STAtic ResidenTial CDO 2005-C Ltd. STAtic ResidenTial CDO 2005-C Corp.

Up to U.S.$325,000,000 Class A-1 Variable Funding Notes Due 2038 U.S.$59,500,000 Class A-2 Floating Rate Notes Due 2038 U.S.$44,000,000 Class B Floating Rate Notes Due 2038 U.S.$17,500,000 Class C Deferrable Interest Floating Rate Notes Due 2038 U.S.$23,000,000 Class D Deferrable Interest Floating Rate Notes Due 2038 U.S.$10,000,000 Class E Deferrable Interest Floating Rate Notes Due 2038
STAtic ResidenTial CDO 2005-C Ltd., an exempted company incorporated with limited liability under the laws of the Cayman Islands (the "Issuer"), and STAtic ResidenTial CDO 2005-C Corp., a Delaware corporation (the "Co-Issuer" and, together with the Issuer, the "Co-Issuers"), will issue up to U.S.$325,000,000 Class A-1 Variable Funding Notes due 2038 consisting of a Class A-1 F Floating Rate Variable Funding Note and a Class A-1 U Fixed Rate Variable Funding Note, as further described herein (collectively, the "Class A-1 Notes"), and will issue U.S.$59,500,000 Class A-2 Floating Rate Notes due 2038 (the "Class A-2 Notes" and, together with the Class A-1 Notes, the "Class A Notes"), U.S.$44,000,000 Class B Floating Rate Notes due 2038 (the "Class B Notes"), U.S.$17,500,000 Class C Deferrable Interest Floating Rate Notes due 2038 (the "Class C Notes"), U.S.$23,000,000 Class D Deferrable Interest Floating Rate Notes due 2038 (the "Class D Notes") and U.S.$10,000,000 Class E Deferrable Interest Floating Rate Notes due 2038 (the "Class E Notes" and, together with the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes, the "Notes"). The Notes will be issued and secured pursuant to an Indenture (the "Indenture") dated as of January 20, 2006 (the "Closing Date") among the Issuer, the Co-Issuer and LaSalle Bank National Association, as trustee (the "Trustee"). Concurrently with the issuance of the Notes, the Issuer will issue U.S.$21,000,000 Aggregate Outstanding Amount of its Class F Subordinated Notes (the "Class F Subordinated Notes"). The Class F Subordinated Notes are not being offered hereby. Concurrently with the issuance of the Notes, the Issuer will enter into multiple Credit Default Swap transactions (each, a "Credit Default Swap" and, together, the "Credit Default Swap Portfolio") with Deutsche Bank Aktiengesellschaft ("Deutsche Bank AG") acting through its London Branch ("Deutsche Bank AG London") (in any capacity described herein, the "Bank" and, in its capacity as Credit Default Swap counterparty, the "Credit Default Swap Counterparty"). Each Credit Default Swap will reference a notional principal amount of a Residential ABS Security (as defined herein) (each such referenced obligation, a "Reference Obligation"), whereby the Issuer will assume credit and interest rate risk with respect to each Reference Obligation. The Initial Credit Default Swap Portfolio Notional Amount, together with Principal Proceeds deposited in the Principal Collection Subaccount on the Closing Date, will total U.S.$500,000,000. It is a condition to the issuance of the Notes that the Class A Notes be rated "Aaa" by Moody's Investors Service, Inc. ("Moody's") and "AAA" by Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc. ("Standard & Poor's" and, together with Moody's, in each case for so long as such entity is rating a then outstanding Class of Notes, the "Rating Agencies"), that the Class B Notes be rated at least "Aa1" by Moody's and at least "AA+" by Standard & Poor's, that the Class C Notes be rated at least "Aa3" by Moody's and at least "AA-" by Standard & Poor's, that the Class D Notes be rated at least "A2" by Moody's and at least "A-" by Standard & Poor's and that the Class E Notes be rated at least "Baa2" by Moody's and at least "BBB" by Standard & Poor's. Application has been made to the Irish Financial Services Regulatory Authority, as competent authority under Directive 2003/71/EC (the "Prospectus Directive"), for the Prospectus to be approved. Application has been made to the Irish Stock Exchange for the Notes to be admitted to the Official List and trading on its regulated market. This document constitutes a prospectus for the purposes of the Prospectus Directive. SEE "RISK FACTORS" IN THIS PROSPECTUS FOR A DESCRIPTION OF CERTAIN FACTORS AND RISKS THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE NOTES. THE NOTES ARE LIMITED RECOURSE OBLIGATIONS OF THE CO-ISSUERS, PAYABLE SOLELY FROM THE COLLATERAL DESCRIBED HEREIN. THE NOTES DO NOT REPRESENT AN INTEREST IN OR OBLIGATIONS OF, AND ARE NOT INSURED OR GUARANTEED BY THE TRUSTEE, THE INITIAL PURCHASER, THE CREDIT DEFAULT SWAP COUNTERPARTY OR ANY OF THEIR RESPECTIVE AFFILIATES. THE NOTES 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 NOTES ARE BEING OFFERED (A) IN THE UNITED STATES IN RELIANCE UPON AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT PURSUANT TO RULE 144A UNDER THE SECURITIES ACT ("RULE 144A") TO "QUALIFIED INSTITUTIONAL BUYERS" (AS DEFINED IN RULE 144A) THAT ARE QUALIFIED PURCHASERS AND (B) OUTSIDE THE UNITED STATES TO PERSONS WHO ARE NOT U.S. PERSONS (AS DEFINED IN REGULATION S) IN OFFSHORE TRANSACTIONS IN RELIANCE ON REGULATION S ("REGULATION S") UNDER THE SECURITIES ACT AND, IN EACH CASE, IN ACCORDANCE WITH APPLICABLE LAWS. THE NOTES ARE SUBJECT TO RESTRICTIONS ON TRANSFERABILITY AND RESALE. SEE "TRANSFER RESTRICTIONS". The Notes are offered by Deutsche Bank Securities Inc., as initial purchaser (the "Initial Purchaser"), subject to prior sale when, as and if issued. The Initial Purchaser reserves the right to withdraw, cancel or modify such offer and to reject orders in whole or in part. It is expected that the Notes will be delivered on or about the Closing Date through the facilities of The Depository Trust Company ("DTC") against payment therefor in same-day funds.

Deutsche Bank Securities

The date of this Prospectus is July 7, 2006

(cover continued) The Notes offered by the Co-Issuers in the United States will be offered in reliance on an exemption from the registration requirements of the Securities Act and will be represented by one or more global notes (the "Rule 144A Global Notes") in fully registered form without interest coupons deposited with, and registered in the name of, DTC (or its nominee). The Notes offered by the Co-Issuers outside the United States will be offered in reliance upon Regulation S under the Securities Act and will be represented by one or more permanent global notes (the "Regulation S Global Notes") in fully registered form without interest coupons deposited with, and registered in the name of, DTC (or its nominee), initially for the accounts of Euroclear Bank S.A./N.V., as operator of the Euroclear system ("Euroclear"), and/or Clearstream Banking, socit anonyme ("Clearstream"). Except in the limited circumstances described herein, certificated Notes will not be issued in exchange for beneficial interests in a global note. See "Description of the NotesForm, Denomination, Registration and Transfer". _________________________ THE DISTRIBUTION OF THIS PROSPECTUS AND THE OFFER OR SALE OF NOTES MAY BE RESTRICTED BY LAW IN CERTAIN JURISDICTIONS. NONE OF THE ISSUER, THE CO-ISSUER OR THE INITIAL PURCHASER REPRESENTS THAT THIS DOCUMENT MAY BE LAWFULLY DISTRIBUTED, OR THAT ANY NOTES MAY BE LAWFULLY OFFERED, IN COMPLIANCE WITH ANY APPLICABLE REGISTRATION OR OTHER REQUIREMENTS IN ANY SUCH JURISDICTION, OR PURSUANT TO AN EXEMPTION AVAILABLE THEREUNDER, OR ASSUME ANY RESPONSIBILITY FOR FACILITATING ANY SUCH DISTRIBUTION OR OFFERING. IN PARTICULAR, NO ACTION HAS BEEN TAKEN BY THE ISSUER, THE CO-ISSUER OR THE INITIAL PURCHASER WHICH WOULD PERMIT A PUBLIC OFFERING OF ANY NOTES OR DISTRIBUTION OF THIS DOCUMENT IN ANY JURISDICTION WHERE ACTION FOR THAT PURPOSE IS REQUIRED. ACCORDINGLY, NO NOTES MAY BE OFFERED OR SOLD, DIRECTLY OR INDIRECTLY, AND NEITHER THIS PROSPECTUS NOR ANY ADVERTISEMENT OR OTHER OFFERING MATERIAL MAY BE DISTRIBUTED OR PUBLISHED IN ANY JURISDICTION, EXCEPT UNDER CIRCUMSTANCES THAT WILL RESULT IN COMPLIANCE WITH ANY APPLICABLE LAWS AND REGULATIONS. PERSONS INTO WHOSE POSSESSION THIS PROSPECTUS OR ANY NOTES COME MUST INFORM THEMSELVES ABOUT AND OBSERVE ANY SUCH RESTRICTIONS. _________________________ 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 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 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 P ROSPECTIVE PURCHASER, CUSTOMER OR CLIENT ANY REPRESENTATION INCONSISTENT WITH THE PROVISIONS OF THIS PARAGRAPH. _________________________

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NOTICE TO RESIDENTS OF GERMANY THE INITIAL PURCHASER HAS CONFIRMED THAT IT WILL COMPLY WITH THE GERMAN SECURITIES SALES PROSPECTUS ACT (WERTPAPIERVERKAUFS-PROSPEKTGESETZ). IN PARTICULAR, THE INITIAL PURCHASER HAS REPRESENTED THAT IT HAS NOT ENGAGED AND AGREED THAT IT WILL NOT ENGAGE IN ANY PUBLIC OFFERING (FFENTLICHES ANGEBOT) WITHIN THE MEANING OF THE GERMAN SECURITIES SALES PROSPECTUS ACT (WERTPAPIERVERKAUFSPROSPEKTGESETZ) WITH RESPECT TO ANY NOTES OTHERWISE THAN IN ACCORDANCE WITH ALL LEGAL AND REGULATORY REQUIREMENTS APPLICABLE IN GERMANY. _________________________ 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 CO-ISSUER, THE TRUSTEE, THE CREDIT DEFAULT SWAP COUNTERPARTY, THE COLLATERAL ADMINISTRATOR OR THE INITIAL PURCHASER OR ANY OF THEIR RESPECTIVE AFFILIATES. THIS PROSPECTUS DOES NOT CONSTITUTE AN OFFER TO SELL, OR A SOLICITATION OF AN OFFER TO BUY, (A) ANY SECURITIES OTHER THAN THE NOTES OR (B) ANY OFFERED SECURITY IN ANY JURISDICTION IN WHICH IT IS UNLAWFUL FOR SUCH PERSON TO MAKE SUCH AN OFFER OR SOLICITATION. THE DISTRIBUTION OF THIS PROSPECTUS AND THE OFFERING OF THE NOTES IN CERTAIN JURISDICTIONS MAY BE RESTRICTED BY LAW. PERSONS INTO WHOSE POSSESSION THIS PROSPECTUS COMES ARE REQUIRED BY THE CO-ISSUERS 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 NOTES, IN THE UNITED STATES OF AMERICA, THE UNITED KINGDOM AND THE CAYMAN ISLANDS. SEE "PLAN OF DISTRIBUTION". NEITHER THE DELIVERY OF THIS PROSPECTUS NOR ANY SALE MADE HEREUNDER SHALL UNDER ANY CIRCUMSTANCES IMPLY THAT THERE HAS BEEN NO CHANGE IN THE AFFAIRS OF THE CO-ISSUERS OR THAT THE INFORMATION HEREIN IS CORRECT AS OF ANY DATE SUBSEQUENT TO THE DATE AS OF WHICH SUCH INFORMATION IS GIVEN HEREIN. THE CO-ISSUERS 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 OFFERED SECURITIES SOUGHT BY SUCH OFFEREE OR TO SELL LESS THAN THE AGGREGATE OUTSTANDING AMOUNT OF ANY CLASS OF NOTES. THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT OR THE SECURITIES LAWS OF ANY STATE. THE NOTES ARE TO BE PURCHASED FOR INVESTMENT ONLY AND MAY NOT BE SOLD, PLEDGED OR OTHERWISE TRANSFERRED BY AN INVESTOR DIRECTLY OR INDIRECTLY WITHIN THE UNITED STATES OR TO OR FOR THE ACCOUNT OF U.S. PERSONS (AS DEFINED IN REGULATION S) EXCEPT PURSUANT TO AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT. PROSPECTIVE PURCHASERS ARE HEREBY NOTIFIED THAT THE SELLER OF ANY NOTES MAY BE RELYING ON THE EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF SECTION 5 OF THE SECURITIES ACT PROVIDED BY RULE 144A OR ANOTHER EXEMPTION FROM THE REGISTRATION REQUIREMENTS UNDER THE SECURITIES ACT. FOR CERTAIN RESTRICTIONS ON RESALE, SEE "DESCRIPTION OF THE NOTESFORM, DENOMINATION, REGISTRATION AND TRANSFER" AND "TRANSFER RESTRICTIONS". A TRANSFER OF NOTES IS SUBJECT TO THE RESTRICTIONS DESCRIBED HEREIN, INCLUDING THAT NO SALE, PLEDGE, TRANSFER OR EXCHANGE MAY BE MADE OF A NOTE (1) EXCEPT AS PERMITTED UNDER THE SECURITIES ACT AND APPLICABLE STATE SECURITIES LAWS PURSUANT TO AN EXEMPTION FROM REGISTRATION AS DESCRIBED HEREIN, (2) EXCEPT IN COMPLIANCE WITH THE CERTIFICATION AND OTHER REQUIREMENTS, IF APPLICABLE, SET FORTH IN THE INDENTURE AND (3) IN A DENOMINATION LESS THAN THE REQUIRED MINIMUM DENOMINATION. THE NOTES ARE SUBJECT TO FURTHER RESTRICTIONS ON TRANSFER. SEE "TRANSFER RESTRICTIONS".

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NEITHER THE CO-ISSUERS NOR THE COLLATERAL HAS BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT"), BY REASON OF THE EXEMPTION FROM REGISTRATION CONTAINED IN SECTION 3(c)(7) THEREOF. NO TRANSFER OF NOTES WHICH WOULD HAVE THE EFFECT OF REQUIRING EITHER OF THE CO-ISSUERS OR THE COLLATERAL TO REGISTER AS AN INVESTMENT COMPANY UNDER THE INVESTMENT COMPANY ACT WILL BE PERMITTED. ANY TRANSFER OF A DEFINITIVE NOTE MAY BE EFFECTED ONLY ON THE NOTE REGISTER MAINTAINED BY THE NOTE REGISTRAR PURSUANT TO THE INDENTURE. ANY TRANSFER OF AN INTEREST IN A RULE 144A GLOBAL NOTE, OR A REGULATION S GLOBAL NOTE WILL BE SHOWN ON, AND TRANSFERS THEREOF WILL BE EFFECTED ONLY THROUGH, RECORDS MAINTAINED BY DTC AND ITS DIRECT AND INDIRECT PARTICIPANTS (INCLUDING, IN THE CASE OF REGULATION S GLOBAL NOTES, EUROCLEAR AND CLEARSTREAM). EACH ORIGINAL PURCHASER AND EACH SUBSEQUENT TRANSFEREE OF A NOTE WILL BE DEEMED TO REPRESENT AND WARRANT THAT EITHER (A) IT IS NOT AN "EMPLOYEE BENEFIT PLAN" AS DEFINED IN SECTION 3(3) OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED (ERISA) AND SUBJECT TO ERISA, A PLAN DESCRIBED IN SECTION 4975(e)(1) OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE") AND SUBJECT TO SECTION 4975 OF THE CODE, AN ENTITY WHICH IS DEEMED TO HOLD THE ASSETS OF ANY SUCH PLAN PURSUANT TO 29 C.F.R. SECTION 2510.3-101, WHICH PLAN OR ENTITY IS SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE, OR A GOVERNMENTAL, CHURCH, NON-U.S. OR OTHER PLAN WHICH IS SUBJECT TO ANY U.S. FEDERAL, STATE, LOCAL OR NON-U.S. LAW THAT IS SIMILAR TO THE PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE, OR (B) ITS PURCHASE, HOLDING AND DISPOSITION OF SUCH NOTE WILL NOT 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, CHURCH, NON-U.S. OR OTHER PLAN, A VIOLATION OF ANY SUBSTANTIALLY SIMILAR U.S. FEDERAL, STATE, LOCAL OR NON-U.S. LAW). ANY PURPORTED TRANSFER OF A NOTE TO A PURCHASER OR SUBSEQUENT TRANSFEREE THAT DOES NOT COMPLY WITH THE ABOVE REQUIREMENTS SHALL BE NULL AND VOID AB INITIO. THE NOTES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE UNITED STATES SECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION OR OTHER REGULATORY AUTHORITY, 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 Co-Issuers solely for use in connection with the offering of the Notes described herein (the "Offering") and for listing purposes. The Co-Issuers have taken all reasonable care to confirm that the information contained in this Prospectus is, to the best of their knowledge, 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 Co-Issuers or the Notes, 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 Co-Issuers accept responsibility accordingly. The Co-Issuers disclaim any obligation to update such information and do not intend to do so. Neither the Initial Purchaser nor any of its 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. Neither the Initial Purchaser nor any of its Affiliates has independently verified any such information or assumes any responsibility for its accuracy or completeness. Neither the Credit Default Swap Counterparty nor any of its respective Affiliates makes any representation or warranty as to, 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. Neither the Trustee nor the Collateral Administrator has participated in the preparation of this Prospectus and neither of them assumes any responsibility for its contents.

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All of the statements in this Prospectus with respect to the business of the Co-Issuers, and any financial projections or other forecasts, are based on information furnished by the Co-Issuers. See "Forward Looking Statements" and "Risk FactorsProjections, Forecasts and Estimates". Neither the Initial Purchaser nor its Affiliates assumes any responsibility for the performance of any obligations of either of the Co-Issuers or any other persons described in this Prospectus or for the due execution, validity or enforceability of the Notes, instruments or documents delivered in connection with the Notes or for the value or validity of any collateral or security interests pledged in connection therewith. 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 Deutsche Bank Securities Inc., 60 Wall Street, New York, New York 10005, Attention: Global CDO Group. Copies of such documents may also be obtained free of charge from the Irish Paying Agent located in Dublin, Ireland. The Co-Issuers will make available to any offeree of the Notes, prior to the issuance thereof, the opportunity to ask questions of and to receive answers from the Co-Issuers or a person acting on their behalf concerning the terms and conditions of the Offering, the Co-Issuers or any other relevant matters and to obtain any additional information to the extent the Co-Issuers possess such information or can obtain it without unreasonable expense. The information referred to in this paragraph will also be obtainable at the office of the Irish Paying Agent in Dublin, Ireland. Each Purchaser of a Note offered and sold in the United States will be deemed to represent that it 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. Each Purchaser of the Notes will also be deemed to acknowledge that the Notes 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 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, or (ii) in an offshore transaction in accordance with Rule 903 or 904 of Regulation S, (b) in compliance with the certification and other requirements, if applicable, set forth in the Indenture and (c) in accordance with any applicable securities laws of any state of the United States and any other relevant jurisdiction. Each Purchaser of a Note that is a U.S. resident (within the meaning of the Investment Company Act) will be deemed to represent that it or the account for which it is purchasing such Notes is a Qualified Purchaser. A "Qualified Purchaser" is (i) a "qualified purchaser" as defined in the Investment Company Act or (ii) a company beneficially owned exclusively by one or more "qualified purchasers". For a description of these and certain other restrictions on offers and sales of the Notes and distribution of this Prospectus, see "Transfer Restrictions". Although the Initial Purchaser may from time to time make a market in any Class of Notes, the Initial Purchaser is under no obligation to do so. In the event that the Initial Purchaser commences any marketmaking, the Initial Purchaser may discontinue the same at any time. There can be no assurance that a secondary market for any Class of the Notes will develop, or if a secondary market does develop, that it will provide the holders of such Class of Notes with liquidity of investment or that it will continue for the life of such Class of Notes. PROSPECTIVE INVESTORS SHOULD READ THIS PROSPECTUS CAREFULLY BEFORE DECIDING WHETHER TO INVEST IN THE NOTES AND SHOULD PAY PARTICULAR ATTENTION TO THE INFORMATION SET FORTH UNDER THE HEADING "RISK FACTORS". INVESTMENT IN THE NOTES IS SPECULATIVE AND INVOLVES SIGNIFICANT RISK. INVESTORS SHOULD UNDERSTAND SUCH RISKS AND HAVE THE FINANCIAL ABILITY AND WILLINGNESS TO ACCEPT THEM FOR AN EXTENDED PERIOD OF TIME. 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 CO-ISSUERS 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 INITIAL PURCHASER OR ANY OF ITS AFFILIATES. INVESTORS SHOULD BE AWARE THAT THEY MAY BE REQUIRED TO BEAR THE FINANCIAL RISKS OF AN INVESTMENT IN NOTES FOR AN INDEFINITE PERIOD OF TIME. NONE OF THE CO-ISSUERS, THE TRUSTEE, THE CREDIT DEFAULT SWAP COUNTERPARTY, THE COLLATERAL ADMINISTRATOR, THE INITIAL PURCHASER AND THEIR RESPECTIVE AFFILIATES MAKES ANY REPRESENTATION TO ANY OFFEREE OR PURCHASER OF NOTES 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. INVESTMENT IN THE NOTES MAY NOT BE SUITABLE FOR ALL RECIPIENTS OF THIS PROSPECTUS. NOTWITHSTANDING ANY OTHER EXPRESS OR IMPLIED AGREEMENT TO THE CONTRARY, THE ISSUER, THE INITIAL PURCHASER AND EACH RECIPIENT HEREOF AGREE THAT EACH OF THEM AND EACH OF THEIR EMPLOYEES, REPRESENTATIVES, AND OTHER AGENTS MAY DISCLOSE, IMMEDIATELY UPON COMMENCEMENT OF DISCUSSIONS, TO ANY AND ALL PERSONS, WITHOUT LIMITATION OF ANY KIND, THE TAX TREATMENT AND TAX STRUCTURE OF THE TRANSACTION AND ALL MATERIALS OF ANY KIND (INCLUDING OPINIONS OR OTHER TAX ANALYSES) THAT ARE PROVIDED TO ANY OF THEM RELATING TO SUCH TAX TREATMENT AND TAX STRUCTURE UNDER APPLICABLE U.S. FEDERAL, STATE AND LOCAL LAW, EXCEPT WHERE CONFIDENTIALITY IS REASONABLY NECESSARY TO COMPLY WITH U.S. FEDERAL, STATE, OR CAYMAN ISLAND'S SECURITIES LAWS. FOR PURPOSES OF THIS PARAGRAPH, THE TERMS "TAX", "TAX TREATMENT", "TAX STRUCTURE", AND "TAX BENEFIT" ARE DEFINED UNDER TREASURY REGULATION 1.6011-4(c) AND APPLICABLE U.S. STATE AND LOCAL LAW. In this Prospectus, references to "U.S. Dollars", "Dollars" and "U.S.$" are to United States dollars. NOTICE TO RESIDENTS OF THE CAYMAN ISLANDS THE CO-ISSUERS ARE PROHIBITED FROM MAKING ANY INVITATION TO THE PUBLIC IN THE CAYMAN ISLANDS TO SUBSCRIBE FOR THE NOTES UNLESS THE ISSUER IS LISTED ON THE CAYMAN ISLANDS STOCK EXCHANGE. NOTICE TO RESIDENTS OF THE UNITED KINGDOM THE INITIAL PURCHASER HAS AGREED THAT (A) IT HAS ONLY COMMUNICATED OR CAUSED TO BE COMMUNICATED, AND WILL ONLY COMMUNICATE OR CAUSE TO BE COMMUNICATED, AN INVITATION OR INDUCEMENT TO ENGAGE IN INVESTMENT ACTIVITY (WITHIN THE MEANING OF SECTION 21 OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (THE "FSMA,") RECEIVED BY IT IN CONNECTION WITH THE ISSUE OR SALE OF ANY SECURITIES IN CIRCUMSTANCES IN WHICH SECTION 21(1) OF THE FSMA DOES NOT APPLY TO THE ISSUER; AND (B) IT HAS COMPLIED AND WILL COMPLY WITH ALL APPLICABLE PROVISIONS OF THE FSMA WITH RESPECT TO ANYTHING DONE BY IT IN RELATION TO THE SECURITIES IN, FROM OR OTHERWISE INVOLVING THE UNITED KINGDOM.

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AVAILABLE INFORMATION To permit compliance with Rule 144A under the Securities Act in connection with the sale of the Notes, each of the Co-Issuers will be required to furnish, upon request of a holder of a Note, 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 such Co-Issuer is not a reporting company under Section 13 or 15(d) of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), or if at the time of the request such Co-Issuer is not exempt from reporting pursuant to Rule 12g32(b) under the Exchange Act. Such information may be obtained from the Trustee or Transfer Agent located in Dublin, Ireland. It is not contemplated that either of the Co-Issuers 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. Projections are necessarily speculative in nature, and it can be expected that some or all of the assumptions underlying the projections will not materialize or will vary significantly from actual results. Accordingly, the projections are only an estimate. Actual results may vary from the projections, 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 and frequency of Writedowns, Writedown Reimbursement Payment Amounts, Failures to Pay Principal, Principal Shortfall Reimbursement Payment Amounts, Interest Shortfall Payment Amounts and Interest Shortfall Reimbursement Payment Amounts in connection with the Reference Obligations, mismatches between the timing of accrual and receipt of Interest Proceeds and Principal Proceeds, and defaults under Credit Default Swaps, among others. Consequently, the inclusion of projections herein should not be regarded as a representation by the Issuer, the Co-Issuer, the Bank, the Credit Default Swap Counterparty, the Trustee, the Collateral Administrator, the Initial Purchaser 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 Co-Issuer, the Bank, the Credit Default Swap Counterparty, the Trustee, the Collateral Administrator, the Initial Purchaser and their respective Affiliates 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.

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TABLE OF CONTENTS SUMMARY OF TERMS ................................................................................................................................ 1 RISK FACTORS.......................................................................................................................................... 14 DESCRIPTION OF THE NOTES................................................................................................................ 23 Status and Security .......................................................................................................................... 23 The Class A-1 Notes ........................................................................................................................ 23 Interest.............................................................................................................................................. 25 Determination of LIBOR ................................................................................................................... 25 Principal............................................................................................................................................ 27 Auction Call Redemption.................................................................................................................. 28 Optional Redemption........................................................................................................................ 29 Clean-up Call.................................................................................................................................... 29 Redemption Price/Redemption Amount........................................................................................... 29 Redemption Procedures................................................................................................................... 30 Cancellation...................................................................................................................................... 32 Payments.......................................................................................................................................... 32 Priority of Payments ......................................................................................................................... 33 The Coverage Tests ......................................................................................................................... 41 The Reverse Turbo Condition .......................................................................................................... 44 Form, Denomination, Registration and Transfer .............................................................................. 44 No Gross-Up..................................................................................................................................... 49 Additional Notes ............................................................................................................................... 49 The Indenture ................................................................................................................................... 50 MATURITY, PREPAYMENT AND YIELD CONSIDERATIONS ................................................................. 57 THE CO-ISSUERS...................................................................................................................................... 59 General............................................................................................................................................. 59 Capitalization .................................................................................................................................... 60 Business ........................................................................................................................................... 60 SECURITY FOR THE NOTES.................................................................................................................... 61 General............................................................................................................................................. 61 The Collateral Quality Tests ............................................................................................................. 61 Eligibility Criteria ............................................................................................................................... 62 The Collateral Account, the Collection Account, the Payment Account, the Closing Expense Account and the Credit Default Swap Issuer Account ..................................................................... 66 THE CREDIT DEFAULT SWAPS ............................................................................................................... 68 THE INVESTMENT AGREEMENT............................................................................................................. 80 The Investment Agreement Provider ............................................................................................... 80

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The Investment Agreement Insurer.................................................................................................. 81 DESCRIPTION OF THE CREDIT DEFAULT SWAP PORTFOLIO............................................................ 83 DEUTSCHE BANK AKTIENGESELLSCHAFT ........................................................................................... 90 CERTAIN TAX CONSIDERATIONS......................................................................................................... 102 United States Tax Considerations.................................................................................................. 102 Tax Treatment of the Issuer ........................................................................................................... 103 Tax Treatment of U.S. Holders of the Notes .................................................................................. 104 Possible Recharacterization of the Notes ...................................................................................... 107 Transfer Reporting Requirements .................................................................................................. 107 Tax Return Disclosure and Investor List Requirements................................................................. 107 Tax Treatment of Non-U.S. Holders of Notes ................................................................................ 108 Information Reporting and Backup Withholding............................................................................. 108 Cayman Islands Tax Considerations ............................................................................................. 109 ERISA CONSIDERATIONS ...................................................................................................................... 111 The Notes ....................................................................................................................................... 112 PRESCRIPTION ....................................................................................................................................... 113 PLAN OF DISTRIBUTION ........................................................................................................................ 113 United States .................................................................................................................................. 113 United Kingdom .............................................................................................................................. 114 Cayman Islands.............................................................................................................................. 114 General........................................................................................................................................... 114 TRANSFER RESTRICTIONS ................................................................................................................... 115 Investor Representations on Original Purchase............................................................................. 115 LISTING AND GENERAL INFORMATION ............................................................................................... 121 LEGAL MATTERS .................................................................................................................................... 122 GLOSSARY OF DEFINED TERMS.......................................................................................................... 123 ANNEX A SPECIFIED TYPES OF ASSET-BACKED SECURITIES......................................................A-1 ANNEX B MOODYS TERMINOLOGY...................................................................................................B-1 ANNEX C STANDARD & POORS TERMINOLOGY ............................................................................ C-1 ANNEX D FORM OF CONFIRMATION................................................................................................. D-1 ANNEX E LIST OF REFERENCE OBLIGATIONS.................................................................................E-1

ix

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 defined terms appears at the back of this Prospectus. Securities Offered .......................... Up to U.S.$325,000,000 Aggregate Outstanding Amount of Class A-1 Notes, consisting of Class A-1 F Notes and Class A-1 U Notes, each as further described herein. U.S.$59,500,000 Aggregate Outstanding Amount of Class A-2 Notes. U.S.$44,000,000 Aggregate Outstanding Amount of Class B Notes. U.S.$17,500,000 Aggregate Outstanding Amount of Class C Notes. U.S.$23,000,000 Aggregate Outstanding Amount of Class D Notes. U.S.$10,000,000 Aggregate Outstanding Amount of Class E Notes. Each of the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes and Class E Notes are herein referred to as a Class of Notes. The entire principal amount of each Class of Notes will be issued on the Closing Date. The Notes will be issued and secured pursuant to the Indenture. The Credit Default Swap Counterparty and Deutsche Bank AG, as holder of the Financed Amount, will also be express Secured Parties under the Indenture. See "Description of the Notes Status and Security" and "The Indenture". The Notes will be limited recourse debt obligations of the Co-Issuers, and the Class F Subordinated Notes will be limited recourse debt obligations of the Issuer, in each case secured solely by a pledge of the Collateral by the Issuer to the Trustee pursuant to the Indenture for the benefit of the holders of the Notes and the Class F Subordinated Notes, the Trustee, the Collateral Administrator, the Class F Subordinated Note Paying Agent, the Securities Intermediary, the Administrator, the Credit Default Swap Counterparty and, to the extent of the Financed Amount, Deutsche Bank AG (collectively, the "Secured Parties"). To the extent the assets of the Collateral are insufficient to pay all amounts due on the Notes, the Co-Issuers shall have no further obligations in respect of the Notes and any amounts which remain outstanding but unpaid shall be extinguished. See "Description of the NotesStatus and Security". All of the Class A-1 Notes are entitled to receive payments pari passu among themselves, all of the Class A-2 Notes are entitled to receive payments pari passu among themselves, all of the Class B Notes are entitled to receive payments pari passu

among themselves, all of the Class C Notes are entitled to receive payments pari passu among themselves, all of the Class D Notes are entitled to receive payments pari passu among themselves and all of the Class E Notes are entitled to receive payments pari passu among themselves. The relative order of seniority of payment of each Class of Notes is as follows: first, Class A-1 Notes, second, Class A-2 Notes, third, Class B Notes, fourth, Class C Notes, fifth, Class D Notes and sixth, Class E Notes, with (i) each Class of Notes (other than the Class E Notes) in such list being "Senior" to each other Class of Notes that follows such Class of Notes in such list and (ii) each Class of Notes (other than the Class A-1 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 remain outstanding has been paid in full. Payments of principal shall be paid to each Class of Notes on a pari passu basis unless a Sequential Principal Payment Event is in effect, in which case no payment of principal of any Class of Notes will be made until the Class A-1 Commitment Amount has been reduced to zero and 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 "Description of the NotesPriority of Payments". Class A-1 Notes.............................. General The Class A-1 Notes will be issued as Class A-1 F Floating Rate Variable Funding Notes (the "Class A-1 F Notes") and Class A-1 U Fixed Rate Variable Funding Notes (the "Class A-1 U Notes"). All payments to the holders of the Class A-1 F Notes will be made pro rata among the holders of such Class A-1 F Notes and all payments to the holders of the Class A-1 U Notes will be made pro rata among the holders of such Class A-1 U Notes. Pursuant to the Class A-1 Note Purchase Agreement, the Issuer may from time to time request an Incremental Funding from the Class A-1 U Noteholder and pursuant to such request, such Class A-1 U Noteholder will deposit, on the next Incremental Funding Date, an amount with the Issuer equal to such Incremental Funding. In exchange for such deposited amount, the Issuer will increase the Aggregate Outstanding Amount of the Class A-1 F Notes (the "Class A-1 Funded Amount") in an amount equal to such Incremental Funding and the Class A-1 Unfunded Amount with respect to the Class A-1 U Notes shall be reduced by such Incremental Funding. The Aggregate Outstanding Amount of the Class A-1 F Notes may not exceed the Class A-1 Commitment Amount. The "Class A-1 Commitment Amount", with respect to the Class A-1 Unfunded Amount and the Class A-1 Funded Amount in the aggregate, will equal $325,000,000 on the Closing Date and will be subject to reduction as described herein under "Description of the Notes Priority of PaymentsPrincipal Proceeds" and "Description of the NotesPriority of PaymentsCredit Default Swap

Allocations". The Class A-1 Unfunded Amount will be reduced to $0 on the Commitment Period Termination Date. As of the Closing Date the Class A-1 Funded Amount will be $0 and the Class A-1 Unfunded Amount will be $325,000,000. It is not a condition to closing that the Issuer request funding of any amount under the Class A-1 Notes on the Closing Date. The obligations of the Co-Issuers under the Class A-1 Notes will be secured pursuant to the Indenture by, and payable solely from and to the extent of available proceeds from, the Collateral. Prior to the Final Maturity Date, subject to compliance with the Class A-1 Note Purchase Agreement and the Indenture and so long as the Class A-1 Unfunded Amount is greater than zero, the Issuer may request additional Incremental Fundings as necessary for the Issuer to make certain payments under the Credit Default Swaps, as described under "Priority of PaymentsCredit Default Swap Allocations". If any holder of a Class A-1 U Note does not at any time during the Commitment Period satisfy the Class A-1 U Noteholder Rating Criteria, then such holder will (i) immediately give notice of such fact to the Issuer, the Trustee, the Credit Default Swap Counterparty and each Rating Agency and (ii) not later than 30 days after the date on which such holder fails to satisfy the Class A-1 U Noteholder Rating Criteria do one of the following: (A) fund a deposit of its Pro Rata Share of the Class A-1 Unfunded Amount into a Class A-1 U Noteholder Account, (B) obtain a guaranty or other form of credit enhancement that satisfies the Rating Condition and is approved by the Credit Default Swap Counterparty, (C) transfer all of its rights and obligations in respect of all Class A-1 U Notes held by such holder to a person that satisfies the Class A-1 U Noteholder Rating Criteria on the date of such assignment or (D) take such other action as may be agreed with the relevant Rating Agency, the Credit Default Swap Counterparty, the Issuer and the Trustee. In certain circumstances, the Class A-1 Commitment Amount may be reduced along with a reduction in the funded amount and/or the unfunded amount. See "Priority of Payments Credit Default Swap Allocations". The Class A-1 U Notes and the Class A-1 F Notes shall vote as a single class. For the purposes of the foregoing: "Class A-1 Note Purchase Agreement", means the Class A-1 Note Purchase Agreement dated as of January 20, 2006, by and among the Issuer, the Trustee and the Class A-1 Noteholder, relating to a variable funding credit facility to be provided to the Issuer by the Class A-1 Noteholders, on or after the Closing Date, on the terms set forth therein. "Class A-1 Noteholder" shall initially be AIG Financial Products Corp. The holders of the Class A-1 U Notes shall be the "Class

A-1 U Noteholders" and the holders of the Class A-1 F Notes shall be the "Class A-1 F Noteholders". "Class A-1 U Noteholder Rating Criteria" will be satisfied with respect to any Class A-1 U Noteholder as of any specified date if the short-term debt, deposit or similar obligations of such holder (or any Affiliate thereof that unconditionally and absolutely guarantees the obligations of such holder) are on such date rated "P-1" by Moodys and "A-1+" by Standard & Poors and the long-term debt obligations of such holder (or any Affiliate thereof that unconditionally and absolutely guarantees the obligations of such holder) are on such date rated at least "AA-" by Standard & Poors and "Aa3" by Moodys. "Class A-1 Unfunded Amount" means the positive difference, if any, between (i) the Class A-1 Commitment Amount and (ii) the Class A-1 Funded Amount; provided that the Class A-1 Unfunded Amount shall not be increased following any reduction thereof. "Incremental Funding" means a payment by the holder of the Class A-1 U Notes to the Issuer as (i) a reduction of the Class A-1 Unfunded Amount with respect to such holder's Class A-1 U Notes and (ii) an increase in the Aggregate Outstanding Amount of such holder's Class A-1 F Notes. "Incremental Funding Date" means the fourth Business Day following the 25th day of each calendar month; provided that if the 25th day of any calendar month shall fall on a day which is not a Business Day, the Incremental Funding Date shall be the fourth Business Day following the Business Day next succeeding the 25th day of such calendar month. "Pro Rata Share" means with respect to any holder of Class A-1 U Notes at any time, the ratio (expressed as a percentage) equal to (a) the Class A-1 Unfunded Amount represented by the Class A-1 U Note held by such holder at such time to (b) the Class A-1 Unfunded Amount at such time. "Commitment Period" means the period commencing with and including the Closing Date, and ending on but excluding the Commitment Period Termination Date. "Commitment Period Termination Date" means the earliest to occur of (a) the Final Maturity Date, (b) the sale, foreclosure or other disposition of the Collateral under the Indenture due to an Event of Default or (c) the redemption of the Class A-1 Notes in full and the reduction of the Class A-1 Commitment Amount to zero. Interest on the Class A-1 Notes.... On each Payment Date, to the extent amounts are available therefore, the Issuer will be required to pay the Class A-1 F Noteholder interest on the Class A-1 F Notes equal to the Class A-1 Funded Amount Interest and the Class A-1 U Noteholder interest on the Class A-1 U Notes equal to the Class A-1 Unfunded Amount Interest.

"Class A-1 Cumulative Interest Amount" means with respect to any Interest Period, the sum of the Class A-1 Funded Amount Interest and the Class A-1 Unfunded Amount Interest. "Class A-1 Funded Amount Interest" means, from time to time, with respect to the Class A-1 F Notes and any Payment Date, the sum of: (i) the product of (a) the Class A-1 Funded Amount as of the immediately preceding Payment Date, (b) the Class A-1 F Note Interest Rate during the related Interest Period and (c) the actual number of days in the related Interest Period divided by 360; the sum, with respect to each Incremental Funding during the related Interest Period, of the products of (a) each Incremental Funding and (b) the Class A-1 F Note Interest Rate with respect to such Incremental Funding, and (c) the actual number of days from and including such Incremental Funding Date to but excluding such Payment Date divided by 360; and the Class A-1 F Note Defaulted Interest.

(ii)

(iii)

"Class A-1 F Note Interest Rate" means with respect to any Interest Period, LIBOR plus 0.350% per annum. "Class A-1 Unfunded Amount Interest" means, from time to time, with respect to the Class A-1 U Notes and any Payment Date, the sum of (i) the product of (a) the Class A-1 Weighted Average Unfunded Amount, (b) the Class A-1 U Note Commitment Rate and (c) the actual number of days in the related Interest Period divided by 360; and the Class A-1 U Note Defaulted Interest.

(ii)

"Class A-1 Weighted Average Unfunded Amount" means, with respect to the Class A-1 Unfunded Amount for any Interest Period, the quotient of (i) the sum of the Class A-1 Unfunded Amount for each day of such Interest Period divided by (ii) the actual number of days in such Interest Period. "Class A-1 U Note Commitment Rate" means 0.190% per annum. "Class A-1 F Note Defaulted Interest" means with respect to any Interest Period, any shortfall or shortfalls in the payment of the Class A-1 Funded Amount Interest with respect to any preceding Payment Date or Payment Dates, together with interest accrued thereon at the Class A-1 F Note Interest Rate, net of any Class A-1 F Note Defaulted Interest paid, if any, prior to such Payment Date.

"Class A-1 U Note Defaulted Interest" means with respect to any Interest Period, any shortfall or shortfalls in the payment of Class A-1 Unfunded Amount Interest with respect to any preceding Payment Date or Payment Dates, together with interest accrued thereon at the Class A-1 U Note Commitment Rate, net of any Class A-1 Unfunded Defaulted Interest paid, if any, prior to such Payment Date. Class F Subordinated Notes ......... The Issuer will also issue U.S.$21,000,000 Aggregate Outstanding Amount of Class F Subordinated Notes in accordance with Appendix A to the Class F Subordinated Note Paying Agency Agreement and secured in accordance with a deed of covenant, dated January 20, 2006 (the "Deed of Covenant") and subject to the Class F Subordinated Note Paying Agency Agreement, dated as of the Closing Date (the "Class F Subordinated Note Paying Agency Agreement"), between the Issuer and LaSalle Bank National Association, as Class F Subordinated Note paying agent (in such capacity, the "Class F Subordinated Note Paying Agent"). The Class F Subordinated Notes are not being offered hereby. The Issuer is an exempted company incorporated with limited liability under The Companies Law (2004 Revision) of the Cayman Islands pursuant to its Memorandum and Articles of Association (the "Issuer Charter") and is in good standing under the laws of the Cayman Islands. The Indenture and the Issuer Charter will provide that the activities of the Issuer are limited to (i) acquiring and disposing of, and investing and reinvesting in, Eligible Investments and acquiring Delivered Obligations, (ii) entering into and performing its obligations under the Indenture, the Deed of Covenant, the Class A-1 Note Purchase Agreement, the Administration Agreement, the Collateral Administration Agreement, the Credit Default Swaps, the Notes and the Class F Subordinated Note Paying Agency Agreement, (iii) issuing and selling the Notes and the Class F Subordinated Notes, (iv) pledging the Collateral as security for its obligations in respect of the Notes and the Class F Subordinated Notes and otherwise for the benefit of the Secured Parties, (v) owning and managing the Co-Issuer and (vi) other activities incidental to the foregoing. The Co-Issuer is incorporated in Delaware for the sole purpose of co-issuing the Notes. The entire authorized share capital of the Co-Issuer is owned by the Issuer. The Issuer will not have any material assets other than the Credit Default Swaps, Eligible Investments, any Delivered Obligations and rights under certain other agreements entered into as described herein. The Co-Issuer will not have any assets (other than the proceeds of its shares, being U.S.$1,000) and will not pledge any assets to secure the Notes. The Co-Issuer will have no claim against the Issuer in respect of the Collateral. Trustee ............................................ LaSalle Bank National Association

The Co-Issuers ...............................

Credit Default Swap Counterparty................................... Use of Proceeds .............................

Deutsche Bank AG London The net proceeds from the issuance and sale of the Notes and the Class F Subordinated Notes are expected to be U.S.$ 175,000,000. On the Closing Date, the Issuer will use the net proceeds of the Offering of the Notes and the Class F Subordinated Notes (a) to invest in Eligible Investments to be held in the Collateral Account with a purchase price equal to the excess of (i) the Aggregate Principal Balance of the Credit Default Swaps over (ii) the Class A-1 Commitment Amount as of the Closing Date and (b) deposit Principal Proceeds into the Principal Collection Subaccount pursuant to clause (B) of the definition of "Principal Proceeds". Approximately U.S.$9,043,999. The organizational and structuring fees and expenses of the CoIssuers (including, without limitation, the legal fees and expenses of counsel to the Co-Issuers and the Initial Purchaser) and the fees and expenses of offering the Notes will be financed on the Closing Date by Deutsche Bank AG and will be included as part of the Financed Amount payable in accordance with the Priority of Payments. Pursuant to the Indenture, the Notes, together with the Issuer's obligations to the Secured Parties, will be secured by: (i) the Credit Default Swap Portfolio, including all present and continuing exclusive right, power and authority of the Issuer to make claim for, collect and receive any and all monies receivable under each Credit Default Swap and any Delivered Obligation, (ii) the Collateral Administration Agreement and the Class A-1 Note Purchase Agreement, (iii) the Accounts and all securities, investment property, money, instruments or other property credited thereto or deposited therein, and all income, earnings, interest, and other distributions received or receivable in respect thereof, (iv) all accounts, chattel paper, deposit accounts, documents, general intangibles, goods, instruments, investment property, letter-of-credit rights, letters of credit, money, and oil, gas, and other minerals, consisting of, arising from, or relating to, any of the foregoing, (v) all other property of the Issuer and (vi) all proceeds of the foregoing (collectively, the "Collateral"). 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 Priority of Payments. Concurrently with the issuance of the Notes, the Issuer will enter into multiple Credit Default Swap transactions with the Credit Default Swap Counterparty. Each Credit Default Swap will reference a notional principal amount of a Residential ABS Security, whereby the Issuer will assume credit and interest rate risk with respect to each Reference Obligation. The aggregate Notional Amount of the Credit Default Swap Portfolio together with the Principal Proceeds deposited in the Principal Collection Subaccount on the Closing Date will total U.S.$500,000,000. For a description of the Credit Default Swaps, see "The Credit

Expenses......................................... Financed Amount...........................

Security for the Notes....................

Credit Default Swaps .....................

Default Swaps" herein. The confirmation of each of the Credit Default Swaps will be in the form generally known as the "Pay As You Go" confirmation, as further described in "Risk FactorsLegal Risk Relating to the Synthetic Securities." Annex E hereto lists the individual Reference Obligations to be referenced in the Credit Default Swap Portfolio as of the Closing Date and no additions, removals, substitutions or modifications will be permitted to be made with respect to the Credit Default Swap Portfolio. In addition, the Issuer will be required to hold any Delivered Obligations until the earlier of the maturity date of such Delivered Obligations and the Final Maturity Date with respect to the Notes. Investment Agreement .................. Amounts on deposit in the Collateral Account will be invested in Eligible Investments and will initially be invested pursuant to an investment agreement, dated as of the Closing Date (the "Investment Agreement"), among the Issuer, the Trustee and FSA Capital Management Services LLC, as investment agreement provider (in such capacity, the "Investment Agreement Provider"). See "The Investment Agreement".

Interest Payments on the Notes ...................................

The Class A-1 Notes will bear interest at the rate as described under "Summary of TermsInterest on the Class A-1 Notes". The Class A-2 Notes will bear interest at a floating rate per annum equal to LIBOR plus 0.550%. The Class B Notes will bear interest at a floating rate per annum equal to LIBOR plus 0.650%. The Class C Notes will bear interest at a floating rate per annum equal to LIBOR plus 1.250%. The Class D Notes will bear interest at a floating rate per annum equal to LIBOR plus 2.400%. The Class E Notes will bear interest at a floating rate per annum equal to LIBOR plus 4.500%. Interest on the Notes will be computed on the basis of a 360-day year and the actual number of days elapsed. Interest on the Notes will accrue from the Closing Date. Accrued and unpaid interest will be payable in arrears on each Payment Date, if and to the extent that funds are available on such Payment Date, in accordance with the Priority of Payments. With respect to the first Payment Date, interest will accrue on the Aggregate Outstanding Amount of each Class of Notes (determined as of the Closing Date) from the Closing Date to and excluding the first Payment Date. With respect to each subsequent Payment Date, interest will accrue on the Aggregate Outstanding Amount of each Class of Notes (determined as of the first day of the related Interest Period and after giving effect to any payment of principal or redemption on such day) from the prior Payment Date to and excluding such Payment Date. Any interest on any Class of Notes that is not paid as aforesaid or otherwise by operation of the Priority of Payments will be paid, together with interest accrued thereon, and any interest accrued on such accrued interest, at the applicable rate of interest for such Class, on the next subsequent Payment Date on which funds are available pursuant to the Priority of Payments.

So long as any Class A Note or Class B Note remains Outstanding, failure to make payment in respect of interest on the Class C Notes on any Payment Date by reason of the Priority of Payments will not constitute an Event of Default under the Indenture. So long as any Class A Note, Class B Note or Class C Note remains Outstanding, failure to make payment in respect of interest on the Class D Notes on any Payment Date by reason of the Priority of Payments will not constitute an Event of Default under the Indenture. So long as any Class A Note, Class B Note, Class C Note or Class D Note remains Outstanding, failure to make payment in respect of interest on the Class E Notes on any Payment Date by reason of the Priority of Payments will not constitute an Event of Default under the Indenture. Principal Repayment of the Notes ....................................

The principal of each of the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes (each, a "Class" of Notes ) is required to be paid by their Stated Maturity, unless redeemed or repaid prior thereto. See "Description of the NotesPrincipal". Principal Proceeds will be applied on each Payment Date in accordance with the Priority of Payments to pay principal of each Class of Notes on a pari passu basis; provided that if (i) a Coverage Test is not satisfied on the related Measurement Date and such Coverage Test has not been cured, (ii) on any Determination Date the Aggregate Principal Balance of the Credit Default Swaps, Delivered Obligations and Principal Proceeds is (or would be as a result of any distributions to be made on the related Payment Date) 50% or less of the Aggregate Principal Balance of the Credit Default Swaps, Delivered Obligations and Principal Proceeds as of the Closing Date, (iii) the Sequential Overcollateralization Test is not satisfied or was not satisfied on any prior Determination Date, (iv) the rating of the Class A Notes has been downgraded at least two rating sub categories by Moody's or Standard & Poor's since the Closing Date, or the long term rating of the Class B Notes, Class C Notes, Class D Notes or Class E Notes has been downgraded by at least three rating sub categories by Moody's or Standard & Poor's since the Closing Date or (v) there is an occurrence of an Event of Default under the Indenture (each a "Sequential Principal Payment Event"), payments will be made in accordance with the Redemption Payment Sequence and no payment of principal will be made on any Class of Notes until the Class A-1 Commitment Amount has been reduced to zero and all principal of and all accrued and unpaid interest on each Class that is Senior to such Class and that remains Outstanding has been paid in full. See "Description of the NotesPriority of Payments" and " Redemption Payment Sequence". The amount of principal payments of a Class of Notes made on a given Payment Date, if any, will depend upon, among other things, the amount and frequency of principal payments on the Reference Obligations and Delivered Obligations.

Payment Dates ...............................

Payments on the Notes will be payable in U.S. dollars in arrears on the 12th day of February, May, August and November of each calendar year, commencing in May 2006, and on the Final Maturity Date (each, a "Payment Date"); provided that if any such date is not a Business Day, the relevant Payment Date will be the next succeeding Business Day. On each Payment Date and on the Final Maturity Date, Interest Proceeds and Principal Proceeds, to the extent of available funds in the Collection Account, will be applied in the order of priority set forth under "Description of the NotesPriority of Payments".

Priority of Payments ......................

Stated Maturity and Average Life ............................

The Stated Maturity of each Class of Notes is May 12, 2038 (the "Stated Maturity"). Each Class of Notes will mature at the Stated Maturity unless redeemed or repaid prior thereto. With respect to each Class of Notes, the earlier of the Stated Maturity and the Payment Date on which the Aggregate Outstanding Amount of such Class of Notes is paid in full, including the Redemption Date, an Auction Redemption Date or the occurrence of an Event of Default and an acceleration of the Notes, is referred to herein as the "Final Maturity Date". The average life of each Class of Notes may be less than the number of years until their Stated Maturity. See "Risk Factors Projections, Forecasts and Estimates". If the Notes have not been redeemed in full on or prior to the Payment Date occurring in November 2013, then an auction (an "Auction") of the Credit Default Swaps and the Delivered Obligations (the "Auction Collateral") will be conducted by the Trustee on behalf of the Issuer and, provided that certain conditions are satisfied, the Auction Collateral will be sold or transferred to one or more Qualified Bidders (as defined herein) and the Notes will be redeemed on the Payment Date occurring in February 2014. If such conditions are not satisfied and the auction is not successfully conducted on such Payment Date, the Trustee will conduct auctions prior to each subsequent alternating Payment Date until the Notes are redeemed in full. No Auction Call Redemption shall occur unless the Auction Call Redemption Amount is paid in full on the date of such redemption in accordance with the Priority of Payments. The Trustee may, at the expense of the Issuer, engage an independent investment banking firm to perform any of the functions of the Trustee set forth in this paragraph. See "Description of the NotesAuction Call Redemption."

Auction Call Redemption ..............

Optional Redemption of the Notes ....................................

Subject to certain conditions described herein, on any Payment Date occurring on or after the February 2009 Payment Date, the Issuer may redeem the Notes (such redemption, an "Optional Redemption"), in whole but not in part, acting at the direction of the holders of not less than the majority of the Aggregate Outstanding Amount of the Class F Subordinated Notes. No Optional Redemption shall occur unless the Redemption Amount (which includes the Redemption Price payable to the holders of

10

the Notes) is paid in full on the date of such redemption in accordance with the Priority of Payments. See "Description of the NotesOptional Redemption". Clean-up Call .................................. The Notes will be redeemed at the Redemption Price by the Issuer (such redemption, a "Clean-up Call"), in whole but not in part, at the option of the Issuer, if so directed by the holders of the majority of the Aggregate Outstanding Amount of the Class F Subordinated Notes, on or after the Payment Date on which the Aggregate Principal Balance of the Credit Default Swaps has been reduced to U.S.$75,000,000 or less. No Clean-up Call may be effected unless the Redemption Amount is paid in full in accordance with the Priority of Payments. See "Description of the NotesClean-up Call". The amount payable to the holders of the Notes in connection with any Optional Redemption, Auction Call Redemption or a Clean-up Call (the "Redemption Price") with respect to each Class of Notes, other than the Class A-1 U Notes, will be an amount equal to the Aggregate Outstanding Amount of such Note being redeemed plus the Cumulative Interest Amount thereon plus with respect to the Class C Notes, any Class C Deferred Interest, with respect to the Class D Notes, any Class D Deferred Interest and with respect to the Class E Notes, any Class E Deferred Interest, as applicable, and with respect to the Class A-1 U Notes will be the accrued and unpaid Class A-1 Unfunded Amount Interest. The Notes are being offered for sale by Deutsche Bank Securities Inc., as Initial Purchaser, to investors (the "Original Purchasers") (i) in the United States who are Qualified Institutional Buyers (as defined in Rule 144A, "Qualified Institutional Buyers") in reliance on the exemption from registration provided by Rule 144A and (ii) outside the United States 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. Notes offered for sale to a U.S. resident (within the meaning of the Investment Company Act) will be offered only to Qualified Purchasers. See "Plan of Distribution" and "Transfer Restrictions". It is a condition to the issuance of the Notes that the Class A Notes be rated "Aaa" by Moody's and "AAA" by Standard & Poor's, that the Class B Notes be rated at least "Aa1" by Moody's and at least "AA+" by Standard & Poor's, that the Class C Notes be rated at least "Aa3" by Moody's and at least "AA-" by Standard & Poor's, that the Class D Notes be rated at least "A2" by Moody's and at least "A-" by Standard & Poor's and that the Class E Notes be rated at least "Baa2" by Moody's and at least "BBB" by Standard & Poor's. The ratings assigned to the Notes by Standard & Poor's address the timely payment of interest on, and the ultimate payment of the principal of, the Class A Notes and the Class B Notes and ultimate payment of principal of and the ultimate payment of

Redemption Price...........................

The Placement................................

Ratings ............................................

11

interest on the Class C Notes, the Class D Notes and the Class E Notes. The ratings of the Notes by Moody's address the ultimate cash receipt of all required payments as provided by the governing documents, and are based on the expected loss to the holders of Notes of each Class relative to the promise of receiving the present value of such payments. Additionally, the ratings of the Notes by Moody's takes into consideration the current credit quality of the Reference Obligations and Eligible Investments, the Credit Default Swap Counterparty and the guarantor of the Investment Agreement Provider, and the collateral posting and replacement obligations under the Credit Default Swaps and the Investment Agreement. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time. For so long as any Class of Notes are listed on the Irish Stock Exchange and to the extent required by applicable stock exchange rules, the Co-Issuers will inform the Company Announcements Office of the Irish Stock Exchange if any rating assigned by the Rating Agencies to such Notes is reduced or withdrawn. Minimum Denominations .............. The Notes will be issuable in a minimum denomination of U.S.$1,000,000 and will be offered only in such minimum denomination and integral multiples of U.S.$1.00 in excess thereof. After issuance, a Note may fail to be in compliance with the minimum denomination requirement stated above as a result of the repayment of principal thereof in accordance with the Priority of Payments. See "Transfer Restrictions". Form, Registration and Transfer of the Notes .........................................

The Notes offered in reliance upon Regulation S will be represented by one or more Regulation S Global Notes in fully registered form without interest coupons deposited with the Trustee as custodian for, and registered in the name of, DTC (or its nominee), for the accounts of Euroclear and/or Clearstream. Interests in the Regulation S Global Notes will be shown on, and transfers thereof will be effected only through, records maintained by DTC and its direct and indirect participants (including Euroclear and Clearstream). Interests in a Regulation S Global Note may be held only through Euroclear or Clearstream. The Notes offered in the United States in reliance on Rule 144A under the Securities Act will be represented by one or more Rule 144A Global Notes in fully registered form without interest coupons deposited with the Trustee as custodian for, and registered in the name of, DTC (or its nominee). Interests in Rule 144A Global Notes will be shown on, and transfers thereof will be effected only through, records maintained by DTC and its direct and indirect participants.

12

The Regulation S Global Notes and the Rule 144A Global Notes are collectively referred to herein as "Global Notes". Under certain limited circumstances described herein, definitive registered Notes may be issued in exchange for Global Notes. See "Description of the NotesForm, Denomination, Registration and Transfer" and "Transfer Restrictions". Additional Notes............................. From time to time after the Closing Date, the Issuers may, with written prior consent of the Credit Swap Counterparty and the majority of the Aggregate Outstanding Amount of the Class F Subordinated Notes, issue and sell additional Notes (such notes, the "Additional Notes") if certain conditions are satisfied. See "Description of the NotesAdditional Notes". Application will be made to list the Notes on the Irish Stock Exchange. There can be no assurance that listing on the Irish Stock Exchange will be granted. Deutsche Bank (Luxembourg) S.A. Deutsche International Corporate Services (Ireland) Ltd. The Notes, the Indenture, the Credit Default Swaps, the Class A-1 Note Purchase Agreement and the Collateral Administration Agreement will be governed by, and construed in accordance with, the law of the State of New York. See "Certain Tax Considerations". Any fiduciary of a Plan, or an entity whose underlying assets include assets of a Plan by reason of a Plan's investment in such entity, or of a governmental, church, non-U.S. or other plan which is subject to fiduciary standards similar to those of ERISA, who proposes to cause such a plan or entity to purchase Notes should determine whether, under the general fiduciary standards of ERISA or other applicable law, an investment in the Notes is appropriate for such plan or entity. Each Original Purchaser and subsequent transferee of a Note that is, or is acting on behalf of, an employee benefit plan or other plan subject to ERISA and/or Section 4975 of the Code will be deemed to have represented and warranted that its investment in the Notes will not result in a non-exempt prohibited transaction under ERISA and/or Section 4975 of the Code (or, in the case of a governmental, church, non-U.S. or other plan, a violation of any similar U.S. federal, state, local or non-U.S. law). See "ERISA Considerations".

Listing..............................................

Listing Agent .................................. Irish Paying Agent.......................... Governing Law ...............................

Tax Matters ..................................... Certain ERISA Considerations .....

