IMPORTANT NOTICE Attached please find an electronic copy of the Prospectus (the “Prospectus”) dated March 30, 2007, relating

to the offering by AArdvark ABS CDO 2007-1 (the “Issuer”) of its Class A1 Senior Secured Floating Rate Notes due January 2008, Class A2 Senior Secured Floating Rate Notes due July 2047, Class B Senior Secured Floating Rate Notes due July 2047, Class C Secured Floating Rate Deferrable Notes due July 2047, Class D Secured Floating Rate Deferrable Notes due July 2047 and Subordinated Notes. The Prospectus is highly confidential and does not constitute an offer to any person (other than, subject to the provisions of the last five paragraphs of this notice, the recipient) or to the public generally to subscribe for or otherwise acquire the Securities described therein. The Securities described in this electronic transmission have not been, and will not be, registered under the Securities Act, or the securities laws of any state of the United States or other jurisdiction, and the issuer referred to in this electronic transmission will not be registered under the Investment Company Act (as defined below). The Securities described in this electronic transmission may not be offered or sold within the U.S. or to, or for the account or benefit of, U.S. Persons (as defined in Regulation S), except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act and applicable state or local securities laws. The Prospectus may not be forwarded or distributed to any other person and may not be reproduced in any manner whatsoever. Any forwarding, distribution, or reproduction of the Prospectus in whole or in part is unauthorized. Failure to comply with this directive may result in a violation of the Securities Act or the applicable laws of other jurisdictions. Confirmation of your Representation: To be eligible to view the Prospectus or make an investment decision with respect to the Securities described in this electronic transmission, investors must be eligible to purchase the Securities described herein. See "Transfer Restrictions". The Prospectus is being sent at your request and by accepting this e-mail and accessing the Prospectus, you shall be deemed to have represented to us that you consent to delivery of the Prospectus by electronic transmission, and you and any customers you represent are eligible to hold the Securities. You are reminded that the Prospectus has been delivered to you on the basis that you are a person into whose possession the Prospectus may be lawfully delivered in accordance with the laws of jurisdiction in which you are located and you may not, nor are you authorized to, deliver the Prospectus to any other person. The materials relating to the offering do not constitute, and may not be used in connection with, an offer or solicitation in any place where offers or solicitations are not permitted by law. If a jurisdiction requires that the offering be made by or through a licensed broker or dealer, and Mizuho International plc or any of its respective affiliates is a licensed broker or dealer in that jurisdiction, the offering shall be deemed to be made by or through Mizuho International plc or such affiliate on behalf of the issuer in that jurisdiction. The Prospectus has been sent to you in an electronic form. You are reminded that documents transmitted via this medium may be altered or changed during the process of electronic transmission and consequently neither Mizuho International plc, Mizuho Securities USA Inc., nor any person who controls either such person nor any director, officer, employee, nor agent of either such person or affiliate of any such person accepts any liability or responsibility whatsoever for any difference between the Prospectus distributed to you in electronic format and the hard copy version available to you on request from Mizuho International plc or Mizuho Securities USA Inc. DISTRIBUTION OF THE PROSPECTUS TO ANY PERSON OTHER THAN THE PERSON RECEIVING THIS ELECTRONIC TRANSMISSION FROM THE ISSUER, THE PLACEMENT AGENTS, THE INITIAL PURCHASER REFERRED TO THEREIN AND THEIR RESPECTIVE AGENTS, AND ANY PERSONS RETAINED TO ADVISE THE PERSON RECEIVING THIS ELECTRONIC TRANSMISSION FROM THE ISSUER, THE PLACEMENT AGENTS OR THE INITIAL PURCHASER WITH RESPECT THERETO, IS UNAUTHORIZED. ANY PHOTOCOPYING, DISCLOSURE OR ALTERATION OF THE CONTENTS OF THE PROSPECTUS, AND ANY FORWARDING OF A COPY OF THE PROSPECTUS OR ANY PORTION THEREOF BY ELECTRONIC MAIL OR ANY OTHER MEANS TO ANY PERSON OTHER THAN THE PERSON RECEIVING THIS ELECTRONIC TRANSMISSION FROM THE ISSUER, THE PLACEMENT

AGENTS OR THE INITIAL PURCHASER, IS PROHIBITED. BY ACCEPTING DELIVERY OF THE PROSPECTUS, THE RECIPIENT AGREES TO THE FOREGOING. THE SECURITIES REFERRED TO IN THESE MATERIALS, AND THE COLLATERAL BACKING THEM, ARE SUBJECT TO MODIFICATION OR REVISION (INCLUDING THE POSSIBILITY THAT ONE OR MORE CLASSES OF SECURITIES MAY BE SPLIT, COMBINED OR ELIMINATED AT ANY TIME PRIOR TO ISSUANCE OR AVAILABILITY OF A FINAL PROSPECTUS) AND ARE OFFERED ON A "WHEN, AS AND IF ISSUED" BASIS. EACH PROSPECTIVE INVESTOR UNDERSTANDS THAT, WHEN SUCH PROSPECTIVE INVESTOR IS CONSIDERING THE PURCHASE OF THESE SECURITIES, A BINDING CONTRACT OF SALE WILL NOT EXIST PRIOR TO THE TIME THAT THE SECURITIES OF THE RELEVANT CLASS HAVE BEEN PRICED AND THE PLACEMENT AGENTS AND THE INITIAL PURCHASER HAVE CONFIRMED THE ALLOCATION OF SECURITIES TO BE MADE TO SUCH PROSPECTIVE INVESTOR. PRIOR TO THAT TIME, ANY "INDICATIONS OF INTEREST" EXPRESSED BY ANY PROSPECTIVE INVESTOR, AND ANY "SOFT CIRCLES" GENERATED BY THE PLACEMENT AGENTS AND/OR THE INITIAL PURCHASER WILL NOT CREATE BINDING CONTRACTUAL OBLIGATIONS FOR SUCH PROSPECTIVE INVESTOR, ON THE ONE HAND, AND THE PLACEMENT AGENTS AND/OR THE INITIAL PURCHASER ON THE OTHER HAND. AS A RESULT OF THE FOREGOING, A PROSPECTIVE INVESTOR MAY COMMIT TO PURCHASE SECURITIES THAT HAVE CHARACTERISTICS THAT MAY CHANGE, AND EACH PROSPECTIVE INVESTOR IS ADVISED THAT ONE OR MORE CLASSES OF THE SECURITIES DESCRIBED HEREIN MAY NOT BE ISSUED WITH THE CHARACTERISTICS DESCRIBED IN THE FINAL PROSPECTUS. THE PLACEMENT AGENTS' AND INITIAL PURCHASER'S OBLIGATION TO SELL SECURITIES TO ANY PROSPECTIVE INVESTOR IS CONDITIONED ON THE SECURITIES HAVING THE CHARACTERISTICS DESCRIBED IN THE FINAL PROSPECTUS. IF THE PLACEMENT AGENTS AND THE INITIAL PURCHASER DETERMINE THAT THAT CONDITION IS NOT SATISFIED IN ANY MATERIAL RESPECT, SUCH PROSPECTIVE INVESTOR WILL BE NOTIFIED, AND NONE OF THE ISSUER, THE PLACEMENT AGENTS AND THE INITIAL PURCHASER WILL HAVE ANY OBLIGATION TO SUCH PROSPECTIVE INVESTOR TO DELIVER ANY PORTION OF THE SECURITIES WHICH SUCH PROSPECTIVE INVESTOR HAS COMMITTED TO PURCHASE, AND THERE WILL BE NO LIABILITY BETWEEN THE PLACEMENT AGENTS, THE INITIAL PURCHASER, THE COLLATERAL MANAGER, THE ISSUER OR ANY OF THEIR RESPECTIVE AGENTS OR AFFILIATES, ON THE ONE HAND, AND SUCH PROSPECTIVE INVESTOR, ON THE OTHER HAND, AS A CONSEQUENCE OF THE NON-DELIVERY. EACH PROSPECTIVE INVESTOR IN THE SECURITIES REQUESTED THAT THE PLACEMENT AGENTS AND/OR THE INITIAL PURCHASER PROVIDE TO SUCH PROSPECTIVE INVESTOR INFORMATION IN CONNECTION WITH SUCH PROSPECTIVE INVESTOR'S CONSIDERATION OF THE PURCHASE OF CERTAIN SECURITIES DESCRIBED IN THIS PROSPECTUS. THIS PROSPECTUS IS BEING PROVIDED TO EACH PROSPECTIVE INVESTOR FOR INFORMATIVE PURPOSES ONLY IN RESPONSE TO SUCH PROSPECTIVE INVESTOR'S SPECIFIC REQUEST. THE PLACEMENT AGENTS AND/OR THE INITIAL PURCHASER DESCRIBED IN THIS PROSPECTUS MAY FROM TIME TO TIME PERFORM INVESTMENT BANKING SERVICES FOR, OR SOLICIT INVESTMENT BANKING BUSINESS FROM, ANY COMPANY NAMED IN THIS PROSPECTUS. THE PLACEMENT AGENTS, THE INITIAL PURCHASER AND/OR THEIR EMPLOYEES MAY FROM TIME TO TIME HAVE A LONG OR SHORT POSITION IN ANY CONTRACT OR SECURITY DISCUSSED IN THESE MATERIALS. THE INFORMATION CONTAINED HEREIN SUPERSEDES ANY PREVIOUS SUCH INFORMATION DELIVERED TO ANY PROSPECTIVE INVESTOR AND MAY BE SUPERSEDED BY INFORMATION DELIVERED TO SUCH PROSPECTIVE INVESTOR PRIOR TO THE TIME OF CONTRACT OF SALE. THE INFORMATION CONTAINED HEREIN MAY BE BASED ON ASSUMPTIONS ABOUT THE ASSETS OR PARAMETERS AND THE STRUCTURE. ANY SUCH ASSUMPTIONS ARE SUBJECT TO CHANGE. IF THERE ARE MATERIAL CHANGES BETWEEN THE INFORMATION CONTAINED HEREIN AND IN ANY OTHER COMMUNICATION PRIOR TO THE TIME OF CONTRACT OF SALE, EACH INVESTOR SHOULD REVIEW THE CHANGES AND CONSIDER THEM IN CONNECTION WITH ITS INVESTMENT DECISION.

IRS CIRCULAR 230 DISCLOSURE: TO ENSURE COMPLIANCE WITH REQUIREMENTS IMPOSED BY THE IRS IN CIRCULAR 230, YOU ARE HEREBY INFORMED THAT (I) ANY TAX ADVICE CONTAINED IN THIS PROSPECTUS IS NOT INTENDED OR WRITTEN TO BE USED, AND CANNOT BE USED, FOR THE PURPOSE OF AVOIDING PENALTIES UNDER THE INTERNAL REVENUE CODE, (II) THE ADVICE IS WRITTEN TO SUPPORT THE PROMOTION OR MARKETING OF THE TRANSACTIONS OR MATTERS ADDRESSED IN THE PROSPECTUS, AND (III) EACH INVESTOR AND POTENTIAL INVESTOR SHOULD SEEK ADVICE BASED ON ITS PARTICULAR CIRCUMSTANCES FROM AN INDEPENDENT TAX ADVISOR. NOTWITHSTANDING ANY OTHER STATEMENT HEREIN OR IN THE ATTACHED PROSPECTUS, THE ISSUER AND THE COLLATERAL MANAGER, AND THEIR RESPECTIVE ADVISERS, AUTHORIZE EACH INVESTOR IN THE SECURITIES AND EACH OF ITS EMPLOYEES, REPRESENTATIVES OR OTHER AGENTS, FROM AND AFTER THE COMMENCEMENT OF ANY DISCUSSIONS WITH ANY SUCH PARTY, TO DISCLOSE TO ANY AND ALL PERSONS WITHOUT LIMITATION OF ANY KIND THE UNITED STATES INCOME AND FRANCHISE TAX TREATMENT AND UNITED STATES INCOME AND FRANCHISE TAX STRUCTURE OF THE ISSUER AND ANY TRANSACTION ENTERED INTO BY THE ISSUER AND ALL MATERIALS OF ANY KIND (INCLUDING TAX OPINIONS OR OTHER TAX ANALYSES) RELATING TO SUCH TAX TREATMENT OR TAX STRUCTURE THAT ARE PROVIDED TO SUCH INVESTOR, INSOFAR AS SUCH TREATMENT AND/OR STRUCTURE RELATES TO A UNITED STATES INCOME OR FRANCHISE TAX STRATEGY PROVIDED TO SUCH INVESTOR BY THE ISSUER OR THE COLLATERAL MANAGER, EXCEPT FOR ANY INFORMATION IDENTIFYING THE COLLATERAL MANAGER, ANY OTHER INVESTOR OR (EXCEPT TO THE EXTENT RELEVANT TO SUCH TAX STRUCTURE OR TAX TREATMENT) ANY NONPUBLIC COMMERCIAL OR FINANCIAL INFORMATION.

PROSPECTUS AArdvark ABS CDO 2007-1
U.S.$1,320,000,000 Class A1 Senior Secured Floating Rate Notes Due January 2008* U.S.$78,000,000 Class A2 Senior Secured Floating Rate Notes Due July 2047 U.S.$47,000,000 Class B Senior Secured Floating Rate Notes Due July 2047 U.S.$23,500,000 Class C Secured Floating Rate Deferrable Notes Due July 2047 U.S.$21,000,000 Class D Secured Floating Rate Deferrable Notes Due July 2047 U.S. $10,500,000 Subordinated Notes
Backed by a portfolio of RMBS Securities, CDO Securities, CMBS Securities, other Asset-Backed Securities and related Synthetic Securities *So long as the Put Agreement is in effect, the Class A1 Senior Secured Floating Rate Notes will be redeemed and reissued on each MM Reissuance Date (which will generally occur on the third or the fourth Quarterly Distribution Date after each successive date of issuance) in accordance with, and subject to, the procedures described herein. AArdvark ABS CDO 2007-1, an exempted company with limited liability incorporated under the laws of the Cayman Islands (the “Issuer”), will issue U.S.$1,320,000,000 Class A1 Senior Secured Floating Rate Notes due January 2008 (the “Class A1 Notes”), U.S.$78,000,000 Class A2 Senior Secured Floating Rate Notes due July 2047 (the “Class A2 Notes”), U.S.$47,000,000 Class B Senior Secured Floating Rate Notes due July 2047 (the “Class B Notes”), U.S.$23,500,000 Class C Secured Floating Rate Deferrable Notes due July 2047 (the “Class C Notes”), and U.S.$21,000,000 Class D Secured Floating Rate Deferrable Notes due July 2047 (the “Class D Notes” and, together with the Class A1 Notes, Class A2 Notes, Class B Notes and Class C Notes, the “Notes”). The Notes will be issued and secured pursuant to an indenture dated as of March 1, 2007 (the “Indenture”) between the Issuer and Deutsche Bank Trust Company Americas, as trustee (the “Trustee”). Concurrently with the issuance of the Notes, the Issuer will issue U.S.$10,500,000 Subordinated Notes (the “Subordinated Notes”) pursuant to and in accordance with the Subordinated Note Issuing and Paying Agency Agreement dated as of March 1, 2007 (the “Subordinated Note Issuing and Paying Agency Agreement”) between the Issuer and Deutsche Bank Trust Company Americas, as Subordinated Note Issuing and Paying Agent (the “Subordinated Note Issuing and Paying Agent”). The Notes and the Subordinated Notes are collectively referred to herein as the “Securities.” The Collateral (as defined herein) securing the Notes will be managed by HarbourView Asset Management Corporation, a New York corporation (“HarbourView” or the “Collateral Manager”). (Continued on next page) It is a condition to the issuance of the Securities that the Class A1 Notes be rated “P-1” by Moody’s Investors Service, Inc. (“Moody’s”) and at least “A-1” by Standard & Poor’s Ratings Services, a division of The McGraw-Hill Companies, Inc. (“Standard & Poor’s” or “S&P” and, together with Moody’s, the “Rating Agencies”), that the Class A2 Notes be rated “Aaa” by Moody’s and “AAA” by Standard & Poor’s, that the Class B Notes be rated at least “Aa2” by Moody’s and at least “AA” by Standard & Poor’s, that the Class C Notes be rated at least “A2” by Moody’s and at least “A” by Standard & Poor’s, and that the Class D Notes be rated at least “Baa2” by Moody’s and at least “BBB” by Standard & Poor’s. The Subordinated Notes will be rated by Standard & Poor’s and are expected to have a rating of at least “BB+”, solely as to ultimate payment of Subordinated Note Rated Principal (as defined herein). The "P-1" rating assigned by Moody's to the Class A1 Notes addresses the timely payment of interest and the payment of principal on the Put Agreement Settlement Date (as defined herein) relating to each MM Stated Maturity. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision, suspension or withdrawal at any time. SEE “RISK FACTORS” BEGINNING ON PAGE 19 IN THIS PROSPECTUS (THE “PROSPECTUS”) FOR A DESCRIPTION OF CERTAIN FACTORS THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE SECURITIES. THE COLLATERAL IS THE SOLE SOURCE OF PAYMENTS ON THE SECURITIES. THE SECURITIES DO NOT REPRESENT AN INTEREST IN OR OBLIGATIONS OF, AND ARE NOT INSURED OR GUARANTEED BY, THE TRUSTEE, THE PUT COUNTERPARTY, THE COLLATERAL MANAGER, ANY HEDGE COUNTERPARTY, MIZUHO INTERNATIONAL PLC, MIZUHO SECURITIES USA OR ANY OF THEIR RESPECTIVE AFFILIATES. THE SECURITIES BEING OFFERED HEREBY HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT OF 1933, AS AMENDED (THE “SECURITIES ACT”), UNDER APPLICABLE STATE SECURITIES LAWS OR UNDER THE LAWS OF ANY OTHER JURISDICTION. THE SECURITIES ARE BEING OFFERED (A) IN THE UNITED STATES IN RELIANCE UPON AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT TO “QUALIFIED INSTITUTIONAL BUYERS” (WITHIN THE MEANING OF RULE 144A UNDER THE SECURITIES ACT) AND, IN THE CASE OF THE SUBORDINATED NOTES, A LIMITED NUMBER OF “ACCREDITED INVESTORS” WITHIN THE MEANING OF RULE 501(a) UNDER THE SECURITIES ACT THAT, IN EACH CASE, ARE QUALIFIED PURCHASERS (AS DEFINED HEREIN) AND (B) OUTSIDE THE UNITED STATES TO PERSONS WHO ARE NOT “U.S. PERSONS” (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT (“REGULATION S”)) IN OFFSHORE TRANSACTIONS IN RELIANCE ON REGULATION S AND, IN EACH CASE, IN ACCORDANCE WITH APPLICABLE LAWS. EACH ORIGINAL PURCHASER OF A CLASS D NOTE OR SUBORDINATED NOTE WILL BE REQUIRED IN AN INVESTOR APPLICATION LETTER DELIVERED TO THE ISSUER (AN “INVESTOR APPLICATION LETTER”) TO MAKE CERTAIN ACKNOWLEDGMENTS, REPRESENTATIONS AND AGREEMENTS SET FORTH UNDER “TRANSFER RESTRICTIONS.” A TRANSFER OF SECURITIES (OR ANY INTEREST THEREIN) IS SUBJECT TO CERTAIN RESTRICTIONS DESCRIBED HEREIN, INCLUDING THAT NO SALE, PLEDGE, TRANSFER OR EXCHANGE MAY BE MADE IN A DENOMINATION LESS THAN THE REQUIRED MINIMUM DENOMINATION. SEE “TRANSFER RESTRICTIONS.” The Securities are offered hereby by Mizuho International plc (the “Initial Purchaser”) in the United States through its affiliated registered broker/dealer Mizuho Securities USA Inc. (the “Co-Placement Agent”) and outside the United States by Mizuho International plc (in such capacity, the “Placement Agent” and together with the Co-Placement Agent, the “Placement Agents”), subject to prior sale, when, as and if issued. The Class A1 Notes will be remarketed from time to time by Mizuho International plc in the United States through its affiliated registered broker/dealer Mizuho Securities USA Inc. (in such capacity, together with any successor in such capacity, the “Co-Remarketing Agent”) and outside the United States by Mizuho International plc (in such capacity, together with any successor in such capacity, the “Remarketing Agent” and together with the CoRemarketing Agent, the “Remarketing Agents”) pursuant to the Remarketing Agreement (as defined herein). The Issuer and the Placement Agents reserve the right to withdraw, cancel or modify such offer and to reject orders in whole or in part. It is expected that the Securities (other than the Restricted Class D Notes (as defined herein) and the Restricted Subordinated Notes (as defined herein)), will be delivered on or about March 1, 2007 (the “Closing Date”), through the facilities of The Depository Trust Company (“DTC”) and, in the case of the Restricted Class D Notes and the Restricted Subordinated Notes, in the offices of Stroock & Stroock & Lavan LLP, New York, New York, against payment therefor in immediately available funds. It is a condition to the issuance of the Securities that all the Securities are issued concurrently.

MIZUHO INTERNATIONAL PLC MIZUHO SECURITIES USA INC.
The date of this Prospectus is March 30, 2007

(cover continued)

Application has been made to the Irish Financial Services Regulatory Authority (the “Financial Regulator”), as competent authority under Directive 2003/71/EC, for the Prospectus to be approved. Such approval relates only to the Notes that are to be admitted to trading on the regulated market of the Irish Stock Exchange or other regulated markets for the purposes of Directive 93/22/EEC or which are to be offered to the public in any Member State of the European Economic Area. Application has been made to the Irish Stock Exchange (the “Irish Stock Exchange”) for the Notes to be admitted to the Official List and to trading on its regulated market. There can be no assurance that such admission to trading will be approved or maintained. This Prospectus constitutes a Prospectus for the purposes of Directive 2003/71/EC (the “Prospectus Directive”). The Issuer has been established as a special purpose vehicle for the purpose of issuing asset backed securities. Subject in each case to the Priority of Payments, (a) holders of the Class A1 Notes will be entitled to receive interest at a floating rate per annum equal to (i) until the first MM Reissuance Date (as defined herein), London interbank offered rate (“LIBOR”) of the applicable Designated Maturity plus 0.03% on their outstanding principal balance, and (ii) thereafter, LIBOR of the applicable Designated Maturity plus the applicable Class A1 Spread (as defined herein) on their outstanding principal balance; provided, however, that if any Class A1 Extended Notes are issued after the Closing Date, under the circumstances described herein, holders of Class A1 Extended Notes will be entitled to receive interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity plus 0.18% on their outstanding principal balance; (b) holders of the Class A2 Notes will be entitled to receive interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity, determined as described herein, in effect from time to time plus 0.45% on their outstanding principal balance, (c) holders of the Class B Notes will be entitled to receive interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity in effect from time to time plus 0.55% on their outstanding principal balance, (d) holders of the Class C Notes will be entitled to receive interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity in effect from time to time plus 1.70% on their outstanding principal balance and (e) holders of the Class D Notes will be entitled to receive interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity in effect from time to time plus 3.40% on their outstanding principal balance. See “Description of the Notes— Priority of Payments.” With respect to each MM Reissuance Date, so long as the Put Agreement is outstanding, the Class A1 Spread for the Class A1 Notes issued on such MM Reissuance Date will be reset on each such date for the period (the “MM Reset Period”) from and including such MM Reissuance Date to but excluding the Stated Maturity of such Class A1 Notes. Interest on the Notes (other than the Class A1 Notes) will be payable in U.S. Dollars quarterly in arrears on the 6th day of each January, April, July and October (each, a “Quarterly Distribution Date”); provided that the first Quarterly Distribution Date will occur in July 2007. Interest on the Class A1 Notes will be payable in U.S. Dollars monthly in arrears on the 6th day of each calendar month, commencing in July 2007 (each, a “Monthly Distribution Date”). The principal of each of the Class A1 Notes, the Class A2 Notes, the Class B Notes, the Class C Notes and the Class D Notes is payable out of funds available therefor on each Monthly Distribution Date or Quarterly Distribution Date, as the case may be, and is required to be paid by the Stated Maturity of each such Class, unless redeemed or repaid prior thereto. See “Description of the Notes— Principal.” Each Class of Notes and Subordinated Notes is entitled to receive payment pari passu among all holders of such Class. Except as otherwise described in the following paragraph and the Priority of Payments, the relative order of seniority of payment of each Class of Notes is as follows: first, the Class A1 Notes, second, the Class A2 Notes, third, the Class B Notes, fourth, the Class C Notes, fifth, the Class D Notes and sixth, the Subordinated Notes with (a) each Class of Notes in such list being “Senior” to each other Class of Notes that follows such Class of Notes in such list and (b) each Class of Notes in such list being “Subordinate” to each other Class of Notes that precedes such Class of Notes in such list. No payment of interest on any Class of Notes will be made until all accrued and unpaid interest on the Notes of each Class that is Senior to such Class and that remains outstanding has been paid in full. No payment of principal of any Class of Notes will be made until all principal of, and all accrued and unpaid interest on, the Notes of each Class that is Senior to such Class and that remain outstanding have been paid in full; provided that, on any Quarterly Distribution Date, (i) as further described in paragraph (3) under the heading “Description of the Notes—Priority of Payments—Principal Proceeds,” principal on a Class of Notes may be paid prior to the payment in full of any Senior Class of Notes if the Pro Rata Payment Condition is satisfied with respect to such Distribution Date; (ii) on or prior to the last day of the Reinvestment Period, as further described in paragraph (17) under the heading “Description of the Notes—Priority of Payments—Interest Proceeds,” principal on the Class D Notes may be paid prior to the payment in full of any Senior Class of Notes; and (iii) Class C Deferred Interest and Class D Deferred Interest added to the aggregate outstanding principal amount of, respectively, the Class C Notes and the Class D Notes may be paid pursuant to the Priority of Payments prior to the payment in full of Senior Classes of Notes. ii

The Notes are subject to optional and mandatory redemption under the circumstances described under “Description of the Notes—Mandatory Redemption,” “—Auction Call Redemption” and “—Optional Redemption and Tax Redemption.” The Class A1 Notes are subject to redemption and reissuance (i) on the related MM Reissuance Date (which will generally occur on the third or the fourth Quarterly Distribution Date after each successive date of issuance), (ii) on the Put Termination Reissuance Date and (iii) in the case of Tendered Class A1 Notes, on the related Quarterly Tender Date, in each case under the circumstances described under “Description of the Notes—Remarketing Procedures for the Class A1 Notes.” Until the Notes are paid in full, on each Quarterly Distribution Date, to the extent funds are available therefor, Interest Proceeds will be released from the lien of the Indenture for payment to the Subordinated Note Issuing and Paying Agent only after the payment of interest on the Notes, and certain fees, expenses and other amounts, in each case, in accordance with the Priority of Payments. Any Interest Proceeds permitted to be released from the lien of the Indenture on any Quarterly Distribution Date in accordance with the Priority of Payments and paid to the Subordinated Note Issuing and Paying Agent will be distributed to the holders of the Subordinated Notes (the “Subordinated Noteholders”) on such Quarterly Distribution Date. Until the Notes have been paid in full, Principal Proceeds are not permitted to be released from the lien of the Indenture for payment to the Subordinated Note Issuing and Paying Agent and will not be available to make distributions in respect of the Issuer’s ordinary shares or Subordinated Notes. After the Notes have been paid in full, Interest Proceeds and Principal Proceeds remaining after all other applications under the Priority of Payments will be released from the lien of the Indenture in accordance with the Priority of Payments and paid on each Quarterly Distribution Date to the Subordinated Note Issuing and Paying Agent for distribution to the Subordinated Noteholders, to the extent sufficient funds are available therefor in accordance with the Priority of Payments. The directors of the Issuer (the “Directors”) currently intend, in the event that the Subordinated Notes are not redeemed at the option of the holders of a Majority of the Subordinated Notes following the repayment in full of the Notes, to liquidate all of the Issuer’s remaining investments in an orderly manner and distribute the proceeds of such liquidation to the owners of Issuer’s ordinary shares and the Subordinated Noteholders, in accordance with the Subordinated Note Issuing and Paying Agency Agreement and subject to the provisions of the Companies Law (2004 Revision) of the Cayman Islands. See “Description of the Subordinated Notes—Distributions.” __________________ NOTICE TO NEW HAMPSHIRE RESIDENTS

NEITHER THE FACT THAT A REGISTRATION STATEMENT OR AN APPLICATION FOR A LICENSE HAS BEEN FILED UNDER CHAPTER 421-B OF THE NEW HAMPSHIRE REVISED STATUTES (“RSA 421-B”) WITH THE STATE OF NEW HAMPSHIRE NOR THE FACT THAT A SECURITY IS EFFECTIVELY REGISTERED OR A PERSON IS LICENSED IN THE STATE OF NEW HAMPSHIRE CONSTITUTES A FINDING BY THE SECRETARY OF STATE OF NEW HAMPSHIRE THAT ANY DOCUMENT FILED UNDER RSA 421-B IS TRUE, COMPLETE AND NOT MISLEADING. NEITHER ANY SUCH FACT NOR THE FACT THAT AN EXEMPTION OR EXCEPTION IS AVAILABLE FOR A SECURITY OR A TRANSACTION MEANS THAT THE SECRETARY OF STATE HAS PASSED IN ANY WAY UPON THE MERITS OR QUALIFICATIONS OF, OR RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON, SECURITY OR TRANSACTION. IT IS UNLAWFUL TO MAKE, OR CAUSE TO BE MADE, TO ANY PROSPECTIVE PURCHASER, CUSTOMER OR CLIENT ANY REPRESENTATION INCONSISTENT WITH THE PROVISIONS OF THIS PARAGRAPH.
__________________ NO PERSON IS AUTHORIZED IN CONNECTION WITH ANY OFFERING MADE HEREBY TO GIVE ANY INFORMATION OR MAKE ANY REPRESENTATION OTHER THAN AS CONTAINED HEREIN AND, IF GIVEN OR MADE, SUCH INFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON AS HAVING BEEN AUTHORIZED BY THE ISSUER, THE COLLATERAL MANAGER, THE PUT COUNTERPARTY, THE PLACEMENT AGENTS, THE INITIAL PURCHASER OR ANY OF THEIR RESPECTIVE AFFILIATES. THE PROSPECTUS WILL NOT CONSTITUTE AN OFFER TO SELL, OR A SOLICITATION OF AN OFFER TO BUY, (A) ANY SECURITIES OTHER THAN THE SECURITIES OR (B) ANY OFFERED SECURITY IN ANY JURISDICTION IN WHICH IT IS UNLAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION. THE DISTRIBUTION OF THIS PROSPECTUS AND THE OFFERING OF THE SECURITIES IN CERTAIN JURISDICTIONS MAY BE RESTRICTED BY LAW. PERSONS INTO WHOSE POSSESSION THIS PROSPECTUS COMES ARE REQUIRED BY THE ISSUER, THE PLACEMENT iii

AGENTS AND THE INITIAL PURCHASER TO INFORM THEMSELVES ABOUT, AND TO OBSERVE, ANY SUCH RESTRICTIONS. IN PARTICULAR, THERE ARE RESTRICTIONS ON THE DISTRIBUTION OF THIS PROSPECTUS, AND THE OFFER AND SALE OF SECURITIES, IN THE UNITED STATES OF AMERICA, THE UNITED KINGDOM AND THE CAYMAN ISLANDS. SEE “PLAN OF DISTRIBUTION.” NEITHER THE DELIVERY OF THIS PROSPECTUS NOR THE SALE OF ANY SECURITY OFFERED HEREBY SHALL UNDER ANY CIRCUMSTANCES IMPLY THAT THERE HAS BEEN NO CHANGE IN THE AFFAIRS OF THE ISSUER OR THAT THE INFORMATION HEREIN IS CORRECT AS OF ANY DATE SUBSEQUENT TO THE DATE AS OF WHICH SUCH INFORMATION IS GIVEN HEREIN. THE ISSUER, THE PLACEMENT AGENTS AND THE INITIAL PURCHASER RESERVE THE RIGHT, FOR ANY REASON, TO REJECT ANY OFFER TO PURCHASE IN WHOLE OR IN PART, TO ALLOT TO ANY OFFEREE LESS THAN THE FULL AMOUNT OF SECURITIES SOUGHT BY SUCH OFFEREE OR TO SELL LESS THAN THE AGGREGATE STATED PRINCIPAL AMOUNT OF ANY CLASS OF NOTES OR THE AGGREGATE STATED PRINCIPAL AMOUNT OF SUBORDINATED NOTES. __________________ THE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE UNITED STATES SECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION OR OTHER REGULATORY AUTHORITY OF ANY STATE OR OTHER JURISDICTION, AND NONE OF THE FOREGOING AUTHORITIES HAS CONFIRMED THE ACCURACY OR DETERMINED THE ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. __________________ This Prospectus has been prepared by the Issuer solely for use in connection with the offering of the Securities described herein (the “Offering”) and for listing purposes. Except in respect of the Collateral Manager Information, the Swiss Re Information and the Mizuho Information, the Issuer has taken all reasonable care to confirm that the information contained in this Prospectus is true and accurate in all material respects and is not misleading in any material respect and that there are no other facts relating to the Issuer or the Securities, the omission of which makes this Prospectus as a whole or any such information contained herein, in light of the circumstances under which it was made, misleading in any material respect. The Issuer accepts responsibility for the information contained in this document accordingly. To the best knowledge and belief of the Issuer, having taken all reasonable care to ensure that such is the case, the information contained in this document is in accordance with the facts and does not omit anything likely to affect the import of such information. The Issuer disclaims any obligation to update such information and does not intend to do so. None of the Placement Agents, the Initial Purchaser or any of their affiliates makes any representation or warranty as to, or has independently verified or assumes any responsibility for, the accuracy or completeness of the information contained herein other than the Mizuho Information. Neither the Collateral Manager nor any of its Affiliates makes any representation or warranty as to, or has independently verified or assumes any responsibility for, the accuracy and completeness of the information contained herein other than the Collateral Manager Information. To the best knowledge and belief of the Collateral Manager, having taken all reasonable care to ensure that such is the case, the Collateral Manager Information is in accordance with the facts and does not omit anything likely to affect the import of such information. The Collateral Manager disclaims any obligation to update such information and does not intend to so do. Neither the Initial Hedge Counterparty nor any of its Affiliates makes any representation or warranty as to, or has independently verified or assumes any responsibility for, the accuracy and completeness of the information contained herein other than the Swiss Re Information. To the best knowledge and belief of the Initial Hedge Counterparty, having taken all reasonable care to ensure that such is the case, the Swiss Re Information is in accordance with the facts and does not omit anything likely to affect the import of such information. The Initial Hedge Counterparty disclaims any obligation to update such information and does not intend to so do. To the best knowledge and belief of the Put Counterparty having taken all reasonable care to ensure that such is the case, the Mizuho Information is in accordance with the facts and does not omit anything likely to affect the import of such information. The Put Counterparty disclaims any obligation to update such information and do not intend to so do. None of the Hedge Counterparties or their respective affiliates makes any representation or warranty as to, or has independently verified or assumes any responsibility for, the accuracy and completeness of the information contained herein. Nothing contained in this Prospectus is or should be relied upon as a promise or representation as to future results or events. None of the Trustee, the Subordinated Note Issuing and Paying Agent, the Collateral Administrator or their affiliates has participated in the preparation of this Prospectus and none of them assumes any responsibility for its contents. The Collateral Manager has taken all reasonable care to confirm that the Collateral Manager Information contained in this Prospectus is true and accurate in all material respects and is not misleading in any material respect and that there are no other facts relating to the relating to the Issuer or the Securities, the omission of which makes this Prospectus as a whole or any such information contained herein, in light of the circumstances under which it was made, misleading in any material iv

respect. The Collateral Manager accepts responsibility for the Collateral Manager Information contained in this document accordingly. To the best knowledge and belief of the Collateral Manager, having taken all reasonable care to ensure that such is the case, the information contained in this document is in accordance with the facts and does not omit anything likely to affect the import of such information. The Collateral Manager disclaims any obligation to update such information and does not intend to do so. Swiss Re has taken all reasonable care to confirm that the Swiss Re Information contained in this Prospectus is true and accurate in all material respects and is not misleading in any material respect and that there are no other facts relating to relating to the Issuer or the Securities, the omission of which makes this Prospectus as a whole or any such information contained herein, in light of the circumstances under which it was made, misleading in any material respect. Swiss Re accepts responsibility for the Swiss Re Information contained in this document accordingly. To the best knowledge and belief of Swiss Re, having taken all reasonable care to ensure that such is the case, the information contained in this document is in accordance with the facts and does not omit anything likely to affect the import of such information. Swiss Re disclaims any obligation to update such information and does not intend to do so. Mizuho International plc has taken all reasonable care to confirm that the Mizuho Information contained in this Prospectus is true and accurate in all material respects and is not misleading in any material respect and that there are no other facts relating to relating to the Issuer or the Securities, the omission of which makes this Prospectus as a whole or any such information contained herein, in light of the circumstances under which it was made, misleading in any material respect. Mizuho International plc accepts responsibility for the Mizuho Information contained in this document accordingly. To the best knowledge and belief of Mizuho International plc, having taken all reasonable care to ensure that such is the case, the information contained in this document is in accordance with the facts and does not omit anything likely to affect the import of such information. Mizuho International plc disclaims any obligation to update such information and does not intend to do so. All of the statements in this Prospectus with respect to the business of the Issuer, and any financial projections or other forecasts, are based on information furnished by the Issuer. See “Forward Looking Statements.” None of the Placement Agents, the Initial Purchaser, the Collateral Manager, any Hedge Counterparty, the Put Counterparty or their respective affiliates assumes any responsibility for the performance of any obligations of the Issuer or any other person described in this Prospectus other than its own obligations or for the due execution, validity or enforceability of the Securities, instruments or documents delivered in connection with the Securities or for the value or validity of any collateral pledged in connection with the Notes. The Issuer will make available to any offeree of the Securities, prior to the issuance thereof, the opportunity to ask questions of and to receive answers from the Issuer or a person acting on its behalf concerning the terms and conditions of the Offering, the Issuer or any other relevant matters and to obtain any additional information to the extent the Issuer possesses such information or can obtain it without unreasonable expense. Each purchaser or transferee of a Restricted Note or a Restricted Subordinated Note will be required (or, in certain circumstances, deemed) to represent to the Issuer, the Placement Agents and the Initial Purchaser (amongst others) that it is (a) a Qualified Institutional Buyer, to whom notice is given that the resale, pledge or other transfer is being made in reliance on the exemption from Securities Act registration provided by Rule 144A or (b) in the case of a purchaser of a Restricted Subordinated Note purchasing such Restricted Subordinated Note from the Initial Purchaser in connection with the initial distribution thereof, an “accredited investor” within the meaning of Rule 501 under the Securities Act (an “Accredited Investor”), in each case that is also a Qualified Purchaser and is acquiring the Restricted Note or Restricted Subordinated Note for its own account for investment purposes and not with a view to the distribution thereof (except in accordance with Rule 144A or, in the case of a Restricted Subordinated Note, another exemption). A “Qualified Purchaser” is a “qualified purchaser” within the meaning of Section 3(c)(7) of the Investment Company Act of 1940, as amended (the “Investment Company Act”) and the rules thereunder. Each purchaser or transferee of a Regulation S Global Note or Regulation S Global Subordinated Note will be required (or, in certain circumstances, deemed) to represent to the Issuer, the Placement Agents and the Initial Purchaser (amongst others) that it is acquiring the Regulation S Global Note or Regulation S Global Subordinated Note in an “offshore transaction” within the meaning of Rule 903 or Rule 904 of Regulation S and is not a “U.S. Person” as such term is defined in Regulation S and is acquiring the Regulation S Global Note or Regulation S Global Subordinated Note for its own account and not for the account or benefit of a U.S. Person. Each purchaser or transferee of Securities also will be required (or, in certain circumstances, deemed) to acknowledge that the Securities have not been and will not be registered under the Securities Act and may not be reoffered, resold, pledged or otherwise transferred except (a) (i) to a person (A) whom the seller reasonably believes is a Qualified Institutional Buyer, purchasing for its own account, to whom notice is given that the resale, pledge or other transfer is being made in reliance on the exemption from Securities Act registration provided by Rule 144A and (B) that is a Qualified Purchaser or (ii) in an “offshore transaction” in accordance with Rules 903 and 904 of Regulation S to a non-U.S. Person, (b) in compliance with the certification and other v

requirements set forth in the Indenture or the Subordinated Note Issuing and Paying Agency Agreement, as applicable, and (c) in accordance with any applicable securities laws of any state of the United States and any other relevant jurisdiction. For a description of these and certain other restrictions on offers and sales of the Securities, see “Transfer Restrictions.” Each purchaser and transferee of a Security will be required to make (or will be deemed to have made) certain representations and warranties with respect to Title I of the U.S. Employee Retirement Income Security Act of 1974, as amended, Section 4975 of the Internal Revenue Code of 1986, as amended, and other similar laws. See “ERISA Considerations” and “Transfer Restrictions.” Although the Placement Agents and/or the Initial Purchaser may from time to time make a market in the Securities, none of the Placement Agents and/or the Initial Purchaser is under any obligation to do so. In the event that the Placement Agents or the Initial Purchaser commence any market-making, it may discontinue the same at any time. There can be no assurance that a secondary market for the Securities will develop or, if a secondary market does develop, that it will provide the holders of Securities with liquidity of investment or that it will continue for the life of such Securities. __________________ THIS PROSPECTUS IS FOR INFORMATION PURPOSES ONLY AND IS NOT INTENDED TO BE RELIED UPON ALONE AS THE BASIS FOR AN INVESTMENT DECISION. IN MAKING AN INVESTMENT DECISION, PROSPECTIVE INVESTORS MUST RELY ON THEIR OWN EXAMINATION OF THE ISSUER AND THE TERMS OF THE OFFERING, INCLUDING THE MERITS AND RISKS INVOLVED, AND MUST NOT RELY UPON INFORMATION PROVIDED BY OR STATEMENTS MADE BY THE PLACEMENT AGENTS, THE INITIAL PURCHASER, THE COLLATERAL MANAGER, THE PUT COUNTERPARTY, ANY HEDGE COUNTERPARTY OR ANY OF THEIR RESPECTIVE AFFILIATES. INVESTORS SHOULD BE AWARE THAT THEY MAY BE REQUIRED TO BEAR THE FINANCIAL RISKS OF AN INVESTMENT IN THE SECURITIES FOR AN INDEFINITE PERIOD OF TIME. SEE “RISK FACTORS.” NONE OF THE ISSUER, THE COLLATERAL MANAGER, THE PLACEMENT AGENTS, THE INITIAL PURCHASER, THE PUT COUNTERPARTY, ANY HEDGE COUNTERPARTY AND THEIR RESPECTIVE AFFILIATES MAKES ANY REPRESENTATION TO ANY OFFEREE OR PURCHASER OF SECURITIES REGARDING THE LEGALITY OF INVESTMENT THEREIN BY SUCH OFFEREE OR PURCHASER UNDER APPLICABLE LEGAL INVESTMENT OR SIMILAR LAWS OR REGULATIONS OR THE PROPER CLASSIFICATION OF SUCH AN INVESTMENT THEREUNDER. THE CONTENTS OF THIS PROSPECTUS ARE NOT TO BE CONSTRUED AS LEGAL, BUSINESS OR TAX ADVICE. EACH PROSPECTIVE INVESTOR SHOULD CONSULT ITS OWN ATTORNEY, BUSINESS ADVISOR AND TAX ADVISOR AS TO LEGAL, BUSINESS AND TAX ADVICE. __________________ In this Prospectus, references to “U.S. Dollars,” “Dollars” and “U.S.$” are to United States dollars. __________________ Offers, sales and deliveries of the Securities are subject to certain restrictions in the United States, the United Kingdom, the Cayman Islands and other jurisdictions. See “Plan of Distribution” and “Transfer Restrictions.” No invitation may be made to the public in the Cayman Islands to subscribe for the Securities. __________________ NOTICE TO FLORIDA RESIDENTS THE SECURITIES ARE OFFERED PURSUANT TO A CLAIM OF EXEMPTION UNDER SECTION 517.061 OF THE FLORIDA SECURITIES ACT (THE “FLORIDA ACT”) AND HAVE NOT BEEN REGISTERED UNDER THE FLORIDA ACT IN THE STATE OF FLORIDA. FLORIDA RESIDENTS WHO ARE NOT INSTITUTIONAL INVESTORS DESCRIBED IN SECTION 517.061(7) OF THE FLORIDA ACT HAVE THE RIGHT TO VOID THEIR PURCHASES OF THE SECURITIES WITHOUT PENALTY WITHIN THREE DAYS AFTER THE FIRST TENDER OF CONSIDERATION. vi

__________________ NOTICE TO CONNECTICUT RESIDENTS THE SECURITIES HAVE NOT BEEN REGISTERED UNDER THE CONNECTICUT SECURITIES LAW. SECURITIES ARE SUBJECT TO RESTRICTIONS ON TRANSFERABILITY AND SALE. __________________ NOTICE TO GEORGIA RESIDENTS THE SECURITIES HAVE BEEN ISSUED OR SOLD IN RELIANCE ON PARAGRAPH (13) OF CODE SECTION 10-5-9 OF THE GEORGIA SECURITIES ACT OF 1973, AND MAY NOT BE SOLD OR TRANSFERRED EXCEPT IN A TRANSACTION WHICH IS EXEMPT UNDER SUCH ACT OR PURSUANT TO AN EFFECTIVE REGISTRATION UNDER SUCH ACT. __________________ NOTICE TO RESIDENTS OF CAYMAN ISLANDS NO INVITATION MAY BE MADE TO A MEMBER OF THE PUBLIC IN THE CAYMAN ISLANDS, WITHIN THE MEANING OF SECTION 194 OF THE CAYMAN ISLANDS COMPANIES LAWS (2004 REVISION), TO PURCHASE THE SECURITIES. ACCORDINGLY, NO SUCH INVITATION IS MADE BY THIS PROSPECTUS. SECTION 194 OF THE CAYMAN ISLANDS COMPANIES LAW (2004 REVISION) PROVIDES THAT AN EXEMPTED COMPANY (SUCH AS THE ISSUER) THAT IS NOT LISTED ON THE CAYMAN ISLANDS STOCK EXCHANGE IS PROHIBITED FROM MAKING ANY INVITATION TO THE PUBLIC IN THE CAYMAN ISLANDS TO SUBSCRIBE FOR ANY OF ITS SECURITIES. __________________ NOTICE TO RESIDENTS OF GERMANY NO SECURITIES WILL BE OFFERED TO THE PUBLIC IN GERMANY, EXCEPT (A) WITHIN THE PERIOD BEGINNING ON THE DATE OF PUBLICATION OF A PROSPECTUS IN RELATION TO THE SECURITIES TO BE OFFERED WHICH HAS BEEN APPROVED BY THE GERMAN FEDERAL FINANCIAL SUPERVISORY AUTHORITY (“BAFIN”) OR, WHERE APPROPRIATE, APPROVED IN ANY OTHER MEMBER STATE OF THE EUROPEAN ECONOMIC AREA WHICH HAS IMPLEMENTED THE PROSPECTUS DIRECTIVE (EACH SUCH MEMBER STATE, A “RELEVANT MEMBER STATE”) AND NOTIFIED TO THE BAFIN IN ACCORDANCE WITH THE PROSPECTUS DIRECTIVE AND THE GERMAN WERTPAPIERPROSPEKTGESETZ (“GERMAN SECURITIES PROSPECTUS ACT,” “WPPG”) AND ENDING ON THE DATE WHICH IS 12 MONTHS AFTER THE DATE OF SUCH PUBLICATION; (B) AT ANY TIME TO LEGAL ENTITIES WHICH ARE AUTHORIZED OR REGULATED TO OPERATE IN THE FINANCIAL MARKETS OR, IF NOT SO AUTHORIZED OR REGULATED, WHOSE CORPORATE PURPOSE IS SOLELY TO INVEST IN SECURITIES; (C) AT ANY TIME TO LEGAL ENTITIES WHICH HAVE TWO OR MORE OF (1) AN AVERAGE OF AT LEAST 250 EMPLOYEES DURING THE LAST FINANCIAL YEAR; (2) A TOTAL BALANCE SHEET OF MORE THAN €43,000,000 AND (3) AN ANNUAL NET TURNOVER OF MORE THAN €50,000,000, AS SHOWN IN ITS LAST ANNUAL UNCONSOLIDATED OR CONSOLIDATED ACCOUNTS; OR (D) AT ANY TIME IN ANY OTHER CIRCUMSTANCES WHICH DO NOT REQUIRE THE PUBLICATION OF A PROSPECTUS PURSUANT TO SECTION 3 OF THE WPPG. FOR THE PURPOSES OF THIS PROVISION, THE EXPRESSION “OFFERED TO THE PUBLIC” IN GERMANY MEANS THE COMMUNICATION TO THE PUBLIC IN ANY FORM AND BY ANY MEANS OF SUFFICIENT INFORMATION ON THE TERMS OF THE OFFER AND THE SECURITIES TO BE OFFERED SO AS TO ENABLE AN INVESTOR TO DECIDE TO PURCHASE OR SUBSCRIBE SUCH SECURITIES, AND THE EXPRESSION vii THE

“PROSPECTUS DIRECTIVE” MEANS DIRECTIVE 2003/71/EC IMPLEMENTING MEASURE IN EACH RELEVANT MEMBER STATE.

AND

INCLUDES

ANY

RELEVANT

THE SECURITIES HAVE NOT BEEN AND WILL NOT BE REGISTERED OR AUTHORIZED FOR DISTRIBUTION IN GERMANY UNDER THE GERMAN INVESTMENTGESETZ (“INVESTMENT ACT”) AND ACCORDINGLY, THE SECURITIES, THIS PROSPECTUS AND ANY RELATED MATERIAL AND MAY NOT BE, AND ARE NOT BEING, DISTRIBUTED IN GERMANY BY WAY OF A PUBLIC OFFER, PUBLIC ADVERTISING OR IN ANY SIMILAR MANNER UNDER THE INVESTMENT ACT. THEREFORE, THIS OFFER IS ONLY BEING MADE TO RECIPIENTS TO WHOM THIS PROSPECTUS IS PERSONALLY ADDRESSED. ANY OFFER OF THE SECURITIES MAY ONLY BE MADE IN ACCORDANCE WITH THE INVESTMENT ACT AND ALL OTHER APPLICABLE LAWS IN GERMANY GOVERNING THE ISSUE, OFFERING AND SALE OF THE SECURITIES. __________________ NOTICE TO RESIDENTS OF IRELAND THE SECURITIES WILL NOT AND MAY NOT BE OFFERED, SOLD, TRANSFERRED OR DELIVERED, WHETHER DIRECTLY OR INDIRECTLY, OTHERWISE THAN IN CIRCUMSTANCES WHICH DO NOT CONSTITUTE AN OFFER TO THE PUBLIC WITHIN THE MEANING OF THE IRISH COMPANIES ACT 1963-2005 (AS AMENDED). __________________ NOTICE TO RESIDENTS OF JAPAN THE SECURITIES HAVE NOT BEEN, AND WILL NOT BE, REGISTERED UNDER THE SECURITIES AND EXCHANGE LAW OF JAPAN. NEITHER THE SECURITIES NOR ANY INTEREST THEREIN MAY BE OFFERED, SOLD, RESOLD OR OTHERWISE TRANSFERRED, DIRECTLY OR INDIRECTLY, IN JAPAN OR TO OR FOR THE ACCOUNT OF ANY RESIDENT IN JAPAN (WHICH TERM AS USED HEREIN MEANS ANY PERSON RESIDENT IN JAPAN, INCLUDING ANY CORPORATION OR OTHER ENTITY ORGANIZED UNDER THE LAWS OF JAPAN), OR TO OTHERS FOR RE-OFFERING OR SALE, DIRECTLY OR INDIRECTLY, IN JAPAN OR TO A RESIDENT OF JAPAN EXCEPT PURSUANT TO AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF, AND OTHERWISE IN COMPLIANCE WITH, THE SECURITIES AND EXCHANGE LAW AND ANY OTHER APPLICABLE LAW, REGULATIONS AND MINISTERIAL GUIDELINES OF JAPAN. __________________ NOTICE TO RESIDENTS OF KOREA THE ISSUER IS NOT MAKING ANY REPRESENTATION, EXPRESS OR IMPLIED, WITH RESPECT TO THE QUALIFICATION OF THE RECIPIENTS OF THESE MATERIALS FOR THE PURPOSE OF INVESTING IN THE SECURITIES UNDER THE LAWS OF KOREA, INCLUDING AND WITHOUT LIMITATION THE FOREIGN EXCHANGE MANAGEMENT LAW AND REGULATIONS THEREUNDER. THE SECURITIES HAVE NOT BEEN REGISTERED UNDER THE SECURITIES AND EXCHANGE LAW OF KOREA AND NONE OF THE SECURITIES MAY BE OFFERED OR SOLD OR DELIVERED, DIRECTLY OR INDIRECTLY, IN KOREA OR TO ANY RESIDENT OF KOREA EXCEPT PURSUANT TO APPLICABLE LAWS AND REGULATIONS OF KOREA. __________________ NOTICE TO RESIDENTS OF SINGAPORE THIS PROSPECTUS HAS NOT BEEN AND WILL NOT BE REGISTERED AS A PROSPECTUS WITH THE MONETARY AUTHORITY OF SINGAPORE. ACCORDINGLY, THIS PROSPECTUS OR ANY OTHER DOCUMENT OR MATERIAL IN CONNECTION WITH ANY OFFER OF THE SECURITIES OFFERED HEREBY MAY NOT BE ISSUED, CIRCULATED OR DISTRIBUTED IN SINGAPORE. THE OFFER OF SECURITIES OFFERED HEREBY OR ANY INVITATION TO SUBSCRIBE FOR OR PURCHASE ANY SUCH SECURITIES (OR ANY ONE OF THEM) MAY NOT BE MADE, DIRECTLY OR INDIRECTLY, IN SINGAPORE, OTHER THAN UNDER CIRCUMSTANCES IN WHICH SUCH OFFER OR SALE DOES NOT CONSTITUTE AN OFFER OR SALE OF THE SECURITIES OFFERED HEREBY TO THE PUBLIC IN SINGAPORE, OR IN WHICH SUCH OFFER OR SALE IS MADE PURSUANT TO viii

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). NO PERSON WHO RECEIVES A COPY OF THIS PROSPECTUS UNDER SUCH CIRCUMSTANCES MAY ISSUE, CIRCULATE OR DISTRIBUTE THIS PROSPECTUS IN SINGAPORE OR MAKE, OR GIVE TO ANY OTHER PERSON, A COPY OF THIS PROSPECTUS. __________________ NOTICE TO RESIDENTS OF SPAIN THE SECURITIES MAY NOT BE OFFERED, SOLD OR DISTRIBUTED IN THE KINGDOM OF SPAIN SAVE IN ACCORDANCE WITH THE REQUIREMENTS OF LAW 24/1988, OF 28 JULY, ON THE SECURITIES MARKET (LEY 24/1988, DE 28 DE JULIO, DEL MERCADO DE VALORES) AS AMENDED AND RESTATED, AND ROYAL DECREE 1310/2005, OF 4 NOVEMBER 2005, PARTIALLY DEVELOPING LAW 24/1988, OF 28 JULY, ON THE SECURITIES MARKET IN CONNECTION WITH LISTING OF SECURITIES IN SECONDARY OFFICIAL MARKETS, INITIAL PURCHASE OFFERS, RIGHTS ISSUES AND THE PROSPECTUS REQUIRED IN THESE CASES (REAL DECRETO 1310/2005, DE 4 DE NOVIEMBRE, POR EL QUE SE DEARROLLA PARCIALMENTE LA LEY 24/1988, DE 28 DE JULIO, DEL MERCADO DE VALORES, EN MATERIAL DE ADMISION A NEGOCIACIÓN DE VALORES EN MERCADOS SECUNDARIOS OFICIALES, DE OFERTAS PÚBLICAS DE VENTA O SUSCRIPCIÓN Y DEL FOLLETO EXIGIBLE A TALES EFECTOS) AS AMENDED AND RESTATED OR AS FURTHER AMENDED, SUPPLEMENTED OR RESTATED FROM TIME TO TIME. NEITHER THE SECURITIES NOR THIS PROSPECTUS HAVE BEEN VERIFIED OR REGISTERED IN THE ADMINISTRATIVE REGISTRIES OF THE NATIONAL STOCK EXCHANGE COMMISSION (COMISIÓN NACIONAL DE MERCADO DE VALORES). __________________ 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. __________________ NOTICE TO RESIDENTS OF THE UNITED KINGDOM THIS PROSPECTUS IS DIRECTED ONLY AT PERSONS WHO HAVE PROFESSIONAL EXPERIENCE IN MATTERS RELATING TO INVESTMENTS AND WHO QUALIFY EITHER AS INVESTMENT PROFESSIONALS IN ACCORDANCE WITH ARTICLE 19(5), OR AS HIGH NET WORTH COMPANIES, UNINCORPORATED ASSOCIATIONS, PARTNERSHIPS OR TRUSTEES IN ACCORDANCE WITH ARTICLE 49(2), OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (FINANCIAL PROMOTION) ORDER 2005 (TOGETHER, "EXEMPT PERSONS"). IT MAY NOT BE PASSED ON EXCEPT TO EXEMPT PERSONS OR OTHER PERSONS IN CIRCUMSTANCES IN WHICH SECTION 21(1) OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 DOES NOT APPLY TO THE ISSUER (ALL SUCH PERSONS TOGETHER BEING REFERRED TO AS "RELEVANT PERSONS"). THIS PROSPECTUS MUST NOT BE ACTED ON OR RELIED ON BY PERSONS WHO ARE NOT RELEVANT PERSONS. ANY INVESTMENT OR INVESTMENT ACTIVITY TO WHICH THE PROSPECTUS RELATES IS AVAILABLE ONLY TO RELEVANT PERSONS AND WILL BE ENGAGED IN ONLY WITH RELEVANT PERSONS. ANY PERSONS OTHER THAN RELEVANT PERSONS SHOULD NOT ACT OR RELY ON THIS PROSPECTUS. POTENTIAL INVESTORS IN THE UNITED KINGDOM ARE ADVISED THAT ALL, OR MOST, OF THE PROTECTIONS AFFORDED BY THE UNITED KINGDOM REGULATORY SYSTEM WILL NOT APPLY TO AN INVESTMENT IN THE SECURITIES AND THAT COMPENSATION WILL NOT BE AVAILABLE UNDER THE UNITED KINGDOM FINANCIAL SERVICES COMPENSATION SCHEME. __________________ EACH PURCHASER OF THE SECURITIES MUST COMPLY WITH ALL APPLICABLE LAWS AND REGULATIONS IN FORCE IN EACH JURISDICTION IN WHICH IT PURCHASES, OFFERS OR SELLS SUCH SECURITIES AND MUST OBTAIN ANY CONSENT, APPROVAL OR PERMISSION REQUIRED FOR THE PURCHASE, OFFER OR SALE BY IT OF SUCH SECURITIES UNDER THE LAWS AND REGULATIONS IN FORCE IN ANY ix

JURISDICTIONS TO WHICH IT IS SUBJECT OR IN WHICH IT MAKES SUCH PURCHASES, OFFERS OR SALES, AND NONE OF THE ISSUER, THE COLLATERAL MANAGER, THE PUT COUNTERPARTY, ANY HEDGE COUNTERPARTY, THE PLACEMENT AGENTS, THE INITIAL PURCHASER AND THEIR RESPECTIVE AFFILIATES SHALL HAVE ANY RESPONSIBILITY THEREFOR. __________________ AVAILABLE INFORMATION This Prospectus contains summaries of certain documents. The summaries do not purport to be complete and are qualified in their entirety by reference to such documents, copies of which will be made available to offerees upon request. Requests and inquiries regarding this Prospectus or such documents should be directed to Mizuho Securities USA Inc., 1251 Avenue of the Americas, 33rd Floor, New York, NY 10020, Attention: General Counsel. To permit compliance with Rule 144A under the Securities Act in connection with sales of the Securities, the Issuer will be required to furnish, upon request of a holder of a Security, to such holder and a prospective purchaser designated by such holder the information required to be delivered under Rule 144A(d)(4) under the Securities Act if at the time of the request the Issuer is not a reporting company under Section 13 or 15(d) of the United States Securities Exchange Act of 1934, as amended (the “Exchange Act”) or is not exempt from reporting pursuant to Rule 12g3- 2(b) under the Exchange Act. Such information may be obtained from the Trustee, in the case of the Notes, and the Subordinated Note Issuing and Paying Agent, in the case of the Subordinated Notes, in each case to the extent provided to it by the Issuer. It is not contemplated that the Issuer will be such a reporting company or so exempt. __________________ FORWARD LOOKING STATEMENTS Any projections, forecasts and estimates contained herein are forward looking statements and are based upon certain assumptions that the Issuer considers reasonable. Such statements are necessarily speculative in nature, and it can be expected that some or all of the assumptions underlying such statements will not materialize or will vary significantly from actual results. Accordingly, such statements are only estimates. Actual results may vary from such forward-looking statements, and the variations may be material. Some important factors that could cause actual results to differ materially from those in any forward looking statements include changes in interest rates, market, financial or legal uncertainties, the timing of acquisitions of the Collateral Debt Securities, differences in the actual allocation of the Collateral Debt Securities among asset categories from those assumed, mismatches between the timing of accrual and receipt of Interest Proceeds and Principal Proceeds from the Collateral Debt Securities (particularly prior to the Ramp-Up Completion Date), defaults on the Collateral Debt Securities and the effectiveness of the Put Agreement or any Hedge Agreement, among others. Consequently, the inclusion of projections herein should not be regarded as a representation by the Issuer, the Collateral Manager, the Trustee, the Collateral Administrator, the Subordinated Note Issuing and Paying Agent, the Placement Agents, the Initial Purchaser, the Put Counterparty or any of their respective affiliates or any other person or entity of the results that will actually be achieved by the Issuer. None of the Issuer, the Collateral Manager, the Trustee, the Collateral Administrator, the Subordinated Note Issuing and Paying Agent, the Placement Agents, the Initial Purchaser, the Put Counterparty, the Hedge Counterparties, any of their respective affiliates or any other person has any obligation to update or otherwise revise any projections, 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, even if the underlying assumptions do not come to fruition.

DEFINED TERMS A glossary of certain defined terms used in this Prospectus may be found in Annex A hereof. An index of defined terms used in this Prospectus may be found in Schedule D of this Prospectus.

x

TABLE OF CONTENTS Page SUMMARY OF TERMS ..............................................................................................................................................1 RISK FACTORS .........................................................................................................................................................19 The Securities .......................................................................................................................................................19 The Collateral .......................................................................................................................................................26 The Issuer .............................................................................................................................................................37 Other Risk Factors................................................................................................................................................40 DESCRIPTION OF THE NOTES...............................................................................................................................46 Closing Date Issuance ..........................................................................................................................................47 Status and Security ...............................................................................................................................................47 Interest..................................................................................................................................................................47 Principal ...............................................................................................................................................................51 Mandatory Redemption ........................................................................................................................................52 Collateral Manager Directed Redemption ............................................................................................................53 Auction Call Redemption .....................................................................................................................................53 Optional Redemption and Tax Redemption .........................................................................................................55 Redemption Procedures........................................................................................................................................56 Redemption Price .................................................................................................................................................57 Cancellation..........................................................................................................................................................57 Payments ..............................................................................................................................................................57 Priority of Payments .............................................................................................................................................58 The Coverage Tests ..............................................................................................................................................63 Remarketing Procedures for the Class A1 Notes..................................................................................................65 Form, Denomination, Registration and Transfer ..................................................................................................66 No Gross-Up.........................................................................................................................................................72 The Indenture .......................................................................................................................................................72 Trustee..................................................................................................................................................................80 Characterization of the Notes ...............................................................................................................................81 Governing Law.....................................................................................................................................................81 Trustee Reports.....................................................................................................................................................81 DESCRIPTION OF THE SUBORDINATED NOTES...............................................................................................82 Status ....................................................................................................................................................................82 Distributions .........................................................................................................................................................82 Optional Redemption............................................................................................................................................83 The Subordinated Note Issuing and Paying Agency Agreement..........................................................................83 Petitions for Bankruptcy.......................................................................................................................................85 Characterization of the Subordinated Notes .........................................................................................................85 Governing Law.....................................................................................................................................................85 Form, Registration and Transfer...........................................................................................................................85 No Gross-Up.........................................................................................................................................................88 USE OF PROCEEDS ..................................................................................................................................................88 RATINGS OF THE SECURITIES .............................................................................................................................88 MATURITY, PREPAYMENT AND YIELD CONSIDERATIONS..........................................................................89 THE ISSUER...............................................................................................................................................................90 General .................................................................................................................................................................90 Capitalization........................................................................................................................................................91 Business................................................................................................................................................................91 SECURITY FOR THE NOTES ..................................................................................................................................91 General .................................................................................................................................................................91 Collateral Debt Securities.....................................................................................................................................92 Eligibility Criteria and Portfolio Concentration Limitations ................................................................................93 Synthetic Securities ............................................................................................................................................100 The Collateral Quality Tests...............................................................................................................................101 xi

Dispositions of Collateral Debt Securities..........................................................................................................105 Liquidation of Collateral ....................................................................................................................................107 Hedge Agreements .............................................................................................................................................107 The Put Agreement.............................................................................................................................................109 The Remarketing Agreement..............................................................................................................................112 The Accounts......................................................................................................................................................113 MIZUHO INTERNATIONAL PLC..........................................................................................................................118 WORKING CAPITAL MANAGEMENT CO. L.P. .................................................................................................119 SWISS RE FINANCIAL PRODUCTS CORPORATION........................................................................................119 THE COLLATERAL MANAGER ...........................................................................................................................120 THE COLLATERAL MANAGEMENT AGREEMENT .........................................................................................123 CERTAIN INCOME TAX CONSIDERATIONS.....................................................................................................127 IRS Circular 230 Notice .....................................................................................................................................127 In General...........................................................................................................................................................128 Certain U.S. Federal Income Tax Considerations ..............................................................................................128 Tax Treatment of the Issuer................................................................................................................................128 Tax Treatment of U.S. Holders of the Notes ......................................................................................................129 Tax Treatment of U.S. Holders of Subordinated Notes......................................................................................130 Tax Treatment of Tax-Exempt U.S. Holders......................................................................................................132 Tax Treatment of Non-U.S. Holders ..................................................................................................................133 Information Reporting and Backup Withholding ...............................................................................................133 Transfer Reporting Requirements ......................................................................................................................133 Cayman Islands Taxation ...................................................................................................................................133 ERISA CONSIDERATIONS ....................................................................................................................................134 PLAN OF DISTRIBUTION......................................................................................................................................137 United States.......................................................................................................................................................138 United Kingdom .................................................................................................................................................138 Cayman Islands ..................................................................................................................................................139 General ...............................................................................................................................................................139 TRANSFER RESTRICTIONS..................................................................................................................................139 LISTING AND GENERAL INFORMATION..........................................................................................................152 LEGAL MATTERS ..................................................................................................................................................153 ANNEX A GLOSSARY OF CERTAIN DEFINED TERMS.....................................................................154 SCHEDULE A ............................................................................................................................................199 PART I MOODY’S LOSS SCENARIO MATRIX .............................................................................199 PART II STANDARD & POOR’S RECOVERY RATE MATRIX....................................................200 SCHEDULE B STANDARD & POOR’S COLLATERAL QUALITY TESTS AND RATING DEFINITION................................................................................................................................201 SCHEDULE C MOODY’S RATING........................................................................................................202 SCHEDULE D INDEX OF DEFINED TERMS........................................................................................207

xii

SUMMARY OF TERMS The following summary is qualified in its entirety by, and should be read in conjunction with, the more detailed information appearing elsewhere in this Prospectus. A glossary of certain defined terms appears in Annex A of this Prospectus and an index of defined terms may be found in Schedule D of this Prospectus. Securities Offered: U.S.$1,320,000,000 aggregate principal amount Class A1 Senior Secured Floating Rate Notes due January 2008 (or, with respect to (x) Class A1 Notes issued on or after the first MM Reissuance Date and (y) Class A1 Extended Notes, the applicable MM Stated Maturity) (the “Class A1 Notes”). U.S.$78,000,000 aggregate principal amount Class A2 Senior Secured Floating Rate Notes due July 2047 (the “Class A2 Notes”). U.S.$47,000,000 aggregate principal amount Class B Senior Secured Floating Rate Notes due July 2047 (the “Class B Notes”). U.S.$23,500,000 aggregate principal amount Class C Secured Floating Rate Deferrable Notes due July 2047 (the “Class C Notes”). U.S.$21,000,000 aggregate principal amount Class D Secured Floating Rate Deferrable Notes due July 2047 (the “Class D Notes” and, together with the Class A1 Notes, the Class A2 Notes, the Class B Notes and the Class C Notes, the “Notes”). U.S.$10,500,000 Subordinated Notes (the “Subordinated Notes” and, together with the Notes, the “Securities”). Each of the Class A1 Notes, the Class A2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are herein referred to as a “Class” of Notes and each of the Class A1 Notes, the Class A2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Subordinated Notes are herein referred to as a “Class” of Securities. The Notes will be issued and secured pursuant to an indenture dated as of March 1, 2007 (the “Indenture”) between the Issuer and Deutsche Bank Trust Company Americas, as trustee (in such capacity, together with its successors in such capacity, the “Trustee”). Each holder of the Subordinated Notes, the Put Counterparty and each Hedge Counterparty will be an express third party beneficiary of the Indenture. See “Description of the Notes— Status and Security,” and “—The Indenture.” The Notes will be limitedrecourse debt obligations of the Issuer secured solely by a pledge of the Collateral by the Issuer to the Trustee pursuant to the Indenture for the benefit of the holders from time to time of the Notes, the Collateral Manager, certain Synthetic Security Counterparties, the Put Counterparty and each Hedge Counterparty (such parties, together with the Trustee (in all its capacities), the “Secured Parties”); provided that the Issuer’s rights under the Remarketing Agreement, the Put Agreement and the Put Loan Agreement will be collaterally assigned to the Trustee for the benefit of the Class A1 Noteholders only. See “Description of the Notes—Status and Security.” The Subordinated Notes will be issued pursuant to and administered in accordance with the Subordinated Note Issuing and Paying Agency Agreement, dated as of March 1, 2007 (the “Subordinated Note Issuing and Paying Agency Agreement”) between the Issuer and Deutsche Bank Trust 1

Company Americas, as Subordinated Note Issuing and Paying Agent (the “Subordinated Note Issuing and Paying Agent”). Redemption of Class A1 Notes: For so long as the Put Agreement is in effect, the Class A1 Notes (other than the Class A1 Extended Notes) are subject to redemption on the related MM Reissuance Date (which will generally occur on the third or the fourth Quarterly Distribution Date after each successive date of issuance), subject to and in accordance with the procedures described herein. The Class A1 Notes (other than the Class A1 Extended Notes) will also be redeemed on the Put Termination Reissuance Date and Tendered Class A1 Notes will be redeemed on the related Quarterly Tender Date. See “Description of the Notes— Remarketing Procedures for the Class A1 Notes,” “Security for the Notes— The Put Agreement” and “Security for the Notes—The Remarketing Agreement.” AArdvark ABS CDO 2007-1 (the “Issuer”) is an exempted company with limited liability incorporated under the laws of the Cayman Islands. The Issuer Charter provides that the activities of the Issuer, a special purpose vehicle, are unlimited. However, in the Indenture the Issuer will agree to restrict its activities to (1) acquiring, holding, pledging and selling, solely for its own account, Collateral Debt Securities, Equity Securities and Eligible Investments, (2) entering into, and performing its obligations under, the Issuer Documents, (3) issuing, redeeming and selling the Securities, (4) pledging the Collateral as security for its obligations in respect of the Notes and otherwise for the benefit of the Secured Parties, (5) conducting any business or activity incidental and necessary to the foregoing and paying the expenses of the Issuer incurred in the ordinary course of its business otherwise permitted under the Indenture or the Subordinated Note Issuing and Paying Agency Agreement and (6) doing or performing any action or thing which is required by or ancillary to the attainment of the objects specified in clauses (1) to (5) above. The Issuer will not have any material assets other than the Collateral Debt Securities, Equity Securities, Eligible Investments, rights under any Hedge Agreements, the Remarketing Agreement, the Put Agreement, the Put Loan Agreement and certain other agreements entered into as described herein. Collateral Manager: HarbourView Asset Management Corporation (“HarbourView” or the “Collateral Manager”), a New York corporation, will manage the Collateral under a collateral management agreement to be entered into on the Closing Date between the Issuer and the Collateral Manager (the “Collateral Management Agreement”). Pursuant to the Collateral Management Agreement and in accordance with the Indenture, the Collateral Manager will manage the selection, acquisition and disposition of the Collateral Debt Securities (including exercising rights and remedies associated with the Collateral Debt Securities) in accordance with the restrictions set forth in the Indenture (including the Eligibility Criteria and Portfolio Concentration Limitations described herein) and based on the Collateral Manager’s research, credit analysis and judgment. The Collateral Manager is registered as an “investment adviser” under the U.S. Investment Advisers Act of 1940, as amended (the “Advisers Act”). For a summary of the provisions of the Collateral Management Agreement and certain other information concerning the Collateral Manager, see “The Collateral Manager” and “The Collateral Management Agreement.” The gross proceeds received from the issuance and sale of the Securities and the entry into the Initial Hedge Agreements will be approximately 2

The Issuer:

Use of Proceeds:

U.S.$1,518,500,000. The net proceeds from the issuance and sale of the Securities and the entry into the Initial Hedge Agreements are expected to be approximately U.S.$1,504,500,000. Net proceeds reflect the payment from gross proceeds of organizational and structuring fees and expenses of the Issuer (including, without limitation, the legal fees and expenses of counsel to the Issuer, the Placement Agents, the Initial Purchaser, the Initial Hedge Counterparty, the Collateral Manager and Deutsche Bank Trust Company Americas in its various capacities), the expenses of offering the Securities (including placement agency fees, Remarketing Agent fees, structuring fees, rating agency fees and other purchase concessions payable in connection with the placement of the Securities) and the initial deposit into the Expense Account of U.S.$100,000, all of which will be paid through application of proceeds of the Initial Hedge Agreements. The net proceeds of the offering will be used by the Issuer to purchase a diversified portfolio of Asset-Backed Securities consisting primarily of RMBS Securities, CDO Securities, CMBS Securities, other Asset-Backed Securities and related Synthetic Securities, in each case satisfying the investment criteria described herein. On the Closing Date, the Issuer will have purchased (or entered into agreements to purchase for settlement following the Closing Date) Collateral Debt Securities having an aggregate par amount of not less than U.S.$1,275,000,000. It is expected that the total expenses relating to the application for admission of the Notes to the Official List of the Irish Stock Exchange and to trading on its regulated market will be approximately €20,000. Distribution Dates: Payments of interest on the Class A1 Notes will be payable in U.S. Dollars monthly in arrears on the 6th day of each month commencing in July 2007 (each a “Monthly Distribution Date”). Payments of principal on the Notes, and interest on the Notes other than the Class A1 Notes, will be payable in U.S. Dollars quarterly in arrears on the 6th day of each January, April, July and October (each, a “Quarterly Distribution Date”); provided that the first Quarterly Distribution Date will occur in July 2007. References herein to a “Distribution Date” mean (A) for the Notes (other than the Class A1 Notes with respect to scheduled payments of interest), a Quarterly Distribution Date, (B) for the Class A1 Notes with respect to scheduled payments of interest, a Monthly Distribution Date, and (C) for all other purposes, a Monthly Distribution Date or Quarterly Distribution Date, as specified in the Priority of Payments, and if any of the foregoing dates is not a Business Day, the relevant Distribution Date will be the next succeeding Business Day. Payments of principal and interest on the Notes on a Distribution Date will be made to the extent funds are available therefor. See “Description of the Notes—Priority of Payments.” Except as otherwise described in the following paragraph and the Priority of Payments, the relative order of seniority of payment of each Class of Notes is as follows: first, the Class A1 Notes, second, the Class A2 Notes, third, the Class B Notes, fourth, the Class C Notes, and fifth, the Class D Notes with (a) each Class of Notes in such list being “Senior” to each other Class of Notes that follows such Class of Notes in such list and (b) each Class of Notes in such list being “Subordinate” to each other Class of Notes that precedes such Class of Notes in such list.

Seniority of the Notes:

3

No payment of interest on any Class of Notes will be made until all accrued and unpaid interest on the Notes of each Class that is Senior to such Class and that remains outstanding has been paid in full. No payment of principal of any Class of Notes will be made until all principal of, and all accrued and unpaid interest on, the Notes of each Class that is Senior to such Class and that remain outstanding have been paid in full; provided that on any Quarterly Distribution Date (i) as further described in paragraph (3) under the heading “Description of the Notes—Priority of Payments—Principal Proceeds,” principal on a Class of Notes may be paid prior to the payment in full of any Senior Class of Notes if the Pro Rata Payment Condition is satisfied with respect to such Distribution Date, (ii) on or prior to the last day of the Reinvestment Period, as further described in paragraph (17) under the heading “Description of the Notes—Priority of Payments—Interest Proceeds,” principal on the Class D Notes may be paid prior to the payment in full of any Senior Class of Notes, and (iii) Class C Deferred Interest and Class D Deferred Interest added to the aggregate outstanding principal amount of, respectively, the Class C Notes and the Class D Notes may be paid from Interest Proceeds pursuant to the Priority of Payments prior to the payment in full of Senior Classes of Notes. Interest Payments on the Notes: The Class A1 Notes will bear interest at a floating rate per annum equal to (i) until the first MM Reissuance Date, LIBOR of the applicable Designated Maturity plus 0.03% on their outstanding principal balance; and (ii) thereafter, LIBOR of the applicable Designated Maturity plus the applicable Class A1 Spread on their outstanding principal balance; provided, however, that if any Class A1 Extended Notes are issued after the Closing Date, under the circumstances described herein, such Class A1 Extended Notes will bear interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity plus 0.18% on their outstanding principal balance. With respect to each MM Reissuance Date, so long as the Put Agreement is outstanding, the Class A1 Spread for the Class A1 Notes (other than the Class A1 Extended Notes) will be reset on each such date for the period (the “MM Reset Period”) from and including such MM Reissuance Date to but excluding the Stated Maturity of such Class A1 Notes, at spread levels (not in excess of the Maximum Class A1 Spread) determined by the Remarketing Agents through their remarketing of the Class A1 Notes pursuant to the Remarketing Agreement. See “Description of the Notes—Remarketing Procedures for the Class A1 Notes.” The Class A2 Notes will bear interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity plus 0.45% on their outstanding principal balance. The Class B Notes will bear interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity plus 0.55% on their outstanding principal balance. The Class C Notes will bear interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity plus 1.70% on their outstanding principal balance. The Class D Notes will bear interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity plus 3.40% on their outstanding principal balance. Interest on the Notes and interest on Defaulted Interest will be computed on the basis of a 360-day year and the actual number of days elapsed. 4

Interest on the Notes (other than any Class A1 Notes issued after the Closing Date) will accrue from the Closing Date. Accrued and unpaid interest on the Notes (other than the Class A1 Notes) will be payable quarterly in arrears on each Quarterly Distribution Date, if and to the extent that funds are available on such Distribution Date in accordance with the Priority of Payments set forth herein. Interest on the Class A1 Notes will be payable monthly in arrears on each Monthly Distribution Date, if and to the extent that funds are available on such Distribution Date in accordance with the Priority of Payments set forth herein. See “Description of the Notes—Interest.” So long as any Class A1 Notes, Class A2 Notes or Class B Notes are outstanding, the failure on any Quarterly Distribution Date to make payments in respect of interest on the Class C Notes by reason of the operation of the Priority of Payments will not constitute an Indenture Event of Default. Any interest on the Class C Notes that is not paid when due by operation of the Priority of Payments will be deferred (such interest being referred to herein as “Class C Deferred Interest”). Any Class C Deferred Interest will be added to the aggregate outstanding principal amount of the Class C Notes and, thereafter, interest will accrue on the aggregate outstanding principal amount of the Class C Notes, as so increased. Unless otherwise specified herein, any reference to the principal amount of a Class C Note includes any Class C Deferred Interest added thereto. Upon the payment of Class C Deferred Interest previously capitalized as additional principal in accordance with the Priority of Payments, the aggregate outstanding principal amount of the Class C Notes will be reduced by the amount of such payment. So long as any Class A1 Notes, Class A2 Notes, Class B Notes or Class C Notes are outstanding, the failure on any Quarterly Distribution Date to make payments in respect of interest on the Class D Notes by reason of the operation of the Priority of Payments will not constitute an Indenture Event of Default. Any interest on the Class D Notes that is not paid when due by operation of the Priority of Payments will be deferred (such interest being referred to herein as “Class D Deferred Interest”). Any Class D Deferred Interest will be added to the aggregate outstanding principal amount of the Class D Notes and, thereafter, interest will accrue on the aggregate outstanding principal amount of the Class D Notes, as so increased. Unless otherwise specified herein, any reference to the principal amount of a Class D Note includes any Class D Deferred Interest added thereto. Upon the payment of Class D Deferred Interest previously capitalized as additional principal in accordance with the Priority of Payments, the aggregate outstanding principal amount of the Class D Notes will be reduced by the amount of such payment. So long as any Class A1 Notes or Class A2 Notes are outstanding, if the Class A Overcollateralization Test is not satisfied on the Determination Date related to any Quarterly Distribution Date, then funds that would otherwise be used to make payments in respect of interest on the Class C Notes, the Class D Notes and certain expenses and for reinvestment in Collateral Debt Securities or for distribution to Subordinated Noteholders must be used instead to redeem, first, the Class A1 Notes (if any) and second, the Class A2 Notes, in each case to the extent necessary to cause the Class A Overcollateralization Test to be satisfied (subject, in each case, to the Priority of Payments). So long as any Class A1 Notes, Class A2 Notes or Class B Notes are outstanding, if a Class B Coverage Test is not satisfied on the Determination Date related to any Quarterly Distribution Date, then funds that would 5

otherwise be used to make payments in respect of interest on the Class C Notes, the Class D Notes and certain expenses and for reinvestment in Collateral Debt Securities or for distribution to Subordinated Noteholders must be used instead to redeem, first, the Class A1 Notes (if any), second, the Class A2 Notes (if any) and third, the Class B Notes, in each case to the extent necessary to cause such Class B Coverage Test to be satisfied (subject, in each case, to the Priority of Payments). So long as any Class A1 Notes, Class A2 Notes, Class B Notes or Class C Notes are outstanding, if a Class C Coverage Test is not satisfied on the Determination Date related to any Quarterly Distribution Date, then funds that would otherwise be used to make payments in respect of interest on the Class D Notes and certain expenses and for reinvestment in Collateral Debt Securities or for distribution to Subordinated Noteholders must be used instead to redeem, first, the Class A1 Notes (if any), second, the Class A2 Notes (if any), third, the Class B Notes (if any) and fourth, the Class C Notes, in each case to the extent necessary to cause such Class C Coverage Test to be satisfied (subject, in each case, to the Priority of Payments). So long as any Class A1 Notes, Class A2 Notes, Class B Notes, Class C Notes or Class D Notes are outstanding, if the Class D Overcollateralization Test is not satisfied on the Determination Date related to any Quarterly Distribution Date, then funds that would otherwise be used to make payments in respect of certain expenses or for distribution to Subordinated Noteholders must be used instead to redeem, first, the Class A1 Notes (if any), second, the Class A2 Notes (if any), third, the Class B Notes (if any), fourth, the Class C Notes (if any) and fifth, the Class D Notes, in each case until such Class of Notes is paid in full (subject, in each case, to the Priority of Payments). See “Description of the Notes—Priority of Payments.” Distributions on the Subordinated Notes: Until the Notes are paid in full, on each Quarterly Distribution Date, to the extent funds are available therefor, Interest Proceeds will be released from the lien of the Indenture for remittance to the Subordinated Note Issuing and Paying Agent only after the payment of interest on the Notes and certain other amounts in accordance with the Priority of Payments. Any Interest Proceeds remitted to the Subordinated Note Issuing and Paying Agent for distribution to the Subordinated Noteholders on any Quarterly Distribution Date in accordance with the Priority of Payments will be released from the lien of the Indenture on such Quarterly Distribution Date. Until the Notes have been paid in full, Principal Proceeds will not be available to make distributions in respect of the Subordinated Notes. After the Notes have been paid in full, Principal Proceeds remaining after all other applications under the Priority of Payments will be released from the lien of the Indenture in accordance with the Priority of Payments and remitted to the Subordinated Note Issuing and Paying Agent for distribution to the Subordinated Noteholders on each Quarterly Distribution Date. See “Description of the Subordinated Notes— Distributions.” The stated maturity of each Class of Notes (other than the Class A1 Notes) is the July 2047 Quarterly Distribution Date (the “Term Note Stated Maturity”). The stated maturity of the Class A1 Notes issued on the Closing Date or any MM Reissuance Date is the earlier of (a) the latest Quarterly Distribution Date occurring on or prior to the date that is 364 days after such date of issuance (which will be either the third or the fourth Quarterly Distribution Date after such date of issuance) and (b) the July 2047 Quarterly 6

Maturity; Average Life:

Distribution Date; provided that with respect to any Class A1 Notes purchased by the Put Counterparty pursuant to the Put Agreement (such Class A1 Notes, the “Put Counterparty Acquired Notes”) the stated maturity of any new Class A1 Notes issued and sold to investors by the Remarketing Agents pursuant to the Remarketing Agreement, at the request of the Put Counterparty, in order to redeem such Put Counterparty Acquired Notes on any Distribution Date occurring prior to the MM Stated Maturity of such Put Counterparty Acquired Notes, shall be the same MM Stated Maturity as the Put Counterparty Acquired Notes being so redeemed; provided further, that with respect to Tendered Class A1 Notes, the stated maturity of any new Class A1 Notes issued and sold to investors by the Remarketing Agents pursuant to the Remarketing Agreement, at the request of the holder of such Tendered Class A1 Notes, in order to redeem such Tendered Class A1 Notes on the related Quarterly Tender Date, shall be the same MM Stated Maturity as the Tendered Class A1 Notes being so redeemed; provided further that the stated maturity of any Class A1 Extended Note will be the July 2047 Quarterly Distribution Date (each such stated maturity of a Class A1 Note, the “MM Stated Maturity” and together with the Term Note Stated Maturity, the “Stated Maturity”). For the avoidance of doubt, Class A1 Notes purchased by Mizuho International plc (or any Affiliate thereof) as an investor, and not as Put Counterparty pursuant to the Put Agreement, shall not constitute Put Counterparty Acquired Notes. Each Class of Notes is scheduled to mature at its Stated Maturity unless redeemed or repaid prior thereto in accordance with the Priority of Payments. In addition, each holder of Class A1 Notes will be entitled to request the redemption, on any Quarterly Distribution Date prior to the MM Stated Maturity for such Notes, of all or a portion of the Class A1 Notes held by such holder, by delivering written notice of tender (each such notice, a “Tender Notice”) to the Remarketing Agents, the Put Counterparty, the Put Counterparty Lender, the Trustee and the Issuer at least sixty days prior to such Quarterly Distribution Date (such Quarterly Distribution Date, following timely delivery of a notice of tender, the “Quarterly Tender Date”), specifying the applicable Quarterly Tender Date and the aggregate principal amount of Class A1 Notes to be redeemed. The average life of each Class of Notes may be less than the number of years until the Stated Maturity of such Class. See “Maturity, Prepayment and Yield Considerations” and “Risk Factors—The Securities—Average Life and Prepayment Considerations.” The Subordinated Notes will be redeemed on the July 2047 Quarterly Distribution Date (the “Scheduled Subordinated Note Redemption Date”), unless redeemed on an earlier date. Reinvestment Period: Subject to the limits described under “Description of the Notes—Priority of Payments” and “Security for the Notes—Eligibility Criteria and Portfolio Concentration Limitations,” Principal Proceeds realized on Collateral Debt Securities during the Reinvestment Period may be reinvested in additional Collateral Debt Securities during such period. The Reinvestment Period is expected to terminate on the July 2012 Quarterly Distribution Date but may terminate prior to such date (i) if the Collateral Manager (with the consent of a Majority of the Controlling Class) notifies the Trustee and certain other parties in writing that, in light of the composition of Collateral Debt Securities, general market conditions and other factors, the Collateral Manager (in its sole judgment) has determined that investments in additional Collateral Debt Securities within the foreseeable future would either be impractical or not beneficial, or (ii) if an Indenture Event of Default occurs. See “Risk Factors—The Securities—Early Termination of the Reinvestment

7

Period,” “Risk Factors—The Securities” and “The Collateral Management Agreement.” Principal Repayment of the Notes: After the Reinvestment Period, Principal Proceeds will be applied on each Quarterly Distribution Date in accordance with the Priority of Payments to pay principal of each Class of Notes, provided that (x) the Class A1 Notes will be redeemed on each MM Reissuance Date and the Put Termination Reissuance Date and (y) Tendered Class A1 Notes will be redeemed on the related Quarterly Tender Date, in each case from the proceeds of newly issued Class A1 Notes (including Class A1 Notes sold to the Put Counterparty pursuant to the Put Agreement). The amount and frequency of principal payments of a Class of Notes will depend upon, among other things, the amount and frequency of payments of principal and interest received with respect to the Collateral Debt Securities. Payments of principal may be made on the Notes during the Reinvestment Period only in the following circumstances (subject, in each case (other than clause (g) below), to the Priority of Payments): (a) upon the failure of the Issuer to meet the Coverage Test relating to any Class of Notes as of the related Determination Date, (b) in the event of a Rating Confirmation Failure, (c) in connection with a Tax Redemption or Optional Redemption, (d) for the payment of Class C Deferred Interest and Class D Deferred Interest (in each such case from Interest Proceeds only, unless each Class that is Senior to such Class being paid deferred interest has been paid in full), (e) after the RampUp Completion Date, if the Collateral Manager directs the Issuer to apply Principal Proceeds to redeem Notes as described below under “—Collateral Manager Directed Redemption,” (f) on any Quarterly Distribution Date on or prior to the last day of the Reinvestment Period, as further described in paragraph (17) under the heading “Description of the Notes—Priority of Payments—Interest Proceeds,” to the payment of principal on the Class D Notes, or (g) in connection with each reissuance and redemption of Class A1 Notes on a MM Reissuance Date, Quarterly Tender Date or the Put Termination Reissuance Date. After the last day of the Reinvestment Period, (a) payments of principal on the Notes will be made on each Quarterly Distribution Date in accordance with the Priority of Payments, and (b) payments of principal on the Class A1 Notes will also be made, from the proceeds of newly issued Class A1 Notes (including Class A1 Notes sold to the Put Counterparty pursuant to the Put Agreement), on each MM Reissuance Date, the Put Termination Reissuance Date and (solely with respect to any Tendered Class A1 Notes) each related Quarterly Tender Date. In addition, the Issuer may redeem the Notes, in whole but not in part, at the applicable Redemption Price therefor on any Quarterly Distribution Date occurring on or after the July 2010 Quarterly Distribution Date (in the case of an Optional Redemption) or after the initial Auction Call Redemption Date (in the case of an Auction Call Redemption) and on any Quarterly Distribution Date (in the case of a Tax Redemption) under the circumstances described in “Description of the Notes—Optional Redemption and Tax Redemption,” “— Auction Call Redemption” and “—Priority of Payments.” Mandatory Redemption: Each Class of Notes may, on any Quarterly Distribution Date, be subject to mandatory redemption in the event that the Coverage Test applicable to such Class of Notes or any Subordinate Class of Notes is not satisfied on the related Determination Date. Any such redemption will be effected, first, from Interest Proceeds and second, from Principal Proceeds, in each case to the extent necessary to cause the applicable Coverage Test to be satisfied (subject, in each case, to the Priority of Payments). Except as otherwise 8

described in the Priority of Payments, any such redemption will be applied to each applicable outstanding Class of Notes in accordance with its relative seniority and will otherwise be effected as described below under “Description of the Notes—Priority of Payments.” In the event of a Rating Confirmation Failure, as described under “Description of the Notes—Mandatory Redemption,” the Issuer will be required to apply on the immediately following Quarterly Distribution Date, first, Uninvested Proceeds, second, Interest Proceeds and, third, Principal Proceeds to, first, the payment of the principal of the Class A1 Notes, second, the payment of the principal of the Class A2 Notes, third, the payment of the principal of the Class B Notes, fourth, the payment of the principal of the Class C Notes and fifth, the payment of the principal of the Class D Notes, in each case in accordance with the Priority of Payments and as and to the extent specified by any Rating Agency in order for it to confirm the rating (including any private or confidential rating) assigned by it on the Closing Date to the Notes. As a result, interest on the Class C Notes and the Class D Notes (and distributions on the Subordinated Notes) may not be paid on such Distribution Date. In the event that a Rating Confirmation has not been obtained but no Rating Agency has specified that any portion of the Uninvested Proceeds, Interest Proceeds and/or Principal Proceeds be applied to the repayment of Notes in order to obtain a Rating Confirmation, there will be no redemption of Notes as a result of a Rating Confirmation Failure. Failure to obtain a Rating Confirmation in connection with a Rating Confirmation Failure Redemption of Notes or otherwise will not be an Indenture Event of Default. Notwithstanding the foregoing, in the event that, prior to the first Quarterly Distribution Date, the Issuer has not obtained a Rating Confirmation from Standard & Poor's or has not either submitted an accountants’ report to Moody’s pursuant to the Indenture showing the Issuer's compliance with the Collateral Quality Tests (other than the Moody's Asset Correlation Test and the Standard & Poor's CDO Monitor Test) or obtained a Rating Confirmation from Moody's, the Issuer will not make any distributions under clauses (19) through (21) of “Priority of Payments—Interest Proceeds” or clauses (6) through (8) of “Priority of Payments—Principal Proceeds” on such Quarterly Distribution Date. Any amount that otherwise would have been distributed under such clauses shall be retained in the Payment Account and distributed (x) pursuant to clauses (19) through (21) of “Priority of Payments—Interest Proceeds” and clauses (6) through (8) of “Priority of Payments—Principal Proceeds,” as applicable, at such time as the Issuer obtains a Rating Confirmation from each Rating Agency (and the Trustee shall make such distribution on the Business Day after it receives written notice from the Collateral Manager that the Issuer has obtained a Rating Confirmation from each Rating Agency) or (y) pursuant to the Priority of Payments on the next Quarterly Distribution Date if a Rating Confirmation Failure occurs. On any Quarterly Distribution Date on or prior to the last day of the Reinvestment Period, if any Interest Proceeds remain after giving effect to payments under paragraphs (1) through (16) under the heading “Description of the Notes—Priority of Payments—Interest Proceeds,” 20.0% of any such remaining Interest Proceeds will be applied to the payment of principal of the Class D Notes until the Class D Notes are paid in full. Auction Call Redemption: In addition, if the Notes are not scheduled to be redeemed in full on or prior to an Auction Call Distribution Date, then an Auction of the Collateral Debt Securities will be initiated by the Trustee as auction agent on behalf of the 9

Issuer in consultation and cooperation with the Collateral Manager and, if certain conditions are satisfied, the Collateral Debt Securities will be sold (and each Hedge Agreement terminated) in accordance with the Auction Procedures and the Notes will be redeemed on the Auction Call Distribution Date. If such conditions are not satisfied and the Notes are not redeemed on such Auction Call Distribution Date, Auctions will be attempted in accordance with the Auction Procedures on a quarterly basis until the Notes are redeemed in full. Auctions shall be conducted on dates (each an “Auction Date”) not later than 10 Business Days prior to (1) the initial Auction Call Distribution Date and (2) if the Notes are not redeemed in full on the prior Auction Call Distribution Date, each Auction Call Distribution Date thereafter until the Notes have been redeemed in full. “Auction Call Distribution Date” means the July 2015 Quarterly Distribution Date (or, if earlier, the first Quarterly Distribution Date (the “Clean-Up Call Trigger Date”) in respect of which the Net Outstanding Portfolio Collateral Balance as of the related Determination Date is less than or equal to U.S. $150,000,000) and every Quarterly Distribution Date thereafter. See “Description of the Notes— Auction Call Redemption.” A successful Auction of the Collateral Debt Securities is not required to result in any proceeds for distribution to the holders of the Subordinated Notes. See “Description of the Notes—Redemption Price” and “—Auction Call Redemption.” Collateral Manager Directed Redemption: On any Quarterly Distribution Date after the Ramp-Up Completion Date and prior to the last day of the Reinvestment Period, if the Collateral Manager (in its sole discretion) determines that in light of the composition of Collateral Debt Securities, general market conditions and other factors (including any change in accounting principles, in any regulations or laws or any change in U.S. Federal tax law requiring tax to be withheld on payments to the Issuer with respect to obligations or securities held by the Issuer), investments in additional Collateral Debt Securities within the foreseeable future would either be impractical or not beneficial, the Collateral Manager may, but is not required to, direct the Issuer to apply all or any portion of the Principal Proceeds that would otherwise be available for reinvestment in Collateral Debt Securities to the payment of principal of the Notes as described under paragraph (2) under the heading “Description of the Notes—Priority of Payments—Principal Proceeds.” See “Description of the Notes—Mandatory Redemption” and “—Priority of Payments—Principal Proceeds.” Subject to certain conditions described herein, on any Quarterly Distribution Date on or after the Quarterly Distribution Date in July 2010, the Issuer may redeem the Notes (such redemption, an “Optional Redemption”), in whole but not in part, at the written direction of the holders of a Majority of Subordinated Notes (including any Collateral Manager Securities) at the applicable Redemption Price therefor. See “Description of the Notes— Optional Redemption and Tax Redemption.” In addition, on any Quarterly Distribution Date after the occurrence of a Tax Event, the Issuer may redeem the Notes (such redemption, a “Tax Redemption”), in whole but not in part (i) at the written direction of the holders of a Majority of any Class of Notes that, as a result of the occurrence of such Tax Event, has not received 100% of the aggregate amount of principal and interest payable on such Class on such Distribution Date or any prior Quarterly Distribution Date (each such Class, an “Affected Class”) or (ii) at the written direction of the holders of a Majority of Subordinated Notes. Any such redemption may only be effected on a Quarterly Distribution Date 10

Optional Redemption and Tax Redemption of the Notes:

and only from Available Redemption Funds on the relevant Distribution Date, at the applicable Redemption Price. No Tax Redemption may be effected, however, unless (i) Available Redemption Funds are sufficient to redeem all of the Notes simultaneously and to pay certain other amounts in accordance with the procedures set forth in the Indenture, (ii) a Tax Event has occurred and is continuing and (iii) the Tax Materiality Condition is satisfied. See “Description of the Notes—Optional Redemption and Tax Redemption.” Redemption of the Subordinated Notes: Subject to certain conditions described herein, on any Quarterly Distribution Date on or after the Quarterly Distribution Date on which the Notes have been paid in full, the Subordinated Notes may be redeemed, in whole but not in part, at the written direction of the holders of a Majority of Subordinated Notes, at the redemption price therefor. See “Description of the Subordinated Notes—Optional Redemption.” The Subordinated Notes will in certain circumstances be redeemable pursuant to an Auction Call Redemption, as set forth herein. See “Description of the Notes—Auction Call Redemption.” The Subordinated Notes will be redeemed (in whole but not in part) on the Scheduled Subordinated Note Redemption Date (if not redeemed earlier) after payment in full of the Notes and after payment of all amounts payable under the Priority of Payments prior to the payment of the Subordinated Notes, at the Subordinated Note Redemption Amount. Security for the Notes: Pursuant to the Indenture, the Notes, together with the Issuer’s obligations to the Secured Parties, will be secured by: (i) the Collateral Debt Securities and Equity Securities; (ii) the Issuer’s rights under any Hedge Agreements; (iii) amounts on deposit in the Payment Account, the Interest Collection Account, the Principal Collection Account, the Uninvested Proceeds Account, the Interest Reserve Account, the Remarketing Account and the Expense Account and Eligible Investments purchased with funds on deposit in such accounts (provided that amounts on deposit in the Remarketing Account and Eligible Investments purchased with funds on deposit in such account are being pledged solely to secure the Class A1 Notes); (iv) the Issuer’s rights, if any, to any amounts in any Hedge Counterparty Collateral Account (subject to the rights of the applicable Hedge Counterparty); (v) the Issuer’s rights, if any, to any amounts in any Synthetic Security Issuer Account (subject to the rights of the applicable Synthetic Security Counterparty); (vi) the Issuer’s rights, if any, to any amounts in any Synthetic Security Counterparty Account (subject to the rights of the applicable Synthetic Security Counterparty); (vii) solely for the purpose of securing the Class A1 Notes, the Put Agreement, the Remarketing Agreement, the Put Loan Agreement and all of the Issuer’s rights (whether to payment or otherwise) thereunder or with respect thereto; (viii) the Issuer’s rights under the Collateral Management Agreement and the Collateral Administration Agreement; (ix) the Issuer’s rights under the Administration Agreement; and (x) all proceeds of the foregoing (collectively, the “Collateral”). The Collateral will not include the subordinated note payment account, together with any income or interest accruing thereon. In the event of any realization on the Collateral, proceeds will be allocated to the payment of each Class of Notes in accordance with the respective priorities established by the Priority of Payments. See “Security for the Notes—General.”

