IMPORTANT NOTICE ATTACHED IS AN ELECTRONIC COPY OF THE OFFERING CIRCULAR (THE "OFFERING CIRCULAR"), DATED MARCH 29, 2007,

RELATING TO THE OFFERING BY (I) CLASS V FUNDING III, LTD., AS ISSUER, AND CLASS V FUNDING III, CORP., AS CO-ISSUER, OF CLASS S FLOATING RATE NOTES DUE 2015, CLASS A1 FLOATING RATE NOTES DUE 2052, CLASS A2 FLOATING RATE NOTES DUE 2052, CLASS A3 FLOATING RATE NOTES DUE 2052, CLASS A4 FLOATING RATE NOTES DUE 2052, CLASS B DEFERRABLE FLOATING RATE NOTES DUE 2052 AND CLASS C DEFERRABLE FLOATING RATE NOTES DUE 2052 AND (II) THE ISSUER OF CLASS Q COMBINATION NOTES DUE 2052 AND INCOME NOTES DUE 2052, IN EACH CASE IN THE PRINCIPAL AMOUNTS DESCRIBED THEREIN. NO REGISTRATION STATEMENT RELATING TO THESE SECURITIES HAS BEEN FILED WITH THE SECURITIES AND EXCHANGE COMMISSION. THESE SECURITIES ARE BEING OFFERED PURSUANT TO AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED. THIS OFFERING CIRCULAR IS CONFIDENTIAL AND WILL NOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY, NOR WILL THERE BE ANY SALE OF THESE SECURITIES IN ANY JURISDICTION WHERE SUCH OFFER, SOLICITATION OR SALE WOULD BE UNLAWFUL PRIOR TO REGISTRATION OR QUALIFICATION UNDER THE SECURITIES LAWS OF ANY JURISDICTION. DISTRIBUTION OF THIS ELECTRONIC TRANSMISSION OF THE OFFERING CIRCULAR TO ANY PERSON OTHER THAN (A) THE PERSON RECEIVING THIS ELECTRONIC TRANSMISSION FROM THE INITIAL PURCHASER AND PLACEMENT AGENT ON BEHALF OF THE ISSUER AND/OR THE CO-ISSUER AND (B) ANY PERSON RETAINED TO ADVISE THE PERSON RECEIVING THIS ELECTRONIC TRANSMISSION WITH RESPECT TO THE OFFERING CONTEMPLATED BY THE OFFERING CIRCULAR (EACH, AN "AUTHORIZED RECIPIENT") IS UNAUTHORIZED. ANY PHOTOCOPYING, DISCLOSURE OR ALTERATION OF THE CONTENTS OF THE OFFERING CIRCULAR, AND ANY FORWARDING OF A COPY OF THE OFFERING CIRCULAR OR ANY PORTION THEREOF BY ELECTRONIC MAIL OR ANY OTHER MEANS TO ANY PERSON OTHER THAN AN AUTHORIZED RECIPIENT, IS PROHIBITED. BY ACCEPTING DELIVERY OF THIS OFFERING CIRCULAR, EACH RECIPIENT HEREOF AGREES TO THE FOREGOING. THE INFORMATION CONTAINED HEREIN SUPERSEDES ANY PREVIOUS SUCH INFORMATION DELIVERED TO ANY PROSPECTIVE INVESTOR AND MAY BE SUPERSEDED BY INFORMATION DELIVERED TO SUCH PROSPECTIVE INVESTOR PRIOR TO THE TIME OF SALE.

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OFFERING CIRCULAR U.S.$39,200,000 Class S Floating Rate Notes Due 2015 U.S.$500,000,000 Class A1 Floating Rate Notes Due 2052* U.S.$200,000,000 Class A2 Floating Rate Notes Due 2052 U.S.$120,000,000 Class A3 Floating Rate Notes Due 2052 U.S.$75,000,000 Class A4 Floating Rate Notes Due 2052 U.S.$50,000,000 Class B Deferrable Floating Rate Notes Due 2052 U.S.$35,000,000 Class C Deferrable Floating Rate Notes Due 2052 U.S.$5,000,000 Class Q Combination Notes Due 2052 U.S.$22,000,000 Income Notes Due 2052
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CLASS V FUNDING III, LTD. CLASS V FUNDING III, CORP.

*The Class A1 Notes are not offered hereby and will be issuable from time to time in Class A1 Note Fundings to the Class A1 Swap Counterparty or its Class A1 Designee in an aggregate amount up to the initial Class A1 Swap Notional Amount.

The Class S Notes, the Class A1 Notes, the Class A2 Notes, the Class A3 Notes, the Class A4 Notes, the Class B Notes, the Class C Notes, the Class Q Combination Notes and the Income Notes (collectively, the "Notes", the Notes other than the Class A1 Notes, the "Listed Notes") will be issued by the Issuer, a newly formed exempted company incorporated under the Companies Law (2004 Revision) of the Cayman Islands. The Notes other than the Income Notes (including the Income Note Component) (the "Secured Notes") will constitute secured limited recourse debt obligations of the Issuer, and the Income Notes will constitute unsecured limited recourse debt obligations of the Issuer. The Class S Notes, the Class A Notes, the Class B Notes and the Class C Notes will be co-issued on a limited recourse basis by the Co-Issuer, a newly formed Delaware corporation. The Secured Notes will be issued and secured pursuant to an indenture, dated as of the Closing Date, among the Co-Issuers and the Trustee. The Income Notes will be issued pursuant to an Income Note Paying Agency Agreement, dated as of the Closing Date, between the Issuer and the Income Note Paying Agent. The Income Notes will not be secured by the Collateral but will be entitled to certain benefits of the Indenture and all proceeds of the Collateral remaining after payment of the Secured Notes and all other expenses of, and satisfaction of creditors' claims against, the Issuer. Interest on the Secured Notes and distributions on the Income Notes will be payable quarterly in arrears on each Payment Date, commencing on the Payment Date in May 28, 2007 and ending on the Maturity DateFinal. The Notes will be redeemable as described under the caption "Description of the NotesRedemption" and otherwise as described elsewhere herein. The Issuer will use the net proceeds of the offering to purchase interests in Eligible Collateral Debt Securities. The Eligible Collateral Debt Securities will be pledged to secure the Secured Obligations and will be required to satisfy certain criteria described herein. Credit Suisse Alternative Capital, Inc. will act as the Manager for the portfolio of assets.

It is a condition to issuance that the Secured Notes are rated as set forth in the Principal Terms Table. The Income Notes will not be rated as of the Closing Date and the Issuer does not intend to seek a rating for the Income Notes. Application has been made to the Irish Financial Services Regulatory Authority (the "Financial Regulator"), as competent authority under Directive 2003/71/EC (the "Prospectus Directive") for the Prospectus (the "Prospectus") to be approved. This Offering Circular constitutes the Prospectus for the purposes of the Prospectus Directive. Application will be made to the Irish Stock Exchange for the Listed Notes to be admitted to the Official List and to trading on its regulated market. There can be no assurance that such listing will be approved or maintained. Approval by the Financial Regulator relates only to the Notes that are to be admitted to trading on the regulated market of the Irish Stock Exchange or other regulated markets for the purposes of the Directive 93/22/EEC or which are to be offered to the public in any Member State of the European Economic Area.
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Investing in the Notes involves risks. See "Risk Factors".

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The Notes have not been registered under the Securities Act or any state securities laws, and neither of the Co-Issuers has been or will be registered under Investment Company Act. In the United States, the Notes are being offered in reliance on an exemption provided by Rule 144A under the Securities Act, or another applicable exemption from registration under the Securities Act, to Persons that are both (a) QIBs or in the case of the Notes junior to the Class A Notes only, Accredited Investors and (b) QPs. The Notes also are being offered outside the United States to non-U.S. Persons in accordance with Regulation S. For a description of certain restrictions on transfers of the Notes, see "Purchase and Transfer Restrictions". Citigroup, as Initial Purchaser and as Placement Agent, expects to deliver the Notes to purchasers on or about the Closing Date. The definitions of most defined terms are located in a glossary and the page numbers for definitions of all defined terms are located in an index of defined terms, each appearing at the end of this Offering Circular.
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Citigroup
March 29, 2007
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NOTICE 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 (THE "RSA") WITH THE STATE OF NEW HAMPSHIRE NOR THE FACT THAT A SECURITY IS EFFECTIVELY REGISTERED OR A PERSON IS LICENSED IN THE STATE OF NEW HAMPSHIRE CONSTITUTES A FINDING BY THE SECRETARY OF STATE THAT ANY DOCUMENT FILED UNDER RSA 421-B IS TRUE, COMPLETE AND NOT MISLEADING. NEITHER ANY SUCH FACT NOR THE FACT THAT AN EXEMPTION OR EXCEPTION IS AVAILABLE FOR A SECURITY OR A TRANSACTION MEANS THAT THE SECRETARY OF STATE HAS PASSED IN ANY WAY UPON THE MERITS OR QUALIFICATIONS OF, OR RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON, SECURITY, OR TRANSACTION. IT IS UNLAWFUL TO MAKE, OR CAUSE TO BE MADE, TO ANY PROSPECTIVE PURCHASER, CUSTOMER, OR CLIENT ANY REPRESENTATION INCONSISTENT WITH THE PROVISIONS OF THIS PARAGRAPH.

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You should rely only on the information contained in this offering circular (this "Offering Circular"). The Co-Issuers have not authorized anyone to provide you with different information. The Co-Issuers, the Initial Purchaser and the Placement Agent are not making an offer of these securities in any jurisdiction where an offer is not permitted. You should not assume that the information contained in this Offering Circular is accurate as of any date other than the date on the front of this Offering Circular. _________________ TABLE OF CONTENTS NOTICE TO PURCHASERS...................................................................................................................................... v SUMMARY OF TERMS ............................................................................................................................................ 1 RISK FACTORS ....................................................................................................................................................... 25 THE ISSUER AND THE CO-ISSUER..................................................................................................................... 52 The Issuer .................................................................................................................................................... 52 The Co-Issuer .............................................................................................................................................. 52 Initial Capitalization of the Issuer ............................................................................................................... 53 Capitalization of the Co-Issuer.................................................................................................................... 53 The Administrator ....................................................................................................................................... 53 DESCRIPTION OF THE NOTES............................................................................................................................. 55 General ........................................................................................................................................................ 55 Status and Security ...................................................................................................................................... 55 Income Notes............................................................................................................................................... 55 Class Q Combination Notes ........................................................................................................................ 55 Interest on Secured Notes............................................................................................................................ 56 Principal of Secured Notes .......................................................................................................................... 58 Payments on Income Notes ......................................................................................................................... 58 Dissolution; Liquidating Distributions ........................................................................................................ 58 Redemption ................................................................................................................................................. 59 Redemption Procedures............................................................................................................................... 59 Cancellation................................................................................................................................................. 60 No Gross-Up ............................................................................................................................................... 60 Payments ..................................................................................................................................................... 60 Settlement, Clearing and Registration of the Notes..................................................................................... 61 THE CLASS A1 SWAP ............................................................................................................................................ 66 Notional Amount......................................................................................................................................... 66 Class A1 Note Fundings.............................................................................................................................. 66 Class A1 Option Fee ................................................................................................................................... 67 Mandatory Note Funding ............................................................................................................................ 67 Class A1 Swap Ratings Event ..................................................................................................................... 68 CITIGROUP GLOBAL MARKETS LIMITED ....................................................................................................... 69 CITIGROUP INC. ..................................................................................................................................................... 70 CITIBANK, N.A. ...................................................................................................................................................... 71 THE INDENTURE AND THE INCOME NOTE PAYING AGENCY AGREEMENT .......................................... 72 Events of Default......................................................................................................................................... 72 Notices......................................................................................................................................................... 74 Modification of the Indenture...................................................................................................................... 74 Standard of Conduct.................................................................................................................................... 76 Consolidation, Merger or Transfer of Assets .............................................................................................. 77

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No Petitions for Bankruptcy........................................................................................................................ 77 Secured Note Paying Agents....................................................................................................................... 77 Collateral Administrator.............................................................................................................................. 77 Trustee......................................................................................................................................................... 77 Voting Rights of the Holders of Income Notes ........................................................................................... 78 Income Note Paying Agency Agreement .................................................................................................... 78 Reports ........................................................................................................................................................ 79 SECURITY FOR THE SECURED OBLIGATIONS ............................................................................................... 80 Closing Date................................................................................................................................................ 80 Ramp-Up End Date ..................................................................................................................................... 80 Portfolio Quality Tests and Portfolio Limitations ....................................................................................... 80 The Coverage Tests ..................................................................................................................................... 80 Sale of Eligible Collateral Debt Securities and CDS Assets ....................................................................... 80 Purchase of Eligible Collateral Debt Securities; Investment Criteria.......................................................... 82 CDS Assets.................................................................................................................................................. 82 Collection Account...................................................................................................................................... 88 Expense Reserve Account ........................................................................................................................... 89 Hedge Collateral Account ........................................................................................................................... 89 Hedge Termination Receipts Account......................................................................................................... 89 Hedge Replacement Account ...................................................................................................................... 90 Cashflow Swap Collateral Account............................................................................................................. 90 Payment Account ........................................................................................................................................ 90 CDS Asset Collateral Account .................................................................................................................... 90 CDS Asset Issuer Account .......................................................................................................................... 91 Reserve Account ......................................................................................................................................... 91 Covered Short CDS Asset Collateral Account ............................................................................................ 92 Class A1 Mandatory Note Funding Reserve Account................................................................................. 92 Hedge Agreements ...................................................................................................................................... 92 Cashflow Swap Agreement ......................................................................................................................... 93 CDS Collateral Agreement.......................................................................................................................... 96 Covered Short CDS Assets.......................................................................................................................... 98 THE MANAGER .................................................................................................................................................... 100 General ...................................................................................................................................................... 100 Investment Approach and Analysis........................................................................................................... 101 Personnel ................................................................................................................................................... 101 THE MANAGEMENT AGREEMENT .................................................................................................................. 108 General ...................................................................................................................................................... 108 Termination and Assignment of the Management Agreement; Appointment of Successor...................... 108 Limitation of Liability; Indemnity............................................................................................................. 110 Compensation of the Manager .................................................................................................................. 111 Disclosure and Consent Provisions Relating to "Principal Trades" and Cross-Transactions .................... 111 CERTAIN MATURITY AND PREPAYMENT CONSIDERATIONS ................................................................. 113 General ...................................................................................................................................................... 113 Prepayment................................................................................................................................................ 113 Weighted Average Life and Redemption .................................................................................................. 113 Yield.......................................................................................................................................................... 113 PURCHASE AND TRANSFER RESTRICTIONS ................................................................................................ 115 Secured Notes and Class Q Combination Notes ....................................................................................... 116 Income Notes............................................................................................................................................. 122 CERTAIN TAX CONSIDERATIONS ................................................................................................................... 128 United States Federal Income Tax Treatment of the Issuer....................................................................... 128 United States Federal Income Taxation of the Holders............................................................................. 129 Information Reporting and Backup Withholding ...................................................................................... 131

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Treatment of the Class Q Combination Notes........................................................................................... 132 Disclosure of Reportable Transactions and Maintenance of Participants List .......................................... 132 Foreign, State and Local Taxes ................................................................................................................. 132 Cayman Islands Tax Considerations ......................................................................................................... 132 German Tax Considerations...................................................................................................................... 133 CERTAIN ERISA CONSIDERATIONS................................................................................................................ 135 CERTAIN LEGAL INVESTMENT CONSIDERATIONS .................................................................................... 138 PLAN OF DISTRIBUTION.................................................................................................................................... 139 LISTING AND GENERAL INFORMATION........................................................................................................ 141 CERTAIN LEGAL MATTERS .............................................................................................................................. 142 GLOSSARY ............................................................................................................................................................ 143 SPECIFIED TYPES ................................................................................................................................................ 180 INDEX OF DEFINED TERMS .............................................................................................................................. 188

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_________________ This Offering Circular has been prepared by the Co-Issuers solely for use in connection with the proposed offering of the Notes and the listing of the Listed Notes described herein. This Offering Circular is personal to each offeree and does not constitute an offer to any other Person or to the public generally to subscribe for or otherwise acquire securities. Distribution of this Offering Circular to any other Person other than the offeree and any Person retained to advise such offeree with respect to its purchase is unauthorized, and any disclosure of any of its contents, without the prior written consent of the Issuer, is prohibited. Each prospective investor, by accepting delivery of this Offering Circular, agrees to the foregoing and to make no copies (paper or electronic) of this Offering Circular or any documents referred to herein. Notwithstanding the foregoing, no offeree shall be restricted from disclosing the United States tax treatment or United States tax structure of the transactions described in this Offering Circular. The Initial Purchaser, the Placement Agent, the Manager and the Trustee make no representation or warranty, express or implied, as to the accuracy or completeness of the information contained in this Offering Circular, except, in the case of the Manager, for the sections entitled "The Manager", "Risk Factors Potential Conflicts of Interest Involving the Manager" and "Risk FactorsCDO of CDO Securities Experience; Dependence on Manager and Key Personnel Thereof; Relationship to Prior Investment Results"(collectively, the "Manager Sections"). Nothing contained in this Offering Circular is, or will be relied upon as, a promise or representation by the Initial Purchaser, the Placement Agent, the Manager or the Trustee as to the future. None of the Initial Purchaser, the Placement Agent, the Manager and the Trustee has independently verified any of the information contained herein (financial, legal or otherwise) and assumes no responsibility for the accuracy or completeness of any such information, except, in the case of the Manager, for the Manager Sections.

NONE OF THE SECURITIES AND EXCHANGE COMMISSION, ANY STATE SECURITIES REGULATOR OR ANY OTHER UNITED STATES REGULATORY AUTHORITY HAS APPROVED OR DISAPPROVED THE NOTES, AND NONE OF THE FOREGOING AUTHORITIES HAS PASSED UPON OR ENDORSED THE MERITS OF THIS OFFERING OR THE ACCURACY OR ADEQUACY OF THIS OFFERING CIRCULAR. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
In making an investment decision, prospective investors must rely on their own examination of the Co-Issuers and the terms of the offering contemplated hereby, including the merits and risks involved. Prospective investors should not construe anything in this Offering Circular as legal, regulatory, business, accounting, investment or tax advice. Each prospective investor should consult its own advisors as needed to make its investment decision and to determine whether it is legally permitted to purchase the Notes under applicable legal investment or similar laws or regulations. Investors should be aware that they may be required to bear the financial risks of this investment for an indefinite period of time. This Offering Circular contains summaries believed to be accurate with respect to certain documents, but reference is made to the actual documents for complete information. All such summaries are qualified in their entirety by such reference. Copies of documents referred to herein will be made available to prospective investors upon request to the Initial Purchaser or the Placement Agent. NOTICE TO PURCHASERS THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT, THE SECURITIES LAWS OF ANY STATE OF THE UNITED STATES OR THE SECURITIES LAWS OF ANY OTHER JURISDICTION AND MAY NOT BE OFFERED, SOLD OR OTHERWISE TRANSFERRED UNLESS AN EXEMPTION FROM REGISTRATION UNDER THE SECURITIES ACT AND APPLICABLE STATE SECURITIES LAWS IS AVAILABLE. THE CO-ISSUERS ARE RELYING ON AN EXEMPTION FROM REGISTRATION UNDER THE INVESTMENT COMPANY ACT, AND NO TRANSFER OF A NOTE MAY BE MADE WHICH WOULD CAUSE EITHER OF THE CO-ISSUERS TO BECOME SUBJECT TO THE REGISTRATION REQUIREMENTS OF THE INVESTMENT COMPANY ACT. THE NOTES WILL ALSO BE SUBJECT TO CERTAIN OTHER RESTRICTIONS ON TRANSFER DESCRIBED HEREIN. PROSPECTIVE PURCHASERS OF THE NOTES SHOULD PROCEED ON THE ASSUMPTION THAT THEY MUST HOLD

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THEIR INVESTMENT FOR AN INDEFINITE PERIOD OF TIME OR UNTIL THEIR STATED MATURITY OR ANY EARLIER REDEMPTION. THE CO-ISSUED NOTES WILL BE LIMITED RECOURSE DEBT OBLIGATIONS OF THE ISSUER AND THE CO-ISSUER AND THE NON-CO-ISSUED NOTES WILL BE LIMITED RECOURSE DEBT OBLIGATIONS OF THE ISSUER ONLY. PRINCIPAL OF AND INTEREST ON THE SECURED NOTES AND DISTRIBUTIONS ON THE INCOME NOTES WILL BE PAID, IN ACCORDANCE WITH THE PRIORITY OF PAYMENTS SET FORTH HEREIN, SOLELY FROM AND TO THE EXTENT OF THE AVAILABLE PROCEEDS FROM THE DISTRIBUTIONS ON THE COLLATERAL, WHICH IS THE ONLY SOURCE OF PAYMENTS ON THE NOTES. THE NOTES DO NOT REPRESENT DEPOSITS OR OTHER INTERESTS IN OR OBLIGATIONS OF, AND ARE NOT GUARANTEED BY OR SECURED BY THE ASSETS OF, THE MANAGER, THE INITIAL PURCHASER, THE PLACEMENT AGENT, THE TRUSTEE, THE COLLATERAL ADMINISTRATOR, THE SHARE TRUSTEE, THE ADMINISTRATOR OR ANY OF THEIR RESPECTIVE AFFILIATES. NEITHER THE NOTES NOR THE RELATED COLLATERAL IS INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENTAL AGENCY OR PERSON. FOR THESE REASONS, AMONG OTHERS, AN INVESTMENT IN THE NOTES IS NOT SUITABLE FOR ALL INVESTORS AND IS APPROPRIATE ONLY FOR AN INVESTOR CAPABLE OF (A) ANALYZING AND ASSESSING THE RISKS ASSOCIATED WITH DEFAULTS, LOSSES AND RECOVERIES ON, REINVESTMENT OF PROCEEDS OF AND OTHER CHARACTERISTICS OF ASSETS SUCH AS THOSE INCLUDED AMONG THE ELIGIBLE COLLATERAL DEBT SECURITIES AND (B) BEARING SUCH RISKS AND THE FINANCIAL CONSEQUENCES THEREOF AS THEY RELATE TO AN INVESTMENT IN THE NOTES. NO PERSON IS AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY REPRESENTATION NOT CONTAINED IN THIS OFFERING CIRCULAR AND, IF GIVEN OR MADE, SUCH INFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON. THIS OFFERING CIRCULAR DOES NOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY ANY OF THE NOTES IN ANY JURISDICTION TO ANY PERSON TO WHICH IT IS UNLAWFUL TO MAKE SUCH OFFER IN SUCH JURISDICTION NOR TO ANY PERSON WHO HAS NOT RECEIVED A COPY OF THIS OFFERING CIRCULAR AND EACH CURRENT AMENDMENT OR SUPPLEMENT HERETO, IF ANY. THIS OFFERING CIRCULAR HAS BEEN PREPARED BY THE CO-ISSUERS SOLELY FOR USE IN CONNECTION WITH THE OFFERING OF THE NOTES AND THE LISTING OF THE NOTES AS DESCRIBED HEREIN. THE CO-ISSUERS ACCEPT RESPONSIBILITY FOR THE INFORMATION CONTAINED IN THIS OFFERING CIRCULAR OTHER THAN INFORMATION PROVIDED IN THE MANAGER SECTIONS. TO THE BEST KNOWLEDGE AND BELIEF OF THE CO-ISSUERS, HAVING TAKEN ALL REASONABLE CARE THAT SUCH IS THE CASE, THE INFORMATION CONTAINED IN THIS OFFERING CIRCULAR IS IN ACCORDANCE WITH THE FACTS AND DOES NOT OMIT ANYTHING LIKELY TO AFFECT THE IMPORT OF SUCH INFORMATION. THE MANAGER ACCEPTS RESPONSIBILITY FOR THE INFORMATION CONTAINED IN THE SECTIONS ENTITLED "THE MANAGER", "RISK FACTORSPOTENTIAL CONFLICTS OF INTEREST INVOLVING THE MANAGER" AND "RISK FACTORSCDO OF CDO SECURITIES EXPERIENCE; DEPENDENCE ON MANAGER AND KEY PERSONNEL THEREOF; RELATIONSHIP TO PRIOR INVESTMENT RESULTS". TO THE BEST KNOWLEDGE AND BELIEF OF THE MANAGER, HAVING TAKEN ALL REASONABLE CARE THAT SUCH IS THE CASE, THE INFORMATION CONTAINED IN THE SECTIONS ENTITLED "THE MANAGER", "RISK FACTORSPOTENTIAL CONFLICTS OF INTEREST INVOLVING THE MANAGER" AND "RISK FACTORSCDO OF CDO SECURITIES EXPERIENCE; DEPENDENCE ON MANAGER AND KEY PERSONNEL THEREOF; RELATIONSHIP TO PRIOR INVESTMENT RESULTS" IS IN ACCORDANCE WITH THE FACTS AND DOES NOT OMIT ANYTHING LIKELY TO AFFECT THE IMPORT OF SUCH INFORMATION. THE DELIVERY OF THIS OFFERING CIRCULAR AT ANY TIME DOES NOT IMPLY THAT THE INFORMATION CONTAINED HEREIN IS CORRECT AT ANY TIME SUBSEQUENT TO ITS DATE.

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IT IS EXPECTED THAT PROSPECTIVE INVESTORS INTERESTED IN PARTICIPATING IN THIS OFFERING ARE WILLING AND ABLE TO CONDUCT AN INDEPENDENT INVESTIGATION OF THE RISKS POSED BY AN INVESTMENT IN THE NOTES. REPRESENTATIVES OF THE INITIAL PURCHASER AND THE PLACEMENT AGENT WILL BE AVAILABLE TO ANSWER QUESTIONS CONCERNING THE CO-ISSUERS, THE NOTES, THE MANAGER AND THE COLLATERAL AND WILL, UPON REQUEST, MAKE AVAILABLE SUCH OTHER INFORMATION AS INVESTORS MAY REASONABLY REQUEST. THIS OFFERING CIRCULAR IS NOT INTENDED TO FURNISH LEGAL, REGULATORY, TAX, ACCOUNTING, INVESTMENT OR OTHER ADVICE TO ANY PROSPECTIVE PURCHASER OF THE NOTES. THIS OFFERING CIRCULAR SHOULD BE REVIEWED BY EACH PROSPECTIVE PURCHASER AND ITS LEGAL, REGULATORY, TAX, ACCOUNTING, INVESTMENT AND OTHER ADVISORS. INVESTORS WHOSE INVESTMENT AUTHORITY IS SUBJECT TO LEGAL RESTRICTIONS SHOULD CONSULT THEIR LEGAL ADVISORS TO DETERMINE WHETHER AND TO WHAT EXTENT THE NOTES CONSTITUTE LEGAL INVESTMENTS FOR THEM. IN MAKING AN INVESTMENT DECISION, INVESTORS MUST RELY ON THEIR OWN EXAMINATION OF THE CO-ISSUERS AND THE TERMS OF THE OFFERING, INCLUDING THE MERITS AND RISKS INVOLVED. THE NOTES HAVE NOT BEEN RECOMMENDED BY ANY FEDERAL OR STATE SECURITIES COMMISSION OR ANY OTHER REGULATORY AUTHORITY. FURTHERMORE, THE FOREGOING AUTHORITIES HAVE NOT CONFIRMED THE ACCURACY OR DETERMINED THE ADEQUACY OF THIS DOCUMENT. ANY REPRESENTATION TO THE CONTRARY IS UNLAWFUL. EACH INITIAL INVESTOR IN THE NOTES ISSUED IN THE FORM OF GLOBAL NOTES WILL BE DEEMED TO HAVE MADE CERTAIN PURCHASER REPRESENTATIONS AS DESCRIBED UNDER "PURCHASE AND TRANSFER RESTRICTIONS" HEREIN. EACH PURCHASER OF THE NOTES ISSUED IN THE FORM OF CERTIFICATED NOTES WILL BE REQUIRED TO MAKE CERTAIN PURCHASER REPRESENTATIONS IN WRITING AS DESCRIBED UNDER "PURCHASE AND TRANSFER RESTRICTIONS" HEREIN. IN ADDITION, THE NOTES WILL BEAR RESTRICTIVE LEGENDS AND WILL BE SUBJECT TO RESTRICTIONS ON TRANSFER AS DESCRIBED HEREIN, INCLUDING, WITHOUT LIMITATION, THE REQUIREMENT THAT WITH RESPECT TO THE CERTIFICATED NOTES TRANSFERRED OR EXCHANGED, SUBSEQUENT TRANSFEREES FURNISH A REPRESENTATION LETTER IN THE FORM PRESCRIBED BY THE INDENTURE OR THE INCOME NOTE PAYING AGENCY AGREEMENT, AS APPLICABLE. ANY RESALE OR OTHER TRANSFER, OR ATTEMPTED RESALE OR OTHER ATTEMPTED TRANSFER, OF NOTES WHICH IS NOT MADE IN COMPLIANCE WITH THE APPLICABLE TRANSFER RESTRICTIONS WILL BE NULL AND VOID AB INITIO. SEE "PURCHASE AND TRANSFER RESTRICTIONS". NO INVITATION MAY BE MADE TO THE PUBLIC IN THE CAYMAN ISLANDS TO SUBSCRIBE FOR THE NOTES, WITHIN THE MEANING OF SECTION 194 OF THE CAYMAN ISLANDS COMPANIES LAW (2004 REVISION), AND THIS DOCUMENT MAY NOT BE ISSUED OR PASSED TO ANY SUCH PERSON. ________________ NOTICE TO RESIDENTS OF CHINA EACH OF THE INITIAL PURCHASER AND THE PLACEMENT AGENT HAS REPRESENTED AND AGREED THAT NEITHER IT NOR ANY OF ITS AFFILIATES HAS OFFERED OR SOLD OR WILL OFFER OR SELL ANY OF THE NOTES IN THE PEOPLE'S REPUBLIC OF CHINA (EXCLUDING HONG KONG, MACAU AND TAIWAN) AS PART OF THE INITIAL DISTRIBUTION OF THE NOTES. NOTICE TO RESIDENTS OF GERMANY THE NOTES HAVE NOT BEEN REGISTERED OR AUTHORIZED FOR PUBLIC DISTRIBUTION UNDER GERMAN LAW.

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ACCORDINGLY, THE NOTES MAY NOT BE DISTRIBUTED TO OR WITHIN GERMANY BY WAY OF A PUBLIC OFFER, PUBLIC ADVERTISEMENT OR IN ANY SIMILAR MANNER AND THIS OFFERING CIRCULAR AND ANY OTHER DOCUMENT RELATING TO THE NOTES, AS WELL AS INFORMATION CONTAINED THEREIN, MAY NOT BE SUPPLIED TO THE PUBLIC IN GERMANY OR USED IN CONNECTION WITH ANY OFFER FOR SUBSCRIPTION OF NOTES TO THE PUBLIC IN GERMANY OR ANY OTHER MEANS OF PUBLIC MARKETING. THIS OFFERING CIRCULAR AND OTHER OFFERING MATERIALS RELATING TO THE OFFER OF NOTES ARE STRICTLY CONFIDENTIAL AND MAY NOT BE DISTRIBUTED TO ANY PERSON OR ENTITY OTHER THAN THE RECIPIENT HEREOF TO WHOM THIS OFFERING CIRCULAR IS PERSONALLY ADDRESSED. NOTICE TO RESIDENTS OF HONG KONG EACH OF THE INITIAL PURCHASER AND PLACEMENT AGENT REPRESENTS AND AGREES THAT: (A) IT HAS NOT OFFERED OR SOLD AND WILL NOT OFFER OR SELL IN HONG KONG, BY MEANS OF ANY DOCUMENT, ANY NOTES OTHER THAN (I) TO PERSONS WHOSE ORDINARY BUSINESS IS TO BUY OR SELL SHARES OR DEBENTURES (WHETHER AS PRINCIPAL OR AGENT); OR (II) TO "PROFESSIONAL INVESTORS" AS DEFINED IN THE SECURITIES AND FUTURES ORDINANCE (CAP. 571) OF HONG KONG AND ANY RULES MADE UNDER THAT ORDINANCE; OR (III) IN OTHER CIRCUMSTANCES WHICH DO NOT RESULT IN THE DOCUMENT BEING A "PROSPECTUS" AS DEFINED IN THE COMPANIES ORDINANCE (CAP. 32) OF HONG KONG OR WHICH DO NOT CONSTITUTE AN OFFER TO THE PUBLIC WITHIN THE MEANING OF THAT ORDINANCE; AND IT HAS NOT ISSUED OR HAD IN ITS POSSESSION FOR THE PURPOSES OF ISSUE, AND WILL NOT ISSUE OR HAVE IN ITS POSSESSION FOR THE PURPOSES OF ISSUE, WHETHER IN HONG KONG OR ELSEWHERE, ANY ADVERTISEMENT, INVITATION OR DOCUMENT RELATING TO THE NOTES, WHICH IS DIRECTED AT, OR THE CONTENTS OF WHICH ARE LIKELY TO BE ACCESSED OR READ BY, THE PUBLIC OF HONG KONG (EXCEPT IF PERMITTED TO DO SO UNDER THE SECURITIES LAWS OF HONG KONG) OTHER THAN WITH RESPECT TO NOTES WHICH ARE OR ARE INTENDED TO BE DISPOSED OF ONLY TO PERSONS OUTSIDE HONG KONG OR ONLY TO "PROFESSIONAL INVESTORS" AS DEFINED IN THE SECURITIES AND FUTURES ORDINANCE AND ANY RULES MADE UNDER THAT ORDINANCE. NOTICE TO RESIDENTS OF IRELAND THE NOTES WILL NOT AND MAY NOT BE OFFERED, SOLD, TRANSFERRED OR DELIVERED, WHETHER DIRECTLY OR INDIRECTLY, OTHERWISE THAN IN CIRCUMSTANCES WHICH DO NOT CONSTITUTE AN OFFER TO THE PUBLIC WITHIN THE MEANING OF THE IRISH COMPANIES ACT, 1963-2005 AND THE NOTES WILL NOT AND MAY NOT BE THE SUBJECT OF AN OFFER IN IRELAND WHICH WOULD REQUIRE THE PUBLICATION OF A PROSPECTUS PURSUANT TO ARTICLE 3 OF DIRECTIVE 2003/71/EC. NO APPLICATION FORM HAS BEEN ISSUED OR WILL BE ISSUED IN THE REPUBLIC OF IRELAND IN RESPECT OF THE NOTES. NOTICE TO RESIDENTS OF JAPAN THE NOTES HAVE NOT BEEN, AND WILL NOT BE, REGISTERED UNDER THE SECURITIES AND EXCHANGE LAW OF JAPAN. NEITHER THE NOTES NOR ANY INTEREST THEREIN MAY BE OFFERED, SOLD, RESOLD OR OTHERWISE TRANSFERRED, DIRECTLY OR INDIRECTLY, IN JAPAN OR TO OR FOR THE ACCOUNT OF ANY RESIDENT IN JAPAN (WHICH TERM AS USED HEREIN MEANS ANY PERSON RESIDENT IN JAPAN, INCLUDING ANY CORPORATION OR OTHER ENTITY ORGANIZED UNDER THE LAWS OF JAPAN), OR TO OTHERS FOR RE-OFFERING OR SALE, DIRECTLY
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OR INDIRECTLY, IN JAPAN OR TO A RESIDENT OF JAPAN EXCEPT PURSUANT TO AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF, AND OTHERWISE IN COMPLIANCE WITH, THE SECURITIES AND EXCHANGE LAW AND ANY OTHER APPLICABLE LAW, REGULATIONS AND MINISTERIAL GUIDELINES OF JAPAN. NOTICE TO RESIDENTS OF KOREA NEITHER THE INITIAL PURCHASER NOR THE PLACEMENT AGENT IS MAKING ANY REPRESENTATION WITH RESPECT TO THE ELIGIBILITY OF ANY RECIPIENTS OF THIS OFFERING CIRCULAR TO ACQUIRE THE SECURITIES DESCRIBED HEREIN UNDER THE LAWS OF KOREA, INCLUDING BUT WITHOUT LIMITATION THE FOREIGN EXCHANGE TRANSACTION ACT AND REGULATIONS THEREUNDER. PROSPECTIVE INVESTORS WHO ARE KOREAN RESIDENTS SHOULD BE ADVISED OF THE INVESTMENT PROCEDURES UNDER THE LAWS OF KOREA, INCLUDING BUT WITHOUT LIMITATION, FILING REQUIREMENTS UNDER THE FOREIGN EXCHANGE TRANSACTION ACT AND REGULATIONS THEREUNDER. THE SECURITIES HAVE NOT BEEN REGISTERED UNDER THE SECURITIES AND EXCHANGE ACT OF KOREA OR THE INDIRECT INVESTMENT ASSET MANAGEMENT BUSINESS ACT OF KOREA, AND NONE OF THE SECURITIES MAY BE OFFERED, SOLD OR DELIVERED, DIRECTLY OR INDIRECTLY, IN KOREA OR TO ANY RESIDENT OF KOREA, OR TO ANY PERSON FOR RE-OFFERING OR RESALE, DIRECTLY OR INDIRECTLY, IN KOREA OR TO ANY RESIDENT OF KOREA, EXCEPT AS PERMITTED BY APPLICABLE LAWS AND REGULATIONS OF KOREA. NOTICE TO RESIDENTS OF PHILIPPINES IN ACCORDANCE WITH THE REQUIREMENTS OF THE SECURITIES REGULATION CODE ("SRC") AND THE SECURITIES AND EXCHANGE COMMISSION ("SEC"), WE HEREBY DISCLOSE THAT: THE NOTES BEING OFFERED OR SOLD HAVE NOT BEEN REGISTERED WITH THE SEC UNDER THE SRC. ANY FUTURE OFFER OR SALE OF THE NOTES IS SUBJECT TO REGISTRATION REQUIREMENTS UNDER THE SRC UNLESS SUCH OFFER OR SALE QUALIFIES AS AN EXEMPT TRANSACTION. THE NOTES ARE BEING OFFERED TO INVESTORS IN THE PHILIPPINES ON THE UNDERSTANDING THAT EACH SUCH OFFEREE IS A "QUALIFIED BUYER" AS DEFINED IN THE SRC/THIS IS A PRIVATE PLACEMENT TO FEWER THAN TWENTY (20) INVESTORS IN THE PHILIPPINES WITHIN A TWELVE-MONTH PERIOD. CONSEQUENTLY, THE OFFER OF THE NOTES IS EXEMPT FROM REGISTRATION WITH THE SEC UNDER SECTIONS 10.1(1)/10.1(K) OF THE SRC. A CONFIRMATION OF EXCEPTION FROM THE SEC THAT THE OFFER AND SALE OF THE NOTES IN THE PHILIPPINES SO QUALIFIES AS AN EXEMPT TRANSACTION HAS NOT BEEN OBTAINED. NOTICE TO RESIDENTS OF SINGAPORE THE OFFER OR INVITATION WHICH IS THE SUBJECT OF THIS OFFERING CIRCULAR IS NOT ALLOWED TO BE MADE TO THE RETAIL PUBLIC. THIS OFFERING CIRCULAR IS NOT A PROSPECTUS AS DEFINED IN THE SECURITIES AND FUTURES ACT, CHAPTER 289 OF SINGAPORE ("SFA"). ACCORDINGLY, STATUTORY LIABILITY UNDER THAT ACT IN RELATION TO THE CONTENT OF PROSPECTUSES WOULD NOT APPLY. YOU SHOULD CONSIDER CAREFULLY WHETHER THE INVESTMENT IS SUITABLE FOR YOU. EACH DEALER HAS ACKNOWLEDGED THAT THIS OFFERING CIRCULAR HAS NOT BEEN REGISTERED AS A PROSPECTUS WITH THE MONETARY AUTHORITY OF SINGAPORE. ACCORDINGLY, EACH DEALER HAS REPRESENTED, WARRANTED AND AGREED THAT IT HAS NOT OFFERED OR SOLD ANY NOTES OR CAUSED SUCH NOTES TO BE MADE THE SUBJECT OF AN INVITATION FOR SUBSCRIPTION OR PURCHASE AND WILL NOT OFFER OR SELL SUCH NOTES OR CAUSE SUCH NOTES TO BE MADE THE SUBJECT OF AN INVITATION FOR SUBSCRIPTION OR PURCHASE, AND HAS NOT CIRCULATED OR DISTRIBUTED, NOR WILL IT CIRCULATE OR
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DISTRIBUTE, THIS OFFERING CIRCULAR OR ANY OTHER DOCUMENT OR MATERIAL IN CONNECTION WITH THE OFFER OR SALE, OR INVITATION FOR SUBSCRIPTION OR PURCHASE, OF SUCH NOTES, WHETHER DIRECTLY OR INDIRECTLY, TO PERSONS IN SINGAPORE OTHER THAN (I) TO AN INSTITUTIONAL INVESTOR UNDER SECTION 304 OF THE SFA, (II) TO A RELEVANT PERSON PURSUANT TO SECTION 305(1), OR ANY PERSON PURSUANT TO SECTION 305(2), AND IN ACCORDANCE WITH THE CONDITIONS SPECIFIED IN SECTION 305 OF THE SFA OR (III) OTHERWISE PURSUANT TO, AND IN ACCORDANCE WITH THE CONDITIONS OF, ANY OTHER APPLICABLE PROVISION OF THE SFA. WHERE NOTES ARE SUBSCRIBED OR PURCHASED UNDER SECTION 305 BY A RELEVANT PERSON WHICH IS: (A) A CORPORATION (WHICH IS NOT AN ACCREDITED INVESTOR (AS DEFINED IN SECTION 4A OF THE SFA)) THE SOLE BUSINESS OF WHICH IS TO HOLD INVESTMENTS AND THE ENTIRE SHARE CAPITAL OF WHICH IS OWNED BY ONE OR MORE INDIVIDUALS, EACH OF WHOM IS AN ACCREDITED INVESTOR; OR A TRUST (WHERE THE TRUSTEE IS NOT AN ACCREDITED INVESTOR) WHOSE SOLE PURPOSE IS TO HOLD INVESTMENTS AND EACH BENEFICIARY OF THE TRUST IS AN INDIVIDUAL WHO IS AN ACCREDITED INVESTOR, SHARES, DEBENTURES AND UNITS OF SHARES AND DEBENTURES OF THAT CORPORATION OR THE BENEFICIARIES' RIGHTS AND INTEREST (HOWSOEVER DESCRIBED) IN THAT TRUST SHALL NOT BE TRANSFERRED WITHIN 6 MONTHS AFTER THAT CORPORATION OR THAT TRUST HAS ACQUIRED THE NOTES PURSUANT TO AN OFFER MADE UNDER SECTION 305 EXCEPT: 1. TO AN INSTITUTIONAL INVESTOR (FOR CORPORATIONS, UNDER SECTION 274 OF THE SFA) OR TO A RELEVANT PERSON DEFINED IN SECTION 305(5) OF THE SFA, OR TO ANY PERSON PURSUANT TO AN OFFER THAT IS MADE ON TERMS THAT SUCH SHARES, DEBENTURES AND UNITS OF SHARES AND DEBENTURES OF THAT CORPORATION OR SUCH RIGHTS AND INTEREST IN THAT TRUST ARE ACQUIRED AT A CONSIDERATION OF NOT LESS THAN S$200,000 (OR ITS EQUIVALENT IN A FOREIGN CURRENCY) FOR EACH TRANSACTION, WHETHER SUCH AMOUNT IS TO BE PAID FOR IN CASH OR BY EXCHANGE OF SECURITIES OR OTHER ASSETS, AND FURTHER FOR CORPORATIONS, IN ACCORDANCE WITH THE CONDITIONS SPECIFIED IN SECTION 275 OF THE SFA; WHERE NO CONSIDERATION IS OR WILL BE GIVEN FOR THE TRANSFER; OR WHERE THE TRANSFER IS BY OPERATION OF LAW. NOTICE TO RESIDENTS OF SPAIN THIS OFFERING CIRCULAR HAS NOT BEEN AND WILL NOT BE REGISTERED WITH THE COMISION NACIONAL DEL MERCADO DE VALORES OF SPAIN AND MAY NOT BE DISTRIBUTED IN SPAIN IN CONNECTION WITH THE OFFERING AND SALE OF THE NOTES WITHOUT COMPLYING WITH ALL LEGAL AND REGULATORY REQUIREMENTS IN RELATION THERETO. NOTICE TO RESIDENTS OF SWEDEN THIS OFFERING CIRCULAR IS FOR THE RECIPIENT ONLY AND MAY NOT IN ANY WAY BE FORWARDED TO ANY OTHER PERSON OR TO THE PUBLIC IN SWEDEN.

(B)

2. 3.

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NOTICE TO RESIDENTS OF TAIWAN ANY OFFERING OR SALES ACTIVITIES IN CONNECTION WITH OFFSHORE SECURITIES IN THE TERRITORY OF TAIWAN ARE STRICTLY REGULATED. ANY OFFERING OR SALES OF THE NOTES IN THE TERRITORY OF TAIWAN OR TO TAIWANESE INVESTORS MUST BE SUBJECT TO CERTAIN RESTRICTIONS UNDER THE APPLICABLE LAWS AND RULES. EACH SUBSCRIBER OR PURCHASER OF THE NOTES MUST SEEK PROFESSIONAL OPINIONS ON ITS ELIGIBILITY IN SUBSCRIBING OR PURCHASING THE NOTES AND REPRESENTS AND WARRANTS THAT IT IS DULY QUALIFIED TO SUBSCRIBE OR PURCHASE THE NOTES UNDER THE APPLICABLE TAIWANESE LAWS AND RULES. ANY HOLDER OF THE NOTES MIGHT BE RESTRICTED FROM RESELLING THE NOTES IN TAIWAN EXCEPT AS OTHERWISE APPROVED BY THE REGULATOR IN TAIWAN OR ACCORDING TO APPLICABLE TAIWANESE LAWS OR RULES. NOTICE TO RESIDENTS OF THAILAND EACH OF THE INITIAL PURCHASER AND PLACEMENT AGENT HAS REPRESENTED, WARRANTED AND AGREED THAT IT HAS NOT OFFERED OR SOLD AND WILL NOT OFFER OR SELL ANY NOTES AND IT HAS NOT DISTRIBUTED AND WILL NOT DISTRIBUTE ANY OTHER DOCUMENTS OR MATERIAL IN CONNECTION WITH THE NOTES, EITHER DIRECTLY OR INDIRECTLY, IN THAILAND OR TO ANY RESIDENT OF THAILAND. NOTICE TO RESIDENTS OF THE UNITED KINGDOM EACH DEALER OF NOTES HAS REPRESENTED AND AGREED, AND EACH FUTURE DEALER WILL BE REQUIRED TO REPRESENT AND AGREE, THAT: (A) IT HAS ONLY COMMUNICATED OR CAUSED TO BE COMMUNICATED AND WILL ONLY COMMUNICATE OR CAUSE TO BE COMMUNICATED AN INVITATION OR INDUCEMENT TO ENGAGE IN INVESTMENT ACTIVITY (WITHIN THE MEANING OF SECTION 21 OF THE FINANCIAL SERVICES AND MARKETS ACT OF 2000 (THE "FSMA")) RECEIVED BY IT IN CONNECTION WITH THE ISSUE OR SALE OF ANY NOTES IN CIRCUMSTANCES IN WHICH SECTION 21(1) OF THE FSMA DOES NOT APPLY TO THE CO-ISSUERS; AND IT HAS COMPLIED AND WILL COMPLY WITH ALL APPLICABLE PROVISIONS OF THE FSMA WITH RESPECT TO ANYTHING DONE BY IT IN RELATION TO ANY NOTES IN, FROM OR OTHERWISE INVOLVING THE UNITED KINGDOM. ________________ NOTICE TO FLORIDA RESIDENTS THE NOTES ARE OFFERED PURSUANT TO A CLAIM OF EXEMPTION UNDER SECTION 517.061 OF THE FLORIDA SECURITIES ACT AND HAVE NOT BEEN REGISTERED UNDER SAID ACT IN THE STATE OF FLORIDA. ALL FLORIDA RESIDENTS WHO ARE NOT INSTITUTIONAL INVESTORS DESCRIBED IN SECTION 517.061(7) OF THE FLORIDA SECURITIES ACT HAVE THE RIGHT TO VOID THEIR PURCHASE OF THE NOTES WITHOUT PENALTY WITHIN THREE DAYS AFTER THE FIRST TENDER OF CONSIDERATION. NOTICE TO GEORGIA RESIDENTS THE NOTES HAVE BEEN ISSUED OR SOLD IN RELIANCE ON PARAGRAPH (13) OF CODE SECTION 10-5-9 OF THE GEORGIA SECURITIES ACT OF 1973, AND MAY NOT BE SOLD OR TRANSFERRED EXCEPT IN A TRANSACTION WHICH IS EXEMPT UNDER SUCH ACT OR PURSUANT TO AN EFFECTIVE REGISTRATION UNDER SUCH ACT. ________________
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(B)

xi

The distribution of this Offering Circular and the offering of the Notes may also be restricted by law in certain other jurisdictions. Consequently, nothing contained herein will constitute an offer to sell, or a solicitation of an offer to buy, (a) any securities other than the Notes or (b) any Notes in any jurisdiction in which it is unlawful for such Person to make such an offer or solicitation. Persons into whose possession this Offering Circular comes are required by the Co-Issuers, the Initial Purchaser and the Placement Agent to inform themselves about, and to observe, any such restrictions. ________________ AVAILABLE INFORMATION To permit compliance with Rule 144A under the Securities Act in connection with the resale of the Notes, the Applicable Issuers will be required to furnish, upon request of a Holder of a Note, to such Holder and a prospective purchaser designated by such Holder, the information required to be delivered under Rule 144A(d)(4) under the Securities Act if at the time of the request either of the Co-Issuers (or with respect to the Non-Co-Issued Notes, the Issuer) are not reporting companies under Section 13 or Section 15(d) of the Exchange Act or exempt from reporting pursuant to Rule 12g3-2(b) under the Exchange Act. To the extent the Issuer, the Trustee or the Manager delivers any annual or other periodic report to the Holders of the Notes, the Issuer will include in such report a reminder that (1) each Holder of an interest in the Rule 144A Global Notes must be able to make the acknowledgements, representations and agreements described in "Purchase and Transfer Restrictions"; (2) each Holder of an interest in the Rule 144A Global Notes must be both a QIB and a QP that can make all of the representations applicable to a Holder that is a U.S. Person; (3) interests in the Rule 144A Global Notes are transferable only to QIBs that are QPs and that are able to make such acknowledgements, representations and agreements; and (4) the Co-Issuers have the right to compel any Holder who does not meet the transfer restrictions to transfer its interest in the Rule 144A Global Notes to a Person designated by the Applicable Issuers or sell such interests on behalf of the Holder on such terms as the Issuer may choose. ________________ FORWARD-LOOKING STATEMENTS This Offering Circular contains forward-looking statements, which can be identified by words like "anticipate", "believe", "plan", "hope", "goal", "expect", "future", "intend", "will", "could" and "should" and by similar expressions. The information referred to under "Certain Maturity and Prepayment Considerations" may also be deemed to contain forward-looking statements. Prospective investors should not place undue reliance on forward-looking statements. Actual results could differ materially from those referred to in forward-looking statements for many reasons, including the risks described in "Risk Factors" and the matters referred to under "Certain Maturity and Prepayment Considerations", which matters include assumptions referred to therein. Forward-looking statements are necessarily speculative in nature, and it can be expected that some or all of the assumptions underlying forward-looking statements will not materialize or will vary significantly from actual results. Accordingly, forward-looking statements are only an estimate. Actual results may vary from forward-looking statements, and the variations may be material. Some important factors that could cause actual results to differ materially from those in any forward-looking statements include changes in interest rates, market, financial or legal uncertainties, the timing of acquisitions and sales of the Eligible Collateral Debt Securities, differences in the actual allocation of the Eligible Collateral Debt Securities among asset categories from those assumed, mismatches between the timing of accrual and receipt of Interest Collections and Principal Collections from the Eligible Collateral Debt Securities, available funds caps, floors or other caps on the interest rate payable on the Eligible Collateral Debt Securities, timing mismatches on the reset of the interest rates between the Eligible Collateral Debt Securities and the Notes, the timing and frequency of defaults under the Eligible Collateral Debt Securities and differences in the actual prepayment rates with respect to the Eligible Collateral Debt Securities from those assumed, among others. Consequently, without limiting the generality of the foregoing, the inclusion of forward-looking statements herein should not be regarded as a representation by the Issuer, the Co-Issuer, the Manager, the Trustee, the Initial Purchaser or the Placement Agent or any of their respective affiliates or any other Person of the results that will actually be achieved by the Issuer or the Co-Issuer or the Notes. None of the foregoing Persons has any obligation
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to update or otherwise revise any forward-looking statements, including any revisions to reflect changes in economic conditions or other circumstances arising after the date hereof or to reflect the occurrence of unanticipated events, even if the underlying assumptions do not come to fruition.

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SUMMARIES OF DOCUMENTS; AVAILABILITY OF DOCUMENTS This Offering Circular summarizes certain provisions of the Notes, the Transaction Documents and certain other transactions and documents. The summaries do not purport to be complete and (whether or not so stated herein) are subject to, are qualified in their entirety by reference to the provisions of the actual documents (including definitions of terms). Following the Closing Date, copies of the Indenture may be obtained by investors upon request in writing to the Trustee at the address specified in the Counterparty Table and copies of the Income Note Paying Agency Agreement may be obtained by investors upon request in writing to the Income Note Paying Agent at the address specified in the Counterparty Table. ________________ All references herein to "U.S.$", "$" or "dollars" are to United States dollars. ________________

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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. Defined terms used herein may be defined elsewhere in this Offering Circular. The definitions of most defined terms are located in a glossary and the page numbers for definitions of all defined terms are located in an index of defined terms, each appearing at the end of this Offering Circular. Counterparty Table Issuer Class V Funding III, Ltd. Registered Number MC-181338 c/o Maples Finance Limited P.O. Box 1093 GT, Queensgate House South Church Street, George Town Grand Cayman, Cayman Islands Tel: 345-945-7099 Class V Funding III, Corp., a Delaware corporation Registration No. 4293449 c/o The Corporation Trust Company 1209 Orange Street Wilmington, Delaware 19801 Tel: 302-777-0247 The Issuer and the Co-Issuer Credit Suisse Alternative Capital, Inc. Eleven Madison Avenue New York, New York 10010 LaSalle Bank National Association ("LaSalle") 181 West Madison Street, 32nd Floor Chicago, Illinois 60602

Co-Issuer

Co-Issuers Manager

Trustee, Indenture Registrar, Income Note Registrar, Income Note Paying Agent, Collateral Administrator, Custodian, Note Calculation Agent, Secured Note Paying Agent and Corporate Trust Office Initial Purchaser of the Secured Notes and Placement Agent for the Class Q Combination Notes the Income Notes

Citigroup Global Markets Inc. ("Citigroup") Attn: Fixed Income Global Structured Credit Products Group 390 Greenwich Street New York, NY 10013 Citigroup Global Markets Limited ("CGML") Citigroup Centre 25 Canada Square London E14 5LB United Kingdom Citibank, N.A. 250 West Street, 10th Floor New York, New York 10013 Attention: Director Derivatives Operations Facsimile No.: (212) 723-2956 with a copy to:

Class A1 Swap Counterparty

CDS Collateral Securities Counterparty

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Legal Department 77 Water Street, 9th Floor New York, New York 10004 Attention: Department Head Facsimile No.: (212) 657 1452 Initial CDS Asset Counterparty Cashflow Swap Counterparty Citibank, N.A. (New York or London) IXIS Financial Products Inc. 9 West 57th Street New York, NY 10019 Secured Note Paying Agent and Irish Note Paying Agent Maples Finance Limited P.O. Box 1093 GT Queensgate House, South Church Street George Town, Grand Cayman Cayman Islands Maples Finance Dublin 75 St. Stephen's Green Dublin 2 Ireland Maples and Calder Listing Services Limited 75 St. Stephen's Green Dublin 2 Ireland Deloitte & Touche LLP, or any successor accounting firm selected pursuant to the Indenture, which will periodically perform certain procedures with respect to the Collateral and the compliance with the Portfolio Limitations, Coverage Tests, Portfolio Quality Tests, Payment Reports and tax reports as required by the Indenture

Note Paying Agents Share Registrar, Share Trustee and Administrator

Irish Note Paying Agent

Irish Listing Agent

Independent Accountant

Notes Offered Hereby

Class S Notes, Class A2 Notes, Class A3 Notes, Class A4 Notes, Class B Notes, Class C Notes, Class Q Combination Notes and Income Notes. U.S.$1,000,000,000

Principal Balance Target

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Principal Terms Table The Notes will be divided into such Classes having designations, original principal amounts and other characteristics as follows:
Class Designation Original Principal Amount Maturity Date Stated Floating Rate Note Periodic Interest Rate Frequency of Payments Day Count Initial Rating(s) Moody's S&P Ranking Senior Classes Pari Passu Classes Junior Classes Components None A1
(6)

S $39,200,000 February 28, 2015 Yes LIBOR + 0.34% Quarterly Actual/360 Aaa AAA

A1 $500,000,000(1)

A2 $200,000,000

A3 $120,000,000

A4 $75,000,000

B $50,000,000

C $35,000,000

Class Q Combination $5,000,000

Income Notes $22,000,000

February 28, 2052 Yes LIBOR + 0.45%(2) Quarterly Actual/360 Aaa AAA None S
(6)

Yes LIBOR + 0.55% Quarterly Actual/360 Aaa AAA S, A1 None A3, A4, B, C, Income Notes

Yes LIBOR + 0.70% Quarterly Actual/360 Aaa AAA S, A1, A2 None A4, B, C, Income Notes

Yes LIBOR + 1.20% Quarterly Actual/360 Aa2 AA S, A1, A2, A3 None B, C, Income Notes

Yes LIBOR + 3.00% Quarterly Actual/360 A2 A S, A None C, Income Notes

Yes LIBOR + 5.25% Quarterly Actual/360 Baa2 BBB S, A, B None Income Notes

Yes LIBOR + 1.00%(4) Quarterly Actual/360 Baa3(4) BBB-(4)

(3)

N/A N/A Quarterly N/A N/A N/A S, A, B, C None None

None
(3)

A2, A3, A4, B, C, Income Notes

A2, A3, A4, B, C, Income Notes

- $2,500,000: Class C Notes - $2,500,000: Income Notes 18272FAA7 G22823AA9 N/A US18272FAA75 N/A USG22823AA90 028877579 Yes No No Yes Yes N/A N/A(5)
See Footnote 7 See Footnote 7

CUSIPS(7) CUSIPS Rule 144A CUSIPS Reg S CUSIPS Acc'd Investors ISIN Rule 144A ISIN Acc'd Investors ISIN Reg S Common Code Listed Note Deferrable Interest Note OID Note Secured Note Co-Issued Notes Interest Coverage Required Principal Coverage Required NY3:#7409513 18272FAC3 G22823AC5 N/A US18272FAC32 N/A USG22823AC56 028877949 Yes No No Yes Yes 18272FAD1 G22823AD3 N/A US18272FAD15 N/A USG22823AD30 028877943 Yes No No Yes Yes 111.0% 103.7% 18272FAE9 G22823AE1 N/A US18272FAE97 N/A USG22823AE13 028878125 Yes No No Yes Yes 18272FAF6 G22823AF8 18272FAN9 US18272FAF62 US18272FAN96 USG22823AF87 028878222 Yes Yes (until no Senior Classes are Outstanding) No Yes Yes 108.0% 100.8% 18272FAG4 G22823AG6 18272FAP4 US18272FAG46 US18272FAP45 USG22823AG60 028879458 Yes Yes (until no Senior Classes are Outstanding) Yes Yes Yes 105.0% 100.0% 18272KAA6 G22822AA1 N/A US18272KAA60 N/A USG22822AA18 028879504 Yes
(3)

18272KAC2 G22822AB9 18272KAD0 US18272KAC27 N/A USG22822AB90 028879636 Yes N/A N/A No No N/A N/A

N/A
See Footnote 7

N/A
See Footnote 7 See Footnote 7

No No No Yes Yes N/A N/A

Yes
(3)

No N/A N/A

Class Designation Minimum Denominations Integrals Forms Rule 144A Regulation S Acc'd Investor Maximum Benefit Plan Investors
1

S $500,000 $1,000 Global Global N/A N/A

A1 $1 $1 Global Global N/A N/A

A2 $500,000 $1,000 Global Global N/A N/A

A3 $500,000 $1,000 Global Global N/A N/A

A4 $500,000 $1,000 Global Global N/A N/A

B $250,000 $1,000 Global Global Physical N/A

C $250,000 $1,000 Global Global Physical N/A

Class Q Combination $250,000 $1,000 Physical Global Physical 0.0%

Income Notes $250,000 $1,000 Physical Global Physical 0.0%

2 3

5 6 7

The Class A1 Notes will be issuable from time to time in Class A1 Note Fundings to the Class A1 Swap Counterparty or its Class A1 Designee in an aggregate amount up to the initial Class A1 Swap Notional Amount. No amount of Class A1 Notes will be issued on the Closing Date. The Class A1 Notes will accrue interest at the interest rate specified above on the Class A1 Note Amount. The Class Q Combination Notes will be comprised of (i) a Class C Component; and (ii) an Income Note Component. For purposes of Senior Classes, Junior Classes, Deferrable Interest and Secured Note status, the Class Q Combination Notes will be characterized in the manner, and to the extent of, each of their Components. The amount of the respective Components of the Class Q Combination Notes is also included in the amount indicated opposite the caption "Original Principal Amount" on the table applicable to the Classes of Notes that comprise the Class Q Combination Notes. The Class Q Combination Notes are rated as to the ultimate payment of their Class Q Combination Note Notional Balance and the Periodic Interest Rate applicable to the Class Q Combination Notes. In the event that the Class Q Combination Note Notional Balance is reduced to zero, holders of the Class Q Combination Notes will continue to receive payments in accordance with the Priority of Payments to the extent allocated to their related components and such payments will be classified as "excess distributions". The Principal Balance of the Class S Notes is not taken into account when calculating the Principal Coverage Ratio. As to the payment of interest and principal subject to the Priority of Payments. The Co-Issuers expect to use a different CUSIP number for each separate Class A1 Note Funding; a list of such CUSIPs will be maintained by the Trustee and assigned as Class A1 Notes are issued following each Class A1 Note Funding.

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Date Table Class A1 Swap Termination Date The earliest of (a) the Maturity DateStated of the Class A1 Notes, (b) the Redemption Date and (c) such earlier date, if any, on which the Class A1 Swap Notional Amount is reduced to zero in accordance with the terms of the Class A1 Swap. February 28, 2007 January 30, 2007 January 31, 2007 The Payment Date occurring in February 2015 The Payment Date occurring in February 2010 The 28th day of each February, May, August and November commencing on the Payment Date in May 2007 (or if any such day is not a Business Day, on the next succeeding Business Day), and ending on (and including) the Maturity DateStated. The earlier to occur of (i) the date 60 days following the Closing Date and (ii) the date on which the Issuer has acquired (or entered into agreements providing for the acquisition of) Eligible Collateral Debt Securities having a Principal Balance Aggregate of at least the Principal Balance Target.

Closing Date Date of Incorporation of Issuer Date of Incorporation of Co-Issuer Mandatory Redemption DateInitial Optional Redemption DateInitial Payment Date

Ramp-Up End Date

Interest Payments

Interest will accrue on the Outstanding principal amount of each Secured Note for each Periodic Interest Accrual Period at the Periodic Interest Rate for the relevant Class and will be payable in arrears on each Payment Date through the Maturity DateFinal for such Class. To the extent Periodic Interest for any Periodic Interest Accrual Period is not paid on any Class of Deferrable Interest Notes that is not the most Senior Class Outstanding on any Payment Date, the amount of such shortfall will not be deemed due and payable under the Indenture (and the failure to pay such amount will not constitute an Event of Default), but the Periodic Interest Cumulative Shortfall Amount for such Class of Deferrable Interest Notes will be increased by the amount of such interest shortfall, which will not be payable as Periodic Interest on any subsequent Payment Date. The Periodic Interest Cumulative Shortfall Amount for each Class of Deferrable Interest Notes as of any Payment Date will be added to the principal amount of such Class of Deferrable Interest Notes and will accrue interest at the Periodic Interest Rate for such Class, and such accrued interest will be payable on any subsequent Payment Date pursuant to the Priority of Payments as interest on such Class of Deferrable Interest Notes or added to the Periodic Interest Cumulative Shortfall Amount as aforesaid. See "Description of the NotesInterest on Secured Notes".

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Income Note Distributions

Distributions on the Income Notes will be payable to the extent funds are available for such purpose in accordance with the Priority of Payments, on each Payment Date through the Maturity DateFinal, unless redeemed pursuant to a Redemption prior thereto. The Holders of the Income Notes will not be entitled to receive interest on the Income Notes at a stated rate. See "Description of the NotesIncome Notes" and " Priority of Payments". On each date on which payments, whether from Interest Collections, Principal Collections or redemption or otherwise, are made on any Class of Notes to which one of the Components of the Class Q Combination Notes relates, a portion of such payment will be allocated to such Component in the proportion that the principal amount of such Component bears to the principal of the related Class (including such Component). No other payments will be made on the Class Q Combination Notes. Each Class of Notes will mature on the date specified in the Principal Terms Table for such Class, or if such day is not a Business Day, the next succeeding Business Day (the "Maturity DateStated"), or, in the case of each Class of Secured Notes, such earlier date on which the Principal BalanceAggregate of such Class (including, with respect to each Class of Deferrable Interest Notes, the Periodic Interest Cumulative Shortfall Amount with respect to such Class) is paid in full (the "Maturity Date Final"). The Issuer will attempt a redemption in accordance with certain procedures specified in the Indenture, (i) on any Payment Date occurring on or after the Optional Redemption DateInitial, if the Issuer is so directed in writing by the Holders of not less than 66% of the Principal BalanceAggregate of the Outstanding Income Notes, (ii) on any Payment Date, if a Tax Event has occurred and is continuing and the Issuer is so directed in writing by a Majority of the Outstanding Income Notes or (iii) on the Mandatory Redemption DateInitial or any subsequent Payment Date, if the Secured Notes have not been redeemed or repaid in full on or prior to such date (any such redemption, a "Redemption"); provided that certain conditions are satisfied. See "Description of the NotesRedemption". The Income Notes will not be subject to Redemption prior to their Maturity Date Stated but may be redeemed after all the Secured Notes have been paid in full. The availability of funds for payments or distributions to the Holders of the Income Notes in connection with any Redemption will be limited as described herein.

Payments on Class Q Combination Notes

Maturity DateStated

Redemption

Priority of Payments Application of Interest Collections on Payment Dates On each Payment Date, Interest Collections with respect to such Payment Date, to the extent of Available Funds, will be applied by the Trustee in the following order of priority (the "Priority of PaymentsInterest Collections"): (A) to the payment of taxes and filing and registration fees owed by the Co-Issuers, if any; (B) to pay pari passu (i) to any CDS Asset Counterparty, any CDS Asset Interest Payments due under any CDS Asset, (ii) to any Covered Short CDS Asset Counterparty, any amounts due under any Covered Short CDS Asset other than any Subordinated Covered Short CDS Termination Payment, (iii) to the CDS Collateral Securities Counterparty, any amounts due under the CDS Collateral Agreement other than any CDS Asset/SCA Issuer Termination Payment or Subordinated CDS Asset/SCA Termination Payment, and (iv) to the Initial CDS Asset Counterparty, any accrued and unpaid Intermediation Fee; (C) to the payment, pro rata, to the Trustee and the Income Note Paying Agent of accrued and unpaid fees owing to them, collectively, up to a maximum amount on any Payment Date equal to the greater of (x) U.S.$6,250 and (y) 0.0025% of the average of the Principal BalancePortfolio on the first day of the related Period and the Principal BalancePortfolio on the last day of such Period;

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(D) first, to the payment, pro rata, to the Trustee, the Income Note Paying Agent and the Collateral Administrator of all accrued and unpaid Administrative Expenses (other than indemnities) owing to them, and second, to the payment, pro rata, of any remaining accrued and unpaid Administrative Expenses (other than indemnities) of the Co-Issuers, and third, to the payment, in the following order, of any remaining accrued and unpaid Administrative Expenses consisting of indemnities of the Co-Issuers payable by them pursuant to the terms of the Transaction Documents (i) to the Trustee, the Collateral Administrator and the Income Note Paying Agent and (ii) to other Persons to which such payments are due, and fourth, on each Payment Date other than the Maturity DateFinal, to the Expense Reserve Account until the balance of such account reaches U.S.$50,000; provided that the aggregate payments pursuant to this clause (D) on any Payment Date together with all other Administrative Expenses paid since the previous Payment Date may not exceed U.S.$50,000; (E) to the payment of the Management Fee then due and unpaid;

(F) to the payment to the Cashflow Swap Counterparty, any Cashflow Swap Fee Payment; (G) to pay pari passu (i) to the payment of Periodic Interest on the Class A1 Notes (including Defaulted Interest thereon), (ii) to the Class A1 Swap Counterparty, any accrued and unpaid Class A1 Option Fee, and (iii) to the payment of Periodic Interest on the Class S Notes (including Defaulted Interest thereon); (H) to pay pari passu (i) to the Holders of the Class A1 Notes funded in a Class A1 Note Funding to obtain funds to pay CDS Asset Interest Payments, the Class A1 Note Amount and (ii) U.S.$1,960,000 to the repayment of principal on the Class S Notes until the Principal BalanceAggregate of the Class S Notes is reduced to zero; (I) to pay pari passu (i) to any Hedge Counterparty any Hedge Payment due to such Hedge Counterparty and (ii) to the Cashflow Swap Counterparty any Cashflow Swap Payment; (J) first, to the payment of Periodic Interest on the Class A2 Notes (including Defaulted Interest thereon), second, to the payment of Periodic Interest on the Class A3 Notes (including Defaulted Interest thereon), and third, to the payment of Periodic Interest on the Class A4 Notes (including Defaulted Interest thereon); (K) if the Principal Coverage Test or, from the second Payment Date, the Interest Coverage Test with respect to the Class A Notes is not satisfied on the Period End Date with respect to the related Payment Date first, to pay pari passu (i) to the Holders of the Class A1 Notes, the Class A1 Note Amount, and then to deposit to the Capacity Subaccount of the Reserve Account, such deposit reducing the Class A1 Swap Notional Amount until it is reduced to zero and (ii) principal of any Outstanding Class S Notes, in the case of (i) and (ii) above, to the extent necessary to cause such Coverage Test to be satisfied as of such Period End Date, and second, to pay principal of any Outstanding Class A Notes (other than the Class A1 Notes), in order of seniority from the most Senior Class to the most Junior Class, in each case, to the extent necessary to cause such Coverage Test to be satisfied as of such Period End Date; (L) on each Payment Date other than the Maturity DateFinal, to the Collection Account as Interest Collections an amount equal to the Semi-Annual Interest ReserveAggregate;

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(M) to the payment of Periodic Interest on the Class B Notes (including, if no more Senior Class of Notes is Outstanding, Defaulted Interest thereon); (N) if the Principal Coverage Test or, from the second Payment Date, the Interest Coverage Test with respect to the Class B Notes is not satisfied on the Period End Date with respect to the related Payment Date, first, to pay pari passu (i) to the Holders of the Class A1 Notes, the Class A1 Note Amount, and then to deposit to the Capacity Subaccount of the Reserve Account, such deposit reducing the Class A1 Swap Notional Amount until it is reduced to zero and (ii) principal of any Outstanding Class S Notes, in the case of (i) and (ii) above, to the extent necessary to cause such Coverage Test to be satisfied as of such Period End Date, and second to pay principal of any Outstanding Class A2 Notes, Class A3 Notes, Class A4 Notes and Class B Notes, in order of seniority from the most Senior Class to the most Junior Class, in each case, to the extent necessary to cause such Coverage Test to be satisfied as of such Period End Date; (O) to the payment of the Periodic Interest Cumulative Shortfall Amount with respect to the Class B Notes; (P) to the payment of Periodic Interest on the Class C Notes (including, if no more Senior Class of Notes is Outstanding, Defaulted Interest thereon); (Q) if the Principal Coverage Test or, from the second Payment Date, the Interest Coverage Test with respect to the Class C Notes is not satisfied on the Period End Date with respect to the related Payment Date first, to pay principal of any Outstanding Class C Notes to the extent necessary to cause such Coverage Test to be satisfied as of such Period End Date, second, to pay pari passu (i) to the Holders of the Class A1 Notes, the Class A1 Note Amount, and then to deposit to the Capacity Subaccount of the Reserve Account, such deposit reducing the Class A1 Swap Notional Amount until it is reduced to zero and (ii) principal of any Outstanding Class S Notes, in the case of (i) and (ii) above, to the extent necessary to cause such Coverage Test to be satisfied as of such Period End Date, and third, to pay principal of any Outstanding Class A2 Notes, Class A3 Notes, Class A4 Notes and Class B Notes, in order of seniority from the most Senior Class to the most Junior Class, in each case, to the extent necessary to cause such Coverage Test to be satisfied as of such Period End Date; (R) if a Ratings Confirmation Failure has occurred, first, to pay pari passu (i) to the Holders of the Class A1 Notes, the Class A1 Note Amount, and then to deposit to the Capacity Subaccount of the Reserve Account, such deposit reducing the Class A1 Swap Notional Amount until it is reduced to zero and (ii) principal of any Outstanding Class S Notes, in the case of (i) and (ii) above, to the extent necessary to cause each Rating Agency to confirm or reinstate its respective Initial Ratings, and second, to pay principal of any other Outstanding Secured Notes, in order of seniority from the most Senior Class to the most Junior Class, in each case, to the extent necessary to cause each Rating Agency to confirm or reinstate its respective Initial Ratings; (S) to the payment of the Periodic Interest Cumulative Shortfall Amount with respect to the Class C Notes; (T) until the third anniversary of the Closing Date, at the Manager's option, to the Collection Account as Interest Collections for the next Period, up to the amount of Interest Collections received during the related Period representing accrued interest received on sale of Eligible Collateral Debt Securities to the extent not previously reinvested in Eligible Collateral Debt Securities; and

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(U)

any remaining amounts as follows:

(i) on and after the second Payment Date, 25% of any remaining amounts to pay, principal of the Outstanding Class C Notes; (ii) any remaining amounts after payments pursuant to clause (i) above, to the payment of Administrative Expenses not paid pursuant to clause (D) above (in the same order or priority), to the extent not paid in full thereunder due to the limitations stated therein; (iii) any remaining amounts after payments pursuant to clauses (i) and (ii) above, to pay pari passu Defaulted CDS Asset Termination Payments and termination payments and Implied Writedown Excess Payment Reimbursement Amounts and any other amounts due and payable to each CDS Asset Counterparty, CDS Collateral Securities Counterparty, Cashflow Swap Counterparty and any Hedge Counterparty in respect of any Subordinated CDS Asset/SCA Termination Payments, Cashflow Swap PaymentsDefaulted or Hedge PaymentsDefaulted, as the case may be; and (iv) any remaining amounts after payments pursuant to clauses (i) and (ii) and (iii) above, to the Income Note Paying Agent, on behalf of the Issuer, for distributions on the Income Notes (including for the redemption thereof, as applicable) in accordance with the Income Note Paying Agency Agreement. Application of Principal Collections on Payment Dates On each Payment Date, after giving effect to the application of Interest Collections pursuant to the Priority of PaymentsInterest Collections, Principal Collections with respect to such Payment Date, to the extent of Available Funds, will be applied by the Trustee in the following order of priority (the "Priority of PaymentsPrincipal Collections" and, together with the Priority of PaymentsInterest Collections, the "Priority of Payments"): (A) to the payment of amounts referred to in clauses (A) and (B) of the Priority of PaymentsInterest Collections (in the same order of priority) to the extent not paid in full thereunder; (B) to pay pari passu (i) to any CDS Asset Counterparty, any CDS Asset Principal Payments and CDS Asset/SCA Issuer Termination Payments (other than any Subordinated CDS Asset/SCA Termination Payments) owing to it, (ii) to any Covered Short CDS Asset Counterparty, any termination payments due under any Covered Short CDS Assets other than any Subordinated Covered Short CDS Termination Payments, and (iii) to the CDS Collateral Securities Counterparty, any CDS Asset/SCA Issuer Termination Payments (other than any Subordinated CDS Asset/SCA Termination Payments) owing to it; (C) to the payment of amounts referred to in clauses (C) through (G) of the Priority of PaymentsInterest Collections (in the same order of priority) to the extent not paid in full thereunder; (D) to pay, pari passu (i) to the Holders of any Class A1 Notes, the Class A1 Note Amount to the extent not paid previously with Interest Collections and (ii) to the payment of amounts referred to in clause (H)(ii) of the Priority of Payments Interest Collections to the extent not paid in full thereunder; (E) to the payment of amounts referred to in clauses (I) through (P) of the Priority of PaymentsInterest Collections to the extent not paid in full thereunder; (F) if the Principal Coverage Test or, from the second Payment Date, the Interest Coverage Test with respect to the Class C Notes is not satisfied on the Period End Date with respect to the related Payment Date, first, to pay pari passu (i) to the Holders of the Class A1 Notes, the Class A1 Note Amount, and then to deposit to the Capacity Subaccount of the Reserve Account, such deposit reducing

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the Class A1 Swap Notional Amount until it is reduced to zero and (ii) principal of any Outstanding Class S Notes, in the case of (i) and (ii) above, to the extent necessary to cause such Coverage Test to be satisfied as of such Period End Date, and second, to pay principal of any other Outstanding Secured Notes, in order of seniority from the most Senior Class to the most Junior Class, in each case, to the extent necessary to cause such Coverage Test to be satisfied as of such Period End Date; (G) to the payment of amounts referred to in clauses (R) through (S) of the Priority of PaymentsInterest Collections (in the same order of priority) to the extent not paid in full thereunder; (H) until the third anniversary of the Closing Date, at the Manager's option, to pay to the Collection Account, to remain available for application to the purchase of Eligible Collateral Debt Securities, an amount equal to any remaining Principal Collections; (I) first to pay pari passu (1) to the Holders of the Class A1 Notes, the Class A1 Note Amount, and then to deposit to the Capacity Subaccount of the Reserve Account, such deposit reducing the Class A1 Swap Notional Amount until it is reduced to zero and (ii) principal of any Outstanding Class S Notes until the Principal BalanceAggregate of the Class S Notes is reduced to zero and second, to pay principal of any Outstanding Class A2 Notes, Class A3 Notes, Class A4 Notes, Class B Notes and Class C Notes in such order until such Secured Notes are redeemed in full; (J) to the payment of the amounts referred to in clauses (U)(ii) and (U)(iii) of the Priority of PaymentsInterest Collections (in the same order of priority), to the extent not paid in full thereunder; and (K) any remaining amounts to the Income Note Paying Agent, on behalf of the Issuer, for distributions on the Income Notes (including for the redemption thereof, as applicable) in accordance with the Income Note Paying Agency Agreement. Application of Interest and Principal Collections; Compliance with Coverage Tests In connection with the Priority of Payments (1) for purposes of determining if any Coverage Test is satisfied such calculation will be determined after giving effect to any payments of principal pursuant to the clause providing for prepayment and any preceding clause on the related Payment Date and (2) payment of principal not constituting the Periodic Interest Cumulative Shortfall Amount with respect to each Class of Deferrable Interest Notes will be paid before principal constituting the Periodic Interest Cumulative Shortfall Amount, if any, with respect to such Class. Notwithstanding the Priority of Payments, no distributions may be made on any of the Income Notes on any Payment Date prior to the receipt by the Issuer of Rating Agency Confirmation in connection with the Ramp-Up End Date. On any Payment Date prior to receipt of such Rating Agency Confirmation, to the extent that the Issuer has excess funds that would otherwise have been distributed to the Holders of Income Notes pursuant to the Priority of Payments, such funds shall be retained by the Issuer and distributed to such Holders of Income Notes upon receipt of Rating Agency Confirmation. In determining the amount of any disbursement to be made, pursuant to the Priority of Payments, the Trustee on behalf of the Issuer will ensure that no such disbursement pursuant to any such clause will be made to the extent that such disbursement would cause any Coverage Test referred to in any such previous-lettered clause not to be satisfied, if such Coverage Test were recalculated as of the related Period End Date on a pro forma basis, after giving effect to such disbursement and each other disbursement theretofore made on such Payment Date pursuant to the Priority of Payments.

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Coverage Tests

The portfolio of Eligible Collateral Debt Securities and Eligible Investments shall satisfy the Principal Coverage Tests as of the Closing Date and the Ramp-Up End Date. The Coverage Tests will also be required to be satisfied as of the Period End Date related to any Payment Date (beginning with the second Payment Date, in the case of the Interest Coverage Tests). The Coverage Tests will be used on each Period End Date (beginning on the Period End Date relating to the second Payment Date in the case of the Interest Coverage Tests) while any Secured Notes are Outstanding to determine whether principal prepayments will be required to be made in accordance with the Priority of Payments. See "Priority of Payments" and "Risk Factors Mandatory Principal Prepayment of Notes". On the Closing Date, the Issuer will enter into a swap agreement (the "Class A1 Swap") with the Class A1 Swap Counterparty. The Class A1 Swap Counterparty will be required to satisfy the Class A1 Requisite Ratings. Citigroup Inc. will provide a guaranty for the Class A1 Swap Counterparty's performance under the Class A1 Swap in order to satisfy the Class A1 Requisite Ratings. See "The Class A1 Swap". Pursuant to the Class A1 Swap, the Issuer will be entitled to obtain Class A1 Note Fundings from time to time in an initial amount of up to U.S.$500,000,000, as reduced from time to time to the extent required in accordance with the Priority of Payments or in accordance with the terms of the Class A1 Swap (such initial amount, as reduced as of any date of determination, the "Class A1 Swap Notional Amount"). Subject to satisfaction of the conditions to borrowing, the Issuer may obtain Class A1 Note Fundings from time to time in an aggregate principal amount at any one time outstanding up to the full amount of the Class A1 Swap Notional Amount. The Issuer may obtain Class A1 Note Fundings only in order to (i) pay any CDS Asset Loss Payment, (ii) make any CDS Asset Interest Payment or (iii) pay any CDS Asset/SCA Issuer Termination Payment (other than a Subordinated CDS Asset/SCA Termination Payment). The Class A1 Swap will terminate on the Class A1 Swap Termination Date. On each Class A1 Note Funding Date, the Class A1 Swap Notional Amount will be reduced by the Principal BalanceAggregate of the Class A1 Notes issued on such date. The Class A1 Swap Notional Amount will not be increased after any such reduction. See "The Class A1 SwapNotional Amount".

General Terms of the Class A1 Swap and the Class A1 Notes

Class A1 Note Fundings

Reductions in Class A1 Swap Notional Amount

Class A1 Option Fee

The Class A1 Option Fee will accrue on the Class A1 Swap Notional Amount Average at a rate equal to 0.28% per annum (the "Class A1 Option Fee Rate") and will be payable in arrears on each Payment Date in accordance with the Priority of Payments. Interest shall accrue on the Class A1 Notes at the Periodic Interest Rate for the Class A1 Notes. On each Payment Date, the Issuer is required to make interest and principal payments on the Class A1 Notes in accordance with the Priority of Payments. If a Class A1 Swap Ratings Event shall occur and be continuing, and if the Mandatory Funding/Ratings Provisions are applicable, the Class A1 Swap Counterparty will take one of the following actions (at its own expense and while continuing otherwise to perform its obligations pursuant to the Class A1 Swap): (A) transfer all of its rights and obligations under the Class A1 Swap to another entity with ratings at least equal to the thresholds set forth in the definition of "Class A1 Swap Ratings Event"; or (B) cause an entity with ratings at least equal to the thresholds set forth in the definition of "Class A1 Swap Ratings Event" to guarantee or provide an indemnity or letter of credit in respect of the obligations of the Class A1 Swap Counterparty. In

Payments on Class A1 Notes

Class A1 Swap Ratings Event

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addition, if a Class A1 Swap Ratings Event has occurred and is continuing for 30 days, the Class A1 Swap Counterparty will be obligated to fund a Class A1 Mandatory Note Funding if the Mandatory Funding/Ratings Provisions are applicable. CDS Asset Collateral Account Establishment of Account The Trustee will establish the CDS Asset Collateral Account for the benefit of the CDS Asset Counterparties. The CDS Asset Collateral Account will initially have U.S.$369,000,000 on deposit, and the balance in such account may be increased and decreased from time to time at the discretion of the Manager; provided that, as of any date of determination, the sum of the balance in the CDS Asset Collateral Account plus the amount on deposit in the Capacity Subaccount of the Reserve Account plus the Class A1 Swap Notional Amount is at least equal to the Net Aggregate Adjusted Notional Amount as of such date (in other words, the CDS Asset Capacity Amount does not become a negative number). Amounts maintained in the CDS Asset Collateral Account will be assets of the Issuer and the claims of the CDS Asset Counterparties will not be limited to such amounts. Amounts will be transferred from the Capacity Subaccount of the Reserve Account to the CDS Asset Collateral Account at the discretion of the Manager. Amounts on deposit from time to time in the CDS Asset Collateral Account will be invested in CDS Collateral Eligible Securities in accordance with the CDS Collateral Agreement. Until the third anniversary of the Closing Date, the Manager may determine to use Sale Proceeds from dispositions of Cash Assets to increase the CDS Asset Capacity Amount. Upon making such a determination, the Manager must first repay any accrued and unpaid interest on and principal of the Class A1 Notes and then transfer any remaining Sale Proceeds to the CDS Asset Collateral Account in order to collateralize the acquisition of such additional CDS Assets. Until the third anniversary of the Closing Date, to the extent that on any Business Day any reduction in the CDS Reference Obligation Notional Amounts under one or more CDS Assets, after giving effect to any required payments in respect of CDS Assets, shall have resulted in a positive CDS Asset Capacity Amount, the Manager may, to the extent of such positive amount: (a) cause the liquidation of CDS Collateral Eligible Securities at the direction of the CDS Collateral Securities Counterparty pursuant to the terms under the CDS Collateral Agreement and transfer the proceeds thereof to the Collection Account to be treated as Principal Collections for application to the purchase of one or more Cash Assets selected by the Manager; provided that such liquidations and transfers shall be limited to not more than U.S.$100,000,000 on a cumulative basis over such three-year period; (b) acquire one or more additional CDS Assets having an aggregate notional amount up to such positive amount of CDS Asset Capacity Amount; or (c) cause the liquidation of CDS Collateral Eligible Securities pursuant to the terms under the CDS Collateral Agreement and transfer the proceeds thereof to the Collection Account for the purpose of making payments in accordance with the Priority of Payments. Funding the Account Pursuant to the Priority of Payments and provided that any accrued interest on and principal of any Class A1 Notes has been repaid, Principal Collections will be paid into the Capacity Subaccount of the Reserve Account to the extent that the Class A1 Swap Notional Amount has not been reduced to zero. Any such payments into the CDS Asset Collateral Account pursuant to the previous sentence will reduce the Class A1 Swap Notional Amount to the extent of the amounts deposited.

