PROSPECTUS

ESP Funding I, Ltd.

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

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

Citigroup
September 26, 2006

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

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

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

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

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EACH INITIAL INVESTOR IN THE RATED NOTES (OTHER THAN THE RESTRICTED CERTIFICATED NOTES) WILL BE DEEMED TO HAVE MADE CERTAIN PURCHASER REPRESENTATIONS AS DESCRIBED UNDER "PURCHASE AND TRANSFER RESTRICTIONS" HEREIN. EACH INITIAL INVESTOR IN THE RESTRICTED CERTIFICATED NOTES WILL BE REQUIRED TO MAKE CERTAIN PURCHASER REPRESENTATIONS AS DESCRIBED UNDER "PURCHASE AND TRANSFER RESTRICTIONS" HEREIN. EACH PURCHASER OF THE INCOME NOTES OFFERED IN THE UNITED STATES IN RELIANCE ON RULE 144A WILL BE REQUIRED TO MAKE CERTAIN PURCHASER REPRESENTATIONS AS DESCRIBED UNDER "PURCHASE AND TRANSFER RESTRICTIONS" HEREIN. IN ADDITION, THE NOTES WILL BEAR RESTRICTIVE LEGENDS AND WILL BE SUBJECT TO RESTRICTIONS ON TRANSFER AS DESCRIBED HEREIN, INCLUDING THE REQUIREMENT THAT, WITH RESPECT TO THE INCOME NOTES TRANSFERRED OR EXCHANGED IN THE UNITED STATES IN RELIANCE ON RULE 144A, SUBSEQUENT TRANSFEREES FURNISH A REPRESENTATION LETTER IN THE FORM PRESCRIBED BY THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT. 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.

FOR NEW HAMPSHIRE RESIDENTS ONLY: NEITHER THE FACT THAT A REGISTRATION STATEMENT OR AN APPLICATION FOR A LICENSE HAS BEEN FILED UNDER CHAPTER 421-B OF THE NEW HAMPSHIRE UNIFORM SECURITIES ACT, AS AMENDED, WITH THE STATE OF NEW HAMPSHIRE NOR THE FACT THAT A NOTE IS EFFECTIVELY REGISTERED OR A PERSON IS LICENSED IN THE STATE OF NEW HAMPSHIRE CONSTITUTES A FINDING BY THE SECRETARY OF STATE THAT ANY DOCUMENT FILED UNDER RSA 421-B OF THE NEW HAMPSHIRE UNIFORM SECURITIES ACT IS TRUE, COMPLETE AND NOT MISLEADING. NEITHER ANY SUCH FACT NOR THE FACT THAT AN EXEMPTION OR EXCEPTION IS AVAILABLE FOR A NOTE OR A TRANSACTION MEANS THAT THE SECRETARY OF STATE HAS PASSED IN ANY WAY UPON THE MERITS OR QUALIFICATIONS OF, OR RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON, NOTE 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.
NOTICE TO RESIDENTS OF AUSTRALIA NO PROSPECTUS OR OTHER DISCLOSURE DOCUMENT AS DEFINED IN THE CORPORATIONS ACT 2001 IN RELATION TO THE OFFERED SECURITIES HAS BEEN LODGED WITH, OR REGISTERED BY, THE AUSTRALIAN SECURITIES AND INVESTMENTS COMMISSION ("ASIC") OR THE AUSTRALIAN STOCK EXCHANGE LIMITED. THE INITIAL PURCHASER HAS REPRESENTED AND AGREED THAT IT: (A) HAS NOT (DIRECTLY OR INDIRECTLY) OFFERED FOR SUBSCRIPTION OR PURCHASE OR ISSUED INVITATIONS TO SUBSCRIBE FOR OR BUY NOR WILL IT SELL THE OFFERED SECURITIES; AND

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

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

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

SPANISH SECURITIES MARKET ACT (LEY 24/1988, DE 28 DE JULIO, DEL MERCADO DE VALORES) AND ANY REGULATIONS ENACTED THEREUNDER) OR WITHOUT COMPLYING WITH ALL LEGAL AND REGULATORY REQUIREMENTS IN RELATION THERETO. NOTICE TO RESIDENTS OF SWEDEN THIS PROSPECTUS IS FOR THE RECIPIENT ONLY AND MAY NOT IN ANY WAY BE FORWARDED TO ANY OTHER PERSON OR TO THE PUBLIC IN SWEDEN. NOTICE TO RESIDENTS OF SWITZERLAND THIS DOCUMENT HAS NOT BEEN PREPARED FOR PRIVATE INFORMATION PURPOSES OF INTERESTED INVESTORS ONLY. IT MAY NOT BE USED FOR AND SHALL NOT BE DEEMED A PUBLIC OFFERING OF THE NOTES. NO APPLICATION HAS BEEN MADE UNDER SWISS LAW TO PUBLICLY MARKET THE NOTES IN OR OUT OF SWITZERLAND. THEREFORE, NO PUBLIC OFFER OF THE SECURITIES OR PUBLIC DISTRIBUTION OF THIS DOCUMENT MAY BE MADE IN OR OUT OF SWITZERLAND. THIS DOCUMENT IS STRICTLY FOR PRIVATE USE BY ITS HOLDER AND MAY NOT BE PASSED ON TO THIRD PARTIES. NOTICE TO RESIDENTS OF TAIWAN THE OFFER OF THE NOTES HAS NOT BEEN AND WILL NOT BE REGISTERED WITH THE SECURITIES AND FUTURES COMMISSION OF THE REPUBLIC OF CHINA PURSUANT TO RELEVANT SECURITIES LAWS AND REGULATIONS AND MAY NOT BE OFFERED OR SOLD WITHIN THE REPUBLIC OF CHINA THROUGH A PUBLIC OFFERING OR IN CIRCUMSTANCE WHICH CONSTITUTES AN OFFER WITHIN THE MEANING OF THE SECURITIES AND EXCHANGE LAW OF THE REPUBLIC OF CHINA THAT REQUIRES A REGISTRATION OR APPROVAL OF THE SECURITIES AND FUTURES COMMISSION OF THE REPUBLIC OF CHINA. NOTICE TO RESIDENTS OF THE UNITED KINGDOM THIS COMMUNICATION IS DIRECTED ONLY AT PERSONS WHO (i) ARE OUTSIDE THE UNITED KINGDOM OR (ii) HAVE PROFESSIONAL EXPERIENCE IN MATTERS RELATING TO INVESTMENTS OR (iii) ARE PERSONS FALLING WITHIN ARTICLE 49(2)(a) TO (d) ("HIGH NET WORTH COMPANIES, UNINCORPORATED ASSOCIATIONS ETC") OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (FINANCIAL PROMOTION) ORDER 2001 (ALL SUCH PERSONS TOGETHER BEING REFERRED TO AS "RELEVANT PERSONS"). THIS COMMUNICATION MUST NOT BE ACTED ON OR RELIED ON BY PERSONS WHO ARE NOT RELEVANT PERSONS. ANY INVESTMENT OR INVESTMENT ACTIVITY TO WHICH THIS COMMUNICATION RELATES IS AVAILABLE ONLY TO RELEVANT PERSONS AND WILL BE ENGAGED IN ONLY WITH RELEVANT PERSONS.

The distribution of this Prospectus and the offering of the Notes may also be restricted by law in certain jurisdictions. Consequently, nothing contained herein shall constitute an offer to sell, or a solicitation of an offer to buy, (i) any securities other than the Notes or (ii) any Notes in any jurisdiction in which it is unlawful for such person to make such an offer or solicitation. Persons into whose possession this Prospectus comes are required by the Co-Issuers, the Initial Purchaser and the Placement Agent to inform themselves about, and to observe, any such restrictions.

viii

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

ix

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

SUMMARY The following summary does not purport to be complete and is qualified in its entirety by reference to the detailed information appearing elsewhere in this Prospectus and related documents referred to herein. Defined terms used herein may be defined elsewhere in this Prospectus. An index of defined terms used herein indicating where the related definitions can be found appears at the end of this Prospectus. Certain General Terms Issuer: .................................................. Co-Issuer: ............................................ Collateral Manager: ............................. Trustee/Accountholder/Income Note Issuing and Paying Agent/Collateral Administrator:..... Closing Date: ....................................... Effective Date:..................................... ESP Funding I, Ltd. ESP Funding I (Delaware) Corp. Elliott Structured Products LLC

LaSalle Bank National Association. On or about September 7, 2006. The date (the "Effective Date") that is the earlier of (a) the 105th day following the Closing Date and (b) the first day on which the Aggregate Principal Balance of the Pledged Collateral Debt Assets purchased by the Issuer (including, with respect to CDS Assets, the Aggregate CDS Asset Notional Amount), together with any Collateral Principal Collections received on or prior to such date and the aggregate amount of unpaid interest accrued thereon prior to the respective dates of purchase thereof is at least equal to U.S.$1,000,000,000 (the "Aggregate Effective Date Par Amount"). U.S.$767,000,000 aggregate principal amount of Rated Notes and U.S.$13,500,000 aggregate principal amount of Income Notes. For the Class A-1R Notes, the Class A-1T1 Notes and the Class A-1T2 Notes, the 5th day of each month, beginning in November 2006 (each, a "Monthly Payment Date") and, for the other Classes of Rated Notes and the Income Notes, the 5th day of each January, April, July and October, beginning in January 2007 (each, a "Quarterly Payment Date"); provided that the final scheduled Monthly Payment Date and Quarterly Payment Date will be in October 2046 (in each case, adjusted as described herein in the case of nonBusiness Days). Gross: U.S.$680,400,000 (approximate), including proceeds from the issuance of the Notes on the Closing Date and the upfront payment from the Initial Interest Rate Hedge Counterparty. Net: U.S.$677,500,000 (approximate), being net proceeds after deducting certain Closing Date payments of organizational and structuring fees and expenses of the Co-Issuers, including, without limitation (i) the legal fees and expenses of counsel to the Co-Issuers, the Initial Purchaser and the Collateral Manager, (ii) the expenses, fees and commissions incurred in connection with the acquisition of the Collateral Debt Assets to be purchased by the Issuer on the Closing Date, (iii) the expenses of offering the Notes (including placement agency fees and structuring fees), (iv) the initial deposit into the Expense Reserve Account and (v) expenses incurred as part of obtaining admission for the Notes to trade on the Irish Stock Exchange, the aggregate amount of which such expenses is expected to equal approximately U.S.$36,685. 1

Notes:................................................... Payment Dates:....................................