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Put Agreement:

On the Closing Date, the Issuer will enter into a put transaction with Mizuho International plc (in such capacity, together with any successor Put Counterparty under the Put Agreement or a replacement Put Agreement, the “Put Counterparty”), which will be documented in the form of an ISDA Master Agreement, as supplemented by a schedule thereto and a put confirmation (collectively, the “Put Agreement”). Pursuant to the terms of the Put Agreement, if on any MM Reissuance Date (other than the Put Termination Reissuance Date) or on any Quarterly Tender Date, the aggregate principal amount of the Class A1 Notes that are sold to investors pursuant to the Remarketing Agreement is less than the aggregate principal amount of (i) with respect to any MM Reissuance Date occurring prior to the Put Termination Reissuance Date, the then-maturing Class A1 Notes and (ii) with respect to any Quarterly Tender Date, the applicable Tendered Class A1 Notes, the Put Counterparty will, following receipt of a payment notice pursuant to and in accordance with the Put Agreement, purchase at par, on such MM Reissuance Date or Quarterly Tender Date, as the case may be (or in the case of any Settlement Failure, on the second Business Day following delivery of notice to the Put Counterparty and the Put Counterparty Lender of such Settlement Failure), newly issued Class A1 Notes in an aggregate principal amount equal to the amount of such shortfall. On the Put Termination Reissuance Date, the Put Counterparty will purchase, at par, Class A1 Extended Notes in an aggregate principal amount equal to the aggregate principal amount of the Class A1 Notes (other than Class A1 Extended Notes) outstanding. In addition, on the Class A1 Final Distribution Date, if the amount of Interest Proceeds and Principal Proceeds available to pay the aggregate principal amount of the maturing Class A1 Notes, pursuant to the Priority of Payments, is insufficient to pay such principal in full, the Put Counterparty will, following receipt of a payment notice pursuant to and in accordance with the Put Agreement, purchase the maturing Class A1 Notes at a purchase price equal to the amount of such shortfall. The Put Counterparty will pay the purchase price for any such Class A1 Notes directly to the Trustee, by deposit to the Remarketing Account, and the Trustee will apply such proceeds on such date solely to the payment of the aggregate principal amount of the Class A1 Notes maturing or being redeemed on such MM Reissuance Date or Class A1 Final Distribution Date or the aggregate principal amount of the Tendered Class A1 Notes with respect to such Quarterly Tender Date, as applicable. Notwithstanding the foregoing, the Put Counterparty will be entitled on any MM Reissuance Date (prior to the Put Termination Reissuance Date) or Quarterly Tender Date or Settlement Failure Reissuance Date, to elect, by notice delivered to the Issuer, the Trustee, the Collateral Manager, the Rating Agencies and the Remarketing Agents not less than three Business Days prior to such MM Reissuance Date or Quarterly Tender Date or one Business day prior to such Settlement Failure Reissuance Date, as applicable, to purchase all or a portion of the Class A1 Notes that it is otherwise obligated to purchase on such date pursuant to the Put Agreement in the form of Class A1 Extended Notes maturing on the Quarterly Distribution Date in July 2047 and bearing interest at a per annum rate equal to LIBOR plus 0.18%. None of the Notes other than the Class A1 Notes will be secured by, or have the benefit of, the Issuer’s rights under the Put Agreement. The Put Agreement will expire by its terms on the Class A1 Final Distribution Date. The Put Agreement may be terminated prior to its “expiration date”

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under the limited circumstances described in “Security for the Notes—The Put Agreement.” On the first Distribution Date occurring at least three Business Days after an “early termination date” under (and as defined in) the Put Agreement, the Put Counterparty will purchase Class A1 Extended Notes bearing interest at a per annum rate equal to LIBOR plus 0.18%, in an aggregate principal amount equal to the aggregate principal amount of the Class A1 Notes (other than Class A1 Extended Notes, if any) then outstanding. The notional amount of the Put Agreement (on which the Put Option Fee is calculated) will be reduced by the aggregate principal amount of any Class A1 Extended Notes issued by the Issuer from time to time. Following the termination of the Put Agreement, the Class A1 Notes will cease to be remarketed. The Issuer will be obligated on each Monthly Distribution Date, pursuant to the Priority of Payments, to pay the Put Counterparty pursuant to the Put Agreement a Put Option Fee, at a rate equal to 0.13% per annum, on the aggregate principal amount of the Class A1 Notes outstanding on the immediately preceding Monthly Distribution Date (excluding Class A1 Extended Notes outstanding and certain other Put Counterparty Acquired Notes), as described in further detail herein. In addition, the Issuer will be obligated on each Monthly Distribution Date, pursuant to the Priority of Payments, to pay the Put Counterparty pursuant to the Put Agreement a Supplemental Option Fee, at a rate equal to the excess of (x) 0.18% per annum over (y) the Class A1 Spread, on the aggregate principal amount of the Put Counterparty Acquired Notes (other than Class A1 Extended Notes) outstanding on the immediately preceding Monthly Distribution Date, as described in further detail herein. See “Security for the Notes—The Put Agreement.” The obligations of the Put Counterparty under the Put Agreement will be supported by the Put Loan Agreement, as and to the extent described below in “Security for the Notes—The Put Agreement.” Remarketing Agreement: On the Closing Date, the Issuer will enter into a remarketing agreement with Mizuho Securities USA Inc., as Co-Remarketing Agent, and Mizuho International plc, as Remarketing Agent (the “Remarketing Agreement”), pursuant to which the Remarketing Agents will solicit purchasers for the Class A1 Notes (i) to be issued on each MM Reissuance Date and Quarterly Tender Date, so long as the Put Agreement remains in effect, and (ii) on the Put Termination Reissuance Date, solely in certain limited circumstances described below in “Description of the Notes—Remarketing Procedures for the Class A1 Notes.” The Class A1 Notes (other than the Class A1 Extended Notes) remarketed by the Remarketing Agents will bear interest at a per annum rate that may not exceed LIBOR plus the Maximum Class A1 Spread. The Class A1 Extended Notes will bear interest at a per annum rate equal to LIBOR plus 0.18%. The sale proceeds of Class A1 Notes sold by the Remarketing Agents will be deposited directly into the Remarketing Account for application (a) on such MM Reissuance Date or the Put Termination Reissuance Date, as applicable, to the repayment of principal of the Class A1 Notes maturing on such day or (b) on such Quarterly Tender Date, to the repayment of principal of the related Tendered Class A1 Notes. In the event the Remarketing Agreement is terminated, the Issuer will, if so directed by the Put Counterparty, use commercially reasonable efforts to enter into a replacement Remarketing Agreement.

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In consideration for its services under the Remarketing Agreement, the Issuer will pay the Remarketing Agents an up-front fee on the Closing Date. The Remarketing Agents may be removed upon the occurrence of a Remarketing Agent Breach, or may resign, in each case upon delivery of prior written notice. See “Security for the Notes—The Remarketing Agreement.” Acquisitions and Dispositions of Collateral: On the Closing Date, the Issuer will have purchased (or entered into agreements to purchase for settlement following the Closing Date) Collateral Debt Securities having an aggregate par amount of not less than U.S.$1,275,000,000. The Issuer expects that, no later than the Ramp-Up Completion Date (which will occur no later than the date that is 90 days after the Closing Date), it will have purchased or committed to purchase Collateral Debt Securities having an aggregate par amount of approximately U.S.$1,500,000,000. The Collateral Debt Securities purchased by the Issuer (or which it has entered into a commitment to purchase) will, on the date of purchase (or commitment to purchase), generally have the characteristics and satisfy the criteria set forth herein under “Security for the Notes—Eligibility Criteria and Portfolio Concentration Limitations.” Although the Issuer expects that such Collateral Debt Securities will, on the Ramp-Up Completion Date, satisfy the Collateral Quality Tests and the Coverage Tests described herein, there is no assurance that such tests will be satisfied on such date. Failure to satisfy the Coverage Tests, as applicable, on any Measurement Date following the Closing Date may result in the repayment or redemption of a portion of the Notes (according to the priority specified in the Priority of Payments) and/or the downgrade or withdrawal of any of the ratings assigned to the Notes on the Closing Date. See “Description of the Notes—Mandatory Redemption.” No investment will be made in Collateral Debt Securities after the termination of the Reinvestment Period, except to fulfill any commitments entered into prior to the last day of the Reinvestment Period. Unless terminated earlier as described herein under “Risk Factors—Early Termination of the Reinvestment Period,” the Reinvestment Period will terminate on the July 2012 Quarterly Distribution Date. Liquidation of Collateral Debt Securities: Prior to the Term Note Stated Maturity, or in connection with an Accelerated Maturity Date, Optional Redemption, Tax Redemption or Auction Call Redemption (including a Clean-Up Call Redemption), the Collateral Debt Securities, Eligible Investments and other Collateral will be liquidated. All net proceeds from such liquidation and all available cash will be applied to the payment (in the order of priorities set forth under “Description of the Notes— Priority of Payments”) of all (i) fees, (ii) expenses and indemnities (including the amounts due to the Put Counterparty, the Remarketing Agents and any Hedge Counterparty) and (iii) principal of (including, in the case of the Class C Notes, Class C Deferred Interest and, in the case of the Class D Notes, Class D Deferred Interest) and interest (including any Defaulted Interest, accrued interest on such Defaulted Interest and interest on any Class C Deferred Interest and any Class D Deferred Interest) on the Notes. Net proceeds from such liquidation and available cash remaining after all payments required pursuant to the Indenture and the payment of the costs and expenses of such liquidation and the establishment of adequate reserves to meet all contingent, unliquidated liabilities or obligations of the Issuer will be distributed to the Subordinated Noteholders in accordance with the Subordinated Note Issuing and Paying Agency Agreement.

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The Directors of the Issuer currently intend, in the event that the Subordinated Notes are not redeemed at the option of the holders of a Majority of Subordinated Notes following the repayment in full of the Notes, to liquidate all of the Issuer’s remaining investments in an orderly manner and distribute the proceeds of such liquidation in the manner described above. Initial Hedge Agreements: One or more Interest Rate Swaps will be used to mitigate the mismatches between a portion of the Collateral Debt Securities that pay interest at a fixed rate and the floating rate at which interest accrues on the Class A1 Notes. Basis Swaps may be used by the Issuer to mitigate mismatches between the timing of accrual and receipt of Interest Proceeds from the Collateral Debt Securities, on the one hand, and the timing and accrual of interest payments on the Class A1 Notes, on the other hand. Basis Swaps may also be used by the Issuer to mitigate interest rate basis mismatches between a portion of the Collateral Debt Securities that pays interest by reference to an index based on a designated maturity which is greater than one month and the one month interest rate basis upon which interest accrues on the Class A1 Notes. See “Security for the Notes—Hedge Agreements.” After the Closing Date, the Issuer may from time to time enter into additional Hedge Agreements with one or more Hedge Counterparties, in each case upon the satisfaction of the Rating Condition. Plan of Distribution: The Securities are being offered for sale to investors (“Original Purchasers”) (i) in the United States to persons which are both Qualified Purchasers and either (x) Qualified Institutional Buyers or (y) in the case of a Subordinated Note in the initial distribution thereof, a limited number of Accredited Investors, in reliance on Rule 144A or another exemption from registration under the Securities Act and (ii) outside the United States to persons who are not U.S. Persons in offshore transactions in reliance on Regulation S and, in each case, in accordance with any applicable securities laws of any state of the United States and any other relevant jurisdiction. See “Plan of Distribution” and “Transfer Restrictions.” Ratings: It is a condition to the issuance of the Securities that the Class A1 Notes be rated “P-1” by Moody’s Investors Service, Inc. (“Moody’s”) and at least “A1” by Standard & Poor’s Ratings Services, a division of The McGraw-Hill Companies, Inc. (“Standard & Poor’s” and, together with Moody’s, the “Rating Agencies”), that the Class A2 Notes be rated “Aaa” by Moody’s and “AAA” by Standard & Poor’s, that the Class B Notes be rated at least “Aa2” by Moody’s and at least “AA” by Standard & Poor’s, that the Class C Notes be rated at least “A2” by Moody’s and at least “A” by Standard & Poor’s, and that the Class D Notes be rated at least “BBB” by Moody’s and at least “Baa2” by Standard & Poor’s. The Subordinated Notes will be rated by Standard & Poor’s and are expected to have a rating of at least “BB+”, solely as to ultimate payment of Subordinated Note Rated Principal. The "P-1" rating assigned by Moody's to the Class A1 Notes addresses the timely payment of interest and the payment of principal on the Put Agreement Settlement Date relating to each MM Stated Maturity.

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Minimum Denominations of Notes and Subordinated Notes:

The Notes will be issuable in a minimum denomination of U.S.$500,000 of initial principal balance and in integral multiples of U.S.$1,000 in excess thereof. The Subordinated Notes will be issuable in a minimum denomination of U.S.$250,000 of initial principal balance and in integral multiples of U.S.$1,000 in excess thereof. The Class A1 Notes, Class A2 Notes, Class B Notes and Class C Notes sold in offshore transactions in reliance on Regulation S under the Securities Act will be represented by one or more permanent global notes (the “Regulation S Global A/B/C Notes”) in definitive, fully registered form without interest coupons deposited with the Trustee as custodian for, and registered in the name of a nominee of, The Depository Trust Company (“DTC”) for the respective accounts of Euroclear Bank, S.A./N.V., as operator of the Euroclear System (“Euroclear”), and/or Clearstream Banking, société anonyme (“Clearstream”). Beneficial interests in a Regulation S Global A/B/C Note may be held only through Euroclear or Clearstream. Beneficial interests in a Regulation S Global A/B/C Note may not be held by a U.S. Person at any time. The Class D Notes sold in offshore transactions in reliance on Regulation S under the Securities Act will be represented by one or more permanent global notes (“Regulation S Global Class D Notes, and, together with the Regulation S Global A/B/C Notes, the “Regulation S Global Notes”) in definitive, fully registered form without interest coupons deposited with the Trustee as custodian for, and registered in the name of a nominee of, DTC for the respective accounts of Euroclear and/or Clearstream. Beneficial interests in a Regulation S Global Class D Note may be held only through Euroclear or Clearstream. Beneficial interests in a Regulation S Global Class D Note may not be held by a U.S. Person at any time. The Class A1 Notes, Class A2 Notes, Class B Notes and Class C Notes sold in the United States or to U.S. Persons in reliance on Rule 144A will be evidenced by one or more permanent global notes (each, a “Restricted Global Note” and collectively, the “Restricted Global Notes”) in definitive, fully registered form without coupons, deposited with the Trustee as custodian for, and registered in the name of a nominee of, DTC. The Class D Notes sold in the United States or to U.S. Persons will only be issued, offered and sold in definitive, fully registered form, registered in the name of the respective owners thereof (“Restricted Class D Notes”). Transfers of the Notes are subject to certain restrictions. See “Description of the Notes—Form, Denomination, Registration and Transfer,” “ERISA Considerations” and “Transfer Restrictions.”

Form, Registration and Transfer of the Notes:

Form, Registration and Transfer of the Subordinated Notes:

The Subordinated Notes sold in offshore transactions in reliance on Regulation S under the Securities Act will be represented by one or more permanent global notes (“Regulation S Global Subordinated Notes”) in definitive, fully registered form without interest coupons deposited with the Subordinated Note Issuing and Paying Agent as custodian for, and registered in the name of a nominee of, DTC for the respective accounts of Euroclear and/or Clearstream. Beneficial interests in a Regulation S Global Subordinated Note may be held only through Euroclear or Clearstream. Beneficial interests in a Regulation S Global Subordinated Note may not be held by a U.S. Person at any time.

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The Subordinated Notes sold in the United States or to U.S. Persons will only be issued, offered and sold in definitive, fully registered form, registered in the name of the respective owners thereof (“Restricted Subordinated Notes”). Transfers of the Subordinated Notes are subject to certain restrictions. See “Description of the Subordinated Notes—Form, Registration and Transfer,” “ERISA Considerations” and “Transfer Restrictions.” Listing: Application will be made to the Irish Stock Exchange for the Notes to be admitted to the Official List and to trading on its regulated market but there can be no assurance that such admission will be approved or maintained. The Indenture will not require the Issuer to maintain a listing for any Notes, on an E.U. stock exchange if compliance with applicable E.U. directives (or other requirements adopted by the European Commission or a relevant Member State) becomes burdensome in the sole judgment of the Collateral Manager. Listing Agent and Paying Agent in Ireland: Arthur Cox Listing Services Limited will serve as Listing Agent in Ireland (in such capacity a “Listing Agent”), and Custom House Administration & Corporate Services Ltd. will serve as Paying Agent in Ireland (in such capacity, a “Paying Agent” or the “Irish Paying Agent”). Arthur Cox Listing Services Limited is acting solely in its capacity as listing agent for the Issuer in connection with the Notes and is not itself seeking admission of the Notes to the Official List of the Irish Stock Exchange or to trading on the Irish Stock Exchange for the purposes of the Prospectus Directive. The Notes, the Subordinated Notes and the Issuer Documents (other than the Administration Agreement) will be governed by the law of the State of New York. The Issuer Charter, the Declaration of Trust and the Administration Agreement will be governed by the law of the Cayman Islands. Although the Class A1 Notes are structured to be “eligible securities” (within the meaning of Rule 2a-7 under the Investment Company Act (“Rule 2a-7”)), eligible for purchase by investment companies registered under the Investment Company Act and holding themselves out as “money market funds” under Rule 2a-7, subject to a determination by the board of directors of the relevant money market fund that the Class A1 Notes present “minimal credit risk” as such term is used in Rule 2a-7 and that there is minimal risk that the circumstances will occur that would result in the benefit of the Put Agreement not being available, the Issuer, the Collateral Manager, the Put Counterparty, the Placement Agents, the Initial Purchaser, any Hedge Counterparty and their respective affiliates make no representation as to the eligibility of the Class A1 Notes for purchase by money market funds under Rule 2a-7. Holders of the Class A1 Notes that are money market funds should refer to the provisions of Rule 2a-7 and independently verify its applicability to their investment in the Class A1 Notes in light of the portfolio limitations reflected in the Eligibility Criteria and the Portfolio Concentration Limitations, the terms of the Initial Hedge Agreements and the Put Agreement, such holders’ investment policies and objectives and such other considerations as they deem relevant. If the Put Agreement is terminated, the Class A1 Notes will cease to be remarketed and will not be eligible for purchase by money market funds in accordance with Rule 2a-7.

Governing Law:

Legal Matters:

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Tax Matters: Benefit Plan Investors:

See “Certain Income Tax Considerations.” See “ERISA Considerations.”

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RISK FACTORS An investment in the Securities involves certain risks. Prospective investors should carefully consider the following factors, in addition to the risk factors described in the Prospectus and matters set forth elsewhere in this Prospectus, prior to investing in the Securities.

The Securities Limited Liquidity. There is currently no market for the Securities. Although the Placement Agents and/or the Initial Purchaser may from time to time make a market in any Class of Securities, none of the Placement Agents or the Initial Purchaser is under any obligation to do so (except, in the case of the Class A1 Notes, as Remarketing Agents under the Remarketing Agreement). In the event that the Placement Agents and/or the Initial Purchaser commence any market-making, it may discontinue the same at any time. There can be no assurance that a secondary market for any of the Securities will develop, or if a secondary market does develop, that it will provide the holders of such Securities with liquidity of investment or that it will continue for the life of the Securities. In addition, the Securities are subject to certain transfer restrictions and can only be transferred to certain transferees as described under “Transfer Restrictions.” Such restrictions on the transfer of the Securities may further limit their liquidity. Consequently, an investor in the Securities must be prepared to hold its Securities for an indefinite period of time or until the Stated Maturity of its Class of Notes or, in the case of the Subordinated Notes, the Scheduled Subordinated Note Redemption Date Securities. Limited-Recourse Obligations; Limited Source of Funds; Subordination of Subordinated Notes. The Notes are limited-recourse obligations of the Issuer. The Notes are payable solely from the Collateral Debt Securities and other Collateral pledged by the Issuer to secure the Notes. None of the security holders, members, officers, directors, managers or incorporators of the Issuer, the Trustee, the Administrator, the Share Trustee, the Collateral Manager, the Put Counterparty, the Remarketing Agents, any Hedge Counterparties, the Placement Agents, the Initial Purchaser, or any of their respective affiliates or any other person or entity other than the Issuer will be obligated to make payments on the Notes. Consequently, the holders of the Notes (the “Noteholders”) must rely solely on amounts received in respect of the Collateral Debt Securities and other Collateral pledged to secure the Notes for the payment of principal thereof and interest thereon; provided that certain of the Collateral will secure only the Class A1 Notes. There can be no assurance that the distributions on the Collateral Debt Securities and other Collateral pledged by the Issuer to secure the Notes will be sufficient to make payments on any Class of Notes, in particular after making payments on more Senior Classes of Notes and certain other required amounts ranking senior to such Class. The Issuer’s ability to make payments in respect of any Class of Notes will be constrained by the terms of the Notes of Classes more Senior to such Class and the Indenture. If distributions on the Collateral are insufficient to make payments on the Notes, no other assets will be available for payment of the deficiency and, following liquidation of all the Collateral, the obligations of the Issuer to pay such deficiencies will be extinguished. The Issuer’s obligation to make distributions on the Subordinated Notes will not be a secured obligation of the Issuer. Holders of the Subordinated Notes will only be entitled to receive amounts available for distributions after payment of all amounts payable prior thereto under the Priority of Payments. In certain scenarios, the Securities may not be paid in full and certain classes of the Securities, in particular the Subordinated Notes, may be subject to up to 100% loss of invested capital. Subordination. No payment of interest on any Class of Notes will be made until all accrued and unpaid interest on the Notes of each Class that is Senior to such Class and that remains outstanding has been paid in full. No distribution from Interest Proceeds will be made on the Subordinated Notes until accrued and unpaid interest on the outstanding Notes has been paid in full. No payment of principal of any Class of Notes will be made until all principal of, and all accrued and unpaid interest on, the Notes of each Class that is Senior to such Class and that remain outstanding have been paid in full; provided that on any Quarterly Distribution Date (i) as further described in paragraph (3) under the heading “Description of the Notes—Priority of Payments—Principal Proceeds,” principal on a Class of Notes may be paid prior to the payment in full of any Senior Class of Notes if the Pro Rata Payment 19

Condition is satisfied with respect to such Distribution Date, (ii) on or prior to the last day of the Reinvestment Period, as further described in paragraph (17) under the heading “Description of the Notes—Priority of Payments— Interest Proceeds,” principal on the Class D Notes may be paid prior to the payment in full of any Senior Class of Notes, and (iii) Class C Deferred Interest and Class D Deferred Interest added to the aggregate outstanding principal amount of, respectively, the Class C Notes and the Class D Notes may be paid pursuant to the Priority of Payments prior to the payment in full of Senior Classes of Notes. If an Indenture Event of Default occurs, so long as any Notes are outstanding, the holders of the Controlling Class will be entitled to determine the remedies to be exercised under the Indenture; provided that, for so long as the Put Agreement is outstanding and no “event of default” in respect of which the Put Counterparty is the sole “defaulting party” has occurred (each such term as defined in the Put Agreement), the Put Counterparty will have the right (which may be assigned by the Put Counterparty to the Put Counterparty Lender in connection with the Put Loan Agreement) to exercise the voting and consent rights of the then outstanding Class A1 Notes. So long as any Class A1 Notes, Class A2 Notes or Class B Notes are outstanding, the failure on any Quarterly Distribution Date to make payments in respect of interest on the Class C Notes by reason of the operation of the Priority of Payments will not constitute an Indenture Event of Default. So long as any Class A1, Class A2 Notes, Class B Notes or Class C Notes are outstanding, the failure on any Quarterly Distribution Date to make payment in respect of interest on the Class D Notes by reason of the operation of the Priority of Payments will not constitute an Indenture Event of Default. Any interest on the Class C Notes or the Class D Notes that is not paid when due by operation of the Priority of Payments will be deferred and capitalized. In the event of any realization on the Collateral, proceeds will be allocated to the Notes and other amounts due in accordance with the Priority of Payments prior to any distribution to the Subordinated Noteholders. See “Description of the Notes—The Indenture” and “—Priority of Payments.” Remedies pursued by the holders of the Class or Classes of Notes entitled to determine the exercise of such remedies could be adverse to the interest of the holders of the other Classes of Securities. Except as otherwise set forth under the Priority of Payments, to the extent that any losses are suffered by any of the holders of any Securities, such losses will be borne, first, by the holders of the outstanding Subordinated Notes, second, by the holders of the outstanding Class D Notes, third, by the holders of the outstanding Class C Notes, fourth, by the holders of the outstanding Class B Notes, fifth, by the holders of the outstanding Class A2 Notes, and sixth, by the holders of the outstanding Class A1 Notes. Payments in Respect of the Subordinated Notes. The Issuer, pursuant to the Indenture, has pledged substantially all of its assets to secure the Notes and certain other obligations of the Issuer. The Subordinated Notes are not secured by the Collateral Debt Securities or other Collateral securing the Notes. The proceeds of such assets will only be available to make payments in respect of the Subordinated Notes as and when such proceeds are released in accordance with the Priority of Payments. Prior to the payment in full of the Notes and all other amounts owing under the Indenture, Subordinated Noteholders will be entitled to receive distributions only to the extent permissible under the Indenture, and the Subordinated Note Issuing and Paying Agency Agreement. The timing and amount of distributions payable to Subordinated Noteholders and the duration of the Subordinated Noteholders’ investment in the Issuer therefore will be affected by the average life of the Notes. See “—Average Life and Prepayment Considerations.” There can be no assurance that, after payment of principal and interest on the Notes and other fees and expenses of the Issuer in accordance with the Priority of Payments, the Issuer will have funds remaining to make distributions in respect of the Subordinated Notes. See “Description of the Notes—Priority of Payments.” Any amounts that are released from the lien of the Indenture for distribution to the Subordinated Noteholders in accordance with the Priority of Payments on any Quarterly Distribution Date will not be available to make payments in respect of the Notes on any subsequent Distribution Date. Leveraged Investments. The Subordinated Notes (and to a lesser extent, the Class D Notes) represent a highly leveraged investment in the underlying Collateral. Therefore, it is expected that changes in the value of the Subordinated Notes and the Class D Notes will be greater than the change in the value of the underlying Collateral Debt Securities, which themselves are subject to credit, liquidity, interest rate and other risks. Utilization of leverage is a speculative investment technique and involves certain risks to investors, particularly to investors that bear the first risk of loss. The indebtedness of the Issuer under the Notes will result in interest expense and other costs incurred in connection with such indebtedness that may not be covered by proceeds received from the Collateral. The use of leverage generally magnifies opportunities for gain and risk of loss.

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Limited Source of Funds to Pay Expenses of the Issuer. The funds available to the Issuer to pay certain fees and expenses are limited to U.S.$21,875 on each Distribution Date, except for the initial Distribution Date in which case such amounts are limited to U.S.$91,150. Payment of any taxes and filing and registration fees (including annual return fees owed by the Issuer) will be payable prior to any other amounts owed by the Issuer and are not subject to any limitations. Any remaining Interest Proceeds after the payments described in paragraphs (1) through (17) under “Description of the Notes—Priority of Payments—Interest Proceeds” will also be available for the payment of expenses. In the event that such funds are not sufficient to pay the expenses incurred by the Issuer, the ability of the Issuer to operate effectively may be impaired, and the Issuer may not be able to defend or prosecute legal proceedings brought against it or that it might otherwise bring to protect the interests of the Issuer. Reinvestment Risk and Volatility of Collateral Yield. Subject to the limits described under “Description of the Notes—Priority of Payments” and “Security for the Notes—Eligibility Criteria and Portfolio Concentration Limitations,” Principal Proceeds realized on Collateral Debt Securities during the Reinvestment Period may be reinvested in additional Collateral Debt Securities during such period. The yield with respect to such additional Collateral Debt Securities will depend on, among other factors, the prices and availability of Collateral Debt Securities, the Eligibility Criteria and the Portfolio Concentration Limitations. The need to satisfy the definition of Collateral Debt Security may require the purchase of additional Collateral Debt Securities with a lower yield than those initially acquired or require that such Principal Proceeds be maintained temporarily in cash or Eligible Investments, which may reduce the yield on the assets. Further, obligors of Collateral Debt Securities may be more likely to exercise any rights they may have to prepay when interest rates or spreads are declining. In addition, after the Ramp-Up Completion Date, if the Collateral Manager determines (in its sole discretion) that in light of the composition of Collateral Debt Securities, general market conditions and other factors, investments in additional Collateral Debt Securities within the foreseeable future would either be impractical or not beneficial, the Collateral Manager may, but is not required to, direct the Issuer to apply all or any portion of the Principal Proceeds that would otherwise be available for reinvestment in Collateral Debt Securities to the payment of principal of the Notes or, with the consent of a Majority of the Controlling Class, terminate the Reinvestment Period. Any decrease in the yield on the Collateral Debt Securities will have the effect of reducing the amounts available to make payments of principal and interest on the Notes and decrease the amount of proceeds available to make distributions in respect of the Subordinated Notes. Impact of Uninvested Cash Balances. To the extent the Collateral Manager, on behalf of the Issuer, maintains cash balances (whether representing Uninvested Proceeds or Principal Proceeds) invested in short-term investments instead of higher yielding Collateral Debt Securities, portfolio income will be reduced which will result in reduced amounts available for distributions on the Securities, in particular the Class D Notes and the Subordinated Notes. The extent to which cash balances remain uninvested will be subject to a variety of factors, including future market conditions and is difficult to predict. Mandatory Repayment of the Notes. If a Coverage Test applicable to a Class of Notes is not met on any Determination Date preceding a Quarterly Distribution Date, Interest Proceeds and, after application of Interest Proceeds, Principal Proceeds, will be used to make payments of outstanding principal of each applicable Class of Notes in order of seniority, in each case to the extent necessary to cause the applicable Coverage Test to be satisfied (subject, in each case, to the Priority of Payments). See “Description of the Notes—Mandatory Redemption.” In addition, upon a Rating Confirmation Failure with respect to the Class A Notes or the Class B Notes, funds that would otherwise be used to pay interest on the Class C Notes (after the payment of certain other amounts prior thereto) on the Quarterly Distribution Date following the Rating Confirmation Failure (and on each Quarterly Distribution Date thereafter, if required) will be used from Uninvested Proceeds and, after application of Uninvested Proceeds, Interest Proceeds and, after application of Interest Proceeds, Principal Proceeds to redeem, first, the Class A1 Notes, second, the Class A2 Notes, and third (solely in the case of a Rating Confirmation Failure with respect to the Class B Notes, the Class B Notes), in each case to the extent specified by a Rating Agency in order to obtain a Rating Confirmation. In the case of a Rating Confirmation Failure with respect to the Class C Notes, funds that would otherwise be used to pay interest on the Class D Notes (after the payment of certain other amounts prior thereto) on such Distribution Date will be used from Uninvested Proceeds and, after application of Uninvested Proceeds, Interest Proceeds and, after application of Interest Proceeds, Principal Proceeds to redeem, first, the Class A1 Notes, second, the Class A2 Notes, third, the Class B Notes and fourth, the Class C Notes, in each case to the extent specified by a Rating Agency in order to obtain a Rating Confirmation. In the case of a Rating Confirmation Failure with respect to the Class D Notes, funds that would otherwise be used to make a distribution in respect of the 21

Subordinated Notes (after the payment of certain other amounts prior thereto) on such Distribution Date(s) will be used from Uninvested Proceeds and, after application of Uninvested Proceeds, Interest Proceeds and, after application of Interest Proceeds, Principal Proceeds to redeem, first, the Class A1 Notes, second, the Class A2 Notes, third, the Class B Notes, fourth, the Class C Notes and fifth, the Class D Notes, in each case to the extent specified by a Rating Agency in order to obtain a Rating Confirmation. The foregoing could result in an elimination, deferral or reduction in distributions on the Subordinated Notes and in the payments in respect of interest or the principal repayments made to the holders of the Class C Notes or the Class D Notes, and may affect the average life of the Notes and the duration of the Subordinated Notes, which could adversely impact the returns to such holders and on the Subordinated Notes. Collateral Manager Directed Redemption. On any Quarterly Distribution Date after the Ramp-Up Completion Date and prior to the last day of the Reinvestment Period, if the Collateral Manager (in its sole discretion) determines that in light of the composition of Collateral Debt Securities, general market conditions and other factors (including any change in accounting principles, in any regulations or laws or any change in U.S. Federal tax law requiring tax to be withheld on payments to the Issuer with respect to obligations or securities held by the Issuer), investments in additional Collateral Debt Securities within the foreseeable future would either be impractical or not beneficial, the Collateral Manager may, but is not required to, direct the Issuer to apply all or any portion of the Principal Proceeds that would otherwise be available for reinvestment in Collateral Debt Securities to the payment of principal of the Notes in accordance with paragraph (2) under the heading “Description of the Notes—Priority of Payments-Principal Proceeds.” See “Description of the Notes—Mandatory Redemption” and “— Priority of Payments-Principal Proceeds.” The foregoing could result in an elimination, deferral or reduction in distributions on the Subordinated Notes, and may affect the average life of the Notes and the duration of the Subordinated Notes, which could adversely impact the returns to such holders and on the Subordinated Notes. Auction Call Redemption. If the Notes are not scheduled to be redeemed in full on or prior to an Auction Call Distribution Date (the first of which will occur on the earlier of the Distribution Date in July 2015 and the Clean-Up Call Trigger Date), then an Auction of the Collateral Debt Securities will be conducted in accordance with the Auction Procedures and, if certain conditions are satisfied, the Collateral Debt Securities will be sold (and each Hedge Agreement terminated) and the Notes will be redeemed on such Auction Call Distribution Date. There can be no assurance that an Auction of the Collateral Debt Securities will be successful. If such conditions are not satisfied and the Notes are not redeemed on such Auction Call Distribution Date, Auctions will be attempted in accordance with the Auction Procedures on a quarterly basis until the Notes are redeemed in full. See “Description of the Notes—Auction Call Redemption.” A successful Auction of the Collateral Debt Securities is not required to result in any proceeds for distribution to the holders of the Subordinated Notes. Accordingly, in the event of an Auction, holders of the Subordinated Notes may have those Subordinated Notes redeemed without receiving any distribution on such Subordinated Notes. The Collateral Manager may bid at each Auction. This could discourage other potential bidders from participating in the Auction. See “Description of the Notes—Redemption Price” and “—Auction Call Redemption.” Optional Redemption. Subject to satisfaction of certain conditions, a Majority of Subordinated Noteholders (including any Collateral Manager Securities) may require that the Notes be redeemed, in whole and not in part, on any Quarterly Distribution Date on or after the Quarterly Distribution Date in July 2010 as described under “Description of the Notes—Optional Redemption and Tax Redemption.” The interests of the Subordinated Noteholders in determining whether to effect an Optional Redemption may be different from the interests of the Noteholders. Tax Redemption. Subject to satisfaction of certain conditions, upon the occurrence of a Tax Event the Issuer may redeem the Notes, in whole but not in part, on a Quarterly Distribution Date and only from (a) the sale proceeds of the Collateral and/or Refinancing Proceeds and (b) all other funds in, and the balance of Eligible Investments maturing on or before the related scheduled Redemption Date and credited to, the Interest Collection Account, the Principal Collection Account, the Uninvested Proceeds Account, the Interest Reserve Account, the 22

Expense Account and the Payment Account (including any amounts in each Synthetic Security Counterparty Account in excess of any termination payment payable to the related Synthetic Security Counterparty) (collectively, “Available Redemption Funds”) on such Distribution Date, at the written direction of (i) holders of a Majority of any Affected Class of Notes or (ii) a Majority of Subordinated Noteholders, at the applicable Redemption Price. No Tax Redemption may be effected, however, unless (i) Available Redemption Funds are sufficient to redeem the Notes simultaneously and to pay certain other amounts in accordance with the procedures set forth in the Indenture and (ii) the Tax Materiality Condition is satisfied. See “Description of the Notes—Optional Redemption and Tax Redemption.” Each Hedge Agreement will terminate upon any Tax Redemption. In connection with any Tax Redemption, holders of at least a Majority of any Class of Notes may elect to receive less than 100% of the Redemption Price that would otherwise be payable to such Class. If such an election were made, a holder of the Notes of that Class would receive such reduced Redemption Price (and would not be paid 100% of the outstanding principal amount of and accrued and unpaid interest on such Notes), even if such holder did not vote in favor of such election. Accelerated Maturity Date. If an Indenture Event of Default occurs and is continuing and the conditions to liquidating the Collateral set forth in the Indenture are satisfied, the Trustee will (as directed in writing by the Collateral Manager) liquidate the Collateral and terminate each Hedge Agreement and, on the second Business Day (the “Accelerated Maturity Date”) following the Business Day on which it is determined and the Trustee notifies the Issuer and the Collateral Manager, or the Issuer (or the Collateral Manager on its behalf) notifies the Trustee that such liquidation and such termination is completed, apply the proceeds thereof in accordance with the Priority of Payments described under “Description of the Notes—Priority of Payments” (after payment of the costs and expenses related to such liquidation and termination). See “Description of the Notes—The Indenture.” An Accelerated Maturity Date may occur even if there are insufficient proceeds to make any distribution on the Subordinated Notes if (i) the holders of 66 2/3% in aggregate outstanding principal amount of each Class of Notes voting as separate Classes or (ii) with respect to a Senior Overcollateralization Default, the holders of a majority of the aggregate outstanding principal amount of all Classes of Notes voting as a single class and in each case (with certain exceptions described herein) each Hedge Counterparty, so direct, even if there are insufficient funds to pay the Redemption Price of each Class of Notes in full. Rating Confirmation Failure. The Issuer will notify each Rating Agency, the Trustee and each of the Hedge Counterparties in writing of the occurrence of the Ramp-Up Completion Date within 10 days after the RampUp Completion Date occurs (such notice, a “Ramp-Up Notice”). The Issuer will request that each Rating Agency notify the Issuer within 30 days after receipt of a Ramp-Up Notice that it has not reduced or withdrawn the ratings (including any shadow, private or confidential ratings) assigned by it on the Closing Date to any Class of Notes or otherwise provide confirmation of such ratings (a “Rating Confirmation”); provided that the accountant’s report certifying the procedures and findings (with respect to certain of the Eligibility Criteria and Portfolio Concentration Limitations) delivered to Moody’s pursuant to the Indenture shall constitute Rating Confirmation with respect to Moody’s if, on the Ramp-Up Completion Date, each Collateral Quality Test (other than Standard & Poor’s CDO Monitor Test) and each Coverage Test is satisfied. If the Issuer is unable to obtain a Rating Confirmation from each Rating Agency by such 30th day (a “Rating Confirmation Failure”), on the next Quarterly Distribution Date (and on any Quarterly Distribution Date thereafter, if required) the Issuer will be required to apply, first, Uninvested Proceeds, second, Interest Proceeds and, third, Principal Proceeds to, first, the payment of the principal of the Class A1 Notes, second, the payment of the principal of the Class A2 Notes, third, the payment of the principal of the Class B Notes, fourth, the payment of the principal of the Class C Notes and fifth, the payment of the principal of the Class D Notes, in each case in accordance with the Priority of Payments and as and to the extent specified by each Rating Agency as necessary to obtain a Rating Confirmation from each Rating Agency. As a result, interest on the Class C Notes and the Class D Notes (and distributions on the Subordinated Notes) may not be paid on such Quarterly Distribution Date. In the event that a Rating Confirmation Failure has occurred but no Rating Agency has specified that any portion of the Uninvested Proceeds, Interest Proceeds and/or Principal Proceeds be applied to the repayment of Notes in order to obtain a Rating Confirmation, there will be no Rating Confirmation Failure Redemption of Notes on such Quarterly Distribution Date (or on any such subsequent Quarterly Distribution Date) as a result of a Rating Confirmation Failure. A Rating Confirmation Failure Redemption of Notes may not be sufficient to obtain a Rating Confirmation. Failure to obtain a Rating Confirmation in connection with a Rating Confirmation Failure Redemption of Notes or otherwise will not be an Indenture Event of Default. See “Description of the Notes—Mandatory Redemption” and “—Priority of Payments.” 23

Notwithstanding the foregoing, in the event that, prior to the first Quarterly Distribution Date, the Issuer has not obtained a Rating Confirmation from Standard & Poor's or has not either submitted an accountants’ report to Moody’s pursuant to the Indenture showing the Issuer's compliance with the Collateral Quality Tests (other than the Moody's Asset Correlation Test and the Standard & Poor's CDO Monitor Test) or obtained a Rating Confirmation from Moody's, the Issuer will not make any distributions under clauses (19) through (21) of “Priority of Payments— Interest Proceeds” or clauses (6) through (8) of “Priority of Payments—Principal Proceeds” on such Quarterly Distribution Date. Any amount that otherwise would have been distributed under such clauses shall be retained in the Payment Account and distributed (x) pursuant to clauses (19) through (21) of “Priority of Payments—Interest Proceeds” and clauses (6) through (8) of “Priority of Payments—Principal Proceeds,” as applicable, at such time as the Issuer obtains a Rating Confirmation from each Rating Agency (and the Trustee shall make such distribution on the Business Day after it receives written notice from the Collateral Manager that the Issuer has obtained a Rating Confirmation from each Rating Agency) or (y) pursuant to the Priority of Payments on the next Quarterly Distribution Date if a Rating Confirmation Failure occurs. Early Termination of the Reinvestment Period. Although the Reinvestment Period is expected to terminate on the July 2012 Quarterly Distribution Date, the Reinvestment Period may terminate prior to such date if (i) the Collateral Manager (with the consent of a Majority of the Controlling Class) notifies the Trustee and each Hedge Counterparty in writing that, in light of the composition of Collateral Debt Securities, general market conditions and other factors, the Collateral Manager (in its sole judgment) has determined that investments in additional Collateral Debt Securities within the foreseeable future would either be impractical or not beneficial or (ii) an Indenture Event of Default occurs. If the Reinvestment Period terminates prior to the July 2012 Quarterly Distribution Date, such early termination may affect the expected average lives of the Notes and the duration of the Subordinated Notes as described under “Maturity, Prepayment and Yield Considerations.” Control Rights of the Put Counterparty. For so long as the Put Agreement is in effect and no “event of default” in respect of which the Put Counterparty is the sole “defaulting party” has occurred (each such term as defined in the Put Agreement), in addition to any voting and consent rights the Put Counterparty may have under the Indenture in its capacity as Put Counterparty, (x) the Put Counterparty will have the right to exercise the voting and consent rights of the then outstanding Class A1 Notes for any purpose, including as part of the Controlling Class, and (y) the Put Counterparty’s vote, consent or determination will be required with respect to any consent that requires the vote, consent or approval of all, or any percentage, of the holders of the Class A1 Notes. In each case, the Put Counterparty may have the right to direct the exercise of rights and remedies of all of the holders of the Notes under the Indenture following the occurrence of an Indenture Event of Default. The Put Counterparty may, in connection with the Put Loan Agreement, assign to the Put Counterparty Lender its right to exercise the foregoing voting, consent and other rights, and will assign to the Put Counterparty Lender the Put Counterparty’s right to elect to receive Class A1 Extended Notes upon its purchase of Class A1 Notes pursuant to the Put Agreement. Neither the Put Counterparty nor the Put Counterparty Lender will have any duty to take into account the interests of any holders of any Security issued by the Issuer in exercising its rights and may do so in its sole discretion. Interest Rate Risk. All of the Notes bear interest at floating rates based on LIBOR. While most of the Collateral Debt Securities are also expected to bear interest at floating rates, the Portfolio Concentration Limitations permit up to 20% of the Net Outstanding Portfolio Balance to be invested in Fixed Rate Securities (and in certain circumstances, the confirmation of Fixed Rate Securities may exceed such 20%). Further, some of the Collateral Debt Securities will bear interest at a London interbank offered rate and other floating rates that are calculated or determined on different dates or for shorter or longer periods than the LIBOR applicable to the Notes, and the floating rates on any RMBS Cap Floater Securities that the Issuer may purchase are subject to maximum interest rate ceilings, which maximum rates may, from time to time, be less than the then-applicable rates on one or more Classes of Notes. Consequently, the Notes are subject to interest rate risk to the extent that there is an interest rate mismatch between the floating rate at which interest accrues on the Notes and the rates at which interest accrues on the Collateral Debt Securities as a result of which the interest that becomes due on the Collateral Debt Securities may be less than interest that accrues on the Notes. In addition, any payments of principal of or interest on Collateral Debt Securities received during a Due Period, to the extent not reinvested in Collateral Debt Securities, will be reinvested in Eligible Investments maturing not later than the Business Day immediately preceding the next Quarterly Distribution Date. There is no requirement that Eligible Investments bear interest at LIBOR, and the interest rates available for Eligible Investments are inherently uncertain. As a result of these mismatches or decrease, an increase in three month LIBOR could adversely impact the ability of the Issuer to make payments on 24

the Notes (other than the Class A1 Notes), and an increase or decease in one-month LIBOR could adversely impact the ability of the Issuer to make payments on the Class A1 Notes. To mitigate a portion of such interest rate mismatch, the Issuer will on the Closing Date enter into the Initial Hedge Agreements. In addition, the Issuer may enter into one or more Hedge Agreements after the Closing Date. However, there can be no assurance that the Collateral Debt Securities and Eligible Investments, together with the Initial Hedge Agreements and any additional Hedge Agreements, will in all circumstances generate sufficient Interest Proceeds to make timely payments of interest on the Notes. The Initial Hedge Agreements are scheduled to terminate on or about the eighth anniversary of the Closing Date, which is prior to the Term Note Stated Maturity. Moreover, the benefits of the Initial Hedge Agreements may not be achieved in the event of the early termination thereof, including termination upon the failure of the Initial Hedge Counterparty to perform its obligations thereunder. Similarly, the benefits of any additional Hedge Agreements may not be achieved in the event of the early termination thereof, including termination upon the failure of any Hedge Counterparty to perform its obligations thereunder. See “Security for the Notes—Hedge Agreements”. Subject to satisfaction of the Rating Condition with respect to such reduction, the Collateral Manager may on any Quarterly Distribution Date direct the Issuer to reduce or, with the consent of the Initial Hedge Counterparty, increase the notional amount of any Hedge Agreement. In connection with such a reduction, a termination payment may be due from the Issuer to the Hedge Counterparty. The Initial Hedge Counterparty will also have the right to reduce the notional related amount of any Basis Swap between the Issuer and the Initial Hedge Counterparty, subject to satisfaction of the Rating Condition, if the aggregate notional amount of all Hedge Agreements constituting basis swaps is greater than the aggregate outstanding principal balance of the Class A1 Notes, which may occur as principal on the Notes is repaid after the Reinvestment Period or in connection with any early redemption of all or a portion of the Notes, including upon any failure to satisfy a Coverage Test. Any such reduction in the notional amount of any Basis Swap will be considered a partial termination thereof and the Issuer may be required to make a termination payment to the Initial Hedge Counterparty as a result. If the Issuer is required to pay a termination payment to the Initial Hedge Counterparty, subject to the Priority of Payments, such payment will be made prior to the payment of any interest on or principal of the Notes. See “Security for the Notes—Hedge Agreements.” Although the Indenture authorizes the Issuer to enter into additional or replacement Hedge Agreements after the Closing Date, in practice the Issuer may not be able to do so or may be able to do so only on unfavorable terms. Each such Hedge Agreement must satisfy the Rating Condition. Average Life and Prepayment Considerations. The average life of each Class of the Notes (other than the Class A1 Notes, so long as the Put Agreement is in effect) is expected to be shorter than the number of years remaining to the Stated Maturity applicable to such Class of Notes. The average life of the Notes will be affected by a number of factors, including any redemption or acceleration described herein, the amount and frequency of principal payments on the Notes as a result of the failure of Coverage Tests or a Rating Confirmation Failure, the financial condition of the issuers of the underlying Collateral Debt Securities and the characteristics of such obligations, including the stated maturity, existence and frequency of exercise of any redemption rights (or tender offers or exchange offers for such obligations), the prevailing level of interest rates, the redemption price, the actual default rate and the actual level of recoveries on defaulted obligations, prepayments and the amount and frequency of any sales of Collateral Debt Securities by the Collateral Manager. The timing and amount of distributions payable to Subordinated Noteholders and the duration of the Subordinated Noteholders’ investment in the Issuer will be affected by the average life of the Notes. The Collateral Debt Securities actually acquired by the Issuer may be different from those expected to be purchased by the Collateral Manager, on behalf of the Issuer, due to market conditions, availability of such Collateral Debt Securities and other factors. The actual portfolio of Collateral Debt Securities owned by the Issuer will change from time to time as a result of sales and purchases of Collateral Debt Securities. The Issuer will cause the redemption in whole (but not in part) of the Notes, as described under, and subject to the conditions described in, “Description of the Notes—Optional Redemption and Tax Redemption.” In addition, the Notes may be accelerated upon the occurrence of an Indenture Event of Default, as described under “Description of the Notes—The Indenture.” There can be no assurance that, upon any redemption or acceleration of the Notes, the proceeds realized would permit any payment to the Subordinated Notes after all required payments are made in accordance with the Priority of Payments. In particular, the market prices of the Collateral Debt Securities and the Hedge Counterparties will affect returns on the Subordinated Notes. In addition, a redemption or acceleration of the 25

Notes could require the Collateral Manager to liquidate positions more rapidly than might otherwise be desirable, which could adversely affect the realized value of the obligations sold. Projections, Forecasts and Estimates. Any projections, forecasts and estimates contained herein are forward looking statements and are based upon certain assumptions that the Issuer considers reasonable. Such statements are necessarily speculative in nature, and it can be expected that some or all of the assumptions underlying such statements will not materialize or will vary significantly from actual results. Accordingly, such statements are only estimates. Actual results may vary from such forward-looking statements, and the variations may be material. Some important factors that could cause actual results to differ materially from those in any forward looking statements include changes in interest rates, market, financial or legal uncertainties, the timing of acquisitions of the Collateral Debt Securities, differences in the actual allocation of the Collateral Debt Securities among asset categories from those assumed, mismatches between the timing of accrual and receipt of Interest Proceeds and Principal Proceeds from the Collateral Debt Securities (particularly prior to the Ramp-Up Completion Date), defaults on the Collateral Debt Securities and the effectiveness of any Hedge Agreement. Consequently, the inclusion of projections herein should not be regarded as a representation by the Issuer, the Collateral Manager, the Put Counterparty, the Trustee, the Collateral Administrator, the Subordinated Note Issuing and Paying Agent, the Placement Agents, any Hedge Counterparty or any of their respective affiliates or any other person or entity of the results that will actually be achieved by the Issuer. None of the Issuer, the Collateral Manager, the Put Counterparty, the Trustee, the Collateral Administrator, the Subordinated Note Issuing and Paying Agents, the Placement Agents, the Initial Purchaser, the Hedge Counterparties, any of their respective affiliates or any other person has any obligation to update or otherwise revise any projections, 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, even if the underlying assumptions do not come to fruition. In addition, a prospective investor may have received a prospective investor presentation or other similar materials from the Placement Agents and/or the Initial Purchaser. Such materials may have contained a summary of certain proposed terms of a hypothetical offering of securities as contemplated at the time of preparation of such presentation in connection with preliminary discussions with prospective investors in the Securities. However, as indicated therein, no such materials constituted an offering of securities for sale, and any offering of Securities will be made only pursuant to a final Prospectus. Given the foregoing and the fact that information contained in any such materials was preliminary in nature and has been superseded and may no longer be accurate, neither any such materials nor any information contained therein may be relied upon in connection with a prospective investment in the Securities. In addition, the Placement Agents, the Initial Purchaser or the Issuer may make available to prospective investors certain information concerning the economic benefits and risks resulting from ownership of the Securities derived from modeling the cash flows expected to be received by, and the expected obligations of, the Issuer under various hypothetical assumptions provided to the Placement Agents, the Initial Purchaser or potential investors. Any such information may constitute projections that depend on the assumptions supplied and are otherwise limited in the manner indicated above. Investor Suitability. An investment in the Securities will not be appropriate for all investors. Structured investment products, like the Securities, are complex instruments, and typically involve a high degree of risk and are intended for sale only to sophisticated investors who are capable of understanding and assuming the risks involved. Any investor interested in purchasing Securities should conduct its own investigation and analysis of the Securities and consult its own professional advisers as to the risks involved in making such a purchase.

The Collateral Limited Investment Opportunities. Although the Issuer is permitted to invest in Collateral Debt Securities prior to the Ramp-Up Completion Date, the Issuer may find that, as a practical matter, these investment opportunities are not available to it prior to the end of the Ramp-Up Completion Date for a variety of reasons including, but not limited to, the limitations imposed by the Eligibility Criteria and the Portfolio Concentration 26

Limitations. At any time there may be a limited universe of investments that would satisfy the Eligibility Criteria and the Portfolio Concentration Limitations given the other investments in the Issuer’s portfolio. As a result, the Collateral Manager, on behalf of the Issuer, may at times find it difficult to purchase suitable investments prior to the Ramp-Up Completion Date. See “Security for the Notes.” If the Issuer is unable to purchase sufficient suitable investments prior to the Ramp-Up Completion Date, a Rating Confirmation Failure may occur and principal of all or a portion of the Notes may be repaid in accordance with the Priority of Payments on the Quarterly Distribution Date after the occurrence of such Rating Confirmation Failure. See “Description of the Notes—Mandatory Redemption.” Ramp-Up Period. Reduced liquidity and lower volumes of transactions in Collateral Debt Securities, in addition to restrictions on investment contained in the Eligibility Criteria or Portfolio Concentration Limitations, could result in periods of time during which the Issuer is unable to be fully invested in Collateral Debt Securities. During any such period, the aggregate amount of Interest Proceeds received by the Issuer will generally be reduced, which will reduce the amounts available to pay interest on the Notes, make distributions on the Subordinated Notes and to make other payments pursuant to the Priority of Payments. The ramp-up period, during which a portion of the initial portfolio of Collateral Debt Securities will be acquired, may last as long as 90 days from the Closing Date. The longer the period before the Issuer has entered into the maximum permitted aggregate par amount of Collateral Debt Securities, the greater the adverse impact may be on aggregate Interest Proceeds collected and distributed by the Issuer, resulting in a lower yield than could have been obtained if the Issuer were immediately invested and remained invested at all times in such maximum permitted aggregate par amount of Collateral Debt Securities. Purchase of Initial Collateral Debt Securities. Substantially all of the Collateral Debt Securities purchased or otherwise acquired by the Issuer on the Closing Date will be purchased or acquired from a portfolio of Collateral Debt Securities held by Mizuho International plc (the “Warehouse Provider”) pursuant to a warehousing agreement between the Warehouse Provider and the Collateral Manager. During the pre-closing period the Collateral Manager selected the portfolio of Collateral Debt Securities acquired pursuant to the warehousing agreement. The Issuer will purchase or acquire Collateral Debt Securities from the Warehouse Provider only to the extent the Collateral Manager determines that such purchases are consistent with the investment guidelines and objectives of the Issuer, the restrictions contained in the Indenture and applicable law. If the Warehouse Provider were to become the subject of a case or proceeding under insolvency, receivership or administration law, the trustee, administrator or other liquidator could assert that Collateral Debt Securities acquired from the Warehouse Provider are property of the insolvency estate of such entity. Property that the Warehouse Provider has pledged or assigned, or in which the Warehouse Provider has granted a security interest, as collateral security for the payment or performance of an obligation, would be property of the estate of the Warehouse Provider. Property that the Warehouse Provider has sold or absolutely assigned and transferred to another party, however, is not property of the estate of the Warehouse Provider. The Issuer does not expect that the purchase by the Issuer of Collateral Debt Securities, under the circumstances contemplated by this Prospectus, will be deemed to be a pledge or collateral assignment (as opposed to the sale or other absolute transfer of such Collateral Debt Securities to the Issuer). Unspecified Use of Proceeds. On the Closing Date, a substantial portion of the net proceeds from the issuance and sale of the Securities will be used to purchase Collateral Debt Securities. The remainder of the net proceeds from the issuance and sale of the Notes and proceeds received from time to time in respect of Collateral Debt Securities previously purchased by the Issuer will be invested during the periods described herein in Collateral Debt Securities that will not have been identified by the Collateral Manager on the Closing Date. Purchasers of the Securities will not have an opportunity to evaluate for themselves the relevant economic, financial and other information regarding the investments to be made by the Collateral Manager (on behalf of the Issuer) and, accordingly, will be dependent upon the judgment and ability of the Collateral Manager in investing and managing the proceeds of the Securities and in identifying investments over time. No assurance can be given that the Collateral Manager (on behalf of the Issuer) will be successful in obtaining suitable investments or that, even if such investments are made, the objectives of the Issuer will be achieved. Illiquidity of Collateral Debt Securities. Some of the Collateral Debt Securities purchased by the Issuer will have no, or only a limited, trading market. The Issuer’s investment in illiquid Collateral Debt Securities may restrict its ability to dispose of investments in a timely fashion and for a fair price as well as its ability to take advantage of market opportunities, although the Issuer is generally prohibited by the Indenture from selling 27

Collateral Debt Securities except under certain limited circumstances described under “Security for the Notes— Dispositions of Collateral Debt Securities.” Illiquid Collateral Debt Securities may trade at a discount from comparable, more liquid investments. In addition, the Issuer may invest in privately placed Collateral Debt Securities that may or may not be freely transferable under the laws of the applicable jurisdiction or due to contractual restrictions on resale, and even if such privately placed Collateral Debt Securities are transferable, the prices realized from their sale could be less than those originally paid by the Issuer or less than what may be considered the fair value of such securities. The illiquidity and restrictions on transfer of the Collateral Debt Securities may affect the amount and timing of receipt of proceeds from the sale of Collateral Debt Securities in connection with the exercise of remedies following an Indenture Event of Default. Such illiquidity may also result in the realization of less proceeds from the sale of Collateral Debt Securities in an Auction or in connection with an Optional Redemption or Tax Redemption. See “—Termination of Hedge Agreements and Liquidation of Collateral Upon Redemption.” Default and Recovery Rates on Collateral Debt Securities. Statistical information with respect to the default and recovery rates for the type of securities represented by the Collateral Debt Securities may not be reliable. The historical performance of a market is not necessarily indicative of its future performance. Should increases in default rates or decreases in recovery rates occur with respect to the type of assets underlying the Collateral Debt Securities, the actual default or recovery rates of the Collateral Debt Securities may exceed (and may significantly exceed) or may be significantly less than, the hypothetical default rates and recovery rates, respectively, set forth herein. Prospective purchasers of the Securities should consider and determine for themselves the likely level of defaults and the level of recoveries on the Collateral Debt Securities during the term of the transaction. Fraud. Of paramount concern in purchasing Collateral Debt Securities is the possibility of material misrepresentation or omission on the part of the borrower. Such inaccuracy or incompleteness may adversely affect the valuation of the collateral underlying a Collateral Debt Security, or may adversely affect the likelihood that a lien on such collateral has been properly created and perfected. The Issuer will indirectly rely upon the accuracy and completeness of representations made by borrowers under the assets underlying the Collateral Debt Securities, but cannot guarantee such accuracy or completeness. Under certain circumstances, payments to the Issuer may be reclaimed if any such payment or distribution is later determined to have been made with an intent to defraud or prefer creditors. Credit Ratings of Collateral Debt Securities. Credit ratings of debt securities represent the rating agencies’ opinions regarding their credit quality and are not a guarantee of quality. Rating agencies attempt to evaluate the safety of principal and interest payments and do not evaluate the risks of fluctuations in market value; therefore, ratings may not fully reflect the true risks of an investment. Also, rating agencies may fail to make timely changes in credit ratings in response to subsequent events, so that an issuer’s current financial condition may be better or worse than a rating indicates. Consequently, credit ratings of the Collateral Debt Securities will be used by the Collateral Manager only as a preliminary indicator of investment quality. Nature of Collateral. The Collateral is subject to credit, liquidity, interest rate risk and other risks. The Collateral pledged to secure the Notes will consist of RMBS Securities, CDO Securities, CMBS Securities, other Asset-Backed Securities and related Synthetic Securities. Certain of the items of Collateral may have greater credit and liquidity risk than investment grade sovereign or investment grade corporate bonds. In addition, concentrations of Asset-Backed Securities of a particular type, as well as concentrations of Asset-Backed Securities issued or guaranteed by affiliated obligors, serviced by the same servicer or backed by underlying collateral located in a specific geographic region, may subject the Securities to additional risk. The Issuer will acquire a material portion of the Collateral after the Closing Date, and, accordingly, the financial performance of the Issuer may be affected by the price and availability of Collateral to be purchased. The amount and characteristics of the Collateral Debt Securities intended to secure the Notes have been selected to withstand certain assumed deficiencies in payment occasioned by defaults, delinquencies and interest rate mismatches between interest payable on the Notes and in respect of the Collateral Debt Securities. See “Ratings of the Securities.” There is no assurance that actual losses will not exceed such assumed losses. If any deficiencies exceed such assumed levels, payment of the Notes and distributions on the Subordinated Notes could be adversely affected, perhaps materially. To the extent that a default occurs with respect to any Collateral Debt Security securing the Notes and the Issuer (upon the advice of the Collateral Manager) sells or otherwise disposes of such 28

Collateral Debt Security, it is not likely that the proceeds of such sale or disposition will be equal to the amount of principal and interest owing to the Issuer in respect of such Collateral Debt Security. The market value of the Collateral Debt Securities generally is expected to fluctuate with, among other things, (i) the performance of the assets underlying the Collateral Debt Securities or, with respect to Synthetic Securities, the related Reference Obligations, (ii) the financial condition of the issuers and servicers of such assets, and with respect to Synthetic Securities, the related Synthetic Security Counterparties and (iii) general economic conditions, the condition of relevant financial markets, political events, developments or trends in any particular industry and changes in prevailing interest rates. The current spreads over LIBOR on Asset-Backed Securities are at very low levels; in the event that such spreads widen after the Closing Date, the market value of the Collateral Debt Securities is likely to decline and, in the case of a substantial spread widening, could decline by a substantial amount. None of the Issuer, the Placement Agents, the Initial Purchaser, the Collateral Manager, the Collateral Administrator, the Trustee, any Hedge Counterparty or their respective affiliates has any obligation or liability to the holders of the Securities as to the amount or value of, or decrease in the value of, the Collateral Debt Securities from time to time. Although the Issuer is permitted to invest in Asset-Backed Securities and related Synthetic Securities, the Issuer may find that, as a practical matter, certain investment opportunities are not available to it for a variety of reasons such as the limitations imposed by the Eligibility Criteria and the Portfolio Concentration Limitations and requirements with respect to certain Synthetic Securities that the Issuer receive confirmation of the Notes’ ratings from each Rating Agency. At any time there may be a limited universe of investments that would satisfy the Eligibility Criteria and Portfolio Concentration Limitations given the other investments in the Issuer’s portfolio. As a result, the Collateral Manager, on behalf of the Issuer, may at times find it difficult to purchase suitable investments. See “Security for the Notes—Eligibility Criteria and Portfolio Concentration Limitations.” Under the Indenture, the Collateral Manager may only direct the disposition of Collateral Debt Securities under certain limited circumstances. Notwithstanding such restrictions and satisfaction of the conditions set forth in the Indenture, sales and purchases of Collateral Debt Securities could result in losses by the Issuer, which losses could affect the timing and amount of payments in respect of the Notes and Subordinated Notes or result in the downgrade or withdrawal of the rating of any or all of the Notes by one or more of the Rating Agencies. On the other hand, circumstances may exist under which the Collateral Manager may believe that it is in the best interests of the Issuer to dispose of Collateral, but will not be permitted to do so under the restrictions and conditions of the Indenture. The description of the Collateral herein and of the risks related thereto is general in nature. Prospective purchasers should assess for themselves the risks inherent in the Collateral Debt Securities. Residential Mortgage-Backed Securities. The Collateral Debt Securities will include a substantial amount of residential mortgage-backed securities (“RMBS Securities”), including, without limitation, Residential Prime Mortgage Securities, Residential Midprime Securities, Residential Subprime Mortgage Securities, RMBS Cap Floater Securities, and Synthetic Securities the Reference Obligations of which are RMBS Securities. Holders of RMBS Securities bear various risks, including credit, market, interest rate, structural and legal risks. RMBS Securities represent interests in pools of residential mortgage loans secured by one- to four-family residential properties. Such loans may be prepaid at any time. See “Maturity, Prepayment and Yield Considerations.” Residential mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The rate of defaults and losses on residential mortgage loans will be affected by a number of factors, including general economic conditions and those in the area where the related mortgaged property is located, the borrower’s equity in the mortgaged property and the financial circumstances of the borrower. If a residential mortgage loan is in default, foreclosure of such residential mortgage loan may be a lengthy and difficult process, and may involve significant expenses. Furthermore, the market for defaulted residential mortgage loans or foreclosed properties may be very limited. The majority of the RMBS Securities will be backed by non-conforming mortgage loans, i.e., mortgage loans that do not qualify for purchase by government-sponsored enterprises such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) due to credit or 29

other characteristics that do not satisfy the related government sponsored enterprise’s guidelines, including loans to mortgagors whose creditworthiness and repayment ability do not satisfy the related government sponsored enterprise’s underwriting guidelines and loans to mortgagors who may have a record of credit write-offs, outstanding judgments, prior bankruptcies and other credit issues. Accordingly, non-conforming mortgage loans are likely to experience rates of delinquency, foreclosure and loss that are higher, and that may be substantially higher, than mortgage loans originated in accordance with the related government sponsored enterprise’s underwriting guidelines. The majority of mortgage loans made in the United States qualify for purchase by governmentsponsored enterprises. The principal differences between conforming mortgage loans and non-conforming mortgage loans include the applicable loan-to-value ratios, the credit and income histories of the related mortgagors, the documentation required for approval of the related mortgage loans, the types of properties securing the mortgage loans, the loan sizes and the mortgagors’ occupancy status with respect to the mortgaged properties. As a result of these and other factors, the interest rates charged on non-conforming mortgage loans are often higher than those charged for conforming mortgage loans. The combination of different underwriting criteria and higher rates of interest may also lead to higher delinquency, foreclosure and losses on non-conforming mortgage loans as compared to conforming mortgage loans. At any one time, the RMBS Securities constituting Collateral Debt Securities may be backed by residential mortgage loans with disproportionately large aggregate principal amounts secured by properties in only a few states or regions. As a result, the residential mortgage loans may be more susceptible to geographic risks relating to such areas, such as adverse economic conditions, adverse events affecting industries located in such areas and natural hazards affecting such areas, than would be the case for a pool of mortgage loans having more diverse property locations. In addition, the residential mortgage loans may include so-called “jumbo” mortgage loans, having original principal balances that are higher than mortgage loans that conform to Fannie Mae and Freddie Mac standards. As a result, the RMBS Securities constituting Collateral Debt Securities may experience increased losses. Each underlying residential mortgage loan in an issue of RMBS Securities may require payment of interest only during all or a portion of the term of the loan resulting in a large principal amount or “balloon” payment due on its maturity date. Balloon residential mortgage loans involve a greater risk to a lender than fully-amortizing loans because the ability of a borrower to pay such amount will normally depend on its ability to obtain refinancing of the related mortgage loan or sell the related mortgaged property at a price sufficient to permit the borrower to make the balloon payment, which will depend on a number of factors prevailing at the time such refinancing or sale is required, including, without limitation, the strength of the residential real estate markets, tax laws, the financial situation and operating history of the underlying property, interest rates and general economic conditions. If the borrower is unable to make such balloon payment, the related issue of RMBS Securities may experience losses. In addition to interest-only loans, RMBS Securities may be backed by other types of mortgage loans designed to make the loan more affordable, often in the early years, for the borrower. These types of loans can include so-called hybrid mortgage loans which are originated with a lower fixed rate but convert to a floating rate coupon prior to the maturity date and negative amortization mortgage loans that permit the borrower to pay a lower amount of interest than the actual interest accrued with the balance being added to the principal of the loan. These types of loans generally allow mortgagors to make lower monthly payments for a specified period of time than would be the case for fully amortizing mortgage loans of equivalent size. Depending on the relationship between fixed and floating interest rates at the time of conversion of the interest rate on a hybrid loan, there may be a significant increase in the amount of the borrower’s monthly payment. If the borrower is unable to make the higher monthly payments the related issue of RMBS Securities may experience losses. Like a balloon loan, repayment of a negative amortization mortgage loan may depend on the borrower’s ability to obtain refinancing at maturity or sell the related mortgaged property at a price sufficient to pay off the increased principal amount outstanding. RMBS Securities are susceptible to prepayment risks as they generally do not contain prepayment penalties and a reduction in interest rates will increase the prepayments on the RMBS Securities resulting in a reduction in yield to maturity for holders of such securities. Prepayments on the underlying residential mortgage loans in an issue of RMBS Securities will be influenced by the prepayment provisions of the related mortgage notes and may also be affected by a variety of economic, geographic and other factors, 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. In general, if prevailing interest rates fall significantly below the interest rates on the related residential mortgage loans, the rate of prepayment on the underlying residential 30

mortgage loans would be expected to increase. Conversely, if prevailing interest rates rise to a level significantly above the interest rates on the related mortgages, the rate of prepayment would be expected to decrease. Prepayments could reduce the yield received on the related issue of RMBS Securities. Legal risks can arise as a result of the procedures followed in connection with the origination of the mortgage loans for an issue of RMBS Securities or the servicing thereof which may be subject to various federal and state laws, public policies and principles of equity that protect consumers, which among other things may regulate interest rates and other charges, require certain disclosures, require licensing of originators, prohibit discriminatory lending practices, regulate the use of consumer credit information and regulate debt collection practices. Violations of certain provisions of these laws, public policies and principles may limit the servicer’s ability to collect all or part of the principal of or interest on a residential mortgage loan, entitle the borrower to a refund of amounts previously paid by it, or subject the servicer or owner of the mortgage loan to damages and sanctions. Any such violation could result also in cash flow delays and losses on the related issue of RMBS Securities. The mortgage loans backing RMBS Securities are also subject to federal laws, including: (1) the federal Truth in Lending Act and Regulation Z promulgated under the Truth in Lending Act, which require particular disclosures to the borrowers regarding the terms of the loans; (2) the Equal Credit Opportunity Act and Regulation B promulgated under the Equal Credit Opportunity Act, which prohibit discrimination in the extension of credit on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act; (3) the Americans with Disabilities Act, which, among other things, prohibits discrimination on the basis of disability in the full and equal enjoyment of the goods, services, facilities, privileges, advantages or accommodations of any place of public accommodation; (4) the Fair Credit Reporting Act, which regulates the use and reporting of information related to the borrower’s credit experience; (5) cost loans; the Home Ownership and Equity Protection Act of 1994, which regulates the origination of high

(6) the Depository Institutions Deregulation and Monetary Control Act of 1980, which preempts certain state usury laws; and (7) the Alternative Mortgage Transaction Parity Act of 1982, which preempts certain state lending laws which regulate alternative mortgage transactions. Failure to comply with state and federal consumer protection laws and related statutes could subject the lenders under the mortgage loans backing RMBS Securities to specific statutory liabilities, and may limit the ability of an issuer of RMBS Securities to collect all or part of the principal of or interest on the related underlying mortgage loans or subject such issuer to damages and administrative enforcement. In some cases, liability of a lender under a mortgage loan may affect subsequent assignees of such obligations, including the issuer of RMBS Securities. In particular, a lender’s failure to comply with the 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 of the affected mortgage loans, including the issuers of related RMBS Securities. If an issuer of RMBS Securities 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 RMBS Securities. In such event, the Issuer, as holder of such RMBS Securities, could suffer a loss.

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In addition to the laws described above, a number of legislative proposals have been introduced at the federal, state and municipal levels that are designed to discourage predatory lending practices. Some states have enacted, or may enact, laws or regulations that prohibit inclusion of some provisions in mortgage loans that have mortgage rates or origination costs in excess of prescribed levels, and require that borrowers be given certain disclosures prior to the consummation of such mortgage loans. In some cases, state law may impose requirements and restrictions greater than those in the Home Ownership and Equity Protection Act. An originator’s failure to comply with these laws could subject the issuer of RMBS Securities to monetary penalties and could result in the borrowers rescinding the loans underlying such RMBS Securities. Some of the mortgage loans backing RMBS Securities may have been underwritten with, and finance the cost of, credit insurance. From time to time, originators of mortgage loans that finance the cost of credit insurance have been named in legal actions brought by federal and state regulatory authorities alleging that certain practices employed relating to the sale of credit insurance constitute violations of law. If such an action were brought against such issuer with respect to mortgage loans backing such RMBS Securities and were successful, it is possible that the borrower could be entitled to refunds of amounts previously paid or that such issuer could be subject to damages and administrative enforcement. In addition, numerous federal and state statutory provisions, including the federal bankruptcy laws, the Servicemembers Civil Relief Act of 2003 and state debtor relief laws, may also adversely affect the ability of an issuer of RMBS Securities to collect the principal of or interest on the loans, and holders of the affected RMBS Securities may suffer a loss if the applicable laws result in these loans becoming uncollectible. It is not expected that RMBS Securities will be guaranteed or insured by any governmental agency or instrumentality or by any other person. Distributions on RMBS Securities will depend solely upon the amount and timing of payments and other collections on the related underlying mortgage loans. It is expected that the RMBS Securities owned by the Issuer will be subordinated to one or more other senior classes of securities of the same series for purposes of, among other things, offsetting losses and other shortfalls with respect to the related underlying mortgage loans. In addition, in the case of certain RMBS Securities, no distributions of principal will generally be made with respect to any class until the aggregate principal balances of the corresponding senior classes of securities have been reduced to zero. As a result, the subordinate classes of RMBS Securities owned by the Issuer are more sensitive to risk of loss and writedowns than senior classes of such securities. Many of the RMBS Securities, including RMBS Cap Floater Securities, which the Issuer may purchase are subject to available funds caps or other caps on the interest rate payable to holders of such securities. The effect of such caps is to reduce the rate at which interest is paid to the holders of such securities (including the Issuer), which would have an adverse effect on the Issuer’s ability to pay interest on the Notes and to make distributions on the Subordinated Notes. Furthermore, RMBS Securities often are in the form of certificates of beneficial ownership of the underlying mortgage loan pool. These securities are entitled to payments provided for in the underlying agreement only when and if funds are generated by the underlying mortgage loan pool. The likelihood of the return of interest and principal may be assessed as a credit matter. However, securityholders do not have the legal status of secured creditors, and cannot accelerate a claim for payment on their securities, or force a sale of the mortgage loan pool in the event that insufficient funds exist to pay such amounts on any date designated for such payment. Subprime Borrowers. In recent years, borrowers have increasingly financed their homes with new mortgage loan products, which in many cases have allowed them to purchase homes that they might otherwise have been unable to afford. Many of these new products feature low monthly payments during the initial years of the loan that can increase (in some cases, significantly) over the loan term. There is little historical data with respect to these new mortgage loan products especially during a period of increased delinquencies or defaults for such mortgage loan products. Consequently, as borrowers face potentially higher monthly payments for the remaining terms of their loans, it is possible that, combined with other economic conditions such as increasing interest rates and deterioration of home values, borrower delinquencies and defaults could materially exceed levels anticipated.

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Recently, the subprime mortgage loan market has experienced increasing levels of delinquencies and defaults, and there can be no assurance that this trend will not continue. The increased levels of delinquencies and defaults, as well as a deterioration in general real estate market conditions, may have adverse impacts on the performance of RMBS Securities owned by the Issuer, which, if sufficiently severe, could impact returns on the Notes and the Subordinated Notes. CDO Securities. The Collateral Debt Securities will include a substantial amount of CDO Securities and may include Synthetic Securities the Reference Obligations of which are CDO Securities. CDO Securities generally are limited-recourse obligations of the issuer thereof payable solely from the underlying assets of such issuer or proceeds thereof. Consequently, holders of CDO Securities must rely solely on distributions on the underlying assets or proceeds thereof for payment in respect thereof. If distributions on the underlying assets are insufficient to make payments on the CDO Securities, no other assets will be available for payment of the deficiency and following realization of the underlying assets, the obligations of such issuer to pay such deficiency shall be extinguished. Such underlying assets may consist of high yield debt securities, loans, Asset-Backed Securities, emerging market debt securities and other debt instruments, generally rated below investment grade (or of equivalent credit quality) except for Asset-Backed Securities. High yield debt securities are generally unsecured (and loans may be unsecured) and may be subordinated to certain other obligations of the issuer thereof. The lower rating of high yield debt securities and below investment grade loans reflects a greater possibility that adverse changes in the financial condition of an issuer or in general economic conditions or both may impair the ability of the issuer to make payments of principal or interest. Such investments may be speculative. Issuers of CDO Securities may acquire interests in loans and other debt obligations by way of sale, assignment or participation. 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; however, its rights can be more restricted than those of the assigning institution. Purchasers of loans are predominantly commercial banks, investment funds, mutual funds and investment banks. As secondary market trading volumes increase, new loans are frequently adopting standardized documentation to facilitate loan trading which may improve market liquidity. There can be no assurance, however, that future levels of supply and demand in loan trading will provide an adequate degree of liquidity or that the current level of liquidity will continue. Because of the provision to holders of such loans of confidential information relating to the borrower, the unique and customized nature of the loan agreement and the private syndication of the loan, loans are not as easily purchased or sold as a publicly traded security, and historically the trading volume in the loan market has been small relative to the high yield debt market. In purchasing participations, an issuer of CDO Securities will usually have a contractual relationship only with the selling institution, and not the borrower. Each such issuer generally will have no right directly to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of set-off against the borrower, nor have the right to object to certain changes to the loan agreement agreed to by the selling institution. Such issuer may not directly benefit from any collateral supporting the related loan and may be subject to any rights of set-off the borrower has against the selling institution. In addition, in the event of the insolvency of the selling institution, under the laws of the United States of America and the states thereof, such issuer may be treated as a general creditor of such selling institution, and may not have any exclusive or senior claim with respect to the selling institution’s interest in, or any collateral with respect to, the loan. Consequently, such issuer may be subject to the credit risk of the selling institution as well as of the borrower. In order to purchase and hold CDO Securities, the Issuer must satisfy at all times the investor qualifications in the indenture for each such CDO Security and in applicable securities laws. Generally, such indentures and applicable securities laws require that the Issuer either be a Qualified Institutional Buyer which is also a Qualified Purchaser or that it be a non-U.S. Person for purposes of the Investment Company Act. In the event that the Issuer does not satisfy these requirements at any time, it will not be able to purchase CDO Securities, and it may be required under the indenture for the applicable CDO Security to sell any CDO Security that it previously purchased. Any such “forced sale” by the Issuer is likely to be made at a loss. CDO Securities are subject to interest rate risk. The underlying assets of an issuer of CDO Securities may bear interest at a fixed (floating) rate while the CDO Securities issued by such issuer may bear interest at a floating (fixed) rate. As a result, there could be a floating/fixed rate or basis mismatch between such CDO Securities and 33

underlying assets which bear interest at a fixed rate, and there may be a timing mismatch between the CDO Securities and underlying assets that bear interest at a floating rate as the interest rate on such floating rate underlying assets may adjust more frequently or less frequently, on different dates and based on different indices, than the interest rates on the CDO Securities. As a result of such mismatches, an increase or decrease in the level of the floating rate indices could adversely impact the ability to make payments on the CDO Securities. While the Issuer’s investments in Collateral Debt Securities will be subject to the Eligibility Criteria and the Portfolio Concentration Limitations, because these investment guidelines treat CDO Securities as a separate asset type and do not require the Issuer to take into account the underlying collateral backing a CDO Security, these guidelines (including those relating to issuer, servicer and asset-type concentrations) may be indirectly exceeded through the Issuer’s investments in CDO Securities. For example, the underlying collateral backing a CDO Security may include securities that are also owned directly by the Issuer at a time when the direct investment by the Issuer is near or equal to the limits set forth in the Portfolio Concentration Limitations. In addition, because the investment guidelines of the Underlying Instruments of a CDO Security may allow investment by the related issuer in securities that the Issuer would not otherwise be permitted to purchase directly, the Issuer may have indirect interests in Excluded Securities. Commercial/Mortgage-Backed Securities. A portion of the Collateral Debt Securities may consist of commercial mortgage-backed securities (“CMBS Securities”) and Synthetic Securities the Reference Obligations of which are CMBS Securities. Commercial mortgage loans underlying commercial mortgage-backed securities are generally secured by multi-family or commercial property and may entail risks of delinquency and foreclosure, and risks of loss in the event thereof, that are greater than similar risks associated with loans secured by single-family residential property. The ability of a borrower to repay a loan secured by an income-producing property typically is dependent primarily upon the successful operation of such property rather than upon the existence of independent income or assets of the borrower. If the net operating income of the property is reduced (for example, if rental or occupancy rates decline or real estate tax rates or other operating expenses increase), the borrower’s ability to repay the loan may be impaired. Net operating income of an income-producing property can be affected by, among other things, tenant mix, success of tenant businesses, property management decisions (including responding to changing market conditions, planning and implementing rental or pricing structures and causing maintenance and capital improvements to be carried out in a timely fashion), property location and condition, competition from comparable types of properties, changes in laws that increase operating expense or limit rents that may be charged, any need to address environmental contamination at the property and the occurrence of any uninsured casualty at the property. The value of an income-producing property is directly related to the net operating income derived from such property. Furthermore, the value of any commercial property may be adversely affected by risks generally incidental to interests in real property, including various events which the related borrower and/or manager of the commercial property, the issuer, the depositor, the indenture trustee, the master servicer or the special servicer may be unable to predict or control, such as: changes in general or local economic conditions and/or specific industry segments; declines in real estate values; declines in rental or occupancy rates; increases in interest rates, real estate tax rates and other operating expenses; changes in governmental rules, regulations and fiscal policies, including environmental legislation; acts of God; environmental hazards; and social unrest and civil disturbances. Additional risks may be presented by the type and use of a particular commercial property. For instance, commercial properties that operate as hospitals and nursing homes may present special risks to lenders due to the significant governmental regulation of the ownership, operation, maintenance and financing of health care institutions. Hotel and motel properties are often operated pursuant to franchise, management or operating agreements which may be terminable by the franchisor or operator; and the transferability of a hotel’s operating, liquor and other licenses upon a transfer of the hotel, whether through purchase or foreclosure, is subject to local law requirements. 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 for any reason. In such cases, the conversion of the commercial property to an alternative use would generally require substantial capital expenditures. Thus, if the borrower becomes unable to meet its obligations under the related commercial mortgage loan, the 34

liquidation value of any such commercial property may be substantially less, relative to the amount outstanding on the related commercial mortgage loan, than would be the case if such commercial property were readily adaptable to other uses. Furthermore, in general, incremental risks of delinquency, foreclosure and loss with respect to an underlying commercial mortgage loan pool may be greater than those associated with residential mortgage loan pools. In part, this is caused by lack of diversity. RMBS Securities are typically backed by mortgage loan pools consisting of hundreds of mortgage loans and related mortgaged properties. Each residential mortgage loan represents a small percentage of the entire underlying collateral pool, the borrowers and mortgaged properties of which are geographically dispersed. Risk of delinquency, foreclosure and loss with respect to a residential mortgage loan pool can be analyzed statistically. By contrast, CMBS Securities may be backed by an underlying mortgage pool of only a few mortgage loans. As a result, each commercial mortgage loan in the underlying mortgage pool represents a large percentage of the principal amount of CMBS Securities backed by such underlying mortgage pool. A failure in performance of any one commercial mortgage loan in the underlying mortgage pool will have a much greater impact on the performance of the related CMBS Securities. Credit risk relating to commercial mortgage-backed transactions is, as a result, property-specific. In this respect, commercial mortgage-backed transactions resemble traditional nonrecourse secured loans. Mortgage loans underlying a CMBS issue 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, resulting in a “balloon” payment due at maturity. If the underlying mortgage borrower experiences business problems, or other factors limit refinancing alternatives, such balloon payment mortgages are likely to experience payment delays or even default. As a result, the related issue of CMBS could experience delays in cash flow and losses. In addition, structural and legal risks include the possibility that, in a bankruptcy or similar proceeding involving the originator or the servicer (often the same entity or affiliates), the assets of the issuer could be treated as never having been truly sold by the originator to the issuer and could be substantively consolidated with those of the originator, or the transfer of such assets to the Issuer could be voided as a fraudulent transfer. Challenges based on such doctrines could result also in cash flow delays and losses on the related issue of CMBS Securities. Asset-Backed Securities. The Collateral Debt Securities will include, in addition to RMBS Securities, CDO Securities and CMBS Securities, other Asset-Backed Securities or Synthetic Securities the Reference Obligations of which are Asset-Backed Securities. Asset-Backed Securities are securities that entitle the holders thereof to receive payments that depend primarily on the cash flow from a specified pool of financial assets (which may consist of or include real estate mortgages) either static or revolving, that by their terms convert into cash within a finite time period, together with rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities. See “Security for the Notes—Asset-Backed Securities.” Holders of Asset-Backed Securities bear various risks, including credit risk, liquidity risk, interest rate risk, market risk, operations risk, structural risk and legal risk. Credit risk is an important issue in Asset-Backed Securities because of the significant credit risks inherent in the underlying collateral and because issuers are primarily private entities. The structure of an Asset-Backed Security and the terms of the investors’ interest in the collateral can vary widely depending on the type of underlying assets, the desires of investors and the use of credit enhancements. Although the basic elements of all Asset-Backed Securities are similar, individual transactions can differ markedly in both structure and execution. Important determinants of the risk associated with issuing or holding the securities include the process by which principal and interest payments are allocated and distributed to investors, how credit losses affect the issuing vehicle and the return to investors in such Asset-Backed Securities, whether the underlying assets represent a fixed set of specific assets or accounts, whether the underlying assets are revolving or closed-end, under what terms (including maturity of the asset-backed instrument) any remaining balance in the accounts may revert to the issuing entity and the extent to which the entity that is the actual source of the underlying assets is obligated to provide support to the issuing vehicle or to the investors in such Asset-Backed Securities.

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Concentrations of Asset-Backed Securities of a particular type, as well as concentrations of Asset-Backed Securities issued or guaranteed by affiliated obligors, serviced by the same servicer or backed by underlying assets located in a specific geographic region, may subject the Securities to additional risk. In addition, structural and legal risks of Asset-Backed Securities include the possibility that, in a bankruptcy or similar proceeding involving the originator or the servicer (often the same entity or affiliates), the assets of the issuer could be treated as never having been truly sold by the originator to the issuer and could be substantively consolidated with those of the originator, or the transfer of such assets to the issuer could be voided as a fraudulent transfer. Challenges based on such doctrines could result also in cash flow delays and losses on the related issue of Asset-Backed Securities. Synthetic Securities. The economic return on a Synthetic Security depends substantially on the performance of related Reference Obligations. Synthetic Securities generally have probability of default, recovery upon default and expected loss characteristics that are closely correlated to the corresponding Reference Obligation, or to a specified risk tranche of a portfolio of Reference Obligations, but may have different maturity dates, coupons, payment dates or other non-credit characteristics than the corresponding Reference Obligation. Investments in such types of assets through the purchase of Synthetic Securities present risks in addition to those resulting from direct purchases of Asset-Backed Securities. With respect to Synthetic Securities, the Issuer will usually have a contractual relationship only with the counterparty of such Synthetic Security, and not the Reference Obligor on the Reference Obligation. The Issuer generally will have no right directly to enforce compliance by the Reference Obligor with the terms of either the Reference Obligation or any rights of set-off against the Reference Obligor, nor will the Issuer generally have any voting or other consensual rights of ownership with respect to the Reference Obligation. The Issuer will not directly benefit from any collateral supporting the Reference Obligation and will not have the benefit of the remedies that would normally be available to a holder of such Reference Obligation. In addition, in the event of the insolvency of the counterparty, the Issuer will be treated as a general creditor of such counterparty, and will not have any claim of title with respect to the Reference Obligation. Consequently, the Issuer will be subject to the credit risk of the counterparty as well as that of the Reference Obligor. As a result, concentrations of Synthetic Securities entered into with any one counterparty will subject the Securities to an additional degree of risk with respect to defaults by such counterparty as well as by the Reference Obligor. One or more affiliates of the Placement Agents and/or the Initial Purchaser may act as counterparty with respect to all or a portion of the Synthetic Securities, which relationship may create certain conflicts of interest. See “—Conflicts of Interest Involving the Placement Agents and the Initial Purchaser.” The Issuer will observe certain limitations on its ability to purchase Synthetic Securities in order to reduce the risk that it would be treated as a “dealer” in securities or otherwise treated as engaged in a trade or business in the United States for U.S. federal income tax purposes. Subordinate Asset-Backed Securities. A portion of the Collateral may consist of Asset-Backed 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. In addition, many of the transactions 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 a result, such securities have a higher risk of loss as a result of delinquencies or losses on the underlying assets. In certain circumstances, payments of interest may be reduced or eliminated for one or more payment dates. Additionally, as a result of cash flow being diverted to payments of principal on more senior classes, the average life of such securities may lengthen. Subordinate Asset-Backed Securities generally do not have the right to call a default or vote on remedies following a default unless more senior securities have been paid in full. As a result, a shortfall in payments to subordinate investors in Asset-Backed Securities will generally not result in a default being declared on the transaction and the transaction will not be restructured or unwound. Furthermore, because subordinate Asset-Backed Securities may represent a relatively small percentage of the size of the asset pool being securitized, the impact of a relatively small loss on the overall pool may be substantially greater on the holders of such subordinate security. International Investing. A portion of the Collateral Debt Securities may consist of obligations of an issuer located in a Special Purpose Vehicle Jurisdiction. Moreover, subject to compliance with certain of the Eligibility Criteria and Portfolio Concentration Limitations described herein, assets underlying Asset-Backed Securities and CDO Securities may consist of obligations of issuers or borrowers organized under the laws of various jurisdictions other than the United States. Investing outside the United States may involve greater risks than investing in the United States. These risks may include: (i) less publicly available information; (ii) varying levels of governmental 36

regulation and supervision; (iii) difficulty enforcing legal rights in a foreign jurisdiction and uncertainties as to the status, interpretation and application of laws therein; (iv) risks of economic dislocations in such other country; and (v) less data on historic default and recovery rates for the Collateral Debt Securities. Moreover, many foreign companies are not subject to accounting, auditing and financial reporting standards, practices and requirements comparable to those applicable to U.S. companies. In addition, there generally is less governmental supervision and regulation of exchanges, brokers and issuers in foreign countries than there is in the United States. For example, there may be no comparable provisions under certain foreign laws with respect to insider trading and similar investor protection securities laws applicable in the United States with respect to securities transactions. Foreign markets also have different clearance and settlement procedures, and in certain markets there have been times when settlements have failed to keep pace with the volume of securities transactions, making it difficult to conduct such transactions. Delays in settlement could result in periods when assets of the Issuer are uninvested and no return is earned thereon. The inability of the Issuer to make intended Collateral Debt Security purchases due to settlement problems or the risk of intermediary counterparty failures could cause the Issuer to miss investment opportunities. The inability to dispose of a Collateral Debt Security due to settlement problems could result either in losses to the Issuer due to subsequent declines in the value of such Collateral Debt Security or, if the Issuer has entered into a contract to sell the security, could result in possible liability to the purchaser. Transaction costs of buying and selling foreign securities, including brokerage, tax and custody costs, also are generally higher than those involved in U.S. domestic transactions. Furthermore, foreign financial markets, while generally growing in volume, have, for the most part, substantially less volume than U.S. markets, and securities of many foreign companies are less liquid and their prices more volatile than securities of comparable domestic companies. In many foreign countries there is the possibility of expropriation, nationalization or confiscatory taxation, limitations on the convertibility of currency or the removal of securities, property or other assets of the Issuer, political, economic or social instability or adverse diplomatic developments, each of which could have an adverse effect on the Issuer’s investments in such foreign countries. The economies of individual non-U.S. countries may also differ unfavorably from the U.S. economy in such respects as growth of gross domestic product, rate of inflation, volatility of currency exchange rates, depreciation, capital reinvestment, resource self-sufficiency and balance of payments position. Defaulted Securities and Deferred Interest PIK Bonds. If any Collateral Debt Security becomes a Defaulted Security or Deferred Interest PIK Bond and is liquidated in accordance with the terms of the related underlying documents, it is unlikely that the Issuer will receive the full amount of principal and interest accrued on such Collateral Debt Security and, consequently, the resulting shortfall would adversely affect the ability of the Issuer to pay the unpaid principal of and interest on the Notes and make distributions on the Subordinated Notes. Valuation Information. Neither the Issuer nor any other party will be required to provide periodic pricing or valuation information to investors regarding the Collateral Debt Securities or the Securities.

The Issuer The Issuer. The Issuer will agree, in the Indenture, to restrict its activities to (1) acquiring, holding, pledging and selling, solely for its own account, Collateral Debt Securities, Equity Securities and Eligible Investments, (2) entering into, and performing its obligations under, the Issuer Documents, (3) issuing, redeeming and selling the Securities, (4) pledging the Collateral as security for its obligations in respect of the Notes and otherwise for the benefit of the Secured Parties, (5) conducting any business or activity incidental and necessary to the foregoing and paying the expenses of the Issuer incurred in the ordinary course of its business otherwise permitted under the Indenture or the Subordinated Note Issuing and Paying Agency Agreement and (6) doing or performing any action or thing which is required by or ancillary to the attainment of the objects specified in clauses (1) to (5) above. Income derived from the Collateral will be the Issuer’s sole source of funds to pay amounts due on the Securities and its other expenses. The Issuer is an exempted company with limited liability incorporated under the laws of the 37

Cayman Islands. Because the Issuer is a Cayman Islands company and its directors reside in the Cayman Islands, it may not be possible for investors to effect service of process within the United States on such persons or to enforce against them or against the Issuer in United States courts judgments predicated upon the civil liability provisions of the United States securities laws. There is doubt as to whether the courts of the Cayman Islands will (i) recognize or enforce judgments of United States courts predicated upon the civil liability provisions of the securities laws of the United States or any state thereof, or (ii) in original actions brought in the Cayman Islands, impose liabilities upon the civil liability provisions of the securities laws of the United States or any state thereof, on the grounds that such provisions are penal in nature. None of the directors, securityholders, officers or incorporators of the Issuer, any of their respective affiliates or any other person (other than the Issuer) will be obligated to make payments on the Securities. Lack of Operating History. The Issuer is a newly organized entity and has no operating history. Accordingly, the Issuer has no performance history for a prospective investor to consider. Dependence on Collateral Manager; Relationship to Prior Investment Results. The Issuer has no employees and will be dependent on the employees of the Collateral Manager to make decisions on its behalf in accordance with the terms of the Indenture and the Collateral Management Agreement. Because the composition of the Collateral Debt Securities will vary over time, the performance of the Collateral Debt Securities depends on the investment strategy and investment process of the Collateral Manager in analyzing, selecting and managing the Collateral Debt Securities in accordance with the Collateral Management Agreement. As a result, the performance of the Issuer will be highly dependent on the financial and managerial experience of certain investment professionals associated with the Collateral Manager. There can be no assurance that the Collateral Manager’s current investment professionals will continue to be affiliated with the Collateral Manager or actively involved in the management and administration of the Collateral for the Issuer. In the event that one or more of the investment professionals of the Collateral Manager were to cease to be affiliated with the Collateral Manager or actively involved in the management and administration of the Collateral for the Issuer, the Collateral Manager would have to reassign responsibilities internally and/or hire one or more replacement individuals and such a loss could have a material adverse effect on the ability of the Collateral Manager to perform its duties under the Collateral Management Agreement and on the performance of the Issuer. See “The Collateral Manager.” The prior investment results of the Collateral Manager and any accounts or Investment Vehicles managed or advised by the Collateral Manager, and any persons associated with the Collateral Manager or any other entity or person described herein or otherwise made available to an investor are not indicative of the Issuer’s future investment results. This follows from the fact that the nature of, and risks associated with, the Issuer’s future investments may, and are likely to, differ substantially from those investments and strategies undertaken historically by such persons and entities. Accordingly, the Issuer’s investments are not likely to perform in accordance with, and may perform less favorably than, the past investments of any such persons or entities. Moreover, certain historic investment information that may have been made available to an investor may not include all of the information necessary to evaluate the economic performance of such persons or entities. Any prospective investor in the Securities should conduct its own independent analysis of such investment results and other investment information. See “The Collateral Manager.” In addition, subject to certain limited conditions, the Collateral Manager may resign at any time in its sole discretion or may be removed as the Collateral Manager under certain circumstances, in each case effective upon the appointment of a successor collateral manager. See “The Collateral Management Agreement.” Investment Company Act. Neither the Issuer nor the pool of Collateral has been registered with the SEC as an investment company pursuant to the Investment Company Act. The Issuer has not so registered in reliance on an exception for investment companies organized under the laws of a jurisdiction other than the United States or any State thereof (a) whose investors resident in the United States are solely “qualified purchasers” with respect to the Issuer (within the meaning given to such terms in the Investment Company Act and the rules of the SEC thereunder) and (b) which do not make a public offering of their securities in the United States. If the SEC or a court of competent jurisdiction were to find that the Issuer is required, but, in violation of the Investment Company Act, has failed, to register as an investment company, possible consequences include, but are not limited to, the following: (i) the SEC could apply to a district court to enjoin the violation and/or could 38

require the registration of the Issuer and the Securities; (ii) investors in the Issuer could sue the Issuer and recover any damages caused by the violation; and (iii) any contract to which the Issuer is a party that is made in, or whose performance involves, 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 nonenforcement and would not be inconsistent with the purposes of the Investment Company Act. Should the Issuer be subjected to any or all of the foregoing, the Issuer would be materially and adversely affected. Each transferee of a beneficial interest in a Restricted Global Note will be deemed to represent at the time of purchase that: (i) it is both a Qualified Institutional Buyer and a Qualified Purchaser; (ii) it is not a dealer described in paragraph (a)(1)(ii) of Rule 144A unless such purchaser owns and invests on a discretionary basis at least U.S.$25,000,000 in securities of issuers that are not affiliated persons of the dealer; (iii) it is not a plan referred to in paragraph (a)(1)(i)(D) or (a)(1)(i)(E) of Rule 144A, or a trust fund referred to in paragraph (a)(1)(i)(F) of Rule 144A that holds the assets of such a plan, unless investment decisions with respect to the plan are made solely by the fiduciary, trustee or sponsor of such plan; (iv) it will provide written notice of the foregoing, and of any applicable restrictions on transfer, to any transferee; (v) it is aware that the sale to it is being made in reliance on Rule 144A or another exemption from the registration requirements under the Securities Act; and (vi) it is acquiring such interest in such Notes for its own account. The Indenture provides that if, notwithstanding the restrictions on transfer contained therein, the Issuer determines that any holder of a Note that is a Restricted Note (or any interest therein) is not both a Qualified Purchaser and a Qualified Institutional Buyer, then the Issuer shall require, by notice to such holder, that such holder sell all of its right, title and interest to such Restricted Note (or interest therein) to a person that is (a) both a Qualified Purchaser and a Qualified Institutional Buyer or (b) not a U.S. Person (by exchange for a beneficial interest in a Regulation S Global Note), in each case with such sale to be effected within 30 calendar days after notice of such sale requirement is given. If such holder fails to effect the transfer required within such 30-day calendar period (i) upon direction from the Issuer, the Trustee, on behalf of the Issuer and at the expense of such holder (which expense may be deducted from the sale proceeds described below), shall cause such holder’s interest in such Note to be transferred in a commercially reasonable sale (conducted by an investment banking firm selected by the Trustee (and approved by the Collateral Manager) on behalf of the Issuer) to a person that certifies to the Trustee and the Issuer, in connection with such transfer, that such person is (x) both a Qualified Purchaser and a Qualified Institutional Buyer or (y) is not a U.S. Person and (ii) pending such transfer, no further payments will be made in respect of such Note (or interest therein) held by such holder from the date notice of the sale requirement is sent to the date on which such Note (or interest therein) is sold and such Note (or interest therein) shall be deemed not to be outstanding for the purposes of any vote, consent or direction of the holders of the Notes (and shall not be taken into account for the purposes of calculating any quorum or majority requirements relating thereto (such Note shall be deemed a Disregarded Security). The Subordinated Note Issuing and Paying Agency Agreement provides that if, notwithstanding the restrictions on transfer contained therein, the Issuer determines that any holder of a Restricted Subordinated Note is not both a Qualified Purchaser and a Qualified Institutional Buyer (unless such holder is an Accredited Investor that purchased such Subordinated Notes from the Initial Purchaser in connection with the initial distribution thereof), then the Issuer shall require, by notice to such holder, that such holder sell all of its right, title and interest to such Subordinated Note to a person that is (a) both a Qualified Purchaser and a Qualified Institutional Buyer or (b) not a U.S. Person (by exchange for a beneficial interest in a Regulation S Global Subordinated Note), in each case with such sale to be effected within 30 calendar days after notice of such sale requirement is given. If such holder fails to effect the transfer required within such 30-day calendar period, (a) upon direction from the Issuer, the Subordinated Note Issuing and Paying Agent (on behalf of the Issuer and at the expense of such holder (which expense may be deducted from the sale proceeds described below)) shall cause such holder’s interest in such Subordinated Notes to be transferred in a commercially reasonable sale (conducted by an investment banking firm selected by the Subordinated Note Issuing and Paying Agent (and approved by the Collateral Manager) on behalf of the Issuer) to a person that certifies to the Subordinated Note Issuing and Paying Agent and the Issuer, in connection with such transfer, that such person is (i) both a Qualified Purchaser and a Qualified Institutional Buyer or (ii) is not a U.S. Person and (b) pending such transfer, no payments will be made on such Subordinated Notes from the date notice of the sale requirement is sent to the date on which such Subordinated Notes are sold and such Subordinated Notes shall be deemed not to be outstanding for the purposes of any vote, consent or direction of the Subordinated

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Noteholders (and shall not be taken into account for the purposes of calculating any quorum or majority requirements relating thereto (such Subordinated Notes shall be deemed Disregarded Securities)).