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RISK FACTORS An investment in the Notes involves certain risks. Prospective investors should carefully consider the following factors, in addition to the matters set forth elsewhere in this Prospectus, prior to investing in the Notes. Risks relating to the Notes Suitability. Prospective investors should ensure that they understand the nature of the Credit Default Swaps, the form of confirmation for which is attached as Annex D, and the extent of their exposure to risk, that they have sufficient knowledge, experience and access to professional advisers to make their own legal, regulatory, tax, accounting and financial evaluation of the merits and risks of purchasing a Note and that they consider the suitability of any such purchase of a Note in light of their own circumstances and financial condition. Limited Liquidity of Notes. There is currently no market for the Notes. Although the Initial Purchaser may from time to time make a market in Notes, the Initial Purchaser is under no obligation to do so. In the event that the Initial Purchaser commences any market-making, it may discontinue the same at any time. There can be no assurance that a secondary market for any of the Notes will develop, or if a secondary market does develop, that it will provide the holders of such Notes with liquidity of investment or that it will continue for the life of the Notes. In addition, the Notes are subject to certain transfer restrictions and can only be transferred to certain transferees as described under "Transfer Restrictions". Consequently, an investor in the Notes must be prepared to hold its Notes for an indefinite period of time or until their Stated Maturity. Limited Recourse Obligations. The Notes are limited recourse obligations of the Co-Issuers. The Notes are payable solely from the Collateral pledged by the Issuer to secure the Notes. None of the security holders, members, officers, directors, managers or incorporators of the Issuer, the Co-Issuer, the Trustee, the Administrator, any Rating Agency, the Share Trustee, the Class F Subordinated Note Paying Agent, the Collateral Administrator, the Initial Purchaser, any Credit Default Swap Counterparty, any of their respective Affiliates and any other person or entity will be obligated to make payments on the Notes. Consequently, the holders of Notes must rely solely on amounts received in respect of the Collateral pledged to secure the Notes for the payment of principal thereof and interest thereon. There can be no assurance that the distributions on the 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 Co-Issuers to pay such deficiencies will be extinguished. Subordination of each Class of Subordinate 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 remain outstanding has been paid in full. The Notes are paid pari passu in respect of payments of principal; provided that if a Sequential Principal Payment Event is in effect, payments of principal will be made in accordance with the Redemption Payment Sequence and no payment of principal of any Class of Notes will be made until the Class A-1 Commitment Amount has been reduced to zero and 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. So long as any more Senior Class of Notes remains outstanding, failure to make payment in respect of interest on the Class C Notes, the Class D Notes or the Class E Notes on any Payment Date by reason of the Priority of Payments will not constitute an Event of Default under the Indenture. In the event of any realization on the Collateral, proceeds will be allocated to the Notes and other amounts in accordance with the provisions described under "Priority of PaymentsCredit Default Swap Allocations" and the Priority of Payments. To the extent that any losses are suffered by any of the holders of any Notes, such losses will be borne first, by the holders of the Class E Notes, second by the holders of the Class D Notes, third, by the holders of the Class C Notes, fourth, by the holders of the Class B Notes fifth, by the holders of the Class A-2 Notes and 14

sixth, by the holders of the Class A-1 Notes. See "Description of the NotesThe Indenture" and " Priority of Payments". Interests of Holders of a Class of Notes may not be Aligned with Interests of Holders of Other Classes. The interests of the holders of a Class of Notes may not be aligned and may be adverse to the interests of the holders of other Classes of Notes. Accordingly, the exercise of remedies, voting rights or consent rights by the holders of one Class of Notes may be adverse to the holders of other Classes of Notes. In particular, if an Event of Default occurs, the holders of the most Senior Class of Notes then outstanding will be entitled to determine certain remedies to be exercised under the Indenture. The exercise of such remedies could be adverse to the interests of the holders of Subordinate Classes. Incremental Fundings and Prepayments of the Class A-1 Notes. Holders of the Class A-1 U Notes will, upon request by the Issuer for an Incremental Funding, advance funds to the Issuer equal to such Incremental Funding; provided that at the time of and immediately after giving effect to such Incremental Funding certain conditions are satisfied, as described herein. Notwithstanding the occurrence of an Event of Default, the Class A-1 U Noteholders will be required to advance funds to the Issuer at any time to the extent necessary to satisfy the Issuer's obligations to make certain payments under the Credit Default Swaps, as described herein. There can be no assurance that the applicable conditions to an Incremental Funding of the Class A-1 U Notes will be satisfied or that, if the Class A-1 U Noteholder fails to fund such an Incremental Funding, a replacement for the Class A-1 U Noteholder can be found. If the Issuer is unable to make a required payment under a Credit Default Swap because the Class A-1 U Noteholder fails to fund such an Incremental Funding and no replacement for the Class A-1 U Noteholder can be found, the Issuer may default on the Credit Default Swaps, in which case the Issuer may be subject to claims for termination payments by the Credit Default Swap Counterparty, which could have material and adverse consequences on the interests of the holders of the Notes. The Exercise of Certain Rights by the Class F Subordinated Notes could be Adverse to the Interests of the Holders of the Notes. Interests of the holders of the Class F Subordinated Notes may be different from and adverse to the interests of the holders of the Notes. In particular, if the holders of the Class F Subordinated Notes elect to exercise an Optional Redemption or Clean-Up Call, the holders of the Notes may not be able to invest the proceeds of the redemption of their Notes in one or more comparable investments providing a return equal to or greater than the return such holders of the Notes expected to obtain from their investment in the Notes. Average Lives of the Notes and Prepayment Considerations. The average life of each Class of Notes is expected to be shorter than the number of years until the Stated Maturity. The average life of each Class of Notes will be affected by the financial condition of the obligors on or issuers of the Reference Obligations and the characteristics of the Reference Obligations, including the existence and frequency of exercise of any prepayment, optional redemption, redemption or sinking fund features, the prevailing level of interest rates, the redemption price, the actual default rate and the actual level of recoveries on any defaulted assets, and the frequency of tender or exchange offers for the Reference Obligations. Furthermore, the average life of each Class of Notes may be affected by the occurrence of an Optional Redemption, Clean-up Call or Auction Call Redemption of the Notes. See "Security for the Notes". Restrictions on Transfer. The Co-Issuers have not registered with the United States Securities and Exchange Commission (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 (i) whose investors resident in the United States are solely Qualified Purchasers and (ii) which do not make a public offering of their securities in the United States. While counsel for the Co-Issuers will opine, in connection with the sale of the Notes by the Initial Purchaser and the Co-Issuers, as applicable, that neither the Issuer nor the Co-Issuer is on the Closing Date an investment company required to be registered under the Investment Company Act (assuming, for the purposes of such opinion, that the Notes are sold by the Initial Purchaser and the Co-Issuers, as applicable, in accordance with the terms of the Notes, the Indenture and other related Transaction Documents), no opinion or no-action position has been requested of the SEC. If the 15

SEC or a court of competent jurisdiction were to find that the Issuer or the Co-Issuer is required, but in violation of the Investment Company Act had 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; (ii) investors in the Issuer or the Co-Issuer could sue the Issuer or the Co-Issuer, as the case may be, and recover any damages caused by the violation; and (iii) any contract to which the Issuer or the Co-Issuer, as the case may be, is party that is made in, or whose performance involves a, violation of the Investment Company Act would be unenforceable by any party to the contract unless a court were to find that under the circumstances enforcement would produce a more equitable result than nonenforcement and would not be inconsistent with the purposes of the Investment Company Act. Should the Issuer or the Co-Issuer be subjected to any or all of the foregoing, the Issuer or the Co-Issuer, as the case may be, would be materially and adversely affected. Each Original Purchaser of a beneficial interest in a Rule 144A Global Note and each subsequent transferee will be deemed to represent at the time of purchase that: (i) the purchaser is both a Qualified Institutional Buyer and a Qualified Purchaser; (ii) the purchaser 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; and (iii) the purchaser 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; and (iv) the purchaser will provide written notice of the foregoing, and of any applicable restrictions on transfer, to any transferee. The Indenture provides that if, notwithstanding the restrictions on transfer contained therein, either of the Co-Issuers determines that any beneficial owner of a Note (or any interest therein) (A) is a U.S. Person (within the meaning of Regulation S under the Securities Act) and (B) is not both a Qualified Institutional Buyer and a Qualified Purchaser, then either of the Co-Issuers may 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 both a Qualified Institutional Buyer and a Qualified Purchaser, with such sale to be effected within 30 days after notice of such sale requirement is given. If such beneficial owner fails to effect the transfer required within such 30-day period, (i) upon direction from the Issuer, the Trustee, on behalf of and at the expense of the Issuer, shall cause such beneficial owner's interest in such Note to be transferred in a commercially reasonable sale (conducted by an investment bank selected by the Trustee in accordance with Section 9-601(b) of the Uniform Commercial Code as in effect in the State of New York as applied to securities that are sold on a recognized market or that may decline speedily in value) to a person that certifies to the Trustee and the Co-Issuers, in connection with such transfer, that such person is a both a Qualified Institutional Buyer and a Qualified Purchaser and (ii) pending such transfer, no further payments will be made in respect of such Note held by such beneficial owner. The Class A-1 U Notes may only be transferred (i) upon the delivery by the transferee of a duly executed Assignment and Acceptance Letter and (ii) if the transferee satisfies the Class A-1 U Noteholder Rating Criteria. See "Transfer Restrictions". Withholding on the Notes; No Gross-Up. The Issuer expects that payments of principal and interest in respect of the Notes by the Issuer will ordinarily not be subject to any withholding tax in the Cayman Islands, the United States or any other jurisdiction. In the event that withholding or deduction of any taxes from payments of principal or interest in respect of the Notes is required by law in any jurisdiction, neither of the Co-Issuers shall be under any obligation to make any additional payments to the holders of any Notes in respect of such withholding or deduction. See "Certain Tax Considerations". Additional Taxes. The Issuer expects that payments received on the Eligible Investments generally will not be subject to withholding taxes imposed by the United States or reduced by withholding taxes imposed by other countries from which such payments are sourced. Payments on the Eligible Investments, however, might become subject to U.S. or other withholding tax due to a change in law or other causes. Payments with respect to equity securities likely will be subject to withholding taxes imposed by the United States or other countries from which such payments are sourced. The imposition of unanticipated withholding taxes or tax on the Issuer's net income could materially impair the Issuer's ability to pay principal of and interest on the Notes. Upon the occurrence, solely as a result of Cayman Islands law, of any such events set forth in the preceding sentence, the Issuer will use its best endeavors 16

to procure (i) the substitution of a company incorporated in another jurisdiction in which the relevant tax does not apply or (ii) the establishment of a branch office in another jurisdiction in which the relevant tax does not apply from which it will continue to carry out its functions under the Notes, subject to the satisfaction of the Rating Condition for such substitution or change of jurisdiction. As soon as practicable after such investigation, the Issuer will send written notice to the Trustee as to whether either of such actions will be taken by the Issuer. No assurance can be made that any such actions by the Issuer will eliminate any such withholding taxes or tax on the Issuer's net income. Risks relating to the Co-Issuers Static Credit Default Swap Portfolio. Annex E hereto lists the individual Reference Obligations to be referenced in the Credit Default Swap Portfolio as of the Closing Date and no additions, removals, substitutions or modifications will be permitted to be made with respect to the Credit Default Swap Portfolio. Therefore, no additions, removals, substitutions or modifications to the Credit Default Swap Portfolio will be effected in response to any changes in the market conditions applicable to such Reference Obligations. In addition, the Issuer will be required to hold any Delivered Obligations until the earlier of the maturity date of such Delivered Obligations and the Final Maturity Date with respect to the Notes. If any deficiencies in the payments of the underlying Collateral should occur, payment of the Notes may be adversely affected. Asset-Backed Securities. The Reference Obligations will consist of Asset-Backed Securities, which includes, without limitation, certain Specified Types of Asset Backed Securities set forth in Annex A hereto. Asset-Backed Securities bear various risks, including interest rate risks, market risks, credit risks, liquidity risks, operations risks, structural risks and legal risks. Credit risk is an important issue in AssetBacked 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 collateral, 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 relative seniority or subordination of the class of Asset-Backed Security held by the investor, the process by which principal and interest payments are allocated to investors, how credit losses affect the issuing vehicle and the return to investors, whether collateral represents a static or revolving pool of specific assets or accounts, whether the underlying collateral 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 company and the extent to which the company that is the actual source of the collateral assets is obligated to provide support to the issuing vehicle or to the investors. Liquidity risk can arise from an increase in perceived credit risk, as occurred in 1996 and 1997 with the rise in reported delinquencies and losses on securitized pools of credit cards. Operations risk arises through the potential for misrepresentation of the loan quality or terms by the originating institution, misrepresentation of the nature and current value of the assets by the servicer and inadequate controls over disbursements and receipts by the servicer. If the servicer becomes subject to financial difficulty or otherwise ceases to be able to carry out its function, it may be difficult to find other acceptable substitute servicers and cash flow disruptions or losses may occur. 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 reductions. Other similar risks relate to the degree to which cash flows on the assets of the Issuer may be commingled with those on the originator's other assets. Residential ABS Securities. The Credit Default Swap Portfolio references Reference Obligations that are Residential ABS Securities. Residential ABS Securities represent interests in pools of residential mortgage loans secured by one- to four-family residential mortgage loans. Such loans may 17

be prepaid at any time. 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, economic conditions in the area where the related mortgaged property is located, the borrower's equity in the mortgaged property, property values 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. Residential mortgage loans 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. Violation 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 to damages and sanctions. At any one time, the portfolio of Reference Obligations consisting of Residential ABS 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 (including Hurricane Katrina, discussed below) 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 is generally the case for typical residential mortgage loans. As a result, the related mortgaged properties may have a more limited market than those securing average-sized residential mortgage loans. Hurricane Katrina, which struck Louisiana, Alabama, Mississippi and Florida in August 2005, may have adversely affected mortgaged properties located in those states that serve as collateral for the Reference Obligations and the abilities of mortgagors to make mortgage payments on the mortgage loans with respect to such properties. No efforts have been made by the Co-Issuers, the Credit Default Swap Counterparty, the Initial Purchaser or the Trustee to determine how many mortgaged properties relating to the Reference Obligations have been or may be affected by the hurricane or the effect of the hurricane on the economy in the affected regions. No assurance can be given as to the effect of this event on the rate of delinquencies, losses and prepayments on the mortgage loans secured by mortgaged properties that were or may be affected by the hurricane. Any adverse impact as a result of this event may adversely affect or shorten the weighted average lives of the Reference Obligations. Each underlying residential mortgage loan in an issue of Residential ABS Securities may have a balloon payment due on its maturity date. Balloon residential mortgage loans involve a greater risk to a lender than self-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 Residential ABS Securities may experience losses. In addition, interest payments on Residential ABS Securities may be subject to an available funds-cap and/or a weighted average coupon cap (which cap will, in each case, have the practical effect of deferring part or all of such interest payments) if interest rates rise substantially. Residential ABS Securities are subject to interest rate risk. The residential mortgage loans of an issuer of Residential ABS Securities may bear interest at a fixed (floating) rate while the Residential ABS 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 Residential ABS Securities and residential mortgage loans which bear interest at a fixed rate and there may be a timing mismatch between the Residential ABS Securities and assets that bear interest at a floating rate as the interest rate on such assets bearing 18

interest at a floating rate may adjust more frequently or less frequently, on different dates and based on different indices than the interest rates on the Residential ABS 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 Residential ABS Securities. Prepayment Risk. Prepayment risk on Asset-Backed Securities arises from the uncertainty of the timing of payments of principal on the underlying securitized assets. The assets underlying a particular Asset-Backed Security may be paid more quickly than anticipated, resulting in payments of principal on such Asset-Backed Security sooner than expected. In particular, the mortgage loans underlying Residential ABS Securities are frequently prepaid. Alternatively, amortization may take place more slowly than anticipated, resulting in payments of principal on the related Asset-Backed Security later than expected. In addition, a particular Asset-Backed Security may, by its terms, be subject to redemption prior to its maturity, resulting in a full or partial payment of principal in respect of such AssetBacked Security. Similarly, defaults on the underlying securitized assets may lead to sales or liquidations and result in a prepayment of such Asset-Backed Security. The rate of prepayments on the Reference Obligations referenced under the Credit Default Swaps may affect the weighted average lives of the Notes. Interest Rate Risk. The values of certain Asset-Backed Securities are sensitive to movements in interest rates and, as such, are subject to interest rate risk. Asset-Backed Securities are similar to other fixed-income securities in that they generally decrease in value as a result of increases in interest rates and/or spreads. However, although other fixed-income securities generally increase in value during periods of falling interest rates, certain Asset-Backed Securities, such as mortgage-backed securities, are generally vulnerable during periods of falling interest rates to the risk that the obligors on the underlying obligations will prepay such obligations, thus shortening the effective life of the Asset-Backed Securities. Reliance on Creditworthiness of the Credit Default Swap Counterparty and the Issuers of Eligible Investments. The ability of the Issuers to meet their obligations under the Notes will be dependent on the Issuer's receipt of payments from the Credit Default Swap Counterparty pursuant to the Credit Default Swaps and the proceeds of the Eligible Investments. Consequently, in addition to relying upon the creditworthiness of the Reference Entities, the Issuer will also be relying upon the creditworthiness of the Credit Default Swap Counterparty to perform its obligations under the Credit Default Swaps and of the issuers of or obligors with respect to the Eligible Investments. All or any part of the Eligible Investments held by the Issuer and pledged to the Trustee as Collateral may at any time constitute obligations of the Bank itself or an affiliate thereof. Reliance on Creditworthiness of Investment Agreements. The amounts on deposit in the Collateral Account are expected to be invested in Eligible Investments consisting initially of the Investment Agreement and, accordingly, the Issuer will be exposed to the creditworthiness of the Investment Agreement Provider and the Investment Agreement Insurer. The insolvency of the Investment Agreement Provider and the Investment Agreement Insurer or a default by such parties under the Investment Agreement and the Investment Agreement policy, respectively, would adversely affect the ability of the Issuer to pay principal and interest when due under the Notes and could result in a downgrade of the ratings of the Notes. In addition, a downgrade of the ratings of the Investment Agreement Insurer may result in a downgrade of the ratings of the Notes. See "The Investment Agreement". Certain Reductions in the Credit Default Swap Portfolio Notional Amount. Reductions to the Credit Default Swap Portfolio Notional Amount (as described under "Credit Default SwapsNotional Amount of the Credit Default Swaps") will reduce the Fixed Amounts payable by the Credit Default Swap Counterparty to the Issuer under the Credit Default Swaps and effectively reduce the available proceeds from which the Issuer can make payments on the Notes. Other Risks Relating to the Credit Default Swaps. Under the Credit Default Swaps, the Issuer will have a contractual relationship only with the Credit Default Swap Counterparty. Consequently, the Issuer will have no legal or beneficial interest in any Reference Obligation or any other obligation of any Reference Entity (other than any Delivered Obligations). The Issuer will have rights solely against the Credit Default Swap Counterparty, in accordance with the Credit Default Swaps, and will have no recourse against any of the Reference Entities. The Issuer will have no right directly to enforce 19

compliance by the obligor under any Reference Obligation with the terms thereof, will not have any rights of set-off against such obligor, will not have any voting rights with respect to such Reference Obligation, will not directly benefit from any collateral supporting such Reference Obligation and will not have the benefit of the remedies that would normally be available to a holder of such Reference Obligation. Following the occurrence of a Credit Event with respect to a Reference Entity, the Issuer will, at the Credit Default Swap Counterparty's option, be obligated to purchase the related Reference Obligation at par and such price will likely exceed the value of such Reference Obligations. Effect of Credit Events and Floating Payments under the Credit Default Swaps on the Performance of the Notes. Investing in the Credit Default Swaps gives the Issuer credit and interest rate exposure to a portfolio of Reference Obligations, each of which is a Residential ABS Security. The Reference Obligations will be investment grade at the time the Issuer invests in the Credit Default Swaps, but any such rating may be downgraded or withdrawn thereafter. The initial level of collateral securing the Notes on the Effective Date has been established by the Rating Agencies to provide for payment of the Notes despite an assumed level of Floating Payments and/or Credit Events on the Credit Default Swaps and of recoveries on the Delivered Obligations. However, payments on the Notes may be adversely affected by Floating Payments and/or Credit Events even if the assumptions used in rating the Notes prove to be correct. Additionally, if the Floating Payments and/or Credit Events on the Credit Default Swaps exceed such assumed levels, the related recoveries are below the assumed levels or the Credit Events occur earlier or later than has been assumed, payment of the Notes may be adversely affected. In each case, the occurrence of such Floating Payments and/or Credit Events may adversely affect the amounts of interest and principal proceeds available for payments on the Notes and may result in a loss of the investors investment. The concentration of the portfolio of the Credit Default Swaps in any one industry or geographic region will subject the Notes to a greater degree of risk of loss resulting from defaults within such industry or geographic region. Legal Risk relating to the Synthetic Securities. The Credit Default Swaps will be "Pay As You Go" credit default swaps. "Pay As You Go" credit default swaps are a new type of credit default swap developed to incorporate the unique structures of Asset-Backed Securities. In June 2005, the International Swaps and Derivatives Association, Inc. ("ISDA") published its first form confirmation for "Pay As You Go" credit default swaps referencing Residential ABS Securities. The form Credit Default Swap Confirmation attached as Annex D is substantially the same, but not exactly the same as the ISDA "Pay As You Go" form. While ISDA has published its form confirmation and has published and supplemented the 2003 ISDA Credit Derivatives Definitions as published by ISDA (the "Credit Derivatives Definitions") in order to facilitate transactions and promote uniformity in the credit default swap market, the credit default swap market is expected to change and the "Pay As You Go" credit default swap forms and the Credit Derivatives Definitions and terms applied to credit derivatives are subject to interpretation and further evolution. In addition, the form Credit Default Swap Confirmation attached as Annex D is structured for residential mortgage-backed securities and commercial mortgagebacked securities. ISDA is currently preparing forms for other types of Asset-Backed Securities. There can be no assurance that such forms will be substantially similar to the form Credit Default Swap Confirmation. Past events have shown that the views of market participants may differ as to how the Credit Derivatives Definitions operate or should operate. As a result of the continued evolution of the ISDA "Pay As You Go" credit default swap forms, the Credit Default Swap Confirmations may differ in the future because of future market standards. Such a result may have a negative impact on the liquidity and market value of the Credit Default Swaps. There can be no assurances that changes to the Credit Derivatives Definitions and other terms applicable to credit derivatives generally will be predictable or favorable to the Issuer. Amendments or supplements to the "Pay As You Go" credit default swap forms and amendments and supplements to the Credit Derivatives Definitions that are published by ISDA will only apply to the Credit Default Swaps executed prior to such amendment or supplement if certain conditions to amending any Credit Default Swap have been met. See "Credit Default SwapsAmendments". 20

Limited Provision of Information. Neither the Issuer nor the holders of Notes will have the right to inspect any records of the Credit Default Swap Counterparty or the Reference Entities. Except for certain limited reporting obligations to the Issuer described herein, neither the Issuer nor the holders of Notes will have the right to obtain from the Credit Default Swap Counterparty information on the Reference Entities, the Reference Obligations or the Credit Default Swap Portfolio. The Credit Default Swap Counterparty will have no obligation to keep the Issuer or the holders of Notes informed as to matters arising in relation to any Reference Entity or Reference Obligation, including whether or not circumstances exist under which there is a possibility of the occurrence of a Floating Payment or a Credit Event. Potential Conflicts of Interest Involving the Credit Default Swap Counterparty; Relationship of the Credit Default Swap Counterparty with Reference Entities. The Credit Default Swap Counterparty is not required to have any credit exposure to any Reference Entity or with respect to any Reference Obligation. In addition, the Credit Default Swap Counterparty owes no duty and will not be, and will not be deemed to be acting as, the agent or trustee of the Issuer, the Trustee or the holders of the Notes in connection with the exercise of, or the failure to exercise, any of the rights or powers of the Credit Default Swap Counterparty arising under or in connection with any Reference Obligation. The Credit Default Swap Counterparty and its affiliates may deal in any Reference Obligation and may accept deposits from, make loans or otherwise extend credit to, and generally engage in any kind of commercial or investment banking or other business transactions with, any Reference Entity or any sponsors or affiliates of the Reference Entities and may act with respect to such transactions in the same manner as if the Credit Default Swaps and the Notes did not exist and without regard to whether any such action might have an adverse effect on the Reference Entity, the Issuer or the holders of the Notes. Although the Credit Default Swap Counterparty and/or its affiliates may in many cases have entered into and may from time to time enter into business transactions with Reference Entities and/or their sponsors and affiliates, the Credit Default Swap Counterparty and/or its affiliates at any time may or may not hold obligations of or have any business relationship with any particular Reference Entity and/or their affiliates. The Credit Default Swap Counterparty will be the Credit Default Swap Calculation Agent who determines each Floating Payment payable to the Credit Default Swap Counterparty under the Credit Default Swaps. Conflicts of Interest Potential Conflicts of Interest Involving the Initial Purchaser. The Initial Purchaser and certain of its affiliates (including Deutsche Bank AG London as Credit Default Swap Counterparty) will be acting in a number of capacities in connection with the transactions described herein. Each of the Initial Purchaser and each affiliate of the Initial Purchaser acting in any particular capacity in connection with such transactions shall have only the duties and responsibilities expressly agreed to by such entity in the relevant capacity and shall not, by virtue of its or any of its affiliates' acting in any other capacity, be deemed to have other duties or responsibilities or be deemed to be held to a standard of care other than as expressly provided with respect to each such capacity. The Initial Purchaser and its affiliates in their various capacities in connection with the contemplated transactions may enter into business dealings, including the acquisition and substitution of and investment in Eligible Investments as contemplated by the Transaction Documents, from which they may derive revenues and profits in addition to the fees stated in the various Transaction Documents, without any duty to account therefor. At any time or from time to time all or a portion of the Eligible Investments held by the Issuer may consist of obligations of the Bank and/or its affiliates or obligations with respect to which the Initial Purchaser acted as structuring agent, underwriter or placement agent. In addition, the Initial Purchaser or an affiliate thereof may purchase and hold indefinitely any Classes of Notes and/or Additional Notes. Conflicts of Interest Potential Conflicts of Interest Involving the Trustee. Under the Indenture, the Trustee will hold a security interest in the Collateral for the benefit of, first, the Credit Default Swap Counterparty (other than that portion of the Collateral consisting of the rights and interest of the Issuer in the Credit Default Swaps and the proceeds thereof) and Deutsche Bank AG with respect to the Financed Amount and, second, the remaining Secured Parties. Accordingly, the Trustee may take into account the interests of the Trustee, the Credit Default Swap Counterparty, Deutsche Bank AG and/or the other Secured Parties in taking any discretionary action or making any discretionary determination with respect to the Collateral in which the various Secured Parties share a security interest.

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Auction Call Redemption, Optional Redemption or Clean-up Call. If the Trustee or an independent banking firm on its behalf, on behalf of the Issuer, conducts a successful Auction Call Redemption, or in the event of an Optional Redemption or Clean-up Call, the holders of the Notes may not be able to invest the proceeds of the redemption of their Notes in one or more comparable investments providing a return equal to or greater than the return such holders of the Notes expected to obtain from their investment in the Notes. Projections, Forecasts and Estimates. Any projections, forecasts and estimates contained herein are forward looking statements. Projections are necessarily speculative in nature, and it can be expected that some or all of the assumptions underlying any projections will not materialize or will vary significantly from actual results. Accordingly, any projections are only estimates. Actual results may vary from the projections, 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 and frequency of Writedowns, Writedown Reimbursement Payment Amounts, Failures to Pay Principal, Principal Shortfall Reimbursement Payment Amounts, Interest Shortfall Payment Amounts and Interest Shortfall Reimbursement Payment Amounts in connection with the Reference Obligations, mismatches between the timing of accrual and receipt of Interest Proceeds and Principal Proceeds, and early termination under the Credit Default Swaps, among others. Consequently, the inclusion of any projections herein should not be regarded as a representation by any person or entity of the results that will actually be achieved with respect to the Credit Default Swap Portfolio. Neither the Issuer nor the Bank (in any capacity) nor any other person has any obligation to update or otherwise revise any projections, forecasts or estimates, 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. None of the Issuer, the Co-Issuer, the Trustee, the Collateral Administrator, the Initial Purchaser, the Credit Default Swap Counterparty and any of their respective affiliates and 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. Legislation and Regulations In Connection With the Prevention of Money Laundering. The Uniting and Strengthening America By Providing Appropriate Tools Required to Intercept and Obstruct Terrorism Act of 2001 (the "USA PATRIOT Act"), signed into law on and effective as of October 26, 2001, imposes anti-money laundering obligations on different types of financial institutions, including banks, broker-dealers and investment companies. The USA PATRIOT Act requires the Secretary of the United States Department of the Treasury (the "Treasury") to prescribe regulations to define the types of investment companies subject to the USA PATRIOT Act and the related anti-money laundering obligations. It is not clear whether Treasury will require entities such as the Issuer to enact anti-money laundering policies. It is possible that Treasury will promulgate regulations requiring the Co-Issuers or the Initial Purchaser or other service providers to the Co-Issuers, in connection with the establishment of antimoney laundering procedures, to share information with governmental authorities with respect to investors in the Notes and/or the Class F Subordinated Notes. Such legislation and/or regulations could require the Co-Issuers to implement additional restrictions on the transfer of the Notes and/or the Class F Subordinated Notes. As may be required, the Issuer reserves the right to request such information and take such actions as are necessary to enable it to comply with the USA PATRIOT Act. The Issuer and the Administrator are subject to anti-money laundering laws and regulations in the Cayman Islands which impose specific requirements with respect to the obligation "to know your client". Except in relation to certain categories of institutional investors, the Issuer will require a detailed verification of each initial investor's identity and the source of the payment used by such investor for purchasing the Notes in a manner similar to the obligations imposed under the laws of other major financial centers. If the Cayman Islands government determined the Issuer was in violation of the antimoney laundering provisions, the Issuer could be subject to substantial criminal penalties. Payment of any such penalties could materially adversely affect the timing and amount of payments to holders of the Notes. 22

DESCRIPTION OF THE NOTES The Notes will be issued 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 the holders of the Notes upon request to the Issuer or the Initial Purchaser and will be available for inspection at the office of the Paying Agent in Dublin, Ireland. Status and Security The Notes will be limited recourse debt obligations of the Co-Issuers. Under the terms of the Indenture, the Issuer will grant to the Trustee, for the benefit of the Secured Parties, a first priority perfected security interest in the Collateral described herein to secure the Issuer's obligations under the Indenture, the Notes and certain other agreements. Payments of principal of and interest on the Notes will be made solely from the proceeds of the Collateral, in accordance with the priorities described under "Priority of Payments" herein. 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 Co-Issuers to pay any such deficiency will be extinguished. The Class A-1 Notes General The Class A-1 Notes will be issued as Class A-1 F Notes and Class A-1 U Notes. Pursuant to the Class A-1 Note Purchase Agreement, the Issuer may from time to time request an Incremental Funding from the Class A-1 U Noteholder and pursuant to such request, such Class A-1 U Noteholder will deposit, on the next Incremental Funding Date, an amount with the Issuer equal to such Incremental Funding. In the event that the Class A-1 U Noteholder fails to fund its Pro Rata Share of any Incremental Funding, the Trustee shall withdraw from the related Class A-1 U Noteholder Account, if any, an amount equal to such holders Pro Rata Share of such Incremental Funding and use such amount to satisfy the related Class A-1 U Noteholders obligations hereunder. In exchange for such deposited amount, the Issuer will increase the Class A-1 Funded Amount with respect to the Class A-1 F Notes in an amount equal to such Incremental Funding and the Class A-1 Unfunded Amount with respect to the Class A-1 U Notes shall be reduced by such Incremental Funding. The amount of any Incremental Funding will be determined in accordance with the payment mechanics described in "Priority of PaymentsCredit Default Swap Allocations". It is not a condition to closing that the Issuer request funding of any amount under the Class A-1 Notes on the Closing Date. In certain circumstances, the Class A-1 Commitment Amount may be reduced along with a reduction in the funded amount and/or the unfunded amount. See "Priority of PaymentsCredit Default Swap Allocations". The obligations of the Co-Issuers under the Class A-1 Notes will be secured pursuant to the Indenture by, and payable solely from and to the extent of available proceeds from, the Collateral. Prior to the Final Maturity Date, subject to compliance with the Class A-1 Note Purchase Agreement and the Indenture and so long as the Class A-1 Unfunded Amount is greater than zero, the Issuer may request additional Incremental Fundings as necessary for the Issuer to make certain payments under the Credit Default Swaps, as described under "Priority of PaymentsCredit Default Swap Allocations". If any holder of a Class A-1 U Note does not at any time during the Commitment Period satisfy the Class A-1 U Noteholder Rating Criteria, then such holder will (i) immediately give notice of such fact to the Issuer, the Trustee, the Credit Default Swap Counterparty and each Rating Agency and (ii) not later than 30 days after the date on which such holder fails to satisfy the Class A-1 U Noteholder Rating 23

Criteria do one of the following: (A) fund a deposit of its Pro Rata Share of the Class A-1 Unfunded Amount into a Class A-1 U Noteholder Account, (B) obtain a guaranty or other form of credit enhancement that satisfies the Rating Condition and is approved by the Credit Default Swap Counterparty, (C) transfer all of its rights and obligations in respect of all Class A-1 U Notes held by such holder to a person that satisfies the Class A-1 U Noteholder Rating Criteria on the date of such assignment or (D) take such other action as may be agreed with the relevant Rating Agency, the Credit Default Swap Counterparty, the Issuer and the Trustee. The obligation of any Class A-1 U Noteholder to fund its Pro Rata Share of any Incremental Funding will be satisfied by the Trustee withdrawing funds from the related Class A-1 U Noteholder Account, if any, in an amount equal to such holders Pro Rata Share of any Incremental Funding. The Class A-1 U Notes and the Class A-1 F Notes shall vote as a single class. Class A-1 U Noteholder Accounts If and to the extent that any Class A-1 U Noteholder is required to secure its obligations under the Indenture and the related Class A-1 Note Purchase Agreement, the Trustee will establish a segregated trust account held in the name of the Trustee (each such account, a "Class A-1 U Noteholder Account"). The Trustee shall deposit into the Class A-1 U Noteholder Account all amounts or securities received from the Class A-1 U Noteholder that is required to secure the obligations of such holder of the Class A-1 U Notes. Except for investment earnings, the Class A-1 U Noteholder shall not have any legal, equitable or beneficial interest in the Class A-1 U Noteholder Account other than in accordance with the Indenture and the related Class A-1 Note Purchase Agreement. Any Class A-1 U Noteholder Account shall not be generally available to the Issuer for purposes other than for Incremental Fundings under the Class A-1 U Notes. For the avoidance of doubt, the deposit of cash to a Class A-1 U Noteholder Account by any holder shall not constitute an Incremental Funding and shall not constitute a utilization of the commitment of such holder, and the funds on deposit in a Class A-1 U Noteholder Account shall not constitute principal outstanding under the Class A-1 Notes. Upon the Class A-1 U Noteholder Account Termination Date, all funds then held in the relevant Class A-1 U Noteholder Account (after giving effect to any Incremental Fundings in respect of such Class A-1 U Notes that are to be made on or prior to such date) shall be withdrawn from such Class A-1 U Noteholder Account and remitted to the holder for which the account was established by the Trustee. Cash on deposit in any Class A-1 U Noteholder Account shall be invested in Eligible Investments by the Trustee, on behalf of the Issuer. Income received on amounts on deposit in any Class A-1 U Noteholder Account may be withdrawn from such account and paid to the related Class A-1 Noteholder. Cash and Eligible Investments on deposit in any Class A-1 U Noteholder Account will not be included in the Collateral and will not be available to make payments described hereunder other than to the extent the Class A-1 Noteholder fails to meet its funding obligations under this Indenture, the Class A-1 Note Purchase Agreement and the Class A-1 U Notes. "Class A-1 U Noteholder Account Termination Date" means, with respect to any holder that has deposited cash into the Class A-1 U Noteholder Account, the earliest to occur of (a) the satisfaction by such holder of the Class A-1 U Noteholder Rating Criteria, (b) such holder obtaining a guaranty that fully and unconditionally guarantees its obligations with respect to the Class A-1 U Notes or other form of credit enhancement that satisfies the Rating Condition and is approved by the Credit Default Swap Counterparty, (c) transfer pursuant to the Class A-1 Note Purchase Agreement of all of such holders rights and obligations in respect of all Class A-1 U Notes held by such holder to a person that satisfies the Class A-1 U Noteholder Rating Criteria on the date of such assignment, (d) the Commitment Period Termination Date and (e) any such other action as is agreed with the relevant Rating Agency, the Credit Default Swap Counterparty, the Issuer and the Trustee to satisfy such Class A-1 U Noteolders obligation to meet the Class A-1 U Noteholder Rating Criteria under the Class A-1 Note Purchase Agreement, as determined in accordance with such Class A-1 Note Purchase Agreement.

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Interest on the Class A-1 Notes On each Payment Date, to the extent amounts are available therefore, the Issuer will be required to pay the Class A-1 F Noteholder interest on the Class A-1 F Notes equal to the Class A-1 Funded Amount Interest and the Class A-1 U Noteholder interest on the Class A-1 U Notes equal to the Class A-1 Unfunded Amount Interest. Interest The Class A-1 Notes will bear interest at the rate as described under "Summary of Terms Interest on the Class A-1 Notes." Interest will accrue on each Class of Notes other than the Class A-1 Notes at the rate of interest set forth in "Summary of TermsInterest Payments on the Notes" on the Aggregate Outstanding 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) during each related Interest Period. With respect to the first Payment Date, interest will accrue on the Aggregate Outstanding Amount of each Class of Notes (determined as of the Closing Date) from the Closing Date to and excluding the first Payment Date. Accrued and unpaid interest will be payable in U.S. dollars in arrears on each Payment Date, on such Payment Date in accordance with the Priority of Payments. So long as any Class of Notes is Outstanding, if a Coverage Test applicable to such Class of Notes is not in compliance on any Determination Date relating to any Payment Date, then certain funds that would otherwise be used to make certain payments in respect of items in the "Priority of Payments Interest Proceeds" that are subordinate to such Class will be used instead to redeem each Class of Notes in the order of priority specified in the Priority of Payments, until each applicable Coverage Test is in compliance. See "Priority of Payments" below. With respect to each of the Class C Notes, Class D Notes or Class E Notes, so long as any more Senior Class of Notes remains Outstanding, failure to make payment in respect of interest on the Class C Notes, Class D Notes or Class E Notes on any Payment Date by reason of the Priority of Payments will not constitute an Event of Default under the Indenture. Interest will cease to accrue on each Note or, in the case of a partial repayment, on such part, from the Final Maturity Date unless payment of principal is improperly withheld or unless default is otherwise made with respect to such payments. To the extent lawful and enforceable, any due and unpaid interest on any Note will accrue at the interest rate applicable to such Note until paid. Determination of LIBOR With respect to each Interest Period, "LIBOR" for purposes of calculating the interest rate for the Notes for such Interest Period will be determined by the Trustee, as calculation agent (the "Calculation Agent") in accordance with the following provisions: (i) LIBOR for any Interest Period shall equal the offered rate, as determined by the Calculation Agent, for Dollar deposits of three months 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 reported by Bloomberg Financial Markets Commodities News, 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; provided that, with respect to any Incremental Funding, the LIBOR Determination Date shall be the second London Banking Day prior to the Incremental Funding Date. (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), as reported by Bloomberg Financial Markets Commodities News, 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 Dollar deposits of three months (except that in the case where such Interest Period shall commence on a day that is not a LIBOR Business Day, for the relevant term commencing on the next following LIBOR Business Day), by reference to requests for quotations as of approximately 11:00 a.m. (London time) on 25

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 are quoting on the relevant LIBOR Determination Date for 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 LIBOR Business Day, for the relevant term commencing on the next following LIBOR Business 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 three months, including, with respect to any Incremental Funding, the period from the related Incremental Funding Date to the next Payment Date, 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 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, 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 Dollar deposits referred to therein were a period of time equal to seven days. (iv) If the Calculation Agent is required but is unable to determine a rate in accordance with either procedure described in clauses (i) and (ii) 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) or (iv) above, LIBOR with respect to such Interest Period shall be the arithmetic mean of the Base Rate for each day during such Interest Period. For purposes of clauses (i), (ii), (iii) and (iv) above, all percentages resulting from such calculations shall be rounded, if necessary, to the nearest one hundred-thousandth of a percentage point. Notwithstanding any of the foregoing provisions, with respect to the determination of the interest rate for the Notes for the first Interest Period, LIBOR shall be determined in accordance with the foregoing provisions two Business Days prior to the Closing Date and, as so determined, will remain in effect until the day preceding the initial Payment Date. As used herein: "Base Rate" means, with respect to each date of determination, 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 Chicago, Illinois office as its base rate, prime rate, reference rate or similar rate for Dollar loans. Changes in the Base Rate will take effect simultaneously with each change in the underlying rate. "Base Rate Reference Bank" means LaSalle Bank National Association, or if such bank ceases to exist or is not quoting a base rate, prime rate reference rate or similar rate for Dollar loans, such other major money center commercial bank in New York City, as selected by the Calculation Agent. "Designated Maturity" means with respect to each Interest Period other than the first Interest Period, three months. "Interest Period" means (i) with respect to the first Interest Period, from and including the Closing Date to and excluding the May 2006 Payment Date, (ii) with respect to each Payment Date thereafter, the period beginning and including the immediately preceding Payment Date and ending on, 26

but excluding, such Payment Date and (iii) with respect to an Incremental Funding, the period beginning and including the related Incremental Funding Date and ending on, but excluding such Payment Date. "LIBOR Business Day" means a day on which commercial banks and foreign exchange markets settle payments in Dollars in New York, Chicago and London, England. "London Banking Day" means a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in London. "Reference Banks" means four major banks in the London interbank market, selected by the Calculation Agent. "Reference Dealers" means three major dealers in the secondary market for U.S. Dollar certificates of deposit, selected by the Calculation Agent. For so long as any Class of Notes 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 the Business Day immediately following each LIBOR Determination Date, the Trustee will calculate the interest rate for each Class of Notes for the related Interest Period and the amount of interest payable for such Interest Period (in each case rounded to the nearest cent, with half a cent being rounded upward) on the related Payment Date and will communicate such rates and amounts and the related Payment Date to the CoIssuers, the Trustee, each Paying Agent, DTC, Euroclear, Clearstream and the Irish Stock Exchange. So long as any Class of Notes are outstanding and listed on the Irish Stock Exchange, the Calculation Agent will notify the Irish Paying Agent who will notify the Irish Stock Exchange of the interest rate for such Class of Notes for each Interest Period, the amount of interest payable in respect thereof for such Interest Period and the Payment Date on which such interest is scheduled to be paid as soon as possible after the foregoing determination. The Calculation Agent may be removed by the Co-Issuers at any time. If the Calculation Agent is unable or unwilling to act as such, is removed by the Co-Issuers 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 Co-Issuers will promptly appoint as a replacement Calculation Agent a leading bank that is engaged in transactions in Eurodollar deposits in the international Eurodollar market and which does not control and is not controlled by or under common control with either of the Co-Issuers 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 the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes for each Interest Period by the Calculation Agent shall (in the absence of manifest error) be final and binding upon all parties. Principal Each Class of Notes will mature at the Stated Maturity. However, the Notes may be paid in full or in part prior to their Stated Maturity. See "Risk FactorsAverage Lives of the Notes and Prepayment Considerations". 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 a Clean-up Call) will be made by the Trustee on a pro rata basis on each Payment Date among the Notes of such Class according to the respective Aggregate Outstanding Amount 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 Paying Agent who will notify the Irish Stock Exchange not later than the second Business Day preceding each Payment Date of the amount of principal payments to be made on the Notes of such Class on such Payment Date and the Aggregate Outstanding Amount of the Notes of such Class and as a percentage of the original Aggregate Outstanding Amount of the Notes of such Class after giving effect to the principal payments, if any, on such Payment Date. Principal Proceeds will be applied on each Payment Date in accordance with the Priority of Payments to pay principal of each Class of Notes on a pari passu basis, except as otherwise provided herein. 27

Auction Call Redemption In accordance with the procedures described in the Indenture (the "Auction Procedures"), the Trustee will, at the expense of the Issuer, conduct an auction (an "Auction") of the Delivered Obligations if, on or prior to the Payment Date occurring in November 2013 the Notes have not been redeemed in full. The Auction will be conducted not later than nineteen Business Days prior to (1) the Payment Date occurring in February 2014 and (2) if the Notes are not redeemed in full on such Payment Date, each alternate Payment Date thereafter until the Final Maturity Date (each such nineteenth Business Day prior to a Payment Date described in the immediately preceding clauses, an "Auction Date"). Any of the Initial Purchaser, the Credit Default Swap Counterparty, the Class F Subordinated Noteholders or the Trustee or any of their respective affiliates may, but will not be required to, bid at the Auction. The Trustee will dispose of and transfer the Delivered Obligations (or any portion thereof) to the Qualified Bidder that bids the highest price therefor at the Auction; provided that: (i) the Auction has been conducted in accordance with the Auction Procedures;

(ii) the Trustee has received bids for all or a portion of the Delivered Obligations from at least two prospective purchasers identified on a list of qualified bidders identified by the holders of Class F Subordinated Notes (each such bidder referred to herein as a "Qualified Bidder"); (iii) the Trustee certifies that the highest bids would result in the disposition or transfer of all or a portion of the Delivered Obligations for a price (paid in cash) that, together with the Balance of all Eligible Investments held by the Issuer, plus receipt by the Issuer of the Termination Asset, if applicable, less payment by the Issuer of the Termination Liability, if applicable, upon termination or transfer of all the Credit Default Swaps, will be at least equal to the Auction Redemption Amount; and (iv) following certification under subclause (iii) above, each highest bidder enters into a written agreement with the Issuer (which the Issuer will execute if the conditions set forth above and the Auction Procedures are satisfied (such execution to constitute certification by the Issuer that such conditions have been satisfied)) that obligates the highest bidder to acquire the portion of the Delivered Obligations for which it was the highest bidder (which may be 100%) and provides for payment in full (in cash) of the price for the Delivered Obligations by the highest bidder on the Business Day prior to the Auction Redemption Date and on or prior to the tenth Business Day before the relevant Auction Redemption Date, the Trustee has entered into agreements for transfer of all the Credit Default Swaps that will not be terminated and such agreement will be effective on or prior to such tenth Business Day, and all other Credit Default Swaps will be terminated pursuant to their terms on or before such tenth Business Day. Provided that all of the conditions set forth in clauses (i) through (iv) of the last sentence of the preceding paragraph have been met, the Trustee will dispose of and transfer the portion of the Delivered Obligations for which bids have been received (which may be 100%), without representation, warranty or recourse, to the highest bidder or bidders in accordance with and upon completion of the Auction Procedures. The Trustee will deposit the acquisition price for the Delivered Obligations in the Principal Collection Subaccount, plus the amount of the Termination Asset, if applicable, and minus the amount of the Termination Liability, if applicable, and on the Payment Date immediately following the relevant Auction Date (i) pay the Auction Redemption Amount in accordance with the Priority of Payments relating to the Final Maturity Date and (ii) make a payment to the Class F Subordinated Notes Paying Agent for distribution to the Class F Subordinated Noteholders in an amount equal to the remaining balance in the Payment Account in accordance with the Priority of Payments relating to the Final Maturity Date (such redemption, the "Auction Call Redemption"). If not all the Delivered Obligations have been sold in the Auction and the Auction Redemption Amount has been paid to redeem the Notes in their entirety, the unsold Delivered Obligations shall be transferred in kind to the Class F Subordinated Noteholders at such time as payment of the Auction Redemption Amount with respect to the Class F Subordinated Notes. Notwithstanding the foregoing, the holders of 100% of the Aggregate Outstanding Amount of a Class of Notes may elect, in connection with any Auction Call Redemption, to receive less than 100% of the Redemption Price or the Face Amount, as applicable, that would otherwise be payable to holders of such Class so electing (and the Auction Redemption Amount shall be reduced by such amount).

28

A Delivered Obligation may not be sold pursuant to an Auction Call Redemption to the highest bidder therefor unless, at least ten Business Days before the Auction Redemption Date, the Trustee shall have received evidence from the bidder, in form satisfactory to the Trustee, that the Issuer has a binding agreement with the bidder to sell, not later than the Business Day immediately preceding the scheduled Auction Redemption Date, for immediately available funds, all or part of the Delivered Obligations at the price reported to the Trustee by the Issuer, and (A) the bidder is, or such agreement is guaranteed by, a financial institution or institutions (whose long-term unsecured debt obligations (other than such obligations whose rating is based on the credit of a person other than such institution) have a credit rating from each Rating Agency at least equal to the highest rating of the Notes then outstanding or whose short-term unsecured debt obligations have a credit rating of "P-1" by Moody's and at least "A-1" by Standard & Poor's), or (B) the bidder has deposited the acquisition price in escrow with the Trustee. If any of the foregoing conditions is not met with respect to any Auction or if any highest bidder fails to pay the acquisition price on or before the Business Day before the relevant Auction Redemption Date, (a) the Auction Call Redemption will not occur on the relevant Auction Redemption Date, (b) the Trustee will give notice of the withdrawal, (c) subject to clause (d) below, the Trustee will decline to consummate any sales of Delivered Obligations and will not solicit any further bids or otherwise negotiate any further dispositions of Delivered Obligations in relation to such Auction and (d) unless the Notes are redeemed in full prior to the next succeeding Auction Date, the Trustee will conduct another Auction on the next succeeding Auction Date. Notwithstanding the foregoing, the Trustee may, at the expense of the Issuer, engage an independent investment banking firm to perform any of the functions of the Trustee set forth in this section. Optional Redemption Subject to certain conditions described herein, on any Payment Date occurring on or after the February 2009 Payment Date, the Issuer may effect an Optional Redemption of the Notes, in whole but not in part, at the direction of the holders of the majority of the Aggregate Outstanding Amount of the Class F Subordinated Notes. No Optional Redemption shall occur unless the Redemption Amount (which includes the Redemption Price payable to the Noteholders) is paid in full on the date of such redemption in accordance with the Priority of Payments. On the Redemption Date, the respective Redemption Prices for each Class of the Notes shall be distributed by the Trustee acting as Paying Agent to the holders of the Notes pursuant to the Priority of Payments. Clean-up Call Subject to certain conditions described herein, on any Payment Date occurring on or after the Payment Date on which the Aggregate Principal Balance of the Credit Default Swaps, Delivered Obligations and Principal Proceeds is reduced to U.S.$75,000,000 or less, the Issuer may effect a Clean up Call, acting at the direction of the holders of the majority of the Aggregate Outstanding Amount of the Class F Subordinated Notes, in whole but not in part, at the Redemption Price. No such Clean-up Call may be effected unless the Redemption Amount is paid in full in accordance with the Priority of Payments. On the Redemption Date, the respective Redemption Price for each Class of the Notes shall be distributed by the Trustee acting as Paying Agent to the holders of the Notes pursuant to the Priority of Payments. Redemption Price/Redemption Amount The amount payable to the holders of the Notes in connection with any Optional Redemption, Clean-up Call or Auction Call Redemption of any Note (with respect to each Class of Notes) will be an amount equal to the applicable Redemption Price.

29

"Redemption Amount" means, with respect to an Optional Redemption or a Clean-up Call, an amount equal to the sum of (i) the Redemption Price, (ii) all Administrative Expenses then due and payable without regard to any caps or limitations, (iii) payment in full of the outstanding balance of the Financed Amount to Deutsche Bank AG and (iv) all unpaid payments, fees and expenses of the CoIssuers, including any termination payments or other amounts due to the Credit Default Swap Counterparty. "Auction Redemption Amount" means, with respect to an Auction Call Redemption, an amount equal to the sum of (i) the Redemption Price (as may be reduced in accordance with the last sentence of the second paragraph of "Description of the NotesAuction Call Redemption"), (ii) the Face Amount (as may be reduced in accordance with the last sentence of the second paragraph of "Description of the NotesAuction Call Redemption"), (iii) all Administrative Expenses then due and payable without regard to any caps or limitations, (iv) payment in full of the outstanding balance of the Financed Amount to Deutsche Bank AG and (v) all unpaid expenses of the Co-Issuers, including any termination payments or other amounts due to the Credit Default Swap Counterparty. Redemption Procedures Notice of an Optional Redemption or a Clean-Up Call will be given by first-class mail, postage prepaid, mailed not less than twenty calendar days prior to the date scheduled for redemption (the "Redemption Date"), to each holder of Notes and each Class F Subordinated Noteholder at such holder's address in the register maintained by the registrar under the Indenture and by the Class F Subordinated Note Registrar under the Class F Subordinated Note Paying Agency Agreement, as applicable, the Credit Default Swap Counterparty and to each Rating Agency. In addition, the Trustee will, if required, promptly give notice of such Optional Redemption or Clean-Up Call to the Irish Paying Agent who will give notice to the Company Announcements Office of the Irish Stock Exchange (which notice shall specify the principal amount of each Class of Notes to be redeemed). Notes must be surrendered at the specified 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 and the Trustee. In connection with an Optional Redemption or Clean-up Call, the Trustee, or an independent investment banking firm on its behalf, will transfer each Delivered Obligation and each Credit Default Swap (to the extent that the bid for transfer of a Credit Default Swap is more favorable to the Issuer than the termination payment that would be due upon termination of such Credit Default Swap at such time) to the Qualified Bidder that has bid the highest price for such Delivered Obligation or Credit Default Swap in accordance with the terms set forth in the Indenture. Any notice of an Optional Redemption or Clean-Up Call may be withdrawn by the Issuer (if so directed by the holders of not less than a majority of the Aggregate Outstanding Amount of the Class F Subordinated Notes, or if the Redemption Price will not be deposited with the Trustee as required in the Indenture) on or before the tenth Business Day prior to the Redemption Date by written notice to the Trustee on or prior to such earlier day. Notice of any such withdrawal shall be given by the Trustee to each holder of Notes at such holder's address in the Note Register maintained by the Note Registrar under the Indenture and each Class F Subordinated Noteholder at such holder's address in the Class F Subordinated Note Register maintained by the Class F Subordinated Note Registrar under the Class F Subordinated Note Paying Agency Agreement, by overnight courier guaranteeing next day delivery, sent not later than the third Business Day prior to the scheduled Redemption Date. In addition, if required, notice of any such withdrawal will be delivered by the Trustee to the Irish Paying Agent who will give notice to the Company Announcements Office of the Irish Stock Exchange. In connection with an Optional Redemption, Clean-up Call or Auction Call Redemption, the Trustee will, if so directed by the holders of not less than a majority of the Aggregate Outstanding Amount of the Class F Subordinated Notes, solicit bids for all or a portion of the Delivered Obligations from at least two Qualified Bidders. In connection with the final payment of principal to be made on the Notes in connection with an Optional Redemption, Clean-up Call or Auction Call Redemption, the Trustee will, if so directed by the holders of not less than a majority of the Aggregate Outstanding Amount of the Class F Subordinated 30

Notes, solicit bids from Qualified Bidders identified by such holders of Class F Subordinated Notes that are approved by the Credit Default Swap Counterparty for the transfer of each of the Credit Default Swaps and, if any such bid is better than the quotation obtained by the Credit Default Swap Counterparty in calculating the termination payment in connection with the termination of that Credit Default Swap (or any sub-pool), the Trustee shall transfer that Credit Default Swap to the Qualified Bidder that has bid the Best Transfer Price. For purposes of the foregoing, the "Best Transfer Price" shall mean the highest bid, if the Qualified Bidder will make a payment to the Issuer to obtain the transfer to it of the Credit Default Swap, and shall mean the lowest bid, if the Qualified Bidder will require receipt of a payment from the Issuer to agree to the transfer to it of the Credit Default Swap, and the meaning of "better" in the preceding sentence shall be interpreted consistent with the foregoing. Only those Credit Default Swaps that will not be transferred to one or more Qualified Bidders, each of which has bid the Best Transfer Price, will be terminated. Upon receipt of such notice, the Trustee shall terminate the Credit Default Swaps that are not being transferred to a Qualified Bidder in accordance with the terms thereof. As conditions to assigning or transferring any Credit Default Swap in accordance with the immediately preceding paragraph, the Issuer shall deliver to the Trustee at least fifteen Business Days prior, in the case of an Optional Redemption or a Clean-up Call, or at least nine days prior to such proposed termination date, in the case of an Auction Call Redemption, the following items: (i) a resolution of the Issuer's Board of Directors authorizing the Trustee to terminate or transfer the applicable Credit Default Swaps; (ii) an Accountants' Certificate certifying, among other things, that (X) the monies to be received by the Issuer from the Credit Default Swap Counterparty with respect to the Credit Default Swaps to be terminated, from the Qualified Bidders, each of which has bid the Best Transfer Price with respect to the Credit Default Swaps that are being transferred (all such amounts to be received by the Issuer from the Credit Default Swap Counterparty and the Qualified Bidder or Bidders, "Swap Termination or Transfer Inflows"), together with the sale of any Delivered Obligations, any Eligible Investments on deposit in the Collateral Account, any Eligible Investments on deposit in the Collection Account and any Scheduled Distributions of interest or principal to be received on the Pledged Assets prior to the proposed Redemption Date or Auction Redemption Date, as applicable, minus (Y) the sum of (1) the amount of the monies to be paid by the Issuer to the Credit Default Swap Counterparty with respect to the Credit Default Swaps to be terminated, and (2) any monies to be paid to the Qualified Bidders, each of which has bid the Best Transfer Price with respect to the Credit Default Swaps that are being transferred (all such monies to be paid by the Issuer to the Credit Default Swap Counterparty or to a Qualified Bidder or Bidders, "Swap Termination or Transfer Outflows"), are sufficient to pay the sum of (A) all amounts due and owing under the Indenture and the Class F Subordinated Note Paying Agency Agreement to the Trustee, the Class F Subordinated Note Paying Agent, and any bank depository and (B) all other amounts due and owing (or to be due and owing after making the payments described above in this clause (ii)), plus any outstanding expenses of the Issuer. In connection with the termination or transfer of all the Credit Default Swaps, the Swap Termination or Transfer Outflows shall be subtracted from the Swap Termination or Transfer Inflows. If the result is a positive number, such amount, representing the net proceeds to the Issuer from terminating or transferring the Credit Default Swaps, shall be referred to herein as the "Termination Asset". If the result is a negative number, such amount, representing the net payment the Issuer is required to make to terminate or transfer the Credit Default Swaps, shall be referred to herein as the "Termination Liability". (iii) an Officer's Certificate stating that all conditions precedent have been satisfied or waived and stating that such termination or transfer of the Credit Default Swaps is authorized or permitted hereunder and (in the case of termination only) pursuant to the terms of such Credit Default Swaps; (iv) with respect to an Auction Call Redemption, an Optional Redemption or a Clean-up Call, evidence that the Issuer has entered into a binding agreement to sell the Delivered Obligations to a counterparty whose debt obligations are rated at least "A-1" and are not on credit watch negative for possible downgrade by Standard & Poor's and at least "P-1" and are not on credit watch negative for possible downgrade by Moody's; and (v) at any time when the final payment of principal is to be made on the Notes, with respect to Credit Default Swaps that are being transferred to a Qualified Bidder or Bidders, if such Qualified 31

Bidder or Bidders are required to make payment to the Issuer in connection with the transfer, evidence that the Issuer and the Credit Default Swap Counterparty have entered into binding agreements with such Qualified Bidders to transfer the applicable Credit Default Swaps to such Qualified Bidders and for such Qualified Bidders to pay any amounts due to the Issuer in connection with such transfer on or prior to the tenth Business Day prior to the Auction Redemption Date or Redemption Date or on or prior to the tenth Business Day following the relevant Auction Date, as applicable, with each Qualified Bidder as a transferee under such agreements, with the Issuer as transferor and the Credit Default Swap Counterparty as remaining party, and either (X) each Qualified Bidder's debt obligations are rated at least "A-1" and are not on credit watch negative for possible downgrade by Standard & Poor's and at least "P1" and are not on credit watch negative for possible downgrade by Moody's, or (Y) the amount required to be paid by each Qualified Bidder to the Issuer in connection with the transfer has been deposited in escrow with the Trustee on or prior to the tenth Business Day prior to the Auction Redemption Date or Redemption Date or on or prior to tenth Business Day following the relevant Auction Date, as applicable. 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 fifteen days prior to the applicable Payment Date (the "Record Date"). Payments on each Note will be payable by wire transfer in immediately available funds to a 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 at least five days before the related Payment Date, by a Dollar check drawn on a bank in the 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 of 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 this purpose, "Business Day" means any day that is not a Saturday, Sunday or other day on which commercial banking institutions are authorized or obligated by law or executive order to be closed in the following cities: (i) the City of New York, New York or (ii) the city in which the Corporate Trust Office of the Trustee is located. With respect to any act required of the Issuer, Business Day shall be construed to include a reference in the preceding sentence to the Cayman Islands and with respect to any act required of the Irish Paying Agent in Ireland (or any act to be performed through the Irish Paying Agent in Ireland), Business Day shall be construed to include a reference in the preceding sentence to Dublin, Ireland. To the extent action is required with respect to any Credit Default Swap, Business Day shall be construed to include a reference in the first sentence of this paragraph to London for purposes of determining when such action is required. For so long as any Class of Notes is listed on the Irish Stock Exchange and the rules of such exchange shall so require, the Issuer will maintain an Listing Agent, an Irish Paying Agent and a Transfer Agent with an office in Dublin, Ireland. Except as otherwise required by applicable law, any money 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 upon written request by the Issuer therefor, 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 shall thereupon cease. The Trustee or any 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 32

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 Payment Date, collections received during each Collection Period in respect of the Collateral will be divided into Interest Proceeds and Principal Proceeds and applied in the priority set forth below under "Interest Proceeds" and "Principal Proceeds", respectively (collectively, the "Priority of Payments"). Interest Proceeds "Interest Proceeds" means, with respect to any Collection Period, the sum (without duplication) of: (1) with respect to each Credit Default Swap, any Fixed Amounts, Interest Shortfall Reimbursement Payment Amounts and other amounts received from the Credit Default Swap Counterparty under any Credit Default Swap during such Collection Period, other than Writedown Reimbursement Payment Amounts, Principal Shortfall Reimbursement Payment Amounts or any proceeds related to any early termination of the Credit Default Swaps (including proceeds from liquidation of any collateral posted by the Credit Default Swap Counterparty to secure its obligations under the Credit Default Swaps); with respect to each Delivered Obligation, any interest payments received in cash by the Issuer during such Collection Period other than (i) interest payments and any other proceeds realized on Defaulted Assets or Deferred Interest PIK Obligations (to the extent that the cumulative proceeds received on such Defaulted Asset or Deferred Interest PIK Obligation since it became a Defaulted Asset or Deferred Interest PIK Obligation, are less than or equal to the par amount of such Defaulted Asset or Deferred Interest PIK Obligation, as applicable), (ii) interest payments and any other proceeds realized on Written Down Securities (other than payments of interest received since such asset became a Written Down Security in excess of the amount of any writedowns that have not been subsequently reversed) and (iii) interest payments related to accrued interest that was purchased with principal proceeds from the Collateral Account at the time of delivery of such Delivered Obligation to the Issuer under the related Credit Default Swap; with respect to each Eligible Investment, all payments of interest (including any amount representing the accreted portion of a discount from the face amount of an Eligible Investment) received in cash by the Issuer on or before the Business Day immediately preceding the Payment Date related to such Collection Period; with respect to each Eligible Investment, all payments of principal, including repayments, on Eligible Investments purchased with amounts from the Interest Collection Subaccount received in cash by the Issuer on or before the Business Day immediately preceding the Payment Date related to such Collection Period; any amounts transferred to the Interest Collection Subaccount pursuant to "The Collateral Account, the Collection Account, the Payment Account, the Closing Expense Account and the Credit Default Swap Issuer Account";

(2)

(3)

(4)

(5)

provided that the amounts described above shall in no event include (i) any payment or proceeds specifically defined as "Principal Proceeds" in the definition thereof, (ii) any Class A-1 U Noteholder Account and (without duplication) cash and Eligible Investments deposited therein and (iii) the U.S.$1,000 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. In addition, the amounts described above scheduled to be received during a Collection Period, but which are actually received after the end of such 33

Collection Period but two Business Days prior to the Payment Date related to such Collection Period, will be deemed to have been received during such Collection Period. Subject to "Credit Default Swap Allocations," on each Payment Date (other than the Final Maturity Date), Interest Proceeds with respect to the related Collection Period will be distributed in the order of priority set forth below: (1) in the following order of priority, (a) first, to the payment of taxes and filing fees and registration fees (including annual return fees) owing by the Issuers, if any; and (b) second, an amount up to 0.02% per annum of the Net Outstanding Swap Balance determined as of the immediately preceding Determination Date plus U.S.$150,000 per annum, first, to the payment to the Trustee, the Collateral Administrator, the Class F Subordinated Note Paying Agent and the Administrator of accrued and unpaid Administrative Expenses, second, to the payment of other accrued and unpaid administrative expenses of the Co-Issuers, (including the fees and expenses payable to the Rating Agencies in connection with their rating of the Notes and provision of credit estimates, any ongoing surveillance fees and expenses) and third, to the payment of indemnities and legal expenses related thereto payable by the Issuer; to the payment to Deutsche Bank AG of the Financed Amount Payment due on such Payment Date and any Financed Amount Payment that was payable and was not paid on a prior Payment Date, together with any accrued and unpaid interest thereon; to the payment of the Class A-1 Funded Amount Interest to the Class A-1 F Noteholders and to the payment of Class A-1 Unfunded Amount Interest to the Class A-1 U Noteholders, pro rata as between the Class A-1 F Notes and the Class A-1 U Notes; to the payment of the Cumulative Interest Amount that is payable with respect to the Class A-2 Notes on such Payment Date; to the payment of the Cumulative Interest Amount that is payable with respect to the Class B Notes on such Payment Date; if either Class A/B Coverage Test is not satisfied on the related Determination Date and if any Class A Notes or Class B Notes remain Outstanding, to the payment of principal in accordance with the Redemption Payment Sequence until the Class A Notes and the Class B Notes are paid in full or to the extent necessary to cause the Class A/B Coverage Tests to be in compliance as of such Determination Date; to the payment of the Cumulative Interest Amount that is payable with respect to the Class C Notes on such Payment Date; if either Class C Coverage Test is not satisfied on the related Determination Date and if any Class A Notes, Class B Notes or Class C Notes remain Outstanding, to the payment of principal in accordance with the Redemption Payment Sequence, until the Class A Notes, Class B Notes and Class C Notes are paid in full or to the extent necessary to cause each of the Class C Coverage Tests to be in compliance as of such Determination Date; to the payment of the Class C Deferred Interest, if any; to the payment of the Cumulative Interest Amount that is payable with respect to the Class D Notes on such Payment Date;

(2)

(3)

(4)

(5)

(6)

(7)

(8)

(9) (10)

34

(11)

if either Class D Coverage Test is not satisfied on the related Determination Date and if any Class A Notes, Class B Notes, Class C Notes or Class D Notes remain Outstanding, to the payment of principal in accordance with the Redemption Payment Sequence, until the Class A Notes, Class B Notes, Class C Notes and Class D Notes are paid in full or to the extent necessary to cause each of the Class D Coverage Tests to be in compliance as of such Determination Date; to the payment of the Class D Deferred Interest, if any; to the payment of the Cumulative Interest Amount that is payable with respect to the Class E Notes on such Payment Date; to the payment of the Class E Deferred Interest, if any; if either Class E Coverage Test is not satisfied on the related Determination Date and if any Class A Notes, Class B Notes, Class C Notes, Class D Notes or Class E Notes remain Outstanding, to the payment of principal in accordance with the Redemption Payment Sequence, until the Class A Notes, Class B Notes, Class C Notes, Class D Notes and Class E Notes are paid in full or to the extent necessary to cause each of the Class E Coverage Tests to be in compliance as of such Determination Date; if the Reverse Turbo Condition is in effect on the related Determination Date, 65% to the payment of principal of the Class D Notes up to the Aggregate Outstanding Amount of the Class D Notes and 35% to the payment of principal of the Class E Notes up to the Aggregate Outstanding Amount of the Class E Notes to the extent necessary to either (a) cause the Reverse Turbo Condition to not be in effect as of such Determination Date or (b) until the Class D Notes are paid in full, and then to the payment of principal of the Class E Notes up to the Aggregate Outstanding Amount of the Class E Notes, to the extent necessary to cause the Reverse Turbo Condition to not be in effect as of such Determination Date; to the payment to the Credit Default Swap Counterparty of any termination payments due under any Credit Default Swap other than any termination payment with respect to a termination event where the Issuer is the defaulting or affected party; to the payment of all other amounts accrued but not paid pursuant to clause (1) above (whether as the result of the limitations on amounts set forth therein or otherwise), in the same order of priority specified therein; and the remainder, to be paid (upon irrevocable standing order of the Issuer to the Trustee acting as Paying Agent for the Issuer) to the Class F Subordinated Note Paying Agent for distribution to the registered holders of the Class F Subordinated Notes (the "Class F Subordinated Noteholders") pursuant to the Class F Subordinated Note Documents.