Expected Proceeds:..............................

Use of Proceeds: ..................................

Net proceeds will be used by the Issuer on the Closing Date to purchase the Collateral Debt Assets listed in Annex C attached hereto previously selected by the Collateral Manager and after the Closing Date to purchase additional Collateral Debt Assets in accordance with the investment criteria described herein.

General Terms of the Rated Notes Rated Notes: ........................................

Note Class A-1R Revolving Floating Rate Senior Secured Notes Class A-1T1 Floating Rate Senior Secured Notes Class A-1T2 Floating Rate Senior Secured Notes Class A-2 Floating Rate Senior Secured Notes Class A-3 Floating Rate Senior Secured Notes Class A-4 Floating Rate Senior Secured Notes Class B Floating Rate Subordinate Secured Notes3 Class C Floating Rate Junior Subordinate Secured Notes4 Principal Amount U.S.$100,000,0001 Stated Maturity Date October 2046 October 2046 October 2046 October 2046 October 2046 October 2046 October 2046 October 2046 Applicable Periodic Interest Rate2 1-Month LIBOR + 0.23% 1-Month LIBOR + 0.23% 1-Month LIBOR + 0.23% 3-Month LIBOR + 0.40% 3-Month LIBOR + 0.46% 3-Month LIBOR + 0.50% 3-Month LIBOR + 1.50% 3-Month LIBOR + 3.25% Ratings (Moody's and S&P) "Aaa", "AAA" "Aaa", "AAA" "Aaa", "AAA" "Aaa", "AAA" "Aaa", "AAA" "Aa2", "AA" "A2", "A" "Baa2", "BBB"

U.S.$395,000,000

U.S.$30,000,000

U.S.$100,000,000 U.S.$90,000,000 U.S.$27,000,000 U.S.$15,000,000

U.S.$10,000,000

___________________ 1 The Class A-1R Notes will be issued subject to the commitment of each holder thereof to make advances in an amount that may increase or decrease from time to time up to such holder's Class A-1R Commitment. 2 Interest rate per annum; expressed as a spread above one-month LIBOR for the Class A-1T1 Notes and the Class A-1T2 Notes and the funded portion of the Class A-1R Notes and threemonth LIBOR for the other Classes of Rated Notes; based on a year of 360 days and actual number of days elapsed; payable in arrears on each Monthly Payment Date (with respect to the Class A-1T1 Notes and the Class A-1T2 and the funded portion of the Class A-1R Notes) and each Quarterly Payment Date (with respect to the other Classes of Notes). 3 So long as any Class of Notes that is Senior to the Class B Notes remains outstanding, any interest on the Class B Notes not paid when due will be deferred and capitalized. 4 So long as any Class of Notes that is Senior to the Class C Notes remains outstanding, any interest on the Class C Notes not paid when due will be deferred and capitalized.

Minimum Denomination: .................... Seniority: .............................................

U.S.$250,000 and integral multiples of U.S.$1,000 in excess thereof. First, Class A-1T1 Notes and Class A-1R Notes (including any required deposits into the Synthetic Reserve Account as described herein), second, Class A-1T2 Notes, third, Class A-2 Notes, fourth, Class A-3 Notes, fifth, Class A-4 Notes, sixth, Class B Notes and, seventh, Class C Notes, subject to certain limited exceptions applicable to payment of principal of the Notes. See "Description of the NotesPriority of Payments". Payments of interest on and principal of the Notes will be subordinate to certain payments, including certain payments to the Advance Swap Counterparty. See "The Advance Swap."

Security for the Rated Notes:...............

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

Principal Repayment: ..........................

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

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

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

Optional Redemption:..........................

Tax Redemption: .................................

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

General Terms of the Income Notes Aggregate Principal Amount: .............. Expected Rating: ................................. Minimum Denomination: .................... Status: .................................................. U.S.$13,500,000. The Income Notes will not be rated. U.S.$250,000 and integral multiples of U.S.$1,000 in excess thereof. The Income Notes will be unsecured limited recourse obligations of the Issuer issued in accordance with the Income Note Issuing and Paying Agency Agreement and, as such, represent a residual interest in the assets of the Issuer.

Payments: ............................................

The Income Notes will not bear a stated rate of interest, but, on each Quarterly Payment Date, to the extent funds are available therefor, distributions will be made on the Income Notes after the payment of interest on the Rated Notes and certain other amounts ranking senior in priority to such distributions as specified under the Priority of Payments. However, funds that would otherwise be paid to Income Noteholders on any Quarterly Payment Date will be diverted to pay in the following order, (a) any Used Advance Swap Amount, any such payment permanently reducing the Advance Swap Notional Amount, and then (b) based on the Advance Swap Allocation Basis, (i) to deposit to the Synthetic Reserve Account, such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero, and then (ii) to reduce pro rata, (1) the Aggregate Class A1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero, by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes, and then (c) principal of the Class A-1T2 Notes, the Class A-2 Notes, the Class A-3 Notes, the Class A-4 Notes, the Class B Notes and the Class C Notes in sequence until each Class of Notes has been paid in full, if any Coverage Test, as of the related Calculation Date, is not satisfied as described under "Description of the NotesRated NotesMandatory Redemption" and "Priority of Payments". Subject to certain conditions described herein, if the Income Notes are not otherwise redeemed in connection with a redemption of the Rated Notes, on any Quarterly Payment Date on or after the Quarterly Payment Date on which the Rated Notes have been paid in full, the Holders of not less than a Majority of the Income Notes may direct the Issuer to liquidate any remaining assets and redeem the Income Notes (in whole but not in part), at the redemption price therefor. See "Description of the NotesIncome NotesOptional Redemption".

Optional Redemption of the Income Notes: .............................................

General Terms of the Advance Swap Advance Swap:............................... On the Closing Date, the Issuer will enter into a swap agreement (the "Advance Swap") with Citibank, N.A. as initial counterparty (the "Advance Swap Counterparty"). Citibank, N.A. expects to transfer and assign its rights, duties and obligations as Advance Swap Counterparty to IXIS Financial Products Inc. following the Closing Date. Pursuant to the Advance Swap, the Issuer will be entitled to make draws from time to time in an initial amount of up to U.S.$225,000,000, subject to a onetime increase or as permanently reduced from time to time to the extent required in accordance with the Priority of Payments or permitted at the discretion of the Collateral Manager in accordance with the terms of the Advance Swap (such initial amount, as increased or permanently reduced as of any date of determination, the "Advance Swap Notional Amount"). Draws on the Advance Swap:......... Subject to satisfaction of the conditions to borrowing (including first using the available Class A-1R Commitment), the Issuer may make draws on the Advance Swap from time to time in an aggregate principal amount at any one time outstanding up to the full amount of the Advance Swap Notional Amount. The Issuer may make draws on the Advance Swap in order to (i) pay any CDS Loss Payment, (ii) make any CDS Interest Payment or

(iii) pay any CDS Issuer Termination Payment (other than a CDS Subordinated Issuer Termination Payment). The Advance Swap will terminate on the earliest of (i) the Payment Date in October 2046, (ii) the Redemption Date and (iii) such earlier date, if any, on which the Advance Swap Notional Amount is reduced to zero in accordance with its terms (the "Advance Swap Termination Date"). Reductions in Advance Swap Notional Amount:.................... The Advance Swap Notional Amount will be permanently reduced on each Payment Date to the extent so required in accordance with the Priority of Payments or permitted at the discretion of the Collateral Manager in accordance with the terms of the Advance Swap. The Issuer will pay to the Advance Swap Counterparty a commitment fee (the "Advance Swap Commitment Fee") that will accrue and be payable monthly on each monthly Payment Date at a rate equal to 0.13% per annum (the "Advance Swap Commitment Fee Rate") on the Average Undrawn Advance Swap Amount for each Interest Period. A drawing fee (the "Advance Swap Drawing Fee") will accrue and be payable by the Issuer to the Advance Swap Counterparty monthly on each Monthly Payment Date at a rate equal to one-month LIBOR plus 0.40 percent per annum (the "Advance Swap Drawing Fee Rate") on the Average Used Advance Swap Amount for each Interest Period. Advance Swap Drawing Fees and Advance Swap Commitment Fees will be payable in arrears on each monthly Payment Date, subject to and in accordance with the Priority of Payments on a basis that is senior to payments of interest on any Class of Notes. Repayment of Advance Swap:........ On each Quarterly Payment Date, the Issuer is required to make repayments in respect of the Used Swap Amount (the "Advance Swap Repayment Amount") in amounts determined in accordance with the Used Advance Swap Repayment Amount Priority and the Priority of Payments. The Advance Swap Notional Amount will be permanently reduced by the amount of any Advance Swap Repayment Amounts. An "Advance Swap Ratings Event" means the Advance Swap Counterparty's guarantor's (or, if the Advance Swap Counterparty has no guarantor, the Advance Swap Counterparty's) (A) short-term senior unsecured debt, deposit or similar obligations are rated lower than "P-1" by Moody's and the longterm 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 lower than "AA-" by S&P. If an Advance Swap Ratings Event shall occur and be continuing, the Advance Swap Counterparty will take one of the following actions (at its own expense and while continuing otherwise to perform its obligations pursuant to the Advance Swap): (A) transfer all of its rights and obligations under the Advance Swap to another entity with ratings at least equal to the thresholds 8

Advance Swap Commitment Fees and Draw Fees:........................

