OFFERING CIRCULAR

OHA Park Avenue CLO I, Ltd. OHA Park Avenue CLO I, Corp.
U.S.$50,000,000 Class A-1a Senior Secured Revolving Floating Rate Notes, Due 2022 U.S.$346,560,000 Class A-1b Senior Secured Floating Rate Notes, Due 2022 U.S.$30,940,000 Class A-2 Senior Secured Floating Rate Notes, Due 2022 U.S.$36,560,000 Class B Secured Deferrable Floating Rate Notes, Due 2022 U.S.$25,310,000 Class C Secured Deferrable Floating Rate Notes, Due 2022 U.S.$28,130,000 Class D Secured Deferrable Floating Rate Notes, Due 2022 U.S.$45,000,000 Subordinated Notes, Due 2022
The assets securing the Secured Notes will consist primarily of U.S. Dollar denominated senior secured loans and high-yield debt securities and will be managed by Oak Hill Advisors, L.P. (the "Portfolio Manager"). OHA Park Avenue CLO I, Ltd. (the "Issuer") and OHA Park Avenue CLO I, Corp. (the "Co-Issuer" and, together with the Issuer, the "CoIssuers") will issue the Class A-1a Notes, the Class A-1b Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes (each as defined herein). The Issuer will also issue the Class D Notes and the Subordinated Notes. The Class A-1a Notes, the Class A-1b Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are collectively referred to as the "Secured Notes." The Secured Notes, together with the Subordinated Notes are collectively referred to as the "Notes" and the "Offered Securities." The Secured Notes will be issued and secured pursuant to an Indenture (the "Indenture") among the Co-Issuers and The Bank of New York Trust Company, National Association, as Trustee (the "Trustee"). The Subordinated Notes will be issued under the Indenture, but will be unsecured obligations of the Issuer. Payments on the Offered Securities will be made quarterly on the 14th day of March, June, September and December (or, if such day is not a Business Day, then on the next succeeding Business Day), commencing in September, 2007, in accordance with the priority of payments described herein. The Offered Securities will be subject to Optional Redemption, Mandatory Redemption, Clean-Up Call Redemption, Special Redemption and Refinancing as described herein. See "Description of the Offered SecuritiesThe Indenture and the Secured NotesOptional Redemption," " Mandatory Redemption," "Special Redemption," "Clean-Up Call Redemption," "Refinancing" and "Description of the Offered Securities The Subordinated Notes."

O A K

H I L L

See "Risk Factors" beginning on page 32 for a description of information that should be considered in connection with an investment in the Offered Securities. The Secured Notes and the Subordinated Notes will be offered at such prices as may be negotiated at the time of sale. This Offering Circular constitutes the Prospectus (the "Prospectus") for the purposes of Directive 2003/71/EC (the "Prospectus Directive"). Application has been made to the Irish Financial Services Regulatory Authority (the "Financial Regulator"), as competent authority under the Prospectus Directive for the Prospectus to be approved. Any foreign language text that is included within this document is for convenience purposes only and does not form part of the Prospectus. Application has been made to the Irish Stock Exchange for the Offered Securities to be admitted to the Official List and to trading on its regulated market. No assurances can be given that, following the Closing Date, the listing of the Offered Securities on the Irish Stock Exchange will be obtained or, if obtained, maintained for the entire period that the Offered Securities are outstanding. It is a condition of the issuance of the Notes that (i) the Class A-1a Notes and the Class A-1b Notes be rated at least "Aaa" by Moody's Investors Service, Inc. ("Moody's") and at least "AAA" by Standard & Poor's Rating Services, a division of The McGraw-Hill Companies, Inc. ("S&P" and, together with Moody's, the "Rating Agencies"), (ii) the Class A-2 Notes be rated at least "Aa2" by Moody's and at least "AA" by S&P, (iii) the Class B Notes be rated at least "A2" by Moody's and at least "A" by S&P, (iv) the Class C Notes be rated at least "Baa2" by Moody's and at least "BBB" by S&P, and (v) the Class D Notes be rated at least "Ba2" by Moody's and at least "BB" by S&P, in each case as more fully described under "Ratings of the Secured Notes." The Subordinated Notes will not be rated. A credit rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning Rating Agency. The Offered Securities are being offered by the Co-Issuers (or, in the case of the Class D Notes and the Subordinated Notes, the Issuer) through Deutsche Bank Securities Inc. and Deutsche Bank AG, London Branch as initial purchasers (the "Initial Purchasers") subject to prior sale, when, as and if delivered to and accepted by the Initial Purchasers, and to certain other conditions. It is expected that delivery of the Offered Securities will be made on or about March 20, 2007 (the "Closing Date").

Deutsche Bank Securities

The date of this Offering Circular is November 27, 2007

Deutsche Bank

The Class A-1a Senior Secured Revolving Floating Rate Notes are referred to herein as the "Class A-1a Notes." The Class A-1b Senior Secured Floating Rate Notes are referred to herein as the "Class A-1b Notes." The Class A-2 Senior Secured Floating Rate Notes are referred to herein as the "Class A-2 Notes." The Class B Secured Deferrable Floating Rate Notes are referred to herein as the "Class B Notes." The Class C Secured Deferrable Floating Rate Notes are referred to herein as the "Class C Notes." The Class D Secured Deferrable Floating Rate Notes are referred to herein as the "Class D Notes." The Class A-1a Notes, the Class A-1b Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are together referred to herein as the "Secured Notes." Payment of principal and interest on the Class A-1a Notes will generally be senior to payment of principal and interest on the Class A-1b Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes and payments in respect of the Subordinated Notes; payment of principal and interest on the Class A-1b Notes will generally be senior to payment of principal and interest on the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes and payments in respect of the Subordinated Notes; payment of principal and interest on the Class A-2 Notes will generally be senior to payment of principal and interest on the Class B Notes, the Class C Notes and the Class D Notes and payments in respect of the Subordinated Notes; payment of principal and interest on the Class B Notes will generally be senior to payment of principal and interest on the Class C Notes and the Class D Notes and payments in respect of the Subordinated Notes; payment of principal and interest on the Class C Notes will generally be senior to payments in respect of the Class D Notes and the Subordinated Notes; payment of principal and interest on the Class D Notes will be senior to payments in respect of the Subordinated Notes, in each case as described herein. Notwithstanding the foregoing sentence, for so long as certain tests with respect to the Issuers collateral portfolio are met, distributions of Principal Proceeds will be made on the Secured Notes on a pro rata basis. See Summary of TermsPriority of Payments Application of Principal Proceeds" and "Pro Rata Payment Sequence". The Subordinated Notes will not bear a stated rate of interest but will be entitled to receive pro rata distributions as described under "Summary of TermsPriority of Payments" herein. The Secured Notes and the Subordinated Notes will mature on the respective Payment Dates set forth in the "Summary of Terms." Payment of interest on the Class A-1a Notes, the Class A-1b Notes and the Class A-2 Notes is due and payable on each Payment Date. Payment of interest on the Class B Notes, the Class C Notes and the Class D Notes shall be payable on each Payment Date only to the extent proceeds are available pursuant to the application of the priority of payments described in "Summary of TermsPriority of Payments" (the "Priority of Payments") To the extent proceeds are not available to pay all or a portion of the interest accrued on the Class B Notes, the Class C Notes or the Class D Notes, such interest shall be deferred until either proceeds are available pursuant to the Priority of Payments or the Stated Maturity of such Notes. The Class A-1a Notes, the Class A-1b Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes will be limited recourse obligations of the Co-Issuers, payable solely from certain assets pledged under the Indenture. The Class D Notes and the Subordinated Notes will be limited recourse obligations of the Issuer, payable solely from certain assets pledged under the Indenture. The Subordinated Notes will not be secured obligations of the Issuer. The Offered Securities do not constitute obligations of, and are not insured or guaranteed by, the Portfolio Manager, the Trustee, the Administrator, the Initial Purchasers or any of their respective affiliates. THE OFFERED SECURITIES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT") AND NEITHER OF THE CO-ISSUERS WILL BE REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT"). THE OFFERED SECURITIES MAY NOT BE OFFERED OR SOLD WITHIN THE UNITED STATES OR TO, OR FOR THE ACCOUNT OR BENEFIT OF, U.S. PERSONS (AS SUCH TERMS ARE DEFINED UNDER THE SECURITIES ACT) EXCEPT PURSUANT TO AN EXEMPTION FROM, OR IN A TRANSACTION NOT SUBJECT TO, THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT. ACCORDINGLY, THE OFFERED SECURITIES ARE BEING OFFERED HEREBY ONLY TO (A)(I) "QUALIFIED PURCHASERS" (AS DEFINED FOR PURPOSES OF SECTION 3(c)(7) OF THE ii

INVESTMENT COMPANY ACT) AND (II) (IN THE CASE OF THE SUBORDINATED NOTES ONLY) "KNOWLEDGEABLE EMPLOYEES" (AS DEFINED IN RULE 3c-5 UNDER THE INVESTMENT COMPANY ACT) WITH RESPECT TO THE ISSUER OR CORPORATIONS, PARTNERSHIPS, LIMITED LIABILITY COMPANIES OR OTHER ENTITIES (OTHER THAN TRUSTS) EACH SHAREHOLDER, PARTNER, MEMBER OR OTHER EQUITY INVESTOR OF WHICH IS EITHER A KNOWLEDGEABLE EMPLOYEE WITH RESPECT TO THE ISSUER OR A QUALIFIED PURCHASER THAT IN THE CASE OF (I) AND (II) ARE EITHER (1) (IN THE CASE OF THE SUBORDINATED NOTES ONLY) ACCREDITED INVESTORS (AS DEFINED IN RULE 501(A) UNDER THE SECURITIES ACT) WHO, IF NOT A "KNOWLEDGEABLE EMPLOYEE", HAS A MINIMUM OF $10,000,000 IN INVESTABLE ASSETS OR (2) "QUALIFIED INSTITUTIONAL BUYERS" (AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT) AND (B) CERTAIN NON-U.S. PERSONS OUTSIDE THE UNITED STATES IN RELIANCE ON REGULATION S UNDER THE SECURITIES ACT. IN EACH CASE, PURCHASERS AND SUBSEQUENT TRANSFEREES OF OFFERED SECURITIES (OTHER THAN CERTAIN TRANSFEREES OF INTERESTS IN NOTES IN GLOBAL FORM AS FURTHER DESCRIBED HEREIN) WILL BE REQUIRED TO EXECUTE AND DELIVER A LETTER CONTAINING CERTAIN REPRESENTATIONS AND AGREEMENTS. FOR CERTAIN RESTRICTIONS ON RESALES, SEE "TRANSFER RESTRICTIONS" BELOW. This Offering Circular (this "Offering Circular") is being furnished by the Co-Issuers in connection with an offering exempt from registration under the Securities Act, solely for the purpose of enabling a prospective investor to consider the purchase of the Offered Securities described herein. Except as otherwise authorized under the following paragraph and "Income Tax ConsiderationsTax Return Disclosure and Investor List Requirements", any reproduction or distribution of this Offering Circular (and each supplement hereto), in whole or in part, and any disclosure of its contents or use of any information herein for any purpose other than considering an investment in the Offered Securities is prohibited. Each offeree of the Offered Securities, by accepting delivery of this Offering Circular, agrees to the foregoing. EACH PROSPECTIVE INVESTOR (AND EACH EMPLOYEE, REPRESENTATIVE, OR OTHER AGENT OF SUCH PROSPECTIVE INVESTOR) MAY DISCLOSE TO ANY AND ALL PERSONS, WITHOUT LIMITATIONS 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 THE PROSPECTIVE INVESTOR RELATING TO SUCH TAX TREATMENT AND TAX STRUCTURE. IN ORDER TO ENSURE COMPLIANCE WITH THE SECURITIES LAWS, ANY SUCH DISCLOSURE OF THE TAX TREATMENT, TAX STRUCTURE AND OTHER TAX-RELATED MATERIALS SHALL NOT BE MADE FOR THE PURPOSE OF OFFERING TO SELL THE OFFERED SECURITIES OR SOLICITING AN OFFER TO PURCHASE ANY SUCH OFFERED SECURITIES. FOR PURPOSES OF THIS PARAGRAPH, THE TERMS "TAX TREATMENT" AND "TAX STRUCTURE" HAVE THE MEANING GIVEN TO SUCH TERMS UNDER UNITED STATES TREASURY REGULATION SECTION 1.6011-4(C) AND APPLICABLE UNITED STATES STATE AND LOCAL LAW. IN GENERAL, THE TAX TREATMENT OF A TRANSACTION IS THE PURPORTED OR CLAIMED U.S. TAX TREATMENT OF THE TRANSACTION UNDER APPLICABLE UNITED STATES FEDERAL, STATE OR LOCAL LAW, AND THE TAX STRUCTURE OF A TRANSACTION IS ANY FACT THAT MAY BE RELEVANT TO UNDERSTANDING THE PURPORTED OR CLAIMED U.S. TAX TREATMENT OF THE TRANSACTION UNDER APPLICABLE UNITED STATES FEDERAL, STATE OR LOCAL LAW.

FOR NEW HAMPSHIRE RESIDENTS ONLY NEITHER THE FACT THAT A REGISTRATION STATEMENT OR AN APPLICATION FOR A LICENSE HAS BEEN FILED UNDER CHAPTER 421-B OF THE NEW HAMPSHIRE REVISED STATUTES ("RSA 421-B") WITH THE STATE OF NEW HAMPSHIRE NOR THE FACT THAT A SECURITY IS EFFECTIVELY REGISTERED OR A PERSON IS LICENSED IN THE STATE OF NEW HAMPSHIRE CONSTITUTES A FINDING BY THE SECRETARY OF STATE OF NEW HAMPSHIRE THAT ANY DOCUMENT FILED UNDER RSA 421-B IS TRUE, COMPLETE AND NOT
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MISLEADING. NEITHER ANY SUCH FACT NOR THE FACT THAT AN EXEMPTION OR EXCEPTION IS AVAILABLE FOR A SECURITY OR A TRANSACTION MEANS THAT THE SECRETARY OF STATE HAS PASSED IN ANY WAY UPON THE MERITS OR QUALIFICATIONS OF, OR RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON, SECURITY, OR TRANSACTION. IT IS UNLAWFUL TO MAKE, OR CAUSE TO BE MADE, TO ANY PROSPECTIVE PURCHASER, CUSTOMER, OR CLIENT ANY REPRESENTATION INCONSISTENT WITH THE PROVISIONS OF THIS PARAGRAPH.
IMPORTANT NOTICE REGARDING THE OFFERED SECURITIES THE OFFERED SECURITIES REFERRED TO IN THIS OFFERING CIRCULAR ARE SUBJECT TO MODIFICATION OR REVISION AND ARE OFFERED ON A "WHEN, AS AND IF ISSUED" BASIS. AN INVESTOR UNDERSTANDS THAT, WHEN SUCH INVESTOR IS CONSIDERING THE PURCHASE OF THE OFFERED SECURITIES, A BINDING CONTRACT OF SALE WILL NOT EXIST PRIOR TO THE TIME THAT THE RELEVANT CLASS HAS BEEN PRICED AND THE APPLICABLE INITIAL PURCHASER HAS CONFIRMED THE ALLOCATION OF SUCH OFFERED SECURITIES TO BE MADE TO SUCH INVESTOR; PRIOR TO THAT TIME ANY "INDICATIONS OF INTEREST" EXPRESSED BY SUCH INVESTOR, AND ANY "SOFT CIRCLES" GENERATED BY THE INITIAL PURCHASERS WILL NOT CREATE BINDING CONTRACTUAL OBLIGATIONS FOR SUCH INVESTOR OR THE INITIAL PURCHASERS AND MAY BE WITHDRAWN AT ANY TIME. AN INVESTOR MAY COMMIT TO PURCHASE ONE OR MORE CLASSES OF OFFERED SECURITIES THAT HAVE CHARACTERISTICS THAT MAY CHANGE, AND SUCH INVESTOR IS ADVISED THAT ALL OR A PORTION OF THE OFFERED SECURITIES MAY NOT BE ISSUED WITH THE CHARACTERISTICS DESCRIBED IN THIS OFFERING CIRCULAR. THE INITIAL PURCHASERS' OBLIGATION TO SELL OR PLACE SUCH OFFERED SECURITIES TO SUCH INVESTOR IS CONDITIONED ON THE OFFERED SECURITIES HAVING THE CHARACTERISTICS DESCRIBED IN THIS OFFERING CIRCULAR. IF THE INITIAL PURCHASERS DETERMINE THAT CONDITION IS NOT SATISFIED IN ANY MATERIAL RESPECT, AN INVESTOR WILL BE NOTIFIED, AND NONE OF THE ISSUER, THE CO-ISSUER AND THE INITIAL PURCHASERS WILL HAVE ANY OBLIGATION TO AN INVESTOR TO DELIVER ANY PORTION OF THE OFFERED SECURITIES WHICH SUCH INVESTOR COMMITTED TO PURCHASE, AND THERE WILL BE NO LIABILITY AMONG THE ISSUER, THE COISSUER, THE INITIAL PURCHASERS, THEIR AFFILIATES, AND SUCH INVESTOR AS A CONSEQUENCE OF THE NON-DELIVERY. THE INFORMATION CONTAINED HEREIN SUPERSEDES ANY PREVIOUS SUCH INFORMATION DELIVERED TO AN INVESTOR AND MAY BE SUPERSEDED BY INFORMATION DELIVERED TO AN INVESTOR PRIOR TO THE TIME OF CONTRACT OF SALE.

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TABLE OF CONTENTS

Page SUMMARY OF TERMS ................................................................................................................ 1 RISK FACTORS ......................................................................................................................... 31 DESCRIPTION OF THE OFFERED SECURITIES .................................................................... 49 The Indenture and the Secured Notes.............................................................................. 49 Status and Security...................................................................................................... 49 Interest......................................................................................................................... 49 Principal ....................................................................................................................... 52 Optional Redemption ................................................................................................... 52 Mandatory Redemption ............................................................................................... 53 Special Redemption..................................................................................................... 54 Refinancing.................................................................................................................. 54 Clean-Up Call Redemption .......................................................................................... 55 Prepayments of Class A-1a Notes............................................................................... 56 Cancellation ................................................................................................................. 57 Class A-1a Notes Borrowings...................................................................................... 57 Reduction of Commitments ......................................................................................... 58 Entitlement to Payments.............................................................................................. 58 Priority of Payments..................................................................................................... 59 The Indenture .............................................................................................................. 59 Form, Denomination and Registration of the Notes.......................................................... 66 The Subordinated Notes................................................................................................... 69 RATINGS OF THE SECURED NOTES ...................................................................................... 71 SECURITY FOR THE SECURED NOTES ................................................................................. 72 Collateral Obligations........................................................................................................ 72 The Portfolio Profile Tests ................................................................................................ 73 The Collateral Quality Test ............................................................................................... 73 Collateral Assumptions ..................................................................................................... 86 The Coverage Tests ......................................................................................................... 88 Sales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria ............................................................................................................................ 89 The Collection and Payment Accounts............................................................................. 92 The Ramp-Up Account ..................................................................................................... 94 The Custodial Account...................................................................................................... 94 The Revolver Funding Account ........................................................................................ 95 The Subordinated Note Collateral Revolver Funding Account ......................................... 96 The Discounted Payment Account ................................................................................... 96 The Synthetic Security Counterparty Accounts ................................................................ 97 The Synthetic Security Issuer Accounts ........................................................................... 98 The Interest Rate Hedge Accounts................................................................................... 99 The Expense Reserve Account ........................................................................................ 99
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The Securities Lending Account ..................................................................................... 100 The Currency Account .................................................................................................... 100 Hedge Agreements......................................................................................................... 102 Margin Loans .................................................................................................................. 106 Securities Lending .......................................................................................................... 107 USE OF PROCEEDS ............................................................................................................... 110 General ........................................................................................................................... 110 Ramp-Up Period ............................................................................................................. 110 THE PORTFOLIO MANAGER.................................................................................................. 112 General ........................................................................................................................... 112 Biographies of Certain Key Individuals ........................................................................... 113 THE PORTFOLIO MANAGEMENT AGREEMENT................................................................... 117 THE CO-ISSUERS ................................................................................................................... 123 General ........................................................................................................................... 123 Capitalization of the Issuer ............................................................................................. 124 Business of the Co-Issuers............................................................................................. 124 INCOME TAX CONSIDERATIONS .......................................................................................... 126 General ........................................................................................................................... 126 United States Federal Income Taxation ......................................................................... 127 Tax Treatment of the Issuer....................................................................................... 127 Tax Treatment of U.S. Holders of the Secured Notes ............................................... 129 Tax Treatment of U.S. Holders of Subordinated Notes ............................................. 132 Tax Treatment of Tax-Exempt U.S. Holders.............................................................. 136 Transfer Reporting Requirements ............................................................................. 137 Tax Return Disclosure and Investor List Requirements ............................................ 137 Tax Treatment of Non-U.S. Holders of Offered Securities ........................................ 138 Information Reporting and Backup Withholding ........................................................ 138 Cayman Islands Taxation ............................................................................................... 139 ERISA CONSIDERATIONS...................................................................................................... 141 The Secured Notes other than the Class D Notes.......................................................... 142 The Subordinated Notes and the Class D Notes............................................................ 143 LEGAL INVESTMENT CONSIDERATIONS ............................................................................. 145 PLAN OF DISTRIBUTION ........................................................................................................ 146 TRANSFER RESTRICTIONS ................................................................................................... 147 Global Notes ................................................................................................................... 147 Subordinated Notes ........................................................................................................ 149 Class A-1a Notes............................................................................................................ 149 Additional Restrictions .................................................................................................... 149
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Legends .......................................................................................................................... 150 Non-Permitted Holder/Non-Permitted ERISA Holder ..................................................... 159 Cayman Islands Placement Provisions .......................................................................... 160 LISTING AND GENERAL INFORMATION ............................................................................... 161 LEGAL MATTERS .................................................................................................................... 163 GLOSSARY OF DEFINED TERMS .......................................................................................... 164 INDEX OF DEFINED TERMS.....................................................................................................I-1 ANNEX A-1 Form of Purchaser Representation Letter for Certificated Subordinated Notes .................................................................................................................. A-1 ANNEX A-2 Form of Purchaser Representation Letter for Rule 144A Global Subordinated Notes .................................................................................................................. A-2 ANNEX B Part II of Oak Hill Advisors, L.P.'s Form ADV ................................................... B-1

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NO PERSON IS AUTHORIZED IN CONNECTION WITH THE 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 CO-ISSUERS, THE INITIAL PURCHASERS OR THE PORTFOLIO MANAGER. THIS OFFERING CIRCULAR DOES NOT CONSTITUTE AN OFFER TO SELL, OR A SOLICITATION OF AN OFFER TO BUY, ANY OF THE OFFERED SECURITIES OFFERED HEREBY BY ANY PERSON IN ANY JURISDICTION IN WHICH IT IS UNLAWFUL FOR SUCH PERSON TO MAKE SUCH AN OFFER OR SOLICITATION. NEITHER THE DELIVERY HEREOF NOR ANY SALE MADE HEREUNDER SHALL UNDER ANY CIRCUMSTANCES IMPLY THAT NO CHANGE IN THE AFFAIRS OF THE CO-ISSUERS OR THE PORTFOLIO MANAGER HAS OCCURRED OR THAT THE INFORMATION HEREIN IS CORRECT AS OF ANY DATE SUBSEQUENT TO THE DATE HEREOF. THE CO-ISSUERS AND THE INITIAL PURCHASERS, AS THE CASE MAY BE, RESERVE THE RIGHT TO REJECT ANY OFFER TO PURCHASE IN WHOLE OR IN PART, FOR ANY REASON, OR TO SELL LESS THAN THE STATED AMOUNT OF OFFERED SECURITIES OFFERED HEREBY. NO REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, IS MADE BY THE INITIAL PURCHASERS AS TO THE ACCURACY OR COMPLETENESS OF THE INFORMATION SET FORTH HEREIN. EXCEPT FOR THE INFORMATION FURNISHED BY AND CONCERNING THE PORTFOLIO MANAGER WHICH APPEARS HEREIN UNDER "RISK FACTORSRELATING TO THE PORTFOLIO MANAGER; PERFORMANCE HISTORY OF THE PRINCIPALS AND AFFILIATES OF THE PORTFOLIO MANAGER MAY NOT BE INDICATIVE OF FUTURE RESULTS", "RISK FACTORSRELATING TO CERTAIN CONFLICTS OF INTERESTTHE ISSUER WILL BE SUBJECT TO VARIOUS CONFLICTS OF INTEREST INVOLVING THE PORTFOLIO MANAGER" AND "THE PORTFOLIO MANAGER", NEITHER OAK HILL ADVISORS, L.P. NOR ANY OF ITS AFFILIATES HAS INDEPENDENTLY VERIFIED, MAKES ANY REPRESENTATION OR WARRANTY AS TO, OR ASSUMES ANY RESPONSIBILITY FOR, THE ACCURACY OR COMPLETENESS OF THE INFORMATION CONTAINED HEREIN. NOTHING CONTAINED HEREIN IS, OR SHALL BE RELIED UPON AS, A PROMISE OR REPRESENTATION AS TO THE PAST OR THE FUTURE BY THE INITIAL PURCHASERS OR THE PORTFOLIO MANAGER. EACH OFFEREE OF THE OFFERED SECURITIES, BY ACCEPTING DELIVERY OF THIS OFFERING CIRCULAR, AGREES TO THE FOREGOING. IN THIS OFFERING CIRCULAR, REFERENCES TO "U.S. DOLLARS", "DOLLARS," "$" AND "USD" ARE TO THE LEGAL CURRENCY OF THE UNITED STATES OF AMERICA. NO INVITATION WHETHER DIRECTLY OR INDIRECTLY MAY BE MADE TO THE PUBLIC IN THE CAYMAN ISLANDS TO SUBSCRIBE FOR THE OFFERED SECURITIES. THE OFFERING CONTEMPLATED IN THIS OFFERING CIRCULAR IS NOT, AND UNDER NO CIRCUMSTANCES IS IT TO BE CONSTRUED AS, A PUBLIC OFFERING OF THE OFFERED SECURITIES. THIS OFFERING CIRCULAR HAS BEEN PREPARED BY THE CO-ISSUERS FOR USE IN CONNECTION WITH THE OFFERING AND LISTING OF THE OFFERED SECURITIES. THE COISSUERS ACCEPT RESPONSIBILITY FOR THE ACCURACY OF THE INFORMATION CONTAINED IN THIS OFFERING CIRCULAR (OTHER THAN THE INFORMATION FURNISHED BY AND CONCERNING THE PORTFOLIO MANAGER WHICH APPEARS HEREIN UNDER "RISK FACTORS RELATING TO THE PORTFOLIO MANAGERPERFORMANCE HISTORY OF THE PRINCIPALS AND AFFILIATES OF THE PORTFOLIO MANAGER MAY NOT BE INDICATIVE OF FUTURE RESULTS", "RISK FACTORSRELATING TO CERTAIN CONFLICTS OF INTERESTTHE ISSUER WILL BE SUBJECT TO VARIOUS CONFLICTS OF INTEREST INVOLVING THE PORTFOLIO MANAGER" AND "THE PORTFOLIO MANAGER" TOGETHER THE "PORTFOLIO MANAGER INFORMATION"). TO THE BEST OF THE KNOWLEDGE AND BELIEF OF THE CO-ISSUERS THE INFORMATION CONTAINED IN THIS OFFERING CIRCULAR EXCEPT FOR THE PORTFOLIO MANAGER INFORMATION IS IN ACCORDANCE WITH THE FACTS AND DOES NOT OMIT ANYTHING LIKELY TO AFFECT THE IMPORT OF SUCH INFORMATION. THE PORTFOLIO MANAGER ACCEPTS RESPONSIBILITY FOR THE PORTFOLIO MANAGER INFORMATION. TO THE BEST OF THE KNOWLEDGE AND BELIEF OF THE PORTFOLIO MANAGER THE INFORMATION CONTAINED IN THE PORTFOLIO MANAGER

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INFORMATION IS IN ACCORDANCE WITH THE FACTS AND DOES NOT OMIT ANYTHING LIKELY TO AFFECT THE IMPORT OF SUCH INFORMATION. THE TRUSTEE AND THE ADMINISTRATOR HAVE NOT PARTICIPATED IN THE PREPARATION OF THIS OFFERING CIRCULAR AND ASSUME NO RESPONSIBILITY FOR ITS CONTENT. PROSPECTIVE INVESTORS SHOULD READ THIS OFFERING CIRCULAR CAREFULLY BEFORE DECIDING WHETHER TO INVEST IN THE OFFERED SECURITIES AND SHOULD PAY PARTICULAR ATTENTION TO THE INFORMATION SET FORTH UNDER THE HEADING "RISK FACTORS." INVESTMENT IN THE OFFERED SECURITIES 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 OFFERING CIRCULAR IS NOT INTENDED TO BE RELIED UPON ALONE AS THE BASIS OF AN INVESTMENT DECISION. IN MAKING AN INVESTMENT DECISION INVESTORS MUST RELY ON THEIR OWN EXAMINATION OF THE PERSONS OR ENTITIES CREATING THE OFFERED SECURITIES AND THE TERMS OF THE OFFERING, INCLUDING THE MERITS AND RISKS INVOLVED. THESE SECURITIES HAVE NOT BEEN RECOMMENDED BY ANY U.S. FEDERAL OR STATE SECURITIES COMMISSION OR ANY OTHER FOREIGN OR U.S. REGULATORY AUTHORITY. FURTHERMORE, THE FOREGOING AUTHORITIES HAVE NOT CONFIRMED THE ACCURACY OR DETERMINED THE ADEQUACY OF THIS DOCUMENT. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. PROSPECTIVE INVESTORS SHOULD NOT CONSTRUE THE CONTENTS OF THIS OFFERING CIRCULAR AS LEGAL, INVESTMENT, TAX OR OTHER ADVICE. EACH PROSPECTIVE INVESTOR MUST RELY UPON HIS OR HER OWN REPRESENTATIVES AND PROFESSIONAL ADVISERS, INCLUDING HIS OR HER OWN LEGAL COUNSEL AND ACCOUNTANTS, AS TO LEGAL, ECONOMIC, TAX AND RELATED ASPECTS OF THE INVESTMENT DESCRIBED HEREIN AND AS TO ITS SUITABILITY FOR SUCH INVESTOR. INVESTMENT IN THE OFFERED SECURITIES MAY NOT BE SUITABLE FOR ALL RECIPIENTS OF THIS OFFERING CIRCULAR. THE VALUE OF AN INVESTMENT IN THE OFFERED SECURITIES MAY FLUCTUATE. NO ASSURANCE CAN BE GIVEN THAT THE ISSUERS INVESTMENT OBJECTIVES WILL BE ACHIEVED OR THAT INVESTORS WILL RECEIVE A RETURN OF ALL OR ANY PART OF THEIR CAPITAL. THE OFFERED SECURITIES WILL BE DENOMINATED IN U.S. DOLLARS AND SO WILL BE SUBJECT TO ANY FLUCTUATION IN THE RATE OF EXCHANGE BETWEEN SUCH CURRENCY AND THE CURRENCY OF AN INVESTORS JURISDICTION. SUCH FLUCTUATIONS MAY HAVE AN ADVERSE EFFECT ON THE VALUE, PRICE OR INCOME OF AN INVESTMENT IN THE OFFERED SECURITIES. NEITHER THE INITIAL PURCHASERS, THE PORTFOLIO MANAGER NOR THE CO-ISSUERS MAKE ANY REPRESENTATIONS TO ANY OFFEREE OR PURCHASER OF OFFERED SECURITIES CONCERNING THE LEGALITY OF THE INVESTMENT THEREIN BY SUCH OFFEREE OR PURCHASER UNDER APPLICABLE LAW OR REGULATIONS. INVESTORS WHOSE INVESTMENT AUTHORITY IS SUBJECT TO LEGAL RESTRICTIONS SHOULD CONSULT THEIR OWN LEGAL ADVISORS TO DETERMINE WHETHER AND TO WHAT EXTENT THE OFFERED SECURITIES CONSTITUTE LEGAL INVESTMENTS FOR THEM. NOTICE TO RESIDENTS OF THE UNITED KINGDOM THE INITIAL PURCHASERS HAVE REPRESENTED AND AGREED THAT: (A) THEY HAVE 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 THEM IN CONNECTION WITH THE ISSUE OR SALE OF ANY OFFERED SECURITIES IN CIRCUMSTANCES IN

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WHICH SECTION 21(1) OF THE FSMA DOES NOT APPLY TO THE ISSUER OR THE CO-ISSUER; AND (B) THEY HAVE COMPLIED AND WILL COMPLY WITH ALL APPLICABLE PROVISIONS OF THE FSMA WITH RESPECT TO ANYTHING DONE BY THEM IN RELATION TO ANY OFFERED SECURITIES IN, FROM OR OTHERWISE INVOLVING THE UNITED KINGDOM. NOTICE TO RESIDENTS OF THE NETHERLANDS THE OFFERED SECURITIES MAY BE OFFERED, SOLD, TRANSFERRED OR DELIVERED IN OR FROM THE NETHERLANDS AS PART OF THEIR INITIAL DISTRIBUTION OR AT ANY TIME THEREAFTER, DIRECTLY OR INDIRECTLY, EXCLUSIVELY TO INDIVIDUALS OR ENTITIES, WHO OR WHICH TRADE OR INVEST IN SECURITIES IN THE CONDUCT OF A PROFESSION OR A BUSINESS WITHIN THE MEANING OF ARTICLE 1 OF THE REGULATION OF 9 OCTOBER 1990 ISSUED PURSUANT TO ARTICLE 14 OF THE ACT ON THE SUPERVISION OF INVESTMENT INSTITUTIONS (WET TOEZICHT BELEGGINGSIN-STELLINGEN), WHICH INCLUDES BANKS, PENSION FUNDS, INSURANCE COMPANIES, SECURITIES FIRMS, INVESTMENT INSTITUTIONS, CENTRAL GOVERNMENTS, LARGE INTERNATIONAL AND SUPRANATIONAL INSTITUTIONS AND OTHER COMPARABLE ENTITIES, INCLUDING TREASURIES AND FINANCE COMPANIES OF LARGE ENTERPRISES, WHICH TRADE OR INVEST IN SECURITIES IN THE CONDUCT OF A PROFESSION OR A BUSINESS. NOTICE REGARDING THE OFFERING IN GERMANY THE OFFERED SECURITIES WILL BE OFFERED OR SOLD OR PUBLICLY PROMOTED OR ADVERTISED IN GERMANY IN COMPLIANCE WITH THE PROVISIONS OF THE GERMAN SECURITIES PROSPECTUS ACT (WERTPAPIERPROSPEKTGESETZ) OR OF ANY OTHER LAWS APPLICABLE IN GERMANY GOVERNING THE ISSUE, OFFERING AND SALE OF OFFERED SECURITIES. AS LONG AS THE OFFERED SECURITIES HAVE A MINIMUM DENOMINATION OF AT LEAST THE EQUIVALENT OF EURO 50,000 THEY MAY BE OFFERED IN GERMANY. UPON REQUEST OF A GERMAN INVESTOR AND AS LONG AS NOT UNDULY EXPENSIVE OR BURDENSOME, THE ISSUER WILL MAKE AVAILABLE TO THE GERMAN INVESTORS AND PUBLISH IN THE ELECTRONIC EDITION OF THE FEDERAL GAZETTE (BUNDESANZEIGER) IN THE GERMAN LANGUAGE THE INFORMATION REQUIRED PURSUANT TO 5(1) SENTENCE 1 IN CONNECTION WITH SENTENCE 2 OF THE GERMAN TAX INVESTMENT ACT (INVESTMENTSTEUERGESETZ). ALL PROSPECTIVE INVESTORS ARE URGED TO SEEK INDEPENDENT TAX ADVICE. THE INITIAL PURCHASERS AND THEIR AFFILIATES DO NOT GIVE TAX ADVICE. HINWEIS BEZUEGLICH DES ANGEBOTS IN DEUTSCHLAND DIE WERTPAPIERE WERDEN IM EINKLANG MIT DEN BESTIMMUNGEN DES WERTPAPIERPROSPEKTGESETZES ODER ALLER WEITEREN IN DEUTSCHLAND GELTENDEN GESETZLICHEN BESTIMMUNGEN BER DIE BEGEBUNG, DAS ANGEBOT UND DEN VERKAUF VON WERTPAPIEREN ANGEBOTEN, VERKAUFT ODER FFENTLICH BEWORBEN. SOWEIT DIE WERTPAPIERE EINE MINDESTSTCKELUNG MIT EINEM GEGENWERT VON EURO 50.000 HABEN, KNNEN SIE IN DEUTSCHLAND ANGEBOTEN WERDEN. AUF ANFRAGE UND SOLANGE NICHT UNVERHLTNISMSSIG TEUER ODER BESCHWERLICH MACHT DER EMITTENT DEN DEUTSCHEN ANLEGERN IN DEUTSCHER SPRACHE DIE ERFORDERLICHEN INFORMATIONEN GEMSS 5 ABS. 1 SATZ 1 IN VERBINDUNG MIT SATZ 2 DES INVESTMENTSTEUERGESETZES IM ELEKTRONISCHEN BUNDESANZEIGER BEKANNT. POTENTIELLEN INVESTOREN WIRD DRINGEND EMPFOHLEN, UNABHNGIGE STEUERLICHE BERATUNG EINZUHOLEN. DIE ERSTKUFER UND DIE MIT IHNEN VERBUNDENEN UNTERNEHMEN GEBEN KEINEN STEUERLICHEN RAT.

NOTICE TO RESIDENTS OF THE REPUBLIC OF IRELAND THE INITIAL PURCHASERS HAVE REPRESENTED AND AGREED THAT (I) THEY WILL NOT UNDERWRITE OR PLACE OFFERED SECURITIES OTHERWISE THAN IN CONFORMITY WITH THE PROVISIONS OF THE INVESTMENT INTERMEDIARIES ACT, 1995 OF IRELAND, AS AMENDED, INCLUDING, WITHOUT LIMITATION, SECTIONS 9 AND 23 (INCLUDING ADVERTISING RESTRICTIONS MADE THEREUNDER) THEREOF AND THE CODES OF CONDUCT MADE UNDER SECTION 37 THEREOF OR, IN THE CASE OF A CREDIT INSTITUTION EXERCISING ITS RIGHTS UNDER THE BANKING CONSOLIDATION DIRECTIVE (2000/12/EC OF 20TH MARCH, 2000) IN CONFORMITY WITH THE CODES OF CONDUCT OR PRACTICE MADE UNDER SECTION 117(1) OF THE CENTRAL BANK ACT, 1989, OF IRELAND, AS AMENDED; (II) IN CONNECTION WITH OFFERS OR SALES OF OFFERED SECURITIES, THEY HAVE ONLY ISSUED OR PASSED ON, AND WILL ONLY ISSUE OR PASS ON, IN IRELAND, ANY DOCUMENT RECEIVED BY THEM IN CONNECTION WITH THE ISSUE OF SUCH OFFERED SECURITIES TO PERSONS WHO ARE PERSONS TO WHOM THE DOCUMENTS MAY OTHERWISE LAWFULLY BE ISSUED OR PASSED ON; AND (III) IN RESPECT OF A LOCAL OFFER (WITHIN THE MEANING OF SECTION 38(1) OF THE INVESTMENT FUNDS, COMPANIES AND MISCELLANEOUS PROVISIONS ACT 2005 OF IRELAND (THE "2005 ACT")) OF NOTES IN IRELAND, IT HAS COMPLIED AND WILL COMPLY WITH SECTION 49 OF THE 2005 ACT. NOTICE TO RESIDENTS OF AUSTRIA THIS OFFERING CIRCULAR HAS BEEN CIRCULATED IN AUSTRIA FOR THE SOLE PURPOSE OF PROVIDING INFORMATION ABOUT THE OFFERED SECURITIES TO A LIMITED NUMBER OF SOPHISTICATED INVESTORS IN AUSTRIA. THIS OFFERING CIRCULAR IS MADE AVAILABLE ON THE CONDITION THAT IT IS SOLELY FOR THE USE OF THE RECIPIENT AS A SOPHISTICATED, POTENTIAL AND INDIVIDUALLY SELECTED INVESTOR AND MAY NOT BE PASSED ON TO ANY OTHER PERSON OR REPRODUCED IN WHOLE OR IN PART. THIS OFFERING CIRCULAR DOES NOT CONSTITUTE A PUBLIC OFFER (FFENTLICHES ANGEBOT) IN AUSTRIA AND MUST NOT BE USED IN CONJUNCTION WITH A PUBLIC OFFERING IN AUSTRIA AND, THEREFORE, THE PROVISIONS OF THE INVESTMENT FUND ACT OF 1993 (INFESTMENTFONDSGESETZ 1993) DO NOT APPLY. CONSEQUENTLY, NO PUBLIC OFFERS OR PUBLIC SALES MAY BE MADE IN AUSTRIA IN RESPECT OF THE OFFERED SECURITIES. THE OFFERED SECURITIES ARE NOT REGISTERED IN AUSTRIA AND MAY NOT BENEFIT FROM TAX ADVANTAGES APPLICABLE TO REGISTERED SECURITIES. ALL PROSPECTIVE INVESTORS ARE URGED TO SEEK INDEPENDENT TAX ADVICE. THE INITIAL PURCHASERS AND THEIR RESPECTIVE AFFILIATES DO NOT GIVE TAX ADVICE. ANMERKUNG FR EINWOHNER VON STERREICH DIESER PROSPEKT IST IN STERREICH NUR ZU DEM ZWECK HERAUSGEGEBEN, UM EINER BESCHRNKTEN ANZAHL VON PROFESSIONELLEN MARKTTEILNEHMERN IN STERREICH INFORMATIONEN BER DIE ANGEBOTENEN WERTPAPIERE ZU GEBEN. DIESER PROSPEKT WIRD UNTER DER BEDINGUNG ZUR VERFGUNG GESTELLT, DASS DIESER PROSPEKT AUSSCHLIESSLICH VOM EMPFNGER ALS EINEM PROFESSIONELLEN UND INDIVIDUELL AUSGESUCHTEN INVESTOR VERWENDET, NICHT AN IRGENDWELCHE ANDEREN PERSONEN WEITERGELEITET ODER TEILWEISE ODER VLLIG REPRODUZIERT WERDEN DARF. DIESER PROSPEKT STELLT KEIN FFENTLICHES ANGEBOT IN STERREICH DAR, UND ER DARF AUCH NICHT IM ZUSAMMENHANG MIT EINEM FFENTLICHEN ANGEBOT IN STERREICH VERWENDET WERDEN. DIE BESTIMMUNGEN DES INVESTMENTFONDSGESETZES 1993 FINDEN DAHER KEINE ANWENDUNG. FOLGLICH DRFEN IN STERREICH KEINE FFENTLICHEN ANGEBOTE ODER VERKUFE DER ANGEBOTENEN WERTPAPIEREN GEMACHT WERDEN. DIE ANGEBOTENEN WERTPAPIERE SIND NICHT IN STERREICH ZUM FFENTLICHEN ANGEBOT ZUGELASSEN UND ZIEHEN KEINEN NUTZEN AUS VORTEILHAFTEN STEUERREGELN, DIE AUF REGISTRIERTE WERTPAPIERE ANWENDBAR SIND. ALLE POTENTIELLEN INVESTOREN WERDEN DAHER DRINGEND AUFGEFORDERT, UNABHNGIGE STEUERBERATUNG xi

EINZUHOLEN. DIE ERSTKUFER UND DIE MIT IHNEN VERBUNDENEN UNTERNEHMEN GEBEN KEINEN STEUERLICHEN RAT. NOTICE TO RESIDENTS OF AUSTRALIA ANY OFFER OF SECURITIES, INVITATION TO SUBSCRIBE FOR SECURITIES OR ISSUE OF THE OFFERED SECURITIES IN AUSTRALIA THAT IS REGULATED BY THE CORPORATIONS LAW MUST CONSTITUTE AN EXCLUDED OFFER, EXCLUDED INVITATION, OR EXCLUDED ISSUE WITHIN THE MEANING GIVEN TO THOSE EXPRESSIONS IN THE CORPORATIONS LAW. NOTICE TO RESIDENTS OF JAPAN THE OFFERED SECURITIES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES AND EXCHANGE LAW OF JAPAN AND EACH OF THE INITIAL PURCHASERS AND THE CO-ISSUERS HAS AGREED THAT IT WILL NOT OFFER OR SELL ANY OF THE OFFERED SECURITIES, DIRECTLY OR INDIRECTLY, IN JAPAN OR TO, OR FOR THE BENEFIT OF, ANY RESIDENT OF JAPAN (WHICH TERM AS USED HEREIN MEANS ANY PERSON RESIDENT IN JAPAN, INCLUDING ANY CORPORATION OR OTHER ENTITY ORGANIZED UNDER THE LAWS OF JAPAN) OR TO OTHERS FOR REOFFERING OR RESALE, DIRECTLY OR INDIRECTLY, IN JAPAN OR TO A RESIDENT OF JAPAN, EXCEPT PURSUANT TO AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF, AND OTHERWISE IN COMPLIANCE WITH, THE SECURITIES AND EXCHANGE LAW OF JAPAN AND ANY OTHER APPLICABLE LAWS, REGULATIONS AND MINISTERIAL GUIDELINES AND REGULATIONS OF JAPAN. NOTICE TO RESIDENTS OF FRANCE THIS OFFERING CIRCULAR HAS NOT BEEN REGISTERED BY THE FRENCH COMMISSION DES OPRATIONS DE BOURSE AND THE OFFERED SECURITIES MAY NOT BE OFFERED OR SOLD, DIRECTLY OR INDIRECTLY, TO THE PUBLIC IN THE REPUBLIC OF FRANCE. THIS OFFERING CIRCULAR AND ANY OTHER OFFERING MATERIAL MAY NOT BE DISTRIBUTED TO THE PUBLIC IN THE REPUBLIC OF FRANCE. SUCH OFFERS, SALES AND DISTRIBUTIONS MAY ONLY BE MADE IN THE REPUBLIC OF FRANCE TO (I) QUALIFIED INVESTORS (INVESTISSEURS QUALIFIS) AND/OR (II) A RESTRICTED GROUP OF INVESTORS (CERCLE RESTREINT D'INVESTISSEURS), ALL AS DEFINED IN ARTICLE 6 OF ORDONNANCE NO 67-833 DATED 28TH SEPTEMBER, 1967 (AS AMENDED) AND DCRET NO.98-880 DATED 1ST OCTOBER, 1998. INVESTORS IN FRANCE MAY ONLY PARTICIPATE IN THE ISSUE OF THE OFFERED SECURITIES FOR THEIR OWN ACCOUNT IN ACCORDANCE WITH THE CONDITIONS SET OUT IN DCRET NO.98-880 DATED 1ST OCTOBER, 1998. THE OFFERED SECURITIES MAY ONLY BE ISSUED, DIRECTLY OR INDIRECTLY, TO THE PUBLIC IN THE REPUBLIC OF FRANCE IN ACCORDANCE WITH ARTICLES 6 AND 7 OF ORDONNANCE NO 67-833 DATED 28TH SEPTEMBER, 1967 (AS AMENDED). WHERE THE ISSUE OF THE OFFERED SECURITIES IS EFFECTED AS AN EXCEPTION TO THE RULES RELATING TO AN APPEL PUBLIC L'PARGNE IN FRANCE (PUBLIC OFFER RULES) BY WAY OF AN OFFER TO A RESTRICTED GROUP OF INVESTORS, SUCH INVESTORS MUST PROVIDE CERTIFICATION AS TO THEIR PERSONAL, PROFESSIONAL OR FAMILY RELATIONSHIP WITH A MEMBER OF THE MANAGEMENT OF THE CO-ISSUERS. PERSONS INTO WHOSE POSSESSION OFFERING MATERIAL COMES MUST INFORM THEMSELVES ABOUT AND OBSERVE SUCH RESTRICTIONS. NOTICE TO RESIDENTS OF DENMARK THIS OFFERING CIRCULAR HAS NOT BEEN FILED WITH OR APPROVED BY THE DANISH SECURITIES COUNCIL OR ANY OTHER REGULATORY AUTHORITY IN THE KINGDOM OF DENMARK.

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NOTICE TO RESIDENTS OF THE CAYMAN ISLANDS NO INVITATION MAY BE MADE TO THE PUBLIC IN THE CAYMAN ISLANDS TO SUBSCRIBE FOR THE OFFERED SECURITIES UNLESS AT THE TIME OF INVITATION UNLESS THE ISSUER IS LISTED ON THE CAYMAN ISLANDS STOCK EXCHANGE. THE ISSUER DOES NOT INTEND TO BE SO LISTED. NOTICE TO RESIDENTS OF THE EUROPEAN ECONOMIC AREA IN RELATION TO EACH MEMBER STATE OF THE EUROPEAN ECONOMIC AREA WHICH HAS IMPLEMENTED THE PROSPECTUS DIRECTIVE (EACH, A "RELEVANT MEMBER STATE"), EACH OF THE INITIAL PURCHASERS HAS REPRESENTED AND AGREED, AND EACH FUTURE DEALER WILL BE REQUIRED TO REPRESENT AND AGREE, THAT WITH EFFECT FROM AND INCLUDING THE DATE ON WHICH THE PROSPECTUS DIRECTIVE IS IMPLEMENTED IN THAT RELEVANT MEMBER STATE (THE "RELEVANT IMPLEMENTATION DATE") IT HAS NOT MADE AND WILL NOT MAKE AN OFFER OF OFFERED SECURITIES TO THE PUBLIC IN THAT RELEVANT MEMBER STATE, PRIOR TO THE PUBLICATION OF A PROSPECTUS IN RELATION TO THE NOTES WHICH HAS BEEN APPROVED BY THE COMPETENT AUTHORITY IN THAT RELEVANT MEMBER STATE, OR WHERE APPROPRIATE, APPROVED IN ANOTHER RELEVANT MEMBER STATE AND NOTIFIED TO THE COMPETENT AUTHORITY IN THAT RELEVANT MEMBER STATE, ALL IN ACCORDANCE WITH THE PROSPECTUS DIRECTIVE, EXCEPT THAT IT MAY, WITH EFFECT FROM AND INCLUDING THE RELEVANT IMPLEMENTATION DATE, MAKE AN OFFER OF OFFERED SECURITIES TO THE PUBLIC IN THAT RELEVANT MEMBER STATE: (A) TO LEGAL ENTITIES WHICH ARE AUTHORISED OR REGULATED TO OPERATE IN THE FINANCIAL MARKETS OR, IF NOT SO AUTHORISED OR REGULATED, WHOSE CORPORATE PURPOSE IS SOLELY TO INVEST IN SECURITIES; TO ANY LEGAL ENTITY WHICH HAS TWO OR MORE OF (1) AN AVERAGE OF AT LEAST 250 EMPLOYEES DURING THE LAST FINANCIAL YEAR; (2) A TOTAL BALANCE SHEET OF MORE THAN 43,000,000 AND (3) AN ANNUAL NET TURNOVER OF MORE THAN 50,000,000, AS SHOWN IN ITS LAST ANNUAL OR CONSOLIDATED ACCOUNTS; OR IN ANY OTHER CIRCUMSTANCES WHICH DO NOT REQUIRE THE PUBLICATION BY THE CO-ISSUERS OF A PROSPECTUS PURSUANT TO ARTICLE 3 OF THE PROSPECTUS DIRECTIVE.

(B)

(C)

FOR THE PURPOSES OF THIS PROVISION, THE EXPRESSION AN "OFFER OF OFFERED SECURITIES TO THE PUBLIC" IN RELATION TO ANY OFFERED SECURITIES IN ANY RELEVANT MEMBER STATE MEANS THE COMMUNICATION IN ANY FORM AND BY ANY MEANS OF SUFFICIENT INFORMATION ON THE TERMS OF THE OFFER AND THE OFFERED SECURITIES TO BE OFFERED SO AS TO ENABLE AN INVESTOR TO DECIDE TO PURCHASE OR SUBSCRIBE THE OFFERED SECURITIES, AS THE SAME MAY BE VARIED IN THAT MEMBER STATE BY ANY MEASURE IMPLEMENTING THE PROSPECTUS DIRECTIVE IN THAT MEMBER STATE AND THE EXPRESSION "PROSPECTUS DIRECTIVE" MEANS DIRECTIVE 2003/71/EC AND INCLUDES ANY RELEVANT IMPLEMENTING MEASURE IN EACH RELEVANT MEMBER STATE. AVAILABLE INFORMATION To permit compliance with Rule 144A under the Securities Act in connection with the resale of the Offered Securities, the Co-Issuers will be required to furnish or cause to be furnished, upon request of a holder of any Offered Security, to such holder and a prospective purchaser designated by such holder the information required to be delivered under Rule 144A(d)(4) under the Securities Act if at the time of the request the Co-Issuers are not subject to Section 13 or Section 15(d) of the United States Securities Exchange Act of 1934, as amended (the "Exchange Act"), or exempt from reporting pursuant to Rule 12g3-2(b) under the Exchange Act.

xiii

SUMMARY OF TERMS The following summary does not purport to be complete and is qualified in its entirety by reference to the detailed information appearing elsewhere in this Offering Circular and related documents referred to herein. An index of defined terms appears at the back of this Offering Circular. Principal Terms of the Offered Securities
Designation1 Type Issuer(s)
Initial Principal Amount / Face Amount (U.S.$)

Class A-1a Notes

Senior Secured Revolving Floating Rate

Class A-1b Notes

Senior Secured Floating Rate

Class A-2 Notes

Senior Secured Floating Rate

Class B Notes
Secured Deferrable Floating Rate

Class C Notes
Secured Deferrable Floating Rate

Class D Notes
Secured Deferrable Floating Rate

Subordinated Notes

Co-Issuers
$50,000,000
2

Co-Issuers
$346,560,000

Co-Issuers
$30,940,000

Co-Issuers
$36,560,000

Co-Issuers
$25,310,000

Issuer
$28,130,000

Issuer
$45,000,000

Expected Moody's Initial Rating Expected S&P Initial Rating Interest Rate Stated Maturity Form

"Aaa" "AAA" LIBOR3 + 0.25% March 14, 2022 Payment Date Certificated Regulation S or Rule 144A (QIB/QP) $500,000 ($1,000)

"Aaa" "AAA" LIBOR3 + 0.23% March 14, 2022 Payment Date Global Regulation S or Rule 144A (QIB/QP) $500,000 ($1,000)

"Aa2" "AA" LIBOR3 + 0.33% March 14, 2022 Payment Date Global Regulation S or Rule 144A (QIB/QP) $500,000 ($1,000)

"A2" "A" LIBOR3 + 0.63% March 14, 2022 Payment Date Global Regulation S or Rule 144A (QIB/QP) $500,000 ($1,000)

"Baa2" "BBB" LIBOR3 + 1.32% March 14, 2022 Payment Date Global Regulation S or Rule 144A (QIB/QP) $500,000 ($1,000)

"Ba2" "BB" LIBOR3 + 3.25% March 14, 2022 Payment Date Global Regulation S or Rule 144A (QIB/QP) $500,000 ($1,000)

Not Rated Not Rated None March 14, 2022 Payment Date Global or Certificated Regulation S, Rule 144A (QIB/QP) or Accredited Investor and QP $100,000 ($1,000)(4)

Eligible Purchaser

Minimum Denominations (U.S.$) (Integral Multiples)

Each Class is referred to in this Offering Circular as the applicable term set forth under the heading "Designation" in the table above. The Class A-1a Notes and the Class A-1b Notes are collectively referred to herein as the "Class A-1 Notes" The Class A-1 Notes and the Class A-2 Notes are referred to herein collectively as the "Class A Notes." The Class A, Class B, Class C and Class D Notes are collectively referred to herein as the "Secured Notes" and are referred to herein collectively with the Subordinated Notes as the "Notes" or the "Offered Securities." The "Initial Principal Amount" of the Class A-1a Notes includes unfunded Commitments. On the Closing Date there will be no Borrowings under the Class A-1a Notes. The Commitments may be reduced from time to time and such reduction may be restored from time to time in accordance with the Indenture. LIBOR, calculated as set forth under "Description of the Offered SecuritiesThe Indenture and the Secured NotesInterest." In the case of a Short Notice Borrowing, the Note Interest Rate for the first Business Day in the first Interest Accrual Period following the related Class A-1a Borrowing Request shall be the Base Rate, calculated as set forth in the Indenture, after which time it shall be equal to LIBOR plus the spread specified in the chart above. Or such lower amount as the Issuer may agree on a case-by-case basis.

Issuer:

OHA Park Avenue CLO I, Ltd., a Cayman Islands exempted company. OHA Park Avenue CLO I, Corp., a Delaware corporation. Oak Hill Advisors, L.P. The Bank of New York Trust Company, National Association. Deutsche Bank Securities Inc. and Deutsche Bank AG, London Branch. The Notes are being offered hereby (i) to non-U.S. persons in offshore transactions in reliance on Regulation S ("Regulation S") under the Securities Act of 1933, as amended (the "Securities Act" ) and (ii) in the United States to persons that are either (A) Qualified Purchasers (as defined in Section 2(a)(51) of the Investment Company Act of 1940, as amended (the "Investment Company Act")) ("Qualified Purchasers") or (B) (in the case of the Subordinated Notes only) Knowledgeable Employees (as defined in Rule 3c-5 under the Investment Company Act) ("Knowledgeable Employees") with respect to the Issuer; or corporations, partnerships, limited liability companies or other entities (other than trusts) each shareholder, partner, member or other equity owner of which is either a Knowledgeable Employee or a Qualified Purchaser that in the case of (A) and (B) are either (1) qualified institutional buyers ("Qualified Institutional Buyers") within the meaning of Rule 144A under the Securities Act ("Rule 144A") or (2) Accredited Investors ("Accredited Investors") (in the case of the Subordinated Notes only) meeting the requirements of Rule 501(a) under the Securities Act who, if individual Accredited Investors who are not Knowledgeable Employees, have a minimum of $10,000,000 in investable assets. See "Description of the Offered SecuritiesThe Indenture and the Secured Notes Form, Denomination and Registration of the Notes" and "Transfer Restrictions." Purchasers of Offered Securities should consider the possible application of Regulation U to such purchases. See "Security for the Secured Notes Margin Loans." Each Note, other than a Class A-1a Note, sold to a person that at the time of the acquisition, purported acquisition or proposed acquisition of any such Note is both a Qualified Institutional Buyer and a Qualified Purchaser, will be issued in the form of one or more permanent global notes in definitive, fully registered form without interest coupons (the "Rule 144A Global Notes"). Each Note, other than a Class A-1a Note, sold to non-U.S. persons in offshore transactions in reliance on Regulation S will be issued in the form of one or more permanent global notes in definitive, fully registered 3

Co-Issuer: Portfolio Manager: Trustee:

Initial Purchasers:

Eligible Purchasers:

Form, Registration and Transfer of the Securities:

form without interest coupons (the "Regulation S Global Notes"). The Rule 144A Global Notes and the Regulation S Global Notes are referred to herein collectively as the "Global Notes". All Class A-1a Notes will be issued only in definitive, fully registered form without interest coupons. Each Subordinated Note sold to a person (other than a nonU.S person in an offshore transaction) who at the time of the acquisition, purported acquisition or proposed acquisition of any such Note is not both a Qualified Institutional Buyer and a Qualified Purchaser but who is both (i) either a Qualified Purchaser or a Knowledgeable Employee and (ii) either a Qualified Institutional Buyer or an Accredited Investor meeting the requirements of Rule 501(a) under the Securities Act who, if an individual Accredited Investor who is not a Knowledgeable Employee, has a minimum of $10,000,000 in investable assets, will be issued only in definitive, fully registered form without interest coupons ("Certificated Subordinated Notes"). Each initial investor and each subsequent transferee of a Certificated Subordinated Note and an initial investor in a Rule 144A Global Subordinated Note will be required to provide a purchaser representation letter (in the form attached as Exhibit A1 and Exhibit A2, respectively) in which it will be required to certify, among other matters, as to its status under the Securities Act, the Investment Company Act and ERISA. Transfers and exchanges of Notes are subject to the additional restrictions described herein under "Transfer Restrictions". Transfers of the Class D Notes and the Subordinated Notes are also subject to certain important ERISA-related restrictions. See "ERISA Considerations" and "Transfer Restrictions. Payments on the Notes: Payment Dates ...................................... The 14th day of March, June, September and December of each year (or, if such day is not a Business Day, then the next succeeding Business Day) commencing in September, 2007 (each, a "Payment Date"). Interest on the Secured Notes is payable quarterly in arrears on each Payment Date in accordance with the priority of payments described herein (the "Priority of Payments"). See "Priority of Payments" below. So long as any more senior Class of Secured Notes is outstanding, to the extent interest is not paid on the Class B Notes, Class C Notes or Class D Notes on any Payment Date, such amounts will be deferred and added to the principal balance of the applicable Class of Secured Notes 4

Stated Note Interest...............................

Deferral of Interest.................................

and will bear interest at the Interest Rate applicable to such Secured Notes, and the failure to pay such amounts prior to the maturity of the Notes will not be an Event of Default under the Indenture. See "Description of the Offered SecuritiesThe Indenture and the Secured Notes Interest." Distributions on Subordinated Notes .................................................. The Subordinated Notes will not bear a stated rate of interest but will be entitled to receive distributions on each Payment Date if and to the extent funds are available for such purpose. Such payments will be made on the Subordinated Notes only pursuant to the Priority of Payments. See "Priority of Payments" below and "Description of the Offered SecuritiesThe Subordinated NotesDistributions on the Subordinated Notes."

Optional Redemption: Non-Call Period ..................................... During the period from the Closing Date to but excluding the Payment Date in March 2011 (such period, the "Non-Call Period") the Secured Notes and the Subordinated Notes are not subject to optional redemption. See "Description of the Offered SecuritiesThe Indenture and the Secured Notes Optional Redemption." Following the Non-Call Period, the Secured Notes may be redeemed, in whole but not in part, on any Payment Date, from Sale Proceeds and other funds in the Payment Account and the Collection Account on such Payment Date, at the direction of the holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes (an "Optional Redemption"). In such event, the Portfolio Manager will direct the sale of Assets in order to make payments as described under "Description of the Offered SecuritiesThe Indenture and the Secured Notes Optional Redemption." "Sale Proceeds" are all proceeds (excluding accrued interest, if any) received with respect to Assets as a result of sales of such Assets in accordance with the restrictions described in "Security for the Secured NotesSales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria," less any reasonable expenses incurred by the Portfolio Manager or the Trustee (other than amounts payable as Administrative Expenses) in connection with such sales. The Subordinated Notes may be redeemed, in whole but not in part, on any Payment Date on or after the redemption or repayment of the Secured Notes, at the direction of the holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes. There are certain other restrictions on the ability of the CoIssuers to effect an Optional Redemption. See "Description of the Offered SecuritiesThe Indenture and the Secured

Redemption After Non-Call Period ........

NotesOptional Redemption." Redemption Price .................................. When used with respect to (i) any Class of Secured Notes, an amount equal to 100% of the aggregate outstanding principal amount of the Secured Notes to be redeemed plus accrued and unpaid interest thereon (including interest on any accrued and unpaid Deferred Interest with respect to such Secured Notes and including, in the case of the Class A-1a Notes, any unpaid Commitment Fees) to the applicable Redemption Date and (ii) any Subordinated Note, its proportional share of the amount of proceeds of the Assets (including proceeds created when the lien of the Indenture is released) remaining after giving effect to the redemption of the Secured Notes and payment in full of all expenses of the Co-Issuers (the "Redemption Price"). Subject to the satisfaction of certain conditions described in "Description of the Offered SecuritiesThe Indenture and The Secured NotesRefinancing," any Class or Classes of Secured Notes may be redeemed in whole, but not in part, on any Payment Date after the Non-Call Period from Refinancing Proceeds if the Portfolio Manager, acting on behalf of the Applicable Issuer(s), proposes to redeem such Secured Notes by obtaining a loan or issuing a replacement class of notes, the terms of which loan or issuance will be negotiated by the Portfolio Manager, on behalf of the Applicable Issuer(s), from one or more financial institutions or purchasers (which may include the Portfolio Manager or its affiliates) selected by the Portfolio Manager. There are certain other restrictions on the ability of the Co-Issuers to effect a Refinancing. See "Description of the Offered SecuritiesThe Indenture and the Secured Notes Refinancing." The Notes are redeemable at the option of the Applicable Issuer(s) acting at the direction of the Portfolio Manager (a "Clean-Up Call Redemption"), in whole but not in part, on or after the Payment Date on which the aggregate principal balance of the Collateral Obligations and Eligible Investments has been reduced to 15% or less of the Target Initial Par Amount. Pursuant to a Note Purchase Agreement to be entered into among the Issuer, the Co-Issuer, the Class A-1a Note Agent and the holders of the Class A-1a Notes (the "Note Purchase Agreement"), the holders of the Class A-1a Notes will commit to make advances to the Issuer, subject to compliance with certain borrowing conditions specified therein, in an aggregate outstanding principal amount at any one time up to $50,000,000. The Bank of New York Trust Company, National Association, will serve as "Class A-1a Note Agent" under the Note Purchase Agreement. See "Description of the Offered SecuritiesThe Indenture and the Secured NotesClass A-1a Notes Borrowings."

Refinancing:

Clean-Up Call Redemption:

Liquidity Advances:

The Class A-1a Notes may be prepaid (in whole or in part) on any date that is a Business Day during the Draw Period, (other than a date from the day immediately following the Determination Date to but excluding the next succeeding Payment Date), at the option of the Issuer (at the direction of the Portfolio Manager) from Principal Proceeds and, if such prepayment occurs on a Payment Date, to the extent available for such application pursuant to paragraph (B)(2) of "Priority of PaymentsApplication of Principal Proceeds" and if such prepayment does not occur on a Payment Date, the Issuer may pay any associated accrued interest and Class A-1a Additional Costs on such date of prepayment. Any prepayment will be made by the Issuer pro rata according to the aggregate outstanding principal amount of the Class A-1a Notes. Such prepayments will not result in a reduction of Commitments. Except with respect to any prepayment required to be made on the last day of the Draw Period, the aggregate outstanding principal amount of any prepayment of the Class A-1a Notes (taken as a whole) shall be an integral multiple of $1,000 and at least $500,000. Subject to compliance with certain borrowing conditions specified in the Note Purchase Agreement, amounts may be borrowed, prepaid in accordance with the preceding paragraph and reborrowed during the Draw Period. Each purchaser of Class A-1a Notes will be required to satisfy the Class A-1a Purchaser Rating Criteria. If, at any time during the Draw Period, any holder of Class A-1a Notes or any conduit purchaser does not satisfy the Class A-1a Purchaser Rating Criteria or, with respect to any conduit purchaser, the related liquidity facility is scheduled to expire within 30 days and has not been renewed, then such holder or conduit purchaser is required to either: (i) replace itself with another entity that meets such ratings requirement (by transferring all of its rights and obligations in respect of the Class A-1a Notes to the transferee entity); or (ii) at the election of the Issuer, either (x) fund the remaining undrawn Commitment of such holder or conduit purchaser under the Class A-1a Notes, (y) post cash collateral with respect to the funding obligations under the Commitments or (z) have its obligations guaranteed by one or more entities which satisfy the Class A-1a Purchaser Rating Criteria. If any such holder fails to take one of the actions described in the preceding sentence within 20 days following the commencement of such failure, the Issuer shall direct such holder or conduit purchaser to transfer its Class A-1a Notes to a qualifying purchaser identified by the Issuer.

Commitment Fee on the Class A-1a Notes:

A commitment fee (the "Commitment Fee") will accrue on the Aggregate Undrawn Amount of the Class A-1a Notes as of the close of business on each day during the Draw Period, at a rate per annum equal to 0.17% (the "Commitment Fee Rate"). The Commitment Fee will be payable quarterly in arrears on each Payment Date and will rank pari passu with the payment of interest on the Class A1a Notes. Interest at the Class A-1a Note Interest Rate (without regard to the Base Rate) will accrue on any accrued and unpaid Commitment Fees that are not paid when due. No Class of Notes, other than the Class A-1a Notes, will be entitled to a commitment fee. "Commitment Fee Amount" means, with respect to the Class A-1a Notes as of any Payment Date, the sum of (i) the aggregate amount of Commitment Fee accrued during the Interest Accrual Period for such Payment Date plus (ii) interest accrued for the Interest Accrual Period for such Payment Date at the Class A-1a Note Interest Rate (without regard to the Base Rate) on any accrued and unpaid Commitment Fees that became payable on any prior Payment Date. The Commitment Fee Amount will be computed on the basis of a 360-day year and the actual number of days elapsed in the applicable Interest Accrual Period. "Aggregate Undrawn Amount" means, at any time with respect to the Class A-1a Notes, the excess, if any, of (i) the aggregate amount of the Commitments in respect of all Class A-1a Notes over (ii) the aggregate principal amount of the Class A-1a Notes funded on the Closing Date or by one or more Borrowings after the Closing Date and not repaid under the Indenture.

Priority of Payments: Application of Interest Proceeds............ On each Payment Date, Interest Proceeds on deposit in the Collection Account, to the extent received on or before the related Determination Date (or if such Determination Date is not a Business Day, the next succeeding Business Day) and that are transferred into the Payment Account, and, in the case of any Hedge Agreements, payments received on or before such Payment Date, will be applied in the following order of priority: (A) to the payment of any unpaid Financed Amount then due and payable; provided, that such amount paid on any Payment Date may not exceed the Financed Amount Threshold for such Payment Date; (B) (1) first, to the payment of taxes and governmental fees owing by the Issuer or the Co-Issuer or any ETB/897/Non-U.S. Obligation Subsidiary, if any and (2) second, to the payment of the accrued and unpaid Administrative Expenses up to the Administrative Expense Cap; 8

(C) to the payment of the Senior Collateral Management Fee to the Portfolio Manager; (D) to the payment, pro rata, of any amounts due to any Hedge Counterparty under any Hedge Agreement (in the case of any Currency Hedge Transaction, to the extent that there are no funds available in the subaccount applicable to such Currency Hedge Transaction within the Currency Account) other than amounts due as a result of the termination (or partial termination) of such Hedge Agreement; (E) to the payment of (1) accrued and unpaid interest on the Class A-1a Notes (including interest on accrued interest in accordance with the Note Purchase Agreement), (2) accrued and unpaid interest on the Class A-1b Notes, (3) the Commitment Fee Amount and (4) accrued and unpaid Class A-1a Additional Costs up to $5,000 on each Payment Date (pro rata in proportion to the respective amounts due under clauses (1) through (4) of this clause (E)); (F) to the payment of accrued and unpaid interest on the Class A-2 Notes; (G) (1) first, to the deposit into the Interest Collection Subaccount of the Collection Account an amount equal to the Liquidity Reserve Amount; and (2) second, to the payment of any amounts due to any Hedge Counterparty under any Hedge Agreement pursuant to an early termination (or partial termination) of any Hedge Agreement as a result of a Priority Hedge Termination Event (in the case of any Currency Hedge Transaction, to the extent there are no funds available in the subaccount applicable to such Currency Hedge Transaction within the Currency Account on or prior to such Payment Date in connection with such termination; (H) if either of the Class A Coverage Tests is not satisfied on the related Determination Date, to make payments in accordance with the Note Payment Sequence to the extent necessary to cause both Class A Coverage Tests to be met; (I) to the payment of accrued and unpaid interest and any Deferred Interest on the Class B Notes, including interest accrued for the related Interest Accrual Period on any such Deferred Interest; (J) if either of the Class B Coverage Tests is not satisfied on the related Determination Date, to make payments in accordance with the Note Payment Sequence, to the extent necessary to cause both Class B Coverage Tests to be met; (K) to the payment of accrued and unpaid interest and any Deferred Interest on the Class C Notes, including 9

interest accrued for the related Interest Accrual Period on any such Deferred Interest; (L) if either of the Class C Coverage Tests is not satisfied on the related Determination Date, to make payments in accordance with the Note Payment Sequence, to the extent necessary to cause both Class C Coverage Tests to be met; (M) to the payment of accrued and unpaid interest and any Deferred Interest on the Class D Notes, including interest accrued for the related Interest Accrual Period on any such Deferred Interest; (N) if either of the Class D Coverage Tests is not satisfied on the related Determination Date, to make payments in accordance with the Note Payment Sequence, to the extent necessary to cause both Class D Coverage Tests to be met; (O) (x) during the period from and including the Closing Date to and including the Payment Date immediately following the end of the Reinvestment Period only, to the Collection Account as Principal Proceeds for the purchase of additional Collateral Obligations, (1) first, the Discounted Payment Reinvestment Amount and (2) then, an amount equal to the Reinvestment Diversion Threshold Payment (if any) and (y) after the Reinvestment Period only, to the Payment Account as Principal Proceeds for application on the current Payment Date, the Discounted Payment Reinvestment Amount; (P) to the payment of any accrued and unpaid Subordinated Collateral Management Fee to the Portfolio Manager, together with accrued interest thereon; (Q) to the payment, pro rata, of (1) any Administrative Expenses not paid pursuant to clause (B) above due to the limitation contained therein and (2) any amounts due to any Hedge Counterparty under any Hedge Agreement pursuant to an early termination (or partial termination) of any Hedge Agreement not otherwise paid pursuant to clause (G)(2) above; (R) to the payment of any accrued and unpaid Class A1a Additional Costs not paid pursuant to clause (E) above and Class A-1a Tax Gross-up Amounts; (S) to the holders of the Subordinated Notes in an amount necessary to cause the Incentive Collateral Management Fee I Threshold to be met; (T) to the payment of any accrued and unpaid Incentive Collateral Management Fee I to the Portfolio Manager, together with accrued interest thereon, but only in an amount no greater than 50% of all remaining Interest Proceeds (after giving effect to the payments made under 10

clauses (A) through (S) above); (U) to the holders of the Subordinated Notes in an amount necessary (taking into account all payments made to the holders of the Subordinated Notes on prior Payment Dates and all payments made under clause (S) above on such Payment Date) to cause the Incentive Collateral Management Fee II IRR Threshold to be met; (V) to the payment of any accrued and unpaid Incentive Collateral Management Fee II to the Portfolio Manager, together with accrued interest thereon, but only in an amount no greater than 50% of all remaining Interest Proceeds (after giving effect to the payments made under clauses (A) through (U) above); and (W) any remaining Interest Proceeds to the holders of the Subordinated Notes. Application of Principal Proceeds .......... On each Payment Date, Principal Proceeds on deposit in the Collection Account that were received on or before the related Determination Date, and that are transferred to the Payment Account, will be applied, except for any Principal Proceeds that will be used to settle binding commitments (entered into prior to the Determination Date) for the purchase of Collateral Obligations (or to make loans to NonU.S. Obligation Subsidiaries to purchase Collateral Obligations), in the following order of priority: (A) to pay the amounts referred to in clauses (A) through (F), (G)(2), and (H) through (N) of "Application of Interest Proceeds" above (in the priority stated therein), but (a) only to the extent not paid in full thereunder and (b) in the case of clauses (I), (K) and (M) and any Deferred Interest payable pursuant to clauses (J), (L) and (N), only to the extent that all Coverage Tests would be satisfied on a pro forma basis after giving effect to any such payments; (B) (1) first, to make payments in the amount of the Special Redemption Amount in accordance with (I) if (x) at any time prior to the relevant Payment Date either a Class A-1 Note Overcollateralization Event or a Collateral Balance Event shall have occurred, or (y) as of the Determination Date immediately preceding the relevant Payment Date a Coverage Test Event shall have occurred and be continuing, the Note Payment Sequence; or (II) if the preceding clause (I) does not apply, the Pro Rata Payment Sequence; (2) second, during the Reinvestment Period, at the discretion of the Portfolio Manager (I) to the Collection Account as Principal Proceeds to invest in Eligible Investments and/or additional Collateral Obligations or (II) to prepayments of Class A-1a Notes; and (3) third, after the Reinvestment Period, to invest Principal Proceeds received with respect to a Prepaid Collateral Obligation in accordance with the requirements described under "Security for the Secured NotesSales of Collateral Obligations; Additional Collateral 11

Obligations and Investment Criteria"; (C) to make payments in accordance with: (1) if (x) at any time prior to the relevant Payment Date (including, without limitation, as of the Determination Date immediately preceding such Payment Date) either (I) a Class A-1 Note Overcollateralization Event or (II) a Collateral Balance Event shall have occurred, or (y) as of the Determination Date immediately preceding the relevant Payment Date a Coverage Test Event shall have occurred and be continuing, the Note Payment Sequence; or (2) if the preceding clause (1) does not apply, the Pro Rata Payment Sequence; provided, however, that in the event the application of Principal Proceeds on a given Payment Date would result in a Collateral Balance Event, the Issuer shall apply only such portion of available Principal Proceeds in accordance with the Pro Rata Payment Sequence that would enable the Issuer not to cause the occurrence of a Collateral Balance Event following such application and shall apply any remaining available Principal Proceeds in accordance with the Note Payment Sequence; (D) (1) first, to the payment of the accrued but unpaid Subordinated Collateral Management Fee (including interest thereon), but only to the extent not paid in full on such Payment Date pursuant to clause (P) of "Application of Interest Proceeds" above and (2) second, to the payment of, pro rata, Administrative Expenses, and any amount due any Hedge Counterparty, each as referred to in clause (Q) of " Application of Interest Proceeds" above, but in each case only to the extent not paid in full thereunder; (E) to the payment of any accrued and unpaid Class A1a Additional Costs and Class A-1a Tax Gross-up Amounts, but only to the extent not paid in full on such Payment Date pursuant to clause (R) of "Application of Interest Proceeds" above; (F) to the holders of the Subordinated Notes in an amount necessary (taking into account any payments made under clause (S) of "Application of Interest Proceeds" above on such Payment Date) to cause the Incentive Collateral Management Fee I Threshold to be met; (G) to the payment of any accrued and unpaid Incentive Collateral Management Fee I (including interest thereon) but only (i) to the extent not paid in full under clause (T) of " Application of Interest Proceeds" above and (ii) in an amount no greater than 50% of the remaining Principal Proceeds (after giving effect to payments made under clauses (A) through (F) above); (H) to the holders of the Subordinated Notes in an amount necessary (taking into account all payments made to the holders of the Subordinated Notes on prior Payment Dates and all payments made under clause (F) above and clauses (S) and (U) of "Application of Interest Proceeds" 12

above on such Payment Date) to cause the Incentive Collateral Management Fee II IRR Threshold to be met; (I) to the payment of any accrued and unpaid Incentive Collateral Management Fee II (including interest thereon) but only (i) to the extent not paid in full under clause (V) of "Application of Interest Proceeds" above and (ii) in an amount no greater than 50% of the remaining Principal Proceeds (after giving effect to payments made under clauses (A) through (H) above); and (J) any remaining Principal Proceeds to the holders of the Subordinated Notes. Application of Principal Proceeds to Class A-1a Notes................................... On each Business Day (other than a date from and including a Determination Date to but excluding the next succeeding Payment Date), without applying "Priority of Payments Application of Principal Proceeds," Principal Proceeds may be applied to the payment of principal of the Class A-1a Notes (in an amount determined by the Portfolio Manager) for so long as the conditions specified under "Liquidity Advances" are satisfied. For the avoidance of doubt, if such Business Day falls on a Payment Date, this provision shall not apply but principal on the Class A-1a Notes will be repaid as provided under "Priority of Payments Application of Principal Proceeds." In addition, on any such Business Day, Interest Proceeds, and if available Interest Proceeds are insufficient, then Principal Proceeds may be applied to accrued interest and Class A-1a Additional Costs without applying "Priority of PaymentsApplication of Interest Proceeds" or "Priority of PaymentsApplication of Principal Proceeds," respectively, if no Coverage Test failure will result. The "Note Payment Sequence" shall be the application, in accordance with the Priority of Payments described above, of Interest Proceeds or Principal Proceeds, as applicable, in the following order: (i) to the payment of principal of the Class A-1b Notes and the Class A-1a Committed Amount until the Class A-1b Notes and the Class A-1a Committed Amount have been paid in full (pro rata in proportion to the aggregate outstanding principal amount of the Class A-1b Notes and the Class A-1a Committed Amount); (ii) to the payment of principal of the Class A-2 Notes until the Class A-2 Notes have been paid in full; (iii) to the payment of accrued and unpaid interest and any Deferred Interest on the Class B Notes until such amounts have been paid in full;

Note Payment Sequence.......................

13

(iv) to the payment of principal of the Class B Notes until the Class B Notes have been paid in full; (v) to the payment of accrued and unpaid interest and any Deferred Interest on the Class C Notes until such amounts have been paid in full; (vi) to the payment of principal of the Class C Notes until the Class C Notes have been paid in full; (vii) to the payment of accrued and unpaid interest and any Deferred Interest on the Class D Notes until such amounts have been paid in full; and (viii) to the payment of principal of the Class D Notes until the Class D Notes have been paid in full. The "Determination Date" is the last day of each Collection Period. Pro Rata Payment Sequence ................ The "Pro Rata Payment Sequence" shall be the application of Principal Proceeds on a pro rata basis to the payment of (i) principal of the Class A-1b Notes and the Class A-1a Committed Amount until the Class A-1b Notes and the Class A-1a Committed Amount have been paid in full (pro rata in proportion to the aggregate outstanding principal amount of the Class A-1b Notes and the Class A1a Committed Amount), (ii) principal of the Class A-2 Notes until the Class A-2 Notes have been paid in full, (iii) accrued and unpaid interest and any Deferred Interest on the Class B Notes until such amounts have been paid in full, (iv) principal of the Class B Notes until the Class B Notes have been paid in full, (v) accrued and unpaid interest and any Deferred Interest on the Class C Notes until such amounts have been paid in full, (vi) principal of the Class C Notes until the Class C Notes have been paid in full, (vii) accrued and unpaid interest and any Deferred Interest on the Class D Notes until such amounts have been paid in full and (viii) principal of the Class D Notes until the Class D Notes have been paid in full. The Collateral Management Fees consist of the Senior Collateral Management Fee in the amount of 0.25% per annum of the Fee Basis Amount, the Subordinated Collateral Management Fee in the amount of 0.25% per annum of the Fee Basis Amount, the Incentive Collateral Management Fee I in the amount of 0.25% per annum of the Fee Basis Amount and the Incentive Collateral Management Fee II in the amount of 0.25% per annum of the Fee Basis Amount, in each case calculated and subject to the limitations described under "The Portfolio Management Agreement" and is payable as described under"Priority of Payments."