Other Risk Factors Put Agreement; Hedge Agreement. The Issuer will, on the Closing Date, enter into the Put Agreement with Mizuho International plc, and may enter into Hedge Agreements with an affiliate of Mizuho International plc or other counterparties. No holder of a Security will have any right to act directly with respect to the Put Agreement or any Hedge Agreement or to proceed directly against any related counterparty. Those rights are reserved to the Trustee. See “—Conflicts of Interest Involving the Placement Agents and the Initial Purchaser,” and “Security for the Notes—Hedge Agreements”. Amounts payable under the Put Agreement by the Put Counterparty (and under the Put Loan Agreement by the Put Counterparty Lender) will be available solely to make payments for the benefit of holders of the Class A1 Notes and such amounts will not be used to pay amounts due to the other Noteholders. Holders are exposed to the credit of the Put Counterparty and any Hedge Counterparty, but especially to the credit of Mizuho International plc, as the Put Counterparty and the Initial Hedge Counterparty. Holders are also exposed to the credit of Working Capital Management Co. L.P., as lender under the Put Loan Agreement (the “Put Counterparty Lender”). There can be no assurance that any Hedge Counterparty will perform its obligations under any Hedge Agreement or that the Put Counterparty will perform its obligations under the Put Agreement or that the Put Counterparty Lender will perform its obligations under the Put Loan Agreement. The principal amount of the outstanding Class A1 Notes is expected (prior to the Final Distribution Date) to be paid at maturity with proceeds from the issuance of new Class A1 Notes. In addition, each holder of Class A1 Notes will be entitled to request the redemption, on any Quarterly Distribution Date prior to the MM Stated Maturity for such Notes, of all or a portion of the Class A1 Notes held by such holder, by delivering written Tender Notice at least sixty days prior to such Quarterly Distribution Date, which Tendered Class A1 Notes will be redeemed on such Quarterly Distribution Date with proceeds from the issuance of new Class A1 Notes (including Class A1 Notes sold to the Put Counterparty pursuant to the Put Agreement). Pursuant to the terms of the Put Agreement, if on any MM Reissuance Date or on any Quarterly Tender Date, the aggregate principal amount of the Class A1 Notes that are sold to investors pursuant to the Remarketing Agreement (in each case at a price equal to the aggregate principal amount of such Class A1 Notes and at an interest rate that does not exceed LIBOR plus the Maximum Class A1 Spread) is less than the aggregate principal amount of (i) with respect to any MM Reissuance Date (prior to the Put Termination Reissuance Date), the then-maturing Class A1 Notes and (ii) with respect to any Quarterly Tender Date, the applicable Tendered Class A1 Notes, the Put Counterparty, following receipt of a payment notice pursuant to and in accordance with the Put Agreement, will purchase, at par, on such MM Reissuance Date or Quarterly Tender Date, as the case may be (or in the case of any Settlement Failure, on the second Business Day following delivery of notice thereof to the Put Counterparty and the Put Counterparty Lender), newly issued Class A1 Notes in an aggregate principal amount equal to the amount of such shortfall. On the Put Termination Reissuance Date, the Put Counterparty will purchase, at par, Class A1 Extended Notes in an aggregate principal amount equal to the aggregate principal amount of the Class A1 Notes (other than Class A1 Extended Notes) outstanding. In addition, on the Class A1 Final Distribution Date, if the amount of Interest Proceeds and Principal Proceeds available to pay the aggregate principal amount of the maturing Class A1 Notes, pursuant to the Priority of Payments, is insufficient to pay such principal in full, the Put Counterparty will, following receipt of a payment notice pursuant to and in accordance with the Put Agreement, purchase the maturing Class A1 Notes at a purchase price equal to the amount of such shortfall. The Put Counterparty will pay the purchase price for any such Class A1 Notes directly to the Trustee by deposit to the Remarketing Account, and the Trustee will apply such proceeds on such date solely to the payment of the aggregate principal amount of the Class A1 Notes maturing or being redeemed on such MM Reissuance Date or Class A1 Final Distribution Date or the aggregate principal amount of the Tendered Class A1 Notes with respect to such Quarterly Tender Date, as applicable. The Remarketing Agents are required, pursuant to the Remarketing Agreement, to deliver a Remarketing Notice to the Put Counterparty and the Put Counterparty Lender at least five Business Days prior to each MM Reissuance Date and Quarterly Tender Date. The Trustee is required, pursuant to the Indenture, to deliver a 40

payment notice to the Put Counterparty and the Put Counterparty Lender at least three Business Days prior to the settlement date for a payment under the Put Loan Agreement. In addition, the Collateral Manager is authorized in certain circumstances to deliver such payment notice. The obligation of the Put Counterparty to make a payment under the Put Agreement is contingent upon receipt of at least one of the foregoing notices from the Trustee, the Remarketing Agents or the Collateral Manager. If none of these notices were delivered timely, the settlement date for payment by the Put Counterparty under the Put Agreement would likely be delayed, which would result in delays in redeeming the applicable Class A1 Notes. The obligations of the Put Counterparty under the Put Agreement will be supported by the Put Loan Agreement entered into on the Closing Date by the Put Counterparty, as borrower, and Working Capital Management Co. L.P., as lender, pursuant to which the lender will provide a revolving line of credit to the Put Counterparty, solely for the purpose of effecting purchases of Class A1 Notes as and when required under the Put Agreement, in an amount equal to the aggregate principal amount of the Class A1 Notes outstanding from time to time plus, with respect to any Class A1 Notes issued or to be issued on a Settlement Failure Reissuance Date (and not theretofore redeemed), the aggregate amount of interest accrued on such Class A1 Notes as of the respective dates of their issuance. The right to draw upon the line of credit under the Put Loan Agreement will be assigned to the Issuer, and pledged by the Issuer to the Trustee as security for the Class A1 Notes, and may be exercised by the Trustee following a failure to pay by the Put Counterparty. The sole conditions under the Put Loan Agreement to borrowing up to the limit of the line of credit, will be (i) that the Commitment Termination Date has not occurred; (ii) the Put Counterparty Lender shall have received the applicable notice specified in the Put Agreement from the Trustee or the Remarketing Agents at least three Business Days (or in the case of a notice relating to a Settlement Failure, two Business Days) prior to the funding date for such advance; and (iii) both before and immediately after giving effect to such advance, the aggregate borrowings do not exceed the facility limit. The Put Counterparty may, in connection with the Put Loan Agreement, assign to the Put Counterparty Lender its right to exercise the voting, consent and other rights described in “—Control Rights of the Put Counterparty,” and will assign to the Put Counterparty Lender the Put Counterparty’s right to elect to receive Class A1 Extended Notes upon its purchase of Class A1 Notes pursuant to the Put Agreement. The Put Agreement will expire by its terms on the Class A1 Final Distribution Date. The Issuer may terminate the Put Agreement (and cause an “early termination date”) after the occurrence of certain “events of default” as to which the Put Counterparty is the “defaulting party,” and certain “termination events” as to which the Put Counterparty is the “affected party,” under (and as such terms are defined in) the Put Agreement, as described in “Security for the Notes—The Put Agreement.” The Put Counterparty has agreed in the Put Agreement that, except in the case of an “illegality” (as defined in the Put Agreement), it will not have the right to terminate the Put Agreement. See “Security for the Notes—The Put Agreement.” On the first Distribution Date occurring on or after any “early termination date” in respect of the Put Agreement, the Put Counterparty will purchase Class A1 Extended Notes bearing interest at a per annum rate equal to LIBOR plus 0.18%, in an aggregate principal amount equal to the aggregate principal amount of the Class A1 Notes (other than Class A1 Extended Notes, if any) then outstanding. However, if the Put Counterparty is insolvent and funds for the purchase of the newly issued Class A1 Extended Notes issued on the Put Termination Reissuance Date are not available under the Put Loan Agreement, the Remarketing Agents will offer such Class A1 Extended Notes to investors, and any Class A1 Extended Notes remaining unsold will be issued, pro rata (based on the aggregate principal amount of maturing Class A1 Notes held by each holder) to the existing holders of the maturing Class A1 Notes. Such Class A1 Extended Notes will not thereafter be remarketed pursuant to the Remarketing Agreement. The issuance of such Class A1 Extended Notes to each holder of maturing Class A1 Notes will constitute payment to such holder of principal of such maturing Class A1 Notes, in an amount equal to the aggregate principal amount of the Class A1 Extended Notes issued to such holder, and such full or partial payment of such maturing Class A1 Notes “in kind” will not constitute an Indenture Event of Default. See “Security for the Notes—The Put Agreement.” As the Issuer’s ability to make timely payments on the Class A1 Notes (and, indirectly, on any Notes subordinate to the Class A1 Notes) may depend upon the performance by the Put Counterparty of its payment obligations under the Put Agreement and/or the performance by the Put Counterparty Lender of its funding obligations under the Put Loan Agreement, any downgrade of the short or long-term ratings of Put Counterparty Lender will likely result in a downgrade in the ratings of the Class A1 Notes and cause them to be ineligible for purchase or ownership by money market funds under Rule 2a-7, and could also result in a downgrade in the ratings 41

of the other classes of Notes. The Put Counterparty Lender may not be obligated to advance funds for the purchase of Class A1 Notes following the occurrence of certain bankruptcy, insolvency or similar events with respect to the Put Counterparty, and the Put Counterparty Lender has the right to terminate the Put Loan Agreement upon the occurrence of certain events that would make it unlawful for the Put Counterparty Lender to make, fund or maintain such an advance or to perform its obligations in respect thereof. Initial Hedge Agreements. The Initial Hedge Agreements will consist of one or more fixed-to-floating interest rate swaps (each an “Interest Rate Swap”) and may also include on or more basis swap agreements (each, a “Basis Swap”) with the Initial Hedge Counterparty. Interest Rate Swaps will be used to mitigate the mismatch between a portion of the Collateral Debt Securities that pay interest at a fixed rate and the floating rate at which interest accrues on the Class A1 Notes. Basis Swaps, if any, may be used by the Issuer to mitigate mismatches between the timing of accrual and receipt of Interest Proceeds from the Collateral Debt Securities, on the one hand, and the timing and accrual of interest payments on the Class A1 Notes, on the other hand. More specifically, under such Basis Swaps (if any) the Issuer will pay to the Hedge Counterparty a LIBOR based floating amount with an accrual period that corresponds generally to the accrual periods for certain Collateral Debt Securities and the Hedge Counterparty will pay to the Issuer a LIBOR based floating amount with an accrual period that matches the accrual period for the Class A1 Notes (multiplied by the actual number of days in a period divided by 360). Basis Swaps may also be used by the Issuer to mitigate interest rate basis mismatches between a portion of the Collateral Debt Securities for which the index is based on a designated maturity which is greater than one month and the one month interest rate basis upon which interest accrues on the Class A1 Notes. More specifically, under such Basis Swaps (if any) the Issuer will pay to the Initial Hedge Counterparty a floating amount based upon three-month or six-month LIBOR rates, as applicable, and the Initial Hedge Counterparty will pay to the Issuer a floating amount based upon one-month LIBOR rates (both multiplied by the applicable notional amount (each as set forth in the applicable Basis Swaps) multiplied by the actual number of days in a period divided by 360). See “Risk Factors—Interest Rate Risk.” Prospective purchasers of the Securities should consider and assess for themselves the likelihood of a default by the Initial Hedge Counterparty, as well as the obligations of the Issuer under any Hedge Agreements, including the obligation to make termination payments to any Hedge Counterparties (and the obligations of any Hedge Counterparties to make payments to the Issuer), and the likely ability of the Issuer to terminate or reduce any Hedge Agreement or enter into additional Hedge Agreements. Termination of Hedge Agreements; Liquidation of Collateral Upon Redemption. The Hedge Agreement will terminate upon an Optional Redemption, Tax Redemption or Auction Call Redemption (including a Clean-Up Call Redemption) and on the liquidation of the Collateral of the Issuer in connection with an Indenture Event of Default, which may require the Issuer to make a termination payment to the applicable Hedge Counterparty. Any such payment would reduce the proceeds available to be distributed on the Securities. In addition, an Optional Redemption, Tax Redemption, Auction Call Redemption or the occurrence of an Accelerated Maturity Date may require the Collateral Manager to liquidate positions more rapidly than would otherwise be desirable, which could adversely affect the realized value of the Collateral Debt Securities sold. Moreover, the Collateral Manager may be required, in order to sell all the Collateral Debt Securities, to aggregate Collateral Debt Securities in a block transaction, thereby possibly resulting in a lower realized value for the Collateral Debt Securities sold. See “— Illiquidity of Collateral Debt Securities.” Conflicts of Interest Involving the Collateral Manager. Various potential and actual conflicts of interest may arise from the administrative and other activities of the Collateral Manager, its Affiliates and their respective clients and employees. Various potential and actual conflicts of interest may arise from the overall investment activities of the Collateral Manager and other Manager Parties. The following briefly summarizes some of these conflicts but is not intended to be an exhaustive list of all such conflicts. The Collateral Manager and other Manager Parties may have economic interests in or other relationships with issuers in whose obligations the Issuer may invest. As a result, officers and employees of the Manager Parties may possess (and will have no obligation to share) information relating to issuers or obligations that is not known to the individuals responsible for monitoring the Collateral Debt Securities. In particular, the Manager Parties may invest in and/or hold obligations of an issuer that may be pari passu, senior or junior in ranking to another obligation of such issuer that is included in the Collateral, and/or Manager Parties may serve on boards of directors of or otherwise have ongoing relationships with 42

such issuer. The Collateral Manager currently serves as an investment advisor for, invests in, and may be affiliated with, other entities organized to issue collateralized debt obligations (“CDO Vehicles”) secured by obligations that are similar to the Collateral Debt Securities or other entities that invest in obligations similar to Collateral Debt Securities (together with CDO Vehicles, “Investment Vehicles”), and in the future it is likely that the Collateral Manager and its Affiliates will serve as investment advisor for, invest in, and be affiliated with, other Investment Vehicles. These Investment Vehicles may have the same or similar objectives as the Issuer or objectives that differ from or are adverse to the objectives of the Issuer. The Collateral Manager or an Affiliate will at certain times (i) be simultaneously seeking to purchase or sell investments for the Issuer and any similar entity for which it serves as investment advisor either currently or in the future, or for their clients or Affiliates and/or (ii) be shorting obligations (in each case, either directly or indirectly through derivative instruments) that will be the same as (or similar to) the securities included in the portfolio. It is possible that, due to differing investment objectives or other reasons, the Collateral Manager or an Affiliate thereof may purchase obligations of an issuer for one client and sell such obligations of another client. Each of such ownership any other relationships may affect the ability of the Collateral Manager to advise the Issuer with respect to such securities. The Collateral Manager may allocate investments that are suitable for both the Issuer and any other client of the Collateral Manager or their Affiliates on such basis as the Collateral Manager may determine in its sole discretion. The Collateral Manager and its Affiliates will not be required to offer such investments to the Issuer or provide notice of such activities to the Issuer. The Collateral Manager and its Affiliates are under no obligation to act or refrain from acting with respect to their other business activities, investments or relationships in a manner that is consistent with the interests of the Noteholders. Further, the recommendations made to others by the Collateral Manager or an Affiliate and transactions effected by the Collateral Manager or an Affiliate related to the Collateral Manager on behalf of themselves or others may be the same or different from those made or effected on behalf of the Issuer. Although the officers and employees of the Collateral Manager will devote as much time to the Issuer as the Collateral Manager deems appropriate, such officers and employees may have conflicts in allocating their time and services among the Issuer, other clients of the Collateral Manager and other Manager Parties. In addition, the Collateral Manager and its Affiliates, in connection with their other business activities, may acquire material non-public confidential information that may restrict the Collateral Manager’s ability to advise the Issuer and may also restrict the Collateral Manager from effecting transactions in certain Collateral Debt Securities that might have otherwise been consummated. The Collateral Manager and its Affiliates may from time to time purchase Securities. The Collateral Manager and its Affiliates will not be entitled to vote Collateral Manager Securities with respect to removal of the Collateral Manager; however, the Collateral Manager and its Affiliates will be entitled to vote such Collateral Manager Securities in connection with the selection of a successor Collateral Manager. The interests of the Collateral Manager may not in all cases be aligned with those of the holders. On the Closing Date, the Collateral Manager will be reimbursed by the Issuer for certain of its expenses incurred in connection with the organization of the Issuer (including legal fees and expenses). The Collateral Management Agreement permits the Collateral Manager and its Affiliates to act as principal, agent or fiduciary for other clients in connection with the transactions to which the Issuer is a party, subject to compliance by the Advisers Act. The Collateral Management Agreement requires that all such purchases from or sales to the Collateral Manager, its Affiliates or their respective clients (including the Issuer) be made in compliance with the provisions of the Advisers Act. Should a conflict of interest actually arise, the Collateral Manager will endeavor to resolve it in a manner that it deems to be fair to the extent possible under the prevailing facts and circumstances. Conflicts of Interest Involving the Placement Agents and the Initial Purchaser. Various potential and actual conflicts of interest may arise from their commercial and investment banking and other activities (including investment management, corporate finance and securities issuing, trading and research) of the Placement Agents, the Initial Purchaser or any of their affiliates (including, inter alia, Mizuho International plc and Mizuho Securities USA Inc.) and from the conduct by such persons of certain transactions with the Issuer. The following briefly summarizes some of these conflicts but is not intended to be an exhaustive list of all such conflicts. The Placement Agents, the Initial Purchaser and their affiliates may act as initial purchaser and/or placement agent in or undertake other transactions involving issues of collateralized debt obligations or other 43

investment funds with assets similar to those of the Issuer, which may have an adverse effect on the availability of collateral for the Issuer. The Placement Agents, the Initial Purchaser and their affiliates may acquire any Securities on or after the Closing Date. The Initial Purchaser will acquire Securities on the Closing Date. The Placement Agents (or their affiliates) may exercise its rights as holder of Securities without considering any adverse effect that its actions may have on the other holders of Securities. In addition, the Placement Agents, the Initial Purchaser and their affiliates may from time to time enter into other credit derivative transactions with respect to the Securities. Actions by Mizuho International plc and Working Capital Management Co. L.P. Mizuho International plc will enter into the Put Agreement with the Issuer on the Closing Date. As Put Counterparty, Mizuho International plc’s interests may not be aligned with those of the holders of the Securities. It can be expected that in acting or exercising its rights under the Put Agreement (including its right to exercise the voting and consent rights of the Class A1 Notes), under any Synthetic Security for which it is the Synthetic Security Counterparty or under any Hedge Agreement for which it is the Hedge Counterparty, Mizuho International plc will act for its own account, even if such action would be adverse to the interests of the holders of the Securities. In addition, Working Capital Management Co. L.P. (“WCMC”) will enter into the Put Loan Agreement with the Put Counterparty on the Closing Date. As Put Counterparty Lender, the interests of WCMC may not be aligned with those of the holders of the Securities. It can be expected that in acting or exercising its rights under the Put Loan Agreement (including its right to direct the Put Counterparty in its exercise the voting and consent rights of the Class A1 Notes and to direct the Put Counterparty to elect to receive Class A1 Extended Notes upon its purchase of Class A1 Notes pursuant to the Put Agreement), WCMC will act for its own account, even if such action would be adverse to the interests of the holders of the Securities. Money Laundering Prevention. The Uniting and Strengthening America by Providing Appropriate Tools Required to Intercept and Obstruct Terrorism Act of 2001 (the “USA PATRIOT Act”), effective as of February 26, 2001, requires broker-dealers registered with the Securities and Exchange Commission (the “SEC”) and the National Association of Securities Dealers (the “NASD”), such as Mizuho Securities USA, Inc., to establish and maintain anti-money laundering programs. With respect to the content of those programs, the NASD has enacted a rule that requires broker-dealers to establish and maintain anti-money laundering programs similar to those currently in place at U.S. banks. The Treasury Department has published proposed regulations that, if enacted in their current form, will compel certain “unregistered investment companies” to undertake certain activities including establishing, maintaining and periodically testing an anti-money laundering compliance program, and designating and training personnel responsible for that compliance program. In addition, the Treasury Department has published proposed regulations that would require certain investment managers to establish anti-money laundering programs. The Issuer will continue to monitor the ambit of the proposed regulations, and of the exceptions thereto, and will take all necessary steps (if any) required to comply with those regulations once they are enacted. It is possible that legislation or regulation could be promulgated which will require the Collateral Manager or other service providers to the Issuer to share information with governmental authorities with respect to investors in the Securities in connection with the establishment of anti-money laundering procedures or require the Issuer to implement additional restrictions on the transfer of the Securities. The Issuer reserves the right to request such information as is necessary to verify the identity of the holder of a Security and the source of the payment of subscription monies, or as is necessary to comply with any customer identification programs required by the Treasury Department or by any other governmental or self-regulatory agency. Legislation and/or regulations could require the Issuer to implement additional restrictions on the transfer of the Securities. In the event of delay or failure by the applicant to produce any information required for verification purposes, an application for or transfer of the Securities and the subscription monies relating thereto may be refused. Tax Law Considerations. In general, the Issuer expects to conduct its affairs so that it will not be treated as engaged in a trade or business within the United States for U.S. federal income tax purposes. As a consequence, the Issuer expects that its net income will not become generally subject to U.S. federal income tax. Notwithstanding the foregoing, the Issuer may become subject to U.S. federal income tax with respect to a limited amount of Equity Securities. Moreover, there can be no assurance that the Issuer’s net income will not become generally subject to U.S. federal income tax as the result of unanticipated activities, changes in law, contrary conclusions by the U.S. tax 44

authorities, or other causes. The imposition of unanticipated taxes could materially impair the Issuer’s ability to make payments on the Securities. See “Certain Income Tax Considerations.” The Issuer expects that payments received on the Collateral Debt Securities, Eligible Investments and under any Hedge Agreements generally will not be subject to withholding tax imposed by the United States or reduced by withholding taxes imposed by any other country. The Collateral Debt Securities are required at the time of purchase not to be subject to withholding tax unless the issuer of the Collateral Debt Security is required to make “gross-up” payments to cover the full amount of such withholding tax. There can be no assurance, however, that payments on the Collateral Debt Securities, Eligible Investments and under any Hedge Agreements will not become subject to withholding as a result of any change in any applicable law, treaty, rule or regulation or contrary interpretation thereof or other causes. The imposition of unanticipated withholding taxes could materially impair the Issuer’s ability to make payments on the Securities. Although no withholding tax is currently imposed on payments on the Securities, there can be no assurance that the payments on the Securities will not in the future become subject to withholding tax as a result of any change in any applicable law, treaty, rule, regulation or interpretation thereof or other causes. The Issuer will not “gross up” payments to the holders of the Securities. Upon the occurrence of a Tax Event, the Issuer will redeem, in whole but not in part, the Notes in accordance with the procedures described under “Description of the Notes—Optional Redemption and Tax Redemption.” The Issuer is expected to be a passive foreign investment company, which means that a U.S. holder of Subordinated Notes (other than a person or entity treated as a U.S. shareholder in a controlled foreign corporation) may be subject to adverse tax consequences unless it elects to treat the Issuer as a qualified electing fund and to recognize currently its proportionate share of the Issuer’s income. A holder that makes a qualified electing fund election (or that is treated as a U.S. shareholder in a controlled foreign corporation) may recognize income in amounts significantly greater than the payments received from the Issuer. Taxable income may exceed cash payments when, for example, the Issuer uses earnings to repay principal on the Notes or accrues income on the Collateral Debt Securities prior to the receipt of cash. A holder that makes a qualified electing fund election (or that is treated as a U.S. shareholder in a controlled foreign corporation) will be required to include in current income its pro rata share of such earnings, income or amounts whether or not the Issuer actually makes any payments to such holder. See “Certain Income Tax Considerations—Certain U.S. Federal Income Tax Considerations—Tax Treatment of U.S. Holders of Subordinated Notes.” Benefit Plan Considerations. Transfers of the Securities are subject to certain restrictions, and purchasers and transferees will be required to make (or be deemed to have made) certain representations, in each case regarding Title I of the U.S. Employee Retirement Income Security Act of 1974, as amended, Section 4975 of the U.S. Internal Revenue Code and substantially similar non-U.S., federal, state and local laws. See “ERISA Considerations” and “Transfer Restrictions.” Insolvency Considerations Under U.S. Federal Bankruptcy Law. Various laws enacted for the protection of debtors or creditors may apply to obligors under Collateral Debt Securities under U.S. federal bankruptcy law. The information in this and the following paragraph is applicable with respect to U.S. obligors. If a court were to find that the issuer of a Collateral Debt Security did not receive fair consideration or reasonably equivalent value for incurring any indebtedness constituting the Collateral Debt Securities and, after giving effect to such indebtedness, the issuer (i) was insolvent, (ii) was engaged in a business for which its remaining assets constituted unreasonably small capital or (iii) intended to incur, or believed that it would incur, debts beyond its ability to pay such debts as they matured, the court could invalidate, in whole or in part, the indebtedness as a fraudulent conveyance, subordinate any indebtedness to existing or future creditors of the issuer or recover amounts previously paid by the issuer in satisfaction of such indebtedness. There can be no assurance as to what standard a court would apply in order to determine whether the issuer was “insolvent.” In addition, in the event of the insolvency of an issuer of a Collateral Debt Security, payments made on the Collateral Debt Security could be subject to avoidance as a “preference” if made within a certain period of time (which may be as long as one year and one day) before insolvency. A U.S. bankruptcy court would be able to recapture payments that are determined to be “avoidable” (whether as a preference or otherwise) either from the initial recipient (such as the Issuer) or from subsequent 45

transferees of such payments (such as the holders of the Securities). To the extent that any such payments are recaptured from the Issuer, the resulting loss will be borne by the holders of the Securities, first, by the holders of the outstanding Subordinated Notes, second, by the holders of the outstanding Class D Notes, third, by the holders of the outstanding Class C Notes, fourth, by the holders of the outstanding Class B Notes, fifth, by the holders of the outstanding Class A2 Notes and sixth, by the holders of the outstanding Class A1 Notes. A court in a bankruptcy or insolvency proceeding would be able to direct the recapture of payments from a holder of Securities only to the extent that it has jurisdiction over the holder or its assets. Moreover, it is likely that avoidable payments could not be recaptured directly from a holder that has given value in exchange for its Securities, in good faith and without knowledge that the payments were avoidable. Nevertheless, since there is no judicial precedent relating to a structured transaction such as the Securities, there can be no assurance that a holder of Securities will be able to avoid recapture on this or any other basis. The Collateral Debt Securities of obligors not domiciled in the United States will be subject to laws enacted in their home countries for the protection of creditors, which may differ from the U.S. laws described above and be less favorable to creditors than such U.S. laws. Certain Legal Investment Considerations. None of the Issuer, the Collateral Manager, the Put Counterparty, the Placement Agents, the Initial Purchaser, any Hedge Counterparty or any of their respective affiliates makes any representation as to the proper characterization of the Securities for legal investment or other purposes, as to the ability of particular investors to purchase Securities for legal investment or other purposes or as to the ability of particular investors to purchase Securities under applicable investment restrictions. All institutions, the activities of which are subject to legal investment laws and regulations, regulatory capital requirements or review by regulatory authorities should consult their own legal advisors in determining whether and to what extent the Securities are subject to investment, capital or other restrictions. Without limiting the generality of the foregoing, none of the Issuer, the Collateral Manager, the Put Counterparty, the Placement Agents, the Initial Purchaser, any Hedge Counterparty or any of their respective affiliates makes any representation as to the characterization of the Securities as a U.S.-domestic or foreign (non-U.S.) investment under any state insurance code or related regulations, and they are not aware of any published precedent that addresses such characterization. In addition, of the Issuer, the Collateral Manager, the Put Counterparty, the Placement Agents, the Initial Purchaser, any Hedge Counterparty and their respective affiliates make no representation as to the eligibility of the Class A1 Notes for purchase by money market funds under Rule 2a-7. Prospective purchasers and Holders of the Class A1 Notes that are money market funds should refer to the provisions of Rule 2a-7 and independently verify its applicability to their investment in the Class A1 Notes in light of the portfolio limitations reflected in the Eligibility Criteria and the Portfolio Concentration Limitations, the terms of the Initial Hedge Agreements and the Put Agreement, such holders’ investment policies and objectives and such other considerations as they deem relevant. Emerging Requirements of the European Community. The European Commission has adopted a directive of the European Parliament and of the Council (2004/109/EC) (the “Transparency Directive”) that, among other things, imposes 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 (2003/6/EC) 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 admission to trading of the Notes on the Irish Stock Exchange or any other regulated E.U. stock exchange would subject the Issuer to regulation under these directives. The Indenture will not require the Issuer to maintain a listing for any Notes on an E.U. stock exchange if compliance with applicable E.U. directives (or other requirements adopted by the European Commission or a relevant Member State) becomes burdensome in the sole judgment of the Collateral Manager.

DESCRIPTION OF THE NOTES The Notes will be issued and secured pursuant to the Indenture. The following summary describes certain provisions of the Notes and the Indenture. This summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Indenture. Copies of the Indenture may be obtained by prospective investors upon request to the Trustee at Deutsche Bank Trust Company Americas, 1761 East St. Andrew

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Place, Santa Ana, California 92705, Attention: CDO Business Unit–AArdvark ABS CDO 2007-1, if and for so long as any Notes are listed on the Irish Stock Exchange.

Closing Date Issuance On the Closing Date, the Issuer will issue the Class A1 Notes, the Class A2 Notes, the Class B Notes, the Class C Notes and the Class D Notes. The minimum denominations of Notes to be issued to an investor will be U.S.$500,000 of initial principal balance and in integral multiples of U.S.$1,000 in excess thereof.

Status and Security The Notes will be limited-recourse obligations of the Issuer. Each Class of Securities is entitled to receive payment pari passu among all holders of such Class. Except as otherwise described in the following paragraph and the Priority of Payments, the relative order of seniority of payment of each Class of Notes is as follows: first, the Class A1 Notes, second, the Class A2 Notes, third, the Class B Notes, fourth, the Class C Notes and fifth, the Class D Notes. Each Class of Notes in the list above is Senior to each other Class of Notes that follows such Class of Notes in such list and each Class of Notes in such list is Subordinate to each other Class of Notes that precedes such Class of Notes in such list; provided that on any Quarterly Distribution Date (i) as further described in paragraph (3) under the heading “Description of the Notes—Priority of Payments—Principal Proceeds,” principal on a Class of Notes may be paid prior to the payment in full of any Senior Class of Notes if the Pro Rata Payment Condition is satisfied with respect to such Distribution Date, (ii) on or prior to the last day of the Reinvestment Period, as further described in paragraph (17) under the heading “Description of the Notes—Priority of Payments—Interest Proceeds,” principal on the Class D Notes may be paid prior to the payment in full of any Senior Class of Notes, and (iii) Class C Deferred Interest and Class D Deferred Interest added to the aggregate outstanding principal amount of, respectively, the Class C Notes and the Class D Notes may be paid pursuant to the Priority of Payments prior to the payment in full of Senior Classes of Notes. No payment of interest on any Class of Notes will be made until all accrued and unpaid interest on the Notes of each Class that is Senior to such Class and that remains outstanding has been paid in full. Except as otherwise described in the Priority of Payments (and as described above), no payment of principal of any Class of Notes will be made until all principal of, and all accrued and unpaid interest on, the Notes of each Class that is Senior to such Class and that remain outstanding have been paid in full. See “—Priority of Payments.” Under the terms of the Indenture, the Issuer will grant to the Trustee for the benefit of the Secured Parties a first priority security interest in the Collateral described herein to secure the Issuer’s obligations under the Indenture, each Hedge Agreement and the Notes. However, the Issuer’s rights under the Put Agreement, the Put Loan Agreement and the Remarketing Agreement are being pledged solely to secure the Class A1 Notes and amounts payable thereunder will be available solely to make payments for the benefit of holders of the Class A1 Notes. The security interest granted under the Indenture in each Synthetic Security Counterparty Account is subject to and subordinate to the security interest and rights of the relevant Synthetic Security Counterparty in and to such Synthetic Security Counterparty Account. Payments of principal of and interest on the Notes will be made solely from the proceeds of the relevant Collateral, in accordance with the priorities described under “—Priority of Payments—Principal Proceeds.” If the amounts received in respect of the Collateral (net of certain expenses) are insufficient to make payments on the Notes, no other assets will be available for payment of the deficiency and, following liquidation of all the Collateral, the obligations of the Issuer to pay any such deficiency will be extinguished.

Interest The Class A1 Notes will bear interest at a floating rate per annum equal to (i) until the first MM Reissuance Date, LIBOR of the applicable Designated Maturity plus 0.03% on their outstanding principal balance; and (ii) 47

thereafter, LIBOR of the applicable Designated Maturity plus the applicable Class A1 Spread on their outstanding principal balance; provided, however, that if any Class A1 Extended Notes are issued after the Closing Date, under the circumstances described herein, such Class A1 Extended Notes will bear interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity plus 0.18% on their outstanding principal balance. With respect to each MM Reissuance Date, so long as the Put Agreement is outstanding, the Class A1 Spread for the Class A1 Notes (other than the Class A1 Extended Notes) will be reset on each such date for the period (the “MM Reset Period”) from and including such MM Reissuance Date to but excluding the Stated Maturity of such Class A1 Notes, at spread levels (not in excess of the Maximum Class A1 Spread) determined by the Remarketing Agents through their remarketing of the Class A1 Notes pursuant to the Remarketing Agreement. See “Description of the Notes—Remarketing Procedures for the Class A1 Notes.” The Class A2 Notes will bear interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity plus 0.45% on their outstanding principal amount. The Class B Notes will bear interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity plus 0.55% on their outstanding principal amount. The Class C Notes will bear interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity plus 1.70% on their outstanding principal amount. The Class D Notes will bear interest at a floating rate per annum equal to LIBOR of the applicable Designated Maturity plus 3.40% on their outstanding principal amount. Interest on the Notes and interest on Defaulted Interest will be computed on the basis of a 360-day year and the actual number of days elapsed. Interest will accrue on the outstanding principal amount of each Class of Notes (determined as of the first day of each Interest Period and after giving effect to any redemption or other payment of principal occurring on such day) from the Closing Date until such Notes are paid in full. In the event that the date of any Distribution Date or Redemption Date shall not be a Business Day, then notwithstanding any other terms of the Notes or the Indenture described herein, payments shall be made on the next succeeding Business Day with the same force and effect as if made on the nominal date of any such Distribution Date or Redemption Date, as the case may be. Payments of interest on the Notes (other than the Class A1 Notes) will be payable in U.S. Dollars quarterly in arrears on the 6th day of each January, April, July and October (each, a “Quarterly Distribution Date”); provided that the first Quarterly Distribution Date will occur in July 2007. Payments of interest on the Class A1 Notes will be payable in U.S. Dollars monthly in arrears on the 6th day of each month commencing in July 2007 (each, a “Monthly Distribution Date”). References herein to a “Distribution Date” mean (A) for the Notes (other than the Class A1 Notes with respect to scheduled payments of interest), a Quarterly Distribution Date, (B) for the Class A1 Notes with respect to scheduled payments of interest, a Monthly Distribution Date, and (C) for all other purposes, a Monthly Distribution Date or Quarterly Distribution Date, and if any of the foregoing dates is not a Business Day, the relevant Distribution Date will be the next succeeding Business Day. So long as any Class A1 Notes or Class A2 Notes are outstanding, if the Class A Overcollateralization Test is not satisfied on the Determination Date related to any Quarterly Distribution Date, then funds that would otherwise be used to make payments in respect of interest on the Class C Notes, the Class D Notes and certain expenses and for reinvestment in Collateral Debt Securities or for distribution to Subordinated Noteholders must be used instead to redeem, first, the Class A1 Notes (if any) and second, the Class A2 Notes, in each case to the extent necessary to cause the Class A Overcollateralization Test to be satisfied (subject, in each case, to the Priority of Payments). So long as any Class A1 Notes, Class A2 Notes or Class B Notes are outstanding, if a Class B Coverage Test is not satisfied on the Determination Date related to any Quarterly Distribution Date, then funds that would otherwise be used to make payments in respect of interest on the Class C Notes, the Class D Notes and certain expenses and for reinvestment in Collateral Debt Securities or for distribution to Subordinated Noteholders must be

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used instead to redeem, first, the Class A1 Notes (if any), second, the Class A2 Notes (if any) and third, the Class B Notes, in each case to the extent necessary to cause such Class B Coverage Test to be satisfied (subject, in each case, to the Priority of Payments). So long as any Class A1 Notes, Class A2 Notes, Class B Notes or Class C Notes are outstanding, if a Class C Coverage Test is not satisfied on the Determination Date related to any Quarterly Distribution Date, then funds that would otherwise be used to make payments in respect of interest on the Class D Notes and certain expenses and for reinvestment in Collateral Debt Securities or for distribution to Subordinated Noteholders must be used instead to redeem, first, the Class A1 Notes (if any), second, the Class A2 Notes (if any), third, the Class B Notes (if any) and fourth, the Class C Notes, in each case to the extent necessary to cause such Class C Coverage Test to be satisfied (subject, in each case, to the Priority of Payments). So long as any Class A1 Notes, Class A2 Notes, Class B Notes, Class C Notes or Class D Notes are outstanding, if the Class D Overcollateralization Test is not satisfied on the Determination Date related to any Quarterly Distribution Date, then funds that would otherwise be used to make payments in respect of certain expenses or for distribution to Subordinated Noteholders must be used instead to redeem, first, the Class A1 Notes (if any), second, the Class A2 Notes (if any), third, the Class B Notes (if any), fourth, the Class C Notes (if any) and fifth, the Class D Notes, in each case until such Class of Notes is paid in full (subject, in each case, to the Priority of Payments). So long as any Class A1 Notes, Class A2 Notes or Class B Notes are outstanding, the failure on any Quarterly Distribution Date to make payment in respect of interest on the Class C Notes by reason of the operation of the Priority of Payments will not constitute an Indenture Event of Default. Any interest on the Class C Notes that is not paid when due by operation of the Priority of Payments will be deferred; provided that no accrued interest on the Class C Notes shall become Class C Deferred Interest unless a more Senior Class of Notes is then outstanding. Any Class C Deferred Interest will be added to the aggregate outstanding principal amount of the Class C Notes and, thereafter, interest will accrue on the aggregate outstanding principal amount of the Class C Notes as so increased. Unless otherwise specified herein, any reference to the principal amount of a Class C Note includes any Class C Deferred Interest added thereto. Upon the payment of Class C Deferred Interest previously capitalized as additional principal in accordance with the Priority of Payments, the aggregate outstanding principal amount of the Class C Notes will be reduced by the amount of such payment. So long as any Class A1 Notes, Class A2 Notes, Class B Notes or Class C Notes are outstanding, the failure on any Quarterly Distribution Date to make payments in respect of interest on the Class D Notes by reason of the operation of the Priority of Payments will not constitute an Indenture Event of Default. Any interest on the Class D Notes that is not paid when due by operation of the Priority of Payments will be deferred; provided that no accrued interest on the Class D Notes shall become Class D Deferred Interest unless a more Senior Class of Notes is then outstanding. Any Class D Deferred Interest will be added to the aggregate outstanding principal amount of the Class D Notes and, thereafter, interest will accrue on the aggregate outstanding principal amount of the Class D Notes, as so increased. Unless otherwise specified herein, any reference to the principal amount of a Class D Note includes any Class D Deferred Interest added thereto. Upon the payment of Class D Deferred Interest previously capitalized as additional principal in accordance with the Priority of Payments, the aggregate outstanding principal amount of the Class D Notes will be reduced by the amount of such payment. Interest will cease to accrue on each Note or, in the case of a partial repayment, on such part, from the date of repayment or the Stated Maturity of such Note unless payment of principal is improperly withheld or unless a default is otherwise made with respect to such payments. To the extent lawful and enforceable, interest on any Defaulted Interest on any Note will accrue at the interest rate applicable to such Note until paid. With respect to each Interest Period, LIBOR for purposes of calculating the interest rate for each Class of Notes will be determined by the Trustee, as calculation agent (the “Calculation Agent”) in accordance with the following provisions: (i) Subject to clause (iii) below, LIBOR for any Interest Period shall equal the offered rate, as determined by the Calculation Agent, for U.S. Dollar deposits of one month, in the case of the Class A1 Notes, or three months, in the case of the Class A2 Notes, Class B Notes, Class C Notes and 49

Class D Notes, in each case, that appears on Telerate Page 3750 (or such other page as may replace such Telerate Page 3750 for the purpose of displaying comparable rates) as of 11:00 a.m. (London time) on the applicable LIBOR Determination Date. “LIBOR Determination Date” means, with respect to any Interest Period, the second London Banking Day prior to the first day of such Interest Period. (ii) If, on any LIBOR Determination Date, such rate does not appear on Telerate Page 3750 (or such other page as may replace such Telerate Page 3750 for the purpose of displaying comparable rates), the Calculation Agent shall determine the arithmetic mean of the offered quotations of the Reference Banks to prime banks in the London interbank market for U.S. Dollar deposits of one month, in the case of the Class A1 Notes, or three months, in the case of the Class A2 Notes, Class B Notes, Class C Notes and Class D Notes (except that in the case where such Interest Period shall commence on a day that is not a London Banking Day, for the relevant term commencing on the next following London Banking Day), by reference to requests for quotations as of approximately 11:00 a.m. (London time) on such LIBOR Determination Date made by the Calculation Agent to the Reference Banks. If, on any LIBOR Determination Date, at least two of the Reference Banks provide such quotations, LIBOR shall equal such arithmetic mean. If, on any LIBOR Determination Date, fewer than two Reference Banks provide such quotations, LIBOR shall be deemed to be the arithmetic mean of the offered quotations that leading banks in New York City selected by the Calculation Agent (after consultation with the Collateral Manager) are quoting on the relevant LIBOR Determination Date for U.S. Dollar deposits for the term of such Interest Period (except that in the case where such Interest Period shall commence on a day that is not a London Banking Day, for the relevant term commencing on the next following London Banking Day), to the principal London offices of leading banks in the London interbank market. (iii) In respect of any Interest Period having a Designated Maturity other than one month, in the case of the Class A1 Notes, or three months, in the case of the Class A2 Notes, Class B Notes, Class C Notes and Class D Notes, LIBOR shall be determined through the use of straight-line interpolation by reference to two rates calculated in accordance with clauses (i) and (ii) above, one of which shall be determined as if the maturity of the U.S. Dollar deposits referred to therein were the period of time for which rates are available next shorter than the Interest Period and the other of which shall be determined as if such maturity were the period of time for which rates are available next longer than the Interest Period; provided that, if an Interest Period is less than or equal to seven days (as determined on the LIBOR Determination Date), then LIBOR shall be determined by reference to a rate calculated in accordance with clauses (i) and (ii) above as if the maturity of the U.S. Dollar deposits referred to therein were a period of time equal to seven days provided that for the period from the Closing Date to the end of the initial Interest Period, LIBOR will be determined by interpolating linearly between (i) 4-month LIBOR and (ii) 5-month LIBOR. (iv) If the Calculation Agent is required but is unable to determine a rate in accordance with either procedure described in clauses (i), (ii) or (iii) above, LIBOR with respect to such Interest Period shall be the arithmetic mean of the offered quotations of the Reference Dealers as of 10:00 a.m. (New York time) on the first day of such Interest Period for negotiable U.S. Dollar certificates of deposit of major U.S. money market banks having a remaining maturity closest to the Designated Maturity. (v) If the Calculation Agent is required but is unable to determine a rate in accordance with any of the procedures described in clauses (i), (ii), (iii) or (iv) above, LIBOR with respect to such Interest Period will be calculated on the last day of such Interest Period and shall be the arithmetic mean of the Base Rate for each day during such Interest Period. The Calculation Agent will have no liability for the selection of Reference Banks or any Base Rate Reference Bank. For purposes of clauses (i), (iii), (iv) and (v) above, all percentages resulting from such calculations shall be rounded, if necessary, to the nearest one hundred-thousandth of a percentage point. For the purposes of clause (ii) above, all percentages resulting from such calculations shall be rounded, if necessary, to the nearest one thirtysecond of a percentage point.

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For so long as any Note remains outstanding, the Issuer will at all times maintain an agent appointed to calculate LIBOR in respect of each Interest Period. As soon as possible after 11:00 a.m. (London time) on each LIBOR Determination Date, but in no event later than 11:00 a.m. (New York time) on the Business Day immediately following each LIBOR Determination Date, the Calculation Agent will calculate the interest rate for the Notes for the related Interest Period and the amount of interest for such Interest Period payable in respect of each U.S.$1,000 in principal amount of each Class of Notes (in each case rounded to the nearest cent, with half a cent being rounded upward) on the related Distribution Date and will communicate such rates and amounts and the related Distribution Date to the Issuer, the Trustee each Paying Agent (other than the Subordinated Note Issuing and Paying Agent), DTC, Euroclear, Clearstream and, for so long as any Class of Notes is listed on the Irish Stock Exchange, the Irish Paying Agent for notification to the Irish Stock Exchange. The Calculation Agent may be removed by the Issuer at any time with the consent of each Subordinated Noteholder. If the Calculation Agent is unable or unwilling to act as such, is removed by the Issuer or fails to determine the interest rate for any Class of Notes or the amount of interest payable in respect of any Class of Notes for any Interest Period, the Issuer will promptly appoint as a replacement Calculation Agent a leading bank that is engaged in transactions in U.S. Dollar deposits in the international Eurodollar market and which does not control and is not controlled by or under common control with the Issuer or any affiliate thereof. The Calculation Agent may not resign its duties without a successor having been duly appointed. The determination of the interest rate for Notes for each Interest Period by the Calculation Agent shall (in the absence of manifest error) be final and binding upon all parties.

Principal The Stated Maturity of each Class of Notes (other than the Class A1 Notes) is the July 2047 Quarterly Distribution Date. The Stated Maturity of the Class A1 Notes issued on the Closing Date or any MM Reissuance Date is the earlier of (a) the latest Quarterly Distribution Date occurring on or prior to the date that is 364 days after such date of issuance (which will be either the third or the fourth Quarterly Distribution Date after such date of issuance) and (b) the July 2047 Quarterly Distribution Date; provided that with respect to any Put Counterparty Acquired Notes, the stated maturity of any new Class A1 Notes issued and sold to investors by the Remarketing Agents pursuant to the Remarketing Agreement, at the request of the Put Counterparty, in order to redeem such Put Counterparty Acquired Notes on any Distribution Date occurring prior to the MM Stated Maturity of such Put Counterparty Acquired Notes, shall be the same MM Stated Maturity as the Put Counterparty Acquired Notes being so redeemed; provided further, that with respect to Tendered Class A1 Notes, the stated maturity of any new Class A1 Notes issued and sold to investors by the Remarketing Agents pursuant to the Remarketing Agreement, at the request of the holder of such Tendered Class A1 Notes, in order to redeem such Tendered Class A1 Notes on the related Quarterly Tender Date, shall be the same MM Stated Maturity as the Tendered Class A1 Notes being so redeemed; provided further that the stated maturity of any Class A1 Extended Note will be the July 2047 Quarterly Distribution Date. Each Class of Notes is scheduled to mature on its Stated Maturity unless redeemed or repaid prior thereto. However, the Notes may be paid in full prior to their respective Stated Maturities. See “Risk Factors—Average Life and Prepayment Considerations” and “Maturity, Prepayment and Yield Considerations.” In addition, each holder of Class A1 Notes will be entitled to request the redemption, on any Quarterly Distribution Date prior to the MM Stated Maturity of such Notes, of all or a portion of the Class A1 Notes held by such holder, by delivering written a Tender Notice to the Remarketing Agents, the Put Counterparty, the Trustee and the Issuer at least sixty days prior to such Quarterly Distribution Date, specifying the applicable Quarterly Tender Date and the aggregate principal amount of Class A1 Notes to be redeemed. Any payment of principal with respect to any Class of Notes (including any payment of principal made in connection with an Optional Redemption, Auction Call Redemption or Tax Redemption) will be made by the Trustee on a pro rata basis on each Quarterly Distribution Date among the Notes of such Class according to the respective unpaid principal amounts thereof outstanding immediately prior to such payment. The Trustee shall, so long as any Class of Notes is listed on the Irish Stock Exchange, notify the Irish Stock Exchange (through the Irish Paying Agent) not later than one Business Day preceding each Quarterly Distribution Date of the amount of principal payments to be made on the Notes of each such Class on such Quarterly Distribution Date, the amount of 51

any Class C Deferred Interest and any Class D Deferred Interest, the aggregate outstanding principal amount of the Notes of each such Class and the percentage of the original aggregate outstanding principal amount of the Notes of such Class after giving effect to the principal payments, if any, to be made on such Distribution Date. Payments of principal may be made on the Notes during the Reinvestment Period only in the following circumstances (subject, in each case (other than clause (g) below), to the Priority of Payments): (a) upon the failure of the Issuer to meet the Coverage Test relating to any Class of Notes as of the related Determination Date, (b) in the event of a Rating Confirmation Failure, (c) in connection with a Tax Redemption or Optional Redemption, (d) for the payment of Class C Deferred Interest and Class D Deferred Interest (in each such case from Interest Proceeds only, unless each Class that is Senior to such Class being paid deferred interest has been paid in full), (e) after the Ramp-Up Completion Date, if the Collateral Manager directs the Issuer to apply Principal Proceeds to redeem Notes as described below under “—Collateral Manager Directed Redemption,” (f) prior to the last day of the Reinvestment Period, as further described in paragraph (17) under the heading “Description of the Notes—Priority of Payments— Interest Proceeds,” to the payment of principal on the Class D Notes, or (g) in connection with each reissuance and redemption of Class A1 Notes on a MM Reissuance Date, Quarterly Tender Date or the Put Termination Reissuance Date. After the last day of the Reinvestment Period, (a) payments of principal on the Notes will be made on each Quarterly Distribution Date in accordance with the Priority of Payments, and (b) payments of principal on the Class A1 Notes will also be made, from the proceeds of newly issued Class A1 Notes (including Class A1 Notes sold to the Put Counterparty pursuant to the Put Agreement), on each MM Reissuance Date, the Put Termination Reissuance Date and (solely with respect to any Tendered Class A1 Notes) each related Quarterly Tender Date. In addition, the Issuer may redeem the Notes, in whole but not in part, at the applicable Redemption Price therefor on any Quarterly Distribution Date occurring on or after the July 2010 Quarterly Distribution Date (in the case of an Optional Redemption) or after the initial Auction Call Distribution Date (in the case of an Auction Call Redemption) and on any Quarterly Distribution Date (in the case of a Tax Redemption) under the circumstances described in “Description of the Notes—Optional Redemption and Tax Redemption,” “—Auction Call Redemption” and “—Priority of Payments.”

Mandatory Redemption Each Class of Notes may, on any Quarterly Distribution Date, be subject to mandatory redemption in the event that the Coverage Test applicable to any such Class of Notes or Subordinate Class of Notes is not satisfied on the related Determination Date. Any such redemption will be effected, first, from Interest Proceeds and second, from Principal Proceeds, in each case to the extent necessary to cause the applicable Coverage Test to be satisfied (subject, in each case, to the Priority of Payments). Except as otherwise described in the Priority of Payments, any such redemption will be applied to each applicable outstanding Class of Notes in accordance with its relative seniority and will otherwise be effected as described under “—Priority of Payments.” In addition, the Issuer will notify each Rating Agency, the Trustee and each of the Hedge Counterparties in writing of the occurrence of the date (such date, the “Ramp-Up Completion Date”) that is the earlier of (a) the date that is 90 days after the Closing Date and (b) the first day on which the aggregate par amount of the Collateral Debt Securities which the Issuer has purchased or committed to purchase, is at least equal to U.S.$1,500,000,000. Within ten days after the Ramp-Up Completion Date occurs, the Issuer will request that each Rating Agency confirm to the Issuer in writing within 30 days after receipt of a Ramp-Up Notice that it has not reduced or withdrawn the ratings (including any shadow, private or confidential ratings) assigned by it on the Closing Date to any Class of Notes or otherwise provide a Rating Confirmation; provided that the accountant’s report certifying the procedures and findings (with respect to certain of the Eligibility Criteria and Portfolio Concentration Limitations) delivered to Moody’s pursuant to the Indenture shall constitute Rating Confirmation with respect to Moody’s if, on the Ramp-Up Completion Date, each Collateral Quality Test and each Coverage Test is satisfied. In the event of a Rating Confirmation Failure, the Issuer will be required on the next Quarterly Distribution Date (and on each Quarterly Distribution Date thereafter, if required) to apply, first, Uninvested Proceeds, second, Interest Proceeds and, third, Principal Proceeds to, first, the payment of the principal of the Class A1 Notes, second, the payment of the principal of the Class A2 Notes, third, the payment of the principal of the Class B Notes, fourth, the payment of the principal of the Class C Notes and fifth, the payment of the principal of the Class D Notes, in each case subject to and in accordance with the Priority of Payments and to the extent specified by each Rating Agency as necessary in order to obtain a Rating Confirmation from such Rating Agency (a “Rating Confirmation Failure Redemption”). As a 52

result, interest on the Class C Notes and the Class D Notes (and distributions on the Subordinated Notes) may not be paid on such Distribution Dates. In addition, the Rating Agencies may reduce or withdraw any of the ratings assigned to the Notes on the Closing Date. In the event that a Rating Confirmation Failure occurs but no Rating Agency has specified that any portion of the Interest Proceeds, Principal Proceeds and/or Uninvested Proceeds be applied to the repayment of Notes in order to obtain a Rating Confirmation, there will be no redemption of Notes on the Quarterly Distribution Date following the Rating Confirmation Failure (or on any subsequent Distribution Date) as a result of a Rating Confirmation Failure. Failure to obtain a Rating Confirmation in connection with a Rating Confirmation Failure Redemption of Notes or otherwise will not be an Indenture Event of Default. Notwithstanding the foregoing, in the event that, prior to the first Quarterly Distribution Date, the Issuer has not obtained a Rating Confirmation from Standard & Poor's or has not either submitted an accountants’ report to Moody’s pursuant to the Indenture showing the Issuer's compliance with the Collateral Quality Tests (other than the Moody's Asset Correlation Test and the Standard & Poor's CDO Monitor Test) or obtained a Rating Confirmation from Moody's, the Issuer will not make any distributions under clauses (19) through (21) of “Priority of Payments— Interest Proceeds” or clauses (6) through (8) of “Priority of Payments—Principal Proceeds” on such Quarterly Distribution Date. Any amount that otherwise would have been distributed under such clauses shall be retained in the Payment Account and distributed (x) pursuant to clauses (19) through (21) of “Priority of Payments—Interest Proceeds” and clauses (6) through (8) of “Priority of Payments—Principal Proceeds,” as applicable, at such time as the Issuer obtains a Rating Confirmation from each Rating Agency (and the Trustee shall make such distribution on the Business Day after it receives written notice from the Collateral Manager that the Issuer has obtained a Rating Confirmation from each Rating Agency) or (y) pursuant to the Priority of Payments on the next Quarterly Distribution Date if a Rating Confirmation Failure occurs. On any Quarterly Distribution Date on or prior to the last day of the Reinvestment Period, if any Interest Proceeds remain after giving effect to payments under paragraphs (1) through (16) under the heading “Description of the Notes—Priority of Payments—Interest Proceeds,” 20.0% of any such remaining Interest Proceeds will be applied to the payment of principal of the Class D Notes until the Class D Notes are paid in full.

Collateral Manager Directed Redemption On any Quarterly Distribution Date after the Ramp-Up Completion Date and prior to the last day of the Reinvestment Period, if the Collateral Manager (in its sole discretion) determines that in light of the composition of Collateral Debt Securities, general market conditions and other factors (including any change in accounting principles, in any regulations or laws or any change in U.S. Federal tax law requiring tax to be withheld on payments to the Issuer with respect to obligations or securities held by the Issuer), investments in additional Collateral Debt Securities within the foreseeable future would either be impractical or not beneficial, the Collateral Manager may, but is not required to, direct the Issuer to apply all or any portion of the Principal Proceeds that would otherwise be available for reinvestment in Collateral Debt Securities to the payment of principal of the Notes in accordance with paragraph (2) under the heading “Description of the Notes—Priority of Payments—Principal Proceeds.” In addition, if the Collateral Manager makes a determination, in its sole judgment, that, in light of the composition of Collateral Debt Securities, general market conditions and other factors (including any change in accounting principles, in any regulations or laws or any change in U.S. Federal tax law requiring tax to be withheld on payments to the Issuer with respect to obligations or securities held by the Issuer), investments in additional Collateral Debt Securities within the foreseeable future would either be impractical or not beneficial, the Collateral Manager (with the consent of a Majority of the Controlling Class) may, but is not required to, terminate the Reinvestment Period, in which event Principal Proceeds will be applied to the repayment of principal of the Notes in accordance with the Priority of Payments.

Auction Call Redemption In accordance with the procedures set forth in the Indenture (the “Auction Procedures”), the Trustee as auction agent will, at the expense of the Issuer, initiate, and the Trustee and the Collateral Manager will conduct, an auction (an “Auction”) of the Collateral Debt Securities on the initial Auction Date if the Notes have not been, and are not otherwise to be, redeemed in full on the initial Auction Call Distribution Date. The Auction Call 53

Distribution Date is the July 2015 Quarterly Distribution Date (or, if earlier, the first Quarterly Distribution Date in respect of which the Net Outstanding Portfolio Collateral Balance as of the related Determination Date is less than or equal to U.S. $150,000,000) (the “Clean-Up Call Trigger Date”) and every Quarterly Distribution Date thereafter. If the Notes are not otherwise to be redeemed in full on or prior to the related Auction Call Distribution Date, an Auction shall be conducted on each successive Auction Date until the Notes have been redeemed in full. Holders of 100% of the aggregate outstanding principal amount of a Class of Notes may at any time elect, in connection with any Auction Call Redemption, to receive less than 100% of the Redemption Price that would otherwise be payable to holders of such Class, and the Auction Call Redemption Amount and the distributions to such Class (or the Subordinated Noteholders, as applicable) pursuant to the Priority of Payments will be reduced accordingly. A successful Auction of the Collateral Debt Securities is not required to result in any proceeds for distribution to the holders of the Subordinated Notes. Any of the Collateral Manager, the Subordinated Noteholders, the Trustee, the Placement Agents, the Initial Purchaser, the Initial Hedge Counterparty or their respective affiliates may, but shall not be required to, bid at an Auction. The Trustee shall sell and transfer as directed by the Collateral Manager the Collateral Debt Securities (which the Collateral Manager may divide into up to eight subpools designated by the Collateral Manager) to the highest bidder therefor (or to the highest bidder for each subpool) at an Auction; provided that: (i) the Trustee has received bids for the purchase of the Collateral Debt Securities (or for each of the related subpools) from at least two Qualified Bidders (including the winning Qualified Bidder), which Qualified Bidders (other than the Collateral Manager or its Affiliates) must satisfy the Qualified Bidder Ratings Requirement; (ii) the Collateral Manager certifies that the highest bids would result in the sale of the Collateral Debt Securities (or each related subpool) for a purchase price (paid in cash) which together with other Available Redemption Funds will be at least equal to the Auction Call Redemption Amount; and (iii) the highest bidder(s) for the Collateral Debt Securities (or for each of the related subpools) enter(s) into a written agreement with the Issuer in a form provided by the Collateral Manager (which the Issuer will execute if the conditions set forth above and in the Indenture are satisfied, which execution will constitute certification by the Issuer that such conditions have been satisfied) that obligates the highest bidder (or the highest bidder for each subpool) to purchase all of the Collateral Debt Securities (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 Business Day prior to the relevant Auction Call Distribution Date. If all of the conditions set forth in clauses (i), (ii) and (iii) above have been met, the Trustee will sell and transfer the Collateral Debt Securities (or the related subpools), without representation, warranty or recourse, to the bidder that has offered the highest bid (or the highest bidder for each subpool, as the case may be) in accordance with and upon completion of the Auction Procedures. The Trustee will deposit the purchase price for the Collateral Debt Securities (or the related subpools) in the Collection Accounts, and the Notes and the Subordinated Notes will be redeemed in accordance with the Priority of Payments on the Auction Call Distribution Date immediately following the relevant Auction Date (such redemption, the “Auction Call Redemption”). If any of the foregoing conditions is not met with respect to any Auction or if the highest bidder (or the highest bidder for any subpool) fails to pay the purchase price on or before the sixth Business Day prior to the relevant Auction Call Distribution Date, (a) the Auction Call Redemption shall not occur on such Auction Call Distribution Date, (b) the Trustee shall give notice of the withdrawal, (c) subject to clause (d) below, the Trustee shall decline to consummate any sale of Collateral Debt Securities and shall not receive any further bids or otherwise consummate any further sale of Collateral Debt Securities in relation to such Auction and (d) unless the Notes are redeemed in full prior to the next succeeding Auction Date, another Auction shall be conducted on the next succeeding Auction Date.

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Optional Redemption and Tax Redemption Subject to certain conditions described herein, on any Quarterly Distribution Date on or after the Quarterly Distribution Date in July 2010, the Issuer may redeem the Notes in an Optional Redemption, in whole but not in part, at the written direction of a Majority of Subordinated Noteholders (including any Collateral Manager Securities) at the applicable Redemption Price therefor. In addition, on any Quarterly Distribution Date after the occurrence of a Tax Event, the Notes shall be redeemable in a Tax Redemption, in whole but not in part, by the Issuer (i) at the written direction of the holders of a Majority of any Affected Class of Notes that, as a result of the occurrence of a Tax Event, has not received 100% of the aggregate amount of principal and interest payable to such Class on such Distribution Date or any prior Distribution Date or (ii) at the written direction of a Majority of Subordinated Noteholders. Any such redemption may only be effected on a Quarterly Distribution Date and only from Available Redemption Funds, at the applicable Redemption Price (exclusive of installments of principal and interest due on or prior to such date; provided that payment of such principal and interest shall have been made or duly provided for to the holders of the Notes as provided for in the Indenture). No Tax Redemption may be effected, however, unless (i) Available Redemption Funds are sufficient to redeem the Notes simultaneously and to pay certain other amounts in accordance with the procedures set forth in the Indenture and (ii) the Tax Materiality Condition is satisfied. In connection with any Tax Redemption or Optional Redemption, in lieu of directing the disposition of all or a portion of the Collateral, the Collateral Manager (with the written consent of a Majority of the Subordinated Noteholders) may direct the Issuer to obtain a loan, credit or similar facility from one or more financial institutions or effect an issuance of replacement notes to one or more purchasers (a refinancing provided pursuant to such loan, credit or similar facility or issuance, a “Refinancing”). Prior to the execution by the Issuer of any Refinancing, the Issuer will provide 10 Business Day’s prior written notice thereof to each Rating Agency. The Issuer shall obtain a Refinancing only if the net cash proceeds from the Refinancing (the “Refinancing Proceeds”), the proceeds of disposition (if some or all of the Collateral will be disposed of in connection with such redemption) and all other Available Redemption Funds on the relevant Distribution Date will be at least equal to the Total Senior Redemption Amount. In the event that a Refinancing is obtained meeting the criteria specified above, the Issuer and the Trustee will, contemporaneously therewith (and effective on or after the funding date of such Refinancing), amend the Indenture to the extent necessary to reflect the terms of the Refinancing (including the grant of a security interest in the Collateral, subject to the prior security interests of the Secured Parties) and no consent for such amendment will be required. The Trustee will not be obligated to enter into any related amendment that, in its view, adversely affects its duties, obligations, liabilities or protections hereunder; and the Trustee will be entitled to rely on an opinion of counsel to the effect that such amendment is authorized and permitted and meets the conditions precedent to such amendment as set forth in the Indenture (except that such counsel will have no obligation to opine as to the sufficiency of the Refinancing Proceeds, other related financial matters or matters of a factual nature unless such counsel receives sufficient certification from the Collateral Manager or other persons as to such matters). A “Tax Event” will occur, whether or not as a result of any change in law or interpretation, if (a) any obligor is, or on the next scheduled payment date under any Collateral Debt Security, will be, required to deduct or withhold from any payment under any Collateral Debt Security to the Issuer for or on account of any tax for whatever reason, whether or not as a result of any change in law or interpretation, and such obligor is not or will not be 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, whether assessed against such obligor or the Issuer) equals the full amount that the Issuer would have received had no such deduction or withholding been required, (b) the Issuer, a Hedge Counterparty, the Put Counterparty or a Synthetic Security Counterparty is required to deduct or withhold from any payment under a Hedge Agreement, the Put Agreement or a Synthetic Security for or on account of any tax and the Issuer is obligated to pay gross-up amounts to the counterparty, or such Hedge Counterparty, Put Counterparty or Synthetic Security Counterparty is not obligated 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, 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 or (c) any net income, profits or similar tax is imposed on the Issuer. The “Tax Materiality Condition” will be satisfied if any combination of Tax Events, during the 12-month period ending no more than 90 days prior to the Redemption Date for the related Tax Redemption, results, in aggregate, in a payment, charge or tax burden to the Issuer in excess of U.S.$5,000,000. 55

If a Tax Event occurs or if the Issuer is advised by counsel that, absent action on its part, a Tax Event will occur, the Issuer is authorized by the Indenture to take a number of actions, without obtaining the consent of the holders of the Notes or Subordinated Notes, to avoid the occurrence or the continuation of such Tax Event, including (i) amendments to the Indenture, the Collateral Management Agreement and other agreements and (ii) consolidation of the Issuer with, merger into or transfer or conveyance of all or substantially all of its assets to, any other corporation, partnership, trust or other person or entity.

Redemption Procedures Notice of any Optional Redemption, Tax Redemption or Auction Call Redemption will be given by first-class mail, postage prepaid, mailed not less than 10 Business Days prior to the date scheduled for redemption (with respect to such Auction Call Redemption, Optional Redemption or Tax Redemption, the “Redemption Date”), to each Noteholder at such Noteholder’s address in the Note Register maintained by the Note Registrar under the Indenture, to each Hedge Counterparty and to each Rating Agency. In addition, the Trustee will, if and for so long as any Class of Notes to be redeemed is listed on the Irish Stock Exchange, (i) instruct the Irish Paying Agent to cause notice of such Auction Call Redemption, Optional Redemption or Tax Redemption to be delivered to the Company Announcements Office of the Irish Stock Exchange not less than 5 Business Days prior to the Redemption Date and (ii) instruct the Irish Paying Agent to promptly notify the Irish Stock Exchange of such Auction Call Redemption, Optional Redemption or Tax Redemption. Notes must be surrendered at the designated offices of any Paying Agent under the Indenture in order to receive the applicable Redemption Price, unless the holder provides (i) an undertaking to surrender such Note thereafter and (ii) such security or indemnity as may be required by the Issuer or the Trustee. The Notes may not be redeemed pursuant to an Optional Redemption or Tax Redemption unless, at least six Business Days before the scheduled Redemption Date, the Collateral Manager shall have furnished to the Trustee and each Hedge Counterparty evidence (which may be an officer’s certificate of the Collateral Manager) that the Collateral Manager on behalf of the Issuer has entered into a binding agreement or agreements (or a firm financing commitment in the case of a Refinancing or purchase commitment in the case of a Refinancing effected by an issuance of replacement notes) (or a combination of the foregoing) with (or guaranteed by) an entity or entities which has deposited the purchase price and/or Refinancing Proceeds in cash in an escrow account or whose longterm 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 each Rating Agency (or are guaranteed by one or more entities with credit ratings) at least equal to the highest rating of the Notes being redeemed or whose short-term unsecured debt obligations have a credit rating of “P-1” by Moody’s (and such rating from Moody’s has not been placed on a watch list for possible downgrade) and at least “A-1” by Standard & Poor’s (or which satisfy the Rating Condition with respect to any Rating Agency for which such rating requirements are not satisfied), in each case to be consummated and funded not later than the Business Day immediately preceding the scheduled Redemption Date, in cash in immediately available funds, for a combination of Sale Proceeds and/or Refinancing Proceeds at least equal to an amount sufficient, together with other Available Redemption Funds, to pay amounts payable under the Priority of Payments prior to the payment of the Notes (without application of any limitation or cap with respect thereto and including fees and expenses incurred by the Trustee and the Collateral Manager in connection with such sale (as applicable) of Collateral Debt Securities), to pay any amounts due and payable by the Issuer pursuant to any Hedge Agreements, the Remarketing Agreement and the Put Agreement, to redeem the Notes on the scheduled Redemption Date at the applicable Redemption Prices therefor and to pay the owners of the Issuer’s ordinary shares U.S.$2,000 (consisting of U.S.$1,000 representing a return of capital contributed by the owners of the Issuer’s ordinary shares in accordance with the Issuer Charter and U.S.$1,000 representing a profit fee to the Issuer) (the aggregate amount required to make all such payments, as reduced pursuant to the next paragraph, the “Total Senior Redemption Amount”). Notwithstanding anything herein to the contrary, in connection with any Optional Redemption, holders of 100% of the aggregate outstanding principal amount of a Class of Notes may elect to receive less than 100% of the Redemption Price that would otherwise be payable to holders of such Class. If such an election is made, the minimum funding requirements specified in the immediately preceding paragraph, the Total Senior Redemption Amount and the distributions to such Class pursuant to the Priority of Payments each will be reduced accordingly. Notwithstanding the immediately preceding paragraph, in connection with any Tax Redemption, holders of at least a 56

Majority of a Class of Notes may elect to receive less than 100% of the Redemption Price that would otherwise be payable to holders of such Class. If such an election is made, the minimum funding requirements specified in the immediately preceding paragraph, the Total Senior Redemption Amount and the distributions to such Class (including distributions to any holders of such Class who did not make such an election) pursuant to the Priority of Payments will be reduced accordingly. Any notice of any Optional Redemption or Tax Redemption may be withdrawn by the Issuer up to the fifth Business Day prior to the scheduled Redemption Date by written notice to the Trustee, each Hedge Counterparty and the Collateral Manager if the conditions specified in the Indenture (including the delivery of the sale agreement or agreements referred to in the immediately succeeding paragraph in form satisfactory to the Trustee) have not been satisfied. Notice of withdrawal of an Auction Call Redemption must be withdrawn under the circumstances described under “—Auction Call Redemption” herein. During the period when a notice of redemption may be withdrawn, the Issuer may not terminate any Hedge Agreement (unless the termination of such Hedge Agreement may be rescinded upon revocation) and, if any Hedge Agreement becomes subject to early termination during this period, the Issuer must enter into a replacement Hedge Agreement (unless the Rating Condition is satisfied with respect to a full or partial non-replacement). Notice of any withdrawal shall be given by the Trustee to each Noteholder at such Noteholder’s address in the Note Register maintained by the Note Registrar under the Indenture by overnight courier guaranteeing next day delivery, sent not later than the third Business Day prior to the scheduled Redemption Date. In addition, the Trustee will, if any Class of Notes to have been redeemed was listed on the Irish Stock Exchange, instruct the Irish Paying Agent to deliver a notice of such withdrawal to the Company Announcements Office of the Irish Stock Exchange not less than five Business Days prior to the scheduled Redemption Date.

Redemption Price The amount payable in connection with any Auction Call Redemption, Optional Redemption or Tax Redemption of any Note or Subordinated Note will be as set forth in the remainder of this paragraph and as set forth above (with respect to each Class of Securities, the “Redemption Price”). The Redemption Price for any date of distribution payable with respect to any Note will be an amount equal to (a) 100% of the outstanding principal amount of such Note being redeemed (including, in the case of any Class C Note, any Class C Deferred Interest and, in the case of any Class D Note, any Class D Deferred Interest) plus (b) accrued and unpaid interest thereon (including Defaulted Interest, interest on Defaulted Interest and, as applicable, interest on Class C Deferred Interest and interest on Class D Deferred Interest) to the Redemption Date except that, (i) in the case of an Optional Redemption where holders of 100% of the aggregate outstanding principal amount of a Class of Notes elect to receive less than 100% of the Redemption Price that would otherwise be payable to holders of such Class or (ii) in the case of a Tax Event where at least a Majority of a Class of Notes elect to receive less than 100% of the Redemption Price that would otherwise be payable to holders of such Class, the Redemption Price for such Class shall be the amount agreed to by such holders. The Redemption Price payable with respect to the Subordinated Notes will be an amount equal to the Subordinated Note Redemption Amount.

Cancellation All Notes that are redeemed or paid and surrendered for cancellation as described herein will forthwith be canceled and may not be reissued or resold.

Payments Payments in respect of principal of and interest on any Note will be made to the person in whose name such Note is registered 15 days prior to the applicable Distribution Date or Redemption Date (the “Record Date”). Payments on each Note will be payable by wire transfer in immediately available funds to a U.S. Dollar account maintained by the holder thereof in accordance with wire transfer instructions received by any paying agent appointed under the Indenture (each, a “Paying Agent”) on or before the Record Date or, if no wire transfer instructions are received by a Paying Agent in respect of such Note, by a U.S. Dollar check drawn on a bank in the 57

United States mailed to the address of the holder of such Note as it appears on the Note Register at the close of business on the Record Date for such payment. Final payments in respect of principal of the Notes will be made against surrender of such Notes at the office designated by the Paying Agent. If any payment on the Notes is due on a day that is not a Business Day, then payment will be made on the next succeeding Business Day with the same force and effect as if made on the date for payment. For so long as any Notes are listed on the Irish Stock Exchange and the rules of such exchange shall so require, the Issuer will maintain a Paying Agent with respect to such Notes with an office located in Dublin, Ireland. Except as otherwise required by applicable law, any monies deposited with the Trustee or any Paying Agent in trust for the payment of principal of or interest on any Note and remaining unclaimed for two years after such principal or interest has become due and payable shall be paid to the Issuer, and the holder of such Note shall thereafter, as an unsecured general creditor, look to the Issuer for payment of such amounts and all liability of the Trustee or such Paying Agent with respect to such trust money (but only to the extent of the amounts so paid to the Issuer) shall thereupon cease. The Trustee or a Paying Agent, before being required to make any such release of payment may, but shall not be required to, adopt and employ, at the expense of the Issuer, any reasonable means of notification of such release of payment, including mailing notice of such release to holders whose Notes have been called but have not been surrendered for redemption or whose right to or interest in monies due and payable but not claimed is determinable from the records of any Paying Agent, at the last address of record of each such holder.

Priority of Payments With respect to any Quarterly Distribution Date or Monthly Distribution Date, as applicable, Interest Proceeds and Principal Proceeds with respect to the related Due Period deposited in the Payment Account pursuant to the Indenture will be applied by the Trustee in the priorities set forth below with respect to Interest Proceeds and Principal Proceeds (collectively, the “Priority of Payments”): (a) Interest Proceeds. On each Distribution Date, Interest Proceeds with respect to the related Due Period will be distributed in the order of priority set forth below: (1) (2) on each Monthly Distribution Date, to the payment of taxes, filing fees, registration fees, annual return and registered office fees owed by the Issuer, if any; on each Monthly Distribution Date, (a) first, to the payment, in the following order of priority, (i) first, to the Trustee, the Subordinated Note Issuing and Paying Agent, the Note Registrar, the Subordinated Note Registrar, the Collateral Administrator and the Rating Agencies (in that order) of accrued and unpaid fees payable by the Issuer owing to them under the Indenture, the Subordinated Note Issuing and Paying Agency Agreement, the Collateral Administration Agreement and any engagement letter entered into between the Issuer and the Rating Agencies, (ii) second, to the payment to the Administrator of accrued and unpaid fees payable by the Issuer owing to it under the Administration Agreement, (iii) third, to the Trustee, the Subordinated Note Issuing and Paying Agent, the Note Registrar, the Subordinated Note Registrar, the Collateral Administrator, the Remarketing Agents, the Collateral Manager and the Administrator (in that order) of accrued and unpaid expenses (including indemnities but excluding accrued and unpaid fees payable by the Issuer owing to the Collateral Manager under the Collateral Management Agreement) payable by the Issuer owing to them under the Indenture, the Subordinated Note Issuing and Paying Agency Agreement, the Collateral Administration Agreement, the Remarketing Agreement, the Collateral Management Agreement and the Administration Agreement and (iv) fourth, pro rata, to the payment of other accrued and unpaid Administrative Expenses of the Issuer and indemnities payable by the Issuer and to the payment of the costs and expenses of liquidating the Issuer following redemption of all of the Notes and Subordinated Notes; provided that payments pursuant to clause (a) will not exceed U.S.$21,875 with respect to such Distribution Date, except for the initial Distribution Date in which case such payments collectively will not exceed U.S.$91,150; and (b) second, with respect to any Distribution Date 58

other than the Final Distribution Date, after application of the amounts under clause (a) above, if the balance of all Eligible Investments and cash in the Expense Account on the related Determination Date is less than U.S.$100,000, for deposit to the Expense Account of an amount equal to the lesser of (x) such amount as would cause the balance of all Eligible Investments and cash in the Expense Account, immediately after such deposit, to equal U.S.$100,000, and (y) the excess of U.S.$21,875 (or, with respect to the first Distribution Date, U.S.$91,150) over the aggregate amount of payments made on such Distribution Date pursuant to clause (a); (3) on each Monthly Distribution Date, to the payment to the Collateral Manager of the Senior Collateral Management Fee due on such Distribution Date and any accrued and unpaid Senior Collateral Management Fees due on prior Distribution Dates; on each Monthly Distribution Date, pro rata, to the payment with respect to such Distribution Date of all amounts scheduled to be paid to (a) any Hedge Counterparty pursuant to any Hedge Agreement and (b) the Put Counterparty pursuant to the Put Agreement, together with any termination payments (and any accrued interest thereon) payable by the Issuer pursuant to any Hedge Agreement other than by reason of an “event of default” or “termination event” (other than an “illegality” or “tax event” thereunder) as to which such Hedge Counterparty is the sole “defaulting party” or the sole “affected party” (as such terms are defined in such Hedge Agreement); on each Monthly Distribution Date, to the payment of accrued and unpaid interest on the Class A1 Notes (including any Defaulted Interest and interest thereon); on each Monthly Distribution Date that is not a Quarterly Distribution Date, any remaining amount to be deposited to the applicable Collection Account; on each Quarterly Distribution Date, to the payment of accrued and unpaid interest on the Class A2 Notes (including any Defaulted Interest and interest thereon); on each Quarterly Distribution Date, to the payment of accrued and unpaid interest on the Class B Notes (including any Defaulted Interest and interest thereon); on each Quarterly Distribution Date, (a) if the Class A Overcollateralization Test is not satisfied on the related Determination Date after giving effect to all payments of principal with respect to the Notes pursuant to any payment priority preceding this paragraph (9) and if any Class A1 Note or Class A2 Note remains outstanding, first, to the payment of principal of the Class A1 Notes, until the Class A1 Notes are paid in full and second, to the payment of principal of the Class A2 Notes until the Class A2 Notes are paid in full, in each case to the extent necessary to cause the Class A Overcollateralization Test to be satisfied; and (b) on the first Quarterly Distribution Date following the occurrence of a Rating Confirmation Failure (and on each Quarterly Distribution Date thereafter, if required), to the payment of principal of, first, the Class A1 Notes, and second, the Class A2 Notes, in each case to the extent specified by a Rating Agency as necessary to obtain a Rating Confirmation from such Rating Agency; provided, however that Interest Proceeds will be applied pursuant to this subclause (b) only to the extent required after giving effect to the application of Uninvested Proceeds (but prior to giving effect to the application of Principal Proceeds) under this subclause (b) pursuant to paragraph (1) under “Priority of Payments– Principal Proceeds”; on each Quarterly Distribution Date, (a) if either of the Class B Coverage Tests is not satisfied on the related Determination Date after giving effect to all payments of principal with respect to the Notes pursuant to any payment priority preceding this paragraph (10) and if any Class A1 Note, Class A2 Note or Class B Note remains outstanding, first, to the payment of principal of the Class A1 Notes, until the Class A1 Notes are paid in full, second, to the payment of principal of the Class A2 Notes until the Class A2 Notes are paid in full and, third, to the payment of principal of the Class B Notes until the Class B Notes are paid in full, in each case to the extent necessary to cause such Class B Coverage Test to be satisfied; and (b) on the first Quarterly Distribution Date 59

(4)

(5) (6) (7) (8) (9)

(10)

following the occurrence of a Rating Confirmation Failure (and on each Quarterly Distribution Date thereafter, if required), to the payment of principal of, first, the Class A1 Notes, second, the Class A2 Notes, and, third, the Class B Notes, in each case to the extent specified by a Rating Agency as necessary to obtain a Rating Confirmation from such Rating Agency; provided, however that Interest Proceeds will be applied pursuant to this subclause (b) only to the extent required after giving effect to the application of Uninvested Proceeds (but prior to giving effect to the application of Principal Proceeds) under this subclause (b) pursuant to paragraph (1) under “Priority of Payments–Principal Proceeds”; (11) on each Quarterly Distribution Date, to the payment of accrued and unpaid interest on the Class C Notes (including any Defaulted Interest and interest thereon, and interest on Class C Deferred Interest, if any, but excluding any Class C Deferred Interest); on each Quarterly Distribution Date, to the payment of accrued and unpaid Class C Deferred Interest; on each Quarterly Distribution Date, (a) if either of the Class C Coverage Tests is not satisfied on the related Determination Date after giving effect to all payments of principal with respect to the Notes pursuant to any payment priority preceding this paragraph (13) and if any Class A1 Note, Class A2 Note, Class B Note or Class C Note remains outstanding, first, to the payment of principal of the Class A1 Notes until the Class A1 Notes are paid in full, second, to the payment of principal of the Class A2 Notes until the Class A2 Notes are paid in full, third, to the payment of principal of the Class B Notes until the Class B Notes are paid in full and, fourth, to the payment of principal of the Class C Notes until the Class C Notes are paid in full, in each case to the extent necessary to cause such Class C Coverage Test to be satisfied; and (b) on the first Quarterly Distribution Date following the occurrence of a Rating Confirmation Failure (and on each Quarterly Distribution Date thereafter, if required), to the payment of principal of, first, the Class A1 Notes, second, the Class A2 Notes, third, the Class B Notes and, fourth, the Class C Notes, in each case to the extent specified by a Rating Agency as necessary to obtain a Rating Confirmation from such Rating Agency; provided, however that Interest Proceeds will be applied pursuant to this subclause (b) only to the extent required after giving effect to the application of Uninvested Proceeds (but prior to giving effect to the application of Principal Proceeds) under this subclause (b) pursuant to paragraph (1) under “Priority of Payments—Principal Proceeds”; on each Quarterly Distribution Date, to the payment of accrued and unpaid interest on the Class D Notes (including any Defaulted Interest and interest thereon, and interest on Class D Deferred Interest, if any, but excluding any Class D Deferred Interest); on each Quarterly Distribution Date, to the payment of accrued and unpaid Class D Deferred Interest; on each Quarterly Distribution Date, if the Class D Overcollateralization Test is not satisfied on the related Determination Date after giving effect to all payments of principal with respect to the Notes pursuant to any payment priority preceding this paragraph (16) and if any Class A1 Note, Class A2 Note, Class B Note, Class C Note or Class D Note remains outstanding, first, to the payment of principal of the Class A1 Notes until the Class A1 Notes are paid in full, second, to the payment of principal of the Class A2 Notes until the Class A2 Notes are paid in full, third, to the payment of principal of the Class B Notes until the Class B Notes are paid in full, fourth, to the payments of principal of the Class C Notes until the Class C Notes are paid in full, and fifth, to the payment of principal of the Class D Notes until the Class D Notes are paid in full, in each case to the extent necessary to cause the Class D Overcollateralization Test to be satisfied; and (b) on the first Quarterly Distribution Date following the occurrence of a Rating Confirmation Failure (and on each Quarterly Distribution Date thereafter, if required), to the payment of principal of, first, the Class A1 Notes, second, the Class A2 Notes, third, the Class B Notes, fourth, the Class C Notes and, fifth, the Class D Notes, in each case to the extent specified by a Rating Agency as necessary to obtain a Rating Confirmation from such Rating Agency; provided, however that Interest Proceeds will be applied pursuant to this subclause (b) only to the extent required after 60

(12) (13)

(14)

(15) (16)

giving effect to the application of Uninvested Proceeds (but prior to giving effect to the application of Principal Proceeds) under this subclause (b) pursuant to paragraph (1) under “Priority of Payments–Principal Proceeds”; (17) on each Quarterly Distribution Date, on or prior to the last day of the Reinvestment Period, 20% of any remaining Interest Proceeds, to the payment of principal of the Class D Notes until the Class D Notes are paid in full; on each Quarterly Distribution Date, first, to the payment of any remaining accrued and unpaid Administrative Expenses of the Issuer not paid pursuant to clause (2) above (as the result of the limitations on amounts set forth therein) in the same order of priority specified therein (and without regard to any limitations on amounts set forth therein); and second, to the payment with respect to such Distribution Date of all termination payments (and any accrued interest thereon) payable by the Issuer pursuant to any Hedge Agreement by reason of an event of default or termination event (other than an “illegality” or “tax event” thereunder) as to which such Hedge Counterparty is the sole “defaulting party” or the sole “affected party”; on each Quarterly Distribution Date, to the Subordinated Note Issuing and Paying Agent for distribution to the Subordinated Noteholders, but only in such an amount that would not cause the Internal Rate of Return for such Distribution Date to exceed 12.0%; on each Quarterly Distribution Date, 20.0% of any remaining amounts to the Collateral Manager, as part of the Incentive Management Fee; and on each Quarterly Distribution Date, any remaining amounts to the Subordinated Note Issuing and Paying Agent for distribution to the Subordinated Noteholders.

(18)

(19)

(20) (21)

(b) Principal Proceeds. On each Distribution Date, Principal Proceeds with respect to the related Due Period and, solely to the extent required to obtain a Rating Confirmation following a Rating Confirmation Failure, Uninvested Proceeds will be distributed in the order of priority set forth below: (1) on each Monthly Distribution Date, to the payment of the amounts referred to in paragraphs (1) through (16) under “Priority of Payments—Interest Proceeds” above in the same order of priority specified therein, but only to the extent not paid in full thereunder; provided that, for the avoidance of doubt, on any Monthly Distribution Date that is not a Quarterly Distribution Date, no Principal Proceeds shall be applied pursuant to any paragraph following paragraph (6) under “Priority of Payments–Interest Proceeds” above; provided further that Principal Proceeds may be applied to the payment of the amounts referred to in paragraphs (11) and (14) under “Priority of Payments– Interest Proceeds” only if and to the extent such payments will not cause the Class A Overcollateralization Test or either Class B Coverage Test not to be satisfied (on a pro forma basis); provided further that in the case of subclause (b) of each of paragraphs (9), (10), (13), and (16) thereunder, first, Uninvested Proceeds, second, Interest Proceeds and third, Principal Proceeds, as necessary will be applied as specified in such subsection; on each Quarterly Distribution Date, on or prior to the last day of the Reinvestment Period, (a) to the purchase of additional Collateral Debt Securities or to the Principal Collection Account for reinvestment in Eligible Investments pending investment in additional Collateral Debt Securities or (b) on any Quarterly Distribution Date after the Ramp-Up Completion Date with respect to which the Collateral Manager notifies the Trustee, the Put Counterparty and each Hedge Counterparty in writing that it has determined that investments in additional Collateral Debt Securities within the foreseeable future would either be impractical or not beneficial, to the payment of principal in accordance with paragraph (3) and/or (4) below, as the case may be, in the amount specified by written notice by the Collateral Manager to the Trustee delivered on or prior to the related Determination Date; on each Quarterly Distribution Date, after the last day of the Reinvestment Period (and with respect to any Principal Proceeds specified by the Collateral Manager for application on or prior to 61

(2)

(3)

the last day of the Reinvestment Period in accordance with clause (b) of paragraph (2) above), after giving effect to all payments of principal with respect to the Notes on such Distribution Date pursuant to any payment priority preceding this paragraph (3) or pursuant to “Priority of Payments–Interest Proceeds” above and reinvestments on such Distribution Date pursuant to paragraph (2) above, if the Pro Rata Payment Condition is satisfied with respect to such Distribution Date, to the payment of principal of each Class of Notes, pro rata, in an aggregate amount such that the Net Outstanding Portfolio Collateral Balance as of the related Determination Date (after deducting therefrom any Principal Proceeds applied to the payment of principal of the Notes pursuant to this paragraph (3)) will not be less than U.S.$750,000,000; (4) on each Quarterly Distribution Date, after the last day of the Reinvestment Period (and with respect to any Principal Proceeds specified by the Collateral Manager for application on or prior to the last day of the Reinvestment Period in accordance with clause (b) of paragraph (2) above), after giving effect to all payments of principal with respect to the Notes on such Distribution Date pursuant to any payment priority preceding this paragraph (4) or pursuant to “Priority of Payments–Interest Proceeds” above and reinvestments on such Distribution Date pursuant to paragraph (2) above, to the payment of principal of first, the Class A1 Notes, second, the Class A2 Notes, third, the Class B Notes, fourth, the Class C Notes, and, fifth, the Class D Notes, in each case until paid in full; on each Quarterly Distribution Date, to the payment of the amounts referred to in clauses “first” and “second” of paragraph (18) under “Priority of Payments—Interest Proceeds” above in the same order of priority specified therein, but only to the extent not paid in full thereunder; on each Quarterly Distribution Date, to the Subordinated Note Issuing and Paying Agent for distribution to the Subordinated Noteholders, but only in such an amount that would not cause the Internal Rate of Return for such Distribution Date, after giving effect to the application of Interest Proceeds on such Distribution Date pursuant to “Priority of Payments–Interest Proceeds,” to exceed 12.0%; on each Quarterly Distribution Date, 20.0% of any remaining amounts to the Collateral Manager, as part of the Incentive Management Fee; and on each Quarterly Distribution Date, any remaining amounts to the Subordinated Note Issuing and Paying Agent for distribution to the Subordinated Noteholders.

(5)

(6)

(7) (8)

For the purpose of determining any payment to be made on any Quarterly Distribution Date pursuant to any applicable paragraph under “—Priority of Payments,” any Coverage Test referred to in such paragraph shall be calculated as of the relevant Quarterly Distribution Date after giving effect to all payments to be made on such Quarterly Distribution Date prior to such payment in accordance with the provisions under “―Priority of Payments.” As provided in the Subordinated Note Issuing and Paying Agency Agreement, the aggregate principal amount of the Subordinated Notes will be reduced by the payment from time to time of Principal Proceeds to the Subordinated Note Issuing and Paying Agent pursuant to “Priority of Payments—Principal Proceeds”; provided that, except in connection with the distribution of all remaining proceeds of the Collateral to the Subordinated Note Issuing and Paying Agent in connection with the final redemption of the Subordinated Notes, in no event will such payments of Principal Proceeds reduce the principal amount of the Subordinated Notes below U.S.$1 (and any additional distributions of Principal Proceeds when the principal balance of the Subordinated Notes is U.S.$1, prior to the final redemption of the Subordinated Notes, shall be deemed not to be payments in respect of principal of the Subordinated Notes). In no event will payments on the Subordinated Notes derived from Interest Proceeds pursuant to “Priority of Payments—Interest Proceeds” reduce the principal amount of the Subordinated Notes. Insufficient Funds. Except as otherwise expressly provided in the Priority of Payments (including paragraph (a)(2), which specifies an order of application), if on any Distribution Date the amount available in the Payment Account from amounts received in the related Due Period is insufficient to make the full amount of the disbursements described in any paragraph in this section to different persons (excluding the Trustee in all 62

capacities), the Trustee will make the disbursements called for by each such paragraph ratably in accordance with the respective amounts of such disbursements then due and payable to the extent funds are available therefor. Any payment of principal of the Class C Notes or Class D Notes shall be applied, first, to the portion of principal not constituting Class C Deferred Interest or Class D Deferred Interest, as applicable. Release from Lien. Any amounts to be paid to the Subordinated Note Issuing and Paying Agent for distribution to the Subordinated Noteholders, and any amounts paid to the owners of the Issuer’s ordinary shares, pursuant to the Priority of Payments will be released from the lien of the Indenture. Liquidation of Collateral. If the Notes and the Subordinated Notes have not been redeemed prior to the Term Note Stated Maturity, it is expected that the Issuer (or the Collateral Manager acting pursuant to the Collateral Management Agreement on behalf of the Issuer) will sell all of the Collateral Debt Securities and all Eligible Investments and sell or liquidate all other Collateral. All net proceeds from such liquidation and all available cash will be applied to the payment (in the order of priorities set forth in the Priority of Payments) of all (i) fees, (ii) expenses and indemnities (including the amounts due to each Hedge Counterparty) and (iii) principal of (including, in the case of the Class C Notes, Class C Deferred Interest, and in the case of the Class D Notes, Class D Deferred Interest) and interest (including any Defaulted Interest, accrued interest on such Defaulted Interest and interest on any Class C Deferred Interest and any Class D Deferred Interest) on the Notes so that all Notes are redeemed. Net proceeds from such liquidation and available cash remaining after all payments required pursuant to the Indenture and the payment of the costs and expenses of such liquidation, the establishment of adequate reserves to meet all contingent, unliquidated liabilities or obligations of the Issuer and the payment of U.S.$2,000 to the holder of the Issuer’s ordinary shares will be distributed to the Subordinated Noteholders in accordance with the Subordinated Note Issuing and Paying Agency Agreement.

The Coverage Tests The Coverage Tests will be used primarily to determine whether and to what extent Interest Proceeds may be used to pay interest on the Class C Notes and the Class D Notes, certain expenses and distributions on the Subordinated Notes and whether and to what extent Principal Proceeds may be reinvested in Collateral Debt Securities during the Reinvestment Period. In the event that a Coverage Test relating to any Class of Notes is not satisfied on any Determination Date, funds that would otherwise be used to pay interest on any Subordinate Classes of Notes (other than the Class B Notes) and certain expenses and for reinvestment in Collateral Debt Securities or to be distributed to Subordinated Noteholders must instead be used to pay, in direct order of seniority, principal of, first, the Class of Notes related to such Coverage Test and each Class of Notes (if any) Senior thereto, in each case to the extent necessary to cause such Coverage Test to be satisfied (subject, in each case, to the Priority of Payments). See “—Priority of Payments.” For the purpose of determining any payment to be made on any Quarterly Distribution Date pursuant to any applicable paragraph of “Priority of Payments,” any Coverage Test referred to in such paragraph shall be calculated as of the relevant Determination Date after giving effect to all payments to be made on such Quarterly Distribution Date prior to such payment in accordance with the provisions under “Priority of Payments.” For purposes of the Coverage Tests, unless otherwise specified, a Synthetic Security will be included as a Collateral Debt Security having the characteristics of the Synthetic Security and not of the related Reference Obligation. The Class A Overcollateralization Test The “Class A Overcollateralization Ratio” is, as of any Measurement Date, the number (expressed as a percentage) calculated by dividing (a) the Net Outstanding Portfolio Collateral Balance on such Measurement Date by (b) the aggregate outstanding principal amount of the Class A1 Notes plus the aggregate outstanding principal amount of the Class A2 Notes.