Advance Swap Ratings Event:........

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

(ii) (A) during the Interest-Only Period, to make funds available for payments to the CDS Asset Counterparties under the CDS Assets, including in conjunction with the payment of the Aggregate CDS Asset Notional Amount upon a cash or physical settlement of Synthetic Assets or any termination payment, initial payment or Cash Settlement Payment (provided that the Issuer shall first release amounts, if any, on deposit, first, in the Synthetic Reserve Account, and second, in the Synthetic Asset Collateral Account, to the Collection Account in order to pay Floating Amounts or amounts payable in respect of Credit Events on the Synthetic Assets or termination events before drawing on the Class A-1R Commitment in order to fund any such amounts); and (B) if an Event of Default has occurred and is continuing at the end of the Interest-Only Period but prior to a Class A-1R Commitment Termination Date (to the extent that such Event of Default is not also a Class A-1R Commitment Termination Event), to apply Class A-1R Advances solely to fund payments in respect of Synthetic Assets acquired or entered into prior to the date of the Event of Default. The Issuer shall first release amounts, if any, on deposit in the Synthetic Asset Collateral Account to the Collection Account in order to pay Floating Amounts or amounts payable in respect of credit related events on the Synthetic Assets or termination events before drawing on the Class A-1R Commitment in order to fund any such amounts. Interest on Class A-1R Notes: ........ Interest on the outstanding principal amount from time to time of the Class A-1R Notes will accrue on each day on which any Class A-1R Advances are outstanding during each Class A-1R Interest Period at the Class A-1R Note Interest Rate. The Class A-1R Note Interest Rate applicable to each Class A1R Interest Period shall be the rate as determined and in effect on the first day of such Class A-1R Interest Period. See "Description of the NotesRated NotesInterest on the Rated Notes". Any interest and fees due and owing on the Class A-1R Notes will be paid prior to any payments of interest on any other Class of Notes in accordance with the Priority of Payments. Interest on the outstanding principal amount of the Class A-1R Notes will be payable in arrears on each Monthly Payment Date, subject to and in accordance with the Priority of Payments on a basis that is senior to payments of interest on any other Class of Notes. Interest will be payable to the respective Holders of the Class A-1R Notes proportionally based on the outstanding principal balances of their respective Class A-1R Notes. Class A-1R Commitment Fees: ...... A commitment fee (the "Class A-1R Commitment Fee") will accrue on each day on which there is any undrawn amount of the Class A-1R Commitments (the "Aggregate Class A-1R Undrawn Amount") during each Interest Period at a rate per annum equal to 0.13% calculated on the average daily Aggregate Class A-1R Undrawn Amount during such Interest Period on the basis of a 360-day year and the actual number of days elapsed. The Class A-1R Commitment Fee will be payable in arrears on each Quarterly Payment Date prior to the Class A-1R Commitment Termination Date and will rank pari passu with payments of interest on the Class A-1R Notes. Any portion of the Class A-1R Commitment Fee that is not paid when due will result in an Event of Default, and interest at the Class A-1R Note Interest Rate will accrue on any such unpaid amount. All payments on the Class A-1R Notes will be made in accordance with the Priority of Payments. Except in the limited circumstances described herein,

Repayment of Class A-1R Notes:...

10

repayment of any outstanding principal of the Class A-1R Notes will occur, and the Aggregate Class A-1R Commitment will be reduced to zero, prior to any payments of principal on any other Class of Notes in accordance with the Priority of Payments. See "Description of the NotesPriority of Payments". Reductions of the Aggregate Class A1R Commitment: ..................... The Aggregate Class A-1R Commitment will be permanently reduced from time to time to the extent so required or permitted at the discretion of the Collateral Manager and, to the extent of any related payment, in accordance with the Priority of Payments. On any date prior to the Class A-1R Commitment Termination Date, the Issuer (or the Collateral Manager acting on its behalf) may, upon notice to the Class A-1R Note Agent, reduce the Aggregate Class A-1R Commitment by the lesser of (i) the Class A-1R Note Undrawn Amount and (ii) the amount (if any) by which the Synthetic Asset Capacity Amount is greater than zero (or any lesser amount) (in each case after giving effect to any repayment, Class A-1R Advances and Synthetic Asset Collateral Account deposit on such date). Class A-1R Holder Eligibility: ....... Prior to the Class A-1R Commitment Termination Date, each Class A-1R Holder and transferee of a Class A-1R Note will be required to satisfy the Class A-1R Noteholder Ratings Requirement. If any Holder of Class A-1R Notes (i) fails to satisfy the Class A-1R Noteholder Ratings Requirement prior to the Class A-1R Commitment Termination Date or (ii) defaults in its obligation to fund its portion of any Class A-1R Advance, then the Issuer will be entitled to (and, under the Indenture, will be required to promptly) cause such Holder to transfer its rights and obligations in respect of the Class A-1R Notes to an entity that satisfies such Class A-1R Noteholder Ratings Requirement. In the event that any Holder of Class A-1R Notes fails to satisfy the Class A-1R Noteholder Ratings Requirement for a period of more than 30 days and is not replaced, such Holder will be obligated to fully fund any undrawn portion of its Class A-1R Commitment. See "Description of the NotesRated NotesClass A-1R Note MechanicsClass A-1R Holders".

Synthetic Asset Collateral Account Establishment of Account:................... The Trustee will establish the Synthetic Asset Collateral Account for the benefit of the CDS Asset Counterparties to collateralize all or a portion of the Issuer's obligations under the Synthetic Assets. The Synthetic Asset Collateral Account will initially have no amounts on deposit, and the balance in such account may be increased and decreased from time to time in accordance with the Priority of Payments or from time to time at the discretion of the Collateral Manager. Amounts maintained in the Synthetic Asset Collateral Account will be assets of the Issuer and the claims of the CDS Asset Counterparties will not be limited to such amounts. Amounts will be deposited to the Synthetic Asset Collateral Account from time to time in accordance with the Priority of Payments and at the discretion of the Collateral Manager in certain circumstances. Amounts will remain on deposit in the Synthetic Asset Collateral Account only to the extent that (i) there are no outstanding drawn amounts under the Advance Swap or the Class A-1R Notes during the Interest-Only Period and no amounts outstanding under the Advance Swap after the Interest-Only Period and (ii) the sum of the Advance Swap Undrawn Notional Amount plus the Aggregate Class A-1R Undrawn Amount plus the Synthetic Reserve Account Balance plus the balance on deposit in the Synthetic Asset Collateral Account are equal to the

Deposits to the Account:......................

11

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

Funding the Account Following the Interest-Only Period: ......................

Use of Funds in the Account: ..............

Investment of Funds in the Account:... Total Rate of Return Swap: .................

Synthetic Reserve Account Establishment of Account and Deposits Into Account:................... The Trustee will establish the Synthetic Reserve Account for the benefit of the Secured Parties and will deposit into the Synthetic Reserve Account (a) the proceeds of all draws under the Advance Swap (other than an Advance Swap Mandatory Draw and any subsequent Advance Swap Draw) and the

12

Class A-1R Notes (solely with respect to amounts to be used to make any CDS Payments or to fund any deficiency in the Synthetic Reserve Account). Any deposits to the Synthetic Reserve Account will permanently reduce the Advance Swap Notional Amount in the amount of such deposits to the extent so required pursuant to the Advance Swap or the Priority of Payments. Use of Funds in the Account: .............. If, on any Business Day, the Issuer is required to make a CDS Payment, the Trustee will apply cash on deposit in the Synthetic Reserve Account and the sale proceeds from the sale of any Reserve Investments as and to the extent required in the CDS Payment Priority. The Collateral Manager may, at its discretion with prior notice to the Trustee and with the prior consent of the Synthetic Collateral Assets Counterparty, at any time transfer amounts on deposit in the Synthetic Reserve Account to the Synthetic Asset Collateral Account.

Discretionary Transfers from the Account: .........................................

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

Synthetic Assets: .................................

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

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

Closing Date Portfolio:........................

Interim Compliance Date Portfolio: ....

Effective Date Portfolio:......................

Effective Date Tests: ...........................

Changes in Composition of Collateral Debt Assets: ...................................