Collateral Management Fees:

14

Security for the Secured Notes: General .................................................. The Secured Notes will be secured by the Assets, which include the various accounts pledged under the Indenture. In purchasing and selling Collateral Obligations, the Issuer will generally be required to meet certain requirements imposed by the Portfolio Profile Tests described under " Portfolio Profile Tests" and "Security for the Secured NotesThe Portfolio Profile Tests," the Collateral Quality Test described under the "Collateral Quality Test" and "Security for the Secured NotesThe Collateral Quality Test," the Coverage Tests described under "Coverage Tests" and "Security for the Secured NotesThe Coverage Tests" and various other criteria described under "Security for the Secured NotesSales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria." Substantially all of the Collateral Obligations will be rated below investment grade and accordingly will have greater credit and liquidity risk than investment grade corporate obligations. See "Risk FactorsRelating to Collateral ObligationsBelow Investment-Grade Assets Involve Particular Risks." The initial portfolio of Collateral Obligations will be purchased and/or refinanced through the application of the net proceeds of the sale of the Offered Securities and the Financed Amount Initial Balance. See "Security for the Secured NotesCollateral Obligations." During the Ramp-Up Period (as defined below), pending investment in such Collateral Obligations, a portion of such net proceeds will be invested in Eligible Investments. The Issuer will be permitted to lend Collateral Obligations pursuant to one or more Securities Lending Agreements and in such cases the Secured Notes will be secured by the Issuer's rights under the related Securities Lending Agreement and not by the Collateral Obligations loaned pursuant to such Securities Lending Agreement. See "Risk FactorsRelating to the Collateral ObligationsThe Issuer Has the Right to Engage in Securities Lending, which Involves Counterparty Risks and Other Risks." Subject to certain limitations described herein, the Secured Notes may be secured by Margin Loans. Purchasers of Secured Notes should consider the possible application of FRB Regulation U to such purchases. See "Security for the Secured NotesMargin Loans." Collateral Obligations ............................ An obligation meeting the standards set forth below, whether pledged to the Trustee on the Closing Date, during the Ramp-Up Period or thereafter, will constitute a "Collateral Obligation." An obligation will be eligible for purchase by the Issuer and pledge to the Trustee as a Collateral Obligation if it is a debt obligation (including, but not limited to, high-yield debt securities and interests in bank loans acquired by way of a sale or assignment), Participation Interest, Synthetic Security or Structured Finance Obligation that as of the date of acquisition by the 15

Issuer: (i) is U.S. Dollar denominated or a Non-USD Obligation and is not convertible by the issuer thereof into any other currency; is not a Defaulted Obligation; is not a lease other than a Capital Lease; has not deferred payment of any accrued, unpaid interest which would have otherwise been due and continues to remain unpaid; provides for a fixed amount of principal payable on scheduled payment dates and/or at maturity (or a fixed notional amount in the case of a Synthetic Security) and does not by its terms provide for earlier amortization or prepayment at a price of less than par; does not constitute Margin Stock; is not a Margin Loan (unless it is a Subordinated Note Collateral Obligation); has payments that do not subject the Issuer to withholding tax unless the related obligor is required to make "gross-up" payments that cover the full amount of any such withholding tax on an after tax basis (for the avoidance of doubt, this clause shall not apply to commitment fees); has a Moody's Rating and an S&P Rating; will not cause the Issuer to be deemed to own 5% or more of the voting securities of any issuer (or, to the Portfolio Manager's knowledge, any affiliate thereof) or any securities that are immediately convertible into or immediately exercisable or exchangeable for 5% or more of the voting securities of the issuer, as determined by the Portfolio Manager; is not a debt obligation whose repayment is subject to substantial non-credit related risk as determined by the Portfolio Manager; is not acquired for the purpose of accommodating a request from a Securities Lending Counterparty to borrow such Collateral Obligation; except for Delayed Drawdown Collateral Obligations, Revolving Collateral Obligations and amounts paid under Synthetic Securities in 16

(ii) (iii) (iv)

(v)

(vi) (vii) (viii)

(ix) (x)

(xi)

(xii)

(xiii)

respect of Unfunded Synthetic Exposure, is not an obligation pursuant to which any future advances or payments, other than Excepted Advances, to the borrower or the obligor thereof may be required to be made by the Issuer; (xiv) (xv) (xvi) does not have an "r", "p", "pi", "q" or "t" subscript assigned by S&P; is not a Related Obligation; is not subject to an offer other than (a) an offer of publicly traded registered securities with equal or greater face value and similar terms issued in exchange for securities issued under Rule 144A or (b) a Permitted Offer; and will not require the Issuer, the Co-Issuer or the pool of Assets to be registered as an investment company under the Investment Company Act.

(xvii)

Hedge Agreements................................

Subject to certain restrictions, the Issuer is permitted to enter into one or more Interest Rate Hedge Agreements, with any one or more institutions entering into or guaranteeing a Hedge Agreement with the Issuer that satisfies the Required Hedge Counterparty Rating or that otherwise satisfies the Global Rating Agency Condition (each, a "Hedge Counterparty"). Deutsche Bank AG, acting through its New York Branch, will be the initial Hedge Counterparty. See "Security for the Secured NotesHedge Agreements." Without limitation to the foregoing, upon or promptly after the purchase of a Non-USD Obligation, the Issuer is expected to enter into one or more Currency Hedge Transactions (or maintain one or more existing Currency Hedge Transactions in respect of the related Permitted Currency covering such Non-USD Obligation as permitted in "Security for the Secured NotesHedge AgreementsCurrency Hedge Transactions") with a Hedge Counterparty satisfying the Required Hedge Counterparty Rating in a notional amount not to exceed the collateral principal amount of the Non-USD Obligations being purchased. Management of the portfolio will be conducted by the Portfolio Manager pursuant to a portfolio management agreement to be entered into between the Issuer and the Portfolio Manager (the "Portfolio Management Agreement"). Under the Portfolio Management Agreement, and subject to the limitations of the Indenture, the Portfolio Manager will manage the selection, acquisition, reinvestment and disposition of the Assets, including exercising rights and remedies associated with the Assets, disposing of the Assets and certain related functions. The net cash proceeds of the offering of the Offered Securities (which does not include the unfunded 17

Portfolio Management:

Use of Proceeds:

Commitments of the Class A-1a Notes which total $50,000,000) and the Financed Amount Initial Balance will be applied by the Issuer to repay amounts owed by the Issuer under two warehouse facilities under which the Issuer obtained financing for the purchase of certain Collateral Obligations purchased prior to the Closing Date and to purchase additional Collateral Obligations (including acquisition of additional Collateral Obligations through any Non-U.S. Obligation Subsidiary by lending funds to such entity to purchase Collateral Obligations as permitted by the Indenture) on and after the Closing Date, all of which will be pledged under the Indenture by the Issuer to the Trustee. See "Use of Proceeds." Purchase of Collateral Obligations; Ramp-Up Period: The Issuer will use its best reasonable efforts to have purchased or to have entered into binding agreements to purchase, by the earlier of (a) 170 days after the Closing Date and (b) the date selected by the Portfolio Manager and upon which the Issuer has purchased, or entered into binding commitments to purchase, Collateral Obligations, including Collateral Obligations acquired by the Issuer on or prior to the Closing Date, that in the aggregate equal or exceed the Target Initial Par Amount, without regard to prepayments, maturities, redemptions or sales (the period from the Closing Date to such date being the "Ramp-Up Period"). The Issuer will be subject to certain Interim Targets during the Ramp-Up Period, as described under "Use of ProceedsRamp-Up Period." Within 30 Business Days after the end of the Ramp-Up Period, the Issuer will provide, or cause the Portfolio Manager (or the Collateral Administrator, if so specified by the Issuer) to provide certain documents to the Trustee and/or each Rating Agency, including an accountants' certificate confirming, among other things, satisfaction of the Portfolio Profile Tests, the Coverage Tests and the Collateral Quality Test and requesting that S&P (or, at the discretion of the Portolio Manager, Moody's) confirm its initial ratings of the Secured Notes. If such accountants' certificate (and, with respect to S&P, a report identifying the Collateral Obligations) is delivered to Moody's and/or S&P prior to (or, with respect to S&P, at least five Business Days prior to) the Payment Date in September 2007, it will not be necessary for the Issuer to receive written confirmation from Moody's and/or S&P of its initial ratings of the Secured Notes, unless, in the case of S&P, an objection is received with respect to such accountants' certificate or report. If, as of the end of the Ramp-Up Period, the Portfolio Profile Tests, the Target Initial Par Condition or the Collateral Quality Test fail to be satisfied, then (unless otherwise specified by the Rating Agencies) the Portfolio Manager will (i) instruct the Trustee to transfer amounts from the Interest 18

Collection Subaccount to the Principal Collection Subaccount (and with such funds the Issuer will purchase additional Collateral Obligations) in an amount sufficient to obtain from each Rating Agency written confirmation of its initial ratings of the Secured Notes (provided that the amount of such transfer would not result in Deferred Interest being owed on any Class of Notes) or (ii) take such other action, including but not limited to a Special Redemption, sufficient to obtain from each Rating Agency written confirmation of its initial ratings of the Secured Notes. No Interest Proceeds may be distributed after clause (O) of "Priority of PaymentsApplication of Interest Proceeds" unless either written confirmation from each Rating Agency reaffirming its initial ratings of the Secured Notes has been delivered to the Issuer or the accountants' certificate referred to above has been received in the manner specified. It is expected, but there can be no assurance, that the Portfolio Profile Tests, the Collateral Quality Test, the Target Initial Par Condition and all of the Coverage Tests described herein will be satisfied not later than the end of the Ramp-Up Period. Reinvestment Period ............................. The "Reinvestment Period" will be the period from and including the Closing Date to and including the earliest of (i) the end of the Collection Period preceding the Payment Date in March, 2013, (ii) the date on which the maturity of any Class of Secured Notes is accelerated due to an Event of Default as described under "Description of the Offered SecuritiesThe Indenture and the Secured NotesThe Indenture" or (iii) the date on which the Portfolio Manager reasonably determines and notifies the Issuer, the Rating Agencies and the Trustee that it can no longer reinvest in additional Collateral Obligations in accordance with the Indenture or the Portfolio Management Agreement. See "Security for the Secured NotesSales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria." The "Collateral Quality Test" will be satisfied if, as of any Measurement Date at, or subsequent to, the end of the Ramp-Up Period (or, with respect to the test set forth in paragraph (v) below, as of or subsequent to any Measurement Date immediately succeeding receipt by the Issuer of written confirmation of its initial ratings of the Secured Notes by S&P and which occurs during the Reinvestment Period), in the aggregate, the Collateral Obligations owned (or in relation to a proposed purchase of a Collateral Obligation, proposed to be owned) by the Issuer satisfy each of the tests set forth below (or, if any such test is not satisfied, the results of such test are maintained or improved) (see "Security for the Secured NotesThe Collateral Quality Test"): (i) the Minimum Fixed Coupon Test;

Collateral Quality Test:

19

(ii) (iii) (iv) (v) (vi) (vii) (viii)

the Minimum Floating Spread Test; the Maximum Weighted Average Rating Factor Test; the Moody's Diversity Test; the S&P CDO Monitor Test; the Minimum Weighted Average Moody's Recovery Rate Test; the Minimum Weighted Average S&P Recovery Rate Test; and the Weighted Average Maturity Test.

The "Minimum Fixed Coupon Test" will be satisfied on any date of determination if the Weighted Average Fixed Coupon plus the Excess Weighted Average Floating Spread equals or exceeds the Minimum Fixed Coupon. The "Minimum Floating Spread Test" will be satisfied on any date of determination if (a) the sum of (i) the Weighted Average Floating Spread and (ii) the Excess Weighted Average Fixed Coupon equals or exceeds (b) the Minimum Floating Spread. "Minimum Fixed Coupon" as of any date of determination means 7.0%. "Minimum Floating Spread" as of any date of determination means, the greater of (i) the number set forth in the column entitled "Minimum Weighted Average Spread" in the Minimum Diversity/Maximum Rating/Minimum Spread Matrix set forth below based upon the applicable "row/column combination" chosen by the Portfolio Manager (or the interpolation between two adjacent rows and/or two adjacent columns, as applicable) in accordance with the Indenture minus the Floating Spread Adjustment Amount and (ii) the number set forth in the column entitled "Minimum Weighted Average Floating Spread" in the applicable S&P Test Matrix, in each case as applicable on such date of determination. The "Maximum Weighted Average Rating Factor Test" will be satisfied on any date of determination if (i) the Weighted Average Rating Factor (determined as described herein) of the Collateral Obligations is less than or equal to (ii) the sum of (a) the number set forth in the cell entitled "Maximum Weighted Average Rating Factor" in the Minimum Diversity/Maximum Rating/Minimum Spread Matrix, based upon the applicable "row/column combination" chosen by the Portfolio Manager (or the interpolation between two adjacent rows and/or two adjacent columns, as applicable) in accordance with the Indenture and (b) the 20

Rating Factor Adjustment Amount. "Recovery Rate Excess Amount" means, as of any Measurement Date, an amount equal to the product of (I) the greater of (a) zero and (b) (i) the Weighted Average Moody's Recovery Rate as of such Measurement Date minus (ii) the Minimum Weighted Average Moody's Recovery Rate and (II) 100; provided, that if as of such Measurement Date the Weighted Average Moody's Recovery Rate is (x) greater than or equal to 60%, then solely for the purpose of calculating the Recovery Rate Excess Amount, the Weighted Average Moody's Recovery Rate shall be deemed to equal 60% or (y) less than 43.25%, then solely for the purpose of calculating the Recovery Rate Excess Amount, the Weighted Average Moody's Recovery Rate shall be deemed to equal 43.25%. The Portfolio Manager shall in its sole discretion determine and specify in writing (which writing shall be provided to the Issuer) how much of such Recovery Rate Excess Amount to apply with respect to either (or both) (A) the Maximum Weighted Average Rating Factor Test as of any Measurement Date or (B) the Minimum Floating Spread Test as of any Measurement Date (provided that such allocation shall, in the aggregate, equal the Recovery Rate Excess Amount as of such Measurement Date); provided further; that in the absence of express selection by the Portfolio Manager in respect of any Measurement Date, the selection that applied on the preceding Measurement Date will apply to such Measurement Date (for the avoidance of doubt unless the Portfolio Manager selects otherwise, subclause (A) above shall apply with respect to the determination of compliance with the Interim Targets and to the Measurement Date as of the end of the Ramp-Up Period). The "Moody's Diversity Test" will be satisfied on any date of determination if the Diversity Score (rounded to the nearest whole number) equals or exceeds the number set forth in the column entitled "Minimum Diversity Score" in the Minimum Diversity/Maximum Rating/Minimum Spread Matrix set forth below based upon the applicable "row/column combination" chosen by the Portfolio Manager (or the interpolation between two adjacent rows and/or two adjacent columns, as applicable) in accordance with the Indenture. The Portfolio Manager will use the following "Minimum Diversity/Maximum Rating/Minimum Spread Matrix" to select the "row/column combination" of the table below to apply initially for purposes of the Moody's Diversity Test, the Maximum Weighted Average Rating Factor Test and the Minimum Floating Spread Test. Thereafter, on notice to the Trustee and the Issuer, the Portfolio Manager may select a different row or column of the Minimum Diversity/Maximum Rating/Minimum Spread Matrix to apply, or may interpolate between two adjacent rows and/or two adjacent columns, as applicable, on a straight-line basis and round the results to two decimal points. 21

Minimum Diversity Score Minimum Weighted Average Spread 2.00% 2.10% 2.15% 2.25% 2.30% 2.40% 2.50% 2.60% 2.70% 2.80% 2.90% 3.00% 43 2165 2230 2275 2320 2345 2385 2425 2460 2500 2540 2570 2600 46 2175 2250 2300 2345 2365 2410 2455 2500 2540 2580 2610 2645 49 2185 2270 2315 2365 2390 2440 2490 2540 2580 2620 2655 2690 52 2195 2285 2330 2385 2415 2470 2525 2580 2620 2660 2695 2730 55 2210 2300 2350 2410 2445 2500 2555 2620 2660 2700 2735 2770 58 2225 2315 2365 2440 2480 2535 2590 2650 2695 2740 2775 2810 61 2240 2330 2380 2470 2515 2570 2625 2680 2730 2780 2815 2850

Maximum Weighted Average Rating Factor

The "S&P CDO Monitor Test" will be satisfied on any date of determination following receipt by the Portfolio Manager and the Portfolio Manager of the S&P CDO Monitor if after giving effect to the sale of a Collateral Obligation or the purchase of a Collateral Obligation, as the case may be, (i) either (x) the Class Loss Differential with respect to the Class A-1 Notes is positive or (y) the Class Loss Differential with respect to the Class A-1 Notes of the Proposed Portfolio is equal to or greater than the Class Loss Differential with respect to the Class A-1 Notes of the Current Portfolio, (ii) either (x) the Class Loss Differential with respect to the Class A-2 Notes is positive or (y) the Class Loss Differential with respect to the Class A-2 Notes of the Proposed Portfolio is equal to or greater than the Class Loss Differential with respect to the Class A-2 Notes of the Current Portfolio, (iii) either (x) the Class Loss Differential with respect to the Class B Notes is positive or (y) the Class Loss Differential with respect to the Class B Notes of the Proposed Portfolio is equal to or greater than the Class Loss Differential with respect to the Class B Notes of the Current Portfolio, (iv) either (x) the Class Loss Differential with respect to the Class C Notes is positive or (y) the Class Loss Differential with respect to the Class C Notes of the Proposed Portfolio is equal to or greater than the Class Loss Differential with respect to the Class C Notes of the Current Portfolio and (v) either (x) the Class Loss Differential with respect to the Class D Notes is positive or (y) the Class Loss Differential with respect to the Class D Notes of the Proposed Portfolio is equal to or greater than the Class Loss Differential with respect to the Class D Notes of the Current Portfolio; provided, that notwithstanding anything herein to the contrary, the determination of whether the S&P CDO Monitor Test has been maintained or improved will be ascertained 22

according to instructions provided to the Issuer or the Portfolio Manager on behalf of the Issuer by S&P. In determining whether the S&P CDO Monitor Test is met, the S&P Rating on any Synthetic Security shall be the rating assigned to such Synthetic Security at the time of acquisition thereof by the Issuer and the related S&P Industry Classification Group shall be the same as that of the related Reference Obligation. The "Minimum Weighted Average Moody's Recovery Rate Test" will be satisfied as of any Measurement Date if the Weighted Average Moody's Recovery Rate equals or exceeds 43.25%. The "Minimum Weighted Average S&P Recovery Rate Test," for each Class of Secured Notes then outstanding, is a test that will be satisfied as of any Measurement Date of determination if the Weighted Average S&P Recovery Rate equals or exceeds the S&P Recovery Rate determined by reference to the S&P Test Matrix based upon the applicable "row/column combination" chosen by the Portfolio Manager. See "Security for the Secured NotesThe Collateral Quality TestMinimum Weighted Average S&P Recovery Rate Test". The "Weighted Average Maturity Test" will be satisfied on any date of determination if the Portfolio Weighted Average Maturity on such date is on or before March 20, 2017. Portfolio Profile Tests: The "Portfolio Profile Tests" limitations will be satisfied, if as of any date of determination at or subsequent to, the end of the Ramp-Up Period, in the aggregate, the Collateral Obligations owned (or in relation to a proposed purchase of a Collateral Obligation, proposed to be owned) by the Issuer comply with all of the requirements set forth below (or, if not in compliance, the relevant requirements must be maintained or improved) calculated in each case as provided for in the Indenture: Non-Emerging Market Obligors Domicile of obligor (i) all of the Collateral Obligations must be issued by Non-Emerging Market Obligors; (ii) no more than the percentage listed below of the Collateral Principal Amount may be issued by obligors Domiciled in the country or countries set forth opposite such percentage:

23

% Limit 25.0%

Country or Countries All countries (in the aggregate) other than the United States and Canada; All countries outside of the United States and Canada and not consisting of Group I Countries, Group II Countries, Group III Countries and Group IV Countries; Any individual Group I Country; All Group II Countries in the aggregate; Any individual Group II Country; All Group aggregate; III Countries Countries in in the the

15.0%

10.0% 7.5% 5.0% 5.0% 5.0%

All Group IV aggregate; and

3.0%

Any individual country other than the United States, the United Kingdom, Canada, any Group II Country or any Group III Country

Delayed Drawdown/ Revolving Collateral Obligations Moody's Counterparty Criteria Senior Secured Loans

(iii) unfunded and funded commitments under Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations may not be more than 40% of the Collateral Principal Amount; (iv) the Moody's Counterparty Criteria are met;

(v) (a) not less than 80.0% of the Collateral Principal Amount may consist of Senior Secured Loans and (b) not more than 12.5% of the Collateral Principal Amount may consist of Specified Second Position Loans; (vi) not less than 92.5% of the Collateral Principal Amount may consist of floating rate Collateral Obligations; provided that not less than 90.0% of the Collateral Principal Amount may consist of floating rate Collateral Obligations if the Issuer has entered into an Interest Rate Hedge Agreement pursuant to the Indenture; (vii) (a) not more than 20.0% of the Collateral Principal Amount may consist of Synthetic Securities and (b) not more than 25.0% of the Collateral Principal Amount may consist of Participation Interests;

Floating rate Collateral Obligations

Synthetic Securities and Participation Interests

24

Debt securities

(viii) not more than 10.0% of the Collateral Principal Amount may consist of Collateral Obligations that are debt securities in a form other than bank loans or Participation Interests or Synthetic Securities the Reference Obligation of which is a bank loan or Participation Interest; (ix) not more than 5.0% of the Collateral Principal Amount may consist of Deferrable Securities; (x) not more than 7.5% of the Collateral Principal Amount may consist of Zero Coupon Securities; (xi) not more than 5.0% of the Collateral Principal Amount may consist of Collateral Obligations that pay interest less frequently than semi-annually (excluding Zero Coupon Securities); (xii) not more than 10.0% of the Collateral Principal Amount may consist of DIP Collateral Obligations and not more than 2.0% of the Collateral Principal Amount may consist of DIP Collateral Obligations issued by a single obligor; (xiii) not more than 5.0% of the Collateral Principal Amount may by the terms of such Collateral Obligations be convertible into or exchangeable for Equity Securities or may consist of Collateral Obligations with attached warrants; (xiv) not more than 3.0% of the Collateral Principal Amount may consist of obligations which mature after the Stated Maturity of the Notes (or, in the case of Structured Finance Obligations, have an expected final payment date after the Stated Maturity of the Notes); (xv) not more than 2.0% of the Collateral Principal Amount may consist of obligations issued by a single obligor, except that up to 2.5% of the Collateral Principal Amount may consist of obligations issued by each of up to five obligors as long as each of such obligor's obligations included in the Collateral Principal Amount has a Moody's Rating of at least "Ba3"; (xvi) (a) not more than 7.5% of the Collateral Principal Amount may consist of Collateral Obligations with a Moody's Rating of "Caa1" or below and (b) not more than 12.5% of the Collateral Principal Amount may consist of Collateral Obligations with an S&P Rating of "CCC+" or below;

Deferrable Securities Zero Coupon Securities Interest less frequently than semi-annually

DIP Collateral Obligations

Conversion or exchange into Equity Securities; attached warrants Limitation on maturity

Single obligor

Rating of "Caa1"/"CCC+" and below

25

Third Party Credit Exposure

(xvii) the Third Party Credit Exposure may not exceed 20.0% of the Collateral Principal Amount, the Third Party Credit Exposure with counterparties with a rating below "AA" by S&P may not exceed 10.0% of the Collateral Principal Amount and the Third Party Credit Exposure with Synthetic Security Counterparties with a short-term rating below "A-1+" by S&P may not exceed 5.0% of the Collateral Principal Amount; (xviii) not more than 15.0% of the Collateral Principal Amount may consist of Collateral Obligations with an S&P Rating derived from a Moody's Rating as set forth in clause (iii)(a) of the definition of the term "S&P Rating"; (xix) not more than 15.0% of the Collateral Principal Amount may consist of Collateral Obligations with a Moody's Rating derived from an S&P Rating as provided in clauses (iv)(A)(1), (2) or (3) of the definition of the term "Moody's Derived Rating"; (xx) not more than 5.0% of the Collateral Principal Amount may consist of Non-USD Obligations; (xxi) not more than 5.0% of the Collateral Principal Amount may consist of Capital Leases; and (xxii) not more than 7.5% of the Collateral Principal Amount may consist of Structured Finance Obligations. "Group I Country" means the Netherlands, the United Kingdom and Australia (or such other countries as may become publicly available or otherwise notified by Moody's to the Portfolio Manager from time to time). "Group II Country" means Germany, Ireland, Sweden and Switzerland (or such other countries as may become publicly available or otherwise notified by Moody's to the Portfolio Manager from time to time). "Group III Country" means Austria, Belgium, Denmark, Finland, France, Iceland, Liechtenstein, Luxembourg, Norway and Spain (or such other countries as may become publicly available or otherwise notified by Moody's to the Portfolio Manager from time to time). "Group IV Country" means Greece, Italy and Portugal (or such other countries as may become publicly available or otherwise notified by Moody's to the Portfolio Manager from time to time).

S&P Rating derived from a Moody's Rating

Moody's Rating derived from an S&P Rating

Non-USD Obligations Capital Leases

Structured Finance Obligations

26

"Collateral Principal Amount" means as of any date of determination, the sum of (a) the aggregate principal balance of the Collateral Obligations (other than Defaulted Obligations), (b) without duplication, the amounts on deposit in the Collection Account, the Currency Account and the RampUp Account (including Eligible Investments therein) representing Principal Proceeds and, from and after a default under a Securities Lending Agreement, the amounts on deposit in the related Securities Lending Account (including Eligible Investments therein) and (c) without duplication, the Aggregate Undrawn Amount of the Class A-1a Notes (excluding amounts allocated in respect of all Delayed Drawdown Collateral Obligations, Revolving Collateral Obligations and the Unfunded Synthetic Exposure). Coverage Tests: The Coverage Tests will be used primarily to determine whether principal and interest may be paid on the Secured Notes and distributions may be made on the Subordinated Notes or whether funds which would otherwise be used to pay interest on the Secured Notes other than the Class A Notes and to make distributions on the Subordinated Notes must instead be used to pay principal on one or more Classes of Secured Notes according to the priorities referred to in " Priority of Payments." The "Coverage Tests" will consist of the Overcollateralization Ratio Test and the Interest Coverage Test applied respectively to the Class A-1a Notes, the Class A-1b Notes and the Class A-2 Notes (together, the "Class A Coverage Tests"), the Class B Notes (the "Class B Coverage Tests"), the Class C Notes (the "Class C Coverage Tests") and the Class D Notes (the "Class D Coverage Tests"). Measurement of the degree of compliance with the Coverage Tests will be required as of each Measurement Date beginning on the Determination Date which is the last day of the Ramp-Up Period. The "Overcollateralization Ratio Test" and "Interest Coverage Test" applicable to the indicated Classes of Notes will be satisfied as of any Measurement Date at or subsequent to the end of the Ramp-Up Period if the Overcollateralization Ratio or the Interest Coverage Ratio, as the case may be, is at least equal to the applicable ratio indicated below. If the Coverage Tests are not satisfied on any Determination Date occurring subsequent to the Ramp-Up Period, the Issuer will be required to apply available amounts in the Payment Account on the related Payment Date to make payments in accordance with the Priority of Payments to the extent necessary to achieve compliance with such Coverage Tests. See "Priority of Payments."

27

Class A B C D Class A B C D

Required Overcollateralization Ratio 111.37% 106.10% 105.89% 101.70% Required Interest Coverage Ratio 120.00% 110.00% 105.00% 100.00%

The "Overcollateralization Ratio" is, with respect to any specified Class or Classes of Secured Notes as of any Measurement Date, the percentage derived from: (a) the Adjusted Collateral Principal Amount; divided by (b) the Aggregate Outstanding Amount of the Secured Notes of such Class and each priority class of Secured Notes; provided that for purposes of determining the Overcollateralization Ratio (other than for purposes of determining whether a Class A-1 Note Overcollateralization Event has occurred), the Class A-1 Notes and the Class A2 Notes shall constitute one Class of Secured Notes. For purposes of determining the Overcollateralization Ratio, the Aggregate Outstanding Amount of the Class A-1a Notes will include an amount (in addition to the amount thereof) equal to the sum of (x) all unfunded commitments that have not been irrevocably reduced in respect of all Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations and (y) any Unfunded Synthetic Exposure as of the date of determination less amounts on deposit in the Revolver Funding Account and the Subordinated Note Collateral Revolver Funding Account. The "Interest Coverage Ratio" for any designated Class or Classes of Secured Notes as of any date of determination is the percentage derived from:

28

The Collateral Interest Amount as of such date of determination

minus

Amounts payable (or expected as of the date of determination to be payable) on the following Payment Date as set forth in clauses (A) through (C) under "Priority of Payments Application of Interest Proceeds"

divided by

Amounts payable (or expected as of the date of determination to be payable) on the following Payment Date as set forth in clause (D) under "Priority of Payments Application of Interest Proceeds"

plus

Interest due and payable on the Secured Notes of such Class and each Class of Secured Notes that rank senior to such Class (excluding any Deferred Interest but including any interest on Deferred Interest with respect to any such Classes) on such Payment Date; provided that the Class A-1 Notes and the Class A-2 Notes shall constitute one Class of Secured Notes for purposes of the Interest Coverage Ratio determined for such Classes of Notes;

29

Other Information: Listing, Trading and Form of Notes ....... Application has been made to the Financial Regulator as competent authority under the Prospectus Directive for the Prospectus to be approved. Application has been made to the Irish Stock Exchange for the Offered Securities to be admitted to the Official List and to trading on its regulated market. No assurances can be given that, following the Closing Date, the listing of the Offered Securities on the Irish Stock Exchange will be obtained or, if obtained, maintained for the entire period that the Offered Securities are outstanding. There is currently no market for the Notes of any Class and there can be no assurance that such a market will develop. See "Risk FactorsRelating to the Offered SecuritiesThe Offered Securities Will Have Limited Liquidity; The Offered Securities Are Subject to Substantial Transfer Restrictions." All Rule 144A Global Notes sold to persons who are Qualified Purchasers in reliance on Rule 144A under the Securities Act will be represented by global notes in fully registered form without interest coupons to be deposited with a custodian for and registered in the name of a nominee of The Depository Trust Company ("DTC"). All Regulation S Global Notes sold to non-U.S. persons in offshore transactions in reliance on Regulation S under the Securities Act will be represented by global notes in fully registered form without interest coupons to be deposited with a custodian for and registered in the name of a nominee of DTC for the accounts of Euroclear or Clearstream. All Class A-1a Notes and all Certificated Subordinated Notes will be represented by certificates issued in definitive, fully registered form without interest coupons. The Offered Securities and the Indenture will be governed by, and construed in accordance with, the law of the State of New York. See "Income Tax Considerations." See "ERISA Considerations." At any time during the Reinvestment Period, the Co-Issuers may issue and sell additional Notes of any one or more Classes (other than the Class A-1a Notes) and/or additional notes of one or more new classes and use the net proceeds to purchase additional Collateral Obligations or for other purposes permitted under the Indenture if the conditions for such additional issuance described under "Description of the Offered SecuritiesThe Indenture and the Secured NotesThe IndentureAdditional Issuance" are met.

Governing Law.......................................

Tax Matters............................................ ERISA .................................................... Additional Issuance ...............................

30

RISK FACTORS An investment in the Offered Securities involves certain risks. Prospective investors should carefully consider the following factors, in addition to the matters set forth elsewhere in this Offering Circular, prior to investing in the Offered Securities. Relating to the Offered Securities The Offered Securities Will Have Limited Liquidity; The Offered Securities Are Subject to Substantial Transfer Restrictions There is currently no market for any of the Offered Securities. Although the Initial Purchasers may from time to time make a market in certain classes of Offered Securities, the Initial Purchasers are under no obligation to do so and, following the commencement of any market-making, may discontinue the same at any time without prior notice. In the absence of any market-making activity by the Initial Purchasers it is unlikely that a secondary market for any of the Offered Securities will develop, and, even if the Initial Purchasers elect to engage in some degree of market-making activity, a secondary market may not develop. Therefore, there can be no assurance that any secondary market for any of the Notes will develop, or if a secondary market does develop, that it will provide the holders of the Notes with liquidity of investment or will continue for the life of the Notes. Consequently, a purchaser of Notes must be prepared to hold the Notes until their Stated Maturity. In addition, the Notes are subject to certain transfer restrictions and can only be transferred to certain transferees as described herein under "Transfer Restrictions." As described therein, the Issuer may, in the future, impose additional restrictions to comply with changes in applicable law. Such restrictions on the transfer of the Notes may further limit their liquidity. The Notes will not be registered under the Securities Act or any state securities laws, and the Co-Issuers have no plans, and are under no obligation, to register the Notes under the Securities Act. The Class A-1a Notes are also subject to additional transfer restrictions as described in "Transfer RestrictionsClass A-1a Notes." Neither of the Initial Purchasers Will Have Ongoing Responsibility for the Assets or the Actions of the Portfolio Manager or the Issuer In effecting the sale of any of the Offered Securities, the Initial Purchasers do not undertake any fiduciary duty to any purchaser or prospective purchaser of Notes unless otherwise expressly agreed in writing. Neither of the Initial Purchasers will have any obligation to monitor the performance of the Assets or the actions of the Portfolio Manager or the Issuer and will have no authority to advise the Portfolio Manager or the Issuer or to direct their actions, which will be solely the responsibility of the Portfolio Manager and/or the Issuer, as the case may be. If an Initial Purchaser acts as Hedge Counterparty, Synthetic Security Counterparty or Securities Lending Counterparty or owns Notes, it will have no responsibility to consider the interests of any holders of Notes in actions it takes in such capacities. While the Initial Purchasers may own Offered Securities at any time, they have no obligation to make any investment in any Offered Securities and may sell at any time any Offered Securities they do purchase. Deutsche Bank AG, acting through its New York Branch, will be the initial Hedge Counterparty. The Notes Are Limited Recourse Obligations; Investors Must Rely on Available Collections from the Collateral Obligations and Will Have No Other Source for Payment The Class A Notes, the Class B Notes and the Class C Notes are limited recourse obligations of the Co-Issuers and the Class D Notes and the Subordinated Notes are limited recourse obligations of the Issuer; therefore, the Notes are payable solely from the Collateral Obligations and all other Assets pledged by the Co-Issuers pursuant to the Indenture. None of the Trustee, the Portfolio Manager, the Initial Purchasers or any of their respective affiliates or the Co-Issuers' affiliates or any other person or entity will be obligated to make payments on the Notes. Consequently, holders of the Notes must rely 31

solely on distributions on the Assets for payments on the Notes. If distributions on such Assets are insufficient to make payments on the Notes, no other assets (in particular, no assets of the Portfolio Manager, the holders of the Notes, the Initial Purchasers, the Trustee, or any affiliates of any of the foregoing) will be available for payment of the deficiency and all obligations of the Co-Issuers and any claims against the Co-Issuers in respect of the Notes will be extinguished and will not revive. The Subordinated Notes are Unsecured Obligations of the Issuer The Subordinated Notes will not be secured by any of the Assets, and will not generally be entitled to exercise remedies under the Indenture and, while the Secured Notes are outstanding, the Trustee will have no obligation to act on behalf of the holders of Subordinated Notes. Distributions to holders of the Subordinated Notes will be made solely from distributions on the Assets after all other payments have been made pursuant to the Priority of Payments described herein. See "Summary of TermsPriority of Payments." There can be no assurance that the distributions on the Assets will be sufficient to make distributions to holders of the Subordinated Notes after making payments that rank senior to payments on the Subordinated Notes. The Issuer's ability to make distributions to the holders of the Subordinated Notes will be limited by the terms of the Indenture. If distributions on the Assets are insufficient to make distributions on the Subordinated Notes, no other assets will be available for any such distributions. A significant amount of the initial proceeds of the sale of the Subordinated Notes will be applied to pay expenses incurred by the Issuer in connection with the offering of the Notes. Subordinated Notes will be entitled to receive distributions solely to the extent funds are legally available. None of the Trustee, the Portfolio Manager, the Initial Purchasers, any of their respective affiliates or the Co-Issuers' affiliates or any other person or entity will be obligated to make payments on the Subordinated Notes. See "Description of the Offered SecuritiesThe Subordinated Notes." The Subordination 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 Subordinated Notes Will Affect Their Right to Payment The Class A-1 Notes are subordinated to certain amounts payable by the Issuer to other parties as set forth in the Priority of Payments (including the Financed Amount, taxes, Administrative Expenses, Senior Collateral Management Fees and certain payments under the Hedge Agreements); the Class A-2 Notes are subordinated on each Payment Date to the Class A-1 Notes; the Class B Notes are subordinated on each Payment Date to the Class A-2 Notes; the Class C Notes are subordinated on each Payment Date to the Class B Notes; the Class D Notes are subordinated on each Payment Date to the Class C Notes; and the Subordinated Notes are subordinated on each Payment Date to the Class D Notes and certain additional fees and expenses (including, but not limited to, the diversion of Interest Proceeds to purchase additional Collateral Obligations if the Overcollateralization Ratio relating to the Class D Notes is less than 104.95%, unpaid Administrative Expenses and certain Collateral Management Fees), in each case to the extent described herein. Notwithstanding the foregoing sentence, for so long as certain tests with respect to the Issuers collateral portfolio are met, distributions of Principal Proceeds will be made on the Secured Notes on a pro rata basis. See Summary of Terms Priority of Payments Application of Principal Proceeds" and "Pro Rata Payment Sequence". No payments of interest or distributions from Interest Proceeds will be made on any such Class of Notes on any Payment Date until interest on the Notes of each Class to which it is subordinated has been paid, and no payments of principal (other than Deferred Interest with respect to the Class B Notes, the Class C Notes or the Class D Notes, as applicable, to the extent set forth in the Priority of Payments) or distributions from Principal Proceeds will be made on any such Class of Offered Securities on any Payment Date until principal on the Notes of each Class to which it is subordinated has been paid in full. Therefore, to the extent that any losses are suffered by any of the holders of any Offered Securities, such losses will be borne in the first instance by holders of the Subordinated Notes, then by the holders of the Class D Notes, then by the holders of the Class C Notes, then by the holders of the Class B Notes, then by the holders of the Class A-2 Notes and last by the holders of the Class A-1 Notes. Furthermore, payments on the Class B Notes, the Class C Notes and the Class D Notes are subject to diversion to pay more senior Classes of Notes pursuant to the Priority of Payments if certain Coverage Tests are not met, as described herein, and failure to make such payments will not be a default under the Indenture. In addition, if an Event of Default occurs, the holders of the Controlling Class of Notes (which will be the most senior Class or Classes then 32

outstanding) will be entitled to determine the remedies to be exercised under the Indenture. See "Description of the Offered SecuritiesThe Indenture and the Secured NotesThe IndentureEvents of Default." Remedies pursued by the Controlling Class could be adverse to the interests of the holders of the Offered Securities that are subordinated to the Notes held by the Controlling Class, and the Controlling Class will have no obligation to consider any possible adverse effect on such other interests. Furthermore, the Collateral Obligations may be sold and liquidated only if, among other things, (i) the Trustee determines that the anticipated proceeds of such sale or liquidation (after deducting the reasonable expenses of such sale or liquidation) would be sufficient to discharge in full the amounts then due and unpaid with respect to all the Secured Notes and the holders of a majority of the aggregate outstanding principal amount of the Controlling Class agree with such determination or (ii) the holders of at least 66% of the aggregate outstanding principal amount of each Class of the Secured Notes (for which purpose, Classes that rank pari passu will constitute a single Class) direct, subject to the provisions of the Indenture, such sale and liquidation. The Subordinated Notes are Highly Leveraged, which Increases Risks to Investors in That Class The Subordinated Notes represent a highly leveraged investment in the Assets. Therefore, the market value of the Subordinated Notes would be anticipated to be significantly affected by, among other things, changes in the market value of the Assets, changes in the distributions on the Assets, defaults and recoveries on the Assets, gains and losses on the Assets, prepayments on Assets and the availability, prices and interest rates of Assets and other risks associated with the Assets as described in "Relating to the Collateral ObligationsBelow Investment-Grade Assets Involve Particular Risks" below. Accordingly, the Subordinated Notes may not be paid in full and may be subject to up to 100% loss. Furthermore, the leveraged nature of each subordinated class of Offered Securities may magnify the adverse impact on each such class of changes in the market value of the Assets, changes in the distributions on the Assets, defaults and recoveries on the Assets, gains and losses on the Assets, prepayments on Assets and availability, prices and interest rates of Assets. Holders of the Class A-1a Notes Have Ongoing Obligations Under Certain Circumstances Holders of the Class A-1a Notes will be obligated, subject to compliance by the Issuer with certain borrowing conditions, to advance funds to the Issuer during the Draw Period so long as the aggregate principal amount of advances under the Class A-1a Notes at any one time outstanding does not exceed the aggregate amount of Commitments to make advances under the Class A-1a Notes. A Failure by the Holders of the Class A-1a Notes to Comply With Ongoing Obligations May Adversely Affect the Issuer In order for the holders of the Class A-1a Notes to fund Borrowings thereunder, the Issuer is required to meet certain conditions described under "Description of the Offered SecuritiesThe Indenture and the Secured NotesClass A-1a Note Borrowings." If a holder of a Class A-1a Note should fail to advance funds to the Issuer as required under the Note Purchase Agreement, the Issuer may be forced to obtain substitute sources of liquidity by finding a replacement holder of the Class A-1a Notes satisfying the Class A-1a Purchaser Rating Criteria or selling Collateral Obligations (to the extent permitted by the Indenture) to meet the Issuer's obligations to fund Delayed Drawdown Collateral Obligations, Revolving Collateral Obligations, Unfunded Synthetic Exposure and/or previously incurred commitments on transactions for which trades have been entered into but not yet settled. Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations may constitute up to 40% of the Collateral Principal Amount and the Issuer and the Portfolio Manager will generally have no ability to control the timing of funding requests thereunder. Forced sales of Collateral Obligations by the Issuer caused by a failure to advance funds under the Note Purchase Agreement may be at disadvantageous prices to the Issuer. In addition, if the Issuer is unable to obtain substitute sources of liquidity, the Issuer may default on its obligations to fund Delayed Drawdown Collateral Obligations, Revolving Collateral Obligations and/or previously incurred commitments on transactions for which trades have been entered into but not yet settled. In addition, without limitation to the foregoing, the Issuer may be required to seek an advance of 33

funds under the Note Purchase Agreement on short notice, which may increase the chance that a holder of a Class A-1a Note fails to advance funds in a timely manner. The Assets May Be Insufficient to Redeem the Offered Securities in an Event of Default It is anticipated that the proceeds received by the Issuer on the Closing Date from the issuance of the Offered Securities, net of the Financed Amount and certain fees and expenses, will be less than the aggregate amount of Notes. Consequently, it is anticipated that on the Closing Date the Assets would be insufficient to redeem the Secured Notes and Subordinated Notes in the event of an Event of Default under the Indenture. The Secured Notes May Be Subject to the Requirements of Regulation U Because the Collateral Obligations may include Margin Loans, certain purchasers of the Secured Notes may be subject to certain requirements under Regulation U. Regulation U of the Federal Reserve Board ("Regulation U") governs certain extensions of credit by persons other than securities brokerdealers that are secured directly or indirectly by Margin Stock (such persons, "Regulation U Lenders"). Under current interpretations of Regulation U by the FRB and its staff, the purchase of a debt security such as the Secured Notes in a private placement may constitute such an extension of credit. Among other things, Regulation U generally imposes certain limits on the amount of credit that Regulation U Lenders may extend which is used to purchase or carry Margin Stock ("Purpose Credit"). The provisions of the Indenture are intended to ensure that any credit extended by purchasers of the Secured Notes is not Purpose Credit. Regulation U Lenders generally are not subject to the Regulation U credit limits with respect to extensions of credit that are not Purpose Credit. Regulation U also generally requires Regulation U Lenders (other than persons that are banks within the meaning of Regulation U) who are not otherwise exempted from the registration requirements to register with the FRB. Under an interpretation of Regulation U by the FRB staff, qualified institutional buyers purchasing debt securities in a transaction in compliance with Rule 144A should not be required to register with the FRB where the proceeds of the securities are not used in a manner that would constitute Purpose Credit. Non-U.S. persons purchasing Secured Notes in reliance on Regulation S who do not have their principal place of business in a Federal Reserve District of the Federal Reserve System are also not required to register with the FRB. However, other purchasers of Secured Notes, including investors (if any) purchasing Offered Securities in reliance on an exemption from registration under the Securities Act other than Rule 144A, should consider (i) whether they are required to register with the FRB in connection with such purchase and (ii) on an ongoing basis, whether they are required to register with the FRB as a result of changes to the composition of the Collateral Obligations after such purchase. In addition, purchasers of Secured Notes subject to the registration requirements of Regulation U, as well as any purchasers of the Secured Notes that are banks within the meaning of Regulation U, may also be subject to certain additional requirements under Regulation U. If the registration or other requirements of Regulation U are applicable to a purchaser of Offered Securities and such purchaser does not comply with such requirements, such failure may affect the enforceability of such purchaser's Offered Securities. See "Security for the Secured NotesMargin Loans." Purchasers of the Offered Securities should consult their own legal advisers as to Regulation U and its applicability to them. The Indenture Requires Mandatory Redemption of the Secured Notes for Failure to Satisfy Coverage Tests If the Coverage Tests with respect to any Class or Classes of Secured Notes are not met, Interest Proceeds that otherwise would have been paid or distributed to the holders of the Offered Securities of each Class (other than Class A Notes) that is subordinated to such Class or Classes and (during the Reinvestment Period) Principal Proceeds that would otherwise have been reinvested in Collateral Obligations will instead be used to redeem the Secured Notes of the most senior Class or Classes then outstanding to the extent necessary to satisfy the applicable Coverage Tests as described under "Summary of TermsPriority of Payments." This could result in an elimination, deferral or reduction in the payments of Interest Proceeds to the holders of the Class B Notes, the Class C Notes, the Class D Notes and/or the Subordinated Notes, as the case may be. It could result in an increase in the average 34

weighted interest rate payable by the Issuer on the Secured Notes, which would adversely affect the Issuer. The Indenture Requires Mandatory Redemption of the Secured Notes Upon Rating Confirmation Failure After the Ramp-Up Period, a redemption of the Secured Notes may result from a failure to obtain from each Rating Agency its written confirmation of its initial ratings of the Secured Notes. See "Description of the Offered SecuritiesThe Indenture and the Secured NotesSpecial Redemption." In the event of an early redemption, the holders of the Secured Notes will be repaid prior to the respective Stated Maturity dates of such Secured Notes. Interest Proceeds or Principal Proceeds diverted for this purpose would not be available to make distributions in respect of the Subordinated Notes. In addition, a Special Redemption of Secured Notes could require the Portfolio Manager to liquidate positions more rapidly than would otherwise be desirable, which could adversely affect the realized value of the Collateral Obligations sold. The Notes Are Subject to Optional Redemption The holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes may cause the Secured Notes and the Subordinated Notes to be redeemed as described under "Description of the Offered SecuritiesThe Indenture and the Secured NotesOptional Redemption" and "Description of the Offered SecuritiesThe Subordinated NotesOptional Redemption" on any Payment Date after the expiration of the Non-Call Period. In the event of an early redemption, the holders of the Secured Notes and the Subordinated Notes will be repaid prior to the respective Stated Maturity dates of such Notes. There can be no assurance that, upon any such redemption, the Sale Proceeds realized and other available funds would permit any distribution on the Subordinated Notes after all required payments are made to the holders of the Secured Notes. In addition, an Optional Redemption of Notes could require the Portfolio Manager to liquidate positions more rapidly than would otherwise be desirable, which could adversely affect the realized value of the Collateral Obligations sold. The Secured Notes Are Subject to Refinancing Any Class or Classes of Secured Notes may be redeemed in whole, but not in part, on any Payment Date after the Non-Call Period from Refinancing Proceeds if the Portfolio Manager, acting on behalf of the Applicable Issuer(s), proposes to redeem such Secured Notes by obtaining a loan or issuing a replacement class of notes, the terms of which loan or issuance will be negotiated by the Portfolio Manager, on behalf of the Applicable Issuer(s), from one or more financial institutions or purchasers (which may include the Portfolio Manager or its affiliates) selected by the Portfolio Manager. In the event of a Refinancing, the holders of such Class of Secured Notes will be repaid prior to the respective Stated Maturity of such Secured Notes. There is no assurance that the holders of any Class of Secured Notes refinanced will be able to invest the proceeds thereof in comparable securities earning a comparable rate of return. The Notes Are Subject to Clean-Up Call Redemption At the direction of the Portfolio Manager in accordance with the Indenture and the Portfolio Management Agreement, the Notes will be subject to redemption, in whole but not in part, on any Payment Date occurring on or after the Payment Date on which the aggregate principal balance of the Collateral Obligations and Eligible Investments is reduced to 15% of the Target Initial Par Amount or less. Any such redemption of Subordinated Notes will be made from any remaining proceeds after the payment of all required amounts described in this Offering Circular. The timing of a Clean-Up Call Redemption could impact the return to the holders of the Subordinated Notes.

35

The Reinvestment Period May Terminate Earlier Than Expected Although the Reinvestment Period is expected to terminate on the end of the Collection Period preceding the Payment Date occurring in March 2013, the Reinvestment Period may terminate prior to such date if the Portfolio Manager notifies the Issuer, the Rating Agencies and the Trustee that it can no longer make investments in additional Collateral Obligations in accordance with the Indenture or the Portfolio Management Agreement. Such early termination of the Reinvestment Period may shorten the expected lives of the Notes. The Offered Securities May Be Affected by Interest Rate Risks and Currency Exchange Risks, Including Mismatches Between the Notes and the Collateral Obligations The Aggregate Outstanding Amount of the Secured Notes may be different than the aggregate principal balance of the floating rate Collateral Obligations. In addition, any payments of principal of or interest on Collateral Obligations received during a Collection Period occurring during the Reinvestment Period and not reinvested in Collateral Obligations during such Collection Period will be reinvested in Eligible Investments maturing not later than the Business Day immediately preceding the next Payment Date. There is no requirement that such Eligible Investments bear interest at a floating rate, and the interest rates available for such Eligible Investments are inherently uncertain. As a result of such mismatches, changes in the level of LIBOR or any other applicable floating rate index could adversely affect the ability of the Co-Issuers or the Issuer, as applicable, to make payments on the Notes. To the extent described herein, the Issuer may enter into Hedge Agreements to reduce the effect of any such interest rate mismatch. However, there can be no assurance that the Issuer will enter into such Hedge Agreements or that, if entered into, such Hedge Agreements will significantly reduce the effect of such interest rate mismatch. The Subordinated Notes will be subordinated to the payment of interest on the Secured Notes. There can be no assurance that the Collateral Obligations and the Eligible Investments will in all circumstances generate sufficient Interest Proceeds to make timely payments of interest on the Secured Notes and to make distributions to the holders of the Subordinated Notes, nor that the Hedge Agreements will ensure any particular return on such Offered Securities. Investments of the Issuer in securities or other debt instruments (including Synthetic Securities) of non-U.S. issuers may be denominated in currencies other than the U.S. Dollar, and the value of such investments in U.S. Dollars will fluctuate based on exchange rates. The Issuer may be adversely affected by exchange control regulations or changes in the exchange rate between foreign currencies and the U.S. Dollar. Changes in foreign currency exchange rates may also affect the value of interest earned, and the level of gains and losses realized on the sale of loans or other debt instruments. The rates of exchange between the U.S. Dollar and other currencies are affected by many factors, including forces of supply and demand in the foreign exchange markets. These rates are also affected by the international balance of payments and other economic and financial conditions, government intervention, speculation and other factors. To the extent described herein, the Issuer is expected to enter into one or more currency hedging transactions (or maintain one or more existing currency hedging transactions) in connection with the purchase of Non-USD Obligations to hedge a portion of the Issuer's exposures to foreign exchange risks from such Non-USD Obligations. However, there can be no assurance that such currency hedging transactions will significantly reduce the effect of such foreign exchange risks with respect to Non-USD Obligations. In certain circumstances where there are insufficient funds in the applicable subaccount of the Currency Account, amounts on deposit in the Collection Account otherwise available to make payments on the Notes may be required to be used to pay certain currency hedging termination payments and other amounts owing to Hedge Counterparties. A Hedge Counterparty may terminate the applicable Hedge Agreements if any withholding tax is imposed on payments thereunder by such Hedge Counterparty, and any amounts that would be required to be paid by the Issuer to enter into replacement Hedge Agreements will reduce amounts available for payments to holders of Notes. A Hedge Counterparty may also terminate the applicable Hedge Agreements upon the occurrence of certain events of default or termination events thereunder with respect to the Issuer (including, but not limited to, bankruptcy, a change in law making the performance of the obligations under such Hedge Agreement unlawful, or the determination to sell or liquidate the Assets 36

upon the occurrence of an Event of Default under the Indenture), and in the case of such early termination of any Hedge Agreement, the Issuer may be required to make a payment to the related Hedge Counterparty. Any amounts that would be required to be paid by the Issuer to enter into replacement Hedge Agreements will reduce amounts available for payments to holders of Notes. In either case, there can be no assurance that the remaining payments on the Assets would be sufficient to make payments of interest and principal on the Secured Notes and distributions with respect to the Subordinated Notes. The Weighted Average Lives of the Notes May Vary The Stated Maturity of the Notes is March 14, 2022. The average life of each Class of Notes is expected to be shorter than the number of years until its respective Stated Maturity date. Each such average life may vary due to various factors affecting the early retirement of Collateral Obligations, the timing and amount of sales of such Collateral Obligations, the ability of the Portfolio Manager to invest collections and proceeds in additional Collateral Obligations, and the occurrence of any Mandatory Redemption, Optional Redemption or Special Redemption. Retirement of the Collateral Obligations prior to their respective final maturities will depend, among other things, on the financial condition of the issuers of the underlying Collateral Obligations and the respective characteristics of such Collateral Obligations, including the existence and frequency of exercise of any optional redemption, mandatory redemption or sinking fund features, the prevailing level of interest rates, the redemption prices, the actual default rates and the actual amount collected on any Defaulted Obligations and the frequency of tender or exchange offers for such Collateral Obligations. In particular, loans are generally prepayable at par, and a high proportion of loans could be prepaid. The ability of the Issuer to reinvest proceeds in securities with comparable interest rates that satisfy the reinvestment criteria specified herein may affect the timing and amount of payments received by the holders of Notes and the yield to maturity of the Notes. See "Security for the Secured NotesSales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria." Changes in Tax Law Could Result in the Imposition of Withholding Taxes with Respect to Payments on the Offered Securities and Interest and Other Payments on the Collateral Obligations, and Issuer Will Not Gross-Up Payments to Holders of Offered Securities The Issuer expects to conduct its affairs so that its net income will not be subject to United States federal income tax. There can be no assurance, however, that its net income will not become subject to United States federal income tax as the result of activities by the Issuer, changes in law, contrary conclusions by United States tax authorities or other causes. Payments on the Collateral Obligations (other than commitment fees) are required not to be subject to withholding tax when the Collateral Obligations are acquired by the Issuer unless the obligor thereof is required to make "gross-up" payments that cover the full amount of such withholding tax on an after-tax basis. In the case of debt obligations issued by U.S. obligors after July 18, 1984, interest payments thereon are generally exempt under current United States tax law from the imposition of United States federal income withholding tax. See "Income Tax ConsiderationsUnited States Federal Income TaxationTax Treatment of the IssuerUnited States Withholding Taxes." With respect to Collateral Obligations that are not subject to withholding tax at the time of acquisition by the Issuer, however, there can be no assurance that the payments on such Collateral Obligations will not become subject to U.S. or other withholding tax as a result of a change in any applicable law, treaty, rule or regulation or interpretation thereof or other causes, possibly with retroactive effect. If any withholding tax is or becomes applicable to payments on the Collateral Obligations and such tax is not fully offset by "gross-up" payments, such withholding tax will reduce the amounts available to make payments on the Offered Securities. There can be no assurance that the remaining payments on the Collateral Obligations would be sufficient to make payments on the Offered Securities. Withholding tax is not currently imposed by the Cayman Islands on payments of interest or principal on the Secured Notes or distributions on the Subordinated Notes. There can be no assurance, 37

however, that the law will not change. In the event that any withholding tax is imposed on payments of interest or principal on any of the Secured Notes or distributions on the Subordinated Notes, the holders of the Offered Securities, other than holders of the Class A-1a Notes with respect to an Indemnifiable Tax, will not be entitled to receive grossed-up amounts to compensate for such withholding tax. Each of the Issuer and the Co-Issuer is Recently Formed, Has No Significant Operating History, Has No Assets Other Than the Collateral and is Limited in its Permitted Activities Each of the Issuer and the Co-Issuer is a recently organized entity and has no prior operating history or track record other than the Issuers acquisition of certain collateral obligations prior to the Closing Date. Accordingly, neither the Issuer nor the Co-Issuer has a performance history for a prospective investor to consider in making its decision to invest in the Offered Securities. The Offered Securities Are Not Guaranteed by the Co-Issuers, the Initial Purchasers, the Portfolio Manager, any Hedge Counterparty or the Trustee None of the Co-Issuers, the Initial Purchasers, the Portfolio Manager, any Hedge Counterparty or the Trustee or any affiliate thereof makes any assurance, guarantee or representation whatsoever as to the expected or projected success, profitability, return, performance result, effect, consequence or benefit (including legal, regulatory, tax, financial, accounting or otherwise) to investors of ownership of the Offered Securities and no purchaser may rely on any such party for a determination of expected or projected success, profitability, return, performance result, effect, consequence or benefit (including legal, regulatory, tax, financial, accounting or otherwise) to such purchaser of ownership of the Offered Securities. Each purchaser of any Class of the Secured Notes, by its acceptance thereof, will be deemed, and each purchaser of the Subordinated Notes, by its acceptance thereof, will be required, to represent to the Issuer and the Initial Purchasers, as applicable, among other things, that such purchaser has consulted with its own legal, regulatory, tax, business, investment, financial, and accounting advisors regarding investment in the Offered Securities as such purchaser has deemed necessary and that the investment by such purchaser is within its powers and authority, is permissible under applicable laws governing such purchase, has been duly authorized by it and complies with applicable securities laws and other laws. Nothing contained herein may in any way be construed as either accounting or regulatory advice. Non-Compliance with Restrictions on Ownership of the Offered Securities and the United States Investment Company Act of 1940 Could Adversely Affect the Issuer Neither the Issuer nor the Co-Issuer has registered with the United States Securities and Exchange Commission ("SEC") as an investment company pursuant to the Investment Company Act, in reliance on an exception under Section 3(c)(7) of the Investment Company Act for investment companies (a) whose outstanding securities are beneficially owned only by "qualified purchasers" and "knowledgeable employees" and certain transferees thereof identified in Rules 3c-5 and 3c-6 under the Investment Company Act and (b) which do not make a public offering of their securities in the United States. If the SEC or a court of competent jurisdiction were to find that the Issuer 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 and the Co-Issuer could sue the Issuer and the Co-Issuer and recover any damages caused by the violation; and (iii) any contract to which the Issuer and/or the Co-Issuer is party that is made in violation of the Investment Company Act or whose performance involves such violation 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. In addition, such a finding would constitute an Event of Default under the Indenture. Should the Issuer or the Co-Issuer be subjected to any or all of the foregoing, the Issuer and the Co-Issuer would be materially and adversely affected. 38

Book-Entry Holders Are Not Considered Holders Under the Indenture Holders of beneficial interests in any Offered Securities held in global form will not be considered holders of such Offered Securities under the Indenture. After payment of any interest, principal or other amount to DTC, neither the Issuer nor the Co-Issuer will have any responsibility or liability for the payment of such amount by DTC or to any holder of a beneficial interest in an Offered Security. DTC or its nominee will be the sole holder for any Offered Securities held in global form, and therefore each person owning a beneficial interest in an Offered Security held in global form must rely on the procedures of DTC (and if such person is not a participant in DTC on the procedures of the participant through which such person holds such interest) with respect to the exercise of any rights of a holder of an Offered Security under the Indenture. Relating to the Portfolio Manager Performance History of the Principals and Affiliates of the Portfolio Manager May Not Be Indicative of Future Results The past performance of the principals and affiliates of the Portfolio Manager in other portfolios or investment vehicles, including, without limitation, Oak Hill CLO I, Oak Hill CLO II, Oak Hill CLO III and Oak Hill CLO IV may not be indicative of the results that the Portfolio Manager may be able to achieve with the Collateral Obligations. Similarly, the past performance of the principals or affiliates of the Portfolio Manager over a particular period may not necessarily be indicative of the results that may be expected in future periods. Furthermore, the nature of, and risks associated with, the Issuer's investments may differ substantially from those investments and strategies undertaken historically by the principals and affiliates of the Portfolio Manager. There can be no assurance that the Issuer's investments will perform as well as past investments of the principals or such affiliates, that the Issuer will be able to avoid losses or that the Issuer will be able to make investments similar to the past investments of the principals or any other person described herein. In addition, such past investments may have been made utilizing a leveraged capital structure, an asset mix and fee arrangements that are different from the anticipated capital structure, asset mix and fee arrangements of the Issuer. Moreover, because the investment criteria that govern investments in the Issuer's portfolio do not govern the principals' investments and investment strategies generally, such investments conducted in accordance with such criteria, and the results they yield, are not directly comparable with, and may differ substantially from other investments undertaken by the principals and affiliates of the Portfolio Manager. The Incentive Collateral Management Fee I and Incentive Collateral Management Fee II May Create Different Incentives for the Portfolio Manager The existence of the Incentive Collateral Management Fee I and Incentive Collateral Management Fee II payable to the Portfolio Manager may create an incentive for the Portfolio Manager to approve or cause the Issuer to make investments in more speculative Collateral Obligations than it would otherwise make in the absence of such performance-based compensation. The Issuer Will Depend on the Managerial Expertise Available to the Portfolio Manager and its Key Personnel The performance of the Issuer's portfolio depends heavily on the skills of the Portfolio Manager in analyzing, selecting and managing the Collateral Obligations. As a result, the Co-Issuers will be highly dependent on the financial and managerial experience of certain investment professionals associated with the Portfolio Manager, none of whom is under any contractual obligation to the Issuer to continue to be associated with the Portfolio Manager for the term of this transaction. The loss of one or more of these individuals could have a material adverse effect on the performance of the Co-Issuers. Furthermore, the Portfolio Manager has informed the Issuer that these investment professionals are also actively involved in other investment activities and will not be able to devote all of their time to the Issuer's business and affairs. In addition, individuals not currently associated with the Portfolio Manager may become associated with the Portfolio Manager and the performance of the Collateral Obligations may 39

also depend on the financial and managerial experience of such individuals. Moreover, the Portfolio Management Agreement may be terminated under certain circumstances, including, without limitation, the discontinuance of active involvement in the affairs of the Portfolio Manager by certain named key personnel. If a Key Manager Event occurs, then by vote of holders of not less than 66% of the outstanding principal amount of the Subordinated Notes, such holders may refuse to accept replacement key personnel proposed by the Portfolio Manager (and they will be under no obligation to take into consideration the interests of holders of the Secured Notes in making such refusal), which could result in the replacement of the Portfolio Manager. See "The Portfolio Management Agreement" and "The Portfolio Manager." Relating to the Collateral Obligations Below Investment-Grade Assets Involve Particular Risks The Assets will consist primarily of non-investment grade loans or interests in non-investment grade loans and high-yield debt securities, which are subject to liquidity, market value, credit, interest rate, reinvestment and certain other risks. It is anticipated that the Assets generally will be subject to greater risks than investment grade corporate obligations. These risks could be exacerbated to the extent that the portfolio is concentrated in one or more particular types of Collateral Obligations. Prices of the Assets may be volatile, and will generally fluctuate due to a variety of factors that are inherently difficult to predict, including but not limited to changes in interest rates, prevailing credit spreads, general economic conditions, financial market conditions, domestic and international economic or political events, developments or trends in any particular industry, and the financial condition of the obligors of the Assets. Additionally, loans and interests in loans have significant liquidity and market value risks since they are not generally traded in organized exchange markets but are traded by banks and other institutional investors engaged in loan syndications. Because loans are privately syndicated and loan agreements are privately negotiated and customized, loans are not purchased or sold as easily as publicly traded securities. In addition, historically the trading volume in the loan market has been small relative to the high-yield debt securities market. The market for high-yield debt securities, in particular, has experienced periods of volatility and reduced liquidity. High-yield debt securities are generally unsecured, may be subordinated to other obligations of the issuer and generally have greater credit, insolvency and liquidity risk than is typically associated with investment grade obligations. Depending upon market conditions, there may be a very limited market for high-yield debt securities. High-yield debt securities are often issued in connection with leveraged acquisitions or recapitalizations in which the issuers incur a substantially higher amount of indebtedness than the level at which they had previously operated. The lower rating of high-yield debt securities reflects a greater possibility that adverse changes in the financial condition of the obligor or general economic conditions (including, for example, a substantial period of rising interest rates or declining earnings or disruptions in the financial markets) or both may impair the ability of the obligor to make payments of principal and interest. High-yield debt securities and leveraged loans have historically experienced greater default rates than has been the case for investment grade securities. There can be no assurance as to the levels of defaults and/or recoveries that may be experienced on the Collateral Obligations securing the Secured Notes. Collateral Obligations included in the Assets may include Discount Obligations and DIP Collateral Obligations. Such Collateral Obligations may be subject to a higher risk of becoming Defaulted Obligations than other Collateral Obligations. The ultimate amount of defaults and timing of the recoveries may substantially diminish the expected returns to the Subordinated Notes and the most subordinated classes of Secured Notes. A non-investment grade loan or debt obligation or an interest in a non-investment grade loan is generally considered speculative in nature and may become a Defaulted Obligation for a variety of reasons. Upon any Collateral Obligation becoming a Defaulted Obligation, such Defaulted Obligation may become subject to either substantial workout negotiations or restructuring, which may entail, among 40

other things, a substantial reduction in the interest rate, a substantial write-down of principal, and a substantial change in the terms, conditions and covenants with respect to such Defaulted Obligation. In addition, such negotiations or restructuring may be quite extensive and protracted over time, and therefore may result in substantial uncertainty with respect to the ultimate recovery on such Defaulted Obligation. Further, any such negotiations and restructurings typically result in significant additional expense from professional fees and expenses. The liquidity for Defaulted Obligations may be limited, and to the extent that Defaulted Obligations are sold, it is highly unlikely that the proceeds from such sale will be equal to the amount of unpaid principal and interest thereon. Furthermore, there can be no assurance that the ultimate recovery on any Defaulted Obligation will be at least equal to either the minimum recovery rate assumed by either Rating Agency in rating the Secured Notes or any recovery rate used in connection with any analysis of the Offered Securities that may have been prepared by the Initial Purchasers for or at the direction of holders of any Offered Securities. There is Limited Disclosure About the Collateral Obligations in this Offering Circular A substantial portion of the initial portfolio of Collateral Obligations to be acquired before the end of the Ramp-Up Period has been identified by the Portfolio Manager. Investors that regard the identity of the portfolio in whole or in part necessary or desirable for their investment decision need to consider the availability of that information other than through this Offering Circular. The Issuer and the Portfolio Manager will not be required to provide the holders of the Offered Securities or the Trustee with financial or other information (which may include material non-public information) it receives pursuant to the Collateral Obligations and related documents. The Portfolio Manager also will not disclose to any of these parties the contents of any notice it receives pursuant to the Collateral Obligations or related documents. In particular, the Portfolio Manager will not have any obligation to keep any of these parties informed as to matters arising in relation to any Collateral Obligations, except with respect to: (i) the receipt or non-receipt, on an aggregate basis, of principal, interest, or other amounts of collections or recoveries; (ii) the cancellation of any Collateral Obligations; (iii) default amounts in respect of the Collateral Obligations; and (iv) certain other information required to be reported under the Portfolio Management Agreement and the Indenture. The holders of the Offered Securities and the Trustee will not have any right to inspect any records relating to the Collateral Obligations, and the Portfolio Manager will not be obligated to disclose any further information or evidence regarding the existence or terms of, or the identity of any obligor on, any Collateral Obligations, unless specifically required by the Portfolio Management Agreement. Furthermore, the Portfolio Manager and the Trustee may demand that any persons requesting that information execute confidentiality agreements before being provided with the information. Lender Liability Considerations and Equitable Subordination Can Affect the Issuer's Rights with Respect to Collateral Obligations A number of judicial decisions have upheld judgments of borrowers against lending institutions on the basis of various evolving legal theories, collectively termed "lender liability." Generally, lender liability is founded on the premise that a lender has violated a duty (whether implied or contractual) of good faith, commercial reasonableness and fair dealing, or a similar duty owed to the borrower or has assumed an excessive degree of control over the borrower resulting in the creation of a fiduciary duty owed to the borrower or its other creditors or shareholders. Because of the nature of the Assets, the Issuer may be subject to allegations of lender liability. In addition, under common law principles that in some cases form the basis for lender liability claims, if a lender or bondholder (a) intentionally takes an action that results in the undercapitalization of a borrower to the detriment of other creditors of such borrower, (b) engages in other inequitable conduct to the detriment of such other creditors, (c) engages in fraud with respect to, or makes misrepresentations to, such other creditors or (d) uses its influence as a stockholder to dominate or control a borrower to the detriment of other creditors of such borrower, a court may elect to subordinate the claim of the offending lender or bondholder to the claims of the disadvantaged creditor or creditors, a remedy called "equitable 41

subordination." Because of the nature of the Assets, the Assets may be subject to claims of equitable subordination. Because affiliates of, or persons related to, the Portfolio Manager may hold equity or other interests in obligors of Collateral Obligations, the Issuer could be exposed to claims for equitable subordination or lender liability or both based on such equity or other holdings. The preceding discussion is based upon principles of United States federal and state laws. Insofar as Collateral Obligations that are obligations of non-United States obligors are concerned, the laws of certain foreign jurisdictions may impose liability upon lenders or bondholders under factual circumstances similar to those described above, with consequences that may or may not be analogous to those described above under United States federal and state laws. Loan Prepayments May Affect the Ability of the Issuer to Invest and Reinvest Available Funds in Appropriate Assets Loans are generally prepayable in whole or in part at any time at the option of the obligor thereof at par plus accrued unpaid interest thereon. Prepayments on loans may be caused by a variety of factors (including market conditions favoring refinancings at lower rates) which are often difficult to predict. Consequently, there exists a risk that loans purchased at a price greater than par may experience a loss as a result of such a prepayment. In addition, principal proceeds received upon such a prepayment are subject to reinvestment risk during the Reinvestment Period. Any inability of the Issuer to reinvest payments or other proceeds in Assets with comparable interest rates that satisfy the Investment Criteria specified herein may adversely affect the timing and amount of payments received by the holders of Offered Securities and the yield to maturity of the Secured Notes and the distributions on the Subordinated Notes. There is no assurance that the Issuer will be able to reinvest proceeds in assets with comparable interest rates that satisfy the Investment Criteria or (if it is able to make such reinvestments) as to the length of any delays before such investments are made. If a high proportion of the Assets are prepaid in each year and the Issuer is unable to reinvest in additional collateral at the projected prices and rates of interest, the expected returns to the Subordinated Notes and the most subordinated classes of Secured Notes may be substantially diminished. The Issuer May Not Be Able to Acquire Collateral Obligations That Satisfy the Investment Criteria A portion of the initial Collateral Obligations is expected to be purchased after the Closing Date as described herein. The ability of the Issuer to acquire an initial portfolio of Collateral Obligations that satisfies the Investment Criteria at the projected prices, ratings, rates of interest and any other applicable characteristics will be subject to market conditions and availability of such Collateral Obligations. Any inability of the Issuer to acquire Collateral Obligations that satisfy the Investment Criteria specified herein may adversely affect the timing and amount of payments received by the holders of Offered Securities and the yield to maturity of the Secured Notes and the distributions on the Subordinated Notes. There is no assurance that the Issuer will be able to acquire Collateral Obligations that satisfy the Investment Criteria. In the event that all or a portion of the Collateral Obligations cannot be acquired either at the projected prices, rates of interest or timing of acquisition thereof, the expected cash flows to the Subordinated Notes and amounts available for reinvestment in additional portfolio assets will be impaired. Investing in Loans Involves Particular Risks The Issuer may acquire interests in loans either directly (by way of assignment from the selling institution) or indirectly (by purchasing a Participation Interest from the Selling Institution or through the acquisition of Synthetic Securities). As described in more detail below, holders of Participation Interests and Synthetic Securities are subject to additional risks not applicable to a holder of a direct interest in a loan.

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Participations by the Issuer in a Selling Institution's portion of a loan typically result in a contractual relationship only with such Selling Institution, not with the borrower. In the case of a Participation Interest, the Issuer will generally have the right to receive payments of principal, interest and any fees to which it is entitled only from the institution selling the participation and only upon receipt by such Selling Institution of such payments from the borrower. By holding a Participation Interest in a loan, the Issuer generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of set off against the borrower, and the Issuer may not directly benefit from the collateral supporting the loan in which it has purchased the participation. As a result, the Issuer will assume the credit risk of both the borrower and the institution selling the participation, which will remain the legal owner of record of the applicable loan. In the event of the insolvency of the Selling Institution, the Issuer, by owning a Participation Interest, may be treated as a general unsecured creditor of the Selling Institution, and may not benefit from any set off between the Selling Institution and the borrower. In addition, the Issuer may purchase a participation from a Selling Institution that does not itself retain any portion of the applicable loan and, therefore, may have limited interest in monitoring the terms of the loan agreement and the continuing creditworthiness of the borrower. When the Issuer holds a Participation Interest in a loan it will not have the right to vote under the applicable loan agreement with respect to every matter that arises thereunder, and it is expected that each Selling Institution will reserve the right to administer the loan sold by it as it sees fit and to amend the documentation evidencing such loan in all respects. Selling institutions voting in connection with such matters may have interests different from those of the Issuer and may fail to consider the interests of the Issuer in connection with their votes. Certain of the loans or Participation Interests may be governed by the law of a jurisdiction other than a United States jurisdiction. Risks of investing outside the United States may include: (i) less publicly available information; (ii) varying levels of governmental regulation and supervision; and (iii) the difficulty of enforcing legal rights in a foreign jurisdiction and uncertainties as to the status, interpretation and application of laws. Moreover, foreign companies may be subject to accounting, auditing and financial reporting standards, practices and requirements different from those applicable to U.S. companies. The economies of individual non U.S. countries may also differ from the U.S. economy in such respects as growth of gross domestic product, rate of inflation, volatility of currency exchange rates, capital reinvestment, resource self-sufficiency and balance of payments position. The Issuer is unable to provide any information with respect to the risks associated with purchasing a loan or a Participation Interest under an agreement governed by the laws of a jurisdiction other than a United States jurisdiction, including characterization under such laws of such Participation Interest or sub-Participation Interest in the event of the insolvency of the institution from whom the Issuer purchases such Participation Interest or sub-Participation Interest or the insolvency of the institution from whom the grantor of the subParticipation Interest purchased its Participation Interest. The purchaser of an assignment of an interest in a loan typically succeeds to all the rights and obligations of the assigning selling institution and becomes a lender under the loan agreement with respect to that loan. As a purchaser of an assignment, the Issuer generally will have the same voting rights as other lenders under the applicable loan agreement, including the right to vote to waive enforcement of breaches of covenants or to enforce compliance by the borrower with the terms of the loan agreement, and the right to set off claims against the borrower and to have recourse to collateral supporting the loan. Such votes may be subject to a majority or greater vote of lenders. Assignments are, however, arranged through private negotiations between assignees and assignors, and in certain cases the rights and obligations acquired by the purchaser of an assignment may differ from, and be more limited than, those held by the assigning selling institution. Assignments and participations are sold strictly without recourse to the selling institutions, and the selling institutions will generally make no representations or warranties about the underlying loans, the borrowers, the documentation of the loans or any collateral securing the loans. In addition, the Issuer will be bound by provisions of the underlying loan agreements, if any, that require the preservation of the confidentiality of information provided by the borrower. Because of certain factors including confidentiality provisions, the unique and customized nature of the loan agreement, and the private syndication of the loan, loans are not purchased or sold as easily as are publicly traded securities.

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Investing in Structured Finance Obligations Involves Particular Risks A portion of the Collateral Obligations may consist of Structured Finance Obligations. Structured Finance Obligations may present risks similar to those of the other types of Collateral Obligations in which the Issuer may invest and, in fact, the risks may be of greater significance in the case of Structured Finance Obligations. Moreover, investing in Structured Finance Obligations may entail a variety of unique risks. Among other risks, Structured Finance Obligations may be subject to prepayment risk, credit risk, liquidity risk, market risk, structural risk, legal risk and interest rate risk (which may be exacerbated if the interest rate payable on a Structured Finance Obligation changes based on multiples of changes in interest rates or inversely to changes in interest rates). In addition, certain Structured Finance Obligations (particularly subordinated collateralized bond obligations) may provide that non-payment of interest is not an event of default in certain circumstances and the holders of the securities will therefore not have available to them any associated default remedies. During the period of non-payment, unpaid interest will generally be capitalized and added to the outstanding principal balance of the related security. Furthermore, the performance of a Structured Finance Obligation will be affected by a variety of factors, including its priority in the capital structure of its issuer, the availability of any credit enhancement, the level and timing of payments and recoveries on and the characteristics of the underlying receivables, loans, or other assets that are being securitized, bankruptcy remoteness of those assets from the originator or transferor, the adequacy of and ability to realize on any related collateral, and the skill of the manager of the Structured Finance Obligation in managing securitized assets. The price of a Structured Finance Obligation, if required to be sold, may be subject to certain market and liquidity risks for securities of its type at the time of sale. In addition, Structured Finance Obligations may involve initial and ongoing expenses above the costs associated with the related direct investments. Investing in Synthetic Securities Involves Particular Risks A portion of the Assets may consist of Synthetic Securities the Reference Obligations of which may be leveraged loans, high-yield debt securities or similar securities. Investments in such types of assets through the purchase of Synthetic Securities present risks in addition to those resulting from direct purchases of such Collateral Obligations. With respect to each Synthetic Security, the Issuer will usually have a contractual relationship only with the counterparty of such Synthetic Security, and not the reference obligor on the Reference Obligation. The Issuer generally will have no right directly to enforce compliance by the reference obligor with the terms of the Reference Obligation nor any rights of set-off against the reference obligor, may be subject to set-off rights exercised by the reference obligor against the counterparty or another person or entity, and generally will not have any voting or other contractual rights of ownership with respect to the Reference Obligation. The Issuer will not directly benefit from any collateral supporting the Reference Obligation and will not have the benefit of the remedies that would normally be available to a holder of such Reference Obligation. In addition, in the event of the insolvency of the counterparty, the Issuer will be treated as a general creditor of such counterparty, and will not have any claim with respect to the Reference Obligation. Consequently, the Issuer will be subject to the credit risk of the counterparty as well as that of the reference obligor. As a result, concentrations of Synthetic Securities entered into with any one counterparty will subject the Offered Securities to an additional degree of risk with respect to defaults by such counterparty as well as by the reference obligor. One or more affiliates of the Initial Purchasers may act as counterparty with respect to all or a portion of the Synthetic Securities, which relationship may create certain conflicts of interest. See "Certain Conflicts of Interest." Moody's or S&P may downgrade any Class of Secured Notes then rated by it if a counterparty to a material portion of the Synthetic Securities held by the Issuer has been downgraded by Moody's or S&P, respectively, below the then-current rating of such Secured Notes. Before any Synthetic Security (other than a Form Approved Synthetic Security) may be included in the Assets, each Rating Agency must confirm prior to the date of such purchase that such Synthetic Security may be included as a Collateral Obligation without causing the reduction or withdrawal of its then-current rating, if any, of any Class of Secured Notes. Additionally, while the Issuer expects that the returns on a Synthetic Security will generally reflect those of the related Reference Obligation, as a result of the terms of the Synthetic Security and the assumption of the credit risk of the Synthetic Security Counterparty, a Synthetic Security may have a 44

different expected return, a different (and potentially greater) probability of default and expected loss characteristics following a default, and a different expected recovery following default. Additionally, when compared to the Reference Obligation, the terms of a Synthetic Security may provide for different maturities, payment dates, interest rates, interest rate references, credit exposures, or other credit or noncredit related characteristics. Upon maturity, default, acceleration or any other termination (including a put or call) other than pursuant to a credit event (as defined therein) of the Synthetic Security, the terms of the Synthetic Security may permit or require the issuer of such Synthetic Security to satisfy its obligations under the Synthetic Security by delivering to the Issuer securities other than the Reference Obligation or an amount different than the then current market value of the Reference Obligation. The Issuer Has the Right to Engage in Securities Lending, which Involves Counterparty Risks and Other Risks The Collateral Obligations may be loaned to banks, broker-dealers or other financial institutions that have, or are guaranteed by entities that have, the required ratings set forth under "Security for the Secured NotesSecurities Lending." Such loans will be required to be secured by cash or direct registered debt obligations of the United States that have a maturity of five years or less, in an amount equal to at least 102% of the market value of the loaned Collateral Obligations. However, in the event that a borrower of loaned Collateral Obligations defaults in its obligation to return such loaned Collateral Obligations, whether because of insolvency or otherwise, the Issuer could experience delays and costs in gaining access to the collateral posted by the borrower (and in extreme circumstances could be restricted from selling the collateral). Additionally, in such an event the holders of the Notes could suffer a loss to the extent the realized value of the cash or securities securing the obligation of the borrower to return the loaned Collateral Obligation (less expenses) is less than the amount required to purchase such Collateral Obligation in the open market. This shortfall could be due to, among other things, discrepancies between the mark-to-market and actual transaction prices for the loaned Collateral Obligations arising from limited liquidity or availability of the loaned Collateral Obligations, and in extreme circumstances, the loaned Collateral Obligations being unavailable at any price. One or both of the Rating Agencies may downgrade one or more Classes of the Secured Notes if a borrower of a Collateral Obligation, or, if applicable, the entity guaranteeing the performance of such borrower, has been downgraded by such Rating Agency such that the Issuer is no longer in compliance with the requirements relating to credit ratings of Securities Lending Counterparties. Generally, the Issuer will have no right to directly enforce compliance by the obligor of a loaned Collateral Obligation with the terms of such Collateral Obligation, will not have any voting or other contractual rights of ownership with respect to such Collateral Obligation and will not have the benefit of the remedies that would normally be available to a holder of such Collateral Obligation. One or more of the Initial Purchasers and/or one or more of their affiliates may borrow Collateral Obligations, which may create certain conflicts of interest. See "Relating to Certain Conflicts of Interest." Insolvency Considerations With Respect to Issuers of Collateral Obligations May Affect the Issuer's Rights Various laws enacted for the protection of creditors may apply to the Collateral Obligations. The information in this and the following paragraph is applicable with respect to U.S. issuers. Insolvency considerations will differ with respect to non-U.S. issuers. If a court in a lawsuit brought by an unpaid creditor or representative of creditors of an issuer of a Collateral Obligation, such as a trustee in bankruptcy, were to find that the issuer did not receive fair consideration or reasonably equivalent value for incurring the indebtedness constituting such Collateral Obligation and, after giving effect to such indebtedness, the issuer (i) was insolvent, (ii) was engaged in a business for which the remaining assets of such issuer constituted unreasonably small capital or (iii) intended to incur, or believed that it would incur, debts beyond its ability to pay such debts as they mature, such court could determine to invalidate, in whole or in part, such indebtedness as a fraudulent conveyance, to subordinate such indebtedness to existing or future creditors of the issuer or to recover amounts previously paid by the issuer in satisfaction of such indebtedness. The measure of insolvency for purposes of the foregoing will vary. Generally, an issuer would be considered insolvent at a particular time if the sum of its debts were then greater than all of its property at a fair valuation or if the present fair salable value of its assets were then less than the 45

amount that would be required to pay its probable liabilities on its existing debts as they became absolute and matured. There can be no assurance as to what standard a court would apply in order to determine whether the issuer was "insolvent" after giving effect to the incurrence of the indebtedness constituting the Collateral Obligations or that, regardless of the method of valuation, a court would not determine that the issuer was "insolvent" upon giving effect to such incurrence. In addition, in the event of the insolvency of an issuer of a Collateral Obligation, payments made on such Collateral Obligations could be subject to avoidance as a "preference" if made within a certain period of time (which may be as long as one year under Federal bankruptcy law or even longer under state laws) before insolvency. In general, if payments on Collateral Obligations are avoidable, whether as fraudulent conveyances or preferences, such payments can be recaptured either from the initial recipient (such as the Issuer) or from subsequent transferees of such payments (such as the holders of the Offered Securities). To the extent that any such payments are recaptured from the Issuer, the resulting loss will be borne by the holders of the Offered Securities in inverse order of seniority as described above under "The Subordination 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 Subordinated Notes Will Affect Their Right to Payment." However, a court in a bankruptcy or insolvency proceeding would be able to direct the recapture of any such payment from a holder of Offered Securities only to the extent that such court has jurisdiction over such holder or its assets. Moreover, it is likely that avoidable payments could not be recaptured directly from a holder that has given value in exchange for its Offered Security, in good faith and without knowledge that the payments were avoidable. Nevertheless, since there is no judicial precedent relating to a structured transaction such as the Offered Securities, there can be no assurance that a holder of Offered Securities will be able to avoid recapture on this or any other basis. The Issuer May Purchase Collateral Obligations Through One or More Subsidiaries Some of the Collateral Obligations may be held by Non-U.S. Obligation Subsidiaries and certain other assets of the Issuer may be held by an ETB Subsidiary or an 897 Subsidiary. The Issuer's ability to realize the economic benefits of its indirect ownership of these assets depends on the ability of the ETB/897/Non-U.S. Obligation Subsidiaries to make payments and other distributions to the Issuer. In the event that any ETB/897/Non-U.S. Obligation Subsidiary is unable for any reason to make such payments or other distributions to the Issuer, the Issuer may not be able to realize the full economic benefits of the assets held by such ETB/897/Non-U.S. Obligation Subsidiary. In addition, the Issuer will generally be responsible for the taxes and costs associated with ETB/897/Non-U.S. Obligation Subsidiaries. Relating to Certain Conflicts of Interest In General, the Transaction Will Involve Various Potential and Actual Conflicts of Interest Various potential and actual conflicts of interest may arise from the overall investment activity of the Portfolio Manager, its clients and its affiliates and the Initial Purchasers and their affiliates. The following briefly summarizes some of these conflicts, but is not intended to be an exhaustive list of all such conflicts. The Issuer Will Be Subject to Various Conflicts of Interest Involving the Portfolio Manager The Portfolio Manager, its partners, its clients and its affiliates may buy Offered Securities from which the Portfolio Manager or such clients or affiliates may derive revenues and profits in addition to the fees disclosed herein. The Portfolio Manager, its partners, its clients, its employees and its affiliates have invested and may continue to invest in debt obligations that would also be appropriate as Collateral Obligations. The investment policies, fee arrangements and other circumstances applicable to such other parties may vary from those applicable to the Issuer. iStar Financial, Inc. ("iStar") (or an affiliate of iStar), a minority limited partner of Oak Hill Advisors, L.P., may enter into a non-discretionary investment management agreement 46

with Oak Hill Advisors, L.P. pursuant to which iStar or such affiliate may be allocated certain investment opportunities using the same allocation procedures applicable to the other clients and funds managed by the Portfolio Manager and its affiliates. The Portfolio Manager, its partners, its clients, its employees and its affiliates may also have or establish relationships with companies whose debt obligations are Collateral Obligations and may now or in the future own or seek to acquire equity securities or debt obligations issued by issuers of Collateral Obligations, and such debt obligations may have interests different from or adverse to the securities that are Collateral Obligations. Subsidiaries of the Portfolio Manager serve as investment managers of Oak Hill Credit Partners I, Limited, a cash flow CLO established in October 2001 with a capitalization of $613.5 million ("Oak Hill CLO I"), Oak Hill Credit Partners II, Limited, a cash flow CLO established in February 2003 with a capitalization of $503.5 million ("Oak Hill CLO II"), Oak Hill Credit Partners III, Limited, a cash flow CLO established in December 2003 with a capitalization of $504.75 million ("Oak Hill CLO III") and Oak Hill Credit Partners IV, Limited, a cash flow CLO established in July 2005 with a capitalization of $658.3 million ("Oak Hill CLO IV"). The Portfolio Manager and/or affiliates of the Portfolio Manager also serve as investment managers of a number of other CDOs, pooled investment funds and separately managed accounts. In addition, the Portfolio Manager, its clients, its employees or its affiliates may serve as a general partner and/or manager of limited partnerships or other entities organized to issue notes or certificates, similar to the Offered Securities, which are secured by high-yield debt securities, loans and other investments, or may manage third party accounts which invest in high-yield debt securities, loans and other investments. The Portfolio Manager and/or its affiliates may often be seeking simultaneously to purchase or sell investments for the Issuer, such affiliates and similar entities or other investment accounts for which the Portfolio Manager or an affiliate serves as investment manager or for its clients or affiliates, and the Portfolio Manager will have the sole and absolute discretion to apportion such investments among such entities. The Portfolio Manager cannot assure equal treatment across its investment clients. It is possible that, due to differing investment objectives and other reasons, the Portfolio Manager may purchase a Collateral Obligation of a particular obligor for one client and sell a Collateral Obligation of such obligor for another client. The Portfolio Manager has no obligation to offer a particular investment opportunity to the Issuer. Research and other services obtained by the Portfolio Manager or produced by the Portfolio Manager for one client may be used to service other clients, including the Issuer. The Portfolio Manager may also provide financial services or other advisory services for a customary fee to issuers whose debt obligations or other securities are Collateral Obligations, and neither the holders of Offered Securities nor the Co-Issuers shall have any right to such fees. In connection with the foregoing activities the Portfolio Manager and its affiliates may from time to time come into possession of material nonpublic information that limits the ability of the Portfolio Manager to effect a transaction for the Issuer, and the Issuers investments may be constrained as a consequence of the Portfolio Managers inability to use such information for advisory purposes or otherwise to effect transactions that otherwise may have been initiated on behalf of its clients, including the Issuer. See "The Portfolio Manager." Affiliates of the Portfolio Manager may be Securities Lending Counterparties. See "Security for the Secured NotesSecurities Lending." The Portfolio Manager and its affiliates may from time to time incur expenses on behalf of the Issuer and its or their other clients or accounts. There can be no assurance that such expenses will in all cases be allocated ratably. The Portfolio Manager and its affiliates may have economic interests in or other relationships with issuers in whose obligations or securities the Issuer may invest. In particular, such persons may make and/or hold an investment in an issuers securities that may be pari passu, senior or junior in ranking to an investment in such issuers securities made and/or held by the Issuer or in which partners, security holders, officers, directors, agents or employees of such persons serve on boards of directors or otherwise have ongoing relationships. Each of such ownership and other relationships may result in securities laws restrictions on transactions in such securities by the Issuer and otherwise create conflicts of interest for the Issuer. In such instances, the Portfolio Manager and its affiliates may in their discretion make investment recommendations and decisions that may be the same as or different from those made with respect to the Issuers investments.

