placement Agent against certain liabilities. The Notes are offered when. Citigroup may be contacted at 390 Greenwich Street. The Notes will constitute new classes of securities with no established trading market. In addition. market-making activity will be subject to the limits imposed by the Securities Act and the Exchange Act. Such a market may or may not develop. Attention: Global Structured Credit Products Group. In addition. no assurances can be made as to the liquidity of or the trading market for the Notes. cancellation or modification of the offer without notice and subject to approval of certain legal matters by counsel and certain other conditions. subject to prior sale or withdrawal. New York. Accordingly. but neither the Initial Purchaser nor the Placement Agent is under any obligation to make such a market. Investors in Income Notes may purchase such Notes at a discount and such discount may be substantial.

Denomination. The accounts initially will be designated by or on behalf of the Initial Purchaser. Registration and Transfer of the Notes". New York 10041-0099) or its custodian will credit. New York. records maintained by DTC or its nominee (with respect to interests of participants) and the records of participants (with respect to interests of persons other than participants). Ownership of beneficial interests in a Global Note will be shown on. and the transfer of that ownership will be effected only through. DTC (with an address at 55 Water Street. on its internal system.SETTLEMENT AND CLEARING Upon the issuance of a Global Note. Ownership of beneficial interests in Global Notes will be limited to persons who have accounts with DTC ("participants") or persons who hold interests through participants. the respective stated initial principal amount of the individual beneficial interests represented by the Global Notes to the accounts of persons who have accounts with DTC. 159 . See "Description of the Notes—Form.

(iv) pledging the Collateral as security for its obligations in respect of the Rated Notes and otherwise for the benefit of the Secured Parties. 2. except for the transactions described herein relating to the issuance of the Notes. For the life of the Prospectus. where copies thereof may be obtained upon request.. 4. The issuance of the Rated Notes has been authorized by the board of directors of the Co-Issuer by resolutions passed on or prior to the Closing Date. Common Codes for clearance through Euroclear and Clearstream. 1984 of Ireland. is any such governmental. and the Co-Issuer does not intend. or. 6. neither the Issuer nor the Co-Issuer has commenced trading. (v) issuance of the Ordinary Shares and (vi) other activities incidental to the foregoing. will have no assets other than its equity capital and will have no debt other than as Co-Issuer of the Rated Notes. The issuance of the Notes has been authorized by the board of directors of the Issuer by resolutions passed on or prior to the Closing Date. The activities of the Issuer will be limited to (i) acquiring and holding Collateral Debt Assets and investing in Eligible Investments. The Co-Issuer is not required by Delaware State law. if such an event has occurred. Neither of the Co-Issuers is involved. 296605AA6 ISIN 144A US296605AA68 CUSIP Reg S G3124AAA3 ISIN Reg S USG3124AAA37 Common Codes N/A CUSIP Accredited Investors 296605AG3 ISIN Accredited Investors US296605AG39 160 .. however. to publish annual reports and accounts. (ii) entering into and performing its obligations under the Transaction Documents to which it is a party. financial statements of the Co-Issuers will be neither prepared nor made available at the office of the Irish Listing Agent. the final Prospectus will be filed with the Registrar of Companies of Ireland pursuant to Regulation 13 of the European Community (Stock Exchange) Regulations. copies of the Articles of the Issuer.LISTING AND GENERAL INFORMATION 1. the resolutions of the board of directors of the Issuer authorizing the issuance of the Notes. The Indenture.$100. 5. cash flow derived from the Collateral securing the Rated Notes will be the Issuer's only source of cash.. so far as either of the Co-Issuers is aware. 7. nor. no potential Event of Default or Event of Default or other similar matter required to be brought to the Trustee's attention has occurred. and the Issuer does not intend. In connection with the listing of the Notes on the Daily Official List of the Irish Stock Exchange. CUSIP (CINS) Numbers for Regulation S Global Notes and Regulation S Global Income Notes. litigation or arbitration proceedings involving it pending or threatened. All such documents will be available in electronic form. the "Articles"). the resolutions of the board of directors of the Co-Issuer authorizing the co-issuance of the Rated Notes. International Securities Regulations Numbers (ISIN) and CUSIP Numbers for Certificated Notes applicable to the Notes are as set forth below: CUSIP Note 144A Class A-1R Note. established any accounts or declared any dividends. the Transaction Documents and a description of the Collateral will be available for inspection and will be obtainable at the office of the Issuer and at the offices of the Irish Paying Agent in Dublin. 3.. The Issuer is not required by Cayman Islands law. to publish annual reports and accounts. the certificate of incorporation and by-laws of the Co-Issuer. or has been involved since incorporation.. in any governmental. For the life of the Prospectus. litigation or arbitration proceedings relating to claims on amounts which may have or have had a material effect on the Co-Issuers in the context of the issue of the Notes. requires the Issuer to provide the Trustee with written confirmation. the Indenture and the Collateral Management Agreement will be available for inspection during the term of the Notes at the office of the Trustee.S. 8. (iii) issuing and selling the Notes. that to the best of its knowledge following review of the activities of the prior year. on an annual basis. specifying the same. The Co-Issuer will be capitalized only to the extent of its common shares of U. the certificate of incorporation and by-laws of the CoIssuer. copies of the Issuer's Memorandum of Association and Articles of Association (together. There can be no assurance that such admission will be granted. Application will be made to the Irish Stock Exchange to admit the Notes to the Daily Official List in accordance with the Irish Stock Exchange Listing Rules for Asset-Backed Debt Securities. All such documents will be available in electronic form. Ireland. Since incorporation. Accordingly. The applicable CUSIP Numbers for Rule 144A Global Notes.

............. Class A-3 Note ........... Income Note . Class A-4 Note ... Class A-1T2 Note ...................... Class C Note ...... Class A-2 Note . CUSIP 144A 296605AN8 296605AQ1 296605AB4 296605AC2 296605AD0 296605AE8 296605AF5 296603AA1 ISIN 144A US296605AN89 US296605AQ11 US296605AB42 US296605AC25 US296605AD08 US296605AE80 US296605AF55 US296603AA11 CUSIP Reg S G3124AAG0 G3124AAH8 G3124AAB1 G3124AAC9 G3124AAD7 G3124AAE5 G3124AAF2 G31240AA5 ISIN Reg S USG3124AAG07 USG3124AAH89 USG3124AAB10 USG3124AAC92 USG3124AAD75 USG3124AAE58 USG3124AAF24 USG31240AA54 Common Codes 026764025 026764157 026521327 026521386 026521432 026521475 026521505 026521661 CUSIP Accredited Investors 296605AP3 296605AR9 296605AH1 296605AJ7 296605AK4 296605AL2 296605AM0 296603AB9 ISIN Accredited Investors US296605AP38 US296605AR93 US296605AH12 US296605AJ77 US296605AK41 US296605AL24 US296605AM07 US296603AB93 161 ... Class B Note ..Note Class A-1T1 Note .......

Certain legal matters with respect to the Collateral Manager will be passed upon for the Collateral Manager by McKee Nelson LLP.LEGAL MATTERS Certain legal matters with respect to the Notes will be passed upon for the Co-Issuers. New York. Cayman Islands. New York. 162 . New York. the Initial Purchaser and the Placement Agent by Clifford Chance US LLP. New York. Certain matters with respect to Cayman Islands corporate law and tax law will be passed upon for the Issuer by Maples and Calder.

(vi) the Administrator pursuant to the Administration Agreement. (ix) any other Person in respect of any governmental fee. A-1 . including any applicable indemnities. provided that Administrative Expenses may not include any amounts due or accrued with respect to the actions taken on or prior to the Closing Date. "Administration Agreement" means that certain Administration Agreement. determined after taking into account the cumulative amount of any payments of principal made pursuant to clause (B)(25) of the Priority of Payments on the Class C Notes prior to such date. dated as of the Closing Date. expenses for credit estimates and ongoing surveillance of the ratings of the Notes) or any rating on any Collateral Debt Asset. For purposes of applying the Class C Principal Coverage Test. (v) the Rating Agencies for fees and expenses in connection with any rating (including the annual fee payable with respect to the monitoring of any rating) of any Class of Rated Notes by each such Rating Agency (including. 2006. provided further that Administrative Expenses shall not include (a) amounts payable in respect of the Notes and (b) amounts payable under any Hedge Agreement or Cashflow Swap Agreement. for so long as any Class A Notes. tax reports). registration and annual return fees payable to the Cayman Islands' government and registered office fees). and (x) any other Person in respect of any other fees or expenses (including indemnities) permitted under the Indenture and the documents delivered pursuant to or in connection with the Indenture. amounts payable from time to time by the related CDS Asset Counterparty to the Issuer in respect of any Writedown Reimbursement. agents and counsel of the Co-Issuers for fees and expenses (including. (iv) the Independent accountants. "Adjusted Effective Date Class A-1R Note Proportion" means. charge or tax (including all filing. Class B Notes or Class C Notes remain Outstanding. a test satisfied on any Measurement Date if the Class C Principal Coverage Ratio as of such Measurement Date is equal to or greater than 100. but excluding the Collateral Management Fee and including any fees and expenses incurred in connection with an Auction). among the Issuer. without limitation. "Adjusted Effective Date Advance Swap Allocation Ratio" means the Effective Date Advance Swap Allocation Ratio as adjusted to take into account any Class A-1R Commitment Shift-Over Amount. "Administrative Expenses" means amounts due and payable. as the same may be amended or supplemented from time to time. Principal Shortfall Reimbursement or Interest Shortfall Reimbursement (each as defined in the related Synthetic Asset). the Effective Date Class A-1R Note Proportion. from and by or accrued for the account of the Co-Issuers with respect to any Quarterly Payment Date to (i) the Trustee or any co-trustee pursuant hereto. "Additional Class C Principal Coverage Test" means. between the Issuer and the Administrator. on any date. amounts payable under the Collateral Management Agreement. the Collateral Management Agreement and the Notes. (vii) the Advance Swap Counterparty (other than any Advance Swap Drawing Fee and Advance Swap Commitment Fee) pursuant to the Advance Swap. dated as of August 31.50%. without limitation. "Accountholder" means LaSalle Bank National Association. the Income Note Issuing and Paying Agency Agreement. without limitation. the "Principal Coverage Amount" shall be determined in accordance with the last paragraph of the definition thereof. the Trustee and the Accountholder. (ii) the Income Note Issuing and Paying Agent pursuant to the Income Note Issuing and Paying Agency Agreement. "Additional Fixed Amounts" means.ANNEX A – GLOSSARY "Account Control Agreement" means that certain Account Control Agreement. (viii) the Collateral Manager (or any of the Collateral Manager's Affiliates pursuant to the Collateral Management Agreement by way of indemnity) and its counsel for fees. with respect to any CDS Asset. solely in its capacity as accountholder under the Account Control Agreement. expenses and indemnities under the Transaction Documents to the extent set forth therein (including. as the same may be amended or supplemented from time to time. (iii) the Collateral Administrator pursuant to the Collateral Administration Agreement and the Class A-1R Note Agent (other than any Class A-1R Commitment Fee and Class A-1R Breakage Costs) pursuant to the Class A-1R Note Purchase Agreement.

"Advance Swap Mandatory Draw" means any draw required to be funded pursuant to the Advance Swap upon (i) the Advance Swap Counterparty's default in funding any Advance Swap Draw or (ii) the occurrence of an Advance Swap Ratings Event for a period of 30 days. the Advance Swap A-2 . then to the Advance Swap. and then to the Advance Swap. "Advance Swap Draw Notice" means the notice substantially in the form required pursuant to the Advance Swap and delivered with respect to each Advance Swap Draw by the Issuer (or the Collateral Manager on behalf of the Issuer) to the Advance Swap Counterparty. the Aggregate Class A-1R Commitment and the Aggregate Outstanding Amount of the Class A-1T1 Notes. on any date. if the Advance Swap Counterparty's guarantor (or. and (ii) if the Advance Swap Allocation Ratio on such date is less than the Effective Date Advance Swap Allocation Ratio. and after the Interest-Only Period. in the case of the Class A-1R Notes. in the case of the Class A-1R Notes. "Advance Swap Ratings Event" means. with respect to the Advance Swap Counterparty. deposits into the Synthetic Reserve Account) and the Class A-1T1 Notes. the ratio of (i) the Advance Swap Notional Amount divided by (ii) the sum of the Advance Swap Notional Amount plus the Aggregate Class A-1R Commitment (adjusted for any Class A-1R Commitment Shift-Over Amount) plus the Aggregate Outstanding Amount of the Class A-1T1 Notes. until the Advance Swap Allocation Ratio is equal to the Effective Date Advance Swap Allocation Ratio. and (ii) if the Advance Swap Allocation Ratio on such date is less than the Effective Date Advance Swap Allocation Ratio. in proportion to the sum of the Advance Swap Notional Amount. (i) if the Advance Swap Allocation Ratio on such date is equal to the Effective Date Advance Swap Ratio. in proportion to the sum of the Aggregate Class A-1R Commitment and the Aggregate Outstanding Amount of the Class A-1T1 Notes. in proportion to the sum of the Aggregate Class A-1R Commitment and the Aggregate Outstanding Amount of the Class A-1T1 Notes. then to the Class A-1R Notes (including. if the Advance Swap Counterparty has no guarantor. provided that the Advance Swap Allocation Ratio shall be deemed to equal zero if the sum in clause (ii) equals zero. until the Advance Swap Allocation Ratio is equal to the Adjusted Effective Date Advance Swap Allocation Ratio. the Class A1R Notes (including."Advance Swap" means the Advance Swap Agreement. deposits into the Synthetic Reserve Account) and the Class A-1T1 Notes. in proportion to the sum of the Advance Swap Notional Amount. deposits into the Synthetic Reserve Account) and the Class A-1T1 Notes. (B) "Advance Swap Allocation Ratio" means. then to the Class A-1R Notes (including. (i) if the Advance Swap Allocation Ratio on such date is equal to the Effective Date Advance Swap Ratio. "Advance Swap Mandatory Draw Reserve Account" means the Securities Account designated the "Advance Swap Mandatory Draw Reserve Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. the Class A1R Notes (including. "Advance Swap Allocation Basis" means: (A) during the Interest-Only Period. between the Issuer and the Advance Swap Counterparty and including the schedule and confirmation with respect thereto. to be dated as of the Closing Date. then to the Advance Swap. the Aggregate Class A-1R Commitment and the Aggregate Outstanding Amount of the Class A-1T1 Notes. and then to the Advance Swap. "Advance Swap Eligible Investments" means Eligible Investment (maturing the day following the date of acquisition thereof) acquired (pursuant to a written direction from the Advance Swap Counterparty) with deposits in the Advance Swap Mandatory Draw Reserve Account for the benefit of the Advance Swap Counterparty. in the case of the Class A-1R Notes. deposits into the Synthetic Reserve Account) and the Class A-1T1 Notes. in the case of the Class A-1R Notes.

"Aggregate Effective Date Par Amount" means U. "Aggregate Class A-1R Undrawn Amount" means the sum of the Class A-1R Note Undrawn Amounts of all Class A-1R Notes. directly or indirectly is in control of. such Person or (b) any other Person who is a director.. or. the Clearing Agencies. or to the extent permitted at the discretion of the Collateral Manager.S.000. On the Advance Swap Termination Date.$1. the Advance Swap Undrawn Notional Amount will be automatically reduced to zero. on any date of determination. deposit or similar obligations are not rated by Moody's. "Advance Swap Undrawn Notional Amount" means. or controlled by. (b) the Redemption Date and (c) the date on which the Advance Swap Notional Amount is permanently reduced to zero in accordance with the terms of the Advance Swap. "Advance Swap Repayment Amount" means any repayment of Used Advance Swap Amounts in accordance with the Advance Swap and the Indenture. or (B) to direct or cause the direction of the management and policies of such Person. the long-term senior unsecured debt. the quotient (expressed as a decimal number. deposit or similar obligations are not rated by S&P. on any date. (a) any other Person who. "Advance Swap Synthetic Capacity Proportion" means.000. in accordance with the terms of the Class A-1R Note Purchase Agreement and the Indenture. on any Quarterly Payment Date. or. "Affiliate" or "Affiliated" means with respect to a Person.000. "Aggregate CDS Asset Notional Amount" means the aggregate notional amount of the CDS Assets. the sum of (a) the Trustee Fee with respect to such Quarterly Payment Date and any unpaid Trustee Fee accrued with respect to a previous Quarterly Payment Date. "Aggregate Class A-1R Commitment" means. (b) the Senior Collateral Management Fee and all expenses of the Collateral Manager payable by the Issuer pursuant to the Collateral Management Agreement with respect to such Quarterly Payment Date and any unpaid Senior Collateral Management Fee and unpaid expenses of the Collateral Manager accrued A-3 . direct or indirect. With respect to the Issuer. control of a Person shall mean the power.Counterparty's) (A) short-term senior unsecured debt. carried to four places) obtained by dividing (i) the Advance Swap Notional Amount on such date by (ii) the sum of the Advance Swap Notional Amount on such date plus the Aggregate Class A-1R Commitment on such date. deposit or similar obligations are rated below "A1" by Moody's. "Advance Swap Scheduled Termination Date" means the Payment Date occurring in October 2046. "Affiliate" will not include Maples Finance Limited or any entity that Maples Finance Limited controls. deposit or similar obligations are rated below "Aa3" by Moody's. "Aggregate Fees and Expenses" means.000. or (B) short-term senior unsecured debt. officer or employee or designated member or partner (i) of such Person. if such short-term senior unsecured debt. (ii) of any subsidiary or parent company of such Person or (iii) of any Person described in (a) above. deposit or similar obligations are rated lower than "P-1" by Moody's and its long-term senior unsecured debt. as permanently and irrevocably reduced from time to time to the extent required. deposit or similar obligations are rated below "AA-" by S&P. "Advance Swap Termination Date" means the earliest of (a) the Advance Swap Scheduled Termination Date. or is under common control with.000 (which shall equal the sum of the outstanding balances under the Class A-1R Notes plus the Aggregate Class A-1R Undrawn Amount). whether by contract or otherwise (A) to vote more than 50% of the share capital or similar rights of ownership or control of such Person.$100. or participants in. the long-term senior unsecured debt. if such short-term senior unsecured debt. deposit or similar obligations are rated lower than "A-1" by S&P. For the purposes of this definition. the Advance Swap Notional Amount minus any Used Advance Swap Amount. as of the Closing Date.S. U. being the Aggregate Class A-1R Commitment less the aggregate principal amount of Class A1R Notes outstanding. "Agent Members" means members of.

the applicable Class A-2 Note Interest Rate. with respect to the reinvestment by the Issuer of any Sale Proceeds in one or more Substitute Collateral Debt Assets. the sum of the Principal Balances on such date of determination of all such Pledged Assets. the amount of the Sale Proceeds thereof (excluding. (vi) with respect to the Class A-4 Notes. the applicable Class C Note Interest Rate. the aggregate principal amount of such Rated Notes (or of such Class) Outstanding at such time. "Applicable Recovery Rate" means. either fixed or revolving. the applicable Class A-3 Note Interest Rate. the applicable Class A-1T2 Note Interest Rate. Except as otherwise provided herein. together with rights or other assets designed to assure the servicing or timely distribution of proceeds to the holder of such security (including. (f) taxes payable by the Co-Issuers. any accrued interest). the applicable Class A-1R Note Interest Rate. Administrative Expenses) payable on such Quarterly Payment Date pursuant to clauses (B)(1) and (B)(3) of the Priority of Payments (to the extent not included in clauses (a) through (f) above). "Applicable Periodic Interest Rate" means. with respect to any Collateral Debt Asset on any date of determination. (vii) with respect to the Class B Notes. together with rights or other assets designed to assure the servicing or timely distribution of proceeds to the holder of such security and (ii) any Future Advance Security. (iv) with respect to the Class A-2 Notes. "Asset-Backed Security" means (i) any debt security that entitles the holder thereof to receive payments that depend primarily on the cash flow from (a) a specified pool of financial assets. either fixed or revolving. the lesser of (a) the applicable Moody's Recovery Rate for such Collateral Debt Asset on such date and (b) the applicable S&P Recovery Rate for such Collateral Debt Asset on such date. leases) or (b) real estate mortgages. the applicable Class A-1T1 Note Interest Rate. the amount that is equal to (i) (a) in respect of Credit Risk Assets. (e) any due and unpaid expenses owed to the Note Paying Agent with respect to such Quarterly Payment Date and any unpaid expenses owed to the Note Paying Agent accrued with respect to a previous Quarterly Payment Date. provided that the Aggregate Principal Balance shall not at any time include the Principal Balance of any Short CDS Assets. when used with respect to any of the Rated Notes (or of any Class of Rated Notes) at any time. "Applicable Replacement Principal Balance" means. (ii) with respect to the Class A-1T1 Notes. the applicable Class B Note Interest Rate and (viii) with respect to the Class C Notes. (c) any due and unpaid expenses owed to the Trustee and other expenses (including other amounts payable to the Bank under the Collateral Administration Agreement and the Indenture and other Administrative Expenses) of the Co-Issuers (including the fees to be paid to the Irish Stock Exchange). (d) any due and unpaid expenses owed to the Income Note Issuing and Paying Agent and any unpaid expenses owed to the Income Note Issuing and Paying Agent accrued with respect to a previous Quarterly Payment Date. or (b) in respect of any Credit Improved Assets or any Collateral Debt Assets sold in Discretionary Sales. (i) the Aggregate Outstanding Amount of any Class B Notes at any time shall include the Class B Cumulative Deferred Interest Amount (together with any accrued interest thereon) with respect to such Class B Notes at such time and (ii) the Aggregate Outstanding Amount of any Class C Notes at any time shall include the Class C Cumulative Deferred Interest Amount (together with any accrued interest thereon) with respect to such Class C Notes at such time. the par value thereof. if any. A-4 . (v) with respect to the Class A-3 Notes. "Approved Replacement Person" means a replacement or additional Key Manager appointed in accordance with the procedures described in the Collateral Management Agreement or pursuant to such other procedures as may be agreed between the Collateral Manager and the Controlling Class. for the avoidance of doubt. for any Interest Period. Defaulted Assets and Equity Securities. (i) with respect to the Class A-1R Notes. without limitation. the applicable Class A-4 Note Interest Rate. and (g) all other expenses of the Co-Issuers (including. "Aggregate Outstanding Amount" means. when used with respect to any Pledged Assets as of any Measurement Date. in the case of Credit Risk Assets. less (ii) the amount (not less than zero) equal to (x) the Principal Coverage Amount immediately prior to such reinvestment less (y) the Aggregate Effective Date Par Amount. (iii) with respect to the Class A-1T2 Notes.with respect to a previous Quarterly Payment Date. "Aggregate Principal Balance" means. that by their terms convert into cash within a finite time period.

"Assumed Reinvestment Rate" means. or (iii) an entity whose underlying assets include plan assets by reason of such an employee benefit plan's or plan's investment in such entity. as against the Co-Issuers and the Trustee. "Authorized Officer" means (i) with respect to the Issuer. the Issuer. (ii) with respect to the Collateral Manager. "Benefit Plan Investor" means (i) an "employee benefit plan" (as defined in Section 3(3) of ERISA). for any Interest Period with respect to a Monthly Payment Date. demand deposits. and such certification may be considered as in full force and effect until receipt by such other party of written notice to the contrary. Auction Date means the date upon which an auction of the Collateral Debt Assets is conducted. "Beneficial Owner" means. that is subject to Title I of ERISA. the greater of (i) LIBOR minus 0. the Collateral Manager and (iii) with respect to the Trustee or any other bank or trust company acting as trustee of an express trust or as custodian. on which an Auction shall take place. the right to which will be vested. each Person that appears on the records of a Clearing Agency (other than each such Clearing Agency to the extent that it is an accountholder with the other Clearing Agency for the purpose of operating the "bridge" between them) as entitled to a particular amount of Rated Notes by reason of an interest in a Global Note (for all purposes other than with respect to the payment of principal of and interest on the Rated Notes. without limitation. any Officer of the Issuer who is authorized to act for the Issuer in matters relating to. with respect to any Account or fund securing the Rated Notes. (ii) principal amount of interest-bearing corporate and government securities. certificates of deposit and federal funds. if an auction is conducted in connection with an Event of Default. an insurance company general account. occurring on a semi-annual basis and no later than ten (10) Business Days prior to a scheduled Redemption Date. that is subject to Section 4975 of the Code. "Average Class A-1R Note Principal Balance" means. "Average Used Advance Swap Amount" means the "Average Used Swap Amount" specified in the Advance Swap. with respect to cash or Eligible Investments in any Account at such time. "Balance" means at any time. and binding upon. (ii) a "plan" (as defined in Section 4975(e)(1) of the Code). an amount equal to (x) the sum of the Aggregate Outstanding Amount of the Class A-1R Notes for each day during such Interest Period divided by (y) the actual number of days in such Interest Period. time deposits. on any Measurement Date. money market accounts and repurchase obligations and (iii) purchase price (but not greater than the face amount) of non-interest-bearing government and corporate securities and commercial paper. A-5 . Each party may receive and accept a certification of the authority of any other party as conclusive evidence of the authority of any person to act. the aggregate of the (i) current balance of cash. a Trust Officer. "Auction Date" means each date. as applicable. any officer of the Collateral Manager who is authorized to act for the Collateral Manager in matters relating to. the quotient obtained by the Collateral Manager by dividing (i) the sum of the products of (a) the number of years (rounded to the nearest one tenth thereof) from such Measurement Date to the respective dates of each expected distribution of principal of such Collateral Debt Asset and (b) the respective amounts of principal of such distributions by (ii) the sum of all such distributions of principal on such Collateral Debt Asset. with respect to any Global Note. provided that.50% and (ii) zero. "Average Undrawn Advance Swap Amount" means the "Average Undrawn Swap Amount" specified in the Advance Swap. provided that the Trustee and the Income Note Issuing and Paying Agent may conclusively rely upon the certificate of a Clearing Agency as to the identity of such Persons holding an interest in a Global Note. including. solely in the Person in whose name the Global Note is registered in the Note Register (in the case of the Rated Notes) or the Income Note Register (in the case of the Income Notes)). "Average Life" means. and binding upon. with respect to any Collateral Debt Asset (other than a Defaulted Asset or Deferred Interest PIK Bond).

with respect to each Monthly Payment Date or Quarterly Payment Date. and which is required to (x) have (A) (i) a short-term rating of at least "P-1" by Moody's (which. basis swap agreement or similar agreement between the Issuer and a Cashflow Swap Counterparty. London. provided that. is not on negative credit watch for downgrade) and a long-term senior unsecured debt rating of at least "A1" by Moody's (which. in each case as of the date of purchase or entry into the CDS Asset by the Issuer and (y) be a dealer in derivatives. as the context may require. any net amount required to be paid by the CDS Asset Counterparty to the Issuer in connection with such early termination. the Quarterly Payment Date occurring in October 2009 and continuing until the Stated Maturity Date. the entity (or guarantor or similar credit support provider of such entity's obligations pursuant to an irrevocable and unconditional guarantee or similar credit support instrument) that is required to make payments on such CDS Asset to the Issuer to the extent specified therein. Illinois. Ireland are authorized or obligated by law or executive order to be closed will also be considered in determining whether such day is a "Business Day". either (i) a payment required to be made by a CDS Asset Counterparty to the Issuer in connection with the early termination of a CDS Asset or (ii) in connection with the early termination of two or more CDS Assets under a Master Agreement in circumstances where netting between transactions under the relevant Master Agreement is applicable. if any action is required of the Irish Paying Agent. days on which commercial banking institutions in Dublin. as the case may be. "CDS Asset Counterparty Termination Payment" means. if rated "A1" by Moody's. with respect to any CDS Asset. England. New York. are purchased by the Issuer and comply with the Eligibility Criteria. is not on negative credit watch for downgrade) or (ii) a long-term senior unsecured debt rating of at least "Aa3" by Moody's (which. "Cashflow Swap Counterparty" means any counterparty under a Cashflow Swap Agreement and any permitted substitute or replacement therefor. Chicago. timing swap agreement. the last day of the Due Period related to such Monthly Payment Date or Quarterly Payment Date. is not on negative credit watch for downgrade) and (B) a short-term rating of at least "A-1" by S&P. solely for purposes of determining when such action of the Irish Paying Agent is required. "Cash Assets" means Collateral (other than Synthetic Assets) of any of the Specified Types that. either (i) a payment required to be made by the Issuer to the CDS Asset Counterparty in connection with the early termination of a CDS Asset or (ii) in connection with the early termination of two or more CDS Assets under a Master Agreement in circumstances where netting between transactions under the relevant Master Agreement is applicable. "CDS Asset Counterparty" means. Sunday or other day on which commercial banking institutions in New York. "Calculation Date" means. "CDS Asset Issuer Termination Payment" means. and including. "Cash Settlement Payment" means a payment made by the Issuer to a CDS Counterparty upon such CDS Counterparty’s election of cash settlement with respect to all or a portion of the notional amount of the applicable CDS Asset. if rated "P-1" by Moody's. provided that a CDS Asset shall be required to provide that a CDS Asset Issuer Termination Payment may not exceed the Principal Balance of the CDS Asset."Business Day" means any day that is not a Saturday. "Cashflow Swap Agreement" means any cashflow swap agreement. any net amount required to be paid by the Issuer to the applicable CDS Asset Counterparty in connection with such early termination. "Catastrophe Bond" means an obligation the payments on which are subject to the risk of occurrence of certain natural catastrophes specified in the Underlying Instruments of such obligation. or any other city in which the Corporate Trust Office of the Trustee is located are authorized or obligated by law or executive order to be closed. as the context may require. A-6 . "Call Period" means the period commencing on. in each case. if rated "Aa3" by Moody's.