15

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

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

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

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4. Leveraged Investment. The Income Notes and, to a lesser extent, the Rated Notes represent leveraged investments in the Collateral. This leverage will increase the potential cash flow available in respect of the amount invested by the Holders of such Notes as compared with the cash flow that would be available in respect of a comparable investment in a non-leveraged transaction. Such increased cash flow will directly affect the yield on such Notes. However, the use of leverage also creates risk for the Holders of such Notes because it increases their exposure to losses on a leveraged basis as a result of defaults with respect to the Collateral Debt Assets. As a result, the occurrence of defaults with respect to only a small portion of the Collateral Debt Assets could result in the complete loss of the investment of the Holders of such Notes. Prospective purchasers should be aware that payments received by the Issuer pursuant to the Hedge Agreements, Eligible Investments, other amounts in the Collection Account and the Note Interest Reserve Account and proceeds thereof may not be sufficient to fund the amounts payable to the Hedge Counterparties and to the Cashflow Swap Counterparties, as well as to make payments with respect to the Notes. Due to the existence of leverage, changes in the market value of the Income Notes and the Rated Notes could be greater than the changes in the values of the underlying Collateral Debt Assets. Purchasers of the Income Notes and the Rated Notes must consider with particular care the risks of leverage as it increases substantially the likelihood that the Holders of such Notes could lose their entire investment if the pool of Collateral Debt Assets held by the Issuer is adversely affected. 5. Average Lives and Yield Considerations; Distributions on the Income Notes. The average lives of the Rated Notes are expected to be shorter than the number of years until their applicable Stated Maturity Dates. The average lives of the Rated Notes will be affected by, among other things, the financial condition of the obligors on or issuers of the Collateral Debt Assets and the characteristics of the Collateral Debt Assets, including 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 Assets, the frequency of tender or exchange offers for the Collateral Debt Assets, any sales of Collateral Debt Assets and the effects of the Coverage Tests. See "Nature of the Collateral Debt Assets and Inherent Risks". The rate of future defaults and the amount and timing of any cash realization from Defaulted Assets and Credit Risk Assets also will affect the maturity and weighted average lives of the Rated Notes. The weighted average life of the Rated Notes may also vary depending on whether or not the Rated Notes are redeemed in an Optional Redemption, Tax Redemption or Auction Call Redemption. Prior to the payment in full of the Rated Notes and all other amounts owing under the Indenture, Income Noteholders will be entitled to receive distributions from Collateral Interest Collections released from the lien of the Indenture only to the extent permissible under the Indenture. The timing and amount of distributions payable to Income Noteholders and the duration of the Income Noteholders' investment in the Issuer therefore will be affected by the average life of the Rated Notes. 6. Relation to Prior Investment Results; Prior Experience of Collateral Manager. The prior investment results of the persons associated with the Collateral Manager or any other entity or person described herein are not indicative of the Issuer's future investment results. 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. 7. Projections, Forecasts and Estimates. Estimates of the average lives of the Rated Notes, together with any projections, forecasts and estimates provided to prospective purchasers of the Notes, are forward looking statements. Projections are necessarily speculative in nature, and it can be expected that some or all of the assumptions underlying the projections will not materialize or will vary significantly from actual results. Accordingly, the projections are only estimates. Actual results may vary from the projections, and the variations may be material. Some important factors that could cause actual results to differ materially from those in any forward looking statements include changes in interest rates, market, financial or legal uncertainties, mismatches between the timing of accrual and receipt of Collateral Interest Collections from the Collateral Debt Assets and the effectiveness

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

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

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

more senior securities have been paid in full. As a result, a shortfall in payments to subordinate investors in Structured Finance Securities will generally not result in a default being declared on the transaction and the transaction will not be restructured or unwound. Furthermore, because subordinate Structured Finance Securities may represent a relatively small percentage of the size of an asset pool being securitized, the impact of a relatively small loss on the overall asset pool may be substantial to the holders of such subordinate security. The structural and legal risks of Structured Finance Securities include the possibility that, in a bankruptcy or similar proceeding involving the originator or the servicer (often the same entity or affiliates), the assets of the issuer of the Structured Finance Security could be treated as never having been truly sold by the originator to the issuer of the Structured Finance Security and could be substantively consolidated with those of the originator, or the transfer of such assets to the issuer of the Structured Finance Security could be voided as a fraudulent transfer. Challenges based on such doctrines could result also in cash flow delays and reductions. A substantial portion of the Structured Finance Securities included as Collateral Debt Assets is expected to consist of RMBS Assets, primarily RMBS Midprime Assets and RMBS Subprime Assets, but which may also include RMBS Prime Assets. "RMBS Assets" are, in general, ownership or participation interests in pools of oneto-four-family residential mortgage loans. In addition to the risks described above, RMBS Assets are subject to particular risks. The loans underlying RMBS Assets generally do not restrict prepayments. 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 Assets. Prepayments on the underlying residential mortgage loans in an issue of RMBS Assets 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 Assets 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. A portion of the Structured Finance Securities included as Collateral Debt Assets may also consist of CMBS Assets. "CMBS Assets" 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 risks described above, the Commercial Mortgage Loans underlying CMBS Assets 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. Commercial Mortgage Loans underlying CMBS Assets may provide for no amortization of principal or may provide for amortization based on a schedule substantially longer than the maturity of the mortgage loan, 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 Assets could experience delays in cash flow and losses. Additional risks may 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 23

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 Assets 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. The Collateral Debt Assets could include CMBS Assets that pay fixed rates of interest. Fixed rate CMBS Assets, like all fixed-income securities, generally decline in value as interest rates rise. Although generally the value of fixed-income securities increases during periods of falling interest rates, this inverse relationship may not be as marked in the case of CMBS Assets due to the increased likelihood of prepayments during periods of falling interest rates. This effect is mitigated to some degree for mortgage loans providing for a period during which no prepayments may be made. However, prepayments on underlying Commercial Mortgage Loans may still result in a reduction of the yield on a related issue of CMBS Assets. The Structured Finance Securities included as Collateral Debt Assets will also consist of CDO Assets, primarily CDO Asset Backed Securities, CDO CRE Assets, CDO Emerging Market Assets, CDO High Yield Assets, CDO Investment Grade Assets (including Synthetic Assets the Reference Obligations of which are CDO Investment Grade Assets), CDO Squared Securities and CLO Assets. "CDO Assets" are, in general, collateralized debt obligation securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the CDO Assets) on the cash flow from (or level of defaults on) a portfolio consisting primarily of commercial and industrial bank loans, corporate debt securities and/or ABS Securities. CDO Assets generally are limited recourse obligations of the issuer thereof (a "CDO Issuer") payable solely from the underlying assets of the issuer ("CDO Collateral") or proceeds thereof. Consequently, holders of CDO Assets must rely solely on distributions n the underlying CDO Collateral or proceeds thereof for payment in respect thereof. If distributions on the underlying CDO Collateral are insufficient to make payments on the CDO Assets, no other assets will be available for payment of the deficiency and following realization of the underlying assets, the obligations of the issuer to pay such deficiency shall be extinguished. As a result, the amount and timing of interest and principal payments will depend on the performance and characteristics of the related CDO Collateral. Many subordinate classes of CDO Assets provide that a deferral of interest thereon does not constitute an event of default and the holders of such securities will not have available to them any associated default remedies. During such periods of no-payment, such non-paid interest will generally be capitalized and added to the outstanding principal balance of the related security. Any such deferral will reduce the amount of current payments made on such CDO Assets. CDO Assets generally have underlying risks similar to many of the risks set forth herein in these "Risk Factors", such as interest rate mismatches, trading and reinvestment risk and tax considerations. Each CDO Asset, however, will involve risks specific to the particular CDO Asset and its CDO Collateral. The value of the CDO Assets generally will fluctuate with, among other things, the financial condition of the obligors on or issuers of the CDO Collateral, general economic conditions, the condition of certain financial markets, political events, developments or trends in any particular industry and changes in prevailing interest rates. The CDO Collateral will include securities of the same type, or issued by the same issuer, as the Collateral Debt Assets in which the Issuer will invest on or after the Closing Date. As a result, investors in the Offered Securities are exposed to the risk of loss on such Collateral Debt Assets both directly and indirectly through the CDO Assets purchased by the Issuer. If an investor in the Rated Notes or Income Notes is also an investor in any CDO Assets which the Issuer purchases (or in other tranches of securities sold by the same CDO Issuer), the exposure of such investor to the risk of loss on such CDO Asset will increase as a result of its investment in the 24

Rated Notes or Income Notes. The Initial Purchaser also may have acted as a placement agent for some of the CDO Assets purchased by the Issuer, and earned fees from each such CDO Issuer as a result of the Issuer's purchase. The CDO Collateral may consist of loans to borrowers generally rated below investment grade, AssetBasked Securities and other debt instruments. High yield debt securities are generally unsecured (and loans may be unsecured) and may be subordinated to certain other obligations of the issuer thereof. The lower rating of high yield securities and below investment grade loans reflects a greater possibility that adverse changes in the financial condition of an issuer, general economic conditions or both may impair the ability of the issuer to make payments of principal or interest. Such investments may be speculative. An increase in the default rates of high yield corporate loans could increase the likelihood that payments may not be made to holders of CDO Assets which are secured by high yield corporate loans. CDO Assets purchased by the Issuer may be subordinated to other classes of securities issued by each respective issuer thereof. In some cases payments of interest and principal on such CDO Assets will be subordinated to one or more classes of notes that are more senior in the related issuer's capital structure, which generally will allow for the deferral of interest subject to the related issuer's priority of payments. If an event of default occurs under the applicable indenture, as long as any senior tranche of CDO Assets is outstanding, the holders of the senior tranche thereof generally will be entitled to determine the remedies to be exercised under the indenture, which could be adverse to the interests of the Issuer as a holder of the subordinated tranches. CDO Issuers may acquire interests in loans and other debt obligations by way of 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. In purchasing participations, a CDO Issuer will usually only have a contractual relationship with the selling institution, and not the borrower. A CDO Issuer generally will have no right to directly 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. A CDO Issuer may not directly benefit from the collateral supporting the related loan and may be subject to any rights of set-off the borrower has against the selling institution. In addition, in the event of the insolvency of the selling institution, under the laws of the United States of America and the states thereof, a CDO Issuer may be treated as a general creditor of such selling institution, and may not have any exclusive or senior claim with resect to the selling institution's interest in, or the collateral with respect to, the loan. Consequently, the CDO Issuer may be subject to the credit risk o the selling institution as well as of the borrower. CDO Assets are subject to interest rate risk. The CDO Collateral of a CDO Issuer may bear interest at a fixed (floating) rate while the CDO Assets issued by such issuer may bear interest at a floating (fixed) rate. As a result, there could be a floating/fixed rate or basis mismatch between such CDO Assets and CDO Collateral which bears interest at a fixed rate and there may be a timing mismatch between the CDO Assets and assets that bear interest at a floating rate as the interest rate of such assets bearing interest at a floating rat may adjust more frequently or less frequently, on different date and based on different indices than the interest rates on the CDO Assets. As a result of such mismatches, an increase or decrease in the level of the floating rate indices could adversely impact the ability to make payments on the CDO Assets. The Structured Finance Securities included as Collateral Debt Assets may also consist of Trust Preferred Assets. "Trust Preferred Assets" are, in general, securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from either an individual trust security or a pool of trust securities issued (in each case) by (i) either an individual trust security or a pool of trust securities issued (in each case) by a whollyowned trust subsidiary of a REIT, or of an operating partnership subsidiary of a REIT, that issues obligations to such trust subsidiary in exchange for the net issuance proceeds of such securities or (ii) a wholly-owned trust subsidiary of an entity whose business is significantly related to real estate, real estate management or real estate ownership and that issues an obligation to such trust subsidiary in exchange for the net issuance proceeds of such securities. 14. Synthetic Assets. A significant portion of the Collateral Debt Assets included in the Collateral is expected to consist of Synthetic Assets and may also include Short CDS Assets, some of which will be in the form of credit default swaps documented on Pay-As-You-Go Confirmations. The Reference Obligations in respect of Synthetic Assets must satisfy the definition of Collateral Debt Asset; any Short CDS Assets will not be subject to satisfaction of the Eligibility Criteria, the Portfolio Percentage Limitations, the Coverage Tests and the Collateral 25