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On the Closing Date, one or more affiliates of the Portfolio Manager may purchase a portion of the Subordinated Notes. Such Subordinated Notes may be sold by such party or parties to related and unrelated parties at any time after the Closing Date. Subordinated Notes held by the Portfolio Manager and its affiliates will have no voting rights with respect to any vote in connection with the removal or replacement of the Portfolio Manager, the approval or rejection of any Proposed Replacement(s) following a Key Manager Event or the appointment of a successor portfolio manager and will be deemed not to be outstanding in connection with any such vote. However, Subordinated Notes held by the Portfolio Manager and its affiliates will have voting rights with respect to other matters as to which the holders of Subordinated Notes are entitled to vote. See "Description of the Offered SecuritiesThe Indenture and the Secured NotesOptional Redemption." The Portfolio Manager has informed the Issuer that the principals of the Portfolio Manager are responsible for advising Oak Hill CLO I, Oak Hill CLO II, Oak Hill CLO III, and Oak Hill CLO IV and certain other CDOs, pooled investment funds and separately managed accounts. They may also provide consulting advice to other Oak Hill entities that invest in other asset classes from time to time, In addition, the principals of the Portfolio Manager may in the future organize and manage one or more entities with objectives similar to or different from those of the Issuer. The Issuer Will Be Subject to Various Conflicts of Interest Involving the Initial Purchasers An affiliate of the Initial Purchasers and Sumitomo Mitsui Banking Corporation ("SMBC") provided warehouse facilities to the Issuer to finance the acquisition of certain Collateral Obligations prior to the Closing Date. Such warehouse facilities will be repaid from the proceeds of the issuance of the Notes. The Initial Purchasers have deferred certain amounts payable to them on the Closing Date. The Financed Amount represents the right of the Initial Purchasers to receive repayment of such amounts (with interest). The Financed Amount is payable prior to payments in respect of the Notes. The Initial Purchasers and their affiliates may have underwritten or be acting as agent or lender in respect of certain of the Collateral Obligations, may have ongoing relationships (including, without limitation, the provision of investment banking, commercial banking and advisory services or engaging in securities or derivatives transactions) with issuers whose debt obligations constitute Collateral Obligations and that are pledged to secure the Secured Notes and may own either equity securities or debt obligations (including the debt obligations which constitute Collateral Obligations) issued by such issuers and may have ongoing relationships (including, without limitation, the provision of investment banking, commercial banking and advisory services or engaging in securities or derivatives transactions) with purchasers of the Offered Securities. The Issuer may invest in the securities of companies affiliated with the Initial Purchasers or in which the Initial Purchasers or their affiliates may have an equity or participation interest. The purchase, holding and sale of such investments by the Issuer may enhance the profitability of the investments of the Initial Purchasers or their affiliates in such companies. In addition, the Initial Purchasers and their affiliates and clients may invest in debt obligations that have interests different from or adverse to the debt obligations that constitute Collateral Obligations. From time to time the Issuer may purchase or sell Collateral Obligations from or through the Initial Purchasers or any of their affiliates. Except as expressly set forth in the Purchase Agreement with respect to the Initial Purchasers obligations under such Purchase Agreement, none of the Initial Purchasers take any responsibility for, and have no obligations in respect of, the Co-Issuers. The Initial Purchasers or their affiliates may act as a Hedge Counterparty. Deutsche Bank AG, acting through its New York Branch, will be the initial Hedge Counterparty. In addition, the Initial Purchasers or one or more affiliates of the Initial Purchasers may act as a counterparty with respect to one or more Synthetic Securities or Securities Lending Agreements. The Initial Purchasers may have ongoing relationships among themselves with respect to their participation in the transactions contemplated hereby. Deutsche Bank AG, London Branch may purchase Secured Notes and/or Subordinated Notes and will have the right to vote the Secured Notes and/or Subordinated Notes it purchases. SMBC will act as the co-placement agent with respect to the Offered Securities offered in Japan.

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DESCRIPTION OF THE OFFERED SECURITIES The Indenture and the Secured Notes All of the Notes will be issued pursuant to the Indenture. However, only the Secured Notes will be secured obligations of the Issuer. The following summary describes certain provisions of the Secured Notes and the Indenture and, to a limited extent, the Subordinated Notes. 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. Additional information regarding the Subordinated Notes appears under "The Subordinated Notes". Status and Security The Secured Notes (other than the Class D Notes) will be limited recourse obligations of the CoIssuers and the Class D Notes will be limited recourse obligations of the Issuer, in each case, secured as described below, and will rank in priority with respect to each other as described herein. Under the terms of the Indenture, the Issuer will grant to the Trustee a security interest in the Assets to secure the Issuer's obligations under the Indenture and the Secured Notes. See "Security for the Secured Notes." Payments of interest and principal on the Secured Notes will be made from the proceeds of the Assets, in accordance with the priorities described under "Summary of TermsPriority of Payments" herein. The aggregate amount that will be available from the Assets for payment on the Secured Notes and of certain expenses of the Co-Issuers on any Payment Date will be (i) the sum of Interest Proceeds and Principal Proceeds for the period (a "Collection Period") commencing immediately following the prior Collection Period (or on the Closing Date, in the case of the Collection Period relating to the first Payment Date) and ending on the first day of the month in which such Payment Date occurs or, in the case of (x) the final Collection Period preceding the latest Stated Maturity of any Class of Notes or (y) the final Collection Period preceding an Optional Redemption, a Clean-Up Call Redemption or a Refinancing, ending on the day preceding such Stated Maturity or the Redemption Date, respectively, plus (ii) any payments received on or before such Payment Date on any Hedge Agreement. To the extent these amounts are insufficient to meet payments due in respect of the Secured Notes and expenses following liquidation of the Assets, the Co-Issuers will have no obligation to pay such deficiency. Interest The Secured Notes will bear stated interest from the Closing Date and such interest will be payable in arrears on each quarterly Payment Date (except, in the case of Class A-1a Notes, as described under "Prepayments of Class A-1a Notes") (x) in the case of the Secured Notes other than the Class A-1a Notes, on the aggregate outstanding principal amount thereof on the first day of the related Interest Accrual Period (after giving effect to payments of principal thereof on such date) and (y) in the case of each Borrowing under the Class A-1a Notes, on the average daily balance of such Borrowing during the related Interest Accrual Period. The period from and including the Closing Date to but excluding the first Payment Date (or, with respect to any Borrowing made under the Class A-1a Notes, the period from, and including, the date of such Borrowing to, but excluding, the earlier to occur of the Payment Date immediately following the Interest Accrual Period in which such Borrowing is made and the date on which such Borrowing is repaid in accordance with the Indenture), and each succeeding period from and including each Payment Date to but excluding the following Payment Date (or, with respect to any Borrowing made under the Class A-1a Notes, the date on which such Borrowing is repaid in accordance with the Indenture) until the principal of the Secured Notes is paid or made available for payment, is an "Interest Accrual Period." For purposes of determining any Interest Accrual Period, if any Payment Date is not a Business Day, then the Interest Accrual Period ending on such Payment Date shall be extended to but excluding the date on which payment is required to be made pursuant to an adjustment for legal holidays pursuant to the Indenture and the succeeding Interest Accrual Period shall begin on and include such date.

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The per annum stated interest rate payable on the Secured Notes of each Class (the "Interest Rate" for such Class) with respect to each Interest Accrual Period will be the rate indicated under "Summary of TermsPrincipal Terms of the Offered Securities." As used herein, "Class" means, in the case of (x) the Secured Notes, all of the Secured Notes having the same Interest Rate, Stated Maturity and designation, and (y) the Subordinated Notes, all of the Subordinated Notes. So long as any more senior Class of Secured Notes is outstanding, to the extent that funds are not available on any Payment Date to pay the full amount of interest on the Class B Notes, the Class C Notes or the Class D Notes or if such interest is not paid in order to satisfy the Coverage Tests, such amounts ("Deferred Interest") will not be due and payable on such Payment Date, but will be deferred and added to the principal balance of such Classes and, thereafter, will bear interest at the Interest Rate for such Classes until paid, and the failure to pay such Deferred Interest on such Payment Date will not be an Event of Default under the Indenture; provided, however, that any such Deferred Interest must, in any case, be paid no later than the earlier of the redemption date or Stated Maturity of the relevant Class of the Secured Notes. See "The IndentureEvents of Default." Interest may be deferred on the Class B Notes as long as any Class A-1 Notes or Class A-2 Notes are outstanding, on the Class C Notes as long as any Class A-1 Notes, Class A-2 Notes or Class B Notes are outstanding, and on the Class D Notes as long as any Class A-1 Notes, Class A-2 Notes, Class B Notes or Class C Notes are outstanding. If any interest due and payable in respect of any Class A-1 Note or any Class A-2 Note (or, if there are no Class A-1 Notes or Class A-2 Notes outstanding, any Class B Note, or, if there are no Class B Notes outstanding, any Class C Note or, if there are no Class C Notes outstanding, any Class D Note) is not punctually paid or duly provided for on the applicable Payment Date or at the applicable Stated Maturity and such default continues for five Business Days, an Event of Default will occur. To the extent lawful and enforceable, interest on such defaulted interest will accrue at a per annum rate equal to the Interest Rate applicable to such Notes from time to time in each case until paid. Interest on the Secured Notes will be calculated on the basis of the actual number of days elapsed in the applicable Interest Accrual Period divided by 360 (provided that, in the case of a Short Notice Borrowing, such determination shall be made separately for each Business Day of such Interest Accrual Period on which the Base Rate is payable and the remainder of such Interest Accrual Period and interest with respect to each Business Day of such Interest Accrual Period on which the Base Rate is payable will be calculated using a 365 or 366 day year, as applicable). The Issuer has initially appointed the Trustee as calculation agent (the "Calculation Agent") for purposes of determining LIBOR for each Interest Accrual Period. The Calculation Agent will determine LIBOR for each Interest Accrual Period on the second London Banking Day preceding the first day of each Interest Accrual Period or, in the case of a Short Notice Borrowing, if any, the London Banking Day immediately following the date of the related borrowing request (each, an "Interest Determination Date"). "LIBOR" for any Interest Accrual Period will equal (a) the rate appearing on the Telerate Screen for deposits with a term of three months; provided, that LIBOR for the first Interest Accrual Period will be determined by interpolating linearly between (i) the rate appearing on the Telerate Screen for deposits with a term of five months and (ii) the rate appearing on the Telerate Screen for deposits with a term of six months; provided, further, that LIBOR for the first Interest Accrual Period with respect to any Borrowing under the Class A-1a Notes that is not made on a Payment Date will equal the rate appearing on the Telerate Screen with a term equal to the period from and including the date of such Borrowing (or, in the case of a Short Notice Borrowing (regardless of whether or not such Short Notice Borrowing is made on a Payment Date), from and including the third Business Day after the date of the related borrowing notice) to but excluding the next succeeding Payment Date or, if such period does not equal a period appearing on the Telerate Screen shall be determined by interpolating linearly between (i) the rate for the period appearing on the Telerate Screen that is closest to and greater than the length of such period and (ii) the rate for the period appearing on the Telerate Screen that is closest to and less than the length of such period or (b) if such rate is unavailable at the time LIBOR is to be determined, LIBOR shall be determined on the basis of the rates at which deposits in U.S. Dollars are offered by four major banks 50

in the London market selected by the Calculation Agent (the "Reference Banks") at approximately 11:00 a.m., London time, on the Interest Determination Date to prime banks in the London interbank market for a period approximately equal to such period and an amount approximately equal to the amount of the applicable Borrowing (if not on a Payment Date) or the aggregate outstanding principal amount of the Secured Notes, as applicable. The Calculation Agent will request the principal London office of each Reference Bank to provide a quotation of its rate. If at least two such quotations are provided, LIBOR shall be the arithmetic mean of such quotations (rounded upward to the next higher 1/100). If fewer than two quotations are provided as requested, LIBOR with respect to such Interest Accrual Period will be the arithmetic mean of the rates quoted by three major banks in New York, New York selected by the Calculation Agent at approximately 11:00 a.m., New York Time, on such Interest Determination Date for loans in U.S. Dollars to leading European banks for a term approximately equal to such Interest Accrual Period and an amount approximately equal to the amount of such Borrowing or the aggregate outstanding principal amount of the Secured Notes, as applicable. If the Calculation Agent is required but is unable to determine a rate in accordance with at least one of the procedures described above, LIBOR will be LIBOR as determined on the previous Interest Determination Date. "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, England. "Telerate Screen" means the rates for deposits in Dollars which appear on Page 3750 of the Dow Jones Telerate Service (or such other page that may replace that page on such service 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 Interest Determination Date. As soon as possible after 11:00 a.m. London time on each Interest Determination Date, but in no event later than 11:00 a.m. London time on the London Banking Day immediately following each Interest Determination Date, the Calculation Agent will calculate the Interest Rate (other than, in the case of a Short Notice Borrowing, the Base Rate) for each Class of Secured Notes for the next Interest Accrual Period and the amount of interest payable in respect of each $100,000 principal amount of each Class of Secured Notes (the "Note Interest Amount" with respect thereto) (in each case, rounded to the nearest cent, with half a cent being rounded upward) on the related Payment Date to be given to the Co-Issuers, the Trustee, the Paying Agents (as defined herein, but excluding the Irish Paying Agent), Euroclear, Clearstream, the Portfolio Manager and, so long as any Secured Notes are listed thereon, the Irish Stock Exchange. The Calculation Agent will also specify to the Co-Issuers the quotations upon which the Interest Rate for each Class of Secured Notes are based, and in any event the Calculation Agent shall notify the Co-Issuers before 5:00 p.m. (London time) on every Interest Determination Date that either: (i) it has determined or is in the process of determining the Interest Rate and Note Interest Amount for each Class of Secured Notes or (ii) it has not determined and is not in the process of determining any such Interest Rate or Note Interest Amount, together with its reasons therefor. In addition, the Calculation Agent will determine the Base Rate for each Short Notice Borrowing and each applicable day within the first Interest Accrual Period therefor and shall report such Base Rate to the Co-Issuers, the Trustee, the Paying Agents (as defined herein), Euroclear, Clearstream, the Portfolio Manager and, so long as any Class A-1a Notes are listed thereon, the Irish Stock Exchange, no later 5:00 p.m. New York City time on each applicable day within the first Interest Accrual Period. The Issuer will agree that for so long as any Secured Notes remain outstanding there will at all times be a Calculation Agent which shall not control, be controlled by or be under common control with the Issuer or its affiliates or the Portfolio Manager or its affiliates. The Calculation Agent may be removed by the Issuer or the Portfolio Manager, on behalf of the Issuer, at any time. If the Calculation Agent is unable or unwilling to act as such or is removed by the Issuer or the Portfolio Manager, on behalf of the Issuer, or if the Calculation Agent fails to determine any of the information required to be published in the Official List of the Irish Stock Exchange, the Issuer or the Portfolio Manager, on behalf of the Issuer, will be required to appoint promptly a replacement Calculation Agent which does not control and is not controlled by or under common control with the Issuer, the Portfolio Manager or their respective affiliates. In addition, for so long as any Offered Securities are listed on the Irish Stock Exchange and the 51

guidelines of such exchange so require, notice of the appointment of any replacement Calculation Agent will be published by an announcement to the Companies Announcement Office of the Irish Stock Exchange by the Irish Paying Agent. Principal The Secured Notes of each Class will mature at par on March 14, 2022 (the "Stated Maturity" for each Class of Secured Notes), unless previously redeemed or repaid prior thereto as described herein. During the Reinvestment Period, principal will not be payable on the Secured Notes except with respect to Deferred Interest, prepayments with respect to the Class A-1a Notes and in the limited circumstances described under "Optional Redemption," "Mandatory Redemption," "Special Redemption," " Clean-Up Call Redemption," "Refinancing," and "Summary of TermsPriority of Payments Application of Principal Proceeds." After the Reinvestment Period, on each Payment Date Principal Proceeds will be payable on the Secured Notes in accordance with the priorities set forth under "Summary of TermsPriority of PaymentsApplication of Principal Proceeds." At any time during which the Coverage Tests are not met, principal payments on the Secured Notes will be made as described under "Mandatory Redemption." The average life of each class of Secured Notes is expected to be less than the number of years until the Stated Maturity of such Secured Notes. See "Risk FactorsRelating to the Offered Securities The Weighted Average Lives of the Notes May Vary." Any payment of principal on a Class of Secured Notes will be made by the Trustee on a pro rata basis among the holders of such Class of Notes according to the respective unpaid principal amounts thereof outstanding immediately prior to such payment. Optional Redemption GeneralRedemption of Notes. The Secured Notes are redeemable by the Applicable Issuer(s) in whole but not in part, on any Payment Date after the end of the Non-Call Period at the applicable Redemption Price, at the written direction of the holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes provided to the Applicable Issuer(s), the Trustee and the Portfolio Manager not later than 30 days prior to the Payment Date on which such redemption shall occur (which date shall be designated in such notice); provided, that all Secured Notes must be redeemed simultaneously. Upon receipt of a notice of redemption of the Secured Notes, the Portfolio Manager in its sole discretion will direct the sale of all or part of the Assets in an amount sufficient that the proceeds of sale therefrom and all other funds available for such purpose in the Collection Account and the Payment Account will be at least sufficient to redeem all of the Secured Notes and to pay all administrative and other fees and expenses payable under "Summary of TermsPriority of PaymentsApplication of Interest Proceeds" (including, without limitation, any amounts due to the Hedge Counterparties or in respect of the Financed Amount). If such proceeds of sale and all other funds available for such purpose in the Collection Account and the Payment Account would not be sufficient to redeem all Secured Notes and to pay such fees and expenses, the Secured Notes may not be redeemed. The Portfolio Manager, in its discretion, may effect the sale of all or any part of the Collateral Obligations or other Assets through the sale of one or more participations in such Assets. The Subordinated Notes may be redeemed, in whole but not in part, on any Payment Date on or after the redemption or repayment of the Secured Notes, at the direction of holders of at least 66% of the Aggregate Outstanding Amount of the Subordinated Notes. Redemption Procedures. In the event of any Optional Redemption, the Issuer will, at least 30 days prior to the Redemption Date (unless the Trustee agrees to a shorter notice period), notify the Trustee in writing of such Redemption Date, the applicable Record Date, the principal amount of Notes to be redeemed on such Redemption Date and the applicable Redemption Price(s). Notice of Optional Redemption will be given by the Applicable Issuer(s) or, upon an Issuer Order, by the Trustee in the name and at the expense of the Applicable Issuer(s) by first-class mail, postage prepaid, mailed not later 52

than ten Business Days prior to the applicable redemption date, to each holder of Secured Notes at such holder's address in the register maintained by the registrar under the Indenture. Failure to give any such notice, or any defect therein, to any holder of any Note selected for redemption shall not impair or affect the validity of the redemption of any other Notes. In addition, for so long as any Offered Securities are listed on the Irish Stock Exchange and so long as the guidelines of such exchange so require, notice of Optional Redemption to the holders of such Offered Securities shall also be given by publication by an announcement to the Companies Announcement Office of the Irish Stock Exchange by the Irish Paying Agent. Secured Notes called for redemption must be surrendered at the office of any paying agent (each, a "Paying Agent", but excluding the Irish Paying Agent) appointed under the Indenture in order to receive the Redemption Price. The initial Paying Agents for the Secured Notes will be the Trustee and, so long as any Offered Securities are listed on the Irish Stock Exchange, Maples Finance Dublin, the "Irish Paying Agent". The Issuer (or the Portfolio manager on its behalf) will have the option to withdraw any such notice of redemption up to the fourth Business Day prior to the scheduled redemption date by written notice to the Trustee, the Rating Agencies and, if applicable, the Portfolio Manager only if the Portfolio Manager is unable to deliver the sale agreement or agreements or certifications as described in the following paragraph in form satisfactory to the Trustee. If the Issuer so withdraws any notice of redemption or is otherwise unable to complete redemption of the Secured Notes, the proceeds received from the sale of any Collateral Obligations and other Assets sold in contemplation of such redemption may during the Reinvestment Period, at the Portfolio Manager's discretion, be reinvested in accordance with the Investment Criteria described herein. No Notes may be optionally redeemed unless (i) at least ten Business Days before the scheduled redemption date the Portfolio Manager shall have furnished to the Trustee evidence, in form satisfactory to the Trustee, that the Portfolio Manager on behalf of the Issuer has entered into a binding agreement or agreements with a financial or other institution or institutions whose short-term unsecured debt obligations (other than such obligations whose rating is based on the credit of a person other than such institution) are rated at least "A-1" by S&P and at least "P-1" by Moody's to purchase (which purchase may be through a participation), not later than the Business Day immediately preceding the scheduled redemption date in immediately available funds, all or part of the Collateral Obligations and/or any Hedge Agreements at a purchase price at least equal to an amount sufficient, together with the Eligible Investments maturing (or putable to the issuer thereof at par) on or prior to the scheduled redemption date, Eligible Investments redeemed by the Issuer and any payments to be received in respect of any Hedge Agreements, to pay all administrative and other fees and expenses payable in accordance with the Priority of Payments prior to the payment of the Notes to be redeemed and to redeem all of the Secured Notes on the scheduled redemption date at the applicable Redemption Price, or (ii) prior to selling any Collateral Obligations and/or Eligible Investments, the Portfolio Manager shall certify to the Trustee that, in its judgment, the aggregate sum of (A) expected proceeds from Hedge Agreements and the sale of Eligible Investments, and (B) for each Collateral Obligation, the product of its principal balance and its market value (expressed as a percentage of its principal balance) and its Applicable Advance Rate, shall exceed the sum of (X) the aggregate Redemption Prices of the outstanding Secured Notes and (Y) all administrative and other fees and expenses payable pursuant to the Priority of Payments prior to the redemption of the Notes. Any certification delivered by the Portfolio Manager as described above shall include (1) the prices of, and expected proceeds from, the sale of any Collateral Obligations, Eligible Investments and/or Hedge Agreements and (2) all calculations required as described above. The Issuer shall deposit, or cause to be deposited, the funds required for an Optional Redemption in the Payment Account on or prior to the Redemption Date. Mandatory Redemption If a Coverage Test (as described under "Security for the Secured NotesThe Coverage Tests") is not satisfied on any Determination Date occurring subsequent to the Ramp-Up Period, the Issuer will be required to apply available amounts in the Payment Account on the related Payment Date to make payments in accordance with the Note Payment Sequence (a "Mandatory Redemption") to the extent necessary to achieve compliance with such Coverage Tests, as described under "Summary of Terms Priority of Payments." 53

Special Redemption The Secured Notes will be subject to redemption in part by the Applicable Issuer(s) on any Payment Date (i) during the Reinvestment Period if the Portfolio Manager at its discretion notifies the Trustee that it has been unable, for a period of 20 consecutive Business Days, to identify additional Collateral Obligations that are deemed appropriate by the Portfolio Manager in its sole discretion and which would meet the criteria for reinvestment described under "Security for the Secured NotesSales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria" in sufficient amounts to permit the investment or reinvestment of all or a portion of the funds then in the Collection Account that are to be invested in additional Collateral Obligations or (ii) after the Ramp-Up Period if the Portfolio Manager notifies the Trustee that a redemption is required to obtain from each Rating Agency its written confirmation of its initial ratings of the Secured Notes (in either case, a "Special Redemption"). On the first Payment Date following the Collection Period in which such notice is given (a "Special Redemption Date"), the amount in the Collection Account representing Principal Proceeds which (1) the Portfolio Manager has determined cannot be reinvested in additional Collateral Obligations or (2) must be applied to redeem the Notes in order to obtain confirmation from each of the Rating Agencies of the initial ratings of the Secured Notes (such amount, the "Special Redemption Amount"), as the case may be, will be applied as described under "Summary of TermsPriority of PaymentsApplication of Principal Proceeds." Notice of Special Redemption will be given by the Applicable Issuer(s) or, upon an Issuer Order, by the Trustee in the name and at the expense of the Applicable Issuer(s) by first-class mail, postage prepaid, mailed not less than three Business Days prior to the applicable Special Redemption Date to each holder of Secured Notes affected thereby at such holder's address in the register maintained by the applicable registrar under the Indenture. Failure to give any such notice, or any defect therein, to any holder of any Note selected for redemption shall not impair or affect the validity of the redemption of any other Notes. In addition, for so long as any Offered Securities are listed on the Irish Stock Exchange and so long as the guidelines of such exchange so require, notice of Special Redemption to the holders of such Offered Securities shall also be given by publication by an announcement to the Companies Announcement Office of the Irish Stock Exchange by the Irish Paying Agent. The Issuer shall deposit, or cause to be deposited, the funds required for a Special Redemption in the Payment Account on or prior to the Redemption Date. Refinancing Any Class or Classes of Secured Notes may be redeemed in whole, but not in part, on any Payment Date after the Non-Call Period from Refinancing Proceeds if the Portfolio Manager, acting on behalf of the Applicable Issuer(s), proposes to redeem such Secured Notes by obtaining a loan or issuing a replacement class of notes. The Portfolio Manager, acting on behalf of the Applicable Issuer(s), will notify the Trustee in writing (with a copy to the Rating Agencies) at least 30 days prior to the Payment Date fixed by the Issuer (and noticed to the Trustee) for such redemption (such date, the "Refinancing Date") that it will redeem such Notes, by obtaining a loan or issuing a replacement class of notes, the terms of which loan or issuance will be negotiated by the Portfolio Manager, on behalf of the Applicable Issuer(s), from one or more financial institutions or purchasers (which may include the Portfolio Manager or its affiliates) selected by the Portfolio Manager (a refinancing provided pursuant to such loan or issuance, a "Refinancing"). Notice of any Refinancing will be given by the Applicable Issuer(s) or, upon an Issuer Order, by the Trustee in the name and at the expense of the Applicable Issuer(s) by first-class mail, postage prepaid, mailed not less than ten Business Days prior to the applicable Refinancing Date to each holder of Secured Notes of the Class or Classes subject to Refinancing, at such holder's address in the register maintained by the applicable registrar under the Indenture and to each Rating Agency. Failure to give any such notice, or any defect therein, to any holder of any Note selected for redemption shall not impair or affect the validity of the redemption of any other Notes. In addition, for so long as any Offered Securities are listed on the Irish Stock Exchange and so long as the guidelines of such exchange so require, notice of Refinancing to the holders of such Offered Securities shall also be given by publication by an announcement to the Companies Announcement Office of the Irish Stock Exchange by the Irish Paying Agent.

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The Issuer (or the Portfolio Manager on its behalf) will have the option to withdraw any such notice of Refinancing up to the fourth Business Day prior to the scheduled redemption date by written notice to the Trustee, the Rating Agencies and, if applicable, the Portfolio Manager only if the Portfolio Manager certifies to the Co-Issuers and the Trustee that one or more of the conditions described in the following paragraph has not been fulfilled. The Issuer will obtain a Refinancing only if the Portfolio Manager determines and certifies to the Trustee that (i)(A) each financial institution participating in such Refinancing has long-term unsecured debt obligations (other than debt obligations whose ratings rely on the credit of a person other than such institution) with a credit rating from Moodys at least equal to the lesser of "Aa2" or the highest rating of any Notes then outstanding and short-term unsecured debt obligations with a credit rating from Moodys of at least "P-1", with a credit rating from S&P at least equal to the highest rating of any Notes then outstanding or short-term unsecured debt obligations with a credit rating from S&P of "A-1+" and (B) if any Notes then outstanding are rated by S&P, the Global Rating Agency Condition with respect to such Refinancing has been satisfied; (ii) the proceeds from the Refinancing and funds in the Accounts available for such purpose (the "Refinancing Proceeds") will be at least sufficient to redeem the applicable Class or Classes of Notes being refinanced and to pay any Administrative Expenses of the Issuer related to the Refinancing; (iii) if less than all of the Secured Notes are being refinanced, the interest rate payable in respect of the obligations issued in order to refinance such Class of Notes is less than the interest rate payable on the Notes being refinanced; (iv) if less than all of the Secured Notes are being refinanced, the stated maturity of the obligations providing the Refinancing is no earlier than the Stated Maturity of the Notes being refinanced; (v) if less than all of the Secured Notes are being refinanced, the obligations providing the Refinancing do not rank higher in priority pursuant to the Priority of Payments described under "Summary of TermsPriority of Payments" than the Class of Notes being refinanced; (vi) if less than all of the Secured Notes are being refinanced, the voting rights, consent rights, redemption rights and other rights of the loan or replacement class of notes are the same as the rights of the corresponding Class of Notes that is being redeemed; (vii) the Refinancing Proceeds and other available funds are used (to the extent necessary) to redeem the applicable Notes and (viii) the agreements relating to the Refinancing contain limited recourse and non-petition provisions equivalent (mutatis mutandis) to those contained in the Indenture. In addition, such Refinancing will not be effected unless the Trustee shall have received written advice from McKee Nelson LLP or an opinion of counsel from other nationally recognized U.S. counsel experienced in such matters to the effect that (i) such Refinancing would not cause the holders or beneficial owners of previously issued Secured Notes to be deemed to have sold or exchanged such Notes under Section 1001 of the United States Internal Revenue Code of 1986, as amended (the "Code"), (ii) such Refinancing will not result in the Issuer becoming subject to U.S. federal income tax on a net income tax basis and (iii) neither the Issuer nor the Co-Issuer will be required, as a result of such Refinancing, to be registered as an investment company under the Investment Company Act. Any Refinancing Proceeds will not constitute Interest Proceeds or Principal Proceeds but will be applied directly on the related Refinancing Date pursuant to the Indenture to redeem the Notes being refinanced without regard to the Priority of Payments; provided that, to the extent that any Refinancing Proceeds are not applied to redeem the Notes being refinanced or to pay related expenses, such Refinancing Proceeds will be treated as Principal Proceeds. The Issuer shall deposit, or cause to be deposited, the funds required for a Refinancing in the Payment Account on or prior to the Redemption Date. Clean-Up Call Redemption The Notes are redeemable at the option of the Applicable Issuer(s) acting at the direction of the Portfolio Manager (which direction shall be given so as to be received by the Issuer and the Trustee not later than twenty days prior to the proposed Clean-Up Call Redemption Date), in whole but not in part (a "Clean-Up Call Redemption"), at the applicable Redemption Price, on any Payment Date selected by the Portfolio Manager (such Payment Date, the "Clean-Up Call Redemption Date") occurring on or after

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the Payment Date on which the aggregate principal balance of the Collateral Obligations and Eligible Investments is reduced to 15% of the Target Initial Par Amount or less. Any Clean-Up Call Redemption is subject to requirements specified in the Indenture, and may only be effected on a Payment Date from (a) the disposition proceeds of the Assets and (b) all other funds in the accounts on the Payment Date relating to such redemption. A Clean-Up Call Redemption may not occur unless the proceeds from the liquidation of the Assets (and any cash in the accounts) result in an amount in cash at least equal to the sum of (a) the Aggregate Outstanding Amount of the Secured Notes, plus (b) all unpaid interest on the Secured Notes accrued to the date of such redemption, plus (c) the aggregate of all other amounts owing by the Issuer on the date of such redemption that are payable in accordance with the Priority of Payments prior to distributions in respect of the Subordinated Notes, including all expenses incurred in connection with effecting the Clean-Up Call Redemption. Notice of a Clean-Up Call Redemption will be given by the Co-Issuers or, upon an Issuer Order, by the Trustee in the name and at the expense of the Co-Issuers by first-class mail, postage prepaid, mailed not later than two Business Days prior to the date of the Clean-Up Call Redemption to each holder of Notes affected thereby at such holder's address in the register maintained by the applicable registrar under the Indenture and to each Rating Agency. Failure to give any such notice, or any defect therein, to any holder of any Note selected for redemption shall not impair or affect the validity of the redemption of any other Notes. In addition, for so long as any Offered Securities are listed on the Irish Stock Exchange and so long as the guidelines of such exchange so require, notice of Clean-Up Call Redemption to the holders of such Offered Securities shall also be given by publication by an announcement to the Companies Announcement Office of the Irish Stock Exchange by the Irish Paying Agent. The Issuer (or the Portfolio Manager on its behalf) will have the option to withdraw any such notice of Clean-Up Call Redemption up to the fourth Business Day prior to the scheduled redemption date by written notice to the Trustee, the Rating Agencies and, if applicable, the Portfolio Manager only if amounts equal to the Clean-Up Call Redemption Price are not received in full in immediately available funds by the fourth Business Day immediately preceding the Clean-Up Call Redemption Date. Notice of any such withdrawal of a notice of Clean-Up Call Redemption shall be given by the Trustee at the expense of the Issuer to each holder of Notes at such holders address in the register maintained by the applicable registrar under the Indenture, by overnight courier guaranteeing next day delivery not later than the second Business Day prior to the scheduled Clean-Up Call Redemption Date. The Issuer shall deposit, or cause to be deposited, the funds required for a Clean-Up Call Redemption in the Payment Account on or prior to the Redemption Date. Prepayments of Class A-1a Notes The Class A-1a Notes may be repaid (in whole or in part) on any date that is a Business Day during the Draw Period (other than a date from the day immediately following the Determination Date to but excluding the next succeeding Payment Date), at the option of the Issuer (at the direction of the Portfolio Manager acting pursuant to the Portfolio Management Agreement). Any such prepayment will be from Principal Proceeds and if such prepayment occurs on a Payment Date, such prepayment will be made only to the extent Principal Proceeds are available for such application described under clause (B)(2) of "Summary of TermsPriority of PaymentsApplication of Principal Proceeds" and if such prepayment does not occur on a Payment Date, the Issuer may pay any associated accrued interest and Class A-1a Additional Costs on such date of prepayment. Any such prepayment will be made by the Issuer pro rata according to the aggregate outstanding principal amount of the Class A-1a Notes. In the event of such prepayment, the Portfolio Manager, on behalf of the Issuer, will give the Trustee and the Class A-1a Note Agent the notice required by the Note Purchase Agreement. Prepayments of Class A1a Notes will not result in a reduction of Commitments.

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To the extent Class A-1a Notes are repaid on any Business Day that is not a Payment Date, such Class A-1a Notes will be repaid together with interest accrued in respect of such portion of the Class A-1a Notes as shall be repaid on such Business Day, provided, that the Issuer may elect not to repay all or any portion of such interest accrued in respect of such repaid portion of the Class A-1a Advances on the same Business Day as the repayment of the Class A-1a Notes, in which case the balance of such accrued interest not paid on such Business Day will be paid on the next succeeding Payment Date together with interest thereon at a per-annum rate of interest equal to three-month LIBOR (interpolated between the date of the prepayment and the next Payment Date). Except with respect to any prepayment required to be made in accordance with the Priority of Payments, the aggregate principal amount of any prepayment of the Class A-1a Notes (taken as a whole) will be an integral multiple of U.S.$1,000 and at least U.S.$500,000 (or the remaining available amount of the Aggregate Undrawn Amount of Class A-1a Notes if such remaining amount is less than U.S.$500,000). The Commitments in respect of the Class A-1a Notes will be reduced on each Payment Date as described under the caption "Reduction of Commitments". Cancellation All Notes that are redeemed or paid in full and surrendered for cancellation as described herein will forthwith be canceled and may not be reissued or resold. Class A-1a Notes Borrowings On any Business Day (subject to the provisions of the Note Purchase Agreement), at the election of the Issuer (as directed by the Portfolio Manager) during the Draw Period, amounts may be borrowed by the Issuer (at the direction of the Portfolio Manager) under the Class A-1a Notes (each a "Borrowing"; provided, that (i) at the time of, and immediately after giving effect to, such Borrowing, no Event of Default shall have occurred and be continuing, (ii) the Class A-1a Note Agent has received a borrowing request in accordance with the Note Purchase Agreement and (iii) the Borrowing will not cause the Commitments to be exceeded. Notwithstanding the failure to satisfy any of the foregoing conditions and except under certain circumstances specified in the Note Purchase Agreement, the holders of the Class A-1a Notes will be obligated to make advances to the Issuer (1) if the proceeds of the related Borrowing are to be used by the Issuer to advance funds in respect of any Unfunded Synthetic Exposure or the unfunded amounts of any Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation and (2) in connection with an advance of the Class A-1 Pro Rata Adjustment Amount. The aggregate principal amount of any Borrowing (other than the Borrowing made pursuant to the immediately following paragraph) (taken as a whole) shall be an integral multiple of $1,000 and at least U.S.$500,000 (or remaining available amount of the Aggregate Undrawn Amount of Class A-1a Notes if such remaining amount is less than US$ 500,000). Except as otherwise provided by the Note Purchase Agreement, any Borrowing shall be made pro rata according to the unused Commitments in respect of the Class A-1a Notes. On the last day of the Draw Period, the Issuer (at the direction of the Portfolio Manager) shall make a Borrowing under the Class A-1a Notes in an aggregate amount equal to the sum of the Funding Advance and the Class A-1 Pro Rata Adjustment Amount, subject to the limitation that the aggregate amount of Borrowings under the Class A-1a Notes may not in any event exceed the aggregate amount of Commitments to make advances in respect of the Class A-1a Notes. The portion of the Funding Advance related to unfunded commitments under Revolving Collateral Obligations and Delayed Drawdown Collateral Obligations will be deposited by the Trustee (at the direction of the Portfolio Manager) in the Revolver Funding Account upon receipt; the portion of the Funding Advance related to Unfunded 57

Synthetic Exposure will be deposited by the Trustee (at the direction of the Portfolio Manager) in one or more applicable Synthetic Security Counterparty Accounts upon receipt; and a sum equal to the Class A1 Pro Rata Adjustment Amount will be deposited by the Trustee upon receipt (at the direction of the Portfolio Manager) into the Principal Collection Subaccount to be applied as a payment of principal on the Class A-1b Notes on the Payment Date on which it is received (or, if such amount is not received on a Payment Date, on the next Payment Date). Holders of Class A-1a Notes are permitted under the terms of the Note Purchase Agreement to obtain funding for their obligations as a holder of the Class A-1a Notes by entering into a liquidity agreement (which agreement, if the holder of Class A-1a Notes is a conduit purchaser, is satisfactory to the Issuer) with a financing provider that satisfies the Class A-1a Purchaser Rating Criteria. Reduction of Commitments At the end of the Ramp-Up Period, the Commitments in respect of the Class A-1a Notes may be reduced by an amount equal to the amount of any redemptions of Class A-1a Notes made in connection with each Rating Agency's written confirmation of its initial ratings of the Secured Notes. The Commitments in respect of the Class A-1a Notes will also be reduced on each Payment Date after the Ramp-Up Period by an amount equal to the amount of Mandatory Redemptions of the Class A-1a Notes, Special Redemptions of the Class A-1a Notes and payments of the Class A-1a Notes pursuant to clause (C) of "Summary of TermsPriority of PaymentsApplication of Principal Proceeds." In addition, (x) on any Payment Date on which payments are made as a result of a Mandatory Redemption or Special Redemption of the Class A-1a Notes, the Commitments in respect of the Class A-1a Notes will be reduced by the amounts paid to the Revolver Funding Account pursuant to clause (i) of the Note Payment Sequence and (y) on any Payment Date on which the aggregate outstanding principal amount of the Class A-1b Notes is reduced to zero, all remaining Commitments will be terminated. Any such reduction of Commitments in respect of the Class A-1a Notes will be applied to the respective Commitments of each holder of the Class A-1a Notes pro rata according to the respective amounts thereof. Prepayments of the Class A-1a Notes pursuant to clause (B)(2) of "Summary of TermsPriority of Payments Application of Principal Proceeds" will not result in a reduction of Commitments. After the end of the Draw Period the Commitments in respect of the Class A-1a Notes will be reduced to zero. The Issuer or the Class A-1a Note Agent will provide the holders of the Class A-1a Notes with no less than one day's prior written notice of any reduction in the Commitments. Entitlement to Payments Payments in respect of principal and interest on the Notes will be made to the person in whose name the Note is registered fifteen days prior to the applicable Payment Date (the "Record Date"). Payments on certificated Notes will be made in U.S. Dollars by wire transfer, as directed by the investor, in immediately available funds to the investor; provided, that wiring instructions have been provided to the Trustee and the applicable Paying Agent (excluding the Irish Paying Agent), on or before the related Record Date and provided, further, that if appropriate instructions for any such wire transfer are not received by the Record Date, then such payment shall be made by check drawn on a U.S. bank mailed to such holder of a Note at such holder's address specified in the applicable register maintained by the Trustee. Final payments in respect of principal on the Notes will be made only against surrender of the Notes at the office of any Paying Agent (excluding the Irish Paying Agent) appointed under the Indenture. Payments in respect of the principal and interest of any Global Notes will be made to DTC or its nominee, as the registered owner thereof. Neither the Co-Issuers, the Portfolio Manager, the Trustee nor 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 the beneficial ownership interests. The Co-Issuers expect that DTC or its nominee, upon receipt of any payment of principal or interest in respect of a Global Note representing a Class of Notes held by it or its nominee, will immediately credit participants' accounts (through which, in the case of Regulation S Global Notes, Euroclear and Clearstream hold their respective interests) with payments in amounts proportionate to their respective beneficial interests in the 58

stated initial principal amount of a Global Note for a Class of Notes, as shown on the records of DTC or its nominee. The Co-Issuers also expect that payments by participants to owners of beneficial interests in a Global Note held through the participants will be governed by standing instructions and customary practices, as is now the case with securities held for the accounts of customers registered in the names of nominees for the customers. The payments will be the responsibility of the participants. Prescription. Except as otherwise required by applicable law, claims by holders of Notes in respect of principal and interest must be made to the Trustee or any Paying Agent (excluding the Irish Paying Agent) if made within two years of such principal or interest becoming due and payable. Any funds deposited with the Trustee or any Paying Agent in trust for the payment of principal or interest remaining unclaimed for two years after such principal or interest has become due and payable shall be paid to the Issuer and, if applicable, the Co-Issuer, pursuant to the Indenture; and the holder of a Note shall thereafter, as an unsecured general creditor, look only to the Issuer and, if applicable, the Co-Issuer, for payment of such amounts and all liability of the Trustee and any Paying Agent with respect to such trust funds shall thereupon cease. Priority of Payments On each Payment Date, Interest Proceeds will be applied in the order of priority described under "Summary of TermsPriority of PaymentsApplication of Interest Proceeds." On each Payment Date, Principal Proceeds will be applied in the order of priority described under "Summary of TermsPriority of PaymentsApplication of Principal Proceeds." For so long as any Class of Offered Securities is listed on the Irish Stock Exchange, the Trustee at the direction of the Issuer will render an accounting report to the Irish Stock Exchange prior to the related Payment Date which will contain the aggregate outstanding principal amount of the Offered Securities of each such Class at the beginning of the Interest Accrual Period and such amount as a percentage of the original aggregate outstanding principal amount of the Secured Notes of such Class, the amount of principal payments to be made on the Secured Notes of such Class on the next Payment Date, the amount of any Deferred Interest on any such Class of Secured Notes, and the aggregate outstanding principal amount of the Secured Notes of such Class after giving effect to the principal payments, if any, on the next Payment Date and such amount as a percentage of the original aggregate outstanding principal amount of the Secured Notes of such Class. The Indenture The following summary describes certain provisions of the Indenture among the Co-Issuers and the Trustee to be dated as of the Closing Date. 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: (a) a default in the payment, when due and payable, of (i) any Commitment Fee on any Class A-1a Note, (ii) any interest on any Class A Note or, if there are no Class A Notes outstanding, any Class B Note or, if there are no Class A Notes or Class B Notes outstanding, any Class C Note or, if there are no Class A Notes, Class B Notes or Class C Notes outstanding, any Class D Note and the continuation of any such default, in the case of clauses (i) and (ii), for five Business Days, or (iii) any principal, interest, or Deferred Interest on, or any Redemption Price in respect of, any Secured Note at its Stated Maturity or any Redemption Date, and in the case of any Redemption Price on any Redemption Date, the continuation of any such default for five Business Days; (b) the failure on any Payment Date to disburse amounts available in the Payment Account in accordance with the priority of payments set forth in the Indenture and continuation of such failure for a period of five Business Days; 59

(c) either of the Co-Issuers or the Assets becomes an investment company required to be registered under the Investment Company Act; (d) except as otherwise provided in this definition of "Event of Default", a default, in a material respect (as determined by the holders of a majority of the Controlling Class), in the performance, or breach, in a material respect (as determined by the holders of a majority of the Controlling Class), of any other covenant or other agreement of the Issuer or the CoIssuer in the Indenture (it being understood, without limiting the generality of the foregoing, that any failure to meet any Portfolio Profile Test, Collateral Quality Test or Coverage Test is not an Event of Default except to the extent provided in clause (f) below), or the failure of any representation or warranty of the Issuer or the CoIssuer made in the Indenture or in any certificate or other writing delivered pursuant thereto or in connection therewith to be correct in all material respects when the same shall have been made, and the continuation of such default, breach or failure for a period of 30 days after notice to the Issuer or the Co-Issuer, as applicable, and the Portfolio Manager by registered or certified mail or overnight courier, by the Trustee, or to the CoIssuers, the Portfolio Manager and the Trustee by a majority of the Controlling Class, specifying such default, breach or failure and requiring it to be remedied and stating that such notice is a "Notice of Default" under the Indenture; (e) certain events of bankruptcy, insolvency, receivership or reorganization of either of the Co-Issuers; or (f) on any Measurement Date, failure of the quotient of the Collateral Principal Amount (plus the lower of the Moody's Recovery Amount and the S&P Recovery Amount of each Defaulted Obligation) divided by the aggregate outstanding principal amount of the Class A-1 Notes to equal or exceed 102%. If an Event of Default occurs and is continuing (other than an Event of Default referred to in clause (e) above), the Trustee may, and shall, upon the written direction of the holders of a majority in principal amount of the Notes of the Controlling Class by notice to the applicable Co-Issuers and each Rating Agency, declare the principal of and accrued interest on the Secured Notes to be immediately due and payable. If an Event of Default described in clause (e) above occurs, such an acceleration will occur automatically. The "Controlling Class" will be the Class A-1a Notes and the Class A-1b Notes (voting together as a single class), so long as any Class A-1 Notes are outstanding; then the Class A-2 Notes, so long as any Class A-2 Notes are outstanding; then the Class B Notes, so long as any Class B Notes are outstanding; then the Class C Notes, so long as any Class C Notes are outstanding; then the Class D Notes, so long as any Class D Notes are outstanding; then the Subordinated Notes. Upon an acceleration, the Trustee will retain the Assets intact and collect all payments in respect of the Assets unless either (i) the Trustee determines that the anticipated proceeds of a sale or liquidation of the Assets (after deducting the reasonable expenses of such sale or liquidation) would be sufficient to discharge in full the amounts then due (or, in the case of interest, accrued) and unpaid on the Secured Notes for principal and interest (including Deferred Interest), Commitment Fees and all amounts payable prior to payment of principal on such Secured Notes (including amounts payable to any Hedge Counterparty upon liquidation of the Assets) and a majority of the aggregate outstanding principal amount of the Controlling Class agrees with such determination; or (ii) the holders of at least 66% of the aggregate outstanding principal amount of each of (a) the Class A-1a Notes and the Class A-1b Notes (voting together as a single class), (b) the Class A-2 Notes, (c) the Class B Notes, (d) the Class C Notes and (e) the Class D Notes, direct the sale and liquidation of the Assets. The holders of a majority of the aggregate outstanding principal amount of the Controlling Class will have the right following the occurrence, and during the continuance of, an Event of Default to cause the institution of and direct the time, method and place of conducting any proceeding for any remedy available to the Trustee; provided, that (a) such direction shall not conflict with any rule of law or with any express provision of the Indenture, (b) the Trustee may take any other action deemed proper by the Trustee that is not inconsistent with such direction, (c) the Trustee shall have been provided with indemnity reasonably satisfactory to it, and (d) notwithstanding the foregoing, any direction to the Trustee

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to undertake a sale of Assets may be given only in accordance with the preceding paragraph and the applicable provisions of the Indenture. Subject to the provisions of the Indenture relating to the duties of the Trustee, the Trustee will be under no obligation to exercise the rights or powers vested in it under the Indenture in respect of such Event of Default at the request or direction of the holders of any Notes unless such holders have offered to the Trustee reasonable security or indemnity. The holders of a majority in aggregate outstanding principal amount of the Notes of the Controlling Class may, in certain cases, waive any default with respect to such Notes, except a default (a) in the payment of the principal of any Secured Note or any payment of Commitment Fees, Class A-1a Additional Costs and Class A-1a Tax Gross-Up Amounts (which may be waived, in the case of a default in the payment of principal of any Secured Note, with the consent of each holder of such Note, and in the case of a default in the payment of the Commitment Fees, Class A-1a Additional Costs and Class A-1a Tax Gross-Up Amounts, with the consent of each holder of the Class A-1a Notes), (b) in the payment of interest on the Notes of the Controlling Class (which may be waived with the consent of the holders of 100% of the Controlling Class) or (c) in respect of a provision of the Indenture that cannot be modified or amended without the waiver or consent of the holder of each such outstanding Note adversely affected thereby (which may be waived with the consent of each such holder). No holder of a Note will have the right to institute any proceeding with respect to the Indenture unless (i) such holder previously has given to the Trustee written notice of an Event of Default, (ii) the holders of not less than 25% in aggregate outstanding principal 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 and such holders have offered the Trustee reasonable indemnity, (iii) the Trustee for 30 days after its receipt of such notice, request and offer of indemnity has failed to institute any such proceeding and (iv) no direction inconsistent with such written request has been given to the Trustee during such 30day period by the holders of a majority of the aggregate outstanding principal amount of the Controlling Class. In determining whether the holders of the requisite aggregate outstanding principal amount have given any request, demand, authorization, direction, notice, consent or waiver under the Indenture, (a) Notes owned by the Issuer, the CoIssuer, or (only in the case of a vote to remove or replace the Portfolio Manager or approve a successor Portfolio Manager) the Portfolio Manager or any affiliate of the Portfolio Manager, or any other obligor upon the Notes or any affiliate thereof shall be disregarded and deemed not to be outstanding, except that, in determining whether the Trustee shall be protected in relying upon any such request, demand, authorization, direction, notice, consent or waiver, only Notes that the Trustee knows to be so owned shall be so disregarded, (b) Notes so owned that have been pledged in good faith may be regarded as outstanding if the pledgee establishes to the satisfaction of the Trustee the pledgee's right so to act with respect to such Notes and that the pledgee is not the Issuer, the CoIssuer, the Portfolio Manager or any other obligor upon the Notes or any affiliate of the Issuer, the CoIssuer, the Portfolio Manager or such other obligor and (c) during the Draw Period, the Aggregate Undrawn Amount of the Class A-1a Notes shall be deemed to be outstanding. Notices. Notices to the holders of the Notes shall be given by first class mail, postage prepaid, to registered holders of Notes at each such holder's address appearing in the register maintained by the Trustee. In addition, for so long as the Offered Securities are listed on the Irish Stock Exchange and so long as the guidelines of such exchange so require, notices to the holders of such Offered Securities shall also be given by publication by an announcement to the Companies Announcement Office of the Irish Stock Exchange by the Irish Paying Agent. Modification of Indenture. With the consent of the holders of not less than a majority in aggregate outstanding principal amount of the Secured Notes of each Class materially and adversely affected thereby (for which purpose, the Class A-1a Notes and the Class A-1b Notes will constitute and vote together as a single Class) and the consent of the holders of not less than a majority of the aggregate outstanding principal amount of the Subordinated Notes (if the Subordinated Notes are materially and adversely affected thereby), the Trustee and the Co-Issuers may execute one or more supplemental 61

indentures to add any provisions to, or change in any manner or eliminate any provisions of, the Indenture or modify in any manner the rights of the holders of the Notes of such Class. The Trustee may, consistent with the written advice of counsel, determine whether or not the holders of Notes would be materially and adversely affected by such change. Such determination shall be conclusive and binding on all present and future holders. The Portfolio Manager will be bound to follow any amendment or supplement to the Indenture from the time it has received a copy of such amendment or supplement from the Issuer or the Trustee; provided, however, that with respect to any amendment or supplement to the Indenture which would (i) increase the duties or liabilities of, or adversely change the economic consequences to the Portfolio Manager, (ii) modify the restrictions on the sales or loans of Collateral Obligations or the Investment Criteria described under "Security for the Secured NotesSales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria" or (iii) expand or restrict the Portfolio Manager's discretion, the Portfolio Manager shall not be bound thereby unless the Portfolio Manager shall have consented thereto in writing, such consent to not be unreasonably withheld or delayed. Without the consent of the holders of each outstanding Note materially and adversely affected thereby, however, no supplemental indenture may: (i) change the Stated Maturity of the principal of any Note or the due date of any installment of interest on any Secured Note, reduce the principal amount thereof or the rate of interest thereon or the Redemption Price or the Commitment Fee Rate with respect to any Note, or change the earliest date on which Notes of any Class may be redeemed, change the provisions of the Indenture relating to the application of proceeds of any Assets to the payment of principal of or interest on Secured Notes or distributions on the Subordinated Notes or change any place where, or the coin or currency in which, Notes or the principal thereof or interest thereon is payable, or impair 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, on or after the applicable Redemption Date); (ii) reduce the percentage of the aggregate outstanding principal amount of holders of Notes of each Class whose consent is required for the authorization of any such supplemental indenture or for any waiver of compliance with certain provisions of the Indenture or certain defaults thereunder or their consequences provided for in the Indenture; (iii) Indenture; impair or adversely affect the Assets except as otherwise permitted in the

(iv) except as otherwise permitted by the Indenture, permit the creation of any lien ranking prior to or on a parity with the lien of the Indenture with respect to any part of the Assets or terminate such lien on any property at any time subject thereto or deprive the holder of any Secured Note of the security afforded by the lien of the Indenture; (v) reduce the percentage of the aggregate outstanding principal amount of holders of Secured Notes of each Class whose consent is required to request the Trustee to preserve the Assets or rescind the Trustee's election to preserve the Assets or to sell or liquidate the Assets pursuant to the Indenture; (vi) modify any of the provisions of the Indenture with respect to supplemental indentures, except to increase the percentage of outstanding Notes the consent of the holders of which is required for any such action or to provide that certain other provisions of the Indenture cannot be modified or waived without the consent of the holder of each Note outstanding and affected thereby;

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(vii) modify the definition of the term "Outstanding" or the priority of payments set forth in the Indenture; or (viii) modify any of the provisions of the Indenture in such a manner as to affect the calculation of the amount of any payment of interest or principal on any Secured Note, or any amount available for distribution to the Subordinated Notes or to affect the rights of the holders of Secured Notes to the benefit of any provisions for the redemption of such Secured Notes contained therein. In addition, with the consent of the holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes delivered to the Trustee, the Co-Issuers and the Portfolio Manager, the Trustee and the Co-Issuers may enter into one or more supplemental indentures to accommodate the issuance of additional Notes. The Co-Issuers and the Trustee may also enter into supplemental indentures, without obtaining the consent of holders of the Offered Securities (except as expressly noted below), at any time and from time to time, subject to certain requirements described in the Indenture: (i) to evidence the succession of another person to the Issuer or the Co-Issuer and the assumption by any such successor person of the covenants of the Issuer or the CoIssuer in the Indenture and in the Notes; (ii) to add to the covenants of the Co-Issuers or the Trustee for the benefit of the Secured Parties or to surrender any right or power conferred upon the Co-Issuers by the Indenture; (iii) Trustee; to convey, transfer, assign, mortgage or pledge any property to or with the

(iv) to evidence and provide for the acceptance of appointment under the Indenture by a successor Trustee and to add to or change any of the provisions of the Indenture as shall be necessary to facilitate the administration of the trusts under the Indenture by more than one Trustee, pursuant to the requirements of the Indenture; (v) to correct or amplify the description of any property at any time subject to the lien of the Indenture, or to better assure, convey and confirm unto the Trustee any property subject or required to be subjected to the lien of the Indenture (including, without limitation, any and all actions necessary or desirable as a result of changes in law or regulations) or to subject to the lien of the Indenture any additional property; (vi) to modify the Notes to reflect any changes enable the Co-Issuers to rely the Investment Company Act required by the Indenture; restrictions on and procedures for resales and other transfers of in applicable law or regulation (or the interpretation thereof) or to upon any exemption from registration under the Securities Act or or to remove restrictions on resale and transfer to the extent not

(vii) at the direction of the Portfolio Manager, either (x) if the name appears on Schedule 5 to the Indenture or (y) with the consent of each Hedge Counterparty (other than a Hedge Counterparty with respect to a Currency Hedge Transaction), to change the name of the Issuer and the Co-Issuer; (viii) to make such changes as shall be necessary or advisable in order for the listed Notes to be listed on an exchange, including the Irish Stock Exchange;

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(ix) at any time within the Reinvestment Period, subject to the approval of the holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes, to make such changes as shall be necessary to permit the Co-Issuers to issue additional notes of any one or more new classes; provided, that any such new classes of notes shall be subordinate in payment of principal and interest to all existing Classes of Secured Notes; (x) to correct any inconsistency or cure any ambiguity, omission or errors in the Indenture or to conform the provisions of the Indenture to this Offering Circular; (xi) to accommodate, modify or amend existing and/or replacement Hedge Agreements or to make changes to the Currency Account or the method of determining the exchange rate for Non-USD Obligations; (xii) to take any action advisable to prevent the Issuer or the Trustee from becoming subject to withholding or other taxes (other than taxes with respect to the Issuer otherwise permitted under the Indenture and other than taxes imposed on amounts payable or paid to the Trustee as compensation), fees or assessments or to prevent the Issuer from being treated as engaged in a United States trade or business or otherwise being subject to United States federal, state or local income tax on a net income basis; (xiii) to enter into any additional agreements not expressly prohibited by the Indenture as well as any amendment, modification or waiver if the Issuer determines that such amendment, modification or waiver would not, upon or after becoming effective, materially and adversely affect the rights or interest of holders of any Class of Notes; (xiv) to evidence any waiver by any Rating Agency as to any requirement or condition, as applicable, of such Rating Agency set forth herein; (xv) to make such changes as may be necessary to permit the Issuer to use Interest Proceeds to purchase Secured Notes in the order of the Note Payment Sequence at a discount in order to satisfy the Coverage Tests; (xvi) with the consent of the holders of a majority of the aggregate outstanding principal amount of Class A-1a Notes, to amend any provision in the Indenture relating solely to the manner, timing and conditions of Borrowings; (xvii) with the consent of the Portfolio Manager, to modify the definitions of "Credit Improved Obligation", "Credit Risk Obligation", "Defaulted Obligation" or "Equity Security", the restrictions on the sales of Collateral Obligations or the Investment Criteria set forth under "Security for the Secured NotesSales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria" (other than the calculation of the Portfolio Profile Tests and the Collateral Quality Test) in a manner not material and adverse to holders of any Class of the Notes; (xviii) to amend, modify, enter into or accommodate the execution of any contract relating to a Synthetic Security; (xix) to amend or modify the Indenture in order to enter into or otherwise accommodate the execution of any Securities Lending Agreement; (xx) with the consent of the Portfolio Manager, to correct an ambiguity, omission or error within the definitions of Allocated Discounted Payment Amount, Discounted Payment Reinvestment Amount, Discounted Payments, Excess Discounted Payment Amount, Excess Discounted Payment Spread and Discounted Payment Spread;

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(xxi) with the consent of the Portfolio Manager and the holder of the Financed Amount obligation, to extend the final Payment Date on which the Financed Amount must be paid in full; and (xxii) to make any change that does not materially and adversely affect the rights of the holders of the Offered Securities. At the cost of the Co-Issuers, for so long as any Notes shall remain outstanding, not later than 15 business days prior to the execution of any proposed supplemental indenture pursuant to clause (xiii), (xv), or (xvii) in the immediately preceding paragraph, the Trustee shall deliver to the holders of the Notes a copy of such supplemental indenture (any failure of the Trustee to deliver a copy of any supplemental indenture as provided above will not, however, in any way impair or affect the validity of any such supplemental indenture). In addition, for so long as any Offered Securities are listed on the Irish Stock Exchange and the guidelines of such exchange shall so require, the Issuer will notify the Irish Stock Exchange of any material modification of the Indenture. Except as described below, and as described in clauses (vii) and (viii) of the preceding paragraph, no supplemental indenture, or other modification or amendment of the Indenture not requiring consent of the holders of the Offered Securities (other than a modification or amendment to Schedule 6 thereto made in accordance with the provisions of the Indenture), may become effective unless each of the Rating Agencies has confirmed in writing that such supplemental indenture, modification or amendment will not result in a reduction or withdrawal of its then current rating of any Class of Secured Notes. Not less than 10 days prior to any Payment Date, at the direction of the holders of not less than 100% of the aggregate outstanding principal amount of the Subordinated Notes but without any amendment to the Indenture, any confirmation from either Rating Agency or the consent of any holder of Secured Notes, all or a specified portion of amounts that would otherwise be distributed on such Payment Date to the holders of the Subordinated Notes will instead be retained by the Trustee in the Collection Account as Principal Proceeds and will be available for reinvestment in additional Collateral Obligations. Additional Issuance. The Indenture will provide that, at any time during the Reinvestment Period, the Co-Issuers may issue and sell additional Notes of any one or more existing Classes (other than the Class A-1a Notes) and use the proceeds to purchase additional Collateral Obligations or as otherwise permitted under the Indenture; provided, that the following conditions are met: (a) such issuance is approved by the holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes; (b) such issuance may not exceed 100% of the respective original outstanding amount of the Subordinated Notes or the applicable Class or Classes of Secured Notes; (c) the terms of the Notes issued must be identical to the respective terms of previously issued Notes of the applicable Class (except that the interest due on additional Secured Notes will accrue from the issue date of such additional Secured Notes); (d) in the case of additional Secured Notes, (1) the initial ratings of the Secured Notes must not have been reduced or withdrawn and (2) the Global Rating Agency Condition shall have been satisfied; (e) the issuance of additional Notes must be proportional across all Classes (other than the Class A-1a Notes); provided, however, that a larger proportion of Subordinated Notes and of each Class of Secured Notes subordinate to the most senior Class of Notes as to which additional Notes are being issued (relative to the amount of each Class of Notes) may be issued; (f) the net proceeds of any additional Notes are used to purchase additional Collateral Obligations or as otherwise permitted under the Indenture and (g) an opinion of tax counsel of nationally recognized standing in the United States experienced in such matters shall be delivered to the Trustee to the effect that (i) such additional issuance will not result in the Issuer becoming subject to United States federal income taxation with respect to its net income, (ii) such issuance would not cause the holders or beneficial owners of previously issued Secured Notes to be deemed to have sold or exchanged such Notes under Section 1001 of the Code and (iii) any additional Class A-1b Notes, Class A-2 Notes, Class B Notes or Class C Notes will, and any additional Class D Notes should, be debt for United States federal income tax purposes. The conditions set forth above do not apply to Secured Notes issued in a Refinancing. Such additional Notes may be offered at prices that differ from the applicable initial offering price.

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The Indenture will also provide that, at any time during the Reinvestment Period, the Co-Issuers may amend the Indenture to make such changes as to permit the Co-Issuers to issue and sell additional notes of any one or more new classes; provided, that the following conditions are met: (a) such issue is approved by holders of not less than 66% of the aggregate outstanding principal amount of the Subordinated Notes; and (b) any such new class or classes of notes shall be subordinate in payment of principal and interest to all existing Classes of Secured Notes. Consolidation, Merger or Transfer of Assets. Except under the limited circumstances set forth in the Indenture, neither the Issuer nor the Co-Issuer may consolidate with, merge into, or transfer or convey all or substantially all of its assets to, any other corporation, partnership, trust or other person or entity. Petitions for Bankruptcy. The Indenture will provide that the holders of the Notes may not seek to commence a bankruptcy proceeding against or cause the Issuer or Co-Issuer to petition for bankruptcy until the payment in full of the Notes and not before one year and a day, or if longer, the applicable preference period then in effect, has elapsed since such payment. Satisfaction and Discharge of the Indenture. The Indenture will be discharged with respect to the Assets securing the Secured Notes upon (i) delivery to the Trustee for cancellation of all of the Notes, or, with certain exceptions (including the obligation to pay principal and interest), upon deposit with the Trustee of funds sufficient for the payment or redemption thereof and (ii) the payment by the Co-Issuers of all other amounts due under the Indenture. Trustee. The Bank of New York Trust Company, National Association, will be the Trustee under the Indenture for the Notes. The payment of the fees and expenses of the Trustee relating to the Notes is solely the obligation of the Co-Issuers and solely payable out of the Assets. The Trustee and/or its affiliates may receive compensation in connection with the Trustee's investment of trust assets in certain Eligible Investments as provided in the Indenture. Eligible Investments may include investments for which the Trustee or an affiliate of the Trustee provides services. The Co-Issuers, the Portfolio Manager and their affiliates may maintain other banking relationships in the ordinary course of business with the Trustee or its affiliates. The Indenture contains provisions for the indemnification of the Trustee by the Issuer, payable solely out of the Assets, 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 trust. The Trustee may resign at any time by providing 30 days' notice. The Trustee may be removed at any time by the holders of a majority in aggregate outstanding principal amount of each Class of Secured Notes, or, at any time when an Event of Default shall have occurred and be continuing, by the holders of a majority in aggregate outstanding principal amount of the Controlling Class or by order of a court of competent jurisdiction as set forth in the Indenture. No resignation or removal of the Trustee will become effective until the acceptance of the appointment of the successor Trustee. Form, Denomination and Registration of the Notes The Notes are being offered hereby (i) to non-U.S. persons in offshore transactions in reliance on Regulation S ("Regulation S") under the Securities Act of 1933, as amended (the "Securities Act" ) and (ii) in the United States to persons that are either (A) Qualified Purchasers (as defined in Section 2(a)(51) of the Investment Company Act of 1940, as amended (the "Investment Company Act")) ("Qualified Purchasers") or (B) (in the case of the Subordinated Notes only) Knowledgeable Employees (as defined in Rule 3c-5 under the Investment Company Act) ("Knowledgeable Employees") with respect to the Issuer; or corporations, partnerships, limited liability companies or other entities (other than trusts) each shareholder, partner, member or other equity owner of which is either a Knowledgeable Employee or a Qualified Purchaser that in the case of (A) and (B) are either (1) qualified institutional buyers ("Qualified Institutional Buyers") within the meaning of Rule 144A under the Securities Act ("Rule 144A") or (2) Accredited Investors (in the case of the Subordinated Notes only) meeting the requirements of Rule 501(a) under the Securities Act who, if individual Accredited Investors who are not Knowledgeable Employees, have a minimum of $10,000,000 in investable assets. See "Description of the Offered 66

SecuritiesForm, Denomination and Registration of the Notes" and "Transfer Restrictions." Purchasers of Offered Securities should consider the possible application of Regulation U to such purchases. See "Security for the Secured NotesMargin Loans." Each Note, other than a Class A-1a Note, sold to a person that at the time of the acquisition, purported acquisition or proposed acquisition of any such Note is both a Qualified Institutional Buyer and a Qualified Purchaser, will be issued in the form of one or more permanent global notes in definitive, fully registered form without interest coupons (the "Rule 144A Global Notes"). Subordinated Notes sold pursuant to Rule 144A are referred to herein as the "Rule 144A Global Subordinated Notes". Each Note, other than a Class A-1a Note, sold to non-U.S. persons in offshore transactions in reliance on Regulation S will be issued in the form of one or more permanent global notes in definitive, fully registered form without interest coupons (the "Regulation S Global Notes"). Subordinated Notes sold pursuant to Regulation S are referred to herein as the "Regulation S Global Subordinated Notes" and, together with the Rule 144A Global Subordinated Notes, the "Global Subordinated Notes". The Rule 144A Global Notes and the Regulation S Global Notes are referred to herein collectively as the "Global Notes". All Class A-1a Notes will be issued only in definitive, fully registered form without interest coupons. Each Subordinated Note sold to a person (other than a non-U.S person in an offshore transaction) who at the time of the acquisition, purported acquisition or proposed acquisition of any such Note is not both a Qualified Institutional Buyer and a Qualified Purchaser but who is both (i) either a Qualified Purchaser or a Knowledgeable Employee and (ii) either a Qualified Institutional Buyer or an Accredited Investor meeting the requirements of Rule 501(a) under the Securities Act who, if an individual Accredited Investor who is not a Knowledgeable Employee, has a minimum of $10,000,000 in investable assets, will be issued only in definitive, fully registered form without interest coupons ("Certificated Subordinated Notes"). Each initial investor and each subsequent transferee of a Certificated Subordinated Note will be required to provide a purchaser representation letter (in the form attached as Annex A-1) in which it will be required to certify, among other matters, as to its status under the Securities Act, the Investment Company Act and ERISA. Each initial investor in a Rule 144A Global Subordinated Note will be required to provide a purchaser representation letter (in the form attached as Annex A-2) in which it will be required to certify, among other matters, as to its status under the Securities Act, the Investment Company Act and ERISA. Each initial purchaser and subsequent transferee of a Regulation S Global Subordinated Note and each subsequent transferee of a Rule 144A Global Subordinated Note will be deemed to certify, among other matters, as to its status under the Securities Act, the Investment Company Act and ERISA. As used above, "U.S. person" and "offshore transaction" shall have the meanings assigned to such terms in Regulation S under the Securities Act. The Global Notes will be deposited with the Trustee as custodian for, and registered in the name of, a nominee of DTC and, in the case of the Regulation S Global Notes, for the respective accounts of Euroclear Bank S.A./N.V., as operator of the Euroclear System ("Euroclear") and Clearstream Banking Luxembourg, S.A. ("Clearstream"). A beneficial interest in a Regulation S Global Note may be transferred to a person who takes delivery in the form of an interest in the corresponding Rule 144A Global Note only upon receipt by the Trustee of a written certification from the transferor in the form required by the Indenture to the effect that such transfer is being made to a person whom the transferor reasonably believes is a Qualified Institutional Buyer and a Qualified Purchaser (a "QIB/QP") in a transaction meeting the requirements of Rule 144A under the Securities Act and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction. Beneficial interests in a Rule 144A Global Note may be transferred to a person who takes delivery in the form of an interest in the corresponding Regulation S 67

Global Note only upon receipt by the Trustee of a written certification from the transferor in the form required by the Indenture to the effect that such transfer is being made in accordance with Regulation S under the Securities Act. Any beneficial interest in one of the Global Notes that is transferred to a person who takes delivery in the form of an interest in another Global Note will, upon transfer, cease to be an interest in such Global Note and become an interest in such other Global Note, and accordingly, will thereafter be subject to all transfer restrictions and other procedures applicable to beneficial interests in such other Global Notes for as long as it remains such an interest. A Certificated Subordinated Note may be transferred only upon receipt by the Issuer and the Trustee of (A) the transferor's Subordinated Note together with an interest transfer form in the form prescribed by the Indenture executed by the transferor, (B) a certificate substantially in the form of Annex A-1 attached hereto and (C) applicable certifications pursuant to the Indenture executed by the transferee. No service charge will be made for any registration of transfer or exchange of Notes, but the Trustee may require payment of a sum sufficient to cover any transfer, tax or other governmental charge payable in connection therewith. The registered owner of the relevant Global Note will be the only person entitled to receive payments in respect of the Offered Securities represented thereby, and the Co-Issuers will be discharged by payment to, or to the order of, the registered owner of such Global Note in respect of each amount so paid. No person other than the registered owner of the relevant Global Note will have any claim against the Co-Issuers in respect of any payment due on that Global Note. Account holders or participants in Euroclear and Clearstream shall have no rights under the Indenture with respect to Global Notes held on their behalf by the Trustee as custodian for DTC, and DTC may be treated by the Co-Issuers, the Trustee and any agent of the Co-Issuers or the Trustee as the holder of Global Notes for all purposes whatsoever. Except in the limited circumstances described below, owners of beneficial interests in the Global Notes will not be entitled to have Notes registered in their names, will not receive or be entitled to receive definitive physical Notes and will not be considered "holders" of Notes under the Indenture or the Notes. If DTC notifies the Co-Issuers that it is unwilling or unable to continue as depositary for Global Notes of any Class or Classes or ceases to be a "clearing agency" registered under the Exchange Act and a successor depositary or custodian is not appointed by the Co-Issuers within 90 days after receiving such notice, the Issuer will issue or cause to be issued, Notes of such Class or Classes in the form of definitive physical certificates in exchange for the applicable Global Notes to the beneficial owners of such Global Notes in the manner set forth in the Indenture. In addition, the owner of a beneficial interest in a Global Note will be entitled to receive a definitive physical Note in exchange for such interest if an Event of Default has occurred and is continuing. In the event that definitive physical Notes are not so issued by the Issuer to such beneficial owners of interests in Global Notes, the Issuer expressly acknowledges that such beneficial owners shall be entitled to pursue any remedy that the holders of a Global Note would be entitled to pursue in accordance with the Indenture (but only to the extent of such beneficial owner's interest in the Global Note) as if definitive physical Notes had been issued. In the event that definitive physical Notes are issued in exchange for Global Notes as described above, the applicable Global Note will be surrendered to the Trustee by DTC and the Issuer or the Co-Issuers, as applicable, will execute and the Trustee will authenticate and deliver an equal aggregate principal amount of definitive physical Notes. For so long as any Offered Securities are listed on the Irish Stock Exchange and the guidelines of such exchange shall so require, the Issuer or the Co-Issuers, as applicable, will have a paying agent (which shall be the Irish Paying Agent) for such Offered Securities in Ireland and payments on and transfers or exchanges of interests in such Offered Securities may be effected through any Paying Agent (excluding the Irish Paying Agent); provided, that all transfers and exchanges must be effected in accordance with the Indenture. In the event that the Irish Paying Agent is replaced at any time during such period, notice of the appointment of any replacement will be published by an announcement to the Companies Announcement Office of the Irish Stock Exchange by the Irish Paying Agent.

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Interests in Global Notes, Class A-1a Notes and Certificated Subordinated Notes will be subject to certain restrictions on transfer set forth therein and in the Indenture and the Notes will bear the restrictive legend set forth under "Transfer Restrictions." The Secured Notes will be issued in minimum denominations of $500,000 and integral multiples of $1,000 in excess thereof. The Subordinated Notes will be issued in minimum denominations of $100,000 and integral multiples of $1,000 in excess thereof (or such lower amount as the Issuer may agree on a case-by-case basis). The Subordinated Notes The Subordinated Notes will be issued pursuant to the Indenture, but will not be secured obligations thereunder. The following summary, together with the preceding summary of certain principal terms of the Indenture, describes certain provisions of the Subordinated Notes, but does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Indenture. Status and Ranking. The Subordinated Notes will be fully subordinated to the Secured Notes and to the payment of all other amounts payable in accordance with the Priority of Payments. The Subordinated Notes will not be secured by the Assets or any pledge of the Assets but, under the terms of the Indenture, the Trustee will pay to the holders of the Subordinated Notes amounts available pursuant to the Priority of Payments. To the extent that following realization of the Assets, these amounts are insufficient to repay the principal amount of the Subordinated Notes or distributions thereon, no other funds will be available to make such payments. Distributions on the Subordinated Notes. The Stated Maturity of the Subordinated Notes will be March 14, 2022. To the extent funds are available for such purpose under the Indenture as described above, payments will be made to the holders of the Subordinated Notes on each Payment Date, commencing in September, 2007 and in connection with any redemption of the Subordinated Notes. Payments on the Subordinated Notes will be made to the person in whose name the Subordinated Note is registered on the applicable Record Date in the same manner as payments are made to the holders of the Secured Notes as described under "The Indenture and the Secured Notes Entitlement to Payments" and any unclaimed payments will be subject to the terms described under " The Indenture and the Secured NotesEntitlement to PaymentsPrescription." Mandatory Redemption. The Subordinated Notes will be fully redeemed on the Stated Maturity indicated in "Summary of TermsPrincipal Terms of the Offered Securities" unless previously redeemed as described herein. The average life of the Subordinated Notes is expected to be less than the number of years until their Stated Maturity. See "Risk FactorsRelating to the Offered SecuritiesThe Weighted Average Lives of the Notes May Vary." Optional Redemption. The Subordinated Notes will be redeemed by the Issuer, in whole but not in part, on any Payment Date on or after the date on which all of the Secured Notes have been redeemed or repaid, from the proceeds of the Assets remaining after giving effect to redemption or repayment of the Secured Notes and payment in full of all expenses of the Co-Issuers, at the direction of the holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes (which direction may be given in connection with a direction to redeem the Secured Notes or at any time after the Secured Notes have been redeemed or repaid in full). The Redemption Price payable to each holder of the Subordinated Notes will be its proportionate share of the proceeds of the Assets remaining after the payments described above. Clean-Up Call Redemption. The Subordinated Notes will be subject to Clean-Up Call Redemption as described under "The Indenture and the Secured NotesClean-Up Call Redemption." Any such redemption of Subordinated Notes will be made from any remaining proceeds after the payment

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of the required amounts described under "The Indenture and the Secured NotesClean-Up Call Redemption." Voting. Holders of the Subordinated Notes will have no voting rights except as set forth in the Indenture, the Portfolio Management Agreement or the other transaction documents, as described herein. The holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes will be able to direct an Optional Redemption of the Secured Notes and/or the Subordinated Notes pursuant to the Indenture, and to approve the issuance of additional Notes of any Class. In addition, the holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes will be able to approve the issuance of additional notes of one or more new classes. See "The Indenture and the Secured NotesThe IndentureAdditional Issuance" above. Cancellation. All Subordinated Notes that are redeemed and surrendered for cancellation will forthwith be canceled and may not be reissued or resold. The Issuer will not reissue or resell any such Subordinated Notes.

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RATINGS OF THE SECURED NOTES It is a condition of the issuance of the Offered Securities that the Secured Notes of each Class receive from each of Moody's and S&P (each, a "Rating Agency") the minimum rating indicated under "Summary of TermsPrincipal Terms of the Offered Securities." A security rating is not a recommendation to buy, sell or hold securities and is subject to withdrawal at any time. There is no assurance that a rating will remain for any given period of time or that a rating will not be lowered or withdrawn entirely by the assigning Rating Agency if in its judgment circumstances in the future so warrant. The ratings of the Secured Notes address the likelihood of full and ultimate payment to holders of the Secured Notes of all distributions of stated interest and the ultimate payment in full of the principal amount of each such Class not later than its respective Stated Maturity date. The ratings assigned to the Secured Notes of each Class by each Rating Agency are based upon its assessment of the probability that the Collateral Obligations will provide sufficient funds to pay the Secured Notes of such Class (based upon the Interest Rate and principal balance or face amount, as applicable, of such Class), based largely upon such Rating Agency's statistical analysis of historical default rates on debt securities with various ratings, the terms of the Indenture, the asset and interest coverage required for the Secured Notes (which is achieved through the subordination of the Subordinated Notes and certain Classes of Secured Notes as described herein), and the Portfolio Profile Tests and the Collateral Quality Test, each of which must be satisfied, maintained or improved in order to reinvest in additional Collateral Obligations. In addition to their respective quantitative tests, the ratings of each Rating Agency take into account qualitative features of a transaction, including the legal structure and the risks associated with such structure, such Rating Agency's view as to the quality of the participants in the transaction and other factors that it deems relevant.