(12) (13)

(14) (15)

(16)

(17)

(18)

(19)

Principal Proceeds "Principal Proceeds" means, (A) with respect to any Collection Period, the sum (without duplication) of: (1) with respect to each Credit Default Swap, amounts transferred from the Collateral Account to the Principal Collection Subaccount in accordance with clauses (3) and (4) under "Priority of PaymentsCredit Default Swap Allocations" below representing proceeds related to Principal Payment Amounts or any proceeds related to early termination of such Credit Default Swap 35

(including proceeds from liquidation of any collateral posted by the Credit Default Swap Counterparty to secure its obligations under the Credit Default Swaps); (2) with respect to each Credit Default Swap, any Writedown Reimbursement Payment Amounts related to Writedown Reimbursements described in clause (i) of the definition thereof and Principal Shortfall Reimbursement Payment Amounts received by the Issuer from the Credit Default Swap Counterparty; with respect to each Eligible Investment on deposit in the Principal Collection Subaccount, principal collections on such Eligible Investment that was purchased with principal proceeds on deposit in the Principal Collection Subaccount (excluding any amount representing the accreted portion of a discount from the face amount of an Eligible Investment) received in cash by the Issuer on or before the Business Day immediately preceding the Payment Date during the related Collection Period; and with respect to each Delivered Obligation, any principal payments (including capitalized interest) received in cash by the Issuer during such Collection Period;

(3)

(4)

provided that all proceeds received on any Defaulted Asset or Deferred Interest PIK Obligation must be treated as Principal Proceeds to the extent that the cumulative proceeds received on such Defaulted Asset or Deferred Interest PIK Obligation since it became a Defaulted Asset or Deferred Interest PIK Obligation are less than or equal to the par amount of such Defaulted Asset or Deferred Interest PIK Obligation, as applicable; provided, further, that all proceeds received on any Written Down Security shall be treated as Principal Proceeds (other than Writedown Reimbursements described in clauses (ii) and (iii) of the definition thereof and payments of interest received since such asset became a Written Down Security in excess of the amount of any writedowns that have not been subsequently reversed); provided, further, that, prior to the Final Maturity Date, any proceeds not specifically included in the definition of "Interest Proceeds" and not included in clauses (1) through (4) (together with the first and second provisos set forth above) shall be reinvested in Eligible Investments to be held in the Collateral Account; provided, further, that on the Final Maturity Date, subject to and in accordance with clause (5) under " Priority of PaymentsCredit Default Swap Allocations" below, proceeds with respect to Eligible Investments on deposit in the Collateral Account shall be treated as "Principal Proceeds" for the purpose of making payments in accordance with the description of payments made on the Final Maturity Date in the paragraph immediately following the order of priority of distributions of Principal Proceeds below; provided, further, that in no event shall Principal Proceeds include (i) any Class A-1 U Noteholder Account and (without duplication) cash and Eligible Investments deposited therein and (ii) the U.S.$1,000 of capital contributed by the owners of the Issuer's Ordinary Shares in accordance with the Issuer Charter or U.S.$1,000 representing a profit fee to the Issuer; and (B) on the Closing Date, amounts deposited by the Issuer (at the direction of Deutsche Bank AG) directly into the Principal Collection Subaccount. Following payment of any amounts described under "Credit Default Swap Allocations," on each Payment Date (other than the Final Maturity Date), Principal Proceeds received with respect to the related Collection Period will be distributed in the order of priority set forth below: (1) to the payment of the amounts referred to in clauses (1) through (5) under " Priority of PaymentsInterest Proceeds" in the same order of priority specified therein, but only to the extent not paid in full thereunder;

36

(2)

(i) if a Sequential Principal Payment Event is not in effect with respect to such Payment Date, pro rata, to the payment of principal of the Class A-1 F Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes, until each such Class has been paid in full and (ii) if a Sequential Principal Payment Event is in effect with respect to such Payment Date, to make the payments set forth in the Redemption Payment Sequence; if a Sequential Principal Payment Event is not in effect with respect to such Payment Date, to the payment of the amounts referred to in clauses (7), (9), (10), (12), (13) and (14) under "Priority of PaymentsInterest Proceeds" in the same order of priority specified therein, but only to the extent not paid in full thereunder; to the payment of amounts referred to in clause (17) under "Priority of PaymentsInterest Proceeds", to the extent not paid in full thereunder; to the payment of amounts referred to in clause (18) under "Priority of PaymentsInterest Proceeds", to the extent not paid in full thereunder; and the remainder, to be paid (upon standing order of the Issuer to the Trustee acting as Paying Agent for the Issuer) to the Class F Subordinated Note Paying Agent for distribution to the Class F Subordinated Noteholders as provided in the Class F Subordinated Note Documents.

(3)

(4)

(5)

(6)

Notwithstanding any of the foregoing provisions, following payment of any amounts described under "Priority of PaymentsCredit Default Swap Allocations" below, on the Final Maturity Date, Principal Proceeds and Interest Proceeds and any amounts received by the Trustee with respect to an Auction Call Redemption will be distributed in the following order of priority: (i) to make payments of the amounts referred to in clauses (1) through (4) under "Priority of PaymentsInterest Proceeds" in the same order of priority specified therein; (ii) to make payments on the Notes in the following order: first, to the payment of the Aggregate Outstanding Amount of the Class A-1 F Notes (and an equal reduction of the Class A-1 Commitment Amount), second, to the payment of the Aggregate Outstanding Amount of the Class A-2 Notes, third, to the payment of the Cumulative Interest Amount on the Class B Notes and then to the payment of the Aggregate Outstanding Amount of the Class B Notes, fourth, to the payment of the Cumulative Interest Amount on the Class C Notes, fifth, to the Payment of the Class C Deferred Interest and then to the payment of the Aggregate Outstanding Amount of the Class C Notes, sixth, to the payment of the Cumulative Interest Amount on the Class D Notes, seventh, to the payment of the Class D Deferred Interest and then to the payment of the Aggregate Outstanding Amount of the Class D Notes, eighth, to the payment of the Cumulative Interest Amount on the Class E Notes, and ninth, to the payment of the Class E Deferred Interest and then to the payment of the Aggregate Outstanding Amount of the Class E Notes, until each such Class is paid in full; (iii) to make payments of first the amounts referred to in clause (17) and second to the amounts referred to in clause (18) under "Priority of PaymentsInterest Proceeds", (iv) solely with respect to an Auction Call Redemption, to make payments to the Class F Subordinated Note Paying Agent of the Face Amount for distribution to the Class F Subordinated Noteholders and (v) the remainder, to be paid (upon standing order of the Issuer to the Trustee acting as Paying Agent for the Issuer) to the Class F Subordinated Note Paying Agent for distribution to the Class F Subordinated Noteholders as provided in the Class F Subordinated Note Documents. Notwithstanding the foregoing, with respect to an Auction Call Redemption, amounts described in the immediately preceding sentence may be reduced to the extent that any holders of a Class of Notes or Class F Subordinated Notes have elected to decrease the Redemption Price or the Face Amount, as applicable, to be received by such Class in accordance with "Description of the Notes Auction Call Redemption." Except as otherwise expressly provided in the Priority of Payments, if on any Payment Date, the amount available in the Payment Account from amounts received in the related Collection Period are insufficient to make the full amount of the disbursements required by any paragraph in this section to different persons, 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. 37

If the Notes and the Class F Subordinated Notes have not been redeemed prior to the Stated Maturity, it is expected that the Issuer will sell or liquidate all Collateral, and all net proceeds from such sale or liquidation and all available cash will be distributed in the order of priorities of payment set forth above. Credit Default Swap Allocations (1) If on any Business Day, Floating Payments are due in accordance with the provisions of the Credit Default Swaps, other than Interest Shortfall Payment Amounts (the "Credit Default Swap Payment Amount"), are due and payable by the Issuer to the Credit Default Swap Counterparty pursuant to the terms of the related Credit Default Swap, the Trustee shall, on behalf of the Issuer: (i) first, withdraw from the Collateral Account an amount equal to the lesser of (1) the Credit Default Swap Payment Amount and (2) the amount available in the Collateral Account, in each case obtained by procuring proceeds from the Eligible Investments in an amount equal to all or a portion, to the extent available, of the Credit Default Swap Payment Amount; and (ii) second, request an Incremental Funding from the Class A-1 U Noteholder to be delivered to the Issuer on the next Incremental Funding Date in an amount equal to the lesser of (1) the Class A-1 Unfunded Amount and (2) the excess, if any, of (x) the Credit Default Swap Payment Amount over (y) the amount available in the Collateral Account without giving effect to any withdrawal made pursuant to (i) above. The Trustee, on behalf of the Issuer, shall pay (without duplication) the proceeds procured in accordance with (i) and (ii) of the immediately preceding paragraphs to the Credit Default Swap Counterparty in an amount equal to the Credit Default Swap Payment Amount due under the Credit Default Swaps. (2) If on any Business Day, the Physical Settlement Amount for any Delivered Obligation is due and payable by the Issuer to the Credit Default Swap Counterparty pursuant to terms of the related Credit Default Swap, the Trustee shall, on behalf of the Issuer: (i) first, withdraw from the Collateral Account an amount equal to the lesser of (1) such Physical Settlement Amount and (2) the amount available in the Collateral Account, in each case obtained by procuring proceeds from the Eligible Investments in an amount equal to all or a portion, to the extent available, of such Physical Settlement Amount due; and (ii) second, request an Incremental Funding from the Class A-1 U Noteholder to be delivered to the Issuer on the next Incremental Funding Date in an amount equal to the lesser of (1) the Class A-1 Unfunded Amount and (2) the excess, if any, of (x) such Physical Settlement Amount over (y) the amount available in the Collateral Account without giving effect to any withdrawal made pursuant to (i) above. The Trustee, on behalf of the Issuer, shall pay (without duplication) the proceeds procured in accordance with (i) and (ii) of the immediately preceding paragraphs to the Credit Default Swap Counterparty in an amount equal to such Physical Settlement Amount due under the Credit Default Swaps. (3) If there is a Principal Payment with respect to any Reference Obligation under a Credit Default Swap, the Trustee shall, on behalf of the Issuer, on the Payment Date immediately following the date on which such Principal Payment is realized: (A) if a Sequential Principal Payment Event is not in effect:

(i) first, withdraw from the Collateral Account an amount equal to the lesser of (1) the Note Pro Rata Percentage times the Principal Payment Amount and (2) the amount available in the Collateral Account, in each case obtained by procuring proceeds from Eligible Investments in an amount equal to all or a portion, to the extent available, of such Principal Payment Amount, and shall distribute such amount

38

as Principal Proceeds for distribution in accordance with the Priority of Payments until each such Class has been paid in full; and (ii) second, (A) reduce the Class A-1 Commitment Amount by an amount equal to such Principal Payment Amount minus the amount paid pursuant to clause (i) above (other than any portion of such amount paid to the Class A-1 Noteholders) until the Class A-1 Unfunded Amount is reduced to zero; and then (B) to the extent the Class A-1 Unfunded Amount is reduced to zero and the Aggregate Outstanding Amount of the Class A-1 F Notes is greater than zero, withdraw from the Collateral Account by procuring proceeds from the Eligible Investments, to the extent available, an amount equal to the lesser of (1) such Principal Payment Amount minus the amount paid pursuant to clause (i) above (other than any portion of such amount paid to the Class A-1 Noteholders) and the reduction pursuant to clause (ii)(A) above, (2) the Aggregate Outstanding Amount of the Class A-1 F Notes and (3) the amount available in the Collateral Account and shall distribute such amount as Principal Proceeds for distribution in accordance with the Priority of Payments (and an equal reduction of the Class A-1 Commitment Amount) until the Class A-1 F Notes have been paid in full; or (B) if a Sequential Principal Payment Event is in effect:

(i) first, reduce the Class A-1 Commitment Amount by such Principal Payment Amount until the Class A-1 Unfunded Amount is reduced to zero; (ii) second, after the Class A-1 Unfunded Amount is reduced to zero, then withdraw from the Collateral Account by procuring proceeds from the Eligible Investments, to the extent available, an amount equal to the lesser of (1) the Principal Payment Amount minus the reduction in the Class A-1 Unfunded Amount applied under (i) above and (2) the outstanding balance in the Collateral Account after application of amounts under (ii) above, and apply such amounts as Principal Proceeds for distribution in accordance with the Priority of Payments. (4) If on any Business Day, there is an early termination of a Credit Default Swap resulting from a termination event or event of default thereunder pursuant to the terms of the related Credit Default Swap, the Trustee shall, on behalf of the Issuer, (i) first, withdraw from the Collateral Account an amount equal to the lesser of (1) the termination payment due to the Credit Default Swap Counterparty under the related Credit Default Swap (other than with respect to a termination event or event of default where the Credit Default Swap Counterparty is the sole defaulting or affected party) (the "Credit Default Swap Issuer Termination Amount") and (2) the amount available in the Collateral Account, in each case by procuring proceeds from the Eligible Investments in an amount equal to all or a portion, to the extent available, of the Credit Default Swap Issuer Termination Amount; (ii) second, request an Incremental Funding from the Class A-1 U Noteholder to be delivered to the Issuer on the next Incremental Funding Date immediately following the date on which such early termination event or event of default occurs in an amount equal to the lesser of (1) the Class A-1 Unfunded Amount and (2) the excess, if any, of the Credit Default Swap Issuer Termination Amount over the amount available in the Collateral Account without giving effect to any withdrawal made pursuant to (i) above; and (iii) third, (A) on the Payment Date immediately following the date on which such early termination event or event of default occurs, reduce the Class A-1 Unfunded Amount (and an equal reduction of the Class A-1 Commitment Amount) by an amount equal to the Notional Amount of the related Credit Default Swap minus the Credit Default Swap Issuer Termination Amount (such amount the "Notional Termination Amount") until the Class A-1 Unfunded Amount is reduced to zero; and then (B) to the extent the Class A-1 Unfunded Amount is equal to zero, withdraw from the Collateral Account by procuring proceeds from the Eligible Investments, to the extent available, in an amount equal to the Notional Termination Amount remaining after a reduction in accordance with subclause (A) hereof and shall distribute such amount as Principal Proceeds for distribution in accordance with the Priority of Payments.

39

The Trustee, on behalf of the Issuer, shall pay the Credit Default Swap Issuer Termination Amount from the proceeds of (i) and (ii) above to the Credit Default Swap Counterparty. On the Payment Date immediately following the date on which any such early termination event or event of default occurs, the Trustee, on behalf of the Issuer, shall reduce the Class A-1 Commitment Amount in accordance with clause (iii)(A) and/or deposit the proceeds obtained in accordance with clause (iii)(B) above in the Principal Collection Subaccount to be treated as Principal Proceeds. (5) Prior to the Business Day immediately preceding the Final Maturity Date, the Trustee on behalf of the Issuer shall liquidate all Eligible Investments and deposit proceeds from such Eligible Investments in the Collection Account and transfer to and distribute such amounts from the Payment Account on the Final Payment Date in accordance with descriptions of payments made on the Final Maturity Date in the paragraph immediately following the order of priority of distributions of Principal Proceeds under Priority of PaymentsPrincipal Proceeds above; provided, however, that if the Final Maturity Date is prior to the Final Payment Date, the Trustee shall retain a portion of Eligible Investments in the Collateral Account in an amount equal to the Aggregate Principal Balance of all Credit Default Swaps with respect to which a Credit Default Swap Termination Date thereunder has not yet occurred until the relevant Floating Payments and/or Physical Settlement Amounts, as applicable, have been determined and are due and payable. (6) For the avoidance of doubt, to the extent that an application of proceeds pursuant to these "Priority of PaymentsCredit Default Swap Allocations" coincides with an application of Principal Proceeds on a Payment Date, application of proceeds shall be made pursuant to these "Priority of PaymentsCredit Default Swap Allocations" prior to application of proceeds pursuant to the "Priority of PaymentsPrincipal Proceeds". The "Note Pro Rata Percentage" means a fraction (expressed as a percentage) where the numerator is the Aggregate Outstanding Amount of the Notes (other than the Class A-1 Notes) and the denominator is the sum of the Class A-1 Commitment Amount and the Aggregate Outstanding Amount of the Notes (other than the Class A-1 Notes). Liquidation of Delivered Obligations Prior to the Business Day immediately preceding the Final Maturity Date, the Trustee will liquidate the Delivered Obligations in accordance with the procedures described in the Indenture, which will involve obtaining bid prices and selling such Delivered Obligation at the highest bid. The Trustee may, but need not, at the expense of the Issuer, engage an independent investment banking firm to perform such functions set forth in the preceding sentence. Should no bids be available, the Trustee, or an investment banking firm engaged at the Trustee's option and at the Issuer's expense, will determine the fair market value by requesting independent valuations and will sell the Delivered Obligations in any commercially reasonable manner that it deems fair and appropriate. Redemption Payment Sequence The "Redemption Payment Sequence" means the application of Interest Proceeds, as applicable and in accordance with clauses (6), (8), (11) and (15) of "Priority of PaymentsInterest Proceeds", and Principal Proceeds, as applicable and in accordance with "Priority of PaymentsPrincipal Proceeds", in the following order: (1) to the payment of principal of the Class A-1 F Notes (and an equal reduction of the Class A-1 Commitment Amount) until the Class A-1 F Notes have been paid in full, and then to (a) reduce the Class A-1 Unfunded Amount (and an equal reduction of the Class A-1 U Notes and the corresponding Class A-1 Commitment Amount) until the Class A-1 Commitment Amount is reduced to zero and (b) deposit into the Collateral Account for reinvestment in Eligible Investments at the direction of the Credit Default Swap Counterparty an amount equal to such reduction of the Class A-1 Unfunded Amount; (2) to the payment of the Aggregate Outstanding Amount of the Class A-2 Notes, until such Class has been paid in full;

40

(3) to the payment of the Aggregate Outstanding Amount of the Class B Notes, until such Class has been paid in full; (4) to the payment of the amounts referred to in clauses (7) and (9) of "Priority of PaymentsInterest Proceeds" to the extent not paid in full thereunder; (5) to the payment of the Aggregate Outstanding Amount of the Class C Notes, until such Class has been paid in full; (6) to the payment of the amounts referred to in clauses (10) and (12) of "Priority of PaymentsInterest Proceeds" to the extent not paid in full thereunder; (7) to the payment of the Aggregate Outstanding Amount of the Class D Notes, until such Class has been paid in full; (8) to the payment of the amounts referred to in clauses (13) and (14) of "Priority of PaymentsInterest Proceeds" to the extent not paid in full thereunder; and (9) to the payment of the Aggregate Outstanding Amount of the Class E Notes, until such Class has been paid in full. The Coverage Tests The Coverage Tests applicable to a Class of Notes will be used primarily to determine whether and to what extent Interest Proceeds may be used to pay items in the "Priority of PaymentsInterest Proceeds" that are subordinate to such Class. In the event that any of the Class A/B Coverage Tests are not satisfied on any Determination Date relating to a Payment Date, then funds that would otherwise be used to make interest payments in respect of the Class C Notes will be used instead to redeem, first, the Class A-1 Notes, second, the Class A-2 Notes and, third, the Class B Notes, in each case, until each applicable Coverage Test is satisfied. If the Class C Coverage Tests are not satisfied on any Determination Date relating to a Payment Date, then funds that would otherwise be used to make interest payments in respect of the Class D Notes will be used to redeem, first, the Class A-1 Notes, second, the Class A-2 Notes, third, the Class B Notes, and, fourth, the Class C Notes until the Class C Coverage Tests are satisfied. If the Class D Coverage Tests are not satisfied on any Determination Date relating to a Payment Date, then funds that would otherwise be used to make interest payments in respect of the Class E Notes will be used to redeem, first, the Class A-1 Notes, second, the Class A-2 Notes, third, the Class B Notes, fourth, the Class C Notes, and, fifth, the Class D Notes until the Class D Coverage Tests are satisfied. If the Class E Coverage Tests are not satisfied on any Determination Date relating to a Payment Date, then funds that would otherwise be used to make distributions in respect of the Class F Subordinated Notes will be used to redeem, first, the Class A-1 Notes, second, the Class A-2 Notes, third, the Class B Notes, fourth, the Class C Notes, fifth, the Class D Notes, and, sixth, the Class E Notes until the Class E Coverage Tests are satisfied. See "Description of the NotesPriority of PaymentsInterest Proceeds". The "Class A/B Coverage Tests" will consist of the Class A/B Overcollateralization Test and the Class A/B Interest Coverage Test. The "Class C Coverage Tests" will consist of the Class C Overcollateralization Test and the Class C Interest Coverage Test. The "Class D Coverage Tests" will consist of the Class D Overcollateralization Test and the Class D Interest Coverage Test. The "Class E Coverage Tests" will consist of the Class E Overcollateralization Test and the Class E Interest Coverage Test. The Class A/B Overcollateralization Test The "Class A/B Overcollateralization Ratio" is, as of any Measurement Date, the number (expressed as a percentage) calculated by dividing (i) the Net Outstanding Swap Balance on such Measurement Date by (ii) the sum of (a) the Class A-1 Commitment Amount, (b) the Aggregate Outstanding Amount of the Class A-2 Notes and (c) the Aggregate Outstanding Amount of the Class B Notes, each as of such Measurement Date. 41

The "Class A/B Overcollateralization Test" will be satisfied on any Measurement Date on which any Class A Notes or Class B Notes remain outstanding if the Class A/B Overcollateralization Ratio on such Measurement Date is equal to or greater than 111.19%. The Class C Overcollateralization Test: The "Class C Overcollateralization Ratio" is, as of any Measurement Date, the number (expressed as a percentage) calculated by dividing (i) the Net Outstanding Swap Balance on such Measurement Date by (ii) the sum of (a) the Class A-1 Commitment Amount, (b) the Aggregate Outstanding Amount of the Class A-2 Notes, (c) the Aggregate Outstanding Amount of the Class B Notes and (d) the Aggregate Outstanding Amount of the Class C Notes (including any Class C Deferred Interest), each as of such Measurement Date. The "Class C Overcollateralization Test" will be satisfied on any Measurement Date on which any Class C Notes remain outstanding if the Class C Overcollateralization Ratio on such Measurement Date is equal to or greater than 107.11%. 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 (i) the Net Outstanding Swap Balance on such Measurement Date by (ii) the sum of (a) the Class A-1 Commitment Amount, (b) the Aggregate Outstanding Amount of the Class A-2 Notes, (c) the Aggregate Outstanding Amount of the Class B Notes, (d) the Aggregate Outstanding Amount of the Class C Notes (including any Class C Deferred Interest) and (e) the Aggregate Outstanding Amount of the Class D Notes (including any Class D Deferred Interest), each as of such Measurement Date. The "Class D Overcollateralization Test" will be satisfied on any Measurement Date on which any Class D Notes remain outstanding if the Class D Overcollateralization Ratio on such Measurement Date is equal to or greater than 102.11%. The Class E Overcollateralization Test: The "Class E Overcollateralization Ratio" is, as of any Measurement Date, the number (expressed as a percentage) calculated by dividing (i) the Net Outstanding Swap Balance on such Measurement Date by (ii) the sum of (a) the Class A-1 Commitment Amount, (b) the Aggregate Outstanding Amount of the Class A-2 Notes, (c) the Aggregate Outstanding Amount of the Class B Notes, (d) the Aggregate Outstanding Amount of the Class C Notes (including any Class C Deferred Interest), (e) the Aggregate Outstanding Amount of the Class D Notes (including any Class D Deferred Interest) and (f) the Aggregate Outstanding Amount of the Class E Notes (including any Class E Deferred Interest), each as of such Measurement Date. The "Class E Overcollateralization Test" will be satisfied on any Measurement Date on which any Class E Notes remain outstanding if the Class E Overcollateralization Ratio on such Measurement Date is equal to or greater than 100.88%. Sequential Overcollateralization Test: The "Sequential Overcollateralization Ratio" is, as of any Measurement Date, the number (expressed as a percentage) calculated by dividing (i) the Net Outstanding Swap Balance on such Measurement Date by (ii) the sum of the Class A-1 Commitment Amount and the Aggregate Outstanding Amount of the Class A-2 Notes as of such Measurement Date. The "Sequential Overcollateralization Test" will be satisfied on any Measurement Date on which the Sequential Overcollateralization Ratio as of such Measurement Date is equal to or greater than 123.16%.

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The Class A/B Interest Coverage Test: "Class A/B Interest Coverage Ratio" means the ratio (expressed as a percentage) that: As of any Determination Date will be calculated by dividing (i) an amount equal to (A) the aggregate amount of Interest Proceeds received during the related Collection Period minus (B) the amount, if any, scheduled to be applied pursuant to clauses (1) and (2) of "Priority of PaymentsInterest Proceeds" on the immediately succeeding Payment Date, by (ii) an amount equal to the aggregate of the Cumulative Interest Amounts with respect to the Class A Notes and the Class B Notes payable on the immediately succeeding Payment Date. The "Class A/B Interest Coverage Test" will be satisfied on any Determination Date, during the period after the May 2006 Payment Date, on which any Class A Notes or Class B Notes remain outstanding if the Class A/B Interest Coverage Ratio as of such Determination Date is equal to or greater than 107.00%. The Class C Interest Coverage Test: "Class C Interest Coverage Ratio" means the ratio (expressed as a percentage) that: As of any Determination Date will be calculated by dividing (i) an amount equal to (A) the aggregate amount of Interest Proceeds received during the related Collection Period, minus (B) the amount, if any, scheduled to be applied pursuant to clauses (1) and (2) of "Priority of PaymentsInterest Proceeds" on the immediately succeeding Payment Date, by (ii) an amount equal to the aggregate of the Cumulative Interest Amounts with respect to the Class A Notes, the Class B Notes and the Class C Notes payable on the immediately succeeding Payment Date. The "Class C Interest Coverage Test" will be satisfied on any Determination Date, during the period after the May 2006 Payment Date, on which any Class C Notes remain outstanding if the Class C Interest Coverage Ratio as of such Determination Date is equal to or greater than 100.00%. The Class D Interest Coverage Test: "Class D Interest Coverage Ratio" means the ratio (expressed as a percentage) that: As of any Determination Date will be calculated by dividing (i) an amount equal to (A) the aggregate amount of Interest Proceeds received during the related Collection Period, minus (B) the amount, if any, scheduled to be applied pursuant to clauses (1) and (2) of "Priority of PaymentsInterest Proceeds" on the immediately succeeding Payment Date, by (ii) an amount equal to the aggregate of the Cumulative Interest Amounts with respect to the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes payable on the immediately succeeding Payment Date. The "Class D Interest Coverage Test" will be satisfied on any Determination Date, during the period after the May 2006 Payment Date, on which any Class D Notes remain outstanding if the Class D Interest Coverage Ratio as of such Determination Date is equal to or greater than 100.00%. The Class E Interest Coverage Test: "Class E Interest Coverage Ratio" means the ratio (expressed as a percentage) that: As of any Determination Date will be calculated by dividing (i) an amount equal to (A) the aggregate amount of Interest Proceeds received during the related Collection Period, minus (B) the amount, if any, scheduled to be applied pursuant to clauses (1) and (2) of "Priority of PaymentsInterest Proceeds" on the immediately succeeding Payment Date, by (ii) an amount equal to the aggregate of the Cumulative Interest Amounts with respect to the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes payable on the immediately succeeding Payment Date.

43

The "Class E Interest Coverage Test" will be satisfied on any Determination Date, during the period after the May 2006 Payment Date, on which any Class E Notes remain outstanding if the Class E Interest Coverage Ratio as of such Determination Date is equal to or greater than 100.00%. The Reverse Turbo Condition The "Reverse Turbo Ratio" is, as of any Measurement Date on which the Reverse Turbo Condition may be in effect, the number (expressed as a percentage) calculated by dividing (i) the Net Outstanding Swap Balance on such Measurement Date by (ii) the sum of the Class A-1 Commitment Amount and the Aggregate Outstanding Amount of the Notes (other than the Class A-1 Notes) after giving effect on a pro forma basis to the reduction, if any, of the respective Aggregate Outstanding Amount of such Notes resulting from the application, on the related Payment Date, of Interest Proceeds in accordance with the Priority of Payments of Interest Proceeds and Principal Proceeds in accordance with the Priority of Payments of Principal Proceeds. The "Reverse Turbo Condition" is a condition that shall be in effect on any Measurement Date relating to a Payment Date falling on or after the February 2007 Payment Date and before the May 2010 Payment Date, on which the Reverse Turbo Ratio is less than the percentage indicated in the table below for the related Payment Date. Payment Date February 2007 May 2007 August 2007 November 2007 February 2008 May 2008 August 2008 November 2008 February 2009 Form, Denomination, Registration and Transfer General Regulation S Global Notes, which will be sold to persons that are not U.S. Persons and outside the United States, will be represented by one or more Regulation S Global Notes in definitive, fully registered form, without interest coupons, and deposited with the Trustee as custodian for, and registered in the name of, DTC or its nominee, for the accounts of Euroclear and Clearstream. By acquisition of a beneficial interest in a Regulation S Global Note, any purchaser thereof will be deemed to represent that it is not a U.S. Person and that, if in the future it decides to transfer such beneficial interest, it will transfer such interest only in an offshore transaction in accordance with Regulation S or to a person who takes delivery in the form of a Rule 144A Global Note. Beneficial interests in each Regulation S Global Note will be shown on, and transfers thereof will be effected only through, records maintained by DTC and its direct and indirect participants, including Euroclear and Clearstream. Rule 144A Global Notes, which will be offered in reliance upon an exemption from the registration requirements of the Securities Act pursuant to the Rule 144A, will be represented by one or more Rule 144A Global Notes in fully registered form, without interest coupons, and deposited with the Trustee as custodian for, and registered in the name of, DTC or its nominee. Interests in Rule 144A Global Notes will be shown on, and transfers thereof will be effected only through, records maintained by DTC and its direct and indirect participants. The Notes are subject to the restrictions on transfer set forth herein under "Transfer Restrictions". Owners of beneficial interests in Regulation S Global Notes and Rule 144A Global Notes will be entitled or required, as the case may be, under certain limited circumstances described below, 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 (1) for a person other than a distributor (as defined in Regulation S), such person provides certification that 44 Limit 103.38% 103.23% 103.08% 102.88% 102.68% 102.48% 102.28% 102.08% 101.88%

the Definitive Note is beneficially owned by a person that is not a U.S. Person (as defined in Regulation S) or (2) for a person that is a U.S. Person, such person provides certification that any interest in such Definitive Note was purchased in a transaction that did not require registration under the Securities Act. The Notes are not issuable in bearer form. Pursuant to the Indenture, the Trustee has been appointed and will serve as the registrar of the Notes (the "Note Registrar") and will provide for the registration of the Notes and the registration of transfers of Notes in the register maintained by it (the "Note Register"). The Trustee has been appointed as a transfer agent with respect to the Notes (in such capacity, the "Transfer Agent"). Pursuant to the Class F Subordinated Note Paying Agency Agreement, the Class F Subordinated Note Paying Agent has been appointed and will serve as the registrar of the Class F Subordinated Notes (the "Class F Subordinated Note Registrar") and will provide for the registration of the Class F Subordinated Notes and the registration of transfers of Class F Subordinated Notes in the register maintained by it (the "Class F Subordinated Note Register"). The Notes will be issuable in a minimum denomination of U.S.$1,000,000 and will be offered only in such minimum denomination and integral multiples of U.S.$1.00 in excess thereof. After issuance, a Note may fail to be in compliance with the minimum denomination requirement stated above as a result of the repayment of principal thereof in accordance with the Priority of Payments. Global Notes So long as DTC, as the depositary for a Global Note, or its nominee, is the registered holder of such Global Note, DTC (or such nominee) will be considered the absolute owner or holder of such Regulation S Global Note or Rule 144A Global Note, as the case may be, for all purposes under the Indenture and the Notes and members of, or participants in, DTC (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 DTC 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 which are participants in such systems. Payments of the principal of, and interest on, an individual Global Note registered in the name of DTC (or its nominee) will be made to DTC (or its nominee), as the registered owner of the Global Note. None of the Issuer, the Trustee, the Note Registrar and any Paying Agent will have any responsibility or liability for any aspect of the records relating to or payments made on account of beneficial ownership interests in Global Notes or for maintaining, supervising or reviewing any records relating to such beneficial ownership interests. With respect to the Global Notes, the Issuer expects that DTC (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 DTC (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 Rule 144A Global Note will be exchangeable or transferable, as the case may be, for a Definitive Note if (i) DTC notifies the Issuer that it is unwilling or unable to continue as depositary for such Note, (ii) 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, (iii) the transferee of an interest in such Global Note is required by law to take physical delivery of securities in definitive form or (iv) 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 45

request for removal of a Legend on a Note, the Co-Issuers shall deliver through the Trustee or any Paying Agent to the holder and the transferee, as applicable, one or more Definitive Notes in certificated form corresponding to the principal amount of Definitive Notes surrendered for transfer, exchange or 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. Definitive Notes will be exchangeable or transferable for interests in other Definitive Notes as described below. Transfer and Exchange of Notes Transfers by a holder of a beneficial interest in a Regulation S Global Note to a transferee who takes delivery of such interest through a Rule 144A Global Note will be made only in accordance with the Applicable Procedures and upon receipt by the Note Registrar of written certifications from the transferor of the beneficial interest in the form provided in the Indenture to the effect that, among other things, such transfer is being made (i) to a person whom the transferor reasonably believes is a Qualified Institutional Buyer to whom notice is given that the transfer is being made in reliance on the exemption of the registration requirements of the Securities Act provided by Rule 144A and (ii) in accordance with any applicable securities laws of any state of the United States or any other jurisdiction and from the transferee in the form provided for in the Indenture. An owner of a beneficial interest in a Regulation S Global Note 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 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. Transfers by a holder of a beneficial interest in a Rule 144A Global Note to a transferee who takes delivery of such interest through a Regulation S Global Note will be made only in accordance with the Applicable Procedures and upon receipt by the Note Registrar of written certification from the transferor in the form provided in the Indenture to the effect that such transfer is being made in an offshore transaction (within the meaning of Regulation S) in accordance with Rule 903 or 904 of Regulation S. Exchanges or transfers by a holder of a Note represented by a Definitive Note to a transferee who takes delivery of such Note through a Regulation S Global Note will be made no later than 60 days after the receipt by the Note Registrar or Transfer Agent, as the case may be, of the Definitive Notes to be so exchanged or transferred only in accordance with the Applicable Procedures, and, if applicable, upon receipt by the Note Registrar of a written certification from the transferor in the form provided in the Indenture. An owner of a beneficial interest in a Rule 144A Global Note may transfer such interest in the form of a beneficial interest in such Rule 144A Global Note without the provision of written certification if the transferee is a Qualified Institutional Buyer. Transfers between Participants in DTC will be effected in the ordinary way in accordance with the Applicable Procedures and will be settled in immediately available funds. Transfers between participants in Euroclear and Clearstream will be effected in the ordinary way in accordance with their respective rules and operating procedures. Notes in the form of Definitive Notes may be exchanged or transferred in whole or in part in the principal amount of authorized denominations by surrendering such Definitive Notes at the office of the Note Registrar or any Transfer Agent (including the Transfer Agent located in Dublin, Ireland) with a written instrument of transfer as provided in the Indenture. In addition, if the Definitive Notes being exchanged or transferred contain a Legend, additional certifications to the effect that such exchange or transfer is in compliance with the restrictions contained in such Legend, may be required. 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 office of the applicable Transfer Agent. 46

No service charge will be made for exchange or registration of transfer of any Note but the Trustee may require payment of a sum sufficient to cover any tax or governmental charge payable in connection therewith and expenses of delivery (if any) not made by regular mail. Definitive Notes issued upon any exchange or registration of transfer of securities shall be valid obligations of the Co-Issuers, evidencing the same debt, and entitled to the same benefits, as the Definitive Notes surrendered upon exchange or registration of transfer. The Note Registrar will effect transfers of Global Notes and, along with the Transfer Agent, will effect exchanges and transfers of Definitive Notes. In addition, the Note Registrar will keep in the Note Register records of the ownership, exchange and transfer of any Note in definitive form. 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. 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 Co-Issuers that it will take any action permitted to be taken by a holder of Notes (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 the DTC interests in the Global Notes are credited and only in respect of such portion of the Aggregate Outstanding Amount of the Notes as to which such Participant or Participants has or have given such direction. However, if there is an Event of Default under the Notes, DTC will exchange the Global Notes for Definitive Notes, legended as appropriate, which it will distribute to its Participants. DTC has advised the Co-Issuers 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 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"). 47

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 Co-Issuer and the Trustee 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. Section 3(c)(7) Procedures In reliance on Section 3(c)(7) under the Investment Company Act, the Issuer has not registered with the SEC as an investment company pursuant to the Investment Company Act. To rely on Section 3(c)(7), the Issuer must have a "reasonable belief" that all purchasers of Notes (including the Initial Purchaser and subsequent transferees) are Qualified Purchasers. The Issuer will establish such a reasonable belief by means of the representations, warranties and agreements made or deemed made, by the purchasers of the Notes under "Transfer Restrictions", the agreements of the Initial Purchaser relating to the distribution of the Notes pursuant to Rule 144A referred to under "Plan of Distribution" and the covenants and undertakings of the Issuer referred to below. Reminder Notices. Whenever the Issuer sends or makes available a Note Valuation Report to the holders of Notes, the Issuer will include a "Section 3(c)(7) Reminder Notice" to the holders of Notes. Each Section 3(c)(7) Reminder Notice will state that (i) each holder of Notes or an interest in Notes must be able to make the representations and warranties described under "Transfer Restrictions" (the "Section 3(c)(7) Representations"); (ii) the Notes or interests in the Notes are transferable only to holders that are able to make the Section 3(c)(7) Representations and satisfy the other transfer restrictions applicable to the Notes; and (iii) if any holder of Notes or an interest in Notes is determined not to be a Qualified Purchaser, then the Issuer will have the right (exercisable in its sole discretion) to (A) treat the transfer to such person as null and void, (B) require such purchaser to sell all of its Notes (and all interests therein) to a transferee that is a Qualified Purchaser at the then-current market price therefor or (C) redeem such Notes for its principal amount or face amount, as applicable, plus accrued interest thereon. The Issuer will send each such report (and each Section 3(c)(7) Reminder Notice) to DTC with a request that DTC Participants pass them along to the beneficial owners of the Notes. DTC Actions. The Issuer will instruct DTC to take the following steps in connection with the Rule 144A Global Notes: The Issuer will instruct DTC to include the "3c7" marker in the DTC 20-character security descriptor and the 48-character additional descriptor for the Global Notes in order to indicate that sales are limited to Qualified Institutional Buyers that are also Qualified Purchasers. The Issuer will instruct DTC to cause each physical DTC deliver order ticket delivered by DTC to purchasers to contain the 20-character security descriptor and will direct DTC to cause each DTC deliver order ticket delivered by DTC to purchasers in electronic form to contain the "3c7" indicator and the related user manual for participants. On the Closing Date, the Issuer will instruct DTC to send an "Important Notice" to all DTC Participants in connection with the offering of the Notes. The "Important Notice" will notify DTC's Participants that the Global Notes are Section 3(c)(7) securities. The Issuer will instruct DTC to include the Global Notes in DTC's "Reference Directory" of Section 3(c)(7) offerings. The Issuer will from time to time, upon the request of the Trustee (at the Issuers expense) or the Credit Default Swap Counterparty (at the Credit Default Swap Counterpartys expense) instruct DTC to deliver to the Issuer a list of all DTC participants holding an interest in the Global Notes. Bloomberg Screens, Etc. The Issuer will from time to time request all third-party vendors to include on screens maintained by such vendors appropriate legends regarding Rule 144A and Section 3(c)(7) restrictions on the Notes. Without limiting the foregoing, the Initial Purchaser will request that 48

Bloomberg, L.P. include the following on each Bloomberg screen containing information about the Notes as applicable: (i) The bottom of the "Security Display" pages describing the Notes should state: "Iss'd Under 144A/3c7". The "Security Display" page should have a flashing red indicator stating "See Other Available Information". Such indicator for the Notes should link to an "Additional Security Information" page, which should state that the Notes are being offered in reliance on the exemption from registration under Rule 144A of the Securities Act to persons that are both (1) "Qualified Institutional Buyers" (as defined in Rule 144A under the Securities Act) and (2) "qualified purchasers" (as defined under Section 3(c)(7) of the Investment Company Act) or a company beneficially owned exclusively by one or more "qualified purchasers". The "Disclaimer" pages for the Notes should state that the Notes will not be and have not been registered under the Securities Act, and the Issuer has not been registered under the Investment Company Act and these securities may not be offered or sold absent registration or an applicable exemption from registration requirements and any such offer or sale of these securities must be in accordance with Section 3(c)(7) of the Investment Company Act.

(ii)

(iii)

(iv)

CUSIP. The Issuer will cause each "CUSIP" number obtained for a Note to have an attached "fixed field" that contains "3c7" and "144A" indicators. Legends. The Issuer will not remove the legend set forth under "Transfer Restrictions" at any time. 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 not be obligated to pay any additional amounts in respect of such withholding or deduction. Additional Notes From time to time after the Closing Date, the Issuers may, with the prior consent of the Credit Default Swap Counterparty and the holders of the majority of the Aggregate Outstanding Amount of the Class F Subordinated Notes, issue and sell Additional Notes and additional Class F Subordinated Notes if the following conditions are satisfied: (i) the proceeds from any such additional issuance shall be used by the Issuer to purchase additional Eligible Investments at the direction of the Credit Default Swap Counterparty; (ii) the Notional Amount of each Credit Default Swap shall be increased with the consent of the Credit Default Swap Counterparty, pro rata, such that the increase in such Notional Amounts is not, in the aggregate, less than the principal amount of such additional issuance; (iii) upon the issuance of such Additional Notes and additional Class F Subordinated Notes, the Collateral Quality Tests and the Eligibility Criteria will be satisfied; (iv) any Additional Notes and additional Class F Subordinated Notes must be issued for a cash sale price of 100%;

49

(v) the terms (other than the date of issuance and the date from which interest will accrue) of any series of Additional Notes and additional Class F Subordinated Notes will be identical to the terms of any previously issued series of such Class; (vi) such Additional Notes and additional Class F Subordinated Notes must be issued on a Payment Date; and (vii) the Rating Condition shall have been satisfied.

The issuance of Additional Notes must be proportional across all Classes; provided, however, that a larger proportion of Class F Subordinated Notes may be issued. Any Additional Notes or additional Class F Subordinated Notes issued pursuant to the Indenture and/or Appendix A to the Class F Subordinated Note Paying Agency Agreement shall be subject to the terms of the Indenture and/or Appendix A to the Class F Subordinated Note Paying Agency Agreement, as applicable. In connection with any Additional Notes or additional Class F Subordinated Notes, the Issuer shall, to the extent required by the rules thereof, provide the Irish Stock Exchange with a listing circular or prospectus supplement, relating to such Additional Notes. 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. Events of Default An "Event of Default" is defined in the Indenture as: (i) a default in the payment of the Cumulative Interest Amount (A) on any Class A Note or Class B Note, (B) if there are no Class A Notes or Class B Notes outstanding, on any Class C Note, (C) if there are no Class A Notes or Class B Notes or Class C Notes outstanding, on any Class D Note, or (D) if there are no Class A Notes, Class B Notes, Class C Notes or Class D Notes outstanding, on any Class E Note when the same becomes due and payable, in each case which default continues for a period of five Business Days (or, in the case of a payment default resulting solely from an administrative error or omission by the Trustee, the Administrator, the Paying Agent or the Co-Issued Note Registrar that is identified in writing by the Trustee, seven days); a default in the payment of principal of any Note when the same becomes due and payable at its Final Maturity Date (or, in the case of a payment default resulting solely from an administrative error or omission by the Trustee, the Administrator, the Paying Agent or Note Registrar, such default continues for a period of seven days); the failure on any Payment Date to disburse amounts available in the Payment Account in accordance with the Priority of Payments (other than a default in payment described in clause (i) or (ii) above), which failure continues for a period of two Business Days (or, in the case of a failure resulting solely from an administrative error or omission by the Trustee, the Administrator, the Paying Agent or Note Registrar, seven days); either of the Co-Issuers or the Collateral becomes an investment company required to be registered under the Investment Company Act; a default in the performance, or breach, of any other covenant or other agreement (other than any covenant to meet the Eligibility Criteria or the Collateral Quality Tests) of the Issuer or the Co-Issuer under the Indenture or any representation or warranty of the Issuer or the Co-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 50

(ii)

(iii)

(iv)

(v)

material respect when made, and the continuation of such default or breach for a period of 30 days (or, if such default, breach or failure has an adverse effect on the validity, perfection or priority of the security interest granted under the Indenture, 15 days) after any of the Issuer or the Co-Issuer has actual knowledge thereof or after written notice thereof to the Issuer by the Trustee or to the Issuer and the Trustee by the holders of at least 50% in Aggregate Outstanding Amount of Notes of the Controlling Class; (vi) certain events of bankruptcy, insolvency, receivership or reorganization of either of the Co-Issuers (as set forth in the Indenture); or one or more final judgments being rendered against either of the Co-Issuers that exceed, in the aggregate, U.S.$5,000,000 and which remain unstayed, undischarged and unsatisfied for 30 days after such judgment(s) becomes nonappealable, unless adequate funds have been reserved or set aside for the payment thereof.

(vii)

The Issuer is required to provide written confirmation to the Trustee, on an annual basis, that no Event of Default or other matter that is required to be brought to the Trustee's attention has occurred If either of the Co-Issuers obtains knowledge, or has reason to believe, that an Event of Default has occurred and is continuing, such Co-Issuer is obligated to promptly notify the Trustee, the holders of Notes, the Credit Default Swap Counterparty and each Rating Agency of such Event of Default in writing. If an Event of Default (other than an Event of Default described in clause (vi) under "Events of Default" above) with respect to the Notes occurs and is continuing, then the Trustee may, with the written consent of a majority of the Aggregate Outstanding Amount of the Controlling Class, and the Trustee shall, at the written direction of the holders of a majority in Aggregate Outstanding Amount of the Controlling Class, declare the principal of and accrued and unpaid interest on all of the Notes to be immediately due and payable in accordance with the Priority of Payments. If an Event of Default described in clause (vi) above under "Events of Default" occurs, such an acceleration will occur automatically and without any further action. Notwithstanding the foregoing, if the sole Event of Default is an Event of Default described in clause (i) or clause (ii) above under "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 in accordance with the Priority of Payments. Any declaration of acceleration may under certain circumstances be rescinded by the holders of at least a majority in Aggregate Outstanding Amount of Notes of the Controlling Class. If an Event of Default occurs and is continuing when any Note is outstanding, 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 that the anticipated amounts received by the Issuer with respect to any termination payments payable upon termination of the Credit Default Swaps, together with any Liquidation Proceeds received with respect to any Delivered Obligations and Eligible Investments on deposit in the Collection Account will be sufficient to discharge in full the amounts then due and unpaid on the Notes for principal and interest, amounts then due and unpaid to the Credit Default Swap Counterparty, amounts then due and unpaid on the Financed Amount and unpaid Administrative Expenses and other unpaid expenses of the Co-Issuers, and the majority of the Aggregate Outstanding Amount of the Controlling Class agree in writing with such determination, with the proceeds of such termination and liquidation applied in the manner described under " Priority of Payments"; or the holders of at least 67% in Aggregate Outstanding Amount of each Class of Notes voting as a separate Class (and, unless each person listed below will be paid in full all amounts owing to it by the Issuer, the Credit Default Swap Counterparty and Deutsche Bank AG with respect to any unpaid Financed Amount) direct in writing the termination of the Credit Default Swaps and liquidation of any Delivered Obligations and Eligible Investments on deposit in the Collateral Account and/or the Collection Account, with the 51

(B)

proceeds of such termination and liquidation applied in the manner described under " Priority of Payments". The holders of a majority in Aggregate Outstanding Amount 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 paragraph. 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 Secured Parties. The Trustee's lien will be exercisable by the Trustee only if the Notes have been declared due and payable following an Event of Default and such acceleration has not been rescinded or annulled. Any Credit Default Swap in effect immediately prior to the declaration of such acceleration shall remain in effect until such declaration is no longer capable of being rescinded or annulled. Subject to the provisions of the Indenture relating to the duties of the Trustee, in case an 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 satisfactory to it. The holders of a majority in Aggregate Outstanding Amount of the Controlling Class, acting together with the Credit Default Swap Counterparty (if such party is adversely affected thereby) as prescribed by the Indenture, 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 or interest on the Class A-1 Notes or, after the Class A-1 Notes have been paid in full, the Class A-2 Notes, or after the Class A-2 Notes have been paid in full, the Class B Notes or, after the Class B Notes have been paid in full, the Class C Notes or, after the Class C Notes have been paid in full, the Class D Notes or, after the Class D Notes have been paid in full, the Class E Notes, 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 or Class F Subordinated Note affected thereby, or arising as a result of an Event of Default described in clause (vi) above under "Events of Default". No holder of a Note or the Class F Subordinated Notes 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 Event of Default, (ii) the holders of at least 25% in Aggregate Outstanding Amount of the Notes of the Controlling Class have made a written request upon the Trustee to institute such proceedings in its own name as Trustee, (iii) such holders have offered the Trustee indemnity satisfactory to it, (iv) the Trustee has for 30 days after receiving such notice failed to institute any such proceeding and (v) no direction inconsistent with such written request has been given to the Trustee during such 30day period by the holders of a majority in Aggregate Outstanding Amount of the Notes of the Controlling Class. Notices Notices to the holders of Notes will be given by first-class mail, postage prepaid, to the registered holders of the Notes at their address 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 the Irish Stock Exchange so require, notices to the holders of the Notes shall also be delivered to the Irish Paying Agent who will give notice to the Company Announcements Office of the Exchange.

52

Modification of the Indenture With the consent of (x) the holders of not less than a majority of the Aggregate Outstanding Amount of each Class of Notes adversely affected thereby and a majority of the Aggregate Outstanding Amount of the Class F Subordinated Notes (if adversely affected thereby) and (y) the consent of the Credit Default Swap Counterparty (if adversely affected thereby), the Trustee and Co-Issuers 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 or the Class F Subordinated Notes or the Credit Default Swap Counterparty, as the case may be, under the Indenture; provided that the Rating Condition shall have been satisfied with respect to such supplemental indenture. Unless notified by holders of a majority in Aggregate Outstanding Amount of any Class of Notes, by holders of a majority in Aggregate Outstanding Amount of Class F Subordinated Notes or the Credit Default Swap Counterparty that such Class of Notes, the Class F Subordinated Notes or the Credit Default Swap Counterparty, as the case may be, will be adversely affected, the Trustee may conclusively rely upon an opinion of counsel as to whether or not such Class of Notes, the Class F Subordinated Notes or the Credit Default Swap Counterparty would be adversely affected by such change (after giving notice of such change to the holders of such Class of Notes, the Class F Subordinated Notes and the Credit Default Swap Counterparty). Such determination shall be conclusive and binding on all present and future holders of the Notes, the Class F Subordinated Noteholders and the Credit Default Swap Counterparty. Notwithstanding the foregoing, the Trustee and the Co-Issuers may not enter into any supplemental indenture without the written consent of each holder of each outstanding Note of each Class and each Class F Subordinated Noteholder (which consent shall be evidenced by an officer's certificate of the Issuer certifying that such consent has been obtained and in which event satisfaction of the Rating Condition shall not be required, but notice shall be given to the Rating Agencies) and the Credit Default Swap Counterparty (if adversely affected thereby) if such supplemental indenture: (i) changes the Stated Maturity of the principal of or the due date of any installment of principal of or interest on any Note or Class F Subordinated Note, reduces the principal amount thereof or the rate of interest thereon, or the redemption price with respect thereto, changes the earliest date on which the Issuer may redeem any Note or Class F Subordinated Note, changes the provisions of the Indenture relating to the application of proceeds of any Collateral to the payment of principal of or interest on the Notes or Class F Subordinated Note, changes any place where, or the coin or currency in which, any Note or Class F Subordinated Note or the principal thereof or interest thereon is payable, or impairs the right to institute suit for the enforcement of any such payment on or after the Stated Maturity thereof (or, in the case of redemption or termination of Issuer's obligations, on or after the applicable Redemption Date, Auction Redemption Date or trust termination date); reduces the percentage in Aggregate Outstanding Amount of Notes or the Class F Subordinated Notes whose consent is required for the authorization of any supplemental indenture or for any waiver of compliance with certain provisions of the Indenture or certain defaults thereunder or their consequences; impairs or adversely affects the Collateral pledged under the Indenture except as otherwise permitted thereby; 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 or deprives the holder of any Note of the security afforded by the lien created by the Indenture; reduces the percentage of the Aggregate Outstanding Amount of any 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; 53

(ii)

(iii)

(iv)

(v)

(vi)

modifies any of the provisions of the Indenture with respect to supplemental indentures requiring the consent of holders of Notes except to increase the percentage of outstanding 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 affected thereby; modifies the definition of the term "Outstanding" or the subordination provisions of the Indenture; changes the permitted minimum denominations of any Class of Notes; or modifies any of the provisions of the Indenture in such a manner as to affect 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.

(vii)

(viii) (ix)

The Co-Issuers and the Trustee may also enter into supplemental indentures without obtaining the consent of holders of any Class of Notes or the Credit Default Swap Counterparty, in order to, among other things: (i) correct or amplify the description of any property at any time subject to the lien created by the Indenture, or to better assure, convey and confirm unto the Trustee any property subject or required to be subjected to the lien created by 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 the Indenture any additional property; evidence the succession of another person to the Issuer or the Co-Issuer, and the assumption by any such successor of the covenants of the Issuer or the Co-Issuer, as the case may be, in the Indenture and the Notes or Class F Subordinated Notes, as applicable; add to the covenants of the Co-Issuers or the Trustee, for the benefit of the holders of all of the Notes and the Class F Subordinated Notes, or to surrender any right or power conferred upon the Co-Issuers; convey, transfer, assign, mortgage or pledge any property to or with the Trustee; evidence and provide for the acceptance of appointment 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 trust under the Indenture by more than one Trustee, pursuant to the requirements of the Indenture; take any action deemed reasonably necessary by the Issuer to prevent the Issuer from becoming subject to any withholding or other taxes or assessment or to reduce the risk that the Issuer will be engaged in a U.S. trade or business or otherwise subject to U.S. income tax on a net income basis; correct any inconsistency, defect or ambiguity in the Indenture; modify the restrictions on and procedures for resales and other transfers of the Notes or Class F Subordinated Notes to reflect any changes in applicable law or regulation (or the interpretation thereof) to comply with the USA PATRIOT Act (to the extent it is applicable to the Issuer) or to enable the Co-Issuers 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; permit the incurrence by either or both of the Co-Issuers of other subordinated indebtedness, in each case, to the extent permitted by the Indenture; 54

(ii)

(iii)

(iv) (v)

(vi)

(vii) (viii)

(ix)

(x)

make any changes required by the Irish Paying Agent so long as any of the Notes or the Class F Subordinated Notes are listed thereon, or any other stock exchange on which any Notes or Class F Subordinated Notes are listed, in each case in order to permit or maintain such listing; within 30 days of the Closing Date, conform the Indenture to the Prospectus related to the Notes or the Class F Subordinated Notes; or to modify the calculation relating to the Collateral Quality Tests in order to correspond with published changes in the guidelines, methodology or standards established by the Rating Agencies;

(xi)

(xii)

provided that, in each such case, (a) such action, amendment or supplement shall not, as evidenced by an opinion of counsel, adversely affect in any material respect the interests of any Secured Party, (b) the Rating Condition has been satisfied and (c) the majority of the Aggregate Outstanding Amount of the Class F Subordinated Notes consent to such action; and provided, further, that notwithstanding anything to the contrary contained herein the Trustee and the CoIssuers may enter into one or more indentures supplemental hereto to accommodate the issuance of Additional Notes pursuant to the terms of the Indenture and the Class F Note Subordinated Paying Agency Agreement. See "Description of the NotesAdditional Notes". Consolidation, Merger or Transfer of Assets Except under the limited circumstances set forth in the Indenture, neither of the Co-Issuers may consolidate with, merge into, or transfer or convey all or substantially all its assets to, any other corporation, partnership, trust or other person or entity. Petitions for Bankruptcy The Indenture provides that the holders of the Notes (other than the Controlling Class of Notes) agree not to cause the filing of a petition for winding up or a petition in bankruptcy against the Issuer or the Co-Issuer before one year plus one day has elapsed since the final payments to the holders of the Controlling Class of Notes or, if longer, the applicable preference period then in effect. Satisfaction and Discharge of Indenture The Indenture will be discharged with respect to the Notes upon delivery to the Trustee for cancellation of all of the Notes, or, within certain limitations (including the obligation to pay principal, the Cumulative Interest Amount on each Class of Notes, the Class C Deferred Interest, Class D Deferred Interest and the Class E Deferred Interest), upon deposit with the Trustee of funds sufficient for the payment or redemption thereof and the payment by the Issuer of all other amounts due under the Notes, the Indenture, any Credit Default Swap, the Collateral Administration Agreement and the Administration Agreement. Trustee LaSalle Bank National Association, will be the Trustee under the Indenture. The Co-Issuers 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. 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 and its officers, directors, employees and agents 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 senior to that of the holders of Notes to secure payment by the Issuer of the compensation and expenses of the Trustee and any sums the Trustee may be entitled to receive as 55

indemnification by the Issuer under the Indenture (subject to the dollar limitations set forth in the Priority of Payments with respect to any Payment Date), 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 Co-Issuers 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, after the payment in full of all of the Notes. No resignation or removal of the Trustee, and no appointment of a successor Trustee, shall become effective until the acceptance of appointment by the successor Trustee. Upon receiving a notice of resignation or removal, the Co-Issuers shall promptly appoint a successor Trustee (which successor shall meet the applicable qualifications set forth in the Indenture) by written instrument, in duplicate, executed by an authorized officer of the Issuer and an authorized officer of the Co-Issuer, one original copy of which shall be delivered to the Trustee so resigning and one original copy to the successor Trustee together with notice to each holder of Notes and Class F Subordinated Noteholder in accordance with the Indenture. 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 30 days after the giving of such notice of resignation or removal, the resigning or removed Trustee or any holder of a Note, may, on behalf of himself and all others similarly situated, petition any court of competent jurisdiction for the appointment of a successor Trustee. Tax Characterization of the Notes The Issuer intends to treat the Notes funded at closing as indebtedness of the Issuer and the Class A-1 Notes as constituting a notional principal contract for U.S. federal, state and local income tax purposes. The Indenture will provide that each holder, by accepting a Note, agrees to such treatment and agrees to report all income (or loss) in accordance with such characterization unless otherwise required by any taxing authority under applicable law. Third Party Beneficiaries The Credit Default Swap Counterparty, Deutsche Bank AG, as holder of the Financed Amount, and the Class F Subordinated Noteholders will be express third party beneficiaries of the Indenture. Governing Law The Indenture and the Notes will be governed by, and construed in accordance with, the laws of the State of New York. Note Valuation Report; Noteholder Reports Not later than the Business Day preceding the related Payment Date, the Trustee shall make available, to the holders of the Notes, the Class F Subordinated Noteholders, the Collateral Administrator, the Credit Default Swap Counterparty and each Rating Agency a report (the "Note Valuation Report") setting forth certain information regarding the payments due to the holders of the Notes on such Payment Date. In addition, not later than the tenth Business Day after the last day of each preceding calendar month (excluding any month as to which a Note Valuation Report is rendered), commencing in April 2006, the Issuer shall make available to each Rating Agency and the Trustee, who shall forward a copy to the Initial Purchaser, the Credit Default Swap Counterparty, the Investment Agreement Provider, the Class F Subordinated Noteholders and any holder of a Note requesting a copy thereof in writing, a monthly report (the "Monthly Report") containing additional information with respect to the Credit Default Swap Portfolio and the related Reference Obligations. Pursuant to the Collateral Administration Agreement, the Monthly Report and the Note Valuation Report will be prepared by the Collateral Administrator. Modification of the Collateral Administration Agreement Prior to entering into any amendment to the Collateral Administration Agreement, the Issuer is required by the Collateral Administration Agreement to provide written evidence 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 and the Trustee with written notice of such waiver. 56

MATURITY, PREPAYMENT AND YIELD CONSIDERATIONS The Stated Maturity of each Class of Notes is May 12, 2038. The Notes are expected to mature at the Stated Maturity unless redeemed or repaid prior thereto. Based on the Credit Default Swap Portfolio and assuming (1) (2) all the Coverage Tests remain in compliance to the Final Maturity Date of the Notes, prepayment of each Reference Obligation occurs at a rate equal to the average rate of prepayment during the period of six consecutive months immediately preceding the Closing Date (or, with respect to each Reference Obligation that has not been outstanding for at least six consecutive calendar months prior to the Closing Date, at the rate of prepayment assumed at the time of issuance of such Reference Obligation), no early termination occurs under any Credit Default Swap prior to the Payment Date in May 2012, no Floating Payment is made by the Issuer under any Credit Default Swap, no physical settlement occurs under any Credit Default Swap, and a Clean-up Call occurs on the Payment Date in May 2012.