Quality Tests. Investments in such types of assets through the purchase or acquisition of Synthetic Assets or entry into Short CDS Assets present risks in addition to those resulting from holding or selling the underlying Reference Obligations directly. Synthetic Assets are expected to be structured in such a way that the Issuer will receive periodic premium payments and will be required to make payments, from time to time in accordance with the terms thereof, to the CDS Asset Counterparty in respect of any Floating Amounts 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 Reference Obligation on an ongoing basis (in addition to the default risk of the CDS Asset Counterparty). No Direct Ownership of Reference Obligations. The Synthetic Assets do not constitute a purchase or other acquisition or assignment of any interest in any Reference Obligations. The Issuer will usually have a contractual relationship only with the counterparty under each Synthetic Asset, and not the Reference Obligor on any related 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 Reference Obligation. The Issuer generally will have no right directly to enforce compliance by any Reference Obligor with the terms of either the related Reference Obligation or any rights of set-off against such Reference Obligor, nor will the Issuer generally have any voting or other consensual rights of ownership with respect to any related Reference Obligation. The Issuer will not have a security interest in the Reference Obligation and will not benefit from any collateral supporting any related Reference Obligation. The Issuer will not have the benefit of the remedies that would normally be available to it if it held the 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 Reference Obligation. Limited Information Regarding Reference Obligations. Although the Monthly Report will include a list of the Reference Obligations, the Noteholders will not have the right to obtain from the Issuer, the Trustee or the Collateral Manager information on the Reference Obligations or information regarding any obligation of any Reference Obligor. The CDS Asset Counterparties will have no obligation to keep the Collateral Manager, the Issuer, the Trustee or the Noteholders informed as to matters arising in relation to any 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 Reference Obligation or any matters arising in relation thereto or otherwise regarding any Reference Entity, 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 Collateral Manager or the Noteholders will have the right to inspect any records of the CDS Asset Counterparties or the Reference Obligors. Performance of Synthetic Assets May Differ from Performance of Reference Obligations. The investment in a Synthetic Asset or Short CDS Asset may pose risks greater than those of an equivalent investment in the underlying Reference Obligation, because the terms of the Synthetic Asset or Short CDS Asset may be different from the terms of the corresponding Reference Obligation including, without limitation, 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 Reference Obligations (except to the extent it receives Deliverable Obligations) and that it also is subject to the credit risk of the counterparty, a Synthetic Asset or a Short CDS Asset may have an expected return, a probability of default, expected loss characteristics following a default and an expected recovery following default that are different, possibly significantly, from those of the related Reference Obligation. Exposure to Credit Risk of Counterparties. The CDS Assets and the 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 Asset 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 or bankruptcy of the counterparty, the Issuer, in either case, will be treated as a general unsecured creditor of the counterparty and will not have any claim of title with 26

respect to the Reference Obligation. Consequently, the performance of the Issuer is dependent not only on the credit quality of the Collateral Debt Assets (including, in respect of the Synthetic Assets and the Short CDS Assets, the credit quality of the 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. 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. If the counterparty or the related guarantor, if any, under a CDS Asset or a 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, in the case of a Writedown or Failure to Pay Principal (each as defined in the related CDS Asset), the Issuer may be required, in its capacity as protection seller, in lieu of payment by the Issuer of a Physical Settlement Amount, to pay Floating Amounts to the CDS Asset Counterparty, including amounts in respect of any Writedown, Failure to Pay Principal and Interest Shortfalls under the applicable 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 or to require the Issuer to make a payment of the Floating Amount in respect thereof. Although Floating Amounts payable by the Issuer are contingent, even if the CDS Asset Counterparty, in its capacity as protection buyer, is required to reimburse all or part of such Floating Amounts to the Issuer as a result of subsequent recoveries of the related shortfalls or the writing up of the principal of the related Reference Obligation, there may be a significant delay between the date of payment of the Floating Amounts to the CDS Asset Counterparty to the date, if any, on which the Issuer receives reimbursement from the CDS Asset Counterparty. The aggregate notional amount of all CDS Assets may equal up to 40% of the Collateral Principal Balance. A concentration of CDS Assets with a limited number of counterparties or even a single counterparty could occur, exposing the Issuer to a greater concentration of credit risk. Citigroup and its Affiliates may enter into Hedge Agreements or Short CDS Assets 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". New and Developing Structure of CDS Assets. The CDS Assets and Short CDS Assets are expected to be structured as credit default swaps and documented pursuant to one or more Master Agreements and one or more Pay-As-You-Go Confirmations (or any successor version of such forms as may be approved by the Collateral Manager). Forms of Pay-As-You-Go Confirmations were recently developed to accommodate the unique features of Asset-Backed Securities, CDO Assets 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 Short CDS Assets that may be acquired following the Closing Date. Any difference between the Issuer's then existing CDS Assets and Short CDS Assets and the evolving market standard documentation may have a negative impact on the liquidity and market value of any such CDS Assets and Short CDS Assets.

27

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

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

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

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

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

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

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

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

securities issued by issuers of Collateral Debt Assets 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 Collateral Debt Assets 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 Collateral Debt Assets included in the Collateral or its Affiliates for their own account or for the accounts of their customers. In addition, Citigroup or an Affiliate thereof will act as a CDS Asset Counterparty pursuant to certain CDS Assets acquired by the Issuer on the Closing Date and may act as the swap counterparty under other derivative agreements entered into by the Issuer itself or by the Credit Linked Security issuer of a Credit Linked Security purchased by the Issuer. 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. Citigroup Financial Products Inc., an Affiliate of Citigroup, will be the Initial Interest Rate Hedge Counterparty and will have certain rights under the Initial Interest Rate Hedge Agreement. The rights of the Initial Interest Rate Hedge Counterparty may conflict with the interests of the Noteholders in respect of any matter requiring the consent of the Initial Interest Rate Hedge Counterparty. The Initial Interest Rate Hedge Counterparty, is not required to consider the interests of the Noteholders in exercising any such rights. A Citigroup Affiliate may act as a Cashflow Swap Counterparty in the future. Some of the Collateral Debt Assets 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 provided other commercial or investment banking services. The Issuer will purchase Collateral Debt Assets from Citigroup or its Affiliates only to the extent that such Collateral Debt Assets have been selected by the Collateral Manager for inclusion under the Warehouse Facility and the purchase of such Collateral Debt Assets is consistent with the investment guidelines described in the Warehouse Facility. Citigroup or its Affiliates have placed or underwritten approximately 20.82% of the Principal Balance of the Collateral Debt Assets expected to be purchased by the Issuer on the Closing Date. 22. Reliance Upon Advance Swap Counterparty. On any Business Day to but excluding the Advance Swap Termination Date, the Advance Swap Counterparty is required to fund Advance Swap Draws in accordance with the terms of the Advance Swap. If the Advance Swap Counterparty fails to fund an Advance Swap Draw 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 Advance 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 Advance Swap Counterparty to meet its contractual obligations to fund Advance Swap Draws could result in losses to the Holders and delays in payment on the Notes. 23. Default Rates of Collateral Debt Assets. The Issuer is not aware of a central source for relevant data or standardized method for measuring or predicting default rates of securities such as the Collateral Debt Assets. Furthermore, historical performance is not necessarily indicative of future performance. In certain circumstances, it is possible that investors in some Classes of Rated Notes and the Income Notes will not recover their original investment. Prospective purchasers of the Rated Notes and the Income Notes should consider and assess for themselves the likely level and timing of defaults and recoveries on the Collateral Debt Assets and the likely levels of interest rates during the term of the Notes. 24. Sale of Collateral Upon Default of the Notes. The market value of the Collateral Debt Assets 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 36