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SECURITY FOR THE SECURED NOTES The "Assets" will consist of, and the Issuer will grant to the Trustee a perfected security interest for the benefit of the Secured Parties in: (a) the Collateral Obligations that the Issuer causes to be delivered to the Trustee (directly or through an intermediary or bailee) pursuant to the Indenture and all payments thereon or with respect thereto, and all Collateral Obligations which are delivered to the Trustee in the future pursuant to the terms of the Indenture and all payments thereon or with respect thereto; (b) the Issuer's interest in (i) the Payment Account, (ii) the Collection Account, (iii) the Ramp-Up Account, (iv) the Revolver Funding Account, (v) each Synthetic Security Issuer Account and Interest Rate Hedge Account (to the extent permitted under the related Synthetic Security or Interest Rate Hedge, respectively), (vi) the Expense Reserve Account, (vii) the Custodial Account, (viii) the Subordinated Note Collateral Revolver Funding Account, (ix) the Currency Account, (x) the Discounted Payment Account and (xi) each Securities Lending Account (subject to any senior liens created by the related Securities Lending Agreement), any Eligible Investments purchased with funds on deposit therein, and all income from the investment of funds therein; (c) the Issuer's rights under the Portfolio Management Agreement, the Hedge Agreements (provided, that there is no such grant to the Trustee on behalf of any Hedge Counterparty in respect of its related Hedge Agreement), the Collateral Administration Agreement, the Note Purchase Agreement, the Securities Lending Agreements and any documentation related to a Synthetic Security (to the extent permitted under the related Synthetic Security); (d) all cash or money delivered to the Trustee (or its bailee);

(e) all accounts, chattel paper, deposit accounts, financial assets, general intangibles, instruments, investment property, letter-of-credit rights and other supporting obligations relating to the foregoing; (f) any other property otherwise delivered to the Trustee by or on behalf of the Issuer (whether or not constituting Collateral Obligations or Eligible Investments); (g) the Issuer's rights in all assets owned by any ETB/897/Non-U.S. Obligation Subsidiary and the Issuer's rights under any agreement with any ETB/897/Non-U.S. Obligation Subsidiary; and (h) all proceeds with respect to the foregoing; provided, that such grants shall not include the $250 transaction fee paid to the Issuer in consideration of the issuance of the Notes, the funds attributable to the issue and allotment of the Issuer's ordinary shares and the CoIssuer's common shares or the bank account in the Cayman Islands in which such funds are deposited (or any interest thereon) (or any funds deposited or credited thereto). Collateral Obligations It is anticipated that the Issuer will have completed the purchase of (or be subject to binding agreements to purchase) at least 65% (by principal amount) of the initial portfolio on the Closing Date. It is expected (but there can be no assurance) that the Portfolio Profile Tests, the Collateral Quality Test and all of the Coverage Tests will be satisfied not later than the end of the Ramp-Up Period. The composition of the Collateral Obligations will change over time as a result of (i) the acquisition of additional Collateral Obligations during the Ramp-Up Period, (ii) scheduled and 72

unscheduled principal payments on the Collateral Obligations, and (iii) sales of Assets and reinvestment of Sale Proceeds and other Principal Proceeds during the Reinvestment Period, subject to the limitations described under "Sales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria" below. The Portfolio Profile Tests By the end of the Ramp-Up Period, and in connection with any reinvestment in additional Collateral Obligations, the Collateral Obligations in the aggregate are expected to comply with all of the requirements of the Portfolio Profile Tests set forth under "Summary of TermsPortfolio Profile Tests" or, if not in compliance at the time of reinvestment, the relevant requirements must be maintained or improved. Measurement of the degree of compliance with the Portfolio Profile Tests will be required on (i) any day on which a sale, a purchase or a default of a Collateral Obligation occurs, (ii) any Determination Date, (iii) the date as of which the information in any monthly report prepared under the Indenture is calculated, (iv) with five Business Days prior notice, any Business Day requested by either Rating Agency and (v) the last day of the Ramp-Up Period (each such date, a "Measurement Date"). See "Collateral Assumptions" below for a description of the assumptions applicable to the determination of satisfaction of the Portfolio Profile Tests. The Collateral Quality Test By the end of the Ramp-Up Period, and in connection with any reinvestment in additional Collateral Obligations, the Collateral Obligations in the aggregate are expected to comply with all of the requirements of the Collateral Quality Test set forth under "Summary of TermsCollateral Quality Test" or, if not in compliance at the time of reinvestment, the relevant requirements must be maintained or improved. Measurement of the degree of compliance with the Collateral Quality Test will be required on every Measurement Date. See "Collateral Assumptions" below for a description of the assumptions applicable to the determination of satisfaction of the Collateral Quality Test. Minimum Fixed Coupon Test. "Weighted Average Fixed Coupon" means, as of any date of determination, the number, expressed as a percentage, obtained by summing for each fixed rate Collateral Obligation (excluding Deferring Securities) the following product obtained with respect to each such Collateral Obligation (each result rounded up to the nearest 0.01%): The interest coupon of such Collateral Obligation X The principal balance of such Collateral Obligation

The aggregate principal balance of all fixed rate Collateral Obligations (excluding Deferring Obligations)

"Excess Weighted Average Floating Spread" means an amount equal as of any date of determination to: The aggregate principal balance of all floating rate Collateral Obligations The aggregate principal balance of all fixed rate Collateral Obligations

The excess, if any, of the Weighted Average Floating Spread over the Minimum Floating Spread

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Minimum Floating Spread Test. "Weighted Average Floating Spread" means, as of any date of determination, the number, expressed as a percentage, obtained by (X) summing the products obtained by (a) in the case of the funded portion of any floating rate Collateral Obligation (excluding Deferring Securities), multiplying the interest spread over LIBOR (including all applicable fees) of such Collateral Obligation by the outstanding principal amount of such Collateral Obligation and (b) in the case of the unfunded portion of any floating rate Collateral Obligation (excluding Deferring Securities) with respect to which Principal Proceeds have been deposited in the Revolver Funding Account in accordance with the Indenture, multiplying the applicable commitment fee rate (including all other fees) plus the corresponding Discounted Payment Spread (if any) by the undrawn commitments with respect to such Collateral Obligation that have not been irrevocably reduced and (Y) dividing such sum by the aggregate principal balance of all such floating rate Collateral Obligations (which amount, in the case of the unfunded portion of any floating rate Collateral Obligation (excluding Deferring Securities), shall only include amounts deposited in the Revolver Funding Account) and (Z) rounding the result up to the nearest 0.01%. For purposes of the foregoing, (1) LIBOR with respect to any floating rate Collateral Obligation that does not bear interest based on a spread over LIBOR shall be calculated in the same manner as it is calculated for payments on the Secured Notes and (2) LIBOR with respect to any floating rate Collateral Obligation that bears interest based on a spread over LIBOR shall be calculated in the same manner as it is calculated for payments on such Collateral Obligation. "Excess Weighted Average Fixed Coupon" means an amount equal as of any date of determination to: The aggregate principal balance of all fixed rate Collateral Obligations X The aggregate principal balance of all floating rate Collateral Obligations

The excess, if any, of the Weighted Average Fixed Coupon over the Minimum Fixed Coupon

Maximum Weighted Average Rating Factor Test. The "Weighted Average Rating Factor" is the number (rounded up to the nearest whole number) determined by: The principal balance of each Collateral Obligation (excluding Equity Securities) and each Eligible Investment representing Principal Proceeds received after the Closing Date The Moody's Rating Factor of such Collateral Obligation and Eligible Investment (as described below)

The outstanding principal balance of all such Collateral Obligations and Eligible Investments

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The "Moody's Rating Factor" relating to any Collateral Obligation is the number set forth in the table below opposite the Moody's Default Probability Rating (as described below) of such Collateral Obligation. Moody's Default Probability 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 Default Probability 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 Maximum Weighted Average Rating Factor Test, any Collateral Obligation issued or guaranteed by the United States government or any agency or instrumentality thereof and any Eligible Investment is assigned a Moody's Rating Factor of 1. For purposes of determining the Moody's Rating Factor of any Structured Finance Security, such Structured Finance Security shall be assigned a Moody's Rating Factor equal to (a) the product of (x) the Moody's Rating Factor of such Structured Finance Security based on the Moodys Rating of such Structured Finance Security and (y) 0.55 divided by (b) 1 minus the Moodys Recovery Rate of such Structured Finance Security. Moody's Diversity Test. For purposes of the "Moody's Diversity Test", the Diversity Score (the "Diversity Score") is a single number that indicates collateral concentration in terms of both issuer and industry concentration. A higher Diversity Score reflects a more diverse portfolio in terms of issuer and industry concentration. The Diversity Score is calculated as follows: (i) An "Issuer Par Amount" is calculated for each issuer of a Collateral Obligation, and is equal to the aggregate outstanding principal balance of all Collateral Obligations issued by that issuer and all affiliates. (ii) An "Average Par Amount" is calculated by summing the Issuer Par Amounts for all issuers, and dividing by the number of issuers. (iii) An "Equivalent Unit Score" is calculated for each issuer, and is equal to the lesser of (x) one and (y) the Issuer Par Amount for such issuer divided by the Average Par Amount. (iv) An "Aggregate Industry Equivalent Unit Score" is then calculated for each of the Moody's industry classification groups (as defined in the Indenture) and is equal to the sum of the Equivalent Unit Scores for each issuer in such industry classification group. (v) An "Industry Diversity Score" is then established for each Moody's industry classification group by reference to the following table for the related Aggregate Industry Equivalent Unit Score; provided, that if any Aggregate Industry Equivalent Unit Score falls between any two such scores, the applicable Industry Diversity Score will be the lower of the two Industry Diversity Scores:

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Aggregate Industry Equivalent Unit Score 0.0000 0.0500 0.1500 0.2500 0.3500 0.4500 0.5500 0.6500 0.7500 0.8500 0.9500 1.0500 1.1500 1.2500 1.3500 1.4500 1.5500 1.6500 1.7500 1.8500 1.9500 2.0500 2.1500 2.2500 2.3500 2.4500 2.5500 2.6500 2.7500 2.8500 2.9500 3.0500 3.1500 3.2500 3.3500 3.4500 3.5500 3.6500 3.7500 3.8500 3.9500 4.0500 4.1500 4.2500 4.3500 4.4500 4.5500 4.6500 4.7500 4.8500 4.9500

Industry Diversity Score 0.0000 0.1000 0.2000 0.3000 0.4000 0.5000 0.6000 0.7000 0.8000 0.9000 1.0000 1.0500 1.1000 1.1500 1.2000 1.2500 1.3000 1.3500 1.4000 1.4500 1.5000 1.5500 1.6000 1.6500 1.7000 1.7500 1.8000 1.8500 1.9000 1.9500 2.0000 2.0333 2.0667 2.1000 2.1333 2.1667 2.2000 2.2333 2.2667 2.3000 2.3333 2.3667 2.4000 2.4333 2.4667 2.5000 2.5333 2.5667 2.6000 2.6333 2.6667

Aggregate Industry Equivalent Unit Score 5.0500 5.1500 5.2500 5.3500 5.4500 5.5500 5.6500 5.7500 5.8500 5.9500 6.0500 6.1500 6.2500 6.3500 6.4500 6.5500 6.6500 6.7500 6.8500 6.9500 7.0500 7.1500 7.2500 7.3500 7.4500 7.5500 7.6500 7.7500 7.8500 7.9500 8.0500 8.1500 8.2500 8.3500 8.4500 8.5500 8.6500 8.7500 8.8500 8.9500 9.0500 9.1500 9.2500 9.3500 9.4500 9.5500 9.6500 9.7500 9.8500 9.9500 10.0500

Industry Diversity Score 2.7000 2.7333 2.7667 2.8000 2.8333 2.8667 2.9000 2.9333 2.9667 3.0000 3.0250 3.0500 3.0750 3.1000 3.1250 3.1500 3.1750 3.2000 3.2250 3.2500 3.2750 3.3000 3.3250 3.3500 3.3750 3.4000 3.4250 3.4500 3.4750 3.5000 3.5250 3.5500 3.5750 3.6000 3.6250 3.6500 3.6750 3.7000 3.7250 3.7500 3.7750 3.8000 3.8250 3.8500 3.8750 3.9000 3.9250 3.9500 3.9750 4.0000 4.0100

Aggregate Industry Equivalent Unit Score 10.1500 10.2500 10.3500 10.4500 10.5500 10.6500 10.7500 10.8500 10.9500 11.0500 11.1500 11.2500 11.3500 11.4500 11.5500 11.6500 11.7500 11.8500 11.9500 12.0500 12.1500 12.2500 12.3500 12.4500 12.5500 12.6500 12.7500 12.8500 12.9500 13.0500 13.1500 13.2500 13.3500 13.4500 13.5500 13.6500 13.7500 13.8500 13.9500 14.0500 14.1500 14.2500 14.3500 14.4500 14.5500 14.6500 14.7500 14.8500 14.9500 15.0500 15.1500

Industry Diversity Score 4.0200 4.0300 4.0400 4.0500 4.0600 4.0700 4.0800 4.0900 4.1000 4.1100 4.1200 4.1300 4.1400 4.1500 4.1600 4.1700 4.1800 4.1900 4.2000 4.2100 4.2200 4.2300 4.2400 4.2500 4.2600 4.2700 4.2800 4.2900 4.3000 4.3100 4.3200 4.3300 4.3400 4.3500 4.3600 4.3700 4.3800 4.3900 4.4000 4.4100 4.4200 4.4300 4.4400 4.4500 4.4600 4.4700 4.4800 4.4900 4.5000 4.5100 4.5200

Aggregate Industry Equivalent Unit Score 15.2500 15.3500 15.4500 15.5500 15.6500 15.7500 15.8500 15.9500 16.0500 16.1500 16.2500 16.3500 16.4500 16.5500 16.6500 16.7500 16.8500 16.9500 17.0500 17.1500 17.2500 17.3500 17.4500 17.5500 17.6500 17.7500 17.8500 17.9500 18.0500 18.1500 18.2500 18.3500 18.4500 18.5500 18.6500 18.7500 18.8500 18.9500 19.0500 19.1500 19.2500 19.3500 19.4500 19.5500 19.6500 19.7500 19.8500 19.9500

Industry Diversity Score 4.5300 4.5400 4.5500 4.5600 4.5700 4.5800 4.5900 4.6000 4.6100 4.6200 4.6300 4.6400 4.6500 4.6600 4.6700 4.6800 4.6900 4.7000 4.7100 4.7200 4.7300 4.7400 4.7500 4.7600 4.7700 4.7800 4.7900 4.8000 4.8100 4.8200 4.8300 4.8400 4.8500 4.8600 4.8700 4.8800 4.8900 4.9000 4.9100 4.9200 4.9300 4.9400 4.9500 4.9600 4.9700 4.9800 4.9900 5.0000

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(vi) The Diversity Score is then calculated by summing each of the Industry Diversity Scores for each Moody's industry classification group. For purposes of calculating the Diversity Score, affiliated issuers in the same industry are deemed to be a single issuer, except as otherwise agreed to by Moody's. In addition, Collateral Obligations consisting of collateralized loan obligations shall not be included for purposes of calculating the Diversity Score. S&P CDO Monitor Test. The S&P CDO Monitor Test will be satisfied on any date of determination following receipt by the Portfolio Manager and the Collateral Administrator of the S&P CDO Monitor if after giving effect to the sale of a Collateral Obligation or the purchase of a Collateral Obligation (or both), as the case may be, (i) either (x) the Class Loss Differential with respect to the Class A-1 Notes is positive or (y) the Class Loss Differential with respect to the Class A-1 Notes of the Proposed Portfolio is equal to or greater than the Class Loss Differential with respect to the Class A-1 Notes of the Current Portfolio, (ii) either (x) the Class Loss Differential with respect to the Class A-2 Notes is positive or (y) the Class Loss Differential with respect to the Class A-2 Notes of the Proposed Portfolio is equal to or greater than the Class Loss Differential with respect to the Class A-2 Notes of the Current Portfolio, (iii) either (x) the Class Loss Differential with respect to the Class B Notes is positive or (y) the Class Loss Differential with respect to the Class B Notes of the Proposed Portfolio is equal to or greater than the Class Loss Differential with respect to the Class B Notes of the Current Portfolio, (iv) either (x) the Class Loss Differential with respect to the Class C Notes is positive or (y) the Class Loss Differential with respect to the Class C Notes of the Proposed Portfolio is equal to or greater than the Class Loss Differential with respect to the Class C Notes of the Current Portfolio and (v) either (x) the Class Loss Differential with respect to the Class D Notes is positive or (y) the Class Loss Differential with respect to the Class D Notes of the Proposed Portfolio is equal to or greater than the Class Loss Differential with respect to the Class D Notes of the Current Portfolio; provided, that notwithstanding anything herein to the contrary, the determination of whether the S&P CDO Monitor Test has been maintained or improved will be ascertained according to instructions provided to the Issuer or the Portfolio Manager on behalf of the Issuer by S&P. In determining whether the S&P CDO Monitor Test is met, the S&P Rating on any Synthetic Security shall be the rating assigned to such Synthetic Security at the time of acquisition thereof by the Issuer and the related S&P Industry Classification Group shall be the same as that of the related Reference Obligation Compliance with the S&P CDO Monitor Test will be measured by the Portfolio Manager (or the Collateral Administrator, as specified by the Issuer) on each Measurement Date; provided, however, that on each Measurement Date after the Ramp-Up Period and after receipt by the Issuer of the S&P CDO Monitor, the Portfolio Manager shall be required to provide to The Bank of New York Trust Company, National Association, in its capacity as collateral administrator (the "Collateral Administrator") under the Collateral Administration Agreement among the Issuer, the Portfolio Manager and the Collateral Administrator (the "Collateral Administration Agreement"), a report on the portfolio of Collateral Obligations containing such information as shall be reasonably necessary to permit the Collateral Administrator to calculate each Class Loss Differential on such Measurement Date. In the event that the Portfolio Manager's measurement of compliance and the Collateral Administrator's measurement of compliance show different results, the Portfolio Manager and the Collateral Administrator shall be required to cooperate promptly in order to reconcile such discrepancy. There can be no assurance that actual defaults of the Collateral Obligations will not exceed those assumed in the application of the S&P CDO Monitor or that recovery rates with respect thereto will not differ from those assumed in the S&P CDO Monitor. None of the Portfolio Manager, the Initial Purchasers or the Co-Issuers makes any representation as to the expected rate of defaults of the Collateral Obligations or the timing of defaults or as to the expected recovery rate or the timing of recoveries.

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Minimum Weighted Average Moody's Recovery Rate Test. "Weighted Average Moody's Recovery Rate" means, as of any date of determination, the number, expressed as a percentage, obtained by (a) summing the product of (i) the Moody's Recovery Rate of each Collateral Obligation on such date and (ii) the principal balance of each such Collateral Obligation, (b) dividing such sum by the aggregate principal balance of all such Collateral Obligations and (c) rounding up to the first decimal place. "Moody's Recovery Rate" means, with respect to any loan, Bond or Synthetic Security, as of any date of determination, the recovery rate determined in accordance with the following, in the following order of priority: (a) if the loan, Bond or Synthetic Security (other than a Structured Finance Obligation or a Non-USD Obligation) has been specifically assigned a recovery rate by Moody's (for example, in connection with the assignment by Moody's of an estimated rating), such recovery rate; (b) if the preceding clause does not apply to the loan or Bond (other than a Structured Finance Obligation, a Non-USD Obligation or a DIP Collateral Obligation), as the case may be, and the loan is a Moody's Senior Secured Loan or a Moody's Non-Senior Secured Loan or, in the case of a Bond, the rate determined pursuant to the table below based on the number of rating subcategories difference between the loan's or Bond's Moody's Rating and its Moody's Default Probability Rating (for purposes of clarification, if the Moody's Rating is higher than the Moody's Default Probability Rating, the rating subcategories difference will be positive and if it is lower, negative): Number of Moody's Ratings Subcategories Difference Between the Moody's Rating and the Moody's Default Probability Rating +2 or more +1 0 Moody's Non-Senior Secured Loans 45.0% 42.5% 40.0%

Moody's Senior Secured Loans 60.0% 50.0% 45.0%

Bonds*

40.0% 35.0% 30.0%

1 40.0% 30.0% 15.0% -2 30.0% 15.0% 10.0% -3 or less 20.0% 10.0% 2.0% * The recovery rate for a subordinated Bond will be 15% if its Moody's Rating has been determined with reference to the definition of "Moody's Derived Rating." (c) if no recovery rate has been specifically assigned with respect to a loan pursuant to clause (a) above, and the loan is a DIP Collateral Obligation, 50%; (d) if the loan or Bond is a Structured Finance Obligation, the rate determined in accordance with Schedule 8 to the Indenture; or (e) if the loan or Bond is a Non-USD Obligation, 20%;

provided, that if a loan or Bond satisfies the criteria specified in more than one of clauses (c), (d) or (e) above, the Moody's Recovery Rate will be the lowest applicable recovery rate. Minimum Weighted Average S&P Recovery Rate Test. "Weighted Average S&P Recovery Rate" As of any date of determination, with respect to each Class of Notes then outstanding with a rating corresponding to the rating in the applicable tables below, the fraction (expressed as a percentage) obtained by (a) summing the products obtained by multiplying (i) 78

the principal balance of each Collateral Obligation by (ii) the S&P Recovery Rate as set forth in either the column corresponding to the rating of the relevant Class of Notes using the Tiered Recovery Rate Method table below or the column corresponding to the rating of the relevant Class of Notes using the Asset Assigned Recovery Rate Method table below, as applicable, (b) dividing such sum by the aggregate principal balance of all Collateral Obligations and (c) rounding up to the nearest hundredth of a percent. For purposes of determining the Weighted Average S&P Recovery Rate, the S&P Recovery Rate for all Collateral Obligations will be determined by using either the Tiered Recovery Rate Method tables or the Asset Assigned Recovery Rate Method tables only, as determined by the Portfolio Manager and communicated in writing to S&P prior to the Closing Date, and such method will continue to be used until the Stated Maturity; provided, however, that any other recovery rate proposed by the Portfolio Manager and consented to by S&P may be utilized on a case-by-case basis. The "Tiered Recovery Rate Method" means determining the Weighted Average S&P Recovery Rate by using the Tiered Recovery Rate Method tables. The "Asset Assigned Recovery Rate Method" means determining the Weighted Average S&P Recovery Rate by using the Asset Assigned Recovery Rate Method tables, except in the limited circumstances described below. Tiered Recovery Rate Method In the event that the Tiered Recovery Rate Method is chosen, the S&P Recovery Rate for Collateral Obligations will be determined using the Tiered Recovery Rate Method exclusively. US/Canada Tiered Recovery Rate Method Table (by Asset Class and CDO Liability Rating) (1)
CDO Liability Rating Asset Class Senior Secured Loans
(2)

AAA 56% 40% 22% 48% 38% 19%

(4) (4)

AA 60% 42% 22% 49% 41% 19%

(4) (4)

A 64% 44% 22% 50% 42% 19%

(4) (4)

BBB 67% 46% 22% 51% 44% 19%

(4) (4)

BB 70% 48% 22% 52% 45% 19%

(4) (4)

B and CCC 70% 48% 22% 52% 45% 19%

(4) (4)

Senior Unsecured Loans and Second Lien Loans(3) Subordinated Loans(3) Senior Secured Notes Senior Unsecured Notes Subordinated Bonds Synthetic Securities Structured Finance Obligations Non-U.S./Non-Canadian Obligors (if not covered by the European Tiered Recovery Rate Method Tables described below)

(4)

(4)

(4)

(4)

(4)

(4)

__________________
(1) (2) (3) (4)

Or, at the election of the Portfolio Manager, such higher rates as provided by S&P. DIP Collateral Obligations to be treated as Senior Secured Loans. In the case of second lien loans, the first 15% of the Collateral Principal Amount will be treated as senior unsecured loans and the excess over 15% as subordinated loans. As determined by S&P on a case-by-case basis.

If the Domicile of the obligor of a Collateral Obligation is located outside of the United States or Canada, but in Europe or South Africa, then the corresponding "European Tiered Recovery Rate Method Table" set forth below shall be utilized by selecting the appropriate country Group. With respect to any Collateral Obligation the obligor of which is Domiciled outside of the United States, Canada, Europe and South Africa, the Portfolio Manager shall consult with S&P to determine the appropriate S&P Recovery Rate of such Collateral Obligation.

79

European Tiered Recovery Rate Method Table (by Asset Class and CDO Liability Rating)
CDO liability rating Asset Class Senior Secured Loans Group A Group B Group C Mezz./second-lien/ Senior Unsecured Loans Group A Group B Group C Subordinated Loans Group A Group B Group C Senior Secured Notes Group A Group B Group C Senior Unsecured Notes Group A Group B Group C Subordinated Bonds Group A Group B Group C 18% 18% 15% 18% 18% 15% 18% 18% 15% 18% 18% 15% 18% 18% 15% 18% 18% 15% 40% 38% 32% 42% 41% 35% 44% 42% 36% 46% 44% 38% 48% 45% 39% 48% 45% 40% 60% 48% 43% 61% 49% 44% 62% 50% 45% 63% 51% 46% 64% 52% 47% 64% 52% 47% 20% 20% 17% 20% 20% 17% 20% 20% 17% 20% 20% 17% 20% 20% 17% 20% 20% 17% 45% 40% 35% 47% 42% 37% 50% 44% 39% 52% 46% 40% 54% 48% 42% 54% 48% 42% 68% 56% 48% 73% 60% 51% 78% 64% 55% 81% 67% 57% 85% 70% 60% 85% 70% 60% AAA AA A BBB BB B and CCC

Asset Assigned Recovery Rate Method In the event that the Asset Assigned Recovery Rate Method is chosen, the S&P Recovery Rate for Collateral Obligations will be determined by reference to the table below and a list of debt securities with asset-by-asset current recovery ratings (each such recovery rate, an "Asset Assigned Recovery Rating") listed on the S&P website at "www.bankloanrating.standardandpoors.com" or such other website address designated by S&P. For the avoidance of doubt, Asset Assigned Recovery Ratings are determined by reference to the rating of the security and without regard to its characterization as senior secured, senior unsecured, mezzanine or subordinated (or any other designation of seniority).

80

Asset Assigned Recovery Rate Method Table (by Asset Assigned Recovery Rating and CDO Liability Rating)
Asset Assigned Recovery Rating AAA 1+ 1 2 3 4 5 100% 92% 84% 60% 40% 16% AA 100% 93% 86% 63% 42% 17% CDO Liability Rating

A 100% 94% 88% 65% 44% 19%

BBB 100% 96% 90% 69% 46% 21%

BB 100% 98% 92% 72% 48% 23%

B and CCC 100% 100% 94% 74% 48% 24%

If the relevant Collateral Obligation has no Asset Assigned Recovery Rating from S&P, the S&P Recovery Rate of such Collateral Obligation shall be determined by reference to the "Tiered Recovery Rate Method" tables; provided that, if the Collateral Obligation is either a senior unsecured debt security or a subordinated debt security with no Asset Assigned Recovery Rating designated but the issuer of such Collateral Obligation has an Asset Assigned Recovery Rating on senior secured debt obligations issued by it, the S&P Recovery Rate for such Collateral Obligation shall be derived from the Asset Assigned Recovery Rating of such senior secured debt obligations by reference to the tables set forth below or such other table(s) as directed by S&P upon request by the Portfolio Manager; provided further, that, if on any date of determination a Collateral Obligation does not have an Asset Assigned Recovery Rating, if on such date of determination S&P provides an Asset Assigned Recovery Rating estimate service, the Portfolio Manager may request from S&P such an estimate for such Collateral Obligation and, upon receipt of such credit estimate, the S&P Recovery Rate for such Collateral Obligation shall be derived by reference to such estimate.

81

U.S. / Canada Asset Assigned Recovery Rate Method Table (by Asset Assigned Recovery Rating and CDO Liability Rating)
CDO Liability Rating AAA Asset Assigned Recovery Rating of Senior Secured Obligations 1+ 1 2 3 4 5 Asset Assigned Recovery Rating of Senior Secured Obligations AAA 1+ 1 2 3 4 5 25% 22% 20% 20% 10% 5% AA 25% 22% 20% 20% 10% 5% 53% 48% 43% 39% 20% 10% AA A BBB BB B and CCC

Mapped Senior Unsecured Debt Recovery Rate

55% 50% 45% 41% 20% 10%

57% 52% 47% 43% 20% 10%

59% 54% 49% 45% 20% 10%

61% 56% 51% 47% 20% 10%

61% 56% 51% 47% 20% 10%

Mapped Subordinated Debt Recovery Rate

A 25% 22% 20% 20% 10% 5%

BBB 25% 22% 20% 20% 10% 5%

BB 25% 22% 20% 20% 10% 5%

B and CCC 25% 22% 20% 20% 10% 5%

If the domicile of the obligor of a Collateral Obligation is located outside of the United States or Canada, but in Europe or South Africa, then the corresponding "European Asset Assigned Recovery Rate Table" shall be utilized by selecting the appropriate country Group. If an obligor having a "Senior Secured Obligation" would be covered by an Asset Assigned Recovery Rate Method Table but for the domicile of such obligor, then the Portfolio Manager shall consult with S&P to determine the appropriate S&P Recovery Rate of such Collateral Obligation.

82

European Group A Asset Assigned Recovery Rate Method Table (by Asset Assigned Recovery Rating and CDO Liability Rating)
CDO Liability Rating AAA Asset Assigned Recovery Rating of Senior Secured Obligations 1+ 1 2 3 4 5 Asset Assigned Recovery Rating of Senior Secured Obligations 1+ 1 2 3 4 5 22% 20% 18% 18% 9% 4% 22% 20% 18% 18% 9% 4% 65% 57% 50% 42% 18% 8% AA A BBB BB B and CCC

Mezz./second-lien/Senior Unsecured Loans

68% 60% 53% 45% 18% 8%

71% 63% 55% 47% 18% 8%

73% 65% 57% 49% 18% 8%

76% 68% 59% 51% 18% 8%

76% 68% 59% 51% 18% 8%

Subordinated Loans

22% 20% 18% 18% 9% 4%

22% 20% 18% 18% 9% 4%

22% 20% 18% 18% 9% 4%

22% 20% 18% 18% 9% 4%

83

European Group B Asset Assigned Recovery Rate Method Table (by Asset Assigned Recovery Rating and CDO Liability Rating)
CDO Liability Rating AAA Asset Assigned Recovery Rating of Senior Secured Obligations 1+ 1 2 3 4 5 Asset Assigned Recovery Rating of Senior Secured Obligations 1+ 1 2 3 4 5 22% 20% 18% 18% 9% 4% 22% 20% 18% 18% 9% 4% 53% 48% 43% 39% 18% 8% AA A BBB BB B and CCC

Mezz./second-lien/Senior Unsecured Loans

55% 50% 45% 41% 18% 8%

57% 52% 47% 43% 18% 8%

59% 54% 49% 45% 18% 8%

61% 56% 51% 47% 18% 8%

61% 56% 51% 47% 18% 8%

Subordinated Loans

22% 20% 18% 18% 9% 4%

22% 20% 18% 18% 9% 4%

22% 20% 18% 18% 9% 4%

22% 20% 18% 18% 9% 4%

84

European Group C Asset Assigned Recovery Rate Method Table (by Asset Assigned Recovery Rating and CDO Liability Rating)
CDO Liability Rating AAA Asset Assigned Recovery Rating of Senior Secured Obligations 1+ 1 2 3 4 5 Asset Assigned Recovery Rating of Senior Secured Obligations 1+ 1 2 3 4 5 20% 17% 15% 15% 8% 3% 20% 17% 15% 15% 8% 3% 45% 41% 37% 33% 16% 6% AA A BBB BB B and CCC

Mezz./second-lien/Senior Unsecured Loans

46% 43% 39% 36% 16% 6%

48% 44% 41% 37% 16% 6%

49% 46% 42% 39% 16% 6%

51% 47% 44% 40% 16% 6%

51% 48% 44% 41% 16% 6%

Subordinated Loans

20% 17% 15% 15% 8% 3%

20% 17% 15% 15% 8% 3%

20% 17% 15% 15% 8% 3%

20% 17% 15% 15% 8% 3%

Assignments of or Participation Interests in loans that are secured by the pledge of collateral but which do not have the most senior pre-petition priority (including pari passu with other obligations of the obligor) in any bankruptcy, reorganization, arrangement, insolvency, moratorium or liquidation proceedings having an aggregate principal balance of up to 15% of the Collateral Principal Amount will be assigned the recovery rate applicable to senior unsecured loans using the relevant method described above, and all remaining loans described in this paragraph will be assigned the recovery rate applicable to subordinated loans using the relevant method described above. "Minimum Weighted Average S&P Recovery Rate Test": For each Class of Secured Notes then outstanding, a test that will be satisfied as of any Measurement Date if the Weighted Average S&P Recovery Rate equals or exceeds the S&P Recovery Rate determined by reference to the S&P Test Matrix based upon the applicable "row/column combination" chosen by the Portfolio Manager.

85

Weighted Average Maturity Test. The "Portfolio Weighted Average Maturity" is, as of any date of determination, the date calculated by adding to the Closing Date the weighted average maturity of the Collateral Obligations (expressed as a number of months from the Closing Date) calculated by (a) summing the products obtained by multiplying (i) each of (A) the principal balance (or portion thereof) of each Collateral Obligation that is then held (or in relation to a proposed purchase of a Collateral Obligation, proposed to be held) by the Issuer and that matures or amortizes on any date subsequent to such date of determination, and (B) if the outstanding aggregate principal balance of the Collateral Obligations on such date of determination is less than the initial aggregate principal balance of the Collateral Obligations at the end of the Ramp-Up Period, the difference between such initial aggregate principal balance and such outstanding aggregate principal balance by (ii) the number of months from the Closing Date to the date of such maturity or amortization (in the case of clause (i)(A)) or to such date of determination (in the case of clause (i)(B)) and (b) dividing such sum by the aggregate principal balance used in (a)(i) above. With respect to Structured Finance Obligations, for purposes of this definition, projections of payment amounts and dates prepared by the Portfolio Manager shall be deemed to be the scheduled payments for such obligations. Collateral Assumptions Unless otherwise specified, the assumptions described in this section will be applied to the determination of the Portfolio Profile Tests, the Collateral Quality Test and the Coverage Tests. For purposes of calculating all Portfolio Profile Tests, in both the numerator and the denominator of any component of the Portfolio Profile Tests, Defaulted Obligations will be treated as having a principal balance equal to zero except that, for purposes of calculating the denominator of clause (iii) of the Portfolio Profile Tests, the Collateral Principal Amount will include the principal balance of all Defaulted Obligations. For purposes of calculating compliance with the Investment Criteria, upon the direction of the Portfolio Manager by notice to the Trustee and the Collateral Administrator, any Eligible Investment representing Principal Proceeds received upon the maturity, redemption, sale or other disposition of a Collateral Obligation shall be deemed to have the characteristics of such Collateral Obligation until reinvested in an additional Collateral Obligation. Such calculations shall be based upon the principal amount of such Collateral Obligation, except in the case of Defaulted Obligations and Credit Risk Obligations, in which case the calculations will be based upon the Principal Proceeds received on the disposition or sale of such Defaulted Obligation or Credit Risk Obligation. For all purposes (including calculation of the Coverage Tests), the principal balance of a Revolving Collateral Obligation or a Delayed Drawdown Collateral Obligation will include all unfunded commitments that have not been irrevocably reduced or withdrawn. For purposes of calculating the sale proceeds of a Collateral Obligation in purchase and sale transactions, sales proceeds will include any Principal Financed Accrued Interest received in respect of such sale. For purposes of calculating the Coverage Tests, except as otherwise specified in the Coverage Tests, such calculations will not include scheduled interest and principal payments on Defaulted Obligations or payments (including under any Hedge Agreement) as to which the Portfolio Manager or the Issuer has actual knowledge that such payments will not be made unless or until such payments are actually made. For each Collection Period and as of any date of determination, the scheduled payment of principal and/or interest on any pledged obligation (other than a Defaulted Obligation, which, except as otherwise provided herein, shall be assumed to have scheduled distributions of zero) shall be the sum of (i) the total amount of payments and collections to be received during such Collection Period in respect of 86

such pledged obligation (including the proceeds of the sale of such pledged obligation received and, in the case of sales which have not yet settled, to be received during the Collection Period and not reinvested in additional Collateral Obligations or Eligible Investments or retained in the Collection Account for subsequent reinvestment) that, if paid as scheduled, will be available in the Collection Account at the end of the Collection Period and (ii) any such amounts received in prior Collection Periods that were not disbursed on a previous Payment Date. Each scheduled payment of principal and/or interest receivable with respect to a Collateral Obligation shall be assumed to be received on the applicable due date thereof, and each such scheduled payment of principal and/or interest shall be assumed to be immediately deposited in the Collection Account or the Currency Account, as applicable, to earn interest at the Assumed Reinvestment Rate. All such funds shall be assumed to continue to earn interest until the date on which they are required to be available in the Collection Account for application, in accordance with the terms of the Indenture, to payments of principal of or interest on the Notes or other amounts payable pursuant to the Indenture. For all purposes under the Indenture, a Synthetic Security (i) will be treated as having the S&P industry classification, Moody's industry classification and geographic location of the issuer of the Reference Obligation; (ii) will be treated as being an obligation of the issuer of the Reference Obligation for purposes of clause (xv) of the definition of "Portfolio Profile Tests"; (iii) (a) in the case of Moody's and any Form Approved Synthetic Security, will be treated as having (x) a Moody's Rating Factor equal to the Moody's Rating Factor of the related Reference Obligation and (y) the Moody's Recovery Rate assigned to the related Reference Obligation, unless otherwise determined by Moody's (b) in the case of Moody's and any other type of Synthetic Security, will be treated as having a Moody's Rating Factor and a Moody's Recovery Rate as determined by Moody's and (c) in the case of S&P and any Synthetic Security, will be treated as having a recovery rate under the definition of "Weighted Average S&P Recovery Rate" equal to that of the related Reference Obligation, unless otherwise determined by S&P; (iv) will be treated as having the interest rate and other payment characteristics, Stated Maturity and tax characteristics of such Synthetic Security; (v) will be treated as having a Moody's Rating and Moody's Default Probability Rating equal to the rating in the "Moody's Default Probability Rating" column included in the definition of "Moody's Rating Factor" opposite the Moody's Rating Factor of such Synthetic Security determined in accordance with clause (iii) above (for such purpose, such Moody's Rating Factor shall be rounded to the nearest whole number included in the "Moody's Rating Factor" column); and (vi) will be treated as a bank loan for the purposes of the definition of "Discount Obligation" if its Moody's Recovery Rate is greater than or equal to 40%. If a Collateral Obligation included in the Assets would be deemed a Current Pay Obligation but for the applicable percentage limitation in the definition thereof, the Portfolio Manager may determine in its sole discretion which such Current Pay Obligations will be deemed Defaulted Obligations. Each such Collateral Obligation will be treated as a Defaulted Obligation for all purposes until such time as the aggregate principal balance of Current Pay Obligations would not exceed, on a pro forma basis including such Defaulted Obligation, the applicable percentage of the Collateral Principal Amount. References under "Summary of TermsPriority of Payments" to calculations made on a "pro forma basis" shall mean such calculations after giving effect to all payments, in accordance with the priority of payments described herein, that precede (in priority of payment) or include the clause in which such calculation is made. Except as otherwise provided herein, Defaulted Obligations will not be included in the calculation of the Collateral Quality Test, except with respect to the calculation of the S&P CDO Monitor Test. For purposes of the Fee Basis Amount, the Collateral Quality Tests, the Portfolio Profile Tests and the Coverage Tests and for purposes of certain provisions of the Indenture with respect to sale of Collateral Obligations, a Collateral Obligation which is a Non-USD Obligation will be treated as a Collateral Obligation (i) having a principal balance equal to the USD Notional Amount of the related Currency Hedge Transaction, (ii) a spread equal to the sum of (a) the spread payable by the Hedge Counterparty pursuant to the related Currency Hedge Transaction and (b) the product of (x) one minus 87

the Unhedged Reduction Percentage (expressed as a decimal) and (y) the Unhedged Interest Spread and (iii) the other characteristics of the Non-USD Obligation. For purposes of the foregoing sentence, the "Unhedged Reduction Percentage" is 65% and "Unhedged Interest Spread" means the excess, if any, of the interest rate payable pursuant to a Non-USD Obligation less the interest rate payable by the Issuer pursuant to the related Currency Hedge Transaction. For purposes of calculating the Collateral Quality Test, DIP Collateral Obligations will be treated as having an S&P recovery rate equal to the recovery rate for Senior Secured Loans set forth in the definition of "Weighted Average S&P Recovery Rate". For purposes of calculating compliance with the Investment Criteria, at the election of the Portfolio Manager in its sole discretion, any proposed investment may be evaluated after giving effect to all sales and reinvestments proposed to be entered into within the three Business Days following the date of determination of such compliance. For purposes of calculating clauses (v) and (vi) of the Portfolio Profile Tests, without duplication, the amounts on deposit in the Collection Account, the Currency Account and the Ramp-Up Account (including Eligible Investments therein) representing Principal Proceeds and, from and after a default under a Securities Lending Agreement, amounts on deposit in the related Securities Lending Account (including Eligible Investments therein) and the Aggregate Undrawn Amount of the Class A-1a Notes shall each be deemed to be a floating rate Collateral Obligation that is a Senior Secured Loan. For all purposes of the Indenture, a Collateral Obligation lent pursuant to a Securities Lending Agreement will be treated as a Collateral Obligation, including for purposes of determining the Fee Basis Amount, compliance with the Portfolio Profile Tests, the Collateral Quality Test and the Coverage Tests and for purposes of the definitions of Interest Proceeds and Principal Proceeds, unless and until a default occurs and is continuing under the applicable Securities Lending Agreement. Upon a default under the related Securities Lending Agreement, such Collateral Obligation will cease to be treated as a Collateral Obligation and in lieu thereof, amounts held in the applicable Securities Lending Account will be treated as Eligible Investments (whether or not such amounts satisfy the definition of "Eligible Investment"), characterized as Principal Proceeds for all purposes unless and until such loaned Collateral Obligation is delivered to the Issuer. All monetary calculations under the Indenture will be in U.S. Dollars. For purposes of the Indenture, calculations with respect to all amounts received or required to be paid in a currency other than U.S. Dollars shall be made on a "pro forma basis" after giving effect to the conversion of all such amounts into U.S. Dollars, as of the date of such calculation, either (x) pursuant to the applicable Currency Hedge Transaction if such amounts are covered by a Currency Hedge Transaction, (y) in a transaction at the Applicable Spot Market Exchange Rate if such amounts are not hedged pursuant to a Currency Hedge Transaction and such amounts are actually converted on the date of determination or (z) in any other case, using the Bloomberg Professional Service or a reasonably equivalent service provided by Bloomberg L.P. For purposes of all calculations under the Indenture and the Portfolio Management Agreement, assets held by any Non-U.S. Obligation Subsidiary will be treated as assets of the Issuer. The Coverage Tests See "Collateral Assumptions" above for a description of the assumptions applicable to the determination of satisfaction of the Coverage Tests. With respect to each Coverage Test, the levels specified in "Summary of TermsCoverage Tests" that are expected to exist at the end of the Ramp-Up Period are based on a proposed portfolio of Collateral Obligations that the Issuer intends to acquire. No assurance can be given that such proposed portfolio will be acquired. To the extent that the Issuer does not, for any reason, acquire such proposed 88

portfolio, the actual levels of such Coverage Tests at the end of the Ramp-Up Period may be lower than the expected levels specified in "Summary of TermsCoverage Tests." Overcollateralization Ratio. See "Summary of TermsCoverage Tests" for a description of the calculation of the Overcollateralization Ratio. Interest Coverage Ratio. See "Summary of TermsCoverage Tests" for a description of the calculation of the Interest Coverage Ratio. Sales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria Subject to the other requirements set forth in the Indenture; and provided, that no Event of Default has occurred and is continuing (except for a sale pursuant to clauses (a), (c), (d), (e) and (g) below), the Portfolio Manager on behalf of the Issuer may in writing direct the Trustee to sell and the Trustee shall sell in the manner directed by the Portfolio Manager any Collateral Obligation or Equity Security if such sale meets any one of the following requirements: (a) The Portfolio Manager may direct the Trustee to sell any Credit Risk Obligation at any time without restriction; (b) either: (i) at any time if (A) the Sale Proceeds from such sale are at least equal to the Investment Criteria Adjusted Balance of such Credit Improved Obligation, or (B) the Overcollateralization Ratio Threshold Test is satisfied; or (ii) during the Reinvestment Period if the Portfolio Manager reasonably believes prior to such sale that either (A) after such sale and subsequent reinvestment of the proceeds of such sale, the Overcollateralization Ratio Threshold Test will be satisfied, or (B) it will be able to enter into binding commitments to reinvest all or a portion of the proceeds of such sale, in compliance with the Investment Criteria, in one or more additional Collateral Obligations with an aggregate principal balance at least equal to the Investment Criteria Adjusted Balance of such Credit Improved Obligation within twenty Business Days of such sale; (c) The Portfolio Manager may direct the Trustee to sell any Defaulted Obligation at any time during or after the Reinvestment Period without restriction; provided, that the Portfolio Manager shall use its commercially reasonable efforts to effect the sale of any Defaulted Obligation within three years (unless otherwise acceptable to the Rating Agencies) after it becomes a Defaulted Obligation, regardless of price; (d) The Portfolio Manager may direct the Trustee to sell any Equity Security or any asset held by any ETB Subsidiary or any 897 Subsidiary at any time during or after the Reinvestment Period without restriction, and shall use its commercially reasonable efforts to effect the sale of any Equity Security (not including any Defaulted Obligation or any Equity Security held by any ETB Subsidiary or any 897 Subsidiary), regardless of price: (i) within twenty Business Days of receipt in the case of Equity Securities received on the exercise of a conversion option relating to any Collateral Obligation (or within three years of receipt (unless otherwise acceptable to the Rating Agencies), if such Equity Security is (A) received upon the conversion of a Defaulted Obligation, or (B) received in an exchange initiated by the obligor to avoid bankruptcy); (ii) within 45 days of receipt if such Equity Security constitutes Margin Stock other than a Subordinated Note Collateral Obligation, unless such sale is prohibited by applicable law, 89 The Portfolio Manager may direct the Trustee to sell any Credit Improved Obligation

in which case such Equity Security shall be sold as soon as such sale is permitted by applicable law; (iii) within 18 months of receipt or of such security becoming an Equity Security, if neither (i) nor (ii) above applies (unless such sale is prohibited by applicable law); (e) After the Issuer has notified the Trustee of an Optional Redemption of the Notes or a Clean-Up Call Redemption and all requirements set forth in the Indenture are met, the Portfolio Manager shall direct the Trustee to sell (which sale may be through participation) all or a portion of the Collateral Obligations; or (f) The Portfolio Manager may direct the Trustee to sell any Collateral Obligation at any time other than a Restricted Trading Period if (i) after giving effect to such sale, the aggregate principal balance of all Collateral Obligations sold as described in this paragraph during the same calendar year is not greater than 20% of the Collateral Principal Amount as of the beginning of such calendar year (or, in the case of the year 2007, $85,000,000); and (ii) either: (A) during or after the Reinvestment Period, the Sale Proceeds from such sale are at least equal to the Investment Criteria Adjusted Balance of such Collateral Obligation, or (B) during the Reinvestment Period, the Portfolio Manager reasonably believes prior to such sale that it will be able to enter into binding commitments to reinvest all or a portion of the proceeds of such sale, in compliance with the Investment Criteria, in one or more additional Collateral Obligations with an aggregate principal balance at least equal to the Investment Criteria Adjusted Balance of such Collateral Obligation within twenty Business Days of such sale. (g) The Portfolio Manager shall use its commercially reasonable efforts to effect the sale (regardless of price) of any Collateral Obligation that (i) no longer meets the criteria described in clause (viii) or (x) of the definition of "Collateral Obligation", within 18 months of the failure of such Collateral Obligation to meet any such criteria (unless the Global Rating Agency Condition is satisfied) and (ii) no longer meets the criteria described in clause (vi) or (vii) of the definition of "Collateral Obligation" within 45 days of the failure of such Collateral Obligation to meet either such criteria. (h) The Portfolio Manager on behalf of the Issuer may direct the Trustee to sell Collateral Obligations that are Non-USD Obligations from time to time in accordance with the requirements of the Indenture; provided, however, that (A) the Portfolio Manager, on behalf of the Issuer, shall sell or terminate the Currency Hedge Transaction related thereto on market terms on or about the date of such sale (except as otherwise described under "Hedge AgreementsCurrency Hedge Transactions"), (B)(x) any Currency Hedge Termination Payments payable by the Issuer to the Hedge Counterparty as a result of such termination shall be paid out of the Sale Proceeds of the sale of such Non-USD Obligation and (y) if such Sale Proceeds are not enough to pay such Currency Hedge Termination Payments, then the remaining Currency Hedge Termination Payments shall be paid from the Currency Account and (C) any Currency Hedge Termination Receipts payable by the Hedge Counterparty to the Issuer as a result of such termination shall constitute part of the Sale Proceeds of the sale of such Non-USD Obligation. On any date during the Reinvestment Period, the Portfolio Manager on behalf of the Issuer is authorized to direct the Trustee to effect an exchange of any Sale Proceeds representing Principal Proceeds and other Principal Proceeds received in respect of any Non-USD Obligation and any Currency Hedge Termination Receipts into U.S. Dollars or a Permitted Currency, as applicable, pursuant to a Permitted Currency Exchange at the Applicable Spot Market Exchange Rate, to the extent that such amounts are not payable to any Hedge Counterparty and are to be reinvested in additional Collateral Obligations denominated in such currency. Notwithstanding the other requirements set forth in the Indenture and described above, the Issuer shall have the right to effect the sale of any pledged obligation or purchase of any Collateral Obligation (provided, in the case of a purchase of a Collateral Obligation, such purchase must comply with the applicable tax requirements set forth in the Indenture) (x) that has been consented to by holders of Notes evidencing 75% 90

of the aggregate outstanding principal amount of each Class of Notes and (y) of which each Rating Agency and the Trustee has been notified. Investment Criteria. On any date during the Reinvestment Period (and after the Reinvestment Period, subject to certain limitations described below, with respect to Principal Proceeds received from Prepaid Collateral Obligations), pursuant to and subject to the other requirements of the Indenture the Portfolio Manager may, but will not be required to, direct the Trustee to invest Principal Proceeds (together with accrued interest received with respect to any Collateral Obligation to the extent used to pay for accrued interest on additional Collateral Obligations) in additional Collateral Obligations (including acquisition of additional Collateral Obligations through any Non-U.S. Obligation Subsidiary by lending funds to such entity to purchase Collateral Obligations as permitted by the Indenture). Such proceeds may be used to purchase additional Collateral Obligations subject to the requirement that each of the following conditions are satisfied as of the date the Portfolio Manager commits on behalf of the Issuer to make such purchase, in each case after giving effect to such purchase and all other sales or purchases previously or simultaneously committed to; provided, that the conditions set forth in clauses (d) through (f) below need only be satisfied with respect to purchases of Collateral Obligations occurring after the end of the RampUp Period (the "Investment Criteria"): (a) such obligation is a Collateral Obligation;

(b) such obligation is not as of such date a Credit Risk Obligation as determined by the Portfolio Manager; (c) such obligation is not convertible into or exchangeable for Equity Securities, or attached with a warrant to purchase Equity Securities, unless (A) the value of such conversion option, exchange option or warrant is not, in the reasonable commercial judgment of the Portfolio Manager, a significant portion of the purchase price (it being understood that the value of such conversion option, exchange option or warrant exceeding 2% of the purchase price will be deemed to be a significant portion, unless such portion that exceeds 2% of the purchase price is acquired using Interest Proceeds reasonably expected by the Portfolio Manager to remain after all interest payments have been made on the Notes in accordance with the Priority of Payments on the succeeding Payment Date) and (B) such obligation is convertible into or exchangeable for Equity Securities only at the option of the Issuer, unless such exchange is an exchange of a unit security; (d) (A) each Coverage Test will be satisfied, or if not satisfied such Coverage Test will be maintained or improved and (B) if each Coverage Test is not satisfied, the proceeds of any sale of a Defaulted Obligation will not be reinvested in additional Collateral Obligations; (e) (A) in the case of an additional Collateral Obligation purchased with the proceeds from the sale of a Credit Risk Obligation or a Defaulted Obligation, either (1) the aggregate principal balance of all additional Collateral Obligations purchased with the proceeds from such sale will at least equal the Sale Proceeds from such sale (less any Currency Hedge Termination Payment associated with any related Currency Hedge Transaction), (2) the aggregate principal balance of the Collateral Obligations will be maintained or increased, or (3) the Overcollateralization Ratio Threshold Test is satisfied, (B) in the case of any other purchase of additional Collateral Obligations (other than Collateral Obligations purchased with the proceeds from the sale of Non-USD Obligations), either (1) the aggregate principal balance of the Collateral Obligations will be maintained or increased, or (2) the Overcollateralization Ratio Threshold Test is satisfied and (C) in the case of any purchase of additional Collateral Obligations purchased with the proceeds from the sale of Non-USD Obligations not covered under clause (A) above, either (1) the aggregate principal balance of the additional Collateral Obligations purchased with the proceeds from such sale will at least equal the aggregate principal balance of the Non-USD Obligations sold or (2) the Overcollateralization Ratio Threshold Test is satisfied; and 91

(f) either (A) each requirement or test, as the case may be, of the Portfolio Profile Tests and the Collateral Quality Test will be satisfied or (B) if any such requirement or test was not satisfied immediately prior to such reinvestment, such requirement or test will be maintained or improved after giving effect to the reinvestment. The Issuer, at the direction of the Portfolio Manager, may from time to time purchase Non-USD Obligations (directly or through a Non-U.S. Obligation Subsidiary) in accordance with the foregoing requirements; provided, that on or promptly after the date of each such purchase, the Issuer, at the direction of the Portfolio Manager, shall enter into one or more Currency Hedge Transactions (or maintain one or more existing Currency Hedge Transactions in respect of the related Permitted Currency covering such Non-USD Obligation as permitted in "Security for the Secured NotesHedge Agreements Currency Hedge Transactions") that satisfies the Currency Hedge Requirements with respect to such Non-USD Obligation. Any Non-USD Obligation so purchased will constitute a Collateral Obligation that satisfies the Investment Criteria only if the Issuer enters into one or more such Currency Hedge Transactions that satisfies the Currency Hedge Requirements with respect to such Non-USD Obligation at or promptly after such purchase. The costs (if any) of the entry into each Currency Hedge Transaction in connection with the purchase of a Non-USD Obligation will be paid out of Principal Proceeds and shall be considered part of the purchase price of the related Non-USD Obligation. Following the sale of any Credit Improved Obligation or any discretionary sale of a Collateral Obligation, the Portfolio Manager shall use its reasonable efforts to purchase additional Collateral Obligations within 20 Business Days after such sale or reserve the proceeds of such sale to be used to prepay the Class A-1a Notes on the next Payment Date. Investment After the Reinvestment Period. After the Reinvestment Period and within 20 days of receipt, the Portfolio Manager may, but shall not be required to, invest Principal Proceeds received with respect to a Prepaid Collateral Obligation in Collateral Obligations having a par value at least equal to the par value of the Prepaid Collateral Obligation; provided, that the Portfolio Manager may not reinvest such Principal Proceeds unless the Portfolio Manager reasonably believes that, after giving effect to any such reinvestment (i) the Maximum Weighted Average Rating Factor Test will be satisfied, (ii) the Moody's rating of the Class A-1a Notes and the Class A-1b Notes is not one or more sub-categories below its initial rating thereof; (iii) the Moody's rating of any of the Class A-2 Notes, the Class B Notes or the Class C Notes is not two or more subcategories below its initial rating thereof, (iv) the Class D Coverage Test will be satisfied, (v) the additional Collateral Obligations purchased will have (x) the same or higher S&P Ratings and (y) the same or earlier scheduled maturity, as such Prepaid Collateral Obligation and (vi) clause (xvi)(a) of the Portfolio Profile Test will be satisfied. The Collection and Payment Accounts All distributions on the Collateral Obligations and any proceeds received from the disposition of any Collateral Obligations will be remitted to a single, segregated trust account held in the name of the Issuer (the "Collection Account") and subject to the lien of the Trustee for the benefit of the Secured Parties, and will be available, together with reinvestment earnings thereon, for application to the payment of the amounts set forth under "Summary of TermsPriority of Payments" and for the acquisition of additional Collateral Obligations under the circumstances and pursuant to the requirements described herein and in the Indenture. Three segregated subaccounts will be established within the Collection Account, one of which will be designated the "Interest Collection Subaccount", one of which will be designated the "Principal Collection Subaccount" and one of which will be designated the "Subordinated Note Collateral Obligation Subaccount". All Interest Proceeds received by the Trustee after the Closing Date (except for income earned on amounts deposited in the Ramp-Up Account and certain subaccounts of the Revolver Funding Account) will be deposited in the Interest Collection Subaccount. All other amounts remitted to the Collection Account will be deposited in the Principal 92

Collection Subaccount, other than Principal Proceeds received from Subordinated Note Collateral Obligations, which will be deposited in the Subordinated Note Collateral Obligation Subaccount. The Portfolio Manager on behalf of the Issuer may direct the Trustee to pay from amounts on deposit in the Collection Account on any Business Day during any Interest Accrual Period (i) any amount required to exercise a warrant held in the Assets or right to acquire securities (including any warrant or right held by any Non-U.S. Obligation Subsidiary) held in the Assets in accordance with the requirements of "Security for the Secured NotesSales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria" and (ii) from Interest Proceeds only, any Administrative Expenses; provided, that the aggregate Administrative Expenses paid during any Collection Period shall not exceed the Administrative Expense Cap for the related Payment Date. In addition, the Portfolio Manager on behalf of the Issuer may direct the Trustee to pay from the Principal Collection Subaccount amounts required to meet funding requirements with respect to Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations. In addition, the Portfolio Manager on behalf of the Issuer may direct the Trustee to pay from amounts on deposit in the Collection Account on any Business Day during any Interest Accrual Period, in the event that the Currency Account does not have sufficient funds to pay any unpaid amounts to any Hedge Counterparty, but after payments thereof from such funds available in the Currency Account, or in the event that amounts in the Collection Account are required to pay any Currency Hedge Termination Payments as described under "Sales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria" and "Hedge Agreements", as follows: (i) from Principal Proceeds only, any unpaid amount of any Currency Hedge Principal Exchange Payments and any Currency Hedge Termination Payments, (ii) from Interest Proceeds only, any unpaid amount of any Scheduled Periodic Currency Hedge Payment thereunder, and (iii), if such Principal Proceeds amounts under clause (i) above do not satisfy such unpaid amount thereunder, then such unpaid amount from Interest Proceeds or, if such Interest Proceeds amounts under clause (ii) above do not satisfy such unpaid amount thereunder, then such unpaid amount from Principal Proceeds; provided, however, that Interest Proceeds payable to any Hedge Counterparty pursuant to clauses (ii) and (iii) above will not be paid if Interest Proceeds in the Interest Collection Subaccount are not expected to be enough to cover all interest payments with respect thereto on the Class A Notes after giving effect to the foregoing payments. Amounts received in the Collection Account during a Collection Period will be invested in Eligible Investments with stated maturities no later than the Business Day prior to the Payment Date next succeeding the acquisition of such securities or instruments. All proceeds from the Eligible Investments will be retained in the Collection Account unless used to purchase additional Collateral Obligations in accordance with the Investment Criteria, or used as otherwise permitted under the Indenture. See " Sales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria," and "Summary of TermsPriority of Payments." On the Business Day preceding each Payment Date, the Trustee will deposit into a segregated trust account held in the name of the Issuer (the "Payment Account") and subject to the lien of the Trustee for the benefit of the Secured Parties all funds in the Collection Account (other than amounts that the Issuer is entitled to reinvest in accordance with the Investment Criteria described herein, which may be retained in the Collection Account for subsequent reinvestment) required for payments to holders of the Secured Notes and distributions on the Subordinated Notes and payments of fees and expenses in accordance with the priorities described under "Summary of TermsPriority of Payments." The Portfolio Manager on behalf of the Issuer shall direct the Trustee in writing to, and upon receipt of such written instructions, the Trustee shall, cause the transfer to the Payment Account, for application as described under "Summary of TermsPriority of PaymentsApplication of Principal Proceeds to Class A-1a Notes," on the Business Day preceding each date of payment of principal of the Class A-1a Notes that does not fall on a Payment Date, from the Collection Account an amount equal to the principal amount of Class A-1a Notes that will be repaid on such date.

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The Ramp-Up Account The net proceeds of the issuance of the Offered Securities remaining after payment of fees and expenses will be deposited on the Closing Date into a segregated trust account held in the name of the Issuer (the "Ramp-Up Account") and subject to the lien of the Trustee for the benefit of the Secured Parties, which will consist of a principal sub-account, an interest sub-account and a subordinated note sub-account. Of the proceeds of the issuance of the Offered Securities and the Financed Amount Initial Balance which are not applied to pay for the purchase of Collateral Obligations purchased by the Issuer on or before the Closing Date (including, without limitation, repayment of any amounts borrowed by the Issuer in connection with the purchase of Collateral Obligations prior to the Closing Date), approximately $70.1 million will be deposited in the principal subaccount of the Ramp-Up Account on the Closing Date; approximately $45 million (representing proceeds of the issuance of the Subordinated Notes) will be deposited in the subordinated note subaccount of the Ramp-Up Account on the Closing Date; and $1 million will be deposited in the interest subaccount of the Ramp-Up Account on the Closing Date. On behalf of the Issuer, the Portfolio Manager will direct the Trustee to, from time to time during the Ramp-Up Period, purchase additional Collateral Obligations and invest in Eligible Investments any amounts not used to purchase such additional Collateral Obligations. Only proceeds from the sale of the Subordinated Notes will be used, before or after the Closing Date, by the Issuer to purchase Subordinated Note Collateral Obligations. In connection with any purchase of an additional Collateral Obligation that is not a Subordinated Note Collateral Obligation, the Trustee will apply amounts held in the principal sub-account of the Ramp-Up Account to pay for the principal portion of such Collateral Obligation and apply amounts held in the interest sub-account of the Ramp-Up Account to pay for any accrued interest on such Collateral Obligation; provided, however, that the Trustee may use amounts held in the principal subaccount to pay for any accrued interest on such Collateral Obligation to the extent the amounts held in the interest sub-account are insufficient for such purpose and may use amounts held in the interest subaccount to pay for any principal and accrued interest portions of such Collateral Obligation to the extent the amounts held in the principal sub-account are insufficient for such purpose. In connection with any purchase of an additional Subordinated Note Collateral Obligation, the Trustee will apply amounts held in the subordinated note sub-account of the Ramp-Up Account to pay for the principal and interest portions of such Subordinated Note Collateral Obligation. On each Determination Date prior to the end of the Ramp-Up Period, unless the Trustee is otherwise directed by the Portfolio Manager, the Trustee will deposit from the interest subaccount of the Ramp-Up Account an amount up to $1 million into the Interest Collection Subaccount as Interest Proceeds. On the first day after the end of the Ramp-Up Period or upon the occurrence of an Event of Default (and excluding any proceeds that will be used to settle binding commitments entered into prior to that date), any remaining amounts in the principal sub-account of the Ramp-Up Account will be deposited into the Collection Account as Principal Proceeds, any remaining amounts in the interest sub-account of the Ramp-Up Account will be deposited in the Collection Account as Interest Proceeds and any remaining amounts in the subordinated note subaccount of the Ramp-Up Account will be deposited in the Subordinated Note Collateral Obligation Subaccount as Principal Proceeds. Any income earned on amounts deposited in the Ramp-Up Account will be deposited in the interest subaccount of the Ramp-Up Account as it is paid. The Custodial Account The Issuer will, on or prior to the Closing Date, establish a segregated trust account in the name of the Issuer and subject to the lien of the Trustee for the benefit of the Secured Parties which will be designated as the "Custodial Account". The only permitted withdrawals from the Custodial Account shall be in accordance with the provisions of the Indenture. The Trustee agrees to give the Co-Issuers immediate notice if (to the Trustee's actual knowledge) the Custodial Account or any assets or securities on deposit therein, or otherwise to the credit of the Custodial Account, shall become subject to any writ, order, judgment, warrant of attachment, execution or similar process. The Co-Issuers shall not have any legal, equitable or beneficial interest in the Custodial Account other than in accordance with the Indenture and the Priority of Payments.

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The Revolver Funding Account Upon the purchase of any Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation that is not a Subordinated Note Collateral Obligation, funds may be withdrawn first from the Ramp-up Account and then from the Collection Account and deposited in a single, segregated trust account established in the name of the Issuer (the "Revolver Funding Account") and subject to the lien of the Trustee for the benefit of the Secured Parties. Within the Revolver Funding Account, the Trustee shall establish and maintain segregated trust subaccounts for each Currency applicable to a Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation from time to time owned by the Issuer. Upon initial purchase, funds deposited in the Revolver Funding Account in respect of any Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation will be treated as part of the purchase price therefor. Amounts in the Revolver Funding Account will be invested in overnight funds that are Eligible Investments (denominated in the applicable Currency) and (x) earnings from all such U.S. Dollar denominated investments will be deposited in the Interest Collection Subaccount as Interest Proceeds and (y) earnings from all such Permitted Currency denominated investments will be deposited in the interest subaccounts of the Currency Account related to the Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations to which such earnings relate. With respect to any U.S. Dollar denominated Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation that is not a Subordinated Note Collateral Obligation, upon the purchase of any such Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation, funds will be deposited in the U.S. Dollar subaccount of the Revolver Funding Account such that the sum of the amount of funds on deposit in such subaccount and the amount of undrawn Commitments (less the Unfunded Synthetic Exposure) shall be equal to or greater than the sum of the unfunded funding obligations under all such U.S. Dollar denominated Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations then included in the Assets. With respect to any Delayed Drawdown Collateral Obligations or Revolving Collateral Obligations that are Non-USD Obligations and are not Subordinated Note Collateral Obligations, upon the purchase of any such Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation, funds will be deposited in the applicable Currency subaccount of the Revolver Funding Account such that the amount of funds on deposit in such subaccount shall be equal to or greater than the sum of the unfunded funding obligations under all such Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations in such Permitted Currency that are then included in the Assets. Any funds in the Revolver Funding Account will be available solely to cover any drawdowns on the Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations that are not Subordinated Note Collateral Obligations; provided, that any excess of (A) the amounts on deposit in the subaccount of the Revolver Funding Account for any Currency plus, in the case of U.S. Dollar denominated Delayed Drawdown Collateral Obligations or Revolving Collateral Obligations, the amount of undrawn Commitments (less the Unfunded Synthetic Exposure), over (B) the sum of the unfunded funding obligations under all Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations that are denominated in such Currency and are included in the Assets may be transferred by the Trustee (at the direction of the Portfolio Manager) from time to time as Principal Proceeds (I) to the Principal Collection Subaccount if such excess amount is denominated in U.S. Dollars or (II) to the principal subaccounts of the Currency Account relating to the Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations as to which such excess amount relates if such excess amount is denominated in a Permitted Currency. Upon (a) the sale or maturity of a Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation denominated in any Currency or (b) the occurrence of an event of default with respect to any such Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation or any other event or circumstance which results in the irrevocable reduction of the undrawn commitments under such Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation, any excess of (A) the amounts on deposit in the subaccount of the Revolver Funding Account for such Currency plus, in the case of U.S. Dollar denominated Delayed Drawdown Collateral Obligations or Revolving Collateral Obligations, the 95

amount of undrawn Commitments (less the Unfunded Synthetic Exposure), over (B) the sum of the unfunded amounts of all Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations that are denominated in such Currency and are included in the Assets will be transferred by the Trustee as Principal Proceeds (I) to the Principal Collection Subaccount if such excess amount is denominated in U.S. Dollars or (II) to the principal subaccount of the Currency Account relating to such sold or matured Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation if such excess amount is denominated in a Permitted Currency. The Subordinated Note Collateral Revolver Funding Account Upon the purchase of any Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation that is a Margin Loan or is designated as a Subordinated Note Collateral Obligation by the Issuer (at the direction of the Portfolio Manager), funds will be withdrawn first from the subordinated note subaccount of the Ramp-Up Account and then from the Subordinated Note Collateral Obligation Subaccount, and deposited into a single, segregated trust account in the name of the Issuer (the "Subordinated Note Collateral Revolver Funding Account") and subject to the lien of the Trustee for the benefit of the Secured Parties, in an amount equal to (and at all times the amount of funds on deposit in the Subordinated Note Collateral Revolver Funding Account will be equal to) the aggregate principal amounts of the undrawn commitments under such Delayed Drawdown Collateral Obligations or Revolving Collateral Obligations. Upon initial purchase, funds deposited in the Subordinated Note Collateral Revolver Funding Account in respect of any Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation will be treated as part of the purchase price therefor. All principal payments received on any Revolving Collateral Obligation that is a Subordinated Note Collateral Obligation will be deposited directly into the Subordinated Note Collateral Revolver Funding Account (and will not be available for distribution as Principal Proceeds) to the extent the amount of such principal payments may be reborrowed under such Revolving Collateral Obligation. Amounts in the Subordinated Note Collateral Obligation Subaccount will be invested in overnight funds that are Eligible Investments and earnings from such investments will be deposited in the Interest Collection Subaccount as Interest Proceeds. Any funds in the Subordinated Note Collateral Revolver Funding Account will be available solely to cover any drawdowns on Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations that are Subordinated Note Collateral Obligations; provided, that if the amounts on deposit in the Subordinated Note Collateral Revolver Funding Account exceed the aggregate principal amounts of the undrawn commitments under such Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations, such excess will be transferred to the Subordinated Note Collateral Obligation Subaccount of the Collection Account by the Trustee (upon the direction of the Portfolio Manager) from time to time as Principal Proceeds. Upon (a) the sale or maturity of a Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation that is a Subordinated Note Collateral Obligation or (b) the occurrence of an event of default with respect to such Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation or any other event or circumstance which results in the irrevocable reduction of the undrawn commitments under such Delayed Drawdown Collateral Obligation or Revolving Collateral Obligation, any excess of the amounts on deposit in the Subordinated Note Collateral Revolver Funding Account over the combined aggregate principal amounts of the undrawn commitments under the Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations that are Subordinated Note Collateral Obligations will be transferred to the Subordinated Note Collateral Obligation Subaccount of the Collection Account as Principal Proceeds. The Discounted Payment Account On any Business Day on which the Issuer receives Discounted Payments, the Trustee, at the direction of the Portfolio Manager, shall deposit the amount of such Discounted Payments into a single, segregated trust account held in the name of the Issuer (the "Discounted Payment Account") and subject to the lien of the Trustee for the benefit of the Secured Parties. It is expected that $0 will be deposited in the Discounted Payment Account on the Closing Date. Subsequent to each Determination Date but prior to the related Payment Date on which amounts are contained in the Discounted Payment Account, unless otherwise directed by the Portfolio Manager in its discretion, the Trustee shall withdraw 96

from the Discounted Payment Account for each applicable Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation, the Allocated Discounted Payment Amount with respect to the related Collection Period and deposit such amount in the Interest Collection Subaccount as Interest Proceeds for application on such Payment Date. On any business day, if directed by the Portfolio Manager, the Trustee shall withdraw from the Discounted Payment Account such amount as directed by the Portfolio Manager and deposit such amount in the Principal Collection Subaccount as Principal Proceeds. At any time when a sale or commitment reduction of a Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation occurs as to which Discounted Payments have been deposited in the Discounted Payment Account then (i) in the case of a sale and solely to the extent the Issuer is required to pay amounts to the transferee or purchaser of such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation in order for such transferee or purchaser to assume the Issuer's obligation in respect of the unfunded portion of such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation, the remaining amount of the Discounted Payments so deposited shall be withdrawn from the Discounted Payment Account to the extent necessary to satisfy the Issuer's payment obligation to such transferee or purchaser and (ii) in the case of a sale or commitment reduction, the balance, if any, of such Discounted Payments shall be withdrawn from the Discounted Payment Account and deposited in the Principal Collection Subaccount as Principal Proceeds; provided, however, that a portion of such Discounted Payments that would have constituted the Allocated Discounted Payment Amount if the Issuer had held such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation on the last day of the Collection Period in which it was sold or on which the commitment was reduced (pro rated to exclude the portion of the Collection Period following the date of sale or reduction of commitment) may, at the election of the Portfolio Manager, be withdrawn from the Discounted Payment Account by the Trustee and deposited in the Interest Collection Subaccount as Interest Proceeds; provided, further, that in the case of a partial sale or commitment reduction of any such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation (x) the amounts to be withdrawn pursuant to clause (ii) shall only be in the proportion that the amount of such sale or commitment reduction bears to the principal balance of such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation and (y) the Allocated Discounted Payment Amount for each Collection Period thereafter shall be proportionately reduced following such withdrawal. The Trustee will promptly convert all amounts deposited in the Discounted Payment Account that are denominated in a Permitted Currency into U.S. Dollars at the Applicable Spot Market Exchange Rate. The Synthetic Security Counterparty Accounts If and to the extent that any Synthetic Security requires the Issuer to secure its obligations to the Synthetic Security Counterparty, the Issuer shall either (x) direct the Trustee and the Trustee shall establish a segregated trust account in respect of each such Synthetic Security which shall be held in trust for the benefit of the related Synthetic Security Counterparty and over which the Trustee as agent for the related Synthetic Security Counterparty or the related Synthetic Security Counterparty shall have exclusive control and the sole right of withdrawal in accordance with the applicable Synthetic Security and the Indenture or (y) cause the establishment of a segregated trust account in respect of any Synthetic Security at an organization or entity (other than the Trustee) organized and doing business under the laws of the United States of America or of any state thereof, authorized under such laws to exercise corporate trust powers, having a combined capital and surplus of at least $200,000,000, subject to supervision or examination by federal or state authority, having a rating of at least "Baa1" by Moody's and at least "BBB+" by S&P and having an office within the United States (each such account, a "Synthetic Security Counterparty Account"). With respect to any such account set forth in clause (y), the related Synthetic Security Counterparty shall have exclusive control over, and the sole right of withdrawal from, such account in accordance with the applicable Synthetic Security. However, the Issuer may, in lieu of establishing a Synthetic Security Counterparty Account, provide cash or Synthetic Security Collateral to the Synthetic Security Counterparty to be held and distributed in accordance with the applicable Synthetic Security. As directed by the Portfolio Manager, the Trustee will be required to deposit into each Synthetic Security Counterparty Account or provide to the Synthetic Security Counterparty all amounts or Synthetic Security Collateral which are required to secure the obligations of the Issuer in accordance with the terms of the related Synthetic Security. The Portfolio Manager may direct any such deposit only during the Reinvestment Period and only to the extent that monies are available for the purchase of Collateral 97

Obligations in accordance with the "Summary of TermsPriority of PaymentsApplication of Principal Proceeds." As directed by the Portfolio Manager in writing and in accordance with the applicable Synthetic Security, amounts on deposit in a Synthetic Security Counterparty Account will be invested in Eligible Investments or Synthetic Security Collateral. Income received on amounts or Synthetic Security Collateral on deposit in each Synthetic Security Counterparty Account will be applied, as directed by the Portfolio Manager, to the payment of any periodic amounts owed by the Issuer to such Synthetic Security Counterparty on the date any such amounts are due. After application of any such amounts, any income then contained in such Synthetic Security Counterparty Account will (to the extent permitted by the applicable Synthetic Security) be withdrawn from such account and deposited in the Collection Account as Interest Proceeds. Upon the occurrence of any "credit event", "event of default" or "termination event" (each as defined in the applicable Synthetic Security) under the related Synthetic Security, amounts contained in the related Synthetic Security Counterparty Account shall, as directed in writing by the Portfolio Manager, be withdrawn by the Trustee (or the related Synthetic Security Counterparty, as applicable) and applied toward the payment of any amounts payable by the Issuer to the related Synthetic Security Counterparty in accordance with the terms of such Synthetic Security. Any excess amounts held in a Synthetic Security Counterparty Account after payment of all amounts owing from the Issuer to the related Synthetic Security Counterparty in accordance with the terms of the related Synthetic Security will be withdrawn from such Synthetic Security Counterparty Account and deposited in the Collection Account as Principal Proceeds. In the event that the Issuer provides cash or Synthetic Security Collateral directly to the Synthetic Security Counterparty, the related Synthetic Security shall provide that such cash or Synthetic Security Collateral shall be applied to amounts owing to the Synthetic Security Counterparty and that the remainder shall be returned to the Issuer. Upon receipt thereof, the Issuer shall place any such amounts or Synthetic Security Collateral in the Collection Account for distribution as Principal Proceeds Amounts contained in any Synthetic Security Counterparty Account or provided to a Synthetic Security Counterparty shall not be considered to be an asset of the Issuer for purposes of any of the Investment Criteria or the Coverage Tests, but the Synthetic Security which relates to such Synthetic Security Counterparty Account shall be an asset of the Issuer for such purposes. The Synthetic Security Issuer Accounts If and to the extent that any Synthetic Security requires the Synthetic Security Counterparty to secure its obligations to the Issuer with respect to such Synthetic Security, the Issuer will be required to establish a segregated, non-interest bearing account (each such account, a "Synthetic Security Issuer Account"). The Trustee (as directed by the Portfolio Manager on behalf of the Issuer) will be required to deposit into each Synthetic Security Issuer Account all amounts or Synthetic Security Collateral which are required to secure the obligations of the Synthetic Security Counterparty in accordance with the terms of the related Synthetic Security. Amounts or Synthetic Security Collateral in any Synthetic Security Issuer Account will be released to the Issuer or the related Synthetic Security Counterparty only in accordance with the Indenture, the applicable Synthetic Security and applicable law. As directed by the Portfolio Manager in writing and in accordance with the applicable Synthetic Security, amounts on deposit in a Synthetic Security Issuer Account shall be invested in Eligible Investments or Synthetic Security Collateral. Income received on amounts or Synthetic Security Collateral on deposit in each Synthetic Security Issuer Account shall be applied, as directed by the Portfolio Manager, to the payment of any periodic amounts owed by such Synthetic Security Counterparty to the Issuer on the date any such amounts are due. After application of any such amounts, any income then contained in such Synthetic Security Issuer Account shall be withdrawn from such account and paid to the related Synthetic Security Counterparty in accordance with the applicable Synthetic Security as directed by the Portfolio Manager on behalf of the Issuer.