(3)

(4) (5) (6)

(i) The average life of the Class A-1 Notes would be approximately 3.5 years from the Closing Date, (ii) the average life of the Class A-2 Notes would be approximately 4.4 years from the Closing Date, (iii) the average life of the Class B Notes would be approximately 4.5 years from the Closing Date, (iv) the average life of the Class C Notes would be approximately 4.5 years from the Closing Date, (v) the average life of the Class D Notes would be approximately 4.5 years from the Closing Date and (vi) the average life of the Class E Notes would be approximately 4.5 years from the Closing Date. Such average lives of the Notes are presented for illustrative purposes only. The assumed Credit Default Swap Portfolio performance and the other assumptions used to calculate such average lives of the Notes are necessarily arbitrary, do not necessarily reflect historical experience with respect to the Reference Obligations or securities similar to the Reference Obligations and do not constitute a prediction with respect to the rates or timing of receipts of Interest Proceeds or Principal Proceeds, defaults, recoveries, dispositions, reinvestments, prepayments or optional redemptions to which the Credit Default Swaps may be subject. Actual experience as to these matters will differ, and may differ materially, from that assumed in calculating the illustrative average lives set forth above, and consequently the actual average lives of the Notes will differ, and may differ materially, from those set forth above. 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. See "Risk FactorsPrepayment Risk, Interest Rate Risk, Average Lives of the Notes and Prepayment Considerations and --Projections, Forecasts and Estimates." The average life of each Class of Notes, which refers to the weighted amount of time that will elapse from the Closing Date until each dollar of the principal of such securities may be paid to the investor, will be determined by the amount and frequency of principal payments which are dependent upon, among other things, the other payments received at or in advance of the scheduled maturity of the Reference Obligations (whether through disposition, maturity, redemption, prepayment rates of underlying collateral pools, default or other liquidation or disposition). The actual average life and final maturity of each Class of Notes will be affected by the financial condition of the Reference Entities and the characteristics of the Reference Obligations and other factors, including the existence and frequency of exercise of any optional or mandatory redemption features with respect to the Reference Obligations, the prevailing level of interest rates, the redemption price with respect to the Reference Obligations, the default rate of and recoveries on collateral supporting the Reference Obligations, the default rate of the Reference Entities and the frequency of tender or exchange offers for the Reference Obligations. In 57

addition, the reinvestment rates in connection with the reinvestment of proceeds in Eligible Investments could vary from the projected figures.

58

THE CO-ISSUERS General The Issuer is a special purpose vehicle that was incorporated as an exempted company with limited liability and registered on December 20, 2005 in the Cayman Islands pursuant to the Issuer Charter and is in good standing under the Laws of the Cayman Islands. The registration number for the Issuer is DB-159961. The registered office of the Issuer is at the offices of Deutsche Bank (Cayman) Limited, P.O. Box 1984 GT, Elizabethan Square, George Town, Grand Cayman, Cayman Islands, telephone: (345) 949-8244. The Issuer commenced operations on December 20, 2005 and has no prior operating experience other than in connection with the acquisition of certain Reference Obligations prior to the issuance of the Notes and the Class F Subordinated Notes and the entering into of arrangements with respect thereto. The Issuer has not produced any financial statements since the date of its incorporation. The Issuer will not have any substantial assets other than the Collateral pledged to secure the Notes and the Issuer's obligations to the Trustee. The entire authorized share capital of the Issuer will consist of 1,000 ordinary shares, par value U.S.$1.00 (the "Ordinary Shares") (which will be held in trust for charitable purposes by Deutsche Bank (Cayman) 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 Co-Issuer is a special purpose vehicle that was incorporated as a corporation on December 15, 2005 under the law of the State of Delaware and its registered office is c/o Puglisi & Associates, 850 Library Avenue, Suite 204, Newark, Delaware 19711, telephone: (302) 738-6680. The registration number for the Co-Issuer is 4078326. The sole director and officer of the Co-Issuer is Donald J. Puglisi at Puglisi & Associates, 850 Library Avenue, Suite 204, Newark, Delaware 19711, telephone: (302) 7386680. The principal outside function of the director of the Co-Issuer consists of serving as a corporate director for a variety of entities. The Co-Issuer has no prior operating experience and has not produced any financial statements since the date of its incorporation. It will not have any assets (other than its U.S.$1,000 of share capital owned by the Issuer) and will not pledge any assets to secure the Notes. The Co-Issuer will not have any interest in the Reference Obligations or other assets held by the Issuer. The Notes are obligations only of the Co-Issuers, and none of the Notes are obligations of the Trustee, the Share Trustee, the Administrator, the Initial Purchaser or any of their respective Affiliates or any directors or officers of the Co-Issuers. Deutsche Bank (Cayman) Limited will act as the administrator (in such capacity, the "Administrator") of the Issuer. The office of the Administrator will serve as the general business office of the Issuer. Through this office and pursuant to the terms of an agreement by and between the Administrator and the Issuer, dated on or about the Closing Date (the "Administration Agreement"), the Administrator will perform various management 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. The Administrator may be terminated at any time upon three month's written notice and such termination will be effective upon the appointment of a successor administrator and the entering into of another 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 Alan Corkish, David Dyer, Tim Fitzgerald and Simon Wetherell, each of whom is a director or officer of the Administrator and each of whose offices are at P.O. Box 1984 GT, Elizabethan Square, George Town, Grand Cayman, Cayman Islands. The Administration Agreement may be terminated by either the Issuer or the Administrator upon 30 days' written notice. The Administrator's principal office is at P.O. Box 1984 GT, Elizabethan Square, George Town, Grand Cayman, Cayman Islands.

59

Capitalization The initial capitalization of the Issuer as of the Closing Date, after giving effect to the issuance of the Notes and the Ordinary Shares of the Issuer but before deducting expenses of the offering of the Notes and organizational expenses of the Co-Issuers, is expected to be as follows: Class A-1 Notes Class A-2 Notes Class B Notes Class C Notes Class D Notes Class E Notes Class F Subordinated Notes Total Debt Ordinary Shares Total Equity Total Capitalization Up to U.S.$325,000,000 U.S.$59,500,000 U.S.$44,000,000 U.S.$17,500,000 U.S.$23,000,000 U.S.$10,000,000 U.S.$21,000,000 Up to U.S.$500,000,000 U.S.$1,000 U.S.$1,000 Up to U.S.$500,001,000

The Issuer will not have any material assets other than the Collateral. The Co-Issuer will be capitalized only to the extent of its U.S.$1,000 of share capital, will have no assets other than its share capital and will have no debt other than as Co-Issuer of the Notes. As of the Closing Date and after giving effect to the issuance of the Co-Issuer's shares, the authorized and issued share capital of the Co-Issuer is 1,000 common shares, par value U.S.$1.00 per share. Business The Indenture and the Issuer Charter provide that the objects for which the Issuer is established and the activities of the Issuer are limited to (i) acquisition and disposition of, and investment and reinvestment in, Reference Obligations and Eligible Investments, (ii) the entering into of, and the performance of its obligations under, the Indenture, the Class A-1 Note Purchase Agreement, the Collateral Administration Agreement, the Credit Default Swaps, the Notes and the Class F Subordinated Note Paying Agency Agreement, (iii) the issuance and sale of the Notes and the Class F Subordinated Notes, (iv) the pledge of the Collateral as security for its obligations in respect of the Notes and otherwise for the benefit of the Secured Parties, (v) ownership and management of the Co-Issuer and (vi) other activities incidental to the foregoing. The Issuer has no employees and no subsidiaries other than the CoIssuer. The Co-Issuer will not undertake any business other than the co-issuance of the Notes.

60

SECURITY FOR THE NOTES General The Collateral securing the Notes will consist of: (i) the Credit Default Swap Portfolio; (ii) the rights of the Issuer under the Collateral Administration Agreement and the Class A-1 Note Purchase Agreement; (iii) amounts on deposit in the Collection Account and the Collateral Account and Eligible Investments purchased with funds on deposit in such accounts; (iv) any Delivered Obligations; (v) the Issuer's right to any amounts contained in the Credit Default Swap Issuer Account and (vi) all proceeds of the foregoing. On the Closing Date the Issuer will pledge the Collateral to the Trustee for the benefit of the Secured Parties. The Reference Obligations underlying the Credit Default Swap Portfolio are described under "Description of the Credit Default Swap Portfolio". The Reference Obligations consist of Residential ABS Securities. On the Closing Date, each of the Collateral Quality Tests and the Eligibility Criteria will be satisfied. The Collateral Quality Tests The "Collateral Quality Tests" will consist of the Moody's Correlation Factor Test, the Moody's Maximum Rating Factor Test, the Moody's Minimum Weighted Average Recovery Rate Test, the Standard & Poor's Minimum Weighted Average Recovery Rate Test, the Standard & Poor's CDO Monitor Test, the Weighted Average Life Test and the Weighted Average Premium/Spread Test described below. On the Closing Date, the Credit Default Swap Counterparty will confirm that the Credit Default Swap Portfolio will satisfy the Collateral Quality Tests and after the Closing Date, no additions or substitutions will be permitted to be made to the Credit Default Swap Portfolio. Other than with respect to the issuance of Additional Notes, there is no requirement that the Collateral Quality Tests will be satisfied on any date after the Closing Date. Moody's Correlation Factor Test The "Moody's Correlation Factor Test" will be satisfied if on the Closing Date the Moody's Correlation Factor (determined in accordance with procedures prescribed by Moody's and more fully described in Annex B hereto and as set forth in the Indenture) is equal to or less than 23.70%. The "Moody's Maximum Rating Factor Test" will be satisfied if on the Closing Date the Moody's Weighted Average Rating Factor of the Credit Default Swap Portfolio (determined in accordance with procedures prescribed by Moody's and more fully described in Annex B hereto and as set forth in the Indenture) is equal to or less than 415. The "Moody's Minimum Weighted Average Recovery Rate Test" will be satisfied if, on the Closing Date, the Moody's Weighted Average Recovery Rate (determined in accordance with procedures prescribed by Moody's and more fully described in Annex B hereto and as set forth in the Indenture) is greater than or equal to 24.63%. The "Standard & Poor's Minimum Weighted Average Recovery Rate Test" will be satisfied if, on the Closing Date, the Standard & Poor's Weighted Average Recovery Rate is greater than or equal to 30.25% with respect to the Class A Notes, 35.25% with respect to the Class B Notes, 35.25% with respect to the Class C Notes, 40.60% with respect to the Class D Notes and 45.95% with respect to the Class E Notes. The "Standard & Poor's CDO Monitor Test" will be satisfied if, on the Closing Date, the Standard & Poor's Default Differential of the Credit Default Swap Portfolio is positive.

Moody's Maximum Rating Factor Test

Moody's Minimum Weighted Average Recovery Rate Test

Standard & Poor's Minimum Weighted Average Recovery Rate Test

Standard & Poor's CDO Monitor Test

61

Weighted Average Life Test

The "Weighted Average Life Test" will be satisfied if, on the Closing Date, the Weighted Average Life of the Credit Default Swap Portfolio as of such Measurement Date is less than or equal to 5.00 years. The "Weighted Average Premium/Spread Test" will be satisfied if, on the Closing Date, the Weighted Average Premium/Spread is greater than or equal to 2.06%.

Weighted Average Premium/Spread Test

Eligibility Criteria On the Closing Date, the Credit Default Swap Counterparty will confirm that the Credit Default Swap Portfolio satisfies the following criteria (the "Eligibility Criteria") and after the Closing Date, no additions or substitutions will be permitted to be made to the Credit Default Swap Portfolio and the Reference Obligations referenced therein. Other than with respect to the issuance of Additional Notes, there is no requirement that the Eligibility Criteria will be satisfied on any date after the Closing Date. Reference Obligation 1. the Reference Entity for such Reference Obligation is incorporated or organized under the laws of the United States, or a State thereof, any Eligible Country or an Eligible SPV Jurisdiction; such Reference Obligation has a Moody's Rating and a Standard & Poor's Rating, provided that the Aggregate Principal Balance of Credit Default Swaps referencing Reference Obligations that have a Moody's Rating below "Baa3" or a Standard & Poors Rating below "BBB-" does not exceed 0.0% of the Net Outstanding Swap Balance; such Credit Default Swap is not a Defaulted Asset, a Deferred Interest PIK Obligation or a PIK Obligation that is currently deferring interest at the time of acquisition thereof; such Credit Default Swap and the related Reference Obligation is Dollar denominated and is not mandatorily convertible into, or payable in, any other currency; with respect to the particular issue of the Reference Obligation being referenced, the Aggregate Principal Balance of Credit Default Swaps referencing such Reference Obligation does not exceed 1.5% of the Net Outstanding Swap Balance; with respect to each Reference Entity, the Aggregate Principal Balance of Credit Default Swaps referencing Reference Obligations issued by such Reference Entity does not exceed 1.5% of the Net Outstanding Swap Balance; with respect to the Servicer of the Reference Obligation being referenced, the Aggregate Principal Balance of Credit Default Swaps referencing Reference Obligations serviced by such Servicer does not exceed 7.5% of the Net Outstanding Swap Balance, provided, however, the Aggregate Principal Balance of Credit Default Swaps referencing Reference Obligations serviced by each such Servicer may exceed 7.5% of the Net Outstanding Swap Balance but: (a) may not exceed 12.5% of the Net Outstanding Swap Balance, if such Servicer is rated (i) at least "Aa3" by Moody's, or (ii) at least "AA-" or at least "Strong" by Standard & Poor's; and

Ratings

2.

Credit Profile

3.

Dollar Denominated

4.

Single Issue

5.

Single Reference Entity

6.

Single Servicer

7.

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(b) may not exceed 10.0% of the Net Outstanding Swap Balance, if such Servicer (a) is rated (i) at least "A3" by Moody's, or (ii) at least "A-" or at least "Above Average" by Standard & Poor's and (b) does not meet the ratings requirement of clause (a) above; provided that, for purposes of this clause 7, Servicer means, with respect to any issue of Asset-Backed Securities, the entity that at the time of the issuance of the related Asset-Backed Security, 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 Asset-Backed Securities are made. Backed by Obligations of Non-U.S. Obligors 8. the Aggregate Attributable Amount of Credit Default Swaps referencing Reference Obligations related to obligors organized or incorporated outside the United States of America does not exceed 5.0% of the Net Outstanding Swap Balance. For purposes of this paragraph 8, "obligors" shall mean with respect to Asset-Backed Securities, the obligors on the underlying receivables; Emerging Market Issuers 9. the Aggregate Principal Balance of Credit Default Swaps referencing Reference Obligations issued by Emerging Market Issuers does not exceed 0.0% of the Net Outstanding Swap Balance; if such Reference Obligation is an Asset-Backed Security, it is one of the Specified Types; the Aggregate Principal Balance of Credit Default Swaps referencing Reference Obligations that are Residential ABS Securities does not exceed 100.0% of the Net Outstanding Swap Balance, provided that the Aggregate Principal Balance of Credit Default Swaps referencing Reference Obligations that are Residential Prime Mortgage Securities does not exceed 20.0% of the Net Outstanding Swap Balance; the Aggregate Principal Balance of Credit Default Swaps referencing Reference Obligations that are Consumer ABS Securities does not exceed 0.0% of the Net Outstanding Swap Balance; provided that the Aggregate Principal Balance of Credit Default Swaps referencing Reference Obligations consisting of: (a) Automobile Securities does not exceed 0.0% of the Net Outstanding Swap Balance; (b) Car Rental Fleet Securities does not exceed 0.0% of the Net Outstanding Swap Balance; (c) Credit Card Securities does not exceed 0.0% of the Net Outstanding Swap Balance; and (d) Student Loan Securities does not exceed 0.0% of the Net Outstanding Swap Balance; CDO Securities 13. the Aggregate Principal Balance of Credit Default Swaps referencing Reference Obligations that are CDO Securities does not exceed 0.0% of the Net Outstanding Swap Balance,

Specified Type

10.

Residential ABS Securities

11.

Consumer ABS Securities

12.

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Prohibited ABS Securities Floating Rate Reference Obligations Interest Only Securities Principal Only Securities PIK Obligation

14.

such Reference Obligation is not a Prohibited ABS Security;

15.

such Reference Obligation is a Floating Rate Security;

16.

such Reference Obligation is not an Interest Only Security;

17.

such Reference Obligation is not a Principal Only Security;

18.

the Aggregate Principal Balance of Credit Default Swaps referencing Reference Obligations that are PIK Obligations does not exceed 0.0% of the Net Outstanding Swap Balance; the Aggregate Principal Balance of Credit Default Swaps referencing Reference Obligations that are Step-Down Obligations does not exceed 5.0% of the Net Outstanding Swap Balance; the Aggregate Principal Balance of Credit Default Swaps referencing Pure Private Reference Obligations does not exceed 10.0% of the Net Outstanding Swap Balance; such Reference Obligation provides for a fixed amount of principal to be payable according to a fixed schedule at maturity;

Step-Down Obligation

19.

Pure Private Reference Obligations Fixed Payments of Principal Debt Instrument

20.

21.

22.

such Reference Obligation (a) is the subject of an opinion of counsel to the effect that the Reference Obligation will be treated as a debt instrument (or REMIC regular interest) for United States federal income tax purposes or (b) satisfies each of the following: (i) such Reference Obligation is in the form of a note or other debt instrument and is treated as debt for corporate law purposes in the jurisdiction of the issuer of such security, (ii) the documentation pursuant to which such Reference Obligation was offered, if any, does not require that any holder thereof (or directly or indirectly indicate that the holder thereof should) treat such Reference Obligation other than as debt for tax purposes, (iii) such Reference Obligation bears interest at a fixed rate per annum or at a rate based upon a customary floating rate index plus or minus a spread and does not provide for any interest based on any other factor, such as the issuer's profits or cash flow; (iv) such Reference Obligation provides for a fixed principal amount (leaving no remaining amount outstanding) payable no later than its stated maturity date; and (v) such Reference Obligation is rated at least "Baa3" by Moody's or at least "BBB-" by Standard & Poor's as to ultimate payment of principal and ultimate or timely payment of interest; provided that, in the case of a Reference Obligation in the form of a beneficial interest in a trust that is treated (as evidenced by an opinion of counsel or a reference to an opinion of counsel in documents pursuant to which such security was offered) as a grantor trust for United States federal income tax purposes (and not as a partnership or association taxable as a corporation), any of the conditions specific in any of clauses (i), (ii), (iii) and (iv) above may be satisfied by reference to each asset held pursuant to such grantor trust arrangement rather than by reference to such beneficial ownership interests;

64

Equity Interest in Domestic Partnership

23.

notwithstanding anything to the contrary herein, the Issuer shall not purchase, hold or acquire (a) any asset the ownership of which would otherwise cause the Issuer to be subject to income tax on a net income basis in any jurisdiction, (b) any asset the gain from the disposition of which will be subject to United States federal income tax or withholding tax under Section 897 or Section 1445 of the Code and the Treasury Regulations promulgated thereunder or (c) any asset that, pursuant to 29 C.F.R. Section 2510.3-101, (i) would be treated as an equity interest in an entity and (ii) if held by an employee benefit plan subject to ERISA, would cause such employee benefit plan to be treated as owning an undivided interest in each of the underlying assets of such entity for purposes of ERISA; such Reference Obligation is not subject to withholding tax imposed by any jurisdiction or, if subject to withholding tax imposed by any jurisdiction, the obligor thereunder is required under the terms of the Underlying Instrument to make "gross-up" payments that cover the full amount of any such withholding tax on an after-tax basis; such Reference Obligation does not provide for the mandatory conversion or exchange into equity capital at any time (other than the exercise of any warrant which is a component of such Reference Obligation; provided that the value of such warrant shall not exceed 2.0% of the initial principal balance of such Reference Obligation); such Reference Obligation is permitted by its terms to be held by the Issuer and, if applicable, assigned, participated or otherwise transferred to the Issuer; such Reference Obligation does not require its holder to make available to the Reference Entity a commitment to advance funds (of a contingent nature or otherwise); such Reference Obligation is not an obligation or security the rating of which from Standard & Poor's include the subscript "p", "pi", "q", "r" or "t"; such Reference Obligation does not have a coupon or other payment that is subject to foreign withholding tax, in each case, unless the Reference Entity is required to make "gross-up payments" for the total amount of withholding on an after-tax basis; entering into a Credit Default Swap with respect to such Reference Obligation will not cause the Issuer to be subject to entity level taxation; entering into a Credit Default Swap with respect to such Reference Obligation will not cause the Issuer or the pool of Collateral to be required to register as an investment company under the Investment Company Act; and if the Reference Entity is excepted from the definition of an "investment company" solely by reason of Section 3(c)(1) of the Investment Company Act, then such Reference Obligation does not constitute a "voting security" for purposes of the Investment Company Act; such Reference Obligation (a) does not provide for conversion into Margin Stock; or (b) is not a financing by a debtor-in-possession in any insolvency proceeding;

Tax Withholding

24.

Other Eligibility Criteria

25.

26.

27.

28.

29.

30.

31.

32.

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For purposes of determining compliance with the foregoing Eligibility Criteria, all percentages resulting from such calculations shall be rounded, if necessary, to the nearest one tenth of a percentage point. The Collateral Account, the Collection Account, the Payment Account, the Closing Expense Account and the Credit Default Swap Issuer Account Collateral Account The net proceeds of the issuance of the Notes will be invested in Eligible Investments purchased at the direction of the Credit Default Swap Counterparty. Such Eligible Investments will be deposited into a non-interest bearing segregated trust account established and maintained under the Indenture by the Trustee (the "Collateral Account"). Principal collections on such Eligible Investments that have not been used to make payments under the Credit Default Swaps or the Indenture shall be reinvested in additional Eligible Investments and such Eligible Investments will be deposited in the Collateral Account. Collection Account Distributions or proceeds that constitute Interest Proceeds, will be remitted to a non-interest bearing segregated trust account established and maintained under the Indenture by the Trustee (the "Interest Collection Subaccount"). Distributions or proceeds that constitute Principal Proceeds, will be remitted to a single, non-interest bearing segregated trust account established and maintained under the Indenture by the Trustee (the "Principal Collection Subaccount" and, together with the Interest Collection Subaccount, the "Collection Account"). The Collection Account shall be maintained as a subaccount of the Collateral Account for the benefit of the holders of Notes and amounts on deposit therein will be available, together with reinvestment earnings thereon, for application in accordance with the Priority of Payments. Amounts received in the Collection Account during a Collection Period and amounts received in prior Collection Periods and retained in the Collection Account under the circumstances set forth in the Priority of Payments will be invested in Eligible Investments with stated maturities no later than the Business Day immediately preceding the next Payment Date. All such proceeds will be retained in the Collection Account unless used as otherwise permitted under the Indenture. See "Eligibility Criteria". Payment Account On or prior to the Business Day preceding each Payment Date or any Business Day on which any amount will be paid in accordance with "Priority of PaymentsInterest Proceeds", the applicable amounts of funds from the Interest Collection Subaccount, the Principal Collection Subaccount or the Collateral Account, as the case may be, for application in accordance with the Priority of Payments on such Payment Date or Business Day, will be deposited into a non-interest bearing segregated trust account established and maintained under the Indenture by the Trustee (the "Payment Account"). Closing Expense Account On the Closing Date the Issuer shall deposit the Closing Expense Deposit into a single, noninterest bearing segregated trust account established and maintained under the Indenture by the Trustee (the "Closing Expense Account") and from the Closing Date until the first Payment Date, funds credited to the Closing Expense Account shall be applied by the Trustee, acting pursuant to Expense Payment Instructions delivered to the Trustee by the Credit Default Swap Counterparty, to pay the fees, commissions, and expenses associated with the issuance of the Notes. Two Business Days prior to the first Payment Date, funds credited to the Closing Expense Account that are not being held for the payment of an expense that was previously identified in an Expense Payment Instruction or another anticipated payment shall be transferred by the Trustee (as directed by Deutsche Bank AG) as follows: (A) to the extent that Deutsche Bank AG determines, in its sole discretion, that all or a portion of such remaining proceeds be used to pay the Financed Amount, such proceeds shall be transferred to Deutsche Bank AG and shall reduce the Financed Amount owed to Deutsche Bank AG by the Issuer; provided, that payment under this clause (A) shall only reduce the latest scheduled Financed Amount Principal Payment Amount(s) and/or (B) to the extent that Deutsche Bank AG determines, in its sole 66

discretion, that all or a portion of such remaining proceeds be applied as Interest Proceeds on the first Payment Date, such proceeds shall be transferred to the Interest Collection Subaccount to be applied as Interest Proceeds on the first Payment Date. Credit Default Swap Issuer Account If and to the extent that the Credit Default Swap Counterparty is required to secure its obligations under the related Credit Default Swap, the Trustee will establish a segregated trust account held in the name of the Trustee (each such account, a "Credit Default Swap Issuer Account"). The Trustee shall deposit into the Credit Default Swap Issuer Account all amounts that are required to secure the obligations of the Credit Default Swap Counterparty. Except for investment earnings, the Credit Default Swap Counterparty shall not have any legal, equitable or beneficial interest in the Credit Default Swap Issuer Account other than in accordance with the Indenture, any applicable credit support annex, the applicable Credit Default Swap and applicable law. In accordance with the applicable Credit Default Swap, cash on deposit in the Credit Default Swap Issuer Account on behalf of the Issuer shall be invested in Eligible Investments. Income received on amounts on deposit in the Credit Default Swap Issuer Account may be withdrawn from such account and paid to the Credit Default Swap Counterparty in accordance with the applicable support document. Cash and Eligible Investments on deposit in the Credit Default Swap 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 Credit Default Swap caused by the related Credit Default Swap Counterparty. The Credit Default Swap Issuer Account shall be held in trust solely to secure the Credit Default Swap Counterparty's obligations in connection with the Credit Default Swaps. Upon the occurrence of an event of default or a termination event under any Credit Default Swap, amounts contained in the Credit Default Swap Issuer Account shall be withdrawn by the Trustee and applied to the payment of any amounts due by the Credit Default Swap Counterparty to the Issuer. Any excess amounts held in the Credit Default Swap Issuer Account after payment of all amounts owing from the Credit Default Swap Counterparty to the Issuer as a result of an event of default or termination event shall be withdrawn from the Credit Default Swap Issuer Account and paid to the Credit Default Swap Counterparty in accordance with the applicable Credit Default Swap and any applicable credit support annex.

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THE CREDIT DEFAULT SWAPS The following description of the Credit Default Swaps consists of a summary of certain provisions of the Credit Default Swaps and is qualified by reference to the detailed provisions of the Credit Default Swaps, the form of confirmation for which is attached as Annex D hereto. The following summary does not purport to be complete, and prospective investors must refer to the Credit Default Swaps for detailed information regarding the Credit Default Swaps. Copies of the Credit Default Swaps and other Transaction Documents will be available for inspection by holders of Notes during usual business hours at the specified offices of the Trustee. Overview of the Credit Default Swaps On the Closing Date, the Issuer will enter into a series of Credit Default Swap transactions each evidenced by a confirmation (incorporating the provisions of the International Swaps and Derivatives Association, Inc. Master Agreement (Multicurrency-Cross Border) and the related Schedule attached thereto, as may be amended from time to time (the "ISDA Master Agreement")), with an Effective Date as of the Closing Date, between the Issuer and the Credit Default Swap Counterparty. Terms used but not defined herein or in the relevant confirmation have the meanings specified in the 2003 ISDA Credit Derivatives Definitions as published by ISDA and as modified as set forth in the Credit Default Swaps (the "Credit Derivatives Definitions"). Under each Credit Default Swap, on each Fixed Rate Payer Payment Date, the Credit Default Swap Counterparty will be obligated to pay the Fixed Payment to the Issuer as determined by Deutsche Bank AG London, as calculation agent (together with its permitted successors and assigns in such capacity, the "Credit Default Swap Calculation Agent"). Under each Credit Default Swap, on each Floating Rate Payer Payment Date, the Issuer will be obligated to pay the applicable Floating Payment to the Credit Default Swap Counterparty. In addition, on each Additional Fixed Amount Payment Date, the Credit Default Swap Counterparty will be obligated to pay the Additional Fixed Payment, if due, to the Issuer. The Credit Default Swap Counterparty may, at its option, at any time following the occurrence of a Credit Event, physically deliver all or a portion of the underlying Reference Obligation to the Issuer (any such delivered Reference Obligation or portion thereof, a "Delivered Obligation") with an Exercise Amount not to exceed the Reference Obligation Notional Amount of the related Credit Default Swap. Upon such physical delivery of any Reference Obligation or portion thereof, the Issuer will be obligated to pay to the Credit Default Swap Counterparty the Physical Settlement Amount. The Issuer shall pay such Physical Settlement Amount by liquidating Eligible Investments or, to the extent the proceeds from such Eligible Investments are not sufficient to pay such amount, requesting Incremental Funding, as described in "Priority of PaymentsCredit Default Swap Allocations". Any such Delivered Obligation will be credited to a securities account maintained with the Trustee subject to the lien of the Indenture. Any Delivered Obligation credited to such securities account shall be held to maturity, unless liquidated following an Event of Default and acceleration or a redemption of the Notes under the Indenture. "Exercise Amount" means an amount equal to the product of (a) the original face amount of the Reference Obligation to be delivered by the Credit Default Swap Counterparty to the Issuer and (b) the Current Factor. The Exercise Amount shall (i) be equal to or less than the Reference Obligation Notional Amount (determined, for this purpose, without regard to the effect of any Writedown or Writedown Reimbursement within clauses (i)(B) or (iii) of the definition of "Writedown" or clauses (ii)(B) or (iii) of the definition of "Writedown Reimbursement") as of the date on which the relevant notice of physical settlement is delivered calculated as though all previously delivered notices of physical settlement have occurred in full and (ii) not be less than the lesser of (a) the Reference Obligation Notional Amount as of the date on which the relevant notice of physical settlement is delivered calculated as though physical settlement in respect of all previously delivered notices of physical settlement has occurred in full and (b) USD 100,000. The cumulative original face amount of Reference Obligations with respect to a specific Credit Default Swap will not at any time exceed the Initial Face Amount of such Credit Default Swap.

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"Current Factor" means the factor of the Reference Obligation as specified in the most recent Servicer Report; provided that if the Current Factor is not specified in the most recent Servicer Report, the Current Factor will be the ratio equal to (i) the Outstanding Principal Amount as of such date, determined in accordance with the Servicer Report over (ii) the Original Principal Amount. "Servicer Report" means periodic statements or reports regarding the Reference Obligation provided by the Servicer to holders of the Reference Obligation. "Servicer" means any trustee, servicer, sub-servicer, master servicer, fiscal agent, paying agent or other similar entity responsible for calculating payment amounts or providing reports pursuant to the Underlying Instruments. "Physical Settlement Amount" means an amount equal to (a) the product of the Exercise Amount and the Reference Price, minus (b) the sum of (i) if the Aggregate Implied Writedown Amount is greater than zero, the product of (A) the Aggregate Implied Writedown Amount, (B) the Applicable Percentage, each as determined immediately prior to the relevant delivery and (C) the relevant Exercise Percentage; and (ii) the product of (A) the aggregate of all Writedown Amounts in respect of Writedowns attributing a principal deficiency or realized loss to the Reference Obligations minus the aggregate of all Writedown Reimbursement Amounts in respect of Writedown Reimbursements from a decrease in the principal deficiency balance or realized loss amounts attributable to the Reference Obligations and (B) the Exercise Percentage; provided that if the Physical Settlement Amount would exceed the product of (1) the Reference Obligation Notional Amount as of the date on which the relevant notice of physical settlement is delivered, calculated as though physical settlement in respect of all previously delivered notices of physical settlement has occurred in full, and (2) the Exercise Percentage, then the Physical Settlement Amount shall be deemed to equal such product. "Exercise Percentage" means, with respect to a notice of physical settlement, a percentage equal to the original face amount of the Reference Obligations specified in such notice of physical settlement divided by an amount equal to (i) the Initial Face Amount minus (ii) the aggregate of the original face amount of all Reference Obligations specified in all previously delivered notices of physical settlement. The "Reference Price" will be designated in the related Credit Default Swap, but generally will be 100%. The Reference Obligations and the Credit Default Swap Portfolio Each Credit Default Swap will reference a single Reference Obligation issued by a Reference Entity. The Reference Obligations will consist of the Residential ABS Securities as shown in Annex E. On the Closing Date, the sum of the Reference Obligation Notional Amounts of all of the Credit Default Swaps will equal approximately U.S.500,000,0001 (the "Initial Credit Default Swap Portfolio Notional Amount"), and thereafter, the aggregate of the Reference Obligation Notional Amounts of all Reference Obligations in the Credit Default Swap Portfolio shall be referred to as the "Credit Default Swap Portfolio Notional Amount". Notional Amounts of the Credit Default Swaps The Reference Obligation Notional Amount of each Credit Default Swap on the Effective Date will be as shown in Annex E. "Effective Date" will be designated in the related Credit Default Swap, but generally means the Closing Date. The "Trade Date" shall be designated in the related Credit Default Swap.

1 The aggregate Initial Notional Amount of the Credit Default Swap Portfolio, together with Principal Proceeds

deposited in the Principal Collection Subaccount on the Closing Date, will total $500,000,000.

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The "Reference Obligation Notional Amount" of each Credit Default Swap as of its Effective Date will be equal to the product of: (i) (ii) (iii) the Original Principal Amount for such Credit Default Swap; the Initial Factor for such Credit Default Swap; and the Applicable Percentage for such Credit Default Swap;

and following such Effective Date will be: (i) decreased on each day on which a Principal Payment is made by the relevant Principal Payment Amount; (ii) decreased on each day on which a Failure to Pay Principal occurs by the relevant Principal Shortfall Amount; (iii) decreased on each day on which a Writedown occurs by the relevant Writedown Amount;

(iv) increased on each day on which a Writedown Reimbursement occurs by any Writedown Reimbursement Amount in respect of a Writedown Reimbursement within clauses (ii) or (iii) of the definition of Writedown Reimbursement; and (v) decreased on each delivery date by an amount equal to the relevant Exercise Amount minus the relevant amount determined pursuant to clause (b) of Physical Settlement Amount; provided that if the Reference Obligation Notional Amount would be less than zero, it shall be deemed to be zero. The "Original Principal Amount" will be designated in the related Credit Default Swap and means the outstanding principal amount of the Reference Obligation as of the date on which the Reference Obligation was issued. The "Initial Factor" will be designated in the related Credit Default Swap and means a ratio equal to the Outstanding Principal Amount of the Reference Obligation as of the Effective Date divided by the Original Principal Amount of the Reference Obligation. "Outstanding Principal Amount" means, as of any date of determination with respect to the Reference Obligation, the outstanding principal balance of the Reference Obligation as of such date (which shall take into account (a) all payments of principal; (b) all writedowns or applied losses (however described in the Underlying Instruments) resulting in a reduction in the outstanding principal balance of the Reference Obligation (other than as a result of a scheduled or unscheduled payment of principal); (c) forgiveness of any amount by the holders of the Reference Obligation pursuant to an amendment to the Underlying Instruments resulting in a reduction in the outstanding principal balance of the Reference Obligation; (d) any payments reducing the amount of any reductions described in (b) and (c) of this definition; and (e) any increase in the outstanding principal amount of the Reference Obligation that reflects a reversal of any prior reductions described in (b) and (c) of this definition). "Principal Payment" means, with respect to any Reference Obligation Payment Date, the occurrence of a payment of an amount to holders of the Reference Obligation in respect of principal (scheduled or unscheduled) in respect of the Reference Obligation other than a payment in respect of principal representing capitalized interest, excluding, for the avoidance of doubt, any Writedown Reimbursement or Interest Shortfall Reimbursement. "Principal Payment Amount" means, with respect to any Reference Obligation Payment Date, an amount equal to the product of (a) the amount of any Principal Payment on such date and (b) the Applicable Percentage.

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Notwithstanding the foregoing, any payments to be made by the Issuer under the Credit Default Swaps shall be determined based on and in respect of, the Reference Obligation Notional Amount of each Credit Default Swap. See "Floating Payments Payable by the Issuer" below. The Reference Obligation Notional Amount of any Credit Default Swap may be greater or smaller than the total outstanding principal amount of the applicable Reference Obligation, in which case any payments, writedowns and/or floating amounts will be adjusted by scaling up or down in accordance with the definition of "Applicable Percentage". "Applicable Percentage" means, on any day, a percentage equal to A divided by B. A means the product of the Initial Face Amount and the Initial Factor as decreased on each delivery date by an amount equal to (a) the outstanding principal balance of Delivered Obligations divided by the Current Factor on such day multiplied by (b) the Initial Factor. B means the product of the Original Principal Amount and the Initial Factor; (a) as increased by the outstanding principal balance of any further issues by the Reference Entity that are fungible with and form part of the same legal series as the Reference Obligation; and (b) as decreased by any cancellations of some or all of the Outstanding Principal Amount resulting from purchases of the Reference Obligation by or on behalf of the Reference Entity. "Initial Face Amount" has the meaning specified in the related Credit Default Swap and means the initial par amount of the Reference Obligation referenced in the related Credit Default Swap, which amount could be equal to, greater than or less than the Original Principal Amount. Fixed Payments Payable by the Credit Default Swap Counterparty With respect to each Credit Default Swap, the Credit Default Swap Counterparty shall pay to the Issuer on each Fixed Rate Payer Payment Date the "Fixed Payment" equal to the Fixed Amount applicable to such Credit Default Swap as calculated by the Credit Default Swap Calculation Agent and confirmed by the Trustee. "Fixed Rate Payer Payment Date" means each day falling five Business Days after a Reference Obligation Payment Date; provided that the final Fixed Rate Payer Payment Date shall fall on the fifth Business Day following the Effective Maturity Date. The "Fixed Amount" means, with respect to any Fixed Rate Payer Payment Date, an amount equal to the product of: (a) (b) the Fixed Rate; an amount determined by the Credit Default Swap Calculation Agent equal to (i) the sum of the Reference Obligation Notional Amount (as calculated without taking into consideration any adjustment in the Reference Obligation Notional Amount due to an Implied Writedown Amount) at 5 p.m. in New York on each day in the related Fixed Rate Payer Calculation Period, divided by (ii) the actual number of days in the related Fixed Rate Payer Calculation Period; and the actual number of days in the related Fixed Rate Payer Calculation Period divided by 360.

(c)

"Fixed Rate" means the fixed rate applicable to each Credit Default Swap as shown in Annex E; subject to adjustment due to a Step-Up as specified in the related Credit Default Swap.

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"Step-Up" means, on any day, an increase in coupon of the related Reference Obligation due to the failure of the Reference Entity or a third party to redeem, cancel or terminate the Reference Obligation, as the case may be, in accordance with the Underlying Instruments. "Fixed Rate Payer Calculation Period" shall correspond to the relevant Reference Obligation calculation period and shall end on and include the related Reference Obligation Payment Date. "Reference Obligation Payment Date" means (a) each scheduled distribution date for the Reference Obligation occurring on or after the Effective Date and on or prior to the Scheduled Termination Date, determined in accordance with the Underlying Instruments and (b) any day after the Effective Maturity Date on which a payment is made in respect of the Reference Obligation. Floating Payments Payable by the Issuer With respect to each Credit Default Swap, the Issuer shall pay to the Credit Default Swap Counterparty on each Floating Rate Payer Payment Date the "Floating Payment" equal to the Floating Amount applicable to such Credit Default Swap as calculated by the Credit Default Swap Calculation Agent and confirmed by the Trustee. "Floating Rate Payer Payment Date" means, in relation to a Writedown, a Principal Shortfall or an Interest Shortfall (each a "Floating Amount Event"), the first Fixed Rate Payer Payment Date falling at least two Business Days (or in the case of a Floating Amount Event that occurs on the Legal Final Maturity Date or the Final Amortization Date, the fifth Business Day) after delivery of a notice by the Credit Default Swap Calculation Agent to the parties or a notice by the Credit Default Swap Counterparty to the Issuer that the related Floating Amount is due and showing in reasonable detail how such Floating Amount was determined; provided that in the case of a Floating Amount Event that occurs on the Legal Final Maturity Date or the Final Amortization Date, such notice must be given on or prior to the fifth Business Day following the Legal Final Maturity Date or the Final Amortization Date, as applicable. The "Floating Amount" will be equal to the sum of the relevant Writedown Amount (if any), Principal Shortfall Amount (if any) or Interest Shortfall Amount (if any). "Writedown Amount" means, with respect to any day, the product of (i) the amount of any Writedown on such day, (ii) the Applicable Percentage and (iii) the Reference Price. "Principal Shortfall Amount" which means, with respect to a Failure to Pay Principal, an amount equal to the greater of (i) zero and (ii) an amount equal to the product of (A) the Expected Principal Amount minus the Actual Principal Amount, (B) the Applicable Percentage and (C) the Reference Price. If the Principal Shortfall Amount would be greater than the Reference Obligation Notional Amount immediately prior to the occurrence of such Failure to Pay Principal, then the Principal Shortfall Amount shall be deemed to be equal to the Reference Obligation Notional Amount at such time. "Actual Principal Amount" means, with respect to the Final Amortization Date or the Legal Final Maturity Date, payment on such day by or on behalf of the Issuer of an amount in respect of principal (excluding any capitalized interest) to the holder(s) of the Reference Obligation in respect of the Reference Obligation. "Expected Principal Amount" means, with respect to the Final Amortization Date or the Legal Final Maturity Date, an amount equal to (i) the Outstanding Principal Amount of the Reference Obligation payable on such day assuming for this purpose that sufficient funds are available for such payment, where such amount shall be determined in accordance with the Underlying Instruments, minus (ii) the sum of (A) the Aggregate Implied Writedown Amount (if any) and (B) the net aggregate principal deficiency balance or realized loss amounts (however described in the Underlying Instruments) that are attributable to the Reference Obligation. The Expected Principal Amount shall be determined without regard to the effect of any limited recourse provisions (however described) of the Underlying Instruments that permit the limitation of due payments or distributions of funds in accordance with the terms of such Reference Obligation or that provide for the extinguishing or reduction of such payments or distributions.

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"Aggregate Implied Writedown Amount" means the greater of (i) zero and (ii) the aggregate of all Implied Writedown Amounts minus the aggregate of all Implied Writedown Reimbursement Amounts. "Interest Shortfall Payment Amount" means, in respect of an Interest Shortfall, the relevant Interest Shortfall Amount; provided that, if the Interest Shortfall Cap is applicable and the Interest Shortfall Amount exceeds the Interest Shortfall Cap Amount, the Interest Shortfall Payment Amount in respect of such Interest Shortfall shall be the Interest Shortfall Cap Amount. "Interest Shortfall" means, with respect to any Reference Obligation Payment Date, either (a) the non-payment of the Expected Interest Amount or (b) the payment of an Actual Interest Amount that is less than the Expected Interest Amount. For the avoidance of doubt, the occurrence of an event within (a) or (b) shall be determined taking into account any payment made under the reference policy set forth in the related Credit Default Swap, if applicable. "Interest Shortfall Amount" means, with respect to any Reference Obligation Payment Date, an amount equal to the greater of (a) zero; and (b) the amount equal to the product of (i) (A) the Expected Interest Amount; minus (B) the Actual Interest Amount; and (ii) the Applicable Percentage; provided that, with respect to the first Reference Obligation Payment Date only, the Interest Shortfall Amount shall be the amount determined in accordance with (a) and (b) above multiplied by a fraction equal to (x) the number of days in the first Fixed Rate Payer Calculation Period; over (y) the number of days in the first Reference Obligation Calculation Period. "Expected Interest Amount" means, with respect to any Reference Obligation Payment Date, the amount of current interest that would accrue during the related Reference Obligation Calculation Period calculated using the Reference Obligation Coupon on a principal balance of the Reference Obligation equal to (a) the Outstanding Principal Amount taking into account any reductions due to a principal deficiency balance or realized loss amount (howsoever described in the Underlying Instruments) that are attributable to the Reference Obligation minus (b) the Aggregate Implied Writedown Amount (if any) and that will be payable on the related Reference Obligation Payment Date assuming for this purpose that sufficient funds are available therefor in accordance with the Underlying Instruments. Except as provided in (a) in the previous sentence, the Expected Interest Amount shall be determined without regard to the effect of any limited recourse provisions (however described) of the Underlying Instruments that permit the limitation of due payments or distributions of funds pursuant to an available funds cap or otherwise, that provide for the capitalization or deferral of interest on the Reference Obligation, or that provide for the extinguishing or reduction of such payments or distributions (but, for the avoidance of doubt, taking account of any Writedown within clause (i) of the definition of Writedown occurring in accordance with the terms of the Underlying Instruments). "Actual Interest Amount" means, with respect to any Reference Obligation Payment Date, payment by or on behalf of the Issuer of an amount in respect of interest due under the Reference Obligation including, without limitation, any deferred interest and defaulted interest but excluding payments in respect of prepayment penalties or principal (except that the Actual Interest Amount shall include any payment of principal representing capitalized interest) paid to the holder(s) of the Reference Obligation in respect of the Reference Obligation. The "Interest Shortfall Cap" will be indicated in the related Credit Default Swap as "Fixed Cap applicable." Interest Shortfall Cap Amount means the Fixed Amount calculated in respect of the Fixed Rate Payer Payment Date immediately following the Reference Obligation Payment Date on the which the relevant Interest Shortfall occurred. "Reference Obligation Calculation Period" means, with respect to each Reference Obligation Payment Date, a period corresponding to the interest accrual period relating to such Reference Obligation Payment Date pursuant to the Underlying Instruments.

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Additional Fixed Payments Payable by the Credit Default Swap Counterparty In addition to the Fixed Amounts, the Credit Default Swap Counterparty shall pay to the Issuer on each Additional Fixed Amount Payment Date the "Additional Fixed Payment" equal to the Additional Fixed Payment Amount applicable to such Credit Default Swap as calculated by the Credit Default Swap Calculation Agent and confirmed by the Trustee. "Additional Fixed Amount Payment Date" means (a) each Fixed Rate Payer Payment Date; and (b) in relation to each of a Writedown Reimbursement, Principal Shortfall Reimbursement or an Interest Shortfall Reimbursement (each an "Additional Fixed Payment Event") occurring after the second Business Day prior to the last Fixed Rate Payer Payment Date, the fifth Business Day after Buyer has received notification from Seller or the Credit Default Swap Calculation Agent of the occurrence of such Additional Fixed Payment Event. "Additional Fixed Payment Amount" means an amount equal to the sum of (a) the Writedown Reimbursement Payment Amount (if any); (b) the Principal Shortfall Reimbursement Payment Amount (if any); and (c) the Interest Shortfall Reimbursement Payment Amount (if any). "Writedown Reimbursement Payment Amount" means with respect to an Additional Fixed Amount Payment Date, the sum of the Writedown Reimbursement Amounts in respect of all Writedown Reimbursements (if any) made during the Reference Obligation Calculation Period relating to such Additional Fixed Amount Payment Date, provided that the aggregate of all Writedown Reimbursement Payment Amounts at any time shall not exceed the aggregate of all Floating Amounts paid by Seller in respect of Writedowns occurring prior to such Additional Fixed Amount Payment Date. "Writedown Reimbursement Amount" means, with respect to any day, an amount equal to the product of (a) the sum of all Writedown Reimbursements on that day, (b) the Applicable Percentage and (c) the Reference Price. "Writedown Reimbursement" means, with respect to any day, the occurrence of either (i) a payment by or on behalf of the Issuer of an amount in respect of the Reference Obligation in reduction of any prior Writedowns, (ii)(A) an increase by or on behalf of the Issuer of the Outstanding Principal Amount of the Reference Obligation to reflect the reversal of any prior Writedowns or (B) a decrease in the principal deficiency balance or realized loss amounts (howsoever described in the Underlying Instruments) attributable to the Reference Obligation or (iii) if the Underlying Instruments do not provide for writedowns, applied losses, principal deficiencies or realized losses as described in (ii) above to occur in respect of the Reference Obligation, an Implied Writedown Reimbursement Amount being determined in respect of the Reference Obligation. "Implied Writedown Reimbursement Amount" means, (i) if the Underlying Instruments do not provide for writedowns, applied losses, principal deficiencies or realized losses as described in (i) of the definition of Writedown to occur in respect of the Reference Obligation, on any Reference Obligation Payment Date, an amount determined by the Credit Default Swap Calculation Agent equal to the excess, if any, of the Previous Period Implied Writedown Amount over the Current Period Implied Writedown Amount, in each case in respect of the Reference Obligation Calculation Period to which such Reference Obligation Payment Date relates, and (ii) in any other case, zero. "Principal Shortfall Reimbursement Payment Amount" means with respect to an Additional Fixed Amount Payment Date, the sum of the Principal Shortfall Reimbursement Amounts in respect of all Principal Shortfall Reimbursements (if any) made during the Reference Obligation Calculation Period relating to such Additional Fixed Amount Payment Date, provided that the aggregate of all Principal Shortfall Reimbursement Payment Amounts at any time shall not exceed the aggregate of all Floating Amounts paid by Seller in respect of occurrences of Failure to Pay Principal prior to such Additional Fixed Amount Payment Date. "Principal Shortfall Reimbursement Amount" means, with respect to any day, the product of (a) the amount of any Principal Shortfall Reimbursement, (b) the Applicable Percentage and (c) the Reference Price. 74

"Principal Shortfall Reimbursement" means, with respect to any day, the payment of an by or on behalf of the Issuer of an amount in respect of the Reference Obligation in or toward the satisfaction of any deferral of or failure to pay principal arising from one or more prior occurrences of a Failure to Pay Principal. "Interest Shortfall Reimbursement Payment Amount" means the amount determined pursuant to the interest shortfall cap annex attached to the form confirmation attached hereto as Annex D. "Interest Shortfall Reimbursement Amount" means, with respect to any Reference Obligation Payment Date, the product of (a) the amount of any Interest Shortfall Reimbursement on such day and (b) the Applicable Percentage. "Interest Shortfall Reimbursement" means, with respect to any Reference Obligation Payment Date, the payment by or on behalf of the Issuer of an Actual Interest Amount in respect of the Reference Obligation (including, for the avoidance of doubt, any payment of principal representing capitalized interest) that is greater than the Expected Interest Amount. Credit Events The Credit Default Swap Counterparty may, at its option, at any time following the occurrence of a Credit Event, physically deliver all or a portion of the underlying Reference Obligation to the Issuer with an Exercise Amount not to exceed the Reference Obligation Notional Amount of the related Credit Default Swap. Upon such physical delivery of any Reference Obligation or portion thereof, the Issuer will be obligated to pay to the Credit Default Swap Counterparty the Physical Settlement Amount. The Issuer shall pay such Physical Settlement Amount by liquidating Eligible Investments or, to the extent the proceeds from such Eligible Investments are not sufficient to pay such amount, requesting Incremental Funding, as described in "Priority of PaymentsCredit Default Swap Allocations". Any such Delivered Obligation will be credited to a securities account maintained with the Trustee subject to the lien of the Indenture. Any Delivered Obligation credited to such securities account shall be held to maturity, unless liquidated following an Event of Default and acceleration or a redemption of the Notes under the Indenture. "Credit Event" means, with respect to any Reference Obligation, the occurrence of a: (1) "Failure to Pay Principal", which means (i) a failure by the Reference Entity (or any insurer) to pay an Expected Principal Amount on the Final Amortization Date or the Legal Final Maturity Date, as the case may be or (ii) payment on any such day of an Actual Principal Amount that is less than the Expected Principal Amount; provided that the failure by the Reference Entity (or any insurer) to pay any such amount in respect of principal in accordance with the foregoing shall not constitute a Failure to Pay Principal if such failure has been remedied within any grace period applicable to such payment obligation under the Underlying Instruments or, if no such grace period is applicable, within three Business Days after the day on which the Expected Principal Amount was scheduled to be paid. (2) "Writedown", which means the occurrence at any time on or after the Effective Date of (i) (A) a writedown or applied loss (however described in the Underlying Instruments) resulting in a reduction in the Outstanding Principal Amount (other than as a result of a scheduled or unscheduled payment of principal) or (B) the attribution of a principal deficiency or realized loss (howsoever described in the Underlying Instruments) to the Reference Obligation resulting in a reduction of the current interest payable on the Reference Obligation; (ii) the forgiveness of any amount of principal by the holders of the Reference Obligation pursuant to an amendment to the Underlying Instruments resulting in a reduction in the Outstanding Principal Amount or (iii) if the Underlying Instruments do not provide for writedowns, applied losses, principal deficiencies or realized losses as described in (i) above to occur in respect of the Reference Obligation, an Implied Writedown Amount being determined in respect of the Reference Obligation;

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(3) (i)

"Distressed Ratings Downgrade", which means that the Reference Obligation: if publicly rated by Moody's, (A) (B) is downgraded to "Caa2" or below by Moody's or has the rating assigned to it by Moody's withdrawn and, in each case, not reinstated within five (5) Business Days of such downgrade or withdrawal;

provided that if such Reference Obligation was assigned a public rating of "Baa3" or higher by Moody's immediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public rating of at least "Caa1" by Moody's within three (3) calendar months of such withdrawal; or (ii) if publicly rated by Standard & Poor's, (A) (B) is downgraded to "CCC" or below by Standard & Poor's or has the rating assigned to it by Standard & Poor's withdrawn and, in each case, not reinstated within five (5) Business Days of such downgrade or withdrawal;

provided that if such Reference Obligation was assigned a public rating of "BBB-" or higher by Standard & Poor's immediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public rating of at least "CCC+" by Standard & Poor's within three (3) calendar months of such withdrawal; or (iii) if publicly rated by Fitch Ratings Inc. ("Fitch"), (A) (B) is downgraded to "CCC" or below by Fitch or has the rating assigned to it by Fitch withdrawn and, in each case, not reinstated within five (5) Business Days of such downgrade or withdrawal;

provided that if such Reference Obligation was assigned a public rating of "BBB-" or higher by Fitch immediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public rating of at least "CCC+" by Fitch within three (3) calendar months of such withdrawal; or (4) "Maturity Extension", which means an extension by or on behalf of the Issuer of the Legal Final Maturity Date on or after the Effective Date, that is effected by an amendment to the Underlying Instruments occurring on or after the Effective Date. "Implied Writedown Amount" means (i) if the Underlying Instruments do not provide for writedowns, applied losses, principal deficiencies or realized losses as described in (i) of the definition of Writedown to occur in respect of the Reference Obligation, on any Reference Obligation Payment Date, an amount determined by the Credit Default Swap Calculation Agent equal to the excess, if any, of the Current Period Implied Writedown Amount over the Previous Period Implied Writedown Amount, in each case in respect of the Reference Obligation Calculation Period to which such Reference Obligation Payment Date relates, and (ii) in any other case, zero. "Current Period Implied Writedown Amount" means, in respect of a Reference Obligation Calculation Period, an amount determined as of the last day of such Reference Obligation Calculation 76

Period equal to the greater of (i) zero and (ii) the product of (A) the Implied Writedown Percentage and (B) the greater of (1) zero and (2) the Pari Passu Amount plus the Senior Amount minus the aggregate outstanding asset pool balance securing the payment obligations on the Reference Obligation (all such outstanding asset pool balances as obtained by the Credit Default Swap Calculation Agent from the most recently dated Servicer Report available as of such day), calculated based on the face amount of the assets in such pool, whether or not any such asset is performing. "Previous Period Implied Writedown Amount" means, in respect of a Reference Obligation Calculation Period, the Current Period Implied Writedown Amount as determined in relation to the last day of the immediately preceding Reference Obligation Calculation Period. "Implied Writedown Percentage" means (a) the Outstanding Principal Amount divided by (b) the Pari Passu Amount. "Pari Passu Amount" means, as of any date of determination, the aggregate of the Outstanding Principal Amount of the Reference Obligation and the aggregate outstanding principal balance of all obligations of the Reference Entity secured by the Underlying Assets and ranking pari passu in priority with the Reference Obligation. "Senior Amount" means, as of any day, the aggregate outstanding principal balance of all obligations of the Reference Entity secured by the Underlying Assets and ranking senior in priority to the Reference Obligation. "Underlying Assets" means the assets securing the Reference Obligation for the benefit of the holders of the Reference Obligation and which are expected to generate the cashflows required for the servicing and repayment (in whole or in part) of the Reference Obligation, or the assets to which a holder of such Reference Obligation is economically exposed where such exposure is created synthetically. "Legal Final Maturity Date" means the date specified in the related Credit Default Swap (subject, for the avoidance of doubt, to any business day convention applicable to the legal final maturity date of the Reference Obligation), provided that if the legal final maturity date of the Reference Obligation is amended, the Legal Final Maturity Date shall be such date as amended. Termination of the Credit Default Swaps The "Credit Default Swap Termination Date" of each Credit Default Swap will be the last to occur of: (i) (ii) (iii) (iv) the fifth (5th) Business Day following the Effective Maturity Date; the last Floating Rate Payer Payment Date; the last delivery date; and the last Additional Fixed Amount Payment Date.

Additionally, upon the occurrence of an Optional Step-Up Early Termination Date under the terms of a Credit Default Swap, such Credit Default Swap will be terminated and no termination amounts will be due by either party and no physical delivery of the related Reference Obligation will be required. No amount shall be payable by either party in respect of the Optional Step up Early Termination Date other than any Fixed Amount, Additional Fixed Payment Amount, Floating Amount or Physical Settlement Amount due in respect of such date. For the avoidance of doubt, the obligation of a party to pay any amount that has become due and payable under the Credit Default Swap and remains unpaid as at the Optional Step-up Early Termination Date shall not be affected by the occurrence of the Optional Step-up Early Termination Date. Each Credit Default Swap is subject to early termination only in limited circumstances, including but not limited to payment defaults lasting a period of at least three Business Days by the Issuer or the 77

Credit Default Swap Counterparty, bankruptcy-related events applicable to the Issuer or the Credit Default Swap Counterparty, tax-related events applicable to the Issuer or the Credit Default Swap Counterparty, the failure of the Credit Default Swap Counterparty to deliver collateral (or obtain a guarantee from or make an assignment to an entity with the required ratings) after any rating of the Credit Default Swap Counterparty has fallen below the levels specified in each Credit Default Swap or other events of default or termination events under the ISDA Master Agreement related to each Credit Default Swap. In the event that termination payments are due to the Credit Default Swap Counterparty by the Issuer and the Issuer is the defaulting party, any termination payments shall be paid senior to any payments of interest and principal as described under "Priority of PaymentsCredit Default Swap Allocation". In the event that any termination payments are due to the Credit Default Swap Counterparty by the Issuer and the Credit Default Swap Counterparty is the defaulting party, any termination payments shall be paid junior to any payments of interest and principal on the Notes in accordance with the Priority of Payments. Any termination payments received by the Issuer from the Credit Default Swap Counterparty will be treated as Principal Proceeds in accordance with the definition thereof. "Effective Maturity Date" means the earlier of (a) the Scheduled Termination Date and (b) the Final Amortization Date. "Final Amortization Date" has the meaning specified in the related Credit Default Swap and means the first to occur of (a) the date on which the Reference Obligation Notional Amount of the related Credit Default Swap is reduced to zero and (b) the date on which the assets securing the Reference Obligation or designated to fund amounts due in respect of the Reference Obligation are liquidated, distributed or otherwise disposed of in full and the proceeds thereof are distributed or otherwise disposed of in full. "Scheduled Termination Date" has the meaning specified in the related Credit Default Swap and means the Legal Final Maturity Date of the related Reference Obligation, subject to adjustment in accordance with the Following Business Day Convention (as defined in the related Credit Default Swap. "Optional Step-Up Early Termination Date" has the meaning specified in the related Credit Default Swap, but will generally mean the date on which the Credit Default Swap Counterparty elects to terminate the related Credit Default Swap under the terms thereof following a Step-Up. Credit Default Swap Collateral The obligations of the Issuer under each Credit Default Swap will be secured by a first priority security interest in the Collateral (other than the Collateral consisting of the Issuer's rights and interest in each Credit Default Swap and the proceeds thereof). Downgrade of the Credit Default Swap Counterparty If the Credit Default Swap Counterparty or its guarantor fails to maintain the rating levels required by the Counterparty Ratings Requirement, the Credit Default Swap Counterparty may be required to post collateral, provide a guaranty or assign its rights and obligations under each Credit Default Swap to a replacement credit default swap counterparty and, if the Credit Default Swap Counterparty does not, within 30 days or 10 days (as determined in accordance with the Schedule to the ISDA Master Agreement) of such failure to take such action, depending on the Standard & Poor's rating levels of the unsecured, unguaranteed and otherwise unsupported long-term or short-terms senior debt obligations of the Credit Default Swap Counterparty, the Issuer will be permitted to terminate each such Credit Default Swap. "Counterparty Ratings Requirement" has the meaning specified in the related Credit Default Swap. If and to the extent that the Credit Default Swap Counterparty posts collateral to secure its obligations under the related Credit Default Swap due to failure to maintain certain rating levels described in the ISDA Master Agreement, the Trustee shall establish a Credit Default Swap Issuer Account. The Trustee shall credit to the Credit Default Swap Issuer Account all amounts that are required to secure the obligations of the Credit Default Swap Counterparty. Except for investment earnings, the Credit Default 78

Swap Counterparty shall not have any legal, equitable or beneficial interest in the Credit Default Swap Issuer Account other than in accordance with the Indenture and any related credit support annex, the applicable Credit Default Swap and applicable law. Governing Law Each Credit Default Swap will state that it will be governed by, and will be construed in accordance with, the laws of the State of New York without regard to any conflicts of laws principle. Each of the Issuer and the Credit Default Swap Counterparty will be required to submit to the jurisdiction of the New York courts in connection with each Credit Default Swap, and the Issuer is expected to appoint CT Corporation to accept service of process on its behalf. Amendments The Issuer will agree that without the consent of the holders of a majority of the Aggregate Outstanding Amount of each Class of Notes and the Class F Subordinated Notes, voting separately, and satisfaction of the Rating Condition, it will not consent to any amendment, waiver or modification to any Credit Default Swap.

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THE INVESTMENT AGREEMENT It is anticipated that the net proceeds from the issuance of the Notes and the Class F Subordinated Notes (the "Investment Agreement Amount") will be deposited with the Investment Agreement Provider (defined below) pursuant to the Investment Agreement. Pursuant to the Investment Agreement, the Investment Agreement Provider will pay interest to the Issuer on the Investment Agreement Amount on the second Business Day prior to each Payment Date at a floating rate of interest set forth in the Investment Agreement. The Trustee will be entitled to withdraw amounts invested under the Investment Agreement in order to make payments due to the holders of the Notes and to the Credit Default Swap Counterparty under the Credit Default Swaps, in accordance with the Indenture. The payment obligations of the Investment Agreement Provider will be guaranteed by the Investment Agreement Insurer. In the event that the financial strength or similar ratings of both the Investment Agreement Provider and the Investment Agreement Insurer are at any time rated below "Aa3" by Moodys or "AA-" by Standard and Poors, the Investment Agreement Provider is required to perform one of the following actions (i) obtain, or cause to be obtained, the necessary credit ratings in respect of itself or the Initial Investment Agreement Insurer, (ii) assign the Investment Agreement to, or obtain a replacement Investment Agreement from, an eligible replacement provider having the necessary credit ratings, (iii) cause the guarantee of the Investment Agreement to be assigned to, or cause a replacement guarantee in respect of the Investment Agreement to be issued by, a replacement guarantor having the necessary credit ratings, or (iv) post collateral. To the extent that the Investment Agreement Provider does not perform any of the options set forth in the preceding sentence within 20 Business Days following the failure to maintain such ratings, the Trustee, (a) if directed by the Holders of not less than a majority of the Aggregate Outstanding Amount of each Class of Notes to so terminate the Investment Agreement, (b) if, based on the direction of the Credit Default Swap Counterparty, the Trustee is able to reinvest all proceeds received from the Investment Agreement Provider following termination of the Investment Agreement in Eligible Investments yielding a comparable rate of return based on then current market conditions, or (c) if directed by and at the option of the Credit Default Swap Counterparty to so terminate the Investment Agreement, provided that the Credit Default Swap Counterparty has certified to the Trustee in writing that it has used its best efforts for a period of no less than 10 Business Days to arrange for the purchase by the Issuer of Eligible Investments to replace the Investment Agreement yielding a comparable rate of return based on then current market conditions but was unable to so arrange such a replacement Eligible Investment, will have the option to terminate the Investment Agreement at or prior to the close of business on the 30th Business Day following the applicable deadline for the Investment Agreement Provider to perform one of such options. The Investment Agreement Provider will pay all amounts due under the Investment Agreement following any such termination. The Investment Agreement Provider FSA Capital Management Services LLC (the "Investment Agreement Provider") is a Delaware limited liability company organized to issue investment agreements and similar contracts (such as the Investment Agreement) to trustees and other parties. The Investment Agreement Provider's offices are located at 31 West 52nd Street, New York, New York 10019, and its telephone number at that location is (212) 893-2700. The information appearing in this section with respect to the Investment Agreement Provider and to the Investment Agreement Insurer has been derived from a description thereof provided by the Investment Agreement Provider. The Investment Agreement Provider has reviewed such information, but such information has not been independently verified by the Co-Issuers, the Initial Purchaser or the Credit Default Swap Counterparty. Accordingly, the Investment Agreement Provider assumes responsibility for any untrue statement of a material fact or any omission to state a material fact required to be stated therein or necessary in order to make the statements therein in light of the circumstances in which they were made not misleading, in such information.