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

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

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

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

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

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

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THE ISSUER AND THE CO-ISSUER The Issuer The Issuer, an exempted company incorporated with limited liability, was registered on July 31, 2006 under the Companies Law (2004 Revision) of the Cayman Islands with the registered number 171780 and has an indefinite existence. The registered office of the Issuer is at the offices of Maples Finance Limited, P.O. Box 1093GT, Queensgate House, South Church Street, George Town, Grand Cayman, Cayman Islands, telephone number 345945-7099. The Issuer was established as a special purpose vehicle for the purpose of issuing asset-backed securities. The Issuer has no prior operating history, prior business or employees. Clause 3 of the Issuer's Memorandum of Association sets out the objectives of the Issuer, which are unlimited. The activities of the Issuer will be limited under the Indenture to (i) acquiring, holding and disposing of Collateral Debt Assets and investing in Eligible Investments, (ii) entering into and performing its obligations under the Transaction Documents to which it is a party, (iii) issuing and selling the Notes, (iv) pledging the Collateral as security for its obligations in respect of the Rated Notes and otherwise for the benefit of the Secured Parties, (v) issuance of the Ordinary Shares and (vi) other activities incidental to the foregoing. cash flow derived from the Collateral securing the Rated Notes will be the Issuer's only source of cash. The Issuer has no indebtedness for borrowed money other than indebtedness incurred pursuant to the Indenture, the Income Note Issuing and Paying Agency Agreement 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. On the Closing Date, the authorized share capital of the Issuer will consist of the Ordinary Shares. All of the Ordinary Shares will be issued prior to the Closing Date. The directors ("Directors") of the Issuer are Phillip Hinds and Richard Ellison, each of whom is an officer of the Administrator. The Directors may be contacted at the address of the Issuer set forth above. The Co-Issuer The Co-Issuer was incorporated on July 28, 2006 under the laws of the State of Delaware with the Registration No. 4936430 and its registered office is at Donald J. Puglisi, 850 Library Avenue, Suite 204, Newark, Delaware 19711, telephone number 302-738-6680. The Co-Issuer was established as a special purpose vehile for the purpose of, among other things, issuing asset backed securities. The Co-Issuer will not have any substantial assets and will not pledge any assets to secure the Rated Notes. 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 Rated 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 Rated 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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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 is set forth below:
Class A-1R Notes ...................................................... Class A-1T1 Notes..................................................... Class A-1T2 Notes..................................................... Class A-2 Notes ......................................................... Class A-3 Notes ......................................................... Class A-4 Notes ......................................................... Class B Notes............................................................. Class C Notes............................................................. Income Notes ............................................................. Total Debt............................................................. Ordinary Shares ......................................................... Total Equity.......................................................... Retained Earnings...................................................... Total Capitalization ................................................... Amount (USD) $100,000,000 1 $395,000,000 $30,000,000 $100,000,000 $ 90,000,000 $ 27,000,000 $ 15,000,000 $ 10,000,000 $ 13,500,000 $780,500,000 $ 250 $ 250 $1,000 $780,501,250

______________________
1

Represents Aggregate Class A-1R Commitment.

None of the Class A-1R Notes are expected to be funded on the Closing Date, but the outstanding balances of the Class A-1R Notes are expected to increase or decrease from time to time as described herein. All of the Issuer's issued Ordinary Shares are legally owned by Maples Finance Limited, as share trustee (the "Share Trustee"), and will be held on the terms of a trust for the benefit of one or more charitable organizations in the Cayman Islands under the terms of a declaration of trust. Under the terms of the declaration of trust, the Share Trustee will, among other things, agree not to dispose of or otherwise deal with the 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. 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 and held in charitable trust by Maples Finance Limited as the Share Trustee, together with the Issuer's issued 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 Rated Notes. 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 Maples Finance Limited (the "Administrator"). Such functions include communications with the holders of the Ordinary Shares and the general public and other services and providing the Issuer with its registered office address. The 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. The Administrator's address is Maples Finance Limited, P.O. Box 1093GT, Queensgate House, South Church Street, George Town, Grand Cayman, Cayman Islands. The Administrator may resign or be removed upon 3 months' prior written notice to the Issuer, in the case of resignation, or to the Administrator, in the case of termination, or upon 14 days' prior written notice upon the occurrence of certain events as set out in the Administration Agreement in the case of termination. Upon the occurrence of any such event, the Issuer will promptly appoint a successor Administrator. 44

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

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Payments of interest on and principal of the Rated Notes will be made solely from the proceeds of the Collateral in accordance with the Priority of Payments. The aggregate amount that will be available for payments on the Rated Notes and of certain expenses of the Co-Issuers on any Quarterly Payment Date or Monthly Payment Date will be the sum of (i) the total amount of payments and collections in respect of the Collateral (including any payments received under the Synthetic Assets and the Hedge Agreements and the proceeds of the sale of any Collateral) received during the related Due Period (excluding Collateral Principal Collections used to purchase Substitute Collateral Debt Assets and amounts transferred to the Synthetic Asset Collateral Account) (less, in the case of the Due Period related to a Quarterly Payment Date, amounts distributed in respect of the Class A-1 Notes on any prior Monthly Payment Date during such Due Period) and (ii) any such amounts received in prior Due Periods that are not disbursed on a previous Monthly Payment Date or Quarterly Payment Date. Following liquidation of the Collateral, to the extent that the proceeds of such liquidation are insufficient to meet payments due in respect of the Rated Notes and expenses of the Co-Issuers, the obligations of the Co-Issuers to pay such deficiency will be extinguished. Interest on the Rated Notes Subject to the availability of funds and to the Priority of Payments, (i) the Class A-1 Notes will bear interest from the Closing Date and such interest will be payable monthly in arrears on the 5th day of each month (each, a "Monthly Payment Date"), commencing November 6, 2006 (the "Initial Monthly Payment Date"), and ending on the Stated Maturity Date or an earlier Redemption Date and (ii) other Classes of Notes and the Income Notes will bear interest from the Closing Date and such interest will be paid quarterly in arrears on the 5th day of each January, April, July and October and, if such date is not a Business Day, the next Business Day (each, a "Quarterly Payment Date"), commencing January 5, 2007 (the "Initial Quarterly Payment Date"), and ending on the Stated Maturity Date or an earlier Redemption Date. The interest that will be payable on the Class A-1 Notes on each Monthly Payment Date (including each Monthly Payment Date that is also a Quarterly Payment Date) will be the interest that has accrued during the related Interest Period on the aggregate principal amount of the Class A-1 Notes after giving effect to the aggregate payments of principal made on all previous Monthly Payment Dates in accordance with the Priority of Payments. The interest that will be payable on the Rated Notes of each Class on each Quarterly Payment Date will be the interest that has accrued during the related Interest Period on the aggregate principal amount of the Outstanding Notes of each Class after giving effect to the aggregate payments of principal made on all previous Quarterly Payment Dates (or, in the case of the Class A-1 Notes, Monthly Payment Dates) in accordance with the Priority of Payments. Except as otherwise described herein, payments of fees and interest on the Class A-1 Notes will be senior to payments of interest on and principal of the Class A-2 Notes, the Class A-3 Notes, the Class A-4 Notes, the Class B Notes and the Class C Notes and to distributions on the Income Notes; payments of interest on the Class A-2 Notes will be senior to payments of interest on and principal of the Class A-3 Notes, the Class A-4 Notes, the Class B Notes and the Class C Notes and to distributions on the Income Notes; payments of interest on and principal of the Class A-3 Notes will be senior to payments of interest on and principal of the Class A-4 Notes, the Class B Notes and the Class C Notes and to distributions on the Income Notes; payments of interest on and principal of the Class A-4 Notes will be senior to payments of interest on and principal of the Class B Notes and the Class C Notes and to distributions on the Income Notes; payments of interest on the Class B Notes will be senior to payments of interest on and principal of the Class C Notes and to payments on the Income Notes; and payments of interest on the Class C Notes will be senior to distributions on the Income Notes. Periodic Interest on each Class of Rated Notes will accrue with respect to each related Interest Period at the Applicable Periodic Interest Rate. The Class A-1R Notes will bear interest at a per annum rate (the "Class A-1R Note Interest Rate") for each Interest Period equal to (a) one-month LIBOR (determined as described herein) for such Interest Period plus (b) 0.23%. The Class A-1T1 Notes will bear interest at a per annum rate (the "Class A-1T1 Note Interest Rate") for each Interest Period equal to (a) one-month LIBOR (determined as described herein) for such Interest Period plus (b) 0.23%. The Class A-1T2 Notes will bear interest at a per annum rate (the "Class A-1T2 Note Interest Rate") for each Interest Period equal to (a) one-month LIBOR (determined as described herein) for such Interest Period plus (b) 0.23%. The Class A-2 Notes will bear interest at a per annum rate (the "Class A-2 Note Interest Rate") for each Interest Period equal to (a) three-month LIBOR (determined as described herein) for such Interest Period plus (b) 0.40%. The Class A-3 Notes will bear interest at a per annum rate (the "Class A-3 Note Interest Rate") for each Interest Period equal to (a) three-month LIBOR for such Interest Period plus (b) 0.46%. The Class A-4 Notes will bear interest at a per annum rate (the "Class A-4 Note Interest Rate") for each Interest Period equal to (a) three-month LIBOR for such Interest Period plus (b) 0.50%. The Class B Notes will bear interest at a 46