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The “Class A Overcollateralization Test” will be satisfied on any Measurement Date if the Class A Overcollateralization Ratio as of such Measurement Date is equal to or greater than 106.4%. The Class B Coverage Tests The “Class B Coverage Tests” are the Class B Overcollateralization Test and the Class B Interest Coverage Test. The “Class B Overcollateralization Ratio” is, as of any Measurement Date, the number (expressed as a percentage) calculated by dividing (a) the Net Outstanding Portfolio Collateral Balance on such Measurement Date by (b) the aggregate outstanding principal amount of the Class A1 Notes plus the aggregate outstanding principal amount of the Class A2 Notes plus the aggregate outstanding principal amount of the Class B Notes. The “Class B Overcollateralization Test” will be satisfied on any Measurement Date if the Class B Overcollateralization Ratio as of such Measurement Date is equal to or greater than 103.2%. The “Class B Interest Coverage Ratio” is, as of any Measurement Date, the number (expressed as a percentage) obtained by dividing: (a) the Interest Coverage Numerator; by (b) the sum of (i) the Interest Distribution Amounts for the Class A1 Notes, the Class A2 Notes and the Class B Notes (including any Defaulted Interest thereon, and any accrued interest on such Defaulted Interest) payable on the Quarterly Distribution Date relating to the Due Period in which such Measurement Date occurs and (ii) with respect to the Class A1 Notes, the Interest Distribution Amounts (including any Defaulted Interest thereon and any accrued interest on such Defaulted Interest) for such Notes payable on the two immediately preceding Monthly Distribution Dates (or, in the case of any Measurement Date in the Due Period relating to the first Quarterly Distribution Date, the Interest Distribution Amounts (including any Defaulted Interest thereon and any accrued interest on such Defaulted Interest) for such Notes payable on all prior Monthly Distribution Dates). In the event that the calculation of the Class B Interest Coverage Ratio produces a negative number, the Class B Interest Coverage Ratio shall be deemed to be equal to zero. The “Class B Interest Coverage Test” will be satisfied on any Measurement Date occurring on or after the second Quarterly Distribution Date if the Class B Interest Coverage Ratio is equal to or greater than 101.0%. The Class C Coverage Tests The “Class C Coverage Tests” are the Class C Overcollateralization Test and the Class C Interest Coverage Test. The “Class C Overcollateralization Ratio” is, as of any Measurement Date, the number (expressed as a percentage) calculated by dividing (a) the Net Outstanding Portfolio Collateral Balance on such Measurement Date by (b) the aggregate outstanding principal amount of the Class A1 Notes plus the aggregate outstanding principal amount of the Class A2 Notes plus the aggregate outstanding principal amount of the Class B Notes plus the aggregate outstanding principal amount of the Class C Notes (including any Class C Deferred Interest). The “Class C Overcollateralization Test” will be satisfied on any Measurement Date if the Class C Overcollateralization Ratio on such Measurement Date is equal to or greater than 101.8%. The “Class C Interest Coverage Ratio” is, as of any Measurement Date, the number (expressed as a percentage) obtained by dividing: (a) the Interest Coverage Numerator; by 64

(b) the sum of (i) the Interest Distribution Amounts for the Class A1 Notes, the Class A2 Notes, the Class B Notes and the Class C Notes (including any Defaulted Interest thereon, any accrued interest on such Defaulted Interest and interest on Class C Deferred Interest but excluding any Class C Deferred Interest) payable on the Quarterly Distribution Date relating to the Due Period in which such Measurement Date occurs and (ii) with respect to the Class A1 Notes, the Interest Distribution Amounts (including any Defaulted Interest thereon and any accrued interest on such Defaulted Interest) for such Notes payable on the two immediately preceding Monthly Distribution Dates (or, in the case of any Measurement Date in the Due Period relating to the first Quarterly Distribution Date, the Interest Distribution Amounts (including any Defaulted Interest thereon and any accrued interest on such Defaulted Interest) for such Notes payable on all prior Monthly Distribution Dates). “Class C Interest Coverage Test” means a test satisfied on any Measurement Date occurring on or after the second Quarterly Distribution Date if the Class C Interest Coverage Ratio is equal to or greater than 100.5%. The Class D Overcollateralization Test The “Class D Overcollateralization Ratio” is, as of any Measurement Date, the number (expressed as a percentage) calculated by dividing (a) the Net Outstanding Portfolio Collateral Balance on such Measurement Date by (b) the aggregate outstanding principal amount of the Class A1 Notes plus the aggregate outstanding principal amount of the Class A2 Notes plus the aggregate outstanding principal amount of the Class B Notes plus the aggregate outstanding principal amount of the Class C Notes (including any Class C Deferred Interest) plus the aggregate outstanding principal amount of the Class D Notes (including any Class D Deferred Interest). The “Class D Overcollateralization Test” will be satisfied on any Measurement Date if the Class D Overcollateralization Ratio on such Measurement Date is equal to or greater than 100.4%.

Remarketing Procedures for the Class A1 Notes On the Closing Date, the Issuer will enter into a remarketing agreement with Mizuho Securities USA Inc., as Co-Remarketing Agent, and Mizuho International plc, as Remarketing Agent, pursuant to which the Remarketing Agents will solicit purchasers for the Class A1 Notes (i) to be issued on each MM Reissuance Date and Quarterly Tender Date, so long as the Put Agreement remains in effect, and (ii) on the Put Termination Reissuance Date, solely if the Put Counterparty is insolvent and funds for the purchase of the Class A1 Extended Notes issued on such date are not available under the Put Loan Agreement. The Class A1 Notes (other than the Class A1 Extended Notes) remarketed by the Remarketing Agents will bear interest at a per annum rate that may not exceed LIBOR plus the Maximum Class A1 Spread. The Class A1 Extended Notes remarketed by the Remarketing Agents will bear interest at a per annum rate equal to LIBOR plus 0.18%. The sale proceeds of such Class A1 Notes will be deposited directly into the Remarketing Account for application (a) on such MM Reissuance Date or the Put Termination Reissuance Date, as applicable, to the repayment of principal of the Class A1 Notes maturing on such day or (b) on such Quarterly Tender Date, to the repayment of principal of the related Tendered Class A1 Notes. In the event the Remarketing Agreement is terminated, the Issuer will, if so directed by the Put Counterparty, use commercially reasonable efforts to enter into a replacement Remarketing Agreement. Prior to each MM Reissuance Date and Quarterly Tender Date, the Remarketing Agents will solicit bids for the purchase of newly issued Class A1 Notes from bidders each of which is either (x) a Qualified Institutional Buyer that is also a Qualified Purchaser, and that will acquire such Class A1 Notes in reliance on Rule 144A, or (y) not a U.S. Person that will acquire such Class A1 Notes through Euroclear or Clearstream in an offshore transaction in accordance with Rules 903 and 904 of Regulation S (each, an “Eligible Bidder”). Not later than five Business Days prior to each MM Reissuance Date and Quarterly Tender Date, the Remarketing Agents will provide written notice (a “Remarketing Notice”) to the Trustee, the Collateral Manager, the Put Counterparty and Put Counterparty Lender, which notice will include a statement indicating, as applicable, that (i) they have received Firm Bids for Class A1 Notes in an aggregate principal amount equal to or greater than the aggregate principal amount of the Class A1 Notes maturing on such date (in the case of an MM Reissuance Date) or the aggregate principal amount of the applicable Tendered Class A1 Notes (in the case of an Quarterly Tender Date) and indicating such aggregate principal amount and, in the case of an MM Reissuance Date, the Class A1 Spread for the Class A1 Notes to be 65

issued on such date (determined as described below), (ii) they have received Firm Bids for Class A1 Notes in an aggregate principal amount less than the aggregate principal amount of the Class A1 Notes maturing on such date (in the case of an MM Reissuance Date) or the aggregate principal amount of the applicable Tendered Class A1 Notes (in the case of an Quarterly Tender Date), and indicating such aggregate principal amount and, in the case of an MM Reissuance Date, the Class A1 Spread for the Class A1 Notes to be issued on such date (determined as described below), or (iii) they have not received any Firm Bids for Class A1 Notes as of such date. A “Firm Bid” means, with respect to any MM Reissuance Date or Quarterly Tender Date (or, with respect to the remarketing of Put Counterparty Acquired Notes, any Distribution Date), any firm bid received by a Remarketing Agent from an Eligible Bidder no later than 9:00 a.m., New York City time, on the fifth Business Day prior to such date, specifying (a) the aggregate principal amount of the Class A1 Notes for the purchase of which such Eligible Bidder is bidding and (ii) the minimum Class A1 Spread over one-month LIBOR (not to exceed the Maximum Class A1 Spread) that such Eligible Bidder requires as a condition to its purchase of such Class A1 Notes. The Remarketing Agents will designate the applicable Class A1 Spread with respect to each MM Reissuance Date not later than five Business Days prior to such date by selecting, from among the bids solicited as described above, the lowest Class A1 Spread (not to exceed the Maximum Class A1 Spread) at which there are sufficient Firm Bids (at or below such selected spread) for the purchase of all of the Class A1 Notes maturing on such date. If, not later than 9:00 a.m., New York City time, on the fifth Business Day prior to such MM Reissuance Date, the Remarketing Agents have not received sufficient Firm Bids for the purchase of all of the Class A1 Notes maturing on such date, the Remarketing Agents will designate as the Class A1 Spread the highest Class A1 Spread (not to exceed the Maximum Class A1 Spread) specified in a Firm Bid received by a Remarketing Agent from an investor (other than the Put Counterparty or an affiliate thereof). If no Firm Bids are received by the Remarketing Agents from an investor (other than the Put Counterparty or an affiliate thereof) with respect to an MM Reissuance Date, the Class A1 Spread of the Class A1 Notes sold to the Put Counterparty pursuant to the Put Agreement will be 0.05% per annum. With respect to any Quarterly Tender Date, the Class A1 Spread for the Class A1 Notes issued on that date will be the same Class A1 Spread as the Class A1 Spread of the related Tendered Class A1 Notes. The Put Counterparty will be entitled, so long as the Put Agreement and the Remarketing Agreement remain in effect, upon 15 days’ prior written notice to the Remarketing Agents, to request the Remarketing Agents to remarket and sell new Class A1 Notes, in order to replace and redeem all or any portion of the Put Counterparty Acquired Notes then held by the Put Counterparty, on any Distribution Date occurring prior to the MM Stated Maturity of such Put Counterparty Acquired Notes. Any such new Class A1 Notes shall have the same Stated Maturity and bear interest at the same Class A1 Spread over LIBOR as the Put Counterparty Acquired Notes being replaced and redeemed on the related Distribution Date; provided, that if all of the outstanding Class A1 Notes are reissued and sold on such Distribution Date, the Class A1 Spread will be the lowest Class A1 Spread (not to exceed the Maximum Class A1 Spread) at which there are sufficient Firm Bids (at or below such selected spread) for the purchase of all of the Class A1 Notes being reissued on such date. If the Put Termination Reissuance Date occurs, and if the Put Counterparty is then insolvent and funds are not available under the Put Loan Agreement for the purchase of the Class A1 Extended Notes issued on such date, the Remarketing Agents will solicit bids, at par, from investors for such Class A1 Extended Notes, and any Class A1 Extended Notes remaining unsold will be issued, pro rata (based on the aggregate principal amount of maturing Class A1 Notes held by each holder) to the existing holders of the maturing Class A1 Notes.

Form, Denomination, Registration and Transfer The Notes initially sold to non-U.S. Persons in offshore transactions in reliance on Regulation S under the Securities Act will be represented by one or more permanent global notes (the “Regulation S Global Notes”) in each case in definitive, fully registered form without interest coupons. Investors may hold their interests in a Regulation S Global Note directly through Euroclear or Clearstream, if they are participants in such systems, or indirectly through organizations that are participants in such systems. Clearstream and/or Euroclear will hold interests in the Regulation S Global Notes on behalf of their participants through their respective depositories, which in turn will hold the interests in the Regulation S Global Notes in customers’ securities accounts in the depositories’ 66

names on the books of DTC. Beneficial interests in a Regulation S Global Note may be held only through Euroclear or Clearstream. Beneficial interests in a Regulation S Global Note may not be held by a U.S. Person at any time. By acquisition of a beneficial interest in a Regulation S Global Note, the purchaser thereof will be deemed to represent that it is not a U.S. Person and that, if in the future it determines to transfer such beneficial interest in the form of a beneficial interest in a Regulation S Global Note, it will transfer such interest only to a person whom the seller reasonably believes to be a non-U.S. Person. No Subordinated Note (or any interest therein) may be offered, sold or transferred or held by a Benefit Plan Investor. In addition, except with respect to the initial purchase of Restricted Class D Notes as described under “ERISA Considerations,” no Class D Notes (or any interest therein) may be offered, sold or transferred, or held by a Benefit Plan Investor or a Controlling Person. The Class A1 Notes, Class A2 Notes, Class B Notes and Class C Notes that are sold in the United States or to U.S. Persons in reliance on Rule 144A under the Securities Act (“Rule 144A”) will be evidenced by one or more global notes (each, a “Restricted Global Note” and collectively, the “Restricted Global Notes” and the Restricted Global Notes, together with the Regulation S Global Notes, the “Global Notes”) in definitive, fully registered form without coupons. Investors may hold their interests in the Restricted Global Notes directly through DTC if they are DTC participants, or indirectly through organizations that are DTC participants. The Restricted Global Notes will be deposited with the Trustee as custodian for, and registered in the name of a nominee of, DTC. The Class D Notes that are sold in the United States or to U.S. Persons in reliance upon an exemption from the registration requirements of the Securities Act (“Restricted Class D Notes”) will be issued to the legal owner thereof in definitive, fully registered, certificated form without interest coupons, registered in the name of the legal owner thereof. Owners of beneficial interests in Regulation S Global Notes and Restricted Global Notes will be entitled or required, as the case may be, under certain limited circumstances, to receive physical delivery of certificated Notes (the “Definitive Notes”) in fully registered, definitive form. No owner of an interest in a Regulation S Global Note will be entitled to receive a Definitive Note unless such person provides certification that such Definitive Note will be owned by a person that is not a U.S. Person. The Notes are not issuable in bearer form. The Notes will be issuable in minimum denominations of U.S.$500,000 of initial principal balance and in integral multiples of U.S.$1,000 in excess thereof. Transfer and Exchange of Notes The Notes will be subject to certain restrictions on transfer as set forth herein, in the Indenture and in the Investment Company Act of 1940, as amended (the “Investment Company Act”), and such Notes will bear the legends regarding the restrictions set forth under “Transfer Restrictions.” The Notes may not be sold or resold in the United States to persons other than qualified institutional buyers (as defined in Rule 144A) (each, a “Qualified Institutional Buyer”) who are also qualified purchasers for purposes of Section 3(c)(7) of the Investment Company Act and the rules under the Investment Company Act (each, a “Qualified Purchaser”), who purchase such Notes for their own account. A beneficial interest in a Regulation S Global Note (other than a Regulation S Global Class D Note) may be transferred to a U.S. Person in the form of an interest in a Restricted Global Note in accordance with the applicable procedures of DTC, Euroclear or Clearstream to a Qualified Institutional Buyer who is also a Qualified Purchaser upon receipt by the Trustee of a written certification from the transferor or transferee in the form provided in the Indenture to the effect that, among other things, the transfer is being made in a transaction meeting the requirements of Rule 144A under the Securities Act and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction. A beneficial interest in a Restricted Global Note may be transferred to a person who takes delivery in the form of an interest in a Regulation S Global A/B/C Note only upon receipt by the Trustee of a written certification from the transferor or transferee in the form provided in the Indenture to the effect that, among other things, the transfer is being made to a non-U.S. Person and in accordance with Regulation S under the Securities Act.

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An owner of a beneficial interest in a Regulation S Global A/B/C Note may transfer such beneficial interest to a transferee acquiring a beneficial interest in such Regulation S Global A/B/C Note without providing a transfer certificate; provided that (1) such transfer is not made to a U.S. Person or for the account or benefit of a U.S. Person and is effected through Euroclear or Clearstream in an offshore transaction in accordance with Rules 903 and 904 of Regulation S, (2) such transferee shall be deemed to make the representations set forth in the legend on such Regulation S Global A/B/C Note and the applicable transfer certificate provided in the Indenture and (3) such transfer is made in compliance with the transfer restrictions set forth in the Indenture. A beneficial interest in a Regulation S Global Class D Note may be transferred to a U.S. Person in the form of a Restricted Class D Note to a Qualified Institutional Buyer who is also a Qualified Purchaser upon receipt by the Trustee of a written certification from the transferee in the form provided in the Indenture to the effect that, among other things, the transfer is being made in a transaction meeting the requirements of Rule 144A under the Securities Act and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction. A Restricted Class D Note may be transferred to a person who takes delivery in the form of an interest in a Regulation S Global Class D Note only upon receipt by the Trustee of a written certification from the transferor in the form provided in the Indenture to the effect that, among other things, the transfer is being made to a non-U.S. Person and in accordance with Regulation S under the Securities Act. Transfers by a holder of a Restricted Class D Note to a transferee who takes delivery of a Restricted Class D Note will be made only upon receipt by the Issuer and the Trustee of written certifications from the transferee in the forms provided in the Indenture to the effect that, among other things, transfer is being made in a transaction meeting the requirements of Rule 144A under the Securities Act and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction. An owner of a beneficial interest in a Regulation S Global Class D Note may transfer such beneficial interest to a transferee acquiring a beneficial interest in such Regulation S Global Class D Note without providing a transfer certificate; provided that (1) such transfer is not made to a U.S. Person or for the account or benefit of a U.S. Person and is effected through Euroclear or Clearstream in an offshore transaction in accordance with Rules 903 and 904 of Regulation S, (2) such transferee shall be deemed to make the representations set forth in the legend on such Regulation S Global Class D Note and the applicable transfer certificate provided in the Indenture and (3) such transfer is made in compliance with the transfer restrictions set forth in the Indenture, including the requirement that no transfer may be made to a Benefit Plan Investor or Controlling Person. Restricted Class D Notes may be exchanged or transferred in whole or in part for one or more Restricted Class D Notes in authorized minimum denominations by surrendering such Restricted Class D Notes at the office of the Trustee with a written instrument of transfer (in the case of a transfer) or a written request for exchange (in the case of an exchange) as provided in the Indenture. With respect to any transfer of a portion of Restricted Class D Notes held by a transferor, the transferor will be entitled to receive, at any aforesaid office, new Restricted Class D Notes representing the aggregate principal amount of Class D Notes retained by the transferor after giving effect to such transfer. Restricted Class D Notes issued upon any such exchange or transfer will be made available at the office designated by the Trustee. Any beneficial interest in a Regulation S Global Note that is transferred to a person who takes delivery in the form of a Restricted Global Note, a Restricted Class D Note or a Definitive Note will, upon transfer, cease to be an interest in such Regulation S Global Note and become an interest in such Restricted Global Note, Restricted Class D Note or Definitive Note, as the case may be, and, accordingly, will thereafter be subject to all transfer restrictions and other procedures applicable to a Restricted Global Note, Restricted Class D Note or Definitive Note, as applicable, for as long as it remains in such form. Any beneficial interest in a Restricted Global Note, Restricted Class D Note or Definitive Note that is transferred to a person who takes delivery in the form of a Regulation S Global Note will, upon transfer, cease to be an interest in such Restricted Global Note, Restricted Class D Note or Definitive Note, as applicable, and become an interest in such Regulation S Global Note and, accordingly, will thereafter be subject to all transfer restrictions and other procedures applicable to a Regulation S Global Note for as long as it remains in such form.

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After the Closing Date, no transfer of a Class D Note or interest therein may be made, and the Issuer will not recognize any such transfer, if the transferee is a Benefit Plan Investor or a Controlling Person. See “ERISA Considerations” and “Transfer Restrictions.” No service charge will be made for any registration of transfer or exchange of the Notes, but the Trustee may require payment of a sum sufficient to cover any tax or other governmental charge payable in connection therewith Pursuant to the Indenture, Deutsche Bank Trust Company Americas will be appointed and will serve as the registrar with respect to the Notes (in such capacity, the “Note Registrar”) and will provide for the registration of Notes and the registration of transfers of Notes in the register maintained by it (the “Note Register”). Deutsche Bank Trust Company Americas will also be appointed as a transfer agent with respect to the Notes (in such capacity, the “Transfer Agent”). The Indenture will provide that if, notwithstanding the restrictions on transfer contained therein, the Issuer determines that any holder of a Restricted Class D Note or Restricted Global Note (or any interest therein) is not both a Qualified Purchaser and a Qualified Institutional Buyer, then the Issuer shall require, by notice to such holder, that such holder sell all of its right, title and interest to such Restricted Class D Note or Restricted Global Note (or interest therein) to a person that is (a) both a Qualified Purchaser and a Qualified Institutional Buyer or (b) not a U.S. Person (by exchange for a beneficial interest in a Regulation S Global Note), in each case with such sale to be effected within 30 calendar days after notice of such sale requirement is given. If such holder fails to effect the transfer required within such 30-day calendar period, (A) upon direction from the Issuer or the Trustee, on behalf of the Issuer and at the expense of such holder (which expense may be deducted from the sale proceeds described below), shall cause such holder’s interest in such Note to be transferred in a commercially reasonable sale (conducted by an investment banking firm selected by the Trustee (and approved by the Collateral Manager) on behalf of the Issuer) to a person that certifies to the Trustee and the Issuer, in connection with such transfer, that such person (a) is both a Qualified Purchaser and a Qualified Institutional Buyer or (b) is not a U.S. Person and (B) pending such transfer, no further payments will be made in respect of such Note (or interest therein) held by such holder from the date notice of the sale requirement is sent to the date on which such Note (or interest therein) is sold and such Note (or interest therein) shall be deemed not to be outstanding for the purposes of any vote, consent or direction of the holders of the Notes (and shall not be taken into account for the purposes of calculating any quorum or majority requirements relating thereto (such Note or interest therein shall be deemed Disregarded Securities)). The Indenture also provides that if, notwithstanding the restrictions on transfer contained therein, (A) a Benefit Plan Investor or Controlling Person has acquired a Class D Note (or interest therein) (other than directly from the Initial Purchaser as an Original Purchaser) or (B) a holder of Class D Notes is or is deemed to be a Benefit Plan Investor or a Controlling Person in contravention of its representation to the contrary, the Issuer shall require, by notice to such Benefit Plan Investor or Controlling Person, that such Benefit Plan Investor or Controlling Person sell all of its right, title and interest in or to such Class D Notes in accordance with the Indenture, with such sale to be effected within 30 calendar days after notice of such sale requirement is given. If such Benefit Plan Investor or Controlling Person fails to effect the transfer required within such 30-day calendar period, upon direction from the Issuer, the Trustee (on behalf of the Issuer and at the expense of such Benefit Plan Investor or Controlling Person (which expense may be deducted from the sale proceeds described below)) shall cause, and is hereby irrevocably authorized by such Benefit Plan Investor or Controlling Person to cause, its interest in such Class D Notes to be transferred in a commercially reasonable sale conducted by an investment banking firm selected by the Trustee (and approved by the Collateral Manager) on behalf of the Issuer) to a person that certifies to the Issuer and the Trustee in connection with such transfer, that such transfer complies with the requirements of the Indenture and the legend on such Class D Notes and that such person is not a Benefit Plan Investor or a Controlling Person and is otherwise entitled to acquire such Note. Pending such transfer, no payments will be made on such Class D Notes (or interest therein) from the date notice of the sale requirement is sent to the date on which such Class D Notes (or interest therein) are sold and such Class D Notes (or interest therein) shall be deemed not to be outstanding for the purposes of any vote, consent or direction of the holders of Class D Notes (and shall not be taken into account for the purposes of calculating any quorum or majority requirements relating thereto (such Class D Notes shall be deemed Disregarded Securities)).

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The Issuer may impose additional transfer restrictions to comply with the USA PATRIOT Act or any similar laws or regulations to the extent they are applicable to the Issuer, including by imposing additional restrictions on the transfer of the Notes of one or more Classes as required by such laws and regulations, and each holder of Notes will be required to comply with such transfer restrictions. Global Notes So long as the depositary for a Global Note, or its nominee, is the registered holder of such Global Note, such depositary or such nominee, as the case may be, will be considered the absolute owner or holder of such Regulation S Global Note or Restricted Global Note, as the case may be, for all purposes under the Indenture and the Notes and members of, or participants in, the depositary (the “Participants”) as well as any other persons on whose behalf Participants may act (including Euroclear and Clearstream and account holders and participants therein) will have no rights under the Indenture or under a Note. Owners of beneficial interests in a Global Note will not be considered to be the owners or holders of any Note under the Indenture or the Notes. In addition, no beneficial owner of an interest in a Global Note will be able to exchange or transfer that interest, except in accordance with the applicable procedures of the depositary and (in the case of a Regulation S Global Note) Euroclear or Clearstream (in addition to those under the Indenture), in each case to the extent applicable (the “Applicable Procedures”). Investors may hold their interests in a Regulation S Global Note directly through Euroclear or Clearstream, if they are participants in such systems, or indirectly through organizations that are participants in such systems. Euroclear and/or Clearstream will hold interests in Regulation S Global Notes on behalf of their participants through customers’ securities accounts in their respective names on the books of their respective depositaries, which in turn will hold such interests in such Notes in customers’ securities accounts in the depositaries’ names on the books of DTC. Investors may hold their interests in a Restricted Global Note directly through DTC, if they are Participants in such system, or indirectly through organizations that are Participants in such system. Payments of the principal of, and interest on, an individual Global Note registered in the name of a depositary or its nominee will be made to the depositary or its nominee, as the case may be, as the registered owner of the Global Note. None of the Issuer, the Trustee, the Note Registrar or any Paying Agent will have any responsibility or liability for any aspect of the records of any depositary relating to or payments made on account of beneficial ownership interests in Global Notes or for maintaining, supervising or reviewing any such records relating to such beneficial ownership interests. The Issuer expects that the depositary for any Global Note or its nominee, upon receipt of any payment of principal of or interest on such Global Note, will immediately credit the accounts of Participants with payments in amounts proportionate to their respective beneficial interests in the principal amount of such Global Note as shown on the records of the depositary or its nominee. The Issuer also expects that payments by Participants to owners of beneficial interests in such Global Note held through such Participants will be governed by standing instructions and customary practices, as is now the case with securities held for the accounts of customers registered in the name of nominees for such customers. Such payments will be the responsibility of such Participants. Definitive Notes Interests in a Regulation S Global Note or a Restricted Global Note will be exchangeable or transferable, as the case may be, for a Definitive Note if (a) DTC, Euroclear or Clearstream, as applicable, notifies the Issuer that it is unwilling or unable to continue as depositary for such Note, (b) DTC ceases to be a “clearing agency” registered under the Exchange Act, and a successor depositary is not appointed by the Issuer within 90 days, (c) the transferee of an interest in such Global Note is required by law to take physical delivery of securities in definitive form or (d) the transferee is otherwise unable to pledge its interest in a Global Note. Upon the occurrence of any of the events described in the preceding sentence, the Issuer will cause Definitive Notes bearing an appropriate legend (a “Legend”) regarding restrictions on transfer to be delivered. Upon the transfer, exchange or replacement of Definitive Notes bearing a Legend, or upon specific request for removal of a Legend on a Note, the Issuer will deliver through the Trustee or any Paying Agent (other than the Subordinated Note Issuing and Paying Agent) to the holder and the transferee, as applicable, one or more Definitive Notes in certificated form and in authorized denominations corresponding to the principal amount of Definitive Notes surrendered for transfer, exchange or 70

replacement that bear such Legend, or will refuse to remove such Legend, as the case may be, unless there is delivered to the Issuer such satisfactory evidence, which may include an opinion of U.S. counsel, as may reasonably be required by the Issuer that neither the Legend nor the restrictions on transfer set forth therein is required to ensure compliance with the provisions of the Securities Act or the Investment Company Act. Notes in the form of Definitive Notes may be exchanged or transferred in whole or in part in authorized denominations by surrendering such Definitive Notes at the designated office of the Note Registrar or the Transfer Agent, as the case may be, with a written instrument of transfer and a written certification from the transferor or the transferee in the form provided in the Indenture. With respect to any transfer of a portion of a Definitive Note, the transferor will be entitled to receive, at any aforesaid office, a new Definitive Note representing the principal amount retained by the transferor after giving effect to such transfer. Definitive Notes issued upon any such exchange or transfer (whether in whole or in part) will be made available at the designated office of the Transfer Agent. Definitive Notes issued upon any exchange or registration of transfer of securities will be valid obligations of the Issuer, evidencing the same debt, and entitled to the same benefits, as the Definitive Notes surrendered upon exchange or registration of transfer. The laws of some states require that certain persons take physical delivery of securities in definitive form. Consequently, any transfer of beneficial interests in a Note represented by a Global Note to such persons may require that such interests in a Global Note be exchanged for Definitive Notes. Because DTC can only act on behalf of Participants, which in turn act on behalf of indirect participants and certain banks, the ability of a person having a beneficial interest in a Global Note to pledge such interest to persons or entities that do not participate in the DTC system, or otherwise take actions in respect of such interest, may require that such interest in a Global Note be exchanged for Definitive Notes. Interests in a Global Note will be exchangeable for Definitive Notes only as described above. Settlement Procedures Subject to compliance with the transfer restrictions applicable to the Notes described above and under “Transfer Restrictions,” cross-market transfers between DTC, on the one hand, and directly or indirectly through Euroclear or Clearstream participants, on the other, will be effected in DTC in accordance with DTC rules on behalf of Euroclear or Clearstream, as the case may be, by its respective depositary; however, such cross-market transactions will require delivery of instructions to Euroclear or Clearstream, as the case may be, by the counterparty in such system in accordance with its rules and procedures and within its established deadlines (Brussels time). Euroclear or Clearstream, as the case may be, will, if the transaction meets its settlement requirements, deliver instructions to its respective depositary to take action to effect final settlement on its behalf by delivering or receiving interests in a Regulation S Global Note in DTC and making or receiving payment in accordance with normal procedures for same-day funds settlement applicable to DTC. Clearstream participants and Euroclear participants may not deliver instructions directly to the depositaries of Euroclear or Clearstream. Because of time zone differences, cash received in Euroclear or Clearstream as a result of sales of interests in a Regulation S 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 in DTC. DTC has advised the Issuer that it will take any action permitted to be taken by a Noteholder (including, without limitation, the presentation of Notes for exchange as described above) only at the direction of one or more Participants to whose account with DTC interests in the Global Notes are credited and only in respect of such portion of the aggregate principal amount of the Notes as to which such Participant or Participants has or have given such direction. DTC has advised the Issuer as follows: DTC is a limited-purpose trust company organized under the New York Banking Law, a “banking organization” within the meaning of the New York Banking Law, a member of the Federal Reserve System, 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. DTC was created to hold securities for its Participants and facilitate the clearance and settlement of securities transactions 71

between Participants through electronic book-entry changes in accounts of its Participants, thereby eliminating the need for physical movement of certificates. Participants include securities brokers and dealers, banks, trust companies and clearing corporations and may include certain other organizations. Indirect access to the DTC system is available to others such as banks, brokers, dealers and trust companies that clear through or maintain a custodial relationship with a Participant, either directly or indirectly (“indirect participants”). Although DTC, Euroclear and Clearstream have agreed to the foregoing procedures in order to facilitate transfers of interests in Global Notes among participants of DTC, Euroclear and Clearstream they are under no obligation to perform or continue to perform such procedures, and such procedures may be discontinued at any time. None of the Issuer, the Trustee, the Placement Agents and the Initial Purchaser will have any responsibility for the performance by DTC, Euroclear or Clearstream or their respective participants or indirect participants of their respective obligations under the rules and procedures governing their operations.

No Gross-Up All payments made by the Issuer under the Notes will be made without any deduction or withholding for or on the account of any tax unless such deduction or withholding is required by applicable law, as modified by the practice of any relevant governmental revenue authority, then in effect. If the Issuer is so required to deduct or withhold, then the Issuer will instruct the Trustee to make such deduction or withholding and will pay any such withholding taxes, but will not be obligated to pay any additional amounts in respect of such withholding or deduction.

The Indenture The following summary describes certain provisions of the Indenture. The summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Indenture. Indenture Events of Default An “Indenture Event of Default” is defined in the Indenture as: (i) a default in the payment of (A) any interest on any Class A1 Note, any Class A2 Note or any Class B Note, in each case when the same becomes due and payable, (B) if there are no Class A1 Notes, Class A2 Notes or Class B Notes Outstanding, any interest on any Class C Note when the same becomes due and payable or (C) if there are no Class A1 Notes, Class A2 Notes, Class B Notes or Class C Notes Outstanding, any interest on any Class D Note when the same becomes due and payable, in each case, which default continues for a period of three Business Days; (ii) a default in the payment of any principal or the Redemption Price of any Note at its Stated Maturity or a Redemption Date, which default, in the case of any Quarterly Distribution Date prior to the Final Distribution Date, continues for a period of three Business Days (or which, in the case of a payment default resulting solely from an administrative error or omission by the Trustee, the Administrator, a Paying Agent (other than the Subordinated Note Issuing and Paying Agent) or the Note Registrar, continues for a period of three Business Days); provided that, in the event that the Put Agreement terminates, the issuance and delivery of Class A1 Notes on or after the Put Termination Reissuance Date to existing holders of maturing Class A1 Notes, as payment for all or a portion of the aggregate principal amount of such maturing Class A1 Notes, shall not constitute a default in the payment of principal under this clause (ii); (iii) the failure on any Distribution Date to disburse amounts available in the Payment Account in accordance with the order of priority set forth above under “—Priority of Payments” (other than a default in payment described in clause (i) or (ii) above), which failure continues for a period of three Business Days (or which, in the case of a failure resulting solely from an administrative error or omission by the Trustee, the Collateral Administrator, a Paying Agent (other than the Subordinated Note Issuing and Paying Agent) or the Note Registrar, continues for a period of seven calendar days); 72

(iv) either the Issuer or the pool of Collateral becomes an investment company required to be registered under the Investment Company Act; (v) a default in the performance, or breach, of any other covenant or other agreement (other than the covenant to meet the Collateral Quality Tests or the Coverage Tests) of the Issuer under the Indenture or any representation or warranty of the Issuer made in the Indenture or in any certificate or other writing delivered pursuant thereto or in connection therewith proves to be incorrect in any respect when made, which default, breach or incorrectness has had, or would be reasonably expected to have, a material adverse effect on the holders of the Notes, and the continuation of such default or breach for a period of 30 calendar days (or, if such default, breach or incorrectness has an adverse effect on the validity, perfection or priority of the security interest granted under the Indenture, 15 calendar days) after any of the Issuer or the Collateral Manager has actual knowledge thereof or after notice thereof to the Issuer and the Collateral Manager by the Trustee or to the Issuer, the Collateral Manager and the Trustee by the holders of at least 25% in aggregate outstanding principal amount of Notes of the Controlling Class or the Initial Hedge Counterparty; (vi) certain events of bankruptcy, insolvency, receivership or reorganization of the Issuer (as set forth in the Indenture); (vii) one or more final judgments being rendered against the Issuer that exceed, in the aggregate, U.S.$5,000,000 and which remain unstayed, undischarged and unsatisfied for 30 calendar days after such judgment(s) becomes nonappealable, unless adequate funds have been reserved or set aside for the payment thereof; or (viii) the failure, on any Measurement Date (so long as any Class A1 Notes remain outstanding), of the ratio (expressed as a percentage), calculated by dividing (a) the Net Outstanding Portfolio Collateral Balance on such Measurement Date by (b) the aggregate outstanding principal amount of the Class A1 Notes on such Measurement Date, to equal or exceed 100% (such failure, a “Senior Overcollateralization Default”). If the Issuer obtains actual knowledge that an Indenture Event of Default has occurred and is continuing, the Issuer is obligated to promptly (and in no event later than three Business Days) notify the Trustee, the Subordinated Note Issuing and Paying Agent, the Collateral Manager, the Noteholders, each Hedge Counterparty and each Rating Agency of such Indenture Event of Default in writing. If an Indenture Event of Default (other than an Indenture Event of Default described in clause (vi) above under “Indenture Events of Default”) occurs and is continuing, the Trustee (at the written direction of a Majority of the Controlling Class by written notice to the Trustee and the Issuer) shall or a Majority of the Controlling Class, by written notice to the Issuer and the Trustee, may (A) declare the principal of and accrued and unpaid interest on all of the Notes to be immediately due and payable and (B) terminate the Reinvestment Period. If an Indenture Event of Default described in clause (vi) above under “Indenture Events of Default” occurs, such acceleration will occur automatically without any further action and the Reinvestment Period will automatically terminate. Notwithstanding the foregoing, if the sole Indenture Event of Default is an Indenture Event of Default described in clause (i) or clause (ii) above under “Indenture Events of Default” with respect to a default in the payment of any principal of or interest on the Notes of a Class other than the Controlling Class, neither the Trustee nor the holders of such non-Controlling Class will have the right to declare such principal and other amounts to be immediately due and payable. Any declaration of acceleration may under certain circumstances be rescinded by the holders of at least a Majority of the Controlling Class. If an Indenture Event of Default occurs and is continuing, the Trustee will retain the Collateral intact and collect all payments in respect of the Collateral and continue making payments in the manner described under “— Priority of Payments” unless: (A) the Trustee determines in accordance with the Indenture that the anticipated net proceeds of a sale or liquidation of such Collateral (after deducting the reasonable estimated expenses of such sale or liquidation) would be sufficient, if distributed in accordance with the Priority of Payments, to discharge in full the amounts then due and unpaid on the Notes for principal and interest (including Class C Deferred Interest, Class D Deferred Interest, Defaulted Interest and interest on Defaulted Interest, if any), due and unpaid Administrative 73

Expenses and any accrued and unpaid amounts payable by the Issuer pursuant to any Hedge or the Put Agreement, including termination payments, if any (assuming, for this purpose, that any such agreement has been terminated by reason of an “event of default” or “termination event” thereunder with respect to the Issuer), any accrued and unpaid Collateral Management Fee, and a Majority of the Controlling Class agrees with such determination; or (B) (a) with respect to each Indenture Event of Default other than a Senior Overcollateralization Default, the holders of at least 66 2/3% in aggregate outstanding principal amount of each Class of Notes, voting as separate Classes, or (b) with respect to a Senior Overcollateralization Default, the holders of at least a majority of the aggregate outstanding principal amount of all Classes of Notes, voting as a single Class, and in each case the Hedge Counterparties (unless (x) no early termination or liquidation payment would be owing by the Issuer to any Hedge Counterparty upon the termination thereof by reason of an “event of default” or “termination event” under the related Hedge Agreement with respect to the Issuer or (y) such Hedge Counterparty would be paid in full all amounts owing to it by the Issuer in accordance with the Priority of Payments) direct the sale and liquidation of the Collateral. If an Indenture Event of Default occurs and is continuing and either of the above conditions to liquidating the Collateral are satisfied, the Trustee will (as directed by the Collateral Manager) liquidate the Collateral and terminate each Hedge Agreement and, on the second Business Day (the “Accelerated Maturity Date”) following the Business Day on which it is determined and the Trustee notifies the Issuer and the Collateral Manager, or the Issuer (or the Collateral Manager on its behalf) notifies the Trustee, that such liquidation and such termination is completed, apply the proceeds thereof in accordance with the Priority of Payments described under “—Priority of Payments.” The Accelerated Maturity Date will be treated as a Distribution Date. The holders of a Majority of the Controlling Class will have the right to direct the Trustee in the conduct of any proceedings for any remedy available to the Trustee; provided that (i) such direction will not conflict with any rule of law or the Indenture; (ii) the Trustee may take any other action not inconsistent with such direction; (iii) the Trustee has been provided with indemnity satisfactory to it (and the Trustee need not take any action that it determines might involve it in liability unless it has received such indemnity against such liability); and (iv) any direction to undertake a sale of the Collateral may be made only as described in the preceding paragraphs. Pursuant to the Indenture, as security for the payment by the Issuer of the compensation and expenses of the Trustee and any sums the Trustee may be entitled to receive as indemnification by the Issuer, the Issuer will grant the Trustee a lien on the Collateral, which lien is senior to the lien of the other Secured Parties. The Trustee’s lien will be exercisable by the Trustee only if the Notes have been declared due and payable following an Indenture Event of Default and such acceleration has not been rescinded or annulled. Subject to the provisions of the Indenture relating to the duties of the Trustee, in case an Indenture Event of Default occurs and is continuing, the Trustee will be under no obligation to exercise any of the rights or powers under the Indenture at the request of any holders of any of the Notes, unless such holders have offered to the Trustee security or indemnity reasonably satisfactory to it. The holders of a Majority of the Controlling Class may, prior to the time a judgment or decree for the payment of money due has been obtained by the Trustee, waive any past default on behalf of the holders of all the Notes and its consequences, except a default in the payment of the principal of any Note or in the payment of interest (including any Defaulted Interest and interest on Defaulted Interest, if any) on the Class A1 Notes and the Class A2 Notes or, after the Class A1 Notes and the Class A2 Notes have been paid in full, on the Class B Notes or, after the Class A1 Notes, the Class A2 Notes and the Class B Notes have been paid in full, on the Class C Notes (including interest on Class C Deferred Interest), or, after the Class A1 Notes, the Class A2 Notes, the Class B Notes and Class C Notes have been paid in full, on the Class D Notes (including interest on Class D Deferred Interest) or in respect of a provision of the Indenture that cannot be modified or amended without the waiver or consent of the holder of each outstanding Note affected thereby or arising as a result of an Indenture Event of Default described in clause (vi) above. No holder of a Note will have the right to institute any proceeding with respect to the Indenture unless (i) such holder previously has given to the Trustee written notice of an Indenture Event of Default, (ii) except in certain cases of a default in the payment of principal or interest, the holders of at least 25% in aggregate outstanding 74

principal amount of the Notes of the Controlling Class or any Hedge Counterparty have made a written request upon the Trustee to institute such proceedings in its own name as Trustee and such holders have offered the Trustee indemnity satisfactory to it, (iii) the Trustee has for 30 days failed to institute any such proceeding and (iv) no direction inconsistent with such written request has been given to the Trustee during such 30-day period by the holders of a Majority of the Controlling Class. In determining whether the holders of the requisite percentage of Notes have given any direction, notice, consent or waiver, (i) Notes owned by the Issuer or any affiliate of the Issuer shall be disregarded and deemed not to be outstanding and (ii) Disregarded Securities shall be disregarded and deemed not to be outstanding. Notices Notices to the Noteholders will be given by first-class mail, postage prepaid, to the registered holders of the Notes at their addresses appearing in the Note Register. For so long as any Class of Notes is listed on the Irish Stock Exchange, and so long as the rules of such exchange so require, notices to the holders of the Notes shall also be given by the Trustee to the Irish Paying Agent for delivery to the Company Announcements Office of the Irish Stock Exchange. Modification of the Indenture With the written consent of (x) the holders of not less than a Majority of each Class of Notes materially and adversely affected thereby and a Majority of Subordinated Noteholders (if the Subordinated Notes are materially and adversely affected thereby) (together with an officer’s certificate of the Issuer certifying that such consent has been obtained) and (y) each Hedge Counterparty (to the extent such consent is required under the applicable Hedge Agreement) and the Put Counterparty (to the extent such consent is required under the Put Agreement) delivered by each Hedge Counterparty and the Put Counterparty, as applicable, to the Trustee and the Issuer, the Trustee and the Issuer may enter into one or more supplemental indentures to add any provisions to, or change in any manner or eliminate any of the provisions of, the Indenture or modify in any manner the rights of the holders of the Notes of such Class, the holders of the Subordinated Notes, such Hedge Counterparty or the Put Counterparty, as the case may be, under the Indenture. Unless notified by (i) holders of a Majority of any Class of Notes or a Majority of Subordinated Noteholders that such Class of Notes or the Subordinated Notes will be materially and adversely affected, or (ii) a Hedge Counterparty or the Put Counterparty, as the case may be, that its consent is required in connection with, any supplemental indenture, the Trustee will be entitled to rely on (a) a certificate of the Issuer or the Collateral Manager, provided at the expense of the Issuer or the party requesting such supplemental indenture, as to whether such Class of Notes or the Subordinated Notes would be materially and adversely affected by such change or the consent of such Hedge Counterparty or the Put Counterparty, as the case may be, is required (after giving notice of the proposed change to the holders of such Class of Notes, the Subordinated Noteholders, such Hedge Counterparty and the Put Counterparty) or (b) an opinion of counsel that such supplemental indenture is authorized or permitted pursuant to the terms of the Indenture and all conditions precedent thereto have been complied with. Such determination shall be conclusive and binding on all present and future holders of the Notes, the Subordinated Noteholders, such Hedge Counterparty and the Put Counterparty. Notwithstanding the foregoing or any other provision of the Indenture to the contrary, the Trustee and the Issuer may not enter into any supplemental indenture without the written consent of each holder of each outstanding Note of each Class materially and adversely affected thereby and each Subordinated Noteholder (if the Subordinated Notes are materially and adversely affected thereby) (together with an officer’s certificate of the Issuer certifying that such consent has been obtained), any Hedge Counterparty (to the extent such consent is required under the applicable Hedge Agreement) and the Put Counterparty (to the extent such consent is required under the Put Agreement) if such supplemental indenture: (i) changes the applicable Stated Maturity of the principal of or the due date of any installment of interest on any Note, reduces the principal amount thereof or the rate of interest thereon is computed, or the redemption price with respect thereto, changes the earliest date on which the Issuer may redeem any Note, changes the Priority of Payments so as to affect the application of proceeds of any Collateral to the payment of principal of or interest on the Notes or to the payment of amounts due under any Hedge Agreement or the Put Agreement, changes the time or amount of any distribution payable in respect of the Subordinated Notes, changes the Scheduled 75

Subordinated Note Redemption Date, changes any place where, or the coin or currency in which, any Note or the principal thereof or interest thereon is payable or changes or impairs the right to institute suit for the enforcement of any such payment on or after the applicable Stated Maturity thereof (or, in the case of redemption, on or after the applicable Redemption Date); (ii) reduces the percentage in aggregate outstanding principal amount of holders of Notes of each Class or Subordinated Notes whose consent is required for the authorization of any supplemental indenture or for any waiver of compliance with any provisions of the Indenture or defaults thereunder or their consequences; (iii) impairs or adversely affects the Collateral held by the Issuer, or modifies the covenant restricting the ability of the Issuer to sell or pledge the Collateral, in either case, except as otherwise permitted by the Indenture; (iv) permits the creation of any lien ranking prior to or on a parity with the lien created by the Indenture with respect to any part of the Collateral or terminates such lien on any property at any time subject thereto (other than in connection with a Refinancing or the sale or exchange thereof in accordance with the Indenture) or deprives the holder of any Note of the security afforded by the lien created by the Indenture, in each case, except as otherwise expressly permitted thereby; (v) reduces the percentage of the aggregate outstanding principal amount of holders of Notes of each Class whose consent is required to request that the Trustee preserve the Collateral pledged under the Indenture or rescind the Trustee’s election to preserve the Collateral or to sell or liquidate the Collateral pursuant to the Indenture; (vi) modifies any of the provisions of the Indenture with respect to supplemental indentures requiring the consent of Noteholders or Subordinated Noteholders except to increase the percentage of outstanding Notes and/or Subordinated Notes 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 consent of the holder of each outstanding Note and/or Subordinated Note affected thereby; (vii) (viii) modifies the definition of the term “Outstanding”; increases the permitted minimum denominations of any Class of Notes or Subordinated Notes;

(ix) modifies any of the provisions of the Indenture in such a manner as to affect directly the calculation of the amount of any payment of interest on or principal of any Note or the right of the holders of Notes to the benefit of any provisions for the redemption of such Notes contained therein; or (x) changes the percentages required for any action to be taken, or any consent or waiver to be given, by the Subordinated Noteholders. The Issuer and the Trustee may also enter into supplemental indentures without obtaining the consent of holders of any Notes, the Subordinated Noteholders, any Hedge Counterparty (except to the extent required under the applicable Hedge Agreement) or the Put Counterparty (except to the extent such consent is required under the Put Agreement) in order to: (i) evidence the succession of any person to the Issuer and the assumption by such successor of the covenants in the Indenture and the Notes; (ii) add to the covenants of the Issuer or the Trustee for the benefit of the holders of all of the Notes or to surrender any right or power conferred upon the Issuer; (iii) convey, transfer, assign, mortgage or pledge any property to the Trustee for the benefit of the Secured Parties;

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(iv) evidence and provide for the acceptance of appointment under the Indenture by a successor trustee and to add to or change any of the provisions of the Indenture as shall be necessary to facilitate the administration of the trusts under the Indenture by more than one Trustee; (v) correct or amplify the description of any property at any time subject to the lien created by, or the provisions of, the Indenture, or to better assure, convey and confirm unto the Trustee any property subject or required to be subject to the lien created by, or the provisions of, the Indenture (including, without limitation, any and all actions necessary or desirable as a result of changes in law or regulations) or to subject to the lien created by, or the provisions of, the Indenture any additional property; (vi) modify the restrictions on and procedures for resales and other transfers of the Notes to reflect any changes in applicable law or regulation (or the interpretation thereof) or in accordance with the USA PATRIOT Act or other similar applicable laws or regulations or to enable the Issuer to rely upon any less restrictive exemption from registration under the Securities Act or the Investment Company Act or to remove restrictions on resale and transfer to the extent not required thereunder; (vii) correct any manifest error or any inconsistency, defect or ambiguity in the Indenture, including any inconsistency with any then current Rating Agency methodology; (viii) make non-material administrative changes as the Issuer deems appropriate or make non-material changes to effect the entry into Synthetic Securities that satisfy the requirements of the definition of Synthetic Security with a counterparty that satisfies the requirements of the definition of Synthetic Security Counterparty; (ix) prevent the Issuer, the Noteholders, the Subordinated Noteholders, the Trustee, the Put Counterparty or any Hedge Counterparty from being subject to withholding or other taxes, fees or assessments or to prevent the Issuer from being treated as engaged in a United States trade or business for U.S. federal income tax purposes or otherwise being subject to U.S. federal, state, local or foreign income tax on a net income tax basis (provided that such supplemental indenture will not cause the Noteholders, the Subordinated Noteholders, the Put Counterparty, the Put Counterparty Lender or any Hedge Counterparty to be adversely affected to any material extent by any change to the timing, character or source of the income from the Notes); (x) prevent the Issuer or the Collateral from being required to register as an investment company under the Investment Company Act; (xi) (xii) list any Class of the Notes or the Subordinated Notes on any stock exchange; resolve any inconsistency between the Indenture and the Final Prospectus;

(xiii) authorize the appointment of any listing agent, transfer agent, Paying Agent or additional registrar for any Class of Notes required or advisable in connection with the admission of any such Notes to any stock exchange, and otherwise to amend the Indenture to incorporate any changes required or requested by any governmental authority, stock exchange authority, listing agent, transfer agent, Paying Agent or additional registrar for such Class of Notes in connection therewith; (xiv) accommodate, modify or amend the existing and/or any replacement Hedge Agreements, Put Agreement or Remarketing Agreement or accommodate the Issuer’s entry into one or more additional Hedge Agreements or accommodate, modify, or amend such additional Hedge Agreements or replacements therefor; (xv) (xvi) accommodate the issuance of any Class of Notes as Definitive Notes; to effect a Refinancing in connection with an Optional Redemption or Tax Redemption; or

(xvii) to make any amendment to the Indenture, as may be necessary or advisable to facilitate the issuance, sale, reissuance, redemption or remarketing from time to time, or the eligibility under Rule 2a-7 of the

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Investment Company Act, of the Class A1 Notes, which amendment does not have a material adverse effect on the Class A1 Noteholders or the Put Counterparty Lender. The Trustee may rely upon a certificate of the Issuer or the Collateral Manager or an opinion of counsel that the execution of such supplemental indenture is authorized or permitted by the Indenture and that all conditions precedent thereto have been complied with. The Trustee may not enter into any supplemental indenture without the written consent of the Collateral Manager if such supplemental indenture alters the rights, obligations or liabilities of the Collateral Manager in any respect, and the Collateral Manager will not be bound by any such supplemental indenture, unless the Collateral Manager has consented thereto. The Trustee will not enter into any such supplemental indenture if, with respect to such supplemental indenture, the Rating Condition has not been satisfied; provided that the Trustee may, with the consent of the holders of 100% of the aggregate outstanding principal amount of Notes of each Class, the Put Counterparty and each Hedge Counterparty, enter into any such supplemental indenture notwithstanding any failure to satisfy the Rating Condition. The Trustee shall send each Hedge Counterparty, the Put Counterparty, the Subordinated Note Issuing and Paying Agent, the Collateral Manager and each Rating Agency a copy of any proposed supplemental indenture (or a description of the substance thereof) prior to the execution thereof by the Trustee and shall provide to the Noteholders, the Subordinated Noteholders, each Hedge Counterparty and the Put Counterparty a copy of the executed supplemental indenture (or a description of the substance thereof) after its execution. If any of the Rating Agencies modifies the definitions or calculations relating to (a) the method of calculating any of its respective Collateral Quality Tests (a “Collateral Quality Test Modification”) or (b) any of the Coverage Tests (a “Coverage Test Modification”), in either case in order to correspond with published changes in the guidelines, methodology or standards established by such Rating Agency, the Issuer may incorporate corresponding changes into the Indenture without the consent of any Noteholder or Subordinated Noteholder or other person (i) (A) in the case of a Collateral Quality Test Modification, if the Rating Condition is satisfied with respect to the Rating Agency that made such change or (B) in the case of a Coverage Test Modification, if the Rating Condition is satisfied with respect to each Rating Agency then rating the Notes, and (ii) if notice of such change is delivered by the Collateral Manager to the Trustee and to the holders of the Notes and Subordinated Notes (which notice may be included in the next regular report to Noteholders). Any such Collateral Quality Test Modification or Coverage Test Modification, as the case may be, will be effected without execution of a supplemental indenture provided, however, that such amendment shall be (a) evidenced by a written instrument executed and delivered by the Issuer and the Collateral Manager to the Trustee, (b) accompanied by delivery by the Issuer to the Trustee of (i) an officer’s certificate of the Issuer certifying that such amendment is pursuant to and in compliance with the Indenture and (ii) an opinion of counsel stating that such amendment is authorized or permitted by the Indenture and all conditions precedent have been complied with. Modification of Certain Other Documents Prior to entering into certain amendments to the Account Agreement, the Collateral Management Agreement, the Administration Agreement or any Hedge Agreement, the Issuer is required by the Indenture to obtain the written confirmation of each Rating Agency that the entry by the Issuer into such amendment satisfies the Rating Condition. Prior to entering into any waiver in respect of any of the foregoing agreements, the Issuer is required to provide each Rating Agency, the Collateral Manager, each Hedge Counterparty, the Put Counterparty, the Put Counterparty Lender, the Remarketing Agents and the Trustee with written notice of such waiver. The amendment to and waiver of provisions of the Collateral Management Agreement are also subject to additional restrictions as described herein under “The Collateral Management Agreement.” The Subordinated Note Issuing and Paying Agent, each Hedge Counterparty, the Put Counterparty and each Subordinated Noteholder will be an express third party beneficiary of the Indenture.

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Consolidation, Merger or Transfer of Assets The Issuer shall not consolidate or merge with or into any other entity or transfer or convey all or substantially all of its assets to any entity, unless permitted by Cayman Islands law and consented to in writing by each Hedge Counterparty and unless (i) the Issuer shall be the surviving entity, or the entity (if other than the Issuer) formed by such consolidation or into which the Issuer is merged or to which all or substantially all of the assets of the Issuer are transferred or conveyed shall be an exempted company with limited liability incorporated or, as the case may be, organized and existing under the laws of the Cayman Islands or such other jurisdiction outside the United States as may be approved by holders of a Majority of each Class of Notes, each Hedge Counterparty and the Put Counterparty, and the surviving entity formed by such consolidation or merger shall expressly assume, by a supplemental indenture (and, if necessary, supplements to any other Issuer Documents), executed and delivered to the Trustee, each Hedge Counterparty, each Noteholder, the Put Counterparty and each Rating Agency, the due and punctual payment of the principal of and interest on all Notes and the performance of every covenant of each Issuer Document on the part of the Issuer to be performed or observed, all as provided therein; provided that no such approval shall be required in connection with any such transaction undertaken solely to effect a change in the jurisdiction of organization or a restructuring pursuant to the terms of the Indenture, (ii) each Hedge Counterparty, the Put Counterparty and each Rating Agency shall have received written notification of such consolidation, merger, transfer or conveyance, each Hedge Counterparty and the Put Counterparty shall have given its prior written consent and the Rating Condition shall have been satisfied with respect to the consummation of such transaction, (iii) if the Issuer is not the surviving entity, the entity formed by such consolidation or into which the Issuer is merged or to which all or substantially all of the assets of the Issuer are transferred or conveyed shall have agreed with the Trustee (a) to observe the same legal requirements for the recognition of such formed or surviving entity as a legal entity separate and apart from any of its affiliates as are applicable to the Issuer with respect to its affiliates and (b) not to consolidate or merge with or into any other entity or transfer or convey the Collateral or all or substantially all of its assets to any other entity except in accordance with the provisions set forth in the Indenture, (iv) if the Issuer is not the surviving entity, the entity formed by such consolidation or into which the Issuer is merged or to which all or substantially all of the assets of the Issuer are transferred or conveyed shall have delivered to the Trustee and each Rating Agency an officer’s certificate and an opinion of counsel each stating (A) that such entity shall be duly incorporated or, as the case may be, organized, validly existing and (if applicable) in good standing in the jurisdiction in which such entity is incorporated or, as the case may be, organized; (B) that such entity has sufficient power and authority to assume the obligations set forth in clause (i) above and to execute and deliver a supplemental indenture for the purpose of assuming such obligations; (C) that such entity has duly authorized the execution, delivery and performance of a supplemental indenture for the purpose of assuming such obligations and that such supplemental indenture is a valid, legal and binding obligation of such entity, enforceable in accordance with its terms, subject only to bankruptcy, reorganization, insolvency, moratorium and other laws affecting the enforcement of creditors’ rights generally and to general principles of equity (regardless of whether such enforceability is considered in a proceeding in equity or at law); (D) that, immediately following the event which causes such entity to become the successor to the Issuer, (a) such entity has good and marketable title, free and clear of any lien, security interest or charge, other than the lien and security interest of the Indenture, to the Collateral, (b) the Trustee continues to have a valid perfected first priority security interest in the Collateral securing all of the Notes and (c) such entity has received an opinion of counsel to the effect that such entity will not be subject to net income tax or be treated as engaged in a trade or business within the United States for U.S. Federal income tax purposes; and (E) such other matters as the Trustee or any Noteholder may reasonably require, (v) immediately after giving effect to such transaction, no Indenture Event of Default shall have occurred and is continuing and such transaction will not give rise to an event of default under any Issuer Document, (vi) the Issuer shall have delivered to the Trustee, each Hedge Counterparty, the Put Counterparty and each Noteholder an officer’s certificate and an opinion of counsel each stating that such consolidation, merger, transfer or conveyance and such supplemental indenture comply with the provisions set forth in the Indenture and that all conditions precedent set forth in the Indenture relating to such transaction have been complied with and that no adverse tax consequences will result therefrom to any Noteholder and (vii) the Issuer shall have delivered to the Trustee an opinion of counsel stating that after giving effect to such transaction, neither the pool of Collateral nor the Issuer will be required to register as an investment company under the Investment Company Act.

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Petitions for Bankruptcy The Indenture will provide that the holders of the Notes and the Trustee shall agree not to cause the filing of a petition for winding up or a petition in bankruptcy against the Issuer before one year and one day have elapsed since the final payments to the holders of the Notes and the redemption of the Subordinated Notes or, if longer, the applicable preference period then in effect plus one day, including any period established pursuant to the laws of the Cayman Islands. Discharge of the Lien of the Indenture The lien of the Indenture will be discharged with respect to the Collateral upon delivery to the Trustee for cancellation of all of the Notes or, subject to certain limitations, upon deposit with the Trustee of funds sufficient for the payment of the Notes and the payment by the Issuer of all other amounts due under the Notes, the Indenture, any Hedge Agreements, the Put Agreement, the Administration Agreement and the Collateral Management Agreement. Notwithstanding the discharge of the lien of the Indenture, certain obligations of the Issuer, the Trustee and the Collateral Manager thereunder shall survive until the satisfaction and discharge of the Subordinated Note Issuing and Paying Agency Agreement with respect to those provisions applicable to the Subordinated Notes.

Trustee Deutsche Bank Trust Company Americas will be the Trustee under the Indenture. The Issuer, the Collateral Manager and their respective affiliates may maintain other banking relationships in the ordinary course of business with the Trustee. The payment of the fees and expenses of the Trustee is solely the obligation of the Issuer. The Trustee and its affiliates may receive compensation in connection with the investment of trust assets in certain Eligible Investments as provided in the Indenture. The Eligible Investments may include investments for which the Trustee and/or its affiliates provide services. The Indenture contains provisions for the indemnification of the Trustee for any loss, liability or expense incurred without negligence, willful misconduct or bad faith on its part, arising out of or in connection with the acceptance or administration of the Indenture. Pursuant to the Indenture, the Issuer has granted to the Trustee a lien, a portion of which is senior to that of the holders of Notes, to secure payment (subject to the U.S. Dollar limitations set forth in the Priority of Payments with respect to any Distribution Date) by the Issuer of the compensation and expenses of the Trustee and any sums the Trustee may be entitled to receive as indemnification by the Issuer under the Indenture, which lien the Trustee is entitled to exercise only under certain circumstances. In the Indenture, the Trustee will agree not to cause the filing of a petition for winding up or a petition in bankruptcy against the Issuer for nonpayment to the Trustee of amounts payable thereunder until at least one year and one day, or, if longer, the applicable preference period then in effect, including any period established pursuant to the laws of the Cayman Islands, plus one day, after the payment in full of all of the Notes and the Subordinated Notes. The Trustee may resign at any time by giving written notice thereof to the Issuer, the Noteholders, the Collateral Manager, each Hedge Counterparty, the Put Counterparty, Put Counterparty Lender, each Rating Agency and the Subordinated Note Issuing and Paying Agent. Upon receiving such notice of resignation, the Issuer shall promptly appoint a successor trustee; provided that such successor trustee will be appointed only upon the written consent of the holders of a Majority of the Controlling Class. If no successor trustee shall have been appointed and an instrument of acceptance by a successor trustee shall not have been delivered to the Trustee within 60 days after the giving of such notice of resignation, the resigning Trustee or any holder of a Note, on behalf of itself and all others similarly situated, may petition any court of competent jurisdiction for the appointment of a successor trustee. The Trustee may be removed at any time by the holders of at least 66-2/3% of the aggregate outstanding principal amount of Notes (voting together as a single class) or, at any time when an Indenture Event of Default shall have occurred and is continuing, by the holders of a Majority of the Controlling Class. The Issuer may remove the Trustee, or any holder of a Note may, on behalf of itself and all others similarly situated, petition any court of competent jurisdiction for the removal of the Trustee, if (a) the Trustee ceases to be eligible to act in such capacity under the Indenture and fails to resign after written request therefor by the Issuer or by any holder or (b) the Trustee becomes incapable of acting, is adjudged as bankrupt or insolvent or a receiver or liquidator of the Trustee or if its property is appointed or any public officer takes charge or control of the Trustee or of its property or affairs for the

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purpose of rehabilitation, conservation or liquidation or other analogous circumstance. No resignation or removal of the Trustee will become effective until the acceptance of the appointment of a successor trustee. No successor trustee shall accept its appointment unless (a) at the time of such acceptance such successor shall (i) have a combined capital and surplus of at least U.S.$250,000,000, subject to supervision or examination by federal or state banking authority, having a long-term debt rating of at least “Baa1” by Moody’s (and, if rated “Baa1,” such rating from Moody’s has not been placed on a watch list for possible downgrade) and at least “BBB+” by Standard & Poor’s and a short-term debt rating of “P-1” by Moody’s (and such rating from Moody’s has not been placed on a watch list for possible downgrade) and (ii) be qualified and eligible pursuant to the provisions of the Indenture, (b) the Rating Condition with respect to the appointment of such successor trustee shall have been satisfied and (c) each Hedge Counterparty and the Put Counterparty shall have consented in writing with respect to the appointment of such successor trustee. No appointment of a successor trustee shall become effective if a Majority of the Controlling Class objects to such appointment; and no appointment of a successor trustee shall become effective until the date ten days after notice of such appointment has been given to each Noteholder. For so long as any Notes are listed on the Irish Stock Exchange, the Issuer shall send the Irish Paying Agent, for delivery to the Irish Stock Exchange, notice of the appointment of any successor trustee within 10 Business Days of such appointment.

Characterization of the Notes The Issuer intends to treat the Notes as debt instruments of the Issuer for U.S. Federal, state and local income tax purposes. The Indenture will provide that each holder of a Note, by accepting such Note, agrees to such treatment and agrees to report all income (or loss) in accordance with such characterization, and not to take any action inconsistent with such characterization unless otherwise required by any tax authority under applicable law. See “Tax Considerations—U.S. Federal Tax Considerations—Tax Treatment of U.S. Holders of Notes.”

Governing Law The Indenture, the Account Agreement, the Subordinated Note Issuing and Paying Agency Agreement, the Investor Application Letters, the Notes, the Subordinated Notes, the Purchase and Placement Agreement, the Put Agreement, the Remarketing Agreement, each Hedge Agreement, each Investor Application Letter for the Class D Notes and the Collateral Management Agreement will be governed by, and construed in accordance with, the law of the State of New York. The Issuer Charter, the Declaration of Trust and the Administration Agreement will be governed by, and construed in accordance with, the law of the Cayman Islands.

Trustee Reports The Indenture provides that the Issuer, or the Collateral Administrator or the Trustee on its behalf, will prepare both a monthly and a quarterly report (collectively, the “Note Valuation Report”) containing certain information regarding, among other things, the characteristics and performance of the Collateral Debt Securities included in the Collateral and the aggregate outstanding principal amount of, and payments of interest on or principal of, the Notes. The Trustee will make available the Note Valuation Report via its internet website, initially located at https://www.tss.db.com/invr. All information made available on the Trustee’s internet website will be restricted by password and the Trustee will only provide access to such information to the Issuer, each Rating Agency, the Collateral Manager, the Put Counterparty, the Irish Paying Agent and the Company Announcements Office of the Irish Stock Exchange (so long as any Notes are listed thereon), each Hedge Counterparty, each holder of a Security shown on the Note Register or the Subordinated Note Register, the Subordinated Note Issuing and Paying Agent, each Transfer Agent and, upon written request by a holder of a beneficial interest in a Security certifying that it is a holder of a beneficial interest in any Security, to such holder of a beneficial interest in a Security. Questions regarding the Trustee’s internet website can be directed to the Trustee’s investor relations desk at 800-735-7777. The Trustee’s internet website does not form part of this Prospectus.

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DESCRIPTION OF THE SUBORDINATED NOTES The Subordinated Notes will be non-recourse debt obligations of the Issuer and will be issued in accordance with the Subordinated Note Issuing and Paying Agency Agreement and will be subject to the related Investor Application Letter. The following summary describes certain provisions of the Subordinated Notes, the Subordinated Note Issuing and Paying Agency Agreement and the related Investor Application Letters. This summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Subordinated Note Issuing and Paying Agency Agreement and the Investor Application Letters. Copies of the Subordinated Note Issuing and Paying Agency Agreement may be obtained by prospective investors upon request in writing to the Subordinated Note Issuing and Paying Agent at Deutsche Bank Trust Company Americas, 1761 East St. Andrew Place, Santa Ana, California 92705, Attention: CDO Business Unit–AArdvark ABS CDO 2007-1.

Status The Issuer is authorized to issue U.S.$10,500,000 Subordinated Notes, which will be issued on the Closing Date. The Subordinated Notes will rank pari passu among themselves with respect to distributions. The Subordinated Notes are limited-recourse debt obligations of the Issuer and are not secured by the Collateral.

Distributions On each Quarterly Distribution Date, to the extent funds are available therefor, Interest Proceeds will be released from the lien of the Indenture for payment to the Subordinated Note Issuing and Paying Agent only after the payment of interest on the Notes and, in certain circumstances, principal due in respect of the Notes and the payment of certain other amounts in accordance with the Priority of Payments. Any Interest Proceeds permitted to be released from the lien of the Indenture and paid to the Subordinated Note Issuing and Paying Agent in accordance with the Priority of Payments will be distributed to the Subordinated Noteholders on each Quarterly Distribution Date. Until the Notes and certain other amounts have been paid in full, Principal Proceeds are not permitted to be released from the lien of the Indenture and will not be available to make distributions in respect of the Subordinated Notes. Any amounts released from the lien of the Indenture as aforesaid shall no longer form part of the Collateral. See “Description of the Notes—Priority of Payments” and “Security for the Notes.” Distributions on any Subordinated Note will be made to the person in whose name such Subordinated Note is registered on the Record Date. Payments will be made by wire transfer in immediately available funds to a U.S. Dollar account maintained by the holder thereof appearing in the Subordinated Note Register in accordance with wire transfer instructions received from such holder by the Subordinated Note Issuing and Paying Agent on or before the Record Date or, if no wire transfer instructions are received by the Subordinated Note Issuing and Paying Agent, by a U.S. Dollar check drawn on a bank in the United States. Final distributions or payments made in the course of a winding up will be made only against surrender of the certificate representing such Subordinated Notes at the office designated by the Subordinated Note Registrar. If any of the Coverage Tests are not satisfied on the Determination Date related to any Quarterly Distribution Date, funds that would otherwise be distributed to Subordinated Noteholders (subject to the payment of certain other amounts prior thereto) will be used instead to repay principal of the Notes as set forth under the Priority of Payments, to the extent and as described herein. In addition, if the Issuer is unable to obtain a Rating Confirmation from each Rating Agency, funds that would otherwise be distributed to the Subordinated Noteholders (subject to the payment of certain other amounts prior thereto) on the first Quarterly Distribution Date following a Rating Confirmation Failure (and on each Quarterly Distribution Date thereafter, if required) will be used to redeem, first, the Class A1 Notes, second, the Class A2 Notes, third, the Class B Notes, fourth, the Class C Notes and fifth, the Class D Notes, to the extent specified by each Rating Agency to obtain a Rating Confirmation from such Rating Agency. See “Description of the Notes—Priority of Payments.” The Subordinated Notes will be redeemed (in whole but not in part) on the Scheduled Subordinated Note Redemption Date (if not redeemed earlier) after payment in full of the Notes and after payment of all amounts 82

payable under the Priority of Payments prior to the payment of the Subordinated Notes, at the Subordinated Note Redemption Amount.

Optional Redemption On any Quarterly Distribution Date on or after the Quarterly Distribution Date on which the Notes have been paid in full, the Subordinated Notes may be redeemed (in whole but not in part) at the written direction of a Majority of Subordinated Noteholders given not less than 45 days prior to such Distribution Date at a redemption price per share equal to (x) the proceeds of the liquidation of the Issuer less the sum of (i) the costs and expenses of such liquidation, (ii) any amounts payable to the creditors of the Issuer (including amounts in respect of the redemption of the Notes and all other amounts payable prior to the Subordinated Notes pursuant to the Priority of Payments and all contingent, unliquidated liabilities or obligations of the Issuer) and (iii) U.S.$2,000 (consisting of the nominal amount paid up on the ordinary shares and a profit fee of U.S.$1.00 per ordinary share) divided by (y) the outstanding number of Subordinated Notes. The Subordinated Notes will also be redeemable pursuant to an Auction Call Redemption, as set forth under “Description of the Notes—Auction Call Redemption.”

The Subordinated Note Issuing and Paying Agency Agreement The following summary describes certain provisions of the Subordinated Note Issuing and Paying Agency Agreement and other Issuer Documents. The summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Subordinated Note Issuing and Paying Agency Agreement and such other documents. Notices Any notice or document may be served by the Issuer on any Subordinated Noteholder either personally or by sending it by facsimile or through the post as a first-class, prepaid letter addressed to such Subordinated Noteholder at his address as appearing in the Subordinated Note Register. Notices sent by facsimile shall be followed by a copy sent by prepaid first class mail. Voting Rights Set forth below is a summary of certain matters with respect to which Subordinated Noteholders are entitled to vote (which may be pursuant to the Indenture, the Subordinated Note Issuing and Paying Agency Agreement or some other Issuer Document). This summary is not meant to be an exhaustive list, and, subject to covenants made by each Subordinated Noteholder in the related Investor Application Letters (in the case of initial purchasers of the Subordinated Notes) and in the transfer certificates (in the case of transferees of the Subordinated Notes) or, in certain cases, deemed to be made by Subordinated Noteholders, the Indenture, the Subordinated Note Issuing and Paying Agency Agreement and certain other Issuer Document afford Subordinated Noteholders of the Issuer the right to vote on matters in addition to those mentioned below. Redemption of the Notes. On any Quarterly Distribution Date occurring in or after July 2010 (or occurring after a Tax Event), the Notes may, subject to satisfaction of certain conditions described herein, be redeemed (in whole but not in part) at the written direction of a Majority of Subordinated Noteholders or, in the case of a Tax Redemption, (i) at the written direction of an Affected Class or (ii) at the written direction of a Majority of Subordinated Noteholders, as described under “Description of the Notes—Optional Redemption and Tax Redemption.” Redemption of the Subordinated Notes. On any Quarterly Distribution Date on or after the Quarterly Distribution Date on which the Notes have been paid in full, the Subordinated Notes may be redeemed (in whole but not in part) at the written direction of a Majority of Subordinated Noteholders, as described under “—Optional Redemption.” 83

The Indenture. The Issuer is not permitted to enter into a supplemental indenture (other than a supplemental indenture that does not require the consent of Noteholders) without the consent of a Majority of Subordinated Noteholders (if the Subordinated Notes are materially and adversely affected thereby). As more fully described under “Description of the Notes—The Indenture—Modification of the Indenture,” the Issuer is not permitted to enter into a supplemental indenture without the consent of all of the Subordinated Noteholders (if the Subordinated Notes are materially and adversely affected thereby) if such supplemental indenture would have the effect of (among other things) (i) changing the Priority of Payments so as to affect the application of proceeds of any Collateral to the payment of principal of and interest on any Class of Notes; (ii) changing the applicable Stated Maturity of any Class of Notes or changing the time or amount of any distribution payable in respect of the Subordinated Notes; (iii) changing the earliest date on which the Issuer may redeem any Note; (iv) impairing or adversely affecting the Collateral held by the Issuer (except as otherwise expressly permitted by the Indenture); (v) permitting the creation of any lien ranking prior to or on a parity with the lien of the Indenture with respect to any part of the Collateral (other than in connection with a Refinancing or the sale or exchange thereof in accordance with the Indenture) or depriving any holder of a Note of the security afforded by the lien of the Indenture (except as otherwise expressly permitted by the Indenture); or (vi) changing the percentages of Subordinated Noteholders whose consent is required for any supplemental indenture (except to increase such percentage). The Subordinated Note Issuing and Paying Agency Agreement. The Issuer is not permitted to consent to any amendment of the Subordinated Note Issuing and Paying Agency Agreement without the consent of holders of 100% of the aggregate principal amount of Subordinated Notes if such amendment would (i) reduce in any manner the amount of, or delay the timing of, or change the allocation or currency of, the payment of any distributions on the Subordinated Notes or (ii) reduce the voting percentage of Subordinated Noteholders required to consent to any amendment to the Subordinated Note Issuing and Paying Agency Agreement. Modification of the Issuer Charter As a general matter of Cayman Islands law, the Issuer Charter may be amended by special resolution of the holders of the ordinary shares. The Issuer has covenanted in the Indenture that it shall not amend the Issuer Charter unless the Rating Condition has been satisfied with respect to such amendment. Dissolution; Liquidating Distributions The Directors of the Issuer currently intend, in the event that the Subordinated Notes are not redeemed at the option of a Majority of Subordinated Noteholders following the repayment in full of the Notes, to liquidate all of the Issuer’s remaining investments in an orderly manner and distribute the proceeds of such liquidation to the Subordinated Noteholders. However, there can be no assurance that the Notes will be repaid before their respective Stated Maturities. See “Maturity, Prepayment and Yield Considerations” and “Risk Factors—Average Life and Prepayment Considerations.” As soon as practicable following the commencement of the winding-up of the Issuer, its assets will be sold or distributed. Subject to the terms of the Indenture and the Subordinated Note Issuing and Paying Agency Agreement, the assets of the Issuer will be applied in a winding-up in the following order of priority without duplication of the distributions described under “Description of the Notes—Priority of Payments”: (1) (2) (3) (4) first, to pay the costs and expenses of the winding up, liquidation and termination of the Issuer; second, to creditors of the Issuer, in the order of priority provided by law, including fees payable to the Collateral Manager or its Affiliates; third, to pay unliquidated liabilities of the Issuer; fourth, to pay the holders of the ordinary shares the nominal amount paid up thereon and the additional sum of U.S.$2.00 per ordinary share; and

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(5)

fifth, to pay to the Subordinated Noteholders the balance remaining.

Consolidation, Merger or Transfer of Assets Except under the limited circumstances set forth in the Indenture, the Issuer may not consolidate with, merge into, or transfer or convey all or substantially all of its assets to, any other corporation, partnership, trust or other person or entity. See “Description of the Notes—The Indenture—Consolidation, Merger or Transfer of Assets.”

Petitions for Bankruptcy Each initial purchaser of Subordinated Notes will be required to covenant in an Investor Application Letter (and each transferee of Subordinated Notes will be deemed to covenant or be required to covenant in a transfer certificate) that it will not cause the filing of a petition for winding up or a petition in bankruptcy against the Issuer before one year and one day have elapsed since the final payments to the holders of the Notes and the redemption of all Subordinated Notes or, if longer, the preference period then in effect (plus one day).

Characterization of the Subordinated Notes The Issuer intends to treat the Subordinated Notes as equity interests in the Issuer for U.S. Federal, state and local income tax purposes. The Subordinated Note Issuing and Paying Agency Agreement will provide that each holder of a Subordinated Note, by accepting a Subordinated Note, agrees to such treatment and agrees to report all income (or loss) in accordance with such characterization, and not to take any action inconsistent with such characterization unless otherwise required by any tax authority under applicable law. See “Tax Considerations— U.S. Federal Tax Considerations—Tax Treatment of U.S. Holders of Subordinated Notes.”

Governing Law Each Investor Application Letter for the Subordinated Notes, the Subordinated Notes and the Subordinated Note Issuing and Paying Agency Agreement will be governed by, and construed in accordance with, the law of the State of New York.

Form, Registration and Transfer General The Subordinated Notes sold in offshore transactions in reliance on Regulation S under the Securities Act will be represented by one or more permanent global Subordinated Notes (“Regulation S Global Subordinated Notes” and together with the Regulation S Global Notes, “Regulation S Global Securities”) in definitive, fully registered form without interest coupons deposited with the Subordinated Note Issuing and Paying Agent as custodian for, and registered in the name of a nominee of, DTC for the respective accounts of Euroclear and/or Clearstream. Beneficial interests in a Regulation S Global Subordinated Note may be held only through Euroclear or Clearstream. Beneficial interests in a Regulation S Global Subordinated Note may not be held by a U.S. Person at any time. The Subordinated Notes offered in the United States in reliance upon an exemption from the registration requirements of the Securities Act (“Restricted Subordinated Notes”) will be issued to the legal owner thereof in definitive, fully registered, certificated form without interest coupons, registered in the name of the legal owner thereof. The Subordinated Notes will be subject to certain restrictions on transfer as set forth herein, in the Subordinated Note Issuing and Paying Agency Agreement and in the Investment Company Act and such 85

Subordinated Notes will bear the legends regarding the restrictions set forth under “Transfer Restrictions.” The Subordinated Notes may not be sold or resold in the United States to persons other than Qualified Institutional Buyers or Accredited Investors (purchasing such Subordinated Notes from the Initial Purchaser in connection with the initial distribution thereof) who, in either case, are also Qualified Purchasers, who purchase such Subordinated Notes for their own account. The Subordinated Notes are not issuable in bearer form. The Subordinated Notes will be subject to the restrictions on transfer set forth under “―Transfer and Exchange of Subordinated Notes,” “ERISA Considerations” and “Transfer Restrictions.” Subordinated Notes may not be transferred if, after giving effect to such transfer, the transferee (or, if the transferor retains any Subordinated Notes, the transferor) would own less than U.S.$250,000 in aggregate principal amount of Subordinated Notes. Pursuant to the Subordinated Note Issuing and Paying Agency Agreement, Deutsche Bank Trust Company Americas will be appointed and serve as the Subordinated Note Issuing and Paying Agent and will be appointed and will serve as the registrar with respect to the Subordinated Notes (the “Subordinated Note Registrar”) and will provide for the registration of Subordinated Notes and the registration of transfers of Subordinated Notes in the register maintained by it on behalf of the Issuer (the “Subordinated Note Register”). Written instruments of transfer will be available at the office designated by the Subordinated Note Registrar. Transfer and Exchange of Subordinated Notes A beneficial interest in a Regulation S Global Subordinated Note may be transferred to a U.S. Person in the form of a Restricted Subordinated Note to a Qualified Institutional Buyer who is also a Qualified Purchaser upon receipt by the Subordinated Note Issuing and Paying Agent of a written certification from the transferee in the form provided in the Subordinated Note Issuing and Paying Agency Agreement to the effect that, among other things, the transfer is being made in a transaction meeting the requirements of Rule 144A under the Securities Act and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction. A Restricted Subordinated Note may be transferred to a person who takes delivery in the form of an interest in a Regulation S Global Subordinated Note only upon receipt by the Subordinated Note Issuing and Paying Agent of a written certification from the transferor in the form provided in the Subordinated Note Issuing and Paying Agency Agreement to the effect that, among other things, the transfer is being made to a non-U.S. Person and in accordance with Regulation S under the Securities Act. Transfers by a holder of a Restricted Subordinated Note to a transferee who takes delivery of a Restricted Subordinated Note will be made only upon receipt by the Issuer and the Subordinated Note Issuing and Paying Agent of written certifications from the transferee in the forms provided in the Subordinated Note Issuing and Paying Agency Agreement to the effect that, among other things, transfer is being made in a transaction meeting the requirements of Rule 144A under the Securities Act and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction. An owner of a beneficial interest in a Regulation S Global Subordinated Note may transfer such beneficial interest to a transferee acquiring a beneficial interest in such Regulation S Global Subordinated Note without providing a transfer certificate; provided that (1) such transfer is not made to a U.S. Person or for the account or benefit of a U.S. Person and is effected through Euroclear or Clearstream in an offshore transaction in accordance with Rules 903 and 904 of Regulation S, (2) such transferee shall be deemed to make the representations set forth in the legend on such Regulation S Global Subordinated Note and the applicable transfer certificate provided in the Subordinated Note Issuing and Paying Agency Agreement and (3) such transfer is made in compliance with the transfer restrictions set forth in the Subordinated Note Issuing and Paying Agency Agreement, including the requirement that no transfer may be made to a Benefit Plan Investor. Restricted Subordinated Notes may be exchanged or transferred in authorized minimum denominations by surrendering the certificate representing such Restricted Subordinated Notes at the office designated by the Subordinated Note Issuing and Paying Agent with a written instrument of transfer (in the case of a transfer) or a written request for exchange (in the case of an exchange) as provided in the Subordinated Note Issuing and Paying Agency Agreement. With respect to any transfer of a portion of Restricted Subordinated Notes held by a transferor, the transferor will be entitled to receive, at any aforesaid office, new Restricted Subordinated Note certificates 86

representing the aggregate principal amount of Subordinated Notes (which may not be less than U.S.$250,000) retained by the transferor after giving effect to such transfer. Restricted Subordinated Notes issued upon any such exchange or transfer will be made available at the office designated by the Subordinated Note Issuing and Paying Agent. No transfer of a Subordinated Note to a transferee may be made to a Benefit Plan Investor, and none of the Issuer, the Subordinated Note Registrar and the Subordinated Note Issuing and Paying Agent will recognize any such transfer if the transferee is a Benefit Plan Investor. If, notwithstanding the foregoing restrictions, the Issuer determines that any holder of a Restricted Subordinated Note is not both a Qualified Purchaser and a Qualified Institutional Buyer (unless such holder is an Accredited Investor that purchased such Subordinated Note from the Initial Purchaser in connection with the initial distribution thereof), then the Issuer shall require, by notice to such holder, that such holder sell all of its right, title and interest to such Subordinated Note to a person that is (a) both a Qualified Purchaser and a Qualified Institutional Buyer or (b) not a U.S. Person (by exchange for a beneficial interest in a Regulation S Global Subordinated Note), in either case with such sale to be effected within 30 calendar days after notice of such sale requirement is given. If such holder fails to effect the transfer required within such 30-day calendar period, (i) upon direction from the Issuer, the Subordinated Note Issuing and Paying Agent (on behalf of the Issuer and at the expense of such holder (which expense may be deducted from the sale proceeds described below)) shall cause such holder’s interest in such Subordinated Notes to be transferred in a commercially reasonable sale (conducted by an investment banking firm selected by the Subordinated Note Issuing and Paying Agent on behalf of the Issuer) to a person that certifies to the Subordinated Note Issuing and Paying Agent and the Issuer in connection with such transfer, that such person (a) is both a Qualified Purchaser and a Qualified Institutional Buyer or (b) is not a U.S. Person and (ii) pending such transfer, no payments will be made on such Subordinated Notes from the date notice of the sale requirement is sent to the date on which such Subordinated Notes are sold and such Subordinated Notes shall be deemed not to be outstanding for the purposes of any vote, consent or direction of the Subordinated Noteholders (and shall not be taken into account for the purposes of calculating any quorum or majority requirements relating thereto (such Subordinated Notes shall be deemed Disregarded Securities)). The Subordinated Note Issuing and Paying Agency Agreement provides that if, notwithstanding the restrictions on transfer contained therein (A) a Benefit Plan Investor has acquired Subordinated Notes (directly from the Initial Purchaser or as a transferee) or (B) a holder of Subordinated Notes is or is deemed to be a Benefit Plan Investor in contravention of its representation to the contrary, the Issuer shall require, by notice to such Benefit Plan Investor, that such Benefit Plan Investor sell all of its right, title and interest in or to such Subordinated Notes in accordance with the Subordinated Note Issuing and Paying Agency Agreement, with such sale to be effected within 30 calendar days after notice of such sale requirement is given. If such Benefit Plan Investor fails to effect the transfer required within such 30-day calendar period, upon direction from the Issuer, the Subordinated Note Issuing and Paying Agent (on behalf of the Issuer and at the expense of such Benefit Plan Investor (which expense may be deducted from the sale proceeds described below)) shall cause, and is hereby irrevocably authorized by such Benefit Plan Investor to cause, its interest in such Subordinated Notes to be transferred in a commercially reasonable sale (conducted by an investment banking firm selected by the Subordinated Note Issuing and Paying Agent on behalf of the Issuer) to a person that certifies to the Issuer and the Subordinated Note Issuing and Paying Agent in connection with such transfer, that such transfer complies with the requirements of the Subordinated Note Issuing and Paying Agency Agreement and the legend on such Subordinated Notes and that such person is not a Benefit Plan Investor. Pending such transfer, no payments will be made on such Subordinated Notes from the date notice of the sale requirement is sent to the date on which such Subordinated Notes are sold and such Subordinated Notes shall be deemed not to be outstanding for the purposes of any vote, consent or direction of the Subordinated Noteholders (and shall not be taken into account for the purposes of calculating any quorum or majority requirements relating thereto (such Subordinated Notes shall be deemed Disregarded Securities)). The Subordinated Note Registrar will effect exchanges and transfers of Subordinated Notes. In addition, the Subordinated Note Registrar will keep in the Subordinated Note Register records of the ownership, exchange and transfer of the Subordinated Notes. No service charge will be made for exchange or registration of transfer of any Subordinated Note, but the Subordinated Note Issuing and Paying Agent on behalf of the Issuer may require payment of a sum sufficient to 87

cover any tax or other governmental charge payable in connection therewith and expenses of delivery (if any) not made by regular mail. See “Transfer Restrictions.” The Issuer may impose additional transfer restrictions to comply with the USA PATRIOT Act and any other similar laws and regulations, to the extent that they are applicable to the Issuer, and each holder of Subordinated Notes will be required to comply with such transfer restrictions.

No Gross-Up All distributions and return of capital on the Subordinated Notes will be made without any deduction or withholding for or on account of any tax unless such deduction or withholding is required by any applicable law, as modified by the practice of any relevant governmental revenue authority, then in effect. If the Issuer is so required to deduct or withhold, then the Issuer will instruct the Subordinated Note Issuing and Paying Agent to make such deduction or withholding and will pay any such withholding taxes, but will not be obligated to pay any additional amounts in respect of such withholding or deduction.

USE OF PROCEEDS The gross proceeds received from the issuance and sale of the Securities and the entry into the Initial Hedge Agreements will be approximately U.S.$1,518,500,000. The net proceeds from the issuance and sale of the Securities and the entry into the Initial Hedge Agreements are expected to be approximately U.S.$1,504,500,000. Net proceeds reflect the payment from gross proceeds of organizational and structuring fees and expenses of the Issuer (including, without limitation, the legal fees and expenses of counsel to the Issuer, the Placement Agents, the Initial Purchaser, the Initial Hedge Counterparty, the Collateral Manager and Deutsche Bank Trust Company Americas in its various capacities), the expenses of offering the Securities (including placement agency fees, Remarketing Agent fees, rating agency fees and other purchase concessions payable in connection with the placement of the Securities) and the initial deposit into the Expense Account of U.S.$100,000, all of which will be paid through application of proceeds of the Initial Hedge Agreements. It is expected that the total expenses relating to the application for admission of the Notes to the Official List of the Irish Stock Exchange and to trading on its regulated market will be approximately €20,000. The net proceeds of the offering will be used by the Issuer to purchase a diversified portfolio of Asset-Backed Securities consisting primarily of RMBS Securities, CDO Securities, CMBS Securities, other Asset-Backed Securities and related Synthetic Securities, in each case satisfying the investment criteria described herein. On the Closing Date, the Issuer will have purchased (or entered into agreements to purchase for settlement following the Closing Date) Collateral Debt Securities having an aggregate par amount of not less than U.S.$1,275,000,000. The Issuer expects that, no later than the Ramp-Up Completion Date, it will have purchased Collateral Debt Securities having an aggregate par amount of approximately U.S.$1,500,000,000 (the “Aggregate Ramp-Up Par Amount”). Any such proceeds not invested in Collateral Debt Securities or deposited into the Expense Account will be deposited by the Trustee in the Uninvested Proceeds Account and invested in Eligible Investments pending the use of such proceeds for the purchase of Collateral Debt Securities, as described herein, and, in certain limited circumstances described herein, for the payment of the Notes. See “Security for the Notes.”

RATINGS OF THE SECURITIES It is a condition to the issuance of the Securities that the Class A1 Notes be rated “P-1” by Moody’s and at least “A-1” by Standard & Poor’s, that the Class A2 Notes be rated “Aaa” by Moody’s and “AAA” by Standard & Poor’s, that the Class B Notes be rated at least “Aa2” by Moody’s and at least “AA” by Standard & Poor’s, that the Class C Notes be rated at least “A2” by Moody’s and at least “A” by Standard & Poor’s and that the Class D Notes be rated at least “Baa2” by Moody’s and at least “BBB” by Standard & Poor’s. The Subordinated Notes will be rated by Standard & Poor’s and are expected to have a rating of at least “BB+”, solely as to ultimate payment of Subordinated Note Rated Principal. The "P-1" rating assigned by Moody's to the Class A1 Notes addresses the timely payment of interest and the payment of principal on the Put Agreement Settlement Date relating to each MM 88

Stated Maturity. “Put Agreement Settlement Date” means, with respect to any MM Stated Maturity, the Settlement Date under (and as defined in) the Put Agreement relating to such MM Stated Maturity, which Settlement Date, subject to delivery to the Put Counterparty and the Put Counterparty Lender of a payment notice in accordance with the Put Agreement, shall occur on such MM Stated Maturity or, in the event of a Settlement Failure, on the Settlement Failure Reissuance Date that occurs two Business Days thereafter. The Issuer will request that each Rating Agency confirm, no later than 30 days after receiving a Ramp-Up Notice, that such Rating Agency has not reduced or withdrawn the ratings (including any shadow, private or confidential ratings) assigned by it on the Closing Date, if any, to the Class A1 Notes, the Class A2 Notes, the Class B Notes, the Class C Notes and the Class D Notes (a “Rating Confirmation”); provided that the accountant’s report certifying the procedures and findings (with respect to certain of the Eligibility Criteria and Portfolio Concentration Limitations) delivered to Moody’s pursuant to the Indenture shall constitute Rating Confirmation with respect to Moody’s if, on the Ramp-Up Completion Date, each Collateral Quality Test (other than the Standard & Poor’s CDO Monitor Test) and each Coverage Test is satisfied. In the event of a Rating Confirmation Failure, the Issuer will prepay principal of the Notes on the next Quarterly Distribution Date as and to the extent specified by a Rating Agency in order for it to confirm the rating assigned by it on the Closing Date to such Class of Notes. As a result, interest on the Class C Notes and the Class D Notes (and distributions on the Subordinated Notes) may not be paid on such Quarterly Distribution Date. In the event that a Rating Confirmation has not been obtained but no Rating Agency has specified that any portion of the Interest Proceeds, Principal Proceeds and/or Uninvested Proceeds be applied to the repayment of Notes in order to obtain a Rating Confirmation, there will be no redemption of Notes on the Quarterly Distribution Date following the Rating Confirmation Failure (or on any subsequent Distribution Date) as a result of a Rating Confirmation Failure. See “Description of the Notes—Mandatory Redemption” and “—Priority of Payments.” To the extent required by applicable stock exchange rules, the Issuer will inform any such exchange on which any of the Notes are listed if any rating assigned by Moody’s or Standard & Poor’s to such Notes is reduced or withdrawn.

MATURITY, PREPAYMENT AND YIELD CONSIDERATIONS As stated elsewhere herein, the redemption of the Subordinated Notes will not occur until the Notes have been paid in full. The Stated Maturity of each Class of Notes (other than the Class A1 Notes) is the July 2047 Quarterly Distribution Date. The stated maturity of the Class A1 Notes issued on the Closing Date or any MM Reissuance Date is the earlier of (a) the latest Quarterly Distribution Date occurring on or prior to the date that is 364 days after such date of issuance (which will be either the third or the fourth Quarterly Distribution Date after such date of issuance) and (b) the July 2047 Quarterly Distribution Date; provided that with respect to the Put Counterparty Acquired Notes, the stated maturity of any new Class A1 Notes issued and sold to investors by the Remarketing Agents pursuant to the Remarketing Agreement, at the request of the Put Counterparty, in order to redeem such Put Counterparty Acquired Notes, as applicable, on any Distribution Date occurring prior to the MM Stated Maturity of such Put Counterparty Acquired Notes, will be the same MM Stated Maturity as the Put Counterparty Acquired Notes being so redeemed; provided further, that with respect to Tendered Class A1 Notes, the stated maturity of any new Class A1 Notes issued and sold to investors by the Remarketing Agents pursuant to the Remarketing Agreement, at the request of the holder of such Tendered Class A1 Notes, in order to redeem such Tendered Class A1 Notes on the related Quarterly Tender Date, shall be the same MM Stated Maturity as the Tendered Class A1 Notes being so redeemed; provided further, that the stated maturity of any Class A1 Extended Note will be the July 2047 Quarterly Distribution Date. The Notes will mature at their applicable Stated Maturity unless redeemed or repaid prior thereto. The Subordinated Notes will be redeemed on the July 2047 Quarterly Distribution Date unless redeemed on an earlier date. However, the average lives of the Notes may be less than the number of years until the applicable Stated Maturity, and the duration of the Subordinated Notes may be less than the number of years until the Scheduled Subordinated Note Redemption Date. Accordingly, prospective investors should make their own determinations of the expected weighted average lives and maturity of the Notes and, accordingly, their own evaluation of the merits and risks of an investment in the Notes or the Subordinated Notes. See “Risk Factors—Average Life and Prepayment Considerations.” Average life refers to the average number of years that will elapse from the date of delivery of a security until each Dollar of the principal of such security will be paid to the investor. 89

The actual average lives of the Notes will also be determined by the amount and frequency of principal payments, which are dependent upon any payments received at or in advance of the scheduled maturity of Collateral Debt Securities (whether through prepayment, sale, maturity, redemption, default or other liquidation or disposition). The actual average lives of the Notes will also be affected by the financial condition of the obligors of the assets underlying the Collateral Debt Securities and the characteristics of such obligations, including the existence and frequency of exercise of any optional or mandatory redemption or prepayment features, the prevailing level of interest rates, their redemption price, the actual default rate and the actual level of recoveries on any Defaulted Securities and the frequency of tender or exchange offers for such Collateral Debt Securities, as well as the characteristics of Collateral Debt Securities acquired by the Issuer following the Closing Date. Any disposition of a Collateral Debt Security may change the composition and characteristics of the Collateral Debt Securities and the rate of payment thereon, and, accordingly, may affect the actual average lives of the Notes. The rate of future defaults and the amount and timing of any cash realization from Defaulted Securities also will affect the actual average lives of the Notes. The timing and amount of distributions payable to Subordinated Noteholders and the duration of the Subordinated Noteholders’ investment in the Issuer will be affected by the average life of the Notes.

THE ISSUER

General The Issuer was incorporated as an exempted company with limited liability and registered on January 17, 2007 in the Cayman Islands, has a registered number of 180644 and is in good standing under the laws of the Cayman Islands. The registered office of the Issuer is at the offices of Walkers SPV Limited, Walker House, 87 Mary Street, George Town, Grand Cayman, KY1-9002 Cayman Islands. The Issuer has no prior operating experience other than in connection with the acquisition of certain Collateral Debt Securities prior to the issuance of the Securities and the engagement of the Collateral Manager and the Share Trustee and the entering into of arrangements with respect thereto, and the Issuer will not have any substantial assets other than the Collateral pledged to secure the Notes. As of the Closing Date, the authorized share capital of the Issuer will consist of 1,000 ordinary shares, par value U.S.$1.00 per share (all of which will be issued to and will be held in trust for charitable purposes by Walkers SPV Limited, a licensed trust company incorporated in the Cayman Islands (in such capacity, the “Share Trustee”) under the terms of a declaration of trust (the “Declaration of Trust”)). The Notes are obligations only of the Issuer and none of the Notes are obligations of the Trustee, the Share Trustee, the Administrator, the Collateral Manager, the Placement Agents, the Initial Purchaser or any of their respective affiliates or any directors or officers of the Issuer. Walkers SPV Limited will act as the administrator (in such capacity, the “Administrator”) of the Issuer. The office of the Administrator will serve as the registered office of the Issuer. Through this office and pursuant to the terms of an agreement by and between the Administrator and the Issuer (the “Administration Agreement”), the Administrator will perform various administrative functions on behalf of the Issuer, including communications with the general public and the provision of certain clerical, administrative and other services until termination of the Administration Agreement. In consideration of the foregoing, the Administrator will receive various fees and other charges payable by the Issuer at rates provided for in the Administration Agreement and will be reimbursed for expenses. The Administrator will be subject to the overview of the board of directors of the Issuer. The directors of the Issuer are John Cullinane, David Egglishaw and Derrie Boggess, each of whom is a director or officer of the Administrator and each of whose offices are at Walker SPV Limited, Walker House, 87 Mary Street, George Town, Grand Cayman, Cayman Islands (telephone number +1 345 945 3727). The Administration Agreement may be terminated by either the Issuer or the Administrator upon 14 days’ notice following the happening of certain events. In addition, the Administration Agreement may be terminated upon three months’ written notice (subject to the appointment of a replacement Administrator).