Deposits to and Investments in the Account Discretionary Transfers to the Account

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Use of Funds in the Account

The amounts available in the CDS Asset Collateral Account will be used to make CDS Asset Payments directly to CDS Asset Counterparties or, in the case of CDS Asset Payments payable on Payment Dates, to make transfers to the Collection Account for the making of such CDS Asset Payments and other payments in accordance with the Priority of Payments. On the Closing Date, the Issuer will enter into a total rate of return swap (the "CDS Collateral Agreement") with the CDS Collateral Securities Counterparty with an initial notional amount of U.S.$369,000,000 and total available notional amount of U.S.$500,000,000, pursuant to which the CDS Collateral Securities Counterparty will agree (i) to purchase the CDS Collateral Eligible Securities from the Issuer at par or otherwise to cover any loss and receive any gains on the sale of CDS Collateral Eligible Securities and (ii) to provide a return on the CDS Collateral Required Amount equal to LIBOR. The Issuer will pay to the CDS Collateral Securities Counterparty (i) any gains on the CDS Collateral Eligible Securities in excess of par (in the aggregate) upon the termination of one or more transactions according to the terms of the CDS Collateral Agreement and (ii) any interest from the CDS Collateral Eligible Securities credited to the CDS Asset Collateral Account.

Total Rate of Return Swap

Reserve Account Establishment of Account and Deposits Into Account The Trustee will establish the Reserve Account for the benefit of the Secured Parties and will deposit into segregated subaccounts of the Reserve Account (i) the proceeds of all Class A1 Note Fundings (other than a Class A1 Mandatory Note Funding and any Class A1 Note Funding following the occurrence of a Class A1 Mandatory Note Funding) into the Class A1 Note Funding Subaccount, (ii) transfers made to the Reserve Account pursuant to the Priority of Payments into the Capacity Subaccount and (iii) any and all collateral that the CDS Collateral Securities Counterparty is required to post upon the occurrence of a CDS Collateral Ratings Event into the Posted Collateral Subaccount. Amounts held in the sub-account described in clause (iii) above will not be available to the Issuer until the occurrence of a CDS Collateral Ratings Event and will not be included in the calculation of the CDS Asset Capacity Amount. Any deposits to the Capacity Subaccount of the Reserve Account will reduce the Class A1 Swap Notional Amount in the amount of such deposits to the extent so required pursuant to the Class A1 Swap or the Priority of Payments. If on any Business Day the Issuer is required to make a CDS Asset Payment, the Trustee will apply amounts on deposit in the Class A1 Note Funding Subaccount and Capacity Subaccount of the Reserve Account as and to the extent required in the CDS Payment Priority. The Manager may, at its discretion with prior notice to the Trustee and with the prior consent of the CDS Collateral Securities Counterparty, at any time transfer amounts on deposit in the Capacity Subaccount of the Reserve Account to the CDS Asset Collateral Account.

Use of Funds in the Account

Discretionary Transfers from the Account

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Security for the Secured Obligations General Pursuant to the Indenture, the Secured Obligations will be secured, in accordance with the Priority of Payments, by (i) the Collateral Obligations and all payments thereon or with respect thereto and all related securities entitlements, (ii) the Issuer's right, title and interest in, to and under the Transaction Documents, (iii) the Accounts, (iv) any Cash or money held by the Trustee from time to time, (v) the Issuer's rights under the Class A1 Swap, (vi) the Issuer's rights under the CDS Collateral Agreement, (vii) any Covered Short CDS Asset, (viii) all other property and agreements of the Issuer, excluding the Excluded Property, and (ix) all proceeds of the foregoing (collectively, the "Collateral"). See "Security for the Secured Obligations". The Class Q Combination Notes are not separately secured by the Collateral, but the Class C Component of the Class Q Combination Notes is secured in the same manner and to the same extent as the Class C Notes. The Income Notes (including the Income Note Component of the Class Q Combination Notes) will constitute limited recourse debt obligations of the Issuer and will not be secured. See "Security for the Secured Obligations" and "Risk Factors Status of the Income Notes" and "Nature of the Eligible Collateral Debt Securities and Inherent Risks". Eligible Collateral Debt Securities The composition of the Eligible Collateral Debt Securities will be determined by the selections of the Manager and will be designed to meet the Portfolio Quality Tests, certain of the Portfolio Limitations and the Principal Coverage Tests as of the Closing Date and all such criteria will be met as of the Ramp-Up End Date. The "Eligible Collateral Debt Securities" will consist of Asset Backed Securities that comply, including CDS Assets with respect to which the CDS Reference Obligation thereof and each permitted Deliverable Obligation thereunder is an Asset Backed Security that complies, with the following criteria on the date of the commitment to purchase by the Issuer: (A) such security is issued by (a) an issuer incorporated or organized under the laws of the United States of America or (b) an Eligible SPV; (B) (1) (2) (3) (4) (5) (6) (7) (8) (9) (C) (1) (2) (3) such security is, as reasonably determined by the Manager: a Multi-Sector CDO Security; a Real Estate CDO Security; a Home Equity Loan Security; a CDO of CDO Security; a CDO Security; an ABS CDO Security; a CLO Security; an RMBS Security; or a Static Bespoke CDO Security; such security is not, as reasonably determined by the Manager, a CMBS Credit Tenant Lease Security; a CMBS Single Asset Security; a CMBS Conduit Security;

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(4) (5) (6) (7) (8) (9) (10) (11) (12) (13) (14) (15) (16) (17) (18) (19) (20) (21) (22) (23) (24) (25) (26) (27) (28) (29) (30) (31) (32) (33) (34) (35) (36) (37) (38) (39) (40) (41) (42) (43)

a CMBS Large Loan Security; a Franchise Security; a Manufactured Housing Security; a Mutual Fund Security; a Tobacco Settlement Security; an Aircraft Security; a Project Finance Security; a Stranded Utility Asset Security; a Tax Lien Security; a Healthcare Security; an Oil and Gas Security; a Future Flow Security; a NIM Security; an Interest Only Security; a Principal Only Security; a Catastrophe Bond; a Restaurant and Food Services Security; a Structured Settlement Security; an Enhanced Equipment Trust Certificate; a Natural Resource Security; a Real Estate Investment Trust Preferred Security; a CBO Security; an Index Security; a Time Share Security; an Equipment Leasing Security; a Cap Corridor Floater; an Emerging Markets CDO Security; a Bank Trust Preferred CDO Security; an Insurance Trust Preferred CDO Security; a Market Value CDO Security; a Balance Sheet CDO Security; an ABS Small Business Loan Security; an Automobile Lease Security; an Automobile Loan Security; a Credit Card Security; a Guaranteed Debt Security; a Student Loan Security; a Project Finance CDO Security; a Toggle Security; a Negative Amortization Security;

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(44) (45) (46)

a Step-Down Bond; a Contingent CDO Security; or an Inverse Floating Rate Security;

(D) the acquisition (including the manner of acquisition), ownership, enforcement and disposition of such security will not cause the Issuer to be treated as engaged in a United States trade or business for United States Federal income tax purposes or otherwise to be subject to tax on a net income basis in any jurisdiction outside the Issuer's jurisdiction of incorporation; (E) the payments on such security are not subject to withholding tax unless the issuer thereof or the obligor thereon is, according to the offering documentation therefor, required to make "gross-up" payments sufficient to cover any withholding tax on an after-tax basis imposed at any time on payments made to the Issuer with respect thereto; (F) such security was issued after July 18, 1984 and is Registered (or, in the case of a certificate of interest in a trust that is treated as a grantor trust for and is Registered for United States Federal income tax purposes, each of the securities or obligations held by such trust meets the requirements described in this clause); (G) either: (1) such security was issued pursuant to an effective registration statement under the Securities Act in a "firm commitment" or "best efforts" underwriting; or (2) at its original issuance, such security (x) was issued pursuant to an offering circular, private placement memorandum, prospectus or similar offering document and (y) is a privately placed security eligible for resale under Rule 144A, Regulation S or another exemption under the Securities Act; (H) the acquisition of such security would not cause the Issuer or the pool of Collateral to be required to register as an investment company under the Investment Company Act; (I) such security is not a security that is ineligible under its Underlying Instruments to be purchased by the Issuer and pledged to the Trustee; (J) such security provides for the payment of principal in Cash at not less than par upon maturity, redemption or acceleration; (K) the Underlying Instruments of such security do not obligate the Issuer to make any future advances or any other payment except the purchase price thereof; (L) such security does not have a Spread or fixed-rate coupon that decreases over a specified period of time; (M) such security is not a Credit Risk Security, a Defaulted Security or a Written Down Security; (N) such security is not: (1) a security issued by an issuer located in a country that imposes foreign exchange controls that effectively limit the availability or use of United States dollars to make when due the scheduled payments of principal of and interest on such security; (2) Margin Stock and does not provide for conversion or exchange into Margin Stock at any time over its life; (3) an obligation which (x) was incurred in connection with a merger,

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acquisition, consolidation or sale of all or substantially all of the assets of a Person or similar transaction and (y) by its terms is required to be repaid within one year of the incurrence thereof with proceeds from additional borrowings or other refinancing; (4) the subject of (x) any offer by the issuer of such security or by any other Person made to all of the holders of such security to purchase or otherwise acquire such security (other than pursuant to any redemption in accordance with the terms of the related Underlying Instruments) or to convert or exchange such security into or for cash, securities or any other type of consideration or (y) any solicitation by an issuer of such security or any other Person to amend, modify or waive any provision of such security or any related Underlying Instrument, and has not been called for redemption; (5) an Equity Security; (6) a security that by the terms of its Underlying Instruments provides for conversion or exchange (whether mandatory or at the option of the issuer or the holder thereof) into equity capital at any time prior to its maturity; or (7) (O) a financing by a debtor-in-possession in any insolvency proceeding; such security is not a first-loss tranche;

(P) such security is not a security that provides for the payment of interest in Cash less frequently than semi-annually; (Q) such security is not currently deferring interest;

(R) such security is not a security with an S&P Rating that includes a "p", "pi", "q", "r" or "t" subscript; (S) such security is not a security with a rating by Moody's that addresses solely the return of principal; (T) since the issue date of such security, the public rating of such security has not been reduced (A) two or more times (in the aggregate) by either S&P or Moody's or (B) one time by S&P or Moody's if such security (x) has a public rating (subsequent to such downgrade) of "BBB" or "BBB-" by S&P or "Baa2" or "Baa3" by Moody's or (y) has been placed on watch for possible downgrade by Moody's or S&P; provided that if the most recent rating action on such security is positive watch or an upgrade by either S&P or Moody's, any such security which would otherwise not have satisfied this clause (T) will be deemed to have satisfied this clause (T). (U) such security is denominated and payable in United States dollars;

(V) other than with respect to a Fixed Rate Security or Floating Rate Security Deemed, it is a security the interest rate on which resets no less frequently than annually after the date of purchase by the Issuer pursuant to a dollar-based index; (W) if such security is a Guaranteed Debt Security, the insurance provider of such security has a rating of at least "Aaa" by Moody's or a rating of at least "AAA" by S&P; (X) the purchase price of such security is at least 85% of its Principal Balance;

(Y) if such security is a Floating Rate SecurityDeemed, it has a Moody's Rating of at least "Aa3"; and (Z) such security is expected to mature, as reasonably determined by the Manager, before the Maturity DateStated; provided that, notwithstanding anything to the contrary in the Indenture, the Issuer may not purchase, acquire or hold (whether as part of a "unit" with an Eligible

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Collateral Debt Security, in exchange for an Eligible Collateral Debt Security or otherwise) any Tax Ineligible Investment. Unless the context otherwise requires, all references herein to Eligible Collateral Debt Securities mean Eligible Collateral Debt Securities owned by the Issuer. CDS Assets On the Closing Date, the Issuer will enter into a Master Agreement and Schedule with the Initial CDS Asset Counterparty, pursuant to which the Issuer may enter into credit default swaps or total rate of return swaps from time to time by executing and delivering confirmations on (i) a "Pay-As-You-Go Confirmation" or (ii) ISDA confirmation forms other than a Pay-As-You-Go Confirmation that have been approved by the Manager and that receive Rating Agency Confirmation from each Rating Agency. After the Closing Date, the Issuer may enter into additional agreements under Pay-As-You-Go Confirmations or forms other than a Pay-As-You-Go Confirmation (collectively, together with the credit default swaps entered into with the Initial CDS Asset Counterparty, the "CDS Assets") with additional counterparties that meet the eligibility requirements applicable to CDS Asset Counterparties (collectively, with the Initial CDS Asset Counterparty, the "CDS Asset Counterparties"). Each CDS Asset will reference a notional amount of one or more CDS Reference Obligations consisting of Eligible Collateral Debt Securities. Under the CDS Assets, the Issuer will sell credit protection and will assume credit and interest rate risk with respect to each CDS Reference Obligation. The Issuer will receive CDS Fixed Amounts and, if any, Additional Fixed Amounts from each CDS Asset Counterparty determined in accordance with the terms of each CDS Asset. The Issuer will pay "Floating Amounts" (as such term is defined in the relevant CDS Asset) and payments in respect of Credit Events or termination events, as the case may be, to each CDS Asset Counterparty in accordance with the terms of each CDS Asset and, in the case of CDS Asset Payments payable on Payment Dates, the Priority of Payments. See "Security for the Secured ObligationsCDS Assets". The Issuer will release amounts from the CDS Asset Collateral Account and the Capacity Subaccount of the Reserve Account and, to the extent that the amounts on deposit therein are less than the CDS Asset Payments that are due and owing by the Issuer and, to the extent of the CDS Asset Capacity Amount, obtain Class A1 Note Fundings and deposit all such amounts either (i) into the Collection Account for application as Principal Collections on the related Payment Date or (ii) into the Capacity Subaccount of the Reserve Account for payments due to any CDS Asset Counterparty between Payment Dates. See "Security for the Secured ObligationsCDS Asset Collateral Account" and "Reserve Account". Following a Credit Event, a CDS Asset Counterparty may elect physical settlement for all or a portion of the notional amount of the relevant CDS Reference Obligation pursuant to the related CDS Asset. In the event of a physical settlement, the CDS Asset Counterparty will deliver the CDS Reference Obligation to the Issuer in exchange for a payment in cash equal to the portion of the reference obligation notional amount that is physically settled. Covered Short CDS Assets At any time that the Issuer would be entitled to terminate all or any portion of any CDS Asset, the Manager may instead cause the Issuer to enter into one or more Covered Short CDS Assets, each of which will provide for cash or physical settlement at the option of the Issuer. The Issuer will only enter into a Covered Short CDS Asset with a Covered Short CDS Asset Counterparty with respect to a notional amount up to the CDS Reference Obligation Notional Amount of the related CDS Asset. No CDS Asset Counterparty will be under any obligation to enter into a Covered Short CDS Asset with the Issuer at any time. The entry into or purchase of a Covered Short CDS Asset by the Issuer will not be subject to satisfaction of the Portfolio Limitations or the Coverage Tests but will be

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subject to satisfaction of the Covered Short CDS Criteria as of the date on which the Issuer makes a binding commitment to enter into or purchase the Covered Short CDS Asset. The Issuer's ongoing rights and obligations with respect to Covered Short CDS Assets will not be taken into account for purposes of the Issuer's compliance with the terms of the Indenture except in connection with the Weighted Average Spread Minimum and any test described herein in which interest received is a necessary component of such test. See "Security for the Secured ObligationsCovered Short CDS Assets". Collateral Management Pursuant to the Management Agreement and in accordance with the reinvestment restrictions and certain other restrictions set forth in the Indenture and the Management Agreement, the Manager will manage the selection, acquisition and disposition of the Eligible Collateral Debt Securities on behalf of the Issuer. See "The Manager". Pursuant to the Priority of Payments, the Manager will receive certain fees for its services, including the Management Fee. For a description of compensation payable to the Manager, see "The Management AgreementCompensation of the Manager". Use of Proceeds The Issuer will use the proceeds from the issuance of the Notes (other than the Class A1 Notes), which are expected to be equal to approximately U.S.$539,200,000, to purchase, or enter into, a portfolio of Eligible Collateral Debt Securities on and after the Closing Date through the Ramp-Up End Date and to pay certain fees and expenses aggregating approximately U.S.$33,165,000. On the Closing Date, the Issuer expects to enter into CDS Assets having a Net Aggregate Adjusted Notional Amount of approximately U.S.$869,256,000, all of which will be acquired from an Affiliate of Citigroup. In addition, on the Closing Date, the Issuer will have purchased, or will have entered into agreements to purchase, Cash Assets with a Principal BalanceAggregate of approximately U.S.$100,000,000. See "Risk FactorsNature of the Eligible Collateral Debt Securities and Inherent Risks", "Purchase of Eligible Collateral Debt Securities; Certain Legal and Insolvency Considerations Related Thereto" and "Potential Conflicts of Interest with Citigroup Global Markets Inc.". Approximately U.S.$130,744,000 of the proceeds from the issuance of the Notes (other than the Class A1 Notes) will be deposited into the Principal Collection Account for use by the Issuer as part of the CDS Asset Capacity Amount and as a source of amounts available to acquire additional Cash Assets following the Closing Date, but prior to the Ramp-Up End Date. The balance of the proceeds from the issuance of the Notes (other than the Class A1 Notes) will be deposited into the CDS Collateral Account and into the Capacity Subaccount of the Reserve Account. Purchase of Additional Eligible Collateral Debt Securities; Ramp-Up End Date The Issuer will not be allowed to acquire Eligible Collateral Debt Securities after the Closing Date except under limited circumstances as specifically provided herein. See "Security for the Secured ObligationsSale of Eligible Collateral Debt Securities and CDS Assets", "Purchase of Eligible Collateral Debt Securities; Investment Criteria" and "Covered Short CDS Assets ". The Issuer expects to continue to acquire Eligible Collateral Debt Securities after the Closing Date that, on a cumulative basis together with the Eligible Collateral Debt Securities purchased on the Closing Date, will have a Principal BalanceAggregate of at least the Principal Balance Target as of the Ramp-Up End Date (inclusive of Eligible Collateral Debt Securities that are the subject of agreements to purchase entered into on or prior to the Ramp-Up End Date).

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Prior to the Ramp-Up End Date, if the Issuer on any date of determination is not satisfying any Portfolio Quality Test, Coverage Test or Portfolio Limitation, the Issuer (or the Manager on behalf of the Issuer) may, with the prior consent of Citibank, N.A. (in its capacity as the Initial CDS Asset Counterparty) sell any Eligible Collateral Debt Security and acquire (in accordance with the Investment Criteria) additional Eligible Collateral Debt Securities with the proceeds of such sale; provided that the CDS Asset Capacity Amount shall not be less than zero as a result of such sale. Credit Risk Securities, Defaulted Securities, Equity Securities or Tax Ineligible Investments may be sold at any time. During the period from the Closing Date until the third anniversary thereafter, following the sale of a Credit Risk Security or a Defaulted Security, the Manager will use commercially reasonable efforts to purchase (in compliance with the Investment Criteria) no later than 30 Business Days after the sale of such Credit Risk Security or Defaulted Security, one or more Eligible Collateral Debt Securities with a Principal BalanceAggregate at least equal to the Sale Proceeds (excluding accrued interest) from such sale; provided that the Manager may choose not to apply such Sale Proceeds to purchase any substitute Eligible Collateral Debt Securities. In addition, other than as part of a Redemption, any Eligible Collateral Debt Security that is not a Credit Risk Security, Defaulted Security, Equity Security or Tax Ineligible Investment may be sold at any time until the third anniversary of the Closing Date, subject to the satisfaction of certain conditions set forth herein. See "Security for the Secured ObligationsSale of Eligible Collateral Debt Securities and CDS Assets Discretionary Sales" and "Purchase of Eligible Collateral Debt Securities; Investment Criteria". Not more than five days after the Ramp-Up End Date, the Issuer (or the Manager on behalf of the Issuer) will request the Rating Agencies to confirm, in writing and within 20 Business Days after the Ramp-Up End Date, and so notify the Trustee, that they have not reduced or withdrawn the Initial Ratings. If any such rating is not confirmed, or is reduced or withdrawn, by either Rating Agency in connection with such requested confirmation on or before the first Payment Date (any such event, a "Ratings Confirmation Failure"), on each succeeding Payment Date, the Issuer will be required to pay principal of any Outstanding Secured Notes, in order of seniority from the most Senior Class to the most Junior Class, in each case, to the extent necessary to cause each Rating Agency to confirm or reinstate its respective Initial Ratings in accordance with the Priority of Payments. Portfolio Quality Tests The tests referred to below are collectively referred to herein as the "Portfolio Quality Tests". Unless otherwise indicated, for purposes of calculating the Portfolio Quality Tests, (i) other than with respect to the S&P CDO Monitor Test, the S&P Minimum Average Recovery RateMinimum and the Moody's RecoveryMinimum, Defaulted Securities will be excluded and (ii) other than with respect to the Moody's Asset Correlation FactorMaximum and the S&P CDO Monitor Test, a CDS Asset will be included as an Eligible Collateral Debt Security having the characteristics of such CDS Asset and not of the related CDS Reference Obligation. For purposes of the Moody's Asset Correlation FactorMaximum, a CDS Asset will be included as an Eligible Collateral Debt Security having the characteristics of the related CDS Reference Obligation and not of such CDS Asset. For purposes of the S&P CDO Monitor Test, a CDS Asset will be included as an Eligible Collateral Debt Security having the characteristics of the related CDS Reference Obligation for the related industry and otherwise as having the characteristics of such CDS Asset. For purposes of the Moody's Rating FactorMaximum, a CDS Asset will have a Moody's Rating Factor equal to the Moody's Rating of such CDS Asset. Measurement of the degree of compliance with the Portfolio Quality Tests will occur only on the Closing Date, the Ramp-Up End Date and in the limited circumstances where the Issuer invests in Eligible Collateral Debt Securities after the Closing Date. See "Security for the Secured ObligationsSale of Eligible Collateral Debt Securities and CDS Assets" and

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"Purchase of Eligible Collateral Debt Securities; Investment Criteria". (a) The "Moody's Rating FactorMaximum" will be satisfied if the Moody's Weighted Average Rating Factor does not exceed 125. (b) The "Weighted Average SpreadMinimum" will be satisfied if the Weighted Average Spread equals or exceeds 2.15%. (c) The "Moody's Asset Correlation FactorMaximum" will be satisfied if the Moody's Asset Correlation Factor does not exceed 31.0%; provided that the calculation of the Moody's Asset Correlation Factor is based on a number of assets equal to 55. (d) The "Weighted Average LifeMaximum" will be satisfied if the Weighted Average Life with respect to the portfolio of Eligible Collateral Debt Securities as a whole does not exceed 7 years minus the number of years (including fractions of a year) that has elapsed since the Closing Date. (e) The "Moody's RecoveryMinimum" will be satisfied if the Moody's Weighted Average Recovery Rate equals or exceeds 35.0%. (f) The "S&P Minimum Average Recovery RateMinimum" will be satisfied if the S&P Minimum Average Recovery Rate equals or exceeds the percentage indicated below for the most senior Class of Notes Outstanding as of such Measurement Date. Class of Notes Class A1, A2 or A3 Class A4 Class B Class C Percentage 40.0% 45.0% 55.0% 65.0%

(g) The "S&P CDO Monitor Test", when S&P has delivered the S&P CDO Monitor to the Trustee, will be satisfied if, for each Class of Notes rated by S&P, the S&P Loss Rate Differential of the S&P Proposed Portfolio is positive and will be improved as of any Measurement Date on or after the Ramp-Up End Date if, for each Class of Notes rated by S&P, the S&P Loss Rate Differential of the S&P Proposed Portfolio is greater than the S&P Loss Rate Differential of the S&P Current Portfolio. See "Security for the Secured ObligationsPortfolio Quality Tests". Portfolio Limitations "Portfolio Limitations" require that, for each row in the table below, unless otherwise stated, not more than the percentage or amount specified in Column A of such row of the Principal BalancePortfolio may consist of Eligible Collateral Debt Securities (measured by Principal Balance) having the characteristics specified in Column B of such row. Unless otherwise indicated, for purposes of calculating the Portfolio Limitations, (i) Defaulted Securities will be excluded and (ii) (other than the Portfolio Limitations that address CDS Assets, the interest rate, rating, payment frequency and maturity of an Eligible Collateral Debt Security), a CDS Asset will be included as an Eligible Collateral Debt Security having the characteristics of the related CDS Reference Obligation and not of such CDS Asset. Measurement of the degree of compliance with the Portfolio Limitations will occur only on the Closing Date, the Ramp-Up End Date and in the limited circumstances where the Issuer invests in Eligible Collateral Debt Securities after the Closing Date. See "Security for the Secured ObligationsSale of Eligible Collateral Debt Securities and CDS Assets" and "Purchase of Eligible Collateral Debt Securities; Investment Criteria".

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Row 1 2 3 4 5 6 7 8 9 10

Column A 8.0% 0.0% 2.0% 0.0% 10.0% 100.0% 2.0% 100.0% 100.0% 10.0%

Column B a Moody's Rating below "A2" or an S&P Rating below "A" a Moody's Rating below "A3" or an S&P Rating below "A-" part of the same issue; provided that up to two exceptions may each comprise up to 3.5% of the Principal BalancePortfolio Eligible Collateral Debt Securities for which the Manager serves as collateral manager, investment advisor or sub-advisor Served by the same collateral manager, investment advisor or sub-advisor CDO Securities CDO of CDO Securities ABS CDO Securities CDO Securities that are also PIK Bonds Maturing beyond the Maturity DateStated; provided that (i) up to 5.00% of the Principal BalancePortfolio may consist of Eligible Collateral Debt Securities maturing later than five years after the Maturity DateStated and (ii) no Eligible Collateral Debt Security may mature later than ten years after the Maturity DateStated Eligible Collateral Debt Securities that pay interest less frequently than quarterly CDS Assets for which the related CDS Reference Obligations do not bear interest based on a floating rate Semi-Annual Securities Cash Assets RMBS Securities (which include Home Equity Loan Securities) Static Bespoke CDO Securities; provided that the Issuer may own only one Eligible Collateral Debt Security that is a Static Bespoke CDO Security The Issuer will, on or prior to the Closing Date, enter into a Cashflow Swap Agreement for purposes of managing the Issuer's risk exposure relating to the possible shortfalls in payments of interest on the Class S Notes and the Class A Notes relating to the presence of PIK Bonds in the Collateral. In addition, the Issuer may, from time to time, enter into interest rate cap agreements, interest rate floor agreements, interest rate swap agreements or similar agreements that hedge the Issuer's interest rate exposure as described herein. Any payments required to be made under the Hedge Agreements will be made in accordance with the Priority of Payments. See "Priority of Payments" and "Security for the Secured Obligations Hedge Agreements". The Issuer does not intend to enter into any Hedge Agreements on or prior to the Closing Date.

11 12 13 14 15 16

5.0% 5.0% 5.0% 20.0% 5.0% 2.0%

Cashflow Swap Agreements

Hedge Agreements

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Additional Information The Offering The Notes are being offered (i) outside the United States to Non-U.S. Persons in accordance with Regulation S and (ii) in the United States to QPs who are also QIBs or, in the case of the Class B Notes, Class C Notes, Class Q Combination Notes and the Income Notes only, Accredited Investors, purchasing for their own account and, in each case, in accordance with any applicable securities laws of any state of the United States and any other relevant jurisdiction. Each Class of Notes will be issued and may be transferred only in the minimum denominations and integral multiples in excess thereof specified in the Principal Terms Table. Each Secured Note sold in the United States to a U.S. Person that is a QIB will be represented by one or more permanent global notes in definitive, fully registered form without interest coupons attached (the "Rule 144A Global Notes"). The Rule 144A Global Notes will be deposited with the Trustee as custodian for DTC and will be registered in the name of Cede & Co., as nominee of DTC. The Class B Notes and Class C Notes initially sold in the United States to a U.S. Person that is an Accredited Investor and the Class Q Combination Notes and the Income Notes sold in the United States to U.S. Persons will be issued in the form of one or more physical certificates in definitive, fully registered form only, registered in the name of the beneficial owner or a nominee thereof (collectively, the "Certificated Notes"). Each Secured Note, Class Q Combination Note and Income Note sold to Persons who are not U.S. Persons in Offshore Transactions in accordance with Regulation S will be represented by one or more temporary global notes in definitive, fully registered form without interest coupons attached (the "Temporary Regulation S Global Notes") which may be exchanged for one or more permanent global notes in definitive, fully registered form without interest coupons attached (the "Regulation S Global Notes" and, together with the Temporary Regulation S Global Notes and the Rule 144A Global Notes, the "Global Notes"). The Temporary Regulation S Global Notes and Regulation S Global Notes will be deposited with the Trustee acting as custodian for DTC and registered in the name of DTC (or its nominee) for credit to the applicable purchaser accounts at Euroclear and Clearstream. Interests in the Temporary Regulation S Global Notes and the Regulation S Global Notes may be held only through Euroclear or Clearstream and may not be held by a U.S. Person at any time. Listing Application has been made to the Irish Financial Services Regulatory Authority (the "Financial Regulator"), as competent authority under Directive 2003/71/EC (the "Prospectus Directive") for the Prospectus (the "Prospectus") to be approved. This Offering Circular constitutes the Prospectus for the purposes of the Prospectus Directive. Application will be made to the Irish Stock Exchange for the Listed Notes to be admitted to the Official List and to trading on its regulated market. There can be no assurance that such listing will be approved or maintained. Approval by the Financial Regulator relates only to the Notes that are to be admitted to trading on the regulated market of the Irish Stock Exchange or other regulated markets for the purposes of the Directive 93/22/EEC or which are to be offered to the public in any Member State of the European Economic Area. See "Listing and General Information". For a discussion of certain tax consequences to purchasers of the Notes, see "Certain Tax

Minimum Denominations

Form and Registration

Certain Tax

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Considerations Certain ERISA Considerations Governing Law

Considerations" herein. For a discussion of certain ERISA-related restrictions on the ownership and transfer of the Notes, see "Certain ERISA Considerations" herein. The Notes and the Transaction Documents (other than as set forth in the immediately following sentence) will be governed by, and construed in accordance with, the laws of the State of New York. The Administration Agreement and the Articles will be governed by, and construed in accordance with, the laws of the Cayman Islands.

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RISK FACTORS An investment in the Notes involves significant risks that each prospective purchaser should carefully consider prior to making an investment decision with respect to the Notes. Prospective investors should carefully consider, in addition to the matters set forth elsewhere in this Offering Circular, the following factors. 1. Limited Assets to Make Payments on the Secured Notes and to Pay Distributions on the Income Notes. The Co-Issued Notes will be joint and several limited recourse debt obligations of the Co-Issuers. The Non-Co-Issued Notes will be limited recourse debt obligations of the Issuer only. The Secured Notes will be payable solely from and to the extent of the available proceeds from the Collateral (including the Eligible Collateral Debt Securities owned by the Issuer and pledged to secure the Secured Obligations on the Closing Date, as well as Eligible Collateral Debt Securities to be purchased from time to time as described herein). The Issuer, as a special purpose company, will have no significant assets other than the Collateral to be pledged to secure the Secured Obligations. The Income Notes will be unsecured and will be payable solely from proceeds of the Collateral released from the lien of the Indenture in accordance with the Priority of Payments. The Co-Issuer will have no substantial assets. Except for the Co-Issuers, no Person will be obligated to make any payments on the Co-Issued Notes and, except for the Issuer, no Person will be obligated to make any payments on the Non-Co-Issued Notes. Consequently, Holders of the Notes must rely solely upon distributions on the Eligible Collateral Debt Securities and any other Collateral for the payment of amounts payable in respect of the Notes. If distributions on such Collateral are insufficient to make payments on the Secured Notes or to pay distributions on the Income Notes, all in accordance with the Priority of Payments, no other assets of the Issuer or any other Person will be available for the payment of the deficiency. After the disposition of all proceeds of the Collateral, any remaining claims against the Applicable Issuers will be extinguished and will not revive thereafter and no funds will be available to the Income Note Paying Agent for payment of distributions on the Income Notes pursuant to the Income Note Paying Agency Agreement. 2. Subordination of the Notes. Payments of principal of and interest on the Secured Notes, and distributions on the Income Notes, will be subject to the Priority of Payments. All Classes of Notes will be subordinated to certain other payments under the Priority of Payments. In addition, to the extent set forth in the Priority of Payments, each Junior Class of Notes will be subordinated to the respective Senior Classes of Notes (as specified in the Principal Terms Table). The Income Notes will be subordinated to the Secured Notes and all other amounts due under the Priority of Payments. Any amounts applied to pay distributions on the Income Notes will not be available to support payments of principal and interest subsequently payable in respect of the Secured Notes. The holders of the Income Notes are not entitled to a stated return on their investment; however, the Issuer will not be permitted to attempt a Redemption that is not at the direction of the Holders of the Income Notes on or after the Mandatory Redemption DateInitial unless the Holders of the Income Notes have received the Required Amount. If any interest payable on any Class of non-Deferrable Interest Notes or a Class of Deferrable Interest Notes that is the most Senior Class of Note Outstanding is not paid on the applicable Payment Date, such nonpayment will constitute an Event of Default and such interest will be considered Defaulted Interest payable in accordance with the Priority of Payments and will not be added to the principal amount of such Junior Class. To the extent lawful and enforceable, interest on Defaulted Interest with respect to any Note of any Class will accrue at the Periodic Interest Rate for such Class until paid as described herein. However, Defaulted Interest (and interest accruing thereon) will not be included in the computation of the denominator of any of the Principal Coverage Ratios or Interest Coverage Ratios. If any interest is not paid on any Class of Deferrable Interest Notes on any Payment Date on any Note that is not the most Senior Class of Note Outstanding, the amount of such shortfall will not be deemed due and payable under the Indenture (and the failure to pay such amount will not constitute an Event of Default), but the Periodic Interest Cumulative Shortfall Amount for such Class of Deferrable Interest Notes will be increased by the amount of such interest shortfall, which will not be payable as Periodic Interest on any subsequent Payment Date. The Periodic Interest Cumulative Shortfall Amount for each Class of Deferrable Interest Notes as of any Payment Date will be added to the principal amount of such Class of Deferrable Interest Notes and will accrue interest for each subsequent Periodic Interest Accrual Period at the Periodic Interest Rate for such Class as a constituent of the principal amount of such Class of Deferrable Interest Notes, and such accrued interest will be payable on any subsequent Payment

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Date pursuant to the Priority of Payments as interest on such Class of Deferrable Interest Notes or added to the Periodic Interest Cumulative Shortfall Amount as aforesaid. For purposes of determining seniority, the Class Q Combination Notes shall not be treated as a separate Class, but the Class C Component and the Income Note Component, as applicable, shall have the same ranking as the Class C Notes and the Income Notes, respectively. In addition, in certain situations, the Class A1 Swap Counterparty may be entitled to direct the Trustee to exercise certain remedies available to it, which may be adverse to the Holders of each Outstanding Junior Class of Notes. The Issuer will have only nominal equity capitalization in the form of its Ordinary Shares, and the Co-Issuer will have only nominal equity capitalization in the form of its common equity of U.S.$100. To the extent that any elimination, deferral or reduction in payments on the Notes occurs, such elimination will be borne by the Notes in reverse order of seniority. Thus, the greatest risk of loss relating to defaults on the Eligible Collateral Debt Securities will be borne by the Income Notes. To the extent that a default occurs with respect to any Eligible Collateral Debt Security and the Trustee sells or otherwise disposes of such Eligible Collateral Debt Security, it is likely that the proceeds of such sale or other disposition will be less than the unpaid principal and interest on such Eligible Collateral Debt Security. Funds available for distribution to the Income Notes will be reduced by losses occurring on the Eligible Collateral Debt Securities, and returns on the Income Notes will be adversely affected as a result. 3. Risks Related to Liquidation of Collateral Upon an Event of Default. In the case of certain Events of Default, the Requisite Noteholders (which initially will be the Class A1 Swap Counterparty) will be entitled to determine the remedies to be exercised under the Indenture and may, at their sole discretion, direct the liquidation of the Collateral and, in some specified circumstances, even if the anticipated net proceeds of such liquidation would not be sufficient to pay all the Secured Notes in full. See "The Indenture and the Income Note Paying Agency AgreementEvents of Default". In the event the Collateral is liquidated under these circumstances, the likelihood that the Holders of the Secured Notes will be paid in full, and the amounts payable to the Holders of the Income Notes, will depend upon the value of the Eligible Collateral Debt Securities that may be realized upon their liquidation rather than the Issuer's ability to collect principal of and interest on (or payments due to the Issuer under any CDS Asset, as applicable) the Eligible Collateral Debt Securities as they become due. The market value of the Eligible Collateral Debt Securities will generally fluctuate with, among other things, changes in market rates of interest, general economic conditions, world political events, developments or trends in any particular industry, the conditions of financial markets and the financial condition of the issuers of securities similar to the Notes. Remedies pursued by the Requisite Noteholders could and are likely to be adverse to the interests of the Notes junior to the Requisite Noteholders. Holders of the Income Notes will have no right to determine the remedies to be exercised under the Indenture upon an Event of Default. There can be no assurance that, following any liquidation of the Collateral and the application of the proceeds thereof to pay the fees, expenses and other liabilities payable by the Co-Issuers, sufficient funds will remain to pay the Secured Notes, or that any funds will remain to make any distributions on the Income Notes. 4. Modification of the Indenture and the Income Note Paying Agency Agreement without Noteholder Consent. The provisions of the Indenture and the Income Note Paying Agency Agreement may be modified subject to the satisfaction of various conditions precedent. In certain cases, the consent of Holders of Notes is required for such modifications, but, in certain cases, such consent is not required. See "The Indenture and the Income Note Paying Agency AgreementModification of the Indenture" and "Voting Rights of the Holders of Income Notes". The terms of the Notes provide that in certain circumstances in which Holders of Notes are permitted to vote, a failure to cast a vote, including an abstention by the Holder, will be treated as a vote in favor of the underlying proposal. Each Holder of Notes should pay particular attention to any request for a vote on any matter that may affect its interests. 5. Status of the Income Notes. The Income Notes will represent a residual interest in the assets of the Issuer and will not be secured by the Eligible Collateral Debt Securities or the other Collateral securing the

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Secured Obligations. As such, the Holders of the Income Notes will rank behind all of the creditors, whether secured or unsecured and known or unknown, of the Issuer, including, without limitation, the Holders of the Secured Notes, the Class A1 Swap Counterparty, the Initial CDS Asset Counterparty, the Cashflow Swap Counterparty, the Hedge Counterparties, the Manager and any judgment creditors. Except with respect to the obligations of the Issuer to make payments pursuant to the Priority of Payments, the Issuer does not expect to have any creditors. 6. Undercollateralization of the Income Notes. A significant amount of the initial proceeds of the sale of the Notes will be applied to pay expenses incurred by the Issuer in connection with the offering of the Notes rather than to make investments in Eligible Collateral Debt Securities. As a result, the Income Notes will be undercollateralized when they are issued. In addition, during the lifetime of the transaction, except as described herein, excess Interest Collections will be paid to the Holders of the Income Notes, rather than being invested in additional Collateral Obligations. Therefore, the Income Notes will in all likelihood remain undercollateralized and it is highly likely that after payments of the Secured Notes and the other amounts payable prior to the Income Notes, Principal Collections will be insufficient to return the initial investment made in the Income Notes. Therefore, over the passage of time, Holders of Income Notes will have to rely on excess Interest Collections for their ultimate return. There can be no assurance that the distributions on the Collateral and other payments received by the Issuer, for example, pursuant to the CDS Assets, the Hedge Agreements, the Cashflow Swap Agreement, the CDS Collateral Agreement, the Eligible Investments, other amounts in the Accounts and proceeds thereof will be sufficient to make payments on the Income Notes after making payments which rank senior to payments on the Income Notes. The Issuer's ability to make payments in respect of the Income Notes will be limited by the terms of the Secured Notes. If distributions on the Collateral are insufficient to make payments on the Income Notes, no other assets will be available for payment of the deficiency. See "Description of the Notes". 7. Limited Liquidity and Restrictions on Transfer of the Notes. There is currently no market for any Notes and, as a result, a purchaser must be prepared to hold the Notes for an indefinite period of time or until the maturity or early redemption thereof. The Notes will be owned by a relatively small number of investors, and no assurance can be given that any secondary market for the Notes will develop, and it may be difficult for Holders of the Notes to determine the value of the Notes at any particular time. Purchasers of the Notes may find it difficult or uneconomic to liquidate their investment at any particular time. The Notes have not been and will not be registered under the Securities Act, under any United States state securities or "Blue Sky" laws or under the securities laws of any other jurisdiction and are being issued and sold in reliance upon exemptions from registration provided by such laws. No Notes may be sold or transferred unless (i) such sale or transfer is exempt from the registration requirements of the Securities Act (for example, in reliance on exemptions provided by Rule 144A, Regulation S or Section 4(2) of the Securities Act (or another available exemption from the registration requirements of the Securities Act)) and applicable state securities laws and (ii) such sale or transfer does not cause either of the Co-Issuers to become subject to the registration requirements of the Investment Company Act. See "Purchase and Transfer Restrictions". In addition, transfers of any interest in the Income Notes must meet the restrictions described under "Certain ERISA Considerations". Prospective transferees of the Certificated Notes will be required pursuant to the terms of the Indenture and the Income Note Paying Agency Agreement, as applicable, to deliver an investor certificate to the Trustee or the Income Note Paying Agent, as applicable, and the Issuer relating to compliance with the Securities Act, applicable state securities laws, ERISA and the Investment Company Act. 8. Average Lives, Redemption and Prepayment Considerations; Distributions on the Income Notes. The average life of each Class of Secured Notes and the date of redemption of the Income Notes are expected to be shorter than their respective Maturity DateStated. See "Certain Maturity and Prepayment Considerations". The average life of each Class of Secured Notes and the date of redemption of the Income Notes will be affected by the financial condition of the obligors on or issuers of the Eligible Collateral Debt Securities and the characteristics of the Eligible Collateral Debt Securities, including, among other factors, the existence and frequency of exercise of any prepayment, optional redemption or sinking fund features, the redemption price, the actual default rate and the actual level of recoveries on any Defaulted Securities, the frequency of tender or exchange offers for the Eligible Collateral Debt Securities and any sales of and reinvestment in Eligible Collateral Debt Securities.

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Generally, a higher level of prepayments would be expected in a decreasing rate environment. On the Mandatory Redemption DateInitial, the Trustee will liquidate the Collateral only if the proceeds of such liquidation are sufficient to pay outstanding expenses of the Co-Issuers, hedging costs and to redeem any Outstanding Secured Notes and to pay the Required Amount to the Holders of the Income Notes and any excess thereafter will be paid to the Holders of the Income Notes. The timing of the liquidation and the proceeds thereof will affect the returns on the Income Notes. See "Certain Maturity and Prepayment Considerations" and "Security for the Secured Obligations". 9. Forward-Looking Statements, Forecasts and Estimates. Estimates of the weighted average lives of the Notes and the date of redemption of the Income Notes, together with any forecasts and estimates provided to prospective purchasers of the Notes, are forward-looking statements and are based upon certain assumptions. Forward-looking statements are necessarily speculative in nature, and it can be expected that some or all of the assumptions underlying the forward-looking statements will not materialize or will vary significantly from actual results. Accordingly, the forward-looking statements are only an estimate. Actual results may vary from the forward-looking statements, and the variations may be material. Some important factors that could cause actual results to differ materially from those in any forward-looking statements include changes in interest rates, market, financial or legal uncertainties, the timing of acquisitions and sales of the Eligible Collateral Debt Securities, differences in the actual allocation of the Eligible Collateral Debt Securities among asset categories from those assumed, mismatches between the timing of accrual and receipt of Interest Collections and Principal Collections from the Eligible Collateral Debt Securities, available funds caps, floors or other caps on the interest rate payable on the Eligible Collateral Debt Securities, timing mismatches on the reset of the interest rates between the Eligible Collateral Debt Securities and the Secured Notes, the timing and frequency of defaults under the Eligible Collateral Debt Securities, the effectiveness of the Hedge Agreements, the Cashflow Swap Agreement, the CDS Assets, the CDS Collateral Agreement and the Class A1 Swap and differences in the actual prepayment rates with respect to the Eligible Collateral Debt Securities from those assumed, among others. Without limiting the generality of the foregoing, the inclusion of forward-looking statements herein should not be regarded as a representation by the Issuer, the Co-Issuer, the Manager, the Initial Purchaser, the Placement Agent, the Trustee or any of their respective affiliates or any other Person of the results that will actually be achieved by the Co-Issuers or any Class of Notes. None of the foregoing Persons has any obligation to update or otherwise revise any forward-looking statements, including any revisions to reflect changes in economic conditions or other circumstances arising after the date hereof or to reflect the occurrence of unanticipated events, even if the underlying assumptions do not come to fruition. Each prospective investor in the Notes should evaluate all relevant assumptions, models and inputs, should determine whether they are appropriate and should consider whether the Notes should be evaluated based on different assumptions, models and inputs. 10. Redemption; Potential Illiquidity and Volatility of Collateral Market Value. If the Secured Notes have not been redeemed or repaid in full on or prior to such date, the Issuer will attempt a Redemption in accordance with certain procedures specified in the Indenture, (i) on any Payment Date occurring on or after the Optional Redemption DateInitial, if the Issuer is so directed in writing by the Holders of not less than 66% of the Principal BalanceAggregate of the Outstanding Income Notes, (ii) on any Payment Date, if a Tax Event has occurred and is continuing and the Issuer is so directed in writing by a Majority of the Outstanding Income Notes or (iii) on the Mandatory Redemption DateInitial or any subsequent Payment Date, if the Secured Notes have not been redeemed or repaid in full on or prior to such date; provided, that certain conditions are satisfied. See "Description of the NotesRedemption". A Redemption will result in a liquidation and sale of the Eligible Collateral Debt Securities into the then-existing markets. The market value of the Eligible Collateral Debt Securities will generally fluctuate with, among other things, changes in prevailing interest rates, general economic conditions, the condition of certain financial markets, United States and international political events, developments or trends in any particular industry and the financial condition of the issuers of the Eligible Collateral Debt Securities. A decrease in the market value of the Eligible Collateral Debt Securities would adversely affect the Sale Proceeds which could be obtained upon the

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sale of Eligible Collateral Debt Securities and be available for distributions on the Income Notes following any sale or other disposition of the Collateral. Therefore, there can be no assurance that, upon any such redemption, the Sale Proceeds realized would permit payment on the Income Notes after required payments are made to the Holders of the Secured Notes. 11. Mandatory Principal Prepayment of Notes. If any of the Coverage Tests with respect to any Class or Classes of Secured Notes is not satisfied on the Period End Date related to a Payment Date (beginning with the second Payment, in the case of the Interest Coverage Tests), Interest Collections that otherwise would potentially have been paid or distributed to the Holders of each Class (other than the Class A Notes) that is a Junior Class with respect to such Class and Principal Collections will be applied (i) to pay the Class A1 Note Amount, (ii) as a deposit to the Capacity Subaccount of the Reserve Account, such deposit permanently reducing the Class A1 Swap Notional Amount until it is reduced to zero, and (iii) to repay principal of the other Classes of Secured Notes in order of seniority from the most Senior Class to the most Junior Class outstanding to the extent necessary to cause the applicable Coverage Test to be satisfied as described under "Summary of TermsPriority of Payments". This could result in an elimination, deferral or reduction in the amounts available to make interest payments or principal repayments to the Holders of the Secured Notes (other than the Class A Notes) and to make distributions to Holders of the Income Notes. 12. Effect of Ratings Confirmation Failure. The Manager's ability to acquire assets during the Ramp-Up Period will depend on a number of factors beyond the Manager's control, including the condition of certain financial markets, general economic conditions and United States and international political events, and thus there can be no assurance that such targets will be met. Not more than five days after the Ramp-Up End Date, the Issuer (or the Manager on behalf of the Issuer) will request the Rating Agencies to confirm, in writing and within 20 Business Days after the Ramp-Up End Date, and so notify the Trustee, that they have not reduced or withdrawn their Initial Ratings. If any such rating is not confirmed, or is reduced or withdrawn, by either Rating Agency in connection with such requested confirmation on or before the first Payment Date, the Issuer will be required to pay principal of any Outstanding Secured Notes, in order of seniority from the most Senior Class to the most Junior Class in accordance with the Priority of Payments, in each case, to the extent necessary to cause each Rating Agency to confirm or reinstate its respective Initial Ratings, which could result in an elimination, deferral or reduction in the amounts available to make distributions to Holders of the Income Notes. 13. Closing Date and Ramp-Up End Date Tests. The Issuer is required to satisfy the Portfolio Quality Tests and the Portfolio Limitations only as of the Closing Date and the Ramp-Up End Date. The portfolio of Eligible Collateral Debt Securities and Eligible Investments shall satisfy the Principal Coverage Tests as of the Closing Date and the Ramp-Up End Date. The Coverage Tests will also be required to be satisfied as of the Period End Date related to any Payment Date (beginning with the second Payment Date, in the case of the Interest Coverage Tests). Failure to satisfy the Portfolio Quality Tests or the Portfolio Limitations after the Ramp-Up End Date will not be an Event of Default and will not affect the Issuer's payment obligations. When investing in Eligible Collateral Debt Securities after the Closing Date and the Ramp-Up End Date, as applicable, in the limited circumstances expressly provided herein, the Portfolio Limitations, the Portfolio Quality Tests and the Coverage Tests will be required to be satisfied, or, if not satisfied immediately prior to such proposed investments, the degree of compliance with such unsatisfied criteria will be required to be maintained or improved after giving effect to such investment. 14. Nature of the Eligible Collateral Debt Securities and Inherent Risks. The Eligible Collateral Debt Securities will consist primarily of CDO Securities or CDS Assets referencing CDO Securities. CDO Securities are generally limited recourse obligations of the issuer thereof payable solely from the underlying CDO Assets of such issuer or proceeds thereof. Consequently, holders of CDO Securities must rely solely on distributions on the CDO Assets or proceeds thereof for payment in respect thereof. In addition, interest payments on CDO Securities (other than the most senior tranche or tranches of a given issue) are generally subject to deferral. If distributions on the CDO Assets (or, in the case of a Market Value CDO Security, proceeds from the sale of the CDO Assets) are insufficient to make payments on the CDO Securities, no other assets will be available for payment of the deficiency and following realization of the underlying assets, the obligations of the issuer of the related CDO Security to pay such deficiency will be extinguished. CDO Securities (particularly subordinated CDO Securities) may provide that

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to the extent funds are not available to pay interest, such interest will be deferred or paid "in-kind" and added to the outstanding principal balance of the related security. Generally, the failure by the issuer of a CDO Security to pay interest in cash does not constitute an event of default as long as a more senior class of securities of such issuer is outstanding and the holders of such securities (including the Issuer) will not have available to them any associated default remedies. See "CDO Assets May Defer Interest". The CDO Assets will themselves consist primarily of bonds (including investment grade bonds and high yield bonds), asset-backed securities (including residential mortgage-backed securities and home equity loan securities), commercial and corporate bank loans, and other debt securities (including trust preferred securities and sovereign debt), which are subject to liquidity, market value, credit, interest rate, reinvestment and certain other risks. The CDO Assets will generally be subject to greater risks than investment-grade corporate obligations. Such investments are normally considered speculative in nature. CDO Assets are typically (but not always) actively managed by a collateral manager, and as a result the CDO Assets will be traded, subject to rating agency and other constraints, by such collateral managers. The aggregate return on the CDO Assets will depend in part upon the ability of each collateral manager to actively manage the related portfolio of CDO Assets. Furthermore, there may be "overlap" of the CDO Assets among the CDO Securities, which subjects the Holders of Notes to a greater degree of risk with respect to defaults that occur with respect to a CDO Asset that is referenced by one or more CDO Securities, either held by the Issuer as a Cash Asset or referenced as a CDS Reference Obligation by a CDO Asset entered into by the Issuer. The Issuer will invest in the Eligible Collateral Debt Securities such that by the Ramp-Up End Date, the Eligible Collateral Debt Securities will consist primarily of CDO Securities and CDS Assets referencing CDO Securities as a CDS Reference Obligation with a limited number of Asset Backed Securities and Structured Finance Securities. The Eligible Collateral Debt Securities will be subject to certain portfolio restrictions as set forth herein. See "Summary of Terms Portfolio Quality Tests" and "Portfolio Limitations" above. However, the concentration of the Eligible Collateral Debt Securities in any one security type subjects the Holders of Notes to a greater degree of risk with respect to defaults on the Eligible Collateral Debt Securities and the measurement of compliance with such portfolio restrictions will be limited to the Closing Date, the Ramp-Up End Date and under the narrow circumstances pursuant to which the Issuer will be permitted to invest in Eligible Collateral Debt Securities following the Closing Date. The Eligible Collateral Debt Securities are subject to credit, liquidity, market value, interest rate and certain other risks. These risks could be exacerbated to the extent that the portfolio is concentrated in one or more particular Eligible Collateral Debt Securities. CDO Securities are in general privately placed and offer less liquidity than other investment-grade or high-yield corporate debt. They are also generally issued in structured transactions with risks different from regular corporate debt. In addition, the assets collateralizing Market Value CDO Securities are subject to liquidation upon the failure of certain tests, and it is likely that any such liquidation would result in a substantial loss of value of the related Market Value CDO Securities. Because the Eligible Collateral Debt Securities will be illiquid, prices for the Eligible Collateral Debt Securities may be difficult or impossible to obtain and it may be impossible to sell Eligible Collateral Debt Securities on economic terms or at all if the Manager decides to do so, or to liquidate the Eligible Collateral Debt Securities on economic terms or at all if the Manager or the Trustee is required to do so under the Indenture including in connection with a Redemption. To the extent prices may be obtained on some or all of the Eligible Collateral Debt Securities, those prices may be extremely 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 Eligible Collateral Debt Securities. In addition, the ability of the Issuer to sell Eligible Collateral Debt Securities prior to maturity is subject to certain restrictions set forth in the Indenture. Structured Finance Securities. A portion of the CDO Assets and a portion of the Eligible Collateral Debt Securities generally may consist of Structured Finance Securities, which present risks similar to those of the other types of Eligible Collateral Debt Securities in which the Issuer may invest and, in fact, such risks may be of greater significance in the case of Structured Finance Securities. Moreover, investing in Structured Finance Securities may entail a variety of unique risks. Among other risks, Structured Finance Securities may be subject to prepayment

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risk, credit risk, liquidity risk, market risk, structural risk, legal risk and interest rate risk (which may depend upon any associated hedge agreement providing for the exchange of interest accruing on the security being repackaged into interest stated to be payable on the trust certificates or similar securities). In addition, the performance of a Structured Finance Security will be affected by a variety of factors, including the level and timing of payments and recoveries on and the characteristics of the underlying repackaged securities, remoteness of those assets from the originator or transferor and the adequacy of and ability to realize upon any related collateral. Asset Backed Securities. A portion of the CDO Assets and a portion of the Eligible Collateral Debt Securities generally may consist of Asset Backed Securities, which present risks similar to those of the other types of Eligible Collateral Debt Securities in which the Issuer may invest and, in fact, such risks may be of greater significance in the case of Asset Backed Securities. Moreover, investing in Asset Backed Securities may entail a variety of unique risks. Among other risks, Asset Backed Securities may be subject to prepayment risk, credit risk, liquidity risk, market risk, structural risk, legal risk and interest rate risk (which may depend upon any associated hedge agreement providing for the exchange of interest accruing on the security being repackaged into interest stated to be payable on the trust certificates or similar securities). In addition, the performance of an Asset Backed Security will be affected by a variety of factors, including its priority in the capital structure of the issuer thereof, 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, remoteness of those assets from the originator or transferor, the adequacy of and ability to realize upon any related collateral and the capability of the servicer of the securitized assets. Loans. Issuers of CDO Securities may acquire interests in loans and other debt obligations by way of sale, assignment or participation. The purchaser of an assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, its rights can be more restricted than those of the assigning institution. Purchasers of loans are predominantly commercial banks, investment funds, mutual funds and investment banks. As secondary market trading volumes increase, new loans are frequently adopting standardized documentation to facilitate loan trading which may improve market liquidity. There can be no assurance, however, that future levels of supply and demand in loan trading will provide an adequate degree of liquidity or that the current level of liquidity will continue. Because of the provision to holders of such loans of confidential information relating to the borrower, the unique and customized nature of the loan agreement, and the private syndication of the loan, loans are not as easily purchased or sold as a publicly traded security, and historically the trading volume in the loan market has been small relative to the high yield debt market. In purchasing participations, an issuer of CDO Securities will usually have a contractual relationship only with the selling institution, and not the borrower. Each such issuer generally will have no right directly to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of set-off against the borrower, nor have the right to object to certain changes to the loan agreement agreed to by the selling institution. Such issuer may not directly benefit from the collateral supporting the related loan and may be subject to any rights of set-off the borrower has against the selling institution. In addition, in the event of the insolvency of the selling institution, under the laws of the United States and the States thereof, such issuer may be treated as a general creditor of such selling institution, and may not have any exclusive or senior claim with respect to the selling institution's interest in, or the collateral with respect to, the loan. Consequently, such issuer may be subject to the credit risk of the selling institution as well as of the borrower. Real Estate CDO Securities. A portion of the CDO Assets and a portion of the Eligible Collateral Debt Securities generally may consist of CMBS Securities, RMBS Securities and Home Equity Loan Securities. CMBS Securities are, generally, securities backed by obligations (including certificates of participation in obligations) that are principally secured by mortgages on real property or interests therein ("Commercial Mortgage Loans") having a multifamily or commercial use, such as shopping malls, other retail space, office buildings, industrial or warehouse properties, hotels, nursing homes and senior living centers. In addition to the other risks described above, the Commercial Mortgage Loans underlying CMBS Securities are subject to particular risks, including lack of standardized terms, shorter maturities than residential mortgage loans and payment of all or substantially all of the principal only at maturity rather than regular amortization of principal. Additional risks may

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be presented by the type and use of a particular commercial property. Special risks are presented by hospitals, nursing homes, hospitality properties and certain other property types. Commercial mortgage lenders typically look to the debt service coverage ratio of a loan secured by income-producing property as an important measure of the risk of default on such a loan. Commercial property values and net operating income are subject to volatility, which may result in net operating income becoming insufficient to cover debt service on the related mortgage loan. The repayment of loans secured by income-producing properties is typically dependent upon the successful operation of the related real estate project rather than upon the liquidation value of the underlying real estate. Furthermore, the net operating income from and value of any commercial property is subject to various risks, including changes in general or local economic conditions and/or specific industry segments; declines in real estate values; declines in rental or occupancy rates; increases in interest rates, real estate tax rates and other operating expenses; changes in governmental rules, regulations and fiscal policies; acts of God; terrorist threats and attacks and social unrest and civil disturbances. A commercial property may not readily be converted to an alternative use in the event that the operation of such commercial property for its original purpose becomes unprofitable. In such cases, the conversion of the commercial property to an alternative use would generally require substantial capital expenditures. The liquidation value of any such commercial property may be substantially less, relative to the amount outstanding on the related Commercial Mortgage Loan, than would be the case if such commercial property were readily adaptable to other uses. The exercise of remedies and successful realization of liquidation proceeds relating to Commercial Mortgage Loans underlying CMBS Securities may be highly dependent on the performance of the servicer or special servicer. There may be a limited number of special servicers available, particularly those which do not have conflicts of interest. Commercial Mortgage Loans underlying CMBS Securities may provide for no amortization of principal or may provide for amortization based on a schedule substantially longer than the maturity of the mortgage loan, resulting in a "balloon" payment due at maturity. If the underlying mortgage borrower experiences business problems, or other factors limit refinancing alternatives, such balloon payment mortgages are likely to experience payment delays or even default. As a result, the related CMBS Securities could experience delays in cash flow and losses. RMBS Securities are ownership or participation interests in pools of one-to-four-family residential mortgage loans. In addition to the risks described above, RMBS Securities are subject to particular risks. The loans underlying RMBS Securities generally do not restrict prepayments or require the payment of prepayment penalties. As a result, prepayments are likely to increase in lower interest rate environments, which may result in a reduction in yield to maturity for holders of RMBS Securities. Prepayments on the underlying residential mortgage loans in an issue of RMBS Securities will be affected by a variety of economic, geographic and other factors, including the difference between the interest rates on the underlying residential mortgage loans (giving consideration to the cost of refinancing) and prevailing mortgage rates and the availability of refinancing. The origination and servicing of the mortgage loans may be subject to various federal and state laws and regulations with respect to interest rates and other charges, or may require certain disclosures, require licensing of originators, prohibit discriminatory lending practices, regulate the use of consumer credit information and debt collection practices and may limit the servicer's ability to collect all or part of the principal of or interest on a residential mortgage loan, entitle the borrower to a refund of amounts previously paid by it or subject the servicer to damages and sanctions. Residential mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The rate of defaults and losses on residential mortgage loans will be affected by a number of factors, including general economic conditions and those in the area where the related mortgaged property is located, the borrower's equity in the mortgaged property and the financial circumstances of the borrower. If a residential mortgage loan is in default, foreclosure of such residential mortgage loan may be a lengthy and difficult process, and may involve significant expenses. Furthermore, the market for defaulted residential mortgage loans or foreclosed properties may be very limited. At any one time, a portfolio of RMBS Securities may be backed by residential mortgage loans with disproportionately large aggregate principal amounts secured by properties in only a few states or regions. As a result, the residential mortgage loans may be more susceptible to geographic risks relating to such areas, such as adverse economic conditions, adverse events affecting industries located in such areas and natural hazards affecting such areas, than would be the case for a pool of mortgage loans having more diverse property locations. The Eligible Collateral Debt Securities may also consist of securities other than CDO Securities. The structure of such securities and the terms of the investors' interest in the collateral can vary widely depending on the

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type of collateral, the desires of investors and the use of credit enhancements and, in addition to the risks described above, each such security may be subject to particular risks. Investments in such securities may be of varying credit quality and risk. 15. CDS Assets. Approximately 86.9% of the Principal BalanceAggregate of the Eligible Collateral Debt Securities included in the Collateral is expected to consist of CDS Assets and may also include Covered Short CDS Assets, all of which will be in the form of credit default swaps documented on Pay-As-You-Go Confirmations or any permitted alternative form of confirmation. The CDS Reference Obligations in respect of CDS Assets must satisfy the definition of Eligible Collateral Debt Security; any Covered Short CDS Assets will not be subject to satisfaction of the Portfolio Limitations, the Coverage Tests and the Portfolio Quality Tests. Investments in such types of assets through the purchase or acquisition of CDS Assets or entry into Covered Short CDS Assets present risks in addition to those resulting from holding or selling the underlying CDS Reference Obligations directly. CDS Assets are expected to be structured in such a way that the Issuer will receive periodic premium payments and will be required to make payments, from time to time in accordance with the terms thereof, to the CDS Asset Counterparty in respect of any Floating Payments (as such term is defined in the relevant CDS Asset) and Credit Events. The requirement of the counterparty to make payments in accordance with the CDS Assets will expose the Issuer to the default risk on the underlying CDS Reference Obligation on an ongoing basis (in addition to the default risk of the CDS Asset Counterparty). No Direct Ownership of CDS Reference Obligations. The CDS Assets do not constitute a purchase or other acquisition or assignment of any interest in any CDS Reference Obligations. The Issuer will usually have a contractual relationship only with the counterparty under each CDS Asset, and not the CDS Reference Obligor on any related CDS Reference Obligation, except upon delivery of a Deliverable Obligation in conjunction with the termination of a CDS Asset at the sole election of the CDS Asset Counterparty upon a Credit Event. The counterparty will have no obligation to hold or own the CDS Reference Obligation. The Issuer generally will have no right directly to enforce compliance by any CDS Reference Obligor with the terms of either the related CDS Reference Obligation or any rights of set-off against such CDS Reference Obligor, nor will the Issuer generally have any voting or other consensual rights of ownership with respect to any related CDS Reference Obligation. The Issuer will not have a security interest in the CDS Reference Obligation and will not benefit from any collateral supporting any related CDS Reference Obligation. The Issuer will not have the benefit of the remedies that would normally be available to it if it held the CDS Reference Obligation directly. Except to the extent that the CDS Asset Counterparty delivers a Deliverable Obligation, none of the Issuer, the Trustee, the Noteholders or any other person will have any rights to acquire from any CDS Asset Counterparty any interest in any CDS Reference Obligation. Limited Information Regarding CDS Reference Obligations. Although the Monthly Report will include a list of the CDS Reference Obligations, the Noteholders will not have the right to obtain from the Issuer, the Trustee or the Manager information on the CDS Reference Obligations or information regarding any obligation of any CDS Reference Obligor. The CDS Asset Counterparties will have no obligation to keep the Manager, the Issuer, the Trustee or the Noteholders informed as to matters arising in relation to any CDS Reference Obligation, including whether or not circumstances exist under which there is a possibility of the occurrence of a Credit Event, or to disclose any further information or evidence regarding the existence or terms of any CDS Reference Obligation or any matters arising in relation thereto or otherwise regarding any CDS Reference Obligor, any guarantor or any other person, other than the obligation of the CDS Asset Counterparty to provide publicly available information to the Issuer of the occurrence of an Credit Event. None of the Issuer, the Trustee, the Manager and the Noteholders will have the right to inspect any records of the CDS Asset Counterparties or the CDS Reference Obligors. Performance of CDS Assets May Differ from Performance of CDS Reference Obligations. The investment in a CDS Asset or Covered Short CDS Asset may pose risks greater than those of an equivalent investment in the underlying CDS Reference Obligation, because the terms of the CDS Asset or Covered Short CDS Asset may be different from the terms of the corresponding CDS Reference Obligation including, without limitation, in respect of the stated rate of interest, maturity date, notional amount, credit exposure and other credit or non-credit related characteristics. Given that the Issuer will not own the CDS Reference Obligations (except to the extent it receives Deliverable Obligations) and that it also is subject to the credit risk of the counterparty, a CDS Asset or a Covered Short CDS Asset may have an expected return, a probability of default, expected loss characteristics

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following a default and an expected recovery following default that are different, possibly significantly, from those of the related CDS Reference Obligation. Exposure to Credit Risk of Counterparties. The CDS Assets and the Covered Short CDS Assets are contracts pursuant to which the counterparties agree to make payments to the Issuer. The Issuer will look solely to the counterparty for payments on the CDS Assets and the Covered Short CDS Assets and will, therefore, be exposed to liquidity and credit risk related to that counterparty. If the credit quality of any such counterparty deteriorates, such counterparty may default on its obligation to make such payments. Unless the counterparty is required to collateralize its obligations to the Issuer and has actually done so, or in the event of the insolvency of the counterparty, the Issuer will be treated as a general creditor of such counterparty, and will not have any claim of title with respect to the CDS Reference Obligation. Consequently, the performance of the Issuer is dependent not only on the credit quality of the Eligible Collateral Debt Securities (including, in respect of the CDS Assets and the Covered Short CDS Assets, the credit quality of the CDS Reference Obligations), but also on the credit quality of the counterparties. A failure by a counterparty to perform its obligations to the Issuer would reduce the funds available to the Issuer to perform its obligations, which could result in a reduction or delay in payments on the Notes or an Event of Default. As a result, concentrations of CDS Assets entered into with any one counterparty will increase the risk that a payment failure by such counterparty will result in a shortfall of funds available for payments on the Notes. Furthermore, there may be practical impediments or timing delays associated with enforcement of the Issuer's rights against a CDS Asset Counterparty in the case of an insolvency of such CDS Asset Counterparty. The Issuer will also bear the risk of settlement default by any such counterparty, particularly since the terms of CDS Assets may require physical settlement by the relevant CDS Asset Counterparty. Settlement risk will arise if the Issuer meets its payment obligation under a CDS Asset before the CDS Asset Counterparty meets its corresponding payment or delivery obligations thereunder. If the counterparty or the related guarantor, if any, under a CDS Asset or a Covered Short CDS Asset no longer satisfies the applicable ratings required by each Rating Agency, a "termination event" (and/or, in the case of a failure to observe any applicable posting requirement, a "credit support default") will occur and may result in a termination payment, which will be subordinated in the Priority of Payments to the extent that the counterparty is the affected or defaulting party, unless, within a specified number of days thereafter, the counterparty either transfers its obligations thereunder to a replacement counterparty with the requisite ratings or obtains a guarantee of its obligations by a guarantor with the requisite ratings or posts credit support in the manner provided thereunder. There can be no assurance that any counterparty will take any such action within the specified time frame, in which case the Issuer will be subject to additional credit risk that could result in reductions or delays in payments on the Notes if the credit quality of the counterparty deteriorates to the point at which it defaults on its obligations to the Issuer. In addition, even if the counterparty desires to transfer its obligations to a replacement counterparty or to designate a guarantor, there may be no replacement counterparty or guarantor available with the required ratings. Under the CDS Assets, the Issuer may be required, in its capacity as protection seller and (in the case of a Writedown, Failure to Pay Principal or Interest Shortfall (each as defined in the related CDS Asset), in lieu of payment by the Issuer of a Physical Settlement Amount), to pay Floating Payments (as such term is defined in the relevant CDS Asset) to the CDS Asset Counterparty, including amounts in respect of any Writedown, Failure to Pay Principal, Failure to Pay Interest (in the case of certain CDS Assets referencing CDO Securities) and Interest Shortfalls under the applicable CDS Reference Obligation. In the case of a Writedown or Failure to Pay Principal, the CDS Asset Counterparty, as buyer of protection, will be entitled to elect whether to deliver a notice demanding physical settlement in lieu of the Issuer being required to make a payment of the Credit Protection Payment in respect thereof. CDS Asset Payments (including Floating Payments) will generally be payable in accordance with the CDS Assets on such date or dates specified thereunder, whether or not such payment date is a Payment Date. Although Floating Payments payable by the Issuer are contingent on the performance of the related CDS Reference Obligation, even if the CDS Asset Counterparty, in its capacity as protection buyer, is required to reimburse all or part of such Floating Payments to the Issuer as a result of subsequent recoveries of the related shortfalls or the writing up of the principal of the related CDS Reference Obligation, there may be a significant delay between the date of payment of the Floating Payments to the CDS Asset Counterparty to the date, if any, on which the Issuer receives reimbursement from the CDS Asset Counterparty. A CDS Asset Counterparty may seek to eliminate its credit exposure to the CDS Reference Obligations by entering into back-to-back hedging transactions, and its ability to physically settle a transaction under which it is

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acting as protection buyer may be dependent on whether or not the counterparties to such back-to-back hedging transactions perform their delivery obligations. Such risks may differ materially from those entailed in exchange-traded transactions, which generally are backed by clearing organization guarantees, daily mark-to-market and settlement of positions, and segregation and minimum capital requirements applicable to intermediaries. Transactions entered into directly between two counterparties generally do not benefit from such protections, and expose the parties to the risk of counterparty default. The counterparty risks described above will be magnified by the multiple roles which may be performed by Citigroup and its Affiliates. Citibank, N.A., in its capacity as the Initial CDS Asset Counterparty, will be the counterparty under CDS Assets with a Net Aggregate Adjusted Notional Amount of approximately U.S.$869,256,000 as of the Closing Date, which will comprise all of the CDS Assets entered into as of the Closing Date. Citibank, N.A., in its capacity as the Initial CDS Asset Counterparty, is expected to enter into additional CDS Assets with the Issuer following the Closing Date. The aggregate notional amount of all CDS Assets may equal up to 100% of the Principal BalanceAggregate. The concentration of CDS Assets with a limited number of counterparties or a single counterparty exposes the Issuer to a greater concentration of credit risk. Citigroup and its Affiliates may also enter into Hedge Agreements with the Issuer on or following the Closing Date. The failure by Citigroup or its Affiliates to perform their respective obligations in any of their various capacities could reduce the funds available to the Issuer to perform its obligations, which could result in reductions or delays in payments on the Notes or an Event of Default. See "Potential Conflicts of Interest with Citigroup Global Markets Inc.". New and Developing Structure of CDS Assets. The CDS Assets and Covered Short CDS Assets are expected to be structured as credit default swaps and documented pursuant to Master Agreements and multiple Pay-As-You-Go Confirmations (or any modified or successor version of such form as may be approved by the Manager and that receive Rating Agency Confirmation from each Rating Agency). Forms of Pay-As-You-Go Confirmations were recently developed to accommodate the unique features of collateralized debt obligation, asset-backed and other structured finance securities. The standardized terms for these types of transactions are still evolving. Accordingly, the terms that ultimately become the standard for the market may be significantly different than the terms of the CDS Assets which will be established on the Closing Date and any Covered Short CDS Assets that may be acquired following the Closing Date. Any difference between the Issuer's then existing CDS Assets and Covered Short CDS Assets and the evolving market standard documentation may have a negative impact on the liquidity and market value of any such CDS Assets and Covered Short CDS Assets. In addition, because of such potential differences, there can be no assurance that the Issuer will be able to acquire CDS Assets to the extent or in the manner anticipated on the Closing Date. Furthermore, the Issuer will be required to obtain Rating Agency Confirmation and, in certain instances, the consent of the Requisite Noteholders in order to enter into CDS Assets that have terms different from those CDS Assets acquired on the Closing Date. The Collateral may therefore be less diversified than would otherwise be the case. The Issuer may enter into CDS Assets after the Closing Date with CDS Asset Counterparties other than the Initial CDS Asset Counterparty and may, from time to time, enter into one or more Covered Short CDS Assets with one or more Covered Short CDS Asset Counterparties. Any additional CDS Assets and Covered Short CDS Assets may be in the form of Form-Approved ABS Asset Agreements, Form-Approved CDO Asset Agreements or on Pay-As-You-Go Confirmations for which Rating Agency Confirmation has been received. In the case of CDS Assets or Covered Short CDS Assets on Pay-As-You-Go Confirmations that have received Rating Agency Confirmation, the terms of the CDS Assets or Covered Short CDS Assets, as the case may be, negotiated by the Manager on behalf of the Issuer may be materially different than those described herein and may include additional credit events, floating amount events, additional fixed payments, events of default or termination events or other terms which are less favorable to the Issuer than the terms of the CDS Assets entered into on the Closing Date or that are Form-Approved ABS Asset Agreements or Form-Approved CDO Asset Agreements. The current premiums which a buyer of protection will pay under credit default swaps relating to CDS Reference Obligations that are Asset Backed Securities, and specifically CDO Securities, are at very low levels (compared to the levels during the past five years). This results in part from the fact that the current interest rate spreads over LIBOR (or, in the case of fixed rate Asset Backed Securities, over the applicable U.S. Treasury Benchmark) on Asset Backed Securities are at very low levels (compared to the levels during the past ten years). In

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the event that such interest rate spreads widen or the prevailing credit premiums on credit default swaps relating to Asset Backed Securities increase after the Closing Date, the amount of a CDS Asset/SCA Issuer Termination Payment due from the Issuer upon a termination of a CDS Asset to the related CDS Asset Counterparty could increase by a substantial amount. Lack of Liquidity in Market for Credit Default Swaps. The market for credit default swaps on Asset Backed Securities has only existed for a few years and is relatively illiquid (compared to the market for credit default swaps on investment grade corporate reference entities or the market for Cash Assets). In addition, the liquidity of the CDS Assets is also limited because the Issuer is generally not permitted to terminate or assign CDS Assets or Covered Short CDS Assets without the consent of the related counterparty and accordingly may not be able to terminate or assign such CDS Assets or Covered Short CDS Assets in a timely fashion and for a fair price, potentially restricting its ability to take advantage of market opportunities. The interests of any related CDS Asset Counterparties or Covered Short CDS Asset Counterparties may conflict with the interests of the Issuer or the Noteholders and the requirement to obtain any counterparty's consent in connection with terminating or assigning CDS Assets or Covered Short CDS Assets may limit the Manager's ability to trade proactively and reinvest in CDS Assets or Covered Short CDS Assets or otherwise act in the best interests of the Issuer and the Noteholders in pursuit of the Issuer's investment objectives. Any inability to obtain the consent of the relevant counterparties may have a materially adverse effect on the Noteholders and the Notes. The aggregate notional exposure of the credit default swaps on any asset-backed security is typically expected to be a multiple of the actual outstanding principal amount of such asset-backed security. This excess of notional exposure over actual supply may negatively affect liquidity and valuation of credit default swaps if adverse economic developments occur in the financial and credit markets generally, or with respect to particular CDS Reference Obligors or CDS Reference Obligations. This lack of liquidity and potential valuation difficulty in the credit default swap market may limit the Manager's ability to act in the best interests of the Issuer and the Noteholders in pursuing the Issuer's investment objectives. Termination of CDS Assets. CDS Assets may provide for termination or liquidation based upon the occurrence of various events (including events related to collateral maintained by the Issuer for payments to the CDS Asset Counterparties) that would not apply if the Issuer had invested directly in the underlying CDS Reference Obligations. The Issuer may be obligated to make payments to the CDS Asset Counterparties upon termination of CDS Assets. The amount of termination payments owing by the Issuer or the CDS Asset Counterparty, as the case may be, would generally be determined as the replacement cost to the CDS Asset Counterparty or the Issuer, as the case may be, for each terminated CDS Asset. The illiquidity and restrictions on transfer and termination of the CDS Assets and Covered Short CDS Assets also may affect the amount and the timing of receipt of proceeds from the termination of CDS Assets and Covered Short CDS Assets in connection with the acceleration of the Notes following an Event of Default or upon a Redemption of the Notes. The amount, if any, receivable by the Issuer upon any such termination or liquidation may be significantly less than the amount that the Issuer would have received upon the contemporaneous sale of the underlying CDS Reference Obligation. In addition, the Issuer may not be able to terminate CDS Assets as easily as it would be able to buy and sell the related CDS Reference Obligations, and, in particular, may not be able to terminate such CDS Assets without the consent of the related CDS Asset Counterparty, and the CDS Asset Counterparty may have the ability to terminate the related CDS Assets without the consent of the Issuer. Accordingly, the Issuer may not be able to manage its exposure to the related CDS Reference Obligations as efficiently or as economically as it would if it had purchased such CDS Reference Obligations directly. Following a termination, the Issuer may not be able to enter into a replacement CDS Asset or may not be able to negotiate terms of a replacement that are substantially similar to the terminated CDS Asset or at an acceptable cost. The Issuer's ability to make payments when due on the CDS Assets will depend upon its sources of liquidity, including access to funds under the Class A1 Swap. Although the Class A1 Swap Counterparty (or its guarantor) is generally subject to minimum ratings requirements, and to certain mandatory funding obligations, such requirements and obligations will not initially be applicable with respect to CGML as the Class A1 Swap Counterparty and any CDS Assets will contain a CDS Asset Counterparty Forbearance so long as such requirements and obligations are not applicable. Although the Issuer does not believe that such provisions in the Class A1 Swap and in the CDS Assets would affect Noteholders as of the Closing Date, no assurance can be given that this will be the case in all circumstances during the term of the Notes.

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At any time that the Issuer would be entitled to terminate all or any portion of any CDS Asset, the Manager may instead cause the Issuer to enter into one or more Covered Short CDS Assets pursuant to which the Issuer is the buyer of protection on the related CDS Reference Obligation, the seller of protection on the related CDS Reference Obligation is the CDS Asset Counterparty or another permitted counterparty and the other terms of such Covered Short CDS Asset are identical to the terms of the related CDS Asset except as otherwise permitted under the Indenture. The CDS Asset Counterparty will not be under any obligation to enter into a Covered Short CDS Asset with the Issuer at any time. There can be no guarantee that the Issuer will be able to agree to the terms of any Covered Short CDS Asset with the relevant Covered Short CDS Asset Counterparty or that the Covered Short CDS Asset and the related CDS Asset will exactly offset one another in all circumstances. Under certain circumstances, the Issuer or a CDS Asset Counterparty may terminate all CDS Assets documented under the applicable Master Agreement, in which event the Issuer or the CDS Asset Counterparty may be required to make a termination payment thereunder, depending upon existing market conditions at the time of any such termination. If the Issuer is required to make a CDS Asset/SCA Issuer Termination Payment in respect of such a termination, the amount of funds otherwise available to pay the Noteholders will be reduced. Potential Conflicts of Interest with CDS Asset Counterparties. No CDS Asset Counterparty or its Affiliates will be (or be deemed to be acting as) the agent or trustee of the Issuer or the Noteholders in connection with the exercise of, or the failure to exercise, any of the rights or powers (including, without limitation, voting rights) of the CDS Asset Counterparty and/or its Affiliates arising under or in connection with their respective holding of any CDS Reference Obligation. A CDS Asset Counterparty will have only the duties and responsibilities expressly agreed to by it under the applicable CDS Asset and will not, by reason of its or any of its Affiliates acting in any other capacity, be deemed to have other duties or responsibilities or be deemed to be held to any higher standard of care than that set forth in the applicable CDS Asset or imposed by law. In no event shall a CDS Asset Counterparty be deemed to have any fiduciary obligations to the Noteholders or any other person or entity by reason of acting in such capacity. A CDS Asset Counterparty's actions may be inconsistent with or adverse to the interests of the Noteholders. In taking any action with respect to a CDS Asset (including declaring or exercising its remedies in respect of a credit event or any other default under or termination of the CDS Asset), a CDS Asset Counterparty may take such actions as it determines to be in its own commercial interests and not as agent, fiduciary or in any other capacity on behalf of the Issuer or the holders of the Notes. A CDS Asset Counterparty or one of its Affiliates may act as a dealer for purposes of obtaining quotations with respect to a CDS Reference Obligation. A CDS Asset Counterparty and its Affiliates may (but are not required to) hold other obligations or securities of any CDS Reference Obligor, may deal in any such obligations or securities, may enter into other credit derivatives involving reference entities or reference obligations that may include the CDS Reference Obligations (including credit derivatives relating to CDS Reference Obligations), may accept deposits from, make loans or otherwise extend credit to, and generally engage in any kind of commercial or investment banking or other business with, any issuer of a CDS Reference Obligation, any Affiliate of any issuer of a CDS Reference Obligation or any other person or other entity having obligations relating to any issuer of a CDS Reference Obligation, and may act with respect to such business in the same manner as if the CDS Asset did not exist, regardless of whether any such relationship or action might have an adverse effect on any CDS Reference Obligation (including, without limitation, any action which might constitute or give rise to a credit event) or on the position of the Issuer, the Noteholders or any other party to the transactions described herein or otherwise. In addition, a CDS Asset Counterparty and/or its Affiliates may from time to time possess interests in the issuers of CDS Reference Obligations and/or CDS Reference Obligations allowing the CDS Asset Counterparty or its Affiliates, as applicable (or any investment manager or adviser acting on its or their behalf), to exercise voting or consent rights with respect thereto, and such rights may be exercised in a manner that may be adverse to the interests of the holders of the Notes or that may affect the market value of CDS Reference Obligations and/or the amounts payable thereunder. A CDS Asset Counterparty and its Affiliates may, whether by reason of the types of relationships described herein or otherwise, at the date hereof or any time hereafter, be in possession of information in relation to a CDS Reference Obligation or any issuer thereof that is or may be material and that may or may not be publicly available or known to the Issuer, the Manager, the Trustee or the Holders of the Notes and which information the CDS Asset Counterparty or such Affiliates will not disclose to the Issuer, the Manager, the Trustee or the Noteholders.