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The Investment Agreement Insurer General Financial Security Assurance Inc. (the "Investment Agreement Insurer") is a monoline insurance company incorporated in 1984 under the laws of the State of New York. The Investment Agreement Insurer is licensed to engage in financial guaranty insurance business in all 50 states, the District of Columbia, Puerto Rico, the U.S. Virgin Islands and Guam. The Investment Agreement Insurer and its subsidiaries are engaged in the business of writing financial guaranty insurance, principally in respect of securities offered in domestic and foreign markets and obligations under credit default swaps. Financial guaranty insurance provides a guaranty of scheduled payments on an issuer's obligations thereby enhancing the credit rating of those obligations in consideration for the payment of a premium to the insurer. The Investment Agreement Insurer and its subsidiaries principally insure asset-backed, collateralized and municipal obligations. Asset-backed obligations are typically supported by residential mortgage loans, consumer or trade receivables, securities or other assets having an ascertainable cash flow or market value. Collateralized obligations include public utility first mortgage bonds and sale/leaseback obligation bonds. Municipal obligations include general obligation bonds, special revenue bonds and other special obligations of state and local governments. Obligations may be insured on a funded basis through insurance of bonds or other securities or on an unfunded basis through insurance of credit default swaps referencing one or more bonds or other obligations (with or without a deductible or other provision for loss reduction). The Investment Agreement Insurer insures both newly issued securities sold in the primary market and outstanding securities sold in the secondary market that satisfy the Investment Agreement Insurer's underwriting criteria. The Investment Agreement Insurer is a wholly owned subsidiary of Financial Security Assurance Holdings Ltd. ("Holdings"). Holdings is an indirect subsidiary of Dexia S.A., a publicly held Belgian corporation. Dexia S.A., through its bank subsidiaries, is primarily engaged in the business of public finance, banking and asset management in France, Belgium and other European countries. No shareholder of Holdings or the Investment Agreement Insurer is obligated to pay any debt of the Investment Agreement Insurer or any claim under any insurance policy issued by the Investment Agreement Insurer or to make any additional contribution to the capital of the Investment Agreement Insurer. The principal executive offices of the Investment Agreement Insurer are located at 31 West 52nd Street, New York, New York 10019, and its telephone number at that location is (212) 826-0100. Reinsurance Under an intercompany agreement, liabilities on financial guaranty insurance written or reinsured from third parties by the Investment Agreement Insurer or its domestic or Bermuda operating insurance company subsidiaries are generally reinsured among such companies on an agreed-upon percentage substantially proportional to their respective capital, surplus and reserves, subject to applicable statutory risk limitations. In addition, the Investment Agreement Insurer reinsures a portion of its liabilities under certain of its financial guaranty insurance policies with other reinsurers under various treaties and on a transaction-by-transaction basis. This reinsurance is used by the Investment Agreement Insurer as a risk management device and to comply with statutory and rating agency requirements; it does not alter or limit the Investment Agreement Insurer's obligations under any financial guaranty insurance policy. Rating The Investment Agreement Insurer's financial strength is rated "triple-A" by Moody's, Standard & Poors, Fitch Ratings and Rating and Investment Information, Inc. These ratings reflect only the views of the respective rating agencies, are not recommendations to buy, sell, or hold securities and are subject to revision or withdrawal at any time by those rating agencies.

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Capitalization The following table sets forth the capitalization of the Investment Agreement Insurer and its subsidiaries as of September 30, 2005 (unaudited) on the basis of accounting principles generally accepted in the United States of America: September 30, 2005 (In thousands) (Unaudited) Deferred Premium Revenue (net of prepaid reinsurance premiums) ......................................... Surplus Notes ....................................................................... Shareholder's Equity: Common Stock .................................................................. Additional Paid-In Capital .................................................. Accumulated Other Comprehensive Income (net of deferred income taxes) ........................... Accumulated Earnings ....................................................... Total Shareholder's Equity .................................................... Total Deferred Premium Revenue (net), Surplus Notes and Shareholder's Equity ................................................... $ 1,448,209 108,850

15,000 847,372 123,288 1,882,318 2,867,978

$ 4,425,037

For further information concerning the Investment Agreement Insurer, see the Consolidated Financial Statements of the Investment Agreement Insurer and Subsidiaries, and the notes thereto. The Investment Agreement Insurer's financial statements are included as exhibits to the reports filed with the Securities and Exchange Commission by Holdings pursuant to Sections 13(a), 13(c), 14 or 15(d) of the Securities Exchange Act of 1934, as amended, and may be reviewed at the EDGAR web site maintained by the Securities and Exchange Commission, which web site does not form part of this document. Copies of the statutory quarterly and annual statements filed with the State of New York Insurance Department by the Investment Agreement Insurer are available upon request to the State of New York Insurance Department. Insurance Regulation The Investment Agreement Insurer is licensed and subject to regulation as a financial guaranty insurance corporation under the laws of the State of New York, its state of domicile. In addition, the Investment Agreement Insurer and its insurance subsidiaries are subject to regulation by insurance laws of the various other jurisdictions in which they are licensed to do business. As a financial guaranty insurance corporation licensed to do business in the State of New York, the Investment Agreement Insurer is subject to Article 69 of the New York Insurance Law which, among other things, limits the business of a financial guaranty insurer to writing financial guaranty insurance and related business lines, requires each financial guaranty insurer to maintain a minimum surplus to policyholders, establishes contingency, loss and unearned premium reserve requirements for each financial guaranty insurer, and limits the size of individual transactions and the volume of transactions that may be underwritten by each financial guaranty insurer. Other provisions of the New York Insurance Law, applicable to non-life insurance companies such as the Investment Agreement Insurer, regulate, among other things, permitted investments, payment of dividends, transactions with affiliates, mergers, consolidations, acquisitions or sales of assets and incurrence of liability for borrowings. The Investment Agreement Insurer makes no representation regarding the Notes or the advisability of investing in the Notes and makes no representation regarding, nor has it participated in the preparation of, this Prospectus other than the information supplied by the Investment Agreement Insurer and the Investment Agreement Provider and presented under the heading "The Investment Agreement" in this Prospectus.

82

DESCRIPTION OF THE CREDIT DEFAULT SWAP PORTFOLIO The following tables describe various characteristics of the Credit Default Swaps and related Reference Obligations expected to constitute the Credit Default Swap Portfolio on the Closing Date. The Credit Default Swap Portfolio described below will comply with the Eligibility Criteria and the Collateral Quality Tests on the Closing Date. After the Closing Date, no additions or substitutions will be permitted to be made to the Credit Default Swap Portfolio; provided, however, that the approximate composition of the Credit Default Swap Portfolio described below is as of January 17, 2006 and the percentages referred to below are subject to change after January 17, 2006 due to any amortization, prepayment, repayment, principal shortfalls or writedowns in respect of the Reference Obligations (in whole or in part). ALL OF THE FOLLOWING TABLES ARE AS OF JANUARY 17, 2006

General Credit Default Swap Portfolio Characteristics

Initial Notional Amount of all Credit Default Swaps and the Aggregate Principal Balance of Principal Proceeds on the Closing Date ($) Number of Reference Obligations Number of Reference Entities Initial Notional Amount of Largest Credit Default Swap ($) Initial Notional Amount of Largest Credit Default Swap (% of Initial Notional Amount of all Credit Default Swaps and the Aggregate Principal Balance of Principal Proceeds on the Closing Date) Average Notional Amount of the Credit Default Swaps ($) Average Notional Amount of the Credit Default Swaps (% of Initial Notional Amount of all Credit Default Swaps and the Aggregate Principal Balance of Principal Proceeds on the Closing Date)

500,000,000 112 112 6,250,000

1.25% 4,464,286

0.89%

83

Distribution of Credit Default Swaps by Specified Type Concentrations % of Initial Notional Amount of all Credit Default Swaps and the Aggregate Principal Balance of Principal Proceeds on the Closing Date 10.00% 42.75% 47.25%

Aggregate Initial Notional Amount Residential ABS Securities RMBS Prime RMBS Midprime RMBS Subprime Consumer ABS Securities Automobile Securities Car Rental Fleet Securities Credit Card Securities Student Loan Securities CDO Securities CDO Structured Product Securities CDO Domestic Corporate Debt Securities Prohibited ABS Securities 50,000,000 213,750,000 236,250,000

0 0 0 0

0.00% 0.00% 0.00% 0.00%

0 0 0

0.00% 0.00% 0.00%

84

Distribution of Credit Default Swaps by Reference Entity Concentrations % of Initial Notional Amount of all Credit Default Swaps and the Aggregate Principal Balance of Principal Proceeds on the Closing Date 0.00%

Reference Entity Reference Entities with an Initial Notional Amount greater than $6,250,000 each Reference Entities with an Initial Notional Amount greater than $6,000,000 each, but less than or equal to $6,250,000 each Reference Entities with an Initial Notional Amount greater than $5,000,000 each, but less than or equal to $6,000,000 each Reference Entities with an Initial Notional Amount equal to $5,000,000 each Reference Entities with an Initial Notional Amount less than $5,000,000, but greater than or equal to $4,000,000 each Reference Entities with an Initial Notional Amount less than $4,000,000 each, but greater than or equal to $3,000,000 each Reference Entities with an Initial Notional Amount less than $3,000,000 each

# of Reference Entities 0

Aggregate Initial Notional Amount 0

20

125,000,000

25.00%

18

104,500,000

20.90%

35,000,000

7.00%

27

115,000,000

23.00%

25

82,750,000

16.55%

15

37,750,000

7.55%

85

Distribution of Credit Default Swaps by Reference Obligation Concentrations % of Initial Notional Amount of all Credit Default Swaps and the Aggregate Principal Balance of Principal Proceeds on the Closing Date 0.00%

Reference Obligation Reference Obligations with an Initial Notional Amount greater than $6,250,000 each Reference Obligations with an Initial Notional Amount greater than $6,000,000 each, but less than or equal to $6,250,000 each Reference Obligations with an Initial Notional Amount greater than $5,000,000 each, but less than or equal to $6,000,000 each Reference Obligations with an Initial Notional Amount equal to $5,000,000 each Reference Obligations with an Initial Notional Amount less than $5,000,000, but greater than or equal to $4,000,000 each Reference Obligations with an Initial Notional Amount less than $4,000,000 each, but greater than or equal to $3,000,000 each Reference Obligations with an Initial Notional Amount less than $3,000,000 each

# of Reference Obligations 0

Aggregate Initial Notional Amount 0

20

125,000,000

25.00%

18

104,500,000

20.90%

35,000,000

7.00%

27

115,000,000

23.00%

25

82,750,000

16.55%

15

37,750,000

7.55%

86

Distribution of Credit Default Swaps by Servicer Concentrations % of Initial Notional Amount of all Credit Default Swaps and the Aggregate Principal Balance of Principal Proceeds on the Closing Date 12.40% 11.55% 5.80% 5.70% 5.70% 5.05% 4.90% 4.75% 3.85% 3.55% 3.30% 3.25% 3.15% 3.05% 2.60% 2.50% 2.40% 2.25% 2.10% 2.10% 1.90% 1.85% 1.70% 1.25% 1.25% 0.90% 0.70% 0.50%

Servicers Countrywide Home Loans Servicing Wells Fargo Bank HomeEq Ocwen Federal Bank, F.S.B. Aurora Loan Services Inc. EMC Mortgage Corporation Option One Mortgage Corporation Litton Loan Servicing New Century Mortgage Corp. Wilshire Credit Corporation Ameriquest Mortgage Company Impac Residential Funding Corp. National City Home Loan Services Centex Home Equity Company, LLC GreenPoint ECC Capital Corporation Novastar ACC HomeComings Fremont Investment and Loan JPMorgan Chase Bank Saxon Mortgage Services, Inc GMAC Mortgage Corp Long Beach Mortgage Loan CitiMortgage Accredited Home Lenders Opteum Mortgage Acceptance Corp

Aggregate Initial Notional Amount 62,000,000 57,750,000 29,000,000 28,500,000 28,500,000 25,250,000 24,500,000 23,750,000 19,250,000 17,750,000 16,500,000 16,250,000 15,750,000 15,250,000 13,000,000 12,500,000 12,000,000 11,250,000 10,500,000 10,500,000 9,500,000 9,250,000 8,500,000 6,250,000 6,250,000 4,500,000 3,500,000 2,500,000

87

Distribution of Credit Default Swaps by Standard & Poor's rating % of Initial Notional Amount of all Credit Default Swaps and the Aggregate Principal Balance of Principal Proceeds on the Closing Date 0 0 0 0 0 2.35% 5.90% 28.10% 45.35% 17.05% 0 0 0 0 0 0 0 1.25%

Standard & Poor's rating AAA AA+ AA AAA+ A ABBB+ BBB BBBBB+ BB BBB+ B Blower than BNR

Aggregate Initial Notional Amount 0 0 0 0 0 11,750,000 29,500,000 140,500,000 226,750,000 85,250,000 0 0 0 0 0 0 0 6,250,000

88

Distribution of Credit Default Swaps by Moody's rating % of Initial Notional Amount of all Credit Default Swaps and the Aggregate Principal Balance of Principal Proceeds on the Closing Date 0 0 0 0 0 0 2.50% 5.00% 70.35% 22.15% 0 0 0 0 0 0 0 0

Moody's rating Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 lower than B3 NR

Aggregate Initial Notional Amount 0 0 0 0 0 0 12,500,000 25,000,000 351,750,000 110,750,000 0 0 0 0 0 0 0 0

89

DEUTSCHE BANK AKTIENGESELLSCHAFT Incorporation, Registered Office and Objectives Deutsche Bank Aktiengesellschaft ("Deutsche Bank" or the "Bank") originated from the reunification of Norddeutsche Bank Aktiengesellschaft, Hamburg, Rheinisch-Westflische Bank Aktiengesellschaft, Duesseldorf and Sddeutsche Bank Aktiengesellschaft, Munich; pursuant to the Law on the Regional Scope of Credit Institutions, these had been disincorporated in 1952 from Deutsche Bank which was founded in 1870. The merger and the name were entered in the Commercial Register of the District Court Frankfurt am Main on 2 May 1957. Deutsche Bank is a banking institution and a stock corporation incorporated under the laws of Germany under registration number HRB 30 000. The Bank has its registered office in Frankfurt am Main, Germany. It maintains its head office at Taunusanlage 12, 60325 Frankfurt am Main and branch offices in Germany and abroad including in London, New York, Sydney, Tokyo and an Asia-Pacific Head Office in Singapore which serve as hubs for its operations in the respective regions. Deutsche Bank is the parent company of a group consisting of banks, capital market companies, fund management companies, a real-estate finance company, installment financing companies, research and consultancy companies and other domestic and foreign companies (the "Deutsche Bank Group"). The objects of Deutsche Bank, as laid down in its Articles of Association, include the transaction of all kinds of banking business, the provision of financial and other services and the promotion of international economic relations. The Bank may realise these objectives itself or through subsidiaries and affiliated companies. To the extent permitted by law, the Bank is entitled to transact all business and to take all steps which appear likely to promote the objectives of the Bank, in particular: to acquire and dispose of real estate, to establish branches at home and abroad, to acquire, administer and dispose of participations in other enterprises, and to conclude company-transfer agreements. Share Capital As of 30 June 2005, Deutsche Banks issued share capital amounted to Euro 1,415,674,150.40 consisting of 552,997,715 ordinary shares without par value. The shares are fully paid up and in registered form. The shares are listed for trading and official quotation on the Frankfurt Stock Exchange, the Hamburg Stock Exchange, Euronext Amsterdam, Euronext Brussels, the London Stock Exchange, the Luxembourg Stock Exchange, the New York Stock Exchange, Euronext Paris, the Tokyo Stock Exchange, the Vienna Stock Exchange and the Swiss Exchange.

90

Capitalisation and Indebtedness of Deutsche Bank Group As of 30 September 2005, Deutsche Bank Groups capitalisation and indebtedness (un-audited) on the basis of United States Generally Accepted Accounting Principles ("U.S. GAAP") was as follows:
As of 30 September 2005 (in Euro million) Deposits Trading liabilities Central bank funds purchased and securities sold under repurchase agreements Securities loaned Other short-term borrowings Other liabilities Long-term debt Obligation to purchase common shares Total liabilities Common shares, no par value, nominal value of Euro 2.56 Additional paid-in capital Retained earnings Common shares in treasury, at cost Equity classified as obligation to purchase common shares Share awards Accumulated other comprehensive income (loss) Deferred tax on unrealized net gains on securities available for sale relating to 1999 and 2000 tax rate changes in Germany Unrealized net gains on securities available for sale, net of applicable tax and other Unrealized net gains on derivatives hedging variability of cash flows, net of tax Minimum pension liability, net of tax Foreign currency translation, net of tax Total accumulated other comprehensive loss Total shareholders' equity Total liabilities and shareholders' equity 360,329 193,259 134,079 19,183 26,206 81,402 123,852 3,506 941,816 1,416 11,498 22,140 (2,290) (3,506) 1,926

(2,375) 2,651 20 (1) (1,464) (1,169) 30,015 971,831

There has been no material change in Deutsche Bank Groups capitalisation and indebtedness since 30 September 2005. Management In accordance with German law, Deutsche Bank has both a Supervisory Board (Aufsichtsrat) and a Board of Managing Directors (Vorstand). These Boards are separate; no individual may be a member of both. The Supervisory Board appoints the members of the Board of Managing Directors and supervises the activities of this Board. The Board of Managing Directors represents Deutsche Bank and is responsible for its management. The Board of Managing Directors consists of
Dr. Josef Ackermann Dr. Clemens Brsig Dr. Tessen von Heydebreck Hermann-Josef Lamberti Spokesman of the Board of Managing Directors Chief Financial Officer (CFO) and Chief Risk Officer (CRO) Chief Administrative Officer (CAO) Chief Operating Officer (COO)

91

The Supervisory Board consists of the following 20 members:

Dr. Rolf-E. Breuer Heidrun Frster* Chairman Frankfurt am Main Deputy Chairperson Deutsche Bank Privat- und Geschftskunden AG Berlin Deputy Chairman of the Board of Management of Deutsche Telekom AG Bonn Deutsche Bank Privat- und Geschftskunden AG Frankfurt am Main Chairman of the Supervisory Board of E.ON AG Dsseldorf Deutsche Bank AG Frankfurt am Main Deutsche Bank AG Hamburg London Chairman and CEO of the Board of Management of SAP AG Walldorf/Baden Deutsche Bank AG Dsseldorf Director of the Institute for Finance and Tax Law and Head of the Research Group "Federal Tax Code of Germany" at the University of Heidelberg Deutsche Bank AG Munich Vice President of the Unified Services Union Berlin Chairman of the supervisory board of Siemens AG Erlangen Deutsche Bank Privat- und Geschftskunden AG Braunschweig Deutsche Bank AG Bad Soden am Taunus Managing Partner of Robert Bosch Industrietreuhand KG Stuttgart Chairman of the Supervisory Board of Deutsche Lufthansa AG Hamburg Chairman of the Supervisory Board and the Shareholders' Committee of Henkel KGaA Dsseldorf Deutsche Bank AG Mannheim

Dr. Karl-Gerhard Eick

Klaus Funk*

Ulrich Hartmann

Sabine Horn* Rolf Hunck* Sir Peter Job Prof. Dr. Henning Kagermann

Walldorf/Baden Ulrich Kaufmann* Prof. Dr. Paul Kirchhof

Henriette Mark* Margret Mnig-Raane* Dr. jur. Dr.-Ing. E.h. Heinrich von Pierer

Gabriele Platscher*

Karin Ruck* Tilman Todenhfer

Dipl.-Ing. Dr.-Ing. E.h. Jrgen Weber

Dipl.-lng. Albrecht Woeste

Leo Wunderlich*

___________
* Elected by the staff in Germany.

92

The members of the Board of Managing Directors accept membership on the Supervisory Boards of other corporations within the limits prescribed by law. The business address of each member of the Board of Managing Directors and of the Supervisory Board of Deutsche Bank is Taunusanlage 12, 60325 Frankfurt am Main, Germany. Financial Year The financial year of Deutsche Bank is the calendar year. Auditors The independent auditors of Deutsche Bank are KPMG Deutsche Treuhand Gesellschaft Aktiengesellschaft Wirtschaftsprfungsgesellschaft ("KPMG"), Marie-Curie-Strasse 30, 60439 Frankfurt am Main, Germany. KPMG audited Deutsche Bank's non-consolidated financial statements for the years ended 31 December 2002, 2003 and 2004, which were prepared in accordance with the German Commercial Code ("HGB"). In accordance with 292a HGB, the consolidated financial statements for the years ended 31 December 2002, 2003 and 2004 were prepared in accordance with United States Generally Accepted Accounting Principles ("U.S. GAAP") and audited by KPMG. In each case an unqualified auditor's certificate has been provided.

93

Set out below are the following: (a) Consolidated Statement of Income for the years ended 31 December 2004, 31 December 2003 and 31 December 2002; Consolidated Statement of Income for the three months and nine months ended 30 September 2005 and 30 September 2004; and Consolidated Balance Sheet as at 30 September 2005, 31 December 2004 and 31 December 2003.

(b)

(c)

94

Consolidated Statement of Income Years ended December 2004, 2003, 2002

Income Statement In m., except per share data Interest revenues Interest expense Net interest revenues Provision for loan losses Net interest revenues after provision for loan losses Noninterest revenues: Commissions and fees from fiduciary activities Commissions, brokers fees, markups on securities underwriting and other securities activities Fees for other customer services Insurance premiums Trading revenues, net Net gains on securities available for sale Net income (loss) from equity method investments Other revenues Total noninterest revenues Noninterest expenses: Compensation and benefits Net occupancy expense of premises Furniture and equipment IT costs Agency and other professional services fees Communication and data services Policyholder benefits and claims Other expenses Goodwill impairment/impairment of intangibles Restructuring activities Total noninterest expenses Income before income tax expenses and cumulative effect of accounting changes Income tax expense Reversal of 1999/2000 credits for tax rate changes Income before cumulative effect of accounting changes, net of tax Cumulative effect of accounting changes, net of tax Net income

2004 28,023 22,841 5,182 372 4,810 3,211 3,711 2,584 123 6,186 235 388 298 16,736 10,222 1,258 178 1,726 824 599 260 2,031 19 400 17,517 4,029 1,437 120 2,472 2,472

2003 27,583 21,736 5,847 1,113 4,734 3,273 3,564 2,495 112 5,611 20 (422) 768 15,421 10,495 1,251 193 1,913 724 626 110 2,002 114 (29) 17,399 2,756 1,327 215 1,214 151 1,365

2002 35,781 28,595 7,186 2,091 5,095 3,926 4,319 2,589 744 4,024 3,523 (887) 1,123 19,361 11,358 1,291 230 2,188 761 792 759 2,883 62 583 20,907 3,549 372 2,817 360 37 397

95

Consolidated Statement of Income (unaudited)

Income Statement
Three months ended Nine months ended

In m. Interest revenues Interest expense Net interest revenues Provision for loan losses Net interest revenues after provision for loan losses Commissions and fees from fiduciary activities Commissions, brokers fees, markups on securities underwriting and other securities activities Fees for other customer services Trading revenues, net Net gains on securities available for sale Net income from equity method investments Other revenues Total noninterest revenues Compensation and benefits Net occupancy expense of premises Furniture and equipment IT costs Agency and other professional services fees Communication and data services Other expenses Goodwill impairment/impairment of intangibles Restructuring activities Total noninterest expenses Income before income tax expense and cumulative effect of accounting changes Income tax expense Reversal of 1999/2000 credits for tax rate changes Income before cumulative effect of accounting changes, net of tax Cumulative effect of accounting changes, net of tax Net income

Sep. 30, 2005 9,998 8,782 1,216 87 1,129 938 1,071 656 2,048 363 53 272 5,401 2,737 251 41 364 248 146 709 156 4,652 1,878 585 302 991 991

Sep. 30, 2004 6,637 5,479 1,158 83 1,075 773 851 665 1,273 39 54 243 3,898 2,327 286 43 396 196 142 577 3,967 1,006 323 3 680 680

Sep. 30, 2005 30,373 26,101 4,272 258 4,016 2,595 2,940 1,817 6,052 562 273 591 14,830 8,375 754 122 1,115 627 437 1,901 440 13,771 5,075 1,700 333 3,042 3,042

Sep. 30, 2004 20,864 16,853 4,011 361 3,650 2,343 2,828 1,890 4,725 257 253 298 12,594 7,632 906 135 1,274 569 454 1,546 12,516 3,728 1,331 120 2,277 2,277

96

Consolidated Balance Sheet Assets

In m. (except nominal value) Sep 30, 2005 (unaudited) 7,010 18,769 137,580 94,540 244,547 86,771 80,380 12,164 423,862 24,107 8,371 146,095 5,131 6,968 1,184 98,214 971,831 Dec 31, 2004 7,579 18,089 123,921 65,630 224,536 73,176 67,173 8,262 373,147 20,335 7,936 136,344 5,225 6,378 1,069 74,415 840,068 Dec 31, 2003 6,636 14,649 112,419 72,796 204,324 66,306 65,460 9,281 345,371 24,631 8,570 144,946 5,786 6,735 1,122 59,953 803,614

Cash and due from banks Interest-earning deposits with banks Central bank funds sold and securities purchased under resale agreements Securities borrowed Bonds and other fixed-income securities Equity shares and other variable-yield securities Positive market values from derivative financial instruments Other trading assets Total trading assets Securities available for sale Other investments Loans, net Premises and equipment, net Goodwill Other intangible assets, net Other assets Total assets

97

Liabilities and Shareholders Equity

In m. Non-interest-bearing deposits Interest-bearing deposits Total deposits Bonds and other fixed-income securities Equity shares and other variable-yield securities Negative market values from derivative financial instruments Total trading liabilities Central bank funds purchased and securities sold under repurchase agreements Securities loaned Other short-term borrowings Other liabilities Long-term debt Obligation to purchase common shares Total liabilities Common shares, no par value, nominal value of 2.56 Additional paid-in capital Retained earnings Common shares in treasury, at cost Equity classified as obligation to purchase common shares Share awards Accumulated other comprehensive income (loss) Deferred tax on unrealized net gains on securities available for sale relating to 1999 and 2000 tax rate changes in Germany Unrealized net gains on securities available for sale, net of applicable tax and other Unrealized net gains (losses) on derivatives hedging variability of cash flows, net of tax Minimum pension liability, net of tax Foreign currency translation, net of tax Total accumulated other comprehensive loss Total shareholders equity Total liabilities and shareholders equity Sep 30, 2005 (unaudited) 28,938 331,391 360,329 81,378 26,866 85,015 193,259 134,079 19,183 26,206 81,402 123,852 3,506 941,816 1,416 11,498 22,140 (2,290) (3,506) 1,926 (2,375) Dec 31, 2004 27,274 302,195 329,469 Dec 31, 2003 28,168 277,986 306,154

169,606 105,292 12,881 20,118 66,870 106,870 3,058 814,164 1,392 11,147 19,814 (1,573) (3,058) 1,513 (2,708)

153,234 102,433 14,817 22,290 76,694 97,480 2,310 775,412 1,490 11,147 20,486 (971) (2,310) 954 (2,828)

2,651 20 (1) (1,464) (1,169) 30,015 971,831

1,760 37 (1) (2,419) (3,331) 25,904 840,068

1,937 (3)

(1,700) (2,594) 28,202 803,614

98

Litigation Other than set out herein the Deutsche Bank is not, or during the last two financial years has not been involved (whether as defendant or otherwise) in, nor does it have knowledge of any threat of any legal, arbitration, administrative or other proceedings the result of which may have, in the event of an adverse determination, a significant effect on its financial condition presented in this Prospectus. Research Analyst Independence Investigations On August 26, 2004, Deutsche Bank Securities Inc. (DBSI), Deutsche Banks U.S. broker-dealer subsidiary, reached a settlement with the U.S. Securities and Exchange Commission, the National Association of Securities Dealers, the New York Stock Exchange and state securities regulators (U.S. securities regulators) concerning investigations relating to research analyst independence. The U.S. securities regulators had previously settled similar charges with ten other investment banks. In settling the investigation, DBSI neither admitted nor denied the allegations, and agreed to pay: (i) U.S.$ 50 million, of which U.S.$ 25 million is a civil penalty and U.S.$ 25 million is for restitution to investors; (ii) U.S.$ 25 million over five years (starting in the first quarter of 2005) to provide third-party research to clients; (iii) U.S.$ 5 million over five years to fund investor education programs; and (iv) U.S.$ 7.5 million as a penalty in connection with late production of email in the course of the investigation. In addition, DBSI agreed to adopt certain reforms designed to bolster analyst independence. DBSI had previously implemented many of these reforms. Deutsche Bank has provided for the current exposures in its consolidated financial statements. IPO Allocation Litigation DBSI and its predecessor firms, along with numerous other securities firms, have been named as defendants in over 80 putative class action lawsuits pending in the United States District Court for the Southern District of New York. These lawsuits allege violations of securities and antitrust laws in connection with the allocation of shares in a large number of initial public offerings (IPOs) by issuers, officers and directors of issuers, and underwriters of those securities. DBSI is named in these suits as an underwriter. The purported securities class actions allege material misstatements and omissions in registration statements and prospectuses for the IPOs and market manipulation with respect to aftermarket trading in the IPO securities. Among the allegations are that the underwriters tied the receipt of allocations of IPO shares to required aftermarket purchases by customers and to the payment of undisclosed compensation to the underwriters in the form of commissions on securities trades, and that the underwriters caused misleading analyst reports to be issued. The antitrust claims allege an illegal conspiracy to affect the stock price based on similar allegations that the underwriters required aftermarket purchases and undisclosed commissions in exchange for allocation of IPO stocks. In the purported securities class actions, the motions to dismiss the complaints of DBSI and others were denied on February 13, 2003. Plaintiffs motion to certify six test cases as class actions in the securities cases was granted on October 13, 2004, and DBSI and other defendants have filed a petition for permission to appeal that decision to the Court of Appeals for the Second Circuit. Discovery in the securities cases is underway. In the purported antitrust class action, the defendants motion to dismiss the complaint was granted on November 3, 2003, and the plaintiffs subsequently appealed to the Court of Appeals for the Second Circuit. The appeal has been fully briefed and argued and the parties are awaiting a decision by the court. Enron Litigation. Deutsche Bank AG and certain of its affiliates are collectively involved in more than 25 lawsuits arising out of their banking relationship with Enron Corp., its subsidiaries and certain Enron-related entities (Enron). These lawsuits include a series of purported class actions brought on behalf of shareholders of Enron, including the lead action captioned Newby v. Enron Corp. The consolidated complaint filed in Newby named as defendants, among others, Deutsche Bank AG, several other investment banking firms, a number of law firms, Enrons former accountants and affiliated entities and individuals and other individual defendants, including present and former officers and directors of Enron, and it purported to allege claims against Deutsche Bank AG under federal securities laws. On December 20, 2002, the Court dismissed all of the claims alleged in the Newby action against Deutsche Bank AG. Plaintiffs in Newby filed a first amended consolidated complaint on May 14, 2003 and reasserted claims against Deutsche 99

Bank AG under federal securities laws and also added similar claims against its subsidiaries DBSI and Deutsche Bank Trust Company Americas (DBTCA). On March 29, 2004, the Court dismissed in part the claims alleged in the Newby action against the Deutsche Bank entities. Specifically, the Court dismissed the fraud claims, but did not dismiss the non-fraud claims. On July 26, 2005, the Court granted plaintiffs' motion for reconsideration of the partial dismissal of the Deutsche Bank entities, thus reinstating the fraud allegations against the Deutsche Bank entities that had been dismissed on March 29, 2004. Also, an adversary proceeding has been brought by Enron in the bankruptcy court against, among others, Deutsche Bank AG and certain of its affiliates. In this adversary proceeding, Enron seeks damages from the Deutsche Bank entities, as well as the other defendants, for alleged aiding and abetting breaches of fiduciary duty by Enron insiders, aiding and abetting fraud and unlawful civil conspiracy, and also seeks return of alleged fraudulent conveyances and preferences and equitable subordination of their claims in the Enron bankruptcy. The Deutsche Bank entities motion to partially dismiss the adversary complaint is pending. In addition to Newby and the adversary proceeding described above, there are third-party actions brought by Arthur Andersen in Enron-related cases asserting contribution claims against Deutsche Bank AG, DBSI and many other defendants, and individual and putative class actions brought in various courts by Enron investors and creditors alleging federal and state law claims against the same entities named by Arthur Andersen, as well as DBTCA. WorldCom Litigation Deutsche Bank AG and DBSI are defendants in more than 40 actions filed in federal and state courts arising out of alleged material misstatements and omissions in the financial statements of WorldCom Inc. DBSI was a member of the syndicate that underwrote WorldComs May 2000 and May 2001 bond offerings, which are among the bond offerings at issue in the actions. Deutsche Bank AG, London branch was a member of the syndicate that underwrote the sterling and euro tranches of the May 2001 bond offering. Plaintiffs are alleged purchasers of these and other WorldCom debt securities. The defendants in the various actions include certain WorldCom directors and officers, WorldComs auditor and members of the underwriting syndicates for the debt offerings. Plaintiffs allege that the offering documents contained material misstatements and/or omissions regarding WorldComs financial condition. The claims against DBSI and Deutsche Bank AG are made under federal and state statutes (including securities laws), and under various common law doctrines. The largest of the actions against Deutsche Bank AG and DBSI is a class action litigation in the U.S. District Court in the Southern District of New York, in which the class plaintiffs are the holders of a significant majority of the bonds at issue. On March 10, 2005, Deutsche Bank AG and DBSI reached a settlement agreement, subject to court approval, resolving the class action claims asserted against them, for a payment of approximately U.S.$ 325 million. The settlement of the class action claims does not resolve the individual actions brought by investors who chose to opt out of the federal class action. The financial effects of the class action settlement are reflected in our 2004 consolidated financial statements. In the Matter of KPMG LLP Certain Auditor Independence Issues On November 20, 2003, the SEC requested Deutsche Bank to produce certain documents in connection with an ongoing investigation of certain auditor independence issues relating to KPMG LLP. Deutsche Banks cooperating with the SEC in its inquiry. KPMG Deutsche Treuhand-Gesellschaft Aktiengesellschaft Wirtschaftsprfungsgesellschaft (KPMG DTG), a KPMG LLP affiliate, is Deutsche Banks auditor. During all relevant periods, including the present, KPMG DTG has confirmed to Deutsche Bank that KPMG DTG was and is independent from Deutsche Bank under applicable accounting and SEC regulations. Kirch Litigation In May 2002, Dr. Leo Kirch personally and as an assignee initiated legal action against Dr. Breuer and Deutsche Bank AG alleging that a statement made by Dr. Breuer (then the Spokesman of Deutsche Banks Board of Managing Directors) in an interview with Bloomberg television on February 4, 2002 regarding the Kirch Group was in breach of laws and financially damaging to Kirch. On February 18, 2003, the Munich District Court No. I issued a declaratory judgment to the effect that Deutsche Bank AG and Dr. Breuer were jointly and severally liable for damages to Dr. Kirch, TaurusHolding GmbH & Co. KG and PrintBeteiligungs GmbH as a result of the interview statement. Upon appeal, the Munich Superior Court on December 10, 2003 reaffirmed the decision of the District Court against Deutsche Bank AG, 100

whereas the case against Dr. Breuer was dismissed. Both Dr. Kirch and Deutsche Bank AG have filed motions with the Supreme Court in Civil Matters to set the judgment of the Superior Court aside. The Supreme Court has scheduled a hearing on the appeals of both sides for December 6, 2005. To be awarded a judgment for damages against Deutsche Bank AG, Dr. Kirch would have to file a new lawsuit; in such proceedings he would have to prove that the statement caused financial damages and the amount thereof. In mid 2003 Dr. Kirch instituted legal action in the Supreme Court of the State of New York in which he seeks the award of compensatory and punitive damages based upon Dr. Breuers interview. Upon referral to the U.S. District Court for the Southern District of New York, the case was dismissed on September 24, 2004. Dr. Kirch appealed this decision. Philipp Holzmann AG Philipp Holzmann AG (Holzmann) is a major German construction firm which filed for insolvency in March 2002. We had been a major creditor bank and holder of an equity interest of Holzmann for many decades, and, from April 1997 until April 2000, a former member of our Board of Managing Directors was the Chairman of its Supervisory Board. When Holzmann had become insolvent at the end of 1999, a consortium of banks led by us participated in late 1999 and early 2000 in a restructuring of Holzmann that included the banks extension of a credit facility, participation in a capital increase and exchange of debt into convertible bonds. In March 2002, Holzmann and several of its subsidiaries, including in particular imbau Industrielles Bauen GmbH (imbau), filed for insolvency. As a result of this insolvency, the administrators for Holzmann and for imbau and a group of bondholders have informed us they may assert claims against us because of our role as lender to the Holzmann group prior to and after the restructuring and as leader of the consortium of banks which supported the restructuring. The purported claims include claims that amounts repaid to the banks constituted voidable preferences that should be returned to the insolvent entities and claims of lender liability resulting from the banks support for an allegedly infeasible restructuring. Although we are in ongoing discussions, we cannot exclude that some of the parties may file lawsuits against us. To date, the administrator for imbau filed a lawsuit against us in August 2004 alleging that payments received by us in respect of a loan made to imbau in 1997 and 1998 and in connection with a real estate transaction that was part of the restructuring constituted voidable preferences that should be returned to the insolvent entity. Additionally, Gebema N.V. filed a lawsuit in 2000 seeking damages against us alleging deficiencies in the offering documents based on which Gebema N.V. had invested in equity and convertible bonds of Holzmann in 1998. Parmalat Litigation Following the bankruptcy of the Italian company Parmalat, the Special Administrator of Parmalat, Mr. Enrico Bondi, is suing Deutsche Bank for damages totaling EUR 2,199 billion for facilitating the insolvency offence of delaying the filing of a petition in insolvency allegedly committed by Parmalats former management and supervisory board. The complaint alleges that by managing and/or underwriting the issuance of Parmalat bonds in 2003, Deutsche Bank assisted Parmalat by providing liquidity in order to enable Parmalat to meet its short term liabilities/obligations. It is alleged that Deutsche Bank knowingly helped Parmalat to continue its business for several months until December 2003, despite being aware of the true financial situation that the company was in. Parmalat reserves the right to increase the amount of damages sought. The damages currently requested are, it is claimed, equal to the loss creditors of Parmalat incurred in the second half of 2003. Also in connection with the Parmalat insolvency, Mr. Bondi has already brought two claw back actions against Deutsche Bank SpA. General Due to the nature of Deutsche Banks business, Deutsche Bank and its subsidiaries is involved in litigation, arbitration and regulatory proceedings in Germany and in a number of jurisdictions outside Germany, including the United States, arising in the ordinary course of its businesses. Such matters are subject to many uncertainties, and the outcome of individual matters is not predictable with assurance. Although the final resolution of any such matters could have a material effect on Deutsche Banks consolidated operating results for a particular reporting period, the Bank believes that it should not materially affect its consolidated financial position. 101

CERTAIN TAX CONSIDERATIONS United States Tax Considerations General The following summary describes the principal U.S. federal income tax consequences of the purchase, ownership and disposition of the Notes to investors that acquire the Notes at original issuance for an amount equal to the "Issue Price" of the relevant Class of Notes (for purposes of this section, with respect to each such Class of Notes, the first price at which a substantial amount of Notes of such Class are sold to the public (excluding bond houses, brokers, underwriters, placement agents, and wholesalers) is referred to herein as the "Issue Price"). This summary does not purport to be a comprehensive description of all the tax considerations that may be relevant to a particular investor's decision to purchase the Notes. In addition, this summary does not describe any tax consequences arising under the laws of any state, locality or taxing jurisdiction other than the United States federal income tax laws. In general, the summary assumes that a holder holds a Note as a capital asset and not as part of a hedge, straddle, or conversion transaction, within the meaning of Section 1258 of the Code. ______________________________________ The advice below was not written and is not intended to be used and cannot be used by any taxpayer for purposes of avoiding United States federal income tax penalties that may be imposed. The advice is written to support the promotion or marketing of the transaction. Each taxpayer should seek advice based on the taxpayers particular circumstances from an independent tax advisor. The foregoing disclaimer is provided to satisfy obligations under Circular 230 governing standards of practice before the Internal Revenue Service. _______________________________________ This summary is based on the U.S. tax laws, regulations (final, temporary and proposed), administrative rulings and practice and judicial decisions in effect or available on the date of this Prospectus. All of the foregoing are subject to change or differing interpretation at any time, which change or interpretation may apply retroactively and could affect the continued validity of this summary. This summary is included herein for general information only, and there can be no assurance that the U.S. Internal Revenue Service (the "IRS") will take a similar view of the U.S. federal income tax consequences of an investment in the Notes as described herein. ACCORDINGLY, PROSPECTIVE PURCHASERS OF THE NOTES SHOULD CONSULT THEIR OWN TAX ADVISORS AS TO U.S. FEDERAL INCOME TAX CONSEQUENCES OF THE PURCHASE, OWNERSHIP AND DISPOSITION OF THE NOTES, AND THE POSSIBLE APPLICATION OF STATE, LOCAL, FOREIGN OR OTHER TAX LAWS. IN PARTICULAR, NO REPRESENTATION IS MADE AS TO THE MANNER IN WHICH PAYMENTS UNDER THE NOTES WOULD BE CHARACTERIZED BY ANY RELEVANT TAXING AUTHORITY. As used in this section, the term "U.S. Holder" includes a beneficial owner of a Note that is, for U.S. federal income tax purposes, a citizen or individual resident of the United States of America, an entity treated for United States federal income tax purposes as a corporation or a partnership created or organized in or under the laws of the United States of America or any state thereof or the District of Columbia, an estate the income of which is includable in gross income for U.S. federal income tax purposes regardless of its source, or a trust if, in general, a court within the United States of America is able to exercise primary supervision over its administration and one or more U.S. persons have the authority to control all substantial decisions of such trust, and certain eligible trusts that have elected to be treated as United States persons. This summary also does not address the rules applicable to certain types of investors that are subject to special U.S. federal income tax rules, including but not limited to, dealers in securities or currencies, traders in securities, financial institutions, U.S. expatriates, tax-exempt entities, charitable remainder trusts and their beneficiaries, insurance companies, persons or their qualified business units ("QBUs") whose functional currency is not the U.S. Dollar, persons that own (directly or indirectly) equity interests in holders of Notes and subsequent purchasers of the Notes. 102

For U.S. federal income tax purposes, the Issuer, and not the Co-Issuer, will be treated as the issuer of the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes. Tax Treatment of the Issuer The Code and the Treasury regulations promulgated thereunder provide a specific exemption from net income-based U.S. federal income tax to non-U.S. corporations that restrict their activities in the United States to trading in stocks and securities (and any other activity closely related thereto) for their own account, whether such trading (or such other activity) is conducted by the corporation or its employees or through a resident broker, commission agent, custodian or other agent. This particular exemption does not apply to non-U.S. corporations that are engaged in activities in the United States other than trading in stocks and securities (and any other activity closely related thereto) for their own account or that are dealers in stocks and securities. The Issuer intends to rely on the above exemption and does not intend to operate so as to be subject to U.S. federal income taxes on its net income. In this regard, on the Closing Date, the Issuer will receive an opinion from McKee Nelson LLP, special U.S. tax counsel to the Issuer and the Co-Issuer ("Special U.S. Tax Counsel") to the effect that, although no activity closely comparable to that contemplated by the Issuer has been the subject of any Treasury regulation, administrative ruling or judicial decision, under current law and assuming compliance with the Issuer's relevant governing documents, the Indenture and other related documents (the "Documents"), the Issuer's permitted activities will not cause it to be engaged in a trade or business in the United States, and consequently, the Issuer's profits will not be subject to U.S. federal income tax on a net income basis. The opinion of Special U.S. Tax Counsel will be based on the Code, the Treasury regulations (final, temporary and proposed) thereunder, the existing authorities, and Special U.S. Tax Counsel's interpretation thereof and judgment concerning their application to the Issuer's permitted activities, and on certain factual assumptions and representations as to the Issuer's permitted activities. The Issuer intends to conduct its affairs in accordance with the Documents and such assumptions and representations, and the remainder of this summary assumes such result. In addition, in complying with the Documents and such assumptions and representations, the Issuer is entitled to rely upon the advice and/or opinions of their selected counsel, and the opinion of Special U.S. Tax Counsel will assume that any such advice and/or opinions are correct and complete. However, the opinion of Special U.S. Tax Counsel and any such other advice or opinions are not binding on the IRS or the courts, and no ruling will be sought from the IRS regarding this, or any other, aspect of the U.S. federal income tax treatment of the Issuer. Accordingly, in the absence of authority on point, the U.S. federal income tax treatment of the Issuer is not entirely free from doubt, and there can be no assurance that positions contrary to those stated in the opinion of Special U.S. Tax Counsel or any such other advice or opinions may not be asserted successfully by the IRS. If, notwithstanding the Issuer's intention and the aforementioned opinion of Special U.S. Tax Counsel or any such other advice or opinions, it were nonetheless determined that the Issuer were engaged in a United States trade or business and the Issuer had taxable income that was effectively connected with such U.S. trade or business, the Issuer would be subject under the Code to the regular U.S. corporate income tax on such effectively connected taxable income (and possibly to the 30% branch profits tax as well). The imposition of such taxes would materially affect the Issuer's financial ability to make payments with respect to the Notes and could materially affect the yield of the Notes. United States Withholding Taxes. Although, based on the foregoing, the Issuer is not expected to be subject to U.S. federal income tax on a net income basis, income derived by the Issuer may be subject to withholding taxes imposed by the United States or other countries. Generally, U.S. source interest income received by a foreign corporation not engaged in a trade or business within the United States is subject to U.S. withholding tax at the rate of 30% of the amount thereof. The Code provides an exemption (the "portfolio interest exemption") from such withholding tax for interest paid with respect to certain debt obligations issued after July 18, 1984, unless the interest constitutes a certain type of contingent interest or is paid to a 10% shareholder of the payor, to a controlled foreign corporation related to the payor, or to a bank with respect to a loan entered into in the ordinary course of its business. In this regard, the Issuer is permitted to acquire a particular Eligible Investment only if the payments thereon are exempt from U.S. withholding taxes at the time of purchase or commitment to purchase or the obligor is 103

required to make "gross-up" payments that offset fully any such tax on any such payments. Accordingly, assuming compliance with the foregoing restrictions and subject to the foregoing qualifications, interest income derived by the Issuer will be free of or fully "grossed up" for any material amount of U.S. withholding tax. As for each Credit Default Swap, payments under each Credit Default Swap does not constitute interest for purposes of U.S. withholding taxes. The Issuer intends to treat each Credit Default Swap as either a "notional principal contract" or an option for U.S. federal income tax purposes. Generally, payments made pursuant to a notional principal contract or an option are not subject to U.S. withholding. However, the IRS may seek to characterize the Credit Default Swaps in a manner that would make payment under it subject to U.S. withholding. Furthermore, there can be no assurance that income derived by the Issuer will not generally become subject to U.S. withholding tax as a result of a change in U.S. tax law or administrative practice, procedure, or interpretations thereof. Tax Treatment of U.S. Holders of the Notes Treatment of the Notes. Although there is no authority directly on point, and as a result, the opinion cannot be free from doubt, in the opinion of Special U.S. Tax Counsel, each class of Notes funded on the Closing Date will be treated as debt for U.S. federal income tax purposes when issued (except as expressly noted below in this Section entitled "Certain Tax Consequences", the term Notes does not refer to the Class A-1 Notes that are not funded on the Closing Date). However, it is possible that the IRS could assert that the Notes should be treated as the issuance of credit-linked debt by the Credit Default Swap Counterparty or some other party. The holder of such Notes could have to accrue income under the contingent debt rules if any contingency was not viewed as sufficiently remote (which may vary by class) which could affect the timing of such income. In addition, any gain and certain losses from the sale of such Notes would result in ordinary income or loss for any Notes subject to the rules applicable to contingent debt. This summary assumes that the treatment of the Notes as debt is correct. Further, the Issuer will treat, and each holder and beneficial owner of a Note will agree to treat such Note as debt for U.S. federal income tax purposes. The determination of whether a Note qualifies as debt for United States federal income tax purposes is based on the applicable law and facts and circumstances existing at the time such Note is issued. Material changes from those existing on the Closing Date (e.g. a material decline in the value of the Issuer's assets and/or, a material change in the likelihood a Note will be repaid in full) could adversely affect the characterization of any Note issued after (but not before) such changes. The opinion of Special U.S. Tax Counsel is based on current law and certain representations and assumptions and is not binding on the IRS or the courts, and no ruling will be sought from the IRS regarding this, or any other, aspect of the U.S. federal income tax treatment of the Notes. Accordingly, there can be no assurance that the IRS will not contend, and that a court will not ultimately hold, that one or more Classes Notes are properly treated as equity in the Issuer for U.S. federal income tax purposes. Recharacterization of a Class of Notes, particularly the Class E Notes because of their place in the capital structure, may be more likely if a single investor or a group of investors that holds all of the Class F Notes also holds all of the more senior Class of Notes in the same proportion as the Class F Notes are held. If a class of Notes were treated as equity in, rather than debt of, the Issuer for U.S. federal income tax purposes, U.S. Holders of such class would be subject to taxation applicable to passive foreign investment companies and, possibly, controlled foreign corporations, which could cause adverse tax consequences for such U.S. Holders upon the sale, exchange, redemption, retirement or other taxable disposition of, or the receipt of certain types of distributions on, such Notes. See "Possible Recharacterization of Notes" below. Although the Class A-1 Notes are documented as debt, the Issuer intends to treat the Class A-1 Notes as notional principal contracts for U.S. federal income tax purposes because the Class A-1 Notes are not funded on the Closing Date and because of the various circumstances under which the Class A-1 Notes may be funded. It is possible that the Class A-1 Notes may be recharacterized by the IRS (e.g., as a guaranty contract). Holders of the Class A-1 Notes should consult their tax advisors as to characterization of the Class A-1 Notes as well as the timing and character of any payments received from the Class A-1 Notes. Interest or Discount on the Notes. The Notes may be subject to the rules applicable to contingent payment debt instruments because the timing of their principal repayment is contingent on the principal payments of the reference obligations rather than obligations held by the Issuer. If these Notes are not treated as contingent payment debt obligations and subject to the discussion below, U.S. Holders of these Notes generally should include in gross income payments of stated interest received, in 104

accordance with their usual method of accounting for U.S. federal income tax purposes, as ordinary interest income from sources outside the United States. If the Issue Price of the Notes is less than such Notes' respective "stated redemption price at maturity" by more than a de minimis amount, U.S. Holders will be considered to have purchased such Notes with original issue discount ("OID"). The respective stated redemption price at maturity of each class of Notes will be the sum of all payments to be received on such Notes, other than payments of stated interest which is unconditionally payable in money at least annually during the entire term of a debt instrument ("Qualified Stated Interest"). Interest can be considered unconditionally payable if nonpayment is sufficiently remote under the terms of the obligations or reasonable legal remedies exist to compel timely payment. Prospective U.S. Holders of the Notes should note that if the prospect of deferral of interest is not sufficiently remote (which determination must be made on a class by class basis can could vary for each class) all of the stated interest payments would be included in the stated redemption prices at maturity, and required to be accrued by U.S. Holders pursuant to the rules described below. A U.S. Holder of a Note issued with OID will be required to accrue and include in gross income the sum of the daily portions of total OID for each day during the taxable year on which the U.S. Holder held the Note, generally under a constant yield method, regardless of such U.S. Holder's usual method of accounting for U.S. federal income tax purposes. In addition, if a Note is not treated as issued with OID a U.S. Holder should include any de minimis OID in gross income proportionately as stated principal payments are received. Such de minimis OID should be treated as gain from the sale or exchange of property and may be eligible as capital gain if it is a capital asset in the hands of the U.S. Holder. Because the Notes provide for a floating rate of interest, the amount of OID to be accrued over the term of each Note will be based initially on the assumption that the floating rate in effect for the first Interest Period will remain constant throughout the term. To the extent such rate varies with respect to any Interest Period, such variation will be reflected in an increase or decrease of the amount of OID accrued for such period. Under the foregoing method, if stated interest on a class of Notes is required to be accrued under the OID rules, U.S. Holders may be required to include in gross income increasingly greater amounts of OID and may be required to include OID in advance of the receipt of cash attributable to such income. Unless the contingent payment obligation rules apply, each Class of Notes issued with more than de minimis OID may be subject to rules requiring the use of an assumption as to the prepayments , as discussed below under "Tax ConsiderationsOID on the Notes". A prepayment assumption applies to debt instruments if payment under such debt instruments may be accelerated by reason of prepayments of other obligations securing such debt instruments. Application of a prepayment assumption is uncertain because prepayments on the Notes are generally dependent on prepayments on the Credit Default Swap Portfolio rather than the Eligible Investments. OID on the Notes. The Treasury regulations governing the calculation of OID on instruments having contingent interest payments specifically do not apply for purposes of calculating OID on debt instruments required to use a prepayment assumption. The Issuer intends to base its computations on a prepayment assumption for the Credit Default Swap Portfolio, although, as noted above, it is uncertain whether such assumption is required or permitted. In addition, no regulatory guidance currently exists under the Code for prepayment assumptions. Accordingly, there can be no assurance that this methodology represents the correct manner of calculating OID. If the IRS were to successfully contend that another method of accruing OID with respect to the Notes is appropriate, the U.S. federal income tax consequences to a U.S. Holder of the Notes could be adverse or more favorable. A subsequent purchaser of a Note issued with OID who purchases that Note at a cost less than the remaining stated redemption price at maturity will also be required to include in gross income the sum of the daily portions of OID on the Note. In computing the daily portions of OID for a subsequent purchaser of a Note (as well as an initial purchaser that purchases at a price higher than the adjusted Issue Price, but less than the stated redemption price at maturity), however, the daily portion is reduced by the amount that would be the daily portion for the day (computed in accordance with the rules set forth above) multiplied by a fraction, the numerator of which is the amount, if any, by which the price paid by the U.S. Holder for the Note exceeds the difference between (a) the sum of the Issue Price plus the aggregate amount of OID that would have been able to be included in the gross income of an original 105

U.S. Holder (who purchased the Note at the Issue Price) and (b) any prior payments included in the stated redemption price at maturity, and the denominator of which is the sum of the daily portions for the Note for all days beginning on the date after the purchase date and ending on the maturity date computed under the prepayment assumption. A U.S. Holder who pays a premium for a Note (i.e., purchases the Note for an amount greater the stated redemption price at maturity) may elect to amortize such premium under a constant yield method over the life of the Note. The amortizable amount for any Interest Period would offset the amount of interest that must be included in the gross income of a U.S. Holder in such Interest Period. The U.S. Holder's basis in the Note would be reduced by the amount of amortization. It is not clear whether the prepayment assumption would be taken into account in determining the life of the for the timing of the amortization of such premium for this purpose. If the U.S. Holder acquires a Note at a discount to the adjusted Issue Price of the Note that is greater than a specified de minimis amount, such discount is treated as market discount. Absent an election to accrue into income currently, the amount of accrued market discount on a Note is included in income as ordinary income when principal payments are received or the U.S. Holder disposes of the Note. Market discount is accrued rateably unless the U.S. Holder elects to use a constant yield method for accrual. For this purpose, the term "rateably" may be based on the term of the Note or a U.S. Holder may be permitted to accrue market discount in proportion to interest on Notes issued without OID or in proportion to OID on Notes issued with OID. As a result of the complexity of the OID rules, each U.S. Holder of a Note should consult its own tax advisor regarding the impact of the OID rules on its investment in the Notes. Election to Treat All Interest as OID. The OID rules permit a U.S. Holder of a Note to elect to accrue all interest, discount (including de minimis market or original issue discount) and premium in income as interest, based on a constant yield method. If an election to treat all interest as OID were to be made with respect to a Note with market discount, the U.S. Holder of such Note making such election would be deemed to have made an election to include in income currently market discount with respect to all other debt instruments having market discount that such U.S. Holder acquires during the year of the election or thereafter. Similarly, a U.S. Holder that makes this election for a Note that is acquired at a premium will be deemed to have made an election to amortize bond premium with respect to all debt instruments having amortizable bond premium that such U.S. Holder owns or acquires. The election to accrue interest, discount and premium on a constant yield method with respect to a Note cannot be revoked without the consent of the IRS. Disposition of the Notes. In general, a U.S. Holder of a Note initially will have a basis in the Note equal to the cost of the Note to such U.S. Holder, (i) increased by any amount includable in income by such U.S. Holder as OID with respect to the Note (and as market discount if such U.S. Holder elected to accrue market discount currently on the Note), and (ii) reduced by any amortized premium and by payments on the Note, other than payments of qualified stated interest on a Note. Upon a sale, exchange, redemption, retirement or other taxable disposition of a Note, a U.S. Holder will generally recognize gain or loss equal to the difference between the amount realized on the sale, exchange, redemption, retirement or other taxable disposition (other than amounts attributable to accrued interest on a Note, which will be taxable as described above) and the U.S. Holder's tax basis in the Note. Except to the extent of accrued interest or market discount not previously included in income, or unless the rules applicable to contingent payment debt obligations apply, gain or loss from the disposition of a Note generally will be long-term capital gain or loss if the U.S. Holder held the Note for more than one year at the time of disposition, provided that the Note is held as a "capital asset" (generally, property held for investment) within the meaning of Section 1221 of the Code, except to the extent of accrued market discount not previously included in income. However, if the IRS or a court determines that any class of Notes constitutes contingent payment debt obligations, then a U.S. Holder generally will have a basis in a Note of that class equal to the purchase price of such Note to such U.S. Holder (i) increased by OID accrued with respect to that Note (determined without regard to adjustments made to reflect the differences between actual and projected payments), and (ii) reduced by the amount of any non-contingent payments and the projected amount of any contingent payments previously made on that Note. Any gain recognized on the sale, exchange, 106

redemption, retirement or other taxable disposition of a Note that constitutes a contingent payment debt obligation will be treated as ordinary interest income. Further, in such a case, any loss will be treated as ordinary loss to the extent of prior net interest inclusions with respect to that Note; any remaining loss will be a capital loss. In certain circumstances, U.S. Holders that are individuals may be entitled to preferential treatment for net long-term capital gains; however, the ability of U.S. Holders to offset capital losses against ordinary income is limited. Possible Recharacterization of the Notes In form, the Issuer has been structured in a manner that it will constitute a passive foreign investment company ("PFIC"). If any class of Notes were recharacterized as equity in the Issuer, it would represent equity in a PFIC. In addition, a U.S. Holder of recharacterized Notes may be treated as a U.S. shareholder in a controlled foreign corporation if such holder was considered to own at least 10% or more of the voting equity of the Issuer (either as a result of owning such Note or otherwise) and if U.S. shareholders that each held at least 10% of the voting equity of the Issuer as a group held more than 50% of the voting power or value of the Issuers equity. In the absence of an election to accrue their share of income currently (which election requires certain information to be provided annually), U.S. Holders of equity in a PFIC are subject to a deemed interest charge on certain distributions and all gains. U.S. shareholders of a controlled foreign corporation are generally required to accrue passive income currently rather than apply the rules applicable to PFICs. U.S. investors in the Notes should discuss with their tax advisors the consequences to them of having any class of Notes recharacterized as equity in the Issuer. Transfer Reporting Requirements A U.S. Holder of equity of the Issuer (including recharacterized Notes) that represents (actually or constructively) at least 10% by vote or value of the Issuer (and each officer or director of the Issuer that is a U.S. citizen or resident) may be required to file an information return on IRS Form 5471. Such a U.S. Holder generally is required to provide additional information regarding the Issuer annually on IRS Form 5471 if it owns (actually or constructively) more than 50% by vote or value of the Issuer. U.S. Holders should consult their own tax advisors regarding whether they are required to file IRS Form 5471. A U.S. Person that purchases the equity of the Issuer (including recharacterized Notes) for cash will be required to file a Form 926 or similar form with the IRS if (i) such person owned, directly or by attribution, immediately after the transfer at least 10% by voting power or value of the Issuer or (ii) if the transfer, when aggregated with all transfers made by such person (or any related person) within the preceding 12 month period, exceeds U.S.$100,000. In the event a U.S. Holder fails to file any such required form, the U.S. Holder could be required to pay a penalty equal to 10% of the gross amount paid for such Notes subject to a maximum penalty of U.S.$100,000, except in cases involving intentional disregard). U.S. Persons should consult their tax advisors with respect to this or any other reporting requirement that may apply with respect to their acquisition of the Notes. Tax Return Disclosure and Investor List Requirements Any person that files a U.S. federal income tax return or U.S. federal information return and participates in a reportable transaction in a taxable year is required to disclose certain information on IRS Form 8886 (or its successor form) attached to such person's U.S. tax return for such taxable year (and also file a copy of such form with the IRS's Office of Tax Shelter Analysis) and to retain certain documents related to the transaction. In addition, under these regulations, under certain circumstances, certain organizers and sellers of a reportable transaction will be required to maintain lists of participants in the transaction containing identifying information, retain certain documents related to the transaction, and furnish those lists and documents to the IRS upon request. Recently adopted legislation imposes significant penalties for failure to comply with these disclosure and list keeping requirements. The definition of reportable transaction is highly technical. However, in very general terms, a transaction may be a "reportable transaction" if, among other things, it is offered under conditions of confidentiality, it results in the claiming of a loss for U.S. federal income tax purposes in excess of certain threshold 107

amounts, or an item from the transaction is treated differently for U.S. federal income tax purposes and for book purposes (generally under U.S. generally accepted accounting principles). In addition, under these Treasury regulations, if the Issuer participates in a reportable transaction, a U.S. Holder of equity in the Issuer (including Class A-1 Notes and Notes recharacterized as equity) that is a "reporting shareholder" of the Issuer will be treated as participating in the transaction and will be subject to the rules described above. Although most of the Issuer's activities generally are unlikely to give rise to "reportable transactions", it is nonetheless possible that the Issuer will participate in certain types of transactions that could be treated as reportable transactions. A U.S. Holder will be treated as a reporting shareholder of the Issuer if (i) such U.S. Holder owns 10% or more of the equity of the Issuer and makes a QEF election with respect to the Issuer or (ii) the Issuer is treated as a CFC and such U.S. Holder holds at least 10% of the voting securities of the issuer. Prospective investors in the Class A-1 Notes and the Notes should consult their own tax advisors concerning any possible disclosure obligations with respect to their ownership or disposition of such Notes in light of their particular circumstances. Tax Treatment of Non-U.S. Holders of Notes Although the Notes have been structured to be treated as debt of the Issuer rather than the CoIssuer for US federal income tax purposes, a holder that is not, for U.S. federal income tax purposes, a U.S. Holder (a "non-U.S. Holder") will be required to provide an applicable IRS form W-8 to ensure the certification requirements for portfolio interest exemption are satisfied. Failure to provide such form (or to update such form as requiredgenerally the beginning of the fourth year after acquisition or the form was last updated) may result in a 30% withholding on the interest payments. In general, payments on the Notes to and gain realized on the sale, exchange, redemption, retirement or other taxable disposition of the Notes by a non-U.S. Holder, will not be subject to U.S. federal income or withholding tax, unless (i) such income is effectively connected with a trade or business conducted by such non-U.S. Holder in the United States, or (ii) in the case of gain, such non-U.S. Holder is a non-resident alien individual who holds the Notes as a capital asset and is present in the United States for more than 182 days in the taxable year of the sale, exchange, redemption, retirement or other taxable disposition and certain other conditions are satisfied. Information Reporting and Backup Withholding Under certain circumstances, the Code requires "information reporting", and may require "backup withholding" with respect to certain payments made on the Notes and the payment of the proceeds from the disposition of the Notes. For purposes of this subsection ("Information Reporting and Backup Withholding"), references to the term Notes also includes the Class A-1 Notes. Backup withholding generally will not apply to corporations, tax-exempt organizations, qualified pension and profit sharing trusts, and individual retirement accounts. Backup withholding will apply to a U.S. Holder if the U.S. Holder fails to provide certain identifying information (such as the U.S. Holder's taxpayer identification number) or otherwise comply with the applicable requirements of the backup withholding rules. The application for exemption from backup withholding for a U.S. Holder is available by providing a properly completed IRS Form W-9. A non-U.S. Holder of the Notes generally will not be subject to these information reporting requirements or backup withholding with respect to payments of interest or distributions on the Notes if (1) it certifies to the Trustee its status as a non-U.S. Holder under penalties of perjury on the appropriate IRS Form W-8, and (2) in the case of a non-U.S. Holder that is a "nonwithholding foreign partnership", "foreign simple trust" or "foreign grantor trust" as defined in the applicable Treasury regulations, the beneficial owners of such non-U.S. Holder also certify to the Trustee their status as non-U.S. Holders under penalties of perjury on the appropriate IRS Form W-8. The payments of the proceeds from the disposition of a Note by a non-U.S. Holder to or through the U.S. office of a broker generally will not be subject to information reporting and backup withholding if the non-U.S. Holder certifies its status as a non-U.S. Holder (and, if applicable, its beneficial owners also certify their status as non-U.S. Holders) under penalties of perjury on the appropriate IRS Form W-8, 108

satisfies certain documentary evidence requirements for establishing that it is a non-U.S. Holder or otherwise establishes an exemption. The payment of the proceeds from the disposition of a Note by a non-U.S. Holder to or through a non-U.S. office of a non-U.S. broker will not be subject to backup withholding or information reporting unless the non-U.S. broker has certain specific types of relationships to the United States, in which case the treatment of such payment for such purposes will be as described in the following sentence. The payment of proceeds from the disposition of a Note by a non-U.S. Holder to or through a non-U.S. office of a U.S. broker or to or through a non-U.S. broker with certain specific types of relationships to the United States generally will not be subject to backup withholding but will be subject to information reporting unless the non-U.S. Holder certifies its status as a non-U.S. Holder (and, if applicable, its beneficial owners also certify their status as non-U.S. Holders) under penalties of perjury or the broker has certain documentary evidence in its files as to the non-U.S. Holder's foreign status and the broker has no actual knowledge to the contrary. Backup withholding is not an additional tax and may be refunded (or credited against the U.S. Holder's or non-U.S. Holder's U.S. federal income tax liability, if any); provided that certain required information is furnished to the IRS. The information reporting requirements may apply regardless of whether withholding is required. Cayman Islands Tax Considerations The following discussion of certain Cayman Islands income tax consequences of an investment in the Notes is based on the advice of Walkers as to Cayman Islands law. The discussion is a general summary of present law, which is subject to prospective and retroactive change. It assumes that the Issuer will conduct its affairs in accordance with assumptions made by, and representations made to, counsel. It is not intended as tax advice, does not consider any investor's particular circumstances, and does not consider tax consequences other than those arising under Cayman Islands law. Under existing Cayman Islands laws: (i) payments of principal and interest in respect of the Notes will not be subject to taxation in the Cayman Islands and no withholding will be required on such payments to any holder of a Note and gains derived from the sale of Notes will not be subject to Cayman Islands income or corporation tax. The Cayman Islands currently have no income, corporation or capital gains tax and no estate duty, inheritance tax or gift tax; and (ii) the holder of any Note (or the legal personal representative of such holder) whose Note is brought into the Cayman Islands may in certain circumstances be liable to pay stamp duty imposed under the laws of the Cayman Islands in respect of such Note. The Issuer has been incorporated under the laws of the Cayman Islands as an exempted company with limited liability and, as such, has applied for 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 STAtic ResidenTial CDO 2005-C Ltd. (the "Company"): (a) 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 (b) 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) on or in respect of the shares, debentures or other obligations of the Company; or 109

(ii)

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.