"CDS Interest Shortfall" means. CDS Interest Reimbursements and CDS Principal Reimbursements. that the Class A Principal Coverage Ratio is less than 97. with respect to any CDS Asset. "CDS Reimbursement Amounts" means. "CDS Principal Reimbursement" means. with respect to a CDS Asset. the Class C Notes and the Income Notes. collectively. or similar event specified in the relevant Confirmation with respect to the nonpayment or forgiveness of principal. with respect to a CDS Asset. Cash Settlement Payment or Physical Settlement Payment payable by the Issuer to the related CDS Asset Counterparty "CDS Payment" means any CDS Loss Payment. collectively. the Class A-4 Notes. CDS Interest Payments and CDS Principal Payments. on the Calculation Date applicable to a Quarterly Payment Date. CDS Interest Shortfalls and CDS Principal Shortfalls. "CDS Principal Payment" means any payment required to be made by the Issuer to the related CDS Asset Counterparty in respect of a CDS Principal Shortfall under a CDS Asset. "CDS Loss Payment" means. any CDS Principal Payment. "CDS Interest Reimbursement" means. a determination by the respective CDS Asset Counterparty that an "Interest Shortfall" (as defined in the Pay-As-You-Go Confirmation) or similar event specified in the relevant Confirmation with respect to the non-payment of a scheduled interest payment. the Class A-2 Notes.20%. has occurred under the Reference Obligation. "CDS Principal Shortfall" means. "Citigroup" means Citigroup Global Markets Inc. fully registered form.4(b)(iii). the Class B Notes. "Class" means each of the classes comprised of the Class A-1R Notes. or a writedown or applied loss. A-7 . a determination by the respective CDS Asset Counterparty that a "Principal Shortfall Amount" exists or a "Writedown" has occurred (each as defined in the Pay-As-You-Go Confirmation). "CDS Shortfall Events" means. "Class A Coverage Failure" means. total rate of return swaps or swaptions. collectively. with respect to any CDS Asset. as the case may be. "CDS Shortfall Payments" means. "CDS Issuer Up-Front Payment" means a payment required to be made by the Issuer to a CDS Asset Counterparty upon purchasing or entering into a CDS Asset. a reimbursement under the relevant Reference Obligation of a CDS Principal Shortfall previously incurred. in whole or in part. "CDS Interest Payment" means any payment required to be made by the Issuer to the related CDS Asset Counterparty in respect of a CDS Interest Shortfall under a CDS Asset. "Certificated Income Notes" means Income Notes issued in the form of physical certificates in definitive."CDS Assets" means Synthetic Assets (including any Static Bespoke CDO Assets) that are structured as credit default swaps. CDS Interest Payment or CDS Asset Issuer Termination Payment (other than any Subordinated CDS Asset Termination Payment). "CDS Payment Priority" has the meaning specified in Section 12. with respect to a CDS Asset. the Class A-3 Notes. a reimbursement under the relevant Reference Obligation of a CDS Interest Shortfall previously incurred. has occurred under the Reference Obligation.

"Class A Coverage Tests" means the Class A Interest Coverage Test and the Class A Principal Coverage Test. "Class A-1 Note Proportion" means. the ratio (expressed as a percentage) of (i) to (ii). in the case of the Class A-1R Notes. the period beginning on the first (1st) day following the end of the preceding Class A-1 Interest Period and ending on (and including) the day before the next Monthly Payment Date.00%. where (i) is equal to the Interest Coverage Amount as of such Measurement Date and where (ii) is the sum of the Advance Swap Commitment Fee plus the Advance Swap Drawing Fee plus the Class A-1R Commitment Fee plus the Periodic Interest for the Class A Notes for the Quarterly Payment Date immediately following such date. the Class A-3 Notes and the Class A-4 Notes. the ratio (expressed as a percentage) of (i) to (ii). and (ii) thereafter. for so long as any Class A Notes remain Outstanding. "Class A-1 Notes" means the Class A-1R Notes and the Class A-1T Notes. with respect to each Monthly Payment Date. the quotient (expressed as a decimal number. the Aggregate Class A-1R Undrawn Amount) plus the Advance Swap Notional Amount on such date. the Class A-2 Notes. the ratio of the Aggregate Outstanding Amount of the Class A-1T1 Notes to the aggregate principal amount of the Class A-1R Commitments as of the related Measurement Date. for so long as any Class A Notes remain Outstanding. the denominator of such ratio shall be calculated after giving effect to any payments of principal on the Rated Notes made pursuant to clause (B)(12) of the Priority of Payments on the related Quarterly Payment Date and the numerator of such ratio shall be calculated after giving effect to the application of any Collateral Principal Collections pursuant to clauses (B)(1) through (B)(12) of the Priority of Payments on the related Quarterly Payment Date. A-8 . and (ii) on any subsequent Measurement Date if the Class A Interest Coverage Ratio as of such Measurement Date is equal to or greater than 101. "Class A Interest Coverage Test" means. "Class A Interest Coverage Ratio" means. "Class A-1 Interest Period" means (i) with respect to the Initial Monthly Payment Date. on any date.00%. "Class A Principal Coverage Test" means. in an aggregate principal amount at any one time outstanding of up to the full amount of its respective Class A-1R Commitment. collectively. "Class A Notes" means. with respect to any Monthly Payment Date or Quarterly Payment Date on which an Event of Default has occurred and is continuing. a test satisfied (i) on the Calculation Date relating to the Initial Quarterly Payment Date if the Class A Interest Coverage Ratio as of such date is equal to or greater than 100. "Class A Principal Coverage Ratio" means. where (i) is the Principal Coverage Amount as of such date and (ii) is the sum of the Advance Swap Notional Amount plus the Aggregate Class A-1R Undrawn Amount plus the Aggregate Outstanding Amount of the Class A Notes. provided that for the purposes of calculating the Class A Principal Coverage Ratio to determine compliance pursuant to clause (B)(12) of the Priority of Payments. subject to compliance with certain borrowing conditions specified therein. the period from and including the Closing Date to but excluding the Initial Monthly Payment Date. with respect to any Measurement Date. the Class A-1 Notes. The portion of the Class A-1R Advance applicable to each Class A-1R Note shall be the pro rata share of the unfunded Class A-1R Commitments represented by such Class A-1R Note. a test satisfied on any Measurement Date if the Class A Principal Coverage Ratio as of such Measurement Date is equal to or greater than 102. "Class A-1 Pro Rata Allocation" means. with respect to any Measurement Date. "Class A-1R Advance" means advances made by each Class A-1R Noteholder to the Issuer upon request pursuant to its obligations under the Class A-1R Note Purchase Agreement.40%. carried to four places) obtained by dividing (i) the sum of the Advance Swap Notional Amount plus the Aggregate Class A-1R Commitment plus the Aggregate Outstanding Amount of the Class A-1T1 Notes on such date by (ii) the sum of aggregate Outstanding principal amount of all Classes of the Rated Notes (plus.

that if on the last day of the Interest-Only Period an Event of Default shall have occurred and be continuing. as permanently reduced from time to time in accordance with the terms of the Class A-1R Note Purchase Agreement and the Indenture. "Class A-1R Maturity Date" means the earliest to occur of (i) the date on which the Aggregate Class A-1R Commitment is permanently and irrevocably reduced to zero. the maximum aggregate outstanding principal amount of advances that the Holder of such Class A-1R Note is obligated to make to the Issuer under the Class A-1R Note Purchase Agreement. "Class A-1R Note Mandatory Advance" means a mandatory advancing of the undrawn portion of the Aggregate Class A-1R Commitment in respect of a Class A-1R Noteholder if such Class A-1R Noteholder fails to fund a loan when required to do so or if such Class A-1R Noteholder fails to satisfy the Class A-1R Noteholders Rating Requirement for a period of more than 30 days and (in either case) such Class A-1R Noteholder is not replaced in accordance with the terms of the Class A-1R Note Purchase Agreement.000 (the Aggregate Class A-1R Commitment). "Class A-1R Commitment Termination Date" means the date of the earliest to occur of (i) the permanent reduction of the Aggregate Class A-1R Commitment to zero in accordance with the Priority of Payments. then the Class A-1R Commitment Shift-Over Amount shall be zero."Class A-1R Advance Date" means the date of any Class A-1R Advance. provided. (ii) the Stated Maturity Date of the Notes or. or (iv) the last day of the Interest-Only Period. if earlier. "Class A-1R Note Interest Rate" means LIBOR plus 0. so long as an Event of Default has not occurred nor is continuing as of such day. payable in arrears. "Class A-1R Eligible Investments" means Eligible Investments (maturing the day following the date of acquisition thereof) acquired (pursuant to a written direction from the Class A-1R Noteholder) with deposits in such Noteholder's Class A-1R Noteholder Subaccount for the benefit of such Class A-1R Noteholder. "Class A-1R Commitment Termination Event" means an Event of Default pursuant to clause (vi) of the definition thereof in respect of the Co-Issuers. A-9 . (iii) the occurrence of a Class A1R Commitment Termination Event. "Class A-1R Note Breakage Costs" means. however.23%. the Redemption Date of the Notes. at any time in respect of any Class A-1R Note. if any. as agent pursuant to the Class A-1R Note Purchase Agreement. "Class A-1R Note Agent" means LaSalle Bank National Association. with respect to any Due Period. "Class A-1R Commitment Shift-Over Amount" means the lesser of (i) the Class A-1R Note Undrawn Amount as in effect on the last day of the Interest-Only Period and (ii) the amount (if any) by which (x) the Aggregate CDS Asset Notional Amount on the last day of the Interest-Only Period exceeds (y) the sum of the Synthetic Reserve Account Balance plus the Synthetic Asset Collateral Account Balance plus the Advance Swap Notional Amount (before giving effect to any other adjustments on such date). provided that the aggregate Class A-1R Commitments shall not exceed U. "Class A-1R Commitment Fee" means the fee. the amount of "breakage costs" as set forth in a certificate of a Class A-1R Noteholder delivered to the Issuer and the Trustee on or prior to the related Calculation Date. "Class A-1R Commitment" means. (ii) the date of any Class A-1R Notes Termination Event and (iii) the Stated Maturity Date. on the Class A-1R Notes Undrawn Amount under the Class A-1R Note Purchase Agreement.000.S.$100. incurred by such Class A-1R Noteholder as a result of (a) a prepayment of amounts under the Class A-1R Notes on a day other than a Monthly Payment Date and calculated as provided in the Class A1R Notes or (b) a failure by the Issuer to effect a Class A-1R Advance on the scheduled date therefor after having submitted a request for a Class A-1R to the Class A-1R Noteholders in accordance with the provisions of the Class A-1R Note Purchase Agreement.

deposit or similar obligations of such Class A-1R Noteholder (or prospective transferee) are not rated by S&P. "Class A-1R Notes" means the U. "Class A-1R Noteholder Subaccount" means each Securities Account designated a "Class A-1R Noteholder Subaccount" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture.000.S. the quotient (expressed as a decimal number. among the Issuer.000 aggregate principal amount of Class A-1R Revolving Floating Rate Senior Notes Due 2046. "Class A-1R Note Termination Event" means (i) the failure to pay all or any portion of the interest and fees due and owing to any Class A-1R Noteholders in accordance with the Priority of Payments or (ii) an Event of Default pursuant to clause (vi) of the definition thereof. A-10 . provided that if such shortterm debt. equal to the product of (x) the Average Class A-1R Note Principal Balance with respect to the related Interest Period. on any date. (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-1R Note Interest Rate. "Class A-1T1 Note Interest Rate" means LIBOR plus 0.23%. "Class A-1T Notes" means the Class A-1T1 Notes and the Class A-1T2 Notes. "Class A-1R Noteholder" means a holder of Class A-1R Notes. deposit or similar obligations of such Class A-1R Noteholder (or prospective transferee) are rated "P1" by Moody's and at least "A-1+" by S&P. LaSalle Bank National Association. "Class A-1R Noteholder Ratings Requirement" means the requirement that will be satisfied on any date of determination with respect to each Class A-1R Noteholder (or prospective transferee thereof) if: (i) the short-term debt. "Class A-1R Payment Amount" means an amount. "Class A-1R Notes Allocation Account" means the Securities Account designated the "Class A-1R Notes Allocation Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. the long-term debt. as Class A-1R Note Agent and the holders of the Class A-1R Notes."Class A-1R Note Purchase Agreement" means the Note Purchase Agreement. dated as of the Closing Date. deposit or similar obligations of such Class A-1R Noteholder (or prospective transferee) are rated at least "AA-" by S&P.$100. which the Holders of the Class A-1R Notes will be entitled to receive on account of interest on each Monthly Payment Date (including each Monthly Payment Date that is also a Quarterly Payment Date). carried to four place) obtained by dividing (i) the Aggregate Class A-1R Commitment on such date by (ii) the sum of the Advance Swap Notional Amount on such date plus the Aggregate Class A-1R Commitment on such date. or (ii) the obligations of such Class A-1R Noteholder (or prospective transferee) under the Class A-1R Notes are guaranteed (pursuant to a guarantee which complies with the then-current S&P criteria regarding guarantees) by an entity that meets the criteria for Class A-1R Noteholders set forth in (i) above. "Class A-1R Repayment Date" means the date of any Class A-1R Repayment. "Class A-1R Repayment" means any payment of principal of the Class A-1R Notes prior to the Stated Maturity Date of the Class A-1R Notes. "Class A-1R Synthetic Capacity Proportion" means.

"Class A-4 Payment Amount" means an amount. "Class A-2 Payment Amount" means an amount.S. which the Holders of the Class A-2 Notes will be entitled to receive on account of interest on each Quarterly Payment Date.000. equal to the product of (x) the outstanding principal amount of the Class A-1T2 Notes with respect to the related Interest Period. (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-1T2 Note Interest Rate. the sum of all Class B Deferred Interest Amounts with respect to all Quarterly Payment Dates preceding such date of A-11 .000. with respect to any date of determination. which the Holders of the Class A-1T1 Notes will be entitled to receive on account of interest on each Monthly Payment Date (including each Monthly Payment Date that is also a Quarterly Payment Date).000 aggregate initial principal amount of Class A-2 Floating Rate Senior Secured Notes Due 2046. which the Holders of the Class A-4 Notes will be entitled to receive on account of interest on each Quarterly Payment Date. "Class A-1T2 Notes" means the U. equal to the product of (x) the outstanding principal amount of the Class A-2 Notes with respect to the related Interest Period. equal to the product of (x) the outstanding principal amount of the Class A-4 Notes with respect to the related Interest Period. (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-2 Note Interest Rate.$100.S. "Class B Cumulative Deferred Interest Amount" means. equal to the product of (x) the outstanding principal amount of the Class A-3 Notes with respect to the related Interest Period.$27. "Class A-1T1 Payment Amount" means an amount.40%.$30. "Class A-4 Notes" means the U.000 aggregate principal amount of Class A-1T1 Floating Rate Senior Notes Due 2046.000. (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-4 Note Interest Rate. "Class A-2 Note Interest Rate" means LIBOR plus 0. equal to the product of (x) the outstanding principal amount of the Class A-1T1 Notes with respect to the related Interest Period. "Class A-4 Note Interest Rate" means LIBOR plus 0. which the Holders of the Class A-3 Notes will be entitled to receive on account of interest on each Quarterly Payment Date. "Class A-3 Payment Amount" means an amount.000 aggregate initial principal amount of Class A-3 Floating Rate Senior Secured Notes Due 2046.$395.S.000 aggregate principal amount of Class A-1T2 Floating Rate Senior Notes Due 2046. "Class A-1T2 Payment Amount" means an amount.46%. "Class A-3 Note Interest Rate" means LIBOR plus 0.000 aggregate initial principal amount of Class A-4 Floating Rate Senior Secured Notes Due 2046.S.000. (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-3 Note Interest Rate.23%.000."Class A-1T1 Notes" means the U. "Class A-3 Notes means the U. "Class A-1T2 Note Interest Rate" means LIBOR plus 0. "Class B Coverage Tests" means the Class B Interest Coverage Test and the Class B Principal Coverage Test. (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-1T1 Note Interest Rate.50%.$90. "Class A-2 Notes means the U.S. which the Holders of the Class A-1T2 Notes will be entitled to receive on account of interest on each Monthly Payment Date (including each Monthly Payment Date that is also a Quarterly Payment Date).

if the Class B Interest Coverage Ratio as of such date is equal to or greater than 100. the sum of all Class C Deferred Interest Amounts with respect to all Quarterly Payment Dates preceding such date of determination. the Class B Notes and the Class C Notes for the Quarterly Payment Date immediately following such Measurement Date. (C) the interest on the Class A-1 Notes and (D) the Periodic Interest for the Class A Notes and the Class B Notes for the Quarterly Payment Date immediately following such date.50%. which the Holders of the Class B Notes will be entitled to receive on account of interest on each Quarterly Payment Date. less any amounts applied on all preceding Quarterly Payment Dates pursuant to the Priority of Payments to reduce such sum. "Class B Principal Coverage Test" means. and (ii) on any subsequent Measurement Date. with respect to any Measurement Date. for so long as any Class A Notes or Class B Notes remain Outstanding.$15.determination.50%. A-12 .S. a test satisfied (i) on the Initial Quarterly Payment Date. "Class B Interest Coverage Test" means. with respect to any Measurement Date. the ratio (expressed as a percentage) of (i) to (ii).00%. "Class B Note Interest Rate" means LIBOR plus 1. a test satisfied on any Measurement Date if the Class B Principal Coverage Ratio as of such Measurement Date is equal to or greater than 101. where (i) is equal to the Interest Coverage Amount as of such Measurement Date and where (ii) is the sum of the Advance Swap Commitment Fee plus the Advance Swap Drawing Fee plus the Aggregate Class A-1R Commitment Fee plus the Periodic Interest for the Class A Notes. where (i) is the Principal Coverage Amount as of such Measurement Date and (ii) is the sum of the Advance Swap Notional Amount plus the Aggregate Class A-1R Undrawn Amount plus the Aggregate Outstanding Amount of the Class A Notes and the Class B Notes (including any Class B Cumulative Deferred Interest Amount).000. the ratio (expressed as a percentage) of (i) to (ii). for so long as any Class A Notes or Class B Notes remain Outstanding. "Class B Interest Coverage Ratio" means. "Class B Notes means the U. with respect to any Measurement Date.000 aggregate initial principal amount of Class B Floating Rate Subordinate Secured Notes Due 2046.20%. equal to the product of (x) the outstanding principal amount of the Class B Notes with respect to the related Interest Period. "Class C Cumulative Deferred Interest Amount" means. the ratio (expressed as a percentage) of (i) to (ii). "Class C Interest Coverage Ratio" means. less any amounts applied on all preceding Quarterly Payment Dates pursuant to the Priority of Payments to reduce such sum. "Class B Principal Coverage Ratio" means. "Class B Payment Amount" means an amount. where (i) is equal to the Interest Coverage Amount as of such date and where (ii) is the sum of (A) the Advance Swap Commitment Fee plus the Advance Swap Drawing Fee. the denominator of such ratio shall be calculated after giving effect to any payments of principal on the Rated Notes made pursuant to clause (B)(12) of the Priority of Payments and pursuant to clause (B)(15) of the Priority of Payments on the related Quarterly Payment Date and the numerator of such ratio shall be calculated after giving effect to the application of any Collateral Principal Collections pursuant to clauses (B)(1) through (B)(15) of the Priority of Payments (excluding clause (B)(13)) on the related Quarterly Payment Date and (b) the Interest Reserve Amount shall be calculated after giving effect to the application of any Collateral Interest Collections pursuant to clause (B)(12) of the Priority of Payments. (B) the Aggregate Class A-1R Commitment Fee. "Class C Coverage Tests" means the Class C Interest Coverage Test and the Class C Principal Coverage Test. with respect to any date of determination. (y) the actual number of days in such Interest Period divided by 360 and (z) the Class B Note Interest Rate. provided that (a) for the purposes of calculating the Class B Principal Coverage Ratio to determine compliance pursuant to clause (B)(15) of the Priority of Payments. if the Class B Interest Coverage Ratio as of such Measurement Date is equal to or greater than 100.

"Clearing Agency" means DTC. equal to the product of (x) the outstanding principal amount of the Class C Notes with respect to the related Interest Period. "Class C Principal Coverage Test" means. for so long as any Class A Notes. a test satisfied on any Measurement Date if the Class C Principal Coverage Ratio as of such Measurement Date is equal to or greater than 100.$10. société anonyme. a test satisfied (i) on the Initial Quarterly Payment Date if the Class C Interest Coverage Ratio as of such date is equal to or greater than 100.25%. CMBS Single Asset Securities and CMBS Conduit Assets) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such Collateral Debt Assets) on the cash flow from a pool of commercial mortgage loans made to finance the acquisition.S. "Code" means the U. and the numerator of such ratio shall be calculated after giving effect to the application of any Collateral Principal Collections pursuant to clauses (B)(1) through (B)(19) (excluding clause (B)(13)) of the Priority of Payments on the related Quarterly Payment Date. "Class C Note Interest Rate" means LIBOR plus 3. as of any Measurement Date. Euroclear or Clearstream. the denominator of such ratio shall be determined after giving effect to any payments of principal on the Rated Notes pursuant to clauses (B)(12). for purposes of calculating the Class C Principal Coverage Ratio to determine compliance pursuant to clause (B)(19) of the Priority of Payments. (y) the actual number of days in such Interest Period divided by 360 and (z) the Class C Note Interest Rate. are delivered to the Trustee after the Closing Date and all payments thereon or with respect thereto. "Collateral" means: (i) the Collateral Debt Assets acquired by the Issuer on the Closing Date (as listed in Annex C hereto) and the additional Collateral Debt Assets acquired by the Issuer after the Closing Date and any Equity Securities which. "Clearstream" means Clearstream Banking. the class of such series then outstanding designated as the "controlling class" pursuant to the related Underlying Instrument. for so long as any Class A Notes.00% and (ii) as of any Measurement Date if the Class C Interest Coverage Ratio as of such Measurement Date is equal to or greater than 100. which the Holders of the Class C Notes will be entitled to receive on account of interest on each Quarterly Payment Date. "CMBS Controlling Class" means.20%. 2006. the ratio (expressed as a percentage) of (i) to (ii)."Class C Interest Coverage Test" means. "Class C Principal Coverage Ratio" means. "Class C Notes" means the U. construction and improvement of properties leased to corporate tenants (or on the cash flow from such leases).000 aggregate initial principal amount of Class C Floating Rate Junior Subordinate Secured Notes Due 2046. provided that.000. the Class B Notes (including any Class B Cumulative Deferred Interest Amount) and the Class C Notes (including any Class C Cumulative Deferred Interest Amount). "Class C Payment Amount" means an amount. in each case. "Closing Date" means September 7. with respect to each Underlying CMBS Series.20%. Class B Notes or Class C Notes remain Outstanding. Internal Revenue Code of 1986. "CMBS Credit Tenant Lease Assets" means Collateral Debt Assets (other than CMBS Large Loan Assets. as amended. (B)(15) and (B)(19) of the Priority of Payments on the related Quarterly Payment Date.S. A-13 . Class B Notes or Class C Notes remain Outstanding. where (i) is the Principal Coverage Amount as of such Measurement Date and (ii) is the sum of the Advance Swap Notional Amount plus the Aggregate Class A-1R Undrawn Amount plus the Aggregate Outstanding Amount of the Class A Notes.

a CMBS Conduit Asset. an ABX Asset. in which case Collateral Administrator shall mean such successor Person. and Eligible Investments purchased with funds credited to such accounts and all income from the investment of funds therein. each Hedge Counterparty Collateral Account. a CMBS Asset (other than as specified in clause (x) hereof). each Hedge Agreement. a CDO Investment Grade Asset. all amounts credited to such accounts. (iii) (iv) (v) (vi) (vii) (viii) (ix) (x) (xi) the Issuer's rights under the Class A-1R Note Purchase Agreement. "Collateral Administration Agreement" means that certain Collateral Administration Agreement. a CDX Asset. a CLO Asset. "Collateral Account" means the Securities Account designated the "Collateral Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. each Synthetic Asset Issuer Account. the Payment Account. the Class A-1R Notes Allocation Account and the Class A-1R Note Holder Subaccount. all cash or other property delivered to the Trustee. unless a successor Person shall have become the collateral administrator pursuant to the applicable provisions of the Collateral Administration Agreement. a Trust Preferred Asset. the Issuer's rights under the Advance Swap. dated the date that the Issuer enters into each of the Hedge Agreements. the Short CDS Assets Reserve Account. a CDO Trust Preferred Asset. it is an ABS Security. a CDO CRE Asset. solely in its capacity as collateral administrator under the Collateral Administration Agreement. a Home Equity Loan Asset. each Cashflow Swap Agreement.(ii) the Collection Account. a CDO Squared Asset. the Collateral Account. the Issuer's rights under each Short CDS Asset. "Collateral Debt Asset" means a cash asset meeting (or a Synthetic Asset. the Synthetic Asset Collateral Account. a Bank Guaranteed Asset. and all proceeds of and to. the Issuer's rights under the Synthetic Collateral Agreement. as the same may be amended or supplemented from time to time. a Negative Amortization Asset. dated as of the Closing Date. a CDO High Yield Asset. "Collateral Administrator" means LaSalle Bank National Association. a CMBS Single Asset Security. the foregoing. a Structured Finance Security or a Synthetic Asset. the Uninvested Proceeds Account. a Liquid Security. and any distributions of or on. the Co-Issuers' rights under each of the Transaction Documents to which it is a party. a RMBS Asset. A-14 . the Expense Reserve Account. among the Issuer. the Note Interest Reserve Account. a Cap Corridor Floater. the Collateral Manager and the Collateral Administrator. the Trustee and the related Hedge Counterparty. the "Eligibility Criteria"): (i) (ii) it is issued by an issuer that is incorporated or organized under the laws of the United States or any state thereof or an Eligible SPV Jurisdiction. a CDO Asset Backed Security. "Collateral Assignment of Swap Agreements" means each collateral assignment of Hedge Agreements. the Synthetic Reserve Account. among the Issuer. the Reference Obligation of which meets) each of the following standards as of the date of acquisition (or commitment to acquire) by the Issuer (collectively.