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A CDS Asset Counterparty and its Affiliates may act as underwriter, initial purchaser or placement agent for entities having investment objectives similar to those of the Issuer and other similar entities in the future. A CDS Asset Counterparty (or an Affiliate thereof) may be advising or distributing securities on behalf of an issuer or providing banking or other services to an issuer at the same time at which the Manager is determining whether to enter into or terminate a CDS Asset relating to a particular CDS Reference Obligation. Obligation to Maintain Collateral; Claims of Counterparties. In conjunction with the investment in a CDS Asset, the Issuer will maintain available sources of liquidity, through the Class A1 Swap, the Capacity Subaccount of the Reserve Account and the CDS Asset Collateral Account, in amounts sufficient to secure the obligations of the Issuer in accordance with the terms of the related CDS Assets. Amounts held in the CDS Asset Collateral Account generally will not be available for payments on the Notes unless and until amounts are released to the Issuer from the CDS Asset Collateral Account for deposit into the Collection Account. To the extent of any amounts or securities on deposit in the CDS Asset Collateral Account and upon the amortization, reduction or termination of any CDS Reference Obligation from the related CDS Asset or, to the extent of the CDS Asset Capacity Amount, the Manager is permitted to direct the Trustee to withdraw the applicable amounts in the CDS Asset Collateral Account and deposit such amounts in the Collection Account for application in accordance with the Indenture. No CDS Asset Counterparty will have a specific lien or claim against any amounts available from the Class A1 Swap or against any amounts credited to the Capacity Subaccount of the Reserve Account or the CDS Asset Collateral Account. Any such amounts shall be available generally to secure the claims of the CDS Asset Counterparties ratably and without preference among such counterparties. Disputes with a CDS Asset Counterparty over calculations in respect of the amounts of any such payments may result in delays in payment on or early termination of the related CDS Asset. Under the CDS Collateral Agreement, the CDS Collateral Securities Counterparty will agree to pay any difference between the par value and the sale proceeds of the CDS Collateral Eligible Securities and to ensure that the aggregate return on the CDS Collateral Eligible Securities is equal to LIBOR. Any failure of the CDS Collateral Securities Counterparty to meet its obligations under the CDS Collateral Agreement may result in the Issuer having insufficient funds to make payments in full on the CDS Assets or may reduce the amounts otherwise available in accordance with the Priority of Payments to make payments of interest on or principal of the Notes. 16. Credit Ratings. Credit ratings of debt securities represent the rating agencies' opinions regarding their credit quality and are not a guarantee of quality. 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. In the event that a rating initially assigned to any Class of Notes is subsequently lowered for any reason, no Person is obligated to provide any additional support or credit enhancement with respect to such Notes. Rating agencies attempt to evaluate the safety of principal and interest payments and do not evaluate the risks of fluctuations in market value; therefore, ratings may not fully reflect the true risks of an investment. Also, rating agencies may fail to make timely changes in credit ratings in response to subsequent events, so that an issuer's current financial condition may be better or worse than a rating indicates. Consequently, credit ratings of the Eligible Collateral Debt Securities will be used by the Manager only as preliminary indicators of investment quality. Although the Eligible Collateral Debt Securities will have investment grade ratings at the time that they are acquired by the Issuer, there can be no assurance that such ratings will not be subsequently reduced or withdrawn. Rating agencies' assumptions for Asset Backed Securities and for structures employed as part of this transaction have not been tested in all conceivable credit environments. If any such assumptions prove to be incorrect over a period of time, the performance of the Notes could be adversely affected. 17. CDO of CDO Securities Experience; Dependence on Manager and Key Personnel Thereof; Relationship to Prior Investment Results. The Manager is experienced in the management of CDO vehicles investing primarily in leveraged loans and high yield bonds. The Manager has previous experience in the management and the structuring of Asset Backed Securities, and the Manager currently manages four portfolios (two of which are CDO of CDO Securities) consisting primarily of Asset Backed Securities and/or CDO Securities that are predominantly cash assets rather than synthetic. Such portfolios relate to transactions that closed in April

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2005, May 2006, July 2006 and December 2006. The nature of, and risks associated with, investments in CDO Securities may differ substantially from the nature of, and risks associated with, investments in leveraged loans and high yield bonds. The Issuer has no employees and will be dependent on the employees of the Manager to make decisions on its behalf in accordance with the terms of the Indenture and the Management Agreement. Because the composition of the Eligible Collateral Debt Securities will vary over time, the performance of the Eligible Collateral Debt Securities depends on the investment strategy and investment process of the Manager in analyzing, selecting and managing the Eligible Collateral Debt Securities. As a result, the performance of the Issuer will be highly dependent on the financial and managerial experience of certain investment professionals associated with the Manager. There can be no assurance that the Manager's current investment professionals will continue to be affiliated with the Manager or actively involved in the management and administration of the Collateral for the Issuer. In the event that one or more of the investment professionals of the Manager were to cease to be affiliated with the Manager or actively involved in the management and administration of the Collateral for the Issuer, the Manager would have to re-assign responsibilities internally and/or hire one or more replacement individuals and such a loss could have a material adverse effect on the performance of the Issuer. See "The Manager". The prior investment results of the Manager and any persons associated with the Manager or any other entity or person described herein or otherwise made available to an investor are not indicative of the Issuer's future investment results. The nature of, and risks associated with, the Issuer's future investments may differ substantially from those investments and strategies undertaken historically by such persons and entities. There can be no assurance that the Issuer's investments will perform as well as the past investments of any such persons or entities. In addition, subject to certain limited conditions, the Manager may resign at any time or be removed under certain circumstances (as more fully described herein under "The Management AgreementTermination and Assignment of the Management Agreement; Appointment of Successor"), in each case effective upon the appointment of a successor Manager. The Manager in its sole discretion may resign for any reason, including (without limitation) a change in its business strategy or a corporate reorganization. See "The Management Agreement". 18. Yield Risk. The yield to maturity of the Secured Notes of each Class and the amount of distributions on the Income Notes will be affected by, among other things, the timing of purchases of Eligible Collateral Debt Securities, the rates of repayment of the Eligible Collateral Debt Securities as well as by the timing of any redemption of the Notes in a Redemption (and by the related Redemption Prices). The yield to maturity of the Secured Notes of each Class and the amount of distributions on the Income Notes may also be affected by rates of delinquencies and defaults on and liquidations of the Eligible Collateral Debt Securities, sales of Eligible Collateral Debt Securities and by the effects of the Coverage Tests and of a Ratings Confirmation Failure on payments of principal of the Notes pursuant to the Priority of Payments. The yield to investors in the Secured Notes of any Class and other measures of performance may be adversely affected to the extent that the Co-Issuers incur any significant unexpected expenses not absorbed by Notes of another, more subordinated Class. Issuers of Eligible Collateral Debt Securities may be more likely to exercise any rights they may have to redeem such obligations when interest rates or spreads are declining. Any decrease in the yield on the Eligible Collateral Debt Securities will have the effect of reducing the amounts available to make payments of principal and interest on the Secured Notes and distributions on the Income Notes. 19. Concentration Risk. Concentration with respect to any particular obligor, servicer, region or industry will be limited as set forth in the Portfolio Limitations. However, there can be no assurance that the Portfolio Limitations will be adequate to protect Holders of the Notes from risk with respect to any one industry, region or collateral type or any particular obligor or servicer. In addition, the Portfolio Limitations only apply on the date of purchase of Eligible Collateral Debt Securities, which will be the Closing Date and any date until the Ramp-Up End Date but not thereafter (other than Eligible Collateral Debt Securities purchased in certain limited circumstances as specifically provided herein), and therefore may not provide adequate protection against concentration in any particular obligor, servicer, region or industry after such purchase. See "Security for the Secured ObligationsSale of Eligible Collateral Debt Securities and CDS Assets" and "Purchase of Eligible Collateral Debt Securities; Investment Criteria".

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20. Reliance Upon Class A1 Swap Counterparty. On any Business Day to but excluding the Class A1 Swap Termination Date, the Class A1 Swap Counterparty is required to fund Class A1 Note Fundings in accordance with the terms of the Class A1 Swap. If the Class A1 Swap Counterparty fails to fund a Class A1 Note Funding when the conditions to such funding have been satisfied, the Issuer may have insufficient funds available to make required payments under the related CDS Asset which may result in insufficient funds to make payments required pursuant to the Priority of Payments, including in respect of amounts due and owing on the Notes. If, as a result of a shortfall of amounts received from the Class A1 Swap Counterparty, the Issuer is required to make any payment on a CDS Asset from sources that would have otherwise been available to make payments in accordance with the Priority of Payments, the Issuer may default on payment of principal or interest on the Notes. Any failure of the Class A1 Swap Counterparty to meet its contractual obligations to fund Class A1 Note Fundings could result in losses to the Holders and delays in payment on the Notes. 21. Default and Recovery Rates of Eligible Collateral Debt Securities. The Issuer is not aware of a central source for relevant data or standardized method for measuring default or recovery rates of the Eligible Collateral Debt Securities that the Issuer intends to purchase. Furthermore, historical performance is not necessarily indicative of future performance. In certain circumstances, it is possible that investors in some Classes of Notes will not recover their original investment. Prospective purchasers of the Notes should consider and assess for themselves the likely level and timing of defaults and recoveries on the Eligible Collateral Debt Securities and the likely levels of interest rates during the term of the Notes. 22. Hedge Counterparty Risk and Cashflow Swap Counterparty Risk. Hedge Agreements and the Cashflow Swap Agreement involve the Issuer entering into contracts with counterparties. Pursuant to such contracts, the counterparties agree to make payments to the Issuer as described therein and the Issuer will be exposed to credit risk of the counterparties with respect to such payments. Unless the counterparty has been required to post collateral to the Issuer and has actually done so, the Issuer will be treated as a general unsecured creditor of the counterparty in the event of the insolvency of the counterparty. 23. Interest Rate Risk; Floating Rate Indices for Eligible Collateral Debt Securities; Hedge Agreements; Cashflow Swap Agreement. The Secured Notes will bear interest based on LIBOR determined as described herein. The Eligible Collateral Debt Securities will consist principally of obligations that bear interest based on the London interbank offered rate for United States dollar deposits in Europe with a specified index maturity or other floating rate indices (which are likely to adjust at different times than those applicable to the Secured Notes). As a result, there may be a mismatch between the Secured Notes on one hand and the underlying Eligible Collateral Debt Securities on the other and changes in the level of the London interbank offered rate or other floating rate indices could adversely affect the Issuer's ability to make payments on the Notes. In addition, the amount of interest payable on Eligible Collateral Debt Securities may be limited by available funds caps or other caps on the interest rates payable thereon. There can be no assurance that the Eligible Collateral Debt Securities and the Eligible Investments will in all circumstances generate sufficient Interest Collections to make timely payments of interest on the Secured Notes or provide any particular return on the Income Notes. The Issuer will be permitted to enter into one or more Hedge Agreements to mitigate a portion of the mismatch between the floating rate of interest on the Secured Notes and the fixed rates of interest on some of the underlying Eligible Collateral Debt Securities. In addition, the Issuer will, on or prior to the Closing Date, enter into a Cashflow Swap Agreement for purposes of managing the Issuer's risk exposure relating to the possible shortfalls in payments of interest on the Class S Notes and the Class A Notes relating to the presence of PIK Bonds in the Collateral. No assurance can be made, however, that such Hedge Agreements or Cashflow Swap Agreement will eliminate all material interest rate or shortfall risks, as applicable, to the Issuer. Despite the Issuer having the benefit of these Hedge Agreements and the Cashflow Swap Agreement and the subordination of the Income Notes to the payments of interest on the Secured Notes, there can be no assurance that the Eligible Collateral Debt Securities and the Eligible Investments will in all circumstances generate sufficient Interest Collections to make timely payments of interest on the Secured Notes or provide any particular return on the Income Notes. In addition, the Hedge Agreements and the Cashflow Swap Agreement may be subject to termination by the Issuer or the applicable Hedge Counterparty or Cashflow Swap Counterparty upon the occurrence of certain events. If any such Hedge Agreement or the Cashflow Swap Agreement is terminated while any of the Secured Notes remain Outstanding, the Issuer will agree to use reasonable efforts to enter into a substitute hedge agreement or cashflow swap agreement on similar terms to the extent that the Issuer is able to enter into such an agreement. However, an Event of Default under the

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Indenture will not automatically result if a Hedge Agreement or the Cashflow Swap Agreement is terminated. If the Issuer is unable to obtain a substitute hedge agreement or cashflow swap agreement, interest due on the Secured Notes will be paid from amounts received on the Eligible Collateral Debt Securities without the benefits of such Hedge Agreement, Cashflow Swap Agreement, a substitute hedge agreement or a substitute cashflow swap agreement. There can be no assurance that such amounts will be sufficient to provide for the full payment of interest on the Secured Notes at their respective Periodic Interest Rates or for the payment of distributions on the Income Notes. The Eligible Collateral Debt Securities are subject to prepayment risk and extension risk which may result in a mismatch between the payments received from the Eligible Collateral Debt Securities and payments made by the Hedge Counterparties under the Hedge Agreements. On or after the Closing Date, the Issuer may enter into Hedge Agreements, increase the notional amount of an existing Hedge Agreement, sell all or a portion of any Hedge Agreement, terminate such Hedge Agreement or reduce the notional amounts of any Hedge Agreement, subject (in certain cases) to obtaining Rating Agency Confirmation. Depending on prevailing interest rates at the time of any such termination or notional amount reduction, the Issuer could be required to make substantial payments to Hedge Counterparties. 24. CDO Assets May Defer Interest. Approximately 87.9% (by Principal Balance) of the expected portfolio of Eligible Collateral Debt Securities on the Closing Date (based on the Principal Balance Target) are expected to consist of CDO Assets that are PIK Bonds. The Issuer may have insufficient funds as a result of deferrals or payments "in-kind" of interest on the PIK Bonds to make payments on the Notes. 25. Purchase of Eligible Collateral Debt Securities; Certain Legal and Insolvency Considerations Related Thereto. The Eligible Collateral Debt Securities purchased by the Issuer on the Closing Date will be purchased from a portfolio of Eligible Collateral Debt Securities held by Citigroup pursuant to a warehouse facility between Citigroup and the Manager (the "Warehousing Facility"). The Manager serves as investment adviser pursuant to the Warehousing Facility. Some of the Eligible Collateral Debt Securities subject to the Warehousing Facility may have been originally acquired by Citigroup or an affiliate of Citigroup in connection with its underwriting or placement thereof. The Issuer will purchase Eligible Collateral Debt Securities from Citigroup or any affiliate thereof only to the extent the Manager determines that such purchases are consistent with the investment guidelines and objectives of the Issuer, the restrictions contained in the Indenture and applicable law. In any event, all purchases of such Eligible Collateral Debt Securities from any third party (including the Manager, and their respective clients and affiliates, and Citigroup or any of its affiliates) will be (a) at fair market value (as determined by the Manager in its discretion at the time such Eligible Collateral Debt Security is originally acquired pursuant to the Warehousing Facility) and otherwise on an "arm's length basis" or, if effected with the Manager, the Issuer, the Trustee or any Affiliate of any of the foregoing or any account or portfolio managed or advised by the Manager or any of its Affiliates, on terms as favorable to the Issuer as would be the case if such person were not so affiliated, and (b) consistent with investment guidelines and objectives of the Issuer, the restrictions contained in the Indenture and applicable law. The purchase price paid by Citigroup for Eligible Collateral Debt Securities acquired from any affiliates of the Manager was customarily not based upon bids obtained by the Manager or Citigroup for such securities or on contemporaneous prices paid by third parties for such securities, but was instead based on the Manager's determination of the fair market value of such securities at the time that each such Eligible Collateral Debt Security was purchased by Citigroup under the Warehousing Facility. With respect to those Eligible Collateral Debt Securities acquired pursuant to the Warehousing Facility, the Issuer will be required to pay to Citigroup the purchase price paid when such Eligible Collateral Debt Securities were acquired under the Warehousing Facility, accrued and unpaid interest on such Eligible Collateral Debt Securities as of the Closing Date. The Issuer will bear the risk of market changes subsequent to the acquisition of Eligible Collateral Debt Securities as if it acquired such assets at the time of purchase under the Warehousing Facility. Accordingly, the Issuer may be obligated to pay a higher purchase price for Eligible Collateral Debt Securities than it would have had it purchased such assets in the market on the Closing Date. In addition, the Issuer may be obligated to reimburse the Initial Purchaser to the extent that it incurs losses with respect to the sale of the Eligible Collateral Debt Securities purchased under the Warehousing Facility that become ineligible for sale to the Issuer pursuant to the Warehousing Facility. If Citigroup or any of its affiliates was to become the subject of a case or proceeding under the United States Bankruptcy Code, another applicable insolvency law or a stockbroker liquidation under the Securities Investor Protection Act of 1970, the trustee in bankruptcy, other liquidator or the Securities Investor Protection

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Corporation could assert that Eligible Collateral Debt Securities acquired from Citigroup or any of its affiliates are property of the insolvency estate of Citigroup or such affiliate. Property that Citigroup or any of its affiliates has pledged or assigned, or in which Citigroup or any of its affiliates has granted a security interest, as collateral security for the payment or performance of an obligation, would be property of the estate of Citigroup or such affiliate. Property that Citigroup or any of its affiliates has sold or absolutely assigned and transferred to another party, however, is not property of the estate of Citigroup or such affiliate. The Issuer does not expect that the purchase by the Issuer of Eligible Collateral Debt Securities, under the circumstances contemplated by this Offering Circular, will be deemed to be a pledge or collateral assignment (as opposed to the sale or other absolute transfer of such Eligible Collateral Debt Securities to the Issuer). 26. The Issuer. The Issuer is a recently incorporated Cayman Islands entity and has no prior operating history or prior business. The Issuer will operate under the Companies Law (2004 Revision) of the Cayman Islands. The Issuer will have no significant assets other than the Collateral that has been pledged to the Trustee to secure the Secured Obligations. The Issuer will not engage in any business activity other than as described herein under "The Issuer and the Co-IssuerThe Issuer." Income derived from the Collateral will be the Issuer's only source of cash. The Income Notes will constitute a residual interest in the assets of the Issuer. Because the Issuer is a Cayman Islands company, it may not be possible for investors to effect service of process within the United States or to enforce against the Issuer in United States courts judgments predicated upon the civil liability provisions of the United States securities laws. 27. The Co-Issuer. The Co-Issuer is a newly formed Delaware corporation and has no prior operating history or prior business. The Co-Issuer will operate under the General Corporation Law of the State of Delaware. The Co-Issuer does not have and will not have any substantial assets. The Co-Issuer will not engage in any business activity other than the co-issuance of the Co-Issued Notes. The Income Notes will not represent any debt obligations of the Co-Issuer. 28. Potential Conflicts of Interest Involving the Manager. Various potential and actual conflicts of interest may arise from the overall investment activities of the Manager and its Affiliates. The following briefly summarizes some of these conflicts, but is not intended to be an exhaustive list of all such conflicts. Credit Suisse Alternative Capital, Inc. (the "Manager"), Credit Suisse, a Swiss bank (the "Bank") and Credit Suisse Securities (USA) LLC ("CSS") are affiliated entities. Due to the breadth of the activities of the Manager, the Bank, CSS and their affiliates, conflicts of interest may arise as a result of various factors involving the Manager and CSS and their respective affiliates and others. CSS has entered into a services agreement with the Manager to make available to the Manager certain of its employees to enable the Manager to perform its obligations under the Management Agreement. These employees of CSS are members of the Leveraged Investment Group ("LIG"). Certain members of the LIG team are also officers of the Manager. See "The Manager". Various potential and actual conflicts of interest may exist from the overall investment activities of the Manager, its officers and its affiliates and their employees for their own accounts or for the accounts of others. The Manager and its officers and affiliates (including CSS) and their employees either for their own accounts or the accounts of others, may invest in securities or obligations that would be appropriate as Collateral Obligations and may be buyers or sellers of credit protection that reference Collateral Obligations and CDS Reference Obligations owned by the Issuer. The Manager may acquire Asset Backed Securities of issuers for which the Manager or an affiliate acts as a manager or investment manager and receives compensation therefor. In such cases, the Manager will benefit from fees at the Asset Backed Security level as well as fees paid by the Issuer. Affiliates of the Manager may act as the underwriter, initial purchaser or placement agent for a significant portion of the Collateral Obligations (and securities that are CDS Reference Obligations of Eligible Collateral Debt Securities) acquired by the Issuer and receive compensation in connection therewith. In addition, affiliates of the Manager may act as the underwriter, initial purchaser, placement agent, arranger or syndication or other agent in connection with the issuance of obligations that are owned by the issuers of, or otherwise back, the Collateral Obligations acquired by the Issuer and receive compensation in connection therewith. Such ownership and such other relationships may result in securities laws restrictions on transactions in such securities by the Issuer. The Manager and its affiliates also currently serve as and expect to serve in the future as manager for, invest in and/or be affiliated with, other entities which invest in, underwrite or originate Asset Backed Securities including securities similar to those to be acquired by the Issuer. The Manager or its affiliates, including members of the LIG team, may make investment decisions for themselves, their respective clients and their affiliates that may be different from those made by such

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persons on behalf of the Issuer, even where the investment objectives are the same or similar to those of the Issuer. The Manager and its officers and affiliates and their respective employees may at certain times be simultaneously seeking to purchase or sell the same or similar investments for the Issuer and another client for which any of them serves as investment adviser or manager, or for themselves. Likewise, the Manager may on behalf of the Issuer make an investment in an issuer or obligor in which another account, client or affiliate is already invested or has co-invested. Making such an investment (on an initial or follow on basis) may result in a direct or indirect benefit to the Manager or its affiliates. Likewise, the Issuer may not be able to invest in opportunities where other clients have invested. The Manager and members of the LIG team performing services for the Manager may, in their discretion, give priority over the Issuer in the allocation of investment opportunities to certain accounts or clients designated by the Manager or members of the LIG team in their discretion and to other accounts or clients of the Manager or its affiliates to the extent obligated or permitted by the application of regulatory requirements, internal policy and client guidelines and/or principles of fiduciary duty. Although the Manager expects to allocate its investment opportunities among the clients of the Manager and of its affiliates in a manner which it believes to be fair and equitable over time, neither the Manager nor any of its affiliates has any obligation to obtain for the Issuer any particular investment opportunity, and the Manager may be precluded from offering to the Issuer particular securities in certain situations including, without limitation, where the Manager or its affiliates may have a prior contractual commitment with other accounts or clients or as to which the Manager or any of its affiliates possesses material, non-public information. The Manager may decline to make a particular investment for the Issuer in view of such relationships. There is no assurance that the Issuer will hold the same investments or perform in a substantially similar manner as other funds with similar strategies under the management of the Manager. There is also a possibility that the Issuer will invest in opportunities declined by the Manager or its affiliates for the accounts of others or for their own accounts. This may result in disparate performance results among funds or client accounts managed by the Manager. In making investments on behalf of accounts or clients that the Manager or its affiliates manage or advise either now or in the future, the Manager in its discretion may aggregate orders for the Issuer with orders for such other accounts, notwithstanding that depending upon market conditions, aggregated orders can result in a higher or lower average price. The Manager and its officers, directors, agents and affiliates, including the Bank and CSS and their respective affiliates, may also have ongoing relationships with, provide services to and receive compensation from the issuers and/or the portfolio managers for the issuers, of Collateral Obligations and CDS Reference Obligations and the issuers of obligations backing or securing such Collateral Obligations and CDS Reference Obligations and they or their clients may own equity or other securities or obligations issued by issuers of Collateral Obligations and CDS Reference Obligations and other issuers of such other obligations. In addition, the Manager, its officers and affiliates (including the Bank and CSS and their respective affiliates) and their employees, either for their own accounts or for the accounts of others, may invest in securities or obligations that are senior or junior to, or have interests different from or adverse to, the securities or obligations that are acquired by the Issuer. The Manager and its affiliates, including the Bank and CSS and their respective affiliates, may or will own as principals and/or may have structured and originated an initial issuance of Collateral Obligations purchased by the Issuer or the high-yield bonds, loans or other obligations that back such Collateral Obligations and/or have investments (including equity investments) in the issuers of such Collateral Obligations, high-yield bonds, loans and other obligations. The Manager and its affiliates, including the Bank and CSS, are active participants in the market for underwriting, placement, structuring and trading of Asset Backed Securities, high yield bonds and loans and also may, for a negotiated fee, perform advisory or other services or may engage in a variety of other transactions with companies who are current or prospective obligors or issuers of Collateral Obligations or obligations securing such Collateral Obligations. The Management Agreement sets forth certain restrictions on the Manager's ability to purchase for the Issuer certain securities and other obligations owned or originated by the Manager or its affiliates, and any purchases of any such securities or other obligations, when permitted, must be on terms prevailing in the market, and are subject, in certain cases, to consent by the Conflicts Review Board described below. Accordingly, there may be circumstances when the Issuer may be prevented from purchasing or selling Collateral Obligations or from taking other actions that the Manager might consider in the best interest of the Issuer when the Manager or an affiliate thereof has been involved in the underwriting or placement of, or has provided advisory services in connection with, the related transaction. The Manager and its officers, agents and affiliates, including CSS, and their employees, may serve on creditor or equity committees or advise companies, potentially including companies that have issued securities or

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obligations owned by the Issuer or that back securities or obligations owned by the Issuer, subject to bankruptcy or insolvency proceedings or otherwise be engaged in financial restructuring activities in a variety of capacities. Such activities may result in the Manager receiving confidential information and may reduce the Manager's flexibility in purchasing or selling securities or other obligations on behalf of the Issuer. At times, the Manager and the members of the LIG team performing services for the Manager, in an effort to avoid restrictions for the Issuer and its other clients, may elect not to receive information that other market participants or counterparties are eligible to receive or have received. Affiliates of the Manager, including the Bank and CSS and their respective affiliates, may act as a Hedge Counterparty or a CDS Asset Counterparty which may create certain conflicts of interest. Affiliates of the Manager, including CSS, also maintain research departments with professional staffs of portfolio managers and/or securities analysts who will provide research services for the Manager as well as for other funds and investment advisory clients advised by the Manager and its affiliates. Under the Management Agreement, the Manager is permitted to effect or recommend transactions between the Issuer and any of the Manager and its affiliates, acting as principal or on behalf of any account or portfolio for which the Manager or any of its affiliates serves as investment advisor, only upon disclosure to and with the prior consent of an institution unaffiliated with the Manager that has been appointed from time to time by the Issuer as its agent for such purpose (the "Conflicts Review Board"). The Conflicts Review Board will also be authorized by the Issuer to approve or decline to approve on the Issuer's behalf matters that the Manager has determined should be presented to the Issuer for its approval either for the purpose of compliance with the Advisers Act, or otherwise where a potential conflict of interest may arise by reason of the involvement of an affiliate of the Manager (including, without limitation, in the case of a purchase or sale of assets between the Issuer and another account or portfolio for which the Manager or an affiliate thereof serves as investment advisor). In addition, the Manager and its affiliates, including the Bank and CSS, will be authorized to engage in cross transactions, including "agency cross" transactions (i.e., transactions in which either CSS or one of its affiliates or another person acts as a broker for both the Issuer and another person on the other side of the same transaction, which person may be an account or client for which the Manager or any affiliate serves as investment adviser). The Issuer has agreed to permit cross transactions; provided, that such consent can be revoked at any time by the Issuer or the Conflicts Review Board, and to the extent that the Issuer's consent with respect to any particular cross transaction is required by law, such cross transaction will be reviewed by and subject to the consent of the Conflicts Review Board. By purchasing a Note, a holder shall be deemed to have consented to the procedures described herein relating to cross transactions and principal transactions and, to the general authorization of the Conflicts Review Board described above. CSS or its affiliates may receive commissions from, and have a potentially conflicting division of loyalties and responsibilities regarding, both parties to any such principal transaction or cross transactions or other matter presented to the Conflicts Review Board for its approval on the Issuer's behalf. The Conflicts Review Board or an affiliate may purchase Notes. The Issuer has appointed Wilmington Trust Company to be the initial Conflicts Review Board. The fees and expenses of the Conflicts Review Board will be payable by the Issuer as part of its expenses in accordance with the Priority of Payments (or, with respect to amounts due on the Closing Date, from the gross proceeds of the sale of the Notes). The Conflicts Review Board is also entitled to indemnification from the Issuer in relation to its performance of its services, which will be payable as part of the Issuer's expenses in accordance with the Priority of Payments. The Conflicts Review Board was not engaged to perform any services with respect to the Eligible Collateral Debt Securities to be purchased on the Closing Date. Certain Eligible Collateral Debt Securities will be acquired prior to the Closing Date from Affiliates of the Manager by the Initial CDS Asset Counterparty on behalf of the Issuer. Such acquisitions will not be reviewed by the Conflicts Review Board. By purchasing a Note, a Holder is deemed to have consented for purposes of the Advisers Act to the acquisition of such Eligible Collateral Debt Securities. Each order for the acquisition or sale of a security or other obligation will be placed with a specific broker-dealer (which can include the Initial Purchaser or an affiliate of the Manager) selected by the Manager with the objective of receiving "best execution". "Best execution" essentially means that the trading process employed seeks to maximize value of the client's portfolio. In seeking best execution, the Manager considers the full range and quality of a counterparty's services including, among other things, the value of research provided, execution and operational capability, integrity and sound financial practices within stated objectives and constraints. Determining

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the quality of trade execution requires the evaluation, over time, of subjective, objective and complex qualitative and quantitative factors. In making this determination the Manager examines whether a client's assets would be exposed to non-operational counterparty related risk, whether value would be added by reducing trading costs and whether operational risk would be incurred. When selecting a counterparty, it is not the Manager's practice to negotiate "execution only" commission rates. The determinative factor is not necessarily the lowest possible commission or best possible price, but whether the transaction represents the best qualitative and quantitative execution for the client. The Manager may receive brokerage or research services in connection with the acquisition or sale of a security or other obligation that are consistent with the "safe harbor" provisions of Section 28(e) of the Exchange Act, although it receives no such services as of the date of this Offering Circular. While the Manager generally seeks reasonably competitive pricing, markups, commissions and spreads, the Issuer will not necessarily pay the lowest pricing, markup, commission or spread available with respect to any particular transaction. In the event the Manager effects transactions through an affiliate of the Manager, including CSS, the Manager may have potentially conflicting division of loyalties and responsibilities regarding both parties to such transactions. Although certain personnel providing services to the Manager will devote as much time to the management of the Collateral Obligations of the Issuer as the Manager deems appropriate, none of such personnel is expected to devote substantially all of his or her working time to the management of the investments of the Issuer and such personnel may have conflicts in allocating their time and service among the Issuer and the other accounts or clients now or hereafter advised by the Manager and other functions they perform as part of the LIG team of CSS. The Manager has agreed that a fund managed by the Manager will purchase U.S.$2,000,000 of the Income Notes on the Closing Date at a negotiated price that may be less than the par amount thereof. Affiliates of the Manager (including CSS) may, but are not required to, purchase Income Notes subject to applicable restrictions on beneficial ownership described herein. Neither the Manager nor any of its affiliates is under any obligation to hold any Notes so purchased for any period of time. There will be no restriction on the ability of the Manager, CSS or any of their respective affiliates to purchase the Notes (either upon initial issuance or through secondary transfers) and to exercise any voting rights to which such Notes are entitled (except that Notes held by the Manager and certain of its affiliates shall be disregarded with respect to voting rights under certain circumstances as described in the Indenture and the Management Agreement, in relation to the removal of the Manager). The Notes may also be purchased (either upon initial issuance or through secondary transfers) by investment funds or other accounts for which the Manager serves as investment advisor and there are only limited restrictions on the exercise by such funds or accounts of any voting rights to which such Notes are entitled. Any votes cast in relation to Income Notes held by the Manager or its affiliates will not be counted for any purposes. If CSS holds any Notes, it will have no obligation to exercise any voting rights associated with such Notes in any manner and, at any applicable time, may exercise such voting rights in a manner adverse to some or all of the other holders of Notes. Although the Manager or its affiliates or its clients may at times be a holder of Notes, its interests and incentives will not necessarily be completely aligned with those of the other holders of the Notes (or of the holders of any particular Class of the Secured Notes or the Income Notes). The ownership of Income Notes by it and its affiliates may give the Manager an incentive to take actions that vary from the interests of the holders of the Secured Notes. On the Closing Date, the Manager will be reimbursed for certain of its expenses by the Issuer. CSS or its affiliates may act as a placement agent and/or initial purchaser in other transactions involving issues of collateralized debt obligations and other similar portfolios managed by other investment managers, and may provide financing for the accumulation of leveraged loans and high yield bonds that serve as collateral for such transactions. CSS is not obligated to pursue any particular investment opportunities available to the Issuer or the Manager, and may allocate investment opportunities among their various customer relationships, including the Issuer and the Manager, at its discretion. Such activities may have an adverse effect on the availability of Collateral Obligations for the Issuer. The Manager and its affiliates may enter into, for their own account, or for other accounts for which they have investment discretion, credit swap agreements relating to entities that are issuers of Collateral Obligations held by the Issuer. The Manager and its affiliates and clients may also have equity and other investments in and may be lenders to, and may have other ongoing relationships with such entities. As a result, officers, key professionals and

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other employees of the Manager and its affiliates may possess information relating to the Collateral Obligations held by the Issuer that is not known to the individuals at the Manager responsible for monitoring the Collateral Obligations held by the Issuer and performing other obligations under the Management Agreement. In addition, the Manager, its affiliates and their respective clients may invest in securities (or make loans) that are included among, rank pari passu with or senior or junior to Collateral Obligations held by the Issuer, or have interests different from or adverse to those of the Issuer. 29. Potential Conflicts of Interest with Citigroup Global Markets Inc. Citigroup will act as the Initial Purchaser of the Secured Notes and as Placement Agent for the Class Q Combination Notes and the Income Notes and has also previously provided financing and hedging arrangements under the Warehousing Facility. CGML, an Affiliate of Citigroup, will be the initial Class A1 Swap Counterparty, and in such capacity will as the Requisite Noteholder have certain voting and consent rights and other similar rights under the Indenture and certain other Transaction Documents. For purposes of the Indenture, CGML will be the Requisite Noteholder on the Closing Date by reason of its role as Class A1 Swap Counterparty. In its role as Class A1 Swap Counterparty, CGML will have the ability to control whether the CDS Assets are required to contain the CDS Asset Counterparty Forbearance and whether certain mandatory funding requirements under the Class A1 Swap will be applicable to CGML. The interests of CGML as Class A1 Swap Counterparty may conflict with the interests of the Holders of the Notes in respect of any matter requiring consent or any other matter subject to the discretion of CGML. None of CGML, Citigroup or any other Affiliate of Citigroup will be required to consider the interests of Noteholders in exercising such rights. As the Requisite Noteholder, CGML may (and currently expects to) delegate or assign certain of its rights to one or more third parties in connection with a hedging of its position. The Class A1 Swap Counterparty expects to enter into a credit derivative contract with a back-to-back counterparty (the "BTB Counterparty") that will reference the Class A1 Swap. Such contract may give the right to such BTB Counterparty in effect to control the exercise of the voting rights and remedies held by the Class A1 Swap Counterparty, which include the rights and remedies given the Class A1 Swap Counterparty in its role as the Requisite Noteholder. Thus the BTB Counterparty may have the ability, among other voting rights allocated to the Requisite Noteholder, to direct the acceleration of the Secured Notes and to direct the liquidation of the Collateral, even if the anticipated net proceeds of such liquidation would not be sufficient to pay all the Secured Notes in full. Furthermore, the BTB Counterparty may control the ability of the Issuer to acquire CDS Assets by virtue of its consent rights relating to modifications to the Form-Approved ABS Asset Agreement or the Form-Approved CDO Asset Agreement. In addition, the BTB Counterparty will be provided access to Monthly Reports, Payment Reports and other information regarding the Issuer and the Collateral. An Affiliate of Citigroup is expected to act as the Initial CDS Asset Counterparty under CDS Assets with a Net Aggregate Adjusted Notional Amount of approximately U.S.$869,256,000 as of the Closing Date, will act as the swap counterparty under the CDS Collateral Agreement to be executed on the Closing Date and may act as the swap counterparty under other derivative agreements entered into by the Issuer. In such capacity as swap counterparty, Citigroup (or such Affiliate) may be expected to have interests that are adverse to the interests of the Noteholders. Typically, such a swap counterparty would act as calculation agent pursuant to the derivative agreement and, in such capacity, have broad authorization to perform actions, such as calculations of payment amounts, that involve the exercise of judgment and discretion. As such a swap counterparty, Citigroup will have no duty to act on behalf of the Noteholders and, directly or indirectly, may act in ways adverse to them. In addition, Citigroup or its Affiliates may have had in the past and may in the future have business relationships and dealings with one or more issuers of Eligible Collateral Debt Securities and their Affiliates and may own equity or debt securities issued by issuers of Eligible Collateral Debt Securities or their Affiliates. Citigroup or its Affiliates may have provided and may in the future provide investment banking services and other services to an issuer or sponsor of Eligible Collateral Debt Securities or its Affiliates and may have received or may receive compensation for such services. Citigroup or its Affiliates may buy securities from and sell securities to an issuer of Eligible Collateral Debt Securities included in the Collateral or its Affiliates for their own account or for the accounts of their customers. Some of the Eligible Collateral Debt Securities included in the Collateral may be obligations of issuers or obligors, or obligations sponsored or serviced by companies, for which Citigroup or one of its Affiliates may have acted as underwriter, agent, placement agent or dealer or for which an Affiliate of Citigroup has acted as lender or

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provided other commercial or investment banking services. The Issuer will purchase Eligible Collateral Debt Securities from Citigroup or its Affiliates only to the extent that such Eligible Collateral Debt Securities have been selected by the Manager for inclusion under the Warehousing Facility and the purchase of such Eligible Collateral Debt Securities is consistent with the investment guidelines described in the Warehousing Facility. 30. Potential Conflicts of Interest Involving the Trustee. LaSalle will act as Trustee, Secured Note Paying Agent, Income Note Paying Agent, Collateral Administrator, Secured Note Transfer Agent, Income Note Registrar and Indenture Registrar. In addition, it is likely that the Trustee will act as trustee with respect to a portion of the aggregate principal amount of Eligible Collateral Debt Securities that, as of the date of this Offering Circular (subject to change prior to the Closing Date), are expected to be acquired by the Issuer on the Closing Date or are acquired in the future. Nevertheless, the Trustee and any of its affiliates providing services in connection with the contemplated transactions will have only the duties and responsibilities expressly provided in each capacity and will not, by virtue of its or any affiliate acting in any other capacity, be deemed to have duties or responsibilities or be deemed to be held to a standard of care other than as expressly provided with respect to each such capacity. In certain circumstances, the Trustee or an affiliate may receive compensation in connection with the Trustee's (or such affiliate's) investment in certain Eligible Investments on behalf of the Issuer from the managers of such Eligible Investments. 31. Insolvency Considerations With Respect to Issuers of Eligible Collateral Debt Securities. The Eligible Collateral Debt Securities consisting of obligations of non-U.S. issuers ("Non-U.S. Issuers") may be subject to various laws enacted in the home countries of such issuers for the protection of creditors. These insolvency considerations will differ depending on the country in which each issuer is located and may differ depending on whether the issuer is a non-sovereign or a sovereign entity. Various laws enacted for the protection of creditors may apply to the Eligible Collateral Debt Securities issued by U.S. issuers (each, a "U.S. Collateral Debt Security"). If a court in a lawsuit brought by an unpaid creditor or representative of creditors of an issuer of a U.S. Collateral Debt Security, 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 the U.S. Collateral Debt Security 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 greater than all of its property at a fair valuation or if the present fair saleable value of its assets were less than the amount that would be required to pay its probable liabilities on its existing debts as they became absolute and matured. There can be no assurance as to what standard a court would apply in order to determine whether the issuer was "insolvent" after giving effect to the incurrence of the indebtedness constituting the U.S. Collateral Debt Security 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 U.S. Collateral Debt Security, payments made on such U.S. Collateral Debt Security could be subject to avoidance as a "preference" if made within a certain period of time (which may be as long as one year and one day) before insolvency. In general, if payments on a U.S. Collateral Debt Security are avoidable, whether as fraudulent conveyances or preferences, such payments can be recaptured either from the initial recipient (such as the Issuer) or from subsequent transferees of such payments (such as the Holders of the Notes). To the extent that any such payments are recaptured from the Issuer, the resulting loss will be borne by the Notes, in reverse order of seniority. However, a court in a bankruptcy or insolvency proceeding would be able to direct the recapture of any such payment from a Holder of Notes only to the extent that such court has jurisdiction over such Holder or its assets. It is unlikely that avoidable payments could be recaptured directly from a Holder that has given value in exchange for its Note in good faith and without knowledge that the payments were avoidable. Since there is no judicial precedent of which the Issuer is aware relating to structured securities such as the Notes, there can be no assurance that a Holder of the Notes will be able to avoid recapture on this basis.

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In addition, if an issuer of a U.S. Collateral Debt Security is the subject of a bankruptcy proceeding, payments to the Issuer with respect to such U.S. Collateral Debt Security may be delayed or diminished as a result of the exercise of various powers of the bankruptcy court including the following: (i) an "automatic stay", under which the Issuer will not be able to institute proceedings or otherwise enforce its rights against the issuer or obligor with respect to such U.S. Collateral Debt Security without permission from the court, (ii) conversion by the bankruptcy court of such U.S. Collateral Debt Security into more junior debt or into an equity obligation of the issuer thereof or obligor thereon, (iii) modification of the terms of the U.S. Collateral Debt Security by the bankruptcy court, including reduction or delay of the interest or principal payments thereon and (iv) grant of a priority lien to a new money lender to the issuer of, or obligor on, the U.S. Collateral Debt Security. 32. Tax Treatment of the Issuer. The Issuer will adopt certain operating procedures designed to reduce the risk that the Issuer will be deemed to have engaged in a trade or business in the United States. The Issuer will receive an opinion of Milbank, Tweed, Hadley & McCloy LLP subject to customary assumptions and qualifications to the effect that, assuming the Issuer and Manager comply with these procedures, the Issuer will not be engaged in a trade or business in the United States. As long as the Issuer is not engaged in a United States trade or business, the Issuer will not be subject to United States Federal income tax on its net income. However, an opinion of counsel is not binding on the IRS or any court and there can be no assurance that positions contrary to those stated in such opinions may not be asserted successfully by the IRS. In particular, prospective investors should note that the U.S. federal income tax treatment of derivative contracts in the form of credit default swaps is not entirely clear. The IRS has announced that it is reviewing the treatment of such derivative contracts, and it is possible that, as a result of such review, the IRS could adopt a tax characterization that results in parties entering into such contracts, including the Issuer, being treated as engaged in a trade or business within the United States. If the Issuer were found to be engaged in a United States trade or business, it could be subject to substantial United States Federal income taxes whose imposition would materially impair its ability to pay interest on and principal of the Secured Notes and make distributions with respect to the Income Notes. In addition, in that event payments in respect of the Secured Notes may be treated as United States source income and could be subject to withholding. See "Certain Tax Considerations". 33. Tax Treatment of United States Holders of CDO Equity. The federal income tax consequences for United States taxpayers who invest in the Issuer's equity are complex and may be adverse to these investors in some circumstances. Passive foreign investment company-overview. The Issuer will be a passive foreign investment company. A United States taxpayer generally must choose either (1) to elect to treat the Issuer as a qualified electing fund ("QEF") and to pay income tax on its pro rata share of the Issuer's income on a current basis whether or not that income is distributed to the investor or (2) to pay income taxes when cash distributions are actually received or gains are realized upon disposition of the equity, but subject to a potentially punitive additional tax. Treatment as a qualified electing fund. A United States taxpayer making the QEF election is required to report its pro rata share of the Issuer's income and capital gains even if the Issuer does not make corresponding cash distributions during the period. The Issuer typically will have lower taxable income than the amount of cash it distributes, after the initial year, as the Issuer amortizes certain issuance expenses. However, it is possible that a significant amount of the Issuer's income will not be distributed on a current basis even if the investor is currently taxed on the income (termed "phantom income"). Although there are many possible causes of phantom income not all of which may be described here, phantom income may arise, for example (1) if there are gains on the sale of securities and the sale proceeds are reinvested in additional collateral rather than being distributed;(2) if income is earned by the Issuer (and it receives corresponding amounts of cash), but the corresponding cash is diverted to pay principal of senior notes when certain compliance tests are not satisfied; (3) if accrual basis tax accounting causes the Issuer to accrue income for tax purposes from particular positions in its portfolio that does not correspond to the timing of cash received by the Issuer from those positions or (4) if the Issuer is unable to repay all of the outstanding principal of its debt and therefore is deemed to receive "cancellation of debt" income. A holder that makes a QEF election therefore may be required to recognize phantom income in amounts significantly greater than the distributions it receives or will receive from the Issuer. An electing United States investor generally has the ability to defer paying the tax on the phantom income until the cash is received, subject to an interest charge at a statutory rate (which may be non-deductible for a non-corporate holder). A taxpayer can make the QEF election at any time during the term of its investment in the Issuer's equity, but once the election is made, it is binding on that taxpayer

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for the remaining term of the investment. However, if the election is not made effective for the first taxable year that the investor owns the Issuer's equity, although the investor will be taxed currently on its pro rata share of the Issuer's income following the election, it also may remain subject to the regime below unless a special election is made to recognize any unrealized gain (which may be subject to the additional tax described below) at the time the election is made. Not treating as a qualified electing fund. A United States holder that makes no QEF election generally will pay income tax on the amount of cash actually received in any year. Any gains upon disposition of the equity and "excess distributions" received (i.e., distributions commencing in the second year of the investment, to the extent that they exceed 125% of the average distributions for the shorter of the prior 3 years or the taxpayer's holding period), are subject to a special additional tax. These gains and excess distributions are effectively treated as having accrued on a straight line basis over the investor's entire holding period and as having attracted tax at the highest marginal rate in effect for the year of accrual, and an interest charge (which generally is non-deductible for a non-corporate holder) is imposed at a statutory rate on that tax from the year in which tax is deemed to have accrued through the year in which the tax is actually paid. This effectively precludes an individual investor from benefiting from reduced rates generally applicable to capital gains. Moreover, the effective rate of tax may exceed the rate that would have applied if the taxpayer had included income currently under the QEF election and deferred the tax subject to the non-deductible interest charge. Possible application of controlled foreign corporation rules. Depending on the ultimate composition of the equity investor group, the Issuer also may be classified as a controlled foreign corporation in which case United States taxpayers may be required to pay income tax based its pro rata share of the Issuer's income on a current basis at ordinary income rates. The above discussion is a very general discussion of the tax treatment of an equity investment by a United States taxpayer. All taxpayers should review the discussion under the heading "Certain Tax Considerations" and consult with their tax advisor to the extent necessary to determine the appropriate tax treatment and to assist them with the proper filings. 34. Withholding Taxes. The Issuer expects that payments received on the Eligible Collateral Debt Securities, the Eligible Investments, the Cashflow Swap Agreement and the Hedge Agreements generally will not be subject to withholding tax imposed by the United States or reduced by withholding taxes imposed by any other country. The Indenture will require that the Eligible Collateral Debt Securities not be subject to withholding tax at the time of purchase thereof by the Issuer unless the issuer of the Eligible Collateral Debt Security is required to make "gross-up" payments to cover the full amount of such withholding tax. There can be no assurance, however, that payments on the Eligible Collateral Debt Securities, the Eligible Investments, the Cashflow Swap Agreement or the Hedge Agreements will not become subject to withholding as a result of any change in any applicable law, treaty, rule or regulation or contrary interpretation thereof or other causes. In particular, prospective investors should note that the U.S. federal income tax treatment of derivative contracts in the form of credit default swaps is not entirely clear. The IRS has announced that it is reviewing the treatment of such derivative contracts, and it is possible that, as a result of such review, the IRS could adopt a tax characterization that results in parties entering into such contracts, including the Issuer, being subject to excise or withholding taxes on payments in respect of such derivatives. The imposition of unanticipated withholding taxes could materially impair the Issuer's ability to make payments on the Secured Notes and make distributions with respect to the Income Notes. See "Certain Tax Considerations". Although no withholding tax is currently imposed on payments on the Notes, there can be no assurance that the payments on the Notes will not in the future become subject to withholding tax as a result of any change in any applicable law, treaty, rule, regulation or interpretation thereof or other causes. The Issuer will not "gross-up" payments to the holders of the Notes. Upon the occurrence of a Tax Event, the Issuer will be required, if so directed by a Majority of the Income Notes, to redeem the Secured Notes in accordance with the procedures described under "Description of the NotesRedemption" herein. 35. Absence of Other Regulatory Oversight; Investment Company Act Considerations. While the Issuer is similar in some ways to an investment company within the meaning of the Investment Company Act, it is not required and does not intend to register as such, and, accordingly, investors in the Notes will not be afforded the

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protections of the Investment Company Act. Counsel for the Co-Issuers will opine in connection with the sale of the Notes, that none of the Issuer, the Co-Issuer and the pool of Collateral is on the Closing Date an investment company required to be registered under the Investment Company Act assuming, for the purposes of such opinion, that the Notes are being offered by or through the Initial Purchaser and Placement Agent in the manner contemplated by this Offering Circular. No opinion or no-action position has been or will be requested of the SEC with respect to the foregoing matters. If the SEC or a court of competent jurisdiction were to find that the Issuer or the Co-Issuer is required, but failed, to register as an investment company in violation of the Investment Company Act, possible consequences include, but are not limited to, the following: (i) the SEC could apply to a district court to enjoin the violation; (ii) investors in the Issuer or the Co-Issuer could sue the Issuer or the Co-Issuer, as the case may be, and recover any damages caused by the violation; and (iii) any contract to which the Issuer or the Co-Issuer, as the case may be, is a party that is made in, or whose performance involves a violation of the Investment Company Act would be unenforceable by any party to the contract unless a court were to find that under the circumstances enforcement would produce a more equitable result than non-enforcement and would not be inconsistent with the purposes of the Investment Company Act. Should the Issuer or the Co-Issuer be subjected to any or all of the foregoing, the Issuer or the Co-Issuer, as the case may be, and the Holders of the Notes would be materially and adversely affected. 36. ERISA Considerations. The Issuer intends to restrict ownership (through the use of written and deemed representations) of the Class Q Combination Notes and the Income Notes so that no assets of the Issuer will be deemed to be "plan assets" subject to Title I of ERISA or Section 4975 of the Code as such term is defined in Section 3(42) of ERISA and the Plan Asset Regulation. In particular, with respect to the Class Q Combination Notes and the Income Notes, each purchaser and transferee will be required to acknowledge, represent and agree, or in the case of a Class Q Combination Note or Income Note represented by a Global Note, will be deemed to have acknowledged, represented and agreed, that it is not, and is not acting on behalf of or using the assets of, a Benefit Plan Investor (including, without limitation, an insurance company general account). "Benefit Plan Investor" is defined in Section 3(42) of ERISA to mean (a) any "employee benefit plan" (as defined in Section 3(3) of ERISA) that is subject to the fiduciary responsibility requirements of Title I of ERISA (b) any "plan" to which Section 4975 of the Code applies and (c) any entity whose underlying assets include plan assets by reason of such an employee benefit plan's or plan's investment in such entity. Notwithstanding these restrictions, there can be no assurance that plans that are subject to Title I of ERISA and/or Section 4975 of the Code will not acquire Class Q Combination Notes, Income Notes or any other class of equity interests in the Issuer, and thus no assurance that the assets of the Issuer will not be deemed to be "plan assets" of plans that are subject to Title I of ERISA and/or Section 4975 of the Code. If the assets of the Issuer were deemed to be "plan assets", certain transactions that the Issuer might enter into, or may have entered into, in the ordinary course of business might constitute non-exempt prohibited transactions under ERISA and/or Section 4975 of the Code and might have to be rescinded, at significant cost to the Issuer. Additionally, the Issuer or one or more of the persons who participated in any such non-exempt prohibited transaction may be subject to other liabilities or penalties with respect to such transaction. See "Certain ERISA Considerations" herein for a more detailed discussion of certain ERISA and related considerations with respect to an investment in the Notes. 37. Anti-Money Laundering Provisions. The Uniting and Strengthening America By Providing Appropriate Tools Required to Intercept and Obstruct Terrorism Act of 2001 (the "USA PATRIOT Act"), signed into law on and effective as of October 26, 2001, imposes anti-money laundering obligations on different types of financial institutions, including banks, broker-dealers and investment companies. The USA PATRIOT Act requires the Secretary of the United States Department of the Treasury (the "Treasury") to prescribe regulations to define the types of investment companies subject to the USA PATRIOT Act and the related anti-money laundering obligations. It is not clear whether Treasury will require entities such as the Issuer to enact anti-money laundering policies. It is possible that Treasury will promulgate regulations requiring the Co-Issuers or the Manager or other service providers to the Co-Issuers, in connection with the establishment of anti-money laundering procedures, to share information with governmental authorities with respect to investors in the Notes. Such legislation and/or regulations

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could require the Co-Issuers to implement additional restrictions on the transfer of the Notes. As may be required, the Issuer reserves the right to request such information and take such actions as are necessary to enable it to comply with the USA PATRIOT Act. The Administrator is also subject to anti-money laundering laws and regulations in the Cayman Islands which impose specific requirements with respect to the obligation "to know your client". Except in relation to certain categories of institutional investors, the Administrator will require a detailed verification of each initial investor's identity and the source of the payment used by such initial investor for purchasing the Notes in a manner similar to the obligations imposed under the laws of other major financial centers. If the Cayman Islands government determined the Administrator was in violation of the anti-money laundering provisions, the Issuer could be subject to substantial criminal penalties. Payment of any such penalties could materially adversely affect the timing and amount of payments to the Holders of the Notes. 38. German Tax Treatment of German Investors. The German Investment Tax Act (Investmentsteuergesetz) ("Investment Tax Act") applies (i) to "shares" (Investmentanteile) in investment funds held by German tax resident investors, (ii) to an investor holding shares in an investment fund as business assets of a German permanent establishment maintained in Germany or carried on through a permanent representative in Germany, or as business assets of a fixed base in Germany or (iii) if an investor physically presents shares in an investment fund at the office of a German credit institution or financial services institution (over-the-counter transaction (Tafelgeschft)) (collectively, "German Investors"). The Issuer believes that the Investment Tax Act should not be applicable to Holders of the Notes. However, if any German Investor notifies the Issuer that it is subject to the Investment Tax Act, the Indenture and the Income Note Paying Agency Agreement, respectively, provide that the Issuer will agree, if the expense is not material, to comply with the minimum statutory reporting and publication requirements (the "Minimum Reporting Requirements") set forth in paragraph 1 of Section 5 of the Investment Tax Act for so-called "semi-transparent funds" for so long as such German Investor holds any Notes or Income Notes, as applicable. There can be no assurance that the Issuer's compliance with the Minimum Reporting Requirements will not result in material expenses to the Issuer. Due to the fact that the Investment Tax Act has only recently been enacted and so far no court decisions or tax circulars are available in this respect, there are a number of uncertainties regarding the interpretation of the tax provisions contained in the Investment Tax Act (including Minimum Reporting Requirements). This risk factor should be read in conjunction with the information provided in "Certain Tax ConsiderationsGerman Tax Considerations". 39. Emerging Requirements of the European Union. As part of the harmonization of securities markets in Europe, the European Union (the "E.U.") has adopted a directive known as the "Prospectus Directive" (which provided for mandatory implementation by E.U. member states by July 1, 2005) that regulates offers of securities to the public in E.U. member states and admissions to trading to E.U. regulated markets. The E.U. has also adopted a directive known as the Transparency Directive (which provides that it must be implemented by E.U. member states by January 20, 2007) that will among other things, impose continuing financial reporting obligations on issuers that have certain types of securities admitted to trading on an E.U. regulated market. In addition, the Market Abuse Directive (which provided for mandatory implementation by E.U. member states by October 12, 2004) harmonizes the rules on insider trading and market manipulation in respect of securities admitted to trading on an E.U. regulated market and requires issuers of such securities to disclose any non public price sensitive information as soon as possible, subject to certain limited exemptions. The listing of Notes on the Irish Stock Exchange would subject the Co-Issuers to regulation under these directives, although the requirements applicable to the Co-Issuers are not yet fully clarified. The Indenture will not require the Co-Issuers to maintain a listing for any Class of Notes on an E.U. regulated market if compliance with these directives (or other requirements adopted by the European Commission or a relevant E.U. member state) becomes burdensome in the sole judgment of the Manager.

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THE ISSUER AND THE CO-ISSUER The Issuer The Issuer, a special purpose vehicle, has no prior operating history, prior business or employees. Clause 3 of the Issuer's Amended and Restated Memorandum of Association sets out the objects of the Issuer, which include the business to be carried out by the Issuer in connection with the issuance of the Notes. The activities of the Issuer will be limited to (i) issuance of the Ordinary Shares, (ii) issuance of the Secured Notes which, together with the other Secured Obligations, will be secured by the Eligible Collateral Debt Securities and the other Collateral pledged by the Issuer under the Indenture, (iii) issuance of the Income Notes, (iv) purchase of the Eligible Collateral Debt Securities and Eligible Investments as permitted by the Indenture, (v) entering into the Transaction Documents and (vi) engaging in other activities incidental to the foregoing and permitted by the Transaction Documents. Cash flow derived from the Collateral securing the Secured Notes and the other Secured Obligations will be the Issuer's only source of cash. The Issuer will not be permitted to have any indebtedness for borrowed money other than indebtedness to be incurred pursuant to the Indenture and the other Transaction Documents as described herein. The Issuer may incur debt in the future only in compliance with and pursuant to the terms of the Indenture. The authorized share capital of the Issuer consists of the aggregate of 250 voting Ordinary Shares (the "Ordinary Shares"), par value U.S.$1.00 per share, all of which authorized Ordinary Shares have been issued prior to the Closing Date. All of the Issuer's Ordinary Shares are legally owned by the Share Trustee and will be held on the terms of a charitable trust for the benefit of one or more charitable organizations in the Cayman Islands under the terms of a declaration of trust. Under the terms of such declaration of trust, the Share Trustee will, among other things, agree not to dispose of or otherwise deal with such Ordinary Shares. The Share Trustee will have no beneficial interest in and derive no benefit other than its fees from its holding of the Ordinary Shares. The Issuer's Amended and Restated Articles of Association and the Amended and Restated Memorandum of Association (collectively, the "Articles") provide that the board of directors of the Issuer will consist of at least one and not more than 10 directors. The directors of the Issuer are as follows: Name Steven O'Connor Richard Ellison Address P.O. Box 1093 GT, George Town, Grand Cayman, Cayman Islands P.O. Box 1093 GT, George Town, Grand Cayman, Cayman Islands Occupation Vice President, Maples Finance Limited Vice President, Maples Finance Limited

The Co-Issuer The Co-Issuer, a special purpose vehicle, will not have any substantial assets and will not pledge any assets to secure the Secured Notes or the other Secured Obligation. Article 3 of the Co-Issuer's Certificate of Incorporation sets out the objectives of the Co-Issuer, which include the business to be carried out by the Co-Issuer in connection with the issuance of the Co-Issued Notes. The Co-Issuer has no prior operating history, prior business or employees. The activities of the Co-Issuer will be limited to (i) issuance of its common stock, (ii) co-issuance of the Co-Issued Notes and (iii) other activities incidental to the foregoing and permitted by the Indenture. The sole director of the Co-Issuer is Donald Puglisi who is also the President, Secretary and Treasurer of the Co-Issuer. Donald Puglisi may be contacted at the address of the Co-Issuer.

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Initial Capitalization of the Issuer The Issuer's expected initial capitalization and indebtedness on the Closing Date, after giving effect to the issuance of the Notes and the Ordinary Shares (before deducting issuance expenses paid by the Issuer on the Closing Date) is set forth below: Type Class S Notes Class A1 Notes Class A2 Notes Class A3 Notes Class A4 Notes Class B Notes Class C Notes Class Q Combination Notes Total Debt Income Notes Ordinary Shares Total Equity Total Capitalization Amount (U.S.) 39,200,000 500,000,0001 200,000,000 120,000,000 75,000,000 50,000,000 35,000,000 5,000,0002 1,019,200,000 22,000,000 250 22,000,250 1,041,200,250

$ $ $ $ $ $ $ $ $ $ $ $ $

1 2

Represents full funding of the Class A1 Swap Notional Amount The amount of Class Q Combination Notes shown is also included in the amounts of the underlying Class of Notes that comprise the Class Q Combination Notes; therefore, such amount is not included in the calculation of the Total Debt or Total Capitalization of the Issuer.

Capitalization of the Co-Issuer The Co-Issuer will be capitalized only to the extent of its common equity of U.S.$100 which will be legally owned by the Issuer and held in charitable trust by Maples Finance Limited as the Share Trustee, together with the Issuer's Ordinary Shares under the terms of the declaration of trust described above. The Co-Issuer will have no assets other than its equity capital and will have no debt other than as co-issuer of the Co-Issued Notes. The Non-Co-Issued Notes will not be obligations of the Co-Issuer. The Co-Issuer has no indebtedness for borrowed money other than indebtedness incurred pursuant to the Indenture and described herein. The Co-Issuer may incur debt in the future only in compliance with and pursuant to the terms of the Indenture. The Administrator Certain administrative functions in the Cayman Islands will be performed on behalf of the Issuer by the Administrator. The office of the Administrator will serve as the registered office and the general business office of the Issuer. Through this office and pursuant to the terms of an agreement by and between the Administrator and the Issuer (the "Administration Agreement"), the Administrator will perform various management functions on behalf of the Issuer, including communications with the holders of the Ordinary Shares and the general public and other services. In addition to the functions listed above, the Administrator will be the Share Registrar and maintain the Share Register. The Administrator provides similar services to various other Cayman Islands entities. 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.

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The Administrator will be subject to the overview of the Issuer's board of directors; however, the Issuer's directors are and are expected to be employees of the Administrator and its affiliates. The Administrator may resign or be terminated upon 30 days' prior written notice to the Issuer, in the case of resignation, or to the Administrator, in the case of termination. Upon the occurrence of either such event, the Issuer will promptly appoint a successor administrator.

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DESCRIPTION OF THE NOTES General The Secured Notes will be issued by the Issuer and the Co-Issued Notes will be co-issued by the Co-Issuers pursuant to, have the benefit of and will be secured pursuant to the Indenture. The Income Notes will be issued by the Issuer pursuant to the Income Note Paying Agency Agreement. The following summary describes certain provisions of the Notes, the Indenture and the Income Note Paying Agency Agreement. This summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Indenture and the Income Note Paying Agency Agreement. Status and Security All Classes of Notes will be subordinated to certain other payments under the Priority of Payments and certain amounts due to any Hedge Counterparty and the Cashflow Swap Counterparty, and certain other amounts will be senior in right of payment under the Priority of Payments on each Payment Date to the Notes. In addition, to the extent set forth in the Priority of Payments, each Junior Class of Notes will be subordinated to the respective Senior Classes of Notes (as specified in the Principal Terms Table). For purposes of determining seniority, the Class Q Combination Notes shall not be treated as a separate Class, but the Class C Component and the Income Note Component, as applicable, shall have the same ranking as the Class C Notes and the Income Notes, respectively. Payments of interest on and principal of the Secured Notes and of distributions on the Income Notes, will be made solely from the proceeds of the Collateral in accordance with the Priority of Payments. The aggregate amount that will be available for payment on the Secured Notes and for distributions on the Income Notes and for payments under the Hedge Agreements and the Cashflow Swap Agreements and of fees and expenses of the Co-Issuers on any Payment Date generally will be an amount equal to the sum of (i) the total amount of payments and collections in respect of the Eligible Collateral Debt Securities (including any payment received under the CDS Assets and the proceeds of the sale of any Eligible Collateral Debt Securities) received during the preceding Period and not reinvested in Eligible Collateral Debt Securities (subject to the limitations set forth herein) paid to a CDS Asset Counterparty as a CDS Asset Payment and (ii) any such amounts received in prior Periods that are not disbursed prior to such Payment Date. Income Notes The Income Notes will not be secured under the Indenture and will be issued pursuant to the Income Note Paying Agency Agreement dated as of the Closing Date (the "Income Note Paying Agency Agreement"), among the Issuer, the Income Note Paying Agent and the Income Note Registrar. The Income Notes represent a residual interest in the assets of the Issuer, and, as such, their entitlement will be limited to the assets of the Issuer remaining after payment of all of the liabilities of the Co-Issuers that rank ahead of the Income Notes pursuant to the Indenture and the Income Note Paying Agency Agreement. Accordingly, the Income Notes will be subordinated in right of payment to the Secured Notes and to the payments of all other amounts due under the Indenture on each Payment Date, including expenses of the Co-Issuers, payments due to any Hedge Counterparty and the Cashflow Swap Counterparty, and fees, indemnities and expenses of the Trustee, the Collateral Administrator, the Income Note Paying Agent and the Manager. See "Summary of TermsPriority of Payments". Class Q Combination Notes The Class Q Combination Notes will consist of the Class C Component and the Income Note Component. For purposes of the transfer restrictions, the Class Q Combination Notes are a single security, and the Components are not separately transferable. However, a Holder of such Class Q Combination Note may exchange all or a portion of its Class Q Combination Note with the Trustee for proportional interests in the underlying Class C
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Notes and the Income Notes represented by such Components, subject to the minimum denomination requirements applicable to the underlying Class C Notes and the Income Notes. A Class Q Combination Note, once exchanged for its Components, may not be reformed or combined again subsequently as a Class Q Combination Note. A Holder of Class C Notes and Income Notes will not have the right to exchange such Class C Notes and Income Notes for a Class Q Combination Note. Upon redemption of the Notes, the Class Q Combination Notes will be redeemed with respect to their Class C Component and their Income Note Component by allocation of payments in respect of the Class C Notes and Income Notes to such Components. All references in this Offering Circular to the Class C Notes and Income Notes and payments thereon, or amounts to be added to the principal thereof, or to votes or consents to be given by the Holders of the Class C Notes and Income Notes, include the Class C Component and Income Note Component, as applicable, (whether or not explicitly mentioned). On each date on which payments, whether from Interest Collections, Principal Collections or redemption or otherwise, are made on any Class of Notes to which one of the Components of the Class Q Combination Notes relates, a portion of such payment will be allocated to such Component in the proportion that the principal amount or number of shares of such Component bears to the principal amount or number of shares of the related Class (including such Component). No other payments will be made on the Class Q Combination Notes. Under the Indenture, the Holders of Class Q Combination Notes will be entitled to voting rights in the Class C Notes and Income Notes related to the applicable Class C Component and Income Note Component, respectively, in the proportion that the Components bear to the principal amount of the Notes in which they represent an interest. Under the Indenture, Holders of the Class Q Combination Notes will not be entitled to vote as a separate Class unless a supplemental indenture directly and adversely affects only the terms of the Class Q Combination Notes as a Class, in which case the Holders of the Class Q Combination Notes will be entitled to vote as a separate Class in respect of such matter. Interest on Secured Notes The Secured Notes (other than the Class A1 Notes) will bear interest from the Closing Date at their respective Periodic Interest Rates. Each Class A1 Note will bear interest from the Class A1 Note Funding Date on which it is issued at the Periodic Interest Rate applicable to the Class A1 Notes. The interest that will be payable on the Secured Notes of each Class on each Payment Date will be the interest that has accrued during the related Periodic Interest Accrual Period on the Outstanding principal balance of such Class of Secured Notes after giving effect to the aggregate payments of principal made on all previous Payment Dates in accordance with the Priority of Payments. Periodic Interest on the Secured Notes will be calculated using the day count convention specified in the Principal Terms Table. If any interest payable on any Class of non-Deferrable Interest Notes is not paid on the applicable Payment Date, such nonpayment will constitute an Event of Default and such interest will be considered Defaulted Interest payable in accordance with the Priority of Payments and will not be added to the principal amount of such Junior Class. To the extent lawful and enforceable, interest on Defaulted Interest with respect to any Note of any Class will accrue at the Periodic Interest Rate for such Class until paid as described herein. However, Defaulted Interest (and interest accruing thereon) will not be included in the computation of the denominator of any of the Principal Coverage Ratios or the Interest Coverage Ratios. If any interest is not paid on any Class of Deferrable Interest Notes on any Payment Date on which any Secured Note of a Class that constitutes a Senior Class with respect to such Class of Deferrable Interest Notes remains Outstanding, the amount of such shortfall will not be deemed due and payable under the Indenture (and the failure to pay such amount will not constitute an Event of Default), but the Periodic Interest Cumulative Shortfall Amount for such Class of Deferrable Interest Notes will be increased by the amount of such interest shortfall, which will not be payable as Periodic Interest on any subsequent Payment Date. The Periodic Interest Cumulative Shortfall Amount for each Class of Deferrable Interest Notes as of any Payment Date will be added to the principal
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amount of such Class of Deferrable Interest Notes and will accrue interest for each subsequent Periodic Interest Accrual Period at the Periodic Interest Rate for such Class, and such accrued interest will be payable on any subsequent Payment Date pursuant to the Priority of Payments as interest on such Class of Deferrable Interest Notes or added to the Periodic Interest Cumulative Shortfall Amount as aforesaid. To the extent amounts are available in accordance with the Priority of Payments, amounts representing the payment of Periodic Interest Cumulative Shortfall Amounts of any Class of Deferrable Interest Notes will be distributed to the holders thereof and the amount of any such distribution will be subtracted from the Outstanding Principal BalanceAggregate of the applicable Class of Deferrable Interest Notes. Interest will cease to accrue on each Class of Secured Notes or, in the case of a partial repayment, on such part, from the date of repayment or the Maturity DateStated of each Secured Note unless payment of principal is improperly withheld or unless default otherwise occurs with respect to such payments of principal. See "Principal of Secured Notes". To the extent lawful and enforceable, interest on Defaulted Interest with respect to any Secured Note will accrue at the interest rate applicable to such Secured Note until paid as provided herein. Determination of LIBOR For purposes of calculating the Periodic Interest Rate for the Secured Notes, the Co-Issuers will appoint the Note Calculation Agent. "LIBOR" will be determined by the Note Calculation Agent in accordance with the following provisions: (i) On the second London Business Day prior to the commencement of the applicable Periodic Interest Accrual Period (each such day, a "LIBOR Determination Date"), LIBOR will be determined for such Periodic Interest Accrual Period as the rate, as obtained by the Note Calculation Agent, for three-month dollar deposits (or for deposits for such periods described in paragraph (iii) below) (each, a "Designated Maturity"), which appears on Telerate Page 3750 (as defined in the 2000 ISDA Definitions published by the International Swaps and Derivatives Association, Inc.) as reported by Bloomberg Financial Markets Commodities News or which appears in such other page as may replace Telerate Page 3750, in each case, as of 11:00 a.m. (London time) on such LIBOR Determination Date. "London Business Day" means a Business Day on which banks in London, England and New York, New York are not required or authorized by law to be closed. (ii) If, on any LIBOR Determination Date, such rate does not appear on Telerate Page 3750 or such page as may replace such Telerate Page 3750, the Note Calculation Agent will determine the arithmetic mean of the offered quotations of the Reference Banks (as defined below) to leading banks in the London interbank market for dollar deposits of the Designated Maturity (or such other deposits, as applicable) in an amount determined by the Note Calculation Agent by reference to requests for quotations as of approximately 11:00 a.m. (London time) on the LIBOR Determination Date made by the Note Calculation Agent to the Reference Banks. If, on any LIBOR Determination Date, at least two of the Reference Banks provide such quotations, LIBOR will equal such arithmetic mean of such quotations. If, on any LIBOR Determination Date, only one or none of the Reference Banks provide such quotations, LIBOR will be deemed to be the arithmetic mean of the offered quotations that leading banks in The City of New York selected by the Note Calculation Agent (after consultation with the Manager) are quoting on the relevant LIBOR Determination Date for dollar deposits of the Designated Maturity (or such other deposits specified above, as applicable) in an amount determined by the Note Calculation Agent by reference to the principal London offices of leading banks in the London interbank market; provided, that if the Note Calculation Agent is required but is unable to determine a rate in accordance with at least one of the procedures provided above, LIBOR will be LIBOR as determined on the previous LIBOR Determination Date that relates to a Periodic Interest Accrual Period of similar length. As used herein, "Reference Banks" means four major banks in the London interbank market selected by the Note Calculation Agent. (iii) With respect to the Periodic Interest Accrual Period related to the first Payment Date and each Class A1 Note Funding, LIBOR will be determined through the use of a discrete straight-line interpolation by reference to two rates calculated in accordance with paragraphs (i) and (ii) above, one of which will be determined as if the maturity of the dollar deposits referred to therein were the next shorter
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period of time for which rates are available than such Periodic Interest Accrual Period and the other of which will be determined as if the maturity were the next longer period of time for which rates are available than such Periodic Interest Accrual Period. (iv) If the Note Calculation Agent is required but is unable to determine a rate in accordance with at least one of the procedures described above, LIBOR with respect to such Periodic Interest Accrual Period will be the arithmetic mean of the Base Rate for each day during such Periodic Interest Accrual Period during which such situation continues. The Note Calculation Agent will cause the Periodic Interest Rate and the Payment Amount applicable for each Class of Secured Notes and Class Q Notes to be communicated to the Issuer, the Co-Issuer, the Secured Note Paying Agent, the Manager, the Trustee, DTC, Euroclear, Clearstream, the Irish Note Paying Agent and the Irish Listing Agent (who will in turn notify the Irish Stock Exchange if and for so long as any Class of Listed Notes is listed thereon) by the Business Day immediately following each LIBOR Determination Date. The determination of the Periodic Interest Rate and the Payment Amount applicable for each Class of Secured Notes and the Class Q Notes by the Note Calculation Agent will (in the absence of manifest error) be final and binding upon all parties. The Note Calculation Agent may be removed at the direction of the Manager, or a Majority of the Income Notes, or by the Co-Issuers at any time; provided that, for so long as LaSalle is the Trustee, it will also be the Note Calculation Agent. If the Note Calculation Agent is unable or unwilling to act as such or is removed by the Co-Issuers, the Co-Issuers will promptly appoint a replacement note calculation agent that is a leading bank or financial institution engaged in accepting Eurodollar deposits in the international Eurodollar market and does not control or is not controlled by or under common control with the Co-Issuers or their Affiliates. The Note Calculation Agent may not resign its duties without a successor having been duly appointed. Principal of Secured Notes Each Class of Secured Notes will mature on the Maturity DateStated. The average lives of the Secured Notes are expected to be shorter, in each case, than the number of years until the Maturity DateStated for such Notes. See "Risk FactorsAverage Lives, Redemption and Prepayment Considerations; Distributions on the Income Notes" and "Certain Maturity and Prepayment Considerations". Principal of the Secured Notes, including mandatory principal prepayments, will be paid in accordance with the Priority of Payments. All outstanding principal of the Secured Notes will be payable on the Maturity DateStated. Payments on Income Notes On each Payment Date, to the extent funds are available therefor, Interest Collections will be released from the lien of the Indenture for payment to the Income Note Paying Agent only after the payment of interest on the Secured Notes and, in certain circumstances, principal due in respect of the Secured Notes and the payment of certain other amounts in accordance with the Priority of Payments. The Income Notes may be paid in full prior to the Maturity DateStated in the event of a Redemption, out of proceeds of the liquidation of the pool of Collateral. Until the Secured Notes and certain other amounts have been paid in full, Principal Collections are not permitted to be released from the lien of the Indenture and will not be available to make distributions on the Income Notes. Dissolution; Liquidating Distributions The Articles provide that the Issuer will be wound up on the earliest to occur of (i) at any time on or after the date that is one year and two days after the Maturity DateStated, upon the determination of the Issuer's board of directors to dissolve the Issuer, (ii) at any time after the sale or other disposition of all of the Issuer's assets, upon the determination of the Issuer's board of directors to dissolve the Issuer, (iii) at any time after the Secured Notes are paid in full, upon the direction of the Holders of not less than 66% of the Principal BalanceAggregate of the Outstanding Income Notes, and (iv) on the date of a winding up pursuant to the provisions of or as contemplated by the Companies Law (2004 Revision) of the Cayman Islands as then in effect. The Issuer's board of directors currently intend, in the event that the Income Notes are not redeemed following the repayment in full of the Secured Notes, to liquidate all of the Issuer's remaining investments in an orderly manner and distribute the proceeds of such 58

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liquidation to the Holders of the Income Notes. However, there can be no assurance that the Income Notes will be repaid before their Maturity DateStated. As soon as practicable following the commencement of the winding up of the Issuer, its affairs will be wound up and its assets sold or distributed. Subject to the terms of the Indenture and Cayman Islands law, the assets of the Issuer will be applied in the following order of priority: (i) Issuer; (ii) second, to creditors of the Issuer, in the order of priority provided by law; first, to pay the costs and expenses of the winding up, liquidation and termination of the

(iii) third, to establish reserves adequate to meet any and all contingent, unliquidated liabilities or obligations of the Issuer; provided that at the expiration of a period not exceeding two years after the final liquidation distribution, the balance of such reserves remaining after the payment of such contingencies or liabilities will be distributed in the manner described herein; (iv) fourth, to pay the Holders of the Income Notes a sum equal to the Principal Balance Aggregate of the Income Notes; (v) fifth, to pay the holders of the ordinary shares the nominal amount paid up thereon and the sum of U.S.$1.00 per ordinary share; and (vi) Redemption Each Class of Notes redeemed, in whole but not in part, in connection with a Redemption will be redeemed at its applicable Redemption Price. The Income Notes will not be subject to Redemption prior to their Maturity DateStated but may be redeemed after all Secured Notes have been paid in full. There can be no assurance that any funds will be available for payments or distributions to the Holders of the Income Notes in connection with any Redemption unless the "Redemption Price" with respect to such Redemption secured certain amounts to be paid to Holders of the Income Notes. Redemption Procedures In the event of a Redemption, the Manager will direct the Trustee to sell Eligible Collateral Debt Securities; provided that (i) the Sale Proceeds therefrom and all other funds in the Accounts available therefor (after the payment of, or establishment of a reasonable reserve for, all Administrative Expenses and other fees and expenses, including the Management Fee and any other amounts payable under the Indenture pursuant to the Priority of Payments) are expected to be at least sufficient to pay the Redemption Amount, (ii) all Secured Notes are simultaneously redeemed, (iii) each Hedge Agreement and the Cashflow Swap Agreement is terminated and the amounts due thereunder are paid, (iv) any amounts outstanding under the Class A1 Swap are paid in full, (v) the CDS Collateral Agreement is terminated and the amounts due thereunder are paid, and (vi) each CDS Asset and any Covered Short CDS Asset is terminated and any amounts due by the Issuer thereunder (net of any payments owed to the Issuer on the termination of any Covered Short CDS Assets) are paid. There can be no assurance that any funds will be available for payments or distributions to the Holders of the Income Notes and the Income Notes will be redeemed whether or not any funds are available for such payments or distributions. Notice of a Redemption will be given in accordance with the notice provisions of the Indenture and the Income Note Paying Agency Agreement. If any Listed Notes are listed on the Irish Stock Exchange, the Issuer will also deliver, or cause the delivery of, notice of any such redemption to the Irish Stock Exchange. sixth, to pay to the Holders of the Income Notes the balance remaining.