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ERISA CONSIDERATIONS ______________________________________ The advice below was not written and is not intended to be used and cannot be used by any taxpayer for purposes of avoiding United States federal income tax penalties that may be imposed. The advice is written to support the promotion or marketing of the transaction. Each taxpayer should seek advice based on the taxpayers particular circumstances from an independent tax advisor. The foregoing disclaimer is provided to satisfy obligations under Circular 230 governing standards of practice before the Internal Revenue Service. _______________________________________ The United States Employee Retirement Income Security Act of 1974, as amended ("ERISA") imposes certain requirements on "employee benefit plans" (as defined in and subject to Section 3(3) of ERISA), including entities such as collective investment funds and separate accounts whose underlying assets include the assets of such plans and on those persons who are fiduciaries with respect to such plans. Investments by the plans are subject to ERISA's general fiduciary requirements, including the requirement of investment prudence and diversification and the requirement that a plan's investments be made in accordance with the documents governing the plan. The prudence of a particular investment must be determined by the responsible fiduciary of a plan by taking into account the plan's particular circumstances and all of the facts and circumstances of the investment including, but not limited to, the matters discussed above under "Risk Factors" and the fact that in the future there may be no market in which such fiduciary will be able to sell or otherwise dispose of the Notes. Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the assets of plans and arrangements subject to ERISA (as well as those plans that are not subject to ERISA but which are subject to Section 4975 of the Code, such as individual retirement accounts (the "Plans")) and certain persons (referred to as "parties in interest" or "disqualified persons") having certain relationships to such Plans, unless a statutory or administrative exemption is applicable to the transaction. A party in interest or disqualified person who engages in a prohibited transaction may be subject to excise taxes and other penalties and liabilities under ERISA and Section 4975 of the Code. The U.S. Department of Labor has promulgated regulations, 29 C.F.R. Section 2510.3-101 (the "Plan Asset Regulations"), describing what constitutes the assets of a Plan with respect to the Plan's investment in an entity for purposes of certain provisions of ERISA and Section 4975 of the Code, including the fiduciary responsibility provisions of Title I of ERISA and Section 4975 of the Code. Under the Plan Asset Regulations, if a Plan invests in an "equity interest" of an entity that is neither a "publicly offered security" nor a security issued by an investment company registered under the Investment Company Act, the Plan's assets include both the equity interest and an undivided interest in each of the entity's underlying assets, unless it is established that the entity is an "operating company" or, as further discussed below, that equity participation in the entity by "benefit plan investors" is not "significant". Prohibited transactions within the meaning of Section 406 of ERISA or Section 4975 of the Code may arise if the Notes are acquired with the assets of a Plan with respect to which the Issuer, the Initial Purchaser, the Trustee, the Credit Default Swap Counterparty or any of their respective Affiliates, is a party in interest or a disqualified person. Certain exemptions from the prohibited transaction provisions of Section 406 of ERISA and Section 4975 of the Code may be applicable, however, depending in part on the type of Plan fiduciary making the decision to acquire a Note and the circumstances under which such decision is made. Included among these exemptions are Prohibited Transaction Class Exemption ("PTCE") 91-38 (relating to investments by bank collective investment funds), PTCE 84-14 (relating to transactions effected by a "qualified professional asset manager"), PTCE 90-1 (relating to investments by insurance company pooled separate accounts), PTCE 95-60 (relating to investments by insurance company general accounts), and PTCE 96-23 (relating to transactions effected by in-house asset managers), ("Investor-Based Exemptions"). There can be no assurance that any of these InvestorBased Exemptions or any other exemption will be available with respect to any particular transaction involving the Notes. 111

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 state, local or other federal laws that are substantially similar to the foregoing provisions of ERISA and the Code. Fiduciaries of any such plans should consult with their counsel before purchasing any Notes. Any insurance company proposing to invest assets of its general account in the Notes should consider the extent to which such investment would be subject to the requirements of Title I of ERISA and Section 4975 of the Code in light of the U.S. Supreme Court's decision in John Hancock Mutual Life Insurance Co. v. Harris Trust and Savings Bank, 510 U.S. 86 (1993), and the enactment of Section 401(c) of ERISA on August 20, 1996. In particular, such an insurance company should consider (i) the exemptive relief granted by the U.S. Department of Labor for transactions involving insurance company general accounts in PTCE 95-60 and (ii) if such exemptive relief is not available, whether its purchase of the Notes will be permissible under the final regulations issued under Section 401(c) of ERISA. The final regulations provide guidance on which assets held by an insurance company constitute "plan assets" for purposes of the fiduciary responsibility provisions of ERISA and Section 4975 of the Code. The regulations do not exempt the assets of insurance company general accounts from treatment as "plan assets" to the extent they support certain participating annuities issued to Plans after December 31, 1998. The Notes The Plan Asset Regulations define 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. As noted above in Income Tax Considerations, it is the opinion of tax counsel to the Issuer that the Notes funded on the Closing Date will be treated as debt for U.S. income tax purposes (for purposes of this paragraph, the term Notes does not refer to the Class A-1 Notes that are not funded on the Closing Date). Although there is little guidance on the subject, at the time of their issuance, the Notes should be treated as indebtedness without substantial equity features for purposes of the Plan Asset Regulations. This determination is based in part upon (i) tax counsel's opinion that the Notes will be classified as debt for U.S. federal income tax purposes when issued and (ii) the traditional debt features of the Notes, including the reasonable expectation of purchasers of the Notes that they will be repaid when due, as well as the absence of conversion rights, warrants and other typical equity features. Based upon the foregoing and other considerations, subject to the considerations described below, the Notes may be purchased by a Plan. Nevertheless, without regard to whether the Notes are considered equity interests, prohibited transactions within the meaning of Section 406 of ERISA or Section 4975 of the Code may arise if the Notes are acquired with the assets of a Plan with respect to which the Issuer, the Initial Purchaser, the Credit Default Swap Counterparty or the Trustee or in certain circumstances, any of their respective affiliates, is a party in interest or a disqualified person. The Investor-Based Exemptions may be available to cover such prohibited transactions. The Class A-1 Notes should be treated as notional principal contracts related to the Credit Default Swap Portfolio under which payments are made and received by the Noteholder based on the terms thereof and not as debt or equity securities issued by the Issuer for purposes of the Plan Asset Regulations. While the acquisition and transfer of such notional principal contract and right to receive and make payments under the notional principal contract by Plans may constitute prohibited transactions, the Investor-Based Exemptions may be available to cover such prohibited transactions. By its purchase of any Notes, each purchaser and subsequent transferee thereof will be deemed to have represented and warranted either that (a) it is neither a Plan nor any entity whose underlying assets include "plan assets" (within the meaning of the Plan Asset Regulations) by reason of such Plan's investment in the entity, nor a governmental, church, non-U.S. or other plan which is subject to any federal, state, local or non-U.S. law that is substantially similar to the provisions of Section 406 of ERISA or Section 4975 of the Code or (b) its purchase, holding and disposition of a Note will not constitute or result in a prohibited transaction under Section 406 of ERISA or Section 4975 of the Code (or, in the case of a governmental, church, non-U.S. or other plan, a violation of any substantially similar law) for which an exemption is not available. If for any reason the assets of the Issuer are deemed to be "plan assets" of a Plan because one or more Plans is an owner of a Note characterized as an "equity interest" in the Issuer, certain transactions that the Issuer might enter into, or may have entered into, in the ordinary course of its 112

business might constitute non-exempt "prohibited transactions" under Section 406 of ERISA or Section 4975 of the Code and might have to be rescinded at significant cost to the Issuer. The Issuer may be prevented from engaging in certain investments (as not being deemed consistent with the ERISA prudent investment standards) or engaging in certain transactions or fee arrangements because they might be deemed to cause non-exempt prohibited transactions. It also is not clear that Section 403(a) of ERISA, which generally requires that all of the assets of a plan or arrangement subject to ERISA be held in trust and limits delegation of investment management responsibilities by fiduciaries of such plans or arrangements, would be satisfied. In addition, it is unclear whether Section 404(b) of ERISA, which generally provides that no fiduciary may maintain the indicia of ownership of any assets of a plan outside the jurisdiction of the district courts of the United States, would be satisfied or any of the exceptions to the requirement set forth in 29 C.F.R. Section 2550.404b-1 would be available. Any fiduciary of a Plan or other person who proposes to use assets of any Plan to purchase any Notes should consult with its counsel regarding the applicability of the fiduciary responsibility and prohibited transaction provisions of ERISA and Section 4975 of the Code to such an investment, and to confirm that such investment will not constitute or result in a non-exempt prohibited transaction or any other violation of an applicable requirement of ERISA. The sale of any Note to a Plan, or to a person using assets of any Plan to effect its purchase of any Note, is in no respect a representation by the Issuer or the Initial Purchaser that such an investment meets all relevant legal requirements with respect to investments by benefit plan investors generally or any particular Plan, or that such an investment is appropriate for Plans generally or any particular Plan. PRESCRIPTION The Notes of each Class will become void unless presented for payment within ten years from the related Relevant Date for such Class. "Relevant Date" means the date on which the final payment, in respect of such Class of Notes first becomes due, except that if the full amount of the monies payable has not been duly received by the Paying Agent on or prior to such due date, it means the date on which, such monies having been so received, notice to that effect has been duly given to the holders of Notes of such Class. PLAN OF DISTRIBUTION The Co-Issuers and Deutsche Bank Securities Inc., as Initial Purchaser, will enter into a purchase Agreement, dated as of the Closing Date (the "Purchase Agreement") relating to the offering and sale of the Notes (the "Initial Purchaser Notes"). In the Purchase Agreement, the Co-Issuers have agreed to sell to the Initial Purchaser and the Initial Purchaser will agree to purchase, the entire principal amount of the Initial Purchaser Notes, and to privately place such Notes with eligible investors. The obligations of the Initial Purchaser under the Purchase Agreement are subject to the satisfaction of certain conditions in the Purchase Agreement. Pursuant to the Purchase Agreement, the Co-Issuers will agree to indemnify the Initial Purchaser against certain liabilities, including liabilities under the Securities Act, or to contribute to payments the Initial Purchaser may be required to make in respect thereof. The Co-Issuers have been advised by the Initial Purchaser that the Initial Purchaser proposes to sell the Initial Purchaser Notes (i) to Qualified Institutional Buyers pursuant to Rule 144A and (ii) to certain persons in offshore transactions in reliance on Regulation S under the Securities Act. United States The Notes have not been and will not be registered under the Securities Act and may not be offered or sold within the United States or to, or for the account or benefit of, U.S. Persons except in accordance with Regulation S or pursuant to an exemption from the registration requirements under the Securities Act provided by Rule 144A. (1) In the Purchase Agreement, the Initial Purchaser will represent and agree that it has offered or sold Initial Purchaser Notes and will offer or sell Initial Purchaser Notes (i) as part of its distribution at any time and (ii) otherwise until 40 days after the later of the commencement of the Offering and the Closing Date, only in accordance with Rule 903 of Regulation S or Rule 144A or any other available exemption from the registration requirements of the Securities Act. Accordingly, the Initial 113

Purchaser will represent and agree that neither it, its Affiliates nor any persons acting on its or their behalf have engaged or will engage in any directed selling efforts (within the meaning of Regulation S) with respect to the Initial Purchaser Notes, and it and they have complied and will comply with the offering restrictions requirements of Regulation S. (2) In the Purchase Agreement, the Initial Purchaser will agree that (i) it will not solicit offers for, or offer or sell, any of the Initial Purchaser Notes by any form of general solicitation or general advertising (as those terms are used in Regulation D under the Securities Act) or in any manner involving a public offering within the meaning of Section 4(2) of the Securities Act, (ii) it will solicit offers for the Initial Purchaser Notes only from, and will offer the Initial Purchaser Notes only to, persons that (A) it reasonably believes to be, in the case of offers inside the United States or to U.S. Persons, Qualified Institutional Buyers, who are also Qualified Purchasers or (B) in the case of offers outside the United States, are Non-U.S. Persons; and (iii) with respect to offers and sales of the Initial Purchaser Notes outside the United States that it will not offer, sell or deliver any of the Initial Purchaser Notes in any jurisdiction outside the United States except under circumstances that will result in compliance with the applicable laws thereof. United Kingdom Pursuant to the Purchase Agreement, the Initial Purchaser will also represent and agree that: (1) it has 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 of the Financial Services and Markets Act 2000 (the "FSMA")) received by it 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; and it has complied and will comply with all applicable provisions of the FSMA with respect to anything done by it in relation to such Notes in, from or otherwise involving the United Kingdom.

(2)

Cayman Islands The Initial Purchaser will represent and agree that it has not made and will not make any invitation to the public in the Cayman Islands to subscribe for the Initial Purchaser Notes. General No action has been or will be taken in any jurisdiction that would permit a public offering of the Notes 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 Notes may not be offered or sold, directly or indirectly, and neither this Prospectus nor any other offering material or advertisements in connection with the Notes 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. Purchasers of the Notes may be required to pay stamp taxes and other charges in accordance with the laws and practices of the country of purchase in addition to the purchase price.

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TRANSFER RESTRICTIONS Because of the following restrictions, purchasers are advised to consult legal counsel prior to making any offer, resale, pledge or transfer of Notes. Investor Representations on Original Purchase Each Original Purchaser of Notes and each Subsequent Transferee will be deemed to acknowledge, represent and agree at the time of its purchase of Notes as follows: (1) No Governmental Approval. The purchaser understands that the Notes have not been approved or disapproved by the SEC or any other governmental authority or agency of any jurisdiction, nor has the SEC or any other governmental authority or agency passed upon the accuracy or adequacy of this Prospectus. Any representation to the contrary is a criminal offense. (2) Certification Upon Transfer. If required by the Indenture, the purchaser will, prior to any sale, pledge or other transfer by it of any Note (or any interest therein), obtain from the transferee and deliver to the Issuer or the Co-Issuers, as the case may be, and the Note Registrar a duly executed transferee certificate addressed to each of the Trustee, the Administrator and the Issuer or the Co-Issuers, as the case may be, in the form of the relevant exhibit attached to the Indenture and such other certificates and other information as the Issuer or either of the Co-Issuers, as the case may be, the Trustee may reasonably require to confirm that the proposed transfer substantially complies with the transfer restrictions contained in this Prospectus and the Indenture. Notwithstanding anything herein to the contrary, the Original Purchaser of the Class A-1 Notes shall execute and deliver to the Issuer and the Trustee the Class A-1 Note Purchase Agreement. Furthermore, the Original Purchaser of the Class A-1 Notes acknowledges and agrees that the Class A-1 U Notes may only be transferred (i) upon the delivery by the transferee of a duly executed Assignment and Acceptance Letter (in the form attached to the Class A-1 Note Purchase Agreement by the transferee, and referred to herein as the "Assignment and Acceptance Letter") and (ii) if the transferee satisfies the Class A-1 U Noteholder Rating Criteria. (3) Minimum Denominations and Original Capital Contributions; Form of Notes. The purchaser agrees that no Note (or any interest therein) may be sold, pledged or otherwise transferred in a denomination of less than the applicable minimum denomination set forth in the Indenture and described herein. (4) Securities Law Limitations on Resale. The purchaser understands that the Notes have not been registered under the Securities Act and, therefore, cannot be offered or sold in the United States or to U.S. Persons (as defined in Rule 902(k) promulgated under the Securities Act) unless they are registered under the Securities Act or unless an exemption from registration is available. Accordingly, the certificates representing the Notes will bear a legend stating that such Notes have not been registered under the Securities Act and setting forth certain of the restrictions on transfer of the Notes, as the case may be, described herein. The purchaser understands that the Co-Issuers have no obligation to register any of the Notes 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). (5) Qualified Institutional Buyer Investor or Non-U.S. Person Status; Investment Intent. In the case of a purchaser of Rule 144A Global Notes, it (i) is both (x) a Qualified Institutional Buyer and (y) a Qualified Purchaser; (ii) 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) 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) is aware that the sale to it is being made in reliance on Rule 144A 115

or another exemption from the registration requirements of the Securities Act; and (vi) is acquiring such Notes for its own account. In the case of a purchaser who takes delivery of Regulation S Global Notes, it (i) is acquiring such Notes in an offshore transaction in accordance with Rule 903 or 904 of Regulation S, (ii) is acquiring such Notes for its own account, (iii) is not acquiring, and has not entered into any discussions regarding its acquisition of, such Notes while it is in the United States or any of its territories or possessions, (iv) understands that such Notes are being sold without registration under the Securities Act by reason of an exemption that depends, in part, on the accuracy of these representations, (v) understands that such Notes may not, absent an applicable exemption, be transferred without registration and/or qualification under the Securities Act and applicable state securities laws and the laws of any other applicable jurisdiction and (vi) understands that interests in a Regulation S Global Note may only be held through Euroclear or Clearstream. (6) 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 Notes, (b) is financially able to bear such risk, (c) in making such investment is not relying on the advice or recommendations of the Initial Purchaser, the Issuer, the Co-Issuer, or any of their respective Affiliates (or any representative of any of the foregoing) and (d) has determined that an investment in Notes is suitable and appropriate for it. The purchaser has received, and has had an adequate opportunity to review the contents of, this Prospectus. The purchaser has had access to such financial and other information concerning the Co-Issuers, and the Notes as it has deemed necessary to make its own independent decision to purchase Notes, including the opportunity, at a reasonable time prior to its purchase of Notes, to ask questions and receive answers concerning the Co-Issuers and the terms and conditions of the offering of the Notes and confirms that such answers were consistent with this Prospectus. (7) Certain Resale Limitations; Rule 144A. No Note (or any interest therein) may be offered, sold, pledged or otherwise transferred to a transferee acquiring a Rule 144A Global Note except (i) to a transferee whom the seller reasonably believes is a qualified institutional buyer (as defined in Rule 144A) (a "Qualified Institutional Buyer"), purchasing for its own account, or for the accounts of one or more Qualified Institutional Buyers for which it is acting as a fiduciary or agent, 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 or another exemption from the registration requirements of the Securities Act (subject to the delivery of such certifications, legal opinions or other information as the Issuer may reasonably require to confirm that such transfer is being made pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act), (ii) to a transferee that is a Qualified Purchaser or is not a U.S. resident (within the meaning of the Investment Company Act), (iii) to a transferee that is not a Flow-Through Investment Vehicle (other than a Qualifying Investment Vehicle), (iv) if such transfer is made in compliance with the certification and other requirements, if applicable, set forth in the Indenture and (v) if such transfer is made 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 Note except (i) to a transferee that is acquiring such interest in an offshore transaction (within the meaning of Regulation S) in accordance with Rule 903 or 904 of Regulation S, (ii) to a transferee that is not a U.S. resident (within the meaning of the Investment Company Act) or a transferee that is not a Flow-Through Investment Vehicle (other than a Qualifying Investment Vehicle), (iv) if such transfer is made in compliance with the other requirements set forth in the Indenture or the Issuer Charter and (v) if such transfer is made in accordance with any applicable securities laws of any state of the United States and any other relevant jurisdiction. (8) Limited Liquidity. The purchaser understands that there is no market for Notes and that no assurance can be given as to the liquidity of any trading market for Notes and that it is unlikely that a trading market for any of the Notes will develop. The purchaser further understands that, although the Initial Purchaser may from time to time make a market in Notes, the Initial Purchaser is under no obligation to do so and, following the commencement of any 116

market-making, may discontinue the same at any time. Accordingly, the purchaser must be prepared to hold Notes for an indefinite period of time or until their maturity. (9) Investment Company Act. The purchaser either (a) is not a U.S. resident (within the meaning of the Investment Company Act) or (b) is a Qualified Purchaser. The purchaser agrees that no sale, pledge or other transfer of a Note (or any interest therein) may be made (a) unless such transfer is made to a transferee who, if a U.S. resident (within the meaning of the Investment Company Act), is a Qualified Purchaser or (b) if such transfer would have the effect of requiring either of the Co-Issuers or the Collateral to register as an investment company under the Investment Company Act. If the purchaser is a U.S. resident 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. Each purchaser of a beneficial interest in a Rule 144A Global Note will be deemed to represent at the time of purchase that: (i) the purchaser is both (x) a Qualified Institutional Buyer and (y) a Qualified Purchaser; (ii) the purchaser 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; and (iii) the purchaser 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; and (iv) the purchaser will provide written notice of the foregoing, and of any applicable restrictions on transfer, to any transferee. The Indenture provides that if, notwithstanding the restrictions on transfer contained therein, either of the Co-Issuers determines that any beneficial owner of a Rule 144A Global Note (or any interest therein) (A) is a U.S. Person (within the meaning of Regulation S under the Securities Act) and (B) is not both (i) a Qualified Institutional Buyer and (ii) a Qualified Purchaser, then either of the Co-Issuers may require, by notice to such holder, that such holder sell all of its right, title and interest to such Rule 144A Global Note (or interest therein) to a person that is both (i) a Qualified Institutional Buyer and (ii) a Qualified Purchaser, with such sale to be effected within 30 days after notice of such sale requirement is given. If such beneficial owner fails to effect the transfer required within such 30-day period, (a) upon direction from the Issuer, the Trustee, on behalf of and at the expense of the Issuer, shall cause such beneficial owner's interest in such Note to be transferred in a commercially reasonable sale (conducted by an investment bank selected by the Trustee in accordance with Section 9-601(b) of the Uniform Commercial Code as in effect in the State of New York as applied to securities that are sold on a recognized market or that may decline speedily in value) to a person that certifies to the Trustee and the Co-Issuers, in connection with such transfer, that such person is both (i) a Qualified Institutional Buyer and (ii) a Qualified Purchaser and (b) pending such transfer, no further payments will be made in respect of such Note held by such beneficial owner. (10) ERISA. In the case of each purchaser of a Note either that (i) it is not, and is not acting on behalf of, an employee benefit plan within the meaning of Section 3(3) of ERISA and subject to ERISA, a plan within the meaning of Section 4975(e)(1) of the Code and subject to Section 4975 of the Code, an entity which is deemed to hold the assets of any such plan pursuant to 29 C.F.R. 2510.3-101, which plan or entity is subject to Title I of ERISA or Section 4975 of the Code, or a governmental, church, non-U.S. or other plan which is subject to any federal, state, local or non-U.S. law that is similar to the provisions of Section 406 of ERISA or Section 4975 of the Code, or (ii) its purchase and ownership of the Note will not 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, church, non-U.S. or other plan, a violation of any similar U.S. federal, state, local or non-U.S. law). Any purported transfer of a Note to a purchaser that does not comply with the requirements of this paragraph (1) shall be null and void ab initio. 117

(11) Limitations on Flow-Through Status. The purchaser represents that, unless the purchaser is a Qualifying Investment Vehicle (as defined below), (a) if the purchaser 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 Notes does not exceed 40% of the total assets (determined on a consolidated basis with its subsidiaries) of the purchaser; (b) no person owning any equity or similar interest in the purchaser has the ability to control any investment decision of the purchaser or to determine, on an investment-by-investment basis, the amount of such person's contribution to any investment made by the purchaser; (c) the purchaser was not organized or reorganized for the specific purpose of acquiring a Note; and (d) no 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 Notes (any such transferee in (a), (b), (c) or (d) above being herein referred to as a "FlowThrough Investment Vehicle"). For this purpose, a "Qualifying Investment Vehicle" is an entity as to which all of the beneficial owners of any securities issued by such entity 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, to the Issuer or the Co-Issuers, as the case may be, and the Note Registrar each of the representations set forth herein and the Indenture required to be made upon transfer of any of the relevant Class of Notes (with modifications to such representations satisfactory to the Issuer to reflect the indirect nature of the interests of such beneficial owners in such Notes). If the purchaser is a Flow-Through Investment Vehicle, the purchaser represents and warrants that either (a) none of the beneficial owners of its securities are U.S. residents (within the meaning of the Investment Company Act) or (b) some or all of the beneficial owners of its securities are U.S. residents (within the meaning of the Investment Company Act) and each such beneficial owner has certified to the purchaser that it is a Qualified Purchaser. If the purchaser is a Flow-Through Investment Vehicle, the purchaser also represents and warrants that it has only one class of securities outstanding (other than any nominal share capital the distributions in respect of which are not correlated to or dependent upon distributions on, or the performance of, the Notes). (12) Certain Transfers Void. In the case of a purchaser of a Rule 144A Global Note, the purchaser agrees that (a) any sale, pledge or other transfer of a Note (or any interest therein) made in violation of the transfer restrictions contained in this Prospectus and in the Indenture, or made based upon any false or inaccurate representation made by the purchaser or a transferee to the Issuer, the Co-Issuer, the Trustee, the Note Registrar, the Administrator, will be void and of no force or effect and (b) none of the Issuer, the Co-Issuer, the Trustee, the Note Registrar and the Administrator has any obligation to recognize any sale, pledge or other transfer of a Note (or any interest therein) made in violation of any such transfer restriction or made based upon any such false or inaccurate representation (13) Reliance on Representations, etc. The purchaser acknowledges that the CoIssuers, the Trustee and the Initial Purchaser will rely upon the truth and accuracy of the foregoing acknowledgments, representations and agreements 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 Notes are no longer accurate, the purchaser will promptly notify the Co-Issuers and the Initial Purchaser. (14) Cayman Islands. The purchaser is not a member of the public in the Cayman Islands within the meaning of Section 194 of the Cayman Islands Companies Law (2003 Revision). (15) Legend for Notes. The purchaser understands and agrees that a legend in substantially the following form will be placed on each certificate representing any Notes: 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 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 118

RULE 144A UNDER THE SECURITIES ACT ("RULE 144A"), PURCHASING FOR ITS OWN ACCOUNT, OR FOR THE ACCOUNTS OF ONE OR MORE QUALIFIED INSTITUTIONAL BUYERS FOR WHICH IT IS ACTING AS A FIDUCIARY OR AGENT, 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 NON-U.S. PERSONS IN AN OFFSHORE TRANSACTION IN ACCORDANCE WITH RULE 903 OR 904 OF REGULATION S UNDER THE SECURITIES ACT ("REGULATION S"), (B) IN COMPLIANCE WITH THE CERTIFICATION AND OTHER REQUIREMENTS SPECIFIED IN THE INDENTURE AND (C) IN ACCORDANCE WITH ANY APPLICABLE SECURITIES LAWS OF ANY STATE OF THE UNITED STATES AND ANY OTHER APPLICABLE JURISDICTION. NEITHER OF THE CO-ISSUERS HAS 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 NEITHER THE TRUSTEE NOR THE NOTE REGISTRAR WILL RECOGNIZE ANY SUCH TRANSFER) IF (A) SUCH TRANSFER WOULD BE MADE TO A TRANSFEREE WHO IS A U.S. RESIDENT (WITHIN THE MEANING OF THE INVESTMENT COMPANY ACT) THAT IS NOT (I) A "QUALIFIED PURCHASER" AS DEFINED IN THE INVESTMENT COMPANY ACT OR ACTING FOR THE ACCOUNT OF A "QUALIFIED PURCHASER" OR (II) A COMPANY BENEFICIALLY OWNED EXCLUSIVELY BY ONE OR MORE "QUALIFIED PURCHASERS", (B) SUCH TRANSFER WOULD HAVE THE EFFECT OF REQUIRING EITHER OF THE CO-ISSUERS OR THE 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 INDENTURE) OR (D) SUCH TRANSFER WOULD BE MADE TO A PERSON WHO IS OTHERWISE UNABLE TO MAKE THE CERTIFICATIONS AND REPRESENTATIONS REQUIRED BY THE APPLICABLE TRANSFER CERTIFICATE (IF REQUIRED BY THE INDENTURE) ATTACHED AS AN EXHIBIT TO THE INDENTURE REFERRED TO HEREIN. ACCORDINGLY, AN INVESTOR IN THIS NOTE MUST BE PREPARED TO BEAR THE ECONOMIC RISK OF THE INVESTMENT FOR AN INDEFINITE PERIOD OF TIME. THE FAILURE TO PROVIDE THE ISSUER, THE TRUSTEE AND ANY PAYING AGENT WITH THE APPLICABLE U.S. FEDERAL INCOME TAX CERTIFICATIONS (GENERALLY, AN INTERNAL REVENUE SERVICE FORM W-9 (OR SUCCESSOR APPLICABLE FORM) IN THE CASE OF A PERSON THAT IS A "UNITED STATES PERSON" WITHIN THE MEANING OF SECTION 7701(A)(30) OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE") OR AN APPROPRIATE INTERNAL REVENUE SERVICE FORM W-8 (OR SUCCESSOR APPLICABLE FORM) IN THE CASE OF A PERSON THAT IS NOT A "UNITED STATES PERSON" WITHIN THE MEANING OF SECTION 7701(A)(30) OF THE CODE) MAY RESULT IN U.S. FEDERAL BACK-UP WITHHOLDING FROM PAYMENTS TO THE HOLDER IN RESPECT OF THIS NOTE. THIS NOTE MAY NOT BE TRANSFERRED TO AN "EMPLOYEE BENEFIT PLAN" AS DEFINED IN SECTION 3(3) OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED (ERISA) AND SUBJECT TO ERISA, A PLAN DESCRIBED IN SECTION 4975(e)(1) OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE") AND SUBJECT TO SECTION 4975 OF THE CODE, AN ENTITY WHICH IS DEEMED TO HOLD THE ASSETS OF ANY SUCH PLAN PURSUANT TO 29 C.F.R. SECTION 2510.3-101, WHICH PLAN OR ENTITY IS SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE, OR A GOVERNMENTAL, CHURCH, NON-U.S. OR OTHER PLAN WHICH IS SUBJECT TO ANY U.S. FEDERAL, STATE, LOCAL OR NON-U.S. LAW THAT IS SIMILAR TO THE PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE IF THE PURCHASE, HOLDING AND DISPOSITION OF THE NOTE WILL CONSTITUTE OR RESULT IN A PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE (OR, IN THE CASE OF A GOVERNMENTAL, CHURCH, NON- U.S. OR OTHER PLAN, A VIOLATION OF ANY SUBSTANTIALLY SIMILAR FEDERAL, STATE, LOCAL OR NON-U.S. LAW) FOR WHICH AN EXEMPTION IS NOT AVAILABLE. ANY PURPORTED TRANSFER OF THIS NOTE TO A PURCHASER OR SUBSEQUENT TRANSFEREE THAT DOES NOT COMPLY WITH THE ABOVE REQUIREMENTS SHALL BE NULL AND VOID AB INITIO.

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The legend set forth on any Rule 144A Global Note representing Class A Notes, Class B Notes, Class C Notes, Class D Notes and Class E Notes will also have the following: IN ADDITION, EACH TRANSFEREE OF A NOTE (EXCEPT WITH RESPECT TO A TRANSFER PURSUANT TO REGULATION S) WILL BE DEEMED TO REPRESENT AT THE TIME OF TRANSFER THAT THE TRANSFEREE IS A QUALIFIED INSTITUTIONAL BUYER AND (I) THAT IT IS A QUALIFIED PURCHASER, (II) THAT IT IS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE NOTES, UNLESS ALL OF ITS BENEFICIAL OWNERS ARE QUALIFIED PURCHASERS, (III) THAT IT IS NOT A DEALER DESCRIBED IN PARAGRAPH (a)(1)(ii) OF RULE 144A UNLESS SUCH TRANSFEREE OWNS AND INVESTS ON A DISCRETIONARY BASIS AT LEAST U.S.$25 MILLION IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF SUCH DEALER, (IV) THAT IT IS NOT A PLAN REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (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 PLAN, UNLESS INVESTMENT DECISIONS ARE MADE SOLELY BY THE FIDUCIARY, TRUSTEE OR SPONSOR OF SUCH PLAN, (V) THAT IT AND EACH ACCOUNT FOR WHICH IT IS PURCHASING IS PURCHASING NOTES IN AT LEAST THE MINIMUM DENOMINATION AND (VI) THAT IT WILL PROVIDE WRITTEN NOTICE OF THE FOREGOING AND ANY OTHER APPLICABLE TRANSFER RESTRICTIONS. THE INDENTURE PROVIDES THAT IF, NOTWITHSTANDING THE RESTRICTIONS ON TRANSFER CONTAINED THEREIN, THE ISSUER DETERMINES ANY BENEFICIAL OWNER OR HOLDER OF A NOTE (OTHER THAN A NOTE TRANSFERRED IN RELIANCE ON REGULATION S) IS NOT A QUALIFIED INSTITUTIONAL BUYER AND A QUALIFIED PURCHASER, THE ISSUER WILL REQUIRE THAT SUCH BENEFICIAL OWNER OR HOLDER SELL ALL OF ITS RIGHT TITLE AND INTEREST IN SUCH NOTE TO A PERSON WHO IS SO QUALIFIED, WITH SUCH SALE TO BE EFFECTED WITHIN 30 DAYS AFTER NOTICE OF SUCH SALE REQUIREMENT IS GIVEN. IF SUCH SALE IS NOT EFFECTED WITHIN SUCH 30 DAYS, UPON WRITTEN DIRECTION FROM THE ISSUER, AN INVESTMENT BANK SELECTED BY THE TRUSTEE SHALL CONDUCT A COMMERCIALLY REASONABLE SALE OF SUCH NOTE TO A PERSON WHO DOES SO QUALIFY AND PENDING TRANSFER, NO FURTHER PAYMENTS WILL BE MADE IN RESPECT OF SUCH NOTE OR ANY BENEFICIAL INTEREST THEREIN. The legend set forth on any Class A-1 Note will also have the following: IN ADDITION TO THE OTHER CONDITIONS RELATING TO THE TRANSFER OF THE NOTES, THE CLASS A-1 NOTES MAY ONLY BE TRANSFERRED (1) UPON DELIVERY BY THE TRANSFEREE OF A DULY EXECUTED ASSIGNMENT AND ACCEPTANCE LETTER (IN THE FORM ATTACHED TO THE CLASS A-1 NOTE PURCHASE AGREEMENT) AND (2) IF THE TRANSFEREE SATISFIES THE CLASS A-1 U NOTEHOLDER RATING REQUIREMENTS.

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LISTING AND GENERAL INFORMATION For fourteen days following the listing of the Notes on the Irish Stock Exchange, electronic copies of the Indenture and material contracts will be available for inspection and will be obtainable at the offices of Deutsche Bank (Luxembourg) S.A. (in such capacity, the "Listing Agent") in Ireland, and at the registered office of the Issuer, where electronic copies thereof may be obtained upon request. Application will be made to list the Notes on the Irish Stock Exchange. For so long as the lifetime of this Prospectus the Issuer will make available for inspection in electronic form at the registered office of the Issuer, and at the offices of the Irish Paying Agent, the Issuer Charter, the articles of incorporation of the Co-Issuer, the declaration of trust, the Deed of Covenant of the Issuer, the Credit Default Swaps and the Indenture. The issuance of the Notes will occur on January 20, 2006 (the "Issue Date"). The issuance of the Notes will be authorized by the Co-Issuers pursuant to the minutes of the CoIssuers to be dated on or before the Closing Date. The Co-Issuers are not required under the terms of the Indenture to produce or furnish any financial statements, and do not intend to publish any financial statements; provided, however, that, as long as any of the Class of Notes are outstanding, should either of the Co-Issuers produce financial statements, copies thereof will be available at the offices of the Listing Agent. The Issuer is required to provide written confirmation to the Trustee, on an annual basis, that no Event of Default or other matter that is required to be brought to the Trustee's attention has occurred. Each of the Co-Issuers represents that there has been no material adverse change in its financial position since its date of incorporation. Each of the Co-Issuers is not involved in any litigation, arbitration or governmental proceedings relating to claims or amounts which are material in the context of the issue of the Notes, nor, so far as either Co-Issuer is aware, is any such litigation or arbitration involving it pending or threatened. The Issuer is a special purpose entity. The Monthly Report, the Note Valuation Report and the annual report of a firm of independent accountants of national reputation shall be prepared in accordance with the Indenture and may be obtained in Ireland at the office of the Listing Agent. In connection with the listing, a copy of this Irish Listing Circular and the material contracts have been filed with the Registrar of Companies of Ireland pursuant to Regulation 38(1)(b) of the Prospectus (Directive 2003/71/EC) Regulations, 2005. The table below lists the CUSIP (CINS) Numbers and the International Securities Identification Numbers (ISIN) for Notes represented by Regulation S Global Notes or by Rule 144A Global Notes. Regulation S Global Notes Class A-1 F Notes Class A-1 U Notes Class A-2 Notes Class B Notes Class C Notes Class D Notes Class E Notes CUSIP G84466 AB 0 G84466 AC 8 G84466 AD 6 G84466 AE 4 G84466 AF 1 G84466 AG 9 G84466 AH 7 ISIN USG84466AB00 USG84466AC82 USG84466AD65 USG84466AE49 USG84466AF14 USG84466AG96 USG84466AH79 Rule 144A Global Notes CUSIP 85768T AB 5 85768T AC 3 85768T AD 1 85768T AE 9 85768T AF 6 85768T AG 4 85768T AH 2 ISIN US85768TAB52 US85768TAC36 US85768TAD19 US85768TAE91 US85768TAF66 US85768TAG40 US85768TAH23

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LEGAL MATTERS The validity of the Notes and certain other legal matters, including certain matters relating to certain United States federal income tax consequences of the ownership of the Notes, will be passed upon for the Issuer and the Initial Purchaser by McKee Nelson LLP. Certain matters with respect to Cayman Islands corporate law and tax law will be passed upon for the Issuer by Walkers.

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GLOSSARY OF DEFINED TERMS "Auction Redemption Date" means the Payment Date immediately following an Auction Date with respect to which a successful Auction has occurred. "Accounts" means, collectively, the Closing Expense Account, the Collateral Account, the Collection Account, the Payment Account and the Credit Default Swap Issuer Account, each of which may include any number of sub-accounts the Trustee deems necessary or appropriate. "Administrative Expenses" means, the fees and expenses (excluding indemnities and any legal expenses relating thereto) payable to (i) the Trustee under the Indenture and the Class A-1 Note Purchase Agreement, (ii) the Class F Subordinated Note Paying Agent pursuant to the Class F Subordinated Note Paying Agency Agreement, (iii) the Collateral Administrator pursuant to the Collateral Administration Agreement and (iv) the Administrator pursuant to the Administration Agreement; it being agreed that such Administrative Expenses shall be paid pursuant to the Priority of Payments in the order set forth in this definition. "Affiliate" means, in relation to any specified person, any other person controlled, directly or indirectly, by the specified person, any other person that controls, directly or indirectly, the specified person or any other person directly or indirectly under common control with the specified person. 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 having ordinary voting power for the election of directors 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 the Issuer, Affiliate should be deemed not to include Deutsche Bank (Cayman) Limited or any other special purpose companies which it controls. "Aggregate Attributable Amount" means, with respect to any Credit Default Swap referencing a specified Reference Obligation or any Delivered Obligation and obligors incorporated or organized under the laws of any specified jurisdiction or jurisdictions, the product of (i) the Aggregate Principal Balance of such Credit Default Swap or Delivered Obligation multiplied by (ii) the aggregate par amount of collateral securing the related Reference Obligation or such Delivered Obligation issued by obligors so organized divided by (iii) the aggregate par amount of all collateral securing the related Reference Obligation or such Delivered Obligation. "Aggregate Outstanding Amount" means, when used with respect to any of the Notes (other than the Class A-1 Notes), the aggregate principal amount of such Notes Outstanding at the date of determination, and when used with respect to the Class F Subordinated Notes, $21,000,000 minus the aggregate amount of Principal Proceeds distributed to the holders of the Class F Subordinated Notes prior to such time. When used with respect to the Class A-1 F Notes, the aggregate principal amount of such Notes Outstanding, which for the avoidance of doubt shall be $0 on the Closing Date, and shall increase in an amount equal to the aggregate Incremental Fundings and shall decrease in an amount equal to the aggregate principal payments of the Class A-1 F Notes pursuant to "Description of the NotesPriority of Payments" and "Description of the NotesEvents of Default". When used with respect to the Class A-1 U Notes, the Class A-1 Unfunded Amount as of any date of determination. "Aggregate Principal Balance" means, when used with respect to one or more Credit Default Swaps or Delivered Obligations, the sum of the Principal Balances of such Credit Default Swaps or Delivered Obligations on the date of determination. When used with respect to Principal Proceeds, the aggregate Balance of the Eligible Investments in the Collection Account representing Principal Proceeds on the date of determination. "Applicable Recovery Rate" means, with respect to any Credit Default Swap or Delivered Obligation on any Measurement Date, the lesser of the Moody's Applicable Recovery Rate and the Standard & Poor's Applicable Recovery Rate corresponding to the rating assigned by Moodys or Standard & Poor's, as applicable, to the senior-most Class of Notes then rated by Moodys or Standard & Poor's, as applicable. "Asset-Backed Security" means any obligation that is either (i) a registered security that is primarily serviced by the cash flows of a discrete pool of receivables or other financial assets either 123

fixed or revolving, and that, by its terms converts into cash within a finite period of time, plus any rights or other assets designed to assure the servicing or timely distribution of proceeds to the holders thereof or (ii) a registered "asset-backed security" as such term may be defined from time to time in the "General Instructions to Form S-3 Registration Statement" promulgated under the Securities Act. "Average Life" means on any Measurement Date with respect to any Credit Default Swap or Delivered Obligation, as applicable, the quotient obtained by dividing (i) the sum of the products of (a) the number of years (rounded to the nearest one tenth thereof) from such Measurement Date to the respective dates of each successive distribution of principal of the referenced Reference Obligation or Delivered Obligation (other than with respect to Defaulted Assets) (assuming that (A) no collateral defaults or is sold, (B) prepayment of any Reference Obligation or Delivered Obligation during any month occurs at a rate equal to the rate of average prepayment during the period of six consecutive months immediately preceding the current month (or, with respect to any Reference Obligation or Delivered Obligation that has not been outstanding for at least six consecutive months, at the "pricing speed" rate of prepayment assumed at the time of issuance of such Reference Obligation or Delivered Obligation), (C) any clean-up call, auction call or similar redemption of the Reference Obligation or Delivered Obligation occurs when economically advantageous to the Person or Persons entitled to exercise such call or redemption in accordance with its respective terms and (D) no other optional redemption of any Reference Obligation or Delivered Obligation will occur except for those that have actually occurred as to which irrevocable notice thereof shall have been given), and (b) the respective amounts of principal of such distributions by (ii) the sum of all successive distributions of principal on such Reference Obligation or Delivered Obligation (other than with respect to Defaulted Assets). "Balance" means, on any date of determination, with respect to Eligible Investments carried in or credited to any of the Accounts, (i) the aggregate of face amount or current balance, as the case may be, of cash, demand deposits, time deposits, certificates of deposit, bankers' acceptances, federal funds and money market accounts, (ii) the aggregate principal amount of interest-bearing government (including government agency) and corporate securities, and (iii) the aggregate purchase price of non-interest-bearing government (including government agency) and corporate securities, commercial paper and repurchase agreements. "Calculation Amount" means, with respect to any Delivered Obligation or any Credit Default Swap referencing a Reference Obligation, as applicable, that is a Defaulted Asset or Deferred Interest PIK Obligation at any time, the product of (a) the lesser of (i) the Market Value (expressed as a percentage) of such Defaulted Asset or Deferred Interest PIK Obligation and (ii) the Applicable Recovery Rate and (b) the Principal Balance of such Defaulted Asset or Deferred Interest PIK Obligation, (which Principal Balance of such Deferred Interest PIK Obligation shall not include any deferred interest). "CDO Securities" means CDO Domestic Corporate Debt Securities and CDO Structured Product Securities. "Class C Deferred Interest" means, except to the extent classified as "Defaulted Interest", any interest on the Class C Notes that accrued during an Interest Period that is not paid on the Payment Date immediately following such Interest Period by operation of the Priority of Payments. "Class D Deferred Interest" means, except to the extent classified as "Defaulted Interest", any interest on the Class D Notes that accrued during an Interest Period that is not paid on the Payment Date immediately following such Interest Period by operation of the Priority of Payments. "Class E Deferred Interest" means, except to the extent classified as "Defaulted Interest", any interest on the Class E Notes that accrued during an Interest Period that is not paid on the Payment Date immediately following such Interest Period by operation of the Priority of Payments. "Class F Subordinated Note Documents" means the Class F Subordinated Note Paying Agency Agreement, the Deed of Covenant and the certain resolutions adopted at the meeting of the board of directors of the Issuer that is expected to occur on or prior to the Closing Date. "Closing Expense Deposit" means the amount (in immediately available funds) of at least U.S.$1,359,500 being the amount of the net proceeds resulting from the issuance of the Notes 124

allocated by the Co-Issuers to pay expenses and disbursements incurred in connection with the consummation of the Offering and the other transactions related thereto, which amount the Co-Issuers shall cause to be deposited to the Closing Expense Account on the Closing Date. "Collateral Administration Agreement" means the Collateral Administration Agreement, dated as of Closing Date, between the Issuer and the Collateral Administrator. "Collateral Administrator" means LaSalle Bank National Association, a national banking association, and its successors and any entity resulting from or surviving any consolidation or merger to which it or its successors may be a party and any successor collateral administrator at the time serving as successor collateral administrator hereunder. "Collection Period" means, with respect to any Payment Date, the period commencing immediately following the fifth Business Day prior to the preceding Payment Date (or on the Closing Date, in the case of the Collection Period relating to the first Payment Date) and ending on (and including) the fifth Business Day prior to such Payment Date; provided that, in the case of the Collection Period that is applicable to the Payment Date relating to the Final Maturity Date of any Class of Notes, such Collection Period shall end on and include the day preceding the Final Maturity Date. "Consumer ABS Securities" means Automobile Securities, Car Rental Fleet Securities, Credit Card Securities and Student Loan Securities. "Controlling Class" means the Class A-1 Notes or, if there are no Class A-1 Notes Outstanding, the Class A-2 Notes or, if there are no Class A-1 Notes or Class A-2 Notes Outstanding, the Class B Notes or, if there are no Class A Notes or Class B Notes Outstanding, the Class C Notes or, if there are no Class A Notes, Class B Notes or Class C Notes Outstanding, the Class D Notes or, if there are no Class A Notes, Class B Notes, Class C Notes or Class D Notes Outstanding, the Class E Notes. "Corporate Trust Office" means with respect to the Trustee, the principal corporate trust office of the Trustee, which is currently located at 135 South LaSalle Street, Suite 1511, Chicago, Illinois 60603, Attention: CDO Trust Services Group START 2005-C Ltd., or at such other address as the Trustee may designate from time to time by notice to the holders of Notes and the Co-Issuers, or the principal corporate trust office of any successor trustee. "Coverage Tests" means the Class A/B Coverage Tests, the Class C Coverage Tests, the Class D Coverage Tests and the Class E Coverage Tests. "Cumulative Interest Amount" means, with respect to any Payment Date and (i) the relevant Class of Notes (other than the Class A-1 Notes), (a) the Periodic Interest due on such Class of Notes with respect to such Payment Date, (b) the applicable Defaulted Interest, if any, for such Class of Notes for such Payment Date, (c) the aggregate amount of interest accrued, at the applicable Note Interest Rate during the related Interest Period, on any unpaid Defaulted Interest, if any, relating to such Class of Notes and (d) the aggregate amount of interest accrued, at the applicable Note Interest Rate during the related Interest Period, on any unpaid Class C Deferred Interest, Class D Deferred Interest or Class E Deferred Interest, if any, relating to such Class of Notes, as applicable (excluding, for the avoidance of doubt, any Class C Deferred Interest, Class D Deferred Interest or Class E Deferred Interest) and (ii) the Class A-1 Notes, the Class A-1 Cumulative Interest Amount. "Defaulted Asset" means any (a) Credit Default Swap referencing a Reference Obligation or (b) Delivered Obligation: (i) with respect to which (A) the issuer thereof has defaulted in the payment of principal or interest or (B) there has occurred and is continuing a default or an event of default (other than a payment default) under such issuers Underlying Instruments, which default or event of default entitles the holders thereof or the holders of any securities of the issuer that are pari passu or senior in priority to the Reference Obligation or Delivered Obligation, as applicable, with the giving of notice or the passage of time or both, to accelerate the maturity of all or a portion of its principal balance and such holders have voted to accelerate the maturity of all or a portion of its principal balance; 125

(ii)

that is rated "Ca" or lower by Moody's;

(iii) that is rated "CC", "D", "SD" or lower or such rating has been subsequently withdrawn by Standard & Poor's; or (iv) with respect to which any bankruptcy (other than an involuntary bankruptcy), insolvency or receivership proceeding has been initiated in connection with the issuer thereof, or with respect to which an involuntary bankruptcy proceeding has been initiated and such proceeding has not been stayed or dismissed for thirty days, or there has been effected any distressed exchange or other debt restructuring pursuant to which the issuer thereof has offered the debt holders a new security or package of securities that amounts to a diminished financial obligation or has the purpose of helping such issuer to avoid default; provided that a Reference Obligation or Delivered Obligation, as applicable, will not constitute a "Defaulted Asset" if, with respect to such Reference Obligation or such Delivered Obligation, such default or event of default is cured, including the full payment of all current and past due interest and scheduled principal payable under its Underlying Instruments. "Defaulted Interest" means with respect to the Class A Notes and the Class B Notes (or in respect of any Class C Note after the Class A Notes and the Class B Notes have been paid in full, or in respect of any Class D Note, after the Class A Notes, the Class B Notes and the Class C Notes have been paid in full, or in respect of any Class E Note, after the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes have been paid in full) and any Payment Date, any shortfall or shortfalls in the payment of interest due on such Class of Notes with respect to any preceding Payment Date or Payment Dates, net of all Defaulted Interest or Class C Deferred Interest, Class D Deferred Interest or Class E Deferred Interest (as applicable) paid, if any, with respect to such Class of Notes prior to such Payment Date. "Deferred Interest PIK Obligation" means a PIK Obligation with respect to which payment of interest either in whole or in part, has been deferred in a cumulative amount equal to (a) if such PIK Obligation has a Moody's Rating of at least "Baa3", the amount of interest payable in respect of the lesser of (x) two payment periods and (y) a period of one year; or (b) if such PIK Obligation has a Moody's Rating of below "Baa3", the amount of interest payable in respect of the lesser of (x) one payment period and (y) a period of six months, but only until such time as payment of interest on such PIK Obligation has resumed and all capitalized and deferred interest and scheduled principal has been paid in cash in accordance with the terms of the relevant Underlying Instruments. "Determination Date" means the last Business Day of a Collection Period. "Eligible Country" means Australia, Canada, Germany, France, Ireland, the Netherlands, New Zealand, Sweden, Switzerland and the United Kingdom; provided that, on the Closing Date any Credit Default Swap referencing a Reference Obligation with obligors incorporated or organized under the laws of an Eligible Country, such country has a foreign currency credit rating of at least "AA" by Standard & Poor's and "Aa2" from Moody's. "Eligible Investments" means: (i) cash;

(ii) debt securities that at the time of investment by the Issuer are rated (x) except in the case of commercial paper, "AAA" by Standard & Poors and "Aaa" by Moody's or (y) in the case of commercial paper, at least "A-1+" by Standard & Poors and at least "P-1" by Moody's; (iii) demand and time deposits in, certificates of deposit of, bankers' acceptances with a maturity no greater than 183 days issued by, or federal funds sold by, any depository institution or trust company incorporated under the laws of the United States of America 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 a depository institution in a holding company system, the commercial paper or debt obligations of 126

such holding company) at the time of such investment or contractual commitment providing for such investment are rated at least "A-1+" (or at least "A-1" by Standard & Poor's so long as such instrument matures the following Business Day or matures on a daily basis) by Standard & Poor's and at least "Aa2" and "P-1" by Moody's (or at least "A1" and "P-1" by Moody's so long as such instrument matures the following Business Day or matures on a daily basis); (iv) certificates of deposit or time deposits with a maturity no greater than 183 days issued by banks or bank branches organized under the laws of a jurisdiction outside the United States the short-term debt obligations of which are, at the time of investment by the Issuer in such certificates of deposit or time deposits, rated at least "A-1+" by Standard & Poor's and the long-term and short-term debt obligations of which are, at the time of investment by the Issuer in such certificates of deposit or time deposits, at least "Aa2" and "P-1", respectively, by Moody's; (v) any overnight demand deposits in, or overnight banker's acceptances issued, or federal funds sold, by, any bank or trust company organized under the laws of a jurisdiction outside the United States the short-term obligations of which are, at the time of investment by the Issuer in any such instrument, rated at least "A-1+" by Standard & Poors and at least "P-1" by Moody's; (vi) any guaranteed investment contract, funding agreement, investment agreement or other similar agreement from, or a note or a certificate backed by any guaranteed investment contract, funding agreement, investment agreement or other similar agreement from, a bank, insurance company or other corporation or entity that is not an Affiliate of the Bank and, that at the time of the initial investment, has, or its related guarantor for such agreements has, a long-term unsecured obligation rating of "AAA" by Standard & Poors and "Aaa" by Moody's; provided that any assignment by the Issuer's counterparty of the obligations under any such guaranteed investment contract, funding agreement, investment agreement or other agreement that is required under the terms of such agreement as a result of a downgrade of the counterparty's or related guarantor's credit rating shall not be required to satisfy the ratings requirement under this clause (vi) with respect to the replacement counterparty; and (vii) off-shore money market funds having, at the time of such investment, credit ratings of not less than "MR1+" and "AAA" by Moodys and not less than "AAAm" or "AAAm-G" by Standard & Poors, provided, however, that (1) each Eligible Investment must be denominated in U.S. dollars, (2) each Eligible Investment on deposit in the Collection Account must mature before each Payment Date and each Eligible Investment on deposit in the Collateral Account must mature before each Fixed Rate Payer Payment Date, or each such Eligible Investment on deposit in either the Collection Account or the Collateral Account must have an unconditional demand, put or redemption right exercisable by the Issuer which permits the Issuer to redeem all or a portion of the outstanding principal balance of such Eligible Investment (or, in the case of a guaranteed investment contract, funding agreement, investment agreement or other similar agreement, it is terminable or redeemable by the Issuer in whole or in part) before each date on which the Trustee is required to make a withdrawal from the Collateral Account under the terms of the Indenture, including to make payments to the Noteholders and to the Credit Default Swap Counterparty, without penalty (other than an Optional Redemption Call Withdrawal Fee with respect to the Investment Agreement), (3) no Eligible Investment shall be a security whose repayment is, subject to substantial non-credit related risk, (4) no Eligible Investment shall be purchased for a price of greater than par, (5) no Eligible Investment shall be an interest-only security, (6) no Eligible Investment shall be a security the rating of which from Standard & Poor's include the subscript "p", "pi", "q", "r" or "t", (7) no Eligible Investment shall be subject to an offer, (8) no Eligible Investment shall be a mortgagebacked security, (9) no Eligible Investment shall be a floating rate security whose interest rate is inversely related to an interest rate index, (10) payments on each Eligible Investment are not subject to withholding taxes imposed by any jurisdiction or the payor is required to make "gross-up" payments that indemnify the Issuer for the full amount of such withholding taxes such that the net amount actually received by the Issuer will equal the full amount the Issuer would have received had no such withholding been required (11) with respect to Eligible Investments described in clauses (iii) and (iv) above, such Eligible Investments shall not exceed 20% of the aggregate Balance of the Eligible Investments (other than Eligible Investments issued by the Trustee hereunder for so long as the debt obligations of the Trustee are rated at least "A1" and "P-1" by Moody's and "A-1" by Standard & Poor's) and (12) that at the time of investment by the Issuer in an Eligible Investment such Eligible Investment is not subject to credit watch 127

negative for possible downgrade; and provided, further, that the Credit Default Swap Counterparty shall have the right prior to the Credit Default Swap Termination Date, in its sole and absolute discretion, to direct the Issuer to reinvest any principal collections received by the Issuer on Eligible Investments in any additional investment meeting the criteria set forth in the definition of "Eligible Investment." Upon direction by the Credit Default Swap Counterparty, the Issuer shall direct the Trustee to purchase and credit to the Collateral Account such additional Eligible Investment. "Eligible SPV Jurisdiction" means the Bahamas, the British Virgin Islands, the Cayman Islands, Bermuda, Luxembourg, the Netherlands Antilles, the Channel Islands, Jersey or Guernsey, provided that the related obligor or issuer is a special purpose entity. "Emerging Market Issuer": means a sovereign or non-sovereign issuer of an AssetBacked Security organized or incorporated 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 and "AA" by Standard & Poor's; provided that the Trustee is not barred from dealing with such sovereign or non-sovereign issuer pursuant to the Office of Foreign Assets Control regulations or any other applicable regulations and provided further that an issuer of an Asset-Backed Security organized or incorporated in an Eligible SPV Jurisdiction or an Eligible Country shall not be an Emerging Market Issuer for purposes of this definition so long as the assets of such issuer are not primarily organized or incorporated 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 and "AA" by Standard & Poor's. "Expense Payment Instruction" means a written instruction from the Credit Default Swap Counterparty to the Trustee directing the Trustee to disburse funds on deposit in the Closing Expense Account for the payment of, or to hold funds on deposit in the Closing Expense Account pending the anticipated payment of, expenses or disbursements incurred in connection with the consummation of the Offering and the other transactions related thereto. Each Expense Payment Instruction shall specify the amount and the date of the disbursement or anticipated payment to be made from the Closing Expense Account the Person to whom such disbursement should be made, and the method of payment. "Face Amount" means with respect to the Class F Subordinated Notes, $21,000,000. "Final Payment Date" means the earlier of (i) if any Credit Default Swap Termination Date has not occurred on or before the Final Maturity Date, the last Credit Default Swap Termination Date occurring with respect to the Credit Default Swap Portfolio after the Final Maturity Date, or (ii) if all Credit Default Swap Termination Dates have occurred on or before the Final Maturity Date, the Final Maturity Date; provided, however, that the Final Payment Date shall not be later than the Stated Maturity of the Notes. "Financed Amount" means any upfront transaction costs incurred by the Issuer and due on the Closing Date, including, but not limited to, structuring and placement fees, attorney's fees, fees of the Trustee, Rating Agencies, and accountants and the net amount of upfront payments owing to the Credit Default Swap Counterparty under the Credit Default Swaps, which shall be financed by Deutsche Bank AG. The outstanding principal amount of the Financed Amount on the Closing Date shall be $9,500,000. "Financed Amount Payment" means with respect to each Payment Date, Redemption Date or Auction Redemption Date, an amount equal to the sum of (i) accrued and unpaid interest with respect to such Payment Date, Redemption Date or Auction Redemption Date, as applicable, on the outstanding principal amount of the Financed Amount as of the first day of the related Interest Period at a rate equal to LIBOR plus 0.25% per annum (calculated on the basis of a 360-day year and the actual number of days elapsed during each Interest Period) and (ii) either (x) with respect to a Payment Date, principal in an amount equal to the "Financed Amount Principal Payment Amount" shown opposite the relevant Payment Date in the table below (as may be adjusted as described in "The Collateral Account, the Collection Account, the Payment Account, the Closing Expense Account and the Credit Default Swap Issuer AccountClosing Expense Account") plus any Financed Amount Principal Payment Amounts that were required to be paid but were not paid on a prior Payment Date or (y) with respect to the Final Maturity Date, the outstanding principal amount of the Financed Amount. 128

Payment Date August 2006 November 2006 February 2007 May 2007 August 2007 November 2007 February 2008 May 2008 August 2008 November 2008 February 2009 May 2009 August 2009 November 2009 February 2010 May 2010 August 2010

Financed Amount Principal Payment Amount* 840,000 920,000 880,000 870,000 770,000 670,000 580,000 670,000 580,000 480,000 480,000 480,000 340,000 290,000 290,000 240,000 120,000

* The Financed Principal Payment Amount may be subject to adjustment, as described in "The Collateral Account, the Collection Account, the Payment Account, the Closing Expense Account and the Credit Default Swap Issuer AccountClosing Expense Account". "Floating Rate Security" means a Reference Obligation that bears interest at a floating rate equal to a spread over LIBOR. "Interest Only Security" means any Asset-Backed Security that does not provide for the repayment of a stated principal amount in one or more installments. "Liquidation Proceeds" means any principal proceeds received from the sale of a Delivered Obligation. "Margin Stock" means "margin stock" as defined under Regulations T, U and X issued by the Board of Governors of the Federal Reserve System. "Market Value" means, for any Credit Default Swap referencing a Reference Obligation, any Eligible Investment or any Delivered Obligation on any date of determination, (a) the lowest of the bid prices for the principal balance of such Reference Obligation, Eligible Investment or Delivered Obligation quoted by two independent financial institutions (so long as Deutsche Bank Securities Inc. or one of its Affiliates is not one of the bidding institutions) or (b) the weighted average of the bid prices for the principal balance of such Reference Obligation, Eligible Investment or Delivered Obligation quoted by at least three independent financial institutions independent from one another or independent market makers independent from one another making a market in the Reference Obligations, Eligible Investments or Delivered Obligations; provided that if only one such bid can be obtained, the market value shall be such bid. "Measurement Date" means any of the following: (i) the Closing Date, (ii) each Determination Date, (iii) with respect to the Monthly Report, the last day of the preceding calendar month and (iv) with reasonable notice to the Issuer and the Trustee, any other Business Day that any Rating Agency or the holders of more than 50% of the Aggregate Outstanding Amount of any Class of Notes or the Class F Subordinated Notes requests be a "Measurement Date". "Moodys Rating" has the meaning set forth in Annex B hereto.