98

Upon the occurrence of any "credit event", "event of default", or "termination event" (each as defined in the applicable Synthetic Security) under the related Synthetic Security, amounts contained in the related Synthetic Security Issuer Account shall, as directed by the Portfolio Manager in writing, be withdrawn by the Trustee and applied toward the payment of any amounts payable by the related Synthetic Security Counterparty to the Issuer in accordance with the terms of such Synthetic Security. Any excess amounts held in a Synthetic Security Issuer Account after payment of all amounts owing from the related Synthetic Security Counterparty to the Issuer shall be withdrawn from such Synthetic Security Issuer Account and paid to the related Synthetic Security Counterparty in accordance with the applicable Synthetic Security, as directed by the Portfolio Manager on behalf of the Issuer. The Interest Rate Hedge Accounts If and to the extent that any Interest Rate Hedge Agreement requires the Hedge Counterparty thereunder to secure its obligations to the Issuer with respect to such Interest Rate Hedge Agreement, the Issuer will be required to establish a segregated, non-interest bearing account (each such account, an "Interest Rate Hedge Account"). The Trustee (as directed by the Portfolio Manager on behalf of the Issuer) will be required to deposit into each Interest Rate Hedge Account all amounts or collateral which are required to secure the obligations of the Hedge Counterparty in accordance with the terms of the related Interest Rate Hedge Agreement. Amounts or collateral in any Interest Rate Hedge Account will be released to the Issuer or the related Hedge Counterparty only in accordance with the Indenture, the applicable Interest Rate Hedge Agreement and applicable law. As directed by the Portfolio Manager in writing and in accordance with the applicable Interest Rate Hedge Agreement, amounts on deposit in an Interest Rate Hedge Account will be invested in Eligible Investments. Income received on amounts or collateral on deposit in each Interest Rate Hedge Account will be applied, as directed by the Portfolio Manager, to the payment of any periodic amounts owed by such Hedge Counterparty to the Issuer on the date any such amounts are due. After application of any such amounts, any income then contained in such Interest Rate Hedge Account shall be withdrawn from such account and paid to the related Hedge Counterparty in accordance with the applicable Interest Rate Hedge Agreement as directed by the Portfolio Manager on behalf of the Issuer. Upon the occurrence of any "event of default" or "termination event" (each as defined in the applicable Interest Rate Hedge Agreement) under the related Interest Rate Hedge Agreement, amounts contained in the related Interest Rate Hedge Account will, as directed by the Portfolio Manager in writing, be withdrawn by the Trustee and applied toward the payment of any amounts payable by the related Hedge Counterparty to the Issuer in accordance with the terms of such Interest Rate Hedge Agreement. Any excess amounts held in an Interest Rate Hedge Account after payment of all amounts owing from the related Hedge Counterparty to the Issuer will be withdrawn from such Interest Rate Hedge Account and paid to the related Hedge Counterparty in accordance with the applicable Interest Rate Hedge Agreement, as directed by the Portfolio Manager on behalf of the Issuer. The Expense Reserve Account The Trustee will, prior to the Closing Date, establish a segregated trust account held in the name of the Issuer which will be designated as the "Expense Reserve Account" and will be subject to the lien of the Trustee for the benefit of the Secured Parties. Approximately $2.2 million will be deposited in the Expense Reserve Account as Interest Proceeds on the Closing Date for the payment of certain expenses of the Issuer incurred in connection with the issuance of the Offered Securities and the purchase of the initial portfolio of Collateral Obligations prior to the third Payment Date. On any Business Day from the Closing Date to and including the Determination Date relating to the third Payment Date, the Trustee will apply funds from the Expense Reserve Account, as directed by the Portfolio Manager, to pay expenses of the Co-Issuers incurred in connection with the establishment of the Co-Issuers, the structuring and consummation of the offering of the Offered Securities, the issuance of the Offered Securities or the acquisition of the initial portfolio of Collateral Obligations prior to the third Payment Date or to the Collection Account as Principal Proceeds. By the Determination Date relating to the third Payment Date following the Closing Date, all funds in the Expense Reserve Account (after deducting any expenses paid 99

on such Determination Date) will be deposited in the Collection Account as Interest Proceeds and/or Principal Proceeds (in the respective amounts directed by the Portfolio Manager in its discretion) and the Expense Reserve Account will be closed. Any income earned on amounts deposited in the Expense Reserve Account will be deposited in the Interest Collection Subaccount as Interest Proceeds as it is paid. The Securities Lending Account At the time any Securities Lending Agreement is entered into, the Issuer will cause the establishment of a segregated trust or custodial account with a Securities Intermediary in the name of the Securities Lending Counterparty, for the benefit of such Securities Lending Counterparty, as pledgor, subject to the lien of the Trustee for the benefit of the Secured Parties (each, a "Securities Lending Account"). Securities Lending Collateral pledged pursuant to a Securities Lending Agreement shall be deposited into the related Securities Lending Account to secure the related Securities Lending Counterparty's obligations under such Securities Lending Agreement. At all times, each Securities Lending Account shall remain at an institution with a combined capital and surplus equal to or in excess of $100,000,000 and having a long-term debt rating of at least "Baa2" by Moody's and a short-term debt rating of at least "A-1" by S&P. Upon any default by any Securities Lending Counterparty under the related Securities Lending Agreement, the Issuer or the Trustee shall, acting at the written direction of the Portfolio Manager, exercise its and/or the Issuer's remedies under such Securities Lending Agreement, including liquidating the related Securities Lending Collateral. Proceeds of any such liquidation shall be deposited in the Principal Collection Subaccount as Principal Proceeds. The Issuer shall not have any right to cause the Trustee to withdraw money from any of the Securities Lending Accounts other than in accordance with the Indenture, the applicable Securities Lending Agreement and applicable law. The Currency Account The Trustee will, prior to the Closing Date, establish a segregated trust account held in the name of the Issuer which will be designated as the "Currency Account" and will be subject to the lien of the Trustee for the benefit of the Secured Parties. The Trustee will, on or prior to the Closing Date and from time to time thereafter, establish within the Currency Account two segregated subaccounts for each Currency Hedge Obligation included in the Assets, one of which will be designated the interest subaccount with respect to such Currency Hedge Obligation and the other of which will be designated the principal subaccount with respect to such Currency Hedge Obligation. The Trustee will pay amounts due and payable to the Hedge Counterparty under the Currency Hedge Transaction forming part of such Currency Hedge Obligation out of amounts available in the subaccounts of the Currency Account relating to such Currency Hedge Obligation; provided, that when there are insufficient funds in the applicable subaccount of the Currency Account, amounts on deposit in the Collection Account may be used to pay such amounts due and payable to any such Hedge Counterparty. The Trustee will from time to time deposit into the interest subaccount of the Currency Account relating to each Currency Hedge Obligation, immediately upon receipt thereof, all payments received during such Collection Period (A) in respect of interest on the Non-USD Obligation forming a part of such Currency Hedge Obligation and (B) in respect of Eligible Investments on deposit in the interest subaccount and the principal subaccount relating to such Currency Hedge Obligation. In addition to other withdrawals permitted pursuant to the Indenture, the only permitted withdrawal from or application of funds on deposit in or otherwise to the credit of the interest subaccount of the Currency Account relating to each Currency Hedge Obligation will be as so directed, upon Issuer Order: (A) on the applicable Currency Hedge Payment Date (1) to the payment of Scheduled Periodic Currency Hedge Payments to the Hedge Counterparty under the Currency Hedge Transaction forming a part of such Currency Hedge Obligation and (2) to the payment of other amounts due to the Hedge Counterparty under the Currency Hedge Transaction forming a part of such Currency Hedge Obligation if amounts on deposit in the principal subaccount of the Currency Account relating to such Currency Hedge Obligation are insufficient to make a full payment; 100

(B) on the applicable Currency Hedge Payment Date, to the transfer of all remaining amounts credited to such interest subaccount (to the extent not allocated for use in accordance with clause (C) below at the written direction of the Portfolio Manager) to the Interest Collection Subaccount after conversion into U.S. Dollars pursuant to a Permitted Currency Exchange at the Applicable Spot Market Exchange Rate; (C) at any time, to apply toward the purchase of accrued interest in connection with the acquisition of additional Collateral Obligations that are Non-USD Obligations; or (D) on the Business Day prior to the Payment Date relating to the Stated Maturity of the Notes or prior to any Redemption Date relating to a redemption of the Notes in whole, to the transfer of all amounts credited to such interest subaccount to the Payment Account, after conversion into U.S. Dollars pursuant to a Permitted Currency Exchange at the Applicable Spot Market Exchange Rate, for application in accordance with the Priority of Payments. The Trustee will from time to time deposit into the principal subaccount of the Currency Account relating to each Currency Hedge Obligation, immediately upon receipt thereof, (x) all Principal Proceeds (other than interest payments) received during the Collection Period in respect of the Non-USD Obligation forming a part of the related Currency Hedge Obligation and Eligible Investments on deposit in the principal subaccount relating to such Currency Hedge Obligation and (y) any Currency Hedge Termination Receipts and Currency Hedge Replacement Receipts with respect to the Currency Hedge Transaction forming a part of the related Currency Hedge Obligation (after conversion into the applicable Permitted Currency at the Applicable Spot Market Exchange Rate, if necessary). In addition to withdrawals pursuant to certain provisions of the Indenture, the only permitted withdrawal from or application of funds on deposit in or otherwise to the credit of the principal subaccount of the Currency Account relating to each Currency Hedge Obligation shall be as so directed, upon Issuer Order: (A) in the case of Principal Proceeds (including Principal Proceeds received upon the sale of a Non-USD Obligation) received during each Collection Period in respect of the Non-USD Obligation forming a part of such Currency Hedge Obligation or in respect of Eligible Investments representing such Principal Proceeds, at the sole discretion of the Portfolio Manager: (1) to the payment of Currency Hedge Termination Payments payable by the Issuer in connection with the termination of the Currency Hedge Transaction forming part of such Currency Hedge Obligation as a result of the sale, prepayment or default of the related Non-USD Obligation; (2) to the payment of Currency Hedge Principal Exchange Payments and all other amounts in respect of any Non-USD Obligation scheduled to be paid by the Issuer to a Hedge Counterparty under the Currency Hedge Transaction forming a part of the Currency Hedge Obligation on the applicable Currency Hedge Payment Date; (3) at any time, subject to the Investment Criteria, to the acquisition of additional Collateral Obligations that are Non-USD Obligations (including through any Non-U.S. Obligation Subsidiary by lending funds to such entity to purchase Collateral Obligations) and the entry into related Currency Hedge Transactions, which are denominated in any Permitted Currency, if and to the extent necessary, after the conversion of such amounts into another Permitted Currency pursuant to a Permitted Currency Exchange at the Applicable Spot Market Exchange Rate; (4) at any time, to apply toward the purchase of accrued interest in connection with the acquisition of additional Collateral Obligations that are Non-USD Obligations only if and to the extent that there are insufficient amounts available in the interest subaccount relating to such Non-USD Obligation (repayments of which will thereafter constitute Principal Financed Accrued Interest); or 101

(5) at any time, in the case of Principal Proceeds remaining after reinvestment in additional Non-USD Obligations, to the Principal Collection Subaccount after the conversion of such amounts into U.S. Dollars pursuant to a Permitted Currency Exchange at the Applicable Spot Market Exchange Rate; (B) at any time, out of Currency Hedge Termination Receipts paid into the principal subaccount of the Currency Account relating to such Currency Hedge Obligation: (1) to the payment of Currency Hedge Replacement Payments up to an amount equal to the Currency Hedge Termination Receipts received by the Issuer upon termination of the Currency Hedge Transaction that is being replaced; or (2) if and to the extent that (x) the Portfolio Manager, in its sole discretion, determines not to replace a Currency Hedge Transaction and the Global Rating Agency Condition is satisfied in respect of such determination, (y) the termination of a Currency Hedge Transaction under which such Currency Hedge Termination Receipts are payable occurs in connection with a redemption of the Notes in whole, or (z) such Currency Hedge Termination Receipts are not required for application towards costs of entry into a replacement Currency Hedge Transaction, then to the transfer of such amounts (except for accrued interest thereon) to the Principal Collection Subaccount after conversion (if necessary) into U.S. Dollars pursuant to a Permitted Currency Exchange at the Applicable Spot Market Exchange Rate; (C) at any time, out of Currency Hedge Replacement Receipts paid into the principal subaccount of the Currency Account relating to such Currency Hedge Obligation: (1) to the payment of any Currency Hedge Termination Payments due and payable to a Hedge Counterparty under the Currency Hedge Transaction being replaced; or (2) if and to the extent that such Currency Hedge Replacement Receipts are not required for payment of Currency Hedge Termination Payments under the Currency Hedge Transaction being replaced, then to the transfer of such amounts (except for accrued interest thereon) to the Principal Collection Subaccount after conversion (if necessary) into U.S. Dollars pursuant to a Permitted Currency Exchange at the Applicable Spot Market Exchange Rate; and (D) on the Business Day prior to the Payment Date relating to the Stated Maturity of the Notes or prior to any Redemption Date relating to a redemption of the Notes in whole, to the transfer of all amounts credited to such principal subaccount to the Payment Account, after conversion into U.S. Dollars pursuant to the applicable Currency Hedge Transaction if conversion of such amounts is covered by a Currency Hedge Transaction or else pursuant to a Permitted Currency Exchange at the Applicable Spot Market Exchange Rate, in each case, for application in accordance with the Priority of Payments. Hedge Agreements The Issuer is permitted to enter into one or more interest rate swap and/or cap agreements (each, an "Interest Rate Hedge Agreement") and/or Currency Hedge Transactions (collectively, the "Hedge Agreements"). Each Hedge Agreement will be documented as one or more confirmations under a master swap agreement in the form published by the International Swaps and Derivatives Association, Inc. ("ISDA"). Each Hedge Agreement will be governed by New York law (or, at the option of the Issuer, English law). Deutsche Bank AG, acting through its New York Branch, will be the initial Hedge Counterparty.

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Currency Hedge Transactions On or promptly after the purchase of a Non-USD Obligation, the Issuer will enter into one or more Currency Hedge Transactions with respect to such obligation (or maintain one or more existing Currency Hedge Transactions in respect of the related Permitted Currency covering such Non-USD Obligation permitted below). If the Issuer maintains one or more existing Currency Hedge Transactions to cover such Non-USD Obligation as permitted below and the scheduled termination date thereof does not comply with clause (iv) below, the Issuer may satisfy such clause (iv) by entering into an additional Currency Hedge Transaction that is a forward starting transaction satisfying such clause (iv) in conjunction with such existing Currency Hedge Transaction. Each Currency Hedge Transaction shall satisfy the following requirements with respect to the Non-USD Obligation being hedged (each, a "Currency Hedge Requirement" and, collectively, the "Currency Hedge Requirements"): (i) such Currency Hedge Transaction shall contain (1) a notional amount denominated in the foreign currency of the related Non-USD Obligation (the "Non-USD Notional Amount"), (2) a notional amount denominated in U.S. Dollars (the "USD Notional Amount"), (3) a floating payment relating to the index applicable to such Non-USD Obligation payable by the Issuer, (4) a floating payment relating to LIBOR payable by the Hedge Counterparty, and (5) a scheduled termination date; such Currency Hedge Transaction shall provide that (1)(x) the Issuer shall pay to the Hedge Counterparty, in the currency in which the related Non-USD Obligation is denominated, a floating rate coupon on the Non-USD Notional Amount of such Currency Hedge Transaction and (y) in exchange, the Hedge Counterparty shall pay to the Issuer, in U.S. Dollars, a floating rate coupon on the USD Notional Amount of such Currency Hedge Transaction; (2)(x) the Issuer shall pay to the Hedge Counterparty, in the currency in which the related Non-USD Obligation is denominated, a specified portion of the NonUSD Notional Amount as a final principal exchange amount and (y) in exchange, the Hedge Counterparty shall pay to the Issuer, in U.S. Dollars, a specified portion of the USD Notional Amount as a final principal exchange amount; such Currency Hedge Transaction shall have a Non-USD Notional Amount not exceeding the principal balance of the Non-USD Obligation being hedged; such Currency Hedge Transaction shall have a scheduled termination date equal to the date which the Portfolio Manager reasonably expects to be the scheduled final payment date or, at the option of the Portfolio Manager, the date on which its average life or duration expires for the Non-USD Obligation being hedged; and such Currency Hedge Transaction shall be entered into pursuant to a Hedge Agreement in substantially the form attached to the Indenture, or another form of Hedge Agreement as long as such other form of Hedge Agreement satisfies the Global Rating Agency Condition;

(ii)

(iii) (iv)

(v)

provided, however, that in lieu of satisfying the foregoing requirements, the Portfolio Manager on behalf of the Issuer may propose an alternative arrangement for such Currency Hedge Transaction that satisfies the Global Rating Agency Condition. The Indenture also permits the Portfolio Manager on behalf of the Issuer, upon any default, prepayment or partial sale with respect to a Non-USD Obligation, to direct, at its discretion, the Trustee to terminate, completely or partially, the Currency Hedge Transaction related thereto (together with any other Non-USD Obligation denominated in the same Permitted Currency acquired by the Issuer on or prior to the date of such default, prepayment or partial sale for which the Portfolio Manager, on behalf of the Issuer, has not entered into a separate Currency Hedge Transaction with a notional amount equal to its entire principal balance (without giving effect to the proviso to the definition of Currency Hedge Transaction)); provided, however, that when such Non-USD Obligation is sold completely, the Portfolio 103

Manager is required to direct the Trustee to terminate such Currency Hedge Transaction completely unless (x) the Issuer has acquired another Non-USD Obligation denominated in the same Permitted Currency, (y) the Portfolio Manager, on behalf of the Issuer, has not entered into a separate Currency Hedge Transaction with a notional amount equal to its entire principal balance (without giving effect to the proviso to the definition of Currency Hedge Transaction) and (z) the Portfolio Manager elects to hedge such additional Non-USD Obligation under such Currency Hedge Transaction. The Indenture requires that if at any time any Currency Hedge Transaction becomes subject to early termination due to the occurrence of an event of default or a termination event, the Issuer and the Trustee shall take such actions (following the expiration of any applicable grace period) to enforce the rights of the Issuer and the Trustee under such Currency Hedge Transaction as may be permitted by the terms of such Currency Hedge Transaction and consistent with the terms hereof, and shall apply the proceeds of any such actions (including, without limitation, the proceeds of the liquidation of any collateral pledged by the Hedge Counterparty thereunder) to enter into a replacement Currency Hedge Transaction on such terms as satisfy the Currency Hedge Requirements (unless such early termination is due to an additional termination event caused by an Optional Redemption). Any costs attributable to entering into a replacement Hedge Agreement which exceed the sum of the proceeds of the liquidation of any such Hedge Agreement shall be borne solely by the Hedge Counterparty; provided, that such liquidation is not the result of a Priority Hedge Termination Event. Interest Rate Hedge Agreements The Issuer will not enter into any Interest Rate Hedge Agreement on the Closing Date. Any Interest Rate Hedge Agreement entered into by the Issuer after the Closing Date will be substantially in the form, pre-approved by the Rating Agencies on the Closing Date, set forth in the Indenture or another form that satisfies the Global Rating Agency Condition. The Indenture requires that if at any time any Interest Rate Hedge Agreement becomes subject to early termination due to the occurrence of an event of default or a termination event, the Issuer and the Trustee shall take such actions (following the expiration of any applicable grace period) to enforce the rights of the Issuer and the Trustee under such Interest Rate Hedge Agreement as may be permitted by the terms of such Interest Rate Hedge Agreement and consistent with the terms hereof, and shall apply the proceeds of any such actions (including, without limitation, the proceeds of the liquidation of any collateral pledged by the Hedge Counterparty thereunder) to enter into a replacement Interest Rate Hedge Agreement on such terms as satisfy the Global Rating Agency Condition (unless such early termination is due to an additional termination event caused by an Optional Redemption). Any costs attributable to entering into a replacement Interest Rate Hedge Agreement which exceed the sum of the proceeds of the liquidation of any such Interest Rate Hedge Agreement shall be borne solely by the Hedge Counterparty; provided, that such liquidation is not the result of a Priority Hedge Termination Event. The Trustee will agree to any reduction in the notional amount of any Interest Rate Hedge Agreement proposed by the related Hedge Counterparty and agreed to by the Portfolio Manager, or any termination, replacement and/or other modification of any such Interest Rate Hedge Agreement or any additional Interest Rate Hedge Agreement proposed by the Portfolio Manager; provided, that the Global Rating Agency Condition shall have been satisfied. Hedge Counterparty Downgrade Provisions Each Hedge Counterparty will be required to: (a) Subject to rating conditions set forth in subclause (b) below, if at any time a Hedge Counterparty has: (1) only a long-term debt rating by Moody's and such rating is below "A1"; or 104

(2)

both short-term and long-term debt ratings by Moody's; and either: (A) (B) the long-term debt rating by Moody's is below "A2"; or the short-term debt rating by Moody's is below "P-1"; or

(3) a short-term debt rating by S&P below "A-1" or, if such Hedge Counterparty does not have a short-term debt rating from S&P, its long-term debt rating is less than "A+"; and the debt ratings of such Hedge Counterparty's guarantor, if applicable, fail to equal or exceed the above criteria, then such Hedge Counterparty shall be required, at its sole expense, to, within 30 days, either: (1) post collateral to the Issuer to secure the Hedge Counterparty's obligations under the Hedge Agreement, in an amount and of the type sufficient to cause the Global Rating Agency Condition to be satisfied or as may otherwise be required by the applicable Rating Agency; (2) obtain a guarantor whose short-term and long-term debt ratings equal or exceed the above criteria with respect to guarantees; (3) replace itself at its own cost under the related or substantially equivalent Hedge Agreement with a substitute Hedge Counterparty whose short-term and long-term debt ratings (or those of the substitute Hedge Counterparty's guarantor) equal or exceed the above criteria; or (4) Condition. (b) take such other actions as is necessary to satisfy the Global Rating Agency

If at any time a Hedge Counterparty has: (1) (2) only a long-term debt rating by Moody's and such rating is below "A3"; or both a short-term and long-term debt rating by Moody's; and either: (A) (B) (3) the long-term debt rating by Moody's is below "A3"; or the short-term debt rating by Moody's is below "P-2"; or

the long-term debt rating by S&P is below "BBB+";

and the debt ratings of such Hedge Counterparty's guarantor, if applicable, fail to equal or exceed (x) in the case of Moodys, the above Moodys criteria and (y) in the case of S&P, a long-term debt rating by S&P of at least "A+", then such Hedge Counterparty shall be required, at its sole expense, to, within 30 Business Days (or, in the case of S&P, 10 Business Days), either: (1) post collateral to the Issuer to secure the Hedge Counterparty's obligations under the Hedge Agreement, in an amount and of the type sufficient to cause the Global Rating Agency Condition to be satisfied or as may otherwise be required by the applicable Rating Agency and to continue to find either a guarantor pursuant to clause (2) below or a replacement Hedge Counterparty pursuant to clause (3) below, provided that the obligation to post collateral shall continue until the completion of the requirements referenced in either of clauses (2) or (3) below; or (2) obtain a guarantor whose short-term and long-term debt ratings equal or exceed the above criteria; or

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(3) replace itself at its own expense under the related or substantially equivalent Hedge Agreement with a substitute Hedge Counterparty whose short-term and long-term debt ratings (or those of the substitute Hedge Counterparty's guarantor) equal or exceed the above criteria; or (4) Condition. take such other actions as is necessary to satisfy the Global Rating Agency

(c) Each Hedge Agreement shall provide that the failure by the Hedge Counterparty to comply with the foregoing provisions shall result in an early termination event under each Hedge Agreement with the Issuer to which such Hedge Counterparty is a party. Failure by the Hedge Counterparty to comply with the foregoing provisions will result in an early termination event under each Hedge Agreement with the Issuer to which such Hedge Counterparty is a party. Margin Loans Subject to certain limitations, the Issuer may purchase certain assets that are Margin Loans. Regulation U of the FRB governs certain extensions of credit by Regulation U Lenders. Under current interpretations of Regulation U by the FRB and its staff, the purchase of a debt security in a private placement may constitute an extension of credit. Among other things, Regulation U generally imposes certain limits on the amount of credit that Regulation U Lenders may extend which is Purpose Credit. The provisions of the Indenture and the Portfolio Management Agreement are intended to ensure that any credit extended by the purchasers of the Notes is not Purpose Credit. Regulation U Lenders generally are not subject to the Regulation U credit limits with respect to extensions of credit that are not Purpose Credit. Regulation U also generally requires Regulation U Lenders (other than persons that are banks within the meaning of Regulation U) to register with the FRB. Under an interpretation of Regulation U by the FRB staff, qualified institutional buyers purchasing debt securities secured by Margin Loans in a transaction in compliance with Rule 144A should not be required to register with the FRB where the proceeds of the securities are not used in a manner that would constitute Purpose Credit. Non-U.S. persons purchasing Notes in reliance on Regulation S who do not have their principal place of business in a Federal Reserve District of the FRB are also not required to register with the FRB. However, other purchasers of Offered Securities, including investors (if any) purchasing Offered Securities in reliance on an exemption from registration under the Securities Act other than Rule 144A, should consider (i) whether they are required to register with the FRB and (ii) on an ongoing basis, whether they are required to register with the FRB as a result of changes to the composition of the Collateral Obligations after such purchase. Regulation U Lenders (other than those non-bank lenders not required to register with the FRB) generally must obtain from any person to whom they extend credit secured by Margin Stock a Federal Reserve Form U-1 (for bank lenders) or Form G-3 (for non-bank lenders). Initial purchasers of the Offered Securities may obtain a Form U-1 or G-3, as applicable, executed by the Issuer or CoIssuers, as applicable, from the Issuer, for execution and retention by such purchasers on the Closing Date. Forms U-1 or G-3, as applicable, will also be made available by the Trustee upon request to any investors in the Offered Securities after the Closing Date. Each purchaser of Offered Securities will be responsible for its own compliance with Regulation U, including the filing by the purchaser of any required registration or annual filings under Regulation U, and purchasers of Offered Securities should consult with their own legal advisers as to Regulation U and its applicability to them. Purchasers of Offered Securities not otherwise exempt from registering with the FRB will be deemed to have covenanted and agreed that if such purchaser is not registered with the FRB on or prior to the date of their purchase, such purchaser will, within the required time period, register with the FRB. Each such purchaser and any bank purchaser shall also be deemed to have represented that it has complied or will comply, as applicable, with any related requirements of Regulation U applicable to it. The accounts established by, and the maintenance of funds and securities under, the Indenture has been structured to prevent any credit extended by purchasers of the Notes from being Purpose Credit. The Trustee will be required to segregate on its books and records Subordinated Note Collateral Obligations that (i) were purchased on or prior to the Closing Date and which were designated by the Portfolio Manager as Collateral Obligations the 106

distributions on which, and the proceeds received in respect of which, are to be deposited in the Subordinated Note Collection Account; provided, however, that the sum of the Issuer's acquisition cost of Collateral Obligations to be designated as Subordinated Note Collateral Obligations by the Portfolio Manager on the Closing Date, plus any amount deposited in the subordinated note subaccount of the Ramp-Up Account on the Closing Date, may not exceed the net proceeds of the offering of the Subordinated Notes (the "Subordinated Note Reinvestment Ceiling") and (ii) are purchased after the Closing Date with funds from the subordinated note subaccount of the Ramp-Up Account or the Subordinated Note Collection Account. All other Collateral Obligations and unused proceeds (and the proceeds thereof) will be segregated from the Subordinated Note Collateral Obligations, the subordinated note subaccount of the Ramp-Up Account and the Subordinated Note Collection Account and may not be used to purchase or carry Margin Loans. The Indenture will also provide that, in the event that any nonMargin Loan Collateral Obligation that is not acquired with funds in the subordinated note subaccount of the Ramp-Up Account or the Subordinated Note Collection Account becomes a Margin Loan or Margin Stock, the Portfolio Manager will, within 45 days and otherwise in accordance with the Indenture, sell such Collateral Obligation. Otherwise, only Subordinated Note Collateral Obligations may constitute Margin Loans or Margin Stock. Securities Lending Unless an Event of Default has occurred, the Issuer (at the direction of the Portfolio Manager) may from time to time lend Collateral Obligations (other than any Synthetic Security that is not a "security" within the meaning of Section 1236(c) of the Code) to a Securities Lending Counterparty pursuant to a Securities Lending Agreement; provided, that the requirements set forth in the Indenture are satisfied. Such Securities Lending Counterparties may be affiliates of the Initial Purchasers and/or affiliates of the Portfolio Manager, notwithstanding conflicts of interest. Each Securities Lending Agreement shall be entered into subject to receipt by the Trustee of written certification from the Issuer or the Portfolio Manager on behalf of the Issuer that the following conditions have been satisfied: (i) the duration of loans pursuant to the Securities Lending Agreement shall not exceed the Stated Maturity of the Notes; (ii) no more than 50% of the Collateral Principal Amount has been (or may be) loaned pursuant to Securities Lending Agreements regardless of duration; (iii) no more than 20% of the Collateral Principal Amount has been (or may be) loaned pursuant to Securities Lending Agreements, the duration of which exceeds one year; and (iv) no more than 10% of the Collateral Principal Amount has been (or may be) loaned pursuant to Securities Lending Agreements, the duration of which exceeds two years. Each Securities Lending Agreement shall be on market terms as determined by the Portfolio Manager in good faith (except as required below) and shall: (i) require that the Securities Lending Counterparty return to the Issuer debt obligations that are identical (in terms of issue and class) to the loaned Collateral Obligations; (ii) (A) require that the Securities Lending Counterparty pay to the Issuer such amounts as are equivalent to all interest and other payments that the owner of the loaned Collateral Obligation is entitled to for the period during which the Collateral Obligation is loaned, and (B) require that such payments (other than any payments that are a substitute for commitment fees payable on the loaned Collateral Obligation) not be subject to withholding tax imposed by any jurisdiction unless the Securities Lending Counterparty is required under the Securities Lending Agreement to make "gross-up" payments to the Issuer that cover the full amount of such withholding on an after-tax basis; 107

(iii) satisfy any other requirements of Section 1058 of the Code and Treasury Regulations promulgated thereunder; (iv) require that the Global Rating Agency Condition be satisfied as a condition to the effectiveness of such Securities Lending Agreement (unless the Global Rating Agency Condition is satisfied independently with respect to such Securities Lending Agreement); (v) (vi) be governed by the laws of the State of New York; and permit the Issuer to assign its rights thereunder to the Trustee pursuant to the Indenture;

provided, that clause (i) and clause (iii) above shall not apply if the Issuer and the Trustee shall have received an opinion of tax counsel of nationally recognized standing in the United States experienced in such matters to the effect that the absence of such requirement in such Securities Lending Agreement will not cause the Issuer to be engaged, or deemed to be engaged, in a trade or business in the United States for United States federal income tax purposes or otherwise to be subject to United States federal income tax on a net basis. Each Securities Lending Agreement shall provide that (A) the Issuer may terminate such Securities Lending Agreement if (i) the credit ratings of the Securities Lending Counterparty are withdrawn or downgraded below the requirements relating to the credit ratings of such Securities Lending Counterparty set forth in such Securities Lending Agreement, (ii) an Optional Redemption occurs, (iii) the Securities Lending Counterparty is the subject of an insolvency or similar proceeding or (iv) the Securities Lending Counterparty defaults in the performance of any of its obligations under the related Securities Lending Agreement and/or (B) the Issuer may terminate such Securities Lending Agreement upon prior written notice. Each Securities Lending Counterparty shall be required to post Securities Lending Collateral with the Trustee or a Securities Intermediary to secure its obligation to return the loaned Collateral Obligations. Such Securities Lending Collateral shall be maintained at all times with the Trustee or such Securities Intermediary in an amount equal to 102% of the current market value (determined daily in accordance with standard market practice and monitored by the Portfolio Manager) of the loaned Collateral Obligations. The Issuer (at the direction of the Portfolio Manager) is expected to negotiate with the related Securities Lending Counterparty a rate for the loan fee to be paid to the Issuer for lending the loaned Collateral Obligations. For the avoidance of doubt, no loan fee paid to the Issuer for lending the loaned Collateral Obligations shall be subject to the withholding tax requirement contained in clause (ii)(B) above. If a Securities Lending Counterparty deposits cash as collateral in the related Securities Lending Account, prior to an Event of Default, the Trustee (as directed by the Portfolio Manager) may invest such cash collateral in Eligible Investments to the extent permitted by the applicable Securities Lending Agreement and, if required by the terms of the applicable Securities Lending Agreement, the Issuer may be responsible to the related Securities Lending Counterparty for any related investment losses. Collateral deposited in a Securities Lending Account will not constitute Collateral Obligations for purposes of the Indenture and will not be available to make payments on the Notes unless the related Securities Lending Counterparty defaults on its obligations under the related Securities Lending Agreement, including its obligation to return the loaned Collateral Obligations to the Issuer. If either of the Rating Agencies downgrades a Securities Lending Counterparty so that each Securities Lending Agreement to which the Securities Lending Counterparty is a party is no longer in compliance with the requirements relating to credit ratings of the Securities Lending Counterparties, then the Issuer shall (at the direction of the Portfolio Manager), or in the case of clause (ii), the Securities Lending Counterparty shall, within ten days thereof: (i) Counterparty; terminate any Securities Lending Agreement or Agreements with such Securities Lending

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(ii) obtain a guarantor that has the ratings required of a Securities Lending Counterparty to guarantee the Securities Lending Counterparty's obligations under the applicable Securities Lending Agreement or Agreements; (iii) reduce the percentage of the Collateral Obligations loaned to such downgraded Securities Lending Counterparty so that the applicable Securities Lending Agreement or Agreement are in compliance with the requirements relating to the credit ratings of Securities Lending Counterparties; or (iv) take such other steps as the Rating Agencies may require to cause such Securities Lending Counterparty's obligations under the applicable Securities Lending Agreement or Agreements to be treated by the Rating Agencies as if such obligations were those of a counterparty having the ratings required of a Securities Lending Counterparty.

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USE OF PROCEEDS General The net proceeds from the issuance of the Offered Securities, after payment of applicable fees and expenses in connection with the structuring and placement of the Offered Securities (including by making a deposit to the Expense Reserve Account of funds to be used to pay expenses following the Closing Date), are expected to be approximately $512.8 million. Prior to the Closing Date, an affiliate of the Initial Purchasers and Sumitomo Mitsui Banking Corporation ("SMBC") each provided a warehouse facility to the Issuer to finance the acquisition of certain Collateral Obligations. Approximately $396.7 million will be used to repay amounts owed by the Issuer under the two warehouse facilities (including interest and fees thereon) as of the Closing Date. SMBC will act as the co-placement agent with respect to the Offered Securities offered in Japan. Approximately $116.1 million will be deposited into the Ramp-Up Account on the Closing Date for the purchase of additional Collateral Obligations (including acquisition of additional Collateral Obligations through any Non-U.S. Obligation Subsidiary by lending funds to such entity to purchase Collateral Obligations as permitted by the Indenture) during the Ramp-Up Period and for deposit into the Collection Account as described herein upon completion of the Ramp-Up Period, approximately $0 will be deposited into the Discounted Payment Account on the Closing Date for use as described herein and approximately $2.2 million will be deposited into the Expense Reserve Account on the Closing Date for use as described herein. Ramp-Up Period The additional Collateral Obligations referred to in the preceding paragraph, together with the Collateral Obligations purchased on or before the Closing Date, must satisfy, as of the end of the RampUp Period, the Portfolio Profile Tests, the Collateral Quality Test and the Coverage Tests. If the expected Collateral Obligations are purchased by the end of the Ramp-Up Period, any excess funds reserved for that purpose will be available for investment in additional Collateral Obligations during the Reinvestment Period. Within 15 Business Days after the earlier of (i) the date by which the aggregate principal balance of the Collateral Obligations of the Issuer are equal to 80.0% of the Target Initial Par Amount (including any undrawn portion of the Class A-1a Notes) and (ii) 90 calendar days after the Closing Date (the "Interim Report Date"), the Issuer (or the Portfolio Manager on its behalf) will obtain and deliver to the Trustee and each Rating Agency a report, determined as of the Interim Report Date, calculating the tests included in the Interim Targets. If, as of the Interim Report Date, the Interim Targets are not satisfied, the Portfolio Manager will, until such time as each such Interim Target will be satisfied, provide to each Rating Agency a plan as to how the Issuer will satisfy the Collateral Quality Test (excluding the S&P CDO Monitor Test), and prior to the purchase by the Issuer of any additional Collateral Obligation, the Portfolio Manager shall obtain confirmation from S&P that such plan will not result in a qualification, downgrade or withdrawal of its initial ratings of the Secured Notes. "Interim Targets" will be satisfied when the Issuer has purchased Collateral Obligations with an aggregate principal balance and the characteristics set forth in the table below:

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Interim Targets Percentage of Target Initial Par Amount Minimum Fixed Coupon Minimum Floating Spread Minimum Diversity Score Maximum Weighted Average Rating Factor Maximum average price 80.00% 6.75% 2.10% minus the Floating Spread Adjustment Amount 45 2400 plus the Rating Factor Adjustment Amount 101.50%

If the additional Collateral Obligations, together with the Collateral Obligations purchased on or before the Closing Date and still held by the Issuer fail to satisfy the Portfolio Profile Tests, the Target Initial Par Condition and the Collateral Quality Test as of the end of the Ramp-Up Period, then (unless otherwise specified by the Rating Agencies) the Portfolio Manager will instruct the Trustee to transfer amounts from the Interest Collection Subaccount to the Principal Collection Subaccount (and with such funds will purchase additional Collateral Obligations) in an amount sufficient to obtain from each Rating Agency written confirmation of its initial ratings of the Secured Notes (provided that the amount of such transfer would not result in Deferred Interest being owed on any Class of Notes) or take such other action, sufficient to obtain from each Rating Agency written confirmation of its initial ratings of the Secured Notes.

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THE PORTFOLIO MANAGER The information appearing in this section has been prepared by Oak Hill Advisors, L.P., and has not been independently verified by the Co-Issuers or the Initial Purchasers. Accordingly, notwithstanding anything to the contrary herein, the Co-Issuers and the Initial Purchasers do not assume any responsibility for the accuracy, completeness or applicability of such information. General Oak Hill Advisors, L.P. will act as Portfolio Manager. Oak Hill Advisors, L.P. is led by Glenn R. August, William H. Bohnsack, Jr., Scott D. Krase, Robert B. Okun, Ty E. Wallach and Carl L. Wernicke. The investment professionals of Oak Hill Advisors, L.P. have extensive experience managing CDO's, including serving as advisors to Oak Hill Securities Fund, L.P., a market value CDO formed in August 1996 with an initial capitalization of $1.75 billion, Oak Hill Securities Fund II, L.P., a market value CDO established in September 1999 with an initial capitalization of $1.6 billion, Oak Hill Credit Partners I, Limited, a cash flow CLO established in October 2001 with a capitalization of $613.5 million, Oak Hill Credit Partners II, Limited, a cash flow CLO established in February 2003 with a capitalization of $503.5 million, Oak Hill Credit Partners III, Limited, a cash flow CLO established in December 2003 with a capitalization of $504.75 million, Oak Hill Credit Partners IV, Limited, a cash flow CLO established in July 2005 with a capitalization of $658.3 million and Oak Hill European Credit Partners I P.L.C., a dedicated European cash flow CLO established in June 2006 with a capitalization of 446 million. The investment professionals of Oak Hill Advisors, L.P. also participate in other investment management activities by managing a number of pooled investment funds and separately managed accounts, including the management of Oak Hill Special Opportunities Fund, L.P., an investment partnership focused on distressed investments, and Oak Hill Credit Alpha Fund, L.P., Oak Hill Credit Alpha Fund (Offshore) Ltd. and Oak Hill Credit Opportunities Master Fund, Ltd., investment funds focused on non-investment grade corporate debt. The Portfolio Manager's principal office is located at 65 East 55th Street, Park Avenue Tower, New York, New York 10022. The Portfolio Manager's investment philosophy stresses: (i) intensive credit analysis; (ii) relative value analysis; and (iii) active portfolio management. Intensive credit analysis is intended to be the cornerstone of the Portfolio Manager's investment strategy. Credit analysis includes: (i) business analysis, which involves a comprehensive fundamental evaluation of a company and includes historical and projected financial modeling; (ii) capital structure analysis, which evaluates the terms and structure of a company's debt and equity securities relative to the company's business risk; and (iii) valuation analysis, which considers the enterprise value of a company in both the public and private markets. In addition, the Portfolio Manager will attempt to identify relative value among industries, issuers and securities. This process focuses on evaluating the risks assumed by investors relative to the returns implied by asset prices. The Portfolio Manager believes that different industries possess different components of risk, which may include cyclical, technology, litigation, regulatory, valuation, financing and other risks. Furthermore, the Portfolio Manager believes that different companies possess different components of risk, which may include competitive, financial, management, ownership and other risks. Finally, each security or layer in an issuer's capital structure has a different measure of risk based on collateral, subordination, covenants, liquidity, interest rate sensitivity, amortization and other considerations. Through relative value analysis, the Portfolio Manager intends to evaluate these and other risks in identifying bank loans and high-yield debt securities that the Portfolio Manager believes offer attractive risk-adjusted returns. Finally, active portfolio management involves the continuous integration of credit and relative value analyses combined with, subject to the limitations in the Indenture, opportunistic management of the portfolio. The Portfolio Manager believes that active portfolio management will be an important component of its investment strategy because market conditions and companies' credit quality continually change.

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Oak Hill Advisors is a registered investment advisor. A copy of Part II of Oak Hill Advisors, L.P.'s most recent Form ADV is attached to this Offering Circular as Annex B. Additional information about Oak Hill Advisors, L.P. is available upon request. Biographies of Certain Key Individuals Glenn R. August, President and Senior Partner, has overall management responsibility for Oak Hill Advisors and supervises all investment, trading and operational activities. From 1990 to 1996, he was responsible for managing the leveraged securities portfolio of Acadia Partners, L.P. ("Acadia"), an investment partnership initially funded by Robert M. Bass and other selected investors. Since 1992, Mr. August has served as a managing partner of the advisor of Acadia and from 1992 to 1997 as a senior officer of Keystone, Inc., the primary investment vehicle controlled by Robert M. Bass. He co-founded each of Oak Hill Advisors' funds and serves as the managing partner of each of their management entities. In addition, he is a Managing Partner of the advisor to Oak Hill Special Opportunities Fund, L.P., a $500 million investment partnership focused on investments in distressed companies. Mr. August previously worked in the mergers and acquisitions department at Morgan Stanley in New York and London. He earned an M.B.A. from Harvard Business School, where he was a Baker Scholar, and a B.S. from Cornell University. He currently serves on the Board of Directors of iStar Financial Inc., TeleCity Group plc, Mount Sinai Children's Center Foundation and the 92nd St. Y. William H. Bohnsack, Jr., Chief Operating Officer and Senior Partner, has responsibility for managing various activities of Oak Hill Advisors, including business development, strategic planning and certain investment responsibilities. Mr. Bohnsack co-founded each of the funds and is a senior officer for each of their management entities. He is a member of the firms investment committees and has represented Oak Hill Advisors as a lead participant on numerous creditor committees. He joined the advisor of Acadia Partners, L.P. in 1993 as a high yield and distressed debt investor. He previously worked at Prudential Capital, where he was responsible for originating, structuring and acquiring private investments. In addition, Mr. Bohnsack worked in the fixed income department of Keystone Group, an independent investment management advisor. He earned an M.B.A. from the J.L. Kellogg Graduate School of Management at Northwestern University and a B.A., magna cum laude, from St. Lawrence University. Scott D. Krase, Co-Portfolio Manager and Senior Partner, shares responsibility for portfolio management and risk management activities of Oak Hill Advisors. He began his association with Oak Hill Advisors in 1993 when he joined Acadia Partners, L.P. Mr. Krase co-founded each of Oak Hill Advisors funds, and is a senior officer in each of its management entities. In addition, Mr. Krase has served as a lead participant on numerous creditor committees. He served two terms as Chairman of the Loan Syndications and Trading Association (LSTA), an industry organization, and currently serves as a member of its Board of Directors. He previously worked at TSA Capital Management, where he was a portfolio manager responsible for global asset allocation. Mr. Krase also worked in the mergers and acquisitions departments of Gleacher & Co. and Salomon Brothers. He holds a B.S., cum laude, from The Wharton School at the University of Pennsylvania and has earned the Chartered Financial Analyst designation. Robert Okun, Co-Portfolio Manager and Senior Partner, shares responsibility for portfolio management activities and is responsible for all trading activities of Oak Hill Advisors. Prior to joining Oak Hill Advisors in 2001, he was Executive Vice President and Member of the Executive Committee at USBancorp Libra, in charge of High Yield Sales, Trading and Research. Previously, Mr. Okun was a Managing Director at UBS Securities, LLC where he was responsible for all High Yield Sales and Trading activities. He began his career at Salomon Brothers Inc., where he worked for ten years, including two years as head high yield trader. Mr. Okun earned an A.B. in Economics and Psychology from Stanford University. He currently serves as the Co-Chair of the Finance Committee for the Jewish Guild for the Blind. Ty E. Wallach, Co-Head of European Investments, Managing Director and Partner, shares responsibility for Oak Hill Advisors investments in European companies and co-manages the firms European operations. Since joining Oak Hill Advisors in 1994, Mr. Wallach has held senior research 113

responsibility for numerous industries, including paper and forest products, packaging, consumer products and retail companies. Previously, Mr. Wallach worked at Kidder, Peabody & Co., Inc. where he was a member of the corporate finance department. He received an A.B. degree from Princeton University and has earned the Chartered Financial Analyst designation. Carl L. Wernicke, Managing Director and Partner, has senior research responsibility for Oak Hill Advisors investments in the basic manufacturing, chemical and energy industries. As the firms most senior research analyst, Mr. Wernicke also assists in supervising certain aspects of the research process. Prior to joining Oak Hill Advisors in 1999, Mr. Wernicke was a Vice President and High Yield Analyst at Goldman Sachs & Co. and UBS Securities, LLC where he was responsible for covering energy companies. He previously worked at SunAmerica, Inc. as a high yield securities portfolio manager. Mr. Wernicke earned an M.B.A. from University of Southern California and a B.S. from California State University. Other Key Professionals David C. Coquillette, Managing Director, shares responsibility for investment product marketing and client coverage. Prior to joining Oak Hill Advisors, Mr. Coquillette worked at Goldman Sachs & Co. for eight years, most recently as Managing Director and co-head of the Markets Coverage Group in its Investment Management Division. Prior to joining Goldman, he was an investment banker at Lehman Brothers and Bankers Trust focusing on transportation and industrial company M&A and general corporate/leveraged finance. He earned an MBA from the Wharton School at the University of Pennsylvania and a B.A. from DePauw University. He currently serves on the Board of Directors of Goodwill Industries of Greater New York and Northern New Jersey. John R. Monsky, Managing Director and General Counsel, provides legal services to Oak Hill Advisors, and also serves as General Counsel to Oak Hill Capital Management, LLC, a private equity investment firm. He previously worked as a mergers and acquisitions attorney with Paul, Weiss, Rifkind, Wharton & Garrison LLP. Mr. Monsky also served as Assistant Counsel to the United States Senate Select Committee investigating the Iran-Contra Affair and as a law clerk to the Hon. Thomas P. Griesa, Federal Judge, Southern District of New York. He earned a J.D. degree from Harvard Law School and a B.A. degree, summa cum laude, from Yale University. Richard P. Munn, Co-Head of European Investments and Managing Director, shares responsibility for Oak Hill Advisors investments in European companies and co-manages the firms European operations. He joined Oak Hill Advisors in May 2005 to establish the London office. Previously, Mr. Munn was Managing Director and Head of Loan Syndications for Europe and Asia at Deutsche Bank, where he was responsible for establishing the banks syndications effort. Prior to joining Deutsche Bank, he worked at The Toronto-Dominion Bank in London for twelve years, where he was responsible for their Loan Syndications business in Europe and Asia. Mr. Munn also worked previously at National Westminster Bank. Mr. Munn earned an M.A. from Cambridge University. Alan M. Schrager, Managing Director, has selected portfolio management responsibilities for Oak Hill Advisors CLOs. In addition, Mr. Schrager has senior investment responsibilities for selected proprietary investments. Prior to joining Oak Hill Advisors in 2003, Mr. Schrager was a Managing Director of USBancorp Libra, where he was responsible for originating, evaluating and structuring private equity, mezzanine and debt transactions. Previously, he held several positions at Primary Network, a data CLEC, including Chief Financial Officer, Head of Strategic Development and Interim Chief Executive Officer. In addition, Mr. Schrager worked in the Leveraged Finance and High Yield Capital Markets group of UBS Securities, LLC. He earned an M.B.A. from The Wharton School at the University of Pennsylvania, and a B.A. from the University of Michigan. Bhavin Shah, Managing Director, has primary responsibility for distressed debt transactions. Prior to joining Oak Hill Advisors, Mr. Shah worked with Ewing Management Group, formerly Carlyle Group's turnaround/distress-focused private equity fund, and Questor Partners, the private equity fund of Alix Partners. Prior to business school, he worked at Soros and McKinsey & Company. Mr. Shah

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earned a Dual B.A. with honors in Economics and Political Science from University of Michigan and an M.B.A. from Harvard Business School. Steven Wayne, Managing Director, has responsibility for Oak Hill Advisors investments in middle-market and proprietary sponsor transactions. Prior to joining the firm, Mr. Wayne was a Managing Director of Berenson & Company, a boutique investment and merchant bank, where he also served as the firms Chief Financial Officer. At Berenson, Mr. Wayne was responsible for developing and advising on merger, acquisition, restructuring and financing transactions as well as evaluating and executing principal transactions. Prior to Berenson, he worked at a middle market private equity firm and he began his career in the Corporate Finance Department of Drexel Burnham Lambert. Mr. Wayne earned a B.S., magna cum laude, from The Wharton School of the University of Pennsylvania. Raymond P. Murphy, Vice President and Controller, has primary responsibility for all accounting, reporting, and compliance activities of Oak Hill Advisors. Mr. Murphy previously worked at The Blackstone Group, LP and KPMG LLP. Mr. Murphy earned a B.S. from Boston College and is a Certified Public Accountant. Bob Fetter, Director of Operations, has responsibility for managing the operations personnel and fund accounting of Oak Hill Advisors. Prior to joining Oak Hill Advisors, he spent two years at Marin Capital where he was responsible for new business development and infrastructure to support the new trading strategies of the fund. Before Marin, Mr. Fetter spent five years as a Director of Risk Management at Nomura Securities where he managed the market risk group in New York. Prior to Nomura, he had twelve years of mortgage and fixed income derivative trading experience while working at Salomon, Cargill, and other smaller proprietary trading groups. Mr. Fetter has a SM degree from the Sloan School of Management, MIT and SM/SB degrees in Chemical Engineering from MIT. Jeffrey E. Kirt, Principal, serves as an investment analyst and has research responsibility for the media, aerospace and defense industries. Mr. Kirt previously worked in the High Yield Capital Markets group at USBancorp Libra and the Leveraged Finance and High Yield Capital Markets group at UBS Securities, LLC. He earned a B.A., with distinction, from Yale University. David Ren, Principal, serves as an investment analyst and has responsibility for the telecommunications, cable, broadcasting, media and entertainment industries. Mr. Ren previously worked at Merrill Lynch as an Associate in the Telecom Group and Analyst in the Leveraged Finance Group. He earned a B.S., cum laude, from Duke University. Thomas S. Wong, Principal, serves as an investment analyst and has responsibility for the consumer products, retail, food and beverage and technology industries. Mr. Wong previously worked at Deutsche Bank, where he was a member of the Debt Capital Markets group. He received a B.A., cum laude, from Harvard University and has earned the Chartered Financial Analyst designation. Jennifer Schultz Cohen, Principal and Bank Loan Trader, has primary responsibility for bank loan trading and other aspects of managing Oak Hill Advisors products. Ms. Cohen previously worked at Standard Asset Management where she was a Portfolio Manager of the firms U.S. high yield portfolio and the U.S. component of the firms leveraged loan portfolio. She was also a member of the firms Internal Credit Committee. She earned a B.B.A. in Accounting with distinction from The Goizueta Business School at Emory University. Ms. Cohen is a Certified Public Accountant. Ronna R. Hunt, Principal, has primary responsibility for all operational, accounting and reporting activities for Oak Hill Advisors cash flow CDOs and similarly managed separate accounts. She is also responsible for the acquisition and implementation of information systems. Prior to joining Oak Hill Advisors, she worked at Arthur Andersen LLP in its Financial Consulting and Audit Division. Ms. Hunt earned a B.B.A. with Departmental Honors, summa cum laude, from Texas Christian University where she was designated as The Senior Scholar in Accounting for her graduating class. She is a Certified Public Accountant. Charles A. Irwin, Jr., Principal, has primary responsibility for all accounting and reporting activities for several of Oak Hill Advisors investment funds and related entities. Mr. Irwin has served in a 115

senior financial management role for investment funds managed by Oak Hill Advisors. He also serves in an advisory capacity with respect to accounting and reporting activities. Mr. Irwin worked at Arthur Andersen LLP and Stationers Distributing Company in various accounting and auditing functions. Mr. Irwin earned a B.B.A. from the University of Texas, Arlington and is a Certified Public Accountant. Nadav Braun, Vice President, serves as an investment analyst and has research responsibility for health care and technology companies. Prior to joining Oak Hill Advisors, Mr. Braun was a Senior Vice President and Principal with Credit Research and Trading, a high yield trading boutique, where he served as an investment analyst. Mr. Braun previously worked as a research analyst at Quilcap Corp., a hedge fund, and began his career at Goldman, Sachs & Co. where he was a generalist in the Corporate Finance Group. He earned at B.A., magna cum laude, from Amherst College. Jason S. Epstein, Vice President, serves as an investment analyst with primary focus on European investments. He previously worked at Credit Suisse First Boston in its financial sponsors coverage and technology banking groups. Mr. Epstein earned a B.S., magna cum laude, from The Wharton School at the University of Pennsylvania. Vineet Singh, Vice President, serves as an investment analyst with primary focus on European investments. Mr. Singh previously worked at GE Commercial Finances corporate finance group and over five years at JPMorgans debt capital markets group. He earned an M.B.A. from INSEAD, a B.E. from Dartmouth College and a B.A., magna cum laude, from Middlebury College. Adam B. Kertzner, Vice President and High Yield Trader, has primary responsibility for high yield trading and other aspects of managing Oak Hill Advisors products. Mr. Kertzner previously served Oak Hill Advisors as an investment analyst and has worked at Credit Suisse First Boston in the financial sponsors coverage group. Mr. Kertzner earned a B.A. from Duke University. Suzanne L. Horowitz, Assistant General Counsel and Compliance Officer, provides legal and compliance services to Oak Hill Advisors. Ms. Horowitz previously worked as a private equity attorney with Ropes & Gray LLP where she represented sponsor groups in the formation of private equity direct investment and funds of funds and provided compliance advice to fund clients. She earned a J.D. from the Benjamin N. Cardozo School of Law and a B.A. from the University of Pennsylvania. Gregory S. Rubin, Assistant General Counsel and Chief Compliance Officer, provides legal and compliance services to Oak Hill Advisors. Mr. Rubin previously served as a Vice President and Regulatory Counsel in the Institutional Securities Group at Morgan Stanley and as a corporate and securities attorney at Lewis and Roca, LLP. Mr. Rubin earned a J.D. from Cleveland-Marshall College of Law and a B.B.A. degree from the University of Cincinnati. Mimi Liu, Investor Relations, shares responsibility for investor relations and certain aspects of new business development. Prior to joining Oak Hill Advisors, Ms. Liu was an investment professional at Offit Hall Capital Management LLC and The Rockefeller Foundation. She earned a M.P.A. from the Robert F. Wagner Graduate School of Public Service at New York University and a B.A., with distinction, from Yale University.

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THE PORTFOLIO MANAGEMENT AGREEMENT The Issuer and the Portfolio Manager will enter into the Portfolio Management Agreement pursuant to which the Portfolio Manager will perform certain administrative and advisory functions with respect to the Assets. Pursuant to the terms of the Portfolio Management Agreement, and in accordance with the requirements set forth in the Indenture, the Portfolio Manager will select the portfolio of Collateral Obligations and will instruct the Trustee with respect to any acquisition, disposition or sale of a Collateral Obligation, Eligible Investment or other Asset. The Portfolio Manager will, among other things, have the right, on behalf of the Issuer, to vote or refrain from voting any Collateral Obligation and to exercise any other rights or remedies with respect thereto consistent with the terms of the Indenture. None of the Initial Purchasers nor any affiliate thereof will select any of the Collateral Obligations. Pursuant to the terms of the Portfolio Management Agreement, the Portfolio Manager will monitor the Collateral Obligations and provide the Issuer with certain information received from The Bank of New York Trust Company, National Association, in its individual capacity and not as Trustee, as described below, with respect to the composition and characteristics of the Collateral Obligations, any disposition or tender of a Collateral Obligation, the reinvestment of the proceeds of any such disposition in Eligible Investments and with respect to the retention of the proceeds of any such disposition or the application thereof toward the purchase of an additional Collateral Obligation. As compensation for the performance of its obligations as Portfolio Manager, the Portfolio Manager will be entitled to receive a fee, which will accrue quarterly in arrears on each Payment Date (prorated for the related Interest Accrual Period), in an amount equal to the sum of (i) 0.25% per annum (calculated on the basis of a 360-day year consisting of twelve 30-day months) of the Fee Basis Amount at the beginning of the Collection Period relating to such Payment Date (the "Senior Collateral Management Fee"), (ii) 0.25% per annum (calculated on the basis of a 360-day year consisting of twelve 30-day months) of the Fee Basis Amount at the beginning of the Collection Period relating to such Payment Date (the "Subordinated Collateral Management Fee"), (iii) 0.25% per annum (calculated on the basis of a 360-day year consisting of twelve 30-day months) of the Fee Basis Amount at the beginning of the Collection Period relating to such Payment Date, which shall be earned on each Payment Date (provided, that such fee will be payable only if the Incentive Collateral Management Fee I Threshold has been met) (the "Incentive Collateral Management Fee I") and (iv) 0.25% per annum (calculated on the basis of a 360-day year consisting of twelve 30-day months) of the Fee Basis Amount at the beginning of the Collection Period relating to such Payment Date, which shall be earned on each Payment Date (provided, that such fee will be payable only if the Incentive Collateral Management Fee II IRR Threshold has been met) (the "Incentive Collateral Management Fee II" and, together with the Senior Collateral Management Fee, the Subordinated Collateral Management Fee and the Incentive Collateral Management Fee I, the "Collateral Management Fees"). The Subordinated Collateral Management Fee, the Incentive Collateral Management Fee I and the Incentive Collateral Management Fee II are payable on each Payment Date only to the extent that sufficient Interest Proceeds or Principal Proceeds are available, and, to the extent any such fee is not paid on any Payment Date for any reason, it will be deferred and will accrue interest at LIBOR, assuming an index maturity of three months from such Payment Date, compounded quarterly. The "Incentive Collateral Management Fee I Threshold" will be satisfied on any Payment Date if the Subordinated Notes have received on such Payment Date an amount at least equal to 8% per annum (prorated for the related Interest Accrual Period, calculated on the basis of a 360-day year consisting of twelve 30-day months) of the aggregate outstanding principal amount of the Subordinated Notes as of the related Determination Date (after giving effect to all payments made or to be made on such Payment Date); provided, however, that if the Subordinated Notes have not received an amount equal to the Incentive Collateral Management Fee I Threshold on any preceding Payment Dates, the positive difference between the Incentive Collateral Management Fee I Threshold for such preceding Payment Dates and the amounts actually received by the holders of the Subordinated Notes on such preceding Payment Dates pursuant to clause (S) of "Summary of TermsPriority of Payments Application of Interest Proceeds" and clause (F) of "Summary of TermsPriority of Payments Application of Principal Proceeds" shall be added to the Incentive Collateral Management Fee I 117

Threshold for the current Payment Date and any subsequent Payment Date (without interest) until paid in full. The "Incentive Collateral Management Fee II IRR Threshold" will be satisfied on any Payment Date if the Subordinated Notes have received an annualized internal rate of return (computed using the "XIRR" function in Microsoft Excel 2002 or an equivalent function in another software package and assuming for this purpose that all Subordinated Notes were purchased on the Closing Date at a price of 100%) of at least 12.0% on the outstanding investment in the Subordinated Notes as of the current Payment Date (after giving effect to all payments made or to be made on such Payment Date). "Fee Basis Amount" means, as of any date of determination, the sum of (a) the Collateral Principal Amount (including all Collateral Obligations held by any Non-U.S. Obligation Subsidiary and (b) the aggregate principal amount of all Defaulted Obligations. Neither the Portfolio Manager nor any of its directors, managers, officers, stockholders, members, partners, partnership committee members, employees, agents or affiliates will be liable to the Issuer, the Trustee or the holders of the Notes, the Initial Purchasers or any other person for any loss incurred as a result of the actions taken or recommended or for any omissions by the Portfolio Manager, its directors, managers, officers, stockholders, members, partners, partnership committee members, employees, agents or affiliates under the Portfolio Management Agreement or the Indenture or for any decrease in the value of the Collateral Obligations, except by reason of acts or omissions constituting bad faith, willful misconduct, gross negligence or willful breach of fiduciary duty in the performance, or reckless disregard, of its obligations thereunder; provided, that nothing in the Portfolio Management Agreement shall constitute a waiver of any rights which the Issuer may have under applicable United States federal securities laws. Pursuant to the terms of the Portfolio Management Agreement, the Issuer will indemnify and hold harmless the Portfolio Manager, its directors, managers, officers, stockholders, members, partners, partnership committee members, agents and employees and its affiliates and their directors, managers, officers, stockholders, members, partners, partnership committee members, agents and employees (each, an "Indemnified Party") from and against any and all losses, claims, damages, judgments, assessments, costs or other liabilities (other than losses in the value of a Collateral Obligation or Eligible Investment incurred by the Portfolio Manager or its affiliate in connection with a transaction in which it elects to acquire a Collateral Obligation or an Eligible Investment from the Issuer as principal) (collectively, "Liabilities"), and will promptly reimburse each such person for all reasonable fees and expenses (including reasonable fees and expenses of counsel) as such fees and expenses (collectively, the "Expenses") are incurred in investigating, preparing, pursuing or defending any claim, action, proceeding or investigation with respect to any pending or threatened litigation (collectively, the "Actions"), caused by, or arising out of or in connection with the Assets or business of the Issuer or any ETB/897/Non-U.S. Obligation Subsidiary or otherwise relating to the Indenture or the Portfolio Management Agreement, and/or any action taken by, or any failure to act by, such person; provided, however, that such person shall not be indemnified for any Liabilities or Expenses (x) it incurs as a result of any acts or omissions by any such person constituting bad faith, willful misconduct, gross negligence or willful breach of fiduciary duty in the performance, or reckless disregard, of the obligations of the Portfolio Manager under the Portfolio Management Agreement or the Indenture, or (y) it incurs with respect to the information concerning the Portfolio Manager included herein under the headings "The Portfolio Manager," "Risk FactorsRelating to Certain Conflicts of InterestThe Issuer Will Be Subject to Various Conflicts of Interest Involving the Portfolio Manager" and "Risk FactorsRelating to the Portfolio ManagerPerformance History of the Principals and Affiliates of the Portfolio Manager May Not Be Indicative of Future Results" that contains any untrue statement of material fact or omits to state a material fact necessary in order to make the statements herein, in light of the circumstances under with they were made, not misleading. The obligations of the Issuer to indemnify any Indemnified Party for any Losses shall be payable solely out of the Assets in accordance with the Priority of Payments. The Indemnified Parties are not required to consult with, or obtain the consent of, the Issuer with respect to any settlement, negotiation or other act of the Indemnified Parties in connection with any Action.

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The Portfolio Management Agreement may not be amended, except in certain limited circumstances, without the consent of (i) a majority of each Class of Notes entitled to vote or the percentage sufficient to meet the consent requirements for such an amendment if it were made to the Indenture, whichever is greater and (ii) the written confirmation of each Rating Agency that such amendment will not cause the reduction or withdrawal of their ratings of any Class of Secured Notes. The Indenture places significant restrictions on the Portfolio Manager's ability to buy and sell Assets, and the Portfolio Manager is required to comply with these restrictions contained in the Indenture. Accordingly, during certain periods or in certain specified circumstances, the Portfolio Manager may be unable to buy or sell securities or to take other actions which it might consider in the best interest of the Issuer and the holders of Notes, as a result of the restrictions set forth in the Indenture. In its capacity as investment adviser and manager, the Portfolio Manager may engage in other business and furnish investment management and advisory services to other clients whose investment policies are the same as or overlap with those followed by the Portfolio Manager on behalf of the Issuer as required by the Indenture. The Portfolio Manager may make recommendations or effect transactions which may differ from those effected with respect to the Assets. In addition, the Portfolio Manager may from time to time cause or direct other accounts managed by the Portfolio Manager to buy or sell, or may recommend to the accounts the buying and selling of securities of the same or of a different kind or class of the same issuer, as securities or other obligations which are part of the Assets which the Portfolio Manager directs to be purchased or sold on behalf of the Issuer. Accordingly, conflicts may arise regarding the allocation of investment opportunities among the Issuer and the other accounts managed by the Portfolio Manager. Situations may occur where the Issuer could be disadvantaged because of the investment activities conducted by the Portfolio Manager for such other accounts. See "Risk Factors Relating to Certain Conflicts of Interest." The Portfolio Management Agreement provides that the Portfolio Manager shall not direct the Trustee (a) to acquire an obligation to be included in the Assets from the Portfolio Manager as principal, any affiliate of the Portfolio Manager or any account or portfolio for which the Portfolio Manager or any of its affiliates serves as investment advisor or (b) to sell an obligation to the Portfolio Manager as principal, any affiliate of the Portfolio Manager or any account or portfolio for which the Portfolio Manager or any of its affiliates serves as investment advisor, unless the terms and conditions thereof are no less favorable to the Issuer as the terms it would obtain in a comparable arm's length transaction with a non-affiliate and the transactions are effected in accordance with all applicable laws (including, without limitation, the Investment Advisers Act of 1940, as amended). The Portfolio Manager may employ third parties (including affiliates) to render advice (including investment advice) and assistance to the Issuer and to perform any of its duties under the Portfolio Management Agreement; provided, however, that the Portfolio Manager shall not be relieved of any of its duties under the Portfolio Management Agreement regardless of the performance of any services by third parties. The Portfolio Manager may be removed for cause (i) by the Issuer or the Trustee upon written notice thereof to the holders of the Notes stating that such termination will be effective unless rejected in writing within 30 days after the date of such notice by a majority of the aggregate outstanding principal amount of the Controlling Class and/or the holders of a majority of the Subordinated Notes (except pursuant to Paragraph (3) below where such notice to holders of Secured Notes and holders of the Subordinated Notes shall not be required), (ii) in the case of an event described in Paragraph (3) below, by the Issuer or the Trustee upon 10 days' prior written notice to the Portfolio Manager, (iii) by the holders of a majority of the aggregate outstanding principal amount of the Controlling Class of Notes upon 10 days' prior written notice to the Portfolio Manager or (iv) by the holders of a majority of the aggregate outstanding principal amount of the Subordinated Notes upon 10 days prior written notice to the Portfolio Manager. For purposes of determining whether the holders of the required percentage of aggregate outstanding principal amount of the Notes have rejected (in the case of clause (i) above) or given (in the case of clause (iii) above) notice of removal of the Portfolio Manager for cause, Notes owned by the Portfolio Manager or any affiliate thereof will be disregarded and deemed to be not outstanding. No such 119

termination or removal will be effective until the date as of which a successor Portfolio Manager has agreed in writing to assume all of the Portfolio Manager's duties and obligations pursuant to the Portfolio Management Agreement and as specified in the Indenture. Any such successor Portfolio Manager must be approved by a majority of the Controlling Class. For purposes of determining "cause" with respect to any such termination of the Portfolio Manager, such term includes, without limitation, any one of the following events: (1) the Portfolio Manager willfully violates, or takes any material action that it knows breaches, any provision of the Portfolio Management Agreement or the Indenture applicable to it; (2) the Portfolio Manager breaches in any respect any provision of the Portfolio Management Agreement or any terms of the Indenture applicable to it (other than as covered by clause (1) and it being understood that failure to meet any Coverage Test, any Portfolio Profile Test or the Collateral Quality Test is not such a violation) (except for any violation or breach that has not had, or could not reasonably be expected to have, a material adverse effect on the Assets, the holders of any Class of the Notes or the Co-Issuers) and fails to cure such breach within 30 days of its becoming aware of, or its receiving notice from, the Trustee of, such breach, or, if such breach is not capable of cure within 30 days, the Portfolio Manager fails to cure such breach within the period in which a reasonably diligent person could cure such breach (but in no event more than 60 days); (3) certain events of bankruptcy or insolvency with respect to the Portfolio Manager;

(4) the occurrence of an Event of Default under the Indenture that consists of a default in the payment of principal or interest on the Secured Notes when due and payable and results from any breach by the Portfolio Manager of its duties under the Portfolio Management Agreement or under the Indenture; (5) the occurrence of an act by the Portfolio Manager that constitutes fraud or criminal activity in the performance of its obligations under the Portfolio Management Agreement, or the Portfolio Manager or any of its senior executive officers (in the performance of his or her investment management duties) being indicted for a criminal offense; or (6) a change of control shall occur with respect to the Portfolio Manager.

If any of the events specified in the definition of "cause" shall occur, the Portfolio Manager shall give prompt written notice thereof to the Issuer, each Rating Agency, each holder of Notes and the Trustee upon the Portfolio Manager's becoming aware of the occurrence of such event. Holders of a majority of the aggregate outstanding principal amount of the Controlling Class may waive any event described in (1), (2), (4), (5) or (6) above as a basis for termination of the Portfolio Management Agreement and removal of the Portfolio Manager thereunder. Notwithstanding any other provisions of the Portfolio Management Agreement to the contrary, in the event that a Key Manager Event occurs, the Portfolio Manager shall, within 15 days of such event, notify all holders of Subordinated Notes of the occurrence of such event and propose one or more individuals (the "Proposed Replacement(s)") to succeed to the responsibilities previously held by the Key Managers. The holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes will have 30 days from the date of the proposal to reject the Proposed Replacement(s) in writing. In the event no such notice of rejection is received by the Portfolio Manager prior to the expiration of such 30-day period, the holders of the Subordinated Notes will be deemed to have consented to such Proposed Replacement(s) and the current Portfolio Manager shall remain Portfolio Manager. In the event that the holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes reject the Proposed Replacement(s), as provided in the foregoing paragraph, the Portfolio Manager will propose one or more other Proposed Replacement(s) within 15 days of the date of rejection, and the holders of the Subordinated Notes shall have another 30 days from the date of the 120

second proposal to reject such Proposed Replacement(s) (and subject to the same requirements) as provided above. If the holders of the Subordinated Notes reject such additional Proposed Replacement(s) and the Portfolio Manager has been notified of such rejection within the requisite 30-day period, the holders of the Subordinated Notes will have the right, upon the vote of the holders of at least 66% of the aggregate outstanding principal amount of the Subordinated Notes and upon written notice to each of the Rating Agencies, to terminate the Portfolio Management Agreement and replace the Portfolio Manager with a successor manager; provided, that the successor manager has assumed in writing all of the duties of the Portfolio Manager pursuant to a new portfolio management agreement within 30 days of the date of the second rejection. Any such successor manager must also be approved by a majority of the Controlling Class. No termination or removal of the Portfolio Manager will be effective until the date as of which a successor manager has been appointed by the outstanding holders of Subordinated Notes and such successor manager has agreed in writing to assume all of the duties of the Portfolio Manager under a new portfolio management agreement. In the event that the successor manager has not been appointed or has not assumed the duties of the Portfolio Manager in writing within the requisite 30-day period, the Portfolio Manager will continue to serve as the portfolio manager to the Issuer with such individuals as it deems appropriate to manage the investments of the Issuer, regardless of any subsequent action taken by the outstanding holders of Subordinated Notes or the successor advisor. A "Key Manager Event" shall occur if none of Glenn R. August, William H. Bohnsack Jr., Scott D. Krase or Robert B. Okun is actively involved in the affairs of the Portfolio Manager with respect to the Issuer. "Key Managers" means each of Glenn R. August, William H. Bohnsack, Jr., Scott D. Krase and Robert B. Okun. The Portfolio Manager may not assign its rights or responsibilities under the Portfolio Management Agreement without the consent of the Issuer (acting at the direction of the holders of a majority of the aggregate outstanding principal amount of the Subordinated Notes) and the holders of a majority of the aggregate outstanding principal amount of the Notes of the Controlling Class. The Portfolio Manager may resign upon 90 days' written notice to the Issuer. No such resignation will be effective until the date as of which a successor Portfolio Manager has agreed in writing to assume all of the Portfolio Manager's duties and obligations pursuant to the Portfolio Management Agreement and as specified in the Indenture. The Portfolio Manager may delegate its duties under the Portfolio Management Agreement to an affiliate without obtaining such consents and written confirmation (but with prior written notice to the Issuer, the Trustee and each Rating Agency) so long as such delegation does not constitute an "assignment" for purposes of Section 205(a)(2) of the Investment Advisers Act of 1940, as amended, and such affiliate (A) has demonstrated an ability to professionally and competently perform duties similar to those imposed on the Portfolio Manager under the Portfolio Management Agreement, (B) is legally qualified and has the capacity to act as Portfolio Manager under the Portfolio Management Agreement and (C) immediately after such delegation, employs principal personnel performing the duties required thereunder who are the same individuals who would have performed such duties had the delegation not occurred. In the event of a change of control with respect to the Portfolio Manager that would be deemed to be an assignment within the meaning of the Investment Advisers Act of 1940, as amended, any consent required to such deemed assignment pursuant to such act may be given by the Issuer without the consent of any holders. The Portfolio Management Agreement expressly provides that holders of Offered Securities are not third party beneficiaries of the Portfolio Management Agreement. Upon any resignation or removal of the Portfolio Manager, the Issuer is required to appoint, subject to the approval of a majority of the Notes of the Controlling Class, an institution which, among 121

other things, (i) has demonstrated an ability to professionally and competently perform duties similar to those imposed upon the Portfolio Manager and (ii) is legally qualified and has the capacity to act as Portfolio Manager. Upon expiration of the applicable notice period with respect to termination specified in the Portfolio Management Agreement, all authority and power of the Portfolio Manager under the Portfolio Management Agreement, whether with respect to the Collateral Obligations or otherwise, shall automatically and without further action by any person or entity pass to and be vested in the successor Portfolio Manager upon the appointment thereof. Pursuant to the terms of the Indenture, the Issuer will retain The Bank of New York Trust Company, National Association to prepare certain reports and other information with respect to the Collateral Obligations. The compensation paid to The Bank of New York Trust Company, National Association by the Issuer for such services will be in addition to the fees paid to the Portfolio Manager and to The Bank of New York Trust Company, National Association in its capacity as Trustee, and will be treated as an Administrative Expense of the Issuer under the Indenture and will be subject to the priorities set forth under "Summary of TermsPriority of Payments."

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THE CO-ISSUERS General OHA Park Avenue CLO I, Ltd. is a company incorporated under the Companies Law (2004 Revision) of the Cayman Islands for the sole purpose of acquiring the Collateral Obligations, issuing the Offered Securities and engaging in certain related transactions. The Issuers operations are governed by the Cayman Islands Companies Law. The Issuer was incorporated on July 13, 2006 in the Cayman Islands with registered number 170973 and has an indefinite existence. The Issuer's registered office is at the offices of Maples Finance Limited, PO Box 1093GT, Queensgate House, South Church Street, George Town, Grand Cayman, Cayman Islands. The telephone number of the Issuer at such address is (345) 945-7099. The directors of the Issuer are Carlos Farjallah and Wendy Ebanks. The principal outside function of the directors of the Issuer consists of serving as officers for Maples Finance Limited, a licensed trust company incorporated in the Cayman Islands, and they may be contacted at the offices of Maples Finance Limited. The directors of the Issuer serve as directors of and provide services to other special purpose entities that issue collateralized obligations and perform other duties for the Administrator. The Issuer has no prior operating history. The Issuer does not publish any financial statements. Subject to the contracting restrictions imposed upon the Issuer by the Indenture, the directors of the Issuer have the power to borrow on behalf of the Issuer. A director of the Issuer is not required to own any shares in the Issuer in order to qualify as a director. A director of the Issuer (or his alternate director in his absence) is at liberty to vote in respect of any contract or transaction in which he is interested; provided, that the nature of the interest of any director or alternate director in any such contract or transaction is disclosed by him or the alternate director appointed by him at or prior to its consideration and any vote on it. The directors (and their alternates) are not entitled to any remuneration. Any director may act by himself or his firm in a professional capacity for the Issuer and he or his firm is entitled to remuneration for professional services as if he were not a director. A director is at liberty to vote in respect of any matter relating to his remuneration; provided, that the nature of his interest is disclosed prior to the matter being considered and voted upon by the board of directors. As of the Closing Date, the authorized share capital of the Issuer will consist of 250 ordinary voting shares, $1.00 par value per share, 250 of which have been issued and are outstanding (the "Issued Ordinary Shares"). All of the Issued Ordinary Shares of the Issuer are, or will be on the Closing Date, held by Maples Finance Limited (in such capacity, the "Share Trustee"), under the terms of a declaration of trust in favor of charitable purposes. The Issuer will not have any material assets other than the Collateral Obligations and certain other eligible assets. The Collateral Obligations and such other eligible assets will be pledged to the Trustee as security for the Issuer's obligations under the Secured Notes and the Indenture. OHA Park Avenue CLO I, Corp. was incorporated under the General Corporation Law of the State of Delaware for the sole purpose of co-issuing the Class A Notes, the Class B Notes and the Class C Notes. The Co-Issuers operations are governed by the Delaware General Corporation Law. The CoIssuer was incorporated on January 9, 2007 in the State of Delaware with registered number 4281983 and has an indefinite existence. The Co-Issuer's registered office is at 850 Library Avenue, Newark, Delaware (Newcastle County). The Co-Issuer has no substantial assets and will not pledge any assets to secure the Notes. The sole director and officer of the Co-Issuer is Donald J. Puglisi. The principal outside function of Donald J. Puglisi consists of being a finance professor emeritus at the University of Delaware and serving as a corporate director for a variety of entities. Donald J. Puglisi may be contacted at the office of the Co-Issuer. The telephone number of the Co-Issuer at such address is (302) 738-7210. The Co123

Issuer has no prior operating history. Unless otherwise required pursuant to the Indenture, the Co-Issuer will not publish any financial statements. The Co-Issuer's authorized common stock consists of 1,000 shares of common stock, $0.01 par value (the "Co-Issuer Common Stock"). All of the Co-Issuer Common Stock is, or will be on the Closing Date, held by the Share Trustee, under the terms of a declaration of trust in favor of charitable purposes. The Offered Securities are not obligations of the Trustee, the Portfolio Manager, the Initial Purchasers or any of their respective affiliates, the Administrator, the Share Trustee or any directors or officers of the Co-Issuers. Capitalization of the Issuer The Issuer's initial proposed capitalization and indebtedness as of the Closing Date after giving effect to the issuance of the Offered Securities and the Issued Ordinary Shares (before deducting expenses of the offering) is set forth below: Class A-1a Notes............................ Class A-1b Notes............................ Class A-2 Notes.............................. Class B Notes ................................. Class C Notes................................. Class D Notes................................. Subordinated Notes ........................ Total Debt........................... Issued Ordinary Shares .................. Retained Earnings .......................... Total Equity ........................ Total Capitalization ............
1

Amount $50,000,0001 $346,560,000 $30,940,000 $36,560,000 $25,310,000 $28,130,000 $45,000,000 $562,500,000 $250 $250 $500 $562,500,5002

Includes unfunded Commitments. On the Closing Date, $0 in Borrowings will be made under the Class A-1a Notes. 2 Unaudited. The Co-Issuer has no other liabilities other than the Class A Notes, the Class B Notes and the Class C Notes. Business of the Co-Issuers The Issuer's Memorandum of Association describes the objects of the Issuer, which include the business to be carried out by the Issuer in connection with the Offered Securities. The Co-Issuer's certificate of incorporation describes the objects of the Co-Issuer, which include the business to be carried out by the Co-Issuer in connection with the Notes. The Co-Issuers have not issued securities, other than ordinary or common shares, prior to the date of Offering Circular and have not listed any securities on any exchange. The Co-Issuers will not undertake any business other than the issuance of the Class A Notes, the Class B Notes and the Class C Notes and, in the case of the Issuer, the issuance of the Class D Notes and the Subordinated Notes and the management of the Assets and other related transactions. Neither of the Co-Issuers will have any subsidiaries (except, in the case of the Issuer, any subsidiary formed for the sole purpose of holding (I) stock of one or more corporations or other assets that are or may be treated as United States real property interests for purposes of Section 897 of the Code received in a workout of a Defaulted Obligation or otherwise acquired in connection with a workout of a Collateral Obligation (each, an "897 Subsidiary"), (II) equity interests in "partnerships" (within the meaning of Section 7701(a)(2) of the Code), "grantor trusts" (within the meaning of the Code) or entities that are disregarded as separate from their owners for U.S. federal income tax purposes that are or may 124

be engaged or deemed to be engaged in a trade or business in the United States received in a workout of a Defaulted Obligation or otherwise acquired in connection with a workout of a Collateral Obligation (each, an "ETB Subsidiary") or (III) Collateral Obligations issued by non-U.S. obligors that, if acquired directly by the Issuer, would result in the imposition of withholding tax by the non-U.S. obligors' jurisdiction of organization) (each, a "Non-U.S. Obligation Subsidiary" and, together with the ETB Subsidiaries and the 897 Subsidiaries, the "ETB/897/Non-U.S. Obligation Subsidiaries"). In general, subject to the credit quality and diversity of the Collateral Obligations and general market conditions and the need (in the judgment of the Portfolio Manager) to satisfy the Coverage Tests, the Portfolio Profile Tests and the Collateral Quality Test or to obtain funds for the redemption or payment of the Offered Securities, the Issuer will own the Assets and will receive payments of interest and principal on the Collateral Obligations and Eligible Investments as the principal source of its income. The ability to purchase additional Collateral Obligations and sell Collateral Obligations prior to maturity is subject to significant restrictions under the Indenture. See "Security for the Secured NotesSales of Collateral Obligations; Additional Collateral Obligations and Investment Criteria." Maples Finance Limited (the "Administrator"), a Cayman Islands licensed trust company, will act as 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 between the Administrator and the Issuer (the "Administration Agreement"), the Administrator will perform various management functions on behalf of the Issuer, including communications with shareholders and the general public, and the provision of certain clerical, administrative and other services in the Cayman Islands until termination of the Administration Agreement. In consideration of the foregoing, the Administrator will receive various fees and other charges payable by the Issuer at rates agreed upon from time to time plus expenses. The activities of the Administrator under the Administration Agreement will be subject to the overview of the Issuer's Board of Directors. The Administration Agreement may be terminated by either the Issuer or the Administrator upon three months' written notice, in which case a replacement Administrator will be appointed. The Administrator's principal office is Maples Finance Limited, P.O. Box 1093 GT, Queensgate House, South Church Street, George Town, Grand Cayman, Cayman Islands.