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Cancellation All Notes that are redeemed, repurchased or paid and surrendered (including pursuant to any prepayment) for cancellation as described herein will forthwith be canceled and may not be reissued or resold. No Gross-Up All payments of principal and interest in respect of the Secured Notes made by the Applicable Issuers or distributions in respect of the Income Notes made by the Issuer will be made free and clear of, and without withholding or deduction for, any present or future taxes, duties, assessments or governmental charges of whatsoever nature imposed, levied, collected, withheld or assessed by any governmental authority having power to tax ("Taxes"), unless such withholding or deduction is required by the applicable law, as modified by the practice of any relevant governmental revenue authority. If the Applicable Issuers are so required to deduct or withhold any Taxes from the payments of principal and interest in respect of the Secured Notes or distributions in respect of the Income Notes, then the Applicable Issuers will make such payments net of such Taxes and will not be obligated to pay any additional amounts in respect of such withholding or deduction. Any amount so withheld or deducted or paid or otherwise applied on account of any such taxes, duties, assessments or governmental charges will be deemed paid to the relevant Holder. As a condition to the payment of any such amount without the imposition of withholding tax, the Trustee may require certification acceptable to it to enable it and the Co-Issuers to determine their duties and liabilities with respect to any Taxes or other charges that they may be required to pay, deduct or withhold in respect of any Note or the Holder thereof under any present or future law or regulation of the Cayman Islands or the United States or law or regulation of any political subdivision thereof or taxing authority therein or to comply with any reporting or other requirements under such law or regulation. Payments Payments in respect of principal of and interest on a Global Note will be made to the Person in whose name the relevant Global Note is registered on the date immediately preceding the applicable Payment Date and payments in respect of principal of and interest on a Certificated Note or distributions to Holders of Income Notes will be made to the Person in whose name the relevant Certificated Note is registered fifteen days prior to the applicable Payment Date. Payments on the Global Notes will be payable by wire transfer in same day, freely transferable funds to a dollar account maintained by DTC or its nominee, or to each Holder of any Certificated Notes, to the extent practicable or otherwise by dollar check in immediately available funds drawn on a bank in the United States sent by mail either to DTC or its nominee (in the case of a Global Note), or to each Holder of Notes at the Holder's address appearing in the applicable register (in the case of any Certificated Notes). Final payments in respect of principal of the Secured Notes will be made only against surrender of the Secured Notes at the office of the Indenture Registrar specified on the penultimate page of this Offering Circular (the "Indenture Registrar") or the office of any Secured Note Paying Agent; provided that if there is delivered to the Co-Issuers and the Trustee such security or indemnity as may be required by them to save each of them harmless and an undertaking thereafter to surrender such Secured Note, then, in the absence of notice to the Co-Issuers or the Trustee that the applicable Secured Note has been acquired by a bona fide or protected purchaser, such final payment will be made without presentation or surrender. Final distributions on the Income Notes will be made only against surrender of the Income Notes at the office of the Income Note Registrar specified on the penultimate page of this Offering Circular (the "Income Note Registrar") or the office of the Income Note Paying Agent; provided that if there is delivered to the Issuer and the Income Note Paying Agent such security or indemnity as may be required by them to save each of them harmless and an undertaking thereafter to surrender such Income Note, then, in the absence of notice to the Issuer or the Income Note Paying Agent that the applicable Income Note has been acquired by a bona fide or protected purchaser, such final payment will be made without presentation or surrender. None of the Co-Issuers, the Trustee, the Paying Agent, the Initial Purchaser, the Placement Agent, the Manager or any of their respective affiliates will have any responsibility or liability for any aspects of the records maintained by DTC or its nominee or any of its participants relating to, or for payments made thereby on account of beneficial interests in, Global Notes. The Co-Issuers expect that DTC or its nominee, upon receipt of any payment of principal or interest in respect of a Global Note held by DTC or its nominee, will immediately credit the applicable participants' accounts with payments in amounts proportionate to their respective beneficial interests in such Global Note as shown on the
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records of DTC or its nominee. The Co-Issuers also expect that payments by participants to owners of beneficial interests in such Global Note held through such participants will be governed by standing instructions and customary practices, as is now the case with securities held for the accounts of customers registered in the names of nominees for such customers. Such payments will be the responsibility of such participants. Any money deposited with the Trustee or any Secured Note Paying Agent in trust for the payment of the principal of or interest on any such Certificated Note and remaining unclaimed for two years after such principal or interest has become due and payable will be paid to the Applicable Issuers at the request of the Applicable Issuers, and the Holder of such Certificated Note will thereafter look only to the Applicable Issuers as an unsecured general creditor for payment of such amounts and all liability of the Trustee or such Secured Note Paying Agent with respect to such money (but only to the extent of the amounts so paid to the Applicable Issuer) will thereupon cease. Any money deposited with the Income Note Paying Agent for payment on any Income Note and remaining unclaimed for two years after such payment has become due and payable will be paid to the Issuer, and the Holder of such Income Note will thereafter look only to the Issuer for payment of such amounts and all liability of the Income Note Paying Agent with respect to such money (but only to the extent of the amounts so paid to the Issuer) will thereupon cease. The Issuer (or the Manager on behalf of the Issuer) will inform the Irish Stock Exchange, so long as any Listed Notes are listed thereon, of the principal amounts Outstanding of the Listed Notes following each Payment Date and if any Class of Listed Notes does not receive scheduled payments of principal or interest on a Payment Date. For so long as any of the Listed Notes are listed on the Irish Stock Exchange and the guidelines of such exchange so require, the Co-Issuers will maintain a paying agent in Dublin, Ireland. The Issuer may terminate the appointment of the Irish Note Paying Agent, and the Irish Note Paying Agent may resign, at any time, by giving at least 30 days' notice to the respective other party. Settlement, Clearing and Registration of the Notes General Upon the issuance of a Global Note, DTC or its custodian will credit, on its internal system, the respective stated initial principal amount of the individual beneficial interests represented by the Global Notes to the accounts of Persons who have accounts with DTC. The accounts initially will be designated by or on behalf of the Initial Purchaser and the Placement Agent. Ownership of beneficial interests in Global Notes will be limited to Persons who have accounts with DTC ("participants") or Persons who hold interests through participants. Ownership of beneficial interests in a Global Note will be shown on, and the transfer of that ownership will be effected only through, records maintained by DTC or its nominee (with respect to interests of participants) and the records of participants (with respect to interests of Persons other than participants). Rule 144A Global Notes and Certificated Notes All or a portion of an interest in a Rule 144A Global Note or Certificated Note may be transferred to a Person taking delivery in the form of an interest in a Rule 144A Global Note of the same Class in accordance with the applicable procedures of DTC (in addition to procedures and restrictions set forth under the Indenture); provided that (i) any remaining principal amount of the transferor's interest in the Rule 144A Global Note or Certificated Note will either equal zero or meet the required minimum denominations; and (ii) such transfer is made to a U.S. Person that is a QIB and a QP in a transaction that meets the requirements of Rule 144A and that the transferee, by purchase of such interest in the Rule 144A Global Notes, will be deemed to have made all representations, warranties and acknowledgments applicable to transfer or purchase of an interest in a Rule 144A Global Note described under "Purchase and Transfer Restrictions". All or a portion of an interest in a Rule 144A Global Note or Certificated Note may be transferred to a Person taking delivery in the form of an interest in a Temporary Regulation S Global Note or Regulation S Global Note of the same Class, or exchanged for an interest in a Temporary Regulation S Global Note or Regulation S Global Note of the same Class, in accordance with the applicable procedures of DTC, Clearstream and Euroclear (in addition to procedures and restrictions set forth under the Indenture) and only upon receipt by the Trustee of a written certification from the transferor (in the form provided in the Indenture) to the effect that the transfer is being made to a Person whom the transferor reasonably believes is not a U.S. Person and that such transfer is being made
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in an offshore transaction in accordance with Regulation S (an "Offshore Transaction") and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction; provided that (i) the transferee by purchase of such interest in the Temporary Regulation S Global Note or Regulation S Global Note, will be deemed to have represented that, among other things, the transfer or exchange is being made to a Person who is not a U.S. Person in an Offshore Transaction in accordance with Regulation S and only in a denomination greater than or equal to the required minimum denominations; and (ii) any remaining principal amount of the transferor's interest in the Rule 144A Global Note or Certificated Note will either equal zero or meet the required minimum denominations. Any interest in a Rule 144A Global Note or Certificated Note that is transferred to a Person who takes delivery in the form of an interest in a Temporary Regulation S Global Note or Regulation S Global Note of the same Class will, upon transfer, cease to be an interest in such Rule 144A Global Note and become an interest in the Temporary Regulation S Global Note or Regulation S Global Note, respectively, and, accordingly, will thereafter be subject to all transfer restrictions and other procedures applicable to interests in a Temporary Regulation S Global Note or Regulation S Global Note, as applicable, for as long as it remains such an interest. No service charge will be made for any registration of transfer or exchange of an interest in a Rule 144A Global Note or Certificated Note, but the Trustee may require payment of a sum sufficient to cover any tax or other governmental charge payable in connection therewith. To enforce the restrictions on transfers of interests in the Rule 144A Global Notes and the Certificated Notes, the Indenture will permit the Issuer to demand that (i) the beneficial owner sell to a beneficial owner permitted under the Indenture any interest in a Rule 144A Global Note held by a U.S. Person who is determined not to have been both a QP and a QIB at the time of acquisition of such Note and (ii) the Holder sell to a Holder permitted under the Indenture any Certificated Note or interest therein held by a U.S. Person who is determined not to have been both a QP and a QIB or an Accredited Investor at the time of acquisition of such Note and, if the beneficial owner or Holder, as the case may be, does not comply with such demand within 30 days thereof, the Issuer may sell such beneficial owner's or Holder's, as the case may be, interest in the Note. Transfers of interests in the Rule 144A Global Notes will be subject to certain additional restrictions. In particular, each transferee of an interest in a Rule 144A Global Note will also be deemed to have made certain additional acknowledgments, representations and warranties as provided in the Indenture. See "Purchase and Transfer Restrictions". Regulation S Global Notes All or a portion of an interest in a Temporary Regulation S Global Note or Regulation S Global Note may be transferred to a Person taking delivery in the form of an interest in a Temporary Regulation S Global Note or Regulation S Global Note, as applicable, of the same Class in accordance with the applicable procedures of DTC, Clearstream or Euroclear (in addition to procedures and restrictions set forth under the Indenture); provided that (i) any remaining principal amount of the transferor's interest in the Temporary Regulation S Global Note or Regulation S Global Notes, as applicable, will either equal zero or meet the required minimum denominations; and (ii) such transfer is made to a Person who is not a U.S. Person in an Offshore Transaction in reliance upon an exemption from the registration requirements of the Securities Act under Regulation S thereof and that the transferee, by purchase of such interest in such Temporary Regulation S Global Note or Regulation S Global Note will be deemed to have made all representations, warranties and acknowledgments applicable to transfer of or purchase of an interest in a Temporary Regulation S Global Note or Regulation S Global Note described under "Purchase and Transfer Restrictions". All or a portion of an interest in a Temporary Regulation S Global Note or Regulation S Global Note may be transferred to a Person taking delivery (x) in the form of an interest in a Rule 144A Global Note or a Certificated Note of the same Class or (y) exchanged for an interest in a Rule 144A Global Note or a Certificated Note of the same Class in accordance with the applicable procedures of DTC, Clearstream or Euroclear (in addition to procedures and restrictions set forth under the Indenture) upon receipt by the Trustee of a written certification from the transferor (in the case of a transfer) or the Holder (in the case of an exchange) in the form provided in the Indenture to the effect that, among other things, the transfer or exchange is being made (i) in the case of a transferee taking delivery in the form of an interest in a Rule 144A Global Note, to a Person that is both a QIB and a QP and (ii) in the case of a transferee taking delivery in the form of a Certificated Note, to a Person that is both a QIB or an
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Accredited Investor and a QP and, in each case, only in a denomination greater than or equal to the required minimum denominations; provided that any remaining principal amount of the transferor's interest in the Temporary Regulation S Global Note or Regulation S Global Note, as applicable, will either equal zero or meet the required minimum denominations. Any interest in a Temporary Regulation S Global Note or Regulation S Global Note that is transferred to a Person taking delivery in the form of a Rule 144A Global Note or a Certificated Note will, upon transfer, cease to be an interest in such Temporary Regulation S Global Note or Regulation S Global Note, as applicable, and become an interest in the Rule 144A Global Note or a Certificated Note and, accordingly, will thereafter be subject to all transfer restrictions and other procedures applicable to interests in a Rule 144A Global Note or a Certificated Note for as long as it remains such an interest. No service charge will be made for any registration of transfer or exchange of an interest in a Temporary Regulation S Global Note or Regulation S Global Note, but the Trustee may require payment of a sum sufficient to cover any tax or other governmental charge payable in connection therewith. To enforce the restrictions on transfers of interests in the Notes, the Indenture will permit the Issuer to demand that the beneficial owner of a Temporary Regulation S Global Note or Regulation S Global Note sell to a beneficial owner permitted under the Indenture any interest in a Temporary Regulation S Global Note or Regulation S Global Note held by such beneficial owner who is determined to be a U.S. Person and, if the beneficial owner does not comply with such demand within 30 days thereof, the Issuer may sell such beneficial owner's interest in the Temporary Regulation S Global Note or Regulation S Global Note. Transfers of interests in the Temporary Regulation S Global Notes and Regulation S Global Notes will be subject to certain additional restrictions. In particular, each transferee of an interest in a Temporary Regulation S Global Note or Regulation S Global Note will also be deemed to have made certain additional acknowledgments, representations and warranties as provided in the Indenture. See "Purchase and Transfer Restrictions". Book-Entry Registration of the Global Notes The registered owner of a Global Note will be the only Person entitled to receive payments in respect of the Notes represented by such Global Note, and the Applicable 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 Applicable Issuers in respect of any payment due on that Global Note. Members of, or participants in, DTC as well as any other Persons on whose behalf such participants may act (including Euroclear and Clearstream and account holders and participants therein) will have no rights under the Indenture with respect to such Global Notes held on their behalf by the Trustee as custodian for DTC, and DTC may be treated by the Applicable Issuers, the Trustee, the Initial Purchaser, the Placement Agent, the Indenture Registrar, and the Note Paying Agents and any agent of the Applicable Issuers or the Trustee as the Holder of such Global Notes for all purposes whatsoever. Except in the limited circumstances described in the next sentence, 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 securities and will not be considered "Holders" of Notes under the Indenture or under the Notes. If (i) DTC notifies the Trustee that it is unwilling or unable to continue as depository for the Global Notes or DTC, Euroclear or Clearstream ceases to be a "Clearing Agency" registered under the Exchange Act, and a successor depository or clearing agency is not appointed by the Trustee within 90 days after receiving such notice or (ii) as a result of any amendment to or change in the laws or regulations of the Cayman Islands, or of any authority therein or thereof having power to tax, or in the interpretation or administration of such laws or regulations which become effective on or after the Closing Date, the Issuer, the Trustee or any Note Paying Agent becomes aware that it is or will be required to make any deduction or withholding from any payment in respect of the Global Notes which would not be required if the Global Notes were not represented by a global note, the Issuer will issue or cause to be issued securities 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. Investors may hold their interests in a Rule 144A Global Note directly through DTC if they are participants in DTC, or indirectly through organizations which are participants in DTC. Investors may hold their interests in a Temporary Regulation S Global Note or Regulation S Global Note directly through Clearstream or Euroclear, if they are participants in Clearstream or Euroclear, or indirectly through organizations which are participants in
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Clearstream or Euroclear. Clearstream and Euroclear will hold interests in the Temporary Regulation S Global Notes or Regulation S Global Notes on behalf of their participants through their respective depositories, which in turn will hold the interests in such Temporary Regulation S Global Notes or Regulation S Global Notes in customers' securities accounts in the depositories' names on the books of DTC. Payments of principal of and interest on a Global Note will be made to DTC or its nominee, as the registered owner thereof. The Co-Issuers, the Trustee, the Paying Agent, the Initial Purchaser, the Placement Agent, the Manager and any of their respective Affiliates will not have any responsibility or liability for any aspect of the records maintained by DTC or its nominee or any of its direct or indirect participants, including Euroclear or Clearstream (or any of their respective direct or indirect participants) relating to or payments made on account of beneficial ownership interests in a Global Note 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 Note held by DTC or its nominee, will immediately credit participants' accounts with payments in amounts proportionate to their respective beneficial interests in the stated initial principal amount of such Note as shown on the records of DTC or its nominee. The Co-Issuers expect that payments by participants (i.e., direct participants) to owners of beneficial interests in a Global Note held through such participants (i.e., indirect 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 such customers. The payments will be the responsibility of the participants. Transfers between participants in DTC will be effected in the ordinary way in accordance with DTC rules and will be settled in immediately available funds. The laws of some states require that certain Persons take physical delivery of securities in definitive form. Consequently, the ability to transfer beneficial interests in a Global Note to these Persons may be limited. Because DTC can act only on behalf of participants, who in turn act on behalf of indirect participants and certain banks, the ability of a Person holding a beneficial interest in a Global Note to pledge its interest to a Person or entity that does not participate in the DTC system, or otherwise take actions in respect of its interest, may be affected by the lack of a physical security of the interest. Transfers between participants in Euroclear and Clearstream will be effected in the ordinary way in accordance with their respective rules and operating procedures. Subject to compliance with the transfer restrictions applicable to the Notes described above and under "Purchase and Transfer Restrictions", cross-market transfers between DTC, on the one hand, and, directly or indirectly through Euroclear or Clearstream participants, on the other, will be effected through DTC in accordance with DTC rules on behalf of Euroclear or Clearstream, as the case may be, by its respective depository; provided that these cross-market transactions will require delivery of instructions to Euroclear or Clearstream, as the case may be, by the counterparty in the system in accordance with its rules and procedures and within its established deadlines (Brussels time). Euroclear or Clearstream, as the case may be, will, if the transaction meets its settlement requirements, deliver instructions to its respective depository to take action to effect final settlement on its behalf by delivering or receiving interests in a Temporary Regulation S Global Note or Regulation S Global Note through DTC, and making or receiving payment in accordance with normal procedures for immediately available funds settlement applicable to DTC. Clearstream participants and Euroclear participants may not deliver instructions directly to the depositories for Clearstream or Euroclear. Because of time zone differences, the securities account of a Euroclear or Clearstream participant purchasing an interest in a Temporary Regulation S Global Note or Regulation S Global Note from a DTC participant will be credited during the securities settlement processing day (which must be a Business Day for Euroclear and Clearstream) immediately following the DTC settlement date and the credit of any transactions in interests in a Temporary Regulation S Global Note or Regulation S Global Note settled during the processing day will be reported to the relevant Euroclear or Clearstream participant on that day. Cash received in Euroclear or Clearstream as a result of sales of interests in a Global Note by or through a Euroclear or Clearstream participant to a DTC participant will be received with value on the DTC settlement date but will be available in the relevant Euroclear or Clearstream cash account only as of the Business Day following settlement through DTC. DTC has advised the Co-Issuers that it will take any action permitted to be taken by a Holder of the Notes only at the direction of one or more participants to whose account with DTC an interest in a Global Note is credited
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and only in respect of that portion of the principal amount of the applicable Notes as to which the participant or participants has or have given direction. DTC is a limited purpose trust company organized under the laws of the State of New York, a member of the Federal Reserve System, a "clearing corporation" within the meaning of the New York Uniform Commercial Code and a "clearing agency" registered pursuant to the provisions of Section 17A of the Exchange Act. DTC was created to hold securities for its participants and facilitate the clearance and settlement of securities transactions between participants through electronic book-entry changes in accounts of its participants, thereby eliminating the need for physical movement of certificates. Participants include securities brokers and dealers, banks, trust companies and clearing corporations and may include certain other organizations. Indirect access to the DTC system is also available to others such as banks, brokers, dealers and trust companies that clear through or maintain a custodial relationship with a participant, either directly or indirectly ("Indirect Participants"). Although DTC, Clearstream and Euroclear have agreed to the foregoing procedures in order to facilitate transfers of interests in a Global Note among participants of DTC, Clearstream and Euroclear, they are under no obligation to perform or continue to perform these procedures, and the procedures may be discontinued at any time. None of the Co-Issuers, the Trustee, the Initial Purchaser or the Placement Agent will have any responsibility for the performance by DTC, Clearstream, Euroclear or their respective participants or Indirect Participants of their respective obligations under the rules and procedures governing their operations. Any purported transfer of a Note not in accordance with the Indenture will be null and void ab initio and will not be given effect for any purpose whatsoever. Certificated Notes to Certificated Notes All or a portion of an interest in a Certificated Note may be transferred to a Person taking delivery in the form of a Certificated Note or exchanged for a Certificated Note of the same Class in accordance with the applicable procedures and restrictions set forth under the Indenture; provided that any remaining principal amount of the transferor's interest in the Certificated Note will either equal zero or meet the required minimum denominations. In addition, such transfer may only be effected by delivery to the Trustee and the Issuer of the required written certifications from the proposed transferee regarding compliance with applicable restrictions. See "Purchase and Transfer Restrictions". Mutilated, Destroyed and Lost Notes In case any Certificated Note becomes mutilated, defaced, destroyed, lost or stolen, the Applicable Issuers will execute and upon the request of the Applicable Issuers, the Indenture Registrar or the Income Note Registrar, as applicable, will authenticate and deliver a new Certificated Note of like tenor (including the same date of issuance) and equal principal or liquidation preference amount, registered in the same manner, dated the date of its authentication and, in the case of any Secured Note, bearing interest from the date to which interest has been paid on such Note in exchange and substitution for the Certificated Note (upon surrender and cancellation thereof), as the case may be, or in lieu of and substitution for such Certificated Note. In case such Certificated Note is destroyed, lost or stolen, the applicant for a substituted Certificated Note will furnish to the Applicable Issuers and the Indenture Registrar or Income Note Registrar, as applicable, security or indemnity as may be required by them to save each of them harmless, and, in every case of destruction, loss or theft of the Note, the applicant will also furnish to the Applicable Issuers satisfactory evidence of the destruction, loss or theft of such Certificated Note, as the case may be, and of the ownership thereof. Upon the issuance of any such Certificated Note, the Applicable Issuers may require the payment by the registered Holder thereof of a sum sufficient to cover fees and expenses connected therewith.

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THE CLASS A1 SWAP The following summary describes certain provisions of the Class A1 Swap. This summary does not purport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Class A1 Swap. In order to provide the Issuer with funds to meet its obligations under the CDS Assets after the Capacity Subaccount of the Reserve Account, the CDS Asset Collateral Account and available funds in the Collection Account have been reduced to zero, the Issuer will enter into the Class A1 Swap with the Class A1 Swap Counterparty. Such Class A1 Swap Counterparty will be required to satisfy the Class A1 Requisite Ratings. Citigroup Inc. will provide a guaranty for the Class A1 Swap Counterparty's performance under the Class A1 Swap in order to satisfy such Class A1 Requisite Ratings. Pursuant to the Class A1 Swap, the Class A1 Swap Counterparty will agree to make available to the Issuer borrowings (each, a "Class A1 Note Funding") in an aggregate amount up to the Class A1 Swap Notional Amount, subject to the terms and conditions set forth in the Class A1 Swap. No Class A1 Note Fundings will occur on the Closing Date. The Class A1 Swap will terminate on the Class A1 Swap Termination Date. The Class A1 Note Fundings will not be invested in Eligible Collateral Debt Securities but instead will be used to make payments to CDS Asset Counterparties. Notional Amount The Class A1 Swap Notional Amount will be reduced on each Class A1 Note Funding Date by the Principal BalanceAggregate of the Class A1 Notes issued on such date. In addition, the Class A1 Swap Notional Amount will be reduced from time to time, to the extent that (i) amounts are deposited into the Capacity Subaccount of the Reserve Account pursuant to the Priority of Payments on any Payment Date or (ii) a reduction thereof is required in connection with any Redemption or Event of Default pursuant to the Class A1 Swap or to the Indenture. If the Issuer is in compliance with each Coverage Test and no Event of Default shall have occurred, then the Issuer may elect, upon two Business Days' prior notice in writing to the Class A1 Swap Counterparty, to reduce the Class A1 Swap Notional Amount with respect to any deposit of funds into the Capacity Subaccount of the Reserve Account or the CDS Asset Collateral Account. Class A1 Note Fundings On any Business Day up to but excluding the Class A1 Swap Termination Date, the Issuer may request Class A1 Note Fundings to obtain funds for the purpose of making a CDS Asset Payment to the extent required under the CDS Payment Priority. The Manager, on behalf of the Issuer, will deliver, not later than 12:00 p.m. (New York City time) on the fourth Business Day prior to the requested Class A1 Note Funding Date, a Class A1 Note Funding Request to the Class A1 Swap Counterparty (with a copy to the Trustee) for such Class A1 Note Funding. Any such request will include the Class A1 Note Funding Date and the amount of such Class A1 Note Funding. The Class A1 Swap Counterparty will fund such Class A1 Note Funding by wire transfer of immediately available funds to DTC for delivery to the Trustee for deposit into the Class A1 Note Funding Subaccount of the Reserve Account by no later than 11:00 a.m. (New York City time) on the fourth Business Day following the Business Day on which such request is received by the Class A1 Swap Counterparty or, if later, the Class A1 Note Funding Date specified in such notice. The Issuer shall effect delivery of each Class A1 Note by directing the Trustee to cause the aggregate Outstanding amount of the Class A1 Notes to be increased by an amount equal to the Class A1 Note Funding for the relevant Class A1 Note Funding Date and such increase to be (i) credited to the account of the Class A1 Swap Counterparty (or, if applicable, its Class A1 Designee) or (ii) evidenced by the issuance of an additional Class A1 Note, each in accordance with the applicable procedures of DTC. Delivery by the Issuer of the Class A1 Notes on any Class A1 Note Funding Date will be made only against payment by the Class A1 Swap Counterparty (or, if applicable, its Class A1 Designee) of the corresponding Class A1 Note Funding. The Class A1 Swap Counterparty will have the right, but not the obligation, to give notice to the Issuer not less than two Business Days prior to any Class A1 Note Funding Date to designate an entity other than the Class A1 Swap Counterparty (which entity may be an Affiliate of the Class A1 Swap Counterparty) that (in each case) is a Class A1 Eligible Noteholder (any entity so designated, a "Class A1 Designee") to fund a Class A1 Note Funding on
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the related Class A1 Note Funding Date and receive delivery of Class A1 Notes on the related Class A1 Note Funding Date. Any such notice shall identify the account maintained by the Class A1 Designee with the relevant Depository participant to which the Class A1 Note Funding shall be delivered. Upon receipt by the Class A1 Swap Counterparty of such notice, (a) any payment by the Class A1 Designee of such Class A1 Note Funding shall relieve the Class A1 Swap Counterparty of its obligation to such payment and (b) the Issuer shall be obligated to deliver such Class A1 Notes to the Class A1 Designee rather than the Class A1 Swap Counterparty; provided that (i) the Class A1 Swap Counterparty shall remain liable to make such Class A1 Note Funding in the event that the Class A1 Designee fails to make such Class A1 Note Funding when due and (ii) no such designation shall be effected by the Class A1 Swap Counterparty if the Issuer would be obligated to make a payment in respect of a withholding tax under the Class A1 Swap as a result of such designation. The aggregate amount of all Class A1 Note Fundings shall not exceed the Class A1 Swap Notional Amount. Class A1 Option Fee Pursuant to the Class A1 Swap, the Issuer will pay to the Class A1 Swap Counterparty a fee (the "Class A1 Option Fee") that will be calculated based upon the Class A1 Swap Notional AmountAverage multiplied by the Class A1 Option Fee Rate multiplied by the actual number of days during each applicable Period divided by 360. The Class A1 Option Fee will be payable on each Payment Date subject to and in accordance with the Priority of Payments; provided that no Class A1 Option Fee amount will accrue or be payable for any period in which the Class A1 Swap Counterparty is in default of its obligations to fund a Class A1 Note Funding. The Class A1 Option Fee that is due on any Payment Date will be payable prior to the payment of any interest that is due and payable on such Payment Date in respect of the Notes. Any Class A1 Option Fee that is accrued but unpaid on any Payment Date in accordance with the Priority of Payments will accrue interest thereon at a rate equal to interest on the Class A1 Notes (subject to the above provisions on default and non-accrual if the Class A1 Swap Counterparty is in default under the Class A1 Swap). Mandatory Note Funding The Class A1 Swap includes provisions that, if and when applicable, would require that if an Event of Default pursuant to clause (vii) of the definition thereof has not occurred, then upon the occurrence and continuance of certain downgrade events with respect to the Class A1 Swap Counterparty it would be required to take actions to obtain credit enhancement or to assign its position. Upon the continuance of such downgrade events for 30 days and failure to obtain credit enhancement or assign its position or upon a failure to fund a Class A1 Note Funding, the Class A1 Swap Counterparty would be required to fund the Class A1 Swap Notional Amount (the "Mandatory Funding/Ratings Provisions"). However, the Mandatory Funding/Ratings Provisions will not be applicable to the Class A1 Swap Counterparty for any purpose under the Class A1 Swap commencing on the Closing Date and on each date thereafter until and after the first date (if any) on which (i) the Class A1 Swap Counterparty shall have ceased to be CGML or an Affiliate thereof or (ii) the Class A1 Swap Counterparty is CGML or an Affiliate thereof and the Class A1 Swap Counterparty, acting in its sole discretion by written notice to the Issuer, shall have approved the applicability of the Mandatory Funding/Ratings Provisions for all transactions under the Class A1 Swap. If the Mandatory Funding/Ratings Provisions are applicable, a Class A1 Mandatory Note Funding in an amount equal to the Class A1 Swap Notional Amount shall become due and payable without any notice or further action on the part of the Issuer or any other Person upon (a) the Class A1 Swap Counterparty's failure to fund any Class A1 Note Funding or (b) the occurrence and continuance of a Class A1 Swap Ratings Event for a period of 30 days. In addition, for so long as the Mandatory Funding/Ratings Provisions are not applicable, the Issuer will agree pursuant to the Indenture not to enter into any CDS Asset unless it includes a CDS Asset Counterparty Forbearance and not to amend the terms of any CDS Asset with respect to such CDS Asset Counterparty Forbearance. The Issuer's agreements are designed so that at any time that the Mandatory Funding/Ratings Provisions are not applicable, the CDS Asset Counterparty Forbearance shall remain in effect. Any Class A1 Mandatory Note Funding shall be deposited into the Class A1 Mandatory Note Funding Reserve Account. The Trustee (at the direction of the Manager) shall withdraw amounts in the Class A1 Mandatory Note Funding Reserve Account in order to fund any Class A1 Note Fundings during any period that the Class A1 Swap Counterparty is required to make a Class A1 Mandatory Note Funding. Prior to withdrawal of amounts in the Class A1 Mandatory Note Funding Reserve Account to fund any Class A1 Note Fundings, any amount in such
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account will not be considered to be part of the Outstanding Class A1 Notes and will not accrue interest, but will accrue at a rate equal to the Class A1 Option Fee Rate in accordance with the terms of the Class A1 Swap and the Indenture, provided that the Class A1 Swap Counterparty has not failed to meet its funding obligations with respect to a Class A1 Note Funding or a Class A1 Mandatory Note Funding. To the extent that amounts on deposit in the Class A1 Mandatory Note Funding Reserve Account are less than the Class A1 Swap Notional Amount, any payments that would otherwise be paid to the Class A1 Swap Counterparty pursuant to the Class A1 Swap shall be paid into the Class A1 Mandatory Note Funding Reserve Account if the Mandatory Funding/Ratings Provisions are applicable. Amounts on deposit in the Class A1 Mandatory Note Funding Reserve Account may be invested in Eligible Investments at the direction of the Class A1 Swap Counterparty. Earnings on such investments shall be paid to the Class A1 Swap Counterparty on each Payment Date to the extent that the amounts remaining on deposit therein are equal to the Class A1 Swap Notional Amount. Class A1 Swap Ratings Event If a Class A1 Swap Ratings Event shall occur and be continuing, and if the Mandatory Funding/Ratings Provisions are applicable, the Class A1 Swap Counterparty will take one of the following actions (at its own expense and while continuing otherwise to perform its obligations pursuant to the Class A1 Swap): (A) transfer all of its rights and obligations under the Class A1 Swap to another entity with ratings at least equal to the thresholds set forth in the definition of "Class A1 Swap Ratings Event"; or (B) cause an entity with ratings at least equal to the thresholds set forth in the definition of "Class A1 Swap Ratings Event" to guarantee or provide an indemnity or letter of credit in respect of the obligations of the Class A1 Swap Counterparty. The form and substance of any agreement transferring the rights and obligations of the Class A1 Swap Counterparty and any guarantee, indemnity or letter of credit shall be subject to approval by the Rating Agencies.

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CITIGROUP GLOBAL MARKETS LIMITED The information appearing under this heading has been prepared by Citigroup Global Markets Limited and has not been independently verified by the Issuer, the Initial Purchaser or the Manager. None of the Issuer, the Initial Purchaser or the Manager assumes responsibility for such information. Citigroup Global Markets Limited (formerly Salomon Brothers International Limited) ("CGML") is the London-based arm of Citigroup's pan-European investment bank with its registered office being at Citigroup Centre, Canada Square, Canary Wharf London E14 5LB. CGML has a major presence in the international capital markets as a dealer, market maker and underwriter in equity and fixed income securities and provides corporate finance services to a wide range of corporate, institutional and governmental clients. It is a wholly-owned indirect subsidiary of Citigroup Inc., a diversified global financial services holding company. CGML is authorised to conduct investment business by the Financial Services Authority in accordance with the Financial Services and Markets Act 2000 (the "FSMA"). The information in the preceding paragraphs has been provided by CGML for use in this Offering Circular. Except for such paragraphs, CGML has not prepared and does not accept responsibility for this Offering Circular. The information concerning CGML and Citigroup Inc. contained in such paragraphs has been furnished solely to provide limited information regarding CGML and Citigroup Inc. and does not purport to be comprehensive.

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CITIGROUP INC. The information appearing under this heading has been prepared by Citigroup Inc. and has not been independently verified by the Issuer, the Initial Purchaser or the Manager. None of the Issuer, the Initial Purchaser or the Manager assumes responsibility for such information. As described in "Class A1 Swap", CGML's obligations under the Class A1 Swap will be guaranteed by Citigroup Inc. Citigroup Inc. files annual, quarterly and current reports, proxy statements and other information with the SEC. You may read and copy any document Citigroup Inc. files at the SEC's public reference room in Washington, D.C. You can also request copies of the documents, upon payment of a duplicating fee, by writing the Public Reference Section of the SEC. Please call the SEC at 1-800-SEC-0330 for further information on the public reference room. These SEC filings are also available to the public through Citigroup Inc.'s web site at http://www.citigroup.com by clicking on the "Investor Relations" page and selecting "SEC Filings" or through the SEC's web site at http://www.sec.gov. Citigroup Inc. is a diversified global financial services holding company whose businesses provide a broad range of financial services to consumer and corporate customers, with some 200 million customer accounts doing business in more than 100 countries. Citigroup Inc.'s activities are conducted through the Global Consumer, Corporate and Investment Banking, Global Wealth Management, and Alternative Investments business segments. Citigroup Inc. was incorporated in 1988 under the laws of the State of Delaware. The principal executive offices of Citigroup Inc. are located at 399 Park Avenue, New York, New York 10043, and its telephone number is (212) 5591000. The information in the immediately preceding two paragraphs has been provided by Citigroup Inc. This information is furnished solely to provide limited introductory information regarding Citigroup Inc. and does not purport to be comprehensive. This information is qualified in its entirety by the detailed information appearing in the filings made by Citigroup Inc. with the SEC. The information in the immediately preceding two paragraphs is not guaranteed as to accuracy or completeness, and is not to be construed as representations by the Co-Issuers. Except for the immediately preceding two paragraphs, Citigroup Inc. has not been involved in the preparation of, and does not accept responsibility for, this Offering Circular. The long-term senior unsecured debt obligations of Citigroup Inc. are currently rated by S&P at "AA" and by Moody's at "Aa1" and the short-term unsecured debt obligations of Citigroup Inc. are currently rated by S&P at "A-1+" and by Moody's at "P-1".

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CITIBANK, N.A. The information appearing under this heading has not been independently verified by the Initial Purchaser, the Placement Agent or the Manager. None of the Initial Purchaser, the Placement Agent or the Manager assumes responsibility for such information. Citibank, N.A., the CDS Collateral Securities Counterparty and the Initial CDS Asset Counterparty, was originally organized on June 16, 1812, and now is a national banking association organized under the National Bank Act of 1864. Citibank, N.A. is an indirect wholly-owned subsidiary of Citigroup Inc., a Delaware holding company. The obligations of Citibank, N.A. under the CDS Collateral Agreement and the CDS Assets will not be guaranteed by Citigroup Inc. As of September 30, 2006, the total assets of Citibank, N.A. and its consolidated subsidiaries represented approximately 47% of the total assets of Citigroup Inc. and its consolidated subsidiaries. The information in the preceding paragraph has been provided by Citibank, N.A. for use in this Offering Circular. Except for such paragraph, Citibank, N.A. has not prepared and does not accept responsibility for this Offering Circular. The information concerning Citibank, N.A. and Citigroup Inc. contained in such paragraph has been furnished solely to provide limited information regarding Citibank, N.A. and Citigroup Inc. and does not purport to be comprehensive. This information is qualified in its entirety by the detailed information appearing in the filings made by Citigroup Inc. with the SEC and publicly available portions of the reports filed with the Comptroller of the Currency by Citibank. Copies of the reports filed with the Comptroller of the Currency can be obtained from their offices at 250 E Street, S.W., Washington, D.C. 20219 or from the site maintained by the FDIC on the World Wide Web at http://www.fdic.gov (such website does not form a part of this Offering Circular).

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THE INDENTURE AND THE INCOME NOTE PAYING AGENCY AGREEMENT The following summary describes certain provisions of the Indenture and the Income Note Paying Agency Agreement. 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 and the Income Note Paying Agency Agreement. The Indenture will grant certain security interests in the Collateral to the Trustee for and on behalf of the Secured Parties. Under the Indenture, the Trustee will accept the grant of these security interests as part of the Collateral under the Indenture, and agree to coordinate with a number of paying, transfer, calculation and other agents. Events of Default An "Event of Default" will be defined in the Indenture to include: (ii) (i) a default for five Business Days in the payment, when due and payable, of any interest on any Class S Note, Class A Note or any Class A1 Option Fee, or if the Class A1 Swap has been terminated and there are no Class S Notes or Class A Notes Outstanding, the most Senior Class of Secured Notes Outstanding; (iii) (ii) a default in the payment of any principal of, or the Redemption Price of, any Secured Note on its Maturity DateStated or on any Redemption Date and, in the case of a Redemption Date only, the continuation of such default for seven Business Days; (iv) (iii) the failure to apply, within five Business Days following any Payment Date, Redemption Date or any other date on which the Secured Notes are paid in full, Available Funds in accordance with the Priority of Payments (except as provided in paragraphs (i) and (ii) above), including, without limitation, to the payment of the amount, if any, due to be paid to the Income Note Paying Agent for distribution to the Holders of the Income Notes on the Maturity DateFinal; (v) (iv) on any date of determination, the failure to maintain a Principal Coverage Ratio relating to the Class A Notes of at least 94.50%; (vi) (v) either of the Co-Issuers or the pool of Collateral becoming an investment company required to be registered under the Investment Company Act and such condition continues for a period of 45 days after the date on which the Issuer, the Trustee or the Manager has been advised in writing by counsel or by the SEC that either of the Co-Issuers or the pool of the Collateral is required to register under the Investment Company Act; (vii) (vi) a default, in any material respect, in the performance, or breach, of any other covenant or warranty of the Co-Issuers under the Indenture (it being understood that the non-compliance with any of the Portfolio Quality Tests, the Portfolio Limitations and the Coverage Tests will not constitute a default or breach) or if any representation or warranty of the Co-Issuers made in the Indenture, or in any certificate or writing delivered pursuant thereto proves to be incorrect in any material respect when made, and such default or breach continues unremedied, or such representation or warranty continues to be incorrect, for a period of 30 days (or, in the case of default, breach or incorrectness of a representation or warranty regarding the Collateral, 15 days) of notice to the Co-Issuers and the Manager by the Trustee, or to the Co-Issuers, the Manager and the Trustee by the Holders of at least 25% in Principal Balance Aggregate of the Outstanding Secured Notes of any Class, specifying such default, breach or incorrectness and requiring it to be remedied and stating that such notice is a "Notice of Default" under the Indenture; or (viii) (vii) certain events of bankruptcy, insolvency or reorganization of either of the Co-Issuers as set forth in the Indenture. Not later than three Business Days after an authorized officer of the Manager or an authorized officer of the Trustee has actual knowledge of the occurrence of an Event of Default, the Trustee or the Manager, as applicable, will promptly notify the other party of such Event of Default, and, not later than two Business Days following such
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notice, the Trustee will notify each Hedge Counterparty, the Cashflow Swap Counterparty, the Class A1 Swap Counterparty, each Rating Agency then rating a Class of Notes and all Holders of Notes in writing of the occurrence of such Event of Default. If an Event of Default occurs and is continuing (other than an Event of Default described in clause (vii) under "Events of Default" above), the Trustee may (if the Trustee has notice or actual knowledge of such Event of Default), and if directed by the Requisite Noteholders will declare the principal of and accrued and unpaid interest on the Secured Notes to be immediately due and payable, whereupon such Secured Notes will become due and payable at their Principal BalanceAggregate plus accrued and unpaid interest thereon, without further action or formality. If an Event of Default described in clause (vii) above under "Events of Default" occurs, such an acceleration will occur automatically and without any further action. Any declaration of acceleration may under certain circumstances be rescinded by the Requisite Noteholders. The Holders of the Income Notes will not have any creditors' rights against the Issuer and will not have the right to determine the remedies of creditors to be exercised under the Indenture. If an Event of Default occurs and is continuing which causes the Notes to be due and payable or if the Maturity DateFinal has occurred, the Trustee will not sell or liquidate the Collateral and will retain the Collateral intact and collect all payments in respect of the Collateral and continue making payments pursuant to the Priority of Payments unless (i) the Trustee determines (such determination may be based upon a certificate from the Manager) that the anticipated net proceeds of a sale or liquidation of the Collateral (after deducting reasonable expenses relating to such sale or liquidation) would be sufficient to discharge in full any amounts required to be paid under the Class A1 Swap and the Redemption Prices then due on each Class of Secured Notes, certain accrued and unpaid administrative expenses, accrued and unpaid Management Fees and any amounts required to be paid to the Key Counterparties, and the Requisite Noteholders agree in writing with such determination or (ii) either (A) an Event of Default specified in clause (i) above has occurred and is continuing, (B) an Event of Default specified in clause (ii) above has occurred and is continuing, or (C) the Principal Coverage Ratio relating to the Class A3 Notes is equal to or less than 76.75%, and, in each case, the Requisite Noteholders direct the sale and liquidation of the Collateral. The Requisite Noteholders will have the right to direct the Trustee in writing in the conduct of any proceedings or in the sale of any or all of the Collateral, but only if (i) such direction will not conflict with any rule of law or provision of the Indenture (including the limitations described in the paragraph above) and (ii) the Trustee determines that such action will not involve it incurring any liability (unless the Trustee is indemnified to its satisfaction against any such liability). Subject to the provisions of the Indenture relating to the duties of the Trustee, in case an Event of Default occurs and is continuing, the Trustee will be under no obligation to exercise any of the rights or powers under the Indenture at the request of the Requisite Noteholders, unless the Requisite Noteholders have offered to the Trustee reasonable security or indemnity. The Requisite Noteholders may, in certain cases, waive any Event of Default, except (i) a default in the payment, when due and payable, of any principal or interest or fees on the Class A1 Swap or principal of or interest on any Secured Note when due, (ii) failure on any Payment Date to disburse Available Funds in accordance with the Priority of Payments and continuation of such failure for a period of five Business Days, (iii) certain events of bankruptcy or insolvency with respect to the Co-Issuers, or (iv) in respect of a provision of the Indenture, that cannot be modified or amended without the waiver or consent of the Holder of each Outstanding Note adversely affected thereby. Only the Trustee may pursue the remedies available under the Indenture and the Secured Notes and neither the Class A1 Swap Counterparty nor a Holder of any Secured Note will have the right to institute any proceeding with respect to the Indenture, or for the appointment of a receiver or trustee, or for any other remedy under the Indenture, unless (i) the Class A1 Swap Counterparty or such Holder previously has given to the Trustee written notice of a continuing Event of Default, (ii) the Class A1 Swap Counterparty or the Holders of at least 25% of the Principal BalanceAggregate of the most Senior Class of Secured Notes then Outstanding 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 satisfactory to it, (iii) the Trustee has for 30 days failed to institute any such proceeding, and (iv) no direction inconsistent with such written request has been given to the Trustee during such 30-day period by the Requisite Noteholders.

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Any declaration of acceleration of maturity of the Secured Notes may be rescinded and annulled by the Requisite Noteholders before a judgment or decree for the payment of money due has been obtained by the Trustee or the Collateral has been sold or foreclosed in whole or in part, by notice to the Co-Issuers, the Trustee and the Rating Agencies, if (a) the Issuer has paid or deposited with the Trustee a sum sufficient to pay, in accordance with the Priority of Payments, the principal and accrued interest (including all Defaulted Interest thereon) with respect to the Outstanding Secured Notes (other than amounts that have become due solely as a result of such acceleration) and any other due and unpaid Administrative Expenses, fees, amounts (if any) due to the Class A1 Swap Counterparty, the Cashflow Swap Counterparty and the Hedge Counterparties and other amounts that, under the Transaction Documents and pursuant to the Priority of Payments, are payable prior to the payment of the principal of and interest on the Outstanding Secured Notes (including any fees and amounts due to the Cashflow Swap Counterparty and the Hedge Counterparties), if any, and (b) the Trustee has determined that all Events of Default of which it has actual knowledge, other than the non-payment of the interest on or principal of the Outstanding Secured Notes that have become due solely by such acceleration, have been cured and the Requisite Noteholders by notice to the Trustee have agreed with such determination (which agreement may not be unreasonably withheld or delayed) or waived such Event of Default in accordance with the provisions set forth in the Indenture. Any revocation or annulment of a declaration of acceleration will not extend to any subsequent declaration of acceleration. Notices Notices to the Holders of the Notes will be made by courier delivery (or electronic delivery followed by courier delivery) to the registered Holders of the Secured Notes at their respective addresses appearing in the Indenture Register or to the registered Holders of the Income Notes at their addresses appearing in the Income Note Register. In addition, for so long as any of the Listed Notes are listed on the Irish Stock Exchange and the guidelines of the Irish Stock Exchange so require, notices to the Holders of such Listed Notes will also be published by the Companies Announcement Office of the Irish Stock Exchange. Modification of the Indenture Except as provided below, with the written consent of the Class A1 Swap Counterparty, the CDS Collateral Securities Counterparty, the Cashflow Swap Counterparty, each CDS Asset Counterparty and the Holders of not less than 66% of the Principal BalanceAggregate of the Outstanding Notes of each Class (with any Pari Passu Classes voting together as a single class) materially and adversely affected thereby, the Trustee and the Co-Issuers may execute a supplemental indenture to add 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. Rating Agency Confirmation from each of Moody's and S&P must be obtained following the consent of Persons specified above and prior to execution of any such amendment. Without the written consent of the Class A1 Swap Counterparty, each CDS Asset Counterparty, the CDS Collateral Securities Counterparty and the Holders of 100% of the Principal BalanceAggregate of each Class of Outstanding Notes materially and adversely affected, Rating Agency Confirmation and the consent of each Hedge Counterparty and the Cashflow Swap Counterparty (but only if the right of such Hedge Counterparty or the Cashflow Swap Counterparty to payments in accordance with the Priority of Payments is adversely affected thereby), no supplemental indenture may (i) change the Maturity DateStated or Payment Date of any Note, or the scheduled Redemption Date of the principal of or the due date of any installment of interest on the Secured Notes, or reduce the principal amount thereof or the rate of interest thereon, or the redemption price with respect thereto, or change the earliest date on which Notes may be redeemed, change the provisions of the Indenture relating to the application of proceeds of any Collateral to the payment of principal of or interest on Secured Notes or the payment of distributions on the Income Notes or change any place where, or the coin or currency in which, Notes or the principal thereof or interest or distributions thereon is payable, or impair the right to institute suit for the enforcement of any such payment on or after the Maturity DateStated thereof (or, in the case of redemption, on or after the Redemption Date); (ii) modify the percentage of the Principal BalanceAggregate of the Outstanding Notes whose consent is required for the authorization of any supplemental indenture or for any waiver of compliance with certain provisions of the Indenture or certain Events of Default thereunder or their consequences; (iii) permit the creation of any lien or security interest ranking prior to or on a parity with the security interest of the Indenture with respect to any part of the Collateral or terminate such security interest on any property at any time
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subject thereto (other than in accordance with the Indenture) or deprive the Holder of any Secured Note of the security afforded by the security interest of the Indenture; (iv) reduce the percentage of the Principal Balance Aggregate of Outstanding Secured Notes held by Holders whose consent is required to request the Trustee to preserve the Collateral or rescind the Trustee's election to preserve the Collateral or to sell or liquidate the Collateral pursuant to the Indenture; (v) modify any of the provisions of the Indenture with respect to supplemental indentures except to increase the percentage of the Principal BalanceAggregate of Notes held by Holders whose consent is required for any such action; (vi) modify the Priority of Payments; (vii) modify the terms of the Class A1 Swap; 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 on or principal of any Note or modify any amount distributable to the Income Note Paying Agent for payment to the Holders of the Income Notes on any Payment Date or to affect the right of the Holders of Notes to the benefit of any provisions for the redemption of such Notes contained therein or to affect the rights of the Holders of the Income Notes to the benefit of any provisions for the redemption of Income Notes contained in the Income Note Paying Agency Agreement. The interests of the Holders of the Class Q Combination Notes as a separate Class will be deemed not to be adversely affected for purposes of modification of the Indenture and entry into of a supplemental indenture, and such Holders thereof will not be entitled to voting or consent rights separately as a Class but will be entitled to vote with respect to the Component comprising such Class. However, if a supplemental indenture directly and adversely affects only the terms of the Class Q Combination Notes, the Holders of such Class Q Combination Notes will be deemed, for purposes hereof, to be adversely affected and will be entitled to vote as a separate Class based on the Principal BalanceAggregate of their Class Q Combination Notes as a percentage of all Class Q Combination Notes. The Co-Issuers and the Trustee may also, without obtaining the consent of Holders of any Notes but with the consent of any applicable Key Counterparties as described in the proviso below, enter into one or more supplemental indentures for several purposes, including to: (i) add to the covenants of the Co-Issuers or the Trustee for the benefit of the Holders of the Secured Notes or to surrender any right or power conferred upon the Co-Issuers; (ii) grant any property to or with the Trustee; (iii) evidence and provide for the acceptance of appointment by a successor trustee and to add to or change any of the provisions of the Indenture as shall be necessary to facilitate the administration of the Collateral by more than one trustee; (iv) reduce the permitted minimum denominations of the Secured Notes or Class Q Combination Notes; (v) take any action necessary or advisable to prevent payments on the Notes from being subject to withholding or other taxes, fees or assessments or to prevent the Issuer from being treated as engaged in a United States trade or business or otherwise being subjected to United States Federal, state or local income tax on a net income tax basis; (vi) modify the restrictions on and procedures for resale and other transfers of the Secured Notes and Class Q Combination Notes in accordance with any change in any applicable law or regulation (or interpretation thereof) or enable the Co-Issuers to rely upon any less restrictive exemption from registration under the Securities Act or Investment Company Act or remove restrictions on resale and transfer to the extent not required thereunder; (vii) facilitate (a) the listing of any of the Notes on any exchange and/or (b) compliance with the rules and guidelines of such exchange, including, without limitation, the appointment of any listing agent, transfer agent, Paying Agent, or additional registrar for any Class of Notes appropriate in connection with the listing of any Class of Notes on the Irish Stock Exchange or any other stock exchange, and otherwise amending the Indenture to incorporate any changes required or requested by any governmental authority, stock exchange authority, listing agent, transfer agent, Paying Agent, or additional registrar for any Class of Notes in connection with its appointment; (viii) 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 to the Trustee any property subject to the lien of the Indenture; (ix) otherwise correct, amend, cure any ambiguity or inconsistency or defect or correct any typographical error, or other manifest error; (x) conform any provision to the description thereof set forth in this Offering Circular; (xi) prevent the Issuer from becoming an "investment company" as defined in the Investment Company Act; (xii) change the minimum denomination of the Notes; (xiii) amend the definition of "Eligible Investment" (and the related definitions), if such modification has been consented to by the Requisite Noteholders; (xiv) accommodate the acquisition of CDS Assets so long as the related changes are administrative or mechanical in nature, provided that such changes are not changes to the eligibility criteria applicable to CDS Assets or to the definition of "CDS Asset" that are, in each case, substantive in nature; (xv) amend any definition starting with "CDS Asset" to conform to current Rating Agency methodologies with respect to CDS Assets, provided that such amendment has been consented to by the Requisite Noteholders; (xvi) facilitate complying with the European Union Transparency Obligations Directive or to permit the Issuer to de-list any listed Class of Notes in accordance with the Indenture; (xvii) evidence of any waiver by any Rating Agency as to any requirement or condition, as applicable to such rating
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agency; (xviii) facilitate hedging transactions, if such indenture supplement has been consented to by the Requisite Noteholders; (xix) modify the calculation of any Portfolio Quality Test, or any Coverage Test to correspond with changes in the guidelines, methodology or standards established by any of the Rating Agencies, if such modification has been consented to by the Requisite Noteholders; (xx) with the consent of the Manager, modify the definitions of "Credit Improved Security", "Credit Risk Security", "Defaulted Security", "Equity Security", or "Weighted Average Spread" or the requirements relating to the sale or other disposal of Eligible Collateral Debt Securities or the reinvestment criteria, in each case, if such modification has been consented to by the Requisite Noteholders; (xxi) modify the restrictions on and procedures for resale and other transfer of the Notes in accordance with any change in applicable law or regulation (or the interpretation thereof) or enable the Issuer to rely upon any less restrictive exemption from registration under the Securities Act or the Investment Company Act or to remove restrictions on resale and transfer to the extent not required thereunder; or (xxii) enter into any additional agreements not expressly prohibited by the Indenture or other Transaction Document; provided that, (a) in any such case, Rating Agency Confirmation from S&P shall be received with respect to such supplemental indenture prior to its execution, (b) with respect to any supplemental indenture addressing the matters described in clauses (i) through (xiv) and clause (xvi) above, notice of such supplemental indenture shall have been provided to Moody's prior to its execution, and with respect to any supplemental indenture addressing the matters described in clause (xv) and clauses (xvii) through (xxii) above, Rating Agency Confirmation from Moody's shall be received with respect to such supplemental indenture prior to its execution, (c) the Class A1 Swap Counterparty, each CDS Asset Counterparty and the CDS Collateral Securities Counterparty have consented in writing to such supplemental indenture and (d) in any such case, none of the rights or interests of the Holders of any Class of Notes, the Manager, the Cashflow Swap Counterparty or any Hedge Counterparty would be materially and adversely affected thereby. In determining whether or not any Hedge Counterparty, the Cashflow Swap Counterparty or the Holders of any Class of Notes would be materially and adversely affected by any such change, the Trustee (after giving at least 15 Business Days prior notice of such change to such Holders, the Cashflow Swap Counterparty and each Hedge Counterparty) may, unless (i) it has been notified by a Majority of any Class of Notes, the Cashflow Swap Counterparty or a Hedge Counterparty that such Person reasonably considers that it will be materially and adversely affected by such proposed change or (ii) a Majority of any Class of Notes, the Cashflow Swap Counterparty and each Hedge Counterparty has consented to or objected to such proposed change in writing, seek an opinion of counsel or a certificate from the Issuer, the Manager or any other appropriate party, as necessary in making such determination (each prepared at the expense of the Person seeking the amendment), and such determination shall be binding on all present and future Holders of such Notes. The consent of each CDS Asset Counterparty, the CDS Collateral Securities Counterparty and the Class A1 Swap Counterparty will be deemed to have been received with respect to any such supplemental indenture if the Trustee shall have delivered a copy of the proposed supplemental indenture in accordance with the Indenture and such counterparty shall have failed to object in writing to such supplemental indenture prior to the date of the proposed supplemental indenture. The Trustee will be authorized by the Indenture to join in the execution of any such supplemental indenture and to make any further appropriate agreements and stipulations which may be therein contained, but the Trustee will not be obligated to enter into any such supplemental indenture that affects the Trustee's own rights, duties, liabilities or indemnities under the Indenture or otherwise, except to the extent required by law. In addition, in determining whether any Notes would be materially and adversely affected by any amendment or modification to the Indenture, the Trustee (after giving at least 15 Business Days prior notice of such change to such Holders) may, unless it has been notified by a Majority of any Class of Notes that such Class would be materially and adversely affected by such change, rely on a certificate from the Issuer or the Manager or on an opinion of counsel. The Co-Issuers will not consent to any supplemental indenture without the consent of the Manager. Standard of Conduct The Indenture will provide that, in exercising any of its or their voting rights, rights to direct and consent or any other rights as a securityholder under the Indenture or under the Management Agreement, subject to the terms and conditions of the Indenture, a Holder of Notes will not, except as may be expressly provided in the Indenture with respect to any particular matter, have any obligation or duty to any Person or to consider or take into account the interests of any Person and will not be liable to any Person for any action taken by it or them or at its or their direction or any failure by it or them to act or to direct that an action be taken, without regard to whether such action or inaction benefits or adversely affects any Holder or Holders of Notes, the Issuer or any other Person, except for
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any liability to which such Holder may be subject to the extent that the same results from such Holder's taking or directing an action, or failing to take or direct an action, in bad faith or in violation of the express terms of the Indenture or, if applicable, the Income Note Paying Agency Agreement or the Management Agreement. The foregoing will be equally applicable to a Holder of Notes that is, or that is an Affiliate of a Person that is (i) the Manager or (ii) an Affiliate of the Manager or the Issuer; and no action taken by any such Holder of Notes will be deemed to fall within the exception relating to bad faith in the preceding sentence solely by reason of a relationship that is the subject of this sentence. Consolidation, Merger or Transfer of Assets The Share Trustee, as a condition to acquiring the Ordinary Shares and the common stock of the Co-Issuer, will be required to covenant that, except under the limited circumstances set forth in the Indenture, they will not permit the Issuer or the Co-Issuer, as applicable, to consolidate with, merge into, or transfer or convey all or substantially all of its assets to, any other corporation, partnership, trust or other Person. No Petitions for Bankruptcy The Indenture and the Income Note Paying Agency Agreement will provide that none of the Paying Agents, the Secured Note Transfer Agents, the Indenture Registrar, the Income Note Registrar, the Trustee, the Holders of the Notes or the holders of the Ordinary Shares or any other equity in the Issuer or the Co-Issuer may cause the Issuer or the Co-Issuer to petition for bankruptcy before one year and one day or, if longer, the applicable preference period then in effect and one day, have elapsed since the final payments to the Holders of any Class of Secured Notes. The shareholders of the Issuer may voluntarily wind up the Issuer only by special resolution of the holders of the Ordinary Shares. The Share Trustee, as registered holder of the Ordinary Shares under a declaration of trust, has covenanted not to exercise the votes attaching to the Ordinary Shares to wind up the Issuer before one year and one day or, if longer, the applicable preference period then in effect and one (1) day, after all Secured Notes have ceased to be Outstanding. Secured Note Paying Agents The Secured Note Paying Agent and the Irish Note Paying Agent will be the initial Secured Note Paying Agents under the Indenture. The Co-Issuers may appoint additional Secured Note Paying Agents under the Indenture. The Co-Issuers and their Affiliates may maintain other banking relationships in the ordinary course of business with any Secured Note Paying Agent. The payment of the fees and expenses of the Secured Note Paying Agents relating to the Secured Notes is the obligation of the Co-Issuers (payable solely in accordance with the Priority of Payments). The Indenture will contain provisions for the indemnification of each Secured Note Paying Agent for any claim, loss, liability or expense incurred without gross negligence, willful misconduct, default or bad faith on its part arising out of or in connection with the acceptance or administration of the Indenture. Collateral Administrator The Collateral Administrator will be obligated to perform certain functions on behalf of the Issuer with respect to the administration of the Collateral under the Indenture and under the Collateral Administration Agreement, dated as of the Closing Date (the "Collateral Administration Agreement"), among the Issuer, the Collateral Administrator and the Manager. The Collateral Administration Agreement will contain provisions for the indemnification of the Collateral Administrator for any claim, loss, liability or expense incurred without gross negligence, willful misconduct, default or bad faith on its part arising out of or in connection with the acceptance or administration of the Collateral Administration Agreement. Trustee LaSalle will be appointed as the Trustee for the Holders of the Secured Notes pursuant to the Indenture. The Co-Issuers and their Affiliates may maintain other banking relationships in the ordinary course of business with
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the Trustee. The payment of the fees and expenses of the Trustee is the obligation of the Co-Issuers (payable solely in accordance with the Priority of Payments). The Indenture will contain provisions for the indemnification of the Trustee for any claim, loss, liability or expense incurred without negligence, willful misconduct or bad faith on its part, arising out of or in connection with the acceptance or administration of the Indenture. The Trustee will not be bound to take any action unless it is indemnified for such action. Under the Indenture, the Trustee may be removed at any time, if an Event of Default has occurred and is continuing, at the written request of the Requisite Noteholders. The Trustee may resign at any time upon three months' written notice to the Co-Issuers, the Key Counterparties, the Holders of Notes and each Rating Agency. The removal or resignation of the Trustee will not be effective until a successor trustee has been appointed by the Co-Issuers and approved by the written consent of the Requisite Noteholders. In the case of the resignation of the Trustee, if no successor trustee has been appointed within 30 days after the expiration of the Trustee's three-month notice to the Co-Issuers, the resigning Trustee or any Holder of a Secured Note may petition a court of competent jurisdiction for the appointment of a successor trustee. If the Trustee is removed without cause, the cost of expenses incurred in connection with the transfer of responsibilities to the successor trustee will be paid by the Issuer. Voting Rights of the Holders of Income Notes The Holders of the Income Notes will be entitled to certain voting, approval and consent rights with respect to the Transaction Documents. The Indenture will provide that any amendment, modification or supplement of the rights, preferences or privileges of the Income Notes under the Indenture that materially and adversely affects the rights or interests of the Holders of the Income Notes will not be effective except with the consent in writing of the Holders of not less than 66% of the Principal BalanceAggregate of the Outstanding Income Notes, except that any amendment, modification or supplement described in the second paragraph under "The Indenture and the Income Note Paying Agency AgreementModification of the Indenture" will not be effective without the written consent of the Holders of 100% of the Principal BalanceAggregate of the Outstanding Income Notes materially and adversely affected by such proposal, amendment, modification or supplement. The Income Note Paying Agency Agreement will provide that it may be amended by the Issuer and the Income Note Paying Agent without the consent of any of the Holders of the Income Notes to cure any ambiguity, to correct or supplement any provisions in the Income Note Paying Agency Agreement which may be inconsistent with any other provisions therein, or with the provisions of the Indenture or this Offering Circular, or to add, change or eliminate any other provisions with respect to matters or questions arising thereunder that shall not be inconsistent with the provisions of the Income Note Paying Agency Agreement; provided that such action will not, as evidenced by an opinion of counsel delivered to the Income Note Paying Agent, materially and adversely affect the interests of any Holder of Income Notes. The Income Note Paying Agency Agreement will provide that it may be amended from time to time by the Issuer and the Income Note Paying Agent with the consent of the Holders of not less than 66% of the Principal BalanceAggregate of the Outstanding Income Notes for the purpose of adding any provisions to or changing in any manner or eliminating any of the provisions of the Income Note Paying Agency Agreement, or of modifying in any manner the rights of the Holders of the Income Notes; provided that (x) no such amendment will (i) reduce in any manner the amount of, or delay the timing of, or change the allocation of, the payment of distributions on the Income Notes or (ii) reduce the voting percentage of the Holders of the Income Notes required to consent to any amendment to the Income Note Paying Agency Agreement, in each case without the consent of the Holders of all of the Outstanding Income Notes and (y) such action will not, as evidenced by an opinion of counsel delivered to the Income Note Paying Agent, materially and adversely affect the interests of any Holder of Income Notes. Income Note Paying Agency Agreement Pursuant to the Income Note Paying Agency Agreement, the Income Note Paying Agent will perform various fiscal services on behalf of the Holders of the Income Notes. The payment of the expenses of the Income Note Paying Agent will be the obligation of the Issuer (payable solely in accordance with the Priority of Payments). The Income Note Paying Agency Agreement will contain provisions for the indemnification of the Income Note Paying Agent for any claim, loss, liability or expense incurred without gross negligence, willful misconduct or bad faith on its part, arising out of or in connection with the acceptance or administration of the Income Note Paying Agency Agreement.
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Reports As set forth in the Indenture, the Trustee will supply to the Co-Issuers, the Key Counterparties, the Initial Purchaser, the Paying Agent, the Income Note Paying Agent and the Rating Agencies any information relating to the Eligible Collateral Debt Securities regularly maintained by the Trustee that the Co-Issuers or the Manager may from time to time request with respect to certain agreements. In addition, the Issuer will prepare or cause to be prepared a monthly report ("Monthly Report"), determined as of the determination date of each Monthly Report, and payment report (the "Payment Report"), determined as of each Period End Date, and the Issuer will make available or cause the reports to be made available to each of the Key Counterparties, the Income Note Paying Agent (who will forward such report to the Holders of the Income Notes upon request), each Rating Agency (so long as any Note is rated) and, upon written request to the Trustee, to any Holder of a Secured Note by the Payment Date. The Payment Report will provide certain information, including information regarding the Coverage Tests, the payments due as of such Payment Date, and account information and other information required to be included in the Monthly Report. The Monthly Report will contain information regarding the Eligible Collateral Debt Securities (individually and collectively), account information, and information regarding the Portfolio Quality Tests, Portfolio Limitations and the Coverage Tests. Certain additional information may be available from the Manager upon request.

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SECURITY FOR THE SECURED OBLIGATIONS Closing Date The Manager expects that, by the Closing Date, the Issuer will have purchased, or will have entered into agreements to purchase, Eligible Collateral Debt Securities having a Principal BalanceAggregate of approximately U.S.$959,256,000. A list of the portfolio of Eligible Collateral Debt Securities expected to be acquired by the Issuer on the Closing Date may be obtained upon request from the Initial Purchaser and the Placement Agent. Ramp-Up End Date The Manager expects that, by the Ramp-Up End Date, the Issuer will have purchased, or will have entered into agreements to purchase, Eligible Collateral Debt Securities having a Principal BalanceAggregate of approximately U.S.$1,000,000,000. Portfolio Quality Tests and Portfolio Limitations Each of the Portfolio Quality Tests and the Portfolio Limitations will be required to be satisfied as of the Closing Date and the Ramp-Up End Date only. See "Security for the Secured ObligationsSale of Eligible Collateral Debt Securities and CDS Assets" and "Summary of TermsSecurity for the Secured Obligations Portfolio Limitations". The Coverage Tests The portfolio of Eligible Collateral Debt Securities and Eligible Investments shall satisfy the Principal Coverage Tests as of the Closing Date and the Ramp-Up End Date. The Coverage Tests will also be required to be satisfied as of the Period End Date related to any Payment Date (beginning with the second Payment Date, in the case of the Interest Coverage Tests). In addition, the Coverage Tests will be used on each Period End Date (beginning on the Period End Date relating to the second Payment Date in the case of the Interest Coverage Tests) while any Secured Notes are Outstanding to determine whether principal prepayments will be required to be made in accordance with the Priority of Payments. See "Summary of TermsCoverage Tests". For purposes of the Coverage Tests, unless otherwise specified, a CDS Asset shall be included as an Eligible Collateral Debt Security having the characteristics of the CDS Asset and not of the related CDS Reference Obligation(s). Sale of Eligible Collateral Debt Securities and CDS Assets Prior to the Ramp-Up End Date, if the Issuer on any date of determination is not satisfying any Portfolio Quality Test, Coverage Test or Portfolio Limitation, the Issuer (or the Manager on behalf of the Issuer) may, with the prior consent of Citibank, N.A. (in its capacity as the Initial CDS Asset Counterparty) sell any Eligible Collateral Debt Security and acquire (in accordance with the Investment Criteria) additional Eligible Collateral Debt Securities with the proceeds of such sale; provided that the CDS Asset Capacity Amount shall not be less than zero as a result of such sale. The Eligible Collateral Debt Securities may be retired prior to their respective final maturities due to, among other things, the existence and frequency of exercise of any optional redemption, mandatory defeasance or principal prepayment features of such Eligible Collateral Debt Securities. In addition, pursuant to the Indenture, provided no Event of Default has occurred and is continuing, the Manager may direct the Trustee to sell any Eligible Collateral Debt Security as described below. No sale of Eligible Collateral Debt Securities (including CDS Assets) will be permitted after the Closing Date except as expressly permitted hereunder. With respect to any sale of CDS Assets, the Issuer expects that it will generally need to reach agreement with the relevant CDS Asset Counterparty to terminate such CDS Assets. The termination of any CDS Asset may result in the payment by or to the Issuer of a termination payment. Any resulting CDS Asset/SCA Issuer Termination Payment by the Issuer shall be paid in accordance with the Priority of Payments. Any termination
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payment received by the Issuer shall be treated as gain on sale or receipt of interest to the extent that amounts would be so recognized had the Issuer sold the related CDS Reference Obligation. In the event of a Redemption, the Manager will direct the Trustee to sell Eligible Collateral Debt Securities without regard to the limitations set forth herein; provided that the Sale Proceeds therefrom and other amounts available therefor are expected to be at least sufficient to pay the Redemption Amount, determined in accordance with the Indenture, and that such Sale Proceeds are used to make such a redemption. Credit Risk Securities A Credit Risk Security may be sold at any time. During the period from the Closing Date until the third anniversary thereafter, following the sale of a Credit Risk Security, the Manager shall use commercially reasonable efforts to purchase (in compliance with the Investment Criteria) no later than 30 Business Days after the sale of such Credit Risk Security, one or more Eligible Collateral Debt Securities with a Principal Balance Aggregate at least equal to the Sale Proceeds (excluding accrued interest) from such sale; provided that the Manager may choose not to apply such Sale Proceeds to purchase any substitute Eligible Collateral Debt Securities. Defaulted Securities A Defaulted Security may be sold at any time. During the period from the Closing Date until the third anniversary thereafter, following the sale of a Defaulted Security, the Manager shall use commercially reasonable efforts to purchase (in compliance with the Investment Criteria) no later than 30 Business Days after the sale of such Defaulted Security, one or more Eligible Collateral Debt Securities with a Principal Balance Aggregate at least equal to the Sale Proceeds (excluding accrued interest) from such sale; provided that the Manager may choose not to apply such Sale Proceeds to purchase any substitute Eligible Collateral Debt Securities. If an Eligible Collateral Debt Security that is a Defaulted Security is not sold within 30 days of such Eligible Collateral Debt Security becoming a Defaulted Security, the Manager, on behalf of the Issuer, shall use commercially reasonable efforts to sell such Eligible Collateral Debt Security on such later date as such Eligible Collateral Debt Security may first be sold in accordance with its terms and with applicable law. Equity Securities and Tax Ineligible Investments An Equity Security or a Tax Ineligible Investment may be sold at any time. Subject to applicable law, any Equity Security must be sold by the later of 30 days after receipt or the first day such Equity Security can be sold in accordance with its terms and with applicable law. Discretionary Sales Other than as part of a Redemption, any Eligible Collateral Debt Security that is not referred to in the three preceding paragraphs may be sold at any time until the third anniversary of the Closing Date but only so long as: (a) the sum of (i) the notional amount of Covered Short CDS Assets that are terminated during such period, (ii) the Principal BalanceAggregate (which amount shall be calculated, for the avoidance of doubt, on a cumulative basis) of all such Eligible Collateral Debt Securities sold (not including a Defaulted Security, an Equity Security, a Tax Ineligible Investment or a Credit Risk Security) during such period and (iii) Principal Collections used to purchase Eligible Collateral Debt Securities since the Closing Date, which are not also Sale Proceeds but are the result of repayment or prepayment during such period of Eligible Collateral Debt Securities held by the Issuer, does not exceed 10.0% of the Principal BalancePortfolio as of the Ramp-Up End Date; (b) no Moody's Trading Restriction Event has occurred and is continuing (unless the Requisite Noteholders have consented to such sale notwithstanding such Moody's Trading Restriction Event); (c) in the Manager's reasonable business judgment the resulting Sale Proceeds will be invested in compliance with the Investment Criteria within 20 Business Days of the sale of such Eligible Collateral Debt Security in one or more Eligible Collateral Debt Securities having a Principal Balance Aggregate at least equal to the Principal Balance of the Eligible Collateral Debt Security sold; and 81

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(d) no Eligible Collateral Debt Securities or Deliverable Obligations are liquidated for the purpose of making payments to a CDS Asset Counterparty. Purchase of Eligible Collateral Debt Securities; Investment Criteria Investments may be made in Eligible Collateral Debt Securities after the Closing Date and the Ramp-Up End Date, as applicable, in the limited circumstances expressly provided in the Indenture if, after giving effect to such investment, the Portfolio Limitations, the Portfolio Quality Tests and the Coverage Tests are satisfied, or, if any were not satisfied immediately prior to such proposed investments, the degree of compliance with such unsatisfied criteria shall be maintained or improved (collectively, the "Investment Criteria"); provided that: (i) in determining whether the degree of compliance with the Portfolio Limitations, the Portfolio Quality Tests and the Coverage Tests is maintained or improved with respect to the reinvestment of Principal Collections received on an Eligible Collateral Debt Security, the Eligible Collateral Debt Securities in the Collateral immediately after the proposed investment will be compared to the Eligible Collateral Debt Securities in the Collateral prior to the receipt of such Principal Collections, and for purposes of such comparison, the Principal Balance of any Credit Risk Security, Defaulted Security or Tax Ineligible Investment that is sold will be deemed prior to such sale to equal its Sale Proceeds (excluding accrued interest); (ii) with respect to any purchase of accrued interest on an Eligible Collateral Debt Security made with Interest Collections, each Coverage Test must be satisfied after giving effect to such purchase; and (iv) if such Eligible Collateral Debt Security is not of a type set forth in the recovery rate matrix in Schedule 2 to the Indenture, Moody's shall have assigned a recovery rate thereto. No purchase of an Eligible Collateral Debt Security may be made if an Event of Default has occurred and is continuing. If, at the time of receipt of any Principal Collections the Manager has not identified Eligible Collateral Debt Securities for purchase, Principal Collections may be reinvested in Eligible Investments in the Collection Account on a temporary basis, pending reinvestment in Eligible Collateral Debt Securities in the limited circumstances specifically provided herein. For purposes of any applicable calculation or determination under the Indenture, the date on which any Eligible Collateral Debt Security or Eligible Investment will be deemed to be acquired or sold (the "determination date"), will be the trade date (and not the settlement date) for such acquisition or sale. CDS Assets The following summary describes certain provisions that are expected to be generally applicable to CDS Assets. This summary does not purport to be complete and is subject to the terms of the documentation relating to each CDS Asset, which may vary from the terms summarized herein. General On the Closing Date, the Issuer will enter into the initial CDS Assets with the Initial CDS Asset Counterparty, an Affiliate of the Initial Purchaser. The CDS Assets will be documented on the standard form of the 1992 Master Agreement (Multicurrency-Cross Border), the 2002 Master Agreement or any successor form (the "Master Agreement"), published by the International Swaps and Derivatives Association, Inc. ("ISDA"), as supplemented by schedules and confirmations on either (i) a Form-Approved ABS Asset Agreement or a Form-Approved CDO Asset Agreement or (ii) confirmation forms other than a Form-Approved ABS Asset Agreement or a Form-Approved CDO Asset Agreement that have been approved by the Requisite Noteholders (so long as the Class A1 Swap Counterparty or the Holders of the Class A1 Notes or Pari Passu Classes are the Requisite Noteholders) and that receive Rating Agency Confirmation from each Rating Agency.

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Each confirmation will include a schedule of CDS Reference Obligations, and each CDS Reference Obligation will be treated as if referenced in a distinct transaction and not part of an index. Each CDS Reference Obligation will be required to satisfy the definition of "Eligible Collateral Debt Securities" at the time the Issuer enters into the transaction in respect of such CDS Reference Obligation. However, the failure of any CDS Reference Obligation to satisfy the definition of "Eligible Collateral Debt Securities" after the date that the Issuer is committed to enter into the related transaction will not constitute an Event of Default under the Indenture or an event of default or termination event under the related CDS Asset. Credit Events under each CDS Asset may be physically settled with respect to a Distressed Ratings Downgrade, a Writedown, a Failure to Pay Interest or a Failure to Pay Principal. In the case of a Writedown, a Failure to Pay Principal or an Interest Shortfall, the protection buyer may elect to receive a Credit Protection Payment from the protection seller rather than physical settlement. Multiple notices of a Credit Event may be delivered with respect to each CDS Asset. Each CDS Asset will be designed to replicate the risk transfer profile of an actual holding of Asset Backed Securities. Asset Backed Securities have inherent risks that differ in nature to corporate credit risk, most notably the fact that the obligor is relying on the timely receipt of cash flows from the underlying assets (and therefore has limited control over its ability to pay investors). Distressed scenarios can occur where the cash flows of the asset-backed security are adversely affected without triggering an event of default under the terms thereof. As well as the Credit Events that may trigger physical settlement described above, each CDS Asset requires the protection seller to pay floating amounts to the protection buyer in amounts equal to (subject to any adjustments set forth in the relevant confirmation to reflect any applicable percentage or reference price) any principal shortfalls, written down amounts and interest shortfalls under the CDS Reference Obligation (calculated, in the case of principal shortfalls and interest shortfalls, as the expected amount less the actual amount received) upon the occurrence of, respectively, a Failure to Pay Principal, Writedown or Interest Shortfall (any such payment, a "Credit Protection Payment"). A CDS Asset may therefore, in some respects, be more akin to a total return swap than a credit default swap (although in the case of a Writedown or Failure to Pay Principal the protection buyer may elect to deliver a notice of a Credit Event in respect thereof in which case the relevant CDS Asset will be physically settled and no further Floating Payments (as such term is defined in the relevant CDS Asset) will be payable). Credit Events With respect to each CDS Asset, the term "Credit Event" will have the meaning specified in the applicable Pay-As-You-Go Confirmation or any permitted alternative form of confirmation. Credit Events are expected to include the events described below, as well as any additional, substitute or modified Credit Events that the Issuer in the future elects, with Rating Agency Confirmation, to include in CDS Assets. The Credit Events applicable to CDS Assets acquired by the Issuer on the Closing Date will be as follows: Failure to Pay Principal A "Failure to Pay Principal" will apply to all CDS Assets and will occur upon: (i) (ii) a failure by the CDS Reference Obligor (or any insurer thereof) to pay an expected amount of principal on the Final Amortization Date or the legal final maturity date, as the case may be, or payment on any such day of an actual amount of principal that is less than the expected amount of principal;

provided that the failure by the CDS Reference Obligor (or any insurer thereof) to pay any such amount in respect of principal in accordance with the foregoing shall not constitute a Failure to Pay Principal if such failure has been remedied within any grace period applicable to such payment obligation under the Underlying Instruments relating to the CDS Reference Obligation or, if no such grace period is applicable, within three business days after the day on which the expected principal amount was scheduled to be paid. For purposes of the foregoing, "Final Amortization Date" means the first to occur of (i) the date on which the notional amount of the CDS Asset is reduced to zero and (ii) the date on which the assets securing the CDS

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Reference Obligation or designated to fund amounts due in respect of the CDS Reference Obligation are liquidated, distributed or otherwise disposed of in full and the proceeds thereof are distributed or otherwise disposed of in full. Writedown A "Writedown" will apply to all CDS Assets and will occur if at any time any of the following occurs: (i) (a) a writedown or applied loss (however described in the Underlying Instruments) resulting in a reduction in the outstanding principal amount (other than as a result of a scheduled or unscheduled payment of principal); or (b) the attribution of a principal deficiency or realized loss (however described in the Underlying Instruments) to the CDS Reference Obligation resulting in a reduction of the current interest payable on the CDS Reference Obligation; (ii) the forgiveness of any amount of principal by the holders of the CDS Reference Obligation pursuant to an amendment to the Underlying Instruments resulting in a reduction in the outstanding principal amount of the CDS Reference Obligation; or if Implied Writedown is applicable and the Underlying Instruments do not provide for writedowns, applied losses, principal deficiencies or realized losses as described in paragraph (i) above to occur in respect of the CDS Reference Obligation, an Implied Writedown Amount being determined in respect of the CDS Reference Obligation by the CDS Asset Counterparty in its capacity as calculation agent.

(iii)

Distressed Ratings Downgrade A "Distressed Ratings Downgrade" will apply to all CDS Assets and will occur if the CDS Reference Obligation: (i) if publicly rated by Moody's, (A) is downgraded to "Caa2" or below by Moody's or (B) has the rating assigned to it by Moody's withdrawn and, in either case, not reinstated within five business days of such downgrade or withdrawal; provided that if such CDS Reference Obligation was assigned a public rating of "Baa3" or higher by Moody's immediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade if such CDS Reference Obligation is assigned a public rating of at least "Caal" by Moody's within three calendar months after such withdrawal; if publicly rated by S&P, (A) is downgraded to "CCC" or below by S&P or (B) has the rating assigned to it by S&P withdrawn and, in either case, not reinstated within five business days of such downgrade or withdrawal; provided that if such CDS Reference Obligation was assigned a public rating of "BBB" or higher by S&P immediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade if such CDS Reference Obligation is assigned a public rating of at least "CCC+" by S&P within three calendar months after such withdrawal; or if publicly rated by Fitch, (A) is downgraded to "CCC" or below by Fitch or (B) has the rating assigned to it by Fitch withdrawn and, in either case, not reinstated within five Business Days of such downgrade or withdrawal; provided that if such CDS Reference Obligation was assigned a public rating of "BBB-" or higher by Fitch immediately prior to the occurrence of such withdrawal, it shall not constitute a Distressed Ratings Downgrade if such CDS Reference Obligation is assigned a public rating of at least "CCC+" by Fitch within three calendar months after such withdrawal.

(ii)

(iii)

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Failure to Pay Interest A "Failure to Pay Interest" will apply to CDS Assets to the extent set forth in the applicable confirmation and will occur upon the occurrence of an Interest Shortfall Amount or Interest Shortfall Amounts (on a cumulative basis) in excess of the relevant Payment Requirement. For purposes of the foregoing, "Interest Shortfall Amount" means, with respect to any payment date under the CDS Reference Obligation, an amount equal to the greater of (a) zero and (b) the amount equal to the product of (i) the Expected Interest Amount minus the Actual Interest Amount; and (ii) the applicable percentage specified in the related confirmation; provided that, with respect to the first payment date under the CDS Reference Obligation following the addition of such CDS Reference Obligation, such amount shall be pro rated. The "Payment Requirement" means the amount specified as such in the related PayAsYouGo Confirmation which, in the case of certain PayAsYouGo Confirmations forming part of the Initial CDS Agreement, shall be U.S.$10,000. CDS Asset Counterparty Payments Under each CDS Asset, each CDS Asset Counterparty will be required to pay to the Issuer the CDS Fixed Amount. The CDS Fixed Amount for each calculation period will be an amount equal to the sum for each CDS Reference Obligation of the product of (i) the weighted average notional amount of such CDS Reference Obligation during such calculation period, (ii) the applicable fixed rate and (iii) a fraction, the numerator of which will be the actual number of days in the calculation period and the denominator of which will be 360. Each respective CDS Asset Counterparty will pay to the Issuer the CDS Fixed Amount payable under such CDS Asset, and shall also pay to the Issuer any CDS Asset Interest Reimbursements, CDS Asset Principal Reimbursements and CDS Asset Writedown Reimbursements. CDS Fixed Amounts, CDS Asset Interest Reimbursements, any accrued interest component of any Sale Proceeds or CDS Asset Counterparty Termination Payments, Second Additional Fixed Amounts and Increased Fixed Amounts paid to the Issuer will be deposited into the Collection Account as Interest Collections and distributed in accordance with the Priority of Payments. CDS Asset Principal Reimbursements, CDS Asset Writedown Reimbursements, any CDS Asset Counterparty Termination Payments and Sale Proceeds (in each case, excluding the portion of which represents accrued interest) paid to the Issuer in respect of CDS Assets, and any Sale Proceeds of a Deliverable Obligation paid to the Issuer, will be deposited into the Collection Account as Principal Collections. The initial notional amount of each CDS Reference Obligation will be designated by the Manager on behalf of the Issuer and will be set forth in the schedule of CDS Reference Obligations to the related CDS Asset. It is expected that the Net Aggregate Adjusted Notional Amount of the CDS Assets, in the form of the Initial CDS Agreement, on the Closing Date will be approximately U.S.$869,256,000. The notional amount of each CDS Reference Obligation will be reduced by the amount of any principal amortization on such CDS Reference Obligation and by any "Floating Amount" (as such term is defined in the relevant CDS Asset) (other than Interest Shortfalls) or Physical Settlement Amount paid by the Issuer to the CDS Asset Counterparty in respect of such CDS Reference Obligation, and increased by any reimbursement amount realized in respect of any Writedown for such CDS Reference Obligation. If a Writedown, Failure to Pay Principal or Interest Shortfall (each as defined in the related CDS Asset) occurs and the Issuer pays to the applicable CDS Asset Counterparty a "Floating Amount" (as such term is defined in the relevant CDS Asset) in respect thereof, the CDS Asset Counterparty will be required to pay to the Issuer on each periodic payment date an amount equal to the Additional Fixed Amount in respect of reimbursements of any amounts previously paid by the Issuer in respect of any Writedown, Failure to Pay Principal or Interest Shortfall. The obligation of the CDS Asset Counterparty to pay such reimbursement amounts will apply to any reimbursement made under the governing instruments for the related CDS Reference Obligation on or prior to the day that is one calendar year after the date on which such CDS Reference Obligation is deleted or the related CDS Asset is terminated. Payments by the Issuer Following the occurrence of certain credit-related events under a CDS Asset, the Issuer will be required to make payments to the CDS Asset Counterparty. The Issuer will be required to pay to the CDS Asset Counterparty a Floating Amount (as such term is defined in the relevant CDS Asset) following the occurrence of a Writedown, Failure to Pay Principal or Interest Shortfall which will be equal to the loss actually incurred as a result of such event
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on a "pay-as-you-go" basis; that is, the Issuer will make such payment on a current basis, and the making of such payment will not result in the deletion of the affected CDS Reference Obligation from the related CDS Asset or otherwise affect the treatment of such CDS Reference Obligation under the CDS Asset (except that the notional amount of such CDS Reference Obligation will be reduced by the amount of such payment). If a credit-related event occurs that constitutes a Credit Event under the CDS Asset and the conditions to settlement are satisfied, the Issuer will be required to pay to the CDS Asset Counterparty an amount equal to the Physical Settlement Amount in exchange for the delivery by the CDS Asset Counterparty to the Issuer of the Deliverable Obligation. The affected CDS Reference Obligation will be treated under the CDS Asset as deleted from the CDS Asset for all purposes of the transaction. The CDS Asset Counterparty will have the right to physically settle the CDS Asset upon the occurrence of a Credit Event for only a portion of the Net Aggregate Adjusted Notional Amount of the affected CDS Reference Obligation, in which case only such portion of the notional amount will be deleted. The Issuer will make payments of Floating Amounts (as such term is defined in the relevant CDS Asset) and Physical Settlement Amounts (together, "Credit Protection Amounts") under each CDS Asset at any time and in accordance with the CDS Payment Priority. Amounts paid by the Issuer as the seller of protection will be contingent insofar as the applicable CDS Asset Counterparty as protection buyer will be required to reimburse all or part of such Credit Protection Payments (whether such payments are in respect of a "Writedown Reimbursement", a "Principal Reimbursement" or an "Interest Reimbursement", each as defined in the applicable CDS Asset) to the Issuer if they are paid by the CDS Reference Obligor to holders of the CDS Reference Obligation after the effective date of the CDS Asset on or before the earlier of (i) with respect to RMBS Securities and CMBS Securities, on or before the earlier of (x) the day that is one year after the Effective Maturity Date (as defined in such CDS Asset) (or, if such RMBS Security or CMBS Security is terminated as a result of the occurrence of any Early Termination Event (as defined in such CDS Asset), the day that is one year after such Early Termination Event) or (y) the Maturity DateStated and (ii) with respect to CDO Securities, on or before the day that is one year after the Effective Maturity Date, as defined in such CDS Asset; provided that in the case of an Interest Reimbursement, the CDS Asset Counterparty generally will be entitled to receive recovery of any portion of the CDS Interest Shortfall for which it was not compensated by the Issuer as protection seller before it makes any payment in respect of an Interest Reimbursement to the Issuer. Notwithstanding the foregoing, solely with respect to CDO Securities, in the event that an "Early Termination Date" (as defined in the applicable CDS Asset) occurs following an Event of Default under such CDO Securities with respect to which the CDS Asset Counterparty is the sole "Defaulting Party" (as defined in the applicable CDS Asset), the CDS Asset Counterparty's obligation to pay the relevant Additional Fixed Amount to the seller of protection shall survive the termination of the Initial CDS Agreement and any Additional Fixed Payment Notice (as defined in the applicable CDS Asset) must be given on or prior to the fifth Business Day following the day that is three years after the Early Termination Date; provided that, if at any time after the Early Termination Date the sum of all Floating Amounts (as such term is defined in the relevant CDS Asset) that have been calculated under the Initial CDS Agreement but have not been reimbursed by the CDS Asset Counterparty is greater than 25% of the CDS Reference Obligation Notional Amount, then any Additional Fixed Payment Notice must be given on or prior to the fifth Business Day following the day that is one year after the Early Termination Date. A Writedown or Failure to Pay Principal in respect of a CDS Reference Obligation will entitle the CDS Asset Counterparty as protection buyer to elect whether to deliver a notice of a Credit Event or require a contingent Credit Protection Payment under the related CDS Asset transaction. For purposes of the foregoing, "Interest Shortfall" means, with respect to any payment date under the CDS Reference Obligation related to a CDS Asset, either (a) the non-payment of an Expected Interest Amount or (b) the payment of an Actual Interest Amount that is less than the Expected Interest Amount. "Expected Interest Amount" means, with respect to any payment date under the CDS Reference Obligation related to a CDS Asset, the amount of current interest that would accrue during the related calculation period on a principal balance of the CDS Reference Obligation equal to (A) the outstanding principal amount of the CDS Reference Obligation taking into account any reductions due to a principal deficiency balance or realized loss amount that are attributable to the CDS Reference Obligation minus (B) the aggregate Implied Writedown Amounts (if any) and that will be payable on the related payment date, assuming for this purpose that sufficient funds are available therefor in accordance with the Underlying Instruments. "Actual Interest Amount" means, with respect to any payment date under the CDS Reference Obligation related to a CDS Asset, payment by or on behalf of the issuer of the CDS Reference
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Obligation of an amount in respect of interest due under the CDS Reference Obligation (including, without limitation, any deferred interest or defaulted interest relating to the term of the CDS Asset but excluding payments in respect of prepayment penalties, yield maintenance provisions or principal, except that the Actual Interest Amount shall include any payment of principal representing capitalized interest) to the holder(s) of the CDS Reference Obligation in respect of the CDS Reference Obligation. Termination of CDS Assets Under certain circumstances in the CDS Assets, the Issuer or the CDS Asset Counterparty may terminate a CDS Asset, in which event the Issuer or the CDS Asset Counterparty may be required to make a termination payment. Depending upon existing market conditions at the time of any such termination, a termination payment may be owed by or to the Issuer. Early termination of the CDS Asset will not relieve the Issuer of its obligation to use proceeds from the liquidation of Eligible Collateral Debt Securities and Deliverable Obligations of maturity or redemption to pay any unpaid amounts owing to the CDS Asset Counterparty. See "Risk FactorsCDS Assets". Instead of terminating a CDS Asset, the Manager may cause the Issuer to enter into a Covered Short CDS Asset with and to the extent terms can be agreed with the CDS Asset Counterparty to the related CDS Asset. Covered Short CDS Assets are intended to be used by the Issuer as a means of reducing or eliminating the Issuer's exposure to credit risks on one or more CDS Assets held by it that would constitute Covered Short Matching Long Positions. See "Covered Short CDS Assets". Settlement of CDS Assets The CDS Assets may be physically settled except in circumstances in which the CDS Asset Counterparty elects otherwise. Accordingly, it is expected that, upon settlement of a CDS Asset, the buyer of protection will deliver to the seller of protection the Deliverable Obligations specified in the notice of physical settlement (which shall only consist of CDS Reference Obligations) and the seller of protection will pay to the buyer of protection the agreed Physical Settlement Amount that corresponds to the Deliverable Obligations that the buyer of protection has delivered. Each CDS Asset will provide that the buyer of protection, when providing a notice of physical settlement, may specify an amount (the "Exercise Amount") that is less than the notional amount of the CDS Asset as of the date on which such notice of physical settlement is delivered (calculated as though physical settlement in respect of all previously delivered notices of physical settlement has occurred in full), in which case the rights and obligations of the parties under the CDS Asset will continue and the buyer of protection may deliver additional notices of physical settlement with respect to the initial Credit Event or with respect to any additional Credit Event at any time thereafter. Where the buyer of protection has delivered a notice of physical settlement but does not deliver in full the Deliverable Obligations on or prior to the physical settlement date, then such notice of physical settlement shall be deemed not to have been delivered. In such event full or partial cash settlement shall not apply. Each CDS Asset will provide that only CDS Reference Obligations may constitute Deliverable Obligations and, pursuant to the definition of "Eligible Collateral Debt Securities", CDS Reference Obligations will qualify as Eligible Collateral Debt Securities. Accordingly, upon receipt of Deliverable Obligations the Issuer may hold Deliverable Obligations as Eligible Collateral Debt Securities and such Deliverable Obligations shall be subject to the provisions relating to the disposition of Eligible Collateral Debt Securities set forth herein. For purposes of the foregoing, "Physical Settlement Amount" for a CDS Asset means, in general, an amount equal to (a) the product of the Exercise Amount and an agreed reference price (which is currently expected to be 100% in respect of each CDS Reference Obligation) minus (b) the sum of: (i) the product of (A) the aggregate of all Implied Writedown Amounts, if applicable, with respect to the relevant CDS Reference Obligation determined immediately prior to the relevant delivery, (B) the Applicable Percentage (as defined in the related CDS Asset) and (C) the relevant Exercise Percentage and (ii) the product of (A) the aggregate principal amount of the CDS Reference Obligation which is subject to certain Writedowns (as the same may be reduced by an reimbursement obligations of the buyers of protection under the relevant CDS Asset) and (B) the relevant Exercise Percentage. "Exercise Percentage" means, with respect to a notice of physical settlement, a percentage equal to the original face amount of the Deliverable Obligations specified in such notice of physical settlement divided by an amount equal to (i) the initial face amount of the CDS Reference Obligation minus (ii) the aggregate of the original face amount of all Deliverable Obligations specified in all previously delivered notices of physical settlement.