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

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

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

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

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

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fund payments in respect of Synthetic Assets acquired or entered into prior to the date of the Event of Default. After the occurrence and during the continuation of an Event of Default at the end of the Interest-Only Period but prior to a Class A-1R Commitment Termination Date (to the extent that such Event of Default is not also a Class A-1R Commitment Termination Event), Class A-1R Advances shall be applied solely to fund payments in respect of Synthetic Assets acquired or entered into prior to the date of the Event of Default. Interest on the outstanding principal amount from time to time of the Class A-1R Notes will accrue on each day which any Class A-1R Advances are outstanding during each Class A-1R Interest Period at the Class A-1R Note Interest Rate for such Class A-1R Interest Period and shall be payable on the Monthly Payment Date next following such Class A-1R Interest Period in accordance with the Priority of Payments. The Class A-1R Note Interest Rate applicable to each Class A-1R Interest Period shall be the rate as determined and in effect on the LIBOR Calculation Date. Interest on the Class A-1R Notes will be computed on the basis of a 360-day year and the actual number of days elapsed. Interest on the outstanding principal amount of the Class A-1R Notes will be payable in arrears on each Monthly Payment Date, subject to and in accordance with the Priority of Payments on a basis that is pari passu with payments of interest on the Class A-1T1 Notes and senior to payments of interest on any other Class of Notes. Interest will be payable to the respective Holders of the Class A-1R Notes proportionally based on the outstanding principal amounts of their respective Class A-1R Notes. A commitment fee (the "Class A-1R Commitment Fee") will accrue on each day on which there is any undrawn amount of the Aggregate Class A-1R Commitment (the "Aggregate Class A-1R Undrawn Amount") during each Interest Period at a rate per annum equal to 0.13% calculated on the average daily Aggregate Class A-1R Undrawn Amount during such Interest Period on the basis of a 360-day year and the actual number of days elapsed. The Class A-1R Commitment Fee will be payable in arrears on each Quarterly Payment prior to the Class A-1R Commitment Termination Date and will rank pari passu with payments of interest on the Class A-1R Notes. Interest will accrue on any portion of the Class A-1R Commitment Fee that is not paid when due at the Class A-1R Note Interest Rate. Any interest and fees due and owing on the Class A-1R Notes will be paid pari passu with payments of interest on the Class A-1T1 Notes and prior to any payments of interest on any other Class of Notes in accordance with the Priority of Payments. Class A-1R Advances On any Business Day prior to the Class A-1R Commitment Termination Date, the Issuer may (at the direction of the Collateral Manager, acting pursuant to the Collateral Management Agreement) request, and the Holders of the Class A-1R Notes, if so requested, shall advance, Class A-1R Advances (each date of any such Class A-1R Advance, a "Class A-1R Advance Date"); provided that the following borrowing conditions are satisfied: (i) (ii) the aggregate outstanding amount of the Class A-1R Notes, after giving effect to such Class A-1R Advance, will not exceed the Aggregate Class A-1R Commitment; and each other applicable condition to such Class A-1R Advance set forth in the Class A-1R Note Purchase Agreement is satisfied.

Except under certain limited circumstances specified in the Class A-1R Note Purchase Agreement, the Class A-1R Noteholders will be obligated to make Class A-1R Advances to the Issuer to fund the Issuer's obligations to Synthetic Asset Counterparties. Not later than 11:00 a.m. (New York City time) on the third Business Day prior to the funding date for a Class A-1R Advance, the Collateral Manager, on behalf of the Issuer, will deliver a request to the Class A-1R Note Agent (with a copy to the Trustee) for such Class A-1R Advance. Any such request will include: (a) the Class A1R Advance Date and (b) the amount of such Class A-1R Advance. Each Class A-1R Advance shall be in an aggregate amount of at least U.S.$500,000 (and integral multiples of U.S.$1 in excess thereof) or, if the unused

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

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

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(ii) the delivery by such assignee of a certification in writing that such assignee satisfies the Class A-1R Noteholder Ratings Requirement, together with such supporting evidence as shall be reasonably satisfactory to the Trustee and the Issuer; and (iii) the Class A-1R Commitment Termination Date,

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

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to the Redemption and the establishment of reserves in respect of any payments that may become payable pursuant to any Synthetic Assets that cannot be terminated) plus (d) unless a Majority of the Income Notes have waived payment in full of principal of the Income Notes (other than in the event of a Tax Redemption), an amount equal to (x) the Income Notes Stated Amount minus (y) the aggregate amount of all cash distributions on the Income Notes (whether in respect of distributions or redemption payments made to the Income Note Issuing and Paying Agent for distribution to the Income Noteholders) on or prior to the relevant Redemption Date (such amounts described in clauses (a) through (d), collectively, the "Total Redemption Amount"); (ii) any amounts outstanding under the Advance Swap shall be paid in full and all Outstanding Rated Notes must be simultaneously redeemed; (iii) each Hedge Agreement and Cashflow Swap Agreement must be terminated and any amounts due thereunder paid; (iv) each Synthetic Asset must be terminated and any amounts due by the Issuer thereunder paid out of assets in the applicable Synthetic Asset Collateral Account (or other permitted source); (v) the Senior Collateral Management Fee and the Subordinate Collateral Management Fee and any expenses or amounts payable by the Issuer pursuant to the Priority of Payments in connection with the Redemption of the Notes must be paid or provided for; and (vi) such Sale Proceeds must be received by the Trustee at least one (1) Business Day prior to the scheduled Redemption Date and are used, to the extent necessary, to make such a redemption. The Issuer may not determine to effect a Redemption unless such amounts will be at least equal to the Total Redemption Amount. Notice of redemption will be given by first-class mail, postage prepaid, mailed not less than ten (10) Business Days prior to the applicable Redemption Date, to each Holder of Notes at such Holder's address in the Note Register maintained by the Note Registrar in accordance with the provisions of the Indenture and to the Collateral Manager. Notes called for redemption must be surrendered at the office of any paying agent appointed pursuant to the Indenture in order to receive the Redemption Price. The Issuer will also deliver notice of redemption to the Irish Paying Agent for delivery to the Irish Stock Exchange if and so long as any Class of Notes to be redeemed is listed on the Irish Stock Exchange. No Optional Redemption or Tax Redemption shall occur unless either: (i) at least four (4) Business Days before the scheduled Redemption Date, the Collateral Manager has furnished to the Trustee evidence, in form satisfactory to the Trustee, that the Collateral Manager on behalf of the Issuer has entered into a binding agreement or agreements with an institution or institutions (or guarantor or guarantors of the obligations): (a) with regard to which Rating Agency Confirmation has been received; or

(b) whose long-term unsecured debt obligations (other than such obligations whose rating is based on the credit of a person other than such institution) have a credit rating from Moody's of at least "P-1" and of at least "A-1" from S&P; and in each case, to sell, not later than the Business Day immediately preceding the scheduled Redemption Date, in immediately available funds, all or part of the Collateral Debt Assets at a purchase price at least equal to an amount sufficient, together with the Eligible Investments maturing on or prior to the scheduled Redemption Date and any termination payments received by the Issuer under any Hedge Agreements on or prior to the scheduled Redemption Date, to pay the Total Redemption Amount; or (ii) prior to selling any Collateral Debt Assets or any other Collateral, the Collateral Manager certifies that the expected proceeds from such sale will, together with the Eligible Investments maturing on or prior to the scheduled Redemption Date and any termination payments received by the Issuer under any Hedge Agreements on or prior to the scheduled Redemption Date, in the aggregate, equal or exceed, in each case, the Total Redemption Amount, as determined by the Trustee. Any notice of redemption may be withdrawn by the Issuer up to the fourth (4th) Business Day prior to the Redemption Date by written notice to the Trustee, the Collateral Manager, each CDS Asset Counterparty and any Hedge Counterparty only if the Collateral Manager is unable to deliver such sale agreement or agreements or certifications, as the case may be, in form satisfactory to the Trustee. Notice of any such withdrawal shall be given by the Trustee to each Rating Agency and to each Holder of Rated Notes at such Holder's address in the Note Register maintained by the Note Registrar by overnight courier guaranteeing next day delivery (or second (2nd) day 56

delivery outside the United States) sent not later than the third (3rd) Business Day prior to such Redemption Date. In addition, the Trustee will, if any Class of Notes to have been redeemed is listed on the Irish Stock Exchange and the rules of such exchange so require, deliver a notice of such withdrawal to the Irish Paying Agent for delivery to the Irish Stock Exchange not less than three (3) Business Days prior to such Redemption Date. Auction Call Redemption In connection with an Auction Call Redemption, the Trustee and the Collateral Manager will, in accordance with the procedures set forth in the Indenture (the "Auction Procedures") and at the expense of the Issuer, conduct an auction (an "Auction") of the Collateral Debt Assets included in the Collateral on a date (each such date, an "Auction Date") occurring no later than ten (10) Business Days prior to the applicable Redemption Date. Any of the Collateral Manager, the Income Noteholders, the Trustee or their respective Affiliates may, but will not be required to, bid at the Auction. Any Redemption will be subject to the satisfaction of each of the following conditions: (i) the related Auction has been conducted in accordance with the Auction Procedures;

(ii) the Trustee has received bids for the Collateral Debt Assets (or for each of the related Subpools) from at least two Qualified Bidders (including the winning Qualified Bidder) identified on a list provided by the Collateral Manager to the Trustee for the purchase of the Collateral Debt Assets or the purchase of each Subpool; (iii) the Trustee determines that the Highest Auction Price would result in the Sale Proceeds from the Collateral Debt Assets (or the related Subpools) for a purchase price (paid in cash) which together with the Balance of all Eligible Investments and cash in the Accounts (other than any Hedge Counterparty Collateral Account, Synthetic Asset Collateral Account and Synthetic Asset Issuer Account) will be at least equal to the Total Redemption Amount; and (iv) the bidder(s) who offered the Highest Auction Price for the Collateral Debt Assets (or the related Subpools) enter(s) into a written agreement with the Issuer (which the Issuer will execute if the conditions set forth above and in the Indenture are satisfied and which execution will constitute certification by the Issuer that such conditions have been satisfied) that obligates the highest bidder(s) (or the highest bidder for each Subpool) to purchase all of the Collateral Debt Assets (or the relevant Subpool) and provides for payment in full (in cash) of the purchase price to the Trustee on or prior to the sixth (6th) Business Day following the relevant Auction Date. In the event that all of the conditions set forth in the foregoing clauses (i) through (iv) have been met, the Trustee will sell and transfer the Collateral Debt Assets (or each subpool), without representation, warranty or recourse, to such highest bidder(s) in accordance with and upon completion of the Auction Procedures. If any of the foregoing conditions are not met with respect to any Auction or if the highest bidder fails to pay the purchase price before the sixth (6th) Business Day following the relevant Auction Date, (i) the Redemption will not occur on the Quarterly Payment Date following the relevant Auction Date, (ii) the Trustee will give notice of the withdrawal of the Redemption, (iii) subject to clause (iv) below, the Trustee will decline to consummate such sale and may not solicit any further bids or otherwise negotiate any further sale of Collateral Debt Assets in relation to such Auction and (iv) unless the Notes are redeemed in full prior to the next succeeding Auction Date, the Trustee will conduct another Auction on the next succeeding Auction Date. The Trustee will deposit the purchase price for the Collateral Debt Assets in the Collection Account, and the Rated Notes and, to the extent funds are available therefor, the Income Notes, will be redeemed on the Quarterly Payment Date immediately following the relevant Auction Date in the order of priorities specified under "Application of Funds upon Redemption". Any Redemption will only be effected on a Quarterly Payment Date. Mandatory Redemption If a Rating Confirmation Failure occurs, the Issuer will be required, on the first Quarterly Payment Date on or after and on any subsequent Quarterly Payment Date, to the extent that such Rating Confirmation Failure is continuing, to apply Collateral Principal Collections and, to the extent that Collateral Principal Collections are insufficient therefor, Collateral Interest Collections, in each case in accordance with the Priority of Payments,