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INCOME TAX CONSIDERATIONS General The following summary describes the principal U.S. federal income tax and Cayman Islands tax consequences of the purchase, ownership and disposition of the Notes to investors that acquire the Notes at original issuance and, in the case of the Secured Notes, for an amount equal to the Issue Price of the relevant Class of Secured Notes (for purposes of this section, with respect to each such Class of Secured Notes, the first price at which a substantial amount of Secured Notes of such Class are sold to investors (excluding bond houses, brokers, underwriters 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 and Cayman Islands tax laws. In general, the summary assumes that a holder holds an Offered Security as a capital asset and not as part of a hedge, straddle or conversion transaction, within the meaning of Section 1258 of the Code. ______________________________________ 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 taxpayer's 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. and Cayman Islands tax laws, regulations (final, temporary and proposed), administrative rulings and practice and judicial decisions in effect or available on the date of this Offering Circular. 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 Offered Securities as described herein. ACCORDINGLY, PROSPECTIVE PURCHASERS OF THE OFFERED SECURITIES SHOULD CONSULT THEIR OWN TAX ADVISORS AS TO U.S. FEDERAL INCOME TAX AND CAYMAN ISLANDS TAX CONSEQUENCES OF THE PURCHASE, OWNERSHIP AND DISPOSITION OF THE OFFERED SECURITIES, AND THE POSSIBLE APPLICATION OF STATE, LOCAL, FOREIGN OR OTHER TAX LAWS. As used in this section, the term "U.S. Holder" includes a beneficial owner of an Offered Security 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 (except with respect to specific issues discussed herein), charitable remainder trusts and their 126

beneficiaries, insurance companies, persons or their qualified business units whose functional currency is not the U.S. Dollar, persons that own (directly or indirectly) equity interests in holders of Offered Securities and subsequent purchasers of the Offered Securities. For U.S. federal income tax purposes, the Issuer will be treated as the issuer of the Notes. United States Federal Income Taxation Tax Treatment of the Issuer The Code and the Treasury Regulations promulgated thereunder provide a specific exemption from U.S. federal income tax to non-U.S. corporations which restrict their activities in the United States to trading in stocks and securities (and any other activity closely related thereto) for their own account, 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 ("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, revenue ruling or judicial decision, under current law and assuming compliance with the Indenture, the Portfolio Management Agreement, and other related documents (the "Documents") by all parties thereto, the Issuer's contemplated activities will not cause it to be engaged in a trade or business in the United States under the Code and, consequently, the Issuer's profits will not be subject to U.S. federal income tax on a net income basis (or the branch profits tax described below). 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 on certain factual assumptions and representations as to the Issuer's contemplated activities. The Issuer intends to conduct its affairs in accordance with such assumptions and representations, and the remainder of this summary assumes such result. In addition, in interpreting and complying with the Documents and such assumptions and representations, the Issuer and the Portfolio Manager are 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 aforementioned opinion of Special U.S. Tax Counsel, it were determined that the Issuer (or any ETB Subsidiary or 897 Subsidiary) were engaged in a trade or business in the United States (as defined in the Code), and the Issuer (or such subsidiary, as applicable) had taxable income that was effectively connected with such U.S. trade or business, the Issuer (or such ETB Subsidiary or 897 Subsidiary) 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 on the Issuer would materially affect the Issuer's financial ability to make payments with respect to the Offered Securities and could materially affect the yield of the Secured Notes and the return on the Subordinated Notes. Legislation recently proposed in the U.S. Senate would, for tax years beginning at least two years after its enactment, tax a non-U.S. corporation as a U.S. corporation if the equity of that corporation is regularly traded on an established securities market and the management and control of the corporation 127

occurs primarily within the United States. It is unknown whether this proposal will be enacted in its current form and whether, if enacted, the Issuer would be subject to its provisions. However, upon enactment of this or similar legislation, the Issuer will be permitted, with Rating Agency confirmation pursuant to a supplemental indenture, to take such action as it deems advisable to prevent the Issuer from being subject to such legislation. These actions could include removing some classes of Notes from listing on the Irish Stock Exchange. 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 or its subsidiaries 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 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, with limited exceptions for certain fees, the Issuer is permitted to acquire a particular Collateral Obligation directly (or indirectly through a Non-U.S. Obligation Subsidiary) only if the payments thereon are exempt from U.S. withholding taxes at the time of purchase or the obligor is required to make "grossup" payments that offset fully any such tax on any such payments. Accordingly, assuming compliance with the foregoing restrictions and subject to the foregoing qualifications, income derived by the Issuer will be free of or fully "grossed up" for any material amount of U.S. withholding tax. However, 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. For example, the IRS and Treasury have been considering whether to provide specific guidance on the treatment of credit default swaps. It is possible that such future guidance could subject payments made by a U.S. credit protection buyer to a foreign credit protection seller to U.S. withholding taxes, which could affect certain payments received by the Issuer under such Synthetic Securities. It is also anticipated that the Issuer will acquire Collateral Obligations that consist of obligations of non-U.S. issuers. In this regard, with limited exceptions for certain fees, the Issuer may only acquire a particular Collateral Obligation directly (or indirectly through a Non-U.S. Obligation Subsidiary) if either the payments thereon are not subject to foreign withholding tax or the obligor of the Collateral Obligation is required to make "gross-up" payments. Prospective investors should be aware that, under certain Treasury Regulations, the IRS may disregard the participation of an intermediary in a "conduit" financing arrangement and the conclusions reached in the immediately preceding paragraph assume that such Treasury Regulations do not apply. Those Treasury Regulations could require withholding of U.S. federal income tax from payments to the Issuer of interest on the Assets. In order to prevent "conduit" classification, each holder and beneficial owner of a Certificated Subordinated Note and each initial beneficial owner of a Subordinated Note in the form of a Global Note that, in each, case is not a "United States person" (as defined in Section 7701(a)(30) of the Code) will be required to provide to the Issuer and the Trustee written certification in a form of certification acceptable to the Issuer and the Trustee as to whether it is an Affected Bank. No transfer of any Subordinated Note to an Affected Bank will be effective, and the Trustee will not recognize any such transfer, unless such transfer is specifically authorized by the Issuer in writing; provided, however, that the Issuer shall authorize any such transfer if (x) such transfer would not cause more than 33% of the aggregate outstanding principal amount of such class of Offered Securities to be owned by Affected Banks or (y) the transferor is an Affected Bank previously approved by the Issuer. In addition, each holder and beneficial owner of a Class A-1a Note will represent and warrant and each holder and beneficial owner of a Class D Note and each holder and beneficial owner other than the initial beneficial owner of a Subordinated Note in the form of a Global Note will be deemed to have represented and warranted that such person is not an Affected Bank. "Affected Bank" means a "bank" for purposes of Section 881 of the Code or an entity affiliated with such a bank that neither (x) meets the definition of a "U.S. Holder" or (y) is entitled to the benefits of an income tax treaty with the United States under which 128

withholding taxes on interest payments made by obligors resident in the United States to such bank are reduced to 0%. Tax Treatment of U.S. Holders of the Secured Notes Treatment of the Secured Notes. In the opinion of Special U.S. Tax Counsel, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes will be, and the Class D Notes should be, treated as debt for U.S. federal income tax purposes when issued and this summary assumes such treatment. Further, the Issuer will treat, and each holder and beneficial owner of a Secured Note (by acquiring such Secured Note or an interest in such Secured Note) will agree to treat, such Secured Note as debt for U.S. federal income tax purposes, except (x) as otherwise required by applicable law, (y) to the extent a U.S. Holder makes a protective QEF election (as described below under "Tax Treatment of U.S. Holders of Subordinated NotesInvestment in a Passive Foreign Investment Company"), or (z) to the extent that the holder files certain United States tax information returns required of only certain equity owners with respect to various reporting requirements under the Code (as described below under " Transfer Reporting Requirements" and "Tax Return Disclosure and Investor List Requirements"), and this summary assumes such treatment. With regard to the characterization for U.S. federal income tax purposes of the Secured Notes issued after the Closing Date, prospective investors should note that the characterization of an instrument as debt or equity for U.S. federal income tax purposes is highly factual and must be based on the applicable law and the facts and circumstances existing at the time such instrument is issued (which, in the case of the Class A-1a Notes, would include the time of each draw on such Notes) and material changes from those existing on the Closing Date (e.g. a material decline in the value of the Issuer's assets, a material adverse change in the Issuer's ability to repay the Secured Notes previously issued, and/or a material decline in the proportion of the Subordinated Notes) could affect the characterization of the Secured Notes issued after (but not before) such changes. However, the opinion of Special U.S. Tax Counsel is based on current law and certain representations and assumptions (which, in the case of the Class A-1a Notes, includes the assumption that, at the time of any draw, repayment of such Notes will not be speculative) 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 Secured Notes. Accordingly, there can be no assurance that the IRS will not contend, and that a court will not ultimately hold, that for U.S. federal income tax purposes one or more Classes of the Secured Notes (e.g., the Class D Notes as a result of the terms of these Notes and place in the Issuer's capital structure) are properly treated as equity in the Issuer. Recharacterization of a Class of Secured Notes, particularly the Class D 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 Subordinated Notes also holds all of the more senior Class of Secured Notes in the same proportion as the Subordinated Notes are held. In that case, the U.S. federal income tax consequences to U.S. Holders of the Secured Notes would be substantially the same as those set forth under "Tax Treatment of U.S. Holders of Subordinated Notes" and there might be adverse U.S. federal income tax consequences to a U.S. Holder of Secured Notes upon the sale, redemption, retirement or other disposition of, or the receipt of certain types of distributions on, the Secured Notes. The following discussion assumes that the Secured Notes will be treated as debt of the Issuer for U.S. federal income tax purposes. Interest or Discount on the Secured Notes. U.S. Holders of the Secured Notes generally will include in gross income payments of stated interest treated as qualified stated interest (as defined below) as received in accordance with their usual method of tax accounting, as ordinary interest income from sources outside the United States. If the Issue Price of a Class of Secured Notes is less than the "stated redemption price at maturity" of such Class of Secured Notes by more than a de minimis amount, U.S. Holders of Secured Notes of such Class will be considered to have purchased such Secured Notes with original issue discount ("OID"). The stated redemption price at maturity of a Class of Secured Notes will be the sum of all payments to be received on Secured Notes of such Class, other than payments of "qualified stated interest" (i.e., generally, stated interest which is unconditionally payable in money at least annually during the entire term of a debt instrument). Interest is unconditionally payable if reasonable remedies exist to compel payment or the terms of the instrument make late payment or non-payment remote. Prospective 129

U.S. Holders of the Class B Notes, the Class C Notes and the Class D Notes should note that, because interest on these Notes may not qualify as unconditionally payable on each Payment Date (and, therefore, may not be "qualified stated interest"), all of the stated interest payments on these Classes of Secured Notes may be included in the stated redemption prices at maturity, and required to be accrued by U.S. Holders pursuant to the OID rules described below. The Issuer intends to treat the Class B Notes, the Class C Notes and the Class D Notes as not being issued with qualified stated interest and, therefore, subject to the OID rules described herein. Such OID inclusion on such Secured Notes generally will be treated as income from sources outside the United States. A U.S. Holder of a Class of Secured Notes issued with OID will be required to accrue and include in gross income the sum of the "daily portions" of total OID on such Secured Notes for each day during the taxable year on which the U.S. Holder held such Secured Notes, generally under a constant yield method, regardless of such U.S. Holder's usual method of accounting for U.S. federal income tax purposes. If a Secured Note is issued at a discount from its stated principal balance and that discount is considered to represent only a de minimis amount of OID, such discount is not subject to accrual under the OID rules and should be included 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 the Secured Note is a capital asset in the hands of the U.S. Holder. In the case of such Class of Secured Notes that provides for a floating rate of interest, the amount of OID to be accrued over the term of such Secured Notes will be based initially on the assumption that the floating rate in effect for the first accrual period of such Secured Notes will remain constant throughout their term. To the extent such rate varies with respect to any accrual period, such variation will be reflected in an increase or decrease of the amount of OID accrued for such period. Under the foregoing method, U.S. Holders of the Secured Notes 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. The Issuer intends to treat Classes of Secured Notes issued with more than de minimis OID as being subject to rules prescribed by Section 1272(a)(6) of the Code using an assumption as to the prepayments on such Class of Secured Notes, as discussed below under "OID on the Secured Notes." A prepayment assumption applies to debt instruments if payments under such debt instruments may be accelerated by reason of prepayments of other obligations securing such debt instruments. OID on the Secured Notes. The following discussion will apply to a Class of Secured Notes if it is issued with more than de minimis OID. Because principal repayments on the Secured Notes are subject to acceleration, the method by which OID on the Secured Notes is required to be accrued is uncertain. For purposes of accruing OID on these Secured Notes under such circumstances, the Issuer intends to treat these Secured Notes as being subject to the "prepayment assumption method". These rules require that the amount and rate of accrual of OID be calculated based on a prepayment assumption and the anticipated reinvestment rate, if any, relating to the Secured Notes and prescribe a method for adjusting the amount and rate of accrual of the discount where the actual prepayment rate differs from the prepayment assumption. Under the Code, the prepayment assumption must be determined in the manner prescribed by the Treasury Regulations, which have not yet been issued. The legislative history provides, however, that Congress intended the Treasury Regulations to require that the prepayment assumption be the prepayment assumption that is used in determining the initial offering price of the Secured Notes. Solely for purposes of determining OID, market discount and bond premium, the Issuer intends to assume that the Collateral Obligations will either not prepay or any prepayments will be reinvested. No representation is made that the Secured Notes will prepay at the prepayment assumption or at any other rate. It is possible the IRS could contend that another method of accruing OID with respect to these Secured Notes is appropriate that may result in adverse or more favorable U.S. federal income tax consequences to a U.S. Holder of such Secured Notes. One such alternative method of accruing OID may be the noncontingent bond method that governs contingent payment debt obligations. Such method

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could affect the amount and character of the gain or loss recognized upon a disposition of a Secured Note. A purchaser of a Secured Note issued with OID who purchases such Secured Note at a cost greater than the adjusted issue price but less than the stated redemption price at maturity will also be required to include in gross income the sum of the daily portions of OID on such Secured Note. In computing the daily portions of OID, however, the daily portion is equal to 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 such Secured Note exceeds the following amount: The sum of the Issue Price plus the aggregate amount of OID that would have been includible in the gross income of an original U.S. Holder (who purchased the Note at the Issue Price); less Any prior payments included in the stated redemption price at maturity,

and the denominator of which is the sum of the daily portions for such Secured 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 purchases a Secured Note at a cost greater than its stated redemption price at maturity may elect to amortize such premium under a constant yield method over the life of such Secured Note. The amortizable amount for any accrual period would offset the amount of interest that must be included in the gross income of a U.S. Holder in such accrual period. The U.S. Holder's basis in such Secured 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 such Secured Note for this purpose. If the holder acquires a Secured Note at a discount to the adjusted issue price of such Secured 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 Secured Note is included in income as ordinary income when principal payments are received or the holder disposes of the Secured Note. Market discount is included ratably unless a holder elects to use a constant yield method for accrual. For this purpose, ratable may be the term of the Secured Note, or a holder may be permitted to accrue market discount in proportion to interest on Secured Notes issued without OID or in proportion to OID on Secured Notes issued with OID. As a result of the complexity of the OID rules, each U.S. Holder of a Secured Note should consult its own tax advisor regarding the impact of the OID rules on its investment in such Secured Note. Election to Treat All Interest as OID. The OID rules permit a U.S. Holder of a Secured Note to elect to accrue all interest, discount (including de minimis market or original issue discount) and premium in income, based on a constant yield method. If an election to treat all interest as OID were to be made with respect to a Secured Note with market discount, the U.S. Holder of such Secured Note 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 taxable year of the election or thereafter. A U.S. Holder that makes this election for a Secured 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 Secured Note cannot be revoked without the consent of the IRS. Commitment Fees on the Class A-1a Notes. Although the Commitment Fee paid to the Class A1a Notes will be paid out of Interest Proceeds and pro rata with the accrued and unpaid interest on the Class A-1a Notes and the Class A-1b Notes, the Commitment Fee will not constitute interest income and 131

it is possible that in some circumstances all or a portion of the Commitment Fee may not be included in income until the expiration of the Draw Period. Prospective U.S. Holders of such Notes should consult with their own tax advisors with respect to the proper characterization (and the resulting treatment) of the Commitment Fee. Disposition of the Secured Notes. In general, a U.S. Holder of a Secured Note initially will have a basis in such Secured Note equal to the cost of such Secured Note to such U.S. Holder, (i) increased by any amount includable in income by such U.S. Holder as OID and by any accrued market discount the holder previously included in income with respect to such Secured Note, and (ii) reduced by any amortized premium and by payments on such Secured Note, other than payments of qualified stated interest. Upon a sale, exchange, redemption, retirement or other taxable disposition of a Secured Note, a U.S. Holder will generally recognize gain or loss equal to the difference between the amount realized on the disposition (other than amounts attributable to accrued qualified stated interest, which will be taxable as described above) and the U.S. Holder's tax basis in such Secured Note. Except to the extent of any accrued interest or accrued market discount not previously included in income, gain or loss from the disposition of a Secured Note generally will be long-term capital gain or loss if the U.S. Holder held the Secured Note for more than one year at the time of disposition, provided, that such Secured Note is held as a "capital asset" (generally, property held for investment) within the meaning of Section 1221 of the Code. 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. Gain recognized by a U.S. Holder on the sale, exchange, redemption, retirement or other taxable disposition of a Secured Note generally will be treated as from sources within the United States and loss so recognized generally will offset income from sources within the United States. Alternative Characterization of the Secured Notes. Notwithstanding Special U.S. Tax Counsel's opinion, there is no authority directly on point and the IRS may disagree with such opinion with respect to one or more classes of Notes. Characterization of a class of Notes is based on the facts and circumstances at the time they are issued with the debt classification of the more senior classes of Notes more likely to be respected. If a class of Notes were to be recharacterized as equity in the Issuer, the U.S. federal income tax consequences to U.S. Holders of such recharacterized Secured Notes would be the same as those described for the Subordinated Notes under "Tax Treatment of U.S. Holders of Subordinated Notes", "Transfer Reporting Requirements" and "Tax Return Disclosure and Investor List Requirements." Such a recharacterization would affect the timing and character of income of any recharacterized Notes and require additional reporting requirements for such Notes (with potential penalties for failure to comply from the acquisition of such Notes). U.S. Holders may wish to consult their advisors about such possible recharacterization and any elections available to mitigate the effects of such recharacterization. Tax Treatment of U.S. Holders of Subordinated Notes Although not denominated as equity, based on the capital structure of the Issuer and the terms of the Subordinated Notes, it is probable that the Subordinated Notes will be treated as equity of the Issuer for United States federal income tax purposes. The Issuer will treat, and, except as otherwise required by law, each beneficial owner of Subordinated Notes will agree by purchase of such Subordinated Notes to treat, the Subordinated Notes as equity for United States federal income tax purposes. The following discussion is based on the assumption that the Subordinated Notes are so treated as equity of the Issuer. Investment in a Passive Foreign Investment Company. The Issuer will constitute a "passive foreign investment company" ("PFIC") and the Subordinated Notes will be treated as equity in the Issuer. Accordingly, U.S. Holders of Subordinated Notes (other than certain U.S. Holders that are subject to the rules pertaining to a "controlled foreign corporation" with respect to the Issuer, described below) will be considered U.S. shareholders in a PFIC. In general, a U.S. Holder of a PFIC may desire to make an 132

election to treat the Issuer as a "qualified electing fund" ("QEF") with respect to such U.S. Holder. Generally, a QEF election should be made with the filing of a U.S. Holder's federal income tax return for the first taxable year for which it held the Subordinated Notes. If a timely QEF election is made for the Issuer, an electing U.S. Holder will be required in each taxable year to include in gross income (i) as ordinary income, such holder's pro rata share of the Issuer's ordinary earnings and (ii) as long-term capital gain, such holder's pro rata share of the Issuer's net capital gain, whether or not distributed. A U.S. Holder will not be eligible for the dividends received deduction in respect of such income or gain. In addition, any losses of the Issuer in a taxable year will not be available to such U.S. Holder and may not be carried back or forward in computing the Issuer's ordinary earnings and net capital gain in other taxable years. An amount included in an electing U.S. Holder's gross income should be treated as income from sources outside the United States for U.S. foreign tax credit limitation purposes. However, if U.S. Holders collectively own (directly or constructively) 50% or more (measured by vote or value) of the Subordinated Notes, such amount will be treated as income from sources within the United States for such purposes to the extent that such amount is attributable to income of the Issuer from sources within the United States. If applicable to a U.S. Holder of Subordinated Notes, the rules pertaining to a "controlled foreign corporation", discussed below, generally override those pertaining to a PFIC with respect to which a QEF election is in effect. In certain cases in which a QEF does not distribute all of its earnings in a taxable year, U.S. shareholders may also be permitted to elect to defer payment of some or all of the taxes on the QEF's undistributed income subject to an interest charge on the deferred amount. In this respect, prospective purchasers of Subordinated Notes should be aware that it is expected that the Collateral Obligations may be purchased by the Issuer with substantial OID the cash payment of which may be deferred, perhaps for a substantial period of time, and the Issuer may use interest and other income from the Collateral Obligations to purchase additional Collateral Obligations or to retire the Secured Notes. As a result, the Issuer may have in any given year substantial amounts of earnings for U.S. federal income tax purposes that are not distributed on the Subordinated Notes. Thus, absent an election to defer payment of taxes, U.S. Holders that make a QEF election with respect to the Issuer may owe tax on significant "phantom" income. In addition, it should be noted that if the Issuer invests in obligations that are not in registered form, a U.S. Holder making a QEF election (i) may not be permitted to take a deduction for any loss attributable to such obligations when calculating its share of the Issuer's earnings and (ii) may be required to treat income attributable to such obligations as ordinary income even though the income would otherwise constitute capital gains. It is possible that some portion of the investments of the Issuer will constitute obligations that are not in registered form. The Issuer will provide, upon request, all information and documentation that a U.S. Holder making a QEF election is required to obtain from the Issuer for U.S. federal income tax purposes. A U.S. Holder of Subordinated Notes (other than certain U.S. Holders that are subject to the rules pertaining to a "controlled foreign corporation," described below) that does not make a timely QEF election will be required to report any gain on disposition of any Subordinated Notes as if it were an excess distribution, rather than capital gain, and to compute the tax liability on such gain and other "excess distributions" received in respect of the Subordinated Notes as if such items had been earned ratably over each day in the U.S. Holder's holding period (or a certain portion thereof) for the Subordinated Notes. The U.S. Holder will be subject to tax on such items at the highest ordinary income tax rate for each taxable year, other than the current year of the U.S. Holder, in which the items were treated as having been earned, regardless of the rate otherwise applicable to the U.S. Holder. Further, such U.S. Holder will also be liable for an additional tax equal to interest on the tax liability attributable to income allocated to prior years as if such liability had been due with respect to each such prior year. For purposes of these rules, gifts, exchanges pursuant to corporate reorganizations and use of the Subordinated Notes as security for a loan may be treated as a taxable disposition of the Subordinated Notes. Very generally, an "excess distribution" is the amount by which distributions during a taxable year in respect of a Subordinated Notes exceed 125% of the average amount of distributions in respect thereof during the three preceding taxable years (or, if shorter, the U.S. Holder's holding period for the 133

Subordinated Note). In addition, a stepped-up basis in the Subordinated Notes upon the death of an individual U.S. Holder may not be available. In many cases, application of the tax on gain on disposition and receipt of excess distributions will be substantially more onerous than the treatment applicable if a timely QEF election is made. ACCORDINGLY, U.S. HOLDERS OF SUBORDINATED NOTES SHOULD CONSIDER CAREFULLY WHETHER TO MAKE A QEF ELECTION WITH RESPECT TO THE SUBORDINATED NOTES AND THE CONSEQUENCES OF NOT MAKING SUCH AN ELECTION. Investment in a Controlled Foreign Corporation. The Issuer may be classified as a controlled foreign corporation ("CFC"). In general, a foreign corporation will be classified as a CFC if more than 50% of the shares of the corporation, measured by reference to combined voting power or value, is owned (actually or constructively) by "U.S. Shareholders." A U.S. Shareholder, for this purpose, is in general any U.S. Holder that possesses (actually or constructively) 10% or more of the combined voting power (generally the right to vote for directors of the corporation) of all classes of shares of a corporation. Although the Subordinated Notes do not vote for directors of the Issuer, it is possible that the IRS would assert that the Subordinated Notes are de facto voting securities and that U.S. Holders possessing (actually or constructively) 10% or more of the total stated amount of outstanding Subordinated Notes are U.S. Shareholders. If this argument were successful and more than 50% of the Subordinated Notes (determined with respect to aggregate value or vote) are owned (actually or constructively) by such U.S. Shareholders, the Issuer would be treated as a CFC. If the Issuer were treated as a CFC, a U.S. Shareholder of the Issuer (at the end of the taxable year of the Issuer) would be treated, subject to certain exceptions, as receiving a deemed dividend in an amount equal to that person's pro rata share of the "subpart F income" of the Issuer. Such deemed dividend normally would be treated as income from sources within the United States for U.S. foreign tax credit limitation purposes to the extent that it is attributable to income of the Issuer from sources within the United States. Among other items, and subject to certain exceptions, "subpart F income" includes dividends, interest, annuities, gains from the sale of shares and securities, certain gains from commodities transactions, income from certain notional principal contracts, certain types of insurance income and income from certain transactions with related parties. It is likely that, if the Issuer were to constitute a CFC, all or most of its income would be subpart F income. In general, if the subpart F income exceeds 70% of the Issuer's gross income, the entire amount of the Issuer's income will be subpart F income. U.S. Holders should consult their tax advisors regarding these special rules. If the Issuer were treated as a CFC, a U.S. Shareholder of the Issuer which made a QEF election with respect to the Issuer would be taxable on the subpart F income of the Issuer under rules described in the preceding paragraph and not under the QEF rules previously described. As a result, to the extent subpart F income of the Issuer includes net capital gains, such gains would be treated as ordinary income of the U.S. Shareholder under the CFC rules, notwithstanding the fact that the character of such gains generally would otherwise be preserved under the QEF rules. Furthermore, if the Issuer were treated as a CFC and a U.S. Holder were treated as a U.S. Shareholder therein, the Issuer would not be treated as a PFIC or a QEF with respect to such U.S. Holder for the period during which the Issuer remained a CFC and such U.S. Holder remained a U.S. Shareholder therein (the "qualified portion" of the U.S. Holder's holding period for the Subordinated Notes). If the qualified portion of such U.S. Holder's holding period for the Subordinated Notes subsequently ceased (either because the Issuer ceased to be a CFC or the U.S. Holder ceased to be a U.S. Shareholder), then solely for purposes of the PFIC rules, such U.S. Holder's holding period for the Subordinated Notes would be treated as beginning on the first day following the end of such qualified portion, unless the U.S. Holder had owned any Subordinated Notes for any period of time prior to such qualified portion and had not made a QEF election with respect to the Issuer. In that case, the Issuer would again be treated as a PFIC which is not a QEF with respect to such U.S. Holder and the beginning of such U.S. Holder's holding period for the Subordinated Notes would continue to be the date upon which such U.S. Holder acquired the Subordinated Notes, unless the U.S. Holder made an election to recognize gain with respect to the Subordinated Notes and a QEF election with respect to the Issuer. 134

Indirect Interests in PFICs and CFCs. If the Issuer owns a Collateral Obligation or an Equity Security issued by a non-U.S. corporation that is treated as equity for U.S. federal income tax purposes, U.S. Holders of Subordinated Notes could be treated as owning an indirect equity interest in a PFIC or a CFC and could be subject to certain adverse tax consequences. In particular, if the Issuer owns equity interests in PFICs ("Lower-Tier PFICs"), a U.S. Holder of Subordinated Notes would be treated as owning directly the U.S. Holder's proportionate amount (by value) of the Issuer's equity interests in the Lower-Tier PFICs. A U.S. Holder's QEF election with respect to the Issuer would not be effective with respect to such Lower-Tier PFICs. However, a U.S. Holder would be able to make QEF elections with respect to such Lower-Tier PFICs if the Lower-Tier PFICs provide certain information and documentation to the Issuer in accordance with applicable Treasury Regulations. However, there can be no assurance that the Issuer would be able to obtain such information and documentation from any Lower-Tier PFIC, and thus there can be no assurance that a U.S. Holder would be able to make or maintain a QEF election with respect to any Lower-Tier PFIC. If a U.S. Holder does not have a QEF election in effect with respect to a Lower-Tier PFIC, as a general matter, the U.S. Holder would be subject to the adverse consequences described above under " Investment in a Passive Foreign Investment Company" with respect to any excess distributions made by such Lower-Tier PFIC to the Issuer, any gain on the disposition by the Issuer of its equity interest in such Lower-Tier PFIC treated as indirectly realized by such U.S. Holder, and any gain treated as indirectly realized by such U.S. Holder on the disposition of its equity in the Issuer (which may arise even if the U.S. Holder realizes a loss on such disposition). Such amount would not be reduced by expenses or losses of the Issuer, but any income recognized by the Issuer may increase a U.S. Holder's tax basis in its Subordinated Notes. Moreover, if the U.S. Holder has a QEF election in effect with respect to a LowerTier PFIC, the U.S. Holder would be required to include in income the U.S. Holder's pro rata share of the Lower-Tier PFIC's ordinary earnings and net capital gain as if the U.S. Holder's indirect equity interest in the Lower-Tier PFIC were directly owned, and it appears that the U.S. Holder would not be permitted to use any losses or other expenses of the Issuer to offset such ordinary earnings and/or net capital gains but recognition of such income may increase a U.S. Holder's tax basis in its Subordinated Notes. Accordingly, if any of the Collateral Obligations or Equity Securities are treated as equity interests in a PFIC, such U.S. Holders could experience significant amounts of phantom income or other adverse tax consequences with respect to such interests. Other adverse tax consequences may arise for such U.S. Holders that are treated as owning indirect interests in CFCs. U.S. Holders should consult their own tax advisors regarding the tax issues associated with such investments in light of their own individual circumstances. The Issuer intends to form any 897 Subsidiary or ETB Subsidiary as a corporation for U.S. federal income tax purposes. If such entities hold certain assets, U.S. Holders of Subordinated Notes could be treated as owning an indirect interest in a PFIC. In addition, the Issuer intends to make an election for any Non-U.S. Obligation Subsidiary to be a disregarded entity for U.S. federal income tax purposes. If such election is not valid or the Non-U.S. Obligation Subsidiary is not eligible to be treated as a disregarded entity for U.S. federal income tax purposes, then U.S. Holders of Subordinated Notes could be treated as owning an indirect interest in a PFIC. Distributions on the Subordinated Notes. The treatment of actual distributions of cash on the Subordinated Notes, in very general terms, will vary depending on whether a U.S. Holder has made a timely QEF election as described above. See "Investment in a Passive Foreign Investment Company." If a timely QEF election has been made, distributions should be allocated first to amounts previously taxed pursuant to the QEF election (or pursuant to the CFC rules, if applicable) and to this extent will not be taxable to U.S. Holders. Distributions in excess of such previously taxed amounts pursuant to a QEF election (or pursuant to the CFC rules, if applicable) will be taxable to U.S. Holders as ordinary income upon receipt to the extent of any remaining amounts of untaxed current and accumulated earnings and profits of the Issuer. Distributions in excess of any current and accumulated earnings and profits will be

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treated first as a nontaxable reduction to the U.S. Holder's tax basis for the Subordinated Notes to the extent thereof and then as capital gain. In the event that a U.S. Holder does not make a timely QEF election, then except to the extent that distributions may be attributable to amounts previously taxed pursuant to the CFC rules, some or all of any distributions with respect to the Subordinated Notes may constitute "excess distributions," taxable as previously described. See "Investment in a Passive Foreign Investment Company." In that event, except to the extent that distributions may be attributable to amounts previously taxed to the U.S. Holder pursuant to the CFC rules or are treated as "excess distributions," distributions on the Subordinated Notes generally would be treated as dividends to the extent paid out of the Issuer's current or accumulated earnings and profits not allocated to any "excess distributions," then as a nontaxable reduction to the U.S. Holder's tax basis for the Subordinated Notes to the extent thereof and then as capital gain. Dividends received from a foreign corporation generally will be treated as income from sources outside the United States for U.S. foreign tax credit limitation purposes. However, if U.S. Holders collectively own (directly or constructively) 50% or more (measured by vote or value) of the Subordinated Notes, a percentage of the dividend income equal to the proportion of the Issuer's earnings and profits from sources within the United States generally will be treated as income from sources within the United States for such purposes. Purchase or Disposition of the Subordinated Notes. In general, a U.S. Holder of a Subordinated Note will recognize a gain or loss upon the sale, exchange, redemption or other taxable disposition of a Subordinated Note equal to the difference between the amount realized and such U.S. Holder's adjusted tax basis in the Subordinated Note. Except as discussed below, such gain or loss will be a capital gain or loss and will be a long-term capital gain or loss if the U.S. Holder held the Subordinated Notes for more than one year at the time of the disposition. In certain circumstances, U.S. Holders who 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. Any gain recognized by a U.S. Holder on the sale, exchange, redemption or other taxable disposition of a Subordinated Note (other than, in the case of a U.S. Holder treated as a "U.S. Shareholder," any such gain characterized as a dividend, as discussed below) generally will be treated as from sources within the United States and loss so recognized generally will offset income from sources within the United States. Initially, a U.S. Holder's tax basis for a Subordinated Note will equal the cost of such Subordinated Note to such U.S. Holder. Such basis will be increased by amounts taxable to such U.S. Holder by virtue of a QEF election, or by virtue of the CFC rules, as applicable, and decreased by actual distributions from the Issuer that are deemed to consist of such previously taxed amounts or are treated as a nontaxable reduction to the U.S. Holder's tax basis for the Subordinated Note (as described above). If a U.S. Holder does not make a timely QEF election as described above, any gain realized on the sale, exchange, redemption or other taxable disposition of a Subordinated Note (or any gain deemed to accrue prior to the time a non-timely QEF election is made) will be taxed as ordinary income and subject to an additional tax reflecting a deemed interest charge under the special tax rules described above. See "Investment in a Passive Foreign Investment Company." Except for a limited exception applicable to individuals, if the Issuer were treated as a CFC and a U.S. Holder were treated as a "U.S. Shareholder" therein, then any gain realized by such U.S. Holder upon the disposition of Subordinated Notes, other than gain constituting an excess distribution under the PFIC rules, if applicable, would be treated as ordinary income to the extent of the U.S. Holder's share of the current or accumulated earnings and profits of the Issuer. In this regard, earnings and profits would not include any amounts previously taxed pursuant to a timely QEF election or pursuant to the CFC rules. Tax Treatment of Tax-Exempt U.S. Holders U.S. Holders which are tax-exempt entities ("Tax-Exempt U.S. Holders") will not be subject to the tax on unrelated business taxable income ("UBTI") with respect to interest and capital gains income 136

derived from an investment in the Secured Notes. However, a Tax-Exempt U.S. Holder that also acquires the Subordinated Notes (or, any Secured Note recharacterized as equity in the Issuer) should consider whether interest it receives in respect of the Secured Notes may be treated as UBTI under rules governing certain payments received from controlled entities. A Tax-Exempt U.S. Holder generally will not be subject to the tax on UBTI with respect to regular distributions or "excess distributions" (defined above under "Tax Treatment of U.S. Holders of Subordinated NotesInvestment in a Passive Foreign Investment Company") on the Subordinated Notes (or, any Note recharacterized as equity in the Issuer). A Tax-Exempt U.S. Holder which is not subject to tax on UBTI with respect to "excess distributions" may not make a QEF election. In addition, a TaxExempt U.S. Holder which is subject to the rules relating to "controlled foreign corporations" with respect to the Subordinated Notes (or, any Secured Note recharacterized as equity in the Issuer) generally should not be subject to the tax on UBTI with respect to income from such Subordinated Notes (or, any Secured Note recharacterized as equity in the Issuer). Notwithstanding the discussion in the preceding two paragraphs, a Tax-Exempt U.S. Holder which incurs "acquisition indebtedness" (as defined in Section 514(c) of the Code) with respect to the Offered Securities may be subject to the tax on UBTI with respect to income from the Offered Securities to the extent that the Offered Securities constitute "debt-financed property" (as defined in Section 514(b) of the Code) of the Tax-Exempt U.S. Holder. A Tax-Exempt U.S. Holder subject to the tax on UBTI with respect to income from the Subordinated Notes (or, any Secured Note recharacterized as equity in the Issuer) will be taxed on "excess distributions" in the manner discussed above under "Tax Treatment of U.S. Holders of Subordinated NotesInvestment in a Passive Foreign Investment Company". Such a Tax-Exempt U.S. Holder will be permitted, and should consider whether, to make a QEF election with respect to the Issuer as discussed above. Tax-Exempt U.S. Holders should consult their own tax advisors regarding an investment in the Offered Securities. Transfer Reporting Requirements A U.S. Holder of Subordinated Notes (and, any Secured Note recharacterized as equity in the Issuer) that owns (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. A U.S. Holder of Subordinated Notes (and, any Secured Note recharacterized as equity in the Issuer) 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 (including a Tax-Exempt U.S. Holder) that purchases the Subordinated 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 vote 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 $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 Subordinated Notes (subject to a maximum penalty of $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 which may apply with respect to their acquisition of the Subordinated 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 137

documents related to the transaction. In addition, under certain circumstances, certain organizers and sellers and advisors of a "reportable transaction" are required to file reports with the IRS and also 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. The Code 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 and advisors are paid certain fees or it results in the claiming of a loss or losses for U.S. federal income tax purposes in excess of certain threshold amounts. In this regard, in order to prevent the investors' purchase of the Offered Securities in this offering from being treated as offered under conditions of confidentiality, the Portfolio Manager, the Issuer and the holders and beneficial owners of the Offered Securities (and each of their respective employees, representatives or other agents) may disclose to any and all persons, without limitation of any kind, the tax treatment and tax structure of the transactions described herein (including the ownership and disposition of the Offered Securities) and all materials of any kind (including opinions or other tax analyses) that are provided to them relating to such tax treatment and tax structure. In order to ensure compliance with the securities laws, any such disclosure of the tax treatment, tax structure and other taxrelated materials shall not be made for the purpose of offering to sell the Offered Securities or soliciting an offer to purchase any such Offered Securities. For this purpose, the tax treatment of a transaction is the purported or claimed U.S. federal income or state and local tax treatment of the transaction, and the tax structure of a transaction is any fact that may be relevant to understanding the purported or claimed U.S. federal income or state or local tax treatment of the transaction. In addition, under these Treasury Regulations, if the Issuer participates in a "reportable transaction", a U.S. Holder of Subordinated Notes 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 not expected to give rise to "reportable transactions", the Issuer nevertheless may participate in certain types of transactions that could be treated as "reportable transactions." A U.S. Holder of Subordinated Notes will be treated as a "reporting shareholder" of the Issuer if (i) such U.S. Holder owns 10% or more of the Subordinated Notes and makes a QEF election with respect to the Issuer or (ii) the Issuer is treated as a CFC and such U.S. Holder is a "U.S. Shareholder" (as defined above) of the Issuer. The Issuer will make reasonable efforts to make such information available. Prospective investors in the Offered Securities should consult their own tax advisors concerning any possible disclosure obligations under these Treasury Regulations with respect to their ownership or disposition of the Offered Securities in light of their particular circumstances. Tax Treatment of Non-U.S. Holders of Offered Securities In general, payments on the Offered Securities to a holder that is not, for U.S. federal income tax purposes, a U.S. Holder (a "non-U.S. Holder") and gain realized on the sale, exchange, redemption, retirement or other disposition of the Offered Securities 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 nonresident alien individual who holds the Offered Securities 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 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 Offered Securities and the payment of the proceeds from the disposition of the Offered Securities. Backup withholding generally will not apply to 138

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 Offered Securities generally will not be subject to these information reporting requirements or backup withholding with respect to payments of interest or distributions on the Offered Securities 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 nonU.S. persons under penalties of perjury on the appropriate IRS Form W-8 or as U.S. persons under penalties of perjury on IRS Form W-9. The payments of the proceeds from the disposition of an Offered Security 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, 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 an Offered Security 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 an Offered Security 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 U.S. Internal Revenue Service. The information reporting requirements may apply regardless of whether withholding is required. Cayman Islands Taxation The following is a discussion of certain Cayman Islands tax consequences of an investment in the Offered Securities. The discussion is a general summary of present law, which is subject to prospective and retroactive change. 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 interest, principal and other amounts on the Secured Notes and amounts in respect of the Subordinated Notes will not be subject to taxation in the Cayman Islands and no withholding will be required on the payment of interest and principal and other amounts on the Secured Notes or a distribution to any holder of the Subordinated Notes, nor will gains derived from the disposal of the Offered Securities 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) no stamp duty is payable in respect of the issue of the Offered Securities. The 139

Offered Securities themselves will be stampable if they are executed in or brought into the Cayman Islands. The Issuer has been incorporated under the laws of the Cayman Islands as an exempted company and, as such, has obtained an undertaking from the Governor in Cabinet of the Cayman Islands in the form below: "The Tax Concessions Law 1999 Revision Undertaking as to Tax Concessions In accordance with the provision of Section 6 of The Tax Concession Law (1999 Revision), the Governor in Cabinet undertakes with: OHA Park Avenue CLO I, 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 in addition, that no tax to be levied on profits, income, gains or appreciations or which is in the nature of estate duty or inheritance tax shall be payable: (i) (ii) on or in respect of the shares, debentures or other obligations of the Company; or by way of the withholding in whole or part, of any relevant payment as defined in Section 6(3) of the Tax Concessions Law (1999 Revision).

(b)

These concessions shall be for a period of thirty years from the 29th day of August, 2006. GOVERNOR IN CABINET" The Cayman Islands does not have an income tax treaty arrangement with the United States or any other country; however, the Cayman Islands has entered into a tax disclosure agreement with the United States.

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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 taxpayer's 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 (collectively, "ERISA Plans") and on those persons who are fiduciaries with respect to ERISA Plans. Investments by ERISA Plans are subject to ERISA's general fiduciary requirements, including the requirement of investment prudence and diversification and the requirement that an ERISA Plan's investments be made in accordance with the documents governing the ERISA Plan. The prudence of a particular investment must be determined by the responsible fiduciary of an ERISA Plan by taking into account the ERISA Plan's particular circumstances and 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 Offered Securities. Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the assets of an ERISA Plan (as well as those plans that are not subject to ERISA but which are subject to Section 4975 of the Code, such as individual retirement accounts (together with ERISA Plans, "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 a regulation, 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 Offered Securities are acquired with the assets of a Plan with respect to which the Issuer, the Initial Purchasers, the Trustee, the Portfolio Manager, any seller of Collateral Obligations to the Issuer 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 an Offered Security 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 "qualified professional 141

asset managers"), 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) (collectively, the "Investor-Based Exemptions"). There is also a statutory exemption that may be available under Section 408(b)(17) of ERISA and Section 4975(d)(20) of the Code to a party in interest that is a service provider to a Plan investing in the Offered Securities for adequate consideration, provided such service provider is not (i) the fiduciary with respect to the Plans assets used to acquire the Offered Securities or an affiliate of such fiduciary or (ii) an affiliate of the employer sponsoring the Plan. There can be no assurance that any of these Investor-Based Exemptions or any other administrative or statutory exemption will be available with respect to any particular transaction involving the Offered Securities. 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 Offered Securities. Any insurance company proposing to invest assets of its general account in Offered Securities 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 Offered Securities 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 Secured Notes other than the Class D 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 Class A-1 Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes will be treated as debt for U.S. income tax purposes. Because of this, and the traditional debt features of the Class A Notes, the Class B Notes and the Class C Notes, as well as the absence of conversion rights, warrants and other typical equity features, the Class A Notes, the Class B Notes and the Class C Notes should not be considered to be "equity interests" in the Issuer. Nevertheless, without regard to whether the Class A1 Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes are considered equity interests, prohibited transactions within the meaning of Section 406 of ERISA or Section 4975 of the Code may arise if Class A-1 Notes, Class A-2 Notes, Class B Notes and the Class C Notes are acquired with the assets of an ERISA Plan with respect to which the Issuer, the Initial Purchasers 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 or another administrative or statutory exemption may be available to cover such prohibited transactions. By its purchase of any Class A Notes, Class B Notes or Class C Notes, each purchaser and subsequent transferee thereof will be deemed to have represented and warranted either that (a) it is neither a Benefit Plan Investor nor a U.S. governmental, church or 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 Class A-1 Note, 142

Class A-2 Note, Class B Note, or Class C Note will not constitute or result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code (or, in the case of a U.S. governmental, church, non-U.S. or other plan, any substantially similar law). The Subordinated Notes and the Class D Notes Equity participation in an issuer of Offered Securities by "benefit plan investors" is "significant" and will cause the assets of the Issuer to be deemed the assets of an investing Plan (in the absence of another applicable Plan Asset Regulation exception) if 25% or more of the value of any class of equity interest in the Issuer is held by "benefit plan investors". Recently, the Pension Protection Act of 2006 effectively amended by statute the definition of "benefit plan investors" in the Plan Asset Regulations as it applies to determining whether equity interests in an Issuer are "significant." Employee benefit plans and other plans that, in each case, are not subject to either Title I of ERISA or Section 4975 of the Code, such as U.S. governmental and church plans and non-U.S. plans, are no longer considered "benefit plan investors", and only employee benefit plans subject to the fiduciary responsibility provisions of Title I of ERISA or Section 4975 of the Code or any entity in which such plans invest are considered in determining whether investment by "benefit plan investors" represent 25% or more of any class of equity of the Issuer. As a result, the term "benefit plan investor" now means (a) an employee benefit plan (as defined in Section 3(3) of ERISA) that is subject to the fiduciary responsibility provisions of Title I of ERISA, (b) a plan as defined in Section 4975(e)(1) of the Code that is subject to Section 4975 of the Code or (c) any entity whose underlying assets include "plan assets" by reason of any such employee benefit plan's or plan's investment in the entity (collectively "Benefit Plan Investors"). For purposes of making the 25% determination, the value of any equity interests held by a person (other than a Benefit Plan Investor) who has discretionary authority or control with respect to the assets of the Issuer or any person who provides investment advice for a fee (direct or indirect) with respect to such assets, or any affiliate of such a person ("Controlling Person"), is disregarded. Under the Plan Asset Regulations, an "affiliate" of a person includes any person, directly or indirectly through one or more intermediaries, controlling, controlled by or under common control with the person, and "control" with respect to a person other than an individual, means the power to exercise a controlling influence over the management or policies of such person. The Subordinated Notes will likely and the Class D Notes may be considered equity investments for the purposes of applying Title I of ERISA and Section 4975 of the Code. Accordingly, purchases of (i) Subordinated Notes and Class D Notes by Benefit Plan Investors from the Initial Purchasers and (ii) any Subordinated Notes by any subsequent transferees will be limited to less than 25% of the value of all such outstanding Notes by requiring each such purchaser to make certain representations and/or to agree to certain transfer restrictions regarding their status as Benefit Plan Investors or Controlling Persons. Subordinated Notes and Class D Notes (i) held as principal by the Portfolio Manager, the Initial Purchasers, the Trustee, any of their respective affiliates, employees of the Portfolio Manager, the Initial Purchasers, the Trustee or any of their affiliates and any charitable foundation of any such employees (other than any of such interests held as a Benefit Plan Investor) or (ii) held by persons that have represented that they are Controlling Persons will be disregarded (to the extent that such a Controlling Person is not a Benefit Plan Investor) and will not be treated as outstanding for purposes of determining compliance with such 25% limitation. With respect to the acquisitions of Certificated Subordinated Notes by an initial investor or a subsequent transferee, and purchases of Rule 144A Global Subordinated Notes and Class D Notes by an initial investor, or any beneficial interest therein, a purchaser will be required to represent and warrant (a) whether or not the purchaser is a Benefit Plan Investor and (b) whether or not the purchaser is a Controlling Person. No such Subordinated Notes or Class D Notes may be acquired by Benefit Plan Investors or Controlling Persons if it would cause the above 25% limitation to be exceeded. Each initial investors purchase of any Certificated Subordinated Notes, Rule 144A Global Subordinated Notes or Class D Notes sold pursuant to Rule 144A ("Rule 144A Class D Notes") and each subsequent transferees acquisition of Certificated Subordinated Notes will require such initial investor or subsequent transferee to represent and warrant that (a) if it is a Benefit Plan Investor its 143

purchase, holding and disposition of any such Notes will not constitute or result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code or (b) if it is a U.S. governmental, church or non-U.S. or other plan which is subject to any U.S. federal, state, local or nonU.S. law that is substantially similar to the provisions of Section 406 of ERISA or Section 4975 of the Code, its purchase, holding and disposition of any such Notes will not constitute or result in a non-exempt violation of such law. No Regulation S Global Subordinated Notes or Class D Notes in the form of a Regulation S Global Note ("Regulation S Global Class D Notes") acquired by an initial investor or a subsequent transferee and no Rule 144A Global Subordinated Notes or Rule 144A Class D Notes acquired by a subsequent transferee may be purchased or held by any Benefit Plan Investor or Controlling Person. By its purchase and holding of such Subordinated Notes or Class D Notes or any beneficial interest therein, each such purchaser and holder thereof will be deemed to have represented and warranted that it is not, and is not acting on behalf of, and will not be, a Benefit Plan Investor or a Controlling Person, and if it is a U.S. governmental, church or non-U.S. or other plan which is subject to any U.S. 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, its purchase, holding and disposition of any Class D Notes will not constitute or result in a nonexempt violation of such law. Any purported purchase or transfer of the Subordinated Notes or the Class D Notes by a purchaser or to a transferee that does not comply with the foregoing requirements shall be null and void ab initio. There can be no assurance that, despite the transfer restrictions relating to purchases by Benefit Plan Investors and Controlling Persons and the procedures to be employed by the Trustee to attempt to limit ownership by Benefit Plan Investors of the Subordinated Notes and the Class D Notes to not more than 25%, Benefit Plan Investors will not in actuality own more than 25% of the outstanding Subordinated Notes or Class D Notes. 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 Subordinated Notes or Class D Notes or any other Class of Notes that might be recharacterized as equity, certain transactions that the Issuer might enter into, or may have entered into, in the ordinary course of its business might constitute non-exempt "prohibited transactions" under Section 406 of ERISA or Section 4975 of the Code and might have to be rescinded at significant cost to the Issuer. The Portfolio Manager may be deemed an ERISA fiduciary and may, therefore, 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 an ERISA Plan be held in trust and limits delegation of investment management responsibilities by fiduciaries of ERISA Plans, 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 Plan fiduciary or other person who proposes to use assets of any Plan to purchase any Offered Securities 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 Offered Security to a Plan, or to a person using assets of any Plan to effect its purchase of any Offered Security, is in no respect a representation by the Issuer, the Initial Purchasers or the Portfolio Manager that such an investment meets all relevant legal requirements with respect to investments by Plans generally or any particular Plan, or that such an investment is appropriate for Plans generally or any particular Plan.

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LEGAL INVESTMENT CONSIDERATIONS None of the Issuer, the Co-Issuer, the Portfolio Manager and the Initial Purchasers make any representation as to the proper characterization of the Subordinated Notes or any Class of Secured Notes for legal investment or other purposes, as to the ability of particular investors to purchase Subordinated Notes or any Class of Secured Notes for legal investment or other purposes or as to the ability of particular investors to purchase Subordinated Notes or any Class of Secured Notes under applicable investment restrictions. All institutions the activities of which are subject to legal investment laws and regulations, regulatory capital requirements or review by regulatory authorities should consult their own legal advisors in determining whether and to what extent the Subordinated Notes or any Class of Secured Notes are subject to investment, capital or other restrictions. Without limiting the generality of the foregoing, none of the Issuer, the Co-Issuer, the Portfolio Manager and the Initial Purchasers makes any representation as to the characterization of the Subordinated Notes or any Class of Secured Notes as a U.S.-domestic or foreign (non-U.S.) investment under any state insurance code or related regulations, and they are not aware of any published precedent that addresses such characterization. Although they are not making any such representation, the Co-Issuers understand that the New York State Insurance Department, in response to a request for guidance, has been considering the characterization (as U.S.domestic or foreign (non-U.S.)) of certain collateralized debt obligation securities co-issued by a non-U.S. issuer and a U.S. co-issuer. There can be no assurance as to the nature of any advice or other action that may result from such consideration. The uncertainties described above (and any unfavorable future determinations concerning legal investment or financial institution regulatory characteristics of the Subordinated Notes or any Class of Secured Notes) may affect the liquidity of the Subordinated Notes or any Class of Secured Notes.

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PLAN OF DISTRIBUTION Pursuant to an agreement to be entered into prior to the Closing Date between the Co-Issuers and the Initial Purchasers (the "Purchase Agreement"), the Co-Issuers will agree to sell, and the Initial Purchasers will agree, subject to the satisfaction of certain conditions, to purchase the Offered Securities (other than the Class A-1a Notes) as principal on the Closing Date. As used herein, "Initial Purchasers" includes any of the Initial Purchasers who may purchase Offered Securities as principal. The Initial Purchasers have advised the Co-Issuers that they propose to offer any Offered Securities purchased by them from time to time for sale in one or more negotiated transactions or otherwise at prices to be determined at the time of sale. The Issuer will pay the Initial Purchasers certain commissions on Offered Securities sold to or through them. Deutsche Bank Securities Inc. may be contacted at 60 Wall Street, New York, New York 10005, Attention: Global Markets. Deutsche Bank AG, London Branch may be contacted at Great Winchester House, 1 Great Winchester Street, London EC2N 2DB, United Kingdom, Attention: Global Markets. Deutsche Bank AG, New York Branch may be contacted at Deutsche Bank AG, New York Branch, 60 Wall Street, New York, New York 10005, Attention: Global Markets. The Class A-1a Notes will be acquired by the purchasers of the Class A-1a Notes pursuant to the Note Purchase Agreement upon the terms and conditions set forth therein. The Offered Securities have not been registered under the Securities Act and may not be offered or sold except pursuant to an exemption from the registration requirements of the Securities Act and in accordance with the securities laws of all applicable jurisdictions. The Offered Securities will be subject to transfer restrictions. See "Description of the Offered SecuritiesForm, Denomination and Registration of the Secured Notes and the Subordinated Notes" and "Transfer Restrictions." The Issuer has agreed to indemnify and hold harmless the Initial Purchasers against certain liabilities, including liabilities under the Securities Act, or to contribute to payments that the Initial Purchasers may be required to make in respect thereof. The Issuer has agreed to reimburse the Initial Purchasers and the Portfolio Manager for certain expenses.

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TRANSFER RESTRICTIONS Because of the following restrictions, as well as the possible application of Regulation U to certain purchasers of the Offered Securities (see "Security for the Secured NotesMargin Loans"), purchasers are advised to consult legal counsel prior to making any offer, resale, pledge or transfer of the Offered Securities. The Initial Purchasers will receive notice of any transfer of Offered Securities. The Offered Securities have not been registered under the Securities Act or any state securities or "Blue Sky" laws or the securities laws of any other jurisdiction and, accordingly, may not be reoffered, resold, pledged or otherwise transferred except in accordance with the restrictions described herein and set forth in the Indenture. Without limiting the foregoing, by holding an Offered Security, each holder will acknowledge and agree, among other things, that such holder understands that neither of the Co-Issuers is registered as an investment company under the Investment Company Act, and that the Co-Issuers are exempt from registration as such by virtue of Section 3(c)(7) of the Investment Company Act. Section 3(c)(7) excepts from the provisions of the Investment Company Act those issuers who privately place their securities solely to persons who at the time of purchase are "qualified purchasers" or "knowledgeable employees." In general terms, "qualified purchaser" is defined to mean, among other things, any natural person who owns not less than $5,000,000 in investments; any person who in the aggregate owns and invests on a discretionary basis, not less than $25,000,000 in investments; and trusts as to which both the settlor and the decision-making trustee are qualified purchasers (but only if such trust was not formed for the specific purpose of making such investment). In general terms, "knowledgeable employees" is defined to mean, among other things, executive officers, directors and certain investment professionals and employees of an issuer and its related investment manager. Global Notes Each initial investor and each transferee of Secured Notes represented by an interest in a Global Note will be deemed to have represented and agreed as follows (except as may be expressly agreed in writing between the Co-Issuers and any initial purchasers): (i) In connection with the purchase of such Secured Notes: (A) none of the CoIssuers, the Portfolio Manager, the Trustee, the Initial Purchasers or any of their respective affiliates is acting as a fiduciary or financial or investment advisor for such beneficial owner; (B) such beneficial owner is not relying (for purposes of making any investment decision or otherwise) upon any advice, counsel or representations (whether written or oral) of the CoIssuers, the Portfolio Manager, the Trustee, the Initial Purchasers or any of their respective affiliates other than any statements in the final offering circular for such Offered Securities, and such beneficial owner has read and understands such final offering circular; (C) such beneficial owner has consulted with its own legal, regulatory, tax, business, investment, financial and accounting advisors to the extent it has deemed necessary and has made its own investment decisions (including decisions regarding the suitability of any transaction pursuant to the Indenture) based upon its own judgment and upon any advice from such advisors as it has deemed necessary and not upon any view expressed by the Co-Issuers, the Portfolio Manager, the Trustee, the Initial Purchasers or any of their respective affiliates; (D) such beneficial owner is either (1) both (a) a qualified institutional buyer (as defined under Rule 144A under the Securities Act) that is not a broker-dealer which owns and invests on a discretionary basis less than U.S.$25 million in securities of issuers that are not affiliated persons of the dealer and is not a plan referred to in paragraph (a)(1)(d) or (a)(1)(e) of Rule 144A under the Securities Act or a trust fund referred to in paragraph (a)(1)(f) of Rule 144A under the Securities Act that holds the assets of such a plan, if investment decisions with respect to the plan are made by beneficiaries of the plan and (b) a "qualified purchaser" for purposes of Section 3(c)(7) of the Investment Company Act or (2) not a "U.S. person" as defined in Regulation S and is acquiring the Secured Notes in an 147

offshore transaction (as defined in Regulation S) in reliance on the exemption from registration provided by Regulation S; (E) such beneficial owner is acquiring its interest in such Secured Notes for its own account; (F) such beneficial owner was not formed for the purpose of investing in such Secured Notes; (G) such beneficial owner understands that the Issuer may receive a list of participants holding interests in the Secured Notes from one or more book-entry depositories, (H) such beneficial owner will hold and transfer at least the minimum denomination of such Secured Notes and (I) such beneficial owner will provide notice of the relevant transfer restrictions to subsequent transferees. (ii) On each day from the date on which such beneficial owner acquires its interest in Secured Notes (other than Class D Notes) through and including the date on which such beneficial owner disposes of its interest in such Secured Notes (other than Class D Notes) either that (x) it is neither a Plan nor any entity whose underlying assets include "plan assets" by reason of such plan's investment in the entity, nor a U.S. governmental, church or 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 (y) its purchase, holding and disposition of such Secured Note will not constitute or result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code (or, in the case of a U.S. governmental or church or non-U.S. or other plan, cause a non-exempt violation of any substantially similar law). (iii) On each day from the date on which such beneficial owner acquires its interest in Class D Notes through and including the date on which such beneficial owner disposes of its interest in such Class D Notes: (a) in the case of Rule 144A Class D Notes acquired from the Initial Purchaser, the purchaser shall be required to make certain representations (as set forth in an investor application) about whether or not it is a Benefit Plan Investor or a Controlling Person, and if it is a Benefit Plan Investor, that its purchase, holding and disposition of Class D Notes will not constitute or result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code, (b) in the case of an initial investor or subsequent transferee of Regulation S Global Class D Notes or Rule 144A Class D Notes acquired other than from the Initial Purchaser, the purchaser or transferee shall be deemed to represent that it is not a Benefit Plan Investor or a Controlling Person and (c) in the case of all Class D Notes, if any purchaser or transferee is, or is acting on behalf of, a U.S. governmental, church or non-U.S. or other plan which is subject to any U.S. 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, it will be required to represent or will be deemed to represent, as applicable, that the purchase, holding and disposition of the Class D Notes will not constitute or result in a non-exempt violation of such law. (iv) On each day from the date on which an initial investor or subsequent transferee of a Regulation S Global Subordinated Note or a subsequent transferee of a Rule 144A Global Subordinated Note acquires an interest in such Subordinated Note it will be deemed to have represented and agreed that (a) it is not a Benefit Plan Investor or a Controlling Person and (b) if any investor or transferee is, or is acting on behalf of, a U.S. governmental, church or non-U.S. or other plan which is subject to any U.S. 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, that the purchase, holding and disposition of such Subordinated Notes will not constitute or result in a non-exempt violation of such law. (v) Such beneficial owner understands that such Secured Notes are being offered only in a transaction not involving any public offering in the United States within the meaning of the Securities Act, such Secured Notes have not been and will not be registered under the Securities Act, and, if in the future such beneficial owner decides to offer, resell, pledge or otherwise transfer such Secured Notes, such Offered Securities may be offered, resold, pledged or otherwise transferred only in accordance with the provisions of the Indenture and the legend on such Secured Notes. Such beneficial owner acknowledges that no representation has been made as to the availability of any exemption under the Securities Act or any state securities laws 148

for resale of such Secured Notes. Such beneficial owner understands that neither of the CoIssuers has been registered under the Investment Company Act, and that the Co-Issuers are exempt from registration as such by virtue of Section 3(c)(7) of the Investment Company Act. (vi) It is aware that, except as otherwise provided in the Indenture, any Secured Notes being sold to it in reliance on Regulation S will be represented by one or more Regulation S Global Notes and that in each case beneficial interests therein may be held only through DTC for the respective accounts of Euroclear or Clearstream. (vii) It will provide notice to each person to whom it proposes to transfer any interest in the Secured Notes of the transfer restrictions and representations set forth in the Indenture. Subordinated Notes No purchase or transfer of a Subordinated Note in certificated form (including a transfer of an interest in a Regulation S Global Subordinated Note to a transferee acquiring a Subordinated Note in certificated form) will be recorded or otherwise recognized unless the purchaser thereof has provided the Trustee with a certificate substantially in the form of Annex A-1 hereto. On each day from the date on which an initial investor or subsequent transferee of Certificated Subordinated Notes or an initial investor of Rule 144A Global Subordinated Notes acquires its interest in such Subordinated Notes through and including the date on which such beneficial owner disposes of its interest in such Subordinated Notes: (a) the purchaser shall be required to make certain representations about whether or not it is a Benefit Plan Investor or a Controlling Person, and if it is a Benefit Plan Investor, that its purchase, holding and disposition of such Subordinated Notes will not constitute or result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code and (b) if any purchaser or transferee is, or is acting on behalf of, a U.S. governmental, church or non-U.S. or other plan which is subject to any U.S. 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, it will be required to represent that the purchase, holding and disposition of such Subordinated Notes will not constitute or result in a non-exempt violation of such law. Class A-1a Notes No purchase or transfer of a Class A-1a Note will be recorded or otherwise recognized unless the purchaser thereof has executed a Note Purchase Agreement or an assignment and assumption in the form provided therein. Additional Restrictions No transfer of any Class D Note or Subordinated Note will be effective, and the Trustee will not recognize any such transfer, if it may result in 25% or more of the value of the Subordinated Notes being held by Benefit Plan Investors as calculated under the Plan Asset Regulations as modified by Section 3(42) of ERISA (the "25% Limitation"). For purposes of this determination, the value of equity interests held by the Initial Purchasers, the Trustee, the Portfolio Manager and certain of their affiliates (other than those interests held by a Benefit Plan Investor) that is a Controlling Person is disregarded. See "ERISA Considerations." Each initial beneficial owner of Subordinated Notes in the form of Global Notes and each purchaser or subsequent transferee of Certificated Subordinated Notes will be required to provide the Issuer and the Trustee written certification as to whether it is an Affected Bank by delivery of a certificate in the applicable form provided for in the Indenture (or another form of certification acceptable to the Issuer and the Trustee). No transfer of any Subordinated Note to an Affected Bank will be effective, and the Trustee will not recognize any such transfer, unless such transfer is specifically authorized by the Issuer in writing; provided, however, that the Issuer shall authorize any such transfer if (x) such transfer 149

would not cause more than 33% of the aggregate outstanding principal amount of the Subordinated Notes to be owned by Affected Banks or (y) the transferor is an Affected Bank previously approved by the Issuer. Each holder and beneficial owner of a Class A-1a Note will represent and warrant and each holder and beneficial owner of a Class D Note and each holder and beneficial owner other than the initial beneficial owner of a Subordinated Note in the form of a Global Note will be deemed to have represented and warranted that such person is not an Affected Bank. To the extent required by the Issuer, as determined by the Issuer or the Portfolio Manager on behalf of the Issuer, the Issuer may, upon notice to the Trustee, impose additional transfer restrictions on the Subordinated Notes to comply with the Uniting and Strengthening America by Providing Appropriate Tools Required to Intercept and Obstruct Terrorism Act of 2001 and other similar laws or regulations, including, without limitation, requiring each transferee of a Subordinated Note, to make representations to the Issuer in connection with such compliance. Legends The Secured Notes (other than the Class A-1a Notes) in the form of a Global Note will bear a legend substantially to the following effect unless the Issuer determines otherwise in compliance with applicable law: 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, AND MAY BE REOFFERED, RESOLD, PLEDGED OR OTHERWISE TRANSFERRED ONLY (A) TO A "QUALIFIED PURCHASER" (AS DEFINED FOR PURPOSES OF SECTION 3(C)(7) OF THE INVESTMENT COMPANY ACT) THAT IS A "QUALIFIED INSTITUTIONAL BUYER" (AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT) IN RELIANCE ON THE EXEMPTION FROM SECURITIES ACT REGISTRATION PROVIDED BY SUCH RULE THAT IS NOT A BROKER-DEALER WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25 MILLION IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF THE DEALER AND IS NOT A PLAN REFERRED TO IN PARAGRAPH (A)(1)(D) OR (A)(1)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (A)(1)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, IF INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE BENEFICIARIES OF THE PLAN OR (B) TO A PERSON THAT IS NOT A "U.S. PERSON" (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT) AND IS ACQUIRING THIS NOTE IN RELIANCE ON THE EXEMPTION FROM SECURITIES ACT REGISTRATION PROVIDED BY SUCH REGULATION, AND IN EACH CASE IN COMPLIANCE WITH THE CERTIFICATION AND OTHER REQUIREMENTS SPECIFIED IN THE INDENTURE REFERRED TO HEREIN AND IN COMPLIANCE WITH ANY APPLICABLE SECURITIES LAW OF ANY APPLICABLE JURISDICTION. [THE ACQUISITION OF THE NOTES BY, OR ON BEHALF OF, OR WITH THE ASSETS OF ANY "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED, ("ERISA")) WHICH IS SUBJECT TO THE FIDUCIARY RESPONSIBILITY PROVISIONS OF TITLE I OF ERISA OR ANY "PLAN" (AS DEFINED IN SECTION 4975(e)(1) OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE")), THAT IS SUBJECT TO SECTION 4975 OF THE CODE, OR ANY ENTITY PART OR ALL OF THE ASSETS OF WHICH CONSTITUTE ASSETS OF ANY SUCH EMPLOYEE BENEFIT PLAN OR PLAN 150

BY REASON OF DEPARTMENT OF LABOR REGULATION SECTION 2510.3101 OR OTHERWISE, OR ANY U.S. GOVERNMENTAL, CHURCH OR NONU.S. OR OTHER PLAN SUBJECT TO U.S. FEDERAL, STATE, LOCAL OR NON-U.S. LAW SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE IS PROHIBITED UNLESS SUCH PURCHASE, HOLDING AND SUBSEQUENT DISPOSITION OF THE NOTES WOULD NOT RESULT IN ANY NON-EXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR UNDER SECTION 4975 OF THE CODE (OR IN THE CASE OF A U.S. GOVERNMENTAL, CHURCH OR NON-U.S. OR OTHER PLAN, CAUSE A NON-EXEMPT VIOLATION OF ANY SUBSTANTIALLY SIMILAR U.S. FEDERAL, STATE, LOCAL OR NON-U.S. LAW). EACH BENEFICIAL OWNER OF THIS NOTE WILL BE DEEMED TO HAVE MADE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN SECTION 2.6 OF THE INDENTURE. THE ISSUER HAS THE RIGHT, UNDER THE INDENTURE, TO COMPEL ANY BENEFICIAL OWNER OF AN INTEREST IN A GLOBAL NOTE (AS DEFINED IN THE INDENTURE) THAT IS A U.S. PERSON AND IS NOT A QUALIFIED PURCHASER AND A QUALIFIED INSTITUTIONAL BUYER TO SELL ITS INTEREST IN THE NOTES, OR MAY SELL SUCH INTEREST ON BEHALF OF SUCH OWNER.]1 [ANY PURCHASER OF AN INTEREST IN A RULE 144A CLASS D NOTE FROM THE INITIAL PURCHASER IS REQUIRED TO PROVIDE THE TRUSTEE A WRITTEN CERTIFICATION IN THE FORM SET FORTH IN THE INDENTURE AS TO WHETHER OR NOT IT IS AN EMPLOYEE BENEFIT PLAN (AS DEFINED IN SECTION 3(3) OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED, ("ERISA")) THAT IS SUBJECT TO THE FIDUCIARY RESPONSIBILITY PROVISIONS OF TITLE I OF ERISA, A "PLAN" (AS DEFINED IN SECTION 4975(e)(1) OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE")) THAT IS SUBJECT TO SECTION 4975 OF THE CODE OR ANY ENTITY WHOSE UNDERLYING ASSETS INCLUDE "PLAN ASSETS" BY REASON OF ANY SUCH EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN THE ENTITY (COLLECTIVELY, "BENEFIT PLAN INVESTORS") OR A PERSON (OTHER THAN A BENEFIT PLAN INVESTOR) WHO HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR ANY PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INDIRECT) WITH RESPECT TO SUCH ASSETS, OR ANY AFFILIATE OF SUCH A PERSON ("CONTROLLING PERSON"). NO ACQUISITION OF ANY INTEREST IN A RULE 144A CLASS D NOTE BY AN INITIAL INVESTOR WILL BE EFFECTIVE, AND THE TRUSTEE WILL NOT RECOGNIZE ANY SUCH TRANSFER, IF IT WOULD RESULT IN 25% OR MORE OF THE VALUE OF THE CLASS D NOTES BEING HELD BY BENEFIT PLAN INVESTORS. EACH PURCHASER OF RULE 144A CLASS D NOTES FROM THE INITIAL PURCHASER WILL BE REQUIRED TO REPRESENT THAT IF IT IS, OR IS ACTING ON BEHALF OF, A BENEFIT PLAN INVESTOR, THAT ITS PURCHASE, HOLDING AND DISPOSITION OF CLASS D NOTES WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE. EACH SUBSEQUENT TRANSFEREE OF A CLASS D NOTE WILL BE DEEMED TO REPRESENT THAT IT IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING
1

Applicable to the Class A-1b Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes.

151

PERSON. EACH PURCHASER OR TRANSFEREE OF ANY CLASS D NOTES WILL BE REQUIRED TO REPRESENT, OR WILL BE DEEMED TO REPRESENT, AS APPLICABLE, THAT IF IT IS, OR, IS ACTING ON BEHALF OF, A U.S. GOVERNMENTAL, CHURCH OR NON-U.S. OR OTHER PLAN WHICH IS SUBJECT TO ANY U.S. 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, THAT ITS PURCHASE, HOLDING AND DISPOSITION OF THE CLASS D NOTES WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT VIOLATION OF SUCH LAW. EACH INITIAL INVESTOR OR SUBSEQUENT TRANSFEREE OF A REGULATION S GLOBAL CLASS D NOTE AND EACH SUBSEQUENT TRANSFEREE OF A RULE 144A GLOBAL CLASS D NOTE WILL BE DEEMED TO REPRESENT THAT IT IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON OR IF IT IS, OR, IS ACTING ON BEHALF OF, A U.S. GOVERNMENTAL, CHURCH OR NON-U.S. OR OTHER PLAN WHICH IS SUBJECT TO ANY U.S. 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, THAT ITS PURCHASE, HOLDING AND DISPOSITION OF THE CLASS D NOTES WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT VIOLATION OF SUCH LAW.]2 ANY TRANSFER, PLEDGE OR OTHER USE OF THIS NOTE FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN, UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY ("DTC"), NEW YORK, NEW YORK, TO THE CO-ISSUERS OR THEIR AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR OF SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADE TO CEDE & CO.). TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE, BUT NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF PORTIONS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE REFERRED TO HEREIN. PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH HEREIN. ACCORDINGLY, THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS THAN THE AMOUNT SHOWN ON THE FACE HEREOF. ANY PERSON ACQUIRING THIS NOTE MAY ASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY OF THE TRUSTEE. 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
2

Applicable to the Class D Notes.

152

THAT IS A "UNITED STATES PERSON" WITHIN THE MEANING OF SECTION 7701(A)(30) OF 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 THE IMPOSITION OF U.S. FEDERAL BACK-UP WITHHOLDING UPON PAYMENTS TO THE HOLDER IN RESPECT OF THIS NOTE. [THIS NOTE IS BEING ISSUED WITH ORIGINAL ISSUE DISCOUNT ("OID"). THE ISSUE PRICE, ORIGINAL ISSUE DATE, TOTAL AMOUNT OF OID, YIELD TO MATURITY, AND, IF APPLICABLE, THE COMPARABLE YIELD AND PROJECTED PAYMENT SCHEDULE OF THE NOTE MAY BE OBTAINED BY CONTACTING THE TRUSTEE AT 601 TRAVIS STREET, 16TH FLOOR, HOUSTON, TEXAS 77002.]3 The Class A-1a Notes will bear a legend substantially to the following effect unless the Issuer determines otherwise in compliance with applicable law: 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, AND MAY BE REOFFERED, RESOLD, PLEDGED OR OTHERWISE TRANSFERRED ONLY (A) TO A "QUALIFIED PURCHASER" (AS DEFINED FOR PURPOSES OF SECTION 3(C)(7) OF THE INVESTMENT COMPANY ACT) THAT IS A "QUALIFIED INSTITUTIONAL BUYER" (AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT) IN RELIANCE ON THE EXEMPTION FROM SECURITIES ACT REGISTRATION PROVIDED BY SUCH RULE THAT IS NOT A BROKER-DEALER WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25 MILLION IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF THE DEALER AND IS NOT A PLAN REFERRED TO IN PARAGRAPH (A)(1)(D) OR (A)(1)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (A)(1)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, IF INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE BENEFICIARIES OF THE PLAN OR (B) TO A PERSON THAT IS NOT A "U.S. PERSON" (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT) AND IS ACQUIRING THIS NOTE IN RELIANCE ON THE EXEMPTION FROM SECURITIES ACT REGISTRATION PROVIDED BY SUCH REGULATION, AND IN EACH CASE IN COMPLIANCE WITH THE CERTIFICATION AND OTHER REQUIREMENTS SPECIFIED IN THE INDENTURE REFERRED TO HEREIN AND IN COMPLIANCE WITH ANY APPLICABLE SECURITIES LAW OF ANY APPLICABLE JURISDICTION. THE ACQUISITION OF THE NOTES BY, OR ON BEHALF OF, OR WITH THE ASSETS OF ANY EMPLOYEE BENEFIT PLAN (AS DEFINED IN SECTION 3(3) OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED, ("ERISA")) WHICH IS SUBJECT TO THE FIDUCIARY RESPONSIBILITY PROVISIONS OF TITLE I OF ERISA OR ANY "PLAN" (AS DEFINED IN SECTION 4975(e)(1) OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE")), THAT IS SUBJECT TO SECTION 4975
3

Applicable to the Class B Notes, the Class C Notes and the Class D Notes.

153

OF THE CODE, OR ANY ENTITY PART OR ALL OF THE ASSETS OF WHICH CONSTITUTE ASSETS OF ANY SUCH EMPLOYEE BENEFIT PLAN OR PLAN BY REASON OF DEPARTMENT OF LABOR REGULATION SECTION 2510.3101 OR OTHERWISE, OR ANY GOVERNMENTAL, CHURCH OR OTHER PLAN SUBJECT TO FEDERAL, STATE, LOCAL OR NON-U.S. LAW SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE IS PROHIBITED UNLESS SUCH PURCHASE, HOLDING AND SUBSEQUENT DISPOSITION OF THE NOTES WOULD NOT RESULT IN ANY NON-EXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR UNDER SECTION 4975 OF THE CODE (OR IN THE CASE OF A GOVERNMENTAL, CHURCH OR OTHER PLAN, ANY SUBSTANTIALLY SIMILAR FEDERAL, STATE, LOCAL OR NON-U.S. LAW). EACH BENEFICIAL OWNER OF THIS NOTE WILL BE DEEMED TO HAVE MADE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN SECTION 2.6 OF THE INDENTURE. THE ISSUER HAS THE RIGHT, UNDER THE INDENTURE, TO COMPEL ANY BENEFICIAL OWNER OF AN INTEREST IN A NOTE (AS DEFINED IN THE INDENTURE) THAT IS A U.S. PERSON AND IS NOT A QUALIFIED PURCHASER AND A QUALIFIED INSTITUTIONAL BUYER TO SELL ITS INTEREST IN THE NOTES, OR MAY SELL SUCH INTEREST ON BEHALF OF SUCH OWNER. TRANSFERS OF PORTIONS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE NOTE PURCHASE AGREEMENT AND THE INDENTURE REFERRED TO HEREIN. PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH HEREIN. ACCORDINGLY, THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS THAN THE AMOUNT SHOWN ON THE FACE HEREOF. ANY PERSON ACQUIRING THIS NOTE MAY ASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY OF THE TRUSTEE. 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 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 THE IMPOSITION OF U.S. FEDERAL BACK-UP WITHHOLDING UPON PAYMENTS TO THE HOLDER IN RESPECT OF THIS NOTE. The Certificated Subordinated Notes will bear a legend substantially to the following effect unless the Issuer determines otherwise in compliance with applicable law: THIS SUBORDINATED 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, AND MAY BE REOFFERED, RESOLD, PLEDGED OR OTHERWISE TRANSFERRED ONLY (A) (1) TO A "QUALIFIED PURCHASER", A "KNOWLEDGEABLE EMPLOYEE" WITH RESPECT TO THE ISSUER OR A CORPORATION, PARTNERSHIP, LIMITED LIABILITY COMPANY OR OTHER ENTITY (OTHER THAN A TRUST) EACH SHAREHOLDER, PARTNER, MEMBER OR OTHER EQUITY OWNER OF WHICH IS EITHER A 154

KNOWLEDGEABLE EMPLOYEE OR A QUALIFIED PURCHASER (IN EACH CASE, AS DEFINED FOR PURPOSES OF SECTION 3(C)(7) OF THE INVESTMENT COMPANY ACT) THAT IS (2) (X) A "QUALIFIED INSTITUTIONAL BUYER" (AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT) IN RELIANCE ON THE EXEMPTION FROM SECURITIES ACT REGISTRATION PROVIDED BY SUCH RULE THAT IS NOT A BROKERDEALER WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25 MILLION IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF THE DEALER AND IS NOT A PLAN REFERRED TO IN PARAGRAPH (A)(1)(D) OR (A)(1)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (A)(1)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, IF INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE BENEFICIARIES OF THE PLAN OR (Y) AN "ACCREDITED INVESTOR" (AS DEFINED IN RULE 501(A) UNDER THE SECURITIES ACT) WHO, IF AN INDIVIDUAL ACCREDITED INVESTOR AND NOT A "KNOWLEDGEABLE EMPLOYEE", HAS A MINIMUM OF $10,000,000 IN INVESTABLE ASSETS OR (B) TO A PERSON THAT IS NOT A "U.S. PERSON" (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT) AND IS ACQUIRING THIS SUBORDINATED NOTE IN RELIANCE ON THE EXEMPTION FROM SECURITIES ACT REGISTRATION PROVIDED BY SUCH REGULATION, AND IN EACH CASE IN COMPLIANCE WITH THE CERTIFICATION AND OTHER REQUIREMENTS SPECIFIED IN THE INDENTURE REFERRED TO HEREIN AND IN COMPLIANCE WITH ANY APPLICABLE SECURITIES LAW OF ANY APPLICABLE JURISDICTION. ANY INITIAL INVESTOR OR SUBSEQUENT TRANSFEREE OF AN INTEREST IN A CERTIFICATED SUBORDINATED NOTE IS REQUIRED TO PROVIDE THE TRUSTEE A WRITTEN CERTIFICATION IN THE FORM SET FORTH IN THE INDENTURE AS TO WHETHER OR NOT IT IS AN EMPLOYEE BENEFIT PLAN (AS DEFINED IN SECTION 3(3) OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED, ("ERISA")) THAT IS SUBJECT TO THE FIDUCIARY RESPONSIBILITY PROVISIONS OF TITLE I OF ERISA, A "PLAN" (AS DEFINED IN SECTION 4975(e)(1) OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE")) THAT IS SUBJECT TO SECTION 4975 OF THE CODE OR ANY ENTITY WHOSE UNDERLYING ASSETS INCLUDE "PLAN ASSETS" BY REASON OF ANY SUCH EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN THE ENTITY (COLLECTIVELY, "BENEFIT PLAN INVESTORS") OR A PERSON (OTHER THAN A BENEFIT PLAN INVESTOR) WHO HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR ANY PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INDIRECT) WITH RESPECT TO SUCH ASSETS, OR ANY AFFILIATE OF SUCH A PERSON ("CONTROLLING PERSON"). NO TRANSFER OF ANY INTEREST IN THIS CERTIFICATED SUBORDINATED NOTE WILL BE EFFECTIVE, AND THE TRUSTEE WILL NOT RECOGNIZE ANY SUCH TRANSFER, IF IT WOULD RESULT IN 25% OR MORE OF THE VALUE OF THE SUBORDINATED NOTES BEING HELD BY BENEFIT PLAN INVESTORS. EACH PURCHASER OR TRANSFEREE OF SUCH CERTIFICATED SUBORDINATED NOTES WILL BE REQUIRED TO REPRESENT THAT IF IT IS, OR IS ACTING ON BEHALF OF, A BENEFIT PLAN INVESTOR, THAT ITS PURCHASE, HOLDING AND DISPOSITION OF SUBORDINATED NOTES WILL NOT CONSTITUTE OR RESULT IN A NONEXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE OR IF IT IS, OR, IS ACTING ON BEHALF OF, A U.S. GOVERNMENTAL, CHURCH OR NON-U.S. OR OTHER PLAN WHICH IS SUBJECT TO ANY U.S. FEDERAL, STATE, LOCAL OR NON-U.S. LAW THAT 155

IS SUBSTANTIALLY SIMILAR TO THE PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE, THAT ITS PURCHASE, HOLDING AND DISPOSITION OF THE CERTIFICATED SUBORDINATED NOTES WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT VIOLATION OF SUCH LAW. EACH BENEFICIAL OWNER OF THIS SUBORDINATED NOTE WILL BE REQUIRED TO MAKE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN THE INDENTURE. THE ISSUER HAS THE RIGHT, UNDER THE INDENTURE, TO COMPEL ANY BENEFICIAL OWNER OF AN INTEREST IN A SUBORDINATED NOTE THAT IS A U.S. PERSON AND IS NOT A QUALIFIED PURCHASER, A KNOWLEDGEABLE EMPLOYEE WITH RESPECT TO THE ISSUER OR A CORPORATION, PARTNERSHIP, LIMITED LIABILITY COMPANY OR OTHER ENTITY (OTHER THAN A TRUST) EACH SHAREHOLDER, PARTNER, MEMBER OR OTHER EQUITY OWNER OF WHICH IS EITHER A KNOWLEDGEABLE EMPLOYEE OR A QUALIFIED PURCHASER AND A QUALIFIED INSTITUTIONAL BUYER OR AN ACCREDITED INVESTOR TO SELL ITS INTEREST IN THE SUBORDINATED NOTES, OR MAY SELL SUCH INTEREST ON BEHALF OF SUCH OWNER. DISTRIBUTIONS OF PRINCIPAL PROCEEDS AND INTEREST PROCEEDS TO THE HOLDER OF THE SUBORDINATED NOTES REPRESENTED HEREBY ARE SUBORDINATE TO THE PAYMENT ON EACH PAYMENT DATE OF PRINCIPAL OF AND INTEREST ON THE SECURED NOTES OF THE ISSUER AND THE PAYMENT OF CERTAIN OTHER AMOUNTS, TO THE EXTENT AND AS DESCRIBED IN THE INDENTURE GOVERNING SUCH SECURED NOTES. 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 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 THE IMPOSITION OF U.S. FEDERAL BACK-UP WITHHOLDING UPON PAYMENTS TO THE HOLDER IN RESPECT OF THIS SUBORDINATED NOTE. The Subordinated Notes (other than Certificated Subordinated Notes) will bear a legend substantially to the following effect unless the Issuer determines otherwise in compliance with applicable law: THIS SUBORDINATED 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, AND MAY BE REOFFERED, RESOLD, PLEDGED OR OTHERWISE TRANSFERRED ONLY (A) TO A "QUALIFIED PURCHASER" (AS DEFINED FOR PURPOSES OF SECTION 3(C)(7) OF THE INVESTMENT COMPANY ACT) THAT IS A "QUALIFIED INSTITUTIONAL BUYER" (AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT) IN RELIANCE ON THE EXEMPTION FROM SECURITIES ACT REGISTRATION PROVIDED BY SUCH RULE THAT IS NOT A BROKER-DEALER WHICH OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25 MILLION IN SECURITIES OF ISSUERS THAT ARE NOT AFFILIATED PERSONS OF THE 156

DEALER AND IS NOT A PLAN REFERRED TO IN PARAGRAPH (A)(1)(D) OR (A)(1)(E) OF RULE 144A OR A TRUST FUND REFERRED TO IN PARAGRAPH (A)(1)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH A PLAN, IF INVESTMENT DECISIONS WITH RESPECT TO THE PLAN ARE MADE BY THE BENEFICIARIES OF THE PLAN OR (B) TO A PERSON THAT IS NOT A "U.S. PERSON" (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT) AND IS ACQUIRING THIS NOTE IN RELIANCE ON THE EXEMPTION FROM SECURITIES ACT REGISTRATION PROVIDED BY SUCH REGULATION, AND IN EACH CASE IN COMPLIANCE WITH THE CERTIFICATION AND OTHER REQUIREMENTS SPECIFIED IN THE INDENTURE REFERRED TO HEREIN AND IN COMPLIANCE WITH ANY APPLICABLE SECURITIES LAW OF ANY APPLICABLE JURISDICTION. [EACH INITIAL INVESTOR OR SUBSEQUENT TRANSFEREE OF A REGULATION S GLOBAL SUBORDINATED NOTE WILL BE DEEMED TO REPRESENT THAT IT IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON OR IF IT IS, OR, IS ACTING ON BEHALF OF, A U.S. GOVERNMENTAL, CHURCH OR NON-U.S. OR OTHER PLAN WHICH IS SUBJECT TO ANY U.S. 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, THAT ITS PURCHASE, HOLDING AND DISPOSITION OF SUCH SUBORDINATED NOTES WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT VIOLATION OF SUCH LAW. NO ACQUISITION OF ANY INTEREST IN A SUBORDINATED NOTE WILL BE EFFECTIVE, AND THE TRUSTEE WILL NOT RECOGNIZE ANY SUCH TRANSFER, IF IT WOULD RESULT IN 25% OR MORE OF THE VALUE OF THE SUBORDINATED NOTES BEING HELD BY BENEFIT PLAN INVESTORS. A "BENEFIT PLAN INVESTOR" IS AN EMPLOYEE BENEFIT PLAN (AS DEFINED IN SECTION 3(3) OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED, ("ERISA")) THAT IS SUBJECT TO THE FIDUCIARY RESPONSIBILITY PROVISIONS OF TITLE I OF ERISA, A "PLAN" (AS DEFINED IN SECTION 4975(e)(1) OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE")) THAT IS SUBJECT TO SECTION 4975 OF THE CODE OR ANY ENTITY WHOSE UNDERLYING ASSETS INCLUDE "PLAN ASSETS" BY REASON OF ANY SUCH EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN THE ENTITY OR A CONTROLLING PERSON IS A PERSON WHO HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR ANY PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INDIRECT) WITH RESPECT TO SUCH ASSETS, OR ANY AFFILIATE OF SUCH A PERSON ("CONTROLLING PERSON").]4 [ANY PURCHASER OF AN INTEREST IN A RULE 144A SUBORDINATED NOTE FROM THE INITIAL PURCHASER IS REQUIRED TO PROVIDE THE TRUSTEE A WRITTEN CERTIFICATION IN THE FORM SET FORTH IN THE INDENTURE AS TO WHETHER OR NOT IT IS AN EMPLOYEE BENEFIT PLAN (AS DEFINED IN SECTION 3(3) OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED, ("ERISA")) THAT IS SUBJECT TO
4

Applicable to the Regulation S Global Subordinated Notes.