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Initial CDS Agreement On the Closing Date, the Issuer and the Initial CDS Asset Counterparty will enter into a Master Agreement, as supplemented by a schedule, and Pay-As-You-Go Confirmations evidencing CDS Assets having a Net Aggregate Adjusted Notional Amount of approximately U.S.$869,256,000 (the "Initial CDS Agreement"). Each CDS Asset acquired on the Closing Date will be evidenced by a transaction under the Initial CDS Agreement. Each of the Initial CDS Agreement transactions on the Closing Date will by its terms be subject to and incorporate the 2003 ISDA Credit Derivatives Definitions, as published by ISDA (as the same may be amended, modified or otherwise supplemented from time to time, to the extent agreed upon by the Manager on behalf of the Issuer and the Initial CDS Asset Counterparty, the "Credit Derivatives Definitions"). The Initial CDS Asset Counterparty may provide CDS Assets as an intermediary with matching off-setting positions requested by the Manager or may provide CDS Assets alone without any off-setting positions. The Initial CDS Asset Counterparty may also intermediate or provide Covered Short CDS Assets to the Issuer from time to time upon request or with approval of the Manager. The Initial CDS Asset Counterparty may also enter into Covered Short CDS Assets in respect of the CDS Assets for which it is the Initial CDS Asset Counterparty. See "Covered Short CDS Assets". The Issuer will pay to the Initial CDS Asset Counterparty an intermediation fee (the "Intermediation Fee") that will accrue and be payable on each Payment Date that will be calculated based upon the weighted average notional amount of the CDS Reference Obligations multiplied by the Intermediation Fee Rate, as specified in the Initial CDS Agreement, multiplied by the actual number of days during each applicable Period divided by 360. The maximum Intermediation Fee Rate expected to be paid to the Initial CDS Asset Counterparty is 0.03%. The Intermediation Fee that is due on any Payment Date will be paid in accordance with the Priority of Payments prior to the payment of any interest that is due and payable on such Payment Date in respect of the Secured Notes. The Initial CDS Agreement will be subject to termination by the Issuer or the Initial CDS Asset Counterparty, whether or not the Secured Notes have been paid in full prior to such termination, upon the occurrence of (i) certain events of bankruptcy, insolvency, conservatorship, receivership or reorganization of the Issuer or the Initial CDS Asset Counterparty, (ii) a failure on the part of the Issuer or the Initial CDS Asset Counterparty to make any payment under the Initial CDS Agreement within the applicable grace period or (iii) a change in law making it illegal for either the Issuer or the Initial CDS Asset Counterparty to be a party to, or perform an obligation under, the Initial CDS Agreement. "Termination Events" under (and as defined in) the Initial CDS Agreement will include (i) certain tax events or a change in tax law affecting the Issuer or the Initial CDS Asset Counterparty; (ii) certain ratings events; (iii) any Redemption; (iv) an Event of Default under the Indenture followed by the liquidation of the Collateral; and (v) certain other specified events. In the event of a termination of the Initial CDS Agreement for reasons other than the Issuer being the defaulting party or affected party, the Issuer will use reasonable efforts to enter into a substitute CDS Asset on similar terms to the extent that the Issuer is able to enter into such an agreement, subject to the receipt of Rating Agency Confirmation from each Rating Agency, but there is no guarantee that it will be able to do so. Amounts payable upon any early termination of the Initial CDS Agreement will be based substantially upon general replacement transaction valuation methodology. If any CDS Asset/SCA Issuer Termination Payment is payable by the Issuer to the Initial CDS Asset Counterparty in connection with the occurrence of any such early termination or CDS Reference Obligation Notional Amount reduction, such amount, together with interest on such amount for the period from and including the date of termination to but excluding the date of payment, shall be payable on the next succeeding Payment Date to the extent funds are available for such purpose in accordance with the Priority of Payments (and any portion of such CDS Asset/SCA Issuer Termination Payment not paid on such Payment Date shall be payable on the first Payment Date on which such amount may be paid in accordance with the Priority of Payments). Collection Account On or prior to the Closing Date, the Trustee will establish trust accounts in the United States, which may be subaccounts of the Custodial Account, and which will be designated as the Interest Collection Account and the Principal Collection Account (collectively, the "Collection Account") in the name of the Trustee for the benefit and on behalf of the Secured Parties and over which the Trustee will have exclusive control and the sole right of withdrawal and into which the Trustee will from time to time make deposits in accordance with the Indenture.

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All distributions on the Eligible Collateral Debt Securities and any proceeds received from the disposition of any Eligible Collateral Debt Securities will be remitted to the Collection Account 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 Eligible Collateral Debt Securities under the limited circumstances and pursuant to the requirements described herein and set forth in the Indenture; provided that on the Closing Date funds may be withdrawn from the Collection Account and deposited in the Expense Reserve Account to pay any closing expenses of the Co-Issuers including the closing expenses, if any, of the Manager, the Trustee, the Placement Agent and the Initial Purchaser pursuant to the applicable Transaction Documents. For the avoidance of doubt, the Issuer (or the Manager on behalf of the Issuer) will notify the Trustee prior to the end of the relevant Period End Date of any amounts to be paid to the Collection Account pursuant to clause (T) of the Priority of PaymentsInterest Collections and clause (H) of the Priority of PaymentsPrincipal Collections. Amounts received in the Collection Account during a Period will be invested in Eligible Investments, Eligible Investments in the Interest Collection Account will be required to have stated maturities no later than the Business Day prior to the Payment Date next succeeding the acquisition thereof. All proceeds from the Eligible Investments will be retained in the Collection Account and used as permitted under the Indenture. See "Security for the Secured ObligationsSale of Eligible Collateral Debt Securities and CDS Assets" and "Summary of Terms Priority of Payments". Expense Reserve Account On or prior to the Closing Date, the Trustee will establish a single, segregated trust account in the United States that will be designated as the expense reserve account (the "Expense Reserve Account") in the name of the Trustee for the benefit and on behalf of the Secured Parties and over which the Trustee will have exclusive control and the sole right of withdrawal. On each Payment Date, pursuant to the Priority of Payments, the Trustee will deposit in the Expense Reserve Account the amount needed to bring the amount on deposit therein to the amount specified in clause (C) of the Priority of PaymentsInterest Collections. Amounts received in the Expense Reserve Account during a Period, and amounts received in prior Periods and retained in the Expense Reserve Account, will be invested by the Trustee as so directed by the Issuer (or the Manager on behalf of the Issuer) in Eligible Investments, unless otherwise permitted under the Indenture. The Trustee may, from time to time and at any time, at the direction of the Manager, on any date that is not a Payment Date, withdraw amounts from the Expense Reserve Account to pay accrued and unpaid Administrative Expenses of the Co-Issuers, including those of the Manager and the Trustee. All amounts remaining on deposit in the Expense Reserve Account at the time when substantially all of the Issuer's assets have been sold or otherwise disposed of will be deposited by the Trustee into the Collection Account as Interest Collections. See "Summary of TermsPriority of Payments". Hedge Collateral Account If the Issuer enters into any Hedge Agreements, the Trustee will establish a segregated trust account in the United States that will be designated as the hedge collateral account (the "Hedge Collateral Account") in the name of the Trustee. The Trustee will deposit all amounts received as Hedge Collateral into the Hedge Collateral Account. Separate subaccounts of the Hedge Collateral Account will be established for each Hedge Counterparty. Amounts required to be deposited in the Hedge Collateral Account as a result of a failure to meet the ratings requirements will be deposited to a separate sub-account of the Hedge Collateral Account. Amounts deposited in the Hedge Collateral Account will be held by the Trustee for the benefit of the Secured Parties subject to the rights of the Hedge Counterparties under the Hedge Agreements. Investment earnings on amounts on deposit in the Hedge Collateral Account will be deposited to the Collection Account on the Business Day prior to each Payment Date or released to the applicable Hedge Counterparty as provided in the applicable Hedge Agreement. Hedge Termination Receipts Account If the Issuer enters into any Hedge Agreements, the Trustee will establish a segregated trust account in the United States which will be designated as the hedge termination receipts account (the "Hedge Termination Receipts Account") in the name of the Trustee. In the event of any early termination of a Hedge Agreement, any Hedge
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Termination Receipts not concurrently applied in connection with the Issuer's entry into a replacement Hedge Agreement will be deposited in the Hedge Termination Receipts Account for the benefit of the Secured Parties. Hedge Replacement Account If the Issuer enters into any Hedge Agreements, the Trustee will establish a segregated trust account in the United States which will be designated as the hedge replacement account (the "Hedge Replacement Account") in the name of the Trustee. Any Hedge Replacement Proceeds received from a replacement counterparty will be deposited in the Hedge Replacement Account for the benefit of the related Hedge Counterparty under the terminated Hedge Agreement. Cashflow Swap Collateral Account On or prior to the Closing Date, the Trustee will establish a segregated trust account in the United States which will be designated as the cashflow swap collateral account (the "Cashflow Swap Collateral Account") in the name of the Trustee. The Trustee will deposit all amounts received as collateral from the Cashflow Swap Counterparty into the Cashflow Swap Collateral Account. Amounts deposited in the Cashflow Swap Collateral Account will be held by the Trustee for the benefit of the Secured Parties subject to the rights of the Cashflow Swap Counterparty under the Cashflow Swap Agreement. Investment earnings on amounts on deposit in the Cashflow Swap Collateral Account will be deposited to the Collection Account on the Business Day prior to each Payment Date or released to the Cashflow Swap Counterparty as provided in the Cashflow Swap Agreement. Payment Account On or prior to the Closing Date, the Trustee will establish a single, segregated trust account in the United States which will be designated as the payment account (the "Payment Account") in the name of the Trustee for the benefit and on behalf of the Secured Parties and over which the Trustee will have exclusive control and the sole right of withdrawal. On the Business Day prior to each Payment Date, the Trustee will deposit into the Payment Account, any amounts then held in the Collection Account, but excluding, with respect to any Payment Date other than the Maturity DateFinal, any amounts deposited or paid to the Collection Account after the end of the related Period. See "Summary of TermsPriority of Payments". CDS Asset Collateral Account The Trustee shall, prior to the Closing Date, establish a CDS Asset Collateral Account, to be held in the name of the Trustee, for the benefit of the Secured Parties (subject to the claims of the CDS Asset Counterparties) which shall be designated as the "CDS Asset Collateral Account". Amounts will be transferred from the Capacity Subaccount of the Reserve Account into the CDS Asset Collateral Account at the discretion of the Manager (with the consent of the CDS Collateral Securities Counterparty), subject to the requirements and limitations specified herein and in the Indenture, and will be invested in CDS Collateral Eligible Securities in accordance with the CDS Collateral Agreement. Amounts maintained in the CDS Asset Collateral Account shall not be considered to be assets of the Co-Issuers for purposes of any of the Portfolio Quality Tests or Coverage Tests, but the CDS Assets shall be considered assets of the Issuer for all other purposes. Amounts on deposit in the CDS Asset Collateral Account (and amounts in the Capacity Subaccount of the Reserve Account and the Class A1 Note Funding Subaccount of the Reserve Account) will be used (a) to make CDS Asset Payments directly to the CDS Asset Counterparties in respect of CDS Assets or, (b) in the case of CDS Asset Payments payable on Payment Dates, to make transfers to the Collection Account to make such CDS Asset Payments and other payments in accordance with the Priority of Payments or (c) to purchase Cash Assets. Cash amounts will be made available by terminating (in whole or in part) the CDS Collateral Agreement and liquidating CDS Collateral Eligible Securities pursuant to the CDS Collateral Agreement. Except for the making of CDS Asset Payments to CDS Asset Counterparties, no cash amount will be withdrawn from the CDS Asset Collateral Account if the amount remaining therein, together with the Class A1 Swap Notional Amount and the balance of the Capacity Subaccount of the Reserve Account, would be less than the Net Aggregate Adjusted Notional Amount.

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Until the third anniversary of the Closing Date, the Manager may transfer Sale Proceeds to the CDS Asset Collateral Account in order to provide a CDS Asset Capacity Amount that is sufficient to permit acquisitions of additional CDS Assets. On each applicable Payment Date after the third anniversary of the Closing Date, subject to making any other payments required to be made pursuant to the Priority of Payments after payment of any amounts owing to the Class A1 Swap Counterparty under the Class A1 Swap, Principal Collections will be paid into the Capacity Subaccount of the Reserve Account until the Class A1 Swap Notional Amount has been reduced to zero, and then the CDS Asset Collateral Account. Any such payments into the Capacity Subaccount of the Reserve Account or the CDS Asset Collateral Account pursuant to the previous sentence will reduce the Class A1 Swap Notional Amount to the extent of the amounts deposited. Until the third anniversary of the Closing Date, to the extent that on any Business Day any reduction in the CDS Reference Obligation Notional Amounts under one or more CDS Assets, after giving effect to any required payments in respect of CDS Assets, shall have resulted in a positive CDS Asset Capacity Amount, the Manager may, to the extent of such positive amount: (A) cause the liquidation of CDS Collateral Eligible Securities at the direction of the CDS Collateral Securities Counterparty pursuant to the terms under the CDS Collateral Agreement and transfer the proceeds thereof to the Collection Account to be treated as Principal Collections for application to the purchase of one or more Cash Assets selected by the Manager; provided that such liquidations and transfers shall be limited to not more than U.S.$100,000,000 on a cumulative basis over such three-year period; (B) acquire one or more additional CDS Assets having an aggregate notional amount up to such positive amount of CDS Asset Capacity Amount; or (C) cause the liquidation of CDS Collateral Eligible Securities pursuant to the terms under the CDS Collateral Agreement and transfer the proceeds thereof to the Collection Account for the purpose of making payments in accordance with the Priority of Payments. After the third anniversary of the Closing Date, to the extent that on the last day of the Period preceding any Payment Date there has occurred any reduction in the CDS Reference Obligation Notional Amount under CDS Assets that (after giving effect to any required payments in respect of CDS Assets) increases the CDS Asset Capacity Amount to an amount greater than zero, the Issuer or the Manager on behalf of the Issuer will instruct the Trustee to liquidate Reserve Investments in the Reserve Account and cause the liquidation of CDS Collateral Eligible Securities pursuant to the terms under the CDS Collateral Agreement and transfer proceeds thereof, in an aggregate amount equal to the amount by which the CDS Asset Capacity Amount is greater than zero, to the Collection Account as Principal Collections for application in accordance with the Priority of Payments on the next succeeding Payment Date. CDS Asset Issuer Account If the terms of any CDS Asset require the CDS Asset Counterparty to secure its obligations with respect to such CDS Asset, the Trustee will establish a segregated trust account in the United States which will be designated as the CDS Asset Issuer Account ("CDS Asset Issuer Account") in the name of the Trustee for the benefit and on behalf of the Secured Parties. The Trustee will deposit into any such CDS Asset Issuer Account all amounts that are received from the applicable CDS Asset Counterparty to secure the obligations of such CDS Asset Counterparty in accordance with the terms of such CDS Asset. Amounts contained in any CDS Asset Issuer Account will be withdrawn by the Trustee and applied to the payment of any amount due and owing by the related CDS Asset Counterparty to the Issuer in accordance with the Indenture. Reserve Account The Trustee will establish the Reserve Account for the benefit of the Secured Parties. Simultaneously with the establishment of the Reserve Account, the Trustee shall establish the following three segregated subaccounts of the Reserve Account: "Class A1 Note Funding Subaccount", "Capacity Subaccount" and "Posted Collateral Subaccount". The Trustee will deposit (i) the proceeds of all Class A1 Note Fundings (other than a Class A1 Mandatory Note Funding and any Class A1 Note Funding following the occurrence of a Class A1 Mandatory Note Funding) into the Class A1 Note Funding Subaccount, (ii) transfers made to the Reserve Account pursuant to the
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Priority of Payments into the Capacity Subaccount and (iii) any and all collateral that the CDS Collateral Securities Counterparty is required to post upon the occurrence of a CDS Collateral Ratings Event into the Posted Collateral Subaccount. The Manager may, at its discretion with prior notice to the Trustee and with the prior consent of the CDS Collateral Securities Counterparty, at any time transfer amounts on deposit in the Capacity Subaccount of the Reserve Account to the CDS Asset Collateral Account. Covered Short CDS Asset Collateral Account The Trustee shall, prior to the Closing Date, cause to be established the Covered Short CDS Asset Collateral Account, which shall be held in the name of the Trustee in trust for the benefit of the Secured Parties. Any and all funds at any time on deposit in, or otherwise standing to the credit of, the Covered Short CDS Asset Collateral Account shall be held in trust by the Trustee for the benefit of the Secured Parties. The Covered Short CDS Asset Collateral Account shall have no amounts on deposit on the Closing Date. On or prior to the Maturity DateStated, the Manager on behalf of the Issuer may direct the Trustee to, and upon such direction the Trustee shall, apply funds in the Covered Short CDS Asset Collateral Account to (i) enter into additional Covered Short CDS Assets (and, pending such investment, such funds will be invested in Eligible Investments with stated maturities no later than the Business Day immediately preceding the next Payment Date), (ii) make initial up-front payments with respect to such Covered Short CDS Assets, (iii) at the discretion of the Manager, make periodic premium payments with respect to the Covered Short CDS Assets and (iv) pay any reimbursement amounts owed by the Issuer in respect of any Covered Short CDS Asset. No amounts held in the Covered Short CDS Asset Collateral Account shall be transferred to the Collection Account, unless directed by the Manager. Thereafter, the Trustee shall transfer to the Covered Short CDS Asset Collateral Account any proceeds resulting from the unwinding of a Covered Short CDS Asset or other payments received upon a Credit Event unless the Manager directs the Trustee to transfer such proceeds to the Collection Account as Interest Collections or Principal Collections to be applied in accordance with the Priority of Payments. Class A1 Mandatory Note Funding Reserve Account If the Class A1 Swap Counterparty is required to fund a Class A1 Mandatory Note Funding, the Trustee shall cause to be established an account (the "Class A1 Mandatory Note Funding Reserve Account"). The Trustee shall deposit into the Class A1 Mandatory Note Funding Reserve Account all amounts that are received from or on behalf of the Class A1 Swap Counterparty to secure the obligations of the Class A1 Swap Counterparty in accordance with the terms of the Class A1 Swap. Thereafter, upon any future Class A1 Note Fundings, the Trustee, at the direction of the Manager, shall withdraw the amount of such Class A1 Note Funding from the Class A1 Mandatory Note Funding Reserve Account. All payments of principal with respect to such Class A1 Note Funding will be deposited into the Class A1 Mandatory Note Funding Reserve Account. The Trustee will invest any amounts on deposit in each Class A1 Mandatory Note Funding Reserve Account in Class A1 Eligible Investments. The Class A1 Swap Counterparty may from time to time direct such investment in Class A1 Eligible Investments. Investment earnings received during each Period in respect of Class A1 Eligible Investments in the Class A1 Mandatory Note Funding Reserve Account will be paid directly to the Class A1 Swap Counterparty on the related Payment Date (unless applied to fund a shortfall in the Class A1 Swap Counterparty's obligation to fund a Class A1 Note Funding). Amounts on deposit in the Class A1 Mandatory Note Funding Reserve Account shall be returned to the Class A1 Swap Counterparty upon receipt by the Trustee of instruction from the Issuer (or the Manager on behalf of the Issuer) stating that the conditions precedent for such return have been met in accordance with the Class A1 Swap. Hedge Agreements General The Issuer will be authorized to enter into Hedge Agreements with such Hedge Counterparties as it may elect in its sole discretion, in each case subject to Rating Agency Confirmation, for the purpose of managing the
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Issuer's interest rate and other risks in connection with the Issuer's issuance of, and payments on, the Notes and the Issuer's ownership and disposition of the Eligible Collateral Debt Securities. The Issuer does not intend to enter into any Hedge Agreements on or prior to the Closing Date. Subject to certain conditions specified in the Indenture, the Issuer will be permitted to increase the notional amount of a Hedge Agreement, sell all or a portion of any Hedge Agreement, terminate such Hedge Agreement or reduce the notional amounts of any Hedge Agreement; provided that Rating Agency Confirmation has been received. Depending on prevailing interest rates at the time of any such termination or notional amount reduction, the Issuer could be required to make substantial payments to Hedge Counterparties. The amounts payable to the Hedge Counterparties will be limited to the amounts payable under the Priority of Payments and the claims of each Hedge Counterparty (if there is more than one) will rank equally. The Hedge Agreements will provide that the Hedge Counterparty must post collateral as specified in and in accordance with the Hedge Agreements. Termination Events Each Hedge Agreement will be terminable by its terms, whether or not all the Notes have been paid in full prior to such termination, upon the earliest to occur of (i) an S&P First Rating Trigger Event, (ii) a Moody's First Rating Trigger Event, (iii) a Second Rating Trigger Event and (iv) any additional termination events specified in the Hedge Agreement. Each Hedge Agreement will provide that upon occurrence of a termination event the Issuer and the related Hedge Counterparty will settle their payment obligations in accordance with the Hedge Agreement and a termination payment may be payable by the Issuer to the related Hedge Counterparty or by the related Hedge Counterparty to the Issuer. If a Moody's Second Trigger Ratings Event or an S&P Required Ratings Downgrade Event occurs, then the Hedge Counterparty will be required, as soon as reasonably practicable and so long as such event is in effect, at its own expense, use commercially reasonable efforts to attempt to, procure (A) a transfer of such Hedge Counterparty's rights, liabilities, duties and obligations under the related Hedge Agreement in accordance with the related Hedge Agreement or, (B) in the case of a Moody's Second Trigger Ratings Event, an Eligible Guarantee from an Eligible Guarantor. The Manager and the Rating Agencies will be notified by the Issuer of any amendments, assignments, modifications to or termination of the Hedge Agreements (including any reduction of the notional amount thereof) and the Issuer will not permit any such amendment, assignment, modification of termination unless Rating Agency Confirmation shall have been received with respect thereto (subject to certain exceptions). In the event that any Hedge Counterparty defaults in the payment of its obligations to the Issuer under a Hedge Agreement on any date when such amount was due and payable, the Trustee will (upon notice from the Issuer or the Manager on the Issuer's behalf) make a demand on such Hedge Counterparty, or any guarantor, if applicable, demanding payment by 12:30 p.m., New York time, on such date. The Trustee will give notice to the Manager upon the continuing failure by any Hedge Counterparty to perform its obligations during the same Business Day following a demand made by the Trustee on such Hedge Counterparty, and will take such action with respect to such continuing failure directed to be taken by the Trustee. If such failure will be continuing two (2) Business Days after demand has been made on such Hedge Counterparty by the Trustee, the Trustee will deliver notice of such failure to pay to the Holders of the Notes. Cashflow Swap Agreement The Issuer will enter into an agreement with IXIS Financial Products Inc. (such counterparty and any substitute therefor, the "Cashflow Swap Counterparty") on or prior to the Closing Date (such agreement, together with related schedules, confirmations and credit support documents, and any replacement therefor, the "Cashflow Swap Agreement"). IXIS Financial Products Inc. satisfies the Cashflow Swap Counterparty Ratings Requirement described below. IXIS Capital Markets North America Inc. will provide without charge a copy of the most recent publicly available annual report of IXIS Capital Markets North America Inc., IXIS Corporate & Investment Bank and NATIXIS. Written requests should be directed to David L. Askren, Corporate Secretary, IXIS Capital Markets North America Inc., 9 West 57th Street, New York, New York 10019; telephone (212) 891 6152.
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The Cashflow Swap Agreement will be entered into for purposes of managing the Issuer's risk exposure from possible shortfalls in payments of interest on the Class S Notes and the Class A Notes relating to the presence of PIK Bonds in the Collateral. The amounts payable to the Cashflow Swap Counterparty will be limited to the amounts payable under the Priority of Payments. The Cashflow Swap Agreement shall remain in effect only for so long as any Class S Notes or Class A Notes are Outstanding. On the Closing Date (or any date on which the Issuer enters into a replacement Cashflow Swap Agreement), (i) the Cashflow Swap Counterparty entering into such Cashflow Swap Agreement shall satisfy the Cashflow Swap Counterparty Ratings Requirement and (ii) the Issuer shall assign such Cashflow Swap Agreement to the Trustee pursuant to the Indenture. The Cashflow Swap Agreement will provide that (i) the Issuer will pay a fee to the Cashflow Swap Counterparty on each Payment Date until the Class S Notes and the Class A Notes and any accrued interest thereon are paid in full or the principal amounts thereof has been reduced to zero, and (ii) so long as no Cashflow Swap Suspension Event has occurred and is continuing, the Cashflow Swap Counterparty will make payments to the Issuer in the amount equal to the Cashflow SwapShortfall Amount for such Payment Date. The Cashflow Swap Agreement will further provide that any Cashflow SwapShortfall Amounts paid under the Cashflow Swap Agreement by the Cashflow Swap Counterparty to the Issuer will accrue interest at the Cashflow SwapInterest Rate and be repaid to the Cashflow Swap Counterparty in accordance with the Priority of Payments. The Cashflow Swap Agreement will also provide that the Trustee will be responsible for notifying the Cashflow Swap Counterparty (which notice must be delivered at least two (2) Business Days prior to the applicable succeeding Payment Date) of the Cashflow SwapShortfall Amount due on the immediately succeeding Payment Date. If at any time, provided that no Cashflow SwapSubstitution Event has occurred, (i) the short-term rating of the Cashflow Swap Ratings Determining Party from Moody's is lower than "P-1" or is "P-1" and has been placed on and is remaining on credit watch with negative implications by Moody's or the long-term rating of the Cashflow Swap Ratings Determining Party from Moody's is withdrawn suspended or downgraded below "A1" or is "A1" and has been placed on and is remaining on credit watch with negative implications by Moody's, (ii) if no short-term rating is available from Moody's, the long-term rating of the Cashflow Swap Ratings Determining Party from Moody's is withdrawn, suspended or downgraded below "Aa3" or is "Aa3" and has been placed on and is remaining on credit watch with negative implications by Moody's or (iii) the short-term rating of the Cashflow Swap Ratings Determining Party from S&P is lower than "A-1" or, if the Cashflow Swap Ratings Determining Party does not have a short-term rating from S&P, the long-term rating of such Cashflow Swap Ratings Determining Party from S&P is lower than "AA-" (each, a "Cashflow SwapCollateralization Event"), the Cashflow Swap Counterparty will, within thirty (30) days of the occurrence of such Cashflow SwapCollateralization Event (at no cost to the Issuer), either (i) enter into the Credit Support Annex in relation to which Rating Agency Confirmation from S&P has been received, furnish a legal opinion to the Rating Agencies as to the enforceability of such Credit Support Annex in the case of bankruptcy of the Cashflow Swap Counterparty and, pursuant to such Credit Support Annex, deliver to the Trustee collateral of such types, in such amounts and at such times as are sufficient to maintain the then current rating of each Class of Notes by each Rating Agency, (ii) find a replacement Cashflow Swap Counterparty as permitted under the Cashflow Swap Agreement (at no cost to the Issuer and with no adverse tax consequences to the Issuer) that satisfies the Cashflow Swap Counterparty Ratings Requirement and in relation to which Rating Agency Confirmation has been received, (iii) obtain a guarantor for the obligations of the Cashflow Swap Counterparty under the Cashflow Swap Agreement with a short term issuer credit rating from S&P of at least "A-1+" or if a short term credit rating from S&P is not available a long-term issuer credit rating from S&P of at least "AA-" and with a long-term unsecured debt rating from Moody's of at least "Aa3" and a short-term unsecured debt rating from Moody's of at least "P-1" or (iv) take such other steps as each Rating Agency that has downgraded the Cashflow Swap Counterparty may require (as confirmed to the Manager in writing) to ensure that the then-current ratings on the Secured Notes by either Rating Agency is not reduced or withdrawn. If the Cashflow Swap Counterparty has not, within thirty (30) days of the occurrence of such Cashflow SwapCollateralization Event, taken any of the actions required above, the Issuer will have the right to terminate the Cashflow Swap Agreement with all costs of such termination to be paid by the Cashflow Swap Counterparty. Concurrently, a Cashflow SwapSubstitution Event will be deemed to have occurred and the Cashflow Swap Counterparty will be required to take the remedial action specified below. In the event that (i) so long as any Secured Notes are Outstanding and rated by S&P, the long-term rating of the Cashflow Swap Ratings Determining Party from S&P is withdrawn, suspended or downgraded below "BBB-"
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or, if no long-term rating is available, the short-term rating of the Cashflow Swap Ratings Determining Party from S&P is withdrawn, suspended or downgraded below "A-3", (ii) the short-term rating of the Cashflow Swap Ratings Determining Party from Moody's is "P-3" or lower or the long-term rating of the Cashflow Swap Ratings Determining Party from Moody's is withdrawn, suspended or downgraded to "A3" or lower or, if the related Cashflow Swap Ratings Determining Party does not have a short-term rating, the long-term rating of the related Cashflow Swap Ratings Determining Party from Moody's is withdrawn, suspended or falls to "A2" or lower, or (iii) the failure by the Cashflow Swap Counterparty to take any of the actions specified in the paragraph above within thirty (30) days of the occurrence of a Cashflow SwapCollateralization Event (each, a "Cashflow Swap Substitution Event"), then the Cashflow Swap Counterparty will, (x) in the case of a Cashflow SwapSubstitution Event referred to in sub-clause (ii) of the definition thereof, within thirty (30) days following such Cashflow Swap Substitution Event or (y) in the case of a Cashflow SwapSubstitution Event referred to in sub-clause (i) of the definition thereof, within ten (10) days following such Cashflow SwapSubstitution Event, assign its rights and obligations under the Cashflow Swap Agreement at no cost to the Issuer to a party (the "Cashflow SwapSubstitute Party") selected by the Cashflow Swap Counterparty that (i) satisfies the Cashflow Swap Counterparty Ratings Requirement, (ii) with respect to which a Rating Agency Confirmation has been obtained and (iii) that assumes all of the Cashflow Swap Counterparty's obligations under the Cashflow Swap Agreement pursuant to an agreement satisfactory to the Issuer (at no cost to the Issuer and with no adverse tax consequences to the Issuer) and in relation to which Rating Agency Confirmation from S&P has been received. If the Cashflow Swap Counterparty fails to assign its rights and obligations under the Cashflow Swap Agreement to a Cashflow SwapSubstitute Party within thirty (30) days following such Cashflow SwapSubstitution Event (in the case of a Cashflow SwapSubstitution Event referred to in sub-clause (ii) of the definition thereof) or within ten (10) days following such Cashflow SwapSubstitution Event (in the case of a Cashflow SwapSubstitution Event referred to in sub-clause (i) of the definition thereof above), then (a) the Cashflow Swap Counterparty will, while it continues in good faith to search for an eligible Cashflow SwapSubstitute Party, post and maintain, or continue to maintain, as the case may be, collateral in accordance with the Credit Support Annex and (b) the Issuer will have the right to terminate the Cashflow Swap Agreement with all costs of such termination to be paid by the Cashflow Swap Counterparty. The Trustee will deposit all collateral received from such Cashflow Swap Counterparty under the Cashflow Swap Agreement in such Cashflow Swap Collateral Account. Any and all funds at any time on deposit in, or otherwise standing to the credit of, each Cashflow Swap Collateral Account will be held in trust by the Trustee for the benefit of the Secured Parties. The only permitted withdrawal from or application of funds on deposit in, or otherwise standing to the credit of, each Cashflow Swap Collateral Account will be (i) for application to obligations of the Cashflow Swap Counterparty to the Issuer under the Cashflow Swap Agreement that are not paid when due (whether when scheduled or upon early termination) or (ii) to return collateral to the Cashflow Swap Counterparty when and as required by the Cashflow Swap Agreement in each case upon the direction of the Issuer pursuant to an order of the Issuer. No assets credited to any Cashflow Swap Collateral Account will be considered an asset of the Issuer for purposes of any of the Coverage Tests unless and until the Issuer or the Trustee on its behalf is entitled to foreclose on such assets in accordance with the terms of the Cashflow Swap Agreement. Upon its receipt of notice that the Cashflow Swap Counterparty has defaulted in the payment when due of its obligations to the Issuer under any Cashflow Swap Agreement (or, if earlier, when the Trustee becomes aware of such default) the Trustee will make a demand on such Cashflow Swap Counterparty, or any guarantor, if applicable, demanding payment forthwith. The Trustee will give notice to the Secured Parties and each Rating Agency upon the continuance of the failure by such Cashflow Swap Counterparty to perform its obligations for two Business Days following a demand made by the Trustee on such Cashflow Swap Counterparty. If at any time the Cashflow Swap Agreement becomes subject to early termination due to the occurrence of an "event of default" or a "termination event" (each as defined in the Cashflow Swap Agreement) solely attributable to the Cashflow Swap Counterparty or other comparable event, the Issuer and the Trustee will take such actions (following the expiration of any applicable grace period) to enforce the rights of the Issuer and the Trustee thereunder as may be permitted by the terms of such Cashflow Swap Agreement and consistent with the terms of the Indenture, and will apply any proceeds of any such actions (including the proceeds of the liquidation of any collateral pledged by the Cashflow Swap Counterparty) to enter into a replacement Cashflow Swap Agreement on substantially identical terms or on such other terms as to which each Rating Agency will have provided a Rating Agency Confirmation with a Cashflow SwapSubstitute Party with respect to which the Cashflow Swap Counterparty Ratings Requirement is satisfied and each Rating Agency will have provided a Rating Agency Confirmation. If the Issuer is the sole "non-affected party" or the sole "non-defaulting party" with respect to such
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"event of default" or "termination event", the Issuer will (with the assistance of the Manager) in a commercially reasonable manner determine its loss as a result of an early termination of the Cashflow Swap Agreement caused by the Cashflow Swap Counterparty which will include the cost of entering into a replacement Cashflow Swap Agreement with a prospective counterparty independent from the Issuer, the Manager and each other that satisfies the Cashflow Swap Counterparty Ratings Requirement and with respect to which a Rating Agency Confirmation will have been obtained and enter into a replacement Cashflow Swap Agreement with such prospective counterparty. The Issuer will notify each Rating Agency if at any time the Cashflow Swap Counterparty is required to post collateral or assign its rights and obligations in and under the Cashflow Swap Agreement. The Cashflow Swap Agreement may not be amended or modified at any time other than to effect the appointment of a substitute Cashflow Swap Counterparty or to effect a modification which is of a formal, minor or technical nature or is to correct a manifest error and which, in the opinion of the Trustee (based upon an opinion of counsel) would not have a material adverse effect on the interests of Holders of the Secured Notes or of Holders of any Class or Classes of Secured Notes or the Holders of the Income Notes; provided that the Issuer has obtained Rating Agency Confirmation with respect to any such modification. The Trustee will provide the Manager and the Rating Agencies with a copy of any such modification at least ten (10) Business Days prior to effecting such modification. The Issuer will not terminate or amend any Cashflow Swap Agreement without receiving Rating Agency Confirmation from each Rating Agency with respect to such termination or amendment. CDS Collateral Agreement On the Closing Date, the Issuer will enter into the CDS Collateral Agreement with the CDS Collateral Securities Counterparty, pursuant to which the CDS Collateral Securities Counterparty will agree (i) to purchase the CDS Collateral Eligible Securities from the Issuer at par or otherwise to cover any loss and receive any gains on the sale of CDS Collateral Eligible Securities and (ii) to provide a return on the CDS Collateral Required Amount equal to LIBOR. The Issuer will pay to the CDS Collateral Securities Counterparty (i) any gains on the CDS Collateral Eligible Securities in excess of par (in the aggregate) upon the termination of one or more transactions according to the terms of the CDS Collateral Agreement and (ii) any interest from the CDS Collateral Eligible Securities credited to the CDS Asset Collateral Account. Any amounts received by the Issuer pursuant to the CDS Collateral Agreement shall be deposited into the Capacity Subaccount of the Reserve Account. If on any date a CDS Collateral Shortfall occurs, then either of the Issuer or the CDS Collateral Securities Counterparty may propose to the other that the Principal Balance of one or more CDS Collateral Eligible Securities be increased or that all or a portion of one or more CDS Collateral Eligible Securities be replaced by one or more replacement CDS Collateral Eligible Securities, so that after giving effect to such increase or replacement, the aggregate Principal Balance of the CDS Collateral Eligible Securities (other than any Floating Balance Transaction, as that term is defined in the CDS Collateral Agreement) is equal to the CDS Collateral Required Amount as of such date. If no agreement as to such increase or replacement is reached within three Business Days after a CDS Collateral Shortfall has occurred, the CDS Collateral Securities Counterparty shall have the right to designate an early termination date in respect of all or part of one or more CDS Collateral Eligible Securities, for an aggregate Principal Amount at least equal to the CDS Collateral Shortfall. Upon such early termination, no amount shall be due by either party.

If on any Payment Date a CDS Collateral Excess occurs, or if on any date a CDS Collateral Intraperiod Excess occurs, then either of the Issuer or the CDS Collateral Securities Counterparty may propose to the other that the Principal Balance of one or more CDS Collateral Eligible Securities be reduced or that all or a portion of one or more CDS Collateral Eligible Securities be replaced by one or more replacement CDS Collateral Eligible Securities, so that after giving effect to such reduction or replacement, the aggregate Principal Balance of the CDS Collateral Eligible Securities (other than any Floating Balance Transaction, as that term is defined in the CDS Collateral Agreement) is equal to the CDS Collateral Required Amount as of such date. If no agreement as to such reduction or replacement is reached within the period of days set forth in the CDS Collateral Agreement, the CDS Collateral
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Securities Counterparty or the Issuer shall have the right to designate an early termination date in respect of all or part of one or more CDS Collateral Eligible Securities, for an aggregate Principal Amount of the CDS Collateral Excess or the CDS Collateral Intraperiod Excess. If at any time a CDS Collateral Investment Downgrade occurs with respect to any CDS Collateral Eligible Security, then either the Issuer or the CDS Collateral Securities Counterparty may propose to the other that either such CDS Collateral Eligible Security be replaced by a replacement CDS Collateral Eligible Security that has an outstanding Principal Balance equal to the outstanding Principal Balance of the CDS Collateral Eligible Security being replaced, or that the Principal Balance of one or more other CDS Collateral Eligible Securities with respect to which a CDS Collateral Investment Downgrade has not occurred be increased; provided that if there is no agreement as to such a replacement or increase within 30 Business Days following the occurrence of CDS Collateral Investment Downgrade, an early termination date shall occur on the 30th Business Day in respect of such CDS Collateral Eligible Security. In addition to the replacement provisions set forth above, (i) the CDS Collateral Securities Counterparty may terminate any transaction under the CDS Collateral Agreement upon the occurrence of a CDS Collateral Voting Rights Event, a CDS Collateral Credit Enhancement Event or a CDS Collateral Withholding Event (provided that, in the event of a CDS Collateral Withholding Event, (A) such termination would apply only with respect to the notional amount of the applicable CDS Collateral Eligible Security and (B) the Issuer shall not be obligated to pay any breakage costs or make any termination payment that would reduce its receipt of the aggregate par value of the CDS Collateral Eligible Securities subject to the CDS Collateral Agreement plus the LIBOR-based payment thereon) and (ii) at any time and subject to the requirements of the CDS Collateral Agreement, the CDS Collateral Securities Counterparty may, on at least two Business Days' prior written notice to the Issuer, at its election replace one or more CDS Collateral Eligible Securities by proposing one or more replacement CDS Collateral Eligible Securities with an aggregate Principal Balance equal to the CDS Collateral Eligible Securities being replaced. The Issuer may accomplish a CDS Collateral Elective Withdrawal at any time until the third anniversary of the Closing Date by submitting a written request to the CDS Collateral Securities Counterparty not less than five Business Days prior to the CDS Collateral Elective Withdrawal Effective Date; provided that the aggregate amount of CDS Collateral Elective Withdrawal Amounts since the Closing Date shall not exceed U.S.$100,000,000 on a cumulative basis during such three-year period. If the CDS Collateral Elective Withdrawal is approved by the CDS Collateral Securities Counterparty, the Issuer may effect such CDS Collateral Elective Withdrawal by withdrawing the applicable amount from the CDS Asset Collateral Account in accordance with the terms of the CDS Collateral Agreement. The proceeds of each CDS Collateral Elective Withdrawal shall be used in accordance with the requirements set forth in the Indenture. If a CDS Collateral Ratings Event occurs and is continuing, the CDS Collateral Securities Counterparty will be required, within thirty days of the occurrence of such CDS Collateral Ratings Event, take one of the following actions at its own expense and while continuing to perform its obligations under the CDS Collateral Agreement: (i) transfer all of its rights and obligations under the CDS Collateral Agreement and all related transactions to another entity with ratings of its short-term and long-term senior unsecured debt or deposits (or financial strength or counterparty rating) by Moody's and S&P at least equal to the thresholds set forth in the definition of "CDS Collateral Ratings Event" (provided that as of the date of such transfer, neither the Issuer nor any such transferee will be required to withhold or deduct on account of any tax from any payments under the CDS Collateral Agreement in excess of what would have been required to be withheld or deducted in the absence of such transfer); (ii) cause an entity with ratings of its short-term and long-term senior unsecured debt or deposits (or financial strength or counterparty rating) by Moody's and S&P at least equal to the thresholds set forth in the definition of "CDS Collateral Ratings Event" to guarantee or provide an indemnity or letter of credit in respect of the obligations of the CDS Collateral Securities Counterparty pursuant to the CDS Collateral Agreement; or (iii) post collateral from time to time (in the form of cash or U.S. treasury obligations), but no less frequently than biweekly, in an amount equal to the Collateral Requirement (as defined in the CDS Collateral Agreement), pursuant to a collateral agreement to be entered into at the time of any such rating downgrade, in form and substance (other than any terms regarding the determination of the Collateral Requirement) reasonably satisfactory to each of the Rating Agencies (which may be in the form of a Credit Support Annex). The form and substance of (a) any agreement transferring the rights and obligations of the CDS Collateral Securities Counterparty under clause (i) above, (b) any guarantee, indemnity or letter of credit under clause (ii) above and (c) subject to the limitation set forth in clause (iii) above, any collateral agreement under clause (iii) above shall be subject to Rating Agency Confirmation. If the
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CDS Collateral Securities Counterparty has not, within thirty days of the occurrence of such CDS Collateral Ratings Event, taken any of the actions required above, the Issuer shall have the right to terminate the CDS Collateral Agreement with all costs of such termination to be paid by the CDS Collateral Securities Counterparty. If a CDS Collateral Replacement Event occurs, then by the first Business Day following the date that is five Local Business Days (as defined in the CDS Collateral Agreement) after the occurrence of such CDS Collateral Replacement Event, the CDS Collateral Securities Counterparty will be required, at its own expense and while continuing to perform its obligations pursuant to the CDS Collateral Agreement, transfer all of its rights and obligations under the CDS Collateral Agreement and the related transactions to another entity with ratings of its short-term and long-term senior unsecured debt or deposits (or financial strength or counterparty rating) by Moody's and S&P at least equal to the thresholds set forth in the definition of "CDS Collateral Replacement Event"; provided that as of the date of such transfer, neither the Issuer nor such transferee will be required to withhold or deduct on account of any tax from any payments under the CDS Collateral Agreement in excess of what would have been required to be withheld or deducted in the absence of such transfer. The form and substance of any agreement transferring the rights and obligations of the CDS Collateral Agreement shall be subject to Rating Agency Confirmation. If the CDS Collateral Securities Counterparty has not taken any of the actions required above within the timeframe prescribed above, the Issuer shall have the right to terminate the CDS Collateral Agreement with all costs of such termination to be paid by the CDS Collateral Securities Counterparty. The CDS Collateral Agreement will provide that no consent, waiver or amendment to any Transaction Document shall be made without the prior written consent of the CDS Collateral Securities Counterparty if, in the good faith, commercially reasonable determination of the CDS Collateral Securities Counterparty, such consent, waiver or amendment would have a material adverse effect on the interests of the CDS Collateral Securities Counterparty. Notwithstanding the foregoing, any consent, waiver or amendment related to payments to be made under the CDS Collateral Agreement, any consent, waiver or amendment related to the amount, timing and purpose of withdrawals from, or deposits to, the CDS Asset Collateral Account or the Reserve Account and any amendment related to the definition of "CDS Collateral Eligible Securities" shall not be made without the prior written consent of CDS Collateral Securities Counterparty. The Issuer will not cause the liquidation of CDS Collateral Eligible Securities in any manner other than pursuant to terms under the CDS Collateral Agreement. Covered Short CDS Assets At any time that the Issuer would be entitled to terminate all or any portion of any CDS Asset, the Manager may instead cause the Issuer to enter into one or more Covered Short CDS Assets, each of which will provide for physical settlement at the option of the Issuer. The Issuer will only enter into a Covered Short CDS Asset with a Covered Short CDS Asset Counterparty with respect to a notional amount up to the CDS Reference Obligation Notional Amount of the related CDS Asset. The entry into or purchase of a Covered Short CDS Asset by the Issuer will not be subject to satisfaction of the Portfolio Limitations or the Coverage Tests but will be subject to satisfaction of the Covered Short CDS Criteria as of the date on which the Issuer makes a binding commitment to enter into or purchase the Covered Short CDS Asset. In the event that proceeds from the sales of any Covered Short CDS Assets are used to enter into or purchase Covered Short CDS Assets, the Covered Short CDS Asset Additional Criteria shall also be satisfied as of the date of entry into or purchase of such Covered Short CDS Asset. Upon any unwinding of a Covered Short CDS Asset, the related Covered Short Matching Long Position shall satisfy the Investment Criteria. Any Covered Short CDS Asset will be documented under the same form of Master Agreement as the related CDS Asset; provided, in each case, that the Covered Short CDS Asset will have a separate confirmation, which shall be the same form of confirmation as the related CDS Asset referencing the same CDS Reference Obligation or CDS Reference Obligations. The confirmation for the Covered Short CDS Asset will provide that: (i) the premium (which may be different from the premium on the related Covered Short Matching Long Position) payable by the Issuer will be fixed by the Covered Short CDS Asset Counterparty under the Covered Short CDS Asset, and the Issuer must satisfy the Covered Short CDS Asset Premium Test at the time that it enters into the Covered Short CDS Asset; 98

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the effective date of the Covered Short CDS Asset may be different than the effective date of the related CDS Asset; the Covered Short CDS Asset will not affect the obligations of the CDS Asset Counterparty to pay to the Issuer any reimbursement amounts that become payable to the Issuer with respect to any credit protection payments made by the Issuer to the CDS Asset Counterparty under the CDS Asset prior to the effective date of the Covered Short CDS Asset; if the CDS Asset Counterparty declares a credit event under the CDS Asset, the Issuer will declare a credit event under the Covered Short CDS Asset; to the extent that the Covered Short CDS Asset Counterparty is the CDS Asset Counterparty, the Covered Short CDS Asset will be structured so that, other than amounts payable in accordance with clause (iv) above, payments by or to the Issuer as buyer of credit protection under the Covered Short CDS Asset will be netted against payments to or from the Issuer as the seller of credit protection under the related CDS Asset; and if the CDS Asset Counterparty elects physical delivery of the CDS Reference Obligation under the related CDS Asset, the Issuer will be able to elect physical delivery of such CDS Reference Obligation to the Covered Short CDS Asset Counterparty under the Covered Short CDS Asset.

(iv) (v)

(vi)

The Issuer's obligations under a Covered Short CDS Asset may include an up-front payment, periodic premium payments, reimbursement payments and termination payments, including any termination payment payable by the Issuer as a result of assigning or terminating the Covered Short CDS Asset. Any amounts will be payable by the Issuer in accordance with the terms of the Indenture. All amounts paid to the Issuer by a Covered Short CDS Asset Counterparty, including any early termination payment received by the Issuer as a result of assigning or terminating a Covered Short CDS Asset, will be deposited into the Collection Account for application as Interest Collections, except to the extent that the Issuer is required to retain amounts related to the Issuer's reimbursement obligations under the related Covered Short CDS Asset. Subject to the following sentence, the Issuer may terminate any Covered Short CDS Asset at any time; provided that at the time of such termination either (i) the Issuer terminates the related CDS Asset at least to the extent of the notional amount of such Covered Short CDS Asset or (ii) the related CDS Asset meets the requirements of the definition of "Eligible Collateral Debt Securities" as if the Issuer acquired such CDS Asset as of the date of the termination of the Covered Short CDS Asset and the Issuer has a CDS Asset Capacity Amount at least equal to the CDS Reference Obligation Notional Amount of the terminated Covered Short CDS Asset immediately prior to such termination; and provided, further that the Issuer shall not terminate any Covered Short CDS Asset if such termination would result in an Event of Default. The Manager may not direct the addition or removal of any Covered Short CDS Asset unless there are sufficient amounts available to pay any up-front payment or termination payment, as applicable.

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THE MANAGER The information appearing in this section has been prepared by the Manager and has not been independently verified by the Co-Issuers, the Initial Purchaser, the Placement Agent, the Trustee or any other person. Accordingly, the Manager assumes the responsibility for the accuracy, completeness or applicability of such information appearing under such subheading. General Certain advisory and administrative functions with respect to the Collateral will be performed by the Manager under the agreement to be entered into between the Issuer and the Manager (the "Management Agreement"). In accordance with the Portfolio Quality Tests and the Coverage Tests and other requirements set forth in the Indenture, and in accordance with the provisions of the Management Agreement, the Manager will select the portfolio of Eligible Collateral Debt Securities. Pursuant to the terms of the Management Agreement and the Indenture, the Manager will monitor the Eligible Collateral Debt Securities and provide the Issuer with advice with respect to the composition and characteristics of the Eligible Collateral Debt Securities, and with respect to any disposition or tender of Eligible Collateral Debt Securities and the application of the proceeds thereof. The Manager will also advise the Issuer with respect to CDS Assets, entering into Hedge Agreements, the Cashflow Swap Agreement and securities lending agreements, and will instruct the Trustee from time to time with respect to the investment of retained funds in Eligible Investments. The collateral management activities of the Manager on behalf of the Issuer will be subject to certain restrictions contained in the Indenture. Credit Suisse Alternative Capital, Inc. ("ACI"), located at Eleven Madison Avenue, New York, New York 10010, will serve as the Investment Manager. Prior to January 16, 2006, ACI was known as CSFB Alternative Capital, Inc. ACI is registered as an investment adviser pursuant to the U.S. Investment Advisers Act of 1940, as amended, and is an indirect subsidiary of Credit Suisse Group. Credit Suisse Group is a leading global financial services company headquartered in Zurich, whose primary subsidary Credit Suisse, a Swiss bank, was founded in 1856. Credit Suisse Group provides its clients with investment banking, private banking and asset management services worldwide. Credit Suisse Group offers advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Credit Suisse Group's registered shares (CSGN) are listed in Switzerland and, in the form of American Depositary Shares (CS), in New York. ACI is an Affiliate of Credit Suisse Securities (USA) LLC ("CSS"). CSS has entered into a services agreement, dated as of July 1, 2004, with ACI (the "Employee Services Agreement") to make available to ACI certain of CSS's employees to enable ACI to perform its obligations under the Management Agreement. These employees of CSS are members of its Leveraged Investment Group ("LIG"). Certain members of the LIG team are also officers of ACI. ACI currently serves as collateral manager for twenty-four collateralized debt obligation vehicles (the "CDO Vehicles"). Twenty of the CDO Vehicles invest in high yield loans and bonds and the remaining four CDO Vehicles invest in securities issued by other collateralized debt obligation vehicles and in asset backed securities. The initial aggregate capitalization of these CDO Vehicles at the time of issuance was in excess of $16 billion. Each of the CDO Vehicles is managed by the LIG team for ACI under the Employee Services Agreement. Three additional collateralized debt obligation vehicles are managed by LIG for Credit Suisse International, the manager for those vehicles. In addition to the CDO Vehicles, LIG also acts as advisor or sub-advisor to approximately ten separate accounts that invest primarily in various mixtures of leveraged loans and high yield bonds. ACI and its affiliates currently advise and may in the future sponsor or advise other investment vehicles or portfolios with investment objectives, policies and restrictions similar or identical to those of the Issuer. Various potential and actual conflicts of interest may exist from the overall investment activities of the Manager, its officers and its affiliates and their respective employees investing for their own accounts or for the accounts of others. See "Risk FactorsPotential Conflicts of Interest Involving the Manager".

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Investment Approach and Analysis The Manager's objective in investing in Eligible Collateral Debt Securities on behalf of the Issuer is to minimize the possibility of principal loss while enhancing return through limited portfolio management, subject to the limitations in the Indenture. The Manager's selection of Eligible Collateral Debt Securities is based primarily on structural and credit analysis as well as technical factors which may influence trading levels and pricing. The Manager will invest in assets that it believes are appropriately priced, properly structured and able to be adequately serviced. The Manager believes its relationships with leading investment and commercial banks as well as other financial intermediaries allow it to review a number of potential investment opportunities from which to select Eligible Collateral Debt Securities. In evaluating the worthiness of potential investments, the Manager focuses on, among other things, the transaction structure, the underlying collateral, and the capabilities of the collateral manager and/or servicer. Personnel Set forth below is information regarding certain persons who currently hold positions within LIG and perform services for the Manager under the Employee Services Agreement, although such persons may not necessarily continue to hold such positions or be involved in the performance of asset management services for the Issuer during the entire term of the Management Agreement. Additional personnel may be retained by the Manager or CSS and made available to the Manager without notice to the Issuer or the holders of the Notes. In the following biographies, "CS" refers to Credit Suisse Group, its affiliates and their predecessors. Messrs. Popp, Marshak, Lerner, Flannery and Milovich and Ms. Karn joined CS as a group in 2000. Unless otherwise specified, members of LIG are resident in New York (members of LIG not resident in New York are not subject to the Employee Services Agreement). John G. Popp Managing Director Head of LIG Mr. Popp is Head of the Leveraged Investments Group, with primary responsibility for directing the investment decision and monitoring processes and managing/overseeing LIG's global investment strategy. Mr. Popp chairs the LIG ABS Credit Committee. Prior to joining LIG, Mr. Popp was a founding partner and head of asset management of First Dominion Capital, LLC, overseeing the management of $2.5 billion in CDO Vehicles. From 1992 through 1997, Mr. Popp was a Managing Director of Indosuez Capital and also served as President of Indosuez Capital Asset Advisors, Inc., and President of 1211 Investors, Inc. While at Indosuez, Mr. Popp was responsible for building that firm's asset management business, including the development of three CDO Vehicles aggregating $1.3 billion. Prior thereto, Mr. Popp was a Senior Vice President in the Corporate Finance Department of Kidder Peabody & Co., Inc., which he joined in 1989. Mr. Popp had previously been a Vice President in the Mergers and Acquisitions Department of Drexel Burnham Lambert. Mr. Popp is a council member of The Brookings Institution and a member of The Juilliard School Council. He holds a B.A. from Pomona College and a M.B.A. from the Wharton Graduate Division of the University of Pennsylvania. Andrew H. Marshak Managing Director Mr. Marshak has global responsibility for overseeing LIG's portfolio management and trading. Mr. Marshak is a member of the LIG ABS Credit Committee. Prior to joining LIG, Mr. Marshak was a Managing Director and a founding partner of First Dominion Capital, LLC, which he joined in 1997 from Indosuez Capital, where he served as a Vice President. Prior to joining Indosuez Capital in 1992, Mr. Marshak was an Analyst in the Investment Banking Department of Donaldson, Lufkin & Jenrette. He holds a B.S., Summa Cum Laude, from the Wharton School of The University of Pennsylvania.

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David H. Lerner Managing Director Mr. Lerner is a portfolio manager and trader for LIG. Prior to joining LIG, Mr. Lerner served as Senior Vice President of First Dominion Capital, LLC, which he joined in 1998 from The Mitsubishi Trust and Banking Corporation where he was a Vice President in the Leveraged Finance Group. Prior thereto, Mr. Lerner was in the Corporate Finance Group at Banque Franaise where he also served as Vice President. Mr. Lerner began his career as an Associate at The Chase Manhattan Bank, and holds a B.B.A. from the George Washington University. Samir Bhatt Director Mr. Bhatt joined LIG in 2004 and is a member of the LIG ABS Credit Committee. Mr. Bhatt is lead ABS credit analyst and currently covers CDOs, RMBS and ABS. Prior to joining LIG, Mr. Bhatt worked in the structured finance markets for seven years, the first five in the Structured Products Research group at Credit Suisse First Boston and the previous two as an ABS research analyst and structurer at JP Morgan Chase. Mr. Bhatt holds a B.S. in Computer Science from Cornell University. Glenn Clarke Director Mr. Clarke joined LIG in 2005 and is resident in London. Mr. Clarke is the European portfolio manager and trader for LIG. Prior to joining LIG, Mr. Clarke was an Associate Director with AIB Capital Markets European Leveraged Finance team, which he joined in 2000. At AIB, he was responsible for sourcing and executing leveraged transactions for both the Bank's balance sheet and CDOs. Mr. Clarke began his career as an Assistant Manager at the Commonwealth Bank of Australia in 1997, and holds a B.Comm from the Murdoch University, Western Australia. Thomas J. Flannery Director Mr. Flannery is a member of the LIG Credit Committee and is currently the high yield bond trader and a portfolio manager for LIG. Prior to joining LIG, Mr. Flannery served as an Associate at First Dominion Capital, LLC. Mr. Flannery is a member of the LIG ABS Credit Committee. Prior to that Mr. Flannery worked at Houlihan Lokey Howard & Zukin, Inc., as an analyst in the Financial Restructuring Group, working on a variety of debtor and creditor representation assignments. Mr. Flannery holds a B.S. from Georgetown University. Linda R. Karn Director Ms. Karn is a member of the LIG European Credit Committee and currently covers the media, telecommunications and publishing sectors. Prior to joining LIG as a credit analyst, Ms. Karn served as a Vice President of First Dominion Capital, LLC, which she joined in 1998 from TD Securities (USA) Inc. where she served as a Vice President in the Media and Telecommunications Institutional Equity Research Group. Prior thereto, Ms. Karn was an Analyst in the High Yield Research Group at NationsBanc Capital Markets, Inc. Ms. Karn currently covers the media, telecommunications and publishing sector. Ms. Karn holds a B.S. from Babson College. James M. Potesky Director Mr. Potesky joined LIG in 2001 as a credit analyst from the Global High Yield Research group at Morgan Stanley where he served as a Vice President and senior chemical industry analyst. From 1998 to 2000, he was a Vice President and chemical industry analyst for the high yield department of Schroder & Company. From 1990 to 1998, Mr. Potesky was a Director and senior credit analyst at Standard & Poor's Ratings Group, a Division of the McGraw-Hill Companies. He began his career as a corporate loan officer at Morgan Guaranty Trust Company in the early 1980s. Mr. Potesky currently covers the diversified industrial and chemical industries. Mr. Potesky holds a B.A. in Political Science from Washington University.
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Richard Quin Director Mr. Quin is the Asia Pacific portfolio manager, debt and derivatives trader. He moved to LIG in July 2006 after nine years with the Asset Management division's Fixed Income Investment Team in Australia. Mr. Quin has been a member of the Asset Management division's Global Credit Investment Committee and chair of the division's Global Swaps Derivative Investment Committee. Prior to joining Credit Suisse, Mr. Quin was a liability consultant to the South Australian Finance Authority. Prior to that, he worked for the SBSA for four years as a bond options trader. Mr. Quin holds a Bachelor of Business from the University of South Australia and a Masters of Applied Finance from Macquarie University. Michael Shackelford Director Mr. Shackelford is a member of the LIG ABS Credit Committee. He joined LIG in 2006 and is primarily responsible for overseeing LIG's ABS investments. Prior to joining LIG, Mr. Shackelford was a portfolio manager and trader with INVESCO Institutional (N.A.) Inc. responsible for managing their ABS CDO portfolios. Prior to that Mr. Shackelford was a portfolio manager and trader with AEGON USA Investment Management, LLC. He was also with Credit-Based Asset Servicing and Securitization LLC (C-BASS) in their capital markets group. Mr. Shackelford began his investment career with The Money Store Inc. as a credit analyst and later traded whole loan portfolios. He holds a B.A. in Economics from the University of Texas at Austin and a M.A. in Economics from California State University, Sacramento. Vance P. Shaw, CFA Director Mr. Shaw joined CS in 1998 as a senior high yield credit analyst. Mr. Shaw joined LIG in 1998 and currently covers the energy and utility industries. From 1995 to January 1998, Mr. Shaw was Director of High Yield Bond Research at Scotia Capital Markets in New York. Prior to joining Scotia, Mr. Shaw was a Senior Analyst - High Yield Industrials at Lehman Brothers Inc. from 1991 to 1995. Mr. Shaw served as a high yield analyst at Kidder Peabody & Co. from 1989 to 1991 and as a senior high yield research analyst at Prudential Capital Management from 1986 to 1989. Mr. Shaw covered U.S. and foreign banks as an analyst at the Federal Reserve Bank of New York from 1982 to 1985. He received his B.S. in Accounting and Finance from New York University. Lauri Whitlock Director Ms. Whitlock joined CS in 2000 and is currently chief operating officer for LIG. She joined LIG as Middle Office Manager in 2001. From 1997 to 2000, Ms. Whitlock served as manager of Financial and Regulatory Reporting at Salomon Smith Barney. Prior to joining Salomon Smith Barney, Ms Whitlock served as Assistant Controller at Raymond James and Associates. Ms. Whitlock began her career at Price Waterhouse auditing financial services companies. Ms. Whitlock holds a B.S. in Accounting from the University of Maryland. Adrienne Dale Vice President Ms. Dale joined LIG in 2005 as a credit analyst and currently covers the automotive, retail and restaurant sections. Prior to joining the group, Ms. Dale worked at CIBC World Markets as a credit analyst in the High Yield Research Group, where she covered the automotive supplier and retailer sectors. Ms. Dale joined CIBC World Markets in 2000, earned her B.A. from the University of Pennsylvania and is completing her M.B.A. at the Stern Business School of New York University.

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Edward DeBruyn Vice President Mr. DeBruyn joined LIG in 2002 as a credit analyst and currently covers the paper/packaging and diversified manufacturing sectors. Prior to joining LIG, Mr. DeBruyn worked at Morgan Stanley, where he was a credit analyst in the Global High Yield research department covering primarily paper and packaging high yield debt issuers located in North America, South America and Asia. Before joining the research department at Morgan Stanley, Mr. DeBruyn spent two years working on Morgan Stanley's Global High Yield Sales desk. Mr. DeBruyn holds a B.S. in Business Management with a concentration in finance from Merrimack College. Louis I. Farano Vice President Mr. Farano joined LIG as a credit analyst in 2006 and currently covers the consumer products, food and tobacco sectors. Prior to joining the group, Mr. Farano served as a Vice President in the High Yield department at SG America Securities Inc. Mr. Farano holds a B.B.A. in Accounting from James Madison University and an M.B.A. in Finance from UCLA's Anderson School. Regan Hoult Vice President Mr. Hoult joined LIG in 2006 and is resident in London. Prior to joining LIG, Mr. Hoult worked for two years at HSBC's Financial Sponsor Coverage Group. Prior to HSBC, he worked as an analyst within PriceWaterhouse Coopers' M&A Advisory division. Mr. Hoult holds a BCom and MBus from Otago University, Dunedin, and is a CFA charterholder. Todd Kornfeld Vice President and Counsel Mr. Kornfeld joined the legal department of CS in 2005. From 2000 to 2005, Mr. Kornfeld was an associate at Cleary Gottlieb Steen & Hamilton LLP in New York, concentrating in securities, capital markets, structured finance and derivatives. From 1998 to 2000, Mr. Kornfeld was an associate at Cadwalader Wickersham & Taft in New York, concentrating in structured finance and derivatives. Mr. Kornfeld currently is the counsel to LIG. Mr. Kornfeld holds a B.S. in Computer Science from the State University of New York at Albany, a J.D. from Boston University and an L.L.M. from New York University. Mr. Kornfeld is a member of the bar in New York, Massachusetts and Connecticut. Nicholas Milovich Vice President Mr. Milovich joined LIG as a credit analyst from First Dominion Capital, LLC, where he served as an Associate. Mr. Milovich joined First Dominion Capital, LLC in 1999 from Bear, Stearns & Co., where he served as an Associate in the High Yield Research Group. Prior to joining Bear Stearns, Mr. Milovich served in the Equity Capital Markets Group at Lehman Brothers. Mr. Milovich currently is an analyst covering the healthcare, transportation and aerospace and defense industries. Mr. Milovich holds a B.S.M.E. from the General Motors Institute and an M.B.A. from the University of Chicago. Daragh Murphy, CFA Vice President Mr. Murphy joined LIG in 2005 and is resident in London. Prior to joining LIG, Mr. Murphy worked at Fitch Ratings, where he was an Associate Director in the European Leveraged Finance Group. Prior to Fitch Ratings, Mr. Murphy was a credit analyst in the Corporate Finance Group at Naspa Dublin. Mr. Murphy is a credit analyst covering European credits. Mr. Murphy holds a B. Comm. (International) from University College Dublin.

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William Nunez Vice President Mr. Nunez joined LIG in 2006 as a credit analyst and currently covers structured products, primarily RMBS and ABS. Prior to joining LIG, Mr. Nunez worked in the fixed income research department of Merrill Lynch Investment Managers for two years, where he was responsible for analyzing structure finance securities including consumer and mortgage ABS products, structure finance CDOs and foreign RMBS. Previously, Mr. Nunez spent five years at Fitch Ratings in the ABS Consumer Group where his primary responsibilities included rating and monitoring of asset backed transactions. Mr. Nunez holds a B.S. in Business Administration from the Bernard Baruch College (CUNY) and an M.B.A. degree in Finance from Fordham University. Raphael Savitz Vice President Mr. Savitz joined LIG in 2006. Prior to joining LIG, Mr. Savitz was a credit analyst at Pinewood Capital Partners, LLC. Prior to joining Pinewood in 2004, Mr. Savitz spent two years in Citigroup's High Yield Research Group, focusing on the retail, food & drug retail and consumer products sectors. Mr. Savitz began his career in 2000 as an analyst in Salomon Smith Barney's International Debt Capital Markets Group. Mr. Savitz holds a B.S. in Finance from Yeshiva University. Judy Sun Vice President Ms. Sun joined LIG in 2005 as a credit analyst and currently covers structured products, primarily RMBS and ABS. Previously, Ms. Sun worked in the fixed-income research department of Freddie Mac for six years, where she developed prepayment, default and pricing models for mortgage-backed securities. Ms. Sun holds a M.S. in Statistics from the University of Maryland and a B.A. in Mathematics from Randolph Macon Women's College. Nik Persic Assistant Vice President Mr. Persic moved to LIG in July 2006 from the Australian Fixed Interest team in asset management, which he joined in January 2005. Prior to joining Credit Suisse, Mr. Persic worked for the Commonwealth Bank of Australia for six years where he held analytical roles in Corporate Finance, Equity Capital Markets and Institutional Research. Mr. Persic's hybrid securities research was rated No. 1 in both the 2003 and 2004 Greenwich/Peter Lee survey of institutional fund managers. Mr. Persic holds a Bachelor of Commerce (Hons)/Bachelor of Economics from the Australian National University. Ayesha Chenoy Associate Ms. Chenoy joined LIG in 2005 as a credit analyst and is resident in London. Prior to joining LIG, Ms. Chenoy served as a Manager in the Global Loan Syndication group in Barclays Capital which she joined from UBS Global Asset Management, where she served as an Associate Director in the Credit Research Group covering real estate, consumer products and industrials. Ms. Chenoy is a credit analyst covering European credits. Ms. Chenoy holds a MSc. in Accounting and Finance from the London School of Economics and a B.A. in Economics from Cambridge. IIan Freidman Associate Mr. Friedman joined LIG in 2006 as a trader. Prior to joining the group, Mr. Friedman served on the Loan Sales and Trading Desk at SG Americas Securities Inc. Mr. Friedman holds a B.A. in Finance from The Pennsylvania State University and is completing his M.B.A. at the Stern Business School of New York University.

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Roberta Girard Associate Ms. Girard joined LIG in 2006 as a credit analyst and is resident in London. Prior to joining LIG, Ms. Girard was an Associate in CS's European Mergers & Acquisitions Group and was previously an Analyst in CS's Global Industrial and Services Group. Ms. Girard joined CS in 2002 and is currently a credit analyst covering European credits. Ms. Girard holds a B.A. in Economics from Bocconi University in Milan. Brian Herr Associate Mr. Herr joined LIG in 2006 as a trader and credit analyst for structured products. Prior to joining LIG, Mr. Herr worked in the structured products department of Brown Brothers Harriman and Co. for two years, where his primary responsibilities included trading and sector management for the ABS, RMBS, and CMBS sectors. Prior to that, Mr. Herr was employed at Brown Brothers Harriman and Co. in a variety of positions within their institutional fixed income division. Mr. Herr holds a B.A. in Economics from Boston University. Ramin Kamali Associate Mr. Kamali joined LIG in 2005 as a credit analyst and currently covers the real estate, homebuilding and financial services sectors. Prior to joining the group, Mr. Kamali was in CSS's Investment Banking Division in the Global Industrial and Services Group. Mr. Kamali joined CS in July 2001 as an analyst and was promoted to Associate in July 2004. He holds a B.S. in Economics from The Wharton School of the University of Pennsylvania. Adam Kaplan Associate Mr. Kaplan joined LIG in 2006 as a credit analyst and currently covers structured products, primarily RMBS and ABS. Prior to joining LIG, Mr. Kaplan worked in the asset backed securities department of Fitch Ratings for six years, where his primary responsibilities included rating and monitoring of asset backed transactions across a wide range of asset classes. Mr. Kaplan holds a B.A. in Economics from Queens College (CUNY) and is currently pursuing a M.B.A. degree in Finance from New York University. Ryan Lim Associate Mr. Lim joined LIG in 2004 and is a credit analyst currently covering the building products, metals/mining, equipment rental and environmental industries. Before joining LIG, Mr. Lim served as an Associate in the Investment and Corporate Banking Division of Harris Nesbitt. Previously, Mr. Lim was an analyst at Goldman Sachs in the Leveraged Finance Bank Debt Portfolio Group, covering primarily industrial credits. Mr. Lim holds a B.A. in Environmental Science and Public Policy from Harvard University. Jakob von Kalckreuth Associate Mr. von Kalckreuth joined LIG in 2005 and is resident in London. Prior to joining LIG, Mr. von Kalckreuth worked at CIBC World Markets, where he was an Analyst in the European Leveraged Finance Group involved in origination and execution. Mr. von Kalckreuth is a credit analyst covering European credits. Mr. von Kalckreuth holds a BSc (Hon) from the University of Bath in Economics and International Development. Wendy Hanson Analyst Ms. Hanson joined LIG in 2007 as a credit analyst and is resident in London. Prior to joining LIG, Ms. Hanson was an Analyst in CS's European Leveraged Finance Group. Ms. Hanson is a credit analyst covering European credits. Ms. Hanson holds a B.A. in English Literature from Oxford University and a Postgraduate Diploma in Finance and Economics from Columbia University in New York.
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David Mechlin Analyst Mr. Mechlin joined LIG as a credit analyst in 2006. Mr. Mechlin recently earned his Bachelors of Science in Finance from NYU. Berchmans Rivera Analyst Mr. Rivera joined LIG as a credit analyst in 2006. Mr. Rivera recently earned his Bachelors of Arts in Economics from Harvard University. See "Risk FactorsCDO of CDO Securities Experience; Dependence on Manager and Key Personnel Thereof; Relationship to Prior Investment Results".

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THE MANAGEMENT AGREEMENT General Certain advisory and administrative functions with respect to the Collateral will be performed by the Manager under the Management Agreement. In accordance with the Portfolio Quality Tests and the Coverage Tests and other requirements set forth in the Indenture, and in accordance with the provisions of the Management Agreement, the Manager will select the portfolio of Eligible Collateral Debt Securities to be acquired by the Issuer. Pursuant to the terms of the Management Agreement and the Indenture, the Manager will monitor the Eligible Collateral Debt Securities and provide the Issuer with advice with respect to the composition and characteristics of the Eligible Collateral Debt Securities, and with respect to any disposition or tender of Eligible Collateral Debt Securities and the application of the proceeds thereof. The Manager will also direct the exercise of any rights and remedies of the Issuer in connection with the Eligible Collateral Debt Securities. In addition, the Manager will advise the Issuer with respect to CDS Assets and Covered Short CDS Assets and entering into Hedge Agreements and the Cashflow Swap Agreement and instruct the Trustee from time to time with respect to the investment of retained funds in Eligible Investments. The Indenture will place significant restrictions on the Manager's ability to advise the Issuer to buy and sell Collateral, and the Manager will be subject to compliance with such restrictions. Accordingly, during certain periods or in certain specified circumstances, the Issuer may be unable to buy or sell Eligible Collateral Debt Securities or to take other actions which the Manager might consider in the best interests of the Issuer and the Noteholders as a result of the restrictions contained in the Indenture. See "Risk FactorsPotential Conflicts of Interest Involving the Manager". The Manager and its Affiliates may engage in other business and furnishing investment management, advisory and other types of services to other clients whose investment policies differ from those followed by the Manager on behalf of the Issuer, as required by the Indenture. The Manager may therefore make recommendations to or effect transactions for such other clients that may differ from those effected with respect to the securities in the Collateral. In addition, the Manager may, from time to time, cause or direct another account managed by the Manager to buy or sell, or recommend to the account the buying or selling of, securities of the same or a different kind or class of the same issuer, as the Manager directs to be purchased or sold on behalf of the Issuer. See "Risk FactorsPotential Conflicts of Interest Involving the Manager". The Manager will be required to perform its obligations under the Management Agreement and the Indenture in a prudent manner with reasonable care and in good faith using a degree of skill and attention no less than that which the Manager (i) exercises with respect to comparable assets that it manages for itself and its Affiliates and (ii) exercises with respect to comparable assets that it manages for others, and in carrying out its obligations under the Management Agreement and the Indenture, to act in a manner consistent with practices and procedures followed by institutional managers of national standing relating to assets of the nature and character of the Collateral, except as expressly provided otherwise in the Management Agreement and/or the Indenture. Termination and Assignment of the Management Agreement; Appointment of Successor Automatic Termination The Management Agreement will automatically terminate upon the earlier to occur of (i) the payment in full of the Notes and the termination of the Indenture in accordance with its terms or (ii) the liquidation of the Collateral and the final distribution of the proceeds of such liquidation as provided in the Indenture. Removal Upon Manager Default The Manager may be removed upon the occurrence of a Manager Default by the Issuer at the direction of (i) the Holders of a Majority of the most Senior Class of Secured Notes Outstanding (excluding any Secured Notes held by the Manager, its Affiliates and/or their respective employees) or (ii) the Holders of a Majority of the Income Notes (excluding any Income Notes held by the Manager, its Affiliates and/or their respective employees).

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For purposes of the Management Agreement, "Manager Default" will mean: (i) the failure of the Manager to observe or perform in any respect any covenant or agreement set forth in the Management Agreement or any terms of the Indenture applicable to it, which failure in each case materially and adversely affects the Issuer or the Holders of any Class of the Notes or any of their respective rights under the Indenture or the Management Agreement, and the Manager fails to cure such breach within 30 days of the Manager's receipt of written notice of such breach from the Trustee (provided that upon becoming aware of any such breach, the Manager will be required to give written notice thereof to the Issuer and the Trustee); (ii) the purchase by the Manager of an obligation which did not qualify as an Eligible Collateral Debt Security or did not comply with the Investment Criteria applicable to such purchase, in either case, at the time of purchase, and the Manager fails to cure such breach through a sale of such Eligible Collateral Debt Security or otherwise within 30 days of the Manager's receipt of written notice of such breach from the Trustee (provided that upon becoming aware of any such breach, the Manager will be required to give written notice thereof to the Issuer and the Trustee), unless such event has been waived in writing by a Majority of the most Senior Class of Notes Outstanding; (iii) the occurrence of certain insolvency events with respect to the Manager as set forth in the Management Agreement; (iv) the occurrence of an act by the Manager that constitutes fraud or criminal activity in the performance of its obligations under the Management Agreement, the Collateral Administration Agreement or the Indenture, or any officers or directors of the Manager primarily responsible for administration of the Collateral are indicted for a criminal offense materially related to the Manager's primary business; (v) the occurrence of an Event of Default described in clause (i), (ii) or (iv) under "The Indenture and the Income Note Paying Agency AgreementEvents of Default"; (vi) the Principal Coverage Ratio for the Class A Notes is equal to or less than 99%; or

(vii) the occurrence of any of the following: (1) a merger of the Manager into another Person, (2) a merger of the Manager with another Person resulting in a new Person, (3) the succession by another Person to substantially all of the business of the Manager or (4) any other corporate action with substantially similar effect to that described in clause (1), (2) or (3) above; provided that, in the case of each of the foregoing clauses (1), (2), (3) and (4), such event shall not constitute a Manager Default if (x) after giving effect to such event, the Manager is an Affiliate of Credit Suisse Group or (y) a Majority of the most Senior Class of Notes Outstanding consents thereto. Removal Without Cause At any time, the Manager may be removed without cause upon 90 days' prior notice by the Issuer at the direction of (i) Holders of at least 66% of the Principal BalanceAggregate of each Class of Secured Notes (each voting as a single class) and (ii) a Majority of the Income Notes, so long as no Event of Default shall have occurred and be continuing. Notwithstanding the foregoing, no such removal shall be effective unless the terms described under "Eligible Successor" below have been met. Resignation At any time following the Ramp-Up End Date, the Manager may resign without penalty on 90 days' notice to the Issuer (or such shorter notice as is acceptable to the Issuer). Notwithstanding the foregoing, no such resignation shall be effective unless the terms described under "Eligible Successor" below have been met. Eligible Successor Upon any removal or resignation of the Manager, a Majority of any Class of Notes may propose the appointment of an Eligible Successor. No such removal or resignation of the Manager is effective unless: (i) an
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Eligible Successor has agreed in writing to assume all of the Manager's duties and obligations under the Management Agreement, (ii) such Eligible Successor has been consented to by the Requisite Noteholders, (iii) 10 days' prior notice has been given to the Rating Agencies, each Hedge Counterparty, the Cashflow Swap Counterparty and the Trustee and (iv) such assumption by an Eligible Successor has received Rating Agency Confirmation. For the purposes of the Management Agreement, an "Eligible Successor" shall mean an established institution that (i) has demonstrated an ability to professionally and competently perform duties similar to those imposed upon the Manager thereunder and with a substantially similar (or better) level of expertise and (ii) is legally qualified and has the capacity to act as Manager thereunder, as successor to the Manager, and agrees in writing to assume all of the responsibilities, duties and obligations of the Manager thereunder and under the applicable terms of the Indenture. If the Manager shall resign or be removed but an Eligible Successor shall not have assumed all of the Manager's duties and obligations within 90 days after such resignation, then the resigning Manager may petition any court of competent jurisdiction for the appointment of an Eligible Successor. Assignment Any assignment of material rights and delegation of material duties under the Management Agreement to any Person, in whole or in part, by the Manager will be deemed null and void unless such assignment is consented to in writing by the Issuer, and (i) a Majority of the most Senior Class of Notes Outstanding and (ii) a Majority of the Income Notes, in each case excluding the Notes held by the Manager, its Affiliates and/or their respective employees, and Rating Agency Confirmation from S&P is received with respect to such assignment; provided, however, that the Manager will be permitted to assign its rights and delegate its duties and obligations under the Management Agreement, the Indenture and the Collateral Administration Agreement without Noteholder consent and without receiving Rating Agency Confirmation from S&P in accordance with applicable law to an existing or future Affiliate that (i) has demonstrated (or has officers and employees who have demonstrated) an ability to professionally and competently perform duties similar to those imposed upon the Manager under the Management Agreement, (ii) is legally qualified and has the capacity to act as Manager under the Management Agreement and (iii) employs the principal personnel performing the duties required under the Management Agreement prior to such assignment. Limitation of Liability; Indemnity Neither the Manager, any Affiliates of the Manager, nor any of their directors, officers, members, equity holders, advisors, agents, attorneys or employees will be liable to the Issuer, the Trustee, the Holders of Notes or any other person for any acts or omissions (i) by the Manager or any Affiliate of the Manager, or any of their directors, officers, members, agents, equity holders, advisors, attorneys or employees under or in connection with the Management Agreement or the provisions of the Indenture applicable to it, or for any decrease in the value of the Collateral, except by reason of acts or omissions constituting bad faith, willful misconduct or gross negligence in the performance of, or reckless disregard with respect to, the duties of the Manager under the Management Agreement and under the express terms of the Indenture applicable to the Manager or (ii) not involving the exercise of discretion by the Manager or any Affiliate of the Manager, or any of their directors, officers, members, agents, equity holders or employees under or in connection with the Management Agreement or the express terms of the Indenture applicable to the Manager, taken or omitted to be taken by any of them at the express direction of the Board of Directors or the Trustee or any authorized representative of the foregoing. The Manager may, with respect to the affairs of the Issuer or the Manager's obligations or rights under the Management Agreement or the terms of the Indenture applicable to it, consult with counsel, accountants and other advisors as deemed necessary or appropriate, in their capacity as such, selected by the Manager, and the Manager will be fully protected, to the extent permitted by applicable law, in acting or failing to act under the Management Agreement if such action or inaction is taken or not taken by the Manager in accordance with the advice or opinion of such counsel, accountants or advisors. The Manager and each of its Affiliates will be entitled to indemnification by the Issuer under certain circumstances, in accordance with the Priority of Payments.

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Compensation of the Manager As compensation for the performance of its obligations under the Management Agreement, the Manager will be entitled to receive a Management Fee. "Management Fee" means, for any Payment Date, an amount equal to the product of (a) the Management Fee Basis Amount for such Payment Date, (b) 0.10% per annum and (c) the actual number of days in such Period, divided by 360. "Management Fee Basis Amount" means an amount equal, for any Payment Date, to the average of the Principal BalancePortfolio (excluding the Principal BalanceAggregate of Defaulted Securities) on the first day of the related Period and the Principal BalancePortfolio (excluding the Principal BalanceAggregate of Defaulted Securities) on the last day of such Period. The Management Fee will be payable on each Payment Date to the extent of the funds available for such purpose in accordance with the Priority of Payments. The Management Fee payable on any Payment Date will be payable prior to payments of interest or principal on the Secured Notes, and will be payable prior to payments of distributions on the Income Notes and will accrue from the Closing Date; provided that in the event that the Manager is removed or resigns, the amount of such fee accrued to the effective date of such removal or resignation will be payable to the Manager on the next succeeding Payment Date or Payment Dates on which such amount may be paid, in accordance with the Priority of Payments (provided that the payment of any such fee will be pari passu with the payment of any Management Fee to the then-current collateral manager). The costs and expenses (including the fees and disbursements of counsel) of the Manager incurred in connection with the negotiation and preparation of and the execution of the Management Agreement, and all matters incident thereto, will be borne by the Issuer. Except as set forth in the preceding sentence, the Manager will be responsible for all expenses incurred in the performance of its obligations under the Management Agreement. Disclosure and Consent Provisions Relating to "Principal Trades" and Cross-Transactions Section 206(3) of the Advisers Act provides that it is unlawful for any investment adviser, directly or indirectly "acting as principal for his own account, knowingly to sell any security to or purchase any security from a client, or acting as broker for a person other than such client, knowingly to effect any sale or purchase of any security for the account of such client, without disclosing to such client in writing before the completion of such transaction the capacity in which he is acting and obtaining the consent of the client to such transaction." Transactions subject to the foregoing requirements are sometimes referred to as "principal trades". In that connection, the Management Agreement will provide that at any time on and after the Closing Date, the Manager will not direct the Trustee or the Issuer to engage in any transaction (other than an agency cross transaction permitted as described in the next succeeding paragraph) in which the Manager determines, in its sole reasonable discretion, that the Issuer's consent to an actual or potential conflict of interests is necessary or advisable under applicable law (including, without limitation, Section 206(3) of the Advisers Act and the rules and regulations promulgated thereunder), by reason of the involvement of the Manager or an Affiliate of the Manager or otherwise, unless (i) the Conflicts Review Board as the Issuer's agent shall have received from the Manager all necessary or appropriate information relating to such transaction and (ii) the Conflicts Review Board shall have approved such transaction. The Issuer in its sole discretion may (and, after the occurrence of an "Event of Default" under the Indenture, at the direction of the Requisite Noteholders, will) at any time and from time to time, review the appointment of Wilmington Trust Company as the "Conflicts Review Board", may revoke such appointment, may appoint a successor Conflicts Review Board for the purposes set forth in the Management Agreement and may establish new or different procedures to comply with the requirements of the Advisers Act. The Management Agreement will also provide that the Manager will not direct the Trustee to purchase any Eligible Collateral Debt Security not identified in the Indenture for inclusion in the Collateral from any account or portfolio for which the Manager or an Affiliate thereof serves as investment adviser, or direct the Trustee to sell any Collateral to any account or portfolio for which the Manager or an Affiliate thereof serves as investment adviser,
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unless the Manager obtains the consent of the Issuer or the Conflicts Review Board to the extent required under the provisions set forth below in this paragraph. The Manager will not direct the Trustee to engage in any agency cross transaction for the Issuer that requires the Issuer's consent pursuant to Section 206(3) of the Advisers Act and the rules and regulations promulgated thereunder unless such transaction is effected in compliance with Rule 206(3)-2 under the Advisers Act. For purposes of this paragraph, an "agency cross transaction for the Issuer" has the meaning assigned in Rule 206(3)-2(b) under the Advisers Act to the term "agency cross transaction for an advisory client." The Manager will in the Management Agreement advise the Issuer that with respect to agency cross transactions, the Manager or any other person relying on Rule 206(3)-2 may act as broker for, receive commissions from, and have a potentially conflicting division of loyalties and responsibilities regarding both parties to such transactions. The Issuer will in the Management Agreement give its written consent prospectively authorizing the Manager or any person relying on Rule 206(3)-2 to effect cross transactions (including, without limitation, agency cross transactions) for the Issuer. Such consent may be revoked at any time by written notice from the Issuer or the Conflicts Review Board to the Manager or such person relying on Rule 206(3)-2, as applicable. To the extent that the Issuer's consent with respect to any particular transaction is required by law (including Section 206(3) of the Advisers Act and the rules and regulations promulgated thereunder), no such transaction (other than a cross transaction effected as described in this paragraph and the Advisers Act) may be effected except in compliance with the provisions described in the immediately preceding paragraph.