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Capitalization The initial capitalization of the Issuer as of the Closing Date, after giving effect to the issuance of the Securities and the ordinary shares of the Issuer but before deducting expenses of the offering of the Securities and organizational expenses of the Issuer, is expected to be as follows: Class A1 Notes Class A2 Notes Class B Notes Class C Notes Class D Notes Subordinated Notes Total Debt Ordinary Shares (par value U.S.$1.00 per share) Total Equity Total Capitalization U.S.$1,320,000,000 U.S.$78,000,000 U.S.$47,000,000 U.S.$23,500,000 U.S.$21,000,000 U.S.$10,500,000 U.S.$1,500,000,000 U.S.$1,000 U.S.$1,000 U.S.$1,500,001,000

Business The Issuer Charter sets out the objects of the Issuer. The Indenture provides that the activities of the Issuer, a special purpose vehicle, are limited to (1) acquiring, holding, pledging and selling, solely for its own account, Collateral Debt Securities, Equity Securities and Eligible Investments, (2) the entering into, and performing of its obligations under, the Issuer Documents, (3) issuing, redeeming and selling the Securities, (4) pledging the Collateral as security for its obligations in respect of the Notes and otherwise for the benefit of the Secured Parties, (5) conducting any business or activity incidental and necessary to the foregoing and paying the expenses of the Issuer incurred in the ordinary course of its business otherwise permitted under the Indenture or the Subordinated Note Issuing and Paying Agency Agreement and (6) doing or performing any action or thing which is required by or ancillary to the attainment of the objects specified in clauses (1) to (5) above, including supplementing or restructuring the transactions contemplated by the objects specified in clauses (1) to (5) above or any of the agreements, deeds or other documents entered into by the Issuer pursuant thereto, and entering into further agreements, understandings and contracts and executing certificates, affidavits, notices and any other documentation in respect of the transactions contemplated by the objects specified in clauses (1) to (5) above. The Issuer shall have no power or authority to carry out any other object. The Issuer has no employees and no subsidiaries. The Issuer is not required by Cayman Islands law, and the Issuer does not intend, to publish annual reports and accounts. The Indenture, however, requires the Issuer to provide the Trustee with written confirmation, on an annual basis, that to the best of its knowledge following review of the activities for the prior year, no Indenture Event of Default or other matter required to be brought to the Trustee’s attention has occurred or, if one has, specifying the same.

SECURITY FOR THE NOTES

General The assets of the Issuer securing the Notes will consist of: (i) the Collateral Debt Securities and Equity Securities; (ii) the Issuer’s rights under any Hedge Agreements; (iii) the amounts on deposit in the Payment Account, the Interest Collection Account, the Principal Collection Account, the Uninvested Proceeds Account, the Interest Reserve Account, the Remarketing Account and the Expense Account and Eligible Investments purchased with funds on deposit in such accounts (provided that amounts on deposit in the Remarketing Account and Eligible Investments purchased with funds on deposit in such account are being pledged solely to secure the Class A1 Notes); (iv) the Issuer’s rights, if any, to any amounts in any Hedge Counterparty Collateral Account (subject to the rights of the applicable Hedge Counterparty); (v) the Issuer’s rights, if any, to any amounts in any Synthetic Security

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Issuer Account (subject to the rights of the applicable Synthetic Security Counterparty); (vi) the Issuer’s rights, if any, to any amounts in any Synthetic Security Counterparty Account (subject to the rights of the applicable Synthetic Security Counterparty); (vii) solely for the purpose of securing the Class A1 Notes, the Put Agreement, the Remarketing Agreement, the Put Loan Agreement and all of the Issuer’s rights (whether to payment or otherwise) thereunder or with respect thereto; (viii) the Issuer’s rights under the Collateral Management Agreement and the Collateral Administration Agreement; (ix) the Issuer’s rights under the Administration Agreement; and (x) all proceeds of the foregoing (collectively, the “Collateral”).

Collateral Debt Securities A Collateral Debt Security includes: (i) an Asset-Backed Security; (ii) a Synthetic Security; and (iii) any Deliverable Obligation; provided that in no event will a Collateral Debt Security include any of the following, determined at the time of acquisition or commitment to acquire such obligation or security: (a) (b) (c) (d) (e) any obligation or security (other than a Defeased Synthetic Security) that does not provide for a fixed amount of principal payable in cash no later than its stated maturity or termination date; any obligation or security that is not eligible under the instrument or agreement pursuant to which it was issued or created to be purchased by the Issuer and pledged to the Trustee; any obligation or security denominated or payable in, or convertible into an obligation or security denominated or payable in, a currency other than Dollars; any obligation or security that does not have a Moody’s Rating or a Standard & Poor’s Rating; any obligation or security that has a coupon or other payment that is subject to withholding tax, in each case, unless the issuer of the obligation or security (or, with respect to a Synthetic Security, the issuer or the Synthetic Security Counterparty) is required to make “gross-up payments” for the total amount of withholding on an after-tax basis; any obligation or security the acquisition (including the manner of acquisition), ownership, enforcement or disposition of which will cause the Issuer to be treated as engaged in a trade or business within the United States for U.S. Federal income tax purposes (including as a result of lending activities) or otherwise to be subject to tax on a net income basis in any jurisdiction; any obligation or security the Rating of which from Standard & Poor’s includes the subscript “p,” “pi,” “q,” “r” or “t”; any obligation or security whose timely repayment is subject to substantial non-credit-related risk, as reasonably determined by the Collateral Manager in its sole judgment; unless such security is a Defeased Synthetic Security, any obligation or security under which, after the acquisition thereof, the Issuer is required by the Underlying Instruments related thereto to make any payment or advance to the issuer thereof or to the related Synthetic Security Counterparty pursuant to the related Underlying Instruments; or any obligation or security (other than a Synthetic Security) that is not in Registered form.

(f)

(g) (h) (i)

(j)

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In order to reduce the risk that the Issuer will be treated as engaged in a U.S. trade or business for U.S. federal income tax purposes, the Issuer and the Collateral Manager will observe certain additional restrictions and limitations on their activities and on the Collateral Debt Securities that may be purchased. Accordingly, although a particular prospective investment may satisfy the Eligibility Criteria, it may be ineligible for purchase by the Issuer and the Collateral Manager on behalf of the Issuer as a result of these limitations and restrictions.

Eligibility Criteria and Portfolio Concentration Limitations Eligibility Criteria Uninvested Proceeds and Principal Proceeds may be invested in a security (which, in each of the Eligibility Criteria below may include a Synthetic Security or a Synthetic CDO Security) during the Reinvestment Period only if, on the date of purchase or entry into (or the commitment to purchase or enter into), and in each case after giving effect to, such investment in, the Collateral Debt Security, each of the following criteria (the “Eligibility Criteria”) is satisfied: Collateral Debt Security Jurisdiction of issuer (1) such security is a Collateral Debt Security; (2) the obligor on or issuer of such security is (a) organized or incorporated under the laws of (x) the United States or any State thereof or (y) a Special Purpose Vehicle Jurisdiction or (b) a Qualifying Foreign Obligor; (3) the Moody’s Rating of such security is at least “A3” and the public rating of such security from Standard & Poor’s, if any, is at least “A-”; (4) such security is not a Defaulted Security, an Equity Security, a Credit Risk Security or a Deferred Interest PIK Bond;

Public Rating No Defaulted Securities, Equity Securities, Credit Risk Securities or Deferred Interest PIK Bonds No foreign exchange controls

(5) such security is not a security issued by an issuer organized or incorporated in a country that imposes foreign exchange controls at the time of purchase that effectively limit the availability or use of U.S. Dollars to make when due the scheduled payments on such security; (6) such security is not “margin stock” as defined under Regulation U issued by the Board of Governors of the Federal Reserve System; (7) the acquisition (including the manner of acquisition), ownership, enforcement or disposition of such security would not cause the Issuer or the pool of Collateral to be required to register as an investment company under the Investment Company Act; (8) such security is not a financing by a debtor-in-possession in any insolvency proceeding; (9) (A) such security is not a security that by the terms of its Underlying Instruments provides for conversion or exchange (whether mandatory, at the option of the issuer or the holder thereof or otherwise) into equity capital at any time prior to its stated maturity and (B) such security is not purchased as a unit with an attached equity security; (10) such security is not the subject of an Offer for purchase thereof or to exchange such security for cash, securities or another type of consideration and has not been called for redemption; (11) such security is not a Discount Security; (12) at the time of purchase such security is not a security issued by (i) the Collateral Manager or any of its Affiliates or (ii) any entity, fund or portfolio for 93

No margin stock Investment Company Act

No debtor-in-possession financing No conversion or exchange

Not subject to an Offer or called for redemption Discount Securities Not Managed by Collateral Manager

which the Collateral Manager or any of its Affiliates acts as collateral manager or investment adviser; Excluded Securities Synthetic Securities (13) such security is not an Excluded Security; (14) if such security is a Synthetic Security, then (A) such Synthetic Security is acquired from a Synthetic Security Counterparty that on the date of such acquisition either (x) is a bankruptcy remote issuer that has no outstanding indebtedness for borrowed money other than the related Synthetic Securities or (y) has a short-term issuer credit rating from Standard & Poor’s of at least “A-1” or, if such Synthetic Security Counterparty does not have a short-term issuer credit rating from Standard & Poor’s, has a rating of at least “AA” by Standard & Poor’s and with a long-term unsecured debt rating from Moody’s of at least “Aa2” (and if rated “Aa2,” such rating is not on watch for possible downgrade by Moody’s) or a short-term unsecured debt rating from Moody’s, if rated by Moody’s, of “P-1,” or such Synthetic Security Counterparty’s selection satisfies the Rating Condition with respect to the relevant Rating Agency, (B) the Rating Condition has been satisfied with respect to the acquisition of such Synthetic Security or it is a Form Approved Synthetic Security (and each of Moody’s and Standard & Poor’s has assigned an Applicable Recovery Rate to such Synthetic Security), (C)(i) the Reference Obligation to which such Synthetic Security relates would (treating the acquisition of the Synthetic Security as acquisition of the Reference Obligation from the Synthetic Security Counterparty) not be prohibited from direct acquisition by the Issuer by reason of its failure to satisfy clause (e), (f) or (j) of the proviso to the description of “Collateral Debt Security” set forth in “— Collateral Debt Securities” or (ii) the Issuer and the Trustee receive an opinion of nationally recognized U.S. tax counsel to the effect that such Synthetic Security would not be prohibited from direct acquisition by the Issuer by reason of its failure to satisfy clause (e), (f) or (k) of the proviso to the description of “Collateral Debt Security” set forth in “—Collateral Debt Securities,” (D) if such Synthetic Security is a Defeased Synthetic Security, such security complies with the requirements of the definition of Defeased Synthetic Security and (E) if the Reference Obligation to which such Synthetic Security relates is an RMBS Security, the underlying instruments for such Reference Obligation contain explicit write-down provisions or such Synthetic Securities excludes “implied writedown” as a floating amount event and as a credit event thereunder; (15) (x) if such security is acquired on or after the Ramp-Up Completion Date, (A) each of the Collateral Quality Tests (other than the Standard & Poor’s CDO Monitor Test) is satisfied or, if immediately prior to such acquisition one or more of such Collateral Quality Tests was not satisfied, the extent of non-compliance with such Collateral Quality Test may not be made worse and (B) the Standard & Poor’s CDO Monitor Test is satisfied or, if immediately prior to such investment the Standard & Poor’s CDO Monitor Test was not satisfied, the result is closer to compliance and the Issuer shall have promptly delivered to the Trustee, the Noteholders and Standard & Poor’s an officer’s certificate specifying the extent to which the Standard & Poor’s CDO Monitor Test was not satisfied; and (y) such security does not cause the Weighted Average Spread to be less than 0.55% regardless of LIBOR; (16) if such security is acquired on or after the Ramp-Up Completion Date, (A) each of the Coverage Tests is satisfied or (B) if immediately prior to such acquisition one or more of such Coverage Tests, was not satisfied, the extent of non-compliance with such Coverage Test(s) may not be made worse; provided that in the case of reinvestment of a scheduled payment of principal on a Collateral Debt Security or of Sale Proceeds of Defaulted Securities, each of the Coverage Tests must be satisfied; and

Collateral Quality Tests

Coverage Tests

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Unregistered Securities

(17) such security (other than a Synthetic Security) is a security that (i) was issued pursuant to an effective registration statement under the Securities Act or (ii) is eligible for resale under Rule 144A or Regulation S under the Securities Act.

Portfolio Concentration Limitations In addition, the Issuer is required, after the Ramp-Up Completion Date, to satisfy in connection with any permitted investment or re-investment in a Collateral Debt Security each of the following portfolio concentration limitations (each, a “Portfolio Concentration Limitation”) or, if such Portfolio Concentration Limitation will not be satisfied, the degree of compliance with such Portfolio Concentration Limitations will be improved or not diminished; except that, (1) with respect to any purchases and/or sales of multiple Collateral Debt Securities, identified by the Collateral Manager, by written notice to the Trustee, that are effected either contemporaneously or no later than thirty Business Days from each other in accordance with the provisions described herein (each, a “Combined Trade”), the degree of compliance with the Portfolio Concentration Limitations, including the Collateral Quality Tests, shall, if elected by the Collateral Manager, be measured by determining the aggregate effect of such Combined Trade on the Issuer’s level of compliance with the applicable Portfolio Concentration Limitations, including the Collateral Quality Tests, rather than considering the effect of each purchase and sale of the related Collateral Debt Securities individually; provided that, (x) no more than one Combined Trade may be pending at the same time, (y) the aggregate principal balance of the Collateral Debt Securities to be purchased or sold pursuant to any Combined Trade shall not exceed 5.0% of the Net Outstanding Portfolio Collateral Balance and (z) after giving effect to such reinvestment, each of the Coverage Tests is satisfied and (2) the determination of whether the extent of non-compliance with any of the Portfolio Concentration Limitations may not be made worse by such reinvestment shall be made by comparing the Collateral Debt Securities held by the Issuer immediately prior to such reinvestment to the Collateral Debt Securities held by the Issuer immediately after such reinvestment. In the event that the conditions set forth in clause (1) of the immediately preceding sentence are not satisfied, the Issuer shall notify Standard & Poor’s and shall be prohibited from effecting Combined Trades in the future: Limitations on stated final maturity (1) if the stated maturity of such security occurs later than the Quarterly Distribution Date in July 2047, the aggregate principal balance of all such Collateral Debt Securities does not exceed 10.0% of the Net Outstanding Portfolio Collateral Balance; provided that no Collateral Debt Securities shall have a stated maturity occurring later than July 6, 2052; (2) if such security (including any Synthetic Security as to which the related Reference Obligation) is a Fixed Rate Security, the aggregate principal balance of all such Collateral Debt Securities does not exceed 20.0% of the Net Outstanding Portfolio Collateral Balance; (3) if such security (including any Synthetic Security as to which the related Reference Obligation) is a Floating Rate Security, the aggregate principal balance of all such Collateral Debt Securities does not exceed 85% of the Net Outstanding Portfolio Collateral Balance; (4) (a) if such security has a public rating from Moody’s below “Aaa” or a public rating from Standard & Poor’s below “AAA,” the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 85.0% of the Net Outstanding Portfolio Collateral Balance, (b) if such security has a public rating from Moody’s below “Aaa” but not lower than “Aa3” and a public rating from Standard & Poor’s below “AAA” but not lower than “AA-,” the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 65.0% of the Net Outstanding Portfolio Collateral Balance, and (c) if such security has a public rating from Moody’s below “Aa3,” or a public rating from Standard & Poor’s below “AA-,” the aggregate principal balance of all such Collateral Debt 95

Fixed Rate Securities

Floating Rate Securities

Minimum Ratings

Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 35.0% of the Net Outstanding Portfolio Collateral Balance; Single issuer/Single issue (5) After the Ramp-Up Completion Date (a) not more than 2.0% of the Net Outstanding Portfolio Collateral Balance will consist of securities of a single issue (including Synthetic Securities the Reference Obligations of which are securities of such issue) if such issue has a Rating of (1) “Aaa” by Moody’s and (2) “AAA” by Standard & Poor’s; (b) not more than 1.5% of Net Outstanding Portfolio Collateral Balance will consist of securities of a single issue (including Synthetic Securities the Reference Obligations of which are securities of such issue) if such issue has a Rating of lower than either (1) “Aaa” by Moody’s or (2) “AAA” by Standard & Poor’s but equal to or greater than (1) “Aa3” by Moody’s and (2) “AA-” by Standard & Poor’s; (c) not more than 1.25% of Net Outstanding Portfolio Collateral Balance will consist of securities of a single issue (including Synthetic Securities the Reference Obligations of which are securities of such issue) if such issue has a Rating of lower than either (1) “Aa3” by Moody’s or (2) “AA-” by Standard & Poor’s; and (d) not more than 1.00% of the Net Outstanding Portfolio Collateral Balance will consist of CDO Securities of a single issue (including Synthetic Securities the Reference Obligations of which are securities of such issue); provided that in the case of four issues of CDO Securities on any date of determination, up to 1.50% of the Net Outstanding Portfolio Collateral Balance may consist of CDO Securities of such issue (including Synthetic Securities the Reference Obligations of which are securities of such issue); (6) with respect to the Servicer of the security being acquired (if the related Servicer is assigned credit ratings from one or both Rating Agencies, the following evaluation should be performed based on the lower of the credit ratings assigned to such Servicer; provided that, if such Servicer is assigned a Servicer rating by any such Rating Agency, the Servicer rating shall be the rating used in such evaluation), the aggregate principal balance of all Collateral Debt Securities serviced by such Servicer (together with the aggregate principal balance of each Synthetic Security the Reference Obligations of which are such securities) does not exceed 7.5% of the Net Outstanding Portfolio Collateral Balance; provided, however, that no Collateral Debt Securities may be serviced by the Collateral Manager or its Affiliates; provided further, that (A) if the senior unsecured long-term obligations of such Servicer (or, if an affiliate of such Servicer is required to perform the obligations of such Servicer, such affiliate) are rated (1) “Aa3” or higher or “SQ2” or higher by Moody’s (if rated by Moody’s) and (2) “AA-” or higher or “Strong” or higher by Standard & Poor’s (if rated by Standard & Poor’s), the aggregate principal balance of all Collateral Debt Securities serviced by such Servicer (together with the aggregate principal balance of each Synthetic Security the Reference Obligations of which are such securities) may exceed 12.0% of the Net Outstanding Portfolio Collateral Balance but may not exceed 15.0% of the Net Outstanding Portfolio Collateral Balance; (B) if such Servicer does not meet the requirements of clause (A), but (x) the senior unsecured long-term obligations of such Servicer (or, if an affiliate of such Servicer is required to perform the obligations of such Servicer, such affiliate) are rated (1) “A3” or higher or “SQ2” or higher by Moody’s (if rated by Moody’s) and (2) “A-” or higher or “Above Average” or higher by Standard & Poor’s (if rated by Standard & Poor’s), the aggregate principal balance of all Collateral Debt Securities serviced by such Servicer (together with the aggregate principal balance of each Synthetic Security the Reference Obligations of which are such securities) may exceed 7.5% of the Net Outstanding Portfolio Collateral 96

Single Servicer

Balance but may not exceed 12.0% of the Net Outstanding Portfolio Collateral Balance; (C) the aggregate principal balance of all Collateral Debt Securities serviced by Countrywide Financial Corporation or Wells Fargo Bank, National Association (together with the aggregate principal balance of each Synthetic Security the Reference Obligations of which are such securities) does not exceed 50.0% of the Net Outstanding Portfolio Collateral Balance; provided that Countrywide Financial Corporation and Wells Fargo Bank, National Association shall not be subject to or included in the requirements of clauses (A), (B) or (D) of this paragraph (6); and (D) if such Servicer does not meet the requirements of clauses (A) or (B) of this paragraph (6), the aggregate principal balance of all Collateral Debt Securities serviced by such Servicer (together with the aggregate principal balance of each Synthetic Security the Reference Obligations of which are such securities) may exceed 0.0% of the Net Outstanding Portfolio Collateral Balance but may not exceed 7.5% of the Net Outstanding Portfolio Collateral Balance; CDO Securities (7) if such security is a CDO Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 25.0% of the Net Outstanding Portfolio Collateral Balance; (8) if such security is a CDO Security—Investment Grade Corporate, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 0.0% of the Net Outstanding Portfolio Collateral Balance; (9) if such security is a CDO of CDO Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 0.0% of the Net Outstanding Portfolio Collateral Balance; (10) if such security is a Trust Preferred CDO Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 4.0% of the Net Outstanding Portfolio Collateral Balance; (11) if such security is a CLO Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 10.0% of the Net Outstanding Portfolio Collateral Balance; (12) if such security is a PIK Bond, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 5.0% of the Net Outstanding Portfolio Collateral Balance; (13) if such security provides for periodic payments of interest in cash less frequently than monthly and there is no Asset Hedge Agreement in effect with respect to such security that provides for monthly payments of interest to the Issuer in cash, the aggregate principal balance of all such Collateral Debt Securities does not exceed 30.0% of the Net Outstanding Portfolio Collateral Balance; provided that such security provides for payments at least semi-annually (taking into account any Asset Hedge Agreement applicable thereto);

CDO Securities—Investment Grade Corporate

CDO of CDO Securities

Trust Preferred CDO Securities

CLO Securities

PIK Bonds

Interest paid less frequently than monthly

97

Step-Down Bonds/Step-Up Bonds

(14) (A) if such security is a Step-Down Bond, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of all Synthetic Securities the Reference Obligations of which are Step-Down Bonds) does not exceed 5.0% of the Net Outstanding Portfolio Collateral Balance; and (B) if such security is a Step-Up Bond, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of all Synthetic Securities the Reference Obligations of which are Step-Up Bonds) does not exceed 5.0% of the Net Outstanding Portfolio Collateral Balance; provided that the aggregate principal balance of all Collateral Debt Securities that are either Step-Down Bonds or Step-Up Bonds (together with the aggregate principal balance of all Synthetic Securities the Reference Obligations of which are either Step-Down Bonds or Step-Up Bonds) does not exceed 5.0% of the Net Outstanding Portfolio Collateral Balance; (15) the Aggregate Attributable Amount of all Collateral Debt Securities (other than CDO Securities) related to obligors organized or incorporated outside the United States of America does not exceed 10.0% of the Net Outstanding Portfolio Collateral Balance; provided that for purposes of this paragraph (15), “obligors” shall mean with respect to Asset-Backed Securities, the obligors on the underlying assets; (16) if such security is a Synthetic Security, the aggregate principal balance of all such Collateral Debt Securities does not exceed 5.0% of the Net Outstanding Portfolio Collateral Balance; provided that if such security is a Synthetic Security primarily referencing a Reference Index, the Aggregate Principal Balance of all such Collateral Debt Securities does not exceed 2.0% of the Net Outstanding Portfolio Collateral Balance; (17) if such security is a CMBS Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 10.0% of the Net Outstanding Portfolio Collateral Balance; (A) if such security is a CMBS Conduit Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 10.0% of the Net Outstanding Portfolio Collateral Balance; (B) if such security is a CMBS Large Loan Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 10.0% of the Net Outstanding Portfolio Collateral Balance; (C) if such security is a CMBS Credit Tenant Lease Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 5.0% of the Net Outstanding Portfolio Collateral Balance;

Backed by Obligations of Non-U.S. Obligors

Synthetic Securities

CMBS Securities

Other Asset-Backed Securities

(18) if such security is not a RMBS Security, CDO Security or CMBS Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 10.0% of the Net Outstanding Portfolio Collateral Balance; (A) if such security is a Small Business Loan Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate 98

principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 10.0% of the Net Outstanding Portfolio Collateral Balance; (B) if such security is a Student Loan Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 3.0% of the Net Outstanding Portfolio Collateral Balance; (C) if such security is an Automobile Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 2.0% of the Net Outstanding Portfolio Collateral Balance; (D) if such security is an Equipment Leasing Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 3.0% of the Net Outstanding Portfolio Collateral Balance;

Residential Prime Mortgage Securities

(19) if such security is a Residential Prime Mortgage Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) is not less than 25.0% of the Net Outstanding Portfolio Collateral Balance; (20) if such security is a Residential Midprime Mortgage Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 45.0% of the Net Outstanding Portfolio Collateral Balance; (21) if such security is a Residential Subprime Mortgage Security, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 40.0% of the Net Outstanding Portfolio Collateral Balance; (22) if such security is a Collateral Debt Security which has been downgraded at least one rating subcategory (and has not been restored) or that is currently put on a watch list for possible downgrade by any Rating Agency, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 5.0% of the Net Outstanding Portfolio Collateral Balance; (23)(A) if such security is a Collateral Debt Security which is not rated by Moody’s, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 10.0% of the Net Outstanding Portfolio Collateral Balance; (B) if such security is a Collateral Debt Security which is not rated by S&P, the aggregate principal balance of all such Collateral Debt Securities (together with the aggregate principal balance of any Synthetic Securities the Reference

Residential Midprime Mortgage Securities

Residential Subprime Mortgage Securities

Downgraded/Negative Watch

Rating Agencies

99

Obligations of which are such securities) does not exceed 10.0% of the Net Outstanding Portfolio Collateral Balance; and RMBS Cap Floater Securities (24) if such security is a RMBS Cap Floater Security, the Aggregate Principal Balance of all such Collateral Debt Securities (together with the Aggregate Principal Balance of any Synthetic Securities the Reference Obligations of which are such securities) does not exceed 12.5% of the Net Outstanding Portfolio Collateral Balance.

If the Issuer has previously entered into a commitment to acquire an obligation or a security for inclusion in the Collateral, then the Issuer need not comply with any of the Eligibility Criteria and Portfolio Concentration Limitations on the date of such acquisition if the Issuer was in compliance therewith on the date on which the Issuer entered into such commitment. However, the Issuer may only enter into commitments to acquire securities for inclusion in the Collateral if such commitments to acquire securities do not extend beyond a 90-day period. If, on the date on which the Issuer made a commitment to acquire a Collateral Debt Security, such acquisition satisfied the Eligibility Criteria and the Portfolio Concentration Limitations but subsequently the Collateral Debt Security ceased to satisfy such requirements, it will not constitute an Indenture Event of Default and the Issuer will not be required to sell the Collateral Debt Security. Notwithstanding the foregoing provisions, (i) cash on deposit in the Collection Accounts may be invested in Eligible Investments pending investment in Collateral Debt Securities and (ii) if an Indenture Event of Default shall have occurred and is continuing, no Collateral Debt Security may be acquired unless it was the subject of a commitment entered into by the Issuer prior to the occurrence of such Indenture Event of Default. For purposes of the Moody’s Asset Correlation Test, the Portfolio Concentration Limitations and the Eligibility Criteria (other than clause (15) of the Eligibility Criteria relating to the other Collateral Quality Tests), each Reference Obligation of a Multi Reference Synthetic Security shall be considered individually. The Collateral Management Agreement provides that (without precluding other means of compliance), in directing the Issuer to invest in Collateral Debt Securities, the Collateral Manager shall be deemed to have complied with its responsibility with respect to the requirement that such investment will not cause the Issuer to be engaged in a U.S. trade or business for U.S. Federal income tax purposes if the Collateral Manager complies with the additional investment guidelines set forth in the Collateral Management Agreement or the Collateral Manager receives an opinion of nationally recognized U.S. tax counsel that such investment will not cause the Issuer to be engaged in a trade or business in the United States. The Issuer may not acquire any Collateral Debt Security unless such acquisition is made on an “arm’s-length” basis for fair market value. The Indenture will specify the means of determining the principal balance of certain types of Collateral Debt Securities, including PIK Bonds.

Synthetic Securities A portion of the Collateral Debt Securities may consist of Synthetic Securities entered into between the Issuer and, or issued by, a Synthetic Security Counterparty or by a trust. On the date a Synthetic Security is acquired by the Issuer, the unsecured, unguaranteed and otherwise unsupported short-term debt obligations of such Synthetic Security Counterparty must (i) be rated “P-1” by Moody’s and not on a watch list for possible downgrade, or the unsecured, unguaranteed or otherwise unsupported long-term senior debt obligations of such Synthetic Security Counterparty must be rated at least “A2” by Moody’s and not on a watch list for possible downgrade and (ii) be rated at least “A” by Standard & Poor’s; provided, however, that if such Synthetic Security Counterparty does not satisfy clauses (i) and (ii) above, such Synthetic Security Counterparty shall be permitted to post collateral in an amount sufficient to satisfy the Rating Condition.

100

The Collateral Manager shall only direct the Issuer to enter into Synthetic Securities that satisfy, and with respect to which all Reference Obligations would satisfy (at the time of such entry or commitment to enter), if acquired directly by the Issuer, the definition of Collateral Debt Security. In addition, each such Synthetic Security must require physical or cash settlement upon the occurrence of a credit event thereunder. For purposes of determining the principal balance of a Synthetic Security at any time, the principal balance of such Synthetic Security shall be equal to the principal or notional amount of the Synthetic Security or, if the Issuer paid the notional amount of any swap to the Synthetic Security Counterparty when it entered into such Synthetic Security, the aggregate amount of the repayment obligations of the Synthetic Security Counterparty payable to the Issuer through the maturity of such Synthetic Security. In connection with the acquisition of a Synthetic Security that provides for the grant to the related Synthetic Security Counterparty of a security interest in cash or Eligible Investments (and the proceeds thereof) in lieu of all or a portion of the purchase price of such Synthetic Security, the Issuer may grant to the counterparty to such Synthetic Security a first priority security interest in cash and Eligible Investments (and the proceeds thereof) designated by the Issuer and deposited in a Synthetic Security Counterparty Account, which may be invested as provided in the terms of such Synthetic Security, and the proceeds of which may be applied to make payments to the related Synthetic Security Counterparty. The grant of such security interest shall be treated as the payment of a purchase price equal to the value of the cash and Eligible Investments covered by such grant, and the Issuer’s obligations to make payments under such Synthetic Security (to the extent recourse for such obligations is limited to such Synthetic Security Counterparty Account) shall be disregarded for purposes of determining compliance with the Eligibility Criteria and the Portfolio Concentration Limitations. Withdrawals from such Synthetic Security Counterparty Account shall be made in accordance with the terms of the related Synthetic Security. In connection with (or after) the acquisition of a Synthetic Security, the related Synthetic Security Counterparty may grant to the Issuer a first priority security interest in cash and Eligible Investments (and the proceeds thereof) designated by the related Synthetic Security Counterparty and deposited in a Synthetic Security Issuer Account, which may be invested in accordance with the terms of such Synthetic Security, and the proceeds of which may be applied to make periodic payments to the Issuer under such Synthetic Security. Withdrawals from such Synthetic Security Issuer Account shall be made in accordance with the terms of the related Synthetic Security. Investments in Synthetic Securities present risks in addition to those associated with other types of Collateral Debt Securities. See “Risk Factors—Nature of Collateral” and “—Synthetic Securities.”

The Collateral Quality Tests The “Collateral Quality Tests” will be used primarily as criteria for purchasing Collateral Debt Securities. See “—Eligibility Criteria and Portfolio Concentration Limitations.” The Collateral Quality Tests will consist of the Moody’s Asset Correlation Test, the Moody’s Maximum Rating Factor Test, the Moody’s Minimum Weighted Average Recovery Rate Test, the Weighted Average Coupon Test, the Weighted Average Spread Test, the Weighted Average Life Test, the Standard & Poor’s Minimum Weighted Average Recovery Rate Test and the Standard & Poor’s CDO Monitor Test described below. Measurement of the degree of compliance with the Collateral Quality Tests will be required, on or after the Ramp-Up Completion Date, on each day on which the Issuer purchases a Collateral Debt Security. For purposes of the Moody’s Asset Correlation Test a Synthetic Security will be included as a Collateral Debt Security having the characteristics of the related Reference Obligation (and the issuer of the Synthetic Security will be deemed to be the related Reference Obligor) and not of the Synthetic Security. For purposes of the Collateral Quality Tests other than the Moody’s Asset Correlation Test, or for determining the Moody’s Rating of a Synthetic Security, a Synthetic Security will be included as a Collateral Debt Security having the characteristics of the Synthetic Security and not of the related Reference Obligation. Moody’s Asset Correlation Test. The “Moody’s Asset Correlation Test” is a test satisfied as of any Measurement Date on or after the Ramp-Up Completion Date if the Moody’s Asset Correlation Factor (calculated based on a model that assumes 160 separate obligors or such other number of obligors as the Collateral Manager, on 101

behalf of the Issuer, may agree in writing with Moody’s) or that otherwise satisfies the Rating Condition with respect to Moody’s is no greater than 20.0% (as the same may be adjusted in a manner that satisfies the Rating Condition with respect to Moody’s in order to take into account any adjustment to the number of obligors in accordance with the foregoing). The “Moody’s Asset Correlation Factor” is a single percentage determined in accordance with any of the one or more correlation methodologies provided from time to time to the Collateral Manager by Moody’s, as selected by the Collateral Manager in its sole discretion. Moody’s Maximum Rating Factor Test. “Moody’s Maximum Rating Factor Test” means a test satisfied as of any Measurement Date on or after the Ramp-Up Completion Date if the Moody’s Weighted Average Rating Factor of the Collateral Debt Securities as of such Measurement Date is equal to or less than 53. “Moody’s Weighted Average Rating Factor” means, on any Measurement Date, the number determined by dividing (i) the summation of the series of products obtained (a) for any Collateral Debt Security that is not a Defaulted Security or Deferred Interest PIK Bond, by multiplying (1) the principal balance on such Measurement Date of each such Collateral Debt Security by (2) its respective Moody’s Rating Factor on such Measurement Date and (b) for any Deferred Interest PIK Bond, by multiplying (1) the Calculation Amount for such Deferred Interest PIK Bond on such Measurement Date by (2) its respective Moody’s Rating Factor on such Measurement Date by (ii) the sum of (a) the aggregate principal balance on such Measurement Date of all Collateral Debt Securities that are not Defaulted Securities or Deferred Interest PIK Bonds plus (b) the sum of the Calculation Amounts of each Deferred Interest PIK Bond on such Measurement Date and rounding the result up to the nearest whole number. For the purpose of determining the Moody’s Weighted Average Rating Factor, the Applicable Recovery Rate with respect to Moody’s shall be used to determine the Calculation Amount of a Deferred Interest PIK Bond. The “Moody’s Rating Factor” relating to any Collateral Debt Security is the number set forth in the table below opposite the Moody’s Rating of such Collateral Debt Security: Moody’s Rating Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 hereto. Moody’s Minimum Weighted Average Recovery Rate Test. The “Moody’s Minimum Weighted Average Recovery Rate Test” will be satisfied as of any Measurement Date on or after the Ramp-Up Completion Date if the Moody’s Weighted Average Recovery Rate as of such Measurement Date is greater than or equal to 46.0%. “Moody’s Weighted Average Recovery Rate” means the number, expressed as a percentage, obtained by summing the products obtained by multiplying the principal balance of each Collateral Debt Security by its Applicable Recovery Rate (determined pursuant to clause (a) of the definition thereof), and dividing such sum by the aggregate principal balance of all such Collateral Debt Securities, rounding up to the first decimal place. For purposes of the Moody’s Weighted Average Recovery Rate, the principal balance of a Defaulted Security or a Deferred Interest PIK Bond will be deemed to be equal to its outstanding principal amount (but excluding any deferred interest with respect to a Deferred Interest PIK Bond). Weighted Average Coupon Test. The “Weighted Average Coupon Test” will be satisfied on any Measurement Date on or after the Ramp-Up Completion Date if the Weighted Average Coupon as of such 102 Moody’s Rating Factor 1 10 20 40 70 120 180 260 360 610 Moody’s Rating Bal Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca or lower Moody’s Rating Factor 940 1,350 1,766 2,220 2,720 3,490 4,770 6,500 8,070 10,000

The “Moody’s Rating” of any Collateral Debt Security will be determined as set forth in Schedule C

Measurement Date is equal to or greater than 6.0. For the avoidance of doubt, the Weighted Average Coupon Test shall be deemed to be satisfied on any day on which the Issuer owns no Collateral Debt Securities that are Fixed Rate Securities. The “Weighted Average Coupon” means, as of any Measurement Date, (a) the number obtained (rounded up to the next 0.001%) by summing the products obtained by multiplying the current interest rate on each Collateral Debt Security that is a Fixed Rate Security (excluding all Defaulted Securities and Deferred Interest PIK Bonds) by the principal balance of each such Collateral Debt Security and dividing such sum by the aggregate principal balance of all Collateral Debt Securities that are Fixed Rate Securities (excluding all Defaulted Securities and Deferred Interest PIK Bonds) or (b) to the extent the aggregate principal balance of all Collateral Debt Securities is greater than the Aggregate Ramp-Up Par Amount, the number obtained in clause (a) multiplied by a fraction the numerator of which is the aggregate principal balance of all Collateral Debt Securities that are Fixed Rate Securities and the denominator of which is (A) the Aggregate Ramp-Up Par Amount multiplied by (B) a fraction the numerator of which is the aggregate principal balance of the Fixed Rate Securities and the denominator of which is the aggregate principal balance of all Collateral Debt Securities; provided that if the amount determined pursuant to clause (a) or (b) above (as applicable) would not satisfy the Weighted Average Coupon Test for such Measurement Date, there shall be added to such amount the amount of Spread Excess, if any, as of such Measurement Date (but only to the extent necessary to cause the Weighted Average Coupon Test to be satisfied). For purposes of this definition, (1) a PIK Bond shall be deemed to be a Deferred Interest PIK Bond so long as any interest thereon has been deferred or capitalized for at least one payment date (until payment of interest on such PIK Bond has resumed and all capitalized and deferred interest and (if then due and payable) scheduled principal has been paid in cash in accordance with the terms of the Underlying Instruments) and (2) no contingent payment of interest will be included in such calculation. The “Spread Excess” means on any Measurement Date an amount equal to a fraction (expressed as a percentage), the numerator of which is equal to the product of (i) the greater of zero and the excess, if any, of the Weighted Average Spread for such Measurement Date over the Weighted Average Spread required to satisfy the Weighted Average Spread Test for such Measurement Date and (ii) the aggregate principal balance of all Collateral Debt Securities that are Floating Rate Securities (other than Defaulted Securities and Deferred Interest PIK Bonds) and the denominator of which is the aggregate principal balance of all Collateral Debt Securities that are Fixed Rate Securities (excluding all Defaulted Securities and Deferred Interest PIK Bonds). In computing the Spread Excess on any Measurement Date, the Weighted Average Spread for such Measurement Date will be computed as if the Fixed Rate Excess were equal to zero. Weighted Average Spread Test. The “Weighted Average Spread Test” will be satisfied on any Measurement Date on or after the Ramp-Up Completion Date if the Weighted Average Spread as of such Measurement Date is equal to or greater than 0.55%. The “Weighted Average Spread” means, on any Measurement Date, (a) the number obtained (rounded up to the next 0.001%) by summing the products obtained by multiplying the stated spread above LIBOR at which interest accrues on each Collateral Debt Security that is a Floating Rate Security (excluding all Defaulted Securities or Deferred Interest PIK Bonds) by the aggregate principal balance of each such Collateral Debt Security and dividing such sum by the aggregate principal balance of all Collateral Debt Securities that are Floating Rate Securities (excluding all Defaulted Securities or Deferred Interest PIK Bonds) or (b) to the extent the aggregate principal balance of all Collateral Debt Securities is greater than the Aggregate Ramp-Up Par Amount, the number obtained in clause (a) multiplied by a fraction the numerator of which is the aggregate principal balance of all the Collateral Debt Securities that are Floating Rate Securities and the denominator of which is (A) the Aggregate Ramp-Up Par Amount multiplied by (B) a fraction the numerator of which is the aggregate principal balance of the Floating Rate Securities and the denominator of which is the aggregate principal balance of all Collateral Debt Securities; provided that if the amount determined pursuant to clause (a) or (b) above (as applicable) would not satisfy the Weighted Average Spread Test for such Measurement Date, there shall be added to such amount the amount of Fixed Rate Excess, if any, as of such Measurement Date (but only to the extent necessary to cause the Weighted Average Spread Test to be satisfied). For purposes of this definition, (1) a PIK Bond shall be deemed to be a Deferred Interest PIK Bond so long as any interest thereon has been deferred or capitalized for at least one payment date (until payment of interest on such PIK Bond has resumed and all capitalized and deferred interest and (if then due and payable) scheduled principal has been paid in cash in accordance with the terms of the Underlying 103

Instruments), (2) no contingent payment of interest will be included in such calculation and (3) the spread of any Collateral Debt Security that is a Floating Rate Security that bears interest based on a floating-rate index other than LIBOR shall be deemed to be the excess of (x) the rate at which such Collateral Debt Security pays interest over (y) one-month or three-month (as designated in writing by the Collateral Manager) LIBOR, in each case as of such Measurement Date. The “Fixed Rate Excess” means on any Measurement Date an amount equal to a fraction (expressed as a percentage), the numerator of which is equal to the product of (i) the greater of zero and the excess, if any, of the Weighted Average Coupon for such Measurement Date over the Weighted Average Coupon required to satisfy the Weighted Average Coupon Test for such Measurement Date and (ii) the aggregate principal balance of all Collateral Debt Securities that are Fixed Rate Securities (excluding all Defaulted Securities and Deferred Interest PIK Bonds) and the denominator of which is the Aggregate Principal Balance of all Collateral Debt Securities that are Floating Rate Securities (excluding all Defaulted Securities and Deferred Interest PIK Bonds). In computing the Fixed Rate Excess on any Measurement Date, the Weighted Average Coupon for such Measurement Date shall be computed as if the Spread Excess were equal to zero. Weighted Average Life Test. The “Weighted Average Life Test” will be satisfied as of any Measurement Date during any period set forth below if the Weighted Average Life of all Collateral Debt Securities (other than Defaulted Securities or Deferred Interest PIK Bonds) as of such Measurement Date is less than or equal to the number of years set forth in the table below: As of any Determination Date occurring during the period below On the Ramp-Up Completion Date to and including the July 2012 Quarterly Distribution Date Thereafter Weighted Average Life (in years) 8.0 3.0

On any Measurement Date, the “Weighted Average Life” is the number, as determined by the Collateral Manager, obtained by (i) summing the products obtained by multiplying (a) the Average Life at such time of each Collateral Debt Security (excluding Defaulted Securities and Deferred Interest PIK Bonds) by (b) the principal balance of such Collateral Debt Security and (ii) dividing such sum by the aggregate principal balance at such time of all Collateral Debt Securities (other than Defaulted Securities and Deferred Interest PIK Bonds). On any Measurement Date with respect to any Collateral Debt Security, the “Average Life” is the quotient obtained by dividing (i) the sum of the products of (a) the number of years (rounded to the nearest one hundredth thereof) from such Measurement Date to the respective dates of each successive distribution of principal of such Collateral Debt Security (assuming that (A) no asset underlying the Collateral Debt Security defaults or is sold, (B) prepayment of any Collateral Debt Security during any month occurs (x) at a rate equal to the rate of prepayment during the period of six consecutive months immediately preceding the current month, (y) if six months of prepayments are not available, at the rate of prepayment assumed at the time of issuance of such Collateral Debt Security or (z) at the prospective prepayment curve or other similar rate as determined by the Collateral Manager in its judgment (exercised in accordance with the standard of care set forth in the Collateral Management Agreement) and (C) any optional redemption of the Collateral Debt Securities occurs in accordance with their respective terms), and (b) the respective amounts of principal of such distributions by (ii) the sum of all successive distributions of principal on such Collateral Debt Security. For purposes of determining the Average Life of a Trust Preferred CDO Security, such security will be assumed to have a 20-year maturity. Standard & Poor’s Minimum Weighted Average Recovery Rate Test. The “Standard & Poor’s Minimum Weighted Average Recovery Rate Test” will be satisfied as of any Measurement Date on or after the Ramp-Up Completion Date if the Standard & Poor’s Weighted Average Recovery Rate as of such Measurement Date is greater than or equal to 52% with respect to the Class A Notes, 59% with respect to the Class B Notes, 69% with respect to the Class C Notes, 75% with respect to the Class D Notes and 80% with respect to the Subordinated Notes. “Standard & Poor’s Weighted Average Recovery Rate” means the number, expressed as a percentage, obtained by summing the products obtained by multiplying the principal balance of each Collateral Debt Security by 104

its Applicable Recovery Rate (determined pursuant to clause (b) of the definition thereof), and dividing such sum by the aggregate principal balance of all such Collateral Debt Securities, rounding up to the first decimal place. For purposes of the Standard & Poor’s Weighted Average Recovery Rate, the principal balance of a Defaulted Security or a Deferred Interest PIK Bond will be deemed to be equal to its outstanding principal amount (but excluding any deferred interest with respect to a Deferred Interest PIK Bond). Standard & Poor’s CDO Monitor Test. The “Standard & Poor’s CDO Monitor Test” will be satisfied on any Measurement Date on or after the Ramp-Up Completion Date if, after giving effect to the sale of a Collateral Debt Security or the purchase of a Collateral Debt Security (or both), as the case may be, on such Measurement Date (i) the Class A Loss Differential, the Class B Loss Differential, the Class C Loss Differential and the Class D Loss Differential of the Standard & Poor’s Proposed Portfolio is positive or (ii) if the Class A Loss Differential, the Class B Loss Differential, the Class C Loss Differential or the Class D Loss Differential of the Standard & Poor’s Proposed Portfolio is negative prior to giving effect to such sale or purchase, the extent of compliance is improved after giving effect to the sale or purchase of a Collateral Debt Security. The “Standard & Poor’s CDO Monitor” is a dynamic, analytical computer model (together with all written instructions and assumptions necessary for running the model) provided by Standard & Poor’s to the Collateral Manager and the Collateral Administrator on or prior to the Ramp-Up Completion Date for the purpose of estimating the default risk of Collateral Debt Securities. The Standard & Poor’s CDO Monitor calculates the cumulative default rate of a pool of Collateral Debt Securities consistent with a specified benchmark rating level based upon Standard & Poor’s proprietary corporate debt default studies. In calculating the Standard & Poor’s Scenario Default Rate for a Class of Notes, the Standard & Poor’s CDO Monitor considers each obligor’s most senior unsecured debt rating, the number of obligors in the portfolio, the obligor and industry concentration in the portfolio and the remaining weighted average maturity of the Collateral Debt Securities and calculates a cumulative default rate based on the statistical probability of distributions of defaults on the Collateral Debt Securities. There can be no assurance that actual defaults of the Collateral Debt Securities or the timing of defaults will not exceed those assumed in the application of the Standard & Poor’s CDO Monitor or that recovery rates with respect thereto will not differ from those assumed in the Standard & Poor’s CDO Monitor Test. Standard & Poor’s makes no representation that actual defaults will not exceed those determined by the Standard & Poor’s CDO Monitor. None of the Collateral Manager, the Issuer, the Put Counterparty, the Placement Agents or the Initial Purchaser makes any representation as to the expected rate of defaults of the Collateral Debt Securities or the timing of defaults or as to the expected recovery rate or the timing of recoveries.

Dispositions of Collateral Debt Securities The Collateral Debt Securities may be retired prior to their respective final maturities due to, among other things, the existence and frequency of exercise of any optional or mandatory redemption features of such Collateral Debt Securities. In addition, pursuant to the Indenture and so long as no Indenture Event of Default has occurred and is continuing, the Collateral Manager may direct the Trustee to sell: (1) (2) any Defaulted Security at any time; any equity security acquired by the Issuer as a result of the exercise or conversion of a Collateral Debt Security, in exchange for a Defaulted Security or pursuant to an Offer (any of the foregoing, an “Equity Security”) at any time; any Credit Risk Security at any time, but if such sale occurs during the Reinvestment Period, only if the Collateral Manager believes in good faith that the proceeds (exclusive of accrued interest) from the sale can be reinvested within 90 calendar days after the trade date on which such Credit Risk Security is sold in one or more substitute Collateral Debt Securities having an aggregate principal balance of not less than 100% of the sale proceeds (exclusive of accrued interest) of the Credit Risk Security being sold; any Credit Improved Security at any time, but if such sale occurs during the Reinvestment Period, only if the Collateral Manager believes in good faith that the proceeds from the sale (exclusive of 105

(3)

(4)

accrued interest) can be reinvested within 30 Business Days after the trade date on which such Credit Improved Security is sold in one or more substitute Collateral Debt Securities having an aggregate principal balance of not less than 100% of the principal balance of the Credit Improved Security being sold and having a rating not lower than the rating of the Credit Improved Security being sold on the date of its original purchase by the Issuer; and (5) without limiting the foregoing, any Collateral Debt Security that does not meet the requirements of any of clauses (1) through (4) may be sold at any time during the Reinvestment Period, but only if the aggregate principal balance of all such sales pursuant to this paragraph (5) during any calendar year does not exceed 20% (which percentage shall be ratably reduced for the first (partial) calendar year and the last (partial) calendar year of the Reinvestment Period) of the Net Outstanding Portfolio Balance as of the last Determination Date to occur in the preceding calendar year (or as of the Ramp-Up Completion Date in the case of the first calendar year).

Any Defaulted Security must (subject to the next following sentence) be sold (unless it is considered a Defaulted Security as a result of it having a Moody’s Rating of “Ca” or lower or a Standard & Poor’s Rating of “CC,” “D,” “SD” or lower, in which case it is not required to be sold) within two years after such Collateral Debt Security became a Defaulted Security (or within two years of such later date as such security may first be sold in accordance with its terms). However, if the sale of any Defaulted Security has not commenced prior to the end of such two-year period, the Issuer may retain such Defaulted Security (the “Retained Defaulted Securities”); provided if the aggregate principal balance of all such Retained Defaulted Securities exceeds 1.0% of the aggregate principal balance of all Collateral Debt Securities, the Calculation Amount of any Retained Defaulted Securities in excess of such limitation shall be zero. Any Equity Security received in exchange for a Defaulted Security that is not “margin stock” as defined under Regulation U issued by the Board of Governors of the Federal Reserve System must be sold within one year after the related Collateral Debt Security became a Defaulted Security (or within one year of such later date as such security may first be sold in accordance with its terms). Any Equity Security that is “margin stock” as defined under Regulation U issued by the Board of Governors of the Federal Reserve System must be sold within five Business Days after the Issuer’s receipt thereof (or within five Business Days of such later date as such security may first be sold in accordance with its terms). In the event of an Auction Call Redemption, Optional Redemption or a Tax Redemption of the Notes, the Collateral Manager may direct the Trustee to sell Collateral Debt Securities without regard to the foregoing limitations; provided that (i) the proceeds therefrom will be at least sufficient to pay certain expenses and other amounts and redeem in whole but not in part all Notes to be redeemed simultaneously; and (ii) such proceeds are used to make such a redemption. See “Description of the Notes—Optional Redemption and Tax Redemption” and “—Auction Call Redemption.” Any purchase or disposition of a Collateral Debt Security will be conducted on an “arm’s-length” basis for fair market value and in accordance with the requirements of the Collateral Management Agreement. However, any Collateral Debt Security purchased pursuant to the warehousing agreement between the Collateral Manager and Mizuho International plc will be deemed to be purchased on an “arm’s-length” basis. The Trustee shall have no responsibility to oversee compliance with the above conditions by the other parties. During the Reinvestment Period, Principal Proceeds (including those resulting from dispositions, maturities or redemptions of Collateral Debt Securities as aforesaid) may be reinvested in Collateral Debt Securities if the reinvestment criteria set forth under “—Eligibility Criteria and Portfolio Concentration Limitations” are satisfied. If, however, at the time of sale, maturity or redemption the Collateral Manager is not required to and has not identified Collateral Debt Securities for purchase, Principal Proceeds may be reinvested in Eligible Investments in the Principal Collection Account, pending reinvestment in Collateral Debt Securities. Notwithstanding anything to the contrary in the Indenture, the Issuer may at any time (whether during or after the Reinvestment Period) dispose of any Collateral Debt Security (including any Synthetic Security) if any payment due to the Issuer under the terms of such Collateral Debt Security is subject to any withholding or excise tax (or is reduced as the result of any withholding or excise tax), other than withholding tax as to which the obligor 106

or issuer must make additional payments so that the net amount received by the Issuer after satisfaction of such tax is the amount due to the Issuer before the imposition of any withholding tax, or if the Issuer would be required to make any payment to any person in respect of any withholding or excise tax (or any “gross-up”) in respect thereof.

Liquidation of Collateral To the extent any Notes are outstanding as of the date that is 90 days prior to the Term Note Stated Maturity, the Trustee shall begin the liquidation all of the Collateral and all rights or interest therein, at one or more public or private sales called and conducted in any manner permitted by law and in accordance with the terms of the Indenture, with such sales to be completed no later than the Term Note Stated Maturity and deposit all proceeds thereof in the Payment Account for distribution on the Term Note Stated Maturity.

Hedge Agreements The Issuer will on or after the Closing Date enter into hedge agreements with Swiss Re Financial Products Corporation (such counterparty, the “Initial Hedge Counterparty”) which will include one or more fixed-tofloating interest rate swaps (each an “Interest Rate Swap”) and which may include one or more basis swap agreements (each, a “Basis Swap”); such initial interest rate swap agreements, fixed-to-floating interest rate swap agreements, other basis swap agreements together with any other Interest Rate Swaps and Basis Swaps entered into between the Initial Hedge Counterparty and the Issuer during the period from the Closing Date to the Ramp-Up Completion Date, (which agreements shall include, as part thereof, a Credit Support Annex (New York Law) in the form published by ISDA) the “Initial Hedge Agreements”, and, together with any additional or replacement interest rate swaps, basis swaps or hedge agreements entered into after the Closing Date in accordance with the Indenture, the “Hedge Agreements”). See “Risk Factors—Interest Rate Risk.” The Issuer is also authorized under the Indenture to enter into Asset Hedge Agreements after the Closing Date. The counterparty for such additional hedge agreements may be, but is not required to be, the Initial Hedge Counterparty. If and when entered into, any such Asset Hedge Agreement will constitute a Hedge Agreement for purposes of the Indenture, including the Priority of Payments. The Issuer may not enter into any additional or replacement Hedge Agreement, including any Asset Hedge Agreements, after the Closing Date without satisfaction of the Rating Condition. Pursuant to the Priority of Payments, scheduled payments required to be made by the Issuer under each Hedge Agreement, together with certain termination payments payable by the Issuer, will be payable pursuant to paragraph (4) under “Description of the Notes—Priority of Payments—Interest Proceeds.” Each Hedge Agreement will be governed by New York law. If a Collateralization Event occurs with respect to any Hedge Counterparty (or any person that guarantees or otherwise provides credit support for the obligations of such Hedge Counterparty), then the Issuer will demand that such Hedge Counterparty, within 30 days of such Collateralization Event and so long as such Collateralization Event is continuing, at such Hedge Counterparty’s sole expense, (a) deliver to a Hedge Counterparty Collateral Account established by the Trustee collateral in an amount and on the terms specified in the applicable Hedge Agreement and any related Credit Support Annex or security agreement, (b) deliver to the Trustee a guarantee of all of the obligations of the Hedge Counterparty from a guarantor that satisfies the ratings and other requirements set forth in such Hedge Agreement, (c) assign its rights and obligations thereunder to a counterparty, or provide a replacement Hedge Agreement with a counterparty, that satisfies the ratings and other requirements set forth in such Hedge Agreement, or (d) undertake such other remedial actions as are specified in such Hedge Agreement, in each case as and to the extent provided in such Hedge Agreement. In respect of any Hedge Counterparty, if a Substitution Event occurs with respect to such Hedge Counterparty (or any person that guarantees or otherwise provides credit support for the obligations of such Hedge Counterparty), such Hedge Counterparty will, at such Hedge Counterparty’s sole expense, (A) assign its rights and obligations thereunder to a counterparty, or provide a replacement Hedge Agreement with a counterparty, that satisfies the ratings and other requirements set forth in the applicable Hedge Agreement, (B) deliver to the Trustee a 107

guarantee of all of the obligations of the Hedge Counterparty from a guarantor that satisfies the ratings and other requirements set forth in such Hedge Agreement, or (C) undertake such other remedial actions as are specified in such Hedge Agreement, in each case as and to the extent provided in such Hedge Agreement. In addition, upon the occurrence of a Substitution Event with respect to such Hedge Counterparty (or any person that guarantees or otherwise provides credit support for the obligations of such Hedge Counterparty), the Hedge Counterparty will be required to satisfy any collateral posting requirement set forth in the applicable Hedge Agreement, including the related Credit Support Document or security agreement, as applicable. Each Hedge Agreement will be subject to termination by the applicable Hedge Counterparty if an “event of default” or “termination event” (each, as defined in such Hedge Agreement) occurs with respect to the Issuer under the related ISDA Master Agreement or, among other things, upon the earlier to occur of (a) an Indenture Event of Default and liquidation of the Collateral in accordance with the Indenture and (b) any Auction Call Redemption, Optional Redemption or Tax Redemption. The Initial Hedge Counterparty will have the right to reduce the notional amount of one or more of the Initial Hedge Agreements, subject to satisfaction of the Rating Condition, if the aggregate notional amount of all Hedge Agreements constituting basis swaps is greater than the aggregate outstanding principal balance of the Class A1 Notes, which may occur as principal is repaid over time or upon any failure to satisfy a Coverage Test. Any such reduction in the notional amount of an Initial Hedge Agreement will be considered a partial termination thereof and the Issuer may be required to make a termination payment to the Initial Hedge Counterparty as a result. In addition, subject to satisfaction of the Rating Condition, the Collateral Manager may on any Quarterly Distribution Date direct the Issuer to reduce or, with the consent of the applicable Hedge Counterparty, to increase the notional amount of any interest rate swap outstanding under any Hedge Agreement (subject to the terms thereof). Upon any such termination or reduction of a notional amount, a termination payment with respect to the notional amount terminated or reduced may become payable by a Hedge Counterparty or by the Issuer to the other party under the related Hedge Agreement, with such termination payment being calculated as described herein. If at any time a Hedge Agreement becomes subject to early termination due to the occurrence of an “event of default” or a “termination event” (each, as defined in such Hedge Agreement) attributable to the Hedge Counterparty or other comparable event, the Issuer and the Trustee will take such actions (following the expiration of any applicable grace period) to enforce the rights of the Issuer and the Trustee thereunder as may be permitted by the terms of such Hedge Agreement and consistent with the terms of the Indenture, and will (unless the Collateral Manager determines, subject to the satisfaction of the Rating Condition, that no replacement Hedge Agreement is required) apply the proceeds of any such actions (including the proceeds of the liquidation of any collateral pledged by such Hedge Counterparty) to enable the Issuer to enter into a replacement Hedge Agreement on substantially identical terms or on such other terms as and with a Hedge Counterparty with respect to which the Rating Condition shall have been satisfied. Each Hedge Agreement will require the Hedge Counterparty, in the event of an early termination of such Hedge Agreement resulting from an “event of default” or “termination event” thereunder as to which such Hedge Counterparty is the sole defaulting party or sole affected party, to pay any costs incurred by the Issuer in entering into any replacement Hedge Agreement (to the extent they exceed any termination payment received by the Issuer in connection with such early termination). The Issuer and the Trustee will give notice to each Rating Agency of any replacement Hedge Counterparty or Hedge Agreement. In determining the amount payable under the terminated Hedge Agreement, the non-defaulting or non-affected party will seek quotations from reference market-makers. In addition, if the Issuer is the non-defaulting or non-affected party, the Issuer will use its commercially reasonable efforts to cause the termination of a Hedge Agreement to become effective simultaneously with the entry into a replacement Hedge Agreement described as aforesaid. Amounts payable upon any early termination or reduction will be based upon standard replacement transaction valuation methodology set forth in the 1992 ISDA Master Agreement published by the International Swaps and Derivatives Association, Inc. If any amount is payable by the Issuer to a Hedge Counterparty in connection with the occurrence of any such early termination or notional amount reduction, such amount, together with interest on such amount for the period from and including the date of termination to but excluding the date of payment at a rate per annum equal to the interest rate specified in the Hedge Agreement, will be payable on the relevant Distribution Date to the extent funds are available for such purpose in accordance with the Priority of Payments, and any amount not so paid on such Distribution Date will be payable on the first Distribution Date on which such amount may be paid in accordance with the Priority of Payments.

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The Trustee will deposit all collateral received from any Hedge Counterparty under the related Hedge Agreement in one or more securities accounts in the name of the Trustee that will each be designated a “Hedge Counterparty Collateral Account,” which accounts will be maintained for the benefit of the Noteholders, the related Hedge Counterparty and the Trustee. The obligations of the Issuer under any Hedge Agreement will be limited-recourse obligations payable solely from the Collateral pursuant to the Priority of Payments.

The Put Agreement General. On the Closing Date, the Issuer will enter into a Put Agreement with Mizuho International plc, which will be documented in the form of an ISDA Master Agreement, as supplemented by a schedule thereto and a put confirmation. Pursuant to the terms of the Put Agreement, if on any MM Reissuance Date (other than the Put Termination Reissuance Date) or on any Quarterly Tender Date, the aggregate principal amount of the Class A1 Notes that are sold to investors pursuant to the Remarketing Agreement (in each case at a price equal to the aggregate principal amount of such Class A1 Notes and at an interest rate that does not exceed LIBOR plus the Maximum Class A1 Spread) is less than the aggregate principal amount of (i) with respect to any MM Reissuance Date (prior to the Put Termination Reissuance Date), the then-maturing Class A1 Notes and (ii) with respect to any Quarterly Tender Date, the applicable Tendered Class A1 Notes, the Put Counterparty, following receipt of a payment notice in accordance with the Put Agreement will purchase, at par, on such MM Reissuance Date or Quarterly Tender Date, as the case may be (or in the case of any failure of an investor to deliver on such date the purchase price, in cash, for its Class A1 Notes (a “Settlement Failure”), on the second Business Day following delivery of notice to the Put Counterparty and Put Counterparty Lender of such Settlement Failure (such date, a “Settlement Failure Reissuance Date”), newly issued Class A1 Notes in an aggregate principal amount equal to the amount of such shortfall. On the Put Termination Reissuance Date, the Put Counterparty will purchase, at par, Class A1 Extended Notes in an aggregate principal amount equal to the aggregate principal amount of the Class A1 Notes (other than Class A1 Extended Notes) outstanding. In addition, on the Class A1 Final Distribution Date, if the amount of Interest Proceeds and Principal Proceeds available to pay the aggregate principal amount of the maturing Class A1 Notes, pursuant to the Priority of Payments, is insufficient to pay such principal in full, the Put Counterparty will purchase the maturing Class A1 Notes at a purchase price equal to the amount of such shortfall. The Put Counterparty will pay the purchase price for any such Class A1 Notes directly to the Trustee by deposit to the Remarketing Account, and the Trustee will apply such proceeds on such date solely to the payment of the aggregate principal amount of the Class A1 Notes maturing or being redeemed on such MM Reissuance Date or Class A1 Final Distribution Date or the aggregate principal amount of the Tendered Class A1 Notes with respect to such Quarterly Tender Date, as applicable. The Class A1 Notes purchased by the Put Counterparty on (or after, in the case of a Settlement Failure) any MM Reissuance Date occurring prior to the Put Termination Reissuance Date will (except if and to the extent that the Put Counterparty elects to purchase Class A1 Extended Notes, as described below) bear interest at a per annum rate equal to (i) LIBOR plus a Class A1 Spread equal to the spread over LIBOR at which the Class A1 Notes are sold on such date to investors (other than the Put Counterparty or any Affiliate thereof) or (ii) LIBOR plus 0.05%, if no Class A1 Notes are sold to investors (other than the Put Counterparty or any Affiliate thereof) on such date, including in the case of a Settlement Failure. The Class A1 Notes purchased by the Put Counterparty on (or after, in the case of a Settlement Failure) any Quarterly Tender Date will (except if and to the extent that the Put Counterparty elects to purchase Class A1 Extended Notes, as described below) bear interest at a per annum rate equal to LIBOR plus a Class A1 Spread equal to the Class A1 Spread of the Tendered Class A1 Notes. The Put Counterparty will not receive any Put Option Fee with respect to the aggregate principal amount of the Class A1 Notes that it purchases pursuant to the Put Agreement until such Class A1 Notes are sold to investors pursuant to the Remarketing Agreement (and the Put Agreement notional amount will be correspondingly reduced during such period). However, the Put Counterparty will receive a Supplemental Option Fee with respect to such Class A1 Notes (other than any Class A1 Extended Notes) until such Class A1 Notes are sold to investors pursuant to the Remarketing Agreement.

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Notwithstanding the foregoing, the Put Counterparty will be entitled on any MM Reissuance Date (prior to the Put Termination Reissuance Date), Quarterly Tender Date or Settlement Failure Reissuance Date, to elect, by notice delivered to the Issuer, the Trustee, the Collateral Manager, the Rating Agencies and the Remarketing Agents not less than three Business Days prior to such MM Reissuance Date or Quarterly Tender Date or one Business day prior to such Settlement Failure Reissuance Date, as applicable, to purchase all or a portion of the Class A1 Notes that it is otherwise obligated to purchase on such date pursuant to the Put Agreement in the form of Class A1 Notes maturing on the Quarterly Distribution Date in July 2047 and bearing interest at a per annum rate equal to LIBOR plus 0.18% (such Class A1 Notes, a “Class A1 Extended Notes”). On the Put Termination Reissuance Date, the Put Counterparty will be obligated to purchase Class A1 Extended Notes in an aggregate principal amount equal to the aggregate principal amount of the Class A1 Notes (other than Class A1 Extended Notes, if any) then outstanding. The Put Agreement notional amount will be permanently reduced by the principal amount of any Class A1 Extended Notes issued by the Issuer, and the Put Counterparty will not receive any Put Option Fee or Supplemental Option Fee with respect to the aggregate principal amount of the Class A1 Extended Notes that it purchases pursuant to the Put Agreement. The Issuer will be obligated on each Monthly Distribution Date, pursuant to the Priority of Payments, to pay the Put Counterparty pursuant to the Put Agreement a fee (the “Put Option Fee”) equal to the product of (a) the daily average of the aggregate principal amounts of the Class A1 Notes on each day during the monthly Interest Period ending immediately prior to such Monthly Distribution Date (after giving effect to all payments of principal on each day during such period), excluding (i) any Class A1 Extended Notes outstanding and (ii) any other Put Counterparty Acquired Notes outstanding (other than Class A1 Extended Notes) that were not sold to investors pursuant to the Remarketing Agreement on or prior to such date, (b) a rate equal to 0.13% per annum and (c) the actual number of days in such monthly Interest Period divided by 360. In addition, with respect to any monthly Interest Period during which there are Put Counterparty Acquired Notes (other than Class A1 Extended Notes) outstanding on any day during such monthly Interest Period that were not sold to investors pursuant to the Remarketing Agreement, the Issuer will be obligated to pay a supplemental fee (the “Supplemental Option Fee”) equal to the product of (a) the daily average of the aggregate principal amounts of such Put Counterparty Acquired Notes outstanding on each day during such monthly Interest Period (after giving effect to all payments of principal on each day during such period), (b) a rate equal to the excess of 0.18% per annum over the Class A1 Spread of such Put Counterparty Acquired Notes and (c) the actual number of days in such Interest Period divided by 360. For the avoidance of doubt, Class A1 Notes purchased by Mizuho International plc (or any Affiliate thereof) as an investor, and not as the Put Counterparty pursuant to the Put Agreement, shall not constitute Put Counterparty Acquired Notes. The Remarketing Agents are required, pursuant to the Remarketing Agreement, to deliver a Remarketing Notice to the Put Counterparty and the Put Counterparty Lender at least five Business Days prior to each MM Reissuance Date and Quarterly Tender Date. The Trustee is required, pursuant to the Indenture, to deliver a payment notice to the Put Counterparty and the Put Counterparty Lender at least three Business Days prior to the settlement date for a payment under the Put Loan Agreement. In addition, the Collateral Manager is authorized in certain circumstances to deliver such payment notice. The obligation of the Put Counterparty to make a payment under the Put Agreement is contingent upon receipt of at least one of the foregoing notices from the Trustee, the Remarketing Agents or the Collateral Manager. If none of these notices were delivered timely, the settlement date for payment by the Put Counterparty under the Put Agreement would likely be delayed, which would result in delays in redeeming the applicable Class A1 Notes. The obligations of the Put Counterparty under the Put Agreement will be supported by a loan facility that will be entered into on the Closing Date by the Put Counterparty, as borrower, and Working Capital Management Co. L.P., as lender (the “Put Loan Agreement”), pursuant to which the lender will provide a revolving line of credit to the Put Counterparty, solely for the purposes of effecting purchases of Class A1 Notes as and when required under the Put Agreement. The maximum amount of borrowings that may be outstanding on any date under the Put Loan Agreement will be an amount equal to the maximum amount of payment obligations (not including indemnities) on such date by the Put Counterparty under the Put Agreement (including the aggregate amount paid in respect of any Class A1 Notes purchased by the Put Counterparty pursuant to the Put Agreement (and not remarketed and sold to investors by the Remarketing Agents) as of such date, but in no event greater than U.S. $1,320,000,000. The right to draw upon the line of credit under the Put Loan Agreement will be assigned to the Issuer, and pledged by the Issuer to the Trustee as security for the Class A1 Notes, and may be exercised by the 110

Trustee following a failure to pay by the Put Counterparty. The sole conditions under the Put Loan Agreement to borrowing up to the limit of the line of credit, will be (i) that the Commitment Termination Date has not occurred; (ii) the Put Counterparty Lender shall have received the applicable notice specified in the Put Agreement from the Trustee or the Remarketing Agents at least three Business Days (or, in the case of a notice relating to a Settlement Failure, two Business Days) prior to the funding date for such advance; and (iii) both before and immediately after giving effect to such advance, the aggregate borrowings do not exceed the facility limit. The Put Counterparty Lender may not be obligated to advance funds for the purchase of Class A1 Notes following the occurrence of certain bankruptcy, insolvency or similar events with respect to the Put Counterparty, and the Put Counterparty Lender has the right to terminate the Put Loan Agreement upon the occurrence of certain events that would make it unlawful for the Put Counterparty Lender to make, fund or maintain such an advance or to perform its obligations in respect thereof. The Put Counterparty Lender may be assigned, in connection with the Put Loan Agreement, the right to exercise the Put Counterparty’s voting, consent and other rights described in “Risk Factors—Control Rights of the Put Counterparty,” and will be assigned the Put Counterparty’s right to elect to receive Class A1 Extended Notes upon its purchase of Class A1 Notes pursuant to the Put Agreement. None of the Notes other than the Class A1 Notes will be secured by, or have the benefit of, the Issuer’s rights under the Put Agreement or the Put Loan Agreement. The Put Agreement may be terminated under the limited circumstances described below. Following the termination of the Put Agreement, the Class A1 Notes will cease to be remarketed. Termination of the Put Agreement. The Put Agreement will expire by its terms on the Class A1 Final Distribution Date. The Put Agreement may be terminated prior to its “expiration date” under the limited circumstances described below. On the first Distribution Date occurring at least three Business Days after an “early termination date” under (and as defined in) the Put Agreement (the “Put Termination Reissuance Date”), the Put Counterparty will purchase Class A1 Extended Notes bearing interest at a per annum rate equal to LIBOR plus 0.18%, in an aggregate principal amount equal to the aggregate principal amount of the Class A1 Notes (other than Class A1 Extended Notes, if any) then outstanding. The Issuer may terminate the Put Agreement (and cause an “early termination date”) upon the occurrence of certain “events of default” as to which the Put Counterparty is the “defaulting party,” and certain “termination events” as to which the Put Counterparty is the “affected party,” under (and as such terms are defined in) the Put Agreement. The applicable “events of default” specified in the Put Agreement are (i) failure on the part of the Put Counterparty to make any payment or delivery under the Put Agreement when due, subject to the applicable grace period, (ii) failure of either the Put Counterparty or the Put Counterparty Lender to perform under the Put Loan Agreement or the expiration or termination of the Put Loan Agreement prior to the satisfaction of all obligations of the Put Counterparty to the Issuer under the Put Agreement; (iii) a default by the Put Counterparty or the Put Counterparty Lender under any agreement with respect to borrowed money in an amount at least equal to the “threshold amount” (as defined in the Put Agreement); (iv) certain events of bankruptcy, insolvency, liquidation, conservatorship or receivership of the Put Counterparty, and (v) in connection with the consolidation, amalgamation or merger of the Put Counterparty, or the transfer of substantially all of its assets, (x) failure of the resulting, surviving or transferee entity to assume all of the obligations of the Put Counterparty under the Put Agreement pursuant to an agreement reasonably satisfactory to the Issuer or (y) the failure of the benefits of the Put Loan Agreement to extend (without the consent of the other party) to the performance by such resulting, surviving or transferee entity. The applicable “termination events” specified in the Put Agreement are (i) a change in law making it illegal for either the Issuer or the Put Counterparty to be a party to, or perform an obligation under, such Put Agreement; (ii) the occurrence of certain “tax events” described in the Put Agreement; (iii) the occurrence of certain “tax events” as a result of the consolidation, amalgamation or merger of the Put Counterparty, or the transfer of substantially all of its assets; (iv) the liquidation of the Collateral in full subsequent to an Indenture Event of Default; (v) the delivery of a notice under the Indenture of an Optional Redemption, a Tax Redemption, or an Auction Call Redemption, which redemption is irrevocable under the Indenture; and (vi) the short term debt of the Put Counterparty Lender is 111

rated by Moody’s below “P-1”, by Standard & Poor’s below “A-1” (or is rated “P-1” by Moody’s or “A-1” by S&P and is put on a watch list for possible downgrade by such Rating Agency), or such indebtedness ceases to be rated by Moody’s or Standard & Poor’s; provided that a termination event will not be deemed to have occurred under this clause (vi) if, within 30 days of any such downgrade or rating withdrawal, the Put Counterparty obtains a guarantee or a replacement credit support provider, or assigns its rights and obligations under the Put Agreement, or makes certain other remedial arrangements, in each case as specified in the Put Agreement. The Put Counterparty has agreed in the Put Agreement that, except in the case of an “illegality” described in clause (i) of the immediately preceding paragraph, it will not have the right to terminate the Put Agreement. If the Put Counterparty is insolvent and funds for the purchase of the newly issued Class A1 Extended Notes issued on the Put Termination Reissuance Date are not available under the Put Loan Agreement, the Remarketing Agents will offer such Class A1 Extended Notes to investors, and any Class A1 Extended Notes remaining unsold will be issued, pro rata (based on the aggregate principal amount of maturing Class A1 Notes held by each holder) to the existing holders of the maturing Class A1 Notes. Such Class A1 Extended Notes will not thereafter be remarketed pursuant to the Remarketing Agreement. The issuance of such Class A1 Extended Notes to each holder of maturing Class A1 Notes will constitute payment to such holder of principal of such maturing Class A1 Notes, in an amount equal to the aggregate principal amount of the Class A1 Extended Notes issued to such holder, and such full or partial payment of such maturing Class A1 Notes “in kind” will not constitute and Indenture Event of Default. Upon a termination of the Put Agreement, the Issuer may, but shall not be obligated to, seek to enter into a replacement Put Agreement. If upon a termination of the Put Agreement the Issuer is not able to enter into a new Put Agreement, payments due on the Notes will be payable solely from amounts received on the Collateral Debt Securities without the benefits of such terminated Put Agreement. There can be no assurance that the Issuer will be able to enter into an equivalent agreement if the Put Agreement terminates. See “Risk Factors.”

The Remarketing Agreement On the Closing Date, the Issuer will enter into a remarketing agreement with Mizuho Securities USA Inc. (in such capacity, together with any successor in such capacity, the “Co-Remarketing Agent”) and Mizuho International plc (in such capacity, together with any successor in such capacity, the “Remarketing Agent” and together with the Co-Remarketing Agent, the “Remarketing Agents”), pursuant to which the Remarketing Agents will solicit purchasers for the Class A1 Notes (i) to be issued on each MM Reissuance Date and Quarterly Tender Date, so long as the Put Agreement remains in effect, and (ii) on the Put Termination Reissuance Date, solely if the Put Counterparty is insolvent and funds for the purchase of the Class A1 Extended Notes issued on such date are not available under the Put Loan Agreement. The Class A1 Notes (other than the Class A1 Extended Notes) remarketed by the Remarketing Agents will bear interest at a per annum rate that may not exceed LIBOR plus the Maximum Class A1 Spread. The Class A1 Extended Notes remarketed by the Remarketing Agents will bear interest at a per annum rate equal to LIBOR plus 0.18%. The sale proceeds of such Class A1 Notes will be deposited directly into the Remarketing Account for application (a) on such MM Reissuance Date or the Put Termination Reissuance Date, as applicable, to the repayment of principal of or, if such principal has been paid in full, accrued and unpaid interest on, the Class A1 Notes maturing or being redeemed on such day or (b) on such Quarterly Tender Date, to the repayment of principal of or, if such principal has been paid in full, accrued and unpaid interest on, the related Tendered Class A1 Notes. In the event the Remarketing Agreement is terminated, the Issuer will, if so directed by the Put Counterparty, use commercially reasonable efforts to enter into a replacement Remarketing Agreement. In consideration for their services under the Remarketing Agreement, the Issuer will pay the Remarketing Agents an up-front fee on the Closing Date. Pursuant to the terms of the Remarketing Agreement, the Issuer has agreed to indemnify the Remarketing Agents against certain losses and liabilities, including liabilities under the Securities Act. Additionally, pursuant to the terms of the Remarketing Agreement, no amendment thereof will be effected without the prior written consent of the Put Counterparty Lender.

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Upon the occurrence of a Remarketing Agent Breach, the Issuer may, or shall at the direction of the Put Counterparty or the Trustee, remove the Remarketing Agents by giving 10 days’ prior written notice to the Remarketing Agents, the Collateral Manager, the Trustee, each Rating Agency, the Put Counterparty and Put Counterparty Lender; provided that no such notice may be given within seven Business Days prior to any MM Reissuance Date or Quarterly Tender Date. A “Remarketing Agent Breach” means any act or omission constituting bad faith, willful misconduct or gross negligence in the performance, or reckless disregard, of the obligations of the Remarketing Agents under the Remarketing Agreement or under the terms of the Indenture applicable to the Remarketing Agents. In addition, either of the Remarketing Agents may resign at any time and be discharged from its duties and obligations under the Remarketing Agreement as a Remarketing Agent by giving 60 days’ prior written notice to the Issuer, the Trustee, the Put Counterparty, the Put Counterparty Lender, each Rating Agency and the Collateral Manager. The Issuer will not be obligated to appoint a replacement Remarketing Agent unless it is so directed by the Put Counterparty. Any appointment of a replacement Remarketing Agent will be subject to the prior written consent of the Put Counterparty and will be effective upon entering into a remarketing agreement that is substantially similar to the Remarketing Agreement by such replacement Remarketing Agent; provided that the Rating Condition is satisfied with respect to such appointment and with respect to the replacement Remarketing Agreement.

The Accounts Collection Accounts All distributions on the Collateral Debt Securities and any proceeds received from the disposition of any such Collateral Debt Securities, to the extent such distributions or proceeds constitute Interest Proceeds, and any amounts payable to the Issuer by a Hedge Counterparty under any Hedge Agreement will be remitted to a single, segregated, non-interest bearing securities account maintained by the Trustee under the Indenture (the “Interest Collection Account”). All distributions on the Collateral Debt Securities and any proceeds received from the disposition of any such Collateral Debt Securities, to the extent such distributions or proceeds constitute Principal Proceeds (unless simultaneously reinvested in Collateral Debt Securities or Eligible Investments), will be remitted to a single, segregated, non-interest bearing securities account maintained by the Trustee under the Indenture (the “Principal Collection Account” and, together with the Interest Collection Account, the “Collection Accounts”). The Collection Accounts shall be maintained for the benefit of the Secured Parties and amounts on deposit therein will be available, together with reinvestment earnings thereon, for application on each Distribution Date after deposit into the Payment Account and, in each case, in the order of priority set forth under “Description of the Notes—Priority of Payments” and for the acquisition of Collateral Debt Securities under the circumstances and pursuant to the requirements described herein and in the Indenture. Notwithstanding the foregoing, (i) the Trustee shall pay interest received in respect of any Collateral Debt Security that is the subject of an Asset Hedge Agreement to the relevant Asset Hedge Counterparty in accordance with the terms of such Asset Hedge Agreement and (ii) in respect of a Quarterly-Pay Security, deposit, on each applicable monthly Determination Date, a portion of the payments of interest received during the related monthly Due Period, in an amount equal to the Interest Reserve Amount, into the Interest Reserve Account. Amounts received in the Collection Accounts during a Due Period and amounts received in prior Due Periods and retained in the Collection Accounts under the circumstances set forth in “Description of the Notes— Priority of Payments” will be invested as directed by the Collateral Manager in Eligible Investments (as described below) with stated maturities no later than the Business Day immediately preceding the next Quarterly Distribution Date pursuant to the written instructions of the Issuer. All such proceeds will be retained in the Collection Accounts unless used to purchase Collateral Debt Securities during the Reinvestment Period in accordance with the Eligibility Criteria and the Portfolio Concentration Limitations, to honor commitments with respect thereto entered into during the Reinvestment Period, or as otherwise permitted under the Indenture. See “—Eligibility Criteria and Portfolio Concentration Limitations.” “Eligible Investments” include any U.S. Dollar-denominated investment that is one or more of the following (and may include investments for which the Trustee and/or its affiliates provides services or receives compensation): 113

(a) (b)

cash; direct Registered obligations of, and Registered obligations the timely payment of principal and interest on which is fully and expressly guaranteed by, the United States or any agency or instrumentality of the United States the obligations of which are expressly backed by the full faith and credit of the United States; demand and time deposits in, certificates of deposit of, bankers’ acceptances payable within 183 days of issuance issued by, or federal funds sold by any depository institution or trust company incorporated under the laws of the United States or any state thereof and subject to supervision and examination by federal and/or state banking authorities so long as the commercial paper and/or the debt obligations of such depository institution or trust company (or, in the case of the principal depository institution in a holding company system, 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 not less than “Aa2” by Moody’s (and, if rated “Aa2,” such rating from Moody’s has not been placed on a watch list for possible downgrade) and not less than “AA+” by Standard & Poor’s in the case of long-term debt obligations, or “P-1” by Moody’s (and such rating from Moody’s has not been placed on a watch list for possible downgrade) and “A-l+” by Standard & Poor’s (or “A-1” in the case of overnight deposits issued or sold by or maintained with Deutsche Bank Trust Company Americas so long as Deutsche Bank Trust Company Americas is the Trustee) in the case of commercial paper and short-term debt obligations (and no such short-term rating is on watch for possible downgrade); provided that (i) in each case, the issuer thereof must have at the time of such investment a long-term credit rating of not less than “Aa2” by Moody’s (and, if rated “Aa2,” such rating from Moody’s has not been placed on a watch list for possible downgrade) and (ii) in the case of commercial paper and short-term debt obligations with a maturity of longer than 91 days, the issuer thereof must also have at the time of such investment a long-term credit rating of not less than “AA+” by Standard & Poor’s; unleveraged repurchase obligations with a maturity of not longer than one year with respect to (i) any security described in clause (b) above or (ii) any other Registered security issued or guaranteed by an agency or instrumentality of the United States (in each case without regard to the stated maturity of such security), in either case entered into with a U.S. Federal or state depository institution or trust company (acting as principal) described in clause (c) above or entered into with a corporation (acting as principal) whose long-term rating is not less than “Aa2” by Moody’s (and, if rated “Aa2,” such rating from Moody’s has not been placed on a watch list for possible downgrade) and not less than “AAA” by Standard & Poor’s or whose short-term credit rating is “P-1” by Moody’s and “A-1+” by Standard & Poor’s at the time of such investment; provided that (i) in each case, the issuer thereof must have at the time of such investment a long-term credit rating of not less than “Aa2” by Moody’s (and, if rated “Aa2,” such rating from Moody’s has not been placed on a watch list for possible downgrade) and (ii) if such security has a maturity of longer than 91 days, the issuer thereof must also have at the time of such investment a long-term credit rating of not less than “AAA” by Standard & Poor’s; Registered debt securities with a maturity of not longer than one year bearing interest or sold at a discount issued by any corporation incorporated under the laws of the United States or any state thereof that have a credit rating of not less than “Aa2” by Moody’s and not less than “AA-” or “A1+” by Standard & Poor’s; commercial paper or other short-term obligations with a maturity of not more than 183 days from the date of issuance and having at the time of such investment a credit rating of “P-1” by Moody’s and “A-1+” by Standard & Poor’s; provided that (i) in each case, the issuer thereof must have at the time of such investment a long-term credit rating of not less than “Aa2” by Moody’s and (ii) if such security has a maturity of longer than 91 days, the issuer thereof must also have at the time of such investment a long-term credit rating of not less than “AA-” by Standard & Poor’s; reinvestment agreements with a maturity of not longer than one year issued by any bank (if treated as a deposit by such bank), or a Registered reinvestment agreement issued by any insurance 114

(c)

(d)

(e)

(f)

(g)

company or other corporation or entity organized under the laws of the United States or any state thereof (if treated as debt for tax purposes by the issuer), in each case, that has a credit rating of “P-1” by Moody’s and “A-1+” by Standard & Poor’s; provided that (i) in each case, the issuer thereof must have at the time of such investment a long-term credit rating of not less than “Aa2” by Moody’s and (ii) if such security has a maturity of longer than 91 days, the issuer thereof must also have at the time of such investment a long-term credit rating of not less than “AA-” by Standard & Poor’s; and (h) interests in any money market fund or similar investment vehicle having at the time of investment therein the highest credit rating assigned by Moody’s (and such rating from Moody’s has not been placed on a watch list for possible downgrade) and a rating of at least AAAm or AAAmg by Standard & Poor’s; provided that the ownership of an interest in such fund or vehicle will not subject the Issuer to net income tax in any jurisdiction and that payments in respect of such fund or vehicle are not subject to any material amount of deduction or withholding in respect of tax under sections 871 and 881 of the Code, taking into account the American Jobs Creation Act of 2004 and any amendments promulgated thereafter;

and, in each case (other than an investment in clause (a) above), with a stated maturity (giving effect to any applicable grace period) no later than the Business Day immediately preceding the Quarterly Distribution Date next following the Due Period in which the date of investment occurs; provided that Eligible Investments may not include (i) any Interest Only Security, (ii) any security purchased at a price in excess of 100% of the par value thereof, (iii) any interest, principal or other payments that are subject to deduction or withholding for or account of any withholding or similar tax, unless the issuer of such security is required to make “gross up” payments that ensure that the net amount actually received by the Issuer (free and clear of taxes, 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 been required, (iv) any security whose repayment is subject to substantial non-credit related risk as determined in the judgment (exercised in accordance with the standard of care set forth in the Collateral Management Agreement) of the Collateral Manager, (v) any Floating Rate Security whose interest rate is inversely or otherwise not proportionately related to an interest rate index or is calculated as other than the sum of an interest rate index plus a spread, (vi) any mortgage-backed securities, (vii) any security whose rating by Standard & Poor’s includes the subscript “r,” “t,” “p,” “pi,” or “q” and (viii) any security subject to an Offer; provided further that the outstanding principal amount of Eligible Investments rated “A-1” by Standard & Poor’s may not exceed 20% of the aggregate outstanding principal amount of Notes rated by Standard & Poor’s (other than overnight deposits issued or sold by or maintained with Deutsche Bank Trust Company Americas so long as Deutsche Bank Trust Company Americas is the Trustee); provided further that any Eligible Investments rated “A-1” by Standard & Poor’s must have a maturity of 30 days or less. Payment Account On or prior to the Business Day prior to each Distribution Date, the Trustee will deposit into a single, segregated, non-interest bearing securities account maintained by the trust department of the Trustee under the Indenture (the “Payment Account”) for the benefit of the Secured Parties all funds in the Collection Accounts received in respect of the related Due Period (other than amounts that the Issuer is entitled to reinvest in accordance with the Eligibility Criteria and the Portfolio Concentration Limitations, which may be retained in the Collection Accounts for subsequent reinvestment, if the Issuer so elects as set forth in the Indenture) required for payments to holders of the Notes and for payments to the Subordinated Note Issuing and Paying Agent for distribution to the Subordinated Noteholders and payments of fees and expenses in accordance with the priority described under “Description of the Notes—Priority of Payments.” Uninvested Proceeds Account On the Closing Date, the Trustee will deposit into a single, segregated, non-interest bearing securities account maintained by the trust department of the Trustee under the Indenture (the “Uninvested Proceeds Account”) into which the Trustee will deposit all Uninvested Proceeds. The Collateral Manager on behalf of the Issuer may direct the Trustee to, and upon such direction the Trustee shall, invest all funds in the Uninvested Proceeds Account in Collateral Debt Securities or Eligible Investments designated by the Collateral Manager.

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Immediately following the date the Trustee has received notice that the Rating Confirmation is effective, the Trustee shall, upon direction of the Collateral Manager, transfer any funds remaining on deposit in the Uninvested Proceeds Account (a) if (1) the aggregate principal balance of the Collateral Debt Securities on the Ramp-Up Completion Date equals or exceeds the Aggregate Ramp-Up Par Amount and (2) the Aggregate Weighted Average Price on the Ramp-Up Completion Date is at least 95%, (i) to the Interest Collection Account an amount (determined by the Collateral Manager in its sole discretion) up to U.S.$2,000,000 for distribution as Interest Proceeds on such date (or if such date is not a Distribution Date, on the immediately succeeding Distribution Date) and (ii) to the Principal Collection Account, any funds remaining on deposit in the Uninvested Proceeds Account after such transfer pursuant to clause (i) above for treatment as Principal Proceeds on such date (or if such date is not a Distribution Date, on the immediately succeeding Distribution Date), or (b) if (1) the aggregate principal balance of the Collateral Debt Securities on the Ramp-Up Completion Date is less than the Aggregate Ramp-Up Par Amount or (2) the Aggregate Weighted Average Price on the Ramp-Up Completion Date is less than 95%, to the Principal Collection Account for treatment as Principal Proceeds on such date (or if such date is not a Distribution Date, on the immediately succeeding Distribution Date); provided that the Trustee shall on the first Quarterly Distribution Date after a Rating Confirmation Failure apply Uninvested Proceeds to cure any Rating Confirmation Failure to the extent specified by a Rating Agency in order to obtain a Rating Confirmation, and shall transfer any Uninvested Proceeds remaining after such application to the Principal Collection Account to be treated as Principal Proceeds on and after such Quarterly Distribution Date. Interest and other income from such investments shall be deposited in the Uninvested Proceeds Account, any gain realized from such investments shall be credited to the Uninvested Proceeds Account, and any loss resulting from such investments shall be charged to the Uninvested Proceeds Account. Investment earnings on Eligible Investments in the Uninvested Proceeds Account will be transferred to the Interest Collection Account and treated as Interest Proceeds on each Distribution Date. Expense Account On the Closing Date, U.S.$100,000 from the proceeds of the offering of the Securities will be deposited by the Trustee into a single, segregated, non-interest bearing securities account maintained by the Trustee under the Indenture (the “Expense Account”). All funds on deposit in the Expense Account will be invested in Eligible Investments pursuant to written instructions by the Collateral Manager on behalf of the Issuer. Except as provided in the Priority of Payments, the only permitted withdrawal from or application of funds on deposit in, or otherwise standing to the credit of, the Expense Account shall be (x) to pay (on any day other than a Distribution Date) accrued and unpaid administrative expenses of the Issuer (other than fees of the Trustee and the Collateral Administrator) and (y) with respect to any Redemption Date, the Term Note Stated Maturity, the Accelerated Maturity Date or any other Quarterly Distribution Date on which final payment will be made on the Notes, to deposit such funds in the Payment Account and apply such funds as Interest Proceeds on such Distribution Date. Remarketing Account On or prior to the Closing Date, the Trustee will cause to be established a single, segregated, non-interest bearing securities account maintained by the Trustee under the Indenture for the benefit of the holders of the Class A1 Notes and the Put Counterparty (the “Remarketing Account”), into which the Trustee will from time to time deposit all proceeds received by the Trustee (including proceeds received from or on behalf of the Put Counterparty) from the issuance of new Class A1 Notes on any Remarketing Date, Put Termination Reissuance Date, Settlement Failure Reissuance Date or other settlement date under the Put Agreement and proceeds of the Put Agreement received on the Class A1 Final Distribution Date. Except as provided in the Indenture, the only permitted withdrawal from or application of funds on deposit in, or otherwise standing to the credit of, the Remarketing Account will be to pay pro rata, on the same date as such funds are deposited (or thereafter, if not applied on such date), principal of the Class A1 Notes maturing on such day (or on the related MM Reissuance Date, in the case of a Settlement Failure in respect of such date), or the Tendered Class A1 Notes, Put Counterparty Acquired Notes or other Class A1 Notes being redeemed on such date pursuant to the Indenture, in each case without regard to the Priority of Payments). Interest Reserve Account On or prior to the Closing Date, the Trustee will cause to be established a single, segregated, non-interest bearing securities account maintained by the Trustee under the Indenture (the “Interest Reserve Account”) for the 116

purpose of holding the funds received in respect of a portion of the payments of interest received in respect of Quarterly-Pay Securities. On the second and third monthly Determination Dates following each Quarterly Distribution Date, the Trustee shall deposit the Interest Reserve Amount into the Interest Reserve Account in respect of payments of interest received in the related monthly Due Period from Quarterly-Pay Securities. On the first monthly Determination Date following any Quarterly Distribution Date, the Interest Release Amount with respect to each such Collateral Debt Security will be withdrawn from the Interest Reserve Account and deposited into the Interest Collection Account for distribution as Interest Proceeds. All funds on deposit in the Interest Reserve Account will be invested in Eligible Investments at the direction of the Collateral Manager on behalf of the Issuer. Synthetic Security Counterparty Accounts If and to the extent that any Synthetic Security requires the Issuer to secure its obligations with respect to such Synthetic Security, the Trustee will establish a single, segregated, non-interest bearing securities account in respect of each Synthetic Security (each such account, a “Synthetic Security Counterparty Account”) that will be held in trust for the benefit of the related Synthetic Security Counterparty, and over which the Trustee will have exclusive control and the sole right of withdrawal in accordance with the applicable Synthetic Security and the Indenture. As directed by the Collateral Manager, the Trustee will deposit into each Synthetic Security Counterparty Account the amount that is required to secure the obligations of the Issuer in accordance with the terms of the related Synthetic Security. The Collateral Manager shall direct any such deposit only during the Reinvestment Period (or after the Reinvestment Period in respect of commitments to invest in Synthetic Securities made during the Reinvestment Period) and only to the extent that monies are available for the purchase of Collateral Debt Securities from Uninvested Proceeds and Principal Proceeds in accordance with the terms of the Indenture. Except for investment earnings, the Issuer shall not have any legal, equitable or beneficial interest in any of the Synthetic Security Counterparty Accounts other than in accordance with the Indenture, the applicable Synthetic Security and applicable law. As directed by the Collateral Manager in writing and in accordance with the applicable Synthetic Security, cash on deposit in a Synthetic Security Counterparty Account (including any principal payments on investments in the Synthetic Security Counterparty Account) on behalf of a Synthetic Security Counterparty will be invested (or reinvested if such cash is derived from principal payments) in Synthetic Security Collateral on behalf of a Synthetic Security Counterparty in accordance with the terms of the applicable Synthetic Security. To the extent so provided in the Synthetic Security, income received on amounts on deposit in each Synthetic Security Counterparty Account will be applied, as directed by the Collateral Manager, to the payment of any periodic amounts owed by the Issuer to such Synthetic Security Counterparty on the date any such amounts are due. After application of any such amounts, any income then contained in such Synthetic Security Counterparty Account will be withdrawn from such account and deposited in the Interest Collection Account for distribution as Interest Proceeds. Except as described in the preceding sentence, amounts on deposit in each Synthetic Security Counterparty Account will not be included in the Collateral, will not be available to make payments under the Notes and shall not be considered to be an asset of the Issuer for purposes of any of the Coverage Tests and Collateral Quality Tests, but the Synthetic Security that relates to such Synthetic Security Counterparty Account shall be considered an asset of the Issuer. In connection with the occurrence of (a) a credit event or (with some exceptions) a floating amount event, (b) an event of default or (c) a termination event under the related Synthetic Security, amounts or securities contained in any Synthetic Security Counterparty Account shall be withdrawn by the Trustee and applied toward the payment of any amounts payable by the Issuer to the related Synthetic Security Counterparty in accordance with the terms of such Synthetic Security, as directed by the Collateral Manager in writing. Any excess amounts held in a Synthetic Security Counterparty Account after payment of all amounts owing from the Issuer to the related Synthetic Security Counterparty in accordance with the terms of the related Synthetic Security shall be withdrawn from such Synthetic Security Counterparty Account and deposited in the Principal Collection Account for application in accordance with the terms of the Indenture.

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Synthetic Security Issuer Account If and to the extent that any Synthetic Security requires the Synthetic Security Counterparty to secure its obligations with respect to such Synthetic Security, the Trustee will establish a single, segregated, non-interest bearing securities account held in the name of the Trustee for the benefit of the Issuer (each such account, a “Synthetic Security Issuer Account”). The Trustee shall deposit into each Synthetic Security Issuer Account all amounts that are required to secure the obligations of the Synthetic Security Counterparty in accordance with the terms of such Synthetic Security. Except for investment earnings, a Synthetic Security Counterparty shall not have any legal, equitable or beneficial interest in any Synthetic Security Issuer Account other than in accordance with the Indenture, the applicable Synthetic Security and applicable law. As directed by the Collateral Manager in writing and in accordance with the applicable Synthetic Security, amounts on deposit in a Synthetic Security Issuer Account on behalf of the Issuer shall be invested in accordance with the terms of the applicable Synthetic Security. Income received on amounts on deposit in each Synthetic Security Issuer Account will be withdrawn from such account and paid to the related Synthetic Security Counterparty or the Issuer in accordance with the applicable Synthetic Security. Cash and amounts invested in accordance with the terms of the applicable Synthetic Security on deposit in each Synthetic Security Issuer Account will not be included in the Collateral and will not be available to make payments under the Notes other than as a result of an event of default or termination event under the related Synthetic Security caused by the related Synthetic Security Counterparty or as otherwise specified in such Synthetic Security. Amounts contained in any Synthetic Security Issuer Account will not be considered to be an asset of the Issuer for purposes of any of the Collateral Quality Tests or the Coverage Tests, but the Synthetic Security that relates to such Synthetic Security Issuer Account will be so considered an asset of the Issuer. Upon the occurrence of an event of default or a termination event under any Synthetic Security, amounts contained in the related Synthetic Security Issuer Account shall, as directed by the Collateral Manager in writing, be withdrawn by the Trustee and applied to the payment of any amount payable by the related Synthetic Security Counterparty to the Issuer as a result of such event of default or termination event. Any excess amounts held in a Synthetic Security Issuer Account after payment of all amounts owing from the related Synthetic Security Counterparty to the Issuer as a result of an event of default or termination event, or as otherwise specified in such Synthetic Security, shall be withdrawn from such Synthetic Security Issuer Account and paid to the related Synthetic Security Counterparty in accordance with the applicable Synthetic Security.