129

"Net Outstanding Swap Balance" means, on any Measurement Date, an amount equal to: (i) Swaps; plus the Aggregate Principal Balance on such Measurement Date of all Credit Default

(ii) the Aggregate Principal Balance of all Principal Proceeds on deposit in the Principal Collection Subaccount on such Measurement Date; plus (iii) the Aggregate Principal Balance of all Delivered Obligations on such Measurement Date; plus (iv) the excess of (a) the sum of the Class A-1 Unfunded Amount and the amount on deposit in the Collateral Account (other than interest accrued on the Eligible Investments deposited in the Collateral Account), over (b) the Aggregate Principal Balance on such Measurement Date of all Credit Default Swaps; minus (v) the Aggregate Principal Balance on such Measurement Date of all Delivered Obligations and Credit Default Swaps referencing Reference Obligations that are Defaulted Assets or Deferred Interest PIK Obligations; plus (vi) for each Delivered Obligation and Credit Default Swap referencing a Reference Obligation that is a Defaulted Asset or Deferred Interest PIK Obligation, the Calculation Amount with respect to such Delivered Obligation or Credit Default Swap, as applicable; minus (vii) either:

(a) solely for purposes of the calculation of the Class A/B Overcollateralization Ratio, the Class C Overcollateralization Ratio, the Class D Overcollateralization Ratio and the Class E Overcollateralization Ratio, the greater of the amounts calculated pursuant to subclause (1) and subclause (2) below; or (b) solely for purposes of the calculation of the Sequential Overcollateralization Ratio, the greater of the amounts calculated pursuant to subclause (1) and subclause (3) below; provided that calculations under this clause (vii) shall be determined as follows: (1) an amount equal to the sum of:

(A) 10% of the excess of (x) the Aggregate Principal Balance of Credit Default Swaps and Delivered Obligations (other than Defaulted Assets and Deferred Interest PIK Obligations) with a Moody's Rating of "Ba1", "Ba2" or "Ba3" over (y) 10% of the sum of the Aggregate Principal Balance of all Credit Default Swaps, Delivered Obligations and Principal Proceeds and amounts calculated pursuant to clause (iv) above; plus (B) 20% of the excess of (x) the Aggregate Principal Balance of Credit Default Swaps and Delivered Obligations (other than Defaulted Assets and Deferred Interest PIK Obligations) with a Moody's Rating of "B1", "B2" or "B3" over (y) 5% of the sum of the Aggregate Principal Balance of all Credit Default Swaps, Delivered Obligations and Principal Proceeds and amounts calculated pursuant to clause (iv) above; plus (C) 50% of the Aggregate Principal Balance of Credit Default Swaps and Delivered Obligations (other than Defaulted Assets and Deferred Interest PIK Obligations) with a Moody's Rating of "Caa1", "Caa2" or "Caa3"; it being understood that the reductions contemplated by clauses (A), (B) and (C) immediately above shall be without duplication; or

130

(2)

an amount equal to the sum of,

(A) 10% of the excess of (x) the Aggregate Principal Balance of Credit Default Swaps and Delivered Obligations (other than Defaulted Assets and Deferred Interest PIK Obligations) with a Standard & Poor's Rating of "BB+", "BB" or "BB-" over (y) 5% of the sum of the Aggregate Principal Balance of all Credit Default Swaps, Delivered Obligations and Principal Proceeds and amounts calculated pursuant to clause (iv) above; plus (B) 20% of the excess of (x) the Aggregate Principal Balance of Credit Default Swaps and Delivered Obligations (other than Defaulted Assets and Deferred Interest PIK Obligations) with a Standard & Poor's Rating of "B+", "B" or "B-" over (y) 5% of the sum of the Aggregate Principal Balance of all Credit Default Swaps, Delivered Obligations and Principal Proceeds and amounts calculated pursuant to clause (iv) above; plus (C) 30% of the Aggregate Principal Balance of Credit Default Swaps and Delivered Obligations (other than Defaulted Assets and Deferred Interest PIK Obligations) with a Standard & Poor's Rating of "CCC+", "CCC" or "CCC-"; it being understood that the reductions contemplated by clauses (A), (B) and (C) immediately above shall be without duplication; or (3) an amount equal to the sum of,

(A) 10% of the Aggregate Principal Balance of Credit Default Swaps and Delivered Obligations (other than Defaulted Assets and Deferred Interest PIK Obligations) with a Standard & Poor's Rating of "BB+", "BB" or "BB-"; plus (B) 30% of the Aggregate Principal Balance of Credit Default Swaps and Delivered Obligations (other than Defaulted Assets and Deferred Interest PIK Obligations) with a Standard & Poor's Rating of "B+", "B" or "B-"; plus (C) 50% of the Aggregate Principal Balance of Credit Default Swaps and Delivered Obligations (other than Defaulted Assets and Deferred Interest PIK Obligations) with a Standard & Poor's Rating of "CCC+", "CCC" or "CCC-"; it being understood that the reductions contemplated by clauses (A), (B) and (C) immediately above shall be without duplication. "Note Interest Rate" means the Class A-2 Note interest rate, Class B Note interest rate, the Class C Note interest rate, the Class D Note interest rate or the Class E Note interest rate, as applicable. With respect to the Class A-1 U Notes, the Class A-1 U Commitment Rate and with respect to the Class A-1 F Notes, the Class A-1 F Note Interest Rate. "Notional Amount" means, with respect to a Credit Default Swap, the Reference Obligation Notional Amount. "Optional Redemption Call Withdrawal Fee" has the meaning specified in the Investment Agreement. "Outstanding" means, with respect to the Notes, as of the date of determination, all Notes theretofore authenticated and delivered pursuant to the Indenture except: (1) Notes theretofore canceled by the Note Registrar or delivered to the Note Registrar for cancellation; 131

(2)

Notes or portions thereof for whose payment or redemption money in the necessary amount has been theretofore irrevocably deposited with the Trustee or any Paying Agent in trust for the holders of such Notes; provided that, if such Notes or portions thereof are to be redeemed, notice of such redemption has been duly given pursuant to the Indenture or provision therefor satisfactory to the Trustee has been made; provided, further, that, until paid, such Notes or portions thereof shall continue to be deemed to be Outstanding for purposes of any noteholder vote, consent or waiver; Notes in exchange for or in lieu of which other Notes have been authenticated and delivered pursuant to the Indenture, unless proof satisfactory to the Trustee is presented that any such Notes are held by a protected purchaser; and Notes alleged to have been destroyed, lost or stolen for which replacement Notes have been issued as provided in the Indenture;

(3)

(4)

provided that, (i) in determining whether the holders of the requisite Aggregate Outstanding Amount have given any request, demand, authorization, direction, notice, consent or waiver in the case of an Event of Default hereunder, Notes owned by the Issuer, the Co-Issuer, the Trustee, or any other obligor upon the Notes or any Affiliate of the Issuer, the Co-Issuer, the Trustee, or such other obligor shall be disregarded and deemed not to be Outstanding, except that, in determining whether the Trustee shall be protected in conclusively relying upon any such request, demand, authorization, direction, notice, consent or waiver, only Notes that a responsible officer of the Trustee knows to be so owned shall be so disregarded and (ii) so long as either the Aggregate Outstanding Amount of the Class A-1 F Notes or the Class A-1 Commitment Amount is greater than zero, the Class A-1 Notes will be deemed to be "Outstanding". "Periodic Interest" means with respect to any Class of Notes, the amount of interest that is accrued and payable on the principal amount of such Class of Notes at the applicable interest rate during the related Interest Period, determined in accordance with the Indenture. "PIK Obligation" means any Delivered Obligation that is a CDO Security or any Credit Default Swap referencing a CDO Security which, pursuant to the terms of the related Underlying Instruments, permits the payment of interest thereon to be deferred and/or capitalized as additional principal thereof or that issues identical securities in place of payments of interest in cash. "Pledged Asset" means, on any date of determination, each Credit Default Swap, any Delivered Obligation and each Eligible Investment that has been Granted to the Trustee and is then included in the Collateral. "Principal Balance" means as of any date of determination, (a) with respect to any Credit Default Swap, the Notional Amount of such Credit Default Swap and (b) with respect to any Delivered Obligation, its outstanding principal balance. "Principal Only Security" means a Reference Obligation that does not provide for the payment of stated interest in periodic installments on or prior to the date three Business Days prior to the Stated Maturity of the Notes. "Prohibited ABS Securities" means aircraft securities, bank guaranteed securities, commercial mortgage-backed securities, corporate guaranteed securities, entertainment securities, equipment leasing securities, franchise securities, future flow securities, healthcare securities, insurance company guaranteed securities, manufactured housing securities, mutual fund securities, project finance securities, recreational vehicle/boat securities, stadium receivables securities, structured settlement securities, tax lien securities, timeshare securities and utility securities. "Prospectus" means this document, which is a prospectus in line with the Prospectus Directive.

132

"Pure Private Reference Obligation" means any Delivered Obligation or Reference Obligation that is a security that was not (i) issued pursuant to an effective registration statement under the Securities Act or (ii) a privately placed security that is eligible for resale under Rule 144A or Regulation S under the Securities Act. "Rating Condition" means, with respect to any action taken or to be taken under the Indenture, a condition that is satisfied when each Rating Agency then rating an Outstanding Class of Notes has confirmed in writing to the Issuer and the Trustee that such action will not, at that time, result in the withdrawal, reduction or other adverse action with respect to any then-current rating (including any shadow, private or confidential rating) of any Class of Notes. "Reference Entity" means the obligor on a Reference Obligation. "Residential ABS Securities" means Residential Prime Mortgage Securities, Residential Mid-Prime Mortgage Securities and Residential Sub-Prime Mortgage Securities. "Securities Intermediary" means LaSalle Bank National Association. "Specified Types" means, with respect to Asset-Backed Securities, the types of AssetBacked Securities categorized according to their underlying collateral or assets, in each case as set forth in Annex A. "Standard & Poors Rating" has the meaning set forth in Annex C hereto. "Step-Down Obligation" means any Reference Obligation or Delivered Obligation, as applicable, which by the terms of the related Underlying Instrument 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 Obligation shall not include any such security providing for payment of a constant rate of interest at all times after the date of acquisition by the Issuer. In calculating the Weighted Average Premium/Spread by reference to the premium payable by the Credit Default Swap Counterparty in connection with such Step-Down Obligation, the premium on any date shall be deemed to be the lowest premium scheduled to apply to such Step-Down Obligation on or after such date. "Transaction Documents" means, the Indenture, the Notes, the Class F Subordinated Notes, the Class A-1 Note Purchase Agreement, the Credit Default Swaps, the Class F Subordinated Note Paying Agency Agreement, the Purchase Agreement, the Collateral Administration Agreement and the Administration Agreement. "Underlying Instrument" means, with respect to any Delivered Obligation or any Reference Obligation, as applicable, any loan agreement or other credit agreement, loan assignment agreement, indenture, pooling and servicing agreement, trust agreement, instrument, or other agreement pursuant to which such Delivered Obligation or Reference Obligation has been created or issued and each other agreement that governs the terms of or secures the obligations represented by such Delivered Obligation or such Reference Obligation, or of which the holders of such Delivered Obligation or such Reference Obligation are the beneficiaries, and any instrument evidencing or constituting such Delivered Obligation or such Reference Obligation (in the case of any Delivered Obligation or Reference Obligation evidenced by or in the form of an instrument). "Weighted Average Life" means, on any Measurement Date, the number obtained by (i) summing the products obtained by multiplying (a) the Average Life at such time of each Credit Default Swap and Delivered Obligation by (b) the Principal Balance of such Credit Default Swap or Delivered Obligation, as applicable, and (ii) dividing such sum by the Aggregate Principal Balance at such time of the Credit Default Swap Portfolio and all Delivered Obligations

133

"Weighted Average Premium/Spread" means, on any Measurement Date, the percentage determined by dividing: (A) the sum of (1) with respect to any Credit Default Swap (excluding all Credit Default Swaps referencing Reference Obligations that are Defaulted Assets or Deferred Interest PIK Obligations), the number obtained by summing the products obtained by multiplying (a) the Fixed Rate (expressed as a percentage) payable by the Credit Default Swap Counterparty with respect to each such Credit Default Swap by (b) the Principal Balance of such Credit Default Swap and (2) with respect to any Delivered Obligation (excluding all Defaulted Assets or Deferred Interest PIK Obligations), the number obtained by summing the products obtained by multiplying (a) the spread above LIBOR at which interest accrues on each such Delivered Obligation by (b) the Principal Balance of each such Delivered Obligation; by (B) the Aggregate Principal Balance at such time of the Credit Default Swap Portfolio and the Delivered Obligations (excluding Delivered Obligations and Credit Default Swaps referencing Reference Obligations that are Defaulted Assets or Deferred Interest PIK Obligations). "Written Down Security means any (a) Delivered Obligation or (b) Credit Default Swap referencing a Reference Obligation that is written down as being a part of an issue as to which the aggregate par amount of the entire issue and all other securities secured by the same pool of collateral that rank senior or pari passu in priority of payment to such issue exceeds the aggregate par amount (including reserved interest or other amounts available for overcollateralization) of all collateral securing such issue (excluding defaulted collateral).

134

ANNEX A SPECIFIED TYPES OF ASSET-BACKED SECURITIES "Automobile Securities" means Asset-Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset-Backed Securities) on the 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. "Car Rental Fleet Securities" means Asset-Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset-Backed Securities) on the 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 are obligations of numerous 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 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 typically 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. "CDO Domestic Corporate Debt Securities" means Asset-Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the CDO Securities) on the cash flow from a portfolio of commercial and industrial loans, corporate debt securities (with at least 80% of the assets having a U.S. domiciled obligor or issuer, as applicable) or any combination of the foregoing (excluding any such loan or securities secured by real estate unless such security is not the primary source of credit for such loan or corporate debt security), generally having the following characteristics: (1) the loans and corporate debt securities have varying contractual maturities; (2) the loans and corporate debt 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 corporate debt securities depending on numerous factors specific to the particular issuers or obligors and upon whether, in the case of loans or corporate debt securities bearing interest at a fixed rate, such loans or corporate debt securities include an effective prepayment premium; and (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 corporate debt securities. "CDO Structured Product Securities" means Asset-Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the CDO Securities) on the cash flow from a portfolio of commercial and industrial bank loans, corporate debt securities, securities issued by a sovereign issuer, synthetic securities, Asset-Backed Securities, Residential ABS Securities and CDO Securities or any combination of the foregoing, generally having the following characteristics: (1) the loans and securities 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

A-1

in additional loans and/or securities; and (5) at least 80% of such portfolio is comprised of Asset-Backed Securities. "Credit Card Securities" means Asset-Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset-Backed Securities) on the cash flow from balances outstanding under revolving consumer 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. "Residential Mid-Prime Mortgage Securities" means Asset-Backed Securities (other than Residential Prime Mortgage Securities and Residential Sub-Prime 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 balances (including revolving balances) outstanding under loans or lines of credit secured by residential real estate (single or multi-family properties) the proceeds of which loans or lines of credit are not primarily used to purchase such real estate or to purchase or construct dwellings thereon (or to refinance indebtedness previously so used), generally having the following characteristics: (1) the balances 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; (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 line of credit and general economic matters; and (4) the line of credit or loan may be secured by residential real estate with a market value (determined on the date of origination of such line of credit or loan) that is less than the original proceeds of such line of credit or loan; provided that any Residential ABS Security shall be deemed a "Residential Mid-Prime Mortgage Security" so long as the weighted average FICO score of the underlying borrower(s) as of the time of issuance of such Residential ABS Security is greater than or equal to 625 but less than or equal to 700. "Residential Prime Mortgage Securities" means Asset-Backed Securities (other than Residential Mid-Prime Mortgage Securities and Residential Sub-Prime 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 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 (or to refinance indebtedness previously so used), generally having the following characteristics: (1) the mortgage loans have generally 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 mortgage loans have standardized payment terms and require minimum monthly payments; (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 Residential ABS Security shall be deemed a "Residential Prime Mortgage Security" so long as the weighted average FICO score of the underlying borrower(s) as of the time of issuance of such Residential ABS Security is greater than 700. "Residential Sub-Prime Mortgage Securities" means Asset-Backed Securities (other than Residential Mid-Prime Mortgage Securities and Residential Prime 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 secured (on a first priority basis, subject to permitted liens, easements and other encumbrances) by subprime residential real estate (single or multi-family properties) the

A-2

proceeds of which are used to purchase real estate and purchase or construct dwellings thereon (or to refinance indebtedness previously so used), 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 mortgage loans have standardized payment terms and require minimum monthly payments; (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 Residential ABS Security shall be deemed a "Residential Sub-Prime Mortgage Security" so long as the weighted average FICO score of the underlying borrower(s) as of the time of issuance of such Residential ABS Security is less than 625. "Student Loan Securities" means Asset-Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset-Backed Securities) on the 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.

A-3

ANNEX B MOODY'S TERMINOLOGY "Moody's Asset Correlation Factor" means a single number determined in accordance with the asset correlation methodology provided from time to time to the Credit Default Swap Counterparty by Moodys (a copy of which the Credit Default Swap Counterparty shall promptly provide to the Trustee). "Moody's Weighted Average Recovery Rate" means the number obtained by summing the products obtained by multiplying the Principal Balance of each Credit Default Swap or Delivered Obligation, as applicable, by its Moody's Applicable Recovery Rate, dividing such sum by the Aggregate Principal Balance of all such Credit Default Swaps and Delivered Obligations, multiplying the result by 100 and rounding up to the first decimal place. For purposes of the Moody's Weighted Average Recovery Rate, the Principal Balance of a Defaulted Asset or Deferred Interest PIK Obligation will be deemed to be equal to the outstanding Principal Balance of such Defaulted Asset or Deferred Interest PIK Obligation (but excluding any deferred interest with respect to Deferred Interest PIK Obligations). "Moody's Applicable Recovery Rate" means, with respect to any Delivered Obligation or any Credit Default Swap and the related Reference Obligation, as applicable, on any Measurement Date, an amount equal to (i) 100% minus (ii) the percentage for such Reference Obligation or Delivered Obligation set forth in the Moody's Loss Scenario Matrix (set forth below) in (x) the table corresponding to the relevant type of Reference Obligation or Delivered Obligation, (y) the column in such table setting forth the Moody's Rating of such Reference Obligation or Delivered Obligation as of its original issuance date and (z) the row in such table opposite the percentage of the issue of which such Reference Obligation or such Delivered Obligation 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 Reference Obligation or Delivered Obligation, determined on such Measurement Date.

B-1

Moody's Loss Scenario Matrix

Consumer ABS Securities Issue and Pari Passu Security as Percentage of Total Capitalization Aaa Aa Greater than 70% 15% 20% Less than or equal to 70%, but greater than 10% 25% 30% Less than or equal to 10% 30% 35%

Moody's Rating A Baa 30% 40% 40% 50% 45% 55%

Ba 50% 60% 65%

B 60% 70% 75%

Residential ABS Securities Issue and Pari Passu Security as Percentage of Total Capitalization Aaa Aa Greater than 70% 15% 20% Less than or equal to 70%, but greater than 10% 25% 30% Less than or equal to 10% but greater than 5% 35% 45% Less than or equal to 5%, but greater than 2% 45% 55% Less than or equal to 2% 55% 65%

Moody's Rating A Baa 35% 45% 45% 55% 55% 60% 60% 65% 70% 75%

Ba 55% 65% 70% 75% 85%

B 70% 75% 80% 85% 90%

Low-Diversity CDO Securities (diversity score less than or equal to 20) Issue and Pari Passu Security as Percentage of Total Moody's Rating Capitalization Aaa Aa A Baa Greater than 70% 20% 25% 40% 50% Less than or equal to 70%, but greater than 10% 30% 40% 45% 55% Less than or equal to 10% but greater than 5% 40% 50% 55% 65% Less than or equal to 5%, but greater than 2% 50% 60% 65% 70% Less than or equal to 2% 70% 75% 80% 85%

Ba 55% 65% 75% 80% 93%

B 70% 75% 85% 90% 96%

High-Diversity CDO Securities (diversity score less than or equal to 20) Issue and Pari Passu Security as Percentage of Total Moody's Rating Capitalization Aaa Aa A Baa Greater than 70% 15% 20% 35% 45% Less than or equal to 70%, but greater than 10% 25% 30% 45% 55% Less than or equal to 10% but greater than 5% 35% 45% 55% 60% Less than or equal to 5%, but greater than 2% 45% 55% 60% 65% Less than or equal to 2% 55% 65% 70% 75%

Ba 55% 65% 70% 75% 85%

B 70% 75% 80% 85% 90%

"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 Delivered Obligation or Credit Default Swap referencing a Reference Obligation that is not a Defaulted Asset or Deferred Interest PIK Obligation, by multiplying (1) the Principal Balance on such Measurement Date of each such Delivered Obligation or Credit Default Swap, as applicable, by (2) its respective Moody's Rating Factor on such Measurement Date and (b) for any Delivered Obligation or Credit Default Swap referencing a Reference Obligation that is a Deferred Interest PIK Obligation, by multiplying (1) the Calculation Amount for such Credit Default Swap referencing such Deferred Interest PIK Obligation 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 Delivered Obligations and Credit Default Swaps referencing Reference Obligations that are not Defaulted Assets or Deferred Interest PIK Obligations plus (b) the sum of the Calculation Amounts of each Deferred Interest PIK Obligation 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 Moody's Applicable Recovery Rate shall be used to determine the Calculation Amount of a Deferred Interest PIK Obligation. "Moody's Rating Factor" means, with respect to each Credit Default Swap or Delivered Obligation on any Measurement Date, the number set forth in the table below opposite the Moody's

B-2

Rating of the Reference Obligation underlying any Credit Default Swap or the Delivered Obligation, as applicable:
Moody's Rating Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Moody's Rating Factor 1 10 20 40 70 120 180 260 360 610 Moody's Rating Ba1 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

For purposes of the Moody's Maximum Rating Factor Test, if a Delivered Obligation or the Reference Obligation underlying a Credit Default Swap does not have a Moody's Rating assigned to it at the date of acquisition, the Moody's Rating Factor with respect to such Delivered Obligation or Credit Default Swap shall be 10,000 for a period of 90 days from the acquisition of such Delivered Obligation or such Credit Default Swap. After such 90-day period, if such Delivered Obligation or such Credit Default Swap is not rated by Moody's and no other security or obligation of the issuer thereof or obligor thereon is rated by Moody's and the Issuer or the Credit Default Swap Counterparty seeks to obtain an estimate of a Moody's Rating Factor, then the Moody's Rating Factor of such Delivered Obligation or such Credit Default Swap will be deemed to be such estimate thereof as may be assigned by Moody's upon the request of the Issuer or the Credit Default Swap Counterparty. "Moody's Rating" means with respect to any Credit Default Swap: (i) if such Delivered Obligation or Reference Obligation underlying such Credit Default Swap is publicly or confidentially rated by Moody's and such rating addresses the full amount of interest and principal promised on such obligation, (a) the Moody's Rating shall be such rating, or (b) if the Issuer or the Credit Default Swap Counterparty on behalf of the Issuer has requested that Moody's assign a Moodys Estimated Rating to such Delivered Obligation or Reference Obligation, the Moody's Rating shall be the Moodys Estimated Rating so assigned by Moody's; (ii) if such Delivered Obligation or Reference Obligation underlying such Credit Default Swap is an Asset-Backed Security and is not rated by Moody's, then the Moody's Rating of such AssetBacked 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 AA- or above A+ to BBBBB+ or below 1 2 3 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

Automobile Securities Car Rental Fleet Securities CDO Domestic Corporate Debt Securities CDO Structured Product Securities Credit Card Securities Student Loan Securities

Residential Mid-Prime Mortgage Securities Residential Prime Mortgage Securities (Alt-A) Residential Prime Mortgage Securities (Jumbo A) Residential Prime Mortgage Securities (mixed pools) Residential Sub-Prime Mortgage Securities

AAA 1 1 1 1 1

Rating assigned by Standard & Poor's AA+ to BBBBB+ or below 2 3 3 4 2 3 2 3 4 3

B-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"); (iii) notwithstanding the foregoing, if a Moody's Rating is based on a rating as provided in any of the foregoing subparagraphs and such rating of a Delivered Obligation or Reference Obligation underlying a Credit Default Swap is on upgrade watch, then the Moody's Rating of such Delivered Obligation or Reference Obligation will be (a) one rating subcategory above the Moody's Rating otherwise determined in accordance with the forgoing subparagraphs if the rating is "Aa1" or "AA+" and (b) two rating subcategories above the Moodys Rating otherwise determined in accordance with the foregoing subparagraphs if the rating is below "Aa1" or "AA+"; if a Moody's Rating is based on a rating as provided in any of the foregoing subparagraphs and such rating of a Delivered Obligation or Reference Obligation underlying a Credit Default Swap is on downgrade watch, then the Moody's Rating of such Delivered Obligation or such Reference Obligation will be (I) one rating subcategory below the Moody's Rating otherwise determined in accordance with the forgoing subparagraphs if the rating is "Aaa" or "AAA" and (II) two rating subcategories below the Moodys Rating otherwise determined in accordance with the foregoing paragraphs if the rating is below "Aaa" or "AAA"; provided that if a Moodys rating for a Delivered Obligation or Reference Obligation underlying a Credit Default Swap is withdrawn after the Closing Date, the Moodys Rating of such Delivered Obligation or Reference Obligation shall be "Ca" unless either (a) the Moodys rating is reinstated, (b) the Moodys Rating can be derived from an Standard & Poor's rating or (c) the Issuer requests that Moodys assign a rating to the Delivered Obligation or Reference Obligation and Moodys assigns such rating; provided that (1) the Aggregate Principal Balance of Credit Default Swaps and Delivered Obligations that may be given a Moody's Rating based on a Standard & Poor's rating as provided in any of the foregoing subparagraphs may not exceed 20% of the Aggregate Principal Balance of all Credit Default Swaps and Delivered Obligations as of the Closing Date and (2) the Aggregate Principal Balance of Credit Default Swaps and Delivered Obligations not rated by Moody's that are rated by only Standard & Poor's that may be given a 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 Credit Default Swaps and Delivered Obligations as of the Closing Date. For the avoidance of doubt, the Moodys Rating of a Credit Default Swap shall be the Moodys Rating of the Reference Obligation underlying such Credit Default Swap.

B-4

ANNEX C STANDARD & POORS TERMINOLOGY "Standard & Poor's Weighted Average Recovery Rate" means the number obtained by summing the products obtained by multiplying the Principal Balance of each Credit Default Swap or Delivered Obligation (excluding Defaulted Assets), as applicable, by its Standard & Poor's Applicable Recovery Rate, dividing such sum by the Aggregate Principal Balance of all such Credit Default Swaps and Delivered Obligations (excluding Defaulted Assets), multiplying the result by 100 and rounding up to the first decimal place. For purposes of the Standard & Poor's Weighted Average Recovery Rate, the Principal Balance of a Deferred Interest PIK Obligation will be deemed to be equal to the outstanding Principal Balance of such Deferred Interest PIK Obligation but excluding any deferred interest with respect to such Deferred Interest PIK Obligation. "Standard & Poor's Applicable Recovery Rate" means, with respect to a Delivered Obligation or a Credit Default Swap referencing a Reference Obligation that is an Asset-Backed Security on any Measurement Date, an amount equal to the percentage for such Asset-Backed Security set forth in the Standard & Poor's Recovery Rate Matrix in (a) the applicable table, (b) the row in such table corresponding to the Standard & Poor's Rating applicable at the original time of issuance of such Delivered Obligation or the Reference Obligation referenced by such Credit Default Swap and (c) the column in such table corresponding to the original rating assigned by Standard & Poor's to the respective Class of Notes for which the Standard & Poor's Minimum Weighted Average Recovery Rate Test is being measured as of such Measurement Date; provided, if the Delivered Obligation is or the Credit Default Swap references: (1) (2) (3) (4) (5) a CDO Structured Products Security; a CDO Security whose underlying collateral consists primarily of other CDO Securities; a market value CDO; a re-tranched security; or a first-loss security;

the Standard & Poor's Applicable Recovery Rate will be determined by Standard & Poor's on a case-bycase basis. "Standard & Poor's Recovery Rate Matrix"
Delivered Obligation or Credit Default Swap references a Reference Obligation that (i) is an Asset-Backed Security and (ii) is the senior-most tranche of securities issued by the issuer of such Delivered Obligation or Reference Obligation and has a Standard & Poor's Rating of "BBB-" or higher at the original time of issuance thereof Major rating category of original rating assigned by Standard & Poor's to the respective Class of Notes AAA AA A BBB BB B CCC Standard & Poor's Rating AAA 80.0% 85.0% 90.0% 90.0% 90.0% 90.0% 90.0% AA+/AA/AA70.0% 75.0% 85.0% 90.0% 90.0% 90.0% 90.0% A+/A/A60.0% 65.0% 75.0% 85.0% 90.0% 90.0% 90.0% BBB+/BBB/BBB50.0% 55.0% 65.0% 75.0% 85.0% 85.0% 85.0% Delivered Obligation or Credit Default Swap references a Reference Obligation that (i) is an Asset-Backed Security and (ii) (a) is not one of the senior-most tranches of securities issued by the issuer of such Delivered Obligation or Reference Obligation or (b) is one of the senior-most tranches of securities issued by the issuer of such Delivered Obligation or Reference Obligation and has a Standard & Poor's Rating of below "BBB-" at the original time of issuance thereof Major rating category of original rating assigned by Standard & Poor's to the respective Class of Notes AAA AA A BBB BB B CCC Standard & Poor's Rating AAA 65.0% 70.0% 80.0% 85.0% 85.0% 85.0% 85.0% AA+/AA/AA55.0% 65.0% 75.0% 80.0% 80.0% 80.0% 80.0% A+/A/A40.0% 45.0% 55.0% 65.0% 80.0% 80.0% 80.0% BBB+/BBB/BBB30.0% 35.0% 40.0% 45.0% 50.0% 60.0% 70.0% BB+/BB/BB10.0% 10.0% 10.0% 25.0% 35.0% 40.0% 50.0% B+/B/B2.5% 5.0% 5.0% 10.0% 10.0% 20.0% 25.0% CCC or lower 0.0% 0.0% 0.0% 0.0% 2.5% 5.0% 5.0%

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"Standard & Poor's Rating" means with respect to any Delivered Obligation or Credit Default Swap, as applicable: (A) if Standard & Poor's has assigned a rating to such Delivered Obligation or Reference Obligation underlying such Credit Default Swap either publicly or privately the Standard & Poor's Rating shall be the rating assigned thereto by Standard & Poor's; provided that, in the case of private ratings, the issuer of such privately rated Delivered Obligation or Reference Obligation has consented to such disclosure and Standard & Poor's has provided such private rating; the Issuer or the Credit Default Swap Counterparty 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 Delivered Obligation or Reference Obligation underlying such Credit Default Swap; provided that pending receipt from Standard & Poor's of such estimate, such Delivered Obligation or such Reference Obligation shall have a Standard & Poor's Rating of "CCC-" if the Credit Default Swap Counterparty believes that such estimate will be at least "CCC-"; for purposes of notification of a Standard & Poor's credit estimate of any Delivered Obligation or Reference Obligation, 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 Credit Default Swap Counterparty and the Trustee; if a Delivered Obligation or a Reference Obligation underlying such Credit Default Swap is an Asset-Backed Security and 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 the table below:

(B)

(C)

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Reference Obligation or Delivered Obligation Issued Prior to August 1, 2001 Moody's rating is investment grade Consumer ABS Automobile Securities Car Rental Fleet Securities Credit Card Securities Student Loan Securities -1 Moody's rating is non-investment grade -2

Reference Obligation or Delivered Obligation Issued On or After August 1, 2001 Moody's rating is investment grade -2 Moody's rating is non-investment grade -3

Residential Mortgages Residential Mid-Prime Mortgage Securities Residential Prime Mortgage Securities Residential Sub-Prime Mortgage Securities

-1

-2

-2

-3

Cashflow CBO/CLOs CDO Domestic Corporate Debt Securities

-1

-2

-2

-3

Excepted securities CDO Structured Product Security Distressed debt CDO Market value CDO Synthetic CDO CDO of real estate CDO of CDOs Combination security Re-tranched security Re-REMIC Security First loss tranche of any AssetBacked Security Other Specified Type of AssetBacked Security not covered above

No Notching Permitted

No Notching Permitted

provided, the Aggregate Principal Balance of Credit Default Swaps and Delivered Obligations 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 Credit Default Swaps and Delivered Obligations The Standard & Poor's Rating for any Delivered Obligation or Credit Default Swap referencing a Reference Obligation 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 Delivered Obligation or such Reference Obligation that would otherwise be applicable as determined pursuant to this definition of Standard & Poor's Rating and (ii) 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 & Poor's Rating of such Delivered Obligation or such Reference Obligation that would otherwise be applicable as determined pursuant to this definition of Standard & Poor's Rating. For the avoidance of doubt, the Standard and Poors Rating of a Credit Default Swap shall be the Standard and Poors Rating of the Reference Obligation underlying such Credit Default Swap.

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STANDARD & POOR'S CDO MONITOR TEST The "Standard & Poor's CDO Monitor Test" will be satisfied on the Closing Date if the Standard & Poor's Loss Rate Differential of the Credit Default Swap Portfolio is positive; provided that subsequent measurements will indicate the Standard & Poor's Loss Rate Differential of the Credit Default Swap Portfolio as positive or negative, to the extent of such Credit Default Swap Portfolio and Delivered Obligations' compliance. "Standard & Poor's Loss Rate Differential" means, at any time, the rate calculated by subtracting the Standard & Poor's Scenario Default Rate at such time from the Standard & Poor's BreakEven Default Rate at such time. "Standard & Poor's Scenario Default Rate" means, at any time, an estimate of the cumulative default rate for the Credit Default Swap Portfolio and Delivered Obligations, consistent with a "AAA" rating of the Class A-1 Notes by Standard & Poor's, a "AAA" rating of the Class A-2 Notes by Standard & Poor's, a "AA+" rating of the Class B Notes by Standard & Poor's, a "AA-" rating of the Class C Notes by Standard & Poor's, a "A-" rating of the Class D Notes by Standard & Poor's and a "BBB" rating of the Class E Notes by Standard & Poor's, determined by application of the Standard & Poor's CDO Monitor at such time. "Standard & Poor's Break-Even Default Rate" means the maximum percentage of defaults which the Credit Default Swap Portfolio together with any Delivered Obligations can sustain (as determined by the Standard & Poor's CDO Monitor), which after giving effect to Standard & Poor's assumptions on recoveries and timing and to the priority of payments in accordance with Section 11.01 will result in sufficient funds remaining for the payment of the Notes in full by their Stated Maturity and the timely or ultimate payment, as applicable, of interest on each Class of Notes, as determined by application of the Standard & Poor's CDO Monitor. The "Standard & Poor's CDO Monitor" is the dynamic, analytical computer model together with such instructions and assumptions necessary to use such model provided by Standard & Poor's to the Collateral Administrator used to determine the credit risk of the Credit Default Swap Portfolio and may be modified by Standard & Poor's from time to time. None of the Credit Default Swap Counterparty, the Issuer, the Trustee or the Collateral Administrator shall have any responsibility for the Standard & Poor's CDO Monitor, its internal configuration, operation or results.

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ANNEX D FORM OF CONFIRMATION Deutsche Bank AG Date: To: Attention: Fax No. Our References: RE: January 20, 2006 STAtic ResidenTial CDO 2005-C Ltd. The Directors (345) 949-5223 Set forth in Annex A Credit Default Swaps referencing Residential Mortgage-Backed Securities

Dear Sir/Madame: The purpose of this letter (the Confirmation) is to confirm the terms and conditions of each Credit Derivative Transaction entered into between Deutsche Bank AG acting through its London Branch (Party A) and STAtic ResidenTial CDO 2005-C Ltd. (Party B) on the Trade Date specified below (each, a Transaction). This Confirmation constitutes a Confirmation as referred to in the ISDA Master Agreement specified below. The definitions and provisions contained in the 2003 ISDA Credit Derivatives Definitions (the Credit Derivatives Definitions) as published by the International Swaps and Derivatives Association, Inc., are incorporated into this Confirmation. In the event of any inconsistency between the Credit Derivatives Definitions and this Confirmation, this Confirmation shall govern. This Confirmation supplements, forms a part of, and is subject to, the ISDA Master Agreement, dated as of January 20, 2006, as amended and supplemented from time to time (the Agreement), between you and us. All provisions contained in the Agreement govern this Confirmation except as expressly modified below. This Confirmation evidences several different Credit Default Swap Transactions, each of which is separate and distinct from all others documented hereunder and relates to an individual Reference Obligation. Each Transaction evidenced herein shall have the terms specified below, as modified by the terms specified in the transaction annex attached hereto (Annex A) in respect of the Reference Obligation relating to such Transaction. References in this Confirmation to a Reference Obligation shall be to the terms of such Reference Obligation (as defined below) set out in the Underlying Instruments (as defined below) as amended from time to time unless otherwise specified below. The terms of the Transaction to which this Confirmation relates are as follows: 1. General Terms: Trade Date: Effective Date: Scheduled Termination Date: January 12, 2006 January 20, 2006 With respect to each Transaction, subject to paragraph 5, the Legal Final Maturity Date of the Reference Obligation, subject to adjustment in accordance with the Following Business Day Convention.

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Termination Date:

The last to occur of: (a) (b) (c) (d) the fifth Business Day following the Effective Maturity Date; the last Floating Rate Payer Payment Date; the last Delivery Date; and the last Additional Fixed Amount Payment Date.

Floating Rate Payer: Fixed Rate Payer: Calculation Agent: Calculation Agent City: Business Day: Business Day Convention:

Party B (the Seller). Party A (the Buyer). Party A New York New York, Chicago, London Following (which, with the exception of the Effective Date, the Final Amortization Date, each Reference Obligation Payment Date and the period end date of each Reference Obligation Calculation Period, shall apply to any date referred to in this Confirmation that falls on a day that is not a Business Day). With respect to each Transaction, the relevant Reference Entity set forth in Annex A attached hereto. With respect to each Transaction, the relevant Reference Obligation set forth in Annex A attached hereto. Section 2.30 of the Credit Derivatives Definitions shall not apply.

Reference Entity:

Reference Obligation:

Reference Policy:

With respect to each Transaction, the relevant Reference Policy (if any) set forth in Annex A attached hereto. With respect to each Transaction, the relevant Reference Price set forth in Annex A attached hereto. On any day, a percentage equal to A divided by B. A means the product of the Initial Face Amount and the Initial Factor and such amount shall be decreased on each Delivery Date by an amount equal to (a) (i) the outstanding principal balance of Deliverable Obligations Delivered to Seller divided by (ii) the Current Factor on such day multiplied by (b) the Initial Factor. B means the product of the Original Principal Amount and the Initial Factor and (a) such product shall be increased by the outstanding principal balance of any further issues by the Reference Entity that are fungible with and form part of the same legal series as the Reference Obligation; and

Reference Price:

Applicable Percentage:

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(b)

such product shall be decreased by any cancellations of some or all of the Outstanding Principal Amount resulting from purchases of the Reference Obligation by or on behalf of the Reference Entity.

Initial Face Amount:

With respect to each Transaction, the relevant Initial Face Amount set forth in Annex A attached hereto. On the Effective Date, the product of: (a) (b) (c) the Original Principal Amount; the Initial Factor; and the Applicable Percentage.

Reference Obligation Notional Amount:

Following the Effective Date, the Reference Obligation Notional Amount will be: (i) decreased on each day on which a Principal Payment is made by the relevant Principal Payment Amount; decreased on each day on which a Failure to Pay Principal occurs by the relevant Principal Shortfall Amount; decreased on each day on which a Writedown occurs by the relevant Writedown Amount; increased on each day on which a Writedown Reimbursement occurs by any Writedown Reimbursement Amount in respect of a Writedown Reimbursement within paragraphs (ii) or (iii) of the definition of Writedown Reimbursement; and decreased on each Delivery Date by an amount equal to the relevant Exercise Amount minus the relevant amount determined pursuant to paragraph (b) of Physical Settlement Amount below;

(ii)

(iii)

(iv)

(v)

provided that if the Reference Obligation Notional Amount would be less than zero, it shall be deemed to be zero. Initial Payment: 2. Fixed Payments: Fixed Rate Payer: Fixed Rate: Buyer With respect to each Transaction, the relevant Fixed Rate set forth in Annex A attached hereto; subject to adjustment in accordance with paragraph 5 below. The first day of each Reference Obligation Calculation Period. Each day falling five Business Days after a Reference Obligation Payment Date; provided that the final Fixed Rate Payer Payment Not applicable.

Fixed Rate Payer Period End Date: Fixed Rate Payer Payment Dates:

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Date shall fall on the fifth Business Day following the Effective Maturity Date. Fixed Amount: With respect to any Fixed Rate Payer Payment Date, an amount equal to the product of: (a) (b) (i) the Fixed Rate; an amount determined by the Calculation Agent equal to: the sum of the Reference Obligation Notional Amount (as calculated without taking into consideration any adjustment in the Reference Obligation Notional Amount due to an Implied Writedown Amount) as at 5:00 p.m. in the Calculation Agent City on each day in the related Fixed Rate Payer Calculation Period; divided by the actual number of days in the related Fixed Rate Payer Calculation Period; and the actual number of days in the related Fixed Rate Payer Calculation Period divided by 360. Each Fixed Rate Payer Payment Date; and

(ii)

(c)

Additional Fixed Amount Payment Dates:

(a)

(b)

in relation to each Additional Fixed Payment Event occurring after the second Business Day prior to the last Fixed Rate Payer Payment Date, the fifth Business Day after Buyer has received notification from Seller or the Calculation Agent of the occurrence of such Additional Fixed Payment Event.

Additional Fixed Payments:

Following the occurrence of an Additional Fixed Payment Event in respect of the Reference Obligation, Buyer shall pay the relevant Additional Fixed Amount to Seller on the first Additional Fixed Amount Payment Date falling at least two Business Days (or in the case of an Additional Fixed Payment Event that occurs after the second Business Day prior to the last Fixed Rate Payer Payment Date, the fifth Business Day) after the delivery of a notice (that must include Publicly Available Information) by the Calculation Agent to the parties or by Seller to Buyer stating that the related Additional Fixed Amount is due and showing in reasonable detail how such Additional Fixed Amount was determined; provided that any such notice must be given on or prior to the fifth Business Day following the day that is one calendar year after the Effective Maturity Date. The occurrence on or after the Effective Date and on or before the day that is one calendar year after the Effective Maturity Date of a Writedown Reimbursement, Principal Shortfall Reimbursement or an Interest Shortfall Reimbursement. With respect to each Additional Fixed Amount Payment Date, an amount equal to the sum of: (a) the Writedown Reimbursement Payment Amount (if any);

Additional Fixed Payment Event:

Additional Fixed Amount:

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(b)

the Principal Shortfall Reimbursement Payment Amount (if any); and the Interest Shortfall Reimbursement Payment Amount (if any).

(c)

3.

Floating Payments: Floating Rate Payer: Seller

Floating Rate Payer Payment Dates: In relation to a Floating Amount Event, the first Fixed Rate Payer Payment Date falling at least two Business Days (or in the case of a Floating Amount Event that occurs on the Legal Final Maturity Date or the Final Amortization Date, the fifth Business Day) after delivery of a notice (that must include Publicly Available Information) by the Calculation Agent to the parties or a notice (that must include Publicly Available Information) by Buyer to Seller that the related Floating Amount is due and showing in reasonable detail how such Floating Amount was determined; provided that in the case of a Floating Amount Event that occurs on the Legal Final Maturity Date or the Final Amortization Date, such notice must be given on or prior to the fifth Business Day following the Legal Final Maturity Date or the Final Amortization Date, as applicable. Floating Payments: If a Floating Amount Event occurs, then on the relevant Floating Rate Payer Payment Date, Seller will pay the relevant Floating Amount to Buyer. For the avoidance of doubt, the Conditions to Settlement are not required to be satisfied in respect of a Floating Payment. A Writedown, Failure to Pay Principal or an Interest Shortfall. With respect to each Floating Rate Payer Payment Date, an amount equal to the sum of: (a) (b) (c) Conditions to Settlement: the relevant Writedown Amount (if any); the relevant Principal Shortfall Amount (if any); and the relevant Interest Shortfall Payment Amount (if any).

Floating Amount Event: Floating Amount:

Credit Event Notice Notifying Party: Buyer Notice of Physical Settlement Notice of Publicly Available Information: Applicable Public Sources: The public sources listed in Section 3.7 of the Credit Derivatives Definitions; provided that Servicer Reports in respect of the Reference Obligation and, in respect of a Distressed Ratings Downgrade Credit Event only, any public communications by

D-5

any of the Rating Agencies in respect of the Reference Obligation shall also be deemed Public Sources. Specified Number: 1

provided that if the Calculation Agent has previously delivered a notice to the parties or Buyer has previously delivered a notice to Seller pursuant to the definition of Floating Rate Payer Payment Dates above in respect of a Writedown or a Failure to Pay Principal, the only Condition to Settlement with respect to any Credit Event shall be a Notice of Physical Settlement. The parties agree that with respect to each Transaction and notwithstanding anything to the contrary in the Credit Derivatives Definitions: (a) one or more Credit Event Notices with respect to a Maturity Extension Credit Event may be delivered on or after the legal final maturity date specified in paragraph 1 above; the Conditions to Settlement may be satisfied on more than one occasion; multiple Physical Settlement Amounts may be payable by Seller; Buyer, when providing a Notice of Physical Settlement, must specify an Exercise Amount and an Exercise Percentage; if Buyer has delivered a Notice of Physical Settlement that specifies an Exercise Amount that is less than the Reference Obligation Notional Amount as of the date on which such Notice of Physical Settlement is delivered (calculated as though Physical Settlement in respect of all previously delivered Notices of Physical Settlement has occurred in full), the rights and obligations of the parties under each Transaction shall continue and Buyer may deliver additional Notices of Physical Settlement with respect to the initial Credit Event or with respect to any additional Credit Event at any time thereafter; and any Notice of Physical Settlement shall be delivered no later than 30 calendar days after the fifth Business Day following the earlier of the Effective Maturity Date and the Optional Step-up Early Termination Date.

(b)

(c)

(d)

(e)

(f)

Section 3.2(d) of the Credit Derivatives Definitions is amended to delete the words that is effective no later than thirty calendar days after the Event Determination Date. Credit Events: The following Credit Events shall apply to each Transaction (and the first sentence of Section 4.1 of the Credit Derivatives Definition shall be amended accordingly):

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Failure to Pay Principal Writedown Distressed Ratings Downgrade Maturity Extension Obligation: 4. Interest Shortfall Interest Shortfall Payment Amount: In respect of an Interest Shortfall, the relevant Interest Shortfall Amount; provided that, if Interest Shortfall Cap is applicable and the Interest Shortfall Amount exceeds the Interest Shortfall Cap Amount, the Interest Shortfall Payment Amount in respect of such Interest Shortfall shall be the Interest Shortfall Cap Amount. For the avoidance of doubt, Seller shall not be obligated to pay Buyer any Interest Shortfall Amount that exceeds the Interest Shortfall Cap Amount. Interest Shortfall Cap: With respect to each Transaction: Applicable, as set forth in Annex A attached hereto. With respect to each Transaction, as set forth in Annex A attached hereto. With respect to any Reference Obligation Payment Date, payment by or on behalf of the Issuer of an amount in respect of interest due under the Reference Obligation including, without limitation, any deferred interest and defaulted interest but excluding payments in respect of prepayment penalties or principal (except that the Actual Interest Amount shall include any payment of principal representing capitalized interest) paid to the holder(s) of the Reference Obligation in respect of the Reference Obligation. With respect to any Reference Obligation Payment Date, the amount of current interest that would accrue during the related Reference Obligation Calculation Period calculated using the Reference Obligation Coupon on a principal balance of the Reference Obligation equal to (a) the Outstanding Principal Amount taking into account any reductions due to a principal deficiency balance or realized loss amount (howsoever described in the Underlying Instruments) that are attributable to the Reference Obligation minus (b) the Aggregate Implied Writedown Amount (if any) and that will be payable on the related Reference Obligation Payment Date assuming for this purpose that sufficient funds are available therefor in accordance with the Underlying Instruments. Except as provided in (a) in the previous sentence, the Expected Interest Amount shall be determined without regard to the effect of any limited recourse provisions (however described) of the Underlying Instruments that permit the limitation of due payments or distributions of funds pursuant to an available funds cap or otherwise, that provide for the capitalization or deferral of interest on the Reference Obligation, or that provide for the extinguishing or reduction of such payments or Reference Obligation Only

Interest Shortfall Cap Amount:

Actual Interest Amount:

Expected Interest Amount:

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distributions (but, for the avoidance of doubt, taking account of any Writedown within paragraph (i) of the definition of Writedown occurring in accordance with the terms of the Underlying Instruments). Interest Shortfall: With respect to any Reference Obligation Payment Date, either (a) the non-payment of an Expected Interest Amount or (b) the payment of an Actual Interest Amount that is less than the Expected Interest Amount. For the avoidance of doubt, the occurrence of an event within (a) or (b) shall be determined taking into account any payment made under the Reference Policy, if applicable. Interest Shortfall Amount: With respect to any Reference Obligation Payment Date, an amount equal to the greater of: (a) (b) zero; and the amount equal to the product of: (i) (A) the Expected Interest Amount; minus (B) (ii) the Actual Interest Amount; and

the Applicable Percentage;

provided that, with respect to the first Reference Obligation Payment Date only, the Interest Shortfall Amount shall be the amount determined in accordance with (a) and (b) above multiplied by a fraction equal to: (x) the number of days in the first Fixed Rate Payer Calculation Period; over the number of days in the first Reference Obligation Calculation Period.

(y)

Interest Shortfall Reimbursement:

With respect to any Reference Obligation Payment Date, the payment by or on behalf of the Issuer of an Actual Interest Amount in respect of the Reference Obligation (including, for the avoidance of doubt, any payment of principal representing capitalized interest) that is greater than the Expected Interest Amount. With respect to any Reference Obligation Payment Date, the product of (a) the amount of any Interest Shortfall Reimbursement on such day and (b) the Applicable Percentage. The amount determined pursuant to the Interest Shortfall Cap Annex.

Interest Shortfall Reimbursement Amount:

Interest Shortfall Reimbursement Payment Amount:

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5.

Consequences of Step up of the Reference Obligation Coupon Step-up provisions: With respect to each Transaction: Applicable, as set forth in Annex A hereto. If the Step-up provisions are applicable with respect to a Transaction, then the following provisions of this paragraph 5 shall apply to such Transaction. Step up: On any day, an increase in the Reference Obligation Coupon due to the failure of the Issuer or a third party to redeem, cancel or terminate the Reference Obligation, as the case may be, in accordance with the Underlying Instruments. The date of delivery by the Calculation Agent to the parties or by Buyer to Seller of a Non Call Notice. A notice given by the Calculation Agent to the parties or by Buyer to Seller that the Reference Obligation has not been redeemed, cancelled or terminated pursuant to an optional clean up call (however described in the Underlying Instruments) or other provision permitting such redemption, cancellation or termination, which failure will result in the occurrence of a Step up. Subject to Optional Step up Early Termination below, upon the occurrence of a Step up, the Fixed Rate will be increased by the number of basis points by which the Reference Obligation Coupon is increased due to the Step-up, such increase to take effect as of the Fixed Rate Payer Payment Date immediately following the fifth Business Day after the Non-Call Notification Date.

Non Call Notification Date:

Non Call Notice:

Increase of the Fixed Rate:

Optional Step up Early Termination: No later than five Business Days after the Non-Call Notification Date, Buyer shall notify Seller (such notification, a Buyer Step-up Notice) whether Buyer wishes to continue the Transaction at the increased Fixed Rate or to terminate the Transaction. If Buyer elects to terminate the Transaction, the date of delivery of the Buyer Step-up Notice shall be the Scheduled Termination Date (such date, the Optional Step-up Early Termination Date) and in such case Increase of the Fixed Rate in this paragraph 5 shall not apply. No amount shall be payable by either party in respect of the Optional Step up Early Termination Date other than any Fixed Amount, Additional Fixed Amount, Floating Amount or Physical Settlement Amount due in respect of such date. For the avoidance of doubt, the obligation of a party to pay any amount that has become due and payable under the Transaction and remains unpaid as at the Optional Step-up Early Termination Date shall not be affected by the occurrence of the Optional Step-up Early Termination Date. If Buyer fails to deliver the Buyer Step-up Notice by the fifth Business Day after the Non-Call Notification Date, Buyer shall be deemed to have elected to continue the Transaction at the increased Fixed Rate as described under Increase of the Fixed Rate.

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If Buyer elects, or is deemed to have elected, to continue the Transaction at the increased Fixed Rate, the Transaction shall continue. 6. Settlement Terms Settlement Method: Physical Settlement

Terms Relating to Physical Settlement: Physical Settlement Period: Deliverable Obligations: Deliverable Obligations: Physical Settlement Amount: Five Business Days Exclude Accrued Interest Deliverable Obligation Category: Reference Obligation Only An amount equal to: (a) the product of the Exercise Amount and the Reference Price; minus the sum of: (i) if the Aggregate Implied Writedown Amount is greater than zero, the product of (A) the Aggregate Implied Writedown Amount, (B) the Applicable Percentage, each as determined immediately prior to the relevant Delivery and (C) the relevant Exercise Percentage; and the product of (A) the aggregate of all Writedown Amounts in respect of Writedowns within paragraph (i)(B) of the definition of Writedown minus the aggregate of all Writedown Reimbursement Amounts in respect of Writedown Reimbursements within paragraph (ii)(B) of the definition of Writedown Reimbursement and (B) the Exercise Percentage;

(b)

(ii)

provided that if the Physical Settlement Amount would exceed the product of: (1) the Reference Obligation Notional Amount as of the date on which the relevant Notice of Physical Settlement is delivered calculated as though Physical Settlement in respect of all previously delivered Notices of Physical Settlement has occurred in full; and the Exercise Percentage;

(2)

then the Physical Settlement Amount shall be deemed to be equal to such product. Escrow: Non-delivery by Buyer: Applicable If Buyer has delivered a Notice of Physical Settlement and does not Deliver in full the Deliverable Obligations specified in that Notice of

D-10

Physical Settlement on or prior to the Physical Settlement Date, then such Notice of Physical Settlement shall be deemed not to have been delivered and any reference in this Confirmation to a previously delivered Notice of Physical Settlement shall exclude any Notice of Physical Settlement that is deemed not to have been delivered. Sections 9.2(c)(ii) (except for the first sentence thereof), 9.3, 9.4, 9.5, 9.6, 9.9 and 9.10 of the Credit Derivatives Definitions shall not apply. 7. (a) Additional Provisions: Delivery of Servicer Report With respect to each Transaction, if either party makes a reasonable request in writing (which may be in electronic form), the Calculation Agent agrees to provide such party with a copy of the most recent Servicer Report promptly following receipt of such request, if and to the extent the Calculation Agent, after extending reasonable efforts, is able to obtain such Servicer Report (whether or not the Calculation Agent is a holder of the Reference Obligation). In addition, if a Floating Payment or an Additional Fixed Payment is due pursuant to any Transaction hereunder, then the Calculation Agent or the party that notifies the other party that the relevant Floating Payment or Additional Fixed Payment is due, as applicable, (the Notifying Party) shall deliver a copy of any Servicer Report relevant to such payment that is requested by the party that is not the Notifying Party or by either party where the Notifying Party is the Calculation Agent, if and to the extent that such Servicer Report is reasonably available to the Notifying Party (whether or not the Notifying Party is a holder of the Reference Obligation). (b) Calculation Agent and Buyer and Seller Determinations With respect to each Transaction, the Calculation Agent shall be responsible for determining and calculating (i) the Fixed Amount payable on each Fixed Rate Payer Payment Date; (ii) the occurrence of a Floating Amount Event and the related Floating Amount and (iii) the occurrence of an Additional Fixed Payment Event and the related Additional Fixed Amount; provided that notwithstanding the above, each of Buyer and Seller shall be entitled to determine and calculate the above amounts to the extent that Buyer or Seller, as applicable, has the right to deliver a notice to the other party demanding payment of such amount. The Calculation Agent or Buyer or Seller, as applicable, shall make such determinations and calculations based solely on the basis of the Servicer Reports, to the extent such Servicer Reports are reasonably available to the Calculation Agent or such party. The Calculation Agent or Buyer or Seller, as applicable, shall, as soon as practicable after making any of the determinations or calculations specified in (i), (ii) and (iii) above, notify the parties or the other party, as applicable, of such determinations and calculations. (c) Adjustment of Calculation Agent Determinations To the extent that a Servicer furnishes any Servicer Reports correcting information contained in previously issued Servicer Reports, and such corrections impact calculations pursuant to a Transaction, the calculations relevant to such Transaction shall be adjusted retroactively by the Calculation Agent to reflect the corrected information (provided that, for the avoidance of doubt, no amounts in respect of interest shall be payable by either party and provided that the Calculation Agent in performing the calculations pursuant to this paragraph will assume that no interest has accrued on any adjusted amount), and the Calculation Agent shall promptly notify both parties of any corrected payments required by either party. Any required corrected payments shall be made within five Business Days of the day on which such notification by the Calculation Agent is effective. (d) U.S. Federal Income Tax Each party agrees to treat each Transaction for U.S. federal income tax purposes as a notional principal contract within the meaning of U.S. Treasury Regulations Section 1.446-3(c) and to take all actions

D-11

consistent with such treatment unless there is a change in law or interpretation thereof that is inconsistent with such treatment or any action is taken by a taxing authority against such party in which the taxing authority has asserted a different treatment. 8. Offices: The Office of Seller for each Transaction is Grand Cayman, Cayman Islands. The Office of Buyer for each Transaction is London, England. 9. Notice and Account Details: Telephone, Telex and/or Facsimile Numbers and Contact Details for Notices: Buyer: Deutsche Bank AG London Winchester House 1 Great Winchester Street London EC2N 2DB United Kingdom Attention: Greg Lippmann Fax: (212)797-0779 Tel: (212)250-7730 Email: greg.lippmann@db.com and Deutsche Bank Securities Inc. 60 Wall Street New York, NY, USA Attention: Global CDO Group Fax: (212)797-5155 Tel: (212)250-7820 Email: mirika.nakayama@db.com Seller: STAtic ResidenTial CDO 2005-C Ltd. c/o Deutsche Bank (Cayman) Limited P.O. Box 1984 GT, Elizabethan Square Grand Cayman, Cayman Islands Fax: (345) 949-5223

With a copy to: LaSalle Bank National Association 135 South LaSalle Street, Suite 1511 Chicago, Illinois 60603 Attention: CDO Trust Services Group START 2005-C Ltd. Fax: (312) 904-0524 Phone: (312) 904-0897 mat.thomason@abnamro.com Account Details:

D-12

Account Details of Buyer:

Deutsche Bank Trust Co. Americas, New York Swift BIC Code: BKTR US 33 XXX Account No: 04-411-739 Fed ABA No: 021001033 CHIPS ABA No: 0103 CHIPS UID No: 096804 Favour Deutsche Bank AG, London LaSalle Bank National Association ABA: 071000505 Account Name: LaSalle Trust GL Account Number: 2090067 Further CR: 710680.2 Ref: Static Residential Trust CDO 2005-C Ltd. Attn: Michael Luehring

Account Details of Seller:

10. (a)

Additional Definitions and Amendments to the Credit Derivatives Definitions References in Sections 4.1, 8.2, 9.1 and 9.2(a) of the Credit Derivatives Definitions as well as Section 3(a)(iv) of the form of Novation Agreement set forth in Exhibit E to the Credit Derivatives Definitions to the Reference Entity shall be deemed to be references to both the Reference Entity and the Insurer in respect of the Reference Policy, if applicable. (i) The definition of Publicly Available Information in Section 3.5 of the Credit Derivatives Definitions shall be amended by (i) inserting the words the Insurer in respect of the Reference Policy, if applicable at the end of subparagraph (a)(ii)(A) thereof, (ii) inserting the words servicer, sub-servicer, master servicer before the words or paying agent in subparagraph (a)(ii)(B) thereof and (iii) deleting the word or at the end of subparagraph (a)(iii) thereof and inserting at the end of subparagraph (a)(iv) thereof the following: or (v) is information contained in a notice or on a website published by an internationally recognized rating agency that has at any time rated the Reference Obligation. The definition of Physical Settlement in Section 8.1 of the Credit Derivatives Definitions shall be amended by (i) deleting the words Physical Settlement Amount from the last line of the second paragraph thereof and (ii) inserting in lieu thereof the words Exercise Amount. The definition of Physical Settlement Date in Section 8.4 of the Credit Derivatives Definitions shall be amended by deleting the last sentence thereof.

(b)

(ii)

(iii)

(c)

For the purposes of each Transaction only, the following terms have the meanings given below: Actual Principal Amount means, with respect to the Final Amortization Date or the Legal Final Maturity Date, payment on such day by or on behalf of the Issuer of an amount in respect of principal (excluding any capitalized interest) to the holder(s) of the Reference Obligation in respect of the Reference Obligation. Aggregate Implied Writedown Amount means the greater of (i) zero and (ii) the aggregate of all Implied Writedown Amounts minus the aggregate of all Implied Writedown Reimbursement Amounts. Current Factor means the factor of the Reference Obligation as specified in the most recent Servicer Report; provided that if the Current Factor is not specified in the most recent Servicer Report, the Current Factor shall be the ratio equal to (i) the Outstanding Principal Amount as of such date, determined in accordance with the Servicer Report over (ii) the Original Principal Amount.

D-13

Current Period Implied Writedown Amount means, in respect of a Reference Obligation Calculation Period, an amount determined as of the last day of such Reference Obligation Calculation Period equal to the greater of: (i) (ii) zero; and the product of: (A) (B) the Implied Writedown Percentage; and the greater of: (1) (2) zero; and the Pari Passu Amount plus the Senior Amount minus the aggregate outstanding asset pool balance securing the payment obligations on the Reference Obligation (all such outstanding asset pool balances as obtained by the Calculation Agent from the most recently dated Servicer Report available as of such day), calculated based on the face amount of the assets in such pool, whether or not any such asset is performing.