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CERTAIN MATURITY AND PREPAYMENT CONSIDERATIONS General The actual maturities of the Secured Notes and the actual redemption of the Income Notes are generally expected to occur prior to the Maturity DateStated, although there can be no assurance as to such matters. Prepayment The financial assets underlying the Eligible Collateral Debt Securities may be subject to prepayment. Such prepayments are affected by a number of factors. If prevailing interest rates fall below the interest rates on such financial assets, prepayment rates would generally be expected to increase. Conversely, if prevailing interest rates rise above the interest rates on such financial assets, prepayment rates would generally be expected to decrease. There can be no assurance that the Eligible Collateral Debt Securities will prepay at any particular rate. Some or all of the loans, bonds or financial assets underlying the Eligible Collateral Debt Securities may be prepaid at any time. Prepayments on loans, bonds or financial assets are affected by a number of factors, including interest rate movements, general economic conditions and other factors. Defaults on and liquidations of the loans, bonds or financial assets underlying certain of the Eligible Collateral Debt Securities may also lead to early repayment thereof. The Manager will have the right to direct the sale of Eligible Collateral Debt Securities that become Defaulted Securities or Credit Risk Securities. The existence and frequency of such prepayments, optional redemptions, defaults and liquidations will affect the average lives of, and credit support for, the Secured Notes and the date of redemption of the Income Notes. Weighted Average Life and Redemption Weighted average life refers to the average amount of time that will elapse from the date of delivery of a security until each dollar of the principal of such security will be paid to the investor. The weighted average lives of the Secured Notes of each Class and the date of redemption of the Income Notes will be affected by the sale of Eligible Collateral Debt Securities and the amount and frequency of principal payments, which are dependent upon, among other things, the amount of payments received at or in advance of the scheduled maturity of the Eligible Collateral Debt Securities and their underlying mortgage loans, loans, bonds or other financial assets. The actual weighted average lives and actual maturities of the Secured Notes and the date of redemption of the Income Notes will be affected by the financial conditions of the issuers of the Eligible Collateral Debt Securities and the existence and frequency of prepayment, optional redemption, auction call or sinking fund features, the prevailing level of interest rates, the redemption prices, the default rates and level of recoveries on any defaulted securities and the frequency of tender or exchange offers for such Eligible Collateral Debt Securities. Any disposition of an Eligible Collateral Debt Security may change the composition and characteristics of the Collateral and the rates of payment thereon, and, accordingly, may affect the actual weighted average lives of the Secured Notes and the date of redemption of the Income Notes. The rate of future defaults and the amount and timing of any cash realization from Defaulted Securities and Credit Risk Securities also will affect the maturity and weighted average lives of the Secured Notes and the date of redemption of the Income Notes. The weighted average life of the Secured Notes of each Class and the date of redemption of the Income Notes may also vary depending on whether or not the Notes are redeemed in a Redemption. The weighted average lives of the Secured Notes are expected to be shorter, and may be substantially shorter, than the Maturity DateStated and the date of redemption of the Income Notes is expected to be sooner, and may be substantially sooner, than the Maturity DateStated. The amount of Eligible Collateral Debt Securities purchased at the Closing Date will also affect the weighted average lives of the Secured Notes and the date of redemption of the Income Notes. The portfolio of Eligible Collateral Debt Securities will change from time to time as a result of sales of Eligible Collateral Debt Securities. Yield The yield to maturity of the Secured Notes of each Class and the amount of distributions on the Income Notes will be affected by the rates of repayment of the Eligible Collateral Debt Securities as well as by the timing of any redemption of the Notes in a Redemption (and by the related Redemption Prices). The yield to maturity of the Secured Notes of each Class and the amount of distributions on the Income Notes may also be affected by rates of delinquencies and defaults on and liquidations of the Eligible Collateral Debt Securities, sales of Eligible Collateral
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Debt Securities, the effects of the Coverage Tests on payments of principal of the Notes pursuant to the Priority of Payments, available funds caps or other caps on the interest rate payable on the Eligible Collateral Debt Securities and by timing mismatches on the reset of the interest rates between the Eligible Collateral Debt Securities and the Secured Notes. The yield to investors in the Secured Notes of any Class and the amount of any distribution payable to any Holder of Income Notes may be adversely affected to the extent that the Co-Issuers incur any significant unexpected expenses not absorbed by Notes of another, more subordinated Class. Although a variety of factors may be expected to cause an early repayment of the Notes in whole or in part, in the absence of such factors the Issuer is not contractually obligated to repay the Secured Notes or to redeem the Income Notes on any date prior to the Maturity DateStated. The receipt of principal payments on the Secured Notes or distributions on the Income Notes at rates slower than the rates that were anticipated by investors purchasing Notes at a discount will result in an actual yield on such Notes that is lower than anticipated by such investors.

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PURCHASE AND TRANSFER RESTRICTIONS Because of the following restrictions, purchasers are advised to consult legal counsel prior to making any offer, resale, pledge or other transfer of the Notes. Purchasers of Notes represented by an interest in a Temporary Regulation S Global Note or Regulation S Global Note are advised that such interests will not be transferable to U.S. Persons at any time. The Notes have not been and will not be registered under the Securities Act or any state securities or "Blue Sky" laws or the securities laws of any other jurisdiction and, accordingly, may not be reoffered, resold, pledged or otherwise transferred except in accordance with the restrictions set forth below. Without limiting the foregoing, by holding a Note, each Holder of Notes 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, but that the Co-Issuers claim exemption from registration in reliance on an exemption from registration as an investment company under the Investment Company Act for investment companies organized under the laws of a jurisdiction other than the United States or any state thereof (a) whose investors resident in the United States are solely QPs and (b) which do not make a public offering of their securities in the United States. Each Holder of Notes will further acknowledge and agree that it is aware that the Management Agreement and the Indenture authorize the Manager to cause the Issuer to purchase Eligible Collateral Debt Securities from, and sell Eligible Collateral Debt Securities to, the Manager, its Affiliates and funds managed by the Manager or its Affiliates and each such Holder consents to such purchases and sales, provided that they are carried out in compliance with the provisions of the Management Agreement and the Indenture. Prospective Initial Investors of the Notes Each prospective initial investor in the Notes offered in reliance on Rule 144A or another applicable exemption from registration under the Securities Act (a "Rule 144A Offeree") and each prospective initial investor in the Notes offered in reliance on Regulation S (a "Regulation S Offeree" and, together with Rule 144A Offerees, the "Initial Offerees"), by accepting delivery of this Offering Circular, will be deemed to have represented, acknowledged and agreed as follows: (ix) (i) The Initial Offeree acknowledges that this Offering Circular is personal to the Initial Offeree and does not constitute an offer to any other Person or to the public generally to subscribe for or otherwise acquire the Notes other than pursuant to Rule 144A, or another exemption from registration under the Securities Act, or in Offshore Transactions in accordance with Regulation S. Distribution of this Offering Circular or disclosure of any of its contents to any Person other than the Initial Offeree and those Persons, if any, retained to advise the Initial Offeree with respect thereto and other Persons meeting the requirements of Rule 144A or Regulation S is unauthorized and any disclosure of any of its contents, without the prior written consent of the Co-Issuers, is prohibited. (x) (ii) The Initial Offeree agrees to make no photocopies of this Offering Circular or any documents referred to herein and, if the Initial Offeree does not purchase the Notes or the offering is terminated, to return this Offering Circular and all documents referred to herein to Citigroup Global Markets Inc., 390 Greenwich Street, New York, New York 10013, Attention: Fixed Income Global Structured Credit Products Group. (xi) (iii) The Initial Offeree has carefully read and understands this Offering Circular, including, without limitation, the "Risk Factors" section herein, and has based its decision to purchase the Notes upon the information contained herein and not on any other information. Additionally, the Initial Offeree has had access to the list of the portfolio of Eligible Collateral Debt Securities expected to be acquired by the Issuer on the Closing Date. The Initial Offeree is not purchasing the Notes with a view to the resale, distribution or other disposition thereof in violation of the Securities Act.

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Secured Notes and Class Q Combination Notes Legend Unless determined otherwise by the Applicable Issuers in accordance with applicable law and so long as any Class of Secured Notes or Class Q Combination Notes is Outstanding, the Secured Notes and the Class Q Combination Notes will bear a legend substantially set forth below: THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT"), ANY STATE SECURITIES LAWS IN THE UNITED STATES OR THE SECURITIES LAWS OF ANY OTHER JURISDICTION AND NEITHER THE ISSUER NOR THE CO-ISSUER, AS APPLICABLE, HAS BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT"). THE HOLDER HEREOF, BY ITS ACCEPTANCE OF THIS NOTE, REPRESENTS THAT IT HAS OBTAINED THIS NOTE IN A TRANSACTION IN COMPLIANCE WITH THE SECURITIES ACT, THE INVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWS OF THE UNITED STATES OR ANY OTHER JURISDICTION, AND THE RESTRICTIONS ON SALE AND TRANSFER SET FORTH IN THE INDENTURE. THE HOLDER HEREOF, BY ITS ACCEPTANCE OF THIS NOTE, FURTHER REPRESENTS, ACKNOWLEDGES AND AGREES THAT IT WILL NOT REOFFER, RESELL, PLEDGE OR OTHERWISE TRANSFER THIS NOTE (OR ANY INTEREST HEREIN) EXCEPT IN COMPLIANCE WITH THE SECURITIES ACT, THE INVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWS OF ANY JURISDICTION AND IN ACCORDANCE WITH THE CERTIFICATIONS AND OTHER REQUIREMENTS SPECIFIED IN THE INDENTURE REFERRED TO HEREIN (A) TO A TRANSFEREE (1) THAT IS A "QUALIFIED PURCHASER" FOR PURPOSES OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED PURCHASER, (2) THAT (i) WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN EITHER OF THE CO-ISSUERS (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER), (ii) HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS IF THE PURCHASER IS A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (iii) IS NOT A BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS, (iv) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE INVESTMENT COMPANY ACT EXEMPTION AND (v) AGREES TO PROVIDE NOTICE TO ANY SUBSEQUENT TRANSFEREE OF THE TRANSFER RESTRICTIONS PROVIDED IN THIS LEGEND AND (3) THAT (i) IS A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A "QUALIFIED INSTITUTIONAL BUYER" AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A "QUALIFIED INSTITUTIONAL BUYER" IN COMPLIANCE WITH RULE 144A UNDER THE SECURITIES ACT OR (ii) IS AN "ACCREDITED INVESTOR" AS DEFINED IN RULE 501(a) OF REGULATION D UNDER THE SECURITIES ACT (PROVIDED THAT IN THE CASE OF ANY TRANSFER PURSUANT TO THIS SUBCLAUSE (ii), THE TRANSFEROR OR THE TRANSFEREE HAS PROVIDED SUCH CERTIFICATIONS, LEGAL OPINIONS OR OTHER INFORMATION AS THE ISSUER, THE INDENTURE REGISTRAR AND SECURED NOTE PAYING AGENT MAY REASONABLY REQUIRE TO CONFIRM THAT SUCH TRANSFER IS BEING MADE PURSUANT TO AN EXEMPTION FROM, OR IN A TRANSACTION NOT SUBJECT TO, THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT) OR (B) TO A TRANSFEREE (1) THAT IS NOT A U.S. PERSON (AS DEFINED IN REGULATION S OF THE SECURITIES ACT) AND IS ACQUIRING THIS NOTE IN AN OFFSHORE TRANSACTION IN COMPLIANCE WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT AND (2) THAT IS NOT A "U.S. RESIDENT" WITHIN THE MEANING OF THE INVESTMENT COMPANY ACT AND, IN THE CASE OF BOTH CLAUSES (A) AND (B), IN A PRINCIPAL AMOUNT OF NOT LESS THAN THE APPLICABLE MINIMUM DENOMINATIONS SPECIFIED IN THE INDENTURE FOR THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING. EACH PURCHASER OR TRANSFEREE OF THIS NOTE WILL MAKE IN WRITING OR WILL BE DEEMED TO HAVE MADE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN THE INDENTURE.

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THIS NOTE IS NOT TRANSFERABLE EXCEPT IN ACCORDANCE WITH THE RESTRICTIONS DESCRIBED HEREIN. ANY SALE OR TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO, AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE CO-ISSUERS, THE TRUSTEE OR ANY INTERMEDIARY. EACH TRANSFEROR OF THIS NOTE AGREES TO PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INDENTURE TO THE TRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUER MAINTAINS THE RIGHT TO RESELL ANY INTEREST IN THIS NOTE PREVIOUSLY TRANSFERRED TO NON-PERMITTED HOLDERS (AS DEFINED IN THE INDENTURE) IN ACCORDANCE WITH AND SUBJECT TO THE TERMS OF THE INDENTURE. 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 following additional legend will appear on Secured Notes and Class Q Combination Notes and represented by a Global Note: 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 INDENTURE REGISTRAR, 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.). TRANSFER OF THIS NOTE SHALL BE LIMITED TO TRANSFERS IN WHOLE, AND NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE AND TRANSFERS OF INTERESTS IN THIS NOTE SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE INDENTURE. THE APPLICABLE ISSUERS HAVE THE RIGHT, UNDER THE INDENTURE, TO COMPEL ANY OWNER OF A BENEFICIAL INTEREST IN THIS NOTE 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. INTERESTS IN THIS GLOBAL NOTE MUST BE HELD IN THE APPLICABLE MINIMUM DENOMINATIONS SPECIFIED IN THE INDENTURE. The following additional legend will appear on Secured Notes represented by a Global Note: EACH PURCHASER OR TRANSFEREE OF THIS NOTE (OR ANY INTEREST HEREIN) WILL BE DEEMED TO HAVE REPRESENTED AND AGREED, ON EACH DAY FROM THE DATE ON WHICH SUCH PURCHASER OR TRANSFEREE ACQUIRES THIS NOTE (OR ANY INTEREST HEREIN) THROUGH AND INCLUDING THE DATE ON WHICH SUCH PURCHASER OR TRANSFEREE DISPOSES OF THIS NOTE (OR ANY INTEREST HEREIN) THAT EITHER (A) IT IS NOT, AND IS NOT ACTING ON BEHALF OF OR USING THE ASSETS OF, 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 SUBJECT TO SECTION 4975 OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), AN ENTITY WHOSE UNDERLYING ASSETS INCLUDE ASSETS OF ANY SUCH EMPLOYEE BENEFIT PLAN OR PLAN OR A GOVERNMENTAL OR OTHER PLAN WHICH IS SUBJECT TO ANY FOREIGN, FEDERAL, STATE OR LOCAL LAW THAT IS SUBSTANTIALLY SIMILAR TO THE PROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE OR (B) ITS ACQUISITION, HOLDING (INCLUDING, WITHOUT LIMITATION, THE EXERCISE OF RIGHTS HEREUNDER) AND
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DISPOSITION OF THIS NOTE (OR ANY INTEREST HEREIN) WILL NOT CONSTITUTE OR RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE (OR, IN THE CASE OF A GOVERNMENTAL OR OTHER PLAN, A VIOLATION OF ANY SUBSTANTIALLY SIMILAR NON-U.S., FEDERAL, STATE OR LOCAL LAW). The following additional legend will appear on Class Q Combination Notes represented by a Temporary Regulation S Global Note or Regulation S Global Note: THE ACQUISITION OF THIS NOTE BY, OR ON BEHALF OF OR USING THE ASSETS OF, A BENEFIT PLAN INVESTOR (INCLUDING, WITHOUT LIMITATION, AN INSURANCE COMPANY GENERAL ACCOUNT) IS PROHIBITED. EACH PURCHASER OR TRANSFEREE OF THIS NOTE (OR ANY INTEREST HEREIN) WILL BE DEEMED TO HAVE REPRESENTED AND AGREED AT THE TIME OF ITS PURCHASE OR ACQUISITION AND THROUGHOUT THE PERIOD OF ITS HOLDING AND DISPOSITION OF THIS NOTE (OR ANY INTEREST HEREIN) THAT IT (1) IS NOT, AND IS NOT ACTING ON BEHALF OF OR USING THE ASSETS OF, A BENEFIT PLAN INVESTOR (INCLUDING, WITHOUT LIMITATION, AN INSURANCE COMPANY GENERAL ACCOUNT) AND (2) IF IT IS A GOVERNMENTAL, CHURCH, NON-U.S. OR OTHER PLAN THAT IS SUBJECT TO ANY NON-U.S., FEDERAL, STATE OR LOCAL LAW THAT IS SUBSTANTIALLY SIMILAR TO THE PROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA") OR SECTION 4975 OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), ITS ACQUISITION, HOLDING AND DISPOSITION OF THIS NOTE (OR ANY INTEREST HEREIN) WILL NOT CONSTITUTE OR RESULT IN A VIOLATION OF ANY SUCH SUBSTANTIALLY SIMILAR LAW. NO TRANSFER OF THIS NOTE (OR ANY INTEREST HEREIN) MAY BE MADE (AND NEITHER THE ISSUER, THE INCOME NOTE PAYING AGENT NOR THE INCOME NOTE REGISTRAR WILL RECOGNIZE ANY SUCH TRANSFER) IF, AFTER GIVING EFFECT TO SUCH TRANSFER, THIS NOTE (OR ANY INTEREST HEREIN) WOULD BE HELD BY A BENEFIT PLAN INVESTOR (INCLUDING, WITHOUT LIMITATION, AN INSURANCE COMPANY GENERAL ACCOUNT). ACCORDINGLY, AN INVESTOR IN THIS NOTE MUST BE PREPARED TO BEAR THE ECONOMIC RISK OF THE INVESTMENT FOR AN INDEFINITE PERIOD OF TIME. "BENEFIT PLAN INVESTOR" IS DEFINED IN SECTION 3(42) OF ERISA TO MEAN (I) ANY "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA) THAT IS SUBJECT TO THE FIDUCIARY RESPONSIBILITY PROVISIONS OF TITLE I OF ERISA, (II) ANY "PLAN" TO WHICH SECTION 4975 OF THE CODE APPLIES AND (III) ANY ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCH ENTITY. The following additional legend will appear on Class Q Combination Notes that are Certificated Notes: THE ACQUISITION OF THIS NOTE BY, OR ON BEHALF OF OR USING THE ASSETS OF, A BENEFIT PLAN INVESTOR (INCLUDING, WITHOUT LIMITATION, AN INSURANCE COMPANY GENERAL ACCOUNT) IS PROHIBITED. EACH PURCHASER OR TRANSFEREE OF THIS NOTE (OR ANY INTEREST HEREIN) WILL BE REQUIRED TO REPRESENT AND AGREE AT THE TIME OF ITS PURCHASE OR ACQUISITION AND THROUGHOUT THE PERIOD OF ITS HOLDING AND DISPOSITION OF THIS NOTE (OR ANY INTEREST HEREIN) THAT (1) IT IS NOT, AND IS NOT ACTING ON BEHALF OF OR USING THE ASSETS OF, A BENEFIT PLAN INVESTOR (INCLUDING, WITHOUT LIMITATION, AN INSURANCE COMPANY GENERAL ACCOUNT) AND (2) IF IT IS A GOVERNMENTAL, CHURCH, FOREIGN OR OTHER PLAN THAT IS SUBJECT TO ANY NON-U.S., FEDERAL, STATE OR LOCAL LAW THAT IS SUBSTANTIALLY SIMILAR TO THE PROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA") OR SECTION 4975 OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), ITS ACQUISITION, HOLDING AND DISPOSITION OF THIS NOTE (OR ANY INTEREST HEREIN) WILL NOT CONSTITUTE OR RESULT IN A VIOLATION OF ANY SUCH SUBSTANTIALLY SIMILAR LAW. NO TRANSFER OF THIS NOTE (OR ANY INTEREST HEREIN) MAY BE MADE (AND NEITHER THE ISSUER, THE INCOME NOTE PAYING AGENT NOR THE INCOME NOTE REGISTRAR WILL RECOGNIZE ANY SUCH TRANSFER) IF, AFTER GIVING EFFECT TO SUCH TRANSFER, THIS NOTE (OR ANY INTEREST HEREIN) WOULD BE HELD BY A BENEFIT PLAN INVESTOR (INCLUDING, WITHOUT LIMITATION,
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AN INSURANCE COMPANY GENERAL ACCOUNT). ACCORDINGLY, AN INVESTOR IN THIS NOTE MUST BE PREPARED TO BEAR THE ECONOMIC RISK OF THE INVESTMENT FOR AN INDEFINITE PERIOD OF TIME. "BENEFIT PLAN INVESTOR" IS DEFINED IN SECTION 3(42) OF ERISA TO MEAN (I) ANY "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA) THAT IS SUBJECT TO THE FIDUCIARY RESPONSIBILITY PROVISIONS OF TITLE I OF ERISA, (II) ANY "PLAN" TO WHICH SECTION 4975 OF THE CODE APPLIES AND (III) ANY ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCH ENTITY. Initial Investors and Transferees of Interests in Rule 144A Global Notes and/or Certificated Notes Each initial investor in, and subsequent transferee of, Secured Notes or Class Q Combination Notes represented by (A) an interest in a Rule 144A Global Note will be deemed to have represented and agreed, or (B) a Certificated Note will be required to represent and agree in writing, as follows: (xii) (i) It (A) is (x) a QIB and is acquiring the Notes in reliance on the exemption from Securities Act registration provided by Rule 144A thereunder or (y) only with respect to any Class B Note, Class C Note or Class Q Combination Note, a QIB or an Accredited Investor purchasing for its own account (provided that, in the case of any transfer pursuant to this subclause (y), the transferor or the transferee has provided such certifications, legal opinions or other information to each of the Trustee and the Issuer that the Issuer may reasonably require to confirm that such transfer may be made pursuant to an exemption from registration under the Securities Act), (B) is a QP and (C) understands the Secured Notes or Class Q Combination Notes will bear the legend set forth above and be represented by either one or more Rule 144A Global Notes or one or more Certificated Notes, as applicable. In addition, it represents and warrants that it (1) was not formed for the purpose of investing in either of the Co-Issuers (except when each beneficial owner of the purchaser is a QP), (2) has received the necessary consent from its beneficial owners if the purchaser is a private investment company formed before April 30, 1996, (3) is not a broker-dealer that owns and invests on a discretionary basis less than U.S.$25,000,000 in securities of unaffiliated issuers, (4) is not a pension, profit sharing or other retirement trust fund or plan in which the partners, beneficiaries or participants, as applicable, may designate the particular investments to be made, and in a transaction that may be effected without loss of any applicable Investment Company Act exemption, (5) will provide notice to any subsequent transferee of the transfer restrictions provided in the legend, (6) will hold and transfer Secured Notes or Class Q Combination Notes in an amount of not less than the applicable minimum denominations specified in the Indenture for it or for each account for which it is acting, (7) will provide the Issuer and Trustee from time to time such information as it may reasonably request in order to ascertain compliance with this paragraph (i) and (8) the investor understands that the Issuer may receive a list of participants holding positions in its securities from one or more book-entry depositories. (xiii) (ii) It understands that the Secured Notes and Class Q Combination Notes have been offered only in a transaction not involving any public offering in the United States within the meaning of the Securities Act, the Secured Notes and Class Q Combination 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 Secured Notes or Class Q Combination Notes, such Secured Notes or Class Q Combination Notes may be offered, resold, pledged or otherwise transferred only in accordance with the provisions of the Indenture and the legend on such Secured Notes or Class Q Combination Notes. 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 Secured Notes or Class Q Combination Notes. (xiv) (iii) In connection with the purchase of the Secured Notes or Class Q Combination Notes (provided that no such representations are made with respect to the Manager by any Affiliate of the Manager or any account advised or managed by the Manager): (a) none of the Co-Issuers is acting as a fiduciary or financial or investment advisor for such initial investor or transferee; (b) such initial investor or transferee is not relying (for purposes of making any investment decision or otherwise) upon any advice, counsel or representations (whether written or oral) of the Co-Issuers, the Manager, the Initial Purchaser or
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the Placement Agent or any of their agents (in their capacities as such), other than any statements in a current offering circular for such Secured Notes and Class Q Combination Notes and any representations expressly set forth in a written agreement with such party; (c) such initial investor or transferee 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 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-Issuers, the Manager, the Initial Purchaser or the Placement Agent; (d) such initial investor or transferee's purchase of the Secured Notes or Class Q Combination Notes will comply with all applicable laws in any jurisdiction in which it resides or is located; (e) such initial investor or transferee is acquiring the Secured Notes or Class Q Combination 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; (f) such initial investor or transferee has made investments prior to the date hereof and was not formed solely for the purpose of investing in the Secured Notes or Class Q Combination Notes; (g) such initial investor or transferee is not a (1) partnership, (2) common trust fund or (3) 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; (h) such initial investor or transferee may not hold any Secured Notes or Class Q Combination Notes for the benefit of any other Person, it will at all times be the sole beneficial owner thereof for purposes of the Investment Company Act and all other purposes and it will not sell participation interests in the Secured Notes or the Class Q Combination Notes or enter into any other arrangement pursuant to which any other Person will be entitled to a beneficial interest in the distributions on the Secured Notes or the Class Q Combination Notes; (i) all Notes or Class Q Combination Notes and other investment securities (together with any other securities of the Co-Issuers) purchased and held directly or indirectly by such initial investor or transferee have a value in the aggregate of no more than 40% of its total assets or capital (exclusive of government securities and cash items) on an unconsolidated basis; and (j) it is a sophisticated investor and is purchasing the Secured Notes or Class Q Combination 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. (xv) (iv) In connection with the purchase of the Secured Notes, on each day from the date on which it acquires the Secured Notes (or any interest therein) through and including the date on which it disposes of its interests in such Secured Note, that either (a) it is not, and is not acting on behalf of, or using the assets of, a Plan subject to Title I of ERISA or Section 4975 of the Code or a governmental or other plan which is subject to any non-U.S., Federal, state or local law that is substantially similar to Section 406 of ERISA or Section 4975 of the Code or (b) its acquisition, holding (including, without limitation, the exercise of rights thereunder) and disposition of the Secured Note (or any interest therein) will not constitute or result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code (or, in the case of a governmental or other plan, a violation of any substantially similar non-U.S., Federal, state or local law). (xvi) (v) In connection with the purchase of the Class Q Combination Notes, on each day from the date on which it acquires the Class Q Combination Notes (or any interest therein) through and including the date on which it disposes of its interests in such Class Q Combination Note, that either (1) it is not, and is not acting on behalf of, or using the assets of a Benefit Plan Investor (including, without limitation, an insurance company general account) and (2) if it is a governmental, church, foreign or other plan that is subject to any non-U.S., Federal, state or local law that is substantially similar to the prohibited transaction provisions of Section 406 of ERISA or Section 4975 of the Code, its acquisition, holding and disposition of such Note (or any interest therein) will not constitute or result in a violation of any such substantially similar law. It understands that no transfer of any Class Q Combination Notes may be made (and none of the Issuer or the Trustee will recognize any such transfer) if, after giving effect to such transfer, such Class Q Combination Note would be held by a Benefit Plan Investor (including, without limitation, an insurance company general account). Accordingly, it understands that an investor in the Class Q Combination Notes must be prepared to bear the economic risk of the investment for an indefinite period of time. "Benefit Plan Investor" is defined in Section 3(42) of ERISA to mean (a) any "employee benefit plan" (as defined in Section 3(3) of ERISA) that is subject to the fiduciary responsibility requirements of Title I of ERISA (b) any "plan" to which Section 4975 of the Code applies and (c) any entity whose underlying assets include plan assets by reason of such an employee benefit plan's or plan's investment in such entity.
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(xvii) (vi) It understands that the Indenture permits the Issuer to demand that (x) any Holder of Rule 144A Global Notes who is determined not to be both a QIB and a QP at the time of acquisition of such Notes, (y) any Holder of Certificated Notes representing Secured Notes or Class Q Combination Notes who is determined not to be both a QIB or an Accredited Investor and a QP at the time of acquisition of such Secured Notes or Class Q Combination Notes, to sell the Secured Notes or Class Q Combination Notes (A) to a Person who will take delivery in the form of an interest in a Rule 144A Global Note and who is both a QIB and a QP in a transaction meeting the requirements of Rule 144A, (B) to a Person who will take delivery in the form of a Certificated Note and who is both a QIB or an Accredited Investor and a QP in a transaction meeting the requirements of an applicable exemption from the registration requirements of the Securities Act or (C) to a Person who will take delivery in the form of an interest in a Temporary Regulation S Global Note or Regulation S Global Note and who is not a U.S. Person in a transaction meeting the requirements of Regulation S and, if the Holder does not comply with such demand within 30 days thereof, the Issuer may sell such Holder's interest in the Secured Note or Class Q Combination Note on such terms as the Issuer may choose. (xviii) (vii) It acknowledges that it is its intent and that it understands it is the intent of the Issuer that, for purposes of United States Federal income, state and local income and franchise tax and any other income taxes, the Issuer will be treated as a corporation, the Secured Notes will be treated as indebtedness of the Issuer, and the Income Notes will be treated as equity in the Issuer; it agrees to such treatment and agrees to take no action inconsistent with such treatment. (xix) (viii) It is aware that, except in the case of Certificated Notes and as otherwise provided in the Indenture, the Notes being sold to it will be represented by one or more Rule 144A Global Notes, and that beneficial interests therein may be held only through DTC or one of its nominees, as applicable. (xx) (ix) It agrees that it will not offer or sell, transfer, assign, or otherwise dispose of any Secured Notes or Class Q Combination Notes or any interest therein except (x) pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act and any applicable state securities laws or the applicable laws of any other jurisdiction and (y) in accordance with the provisions of the Indenture, to which provisions it agrees it is subject. (xxi) (x) It understands that the Co-Issuers, the Trustee, the Initial Purchaser, the Placement Agent, the Manager, their respective Affiliates and their counsel will rely upon the accuracy and truth of the foregoing representations, and it hereby consents to such reliance. (xxii) (xi) It will provide notice to each Person to whom it proposes to transfer any interest in the Secured Notes or Class Q Combination Notes of the transfer restrictions and representations set forth in the Indenture, including the Exhibits referenced therein. (xxiii) (xii) If it is acquiring the Secured Notes or Class Q Combination Notes from an existing Holder, it has satisfied and will satisfy all applicable registration and other requirements of the FRB in connection with its acquisition of the Secured Notes or Class Q Combination Notes. Initial Investors and Transferees of Interests in Regulation S Global Notes Each initial investor in, and subsequent transferee of, Secured Notes or Class Q Combination Notes represented by an interest in a Temporary Regulation S Global Note or a Regulation S Global Note will be deemed to have made the representations set forth in clauses (ii), (iii), (iv), (v), (vii), (ix), (x) and (xi) above under "Purchase and Transfer RestrictionsInitial Investors and Transferees of Interests in Rule 144A Global Notes and/or Certificated Notes" and will be deemed to have further represented and agreed as follows: (xxiv) (i) It is aware that the sale of Secured Notes or Class Q Combination Notes to it is being made in reliance on the exemption from registration provided by Regulation S and understands that the Secured Notes or Class Q Combination Notes offered in reliance on Regulation S will bear the legend set forth above and be represented by one or more Temporary Regulation S Global Notes or Regulation S Global Notes. The Secured Notes or Class Q Combination Notes so represented may not at any time be
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held by or on behalf of U.S. Persons as defined in Regulation S. The purchaser and each beneficial owner of the Secured Notes or Class Q Combination Notes that it holds is not, and will not be, a U.S. Person as defined in Regulation S or a U.S. resident within the meaning of the Investment Company Act, and its purchase of the Secured Notes or Class Q Combination Notes will comply with all applicable laws in any jurisdiction in which it resides or is located. (xxv) (ii) Such beneficial owner, if it is not a "U.S. person" as defined in Section 7701(a)(30) of the Code, is not acquiring any Secured Note or Class Q Combination Note as part of a plan to reduce, avoid or evade United States Federal income taxes owed, owing or potentially owed or owing and further, if it is acquiring, directly or in conjunction with affiliates, more than 33% of the aggregate outstanding amount of the Non-Co-Issued Notes it is not an Affected Bank. "Affected Bank" means a "bank" for purposes of Section 881 of the Code (including an entity controlled by such bank or acting on behalf of such bank) where such bank neither (x) meets the definition of a U.S. person (under Section 7701(a)(30) of the Code nor (y) is entitled to the benefits of an income tax treaty with the United States under which withholding taxes on interest payments made by obligors resident in the United States to such bank are reduced to 0%. (xxvi) (iii) The purchaser understands that the Indenture permits the Issuer to demand that any Holder of Temporary Regulation S Global Notes or Regulation S Global Notes who is determined to be a U.S. Person to sell the Secured Notes or Class Q Combination Notes (A) to a Person who is not a U.S. Person in a transaction meeting the requirements of Regulation S or (B) to a Person who will take delivery of the Holder's Temporary Regulation S Global Notes or Regulation S Global Notes, as applicable, in the form of (1) an interest in a Rule 144A Global Note, who is both a QIB and a QP or (2) a Certificated Note, who is both a QIB or an Accredited Investor and a QP, in each case in a transaction meeting the requirements of Rule 144A or another applicable exemption from the registration requirements of the Securities Act and, if the Holder does not comply with such demand within 30 days thereof, the Issuer may sell such Holder's interest in the Secured Note or Class Q Combination Note on such terms as the Issuer may choose. (xxvii) (iv) It is aware that, except as otherwise provided in the Indenture, the Secured Notes or Class Q Combination Notes being sold to it will be represented by one or more Temporary Regulation S Global Notes or Regulation S Global Notes, and that beneficial interests therein may be held only through Euroclear and Clearstream. (xxviii) (v) A Holder of a beneficial interest in a Temporary Regulation S Global Note must provide Euroclear or Clearstream or the participant organization through which it holds such interest, as the case may be, with a certificate certifying that the beneficial owner of the interest in the Temporary Regulation S Global Note is a non-U.S. Person, and Euroclear or Clearstream, as the case may be, must provide to the Paying Agent a certificate to such effect, prior to (A) the payment of interest or principal with respect to such Holder's beneficial interest in the Temporary Regulation S Global Note and (B) any exchange of such beneficial interest for a beneficial interest in a Regulation S Global Note. (xxix) (vi) The transferee and each beneficial owner of the Secured Notes or Class Q Combination Notes does not have its principal place of business in any Federal Reserve District of the FRB, or it has satisfied and will satisfy all applicable registration and other requirements of the FRB in connection with its acquisition of the Notes. Income Notes Legend Unless determined otherwise by the Issuer in accordance with applicable law and so long as the Income Notes are Outstanding, the certificates in respect of the Income Notes will bear a legend substantially set forth below: THE INCOME NOTES REPRESENTED HEREBY HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE
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"SECURITIES ACT"), ANY STATE SECURITIES LAWS IN THE UNITED STATES OR THE SECURITIES LAWS OF ANY OTHER JURISDICTION AND THE ISSUER HAS NOT BEEN REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENT COMPANY ACT"). THE HOLDER HEREOF, BY ITS ACCEPTANCE OF INCOME NOTES REPRESENTED HEREBY, REPRESENTS THAT IT HAS OBTAINED THESE INCOME NOTES IN A TRANSACTION IN COMPLIANCE WITH THE SECURITIES ACT, THE INVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWS OF THE UNITED STATES OR ANY OTHER JURISDICTION, AND THE RESTRICTIONS ON SALE AND TRANSFER SET FORTH IN THE INCOME NOTE PAYING AGENCY AGREEMENT AND IN THE AMENDED AND RESTATED ARTICLES OF ASSOCIATION AND THE AMENDED AND RESTATED MEMORANDUM OF ASSOCIATION (COLLECTIVELY, THE "ARTICLES") OF THE ISSUER. THE HOLDER HEREOF, BY ITS ACCEPTANCE OF THESE INCOME NOTES, FURTHER REPRESENTS, ACKNOWLEDGES AND AGREES THAT IT WILL NOT REOFFER, RESELL, PLEDGE OR OTHERWISE TRANSFER THESE INCOME NOTES (OR ANY INTEREST HEREIN) EXCEPT IN COMPLIANCE WITH THE SECURITIES ACT, THE INVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWS OF ANY JURISDICTION AND IN ACCORDANCE WITH THE CERTIFICATIONS AND OTHER REQUIREMENTS SPECIFIED IN THE INCOME NOTE PAYING AGENCY AGREEMENT AND THE ARTICLES REFERRED TO HEREIN (a) TO A TRANSFEREE (1) THAT IS A "QUALIFIED PURCHASER" FOR PURPOSES OF SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED PURCHASER, (2) THAT (i) WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER), (ii) HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS IF THE PURCHASER IS A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (iii) IS NOT A BROKER-DEALER THAT OWNS AND INVESTS ON A DISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS AND (iv) IS NOT A PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS, BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, AND IN A TRANSACTION THAT MAY BE EFFECTED WITHOUT LOSS OF ANY APPLICABLE INVESTMENT COMPANY ACT EXEMPTION AND (3) THAT (i) IS A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A "QUALIFIED INSTITUTIONAL BUYER" AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A "QUALIFIED INSTITUTIONAL BUYER" IN COMPLIANCE WITH RULE 144A UNDER THE SECURITIES ACT OR (ii) IS AN "ACCREDITED INVESTOR" AS DEFINED IN RULE 501(a) OF REGULATION D UNDER THE SECURITIES ACT (PROVIDED THAT IN THE CASE OF ANY TRANSFER PURSUANT TO THIS SUBCLAUSE (ii), THE TRANSFEROR OR THE TRANSFEREE HAS PROVIDED SUCH CERTIFICATIONS, LEGAL OPINIONS OR OTHER INFORMATION AS THE ISSUER, THE INCOME NOTE REGISTRAR AND THE INCOME NOTE PAYING AGENT MAY REASONABLY REQUIRE TO CONFIRM THAT SUCH TRANSFER IS BEING MADE PURSUANT TO AN EXEMPTION FROM, OR IN A TRANSACTION NOT SUBJECT TO, THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT) OR (b) TO A TRANSFEREE (1) THAT IS NOT A U.S. PERSON (AS DEFINED IN REGULATION S OF THE SECURITIES ACT) AND IS ACQUIRING THESE INCOME NOTES IN AN OFFSHORE TRANSACTION IN COMPLIANCE WITH RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES ACT AND (2) THAT IS NOT A U.S. RESIDENT WITHIN THE MEANING OF THE INVESTMENT COMPANY ACT, AND IN THE CASE OF BOTH CLAUSE (a) AND (b), (1) IN A PRINCIPAL AMOUNT OF NOT LESS THAN U.S.$250,000 FOR THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING AND (2) TO A TRANSFEREE THAT AGREES TO PROVIDE NOTICE TO ANY SUBSEQUENT TRANSFEREE OF THE TRANSFER RESTRICTIONS PROVIDED IN THIS LEGEND. EACH PURCHASER OR TRANSFEREE OF THESE INCOME NOTES WILL BE DEEMED TO HAVE MADE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN SECTION 1 OF ANNEX A TO THE INCOME NOTE PAYING AGENCY AGREEMENT. THESE INCOME NOTES ARE NOT TRANSFERABLE EXCEPT IN ACCORDANCE WITH THE RESTRICTIONS DESCRIBED HEREIN. ANY SALE OR TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO, AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE ISSUER, THE INCOME NOTE PAYING AGENT OR ANY INTERMEDIARY. EACH TRANSFEROR OF THESE INCOME NOTES AGREES TO PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INCOME NOTE PAYING AGENCY AGREEMENT TO
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THE TRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUER MAINTAINS THE RIGHT TO RESELL ANY INTEREST IN THESE INCOME NOTES PREVIOUSLY TRANSFERRED TO NON-PERMITTED HOLDERS (AS DEFINED IN THE INCOME NOTE PAYING AGENCY AGREEMENT) IN ACCORDANCE WITH AND SUBJECT TO THE TERMS OF THE INCOME NOTE PAYING AGENCY AGREEMENT. In addition, each Income Note that is a Certificated Note will bear an additional legend to the following effect unless the Issuer determines otherwise in compliance with applicable law: THE ACQUISITION OF THIS NOTE BY, OR ON BEHALF OF OR USING THE ASSETS OF, A BENEFIT PLAN INVESTOR (INCLUDING, WITHOUT LIMITATION, AN INSURANCE COMPANY GENERAL ACCOUNT) IS PROHIBITED. EACH PURCHASER OR TRANSFEREE OF THIS NOTE (OR ANY INTEREST HEREIN) WILL BE REQUIRED TO REPRESENT AND AGREE AT THE TIME OF ITS PURCHASE OR ACQUISITION AND THROUGHOUT THE PERIOD OF ITS HOLDING AND DISPOSITION OF THIS NOTE (OR ANY INTEREST HEREIN) THAT (1) IT IS NOT, AND IS NOT ACTING ON BEHALF OF OR USING THE ASSETS OF, A BENEFIT PLAN INVESTOR (INCLUDING, WITHOUT LIMITATION, AN INSURANCE COMPANY GENERAL ACCOUNT) AND (2) IF IT IS A GOVERNMENTAL, CHURCH, FOREIGN OR OTHER PLAN THAT IS SUBJECT TO ANY NON-U.S., FEDERAL, STATE OR LOCAL LAW THAT IS SUBSTANTIALLY SIMILAR TO THE PROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA") OR SECTION 4975 OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), ITS ACQUISITION, HOLDING AND DISPOSITION OF THIS NOTE (OR ANY INTEREST HEREIN) WILL NOT CONSTITUTE OR RESULT IN A VIOLATION OF ANY SUCH SUBSTANTIALLY SIMILAR LAW. NO TRANSFER OF THIS NOTE (OR ANY INTEREST HEREIN) MAY BE MADE (AND NEITHER THE ISSUER, THE INCOME NOTE PAYING AGENT NOR THE INCOME NOTE REGISTRAR WILL RECOGNIZE ANY SUCH TRANSFER) IF, AFTER GIVING EFFECT TO SUCH TRANSFER, THIS NOTE (OR ANY INTEREST HEREIN) WOULD BE HELD BY A BENEFIT PLAN INVESTOR (INCLUDING, WITHOUT LIMITATION, AN INSURANCE COMPANY GENERAL ACCOUNT). ACCORDINGLY, AN INVESTOR IN THIS NOTE MUST BE PREPARED TO BEAR THE ECONOMIC RISK OF THE INVESTMENT FOR AN INDEFINITE PERIOD OF TIME. "BENEFIT PLAN INVESTOR" IS DEFINED IN SECTION 3(42) OF ERISA TO MEAN (I) ANY "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA) THAT IS SUBJECT TO THE FIDUCIARY RESPONSIBILITY PROVISIONS OF TITLE I OF ERISA, (II) ANY "PLAN" TO WHICH SECTION 4975 OF THE CODE APPLIES AND (III) ANY ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCH ENTITY. In addition, each Income Note represented by a Global Note will bear an additional legend to the following effect unless the Issuer determines otherwise in compliance with applicable law: THE ACQUISITION OF THIS NOTE BY, OR ON BEHALF OF OR USING THE ASSETS OF, A BENEFIT PLAN INVESTOR (INCLUDING, WITHOUT LIMITATION, AN INSURANCE COMPANY GENERAL ACCOUNT) IS PROHIBITED. EACH PURCHASER OR TRANSFEREE OF THIS NOTE (OR ANY INTEREST HEREIN) WILL BE DEEMED TO HAVE REPRESENTED AND AGREED AT THE TIME OF ITS PURCHASE OR ACQUISITION AND THROUGHOUT THE PERIOD OF ITS HOLDING AND DISPOSITION OF THIS NOTE (OR ANY INTEREST HEREIN) THAT IT (1) IS NOT, AND IS NOT ACTING ON BEHALF OF OR USING THE ASSETS OF, A BENEFIT PLAN INVESTOR (INCLUDING, WITHOUT LIMITATION, AN INSURANCE COMPANY GENERAL ACCOUNT) AND (2) IF IT IS A GOVERNMENTAL, CHURCH, NON-U.S. OR OTHER PLAN THAT IS SUBJECT TO ANY NON-U.S., FEDERAL, STATE OR LOCAL LAW THAT IS SUBSTANTIALLY SIMILAR TO THE PROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA") OR SECTION 4975 OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), ITS ACQUISITION, HOLDING AND DISPOSITION OF THIS NOTE (OR ANY INTEREST HEREIN) WILL NOT CONSTITUTE OR RESULT IN A VIOLATION OF ANY SUCH SUBSTANTIALLY SIMILAR LAW. NO TRANSFER OF THIS NOTE (OR ANY INTEREST HEREIN) MAY BE MADE (AND NEITHER THE ISSUER, THE INCOME NOTE PAYING AGENT NOR THE INCOME NOTE REGISTRAR WILL RECOGNIZE ANY
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SUCH TRANSFER) IF, AFTER GIVING EFFECT TO SUCH TRANSFER, THIS NOTE (OR ANY INTEREST HEREIN) WOULD BE HELD BY A BENEFIT PLAN INVESTOR (INCLUDING, WITHOUT LIMITATION, AN INSURANCE COMPANY GENERAL ACCOUNT). ACCORDINGLY, AN INVESTOR IN THIS NOTE MUST BE PREPARED TO BEAR THE ECONOMIC RISK OF THE INVESTMENT FOR AN INDEFINITE PERIOD OF TIME. "BENEFIT PLAN INVESTOR" IS DEFINED IN SECTION 3(42) OF ERISA TO MEAN (I) ANY "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA) THAT IS SUBJECT TO THE FIDUCIARY RESPONSIBILITY PROVISIONS OF TITLE I OF ERISA, (II) ANY "PLAN" TO WHICH SECTION 4975 OF THE CODE APPLIES AND (III) ANY ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCH ENTITY. Initial Purchasers and Transferees of Income Notes Each initial investor in, and subsequent transferee of, (i) the Income Notes that are Certificated Notes will be required to provide to the Issuer and the Income Note Paying Agent in connection with any transfer of such Income Notes a written certification substantially in the form provided in the Income Note Paying Agency Agreement and (ii) the Income Notes that are Global Notes will be deemed to have represented and agreed, the following representations: (xxx) (i) It is (a) a QP and a QIB purchasing for its own account or for the accounts of one or more QPs who are QIBs for which it is acting as fiduciary or agent with sole investment discretion and is acquiring the Income Notes in reliance on the exemption from Securities Act registration provided by Rule 144A thereunder, (b) a QP and an Accredited Investor purchasing for its own account (provided that in the case of any transfer pursuant to this subclause (b), the transferor or the transferee has provided an opinion of counsel to each of the Income Note Paying Agent and the Issuer that such transfer may be made pursuant to an exemption from registration under the Securities Act) or (c) a Non-U.S. Person who is acquiring the Income Notes in an offshore transaction in accordance with Regulation S. In addition, it represents and warrants that it (1) was not formed for the purpose of investing in the Issuer (except when each beneficial owner of the purchaser is a QP), (2) has received the necessary consent from its beneficial owners if the purchaser is a private investment company formed before April 30, 1996, (3) is not a broker-dealer that owns and invests on a discretionary basis less than U.S.$25,000,000 in securities of unaffiliated issuers, (4) is not a pension, profit sharing or other retirement trust fund or plan in which the partners, beneficiaries or participants, as applicable, may designate the particular investments to be made, (5) will provide notice to any subsequent transferee of the transfer restrictions provided in the legend, (6) will hold and transfer a principal amount of not less than U.S.$250,000 for it or for each account for which it is acting and (7) will provide the Issuer from time to time such information as it may reasonably request in order to ascertain compliance with this paragraph (i). (xxxi) (ii) It understands that the Income Notes have been offered only in a transaction not involving any public offering in the United States within the meaning of the Securities Act, the Income 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 Income Notes, such Income Notes may be offered, resold, pledged or otherwise transferred only in accordance with the provisions of the Income Note Paying Agency Agreement and the legend on such Income Notes. It acknowledges that no representation is made as to the availability of any exemption under the Securities Act or any state securities laws for resale of the Income Notes. (xxxii) (iii) It understands that an investment in the Income Notes involves certain risks, including the risk of loss of a substantial part of its investment under certain circumstances. It has had access to such financial and other information concerning the Issuer and the Income Notes as it deemed necessary or appropriate in order to make an informed investment decision with respect to its acquisition of the Income Notes, including an opportunity to ask questions of and request information from the Issuer. (xxxiii) (iv) In connection with the purchase of the Income Notes (provided that no such representations are made with respect to the Manager or by any Affiliate of the Manager or any account
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advised or managed by the Manager): (a) none of the Co-Issuers is acting as a fiduciary or financial or investment advisor for it; (b) it is not relying (for purposes of making any investment decision or otherwise) upon any advice, counsel or representations (whether written or oral) of the Issuer, the Manager or the Initial Purchaser and the Placement Agent or any of their agents other than any statements in a current offering circular for such Income Notes and any representations expressly set forth in a written agreement with such party; (c) it has consulted with its own legal, regulatory, tax, business, investment, financial and accounting advisers to the extent it has deemed necessary and has made its own investment decisions based upon its own judgment and upon any advice from such advisers as it has deemed necessary and not upon any view expressed by the Issuer, the Manager or the Initial Purchaser and the Placement Agent; (d) its purchase of the Income Notes will comply with all applicable laws in any jurisdiction in which it resides or is located; (e) it is acquiring the Income 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; (f) it has made investments prior to the date hereof and was not formed solely for the purpose of investing in the Income Notes; (g) it is not a (1) partnership, (2) common trust fund or (3) 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; (h) it may not hold any Income Notes for the benefit of any other Person, it will at all times be the sole beneficial owner thereof for purposes of the Investment Company Act and all other purposes and it will not sell participation interests in the Income Notes or enter into any other arrangement pursuant to which any other Person will be entitled to a beneficial interest in the distributions on the Income Notes; (i) all Notes and other investment securities (together with any other securities of the Co-Issuers) purchased and held directly or indirectly by such beneficial owner have a value in the aggregate of no more than 40% of its total assets or capital (exclusive of government securities and cash items) on an unconsolidated basis; and (j) it is a sophisticated investor and is purchasing the Income 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. (xxxiv) (v) For Income Notes which are Certificated Notes, it has made the representations, warranties and agreements required by the applicable purchase agreement or applicable transfer certificate. (xxxv) (vi) (1) It is not, and is not acting on behalf of, or using the assets of a Benefit Plan Investor (including, without limitation, an insurance company general account) and (2) if it is a governmental, church, foreign or other plan that is subject to any non-U.S., Federal, state or local law that is substantially similar to the prohibited transaction provisions of Section 406 of ERISA or Section 4975 of the Code, its acquisition, holding and disposition of such Note (or any interest therein) will not constitute or result in a violation of any such substantially similar law. It understands that no transfer of any Income Notes may be made (and none of the Issuer or the Trustee will recognize any such transfer) if, after giving effect to such transfer, such Income Note would be held by a Benefit Plan Investor (including, without limitation, an insurance company general account). Accordingly, it understands that an investor in the Income Notes must be prepared to bear the economic risk of the investment for an indefinite period of time. "Benefit Plan Investor" is defined in Section 3(42) of ERISA to mean (a) any "employee benefit plan" (as defined in Section 3(3) of ERISA) that is subject to the fiduciary responsibility requirements of Title I of ERISA (b) any "plan" to which Section 4975 of the Code applies and (c) any entity whose underlying assets include plan assets by reason of such an employee benefit plan's or plan's investment in such entity. (xxxvi) (vii) It acknowledges that it is its intent and that it understands it is the intent of the Issuer that, for purposes of United States Federal income, state and local income and franchise tax and any other income taxes, the Issuer will be treated as a corporation, the Secured Notes will be treated as indebtedness of the Issuer, and the Income Notes will be treated as equity in the Issuer; it agrees to such treatment and agrees to take no action inconsistent with such treatment. (xxxvii) (viii) It understands that the Co-Issuers, the Income Note Paying Agent, the Initial Purchaser, the Placement Agent, the Manager and their counsel will rely upon the accuracy and truth of the foregoing representations, and it hereby consents to such reliance. (xxxviii) (ix) It understands that the Income Note Paying Agency Agreement permits the Issuer to demand that any Holder of Income Notes who is determined not to be either (A) both (x) a QIB or an Accredited Investor and (y) a QP or (B) a Person who is not a U.S. Person at the time of acquisition of
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such Income Notes to sell the Income Notes (a) to a person who is both (I) a QIB or an Accredited Investor and (II) a QP in a transaction meeting the requirements of Rule 144A or another applicable exemption from the registration requirements of the Securities Act or (b) to a person who is not a U.S. Person in a transaction meeting the requirements of Regulation S and, if the Holder does not comply with such demand within 30 days thereof, the Issuer may sell such Holder's Income Notes on such terms as the Issuer may choose. (xxxix) (x) It agrees that it will not offer or sell, transfer, assign, or otherwise dispose of any Income Notes or any interest therein except (i) pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act and any applicable state securities laws or the applicable laws of any other jurisdiction and (ii) in accordance with the provisions of the Income Note Paying Agency Agreement and the Income Notes. (xl) (xi) The purchaser, if it is not a "U.S. person" as defined in Section 7701(a)(30) of the Code, is not acquiring any Income Notes as part of a plan to reduce, avoid or evade United States Federal income taxes owed, owing or potentially owed or owing and further, if it is acquiring, directly or in conjunction with affiliates, more than 33% of the aggregate outstanding amount of the Income Notes it is not an Affected Bank. "Affected Bank" means a "bank" for purposes of Section 881 of the Code (including an entity controlled by such bank or acting on behalf of such bank) where such bank neither (x) meets the definition of a U.S. person (under Section 7701(a)(30) of the Code nor (y) is entitled to the benefits of an income tax treaty with the United States under which withholding taxes on interest payments made by obligors resident in the United States to such bank are reduced to 0%. (xli) (xii) It acknowledges that the Issuer is not authorized to engage in activities that could cause it to constitute a finance or lending business for United States Federal income tax purposes and agrees that it will report its investment in the Income Notes in a manner consistent with such limitation, and in particular, will not treat the Issuer as an "eligible foreign corporation" for purposes of Section 954(h) of the Code.

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CERTAIN TAX CONSIDERATIONS The following is a general discussion based upon present law of certain United States Federal income tax considerations for prospective purchasers of the Notes. The discussion addresses only Persons that purchase Notes in the original offering, hold the Notes as capital assets, and use the United States dollar as their functional currency. The discussion does not consider the circumstances of particular purchasers, some of which (such as financial institutions, insurance companies, regulated investment companies, tax exempt organizations, dealers, traders who elect to mark their investment to market and Persons holding the Notes as part of a hedge, straddle, conversion, constructive sale or integrated transaction) are subject to special tax regimes. The discussion does not address any state, local or foreign taxes or the United States Federal alternative minimum tax. Special rules also apply to individuals, certain of which may not be discussed below. EACH PROSPECTIVE PURCHASER IS URGED TO CONSULT ITS OWN TAX ADVISOR ABOUT THE TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES UNDER THE FEDERAL, STATE AND LOCAL LAWS OF THE UNITED STATES AND THE LAWS OF THE CAYMAN ISLANDS AND ANY OTHER JURISDICTION WHERE THE PURCHASER MAY BE SUBJECT TO TAXATION. TO ENSURE COMPLIANCE WITH INTERNAL REVENUE SERVICE CIRCULAR 230, HOLDERS ARE HEREBY NOTIFIED THAT: (A) ANY DISCUSSION OF FEDERAL TAX ISSUES IN THIS OFFERING CIRCULAR IS NOT INTENDED OR WRITTEN BY US TO BE RELIED UPON, AND CANNOT BE RELIED UPON BY HOLDERS FOR THE PURPOSE OF AVOIDING PENALTIES THAT MAY BE IMPOSED ON HOLDERS UNDER THE INTERNAL REVENUE CODE; (B) SUCH DISCUSSION IS WRITTEN IN CONNECTION WITH THE PROMOTION OR MARKETING OF THE TRANSACTIONS OR MATTERS ADDRESSED HEREIN; AND (C) HOLDERS SHOULD SEEK ADVICE BASED ON THEIR PARTICULAR CIRCUMSTANCES FROM AN INDEPENDENT TAX ADVISOR. For purposes of this discussion, "U.S. Holder" means the beneficial owner of a Note that is (i) a citizen or resident of the United States, (ii) a corporation organized in or under the laws of the United States, any State thereof or the District of Columbia, (iii) a trust subject to the control of one or more U.S. persons and the primary supervision of a United States court or (iv) an estate the income of which is subject to United States Federal income taxation regardless of its source. "Non-U.S. Holder" means a Person other than a U.S. Holder. The treatment of partners in a partnership that owns Notes may depend on the status of such partners and the status and activities of the partnership and such Persons should consult their own tax advisors about the consequences of an investment in the Notes. United States Federal Income Tax Treatment of the Issuer The Issuer will adopt certain operating procedures designed to reduce the risk that the Issuer will be deemed to be engaged in the conduct of a trade or business in the United States. The Issuer will receive an opinion of Milbank, Tweed, Hadley & McCloy LLP subject to customary assumptions and qualifications to the effect that, assuming the Issuer and Manager comply with the Issuer's operating procedures, the Issuer will not be engaged in a trade or business in the United States. As long as the Issuer is not engaged in a United States trade or business, the Issuer will not be subject to United States Federal income tax on its net income. However, an opinion of counsel is not binding on the IRS or any court and there can be no assurance that positions contrary to those stated in such opinions may not be asserted successfully by the IRS. In particular, prospective investors should note that the U.S. federal income tax treatment of derivative contracts in the form of credit default swaps is unclear. The IRS has announced that it is reviewing the treatment of such derivative contracts, and it is possible that, as a result of such review, the IRS could adopt a tax characterization that results in parties entering into such contracts, including the Issuer, being treated as engaged in a trade or business within the United States. If the Issuer were found to be engaged in a United States trade or business, it could be subject to substantial United States Federal income taxes the imposition of which would materially impair its ability to pay interest on and principal of the Secured Notes and make distributions on the Income Notes. In addition, if the Issuer is found to be engaged in a United States trade or business, payments in respect of the Secured Notes may be treated as United States source income and could be subject to withholding unless an applicable exemption is available. The Issuer generally expects that substantially all of its income and gain from the Eligible Collateral Debt Securities, the Eligible Investments, the Cashflow Swap Agreement and the Hedge Agreements will be exempt from United States withholding tax. The extent to which other source country withholding taxes may apply to the Issuer's
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income will depend on the actual composition of its assets. There can be no assurance that payments on the Eligible Collateral Debt Securities, the Eligible Investments, the Cashflow Swap Agreement or the Hedge Agreements will not become subject to withholding as a result of any change in any applicable law, treaty, rule or regulation or contrary interpretation thereof or other causes. In particular, as noted above, the IRS has announced that it is reviewing the treatment of derivative contracts in the form of credit default swaps, and it is possible that, as a result of such review, the IRS could adopt a tax characterization that results in parties entering into such contracts, including the Issuer, being subject to excise or withholding tax in respect of payments on such derivatives contracts. The imposition of unanticipated withholding taxes could materially impair the Issuer's ability to make payments on the Secured Notes and make distributions on the Income Notes. United States Federal Income Taxation of the Holders U.S. Holders of Secured Notes. The Secured Notes will be treated as debt for United States Federal income tax purposes. The Internal Revenue Service (the "IRS") may, however, take the position that one or more classes of Secured Notes represent equity interests in the Issuer for United States Federal income tax purposes. If that position were sustained, a U.S. Holder of a Non-Co-Issued Note that is a Secured Note generally would be treated like a holder of Income Notes. Each Holder of Secured Notes should discuss with its own tax advisor whether it is possible or advisable to make a protective election to treat the Issuer as a qualified electing fund (as discussed more fully below). The Issuer, and not the Co-Issuer, will be treated as having issued the Secured Notes for United States Federal income tax purposes. Subject to the discussion of original issue discount below, interest paid on Secured Notes treated as debt generally will be includible in the gross income of a U.S. Holder in accordance with its regular method of tax accounting. Interest on such a Secured Note will be treated as ordinary income from sources outside the United States. In general, if the issue price of a Secured Note (the first price at which a substantial amount of the relevant class of Secured Notes is sold to investors) is less than its principal amount by more than a statutory de minimis amount, the Secured Note will be considered to have original issue discount ("OID"). If a U.S. Holder acquires a Secured Note with OID, then regardless of such Holder's method of accounting, the U.S. Holder will be required to include such OID in income on a yield to maturity basis whether or not it receives a cash payment on any Payment Date. Holders of any Junior Classes of Secured Notes Outstanding will not be permitted to exercise typical creditor remedies in the event of a failure to pay interest on such Notes when due, such as the right to accelerate such Notes, and (except in the case of the Class S Notes and the Class A Notes) nonpayment of interest on such Junior Classes of Notes will not constitute an Event of Default while a more Senior Class of Secured Notes is Outstanding. Interest payable on a Class of Secured Notes that effectively permits interest to be deferred without legal remedy to compel payment will be treated as OID if there is more than a remote likelihood, within the meaning of the applicable regulations, that the Issuer will defer interest payments. A U.S. Holder must include OID in ordinary income on a constant yield basis, whether or not it receives a cash payment on any payment date. The Issuer has determined that the likelihood of interest being deferred on the Secured Notes that are not OID Notes is, solely for this purpose of the applicable regulations, remote. If the Issuer defers an interest payment on the Secured Notes that are not OID Notes, the Holder must thereafter accrue OID on the principal amount of undistributed OID accrued on that Class of Secured Notes. However, in the case of the OID Notes, the Issuer is taking the position that, solely for this purpose of the applicable regulations, there is more than a remote likelihood that interest on such Class of Notes will be deferred, and therefore such Notes will likely be treated for United States Federal income tax purposes as having OID. A U.S. Holder of an OID Note therefore will be required to include such OID in ordinary income on a constant yield basis. The Issuer intends to treat the OID Notes as subject to a special rule for debt instruments with OID that have a fixed yield regardless of the timing of principal payments. Based on these rules, the amount of OID accrued on an OID Note would be equal to the interest accrued on the note for such period. However, it is also possible that the OID Notes that permit the deferral of interest would be subject to an income accrual method analogous to the methods applicable to debt instruments whose payments are subject to acceleration (under section 1272(a)(6) of the Code). Alternatively, it is also possible that such OID Notes could be treated as subject to special rules applicable to contingent payment debt instruments. In either case, the timing of income and the character of gain or loss on those
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OID Notes could be different from those described herein. A U.S. Holder of OID Notes that permit deferral of interest should consult its own tax advisor about the possible application of these rules. A U.S. Holder generally will recognize a gain or loss on the disposition of a Secured Note in an amount equal to the difference between the amount realized (other than with respect to accrued and unpaid interest, which will be treated as a payment of interest) and the holder's adjusted tax basis in the Secured Note. The gain or loss generally will be capital gain or loss. Gain and loss (other than loss attributable to accrued but unpaid interest) recognized by a U.S. Holder generally will be treated as being from sources within the United States. U.S. Holders of Income Notes. Income Notes will likely be treated as equity. Subject to the passive foreign investment company rules and the controlled foreign corporation rules discussed below, a U.S. Holder of Income Notes generally must treat distributions received with respect to such Income Notes as dividend income. These distributions will not be eligible for the corporate dividends received deduction or the reduced tax rate applicable to the qualified dividend income of individuals. For purposes of determining a U.S. Holder's foreign tax credit limitation, dividends received from a foreign corporation generally are treated as income from sources outside the United States. If U.S. Holders together hold at least half (by vote or value) of the Income Notes and other interests treated as equity in the Issuer, however, a percentage of the dividend income equal to the proportion of the Issuer's income that comes from United States sources will be treated as income from sources within the United States. Except as otherwise required by the rules discussed below, gain or loss on the sale or other disposition of the Income Notes will be capital gain or loss. Gain and loss realized by a U.S. Holder generally will be from United States sources. The Issuer will be a passive foreign investment company (a "PFIC") for United States Federal income tax purposes. A U.S. Holder of Income Notes therefore will be subject to additional tax on excess distributions received with respect to the Income Notes or gains realized on the disposition of such Income Notes. A U.S. Holder will have an excess distribution if distributions during any tax year exceed 125% of the average amount received during the three preceding tax years (or, if shorter, the U.S. Holder's holding period). A U.S. Holder may realize gain on an Income Note not only through a sale or other disposition, but also by pledging the Income Note as security for a loan or entering into certain constructive disposition transactions. To compute the tax on an excess distribution or any gain, (i) the excess distribution or gain is allocated ratably over the U.S. Holder's holding period, (ii) the amount allocated to the current tax year is taxed as ordinary income and (iii) the amount allocated to each previous tax year is taxed at the highest applicable marginal rate in effect for that year and an interest charge (which for non-corporate holders may be non-deductible) is imposed to recover the deemed benefit from the deferred payment of the tax. These rules effectively prevent a U.S. Holder from treating the gain realized on the disposition of the Income Notes as capital gain. A U.S. Holder of Income Notes may wish to avoid the PFIC treatment just described by electing to treat the Issuer as a QEF. If the U.S. Holder makes a QEF election, the holder will be required to include in gross income each year (i) as ordinary income, its pro rata share of the Issuer's earnings and profits in excess of net capital gains and (ii) as long-term capital gains, its pro rata share of the Issuer's net capital gains, in each case, whether or not the Issuer actually makes any distribution. The amounts recognized by a U.S. Holder making a QEF election generally are treated as income from sources outside the United States. If, however, U.S. Holders hold at least half (by vote or value) of the Income Notes and other interests treated as equity in the Issuer, a percentage of those amounts equal to the proportion of its income that the Issuer receives from United States sources will be United States source income for the U.S. Holders for purposes of computing a U.S. Holder's foreign tax credit limitation. Because such amounts are subject to tax currently as income of the U.S. Holder, the amounts recognized will not be subject to tax when they are distributed to a U.S. Holder. An electing U.S. Holder's basis in the Income Notes will be increased by any amounts included in income currently as described above and decreased by any amounts not subjected to tax at the time of distribution. The Issuer will endeavor to provide U.S. Holders on request with the information they will need to make a QEF election but cannot provide any absolute assurance that it will be able to do so in a timely manner. As discussed above, a U.S. Holder that makes a QEF election will be required to include in income currently its pro rata share of the Issuer's earnings and profits (computed based on United States Federal income tax principles) whether or not the Issuer actually distributes earnings and may therefore recognize taxable income in excess of cash it actually receives. For example, the use of investment proceeds to fund reserves or pay down debt could cause a U.S. Holder to recognize income in excess of amounts it actually receives. In addition, the Issuer's
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income from an investment or other transaction for United States Federal income tax purposes may exceed the amount it actually receives. In particular, the manner in which income is required to be taken into account with respect to credit default swaps and other derivatives for such purposes is not entirely clear and may in many circumstances not correspond to cash payments received. The U.S. Holder may be able to elect to defer payment, subject to an interest charge for the deferral period (which for non-corporate holders may be non-deductible), of the tax on income recognized on account of the QEF election. Prospective purchasers should consult their tax advisors about the advisability of making the QEF election and deferred payment election. The Issuer also may be a controlled foreign corporation (a "CFC") if U.S. Holders that each own (directly, indirectly, or by attribution) at least 10% of the Income Notes and any other interests treated as voting equity in the Issuer (each such U.S. Holder, a "U.S. 10% Shareholder") together own more than half (by vote or value) of the Income Notes and any other interests treated as equity in the Issuer. If the Issuer is a CFC for at least 30 consecutive days during its taxable year, a U.S. Holder that is a U.S. 10% Shareholder on the last day of the Issuer's taxable year must recognize ordinary income equal to its pro rata share of the Issuer's earnings (including both ordinary earnings and capital gains) for the tax year, whether or not the Issuer makes a distribution. The income will be treated as income from sources within the United States to the extent derived by the Issuer from United States sources for purposes of computing a U.S. Holder's foreign tax credit limitation. Earnings subjected to tax currently as income of the U.S. Holder will not be taxed again when they are distributed to the U.S. Holder. A U.S. Holder's basis in its interest in the Issuer will increase by any amounts such Holder includes in income currently as described above and decrease by any amounts not subject to tax at the time of distribution. If the Issuer is a CFC, (i) the Issuer would incur United States withholding tax on interest received from a related U.S. Person and (ii) special reporting rules would apply to directors of the Issuer and certain other persons and (iii) certain other restrictions may apply. Subject to a special limitation in the case of individual U.S. Holders that have held the Income Notes for more than one year, gain from disposition of Income Notes recognized by a U.S. Holder that is or recently has been a U.S. 10% Shareholder will be treated as dividend income to the extent the Issuer has accumulated earnings and profits attributable to the Income Notes while it is held by that holder that have not previously been included in income. The relationship among the PFIC and CFC rules and the possible consequences of those rules for a particular U.S. Holder depend upon the circumstances of the Issuer and the U.S. Holder. If the Issuer is both a CFC and a PFIC, a U.S. Holder subject to the CFC rules will not be subject to the PFIC rules. Each prospective purchaser should consult its tax advisor about the possible application of the PFIC and CFC rules to its particular situation. U.S. Holders generally must report, with their tax return for the tax year that includes the Closing Date, certain information relating to their purchase of the Income Notes. A U.S. Holder may be required specifically to disclose any loss on the Income Notes on its tax return under regulations on tax shelter transactions. When the U.S. Holder holds 10% of the shares in a CFC or QEF, the U.S. Holder also must disclose any Issuer transactions reportable under those regulations, which require disclosure of certain types of transactions whether or not they were undertaken for tax reasons. The Issuer will endeavor to provide U.S. Holders of the Income Notes with the information about Issuer transactions reportable under those regulations. U.S. Holders are urged to consult their tax advisors about these and all other specific reporting requirements. Non-U.S. Holders. Provided that the Issuer is not treated as engaged in a United States trade or business, interest on a Secured Note paid to a Non-U.S. Holder and distributions on an Income Note to such a holder generally will not be subject to United States Federal income tax if the income is not effectively connected with the holder's conduct of a trade or business in the United States. Gain realized by a Non-U.S. Holder on the disposition of a Secured Note or Income Note generally will not be subject to United States Federal income tax unless (i) the gain is effectively connected with the holder's conduct of a United States trade or business or (ii) the holder is an individual present in the United States for at least 183 days during the taxable year of disposition and certain other conditions are met. Information Reporting and Backup Withholding Information reporting to the IRS may be required with respect to payments of principal or interest (including any OID) on the Secured Notes, distributions on the Income Notes and payments of proceeds of the disposition of Secured Notes or Income Notes to holders other than corporations and other exempt recipients. A "backup" withholding tax may apply to those payments that are subject to information reporting if the holder fails
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to provide certain required documentation to the payor. Non-U.S. Holders may be required to comply with certification procedures to establish that they are not U.S. Holders in order to avoid information reporting and backup withholding. Holders should consult their tax advisors about the procedures for obtaining an exemption from backup withholding. Amounts withheld under the backup withholding rules will be refunded or allowed as a credit against a holder's United States Federal income tax liabilities if the required information is furnished to the IRS. Treatment of the Class Q Combination Notes Although each will be evidenced by a single instrument, under United States Federal income tax principles, a strong likelihood exists that a U.S. Holder of Class Q Combination Notes will be treated as if such U.S. Holder directly owned the underlying separate classes of securities corresponding to the Components of such Class Q Combination Note. The Issuer and each U.S. Holder of a Class Q Combination Note, by acquiring such Class Q Combination Note or an interest therein, will agree to treat such Class Q Combination Note as consisting of separate classes of securities corresponding to the Components of such Class Q Combination Notes for United States Federal income tax purposes. In accordance with such treatment of the Class Q Combination Notes, in calculating its tax basis in each of the Components comprising a Class Q Combination Note, a U.S. Holder will allocate the purchase price paid for such Class Q Combination Note among the Components in proportion to their relative fair market values at the time of purchase. A similar principle will apply in determining the amount allocable to each Component upon a sale of a Class Q Combination Note. The exchange of a Class Q Combination Note for the separate underlying securities corresponding to each Component should not be a taxable event. A U.S. Holder of a Class Q Combination Note should review the relevant portions of this summary discussing the United States Federal income tax consequences of the purchase, ownership and disposition of the relevant classes of securities corresponding to the Components of the Class Q Combination Notes. Disclosure of Reportable Transactions and Maintenance of Participants List Under Treasury regulations, 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. federal tax return for such taxable year (and also file a copy of such form with the IRS's Office of Tax Shelter Analysis) and to retain certain documents related to the transaction. In addition, under these regulations, under certain circumstances, certain organizers and sellers of a "reportable transaction" will be required to maintain lists of participants in the transaction containing identifying information, retain certain documents related to the transaction, and furnish those lists and documents to the IRS upon request. 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 or it results in the claiming of a loss or losses for U.S. federal income tax purposes in excess of certain threshold amounts. Foreign, State and Local Taxes Holders of Notes may be liable for foreign, state and local taxes in the country, state, or locality in which they are resident or doing business. Since the tax laws of each country, state, and locality may differ, each prospective investor should consult its own tax counsel with respect to any taxes other than United States Federal income taxes that may be payable as a result of an investment in the Notes. Cayman Islands Tax Considerations The following is a general summary of Cayman Islands taxation in relation to the Notes. Under existing Cayman Islands laws: (xlii) (i) payments of principal and interest in respect of, or distributions on, the Notes will not be subject to taxation in the Cayman Islands and no withholding will be required on such payments to any Holder of a Secured Note and gains derived from the sale of Notes will not be subject to Cayman Islands income or corporation tax. The Cayman Islands currently have no income, corporation or capital gains tax and no estate duty, inheritance tax or gift tax; and
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(xliii) (ii) certificates evidencing the Notes, in registered form, to which title is not transferable by delivery, will not attract Cayman Islands stamp duty. However, an instrument transferring title to a Secured Note, if brought to or executed in the Cayman Islands, would be subject to Cayman Islands stamp duty. The Issuer has been incorporated under the Companies Law (2004 Revision) of the Cayman Islands as an exempted company and, as such, has obtained an undertaking from the Governor in Cabinet of the Cayman Islands substantially in the following form: "THE TAX CONCESSIONS LAW (1999 REVISION) UNDERTAKING AS TO TAX CONCESSIONS In accordance with Section 6 of the Tax Concessions Law (1999 Revision), the Governor in Cabinet undertakes with: Class V Funding III, Ltd. (the "Company") (b) (a) that no Law which is hereafter enacted in the Islands imposing any tax to be levied on profits, income, gains or appreciations will apply to the Company or its operations; and (c) (b) in addition, that no tax to be levied on profits, income, gains or appreciations or which is in the nature of estate duty or inheritance tax shall be payable: (ii) Company; or (i) on or in respect of the shares debentures or other obligations of the

(iii) (ii) by way of the withholding in whole or in part of any relevant payment as defined in Section 6(3) of the Tax Concessions Law (1999 Revision). These concessions shall be for a period of TWENTY years from the 6th day of February 2007. GOVERNOR IN CABINET" The Cayman Islands does not have an income tax treaty arrangement with the United States or any other country. German Tax Considerations The German Investment Tax Act (Investmentsteuergesetz) ("Investment Tax Act") applies (i) to "shares" (Investmentanteile) in investment funds held by German tax resident investors, (ii) to an investor holding shares in an investment fund as business assets of a German permanent establishment maintained in Germany or carried on through a permanent representative in Germany, or as business assets of a fixed base in Germany or (iii) if an investor physically presents shares in an investment fund at the office of a German credit institution or financial services institution (over-the-counter transaction (Tafelgeschft)) (collectively, "German Investors"). The Issuer believes that the Investment Tax Act should not be applicable to the Holders of the Notes. However, if any German Investor notifies the Issuer that it is subject to the Investment Tax Act, the Indenture and the Income Note Paying Agency Agreement, respectively, provide that the Issuer will agree, if the expense is not material, to comply with the Minimum Reporting Requirements for so-called "semi-transparent funds" for so long as such German Investor holds any Secured Notes or Income Notes, as applicable. The information contained in this section "German Tax Considerations" is not intended as tax advice and does not purport to describe the tax considerations that may be relevant to a prospective purchaser of the Notes. It is based upon German tax laws (including tax treaties) in effect and applied as of the date hereof, which are subject to change, potentially with retroactive effect.

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Prospective purchasers of the Notes are advised to consult their own tax advisors as to the possible application of the Investment Tax Act to the acquisition and holding of the Notes. THE PRECEDING DISCUSSION IS ONLY A SUMMARY OF CERTAIN OF THE TAX IMPLICATIONS OF AN INVESTMENT IN NOTES. PROSPECTIVE INVESTORS ARE URGED TO CONSULT WITH THEIR OWN TAX ADVISORS PRIOR TO INVESTING TO DETERMINE THE TAX IMPLICATIONS OF SUCH INVESTMENT IN LIGHT OF EACH SUCH INVESTOR'S PARTICULAR CIRCUMSTANCES.

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CERTAIN ERISA CONSIDERATIONS TO ENSURE COMPLIANCE WITH INTERNAL REVENUE SERVICE CIRCULAR 230, HOLDERS ARE HEREBY NOTIFIED THAT: (A) ANY DISCUSSION OF FEDERAL TAX ISSUES IN THIS OFFERING CIRCULAR IS NOT INTENDED OR WRITTEN BY US TO BE RELIED UPON, AND CANNOT BE RELIED UPON BY HOLDERS FOR THE PURPOSE OF AVOIDING PENALTIES THAT MAY BE IMPOSED ON HOLDERS UNDER THE INTERNAL REVENUE CODE; (B) SUCH DISCUSSION IS WRITTEN IN CONNECTION WITH THE PROMOTION OR MARKETING OF THE TRANSACTIONS OR MATTERS ADDRESSED HEREIN; AND (C) HOLDERS SHOULD SEEK ADVICE BASED ON THEIR PARTICULAR CIRCUMSTANCES FROM AN INDEPENDENT TAX ADVISOR. The United States Employee Retirement Income Security Act of 1974, as amended ("ERISA"), imposes certain requirements on "employee benefit plans" (as defined in Section 3(3) of ERISA) subject to the fiduciary responsibility provisions of Title I 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 requirements 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 any Notes it may purchase. Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the assets of an ERISA Plan (as well as those pension, profit-sharing and other retirement plans and accounts that are not subject to ERISA but which are subject to Section 4975 of the Code, such as individual retirement accounts, and by entities that are deemed to hold assets of any of the foregoing) and certain Persons (referred to as "parties in interest" for purposes of ERISA or "disqualified persons" for purposes of the Code (collectively, "Parties in Interest")) having certain relationships to such plans, unless a statutory or administrative exemption is applicable to the transaction. A Party in Interest who engages in a prohibited transaction may be subject to excise taxes and other penalties and liabilities under ERISA and the Code. Non-U.S. plans, governmental plans and certain church plans not subject to the fiduciary responsibility provisions of ERISA or the provisions of Section 4975 of the Code may nevertheless be subject to non-U.S., Federal, state or local laws that are substantially similar to the foregoing provisions of ERISA and the Code (any such law, a "Similar Law," and such plans, collectively with ERISA Plans and plans subject to Section 4975 of the Code, "Plans"). Fiduciaries of any such plans should consult with their counsel before purchasing any Notes. Section 3(42) of ERISA and a regulation promulgated by the United States Department of Labor at 29 C.F.R. Section 2510.3-101 (the "Plan Asset Regulation") describe what constitutes the assets of a Plan with respect to the Plan's investment in an entity for purposes of certain provisions of ERISA, including the fiduciary responsibility provisions of Title I of ERISA, and Section 4975 of the Code. Under the Plan Asset Regulation, if a Plan invests in an "equity interest" in 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 that equity participation in the entity by "benefit plan investors" (as defined in Section 3(42) of ERISA to be any employee benefit plan (as defined in Section 3(3) of ERISA) that is subject to the fiduciary responsibility provisions of Title I of ERISA, any plan to which Section 4975 of the Code applies and any entity whose underlying assets include plan assets by reason of such employee benefit plan's or plan's investment in the entity (each, a "Benefit Plan Investor")) is not "significant". Under the Plan Asset Regulation, equity participation by Benefit Plan Investors in an entity (including the Issuer) is significant if, immediately after the most recent acquisition of any equity interest in the entity, 25% or more of the value of any class of equity interests in the entity (excluding the value of any interests held by certain Persons, other than Benefit Plan Investors, having authority or control over the assets of the entity (such as the Manager) or providing investment advice for a direct or indirect fee with respect to such assets or any Affiliates of any such Person is held by Benefit Plan Investors.

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Although the issue is not free from doubt, the Co-Issuers believe that, at the time of their issuance, the Co-Issued Notes should not be considered to be "equity interests" in the Co-Issuers for purposes of the Plan Asset Regulation. However, the Class Q Combination Note and the Income Notes will constitute "equity interests" in the Issuer for purposes of the Plan Asset Regulation, and the Class Q Combination Note and the Income Notes will not constitute "publicly-traded securities" for purposes of the Plan Asset Regulation. In addition, the Issuer will not be registered under the Investment Company Act and it is not likely that the Issuer will qualify as an "operating company" for purposes of the Plan Asset Regulation. Therefore, if equity participation in the Issuer by Benefit Plan Investors is "significant" within the meaning of the Plan Asset Regulation, the assets of the Issuer would be considered to be the assets of any Plans that purchase or hold Class Q Combination Notes or Income Notes, and the Manager will be subject to the fiduciary responsibility provisions of ERISA and the prohibited transaction rules of ERISA and Section 4975 of the Code. Accordingly, the Class Q Combination Note and the Income Notes may not be acquired by, or on behalf of or using the assets of, a Benefit Plan Investor (including, without limitation, an insurance company general account). In this regard, each purchaser and transferee of a Class Q Combination Note or an Income Note that is a Certificated Note or any interest therein will be required to represent and agree in writing (or, in the case of the Class Q Combination Note or the Income Notes represented by Global Notes, will be deemed to have represented and agreed) at the time of its purchase or acquisition and throughout the period of its holding and disposition of such Notes that it is not, and is not acting on behalf of or using the assets of, a Benefit Plan Investor (including, without limitation, an insurance company general account) (the "Benefit Plan Investor Limitation"). Neither the Issuer, the Trustee nor the Income Note Paying Agent will register the transfer of a Class Q Combination Note or an Income Note if, after giving effect to such transfer, the Benefit Plan Investor Limitation set forth above is not satisfied. There can be no assurance that, despite the requirements noted above, Benefit Plan Investors will not own any of the outstanding Class Q Combination Notes, Income Notes or any other class of equity interest in the Issuer. In addition, each purchaser or transferee of a Class Q Combination Note or an Income Note that is a Certificated Note (or any interest therein) will be required to represent and agree in writing (or, in the case of Class Q Combination Notes or Income Notes represented by Global Notes, will be deemed to have represented and agreed) at the time of its purchase or acquisition and throughout the period of its holding and disposition of such Note that if it is governmental, church, non-U.S. or other plan that is subject to any non-U.S., Federal, state or local law that is substantially similar to the prohibited transaction provisions of Section 406 of ERISA or Section 4975 of the Code, its acquisition, holding and disposition of such Note (or any interest therein) will not constitute or result in a violation of any such substantially similar law. Additionally, even if the assets of the Issuer do not constitute Plan assets, prohibited transactions within the meaning of Section 406 of ERISA or Section 4975 of the Code may arise if Notes are acquired by a Plan with respect to which the Co-Issuers, the Manager, the Placement Agent or the Initial Purchaser, or any of their respective Affiliates, is a Party in Interest. Certain exemptions from the prohibited transaction provisions of Section 406 of ERISA and Section 4975 of the Code may be applicable, however, depending in part on the type of Plan fiduciary making the decision to acquire a Note and the circumstances under which such decision is made. Included among these exemptions are Prohibited Transaction Class Exemption ("PTCE") 96-23 (relating to transactions directed by certain "in-house asset managers"); PTCE 95-60 (relating to transactions involving insurance company general accounts); PTCE 91-38 (relating to investments by bank collective investment funds), PTCE 84-14 (relating to transactions effected by independent "qualified professional asset managers") and PTCE 90-1 (relating to investments by insurance company pooled separate accounts). There can be no assurance that any of these class exemptions or any other exemption will be available with respect to any particular transaction involving the Notes. Each purchaser or transferee of a Co-Issued Note (or any interest therein) will be deemed to have represented and agreed, on each day from the date on which such purchaser or transferee acquires such Note (or any interest therein) through and including the date on which such purchaser or transferee disposes of such Note (or any interest therein), that either (A) it is not, and is not acting on behalf of, or using the assets of, an employee benefit plan (as defined in Section 3(3) of ERISA) subject to the fiduciary responsibility provisions of Title I of ERISA or a plan subject to Section 4975 of the Code or an entity whose underlying assets include assets of any such employee benefit plan or plan or a governmental or other plan subject to any Similar Law or (B) its acquisition, holding (including, without limitation, the exercise of rights thereunder) and disposition of such Note (or any interest

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therein) will not constitute or result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code (or, in the case of a governmental or other plan, a violation of any Similar Law). Any insurance company proposing to invest assets of its general account in Co-Issued Notes should consider the implications of the United States Supreme Court's decision in John Hancock Mutual Life Insurance Co. v. Harris Trust and Savings Bank, 510 U.S. 86, 114 S. Ct. 517 (1993), which in certain circumstances treats such general account assets as assets of a Plan that owns a policy or other contract with such insurance company, as well as the effect of Section 401(c) of ERISA as interpreted by regulations issued by the United States Department of Labor in January, 2000. Any Plan fiduciary which proposes to cause a Plan to purchase any Co-Issued Notes should consult with its counsel regarding the applicability of the fiduciary responsibility and prohibited transaction provisions of ERISA and Section 4975 of the Code to such an investment, and to confirm that such investment will not constitute or result in a prohibited transaction or any other violation of an applicable requirement of ERISA or the Code. The sale of any Notes to a Plan is in no respect a representation by the Applicable Issuers, the Manager, the Placement Agent or the Initial Purchaser 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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CERTAIN LEGAL INVESTMENT CONSIDERATIONS Institutions whose investment activities are subject to legal investment laws and regulations or to review by certain regulatory authorities may be subject to restrictions on investments in the Notes. Any such institution should consult its legal advisers in determining whether and to what extent there may be restrictions on its ability to invest in the Notes. Without limiting the foregoing, any financial institution that is subject to the jurisdiction of the Comptroller of the Currency, the FRB, the Federal Deposit Insurance Corporation, the Office of Thrift Supervision, the National Credit Union Administration, any state insurance commission, or any other Federal or state agencies with similar authority should review any applicable rules, guidelines and regulations prior to purchasing the Notes. Depository institutions should review and consider the applicability of the Federal Financial Institutions Examination Council ("FFIEC") Supervisory Policy Statement on Securities Activities, which has been adopted by the respective Federal regulators comprising the FFIEC. None of the Issuer, the Co-Issuer, the Initial Purchaser, the Placement Agent or the Manager makes any representation as to the proper characterization of the Notes for legal investment or other purposes, or as to the ability of particular investors to purchase the Notes for legal investment or other purposes, or as to the ability of particular investors to purchase the Notes under applicable investment restrictions. Without limiting the generality of the foregoing, none of the Issuer, the Co-Issuer, the Initial Purchaser, the Placement Agent and the Manager make any representation as to the characterization of the 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, may be 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 Notes) may affect the liquidity of the Notes. Accordingly, all institutions whose activities are subject to legal investment laws and regulations, regulatory capital requirements or review by regulatory authorities should consult their own legal advisers in determining whether and to what extent the Notes are subject to investment, capital or other restrictions.