(iii) (iv)

it is a security with an expected remaining maturity, as reasonably determined by the Collateral Manager, that is shorter than its stated maturity; it is not a Collateral Debt Asset (other than a CDO Asset) that since the issue date of such security, the public rating of such security has been reduced (i) two or more times (in the aggregate) by either S&P or Moody's or (ii) one time by S&P or Moody's if such security (x) has a public rating (subsequent to such downgrade) of "A" or "A-" by S&P or "A2" or "A3" by Moody's or (y) has been placed on and remains on watch for possible downgrade by Moody's or S&P (provided that this clause (c) shall not apply to any Collateral Debt Asset for which the most recent rating action is positive watch or an upgrade by either S&P or Moody's); the acquisition (including the manner of acquisition), ownership, enforcement and disposition of such security will not cause the Issuer to be treated as engaged in a U.S. trade or business for U.S. federal income tax purposes or otherwise to be subject to tax on a net income basis in any jurisdiction outside the Issuer's jurisdiction of incorporation; the payments on, and proceeds from disposing of, such security are not subject to withholding tax unless the issuer thereof or the obligor thereon is required to make "gross-up" payments sufficient to cover any withholding tax imposed at any time on payments made to the Issuer with respect thereto so that the amount received by the Issuer after satisfaction of such tax is the amount due to the Issuer before the imposition of any withholding tax; it was issued after July 18, 1984 and is in registered form for purposes of the Code ("Registered"); either: (1) (2) such security was issued pursuant to an effective registration statement under the Securities Act in a "firm commitment" underwriting; or at its original issuance, such security (x) was issued pursuant to an Prospectus, private placement memorandum or similar offering document and (y) is a privately placed security eligible for resale under Rule 144A, Regulation S or another exemption under the Securities Act;

(v)

(vi)

(vii) (viii)

(ix) (x) (xi)

its acquisition would not cause the Issuer, the Co-Issuer or the pool of Collateral to be required to register as an investment company under the Investment Company Act; it is not a security that is ineligible under its Underlying Instrument to be purchased by the Issuer and pledged to the Trustee; except in the case of unfunded Synthetic Assets, it provides for the payment of principal (as to which the ultimate payment of principal is not contingent upon the occurrence of any external events) in cash at not less than par upon maturity, redemption or acceleration; it is not a security with respect to which, in the reasonable business judgment of the Collateral Manager, the timely repayment of principal and interest is subject to substantial noncredit related risks; it is not a Combination Security; it is not a security issued by an Emerging Market Issuer; it is not a security that is a Credit Risk Asset, a Defaulted Asset or a Written Down Asset; it is not:

(xii)

(xiii) (xiv) (xv) (xvi)

A-15

(1)

a security issued by an issuer located in a country that imposes foreign exchange controls that effectively limit the availability or use of Dollars to make when due the scheduled payments of principal of and interest on such security; Margin Stock and does not provide for conversion or exchange into, Margin Stock at any time over its life; an obligation which (1) was incurred in connection with a merger, acquisition, consolidation or sale of all or substantially all of the assets of a person or entity or similar transaction and (2) by its terms is required to be repaid within one year of the incurrence thereof with proceeds from additional borrowings or other refinancing; the subject of (1) any offer by the issuer of such security or by any other person made to all of the holders of such security to purchase or otherwise acquire such security (other than pursuant to any redemption in accordance with the terms of the related underlying instruments) or to convert or exchange such security into or for cash, securities or any other type of consideration or (2) any solicitation by an issuer of such security or any other person to amend, modify or waive any provision of such security or any related underlying instrument, and has not been called for redemption; an Equity Security; a security that by the terms of its Underlying Instrument provides for conversion or exchange (whether mandatory or at the option of the issuer or the holder thereof) into equity capital at any time prior to its maturity; or a financing by a debtor-in-possession in any insolvency proceeding;

(2) (3)

(4)

(5) (6)

(7) (xvii)

it is not a first loss tranche that does not have an S&P Rating (as defined in clause (i) of the definition of S&P Rating) that addresses the obligation of the obligor (or guarantor, if applicable) to pay principal of and interest on the relevant Collateral Debt Asset in full and is monitored on an ongoing basis by S&P and provided that an S&P Recovery Rate must be assigned to such first loss tranche by S&P and, for purposes of any determination pursuant to this clause, any Real Estate Interest will not be considered to be a first loss tranche; it is not a security that provides for the payment of interest in cash less frequently than semiannually; it is not a security with an S&P rating that includes a "p", "pi", "q", "r" or "t", subscript, unless Rating Agency Confirmation from S&P has been received with respect thereto; it is not a non-U.S. Dollar denominated security; if it is a Deemed Floating Rate Collateral Debt Asset, the Deemed Floating Asset Hedge entered into with respect to such Deemed Floating Rate Collateral Debt Asset conforms to all requirements set forth in the definition of "Deemed Floating Asset Hedge"; if it is a Deemed Fixed Rate Collateral Debt Asset, the Deemed Fixed Asset Hedge entered into with respect to such Deemed Fixed Rate Collateral Debt Asset conforms to all requirements set forth in the definition of "Deemed Fixed Asset Hedge"; it is not a Principal-Only Security; it is not an Interest-Only Security; and

(xviii) (xix) (xx) (xxi)

(xxii)

(xxiii) (xxiv)

A-16

(xxv)

is not an EETC Asset, a Catastrophe Bond, a Structured Settlement Asset, a Tax Lien Asset, a Tobacco Bond, a Healthcare Asset, a Mutual Fund Security or a CMBS Credit Tenant Lease Asset.

provided that, notwithstanding anything to the contrary herein, the Issuer may not purchase, acquire or hold (whether as part of a "unit" with a Collateral Debt Asset, in exchange for a Collateral Debt Asset or otherwise) (i) any asset that is or could be treated for U.S. federal income tax purposes as an equity interest in an entity that is treated as a "domestic partnership" under Section 7701(a)(30)(B) of the Code unless the Issuer has received advice from an internationally recognized counsel to the effect that the ownership of such assets will not subject the Issuer to net income tax or cause the Issuer to be treated as engaged in a trade or business in the United States for U.S. federal income tax purposes or (ii) any asset the gain from the disposition of which will be subject to U.S. federal income or withholding tax under Section 897 or Section 1445 of the Code and the Treasury Regulations promulgated thereunder. "Collateral Debt Assets" means, collectively, the Cash Assets, the Credit Linked Securities and the CDS Assets. "Collateral Interest Collections" means with respect to any Due Period and the related Monthly Payment Date or Quarterly Payment Date, as applicable, without duplication, the sum of (i) all cash payments of interest with respect to any Collateral Debt Assets and Eligible Investments included in the Collateral (including any Sale Proceeds representing unpaid interest accrued thereon (excluding any Purchased Accrued Interest) to the date of the sale thereof to the extent not applied to the purchase of Substitute Collateral Debt Assets or treated as Collateral Principal Collections, in each case, at the option of the Collateral Manager, but excluding any unpaid interest accrued on a Defaulted Asset or a Written Down Asset to the date of sale) which are received during the related Due Period, (ii) all cash payments, if any, of premiums paid by the CDS Asset Counterparty to the Issuer pursuant to the terms of a CDS Asset, (iii) without duplication, all payments on Eligible Investments purchased with Collateral Interest Collections, (iv) payments received from a Hedge Counterparty under any Hedge Agreement (excluding the payment made to the Issuer on the Closing Date under the Initial Interest Rate Hedge Agreement), including any payments received from a Hedge Counterparty upon reduction of the notional amount thereof to the extent not applied to the purchase of Substitute Collateral Debt Assets or treated as Collateral Principal Collections, in each case, at the option of the Collateral Manager and any termination payments (provided that so long as the Rated Notes are Outstanding, any termination payments received from a Hedge Counterparty will be used to enter into a substitute Hedge Agreement to the extent required to maintain the then-current rating of the Rated Notes by each Rating Agency), (v) all amendment and waiver fees, all late payment fees, all commitment fees, prepayments, penalties, exit fees, extension fees (to the extent not waived) and all other fees and commissions received during the related Due Period (other than fees and commissions received in connection with the purchase, sale, restructuring, workout or default of Collateral Debt Assets or in connection with Defaulted Assets or Written Down Assets), (vi) without duplication, the Principal Balance of any Eligible Investments purchased with Collateral Interest Collections, (vii) all accrued interest as of the Closing Date on Collateral Debt Assets purchased (or committed to be purchased) on the Closing Date, (viii) any amounts on deposit in the Interest Reserve Account, (ix) at the option of the Collateral Manager, amounts in excess of U.S.$50,000 on deposit in the Expense Reserve Account, (x) any amounts released from the Synthetic Asset Issuer Account, (xi) any payments received under a Short CDS Asset (including disposition proceeds) to the extent not classified as Collateral Principal Collections or retained in the Short CDS Assets Reserve Account at the discretion of the Collateral Manager and (xii) all proceeds from the foregoing; provided, however, that Collateral Interest Collections will not include the funds and other property (including, without limitation, the paid-up share capital of the Issuer) with respect to the Income Notes and the bank account in which such funds and the proceeds thereof are held; provided, further, that Collateral Interest Collections will not include principal of any Collateral Debt Asset representing capitalized interest after the date of purchase thereof by the Issuer. Notwithstanding the foregoing, no payments or proceeds received with respect to a Defaulted Asset or a Written Down Asset shall be deemed to be a Collateral Interest Collection except to the extent the aggregate amount of such payments and proceeds received after becoming a Defaulted Asset or a Written Down Asset, as applicable, exceeds the Principal Balance of such Collateral Debt Asset. "Collateral Management Agreement" means the Collateral Management Agreement, dated as of the Closing Date, between the Issuer and the Collateral Manager, as the same may be amended, restated or supplemented from time to time. A-17

"Collateral Management Fee" means the Senior Collateral Management Fee and the Subordinate Collateral Management Fee. "Collateral Manager" means Elliott Structured Products LLC and any successors or assigns. "Collateral Manager Information" means the information in this Prospectus under the captions "Risk Factors—Potential Conflicts of Interest Involving the Collateral Manager", "—Dependence on Key Personnel of the Collateral Manager" and "The Collateral Manager". "Collateral Principal Balance" means (i) prior to the Effective Date, U.S.$1,000,000,000 and (ii) after the Effective Date, the Aggregate Principal Balance of (a) Collateral Debt Assets included in the Collateral (including any Collateral Debt Assets that have become Defaulted Assets or Written Down Assets) and (b) Eligible Investments purchased with Collateral Principal Collections. "Collateral Principal Collections" means, with respect to any Due Period and the related Monthly Payment Date or Quarterly Payment Date, without duplication, the sum of (i) all principal payments (but excluding, at the option of the Collateral Manager, prepayment premiums, accrued interest received pursuant to an issuer tender, exchange, consent or similar solicitation) received during the related Due Period on the Collateral Debt Assets and, without duplication, Eligible Investments included in the Collateral (excluding Eligible Investments purchased with Collateral Interest Collections), in each case to the extent not previously reinvested in Substitute Collateral Debt Assets, (ii) all amounts received on Defaulted Assets and Written Down Assets during the related Due Period up to, in the aggregate, the Principal Balance of such Collateral Debt Assets, and all fees and commissions received in connection with such amounts received in connection with the sale, restructuring, workout or default of Collateral Debt Assets and Eligible Investments included in the Collateral, (iii) the proceeds of a sale of any Equity Security or Exchanged Equity Security received during the related Due Period, (iv) Sale Proceeds received during such Due Period (excluding those previously reinvested in Substitute Collateral Debt Assets and excluding accrued interest included in Collateral Interest Collections, in each case at the option of the Collateral Manager), (v) any Collateral Principal Collections remaining in the Collection Account as Available Funds at the end of the prior Due Period (other than payments on Eligible Investments purchased with Collateral Interest Collections and amounts consisting of any interest or other earnings on Eligible Investments purchased with funds in the Collection Account) to the extent not reinvested in Substitute Collateral Debt Assets, (vi) the amount deposited on the Closing Date in the Collection Account and treated as Collateral Principal Collections pursuant to the Indenture, (vii) any payments received from a Hedge Counterparty upon reduction of the notional amount of the related Hedge Agreement (excluding such payments previously reinvested in Substitute Collateral Debt Assets or included in Collateral Interest Collections, in each case, at the option of the Collateral Manager), (viii) all amounts in the Collection Account representing Purchased Accrued Interest, (ix) at the option of the Collateral Manager, an amount in excess of U.S.$50,000 on deposit in the Expense Reserve Account to the extent not included in Collateral Interest Collections, (x) any payments received under a Short CDS Asset and classified as Collateral Principal Collections at the discretion of the Collateral Manager, (xi) any amounts released from the Synthetic Asset Collateral Account, the Synthetic Reserve Account and the Class A-1R Notes Allocation Account and (xii) any other payments received with respect to the Collateral not included in Collateral Interest Collections; provided, however, that Collateral Principal Collections will include principal of any Collateral Debt Asset representing capitalized interest and any payments of interest on such capitalized interest after the date of purchase thereof by the Issuer but will not include the funds and other property (including, without limitation, the paid-up share capital of the Issuer) with respect to the Income Notes and the bank account in which such funds and the proceeds thereof are held. Notwithstanding the foregoing, Collateral Principal Collections shall include any other amounts not included in Collateral Interest Collections. "Collateral Quality Tests" means the Moody's Asset Correlation Test, the Moody's Maximum Weighted Average Rating Factor Test, the Moody's Minimum Weighted Average Recovery Rate Test, the Minimum Weighted Average Spread Test, the Minimum Weighted Average Fixed Rate Coupon Test, the Weighted Average Life Test, the S&P Minimum Recovery Rate Test and the S&P CDO Monitor Test. "Collateralization Event" means, provided that no Substitution Event has occurred, any of the following events: (i) the short-term rating of any Hedge Ratings Determining Party from Moody's is lower than "P-1" or is "P1" and has been placed on and is remaining on credit watch with negative implications by Moody's or the long-term A-18

so long as any Class C Notes are Outstanding. the sum of (i) the Collateral Interest Collections collected during the applicable Due Period and (ii) the Collateral Principal Collections collected during the applicable Due Period. all three of the Advance Swap. the long-term rating of such Hedge Ratings Determining Party from S&P is lower than "A+". direct or indirect. if the Hedge Ratings Determining Party does not have a short-term rating from S&P. provided. and then the Class C Notes voting as a single Class. "Controlling Class" shall mean the Class A-1R Notes. the payment of which is backed entirely by a combination of one or more classes of securities issued by a collateralized debt obligation issuer that are rated by a Rating Agency and one or more classes of securities issued by a collateralized debt obligation issuer that are not rated by any Rating Agency. (iv) at any time when the Advance Swap Termination Date has occurred.2(a).. and then (vi) at any time when the Class A-2 Notes are no longer outstanding. (ii) if no short-term rating is available from Moody's. the Class A-1T1 Notes. "Commission" means the United States Securities and Exchange Commission. (ii) and (iii). the Aggregate Class A-1R Commitment has been permanently reduced to zero and any Class A-1T1 Notes are Outstanding. voting as a single Class. fax number (312) 2640192. and then the Class A-4 Notes voting as a single Class. voting as a single Class. the Aggregate Class A-1R Commitment has not been permanently reduced to zero and any Class A-1T1 Notes are Outstanding. "Corporate Trust Office" means the designated corporate trust office of the Trustee. currently located at 181 West Madison Street. with respect to such assets. so long as any Class A-4 Notes are Outstanding. "Controlling Class" means (i) at any time when the Advance Swap Termination Date has not occurred. "Collections" means. Illinois 60602. the A-19 . telephone number (312) 904-7191. both the Class A-1R Notes and the Class A-1T1 Notes. (iii) at any time when the Advance Swap Termination Date has not occurred. the Class A-3 Notes voting as a single Class. the long-term rating of the Hedge Ratings Determining Party from Moody's is withdrawn. the Aggregate Class A-1R Commitment has not been permanently reduced to zero and any Class A-1T1 Notes are Outstanding. the Class A-1R Commitment has been permanently reduced to zero and no Class A-1T1 Notes are Outstanding. so long as any Class A3 Notes are Outstanding. or who provides investment advice for a fee. the Class A-2 Notes. Any determination by the Controlling Class when any class of Rated Notes is the Controlling Class shall be determined on the basis of the Aggregate Outstanding Amount of such Rated Notes. and then the Class B Notes voting as a single Class. Chicago. both of the Advance Swap and the Class A-1T1 Notes. solely in the case of an interest rate swap. voting as a single Class. that. or such other address as the Trustee may designate from time to time by notice to the Rated Noteholders. voting as a single Class. the Aggregate Class A-1R Commitment has been permanently reduced to zero and any Class A1T1 Notes are Outstanding. notwithstanding the foregoing in clauses (i). voting as a single Class. solely with respect to Section 5. voting as a single Class. with respect to any Payment Date. (ii) at any time when the Advance Swap Termination Date has occurred. so long as the Aggregate Class A-1R Commitment has not been terminated. 32nd Floor. suspended or downgraded below "Aa3" or is "Aa3" and has been placed on and is remaining on credit watch with negative implications by Moody's or (iii) the short-term rating of the Hedge Ratings Determining Party from S&P is lower than "A-1" or. "Combination Security" means a security.rating of the Hedge Ratings Determining Party from Moody's is withdrawn suspended or downgraded below "A1" or is "A1" and has been placed on and is remaining on credit watch with negative implications by Moody's. so long as any Class B Notes are Outstanding. "Controlling Person" means a Person other than a Benefit Plan Investor who has discretionary authority or control with respect to the assets of the Issuer. or an Affiliate of any such Person. (v) at any time when the Advance Swap Termination Date has occurred. however. the Class A-1R Notes and the Class A-1T1 Notes. "Commercial Mortgage Loan" means a loan evidenced by a promissory note or bond and secured by an instrument granting a first or second lien security interest on the fee or leasehold interest in one or more commercial or multifamily real properties. "Collection Account" means the Securities Account designated the "Collection Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture.

as of the date of the proposed sale thereof. has significantly improved in credit quality since the date of purchase by the Issuer. as the case may be. then such Collateral Debt Asset shall be considered a Credit Improved Asset only if (a) such Collateral Debt Asset has been upgraded by at least one rating subcategory by Moody's. (b) the economic terms of the Covered Short CDS Asset and the related Matching Long Position are identical (except for their Premium Amounts per annum). "Credit Linked Securities" means credit-linked notes or similar Synthetic Assets issued by a Credit Linked Security Issuer and having the characteristics set forth in Section 12. in the event that proceeds from the sales of any Short CDS Assets are used to enter into or purchase Covered Short CDS Assets after the Interest-Only Period. "Covered Short CDS Asset Additional Criteria" means.4(a). in the reasonable business judgment of the Collateral Manager. S&P or Fitch since it was purchased by the Issuer or has been placed on and is remaining. on a watch list for possible upgrade by Moody's. S&P or Fitch or (b) Holders of a Majority of the Controlling Class have notified the Collateral Manager in writing that it can treat any security as a Credit Improved Asset (provided that at least one such notification must. In no event shall a Credit Linked Security Issuer be a corporate entity. has significantly improved in credit quality since the date of purchase by the Issuer or (ii) (A) that has been upgraded at least one subcategory by Moody's. "Coverage Tests" means the Class A Coverage Tests. provided that if Moody's has withdrawn or reduced its (i) long-term ratings of any Class A Notes by one or more rating subcategory since the Closing Date (unless it subsequently has been upgraded or reinstated to at least the rating assigned on the Closing Date) or (ii) long-term ratings of any Class B Notes or Class C Notes by two or more rating subcategories since the Closing Date (unless it subsequently has been upgraded or reinstated to at least one subcategory below the rating assigned on the Closing Date). is simultaneously unwound. the following criteria that shall be satisfied as of the date of entry into or purchase of each such Covered Short CDS Asset: (a) the Premium Amount per annum on the related Matching Long Position is less than the Premium Amount per annum on the Covered Short CDS Asset. constitute a Credit Improved Asset hereunder. in the reasonable business judgment of the Collateral Manager. and (c ) neither the Covered Short CDS Asset nor the related Matching Long Position is permitted to be unwound unless the related Matching Long Position or Covered Short CDS Asset. "Coverage Cause Removal Notice" means notice by the Controlling Class to the Collateral Manager to the effect that due to a Class A Coverage Failure a Cause removal of the Collateral Manager is to occur (absent a cure of such Class A Coverage Failure within 30 days). the Collateral Manager and the Issuer or the principal corporate trust office of any successor Trustee. S&P or Fitch since it was acquired by the Issuer and (B) that. "Credit Linked Security Issuer" means a trust or similar special purpose entity that issues Credit Linked Securities. "Covered Short CDS Assets" means Short CDS Assets for which there are Matching Long Positions "Credit Event" has the meaning given in the related Synthetic Asset.Income Noteholders. provided further that a Synthetic Asset will also constitute a Credit Improved Asset if the Reference Obligation of such Synthetic Asset would. "Credit Improved Asset" means any Collateral Debt Asset (i) that. S&P or Fitch or put on a watch list for possible upgrade by Moody's. if such Reference Obligation were a Collateral Debt Asset. A-20 . be given to the Collateral Manager with respect to any such downgrade or withdrawal of a rating on the Notes). the Class B Coverage Tests and the Class C Coverage Tests. bank or financial institution or any other operating entity. but no more than one such notification need.

has a significant risk of declining in credit quality or. (x) the Rating Agencies and the Trustee are notified prior to the Issuer's entry into a Deemed Fixed Asset Hedge. as of any date of determination. be given to the Collateral Manager with respect to any such downgrade or withdrawal of a rating on the Notes) or (ii) that (A) at any time. if such Reference Obligation were a Collateral Debt Asset. the Deemed Fixed Spread plus the Deemed Fixed Rate. and will be provided with the identity of the Hedge Counterparty and copies of the hedge documentation and notional schedule. provided that if Moody's has withdrawn or reduced its (x) long-term ratings of any Class A Notes by one or more rating subcategory since the Closing Date (unless it subsequently has been upgraded or reinstated to at least the rating assigned on the Closing Date) or (y) long-term ratings of any Class B Notes or Class C Notes by two or more rating subcategories since the Closing Date (unless it subsequently has been upgraded or reinstated to at least one rating subcategory below the rating assigned on the Closing Date) then either (a) such Credit Risk Asset has been downgraded by at least one rating subcategory or been put on a watch list for possible downgrade by Moody's. in the reasonable business judgment of the Collateral Manager. (i) with respect to any Collateral Debt Asset which is a Fixed Rate Collateral Debt Asset. constitute a Credit Risk Asset hereunder. becoming a Defaulted Asset or a Written Down Asset. an interest rate swap having a notional schedule equal to the Principal Balance thereof as it is reduced by expected amortization of such Floating Rate Collateral Debt Asset over time. "Current Spread" means. the Spread on such Floating Rate Collateral Debt Asset and (ii) with respect to any Collateral Debt Asset which is a Deemed Floating Rate Collateral Debt Asset. "Current Portfolio" means the portfolio (measured by Principal Balance) of (a) the Pledged Collateral Debt Assets and the proceeds of the disposition thereof held as cash and (b) Eligible Investments purchased with proceeds of the disposition of Pledged Collateral Debt Assets. as applicable. with lapse of time.. provided that (w) at the time of entry into the Deemed Fixed Asset Hedge. A-21 . and provided further that the Issuer must obtain Rating Agency Confirmation before terminating such Deemed Fixed Asset Hedge. as the case may be. with respect to a Floating Rate Collateral Debt Asset. S&P or Fitch since it was acquired by the Issuer or (b) Holders of a Majority of the Controlling Class have notified the Collateral Manager in writing that it could treat any Collateral Debt Asset as a Credit Risk Asset (provided that at least one such notification must."Credit Risk Asset" means any Collateral Debt Asset (i) that. (y) such Deemed Fixed Asset Hedge will require Rating Agency Confirmation from S&P to the extent the applicable master agreement or schedule attached thereto is not a Form-Approved Hedge Agreement and (z) such Deemed Fixed Asset Hedge is priced at then-current market rates. "Custodian" means LaSalle Bank National Association. since the date of purchase by the Issuer. has a significant risk of declining in credit quality and. is a Written-Down Asset and (B) since the date of purchase by the Issuer. provided further that a Synthetic Asset will also constitute a Credit Risk Asset if the Reference Obligation of such Synthetic Asset would. the stated rate at which interest accrues on such Fixed Rate Collateral Debt Asset and (ii) with respect to any Collateral Debt Asset which is a Deemed Fixed Rate Collateral Debt Asset. "Deemed Fixed Asset Hedge" means. as custodian under the Account Control Agreement. "Credit Support Annex" means. maturity or other disposition of a Pledged Collateral Debt Asset or immediately prior to the acquisition of a Pledged Collateral Debt Asset. "Current Interest Rate" means. the ISDA Credit Support Annex to a Hedge Agreement between the applicable Hedge Counterparty and the Issuer. with lapse of time. (i) with respect to any Collateral Debt Asset which is a Floating Rate Collateral Debt Asset. as of any date of determination. the Deemed Floating Rate plus the Deemed Floating Spread. "Daily Official List" means the Daily Official List of the Irish Stock Exchange. in the reasonable business judgment of the Collateral Manager. (i) the expected principal payments on such Floating Rate Collateral Debt Asset comprising a Deemed Fixed Rate Collateral Debt Asset will not extend beyond 10 years after the effective date thereof and (ii) the scheduled notional amount of such Deemed Fixed Asset Hedge is equal to the expected principal amount of the related Floating Rate Collateral Debt Asset (as calculated at such time). becoming a Defaulted Asset or a Written-Down Asset. each related to such Deemed Fixed Rate Collateral Debt Asset. each related to such Deemed Floating Rate Collateral Debt Asset. existing immediately prior to the sale. but no more than one such notification need.