157

THE FIDUCIARY RESPONSIBILITY PROVISIONS OF TITLE I OF ERISA, A "PLAN" (AS DEFINED IN SECTION 4975(e)(1) OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE")) THAT IS SUBJECT TO SECTION 4975 OF THE CODE OR ANY ENTITY WHOSE UNDERLYING ASSETS INCLUDE "PLAN ASSETS" BY REASON OF ANY SUCH EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN THE ENTITY (COLLECTIVELY, "BENEFIT PLAN INVESTORS") OR A PERSON (OTHER THAN A BENEFIT PLAN INVESTOR) WHO HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR ANY PERSON WHO PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INDIRECT) WITH RESPECT TO SUCH ASSETS, OR ANY AFFILIATE OF SUCH A PERSON ("CONTROLLING PERSON"). NO ACQUISITION OF ANY INTEREST IN A RULE 144A SUBORDINATED NOTE BY AN INITIAL INVESTOR WILL BE EFFECTIVE, AND THE TRUSTEE WILL NOT RECOGNIZE ANY SUCH TRANSFER, IF IT WOULD RESULT IN 25% OR MORE OF THE VALUE OF THE RULE 144A SUBORDINATED NOTES BEING HELD BY BENEFIT PLAN INVESTORS. EACH PURCHASER OF RULE 144A SUBORDINATED NOTES FROM THE INITIAL PURCHASER WILL BE REQUIRED TO REPRESENT THAT IF IT IS, OR IS ACTING ON BEHALF OF, A BENEFIT PLAN INVESTOR, THAT ITS PURCHASE, HOLDING AND DISPOSITION OF SUBORDINATED NOTES WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE. EACH SUBSEQUENT TRANSFEREE OF A RULE 144A SUBORDINATED NOTE WILL BE DEEMED TO REPRESENT THAT IT IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON. EACH SUBSEQUENT TRANSFEREE OF A RULE 144A GLOBAL SUBORDINATED NOTE WILL BE DEEMED TO REPRESENT THAT IT IS NOT A BENEFIT PLAN INVESTOR OR A CONTROLLING PERSON. EACH PURCHASER OR TRANSFEREE OF ANY SUBORDINATED NOTES WILL BE REQUIRED TO REPRESENT, OR WILL BE DEEMED TO REPRESENT, AS APPLICABLE, THAT IF IT IS, OR, IS ACTING ON BEHALF OF, A U.S. GOVERNMENTAL, CHURCH OR NON-U.S. OR OTHER PLAN WHICH IS SUBJECT TO ANY U.S. 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, THAT ITS PURCHASE, HOLDING AND DISPOSITION OF THE RULE 144A SUBORDINATED NOTES WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT VIOLATION OF SUCH LAW.]5 ANY TRANSFER, PLEDGE OR OTHER USE OF THIS NOTE FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN, UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY ("DTC"), NEW YORK, NEW YORK, TO THE CO-ISSUERS OR THEIR AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR OF SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADE TO CEDE & CO.).

Applicable to the Rule 144A Global Subordinated Notes.

158

TRANSFERS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE, BUT NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF PORTIONS OF THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE REFERRED TO HEREIN. DISTRIBUTIONS OF PRINCIPAL PROCEEDS AND INTEREST PROCEEDS TO THE HOLDER OF THE SUBORDINATED NOTES REPRESENTED HEREBY ARE SUBORDINATE TO THE PAYMENT ON EACH PAYMENT DATE OF PRINCIPAL OF AND INTEREST ON THE SECURED NOTES OF THE ISSUER AND THE PAYMENT OF CERTAIN OTHER AMOUNTS, TO THE EXTENT AND AS DESCRIBED IN THE INDENTURE GOVERNING SUCH SECURED NOTES. 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 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 THE IMPOSITION OF U.S. FEDERAL BACK-UP WITHHOLDING UPON PAYMENTS TO THE HOLDER IN RESPECT OF THIS NOTE. Non-Permitted Holder/Non-Permitted ERISA Holder If any U.S. person that is not a QIB/QP shall become the beneficial owner of an interest in any Global Note or Class A-1a Note or any U.S. person that is not (x) a Qualified Purchaser, a Knowledgeable Employee or a corporation, partnership, limited liability company or other entity (other than a trust) each shareholder, partner, member or other equity owner of which is either a Knowledgeable Employee or a Qualified Purchaser and (y) Qualified Institutional Buyer or an Accredited Investor or that does not have an exemption available under the Securities Act and the Investment Company Act shall become the holder or beneficial owner of a Subordinated Note (any such person a "Non-Permitted Holder"), the Issuer shall, promptly after discovery that such person is a Non-Permitted Holder by the Issuer (or upon notice from the Trustee or the Co-Issuer to the Issuer, if either of them makes the discovery (who, in each case, agree to notify the Issuer of such discovery, if any)), send notice to such Non-Permitted Holder demanding that such Non-Permitted Holder transfer its interest to a person that is not a Non-Permitted Holder within 30 days of the date of such notice. If such Non-Permitted Holder fails to so transfer its Notes, the Issuer shall have the right, without further notice to the Non-Permitted Holder, to sell such Notes, or interest in such Offered Securities to a purchaser selected by the Issuer that is not a Non-Permitted Holder on such terms as the Issuer may choose. The Issuer, or the Trustee acting on behalf of the Issuer, may select the purchaser by soliciting one or more bids from one or more brokers or other market professionals that regularly deal in securities similar to the Notes, and selling such Offered Securities to the highest such bidder. However, the Issuer or the Trustee may select a purchaser by any other means determined by it in its sole discretion. The holder of each Note, the Non-Permitted Holder and each other person in the chain of title from the holder to the Non-Permitted Holder, by its acceptance of an interest in the Notes, agrees to cooperate with the Issuer and the Trustee to effect such transfers. The proceeds of such sale, net of any commissions, expenses and taxes due in connection with such sale shall be remitted to the Non-Permitted Holder. The terms and conditions of any sale shall be determined in the sole discretion of the Issuer, and the Issuer shall not be liable to any person having an interest in the Offered Securities sold as a result of any such sale or the exercise of such discretion.

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If any person shall become the beneficial owner of an interest in a Subordinated Note or Class D Note who has made a Benefit Plan Investor or Controlling Person representation that is subsequently shown to be false or misleading or whose beneficial ownership otherwise causes a violation of the 25% Limitation (any such person a "Non-Permitted ERISA Holder"), the Issuer shall, promptly after discovery that such person is a Non-Permitted ERISA Holder by the Issuer (or upon notice from the Trustee if it makes the discovery (who agrees to notify the Issuer of such discovery, if any)), send notice to such NonPermitted ERISA Holder demanding that such Non-Permitted ERISA Holder transfer its interest to a person that is not a Non-Permitted ERISA Holder within 14 days of the date of such notice. If such NonPermitted ERISA Holder fails to so transfer its Subordinated Notes or Class D Notes, the Issuer shall have the right, without further notice to the Non-Permitted ERISA Holder, to sell such Subordinated Notes or Class D Notes, or interest in such Subordinated Notes or Class D Notes, to a purchaser selected by the Issuer that is not a Non-Permitted ERISA Holder on such terms as the Issuer may choose. The Issuer may select the purchaser by soliciting one or more bids from one or more brokers or other market professionals that regularly deal in securities similar to the Subordinated Notes or Class D Notes, and selling such Subordinated Notes or Class D Notes, to the highest such bidder. However, the Issuer may select a purchaser by any other means determined by it in its sole discretion. The holder of each Subordinated Note or Class D Note, the Non-Permitted ERISA Holder and each other person in the chain of title from the holder to the Non-Permitted ERISA Holder, by its acceptance of an interest in the Subordinated Notes or Class D Notes, agrees to cooperate with the Issuer to effect such transfers. The proceeds of such sale, net of any commissions, expenses and taxes due in connection with such sale shall be remitted to the Non-Permitted ERISA Holder. The terms and conditions of any sale under this subsection shall be determined in the sole discretion of the Issuer, and the Issuer shall not be liable to any person having an interest in the Subordinated Notes or Class D Notes, sold as a result of any such sale or the exercise of such discretion. Cayman Islands Placement Provisions The Initial Purchasers have agreed that they have not made and will not make any invitation to the public in the Cayman Islands to subscribe for the Offered Securities.

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LISTING AND GENERAL INFORMATION 1. Application has been made to the Financial Regulator as competent authority under the Prospectus Directive 2003/71/EC (the "Prospectus Directive") for the Prospectus (the "Prospectus") to be approved. Application has been made to the Irish Stock Exchange for the Offered Securities to be admitted to the Official List and to trading on its regulated market. The total expenses related to admission to trading of the securities on the Irish Stock Exchange are 5,940. No assurances can be given that, following the Closing Date, the listing of the Offered Securities on the Irish Stock Exchange will be obtained or, if obtained, maintained for the entire period that the Offered Securities are outstanding. 2. For the life of the Prospectus, copies of the Memorandum and Articles of Association of the Issuer, the Certificate of Incorporation and By-laws of the Co-Issuer and the Indenture will be available for inspection (in electronic form) during the term of the Notes at the office of the Trustee. 3. Since incorporation, neither the Issuer nor the Co-Issuer has commenced trading, established any accounts or declared any dividends, except for the transactions described herein. Neither of the CoIssuers is, or has since incorporation been, involved in any governmental, litigation or arbitration proceedings relating to claims on amounts which may have or have had a significant effect on the financial positions of the Co-Issuers in the context of the issue of the Offered Securities, nor, so far as either of the Co-Issuers is aware, are any such governmental, litigation or arbitration proceedings involving the Co-Issuers pending or threatened. 4. The Co-Issuers have been established as special purpose vehicles for the purpose of issuing asset backed debt securities. The issuance by the Issuer of the Notes is expected to be authorized by the Board of Directors of the Issuer by resolutions to be passed prior to the Closing Date and the issuance by the Co-Issuer of the Class A Notes, the Class B Notes and the Class C Notes is expected to be authorized by the Board of Directors of the Co-Issuer by resolutions to be passed on or about the Closing Date. 5. Since incorporation, neither the Issuer nor the Co-Issuer has published annual reports or accounts. The Issuer is not required by Cayman Islands law, and the Issuer does not intend, to publish annual reports and accounts. The Co-Issuer is not required by Delaware State law, and the Co-Issuer does not intend, to publish annual reports and accounts. The Indenture, however, requires the Issuer to provide the Trustee with written confirmation, on an annual basis, that to the best of its knowledge following review of the activities of the prior year, no Event of Default has occurred or, if one has, specifying the same. 6. The Secured Notes sold in offshore transactions in reliance on Regulation S under the Securities Act and represented by the Regulation S Global Notes have been accepted for clearance through Clearstream and Euroclear. The Secured Notes sold to persons that are QIB/QPs in reliance on Rule 144A under the Securities Act and represented by Rule 144A Global Notes have been accepted for clearance through DTC. The CUSIP numbers, Common Codes and International Securities Identification Numbers (ISIN) for the Notes represented by Global Notes are as indicated below, as applicable. 7. It is not intended that any post issuance reports be provided regarding the Offered Securities or performance of the Collateral Obligations.

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Regulation S
Common Code Class A-1b Notes Class A-2 Notes Class B Notes Class C Notes Class D Notes Global Subordinated Notes
029305439 029305510 029305609 029305633 029305668 029289301

U.S.
ISIN
USG6720EAB41 USG6720EAC24 USG6720EAD07 USG6720EAE89 USG67205AA51 USG67205AB35

CUSIP
G6720EAB4 G6720EAC2 G6720EAD0 G6720EAE8 G67205AA5 G67205AB3

CUSIP
67085XAB0 67085XAC8 67085XAD6 67085XAE4 67085AAA2 67085AAB0

ISIN
US67085XAB01 US67085XAC83 US67085XAD66 US67085XAE40 US67085AAA25 US67085AAB08

7. The Class A-1a Notes and the Certificated Subordinated Notes will bear the following identification numbers: Regulation S
Common Code Class A-1a Notes Certificated Subordinated Notes Certificated Subordinated Notes (AI)
N/A

U.S.
ISIN
USG6720EAA67

CUSIP
G6720EAA6

CUSIP (144A)
67085XAA2

CUSIP (AI)
N/A

ISIN
US67085XAA28

N/A

N/A

N/A

67085AAB0

N/A

US67085AAB08

N/A

N/A

N/A

N/A

67085AAC8

US67085AAC80

162

LEGAL MATTERS Certain legal matters with respect to the Notes will be passed upon for the Co-Issuers and the Initial Purchasers by McKee Nelson LLP, New York, New York. Certain matters with respect to Cayman Islands law will be passed upon for the Issuer by Maples and Calder.

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GLOSSARY OF DEFINED TERMS "Adjusted Collateral Principal Amount" means as of any date of determination: (a) the aggregate principal balance of the Collateral Obligations plus any accrued interest thereon purchased using Principal Proceeds (other than Defaulted Obligations, Current Pay Obligations, Deferring Securities and Discount Obligations); plus (b) without duplication, the amounts on deposit in the Collection Account, the Currency Account and the Ramp-Up Account (including Eligible Investments therein) representing Principal Proceeds and, from and after a default under a Securities Lending Agreement, the amounts on deposit in the related Securities Lending Account (including Eligible Investments therein); plus (c) the lesser of the (i) S&P Collateral Value of all Defaulted Obligations and all Deferring Securities and (ii) Moody's Collateral Value of all Defaulted Obligations and all Deferring Securities; provided, that Defaulted Obligations that have constituted Defaulted Obligations for a period of at least 3 years shall be deemed to have a value of zero (unless otherwise acceptable to Moody's); plus (d) the lesser of (x) the Market Value of all Current Pay Obligations and (y) 85% of the principal balance of all Current Pay Obligations; plus (e) the purchase price, excluding accrued interest, expressed as a Dollar amount, of all Discount Obligations; minus (f) the CCC/Caa Excess Adjustment Amount (or solely for purposes of calculating the Overcollateralization Ratio in regard to the Class A-1 Note Overcollateralization Event, the sum of (i) the B Excess Adjustment Amount and (ii) the CCC/Caa Excess Adjustment Amount); provided that, with respect to any Collateral Obligation that satisfies more than one of the definitions of Defaulted Obligation, Current Pay Obligation, Deferring Security or Discount Obligation, such Collateral Obligation shall, for the purposes of this definition, be treated as belonging to the category of Collateral Obligations which results in the lowest Adjusted Collateral Principal Amount on any date of determination. "Administrative Expense Cap" means, an amount equal on any Payment Date (when taken together with any Administrative Expenses paid during the period since the preceding Payment Date or, in the case of the first Payment Date, the Closing Date) to the sum of (a) 0.035% per annum (prorated for the related Interest Accrual Period on the basis of a 360-day year consisting of twelve 30-day months) of the Aggregate Outstanding Amount of the Notes (including the Aggregate Undrawn Amount of the Class A-1a Notes ) on the related Determination Date and (b) $375,000 per annum (prorated for the related Interest Accrual Period on the basis of a 360-day year consisting of twelve 30-day months); provided, however, that if the amount of Administrative Expenses paid under the Administrative Expense Cap (including any excess applied in accordance with this proviso) on the three immediately preceding Payment Dates or during the related Collection Periods is less than the stated Administrative Expense Cap (without regard to any excess applied in accordance with this proviso) in the aggregate for such three preceding Payment Dates, the excess may be applied to the Administrative Expense Cap with respect to the then-current Payment Date; provided, further, that in respect of the first three Payment Dates from the Closing Date, such excess amount shall be calculated based on the Payment Dates preceding such Payment Date. "Administrative Expenses" means fees, expenses (including indemnities) and other amounts due or accrued with respect to any Payment Date and payable in the following order by the Issuer or the Co-Issuer: first to the Trustee pursuant to the Indenture and then on a pro rata basis to: 164

(i) the Independent accountants, agents (other than the Portfolio Manager) and counsel of the Issuer and any ETB/897/Non-U.S. Obligation Subsidiary for fees and expenses, including the fees and expenses payable to the Collateral Administrator pursuant to the Collateral Administration Agreement and the Class A-1a Note Agent for the Class A-1a Note Agent's expenses and Class A-1a agency fee, pursuant to the Note Purchase Agreement; (ii) the Rating Agencies for fees and expenses (including ongoing surveillance fees) in connection with any rating of the Secured Notes or any Collateral Obligations; (iii) the Portfolio Manager under the Indenture and the Portfolio Management Agreement, including without limitation reasonable expenses of the Portfolio Manager (including fees for its accountants, agents and counsel) incurred in connection with the purchase or sale of any Collateral Obligations, any other expenses incurred in connection with the Collateral Obligations and amounts payable pursuant to the Portfolio Management Agreement but excluding the Collateral Management Fees; (iv) the Administrator pursuant to the Administration Agreement;

(v) any person in respect of fees, costs or expenses incurred in connection with any Securities Lending Agreement; and (vi) any other person in respect of any other fees or expenses permitted under the Indenture and the documents delivered pursuant to or in connection with the Indenture (including the payment of facility rating fees and all legal and other fees and expenses incurred in connection with the purchase or sale of any Collateral Obligations and any other expenses incurred in connection with the Collateral Obligations) and the Offered Securities, including but not limited to, amounts owed to the Co-Issuer pursuant to the Indenture, any amounts due in respect of the listing of the Offered Securities on any stock exchange or trading system, any costs associated with producing definitive Notes, any expenses payable under the Financed Amount obligation and any fees, taxes and expenses incurred in connection with the establishment and maintenance of any ETB/897/Non-U.S. Obligation Subsidiary; provided, that amounts due in respect of actions taken on or before the Closing Date (or, at the Portfolio Manager's discretion, expenses incurred in connection with the acquisition of the initial portfolio of Collateral Obligations prior to the third Payment Date) shall not be payable as Administrative Expenses but shall be payable only from the Expense Reserve Account pursuant to the Indenture. "Aggregate Outstanding Amount" means with respect to any of the Notes as of any date, the aggregate unpaid principal amount of such Notes outstanding (including any Deferred Interest previously added to the principal amount of any Class of Secured Notes that remains unpaid) on such date; provided, that except as otherwise provided in the Indenture, the Aggregate Outstanding Amount of the Class A-1a Notes at any time shall not include the Aggregate Undrawn Amount thereof. "Allocated Discounted Payment Amount" means with respect to any Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation and each Collection Period, an amount equal to the quotient of: (a) the aggregate amount of Discounted Payments received with respect to such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation; divided by (b) the number of Collection Periods from and including the Collection Period in which such Discounted Payments are received through and including the Collection Period in which the scheduled maturity date of such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation occurs.

165

provided, that in the event that the Trustee, at the direction of the Portfolio Manager, shall deposit any portion of Discounted Payments in respect of a Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation in the Principal Collection Subaccount as Principal Proceeds as provided in the Indenture, from and including each Collection Period thereafter, the remaining Allocated Discounted Payment Amounts for each Collection Period thereafter with respect to such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation shall be proportionately reduced. "Applicable Advance Rate" means, for each Collateral Obligation and for the applicable number of Business Days between the certification date for a sale as described under "Description of the Offered SecuritiesThe Indenture and the Secured NotesOptional RedemptionRedemption Procedures," and the expected date of such sale, the percentage specified below: 1-2 days Senior Secured Loans with a Market Value of: 90% or more below 90% Other Collateral Obligations with a Moody's Rating of at least "B3" and a Market Value of 90% or more All other Collateral Obligations 93% 80% 89% 75% 92% 73% 85% 65% 88% 60% 75% 45% 3-5 days 6-15 days

"Applicable Issuer(s)" means, with respect to the Class A-1a Notes, the Class A-1b Notes, the Class A-2 Notes, the Class B Notes and the Class C Notes, the Issuer and the Co-Issuer, and with respect to the Subordinated Notes and the Class D Notes, the Issuer only. "Applicable Spot Market Exchange Rate" means with respect to any date on which the Portfolio Manager on behalf of the Issuer converts amounts pursuant to a Permitted Currency Exchange in accordance with the terms of the Indenture, the spot exchange rate for such Permitted Currency Exchange determined approximately as of such date based upon quotations obtained by the Trustee (i) from The Bank of New York Trust Company, National Association, for so long as The Bank of New York Trust Company, National Association, is the Trustee or (ii) if The Bank of New York Trust Company, National Association, is no longer the Trustee, from a successor Trustee or such other party at the direction of the Portfolio Manager if the Global Rating Agency Condition is satisfied. "Assumed Reinvestment Rate" means LIBOR (as determined on the most recent Interest Determination Date relating to an Interest Accrual Period beginning on a Payment Date or the Closing Date, as applicable) minus 1.00% per annum; provided, that if LIBOR so determined is less than 1.00%, the Assumed Reinvestment Rate will be zero. "B Collateral Obligation" means, each Collateral Obligation (other than a Defaulted Obligation, a Discount Obligation, a Deferring Security or a Current Pay Obligation) with an S&P Rating of "B+", "B" or "B-". "B Excess Adjustment Amount" means, as of any date of determination, solely for purposes of calculating the Overcollateralization Ratio in regard to the Class A-1 Note Overcollateralization Event, an amount equal to the lesser of (1) 30% of the excess, if any, of (a) the aggregate principal balance of all B Collateral Obligations over (b) 92.5% of the Collateral Principal Amount and (2) the excess, if any, of (a) the aggregate principal balance of all B Collateral Obligations designated to be the portion comprising the excess over 92.5% of the Collateral Principal Amount (if any) over (b) the S&P Recovery Amount of the B Collateral Obligations designated to be the portion comprising the excess over 92.5% (if any) of the Collateral Principal Amount, as designated by the Portfolio Manager.

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"Base Rate" means, for any day, a rate per annum equal to the greater of (a) the Prime Rate in effect on such day and (b) the Federal Funds Effective Rate in effect on such day plus 1.00%. Any change in the Base Rate due to a change in the Prime Rate or the Federal Funds Effective Rate shall be effective as of the opening of business on the effective day of such change in the Prime Rate or the Federal Funds Effective Rate, respectively. "Bond" means a debt security (that is not a loan) that is issued by a corporation, limited liability company, partnership or trust. "Bond Yield Change" means the change in implied yield spread to an index based upon the "Merrill Lynch U.S. High Yield Master II Index" (Bloomberg Ticker: H0A0) or any other nationally recognized index as calculated by the Portfolio Manager in its reasonable commercial judgment. "Business Day" means any day other than (i) a Saturday or a Sunday or (ii) a day on which commercial banks are authorized or required by applicable law, regulation or executive order to close in New York, New York, London, England or in the city in which the principal corporate trust office of the Trustee is located or, for any final payment of principal, in the relevant place of presentation. "Caa Collateral Obligation" means a Collateral Obligation (other than a Defaulted Obligation, a Discount Obligation, a Deferring Security or a Current Pay Obligation) with a Moody's Rating of "Caa1" or lower. "Capital Lease" means any lease agreement pursuant to which the obligations of the lessee to pay rent or other amounts under any lease of (or other arrangement conveying the right to use) property would be required under generally accepted accounting principles (as in effect in the United States) to be classified and accounted for as a capital lease on the balance sheet of such lessee; but only if (a) such lease provides for the unconditional obligation of the lessee to pay the economic equivalent of a stated amount of principal no later than a stated maturity date, together with interest thereon (which interest may be imputed), and the payment of such obligation is not subject to any material non-credit related risk, (b) the obligations of the lessee in respect of such lease are fully secured, directly or indirectly, by the property that is the subject of such lease and (c) the interest held in respect of such lease is treated as debt for United States federal income tax purposes by the lessee. "CCC/Caa Excess" means the greater of: (i) the greater of:

(a) the excess, if any, by which the aggregate principal balance of Caa Collateral Obligations exceeds 15% of the Collateral Principal Amount; and (b) the excess, if any, by which the aggregate principal balance of Caa Collateral Obligations with a Market Value below 85% of par exceeds 7.5% of the Collateral Principal Amount; and (ii) the greater of:

(a) the excess, if any, by which the aggregate principal balance of CCC Collateral Obligations exceeds 15% of the Collateral Principal Amount; and (b) the excess, if any, by which the aggregate principal balance of CCC Collateral Obligations with a Market Value below 85% of par exceeds 12.5% of the Collateral Principal Amount;

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provided, that in determining which of the CCC Collateral Obligations and Caa Collateral Obligations shall be included in the CCC/Caa Excess, the CCC Collateral Obligations and Caa Collateral Obligations with the lowest Market Value shall be deemed to constitute such CCC/Caa Excess. "CCC/Caa Excess Adjustment Amount" means, as of any date of determination, (I) solely for purposes of calculating the Overcollateralization Ratio in regard to the Class A-1 Note Overcollateralization Event, an amount equal to the lesser of (1) 50% of the excess, if any, of (a) the aggregate principal balance of all CCC Collateral Obligations over (b) 7.5% of the Collateral Principal Amount and (2) the excess, if any, of (a) the aggregate principal balance of all CCC Collateral Obligations designated to be the portion comprising the excess over 7.5% of the Collateral Principal Amount (if any) over (b) the S&P Recovery Amount of the CCC Collateral Obligations designated to be the portion comprising the excess over 7.5% (if any) of the Collateral Principal Amount, as designated by the Portfolio Manager and (II) for the purposes of any other calculation, an amount equal to the excess of (i) the Aggregate Principal Balance of all Collateral Obligations included in the CCC/Caa Excess over (ii) the sum of the Market Values of all Collateral Obligations included in the CCC/Caa Excess. "CCC Collateral Obligation" means a Collateral Obligation (other than a Defaulted Obligation, a Discount Obligation, a Deferring Security or a Current Pay Obligation) with an S&P Rating of "CCC+" or lower. "CDO" means a collateralized debt obligation. "Class A-1 Note Overcollateralization Event" means that, as of any Measurement Date, the Overcollateralization Ratio in respect of the Class A-1 Notes is less than 119.31%. "Class A-1 Pro Rata Adjustment Amount" means, the amount (determined as of the last day of the Draw Period after giving effect to any Funding Advance to be made on such day), if any, by which (A) (1) the aggregate amount of Commitments in respect of the Class A-1a Notes multiplied by the quotient of (2) the sum of the Aggregate Outstanding Amount of the Class A-1a and Class A-1b Notes divided by (3) the sum of the Aggregate Outstanding Amount of the Class A-1b Notes and the aggregate amount of Commitments in respect of the Class A-1a Notes exceeds (B) the aggregate outstanding principal amount of the Class A-1a Notes. "Class A-1a Additional Costs" means, with respect to any Payment Date, the amount (other than any other amount that is a tax, or a stamp, registration, documentation or similar tax), as set forth in a certificate of a holder of a Class A-1a Note or any liquidity provider to such holder in accordance with the Note Purchase Agreement (a "Funding Entity") delivered to the Class A-1a Note Agent, who shall forward such certificate to the Trustee on or prior to the related Determination Date, necessary to compensate such holder or Funding Entity, for (a) any increase in the cost to (or imposing a cost on) a Funding Entity of funding, making or maintaining any loan under the Note Purchase Agreement or such Funding Entity's liquidity facility (or of maintaining its obligation to make any such loan) resulting from a change in law applicable to such Funding Entity, (b) any reduction in the amount of any sum received or to be received by such Funding Entity under the Note Purchase Agreement or such Funding Entity's liquidity facility deemed by such Funding Entity to be material resulting from a change in law applicable to such Funding Entity, (c) any reduction in the rate of return on the capital of a Funding Entity or its bank holding company resulting from a change in law applicable to such Funding Entity or bank holding company to a level below that which such Funding Entity or bank holding company could have achieved but for such change in law (taking into consideration policies of such Funding Entity or bank holding company with respect to capital adequacy), (d) any loss or expense (other than lost profit or margin) (including any loss or expense incurred by reason of the liquidation or reemployment of deposits or other funds acquired by such Funding Entity to make or maintain any such loan) as a result of: (i) any repayment with respect to principal of, or interest on, any Class A-1a Note bearing interest based upon LIBOR on a day other than a Payment Date or (ii) any funding advance not being made as a result of the 168

Issuer canceling a draw request previously made by it, or (e) to the extent resulting from a change in law, additional costs (i) based upon or measured by the excess above a specified level of the amount of a category of deposits, or other liabilities of the Funding Entity that includes deposits, by reference to which LIBOR is determined, or a category of extensions of credit or other assets of the Funding Entity that includes the advances that bear interest based upon LIBOR or (ii) incurred due to restrictions on the amount of such a category of Eurodollar liabilities or assets. "Class A-1a Committed Amount" means the sum of (x) the aggregate outstanding principal amount of the Class A-1a Notes plus (y) an amount equal to the payment of the Required Reserve Amount (a portion of which that is necessary to fund the Unfunded Synthetic Exposure will be deposited into one or more applicable Synthetic Security Counterparty Accounts and the remainder of which will be deposited in the Revolver Funding Account), if any. "Class A-1a Purchaser Rating Criteria" will be satisfied with respect to any person as of any specified date if the short-term debt, deposit or similar obligations of such person are on such date rated at least (x) "P-1" by Moody's and (y) "A-1" by S&P; provided, however, that if such person is a conduit purchaser and is rated "A-1" by S&P, such person's obligations hereunder must be supported by a guarantor or liquidity provider who is rated at least "A-1" by S&P. "Class A-1a Tax Gross-Up Amount" means the additional amount necessary to ensure that the net amount received by the holder of a Class A-1a Note after deduction or withholding of an Indemnifiable Tax equals the full amount the affected holder would have received had no such deduction or withholding been required. "Class Break-even Loss Rate" means, with respect to each of the Class A-1 Notes, the Class A2 Notes, the Class B Notes, the Class C Notes and the Class D Notes, the maximum percentage of defaults, at any time, that the Current Portfolio or the Proposed Portfolio, as applicable, can sustain, as determined by S&P, from time to time, through application of the S&P CDO Monitor, which, after giving effect to S&P's assumptions on recoveries, defaults and timing and to the Priority of Payments, will result in sufficient funds remaining for the payment of such Class of Notes in full. For purposes of determining the Class Break-even Loss Rates, the Portfolio Manager will inform S&P which Break-even Rate Case from the S&P Test Matrix will be used, and the corresponding set of Class Break-even Loss Rates from S&P will apply. "Class Loss Differential" with respect to each of the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes, at any time, the rate calculated by subtracting the Class Scenario Loss Rate for such Class of Notes at such time from the Class Break-even Loss Rate for such Class of Notes at such time. "Class Scenario Loss Rate" with respect to each of the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes, at any time, an estimate of the cumulative default rate for the Current Portfolio or the Proposed Portfolio, as applicable, consistent with S&P's initial rating of such Class of Notes, determined by application by the Portfolio Manager and the Collateral Administrator of the S&P CDO Monitor at such time. "Clean-Up Call Redemption Price" means a purchase price in cash at least equal to the sum of (a) the Aggregate Outstanding Amount of the Secured Notes, plus (b) all unpaid interest on the Secured Notes accrued to the date of such redemption, plus (c) the aggregate of all other amounts owing by the Issuer on the date of such redemption that are payable in accordance with the Priority of Payments prior to distributions in respect of the Subordinated Notes, including all expenses incurred in connection with effecting the Clean-Up Call Redemption. "Collateral Balance Event" means that, as of any date of determination, the aggregate principal balance of the Collateral Obligations and Eligible Investments as of such date of determination is less than 50% of the Target Initial Par Amount. 169

"Collateral Interest Amount" means, as of any date of determination, without duplication, an amount equal to: (a) the aggregate amount of Interest Proceeds in the Interest Collection Subaccount that have been received or that are expected to be received (other than Interest Proceeds expected to be received from Defaulted Obligations and Deferring Securities, but including Interest Proceeds actually received from Defaulted Obligations and Deferring Securities), in each case during the Collection Period (and, if such Collection Period does not end on a Business Day, the next succeeding Business Day) in which such date of determination occurs; plus (b) in the case of the Hedge Agreements, any net payments expected to be received by the Issuer on or before the immediately following Payment Date. "Collateralized Synthetic Security" means a Synthetic Security (x) that requires the Synthetic Security Counterparty to deposit into the Synthetic Security Issuer Account an amount equal to the principal balance of such Synthetic Security or (y) (i) that is in the form of a credit default swap, (ii) with respect to which the Issuer has caused an amount equal to the notional amount of such Synthetic Security to be deposited into a Synthetic Security Counterparty Account and (iii) pursuant to which no scheduled periodic payments are required to be made by the Issuer to the Synthetic Security Counterparty. "Commitment" means, in respect of the Class A-1a Notes at any time, the maximum aggregate outstanding principal amount of advances (whether at the time funded or unfunded) that the holders of the Class A-1a Notes are obligated to make to the Issuer from time to time under the Note Purchase Agreement. "Coverage Test Event" means that, as of any Determination Date, any of the Coverage Tests are not satisfied. Such Coverage Test Event will remain in effect until such Determination Date as all Coverage Tests are satisfied. "Credit Improved Criteria" means (i) in the case of a loan, the Loan Pricing Change since the date of purchase by the Issuer has been a percentage point increase of 0.50% or more and (ii) in the case of a bond, the Bond Yield Change since the date of purchase by the Issuer has been a percentage point decrease of 0.50% or more. "Credit Improved Obligation" means a Collateral Obligation which, in the Portfolio Manager's reasonable commercial judgment, has significantly improved in credit quality after it was acquired by the Issuer, which improvement may (but need not) be evidenced by one of the following: (a) such Collateral Obligation satisfies the Credit Improved Criteria, (b) such Collateral Obligation has been upgraded at least one rating sub-category by either Rating Agency or has been placed and remains on credit watch with positive implication by either Rating Agency, (c) the issuer of such Collateral Obligation has raised equity capital or other capital subordinated to the Collateral Obligation or (d) the issuer of such Collateral Obligation has, in the Portfolio Manager's reasonable commercial judgment, shown improved results or possesses less credit risk, in each case since such Collateral Obligation was acquired by the Issuer; provided, however, that during a Restricted Trading Period, a Collateral Obligation will qualify as a Credit Improved Obligation only if (i) it has been upgraded by any Rating Agency at least one rating sub-category or has been placed and remains on a credit watch with positive implication by Moody's since it was acquired by the Issuer, (ii) the Credit Improved Criteria are satisfied with respect to such Collateral Obligation or (iii) the holders of a majority of the Controlling Class vote to treat such Collateral Obligation as a Credit Improved Obligation. "Credit Risk Criteria" means (i) in the case of a loan, the Loan Pricing Change since the date of purchase by the Issuer has been a percentage point decrease of 0.50% or more and (ii) in the case of a bond, the Bond Yield Change since the date of purchase by the Issuer has been a percentage point increase of 0.50% or more. 170

"Credit Risk Obligation" means a Collateral Obligation that, in the Portfolio Manager's reasonable commercial judgment, has a significant risk of declining in credit quality or price unrelated to general market conditions; provided, however, that during a Restricted Trading Period, a Collateral Obligation will qualify as a Credit Risk Obligation only if, (i) such Collateral Obligation has been downgraded by any Rating Agency at least one rating sub-category or has been placed and remains on a credit watch with negative implication by Moody's since it was acquired by the Issuer, (ii) the Credit Risk Criteria are satisfied with respect to such Collateral Obligation or (iii) the holders of a majority of the Controlling Class vote to treat such Collateral Obligation as a Credit Risk Obligation. "Currency" means U.S. Dollars and/or a Permitted Currency. "Currency Hedge Obligation" means a Non-USD Obligation and its related Currency Hedge Transaction. "Currency Hedge Payment Date" means with respect to any Currency Hedge Transaction, any date scheduled for payment thereunder. "Currency Hedge Principal Exchange Payment" means any amount payable by the Issuer to a Hedge Counterparty upon scheduled maturity or termination of a particular Currency Hedge Transaction pursuant to the terms thereof which will result in a corresponding reduction of the notional amount thereof, but excluding any Scheduled Periodic Currency Hedge Payment. "Currency Hedge Principal Exchange Receipt" means any amount payable to the Issuer by a Hedge Counterparty upon scheduled maturity or termination of a particular Currency Hedge Transaction pursuant to the terms thereof which will result in a corresponding reduction of the notional amount thereof, but excluding any Scheduled Periodic Currency Hedge Receipt. "Currency Hedge Replacement Payment" means the amount payable to a Hedge Counterparty by the Issuer upon entry into a Currency Hedge Transaction which replaces a Currency Hedge Transaction terminated in full. "Currency Hedge Replacement Receipt" means any amount payable to the Issuer by a Hedge Counterparty upon entry into a replacement Currency Hedge Transaction that is replacing a Currency Hedge Transaction terminated in full. "Currency Hedge Termination Payment" means the amount payable by the Issuer to a Hedge Counterparty upon early termination of any Currency Hedge Transaction (excluding any Currency Hedge Principal Exchange Payment). "Currency Hedge Termination Receipt" means any amount payable by the Hedge Counterparty to the Issuer upon early termination of any Currency Hedge Transaction (excluding any Currency Hedge Principal Exchange Receipts and any unpaid amounts with respect thereto). "Currency Hedge Transaction" means (i) a currency swap agreement entered into between the Issuer and a Hedge Counterparty in a notional amount not to exceed the collateral principal amount of the Non-USD Obligation being purchased, pursuant to which a portion of the currency risks arising from the receipt of cash flows from a Non-USD Obligation are hedged through the swapping of such cash flows for U.S. Dollar payments to be made by a Hedge Counterparty, as such transaction may be amended from time to time, and (ii) any replacement currency hedge transaction entered into pursuant to the Indenture; provided, that such transaction or replacement transaction shall at all times satisfy the Currency Hedge Requirements. "Current Pay Obligation" means a Defaulted Obligation as to which (i) if the issuer of such Collateral Obligation is not subject to a bankruptcy proceeding, all prior cash interest and contractual principal payments (if any) due (other than as a result of any automatic acceleration of such Collateral 171

Obligation pursuant to the underlying instruments relating thereto because of the bankruptcy, receivership or similar proceeding of such obligor) were paid in cash and the Portfolio Manager reasonably expects that the next interest and contractual principal payment (if any) due will be paid in cash, (ii) the Moody's Rating of such Collateral Obligation is at least "Caa2", (iii) if the issuer of such Collateral Obligation is subject to a bankruptcy proceeding, a bankruptcy court has authorized the payment of interest due and payable and/or amounts constituting adequate protection with respect to such interest on such Collateral Obligation and (iv) the Market Value of such Collateral Obligation is at least 80% of the par value thereof; provided that a Defaulted Obligation which would constitute a Current Pay Obligation but for its failure to satisfy clause (i) above shall also be deemed to be a Current Pay Obligation if the Portfolio Manager in its reasonable discretion believes that the circumstances merit its qualification as such and the S&P Rating Condition is satisfied with respect thereto; provided, further, that the aggregate principal balance of all Collateral Obligations which constitute "Current Pay Obligations" may not exceed 10% of the Collateral Principal Amount. "Current Portfolio" means, at any time, the portfolio of Collateral Obligations and Eligible Investments, representing Principal Proceeds (determined in accordance with certain assumptions included in the Indenture), then held by the Issuer. "Default" means any Event of Default or any occurrence that is, or with notice or the lapse of time or both would become, an Event of Default. "Defaulted Obligation" means a debt obligation as to which: (a) a default as to the payment of principal and/or interest has occurred and is continuing with respect to such debt obligation (without regard to any grace period applicable thereto, or waiver thereof, after the passage (in the case of a default that in the Portfolio Manager's judgment, as certified to the Trustee in writing, is not due to credit-related causes) of a three Business Day grace period); (b) a default as to the payment of principal and/or interest has occurred and is continuing on another debt obligation of the same issuer which is senior or pari passu in right of payment to such debt obligation (provided, that both debt obligations are full recourse obligations); (c) the issuer or others have instituted proceedings to have the issuer adjudicated as bankrupt or insolvent or placed into receivership and such proceedings have not been stayed or dismissed or such issuer has filed for protection under Chapter 11 of the United States Bankruptcy Code; (d) such Collateral Obligation has an S&P Rating of "D" or "SD" or, with respect to a Structured Finance Obligation, (x) has a Moody's Rating of "Ca" or below, (y) has an S&P Rating of "CC" or below or had such rating before it was withdrawn and a credit estimate or rating has not been received or (z) constitutes a Written-Down Security; (e) such Collateral Obligation is pari passu in right of payment as to the payment of principal and/or interest to another debt obligation of the same issuer which has an S&P Rating of "D" or "SD" (provided, that both the Collateral Obligation and such other debt obligation are full recourse obligations of the applicable issuer), (unless, (x) in the case of clauses (a), (b), (c), (d) and (e), the debt obligation is a Current Pay Obligation, in which case it shall not be deemed a Defaulted Obligation or (y) in the case of clauses (b), (c) and (e), the debt obligation is a DIP Collateral Obligation, in which case it shall not be deemed a Defaulted Obligation); (f) the Portfolio Manager has in its reasonable commercial judgment otherwise declared such debt obligation to be a "Defaulted Obligation";

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(g) such Collateral Obligation is a Synthetic Security and (1) there has occurred and is continuing a "credit event" (as such term is defined in the related Synthetic Security) with respect to a Reference Obligation (i) that is, or with the passage or lapse of time (or both) will be, the basis for a reduction in the principal amount payable under such Synthetic Security or (ii) as to which the related Synthetic Security Counterparty is in default of its obligations under such Synthetic Security and such default continues for seven Business Days, (2) the related Synthetic Security Counterparty fails to make payments to the Issuer in accordance with the terms of such Synthetic Security, or (3) such Synthetic Security Counterparty is rated "D" or "SD" by S&P; or (h) such Collateral Obligation is a Participation Interest and (1) the related Selling Institution fails in any material respect in the performance of any of its payment obligations in accordance with the terms of such Participation Interest and such failure continues for seven Business Days, or (2) the Selling Institution for such Participation Interest is rated "D" or "SD" by S&P. "Deferrable Security" means a Collateral Obligation which by its terms permits the deferral of payment of accrued, unpaid interest. "Deferring Security" means a Deferrable Security that is deferring the payment of interest due thereon and has been so deferring the payment of interest due thereon (i) with respect to Collateral Obligations that have a Moody's Rating of at least "Baa3", for the shorter of two consecutive accrual periods or one year, and (ii) with respect to Collateral Obligations that have a Moody's Rating of "Ba1" or below, for the shorter of one accrual period or six consecutive months, which deferred capitalized interest has not, as of the date of determination, been paid in cash. "Delayed Drawdown Collateral Obligation" means any Collateral Obligation that (a) requires the Issuer to make one or more future advances to the borrower under the underlying instruments relating thereto, (b) specifies a maximum amount that can be borrowed on one or more borrowing dates, and (c) does not permit the re-borrowing of any amount previously repaid by the borrower thereunder; but any such Collateral Obligation will be a Delayed Drawdown Collateral Obligation only until all commitments by the Issuer to make advances to the borrower expire or are terminated or reduced to zero. "DIP Collateral Obligation" means a loan made to a debtor-in-possession pursuant to Section 364 of the U.S. Bankruptcy Code having the priority allowed by either Section 364(c) or 364(d) of the U.S. Bankruptcy Code and secured by senior liens. "Discounted Payments" means payments received by the Issuer with respect to the acquisition of Revolving Collateral Obligations and Delayed Drawdown Collateral Obligations (including Revolving Collateral Obligations and Delayed Drawdown Collateral Obligations constituting Non-USD Obligations) in consideration for the Issuer's assumption of the commitment with respect to the unfunded portion of such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation. "Discounted Payment Reinvestment Amount" means, as of any Payment Date, an amount equal to the greater of (1) the aggregate Excess Discounted Payment Amount for all Revolving Collateral Obligations and Delayed Drawdown Collateral Obligations and (2) an amount determined by the Portfolio Manager in its sole discretion, up to the aggregate Allocated Discounted Payment Amount for all Revolving Collateral Obligations and Delayed Drawdown Collateral Obligations.

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"Discounted Payment Spread" means as of any date of determination (A) with respect to any unfunded or partially funded Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation: The Allocated Discounted Payment Amount with respect to such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation with respect to the Collection Period in which such date of determination occurs 360 X The actual number of days in the related Collection Period

The principal balance of the unfunded portion of such Collateral Obligation (and rounding the result up to the nearest 0.001) or (B) with respect to any fully funded Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation, zero. "Discount Obligation" means any Collateral Obligation that: (i) in the case of a Collateral Obligation that is an interest in a bank loan or a Participation Interest, is acquired by the Issuer for a purchase price of less than 85% of the principal balance of such Collateral Obligation (or, if such interest is a Revolving Collateral Obligation and an outstanding non-revolving loan to its obligor ranking pari passu with such Revolving Collateral Obligation has a Market Value of at least 90%, such Revolving Collateral Obligation is acquired by the Issuer for a purchase price of less than 80% of its principal balance); provided, that such Collateral Obligation shall cease to be a Discount Obligation at such time as the average Market Value of such Collateral Obligation, as determined daily for any period of 30 consecutive days since the acquisition by the Issuer of such Collateral Obligation, equals or exceeds 90% of the principal balance of such Collateral Obligation or as determined daily for any period of 45 consecutive days since the acquisition by the Issuer of such Collateral Obligation, equals or exceeds 85% of the principal balance of such Collateral Obligation; (ii) in the case of any other Collateral Obligation, is acquired by the Issuer for a purchase price of less than 80% of the principal balance of such Collateral Obligation and has a yield greater than 2% over the yield of the Merrill Lynch US High Yield Master II Index (or such other nationally recognized high yield index as the Portfolio Manager selects and provides notice of to the Rating Agencies); provided, that such Collateral Obligation shall cease to be a Discount Obligation at such time as (x) the average Market Value of such Collateral Obligation, as determined daily for any period of 30 consecutive days since the acquisition by the Issuer of such Collateral Obligation, equals or exceeds 90% of the principal balance of such Collateral Obligation or as determined daily for any period of 45 consecutive days since the acquisition by the Issuer of such Collateral Obligation, equals or exceeds 85% of the principal balance of such Collateral Obligation or (y) the average yield on such Collateral Obligation is less than or equal to the average yield of the Merrill Lynch US High Yield Master II Index (or such other nationally recognized high yield index as the Portfolio Manager selects and provides notice of to the Rating Agencies), as determined daily for any period of 30 consecutive days since the acquisition by the Issuer of such Collateral Obligation; and (iii) in the case of any other Collateral Obligation, is acquired by the Issuer for a purchase price of less than 100% if designated by the Portfolio Manager as a Discount Obligation in its sole discretion; provided that any Collateral Obligation that would otherwise be considered a Discount Obligation, but that is purchased with the proceeds of sale of a Collateral Obligation that was not a Discount Obligation at the time of its purchase, so long as such purchased Collateral Obligation (a) is purchased or committed to be purchased within five Business Days of such sale, (b) is purchased at a price (as a percentage of par) equal to or greater than the sale price of the 174

sold Collateral Obligation, (c) is purchased at a purchase price not less than 65% of the principal balance thereof and (d) has a rating equal to or greater than the rating of the sold Collateral Obligation, will not be considered a Discount Obligation. "Domicile" means with respect to any issuer of, or obligor with respect to, a Collateral Obligation, either (i) its country of organization or (ii) if it is organized in Bermuda, the Cayman Islands or the British Virgin Islands, the country in which a substantial portion of its operations are located or from which a substantial portion of its revenue is derived, in each case directly or through subsidiaries. "Draw Period" means, the period from and including the Closing Date to the date on which the Reinvestment Period terminates (or, if the Reinvestment Period terminates on a day other than a Payment Date, to the immediately succeeding Payment Date) or, if earlier, the date on which the Commitments terminate. "Eligible Investments" means any U.S. Dollar or Permitted Currency denominated investment that, at the time it is delivered to the Trustee (directly or through an intermediary or bailee), is one or more of the following obligations or securities: (i) direct obligations of, and obligations the timely payment of principal and interest on which is fully and expressly guaranteed by, the United States of America or the United Kingdom or any agency or instrumentality of the United States of America the obligations of which are expressly backed by the full faith and credit of the United States of America; (ii) demand and time deposits in, certificates of deposit of, trust accounts with, bankers' acceptances issued by, or federal funds sold by any depository institution or trust company (x) incorporated under the laws of the United States of America (including The Bank of New York Trust Company, National Association) or any state thereof and subject to supervision and examination by federal and/or state banking authorities or (y) organized under the laws of a jurisdiction the legal currency of which is a Permitted Currency or any province or state thereof and subject to supervision and examination by banking authorities of such jurisdiction or such province or state, so long as the commercial paper and/or the debt obligations of such depository institution or trust company (or, in the case of the principal depository institution in a holding company system, the commercial paper or debt obligations of such holding company) at the time of such investment or contractual commitment providing for such investment have the Eligible Investment Required Ratings; (iii) unleveraged repurchase obligations with respect to (a) any security described in clause (i) above or (b) any other security issued or guaranteed by an agency or instrumentality of the United States of America, in either case entered into with a depository institution or trust company (acting as principal) described in clause (ii) above or entered into with an entity (acting as principal) with, or whose parent company has, the Eligible Investment Required Ratings; (iv) securities bearing interest or sold at a discount issued by any entity formed under the laws of the United States of America or any State thereof that have a credit rating of "Aaa" from Moody's and "AAA" from S&P at the time of such investment or contractual commitment providing for such investment; (v) commercial paper or other short-term obligations with the Eligible Investment Required Ratings and that either bear interest or are sold at a discount from the face amount thereof and have a maturity of not more than 183 days from their date of issuance; (vi) a Reinvestment Agreement issued by any bank (if treated as a deposit by such bank), or a Reinvestment Agreement issued by any insurance company or other corporation or entity, in each case with the Eligible Investment Required Ratings;

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(vii) money market funds which funds have, at all times, credit ratings of "Aaa" by Moody's and "AAAm" or "AAAm-G" by S&P, respectively; and (viii) any other investment with respect to which the Issuer has received written notification from each Rating Agency that the acquisition of such investment as an Eligible Investment will not result in a withdrawal or downgrading of any of its ratings on the Secured Notes; provided, however, that Eligible Investments purchased with funds in the Collection Account shall be held until maturity except as otherwise specifically provided herein and shall include only such obligations or securities, other than those referred to in clause (vii) above, as mature (or are putable at par to the issuer thereof) no later than the Business Day prior to the next Payment Date, unless such Eligible Investments are issued by the Trustee in its capacity as a banking institution, in which event such Eligible Investments may mature on such Payment Date; and provided, further, that none of the foregoing obligations or securities shall constitute Eligible Investments if (a) such obligation or security has an "r", "p", "pi", "q" or "t" subscript assigned by S&P, (b) all, or substantially all, of the remaining amounts payable thereunder consist of interest and not principal payments, (c) such obligation or security is subject to U.S. withholding tax, (d) such obligation or security is subject to foreign withholding tax unless the issuer of the security is required to make "gross-up" payments for the full amount of such foreign withholding tax, (e) such obligation or security is secured by real property, (f) such obligation or security is purchased at a price greater than 100% of the principal or face amount thereof or (g) in the Portfolio Manager's judgment, such obligation or security is subject to material non-credit related risks. Eligible Investments may include, without limitation, those investments for which the Trustee or an affiliate of the Trustee provides services. "Eligible Investment Required Ratings" are short-term credit ratings of "P-1" from Moody's and "A-1+" from S&P or, in the case of any Eligible Investment with a maturity of longer than 91 days, longterm credit ratings of at least "Aa2" from Moody's and "AAA" from S&P. "Eligible Premium" means any amount received during the Reinvestment Period (without duplication) on the sale, redemption or tender of, or exchange or conversion of, or as a prepayment premium for (each, an "Occurrence") a Collateral Obligation (other than accrued interest) in excess of the greater of (a) its principal balance, excluding, in the case of Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations, undrawn commitments at the time of such Occurrence and (b) the original purchase price paid (not including accrued interest) by the Issuer in respect of such Collateral Obligation (or portion thereof) sold, redeemed, tendered, exchanged, converted or prepaid. "Eligible Premium Distribution Amount" means, for the period commencing on the first anniversary of the end of the Ramp-Up Period through but not including the last day of the Reinvestment Period, an amount equal to (i) zero if (a) the Notes of any Class have been downgraded below their initial ratings by either Rating Agency and such initial ratings have not been restored or the Notes of any Class have been placed on credit watch or similar status by either Rating Agency with negative implications, (b) the Collateral Quality Test is not satisfied as of the related Determination Date, (c) Collateral Obligations with a Moody's Rating of "Caa1" or lower represent more than 7.5% of the Collateral Principal Amount or (d) the Overcollateralization Ratio Threshold Test is failing or (ii) if none of the conditions specified in clause (i) are satisfied, the amount of any Eligible Premium for the related Collection Period that, if it were treated as Interest Proceeds, would not cause the Overcollateralization Ratio Threshold Test not to be met. "Equity Security" means any security or debt obligation which at the time of acquisition, conversion or exchange does not satisfy the requirements of a Collateral Obligation and is not an Eligible Investment. "Excepted Advances" means customary advances made to protect or preserve rights against the borrower of or obligor under a Collateral Obligation or to indemnify an agent or representative for lenders pursuant to the underlying instrument. 176

"Excess Discounted Payment Amount" means with respect to any Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation and any Collection Period (rounding the result up to the nearest Dollar): The actual number of days in the related Collection Period X 360 X

The related Excess Discounted Payment Spread applicable to such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation and such Collection Period

The principal balance of the unfunded portion of such Collateral Obligation

"Excess Discounted Payment Spread" means with respect to any Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation and any Collection Period: (i) the Discounted Payment Spread with respect to such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation and such Collection Period; plus (ii) the rate at which commitment fees are payable in respect of the unfunded portion of such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation; minus (iii) the spread over LIBOR payable in respect of the funded portion of such Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation. "Federal Funds Effective Rate" means, for any day, the weighted average of the rates on overnight federal funds transactions with members of the Federal Reserve System arranged by federal funds brokers, as published on the next succeeding Business Day by the Federal Reserve Bank of New York, or, if such rate is not so published for any day which is a Business Day, the average of the quotations for such day for such transactions received by the Calculation Agent from three federal funds brokers of recognized standing selected by it after consultation with the Portfolio Manager. "Financed Amount" means, as of any date of determination, an amount equal to, the sum, with respect to each Payment Date, of (i) the unpaid Financed Amount Initial Balance, if any, and (ii) the unpaid interest accrued during each Interest Accrual Period on the unpaid Financed Amount Initial Balance (and on unpaid interest accrued during prior Interest Accrual Periods) calculated from the later of the Closing Date and the immediately preceding Payment Date until the date paid at a per annum rate of LIBOR plus 0.20%, calculated on the basis of the actual number of days elapsed in the applicable Interest Accrual Period divided by 360. "Financed Amount Initial Balance" means the amount loaned by Deutsche Bank AG, Cayman Islands to the Issuer on the Closing Date in an amount equal to $10,000,000. "Financed Amount Scheduled Payment" means, with respect to any Payment Date up to and including the Payment Date in March 2011, $714,286 or, with respect to the Payment Date occurring in September 2007, $0. "Financed Amount Threshold" means, with respect to any Payment Date up to and including the Payment Date in March 2011, (x) the sum of (a) the Financed Amount Scheduled Payment for such Payment Date together with all Financed Amount Scheduled Payments due but not paid on a previous Payment Date and (b) interest on any unpaid Financed Amount Initial Balance (and on unpaid interest accrued during any prior Interest Accrual Periods) calculated in the manner set forth in clause (ii) of the definition of the term "Financed Amount" (or such lesser amount consented to by the holder of the Financed Amount obligation in writing) or (y) any such greater amount up to the then-current Financed Amount designated by the Portfolio Manager on behalf of the Issuer in writing to the Trustee and the holder of the Financed Amount obligation not later than the Business Day immediately preceding such 177

Payment Date; provided that, unless an Event of Default has occurred and is continuing, the Financed Amount Threshold designated under clause (y) above for any Payment Date up to and including the Payment Date in March 2011 shall not be an amount that would result in the non-payment of interest in respect of the Class A-1 Notes (or, if the Class A-1 Notes are no longer outstanding, the Secured Notes of the Controlling Class). Notwithstanding the foregoing, if (x) an Event of Default specified in clause (e) or (f) of the definition thereof has occurred or (y) the maturity of the Secured Notes has been accelerated in accordance with the Indenture, the Financed Amount shall automatically be accelerated without the giving of notice and become due and payable in its entirety and the Financed Amount Threshold shall be deemed to be the Financed Amount. In addition, if the Financed Amount is not paid in full prior to the Payment Date in March 2011, the Financed Amount Threshold on such Payment Date will be the Financed Amount for such Payment Date (prior to giving effect to any payments to be made in respect thereof on such Payment Date). "Floating Spread Adjustment Amount" means, as of any date of determination, an amount equal to the product of (i) the portion of the Recovery Rate Excess Amount allocated with respect to the adjustment of the Minimum Floating Spread Test and (ii) 0.05%. "Form Approved Synthetic Security" means a Synthetic Security (a) (i) the Reference Obligation of which, on the date that the Issuer acquires such Synthetic Security, if it were a Collateral Obligation, could be purchased by the Issuer without any required action by the Rating Agencies or with respect to which the Global Rating Agency Condition has been satisfied or (ii) the Reference Obligation of which would satisfy clause (i) but for the currency in which it is payable and such Synthetic Security is payable in U.S. Dollars or a Permitted Currency and does not expose the Issuer to currency risk (other than currency risk with respect to a Permitted Currency that is hedged pursuant to a Currency Hedge Transaction), (b) the documentation of which conforms (but for the amount and timing of periodic payments, the name of the Reference Obligation, the notional amount, the effective date, the termination date and other similarly necessary changes) in all material respects to a form previously approved by the Rating Agencies (it being understood that (i) such documentation may incorporate by reference the Syndicated Secured Loan Credit Default Swap Standard Terms Supplement as published by ISDA as of June 8, 2006 and (ii) the initial approved Form Approved Synthetic Security is in the form attached to the Indenture) and (c) for which the Issuer has provided S&P and Moody's notice of the purchase of such Synthetic Security and a copy of the documentation therefor within five Business Days after such purchase, and each of S&P and Moody's (in the case of Moody's, in writing signed by an authorized officer of Moody's) has responded within 10 Business Days from the date of such notice, which response shall include the S&P Recovery Rate or the Moody's Recovery Rate, as applicable, for such Synthetic Security; provided, however, that either Moody's or S&P may, prior to the settlement or the purchase of such Synthetic Security, revoke its consent to the documentation underlying a Form Approved Synthetic Security upon prior notice (and such revocation shall be effective upon receipt of such notice by the Portfolio Manager and the Trustee). "Funding Advance" equals the excess, if any, of (A) the aggregate amount of all unfunded portions of all Collateral Obligations that are either Delayed Drawdown Collateral Obligations or Revolving Collateral Obligations that are denominated in U.S. Dollars plus the Unfunded Synthetic Exposure over (B) the amount on deposit in the U.S. Dollar subaccount of the Revolver Funding Account and the Subordinated Note Collateral Revolver Funding Account. "Global Rating Agency Condition" means, with respect to any action taken or to be taken by or on behalf of the Issuer, satisfaction of both the Moody's Rating Condition and the S&P Rating Condition. "Group" means Group A, Group B or Group C, as applicable. "Group A" means The United Kingdom, Ireland, South Africa, and the Netherlands (or such other countries as may become publicly available or otherwise notified by S&P to the Portfolio Manager from time to time).

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"Group B" means Belgium, Germany, Austria, Spain, Portugal, Luxembourg, Denmark, Sweden, Norway, and Finland (or such other countries as may become publicly available or otherwise notified by S&P to the Portfolio Manager from time to time). "Group C" means France, Italy, Greece, and Switzerland (or such other countries as may become publicly available or otherwise notified by S&P to the Portfolio Manager from time to time). "Indemnifiable Tax" means, any tax (other than a stamp, registration, documentation or similar taxes) imposed by any governmental authority of the Cayman Islands by withholding or deduction from a payment under a Class A-1a Note other than (a) a tax that would not have been imposed but for (i) a present or former connection between the Cayman Islands and the holder of the Class A-1a Note, any person holding an interest in the Class A-1a Note through a partnership, trust, financial intermediary or otherwise or any person related to the holder or person holding an interest in the Class A-1a Note (other than a connection arising solely from having received a payment under, or enforced, a Class A-1a Note) or (ii) presentation of a Class A-1a Note for payment (where presentation is required) on a day more than 30 business days after the date on which such payment became due except to the extent that additional amounts would have been payable on account of the withholding or deduction of taxes (other than a stamp, registration, documentation or similar taxes) had presentation been made on such 30th business day, (b) any tax imposed on account of the location of the paying agent, (c) any estate, inheritance, gift, sales, transfer, personal property, wealth or similar tax, (d) any tax imposed due to the inability or the failure of the affected holder or person to deliver, to the Issuer and Trustee or to such governmental authority as the Issuer may direct, any document, form or certification required or reasonably requested in writing in order to allow the Issuer to make a payment without any deduction or withholding for or on account of any tax, (e) any tax imposed with respect to a payment to a holder that is not the beneficial owner of the Class A-1a Note that would not have been imposed had the beneficial owner directly held such Class A-1a Notes, (f) any tax which is collectible other than by withholding or deduction from payments of principal, interest, redemption amount or Commitment Fee Amount or (g) any combination of (a), (b), (c), (d), (e) and (f) above. "Independent" means, as to any person, any other person (including, in the case of an accountant or lawyer, a firm of accountants or lawyers, and any member thereof, or an investment bank and any member thereof) who (i) does not have and is not committed to acquire any material direct or any material indirect financial interest in such person or in any affiliate of such person, and (ii) is not connected with such person as an officer, employee, promoter, underwriter, voting trustee, partner, director or person performing similar functions. "Independent" when used with respect to any accountant may include an accountant who audits the books of such person if in addition to satisfying the criteria set forth above the accountant is independent with respect to such person within the meaning of Rule 101 of the Code of Professional Conduct of the American Institute of Certified Public Accountants. "Interest Proceeds" means, with respect to any Collection Period or Determination Date includes, without duplication, the sum of: (i) all payments of interest and other income received by the Issuer during the related Collection Period on the Collateral Obligations (excluding any Non-USD Obligations) and Eligible Investments, including the accrued interest received in connection with a sale thereof during the related Collection Period, less any such amount that represents Principal Financed Accrued Interest; provided, however, that any amounts received in respect of a Zero Coupon Security will constitute Principal Proceeds; (ii) all principal and interest payments on Eligible Investments purchased with Interest Proceeds; (iii) all amendment and waiver fees, late payment fees and other fees, except for those in connection with (a) the lengthening of the maturity of the related Collateral Obligation or (b) the reduction of the par of the related Collateral Obligation; 179

(iv) any amounts deposited in the Interest Collection Subaccount of the Collection Account from the Expense Reserve Account as described in "Security for the Secured Notes The Expense Reserve Account" or from the Currency Account as described in "Security for the Secured NotesThe Currency Account"; (v) commitment fees and other similar fees actually received by the Issuer during such Collection Period in respect of Revolving Collateral Obligations and Delayed Drawdown Collateral Obligations; (vi) any payment received with respect to any Hedge Agreement (including, without limitation, all Scheduled Periodic Currency Hedge Receipts) other than an upfront payment received upon entering into such Hedge Agreement or a payment received as a result of the termination of such Hedge Agreement (for this purpose, any such payment received or to be received on a Payment Date will be deemed received in respect of the preceding Collection Period and included in the calculation of Interest Proceeds received in such Collection Period); (vii) any Liquidity Reserve Amount deposited in the Interest Collection Subaccount of the Collection Account on the preceding Payment Date; (viii) at the discretion of the Portfolio Manager, all or a specified portion of any Eligible Premium Distribution Amount; (ix) after the Ramp-Up Period, funds transferred from the interest subaccount of the Ramp-Up Account to the Interest Collection Subaccount of the Collection Account designated as Interest Proceeds by the Portfolio Manager to the Trustee in writing; (x) all fees received pursuant to a Securities Lending Agreement (net of related administration fees paid in connection with securities lending) and all payments received from a Securities Lending Counterparty that relate to a loaned Collateral Obligation, if such payments would have constituted Interest Proceeds if made directly by the related obligor to the Issuer; (xi) at the discretion of the Portfolio Manager, an amount up to the aggregate of the Allocated Discounted Payment Amounts with respect to the Revolving Collateral Obligations and Delayed Drawdown Collateral Obligations with respect to such Collection Period; and (xii) any amounts received in respect of any Defaulted Obligation will constitute Principal Proceeds (and not Interest Proceeds) until the aggregate of all collections in respect of such Defaulted Obligation since it became a Defaulted Obligation equals the outstanding principal balance of such Collateral Obligation when it became a Defaulted Obligation. "Interest Rate Hedge Account" means each segregated trust account established in respect of an Interest Rate Hedge Agreement pursuant to the Indenture, if any, to the extent that such Interest Rate Hedge Agreement requires the related Hedge Counterparty to secure its obligations thereunder. "Investment Criteria Adjusted Balance" means, with respect to any pledged obligation, the principal balance of such pledged obligation; provided, that for all purposes the Investment Criteria Adjusted Balance of any: (i) Deferring Security shall be the lesser of (x) the S&P Collateral Value of such Deferring Security and (y) the Moody's Collateral Value of such Deferring Security; (ii) Current Pay Obligation shall be the lesser of (x) the Market Value of such Current Pay Obligation and (y) 80% of the principal balance of such Current Pay Obligation; (iii) Discount Obligation shall be the purchase price of such Discount Obligation; and 180

(iv) CCC Collateral Obligation or Caa Collateral Obligation included in the CCC/Caa Excess shall be the Market Value of such CCC Collateral Obligation or Caa Collateral Obligation. "Issuer Order" means a written order or request dated and signed in the name of the Issuer or the Co-Issuer by an authorized officer of the Issuer or the Co-Issuer, as applicable, or by the Portfolio Manager by an authorized officer thereof, on behalf of the Issuer. "Liquidity Reserve Amount" with respect to the Payment Date in September 2007, means $0 and, with respect to any Payment Date thereafter, means an amount equal to the excess, if any, of: The sum of all payments of interest received during the related Collection Period (and, if such Collection Period does not end on a Business Day, the next succeeding Business Day) on floating rate Collateral Obligations and fixed rate Collateral Obligations (net of purchased accrued interest acquired with Interest Proceeds) which pay interest less frequently than quarterly Minus The aggregate principal balance of fixed rate Collateral Obligations which pay interest less frequently than quarterly as of the immediately preceding Determination Date

0.25

The Weighted Average Fixed Coupon on fixed rate Collateral Obligations which pay interest less frequently than quarterly as of the immediately preceding Determination Date

Minus

The actual number of days in the related Collection Period X 360

The sum of (I) LIBOR applicable to the related Interest Accrual Period beginning on the previous Payment Date and (II) the Weighted Average Floating Spread on floating rate Collateral Obligations which pay interest less frequently than quarterly as of the preceding Determination Date

The aggregate principal balance of floating rate Collateral Obligations which pay interest less frequently than quarterly as of the preceding Determination Date

"Loan Pricing Change" means, with respect to a loan, the change in price of such loan (expressed as a percentage of par) relative to the "Goldman Sachs Loan Pricing Corp Liquid Leverage Loan Index" (Bloomberg Ticker: GLL) or any other nationally recognized index as calculated by the Portfolio Manager in its reasonable commercial judgment. "Margin Loan" means an extension of credit that is "purpose credit" within the meaning of FRB Regulation U. "Margin Stock" means "Margin Stock" as defined under Regulation U issued by the Board of Governors of the Federal Reserve System (the "FRB"), including any debt security which is by its terms convertible into "Margin Stock."

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"Market Value" means, as of any date of determination for any Collateral Obligation (A) the average bid price value determined by an Independent pricing service, (B) if such service is not available, the average of the bid side prices determined by three Independent broker-dealers active in the trading of such Collateral Obligation, (C) if the determination of such broker-dealers are not made available, the lower of the bid side prices determined by two Independent broker-dealers active in the trading of such Collateral Obligation, (D) if the determinations of such broker-dealers are not made available, the bid side price determined by one Independent broker-dealer active in the trading of such Collateral Obligation or (E) if the determinations of such broker-dealers are not made available, then the lower of (a) the bid side price of such Collateral Obligation determined in a manner consistent with reasonable and customary market practice and (b) the greater of (i) 70% of the par value of such Collateral Obligation and (ii) the S&P Recovery Rate; provided, however, that (x) if the Market Value of any Collateral Obligation is determined pursuant to clause (E) above, the Portfolio Manager will use commercially reasonable efforts to obtain the Market Value of such Collateral Obligation in accordance with subclauses (A) through (D) above, and (y) if the Market Value of more than 5% (or, if the Portfolio Manager is not a Registered Investment Advisor, 0%) of the Collateral Principal Amount is determined pursuant to clause (E) above, the Market Value of any Collateral Obligation exceeding such 5% limitation (or, if the Portfolio Manager is not a Registered Investment Advisor, 0% limitation) that cannot be obtained in accordance with subclauses (A) through (D) above within 45 days (or, if the Portfolio Manager is not a Registered Investment Advisor, 30 days) of the date on which its Market Value was determined pursuant to clause (E) above, shall be deemed to be zero until determined in accordance with subclauses (A) through (D) above. The Portfolio Manager shall determine which Collateral Obligations exceed such 5% limitation or such 0% limitation, as applicable, in its discretion. "Moody's Collateral Value" means, of any date of determination, with respect to any Defaulted Obligation or Deferring Security, the lesser of (i) the Moody's Recovery Amount of such Defaulted Obligation or Deferring Security as of such date and (ii) the Market Value of such Defaulted Obligation or Deferring Security as of such date. "Moody's Counterparty Criteria" are, with respect to any Participation Interest or Synthetic Security (other than any Collateralized Synthetic Security) proposed to be acquired by the Issuer, criteria that will be satisfied if immediately after giving effect to such acquisition, (x) the percentage of the Collateral Principal Amount that consists in the aggregate of Participation Interests with Selling Institutions that have the same or a lower Moody's credit rating and Synthetic Securities with Synthetic Security Counterparties that have the same or a lower Moody's credit rating does not exceed the "Aggregate Percentage Limit" set forth below for such Moody's credit rating and (y) the percentage of the Collateral Principal Amount that consists in the aggregate of Participation Interests with any single Selling Institution that has the Moody's credit rating set forth under "Individual Percentage Limit" below or a lower credit rating and Synthetic Securities with any single Synthetic Security Counterparty that has the Moody's credit rating set forth under "Individual Percentage Limit" below or a lower credit rating does not exceed the "Individual Percentage Limit" set forth below for such Moody's credit rating:

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Moody's credit rating of Selling Institution or Synthetic Security Counterparty (at or below) "Aaa" "Aa1" "Aa2" "Aa3" "A1" and "P-1" "A2" and not on watch for possible downgrade and "P-1" "A1" or "A2" but not "P-1"; Less than "A2"; or "A2" and "P-1", but on watch for possible downgrade

Aggregate Percentage Limit 25.0% 25.0% 25.0% 25.0% 12.5% 7.5% 0.0%

Individual Percentage Limit 25.0% 20.0% 20.0% 15.0% 10.0% 5.0% 0.0%

provided, that the Moody's Counterparty Criteria will be deemed satisfied in connection with the Issuer's acquisition of a Participation Interest from a Selling Institution, or a Synthetic Security from a Synthetic Security Counterparty, that meets the criteria in the last row of the table above if the Moody's Rating Condition has been satisfied. "Moody's Default Probability Rating" means, with respect to any Collateral Obligation, as of any date of determination, the rating determined in accordance with the following methodology: (i) With respect to a Collateral Obligation that is a Moody's Senior Secured Loan or Participation Interest in a Moody's Senior Secured Loan, if the obligor of such Collateral Obligation has a corporate family rating by Moody's, then such corporate family rating; (ii) With respect to a Collateral Obligation that is a Moody's Senior Secured Loan or Participation Interest in a Moody's Senior Secured Loan, if not determined pursuant to clause (i) above, if such Collateral Obligation (A) is publicly rated by Moody's, such public rating, or (B) is not publicly rated by Moody's but for which a rating or rating estimate has been assigned by Moody's upon the request of the Issuer, the Portfolio Manager or an affiliate of the Portfolio Manager, such rating or the corporate family rating estimate, as applicable; (iii) With respect to a Collateral Obligation other than a Synthetic Security or a Structured Finance Obligation, if not determined pursuant to clause (i) or (ii) above, (A)(x) if such Collateral Obligation is publicly rated by Moody's, such public rating, or (y) if no such rating is available, if a rating or rating estimate has been assigned to such Collateral Obligation by Moody's upon the request of the Issuer, the Portfolio Manager or an affiliate of the Portfolio Manager, such rating or, in the case of a rating estimate, the applicable rating estimate for such obligation, or (B) if neither clause (A)(x) or (y) is applicable, if the obligor of such Collateral Obligation has one or more senior unsecured obligations publicly rated by Moody's, then the Moody's public rating on any such obligation (or, if the Collateral Obligation is a Moody's Senior Secured Loan, the Moody's rating one subcategory higher than the Moody's public rating on any such senior unsecured obligation) as selected by the Portfolio Manager; (iv) With respect to a Collateral Obligation other than a Synthetic Security or a Structured Finance Obligation, if not determined pursuant to clause (i), (ii) or (iii) above, the Moody's Derived Rating; (v) With respect to a Synthetic Security, as determined as set forth in "Security for the Secured NotesCollateral Assumptions"; and

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(vi) With respect to a Structured Finance Obligation, as determined as set forth in clause (ii) above. For purposes of calculating a Moody's Default Probability Rating, each applicable rating on credit watch by Moody's with positive or negative implication at the time of calculation will be treated as having been upgraded or downgraded by one rating subcategory, as the case may be. "Moody's Derived Rating" means, with respect to a Collateral Obligation whose Moody's Rating or Moody's Default Probability Rating cannot otherwise be determined pursuant to the definitions thereof, such Moody's Rating or Moody's Default Probability Rating shall be determined as set forth below. (i) If the obligor of such Collateral Obligation has a long-term issuer rating by Moody's, then such long-term issuer rating; (ii) If not determined pursuant to clause (i) above, if another obligation of the obligor is rated by Moody's, then by adjusting the rating of the related Moody's rated obligations of the related obligor by the number of rating sub-categories according to the table below: Obligation Category of Rated Obligation Senior secured obligation Senior secured obligation Subordinated obligation Subordinated obligation Rating of Rated Obligation greater than or equal to "B2" less than "B2" greater than or equal to "B3" less than "B3" Number of Subcategories Relative to Rated Obligation Rating -1 -2 +1 0

(iii) If not determined pursuant to clause (i) or (ii) above, if the obligor of such Collateral Obligation has a corporate family rating by Moody's, then one subcategory below such corporate family rating; (iv) If not determined pursuant to clause (i), (ii) or (iii) above, then by using any one of the methods provided below: (A) (1) Collateral Obligation Rated by S&P Not a Loan or Participation Interest in Loan Not a Loan or Participation Interest in Loan Loan or Participation Interest in Loan Number of Subcategories Relative to Moody's Equivalent of Rating by S&P -1 -2 -2

Type of Collateral Obligation Not Structured Finance Obligation Not Structured Finance Obligation Not Structured Finance Obligation

Rating by S&P >"BBB-" <"BB+"

(2) if such Collateral Obligation is not rated by S&P but another security or obligation of the obligor is rated by S&P (a "parallel security"), then the rating of such parallel security will at the election of the Portfolio Manager be determined in accordance with the table set forth in subclause (A)(1) above, and the Moody's Rating or Moody's Default Probability Rating of such Collateral Obligation will be determined in accordance with the methodology set forth in clause (i) 184

above (for such purposes treating the parallel security as if it were rated by Moody's at the rating determined pursuant to this subclause (A)(2)); or (3) if such Collateral Obligation is not rated by S&P but there is an issuer credit rating of the issuer of such Collateral Obligation by S&P as published by S&P, or the guarantor which unconditionally and irrevocably guarantees such Collateral Obligation, then such issuer credit rating will at the election of the Portfolio Manager be determined in accordance with the table set forth in subclause (A)(1) above, and the Moodys Rating or Moodys Default Probability Rating of such Collateral Obligation will be determined in accordance with the methodology set forth in subclause (i) above; or (4) if such Collateral Obligation is a DIP Collateral Obligation or a Capital Lease, no Moody's Rating or Moody's Default Probability Rating may be determined based on a rating by S&P or any other rating agency; (B) if such Collateral Obligation is not rated by Moody's or S&P and no other security or obligation of the issuer of such Collateral Obligation is rated by Moody's or S&P, and if Moody's has been requested by the Issuer, the Portfolio Manager or an affiliate of the Portfolio Manager to assign a rating or rating estimate with respect to such Collateral Obligation but such rating or rating estimate has not been received, pending receipt of such estimate, (1) "B3" if the Portfolio Manager certifies to the Trustee that the Portfolio Manager believes that such estimate will be at least "B3" and if the aggregate principal balance of Collateral Obligations determined pursuant to this clause (B) does not exceed 5% of the Collateral Principal Amount of all Collateral Obligations or (2) otherwise, "Caa1"; (C) if the obligor of such Collateral Obligation is a U.S. obligor and if such Collateral Obligation is a senior secured obligation of the obligor and (1) neither the obligor nor any of its affiliates is subject to reorganization or bankruptcy proceedings, (2) no debt securities or obligations of the obligor are in default, (3) neither the obligor nor any of its affiliates have defaulted on any debt during the past two years, (4) the obligor has been in existence for the past five years, (5) the obligor is current on any cumulative dividends, (6) the fixed-charge ratio for the obligor exceeds 125% for each of the past two fiscal years and for the most recent quarter, (7) the obligor had a net profit before tax in the past fiscal year and the most recent quarter and (8) the annual financial statements of the obligor are unqualified and certified by a firm of Independent accountants of national reputation, and quarterly statements are unaudited but signed by a corporate officer, "Caa1"; (D) if the obligor of such Collateral Obligation is a U.S. obligor and if such Collateral Obligation is a senior secured or senior unsecured obligation of the obligor and (1) neither the obligor nor any of its affiliates is subject to reorganization or bankruptcy proceedings and (2) no debt security or obligation of the obligor has been in default during the past two years, "Caa3"; (E) years, "Ca"; or if a debt security or obligation of the obligor has been in default during the past two

(F) with respect to any DIP Collateral Obligation, one subcategory below the facility rating (whether public or private) of such DIP Collateral Obligation rated by Moody's. For purposes of calculating a Moody's Derived Rating, each applicable rating on credit watch by Moody's with positive or negative implication at the time of calculation will be treated as having been upgraded or downgraded by one rating subcategory, as the case may be. "Moody's Rating" means, with respect to any Collateral Obligation, as of any date of determination, the rating determined in accordance with the following methodology: (i) With respect to a Collateral Obligation (including a Structured Finance Obligation) that (A) is publicly rated by Moody's, such public rating, or (B) is not publicly rated by 185

Moody's but for which a rating or rating estimate has been assigned by Moody's upon the request of the Issuer, the Portfolio Manager or an affiliate of the Portfolio Manager, such rating or, in the case of a rating estimate, the applicable rating estimate for such obligation; (ii) With respect to a Collateral Obligation that is a Moody's Senior Secured Loan or Participation Interest in a Moody's Senior Secured Loan, if not determined pursuant to clause (i) above, if the obligor of such Collateral Obligation has a corporate family rating by Moody's, then such corporate family rating; (iii) With respect to a Collateral Obligation other than a Synthetic Security or a Structured Finance Obligation, if not determined pursuant to clause (i) or (ii) above, if the obligor of such Collateral Obligation has one or more senior unsecured obligations publicly rated by Moody's, then the Moody's public rating on any such obligation (or, if the Collateral Obligation is a Moody's Senior Secured Loan, the Moody's rating one subcategory higher than the Moody's public rating on any such senior unsecured obligation) as selected by the Portfolio Manager; (iv) With respect to a Collateral Obligation other than a Synthetic Security or a Structured Finance Obligation, if not determined pursuant to clause (i), (ii) or (iii) above, the Moody's Derived Rating; and (v) With respect to a Synthetic Security, as determined as set forth in "Security for the Secured NotesCollateral Assumptions". For purposes of calculating a Moody's Rating, each applicable rating on credit watch by Moody's with positive or negative implication at the time of calculation will be treated as having been upgraded or downgraded by one rating subcategory, as the case may be. "Moody's Non-Senior Secured Loan" means any assignment of or Participation Interest in or other interest (including a Synthetic Security) in a loan that is not a Moody's Senior Secured Loan. "Moody's Rating Condition" means, with respect to any action taken or to be taken by or on behalf of the Issuer, a condition that is satisfied if Moody's has confirmed in writing to the Issuer, the Trustee and the Portfolio Manager that no immediate withdrawal or reduction with respect to its thencurrent rating by Moody's of any Class of Secured Notes will occur as a result of such action; provided, that the Moody's Rating Condition will be deemed to be satisfied if no Class of Secured Notes outstanding is rated by Moody's. "Moody's Recovery Amount" means, with respect to any Collateral Obligation which is a Defaulted Obligation or a Deferring Security, the amount equal to: (a) (b) the applicable Moody's Recovery Rate; multiplied by the principal balance of such Defaulted Obligation or Deferring Security.

provided, that the "Moody's Recovery Amount" of any Synthetic Security which is a Defaulted Obligation or a Deferring Security will be the amount determined by Moody's. "Moody's Senior Secured Loan" means: (a) a loan that:

(i) is not (and cannot by its terms become) subordinate in right of payment to any other obligation of the obligor of the loan;

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(ii) is secured by a valid first priority perfected security interest or lien in, to or on specified collateral securing the obligor's obligations under the loan; and (iii) the value of the collateral securing the loan together with other attributes of the obligor (including, without limitation, its general financial condition, ability to generate cash flow available for debt service and other demands for that cash flow) is adequate (in the commercially reasonable judgment of the Portfolio Manager) to repay the loan in accordance with its terms and to repay all other loans of equal seniority secured by a first lien or security interest in the same collateral); or (b) a loan that:

(i) is not (and cannot by its terms become) subordinate in right of payment to any other obligation of the obligor of the loan, except that such loan can be subordinate with respect to the liquidation of such obligor or the collateral for such loan; (ii) with respect to such liquidation, is secured by a valid perfected security interest or lien that is not a first priority in, to or on specified collateral securing the obligor's obligations under the loan; and (iii) the value of the collateral securing the loan together with other attributes of the obligor (including, without limitation, its general financial condition, ability to generate cash flow available for debt service and other demands for that cash flow) is adequate (in the commercially reasonable judgment of the Portfolio Manager) to repay the loan in accordance with its terms and to repay all other loans of equal or higher seniority secured in the same collateral; provided that, the loan has a facility rating from Moody's, such facility rating is not lower than the loan's Moody's corporate family rating and the loan is not: (i) a DIP Collateral Obligation; or

(ii) a loan for which the security interest or lien (or the validity or effectiveness thereof) in substantially all of its collateral attaches, becomes effective, or otherwise "springs" into existence after the origination thereof. "Non-Emerging Market Obligor" means any obligor that is Domiciled in any country that has a country ceiling for foreign currency bonds of at least "Aa2" by Moody's and a foreign currency issuer credit rating of at least "AA" by S&P. "Non-USD Obligation" means any Collateral Obligation purchased by or on behalf of the Issuer that is (a) denominated in a Permitted Currency, (b) not convertible into or payable in, at the option of the issuer thereof or obligor thereunder, any other currency, (c) a floating rate Collateral Obligation and (d) not a multi-currency Revolving Collateral Obligation or Delayed Drawdown Collateral Obligation. "Overcollateralization Ratio Threshold Test" means a test that is satisfied if the Overcollateralization Ratio relating to the Class C Notes exceeds 113%. "Participation Interest" means a participation interest in a loan that at the time of acquisition is represented by a contractual obligation of a Selling Institution that has at the time of acquisition at least a short-term rating of "A-1" (or a long-term rating of "A-") by S&P. "Permitted Currency" means Sterling, Euros, Swiss Francs and Canadian Dollars.