MIZUHO INTERNATIONAL PLC The information appearing in this section has been prepared by Mizuho International plc and has not been independently verified by the Issuer, the Collateral Manager, the Trustee or any other person. Accordingly, notwithstanding anything to the contrary herein, none of the Issuer, the Collateral Manager or the Trustee assumes any responsibility for the accuracy, completeness or applicability of such information. Mizuho International plc (“MHI”) will act as the Initial Purchaser and the Put Counterparty and may also act as a Hedge Counterparty under a Hedge Agreement entered into after the Closing Date and as a Synthetic Security Counterparty under one or more Synthetic Securities entered into after the Closing Date. MHI is an institution which is authorised and regulated by the Financial Services Authority and, pursuant thereto, is authorised to accept deposits pursuant to the Financial Services and Markets Act 2000. MHI is incorporated as a public company in England and Wales. MHI’s registered office is at Bracken House, One Friday Street, London EC4M 9JA. MHI is a member of Mizuho Financial Group (the “Group”) comprising Mizuho Financial Group, Inc. (“MHFG”) and its subsidiaries. MHFG was formed in September 2000 for the purpose of the merger of Fuji Bank (“Fuji”), Dai-Ichi Kangyo Bank (“DKB”) and The Industrial Bank of Japan (“IBJ”). On 1 April 2002 the operations of each of IBJ, Fuji and DKB were reorganised according to customer segment and by business activities and

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consolidated into two legally separate subsidiaries, Mizuho Bank, Ltd. (“MHBK”) and Mizuho Corporate Bank, Ltd (“MHCB”). Activities MHI is the London-based securities underwriting, broking and trading company within the Group and is the direct subsidiary of Mizuho Securities Co., Ltd. (“MHSC”), which is also a subsidiary of MHCB. MHI’s activities include both customer and proprietary business in debt and equity securities, repurchase activities, money market loans and deposits, and the provision of custody services. In order to meet customer demand, MHI carries portfolios of cash instruments, together with derivative instruments for hedging purposes, and maintains access to market liquidity. Its proprietary activities involve taking positions as principal in the interest rate and securities markets. MHI uses recognised techniques to manage the risks inherent in its business. Recent Developments within Mizuho Financial Group, Inc. As of 8 November 2006, MHFG has been listed for trading on the New York Stock Exchange. In December 2006 MHFG (and also MHCB) received financial holding company status under the U.S. Bank Holding Company Act 1956. On 10 January 2007, it was announced that MHSC and Shinko Securities Co., Ltd. have reached basic agreement that they will merge as of a target date of 1 January 2008.

WORKING CAPITAL MANAGEMENT CO. L.P. The information appearing in this section has been prepared by Mizuho International plc and has not been independently verified by the Issuer, the Collateral Manager or the Trustee or any other person. Accordingly, notwithstanding anything to the contrary herein, none of the Issuer, the Collateral Manager or the Trustee assumes any responsibility for the accuracy, completeness or applicability of such information. Working Capital Management Co. L.P. (“WCMC”) is a California limited partnership the business operations of which are managed solely by its general partner, SFC Management Inc. (“SFCMGT”), a Delaware corporation. WCMC was established to: (i) purchase interests in, or interests in pools of, accounts receivable representing part or all of the sales price of merchandise, insurance and services; (ii) make loans to manufacturers, wholesalers and retailers of specified merchandise, insurance and services; and (iii) engage in other similar financing activities (all such interests are hereinafter referred to as “Receivable Interests”). WCMC funds the aforementioned Receivable Interests through the issuance of United States dollar denominated commercial paper promissory notes (the “Promissory Notes”). Based upon the underlying quality of the Receivables Interests and certain program structural features, the notes issued by WCMC are rated A-1, P-1 and F-1 by Standard and Poor’s, Moody’s and Fitch, respectively.

SWISS RE FINANCIAL PRODUCTS CORPORATION The information appearing in this section has been prepared by Swiss Re Financial Products Corporation and has not been independently verified by the Issuer, the Collateral Manager, the Placement Agents, the Initial Purchaser, the Trustee or any other person. Accordingly, notwithstanding anything to the contrary herein, none of the Issuer, the Collateral Manager, the Placement Agents, the Initial Purchaser or the Trustee assumes any responsibility for the accuracy, completeness or applicability of such information. Swiss Re Financial Products Corporation (“SRFP”) is a Delaware corporation incorporated on May 23, 1995. In the course of conducting its business, SRFP trades in over-the-counter derivative products and structures and advises on a variety of financial transactions that transfer insurance, market or credit risk to or from capital

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markets. SRFP’s headquarters are located at 55 East 52nd Street, New York, New York 10055. SRFP currently has a long-term counterparty credit rating of “AA-” and a short-term debt rating of “A-1+” from Standard & Poor’s. SRFP is an indirect, wholly owned subsidiary of Swiss Reinsurance Company (“Swiss Re”), a Swiss corporation. The obligations of SRFP under the Initial Hedge Agreement are fully and unconditionally guaranteed under a guaranty by Swiss Re. Swiss Re was founded in Zurich, Switzerland, in 1863 and since then has become one of the world’s leading reinsurers. Swiss Re and its reinsurance subsidiaries have over 70 offices in more than 30 countries. Swiss Re’s headquarters are located at Mythenquai 50/60, CH-8022, Zurich, Switzerland. On June 12, 2006, Swiss Re announced that it completed its acquisition of GE Insurance Solutions (excluding its US life and health business) from General Electric. Swiss Re currently has (i) from Standard & Poor’s: long-term counterparty credit, financial strength and senior unsecured debt ratings of “AA-” and a short-term counterparty credit rating of “A-1+,” (ii) from Moody’s: insurance financial strength and senior debt ratings of “Aa2” (negative outlook), and a short-term rating of “P-1” and (iii) from Fitch: insurer financial strength rating (Fitch initiated) and long-term issuer rating (Fitch initiated) of “AA-”. Various regulatory authorities, including the U.S. Securities and Exchange Commission and State Attorneys General in the United States, including the New York State Attorney General’s office, State Insurance Departments in the United States and the U.K. Financial Services Authority, as well as law enforcement agencies, are conducting investigations on various aspects of the insurance industry, including the use of non-traditional, or loss mitigation insurance, products. Swiss Re is among the companies that have received subpoenas to produce documents relating to "non-traditional" products as part of these investigations. Swiss Re has announced that it is cooperating fully with all requests for documents addressed to Swiss Re. It is unclear at this point what the ultimate scope of the investigations will be, in terms of the products, parties or practices under review, particularly given the potentially broad range of products that could be characterized as "non-traditional." It is therefore also unclear what the direct or indirect consequences of such investigations will be, and Swiss Re is not currently in a position to give any assurances as to the consequences for it or the insurance and reinsurance industries of the foregoing investigations or related developments. Any of the foregoing could adversely affect its business, results of operations and financial condition. The information contained in the preceding four paragraphs has been provided by SRFP and Swiss Re for use in this Prospectus. Neither SRFP nor Swiss Re undertakes any obligation to update such information. SRFP and Swiss Re have not been involved in the preparation of, and do not accept responsibility for, this Prospectus as a whole.

THE COLLATERAL MANAGER The information appearing in this section has been prepared by the Collateral Manager and has not been independently verified by the Issuer, the Placement Agents, the Initial Purchaser, the Trustee, or any other person. Accordingly, notwithstanding anything to the contrary herein, none of the Issuer, the Initial Purchaser, the Placement Agents, the Initial Purchaser or the Trustee assumes the responsibility for the accuracy, completeness or applicability of such information. HarbourView Asset Management Corporation HarbourView Asset Management Corporation, a New York corporation (“HarbourView”), will act as collateral manager to the Issuer (in such capacity, together with any successor, the “Collateral Manager”). The offices of HarbourView are located at 2 World Financial Center, New York, NY 10281. HarbourView is an indirect subsidiary of OppenheimerFunds, Inc. (“Oppenheimer” or “OFI”), which has been managing investor assets since 1959. As of December 31, 2006, OFI, along with its subsidiaries and sister corporations, managed over $240 billion in assets including approximately $109 billion in fixed income assets and over $13 billion in asset-backed and mortgage-backed securities. MassMutual Financial Group has been the majority shareholder of OFI since 1990. HarbourView investment professionals responsible for the portfolio 120

selection and management of the Collateral Debt Securities consist of 8 investment professionals with substantial experience in managing asset-backed and mortgage-backed securities. All references herein to HarbourView and its staff will be deemed to include reference to OFI unless otherwise specifically stated. HarbourView and OFI are not affiliated with Oppenheimer & Co. Inc. or Oppenheimer Capital. Past returns do not reflect future performance. All references to HarbourView’s affiliates and sister companies do not include MassMutual Financial Group. The Collateral Manager is a registered investment adviser under the Advisers Act. Biographies Set forth below are the professional experiences of certain officers and employees of the Collateral Manager. Such persons will not be engaged full time in the management of the Collateral Debt Securities. Such persons may not necessarily continue to be so employed during the entire term of the Collateral Management Agreement or may not continue to perform services for the Collateral Manager under the Collateral Management Agreement. See “Risk Factors—Conflicts of Interest Involving the Collateral Manager”. Kurt J. Wolfgruber–Chief Investment Officer of OFI and Director of HarbourView Kurt Wolfgruber, Chief Investment Officer of OFI, is responsible for the overall direction of OFI’s investment organization and oversight of the underlying investment process. When he joined OFI in April 2000 as Senior Investment Officer and Director of Domestic Equities, Mr. Wolfgruber was responsible for the investment process of the $65 billion in assets managed by OFI’s domestic equity portfolio teams. In this capacity, he oversaw portfolio managers and analysts working to manage U.S. equity and balanced funds that cover a broad range of equity product offerings with respect to market capitalization and growth/value orientation. Mr. Wolfgruber has been involved in investment management for nearly 30 years. He joined JP Morgan Investment Management in 1974 as a research analyst and was responsible for covering the electric and telephone utility industries, leasing, cable television and ferrous and non-ferrous metals from 1974 to 1978. In 1978, he became a portfolio manager, managing trusts, estates and private client accounts. He later assumed management of domestic and global equity and balanced accounts for major U.S. and European pension and institutional clients. Mr. Wolfgruber’s most recent position at JP Morgan Investment Management was as a Managing Director, Group Head and Portfolio Manager for the Multi-Market Special Investment Funds, a series of closed-end funds invested in a broad array of higher risk, equity type investments. He holds an M.B.A. from the University of Virginia (Darden) and a B.A. in Economics from Ithaca College. He is a Chartered Financial Analyst. Jerry Webman–Chief Economist, Senior Investment Officer and Director of Fixed Income of OFI and Senior Vice President of HarbourView Jerry Webman is the Senior Investment Officer and Senior Vice President of HarbourView and Director of Fixed Income Investments of OFI, as well as Senior Investment Officer/Chief Economist of OFI. In this capacity, he oversees portfolio managers, analysts, and traders who manage over $100 billion in fixed income assets. Prior to joining OFI in 1996, Mr. Webman was Managing Director and Chief Fixed Income Strategist at Prudential Mutual Funds. Before Prudential, he specialized in municipal housing finance with a public finance advisory firm. Mr. Webman began his municipal finance career at Merrill Lynch Capital Markets in the Municipal Research Department. Previously he was an Assistant Professor of Politics and Public Affairs at Princeton University. Mr. Webman holds a B.A. in Political Science, with Honors, from the University of Chicago, where he graduated Phi Beta Kappa, and Ph.D. in Political Science from Yale University. He is a Chartered Financial Analyst. William Jaume–Senior Vice President, HarbourView William Jaume is a Senior Vice President and Director of Structured Finance products for HarbourView, a subsidiary of OFI. He is the business manager for the firm’s CDO and structured finance initiatives. Mr. Jaume has been involved in the CDO and structured finance business since 1999. Previously, Mr. Jaume was responsible for the implementation of OFI’s offshore funds initiative. Mr. Jaume has 22 years of financial services industry experience in the areas of custody, brokerage operations, cash management, corporate trust, mutual funds and Structured Finance. Prior to OFI and HarbourView, he worked at Citibank, Bankers Trust Company, Fidelity

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Investments and Dean Witter. Mr. Jaume has a B.A. from Williams College and an M.B.A. in Finance from New York University. Liz McCormack–Vice President, HarbourView Liz McCormack has been a CDO Analyst for HarbourView since January 2001. In this capacity, she is a member of the team responsible for the infrastructure supporting the CDO and structured finance products and she provides analytical support for CDO portfolio managers. Prior to joining HarbourView, Ms. McCormack was employed at the Federal Reserve Bank of New York (NYFRB) as a bank regulator for trust products. Before the NYFRB, Ms. McCormack was employed at Bankers Trust Company for 9 years, primarily as a controller and project manager for Corporate Trust and Global Cash products. She has also performed a variety of roles in all aspects of Corporate Trust administration and operations. Ms. McCormack has a B.S. in Accounting from Providence College. Barry D. Weiss, Vice President/Portfolio Manager - HarbourView & OFI Barry Weiss is the Portfolio Manager for the AAArdvark portfolios in charge of making investment decisions and setting portfolio strategy as it relates to the creation and maintenance of those portfolios. Mr. Weiss is additionally a co-portfolio manager for the Centennial Money Market Trust, the Centennial Government Trust, the Oppenheimer Cash Reserves, and the Oppenheimer Money Fund/VA, where he is primarily responsible for co-managing more than $35 billion of assets. Mr. Weiss joined OFI as Assistant Vice President/Senior Credit Analyst in 2000. Mr. Weiss was promoted to Vice President/Portfolio Manager in June 2001. Previously, Mr. Weiss worked at Fitch IBCA, Inc., where he was an Associate Director in the Structured Finance Group. Prior to joining Fitch IBCA in 1996, Mr. Weiss spent eight years in the Office of the Mayor, Office of Management and Budget of the City of New York. Mr. Weiss has earned a B.S. from the University of South Dakota and a M.F.A. from Brooklyn College. Mr. Weiss is a Chartered Financial Analyst. Carol E. Wolf, Senior Vice President/Portfolio Manager/Director of Money Markets - HarbourView & OFI Carol Wolf is head of the Denver based HarbourView AAArdvark Team, and OFI’s Money Market Group, which has more than $35 billion under management. Ms. Wolf is also co-manager of the Oppenheimer Money Market Fund, the Centennial Money Market Trust, the Centennial Government Trust, the OFI Cash Reserves, and the OFI Money Fund/VA. Ms. Wolf has twenty-three years of investment experience. Prior to joining OFI, she managed and traded over $1.2 billion in money market mutual funds for Prudential Insurance Company and pension assets for Prudential Fixed Income Advisors. In addition to her previous fixed income experience, she was an equity analyst in the Prudential Asset Management Group. Ms. Wolf holds a B.A. in Economics from Rutgers University and studied finance on the graduate level at New York University. Ms. Wolf is active in several professional organizations and is on the board of several charitable organizations. Eric Richter, Vice President/ Portfolio Manager - HarbourView & OFI Eric Richter joined OFI/HarbourView in February 2006. Mr. Richter has an extensive background in structured products and is focused on the AAArdvark products, specializing in residential mortgage-backed securities, mortgage-backed securities, commercial mortgage-backed securities, asset-backed securities, and collateralized debt obligations investments. Prior to joining OFI/HarbourView, Mr. Richter was an Investment Officer at the Alaska Permanent Fund Corp., where he was in charge of managing the structured products allocation of the fund’s internal portfolio. Mr. Richter also spent eight years at Loomis Sayles & Co as a senior analyst responsible for mortgagebacked and asset-backed securities, and five years at Schroders as a fixed income portfolio manager. Mr. Richter earned a B.A. in economics from the University of Massachusetts at Amherst, and an M.B.A. in finance from the New York University Stern School of Business. Mr. Richter is a Chartered Financial Analyst. Lisa Crotty, Assistant Vice President/Analyst - OFI Lisa Crotty joined the OFI Money Market Group in 1998, and was promoted to Assistant Vice President in 2003. Ms. Crotty’s responsibilities include analyzing companies in the global banking and capital markets sectors, and researching CDO performance, as it relates to investment holdings for the AAArdvark portfolios. Additionally, Ms. Crotty has spent the past eight years as an analyst within the OFI Money Market Group, focusing on domestic and foreign bank analysis. Ms. Crotty has earned a B.S.B.A. in Accounting from Colorado State University and is currently enrolled in the Graduate Business Certificate Program in Finance-Investments at the University of Denver.

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Oliver Wolff, Assistant Vice President/Analyst - OFI Oliver Wolff joined the OFI Money Market Group in January 2001, and was promoted to Analyst from Junior Analyst in 2003. Mr. Wolff is responsible for the analysis and surveillance of asset-backed securities, mortgagebacked securities, and collateralized debt obligations, as it relates to the AAArdvark portfolios. In addition to those duties, Mr. Wolff is the senior ABS analyst for the OFI Money Market Group, focusing on asset-backed securities, asset-backed commercial paper conduits, and structured investment vehicles. Prior to joining the OFI Money Market Group, Mr. Wolff had been a Senior Internal Auditor for OFI for four years. Mr. Wolff has earned a B.S. in Business Administration and German from the University of Colorado. Mr. Wolff is currently a Level II candidate in the CFA program. David Falicia, Assistant Vice President/Trader - OFI David Falicia joined OFI in November 1992 as an Assistant Trader, and was promoted to Trader in 1998. Mr. Falicia is responsible for maintaining the trading system, and executing trades for the AAArdvark portfolios. In addition, Mr. Falicia is responsible for creating and maintaining a surveillance database, related to the performance of mortgage-backed securities in the marketplace. Mr. Falicia is also the lead trader for the OFI Money Market Funds. Mr. Falicia earned a B.A. in Economics from the University of California, Irvine. Adam Wilde, Analyst - OFI Adam Wilde joined the OFI Money Market Group in May 2005. Mr. Wilde is responsible for the monitoring of investment positions, producing daily updates on performance, including delinquencies, pricing speeds, and market values for the AAArdvark portfolios. In addition, Mr. Wilde is an analyst within the OFI Money Market Group, responsible for the analysis of Corporate and Insurance credits. Prior to joining the OppenheimerFunds Money Market Group, Mr. Wilde was a Senior Fund Analyst within OFI’s Fund Accounting Group where he oversaw daily functions involving structured notes, GAAP rules, ISDA documentation and FASB standards. Mr. Wilde has earned a B.A. in Finance from the University of Northern Iowa and is an M.B.A. candidate at the University of Colorado at Denver. Jahan Sadeghi, Trader - OFI Jahan Sadeghi joined the OFI Money Market Group in January 2001. Mr. Sadeghi began working on the AAArdvark portfolios in 2004. Mr. Sadeghi is the lead trader for the AAArdvark portfolios, focusing on the settlement and execution of each asset investment as well as the cash utilization for those portfolios. Mr. Sadeghi is also a trader for the OFI Money Market Funds. In addition to his trading duties, Mr. Sadeghi is responsible for ensuring compliance with SEC regulations, Board policies and internal procedures within the OFI Money Market Group. Mr. Sadeghi has earned a B.S.B.A. from University of Denver, and an M.B.A. from the University of Colorado–Denver.

THE COLLATERAL MANAGEMENT AGREEMENT Collateral Manager Fee. As compensation for the performance of its obligations as Collateral Manager under the Collateral Management Agreement, the Collateral Manager will receive (i) a management fee (the “Senior Collateral Management Fee”) on each Monthly Distribution Date, equal to 0.10% per annum of the Monthly Asset Amount on each Distribution Date, computed on the basis of a 360 day year consisting of twelve 30 day months and (ii) an incentive management fee (the “Incentive Management Fee” and together with the Senior Collateral Management Fee, the “Collateral Management Fee”) on each Quarterly Distribution Date, to the extent that funds are available therefor in accordance with the Priority of Payments, in an amount equal to 20.0% of the aggregate amounts available on each Quarterly Distribution Date for application in accordance with paragraph (20) of “Description of the Notes—Priority of Payments—Interest Proceeds,” and paragraph (7) of “Description of the Notes—Priority of Payments—Principal Proceeds,” if, on such Quarterly Distribution Date, the Internal Rate of Return for such Distribution Date is greater than or equal to 12.0%. To the extent not paid on any Distribution Date when due, any accrued Collateral Management Fee will be deferred and will be payable on subsequent Distribution Dates in accordance with the Priority of Payments. Any Collateral Management Fee accrued but not paid prior to the resignation or removal of a Collateral Manager shall continue to be payable to such Collateral Manager on the Monthly Distribution Date or Quarterly Distribution Date, as applicable, immediately following the effectiveness of such resignation or removal and on each subsequent Monthly Distribution Date or Quarterly Distribution Date, as 123

the case may be, until paid in full, in each case in accordance with the Priority of Payments. Upon termination of the Collateral Management Agreement, any Collateral Management Fee accrued but not paid to the Collateral Manager shall be prorated for any partial periods between Monthly Distribution Dates or Quarterly Distribution Dates, as applicable, during which the Collateral Management Agreement was in effect and shall be due and payable on the first Monthly Distribution Date or Quarterly Distribution Date, as applicable, following the date of such termination in accordance with the Priority of Payments and, to the extent not paid in full on such Distribution Date, on each Monthly Distribution Date or Quarterly Distribution Date, as the case may be, thereafter subject to the Priority of Payments until paid in full. The Collateral Manager may, in its sole discretion, elect to waive or defer all or a portion of any Collateral Management Fee due and payable on a Quarterly Distribution Date (and if it so elects, it will provide notice to the Trustee no later than the related Determination Date). Such waived or deferred Collateral Management Fee will be payable on future Distribution Dates in accordance with the Priority of Payments in the same manner as accrued and unpaid Collateral Management Fees. Standard of Care. The Collateral Manager is required under the Collateral Management Agreement, subject to the terms and conditions of the Collateral Management Agreement and of the Indenture, to perform its obligations under the Collateral Management Agreement and under the Indenture with reasonable care, and using a degree of skill and attention no less than that which the Collateral Manager exercises with respect to comparable assets that it manages for itself and for others in accordance with its existing practices and procedures relating to assets of the nature and character of the Collateral Debt Securities and in a manner reasonably consistent with the degree of skill and attention exercised by institutional managers of national standing managing assets of the nature and character of the Collateral. The Collateral Management Agreement provides that, to the extent not inconsistent with the foregoing, the Collateral Manager may follow its customary standards, policies and procedures in performing its duties under the Collateral Management Agreement and under the Indenture. The Collateral Manager may perform any of its obligations under the Collateral Management Agreement through one or more of its affiliates Indemnification and Exculpation of Collateral Manager. The Collateral Manager, its directors, officers, partners, employees, affiliates and agents will not be liable to the Issuer, the Trustee, the Collateral Administrator or the Subordinated Note Issuing and Paying Agent for any expenses, losses, damages, demands, charges, judgments, assessments, costs or other liabilities or claims (including reasonable attorneys’ and accountants’ fees and expenses) (collectively, “Liabilities”) of any nature whatsoever incurred by the Issuer, the Trustee, the Subordinated Note Issuing and Paying Agent or the Collateral Administrator that arise out of or in connection with the performance by the Collateral Manager of its duties under the Collateral Management Agreement, the Collateral Administration Agreement or the Indenture or for any acts or omissions by the Collateral Manager or any affiliate under or in connection with the Collateral Management Agreement, the Indenture, the Subordinated Note Issuing and Paying Agency Agreement, the Collateral Administration Agreement and the Securities applicable to it, except (i) by reason of acts or omissions of the Collateral Manager constituting criminal conduct, fraud, bad faith, willful misconduct or gross negligence in the performance, or reckless disregard, of the obligations of the Collateral Manager under the terms of the Collateral Management Agreement and the Indenture specifically applicable to the Collateral Manager; or (ii) with respect to the information, concerning the Collateral Manager set forth under the heading “The Collateral Manager” in this Prospectus, such information containing any untrue statement of material fact or omitting to state a material fact necessary in order to make the statements therein, in light of the circumstances under which they were made, not misleading (each occurrence of an event described in the immediately preceding clauses (i) and (ii), a “Collateral Manager Breach”). Notwithstanding the foregoing, in no event shall the Collateral Manager or any other affiliates of the Collateral Manager be liable for consequential, special, exemplary or punitive damages. Any stated limitations on liability shall not relieve the Collateral Manager from any responsibility it has under any state or federal statutes. As more specifically set forth in the Collateral Management Agreement, the Collateral Manager and its affiliates and their respective members, principals, partners, managers, directors, officers, stockholders, employees and agents (each, an “Indemnified Person”) will be entitled to indemnification by the Issuer, payable in accordance with the Priority of Payments, in respect of any Liabilities, and each Indemnified Person will be reimbursed for all reasonable fees and expenses (including reasonable fees and expenses of counsel) as such fees and expenses are incurred in investigating, preparing, pursuing or defending any claim, action, proceeding or investigation with respect to any pending or threatened litigation, caused by, or arising out of or in connection with, (i) the issuance of the Securities or the transactions contemplated by this Prospectus, the Indenture, the Collateral Management Agreement or other Issuer Documents, and/or (ii) any action taken by, or 124

any failure to act by, the Collateral Manager or any other Indemnified Person, in either case to the extent not constituting a Collateral Manager Breach. Any amounts paid by the Issuer in respect of indemnification of an Indemnified Person will be subject to the Collateral Manager’s obligation to repay such amounts to the Issuer to the extent the Liabilities in respect of which such Indemnified Person was indemnified by the Issuer are found by a court of competent jurisdiction in a judgment which has become final (and is not subject to appeal) to have resulted from a Collateral Manager Breach. Subject to the following sentence, the Issuer will be entitled to indemnification by the Collateral Manager in respect of any Liabilities incurred by the Issuer, and will be reimbursed for all reasonable fees and expenses (including reasonable fees and expenses of counsel) incurred in investigating, preparing, pursuing or defending any claim, action, proceeding or investigation with respect to any pending or threatened litigation, in each case, to the extent and only to the extent that such Liabilities, fees, expenses and other amounts result from a Collateral Manager Breach. Any Liabilities, fees, expenses and other amounts to be paid by the Collateral Manager in respect of its indemnification of the Issuer will be payable only upon and to the extent that a court of competent jurisdiction has found in a judgment which has become final (and is not subject to appeal) that such Liabilities, fees, expenses and other amounts resulted from a Collateral Manager Breach. Amendment of the Collateral Management Agreement. The provisions of the Collateral Management Agreement may not be modified, amended or waived other than (i) by an agreement in writing executed by the parties to the Collateral Management Agreement, (ii) with the consent of the Noteholders and/or Subordinated Noteholders, or without such consent, or with the consent of a portion of such holders, in each case, in a manner that would be sufficient to meet the consent requirements (if any) for such a modification, amendment or waiver if it were made to the Indenture and (iii) upon the satisfaction of the Rating Condition (or waiver thereof by any affected Classes) with respect to such modification or amendment. Trading Restrictions. The Indenture places significant restrictions on the Collateral Manager’s ability to direct the Issuer to enter into and dispose of the Collateral Debt Securities representing Collateral for the Notes and the Collateral Manager is required to comply with these restrictions contained in the Indenture. Accordingly, during certain periods or in certain specified circumstances, the Collateral Manager may be unable to enter into or purchase Collateral Debt Securities or to take other actions which it might consider in the best interests of the Issuer, the Noteholders and the Subordinated Noteholders, as a result of such restrictions set forth in the Indenture. In its capacity as investment adviser and manager, the Collateral Manager may engage in other businesses and furnish services of any kind (including investment management and advisory services) to other clients whose investment policies may be similar to or may differ from those followed by the Collateral Manager on behalf of the Issuer with respect to the Collateral Debt Securities or the Eligible Investments. The Collateral Manager and its affiliates (on their own behalf or on behalf of their respective clients, including other managed funds) may make recommendations or effect transactions on behalf of themselves or for others which may be similar to or differ from those made or effected with respect to the Collateral. Assignment of the Collateral Management Agreement. The Collateral Manager may assign its rights and responsibilities and delegate its obligations (including its asset selection, credit review, trade execution and/or related collateral management duties) under the Collateral Management Agreement subject to the following requirements: (i) Upon satisfaction of the Rating Condition with respect to S&P and with the consent in writing of a Majority of the Subordinated Noteholders (excluding any Collateral Manager Securities); provided that the holders of at least 66 2/3% of the aggregate outstanding amount of either (x) the Notes of the Controlling Class or (y) the Notes other than the Controlling Class (voting together as single class and, in each case, excluding any Collateral Manager Securities) shall not have objected within 15 days after notice of such proposed assignment or delegation; (ii) without obtaining consent of any securityholder or satisfying the Rating Condition, to an entity to which all or substantially all of the assets of the Collateral Manager have been transferred, or an Affiliate of the Collateral Manager, so long as the entity or Affiliate (a) has demonstrated an ability to perform professionally and competently duties similar to those imposed upon the Collateral Manager under the Collateral Management Agreement, (b) is legally qualified and has the capacity to act as Collateral Manager under the Collateral Management Agreement in 125

the assumption of all of the responsibilities, duties and obligations of the Collateral Manager thereunder and under the applicable terms of the Indenture and (c) will not cause the Issuer or the pool of Collateral to become required to register under the provisions of the Investment Company Act; or (iii) Any corporation, partnership or limited liability company into which the Collateral Manager may be merged or converted or with which it may be consolidated, or any corporation, partnership or limited liability company resulting from any merger, or any corporation, partnership or limited liability company succeeding to all or substantially all of the collateral management business of the Collateral Manager, shall be the successor to the Collateral Manager without any further action by the Collateral Manager, the Issuer, the Trustee, the Noteholders or any other person; provided that (i) to the extent legally required, the Issuer consents to such action; (ii) the resulting entity has the ability and capacity to perform professionally and competently duties similar to those imposed upon the Collateral Manager hereunder; and (iii) such action does not cause the Issuer to be subject to tax in any jurisdiction outside of its jurisdiction of incorporation. Removal and Resignation of the Collateral Manager. The Collateral Manager may be removed without cause upon 90 days’ (or such shorter notice as is acceptable to the Collateral Manager) prior written notice to the Collateral Manager (with a copy to each Rating Agency) by the Issuer acting at the direction of (i) the Noteholders owning at least 66 2/3% in aggregate outstanding principal amount of each Class of Notes voting separately and (ii) the Subordinated Noteholders owning at least 66 2/3% of the outstanding principal amount of Subordinated Notes. The Issuer will use its best efforts to appoint a successor Collateral Manager to assume such duties and obligations. The Collateral Manager also may be removed for cause upon ten Business Days’ prior written notice by the Issuer, at the direction of a Majority of the Noteholders and Subordinated Noteholders voting as a single class. In determining whether the requisite Noteholders and Subordinated Noteholders have given the foregoing direction, notice or consent, Collateral Manager Securities will be disregarded and deemed not to be outstanding. The term “Collateral Manager” for purposes of this paragraph includes any successor or successors to HarbourView. For purposes of the Collateral Management Agreement, “cause” will mean (a) the Collateral Manager willfully violates any material provision of the Collateral Management Agreement or the Indenture applicable to it; (b) the Collateral Manager breaches in any material respect any provision of the Collateral Management Agreement or any term of the Indenture applicable to it or any representation, certificate or other statement made or given in writing by the Collateral Manager pursuant to the Collateral Management Agreement or the Indenture (in each case, other than the failure to satisfy any of the Eligibility Criteria, Portfolio Concentration Limitations, Collateral Quality Tests or Coverage Tests) will prove to have been incorrect in any material respect when made or given, which breach or materially incorrect representation, certificate or statement (i) has a material adverse effect on the rights of any Class of Securities and (ii) if such breach or such materially incorrect representation, certificate or statement is capable of being cured, the Collateral Manager fails within 45 days of giving to (or receiving from) the Trustee notice of such breach, to cure such breach or to take such actions so that the facts (after giving effect to such actions) conform in all material respects to such representations, certificate or statement; (c) certain events of bankruptcy or insolvency in respect of the Collateral Manager; (d) the occurrence of an Event of Default, other than certain events of bankruptcy or insolvency of the Issuer, that primarily results from any breach by the Collateral Manager of its duties under the Indenture or Collateral Management Agreement; or (e) the occurrence of an act by the Collateral Manager which constitutes fraud or criminal activity in the performance of the Collateral Manager’s obligations under the Collateral Management Agreement or the indictment of the Collateral Manager or any of the senior officers of the Collateral Manager who are primarily responsible for the management of the Collateral for a criminal offense materially related to its business of providing investment advisory services. Notwithstanding the foregoing, none of the foregoing events shall constitute “cause” from and after the date of the Collateral Manager’s receipt of a waiver of such event from Noteholders owning a Majority of all Notes, voting collectively. The Collateral Manager may resign upon 90 days’ (or such shorter notice as is acceptable to the Issuer) written notice to the Issuer, the Trustee and the Rating Agencies. Notwithstanding anything to the contrary set forth above, removal, termination or resignation will not be effective unless a successor Collateral Manager has been appointed and approved pursuant to the Collateral Management Agreement and has agreed in writing to assume all of the Collateral Manager’s duties and obligations 126

pursuant to the Collateral Management Agreement. Any successor Collateral Manager must be appointed by the Issuer, subject to the requirements of the following paragraph, and not rejected by the Noteholders owning more than 66 2/3% in outstanding principal amount of the Notes (voting as a single class) or a Majority of the Subordinated Notes within 20 days after the issuance of a notice of a vote regarding the successor Collateral Manager to the Noteholders and the Subordinated Noteholders. Upon any resignation or removal of the Collateral Manager while any of the Securities are outstanding, the Issuer (in consultation with the holders of the Subordinated Notes and Controlling Class) will appoint as successor Collateral Manager an institution which (i) has demonstrated an ability to professionally and competently perform duties similar to those imposed upon the Collateral Manager (or that has been approved in writing by a Majority of the Subordinated Notes), (ii) is legally qualified and has the capacity to act as successor Collateral Manager, (iii) will not cause the Issuer or the pool of Collateral to become required to register under the provisions of the Investment Company Act and (iv) with respect to which the Rating Condition is satisfied. No compensation payable to a successor Collateral Manager from payments on the Collateral will be greater than that paid to the Collateral Manager without the prior written consent of (i) a Majority of the Notes and (ii) a Majority of the Subordinated Notes and without the Rating Condition being satisfied with respect thereto. Upon the later of (1) expiration of the applicable notice period with respect to termination specified in the Collateral Management Agreement and (2) the time that the successor Collateral Manager has otherwise been appointed and has agreed in writing to assume the rights and obligations of the Collateral Manager under the Collateral Management Agreement, all authority and power of the Collateral Manager under the Collateral Management Agreement, whether with respect to the Collateral Debt Securities or otherwise, will automatically and without further action by any person or entity pass to and be vested in such successor Collateral Manager. In the event of a removal of (or resignation by) the Collateral Manager, if no successor Collateral Manager has been appointed or an instrument of acceptance by a successor Collateral Manager has not been delivered to the Collateral Manager within 90 days after the date of notice of removal of (or resignation by) the Collateral Manager, the retiring Collateral Manager or a Majority of the Controlling Class may petition any court of competent jurisdiction for the appointment of a successor Collateral Manager without the approval of the Holders of the Securities (or of the other Classes of Securities, in the case of a petition by a Majority of the Controlling Class). Copies of the Collateral Management Agreement will be available for inspection while any Securities remain outstanding at the office of the Trustee. In certain circumstances, the interests of the Issuer and/or the holders of the Securities with respect to matters as to which the Collateral Manager is advising the Issuer may conflict with the interests of the Collateral Manager and its affiliates and other clients or persons advised by the Collateral Manager and its affiliates. See “Risk Factors—Certain Conflicts of Interest”.

CERTAIN INCOME TAX CONSIDERATIONS

IRS Circular 230 Notice To ensure compliance with Internal Revenue Service (“IRS”) Circular 230, prospective investors are hereby notified that: (a) any discussion of U.S. federal tax issues contained or referred to in this Prospectus or any document referred to herein is not intended or written to be used, and cannot be used, by any person for the purpose of avoiding penalties that may be imposed on them under the Internal Revenue Code of 1986, as amended (the “Code”); (b) such discussion is written for use in connection with the promotion or marketing of the transactions or matters addressed herein; and (c) prospective investors should seek advice based on their particular circumstances from an independent tax advisor.

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In General The following summary describes certain U.S. federal income tax and Cayman Islands tax consequences of the purchase, ownership and disposition of the Securities. It does not purport to be a comprehensive description of all the tax considerations that may be relevant to a decision to purchase Securities. In particular, special tax considerations that may apply to certain types of taxpayers, including securities dealers, banks, regulated investment companies, tax-exempt investors and insurance companies, and subsequent purchasers of Securities, are not addressed. In addition, this summary does not describe any tax consequences arising under the laws of any state, locality or taxing jurisdiction other than the U.S. federal government and the Cayman Islands. In general, the summary assumes that a holder acquires a Security at original issuance and holds such Security as a capital asset and not as part of a hedge, straddle, or conversion transaction, within the meaning of section 1258 of the Code. This summary is based on the U.S. and Cayman Islands tax laws, regulations, rulings and decisions in effect or available on the date of this Prospectus, as well as the Cayman Islands undertaking described below under “Certain Income Tax Considerations⎯Cayman Islands Taxation.” All of the foregoing is subject to change, which change may apply retroactively and could affect the continued validity of this summary, although it is expected that no changes will apply in the Cayman Islands due to the undertaking. Prospective purchasers of a Security should consult their own tax advisers as to the U.S. federal income tax and Cayman Islands tax consequences of the purchase, ownership, and disposition of such Security, as well as the possible application of state, local, and other U.S. and non-U.S. tax laws.

Certain U.S. Federal Income Tax Considerations As used in this section, the term “U.S. holder” means a holder of a Security who is a citizen or resident of the United States, a U.S. domestic corporation, any estate the income of which is subject to U.S. federal income tax regardless of the source of its income or any trust if a court within the United States is able to exercise primary supervision over the administration of the trust and one or more U.S. persons have the authority to control all substantial decisions of the trust. U.S. persons and non-U.S. persons that own an interest in a holder which is treated as a pass-through entity under the Code will generally receive the same treatment, with respect to the material income tax consequences of their indirect ownership of the Securities, as is described herein for direct U.S. holders and non-U.S. holders, respectively. Nonetheless, such persons should consult their tax advisors with respect to their particular circumstances, including for issues related to tax elections, withholding tax issues and information reporting requirements.

Tax Treatment of the Issuer United States Federal Income Taxes. Except as otherwise described in the next paragraph under “Potential U.S. Taxation of Net Income,” the Issuer expects to conduct its affairs so that it will not be treated as engaged in a trade or business within the United States for U.S. federal income tax purposes. As a consequence, the Issuer expects that its net income will not become generally subject to U.S. federal income tax. There can be no assurance, however, that the Issuer’s net income will not become generally subject to U.S. federal income tax. In this regard, on the Closing Date the Issuer will receive an opinion from Stroock & Stroock & Lavan LLP (“Tax Counsel”) to the effect that, under current law and assuming compliance with the Issuer’s Amended and Restated Memorandum and Articles of Association, the Indenture, the Subordinated Note Issuing and Paying Agency Agreement, the Collateral Management Agreement, and other related documents, the Issuer’s contemplated activities will not cause it to be treated as engaged in a trade or business within the United States, except as described in the next paragraph under “Potential U.S. Taxation of Net Income.” You should be aware, however, that the opinion simply represents counsel’s best judgment, and is not binding on the IRS or the courts. In this regard, there are no authorities that deal with situations substantially identical to the Issuer’s, and the Issuer could be treated as engaged in the conduct of a trade or business within the United States as a result of unanticipated activities, changes in law, contrary conclusions by the IRS, or other causes. If the Issuer were generally treated as engaged in a trade or business within the United States, it would potentially be subject to substantial U.S. federal income taxes. The imposition of such taxes would materially affect the Issuer’s financial ability to make payments on the Securities. 128

Potential U.S. Taxation of Net Income. The Issuer may become the owner of a limited amount of Equity Securities as a result of the exercise or conversion of Collateral Debt Securities or in exchange for Defaulted Securities. Such Equity Securities may be treated as stock of U.S. real property holding corporations or equity interests in partnerships that may be engaged in U.S. trades or businesses. Gain or loss realized by the Issuer on the disposition of stock of a U.S. real property holding corporation will be treated as if such gain or loss were effectively connected with a U.S. trade or business. In addition, the U.S. trade or business of a partnership in which the Issuer holds an equity interest may be attributed to the Issuer and the income derived from such equity interest may be effectively connected with such U.S. trade or business. Net income of the Issuer that is effectively connected with a U.S. trade or business will be potentially subject to substantial U.S. federal income taxation under sections 882(a) and 884 of the Code. In addition, holding such a partnership interest could cause the Issuer to be deemed to be “doing business” within a U.S. state or local taxing jurisdiction, or otherwise subject to U.S. state or local taxation. Any such U.S. federal, state, or local taxation could affect the Issuer’s financial ability to make payments on the Securities. Cayman Islands Taxation. With respect to Cayman Islands taxation, see the discussion below under “Certain Income Tax Considerations⎯Cayman Islands Taxation.” Withholding Taxes. Although the Issuer does not intend to be generally subject to U.S. federal income tax with respect to its net income, income derived by the Issuer may be subject to withholding taxes imposed by nonU.S. countries. In this regard, the Issuer may only acquire a particular Collateral Debt Security if, based on the Collateral Manager’s determination, either coupon and principal payments thereon are expected not to be subject to withholding tax or the obligor of the Collateral Debt Security is required to make “gross-up” payments.

Tax Treatment of U.S. Holders of the Notes Status of, and Interest and Discount on the Class A1 Notes, Class A2 Notes, and Class B Notes. Tax Counsel will deliver an opinion to the Issuer that the Class A2 Notes and Class B Notes (together with the Class A1 Notes, the “Senior Notes”) will be treated as debt for U.S. federal income tax purposes. Tax Counsel will also deliver an opinion that the originally issued Class A1 Notes, and if through the date of each reissuance of the Class A1 Notes there are no material changes in the law or facts and the rating of the Class A1 Notes is not lowered, the reissued Class A1 Notes, will be debt for U.S. Federal income tax purposes. U.S. holders of Senior Notes generally will include payments of stated interest received on the Senior Notes in accordance with their tax method of accounting, as ordinary interest income from sources outside the United States. In general, if the issue price of a Senior Note (the first price at which a substantial amount of Senior Notes of the same Class were sold to investors) is less than its principal amount by more than a de minimis amount, the Senior Note will be considered to have original issue discount (“OID”). If a U.S. holder acquires a Senior Note with OID, then regardless of such holder’s method of accounting, the holder will be required to include such OID in income as it accrues under a constant yield method. Holders should accrue any such OID based on the anticipated weighted average life of the relevant Senior Note rather than its Stated Maturity. In addition, accruals of OID, if any, should be calculated by assuming that interest will be paid over the life of a Senior Note based on the value of LIBOR used in setting interest for the first Interest Period, and then adjusting the income for each subsequent Interest Period for any difference between the actual value of LIBOR used in setting interest for that subsequent Interest Period and the assumed rate. It is not anticipated that the Senior Notes will be issued with OID. Status of, and Interest and Discount on, the Class C Notes and Class D Notes. Tax Counsel will also opine that the Class C Notes will be treated as debt, and the Class D Notes should be treated as debt, for U.S. federal income tax purposes. The Issuer will treat the Class C and Class D Notes as debt for U.S. federal income tax purposes and by their acceptance of the Class C or Class D Notes, holders of the Class C and Class D Notes agree to treat the Class C and Class D Notes as debt for such purposes. If a Class of Notes were not treated as debt for U.S. federal income tax purposes, it generally would be treated in a manner similar to the treatment of Subordinated Notes, as discussed below. Because payments of stated interest on the Class C Notes and Class D Notes (together, the “Mezzanine Notes”) are contingent on available funds and subject to deferral, the Mezzanine Notes will be treated for U.S. federal income tax purposes as issued with OID. The total amount of such discount with respect to a Mezzanine 129

Note will equal the sum of all payments to be received under such Mezzanine Note less its issue price (the first price at which a substantial amount of Mezzanine Notes of the same Class was sold to investors). A U.S. holder of Mezzanine Notes will be required to include OID in income as it accrues. The amount of OID accruing in any Interest Period will generally equal the stated interest accruing in that period (whether or not currently due) plus any additional amount representing the accrual under a constant yield method of any additional OID represented by the excess of the principal amount of the Mezzanine Notes over their issue price. Accruals of any such additional OID will be based on the anticipated weighted average life of the Mezzanine Notes rather than their Stated Maturity. Accruals of OID, if any, should be calculated by assuming that interest will be paid over the life of a Mezzanine Note based on the value of LIBOR used in setting interest for the first Interest Period, and then adjusting the income for each subsequent Interest Period for any difference between the actual value of LIBOR used in setting the interest rate for that subsequent Interest Period and the assumed rate. Sale and Retirement. In general, a U.S. holder of a Senior or Mezzanine Note will have a basis in such Note equal to the cost of the Note to such holder, increased by any amount includible in income by such holder as OID and reduced by any payments thereon, other than a payment of stated interest, in the case of the Senior Notes. Upon a sale or exchange of a Senior or Mezzanine Note, a U.S. holder will generally recognize gain or loss equal to the difference between the amount realized (less any accrued interest, which would be taxable as such) and the holder’s tax basis in such Note. Such gain or loss will be long-term capital gain or loss if the U.S. holder has held the Note for more than one year at the time of disposition. In certain circumstances, U.S. holders that are individuals may be entitled to preferential tax rates for net long-term capital gains; however, the ability of U.S. holders to offset capital losses against ordinary income is limited. A U.S. holder that purchased its Senior or Mezzanine Note at a discount may also recognize gain upon receipt of a principal payment upon retirement (in whole or in part) equal to the difference between the amount received and the portion of its basis that is considered to be allocable to such payment. The Class A1 Notes will be considered to be retired upon each redemption.

Tax Treatment of U.S. Holders of Subordinated Notes Status of Subordinated Notes and Dividends. For U.S. federal income tax purposes, the Subordinated Notes will be characterized as equity of the Issuer. A U.S. holder of Subordinated Notes will not be eligible for the dividends received deduction in respect of such income or gain, and direct or indirect individual U.S. holders will not be entitled to any preferential maximum tax rates that apply to certain corporate dividends. The amounts recognized by a U.S. holder making a QEF election (described below) generally are treated as income from sources outside the United States. If, however, U.S. holders hold at least half of the vote or value of the Subordinated Notes, a percentage of those income amounts equal to the proportion of its income that the Issuer receives from United States sources will be United States source income for the U.S. holder for purposes of determining the U.S. holder’s foreign tax credit limitations. Investment in a Passive Foreign Investment Company. The Issuer will meet the income and asset tests so as to be treated as a “passive foreign investment company” (“PFIC”). In general, to avoid certain adverse tax rules described below that apply to deferred income from a PFIC, a U.S. holder of Subordinated Notes may want to make an election to treat the Issuer as a “qualified electing fund” (“QEF”) with respect to such holder. Generally, a QEF election should be made on or before the due date for filing a U.S. holder’s U.S. federal income tax return for the first taxable year for which it holds Subordinated Notes. If a timely QEF election is made, an electing U.S. holder will be required to include in gross income such holder’s pro rata share of the Issuer’s ordinary earnings and to include as long term capital gain such holder’s pro rata share of the Issuer’s net capital gain, whether or not distributed, assuming that the Issuer is not a “controlled foreign corporation” of which such holder is a “U.S. Shareholder,” as discussed below. In certain cases in which a QEF does not distribute all of its earnings in a taxable year, its U.S. shareholders may also be permitted to elect to defer payment of some or all of the taxes on the QEF’s undistributed income subject to an interest charge on the deferred amount. Prospective purchasers of Subordinated Notes should be aware that the Collateral Debt Securities may be purchased by the Issuer with substantial original issue discount. As a result, the Issuer may have significant ordinary earnings from such instruments, but the receipt of cash attributable to such earnings may be deferred, perhaps for a substantial period of time. In addition, under certain circumstances, Interest Proceeds may be used to pay principal of the Senior or Mezzanine Notes or to purchase additional Collateral Debt Securities. Thus, absent an election to defer payment of taxes, U.S. holders that make a QEF election may owe tax on significant “phantom” income. 130

The Issuer will provide, upon request, all information that a U.S. holder of Subordinated Notes making a QEF election with respect to the Issuer is required to obtain for U.S. federal income tax purposes (e.g., the U.S. holder’s pro rata share of ordinary income and net capital gain), and will provide, upon request, a “PFIC Annual Information Statement” as described in Treasury Regulation 1.1295-1 (or in any successor IRS release or Treasury regulation), including all representations and statements required by such statement, and will take any other reasonable steps to facilitate such election. If a U.S. holder does not make a timely QEF election for the year in which it acquired its Subordinated Notes and the PFIC rules are otherwise applicable, such holder will be subject to a special tax at ordinary income rates on so-called “excess distributions,” including both certain distributions from the Issuer and gain on the sale (or certain other dispositions) of the Subordinated Notes. The amount of income tax on excess distributions will be increased by an interest charge to compensate for tax deferral, calculated as if excess distributions were earned ratably over the period the taxpayer held its PFIC stock. In many cases, the tax on excess distributions will be more onerous than the treatment applicable if a timely QEF election were made. Classification as a PFIC may also have other adverse tax consequences including, in the case of individuals, the denial of a “step up” in the basis of the Subordinated Notes at death. Where a QEF election is not timely made by a U.S. holder for the year in which it acquired its Subordinated Notes, but is made for a later year, the excess distribution rules can be avoided for future years by making an election to recognize gain from a deemed sale of the Subordinated Notes at the time when the QEF election becomes effective. U.S. HOLDERS OF SUBORDINATED NOTES SHOULD CONSIDER CAREFULLY WHETHER TO MAKE A QEF ELECTION WITH RESPECT TO THE SUBORDINATED NOTES AND THE CONSEQUENCES OF NOT MAKING SUCH AN ELECTION. Investment in a Controlled Foreign Corporation. Depending on the degree of ownership of the Subordinated Notes by U.S. Shareholders, the Issuer may be a controlled foreign corporation (“CFC”). In general, a foreign corporation will be a CFC if more than 50% of the shares of the corporation, measured by combined voting power or value, is held, directly or indirectly, by U.S. Shareholders. A U.S. Shareholder (“U.S. Shareholder”), for this purpose, is any U.S. person that possesses 10% or more of the combined voting power of all classes of shares of a corporation. It is possible that the IRS would assert that the Subordinated Notes are voting securities and that U.S. holders possessing 10% or more of such voting securities are U.S. Shareholders. If this argument were successful and more than 50% of the Subordinated Notes were held by such U.S. Shareholders, the Issuer would be treated as a CFC. If the Issuer were a CFC, subject to certain exceptions, a U.S. Shareholder of the Issuer at the end of a taxable year of the Issuer would be required to recognize ordinary income in an amount equal to that person’s pro rata share of the “subpart F income” of the Issuer for the year. Among other items, and subject to certain exceptions, “subpart F income” includes interest, gains from the sale of securities, and income from certain notional principal contracts (e.g., swaps and caps). It is likely that, if the Issuer were to constitute a CFC, substantially all of its income would be subpart F income. If more than 70% of the Issuer’s income were subpart F income, then 100% of its income would be so treated. If the Issuer were a CFC, a U.S. Shareholder of the Issuer would be taxable on the subpart F income of the Issuer under the CFC regime and not under the PFIC rules previously described. As a result, to the extent subpart F income of the Issuer includes net capital gains, such gains would be treated as ordinary income of the U.S. Shareholder, notwithstanding the fact that generally the character of such gains otherwise would be preserved under the PFIC rules if a QEF election were made. Also, the PFIC rule permitting the deferral of tax on undistributed earnings would not apply. A holder of Subordinated Notes that is a U.S. Shareholder of the Issuer subject to the CFC rules for only a portion of the time in which it holds its Subordinated Notes should consult its own tax advisers regarding the interaction of the PFIC and CFC rules.

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Indirect Interests in PFICs and CFCs. If the Issuer holds a security of a non-U.S. corporation that is treated as equity for U.S. federal income tax purposes, U.S. holders of Subordinated Notes could be treated as holding an indirect investment in a PFIC or a CFC and could be subject to certain adverse tax consequences. Holders should consult their own tax advisers regarding the issues relating to such investments. Distributions on Subordinated Notes. The treatment of actual cash distributions in respect of the Subordinated Notes, in very general terms, will vary depending on whether a U.S. holder has made a timely QEF election as described above. If a timely QEF election has been made, dividends (which are distributions up to the amount of current and accumulated earnings and profits of the Issuer) allocable to amounts previously taxed pursuant to the QEF election will not be taxable to U.S. holders. Similarly, if the Issuer is a CFC of which the U.S. holder is a U.S. Shareholder, dividends will be allocated first to amounts previously taxed pursuant to the CFC rules and to this extent will not be taxable to U.S. holders. Dividends in excess of such previously taxed amounts will be taxable to U.S. holders as ordinary income upon receipt, and will not be eligible for the dividends-received deduction (in the case of corporate U.S. holders) or the reduced rates of tax applicable to dividends from certain qualified foreign corporations (in the case of individual U.S. holders). Distributions in excess of any current and accumulated earnings and profits will be treated first as a nontaxable return of capital, to the extent of the holder’s tax basis in the Subordinated Notes, and then as capital gain. In the event that a U.S. holder does not make a timely QEF election, then except to the extent that distributions may be attributable to amounts previously taxed pursuant to the CFC rules, some or all of any dividends distributed with respect to the Subordinated Notes may be considered excess distributions, taxable as previously described. Sale, Redemption, or other Disposition of Subordinated Notes. In general, a U.S. holder of a Subordinated Note will recognize gain or loss (which will be capital gain or loss, except as discussed below) upon the sale or exchange of such Subordinated Note equal to the difference between the amount realized and such holder’s adjusted tax basis in the Subordinated Note. A U.S. holder’s tax basis in a Subordinated Note will generally equal the amount paid for such Subordinated Note, increased by amounts taxable to such holder by virtue of a QEF election, or under the CFC rules, and decreased by actual distributions from the Issuer that are deemed to consist of such previously taxed amounts or represent a return of capital. If a U.S. holder does not make a timely QEF election as described above, any gain realized on the sale or exchange of a Subordinated Note will be treated as an excess distribution and effectively taxed as ordinary income, with an additional interest charge, under the special tax rules described above. If the Issuer were treated as a CFC and a U.S. holder were treated as a U.S. Shareholder therein, then any gain realized by such holder upon the disposition of its Subordinated Notes, other than gain constituting an excess distribution under the PFIC rules, would be treated as ordinary income to the extent of the U.S. holder’s share of the current and accumulated earnings and profits of the Issuer. In this respect, earnings and profits would not include any amounts previously taxed pursuant to a timely QEF election or pursuant to the CFC rules. The pledge of stock of a PFIC may in some circumstances be treated as a disposition of such stock.

Tax Treatment of Tax-Exempt U.S. Holders In general, a tax-exempt U.S. holder of the Securities will not be subject to tax on unrelated business taxable income (“UBTI”) with respect to income from the Securities regardless of whether they are treated as equity or debt for U.S. federal income tax purposes, except to the extent that the Securities are considered debt-financed property (as defined in the Code) of that holder. A tax-exempt holder that owns more than 50% of the Subordinated Notes, after applying certain attribution rules, and also owns Senior or Mezzanine Notes should consider the possible application of the special UBTI rules for amounts received from controlled entities. A tax-exempt entity may not make a QEF election if the tax-exempt entity would not otherwise be subject to tax on income from the Subordinated Notes.

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Tax Treatment of Non-U.S. Holders A non-U.S. holder of the Securities (regardless of whether the Securities are treated as debt or equity) will generally be exempt from any U.S. federal income or withholding taxes with respect to gain derived from the sale, exchange, or redemption of, or any distributions received in respect of, the Securities, unless such gain or distributions are effectively connected with a U.S. trade or business of such holder, or, in the case of gain, such holder is a nonresident alien individual who holds the Securities as a capital asset and who is present in the United States more than 182 days in the taxable year of the sale and certain other conditions are met. A non-U.S. holder will not be considered to be engaged in a U.S. trade or business solely by reason of holding the Securities.

Information Reporting and Backup Withholding Information reporting to the IRS generally will be required with respect to payments on the Securities and payments of the proceeds of a sale of the Securities to holders other than corporations and other exempt recipients. In addition, a “backup” withholding tax will apply to such payments if such a holder fails to provide certain identifying information (such as such holder’s taxpayer identification number) to the Trustee or other paying agent. Payments of “non-effectively connected” distributions or gain to non-U.S. holders will generally not be subject to U.S. information reporting requirements or U.S. backup withholding, although such holders may be required to furnish a certificate to the paying agent attesting to their status as non-U.S. persons and beneficial owners.

Transfer Reporting Requirements Treasury regulations require reporting for certain transfers of property (including cash) to a foreign corporation by U.S. persons. In general, U.S. holders who acquire Subordinated Notes are required to file a Form 926 with the IRS and to supply certain information to the IRS. If a U.S. holder fails to comply with the reporting requirements, the U.S. holder may be subject to a penalty equal to 10% of the gross amount paid for the Subordinated Notes, subject to a maximum penalty of U.S.$100,000 (except in cases involving intentional disregard). Purchasers of Subordinated Notes are urged to consult their tax advisors regarding these reporting requirements. In addition, the Code and related Treasury regulations require that any U.S. holder that directly or indirectly owns a significant portion of the voting power or value of the Issuer’s equity (generally 10 percent, but in some cases more than 50 percent) must comply with certain reporting requirements. While it is unclear how the voting power of the Subordinated Notes would be measured for this purpose, a U.S. Holder that owns less than 10 percent (or 50 percent or less, as applicable) of the Subordinated Notes should not be required to file this return. In general, such holders of the applicable percentage of the voting power or value of the Issuer’s equity are required to file a Form 5471 with the IRS and to supply certain information to the IRS, including with respect to the activities and assets of the Issuer and other holders of the Subordinated Notes. If a U.S. holder fails to comply with the reporting requirements, the U.S. holder may be subject to a penalty, depending on the circumstances, equal to U.S.$10,000 for each failure to comply, subject to a maximum of U.S.$60,000. Purchasers of Subordinated Notes are urged to consult their own tax advisers regarding these reporting requirements.

Cayman Islands Taxation Under existing Cayman Islands laws: (a) Payments in respect of the Securities will not be subject to taxation in the Cayman Islands and no withholding will be required on such payments to any holder of a Security under Cayman Islands law and gains derived from the sale of Securities will not be subject to Cayman Islands income, corporation or capital gains tax. The Cayman Islands currently have no income, corporation or capital gains tax and no estate duty, inheritance tax or gift tax.

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(b) The holder of any Note (or the legal personal representative of such holder) whose Note is brought into the Caymans Islands may in certain circumstances be liable to pay stamp duty imposed under the laws of the Cayman Islands in respect of such Note. In addition, an instrument transferring title to a Note, if brought or executed in the Cayman Islands, would be subject to Cayman Islands stamp duty. (c) The Issuer has been incorporated under the laws of the Cayman Islands as an exempted company and has obtained an undertaking from the Governor in Cabinet of the Cayman Islands substantially in the following form: “THE TAX CONCESSIONS LAW (1999 REVISION) UNDERTAKING AS TO TAX CONCESSIONS In accordance with Section 6 of the Tax Concessions Law (1999 Revision) the Governor in Cabinet undertakes with: AArdvark ABS CDO 2007-1 “the Company” (a) (b) that no Law which is hereafter enacted in the Islands imposing any tax to be levied on profits, income, gains or appreciations shall apply to the Company or its operations; and in addition, that no tax to be levied on profits, income, gains or appreciations or which is in the nature of estate duty or inheritance tax shall be payable (i) (ii) on or in respect of the shares debentures or other obligations of the Company; or by way of the withholding in whole or in part of any relevant payment as defined in Section 6(3) of the Tax Concessions Law (1999 Revision).

These concessions shall be for a period of THIRTY years from the 30th day of January 2007. GOVERNOR IN CABINET The Cayman Islands does not have an income tax treaty arrangement with the U.S. or any other country. THE DISCUSSION ABOVE IS A GENERAL SUMMARY. IT DOES NOT COVER ALL TAX MATTERS THAT MAY BE OF IMPORTANCE TO A PARTICULAR INVESTOR. EACH PROSPECTIVE INVESTOR IS STRONGLY URGED TO CONSULT ITS OWN TAX ADVISOR ABOUT THE TAX CONSEQUENCES TO IT OF AN INVESTMENT IN THE SECURITIES UNDER THE INVESTOR’S OWN CIRCUMSTANCES.

ERISA CONSIDERATIONS The United States Employee Retirement Income Security Act of 1974, as amended (“ERISA”), imposes certain duties on persons who are fiduciaries of employee benefit plans (as defined in Section 3(3) of ERISA) that are subject to the provisions of Title I of ERISA (“ERISA Plans”) and of entities whose underlying assets include assets of ERISA Plans by reason of an ERISA Plan’s direct or indirect investment in such entities. These duties include investment prudence and diversification and the requirement that an ERISA Plan’s investments be made in accordance with the documents governing the ERISA Plan. The prudence of a particular investment must be determined by the responsible fiduciary of an ERISA Plan by taking into account the ERISA Plan’s particular circumstances and liquidity needs and all of the facts and circumstances of the investment, including the availability of a public market for the investment. Any fiduciary of an ERISA Plan, of an entity whose underlying assets include assets of ERISA Plans by reason of an ERISA Plan’s investment in such entity, or of a foreign, governmental or church plan that is subject to fiduciary standards similar to those of ERISA (“plan fiduciary”), that

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proposes to cause such a plan or entity to purchase Securities should determine whether, under the general fiduciary standards of ERISA or other applicable law, an investment in the Securities is appropriate for such plan or entity. In addition, Section 406(a) of ERISA and Section 4975 of the Code prohibit certain transactions (“prohibited transactions”) involving ERISA Plans or plans described in Section 4975(e)(1) of the Code and subject to Section 4975 of the Code or an entity deemed to hold assets of any such plans (together, “Plans”) and certain persons (referred to as “Parties In Interest” in ERISA and as “Disqualified Persons” in Section 4975 of the Code) having certain relationships to such Plans. A Party In Interest or Disqualified Person who engages in a nonexempt prohibited transaction may be subject to non-deductible excise taxes and other penalties and liabilities under ERISA and/or the Code. The plan fiduciary of a Plan that engages in such a non-exempt prohibited transaction may be subject to penalties and liabilities under ERISA and the Code. Each of the Issuer, the Placement Agents, the Initial Purchaser, the Collateral Manager, the Subordinated Note Issuing and Paying Agent and the Trustee, as a result of their own activities or because of the activities of an affiliate, may be considered a Party In Interest or a Disqualified Person with respect to Plans. Accordingly, prohibited transactions within the meaning of Section 406 of ERISA and Section 4975 of the Code may arise if Securities are acquired by a Plan with respect to which any of the Issuer, the Placement Agents, the Initial Purchaser, the Collateral Manager, the Subordinated Note Issuing and Paying Agent, the Trustee or any of their respective affiliates is a Party In Interest or Disqualified Person. Certain exemptions from the prohibited transaction rules could be applicable, however, depending in part upon the type of plan fiduciary making the decision to acquire a Security and the circumstances under which such decision is made. Included among these exemptions are the statutory exemption for nonfiduciary service providers under Section 408(b)(17) of ERISA and Section 4975(d)(20) of the Code and the class exemptions PTE 90-1, regarding investments by insurance company pooled separate accounts; PTE 91-38, regarding investments by bank collective investment funds; PTE 84-14, regarding transactions effected by a “qualified professional asset manager”; PTE 96-23, regarding investments by certain in-house asset managers; and PTE 95-60, regarding investments by insurance company general accounts. Even if the conditions specified in one or more of these exemptions are met, the scope of the relief provided by these exemptions might or might not cover all acts which might be construed as prohibited transactions. If a purchase of Securities were to be a non-exempt prohibited transaction, the purchase might have to be rescinded. Foreign benefit plans, governmental plans and certain church plans, while not subject to the fiduciary responsibility provisions of ERISA or the provisions of Section 4975 of the Code, may nevertheless be subject to non U.S., local, state or other federal laws that are similar to the foregoing provisions of ERISA and the Code (a “Similar Law”). The United States Department of Labor has issued a regulation (29 CFR 2510.3-101) (the “Plan Asset Regulation”) that, under specified circumstances, requires plan fiduciaries, and entities with certain specified relationships to a Plan, to “look through” an equity investment in an entity or investment vehicle (such as the Issuer) and treat as an “asset” of the Plan an undivided interest in each underlying investment made by such entity or investment vehicle. The Plan Asset Regulation provides, however, that if such equity investment in any entity by “Benefit Plan Investors” is not “significant,” then the “look-through” rule will not apply to such entity. “Benefit Plan Investors” are defined in section 3(42) of ERISA and the Plan Asset Regulation to include any (1) Plan (including without limitation an individual retirement account (“IRA”) or Keogh plan), and (2) entity whose underlying assets include plan assets by reason of a plan’s investment in the entity (including without limitation insurance company general accounts), but in the case of (2) only to the extent of the percentage of the equity interest of such entity held by Benefit Plan Investors. Equity participation by Benefit Plan Investors in an entity (such as the Issuer) is significant if, immediately after the most recent acquisition of any equity interest in the entity, 25% or more of the value of any class of equity interests in the entity (excluding the value of any interests held by certain persons, other than Benefit Plan Investors, having discretionary authority or control over the assets of the entity or providing investment advice with respect to such assets for a fee, direct or indirect (such as the Collateral Manager), or any affiliates of such persons (any such person with respect to the Issuer, a “Controlling Person”) is held by Benefit Plan Investors (the “25% Threshold”). The Plan Asset Regulation defines an “equity interest” as 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.

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Although there is little guidance, it is not anticipated that the Class A1 Notes, Class A2 Notes, Class B Notes and Class C Notes will constitute “equity interests” in the Issuer for purposes of the Plan Asset Regulation. However, there can be no assurance that any Class of Notes would be characterized by the United States Department of Labor or others as indebtedness and not as an equity interest. While not free from doubt, the Class D Notes may, and the Subordinated Notes will, be considered to be equity interests in the Issuer for the purposes of the Plan Asset Regulation. Therefore, Benefit Plan Investors will not be permitted to hold ownership interests in the Subordinated Notes or (except as an initial purchaser) to acquire Class D Notes. The Issuer is restricting purchase of the Class D Notes by Benefit Plan Investors and Controlling Persons to initial purchases of the Restricted Class D Notes on the Closing Date (subject to the 25% Threshold). Each Original Purchaser of an interest in a Class D Note will be required to certify whether or not it is a Benefit Plan Investor and/or a Controlling Person and each transferee of a Class D Note (or interest therein) will be deemed to represent (or required to certify) that it is not (and will not be for so long as it holds such interest) a Benefit Plan Investor or a Controlling Person. Accordingly, each Original Purchaser of an interest in a Class D Note will be required to execute and deliver to the Issuer and the Trustee an Investor Application Letter in the form attached to the Indenture, and each transferee of an interest in a Class D Note will be required to execute and deliver to the Issuer and the Trustee a transfer certificate in the form attached as an exhibit to the Indenture. No transfer of a Class D Note (other than to the Original Purchaser on the Closing Date) will be effective and the Issuer shall not recognize any such transfer if the transferee is a Benefit Plan Investor or a Controlling Person. Each Original Purchaser and each transferee of a Subordinated Note will be required to execute and deliver to the Issuer and the Subordinated Note Issuing and Paying Agent an Investor Application Letter or a transfer certificate in the form attached as an exhibit to the Subordinated Note Issuing and Paying Agency Agreement certifying that it is not a Benefit Plan Investor and representing that such owner will not transfer such interest except in compliance with the transfer restrictions set forth in the Subordinated Note Issuing and Paying Agency Agreement. The Subordinated Note Registrar will not effect any such transfer if it has reason to believe that following the transfer the transferee is or is deemed to be a Benefit Plan Investor. There can be no assurance, however, that no Benefit Plan Investor or Controlling Person will acquire any Subordinated Notes or will subsequently acquire a Class D Note (or interest therein). Although each owner of the Class D Notes and the Subordinated Notes will be required to agree to indemnify and hold harmless the Issuer, the Collateral Manager, the Subordinated Note Issuing and Paying Agent under the Subordinated Note Issuing and Paying Agency Agreement and the Trustee under the Indenture for the consequences of any breach of such representations or obligations, there is no assurance that an owner will not breach such obligations or that, if such breach occurs, such owner will have the financial capacity and willingness, or the legal ability, to indemnify such parties for any losses that such parties may suffer, including non-compliance with the prohibition on ownership by Benefit Plan Investors and Controlling Persons with respect to the Subordinated Notes or the Class D Notes. If for any reason the assets of the Issuer are deemed to be “plan assets” of a Plan because the 25% Threshold is exceeded, certain transactions that the Issuer might enter into, or may have entered into, in the ordinary course of its business might constitute non-exempt “prohibited transactions” under Section 406 of ERISA or Section 4975 of the Code and might have to be rescinded and other provisions of ERISA may be implicated. The sale of any Note or Subordinated Note to a Benefit Plan Investor is in no respect a representation by the Issuer, the Placement Agents, the Initial Purchaser, the Put Counterparty, the Collateral Manager, the Subordinated Note Issuing and Paying Agent, the Trustee, any Hedge Counterparty or any of their affiliates that such an investment meets all relevant legal requirements with respect to investments by Benefit Plan Investors generally or any particular Benefit Plan Investor, or that such an investment is appropriate for a Benefit Plan Investor generally or any particular Benefit Plan Investor. EACH PURCHASER AND EACH TRANSFEREE OF A SUBORDINATED NOTE WILL BE REQUIRED TO REPRESENT AND WARRANT AND EACH PURCHASER OR TRANSFEREE OF A NOTE OR INTEREST THEREIN WILL BE DEEMED TO (OR, IN CERTAIN CIRCUMSTANCES, WILL BE REQUIRED TO) REPRESENT AND WARRANT (A) THAT IT IS NOT (AND FOR SO LONG AS IT HOLDS SUCH OFFERED SECURITY OR AN INTEREST THEREIN WILL NOT BE), AND IS NOT ACTING ON BEHALF 136

OF (AND FOR SO LONG AS IT HOLDS SUCH OFFERED SECURITY OR AN INTEREST THEREIN WILL NOT BE ACTING ON BEHALF OF) (I) AN “EMPLOYEE BENEFIT PLAN” (AS DEFINED IN SECTION 3(3) OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED (“ERISA”) THAT IS SUBJECT TO TITLE I OF ERISA, (II) A “PLAN” (AS DEFINED IN SECTION 4975(e)(1) OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE “CODE”) THAT IS SUBJECT TO SECTION 4975 OF THE CODE, (III) AN ENTITY WHOSE UNDERLYING ASSETS INCLUDE THE ASSETS OF SUCH AN “EMPLOYEE BENEFIT PLAN” OR “PLAN” OR (IV) A GOVERNMENTAL OR CHURCH PLAN THAT IS SUBJECT TO ANY NON-U.S., FEDERAL, STATE OR LOCAL LAW THAT IS SIMILAR TO THE FOREGOING PROVISIONS OF ERISA AND THE CODE (A “SIMILAR LAW”) OR (B) ITS PURCHASE, OWNERSHIP AND DISPOSITION OF SUCH NOTE WILL BE COVERED BY THE STATUTORY EXEMPTION FOR NONFIDUCIARY SERVICE PROVIDERS UNDER SECTION 408(b)(17) OF ERISA AND SECTION 4975(d)(20) OF THE CODE OR A PROHIBITED TRANSACTION CLASS EXEMPTION ISSUED BY THE UNITED STATES DEPARTMENT OF LABOR OR WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE (OR, IN THE CASE OF A GOVERNMENTAL OR CHURCH PLAN, A VIOLATION OF ANY SIMILAR LAW). NO SUBORDINATED NOTE MAY BE ACQUIRED BY OR TRANSFERRED TO A BENEFIT PLAN INVESTOR. EACH OWNER OF A SUBORDINATED NOTE OR INTEREST THEREIN WILL BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER AND SUBORDINATED NOTE REGISTRAR A TRANSFER CERTIFICATE IN THE FORM ATTACHED AS AN EXHIBIT TO THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT OR WILL BE DEEMED TO MAKE A REPRESENTATION TO THE EFFECT THAT SUCH OWNER (I) WILL NOT TRANSFER SUCH NOTE OR INTEREST THEREIN EXCEPT IN COMPLIANCE WITH THE TRANSFER RESTRICTIONS SET FORTH IN THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT AND (II) IS NOT (AND WILL NOT BE FOR AS LONG AS IT HOLDS SUCH INTEREST) A BENEFIT PLAN INVESTOR. NO CLASS D NOTE MAY BE ACQUIRED BY OR TRANSFERRED TO A BENEFIT PLAN INVESTOR OR CONTROLLING PERSON AFTER THE CLOSING DATE. EACH OWNER OF A CLASS D NOTE OR INTEREST THEREIN WILL BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER AND THE TRUSTEE A TRANSFER CERTIFICATE IN THE FORM ATTACHED AS AN EXHIBIT TO THE INDENTURE (OR AN INVESTOR APPLICATION LETTER, IN THE CASE OF AN ORIGINAL PURCHASER ON THE CLOSING DATE) OR WILL BE DEEMED TO MAKE A REPRESENTATION TO THE EFFECT THAT SUCH OWNER (i) WILL NOT TRANSFER SUCH NOTE OR INTEREST THEREIN EXCEPT IN COMPLIANCE WITH THE TRANSFER RESTRICTIONS SET FORTH IN THE INDENTURE AND (ii) IF IT IS NOT ACQUIRING THE CLASS D NOTE ON THE CLOSING DATE, IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON. THE PRECEDING DISCUSSION IS ONLY A SUMMARY OF CERTAIN OF THE ERISA AND CODE IMPLICATIONS OF AN INVESTMENT IN THE SECURITIES. ANY PLAN FIDUCIARY THAT PROPOSES TO CAUSE A PLAN TO PURCHASE SECURITIES, SHOULD CONSULT WITH ITS OWN LEGAL AND TAX ADVISORS WITH RESPECT TO THE POTENTIAL APPLICABILITY OF ERISA AND THE CODE TO SUCH INVESTMENT, THE CONSEQUENCES OF SUCH AN INVESTMENT UNDER ERISA AND THE CODE AND THE ABILITY TO MAKE THE REPRESENTATIONS DESCRIBED ABOVE.

PLAN OF DISTRIBUTION The Issuer and the Placement Agents will enter into a purchase and placement agreement (the “Purchase and Placement Agreement”) relating to the purchase and placement of the Securities to be delivered on the Closing Date. In the Purchase and Placement Agreement, the Initial Purchaser will agree to purchase all of the Securities. In the Purchase and Placement Agreement, the Issuer will agree to place through the Placement Agents, and the Placement Agents have agreed to arrange the placement on behalf of the Issuer, certain of the Securities with eligible investors, as set forth in the Purchase and Placement Agreement. The obligations of the Placement Agents and the Initial Purchaser under the Purchase and Placement Agreement are subject to the satisfaction of certain conditions set forth in the Purchase and Placement Agreement. Pursuant to the Purchase and Placement Agreement, 137

the Issuer will agree to indemnify the Placement Agents and/or the Initial Purchaser against certain liabilities, including liabilities under the Securities Act, or to contribute to payments the Placement Agents and/or the Initial Purchaser may be required to make in respect thereof. The Issuer has been advised by the Placement Agents that the Placement Agents propose to arrange the placement of the Securities to a limited number of Qualified Institutional Buyers (or, in the case of the Subordinated Notes, Accredited Investors) which are also Qualified Purchasers in reliance on an exemption from the registration requirements under the Securities Act and to certain persons who are not U.S. Persons in offshore transactions in reliance on Regulation S under the Securities Act. In connection with sales outside the United States, the Initial Purchaser has agreed that, except as permitted by the Purchase and Placement Agreement and in addition to the restrictions set forth below, it will not offer or sell the Securities within the United States or to, or for the account or benefit of, U.S. persons as part of its distribution at any time. In addition, an offer or sale of Securities within the United States by a dealer that is not participating in this offering may violate the registration requirements of the Securities Act if that offer or sale is made otherwise than in accordance with Rule 144A thereunder. The Notes and the Subordinated Notes may be sold by the Issuer, at varying prices. To facilitate the closing of sales arranged by the Placement Agents as described above, the Placement Agents may initially purchase all or a portion of any Class of Securities for the purpose of effecting a resale of such Securities in connection with the Offering. In addition, the Placement Agents may, but are not obligated to, purchase all or a portion of any Class of Securities on the Closing Date for its own account or that of any of its respective affiliates.

United States The Securities 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, or for the account or benefit of, U.S. Persons except pursuant to an exemption from the registration requirements under the Securities Act. In the Purchase and Placement Agreement, the Placement Agents and the Initial Purchaser will represent and agree that they have not engaged and will not engage in any directed selling efforts with respect to any Notes sold pursuant to Regulation S, and they have complied and will comply with the applicable offering restrictions requirements of Regulation S. In the Purchase and Placement Agreement, the Placement Agents and the Initial Purchaser will agree that they have not offered and will not offer any of such Notes in the United States: (a) (b) to any person who is not a Qualified Institutional Buyer and that is also a Qualified Purchaser; or by means of any form of general solicitation or general advertising (as such terms are used in Regulation D under the Securities Act).

United Kingdom The Placement Agents and the Initial Purchaser will also represent and agree that: (1) they have complied and will comply with all applicable provisions of the Financial Services and Markets Act 2000 (the “FSMA”) with respect to anything done by them in relation to any Notes in, from or otherwise involving the United Kingdom; and (2) they have only communicated or caused to be communicated and will only communicate or cause to be communicated any invitation or inducement to engage in investment activity (within the meaning of Section 21 138

of the FSMA) received by them in connection with the issue or sale of any Notes in circumstances in which Section 21(1) of the FSMA does not apply to the Issuer.

Cayman Islands The Placement Agents and the Initial Purchaser will represent and agree that they have not offered and will not offer any Notes to the public in the Cayman Islands.

General No action has been or will be taken in any jurisdiction that would permit a public offering of the Securities or the possession, circulation or distribution of this Prospectus or any other material relating to the Issuer or the Notes in any country or jurisdiction where action for that purpose is required. Accordingly, the Securities may not be offered or sold, directly or indirectly, and neither this Prospectus nor any other offering material or advertisements in connection with the Securities may be distributed or published, in or from any country or jurisdiction, except under circumstances that will result in compliance with any applicable rules and regulations of any such country or jurisdiction. The Placement Agents may pay finder’s fees to non-U.S. persons in connection with the offering and distribution of the Notes outside the United States. The Issuer will pay all other fees and expenses in connection with the offering as set forth in the Purchase and Placement Agreement. The Issuer extends to each prospective investor the opportunity, prior to the consummation of the sale of the Securities, to ask questions of and receive answers from the Issuer or a person or persons acting on behalf of the Issuer, concerning the Securities and the terms and conditions of this offering and to obtain any additional information it may consider necessary in making an informed investment decision and any information in order to verify the accuracy of the information set forth herein, to the extent that the Issuer possesses the same or can acquire the same without unreasonable effort and expense. Requests for such additional information can be directed to Mizuho International plc, Bracken House, One Friday Street, London EC4M 9JA, Attention: Head of Legal. Purchasers of the Securities may be required to pay stamp taxes and other charges on the Securities in accordance with the laws and practices of the country of purchase in addition to the purchase price. Purchasers of the Securities may be required, as a condition to payment of amounts on the Securities without the imposition of withholding tax, to provide certain certifications with respect to any applicable taxes or reporting requirements of the United States or the Cayman Islands. For a description of other relationships of Mizuho International plc and its affiliates relating to the Securities and transactions described herein, see “Risk Factors—Conflicts of Interest Involving the Placement Agents and the Initial Purchaser,” “—Limited Liquidity,” “—Purchase of Initial Collateral Debt Securities” and “— Actions by Mizuho International plc and Working Capital Management Co. L.P.”

TRANSFER RESTRICTIONS Because of the following restrictions, purchasers are advised to consult legal counsel prior to making any offer, resale, pledge or transfer of Securities. Investor Representations on Initial Purchase. Each Original Purchaser of Class A1 Notes, Class A2 Notes, Class B Notes and Class C Notes (or any beneficial interest therein) will be deemed to acknowledge, represent to and agree with the Issuer, the Placement Agents and the Initial Purchaser, and each Original Purchaser of Class D Notes and Subordinated Notes will be required in an Investor Application Letter to acknowledge, represent to and agree with the Issuer and the Placement Agents, the Initial Purchaser, as follows (as applicable):

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(1) Qualified Institutional Buyer, Accredited Investor or Non-U.S. Person Status; Investment Intent. In the case of a purchaser who takes delivery of a Restricted Class D Note or a Restricted Global Note (or interest therein), it is a Qualified Institutional Buyer. In the case of a purchaser who takes delivery of Regulation S Global Notes, (i) it is not a U.S. Person and is purchasing such Note for its own account and not for the account or benefit of a U.S. Person and (ii) it understands that (A) in the case of a Regulation S Global Note, interests in a Regulation S Global Note may only be held through Euroclear or Clearstream and (B) in the case of a Regulation S Global Class D Note, delivery may be made only in accordance with the certification requirements set forth in the Indenture. In the case of a purchaser who takes delivery of a Subordinated Note, (i) it is either (A) a Qualified Institutional Buyer or an Accredited Investor that is acquiring such Subordinated Note from the Initial Purchaser for its own account for investment purposes and not with a view to the distribution thereof (except in accordance with Rule 144A) or (B) not a U.S. Person and is purchasing such Subordinated Note for its own account and not for the account or benefit of a U.S. Person and (ii) it understands that delivery may be made only in accordance with the certification requirements set forth in the Subordinated Note Issuing and Paying Agency Agreement. (2) Securities Law Limitations on Resale. The purchaser understands that the Securities have not been registered under the Securities Act and, therefore, cannot be offered or sold in the United States or to U.S. Persons unless they are registered under the Securities Act or unless an exemption from registration is available. Accordingly, the certificates representing the Securities will bear a legend stating that the Securities have not been registered under the Securities Act and setting forth certain of the restrictions on transfer of the Securities described herein. The purchaser understands that the Issuer has no obligation to register any of the Securities under the Securities Act or to comply with the requirements for any exemption from the registration requirements of the Securities Act (other than to supply information specified in Rule 144A(d)(4) of the Securities Act as required by the Indenture and the Subordinated Notes Issuing and Paying Agency Agreement). (3) Investment Company Act. The purchaser either (a) is not a U.S. Person or (b) is a Qualified Purchaser. The purchaser agrees that no sale, pledge or other transfer of a Note or Subordinated Note (or any interest therein) may be made (a) to a transferee acquiring Restricted Securities except to a transferee that is a Qualified Purchaser, (b) to a transferee acquiring an interest in a Regulation S Global Security that is a U.S. Person or (c) if such transfer would have the effect of requiring the Issuer or the pool of Collateral to register as an investment company under the Investment Company Act. If the purchaser is a U.S. Person that is an entity that would be an investment company but for the exception provided for in Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act (any such entity, an “excepted investment company”): (x) all of the beneficial owners of outstanding securities (other than short-term paper) of such entity (such beneficial owners determined in accordance with Section 3(c)(1)(A) of the Investment Company Act) that acquired such securities on or before April 30, 1996 (“pre-amendment beneficial owners”); and (y) all pre-amendment beneficial owners of the outstanding securities (other than short-term paper) of any excepted investment company that, directly or indirectly, owns any outstanding securities of such entity, have consented to such entity’s treatment as a Qualified Purchaser in accordance with the Investment Company Act. In the case of a purchaser of a beneficial interest in a Restricted Global Note, Restricted Class D Note or Restricted Subordinated Note, it is (a) not a dealer described in paragraph (a)(1)(ii) of Rule 144A that owns and invests on a discretionary basis less than U.S.$25,000,000 in securities of issuers that are not affiliated persons of the dealer and (b) not a plan referred to in paragraph (a)(1)(i)(D) or (a)(1)(i)(E) of Rule 144A, or a trust fund referred to in paragraph (a)(1)(i)(F) of Rule 144A that holds the assets of such a plan, unless investment decisions with respect to the plan are made solely by the fiduciary, trustee or sponsor of such plan. (4) Minimum Denominations; Form of Subordinated Notes. The purchaser agrees that no Security (or any interest therein) may be sold, pledged or otherwise transferred (i) in the case of the Notes, in a minimum denomination of less than U.S.$500,000 of initial principal balance or (ii) in the case of a Subordinated Note, if, after giving effect to such transfer, the transferee (and, if the transferor retains any Subordinated Notes, the transferor) would own less than U.S.$250,000 of Subordinated Notes. 140

(5) Purchaser Sophistication; Non-Reliance; Suitability; Access to Information. The purchaser (a) has such knowledge and experience in financial and business matters that the purchaser is capable of evaluating the merits and risks (including for tax, legal, regulatory, accounting and other financial purposes) of its prospective investment in Securities, (b) is financially able to bear such risk, (c) in making such investment is not relying on the advice or recommendations of any of the Placement Agents, the Initial Purchaser, the Issuer, or any of their respective affiliates (or any representative of any of the foregoing) and (d) has determined that an investment in Securities is suitable and appropriate for it. The purchaser has received, and has had an adequate opportunity to review the contents of, the Prospectus. The purchaser has had access to such financial and other information concerning the Issuer and the Securities as it has deemed necessary to make its own independent decision to purchase Securities, including the opportunity, at a reasonable time prior to its purchase of Securities, to ask questions and receive answers concerning the Issuer and the terms and conditions of the offering. (6) Limited Liquidity. The purchaser understands that there is no market for any of the Securities and that no assurance can be given as to the liquidity of any trading market for any of the Securities or that a trading market for any of the Securities will develop. It further understands that, although the Placement Agent and/or the Initial Purchaser may from time to time make a market in any Class of Securities, the Placement Agent and/or the Initial Purchaser is under no obligation to do so and, following the commencement of any market-making, may discontinue the same at any time. Accordingly, the purchaser must be prepared to hold such Securities for an indefinite period of time or until their maturity or redemption. (7) Certain Resale Limitations. The purchaser of Securities is aware that no Securities (or any interest therein) may be offered, sold, pledged or otherwise transferred to (a) a transferee acquiring a Restricted Global Note (or interest therein), Restricted Class D Note or Restricted Subordinated Note except (i)(A) to a transferee (x) whom the seller reasonably believes is a Qualified Institutional Buyer purchasing for its own account, to whom notice is given that the resale, pledge or other transfer is being made in reliance on the exemption from the registration requirements of the Securities Act provided by Rule 144A and (y) that is a Qualified Purchaser and (B) in the case of a Class D Note or a Subordinated Note, to a transferee that is not a Benefit Plan Investor or Controlling Person, (ii) to a transferee that is not a Flow-Through Investment Vehicle (other than a Qualifying Investment Vehicle), (iii) in compliance with the certification (if any) and other requirements set forth in the Indenture or the Subordinated Note Issuing and Paying Agency Agreement, as applicable, and (iv) in accordance with any applicable securities laws of any state of the United States and any other relevant jurisdiction or (b) a transferee acquiring an interest in a Regulation S Global Security except (i) to a transferee that is acquiring such interest in an offshore transaction in accordance with Rule 903 or Rule 904 of Regulation S, (ii) in the case of a transfer of a Regulation S Global Class D Note or Regulation S Global Subordinated Note, to a transferee that is not a Benefit Plan Investor or Controlling Person, (iii) to a transferee that is not a U.S. Person, (iv) to a transferee that is not a Flow-Through Investment Vehicle and (v) in accordance with any applicable securities laws of any state of the United States and any other relevant jurisdiction. (8) Certification Upon Transfer. Each purchaser of a Note (if required by the Indenture), and each purchaser of Subordinated Notes (if required by the Subordinated Note Issuing and Paying Agency Agreement) will, prior to any sale, pledge or other transfer by it of any such Security (or any interest therein), obtain from the transferee and deliver to the Issuer and the Note Registrar (in the case of a Note) or the Subordinated Note Registrar (in the case of a Subordinated Note) a duly executed transferee certificate in the form of the relevant exhibit attached to the Indenture or the Subordinated Note Issuing and Paying Agency Agreement, as the case may be, and such other certificates and other information as the Issuer, the Trustee (in the case of the Notes) or the Subordinated Note Registrar (in the case of the Subordinated Notes) may reasonably require to confirm that the proposed transfer complies with the transfer restrictions contained in the Prospectus and the Indenture or the Subordinated Note Issuing and Paying Agency Agreement, as applicable. (9) Certain Transfers Void. The purchaser agrees that (a) any sale, pledge or other transfer of a Security (or any interest therein) made in violation of the transfer restrictions described in the Prospectus or contained in the Indenture or the Subordinated Note Issuing and Paying Agency Agreement, 141

or made based upon any false or inaccurate representation made by the purchaser or a transferee to the Issuer, will be void and of no force or effect and (b) none of the Issuer, the Trustee, the Subordinated Note Issuing and Paying Agent, the Note Registrar (in the case of the Notes) and the Subordinated Note Registrar (in the case of the Subordinated Notes) has any obligation to recognize any sale, pledge or other transfer of a Security (or any interest therein) made in violation of any such transfer restriction or made based upon any such false or inaccurate representation. The purchaser of a Restricted Global Note or a Restricted Class D Note acknowledges that the Indenture provides that if, notwithstanding the restrictions on transfer contained therein, the Issuer determines that any holder of such Note (or any interest therein) is not both a Qualified Purchaser and a Qualified Institutional Buyer, then the Issuer shall require, by notice to such holder, that such holder sell all of its right, title and interest to such Note (or interest therein) to a person that is (a) both a Qualified Purchaser and a Qualified Institutional Buyer or (b) not a U.S. Person (by exchange for a beneficial interest in a Regulation S Global Note), in each case with such sale to be effected within 30 calendar days after notice of such sale requirement is given. If such holder fails to effect the transfer required within such 30day calendar period (i) upon direction from the Issuer, the Trustee, on behalf of the Issuer and at the expense of such holder (which expense may be deducted from the sale proceeds described below), shall cause such holder’s interest in such Note to be transferred in a commercially reasonable sale (conducted by an investment banking firm selected by the Trustee (and approved by the Collateral Manager) on behalf of the Issuer) to a person that certifies to the Trustee, and the Issuer, in connection with such transfer, that such person is (x) both a Qualified Purchaser and a Qualified Institutional Buyer or (y) is not a U.S. Person and (ii) pending such transfer, no further payments will be made in respect of such Note (or interest therein) held by such holder from the date notice of the sale requirement is sent to the date on which such Note (or interest therein) is sold and such Note (or interest therein) shall be deemed not to be outstanding for the purposes of any vote, consent or direction of the holders of the Notes (and shall not be taken into account for the purposes of calculating any quorum or majority requirements relating thereto (such Notes shall be deemed Disregarded Securities)). The purchaser of a Class D Note or Subordinated Note acknowledges that the Indenture or Subordinated Note Issuing and Paying Agency Agreement, as the case may be, provides that if, notwithstanding the restrictions on transfer contained therein, (A) a Benefit Plan Investor has acquired an interest in Class D Notes or Subordinated Notes (whether as a transferee, or in the case of Subordinated Notes, directly from the Initial Purchaser) or (B) a holder of Class D Notes or Subordinated Notes is or is deemed to be a Benefit Plan Investor in contravention of its representation to the contrary, the Issuer shall require, by notice to such holder that such holder sell all of its right, title and interest in or to such Class D Notes or Subordinated Notes in accordance with the Indenture or Subordinated Note Issuing and Paying Agency Agreement, as the case may be, with such sale to be effected within 30 calendar days after notice of such sale requirement is given. If such holder fails to effect the transfer required within such 30-day calendar period, upon direction from the Issuer or the Subordinated Note Issuing and Paying Agent, as the case may be (on behalf of the Issuer and at the expense of such holder (which expense may be deducted from the sale proceeds described below)), shall cause, and is hereby irrevocably authorized by such holder to cause, its interest in such Class D Notes or Subordinated Notes to be transferred in a commercially reasonable sale conducted by an investment banking firm selected by the Trustee or the Subordinated Note Issuing and Paying Agent, as the case may be (and approved by the Collateral Manager) on behalf of the Issuer) to a person that certifies to the Issuer and the Trustee or the Subordinated Note Issuing and Paying Agent, as the case may be, in connection with such transfer, that such transfer complies with the requirements of the Indenture or the Subordinated Note Issuing and Paying Agency Agreement, as the case may be, and the legend on such Class D Notes or Subordinated Notes, and that such person is not a Benefit Plan Investor. Pending such transfer, no payments will be made on such Notes or Subordinated Notes (or interest therein) from the date notice of the sale requirement is sent to the date on which such Notes or Subordinated Notes (or interest therein) are sold and such Notes or Subordinated Notes (or interest therein) shall be deemed not to be outstanding for the purposes of any vote, consent or direction of the holders of Class D Notes or Subordinated Noteholders (and shall not be taken into account for the purposes of calculating any quorum or majority requirements relating thereto (such Class D Notes or Subordinated Notes shall be deemed Disregarded Securities)), as the case may be.

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The purchaser of a Restricted Subordinated Note further acknowledges that the Subordinated Note Issuing and Paying Agency Agreement provides that if, notwithstanding the restrictions on transfer contained therein, the Issuer determines that any holder of a Restricted Subordinated Note is not both a Qualified Purchaser and a Qualified Institutional Buyer (unless such holder is an Accredited Investor that purchased such Subordinated Notes from the Initial Purchaser in connection with the initial distribution thereof), then the Issuer shall require, by notice to such holder, that such holder sell all of its right, title and interest to such Subordinated Notes to a person that is (a) both a Qualified Purchaser and a Qualified Institutional Buyer or (b) not a U.S. Person (by exchange for a beneficial interest in a Regulation S Subordinated Note, with such sale to be effected within 30 calendar days after notice of such sale requirement is given. If such holder fails to effect the transfer required within such 30-day calendar period, (a) upon direction from the Issuer, the Subordinated Note Issuing and Paying Agent (on behalf of the Issuer and at the expense of such holder (which expense may be deducted from the sale proceeds described below)) shall cause such holder’s interest in such Subordinated Notes to be transferred in a commercially reasonable sale (conducted by an investment banking firm selected by the Subordinated Note Issuing and Paying Agent on behalf of the Issuer) to a person that certifies to the Subordinated Note Issuing and Paying Agent and the Issuer, in connection with such transfer, that such person is (i) both a Qualified Purchaser and a Qualified Institutional Buyer or (ii) is not a U.S. Person and (b) pending such transfer, no payments will be made on such Subordinated Notes from the date notice of the sale requirement is sent to the date on which such Subordinated Notes are sold and such Subordinated Notes shall be deemed not to be outstanding for the purposes of any vote, consent or direction of the Subordinated Noteholders (and shall not be taken into account for the purposes of calculating any quorum or majority requirements relating thereto (such Subordinated Notes shall be deemed Disregarded Securities)). (10) ERISA. Each purchaser of a Note or Subordinated Note or interest therein will be deemed (or required, as applicable) to represent and warrant (A) that for so long as it holds such Security that it is not, and is not investing the assets of, (i) an “employee benefit plan” (within the meaning of Section 3(3) of ERISA) that is subject to Title I of ERISA, (ii) a “plan” (within the meaning of Section 4975(e)(1) of the Code) that is subject to Section 4975 of the Code, (iii) an entity whose underlying assets include the assets of such an employee benefit plan or plan or (iv) a governmental or church plan that is subject to any non-U.S., federal, state or local law that is similar to the applicable provisions of ERISA or the Code with respect to the treatment of plan assets or prohibited transactions (a “Similar Law”) or (B) its purchase, ownership and disposition of such Security will be covered by the statutory exemption for nonfiduciary service providers under Section 408(b)(17) of ERISA and Section 4975(d)(20) of the Code or a prohibited transaction class exemption issued by the United Stated Department of Labor or will not constitute or result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code (or, in the case of a governmental or church plan, a violation of any Similar Law). No Subordinated Note or interest therein may be acquired by or transferred to a Benefit Plan Investor and each purchaser of a Restricted Subordinated Note will be required (and each purchaser of a Regulation S Global Subordinated Note will be deemed) to represent and warrant that it is not (and for so long as it holds such interest will not be) a Benefit Plan Investor. After the Closing Date, no Class D Note or interest therein may be acquired by or transferred to a Benefit Plan Investor or Controlling Person and each purchaser (other than the Original Purchaser on the Closing Date) of a Restricted Class D Note will be required (and each purchaser of a Regulation S Global Class D Note will be deemed) to represent and warrant that it is not (and for so long as it holds such interest will not be) a Benefit Plan Investor or Controlling Person. (11) Withholding Certification. The purchaser understands that each of the Issuer, the Trustee or any Paying Agent shall require certification acceptable to it (i) as a condition to the payment of principal of and interest on any Securities without, or at a reduced rate of, U.S. withholding or backup withholding tax, and (ii) to enable each of the Issuer, the Trustee and any Paying Agent to determine their duties and liabilities with respect to any taxes or other charges that they may be required to pay, deduct or withhold from payments in respect of such Securities or the Holder of such Securities under any present or future law or regulation of the Cayman Islands or the United States or any present or future law or regulation of any political subdivision thereof or taxing authority therein or to comply with any reporting or other 143

requirements under any such law or regulation. Such certification may include IRS Form W-8BEN, IRS Form W-8IMY, IRS Form W-9, IRS Form W-8ECI or any successors to such IRS forms. Each purchaser agrees to provide any certification requested pursuant to this paragraph and to update or replace such form or certification in accordance with its terms or its subsequent amendments. (12) Tax Treatment. The purchaser hereby agrees that, for purposes of U.S. federal, state and local income and franchise tax and any other income taxes, (i) the Issuer will be treated as a corporation, (ii) the Notes will be treated as indebtedness of the Issuer and (iii) the Subordinated Notes will be treated as equity in the Issuer; the purchaser agrees to such treatment and agrees to take no action inconsistent with such treatment, unless required by law. (13) Limitations on Flow-Through Status. The purchaser is either (a) not a Flow-Through Investment Vehicle or (b) a Qualifying Investment Vehicle. A purchaser is a “Flow-Through Investment Vehicle” if (i) in the case of a purchaser that would be an investment company but for the exception in Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act, the amount of the purchaser’s investment in the Securities exceeds 40% of the total assets (determined on a consolidated basis with its subsidiaries) of the purchaser; (ii) any person owning any equity or similar interest in the purchaser has the ability to control any investment decision of such purchaser to determine, on an investment-by-investment basis, the amount of such person’s contribution to any investment made by the purchaser; (iii) the purchaser was organized or reorganized for the specific purpose of acquiring the Securities; or (iv) additional capital or similar contributions were specifically solicited from any person owning an equity or similar interest in the purchaser for the purpose of enabling the purchaser to purchase the Securities. A “Qualifying Investment Vehicle” is an entity as to which all of the beneficial owners of any securities issued by such entity have made or have been deemed to have made, and as to which (in accordance with the document pursuant to which such entity was organized or the agreement or other document governing such securities) each such beneficial owner must require any transferee of any such security to make or be deemed to make, to the Issuer, the Collateral Manager and the Note Registrar (in the case of the Notes) or the Subordinated Note Registrar (in the case of the Subordinated Notes) each of the applicable representations set forth herein and in the Indenture and the Subordinated Note Issuing and Paying Agency Agreement required to be made upon transfer of any of the relevant Class of Notes or the Subordinated Notes (with modifications to such representations as set forth therein, as applicable, to reflect the indirect nature of the interests of such beneficial owners in such Notes or Subordinated Notes, including any modification permitting an initial beneficial owner of securities issued by such entity to represent, in the case of Subordinated Notes in the initial distribution thereof, that it is an Accredited Investor in lieu of being a Qualified Institutional Buyer). (14) Reliance on Representations, etc. The purchaser acknowledges that the Issuer, the Placement Agents, the Initial Purchaser, the Trustee, the Subordinated Note Issuing and Paying Agent and others will rely upon the truth and accuracy of the acknowledgments, representations and agreements contained in this section of the Prospectus and agrees that, if any of the acknowledgments, representations or warranties made or deemed to have been made by it in connection with its purchase of the Securities are no longer accurate, the purchaser will promptly notify the Issuer and the Placement Agents and/or the Initial Purchaser. (15) Cayman Islands. The purchaser is not a member of the public in the Cayman Islands.