"Deemed Floating Spread" means the difference between the stated rate at which interest accrues on each Fixed Rate Collateral Debt Asset that comprises a Deemed Floating Rate Collateral Debt Asset (excluding all Defaulted Assets and Deferred Interest PIK Bonds) and the Fixed Payment Rate. "Deemed Fixed Rate Collateral Debt Asset" means a Floating Rate Collateral Debt Asset the interest rate of which is hedged into a Fixed Rate Collateral Debt Asset interest rate using a Deemed Fixed Asset Hedge. as applicable. (i) the expected principal payments on the Fixed Rate Collateral Debt Asset comprising a Deemed Floating Rate Collateral Debt Asset will not extend beyond 10 years after the effective date thereof and (ii) the scheduled notional amount of such Deemed Floating Asset Hedge is equal to the expected principal amount of the related Fixed Rate Collateral Debt Asset (as calculated at such time). and provided further that the Issuer must obtain Rating Agency Confirmation before terminating such Deemed Floating Asset Hedge. provided that. (w) at the time of entry into the Deemed Floating Asset Hedge. "Default" means any Event of Default or any occurrence that. "Defaulted Asset" means any Collateral Debt Asset or any other security included in the Collateral: (i) as to which (a) the issuer thereof has defaulted in the payment of principal or interest (without giving effect to any applicable notice or grace period or waiver. (y) such Deemed Floating Asset Hedge will require Rating Agency Confirmation from S&P to the extent the applicable master agreement or schedule attached thereto is not a Form-Approved Hedge Agreement and (z) such Deemed Floating Asset Hedge is priced at then-current market rates. and will be provided with the identity of the proposed hedge counterparty and copies of the hedge documentation and notional schedule. pursuant to its Underlying Instruments. if any. with notice or the lapse of time or both."Deemed Fixed Rate" will equal the fixed rate that the Hedge Counterparty agrees to pay on the applicable Deemed Fixed Asset Hedge at the time such Hedge Agreement is executed. provided that at the time of entry into the Deemed Fixed Asset Hedge (x) the Average Life of such Deemed Fixed Rate Collateral Debt Asset would not increase or decrease by more than one year from its expected average life if it were to prepay at either 50% or 200% of its pricing speed and (y) such Deemed Fixed Rate Collateral Debt Asset is rated at least investment grade by at least one of the Rating Agencies. "Deemed Floating Rate" means the floating rate in excess of LIBOR or such other floating rate index. with A-22 . "Deemed Fixed Spread" means the Spread over LIBOR on each Floating Rate Asset that comprises a Deemed Fixed Rate Collateral Debt Asset (excluding all Defaulted Assets and Deferred Interest PIK Bonds) less the amount of such Spread. would become an Event of Default. "Deemed Floating Asset Hedge" means. that the Hedge Counterparty agrees to pay on the Deemed Floating Rate Asset Hedge at the time such Hedge Agreement is executed. with respect to a Fixed Rate Collateral Debt Asset. required to be paid to the Hedge Counterparty. unless the Collateral Manager certifies to the Trustee that in the Collateral Manager's reasonable business judgment such default of up to the lesser of (x) three (3) Business Days and (y) the grace period provided for in the Underlying Instruments is due to non-credit and non-fraud related reasons and the Collateral Manager has so certified in writing to the Trustee) or (b) notwithstanding anything in clause (i)(a) above. "Deemed Floating Rate Collateral Debt Asset" means a Fixed Rate Collateral Debt Asset the interest rate of which is hedged into a Floating Rate Collateral Debt Asset using a Deemed Floating Asset Hedge. provided that at the time of entry into the Deemed Floating Asset Hedge (x) the Average Life of such Deemed Floating Rate Collateral Debt Asset would not increase or decrease by more than one year from its expected average life if it were to prepay at either 50% or 200% of its pricing speed and (y) such Deemed Floating Rate Collateral Debt Asset is rated at least investment grade by one of the Rating Agencies. an interest rate swap having a scheduled notional amount equal to the Principal Balance as it is reduced by expected amortization of such Fixed Rate Collateral Debt Asset over time. (x) the Rating Agencies and the Trustee are notified prior to the Issuer's entry into a Deemed Floating Asset Hedge. there has occurred any default or event of default which entitles the holders thereof.

unless. of the lesser of (i) the product of the Principal Balance of such Defaulted Asset and the Applicable Recovery Rate of such Defaulted Asset (which shall equal zero for any Collateral Debt Asset which is a Defaulted Asset for a continuous period of three (3) years) and (ii) the product of the Principal Balance of such Defaulted Asset and the Market Value of such Defaulted Asset. the credit quality of the issuer of such Collateral Debt Asset has significantly deteriorated such that there is a reasonable expectation of payment default as of the next scheduled distribution date. A-23 . or (iv) (a) if such Collateral Debt Asset has been rated "CC" (other than a Deferred Interest PIK Bond). the related issuer has been rated "D" or "SD" by S&P or if S&P has withdrawn its rating. provided that such Collateral Debt Asset will not be considered a Defaulted Asset if S&P has given a confirmation to the effect that it will not be considered a Defaulted Asset by S&P or (b) if such Collateral Debt Asset has been rated "Ca" or lower by Moody's. that such Other Indebtedness of such issuer will not include series of such Other Indebtedness that may be issued or owing by a separate special purpose entity) if such issuer had defaulted in the payment of principal or interest in respect of such Other Indebtedness (without giving effect to any applicable notice or grace period or waiver. in the Collateral Manager's reasonable business judgment. "Defaulted Assets Amount" means the sum.notice or passage of time or both. with respect to each Defaulted Asset in the Collateral. after due inquiry. Notwithstanding the foregoing definition. that the issuer thereof is (or is reasonably expected by the Collateral Manager to be. "D" or "SD" by S&P or if. insolvency or receivership proceeding has been initiated in respect of the issuer of such Collateral Debt Asset. will continue to make such current payments of interest in cash (provided that no restructuring has been effected) or (y) in the case of any other default or event of default. in the case of a default or event of default consisting of a failure of the obligor on such security to make required interest payments. however. the Collateral Manager may declare any Collateral Debt Asset to be a Defaulted Asset if. will continue to make such current payments of interest in cash. such Other Indebtedness has resumed current payments of interest (including all accrued interest) in cash (whether or not any waiver or restructuring has been effected) and. provided. such default or event of default is no longer continuing and such security satisfies the Eligibility Criteria for inclusion of securities in the definition of "Collateral Debt Asset". such security has resumed current payments of interest in cash (including all accrued interest) and. as of the next scheduled distribution date) in default (without giving effect to any applicable grace period or waiver) as to payment of principal and/or interest on another obligation (and such default has not been cured or waived) which is senior or pari passu in right of payment to such Collateral Debt Asset. in the Collateral Manager's reasonable business judgment. unless the Collateral Manager certifies to the Trustee that in the Collateral Manager's reasonable business judgment such default of up to the lesser of (x) three (3) Business Days and (y) the grace period provided for in the Underlying Instruments is due to non-credit and non-fraud related reasons and the Collateral Manager has so certified in writing to the Trustee). mandatory redemption or otherwise) of all or a portion of the outstanding principal amount of such security. with respect to any Guaranteed Debt Asset. (ii) that ranks pari passu with or subordinate to any other indebtedness for borrowed money owing by the issuer of such security (for purposes hereof. provided that a security will be considered a Defaulted Asset pursuant to this clause (ii) only if the Collateral Manager knows. (iii) with respect to which any bankruptcy. to accelerate the maturity (whether by mandatory prepayment. in the reasonable business judgment of the Collateral Manager either (A) amounts to a diminished financial obligation or (B) has the purpose of helping the issuer to avoid default. unless (x) in the case of a default or event of default consisting of a failure of the obligor on such security to make required interest payments. in the Collateral Manager's reasonable business judgment. "Other Indebtedness". or there has been proposed or effected any distressed exchange or other debt restructuring where the issuer of such Collateral Debt Asset has offered the debt holders a new security or package of securities that.

constitute a "Defaulted Asset" under clauses (i). which Person shall be designated not later than 120 days after the Closing Date by (i) the Advance Swap Counterparty and (ii) Holders of a Super-Majority of the Class A-1R Notes and the Class A-1T1 Notes. in the case of a Synthetic Asset. "Defaulted Synthetic Termination Payments" means any termination payment made on a Monthly Payment Date pursuant to the Priority of Payments required to be made by the Issuer to a CDS Asset Counterparty pursuant to the agreement relating to a CDS Asset in the event of a termination of such agreement in respect of which such CDS Asset Counterparty is the Defaulting Party or sole Affected Party (each as defined in the applicable agreement). if no Class B Notes are Outstanding. (i) below 92% of its original Principal Balance if such Reference Obligation is a Floating Rate Collateral Debt Asset or (ii) below 85% of its original Principal Balance if such Reference Obligation is a Fixed Rate Collateral Debt Asset. in respect of any Class B Note or. in respect of any Class C Note and any interest on such Defaulted Interest that (in each case) is not punctually paid or duly provided for on the applicable Quarterly Payment Date (including the applicable Stated Maturity Date) of the applicable Rated Note. A-24 . if no Class A Notes are Outstanding. it will no longer be classified as a Discount Collateral Debt Asset if it (or. if such Reference Obligation were a Collateral Debt Asset. such Deliverable Obligation shall meet the definition of "Eligibility Criteria" or "Eligible Investments. was purchased at a purchase price below 80% of its original Principal Balance and (2) if it has a Moody's Rating of "Aa3" or higher. the related Reference Obligation) maintains a Market Value at or above 85% of its original Principal Balance for 60 consecutive Business Days and (y) if such Collateral Debt Asset has a Moody's Rating of "Aa3" or higher. "Deliverable Obligation" means an obligation delivered to the Issuer in connection with the physical settlement of a CDS Asset. at the time of the entry into such Synthetic Asset. was purchased at a purchase price (i) below 92% of its original Principal Balance if it is a Floating Rate Collateral Debt Asset or (ii) below 85% of its original Principal Balance if it is a Fixed Rate Collateral Debt Asset or (b) a Synthetic Asset for which. "Deferred Interest PIK Bond Amount" means the sum with respect to each Deferred Interest PIK Bond of the lesser of (1) the product of the Principal Balance of such Deferred Interest PIK Bond and the Applicable Recovery Rate of such Deferred Interest PIK Bond and (2) the product of the Principal Balance of such Deferred Interest PIK Bond and the Market Value of such Deferred Interest PIK Bond. provided. "Deferred Interest PIK Bond" means a PIK Bond with respect to which interest has been deferred and capitalized for each consecutive payment date occurring over a period of the lesser of (i) six months or (ii) one payment date. but only until such time as payment of interest on such PIK Bond has resumed and all capitalized and deferred interest has been paid in cash in accordance with the terms of the Underlying Instruments. (iii) or (iv) of the definition thereof. provided that (x) if such Collateral Debt Asset has a Moody's Rating below "Aa3". "Designated Financial Insurer" means the Person (if any) that provides credit protection to Holders of all or part of one more Classes of Rated Notes. (ii). provided that a PIK Bond with a Moody's Rating of at least "Baa3" will not be a Deferred Interest PIK Bond unless the deferral of payment of interest thereon has existed for the lesser of (i) a period of one year and (ii) two consecutive payment dates. "Discount Collateral Debt Asset" means (a) a Collateral Debt Asset (other than a Synthetic Asset) that (1) if it has a Moody's Rating below "Aa3". that as of the date on which the Issuer enters into such CDS Asset. the Market Value of the related Reference Obligation is (1) below 80% of its original Principal Balance if such Reference Obligation has a Moody's Rating below "Aa3" and (2) if such Reference Obligation has a Moody's Rating of "Aa3" or higher. in the case of a Synthetic Asset. the related Reference Obligation) (i) is a Floating Rate Collateral Debt Asset and maintains a Market Value at or above 95% of its original Principal Balance for 60 consecutive Business Days or (ii) is a Fixed Rate Collateral Debt Asset and maintains a Market Value at or above 90% of its original Principal Balance for 60 consecutive Business Days. "Defaulted Synthetic Asset" means a Synthetic Asset referencing a Reference Obligation that would."Defaulted Interest" means any interest due and payable in respect of any Class A Note or. it will no longer be classified as a Discount Collateral Debt Asset if it (or.

(i) with respect to any Monthly Payment Date. the next following Business Day) and (ii) with respect to any Quarterly Payment Date. "Due Period" means. provided. "Eligible Investments" means any U. engines or spare parts and which. then such payment will be deemed to have been received during the Due Period in which such nominal due date falls if such payment is timely made in accordance with the related Underlying Instrument. is senior in all respects to all other debt obligations of the obligor thereon or issuer thereof. other than Defaulted Assets. is one or more of the following obligations or securities. further.S. provided that in each of clauses (x). however. then such payment will be deemed to have been received during the Due Period in which such nominal due date falls (without giving effect to any Business Day adjustment) and (z) if the payment date on a Pay-As-You-Go Synthetic Asset is in a later Due Period than if the Issuer owned the related Reference Obligation by virtue of any payment delay in such Synthetic Asset. in the case of the Due Period relating to the first Monthly Payment Date. together with any Collateral Principal Collections received on or prior to such date and the aggregate amount of unpaid interest accrued thereon prior to the respective dates of purchase thereof is at least equal to the Aggregate Effective Date Par Amount. provided. without limitation. (y) and (z). and (y) if the nominal due date for any payment on any Collateral Debt Asset or Eligible Investment is on or before the twenty-fifth (25th) calendar day of the month but such date occurs on a day during a Due Period that is not a business day under the applicable Underlying Instrument and as a result such payment is paid and received in the following Due Period. with respect to Synthetic Assets. Dollar-denominated investment that. the period commencing on the day immediately following the last day of the Due Period related to the immediately preceding Quarterly Payment Date (or. the period commencing on the day immediately following the last day of the Due Period related to the immediately preceding Monthly Payment Date (or. that (x) if the nominal due date for any payment on any Collateral Debt Asset or Eligible Investment occurs on a day during a Due Period that is not a business day under the applicable Underlying Instrument and as a result such payment is paid and received in the following Due Period. then such payment shall be deemed to have been received in such earlier Due Period. in the case of the Due Period relating to the first Quarterly Payment Date. that. "Eligibility Criteria" has the meaning given in the definition of Collateral Debt Asset. in the case of the Due Period that is applicable to the Quarterly Payment Date relating to the Stated Maturity of the Notes. commencing on the Closing Date) and ending on the twenty-fifth (25th) calendar day of the month immediately prior to the month in which such Monthly Payment Date occurs (without giving effect to any Business Day adjustment thereto solely for the purposes of determining in which month such Monthly Payment Date occurs) (or. if such day is not a Business Day."Discount Collateral Debt Asset Amount" means an amount equal to the aggregate of the original purchase prices paid by the Issuer for each Discount Collateral Debt Asset included in the Collateral. "Effective Date" means the date that is the earlier of (i) the 105th day following the Closing Date and (ii) the first day on which the Aggregate Principal Balance of the Pledged Collateral Debt Assets purchased by the Issuer (including. commencing on the Closing Date) and ending on the twenty-fifth (25th) calendar day of the month immediately prior to the month in which such Quarterly Payment Date occurs (without giving effect to any Business Day adjustment thereto solely for the purposes of determining in which month such Quarterly Payment Date occurs) (or. "Effective Date Class A-1 Note Proportion" means the Class A-1 Note Proportion on the Effective Date. those investments for which the Trustee or an Affiliate of the Trustee provides services: A-25 . payment is actually received no later than two Business days prior to the related Monthly Payment Date or Quarterly Payment Date. the Aggregate CDS Asset Notional Amount). such Due Period shall end on the day preceding such Stated Maturity. including. "EETC Asset" means an enhanced equipment trust certificate (howsoever described in the Underlying Instruments relating thereto) relating to a form of secured corporate bonds issued by an airline and collateralized by a pool of aircraft. at the time it is delivered to the Trustee. if such day is not a Business Day. Written Down Assets. by the terms of the Underlying Instruments relating thereto. the next following Business Day). as applicable. Deferred Interest PIK Bonds and the aggregate Principal Balance of PIK Bonds (other than Deferred Interest PIK Bonds). "Due Date" means each date on which a Distribution is due on a Pledged Asset.

or federal funds sold by any depository institution or trust company (including the Trustee) incorporated under the laws of the United States of America or any state thereof and subject to the supervision and examination by federal and/or state banking authorities so long as the commercial paper and/or debt obligations of such depository institution or trust company (or. the holding company of such system). bankers' acceptances payable within 183 days of issuance issued by. if rated by the Rating Agencies. and registered obligations the timely payment of principal of and interest on which is fully and expressly guaranteed by. interest bearing trust accounts and certificates of deposit of. has not been placed on a watch list for possible downgrade) by Moody's and (y) "A-1+" by S&P (other than overnight deposits issued or sold by. in the case of commercial paper and short-term debt obligations with a maturity of longer than ninety-one (91) days. in the case of a principal depository institution in a holding company system. (d) registered securities other than mortgage-backed securities bearing interest or sold at a discount issued by any corporation incorporated under the laws of the United States of America or any state thereof that have a credit rating of "AA+" by S&P and "Aa2" by Moody's at the time of such investment or contractual commitment providing for such investment. the issuer thereof must have at the time of such investment a long-term credit rating of not less than "Aa3" (and if rated "Aa3". the Trustee. the United States of America. the commercial paper or debt obligations of such holding company) at the time of such investment or contractual commitment providing for such investment have a credit rating of: (i) in the case of long-term debt obligations (x) not less than "Aa2" (and if rated "Aa2". or (ii) in the case of commercial paper and short-term debt obligations including time deposits.(a) cash. so long as LaSalle (1) remains the trustee and (2) is rated "A-1" and is not on credit watch with negative implications from S&P) provided that. or maintained with. however. in the case of the principal depository institution in a holding company system. that in the case of commercial paper with a maturity of longer than 91 days. (f) commercial paper or other short-term obligations having at the time of such investment a credit rating of "A-1+" by S&P and "P–1" by Moody's that are registered and are either bearing interest or are sold at a discount from the face amount thereof and that have a maturity of not more than 183 days from its date of issuance. in each case. and (y) not less than "AA+" by S&P. provided. must have at the time of such investment a long-term credit rating of at least "AA+" by S&P and "Aa2" by Moody's. (e) unleveraged repurchase obligations with respect to any security described in clause (b) above. the issuer thereof must also have at the time of such investment a long-term credit rating of not less than "AA+" by S&P. provided that. has not been placed on a watch list for possible downgrade) by Moody's. or any agency or instrumentality of the United States of America the obligations of which are backed by the full faith and credit of the United States of America. has not been placed on a watch list for possible downgrade) by Moody's. (c) demand and time deposits in. entered into with a depository institution or trust company (acting as principal) described in clause (c) or entered into with a corporation (acting as principal) whose short-term debt has a credit rating of "A1+" by S&P and "P–1" by Moody's at the time of such investment in the case of any repurchase obligation for a security having a maturity not more than 183 days from the date of its issuance or whose long-term debt has a credit rating of at least "AA+" by S&P and "Aa2" by Moody's at the time of such investment in the case of any repurchase obligation for a security having a maturity more than 183 days from the date of its issuance. A-26 . (b) direct registered obligations of. (x) "P-1" (and if rated "P-1". the issuer of such commercial paper (or.

any other investments with respect to which Rating Agency Confirmation has been provided. "Euroclear" means Euroclear Bank S. Luxembourg or any other jurisdiction that is commonly used as the place of organization of special or limited purpose vehicles that issue Asset-Backed Securities (so long as Rating Agency Confirmation is obtained in connection with the inclusion of such other jurisdiction) generally imposing either no or nominal taxes on the income of companies organized under the laws of such jurisdiction. if such security is subject to withholding taxes (unless the issuer thereof is required to provide gross-up payments with respect thereto). including those investments for which the Trustee or an Affiliate of the Trustee provides services: (a) any Liquid Security which (i) pays a floating rate of interest. "t" "p".S. at the time of such investment. however. Africa. Ireland. and (y) none of the foregoing obligations or securities will constitute Eligible Investments if all. "Eligible SPV Jurisdiction" means any of Bahamas. if such security is subject to an offer at the time of acquisition. and (h) received. provided that an issuer of ABS Securities or CDO Assets organized or incorporated in an Eligible SPV Jurisdiction will not be an Emerging Market Issuer for purposes hereof if the underlying collateral of such ABS Securities or CDO Assets consists primarily of (x) obligations of obligors organized or incorporated in the United States and (y) obligations of obligors organized or incorporated in Eligible SPV Jurisdictions.A/N. if such security is purchased at a price in excess of 100% of par. A-27 . "Emerging Market Issuer" means a sovereign or non-sovereign issuer organized or incorporated in a country that is in Latin America. if such security is subject to substantial non-credit related risk.(g) offshore money market funds with respect to any investments described in clauses (b) through (f) above having. if rated by Moody's. that (x) Eligible Investments purchased with funds in the Collection Account will be held until maturity except as otherwise specifically provided herein and will include only such obligations or securities as mature no later than the Business Day prior to the Quarterly Payment Date next succeeding the date of investment in such obligations or securities. as determined by the Collateral Manager in its reasonable business judgment. or if such security has an assigned rating with an "r". "Equity Security" means any security (other than an Interest Only Security or Principal Only Security) that does not entitle the holder thereof to receive periodic payments of interest and one or more installments of principal. Eastern Europe or the Caribbean or in a country the Dollardenominated obligations of which are rated lower than "Aa2" (or are rated "Aa2" and are on credit watch with negative implications) by Moody's and lower than "AA" by S&P. "pi" or "q" subscript or if such security is a mortgage-backed security.. or disposition of the obligation or security will subject the Issuer to net income tax in any jurisdiction. or substantially all. and (iii) satisfies any additional conditions or restrictions set forth in the Synthetic Collateral Agreement. is one or more of the following obligations or securities. the Channel Islands. dollar-denominated investment that. if the acquisition (including the manner of acquisition). the British Virgin Islands. as operator of the Euroclear system.V. Asia. "Exchange Act" means the United States Securities Exchange Act of 1934. at the time it is delivered to the Trustee. a credit rating of not less than "AAAm or AAAmG" by S&P and "Aa2" by Moody's (including those for which the Trustee is Collateral Manager or advisor). as amended. "Eligible Synthetic Collateral Assets" means any U. the Netherlands Antilles. or (b) any obligation or security that satisfies the definition of Eligible Investments. "Excess Funds" means all remaining Collateral Interest Collections and Collateral Principal Collections after payment of clauses (B)(1) through (B)(25) of the Priority of Payments. Bermuda. ownership. the Cayman Islands. (ii) has ratings of at least "AA-" by S&P and "Aa3" by Moody's. enforcement. of the remaining amounts payable thereunder will consist of interest and not principal payments.

provided that the Collateral Manager may reclassify any Floating Rate Collateral Debt Asset as a Fixed Rate Collateral Debt Asset if Rating Agency Confirmation from S&P is received with respect to such reclassification. the Collateral Manager and the Trustee which shall be applicable to any Synthetic Assets entered into or acquired subsequent to such withdrawal or amendment. Each Synthetic Asset entered into on the Closing Date shall be considered for all purposes hereof to be a Form-Approved CDO Synthetic Asset Agreement. "Fee Basis Amount" means an amount equal. Each Synthetic Asset entered into on the Closing Date shall be considered for all purposes hereof to be a FormApproved ABS Synthetic Asset Agreement. "Floating Rate Collateral Debt Asset" means any Collateral Debt Asset (or Reference Obligation with respect to a Synthetic Asset). for any Quarterly Payment Date. "FICO Score" means the credit score developed by Fair Isaac & Co. the interest rate on which resets pursuant to an index after the date of purchase by the Issuer. amounts payable from time to time by the related CDS Asset Counterparty to the Issuer equal to an agreed credit spread for the related Reference Obligation. "Fixed Rate Collateral Debt Asset" means any Collateral Debt Asset (or the Reference Obligation with respect to a Synthetic Asset) which is not a Floating Rate Collateral Debt Asset. no provision providing for Implied Writedowns or Implied Writedown Reimbursement Amounts (each as defined in the Pay-As-You-Go Confirmation) shall be permitted. the Collateral Manager and the Trustee which shall be applicable to any Synthetic Assets entered into or acquired subsequent to such withdrawal or amendment. for determining the likelihood that credit users will pay their bills. to the average of the Collateral Principal Balance (excluding the aggregate Principal Balance of Defaulted Assets) on the first day of the related Due Period and the aggregate Collateral Principal Balance (excluding the aggregate Principal Balance of Defaulted Assets) on the last day of such Due Period. provided that. "Form-Approved ABS Synthetic Asset Agreement" means a Synthetic Asset referencing one or more ABS Securities as Reference Obligations and with respect to which the form of Pay-As-You-Go Confirmation can be entered into without any action by the Rating Agencies and which conforms in all material respect to a form of Synthetic Asset approved by the Rating Agencies. "Form-Approved CDO Synthetic Asset Agreement" means a Synthetic Asset referencing one or more CDO Assets as Reference Obligations and with respect to which the form of Pay-As-You-Go Confirmation can be entered into without any action by the Rating Agencies and which conforms in all material respect to a form of Synthetic Asset approved by the Rating Agencies. Failure to Pay Principal or Interest Shortfall (each as defined in the related Synthetic Asset) and interest thereon from the time of the relevant loss on the Reference Obligation thereunder. "Fixed Amount" means. for purposes of determining payments thereunder. "Expense Reserve Account" means the Securities Account designated the "Expense Reserve Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. "Floating Amounts" means. provided further that the Rating Agencies may withdraw or amend such approval at any time upon written notice to the Issuer. the date that is forty (40) days after such Temporary Regulation S Global Note has been transferred to the then-current Holder. A-28 . provided that the Rating Agencies may withdraw or amend such approval at any time upon written notice to the Issuer. "Fixed Payment Rate" means the fixed rate that the Issuer agrees to pay on the Deemed Floating Asset Hedge at the time such Hedge Agreement is executed. provided that the Collateral Manager may reclassify any Fixed Rate Collateral Debt Asset as a Floating Rate Collateral Debt Asset if Rating Agency Confirmation from S&P is received with respect to such reclassification. with respect to each Temporary Regulation S Global Note. with respect to any CDS Asset. with respect to any CDS Asset."Exchange Date" means. amounts payable from time to time by the Issuer to the related CDS Asset Counterparty in respect of a Writedown.