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PLAN OF DISTRIBUTION The Secured Notes being offered hereby are being offered by the Initial Purchaser pursuant to a purchase agreement (the "Note Purchase Agreement") with the Co-Issuers. The Income Notes and the Class Q Combination Notes being offered hereby are being offered by the Placement Agent pursuant to a placement agency agreement (the "Placement Agreement") with the Issuer. The Notes are being offered to prospective purchasers from time to time in negotiated transactions at varying prices to be determined in each case at the time of sale and in accordance with the restrictions set forth in "Purchase and Sale Restrictions". The Note Purchase Agreement provides that the obligations of the Initial Purchaser to purchase the Secured Notes are subject to approval of legal matters by counsel and to other conditions. The Initial Purchaser must purchase all of the Secured Notes if it purchases any of the Secured Notes. A fund managed by the Manager is expected to purchase U.S.$2,000,000 of the Income Notes on the Closing Date. 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 Purchaser and Placement Agent 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 Notes 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 Notes to the public in that Relevant Member State: (a) (b) to legal entities which are authorized or regulated to operate in the financial markets or, if not so authorized or regulated, whose corporate purpose is solely to invest in securities; 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;

(c)

for the purposes of this provision, the expression an "offer of Notes to the public" in relation to any Notes 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 Notes to be offered so as to enable an investor to decide to purchase or subscribe the Notes, 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. Each of the Initial Purchaser and the Placement Agent will represent and warrant in the Note Purchase Agreement or Placement Agreement, as applicable, that (i) it has complied and will comply with all applicable provisions of FSMA with respect to anything done by it in relation to the Notes in, from or otherwise involving the United Kingdom and (ii) it has only communicated or caused to be communicated, and will only communicate or cause to be communicated any invitation or inducement to engage in investment activity (within the meaning of section 21 of the FSMA) received by it in connection with the issue or sale of the Notes in circumstances in which section 21(1) of the FSMA does not apply to the Co-Issuers. The Initial Purchaser, the Placement Agent and their Affiliates may have had in the past and may in the future have business relationships and dealings with one or more issuers of the Eligible Collateral Debt Securities and their Affiliates and may own equity or debt securities issued by such issuers or their affiliates. The Initial Purchaser, the Placement Agent or their Affiliates may have provided and may in the future provide investment 139

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banking services to an issuer of Eligible Collateral Debt Securities or its affiliates and may have received or may receive compensation for such services. The Issuer has agreed to indemnify the Initial Purchaser and the Placement Agent against certain liabilities, including liabilities under the Securities Act, and has agreed to contribute to payments that the Initial Purchaser and the Placement Agent may be required to make in respect thereof. The Notes are offered when, as and if issued, subject to prior sale or withdrawal, cancellation or modification of the offer without notice and subject to approval of certain legal matters by counsel and certain other conditions. The Notes will constitute new classes of securities with no established trading market. Such a market may or may not develop, but neither the Initial Purchaser nor the Placement Agent is under any obligation to make such a market, and if it makes such a market it may discontinue any market-making activities with respect to the Notes at any time without notice. In addition, market-making activity will be subject to the limits imposed by the Securities Act and the Exchange Act. Accordingly, no assurances can be made as to the liquidity of or the trading market for the Notes.

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LISTING AND GENERAL INFORMATION 1. Application has been made to the Irish Financial Services Regulatory Authority (the "Financial Regulator"), as competent authority under Directive 2003/71/EC (the "Prospectus Directive") for the Prospectus (the "Prospectus") to be approved. This Offering Circular constitutes the Prospectus for the purposes of the Prospectus Directive. Application will be made to the Irish Stock Exchange for the Listed Notes to be admitted to the Official List and to trading on its regulated market. There can be no assurance that such listing will be approved or maintained. Approval by the Financial Regulator relates only to the Notes that are to be admitted to trading on the regulated market of the Irish Stock Exchange or other regulated markets for the purposes of the Directive 93/22/EEC or which are to be offered to the public in any Member State of the European Economic Area. 2. For the life of this document, copies of the Articles of the Issuer and the Certificate of Incorporation and By-Laws of the Co-Issuer will be available for inspection and will be obtainable at the office of the Issuer where copies thereof may be obtained in electronic or physical form, upon request. The Indenture will be available for inspection during the term of the Notes at the Corporate Trust Office. 3. Since incorporation, neither the Issuer nor the Co-Issuer has published any financial statements. Financial statements of the Issuer and the Co-Issuer will not be prepared. 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 or other matter required to be brought to the Trustee's attention under the guidelines of the Irish Stock Exchange has occurred or, if one has, specifying the same. 4. The Co-Issuers have been established as special purpose vehicles for the purpose of issuing asset backed debt securities. Neither of the Co-Issuers is involved, or has been involved since incorporation, in any governmental, legal or arbitration proceedings relating to claims on amounts which may have or have had a material effect on the Co-Issuers in the context of the issue of the Notes, nor, so far as the Issuer or the Co-Issuer is aware, is any such governmental, legal or arbitration involving it pending or threatened. 5. The issuance of the Notes will be authorized by the board of directors of the Issuer by resolutions passed on or prior to the Closing Date. The co-issuance of the Co-Issued Notes will be authorized by the board of directors of the Co-Issuer by a resolution passed on or prior to the Closing Date. 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 relating to the issuance of the Notes. 6. It is expected that the total expenses relating to the application for admission of the Listed Notes to the Official List of the Irish Stock Exchange and to trading on its regulated market will be approximately 6,440.

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CERTAIN LEGAL MATTERS Certain legal matters with respect to the Notes will be passed upon for the Co-Issuers as to United States law by Milbank, Tweed, Hadley & McCloy LLP, New York, New York. Certain legal matters with respect to the Notes will be passed upon for the Issuer as to Cayman Islands law by Maples and Calder, Cayman Islands. Certain legal matters with respect to the Manager will be passed upon for the Manager by White & Case LLP, New York, New York. No separate counsel has been appointed to represent the Holders of any Class of Notes.

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GLOSSARY "Accounts" means any of the Custodial Account, the Collection Account, the Expense Reserve Account, the Hedge Collateral Account, the Hedge Termination Receipts Account, the Hedge Replacement Account, the Payment Account, the CDS Asset Collateral Account, the Reserve Account, the Class A1 Mandatory Note Funding Reserve Account, the CDS Asset Issuer Account, the Cashflow Swap Collateral Account and the Covered Short CDS Asset Collateral Account. "Accredited Investor" means an "accredited investor" as defined in Rule 501(a) of Regulation D under the Securities Act. "Accrued Interest Purchased With Principal" means, with respect to any Payment Date, all payments of interest received or amounts collected that are attributable to interest received during the related Period on the Collateral Obligations to the extent such payments or amounts constitute accrued interest purchased with Principal Collections except for interest accrued on the Eligible Collateral Debt Securities prior to the Closing Date. "Additional Fixed Amounts" means, with respect to any CDS Asset, amounts payable from time to time by the related CDS Asset Counterparty to the Issuer in respect of any Writedown Reimbursement, Principal Shortfall Reimbursement or Interest Shortfall Reimbursement (each as defined in the related CDS Asset) and any Second Additional Fixed Amounts. "Administrative Expenses" means any fee, expense or indemnity payment due and payable by the Issuer that is not expressly prohibited under the Indenture to be paid by the Issuer, including, without limitation, any amount due to each of the Rating Agencies for ongoing surveillance fees and other fees and expenses in connection with any rating of the Notes or any credit estimates (which must be reapplied for or renewed annually). For the avoidance of doubt, Administrative Expenses will not include any amounts payable in respect of the Notes. "Advisers Act" means the United States Investment Advisers Act of 1940, as amended. "Affiliate" means, with respect to a Person, (a) any other Person who, directly or indirectly, is in control of, or controlled by, or is under common control with, such Person or (b) any other Person who is a director, officer or employee (i) of such Person, (ii) of any subsidiary or parent company of such Person or (iii) of any Person described in clause (a) above; provided that control of a Person will mean the power, direct or indirect, (x) to vote more than 50% of the securities having ordinary voting power for the election of directors of such Person or (y) to direct or cause the direction of the management and policies of such Person whether by contract or otherwise. Notwithstanding the foregoing, with respect to the Issuer, "Affiliate" will be deemed not to include the Administrator (solely acting as such) or any entity which the Administrator (solely acting as such) controls or administers. "Applicable Class A1 Swap Notional Amount" means, on any date of determination, the amount that is the lesser of (a) the Class A1 Swap Notional Amount and (b) the Net Aggregate Adjusted Notional Amount minus (i) the amount, if any, on deposit in the Capacity Subaccount of the Reserve Account and (ii) the amount, if any, on deposit in the CDS Asset Collateral Account. "Applicable Issuer" means, with respect to any Co-Issued Notes or Class of Co-Issued Notes, each of the Issuer and the Co-Issuer, and with respect to any Non-Co-Issued Notes or Class of Non-Co-Issued Notes, the Issuer only. "Applicable Recovery Rate" means, with respect to any Eligible Collateral Debt Security on any Measurement Date, the lower of the applicable Moody's Recovery Rate and the applicable S&P Recovery Rate for such Eligible Collateral Debt Security on such Measurement Date. "Approved Ratings Threshold" means each of the S&P Approved Ratings Threshold and the Moody's Second Trigger Ratings Threshold.

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"Available Funds" means, with respect to any Payment Date, the amount of any positive balance in the Payment Account as of such Payment Date (which amount, in the case of any Redemption Date or any other Payment Date on which the Principal BalanceAggregate of all the Notes is being or has been paid in full, will include any amounts remaining in the other pledged accounts). "Average Life" means, on any Measurement Date, with respect to any Eligible Collateral Debt Security (other than a Defaulted Security), the quotient obtained by the Manager by dividing (a) the sum of the products of (i) the number of years (rounded to the nearest one tenth thereof) from such Measurement Date to the respective dates of each expected distribution of principal of such Eligible Collateral Debt Security and (ii) the respective amounts of principal of such distributions by (b) the sum of all such distributions of principal on such Eligible Collateral Debt Security. "Base Rate" means a fluctuating rate of interest determined by the Note Calculation Agent as being the rate of interest most recently announced by the Base Rate Reference Bank at its principal office as its base rate, prime rate, reference rate or similar rate for U.S. dollar loans. Changes in the Base Rate will take effect simultaneously with each change in the underlying rate. "Base Rate Reference Bank" means initially, LaSalle Bank National Association, or if such bank ceases to exist or is not quoting a base rate, prime rate, reference rate or similar rate for U.S. dollar loans, such major money center commercial bank in New York City as is selected by the Note Calculation Agent. "Business Day" means any day that is not a Saturday, Sunday or other day on which commercial banking institutions in New York, New York or any city in which the Corporate Trust Office of the Trustee is located are authorized or obligated by law or executive order to be closed. "Cash" means such coin or currency of the United States of America as at the time is legal tender for payment of all public and private debts. "Cash Asset" means Eligible Collateral Debt Securities (other than CDS Assets and Covered Short CDS Assets) that, in each case, are purchased by the Issuer. "Cashflow Swap Counterparty Ratings Requirement" means, with respect to any Cashflow Swap Ratings Determining Party, (a) either (i) both (x) the short-term unsecured debt rating of such Cashflow Swap Ratings Determining Party by Moody's is not lower than "P-1" (and is not "P-1" and has been placed and is remaining on credit watch with negative implications) and (y) the long-term senior, unsecured debt rating of such Cashflow Swap Ratings Determining Party by Moody's is not withdrawn, suspended or downgraded below "A3" or is not "A3" and has been placed and is remaining on credit watch with negative implications or (ii) if such Cashflow Swap Ratings Determining Party has no short-term unsecured debt rating from Moody's, the long-term senior, unsecured debt rating by Moody's of such Cashflow Swap Ratings Determining Party is at least "A1" and is not "A1" and has been placed and is remaining on credit watch with negative implications and (b) the short-term unsecured debt rating of such Cashflow Swap Ratings Determining Party is not lower than "A-1" by S&P and has been placed and is remaining on credit watch with negative implications. "Cashflow SwapDeferred Shortfall Amount" means, for each Payment Date, the aggregate amount of all scheduled interest payments (other than payments of additional interest) on Eligible Collateral Debt Securities which were, during the related Period, deferred or paid "in kind" in accordance with the terms of such Eligible Collateral Debt Securities, which deferral or payment "in kind" does not constitute an event of default pursuant to the terms of the related Eligible Collateral Debt Securities. "Cashflow Swap Fee Payment" means the "Cashflow Swap Fee Payment" as calculated pursuant to the Cashflow Swap Agreement. "Cashflow SwapInterest Rate" has the meaning given thereto in the Cashflow Swap Agreement.

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"Cashflow SwapInterest Shortfall Amount" means for each Payment Date, the amount, if any, by which (a) the sum of (i) the Class A1 Option Fee and (ii) the amount of interest required to be paid to the Holders of the Class A Notes and the Class S Notes (in the case of the Class S Notes only with respect to amounts due pursuant to clause (G)(iii) of the Priority of PaymentsInterest Collections) on such Payment Date exceeds (b) the amounts (exclusive of any Cashflow SwapShortfall Amount owed by the Cashflow Swap Counterparty under the Cashflow Swap Agreement) available to be distributed to the Class A1 Swap Counterparty and the Holders of the Class A Notes and the Class S Notes (in the case of the Class S Notes only with respect to amounts due pursuant to clause (G)(iii) of the Priority of PaymentsInterest Collections) on such Payment Date as the Class A1 Option Fee and interest, as applicable, in accordance with the Priority of Payments. "Cashflow Swap Payment" means, with respect to the Cashflow Swap Agreement and any Payment Date, the amount, if any, then payable by the Issuer to the Cashflow Swap Counterparty, including any amounts so payable in respect of a termination of the Cashflow Swap Agreement, other than Cashflow Swap Payments Defaulted and Cashflow Swap Fee Payment. "Cashflow Swap PaymentsDefaulted" means any termination payment required to be made by the Issuer to the Cashflow Swap Counterparty pursuant to the Cashflow Swap Agreement in the event of a termination of the Cashflow Swap Agreement in respect of which the Cashflow Swap Counterparty is the Defaulting Party or sole Affected Party (each as defined in the Cashflow Swap Agreement). "Cashflow Swap Ratings Determining Party": (a) Unless clause (b) applies, the Cashflow Swap Counterparty or any transferee thereof or (b) any Affiliate of the Cashflow Swap Counterparty or any transferee thereof that unconditionally and absolutely guarantees with such form of guarantee meeting S&P's then-current criteria on guarantees the obligations of the Cashflow Swap Counterparty or such transferee, as the case may be, under the Cashflow Swap Agreement. For the purpose of this definition, no direct or indirect recourse against one or more shareholders of the Cashflow Swap Counterparty or any such transferee (or against any person in control of, or controlled by, or under common control with, any such shareholder) shall be deemed to constitute a guarantee, security or support of the obligations of the Cashflow Swap Counterparty or any such transferee. "Cashflow SwapShortfall Amount" means for each Payment Date (so long as the Class A Notes and the Class S Notes are Outstanding), the amount equal to the lesser of: (a) the Cashflow SwapInterest Shortfall Amount and (b) the Cashflow SwapDeferred Shortfall Amount; provided that the Cashflow SwapDeferred Shortfall Amount shall not include any amount that is attributable to any Eligible Collateral Debt Security that has not been sold or disposed of for more than two (2) years since becoming a PIKing Bond. "Cashflow SwapSuspension Event" means, with respect to any date of determination, an Event of Default described in clauses (i), (ii), (iv) or (vii) of the definition of "Events of Default" has occurred and is continuing; provided that no Cashflow SwapSuspension Event will occur as a result of an Event of Default arising solely as a result of the failure of the Cashflow Swap Counterparty to pay any amount due on the Class A Notes or the Class S Notes. "CDO Assets" means the underlying assets of a CDO Security. "CDS Asset" means the credit default swaps or total rate of return swaps pursuant to which the Issuer is the seller of protection and which is in the form of a swap transaction that provides for a potential payment by the Issuer to a counterparty (which may be in exchange for delivery of a Deliverable Obligation from a CDS Asset Counterparty) in connection with a "credit event" or other similar circumstances with respect to one or more CDS Reference Obligations after the date upon which such CDS Asset is pledged to the Trustee and that satisfies the following: (a) on the Closing Date, the Net Aggregate Adjusted Notional Amount does not exceed the sum of the Class A1 Swap Notional Amount plus the amount, if any, on deposit in the Capacity Subaccount of the Reserve Account plus the amount, if any, on deposit in the CDS Asset Collateral Account, and on any subsequent determination date on which a CDS Asset is entered into the Issuer has a CDS Asset Capacity Amount at least equal to the aggregate of all further payments related to principal (contingent or otherwise, including the purchase of any Deliverable Obligation) and CDS

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Asset/SCA Issuer Termination Payments that the Issuer is or may be required to make to the CDS Asset Counterparty under such CDS Asset to be entered into on such determination date; (b) the agreement relating to such CDS Asset contains "non-petition" provisions pursuant to which the CDS Asset Counterparty agrees not to cause the filing of a petition in bankruptcy against the Issuer and "limited recourse" provisions limiting the CDS Asset Counterparty's rights in respect of the CDS Asset to the funds and other property available pursuant to the Priority of Payments; the agreement relating to such CDS Asset contains provisions to the effect than upon the occurrence of an "Event of Default" or "Termination Event" (other than an "Illegality" or "Tax Event"), if any, where the CDS Asset Counterparty is the sole "Defaulting Party" or the sole "Affected Party" ("Event of Default", "Termination Event", "Illegality", "Tax Event", "Defaulting Party" or "Affected Party", as applicable, as such terms are defined in the ISDA Master Agreement relating to such CDS Asset) (i) the Issuer may terminate its obligations under such CDS Asset and upon such termination, any lien or interest in favor of the CDS Asset Counterparty in the Collateral will be terminated, (ii) no termination payment will be payable by the Issuer to the CDS Asset Counterparty as a result of such termination or, if such termination payment is payable by the Issuer, it will be a payment payable on a Payment Date subordinated in the Priority of Payments and (iii) the Issuer will no longer be obligated to make any further payments to the CDS Asset Counterparty with respect to such CDS Asset; no amounts receivable by the Issuer from the CDS Asset Counterparty will be subject to withholding tax, unless the issuer thereof or other obligor thereon is required to make additional payments sufficient to cover any withholding tax imposed at any time on payments made to the Issuer with respect thereto; such CDS Asset is positively indexed to the CDS Reference Obligation on no more than a one-to-one basis; and such CDS Asset either (i) (1) has a rating and a recovery rate assigned by each of the Rating Agencies, (2) its inclusion has been subject to a Rating Agency Confirmation from S&P and (3) has been approved by the Requisite Noteholders (so long as the Class A1 Swap Counterparty or the Holders of the Class A1 Notes or Pari Passu Classes are the Requisite Noteholders) or (ii) is documented on either (1) a Form-Approved ABS Asset Agreement or (2) a Form-Approved CDO Asset Agreement.

(c)

(d)

(e) (f)

"CDS Asset Capacity Amount" means, as of any date of determination, (a) the sum of (i) the Class A1 Swap Notional Amount, (ii) the amounts on deposit in the Capacity Subaccount of the Reserve Account and (iii) the amounts on deposit in the CDS Asset Collateral Account, minus (b) the Net Aggregate Adjusted Notional Amount. "CDS Asset Counterparty" means, with respect to any CDS Asset, the entity (or guarantor or similar credit support provider of such entity's obligations pursuant to an irrevocable and unconditional guarantee or similar credit support instrument) that is required to make payments on such CDS Asset to the Issuer to the extent specified therein, and which is required to (a) have (i) (1) a short-term rating of at least "P-1" by Moody's (which, if rated "P-1" by Moody's, is not on negative credit watch for downgrade) and a long-term senior unsecured debt rating of at least "A1" by Moody's (which, if rated "A1" by Moody's, is not on negative credit watch for downgrade) or (2) a long-term senior unsecured debt rating of at least "Aa3" by Moody's (which, if rated "Aa3" by Moody's, is not on negative credit watch for downgrade) and (ii) a short-term rating of at least "A-1" by S&P or, if no short-term rating is available from S&P, a long-term rating of at least "A+" by S&P, in each case as of the date of purchase or entry into the CDS Asset by the Issuer and (b) be a dealer in derivatives. "CDS Asset Counterparty Forbearance" means the agreement by a CDS Asset Counterparty that such CDS Asset Counterparty shall have no right whatsoever to declare an Event of Default, a Termination Event or an Additional Termination Event (each as defined in the applicable CDS Asset) under the related CDS Asset upon a failure thereunder on the part of the Issuer to pay any amount owing to such CDS Asset Counterparty, if the sole

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cause of such failure to pay is a default on the part of the Class A1 Swap Counterparty (or any Class A1 Designee) to fund any Class A1 Note Funding. "CDS Asset Counterparty Termination Payment" means, as the context may require, either (a) a payment required to be made by a CDS Asset Counterparty to the Issuer in connection with the early termination of a CDS Asset or (b) in connection with the early termination of two or more CDS Assets under a Master Agreement in circumstances where netting between transactions under the relevant Master Agreement is applicable, any net amount required to be paid by the CDS Asset Counterparty to the Issuer in connection with such early termination. "CDS Asset Interest Payment" means any payment required to be made by the Issuer to the related CDS Asset Counterparty in respect of a CDS Interest Shortfall under a CDS Asset. "CDS Asset Interest Reimbursement" means, with respect to a CDS Asset, a reimbursement to the Issuer of amounts received by the related CDS Asset Counterparty under the relevant CDS Reference Obligation in respect of a CDS Interest Shortfall previously incurred. "CDS Asset Loss Payment" means, with respect to a CDS Asset, any CDS Asset Principal Payment, CDS Cash Settlement Payment or CDS Physical Settlement Payment payable by the Issuer to the related CDS Asset Counterparty. "CDS Asset Payment" means any CDS Asset Loss Payment, CDS Asset Interest Payment or CDS Asset/SCA Issuer Termination Payment (other than any Subordinated CDS Asset/SCA Termination Payment), as the case may be. "CDS Asset Principal Payment" means any payment required to be made by the Issuer to the related CDS Asset Counterparty in respect of a CDS Principal Shortfall under a CDS Asset. "CDS Asset Principal Reimbursement" means, with respect to a CDS Asset, a reimbursement under the relevant CDS Reference Obligation of a CDS Principal Shortfall previously incurred. "CDS Asset Writedown Reimbursement" means, with respect to a CDS Asset, a reimbursement payment required to be made by the related CDS Asset Counterparty to the Issuer under the relevant CDS Reference Obligation of a CDS Asset Writedown previously incurred. "CDS Asset/SCA Issuer Termination Payment" means, as the context may require, either (a) a payment required to be made by the Issuer to the CDS Asset Counterparty in connection with the early termination of a CDS Asset or to the CDS Collateral Securities Counterparty in connection with an early termination (in whole or in part) of the CDS Collateral Agreement or (b) in connection with the early termination of two or more CDS Assets under a Master Agreement in circumstances where netting between transactions under the relevant Master Agreement is applicable, any net amount required to be paid by the Issuer to the applicable CDS Asset Counterparty in connection with such early termination; provided that a CDS Asset shall be required to provide that a CDS Asset/SCA Issuer Termination Payment may not exceed the Principal Balance of the CDS Asset or the outstanding principal amount of transactions under the CDS Collateral Agreement that are terminated, as applicable. "CDS Cash Settlement Payment" means a payment made by the Issuer to a CDS Asset Counterparty upon such CDS Asset Counterparty's election of cash settlement with respect to all or a portion of the notional amount of the applicable CDS Asset. "CDS Collateral Credit Enhancement Event" means an inability of the CDS Collateral Securities Counterparty to obtain credit enhancement in respect of a CDS Collateral Eligible Security caused by a failure of the Issuer to cause the delivery of such CDS Collateral Eligible Security in exchange for a custodial receipt as referenced in the CDS Collateral Agreement, to the extent that establishment of such custodial receipt is required for such credit enhancement.

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"CDS Collateral Elective Withdrawal" means a reduction in the CDS Collateral Required Amount at the discretion of the Manager and with the consent of the CDS Collateral Securities Counterparty. "CDS Collateral Elective Withdrawal Effective Date" means, with respect to a CDS Collateral Elective Withdrawal, the date specified in the related written request from the Manager as the first date on which amounts may be withdrawn from the CDS Asset Collateral Account in connection with such CDS Collateral Elective Withdrawal. "CDS Collateral Eligible Securities" means a security (a) that is either (i) an Asset Backed Security that has (1) a short-term rating from S&P of "A-1+", or if no short-term rating is available from S&P, a long-term rating from S&P of "AAA" and (2) a long-term rating from Moody's of "Aaa" or a short-term rating from Moody's of "P-1"; or (ii) an Eligible Investment; (b) that is purchased at a price not in excess of its principal balance or principal amount (exclusive of any discount included therein), unless the CDS Collateral Securities Counterparty pays any accrued interest or other amount in excess thereof, if it will be subject to the CDS Collateral Agreement; (c) that is Registered; and (d) the income from or proceeds of disposition of which is not subject to reduction for or on account of withholding or similar tax; provided, that such security may be purchased only if it will be subject to the CDS Collateral Agreement or Rating Agency Confirmation has been received with respect to such purchase. "CDS Collateral Eligibility Criteria" means the criteria specified in the definition of "CDS Collateral Eligible Securities". "CDS Collateral Excess" means the occurrence of the aggregate outstanding Principal Balance of the CDS Collateral Eligible Securities referenced by the CDS Collateral Agreement exceeding the CDS Collateral Required Amount. "CDS Collateral Intraperiod Excess" means, on any Payment Date, the occurrence that the aggregate outstanding Principal Balance of the CDS Collateral Eligible Securities under the CDS Collateral Agreement is greater than the CDS Collateral Required Amount. "CDS Collateral Investment DowngradeDowngrade" means, with respect to any CDS Collateral Eligible Security, such CDS Collateral Eligible Security is not rated at least "AA-" by S&P and at least "Aa3" by Moody's (or if rated "Aa3", is on watch for possible downgrade). "CDS Collateral Ratings Event" means, with respect to the CDS Collateral Securities Counterparty, its (or, if it has a guarantor, its guarantor's) (a) (x) long-term senior unsecured debt or deposit rating by Moody's is lower than "A1" or (y) short-term senior unsecured debt or deposit rating by Moody's is lower than "P-1" or (b) (x) long term senior unsecured debt or deposit rating by S&P is lower than "AA-" or (y) short-term senior unsecured debt or deposit rating by S&P is lower than "A-1+". "CDS Collateral Replacement Event" means, with respect to the CDS Collateral Securities Counterparty, its (or, if it has a guarantor, its guarantor's) (a) (x) long-term senior unsecured debt or deposit rating by Moody's is lower than "A3" and (y) short-term senior unsecured debt or deposit rating by Moody's is lower than "P-2" or (b) either (x) long-term senior unsecured debt or deposit rating by S&P is lower than "BBB-" (unless, upon a

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downgrade of the CDS Collateral Securities Counterparty or its guarantor, as the case may be, below "BBB+" by S&P, the CDS Collateral Securities Counterparty or its guarantor delivers to the Trustee collateral of such types, in such amounts and at such times as are sufficient to maintain the then current rating of each Class of Notes by S&P) or (y) short-term senior unsecured debt or deposit rating by S&P is lower than "A-2" (unless the CDS Collateral Securities Counterparty or its guarantor, as the case may be, delivers within four Local Business Days (as defined in the CDS Collateral Agreement) of such CDS Collateral Replacement Event, at its own expense, a legal opinion of nationally recognized counsel confirming the ability of the Issuer to terminate the CDS Collateral Agreement and all related transactions and access any collateral posted by the CDS Collateral Securities Counterparty without application of the automatic stay or other interference upon the receivership of the CDS Collateral Securities Counterparty. "CDS Collateral Required Amount" means the "Required Synthetic Collateral Notional Amount" as determined pursuant to the CDS Collateral Agreement. "CDS Collateral Shortfall" means the occurrence of the CDS Collateral Required Amount exceeding the aggregate outstanding Principal Balance of the CDS Collateral Eligible Securities referenced by the CDS Collateral Agreement. "CDS Collateral Voting Notice" means any notice provided by the Issuer to the CDS Collateral Securities Counterparty that it will or will not exercise any CDS Collateral Voting Rights in respect of the related CDS Collateral Eligible Securities in accordance with the instructions received by it from the CDS Collateral Securities Counterparty or its designee. "CDS Collateral Voting Notice Cut-Off Date" means the date that is three Business Days after the Issuer receives voting instructions from the CDS Collateral Securities Counterparty or its designee. "CDS Collateral Voting Rights" means, in respect of any CDS Collateral Eligible Security, any right of a holder of such CDS Collateral Eligible Security to exercise any voting rights with respect to such CDS Collateral Eligible Security or give any instructions or consent to any action or take any other action with respect to such CDS Collateral Eligible Security. "CDS Collateral Voting Rights Event" means, with respect to the Issuer, that it: (a) issues a CDS Collateral Voting Notice to the effect that it will not exercise (or cause to be exercised) any CDS Collateral Voting Rights with respect to the related CDS Collateral Eligible Securities in accordance with the instructions received by it from the CDS Collateral Securities Counterparty or its designee; (b) fails to issue a CDS Collateral Voting Notice by or on the CDS Collateral Voting Notice Cut-Off Date; (c) fails to exercise, or cause to be exercised, any CDS Collateral Voting Rights in respect to a CDS Collateral Eligible Security in accordance with the instructions timely received by it from the CDS Collateral Securities Counterparty or its designee; or (d) fails to notify the CDS Collateral Securities Counterparty that any CDS Collateral Voting Rights are exercisable with respect to the related CDS Reference Obligor of which the Issuer has received notice. "CDS Collateral Withholding Event" means, with respect to any holder of CDS Collateral Eligible Securities under the CDS Collateral Agreement, a reduction of any amounts representing interest and fees payable to such holder with the same tax status as the Issuer on account of any withholding taxes. "CDS Fixed Amount" means, with respect to a CDS Asset or a Covered Short CDS Asset, a periodic amount paid by the CDS Asset Counterparty or Covered Short CDS Asset Counterparty to the Issuer, calculated as the product of a rate (referred to as the "Fixed Rate" in each CDS Asset) specified in such CDS Asset or Covered Short CDS Asset multiplied by the notional amount of such CDS Asset or Covered Short CDS Asset. "CDS Interest Shortfall" means, with respect to any CDS Asset, a determination by the respective CDS Asset Counterparty that an "Interest Shortfall" (as defined in the relevant Pay-As-You-Go Confirmation) or similar event specified in the relevant confirmation with respect to the non-payment of a scheduled interest payment, in whole or in part, has occurred under the CDS Reference Obligation.

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"CDS Issuer Up-Front Payment" means a payment required to be made by the Issuer to a CDS Asset Counterparty upon purchasing or entering into a CDS Asset. "CDS Payment Priority" means the following order from which funds shall be drawn for the payment of any CDS Asset Interest Payments, CDS Asset Loss Payments and CDS Asset/SCA Issuer Termination Payments (other than CDS Issuer Up-Front Payments and Subordinated CDS Asset/SCA Termination Payments): first, to the extent all or a portion of the CDS Asset Payments relate to a CDS Asset Interest Payment and to the extent that such CDS Asset Interest Payment has not been paid in full, in such order as the Manager may determine in its sole discretion, Interest Collections on deposit in the Collection Account or invested in Eligible Investments (whether or not available in Cash), and any investment income from such amounts on deposit in the Collection Account or such Eligible Investments, will be liquidated and the proceeds thereof will be used to make such CDS Asset Payments relating to CDS Asset Interest Payments until paid in full; second to the extent all or a portion of the CDS Asset Payments relate to a (a) CDS Asset Loss Payment or (b) CDS Asset/SCA Issuer Termination Payment (other than a Subordinated CDS Asset/SCA Termination Payment), and in each case to the extent that such payments have not been paid in full, in such order as the Manager may determine in its sole discretion, Principal Collections on deposit in the Collection Account or invested in Eligible Investments (whether or not available in Cash) will be liquidated and the proceeds thereof will be used to make such CDS Asset Payments until paid in full; third amounts on deposit in the Capacity Subaccount of the Reserve Account or Reserve Investments purchased with amounts on deposit in the Capacity Subaccount of the Reserve Account (whether or not available in Cash) will be liquidated and the proceeds thereof will be used to make such CDS Asset Payments until paid in full; fourth, amounts on deposit in the CDS Asset Collateral Account or CDS Collateral Eligible Securities purchased with amounts on deposit in the CDS Asset Collateral Account (whether or not available in Cash) will be liquidated and the sale proceeds thereof will be used to make such CDS Asset Payments until paid in full; fifth, a Class A1 Note Funding will be made on the Class A1 Swap Notional Amount (but only to the extent of such Class A1 Swap Notional Amount as of such date) and such Class A1 Swap will be used to make such CDS Asset Payments in accordance with the Indenture until paid in full; and provided that, if two or more CDS Asset Counterparties are due a payment pursuant to the same clause set forth above on the same Business Day, the Trustee will apply such amounts pro rata (based on the amounts due and payable on such day) among the CDS Asset Counterparties regardless of the order in which they notified the Trustee that such amounts were due to them. "CDS Physical Settlement Payment" means a payment made by the Issuer to a CDS Asset Counterparty upon such CDS Asset Counterparty's election of physical settlement with respect to all or a portion of the notional amount of the applicable CDS Asset. "CDS Principal Shortfall" means, with respect to any CDS Asset, a determination by the respective CDS Asset Counterparty that a "Principal Shortfall Amount" exists or a "Writedown" has occurred (each as defined in the Pay-As-You-Go Confirmation), or similar event specified in the relevant confirmation with respect to the nonpayment or forgiveness of principal, or a writedown or applied loss, has occurred under the CDS Reference Obligation. "CDS Reference Obligation" means a debt obligation (other than a CDS Asset or Covered Short CDS Asset) upon which a CDS Asset or Covered Short CDS Asset is based and which debt obligation satisfies the provisions of the definition of "Eligible Collateral Debt Securities".

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"CDS Reference Obligation Notional Amount" means the notional amount of a CDS Reference Obligation referenced by a CDS Asset owned by the Issuer, which shall exclude the notional amount of any CDS Reference Obligation under any CDS Asset to the extent that it is subject to a Covered Short CDS Asset. "CDS Reference Obligor" means the obligor on a CDS Reference Obligation. "Class" means all of (a) the Secured Notes having the same Periodic Interest Rate, Maturity DateStated and designation, (b) the Class Q Combination Notes and (c) the Income Notes, as applicable. "Class A Notes" means the Class A1 Notes, the Class A2 Notes, the Class A3 Notes and the Class A4 Notes. "Class A1 Eligible Investments" means Eligible Investments (maturing the day following the date of acquisition thereof) acquired (pursuant to a written direction from the Class A1 Swap Counterparty) with deposits in the Class A1 Mandatory Note Funding Reserve Account for the benefit of the Class A1 Swap Counterparty. "Class A1 Eligible Noteholder" means any person that can make the representations required or deemed to be made by a Holder of a Class A1 Note pursuant to the Indenture. "Class A1 Mandatory Note Funding" means, in the absence of an Event of Default pursuant to clause (vii) of the definition thereof and if (a) at any time the Class A1 Swap Counterparty is not CGML or an Affiliate thereof or (b) CGML, in its capacity as Class A1 Swap Counterparty, in its sole discretion at the written request of the Issuer, approves in writing the applicability in full of the Mandatory Funding/Ratings Provisions, a mandatory advancing of the Class A1 Swap Notional Amount in respect of the Class A1 Swap if (i) the Class A1 Swap Counterparty fails to fund when required to do so or (ii) a Class A1 Swap Ratings Event has occurred and remains in effect for a period of 30 days. "Class A1 Note Amount" means, as of any date of determination, the aggregate principal amount of the Class A1 Notes issued and delivered by the Co-Issuers in connection with a Class A1 Note Funding minus the aggregate amount of any payments (other than payments of Periodic Interest) made to the Holders of the Class A1 Notes. "Class A1 Note Funding Date" means the date of any Class A1 Note Funding. "Class A1 Note Funding Request" means the notice substantially in the form required pursuant to the Class A1 Swap and delivered with respect to each Class A1 Note Funding by the Issuer (or the Manager on behalf of the Issuer) to the Class A1 Swap Counterparty. "Class A1 Notes" means the Class A1 Floating Rate Notes due 2052 issued by the Co-Issuers. "Class A1 Requisite Ratings" means, with respect to any institution being appointed as the Class A1 Swap Counterparty or the guarantor of the Class A1 Swap Counterparty, that such institution has (a) short-term senior unsecured debt, deposit or similar obligations rated not lower than "P-1" by Moody's and long-term senior unsecured debt, deposit or similar obligations rated not lower than "A1" by Moody's, or, if such short-term senior unsecured debt, deposit or similar obligations are not rated by Moody's, then having long-term senior unsecured debt, deposit or similar obligations rated not lower than "Aa3" by Moody's, and (b) short-term senior unsecured debt, deposit or similar obligations rated not lower than "A-1+" by S&P, or, if such short-term senior unsecured debt, deposit or similar obligations are not rated by S&P, then having long-term senior unsecured debt, deposit or similar obligations rated not lower than "AA-" by S&P. "Class A1 Swap Notional AmountAverage" for any Period is (a) the sum of the amount of the Class A1 Swap Notional Amount for each day during the Period divided by (b) the actual number of days in the Period. "Class A1 Swap Ratings Event" means, with respect to the Class A1 Swap Counterparty, if the Class A1 Swap Counterparty's (or, if the Class A1 Swap Counterparty has a guarantor, such guarantor's) (a) short-term senior

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unsecured debt, deposit or similar obligations are rated lower than "P-1" by Moody's or its long-term senior unsecured debt, deposit or similar obligations are rated below "A1" by Moody's, or, if such short-term senior unsecured debt, deposit or similar obligations are not rated by Moody's, the long-term senior unsecured debt, deposit or similar obligations are rated below "Aa3" by Moody's, or (b) short term senior unsecured debt, deposit or similar obligations are rated lower than "A-1+" by S&P, or, if such short-term senior unsecured debt, deposit or similar obligations are not rated by S&P, the long-term senior unsecured debt, deposit or similar obligations are rated below "AA-" by S&P. "Class A2 Notes" means the Class A2 Floating Rate Notes due 2052 issued by the Co-Issuers. "Class A3 Notes" means the Class A3 Floating Rate Notes due 2052 issued by the Co-Issuers. "Class A4 Notes" means the Class A4 Floating Rate Notes due 2052 issued by the Co-Issuers. "Class B Notes" means the Class B Deferrable Floating Rate Notes due 2052 issued by the Co-Issuers. "Class C Component" means with respect to (a) all Class Q Combination Notes, U.S.$2,500,000 principal amount of the Class C Notes and (b) with respect to any Class Q Combination Note, the portion of the Component referred to in clause (a) that bears the same proportion as the principal amount of such Class Q Combination Note bears to all Class Q Combination Notes then Outstanding. "Class C Notes" means the Class C Deferrable Floating Rate Notes due 2052 issued by the Co-Issuers. "Class Q Combination Note Notional Balance" means with respect to the rating of the Class Q Combination Notes by Moody's or S&P, an amount equal to (a) the Principal BalanceAggregate of such Class Q Combination Notes as of the Closing Date minus (b) the excess of the aggregate amount of distributions paid to the Holders of the Class Q Combination Notes over the accrued interest due on the Class Q Combination Notes at the Periodic Interest Rate applicable to the Class Q Combination Notes plus (c) the excess of the accrued interest due on the Class Q Combination Notes at the Periodic Interest Rate applicable to the Class Q Combination Notes over the aggregate amount of distributions paid to the Holders of the Class Q Combination Notes. "Class Q Combination Notes" means the Class Q Combination Notes due 2052 issued by the Issuer. "Class S Notes" means the Class S Notes due 2015 issued by the Co-Issuers. "Clearstream" means Clearstream Banking, socit anonyme. "Code" means the United States Internal Revenue Code of 1986, as amended. "Co-Issued Notes" means each Class of Notes designated as such in the Principal Terms Table. "Collateral Obligations" means, on any date of determination, the Eligible Collateral Debt Securities, Eligible Investments and any Equity Securities that form part of the Collateral that has been granted to the Trustee pursuant to the Indenture. "Component" means, with respect to the Class Q Combination Notes, the Classes of Notes and/or the Income Notes specified as Components of such Class Q Combination Notes in the Principal Terms Table. "Coverage Tests" means, at any time, the Interest Coverage Tests and the Principal Coverage Tests applicable to each Class of Secured Notes then Outstanding or to any specified Class or Classes of Secured Notes, as the case may be. "Covered Short Available Spread Amount" means, as of any date of determination, (a) the Covered Short WAS Excess/Shortfall Amount multiplied by (b) the Weighted Average Life of the Eligible Collateral Debt Securities.

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"Covered Short CDS Asset" means a Short CDS Asset for which there is a Covered Short Matching Long Position. "Covered Short CDS Asset Additional Criteria" means, in the event that proceeds from the sales of any Covered Short CDS Assets are used to enter into or purchase Covered Short CDS Assets, the following criteria that also shall be satisfied as of the date of entry into or purchase of each such Covered Short CDS Asset: (a) the economic terms of the Covered Short CDS Asset and the related Covered Short Matching Long Position are substantially the same (except for their CDS Fixed Amounts per annum); (b) compliance with each of the Portfolio Quality Tests is maintained or improved immediately after the entry into or purchase of such Covered Short CDS Asset; "Covered Short CDS Asset Collateral Account" means the account designated the "Covered Short CDS Asset Collateral Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. "Covered Short CDS Asset Counterparty" means, with respect to any Covered Short CDS Asset, the CDS Asset Counterparty under the related Covered Short Matching Long Position or any other eligible counterparty that is rated at least "A-1" by S&P. "Covered Short CDS Asset Interest Payment" means, with respect to any Covered Short CDS Asset, a payment to the Issuer from the related Covered Short CDS Asset Counterparty following a determination that an "Interest Shortfall" (as defined in the related Covered Short CDS Asset) or similar event specified in the relevant confirmation with respect to the non-payment of a scheduled interest payment, in whole or in part, has occurred under the Covered Short CDS Asset. "Covered Short CDS Asset Premium Amount" means, as of any date of determination and for each Covered Short CDS Asset, the product of (a) the excess of the Spread of such Covered Short CDS Asset over the Spread of the related Covered Short Matching Long Position, multiplied by (b) the CDS Reference Obligation Notional Amount for such Covered Short CDS Asset multiplied by (c) the Average Life of the CDS Reference Obligation under the related CDS Asset. "Covered Short CDS Asset Premium Test" means a test that will be satisfied if, after entering into any Covered Short CDS Asset, either (a) the premium payable by the Issuer in respect of such Covered Short CDS Asset is equal to or less than the premium receivable by the Issuer with respect to an equivalent CDS Reference Obligation Notional Amount under the related CDS Asset or (b) the Covered Short CDS Asset Total Premium Test Amount is less than or equal to the Covered Short Available Spread Amount. "Covered Short CDS Asset Total Premium Test Amount" means, as of any date of determination, the sum of the Covered Short CDS Asset Premium Amount for each Covered Short CDS Asset (including any Covered Short CDS Asset that the Issuer has committed to enter into or otherwise acquire). "Covered Short CDS Criteria" means the following criteria, which shall be satisfied as of the date on which the Issuer makes a binding commitment to enter into or purchase the Covered Short CDS Asset: (a) if proceeds from the sales of any Covered Short CDS Assets are to be used to purchase or enter into any Covered Short CDS Assets, the Covered Short CDS Asset Additional Criteria shall have been satisfied; (b) the Covered Short CDS Asset Premium Test is satisfied;

(c) the terms of the Covered Short CDS Asset will not require the Issuer to post any collateral in any circumstances other than its obligation to post collateral to any reimbursement reserve account in respect of such Covered Short CDS Asset to cover its reimbursement obligations pursuant to the

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related confirmation and such required amounts shall be on deposit in the Covered Short CDS Asset Collateral Account; (d) the acquisition (including the manner of acquisition), ownership, enforcement and disposition of such Covered Short CDS Asset will not cause the Issuer to be treated as engaged in a U.S. trade or business for U.S. federal income tax purposes or otherwise be subject to tax on a net income basis in any jurisdiction outside the Issuer's jurisdiction of incorporation; (e) the payments to the Issuer on the Covered Short CDS Asset are not subject to withholding tax unless the Covered Short CDS Asset Counterparty is required to make "gross-up" payments sufficient to cover any withholding tax imposed at any time on payments made to the Issuer with respect thereto; and (f) compliance with each of the Portfolio Quality Tests shall be maintained or improved immediately after the entry into or purchase of such Covered Short CDS Asset. "Covered Short Matching Long Position" means, with respect to any Covered Short CDS Asset, a CDS Asset (with the same or a different CDS Asset Counterparty) that provides to the Issuer credit exposure that is the opposite of the credit exposure of the related Covered Short CDS Asset, but which references the same CDS Reference Obligation in the same CDS Reference Obligation Notional Amount. "Covered Short WAS Excess/Shortfall Amount" means, as of any date of determination, the amount (which may be negative) equal to (a) the excess of the Weighted Average Spread minus the Weighted Average Spread Minimum, multiplied by (b) the Principal BalancePortfolio, multiplied by (c) the result of 1 minus the S&P Scenario Default Rate applicable to the "AAA"-rated liabilities of the Issuer. "Credit Improved Security" means any Eligible Collateral Debt Security that, in the reasonable business judgment of the Manager has significantly improved in credit quality since the date of purchase by the Issuer; provided that if a Moody's Trading Restriction Event has occurred and is continuing, then such Eligible Collateral Debt Security will be considered a Credit Improved Security only if it has also been upgraded by at least one rating subcategory by Moody's since it was purchased by the Issuer or has been placed on and is remaining, as of the date of the proposed sale thereof, on a watch list for possible upgrade by Moody's. "Credit Risk Security" means any Eligible Collateral Debt Security that since the date of purchase by the Issuer, in the reasonable business judgment of the Manager, has a significant risk of declining in credit quality; provided that if a Moody's Trading Restriction Event has occurred and is continuing then such Credit Risk Security must have also been downgraded by at least one rating subcategory or been put on a watch list for possible downgrade by Moody's since it was acquired by the Issuer. "Custodial Account" means an account titled "Custodial Account", established with a custodian in the name of the Trustee pursuant to the Indenture to which all Eligible Collateral Debt Securities will be credited. "Defaulted CDS Asset Termination Payments" means any termination payment made on a Payment Date pursuant to the Priority of Payments required to be made by the Issuer to a CDS Asset Counterparty pursuant to the agreement relating to a CDS Asset in the event of a termination of such agreement in respect of which such CDS Asset Counterparty is the Defaulting Party or sole Affected Party (each as defined in the applicable agreement). "Defaulted Interest" means any interest due and payable in respect of any Class of Notes and any interest on such Defaulted Interest which is not punctually paid or duly provided for on the applicable Payment Date or the Maturity DateStated.

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"Defaulted Security" means any Eligible Collateral Debt Security or any other security included in the Collateral: (a) as to which (i) the issuer thereof has defaulted in the payment of principal or interest (without giving effect to any applicable notice or grace period or waiver, unless the Manager certifies to the Trustee that in the Manager's reasonable business judgment such default of up to the lesser of (1) three Business Days and (2) the grace period provided for in the Underlying Instruments is due to non-credit and non-fraud related reasons) or (ii) pursuant to its Underlying Instruments, there has occurred any default or event of default which entitles the holders thereof, with notice or passage of time or both, to accelerate the maturity (whether by mandatory prepayment, mandatory redemption or otherwise) of all or a portion of the outstanding principal amount of such security, unless (1) in the case of a default or event of default consisting of a failure of the obligor on such security to make required interest payments, such security has resumed current payments of interest in Cash (including all accrued interest) and, in the Manager's reasonable business judgment, will continue to make such current payments of interest in Cash (provided that no restructuring has been effected) or (2) in the case of any other default or event of default, such default or event of default is no longer continuing and such security satisfies the definition of "Eligible Collateral Debt Securities"; (b) that ranks pari passu with or subordinate to any other indebtedness for borrowed money owing by the issuer of such security (for purposes hereof, "Other Indebtedness"; provided that such Other Indebtedness of such issuer will not include series of such Other Indebtedness that may be issued or owing by a separate special purpose entity) if such issuer had defaulted in the payment of principal or interest in respect of such Other Indebtedness (without giving effect to any applicable notice or grace period or waiver, unless the Manager certifies to the Trustee that in the Manager's reasonable business judgment such default of up to the lesser of (i) three Business Days and (ii) the grace period provided for in the Underlying Instruments is due to non-credit and non-fraud related reasons and the Manager has so certified in writing to the Trustee), unless, in the case of a default or event of default consisting of a failure of the obligor on such security to make required interest payments, such Other Indebtedness has resumed current payments of interest (including all accrued interest) in Cash (whether or not any waiver or restructuring has been effected) and, in the Manager's reasonable business judgment, will continue to make such current payments of interest in Cash; provided that a security will be considered a Defaulted Security pursuant to this clause (b) unless the Manager determines, in its reasonable business judgment and after due inquiry, that the issuer thereof will (or is reasonably expected by the Manager to, as of the next scheduled distribution date) resume all payments of principal and/or interest on another obligation and have paid all missed payments of principal and/or interest on another obligation, in each case as of the next scheduled distribution date; (c) with respect to which any bankruptcy, insolvency or receivership proceeding has been initiated in respect of the issuer of such Eligible Collateral Debt Security or other security, or there has been proposed or effected any distressed exchange or other debt restructuring where the issuer of such Eligible Collateral Debt Security or other security has offered the debt holders a new security or package of securities that, in the reasonable business judgment of the Manager, either (i) amounts to a diminished financial obligation or (ii) has the purpose of helping the issuer to avoid default; (d) in the case of a CDS Asset, if the CDS Reference Obligation thereof (if there is only one such CDS Reference Obligation) would be a Defaulted Security under clause (a), (b) or (c) of this definition if included as an Eligible Collateral Debt Security (or if there is more than one CDS Reference Obligation thereof, as specified by the Rating Agency at the time of acquisition by the Issuer); (e) that (i) is rated "Ca" or below by Moody's or has a Moody's Rating Factor of 10,000, or (ii) is rated "CC", "D" or "SD" by S&P or has had its rating withdrawn after being rated "CC", "D" or "SD" by S&P; (f) that becomes a Defaulted Security in accordance with the proviso of the definition of "Written Down Security";

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(g) the Underlying Instruments for which permit the deferral of the payment of interest in Cash thereon (including, without limitation, by providing for the payment of interest through the issuance of additional debt securities identical to such debt security or through additions to the principal amount thereof for a specified period in the future or for the remainder of its life or by capitalizing interest due on such debt security as principal) and with respect to which any interest has been deferred for the lesser of six consecutive months and two consecutive payment dates; or (h) that is a CDS Asset with respect to which the related CDS Asset Counterparty is in "default" as such term is defined in the documentation for such CDS Asset. Notwithstanding the foregoing definition, the Manager may declare any Eligible Collateral Debt Security to be a Defaulted Security if, in the Manager's reasonable business judgment, the credit quality of the issuer of such Eligible Collateral Debt Security has significantly deteriorated such that there is a reasonable expectation of payment default as of the next scheduled distribution date. "Defaulted Security Amount" means the sum with respect to each Defaulted Security of the lesser of (a) the product of the Principal Balance of such Defaulted Security and its Applicable Recovery Rate and (b) the product of the Principal Balance of such Defaulted Security and the Market Value of such Defaulted Security; provided that if the applicable Defaulted Security has been a "Defaulted Security" for two years or more, the "Defaulted Security Amount" for such Defaulted Security will be zero. "Deferrable Interest Notes" means the Notes specified as such in the Principal Terms Table. "Deliverable Obligation" means an obligation that is delivered to the Issuer in connection with the physical settlement of a CDS Asset; provided that as of the date on which the Issuer enters into such CDS Asset, such Deliverable Obligation shall meet the definition of "Eligible Collateral Debt Security" or "Eligible Investments". "Depository" or "DTC" means The Depository Trust Company, its nominees, and their respective successors. "Eligible Guarantee" means, with respect to any Hedge Agreement or Cashflow Swap Agreement, an unconditional and irrevocable guarantee of all present and future obligations of the relevant Hedge Counterparty or the Cashflow Swap Counterparty or an Eligible Replacement of such Hedge Counterparty or Cashflow Swap Counterparty to the Issuer under the relevant Hedge Agreement or Cashflow Swap Agreement that is provided by an Eligible Guarantor as principal debtor rather than surety and that is directly enforceable by the Issuer and either (a) a law firm has given a legal opinion confirming that none of the guarantor's payments to the Issuer under such guarantee will be subject to tax collected by withholding or (b) such guarantee provides that, in the event that any of such guarantor's payments to the Issuer are subject to tax collected by withholding, such guarantor is required to pay such additional amount as is necessary to ensure that the net amount actually received by the Issuer (free and clear of any tax collected by withholding) will equal the full amount the Issuer would have received had no such withholding been required. "Eligible Guarantor" means, with respect to any Hedge Agreement or Cashflow Swap Agreement, an entity that has credit ratings at least equal to the Approved Ratings Threshold. "Eligible Investment" means any U.S. dollar-denominated investment that, at the time it is delivered to the Trustee under the Indenture, is one or more of the following obligations or securities: (a) Cash;

(b) direct registered obligations of, and registered obligations the timely payment of principal of and interest on which is fully and expressly guaranteed by, the United States of America or any agency or instrumentality of the United States of America the obligations of which are backed by the full faith and credit of the United States of America;

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(c) demand and time deposits in, and certificates of deposit of, bankers' acceptances issued by, or Federal funds sold by any depository institution or trust company (including the Trustee) incorporated under the laws of the United States of America or any state thereof and subject to the supervision and examination by Federal and/or state banking authorities so long as the commercial paper and/or debt obligations of such depository institution or trust company (or, in the case of the principal depository institution in a holding company system, the commercial paper, time deposits or debt obligations of such holding company) at the time of such investment or contractual commitment providing for such investment have a short-term debt rating of at least "P-1" (not on negative credit watch) and "A-1" by Moody's and S&P, respectively and a long-term debt rating of at least "A1" (not on negative credit watch) and "AA-" by Moody's and S&P, respectively; provided that, in addition to the foregoing, if any such deposit, certificate of deposit, bankers' acceptance of Federal funds are issued or sold by a depository institution or trust company whose commercial paper and/or other debt obligations (or, in the case of the principal depository institution in a holding company system, the commercial paper, time deposits or debt obligations of such holding company) at the time of such investment or the contractual commitment providing for such investment that has a long-term debt rating of "AA-" or a short-term debt rating of "A-1" by S&P, such deposit, certificate of deposit, bankers' acceptance of Federal funds will not be purchased by the Issuer if, after giving effect to such purchase, such deposits, certificates of deposit, bankers' acceptances and Federal funds would constitute more than 20% of the Principal BalanceAggregate of the Outstanding Notes (other than overnight deposits issued or sold by or maintained with the Trustee as of the Closing Date so long as such entity is the Trustee and the Trustee has a short-term debt rating of at least "A-1" by S&P) and must have a maturity of 30 days or less; for the avoidance of doubt, the Issuer may not acquire an Eligible Investment referred to in this clause (c) that has a short-term debt rating below "A-1" by S&P or a long-term debt rating below "AA-" by S&P; (d) Registered debt securities other than mortgage-backed securities bearing interest or sold at a discount issued by any corporation incorporated under the laws of the United States of America or any state thereof that have a credit rating of "Aa2" (not on negative credit watch) by Moody's and "AAA" by S&P at the time of such investment or contractual commitment providing for such investment; (e) unleveraged repurchase obligations with respect to any security described in clause (b) above, entered into with a United States Federal or state depository institution or trust company (acting as principal) described in clause (c) above or entered into with a corporation (acting as principal) whose short-term debt has a credit rating of "P-1" (not on negative credit watch) by Moody's and "A-1+" by S&P at the time of such investment in the case of any repurchase obligation for a security having a maturity not more than 183 days from the date of its issuance or whose long-term debt has a credit rating of at least "Aa2" (not on negative credit watch) by Moody's and "AAA" by S&P at the time of such investment in the case of any repurchase obligation for a security having a maturity more than 183 days from the date of its issuance; (f) commercial paper or other short-term obligations having at the time of such investment a credit rating of "P-1" (not on negative credit watch) by Moody's and "A-1+" by S&P that are registered and are either bearing interest or are sold at a discount from the face amount thereof; provided that, in the case of commercial paper with a maturity at issuance of longer than 91 days, the issuer of such commercial paper (or, in the case of a principal depository institution in a holding company system, the holding company of such system), if rated by the Rating Agencies, must have at the time of such investment a long-term credit rating of at least "Aa2" (not on negative credit watch) by Moody's and "AAA" by S&P; and (g) offshore money market funds with respect to any investments described in clauses (b) through (f) above having, at the time of such investment, a credit rating of not less than "Aaa" (not on negative credit watch) and "MR1+" (not on negative credit watch) by Moody's (if such funds are rated by Moody's) and "AAAm" and "AAAm-G" by S&P, respectively (including those for which the Trustee or any of its Affiliates acts as issuer, sponsor, administrator, investment manager or advisor and for which in such capacity the Trustee may receive compensation);

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provided that (i) no payments from these funds are subject to withholding taxes by any jurisdiction unless the payor is required to make "gross-up" payments that cover the full amount of any such withholding tax on an after-tax basis; (ii) Eligible Investments purchased with funds deposited in the Collection Account during any Period will be held until maturity except as otherwise specifically provided herein and will include only such obligations or securities that mature no later than the Business Day prior to the Payment Date next succeeding the date of investment in such obligations or securities; and (iii) none of the foregoing obligations or securities will constitute Eligible Investments if (1) all, or substantially all, of the remaining amounts payable thereunder will consist of interest and not principal payments, (2) such security is purchased at a price in excess of 100% of par, (3) such security is subject to substantial non-credit related risk, as determined by the Manager in its reasonable business judgment, (4) such security has an assigned rating with a "p", "pi", "q", "r" or "t" subscript, (5) such security is a mortgage-backed security, (6) such security is an inverse floater or interest only security or (7) such security is subject to an offer. Unless the context otherwise requires, all references herein to Eligible Investments will mean Eligible Investments owned by the Issuer. "Eligible Replacement" means an entity that has credit ratings at least equal to the Approved Ratings Threshold or the present and future obligations (for the avoidance of doubt, not limited to payment obligations) of such entity to the Issuer under the relevant Hedge Agreement or the Cashflow Swap Agreement are guaranteed pursuant to an Eligible Guarantee provided by an Eligible Guarantor. "Eligible SPV" means a bankruptcy remote entity incorporated or organized in the Bahamas, Bermuda, the British Virgin Islands, the Cayman Islands, Jersey, the Netherlands Antilles, Luxembourg or any other similar jurisdiction generally imposing no or nominal taxes on the income of companies located therein (so long as Rating Agency Confirmation is obtained in connection with the inclusion of any such other jurisdiction if the unguaranteed, unsecured and otherwise unsupported long-term U.S. Dollar-denominated sovereign debt obligations of such other jurisdiction have a rating below "Aa2" by Moody's and a foreign currency rating below "AA" by S&P) and relying principally, as determined by the Manager, on cash flows originating in the United States of America. "Emerging Markets Country" means a country (a) whose long-term sovereign debt rating or estimated rating with respect to foreign currency obligations is less than "Aa2" by Moody's or "AA" by S&P, (b) whose foreign currency obligations are not rated by each of Moody's and S&P or (c) that is, solely with respect to a CDO Security, defined as such (or the corresponding definition) in the underlying instrument of such CDO Security; provided, that Bermuda, the Cayman Islands and the British Virgin Islands will not be deemed to be "Emerging Markets Countries." "Equity Security" means any security that by its terms does not provide for periodic payments of interest at a stated coupon rate (other than a weighted average coupon bond) and repayment of principal at a stated maturity, any other security that is not otherwise eligible for purchase by the Issuer as an Eligible Collateral Debt Security and any security purchased as part of a "unit" with respect to an Eligible Collateral Debt Security and which is itself not eligible for purchase by the Issuer; provided that the term "Equity Security" will not include any security which otherwise satisfies the criteria set forth in the definition of "Eligible Collateral Debt Securities" which (a) includes, as one of its rights or components, the right to distributions from excess proceeds after required payments are made on other classes of securities or (b) is an Asset Backed Security structured as a certificate or beneficial interest. "Euroclear" means Euroclear Bank S.A./N.V., as operator of the Euroclear System. "Exchange Act" means the United States Securities Exchange Act of 1934, as amended. "Excluded Property" means (a) the account for the Income Notes established under the Income Note Paying Agency Agreement and all funds and other property from time to time deposited in or credited to such account and all proceeds thereof, (b) U.S.$250 in respect of the paid up share capital in respect of the Ordinary Shares of the Issuer, (c) U.S.$100 in respect of paid up share capital in respect of the shares of the Co-Issuer and (d) a U.S.$250 transaction fee paid to the Issuer and any interest earned on the account in which such sums are credited.

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"Fitch" means Fitch Ratings or any successors thereto. "Fixed Rate Security" means, as of any date of determination, any Eligible Collateral Debt Security which is not a Floating Rate Security. "Floating Rate Security" means, as of any date of determination, (a) any Eligible Collateral Debt Security, the interest rate on which resets pursuant to an index after such date of determination and (b) any Floating Rate SecurityDeemed. "Floating Rate SecurityDeemed" means, as of any date of determination an Eligible Collateral Debt Security that bears interest at a fixed rate which is hedged into a floating rate using a Floating Rate Security Deemed Asset Hedge. "Floating Rate SecurityDeemed Asset Hedge" means, with respect to an Eligible Collateral Debt Security that bears interest at a fixed rate, an interest rate swap as to which Rating Agency Confirmation has been received (a) prior to the time the Issuer enters into such swap and (b) prior to the time the Issuer terminates such swap. "Floating Rate SecurityDeemed Spread" means, with respect to any Floating Rate SecurityDeemed, the difference between the stated rate at which interest accrues thereon (without giving effect to the related Floating Rate SecurityDeemed Asset Hedge) and the fixed rate on the related Floating Rate SecurityDeemed Asset Hedge at the time such Floating Rate SecurityDeemed Asset Hedge is executed. "Form-Approved ABS Asset Agreement" means a CDS Asset referencing one or more Asset Backed Securities as CDS Reference Obligations and with respect to which the form of Pay-As-You-Go Confirmation can be entered into without any action by the Rating Agencies and which conforms in all material respects to a form of CDS Asset approved by the Rating Agencies; provided that, for purposes of determining payments thereunder, no provision providing for Implied Writedowns or Implied Writedown Reimbursement Amounts shall be permitted; provided, further, that the Rating Agencies may withdraw or amend such approval at any time upon written notice to the Issuer, the Manager and the Trustee and such withdrawal or amendment shall be applicable to any CDS Assets entered into or acquired subsequent to such withdrawal or amendment; provided further that, if the Form-Approved ABS Asset Agreement is modified as a result of publications by ISDA following the Closing Date, the application of such modifications to the CDS Assets acquired by the Issuer shall be subject to approval by the Requisite Noteholders (so long as the Class A1 Swap Counterparty or the Holders of the Class A1 Notes or Pari Passu Classes are the Requisite Noteholders). "Form-Approved CDO Asset Agreement" means a CDS Asset referencing one or more CDO Securities as CDS Reference Obligations and with respect to which the form of Pay-As-You-Go Confirmation can be entered into without any action by the Rating Agencies and which conforms in all material respects to a form of CDS Asset approved by the Rating Agencies; provided that the Rating Agencies may withdraw or amend such approval at any time upon written notice to the Issuer, the Manager and the Trustee and such withdrawal or amendment shall be applicable to any CDS Asset entered into or acquired subsequent to such withdrawal or amendment; provided further that, if the Form-Approved CDO Asset Agreement is modified as a result of publications by ISDA following the Closing Date, the application of such modifications to the CDS Assets acquired by the Issuer shall be subject to approval by the Requisite Noteholders (so long as the Class A1 Swap Counterparty or the Holders of the Class A1 Notes or Pari Passu Classes are the Requisite Noteholders). "FRB" means the Board of Governors of the Federal Reserve System. "Hedge Agreements" means any interest rate cap agreements, interest rate floor agreements, interest rate swap agreements or similar agreements entered into to hedge the Issuer's interest rate exposure or to raise upfront proceeds and which may provide for an upfront payment payable to or by the Issuer, each as subject to the provisions of the Indenture and on substantially identical terms as Exhibit F to the Indenture or such other terms as to which each Rating Agency shall have provided a Rating Agency Confirmation.

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"Hedge Collateral" means any cash, securities or other collateral delivered and/or pledged by any Hedge Counterparty to or for the benefit of the Issuer, including, without limitation, any upfront payment of cash or delivery of securities made by any Hedge Counterparty to satisfy or secure its payment obligations pursuant to the terms of the related Hedge Agreement. "Hedge Counterparty" means any institution or institutions with which the Issuer enters into interest rate caps, interest rate floors, interest rate swap agreements or similar agreements that address interest rate and currency exposure and with respect to which Rating Agency Confirmation has been received, or any permitted assignees or successors of such institutions under any Hedge Agreements with respect to which Rating Agency Confirmation has been received. "Hedge Payment" means, with respect to the Hedge Agreements and any Payment Date, the amount, if any, then payable by the Issuer to the Hedge Counterparties, including any amounts so payable in respect of a termination of any Hedge Agreement, other than Hedge PaymentsDefaulted. "Hedge PaymentsDefaulted" means any termination payment required to be made by the Issuer to a Hedge Counterparty pursuant to a Hedge Agreement in the event of a termination of such Hedge Agreement in respect of which such Hedge Counterparty is the Defaulting Party or sole Affected Party (each as defined in the applicable Hedge Agreement). "Hedge Replacement Proceeds" means any amounts received from a replacement counterparty in consideration for entering into a substantially similar replacement Hedge Agreement that preserves for the Issuer the economic equivalent of the terminated Hedge Agreement. "Hedge Termination Receipts" means any termination payment paid by a Hedge Counterparty to the Issuer. "Holder" means any Noteholder. "Implied Writedown" means, with respect to any CDS Reference Obligation, the agreement by the parties thereto that an "Implied Writedown" is "Applicable" as determined in accordance with the terms of the related Pay-As-You-Go Confirmation. "Implied Writedown Amount" means, with respect to any CDS Reference Obligation, the "Implied Writedown Amount" as determined in accordance with the terms of the related Pay-As-You-Go Confirmation. "Implied Writedown Excess Payment Reimbursement Amount" means, as of any Payment Date, (a) the aggregate amount of Implied Writedown Excess Payments (as defined in the relevant CDS Asset) paid to the Issuer by a CDS Asset Counterparty minus (b) all amounts previously paid to a CDS Asset Counterparty in respect of the Implied Writedown Excess Payment Reimbursement Amount in accordance with the Priority of Payments on all prior Payment Dates. "Implied Writedown Reimbursement Amount" means, with respect to any CDS Reference Obligation, any "Implied Writedown Reimbursement Amount" as determined in accordance with the terms of the related Pay-As-You-Go Confirmation. "Income Note Component" means with respect to (a) all Class Q Combination Notes, U.S$2,500,000 principal amount of the Income Notes and (b) with respect to any Class Q Combination Note, the portion of the Component referred to in clause (a) that bears the same proportion as the principal amount of such Class Q Combination Note bears to all Class Q Combination Notes then Outstanding. "Income Note Register" means the register maintained by the Income Note Registrar under the Income Note Paying Agency Agreement. "Income Notes" means the Income Notes due 2052 issued by the Issuer.

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"Increased Fixed Amounts" means, in respect of any CDS Assets that reference mortgage-backed securities, the increased amounts payable by the CDS Asset Counterparty as a result of the failure of the relevant CDS Reference Obligor or any third party to exercise a "clean-up call" or other similar right to purchase, redeem, cancel or terminate the CDS Reference Obligation resulting in a of a step-up in the interest on the CDS Reference Obligation. "Indenture" means the Indenture, dated as of the Closing Date, among the Co-Issuers and the Trustee. "Indenture Register" means the register maintained by the Indenture Registrar under the Indenture. "Initial Rating" means, with respect to any Class of Notes, the rating or ratings, if any, specified in the Principal Terms Table. "Interest Collection Account" means an account titled "Interest Collection Account", established with a custodian in the name of the Trustee pursuant to the Indenture into which all Interest Collections will be deposited. "Interest Collections" means, with respect to any Period and the related Payment Date, the sum (without duplication) of all amounts received in Cash by the Issuer during such Period (or as otherwise specified below) that are (a) payments of interest with respect to any Eligible Collateral Debt Securities and Eligible Investments included in the Collateral (including any Sale Proceeds representing unpaid interest accrued thereon to the date of the sale thereof unless the Manager elects, at its option, to treat such Sale Proceeds as representing such unpaid interest accrued thereon as Principal Collections (but excluding any Accrued Interest Purchased With Principal)), (b) payments of CDS Fixed Amounts, CDS Asset Interest Reimbursements with respect to which the related CDS Asset Interest Payment was paid from Interest Collections, the accrued interest component of any CDS Asset Counterparty Termination Payments, Second Additional Fixed Amounts and Increased Fixed Amounts, in each case, paid by any CDS Asset Counterparty to the Issuer pursuant to the terms of a CDS Asset, (c) payments on Eligible Investments purchased with Interest Collections, (d) payments from a Hedge Counterparty or the Cashflow Swap Counterparty under any Hedge Agreement or the Cashflow Swap Agreement (excluding any payments from a Hedge Counterparty or the Cashflow Swap Counterparty upon reduction of the notional amount thereof and any termination payments) and, for this purpose, any such payment received or to be received on a Payment Date will be deemed received in respect of the Period immediately preceding such Payment Date and will be included in the calculation of Interest Collections received in such Period), (e) all payments by the CDS Collateral Securities Counterparty to the Issuer pursuant to the CDS Collateral Agreement in the form of periodic amounts constituting LIBOR-based return on a notional amount corresponding to the principal amount of the CDS Collateral Eligible Securities, (f) Covered Short CDS Asset Interest Payments received from a Covered Short CDS Asset Counterparty; (g) amendment and waiver fees, all late payment fees, all commitment fees, premiums and all other fees and commissions, (h) amounts deposited into the Collection Account as Interest Collections pursuant to the Priority of Payments on the Payment Date immediately preceding such Payment Date; (i) amounts from the Expense Reserve Account deposited into the Collection Account as Interest Collections in accordance with the Indenture; (j) any amounts released from the CDS Asset Issuer Account; and (k) all proceeds from the foregoing; provided that Interest Collections will not include (i) the Excluded Property and (ii) any amounts received on or in connection with Defaulted Securities. "Interest Coverage Amount" means, as of any date of determination, an amount equal to (a) the amount received or scheduled to be received as Interest Collections during the related Period, less (b) the sum of (i) amounts paid or scheduled to be paid on the related Payment Date pursuant to the Priority of Payments prior to clause (G) of the Priority of PaymentsInterest Collections and (ii) the amounts paid or scheduled to be paid on the related Payment Date pursuant to clause (G)(ii) and clause (H) of the Priority of PaymentsInterest Collections; provided that (1) scheduled Interest Collections will not include amounts scheduled to be received on Eligible Collateral Debt Securities with respect to which, in the Manager's reasonable business judgment, there is a reasonable expectation of an interest payment default as of the next scheduled distribution date, (2) scheduled Interest Collections will not include any amount scheduled to be received on securities that are currently deferring interest or securities that are Written Down Securities or Defaulted Securities until such amounts are actually received in Cash and (3) the expected interest on Eligible Collateral Debt Securities, Eligible Investments and the Class A1 Notes and the Class S Notes (if any) will be calculated using the then-current interest rate applicable thereto.

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"Interest Coverage Ratio" means, with respect to any Class of Notes, as of any date of determination, the percentage obtained by dividing (a) the Interest Coverage Amount by (b) an amount equal to the unpaid Periodic Interest (including any Defaulted Interest thereon) on the Notes of such Class and each Senior Class and Pari Passu Class payable on the Payment Date immediately following such date of determination. "Interest Coverage Test" means a test that is satisfied with respect to any Class of Notes if, as of any date of determination, the Interest Coverage Ratio for such Class is at least equal to the Interest Coverage Required specified in the Principal Terms Table for such Class. "Investment Company Act" means the United States Investment Company Act of 1940, as amended. "Irish Stock Exchange" means the Irish Stock Exchange Limited. "Junior Class" means, with respect to any specified Class of Secured Notes, each Class of Secured Notes that ranks junior to such Class, as indicated in the Principal Terms Table. "Key Counterparties" means the Class A1 Swap Counterparty, each Hedge Counterparty, the Cashflow Swap Counterparty, each CDS Asset Counterparty, the CDS Collateral Securities Counterparty and the Manager. "Listed Notes" means the Notes specified as such in the Principal Terms Table. "Majority" means the Holders of more than 50% of the Principal BalanceAggregate of the relevant Class or Classes of Notes. For this purpose, each Holder of a Class Q Combination Note shall be treated as a Holder of a Principal Balance of the Notes of the Class represented by the related Components comprising such Class Q Combination Note equal to the Principal Balance of such Component. "Margin Stock" has the meaning provided in Regulation U of the FRB. "Market Value" means, on any date of determination, with respect to one or more Collateral Obligations, the percentage of par, determined using the first available (or required) of the following methods: (a) the price supplied therefor by any independent, nationally recognized pricing service for the relevant type of Collateral Obligation (provided that Rating Agency Confirmation has been received with respect to such service from S&P) and as certified by the Manager as being obtained from such sources; (b) the average of three or more bid-side market values thereof obtained by the Manager from nationally recognized broker/dealers that are independent from the Manager and independent from each other; (c) (d) the lower of two such bid-side market values thereof; any single such bid-side market value thereof;

(e) if no bid-side market value is available, the lower of (i) the Principal Balance of such Collateral Obligation multiplied by the Applicable Recovery Rate for such Collateral Obligation and (ii) the Manager's good faith estimate using its reasonable business judgment as certified by the Manager; and (f) (i) for Eligible Collateral Debt Securities and Eligible Investments having a Principal BalanceAggregate in excess of 10% of the Principal BalancePortfolio whose "Market Value" is being determined in accordance with clause (d) or (e) above and (ii) for Eligible Collateral Debt Securities and Eligible Investments whose "Market Value" has been determined in accordance with clause (d) or (e) above for more than 30 days, zero.

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"Maturity" means, with respect to any Secured Note or Class Q Combination Note, the date on which all unpaid principal of such Secured Note or Class Q Combination Note becomes due and payable as therein and herein provided. "Measurement Date" means (a) the Closing Date and each day the Issuer purchases or commits to purchase an Eligible Collateral Debt Security; (b) the Ramp-Up End Date; (c) any date on which an Eligible Collateral Debt Security becomes a PIKing Bond or a Defaulted Security; (d) each Period End Date; (e) the determination date of each Monthly Report; and (f) with reasonable notice to the Issuer, the Manager and the Trustee, any other Business Day requested by a Majority of any Class of Notes. "Moody's" means Moody's Investors Service, Inc. or any successors thereto. "Moody's Asset Correlation Factor" means a single number that is determined in accordance with the correlation methodology provided to the Manager and the Trustee by Moody's. "Moody's First Rating Trigger Event" means an event that shall occur if (a) a Relevant Entity does not meet the Moody's First Trigger Ratings Threshold for at least 30 Local Business Days (as defined in the relevant Hedge Agreement) and (b) the applicable Hedge Counterparty has neither (i) complied with its obligations to be complied with or performed in accordance with the ISDA Credit Support Annex attached to the relevant Hedge Agreement nor (ii) furnished an Eligible Guarantee or obtained an Eligible Replacement and either (A) no Moody's Second Trigger Ratings Event has occurred or (B) less than 30 Local Business Days (as defined in the relevant Hedge Agreement) have elapsed since the last time that no Moody's Second Trigger Ratings Event had occurred and was continuing. "Moody's First Trigger Ratings Threshold" means, with respect to any Hedge Counterparty or the Cashflow Swap Counterparty, the guarantor under an Eligible Guarantee or an Eligible Replacement, (a) if such entity has both a long-term unsecured and unsubordinated debt rating or counterparty rating from Moody's and a short-term unsecured and unsubordinated debt rating from Moody's, a long-term unsecured and unsubordinated debt rating or counterparty rating from Moody's of "A2" and a short-term unsecured and unsubordinated debt rating from Moody's of "Prime-1", or (b) if such entity has only a long-term unsecured and unsubordinated debt rating or counterparty rating from Moody's, a long-term unsecured and unsubordinated debt rating or counterparty rating from Moody's of "A1". "Moody's Rating" means the rating by Moody's of any Eligible Collateral Debt Security determined as follows: (i) such rating; if such Eligible Collateral Debt Security is rated by Moody's, the Moody's Rating will be

(ii) if such Eligible Collateral Debt Security is not rated by Moody's, but the Issuer or the Manager on behalf of the Issuer has requested that Moody's assign a rating to such Eligible Collateral Debt Security, the Moody's Rating will be the rating so assigned by Moody's; (iii) with respect to an asset backed security, if such asset backed security is not rated by Moody's then the Moody's Rating of such asset backed securities may be determined using any one of the methods below: (A) if such Eligible Collateral Debt Security is rated by S&P, then the Moody's Rating will be some number of subcategories (equal to the notches provided in the following chart) below the Moody's equivalent of the rating assigned by S&P. The figures represent the number of notches to be subtracted from the rating assigned by S&P.

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Asset Class Automobile Lease Securities Automobile Loan Securities Credit Card Securities Equipment Leasing Securities Student Loan Securities Trade Receivable Securities Asset Class Residential A Mortgage Securities Residential A Mortgage Securities* Residential B/C Mortgage Securities Home Equity Loan Securities

At least "AA-" 2 1 1 1 1 2 "AAA" 1 1 1 1

"A+" to "BBB-" 3 2 2 2 2 3 "AA+" to "BBB-" 2 3 2 2

Less than "BBB-" 4 3 3 3 3 4 Less than "BBB-" 3 4 3 3

* Residential A Mortgage Securities backed primarily by Alt A/Mixed Pools (B) if such Eligible Collateral Debt Security is rated by Fitch only, then the Moody's Rating will be some number of subcategories (equal to the notches provided in the following chart) below the Moody's equivalent of the rating assigned by Fitch. The figures represent the number of notches to be subtracted from the rating assigned by Fitch. For dual-rated Residential A Mortgage Securities, the Moody's Rating will be the lower of the two ratings on the security, adjusted by applying the appropriate single-rated notching guidelines below, then increased by 1/2 notch. Asset Class Residential A Mortgage Securities Residential A Mortgage Securities* Residential B/C Mortgage Securities Home Equity Loan Securities "AAA" 1 1 No Notching Permitted No Notching Permitted "AA+" to "BBB-" 2 3 No Notching Permitted No Notching Permitted Less than "BBB-" 4 5 No Notching Permitted No Notching Permitted

* Residential A Mortgage Securities backed primarily by Alt A/Mixed Pools (C) if such Eligible Collateral Debt Security is a commercial mortgage-backed security, the following notching rules are applicable to both S&P and Fitch. For this purpose, commercial mortgage-backed conduit securities are defined as fixed rate, sequential pay, multi-borrower transactions: (1) if the tranche is rated by Fitch and S&P with no tranche in the transaction having a Moody's Rating (as defined in subsection (i) of the definition of such term):

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Asset Class CMBS Conduit Securities CMBS Credit Tenant Lease Securities CMBS Large Loan Securities CMBS Single Asset Securities

Notching Rule 2 notches from the lower of S&P and Fitch Follow notching practice in subclause (iv) below No Notching Permitted No Notching Permitted

(2) if the tranche is rated by Fitch and/or S&P with at least one other tranche in the transaction having a Moody's Rating (as defined in subsection (i) of the definition of such term): Asset Class CMBS Conduit Securities CMBS Credit Tenant Lease Securities CMBS Large Loan Securities CMBS Single Asset Securities Notching Rule 1.5 notches from the lower of S&P and Fitch Follow notching practice in subclause (iv) below No Notching Permitted No Notching Permitted

(iv) with respect to corporate guarantees (guaranteeing full principal and interest) on asset backed securities, if such corporate guarantees are not rated by Moody's but another security or obligation of the guarantor or obligor (an "other security") is rated by Moody's, and no rating has been assigned in accordance with clause (ii) above, the Moody's Rating of such Eligible Collateral Debt Security will be determined as follows: (A) if the corporate guarantee is a senior secured obligation of the guarantor or obligor and the other security is also a senior secured obligation, the Moody's Rating of such Eligible Collateral Debt Security will be the rating of the other security; (B) if the corporate guarantee is a senior unsecured obligation of the guarantor or obligor and the other security is a senior secured obligation, the Moody's Rating of such Eligible Collateral Debt Security will be one rating subcategory below the rating of the other security; (C) if the corporate guarantee is a subordinated obligation of the guarantor or obligor and the other security is a senior secured obligation: (1) rated "Ba3" or higher by Moody's, the Moody's Rating of such corporate guarantee will be three rating subcategories below the rating of the other security; (2) rated "B1" or lower by Moody's, the Moody's Rating of such corporate guarantee will be two rating subcategories below the rating of the other security; (D) if the corporate guarantee is a senior secured obligation of the guarantor or obligor and the other security is a senior unsecured obligation: (1) rated "Baa3" or higher by Moody's, the Moody's Rating of such corporate guarantee will be the rating of the other security; (2) rated "Ba1" or lower by Moody's, the Moody's Rating of such corporate guarantee will be one rating subcategory above the rating of the other security;

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(E) if the corporate guarantee is a senior unsecured obligation of the guarantor or obligor and the other security is also a senior unsecured obligation, the Moody's Rating of such corporate guarantee will be the rating of the other security; (F) if the corporate guarantee is a subordinated obligation of the guarantor or obligor and the other security is a senior unsecured obligation: (1) rated "B1" or higher by Moody's, the Moody's Rating of such corporate guarantee will be two rating subcategories below the rating of the other security; (2) rated "B2" or lower by Moody's, the Moody's Rating of such corporate guarantee will be one rating subcategory below the rating of the other security; (G) if the corporate guarantee is a senior secured obligation of the guarantor or obligor and the other security is a subordinated obligation: (1) rated "Baa3" or higher by Moody's, the Moody's Rating of such corporate guarantee will be one rating subcategory above the rating of the other security; (2) rated below "Baa3" but above "B3" by Moody's, the Moody's Rating of such corporate guarantee will be two rating subcategories above the rating of the other security; (3) rated "B3" or lower by Moody's, the Moody's Rating of such corporate guarantee will be "B2"; (H) if the corporate guarantee is a senior unsecured obligation of the guarantor or obligor and the other security is a subordinated obligation: (1) rated "Baa3" or higher by Moody's, the Moody's Rating of such corporate guarantee will be one rating subcategory above the rating of the other security; (2) rated "Bal" or lower by Moody's, the Moody's Rating of such corporate guarantee will also be one rating subcategory above the rating of the other security; (I) if the Eligible Collateral Debt Security is a subordinated obligation of the guarantor or obligor and the other security is also a subordinated obligation, the Moody's Rating of such corporate guarantee will be the rating of the other security; and (v) with respect to corporate guarantees (guaranteeing full principal and interest) issued by U.S., U.K. or Canadian obligors or guarantors or by any other Eligible SPV, if such corporate guarantee is not rated by Moody's, and no other security or obligation of the guarantor is rated by Moody's, then the Moody's Rating of such corporate guarantee may be determined using any one of the methods below: (A) (1) if such corporate guarantee is rated by S&P, then the Moody's Rating of such corporate guarantee will be (x) one subcategory below the Moody's equivalent of the rating assigned by S&P if such security is rated "BBB-" or higher by S&P and (y) two subcategories below the Moody's equivalent of the rating assigned by S&P if such security is rated "BB+" or lower by S&P; and (2) if such corporate guarantee is not rated by S&P but another security or obligation of the guarantor is rated by S&P (a "parallel security"), then the Moody's equivalent of the rating of such parallel security will be determined in accordance with the methodology set forth in subclause (1) above, and the Moody's Rating of such corporate guarantee will be determined in accordance with the methodology set forth in

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clause (iv) above (for such purpose treating the parallel security as if it were rated by Moody's at the rating determined pursuant to this subclause (2)); (B) if such corporate guarantee is not rated by Moody's or S&P, and no other security or obligation of the guarantor is rated by Moody's or S&P, then the Issuer or the Manager on behalf of the Issuer, may present such corporate guarantee to Moody's for an estimate of such Eligible Collateral Debt Security's rating factor, from which its corresponding Moody's rating may be determined, which will be its Moody's Rating; (C) with respect to a corporate guarantee issued by a United States corporation, if (1) neither the guarantor nor any of its affiliates is subject to reorganization or bankruptcy proceedings, (2) no debt securities or obligations of the guarantor are in default, (3) neither the guarantor nor any of its affiliates have defaulted on any debt during the past two years, (4) the guarantor has been in existence for the past five years, (5) the guarantor is current on any cumulative dividends, (6) the fixed-charge ratio for the guarantor exceeds 125% for each of the past two fiscal years and for the most recent quarter, (7) the guarantor had a net profit before tax in the past fiscal year and the most recent quarter and (8) the annual financial statements of the guarantor are unqualified and certified by a firm of independent accountants of national reputation, and quarterly statements are unaudited but signed by a corporate officer, the Moody's Rating of such corporate guarantee will be "B3"; (D) with respect to a corporate guarantee issued by a non-U.S. guarantor, if (1) neither the guarantor nor any of its affiliates is subject to reorganization or bankruptcy proceedings and (2) no debt security or obligation of the guarantor has been in default during the past two years, the Moody's Rating of such Eligible Collateral Debt Security will be "Caa2"; and (E) if a debt security or obligation of the guarantor has been in default during the past two years, the Moody's Rating of such Eligible Collateral Debt Security will be "Ca"; provided that (1) asset backed securities other than those referred to in subclauses (A) through (C) of clause (iii) above, subclauses (A) through (I) of clause (iv) above or subclauses (A) through (E) of clause (v) above have a Moody's Rating as described in clause (i) or (ii) above; (2) (I) if an Eligible Collateral Debt Security that would otherwise have a Moody's Rating of "Aaa" is placed on a watch list for possible downgrade by Moody's, the Moody's Rating applicable to such Eligible Collateral Debt Security will be "Aa1"; (II) if an Eligible Collateral Debt Security that would otherwise have a Moody's Rating of below "Aaa" (x) is placed on a watch list for possible upgrade by Moody's, the Moody's Rating applicable to such Eligible Collateral Debt Security will be one rating subcategory above the Moody's Rating that would otherwise be applicable to such Eligible Collateral Debt Security if it were not on such watch list and (y) if such Eligible Collateral Debt Security is placed on a watch list for possible downgrade by Moody's, the Moody's Rating applicable to such Eligible Collateral Debt Security will be two rating subcategories below the Moody's Rating that would otherwise be applicable to such Eligible Collateral Debt Security if it were not on such watch list; and (III) the rating of any Rating Agency used to determine the Moody's Rating will be a published rating that has no qualifying asterisks, subscripts or other modifications to the alphabetic rating and addresses the obligation of the obligor (or guarantor, where applicable) to pay principal of and interest on the relevant Eligible Collateral Debt Security in full and is monitored on an ongoing basis by the relevant Rating Agency; (3) with respect to any Form-Approved ABS Asset Agreement or Form-Approved CDO Asset Agreement, the Moody's Rating shall be the same as the Moody's Rating of the related CDS Reference Obligation; (4) with respect to any CDS Asset other than those referred to in the preceding clause of this proviso, the Moody's Rating thereof shall be determined as specified by Moody's at the time such CDS Asset is acquired; (5) CDO Securities shall not be eligible for notching and (6) the Principal BalanceAggregate of Eligible Collateral Debt Securities that may be assigned a rating pursuant to subclause (A) of clause (c) above may not exceed 20.0% of the Principal BalanceAggregate of all Eligible Collateral Debt Securities. "Moody's Rating Factor" means, relating to any Eligible Collateral Debt Security, the number set forth in the table below opposite the Moody's Rating of such Eligible Collateral Debt Security:

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Moody's Rating Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3

Moody's Rating Factor 1 10 20 40 70 120 180 260 360 610

Moody's Rating Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca or lower

Moody's Rating Factor 940 1,350 1,766 2,220 2,720 3,490 4,770 6,500 8,070 10,000

With respect to any Form-Approved ABS Asset Agreement or Form-Approved CDO Asset Agreement, the Moody's Rating Factor shall be the same as the Moody's Rating Factor of the related CDS Reference Obligation. With respect to any CDS Asset other than those referred to in the preceding sentence, the Moody's Rating Factor thereof shall be determined as specified by Moody's at the time such CDS Asset is acquired. If an Eligible Collateral Debt Security is not rated by Moody's and no other security or obligation of the issuer is rated by Moody's and the Issuer seeks to obtain a rating estimate, then the Moody's Rating Factor of such Eligible Collateral Debt Security will be based on such rating estimate. "Moody's Recovery Rate" means, with respect to any Eligible Collateral Debt Security on any Measurement Date, an amount equal to the percentage for such Eligible Collateral Debt Security set forth in the recovery rate matrix in a schedule to the Indenture in (a) the table corresponding to the specified type of Eligible Collateral Debt Security, (b) the column in such table setting forth the initial Moody's Rating assigned to such Eligible Collateral Debt Security and (c) the row in such table opposite the percentage of the issue of which such Eligible Collateral Debt Security is a part relative to the total capitalization of (including debt and equity securities issued by) the relevant issuer of or obligor on such Eligible Collateral Debt Security determined on the date on which such Eligible Collateral Debt Security was originally issued; provided that, (i) if such Eligible Collateral Debt Security is a Guaranteed Debt Security, such percentage will be 30% and (ii) if such Eligible Collateral Debt Security is not of a type set forth in the recovery rate matrix in Schedule 2 hereto, such percentage will be the recovery rate assigned by Moody's in connection with the Issuer's acquisition thereof of such other recovery rate therefor as may thereafter be notified by Moody's to the Issuer or the Manager; provided, further that the Issuer and the Manager may seek modifications to such recovery rate matrix only if Rating Agency Confirmation from Moody's has been received with respect thereto. "Moody's Second Trigger Ratings Event" means an event that shall occur if no Relevant Entity has credit ratings from Moody's at least equal to the Moody's Second Trigger Ratings Threshold. "Moody's Second Trigger Ratings Threshold" means, with respect to any Hedge Counterparty or the Cashflow Swap Counterparty, the guarantor under an Eligible Guarantee or an Eligible Replacement, (a) if such entity has both a long-term unsecured and unsubordinated debt rating or counterparty rating from Moody's and a short-term unsecured and unsubordinated debt rating from Moody's, a long-term unsecured and unsubordinated debt rating or counterparty rating from Moody's of "A3" and a short-term unsecured and unsubordinated debt rating from Moody's of "P-2", or (b) if such entity has only a long-term unsecured and unsubordinated debt rating or counterparty rating from Moody's, a long-term unsecured and unsubordinated debt rating or counterparty rating from Moody's of "A3". "Moody's Trading Restriction Event" means an event that will occur and be continuing if (a) the Moody's long-term rating of any Class of Notes having an Initial Rating of "Aa3" or higher by Moody's has been withdrawn or is lower than such Initial Rating or (b) the Moody's long-term rating of any Class of Notes having an Initial Rating below "Aa3" by Moody's has been withdrawn or is two or more rating subcategories lower than such Initial Rating; provided that the withdrawal of a rating in connection with the repayment in full of the principal on any Class of Notes will not be considered a Moody's Trading Restriction Event.