(16) USA PATRIOT Act. The purchaser acknowledges that the Issuer may impose additional transfer restrictions to comply with the USA PATRIOT Act and other similar laws or regulations, and each holder of a Security (or interest therein) is deemed to have agreed to comply with such transfer restrictions. (17) Legend for Notes. Each purchaser of a Note (or any beneficial interest therein) understands and agrees that a legend in substantially the following form will be placed on each Note: THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT OF 1933, AS AMENDED (THE “SECURITIES ACT”), OR THE SECURITIES LAWS OF ANY 144

STATE OF THE UNITED STATES OR ANY OTHER JURISDICTION, AND MAY BE RESOLD, PLEDGED OR OTHERWISE TRANSFERRED ONLY (A) (1) TO A PERSON THAT TAKES DELIVERY OF THIS NOTE (OR ANY INTEREST HEREIN) IN THE FORM OF A RESTRICTED NOTE (OR INTEREST THEREIN) AND THAT THE SELLER REASONABLY BELIEVES IS A “QUALIFIED INSTITUTIONAL BUYER” WITHIN THE MEANING OF RULE 144A UNDER THE SECURITIES ACT (“RULE 144A”), PURCHASING FOR ITS OWN ACCOUNT, TO WHOM NOTICE IS GIVEN THAT THE RESALE, PLEDGE OR OTHER TRANSFER IS BEING MADE IN RELIANCE ON THE EXEMPTION FROM SECURITIES ACT REGISTRATION PROVIDED BY RULE 144A OR (2) TO A NON-U.S. PERSON THAT TAKES DELIVERY OF THIS NOTE (OR ANY INTEREST HEREIN) IN THE FORM OF A REGULATION S NOTE (OR INTEREST THEREIN) IN AN OFFSHORE TRANSACTION IN ACCORDANCE WITH RULES 903 AND 904 OF REGULATION S UNDER THE SECURITIES ACT (“REGULATION S”), (B) IN COMPLIANCE WITH THE CERTIFICATION AND OTHER REQUIREMENTS SPECIFIED IN THE INDENTURE REFERRED TO HEREIN AND (C) IN ACCORDANCE WITH ANY APPLICABLE SECURITIES LAWS OF ANY STATE OF THE UNITED STATES AND ANY OTHER APPLICABLE JURISDICTION. THE ISSUER HAS NOT BEEN REGISTERED UNDER THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE “INVESTMENT COMPANY ACT”). NO TRANSFER OF THIS NOTE (OR ANY INTEREST HEREIN) MAY BE MADE (AND NONE OF THE ISSUER, THE TRUSTEE OR THE NOTE REGISTRAR WILL RECOGNIZE ANY SUCH TRANSFER) IF (A) SUCH TRANSFER WOULD BE MADE TO A TRANSFEREE THAT IS A U.S. PERSON THAT IS NOT A “QUALIFIED PURCHASER” AS DEFINED IN SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, (B) SUCH TRANSFER WOULD HAVE THE EFFECT OF REQUIRING THE ISSUER OR THE COLLATERAL TO REGISTER AS AN INVESTMENT COMPANY UNDER THE INVESTMENT COMPANY ACT, (C) SUCH TRANSFER WOULD BE MADE TO A FLOW-THROUGH INVESTMENT VEHICLE OTHER THAN A QUALIFYING INVESTMENT VEHICLE (EACH AS DEFINED IN THE INDENTURE) OR (D) SUCH TRANSFER WOULD BE MADE TO A PERSON THAT IS OTHERWISE UNABLE TO MAKE THE CERTIFICATIONS AND REPRESENTATIONS REQUIRED BY THE APPLICABLE TRANSFER CERTIFICATE (IF ANY) ATTACHED AS AN EXHIBIT TO THE INDENTURE REFERRED TO HEREIN. NO TRANSFER OF THIS NOTE (OR ANY INTEREST HEREIN) MAY BE MADE (AND NEITHER THE TRUSTEE NOR THE NOTE REGISTRAR WILL RECOGNIZE ANY SUCH TRANSFER) IF SUCH TRANSFER WOULD BE MADE TO A TRANSFEREE THAT IS A U.S. PERSON AND IS (A) A DEALER DESCRIBED IN PARAGRAPH (a)(1)(ii) OF RULE 144A WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF THE DEALER OR (B) A PLAN REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (a)(1)(i)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (a)(1)(i)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, UNLESS INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE SOLELY BY THE FIDUCIARY, TRUSTEE OR SPONSOR OF SUCH PLAN. BY ACCEPTING THIS NOTE (OR ANY INTEREST HEREIN), EACH PURCHASER AND EACH TRANSFEREE HEREOF WILL BE DEEMED TO REPRESENT AND WARRANT THAT EITHER (A) IT IS NOT (AND FOR SO LONG AS IT HOLDS THIS NOTE OR AN INTEREST HEREIN WILL NOT BE), AND IS NOT ACTING ON BEHALF OF (AND FOR SO LONG AS IT HOLDS THIS NOTE OR AN INTEREST HEREIN WILL NOT BE ACTING ON BEHALF OF) (I) AN “EMPLOYEE BENEFIT PLAN” (AS DEFINED IN SECTION 3(3) OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED (“ERISA”)) THAT IS SUBJECT TO TITLE I OF ERISA, (II) A “PLAN” (AS DEFINED IN SECTION 4975(e)(1) OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE “CODE”)) THAT IS SUBJECT TO SECTION 4975 OF THE CODE, (III) AN ENTITY WHOSE UNDERLYING ASSETS INCLUDE THE ASSETS OF SUCH AN “EMPLOYEE BENEFIT PLAN” OR “PLAN” OR (IV) A GOVERNMENTAL OR CHURCH PLAN THAT IS SUBJECT TO ANY NON-U.S., FEDERAL, STATE OR LOCAL LAW THAT IS SIMILAR TO THE FOREGOING PROVISIONS OF ERISA AND THE CODE (A “SIMILAR LAW”) OR (B) ITS PURCHASE, OWNERSHIP AND DISPOSITION OF SUCH 145

NOTE WILL BE COVERED BY THE STATUTORY EXEMPTION FOR NONFIDUCIARY SERVICE PROVIDERS UNDER SECTION 408(b)(17) OF ERISA AND SECTION 4975(d)(20) OF THE CODE OR A PROHIBITED TRANSACTION CLASS EXEMPTION ISSUED BY THE UNITED STATES DEPARTMENT OF LABOR OR WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE (OR, IN THE CASE OF A GOVERNMENTAL OR CHURCH PLAN, A VIOLATION OF ANY SIMILAR LAW). ANY TRANSFER IN VIOLATION OF THE FOREGOING PROVISIONS OF THIS NOTE OR THE INDENTURE WILL BE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO, AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUER, THE TRUSTEE OR ANY INTERMEDIARY. THIS NOTE (OR ANY INTEREST HEREIN) MAY NOT BE TRANSFERRED UNLESS, AFTER GIVING EFFECT TO THE TRANSFER, THE TRANSFEREE IS HOLDING AN ORIGINAL PRINCIPAL AMOUNT WHICH IS EQUAL TO U.S.$500,000 OR INTEGRAL MULTIPLES OF U.S.$1,000 IN EXCESS THEREOF. THE ISSUER, TOGETHER WITH THE TRUSTEE, MAY IMPOSE ADDITIONAL TRANSFER RESTRICTIONS TO COMPLY WITH THE USA PATRIOT ACT, THE PROCEEDS OF CRIMINAL CONDUCT LAW (2005 REVISION) (ENACTED IN THE CAYMAN ISLANDS) AND OTHER SIMILAR LAWS AND REGULATIONS, AND EACH BENEFICIAL OWNER OF A NOTE AGREES TO COMPLY WITH SUCH TRANSFER RESTRICTIONS. EACH PURCHASER OF THIS NOTE WILL BE DEEMED TO HAVE MADE THE APPLICABLE REPRESENTATIONS AND AGREEMENTS SET FORTH IN THIS LEGEND. In addition, the legend set forth on any Regulation S Global Note will also include the following: THIS NOTE (OR ANY INTEREST HEREIN) MAY NOT BE HELD BY A U.S. PERSON AT ANY TIME. THIS NOTE OR ANY INTEREST HEREIN MAY BE TRANSFERRED TO A PERSON WHO TAKES DELIVERY IN THE FORM OF AN INTEREST IN A RESTRICTED NOTE OR (IN CERTAIN LIMITED CIRCUMSTANCES) A DEFINITIVE NOTE ONLY UPON RECEIPT BY THE NOTE REGISTRAR OF (A) A TRANSFER CERTIFICATE FROM THE TRANSFEROR AND THE TRANSFEREE SUBSTANTIALLY IN THE FORM SPECIFIED IN THE INDENTURE AND (B) A WRITTEN ORDER GIVEN IN ACCORDANCE WITH THE APPLICABLE PROCEDURES UTILIZED OR IMPOSED FROM TIME TO TIME BY DTC, EUROCLEAR AND/OR CLEARSTREAM. In addition, the legend set forth on any Restricted Note will also include the following: THIS NOTE (OR ANY INTEREST HEREIN) MAY BE TRANSFERRED TO A PERSON WHO TAKES DELIVERY IN THE FORM OF AN INTEREST IN A REGULATION S GLOBAL NOTE OR (IN CERTAIN LIMITED CIRCUMSTANCES) A DEFINITIVE NOTE ONLY UPON RECEIPT BY THE NOTE REGISTRAR OF (A) A TRANSFER CERTIFICATE FROM THE TRANSFEROR AND THE TRANSFEREE SUBSTANTIALLY IN THE FORM SPECIFIED IN THE INDENTURE AND (B) A WRITTEN ORDER GIVEN IN ACCORDANCE WITH THE APPLICABLE PROCEDURES UTILIZED OR IMPOSED FROM TIME TO TIME BY DTC, EUROCLEAR AND/OR CLEARSTREAM (IN THE CASE OF A REGULATION S GLOBAL NOTE). IF, NOTWITHSTANDING THE RESTRICTIONS SET FORTH IN THIS NOTE OR THE INDENTURE, THE ISSUER DETERMINES THAT ANY BENEFICIAL OWNER OF THIS NOTE (OR ANY INTEREST HEREIN) IS NOT BOTH A QUALIFIED PURCHASER AND A QUALIFIED INSTITUTIONAL BUYER, THE ISSUER SHALL REDEEM THIS NOTE (OR ANY INTEREST HEREIN) OR SHALL REQUIRE, BY NOTICE TO SUCH HOLDER, AS THE CASE MAY BE, THAT SUCH HOLDER SELL ALL OF ITS RIGHT, TITLE AND INTEREST TO THIS NOTE IN ACCORDANCE WITH THE INDENTURE WITH SUCH SALE TO BE EFFECTED WITHIN 30 DAYS 146

AFTER NOTICE OF SUCH SALE REQUIREMENT IS GIVEN. IF SUCH HOLDER FAILS TO EFFECT THE TRANSFER REQUIRED WITHIN SUCH 30-DAY PERIOD, (X) UPON DIRECTION FROM THE ISSUER, THE TRUSTEE (ON BEHALF OF THE ISSUER AND AT THE EXPENSE OF THE HOLDER (WHICH EXPENSE MAY BE DEDUCTED FROM THE SALE PROCEEDS DESCRIBED BELOW)) SHALL CAUSE, AND IS HEREBY IRREVOCABLY AUTHORIZED BY SUCH HOLDER TO CAUSE, ITS INTEREST IN THIS NOTE TO BE TRANSFERRED IN A COMMERCIALLY REASONABLE SALE (CONDUCTED BY AN INVESTMENT BANKING FIRM SELECTED BY THE TRUSTEE (AND APPROVED BY THE COLLATERAL MANAGER) ON THE ISSUER’S BEHALF, IN ACCORDANCE WITH SECTION 9-610 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 ARE THE SUBJECT OF WIDELY DISTRIBUTED STANDARD PRICE QUOTATIONS) TO A PERSON THAT CERTIFIES TO THE TRUSTEE AND THE ISSUER THAT SUCH TRANSFER COMPLIES WITH THE REQUIREMENTS OF THE INDENTURE AND THE LEGEND ON THIS NOTE AND (Y) PENDING SUCH TRANSFER, NO FURTHER PAYMENTS WILL BE MADE IN RESPECT OF THIS NOTE (OR INTEREST HEREIN) FROM THE DATE NOTICE OF THE SALE REQUIREMENT IS SENT TO THE DATE ON WHICH THIS NOTE (OR INTEREST HEREIN) IS SOLD AND THIS NOTE (OR INTEREST HEREIN) SHALL BE DEEMED NOT TO BE OUTSTANDING FOR THE PURPOSES OF ANY VOTE, CONSENT OR DIRECTION OF THE HOLDERS OF THE NOTES (AND SHALL NOT BE TAKEN INTO ACCOUNT FOR THE PURPOSES OF CALCULATING ANY QUORUM OR MAJORITY REQUIREMENTS RELATING THERETO (SUCH NOTES SHALL BE DEEMED DISREGARDED SECURITIES)). In addition, the legend set forth on any Global Note will also include the following: UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY, A NEW YORK CORPORATION (“DTC”), TO THE NOTE REGISTRAR FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT, AND ANY NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR IN SUCH OTHER NAME AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT MADE TO CEDE & CO. OR TO SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC), ANY TRANSFER, PLEDGE OR OTHER USE HEREOF FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL INASMUCH AS THE REGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN. The following will be inserted in the case of Class D Notes: EACH ORIGINAL PURCHASER OF THE CLASS D NOTES REPRESENTED HEREBY WILL BE REQUIRED TO REPRESENT AND WARRANT PURSUANT TO A TRANSFER CERTIFICATE SUBSTANTIALLY IN THE FORM ATTACHED AS AN EXHIBIT TO THE INDENTURE (A “TRANSFER CERTIFICATE”) THAT EITHER (A) NO PART OF THE ASSETS TO BE USED BY THE PURCHASER TO ACQUIRE AND HOLD THE CLASS D NOTES CONSTITUTES ASSETS OF A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON (EACH, AS DEFINED BELOW) OR (B) THE PURCHASER OF THE CLASS D NOTES IS, OR IS ACTING ON BEHALF OF, A BENEFIT PLAN INVESTOR OR (C) THE PURCHASER OF THE CLASS D NOTES, IS, OR IS ACTING ON BEHALF OF, A CONTROLLING PERSON. THE PURCHASER OF THE CLASS D NOTES DESCRIBED IN CLAUSE (B) WILL ALSO REPRESENT AND WARRANT IN THE RELATED TRANSFER CERTIFICATE THE MAXIMUM PERCENTAGE OF SUCH PURCHASE THAT MAY BE DEEMED TO CONSTITUTE (AND MAY BE DEEMED TO CONSTITUTE SO LONG AS IT OWNS ANY CLASS D NOTES) AN INVESTMENT BY A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON. NONE OF THE ISSUER, THE TRUSTEE, ANY PAYING AGENT OR THE NOTE REGISTRAR WILL RECOGNIZE ANY INITIAL PURCHASE OF THE CLASS D NOTES REPRESENTED HEREBY IF, AFTER GIVING EFFECT TO SUCH PURCHASE, 25% OR MORE OF THE CLASS D NOTES OR OF ANY OTHER POTENTIAL EQUITY INTEREST IN THE ISSUER (AS DETERMINED UNDER THE PLAN ASSET REGULATIONS AND EXCLUDING CLASS D NOTES AND OTHER POTENTIAL EQUITY INTERESTS HELD BY ANY CONTROLLING PERSON)

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WOULD BE HELD BY BENEFIT PLAN INVESTORS, INCLUDING ANY INDIRECT INVESTMENT IN THE CLASS D NOTES. OTHER THAN WITH RESPECT TO ORIGINAL PURCHASERS AS DESCRIBED ABOVE, BY ACCEPTING THIS NOTE (OR ANY INTEREST HEREIN), EACH PURCHASER AND EACH TRANSFEREE HEREOF WILL BE REQUIRED OR WILL BE DEEMED TO REPRESENT AND WARRANT THAT IT IS NOT (AND FOR SO LONG AS IT HOLDS THIS NOTE OR AN INTEREST HEREIN WILL NOT BE), AND IS NOT ACTING ON BEHALF OF (AND FOR SO LONG AS IT HOLDS THIS NOTE OR AN INTEREST HEREIN WILL NOT BE ACTING ON BEHALF OF) (I) AN “EMPLOYEE BENEFIT PLAN” (AS DEFINED IN SECTION 3(3) OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED (“ERISA”)) SUBJECT TO TITLE I OF ERISA, (II) A “PLAN” (AS DEFINED IN SECTION 4975(e)(1) OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE “CODE”)) SUBJECT TO SECTION 4975 OF THE CODE, (III) AN ENTITY WHOSE UNDERLYING ASSETS INCLUDE THE ASSETS OF SUCH AN “EMPLOYEE BENEFIT PLAN” OR “PLAN” PURSUANT TO ERISA SECTION 3(42) AND 29 CFR SECTION 2510.3-101 (EACH, “A BENEFIT PLAN INVESTOR”) OR (IV) A GOVERNMENTAL OR CHURCH PLAN SUBJECT TO SUBSTANTIALLY SIMILAR LAW. EXCEPT WITH RESPECT TO THE INITIAL PURCHASE OF CLASS D NOTES, NO CLASS D NOTES (OR ANY INTEREST THEREIN) MAY BE OFFERED, SOLD OR TRANSFERRED, OR HELD BY A BENEFIT PLAN INVESTOR OR A PERSON, OTHER THAN A BENEFIT PLAN INVESTOR, HAVING DISCRETIONARY AUTHORITY OR CONTROL OVER THE ASSETS OF THE ISSUER OR PROVIDING INVESTMENT ADVICE WITH RESPECT TO SUCH ASSETS FOR A FEE, DIRECT OR INDIRECT, OR ANY AFFILIATE OF SUCH PERSON (ANY SUCH PERSON WITH RESPECT TO THE ISSUER, A "CONTROLLING PERSON"). IF, NOTWITHSTANDING THE RESTRICTIONS SET FORTH IN THE INDENTURE, THE ISSUER DETERMINES THAT (A) A BENEFIT PLAN INVESTOR HAS ACQUIRED AN INTEREST IN A CLASS D NOTE (OTHER THAN DIRECTLY FROM THE INITIAL PURCHASER AS AN ORIGINAL PURCHASER) OR (B) A HOLDER OF CLASS D NOTES IS OR IS DEEMED TO BE A BENEFIT PLAN INVESTOR IN CONTRAVENTION OF ITS REPRESENTATION TO THE CONTRARY, THE ISSUER SHALL REQUIRE, BY NOTICE TO SUCH BENEFIT PLAN INVESTOR, THAT SUCH BENEFIT PLAN INVESTOR SELL ALL OF ITS RIGHT, TITLE AND INTEREST IN OR TO SUCH CLASS D NOTES IN ACCORDANCE WITH THE INDENTURE, WITH SUCH SALE TO BE EFFECTED WITHIN 30 CALENDAR DAYS AFTER NOTICE OF SUCH SALE REQUIREMENT IS GIVEN. IF SUCH BENEFIT PLAN INVESTOR FAILS TO EFFECT THE TRANSFER REQUIRED WITHIN SUCH 30-DAY CALENDAR PERIOD, UPON DIRECTION FROM THE ISSUER, THE TRUSTEE (ON BEHALF OF THE ISSUER AND AT THE EXPENSE OF SUCH BENEFIT PLAN INVESTOR (WHICH EXPENSE MAY BE DEDUCTED FROM THE SALE PROCEEDS DESCRIBED BELOW)) SHALL CAUSE, AND IS HEREBY IRREVOCABLY AUTHORIZED BY SUCH BENEFIT PLAN INVESTOR TO CAUSE, ITS INTEREST IN SUCH CLASS D NOTES TO BE TRANSFERRED IN A COMMERCIALLY REASONABLE SALE CONDUCTED BY AN INVESTMENT BANKING FIRM SELECTED BY THE TRUSTEE (AND APPROVED BY THE COLLATERAL MANAGER) ON BEHALF OF THE ISSUER) IN ACCORDANCE WITH SECTION 9-610 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 ARE THE SUBJECT OF WIDELY DISTRIBUTED STANDARD PRICE QUOTATIONS) TO A PERSON THAT CERTIFIES TO THE ISSUER AND THE TRUSTEE IN CONNECTION WITH SUCH TRANSFER, THAT SUCH TRANSFER COMPLIES WITH THE REQUIREMENTS OF THE INDENTURE AND THE LEGEND ON SUCH CLASS D NOTES AND THAT SUCH PERSON IS NOT A BENEFIT PLAN INVESTOR. PENDING SUCH TRANSFER, NO PAYMENTS WILL BE MADE ON SUCH CLASS D NOTES (OR INTEREST THEREIN) FROM THE DATE NOTICE OF THE SALE REQUIREMENT IS SENT TO THE DATE ON WHICH SUCH CLASS D NOTES (OR INTEREST THEREIN) ARE SOLD AND SUCH CLASS D NOTES (OR INTEREST THEREIN) SHALL BE DEEMED NOT TO BE OUTSTANDING FOR THE PURPOSES OF ANY VOTE, CONSENT OR DIRECTION OF THE HOLDERS OF CLASS D 148

NOTES (AND SHALL NOT BE TAKEN INTO ACCOUNT FOR THE PURPOSES OF CALCULATING ANY QUORUM OR MAJORITY REQUIREMENTS RELATING THERETO (SUCH CLASS D NOTES SHALL BE DEEMED DISREGARDED SECURITIES)). (18) Legend for Subordinated Notes. The purchaser understands and agrees that a legend in substantially the following form will be placed on each certificate representing any Subordinated Notes: THE SUBORDINATED NOTES REPRESENTED HEREBY HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT OF 1933, AS AMENDED (THE “SECURITIES ACT”), OR THE SECURITIES LAWS OF ANY STATE OF THE UNITED STATES OR ANY OTHER JURISDICTION, AND MAY BE RESOLD, PLEDGED OR OTHERWISE TRANSFERRED ONLY (A) (1) TO A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A “QUALIFIED INSTITUTIONAL BUYER” WITHIN THE MEANING OF RULE 144A UNDER THE SECURITIES ACT (“RULE 144A”), PURCHASING FOR ITS OWN ACCOUNT, TO WHOM NOTICE IS GIVEN THAT THE RESALE, PLEDGE OR OTHER TRANSFER IS BEING MADE IN RELIANCE ON THE EXEMPTION FROM SECURITIES ACT REGISTRATION PROVIDED BY RULE 144A OR (2) TO A NON-U.S. PERSON IN AN OFFSHORE TRANSACTION IN ACCORDANCE WITH RULES 903 AND 904 OF REGULATION S UNDER THE SECURITIES ACT (“REGULATION S”), (B) IN COMPLIANCE WITH THE CERTIFICATION AND OTHER REQUIREMENTS SPECIFIED IN THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT REFERRED TO HEREIN AND (C) IN ACCORDANCE WITH ANY APPLICABLE SECURITIES LAWS OF ANY STATE OF THE UNITED STATES AND ANY OTHER APPLICABLE JURISDICTION. THE ISSUER HAS NOT BEEN REGISTERED UNDER THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE “INVESTMENT COMPANY ACT”). NO TRANSFER OF A SUBORDINATED NOTE MAY BE MADE (AND NEITHER THE ISSUER NOR THE SUBORDINATED NOTE REGISTRAR WILL RECOGNIZE ANY SUCH TRANSFER) IF (A) SUCH TRANSFER WOULD BE MADE TO A TRANSFEREE THAT IS A U.S. PERSON THAT IS NOT A “QUALIFIED PURCHASER” WITHIN THE MEANING OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT AND RELATED RULES, (B) SUCH TRANSFER WOULD HAVE THE EFFECT OF REQUIRING THE ISSUER OR THE POOL OF COLLATERAL TO REGISTER AS AN INVESTMENT COMPANY UNDER THE INVESTMENT COMPANY ACT, (C) SUCH TRANSFER WOULD BE MADE TO A TRANSFEREE THAT IS A FLOW-THROUGH INVESTMENT VEHICLE OTHER THAN A QUALIFYING INVESTMENT VEHICLE (EACH AS DEFINED IN THE TRANSFER CERTIFICATE ATTACHED TO THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT), (D) SUCH TRANSFER WOULD BE MADE TO A PERSON THAT IS OTHERWISE UNABLE TO MAKE THE CERTIFICATIONS AND REPRESENTATIONS REQUIRED BY THE APPLICABLE TRANSFER CERTIFICATE IN THE FORM ATTACHED AS AN EXHIBIT TO THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT REFERRED TO HEREIN OR (E) IF REQUIRED BY THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT, UNLESS THE TRANSFEREE EXECUTES AND DELIVERS TO THE SUBORDINATED NOTE ISSUING AND PAYING AGENT, THE ISSUER AND THE COLLATERAL MANAGER A TRANSFER CERTIFICATE IN THE FORM ATTACHED AS AN EXHIBIT TO THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT. NO TRANSFER OF THE SUBORDINATED NOTES REPRESENTED HEREBY MAY BE MADE (AND THE SUBORDINATED NOTE ISSUING AND PAYING AGENT, THE SUBORDINATED NOTE REGISTRAR AND THE ISSUER WILL NOT RECOGNIZE ANY SUCH TRANSFER) IF SUCH TRANSFER WOULD BE MADE TO A TRANSFEREE THAT IS A U.S. PERSON AND IS (A) A DEALER DESCRIBED IN PARAGRAPH (a)(1)(ii) OF RULE 144A WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF THE DEALER OR (B) A PLAN REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (a)(1)(i)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (a)(1)(i)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, UNLESS INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE SOLELY BY THE FIDUCIARY, TRUSTEE OR SPONSOR OF SUCH PLAN. 149

AN INVESTOR IN SUBORDINATED NOTES MUST BE PREPARED TO BEAR THE ECONOMIC RISK OF SUCH INVESTMENT FOR AN INDEFINITE PERIOD OF TIME. THE SUBORDINATED NOTES REPRESENTED HEREBY MAY ONLY BE TRANSFERRED (A) TO A PERSON THAT IS (1) BOTH A QUALIFIED INSTITUTIONAL BUYER AND A QUALIFIED PURCHASER OR (2) NOT A U.S. PERSON; (B) TO A PERSON THAT IS ACQUIRING THE SECURITIES FOR ITS OWN ACCOUNT; AND (C) UPON DELIVERY TO THE ISSUER AND THE SUBORDINATED NOTE ISSUING AND PAYING AGENT OF A COMPLETED TRANSFER CERTIFICATE, IF REQUIRED BY THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT, AND SUCH OTHER DOCUMENTS REQUIRED PURSUANT TO THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT. THE SUBORDINATED NOTES REPRESENTED HEREBY MAY ONLY BE TRANSFERRED IF, AFTER GIVING EFFECT TO SUCH TRANSFER, THE PURCHASER (AND, IF THE SELLER RETAINS ANY SUBORDINATED NOTES, THE SELLER) WOULD OWN AT LEAST U.S.$250,000 IN SUBORDINATED NOTES. NO SUBORDINATED NOTES MAY BE TRANSFERRED TO OR HELD BY A BENEFIT PLAN INVESTOR. BY ACCEPTING THIS SUBORDINATED NOTE, EACH PURCHASER AND EACH TRANSFEREE HEREOF WILL BE REQUIRED OR WILL BE DEEMED TO REPRESENT AND WARRANT THAT IT IS NOT (AND FOR SO LONG AS IT HOLDS THIS SUBORDINATED NOTE OR AN INTEREST HEREIN WILL NOT BE), AND IS NOT ACTING ON BEHALF OF (AND FOR SO LONG AS IT HOLDS THIS NOTE OR AN INTEREST HEREIN WILL NOT BE ACTING ON BEHALF OF) (I) AN “EMPLOYEE BENEFIT PLAN” (AS DEFINED IN SECTION 3(3) OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED (“ERISA”)) SUBJECT TO TITLE I OF ERISA, (II) A “PLAN” (AS DEFINED IN SECTION 4975(e)(1) OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE “CODE”)) SUBJECT TO SECTION 4975 OF THE CODE, (III) AN ENTITY WHOSE UNDERLYING ASSETS INCLUDE THE ASSETS OF SUCH AN “EMPLOYEE BENEFIT PLAN” OR “PLAN” PURSUANT TO ERISA SECTION 3(42) AND 29 CFR SECTION 2510.3-101 (EACH, “A BENEFIT PLAN INVESTOR”), OR (IV) A GOVERNMENTAL OR CHURCH PLAN SUBJECT TO SUBSTANTIALLY SIMILAR LAW. THE ISSUER MAY IMPOSE ADDITIONAL TRANSFER RESTRICTIONS TO COMPLY WITH THE USA PATRIOT ACT, THE PROCEEDS OF CRIMINAL CONDUCT LAW (2005 REVISION) (ENACTED IN THE CAYMAN ISLANDS) AND OTHER SIMILAR LAWS AND REGULATIONS, AND EACH BENEFICIAL OWNER OF A SUBORDINATED NOTE AGREES TO COMPLY WITH SUCH TRANSFER RESTRICTIONS. EACH HOLDER OF THIS SUBORDINATED NOTE IS DEEMED TO ACKNOWLEDGE THAT IT HOLDS THE SUBORDINATED NOTES REPRESENTED HEREBY SUBJECT TO THE RESTRICTIONS SET FORTH IN THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT. IF, NOTWITHSTANDING THE RESTRICTIONS SET FORTH IN THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT, THE ISSUER DETERMINES THAT (A) ANY HOLDER OF THIS SUBORDINATED NOTE IS NOT BOTH A QUALIFIED PURCHASER AND A QUALIFIED INSTITUTIONAL BUYER (UNLESS SUCH HOLDER IS AN ACCREDITED INVESTOR THAT PURCHASED THIS SUBORDINATED NOTE FROM THE ISSUER IN CONNECTION WITH THE INITIAL DISTRIBUTION THEREOF) OR (B) (X) A BENEFIT PLAN INVESTOR HAS ACQUIRED THIS SUBORDINATED NOTE (DIRECTLY FROM THE INITIAL PURCHASER OR AS A TRANSFEREE), AS DETERMINED IN ACCORDANCE WITH THE PLAN ASSET REGULATION OF THE U.S. DEPARTMENT OF LABOR OR (Y) THE HOLDER OF THIS SUBORDINATED NOTE IS OR IS DEEMED TO BE A BENEFIT PLAN INVESTOR IN CONTRAVENTION OF ITS REPRESENTATION TO THE CONTRARY, THE ISSUER SHALL, IN EACH CASE, REQUIRE, BY NOTICE TO SUCH HOLDER, THAT SUCH HOLDER SELL ALL OF ITS RIGHT, TITLE AND 150

INTEREST IN OR TO THIS SUBORDINATED NOTE IN ACCORDANCE WITH THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT, IN EACH CASE WITH SUCH SALE TO BE EFFECTED WITHIN 30 DAYS AFTER NOTICE OF SUCH SALE REQUIREMENT IS GIVEN. IF SUCH HOLDER FAILS TO EFFECT THE TRANSFER REQUIRED WITHIN SUCH 30-DAY PERIOD, (I) UPON DIRECTION FROM THE ISSUER, THE SUBORDINATED NOTE ISSUING AND PAYING AGENT (ON BEHALF OF THE ISSUER AND AT THE EXPENSE OF THE HOLDER (WHICH EXPENSE MAY BE DEDUCTED FROM THE SALE PROCEEDS DESCRIBED BELOW)) SHALL CAUSE, AND IS HEREBY IRREVOCABLY AUTHORIZED BY SUCH HOLDER TO CAUSE, SUCH HOLDER’S INTEREST IN THIS SUBORDINATED NOTE TO BE TRANSFERRED IN A COMMERCIALLY REASONABLE SALE CONDUCTED BY AN INVESTMENT BANKING FIRM SELECTED BY THE SUBORDINATED NOTE ISSUING AND PAYING AGENT (AND APPROVED BY THE COLLATERAL MANAGER) ON THE ISSUER’S BEHALF) IN ACCORDANCE WITH SECTION 9 610 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 ARE THE SUBJECT OF WIDELY DISTRIBUTED STANDARD PRICE QUOTATIONS) TO A PERSON THAT CERTIFIES TO THE SUBORDINATED NOTE ISSUING AND PAYING AGENT AND THE ISSUER, IN CONNECTION WITH SUCH TRANSFER, THAT SUCH TRANSFER COMPLIES WITH THE REQUIREMENTS OF THE SUBORDINATED NOTE ISSUING AND PAYING AGENCY AGREEMENT AND THE LEGEND ON THIS SUBORDINATED NOTE AND (II) PENDING SUCH TRANSFER, NO PAYMENTS WILL BE MADE ON THIS SUBORDINATED NOTE FROM THE DATE NOTICE OF THE SALE REQUIREMENT IS SENT TO THE DATE ON WHICH THIS SUBORDINATED NOTE IS SOLD, AND THIS SUBORDINATED NOTE SHALL BE DEEMED NOT TO BE OUTSTANDING FOR THE PURPOSES OF ANY VOTE, CONSENT OR DIRECTION OF THE SUBORDINATED NOTEHOLDERS (AND SHALL NOT BE TAKEN INTO ACCOUNT FOR THE PURPOSES OF CALCULATING ANY QUORUM OR MAJORITY REQUIREMENTS RELATING THERETO (SUCH SUBORDINATED NOTES SHALL BE DEEMED DISREGARDED SECURITIES)). Investor Representations on Resale. Except as provided otherwise, each transferee of a Security will be required to deliver to the Issuer and the Note Registrar or the Subordinated Note Issuing and Paying Agent, as the case may be, a duly executed transferee certificate in the form of the relevant exhibit attached to the Indenture or the Subordinated Note Issuing and Paying Agency Agreement, as the case may be, and such other certificates and other information as the Issuer, the Trustee or the Subordinated Note Issuing and Paying Agent may reasonably require to confirm that the proposed transfer complies with the transfer restrictions contained therein and described in the Prospectus. An owner of a beneficial interest in a Regulation S Global Security may transfer such interest in the form of a beneficial interest in such Regulation S Global Note without the provision of written certification; provided that (1) such transfer is not made to a U.S. Person or for the account or benefit of a U.S. Person and such transfer is effected through Euroclear or Clearstream in an offshore transaction as required by Regulation S and only in accordance with the applicable procedures specified in the Indenture or the Subordinated Note Issuing and Paying Agency Agreement, as applicable, and (2) any transfer not effected in an offshore transaction in accordance with Rules 903 and 904 of Regulation S may be made only in the form of an interest in a Restricted Security upon provision to the Note Registrar or the Subordinated Note Registrar, as applicable, of written certification from the transferee and transferor in the form provided for in the Indenture or the Subordinated Note Issuing and Paying Agency Agreement, as applicable. An owner of a beneficial interest in a Restricted Global Note may transfer such interest in the form of a beneficial interest in such Restricted Global Note without the provision of written certification. Each transferee of a beneficial interest in a Regulation S Global Security or Restricted Global Note will be deemed to make the same representations and warranties at the time of purchase that a transferee of a Security subject to equivalent transfer restrictions that is required to deliver a transfer certificate would be required to make pursuant to such transferee certificate.

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LISTING AND GENERAL INFORMATION 1. Application will be made to the Irish Stock Exchange for the Notes to be admitted to the Official List and to trading on its regulated market. There can be no assurances that such approval or admission, as applicable, will be granted. The Subordinated Notes will not be listed on any exchange. For so long as the Notes are listed on the Irish Stock Exchange, copies of the Issuer Charter, the Administration Agreement, the Indenture, the Subordinated Note Issuing and Paying Agency Agreement, the Collateral Management Agreement, the trustee reports and any Hedge Agreements will be available in electronic form for inspection at the registered office of the Issuer. Copies of the Issuer Charter, the Certificate of Incorporation and By-Laws of the Issuer, the Administration Agreement, the resolutions of the board of directors of the Issuer authorizing the issuance of the Securities, the Indenture, the Subordinated Note Issuing and Paying Agency Agreement, the Collateral Management Agreement and any Hedge Agreements will be available for inspection during the term of the Securities at the office designated by the Trustee and the Subordinated Note Issuing and Paying Agent, as applicable. Since its incorporation the Issuer has not been involved in any governmental, litigation or arbitration proceedings relating to claims on amounts which are significant to the Issuer’s financial position in the context of the issue of the Securities, nor, so far as the Issuer is aware, are any such governmental, litigation or arbitration proceedings involving it pending or threatened. The issuance of the Securities will be authorized by the board of directors of the Issuer on or about the Closing Date. Since the incorporation of the Issuer, the Issuer has not commenced trading or established any accounts, except as disclosed herein, as of the date of the Prospectus. Securities sold in offshore transactions in reliance on Regulation S and represented by Regulation S Global Notes have been accepted for clearance through Euroclear and Clearstream. The following tables list the applicable CUSIP (CINS) Numbers and the International Securities Identification Numbers (ISIN) for the Securities: Securities offered in reliance on Regulation S
CUSIP ISIN

2.

3.

4.

5.

6.

Securities offered in reliance on Rule 144A
CUSIP ISIN

Class A1 Notes Class A2 Notes Class B Notes Class C Notes Class D Notes Subordinated Notes

G00070AA3 G00070AB1 G00070AC9 G00070AD7 G00070AE5 G00070AF2

USG00070AA39 USG00070AB12 USG00070AC94 USG00070AD77 USG00070AE50 USG00070AF26

00254AAA8 00254AAB6 00254AAC4 00254AAD2 00254AAE0 00254AAF7

US00254AAA88 US00254AAB61 US00254AAC45 US00254AAD28 US00254AAE01 US00254AAF75

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LEGAL MATTERS Certain legal matters with respect to New York law will be passed upon for the Issuer and the Collateral Manager by Stroock & Stroock & Lavan LLP, New York, New York. Cadwalader, Wickersham & Taft LLP, Charlotte, North Carolina will pass on certain legal matters with respect to the Placement Agents, the Initial Purchaser, Put Counterparty and Remarketing Agents. Certain matters with respect to Cayman Islands corporate law and tax law will be passed upon for the Issuer by Walkers, Attorneys at Law.

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ANNEX A GLOSSARY OF CERTAIN DEFINED TERMS “Account Agreement” The account agreement dated as of the Closing Date among the Issuer, the Trustee and the securities intermediary, as identified in the Indenture. Amounts (including indemnities) due or accrued with respect to any Distribution Date and payable by the Issuer to (i) the Trustee (in its various capacities) pursuant to the Indenture or any co-trustee appointed pursuant to the Indenture, (ii) the Collateral Administrator under the Collateral Administration Agreement, (iii) the Subordinated Note Issuing and Paying Agent under the Subordinated Note Issuing and Paying Agency Agreement, (iv) the Administrator under the Administration Agreement, (v) the independent accountants, agents and counsel of the Issuer for reasonable fees and expenses (including amounts payable in connection with the preparation of tax forms on behalf of the Issuer), (vi) the Rating Agencies for fees and expenses due or accrued in connection with any rating (including the annual fee payable with respect to the monitoring of any such rating) of the Notes, and in connection with any rating (including any credit estimate fees and monitoring fees relating to the credit estimate) of the Collateral Debt Securities, (vii) the Collateral Manager under the Indenture and the Collateral Management Agreement, (viii) the Remarketing Agents pursuant to the Remarketing Agreement, (ix) any other person in respect of any governmental fee, charge or tax in relation to the Issuer 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 and the Notes; provided that Administrative Expenses shall not include (a) any amounts due or accrued with respect to the actions taken on or prior to the Closing Date, (b) amounts payable in respect of the Notes or the Subordinated Notes, (c) amounts payable under any Hedge Agreement or the Put Agreement and (d) any Collateral Management Fee payable pursuant to the Collateral Management Agreement. With respect to the Collateral Manager, (i) any other person who, directly or indirectly, is in control of, is controlled by, or is under common control with the Collateral Manager or (ii) any other person who is a director, member, officer, employee or general partner of (a) the Collateral Manager or (b) any such other person described in clause (i) above. For the purposes of the foregoing definition, control of a person shall mean the power, direct or indirect, (x) to vote more than 50% of the securities (or equivalent interests) having ordinary voting power for the election of directors (or equivalent persons) of such person or (y) to direct or cause the direction of the management and policies of such person whether by contract or otherwise. With respect to any specified Collateral Debt Security and any issuers incorporated or organized under the laws of any specified jurisdiction(s) (a) the principal balance of such Collateral Debt Security multiplied by (b) the aggregate principal balance of assets underlying such Collateral Debt Security issued by any issuer so incorporated or organized divided by (c) the aggregate principal balance of all assets underlying such Collateral Debt Security. The Collateral Manager will 154

“Administrative Expenses”

“Affiliate”

“Aggregate Attributable Amount”

determine the Aggregate Attributable Amount with respect to any specified Collateral Debt Security and issuer(s) based upon information in the most recent servicing, trustee or other similar report delivered in accordance with the related Underlying Instruments and, if no such information is available after inquiry of the relevant issuer, servicer, collateral manager or any other person or entity serving in a similar capacity, by estimating such Aggregate Attributable Amount in good faith based upon all relevant information otherwise in the Collateral Manager’s possession. “Aggregate Weighted Average Price” As of any date of determination, the quotient (expressed as a percentage) obtained by dividing (a) the sum of the products obtained by multiplying (i) the purchase price paid by the Issuer for each Collateral Debt Security (without taking into account any interest accrued on such Collateral Debt Security prior to the date of acquisition by the Issuer) expressed as a percentage of the principal balance of such Collateral Debt Security by (ii) the principal balance of such Collateral Debt Security by (b) the aggregate principal balance of all Collateral Debt Securities. 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 cash flow from leases and subleases of aircraft to businesses for use in the provision of goods or services to consumers, the military or the government, generally having the following characteristics: (1) the leases and subleases have varying contractual maturities; (2) the leases or subleases are obligations of a relatively limited number of obligors and accordingly represent an undiversified pool of obligor credit risk; (3) the repayment stream on such leases and subleases is primarily determined by a contractual payment schedule, with early termination of such leases and subleases predominantly dependent upon the disposition to a lessee, sublessee or third party of the underlying equipment; (4) such leases or subleases typically provide for the right of the lessee or sublessee to purchase the equipment for its stated residual value, subject to payments at the end of lease term for excess usage or wear and tear; and (5) the obligations of the lessors or sublessors may be secured not only by the leased equipment but also by other assets of the lessee, sublessee or guarantees granted by third parties. With respect to any Collateral Debt Security on any Measurement Date, the least of (a) (i) 100% minus (ii) the percentage for such Collateral Debt Security set forth in the Moody’s Loss Scenario Matrix set forth in Part I of Schedule A hereto in (x) the table corresponding to the relevant specified type of Asset-Backed Security, (y) the column in such table setting forth the initial Moody’s Rating assigned to such Collateral Debt Security as of its original issuance date and (z) the row in such table opposite the percentage of the Issue of Collateral Debt Securities of which such Collateral Debt Security is a part relative to the total capitalization of (including both debt and equity securities issued by) the relevant issuer of or obligor on such Collateral Debt Security, determined on such Measurement Date; (b) the percentage for such Collateral Debt Security set forth in the Standard & Poor’s Recovery Rate Matrix set forth in Part II of Schedule A hereto in (x) the applicable table, (y) the row in such table opposite the Standard 155

“Aircraft Securities”

“Applicable Recovery Rate”

& Poor’s Rating of such Collateral Debt Security on such Measurement Date (or, in the case of a Defaulted Security, the Standard & Poor’s Rating at the time of default) and (z) the column in such table below the rating of the Class of outstanding Notes with the highest rating by Standard & Poor’s; provided that, if the timely payment of principal of and interest on such Collateral Debt Security is guaranteed by a corporate guarantor, the Applicable Recovery Rate shall be 30.0%; provided further that if such Collateral Debt Security is the subject of an Asset Hedge Agreement other than a basis swap, the Applicable Recovery Rate pursuant to this clause (b) shall be the recovery rate assigned by Standard & Poor’s to such Collateral Debt Security at the time of the entry by the Issuer into such Asset Hedge Agreement provided further that with respect to any Synthetic Security that is assigned a recovery rate by Standard & Poor’s, such assigned recovery rate shall be the Applicable Recovery Rate and (c) such other recovery rate as applied by the Rating Agencies and notified to the Collateral Manager and the Trustee. “Asset-Backed Security” A type of publicly issued or privately placed security that entitles the holders thereof to receive payments that depend primarily on the cash flow from specified financial assets or a specified pool of financial assets, either fixed or revolving, that by their terms convert into cash within a finite time period (including, in the case of CDO Securities, synthetic securities, credit default swaps and other derivative instruments referencing one or more such financial assets), together with rights or other assets designed to assure the servicing or timely distribution of proceeds to such holders, including, but not limited to, CDO Securities, RMBS Securities and CMBS Securities. An interest rate swap agreement, basis swap agreement which satisfies the Rating Condition relating to one or more Collateral Debt Securities entered into by the Issuer with an Asset Hedge Counterparty pursuant to which either (i) the relevant Asset Hedge Counterparty makes monthly payments to the Issuer and the Issuer makes payments to such Asset Hedge Counterparty based on the payments the Issuer receives with respect to the Collateral Debt Securities to which such Asset Hedge Agreement relates or (ii) the relevant Asset Hedge Counterparty makes payments to the Issuer at a fixed rate (in the case of a Floating Rate Security) or a floating rate (in the case of a Fixed Rate Security) and the Issuer make payments to such Asset Hedge Counterparty based on the payments the Issuer receives with respect to the Collateral Debt Securities to which such Asset Hedge Agreement relates. Each Asset Hedge Agreement shall, except in each case as to which the Rating Condition is met, (a) have an initial notional amount equal to the principal balance of the related Collateral Debt Security, (b) amortize based upon the same schedule or expected amortization (as determined by the Collateral Manager in its sole judgment) as, and terminate not later than the maturity date of, the related Collateral Debt Security, (c) have payment dates (with respect to payments to the Asset Hedge Counterparty) that occur on the same dates as (or the Business Day after) the payment dates (to the Issuer) under the related Collateral Debt Security, (d) include “limited-recourse” and “non-petition” covenants for the benefit of the Issuer and (e) include a requirement that any termination payments payable to the Asset Hedge Counterparty by reason of an event of default or termination event as to which the Asset Hedge Counterparty is the sole “defaulting party” or 156

“Asset Hedge Agreement”

the sole “affected party” shall be payable only on an ensuing Quarterly Distribution Date and shall be subject to the Priority of Payments. “Asset Hedge Counterparty” (a) any counterparty under an Asset Hedge Agreement which satisfies the Hedge Counterparty Ratings Requirement or with respect to which counterparty the Rating Condition has been satisfied or (b) any permitted assignee or successor counterparty under an Asset Hedge Agreement which satisfies the Rating Condition. Asset-Backed Securities (other than Subprime Automobile 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 AssetBacked Securities) on the cash flow from installment sale loans made to finance the acquisition of, or from leases of, automobiles, generally having the following characteristics: (1) the loans or leases may have varying contractual maturities; (2) the loans or leases are obligations of numerous borrowers or lessors and accordingly represent a very diversified pool of obligor credit risk; (3) the repayment stream on such loans or leases is primarily determined by a contractual payment schedule, with early repayment on such loans or leases predominantly dependent upon the disposition of the underlying vehicle; and (4) such leases typically provide for the right of the lessee to purchase the vehicle for its stated residual value, subject to payments at the end of lease term for excess mileage or use. The amount sufficient to (i) pay any accrued and unpaid amounts payable under the Priority of Payments prior to the payment of the Notes (without application of any limitation or cap with respect thereto and including any termination payments payable by the Issuer pursuant to any Hedge Agreements and any fees and expenses incurred by the Trustee and the Collateral Manager in connection with such sale of Collateral Debt Securities), (ii) redeem the Notes on the scheduled Redemption Date at the applicable Redemption Prices and (iii) pay the owners of the Issuer’s ordinary shares U.S.$2,000 (consisting of U.S.$1,000 representing a return of capital contributed by the owners of the Issuer’s ordinary shares in accordance with the Issuer Charter and U.S.$1,000 representing a profit fee to the Issuer); provided that holders of 100% of the aggregate outstanding principal amount of a Class of Notes may elect, in connection with any Auction Call Redemption to receive less than 100% of the Redemption Price that would otherwise be payable to holders of such Class, and the Auction Call Redemption Amount and the distributions to such Class pursuant to the Priority of Payments will be reduced accordingly for purposes of this definition. (a) With respect to any redemption, the sale proceeds of the Collateral, (b) Refinancing Proceeds and (c) all other funds in, and the balance of Eligible Investments maturing on or before the scheduled Redemption Date and credited to, the Interest Collection Account, the Interest Reserve Account, the Principal Collection Account, the Uninvested Proceeds Account, the Expense Account, the Remarketing Account or the Payment Account and any amounts in a Synthetic Security Counterparty Account in excess of any termination payment owed to the Synthetic Security Counterparty.

“Automobile Securities”

“Auction Call Redemption Amount”

“Available Redemption Funds”

157

“Base Rate”

A fluctuating rate of interest determined by the Calculation Agent as being the rate of interest most recently announced by the Base Rate Reference Bank at its New York, New York office as its base rate, prime rate, reference rate or similar rate for U.S. Dollar loans. Changes in the Base Rate will take effect simultaneously with each change in the underlying rate. Deutsche Bank Trust Company Americas, or if such bank ceases to exist or is not quoting a base rate, prime rate reference rate or similar rate for U.S. Dollar loans, such other major money center commercial bank in New York City, as selected by the Calculation Agent (after consultation with the Collateral Manager). (a) With respect to a Floating Rate Security that pays interest monthly, quarterly or semi-annually, the offered rate for Dollar deposits in Europe of one month, three months or six months (as applicable) that appears on Telerate Page 3750 (or such other page as may replace such Telerate Page 3750 for the purpose of displaying comparable rates), as of 11:00 a.m. (London time) on the second London Banking Day preceding the date of acquisition of such Collateral Debt Security and (b) with respect to a Fixed Rate Security, the yield reported, as of 10:00 a.m. (New York City time) on the second Business Day preceding the date of acquisition of such Collateral Debt Security, on the display designated as “Page 678” on the Telerate Access Service (or such other display as may replace Page 678 on the Telerate Access Service) for actively traded U.S. Treasury securities having a maturity equal to the weighted average life of such Collateral Debt Security on such date of acquisition. A day on which banking institutions are not authorized or obligated by law, regulation or executive order to close in New York City or London, England and any other city in which the corporate trust office of the Trustee or the Subordinated Note Issuing and Paying Agent is located (initially, Santa Ana, California) and, in the case of the final payment of principal of any Note or the redemption of any Subordinated Note, the place of presentation of such Note or Subordinated Note; provided that if any action is required of the Paying Agent in Ireland, then, for purposes of determining when such action is required, Dublin, Ireland will be considered in determining “Business Day.” With respect to any Defaulted Security or Deferred Interest PIK Bond at any time, the lesser of (a) the fair market value of such Defaulted Security or Deferred Interest PIK Bond and (b) the product of (i) the Applicable Recovery Rate multiplied by (ii) the principal balance of such Defaulted Security or Deferred Interest PIK Bond. 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 cash flow from leases and subleases of vehicles to car rental systems and their franchisees, generally having the following characteristics: (1) the leases and subleases have varying contractual maturities; (2) the subleases, if any, are obligations of franchisees and accordingly represent a very diversified pool of obligor credit risk; (3) the repayment stream on such leases and subleases is primarily determined by a contractual payment schedule, with early 158

“Base Rate Reference Bank”

“Benchmark Rate”

“Business Day”

“Calculation Amount”

“Car Rental Fleet Securities”

termination of such leases and subleases predominantly dependent upon the disposition to a lessee or third party of the underlying vehicle; and (4) such leases or subleases may or may not provide for the right of the lessee or sublessee to purchase the vehicle for its stated residual value, subject to payments at the end of lease term for excess mileage or use. “Catastrophe Bonds” Asset-Backed Securities that entitle the holders thereof to receive a fixed principal or similar amount and a specified return on such amount, generally having the following characteristics: (1) the issuer of such Asset-Backed Security has entered into an insurance contract or similar arrangement with a counterparty pursuant to which such issuer agrees to pay amounts to the counterparty upon the occurrence of certain specified events, including but not limited to: hurricanes, earthquakes and other events; and (2) payments on such Asset-Backed Security depend primarily upon the occurrence and/or severity of such events. A CDO Security that is comprised of a "note component," representing a specified principal amount of rated CDO Securities, and an "equity component," representing a specified number or principal amount of preferences shares or subordinated notes issued by a CDO issuer. CDO Securities that entitle the holder thereof to receive payments that depend on the credit exposure to or the cash flow from a portfolio of underlying obligations of which more than 50% of the aggregate principal balance thereof consist of other CDO Securities. A CDO Security that constitutes the first loss position within the capital structure of a CDO issuer and that has been assigned a rating by one or more Rating Agencies, which rating may be a rating as to principal only or which may be otherwise qualified. Any Asset-Backed Security (or, in the case of a Synthetic CDO Security, a Synthetic Security) that entitles the holders thereof to receive payments that depend on the cash flow from a portfolio consisting primarily of commercial and industrial bank loans, corporate debt securities, trust preferred securities or other asset-backed securities (and/or one or more synthetic securities, credit default swaps or other derivative instruments referencing one or more of the foregoing securities or debt obligations), including but not limited to CDO Securities—High Grade, CLO Securities, Trust Preferred CDO Securities, CDO Securities—Investment Grade Corporate, Synthetic CDO Securities and CDO of CDO Securities. Any CDO Security with respect to which no more than 5% of the underlying assets that may be purchased by the related issuer may be rated lower than “A3” by Moody’s and “A-” by Standard & Poor’s. Any CDO Security (other than a CDO Security—High Grade) with respect to which at least 80% of the assets in the underlying pool are corporate bonds and/or leveraged loans rated “Baa3” (and if rated “Baa3” by Moody’s, such rating is not on watch for downgrade) or higher by Moody’s and “BBB-” or higher by S&P (in each case, if rated by such Rating Agency).

“CDO Combination Security”

“CDO of CDO Securities”

“CDO Rated Equity”

“CDO Securities”

“CDO Securities—High Grade”

“CDO Securities—Investment Grade Corporate”

159

“Chassis Leasing Securities”

Asset-Backed Securities (other than Aircraft Securities, Natural Resource Receivable Securities and Restaurant and Food Services 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 AssetBacked Securities) on the cash flow from leases and subleases of chassis (other than automobiles) to commercial and industrial customers, generally having the following characteristics: (1) the leases and subleases have varying contractual maturities; (2) the leases or subleases are obligations of a relatively limited number of obligors and accordingly represent an undiversified pool of obligor credit risk; (3) the repayment stream on such leases and subleases is primarily determined by a contractual payment schedule, with early termination of such leases and subleases predominantly dependent upon the disposition to a lessee, sublessee or third party of the underlying chassis; and (4) such leases or subleases typically provide for the right of the lessee or sublessee to purchase the chassis for their stated residual value, subject to payments at the end of lease term for excess usage. At any time, the maximum percentage of defaults which the Standard & Poor’s Current Portfolio or Proposed Portfolio can sustain (as determined by the Standard & Poor’s CDO Monitor) which after giving effect to Standard & Poor’s assumptions on recoveries on defaulted securities and timing of such recoveries and to the Priority of Payments will result in sufficient funds remaining for the payment of the Class A Notes in full by their Stated Maturity and the timely payment of interest on the Class A Notes. At any time, the rate calculated by subtracting the Class A Scenario Default Rate from the Class A Break-Even Default Rate. The Class A1 Notes and the Class A2 Notes. With respect to the Class A Notes, at any time, an estimate of the cumulative default rate for the Standard & Poor’s Current Portfolio or Proposed Portfolio, as applicable, consistent with at least an “A-1” rating of the Class A1 Notes and an “AAA” rating of the Class A2 Notes by Standard & Poor’s, each as determined by application of the Standard & Poor’s CDO Monitor at such time. The final Distribution Date with respect to the Class A1 Notes on the July 2047 Quarterly Distribution Date or, if earlier, the date on which all of the Class A1 Notes are paid in full (and no additional Class A1 Notes will be issued), including a Redemption Date; provided that if such date would otherwise fall on a day that is not a Business Day, the Class A1 Final Distribution Date shall be the next succeeding Business Day. For any MM Reset Period and any Class A1 Notes (other than Class A1 Extended Notes), the spread over LIBOR (not to exceed the Maximum Class A1 Spread) at which such Class A1 Notes are issued (including issuance to the Put Counterparty pursuant to the Put Agreement) in accordance with the procedures specified in the Remarketing Agreement, the Put Agreement and the Indenture.

“Class A Break-Even Default Rate”

“Class A Loss Differential” “Class A Notes” “Class A Scenario Default Rate”

“Class A1 Final Distribution Date”

“Class A1 Spread”

160

“Class B Break-Even Default Rate”

At any time, the maximum percentage of defaults which the Standard & Poor’s Current Portfolio or Proposed Portfolio can sustain (as determined by the Standard & Poor’s CDO Monitor) which after giving effect to Standard & Poor’s assumptions on recoveries on defaulted securities and timing of such recoveries and to the Priority of Payments will result in sufficient funds remaining for the payment of the Class B Notes in full by their Stated Maturity and the timely payment of interest on the Class B Notes. At any time, the rate calculated by subtracting the Class B Scenario Default Rate from the Class B Break-Even Default Rate. With respect to the Class B Notes, at any time, an estimate of the cumulative default rate for the Standard & Poor’s Current Portfolio or Proposed Portfolio, as applicable, consistent with a “AA” rating of the Class B Notes by Standard & Poor’s as determined by application of the Standard & Poor’s CDO Monitor at such time. At any time, the maximum percentage of defaults which the Standard & Poor’s Current Portfolio or Proposed Portfolio can sustain (as determined by the Standard & Poor’s CDO Monitor) which after giving effect to Standard & Poor’s assumptions on recoveries on defaulted securities and timing of such recoveries and to the Priority of Payments will result in sufficient funds remaining for the payment of the Class C Notes in full by their Stated Maturity and the ultimate payment of interest on the Class C Notes. At any time, the rate calculated by subtracting the Class C Scenario Default Rate from the Class C Break-Even Default Rate. With respect to the Class C Notes, at any time, an estimate of the cumulative default rate for the Standard & Poor’s Current Portfolio or Proposed Portfolio, as applicable, consistent with a “A” rating of the Class C Notes by Standard & Poor’s as determined by application of the Standard & Poor’s CDO Monitor at such time. At any time, the maximum percentage of defaults which the Standard & Poor’s Current Portfolio or Proposed Portfolio can sustain (as determined by the Standard & Poor’s CDO Monitor) which after giving effect to Standard & Poor’s assumptions on recoveries on defaulted securities and timing of such recoveries and to the Priority of Payments will result in sufficient funds remaining for the payment of the Class D Notes in full by their Stated Maturity and the ultimate payment of interest on the Class D Notes. At any time, the rate calculated by subtracting the Class D Scenario Default Rate from the Class D Break-Even Default Rate. With respect to the Class D Notes, at any time, an estimate of the cumulative default rate for the Standard & Poor’s Current Portfolio or Proposed Portfolio, as applicable, consistent with a “BBB” rating of the Class D Notes by Standard & Poor’s as determined by application of the Standard & Poor’s CDO Monitor at such time.

“Class B Loss Differential”

“Class B Scenario Default Rate”

“Class C Break-Even Default Rate”

“Class C Loss Differential” “Class C Scenario Default Rate”

“Class D Break-Even Default Rate”

“Class D Loss Differential” “Class D Scenario Default Rate”

161

“Clean-Up Call Redemption” “CLO Securities”

An Auction Call Redemption that occurs on or after the Clean-Up Call Trigger Date. Any CDO 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 Securities) on the cash flow from a portfolio consisting primarily of commercial or industrial loans (excluding any such loan secured by real estate unless such security is not the primary source of credit for such loan), generally having the following characteristics: (1) the loans have varying contractual maturities; (2) repayment thereof can vary substantially from the contractual payment schedule (if any), with early prepayment of individual loans or depending on numerous factors specific to the particular obligors and upon whether, in the case of loans bearing interest at a fixed rate, such loans include an effective prepayment premium; and (3) proceeds from such prepayments can for a limited period and subject to compliance with certain eligibility criteria be reinvested in additional loans. Asset-Backed Securities (other than CMBS Credit Tenant Lease Securities and CMBS Large Loan Securities) (A) issued by a single-seller or multi-seller conduit under which the holders of such Asset-Backed Securities have recourse to a specified pool of assets (but not other assets held by the conduit that support payments on other series of securities) and (B) 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 cash flow from a pool of commercial mortgage loans generally having the following characteristics (including securities under clause (A) and clause (B) above that are CDO Securities whose assets consist primarily of other CMBS Conduit Securities meeting the requirements of clauses (A) and (B) above and are deemed to be CMBS Conduit Securities in the Collateral Manager’s judgment (exercised in accordance with the standard of care set forth in the Collateral Management Agreement)): (1) the commercial mortgage loans may have varying contractual maturities; (2) the commercial mortgage loans are secured by real property purchased or improved with the proceeds thereof (or to refinance an outstanding loan the proceeds of which were so used); (3) the commercial mortgage loans are obligations of a relatively limited number of obligors (with the creditworthiness of individual obligors being less material than for CMBS Large Loan Securities and CMBS Credit Tenant Lease Securities) and accordingly represent a relatively undiversified pool of obligor credit risk; (4) upon original issuance of such Asset-Backed Securities no five commercial mortgage loans account for more than 20.0% of the aggregate principal balance of the entire pool of commercial mortgage loans supporting payments on such securities; and (5) repayment thereof can vary substantially from the contractual payment schedule (if any), with early prepayment of individual loans depending on numerous factors specific to the particular obligors and upon whether, in the case of loans bearing interest at a fixed rate, such loans or securities include an effective prepayment premium. Asset-Backed Securities (other than CMBS Large Loan Securities and CMBS Conduit Securities) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to 162

“CMBS Conduit Securities”

“CMBS Credit Tenant Lease Securities”

assure the servicing or timely distribution of proceeds to holders of the Asset-Backed Securities) on the cash flow from a pool of commercial mortgage loans made to finance the acquisition, construction and improvement of properties leased to corporate tenants (or on the cash flow from such leases). They generally have the following characteristics: (1) the commercial mortgage loans or leases have varying contractual maturities; (2) the commercial mortgage loans are secured by real property purchased or improved with the proceeds thereof (or to refinance an outstanding loan the proceeds of which were so used); (3) the leases are secured by leasehold interests; (4) the commercial mortgage loans or leases are obligations of a relatively limited number of obligors and accordingly represent a relatively undiversified pool of obligor credit risk; (5) payment thereof can vary substantially from the contractual payment schedule (if any), with prepayment of individual loans or termination of leases depending on numerous factors specific to the particular obligors or lessees and upon whether, in the case of loans bearing interest at a fixed rate, such loans include an effective prepayment premium; and (6) the creditworthiness of such corporate tenants is the primary factor in any decision to invest in these securities. “CMBS Large Loan Securities” Asset-Backed Securities (other than CMBS Conduit Securities and CMBS Credit Tenant Lease 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 cash flow from a pool of commercial mortgage loans made to finance the acquisition, construction and improvement of properties. They generally have the following characteristics: (1) the commercial mortgage loans have varying contractual maturities; (2) the commercial mortgage loans are secured by real property purchased or improved with the proceeds thereof (or to refinance an outstanding loan the proceeds of which were so used); (3) the commercial mortgage loans are obligations of a relatively limited number of obligors and accordingly represent a relatively undiversified pool of obligor credit risk; (4) repayment thereof can vary substantially from the contractual payment schedule (if any), with early prepayment of individual loans depending on numerous factors specific to the particular obligors and upon whether, in the case of loans bearing interest at a fixed rate, such loans or securities include an effective prepayment premium; and (5) the valuation of individual properties securing the commercial mortgage loans is the primary factor in any decision to invest in these securities. CMBS Conduit Securities, CMBS Credit Tenant Lease Securities and CMBS Large Loan Securities. Deutsche Bank Trust Company Americas and any successor appointed as Collateral Administrator pursuant to the Collateral Administration Agreement. The Collateral Administration Agreement dated as of the Closing Date by and among the Issuer, the Collateral Manager and the Collateral Administrator, as amended from time to time. (i) An Asset-Backed Security; (ii) a Synthetic Security; or (iii) any Deliverable Obligation; provided that each such security must satisfy 163

“CMBS Securities” “Collateral Administrator”

“Collateral Administration Agreement” “Collateral Debt Security”

the requirements described in “Security for the Notes—Collateral Debt Securities” and additional requirements set forth in the Indenture. “Collateralization Event” In respect of any Hedge Counterparty, the failure of such Hedge Counterparty to satisfy the Hedge Counterparty Ratings Requirement; provided, however, that no Substitution Event has occurred. The information in the sections of the Prospectus entitled “The Collateral Manager”. Any Notes or Subordinated Notes held by the Collateral Manager or its Affiliates or any account as to which the Collateral Manager or any of its Affiliates acts as investment adviser with discretionary investment authority (but only to the extent that the voting rights relating to such securities are controlled by the Collateral Manager or one or more of its Affiliates pursuant to delegation or otherwise); provided that “Collateral Manager Securities” shall not include Notes or Subordinated Notes held by an entity for which the Collateral Manager or an Affiliate acts as investment adviser, if the voting of such securities with respect to the matter in question is in fact directed by a board of directors or similar governing body with a majority of members that are independent from the Collateral Manager and its Affiliates. The earliest to occur of (i) the first date on which the Put Agreement has been terminated by the Put Counterparty in accordance with its terms and all of the Class A1 Extended Notes issued by on or after the Put Termination Reissuance Date have been purchased by the Put Counterparty, (ii) the date on which all of the Class A1 Notes (including any Class A1 Extended Notes) are paid in full and (iii) the Quarterly Distribution Date occurring in June 2047; provided that if the Commitment Termination Date would otherwise occur on a day that is not a Business Day, the Commitment Termination Date will be the immediately succeeding Business Day. Automobile Securities, Credit Card Securities and Student Loan Securities. Asset-Backed Securities (other than Aircraft Securities, Natural Resource Receivables Securities and Restaurant and Food Services 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 AssetBacked Securities) on the cash flow from leases and subleases of containers to commercial and industrial customers, generally having the following characteristics: (1) the leases and subleases have varying contractual maturities; (2) the leases or subleases are obligations of a relatively limited number of obligors and accordingly represent an undiversified pool of obligor credit risk; (3) the repayment stream on such leases and subleases is primarily determined by a contractual payment schedule, with early termination of such leases and subleases predominantly dependent upon the disposition to a lessee, sublessee or third party of the underlying containers; and (4) such leases or subleases typically provide for the right of the lessee or sublessee to

“Collateral Manager Information” “Collateral Manager Securities”

“Commitment Termination Date”

“Consumer ABS Securities” “Container Leasing Securities”

164

purchase the containers for their stated residual value, subject to payments at the end of lease term for excess usage. “Controlling Class” The Class A1 Notes, provided that, so long as the Put Agreement is outstanding and no “event of default” in respect of which the Put Counterparty is the sole “defaulting party” has occurred (each such term as defined in the Put Agreement), the Put Counterparty shall be the Controlling Class, or, if there are no Class A1 Notes outstanding, the Class A2 Notes or, if there are no Class A1 Notes and Class A2 Notes outstanding, the Class B Notes or, if there are no Class A1 Notes, Class A2 Notes and Class B Notes outstanding, the Class C Notes or, if there are no Class A1 Notes, Class A2 Notes, Class B Notes and Class C Notes outstanding, the Class D Notes. Asset-Backed Securities as to which the timely payment of interest when due, and the payment of principal no later than stated legal maturity, is unconditionally guaranteed pursuant to a guarantee or other similar instrument issued by a corporation organized under the laws of a state of the United States whose rating is higher than the rating of the Asset-Backed Securities without giving effect to such guarantee or other similar instrument but only if such guarantee or other similar instrument (1) expires no earlier than such stated maturity, (2) provides that payment thereunder is independent of the performance by the obligor on the relevant Asset-Backed Security and (3) is issued by a corporation having a credit rating assigned by each nationally recognized statistical rating organization that currently rates such Asset-Backed Security higher than the credit rating assigned by such rating organization to such Asset-Backed Security determined without giving effect to such guarantee or other similar instrument. The Class A Overcollateralization Test, the Class B Interest Coverage Test, the Class B Overcollateralization Test, the Class C Interest Coverage Test, the Class C Overcollateralization Test and the Class D Overcollateralization Test. 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 cash flow from balances outstanding under revolving credit card accounts, generally having the following characteristics: (1) the accounts have standardized payment terms and require minimum monthly payments; (2) the balances are obligations of numerous borrowers and accordingly represent a very diversified pool of obligor credit risk; and (3) the repayment stream on such balances does not depend upon a contractual payment schedule, with early repayment depending primarily on interest rates, availability of credit against a maximum credit limit and general economic matters. Any Collateral Debt Security or any other security included in the Collateral (other than a Defaulted Security) that satisfies one of the following criteria at the time of proposed sale thereof: (1) so long as no Downgrade Event has occurred and is continuing, the Collateral Manager believes (based on its judgment exercised in accordance with the standard of care set forth in the Collateral

“Corporate Guaranteed Securities”

“Coverage Tests”

“Credit Card Securities”

“Credit Improved Security”

165

Management Agreement) that such Collateral Debt Security has significantly improved in credit quality; or (2) if at the time of such proposed sale, a Downgrade Event shall have occurred and is continuing, such Collateral Debt Security (or, in the case of a Form Approved Synthetic Security, the relevant Reference Obligation) (a) has been upgraded or put on a watch list for possible upgrade by one or more rating subcategories by Standard & Poor’s or Moody’s, (b) has experienced a decrease in credit spread of 0.20% or more, determined by reference to an applicable index selected by the Collateral Manager or (c) has increased in price to 102.0% or more of its original purchase price, in each case, since such Collateral Debt Security was acquired or entered into by the Issuer or since the Issuer made a commitment to acquire it or enter into it. “Credit Risk Security” Any Collateral Debt Security or any other security included in the Collateral that satisfies one of the following criteria at the time of proposed sale thereof: (1) it is a Deferred Interest PIK Bond; (2) so long as no Downgrade Event has occurred and is continuing, the Collateral Manager believes (based on its judgment exercised in accordance with the standard of care set forth in the Collateral Management Agreement) that such Collateral Debt Security has a significant risk of declining in credit quality and, with lapse of time, becoming a Defaulted Security or Deferred Interest PIK Bond; or (3) if at the time of such proposed sale, a Downgrade Event shall have occurred and is continuing, such Collateral Debt Security (or, in the case of a Synthetic Security, the relevant Reference Obligation) (a) has been downgraded or put on a watch list for possible downgrade by any Rating Agency by one or more rating subcategories, (b) has experienced an increase in credit spread of 0.20% or more, determined by reference to an applicable index selected by the Collateral Manager or (c) if such Collateral Debt Security (or, in the case of a Synthetic Security, the relevant Reference Obligation) is a CDO Security, if the Collateral Manager has actual knowledge that a tranche of securities that are part of the same issuance as such Collateral Debt Security (or Reference Obligation, as applicable) would constitute a Deferred Interest PIK Bond, in each case, since such Collateral Debt Security was acquired or entered into by the Issuer or since the Issuer made a commitment to acquire it or enter into it. “Dealer Floorplan Securities” 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 cash flow from loans or leases made to finance the purchase of an automobile dealer’s inventory, generally having the following characteristics: (1) the loans or leases may have short contractual maturities; and (2) the repayment stream on such loans is primarily determined by a contractual payment schedule, with repayment on such loans required upon the disposition of the underlying vehicle.

166

“Default” “Defaulted Interest”

Any event that with notice or lapse of time or both would become an Indenture Event of Default. Any interest due and payable in respect of any Note that is not punctually paid or duly provided for on the applicable Distribution Date or at the Stated Maturity of such Note and which remains unpaid. Defaulted Interest will not include Class C Deferred Interest and Class D Deferred Interest. Any Collateral Debt Security: (1) as to which the issuer thereof has defaulted in the payment of principal or interest without regard to any applicable grace period or waiver; provided that a Collateral Debt Security will not be classified as a “Defaulted Security” under this clause (1) if (i) the Collateral Manager certifies to the Trustee that, in its judgment (exercised in accordance with the standard of care set forth in the Collateral Management Agreement), such payment default is not due to credit related or fraud related causes and such default does not continue for more than five Business Days (or, if earlier, until the next succeeding Determination Date) or (ii) such payment default has been cured by the payment of all amounts that were originally scheduled to have been paid; (2) that ranks pari passu with or subordinate to any other material indebtedness for borrowed money owing by the issuer of such security and, in the case of an Asset-Backed Security, is secured by the same pool of collateral (for purposes hereof, “Other Indebtedness”) if such issuer has defaulted in the payment (beyond any applicable notice or grace period, which grace period shall not exceed five days) of principal or interest with respect to such Other Indebtedness, unless, 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, 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); provided that a Collateral Debt Security will not be classified as a Defaulted Security under this clause (2) if the Collateral Manager, in its judgment (exercised in accordance with the standard of care set forth in the Collateral Management Agreement), determines that such Collateral Debt Security should not be so classified and gives notice of such determination to the Trustee and the Rating Agencies; (3) as to which any bankruptcy, insolvency or receivership proceeding has been initiated in connection with the issuer thereof, or there has been proposed or effected any distressed exchange or other debt restructuring pursuant to which the issuer thereof has offered the holders thereof a new security or package of securities that the Collateral Manager determines either (i) amounts to a diminished financial obligation of the relevant obligor or (ii) is intended solely to enable the relevant obligor to avoid defaulting in the performance of its obligations under such Collateral Debt Security; provided that a Collateral Debt Security shall not constitute a “Defaulted Security” under this clause (3) if such Collateral Debt Security was acquired in a distressed exchange or other debt restructuring and complies with the requirements of the definition of “Collateral Debt Security;”

“Defaulted Security”

167

(4) that is rated (or, in the case of a Form Approved Synthetic Security, relates to a Reference Obligation that is rated) “Ca” or lower by Moody’s or as to which the rating thereof by such Rating Agency has been withdrawn; (5) that is rated (or, in the case of a Form Approved Synthetic Security, relates to a Reference Obligation that is rated) “CC,” “D,” “SD” or lower by Standard & Poor’s or as to which the rating thereof by Standard & Poor’s has been withdrawn; (6) that is a Defaulted Synthetic Security; (7) that is a Synthetic Security (other than a Defaulted Synthetic Security) with respect to which there is a Synthetic Security Counterparty Defaulted Obligation; (8) that is a debt obligation delivered to the Issuer upon the occurrence of a “credit event” under a Synthetic Security that is not a Deliverable Obligation; or (9) that the Collateral Manager characterizes as a Defaulted Security. provided that, in respect of any security that constitutes a Defaulted Security pursuant to clause (4) or (5) above only, such security shall not be treated as a Defaulted Security other than for purposes of calculating the Net Outstanding Portfolio Collateral Balance so long as (i) such security is not a PIK Bond with respect to which any interest has been deferred or capitalized, (ii) interest in respect of such security was paid in full on the immediately preceding payment date for such security and (iii) the Collateral Manager believes in the exercise of its judgment (exercised in accordance with the standard of care set forth in the Collateral Management Agreement) that the interest in respect of such security will be paid in full on the next payment date for such security. “Defaulted Synthetic Security” A Synthetic Security referencing a Reference Obligation that would, if such Reference Obligation were a Collateral Debt Security, constitute a “Defaulted Security” under (1), (2), (3), (4), (5) or (9) of the definition thereof; provided that if a Synthetic Security references more than one Reference Obligation, such Synthetic Security shall constitute a “Defaulted Synthetic Security” for purposes of this definition only if and to the extent that all or part of the notional amount thereof is attributable to Reference Obligations that would, if such Reference Obligations were themselves Collateral Debt Securities, constitute a “Defaulted Security” under clauses (1), (2), (3), (4), (5) or (9) of the definition thereof. Any determination of whether a Collateral Debt Security is a “Defaulted Synthetic Security” for purposes of this definition shall be made by the Collateral Manager based on its judgment exercised in accordance with the standard of care set forth in the Collateral Management Agreement. “Defeased Synthetic Security” Any Synthetic Security that requires payment by the Issuer after the date upon which it is pledged to the Trustee and that satisfies the following: (a) the Issuer has caused to be deposited in a Synthetic

168

Security Counterparty Account an amount at least equal to the aggregate of (or the amount required under the terms of the Synthetic Security to provide for) all further payments (contingent or otherwise) that the Issuer is or may be required to make to the Synthetic Security Counterparty under the Synthetic Security; (b) the agreement relating to such Synthetic Security contains “non-petition” provisions with respect to the Issuer and “limited-recourse” provisions limiting the Synthetic Security Counterparty’s rights in respect of the Synthetic Security to the funds and other property credited to the Synthetic Security Counterparty Account related to such Synthetic Security; (c) the agreement relating to such Synthetic Security contains provisions to the effect that upon the occurrence of an “event of default” or “termination event” (other than an “illegality” or “tax event”) where the Synthetic Security Counterparty is the sole “defaulting party” or the sole “affected party” (“event of default,” “termination event,” “illegality,” “tax event,” “defaulting party” or “affected party,” as applicable, as such terms are defined in the ISDA Master Agreement relating to such Synthetic Security) (x) the Issuer may terminate such Synthetic Security (except in the case of an “additional termination event,” as a result of which, if so provided in the Synthetic Security, the Synthetic Security Counterparty may terminate such Synthetic Security) and upon such termination and payment of any termination amount payable under the Synthetic Security, any lien in favor of the Synthetic Security Counterparty over its related Synthetic Security Counterparty Account will be terminated and (y) upon payment of any termination amount payable under the Synthetic Security, the Issuer will no longer be obligated to make any payments to the Synthetic Security Counterparty with respect to such Synthetic Security; and (d) the Issuer shall be the “seller” or the “floating rate payer” (whether or not so named) under the agreement. “Deferred Interest PIK Bond” Any PIK Bond with respect to which payment of interest (either in whole or in part) has been deferred or capitalized in an amount equal to (a) if such a PIK Bond has a Moody’s Rating of at least “Baa3” (and if rated “Baa3,” such PIK Bond has not been placed on a watch list for possible downgrade), the amount of interest payable in respect of the lesser of (x) two payment periods and (y) a period of six months; or (b) if such PIK Bond (i) has a Moody’s Rating of “Baa3” and such PIK Bond has been placed on a watch list for possible downgrade or (ii) has a Moody’s Rating of below “Baa3,” the amount of interest payable in respect of one payment period; in each case only until such date as payment of interest on such PIK Bond has resumed and all capitalized and deferred interest has been paid in accordance with the terms of the Underlying Instruments (the “Repayment Date”) and interest has not been deferred or capitalized for a period of one year since the Repayment Date. A debt obligation that may be or is delivered to the Issuer upon the occurrence of a “credit event” under a Synthetic Security that would (if such debt obligation were purchased directly by the Issuer) satisfy (or in the case of the Portfolio Concentration Limitations, would improve or not diminish the degree of compliance with) each of paragraphs (1) through (13) and paragraph (17) of the Eligibility Criteria and paragraphs (1) through (24) of the Portfolio Concentration Limitations in “Security for the Notes—Eligibility Criteria and Portfolio Concentration Limitations” on the date the Issuer acquires or enters into 169

“Deliverable Obligation”

(or commits to acquire or enter into) such Synthetic Security or, if such debt obligation does not satisfy such criteria, the treatment of such debt obligation as a Collateral Debt Security satisfies the Rating Condition. “Designated Maturity” With respect to: (a) the Class A1 Notes, (i) for the first Interest Period, the number of calendar days from and including the Closing Date to but excluding the first Monthly Distribution Date after the Closing Date and (ii) for each Interest Period after the first Interest Period, one month; and (b) the Notes (other than the Class A1 Notes), (i) for the first Interest Period, the number of calendar days from and including the Closing Date to but excluding the first Quarterly Distribution Date after the Closing Date and (ii) for each Interest Period after the first Interest Period, three months; and (c) determining the amounts payable by the Issuer under any Hedge Agreement, as applicable, such period as the terms of such Hedge Agreement may require. “Determination Date” “Discount Security” The last day of a Due Period. Any Collateral Debt Security (a) acquired for a purchase price of less than (1) 92.0% of the par amount thereof, in the case of a Floating Rate Security, or (2) 85.0% of the par amount thereof, in the case of a Fixed Rate Security, and (b) on which the effective yield (as determined by the Collateral Manager) on the date of acquisition thereof by the Issuer is greater than the sum of (i) the relevant Benchmark Rate plus (ii) 2.00%; provided that at any time that either the Class A Overcollateralization Test or the Class B Overcollateralization Test is not met, any Collateral Debt Security acquired for a purchase price of less than 95.0% of the par amount thereof shall be deemed a “Discount Security.” Any Notes and any Subordinated Notes deemed not to be outstanding pursuant to the Indenture or under the Subordinated Note Issuing and Paying Agency Agreement, as applicable. Downgrade Event means, as of any date of determination, that Moody’s has (A) withdrawn its rating on any Class of Notes (unless such rating has been subsequently restored or, in the case of the Class C Notes and Class D Notes has been subsequently restored to a level that is no more than one subcategory below such initial rating); (B) reduced its rating on the Class A1 Notes, the Class A2 Notes or the Class B Notes at least one subcategory below the initial rating as in effect on the Closing Date (unless such rating has been subsequently upgraded back to such initial rating); or (C) reduced its rating on the Class C Notes or Class D Notes at least two subcategories below the initial rating as in effect on the Closing Date (unless such rating has been subsequently upgraded to a level that is no more than one subcategory below such initial rating); provided, that the holders of a Majority of the Notes (voting as a single class) have not voted to suspend the application of the Downgrade Event (during which suspension no Downgrade Event shall be deemed to have occurred).

“Disregarded Securities”

“Downgrade Event”

170

“Due Period”

With respect to any Quarterly Distribution Date, the period commencing on the day immediately following the last day of the prior Due Period (or on the Closing Date, in the case of the Due Period relating to the first Quarterly Distribution Date) and ending on (and including) the day immediately following the 7th Business Day prior to such Quarterly Distribution Date (or, if such day is not a Business Day, the next following Business Day); provided, however, that, in the case of the Due Period that is applicable to the Quarterly Distribution Date relating to the Term Note Stated Maturity, such Due Period shall end on (and include) the day preceding such Term Note Stated Maturity; provided further that solely for purposes of (i) the application, on any Monthly Distribution Date that is not a Quarterly Distribution Date, of Interest Proceeds and Principal Proceeds with respect to the related Due Period, and the deposit to the Payment Account, for such application, of funds received in respect of the related Due Period, as specified above in “Description of the Notes—Priority of Payments” and “—The Accounts—Payment Account,” and as specified below in the definitions of “Interest Proceeds” and “Principal Proceeds,” (ii) Due Period and Determination Date calculations contained in the Note Valuation Report, (iii) the latest maturity of Eligible Investments specified in the definition of “Eligible Investments” and (iv) the definitions of “Interest Reserve Amount” and “Interest Release Amount” and the deposit and withdrawal of such amounts to and from the Interest Reserve Account, “Due Period” shall be determined as if each reference in this sentence to “Quarterly Distribution Date” were instead a reference to a “Monthly Distribution Date”. Payments received by the Issuer under a Hedge Agreement after the end of a Due Period but on or prior to the related Distribution Date shall be deemed to have been received during such Due Period. Amounts that would otherwise have been payable in respect of a Collateral Debt Security on the last day of a Due Period but for such day not being a designated business day in the Underlying Instruments or a Business Day in the Indenture shall be considered included in collections received during such Due Period; provided that such amounts are received no later than the second Business Day preceding the related Distribution Date. Each of Australia, Austria, Belgium, Bermuda, Canada, Denmark, Finland, the Netherlands, the United Kingdom, Germany, France, Ireland, New Zealand, the Isle of Man, Italy, Luxembourg, Norway, Portugal, Spain, Sweden and Switzerland; provided that, at the time of purchase of any Collateral Debt Security, such country has a foreign currency credit rating of at least “AA” from Standard & Poor’s and at least “Aa2” from Moody’s (and, if rated “Aa2,” such rating from Moody’s has not been placed on a watch list for possible downgrade). A sovereign of, or non-sovereign issuer incorporated or organized in a country that is in, Latin America, Asia, Africa, Eastern Europe or the Caribbean or in a country the dollar-denominated obligations of which are rated lower than “Aa2” by Moody’s (or, if rated “Aa2,” such rating has been placed on a watch list for possible downgrade) or “AA” by Standard & Poor’s; provided that an issuer of Asset-Backed Securities incorporated or organized in a Special Purpose Vehicle Jurisdiction will not be an Emerging Market Issuer for purposes hereof so long as such issuer is a bankruptcy remote entity and no more than 30% of the underlying assets owned or permitted to be purchased by such issuer 171

“Eligible Country”

“Emerging Market Issuer”

are obligations of issuers incorporated or organized outside the United States or Eligible Countries. “Entertainment Securities” 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 cash flow from box office receipts and other revenue, including royalties, received by a distributor of films generally having the following characteristics: (1) the securities evidence the right to receive the future receipts from one or more movies of a specified type; (2) the securities may or may not be backed by existing receivables or contract rights, and may depend primarily on the ability of the originator to continue to generate sufficient levels of receivables or contract rights in the future; and (3) the receivables or contract rights represent obligations from a limited number of obligors and accordingly represent an undiversified pool of obligor credit risk. Asset-Backed Securities (other than Healthcare Securities, Aircraft Securities, Franchise Securities and Small Business Loan 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 AssetBacked Securities) on the cash flow from small-, mid- and large-ticket leases and subleases of equipment (other than automobiles, trucks, buses and planes) to commercial and industrial customers, generally having the following characteristics: (1) the leases and subleases have varying contractual maturities; (2) the leases or subleases are obligations of a relatively limited number of obligors and accordingly represent an undiversified pool of obligor credit risk; (3) the repayment stream on such leases and subleases is primarily determined by a contractual payment schedule, with early termination of such leases and subleases predominantly dependent upon the disposition to a lessee, sublessee or third party of the underlying equipment; and (4) such leases or subleases typically provide for the right of the lessee or sublessee to purchase the equipment for its stated residual value, subject to payments at the end of lease term for excess usage. Aircraft Securities, Car Rental Fleet Securities, Catastrophe Bonds, CDO Combination Securities, CDO Rated Equity, Chassis Leasing Securities, Container Leasing Securities, Dealer Floorplan Securities, Entertainment Securities, Franchise Securities, Future Flow Securities, Healthcare Securities, Hybrid Securities, Insurance-Linked Securities, Interest Only Securities, Inventory Financing Securities, Inverse Floating Rate Securities, Lottery Receivable Securities, Manufactured Housing Securities, Mutual Fund Securities, Natural Resource Receivables Securities, Negative Amortization Securities, Net Interest Margin Securities, Oil and Gas Securities, Principal Only Securities, Project Finance Securities, Pure Private Collateral Debt Securities, Recreational Vehicle/Boat Securities, REIT Debt Securities, Restaurant and Food Services Securities, Stadium Receivables Securities, Structured Settlement Securities, Tax Lien Securities, Timeshare Securities, Tobacco Litigation Securities, Zero Coupon Bonds and any security issued by an Emerging Market Issuer. The final Distribution Date with respect to the Notes on the Term Note Stated Maturity or, if earlier, the date on which all of the Notes are paid 172

“Equipment Leasing Securities”

“Excluded Securities”

“Final Distribution Date”

in full, including a Redemption Date; provided that if such date would otherwise fall on a day that is not a Business Day, the Final Distribution Date shall be the next succeeding Business Day. “Fitch” “Fixed Rate Security” “Floating Rate Security” Fitch, Inc. and any successor or successors thereto. A Collateral Debt Security other than a Floating Rate Security. Any Collateral Debt Security (i) that is expressly stated to bear interest based upon the London interbank offered rate or such other floating rate index the inclusion of which satisfies the Rating Condition or (ii) whose interest coupon varies from time to time in connection with a floating rate index the inclusion of which satisfies the Rating Condition. One or more Synthetic Securities, the form of the documents for which has satisfied the Rating Condition for use by the Issuer (provided that Standard & Poor’s or Moody’s may withdraw any approved form on a prospective basis at any time; provided, further, that, for the avoidance of doubt, any Synthetic Security on such approved form that is acquired or entered into (or that the Issuer has committed to acquire or enter into) on or prior to the date of such withdrawal will be deemed to be a Form Approved Synthetic Security). Restaurant and Food Services Securities. 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 cash flow from receivables or contract rights of originators for the provision of goods or services to consumers and commercial enterprises and generally having the following characteristics: (1) the securities evidence the right to receive future cash flows; (2) the securities are not backed by existing receivables or contract rights, but rather the ability of the originator to continue to generate sufficient levels of receivables or contract rights in the future; (3) the securities may be rated higher than the sovereign risk of the country of organization or incorporation of the originator; and (4) the receivables represent obligations from a limited number of obligors and accordingly represent an undiversified pool of obligor credit risk. 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 cash flow from contracts entitling health care providers to receive payments from third party insurance programs for medical services (and any ancillary services and sales) provided, generally having the following characteristics: (1) the contracts have standardized payment terms; and (2) the contract balances are obligations of third party insurers and accordingly represent a very diversified pool of obligor credit risk. The Initial Hedge Counterparty, any Asset Hedge Counterparty or a counterparty to a Hedge Agreement that satisfies the Hedge Counterparty Ratings Requirement or with respect to which counterparty the Rating Condition has been satisfied.

“Form Approved Synthetic Security”

“Franchise Securities” “Future Flow Securities”

“Healthcare Securities”

“Hedge Counterparty”

173

“Hedge Counterparty Ratings Requirement”

With respect to any person, such person has (i) a long-term rating of “A2” or better by Moody’s (if the short-term rating of such person by Moody’s is “P-1”) or “A1” or better by Moody’s (if such person has no short-term rating by Moody’s), and (ii) a short-term debt rating of “A-1” or better by Standard & Poor’s, or if such person has no Standard & Poor’s short-term debt rating, a long-term rating of “A+” or better by Standard & Poor’s. Any ABS Type Residential Security that bears interest at a fixed rate for a limited period of time, after which such security bears interest based upon a floating rate index for Dollar-denominated obligations commonly used as a reference rate in the United States or the United Kingdom. Asset-Backed Securities that generally entitle the holders thereof to receive payments that depend on the cash flow from qualified investments and a reinsurance agreement or risk swap agreement, generally having the following characteristics: (1) the payment of interest and the repayment of principal is linked to insurance related losses that result from natural events such as seismic events, wind storms or other weather-related events that occur in a specified location during a specified time; and (2) if a covered natural event causes insured losses in excess of a specified amount investors may lose all or a portion of the principal amount of their security. With respect to any Measurement Date, the sum, without duplication, of (i) the scheduled distributions of interest due (in each case regardless of whether the applicable Due Date has yet occurred) in the Due Period in which such Measurement Date occurs on (x) the Collateral Debt Securities included in the Collateral and (y) any Eligible Investments held in the Collection Accounts (whether such Eligible Investments were purchased with Interest Proceeds or Principal Proceeds) and the Uninvested Proceeds Account and any investments in each Synthetic Security Counterparty Account, together with any principal received or scheduled to be received prior to the related Distribution Date on Eligible Investments acquired during or prior to such Due Period using Interest Proceeds, plus (ii) any fees or commissions actually received by the Issuer during such Due Period that constitute Interest Proceeds plus (iii) the amount, if any, paid or scheduled to be paid to the Issuer by a Hedge Counterparty under a Hedge Agreement, or by a Synthetic Security Counterparty under a Synthetic Security, on or prior to the Quarterly Distribution Date relating to such Due Period (for purposes of this definition, the “related Distribution Date”) but after the Quarterly Distribution Date immediately preceding the Related Distribution Date, minus (iv) the amount (excluding termination payments), if any, scheduled to be paid by the Issuer from Interest Proceeds to a Hedge Counterparty under a Hedge Agreement or to the Put Counterparty under the Put Agreement, in each case on the related Distribution Date, plus (v) the Interest Release Amounts, if any, to be transferred from the Interest Reserve Account to the Interest Collection Account on the related Determination Date minus (vi) the Interest Reserve Amounts deposited or to be deposited into the Interest Reserve Account on the related Distribution Date, plus (vii) any other Interest Proceeds received or scheduled to be received during such Due Period, minus (viii) the amount, if any, scheduled to be paid pursuant to 174

“Hybrid Security”

“Insurance-Linked Securities”

“Interest Coverage Numerator”

paragraphs (1) through (3) under “Description of the Notes—Priority of Payments—Interest Proceeds” on the related Distribution Date minus (ix) any scheduled distribution of interest accrued on Collateral Debt Securities to the date of acquisition thereof and acquired with Principal Proceeds or Uninvested Proceeds after the Closing Date due in such Due Period. “Interest Coverage Ratios” “Interest Coverage Tests” “Interest Distribution Amount” The Class B Interest Coverage Ratio and the Class C Interest Coverage Ratio. The Class B Interest Coverage Test and the Class C Interest Coverage Test. With respect to any Class of Notes and any Relevant Distribution Date, the sum of (i) the aggregate amount of interest accrued at the applicable per annum interest rate for such Class, during the Interest Period ending immediately prior to such Relevant Distribution Date, on the aggregate outstanding principal amount (including Class C Deferred Interest or Class D Deferred Interests, as applicable) of the Notes of such Class on the first day of such Interest Period (after giving effect to all payments made in respect of the Notes on such first day) and (ii) any unpaid Defaulted Interest and accrued and unpaid interest thereon in respect of the Notes of such Class. Any Collateral Debt Security that does not provide for payment or repayment of a stated principal amount in one or more installments. With respect to a Class of Notes (i) in the case of the initial Interest Period, the period from and including the Closing Date (or in the case of any Class A1 Notes issued after the Closing Date, from and including the date of issuance) to but excluding the first Relevant Distribution Date after the Closing Date (or the date of issuance), and (ii) thereafter, the period from, and including, the Relevant Distribution Date immediately following the last day of the immediately preceding Interest Period to but excluding the next succeeding Relevant Distribution Date; provided that with respect to the Final Distribution Date, Accelerated Maturity Date or an Auction Call Distribution Date, the then current Interest Period will end on (but exclude) such date. With respect to any Due Period, the sum (without duplication) of: (1) all payments of interest on (or, in the case of Synthetic Securities, interest and/or fixed amounts (however denominated) in respect of) the Collateral Debt Securities received in cash during such Due Period (in each case excluding (x) accrued interest and interest in respect of Deferred Interest PIK Bonds that is included in Principal Proceeds pursuant to clause (2) or (9) of the definition of Principal Proceeds and (y) interest on any Collateral Debt Security that is required to be paid to an Asset Hedge Counterparty in accordance with the terms of an Asset Hedge Agreement) less any amounts previously paid from the Interest Collection Account as accrued and unpaid interest (including any Defaulted Interest and interest thereon) on the Class A1 Notes during such Due Period; (2) all Interest Release Amounts transferred to the Interest Collection Account from the Interest Reserve Account during such Due Period; (3) all accrued interest received in cash by the Issuer with respect to Collateral Debt Securities sold by the Issuer (excluding (x) any accrued and unpaid interest reinvested at the option of the Collateral Manager in any substitute Collateral Debt Security, (y) any 175

“Interest Only Security” “Interest Period”

“Interest Proceeds”

accrued and unpaid interest included in sale proceeds received in respect of Defaulted Securities (other than Written-Down Securities) and Deferred Interest PIK Bonds included in Principal Proceeds pursuant to clause (2) or (9) of the definition of Principal Proceeds and (z) purchased accrued interest included in Principal Proceeds pursuant to clause (8) of the definition of Principal Proceeds); (4) all payments of interest (including any amount representing the accreted portion of a discount from the face amount of an Eligible Investment) on Eligible Investments in the Collection Accounts and the Uninvested Proceeds Account or on investments in Synthetic Security Counterparty Accounts (to the extent that it is not payable to the Synthetic Security Counterparty) received in cash by the Issuer during such Due Period, amounts released to the Interest Collection Account from the Uninvested Proceeds Account for treatment as Interest Proceeds in respect of the related Distribution Date and all payments of principal, including repayments, on Eligible Investments purchased with amounts from the Interest Collection Account received in cash by the Issuer during such Due Period; (5) all amendment and waiver fees, all late payment fees, and all other fees and commissions received in cash by the Issuer during such Due Period in connection with such Collateral Debt Securities and Eligible Investments (other than fees and commissions received in respect of Defaulted Securities and Deferred Interest PIK Bonds and yield maintenance payments, in each case included in Principal Proceeds pursuant to clause (5), (10) or (11) of the definition thereof); (6) all payments received during such Due Period pursuant to any Hedge Agreement (other than (i) amounts received on the Closing Date that are applied to pay expenses of the Issuer on or about the Closing Date and (ii) Principal Proceeds described in the last sentence of the definition of Principal Proceeds) or any Synthetic Security (excluding (a) any payments received by the Issuer by reason of an “event of default” or “termination event” or that are received as a result of any partial termination or termination of such Hedge Agreement or Synthetic Security (other than, in each of the foregoing cases, payments received by the Issuer or portions thereof constituting “unpaid amounts” under (and as defined in) such agreement or Synthetic Security); (7) all amounts on deposit in the Expense Account that are transferred to the Payment Account for application as Interest Proceeds as described under “Security for the Notes—The Accounts— Expense Account” and (8) amounts deposited to the Interest Collection Account pursuant to the Priority of Payments; provided that any interest, fees, premiums and commissions received with respect to any Defaulted Security or Deferred Interest PIK Bond will not be treated as Interest Proceeds until the sum of (x) such amounts received and (y) any other recoveries of principal on such Defaulted Security or Deferred Interest PIK Bond, as the case may be, exceeds its par amount; provided further, that Interest Proceeds will in no event include (i) any payment or proceeds specifically defined as “Principal Proceeds” in the definition thereof, (ii) the Excluded Property or (iii) Interest Reserve Amounts deposited or to be deposited into the Interest Reserve Account (until released from such Account) and (y) payments received by the Issuer under a Hedge Agreement after the end of the related Due Period but on or prior to a Quarterly Distribution Date (or Monthly Distribution Date, as applicable) will be deemed to have been received during such Due Period.