"Future Advance Security" means a security that by the terms of its Underlying Instrument obligates the issuer to make future advances or other payments (other than in respect of the purchase price of such security) in respect of the financing arrangement evidenced by such security. Each Synthetic Asset entered into on the Closing Date shall be considered for all purposes hereof to be a Form-Approved Single Tranche Synthetic Asset Agreement. provided that the Rating Agencies may withdraw or amend such approval at any time upon written notice to the Issuer. "Gross Spread Excess" means. "Global Notes" means the Rule 144A Global Notes. as the context requires. "Form-Approved Hedge Agreement" means a Deemed Fixed Asset Hedge or a Deemed Floating Asset Hedge with respect to which (a) the related Fixed Rate Collateral Debt Asset or any Floating Rate Collateral Debt Asset could be purchased by the Issuer without any required action by the Rating Agencies and (b) the documentation of which conforms in all material respects to a form which has been approved by the Rating Agencies for such purpose. if any. as of any Measurement Date. any Collateral Debt Asset that is currently deferring interest and the Written Down Amount of any Written Down Asset) in the portfolio as of such Measurement Date. provided that the Rating Agencies may withdraw or amend such approval at any time upon written notice to the Issuer. of the Weighted Average Spread for such Measurement Date over the Minimum Weighted Average Spread for such Measurement Date and (b) the aggregate Principal Balance of all Floating Rate Collateral Debt Assets or Deemed Floating Rate Collateral Debt Assets (excluding any Defaulted Asset. (iv) the Form-Approved Single Tranche Synthetic Asset Agreement or (v) any other form of PayAs-You-Go Confirmation that can be entered into without any action by the Rating Agencies and which conforms in all material respects to a form of Synthetic Asset approved by the Rating Agencies. the Collateral Manager and the Trustee which shall be applicable to any Synthetic Assets entered into or acquired subsequent to such withdrawal or amendment. as of any Measurement Date. the Collateral Manager and the Trustee which shall be applicable to any Synthetic Assets entered into or acquired subsequent to such withdrawal or amendment. Each Synthetic Asset entered into on the Closing Date shall be considered for all purposes hereof to be a Form-Approved CDX Synthetic Asset Agreement. "Gross Fixed Rate Excess" means. if any. "Form-Approved Single Tranche Synthetic Asset Agreement" means a Synthetic Asset referencing one or more corporate obligors or a bespoke tranche of a portfolio of corporate obligors and with respect to which the form of confirmation can be entered into without any action by the Rating Agencies and which conforms in all material respects to a form of Synthetic Asset approved by the Rating Agencies. A-29 . either individually or collectively. the Regulation S Global Notes and the Regulation S Global Income Notes. any Collateral Debt Asset that is currently deferring interest and the Written Down Amount of any Written Down Asset) in the portfolio as of such Measurement Date. the Collateral Manager and the Trustee which shall be applicable to any Synthetic Assets entered into or acquired subsequent to such withdrawal or amendment. provided that the Rating Agencies may withdraw or amend such approval at any time upon written notice to the Issuer. (ii) the Form-Approved CDO Synthetic Asset Agreement. the Collateral Manager and the Trustee which shall be applicable to any subsequent Hedge Agreements. an amount equal to the product of (a) the greater of zero and the excess."Form-Approved CDX Synthetic Asset Agreement" means a Synthetic Asset referencing the movements of an actively-traded index of corporate obligors (including any tranched risk on such index) as Reference Obligations and with respect to which the form of confirmation can be entered into without any action by the Rating Agencies and which conforms in all material respect to a form of Synthetic Asset approved by the Rating Agencies. (iii) the Form-Approved CDX Synthetic Asset Agreement. of the Weighted Average Fixed Rate Coupon for such Measurement Date over the Minimum Weighted Average Fixed Rate Coupon for such Measurement Date and (b) the aggregate Principal Balance of all Fixed Rate Collateral Debt Assets or Deemed Fixed Rate Collateral Debt Assets (excluding any Defaulted Asset. an amount equal to the product of (a) the excess. "Form-Approved Synthetic Asset Agreement" means any of (i) the Form-Approved ABS Synthetic Asset Agreement. provided that the Rating Agencies may withdraw or amend such approval at any time upon written notice to the Issuer.

"Hedge Collateral" means any cash. if rated "Aa3". that unconditionally and absolutely guarantees (with the form of such guarantee meeting S&P's then-current criteria with respect to guarantees) the obligations of the Hedge Counterparty or such transferee. under the Hedge Agreement. with respect to any Hedge Ratings Determining Party: (a) either (i) both (x) the short-term rating of such Hedge Ratings Determining Party by Moody's is not lower than "P–1" and. "Healthcare Assets" means Collateral Debt Assets that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from leases and subleases of equipment to hospitals. "Hedge Counterparty" means with respect to each Hedge Agreement. nonhospital medical facilities. the longterm rating of such Hedge Ratings Determining Party by S&P is not lower than "A+". or controlled by. or under common control with. A-30 . interest rate swap agreements. has not been placed and be remaining on credit watch with negative implications and (y) the long-term rating of such Hedge Ratings Determining Party by Moody's is not withdrawn. suspended or downgraded below "A1" or. has not been placed and is not remaining on credit watch with negative implications and (b) either (i) the short-term rating of such Hedge Ratings Determining Party is not lower than "A–1" by S&P or (ii) solely in the case of an Interest Rate Hedge Agreement. or (b) any Affiliate of such Hedge Counterparty or any transferee thereof. securities or other collateral delivered and/or pledged by any Hedge Counterparty to or for the benefit of the Issuer. "Hedge Counterparty Ratings Requirement" means. if rated "A1". "Hedge Agreements" means the Initial Interest Rate Hedge Agreement and any other interest rate cap agreements. if rated "P–1". For the purpose of this definition. without limitation. a counterparty that satisfies the Hedge Counterparty Ratings Requirement and any substitute or additional parties therefore appointed in accordance with the Indenture. the long-term rating by Moody's of such Hedge Ratings Determining Party is at least "Aa3" and. interest rate floor agreements. any upfront payment of cash or delivery of securities made by any Hedge Counterparty to satisfy or secure its payment obligations pursuant to the terms of the related Hedge Agreement. "Hedge Termination Receipts Account" means the Securities Account designated the "Hedge Termination Receipts Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. shall be deemed to constitute a guarantee. no direct or indirect recourse against one or more shareholders of any Hedge Counterparty or any such transferee (or against any Person in control of. any such shareholder). "Hedge Replacement Account" means the Securities Account designated the "Hedge Replacement Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. "Hedge Ratings Determining Party" means (a) unless clause (b) applies with respect to any Hedge Agreement. has not been placed and be remaining on credit watch with negative implications or (ii) if such Hedge Ratings Determining Party has no short-term rating from Moody's."Guaranteed Debt Asset" means a Bank Guaranteed Asset or an Insurance Company Guaranteed Asset. physicians and physician groups for use in the provision of healthcare services. if such Hedge Ratings Determining Party does not have a short-term rating from S&P. the applicable Hedge Counterparty or any transferee thereof. "Hedge Counterparty Collateral Account" means each Securities Account designated the "Hedge Counterparty Collateral Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. Deemed Floating Asset Hedges or Deemed Fixed Asset Hedges (including related confirmations) or similar agreements entered into to hedge the Issuer's interest rate exposure. as the case may be. including. security or support of the obligations of the applicable Hedge Counterparty or any such transferee.

"Income Notes" means the U.000 (such sum to be prorated based upon the actual number of days in any applicable period). (B)(5)(a) and (B)(8)(a) of the Priority of Payments and (iv) for purposes of calculating the Class B Interest Coverage Test and the Class C Interest Coverage Test. the price bid by a Listed Bidder shall be the Dollar amount determined by the Trustee based on its review of the bids. the Co-Issuer and the Trustee.S. Cashflow Swap Agreements and Short CDS Assets). 2007. "Income Notes Stated Amount" means U. as the same may be amended or supplemented from time to time. A-31 . "Income Note Registrar" means LaSalle Bank National Association.S. In each case. (v) the expected interest income on Floating Rate Collateral Debt Assets and Eligible Investments will be calculated using the then-current interest rate applicable thereto. 2006. in its capacity as initial purchaser of the Rated Notes."Highest Auction Price" means the greater of (a) the highest price bid by any Listed Bidder for all of the Collateral Debt Assets and (b) the sum of the highest prices bid by one or more Listed Bidders for each Subpool. the Person in whose name such Income Note is registered in the Income Note Register. the Interest Coverage Amount will exclude any interest accrued on any Written Down Amount. (ii) Aggregate Fees and Expenses will not include any amounts payable pursuant to clause (B)(3) of the Priority of Payments in excess of U. "Initial Purchaser" means Citigroup. among the Issuer. an amount equal to (a) the amount received or scheduled to be received as Collateral Interest Collections during the related Due Period.000 Income Notes Due 2046. "Indenture" means that certain Indenture. "Income Noteholder" means.01% of the Collateral Principal Balance as of the first day of the related interest Period plus (b) $25. (iii) scheduled Collateral Interest Collections will not include any amount scheduled to be received on Defaulted Assets. "Initial Monthly Payment Date" means the Monthly Payment Date occurring on November 6. "Income Note Register" means. with respect to the Income Notes. dated as of the Closing Date.000 in the aggregate in any consecutive 12-month period. and any successors or assigns in its capacity as Income Note Registrar under the Income Note Issuing and Paying Agency Agreement.$13. "Interest Coverage Amount" means. any amounts scheduled to be paid to the Interest Reserve Account on the related Quarterly Payment Date. (vi) a Synthetic Asset will be included as a Collateral Debt Asset having the characteristics of such Synthetic Asset and not the underlying Reference Obligation and (vii) with respect to any Written Down Asset.500. "Initial Quarterly Payment Date" means the Quarterly Payment Date occurring on January 5. as of any date of determination. which determination shall be binding and conclusive. with respect to any Income Note. "Interest Coverage Ratio" means the Class A Interest Coverage Ratio. and any successors or assigns in its capacity as Income Note Issuing and Paying Agent under the Income Note Issuing and Paying Agency Agreement.500. provided that (i) Aggregate Fees and Expenses will not include any amounts paid pursuant to clause (B)(2) of the Priority of Payments in any consecutive 12-month period in excess of the sum of (a) 0.$195. "Income Note Issuing and Paying Agent" means LaSalle Bank National Association. (iii) any amounts payable pursuant to clauses (B)(4)(a)(i). (ii) any amounts paid or scheduled to be paid to the Hedge Counterparties. less (b)(i) the amount payable as Aggregate Fees and Expenses on the related Quarterly Payment Date. the Class B Interest Coverage Ratio and the Class C Interest Coverage Ratio.000. the Cashflow Swap Counterparties and the Short CDS Asset Counterparties on the related Quarterly Payment Date (excluding any termination payment under any Hedge Agreements. (iv) scheduled Collateral Interest Collections will not include any amount scheduled to be received on securities that are currently deferring interest until such amounts are actually received in cash. the Income Note Register maintained by the Income Note Registrar.$13.S.

in its capacity as listing agent for the Notes in Ireland. as of any date. the period beginning on the first day following the end of the preceding Interest Period and ending on (and including) the day before the next Monthly Payment Date and (ii) (a) with respect to the Initial Quarterly Payment Date. with respect to any CDS Asset. "Inverse Floating Rate Security" means any floating rate security whose interest rate is inversely proportional to an interest rate index.S. with respect to each Class of Notes. if any. the Class A-4 Notes. "IRR" means an annualized internal rate of return on the Income Notes. the aggregate amount of Semi-Annual Pay Asset Interest Reserve Amounts. the Class A-3 Notes. the Class B Interest Coverage Test and the Class C Interest Coverage Text.000. with respect to each Monthly Payment Date (in the case of the Advance Swap and the Class A-1 Notes). the Class B Notes and the Class C Notes).000. "Interest Period" means (i) (a) with respect to the Initial Monthly Payment Date. The "IRR" will. "Issue Price" means. "Interest Reserve Amount" means. the first price at which a substantial amount of Notes of such Class are sold to investors. calculated using the "XIRR" function in Microsoft Excel.S. or an equivalent function in another software package. (ii) the Calculation Date on which a Class A Coverage Failure has occurred or (iii) the occurrence of a Key Manager Departure. the period beginning on the first day following the end of the preceding Interest Period and ending on (and including) the day before the next Quarterly Payment Date. be equal to the per annum discount rate at which the sum of the following cash flows is equal to zero (assuming discounting as of each Quarterly Payment Date on the basis of a 365 day year and actual days elapsed). calculated from the Closing Date: (1) the original aggregate principal amount of the Income Notes issued on the Closing Date (which will be deemed to be negative for purposes of this calculation) and (2) the amount of each distribution. "Interest-Related Amount" means. Internal Revenue Service. "Interim Compliance Date" means October 31. "IRS" means the U. with respect to each Quarterly Payment Date (in the case of the Class A-2 Notes. 2006."Interest Coverage Test" means the Class A Interest Coverage Test. "Interest-Only Period" means the period beginning on the Closing Date and ending on the earliest of (i) the Quarterly Payment Date occurring in October 2011. with respect to Collateral Debt Assets. "Irish Listing Agent" means NCB Stockbrokers Limited. on the Income Notes on each Quarterly Payment Date (which will be deemed to be positive for such purposes). as of any Calculation Date. the period from and including the Closing Date to but excluding the Initial Quarterly Payment Date and (b) thereafter. "Irish Note Paying Agent" means NCB Stockbrokers Limited. A-32 . in its capacity as the paying agent for the Notes in Ireland. Collateral Debt Assets issued by the same issuer.$880. any Premium Amount or CDS Interest Reimbursement payable by a CDS Asset Counterparty to the Issuer and any CDS Interest Payment payable by the Issuer to a CDS Asset Counterparty. "Interest-Only Security" means any security that by its terms provides for periodic payments of interest and does not provide for the repayment of a stated principal amount. "Interim Compliance Date Par Amount" means U. the period from and including the Closing Date to but excluding the Initial Monthly Payment Date and (b) thereafter. "Issue" means.

the bid-side market value obtained from the Collateral Manager from one nationally recognized broker/dealer that is Independent from the Collateral Manager. "London Banking Day" means any day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in London. (d) fourth. as the case may be. the Advance Swap Counterparty as counterparty with respect to an amount equal to 100% of the Advance Swap Notional Amount. all voting as one single class. in connection with a Key Manager Departure. however. the "Market Value" of such Collateral Debt Asset will be the lower of (1) the value of such Collateral Debt Asset as determined by the Collateral Manager in good faith and in the exercise of its commercially reasonable judgment and (2) the S&P Recovery Rate for such Collateral Debt Asset. "Key Managers" means Steve Kasoff and Charles Schorin (or if Steve Kasoff or Charles Schorin have been replaced with one or more Approved Replacement Persons. provided. then all three such Key Managers cease to be employed on a substantially full-time basis in a senior management position by the Collateral Manager (or by any of its successors or assigns permitted pursuant to this Agreement) and (iii) if there are four Key Managers. the Holders of more than 50% of the Aggregate Outstanding Amount of the Rated Notes of such Class or Classes of Rated Notes. "Key Manager Event" means. (c) third. the lower of two bid-side market values thereof obtained by the Collateral Manager from nationally recognized broker/dealers that are Independent from the Collateral Manager and from each other. multiplied by the original Principal Balance of such Collateral Debt Asset. each of Steve Kasoff and Charles Schorin ceases to be employed on a substantially full-time basis in a senior management position by the Collateral Manager (or by any of its successors or assigns permitted pursuant to this Agreement). then more than two Key Managers cease to be employed on a substantially full-time basis in a senior management position by the Collateral Manager (or by any of its successors or assigns permitted pursuant to this Agreement). as the case may be. or (e) fifth. nationally recognized pricing service for the relevant type of Collateral Obligation (provided that Rating Agency Confirmation shall have been received with respect to such service from S&P) and as certified by the Collateral Manager as being obtained from such source. further. "Margin Stock" means "margin stock" as defined under Regulation U issued by the Board of Governors of the Federal Reserve System. "Majority" means (a) with respect to the Advance Swap. the average of three or more bid-side market values thereof obtained by the Collateral Manager from nationally recognized broker/dealers that are Independent from the Collateral Manager and from each other. and (d) with respect to the Income Notes. if the Collateral Manager is unable in good faith to obtain bid-side prices on such Collateral Debt Asset pursuant to any of subclauses (a) through (d) above. "Market Value" means. on any date of determination for which the related Collateral Debt Asset requires a Market Value. provided. the establishment of one or more additional Approved Replacement Persons that cause the total number of Key Managers to be not less than two. (b) second. if the Collateral Manager is in good faith unable to obtain bid-side prices from three such broker/dealers. the occurrence of a Key Manager Departure and the absence of a Key Manager Departure Cure for a period of four months."Key Manager Departure" means (i) if Steve Kasoff and Charles Schorin are the only Key Managers.0% of the CDS Principal Balance. that (a) if the Aggregate Principal Balance of the Collateral Debt Assets for which the Market Value is determined pursuant to clause (e) at any time exceeds A-33 . (b) with respect to any Class or Classes of Rated Notes. the Holders of more than 50% of the aggregate Principal Balance of the Outstanding Income Notes. the Advance Swap Counterparty as counterparty as to respect to the amount equal to 100% of the Advance Swap Notional Amount and the Holders of more than 50% of the Aggregate Outstanding Amount of the Rated Notes of such Class or Classes of Rated Notes. (c) with respect to the Advance Swap and any Class or Classes of Rated Notes. "Key Manager Departure Cure" means. if the Collateral Manager is in good faith unable to obtain bid-side prices from two such broker/dealers. and any additional Key Managers selected pursuant to the Collateral Management Agreement. (ii) if there are three Key Managers. such Approved Replacement Person). that the Aggregate Principal Balance of the Collateral Debt Assets for which the Market Value is determined pursuant to clause (e) shall not at any time exceed 10. an amount determined using the first available (or required) of the following methods: (a) first. the price supplied therefor by any Independent.

90%. "Moody's Asset Correlation" means a single number that is determined in accordance with the correlation methodology provided to the Collateral Manager and the Trustee by Moody's. without limitation. "Matching Long Positions" means securities or other instruments which provide to the holders of such securities or other instruments credit exposure that is the opposite of the credit exposure of the applicable Covered Short CDS Assets. then the Market Value of such excess shall equal zero and (b) the Market Value of any Collateral Debt Asset for which clause (e) would otherwise be applicable (and excluding. provided that the calculation of the Moody's Asset Correlation Test is based on a number of assets equal to 150. has the same CUSIP number as the applicable Covered Short CDS Asset). or such other service as may be nominated as the information vendor. provided that interest on the Advance Swap and the Class A-1 Notes shall accrue to such next Business Day. "Moody's" means Moody's Investors Service. but which are substantially similar to such Covered Short CDS Assets in terms of credit ratings.0% of the CDS Principal Balance. "Moody's Asset Correlation Test" means a test that will be satisfied as of any Measurement Date if the Moody's Asset Correlation (rounded to the nearest whole number) as of such date is less than or equal to 21. "Master Agreement" means the ISDA Master Agreement that may be in the form of a 1992 ISDA Master Agreement (Multicurrency – Cross Border) or any successor form published by ISDA. if such Matching Long Position is an ABS Security. payment tranches. A-34 . counterparties and other main economic terms (and. 0. "Minimum Weighted Average Spread Test" means a test that will be satisfied as of any time of determination if the Weighted Average Spread is equal to or greater than the Minimum Weighted Average Spread. "Minimum Weighted Average Fixed Rate Coupon Test" means a test that will be satisfied on any Measurement Date if the Weighted Average Fixed Rate Coupon as of such date equals or exceeds the Minimum Weighted Average Fixed Rate Coupon. "Minimum Weighted Average Spread" means. as of any date of determination. as of any date of determination. together with the schedule and any credit support annexed thereto and one or more confirmations thereunder. any determination of "Market Value" for which clauses (a) through (d) is applicable) shall equal zero to the extent that the Market Value of such Collateral Debt Asset has been determined pursuant to subclause (e) for more than 30 days. "Minimum Weighted Average Fixed Rate Coupon" means. "Market Value CDO Assets" means CDO Assets with respect to which the coverage ratios are exclusively determined by reference to the market value of the underlying portfolio of investments as prescribed by the applicable rating agencies. the next Business Day. beginning on the Initial Monthly Payment Date and occurring on a monthly basis thereafter. for the purposes of displaying rates comparable to LIBOR).53%. and if such date is not a Business Day.10. "Monthly Payment Date" means the 5th day of each month. "Moneyline Telerate Page 3750" means the display page so designated on Moneyline Telerate Service (or such other page as may replace that page on that service. Inc.00%. and any successor or successors thereto. a rate equal to 5. Moody's Maximum Weighted Average Rating Factor Test" means a test that will be satisfied as of any Measurement Date if the Moody's Weighted Average Rating Factor as of such date is less than or equal to 52. "Measurement Date" means each Business Day after the Closing Date that the Issuer commits to purchase a Collateral Debt Asset and each Calculation Date.

the Moody's Rating thereof shall be: (i) a deemed rating determined by the Collateral Manager based on running Moody's model for 30 days or until Moody's formally rates such Synthetic Asset. the Moody's Rating applicable to such Collateral Debt Asset shall be two rating subcategories above the Moody's Rating applicable to such Collateral Debt Asset immediately prior to such Collateral Debt Asset being placed on such watch list. then the Moody's Rating applicable to such Collateral Debt Asset shall be one rating subcategory below the Moody's Rating applicable to such Collateral Debt Asset immediately prior to such Collateral Debt Asset being placed on such watch list or (B) the current rating is less than "Aaa". will be as determined by Moody's. with respect to any Collateral Debt Asset. A-35 . and (5) with respect to any Form-Approved ABS Synthetic Asset Agreement or Form-Approved CDO Synthetic Asset Agreement. "Moody's Rating". then the Moody's Rating applicable to such Collateral Debt Asset shall be two rating subcategories below the Moody's Rating applicable to such Collateral Debt Asset immediately prior to such Collateral Debt Asset being placed on such watch list. (3) the rating of any Rating Agency used to determine the Moody's Rating pursuant to clause (ii) above shall be a published rating that addresses the obligation of the obligor to pay principal of and interest on the relevant Collateral Debt Asset in full and is monitored on an ongoing basis by the relevant Rating Agency. means the rating by Moody's that addresses the repayment of principal and payment of interest determined as follows: (i) if such Collateral Debt Asset is publicly rated by Moody's. (2) if a Collateral Debt Asset is placed on a watch list for possible downgrade by Moody's. provided that a rating of "Aa1" shall be increased to "Aaa". provided that: (1) if a Collateral Debt Asset is placed on a watch list for possible upgrade by Moody's."Moody's Minimum Weighted Average Recovery Rate Test" means a test that will be satisfied as of any Measurement Date if the Moody's Weighted Average Recovery Rate as of such date is greater than or equal to 43. the Moody's Rating shall be determined by the Moody's Rating Factor of (or such other numeric rating factor as Moody's may apply with respect to) the related Reference Obligation. the Moody's Rating shall be the rating so assigned by Moody's. (ii) the Moody's Rating Factor of (or such other numeric rating factor as Moody's may apply with respect to) the Reference Obligation or (iii) otherwise determined as specified by Moody's at the time such Synthetic Asset is acquired. the Moody's Rating shall be such rating. if such security is not eligible for notching. but the Issuer or the Collateral Manager on behalf of the Issuer has requested that Moody's assign a rating to such Collateral Debt Asset. and (A) the current rating is "Aaa". then the Moody's Rating of such Collateral Debt Asset will be determined using Moody's published notching criteria then applicable at the time such Collateral Debt Asset is acquired (unless the Collateral Manager elects to use the criteria in effect at the time such rating is assigned) or.00%. if such Collateral Debt Asset is not publicly rated by Moody's. and (6) with respect to any Synthetic Asset other than those referred to in clause (5) above. or. (ii) if such Collateral Debt Asset is not publicly rated by Moody's and no rating has been assigned by Moody's to such Collateral Debt Asset pursuant to a request from the Issuer or the Collateral Manager. (4) the Aggregate Principal Balance of Collateral Debt Assets that are subject to Moody's published notching criteria may not exceed 10% of the Aggregate Principal Balance of all Collateral Debt Assets.