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"Moody's Weighted Average Rating Factor" means a number determined by summing the products obtained by multiplying the Principal Balance of each Eligible Collateral Debt Security by its Moody's Rating Factor and dividing such sum by the Principal BalanceAggregate of all Eligible Collateral Debt Securities. "Moody's Weighted Average Recovery Rate" means the number determined by summing the products obtained by multiplying the Principal Balance of each Eligible Collateral Debt Security by its Moody's Recovery Rate and dividing such sum by the Principal BalanceAggregate of all Eligible Collateral Debt Securities. "Net Aggregate Adjusted Notional Amount" means, as of any date, the Aggregate CDS Asset Notional Amount minus, for each CDS Asset that is subject to a Covered Short CDS Asset, the notional amount of the related Covered Short CDS Asset. "Non-Co-Issued Notes" means each Class of Notes that is not designated in the Principal Terms Table as Co-Issued Notes. "Non-U.S. Person" means a Person that is not a U.S. Person as defined in Regulation S. "Noteholder" means, with respect to any Note, the Person in whose name such Note is registered in the Indenture Register, in the case of the Secured Notes or Class Q Combination Notes, or the Income Note Register, in the case of the Income Notes. "Notes" means the Secured Notes, the Class Q Combination Notes and the Income Notes. "OID Note " means each Class of Notes that is designated in the Principal Terms Table as an OID Note. "Outstanding" means: (a) with respect to the Secured Notes or Class Q Combination Notes, as of any date of determination, all Secured Notes or Class Q Combination Notes theretofore authenticated and delivered under the Indenture except: (i) Secured Notes or Class Q Combination Notes theretofore canceled or delivered for cancellation, (ii) Secured Notes or Class Q Combination Notes for whose payment or redemption money in the necessary amount has been theretofore irrevocably deposited with the Trustee or any paying agent in trust for the Holders of such Secured Notes or Class Q Combination Notes, provided that, if such Secured Notes or Class Q Combination Notes are to be redeemed, notice of such redemption has been duly given pursuant to the Indenture or provision therefor satisfactory to the Trustee has been made, (iii) Secured Notes or Class Q Combination Notes in exchange for or in lieu of which other Secured Notes or Class Q Combination Notes have been authenticated and delivered pursuant to the Indenture, unless proof satisfactory to the Trustee is presented that any such Secured Notes or Class Q Combination Notes are held by a holder in due course and (iv) mutilated Secured Notes or Class Q Combination Notes and Secured Notes or Class Q Combination Notes alleged to have been destroyed, lost or stolen for which replacement Secured Notes or Class Q Combination Notes have been issued as provided in the Indenture; and (b) with respect to the Income Notes, as of any date of determination, all Income Notes theretofore issued and allotted under the Income Note Paying Agency Agreement other than the Income Notes redeemed or repurchased in accordance with the terms of the Income Note Paying Agency Agreement; provided that in determining whether the Holders of the requisite Principal BalanceAggregate of the Notes have given any request, demand, authorization, direction, notice, consent or waiver thereunder, (x) Notes owned by or pledged to the Issuer or any other obligor upon the Notes or any Affiliate of the Issuer or of such other obligor and (in the case of any supplemental indenture that affects any provisions hereof that affect the Trustee) Notes owned by or pledged to the Trustee, solely in its capacity as Trustee, under the Indenture or any of its Affiliates will be disregarded and deemed not to be Outstanding, except that, in determining whether the Trustee will be protected in relying upon any such request, demand, authorization, direction, notice, consent or waiver, only Notes that a responsible officer of the Trustee actually knows to be so owned or pledged will be so disregarded; and (y) any Notes held or beneficially owned by the Manager, any of its Affiliates or an account or fund for which the Manager

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acts as the Manager with discretionary authority will be disregarded for purposes of (1) any vote or consent relating to the removal of the Manager, (2) the proposal by the Holders of the Income Notes of a successor manager and (3) the election of the Requisite Noteholders to approve such proposal. "Pari Passu Class" means, with respect to any specified Class of Secured Notes, each Class of Secured Notes that ranks pari passu with such Class, as indicated in the Principal Terms Table. "Pay-As-You-Go Confirmation" means one of the "Pay-As-You-Go" forms of confirmation in respect of credit default transactions on Asset Backed Securities or collateralized debt obligations published by ISDA (or any successor version of each such form as may be approved by the Manager acting on behalf of the Issuer), which in each case, in conjunction with the Master Agreement, allows the Issuer to enter into credit default swaps from time to time by executing and delivering one or more confirmations on such form. "Paying Agent" means any Person authorized by the Issuer to pay the principal of or interest on any Secured Note, on behalf of the Issuer as specified in the Indenture. "Payment Amount" means the amount of interest payable in respect of each Class of Secured Notes on each Payment Date. "Period" means, with respect to each Payment Date, the period beginning on the day following the last day of the Period relating to the preceding Payment Date, (or, in the case of the Period that is applicable to the first Payment Date, beginning on the Closing Date) and ending at the close of business on the Business Day four Business Days immediately preceding such Payment Date; provided that, if the nominal due date for any payment on any Collateral Obligation occurs on a day during a Period that is not a business day under the applicable Underlying Instrument and as a result such payment is paid and received in the following Period, then such payment will be deemed to have been received during the Period in which such nominal due date falls if such payment is received no later than two Business Days prior to the relevant Payment Date; provided further that if the payment date on a CDS Asset is in a later Period than if the Issuer owned the related CDS Reference Obligation by virtue of any payment delay in such CDS Asset, then such payment shall be deemed to have been received in such earlier Period so long as such payment is actually received no later than two Business Days prior to the related Payment Date. "Period End Date" means, with respect to any Payment Date, the last day of the related Period. "Periodic Interest" means, with respect to the Secured Notes of any Class or Class Q Combination Notes, interest on such Class of Secured Notes or Class Q Combination Notes payable on each Payment Date and accruing during each Periodic Interest Accrual Period at the Periodic Interest Rate for such Class. "Periodic Interest Accrual Period" means (a)(i) with respect to the first succeeding Payment Date following a Class A1 Note Funding Date and the Class A1 Notes issued on such date, the period from and including the Class A1 Note Funding Date on which such Class A1 Note is issued to but excluding the next succeeding Payment Date and (ii) with respect to each other Class of Secured Notes or Class Q Combination Notes, with respect to the initial Payment Date, the period from and including the Closing Date to but excluding the Payment Date in May 2007, and (b) thereafter, each successive period from and including each Payment Date to but excluding the next succeeding Payment Date. "Periodic Interest Cumulative Shortfall Amount" means, with respect to any Class of Deferrable Interest Notes as of any date of determination, the sum of the Periodic Interest Shortfall Amounts with respect to such Class of Notes for each Payment Date preceding such date of determination, less any amount applied on preceding Payment Dates pursuant to the Priority of Payments to reduce such sum. "Periodic Interest Rate" means, with respect to any specified Class of Secured Notes or Class Q Combination Notes, the per annum rate at which interest accrues as specified in the Principal Terms Table.

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"Periodic Interest Shortfall Amount" means, with respect to any Class of Deferrable Interest Notes and each Payment Date, any shortfall in the payment of the Periodic Interest due for such Class of Notes on such Payment Date. "Person" means an individual, corporation (including a business trust), partnership, limited liability company, joint venture, association, joint stock company, trust (including any beneficiary thereof), bank, unincorporated association or government or any agency or political subdivision thereof or any other entity of similar nature. "PIKing Bond Amount" means, with respect to each PIKing Bond in the Collateral, the lesser of (a) the product of the Principal Balance of such PIKing Bond and the Applicable Recovery Rate of such PIKing Bond and (b) the product of the Principal Balance of such PIKing Bond and the Market Value of such PIKing Bond. "Principal Balance" means, with respect to any Eligible Collateral Debt Security or Eligible Investment, as of any date of determination, the outstanding principal amount of such Eligible Collateral Debt Security or interest bearing Eligible Investment and the purchase price of any non-interest bearing Eligible Investment, as the case may be; provided that the Principal Balance of (a) any Eligible Collateral Debt Security that permits the deferral or capitalization of interest will not include any outstanding balance of the deferred, capitalized interest or negative amortization interest, (b) any CDS Asset will be the notional amount of such CDS Asset (excluding the notional amount of such CDS Asset with respect to which the Issuer has acquired a Covered Short CDS Asset) and any CDS Asset in the form of a note will be equal to the principal amount of the CDS Asset, and (c) any Equity Security will be zero. "Principal BalanceAggregate" means, with respect to any date of determination, (a) when used with respect to any Collateral Obligations, the aggregate Principal Balance of such Collateral Obligations on such date of determination; (b) (i) when used with respect to any Class of Notes or Component, if any, or portion thereof, as of such date of determination, the original principal amount of such Class or Component, as applicable, or portion thereof reduced by all prior payments, if any, made with respect to principal of such Class or portion thereof, and, (x) with respect to each Class of Deferrable Interest Notes, increased by any Periodic Interest Cumulative Shortfall Amount with respect to such Class, and (y) with respect to the Class A1 Notes, increased by any Class A1 Note Fundings in accordance with the Indenture and (ii) with respect to any Class of Notes represented by a Component that comprises a Class Q Combination Note, the Principal BalanceAggregate (determined under this clause (b)) of such Component; and (c) when used with respect to all the Notes the sum of the Principal BalanceAggregate (determined under clause (b) above) of all the Notes. "Principal BalancePortfolio" means, on any date of determination, an amount equal to the sum of (a) the Principal BalanceAggregate of the Eligible Collateral Debt Securities in the Collateral and (b) the Principal BalanceAggregate of Eligible Investments in the Collateral representing Principal Collections. "Principal Collection Account" means an account titled "Principal Collection Account", established with a custodian in the name of the Trustee pursuant to the Indenture into which all Principal Collections with respect to the Eligible Collateral Debt Securities will be deposited. "Principal Collections" means, with respect to any Period and the related Payment Date, the sum (without duplication) of all amounts received in Cash by the Issuer during such Period that are not Interest Collections; provided that Principal Collections will not include (a) the Excluded Property and (b) amounts or deposit in the Hedge Termination Receipts Account and the Hedge Replacement Accounts. "Principal Coverage Amount" means, as of any date of determination, an amount equal to (a) the Principal BalanceAggregate of all Eligible Collateral Debt Securities (other than Defaulted Securities, PIKing Bonds and Written Down Securities) included in the Collateral on such date, plus (b) the Principal BalanceAggregate of the Eligible Investments in the Collection Account on such date that represent Principal Collections, plus (c) with respect to each Defaulted Security, such security's Defaulted Security Amount, plus (d) with respect to each PIKing Bond, such security's PIKing Bond Amount, plus (e) with respect to each Written Down Security, such security's Written Down Principal Balance, plus (f) any CDS Asset Capacity Amount; provided that for any Principal Coverage Discount Security or Written Down Security, the Principal Balance thereof for purposes of clause (a)

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above, or the Written Down Principal Balance thereof for purposes of clause (e) above, as applicable, shall be deemed to be discounted to an amount equal to the percentage thereof corresponding to its purchase price (determined exclusive of accrued interest) as a percentage of its outstanding principal amount at the time of purchase thereof by the Issuer. For purposes of calculating the Principal Coverage Tests, the Principal Balance of an Eligible Collateral Debt Security (other than a Defaulted Security, a PIKing Bond and a Written Down Security) included in the Principal Coverage Amount will be discounted by the following percentage amounts: (a) any Eligible Collateral Debt Securities that have (1) a Moody's Rating of "Ba1", "Ba2" or "Ba3" or (2) an S&P Rating of "BB+", "BB" or "BB" will be included at 90.0% of their Principal Balances; (b) any Eligible Collateral Debt Securities that have (i) a Moody's Rating of "B1", "B2" or "B3" or (ii) an S&P Rating of "B+", "B" or "B" will be included at 70.0% of their Principal Balances; and (c) any Eligible Collateral Debt Securities that have (i) a Moody's Rating of less than "B3" or (ii) an S&P Rating of less than "B" or lower will be included at 50.0% of their Principal Balances. For purposes of the foregoing sentence, an Eligible Collateral Debt Security will be included in the subparagraph that reflects the lower of the Moody's Rating and the S&P Rating. "Principal Coverage Discount Security" means, (a) any Eligible Collateral Debt Security (other than a CDS Asset) that is not a Defaulted Security or Written Down Security, purchased at a price (determined exclusive of purchased accrued interest and upfront fees) below (i) if such Eligible Collateral Debt Security has a Moody's Rating of at least "Aa3", (A) 92% of its Principal Balance if such Eligible Collateral Debt Security is a Floating Rate Security or (B) 85% of its Principal Balance if such Eligible Collateral Debt Security is a Fixed Rate Security with a Moody's Rating of "Aaa", Aa1", "Aa2" or "Aa3" or (ii) if such Eligible Collateral Debt Security is a Fixed Rate Security and has a Moody's Rating below "Aa3", 85% of its Principal Balance or (b) a CDS Asset pursuant to which the premium payable by the Issuer exceeds the stated coupon on the related CDS Reference Obligation by more than 300 basis points; provided that, if at any time, a Principal Coverage Discount Security has a Market Value (determined pursuant to any of clauses (a) through (c) of the definition thereof) equal to or greater than 95%, 90% or 85%, respectively, of its Principal Balance for 60 consecutive Business Days, such security shall no longer be a Principal Coverage Discount Security. "Principal Coverage Ratio" means, with respect to any Class of Secured Notes, as of any date of determination, the ratio (expressed as percentage) obtained by dividing (a) the Principal Coverage Amount by (b) the sum of the Applicable Class A1 Swap Notional Amount and an amount equal to the sum of the Principal BalanceAggregate of the Secured Notes of such Class and each Senior Class and Pari Passu Class of Secured Notes with respect to such Class (other than the Class S Notes). "Principal Coverage Test" means a test that is satisfied with respect to any Class of Secured Notes if, as of any date of determination, the Principal Coverage Ratio for such Class is at least equal to the Principal Coverage Required specified in the Principal Terms Table for such Class. "QIB" means a "qualified institutional buyer" as defined in Rule 144A under the Securities Act. "QP" means a "qualified purchaser" for purposes of Section 3(c)(7) of the Investment Company Act. "Ramp-Up Period" means the period beginning on the Closing Date and continuing until the Ramp-Up End Date. "Rating Agency" means each of Moody's and S&P or any successor thereto, and together, the "Rating Agencies".

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"Rating Agency Confirmation" means, with respect to any specified action or determination, for so long as any Class of Notes is Outstanding and rated by Moody's and S&P, the receipt of written confirmation by each of Moody's and S&P to the effect that such specified action or determination will not, at that time, result in the reduction or withdrawal or other adverse action with respect to its then-current ratings on the Notes unless Rating Agency Confirmation is specified herein to be required by only Moody's or S&P, in which case such confirmation from the required Rating Agency will be sufficient. "Ratings Confirmation Failure" will occur in the event that any of the Initial Ratings is not confirmed in writing or are reduced or withdrawn prior to the first Payment Date in connection with the confirmation pursuant to the Indenture. "Redemption Amount" means the amount required to pay (a) the Redemption Price of the Notes of each Class and (b) all fees and expenses (including indemnity payments) payable under the Priority of Payments. "Redemption Date" means the date on which a Redemption occurs. "Redemption Price" means (a) with respect to the Secured Notes to be redeemed of any Class, an amount equal to the principal amount of such Notes (including any Periodic Interest Cumulative Shortfall Amount for such Class), together with accrued and unpaid interest on such Notes through the Redemption Date and (b) with respect to the Income Notes, an amount equal to the amount of funds remaining after payment of, or establishment of a reasonable reserve for, all other amounts payable under the Priority of Payments on the applicable Redemption Date; provided that, in relation to any redemption on the Mandatory Redemption DateInitial or any subsequent Payment Date, the Redemption Price for the Secured Notes and the Income Notes shall be an amount not less than the sum of (i) the amount calculated in accordance with clause (a) above and (ii) the Required Amount. "Registered" means, with respect to a debt obligation, a debt obligation that is issued after July 18, 1984 and that is in registered form within the meaning of Section 881(c)(2)(B)(i) of the Code and the Treasury regulations promulgated thereunder. "Regulation S" means Regulation S under the Securities Act. "Relevant Entity" means, with respect to any Hedge Agreement or Cashflow Swap Agreement, the Hedge Counterparty or Cashflow Swap Counterparty and, to the extent applicable, a guarantor under an Eligible Guarantee or an Eligible Replacement. "Required Amount" means, with respect to the Income Notes, the Original Principal Amount of the Income Notes as specified in the Principal Terms Table minus the aggregate amount of all distributions made to the Holders of the Income Notes prior to the Mandatory Redemption DateInitial. "Requisite Noteholder" or "Requisite Noteholders" means, at any time, (a) the Class A1 Swap Counterparty so long as the Class A1 Swap Notional Amount has not been reduced to zero and then (b) Holders of more than 66% of the Principal BalanceAggregate of the most Senior Class of Secured Notes Outstanding at such time (with any Pari Passu Classes voting together as a single class). "Reserve Account" means the account designated the "Reserve Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. "Reserve Investments" means Eligible Investments acquired from time to time with amounts on deposit in the Reserve Account or the CDS Asset Collateral Account. "Rule 144A" means Rule 144A under the Securities Act. "S&P" means Standard & Poor's, a division of The McGraw-Hill Companies, Inc. or any successors thereto.

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"S&P Approved Ratings Threshold" means, with respect to a Relevant Entity a short-term unsecured and unsubordinated debt rating from S&P of "A-1", or, if such entity does not have a short-term unsecured and unsubordinated debt rating from S&P, a long-term unsecured and unsubordinated debt rating from S&P of "A+". "S&P Break-Even Default Rate" means, at any time, the maximum percentage of defaults which the S&P Current Portfolio or the S&P Proposed Portfolio, as applicable, can sustain (as determined by the S&P CDO Monitor), which after giving effect to S&P assumptions on recoveries and timing and to the Priority of Payments will result in sufficient funds remaining for the payment of the Notes in full by their Maturity DateStated, and the timely payment of interest on such Class of Notes (in the case of any Class of Notes whose Initial Rating by S&P addresses timely payment of interest) or the payment of interest of such Class of Notes in full by its Maturity Date Stated (in the case of any Class of Notes whose Initial Rating by S&P addresses ultimate payment of interest) as determined by S&P. "S&P CDO Monitor" means a dynamic, analytical computer program developed by S&P and used to determine the credit risk of a portfolio of Eligible Collateral Debt Securities and provided to the Manager, the Trustee and the Issuer (together with any written instructions and assumptions necessary to run the model), on or before the Ramp-Up End Date, as it may be modified by S&P from time to time. "S&P Current Portfolio" means the portfolio (measured by Principal Balance) of Eligible Collateral Debt Securities and the proceeds of the disposition thereof held as Eligible Investments purchased with the proceeds of the disposition of Eligible Collateral Debt Securities, existing immediately prior to the sale, maturity or other disposition of an Eligible Collateral Debt Security or immediately prior to the acquisition of an Eligible Collateral Debt Security, as the case may be. "S&P First Rating Trigger Event" means an event that shall occur if a Relevant Entity no longer meets the S&P Approved Ratings Threshold, and the applicable Hedge Counterparty or the Cashflow Swap Counterparty has failed within thirty calendar days of the date on which the Relevant Entity no longer met the S&P Approved Ratings Threshold at its own expense to either (a) post collateral in accordance with the ISDA Credit Support Annex attached to the relevant Hedge Agreement or the Cashflow Swap Agreement, as applicable, (b) furnish an Eligible Guarantee, subject to Rating Agency Confirmation from S&P, from an Eligible Guarantor, or (c) obtain an Eligible Replacement. "S&P Loss Rate Differential" means, at any time, the rate calculated by subtracting the S&P Scenario Default Rate from the S&P Break-Even Default Rate at such time. "S&P Minimum Average Recovery Rate" means, as of any Measurement Date, a rate expressed as a percentage equal to the number obtained by (a) summing the products obtained by multiplying the Principal Balance of each Eligible Collateral Debt Security by its S&P Recovery Rate and (b) dividing such sum by the Principal BalancePortfolio less Cash and Eligible Investments representing Principal Collections. "S&P Proposed Portfolio" means the portfolio (measured by Principal Balance) of Eligible Collateral Debt Securities and the proceeds of the disposition thereof held as Eligible Investments purchased with the proceeds of the disposition of Eligible Collateral Debt Securities resulting from the sale, maturity or other disposition of an item of an Eligible Collateral Debt Security or Eligible Investment or a proposed purchase of an Eligible Collateral Debt Security, as the case may be. "S&P Rating" means the rating of any Eligible Collateral Debt Security determined as follows: (i) if S&P has assigned a rating to such Eligible Collateral Debt Security either publicly or privately (in the case of a private rating, with appropriate consents for the use of such private rating), the S&P Rating will be the rating assigned thereto by S&P; (ii) if such Eligible Collateral Debt Security is not rated by S&P but the Issuer or the Manager on behalf of the Issuer has requested that S&P assign a rating to such Eligible Collateral Debt Security, the S&P Rating will be the rating so assigned by S&P; provided that pending receipt from S&P of

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such rating, (a) if such Eligible Collateral Debt Security is of a type not eligible for notching in accordance with the Indenture, such Eligible Collateral Debt Security will have an S&P Rating of "CCC-" and when a rating is assigned by S&P, the S&P Rating so assigned by S&P will apply for the 364 days immediately following the date of such assignment, following which the Issuer or the Manager on behalf of the Issuer will in a timely manner again request that S&P assign a rating to such Eligible Collateral Debt Security in order for this clause (ii) to be applicable and the Manager will provide S&P information required to update the credit estimate at least annually and (b) if such Eligible Collateral Debt Security is not of a type listed on a schedule to the Indenture and is eligible for notching in accordance with the Indenture, the S&P Rating of such Eligible Collateral Debt Security will be the rating assigned in accordance with the Indenture until such time as S&P has assigned a rating thereto; (iii) if such Eligible Collateral Debt Security is an Eligible Collateral Debt Security that has not been assigned a rating by S&P pursuant to paragraph (i) or (ii) above, and is not of a type listed on a schedule to the Indenture, the S&P Rating of such Eligible Collateral Debt Security will be the rating determined in accordance with the Indenture; provided that if any Eligible Collateral Debt Security is on watch for a possible upgrade or downgrade by Moody's, the S&P Rating of such Eligible Collateral Debt Security will be one subcategory above or below, respectively, the rating otherwise assigned to such Eligible Collateral Debt Security in accordance with the Indenture; provided further that the Principal BalanceAggregate of Eligible Collateral Debt Securities that may be assigned a rating pursuant to this clause (iii) may not exceed 20.0% of the Principal BalanceAggregate of all Eligible Collateral Debt Securities; and (iv) in the case of any Eligible Collateral Debt Security that is a CDS Asset, if S&P has assigned a rating to such CDS Asset and to the CDS Reference Obligation thereunder and the rating assigned to such CDS Reference Obligation is lower than that assigned to such CDS Asset, the rating by S&P of such CDS Asset for purposes of the Indenture shall be such lower rating; provided that (I) in regard to paragraphs (i) and (ii), if an Eligible Collateral Debt Security (a) is placed on a watch list for possible upgrade by S&P for a period of fewer than four calendar months, the S&P Rating applicable to such Eligible Collateral Debt Security will be one rating subcategory above the S&P Rating applicable to such Eligible Collateral Debt Security immediately prior to such Eligible Collateral Debt Security being placed on such watch list (but will revert to the S&P Rating applicable to such Eligible Collateral Debt Security immediately prior to such Eligible Collateral Debt Security being placed on such watch list after the expiration of such period) or (b) is placed on a watch list for possible downgrade by S&P for a period of fewer than four calendar months, the S&P Rating applicable to such Eligible Collateral Debt Security will be one rating subcategory below the S&P Rating applicable to such Eligible Collateral Debt Security immediately prior to such Eligible Collateral Debt Security being placed on such watch list (but will revert to the S&P Rating applicable to such Eligible Collateral Debt Security immediately prior to such Eligible Collateral Debt Security being placed on such watch list after the expiration of such period), (II) with respect to any Form-Approved ABS Asset Agreement or Form-Approved CDO Asset Agreement, the S&P Rating shall be the same as the S&P Rating of the related CDS Reference Obligation and (III) with respect to any new CDS Asset entered into after the Closing Date other than those referred to in the preceding clause of this proviso, the S&P Rating shall be (1) a deemed rating determined by the Manager based on running S&P model for 30 days or until S&P formally rates such CDS Asset or (2) determined as specified by S&P at the time such CDS Asset is acquired. "S&P Recovery Rate" means, with respect to an Eligible Collateral Debt Security on any Measurement Date, an amount equal to the percentage for such Eligible Collateral Debt Security set forth in the S&P Recovery Rate Matrix in a schedule to the Indenture in (a) the column applicable to the ratings assigned, on such Measurement Date, to the most highly rated Class of Notes then rated by S&P and (b) the row in such table opposite the S&P Rating (determined in accordance with procedures prescribed by S&P for such Eligible Collateral Debt Security on the date on which the Issuer acquired such Eligible Collateral Debt Security or, in the case of Defaulted Securities, the S&P Rating immediately prior to default). "S&P Required Ratings Downgrade Event" means an event that shall occur if no Relevant Entity meets the S&P Required Ratings Threshold.

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"S&P Required Ratings Threshold" means, with respect to any Hedge Counterparty, the guarantor under an Eligible Guarantee or an Eligible Replacement, a long-term unsecured and unsubordinated debt rating from S&P of "BBB+". "S&P Scenario Default Rate" means, at any time, an estimate of the cumulative default rate for the S&P Current Portfolio or the S&P Proposed Portfolio, as applicable, consistent with the Initial Rating by S&P for each Class of Notes, determined by application of the S&P CDO Monitor at such time. "Sale Proceeds" means all proceeds (including accrued interest) received with respect to Eligible Collateral Debt Securities and Equity Securities, as the case may be, as a result of sales or other dispositions of such Eligible Collateral Debt Securities and Equity Securities pursuant to the Indenture (including, in the case of the termination of any CDS Asset, (a) the proceeds of sale of any Deliverable Obligations delivered in respect thereof, and any distribution received in respect of CDS Collateral Eligible Securities in the event that the CDS Collateral Eligible Securities or the CDS Asset Counterparty's security interest is terminated by the Manager or the CDS Collateral Eligible Security is sold in accordance with the terms of the CDS Asset and the Management Agreement or (b) the excess, if any, of the amounts available pursuant to the CDS Asset Collateral Account, the Capacity Subaccount of the Reserve Account and the Class A1 Swap Notional Amount in respect of the related CDS Reference Obligation Notional Amount less the payments made by the Issuer in respect of the termination of such CDS Asset), net of any reasonable amounts expended by the Manager or the Trustee in their good faith determination in connection with such sale or other disposition. "SEC" means the United States Securities and Exchange Commission. "Second Additional Fixed Amounts" means, in respect of any CDS Assets that reference CDO Securities, the amounts payable by the CDS Asset Counterparty with respect to certain Implied Writedown Amounts as calculated in accordance with the terms of the related Pay-As-You-Go Confirmation. "Second Rating Trigger Event" means an event that shall occur if: (a) an S&P Required Ratings Downgrade Event has occurred and been continuing for 10 Local Business Days (as defined in the relevant Hedge Agreement) and the applicable Hedge Counterparty has failed to (i) post collateral according to the terms of the ISDA Credit Support Annex attached to the relevant Hedge Agreement and (ii) procure an Eligible Replacement; or (b) (i) at least 30 days have elapsed since the last time that no Moody's Second Trigger Ratings Event had occurred and was continuing, (ii) the applicable Hedge Counterparty has not furnished an Eligible Guarantee or obtained an Eligible Replacement to cause such Moody's Second Trigger Ratings Event to cease, (iii) at least one Eligible Replacement has made a Firm Offer to be the transferee of all of the applicable Hedge Counterparty's rights and obligations under the related Hedge Agreement (and such Firm Offer remains an offer that will become legally binding upon such Eligible Replacement upon acceptance by the offeree) and/or (iv) an Eligible Guarantor has made a Firm Offer to provide an Eligible Guarantee (and such Firm Offer remains an offer that will become legally binding upon such Eligible Guarantor immediately upon acceptance by the offeree). For purposes of this definition, "Firm Offer" means an offer that will become legally binding upon acceptance. "Secured Notes" means each Class of Notes designated as such in the Principal Terms Table. "Secured Note Transfer Agent" means the Person or Persons, which may be the Trustee, authorized by the Issuer to exchange or register the transfer of Secured Notes. "Secured Obligations" means, collectively, (a) the payment of all amounts due on the Secured Notes in accordance with their terms, (b) the payment of all other sums payable to the Secured Parties under the Indenture and/or the other Transaction Documents, and (c) compliance with the obligations of the Co-Issuers to the Secured Parties under the Transaction Documents, all as provided in the Indenture and the other Transaction Documents.

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"Secured Parties" means the Trustee, for itself and on behalf of the Holders of the Secured Notes, the Holders of the Class Q Combination Notes (solely to the extent of the Class C Component), the Key Counterparties, the Initial Purchaser, the Placement Agent and any Covered Short CDS Asset Counterparty. "Securities Act" means the United States Securities Act of 1933, as amended. "Semi-Annual Interest ReserveAggregate" means, as of any Period End Date, an amount equal to the aggregate of the Semi-Annual Security Interest Reserve Amounts for such Period End Date. "Semi-Annual Security Interest Reserve Amount" means, with respect to each Eligible Collateral Debt Security that is a Semi-Annual Security, as of any Period End Date, an amount equal to (a) the amount of interest received by the Issuer on the most recent payment date with respect to such Semi-Annual Security divided by (b) two; provided that for any Semi-Annual Security with respect to which no scheduled interest payments remain, the Semi-Annual Security Interest Reserve Amount will be zero. "Senior Class" means, with respect to any specified Class of Secured Notes, each Class of Secured Notes that ranks senior to such Class, as indicated in the Principal Terms Table. "Share Register" means, with respect to the Ordinary Shares of the Issuer, the share register maintained by the Share Registrar. "Short CDS Assets" means (a) a credit default swap where the Issuer is the buyer of protection or (b) a total return swap where the Issuer is the total return payer. "Spread" means, as of any date of determination, with respect to any Eligible Collateral Debt Security (other than a CDS Asset) or, if applicable, Eligible Investment, (a) if such Eligible Collateral Debt Security or Eligible Investment bears interest based on a London interbank offered rate, the current per annum rate of such interest in excess of such London interbank offered rate, (b) if such Eligible Collateral Debt Security or Eligible Investment does not bear interest based on a London interbank offered rate, the current per annum rate of such interest in excess of LIBOR applicable to the Secured Notes or Class Q Combination Notes and (c) if such Eligible Collateral Debt Security is a Floating Rate SecurityDeemed, the related Floating Rate SecurityDeemed Spread; and, with respect to a CDS Asset, the "Fixed Rate" set forth in such CDS Asset for purposes of calculating the "CDS Fixed Amount" payable by the CDS Asset Counterparty to the Issuer. "Subordinated CDS Asset/SCA Termination Payment" means any termination payment due and payable to a CDS Asset Counterparty, in accordance with the Priority of Payments, upon the termination of the related CDS Asset or early termination of the CDS Collateral Agreement, if such termination occurred solely as the result of an event of default or a termination event with respect to (a) such CDS Asset Counterparty as "defaulting party" or sole "affected party" under the applicable CDS Asset or (b) the CDS Collateral Securities Counterparty as "defaulting party" or sole "affected party" under the CDS Collateral Agreement. "Subordinated Covered Short CDS Termination Payment" means any termination payment due and payable to a Covered Short CDS Asset Counterparty, in accordance with the Priority of Payments, upon the termination of the related Covered Short CDS Asset, if such termination occurred solely as the result of an event of default or a termination event with respect to such Covered Short CDS Asset Counterparty as "defaulting party" or sole "affected party" under the applicable Covered Short CDS Asset. "Tax Event" means (a) a new, or change in any, United States or foreign tax statute, treaty, regulation, rule, ruling, practice, procedure or judicial decision or interpretation, occurring in each case after the Closing Date, which results in any portion of any payment due from any issuer or obligor under any Eligible Collateral Debt Security becoming properly subject to the imposition of United States or foreign withholding tax, which withholding tax is not compensated for by a "gross up" provision under the terms of the related Eligible Collateral Debt Security or (b) any jurisdiction imposes net income, profits or a similar tax on the Issuer and, in any such case, during any 12-month period the sum of the amounts deducted or withheld and taxes imposed as described in the foregoing clauses (a) and (b) exceeds U.S.$3,000,000.

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"Tax Ineligible Investment" means (a) any interest in an entity (other than an obligation treated as debt for United States Federal income tax purposes) that is treated as a partnership or trust engaged in a trade or business within the United States for United States Federal income tax purposes (other than a trust treated as a grantor trust for United States Federal income tax purposes substantially all of the assets of which meet the definition of "Eligible Collateral Debt Securities") or (b) any asset the gain from the disposition of which will be subject to United States Federal income or withholding tax under Section 897 or Section 1445 of the Code and the Treasury Regulations promulgated thereunder. "Transaction Documents" means the Indenture, the Notes, the Management Agreement, the Class A1 Swap, each Hedge Agreement, the Cashflow Swap Agreement, the CDS Collateral Agreement, the Income Note Paying Agency Agreement, the Placement Agreement, the Note Purchase Agreement, the Administration Agreement and the Collateral Administration Agreement. "U.S. Person" has the meaning provided in Regulation S. "Underlying Instruments" means the loan agreement or other agreement pursuant to which an Eligible Collateral Debt Security, Eligible Investment or Equity Security has been issued or created and each other agreement that governs the terms of or secures the obligations represented by such Eligible Collateral Debt Security, Eligible Investment or Equity Security or of which the holders of such Collateral Obligation are the beneficiaries. "Weighted Average Life" means, on any Measurement Date, (a) with respect to any Eligible Collateral Debt Security, the quotient obtained by the Manager by dividing (i) the sum of the products of (1) the number of years (rounded to the nearest one tenth thereof) from such Measurement Date to the respective dates of each successive distribution of principal thereof (assuming that (x) prepayment during any month occurs at a rate equal to the average rate of prepayment during the period of six consecutive months immediately preceding the current month (or, the Manager, in its commercially reasonable judgment, may use prepayment assumptions based upon historical prepayment speeds for portfolios with similar characteristics considering among other things the seasoning of such portfolio) and (y) any optional redemption of such Eligible Collateral Debt Security occurs at the earlier of the auction call redemption and clean-up call redemption permitted in accordance with its terms unless the Manager, in its commercially reasonable judgment, projects that the clean-up call redemption will not be exercised), and (2) the respective amounts of principal of such distributions by (ii) the sum of all successive such distributions of principal; and (b) with respect to the portfolio of Eligible Collateral Debt Securities as a whole, the number obtained by (i) summing the products obtained by multiplying (1) the Weighted Average Life of each Eligible Collateral Debt Security by (2) the Principal Balance of such Eligible Collateral Debt Security and (ii) dividing such sum by the Principal BalanceAggregate at such time of all Eligible Collateral Debt Securities. "Weighted Average Spread" means, as of any date of determination, a rate obtained by (a) multiplying the Principal Balance of each Eligible Collateral Debt Security (except Eligible Collateral Debt Securities that are currently deferring interest), including any credit default swap that was acquired as a CDS Asset, but that is subject to one or more Covered Short CDS Assets as of such date of determination, held in the portfolio as of such date by the Spread, (b) (i) summing the amounts determined pursuant to clause (a) and (ii) subtracting from such amount the aggregate amount of all periodic payments required to be paid by the Issuer on Covered Short CDS Assets and on CDS Assets with respect to Intermediation Fees, (c) dividing such sum by the Principal BalanceAggregate of all Eligible Collateral Debt Securities held in the portfolio as of such date; provided that for purposes of calculating the Weighted Average Spread, the spread of any Eligible Collateral Debt Security that bears interest based on a floatingrate index other than LIBOR will be deemed to be the excess of (x) the rate at which such Eligible Collateral Debt Security pays interest over (y) LIBOR. "Written Down Principal Balance" means the sum, with respect to each Written Down Security, of the amount to which the original Principal Balance of such Written Down Security is reduced as notified by or on behalf of the related issuer or trustee to the holders of such Written Down Security. "Written Down Security" means any security that is not a Defaulted Security as to which the aggregate par amount of such security and all other securities secured by the same pool of collateral that rank pari passu with or senior in priority of payment to such security exceeds the aggregate par amount (including reserved interest or other amounts available for overcollateralization) of all collateral securing such securities (excluding defaulted collateral),

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giving effect to any appraisal reductions and other such write downs; provided that, in the event that the Moody's Rating of any Written Down Security has been reduced below "B3", such Written Down Security will instead be treated as a "Defaulted Security".

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SPECIFIED TYPES The determination that an Eligible Collateral Debt Security is of a Specified Type shall be made by the Manager in its reasonable discretion. "ABS CDO Security": Any CDO Security which is secured primarily by Asset Backed Securities and/or CMBS Securities and is not a CDO of CDO Security. "ABS Small Business Loan Securities": Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from general purpose corporate loans made to "small business concerns" (generally within the meaning given to such term by regulations of the United States Small Business Administration), including, but not limited to, those (a) made pursuant to Section 7(a) of the United States Small Business Act, as amended, and (b) partially guaranteed by the United States Small Business Administration. "Aircraft Securities": Asset Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from leases and subleases of aircraft equipment to commercial and industrial customers. "Asset Backed Securities": (a) Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from financial assets, either fixed or revolving, that by their terms convert into cash within a finite time period, including securities issued in any (i) credit card receivable securitization, (ii) student loan securitization, (iii) residential mortgage-backed securitization, (iv) home equity loan securitization or (v) other securitization of commercial or consumer receivables and (b) CDS Assets with respect to which the CDS Reference Obligation thereof and each permitted Deliverable Obligation thereunder complies with clause (a) above. "Automobile Lease Securities": Securities that entitle the holders thereof to receive payments that depend except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from leases to prime customers of automobiles, sport utility vehicles, light trucks and recreational vehicles. "Automobile Loan Securities": Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from installment sale loans made to prime customers to finance the acquisition of automobiles, sport utility vehicles, light trucks and recreational vehicles. "Balance Sheet CDO Security": Any security issued in any bond or commercial loan securitization (including any synthetic securitization) for which the principal asset seller, depositor or synthetic counterparty is a single bank or other depository institution and/or its affiliates. "Bank Trust Preferred CDO Security": Any security that entitles the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the securities) on the cash flow from a pool of (a) trust preferred securities issued by a wholly-owned trust subsidiary of a U.S. bank or depository institution which uses the proceeds of such issuance to purchase a debt instrument issued by its parent and/or (b) surplus notes issued by a U.S. bank or depository institution. They generally have the following characteristics: (i) the trust securities or surplus notes are non-amortizing preferred stock securities; (ii) the trust securities or surplus notes have a 30-year maturity with a 5- or 10-year non-call period; or (iii) the trust securities or surplus notes are subordinated debt. "Cap Corridor Floater" means an RMBS Security that is a Floating Rate Security and that (a) is backed exclusively by fixed rate mortgages, (b) is issued senior to, pari passu with, or subordinate to other tranches of securities that are exclusively fixed rate, and (c) uses amortizing notional balance interest rate caps to increase the available funds cap applied to that security above the net weighted average coupon on the underlying collateral.

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"Catastrophe Bond": An insurance-linked debt instrument containing a provision pursuant to which the issuer's obligation to pay interest or principal is deferred or forgiven in the event of loss due to certain natural catastrophes specified in the Underlying Instruments. "CBO Security": A security that entitles the holder thereof to receive payments that depend (except for rights or added assets designed to assure the servicing or timely distribution of proceeds to the holder of such security) on the cash flow from a portfolio primarily of high yield corporate bonds. "CDO of CDO Security": A CDO Security the terms of which permit the aggregate principal balance of the underlying portfolio to consist of more than 50% of CDO Securities. "CDO Securities": Any (i) collateralized bond obligation, collateralized loan obligation or collateralized debt obligation (including, without limitation, an ABS CDO Security) (or any combination thereof), or (ii) CDS Asset the CDS Reference Obligation of which is a collateralized bond obligation, collateralized debt obligation or collateralized loan obligation. "CLO Securities": A CDO Security that entitles the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the CDO Securities) on the credit exposure to, or cash flow from, a portfolio of collateral of which at least 70% consists of commercial loans (including any eligible synthetic security whose reference obligation consists of a single name commercial loan); provided that not more than 25% of the Principal Balance of any CLO Security may be comprised of CDS Assets. "CMBS Conduit Securities": Securities (other than CMBS Single Asset Securities, CMBS Credit Tenant Lease Securities or CMBS Large Loan Securities) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from a pool of commercial mortgage loans generally having the following characteristics: (1) the commercial mortgage loans have varying contractual maturities; (2) the commercial mortgage loans are secured by real property purchased or improved with the proceeds thereof (or to refinance an outstanding loan the proceeds of which were so used); (3) the commercial mortgage loans are obligations of a relatively limited number of obligors (with the creditworthiness of individual obligors being less material than for CMBS Large Loan Securities) and accordingly represent a relatively undiversified pool of obligor credit risk; (4) upon original issuance of such CMBS Conduit Securities no three commercial mortgage loans account for more than 25% of the aggregate principal balance of the entire pool of commercial mortgage loans supporting payments on such securities; and (5) repayment thereof can vary substantially from the contractual payment schedule (if any), with early prepayment of individual loans depending on numerous factors specific to the particular obligors and upon whether, in the case of loans bearing interest at a fixed rate, such loans or securities include an effective prepayment. "CMBS Credit Tenant Lease Securities": Securities (other than CMBS Large Loan Securities, CMBS Single Asset Securities or CMBS Conduit Securities) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from a pool of commercial mortgage loans made to finance the acquisition, construction and improvement of properties leased to corporate tenants (or on the cash flow from such leases). "CMBS Large Loan Securities": Securities (other than CMBS Conduit Securities, CMBS Single Asset Securities or CMBS Credit Tenant Lease Securities) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from a pool of commercial mortgage loans made to finance the acquisition, construction and improvement of properties generally having the following characteristics: (1) the commercial mortgage loans have varying contractual maturities; (2) the commercial mortgage loans are secured by real property purchased or improved with the proceeds thereof (or to refinance an outstanding loan the proceeds of which were so used); (3) the commercial mortgage loans are obligations of a relatively limited number of obligors and accordingly represent a relatively undiversified pool of obligor credit risk; (4) repayment thereof can vary substantially from the contractual payment schedule (if any), with early prepayment of individual loans depending on numerous factors specific to the particular obligors and upon whether, in the case of loans bearing interest at a fixed rate, such loans or

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securities include an effective prepayment premium; and (5) the valuation of individual properties securing the commercial mortgage loans is the primary factor in any decision to invest in these securities. "CMBS Securities": CMBS Conduit Securities, CMBS Credit Tenant Lease Securities, CMBS Single Asset Securities and CMBS Large Loan Securities. "CMBS Single Asset Securities": Securities (other than CMBS Conduit Securities, CMBS Credit Tenant Lease Securities or CMBS Large Loan Securities) that entitle the holder thereof to receive payments that depend on the cash flow from a single commercial mortgage loan. "Contingent CDO Security": Any CDO Security that (a) when issued is assigned a rating by Moody's and S&P with respect to a stated principal amount (the "Rated Principal") and interest thereon at a stated rate (the "Rated Interest") and (b) entitles the holder to additional periodic payments in excess of the Rated Principal and/or Rated Interest. Contingent CDO Securities will be treated for all purposes under the Indenture as having a Principal Balance equal to their Rated Principal and an interest rate equal to their Rated Interest (expressed as a per annum percentage of the Rated Principal). "Credit Card Securities": Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the securities) on the cash flow from balances outstanding under revolving consumer credit card or charge card accounts of prime customers. "Emerging Markets CDO Security": A CDO Security if (a) such security is a Senior CDO Security and more than 40% of the principal amount of the related CDO Assets may consist, pursuant to the underlying instrument of such CDO Security, of securities issued by issuers incorporated or organized under the laws of Emerging Markets Countries, or (b) such security is not a Senior CDO Security and more than 10% of the principal amount of the related CDO Assets may consist, pursuant to the underlying instrument of such CDO Security, of securities issued by issuers incorporated or organized under the laws of Emerging Markets Countries, or (c) such security has a Moody's Rating of "Ba1" or lower or an S&P Rating of "BB-" or lower, and more than 5% of the principal amount of the related CDO Assets may consist, pursuant to the underlying instrument of such CDO Security, of securities issued by issuers incorporated or organized under the laws of Emerging Markets Countries. "Enhanced Equipment Trust Certificate": A security tranched into two or more classes, each with different payment priorities and asset claims that represents the debt portion of equipment financing (usually large aircraft used by airlines), usually 80% cost of the acquisition of the aircraft. The company may retain the remaining 20% equity portion or more lease the aircraft from a third party. Noteholders are granted a security interest in the aircraft, and in the case of a leveraged lease, the underlying lease with the airline includes the right to receive rental payments. "Equipment Leasing Securities": Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from leases and subleases of equipment (other than automobiles or aircraft) to commercial and industrial customers. "Franchise Securities": Restaurant and Food Services Securities, to the extent that such Restaurant and Food Services Securities entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from a pool of franchise loans made to operators of franchises. "Future Flow Securities": Asset Backed Securities (other than Project Finance Securities) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from receivables or contract rights of originators for the provision of goods or services to consumers generally having the following characteristics: (1) the securities evidence the right to receive future cash flows; (2) the securities are not backed by existing receivables or contract rights, but rather the ability of the originator to continue to generate sufficient levels

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of receivables or contract rights in the future; (3) the securities may be rated higher than the sovereign risk of the country of domicile of the originator; and (4) the receivables or contract rights represent obligations from a limited number of obligors and accordingly represent an undiversified pool of obligor credit risk. "Guaranteed Debt Security": A security as to which the timely payment of interest when due, and the payment of principal no later than stated legal maturity, is unconditionally guaranteed pursuant to an insurance policy, guarantee or other similar instrument issued by a company organized under the laws of a state of the United States, but only if such insurance policy, guarantee or other similar instrument (i) expires no earlier than such stated maturity, (ii) provides that payment thereunder is independent of the performance by the obligor on the relevant security and (iii) is issued by a company having a credit rating assigned by each nationally recognized statistical rating organization that currently rates such security higher than the credit rating assigned by such rating organization to such security determined without giving effect to such insurance policy, guarantee or other similar instrument. For the avoidance of doubt, if any security meets the definition of a Guaranteed Debt Security and another specified type, such Eligible Collateral Debt Security will be considered a Guaranteed Debt Security and not such other specified type for all purposes under the Transaction Documents. "Healthcare Securities": Asset Backed Securities (other than ABS Small Business Loan Securities) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from leases and subleases of equipment to hospitals, non-hospital medical facilities, physicians and physician groups for use in the provision of healthcare services, generally having the following characteristics: (1) the leases and subleases have varying contractual maturities; (2) the leases or subleases are obligations of a relatively limited number of obligors and accordingly represent an undiversified pool of obligor credit risk; (3) the repayment stream on such leases and subleases is primarily determined by a contractual payment schedule, with early termination of such leases and subleases predominantly dependent upon the disposition to a lessee, sublessee or third party of the underlying equipment; and (4) such leases or subleases typically provide for the right of the lessee or sublessee to purchase the equipment for its stated residual value, subject to payments at the end of lease term for excess usage or wear and tear. "Home Equity Loan Securities": Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the securities) on the cash flow from balances (including revolving balances) outstanding under loans or lines of credit secured by (but generally not, upon origination, by a first priority lien on) residential real estate (single or multi-family properties) the proceeds of which loans or lines of credit are not used to purchase such real estate or to purchase or construct dwellings thereon (or to refinance indebtedness previously so used). "Index Security": Any CDS Asset that is based on the performance of a reference index the composition of which consists of securities meeting the definition of CDS Reference Obligation and that does not vary as a result of a decision by the Manager, any CDS Asset Counterparty or their respective Affiliates. For the purposes of the definition of CDS Asset, a reference to CDS Reference Obligation or CDS Reference Obligor shall be, in the case of an Index Security, a reference to the CDS Reference Obligation and CDS Reference Obligation of the securities included in the index. "Insurance Trust Preferred CDO Security": Any security that entitles the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the securities) on the cash flow from a pool of (a) trust preferred securities issued by a wholly-owned trust subsidiary of a U.S. insurance company which uses the proceeds of such issuance to purchase a debt instrument issued by its parent and/or (b) surplus notes issued by a U.S. insurance company. They generally have the following characteristics: (i) the trust securities or surplus notes are non-amortizing preferred stock securities; (ii) the trust securities or surplus notes have a 30-year maturity with a 5- or 10-year non-call period; or (iii) the trust securities or surplus notes are subordinated debt. "Interest Only Security": A security that is structured to provide for the payment of interest but no principal.

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"Inverse Floating Rate Security": Any floating rate security whose interest rate is inversely proportional to an interest rate index. "Manufactured Housing Securities": Asset Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from manufactured housing (also known as mobile homes and prefabricated homes) installment sales contracts and installment loan agreements, generally having the following characteristics: (1) the contracts and loan agreements have varying, but typically lengthy contractual maturities; (2) the contracts and loan agreements are secured by the manufactured homes and, in certain cases, by mortgages and/or deeds of trust on the real estate to which the manufactured homes are deemed permanently affixed; (3) the contracts and/or loans are obligations of a large number of obligors and accordingly represent a relatively diversified pool of obligor credit risk; (4) repayment thereof can vary substantially from the contractual payment schedule, with early prepayment of individual loans depending on numerous factors specific to the particular obligors and upon whether, in the case of loans bearing interest at a fixed rate, such loans or securities include an effective prepayment premium; and (5) in some cases, obligations are fully or partially guaranteed by a governmental agency or instrumentality. "Market Value CDO Security": A CDO Security where the over-collateralization with respect to such CDO Security is measured by the market value of all related CDO Assets. "Multi-Sector CDO Securities": Securities that entitle the holders thereof to receive payments that depend on the cash flow from or the credit exposure to a portfolio consisting primarily of asset backed securities. "Mutual Fund Securities": Asset Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from a pool of brokerage fees and costs relating to various mutual funds, generally having the following characteristics: (1) the brokerage arrangements have standardized payment terms and require minimum payments; (2) the brokerage fees and costs arise out of numerous mutual funds and accordingly represent a very diversified pool of credit risk; and (3) the collection of brokerage fees and costs can vary substantially from the contractual payment schedule (if any), with collection depending on numerous factors specific to the particular mutual funds, interest rates and general economic matters. "Natural Resource Security": A security that entitles the holders thereof to receive payments that depend (except for rights or added assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow linked to ecological commodities such as oil, forestry, water, soil, and any other aspect of an ecosystem which can be both harvested and renewed. "Negative Amortization Security": An RMBS Security that (a) permits at least 40% of the related mortgage loan or mortgage loan obligor for a specified period of time to make no repayments of principal and payments of interest in amounts that are less than the interest payments that would otherwise be payable thereon based upon the stated rate of interest thereon, (b) to the extent that interest proceeds received in respect of the related underlying collateral are insufficient to pay interest that is due and payable thereon, permits principal proceeds received in respect to the related underlying collateral to be applied to pay such interest shortfall and (c) to the extent that the aggregate amount of interest proceeds and principal proceeds received in respect of the related underlying collateral are insufficient to pay interest that is due and payable thereon, permits such unpaid interest to be capitalized as principal and itself commence accruing interest at the applicable interest rate, in each case pursuant to the related Underlying Instruments. "NIM Security": Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on all or part of the residual cash flow from a pool of mortgage loans. "Oil and Gas Securities": Asset Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from (a) a pool of franchise loans made to operators of franchises that provide oil and gasoline services related thereto and (b) leases or subleases of equipment to such

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operators for use in the provision of such goods and services. They generally have the following characteristics: (1) the loans, leases or subleases have varying contractual maturities; (2) the loans are secured by real property purchased or improved with the proceeds thereof (or to refinance an outstanding loan the proceeds of which were so used); (3) the obligations of the lessors or sublessors of the equipment may be secured not only by the leased equipment but also the related real estate; (4) the loans, leases and subleases are obligations of a relatively limited number of obligors and accordingly represent a relatively undiversified pool of obligor credit risk; (5) payment of the loans can vary substantially from the contractual payment schedule (if any), with prepayment of individual loans depending on numerous factors specific to the particular obligors and upon whether, in the case of loans bearing interest at a fixed rate, such loans include an effective prepayment premium; (6) the repayment stream on the leases and subleases is primarily determined by a contractual payment schedule, with early termination of such leases and subleases predominantly dependent upon the disposition to a lessee, a sublessee or third party of the underlying equipment; (7) such leases and subleases typically provide for the right of the lessee or sublessee to purchase the equipment for its stated residual value, subject to payments at the end of a lease term for excess usage or wear and tear; and (8) the ownership of a franchise right or other similar license and the creditworthiness of such franchise operators is the primary factor in any decision to invest in these securities. "PIK Bond": An Eligible Collateral Debt Security that, pursuant to the terms of the related Underlying Instruments, permits the payment of interest in Cash thereon to be deferred or capitalized (including, without limitation, by providing for the payment of interest through the issuance of additional debt securities identical to such debt security or through additions to the principal amount thereof for a specified period in the future or for the remainder of its life or by capitalizing interest due on such debt security as principal) or non-payment of interest when scheduled (but without being a Defaulted Security). "PIKing Bond": A PIK Bond with respect to which interest has been deferred or capitalized or which does not pay interest when scheduled (other than a Defaulted Security) for any payment date, but only until such time as payment of interest on such PIK Bond has resumed and all capitalized and deferred interest and any interest thereon has been paid in Cash in accordance with the terms of the Underlying Instruments; provided that a PIK Bond with (a) an S&P Rating of at least "BBB-" or a Moody's Rating of at least "Baa3" will not be a PIKing Bond unless the deferral of payment of interest thereon has existed for the lesser of (i) two consecutive payment dates and (ii) a period of one year and (b) an S&P Rating below "BBB-" or a Moody's Rating below "Baa3" will not be a PIKing Bond unless the deferral of payment of interest thereon has existed for the lesser of (i) one payment date and (ii) a period of six months. "Principal Only Security": A security that is structured to provide for the payment of principal in Cash at not less than par upon maturity, redemption or acceleration, but not for the payment of interest. "Project Finance CDO Security": Any CDO Security the terms of which permit the related CDO Assets to consist predominantly of Project Finance Securities and, for the avoidance of doubt, is not an Emerging Markets CDO Security. "Project Finance Securities": Asset Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from (1) the sale of products, such as electricity, nuclear energy, steam or water, in the utility industry by a special purpose entity formed to own the assets generating or otherwise producing such products and such assets were or are being constructed or otherwise acquired primarily with the proceeds of debt financing made available to such entity on a limited-recourse basis (including recourse to such assets and the land on which they are located) or (2) fees or other usage charges, such as tolls collected on a highway, bridge, tunnel or other infrastructure project, collected by a special purpose entity formed to own one or more such projects that were constructed or otherwise acquired primarily with the proceeds of debt financing made available to such entity on a limited-recourse basis (including recourse to the project and the land on which it is located). "Real Estate CDO Securities": Securities that entitle the holders thereof to receive payments that depend on the cash flow from or the credit exposure to a portfolio consisting primarily of (i) debt securities issued by an entity qualifying and electing to be treated as a "real estate investment trust" for U.S. federal income tax purposes, (ii) CMBS Securities or (iii) a combination of the foregoing.

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"Real Estate Investment Trust Preferred Security": Trust preferred securities issued by trust subsidiaries of trusts or other entities qualifying and electing to be treated as a "real estate investment trust" for U.S. federal income tax purposes. "Residential A Mortgage Securities": Securities (other than Residential B/C Mortgage Securities) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the securities) on the cash flow from residential mortgage loans secured (primarily on a first priority basis, subject to permitted liens, easements and other encumbrances) by residential real estate (single or multi-family properties) the proceeds of which are used to purchase real estate and purchase or construct dwellings thereon (or to refinance indebtedness previously so used) and generally underwritten to the standards of the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation (without regard to the size of the loan). "Residential B/C Mortgage Securities": Securities (other than Residential A Mortgage Securities) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the securities) on the cash flow from residential mortgage loans secured (primarily on a first priority basis, subject to permitted liens, easements and other encumbrances) by residential real estate (single or multi-family properties) the proceeds of which are used to purchase real estate and purchase or construct dwellings thereon (or to refinance indebtedness previously so used), in each case made to subprime borrowers. "Restaurant and Food Services Securities": Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the securities) on the cash flow from (i) a pool of franchise loans made to operators of franchises that provide goods and services relating to the restaurant and food services industries and (ii) leases or subleases of equipment to such operators for use in the provision of such goods and services. "RMBS Securities": Securities backed by ownership of, or participation interests in, pools of one- to four-family residential mortgage loans that entitle the holders to receive the cash flow from such pools, including, without limitation, Residential A Mortgage Securities, Residential B/C Mortgage Securities or Home Equity Loan Securities. "Semi-Annual Securities": Securities that provide for periodic payments of interest in Cash semi-annually. "Senior CDO Security": Any CDO Security that was rated at the time of issuance (and without regard to any subsequent upgrades or downgrades) "Aa3" or higher by Moody's (if rated by Moody's) and "AA-" or higher by S&P (if rated by S&P) or is currently the senior-most security in the capital structure of its issuer. "Single-Tranche Synthetic CDO Security": Any swap transaction, debt security, security issued by a trust or similar vehicle or other investment, the returns on which (as determined by the Manager) are linked, directly or indirectly, to the credit performance of any pool of corporate obligations or obligors or of Asset Backed Securities and in which investors take the risk of one or more, but not all, tranches only of the risk contained in such pool and the remaining tranches of risk are not separately documented or sold. "Static Bespoke CDO Security": A Single-Tranche Synthetic CDO Security where the investors' exposure to credit risk is taken by entering into a credit default swap with a protection buyer in relation to a static pool of corporate obligors or of Asset Backed Securities. "Step-Down Bond": A security which by the terms of the related underlying instrument provides for a decrease in the spread over the applicable index or benchmark rate, solely as a function of the passage of time; provided that a Step-Down Bond will not include any such security providing for payment of a constant rate of interest at all times after the date of acquisition by the Issuer. In calculating any Portfolio Quality Test by reference to the spread of a Step-Down Bond, the spread or coupon on any date will be deemed to be the lowest spread or coupon, respectively, scheduled to apply to such Step-Down Bond on or after such date.

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"Stranded Utility Asset Securities": Asset Backed Securities backed by cash flow from stranded utility assets and other costs authorized for recovery by state law in the jurisdiction of the related utility. "Structured Finance Security": Any CDO Security, CMBS Security or other registered asset backed security, including any CDS Asset, the CDS Reference Obligation with respect to which is a Structured Finance Security; provided, that either such security (or, with respect to a CDS Asset or Covered Short CDS Asset, the CDS Reference Obligation) is treated as debt for U.S. federal income tax purposes or the issuer thereof is not a U.S. person and is treated as a corporation that is not a United States real property holding corporation as defined in Section 897(c)(2) of the Code for U.S. federal income tax purposes. "Structured Settlement Security": A security that provides for the disbursement of money for an injured person's legal claim where all or part of the arrangement calls for future periodic payments. "Student Loan Securities": Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the securities) on the cash flow from loans made to students (or their parents) to finance educational needs. "Tax Lien Securities": Asset Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from a pool of tax obligations owed by businesses and individuals to state and municipal governmental taxing authorities, generally having the following characteristics: (1) the obligations have standardized payment terms and require minimum payments; (2) the tax obligations are obligations of numerous borrowers and accordingly represent a very diversified pool of obligor credit risk; and (3) the repayment stream on the obligation is primarily determined by a payment schedule entered into between the relevant tax authority and obligor, with early repayment on such obligation predominantly dependent upon interest rates and the income of the obligor following the commencement of amortization. "Time Share Securities": Asset Backed Securities that entitle the holders thereof to receive payments that depend primarily on the cash flow from residential mortgage loans (primarily secured on a first priority basis, subject to permitted liens, easements and other encumbrances) by residential real estate the proceeds of which were used to purchase fee simple interests in timeshare estates in units in a condominium, generally having the following characteristics: (1) the mortgage loans have standardized payment terms and require minimum monthly payments; (2) the mortgage loans are obligations of numerous borrowers and accordingly represent a diversified pool of obligor credit risk; (3) repayment of such securities can vary substantially from their contractual payment schedules and depends entirely upon the rate at which the mortgage loans are repaid; and (4) the repayment of such mortgage loans is subject to a contractual payment schedule, with early prepayment of individual loans depending on numerous factors specific to the particular obligors and upon whether, in the case of loans bearing interest at a fixed rate, such loans or securities include an effective prepayment premium and with early repayment depending primarily on interest rates and the sale of the mortgaged real estate and related dwelling and generally no penalties for early repayment. "Tobacco Settlement Securities": Asset Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset Backed Securities) on the cash flow from receivables representing the right of litigation claimants in legal actions related to tobacco products to receive future scheduled payments under settlement agreements that are funded by annuity contracts, which receivables may have varying maturities. "Toggle Security": Any floating rate security that is a U.S. agency security and has a complex condition on its floating rate.

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INDEX OF DEFINED TERMS ABS CDO Security................................................180 ABS Small Business Loan Securities ....................180 Accounts ................................................................143 Accredited Investor................................................143 Accrued Interest Purchased With Principal ...........143 ACI ........................................................................100 Actual Interest Amount ...........................................86 Additional Fixed Amounts ....................................143 Administration Agreement ......................................53 Administrative Expenses .......................................143 Administrator.............................................................2 Advisers Act ..........................................................143 Affected Bank........................................................122 Affiliate .................................................................143 Aircraft Securities..................................................180 Applicable Class A1 Swap Notional Amount .......143 Applicable Issuer ...................................................143 Applicable Recovery Rate .....................................143 Approved Ratings Threshold.................................143 Articles ....................................................................52 Asset Backed Securities.........................................180 Automobile Lease Securities .................................180 Automobile Loan Securities ..................................180 Available Funds.....................................................144 Average Life..........................................................144 Balance Sheet CDO Security.................................180 Bank.........................................................................42 Bank Trust Preferred CDO Security......................180 Base Rate ...............................................................144 Base Rate Reference Bank.....................................144 Benefit Plan Investor ...............................50, 126, 135 Benefit Plan Investor Limitation ...........................136 BTB Counterparty ...................................................46 Business Day .........................................................144 Cap Corridor Floater..............................................180 Capacity Subaccount ...............................................91 Cash .......................................................................144 Cash Asset .............................................................144 Cashflow Swap Agreement .....................................93 Cashflow Swap Collateral Account.........................90 Cashflow Swap Counterparty ..............................2, 93 Cashflow Swap Counterparty Ratings Requirement.....................................................144 Cashflow Swap Fee Payment ................................144 Cashflow Swap Payment .......................................145 Cashflow Swap PaymentsDefaulted..................145 Cashflow Swap Ratings Determining Party ..........145 Cashflow SwapCollateralization Event ...............94 Cashflow SwapDeferred Shortfall Amount .......144 Cashflow SwapInterest Rate..............................144 Cashflow SwapInterest Shortfall Amount .........145 Cashflow SwapShortfall Amount ......................145 Cashflow SwapSubstitute Party...........................95 Cashflow SwapSubstitution Event.......................95 Cashflow SwapSuspension Event......................145 Catastrophe Bond ..................................................181 CBO Security.........................................................181 CDO Assets ...........................................................145 CDO of CDO Security...........................................181 CDO Securities ......................................................181 CDO Vehicles........................................................100 CDS Asset .............................................................145 CDS Asset Capacity Amount ................................146 CDS Asset Collateral Account ................................90 CDS Asset Counterparties .......................................18 CDS Asset Counterparty .......................................146 CDS Asset Counterparty Forbearance...................146 CDS Asset Counterparty Termination Payment ....147 CDS Asset Interest Payment..................................147 CDS Asset Interest Reimbursement ......................147 CDS Asset Issuer Account.......................................91 CDS Asset Loss Payment ......................................147 CDS Asset Payment...............................................147 CDS Asset Principal Payment ...............................147 CDS Asset Principal Reimbursement ....................147 CDS Asset Writedown Reimbursement ................147 CDS Asset/SCA Issuer Termination Payment.......147 CDS Assets..............................................................18 CDS Cash Settlement Payment .............................147 CDS Collateral Agreement ......................................13 CDS Collateral Credit Enhancement Event...........147 CDS Collateral Elective Withdrawal.....................148 CDS Collateral Elective Withdrawal Effective Date..................................................................148 CDS Collateral Eligibility Criteria ........................148 CDS Collateral Eligible Securities ........................148 CDS Collateral Excess...........................................148 CDS Collateral Intraperiod Excess ........................148 CDS Collateral Investment Downgrade ................148 CDS Collateral Ratings Event ...............................148 CDS Collateral Replacement Event.......................148 CDS Collateral Required Amount .........................149 CDS Collateral Securities Counterparty ....................1 CDS Collateral Shortfall........................................149 CDS Collateral Voting Notice ...............................149 CDS Collateral Voting Notice Cut-Off Date .........149 CDS Collateral Voting Rights ...............................149 CDS Collateral Voting Rights Event .....................149 CDS Collateral Withholding Event .......................149 CDS Fixed Amount ...............................................149 CDS Interest Shortfall ...........................................149 CDS Issuer Up-Front Payment ..............................150 CDS Payment Priority ...........................................150 CDS Physical Settlement Payment ........................150 CDS Principal Shortfall .........................................150 CDS Reference Obligation ....................................150

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CDS Reference Obligation Notional Amount .......151 CDS Reference Obligor.........................................151 Certificated Notes ....................................................23 CFC .......................................................................131 CGML .................................................................1, 69 Citigroup....................................................................1 Class ......................................................................151 Class A Notes ........................................................151 Class A1 Designee...................................................66 Class A1 Eligible Investments...............................151 Class A1 Eligible Noteholder ................................151 Class A1 Mandatory Note Funding .......................151 Class A1 Mandatory Note Funding Reserve Account..............................................................92 Class A1 Note Amount..........................................151 Class A1 Note Funding............................................66 Class A1 Note Funding Date .................................151 Class A1 Note Funding Request............................151 Class A1 Note Funding Subaccount ........................91 Class A1 Notes ......................................................151 Class A1 Option Fee................................................67 Class A1 Option Fee Rate........................................11 Class A1 Requisite Ratings ...................................151 Class A1 Swap.........................................................11 Class A1 Swap Counterparty.....................................1 Class A1 Swap Notional Amount............................11 Class A1 Swap Notional AmountAverage ........151 Class A1 Swap Ratings Event ...............................151 Class A1 Swap Termination Date..............................5 Class A2 Notes ......................................................152 Class A3 Notes ......................................................152 Class A4 Notes ......................................................152 Class B Notes ........................................................152 Class C Component ...............................................152 Class C Notes ........................................................152 Class Q Combination Note Notional Balance .......152 Class Q Combination Notes...................................152 Class S Notes.........................................................152 Clearstream............................................................152 CLO Securities ......................................................181 Closing Date ..............................................................5 CMBS Conduit Securities .....................................181 CMBS Credit Tenant Lease Securities ..................181 CMBS Large Loan Securities................................181 CMBS Securities ...................................................182 CMBS Single Asset Securities ..............................182 Code.......................................................................152 Co-Issued Notes.....................................................152 Co-Issuer....................................................................1 Co-Issuers ..................................................................1 Collateral .................................................................14 Collateral Administration Agreement......................77 Collateral Administrator ............................................1 Collateral Obligations............................................152 Collection Account ..................................................88 Commercial Mortgage Loans ..................................31

Component ............................................................152 Conflicts Review Board...........................................44 Contingent CDO Security......................................182 Corporate Trust Office...............................................1 Coverage Tests ......................................................152 Covered Short Available Spread Amount .............152 Covered Short CDS Asset .....................................153 Covered Short CDS Asset Additional Criteria ......153 Covered Short CDS Asset Collateral Account ......153 Covered Short CDS Asset Counterparty ...............153 Covered Short CDS Asset Interest Payment..........153 Covered Short CDS Asset Premium Amount........153 Covered Short CDS Asset Premium Test ..............153 Covered Short CDS Asset Total Premium Test Amount ............................................................153 Covered Short CDS Criteria ..................................153 Covered Short Matching Long Position ................154 Covered Short WAS Excess/Shortfall Amount .....154 Credit Card Securities............................................182 Credit Derivatives Definitions.................................88 Credit Event .............................................................83 Credit Improved Security ......................................154 Credit Protection Amounts ......................................86 Credit Protection Payment.......................................83 Credit Risk Security...............................................154 CS ........................................................................ 101 CSS..................................................................42, 100 Custodial Account .................................................154 Custodian...................................................................1 Defaulted CDS Asset Termination Payments........154 Defaulted Interest ..................................................154 Defaulted Security .................................................155 Defaulted Security Amount ...................................156 Deferrable Interest Notes.......................................156 Deliverable Obligation ..........................................156 Depository .............................................................156 Designated Maturity ................................................57 determination date ...................................................82 Distressed Ratings Downgrade.................................84 DTC .......................................................................156 E.U...........................................................................51 Eligible Collateral Debt Securities ..........................14 Eligible Guarantee .................................................156 Eligible Guarantor .................................................156 Eligible Investment................................................156 Eligible Replacement.............................................158 Eligible SPV ..........................................................158 Eligible Successor..................................................110 Emerging Markets CDO Security..........................182 Emerging Markets Country ...................................158 Employee Services Agreement..............................100 Enhanced Equipment Trust Certificate..................182 Equipment Leasing Securities ...............................182 Equity Security ......................................................158 ERISA ...................................................................135 ERISA Plans..........................................................135

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Euroclear................................................................158 Event of Default ......................................................72 Exchange Act.........................................................158 Excluded Property .................................................158 Exercise Amount .....................................................87 Exercise Percentage.................................................87 Expected Interest Amount .......................................86 Expense Reserve Account .......................................89 Failure to Pay Interest..............................................85 Failure to Pay Principal ...........................................83 FFIEC ....................................................................138 Final Amortization Date ..........................................83 Firm Offer..............................................................176 Fitch.......................................................................159 Fixed Rate Security ...............................................159 Floating Rate Security ...........................................159 Floating Rate SecurityDeemed ..........................159 Floating Rate SecurityDeemed Asset Hedge.....159 Floating Rate SecurityDeemed Spread ..............159 Form-Approved ABS Asset Agreement ................159 Form-Approved CDO Asset Agreement ...............159 Franchise Securities...............................................182 FRB .......................................................................159 FSMA ......................................................................69 Future Flow Securities...........................................182 German Investors.............................................51, 133 Global Notes............................................................23 Guaranteed Debt Security......................................183 Healthcare Securities .............................................183 Hedge Agreements ................................................159 Hedge Collateral ....................................................160 Hedge Collateral Account........................................89 Hedge Counterparty...............................................160 Hedge Payment......................................................160 Hedge PaymentsDefaulted.................................160 Hedge Replacement Account ..................................90 Hedge Replacement Proceeds................................160 Hedge Termination Receipts .................................160 Hedge Termination Receipts Account.....................89 Holder....................................................................160 Home Equity Loan Securities................................183 Implied Writedown ................................................160 Implied Writedown Amount..................................160 Implied Writedown Excess Payment Reimbursement Amount ..................................160 Implied Writedown Reimbursement Amount .........160 Income Note Component.......................................160 Income Note Paying Agency Agreement ................55 Income Note Paying Agent........................................1 Income Note Register ............................................160 Income Note Registrar.........................................1, 60 Income Notes.........................................................160 Increased Fixed Amounts ......................................161 Indenture................................................................161 Indenture Register..................................................161 Indenture Registrar ..............................................1, 60

Index Security........................................................183 Indirect Participants.................................................65 Initial CDS Agreement ............................................88 Initial CDS Asset Counterparty .................................1 Initial Offerees.......................................................115 Initial Purchaser.........................................................1 Initial Rating..........................................................161 Insurance Trust Preferred CDO Security...............183 Interest Collection Account ...................................161 Interest Collections ................................................161 Interest Coverage Amount.....................................161 Interest Coverage Ratio .........................................162 Interest Coverage Test ...........................................162 Interest Only Security............................................183 Interest Shortfall ......................................................86 Interest Shortfall Amount ........................................85 Intermediation Fee...................................................88 Inverse Floating Rate Security...............................184 Investment Company Act ......................................162 Investment Criteria ..................................................82 Investment Tax Act .........................................51, 133 Irish Listing Agent.....................................................2 Irish Note Paying Agent ............................................2 Irish Stock Exchange .............................................162 IRS.........................................................................129 ISDA........................................................................82 Issuer .........................................................................1 Junior Class ...........................................................162 Key Counterparties ................................................162 LaSalle.......................................................................1 LIBOR .....................................................................57 LIBOR Determination Date.....................................57 LIG ..................................................................42, 100 Listed Notes...........................................................162 London Business Day..............................................57 Majority .................................................................162 Management Agreement........................................100 Management Fee....................................................111 Management Fee Basis Amount............................111 Manager...............................................................1, 42 Manager Default ....................................................109 Manager Sections ......................................................v Mandatory Funding/Ratings Provisions ..................67 Mandatory Redemption DateInitial .......................5 Manufactured Housing Securities..........................184 Margin Stock .........................................................162 Market Value .........................................................162 Market Value CDO Security .................................184 Master Agreement ...................................................82 Maturity .................................................................163 Maturity DateFinal ................................................6 Maturity DateStated...............................................6 Measurement Date.................................................163 Minimum Reporting Requirements .........................51 Monthly Report .......................................................79 Moody's .................................................................163

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Moody's Asset Correlation Factor .........................163 Moody's Asset Correlation FactorMaximum.......20 Moody's First Rating Trigger Event ......................163 Moody's First Trigger Ratings Threshold..............163 Moody's Rating......................................................163 Moody's Rating Factor...........................................167 Moody's Rating FactorMaximum ........................20 Moody's Recovery Rate.........................................168 Moody's RecoveryMinimum ...............................21 Moody's Second Trigger Ratings Event ................168 Moody's Second Trigger Ratings Threshold .........168 Moody's Trading Restriction Event .......................168 Moody's Weighted Average Rating Factor............169 Moody's Weighted Average Recovery Rate..........169 Multi-Sector CDO Securities.................................184 Mutual Fund Securities..........................................184 Natural Resource Security .....................................184 Negative Amortization Security ............................184 Net Aggregate Adjusted Notional Amount ...........169 NIM Security .........................................................184 Non-Co-Issued Notes ............................................169 Non-U.S. Holder....................................................128 Non-U.S. Issuers......................................................47 Non-U.S. Person....................................................169 Note Calculation Agent .............................................1 Note Paying Agents ...................................................2 Note Purchase Agreement .....................................139 Noteholder .............................................................169 Notes...................................................................i, 169 Offering Circular ...................................................... ii Offshore Transaction ...............................................62 OID........................................................................129 OID Note ...............................................................169 Oil and Gas Securities ...........................................184 Optional Redemption DateInitial...........................5 Ordinary Shares .......................................................52 Other Indebtedness ................................................155 Outstanding............................................................169 Pari Passu Class .....................................................170 participants ..............................................................61 Parties in Interest ...................................................135 Pay-As-You-Go Confirmation...............................170 Paying Agent .........................................................170 Payment Account.....................................................90 Payment Amount ...................................................170 Payment Date.............................................................5 Payment Report .......................................................79 Payment Requirement..............................................85 Period.....................................................................170 Period End Date.....................................................170 Periodic Interest.....................................................170 Periodic Interest Accrual Period............................170 Periodic Interest Cumulative Shortfall Amount ....170 Periodic Interest Rate.............................................170 Periodic Interest Shortfall Amount ........................171 Person ....................................................................171

PFIC.......................................................................130 Physical Settlement Amount....................................87 PIK Bond ...............................................................185 PIKing Bond..........................................................185 PIKing Bond Amount............................................171 Placement Agent........................................................1 Placement Agreement............................................139 Plan Asset Regulation............................................135 Plans ......................................................................135 Portfolio Limitations................................................21 Portfolio Quality Tests.............................................20 Posted Collateral Subaccount ..................................91 Principal Balance...................................................171 Principal Balance Target ...........................................2 Principal BalanceAggregate ..............................171 Principal BalancePortfolio.................................171 Principal Collection Account.................................171 Principal Collections..............................................171 Principal Coverage Amount ..................................171 Principal Coverage Discount Security...................172 Principal Coverage Ratio.......................................172 Principal Coverage Test.........................................172 Principal Only Security .........................................185 Priority of Payments ..................................................9 Priority of PaymentsInterest Collections ...............6 Priority of PaymentsPrincipal Collections.............9 Project Finance CDO Security...............................185 Project Finance Securities......................................185 Prospectus Directive ................................................51 PTCE .....................................................................136 QEF .........................................................................48 QIB ........................................................................172 QP .........................................................................172 Ramp-Up End Date ...................................................5 Ramp-Up Period ....................................................172 Rating Agency .......................................................172 Rating Agency Confirmation.................................173 Ratings Confirmation Failure ..........................20, 173 Real Estate CDO Securities ...................................185 Real Estate Investment Trust Preferred Security ...186 Redemption................................................................6 Redemption Amount..............................................173 Redemption Date ...................................................173 Redemption Price ..................................................173 Reference Banks ......................................................57 Registered ..............................................................173 Regulation S ..........................................................173 Regulation S Global Notes ......................................23 Regulation S Offeree .............................................115 Relevant Entity ......................................................173 Relevant Implementation Date ..............................139 Relevant Member State .........................................139 Required Amount ..................................................173 Requisite Noteholder .............................................173 Reserve Account....................................................173 Reserve Investments ..............................................173

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Residential A Mortgage Securities ........................186 Residential B/C Mortgage Securities.....................186 Restaurant and Food Services Securities ...............186 RMBS Securities ...................................................186 Rule 144A..............................................................173 Rule 144A Global Notes..........................................23 Rule 144A Offeree.................................................115 S&P .......................................................................173 S&P Approved Ratings Threshold ........................174 S&P Break-Even Default Rate ..............................174 S&P CDO Monitor ................................................174 S&P CDO Monitor Test ..........................................21 S&P Current Portfolio ...........................................174 S&P First Rating Trigger Event ............................174 S&P Loss Rate Differential ...................................174 S&P Minimum Average Recovery Rate................174 S&P Minimum Average Recovery Rate Minimum ...........................................................21 S&P Proposed Portfolio.........................................174 S&P Rating............................................................174 S&P Recovery Rate ...............................................175 S&P Required Ratings Downgrade Event .............175 S&P Required Ratings Threshold..........................176 S&P Scenario Default Rate ...................................176 Sale Proceeds.........................................................176 SEC........................................................................176 Second Additional Fixed Amounts........................176 Second Rating Trigger Event.................................176 Secured Note Paying Agent.......................................1 Secured Note Transfer Agent ................................176 Secured Notes.....................................................i, 176 Secured Obligations...............................................176 Secured Parties ......................................................177 Securities Act.........................................................177 Semi-Annual Interest ReserveAggregate...........177 Semi-Annual Securities .........................................186 Semi-Annual Security Interest Reserve Amount...177 Senior CDO Security .............................................186 Senior Class ...........................................................177 Share Register........................................................177 Share Registrar ..........................................................2 Share Trustee .............................................................2

Short CDS Assets ..................................................177 Similar Law ...........................................................135 Single-Tranche Synthetic CDO Security ...............186 Spread....................................................................177 Static Bespoke CDO Security................................186 Step-Down Bond ...................................................186 Stranded Utility Asset Securities ...........................187 Structured Finance Security...................................187 Structured Settlement Security ..............................187 Student Loan Securities .........................................187 Subordinated CDS Asset/SCA Termination Payment ...........................................................177 Subordinated Covered Short CDS Termination Payment ...........................................................177 Tax Event...............................................................177 Tax Ineligible Investment ......................................178 Tax Lien Securities................................................187 Taxes .......................................................................60 Temporary Regulation S Global Notes....................23 Termination Events..................................................88 Time Share Securities............................................187 Tobacco Settlement Securities...............................187 Toggle Security .....................................................187 Transaction Documents .........................................178 Treasury...................................................................50 Trustee .......................................................................1 U.S. 10% Shareholder ...........................................131 U.S. Collateral Debt Security ..................................47 U.S. Holder............................................................128 U.S. Person ............................................................178 U.S.$, $ or dollars...................................................xiv Underlying Instruments .........................................178 USA PATRIOT Act.................................................50 Warehousing Facility...............................................41 Weighted Average Life .........................................178 Weighted Average LifeMaximum .......................20 Weighted Average Spread .....................................178 Weighted Average SpreadMinimum ...................20 Writedown ...............................................................84 Written Down Principal Balance ...........................178 Written Down Security..........................................178

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PRINCIPAL OFFICES OF THE CO-ISSUERS Class V Funding III, Ltd. P.O. Box 1093 GT Queensgate House South Church Street, George Town Grand Cayman, Cayman Islands Class V Funding III, Corp. 1209 Orange Street Wilmington, Delaware 19801

TRUSTEE, PRINCIPAL SECURED NOTE PAYING AGENT, INDENTURE REGISTRAR INCOME NOTE PAYING AGENT AND INCOME NOTE REGISTRAR LaSalle Bank National Association 181 West Madison Street, 32nd Floor Chicago, Illinois 60602

TRANSFER AGENT LaSalle Bank National Association 181 West Madison Street, 32nd Floor Chicago, Illinois 60602

IRISH LISTING AGENT Maples and Calder Listing Services Limited 75 St. Stephen's Green Street Dublin 2, Ireland

IRISH NOTE PAYING AGENT Maples Finance Dublin 75 St. Stephen's Green Street Dublin 2, Ireland

LEGAL ADVISERS To the Co-Issuers As to United States Law Milbank, Tweed, Hadley & McCloy LLP One Chase Manhattan Plaza New York, New York 10005 As to Cayman Islands Law Maples and Calder P.O. Box 309 GT Ugland House South Church Street, George Town Grand Cayman, Cayman Islands To the Initial Purchaser and Placement Agent Milbank, Tweed, Hadley & McCloy LLP One Chase Manhattan Plaza New York, New York 10005 To the Manager White & Case LLP 1155 Avenue of the Americas New York, New York 10036

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