176

“Interest Release Amounts”

(i) With respect to the first monthly Determination Date following any Quarterly Distribution Date, all amounts held in the Interest Reserve Account as of the close of the last Due Period ending prior to such Quarterly Distribution Date, and (ii) with respect to any other Determination Date, zero. (a) With respect to the first monthly Determination Date following a Quarterly Distribution Date, zero; (b) with respect to the second monthly Determination Date following a Quarterly Distribution Date, with respect to each Quarterly-Pay Security, one third (1/3) of the interest received on such Quarterly-Pay Security during the monthly Due Period ending on such date; and (c) with respect to the third monthly Determination Date following a Quarterly Distribution Date, with respect to each Quarterly-Pay Security, two thirds (2/3) of the interest received on such Quarterly-Pay Security during the monthly Due Period ending on such date. As of any date of determination, the per annum discount rate at which the sum of (x) the initial aggregate principal amount of the Subordinated Notes (which amount will be deemed to be negative for purposes of such calculation) and (y) each distribution in respect of Subordinated Notes made on or prior to such determination date is equal to zero (as calculated using the “XIRR” function of Microsoft® Office Excel 2003 or equivalent software achieving the same result). 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 cash flow from inventory, existing receivables or contract rights of originators for the provision of goods or services to commercial enterprises. With respect to any security, such security (a) if rated by Moody’s, is rated “Baa3” or higher by Moody’s and (b) if rated by Standard & Poor’s, is rated “BBB-” or higher by Standard & Poor’s. Any floating rate security whose changes in coupon (either accrued or paid) are inversely proportional to an interest rate index. The investor application letter, in respect of the Subordinated Notes or the Class D Notes, as the case may be, delivered to investors by the Initial Purchaser or Placement Agents, substantially in the form furnished to the Issuer prior to the Closing Date. Collateral Debt Securities issued by the same issuer, backed by the same underlying assets or collateral having the same terms and conditions (as to, among other things, coupon, maturity, security and subordination). The Indenture, the Administration Agreement, the Account Agreement, any Hedge Agreements, the Subordinated Note Issuing and Paying Agency Agreement, the Collateral Management Agreement, the Purchase and Placement Agreement, the Put Agreement, the Remarketing Agreement, each Investor Application Letter for the Subordinated Notes, each Investor Application Letter for the Class D

“Interest Reserve Amount”

“Internal Rate of Return”

“Inventory Financing Securities”

“Investment Grade”

“Inverse Floating Rate Security” “Investor Application Letter”

“Issue of Collateral Debt Securities”

“Issuer Documents”

177

Notes, the Collateral Administration Agreement and the Paying Agency Agreement with the Listing Agent in Ireland. “London Banking Day” “Lottery Receivable Securities” A day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in London. 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) upon an arrangement which compensates a winner of a state lottery with one lump sum payment in exchange for a pledge of the lottery payments that individual would have received over a future period of time. Therefore, Lottery Receivable Securities are backed by a diversified pool of payments received from various state lottery commissions in exchange for a lump sum payment to a bona fide winner of a given state lottery. With respect to any Class or Classes of Notes or Subordinated Notes, the holders of more than 50.0% of the aggregate outstanding principal amount of the Notes of such Class or Classes of Notes. With respect to a person and any security that provides for a “reinvestment period” (which period has not ended), that such security is issued by (i) such person or any of its affiliates or (ii) any entity, fund or portfolio for which such person or any of its affiliates acts as collateral manager or investment adviser. The Collateral Manager and/or any of its Affiliates, and any of their respective partners, securityholders, members, managers, officers, directors, agents or employees, 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) primarily on the cash flow from manufactured housing (also known as mobile homes and prefabricated homes) installment sales contracts and installment loan agreements, generally having the following characteristics: (1) the contracts and loan agreements have varying, but typically lengthy contractual maturities; (2) the contracts and loan agreements are secured by the manufactured homes and, in certain cases, by mortgages and/or deeds of trust on the real estate to which the manufactured homes are deemed permanently affixed; (3) the contracts and/or loans are obligations of a large number of obligors and accordingly represent a relatively diversified pool of obligor credit risk; (4) repayment thereof can vary substantially from the contractual payment schedule, with early prepayment of individual loans depending on numerous factors specific to the particular obligors and upon whether, in the case of loans bearing interest at a fixed rate, such loans or securities include an effective prepayment premium; and (5) in some cases, obligations are fully or partially guaranteed by a governmental agency or instrumentality. CDO Securities (other than Structured Product CDO Securities), the amortization of which depends on the mark-to-market value of the underlying assets.

“Majority”

“Managed”

“Manager Parties”

“Manufactured Housing Securities”

“Market Value CDO Securities”

178

“Maximum Class A1 Spread” “Measurement Date”

With respect to any Class A1 Note (other than a Class A1 Extended Note), a spread over one-month LIBOR equal to 0.09% per annum. Any of the following: (i) the Closing Date; (ii) the Ramp-Up Completion Date; (iii) any date after the Ramp-Up Completion Date upon which the Issuer acquires or disposes of any Collateral Debt Security; (iv) any date after the Ramp-Up Completion Date on which a Collateral Debt Security becomes a Defaulted Security or a Deferred Interest PIK Bond; and (v) each Determination Date with respect to a Quarterly Distribution Date; provided that, if any such date would otherwise fall on a day that is not a Business Day, the relevant Measurement Date will be the next succeeding day that is a Business Day. The information in the sections of the Prospectus entitled “Mizuho International plc,” “Working Capital Management Co. L.P.” and “Risk Factors—Conflicts of Interest Involving the Placement Agents and the Initial Purchaser”. With respect to any Class A1 Note, the date, prior to the Final Distribution Date, occurring on the earlier of (i) the MM Stated Maturity of such Class A1 Note and (ii) the first Distribution Date at least three Business Days after an “early termination date” under (and as defined in) the Put Agreement. With respect to any Monthly Distribution Date, the Net Outstanding Portfolio Collateral Balance on the first day of the related monthly Due Period. The rating of any Collateral Debt Security as of any date of determination will be determined as set forth in Schedule C hereto. Synthetic Securities which have synthetic exposure to more than one Reference Obligation or Reference Obligors and which provide for a reduction in their respective principal or notional amount upon a payment of any credit loss amounts. For the avoidance of doubt, a Synthetic Security that references a Reference Index will be deemed to be a Multi Reference Synthetic Security referencing each of the applicable securities and obligations referenced, as of the applicable date of determination, in such index (in such proportion as such securities and obligations are referenced therein) 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 cash flow from certain payments accruing under the distribution plans and distribution agreements relating to shares of mutual funds. Mutual Fund Securities generally have the following characteristics: (1) flows consist primarily of sales charges which are payable periodically based on the net asset value of the related mutual fund and contingent deferred sales charges that are paid only upon the redemption of shares in such funds; (2) returns on the securitized receivables will vary as the net asset values of the related mutual funds fluctuate due to a variety of factors, including performance of the equity markets, the fixed income markets, international markets, and other markets in which such funds invest; (3) returns on such receivables are also sensitive to the rate and timing of shareholder redemptions due to the fact that contingent deferred 179

“Mizuho Information”

“MM Reissuance Date”

“Monthly Asset Amount”

“Moody’s Rating” “Multi Reference Synthetic Securities”

“Mutual Fund Securities”

sales charges are based upon the lower of net asset value at the time of purchase or at the time of redemption; and (4) in the case of U.S. mutual funds, continuance of the flows from the securitized receivables is contingent on annual approval of the charges by the directors of the fund, including a majority of the directors that are unaffiliated with the fund. “Natural Resource Receivables Securities” 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 cash flow from the sale of products derived from the right to harvest, mine, extract or exploit a natural resource such as timber, oil, gas and minerals, generally having the following characteristics: (1) the contracts have standardized payment terms; (2) the contracts are the obligations of a few consumers of natural resources and accordingly represent an undiversified pool of credit risk; and (3) the repayment stream on such contracts is primarily determined by a contractual payment schedule. Any RMBS Security backed by mortgage loans the majority (by principal balance) of which, pursuant to the terms of such mortgage loans, (a) permit borrowers for a specified, limited period of time to make payments of interest in amounts that are less than the accrued and unpaid interest payments that would otherwise be due based upon the stated rate of interest thereon and (b) to the extent that the aggregate amount of interest proceeds and principal proceeds received in respect of such underlying mortgage loans are insufficient to pay accrued and unpaid interest due, permit such accrued and unpaid interest on such mortgage loans to be capitalized as principal that accrues interest at the applicable stated interest rate. Asset-Backed Securities that generally entitle the holders thereof to receive payments that depend primarily on one or more of the excess spread cash flow, prepayment penalty cash flow, derivative-related cash flow and other residual cash flow from one or more separate or related securitizations. On any Measurement Date, an amount equal to (a) the aggregate principal balance on such Measurement Date of all Collateral Debt Securities plus (b) the balance of all Principal Proceeds and Uninvested Proceeds held as cash and Eligible Investments purchased with Principal Proceeds (or Uninvested Proceeds) and any amount on deposit at such time in the Principal Collection Account or the Uninvested Proceeds Account (without duplication) minus (c) the aggregate principal balance on such Measurement Date of all Collateral Debt Securities that are Defaulted Securities or Deferred Interest PIK Bonds plus (d) for each Defaulted Security or Deferred Interest PIK Bond, the Calculation Amount with respect to such Defaulted Security or Deferred Interest PIK Bond minus (e) solely for purposes of calculating the Overcollateralization Tests and the Overcollateralization Ratios and determining whether an Indenture Event of Default has occurred under subclause (viii) of the definition thereof, the Overcollateralization Haircut Amount; provided that with respect to any Equity Security, the principal balance thereof will be deemed to be zero.

“Negative Amortization Security”

“Net Interest Margin Securities”

“Net Outstanding Portfolio Collateral Balance”

180

“Notes”

The Class A1 Notes, Class A2 Notes, Class B Notes, Class C Notes and Class D Notes issued by the Issuer. With respect to any Collateral Debt Security, the entity or company that issued the asset; provided that a unique Obligor represents all assets backed by a unique pool of underlying collateral and two single special purpose entities will not be deemed to be the same issuer if they are backed by separate pools of assets only available to make required payments in respect of the applicable securitization. With respect to any security, (i) 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 its Underlying Instruments) or to convert or exchange such security into or for cash, securities or any other type of consideration or (ii) any solicitation by the issuer of such security or any other person to amend, modify or waive any provision of such security or of its Underlying Instruments. 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 cash flow from (a) a pool of franchise loans made to operators of franchises that provide oil and gasoline and provide other services related thereto and (b) leases or subleases of equipment to such operators for use in the provision of such goods and services, generally having the following characteristics: (1) the loans, leases or subleases have varying contractual maturities; (2) the loans are secured by real property purchased or improved with the proceeds thereof (or to refinance an outstanding loan the proceeds of which were so used); (3) the obligations of the lessors or sublessors of the equipment may be secured not only by the leased equipment but also the related real estate; (4) the loans, leases and subleases are obligations of a relatively limited number of obligors and accordingly represent a relatively undiversified pool of obligor credit risk; (5) payment of the loans can vary substantially from the contractual payment schedule (if any), with prepayment of individual loans depending on numerous factors specific to the particular obligors and upon whether, in the case of loans bearing interest at a fixed rate, such loans include an effective prepayment premium; (6) the repayment stream on the leases and subleases is primarily determined by a contractual payment schedule, with early termination of such leases and subleases predominantly dependent upon the disposition to a lessee, a sublessee or third party of the underlying equipment; (7) such leases and subleases typically provide for the right of the lessee or sublessee to purchase the equipment for its stated residual value, subject to payments at the end of a lease term for excess usage or wear and tear; and (8) the ownership of a franchise right or other similar license and the creditworthiness of such franchise operators is the primary factor in any decision to invest in these securities. As of any Measurement Date, an amount equal to the sum of (a) the product of (i) 50.0% and (ii) the aggregate principal balance of all Collateral Debt Securities (other than Deferred Interest PIK Bonds and Defaulted Securities) that have a Standard & Poor’s Rating of “CCC+” or lower or have a Moody’s Rating of “Caa1” or lower; (b) the product 181

“Obligor”

“Offer”

“Oil and Gas Securities”

“Overcollateralization Haircut Amount”

of (i) 30.0% and (ii) the aggregate principal balance of all Collateral Debt Securities (other than Deferred Interest PIK Bonds and Defaulted Securities) that have a Standard & Poor’s Rating of “B+,” “B” or “B-” or a Moody’s Rating of “B1,” “B2” or “B3”; and (c) the product of (i) 10.0% and (ii) the aggregate principal balance of all Collateral Debt Securities (other than Deferred Interest PIK Bonds and Defaulted Securities) that have a Standard & Poor’s Rating of “BB+,” “BB” or “BB-” or a Moody’s Rating of “Ba1,” “Ba2” or “Ba3”. For purposes of determining the Overcollateralization Haircut Amount, the lower of the Moody’s Rating or the Standard & Poor’s Rating will be used with respect to each Collateral Debt Security. “Overcollateralization Ratios” The Class A Overcollateralization Ratio, the Class B Overcollateralization Ratio, the Class C Overcollateralization Ratio and the Class D Overcollateralization Ratio. The Class A Overcollateralization Test, the Class B Overcollateralization Test, the Class C Overcollateralization Test and the Class D Overcollateralization Test. Any CDO Security (including Synthetic Securities the Reference Obligations of which are CDO Securities) that pursuant to the terms of the related Underlying Instruments (i) permits the payment of interest thereon to be deferred or capitalized as additional principal thereof or that issues identical securities in place of payments of interest in cash and (ii) provides that such deferral, capitalization or issuance does not constitute an “event of default” (however denominated) thereunder or under such Underlying Instruments. Any security that does not provide for the periodic payment of interest. With respect to any Due Period, the sum (without duplication) of: (1) any Uninvested Proceeds transferred from the Uninvested Proceeds Account to the Principal Collection Account with respect to such Due Period; (2) all payments of principal on the Collateral Debt Securities and Eligible Investments (other than amounts representing Uninvested Proceeds, any amount representing the accreted portion of a discount from the face amount of an Eligible Investment, and payments of principal of Eligible Investments acquired with Interest Proceeds or amounts in the Expense Account or the Interest Reserve Account) received in cash by the Issuer during such Due Period including prepayments or mandatory sinking fund payments, or payments in respect of optional redemptions or Offers, recoveries of interest or principal on Defaulted Securities and Deferred Interest PIK Bonds to the extent that such recoveries received and any other recoveries on the applicable Defaulted Security or Deferred Interest PIK Bonds are less than or equal to the par amount of such Defaulted Security or Deferred Interest PIK Bond, as applicable, as of the date such asset became a Defaulted Security or a Deferred Interest PIK Bond, including the proceeds of a sale of any Equity Security and any amounts received as a result of optional redemptions, exchange offers or tender offers for any Equity Securities received in cash by the Issuer during such Due Period; (3) sale proceeds received by the Issuer during such Due Period (excluding those included in Interest Proceeds); (4) all payments of principal on Eligible Investments purchased with amounts 182

“Overcollateralization Tests”

“PIK Bond”

“Principal Only Security” “Principal Proceeds”

from the Principal Collection Account or Uninvested Proceeds Account (excluding any amount representing the accreted portion of a discount from the face amount of an Eligible Investment) received in cash by the Issuer during such Due Period; (5) all amendment, waiver, late payment fees and other fees and commissions, collected during the related Due Period in respect of Defaulted Securities and Deferred Interest PIK Bonds (to the extent that such amounts and any other recoveries on the applicable Defaulted Security or Deferred Interest PIK Bonds are less than or equal to the par amount of such Defaulted Security or Deferred Interest PIK Bonds, as applicable, as of the date such asset became a Defaulted Security or a Deferred Interest PIK Bond); (6) any proceeds received during such Due Period (excluding those included in Interest Proceeds pursuant to clause (6) thereof) resulting from the termination and liquidation of (i) any Hedge Agreement, to the extent such proceeds exceed the cost of entering into a replacement Hedge Agreement in accordance with the requirements set forth in the Indenture or (ii) any Synthetic Security, to the extent such proceeds exceed the cost of entering into a replacement Synthetic Security in accordance therewith; (7) all payments received in cash by the Issuer during such Due Period that represent call, prepayment or redemption premiums; (8) all payments of interest received during such Due Period to the extent that they represent accrued interest purchased with Principal Proceeds or Uninvested Proceeds (other than payments of accrued interest purchased on the Closing Date); (9) all payments of interest received during such Due Period in respect of Deferred Interest PIK Bonds including all payments received during such Due Period in cash by the Issuer in respect of deferred interest on Deferred Interest PIK Bonds previously capitalized during such Due Period (to the extent that such amounts and any other recoveries on the applicable Deferred Interest PIK Bond are less than or equal to the par amount of such Deferred Interest PIK Bond as of the date such asset became a Deferred Interest PIK Bond); (10) all yield maintenance payments received in cash by the Issuer during such Due Period; (11) all interest, fees, premiums and commissions received during such Due Period by the Issuer in respect of a Defaulted Security (to the extent that such amounts and any other recoveries on the applicable Defaulted Security are less than or equal to the par amount of such Defaulted Security as of the date such asset became a Defaulted Security); (12) any amounts withdrawn from a Synthetic Security Counterparty Account after payment of all amounts owing from the Issuer to the related Synthetic Security Counterparty in accordance with the terms of the related Synthetic Security other than investment income received on amounts on deposit in such Synthetic Security Counterparty Account; and (13) all other payments received in connection with the Collateral Debt Securities and Eligible Investments that are not included in Interest Proceeds. For the avoidance of doubt, proceeds from the issuance of new Class A1 Notes after the closing date pursuant to the Indenture shall not constitute Principal Proceeds. “Pro Rata Payment Condition” With respect to any Quarterly Distribution Date, a condition that will be satisfied if (1) each Overcollateralization Test was satisfied on the related Determination Date and on each prior Determination Date, and (2) the Net Outstanding Portfolio Collateral Balance as of the related Determination Date is greater than U.S.$750,000,000. Asset-Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to 183

“Project Finance Securities”

assure the servicing or timely distribution of proceeds to holders of the Asset-Backed Securities) on the cash flow from (1) the sale of products, such as electricity, nuclear energy, steam or water, in the utility industry by a special purpose entity formed to own the assets generating or otherwise producing such products and such assets were or are being constructed or otherwise acquired primarily with the proceeds of debt financing made available to such entity on a limitedrecourse basis (including recourse to such assets and the land on which they are located) or (2) fees or other usage charges, such as tolls collected on a highway, bridge, tunnel or other infrastructure project, collected by a special purpose entity formed to own one or more such projects that were constructed or otherwise acquired primarily with the proceeds of debt financing made available to such entity on a limitedrecourse basis (including recourse to the project and the land on which it is located). “Pure Private Collateral Debt Security” Any security that (a) was not issued pursuant to an effective registration statement under the Securities Act and (b) is not eligible for resale under Rule 144A or Regulation S under the Securities Act. With respect to any MM Stated Maturity, the Settlement Date under (and as defined in) the Put Agreement relating to such MM Stated Maturity, which Settlement Date, subject to delivery to the Put Counterparty and the Put Counterparty Lender of a payment notice in accordance with the Put Agreement, shall occur on such MM Stated Maturity or, in the event of a Settlement Failure, on the Settlement Failure Reissuance Date that occurs two Business Days thereafter. A list of not less than three and not more than eight persons prepared by the Collateral Manager and delivered to the Trustee at least two Business Days prior to any Auction Date, as the same may be amended and supplemented by the Collateral Manager prior to any subsequent Auction Date upon not less than two Business Days prior written notice to the Trustee. The unsecured, unguaranteed and otherwise unsupported short-term obligations of the Qualified Bidder are rated at least “A-1” by Standard & Poor’s and at least “P-1” by Moody’s. The persons whose names appear from time to time on the Qualified Bidder List and which may include the Collateral Manager and its respective affiliates. A corporation, partnership or other entity incorporated or organized in Australia, Austria, Belgium, Bermuda, Canada, Denmark, Finland, the Netherlands, the United Kingdom, Germany, France, Ireland, New Zealand, the Isle of Man, Italy, Luxembourg, Norway, Portugal, Spain, Sweden or Switzerland; provided that, at the time of purchase of any Collateral Debt Security, such country has a foreign currency credit rating of at least “AA” from Standard & Poor’s and at least “Aa2” from Moody’s (and, if rated “Aa2,” such rating from Moody’s has not been placed on a watch list for possible downgrade). With respect to any Quarterly Distribution Date, the Net Outstanding Portfolio Collateral Balance on the first day of the related Due Period.

“Put Agreement Settlement Date”

“Qualified Bidder List”

“Qualified Bidder Ratings Requirement” “Qualified Bidders”

“Qualifying Foreign Obligor”

“Quarterly Asset Amount”

184

“Quarterly-Pay Security”

A Collateral Debt Security that provides for periodic payments of interest in cash less frequently than monthly and there is no Asset Hedge Agreement in effect with respect to such security that provides for monthly payments of interest to the Issuer in cash. The date that is the earlier of (a) the date that is 90 days after the Closing Date and (b) the first date on which the aggregate principal balance of the Collateral Debt Securities and the Collateral Debt Securities with respect to which the Issuer has entered into binding commitments to purchase (together with any Principal Proceeds of such Collateral Debt Securities theretofore received by the Trustee and not reinvested in Collateral Debt Securities) is at least equal to the Aggregate Ramp-Up Par Amount. (a) When used in connection with Moody’s, the Moody’s Rating, and (b) when used in connection with Standard & Poor’s, the Standard & Poor’s Rating.

“Ramp-Up Completion Date”

“Rating”

“Rating Condition”

With respect to any action taken or to be taken by the Issuer (or otherwise in respect of any Issuer Document), a condition that is satisfied when (a) Standard & Poor’s has confirmed in writing to the Issuer and the Trustee that such action will not result in the withdrawal, reduction or other adverse action with respect to any then-current rating (including any private or confidential rating) by Standard & Poor’s of any Class of Notes and (b) written notice of such action has been given to Moody’s; provided that, with respect to satisfaction of the Rating Condition in connection with (i) Collateral Quality Test Modifications and Coverage Test Modifications, (ii) entering into a supplemental indenture to accommodate, modify or amend existing and/or replacement Hedge Agreements or entering into one or more additional Hedge Agreements or accommodating, modifying, or amending such additional Hedge Agreements or replacements or (iii) the reduction or increase of the notional amount of any interest rate swap outstanding under any Hedge Agreement, the Rating Condition with respect to Moody’s is satisfied when Moody’s has confirmed in writing to the Issuer, the Trustee, each Hedge Counterparty, the Put Counterparty and the Collateral Manager that such action will not result in the withdrawal, reduction or other adverse action with respect to any thencurrent rating (including any private or confidential rating) by Moody’s of any Class of Notes. Asset-Backed Securities (other than Automobile Securities and Equipment Leasing 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 cash flow from installment sale loans made to finance the purchase of (either as a part of a dealer’s inventory or for end users), or from leases of, recreational vehicles or boats generally having the following characteristics: (1) the loans or leases may have varying contractual maturities; (2) the loans or leases are obligations of numerous borrowers or lessors and accordingly represent a very diversified pool of obligor credit risk; (3) the repayment stream on such loans or leases is primarily determined by a contractual payment schedule, with early repayment on such loans or leases predominantly dependent upon the disposition of the underlying recreational vehicle or boat; and (4) such leases typically provide for 185

“Recreational Vehicle/Boat Securities”

the right of the lessee to purchase the recreational vehicle or boat for its stated residual value. “Reference Banks” Four major banks in the London interbank market, selected by the Calculation Agent (after consultation with the Collateral Manager). Three major dealers in the secondary market for U.S. Dollar certificates of deposit, selected by the Calculation Agent (after consultation with the Collateral Manager). An index of securities (or similar index) commonly used as a reference in synthetic securities and/or synthetic CDOs (such as the ABX Index). Any Asset-Backed Security in respect of which the Issuer has obtained or entered into a Synthetic Security and which, if purchased by the Issuer, would, on the date the Issuer acquired or entered into (or committed to acquire or enter into) such Synthetic Security, satisfy, in the case of the Portfolio Concentration Limitations (or would improve or not diminish the degree of compliance with), the Eligibility Criteria and Portfolio Concentration Limitations in “Security for the Notes— Eligibility Criteria and Portfolio Concentration Limitations.” For the avoidance of doubt, a Synthetic Security that references a Reference Index will be deemed to be a Multi Reference Synthetic Security referencing each of the applicable securities and obligations referenced, as of the applicable date of determination, in such index (in such proportion as such securities and obligations are referenced therein). The obligor on a Reference Obligation. With respect to any debt obligation, that the debt obligation is in registered form for U.S. Federal income tax purposes and was issued after July 18, 1984; provided that an interest in a trust treated as a grantor trust for U.S. Federal tax purposes will not be treated as in registered form unless each of the obligations or securities held by such trust were issued after that date. Regulation U of the Board of Governors of the Federal Reserve System, 12 C.F.R. § 221. The period from and including the Closing Date and ending on, but excluding, the first to occur of (a) the Quarterly Distribution Date immediately following the date that the Collateral Manager (with the written consent of a Majority of the Controlling Class) notifies the Trustee and each Hedge Counterparty in writing that, in light of the composition of Collateral Debt Securities, general market conditions and other factors, the Collateral Manager has determined in its sole judgment (exercised in accordance with the standard of care set forth in the Collateral Management Agreement) that investments in additional Collateral Debt Securities within the foreseeable future would either be impractical or not beneficial, which notice shall expressly state that its effect shall be to terminate the Reinvestment Period hereunder as of the date of such notice; (b) the July 2012 Quarterly Distribution Date; and 186

“Reference Dealers”

“Reference Index”

“Reference Obligation”

“Reference Obligor” “Registered”

“Regulation U”

“Reinvestment Period”

(c) the termination of the Reinvestment Period as a result of the occurrence of an Indenture Event of Default and the acceleration of the Notes. “REIT Debt Securities” “Relevant Distribution Date” Debt securities issued by real estate investment trusts. (i) With respect to any Class of Notes other than the Class A1 Notes, the applicable Quarterly Distribution Date, and (ii) with respect to the Class A1 Notes, the applicable Monthly Distribution Date. Asset-Backed Securities (other than Residential Prime Mortgage Securities and Residential Subprime Mortgage 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 cash flow from residential mortgage loans (the majority of which are secured on a first priority basis, subject to permitted liens, easements and other encumbrances by residential real estate (single or multifamily properties) generally having the following characteristics: (1) the mortgage loans have generally been underwritten to standards that do not qualify the loans for purchase by government-sponsored enterprises such as the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation but exhibit stronger credit characteristics than Residential Subprime Mortgage Securities; (2) the balances have standardized payment terms and may require minimum monthly payments; (3) the balances are obligations of numerous borrowers and accordingly represent a very diversified pool of obligor credit risk; and (4) the repayment stream on such balances may or may not depend upon a contractual payment schedule, with early repayment depending primarily on general economic matters and interest rates); provided, that any Collateral Debt Security that is classified as a “Residential Midprime Security” shall have a weighted average credit score, based on the credit scoring models developed by Fair, Isaac & Company with respect to the obligors on such underlying loans, greater than or equal to 625 but less than or equal to 700, and such security shall be ineligible to be classified as a Residential Prime Mortgage Security or a Residential Subprime Mortgage Security. Asset-Backed Securities (other than Residential Midprime Mortgage Securities and Residential Subprime Mortgage 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 cash flow from residential mortgage loans (the majority of which are secured on a first priority basis, subject to permitted liens, easements and other encumbrances) by residential real estate (single or multi-family properties) the proceeds of which are used to purchase real estate and purchase or construct dwellings thereon, to refinance indebtedness previously so used or to release the borrower’s equity in the real estate by increasing the size of the mortgage loan on the property, generally having the following characteristics: (1) the mortgage loans have generally been underwritten to standards that do not qualify the loans for purchase by government-sponsored enterprises such as the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation but exhibit stronger credit characteristics than Residential Midprime Mortgage Securities; (2) the mortgage loans have standardized payment terms and require minimum monthly payments; 187

“Residential Midprime Mortgage Securities”

“Residential Prime Mortgage Securities”

(3) the mortgage loans are obligations of numerous borrowers and accordingly represent a very diversified pool of obligor credit risk; and (4) the repayment of such mortgage loans is subject to a contractual payment schedule, with early repayment depending primarily on interest rates and the sale of the mortgaged real estate and related dwelling; provided, that any Collateral Debt Security that is classified as a “Residential Prime Mortgage Security” shall have a weighted average credit score, based on the credit scoring models developed by Fair, Isaac & Company with respect to the obligors on such underlying loans, greater than 700, and such security shall be ineligible to be classified as a Residential Midprime Mortgage Security or a Residential Subprime Mortgage Security. “Residential Subprime Mortgage Securities” Asset-Backed Securities (other than Residential Prime Mortgage Securities and Residential Midprime Mortgage 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 cash flow from residential mortgage loans (the majority of which are secured on a first priority basis, subject to permitted liens, easements and other encumbrances) by residential real estate (single or multi-family properties) the proceeds of which are used to purchase real estate and purchase or construct dwellings thereon, to refinance indebtedness previously so used or to release the borrower’s equity in the real estate by increasing the size of the mortgage loan on the property, generally having the following characteristics: (1) the mortgage loans have generally not been underwritten to the standards of the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation (without regard to the size of the loan); (2) the borrowers of the loans have a poor credit rating, excessive indebtedness or limited debt service ability, (3) the mortgage loans have standardized payment terms and require minimum monthly payments; (4) the mortgage loans are obligations of numerous borrowers and accordingly represent a very diversified pool of obligor credit risk; and (5) the repayment of such mortgage loans is subject to a contractual payment schedule, with early repayment depending primarily on the development of the borrower’s credit history, interest rates and the market value of the mortgaged real estate and related dwelling; provided, that any Collateral Debt Security that is classified as a “Residential Subprime Mortgage Security” shall have a weighted average credit score, based on the credit scoring models developed by Fair, Isaac & Company with respect to the obligors on such underlying loans, less than 625, and such security shall be ineligible to be classified as a Residential Prime Mortgage Security or a Residential Midprime Mortgage Security. 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 cash flow from (a) a pool of franchise loans made to operators of franchises that provide goods and services relating to the restaurant and food services industries and (b) leases or subleases of equipment to such operators for use in the provision of such goods and services. They generally have the following characteristics: (1) the loans, leases or subleases have varying contractual maturities; (2) the loans are secured by real property purchased or improved with the proceeds thereof (or to refinance an 188

“Restaurant and Food Services Securities”

outstanding loan the proceeds of which were so used); (3) the obligations of the lessors or sublessors of the equipment may be secured not only by the leased equipment but also the related real estate; (4) the loans, leases and subleases are obligations of a relatively limited number of obligors and accordingly represent a relatively undiversified pool of obligor credit risk; (5) payment of the loans can vary substantially from the contractual payment schedule (if any), with prepayment of individual loans depending on numerous factors specific to the particular obligors and upon whether, in the case of loans bearing interest at a fixed rate, such loans include an effective prepayment premium; (6) the repayment stream on the leases and subleases is primarily determined by a contractual payment schedule, with early termination of such leases and subleases predominantly dependent upon the disposition to a lessee, a sublessee or third party of the underlying equipment; (7) such leases and subleases typically provide for the right of the lessee or sublessee to purchase the equipment for its stated residual value, subject to payments at the end of a lease term for excess usage or wear and tear; and (8) the ownership of a franchise right or other similar license and the creditworthiness of such franchise operators is the primary factor in any decision to invest in these securities. “Restricted Notes” The Restricted Global Notes and/or the Restricted Class D Notes, as the context may require. The Restricted Global Notes, the Restricted Class D Notes and/or the Restricted Subordinated Notes, as the context may require. RMBS Securities issued or fully and unconditionally guaranteed by the Federal National Mortgage Association, Federal Home Loan Mortgage Corporation or the Government National Mortgage Association. Residential Prime Mortgage Securities, Residential Subprime Mortgage Securities, Residential Midprime Securities and RMBS Cap Floater Securities. A floating rate RMBS Security (i) whose collateral is composed of at least 50.0% or more of 15-year or greater fixed rate term residential mortgages, (ii) that bears interest at a floating rate up to a maximum rate, and (iii) that benefits from the cashflows of a corresponding interest rate cap with a notional amortization based on a predetermined amortization schedule. With respect to any Collateral Debt Security, the entity that, absent any default, event of default or similar condition (however described), is primarily responsible for managing, servicing, monitoring and otherwise administering the cash flows from which payments to investors in such Collateral Debt Security are made; provided that a person that is a portfolio or investment manager for a CDO Security is not considered a Servicer. Asset-Backed Securities (other than Franchise Securities and CDO 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 AssetBacked Securities) on the cash flow from general purpose corporate 189

“Restricted Securities” “RMBS Agency Securities”

“RMBS Securities”

“RMBS Cap Floater Security”

“Servicer”

“Small Business Loan Securities”

loans made to small business concerns, including but not limited to those (a) made pursuant to Section 7(a) of the United States Small Business Act, as amended, and (b) partially guaranteed by the United States Small Business Administration. Small Business Loan Securities generally have the following characteristics: (1) the loans have standardized terms; (2) the loans are obligations of a relatively limited number of borrowers and accordingly represent an undiversified pool of obligor credit risk; and (3) repayment thereof can vary substantially from the contractual payment schedule (if any), with early prepayment of individual loans depending on numerous factors specific to the particular obligors and upon whether, in the case of loans bearing interest at a fixed rate, such loans or securities include an effective prepayment premium. “Special Purpose Vehicle Jurisdiction” (a) The Cayman Islands, the Bahamas, Bermuda, the Netherlands Antilles, the Netherlands, Luxembourg, the Channel Islands and (b) any other jurisdiction that is commonly used as the place of organization or incorporation of special or limited purpose vehicles that issue AssetBacked Securities and with respect to the designation (by the Collateral Manager) of which the Rating Condition is satisfied; provided that no jurisdiction shall be a Special Purpose Vehicle Jurisdiction unless such jurisdiction generally imposes no or nominal tax on the income of special purpose vehicles. Any type of Asset-Backed Security, other than an Excluded Security. 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 cash flow from ticket receipts and other revenue including concession and paraphernalia sales, received by a property manager of stadiums, generally having the following characteristics: (1) the receivables evidence the right to receive the future receipts from one or more stadiums; (2) the stadium receivables are not backed by existing receivables or contract rights, but rather the ability of the originator to continue to generate sufficient levels of receivables or contract rights in the future; and (3) the receivables represent obligations from a limited number of obligors and accordingly represent an undiversified pool of obligor credit risk. The portfolio (measured by principal balance) of Collateral Debt Securities and Principal Proceeds or Uninvested Proceeds held as cash and Eligible Investments purchased with Principal Proceeds or Uninvested Proceeds existing immediately prior to the sale, maturity or other disposition of a Collateral Debt Security or immediately prior to the acquisition of a Collateral Debt Security, as the case may be. The portfolio (measured by principal balance) of Collateral Debt Securities and Principal Proceeds or Uninvested Proceeds held as cash and Eligible Investments purchased with Principal Proceeds or Uninvested Proceeds resulting from the sale, maturity or other disposition of a Collateral Debt Security or a proposed purchase of a Collateral Debt Security, as the case may be.

“Specified Types” “Stadium Receivables Securities”

“Standard & Poor’s Current Portfolio”

“Standard & Poor’s Proposed Portfolio”

190

“Standard & Poor’s Rating”

The rating of any Collateral Debt Security, as of any date of determination, will be determined as follows: (i) if Standard & Poor’s has assigned a rating to such Collateral Debt Security either publicly or privately, the Standard & Poor’s Rating shall be the rating assigned thereto by Standard & Poor’s; (ii) the Issuer or the Collateral Manager on behalf of the Issuer may apply to Standard & Poor’s for a credit estimate, which shall be the Standard & Poor’s Rating of such Collateral Debt Security; provided that pending receipt from Standard & Poor’s of such estimate, such Collateral Debt Security shall have a Standard & Poor’s Rating of “CCC-” if the Collateral Manager believes that such estimate will be at least “CCC-”; for purposes of notification of a Standard & Poor’s credit estimate of any Collateral Debt Security, notification of such Standard & Poor’s credit estimate may be delivered in electronic form that is mutually acceptable to Standard & Poor’s, the Issuer, the Collateral Manager and the Trustee; or (iii) if such Collateral Debt Security is not rated by Standard & Poor’s and is publicly rated by both Moody’s and Fitch, the Standard & Poor’s Rating can be assigned by notching down the lower of the Moody’s and Fitch ratings the number of rating subcategories specified in the table specified in Schedule B to this Prospectus; if such Collateral Debt Security is not rated by Standard & Poor’s and is publicly rated by Moody’s, the Standard & Poor’s Rating can be assigned by notching down the Moody’s rating the number of rating subcategories specified in Schedule B to this Prospectus plus one additional rating subcategory; provided that no Standard & Poor’s Rating may be derived or implied from a Moody’s or Fitch rating as provided in this clause (iii) if such Collateral Debt Security is a Timeshare Security, Non-U.S. Structured Finance Security, Structured Product CDO Security, Trust Preferred CDO Security, Bank Guaranteed Security, Insurance Company Guaranteed Security, a distressed debt CDO, a Market Value CDO Security, a CDO of CDO Security, a Net Interest Margin Security, a re-tranched security, a combination security, a Re-REMIC Security, a Synthetic CDO Security, a CDO of real estate, a security that derives cash flow primarily from non-U.S. obligors, the first loss tranche of any AssetBacked Security or any other Specified Type of Asset-Backed Security not covered by this clause (iii) and with respect to all Collateral Debt Securities, the aggregate principal balance of Collateral Debt Securities relying on a Standard & Poor’s Rating derived or implied from a Moody’s rating may not exceed 20% of the aggregate principal balance of Collateral Debt Securities (including the aggregate principal balance of Eligible Investments representing collections on deposit in the Principal Collection Account). The Standard & Poor’s Rating for any Collateral Debt Security that is (x) on credit watch positive for possible upgrade by Standard & Poor’s will be deemed to be the Standard & Poor’s Rating one subcategory above the Standard & Poor’s Rating of such Collateral Debt Security that would otherwise be applicable as determined pursuant to this definition of Standard & Poor’s Rating and (y) on credit watch negative for possible downgrade by Standard & Poor’s will be deemed to be the Standard & Poor’s Rating one subcategory below the Standard & 191

Poor’s Rating of such Collateral Debt Security that would otherwise be applicable as determined pursuant to this definition of Standard & Poor’s Rating. “Standard & Poor’s Scenario Default Rate” (a) With respect to the Class A Notes, the Class A Scenario Default Rate, (b) with respect to the Class B Notes, the Class B Scenario Default Rate, (c) with respect to the Class C Notes, the Class C Scenario Default Rate, and (d) with respect to the Class D Notes, the Class D Scenario Default Rate. “Step-Down Bond” A security which by the terms of the related Underlying Instruments provides for a decrease, in the case of a Fixed Rate Security, in the per annum interest rate on such security or, in the case of a Floating Rate Security, in the spread over the applicable index or benchmark rate, solely as a function of the passage of time; provided that a Step-Down Bond shall not include any such security providing for payment of a constant rate of interest (in the case of a Fixed Rate Security) or constant spread (in the case of a Floating Rate Security) at all times after the date of acquisition by the Issuer. In calculating any Coverage Test or 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, the spread or coupon on any date shall be deemed to be the lowest spread or coupon, respectively, scheduled to apply to such Step-Down Bond on or after such date of calculation. A security which by the terms of the related Underlying Instruments provides for an increase, in the case of a Fixed Rate Security, in the per annum interest rate on such security or, in the case of a Floating Rate Security, in the spread over the applicable index or benchmark rate, solely as a function of the passage of time; provided that a Step-Up Bond shall not include any such security providing for payment of a constant rate of interest (in the case of a Fixed Rate Security) or constant spread (in the case of a Floating Rate Security) at all times after the date of acquisition by the Issuer. In calculating any Coverage Test or 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, the spread or coupon on any date shall be deemed to be the spread or coupon stated to be payable in cash and in effect on such date of calculation. CDO Securities, other than CDO Securities backed primarily by CMBS Securities which are classified as CMBS Conduit 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 cash flow from a portfolio of commercial and industrial bank loans, corporate debt securities, commercial mortgage loans, securities issued by a sovereign issuer, Asset-Backed Securities, CMBS Securities, RMBS Securities, synthetic securities and CDO Securities or any combination 192

“Step-Up Bond”

“Structured Product CDO Securities”

of the foregoing, generally having the following characteristics: (1) the loans and securities may have varying contractual maturities; (2) the loans and securities are obligations of a relatively limited number of obligors or issuers and accordingly represent a relatively undiversified pool of obligor credit risk; (3) repayment thereof can vary substantially from the contractual payment schedule (if any), with early prepayment of individual bank loans or securities depending on numerous factors specific to the particular issuers or obligors and upon whether, in the case of loans or securities bearing interest at a fixed rate, such loans or securities include an effective prepayment premium; (4) proceeds from such repayments can for a limited period and subject to compliance with certain eligibility criteria be reinvested in additional loans and/or securities; and (5) at least 90.0% of such portfolio is comprised of Asset-Backed Securities. “Structured Settlement Securities” 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 cash flow from receivables representing the right of litigation claimants to receive future scheduled payments under settlement agreements that are funded by annuity contracts, which receivables may have varying maturities. 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 cash flow from loans made to students (or their parents) to finance educational needs, generally having the following characteristics: (1) the loans have standardized terms; (2) the loans are obligations of numerous borrowers and accordingly represent a very diversified pool of obligor credit risk; (3) the repayment stream on such loans is primarily determined by a contractual payment schedule, with early repayment on such loans predominantly dependent upon interest rates and the income of borrowers following the commencement of amortization; and (4) such loans may be fully or partially insured or reinsured by the United States Department of Education. The initial principal amount of the Subordinated Notes. Solely for purposes for the rating assigned by S&P to the Subordinated Notes on the Closing Date, the Subordinated Note Rated Principal shall be deemed to be reduced by the amount of all distributions actually paid (whether such amounts are derived from Interest Proceeds or Principal Proceeds) in respect of the Subordinated Notes. For the avoidance of doubt, the deemed reduction of the Subordinated Note Rated Principal pursuant to the immediately preceding sentence shall not reduce the principal amount of the Subordinated Notes Outstanding for any other purpose hereunder, including the payment of Interest Proceeds and Principal Proceeds to the Subordinated Note Issuing and Paying Agent for the benefit of the Subordinated Noteholders pursuant to the Priority of Payments or the application of such payments pursuant to the Indenture. An amount equal to the proceeds of the liquidation of the Issuer less the sum of (i) the costs and expenses of such liquidation and (ii) any amounts payable to the creditors of the Issuer (including amounts in respect of the redemption of the Notes and all other amounts payable 193

“Student Loan Securities”

“Subordinated Note Rated Principal”

“Subordinated Note Redemption Amount”

prior to the Subordinated Notes, pursuant to the Priority of Payments (including U.S.$2,000 consisting of U.S.$1,000 representing a return of capital contributed by the owners of the Issuer’s ordinary shares in accordance with the Issuer Charter and U.S.$1,000 representing a profit fee to the Issuer) and any contingent obligations. “Subordinated Noteholders” The persons in whose names Subordinated Notes are registered in the ownership register relating to the Subordinated Notes maintained by the Subordinated Note Registrar. 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 cash flow from installment sale loans made to finance the acquisition of, or from leases of, automobiles, generally having the following characteristics: (1) the loans or leases may have varying contractual maturities; (2) the loans or leases are obligations of numerous borrowers or lessors and accordingly represent a very diversified pool of obligor credit risk; (3) the borrowers or lessors under the loans or leases have a poor credit rating, excessive indebtedness or limited debt service ability; (4) the repayment stream on such loans or leases is primarily determined by a contractual payment schedule, with early repayment on such loans or leases predominantly dependent upon the disposition of the underlying vehicle; and (5) such leases typically provide for the right of the lessee to purchase the vehicle for its stated residual value, subject to payments at the end of lease term for excess mileage or use. (A) With respect to any Hedge Agreement as to which the Initial Hedge Counterparty or an affiliate thereof is the Hedge Counterparty, any of the following events shall have occurred and be continuing in respect of a Hedge Agreement: (i) so long as any of the Notes are outstanding and rated by Standard & Poor’s, the short-term rating of the applicable Hedge Counterparty (or any guarantor or other credit support provider for such Hedge Counterparty’s obligations) from Standard & Poor’s is withdrawn, suspended or downgraded below “A-3,” or if no such short-term rating exists, the Hedge Counterparty’s (or such guarantor’s or other credit support provider’s) long-term rating from Standard & Poor’s is withdrawn, suspended or downgraded below “BBB-”; or (ii) so long as any of the Notes are Outstanding and rated by Moody’s, the short-term rating of the applicable Hedge Counterparty (or any guarantor or other credit support provider for such Hedge Counterparty’s obligations) from Moody’s is withdrawn, suspended or downgraded below “P-2,” and such Hedge Counterparty’s (or such guarantor’s or other credit support provider’s) long term rating from Moody’s is withdrawn, suspended or downgraded below “A3”; or if such Hedge Counterparty (or such guarantor or other credit support provider) does not have a Moody’s short-term debt rating, a long term debt rating of “A3” by Moody’s; and (B) With respect to any other Hedge Agreement, a “Substitution Event” (however denominated) shall have the meaning set forth therein.

“Subprime Automobile Securities”

“Substitution Event”

194

“Swiss Re Information” “Synthetic CDO Securities” “Synthetic Security”

The information in the section of the Prospectus entitled “Swiss Re Financial Products Corporation ”. Any Synthetic Security that is also a CDO Security. Any swap transaction, credit linked note, credit derivative structured bond investment or other derivative instrument (including a Synthetic CDO Security but not including any other CDO Security) purchased by the Issuer from, or entered into by the Issuer with, a Synthetic Security Counterparty which investment contains a probability of default, recovery upon default (or a specific percentage of par not less than the principal balance thereof multiplied by the recovery rate therefor) and expected loss characteristics closely correlated to one or more Reference Obligations or to a specified risk tranche of a portfolio of Reference Obligations or a Reference Index, but which may provide for a different maturity, interest rate or other non-credit characteristics than such Reference Obligation(s); provided that (a) such Synthetic Security shall not provide for any payment by the Issuer after the date on which it is pledged to the Trustee unless such security is a Defeased Synthetic Security, (b) such Synthetic Security terminates no later than the redemption or repayment in full of such Reference Obligation(s), (c) such Synthetic Security (other than a Synthetic CDO Security) is either (i) a Form Approved Synthetic Security or (ii) has a rating, the Rating Condition has been satisfied and the Trustee has been notified in writing by each Rating Agency of the rating factor and the recovery rate assigned, (d) such Synthetic Security does not permit delivery to the Issuer of an obligation or security other than a Deliverable Obligation, (e) no amount receivable by the Issuer from the related Synthetic Security Counterparty will be subject to withholding tax, unless the Synthetic Security Counterparty is required to make additional payments sufficient to cover any withholding tax imposed at any time or payments made by the Issuer with respect thereto and (f) the acquisition (including the manner of acquisition), ownership, enforcement or disposition of such Synthetic 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. For purposes of the Coverage Tests, unless otherwise specified, a Synthetic Security shall be included as a Collateral Debt Security having the characteristics of the Synthetic Security and not of the related Reference Obligation(s). For purposes of the Moody’s Asset Correlation Test, (i) a Synthetic Security shall be included as a Collateral Debt Security having the characteristics of the related Reference Obligation(s) and not of the Synthetic Security and (ii) each Reference Obligation of a Multi Reference Synthetic Security shall be considered individually on a pro rata basis.

“Synthetic Security Collateral”

(a) Eligible Investments or (b) Floating Rate Securities which would satisfy the definition of Collateral Debt Securities but which have a Moody’s Rating of “Aaa” and a Standard & Poor’s Rating of “AAA” or other investments the acquisition of which would satisfy the Rating

195

Condition, in each case which mature no later than the Term Note Stated Maturity. “Synthetic Security Counterparty” Any entity (other than the Issuer) that is required to make payments on a Synthetic Security (or to a trust or other entity which issued the Synthetic Security); provided that on the date the Issuer acquires or enters into (or commits to acquire or enter into) such Synthetic Security, such entity shall have (a) either (i) long-term senior unsecured debt ratings or issuer ratings (which ratings must, with respect to any Synthetic Security Counterparty, be actual ratings) of not less than “AA-” by Standard & Poor’s or (ii) a short-term unsecured rating of at least “A-1+” by Standard & Poor’s (provided that such Synthetic Security Counterparty has a long term senior unsecured debt rating of at least “A” by Standard & Poor’s) (or a short term unsecured rating of at least “A-1” by Standard & Poor’s, if such Synthetic Security Counterparty has posted (and is obligated to maintain) collateral equal to the premium or fixed amount payable by the Synthetic Security Counterparty on the next scheduled payment date therefor under such Synthetic Security) (and, in either case in this clause (ii), such rating has not been placed on a watch list for possible downgrade) and (b) either (i) long-term senior unsecured debt ratings or issuer ratings (which ratings must, with respect to any Synthetic Security Counterparty, be actual ratings) of not less than “A1” by Moody’s or (ii) a short-term unsecured rating of at least “P-1” by Moody’s (and such rating has not been placed on a watch list for possible downgrade); provided further that the rating of a Synthetic Security Counterparty which has been placed on “credit watch” with negative implications by a Rating Agency shall be deemed to be one notch below its then current rating by such Rating Agency, and the rating of a Synthetic Security Counterparty which has been placed on “credit watch” with positive implications by a Rating Agency, shall be deemed to be one notch above its then current rating by such Rating Agency; provided, further that at the time a Synthetic Security is acquired or entered into by the Issuer (or that the Issuer commits to acquire or enter into such Synthetic Securities), with respect to any Measurement Date occurring on or after the Ramp-Up Completion Date (after giving effect to the entry into such Synthetic Security), the aggregate principal balance of all Synthetic Securities entered into by the Issuer with the related Synthetic Security Counterparty will not exceed the percentage of the Net Outstanding Portfolio Collateral Balance set forth in the matrix below for the credit rating of such Synthetic Security Counterparty:
AAA 20.0% AA+ 10.0% AA 10.0% AA10.0% A+ 5.0% A 5.0% Aor lower 5.0%

“Synthetic Security Counterparty Defaulted Obligation”

A Synthetic Security (other than a Defaulted Synthetic Security) with respect to which: (a) (i) the long-term debt obligations of the relevant Synthetic Security Counterparty are rated “CC,” “D,” “SD” by Standard & Poor’s, or (ii) the rating of the relevant Synthetic Security Counterparty by Standard & Poor’s is withdrawn for reasons relating to the credit quality of such Synthetic Security Counterparty; provided that, notwithstanding the foregoing, if at any time after such withdrawal or 196

reduction such Synthetic Security is a credit default swap or a total return swap under which the Synthetic Security Counterparty shall have provided collateral to or for the benefit of the Issuer with a value equal to the greater of (A) the premium or other periodic amount payable by the Issuer for one period pursuant to such credit default swap or total return swap and (B) any termination payment that would then be due to the Issuer upon the termination of such credit default swap or total return swap, no Synthetic Security Counterparty Defaulted Obligation shall be deemed to exist with respect to such Synthetic Security; provided that this election can be made for only one Due Period for each Synthetic Security Counterparty after which it would be treated as a Synthetic Security Counterparty Defaulted Obligation; or (b) the Synthetic Security Counterparty has defaulted (which default remains uncured) in the performance of any of its payment obligations under the Synthetic Security. “Tax Lien Securities” 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 cash flow from a pool of tax obligations owed by businesses and individuals to state and municipal governmental taxing authorities, generally having the following characteristics: (1) the obligations have standardized payment terms and require minimum payments; (2) the tax obligations are obligations of numerous borrowers and accordingly represent a very diversified pool of obligor credit risk; and (3) the repayment stream on the obligation is primarily determined by a payment schedule entered into between the relevant tax authority and obligor, with early repayment on such obligation predominantly dependent upon interest rates and the income of the obligor following the commencement of amortization. With respect to a Quarterly Tender Date, any Class A1 Notes with respect to which a Tender Notice is timely delivered to the Remarketing Agents, the Put Counterparty, the Trustee and the Issuer Asset-Backed Securities (other than Residential Prime Mortgage Securities, Residential Midprime Securities and Residential Subprime Mortgage 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 cash flow from time share credits/contracts with respect to vacation homes, condominiums or other real estate properties. 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 cash flow from lawyer fee awards and state awards as a result of the settlement of litigation between the states and certain tobacco companies. CDO 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 Securities) on the cash flow from a pool of trust preferred securities. 197

“Tendered Class A1 Note”

“Timeshare Securities”

“Tobacco Litigation Securities”

“Trust Preferred CDO Securities”

They generally have the following characteristics: (1) the trust securities are non-amortizing preferred stock securities; (2) the trust securities have a 30-year maturity with a 5- or 10- year non-call period; and (3) the trust securities are, or represent interests in a trust whose sole or principal assets are, subordinated debt. “UCC” The Uniform Commercial Code as in effect from time to time in the State of New York, unless another jurisdiction is specified in which case “UCC” shall mean the Uniform Commercial Code as in effect in such other jurisdiction. The indenture or other agreement pursuant to which a Collateral Debt Security, Eligible Investment or Equity Security has been issued or created and each other agreement that governs the terms of or secures the obligations represented by such Collateral Debt Security, Eligible Investment or Equity Security or of which holders of such Collateral Debt Security, Eligible Investment or Equity Security are the beneficiaries. At any time, the net proceeds received by the Issuer on the Closing Date from the initial issuance of the Securities to the extent such proceeds have not been deposited in the Expense Account or invested in Collateral Debt Securities in accordance with the terms of the Indenture. For the avoidance of doubt, proceeds from the issuance of new Class A1 Notes after the Closing Date pursuant to the Indenture shall not constitute Uninvested Proceeds. As of any date of determination, any Collateral Debt Security as to which the aggregate par amount of such Collateral Debt Security and all other securities backed by the same pool of assets that rank pari passu with or senior in priority of payment to such Collateral Debt Security exceeds the aggregate par amount (including reserved interest or other amounts available for overcollateralization) of all assets backing such securities (excluding defaulted assets). A security (other than a Step-Up Bond) that, pursuant to the terms of its Underlying Instruments, on the date on which it is purchased by the Issuer, does not provide for the periodic payment of interest or that provides that all payments of interest will be deferred until the final maturity thereof.

“Underlying Instruments”

“Uninvested Proceeds”

“Written-Down Security”

“Zero Coupon Bond”

198

The following schedules have been provided by the Rating Agencies. The defined terms used in such schedules may differ from the defined terms used elsewhere in the Prospectus as they are terms used by the Rating Agencies. Not all of the specified types described in the schedules are permitted to be purchased by the Issuer.

SCHEDULE A PART I MOODY’S LOSS SCENARIO MATRIX (see definition of “Applicable Recovery Rate”)
Consumer ABS Securities Issue and Pari passu Security as Percentage of Total Capitalization Greater than 70% Less than or equal to 70%, but greater than 10% Less than or equal to 10% RMBS Securities Issue and Pari passu Security as Percentage of Total Capitalization Greater than 70% Less than or equal to 70%, but greater than 10% Less than or equal to 10% but greater than 5% Less than or equal to 5%, but greater than 2% Less than or equal to 2% Aaa 15% 25% 35% 45% 55% Aa 20% 30% 45% 55% 65% Moody’s Rating A Baa Ba 35% 45% 55% 45% 55% 65% 55% 60% 70% 60% 65% 75% 70% 75% 85% B 70% 75% 80% 85% 90% Aaa 15% 25% 30% Aa 20% 30% 35% Moody’s Rating A Baa Ba 30% 40% 50% 40% 50% 60% 45% 55% 65% B 60% 70% 75%

Undiversified ABS Securities* Issue and Pari passu Security as Percentage of Total Capitalization Greater than 70% Less than or equal to 70%, but greater than 10% Less than or equal to 10% but greater than 5% Less than or equal to 5%, but greater than 2% Less than or equal to 2% Aaa 15% 25% 35% 45% 55% Aa 20% 30% 45% 55% 65% Moody’s Rating A Baa Ba 35% 45% 55% 45% 55% 65% 55% 65% 75% 65% 70% 80% 75% 80% 90% B 70% 75% 85% 90% 95%

CDO Securities with a diversity score less than or equal to 20 or an Asset Correlation of 15% or more (Low-Diversity) Moody’s Rating Issue and Pari passu Security as Percentage of Total Capitalization Aaa Aa A Baa Ba B Greater than 70% 20% 25% 40% 50% 55% 70% Less than or equal to 70%, but greater than 10% 30% 40% 45% 55% 65% 75% Less than or equal to 10% but greater than 5% 40% 50% 55% 65% 75% 85% Less than or equal to 5%, but greater than 2% 50% 60% 65% 70% 80% 90% Less than or equal to 2% 70% 75% 80% 85% 93% 96% CDO Securities with a diversity score greater than 20 or an Asset Correlation less than 15% (High-Diversity) Moody’s Rating Issue and Pari passu Security as Percentage of Total Capitalization Aaa Aa A Baa Ba Greater than 70% 15% 20% 35% 45% 55% Less than or equal to 70%, but greater than 10% 25% 30% 40% 50% 60% Less than or equal to 10% but greater than 5% 35% 45% 50% 60% 70% Less than or equal to 5%, but greater than 2% 45% 55% 60% 65% 75% Less than or equal to 2% 55% 65% 70% 75% 90% REIT Debt Securities REIT Debt Securities (other than REIT Debt Security-Health Care or REIT Debt Security-Mortgage) REIT Debt Security-Health Care or REIT Debt Security-Mortgage

B 70% 75% 80% 90% 95% 60% 90%

*

“Undiversified ABS Securities” means each Specified Type of Asset-Backed Securities, other than (i) Consumer ABS Securities, (ii) RMBS Securities, (iii) CDO Securities or (iv) REIT Debt Securities. 199

PART II STANDARD & POOR’S RECOVERY RATE MATRIX A. If the Collateral Debt Security is the senior-most tranche of securities issued by the issuer of such Collateral Debt Security*:
AAA Collateral Debt Security Rating AAA AA+/AA/AAA+/A/ABBB+/BBB/BBB-or lower 80.0% 70.0% 60.0% 50.0% 85.0% 75.0% 65.0% 55.0% 90.0% 85.0% 75.0% 65.0% 90.0% 90.0% 85.0% 75.0% 90.0% 90.0% 90.0% 85.0% 90.0% 90.0% 90.0% 85.0% 90.0% 90.0% 90.0% 85.0% AA A BBB BB B CCC

B. If the Collateral Debt Security is not the senior-most tranche of securities issued by the issuer of such Collateral Debt Security*:
AAA Collateral Debt Security Rating AAA AA+/AA/AAA+/A/ABBB+/BBB/BBBBB+/BB/BBB+/B/BCCC or lower 65.0% 55.0% 40.0% 30.0% 10.0% 2.5% 0.0% AA 70.0% 65.0% 45.0% 35.0% 10.0% 5.0% 0.0% A 80.0% 75.0% 55.0% 40.0% 10.0% 5.0% 0.0% BBB 85.0% 80.0% 65.0% 45.0% 25.0% 10.0% 0.0% BB 85.0% 80.0% 80.0% 50.0% 35.0% 10.0% 2.5% B 85.0% 80.0% 80.0% 60.0% 40.0% 20.0% 5.0% CCC 85.0% 80.0% 80.0% 70.0% 50.0% 25.0% 5.0%

C.

If the Collateral Debt Security is a CMBS Security:
AAA AA 85.0% 75.0% 65.0% 50.0% 40.0% 25.0% 5.0% A 90.0% 85.0% 75.0% 55.0% 45.0% 30.0% 5.0% BBB 90.0% 90.0% 85.0% 60.0% 45.0% 35.0% 5.0% BB 90.0% 90.0% 90.0% 65.0% 50.0% 35.0% 5.0% B 90.0% 90.0% 90.0% 70.0% 50.0% 40.0% 5.0% CCC 90.0% 90.0% 90.0% 75.0% 50.0% 40.0% 5.0%

Collateral Debt Security Rating AAA AA+/AA/AAA+/A/ABBB+/BBB/BBBBB+/BB/BBB+/B/BCCC or lower

80.0% 70.0% 60.0% 45.0% 35.0% 20.0% 5.0%

*

If the Collateral Debt Security is a Future Flow Security, Project Finance Security, Synthetic Security, Structured Product CDO Security, a CDO of CDO Security, a Market Value CDO Security, an Interest Only Security, a Principal Only Security, a Tobacco Litigation Security, a Net Interest Margin Security, a re-tranched security, a first-loss security or is guaranteed by a corporate guarantor (including Insurance Company Guaranteed Securities), the recovery rate will be determined by Standard & Poor’s on a case by case basis. If the Collateral Debt Security is a REIT Debt Security, the recovery rate will be 40%. If the Collateral Debt Security is a CMBS Security, the recovery rate will be determined by the table under clause (C) of this Part II of this Schedule A. Applies only to junior AAA tranche that is not pari passu with the senior AAA tranche after an Indenture Event of Default is tripped. If the Collateral Debt Security is a REIT Debt Security, the recovery rate will be 40%. If the Collateral Debt Security is a Monoline/FER Guaranteed Security, the recovery rate will be 50%. If the Collateral Debt Security is a Non-FER Company Guaranteed Security, the recovery rate will be 40%.

**

200

SCHEDULE B STANDARD & POOR’S COLLATERAL QUALITY TESTS AND RATING DEFINITION
Collateral Debt Security Issued Prior to August 1, 2001 Lower of Moody or Fitch rating is Investment Grade Consumer ABS Automobile Securities Car Rental Fleet Securities Credit Card Securities Healthcare Securities Student Loan Securities Commercial ABS Aircraft Securities Cargo securities Equipment Leasing Securities Franchise Securities Restaurant and Food Services Securities Small Business Loan Securities Residential Mortgages Home Equity Loan Securities Residential A Mortgage Securities Residential B/C Mortgage Securities Non-Re-REMIC RMBS Manufactured Housing Securities Non-Re-REMIC CMBS CMBS Conduit Securities CMBS Credit Tenant Lease Securities CMBS Large Loan Securities Cashflow CBO/CLOs CDO Domestic Corporate Debt Securities Specialty Structured Future Flow Securities Project Finance Securities Stadium Receivables Securities REITs/Real estate operating companies REIT Debt Securities Real estate operating company debt -1 Lower of Moody or Fitch rating is NonInvestment Grade -2 Collateral Debt Security Issued On or After August 1, 2001 Lower of Lower of Moody or Moody or Fitch Fitch rating is rating is nonInvestment Investment Grade Grade -2 -3

-1

-2

-2

-3

-1

-2

-2

-3

-1 -1

-2 -2

-2 -2

-3 -3

-1 -3

-2 -4

-2 -3

-3 -4

-1

-2

-2

-3

For purposes of this Schedule B and the definition of Standard & Poor’s Rating, “Non-U.S. Structured Finance Security” means any Asset-Backed Security other than a security which is issued by (i) a U.S. issuer, (ii) an issuer located in the Cayman Islands, Bermuda, the British Virgin Islands, the Netherlands Antilles, the Channel Islands or similar jurisdiction generally imposing no or nominal taxes on the income of companies organized under the law of such jurisdiction or (iii) an issuer located in a jurisdiction the sovereign obligations of which are rated “AA” or higher by Standard & Poor’s, less than 25% of the underlying assets of which consist of obligations issued by obligors or issuers located or cash flow derived outside the United States, and the underlying assets of such issuer are not subject to contingent perfection.

201

SCHEDULE C MOODY’S RATING (i) (a) If such Collateral Debt Security is rated by Moody’s, the Moody’s Rating will be such rating, or (b) if the Issuer or the Collateral Manager on behalf of the Issuer has requested that Moody’s assign a rating to such Collateral Debt Security, the Moody’s Rating will be the rating so assigned by Moody’s; (ii) with respect to a Collateral Debt Security, if such Collateral Debt Security is an Asset-Backed Security and is not rated by Moody’s, then the Moody’s Rating of such Asset-Backed Security may be determined by notching down the Standard & Poor’s rating the number of rating subcategories specified in the table below:
Rating assigned by Standard & Poor’s A+ to BBBBB+ or below AA- or above 1 2 3 2 3 4 1 2 3 1 2 3 No notching permitted No notching permitted No notching permitted No notching permitted No notching permitted No notching permitted 1 3 4 1 2 3 1 2 3 1 2 3 1 2 3 1 2 4 1 1 2 1 2 3 No notching permitted No notching permitted No notching permitted 1 2 3 1 2 4 No notching permitted No notching permitted No notching permitted No notching permitted No notching permitted No notching permitted No notching permitted No notching permitted No notching permitted 1 2 3 1 2 3 No notching permitted No notching permitted No notching permitted 1 2 3 1 2 3 1 2 3 No notching permitted No notching permitted No notching permitted 2 3 4 1 2 3

Agricultural and Industrial Equipment Loans Aircraft Securities Automobile Securities Boat, motorcycle, RV or truck securities Car Rental Fleet Securities CDO Domestic Corporate Debt Securities Consumer loan securities Credit Card Securities Entertainment Securities Equipment Leasing Securities Floorplan securities Franchise Securities Future Flow Securities Healthcare Securities Insurance-Linked Securities Manufactured Housing Securities Mutual Fund Securities Natural Resource Receivable Securities Project Finance Securities Re-REMIC Securities Small Business Loan Securities Stadium Receivables Securities Structured Product CDO Securities Structured Settlement Securities Student Loan Securities Tax Lien Securities Timeshare Securities Trade receivables securities Utility Securities

Home Equity Loan Securities Residential A Mortgage Securities (Alt-A) Residential A Mortgage Securities (Jumbo A) Residential A Mortgage Securities (mixed pools) Residential B/C Mortgage Securities

Rating assigned by Standard & Poor’s A+ to BBBBB+ or below AA- or above 1 2 3 1 3 4 1 1 1 2 3 2 3 4 3

The numbers in the table above represent the number of rating subcategories to be notched down from the Standard & Poor’s rating (for example, a “1” applied to a Standard & Poor’s rating of “BBB” implies a Moody’s Rating of “Baa3”).

202

(iii) With respect to a Collateral Debt Security, if such Collateral Debt Security is an Asset-Backed Security and is not rated by Moody’s, then the Moody’s Rating of such Asset-Backed Security may be determined by notching down the Fitch rating the number of rating subcategories specified in the table below:
AAA No notching permitted 1 1 1 No notching permitted Rating assigned by Fitch AA+ to BBBBB+ or below No notching permitted No notching permitted 3 5 2 3 No notching permitted 4 5 No notching permitted

Home Equity Loan Securities Residential A Mortgage Securities (Alt-A) Residential A Mortgage Securities (Jumbo A) Residential A Mortgage Securities (mixed pools) Residential B/C Mortgage Securities

The numbers in the table above represent the number of rating subcategories to be notched down from the Fitch rating (for example, a “1” applied to a Fitch rating of “BBB” implies a Moody’s Rating of “Baa3”). If a Residential A Mortgage Security is rated by both Standard & Poor’s and Fitch, the Moody’s Rating and the Moody’s Rating Factor for such security will be the lower of the ratings implied by the notching conventions shown in the tables under this clause (iii) and clause (ii) above related to Residential A Mortgage Securities notched up by one half of a rating subcategory (for example, if a Residential A Mortgage Security consisting of Jumbo A collateral is rated BB+ by both Standard & Poor’s and Fitch, such security will be assigned a Moody’s Rating of “B1/B2” and a Moody’s Rating Factor of “2,470”). (iv) With respect to a Collateral Debt Security, if such Collateral Debt Security is a CMBS Security and is not rated by Moody’s, then the Moody’s Rating of such Asset-Backed Security may be determined by notching down the Standard & Poor’s rating and/or Fitch rating the number of rating subcategories specified in the table below:
Security rated by Standard & Poor’s and Fitch. No other security issued by the issuer of such security is rated by Moody’s CMBS Conduit Securities 2 rating subcategories below the lower of the ratings assigned by Standard & Poor’s and Fitch Security rated by Standard & Poor’s and/or Fitch. At least one other security issued by the issuer of such security is rated by Moody’s 1.5 rating subcategories below the lower of the ratings assigned by Standard & Poor’s and Fitch if rated by Standard & Poor’s and Fitch*; 1.5 rating subcategories below the rating assigned by Standard & Poor’s or Fitch, as applicable, if rated by one of Standard & Poor’s or Fitch* Use notching practice set forth in clause (vi) No notching permitted

CMBS Credit Tenant Lease Securities

Use notching practice set forth in clause (vi) No notching permitted

CMBS Large Loan Securities

*

For example, if a CMBS Conduit Security is rated “AAA” by Standard & Poor’s and/or Fitch, such security will be assigned a Moody’s Rating of “Aa1/Aa2” (1.5 rating subcategories below “Aaa”) and a Moody’s Rating Factor of “15.”

(v) with respect to CMBS Credit Tenant Lease Securities, Corporate Guaranteed Securities, corporate debt securities, Insurance Company Guaranteed Securities or REIT Debt Securities, if such securities or obligations are not rated by Moody’s but another security or obligation of the obligor (an “other security”) is rated by Moody’s, and no rating has been assigned in accordance with clause (i), the Moody’s Rating of such Collateral Debt Security will be determined as follows:

203

(a)

if such security or obligation is a senior secured obligation of the obligor and the other security is also a senior secured obligation, the Moody’s Rating of such Collateral Debt Security will be the rating of the other security; if such security or obligation is a senior unsecured obligation of the obligor and the other security is a senior secured obligation, the Moody’s Rating of such Collateral Debt Security will be one rating subcategory below the rating of the other security; if such security or obligation is a subordinated obligation of the obligor and the other security is a senior secured obligation: (1) (2) rated “Ba3” or higher by Moody’s, the Moody’s Rating of such security or obligation will be three rating subcategories below the rating of the other security; or rated “B1” or lower by Moody’s, the Moody’s Rating of such security or obligation will be two rating subcategories below the rating of the other security;

(b)

(c)

(d)

if such security or obligation is a senior secured obligation of the obligor and the other security is a senior unsecured obligation: (1) (2) rated “Baa3” or higher by Moody’s, the Moody’s Rating of such security or obligation will be the rating of the other security; or rated “Ba1” or lower by Moody’s, the Moody’s Rating of such security or obligation will be one rating subcategory above the rating of the other security;

(e)

if such security or obligation is a senior unsecured obligation of the obligor and the other security is also a senior unsecured obligation, the Moody’s Rating of such obligor will be the rating of the other security; if such security or obligation is a subordinated obligation of the obligor and the other security is a senior unsecured obligation: (1) (2) rated “B1” or higher by Moody’s, the Moody’s Rating of such security or obligation will be two rating subcategories below the rating of the other security; or rated “B2” or lower by Moody’s, the Moody’s Rating of such security or obligation will be one rating subcategory below the rating of the other security;

(f)

(g)

if such security or obligation is a senior secured obligation of the obligor and the other security is a subordinated obligation: (1) (2) (3) rated “Baa3” or higher by Moody’s, the Moody’s Rating of such security or obligation will be one rating subcategory above the rating of the other security; rated below “Baa3” but not rated “B3” by Moody’s, the Moody’s Rating of such security or obligation will be two rating subcategories above the rating of the other security; or rated “B3” by Moody’s, the Moody’s Rating of such security or obligation will be “B2”;

(h)

if such security or obligation is a senior unsecured obligation of the obligor and the other security is a subordinated obligation: (1) rated “Baa3” or higher by Moody’s, the Moody’s Rating of such security or obligation will be one rating subcategory above the rating of the other security;

204

(2) (i)

rated “Ba1” or lower by Moody’s, the Moody’s Rating of such security or obligation will be one rating subcategory above the rating of the other security;

if the Collateral Debt Security is a subordinated obligation of the obligor and the other security is also a subordinated obligation, the Moody’s Rating of such obligation will be the rating of the other security;

(vi) with respect to CMBS Credit Tenant Lease Securities, Corporate Guaranteed Securities, corporate debt securities, Insurance Company Guaranteed Securities, REIT Debt Securities, or corporate obligations issued by U.S., U.K. or Canadian obligors or by any other Qualifying Foreign Obligor, if such security or obligation is not rated by Moody’s, and no other security or obligation of the obligor is rated by Moody’s, then the Moody’s Rating of such security or obligation may be determined using any one of the methods below: (a) (1) if such security or obligation is rated by Standard & Poor’s, then the Moody’s Rating of such security or obligation will be (x) one subcategory below the Moody’s equivalent of the rating assigned by Standard & Poor’s if such security is rated “BBB-” or higher by Standard & Poor’s and (y) two subcategories below the Moody’s equivalent of the rating assigned by Standard & Poor’s if such security is rated “BB+” or lower by Standard & Poor’s; and if such security or obligation is not rated by Standard & Poor’s but another security or obligation of the obligor is rated by Standard & Poor’s (a “parallel security”), then the Moody’s equivalent of the rating of such parallel security will be determined in accordance with the methodology set forth in subclause (a)(1) above, and the Moody’s Rating of such security or obligation will be determined in accordance with the methodology set forth in clause (v) above (for such purpose treating the parallel security as if it were rated by Moody’s at the rating determined pursuant to this subclause (2));

(2)

(b)

if such security or obligation is not rated by Moody’s or Standard & Poor’s, and no other security or obligation of the obligor is rated by Moody’s or Standard & Poor’s, then the Issuer or the Collateral Manager on behalf of the Issuer, may present such security or obligation to Moody’s for an estimate of such Collateral Debt Security’s rating factor, from which its corresponding Moody’s rating may be determined, which will be its Moody’s Rating; with respect to a CMBS Credit Tenant Lease Security, Corporate Guaranteed Security, corporate debt security, Insurance Company Guaranteed Security, REIT Debt Security or obligation in each case issued by a U.S. corporation, if (1) neither the obligor nor any of its affiliates is subject to reorganization or bankruptcy proceedings, (2) no debt securities or obligations of the obligor are in default, (3) neither the obligor nor any of its affiliates have defaulted on any debt during the past two years, (4) the obligor has been in existence for the past five years, (5) the obligor is current on any cumulative dividends, (6) the fixed-charge ratio for the obligor exceeds 125% for each of the past two fiscal years and for the most recent quarter, (7) the obligor had a net profit before tax in the past fiscal year and the most recent quarter and (8) the annual financial statements of the obligor are unqualified and certified by a firm of independent accountants of national reputation, and quarterly statements are unaudited but signed by a corporate officer, the Moody’s Rating of such security or obligation will be “B3”; with respect to a CMBS Credit Tenant Lease Security, Corporate Guaranteed Security, corporate debt security, Insurance Company Guaranteed Security, REIT Debt Security or obligation in each case issued by a non-U.S. obligor, if (1) neither the obligor nor any of its affiliates is subject to reorganization or bankruptcy proceedings and (2) no debt security or obligation of the obligor has been in default during the past two years, the Moody’s Rating of such Collateral Debt Security will be “Caa2:” and if a debt security or obligation of the obligor has been in default during the past two years, the Moody’s Rating of such Collateral Debt Security will be “Ca”;

(c)

(d)

(e)

(vii) notwithstanding the foregoing, if a Collateral Debt Security’s Moody’s Rating is based on a Standard & Poor’s rating as provided in any of the foregoing subparagraphs and such Collateral Debt Security is on 205

downgrade watch by Standard & Poor’s, then the Moody’s Rating of such Collateral Debt Security will be one rating subcategory below the Moody’s Rating otherwise determined in accordance with the foregoing subparagraphs; if a Collateral Debt Security’s Moody’s Rating is based on a Moody’s rating as provided in any of the foregoing subparagraphs and such Collateral Debt Security is on downgrade watch by Moody’s, then the Moody’s Rating of such Collateral Debt Security will be one rating subcategory (or, in the case of CDO Securities with a Moody’s rating below “A3,” two rating subcategories) below the Moody’s Rating otherwise determined in accordance with the foregoing subparagraphs; if a Collateral Debt Security’s Moody’s Rating is based on a Fitch rating as provided in any of the foregoing subparagraphs and such Collateral Debt Security is on downgrade watch by Fitch, then the Moody’s Rating of such Collateral Debt Security will be one rating subcategory below the Moody’s Rating otherwise determined in accordance with the foregoing subparagraphs; (viii) notwithstanding the foregoing, if a Collateral Debt Security’s Moody’s Rating is based on a Standard & Poor’s rating as provided in any of the foregoing subparagraphs and such Collateral Debt Security is on upgrade watch by Standard & Poor’s, then the Moody’s Rating of such Collateral Debt Security will be one rating subcategory above the Moody’s Rating otherwise determined in accordance with the foregoing subparagraphs; if a Collateral Debt Security’s Moody’s Rating is based on a Moody’s rating as provided in any of the foregoing subparagraphs and such Collateral Debt Security is on upgrade watch by Moody’s, then the Moody’s Rating of such Collateral Debt Security will be one rating subcategory above the Moody’s Rating otherwise determined in accordance with the foregoing subparagraphs; if a Collateral Debt Security’s Moody’s Rating is based on a Fitch rating as provided in any of the foregoing subparagraphs and such Collateral Debt Security is on upgrade watch by Fitch, then the Moody’s Rating of such Collateral Debt Security will be one rating subcategory above the Moody’s Rating otherwise determined in accordance with the foregoing subparagraphs; (ix) notwithstanding the foregoing, if a Collateral Debt Security’s Moody’s Rating is based on a Standard & Poor’s rating and a Fitch rating, then the lower of the two ratings will apply to such Collateral Debt Security and the Moody’s Rating of such Collateral Debt Security will be one-half rating subcategory above. If a Collateral Debt Security is not permitted to be based on a Fitch rating, then the Moody’s Rating of such Collateral Debt Security will be based on the Standard & Poor’s rating only; provided that (1) the aggregate principal balance of Collateral Debt Securities that may be given a Moody’s Rating based on a Standard & Poor’s rating and/or Fitch rating as provided in any of the foregoing subparagraphs may not exceed 15% of the aggregate principal balance of all the Collateral Debt Securities and Eligible Investments representing Principal Proceeds or Uninvested Proceeds, (2) the aggregate principal balance of Collateral Debt Securities not rated by Moody’s that are rated by only one of Standard & Poor’s or Fitch that may be given Moody’s Rating based on a Standard & Poor’s rating or Fitch rating as provided in any of the foregoing subparagraphs may not exceed 10% of the aggregate principal balance of all the Collateral Debt Securities and Eligible Investments representing Principal Proceeds or Uninvested Proceeds, (3) the aggregate principal balance of Collateral Debt Securities not rated by Moody’s that are rated by only Standard & Poor’s that may be given Moody’s Rating based on a Standard & Poor’s rating as provided in any of the foregoing subparagraphs may not exceed 7.5% of the aggregate principal balance of all the Collateral Debt Securities and Eligible Investments representing Principal Proceeds or Uninvested Proceeds, (4) the aggregate principal balance of Collateral Debt Securities not rated by Moody’s that are rated by only Fitch that may be given Moody’s Rating based on a Fitch rating as provided in any of the foregoing subparagraphs may not exceed 7.5% of the aggregate principal balance of all the Collateral Debt Securities and Eligible Investments representing Principal Proceeds or Uninvested Proceeds, (5) the aggregate principal balance of Net Interest Margin Securities that may be given a Moody’s Rating based on a rating by Standard & Poor’s or Fitch, may not exceed 0% of the aggregate principal balance of all the Collateral Debt Securities and Eligible Investments representing Principal Proceeds or Uninvested Proceeds, and (6) if a Collateral Debt Security (x) has a Moody’s Rating of “Aaa” and is placed on a watch list for possible downgrade by Moody’s, the Moody’s Rating applicable to such Collateral Debt Security will be one rating subcategory below the Moody’s Rating applicable to such Collateral Debt Security immediately prior to such Collateral Debt Security being placed on such watch list and (y) has a Moody’s Rating of “Aa1” or below by Moody’s and is placed on a watch list for possible downgrade by Moody’s, the Moody’s Rating applicable to such Collateral Debt Security will be two rating subcategories below the Moody’s Rating applicable to such Collateral Debt Security immediately prior to such Collateral Debt Security being placed on such watch list.

206

SCHEDULE D INDEX OF DEFINED TERMS Page 25% Threshold.......................................................135 Accelerated Maturity Date.................................23, 74 Account Agreement...............................................154 Accredited Investor....................................................v Administration Agreement ......................................90 Administrative Expenses .......................................154 Administrator...........................................................90 Advisers Act ..............................................................2 Affected Class .........................................................11 Affiliate .................................................................154 Aggregate Attributable Amount ............................154 Aggregate Ramp-Up Par Amount ...........................88 Aggregate Weighted Average Price ......................155 Aircraft Securities..................................................155 Applicable Procedures.............................................70 Applicable Recovery Rate .....................................155 Asset Hedge Agreement ........................................156 Asset Hedge Counterparty.....................................157 Asset-Backed Security...........................................156 Auction ....................................................................53 Auction Call Distribution Date ................................10 Auction Call Redemption ........................................54 Auction Call Redemption Amount ........................157 Auction Date............................................................10 Auction Procedures..................................................53 Automobile Securities ...........................................157 Available Redemption Funds ..........................23, 157 Average Life..........................................................104 Base Rate ...............................................................158 Base Rate Reference Bank.....................................158 Basis Swap.......................................................42, 107 Benchmark Rate ....................................................158 Business Day .........................................................158 Calculation Agent ....................................................49 Calculation Amount...............................................158 Car Rental Fleet Securities ....................................158 Catastrophe Bonds.................................................159 cause ......................................................................126 CDO Combination Security...................................159 CDO of CDO Securities ........................................159 CDO of Rated Equity ............................................159 CDO Securities ......................................................159 CDO Securities—High Grade ...............................159 CDO Securities—Investment Grade Corporate.....159 CFC .......................................................................131 Chassis Leasing Securities.....................................160 Class ..........................................................................1 Class A Break-Even Default Rate .........................160 Class A Loss Differential.......................................160 207 Class A Notes ........................................................160 Class A Overcollateralization Ratio ........................63 Class A Overcollateralization Test ..........................64 Class A Scenario Default Rate ..............................160 Class A1 Extended Notes ......................................110 Class A1 Final Distribution Date...........................160 Class A1 Notes ...........................................................i Class A1 Spread ....................................................160 Class A2 Notes ...........................................................i Class B Break-Even Default Rate..........................161 Class B Coverage Tests ...........................................64 Class B Interest Coverage Ratio ..............................64 Class B Interest Coverage Test................................64 Class B Loss Differential.......................................161 Class B Notes .............................................................i Class B Overcollateralization Ratio.........................64 Class B Overcollateralization Test ..........................64 Class B Scenario Default Rate...............................161 Class C Break-Even Default Rate..........................161 Class C Coverage Tests ...........................................64 Class C Deferred Interest...........................................5 Class C Interest Coverage Ratio ..............................64 Class C Interest Coverage Test................................65 Class C Loss Differential.......................................161 Class C Notes .............................................................i Class C Overcollateralization Ratio.........................64 Class C Overcollateralization Test ..........................64 Class C Scenario Default Rate...............................161 Class D Break-Even Default Rate .........................161 Class D Deferred Interest ..........................................5 Class D Loss Differential.......................................161 Class D Notes .............................................................i Class D Overcollateralization Ratio ........................65 Class D Overcollateralization Test ..........................65 Class D Scenario Default Rate ..............................161 Clean-Up Call Redemption....................................162 Clean-Up Call Trigger .............................................54 Clean-Up Call Trigger Date.....................................10 Clearstream..............................................................16 CLO Securities ......................................................162 Closing Date ...............................................................i CMBS Conduit Securities .....................................162 CMBS Credit Tenant Lease Securities ..................162 CMBS Large Loan Securities................................163 CMBS Securities .............................................34, 163 Code.......................................................................127 Collateral ...........................................................11, 92 Collateral Administration Agreement....................163 Collateral Administrator ........................................163

Collateral Debt Security ........................................163 Collateral Management Agreement ...........................2 Collateral Management Fee...................................123 Collateral Manager .........................................i, 2, 120 Collateral Manager Breach ....................................124 Collateral Manager Information ............................164 Collateral Manager Securities................................164 Collateral Quality Test Modification.......................78 Collateral Quality Tests .........................................101 Collateralization Event ..........................................164 Collection Accounts ..............................................113 Combined Trade ......................................................95 Commitment Termination Date .............................164 Company................................................................134 Consumer ABS Securities .....................................164 Container Leasing Securities .................................164 Controlling Class ...................................................165 Controlling Person.................................................135 Co-Placement Agent...................................................i Co-Remarketing Agent.......................................i, 112 Corporate Guaranteed Securities ...........................165 Credit Card Securities............................................165 Credit Improved Security ......................................165 Credit Risk Security...............................................166 Dealer Floorplan Securities ...................................166 Declaration of Trust.................................................90 Default ...................................................................167 Defaulted Interest ..................................................167 Defaulted Security .................................................167 Defaulted Synthetic Security .................................168 Defeased Synthetic Security ..................................168 Deferred Interest PIK Bond ...................................169 Definitive Notes.......................................................67 Deliverable Obligation ..........................................169 Designated Maturity ..............................................170 Determination Date................................................170 Directors .................................................................. iii Discount Security ..................................................170 Disqualified Persons ..............................................135 Disregarded Securities...........................................170 Distribution Date .................................................3, 48 Dollars ......................................................................vi Downgrade Event ..................................................170 DTC ......................................................................i, 16 Due Period .............................................................171 Eligibility Criteria....................................................93 Eligible Bidder.........................................................65 Eligible Country ....................................................171 Eligible Investments ..............................................113 Emerging Market Issuer ........................................171 Entertainment Securities........................................172 Equipment Leasing Securities ...............................172 Equity Security ......................................................105 ERISA ...................................................................134 ERISA Plans..........................................................134 Euroclear..................................................................16 208

Exchange Act.............................................................x Excluded Securities ...............................................172 Expense Account ...................................................116 Fannie Mae ..............................................................29 Final Distribution Date ..........................................172 Financial Regulator................................................... ii Firm Bid ..................................................................66 Fitch.......................................................................173 Fixed Rate Excess..................................................104 Fixed Rate Security ...............................................173 Floating Rate Security ...........................................173 Flow-Through Investment Vehicle........................144 Form Approved Synthetic Security .......................173 Franchise Securities...............................................173 Freddie Mac.............................................................29 Future Flow Securities...........................................173 Global Notes............................................................67 HarbourView ..................................................i, 2, 120 Healthcare Securities .............................................173 Hedge Agreements ................................................107 Hedge Counterparty...............................................173 Hedge Counterparty Collateral Account................109 Hedge Counterparty Ratings Requirement ............174 Hybrid Security .....................................................174 Incentive Management Fee....................................123 Indemnified Person................................................124 Indenture.....................................................................i Indenture Event of Default ......................................72 Initial Hedge Agreements ......................................107 Initial Hedge Counterparty ....................................107 Initial Purchaser..........................................................i Insurance-Linked Securities ..................................174 Interest Collection Account ...................................113 Interest Coverage Numerator.................................174 Interest Coverage Ratios........................................175 Interest Coverage Tests .................................165, 175 Interest Distribution Amount.................................175 Interest Only Security............................................175 Interest Period........................................................175 Interest Proceeds....................................................175 Interest Rate Swap ...........................................42, 107 Interest Release Amounts ......................................177 Interest Reserve Account.......................................116 Interest Reserve Amount .......................................177 Internal Rate of Return ..........................................177 Inventory Financing Securities ..............................177 Inverse Floating Rate Security...............................177 Investment Company Act ....................................v, 67 Investment Grade...................................................177 Investment Vehicles ................................................43 Investor Application Letter.................................i, 177 IRA ........................................................................135 Irish Paying Agent ...................................................17 Irish Stock Exchange ................................................ ii IRS.........................................................................127 Issue of Collateral Debt Securities.........................177

Issuer ......................................................................i, 2 Issuer Documents ..................................................177 Legend .....................................................................70 Liabilities...............................................................124 LIBOR ...................................................................... ii LIBOR Determination Date.....................................50 Listing Agent ...........................................................17 London Banking Day.............................................178 Lottery Receivable Securities ................................178 Majority .................................................................178 Managed ................................................................178 Manager Parties .....................................................178 Manufactured Housing Securities..........................178 Market Value CDO Securities ...............................178 Maximum Class A1 Spread ...................................179 Measurement Date.................................................179 Mezzanine Notes ...................................................129 Mizuho Information...............................................179 MM Reissuance Date.............................................179 MM Reset Period............................................ ii, 4, 48 MM Stated Maturity ..................................................6 Monthly Asset Amount .........................................179 Monthly Distribution Date.............................. ii, 3, 48 Moody’s................................................................i, 15 Moody’s Asset Correlation Factor.........................102 Moody’s Asset Correlation Test............................101 Moody’s Maximum Rating Factor Test.................102 Moody’s Minimum Weighted Average Recovery Rate Test...........................................102 Moody’s Rating .............................................102, 179 Moody’s Rating Factor..........................................102 Moody’s Weighted Average Rating Factor ...........102 Moody’s Weighted Average Recovery Rate .........102 Multi Reference Synthetic Securities ....................179 Mutual Fund Securities..........................................179 NASD ......................................................................44 Natural Resource Receivables Securities ..............180 Negative Amortization Security ............................180 Net Interest Margin Securities ...............................180 Net Outstanding Portfolio Collateral Balance .......180 Non-U.S. Structured Finance Security ..................201 Note Register ...........................................................69 Note Registrar..........................................................69 Note Valuation Report.............................................81 Noteholders..............................................................19 Notes...................................................................i, 181 Obligor...................................................................181 Offer ......................................................................181 Offering ....................................................................iv Prospectus...................................................................i OFI.........................................................................120 OID........................................................................129 Oil and Gas Securities ...........................................181 Oppenheimer .........................................................120 Optional Redemption...............................................10 Original Purchasers..................................................15 209

Other Indebtedness ................................................167 Overcollateralization Haircut Amount...................181 Overcollateralization Ratios ..................................182 Overcollateralization Test Modification..................78 Overcollateralization Tests ....................................182 Participants ..............................................................70 Parties In Interest ...................................................135 Paying Agent .....................................................17, 57 Payment Account...................................................115 PFIC.......................................................................130 PFIC Annual Information Statement .....................131 PIK Bond ...............................................................182 Placement Agent.........................................................i Placement Agents .......................................................i Plan Asset Regulation............................................135 Plans ......................................................................135 Portfolio Concentration Limitation..........................95 pre-amendment beneficial owners .........................140 Principal Collection Account.................................113 Principal Only Security .........................................182 Principal Proceeds .................................................182 Priority of Payments ................................................58 Pro Rata Payment Condition .................................183 prohibited transactions...........................................135 Project Finance Securities......................................183 Promissory Notes...................................................119 Prospectus Directive ................................................. ii Purchase and Placement Agreement......................137 Pure Private Collateral Debt Security....................184 Put Agreement .........................................................12 Put Agreement Settlement Date.......................89, 184 Put Counterparty......................................................12 Put Counterparty Acquired Notes..............................6 Put Counterparty Lender .........................................40 Put Loan Agreement..............................................110 Put Option Fee.......................................................110 Put Termination Reissuance Date..........................111 QEF .......................................................................130 Qualified Bidder List .............................................184 Qualified Bidder Ratings Requirement..................184 Qualified Bidders...................................................184 Qualified Institutional Buyers..................................67 qualified professional asset manager .....................135 Qualified Purchaser .............................................v, 67 Qualifying Foreign Obligor ...................................184 Qualifying Investment Vehicle..............................144 Quarterly Asset Amount........................................184 Quarterly Distribution Date ............................ ii, 3, 48 Quarterly Tender Date ...............................................6 Quarterly-Pay Security ..........................................185 Ramp-Up Completion Date .............................52, 185 Ramp-Up Notice......................................................23 Rating ....................................................................185 Rating Agencies....................................................i, 15 Rating Condition ...................................................185 Rating Confirmation ..........................................23, 89

Rating Confirmation Failure....................................23 Rating Confirmation Failure Redemption ...............52 Receivable Interests...............................................119 Record Date .............................................................57 Recreational Vehicle/Boat Securities ....................185 Redemption Date .....................................................56 Redemption Price ....................................................57 Reference Banks ....................................................186 Reference Dealers..................................................186 Reference Index.....................................................186 Reference Obligation.............................................186 Reference Obligor..................................................186 Refinancing..............................................................55 Refinancing Proceeds ..............................................55 Registered ..............................................................186 Regulation S ...............................................................i Regulation S Global A/B/C Notes ...........................16 Regulation S Global Class D Notes.........................16 Regulation S Global Notes ................................16, 66 Regulation S Global Securities................................85 Regulation S Global Subordinated Notes ..........16, 85 Regulation U..........................................................186 Reinvestment Period..............................................186 REIT Debt Securities.............................................187 Relevant Distribution Date ....................................187 Remarketing Account ............................................116 Remarketing Agent.............................................i, 112 Remarketing Agent Breach....................................113 Remarketing Agents ...........................................i, 112 Remarketing Agreement..........................................13 Remarketing Notice.................................................65 Residential Midprime Mortgage Securities ...........187 Residential Prime Mortgage Securities..................187 Residential Subprime Mortgage Securities............188 Restaurant and Food Services Securities ...............188 Restricted Class D Notes ...................................16, 67 Restricted Global Note ......................................16, 67 Restricted Notes.....................................................189 Restricted Securities ..............................................189 Restricted Subordinated Notes ..........................17, 85 Retained Defaulted Securities................................106 RMBS Agency Securities ......................................189 RMBS Cap Floater Security ..................................189 RMBS Securities .............................................29, 189 Rule 144A................................................................67 S&P ............................................................................i Scheduled Subordinated Note Redemption Date.......................................................................6 SEC..........................................................................44 Secured Parties ..........................................................1 Securities ....................................................................i Securities Act..............................................................i Senior........................................................................ ii Senior Collateral Management Fee .......................123 Senior Notes ..........................................................129 Senior Overcollateralization Default .......................73 210

Servicer..................................................................189 Settlement Failure..................................................109 Settlement Failure Reissuance Date ......................109 SFCMGT ...............................................................119 Share Trustee ...........................................................90 Similar Law ...................................................135, 143 Small Business Loan Securities.............................189 Special Purpose Vehicle Jurisdiction.....................190 Specified Types .....................................................190 Spread Excess........................................................103 SRFP......................................................................119 Stadium Receivables Securities.............................190 Standard & Poor’s ................................................i, 15 Standard & Poor’s CDO Monitor ..........................105 Standard & Poor’s CDO Monitor Test ..................105 Standard & Poor’s Current Portfolio .....................190 Standard & Poor’s Minimum Weighted Average Recovery Rate Test ............................104 Standard & Poor’s Proposed Portfolio...................190 Standard & Poor’s Rating..............................185, 191 Standard & Poor’s Scenario Default Rate .............192 Standard & Poor’s Weighted Average Recovery Rate...................................................104 Stated Maturity ..........................................................6 Step-Down Bond ...................................................192 Step-Up Bond ........................................................192 Structured Product CDO Securities .......................192 Structured Settlement Securities............................193 Student Loan Securities .........................................193 Subordinate............................................................... ii Subordinated Note Issuing and Paying Agency Agreement .........................................................i, 2 Subordinated Note Issuing and Paying Agent ........i, 2 Subordinated Note Rated Principal........................193 Subordinated Note Redemption Amount...............193 Subordinated Note Register.....................................86 Subordinated Note Registrar....................................86 Subordinated Noteholders ............................... iii, 194 Subordinated Notes.....................................................i Subprime Automobile Securities ...........................194 Substitution Event..................................................194 Supplemental Option Fee ......................................110 Swiss Re Information ............................................195 Synthetic CDO Securities ......................................195 Synthetic Security..................................................195 Synthetic Security Collateral .................................195 Synthetic Security Counterparty............................196 Synthetic Security Counterparty Account .............117 Synthetic Security Counterparty Defaulted Obligation .........................................................196 Synthetic Security Issuer Account.........................118 Tax Counsel...........................................................128 Tax Event.................................................................55 Tax Lien Securities................................................197 Tax Materiality Condition .......................................55 Tax Redemption ......................................................11

Tender Notice ............................................................6 Tendered Class A1 Note........................................197 Term Note State Maturity..........................................6 Timeshare Securities..............................................197 Tobacco Litigation Securities ................................197 Total Senior Redemption Amount...........................56 Transfer Agent.........................................................69 Transparency Directive............................................46 Trust Preferred CDO Securities.............................197 Trustee ........................................................................i U.S. Dollars ..............................................................vi U.S. Person ................................................................v U.S. Shareholder....................................................131 U.S.$.........................................................................vi UBTI......................................................................132 UCC.......................................................................198

Underlying Instruments .........................................198 Undiversified ABS Securities................................199 Uninvested Proceeds..............................................198 Uninvested Proceeds Account ...............................115 USA PATRIOT Act.................................................44 Warehouse Provider ................................................27 WCMC ............................................................44, 119 Weighted Average Coupon....................................103 Weighted Average Coupon Test............................102 Weighted Average Life .........................................104 Weighted Average Life Test..................................104 Weighted Average Spread .....................................103 Weighted Average Spread Test .............................103 Written-Down Security..........................................198 Zero Coupon Bond ................................................198

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PRINCIPAL OFFICE OF THE ISSUER AArdvark ABS CDO 2007-1 c/o Walkers SPV Limited Walker House 87 Mary Street, George Town, Grand Cayman, KY1-9002 Cayman Islands

TRUSTEE, NOTE PAYING AGENT, NOTE REGISTRAR, SUBORDINATED NOTE ISSUING AND PAYING AGENT, COLLATERAL ADMINISTRATOR AND CALCULATION AGENT Deutsche Bank Trust Company Americas 1761 East St. Andrew Place Santa Ana, California 92705 IRISH PAYING AGENT AND LISTING AGENT IN IRELAND Irish Paying Agent Custom House Administration & Corporate Services Ltd. 25 Eden Quay Dublin 1, Ireland Irish Listing Agent Arthur Cox Listing Services Limited Earlsfort Centre Earlsfort Terrace Dublin 2, Ireland

LEGAL ADVISORS To the Issuer As to New York Law Stroock & Stroock & Lavan LLP 180 Maiden Lane New York, New York 10038 As to Cayman Islands Law Walkers, Attorneys at Law Walker House 87 Mary Street George Town, Grand Cayman KY1-9002 Cayman Islands To the Collateral Manager Stroock & Stroock & Lavan LLP 180 Maiden Lane New York, New York 10038

To the Placement Agents, the Initial Purchaser, the Put Counterparty and the Remarketing Agents Cadwalader, Wickersham & Taft LLP 227 West Trade Street Charlotte, North Carolina 28202

To the Trustee Sonnenschein Nath & Rosenthal LLP 601 South Figueroa Street Los Angeles, California 90017

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