and (3) the collection of brokerage fees and costs can vary substantially from the contractual payment schedule (if any). provided.500 8. and the Trustee.350 1. For purposes of the denominator of the calculation of Moody's Weighted Average Rating Factor."Moody's Rating Factor" means. generally having the following characteristics: (1) the brokerage arrangements have standardized payment terms and require minimum payments. the Moody's Rating Factor shall be determined as specified by Moody's at the time such Synthetic Asset is acquired by the Issuer. "Mutual Fund Securities" means Asset-Backed Securities that entitle the holders thereof to receive payments that depend on the cashflow from a pool of brokerage fees and costs relating to various mutual funds. as applicable. "Moody's Weighted Average Rating Factor" means the number obtained by (i) summing the products obtained by multiplying the Principal Balance of the Collateral Debt Assets (other than Defaulted Assets) assigned each Moody's Rating as set forth in the definition of "Moody's Rating Factor" by the Moody's Rating Factor for such Moody's Rating and (ii) dividing such sum by the aggregate Principal Balance of all such Collateral Debt Assets (other than Defaulted Assets) and rounding to the nearest whole number. the number set forth in the table below opposite the Moody's Rating of such Collateral Debt Asset: Moody's Rating Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Moody's Rating Factor Moody's Rating Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca or lower Moody's Rating Factor 1 10 20 40 70 120 180 260 360 610 940 1.000 With respect to any Synthetic Asset.070 10. solely in the person in whose name the Global Note is registered in the Note Register). (2) the brokerage fees and costs arise out of numerous mutual funds and accordingly represent a diversified pool of credit risk. the Principal Balance of any Deferred Interest PIK Bond will be deemed to equal its outstanding principal amount. "Moody's Weighted Average Recovery Rate" means the number obtained by summing the products obtained by multiplying the Principal Balance of each Collateral Debt Asset (other than a Defaulted Asset) by its Moody's Recovery Rate. however. by Moody's that applies to the category of security which best describes such Collateral Debt Asset on such date.766 2. A-36 . assigned. with respect to any Collateral Debt Asset.490 4. "Moody's Recovery Rate" means the recovery rate published. with the collection depending on numerous factors specific to the particular mutual funds.220 2.770 6. the Principal Balance of any Deferred Interest PIK Bond will be deemed to equal its outstanding principal amount. the right to which will be vested. "Note Interest Reserve Account" means the Securities Account designated the "Note Interest Reserve Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. with respect to any Global Note. For purposes of the denominator of the calculation of Moody's Weighted Average Recovery Rate. interest rates and general economic matters. each person that appears on the records of a Clearing Agency (other than each such Clearing Agency to the extent that it is an accountholder with the other Clearing Agency for the purpose of operating the "bridge" between them) as entitled to a particular amount of Notes by reason of an interest in a Global Note (for all purposes other than with respect to the payment of principal of and interest on the Notes. "Note Owner" means. or. dividing such sum by the aggregate Principal Balance of all such Collateral Debt Assets and rounding up to the first decimal place.720 3. if not published. as against the Issuer and the Co-Issuer.

par value U. modify or waive any provision of such security or any related Underlying Instrument.that the Trustee may conclusively rely upon the certificate of a Clearing Agency as to the identity of such persons holding an interest in a Global Note. of an attorney at law admitted to practice before the highest court of any state of the United States or the District of Columbia (or the Cayman Islands. and the Noteholder may be treated by the Co-Issuers and the Trustee (and any agent of any of the foregoing) as the owner of such Global Notes for all purposes whatsoever. except as otherwise expressly provided in the Indenture. "Opinion of Counsel" means a written opinion addressed to the Trustee and each Rating Agency (each. collectively. (a) with respect to the Issuer and any corporation. any Trust Officer. redeemed. any and all Income Notes theretofore issued and allotted under the Income Note Issuing and Paying Agency Agreement and listed as Outstanding in the Income Note Register other than the Income Notes cancelled. exchanged or replaced in accordance with the terms of the Indenture and (ii) with respect to the Income Notes as of any date of determination. subject to such reasonable regulations as it may prescribe. with respect to the Issuer or the Co-Issuer. with respect to any security. "Note Transfer Agent" means LaSalle Bank National Association. at the direction of the Holders of a Super-Majority of the Income Notes. the Chairman of the Board of Directors (or. in accordance with the procedures. "Note Paying Agents" means the Principal Note Paying Agent and the Irish Note Paying Agent. the Rated Notes and the Income Notes. in whole but not in part. (a) any offer by the issuer of such security or by any other Person made to all of the holders of such security to purchase or otherwise acquire such security (other than pursuant to any redemption in accordance with the terms of the related Underlying Instruments) or to convert or exchange such security into or for cash.00 per share issued by the Issuer. and (b) with respect to any bank or trust company acting as trustee of an express trust or as custodian. with respect to any Note. "Offer" means. described in the Indenture. the person in whose name such Note is registered. exchanged or replaced in accordance with the terms of the Income Note Issuing and Paying Agency A-37 . the Treasurer or an Assistant Treasurer of such entity. in the case of an opinion relating to the laws of the Cayman Islands). any Vice President. Note Owners or Agent Members will have no rights under the Indenture with respect to Global Notes. "Note Register" means a register that is kept at the specified office of the Note Registrar in which. be inside or outside counsel for the Issuer. "Officer" means. any director). which attorney may. as transfer agent under the Indenture. "Optional Redemption" means a redemption of the Rated Notes. "Note Registrar" means LaSalle Bank National Association. "Ordinary Shares" means the 250 ordinary shares. redeemed.$1. the Co-Issuer or the Collateral Manager and which attorney shall be reasonably satisfactory to the Trustee.S. provided that. "Notes" means. Whenever an Opinion of Counsel is required hereunder. "Noteholder" or "Holder" means. the Co-Issuers will provide for the initial registration of the Rated Notes and the registration of transfers of the Rated Notes. "Outstanding" means (i) with respect to the Notes as of any date of determination. such Opinion of Counsel may rely on opinions of other counsel who are so admitted and so satisfactory which opinions of other counsel shall accompany such Opinion of Counsel and shall either be addressed to each Recipient or shall state that each Recipient shall be entitled to rely thereon. as registrar under the Indenture. any and all Notes theretofore authenticated and delivered under the Indenture other than Notes cancelled. an Assistant Secretary. securities or any other type of consideration or (b) any solicitation by the issuer of such security or any other Person to amend. in form and substance reasonably satisfactory to each Recipient. the President. and subject to the satisfaction of the conditions. the Secretary. a Recipient). on or after the Quarterly Payment Date occurring in October 2009.

The Trustee shall be entitled to receive and rely upon a certificate from the Collateral Manager with respect to any Notes held by it. as of the first day of such Interest Period (after giving effect to any payment of principal) on such Class on such first day at the Applicable Periodic Interest Rate. without limitation. "Partners" means with respect to the Collateral Manager. or by an account or fund for which the Collateral Manager acts as Collateral Manager. as applicable. the Class A-1T2 Payment Amount. limited partnership. "Payment Account" means the Securities Account designated the "Payment Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. any Knowledgeable Employees of the Collateral Manager. unincorporated organization or government or any agency or political subdivision thereof or any similar entity. "Package Trade" means a trade in which multiple Collateral Debt Assets (including Short CDS Assets) are purchased and/or sold within five (5) Business Days of the same "trade date" (regardless of whether the settlement dates are the same). the Class A-2 Payment Amount. "Person" means any individual. any of its Affiliates. (b) settlement of all Collateral Debt Assets bought and sold pursuant to such Package Trade shall occur within 30 Business Days of the respective trade date (c) only one Package Trade shall take place at any given time and (d) the Collateral Manager shall provide the Trustee with notice of such Package Trade. A-38 . association. as the case may be. corporation. "Physical Settlement Payment" means a payment made by the Issuer to a CDS Counterparty upon such CDS Counterparty's election of physical settlement with respect to all or a portion of the notional amount of the applicable CDS Asset. the Class A-1T1 Payment Amount. provided that if any such Notes have been pledged in good faith. they will be considered Outstanding if the pledgee establishes to the satisfaction of the Trustee the pledgee's right to act with respect to such Note and that the pledgee is not the Issuer or any other obligor upon the Notes. as applicable). joint stock company. any interest on any Class B Cumulative Deferred Interest Amount or Class C Cumulative Deferred Interest Amount. those persons who are members of the Collateral Manager from time to time. as applicable.Agreement. "Paying Agents" means. Notes owned by the Issuer shall be disregarded and deemed not to be Outstanding. the Class B Payment Amount or the Class C Payment Amount. limited liability partnership. "Outstanding Principal Draw Amount" means any Used Advance Swap Amount that was drawn for the purpose of making a CDS Loss Payment or a CDS Asset Issuer Termination Payment (other than a Subordinated CDS Asset Termination Payment). payable on each Monthly Payment Date or Quarterly Payment Date. other than as specifically stated in the Collateral Management Agreement. the Class A-3 Payment Amount. provided that in case of clause (i) and (ii). provided that (a) Collateral Debt Assets with aggregate Principal Balances of no more than 10% of the Collateral Principal Balance shall be purchased and/or sold pursuant to such Package Trade. joint venture. the Class A-4 Payment Amount. and accruing during each Interest Period on the Aggregate Outstanding Amount of each Class of Notes and any Class B Cumulative Deferred Interest Amount or Class C Cumulative Deferred Interest Amount. limited liability company. "Periodic Interest" means interest on each Class of Notes (including. as the context may require. the Note Paying Agent and the Income Note Issuing and Paying Agent. trust (including any beneficiary thereof). any Notes held or beneficially owned by the Collateral Manager. partnership. collectively. any if its Affiliates. "Payment Amount" means the Class A-1R Payment Amount. any Knowledgeable Employee of the Collateral Manager or by an account or fund for which the Collateral Manager acts as the collateral manager with discretionary authority will be disregarded with respect to any vote or consent relating to the termination of the Collateral Manager or any amendment or modification to the Indenture which increases the rights or decreases the obligations of the Collateral Manager.

00% Column B a Moody's Rating below "A3" or a S&P Rating below "A-" a Moody's Rating of "A1" or below or a S&P Rating of "A+" or below CDO Downgraded Asset part of the same issue Collateral Debt Assets for which the Collateral Manager serves as collateral manager or investment advisor.00% 2.00% 10. in each case. as determined by the Collateral Manager using assumptions consistent with its calculation of the Average Life for each Collateral Debt Asset. in each row in the table below. any Collateral Debt Asset that has been Granted to the Trustee and has not been released from the lien of the Indenture. with a Moody's Rating of "A1" or below or a S&P Rating of "A+" or below. Row 1 2 3 4 5 6 7 8 Column A 0% 40.00% 6.00% 2. provided that one 9 10 11 12 13 14 15 40. unless otherwise stated. For purposes of calculating the Portfolio Percentage Limitations. "Portfolio Expected Maturity" means the earliest date. permits the payment of interest thereon to be deferred and capitalized as additional principal thereof or that issues identical securities in place of payments of interest in cash.50% 2.00% 1.50% 0.00% 5. not more than the percentage or amount specified in Column A of such row of the aggregate Collateral Principal Balance of all the Collateral Debt Assets may consist of Collateral Debt Assets (measured by Principal Balance) having the characteristics specified in Column B of such row. on which every Collateral Debt Asset (other than a Defaulted Asset or a Deferred Interest PIK Bond) is expected to have a Principal Balance of zero. "Pledged Collateral Debt Asset" means as of any date of determination.00% 4.50% of the Collateral Principal Balance CDO Assets CDO Assets with a Moody's Rating of "A1" or below or a S&P Rating of "A+" or below CLO Assets CDO High Yield Assets that are not CLO Assets CDO Assets that are also PIK Bonds CDO Assets that are also PIK Bonds but are not CLO Assets with a Moody's Rating of "A1" or below and a S&P Rating of "A+" or below any single CDO Asset that is also a PIK Bond but is not a CLO Asset. Defaulted Assets shall be excluded. The Portfolio Percentage Limitations will be applicable on and after the Effective Date. Equity Securities and the Eligible Investments that have been Granted to the Trustee and (b) all non-cash proceeds thereof. to the extent not released from the lien of the Indenture pursuant hereto.00% 5. "Pledged Assets" means on any date of determination.50% 1."PIK Bond" means any Collateral Debt Asset that. "Portfolio Percentage Limitations" require that. (a) the Collateral Debt Assets.00% 8. pursuant to the terms of the related Underlying Instruments. provided that up to three exceptions may each comprise up to 1.50% A-39 . provided that the Moody's Rating shall be "Aa3" or higher Collateral Debt Assets managed by a single collateral manager part of the same issue with a Moody's Rating below "Aaa" or a S&P Rating below "AAA" part of the same issue with a Moody's Rating below "Aa3" or a S&P Rating below "AA-".

00% 0.00% 10. provided that no Collateral Debt Asset may mature later than 10 years after the Stated Maturity Date.50% 20.A. Aggregate of Fixed Rate Collateral Debt Assets non-LIBOR Floating Rate Collateral Debt Assets (and Deemed Floating Collateral Debts Assets) Semi-Annual Pay Assets not publicly rated by Moody's and no rating has been assigned by Moody's not publicly or privately rated by S&P CDS Assets Credit Linked Securities that have counterparties with a Moody's Rating of "Aaa" or below or a S&P Rating of "AAA" or below Credit Linked Securities that have counterparties with a Moody's Rating of "Aa2" or below or a S&P Rating of "AA" or below Credit Linked Securities that have counterparties with a Moody's Rating below "Aa2" or a S&P Rating below "AA" Credit Linked Securities that have counterparties with a Moody's Rating below "A3" or a S&P Rating below "A-" paying interest less frequently than monthly Collateral Debt Assets that are not RMBS Assets.00% 20.00% 2.00% 40.00% 0.00% 10.00% 3.00% 7. Countrywide Financial Corporation and their respective subsidiaries Serviced by any single servicer with a servicer rating of "Weak" by S&P Serviced by any single servicer that does not have a servicer rating by S&P issued by obligors or issuers that are incorporated or organized in a jurisdiction outside the United States of America and outside an Eligible SPV Jurisdiction Maturing beyond the Stated Maturity Date.A.00% 5.00% 45.00% 3.00% 10.exception may comprise up to 1.00% A-40 .00% 8. the other rating shall be either a Moody's Rating of "Aa3" or higher or a S&P Rating of "AA-" or higher Static Bespoke CDO Assets Static Bespoke CDO Assets that reference corporate obligors and mature later than September 2018 CMBS Assets Serviced by Wells Fargo Bank.00% 4.00% 15.00% of the Collateral Principal Balance 16 17 18 19 3. N.00% 15. ABS Credit Card 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 15.00% 2. (and its subsidiaries) Serviced by Countrywide Financial Corporation (and its subsidiaries) ABX Assets for each actively-traded index Serviced by any single servicer other than Wells Fargo Bank.00% 40. CMBS Assets.00% 15.00% 10. provided that for each such Static Bespoke CDO Asset.00% CDO Emerging Market Assets Short CDS Assets Static Bespoke CDO Assets with remaining term to maturity exceeding 9 years and with a S&P Rating above "AA-" Static Bespoke CDO Assets with a single rating of either a Moody's Rating of "A1" or below or a S&P Rating of "A+" or below.00% 5.50% 4..00% 5. N.

00% Subprime RMBS Assets CDO Assets and Subprime RMBS Assets Subprime RMBS Assets with a rating from Moody's of "A1" or below or a S&P Rating of "A+" or below Negative Amortization Assets with a Moody's Rating higher than or equal to "Aa3" or a S&P Rating higher than or equal to "AA-" Negative Amortization Assets with a Moody's Rating below "Aa3" or a S&P Rating below "AA-" Cap Corridor Floaters CDO Squared Assets CDO Trust Preferred Assets CDO Trust Preferred Assets with a Moody's Rating below "Aa3" or a S&P Rating below "AA-" Static Bespoke CDO Assets and Cap Corridor Floaters For purposes of determining compliance with the Portfolio Percentage Limitations.00% 3. Written Down Assets. the Reduced Principal Balance. Automobile Lease Securities or Automobile Loan Securities 43 44 45 46 47 48 49 50 51 52 40. the Principal Balance thereof for purposes of clause (1) above. (ii) any Equity Security will be zero. "Premium Amount" means. provided that the Principal Balance of (i) any Collateral Debt Asset that permits the deferral or capitalization of interest will not include any outstanding balance of the deferred and/or capitalized interest. as of any date of determination. calculated as the product of the premium rate specified in such CDS Asset or Short CDS Asset multiplied by the notional amount of such CDS Asset or Short CDS Asset. (v) any Step-Up Bond will be the accreted value at the originally purchased discount rate thereof and (vi) any Collateral Debt Asset or Eligible Investment in which the Trustee does not have a perfected first priority security interest (as to which the Trustee has actual knowledge or otherwise determined based upon an annual security interest opinion delivered pursuant to the Indenture) shall be zero. plus (6) the Discount Collateral Debt Asset Amount. a periodic premium paid by the CDS Asset Counterparty or Short CDS Asset Counterparty to the Issuer. as of any date of determination. plus (2) the aggregate Principal Balance of the Eligible Investments in the Collection Account on such date that represent Collateral Principal Collections.00% 3.00% 0. (iii) any puttable Collateral Debt Asset which matures after the Stated Maturity Date will be the lower of the put price and the outstanding principal amount.00% 70.00% 15. Deferred Interest PIK Bonds. further. as applicable. with respect to any Collateral Debt Asset or Eligible Investment. plus (4) with respect to Written Down Assets. (iv) any Synthetic Asset will be the notional amount of such Synthetic Asset and any Synthetic Asset in the form of a note will be equal to the principal amount of the Synthetic Asset. an amount equal to (1) the aggregate Principal Balance of all Collateral Debt Assets (other than Defaulted Assets. provided.00% 0. will be deemed to be discounted to an amount equal to the percentage thereof corresponding to its purchase price (determined exclusive of accrued interest) as a percentage of its outstanding principal amount at the time of purchase thereof by the Issuer.Assets. with respect to a CDS Asset or Short CDS Asset.00% 5. for any Discount Collateral Debt Asset or Written Down Asset. plus (7) any Synthetic Asset Capacity Amount. provided that. plus (3) the Defaulted Assets Amount.00% 15. "Principal Balance" means.00% 5. that any Negative Amortization Asset with a Principal Balance (including A-41 . each calculation made to determine compliance with the Portfolio Percentage Limitations will be made with the assumption that aggregate Principal Balance of all the Collateral Debt Assets will remain unchanged by the sale or purchase of the applicable Collateral Debt Assets. "Principal Coverage Amount" means. or the Written Down Principal Balance thereof for purposes of clause (4) above. the outstanding principal amount of such Collateral Debt Asset or Eligible Investment. plus (5) the Deferred Interest PIK Bond Amount. Discount Collateral Debt Assets and Covered Short CDS Assets) included in the Collateral on such date.

in each case that has been downgraded and.capitalized principal) greater than 100% of its original Principal Balance shall be included (without duplication) at the lesser of (A) its original Principal Balance and (B) its original Principal Balance minus the amount by which the Principal Balance (including capitalized principal) of such Collateral Debt Asset exceeds 105% of its original Principal Balance. further. then the discount applied will be based on the lower of the Moody's Rating or S&P Rating: Discount 1. with respect to such downgraded Collateral Debt Asset with a negative watch. but at least Baa2/BBB Less than Baa2/BBB. the Principal Balance of (i) a Single-Tranche Synthetic CDO Asset or (ii) a CDO Asset with a Moody's Rating below "A1" or a S&P Rating below "A+" on its date of acquisition." "BBB" and "BBB-. if any rating of such Collateral Debt Asset falls between any two such rating levels. but at least Ba2/BB Less than Ba2/BB." such discount will be applied to the lowest rated Collateral Debt Asset and will only be applied to Collateral Debt Assets with such ratings to the extent that at the time they exceed 5% of the Collateral Principal Balance.5% 2% Moody's Rating/S&P Rating Baa1/BBB+ Less than Baa1/BBB+. For purposes of calculating the Additional Class C Principal Coverage Test. deemed to have the rating as determined in accordance with the A-42 . and provided. a Written Down Asset or a Deferred Interest PIK Bond. but at least B3/BLess than B3/B- 5% 10% 15% 30% 30% 50% For purposes of calculating the Principal Coverage Amount. the Principal Balance of a Collateral Debt Asset (other than with respect to a Defaulted Asset. but at least Ba1/BB+ Less than Ba1/BB+. provided that. but at least Baa3/BBBLess than Baa3/BBB-. that. but at least Ba3/BBLess than Ba3/BB-. a Synthetic Asset that is not a Defaulted Asset shall be included as a Collateral Debt Asset having the Principal Balance of the Synthetic Asset." "Baa2" and "Baa3" and S&P Ratings of "BBB+. with respect to the discount to be applied to Moody's Ratings of "Baa1. each of which shall be discounted in accordance with the terms of the Indenture) will be discounted by the following percentage set forth under "Discount" opposite its Rating Level in the table below. For purposes of calculating the Principal Coverage Tests (but not the Additional Class C Principal Coverage Test).

deposits into the Synthetic Reserve Account) in proportion to the sum of the Advance Swap Notional Amount plus the respective Aggregate Outstanding Amounts of all of the Classes of the Rated Notes (plus in the case of the Class A-1R Notes. until the Class A-1 Note Proportion is again equal to the Adjusted Effective Date Class A-1 Note Proportion. and (ii) if the Class A-1 Note Proportion on such date is less then the Adjusted Effective Date Class A-1 Note Proportion. that (i) the aggregate Principal Balance of all Collateral Debt Assets held by the Issuer (after giving effect to any pro rata payment of the principal of the Rated Notes on such date) is not less than 50% of the Collateral Principal Balance on the Effective Date. the Aggregate Class A-1R Undrawn Amount). as Principal Note Paying Agent under the Indenture. "Principal Note Paying Agent" means LaSalle Bank National Association. and any CDS Principal Payment or Physical Settlement Payment payable by the Issuer to a CDS Asset Counterparty. (ii) there has never been a Class A Coverage Failure and (iii) no Coverage Test has failed on more than one occasion to be in compliance on the Calculation Date applicable to a Quarterly Payment Date (or. the Class B Principal Coverage Test and the Class C Principal Coverage Test. further. a Written Down Asset or a Deferred Interest PIK Bond. then to the Advance Swap and to the Class A-1 Notes. "Pro Rata Payment Conditions" means. if any Coverage Test has failed to be in compliance. then to the Advance Swap and to each Class of the Rated Notes (including. "Pro Rata Payment Basis" means." "BBB" and "BBB-. then to each Class of the Rated Notes (other than the Class A-1 Notes) in proportion to the respective Aggregate Outstanding Amounts of all of the Classes of the Rated Notes (other than the Class A-1 Notes). in the case of the Advance Swap and the Class A-1R Notes. on any date following the Effective Date. such non-compliance shall have ceased and been cured and the Moody's A-43 . provided that with respect to the discount to be applied to Moody's Ratings of "Baa1. and provided. (i) if the Class A-1 Note Proportion on such date is equal to the Adjusted Effective Date Class A-1 Note Proportion.definition of Moody's Rating and S&P Rating (other than with respect to a Defaulted Asset. "Priority-Related Amount" means." such discount will be applied to the lowest rated Collateral Debt Asset. "Principal Only Security" means any Collateral Debt Asset that does not provide for payment of interest or provides that all payments of interest will be deferred until the final maturity thereof. that if any rating of such Collateral Debt Asset falls between any two such rating levels then the discount applied will be based on the lower of the Moody's Rating or S&P Rating: Discount 20% 30% Moody's Rating/S&P Rating Baa1/BBB+ Less than Baa1/BBB+. with respect to any CDS Asset. any CDS Principal Reimbursement payable by a CDS Asset Counterparty to the Issuer. on any date." "Baa2" and "Baa3" and S&P Ratings of "BBB+. but at least Baa3/BBBLess than Baa3/BBB- 50% "Principal Coverage Ratios" means the Class A Principal Coverage Ratio. the Class B Principal Coverage Ratio and the Class C Principal Coverage Ratio. each of which shall be discounted in accordance with the terms of the Indenture) will be discounted by the following percentage set forth under "Discount" opposite its Rating Level in the table below. "Principal Coverage Tests" means the Class A Principal Coverage Test.