187

"Permitted Currency Exchange" means an exchange of currencies by the Trustee at the direction of the Portfolio Manager (i) from a Permitted Currency into U.S. Dollars, (ii) from U.S. Dollars into a Permitted Currency or (iii) from one Permitted Currency into another Permitted Currency, in each case in accordance with the terms of the Indenture. "Permitted Offer" means an offer (i) pursuant to the terms of which the offeror offers to acquire a debt obligation (including a Collateral Obligation) in exchange for consideration consisting solely of cash, other Eligible Investments and/or other Collateral Obligations in an amount equal to or greater than the full face amount of such debt obligation plus any accrued and unpaid interest and (ii) as to which the Portfolio Manager has determined in its judgment that the offeror has sufficient access to financing to consummate the offer. "Prepaid Collateral Obligation" means (i) a Collateral Obligation which has prepaid, whether by tender, redemption prior to the stated maturity thereof, exchange or other prepayment and (ii) any Credit Improved Obligation or Credit Risk Obligation which is sold by the Issuer. "Prime Rate" means the rate announced by The Bank of New York, from time to time as its prime rate in the United States, such rate to change as and when such designated rate changes. "Principal Financed Accrued Interest" means, with respect to any Collateral Obligation purchased after the Ramp-Up Period, an amount equal to the amount of Principal Proceeds, if any, applied towards the purchase of accrued interest on such Collateral Obligation. "Principal Proceeds" means, with respect to any Collection Period or Determination Date includes all amounts received by the Issuer during the related Collection Period that do not constitute Interest Proceeds. "Priority Hedge Termination Event" means the occurrence of (i) the Issuer's failure to make required payments or deliveries pursuant to a Hedge Agreement, (ii) the occurrence of certain events of bankruptcy, dissolution or insolvency with respect to the Issuer, (iii) the liquidation of the Assets due to an Event of Default under the Indenture, (iv) a change in law after the Closing Date which makes it unlawful for either the Issuer or a Hedge Counterparty to perform its obligations under a Hedge Agreement, (v) any termination of a Hedge Agreement as a result of actions taken by the Trustee in response to a reduction in the Collateral Principal Amount or (vi) of any termination of a Currency Hedge Transaction as a result of any sale, prepayment or default on the underlying Non-USD Obligation(s). "Proposed Portfolio" means the portfolio of Collateral Obligations and Eligible Investments resulting from the proposed purchase, sale, maturity or other disposition of a Collateral Obligation or a proposed reinvestment in an additional Collateral Obligation, as the case may be. "Rating Factor Adjustment Amount" means as of any date of determination, an amount equal to the product of (i) the portion of the Recovery Rate Excess Amount allocated with respect to the adjustment of the Maximum Weighted Average Rating Factor Test and (ii) 55. "Redemption Date" means any Payment Date specified for a redemption of Notes pursuant to the Indenture. "Reference Obligation" means a debt security or other obligation upon which a Synthetic Security is based, which debt security or other obligation (a) is not itself a Synthetic Security, (b) in the reasonable commercial judgment of the Portfolio Manager, satisfies (and, if owned by the Issuer, would satisfy) the definition of "Collateral Obligation", (other than clauses (i) and (viii) of the definition of "Collateral Obligation") and (c) could be acquired directly by the Issuer under the Investment Criteria (without giving effect to clauses (i) and (viii) of the definition of "Collateral Obligation").

188

"Registered Investment Advisor" means, an investment advisor registered under the Investment Advisors Act of 1940, as amended. "Reinvestment Agreement" means a guaranteed reinvestment agreement from a bank, insurance company or other corporation or entity; provided, however, that such agreement provides that it is terminable by the purchaser, without penalty, in the event that the rating assigned to such agreement by either Rating Agency is at any time lower than such agreement's Eligible Investment Required Rating. "Reinvestment Diversion Threshold Payment" means, for each Payment Date, after giving effect to the payments made pursuant to clauses (A) through (O)(x)(1) of "Summary of TermsPriority of PaymentsApplication of Interest Proceeds," an amount equal to the lesser of (i) 75% of the Interest Proceeds remaining as of such Payment Date and (ii) an amount which would cause the Overcollateralization Ratio relating to the Class D Notes to equal or exceed 104.95%. "Related Obligation" means an obligation issued by the Portfolio Manager, any of its affiliates that are investment funds or any other person that is an investment fund whose investments are primarily managed by the Portfolio Manager or any such affiliate. "Required Hedge Counterparty Rating" means, in respect of a counterparty or entity guaranteeing the obligations of such counterparty, (i) a long-term unsecured and unsubordinated debt obligation rating or other similar rating by Moody's of "A1" or higher if the Hedge Counterparty or guarantor has only a long-term unsecured and unsubordinated debt rating; or a long-term unsecured and unsubordinated debt obligation rating or other similar rating by Moody's of "A2" or higher and a short-term unsecured and unsubordinated debt rating by Moody's of "P-1" if the Hedge Counterparty or guarantor has both long-term unsecured and unsubordinated and short-term unsecured and unsubordinated debt ratings and (ii) a short-term unsecured and unsubordinated debt rating by S&P of "A-1" or higher or, if such Hedge Counterparty does not have a short-term unsecured and unsubordinated debt rating from S&P, a long-term unsecured and unsubordinated debt rating of "A+" or higher. "Required Reserve Amount" means, with respect to any Payment Date on which payments are made as a result of a mandatory or Special Redemption of the Class A-1a Notes, the excess, if any, of: (a) all unfunded commitments in respect of all Delayed Drawdown Collateral Obligations and Revolving Collateral Obligations that are denominated in U.S. Dollars and that have not been irrevocably reduced (plus the Unfunded Synthetic Exposure); minus (b) amounts on deposit in the U.S. Dollar subaccount of the Revolver Funding Account and the Subordinated Note Collateral Revolver Funding Account. "Restricted Trading Period" means each day during which (a) the Moody's rating of any of the Class A-1 Notes is one or more sub-categories below its initial rating thereof, (b) the Moody's rating of any of the A-2 Notes, the Class B Notes or the Class C Notes is two or more sub-categories below their respective initial ratings or (c) the Moody's rating of any Class A-1 Notes, Class A-2 Notes, Class B Notes or Class C Notes has been withdrawn and not reinstated; provided, that such period will not be a Restricted Trading Period (so long as the Moody's rating of any Class of Secured Notes has not been further downgraded, withdrawn or put on watch) upon the direction of the Holders of at least a Majority of (A) the Class A-1 Notes (voting together as a single Class), (B) the Class A-2 Notes, (C) the Class B Notes and (D) the Class C Notes. "Revolving Collateral Obligation" means any Collateral Obligation (other than a Delayed Drawdown Collateral Obligation) that is a loan (including, without limitation, revolving loans, including funded and unfunded portions of revolving credit lines and letter of credit facilities, unfunded commitments under specific facilities and other similar loans and investments) that by its terms may require one or more future advances to be made to the borrower by the Issuer; provided, that any such

189

Collateral Obligation will be a Revolving Collateral Obligation only until all commitments to make advances to the borrower expire or are terminated or irrevocably reduced to zero. "S&P CDO Monitor" means the dynamic, analytical computer model provided upon or after the receipt by the Issuer of written rating confirmation from S&P to each of the Portfolio Manager and the Collateral Administrator, with written instructions and assumptions to be applied when running such computer model, for the purpose of estimating the default risk of the Collateral Obligations, as the same may be modified by S&P from time to time. The S&P CDO Monitor will be developed using nine separate "Break-even Rate Cases" set forth in the S&P Test Matrix based upon the applicable "row/column combination" chosen by the Portfolio Manager. "S&P Collateral Value" means, with respect to any Defaulted Obligation or Deferring Security, the lesser of (i) the S&P Recovery Amount of such Defaulted Obligation or Deferring Security as of the relevant Measurement Date and (ii) the Market Value of such Defaulted Obligation or Deferring Security as of the relevant Measurement Date. "S&P Rating" means, with respect to any Collateral Obligation, as of any date of determination, the rating determined in accordance with the following methodology: (i) (a) if there is an issuer credit rating of the issuer of such Collateral Obligation by S&P as published by S&P, or the guarantor which unconditionally and irrevocably guarantees such Collateral Obligation then the S&P Rating shall be such rating (regardless of whether there is a published rating by S&P on the Collateral Obligations of such issuer held by the Issuer) or (b) if there is no issuer credit rating of the issuer by S&P but (i) if there is a senior unsecured rating on any obligation or security of the issuer, the S&P Rating of such Collateral Obligation shall equal such rating; (ii) if there is a senior secured rating on any obligation or security of the issuer, then the S&P Rating of such Collateral Obligation shall be one sub-category below such rating; and (iii) if there is a subordinated rating on any obligation or security of the issuer, then the S&P Rating of such Collateral Obligation shall be one sub-category above such rating if such rating is higher than "BB+", and shall be two sub-categories above such rating if such rating is "BB+" or lower; (ii) (a) with respect to any Collateral Obligation that is a Synthetic Security, the S&P Rating shall be the rating assigned thereto by S&P in connection with the acquisition thereof by the Issuer upon request of the Issuer or the Portfolio Manager (or an affiliate of the Portfolio Manager at the direction of the Portfolio Manager) (or, in the case of a Form Approved Synthetic Security, shall be the lower of the S&P Rating of the related Reference Obligation and the rating assigned by S&P to the Synthetic Security Counterparty); and (b) with respect to any Collateral Obligation that is a DIP Collateral Obligation, the S&P Rating thereof shall be the credit rating assigned to such issue by S&P; (iii) if there is not a rating by S&P on the issuer or on an obligation of the issuer, then the S&P Rating may be determined pursuant to clauses (a) through (c) below: (a) if an obligation of the issuer is not a DIP Collateral Obligation, Synthetic Security or Structured Finance Obligation and is rated by Moody's, then the S&P Rating will be determined in accordance with the methodologies for establishing the Moody's Rating set forth above except that the S&P Rating of such obligation will be (1) one subcategory below the S&P equivalent of the Moody's Rating if such Moody's Rating is "Baa3" or higher and (2) two sub-categories below the S&P equivalent of the Moody's Rating if such Moody's Rating is "Ba1" or lower;

190

(b) the Issuer or the Portfolio Manager on behalf of the Issuer (or an affiliate of the Portfolio Manager at the direction of the Portfolio Manager) may apply to S&P for a credit estimate for such Collateral Obligation, which shall be its S&P Rating; provided, that for a period of up to 90 days from the date of such application, pending receipt from S&P of such estimate, such Collateral Obligation shall be deemed to have the S&P Rating that the Portfolio Manager reasonably believes (as certified in writing by the Portfolio Manager to the Trustee) will be the S&P credit estimate; provided, further, that, if no credit estimate is received by the Issuer or the Portfolio Manager within 90 days of such application, the Portfolio Manager shall consult with S&P and shall make a request for an extension to such credit assessment process. Upon the receipt of written consent from S&P to such extension, such Collateral Obligation shall continue to be deemed to have the S&P Rating that the Portfolio Manager reasonably believes (as certified in writing by the Portfolio Manager to the Trustee) will be the S&P credit estimate or such other rating as discussed and agreed in writing by the Portfolio Manager and S&P; provided, further, that if the Portfolio Manager fails to request an extension or if written consent from S&P to extend the credit assessment process past such 90-day period is not obtained, the S&P Rating of such Collateral Obligation shall be "CCC-" or (c) with respect to a Collateral Obligation that is not a Defaulted Obligation, the S&P Rating of such Collateral Obligation will at the election of the Issuer (at the direction of the Portfolio Manager) be "CCC-"; or (iv) with respect to a DIP Collateral Obligation that has no issue rating by S&P or a Current Pay Obligation that is rated "D" or "SD" by S&P, the S&P Rating of such DIP Collateral Obligation or Current Pay Obligation, as applicable, will be, at the election of the Issuer (at the direction of the Portfolio Manager), "CCC-" or the S&P Rating determined pursuant to clause (iii)(b) above; provided, that for purposes of determining the S&P Rating, (x) if the applicable rating assigned by S&P to an obligor or its obligations is on "credit watch positive" by S&P, such rating will be treated as being one sub-category above such assigned rating and (y) if the applicable rating assigned by S&P to an obligor or its obligations is on "credit watch negative" by S&P, such rating will be treated as being one sub-category below such assigned rating. "S&P Rating Condition" means, with respect to any action taken or to be taken by or on behalf of the Issuer, a condition that is satisfied if S&P has confirmed in writing to the Issuer, the Trustee and the Portfolio Manager that no immediate withdrawal or reduction with respect to its then-current rating by S&P of any Class of Secured Notes will occur as a result of such action; provided, that the S&P Rating Condition will be deemed to be satisfied if no Class of Secured Notes outstanding is rated by S&P. "S&P Recovery Amount" means with respect to any Collateral Obligation which is a Defaulted Obligation or a Deferring Security, the amount equal to: (a) the recovery rate set forth in the column corresponding to the most senior Class of Notes then outstanding of the applicable table for the relevant Collateral Obligation category under the definition of "Weighted Average S&P Recovery Rate"; multiplied by (b) the principal balance of such Defaulted Obligation or Deferring Security;

provided, that the "S&P Recovery Amount" of any Synthetic Security which is a Defaulted Obligation or a Deferring Security will be the amount determined by S&P. "S&P Recovery Rate" means, respect to any category of Collateral Obligation, the corresponding "S&P Recovery Rate" designated in accordance with the methodology specified in the definition of the term "Weighted Average S&P Recovery Rate". 191

"S&P Test Matrix": On the Closing Date, the Portfolio Manager, on behalf of the Issuer, shall elect which Minimum Weighted Average S&P Recovery Rate, Minimum Weighted Average Floating Spread and which "Break even Rate Case" shall apply initially. Thereafter, the Portfolio Manager may elect to have a different case apply, provided that the Minimum Weighted Average S&P Recovery Rate, Minimum Weighted Average Floating Spread and a different "Break-even Rate Case" applicable to the case to which the Portfolio Manager wishes to change will be satisfied or, in the case of any tests that are not satisfied, will be closer to being satisfied. In no event will the Issuer or the Portfolio Manager be obliged to elect to have a different Minimum Weighted Average S&P Recovery Rate, Minimum Weighted Average Floating Spread or "Break-even Rate Case" apply. For the avoidance of doubt, (i) once a Minimum Weighted Average Floating Spread and "Break-even Rate Case" have been elected by the Portfolio Manager, such elections shall apply in all cases to each table comprising this S&P Test Matrix unless and until changed as specified above and (ii) each table comprising this S&P Test Matrix shall apply only for so long as a Class of Notes having the specified "CDO Liability Rating" remains outstanding.

CDO Liability Rating of "AAA"

Minimum Weighted Average Floating Spread Breakeven Rate Case 1 Breakeven Rate Case 2 Breakeven Rate Case 3 Breakeven Rate Case 4 Breakeven Rate Case 5 Breakeven Rate Case 6 Breakeven Rate Case 7 Breakeven Rate Case 8 Breakeven Rate Case 9

Minimum Weighted Average S&P Recovery Rate 2.00% 2.10% 2.15% 2.20% 2.30% 2.40% 2.50% 2.60% 2.70% 2.80% 2.90% 3.00% 66.12% 65.12% 64.62% 64.12% 63.22% 62.32% 61.42% 60.52% 59.72% 58.92% 58.22% 57.42% 67.39% 66.39% 65.89% 65.39% 64.49% 63.59% 62.69% 61.79% 60.99% 60.19% 59.49% 58.69% 68.29% 67.29% 66.79% 66.29% 65.39% 64.49% 63.59% 62.69% 61.89% 61.09% 60.39% 59.59% 69.07% 68.07% 67.57% 67.07% 66.17% 65.27% 64.37% 63.47% 62.67% 61.87% 61.17% 60.37% 69.97% 68.97% 68.47% 67.97% 67.07% 66.17% 65.27% 64.37% 63.57% 62.77% 62.07% 61.27% 70.88% 69.88% 69.38% 68.88% 67.98% 67.08% 66.18% 65.28% 64.48% 63.68% 62.98% 62.18% 71.74% 70.74% 70.24% 69.74% 68.84% 67.94% 67.04% 66.14% 65.34% 64.54% 63.84% 63.04% 72.70% 71.70% 71.20% 70.70% 69.80% 68.90% 68.00% 67.10% 66.30% 65.50% 64.80% 64.00% 73.65% 72.65% 72.15% 71.65% 70.75% 69.85% 68.95% 68.05% 67.25% 66.45% 65.75% 64.95%

192

CDO Liability Rating of "AA+" to "AA-"

Minimum Weighted Average Floating Spread Breakeven Rate Case 1 Breakeven Rate Case 2 Breakeven Rate Case 3 Breakeven Rate Case 4 Breakeven Rate Case 5 Breakeven Rate Case 6 Breakeven Rate Case 7 Breakeven Rate Case 8 Breakeven Rate Case 9

Minimum Weighted Average S&P Recovery Rate 2.00% 2.10% 2.15% 2.20% 2.30% 2.40% 2.50% 2.60% 2.70% 2.80% 2.90% 3.00% 68.90% 67.90% 67.40% 66.90% 66.00% 65.10% 64.20% 63.30% 62.50% 61.70% 61.00% 60.20% 69.93% 68.93% 68.43% 67.93% 67.03% 66.13% 65.23% 64.33% 63.53% 62.73% 62.03% 61.23% 70.80% 69.80% 69.30% 68.80% 67.90% 67.00% 66.10% 65.20% 64.40% 63.60% 62.90% 62.10% 71.54% 70.54% 70.04% 69.54% 68.64% 67.74% 66.84% 65.94% 65.14% 64.34% 63.64% 62.84% 72.41% 71.41% 70.91% 70.41% 69.51% 68.61% 67.71% 66.81% 66.01% 65.21% 64.51% 63.71% 73.27% 72.27% 71.77% 71.27% 70.37% 69.47% 68.57% 67.67% 66.87% 66.07% 65.37% 64.57% 74.10% 73.10% 72.60% 72.10% 71.20% 70.30% 69.40% 68.50% 67.70% 66.90% 66.20% 65.40% 74.99% 73.99% 73.49% 72.99% 72.09% 71.19% 70.29% 69.39% 68.59% 67.79% 67.09% 66.29% 75.82% 74.82% 74.32% 73.82% 72.92% 72.02% 71.12% 70.22% 69.42% 68.62% 67.92% 67.12%

CDO Liability Rating of "A+" to "A-"

Minimum Weighted Average Floating Spread Breakeven Rate Case 1 Breakeven Rate Case 2 Breakeven Rate Case 3 Breakeven Rate Case 4 Breakeven Rate Case 5 Breakeven Rate Case 6 Breakeven Rate Case 7 Breakeven Rate Case 8 Breakeven Rate Case 9

Minimum Weighted Average S&P Recovery Rate 2.00% 2.10% 2.15% 2.20% 2.30% 2.40% 2.50% 2.60% 2.70% 2.80% 2.90% 3.00% 71.58% 70.58% 70.08% 69.58% 68.68% 67.78% 66.88% 65.98% 65.18% 64.38% 63.68% 62.88% 72.17% 71.17% 70.67% 70.17% 69.27% 68.37% 67.47% 66.57% 65.77% 64.97% 64.27% 63.47% 73.04% 72.04% 71.54% 71.04% 70.14% 69.24% 68.34% 67.44% 66.64% 65.84% 65.14% 64.34% 73.78% 72.78% 72.28% 71.78% 70.88% 69.98% 69.08% 68.18% 67.38% 66.58% 65.88% 65.08% 74.65% 73.65% 73.15% 72.65% 71.75% 70.85% 69.95% 69.05% 68.25% 67.45% 66.75% 65.95% 75.51% 74.51% 74.01% 73.51% 72.61% 71.71% 70.81% 69.91% 69.11% 68.31% 67.61% 66.81% 76.34% 75.34% 74.84% 74.34% 73.44% 72.54% 71.64% 70.74% 69.94% 69.14% 68.44% 67.64% 77.18% 76.18% 75.68% 75.18% 74.28% 73.38% 72.48% 71.58% 70.78% 69.98% 69.28% 68.48% 77.89% 76.89% 76.39% 75.89% 74.99% 74.09% 73.19% 72.29% 71.49% 70.69% 69.99% 69.19%

193

CDO Liability Rating of "BBB+" to "BBB-"

Minimum Weighted Average Floating Spread Breakeven Rate Case 1 Breakeven Rate Case 2 Breakeven Rate Case 3 Breakeven Rate Case 4 Breakeven Rate Case 5 Breakeven Rate Case 6 Breakeven Rate Case 7 Breakeven Rate Case 8 Breakeven Rate Case 9

Minimum Weighted Average S&P Recovery Rate 2.00% 2.10% 2.15% 2.20% 2.30% 2.40% 2.50% 2.60% 2.70% 2.80% 2.90% 3.00% 74.21% 73.21% 72.71% 72.21% 71.31% 70.41% 69.51% 68.61% 67.81% 67.01% 66.31% 65.51% 74.98% 73.98% 73.48% 72.98% 72.08% 71.18% 70.28% 69.38% 68.58% 67.78% 67.08% 66.28% 75.77% 74.77% 74.27% 73.77% 72.87% 71.97% 71.07% 70.17% 69.37% 68.57% 67.87% 67.07% 76.45% 75.45% 74.95% 74.45% 73.55% 72.65% 71.75% 70.85% 70.05% 69.25% 68.55% 67.75% 77.24% 76.24% 75.74% 75.24% 74.34% 73.44% 72.54% 71.64% 70.84% 70.04% 69.34% 68.54% 78.03% 77.03% 76.53% 76.03% 75.13% 74.23% 73.33% 72.43% 71.63% 70.83% 70.13% 69.33% 78.79% 77.79% 77.29% 76.79% 75.89% 74.99% 74.09% 73.19% 72.39% 71.59% 70.89% 70.09% 79.58% 78.58% 78.08% 77.58% 76.68% 75.78% 74.88% 73.98% 73.18% 72.38% 71.68% 70.88% 80.30% 79.30% 78.80% 78.30% 77.40% 76.50% 75.60% 74.70% 73.90% 73.10% 72.40% 71.60%

CDO Liability Rating of "BB+" or below

Minimum Weighted Average Floating Spread Breakeven Rate Case 1 Breakeven Rate Case 2 Breakeven Rate Case 3 Breakeven Rate Case 4 Breakeven Rate Case 5 Breakeven Rate Case 6 Breakeven Rate Case 7 Breakeven Rate Case 8 Breakeven Rate Case 9

Minimum Weighted Average S&P Recovery Rate 2.00% 2.10% 2.15% 2.20% 2.30% 2.40% 2.50% 2.60% 2.70% 2.80% 2.90% 3.00% 76.73% 75.73% 75.23% 74.73% 73.83% 72.93% 72.03% 71.13% 70.33% 69.53% 68.83% 68.03% 77.49% 76.49% 75.99% 75.49% 74.59% 73.69% 72.79% 71.89% 71.09% 70.29% 69.59% 68.79% 78.24% 77.24% 76.74% 76.24% 75.34% 74.44% 73.54% 72.64% 71.84% 71.04% 70.34% 69.54% 78.89% 77.89% 77.39% 76.89% 75.99% 75.09% 74.19% 73.29% 72.49% 71.69% 70.99% 70.19% 79.64% 78.64% 78.14% 77.64% 76.74% 75.84% 74.94% 74.04% 73.24% 72.44% 71.74% 70.94% 80.40% 79.40% 78.90% 78.40% 77.50% 76.60% 75.70% 74.80% 74.00% 73.20% 72.50% 71.70% 81.11% 80.11% 79.61% 79.11% 78.21% 77.31% 76.41% 75.51% 74.71% 73.91% 73.21% 72.41% 81.88% 80.88% 80.38% 79.88% 78.98% 78.08% 77.18% 76.28% 75.48% 74.68% 73.98% 73.18% 82.59% 81.59% 81.09% 80.59% 79.69% 78.79% 77.89% 76.99% 76.19% 75.39% 74.69% 73.89%

194

"Scheduled Periodic Currency Hedge Payment" means, with respect to any Currency Hedge Transaction, the amount scheduled to be paid by the Issuer to the applicable Hedge Counterparty pursuant to the terms of such Currency Hedge Transaction, excluding any Currency Hedge Termination Payment or Currency Hedge Principal Exchange Payment, each related thereto. "Scheduled Periodic Currency Hedge Receipt" means with respect to any Currency Hedge Transaction, the amount scheduled to be paid to the Issuer by the applicable Hedge Counterparty pursuant to the terms of such Currency Hedge Transaction, excluding any Currency Hedge Termination Receipt or Currency Hedge Principal Exchange Receipt, each related thereto. "Secured Parties" means collectively the holders of the Secured Notes, each Hedge Counterparty, the Trustee and the holder of the Financed Amount obligation (to the extent of the Financed Amount). "Securities Intermediary" is as defined in Section 8-102(a)(14) of the UCC. "Securities Lending Agreement" means an agreement pursuant to which the Issuer agrees to loan any Securities Lending Counterparty one or more Collateral Obligations and such Securities Lending Counterparty agrees to post Securities Lending Collateral with the Trustee or a Securities Intermediary to secure its obligation to return such Collateral Obligations to the Issuer. "Securities Lending Collateral" means any cash or direct registered debt obligations of the United States of America that have a maturity of five years or less and that are pledged by a Securities Lending Counterparty as collateral pursuant to a Securities Lending Agreement. "Securities Lending Counterparty" means any bank, insurance company, broker-dealer or other financial institution that has (i) in the case of a loan with a term of 90 days or less, short-term senior unsecured debt ratings or a guarantor with such ratings of "P-1" from Moody's and "A-1" from S&P, (ii) in the case of a loan with a term of longer than 90 days but less than a year, (a) either (x) a long-term senior unsecured debt rating of at least "A1" by Moody's or (y) both a long-term senior unsecured debt rating of "A2" by Moody's and a short-term rating of "P-1" by Moody's and (b) either (x) a long-term senior unsecured debt rating of at least "A+" by S&P or (y) both a long-term senior unsecured debt rating of "A" by S&P and a short-term rating of "A-1" by S&P, and (iii) in the case of a loan for a one-year or more (but less than two-year) term and a loan for a two-year term or more, a long-term senior unsecured debt rating that, individually and together with all other Securities Lending Counterparties with the same rating, is consistent with the percentage of the Collateral Principal Amount loaned to Securities Lending Counterparties with such ratings as set forth in the table below:

195

Long-Term Senior Unsecured Debt Rating of Securities Lending Counterparty*** Moody's "Aaa" "Aa1" "Aa2" "Aa3" "A1" "A2"* S&P "AAA" "AA+" "AA" "AA-" "A+" "A"**

Individual Securities Lending Counterparty Percentage 1 year 10.0% 10.0% 10.0% 10.0% 10.0% 5.0% 2 year 10.0% 10.0% 10.0% **** **** ****

Aggregate Securities Lending Counterparty Percentage 1 year 20.0% 20.0% 20.0% 15.0% 10.0% 5.0% 2 year 10.0% 10.0% 10.0% 7.5% 5.0% 2.5%

* Applies only so long as Moody's short-term unsecured debt rating is "P-1". ** Applies only so long as the S&P short-term unsecured debt rating is "A-1". *** For purposes of determining compliance with this credit rating requirement, if the actively-monitored Moody's long-term senior unsecured debt rating of a Securities Lending Counterparty has been put on a watch list for possible downgrade, such credit rating shall be one sub-category below its then current Moody's rating or, if such credit rating has been put on a watch list for possible upgrade, one sub-category above its then current Moody's rating; provided, that the Issuer may enter into a Securities Lending Agreement with a Securities Lending Counterparty having, at such time, a longterm senior unsecured debt rating below "A2" by Moody's and "A" by S&P, so long as each of the Moody's Rating Condition and S&P Rating Condition has been satisfied. **** Global Rating Agency Condition must be satisfied. "Selling Institution" means the entity obligated to make payments to the Issuer under the terms of a Participation Interest. "Senior Secured Loan" means any assignment of or Participation Interest in or other interest (including a Synthetic Security or a Structured Finance Obligation) in a loan that is required to be secured by the valid pledge of collateral and which has a senior pre-petition priority (including pari passu with other obligations of the obligor, but subject to customary permitted liens such as, but not limited to, tax liens) in any bankruptcy, reorganization, arrangement, insolvency, moratorium or liquidation proceedings. Solely for the purpose of assigning the S&P Recovery Rate, a loan will be considered to be a Senior Secured Loan only if it is required to be secured by a valid, first priority pledge of collateral (which pledge may be subject to other customary liens). "Short Notice Borrowing" means a Borrowing made on one Business Day's notice to the Class A-1a Note Agent and, for so long as the initial Class A-1a Holder holds the Class A-1a Note, such Class A-1a Holder. "Specified Second Position Loan" means a loan (i) that is not (and cannot by its terms become) subordinate in right of payment to any unsecured obligation of the obligor in any bankruptcy, reorganization, arrangement, insolvency, moratorium or liquidation proceedings, (ii) that is required to be secured by the valid and perfected pledge of collateral that is not of first priority and (iii) with respect to which the Portfolio Manager determines in good faith that the value of the collateral securing the loan on or about the time of origination equals or exceeds the outstanding principal balance of the loan plus the aggregate outstanding principal amounts of all other loans of equal or higher seniority secured by the same collateral. "Structured Finance Obligation" means a non-recourse or limited-recourse debt obligation issued by a special purpose vehicle and secured solely by the assets thereof that is a mortgage backed security, an asset backed security, a collateralized bond obligation, a collateralized loan obligation or any similar securitization of a pool of assets (or any combination thereof) and that is not prohibited from inclusion as a Collateral Obligation by the Investment Company Act or other applicable law; provided that, 196

to be eligible for inclusion in the Collateral, such obligation must (a) be either (i) treated as debt for U.S. federal income tax purposes, or (ii) issued by an entity that is treated as a corporation for U.S. federal income tax purposes and (b) not be issued by an entity for which the Portfolio Manager or an affiliate of the Portfolio Manager is an investment manager or similar advisor thereto. "Subordinated Bond" means any bond that is subordinated to any senior unsecured debt obligations of the related issuer. "Subordinated Note Collateral Obligations" are Collateral Obligations that (i) were purchased on or prior to the Closing Date and which were designated by the Portfolio Manager as Collateral Obligations the distributions on which, and the proceeds received in respect of which, are to be deposited in the Subordinated Note Collateral Obligation Subaccount or (ii) are purchased after the Closing Date with funds from the subordinated note subaccount of the Ramp-Up Account or the Subordinated Note Collateral Obligation Subaccount. Only Subordinated Note Collateral Obligations may include Margin Loans. "Synthetic Security" means a security or swap transaction, other than a Participation Interest, (i) that has payments associated with either payments of interest and/or principal on a Reference Obligation or the credit performance of a Reference Obligation, (ii) with respect to which (unless such security is a Form Approved Synthetic Security) the S&P Rating Condition has been satisfied, (iii) with respect to which (unless such security is a Form Approved Synthetic Security) Moody's has assigned a Moody's Recovery Rate and Moody's Rating Factor, (iv) that is not prohibited from inclusion as a Collateral Obligation by any applicable law, (v) that for applicable U.S. federal income tax purposes is treated by the Issuer as debt, as a notional principal contract or as an option, and (vi) that is payable in U.S. Dollars or a Permitted Currency and does not expose the Issuer to currency risk (other than currency risk with respect to a Permitted Currency that is hedged pursuant to a Currency Hedge Transaction); provided, however, that (x) if a Synthetic Security provides for physical settlement, delivery of any deliverable obligation thereunder to the Issuer and transfer of such deliverable obligation by the Issuer to a third party will not require or cause the Issuer to assume, and will not subject the Issuer to, any obligation or liability (other than immaterial, nonpayment obligations and any assignment or transfer fee in respect of loans or, in the case of a deliverable obligation that constitutes a Revolving Collateral Obligation or a Delayed Drawdown Collateral Obligation, the obligation to make future advances pursuant to the terms thereof) and (y) each Synthetic Security shall contain appropriate limited recourse and non-petition provisions (to the extent that the Issuer has contractual payment or other obligations to the Synthetic Security Counterparty) substantially equivalent to those contained in Sections 2.8(i) and 5.4(d) of the Indenture. The Issuer may enter into Synthetic Securities which are not prepaid or collateralized (fully or partially) so long as the Unfunded Synthetic Exposure does not exceed the undrawn Commitments (less Commitments required to be maintained against the unfunded funding obligations under Revolving Collateral Obligations and Delayed Drawdown Collateral Obligations). "Synthetic Security Collateral" means, with respect to a Synthetic Security, any collateral permitted by such Synthetic Security's related documentation. "Synthetic Security Counterparty" has the meaning specified in the Indenture. "Target Initial Par Amount" equals, with respect to the Collateral Obligations purchased by the Issuer or expected to be the subject of binding agreements to purchase at the end of the Ramp-Up Period, $557,350,000, in aggregate principal balance of such Collateral Obligations. "Target Initial Par Condition" is a condition satisfied as of the end of the Ramp-Up Period if the Issuer has purchased, or entered into binding commitments to purchase, Collateral Obligations, including Collateral Obligations acquired by the Issuer on or prior to the Closing Date, that in the aggregate equal or exceed the Target Initial Par Amount, less any undrawn portion of the Class A-1a Notes, without regard to sales, prepayments, maturities or redemptions of such Collateral Obligations.

197

"Third Party Credit Exposure" means as of any date of determination, the sum (without duplication) of (a) the principal balance (or such lesser amount as may be determined by S&P) of any Synthetic Security that is not a Collateralized Synthetic Security plus (b) the principal balance of all Collateral Obligations issued by a non-sovereign or sovereign issuer located in a country whose foreign currency issuer credit rating by S&P is below "AA" (other than the United States) plus (c) the principal balance of each Collateral Obligation that consists of a Participation Interest; plus (d) (unless the S&P Rating Condition is satisfied with respect to the exclusion thereof from the Third Party Credit Exposure) the principal balance of each Collateral Obligation under a Securities Lending Agreement with a term of one year or longer; provided, however, that such term shall not include the principal balance of any Synthetic Security or Participation Interest if the counterparty or seller thereof, as applicable, has a shortterm credit rating by S&P of "A-1+". "Unfunded Synthetic Exposure" means on any date of determination and with respect to all Synthetic Securities, the positive difference (if any) between the notional amounts of such Synthetic Securities and the amounts prepaid by the Issuer or posted as collateral by the Issuer to secure its payment obligations thereunder in accordance with the Indenture. "U.S." means the United States of America. "Written-Down Security" means as of any date of determination, any Structured Finance Obligation as to which the Issuer or the Portfolio Manager, on behalf of the Issuer, has been notified by the issuer of the Structured Finance Obligation that the aggregate principal balance of the Structured Finance Obligation and all other Structured Finance Obligations secured by the same pool of collateral that rank pari passu with or senior in priority of payment to the Structured Finance Obligation exceeds the aggregate principal balance (including reserved interest or other amounts available for overcollateralization) of all collateral securing the Structured Finance Obligation and such other pari passu and senior Structured Finance Obligations (excluding defaulted collateral). "Zero Coupon Security" means any Collateral Obligation that at the time of purchase does not by its terms provide for the payment of cash interest; provided, that if, after such purchase such Collateral Obligation provides for the payment of cash interest, it shall cease to be a Zero Coupon Security.

198

INDEX OF DEFINED TERMS Following is an index of defined terms used in this Offering Circular and the page number where each definition appears. $ ..................................................................................................................................................................viii 2005 Act ....................................................................................................................................................... xi 25% Limitation........................................................................................................................................... 150 897 Subsidiary .......................................................................................................................................... 125 Acadia ....................................................................................................................................................... 114 Accredited Investors...................................................................................................................................... 3 Actions....................................................................................................................................................... 119 Adjusted Collateral Principal Amount........................................................................................................ 165 Administration Agreement......................................................................................................................... 126 Administrative Expense Cap ..................................................................................................................... 165 Administrative Expenses........................................................................................................................... 165 Administrator ............................................................................................................................................. 126 Affected Bank............................................................................................................................................ 129 Aggregate Industry Equivalent Unit Score .................................................................................................. 76 Aggregate Outstanding Amount................................................................................................................ 166 Aggregate Percentage Limit...................................................................................................................... 183 Aggregate Undrawn Amount......................................................................................................................... 8 Allocated Discounted Payment Amount.................................................................................................... 166 Applicable Advance Rate .......................................................................................................................... 167 Applicable Issuer(s)................................................................................................................................... 167 Applicable Spot Market Exchange Rate ................................................................................................... 167 Asset Assigned Recovery Rate Method ..................................................................................................... 80 Assets.......................................................................................................................................................... 73 Assumed Reinvestment Rate ................................................................................................................... 167 Average Par Amount................................................................................................................................... 76 B Collateral Obligation .............................................................................................................................. 167 B Excess Adjustment Amount................................................................................................................... 167 Base Rate.................................................................................................................................................. 168 Benefit Plan Investors ............................................................................................................................... 144 Bond .......................................................................................................................................................... 168 Bond Yield Change ................................................................................................................................... 168 Borrowing .................................................................................................................................................... 58 Business Day ............................................................................................................................................ 168 Caa Collateral Obligation .......................................................................................................................... 168 Calculation Agent ........................................................................................................................................ 51 Capital Lease ............................................................................................................................................ 168 CCC Collateral Obligation ......................................................................................................................... 169 CCC/Caa Excess ...................................................................................................................................... 168 CCC/Caa Excess Adjustment Amount...................................................................................................... 169 CDO .......................................................................................................................................................... 169 Certificated Subordinated Notes ............................................................................................................. 4, 68 CFC ........................................................................................................................................................... 135 Class ........................................................................................................................................................... 51 Class A Coverage Tests ............................................................................................................................. 27 Class A Notes ............................................................................................................................................... 2 Class A-1 Note Overcollateralization Event .............................................................................................. 169 Class A-1 Notes ............................................................................................................................................ 2 Class A-1 Pro Rata Adjustment Amount................................................................................................... 169 Class A-1a Additional Costs...................................................................................................................... 169 Class A-1a Committed Amount................................................................................................................. 170 Class A-1a Note Agent.................................................................................................................................. 6 I-1

Class A-1a Notes ...................................................................................................................................... ii, 1 Class A-1a Purchaser Rating Criteria ....................................................................................................... 170 Class A-1a Tax Gross-Up Amount............................................................................................................ 170 Class A-1b Notes ...................................................................................................................................... ii, 1 Class A-2 Notes ........................................................................................................................................ ii, 1 Class B Coverage Tests ............................................................................................................................. 27 Class B Notes ........................................................................................................................................... ii, 1 Class Break-even Loss Rate..................................................................................................................... 170 Class C Coverage Tests ............................................................................................................................. 27 Class C Notes ........................................................................................................................................... ii, 1 Class D Coverage Tests ............................................................................................................................. 27 Class D Notes ........................................................................................................................................... ii, 1 Class Loss Differential .............................................................................................................................. 170 Class Scenario Loss Rate......................................................................................................................... 170 Clean-Up Call Redemption ..................................................................................................................... 6, 56 Clean-Up Call Redemption Date................................................................................................................. 56 Clean-Up Call Redemption Price .............................................................................................................. 170 Clearstream................................................................................................................................................. 68 Closing Date.......................................................................................................................................... Cover Code............................................................................................................................................................ 56 Co-Issuer............................................................................................................................................... Cover Co-Issuer Common Stock ......................................................................................................................... 125 Co-Issuers ............................................................................................................................................. Cover Collateral Administration Agreement .......................................................................................................... 78 Collateral Administrator............................................................................................................................... 78 Collateral Balance Event........................................................................................................................... 170 Collateral Interest Amount......................................................................................................................... 171 Collateral Management Fees .................................................................................................................... 118 Collateral Obligation.................................................................................................................................... 15 Collateral Principal Amount......................................................................................................................... 27 Collateral Quality Test................................................................................................................................. 19 Collateralized Synthetic Security .............................................................................................................. 171 Collection Account ...................................................................................................................................... 93 Collection Period ......................................................................................................................................... 50 Commitment.............................................................................................................................................. 171 Commitment Fee........................................................................................................................................... 8 Commitment Fee Amount ............................................................................................................................. 8 Commitment Fee Rate .................................................................................................................................. 8 Controlling Class ......................................................................................................................................... 61 Controlling Person..................................................................................................................................... 144 Coverage Test Event ................................................................................................................................ 171 Coverage Tests........................................................................................................................................... 27 Credit Improved Criteria ............................................................................................................................ 171 Credit Improved Obligation ....................................................................................................................... 171 Credit Risk Criteria .................................................................................................................................... 171 Credit Risk Obligation ............................................................................................................................... 172 Currency.................................................................................................................................................... 172 Currency Account...................................................................................................................................... 101 Currency Hedge Obligation....................................................................................................................... 172 Currency Hedge Payment Date ................................................................................................................ 172 Currency Hedge Principal Exchange Payment......................................................................................... 172 Currency Hedge Principal Exchange Receipt........................................................................................... 172 Currency Hedge Replacement Payment .................................................................................................. 172 Currency Hedge Replacement Receipt .................................................................................................... 172 Currency Hedge Requirement .................................................................................................................. 104 Currency Hedge Requirements ................................................................................................................ 104 I-2

Currency Hedge Termination Payment..................................................................................................... 172 Currency Hedge Termination Receipt....................................................................................................... 172 Currency Hedge Transaction .................................................................................................................... 172 Current Pay Obligation.............................................................................................................................. 172 Current Portfolio ........................................................................................................................................ 173 Custodial Account ....................................................................................................................................... 95 Default ....................................................................................................................................................... 173 Defaulted Obligation.................................................................................................................................. 173 Deferrable Security ................................................................................................................................... 174 Deferred Interest ......................................................................................................................................... 51 Deferring Security ..................................................................................................................................... 174 Delayed Drawdown Collateral Obligation ................................................................................................. 174 Determination Date ..................................................................................................................................... 14 DIP Collateral Obligation........................................................................................................................... 174 Discount Obligation ................................................................................................................................... 175 Discounted Payment Account ..................................................................................................................... 97 Discounted Payment Reinvestment Amount ............................................................................................ 174 Discounted Payment Spread .................................................................................................................... 175 Discounted Payments ............................................................................................................................... 174 Diversity Score ............................................................................................................................................ 76 Documents ................................................................................................................................................ 128 Dollars .........................................................................................................................................................viii Domicile..................................................................................................................................................... 176 Draw Period .............................................................................................................................................. 176 DTC ............................................................................................................................................................. 30 Eligible Investment Required Ratings ....................................................................................................... 177 Eligible Investments .................................................................................................................................. 176 Eligible Premium ....................................................................................................................................... 177 Eligible Premium Distribution Amount....................................................................................................... 177 equitable subordination ............................................................................................................................... 43 Equity Security .......................................................................................................................................... 177 Equivalent Unit Score.................................................................................................................................. 76 ERISA........................................................................................................................................................ 142 ERISA Plans ............................................................................................................................................. 142 ETB Subsidiary ......................................................................................................................................... 126 ETB/897/Non-U.S. Obligation Subsidiaries .............................................................................................. 126 Euroclear ..................................................................................................................................................... 68 Event of Default........................................................................................................................................... 60 Excepted Advances .................................................................................................................................. 177 Excess Discounted Payment Amount....................................................................................................... 178 Excess Discounted Payment Spread........................................................................................................ 178 Excess Weighted Average Fixed Coupon .................................................................................................. 75 Excess Weighted Average Floating Spread ............................................................................................... 74 Exchange Act ..............................................................................................................................................xiii Expense Reserve Account........................................................................................................................ 100 Expenses................................................................................................................................................... 119 Federal Funds Effective Rate.................................................................................................................... 178 Fee Basis Amount..................................................................................................................................... 119 Financed Amount ...................................................................................................................................... 178 Financed Amount Initial Balance .............................................................................................................. 178 Financed Amount Scheduled Payment..................................................................................................... 178 Financed Amount Threshold ..................................................................................................................... 178 Financial Regulator .........................................................................................................................1, 30, 162 Floating Spread Adjustment Amount ........................................................................................................ 179 Form Approved Synthetic Security ........................................................................................................... 179 FRB ........................................................................................................................................................... 182 I-3

FSMA ........................................................................................................................................................... ix Funding Advance ...................................................................................................................................... 179 Funding Entity ........................................................................................................................................... 169 Global Notes ........................................................................................................................................... 3, 68 Global Rating Agency Condition ............................................................................................................... 179 Global Subordinated Notes ......................................................................................................................... 68 Group ........................................................................................................................................................ 179 Group A ..................................................................................................................................................... 179 Group B ..................................................................................................................................................... 180 Group C..................................................................................................................................................... 180 Group I Country........................................................................................................................................... 26 Group II Country.......................................................................................................................................... 26 Group III Country......................................................................................................................................... 26 Group IV Country ........................................................................................................................................ 26 Hedge Agreements ................................................................................................................................... 103 Hedge Counterparty.................................................................................................................................... 17 Incentive Collateral Management Fee I .................................................................................................... 118 Incentive Collateral Management Fee I Threshold ................................................................................... 118 Incentive Collateral Management Fee II ................................................................................................... 118 Incentive Collateral Management Fee II IRR Threshold........................................................................... 119 Indemnifiable Tax...................................................................................................................................... 180 Indemnified Party ...................................................................................................................................... 119 Indenture ............................................................................................................................................... Cover Independent .............................................................................................................................................. 180 Industry Diversity Score .............................................................................................................................. 76 Initial Purchasers........................................................................................................................... 147, Cover Interest Accrual Period................................................................................................................................ 50 Interest Collection Subaccount ................................................................................................................... 93 Interest Coverage Ratio .............................................................................................................................. 28 Interest Coverage Test................................................................................................................................ 27 Interest Determination Date ........................................................................................................................ 51 Interest Proceeds ...................................................................................................................................... 180 Interest Rate................................................................................................................................................ 51 Interest Rate Hedge Account ............................................................................................................100, 181 Interest Rate Hedge Agreement ............................................................................................................... 103 Interim Report Date................................................................................................................................... 111 Interim Targets .......................................................................................................................................... 111 Investment Company Act .................................................................................................................... ii, 3, 67 Investment Criteria ...................................................................................................................................... 92 Investment Criteria Adjusted Balance....................................................................................................... 181 Investor-Based Exemptions ...................................................................................................................... 143 Irish Paying Agent ....................................................................................................................................... 54 IRS ............................................................................................................................................................ 127 ISDA .......................................................................................................................................................... 103 Issue Price................................................................................................................................................. 127 Issued Ordinary Shares ............................................................................................................................ 124 Issuer..................................................................................................................................................... Cover Issuer Order .............................................................................................................................................. 182 Issuer Par Amount ...................................................................................................................................... 76 iStar ............................................................................................................................................................. 47 Key Manager Event................................................................................................................................... 122 Key Managers ........................................................................................................................................... 122 Knowledgeable Employees.................................................................................................................iii, 3, 67 lender liability .............................................................................................................................................. 42 Liabilities.................................................................................................................................................... 119 LIBOR.......................................................................................................................................................... 51 I-4

Liquidity Reserve Amount ......................................................................................................................... 182 Loan Pricing Change................................................................................................................................. 182 London Banking Day................................................................................................................................... 52 Lower-Tier PFICs ...................................................................................................................................... 136 Mandatory Redemption............................................................................................................................... 54 Margin Loan .............................................................................................................................................. 182 Margin Stock ............................................................................................................................................. 182 Market Value ............................................................................................................................................. 183 Maximum Weighted Average Rating Factor Test ....................................................................................... 20 Measurement Date...................................................................................................................................... 74 Minimum Diversity/Maximum Rating/Minimum Spread Matrix ................................................................... 21 Minimum Fixed Coupon .............................................................................................................................. 20 Minimum Fixed Coupon Test ...................................................................................................................... 20 Minimum Floating Spread ........................................................................................................................... 20 Minimum Floating Spread Test ................................................................................................................... 20 Minimum Weighted Average Moody's Recovery Rate Test........................................................................ 23 Minimum Weighted Average S&P Recovery Rate Test........................................................................ 23, 86 Moody's ......................................................................................................................................................... 1 Moody's Collateral Value .......................................................................................................................... 183 Moody's Counterparty Criteria .................................................................................................................. 183 Moody's Default Probability Rating ........................................................................................................... 184 Moody's Derived Rating ............................................................................................................................ 185 Moody's Diversity Test ................................................................................................................................ 21 Moody's Non-Senior Secured Loan .......................................................................................................... 187 Moody's Rating.......................................................................................................................................... 186 Moody's Rating Condition ......................................................................................................................... 187 Moody's Rating Factor ................................................................................................................................ 76 Moody's Recovery Amount ....................................................................................................................... 187 Moody's Recovery Rate .............................................................................................................................. 79 Moody's Senior Secured Loan .................................................................................................................. 187 Non-Call Period............................................................................................................................................. 5 Non-Emerging Market Obligor .................................................................................................................. 188 Non-Permitted ERISA Holder ................................................................................................................... 161 Non-Permitted Holder ............................................................................................................................... 160 non-U.S. Holder ........................................................................................................................................ 139 Non-U.S. Obligation Subsidiary ................................................................................................................ 126 Non-USD Notional Amount ....................................................................................................................... 104 Non-USD Obligation.................................................................................................................................. 188 Note Interest Amount .................................................................................................................................. 52 Note Payment Sequence ............................................................................................................................ 13 Note Purchase Agreement............................................................................................................................ 6 Notes ................................................................................................................................................. 2, Cover Oak Hill CLO I ............................................................................................................................................. 48 Oak Hill CLO II ............................................................................................................................................ 48 Oak Hill CLO III ........................................................................................................................................... 48 Oak Hill CLO IV........................................................................................................................................... 48 Occurrence................................................................................................................................................ 177 Offer of Offered Securities to the Public .....................................................................................................xiii Offered Securities ............................................................................................................................. 2, Cover Offering Circular ............................................................................................................................................iii offshore transaction..................................................................................................................................... 68 OID ............................................................................................................................................................ 130 Optional Redemption .................................................................................................................................... 5 Overcollateralization Ratio .......................................................................................................................... 28 Overcollateralization Ratio Test .................................................................................................................. 27 Overcollateralization Ratio Threshold Test ............................................................................................... 188 I-5

Participation Interest ................................................................................................................................. 188 Paying Agent............................................................................................................................................... 54 Payment Account ........................................................................................................................................ 94 Payment Date ............................................................................................................................................... 4 Permitted Currency ................................................................................................................................... 188 Permitted Currency Exchange .................................................................................................................. 189 Permitted Offer.......................................................................................................................................... 189 PFIC .......................................................................................................................................................... 133 Plan Asset Regulations ............................................................................................................................. 142 Plans ......................................................................................................................................................... 142 Portfolio Management Agreement .............................................................................................................. 17 Portfolio Manager.................................................................................................................................. Cover Portfolio Manager Information.....................................................................................................................viii Portfolio Profile Tests .................................................................................................................................. 23 Portfolio Weighted Average Maturity .......................................................................................................... 87 Prepaid Collateral Obligation .................................................................................................................... 189 Prime Rate ................................................................................................................................................ 189 Principal Collection Subaccount ................................................................................................................. 93 Principal Financed Accrued Interest ......................................................................................................... 189 Principal Proceeds .................................................................................................................................... 189 Priority Hedge Termination Event ............................................................................................................. 189 Priority of Payments .................................................................................................................................. ii, 4 Pro Rata Payment Sequence...................................................................................................................... 14 Proposed Portfolio..................................................................................................................................... 189 Proposed Replacement(s) ........................................................................................................................ 121 Prospectus ..........................................................................................................................................30, 162 Prospectus Directive .......................................................................................................................1, 30, 162 PTCE......................................................................................................................................................... 142 Purchase Agreement ................................................................................................................................ 147 Purpose Credit ............................................................................................................................................ 35 QEF ........................................................................................................................................................... 134 QIB/QP ........................................................................................................................................................ 68 Qualified Institutional Buyers...............................................................................................................iii, 3, 67 Qualified Purchasers........................................................................................................................... ii, 3, 67 qualified stated interest ............................................................................................................................. 130 Ramp-Up Account....................................................................................................................................... 95 Ramp-Up Period ......................................................................................................................................... 18 Rating Agencies ............................................................................................................................................ 1 Rating Agency............................................................................................................................................. 72 Rating Factor Adjustment Amount ............................................................................................................ 189 Record Date ................................................................................................................................................ 59 Recovery Rate Excess Amount .................................................................................................................. 21 Redemption Date ...................................................................................................................................... 189 Redemption Price.......................................................................................................................................... 6 Reference Banks......................................................................................................................................... 52 Reference Obligation ................................................................................................................................ 189 Refinancing ................................................................................................................................................. 55 Refinancing Date......................................................................................................................................... 55 Refinancing Proceeds ................................................................................................................................. 56 Registered Investment Advisor ................................................................................................................. 190 Regulation S............................................................................................................................................ 3, 67 Regulation S Global Class D Notes .......................................................................................................... 145 Regulation S Global Notes...................................................................................................................... 3, 68 Regulation S Global Subordinated Notes ................................................................................................... 68 Regulation U ............................................................................................................................................... 35 Regulation U Lenders ................................................................................................................................. 35 I-6

Reinvestment Agreement.......................................................................................................................... 190 Reinvestment Diversion Threshold Payment............................................................................................ 190 Reinvestment Period................................................................................................................................... 19 Related Obligation..................................................................................................................................... 190 Relevant Implementation Date....................................................................................................................xiii Relevant Member State ..............................................................................................................................xiii Required Hedge Counterparty Rating....................................................................................................... 190 Required Reserve Amount........................................................................................................................ 190 Restricted Trading Period ......................................................................................................................... 190 Revolver Funding Account .......................................................................................................................... 96 Revolving Collateral Obligation ................................................................................................................. 190 RSA 421-B ....................................................................................................................................................iii Rule 144A................................................................................................................................................ 3, 67 Rule 144A Class D Notes ......................................................................................................................... 144 Rule 144A Global Notes.......................................................................................................................... 3, 68 Rule 144A Global Subordinated Notes ....................................................................................................... 68 S&P ............................................................................................................................................................... 1 S&P CDO Monitor ..................................................................................................................................... 191 S&P CDO Monitor Test ............................................................................................................................... 22 S&P Collateral Value................................................................................................................................. 191 S&P Rating................................................................................................................................................ 191 S&P Rating Condition ............................................................................................................................... 192 S&P Recovery Amount ............................................................................................................................. 192 S&P Recovery Rate .................................................................................................................................. 192 S&P Test Matrix......................................................................................................................................... 193 Sale Proceeds............................................................................................................................................... 5 Scheduled Periodic Currency Hedge Payment......................................................................................... 196 Scheduled Periodic Currency Hedge Receipt........................................................................................... 196 SEC ............................................................................................................................................................. 39 Secured Notes ...............................................................................................................................ii, 2, Cover Secured Parties......................................................................................................................................... 196 Securities Act ...................................................................................................................................... ii, 3, 67 Securities Intermediary ............................................................................................................................. 196 Securities Lending Account....................................................................................................................... 101 Securities Lending Agreement.................................................................................................................. 196 Securities Lending Collateral .................................................................................................................... 196 Securities Lending Counterparty............................................................................................................... 196 Selling Institution ....................................................................................................................................... 197 Senior Collateral Management Fee .......................................................................................................... 118 Senior Secured Loan ................................................................................................................................ 197 Share Trustee ........................................................................................................................................... 124 Short Notice Borrowing ............................................................................................................................. 197 SMBC ..................................................................................................................................................49, 111 Special Redemption .................................................................................................................................... 55 Special Redemption Amount....................................................................................................................... 55 Special Redemption Date ........................................................................................................................... 55 Special U.S. Tax Counsel ......................................................................................................................... 128 Specified Second Position Loan ............................................................................................................... 197 Stated Maturity ............................................................................................................................................ 53 Structured Finance Obligation .................................................................................................................. 197 Subordinated Bond ................................................................................................................................... 198 Subordinated Collateral Management Fee ............................................................................................... 118 Subordinated Note Collateral Obligation Subaccount ................................................................................ 93 Subordinated Note Collateral Obligations................................................................................................. 198 Subordinated Note Collateral Revolver Funding Account .......................................................................... 97 Subordinated Note Reinvestment Ceiling ................................................................................................. 108 I-7

Subordinated Notes ...................................................................................................................................... 1 Synthetic Security ..................................................................................................................................... 198 Synthetic Security Collateral ..................................................................................................................... 198 Synthetic Security Counterparty ............................................................................................................... 198 Synthetic Security Counterparty Account ................................................................................................... 98 Synthetic Security Issuer Account .............................................................................................................. 99 Target Initial Par Amount .......................................................................................................................... 198 Target Initial Par Condition........................................................................................................................ 198 Tax Structure.................................................................................................................................................iii Tax Treatment...............................................................................................................................................iii Tax-Exempt U.S. Holder ........................................................................................................................... 137 Telerate Screen........................................................................................................................................... 52 Third Party Credit Exposure...................................................................................................................... 199 Tiered Recovery Rate Method .................................................................................................................... 80 Trustee .................................................................................................................................................. Cover U.S ............................................................................................................................................................ 199 U.S. Dollars .................................................................................................................................................viii U.S. Holder................................................................................................................................................ 127 U.S. person ................................................................................................................................................. 68 U.S. Shareholders..................................................................................................................................... 135 UBTI .......................................................................................................................................................... 137 Unfunded Synthetic Exposure .................................................................................................................. 199 Unhedged Interest Spread .......................................................................................................................... 89 Unhedged Reduction Percentage............................................................................................................... 89 USD.............................................................................................................................................................viii USD Notional Amount ............................................................................................................................... 104 Weighted Average Fixed Coupon ............................................................................................................... 74 Weighted Average Floating Spread ............................................................................................................ 75 Weighted Average Maturity Test................................................................................................................. 23 Weighted Average Moody's Recovery Rate ............................................................................................... 79 Weighted Average Rating Factor................................................................................................................ 75 Weighted Average S&P Recovery Rate ..................................................................................................... 79 Written-Down Security .............................................................................................................................. 199 Zero Coupon Security ............................................................................................................................... 199

I-8

ANNEX A-1 FORM OF PURCHASER REPRESENTATION LETTER FOR CERTIFICATED SUBORDINATED NOTES The Bank of New York Trust Company, National Association 601 Travis Street, 16th Floor Houston, Texas 77002 Attn: Global Corporate Trust OHA Park Avenue CLO I, Ltd. Re: OHA Park Avenue CLO I, Ltd. Certificated Subordinated Notes

Reference is hereby made to the indenture, dated as of March 20, 2007 among OHA Park Avenue CLO I, Ltd., as Issuer, OHA Park Avenue CLO I, Corp., as Co-Issuer and The Bank of New York Trust Company, National Association, as Trustee (the "Indenture"). Capitalized terms used but not defined herein shall have the meanings given them in the Indenture. This letter relates to ___ Aggregate Outstanding Amount of Subordinated Notes which are held in the form of one or more Certificated Subordinated Notes in the name of ______________ (the "Transferor") to effect the transfer of the Certificated Subordinated Notes to ______________ (the "Transferee"). In connection with such request, and in respect of such Certificated Subordinated Notes, the Transferee does hereby certify that the Certificated Subordinated Notes are being transferred (i) in accordance with the transfer restrictions set forth in the Indenture and (ii) pursuant to an exemption from registration under the United States Securities Act of 1933, as amended (the "Securities Act") and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction. In addition, the Transferee hereby represents, warrants and covenants for the benefit of the Issuer and its counsel that we are: (a) (PLEASE CHECK ONLY ONE)

_____ a "qualified institutional buyer" as defined in Rule 144A under the Securities Act of 1933, as amended (the "Securities Act"), and are acquiring the Subordinated Notes in reliance on the exemption from Securities Act registration provided by Rule 144A thereunder; _____ an institutional "accredited investor" as defined in Rule 501(a)(1), (2), (3), (7) or (8) under the Securities Act; _____ an individual "accredited investor" as defined in Rule 501(a)(5) or (6) under the Securities Act who, if not a "Knowledgeable Employee," has a minimum of $10,000,000 in investable assets; or _____ a person that is not a "U.S. person" as defined in Regulation S under the Securities Act, and are acquiring the Subordinated Notes in an offshore transaction (as defined in Regulation S) in reliance on the exemption from Securities Act registration provided by Regulation S; and (b) acquiring the Certificated Subordinated Notes for our own account (and not for the account of any other Person) in a minimum denomination of $100,000 (or in such other minimum denominations as the Issuer may agree on a case-by-case basis) and in integral multiples of $1,000 in excess thereof (or such lower amount as the Issuer may agree on a case-by-case basis). The Transferee further represents and warrants as follows:

A-1-1

1. It understands that the Certificated Subordinated Notes have not been and will not be registered under the Securities Act, and, if in the future it decides to offer, resell, pledge or otherwise transfer the Certificated Subordinated Notes, such Certificated Subordinated Notes may be offered, resold, pledged or otherwise transferred only in accordance with the provisions of the Indenture and the legends on such Certificated Subordinated Notes, including the requirement for written certifications. In particular, it understands that the Certificated Subordinated Notes may be transferred only to a person that is either (a) a "qualified purchaser" (as defined in the Investment Company Act of 1940, as amended (the "Investment Company Act")), (b) a "Knowledgeable Employee," as defined in Rule 3c-5 promulgated under the Investment Company Act, with respect to the Issuer or (c) a corporation, partnership, limited liability company or other entity (other than a trust) each shareholder, partner, member or other equity owner of which is either a Knowledgeable Employee or a Qualified Purchaser; and in the case of (a), (b) and (c) above that is either (i) a "qualified institutional buyer" as defined in Rule 144A under the Securities Act who purchases such Certificated Subordinated Notes in reliance on the exemption from Securities Act registration provided by Rule 144A thereunder or (ii) an "accredited investor" as defined in Rule 501(a)(1), (2), (3), (5), (6), (7) or (8) under the Securities Act who, if an individual "accredited investor" and not a "Knowledgeable Employee", has a minimum of $10,000,000 in investable assets or (d) a person that is not a "U.S. person" as defined in Regulation S under the Securities Act, and is acquiring the Certificated Subordinated Notes in an offshore transaction (as defined in Regulation S thereunder) in reliance on the exemption from registration provided by Regulation S thereunder. It acknowledges that no representation is made as to the availability of any exemption under the Securities Act or any state securities laws for resale of the Certificated Subordinated Notes. 2. In connection with its purchase of the Certificated Subordinated Notes: (i) none of the Co-Issuers, the Initial Purchasers, the Trustee, the Portfolio Manager or any of their respective affiliates are acting as a fiduciary or financial or investment adviser for it; (ii) it is not relying (for purposes of making any investment decision or otherwise) on any written or oral advice, counsel or representations of the CoIssuers, the Initial Purchasers, the Portfolio Manager, the Trustee or any of their respective affiliates other than any statements in the final offering circular for such Subordinated Notes; (iii) it has read and understands the final offering circular for such Subordinated Notes (including, without limitation, the descriptions therein of the structure of the transaction in which the Certificated Subordinated Notes are being issued and the risks to purchasers of the Certificated Subordinated Notes); (iv) it has consulted with its own legal, regulatory, tax, business, investment, financial and accounting advisers to the extent it has deemed necessary, and has made its own investment decisions (including decisions regarding the suitability of any transaction pursuant to the Indenture) based upon its own judgment and upon any advice from such advisers as it has deemed necessary and not upon any view expressed by the CoIssuer, the Initial Purchasers, the Portfolio Manager, the Trustee or any of their respective affiliates; (v) it will hold and transfer at least the minimum denomination of such Subordinated Notes; (vi) it was not formed for the purpose of investing in the Subordinated Notes; and (vii) it is a sophisticated investor and is purchasing the Certificated Subordinated Notes with a full understanding of all of the terms, conditions and risks thereof, and it is capable of assuming and willing to assume those risks. 3. (i) It is either (A) a "qualified purchaser" for purposes of Section 3(c)(7) of the Investment Company Act, (B) a "Knowledgeable Employee" with respect to the Issuer for purposes of Rule 3c-5 of the Investment Company Act or (C) a corporation, partnership, limited liability company or other entity (other than a trust) each shareholder, partner, member or other equity owner of which is either a Knowledgeable Employee or a Qualified Purchaser and in the case of (A), (B) and (C) above that is either (x) a "qualified institutional buyer" as defined in Rule 144A under the Securities Act who purchases such Certificated Subordinated Notes in reliance on the exemption from Securities Act registration provided by Rule 144A thereunder or (y) an "accredited investor" as defined in Rule 501(a)(1), (2), (3), (5), (6), (7) or (8) under the Securities Act who, if an individual "accredited investor" and not a "Knowledgeable Employee", has a minimum of $10,000,000 in investable assets or (D) not a "U.S. person" as defined in Regulation S under the Securities Act and is acquiring the Certificated Subordinated Notes in an offshore transaction (as defined in Regulation S thereunder) in reliance on the exemption from registration provided by Regulation S thereunder; (ii) it is acquiring the Certificated Subordinated Notes as principal solely for its own account for investment and not with a view to the resale, distribution or other disposition thereof in violation of the Securities Act; (iii) it is not a (A) partnership, (B) common trust fund, or (C) A-1-2

special trust, pension, profit sharing or other retirement trust fund or plan in which the partners, beneficiaries or participants may designate the particular investments to be made; (iv) it agrees that it shall not hold any Certificated Subordinated Notes for the benefit of any other person, that it shall at all times be the sole beneficial owner thereof for purposes of the Investment Company Act and all other purposes and that it shall not sell participation interests in the Certificated Subordinated Notes or enter into any other arrangement pursuant to which any other person shall be entitled to a beneficial interest in the distributions on the Certificated Subordinated Notes; (v) it is acquiring its interest in the Certificated Subordinated Notes for its own account; and (vi) it will hold and transfer at least the minimum denomination of the Certificated Subordinated Notes and provide notice of the relevant transfer restrictions to subsequent transferees. 4. It acknowledges and agrees that all of the assurances given by it in Exhibit B-2 to the Indenture are correct and are for the benefit of the Issuer, the Trustee, the Initial Purchasers and the Portfolio Manager. It agrees and acknowledges that none of Issuer or the Trustee will recognize any transfer of the Subordinated Notes if such transfer may result in 25% or more of the value of the Subordinated Notes being held by Benefit Plan Investors. It further agrees and acknowledges that no transfer of a Certificated Subordinated Note to an Affected Bank will be effective and the Trustee will not recognize any such transfer, unless such transfer is specifically authorized by the Issuer in writing; provided, however, that the Issuer shall authorize any such transfer if (x) such transfer would not cause more than 33% of the Aggregate Outstanding Amount of the Subordinated Notes to be owned by Affected Banks or (y) the transferor is an Affected Bank previously approved by the Issuer. 5. It will treat its Certificated Subordinated Notes as equity of the Issuer for United States federal income tax purposes. 6. It is ______ (check if applicable) a "United States person" within the meaning of Section 7701(a)(30) of the Code, and a properly completed and signed Internal Revenue Service Form W-9 (or applicable successor form) is attached hereto; or ______ (check if applicable) not a "United States person" within the meaning of Section 7701(a)(30) of the Code, and a properly completed and signed applicable Internal Revenue Service Form W-8 (or applicable successor form) is attached hereto. It understands and acknowledges that failure to provide the Issuer or the Trustee with the applicable United States 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 Code or an applicable 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 United States federal back-up withholding from payments to it in respect of the Subordinated Notes. 7. It agrees not to seek to commence in respect of the Issuer or the Co-Issuer, or cause the Issuer or Co-Issuer to commence, a bankruptcy proceeding before a year and a day has elapsed since the payment in full to the holders of the Notes or, if longer, the applicable preference period then in effect. 8. To the extent required by the Issuer, as determined by the Issuer or the Portfolio Manager on behalf of the Issuer, the Issuer may, upon notice to the Trustee, impose additional transfer restrictions on the Subordinated Notes to comply with the Uniting and Strengthening America by Providing Appropriate Tools Required to Intercept and Obstruct Terrorism Act of 2001 (the "USA Patriot Act") and other similar laws or regulations, including, without limitation, requiring each transferee of a Subordinated Note to make representations to the Issuer in connection with such compliance. The Transferee agrees to provide promptly such information and execute and deliver such documents as may be necessary to comply with any and all laws and regulations (including the USA Patriot Act) to which the Issuer may be subject. The Transferee understands and agrees that, in order to ensure compliance under applicable anti-money laundering laws and regulations, the Issuer may require a detailed verification of the identity of the Transferee. The Issuer reserves the right to request such information as is necessary to verify the identity of a Transferee. In the event of delay or failure by the

A-1-3

Transferee to produce any information required for verification purposes, the Issuer may refuse to issue the Subordinated Notes to the Transferee until proper information has been provided. The Transferee covenants and agrees that it shall provide the Issuer with such information as the Issuer determines to be necessary or appropriate to (a) verify compliance with the anti-money laundering regulations of any applicable jurisdiction or (b) respond to requests for information concerning the identity of the Transferee from any governmental authority, self-regulatory organization or financial institution in connection with the Issuer's anti-money laundering compliance procedures. 9. The rules and regulations administered by the United States Treasury Department's Office of Foreign Assets Control ("OFAC") prohibit, among other things, the engagement in transactions with, and the provision of services to, certain countries, territories, entities and individuals. The lists of OFAC prohibited countries, territories, persons and entities can be found on the OFAC website at http://www.treas.gov/offices/enforcement/ofac/. In addition, the programs administered by OFAC ("OFAC Programs") prohibit dealing with individuals or entities in certain countries regardless of whether such individuals or entities appear on the OFAC lists. The Transferee represents and warrants that, to the best of its knowledge, none of: (a) the Transferee; (b) any Person controlling or controlled by the Transferee; (c) if the Transferee is a privately held entity, any Person having a beneficial interest in the Transferee; (d) if the Transferee is not the beneficial owner of all of the Certificated Subordinated Notes, any Person having a beneficial interest in the Certificated Subordinated Notes; or (e) any Person for whom the Transferee is acting as agent or nominee in connection with this investment in the Certificated Subordinated Notes is a country, territory, individual or entity named on any OFAC list, or is a person or entity prohibited under the OFAC Programs. 10. Any funds to be used by it to purchase the Subordinated Notes shall not directly or indirectly be derived from activities that may contravene applicable laws and regulations, including antimoney laundering laws and regulations 11. It is not a member of the public in the Cayman Islands.

12. It understands that the Issuer, the Trustee, the Initial Purchasers and their respective counsel will rely upon the accuracy and truth of the foregoing representations, and it hereby consents to such reliance.

A-1-4

Name of Purchaser: Dated:

By: Name: Title:

Amount of Subordinated Notes: $ Taxpayer identification number:

Address for notices:

Wire transfer information for payments:

Bank: Address: Bank ABA#: Account #: Telephone: Facsimile: Attention: FAO: Attention:

Denominations of certificates (if more than one): Registered name:

cc:

OHA Park Avenue CLO I, Ltd. c/o Maples Finance Limited P.O. Box 1093 GT Queensgate House South Church Street Grand Cayman Cayman Islands

A-1-5

ANNEX A-2

FORM OF PURCHASER REPRESENTATION LETTER FOR RULE 144A GLOBAL SUBORDINATED NOTES The Bank of New York Trust Company, National Association 601 Travis Street, 16th Floor Houston, Texas 77002 Attn: Global Corporate Trust OHA Park Avenue CLO I, Ltd. Re: OHA Park Avenue CLO I, Ltd. Rule 144A Global Subordinated Notes

Reference is hereby made to the indenture, dated as of March 20, 2007 among OHA Park Avenue CLO I, Ltd., as Issuer, OHA Park Avenue CLO I, Corp., as Co-Issuer and The Bank of New York Trust Company, National Association, as Trustee (the "Indenture"). Capitalized terms used but not defined herein shall have the meanings given them in the Indenture. This letter relates to ______________ Aggregate Outstanding Amount of Subordinated Notes which are held in the form of one or more Rule 144A Global Subordinated Notes in the name of ______________ (the "Transferor") to effect the transfer of the Rule 144A Global Subordinated Notes to ______________ (the "Transferee"). In connection with such request, and in respect of such Rule 144A Global Subordinated Notes, the Transferee does hereby certify that the Rule 144A Global Subordinated Notes are being transferred (i) in accordance with the transfer restrictions set forth in the Indenture and (ii) pursuant to an exemption from registration under the United States Securities Act of 1933, as amended (the "Securities Act") and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction. In addition, the Transferee hereby represents, warrants and covenants for the benefit of the Issuer and its counsel that we are: (a) (PLEASE CHECK ONLY ONE)

_____ a "qualified institutional buyer" as defined in Rule 144A under the Securities Act of 1933, as amended (the "Securities Act"), and are acquiring the Subordinated Notes in reliance on the exemption from Securities Act registration provided by Rule 144A thereunder; _____ an institutional "accredited investor" as defined in Rule 501(a)(1), (2), (3), (7) or (8) under the Securities Act; or _____ an individual "accredited investor" as defined in Rule 501(a)(5) or (6) under the Securities Act who, if not a "Knowledgeable Employee," has a minimum of $10,000,000 in investable assets; and (b) acquiring the Rule 144A Global Subordinated Notes for our own account (and not for the account of any other Person) in a minimum denomination of $100,000 (or in such other minimum denominations as the Issuer may agree on a case-by-case basis) and in integral multiples of $1,000 in excess thereof (or such lower amount as the Issuer may agree on a case-by-case basis). The Transferee further represents and warrants as follows: 1. It understands that the Rule 144A Global Subordinated Notes have not been and will not be registered under the Securities Act, and, if in the future it decides to offer, resell, pledge or otherwise

A-2-1

transfer the Rule 144A Global Subordinated Notes, such Rule 144A Global Subordinated Notes may be offered, resold, pledged or otherwise transferred only in accordance with the provisions of the Indenture and the legends on such Rule 144A Global Subordinated Notes, including the requirement for written certifications. In particular, it understands that the Rule 144A Global Subordinated Notes may be transferred only to a person that is either (a) a "qualified purchaser" (as defined in the Investment Company Act of 1940, as amended (the "Investment Company Act")), (b) a "Knowledgeable Employee," as defined in Rule 3c-5 promulgated under the Investment Company Act, with respect to the Issuer or (c) a corporation, partnership, limited liability company or other entity (other than a trust) each shareholder, partner, member or other equity owner of which is either a Knowledgeable Employee or a Qualified Purchaser; and in the case of (a), (b) and (c) above that is either (i) a "qualified institutional buyer" as defined in Rule 144A under the Securities Act who purchases such Rule 144A Global Subordinated Notes in reliance on the exemption from Securities Act registration provided by Rule 144A thereunder or (ii) an "accredited investor" as defined in Rule 501(a)(1), (2), (3), (5), (6), (7) or (8) under the Securities Act who, if an individual "accredited investor" and not a "Knowledgeable Employee", has a minimum of $10,000,000 in investable assets or (d) a person that is not a "U.S. person" as defined in Regulation S under the Securities Act, and is acquiring the Rule 144A Global Subordinated Notes in an offshore transaction (as defined in Regulation S thereunder) in reliance on the exemption from registration provided by Regulation S thereunder. It acknowledges that no representation is made as to the availability of any exemption under the Securities Act or any state securities laws for resale of the Rule 144A Global Subordinated Notes. 2. In connection with its purchase of the Rule 144A Global Subordinated Notes: (i) none of the Co-Issuers, the Initial Purchasers, the Trustee, the Portfolio Manager or any of their respective affiliates are acting as a fiduciary or financial or investment adviser for it; (ii) it is not relying (for purposes of making any investment decision or otherwise) on any written or oral advice, counsel or representations of the Co-Issuers, the Initial Purchasers, the Portfolio Manager, the Trustee or any of their respective affiliates other than any statements in the final offering circular for such Subordinated Notes; (iii) it has read and understands the final offering circular for such Subordinated Notes (including, without limitation, the descriptions therein of the structure of the transaction in which the Rule 144A Global Subordinated Notes are being issued and the risks to purchasers of the Rule 144A Global Subordinated Notes); (iv) it has consulted with its own legal, regulatory, tax, business, investment, financial and accounting advisers to the extent it has deemed necessary, and has made its own investment decisions (including decisions regarding the suitability of any transaction pursuant to the Indenture) based upon its own judgment and upon any advice from such advisers as it has deemed necessary and not upon any view expressed by the Co-Issuer, the Initial Purchasers, the Portfolio Manager, the Trustee or any of their respective affiliates; (v) it will hold and transfer at least the minimum denomination of such Subordinated Notes; (vi) it was not formed for the purpose of investing in the Subordinated Notes; and (vii) it is a sophisticated investor and is purchasing the Rule 144A Global Subordinated Notes with a full understanding of all of the terms, conditions and risks thereof, and it is capable of assuming and willing to assume those risks. 3. (i) It is either (A) a "qualified purchaser" for purposes of Section 3(c)(7) of the Investment Company Act, (B) a "Knowledgeable Employee" with respect to the Issuer for purposes of Rule 3c-5 of the Investment Company Act or (C) a corporation, partnership, limited liability company or other entity (other than a trust) each shareholder, partner, member or other equity owner of which is either a Knowledgeable Employee or a Qualified Purchaser and in the case of (A), (B) and (C) above that is a "qualified institutional buyer" as defined in Rule 144A under the Securities Act who purchases such Rule 144A Global Subordinated Notes in reliance on the exemption from Securities Act registration provided by Rule 144A thereunder; (ii) it is acquiring the Rule 144A Global Subordinated Notes as principal solely for its own account for investment and not with a view to the resale, distribution or other disposition thereof in violation of the Securities Act; (iii) it is not a (A) partnership, (B) common trust fund, or (C) special trust, pension, profit sharing or other retirement trust fund or plan in which the partners, beneficiaries or participants may designate the particular investments to be made; (iv) it agrees that it shall not hold any Rule 144A Global Subordinated Notes for the benefit of any other person, that it shall at all times be the sole beneficial owner thereof for purposes of the Investment Company Act and all other purposes and that it shall not sell participation interests in the Rule 144A Global Subordinated Notes or enter into any other arrangement pursuant to which any other person shall be entitled to a beneficial interest in the A-2-2

distributions on the Rule 144A Global Subordinated Notes; (v) it is acquiring its interest in the Rule 144A Global Subordinated Notes for its own account; and (vi) it will hold and transfer at least the minimum denomination of the Rule 144A Global Subordinated Notes and provide notice of the relevant transfer restrictions to subsequent transferees. 4. It acknowledges and agrees that all of the assurances given by it in Exhibit B-2 to the Indenture are correct and are for the benefit of the Issuer, the Trustee, the Initial Purchasers and the Portfolio Manager. It agrees and acknowledges that none of Issuer or the Trustee will recognize any transfer of the Subordinated Notes if such transfer may result in 25% or more of the value of the Subordinated Notes being held by Benefit Plan Investors. It further agrees and acknowledges that no transfer of a Rule 144A Global Subordinated Note to an Affected Bank will be effective and the Trustee will not recognize any such transfer, unless such transfer is specifically authorized by the Issuer in writing; provided, however, that the Issuer shall authorize any such transfer if (x) such transfer would not cause more than 33% of the Aggregate Outstanding Amount of the Subordinated Notes to be owned by Affected Banks or (y) the transferor is an Affected Bank previously approved by the Issuer. 5. It will treat its Rule 144A Global Subordinated Notes as equity of the Issuer for United States federal income tax purposes. 6. It is a "United States person" within the meaning of Section 7701(a)(30) of the Code, and a properly completed and signed Internal Revenue Service Form W-9 (or applicable successor form) is attached hereto. It understands and acknowledges that failure to provide the Issuer or the Trustee with the applicable United States 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 Code) may result in United States federal back-up withholding from payments to it in respect of the Subordinated Notes. 7. It agrees not to seek to commence in respect of the Issuer or the Co-Issuer, or cause the Issuer or Co-Issuer to commence, a bankruptcy proceeding before a year and a day has elapsed since the payment in full to the holders of the Notes or, if longer, the applicable preference period then in effect. 8. To the extent required by the Issuer, as determined by the Issuer or the Portfolio Manager on behalf of the Issuer, the Issuer may, upon notice to the Trustee, impose additional transfer restrictions on the Subordinated Notes to comply with the Uniting and Strengthening America by Providing Appropriate Tools Required to Intercept and Obstruct Terrorism Act of 2001 (the "USA Patriot Act") and other similar laws or regulations, including, without limitation, requiring each transferee of a Subordinated Note to make representations to the Issuer in connection with such compliance. The Transferee agrees to provide promptly such information and execute and deliver such documents as may be necessary to comply with any and all laws and regulations (including the USA Patriot Act) to which the Issuer may be subject. The Transferee understands and agrees that, in order to ensure compliance under applicable anti-money laundering laws and regulations, the Issuer may require a detailed verification of the identity of the Transferee. The Issuer reserves the right to request such information as is necessary to verify the identity of a Transferee. In the event of delay or failure by the Transferee to produce any information required for verification purposes, the Issuer may refuse to issue the Subordinated Notes to the Transferee until proper information has been provided. The Transferee covenants and agrees that it shall provide the Issuer with such information as the Issuer determines to be necessary or appropriate to (a) verify compliance with the anti-money laundering regulations of any applicable jurisdiction or (b) respond to requests for information concerning the identity of the Transferee from any governmental authority, self-regulatory organization or financial institution in connection with the Issuer's anti-money laundering compliance procedures. 9. The rules and regulations administered by the United States Treasury Department's Office of Foreign Assets Control ("OFAC") prohibit, among other things, the engagement in transactions with, and the provision of services to, certain countries, territories, entities and individuals. The lists of A-2-3

OFAC prohibited countries, territories, persons and entities can be found on the OFAC website at http://www.treas.gov/offices/enforcement/ofac/. In addition, the programs administered by OFAC ("OFAC Programs") prohibit dealing with individuals or entities in certain countries regardless of whether such individuals or entities appear on the OFAC lists. The Transferee represents and warrants that, to the best of its knowledge, none of: (a) the Transferee; (b) any Person controlling or controlled by the Transferee; (c) if the Transferee is a privately held entity, any Person having a beneficial interest in the Transferee; (d) if the Transferee is not the beneficial owner of all of the Rule 144A Global Subordinated Notes, any Person having a beneficial interest in the Rule 144A Global Subordinated Notes; or (e) any Person for whom the Transferee is acting as agent or nominee in connection with this investment in the Rule 144A Global Subordinated Notes is a country, territory, individual or entity named on any OFAC list, or is a person or entity prohibited under the OFAC Programs. 10. Any funds to be used by it to purchase the Subordinated Notes shall not directly or indirectly be derived from activities that may contravene applicable laws and regulations, including antimoney laundering laws and regulations 11. It is not a member of the public in the Cayman Islands.

12. It understands that the Issuer, the Trustee, the Initial Purchasers and their respective counsel will rely upon the accuracy and truth of the foregoing representations, and it hereby consents to such reliance.

A-2-4

Name of Purchaser: Dated:

By: Name: Title:

Amount of Subordinated Notes: $ Taxpayer identification number:

Address for notices:

Wire transfer information for payments:

Bank: Address: Bank ABA#: Account #: Telephone: Facsimile: Attention: FAO: Attention:

Denominations of certificates (if more than one): Registered name:

cc:

OHA Park Avenue CLO I, Ltd. c/o Maples Finance Limited P.O. Box 1093 GT Queensgate House South Church Street Grand Cayman Cayman Islands

A-2-5

ANNEX B PART II OF OAK HILL ADVISORS, L.P.'S FORM ADV

B-1

PRINCIPAL OFFICE OF ISSUER OHA Park Avenue CLO I, Ltd. c/o Maples Finance Limited PO Box 1093GT Queensgate House, South Church Street George Town, Grand Cayman Cayman Islands

PRINCIPAL OFFICE OF CO-ISSUER OHA Park Avenue CLO I, Corp. c/o Puglisi & Associates 850 Library Avenue, Ste. 204 Newark, Delaware 19711

TRUSTEE AND PAYING AGENT The Bank of New York Trust Company, National Association 601 Travis Street, 16th Floor Houston, Texas 77002

PORTFOLIO MANAGER Oak Hill Advisors, L.P. 65 East 55th Street, 32nd Floor New York, New York 10022

IRISH LISTING AGENT Maples and Calder Listing Services Limited 75 St. Stephens Green Dublin 2, Ireland

IRISH PAYING AGENT Maples Finance Dublin 75 St. Stephens Green Dublin 2, Ireland

LEGAL ADVISORS To the Co-Issuers and the Initial Purchasers as to United States law McKee Nelson LLP One Battery Park Plaza New York, New York 10004 To the Issuer as to the Cayman Islands law Maples and Calder P.O. Box 309GT Ugland House, South Church Street George Town, Grand Cayman Cayman Islands

To the Portfolio Manager as to United States law Paul, Weiss, Rifkind, Wharton & Garrison LLP 1285 Avenue of the Americas New York, New York 10019-6064