Distressed Ratings Downgrade means that the Reference Obligation: (i) if publicly rated by Moodys, (A) is downgraded to Caa2 or below by Moodys or (B) has the rating assigned to it by Moodys withdrawn and, in either case, not reinstated within five Business Days of such downgrade or withdrawal; provided that if such Reference Obligation was assigned a public rating of Baa3 or higher by Moodys immediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public rating of at least Caa1 by Moodys within three calendar months of such withdrawal; or if publicly rated by Standard & Poors, (A) is downgraded to CCC or below by Standard & Poors or (B) has the rating assigned to it by Standard & Poors withdrawn and, in either case, not reinstated within five Business Days of such downgrade or withdrawal; provided that if such Reference Obligation was assigned a public rating of BBB- or higher by Standard & Poors immediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public rating of at least CCC+ by Standard & Poors within three calendar months of such withdrawal; or if publicly rated by Fitch, (A) is downgraded to CCC or below by Fitch or (B) has the rating assigned to it by Fitch withdrawn and, in either case, not reinstated within five Business Days of such downgrade or withdrawal; provided that if such Reference Obligation was assigned a public rating of BBB- or higher by Fitch immediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade if such Reference Obligation is assigned a public rating of at least CCC+ by Fitch within three calendar months of such withdrawal.

(ii)

(iii)

Effective Maturity Date means the earlier of (a) the Scheduled Termination Date and (b) the Final Amortization Date. Exercise Amount means, for purposes of the Transaction, an amount to which a Notice of Physical Settlement applies equal to the product of (i) the original face amount of the Reference Obligation to be Delivered by Buyer to Seller on the Physical Settlement Date; and (ii) the Current Factor. The Exercise Amount to which a Notice of Physical Settlement relates shall (A) be equal to or less than the Reference Obligation Notional Amount (determined, for this purpose, without regard to the effect of any Writedown or Writedown Reimbursement within paragraphs (i)(B) or (iii) of Writedown or paragraphs (ii)(B) or (iii)

D-14

of Writedown Reimbursement, respectively) as of the date on which the relevant Notice of Physical Settlement is delivered calculated as though the Physical Settlement of all previously delivered Notices of Physical Settlement has occurred in full and (B) not be less than the lesser of (1) the Reference Obligation Notional Amount as of the date on which the relevant Notice of Physical Settlement is delivered calculated as though Physical Settlement in respect of all previously delivered Notices of Physical Settlement has occurred in full and (2) USD100,000. The cumulative original face amount of Deliverable Obligations specified in all Notices of Physical Settlement shall not at any time exceed the Initial Face Amount. Exercise Percentage means, with respect to a Notice of Physical Settlement, a percentage equal to the original face amount of the Deliverable Obligations specified in such Notice of Physical Settlement divided by an amount equal to (i) the Initial Face Amount minus (ii) the aggregate of the original face amount of all Deliverable Obligations specified in all previously delivered Notices of Physical Settlement. Expected Principal Amount means, with respect to the Final Amortization Date or the Legal Final Maturity Date, an amount equal to (i) the Outstanding Principal Amount of the Reference Obligation payable on such day assuming for this purpose that sufficient funds are available for such payment, where such amount shall be determined in accordance with the Underlying Instruments, minus (ii) the sum of (A) the Aggregate Implied Writedown Amount (if any) and (B) the net aggregate principal deficiency balance or realized loss amounts (however described in the Underlying Instruments) that are attributable to the Reference Obligation. The Expected Principal Amount shall be determined without regard to the effect of any limited recourse provisions (however described) of the Underlying Instruments that permit the limitation of due payments or distributions of funds in accordance with the terms of such Reference Obligation or that provide for the extinguishing or reduction of such payments or distributions. Failure to Pay Principal means (i) a failure by the Reference Entity (or any Insurer) to pay an Expected Principal Amount on the Final Amortization Date or the Legal Final Maturity Date, as the case may be or (ii) payment on any such day of an Actual Principal Amount that is less than the Expected Principal Amount; provided that the failure by the Reference Entity (or any Insurer) to pay any such amount in respect of principal in accordance with the foregoing shall not constitute a Failure to Pay Principal if such failure has been remedied within any grace period applicable to such payment obligation under the Underlying Instruments or, if no such grace period is applicable, within three Business Days after the day on which the Expected Principal Amount was scheduled to be paid. Final Amortization Date means the first to occur of (i) the date on which the Reference Obligation Notional Amount is reduced to zero and (ii) the date on which the assets securing the Reference Obligation or designated to fund amounts due in respect of the Reference Obligation are liquidated, distributed or otherwise disposed of in full and the proceeds thereof are distributed or otherwise disposed of in full. Fitch means Fitch Ratings or any successor to the rating business thereof. Implied Writedown Amount means, (i) if the Underlying Instruments do not provide for writedowns, applied losses, principal deficiencies or realized losses as described in (i) of the definition of Writedown to occur in respect of the Reference Obligation, on any Reference Obligation Payment Date, an amount determined by the Calculation Agent equal to the excess, if any, of the Current Period Implied Writedown Amount over the Previous Period Implied Writedown Amount, in each case in respect of the Reference Obligation Calculation Period to which such Reference Obligation Payment Date relates, and (ii) in any other case, zero. Implied Writedown Percentage means (i) the Outstanding Principal Amount divided by (ii) the Pari Passu Amount. Implied Writedown Reimbursement Amount means, (i) if the Underlying Instruments do not provide for writedowns, applied losses, principal deficiencies or realized losses as described in (i) of the definition of Writedown to occur in respect of the Reference Obligation, on any Reference Obligation Payment Date, an amount determined by the Calculation Agent equal to the excess, if any, of the Previous Period Implied Writedown Amount over the Current Period Implied Writedown Amount, in each case in respect of the

D-15

Reference Obligation Calculation Period to which such Reference Obligation Payment Date relates, and (ii) in any other case, zero. Legal Final Maturity Date means the date set forth in Annex A hereto (subject, for the avoidance of doubt, to any business day convention applicable to the legal final maturity date of the Reference Obligation), provided that if the legal final maturity date of the Reference Obligation is amended, the Legal Final Maturity Date shall be such date as amended. Maturity Extension means an extension by or on behalf of the Issuer of the Legal Final Maturity Date on or after the Effective Date, that is effected by an amendment to the Underlying Instruments occurring on or after the Effective Date. Moodys means Moodys Investors Service, Inc. or any successor to the rating business thereof. Outstanding Principal Amount means, as of any date of determination with respect to the Reference Obligation, the outstanding principal balance of the Reference Obligation as of such date, which shall take into account: (i) (ii) all payments of principal; all writedowns or applied losses (however described in the Underlying Instruments) resulting in a reduction in the outstanding principal balance of the Reference Obligation (other than as a result of a scheduled or unscheduled payment of principal); forgiveness of any amount by the holders of the Reference Obligation pursuant to an amendment to the Underlying Instruments resulting in a reduction in the outstanding principal balance of the Reference Obligation; any payments reducing the amount of any reductions described in (ii) and (iii) of this definition; and any increase in the outstanding principal balance of the Reference Obligation that reflects a reversal of any prior reductions described in (ii) and (iii) of this definition).

(iii)

(iv)

(v)

Pari Passu Amount means, as of any date of determination, the aggregate of the Outstanding Principal Amount of the Reference Obligation and the aggregate outstanding principal balance of all obligations of the Reference Entity secured by the Underlying Assets and ranking pari passu in priority with the Reference Obligation. Previous Period Implied Writedown Amount means, in respect of a Reference Obligation Calculation Period, the Current Period Implied Writedown Amount as determined in relation to the last day of the immediately preceding Reference Obligation Calculation Period. Principal Payment means, with respect to any Reference Obligation Payment Date, the occurrence of a payment of an amount to the holders of the Reference Obligation in respect of principal (scheduled or unscheduled) in respect of the Reference Obligation other than a payment in respect of principal representing capitalized interest, excluding, for the avoidance of doubt, any Writedown Reimbursement or Interest Shortfall Reimbursement. Principal Payment Amount means, with respect to any Reference Obligation Payment Date, an amount equal to the product of (i) the amount of any Principal Payment on such date and (ii) the Applicable Percentage.

D-16

Principal Shortfall Amount means, in respect of a Failure to Pay Principal, an amount equal to the greater of: (i) (ii) zero; and the amount equal to the product of: (A) (B) (C) the Expected Principal Amount minus the Actual Principal Amount; the Applicable Percentage; and the Reference Price.

If the Principal Shortfall Amount would be greater than the Reference Obligation Notional Amount immediately prior to the occurrence of such Failure to Pay Principal, then the Principal Shortfall Amount shall be deemed to be equal to the Reference Obligation Notional Amount at such time. Principal Shortfall Reimbursement means, with respect to any day, the payment by or on behalf of the Issuer of an amount in respect of the Reference Obligation in or toward the satisfaction of any deferral of or failure to pay principal arising from one or more prior occurrences of a Failure to Pay Principal. Principal Shortfall Reimbursement Amount means, with respect to any day, the product of (i) the amount of any Principal Shortfall Reimbursement on such day, (ii) the Applicable Percentage and (iii) the Reference Price. Principal Shortfall Reimbursement Payment Amount means, with respect to an Additional Fixed Amount Payment Date, the sum of the Principal Shortfall Reimbursement Amounts in respect of all Principal Shortfall Reimbursements (if any) made during the Reference Obligation Calculation Period relating to such Additional Fixed Amount Payment Date, provided that the aggregate of all Principal Shortfall Reimbursement Payment Amounts at any time shall not exceed the aggregate of all Floating Amounts paid by Seller in respect of occurrences of Failure to Pay Principal prior to such Additional Fixed Amount Payment Date. Rating Agencies means Fitch, Moodys and Standard & Poors. Reference Obligation Calculation Period means, with respect to each Reference Obligation Payment Date, a period corresponding to the interest accrual period relating to such Reference Obligation Payment Date pursuant to the Underlying Instruments. Reference Obligation Coupon means the periodic interest rate applied in relation to each Reference Obligation Calculation Period on the related Reference Obligation Payment Date, as determined in accordance with the terms of the Underlying Instruments as at the Effective Date, without regard to any subsequent amendment. Reference Obligation Payment Date means (i) each scheduled distribution date for the Reference Obligation occurring on or after the Effective Date and on or prior to the Scheduled Termination Date, determined in accordance with the Underlying Instruments and (ii) any day after the Effective Maturity Date on which a payment is made in respect of the Reference Obligation. Senior Amount means, as of any day, the aggregate outstanding principal balance of all obligations of the Reference Entity secured by the Underlying Assets and ranking senior in priority to the Reference Obligation.

D-17

Servicer means any trustee, servicer, sub servicer, master servicer, fiscal agent, paying agent or other similar entity responsible for calculating payment amounts or providing reports pursuant to the Underlying Instruments. Servicer Reports means periodic statements or reports regarding the Reference Obligation provided by the Servicer to holders of the Reference Obligation. Standard & Poors means Standard & Poors Rating Services, a division of McGraw-Hill Companies, Inc. or any successor to the rating business thereof. Underlying Assets means the assets securing the Reference Obligation for the benefit of the holders of the Reference Obligation and which are expected to generate the cashflows required for the servicing and repayment (in whole or in part) of the Reference Obligation, or the assets to which a holder of such Reference Obligation is economically exposed where such exposure is created synthetically. Underlying Instruments means the indenture, trust agreement, pooling and servicing agreement or other relevant agreement(s) setting forth the terms of the Reference Obligation. Writedown means the occurrence at any time on or after the Effective Date of: (i) (A) a writedown or applied loss (however described in the Underlying Instruments) resulting in a reduction in the Outstanding Principal Amount (other than as a result of a scheduled or unscheduled payment of principal); or the attribution of a principal deficiency or realized loss (howsoever described in the Underlying Instruments) to the Reference Obligation resulting in a reduction of the current interest payable on the Reference Obligation;

(B)

(ii)

the forgiveness of any amount of principal by the holders of the Reference Obligation pursuant to an amendment to the Underlying Instruments resulting in a reduction in the Outstanding Principal Amount; or if the Underlying Instruments do not provide for writedowns, applied losses, principal deficiencies or realized losses as described in (i) above to occur in respect of the Reference Obligation, an Implied Writedown Amount being determined in respect of the Reference Obligation by the Calculation Agent.

(iii)

Writedown Amount means, with respect to any day, the product of (i) the amount of any Writedown on such day, (ii) the Applicable Percentage and (iii) the Reference Price. Writedown Reimbursement means, with respect to any day, the occurrence of either: (i) a payment by or on behalf of the Issuer of an amount in respect of the Reference Obligation in reduction of any prior Writedowns; (A) an increase by or on behalf of the Issuer of the Outstanding Principal Amount of the Reference Obligation to reflect the reversal of any prior Writedowns; or a decrease in the principal deficiency balance or realized loss amounts (howsoever described in the Underlying Instruments) attributable to the Reference Obligation; or

(ii)

(B)

(iii)

if the Underlying Instruments do not provide for writedowns, applied losses, principal deficiencies or realized losses as described in (ii) above to occur in respect of the Reference Obligation, an Implied Writedown Reimbursement Amount being determined in respect of the Reference Obligation by the Calculation Agent.

D-18

Writedown Reimbursement Amount means, with respect to any day, an amount equal to the product of: (i) (ii) (iii) the sum of all Writedown Reimbursements on that day; the Applicable Percentage; and the Reference Price.

Writedown Reimbursement Payment Amount means, with respect to an Additional Fixed Amount Payment Date, the sum of the Writedown Reimbursement Amounts in respect of all Writedown Reimbursements (if any) made during the Reference Obligation Calculation Period relating to such Additional Fixed Amount Payment Date, provided that the aggregate of all Writedown Reimbursement Payment Amounts at any time shall not exceed the aggregate of all Floating Amounts paid by Seller in respect of Writedowns occurring prior to such Additional Fixed Amount Payment Date. 11. Representations

Each party will be deemed to represent to the other party on the date on which it enters into each Transaction that (absent a written agreement between the parties that expressly imposes affirmative obligations to the contrary for the Transaction): (a) Non-Reliance

It is acting for its own account, and it has made its own independent decisions to enter into the Transaction and as to whether the Transaction is appropriate or proper for it based upon its own judgment and upon advice from such advisers as it has deemed necessary. It is not relying on any communication (written or oral) of the other party as investment advice or as a recommendation to enter into the Transaction; it being understood that information and explanations related to the terms and conditions of the Transaction shall not be considered investment advice or a recommendation to enter into the Transaction. No communication (written or oral) received from the other party shall be deemed to be an assurance or guarantee as to the expected results of the Transaction. (b) Assessment and Understanding

It is capable of assessing the merits of and understanding (on its own behalf or through independent professional advice), and understands and accepts, the terms, conditions and risks of the Transaction. It is also capable of assuming, and assumes, the risks of the Transaction. (c) Status of Parties

The other party is not acting as a fiduciary for, or an adviser to it in respect of the Transaction. Please confirm your agreement to be bound by the terms of the foregoing by executing a copy of this Confirmation and returning it to us by facsimile to: Attention: Telephone: Fax: Email: New York Derivatives Documentation (212) 250-9425 (212) 797-0779 NYderivative.documentation@db.com

Deutsche Bank AG, acting through its London Branch, is acting as principal in each Transaction. The time of transaction will be supplied on request. The time of exercise will be supplied on request. Details of arrangements with introducing brokers are available on request.

D-19

This message will be the only form of Confirmation dispatched by us. Please execute and return it to us by facsimile immediately. If you wish to exchange hard copy forms of this Confirmation, please contact us. Yours faithfully, DEUTSCHE BANK AG, ACTING THROUGH ITS LONDON BRANCH

By: __________________________________ Name: __________________________________ Title: Authorized Signatory

By: __________________________________ Name: __________________________________ Title: Authorized Signatory

Confirmed as of the date first written above:

STATIC RESIDENTIAL CDO 2005-C LTD.

By: __________________________________ Name: __________________________________ Title: __________________________________

D-20

Interest Shortfall Cap Annex If Interest Shortfall Cap is applicable, then the following provisions will apply: Interest Shortfall Cap Basis: With respect to each Transaction: Fixed Cap, as set forth in Annex A hereto. If the Interest Shortfall Cap Basis is Fixed Cap, the Interest Shortfall Cap Amount in respect of an Interest Shortfall shall be the Fixed Amount calculated in respect of the Fixed Rate Payer Payment Date immediately following the Reference Obligation Payment Date on which the relevant Interest Shortfall occurred. If the Interest Shortfall Cap Basis is Variable Cap, the Interest Shortfall Cap Amount applicable in respect of a Floating Rate Payer Payment Date shall be an amount equal to the product of: (a) the sum of the Relevant Rate and the Fixed Rate applicable to the Fixed Rate Payer Calculation Period immediately preceding the Reference Obligation Payment Date on which the relevant Interest Shortfall occurs; an amount determined by the Calculation Agent equal to: (i) the sum of the Reference Obligation Notional Amount as at 5:00 p.m. in the Calculation Agent City on each day in such Fixed Rate Payer Calculation Period divided by the actual number of days in such Fixed Rate Payer Calculation Period; and

Interest Shortfall Cap Amount:

(b)

(ii)

(c)

the actual number of days in such Fixed Rate Payer Calculation Period divided by 360.

Interest Shortfall Reimbursement Payment Amount:

If Interest Shortfall Cap is applicable, then with respect to the first Additional Fixed Amount Payment Date, zero, and with respect to any subsequent Additional Fixed Amount Payment Date and calculated as of the Reference Obligation Payment Date immediately preceding such Additional Fixed Amount Payment Date, as specified by the Calculation Agent in its notice to the parties or by Seller in its notice to Buyer of the existence of an Interest Shortfall Reimbursement, an amount equal to the greater of: (a) (b) zero; and the amount equal to: (i) the product of: (A) the Cumulative Interest Shortfall Payment Amount as of the Additional Fixed Amount Payment Date immediately preceding such Reference Obligation Payment Date; and

D-21

(B)

the relevant Cumulative Interest Shortfall Payment Compounding Factor for the Fixed Rate Payer Calculation Period immediately preceding such Additional Fixed Amount Payment Date (or 1.0 in respect of any Additional Fixed Amount Payment Date occurring after the final Fixed Rate Payer Payment Date);

minus (ii) the Cumulative Interest Shortfall Amount as of such Reference Obligation Payment Date;

provided that if the Interest Shortfall Reimbursement Payment Amount on an Additional Fixed Amount Payment Date would exceed the Interest Shortfall Reimbursement Amount in respect of the related Reference Obligation Payment Date, then such Interest Shortfall Reimbursement Payment Amount shall be deemed to be equal to such Interest Shortfall Reimbursement Amount. Cumulative Interest Shortfall Amount: With respect to any Reference Obligation Payment Date, an amount equal to the greater of: (a) (b) zero; and an amount equal to: (i) the Cumulative Interest Shortfall Amount as of the Reference Obligation Payment Date immediately preceding such Reference Obligation Payment Date or, in the case of the first Reference Obligation Payment Date, zero; plus the Interest Shortfall Amount (if any) in respect of such Reference Obligation Payment Date; plus an amount determined by the Calculation Agent as the amount of interest that would accrue on the Cumulative Interest Shortfall Amount immediately preceding such Reference Obligation Payment Date during the related Reference Obligation Calculation Period pursuant to the Underlying Instruments or, in the case of the first Reference Obligation Payment Date, zero; minus the Interest Shortfall Reimbursement Amount (if any) in respect of such Reference Obligation Payment Date.

(ii)

(iii)

(iv)

Upon the occurrence of each Delivery, the Cumulative Interest Shortfall Amount shall be multiplied by a fraction equal to (a) the Applicable Percentage immediately following such Delivery divided by (b) the Applicable Percentage immediately prior to such Delivery; provided, however, that if more than one Delivery is made during a Reference Obligation Calculation Period, the Cumulative Interest Shortfall Amount calculated as of the Reference Obligation Payment Date occurring immediately after such Reference Obligation

D-22

Calculation Period shall be multiplied by a fraction equal to (a) the Applicable Percentage immediately following the final Delivery made during such Reference Obligation Calculation Period and (b) the Applicable Percentage immediately prior to the first Delivery made during such Reference Obligation Calculation Period. Cumulative Interest Shortfall Payment Amount: The Cumulative Interest Shortfall Payment Amount with respect to any Fixed Rate Payer Payment Date and any Additional Fixed Amount Payment Date falling on such Fixed Rate Payer Payment Date shall be an amount equal to the greater of: (a) (b) zero; and the amount equal to: (i) the sum of: (A) the Interest Shortfall Payment Amount for the Reference Obligation Payment Date corresponding to such Fixed Rate Payer Payment Date; and the product of: (1) the Cumulative Interest Shortfall Payment Amount as of the Fixed Rate Payer Payment Date immediately preceding such Fixed Rate Payer Payment Date (or zero in the case of the first Fixed Rate Payer Payment Date); and the relevant Cumulative Interest Shortfall Payment Compounding Factor;

(B)

(2)

minus (ii) any Interest Shortfall Reimbursement Payment Amount paid on such Fixed Rate Payer Payment Date.

With respect to any Additional Fixed Amount Payment Date falling after the final Fixed Rate Payer Payment Date, the Cumulative Interest Shortfall Payment Amount shall be equal to: (x) the Cumulative Interest Shortfall Payment Amount as of the Additional Fixed Amount Payment Date immediately preceding such Additional Fixed Amount Payment Date (or as of the final Fixed Rate Payer Payment Date in the case of the first Additional Fixed Amount Payment Date occurring after the final Fixed Rate Payer Payment Date); minus any Interest Shortfall Reimbursement Payment Amount paid on such Additional Fixed Amount Payment Date.

(y)

D-23

Upon the occurrence of each Delivery, the Cumulative Interest Shortfall Payment Amount shall be multiplied by a fraction equal to (a) the Applicable Percentage immediately following such Delivery divided by (b) the Applicable Percentage immediately prior to such Delivery; provided, however, that if more than one Delivery is made during a Reference Obligation Calculation Period, the Cumulative Interest Shortfall Payment Amount calculated as of the Reference Obligation Payment Date occurring immediately after such Reference Obligation Calculation Period shall be multiplied by a fraction equal to (a) the Applicable Percentage immediately following the final Delivery made during such Reference Obligation Calculation Period and (b) the Applicable Percentage immediately prior to the first Delivery made during such Reference Obligation Calculation Period. Cumulative Interest Shortfall Payment Compounding Factor: With respect to any Fixed Rate Payer Calculation Period, an amount equal to the sum of: (a) 1.0; plus (b) the product of: (i) the sum of (A) the Relevant Rate plus (B) the Fixed Rate; and the actual number of days in such Fixed Rate Payer Calculation Period divided by 360;

(ii)

provided, however, that the Cumulative Interest Shortfall Payment Compounding Factor shall be deemed to be 1.0 during the period from but excluding the Effective Maturity Date to and including the Termination Date. Relevant Rate: With respect to a Fixed Rate Payer Calculation Period, the Floating Rate, expressed as a decimal number with seven decimal places, that would be determined if: (a) the 2000 ISDA Definitions (and not the 2003 ISDA Credit Derivatives Definitions) applied to this paragraph; the Fixed Rate Payer Calculation Period were a Calculation Period for purposes of such determination; and the following terms applied: (i) (ii) the Floating Rate Option were the Rate Source; the Designated Maturity were the period that corresponds to the usual length of a Fixed Rate Payer Calculation Period; and the Reset Date were the first day of the Calculation Period;

(b)

(c)

(iii)

D-24

provided, however, that the Relevant Rate shall be deemed to be zero during the period from but excluding the Effective Maturity Date to and including the Termination Date. Rate Source: USD-LIBOR-BBA

D-25

ANNEX E LIST OF REFERENCE OBLIGATIONS

ANNEX E TRANSACTION ANNEX THE FOLLOWING LIST IS AS OF JANUARY 12, 2006

Reference Obligation (Bloomberg Ticker) AABST 2005-1 B2 AABST 2005-2 B3 AABST 2005-3 B3 ABFC 2005-HE1 M8 ABFC 2005-WF1 M8 ABSHE 2005-HE3 M8 ABSHE 2005-HE5 M8 ACCR 2005-2 M8 ACE 2005-HE2 M8 ACE 2005-HE3 M9 ACE 2005-HE4 M8 AMIT 2005-1 M8 AMIT 2005-2 M8 AMSI 2005-R1 M8 AMSI 2005-R2 M8 Legal Final Maturity Date 3/25/2035 6/25/2035 8/25/2035 12/25/2034 1/25/2035 4/25/2035 6/25/2035 7/25/2035 4/25/2035 5/25/2035 7/25/2035 6/25/2035 7/25/2035 3/25/2035 4/25/2035 Reference Obligation Coupon 1ML + 130 1ML + 175 1ML + 180 1ML + 133 1ML + 125 1ML + 130 1ML + 130 1ML + 125 1ML + 137 1ML + 180 1ML + 140 1ML + 160 1ML + 135 1ML + 175 1ML + 135 Reference Obligation Notional Amount ($) 3,500,000 5,500,000 4,500,000 6,000,000 4,000,000 2,750,000 3,750,000 3,500,000 3,500,000 4,000,000 4,000,000 5,000,000 5,500,000 3,500,000 5,000,000 Fixed Rate (basis points) 195 300 300 190 190 190 190 200 190 300 190 190 190 200 200 Interest Shortfall Cap Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Interest Shortfall Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap

DB Ref#'s C910609M C910614M C910626M C910634M C910640M C910644M C910650M C910654M C910673M C910678M C910682M C910686M C910695M C910700M C910702M

Reference Entity/Issuer AEGIS ASSET BACKED SECURITIES TRUST 2005-1 AEGIS ASSET BACKED SECURITIES TRUST 2005-2 AEGIS ASSET BACKED SECURITIES TRUST 2005-3 ASSET BACKED FUNDING CERTIFICATES 2005-HE1 ASSET BACKED FUNDING CERTIFICATES 2005-WF1 ASSET BACKED SECURITIES CORP HOME EQUITY LN TRST 2005-HE3 ASSET BACKED SECURITIES CORP HOME EQUITY LN TRST 2005-HE5 ACCREDITED MORTGAGE LOAN TRUST 2005-2 ACE SECURITIES CORP. 2005-HE2 ACE SECURITIES CORP. 2005-HE3 ACE SECURITIES CORP. 2005-HE4 AAMES MORTGAGE INVESTMENT TRUST 2005-1 AAMES MORTGAGE INVESTMENT TRUST 2005-2 AMERIQUEST MORTGAGE SECURITIES INC. 2005-R1 AMERIQUEST MORTGAGE SECURITIES INC. 2005-R2

CUSIP 00764MES2 00764MFK8 00764MFZ5 04542BKZ4 04542BMF6 04541GRB0 04541GSQ6 004375DL2 004421MK6 004421NL3 004421PX5 00252FBF7 126673L75 03072SYF6 03072SYY5

Initial Factor 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000

Reference Price 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%

Initial Payment 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Step-up provisions Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

Reference Policy None None None None None None None None None None None None None None None

E-1

DB Ref#'s C910705M C910709M C910713M C910717M C910719M C910721M C910722M C910725M C910726M C910727M C910729M C910757M C910543M C910548M C910554M C910557M C910563M C910567M C910574M C910578M C910582M

Reference Entity/Issuer AMERIQUEST MORTGAGE SECURITIES INC. 2005-R4 AMERIQUEST MORTGAGE SECURITIES INC. 2005-R5 BEAR STEARNS ALT-A TRUST 20051 BEAR STEARNS ALT-A TRUST 20055 BEAR STEARNS ASSET BACKED SECURITIES, INC. 2005-HE1 BEAR STEARNS ASSET BACKED SECURITIES, INC. 2005-HE2 BEAR STEARNS ASSET BACKED SECURITIES, INC. 2005-HE3 BEAR STEARNS ASSET BACKED SECURITIES, INC. 2005-HE4 BEAR STEARNS ASSET BACKED SECURITIES, INC. 2005-HE5 BEAR STEARNS ASSET BACKED SECURITIES, INC. 2005-TC1 BEAR STEARNS ASSET BACKED SECURITIES, INC. 2005-TC2 CARRINGTON MORTGAGE LOAN TRUST 2005-NC1 CARRINGTON MORTGAGE LOAN TRUST 2005-NC2 CARRINGTON MORTGAGE LOAN TRUST 2005-NC3 CARRINGTON MORTGAGE LOAN TRUST 2005-OPT2 CREDIT-BASED ASSET SERVICING AND SECURITIZATION 2005-CB2 CITIGROUP MORTGAGE LOAN TRUST, INC. 2005-HE1 CITIGROUP MORTGAGE LOAN TRUST, INC. 2005-OPT1 CITIGROUP MORTGAGE LOAN TRUST, INC. 2005-OPT3 COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-1 COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-3

Reference Obligation (Bloomberg Ticker) AMSI 2005-R4 M9 AMSI 2005-R5 M8 BALTA 2005-1 B1 BALTA 2005-5 1B1 BSABS 2005-HE1 M6 BSABS 2005-HE2 M5 BSABS 2005-HE3 M5 BSABS 2005-HE4 M5 BSABS 2005-HE5 M5 BSABS 2005-TC1 M5 BSABS 2005-TC2 M6 CARR 2005-NC1 M7 CARR 2005-NC2 M7 CARR 2005-NC3 M7 CARR 2005-OPT2 M7 CBASS 2005-CB2 B3 CMLTI 2005-HE1 M7 CMLTI 2005-OPT1 M9 CMLTI 2005-OPT3 M8 CWL 2005-1 MV8 CWL 2005-3 MV8

CUSIP 03072SD28 03072SE92 07386HQK0 07386HUE9 073879PW2 073879RD2 073879SA7 073879TX6 073879WE4 073879VK1 073879E79 144531BH2 144531CA6 144531DE7 144531CQ1 04542BLR1 17307GQV3 17307GNZ7 17307GSR0 126673XE7 126673C34

Legal Final Maturity Date 7/25/2035 7/25/2035 1/25/2035 7/25/2035 1/25/2035 2/25/2035 3/25/2035 4/25/2035 6/25/2035 5/25/2035 8/25/2035 2/25/2035 5/25/2035 6/25/2035 5/25/2035 4/25/2036 5/25/2035 2/25/2035 5/25/2035 7/25/2035 8/25/2035

Reference Obligation Coupon 1ML + 175 1ML + 135 1ML + 130 1ML + 130 1ML + 245 1ML + 130 1ML + 141 1ML + 135 1ML + 137 1ML + 130 1ML + 185 1ML + 145 1ML + 145 1ML + 140 1ML + 135 1ML + 180 1ML + 175 1ML + 225 1ML + 125 1ML + 140 1ML + 140

Reference Obligation Notional Amount ($) 4,000,000 4,000,000 6,250,000 6,250,000 6,000,000 2,500,000 3,000,000 2,500,000 2,500,000 2,500,000 6,250,000 4,000,000 3,000,000 3,500,000 6,250,000 6,250,000 4,500,000 4,000,000 4,500,000 6,250,000 6,000,000

Initial Factor 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000

Reference Price 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%

Initial Payment 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Fixed Rate (basis points) 200 200 175 175 305 200 200 200 200 200 305 195 195 195 195 275 290 290 190 198 198

Interest Shortfall Cap Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

Interest Shortfall Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap

Step-up provisions Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

Reference Policy None None None None None None None None None None None None None None None None None None None None None

E-2

DB Ref#'s C910586M C910594M C910597M C910536M C910600M C910605M C910611M C910617M C910623M C910627M C910630M C910636M C910639M C910643M C910647M C910649M C910653M C910656M C910662M C910666M C910555M

Reference Entity/Issuer COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-6 COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-AB1 COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-AB2 COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-BC2 CENTEX HOME EQUITY 2005-A CENTEX HOME EQUITY 2005-B CENTEX HOME EQUITY 2005-C ENCORE CREDIT RECEIVABLES TRUST 2005-1 ENCORE CREDIT RECEIVABLES TRUST 2005-2 FIRST FRANKLIN MTG LOAN ASSET BACKED CERTIFICATES 2005-FF1 FIRST FRANKLIN MTG LOAN ASSET BACKED CERTIFICATES 2005-FF2 FIRST FRANKLIN MTG LOAN ASSET BACKED CERTIFICATES 2005-FF3 FIRST FRANKLIN MTG LOAN ASSET BACKED CERTIFICATES 2005-FF4 FREMONT HOME LOAN TRUST 2005-1 FREMONT HOME LOAN TRUST 2005-A FREMONT HOME LOAN TRUST 2005-B GSAA HOME EQUITY TRUST 2005-8 GSAA HOME EQUITY TRUST 2005-9 GSAMP TRUST 2005-AHL GSAMP TRUST 2005-HE3 HOME EQUITY ASSET TRUST 20052

Reference Obligation (Bloomberg Ticker) CWL 2005-6 M8 CWL 2005-AB1 B CWL 2005-AB2 B CWL 2005-BC2 M8 CXHE 2005-A B CXHE 2005-B B CXHE 2005-C B1 ECR 2005-1 M8 ECR 2005-2 M8 FFML 2005-FF1 B3 FFML 2005-FF2 B3 FFML 2005-FF3 M9 FFML 2005-FF4 M7 FHLT 2005-1 M8 FHLT 2005-A M8 FHLT 2005-B M9 GSAA 2005-8 B1 GSAA 2005-9 B1 GSAMP 2005-AHL M6 GSAMP 2005-HE3 B1 HEAT 2005-2 B2

CUSIP 126673W99 126673XZ0 126673T85 126673F56 152314MQ0 152314NJ5 152314PB0 126673VW9 126673J86 32027NQR5 36242DP23 86359DBT3 32027NRJ2 35729PJJ0 35729PHT0 35729PKD1 362341CY3 362341GR4 36242D3A9 362341BU2 437084JX5

Legal Final Maturity Date 12/25/2035 8/25/2035 11/25/2035 5/25/2035 1/25/2035 3/25/2035 6/25/2035 7/25/2035 11/25/2035 12/25/2034 3/25/2035 4/25/2035 5/25/2035 6/25/2035 1/25/2035 4/25/2035 6/25/2035 8/25/2035 4/25/2035 6/25/2035 7/25/2035

Reference Obligation Coupon 1ML + 160 1ML + 150 1ML + 135 1ML + 135 1ML + 155 1ML + 135 1ML + 130 1ML + 140 1ML + 140 1ML + 200 1ML + 205 1ML + 200 1ML + 130 1ML + 135 1ML + 135 1ML + 132 1ML + 120 1ML + 120 1ML + 185 1ML + 135 1ML + 136

Reference Obligation Notional Amount ($) 6,000,000 2,500,000 2,500,000 2,500,000 3,000,000 4,000,000 6,000,000 6,000,000 6,000,000 4,500,000 6,250,000 3,500,000 5,500,000 5,500,000 6,000,000 3,500,000 6,250,000 6,250,000 3,250,000 4,500,000 4,500,000

Initial Factor 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000

Reference Price 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%

Initial Payment 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Fixed Rate (basis points) 198 198 198 198 200 200 200 205 205 295 295 295 190 195 195 195 110 110 300 190 190

Interest Shortfall Cap Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

Interest Shortfall Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap

Step-up provisions Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

Reference Policy None None None None None None None None None None None None None None None None None None None None None

E-3

DB Ref#'s C910558M C910564M C910570M C910576M C910580M C910587M C910593M C910596M C910602M C910606M C910612M C910616M C910619M C910625M C910629M C910633M C910637M C910641M C910645M C910651M C910658M

Reference Entity/Issuer HOME EQUITY ASSET TRUST 20054 IMPAC CMB TRUST 2005-2 IMPAC CMB TRUST 2005-3 IMPAC CMB TRUST 2005-4 IMPAC CMB TRUST 2005-5 LONG BEACH MORTGAGE LOAN TRUST 2005-2 MASTR ASSET BACKED SECURITIES TRUST 2005-HE1 MASTR ASSET BACKED SECURITIES TRUST 2005-NC1 MASTR ASSET BACKED SECURITIES TRUST 2005-WMC1 MASTR ADJUSTABLE RATE MORTGAGES TRUST 2004-14 MERRILL LYNCH MORTGAGE INVESTORS, INC. 2005-HE1 MERRILL LYNCH MORTGAGE INVESTORS, INC. 2005-NC1 MERRILL LYNCH MORTGAGE INVESTORS, INC. 2005-WMC1 MERRILL LYNCH MORTGAGE INVESTORS, INC. 2005-WMC2 MORGAN STANLEY ABS CAPITAL I 2005-HE1 MORGAN STANLEY ABS CAPITAL I 2005-HE2 MORGAN STANLEY ABS CAPITAL I 2005-NC1 MORGAN STANLEY ABS CAPITAL I 2005-WMC1 MORGAN STANLEY ABS CAPITAL I 2005-WMC2 MORGAN STANLEY ABS CAPITAL I 2005-WMC3 MORGAN STANLEY ABS CAPITAL I 2005-WMC4

Reference Obligation (Bloomberg Ticker) HEAT 2005-4 B2 IMM 2005-2 1B IMM 2005-3 B IMM 2005-4 1B1 IMM 2005-5 M6 LBMLT 2005-2 M8 MABS 2005-HE1 M8 MABS 2005-NC1 M8 MABS 2005-WMC1 M9 MARM 2004-14 B1 MLMI 2005-HE1 B3 MLMI 2005-NC1 B2 MLMI 2005-WMC1 B2 MLMI 2005-WMC2 B2 MSAC 2005-HE1 B3 MSAC 2005-HE2 B2 MSAC 2005-NC1 B2 MSAC 2005-WMC1 B2 MSAC 2005-WMC2 B2 MSAC 2005-WMC3 B2 MSAC 2005-WMC4 B2

CUSIP 437084LU8 45254NNH6 45254NNZ6 45254NPQ4 45254NQD2 542514KY9 57643LJM9 57643LGN0 57643LHE9 576433VD5 59020UVB8 59020URT4 59020URA5 59020UWQ4 61744CKW5 61744CNJ1 61744CMS2 61744CMB9 61744CNY8 61744CQE9 61744CRH1

Legal Final Maturity Date 10/25/2035 4/25/2035 8/25/2035 5/25/2035 8/25/2035 4/25/2035 5/25/2035 12/25/2034 3/25/2035 1/25/2035 2/25/2036 10/25/2035 9/25/2035 4/25/2036 12/25/2034 1/25/2035 1/25/2035 1/25/2035 2/25/2035 3/25/2035 4/25/2035

Reference Obligation Coupon 1ML + 170 1ML + 130 1ML + 135 1ML + 130 1ML + 83 1ML + 135 1ML + 130 1ML + 153 1ML + 188 1ML + 165 1ML + 175 1ML + 130 1ML + 135 1ML + 130 1ML + 235 1ML + 130 1ML + 130 1ML + 130 1ML + 130 1ML + 130 1ML + 127

Reference Obligation Notional Amount ($) 5,250,000 2,500,000 2,500,000 5,000,000 6,250,000 6,250,000 4,000,000 3,500,000 4,000,000 6,250,000 4,500,000 3,500,000 6,250,000 3,500,000 6,250,000 5,500,000 5,750,000 4,500,000 3,500,000 3,000,000 3,500,000

Initial Factor 1.0000000000 0.7939584600 0.8113725600 0.7934850585 0.8480624450 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000

Reference Price 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%

Initial Payment 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Fixed Rate (basis points) 295 190 190 190 60 190 185 185 285 112 295 190 190 190 285 185 185 185 185 185 185

Interest Shortfall Cap Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

Interest Shortfall Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap

Step-up provisions Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

Reference Policy None None None None None None None None None None None None None None None None None None None None None

E-4

DB Ref#'s C910661M C910664M C910670M C910674M C910677M C910680M C910556M C910568M C910575M

Reference Entity/Issuer MORGAN STANLEY ABS CAPITAL I 2005-WMC5 MORGAN STANLEY HOME EQUITY LOANS 2005-1 MORGAN STANLEY HOME EQUITY LOANS 2005-2 MORGAN STANLEY MORTGAGE LOAN TRUST 2005-6AR NOMURA ASSET ACCEPTANCE CORPORATION 2005-AR3 NEW CENTURY HOME EQUITY LOAN TRUST 2005-3 NOVASTAR HOME EQUITY LOAN 2005-1 NOVASTAR HOME EQUITY LOAN 2005-2 OPTEUM MORTGAGE ACCEPTANCE CORPORATION 2005-2 OWNIT MORTGAGE LOAN ASSETBACKED CERTIFICATES 2005-2 PARK PLACE SECURITIES INC 2005-WCH1 PARK PLACE SECURITIES INC 2005-WHQ1 PARK PLACE SECURITIES INC 2005-WHQ3 PARK PLACE SECURITIES INC 2005-WLL1 RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC. 2005-EFC1 RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC. 2005-RS6 RESIDENTIAL ASSET SECURITIES CORPORATION 2005-EMX1 RESIDENTIAL ASSET SECURITIES CORPORATION 2005-EMX2 RESIDENTIAL ASSET SECURITIES CORPORATION 2005-KS1 RESIDENTIAL ASSET SECURITIES CORPORATION 2005-KS2 RESIDENTIAL ASSET SECURITIES CORPORATION 2005-KS6

Reference Obligation (Bloomberg Ticker) MSAC 2005-WMC5 B3 MSHEL 2005-1 B2 MSHEL 2005-2 B2 MSM 2005-6AR 1M6 NAA 2005-AR3 M4 NCHET 2005-3 M8 NHEL 2005-1 B2 NHEL 2005-2 M8 OPMAC 2005-2 M8

CUSIP 61744CRZ1 61744CLM6 61744CQS8 61748HNB3 65535VMP0 64352VLR0 66987XGM1 66987WCU9 68383NBD4

Legal Final Maturity Date 6/25/2035 12/25/2034 5/25/2035 11/25/2035 7/25/2035 7/25/2035 6/25/2035 10/25/2035 4/25/2035

Reference Obligation Coupon 1ML + 175 1ML + 142 1ML + 128 1ML + 72 1ML + 135 1ML + 140 1ML + 135 1ML + 127 1ML + 130

Reference Obligation Notional Amount ($) 5,000,000 4,250,000 4,750,000 6,250,000 6,250,000 6,250,000 6,250,000 5,000,000 2,500,000

Initial Factor 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000

Reference Price 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%

Initial Payment 0 0 0 0 0 0 0 0 0

Fixed Rate (basis points) 285 195 195 65 110 205 200 200 195

Interest Shortfall Cap Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

Interest Shortfall Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap

Step-up provisions Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

Reference Policy None None None None None None None None None

C910579M C910583M C910601M C910603M C910607M C910613M C910615M C910618M C910624M C910628M C910631M C910635M

OWNIT 2005-2 B3 PPSI 2005-WCH1 M8 PPSI 2005-WHQ1 M9 PPSI 2005-WHQ3 M8 PPSI 2005-WLL1 M9 RAMP 2005-EFC1 M8 RAMP 2005-RS6 M8 RASC 2005-EMX1 M6 RASC 2005-EMX2 M9 RASC 2005-KS1 M5 RASC 2005-KS2 M6 RASC 2005-KS6 M8

691215BF3 70069FFQ5 70069FGJ0 70069FJW8 70069FHE0 76112BRT9 76112BTZ3 76110WR24 76110W2Q8 76110WM78 76110WP34 76110WZ58

3/25/2036 1/25/2036 3/25/2035 6/25/2035 3/25/2035 5/25/2035 6/25/2035 3/25/2035 7/25/2035 2/25/2035 3/25/2035 7/25/2035

1ML + 200 1ML + 155 1ML + 220 1ML + 130 1ML + 205 1ML + 130 1ML + 155 1ML + 214 1ML + 180 1ML + 140 1ML + 200 1ML + 125

6,000,000 5,000,000 3,000,000 5,000,000 3,000,000 4,500,000 4,500,000 4,500,000 3,750,000 3,000,000 3,000,000 3,000,000

1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%

0 0 0 0 0 0 0 0 0 0 0 0

300 200 295 200 295 190 190 305 305 190 305 190

Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

None None None None None None None None None None None None

E-5

DB Ref#'s C910638M

Reference Entity/Issuer SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005FR1 SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005OP1 STRUCTURED ASSET INVESTMENT LOAN TRUST 2005-2 STRUCTURED ASSET INVESTMENT LOAN TRUST 2005-3 STRUCTURED ASSET INVESTMENT LOAN TRUST 2005-4 STRUCTURED ASSET INVESTMENT LOAN TRUST 2005-5 STRUCTURED ASSET INVESTMENT LOAN TRUST 2005-6 STRUCTURED ASSET SECURITIES CORPORATION 2005-NC1 STRUCTURED ASSET SECURITIES CORPORATION 2005-NC2 STRUCTURED ASSET SECURITIES CORPORATION 2005-WF1 STRUCTURED ASSET SECURITIES CORPORATION 2005-WF2 SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE 2005-BC1 SOUNDVIEW HOME EQUITY LOAN TRUST 2005-DO1

Reference Obligation (Bloomberg Ticker) SABR 2005-FR1 B3

CUSIP 81375WDX1

Legal Final Maturity Date 12/25/2034

Reference Obligation Coupon 1ML + 170

Reference Obligation Notional Amount ($) 4,000,000

Initial Factor 1.0000000000

Reference Price 100.00%

Initial Payment 0

Fixed Rate (basis points) 300

Interest Shortfall Cap Applicable

Interest Shortfall Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap Fixed Cap

Step-up provisions Applicable

Reference Policy None

C910642M

SABR 2005-OP1 B2

81375WCX2

1/25/2035

1ML + 130

4,250,000

1.0000000000

100.00%

190

Applicable

Applicable

None

C910646M C910648M C910652M C910655M C910660M C910663M C910669M C910672M C910675M C910679M C910681M

SAIL 2005-2 M8 SAIL 2005-3 M8 SAIL 2005-4 M8 SAIL 2005-5 M8 SAIL 2005-6 M7 SASC 2005-NC1 M7 SASC 2005-NC2 M9 SASC 2005-WF1 M8 SASC 2005-WF2 M8 SURF 2005-BC1 B2 SVHE 2005-DO1 M8

86358ERH1 86358ESC1 86358ESS6 86358ETN6 86358EUG9 86359BZ79 86359DCV7 86359BW64 86359DDJ3 84751PEW5 83611MEE4

3/25/2035 4/25/2035 5/25/2035 6/25/2035 7/25/2035 2/25/2035 5/25/2035 2/25/2035 5/25/2035 12/25/2035 5/25/2035

1ML + 130 1ML + 130 1ML + 140 1ML + 125 1ML + 135 1ML + 140 1ML + 130 1ML + 137 1ML + 120 1ML + 130 1ML + 125

6,250,000 6,250,000 4,000,000 6,000,000 6,000,000 2,500,000 4,250,000 2,500,000 2,500,000 3,000,000 2,500,000

1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%

0 0 0 0 0 0 0 0 0 0 0

200 200 195 200 200 200 200 200 200 200 190

Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable Applicable

None None None None None None None None None None None

E-6

INDEX OF DEFINED TERMS Accounts.........................................................119 Actual Interest Amount.....................................71 Actual Principal Amount ...................................70 Additional Fixed Amount Payment Date ..........71 Additional Fixed Payment ................................71 Additional Fixed Payment Amount...................71 Additional Fixed Payment Event ......................71 Additional Notes ...............................................12 Administration Agreement................................57 Administrative Expenses................................119 Administrator ....................................................57 Affiliate............................................................119 Aggregate Attributable Amount......................119 Aggregate Implied Writedown Amount ............70 Aggregate Outstanding Amount.....................119 Aggregate Principal Balance..........................119 Applicable Percentage .....................................69 Applicable Procedures .....................................44 Applicable Recovery Rate..............................119 Asset-Backed Security ...................................119 Assignment and Acceptance Letter ...............111 Auction .......................................................10, 27 Auction Call Redemption..................................28 Auction Collateral .............................................10 Auction Date.....................................................27 Auction Procedures..........................................27 Auction Redemption Amount ...........................29 Auction Redemption Date ..............................119 Automobile Securities ........................................1 Average Life ...................................................120 Balance ..........................................................120 Bank .............................................................1, 87 Base Rate.........................................................26 Base Rate Reference Bank..............................26 Best Transfer Price ..........................................30 Business Day ...................................................32 Calculation Agent .............................................25 Calculation Amount ........................................120 Car Rental Fleet Securities ................................1 CDO Domestic Corporate Debt Securities.........1 CDO Securities ..............................................120 CDO Structured Product Securities ...................1 Class ..................................................................9 Class A Notes ....................................................1 Class A/B Coverage Tests ...............................40 Class A/B Interest Coverage Ratio ..................42 Class A/B Interest Coverage Test....................42 Class A/B Overcollateralization Ratio ..............41 Class A/B Overcollateralization Test................41 Class A-1 Commitment Amount.........................2 Class A-1 Cumulative Interest Amount ..............4 Class A-1 F Note Defaulted Interest ..................5 Class A-1 F Note Interest Rate ..........................5 Class A-1 F Noteholders ....................................3 Class A-1 F Notes.............................................. 2 Class A-1 Funded Amount................................. 2 Class A-1 Funded Amount Interest.................... 4 Class A-1 Note Purchase Agreement................ 3 Class A-1 Noteholder......................................... 3 Class A-1 Notes ................................................. 1 Class A-1 U Note Commitment Rate ................. 5 Class A-1 U Note Defaulted Interest.................. 5 Class A-1 U Noteholder Account ..................... 24 Class A-1 U Noteholder Account Termination Date ........................................................... 24 Class A-1 U Noteholder Rating Criteria ............. 3 Class A-1 U Noteholders ................................... 3 Class A-1 U Notes ............................................. 2 Class A-1 Unfunded Amount ............................. 4 Class A-1 Unfunded Amount Interest ................ 5 Class A-1 Weighted Average Unfunded Amount ........................................................ 5 Class A-2 Notes ................................................. 1 Class B Notes .................................................... 1 Class C Coverage Tests.................................. 40 Class C Deferred Interest .............................. 120 Class C Interest Coverage Ratio ..................... 42 Class C Interest Coverage Test....................... 42 Class C Notes .................................................... 1 Class C Overcollateralization Ratio ................. 41 Class C Overcollateralization Test................... 41 Class D Coverage Tests.................................. 40 Class D Deferred Interest .............................. 120 Class D Interest Coverage Ratio ..................... 42 Class D Interest Coverage Test....................... 42 Class D Notes .................................................... 1 Class D Overcollateralization Ratio ................. 41 Class D Overcollateralization Test................... 41 Class E Coverage Tests .................................. 40 Class E Deferred Interest .............................. 120 Class E Interest Coverage Ratio ..................... 42 Class E Interest Coverage Test....................... 43 Class E Notes .................................................... 1 Class E Overcollateralization Ratio ................. 41 Class E Overcollateralization Test................... 41 Class F Subordinated Note Documents ........ 120 Class F Subordinated Note Paying Agency Agreement................................................... 6 Class F Subordinated Note Paying Agent ......... 6 Class F Subordinated Note Register ............... 44 Class F Subordinated Note Registrar .............. 44 Class F Subordinated Noteholders.................. 35 Class F Subordinated Notes.............................. 1 Clean-up Call ................................................... 10 Clearstream ....................................................... ii Closing Date ...................................................... 1 Closing Expense Account................................ 64 Closing Expense Deposit............................... 120

CODE ................................................................ iv Co-Issuer............................................................1 Co-Issuers ..........................................................1 Collateral ............................................................7 Collateral Account ............................................63 Collateral Administration Agreement .............121 Collateral Administrator..................................121 Collateral Quality Tests ....................................59 Collection Account ...........................................64 Collection Period ............................................121 Commitment Period ...........................................4 Commitment Period Termination Date...............4 Company ........................................................106 Consumer ABS Securities..............................121 Controlling Class ............................................121 Corporate Trust Office....................................121 Counterparty Ratings Requirement .................76 Coverage Tests..............................................121 Credit Card Securities ........................................2 Credit Default Swap ...........................................1 Credit Default Swap Calculation Agent............66 Credit Default Swap Counterparty .....................1 Credit Default Swap Issuer Account ................64 Credit Default Swap Issuer Termination Amount ......................................................38 Credit Default Swap Payment Amount ............37 Credit Default Swap Portfolio .............................1 Credit Default Swap Portfolio Notional Amount ......................................................67 Credit Default Swap Termination Date ............75 Credit Derivatives Definitions .....................20, 66 Credit Event .....................................................73 Cumulative Interest Amount...........................121 Current Factor ..................................................66 Current Period Implied Writedown Amount......74 DBSI .................................................................96 DBTCA .............................................................96 Deed of Covenant ..............................................6 Defaulted Asset..............................................121 Defaulted Interest...........................................122 Deferred Interest PIK Obligation ....................122 Definitive Notes ................................................43 Delivered Obligation.........................................66 Designated Maturity .........................................26 Determination Date ........................................122 Deutsche Bank.................................................87 Deutsche Bank AG.............................................1 Deutsche Bank AG London................................1 Deutsche Bank Group......................................87 disqualified persons .......................................107 Distressed Ratings Downgrade .......................73 Documents .....................................................100 Dollars ............................................................... vi DTC ....................................................................1 Effective Date...................................................67 Effective Maturity Date .....................................75

Eligibility Criteria .............................................. 60 Eligible Country.............................................. 122 Eligible Investments ....................................... 122 Eligible SPV Jurisdiction ................................ 124 Emerging Market Issuer................................. 124 Enron ............................................................... 96 ERISA ............................................................ 107 Euroclear............................................................ ii Event of Default ............................................... 49 excepted investment company ...................... 113 Exchange Act....................................................vii Exercise Amount.............................................. 66 Exercise Percentage........................................ 67 Expected Interest Amount ............................... 71 Expected Principal Amount.............................. 70 Expense Payment Instruction ........................ 124 Face Amount.................................................. 124 Failure to Pay Principal.................................... 73 Final Amortization Date ................................... 75 Final Maturity Date........................................... 10 Final Payment Date ....................................... 124 Financed Amount........................................... 124 Financed Amount Payment ........................... 124 Fitch ................................................................. 74 Fixed Amount................................................... 69 Fixed Payment ................................................. 69 Fixed Rate........................................................ 69 Fixed Rate Payer Calculation Period............... 69 Fixed Rate Payer Payment Date ..................... 69 Floating Amount............................................... 70 Floating Amount Event .................................... 70 Floating Payment ............................................. 70 Floating Rate Payer Payment Date ................. 70 Floating Rate Security ................................... 125 Flow-Through Investment Vehicle ................. 114 FSMA ........................................................ vi, 110 Global Notes .................................................... 12 HGB ................................................................. 90 Holdings ........................................................... 78 Holzmann......................................................... 98 imbau ............................................................... 98 Implied Writedown Amount.............................. 74 Implied Writedown Percentage........................ 74 Implied Writedown Reimbursement Amount ... 72 Incremental Funding .......................................... 4 Incremental Funding Date ................................. 4 Indenture............................................................ 1 indirect participants .......................................... 46 Initial Credit Default Swap Portfolio Notional Amount ...................................................... 67 Initial Face Amount .......................................... 69 Initial Factor ..................................................... 68 Initial Purchaser ................................................. 1 Initial Purchaser Notes................................... 109 Interest Collection Subaccount ........................ 64 Interest Only Security .................................... 125

Interest Period..................................................26 Interest Proceeds .............................................32 Interest Shortfall ...............................................70 Interest Shortfall Amount..................................71 Interest Shortfall Cap .......................................71 Interest Shortfall Cap Amount ..........................71 Interest Shortfall Payment Amount ..................70 Interest Shortfall Reimbursement ....................72 Interest Shortfall Reimbursement Amount .......72 Interest Shortfall Reimbursement Payment Amount ......................................................72 Investment Agreement .......................................7 Investment Agreement Amount .......................77 Investment Agreement Insurer.........................77 Investment Agreement Provider ..................8, 77 Investment Company Act .......................... iii, 114 Investor-Based Exemptions ...........................107 IRS 99 ISDA .................................................................20 ISDA Master Agreement ..................................66 Issue Date ......................................................117 Issue Price........................................................99 Issuer..................................................................1 Issuer Charter ....................................................6 KPMG...............................................................90 KPMG DTG ......................................................97 Legal Final Maturity Date .................................74 Legend .............................................................44 LIBOR...............................................................25 LIBOR Business Day .......................................26 LIBOR Determination Date ..............................25 Liquidation Proceeds......................................125 Listing Agent ..................................................117 London Banking Day........................................26 Margin Stock ..................................................125 Market Value ..................................................125 Maturity Extension............................................74 Measurement Date.........................................125 Monthly Report.................................................55 Moodys Rating ..............................................125 Moody's ..............................................................1 Moody's Applicable Recovery Rate ...................1 Moody's Asset Correlation Factor ......................1 Moody's Correlation Factor Test ......................59 Moody's Maximum Rating Factor Test.............59 Moody's Minimum Weighted Average Recovery Rate Test...................................59 Moody's Rating...................................................3 Moody's Rating Factor .......................................2 Moody's Weighted Average Rating Factor ........2 Moody's Weighted Average Recovery Rate ......1 Net Outstanding Swap Balance .....................125 non-U.S. Holder .............................................105 Note Interest Rate ..........................................127 Note Pro Rata Percentage ...............................39 Note Register ...................................................44

Note Registrar.................................................. 44 Note Valuation Report ..................................... 55 Notes.................................................................. 1 Notional Amount ............................................ 127 Notional Termination Amount .......................... 39 Offering ............................................................. iv OID101 Optional Redemption ....................................... 10 Optional Redemption Call Withdrawal Fee.... 127 Optional Step-Up Early Termination Date ....... 75 Ordinary Shares............................................... 57 Original Principal Amount ................................ 68 Original Purchasers ......................................... 11 Outstanding.................................................... 127 Outstanding Principal Amount ......................... 68 Pari Passu Amount .......................................... 74 Participants ...................................................... 44 parties in interest............................................ 107 Pay As You Go ................................................ 20 Paying Agent.................................................... 32 Payment Account............................................. 64 Payment Date .................................................... 9 Periodic Interest ............................................. 128 PFIC............................................................... 103 Physical Settlement Amount............................ 67 PIK Obligation ................................................ 128 Plan Asset Regulations.................................. 107 Plans .............................................................. 107 Pledged Asset................................................ 128 portfolio interest exemption............................ 100 pre-amendment beneficial owners................. 113 Previous Period Implied Writedown Amount ... 74 Principal Balance ........................................... 128 Principal Collection Subaccount ...................... 64 Principal Only Security................................... 128 Principal Payment ............................................ 68 Principal Payment Amount .............................. 68 Principal Proceeds ........................................... 35 Principal Shortfall Amount ............................... 70 Principal Shortfall Reimbursement .................. 72 Principal Shortfall Reimbursement Amount..... 72 Principal Shortfall Reimbursement Payment Amount ...................................................... 72 Priority of Payments......................................... 32 Pro Rata Share .................................................. 4 Prohibited ABS Securities.............................. 128 Prospectus ..................................................... 128 Prospectus Directive .......................................... 1 PTCE ............................................................. 107 Purchase Agreement ..................................... 109 Pure Private Reference Obligation ................ 128 QBUs ............................................................... 99 Qualified Bidder ............................................... 28 Qualified Institutional Buyer ........................... 112 Qualified Institutional Buyers ........................... 11 qualified professional asset manager ............ 107

Qualified Purchaser............................................v Qualified Stated Interest.................................102 Rating Agencies .................................................1 Rating Condition.............................................128 Record Date .....................................................32 Redemption Amount ........................................29 Redemption Date .............................................30 Redemption Payment Sequence .....................39 Redemption Price.............................................10 Reference Banks..............................................26 Reference Dealers ...........................................27 Reference Entity.............................................128 Reference Obligation .........................................1 Reference Obligation Calculation Period .........71 Reference Obligation Notional Amount............67 Reference Obligation Payment Date ...............69 Reference Price ...............................................67 Regulation S.......................................................1 Regulation S Global Notes................................. ii Relevant Date ................................................109 Residential ABS Securities ............................128 Residential Mid-Prime Mortgage Securities.......2 Residential Prime Mortgage Securities..............2 Residential Sub-Prime Mortgage Securities ......2 Reverse Turbo Condition .................................43 Reverse Turbo Ratio ........................................43 Rule 144A...........................................................1 Rule 144A Global Notes..................................... ii Scheduled Termination Date ...........................75 SEC ..................................................................15 Section 3(c)(7) Representations ......................47 Secured Parties..................................................1 Securities Act .....................................................1 Securities Intermediary ..................................128 Senior .................................................................2 Senior Amount .................................................74 Sequential Overcollateralization Ratio .............41 Sequential Overcollateralization Test ..............42 Sequential Principal Payment Event..................9 Servicer ............................................................67 Servicer Report ................................................67 Share Trustee ..................................................57 Special U.S. Tax Counsel ..............................100 Specified Types..............................................128 Standard & Poors Rating...............................129

Standard & Poor's.............................................. 1 Standard & Poor's Applicable Recovery Rate ... 1 Standard & Poor's Break-Even Default Rate..... 4 Standard & Poor's CDO Monitor........................ 4 Standard & Poor's CDO Monitor Test.......... 59, 4 Standard & Poor's Loss Rate Differential .......... 4 Standard & Poor's Minimum Weighted Average Recovery Rate Test .................... 59 Standard & Poor's Rating .................................. 1 Standard & Poor's Recovery Rate Matrix .......... 1 Standard & Poor's Scenario Default Rate ......... 4 Standard & Poor's Weighted Average Recovery Rate............................................. 1 Stated Maturity................................................... 9 Step-Down Obligation.................................... 129 Step-Up............................................................ 69 Student Loan Securities..................................... 3 Subordinate........................................................ 2 Swap Termination or Transfer Inflows ............. 31 Swap Termination or Transfer Outflows .......... 31 Termination Asset ............................................ 31 Termination Liability ......................................... 31 Trade Date ....................................................... 67 Transaction Documents................................. 129 Transfer Agent ................................................. 44 Treasury........................................................... 22 Trustee............................................................... 1 U.S. Dollars....................................................... vi U.S. GAAP ................................................. 88, 90 U.S. Holder ...................................................... 99 U.S.$ ................................................................. vi Underlying Assets ............................................ 74 Underlying Instrument.................................... 129 USA PATRIOT Act........................................... 22 Weighted Average Life .................................. 129 Weighted Average Life Test ............................ 60 Weighted Average Premium/Spread ............. 129 Weighted Average Premium/Spread Test ....... 60 Writedown ........................................................ 73 Writedown Amount........................................... 70 Writedown Reimbursement ............................. 72 Writedown Reimbursement Amount ................ 72 Writedown Reimbursement Payment Amount ...................................................... 71 Written Down Security ................................... 129

PRINCIPAL OFFICES OF THE CO-ISSUERS STAtic ResidenTial CDO 2005-C Ltd. P.O. Box 1984 GT c/o Deutsche Bank (Cayman) Limited Elizabethan Square, George Town Grand Cayman, Cayman Islands STAtic ResidenTial CDO 2005-C Corp. 850 Library Avenue Suite 204 Newark, Delaware 19715

TRUSTEE, PRINCIPAL PAYING AGENT, NOTE REGISTRAR AND COLLATERAL ADMINISTRATOR LaSalle Bank National Association 135 South LaSalle Street, Suite 1511 Chicago, Illinois 60603

CREDIT DEFAULT SWAP COUNTERPARTY

Deutsche Bank AG London Winchester House 1 Great Winchester Street London EC2N 2DB United Kingdom

IRISH PAYING AGENT AND TRANSFER AGENT Deutsche International Corporate Services (Ireland) Limited 5 Harbourmaster Place Dublin, 1 Ireland

LISTING AGENT

Deutsche Bank (Luxembourg) S.A. 2, boulevard Konrad Adenauer L- 1115 Luxembourg

LEGAL ADVISORS To the Co-Issuers As to matters of United States law: McKee Nelson LLP 1 Battery Park Plaza, 34th Floor New York, New York 10004 To the Issuer As to matters of Cayman Islands law: Walkers P.O. Box 265 GT Walker House, Mary Street George Town, Cayman Islands

To the Initial Purchaser As to matters of United States law: McKee Nelson LLP 1 Battery Park Plaza, 34th Floor New York, New York 10004

To the Trustee As to matters of United States law: Kaye Scholer LLP 425 Park Avenue New York, New York 10022-3598