"Quarterly Pay Asset" means a Collateral Debt Asset (or the Reference Obligation with respect to any Synthetic Asset) that provides for periodic payments of interest in cash quarterly.Weighted Average Rating Factor as of such date is less than or equal to 60). can sustain such that. "Rated Notes" means. A-44 . (b) Uninvested Proceeds held as cash and (c) Eligible Investments purchased with Uninvested Proceeds or the proceeds of disposition of Collateral Debt Assets resulting from the sale. July and October. "Purchased Accrued Interest" means all payments of interest received. provided that interest on the Rated Notes shall accrue to such next Business Day. as applicable. "Rated Note Class Scenario Default Rate" means. "Qualified Bidder List" means a list of not less than three Persons that are Independent from one another and the Issuer prepared by the Collateral Manager and delivered to the Trustee prior to an Auction. and the Rated Noteholder may be treated by the Issuer and the Trustee (and any agent of any of the foregoing) as the owner of such Global Notes for all purposes whatsoever. the maximum percentage of defaults (as determined by S&P through application of the S&P CDO Monitor) which the Current Portfolio or the Proposed Portfolio. the Person in whose name such Rated Note is registered. "Quarterly Payment Date" means the 5th day of each January. the next Business Day. "Rated Note Break-Even Default Rate" means. and if such date is not a Business Day. the rate calculated by subtracting the Rated Note Class Scenario Default Rate at such time from the Rated Note Break-Even Default Rate for such Class of Rated Notes at such time. "Qualified Bidders" means the Persons whose names appear from time to time on the Qualified Bidder List. as the case may be. "Proposed Portfolio" means the portfolio (measured by Principal Balance) of (a) the Pledged Collateral Debt Assets and the proceeds of disposition thereof held as cash. as the context requires. "Rated Noteholder" means. at any time. April. a Moody's Rating or a S&P Rating. at any time. "Rated Note Class Loss Differential" means. provided that (i) the Qualified Bidder List may include the Collateral Manager as a Qualified Bidder if it is Independent from the other Persons on such list and (ii) any such notice referred to above shall only be effective on any Auction Date if it was received by the Trustee at least two Business Days prior to such Auction Date. to the extent such payments or amounts constitute accrued interest purchased with Collateral Principal Collections except for interest accrued on Collateral Debt Assets prior to and including the Closing Date. consistent with S&P Rating of such Class of Rated Notes on the Closing Date. after giving effect to S&P assumptions on recoveries and timing and to the Priority of Payments. with respect to any Class of Rated Notes rated by S&P. the timely payment of interest. "Rating" means. as applicable. Class B Notes and Class C Notes. collectively. determined by application of S&P CDO Monitor at such time. provided that this condition (iii) shall not be met if any Coverage Test whose non-compliance has been cured fails again to be in compliance on any Calculation Date applicable to a Quarterly Payment Date after such cure. or amounts collected that are attributable to interest received on Collateral Debt Assets and Eligible Investments. maturity or other disposition of a Collateral Debt Asset or a proposed purchase of a Collateral Debt Asset. with respect to any Class of Rated Notes rated by S&P. at any time. will result in sufficient funds remaining for the ultimate payment of principal of and interest on such Class of Rated Notes in full by its Stated Maturity Date and. as may be amended and supplemented by the Collateral Manager from time to time upon written notice to the Trustee. beginning on the Initial Quarterly Payment Date and occurring on a quarterly basis thereafter. with respect to any Rated Note. in the case of the Class A Notes. the Class A Notes. provided that Beneficial Owners or Agent Members will have no rights under the Indenture with respect to Global Notes. with respect to any Class of Rated Notes rated by S&P. an estimate of the cumulative default rate for the Current Portfolio or the Proposed Portfolio.

any Class B Cumulative Deferred Interest Amount and in connection with the Class C Notes. for so long as any Class of Rated Notes is Outstanding and rated by S&P or Moody's. further that the Reference Obligation for a Single Tranche Synthetic CDO Asset shall be A-45 . RMBS Assets. real estate management or real estate ownership and that issues an obligation to such trust subsidiary in exchange for the net issuance proceeds of such securities. and. respectively. in connection with the Class B Notes. with respect to any specified action or determination. an Auction Call Redemption or a Tax Redemption."Rating Agency" means each of S&P and Moody's and collectively. with respect to each Written Down Asset. plus (ii) accrued and unpaid interest on such Notes (including Defaulted Interest and interest on Defaulted Interest. "Redemption" means an Optional Redemption. that such specified action or determination will not result in the reduction or withdrawal or other adverse action with respect to its then-current ratings on the Notes or the Income Notes (including any private or confidential rating) unless Rating Agency Confirmation is specified herein to be required by only S&P or Moody's. if any). "Rating Agencies". any Class C Cumulative Deferred Interest Amount) on such Redemption Date. provided that: (i) an index of CDO Assets may not be a Reference Obligation. an amount equal to the sum (without duplication) of: (i) the then-outstanding principal amount of such Notes (including without limitation. with respect to any CDS Asset. "Redemption Price" for the Income Notes will be an amount equal to the aggregate of any amounts distributable on the Income Notes in respect of such redemption pursuant to the Priority of Payments after payment of amounts described in clauses (i) and (ii) above. REIT Debt Assets or other real estate related assets. "Real Estate Trust Preferred Assets" means securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from either an individual trust security or a pool of trust securities issued (in each case) by a wholly-owned trust subsidiary of an entity whose business is significantly related to real estate. "Reduced Principal Balance" means. provided. "Redemption Date" means the Quarterly Payment Date upon which the Rated Notes are redeemed pursuant to an Optional Redemption. for each Class of Rated Notes. and (ii) a Reference Obligation must consist either of (A) a debt obligation that satisfies the Eligibility Criteria on the date such CDS Asset is entered into or (B) an index of Structured Finance Securities that satisfies the provisions of this definition. in which case such Rating Agency Confirmation will be sufficient. any debt obligation or index of Structured Finance Securities specified (directly or by reference) therein as the "Reference Obligation" or "Reference Obligations" (or similar term). "Redemption Price" means. "Real Estate CDO Assets" means Collateral Debt Assets that entitle the holders thereof to receive payments a portion of which depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from a portfolio of CMBS Assets. the receipt of written confirmation by each of S&P and Moody's. "Rating Agency Confirmation" means. "Reference Obligation" means. the amount to which the original Principal Balance of such Written Down Asset is reduced as notified by or on behalf of the related issuer or trustee to the holders of such Written Down Asset (including appraisal reductions on CMBS Assets and reductions to the Principal Balance of Synthetic Assets). "Reference Banks" means four major banks in the London interbank market selected by the Note Calculation Agent. an Auction Call Redemption or a Tax Redemption. in addition.

and any successor or successors thereto. (d) 59. with respect to the Class A-1 Notes. with respect to the Class C Notes. a division of The McGraw-Hill Companies. Person in an offshore transaction in reliance on Regulation S under the Assets Act. analytical computer program provided by S&P to the Collateral Manager and the Trustee (together with written instructions on the application of such program. "Regulation S Global Income Note" means any Income Note sold to a person who is not a U. "S&P Preferred Format" means an electronic spreadsheet file to be provided to S&P. "S&P CDO Monitor Test" means a test that will be satisfied as of any Measurement Date if (i) the Rated Note Class Loss Differential of the Current Portfolio or the Proposed Portfolio. fully registered form. "REIT" means a real estate investment trust. for any Synthetic Asset. "Restricted Certificated Note" means Rated Notes which are issued in the form of physical certificates in definitive.S. "Regulation S Global Note" means any Rated Note sold to a person who is not a U. (e) 69. is positive. Person in an offshore transaction in reliance on Regulation S under the Assets Act. which file shall include the following information. The S&P CDO Monitor Test will be considered to be improved if the Rated Note Class Loss Differential of the Proposed Portfolio is greater than the Rated Note Class Loss Differential of the Current Portfolio. "S&P CDO Monitor" means the dynamic. "Reference Obligor" means the obligor on a Reference Obligation.S. "S&P Minimum Recovery Rate Test" means a test that will be satisfied as of any Measurement Date if the S&P Weighted Average Recovery Rate as of such date is equal or greater than (a) 52.00%.00% with respect to the Class A-3 Notes.the entirety of the tranche or tranches that constitute the risk purchased or sold in such Single Tranche Synthetic CDO Asset.00%. (b) 52. that issues obligations to such trust subsidiary in exchange for the net issuance proceeds of such securities. (c) the par value A-46 . including all applicable assumptions) on or prior to the Effective Date for the purpose of estimating the default risk of Collateral Debt Assets. "REIT Trust Preferred Assets" means securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from either an individual trust security or a pool of trust securities issued (in each case) by a wholly-owned trust subsidiary of a REIT. or of an operating partnership subsidiary of a REIT. (c) 52.00% with respect to the Class A-4 Notes. with respect to the Class B Notes and (f) 75. with respect to any Reference Obligation thereunder): (a) the name and country of domicile of the issuer thereof and the particular issue held by the Issuer. "Repository" means the internet-based password protected electronic repository of transaction documents relating to privately offered and sold collateralized debt obligation securities located at www. "REIT Debt Asset" means a debt obligation issued by a publicly-held REIT. (b) the CUSIP or other applicable identification number associated with such Collateral Debt Asset.cdolibrary. "S&P" means S&P Ratings Services. as applicable.com and maintained by the Bond Market Association. Inc.00% with respect to the Class A-2 Notes. "Reserve Investments" means Eligible Investments acquired from time to time with amounts on deposit in the Synthetic Asset Collateral Account. if available (to the extent such information is not confidential) with respect to each Collateral Debt Asset (including.00%. as it may be modified from time to time by S&P..

provided. such Collateral Debt Asset shall have a S&P Rating of "CCC-. provided that (i) if any Collateral Debt Asset shall. with the written consent of the issuer of such Collateral Debt Asset for use of such private rating and provided a copy of such consent has been delivered to S&P). (i) if any Collateral Debt Asset shall. zero coupon and LIBOR)." otherwise such S&P Rating shall be the rating assigned according to Schedule F until such time as S&P shall have assigned a rating thereto. as identified by the Collateral Manager. the S&P Rating applicable to such Collateral Debt Asset immediately prior to such Collateral Debt Asset being placed on such watch list and (iii) the Aggregate Principal Balance that may be given a rating based on this subparagraph (c) may not exceed 10% of the Aggregate Principal Balance of all Collateral Debt Assets. loan or asset-backed security). the S&P Rating shall be the S&P Rating of the related Reference Obligation. respectively. provided that. as applicable. then the S&P Rating of such Collateral Debt Asset shall be one subcategory above or below. be listed for a possible upgrade or downgrade on either Moody's or Moody's then current credit rating watch list. (i) the S&P Rating of such Collateral Debt Asset or the issuer thereof. (d) the type of issue (including. (ii) for purposes of determining compliance with S&P CDO Monitor Test. if such Collateral Debt Asset is not eligible for notching in accordance with Schedule H. the S&P Rating applicable to such Collateral Debt Asset shall be one rating subcategory above or below. the rating then assigned to such item by S&P. the rating then assigned to such item as set forth in Schedule A. solely for purposes of determining compliance with S&P CDO Monitor Test. if such Collateral Debt Asset is placed on a watch list for possible upgrade or downgrade by S&P. at the time of its purchase by the Issuer. (iii) with respect to any new Synthetic Asset entered into after the Closing Date. the S&P Rating shall be the Rating Estimate so assigned by S&P. using such abbreviations as may be selected by the Trustee. (ii) with respect to any Form-Approved ABS Synthetic Asset Agreement or Form-Approved CDO Synthetic Asset Agreement. provided that pending receipt from S&P of such a Rating Estimate. provided that if such Collateral Debt Asset is removed from such list at any time. the S&P Rating shall be a deemed rating determined by the Collateral Manager based on running S&P A-47 . as applicable. by way of example. (g) the S&P Industry Classification Group for such Collateral Debt Asset. if the rating assigned to such Collateral Debt Asset pursuant to this subparagraph (c) is placed on a watch list for possible upgrade or downgrade by any Rating Agency. (b) (c) Notwithstanding the foregoing. then the S&P Rating of such Collateral Debt Asset shall be one subcategory above or below. whether such Collateral Debt Asset is a bond. (j) the priority category assigned by S&P to such Collateral Debt Asset. by way of example. if such Collateral Debt Asset is not rated by S&P but the Issuer or the Collateral Manager on behalf of the Issuer has requested that S&P assign a rating to such Collateral Debt Asset (a Rating Estimate). step-up rate. fixed rate. further that any Rating Estimate shall expire at the end of each 12-month period following the date of its issuance and the Issuer shall reapply for an updated Rating Estimate. if available and (k) the principal balance of all eligible investments. the S&P Rating shall be the rating assigned thereto by S&P. respectively. (e) a description of the index or other applicable benchmark upon which the interest payable on such Collateral Debt Asset is based (including.of such Collateral Debt Asset. the S&P Rating applicable to such Collateral Debt Asset shall be one rating subcategory above or below. respectively. or if any Collateral Debt Asset is a Collateral Debt Asset that has not been assigned a rating by S&P and is not a Collateral Debt Asset listed in Schedule H. (h) the stated maturity date of such Collateral Debt Asset. (f) the coupon (in the case of a Collateral Debt Asset which bears interest at a fixed rate) or the spread over the applicable index (in the case of a Collateral Debt Asset which bears interest at a floating rate). "S&P Rating" means the rating by S&P of any Collateral Debt Asset determined as follows: (a) if S&P has assigned a rating to such Collateral Debt Asset either publicly or privately (in the case of a private rating. it shall be deemed to have its then-current actual rating by S&P. the S&P Rating of such Collateral Debt Asset shall be the rating determined by reference to Schedule F. at the time of its purchase by the Issuer. respectively. the S&P Rating applicable to such Collateral Debt Asset immediately prior to such Collateral Debt Asset being placed on such watch list. be listed for a possible upgrade or downgrade on S&P then current credit rating watch list.

the recovery rate will be that assigned by S&P at the time of acquisition of such Synthetic Asset or. if any. (ii) the row in such table opposite the S&P Rating of such Collateral Debt Asset on such Measurement Date and (iii) in the column in such table below the current rating of each Class of Rated Notes then Outstanding. "S&P Recovery Rate" means. each CDS Asset Counterparty. net of any reasonable amounts expended by the Collateral Manager or the Trustee in their good faith determination in connection with such sale or disposition and shall include any payments received or shall be net of any payments made in termination of any related asset-specific Hedge Agreements. an amount equal to the percentage for such Collateral Debt Asset set forth in the S&P recovery rate matrix attached as Part II of Schedule D in (i) the applicable table. any Short CDS Asset Counterparty. the S&P Rating shall be (1) a deemed rating determined by the Collateral Manager based on running S&P model for 30 days or until S&P formally rates such Synthetic Asset or (2) determined as specified by S&P at the time such Synthetic Asset is acquired. "Securities Act" means the United States Securities Act of 1933. Credit Risk Assets and Equity Securities as a result of sales of such securities hereunder (including. Credit Improved Assets. Defaulted Assets. as amended. with respect to any Class of Notes. for itself and for the benefit of the Rated Noteholders. and any distribution received in respect of Synthetic Asset Collateral in the event that the Synthetic Asset or the CDS Asset Counterparty's security interest is terminated by the Collateral Manager or the Synthetic Asset Collateral is sold in accordance with the terms of the Synthetic Asset and the Collateral Management Agreement or (ii) the excess. (ii) dividing such sum by the aggregate Principal Balance of all such Collateral Debt Assets on such Measurement Date and (iii) rounding up to the first decimal place. as of any Calculation Date. the Semi-Annual Pay Asset Interest Reserve amount shall be zero. "Sale Proceeds" means all proceeds (including accrued interest) received with respect to Collateral Debt Assets. provided that if the Collateral Debt Asset is a Synthetic Asset. in the case of the termination of any Synthetic Asset. as of any Measurement Date. the recovery rate will be determined in accordance with the S&P recovery rate matrix as set forth above. the Synthetic Collateral Assets Counterparty. if such recovery rate is not so assigned. "S&P Weighted Average Recovery Rate" means. the Advance Swap Counterparty. each Hedge Counterparty and Cashflow Swap Counterparty. For purposes of the S&P Weighted Average Recovery Rate. A-48 .model for 30 days or until S&P formally rates such Synthetic Asset and (iii) with respect to any Synthetic Asset entered into after the Closing Date and any Synthetic Asset other than those referred to in clause (ii). on such Measurement Date by the applicable S&P Recovery Rate. provided that for any Semi-Annual Pay Asset with respect to which no scheduled interest payments remain. the number obtained by summing the products obtained by (i) multiplying the Principal Balance of each Collateral Debt Asset. the Advance Swap Undrawn Notional Amount and the Class A-1R Notes Undrawn Amount in respect of the related Reference Obligation less the payments made by the Issuer in respect of the termination of such Synthetic Asset). "Semi-Annual Pay Asset Interest Reserve Amount" means. the Principal Balance of (a) a Defaulted Asset will be deemed to be equal to its outstanding principal amount and (b) a Deferred Interest PIK Bond will be deemed to be equal to its Deferred Interest PIK Bond Amount. "Semi-Annual Pay Assets" means a Collateral Debt Asset (or the Reference Obligation with respect to any Synthetic Asset) that provides for periodic payments of interest in cash semi-annually. (i) the proceeds of sale of any Deliverable Obligations delivered in respect thereof. "Schedule of Collateral Debt Assets" means the list of Collateral Debt Assets securing the Rated Notes that is attached as Schedule A of the Indenture. the amount equal to (i) the amount of interest received by the Issuer on the most recent payment date with respect to such Semi-Annual Pay Asset multiplied by (ii) (A) two minus the number of quarterly Calculation Dates (including the current Calculation Date) since the most recent payment date with respect to such Semi-Annual Pay Asset divided by (B) two. with respect to each Collateral Debt Asset (or the Reference Obligation with respect to any Synthetic Asset) that is a Semi-Annual Pay Asset. the Synthetic Reserve Account. of the amounts available pursuant to the Synthetic Asset Collateral Account. "Secured Parties" means the Trustee. the Collateral Manager. with respect to any Collateral Debt Asset on any Measurement Date.

with respect to any Collateral Debt Asset.3(a) using 50% of the applicable prepayment speed for clause (a) above and 150% of the applicable pricing speed for clause (b) above."Senior Class" means the Class A-1 Notes. then the Class B Notes. is less than (b) the product of (i) the Weighted Average Spread for such Measurement Date minus the Minimum Weighted Average Spread. multiplied by (ii) the Aggregate Principal Balance of all Collateral Debt Assets (excluding Defaulted Assets. (b) the aggregate amount at any one time of any voluntary Trading Termination Payments shall be less than the lowest amount that would result in the deferral of any interest payments then due on any Class A Notes. To the extent that multiple entities have such responsibilities for a given Collateral Debt Asset. the entity (howsoever described in the applicable Underlying Instrument) that. "Senior Collateral Management Fee" means. "Servicer" means. "Short CDS Trading Termination Criteria" means. "Short CDS Asset" means (a) a credit default swap where the Issuer is the buyer of protection. as determined by the Collateral Manager. so long as the Class C Notes are Outstanding. monitoring and otherwise administering the cash flows from which payments to investors in such Collateral Debt Asset are made. (c) each of the Collateral Quality Tests (other than the Minimum Weighted Average Spread Test) is satisfied. an amount equal to 0. "Short CDS Asset Premium Test" means a test (which can be applied following the delivery to the Trustee of the S&P CDO Monitor) which will be satisfied with respect to the entry into or acquisition of any Short CDS Asset by the Issuer if either (i) such Short CDS Asset does not require any ongoing fixed payments by the Issuer or (ii) immediately after such entry or acquisition. Written-Down Assets or Deferred Interest PIK Bonds) multiplied by (iii) the Weighted Average Life of all Collateral Debt Assets (excluding Defaulted Assets. servicing. event of default or similar condition (however described). (a) the sum of the products obtained with respect to each Uncovered Short CDS Asset by multiplying (i) the fixed rate premium percentage per annum payable by the Issuer to the applicable CDS Asset Counterparty under such Uncovered Short CDS Asset multiplied by (ii) the notional amount of such Uncovered Short CDS Asset multiplied by (iii) the Average Life of such Uncovered Short CDS Asset. absent any default. "Short CDS Asset Counterparty" means the counterparty under a Short CDS Asset. then the Class A-3 Notes. criteria that will be satisfied if immediately following such withdrawal each of the following conditions is satisfied: (a) the first anniversary of the Closing Date has occurred. then the Class A-2 Notes. then the Class A-4 Notes. or (c) a swaption in which the Issuer has the right to buy protection. so long as any Class B Notes are Outstanding and then the Class C Notes. for any Quarterly Payment Date. with respect to any withdrawal of Collateral Principal Collections from the Collection Account to make Trading Termination Payments in respect of Short CDS Assets. (b) a total return swap where the Issuer is the total return payer. the Servicer will be deemed to be the entity most directly involved in maximizing the cashflow of the assets through the management and resolution of delinquent and defaulted assets. WrittenDown Assets and Deferred Interest PIK Bonds) multiplied by (iv) (100% minus the Rated Note Class Scenario Default Rate applicable to the Class A-1 Notes).05% per annum of the Fee Basis Amount. A-49 . provided that the Average Life of any RMBS Assets shall be calculated in accordance with Section1. is primarily responsible for managing.

solely as a function of the passage of time.03% per annum of the Fee Basis Amount for such Quarterly Payment Date. if any. In calculating any Collateral Quality Test by reference to the spread (in the case of a floating rate Step-Down Bond) or coupon (in the case of a fixed rate Step-Down Bond) of a Step-Down Bond. with respect to any Collateral Debt Asset which is a Floating Rate Collateral Debt Asset (other than any Synthetic Asset). provided that the Collateral Manager has not delivered a notice to the Trustee prior to the end of the related Due Period irrevocably waiving the right to such amount on the following Quarterly Payment Date. in the spread over the applicable index or benchmark rate. if such termination occurred solely as the result of an event of default or a termination event with respect to such Cashflow Swap Counterparty as "defaulting party" or sole "affected party" under such Cashflow Swap Agreement. provided that a Step-Up Bond will not include any such security providing for payment of a constant rate of interest at all times after the date of acquisition by the Issuer. provided that a Step-Down Bond will not include any such security providing for payment of a constant rate of interest at all times after the date of acquisition by the Issuer. "Subordinated CDS Asset Termination Payment" means any termination payment due and payable to a CDS Asset Counterparty. and (e) no Rating Agency has withdrawn its rating (including any private or confidential rating). in the case of a Floating Rate Collateral Debt Asset. "Step-Down Bond" means a Collateral Debt Asset which by the terms of the related Underlying Instrument provides for a decrease. upon the termination of the A-50 . scheduled to apply to such Step-Down Bond on or after such date. "Subordinate Collateral Management Fee" means. "Subordinated Cashflow Swap Termination Payment" means any termination payment due and payable to a Cashflow Swap Counterparty. in accordance with clause (B)(24) of the Priority of Payments. in the case of a Fixed Rate Collateral Debt Asset. in the per annum interest rate on such security or. the current per annum rate in excess of LIBOR or such other floating rate index upon which such Floating Rate Collateral Debt Asset bears interest and. with respect to each Quarterly Payment Date. solely as a function of the passage of time. "Stated Maturity Date" means the Payment Date occurring in October 2046. respectively. "Spread" means. with respect to a Synthetic Asset. upon the termination of the applicable Cashflow Swap Agreement.806%. in the per annum interest rate on such security or. the Class A-2 Notes and the Class A-3 Notes) or by two or more rating subcategories (in the case of the Class A-4 Notes). in the case of a Fixed Rate Collateral Debt Asset. the spread or coupon on any date will be deemed to be the lowest spread or coupon. as of any date of determination. the fixed rate set forth in such Synthetic Asset for purposes of calculating the Fixed Amount. an amount equal to 0. in accordance with clause (B)(24) of the Priority of Payments. in the case of a Floating Rate Collateral Debt Asset. of any Class of Rated Notes or reduced the rating of any Class A Notes below the rating in effect on the Closing Date by one or more rating subcategories (in the case of Class A-1 Notes. which receivables may have varying maturities. In calculating any Collateral Quality Test by reference to the spread (in the case of a floating rate Step-Up Bond) or coupon (in the case of a fixed rate Step-Up Bond) of a Step-Up Bond. "Specified Type" means any of the types of securities described in Annex B. in the spread over the applicable index or benchmark rate. "Step-Up Bond" means a Collateral Debt Asset which by the terms of the related Underlying Instrument provides for an increase.(d) the Class C Principal Coverage Ratio is greater than 100. the spread or coupon on any date will be deemed to be the spread or coupon stated to be payable in cash and in effect on such date. "Structured Settlement Securities" means Asset-Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset-Backed Securities) on the cashflow from receivables representing the right of litigation claimants to receive future scheduled payments under settlement agreements that are funded by annuity contracts.

as the case may be. including the purchase of any Deliverable Obligation) and termination payments that the Issuer is or may be required to make to the CDS Asset Counterparties under the CDS Assets. "Subordinated Hedge Termination Payment" means any termination payment due and payable to a Hedge Counterparty. which satisfies each of the following: (a) on the Closing Date. "Subordinated Short CDS Termination Payment" means any termination payment due and payable to a Short CDS Asset Counterparty. if any. "Subpool" means each of the groups of the Collateral Debt Assets designated by the Collateral Manager in accordance with the Auction Procedures on which the Listed Bidders may provide a separate bid in an Auction. the Advance Swap Counterparty as counterparty with respect to an amount equal to 100% of the Advance Swap Notional Amount.related CDS Asset. the Holders of not less than 662/3% of the Aggregate Outstanding Amount of the Rated Notes of such other Class or Classes of Rated Notes. "Super-Majority" means (a) with respect to the Advance Swap. upon the termination of the related Synthetic Collateral Assets. and (d) with respect to the Income Notes. on deposit in the Synthetic Reserve Account plus the amount. upon the termination of the related Short CDS Asset. upon the termination of the related Hedge Agreement. (c) (i) with respect to the Advance Swap and the Class A1R Notes and Class A-1T1 Notes. A-51 . if such termination occurred solely as the result of an event of default or a termination event with respect to such Synthetic Collateral Assets as "defaulting party" or sole "affected party" under the applicable Synthetic Collateral Assets. not less than 662/3% of the Aggregate Outstanding Amount of the Rated Notes of such other Class or Classes of Rated Notes. the Advance Swap Counterparty as counterparty as to respect to the amount equal to 100% of the Advance Swap Notional Amount and the Holders of greater than 50% of the Aggregate Outstanding Amount of the Class A-1R Notes and the Class A-1T1 Notes and (ii) with respect to the Advance Swap and any other Class or Classes of Rated Notes. the Holders of greater than 50% of the Aggregate Outstanding Amount of the Class A-1R Notes and the Class A-1T1 Notes and (ii) with respect to any other Class or Classes of Rated Notes. the Holders of not less than 662/3% of the aggregate Principal Balance of the Outstanding Income Notes. in accordance with clause (B)(24) of the Priority of Payments. "Subordinated Synthetic Collateral Assets Termination Payment" means any termination payment due and payable to a Synthetic Collateral Assets Counterparty. if such termination occurred solely as the result of an event of default or a termination event with respect to such CDS Asset Counterparty as "defaulting party" or sole "affected party" under the applicable CDS Asset. and on any subsequent determination date the Issuer has a Synthetic Asset Capacity Amount at least equal to the aggregate of all further payments related to principal (contingent or otherwise. as the case may be. the Aggregate CDS Asset Notional Amount does not exceed the sum of the Advance Swap Undrawn Notional Amount plus the Aggregate Class A-1R Undrawn Amount plus the amount. in accordance with clause (B)(24) of the Priority of Payments. as the case may be. (b) (i) with respect to the Class A-1R Notes and the Class A-1T1 Notes. "Synthetic Asset" means a CDS Asset or a Credit Link Security. if such termination occurred solely as the result of an event of default or a termination event with respect to such Hedge Counterparty as "defaulting party" or sole "affected party" under the applicable Hedge Agreement. all voting as one single class. if such termination occurred solely as the result of an event of default or a termination event with respect to such Short CDS Counterparty as "defaulting party" or sole "affected party" under the applicable Short CDS Asset. "Substitute Collateral Debt Asset" means a Collateral Debt Asset that is purchased by the Issuer and pledged to the Trustee as security for the Rated Notes as described herein with Sale Proceeds or proceeds deposited in the Collection Account pursuant to clause (B)(21) of the Priority of Payments. in accordance with clause (B)(24) of the Priority of Payments. on deposit in the Synthetic Asset Collateral Account. if any.

For purposes of the Coverage Tests. "Defaulting Party" or "Affected Party". where the CDS Asset Counterparty is the sole "Defaulting Party" or the sole "Affected Party" ("Event of Default". "Illegality". included in the index. provided that (i) for purposes of the Moody's Asset Correlation Test. (iii) the amounts on deposit in the Synthetic Reserve Account and (iv) the amounts on deposit in the Synthetic Asset Collateral Account. as applicable. (e) such Synthetic Asset is positively indexed to the Reference Obligation on no more than a one-to-one basis. (a) the sum of (i) the Aggregate Class A-1R Undrawn Amount. (ii) the Advance Swap Undrawn Notional Amount. if such termination payment is payable by the Issuer. and (f) either (i) (A) such Synthetic Asset has a rating and a recovery rate assigned by each of the Rating Agencies and (B) its inclusion has been subject to a Rating Agency Confirmation from S&P or (ii) is documented on a Form-Approved Synthetic Asset Confirmation. "Synthetic Asset Capacity Amount" means. the amount on deposit in the Synthetic Asset Collateral Account. such CDO Asset need not exist separately. if any. A-52 . (c) the agreement relating to each CDS Asset contains provisions to the effect that upon the occurrence of an "Event of Default" or "Termination Event" (other than an "Illegality" or "Tax Event"). as of any date of determination.(b) the agreement relating to each CDS Asset contains "non-petition" provisions pursuant to which the CDS Asset Counterparty agrees not to cause the filing of a petition in bankruptcy against the Issuer and "limited recourse" provisions limiting the CDS Asset Counterparty's rights in respect of the CDS Asset to the funds and other property available pursuant to the Priority of Payments. "Termination Event". (a) a Synthetic Asset will be included as a Collateral Debt Asset having the characteristics of the related Reference Obligation(s) (and the issuer thereof will be deemed to be the related Reference Obligors) and not of the Synthetic Asset and (b) an untranched ABX Asset or CDX Asset will not represent a single Collateral Debt Asset with respect to the applicable index but will instead represent each Collateral Debt Asset with respect to each asset-backed security or corporate obligor. and it will be sufficient if the risk profile and other characteristics of such Synthetic Asset are comparable to a CDO Asset. it will be a payment payable on a Quarterly Payment Date subordinated in the Priority of Payments and (iii) the Issuer will no longer be obligated to make any further payments to the CDS Asset Counterparty with respect to such CDS Asset. a Synthetic Asset will be included as a Collateral Debt Asset having the characteristics of the Synthetic Asset and not of the related Reference Obligation(s). as applicable. any lien or interest in favor of the CDS Asset Counterparty in the Collateral will be terminated. (ii) for purposes of determining the industry with respect to any Synthetic Asset for S&P CDO Monitor Test. a Synthetic Asset shall be included as a Collateral Debt Asset having the characteristics of the Synthetic Asset and not of the related Reference Obligations. For the avoidance of doubt. as such terms are defined in the ISDA Master Agreement relating to such CDS Asset) (i) the Issuer may terminate its obligations under such CDS Asset and upon such termination. For purposes of the Collateral Quality Tests and for purposes of determining the assigned or shadow rating from Moody's or S&P of a Synthetic Asset. (d) no amounts receivable by the Issuer from the CDS Asset Counterparty will be subject to withholding tax. minus (b) the Aggregate CDS Asset Notional Amount. if such Reference Obligation is a CDO Asset. (ii) no termination payment will be payable by the Issuer to the CDS Asset Counterparty as a result of such termination or. as of any date. unless the issuer thereof or other obligor thereon is required to make additional payments sufficient to cover any withholding tax imposed at any time on payments made to the Issuer with respect thereto. a Synthetic Asset will be included as a Collateral Debt Asset having the characteristics of the related Reference Obligation. "Tax Event". a Synthetic Asset will be included as a Collateral Debt Asset having the characteristics of the related Reference Obligations and (iii) for purposes of determining the Portfolio Percentage Limitations (other than in respect of clauses (36) through (40) of the definition of Portfolio Percentage Limitations) with respect to any Synthetic Asset. unless otherwise specified. "Synthetic Asset Collateral Account Balance" means.

and (2) the repayment stream on the obligation is primarily determined by a payment schedule entered into between the relevant tax authority and obligor. the Synthetic Collateral Assets Counterparty or a Hedge Counterparty is required to deduct or withhold from any payment under a CDS Asset. then the balance of any Reduction Amount will be applied to reduce the Class A-1R Undrawn Amount until reduced to zero. practice or judicial decision or interpretation. "Tax Event" means. whether or not as a result of any change in law. ruling. that if the Advance Swap Undrawn Notional Amount is reduced to zero. the Advance Swap Counterparty..A. a CDS Asset Counterparty."Synthetic Collateral Account Control Agreement" means the Synthetic Collateral Account Control Agreement. "Synthetic Reserve Account" means the Securities Account designated the "Synthetic Reserve Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. N. dated as of the Closing Date. or will not be. required to deduct or withhold from any payment under any Collateral Debt Asset to the Issuer for or on account of any tax. the Custodian and the Synthetic Collateral Assets Counterparty. then the balance of any Reduction Amount will be applied to reduce the Advance Swap Undrawn Notional Amount until reduced to zero. generally having the following characteristics: (1) the tax obligations are obligations of numerous borrowers and accordingly represent a diversified pool of obligor credit risk. (ii) the Issuer. required to pay to the Issuer such additional amount as is necessary to ensure that the net amount actually received by the Issuer (free and clear of taxes. (i) any obligor is. as of any date. treaty. or such CDS Asset Counterparty. or on the next scheduled payment date under any Collateral Debt Asset any obligor will be. "Tax Lien Securities" means Asset-Backed Securities that entitle the holders thereof to receive payments that depend on the cashflow from a pool of tax obligations owed by businesses and individuals to state and municipal governmental taxing authorities. and if the Class A-1R Undrawn Amount is reduced to zero. and any permitted successors and assigns. whether assessed against such obligor or the Issuer) will equal the full amount that the Issuer would have received had no such deduction or withholding occurred. regulation. in its capacity as counterparty under the Synthetic Collateral Agreement. the Advance Swap Counterparty. profits or similar tax on the Issuer. however. the Synthetic Collateral Assets Counterparty or each Hedge Counterparty is not obligated. "Synthetic Unfunded Excess Capacity Reduction" means a permanent reduction in the Advance Swap Undrawn Notional Amount and the Class A-1R Undrawn Amount by an aggregate amount (the "Reduction Amount") equal to the lesser of (i) the Advance Swap Undrawn Notional Amount and (ii) the Synthetic Asset Capacity Amount. the Advance Swap. rule. then no further application if any Reduction Amount shall occur. to permanently reduce the Advance Swap Undrawn Notional Amount. and (b) in the Class A-1R Synthetic Capacity Proportion. to make a gross-up payment or (iii) any jurisdiction imposes net income. provided that any Collateral Debt Asset falling within this definition will be excluded from the definition of each other Specified Type of Collateral Debt Asset. pursuant to which the Synthetic Collateral Assets Counterparty will (i) agree to purchase the Eligible Synthetic Collateral Assets from the Issuer at par in certain circumstances and (ii) make payments to the extent necessary such that the aggregate return on the Synthetic Collateral Assets is at least equal to LIBOR. "Synthetic Reserve Account Balance" means. the Trustee. "Synthetic Collateral Assets Counterparty" means Citibank. such Reduction Amount to be applied (a) in the Advance Swap Synthetic Capacity Proportion. and such obligor is not. and if both the Advance Swap Undrawn Notional Amount and the Class A-1R Undrawn Amount are reduced to zero. as the same may be amended or supplemented from time to time. to permanently reduce the Class A-1R Undrawn Amount. provided. "Synthetic Collateral Agreement" means the total return swap entered into by the Issuer and the Synthetic Collateral Assets Counterparty on the Closing Date. the amount on deposit in the Synthetic Reserve Account. among the Issuer. the Synthetic Collateral Agreement or a Hedge Agreement for or on account of any tax and the Issuer is obligated. A-53 . with early repayment on such obligation predominantly dependent upon interest rates and the income of the obligor following the commencement of amortization.

in a payment by. to terminate. "Underlying Instrument" means the indenture or other agreement pursuant to which a Pledged Asset has been issued or created and each other agreement that governs the terms of or secures the obligations represented by such Pledged Asset or of which the holders of such Pledged Asset are the beneficiaries. "Used Advance Swap Amount" means. "Trustee" means LaSalle Bank National Association. assessments or governmental charges of whatsoever nature imposed. novate or assign a CDS Asset prior to its scheduled termination date. the Synthetic Collateral Account Control Agreement. as the case may be. at the direction of the Holders of a Super-Majority of the Income Notes or (ii) a Regulatory Event in an amount satisfying the Regulatory Materiality Condition. "Tax Redemption" means a redemption of the Rated Notes. as of any date of determination. the Administration Agreement. the Issuer greater than or equal to 10% of the aggregate interest payments on the Collateral Debt Assets during such twelve (12) month period. collectively. withheld or assessed by any governmental authority having power to tax. at the direction of the Collateral Manager. the Income Note Issuing and Paying Agency Agreement. during any 12-month period. "Trustee Fee" means. to the extent such proceeds have not theretofore been invested in Collateral Debt Assets. "Trust Preferred Assets" means. The Used Advance Swap Amount will not include A-54 . Offeree" means each prospective initial purchaser of the Notes offered in reliance on Rule 144A or another applicable exemption from registration under the Securities Act. with respect to any Payment Date. the Account Control Agreement. provided that any required amounts deposited in the Synthetic Asset Collateral Account in accordance with the terms of the Indenture shall not constitute "Uninvested Proceeds" for purposes of this definition. and any successors or assigns in its capacity as trustee under the Indenture. "Tobacco Bonds" means Structured Settlement Assets resulting from tobacco-related litigation. "U."Tax Materiality Condition" means. in aggregate. at any time. on any Quarterly Payment Date following the occurrence and during the continuation of (i) a Tax Event in an amount satisfying the Tax Materiality Condition. other than a Defaulted Synthetic Termination Payment or a payment in respect of any early termination date.S. any Cashflow Swap Agreements. "Temporary Regulation S Note" means a Temporary Regulation S Global Note. levied. any combination of Tax Events results. 2006. "Transaction Documents" means the Indenture. "Taxes" means any present or future taxes. the Purchase Agreement and the Placement Agency Agreement. the net proceeds received by the Issuer on the Closing Date from the initial issuance of the Notes. the aggregate amount of any Advance Swap Draws under the Advance Swap minus the aggregate amount of any Advance Swap Draw Repayment Amounts paid to the Advance Swap Counterparty. "Uninvested Proceeds" means. the Collateral Management Agreement. the Advance Swap. REIT Trust Preferred Assets and Real Estate Trust Preferred Assets. a Temporary Regulation S Global Income Note. or charge or tax burden to. the fee payable to the Trustee pursuant to the fee agreement entered into between the Trustee and the Collateral Manager dated as of June 29. "Uncovered Short CDS Asset" means a Short CDS Asset that is not a Covered Short CDS Asset. duties. in whole but not in part. any Hedge Agreements. the Class A-1R Note Purchase Agreement. "Trading Termination Payment" means a CDS Asset Issuer Termination Payment to be made by the Issuer to the applicable CDS Asset Counterparty. the Collateral Administration Agreement. collected.

....... subject to the proviso clause below.... (iii) dividing such sum by the aggregate Principal Balance of all Floating Rate Collateral Debt Assets and Deemed Floating Rate Collateral Debt Assets held in the portfolio as of such date and (iv) if such sum is less than the Minimum Weighted Average Spread for such date....... "Weighted Average Life" means on any Measurement Date with respect to the portfolio of Collateral Debt Assets as a whole.. Weighted Average Life (in years) 8.... 5........... adding to such rate the fraction (expressed as a percentage) obtained by dividing (a) the Gross Spread Excess.. For purposes of calculating the Weighted Average Fixed Rate Coupon.. except for those Defaulted Assets that at the time of such calculation are paying full current interest in cash pursuant to the terms of their respective Underlying Instrument...0 years... if any...........................0 years....... A-55 ...... if any.. (iii) dividing such sum by the aggregate Principal Balance of all Fixed Rate Collateral Debt Assets and Deemed Fixed Rate Collateral Debt Assets held in the portfolio as of such date and (iv) if such sum is less than the Minimum Weighted Average Fixed Rate Coupon for such date...... as of any date of determination......0 years – 5..................................the amount of any Advance Swap Mandatory Draw unless and until any amount held in respect thereof in the Advance Swap Mandatory Draw Reserve Account shall have been used to fund an Advance Swap Draw. the Written Down Amount with respect to Written Down Assets and Equity Securities will be excluded.0 years 4....0 years 7...0 years ....0 years 3...0 years 6............. 4............. as of such date by (b) the aggregate Principal Balance of all Fixed Rate Collateral Debt Assets and the Deemed Fixed Rate Collateral Debt Assets held in the portfolio as of such date.. "Weighted Average Life Test" means a test that shall be satisfied as of any Measurement Date during any period set forth below if the Weighted Average Life of all Collateral Debt Assets as of such Measurement Date is less than or equal to the number of years set forth in the table below: As of any Calculation Date occurring during the period below Closing – 1. as of such date by (b) the aggregate Principal Balance of all Floating Rate Collateral Debt Assets and Deemed Floating Rate Collateral Debt Assets held in the portfolio as of such date....... 1. (ii) (a) summing the amounts determined pursuant to clause (i) and (b) subtracting from such amount the aggregate amount of all projected annual payments required to be paid by the Issuer pursuant to Short CDS Assets.................. provided that for purposes of calculating the Weighted Average Spread.0 year ........0 years – maturity... the number obtained by (i) summing the products obtained by multiplying (a) the Average Life at such time of each Collateral Debt Asset by (b) the outstanding Principal Balance of such Collateral Debt Asset and (ii) dividing such sum by the aggregate Principal Balance at such time of all Collateral Debt Assets....0 years – 4.............. the spread of any Floating Rate Collateral Debt Assets that bears interest based on a floating-rate index other than LIBOR will be deemed to be the excess of (x) the rate at which such Floating Rate Collateral Debt Assets pays interest over (y) LIBOR.... (ii) (a) summing the amounts determined pursuant to clause (i) for all Fixed Rate Collateral Debt Assets and Deemed Fixed Rate Collateral Debt Assets held in the portfolio as of such date....................... adding to such rate the fraction (expressed as a percentage) obtained by dividing (a) the Gross Fixed Rate Excess............ "Weighted Average Fixed Rate Coupon" means..0 years 5. 3.........0 years....... Collateral Debt Assets that are Defaulted Assets.0 years "Weighted Average Spread" means......... a rate equal to a fraction (expressed as a percentage) obtained by (i) multiplying the Principal Balance of each Fixed Rate Collateral Debt Asset and Deemed Fixed Rate Collateral Debt Asset (except Collateral Debt Assets that are currently deferring interest) held in the portfolio as of such date by the Current Interest Rate.....0 years – 3......0 year – 2.. 2....... as of any date of determination...... an amount (expressed as a percentage) equal to a fraction (expressed as a percentage) obtained by (i) multiplying the Principal Balance of each Floating Rate Collateral Debt Asset and each Deemed Floating Rate Collateral Debt Asset (except Collateral Debt Assets that are currently deferring interest) held in the portfolio as of such date by the Current Spread..

Collateral Debt Assets that are Defaulted Assets. the Written Down Amount with respect to Written Down Assets and Equity Securities will be excluded. with respect to each Written Down Asset. A-56 . except for those Defaulted Assets that at the time of such calculation are paying full current interest in cash pursuant to the terms of their respective Underlying Instrument. "Written Down Asset" means any Collateral Debt Asset as to which the aggregate par amount of such Collateral Debt Asset and all other securities secured by the same pool of collateral that rank pari passu with or senior in priority of payment to such Collateral Debt Asset exceeds the aggregate par amount (including reserved interest or other amounts available for overcollateralization) of all collateral securing such securities (excluding defaulted collateral). the amount by which the original Principal Balance of such Written Down Asset is reduced without the receipt of any principal payment as notified by or on behalf of the related issuer or trustee to the holders of such Written Down Asset (including appraisal reductions on CMBS Assets).For purposes of calculating the Weighted Average Spread. provided that a REIT Debt Asset shall not at any time be a Written Down Asset. "Written Down Amount" means.

and (4) the repayment stream on such loans is primarily determined by a contractual payment schedule. provided that any Collateral Debt Asset falling within this definition will be excluded from the definition of each other Specified Type of Collateral Debt Asset. "Bank Guaranteed Assets" means any Collateral Debt Asset as to which. with early repayment on such loans predominantly dependent upon the disposition of the underlying vehicle. with early termination of such leases predominantly dependent upon the disposition of the underlying vehicle. for purposes of the Portfolio Percentage Limitations in the Indenture. (2) the loans are obligations of numerous borrowers and accordingly represent a very diversified pool of obligor credit risk. B-1 . (3) the lessees under the leases generally do not have a poor credit rating. or the principal thereof is not timely paid at the stated legal maturity. "ABX Asset" means a Synthetic Asset or other relevant security that provides to the holder the credit risks associated with movements of an actively-traded index of asset-backed securities. a national banking association organized under United States law or a banking corporation organized under the laws of a state of the United States or a United States branch or agency of a sovereign bank has undertaken in an irrevocable letter of credit or other similar instrument to make such payment against the presentation of documents. either fixed or revolving. light trucks and recreational vehicles generally having the following characteristics: (1) the loans may have varying contractual maturities. (3) the borrowers under the loans generally do not have a poor credit rating. determined without giving effect to such letter of credit or similar instrument. "Automobile Loan Security" means an Asset-Backed Security that entitles the holder thereof to receive payments that depend on the cash flow from installment sale loans made to finance the acquisition of automobiles. including any tranched risk on such index. light trucks and recreational vehicles generally having the following characteristics: (1) the leases may have varying contractual maturities. sport utility vehicles. (2) provides that payment thereunder is independent of the performance by the obligor on the relevant Collateral Debt Asset and (3) was issued by a bank having a credit rating assigned by each nationally recognized statistical rating organization that currently rates such Collateral Debt Asset higher than the credit rating assigned by such rating organization to such Collateral Debt Asset. generally having the following characteristics: (i) the accounts have standardized payment terms and require minimum monthly payments. subject to payments at the end of the lease term for excess wear and tear and excess mileage. provided that. that by their terms convert into cash within a finite time period. if interest thereon is not timely paid when due. then. (4) the payment stream on such leases is primarily determined by a contractual payment schedule. "ABS Securities" means securities that entitle the holders thereof to receive payments that depend primarily on the cashflow from a specified pool of financial assets. and (5) such leases typically provide for the right of the lessee to purchase the vehicle for its stated residual value or to surrender the vehicle at termination.ANNEX B – SPECIFIED TYPES "ABS Credit Card Assets" means ABS Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such ABS Securities) on the cash flow from balances outstanding under revolving consumer credit card accounts. but only if such letter of credit or similar instrument (1) expires no earlier than such stated maturity (or contains "evergreen" provisions entitling the beneficiary thereof to draw the entire undrawn amount thereof upon the failure of the expiration date of such letter of credit or other similar instrument to be extended beyond its then-current expiry date). (2) the leases are obligations of numerous lessees and accordingly represent a very diversified pool of obligor credit risk. with early repayment depending primarily on interest rates. and (iii) the repayment stream on such balances does not depend upon a contractual payment schedule. sport utility vehicles. where the economic exposure to the holder thereof is identical to owning a number of eligible assets individually. provided that any Collateral Debt Asset falling within this definition will be excluded from the definition of each other Specified Type of Collateral Debt Asset. availability of credit against a maximum credit limit and general economic matters. the Issuer will be treated as if it owned such individual assets. (ii) the balances are obligations of numerous borrowers and accordingly represent a diversified pool of obligor credit risk. "Automobile Lease Security" means an Asset-Backed Security that entitles the holder thereof to receive payments that depend on the cash flow from leases of automobiles. together with rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities.

CDO Emerging Market Assets. at least 80% of the assets or Reference Obligations in the underlying pool are corporate bonds rated "Baa3" or higher by Moody's and "BBB-" or higher by S&P (in each case. for purposes of the Portfolio Percentage Limitations in the Indenture. "CDO Investment Grade Assets" means CDO Assets with respect to which. B-2 . "CDO Downgraded Asset" means a CDO Asset that as of the acquisition date thereof. "CDO Squared Securities" means securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such Assets) on the cash flow from (and not the market value of) a portfolio of investments. REIT Debt Assets or other real estate related assets. without limitation. CDO CRE Assets. or subordinate to other tranches of securities that are exclusively fixed rate. "CDO Assets" are collateralized debt obligation securities or credit default swaps that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the CDO Assets) on the cash flow or occurrence of defaults from a portfolio consisting primarily of commercial and industrial bank loans. "CDO High Yield Assets" means CDO Assets that are not CDO Investment Grade Assets. on their date of issuance. but excluding Market Value CDO Securities. of which more than 50% consist of CDO Assets. including CDO Asset-Backed Securities. provided that in no event shall a CDO Trust Preferred Asset consist of a bank security. corporate debt securities. if rated by such Rating Agency). the Issuer will be treated as if it owned such individual assets. "CDX Asset" means a Synthetic Asset or other relevant security that provides to the holder the credit risks associated with movements of an actively-traded index of corporate obligors. "CDO Trust Preferred Assets" means CDO Assets that entitle the holder thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such CDO Assets) on the cash flow from a portfolio of trust preferred securities issued by bank. (ii) is issued senior to. and (iii) uses amortizing notional balance interest rate caps to increase the available funds cap applied to that security above the net weighted average coupon on the underlying collateral. the public rating of such security is (a) lower than its ratings on its date of issuance by three rating category notches by either S&P or Moody's or (B) lower than its ratings on its date of issuance by S&P or Moody's if such security (x) has a public rating of A or A. "CDO CRE Assets" means CDO Assets that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such CDO Assets) on the cash flow from (and not the market value of) a portfolio of at least 80% by Principal Balance of commercial real estate assets (including. including any tranched risk on such index. including any debt obligations of a real estate operating company) and debt obligations issued by REITs or real estate operating companies."Cap Corridor Floater" means a RMBS Asset that is a Floating Rate Collateral Debt Asset and that (i) is backed exclusively by fixed rate mortgages. other depository institutions or trust subsidiaries. then. credit default swaps and/or ABS Securities. CMBS Assets. where the economic exposure to the holder thereof is identical to owning a number of eligible assets individually. "CDO Asset-Backed Securities" means CDO Assets that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such CDO Assets) on the cash flow from (and not the market value of) a portfolio primarily comprised of ABS Securities or credit default swaps referencing ABS Securities. "CDO Emerging Market Assets" means CDO Assets that permit more than 20% of the assets in the reference pool to be issued by Emerging Market Issuers. CDO High Yield Assets and CDO Squared Securities. provided that. nor shall it have an insurance concentration of 25% or higher.by S&P or A2 or A3 by Moody's or (y) is on watch for possible downgrade by Moody's or S&P. pari passu with. CLO Assets or CDO Emerging Market Assets with respect to which the underlying profile consists of corporate obligors. RMBS Assets. CLO Assets. thrift.

CMBS Credit Tenant Lease Assets and CMBS Large Loan Assets) that entitle the holder thereof to receive payments that depend on the cash flow from a single commercial mortgage loan. consumer loans. "CMBS Conduit Assets" means Collateral Debt Assets (other than CMBS Single Asset Securities. or (d) is issued by an entity with an economic exposure to a Structural Finance Asset. "Liquid Security" means a Structured Finance Security that: (a) entitles the holder thereof to receive payments that depend on. CMBS Credit Tenant Lease Assets and CMBS Large Loan Assets) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from a pool of commercial mortgage loans. corporate loans. sovereign debt obligations. credit card receivables. of auto loans. bank or sovereign loan obligations (or any similar assets or a pool of any combination of such assets). auto leases. "Negative Amortization Asset" means any Asset that allows for an increase in its principal balance following initial issuance due to underlying mortgage loans with periodic payments that are less than the stated interest accrued. CMBS Credit Tenant Lease Assets. or to refinance indebtedness previously so used."CLO Asset" means any obligation secured directly by. CMBS Single Asset Securities and CMBS Large Loan Assets. commercial mortgages. home equity loans or residential mortgages. trade receivables. and are secured upon or derived from. including any CMBS Single Asset Securities. RMBS Midprime Assets and RMBS Subprime Assets. which is generated synthetically. and/or corporate bonds. "Home Equity Loan Assets" means Collateral Debt Assets that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from balances (including revolving balances) outstanding under loans or lines of credit secured by residential real estate (single or multi-family properties) the proceeds of which loans or lines of credit are used to purchase such real estate. purchase or construct dwellings thereon. which causes the principal balance to increase rather than decrease. "RMBS Assets" means RMBS Prime Assets. or (c) is issued by a real estate investment trust . "CMBS Large Loan Assets" means Collateral Debt Assets (other than CMBS Conduit Assets and CMBS Credit Tenant Lease Assets) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such Collateral Debt Assets) on the cash flow from a pool of commercial mortgage loans. or (b) is issued by an entity formed for the purpose of investing in a pool that consists of Structured Finance Securities. "CMBS Single Asset Securities" means Collateral Debt Assets (other than CMBS Conduit Assets. or representing ownership of a portfolio that includes primarily corporate. "RMBS Midprime Assets" means Collateral Debt Assets that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from residential mortgage loans secured by residential real estate (single or multifamily properties) the proceeds of which are used to purchase real estate. "CMBS Assets" means CMBS Conduit Assets. purchase or construct dwellings thereon or to refinance indebtedness previously so used. commercial. the cash flow from a specified pool of assets or transactions . generally having the following characteristics: (1) the mortgage loans have generally been underwritten to the standards of the Federal B-3 .

Any derivative. (3) the mortgage loans are obligations of numerous borrowers and accordingly represent a diversified pool of obligor credit risk. equipment leases. purchase or construct dwellings thereon. "Structured Finance Security" means. tranches only of the risk contained in such pool and the remaining tranches of risk are not separately documented or sold. that synthetically replicate the investment risks of holding a specified pool of assets. (3) the mortgage loans are obligations of numerous borrowers and accordingly represent a diversified pool of obligor credit risk. to the credit performance of any pool of corporate obligations or obligors and in which investors take the risk of one or more. the returns on which (as determined by the Collateral Manager) are linked. (2) the mortgage loans have standardized payment terms and require minimum monthly payments. purchase or construct dwellings thereon or to refinance indebtedness previously so used. but not all. "RMBS Subprime Assets" means Collateral Debt Assets that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from residential mortgage loans secured by sub-prime residential real estate (single or multi-family properties) the proceeds of which are used to purchase real estate. a specified pool of assets or transactions.National Mortgage Association and the Federal Home Loan Mortgage Corporation (without regard to the size of the loan). (4) the repayment of such mortgage loans is subject to a contractual payment schedule. or to refinance indebtedness previously so used. and (5) the weighted average FICO Score of the underlying mortgage loans is greater than 700. "Single-Tranche Synthetic CDO Asset" means any swap transaction. with early repayment depending primarily on interest rates and the sale of the mortgaged real estate and related dwelling. directly or indirectly. with early repayment depending primarily on interest rates and the sale of the mortgaged real estate and related dwelling. "RMBS Prime Assets" means Collateral Debt Assets that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from residential mortgage loans secured by residential real estate (single or multifamily properties) the proceeds of which are used to purchase real estate. (4) the repayment of such mortgage loans is subject to a contractual payment schedule. An asset issued pursuant to a physical repackaging of a Structured Finance Security (an Underlying Structured Finance Security) shall constitute a B-4 . solely for the purpose of the definition of "Liquid Security. including but not limited to consumer receivables. (2) the mortgage loans have standardize