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first, to pay in the following order, (a) any Used Advance Swap Amount, any such payment permanently reducing the Advance Swap Notional Amount, and then (b) based on the Advance Swap Allocation Basis, (i) a deposit to the Synthetic Reserve Account, such deposit permanently reducing the Advance Swap Notional Amount to zero, and then (ii) to reduce pro rata, (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero, by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes; second, to pay principal of the Class A-1T2 Notes; third, to pay principal of the Class A-2 Notes; fourth, to pay principal of the Class A-3 Notes; fifth, to pay principal of the Class A-4 Notes; sixth, to pay principal of the Class B Notes; and seventh, to pay principal of the Class C Notes in each case to the extent necessary in order to obtain a Rating Agency Confirmation from each Rating Agency with respect to each such Class of Rated Notes. In addition, so long as any Class of Rated Notes is outstanding, if any Coverage Test applicable to a Class of Rated Notes is not satisfied on any Calculation Date, then Collections that would otherwise be used on the related Quarterly Payment Date to make payments in respect of (i) interest on any Class of Rated Notes Subordinate to such Class of Rated Notes, (ii) distributions in respect of the Income Notes and (iii) certain other expenses will be used instead, in accordance with the Priority of Payments, to permanently reduce the Advance Swap Notional Amount and the Class A-1R Commitment and to reduce the outstanding principal of each other Class of Rated Notes; provided that if either Class C Coverage Test is not satisfied as of any Calculation Date, Collateral Interest Collections that would otherwise be used (i) for distributions to the Holders of the Income Notes and (ii) for the payments of certain unpaid fees and expenses will instead be applied, subject to the Priority of Payments, to pay principal on the Class C Notes and then, together with Collateral Principal Collections, to pay principal of each other Class of Secured Notes until such Class C Coverage Test is satisfied or until the Class C Notes are paid in full. See "Principal of the Rated Notes and "Priority of Payments". Income Notes Status The Income Notes will be issued pursuant to the Income Note Issuing and Paying Agency Agreement and will not be secured under the Indenture. The Income Notes represent a residual interest in the assets of the Issuer, and 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 Rated Notes, the Hedge Counterparties, the Collateral Manager and any judgment creditors. See "Priority of Payments". The Income Notes will be issued in minimum denominations of U.S.$250,000 and integral multiples of U.S.$1,000 in excess thereof. Payments On each Quarterly Payment Date, to the extent funds are available therefor, Collateral Interest Collections will be released from the lien of the Indenture for payment to the Income Note Issuing and Paying Agent only after the payment of interest on the Rated Notes and, in certain circumstances, principal due in respect of the Rated Notes and the payment of certain other amounts in accordance with the Priority of Payments. The Stated Maturity Date of the Income Notes is the Quarterly Payment Date in October 2046. However, the Income Notes may be paid in full prior to the Stated Maturity Date thereof following the Mandatory Redemption, Optional Redemption, Tax

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Redemption or Auction Call Redemption of the Rated Notes, out of proceeds of the liquidation of the pool of Collateral. Until the Rated Notes and certain other amounts have been paid in full, Collateral Principal Collections are not permitted to be released from the lien of the Indenture and will not be available to make distributions on the Income Notes. Optional Redemption On any Quarterly Payment Date on or after the Quarterly Payment Date on which the Rated Notes have been paid in full, the Income Notes may be redeemed (in whole but not in part) at the direction of the Holders of a Super-Majority of the Income Notes (in each case, an "Income Note Optional Redemption"). Redemption Procedures The Income Note Issuing and Paying Agent will, if and for so long as any Income Notes to be redeemed are listed on the Irish Stock Exchange and the rules of the Irish Stock Exchange so require, (i) cause notice of such Income Note Optional Redemption to be delivered to the Irish Paying Agent (for delivery to the Company Announcements Office of the Irish Stock Exchange) not less than ten (10) Business Days prior to the date of redemption and (ii) promptly notify the Irish Paying Agent of such Optional Redemption. Any such notice of redemption may be withdrawn by the Income Note Issuing and Paying Agent by delivering a notice of such withdrawal to the Company Announcements Office of the Irish Stock Exchange not less than three (3) Business Days prior to the scheduled date of redemption. 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 Rated Notes 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 Taxes, unless such withholding or deduction is required by applicable law, as modified by the practice of any relevant governmental revenue authority. If the Issuer is so required to deduct or withhold any Taxes from payments of principal and interest in respect of the Rated Notes or distributions in respect of the Income Notes, then the Issuer will make such distributions net of such Taxes and will not be obligated to pay any additional amounts in respect of such withholding or deduction. Payments Payments in respect of interest on a Class A-1R Note or Class A-1T Note will be made to the person in whose name the relevant Note is registered fifteen (15) days prior to the applicable Monthly Payment Date and payments of interest on a Rated Note (other than a Class A-1R Note or Class A-1T Note) and principal on a Rated Note or distributions to Holders of Income Notes will be made to the person in whose name the relevant Note is registered fifteen (15) days prior to the applicable Monthly Payment Date. Payments on the Notes will be payable by wire transfer in same day, freely transferable funds to a U.S. Dollar account maintained by DTC or its nominee (in the case of the Global Notes), or to each Holder of Certificated Notes, to the extent practicable or otherwise by U.S. Dollar check drawn on a bank in the United States sent by mail either to DTC or its nominee (in the case of the Global Notes), or to each Holder of a Note at such Holder's address appearing in the applicable register (in the case of any Restricted Certificated Notes or Certificated Income Notes). Final payments in respect of principal on the Rated Notes will be made only against surrender of the Rated Notes at the office of any note paying agent appointed under the Indenture (each, a "Note Paying Agent"). Final distributions on the Income Notes will be made only against surrender of the certificate representing such Income Notes at the office of the Income Note Registrar. None of the Issuer, the Co-Issuer, the Trustee or any Note Paying Agent will have any responsibility or liability for any

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

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From: first, Collateral Interest Collections, then Collateral Principal Collections

(2) to pay pari passu (a) to the Advance Swap Counterparty any accrued and unpaid Advance Swap Drawing Fee and any accrued and unpaid Advance Swap Commitment Fee, (b) to each Hedge Counterparty, any amounts due to such Hedge Counterparty under any Hedge Agreement, including any termination payments (other than any Subordinated Hedge Termination Payments), under each Hedge Agreement and (c) to each Cashflow Swap Counterparty, any amounts due to such Cashflow Swap Counterparty, including any termination payments (other than any Subordinated Cashflow Swap Termination Payments), under any Cashflow Swap Agreement; (3) to pay pari passu (a) the applicable Class A-1R Payment Amount and (b) the applicable Class A-1T1 Payment Amount; (4) (i) to reimburse the Advance Swap Counterparty, in the following order, (a) from Collateral Interest Collections only, for any amounts paid by the Advance Swap Counterparty in respect of CDS Interest Payments and (b) from Collateral Principal Collections only, for any CDS Payments (other than CDS Interest Payments) previously paid by the Advance Swap Counterparty with respect to Synthetic Assets, which reimbursement amounts under clause (b) shall permanently reduce the Advance Swap Notional Amount, and (ii) during and to the end of the Interest-Only Period, at the sole discretion of the Collateral Manager, from Collateral Principal Collections only, to pay any Class A-1R Repayment, which shall not reduce the Aggregate Class A-1R Commitment;

first, Collateral Interest Collections, then Collateral Principal Collections

first, Collateral Interest Collections, then Collateral Principal Collections

(5)

to pay the applicable Class A-1T2 Payment Amount; and

(6) the balance, to remain in the Collection Account for application on the next succeeding Monthly Payment Date, Quarterly Payment Date or Redemption Date, as the case may be. (B) On each Quarterly Payment Date or the Redemption Date, Collateral Interest Collections and Collateral Principal Collections with respect to the related Due Period will be distributed in the following order of priority:
From: first, Collateral Interest Collections, then Collateral Principal Collections first, Collateral Interest Collections, then Collateral Principal Collections

(1) to pay taxes and filing fees and registration fees (including, without limitation, annual return fees) payable by the Co-Issuers, if any; (2) to pay any accrued and unpaid fees due to the Trustee, the Collateral Administrator, the Income Note Issuing and Paying Agent and the Administrator; provided that the cumulative amount paid under this clause (2) may not, in the aggregate, exceed in any consecutive 12-month period the sum of (a) 0.01% of the Collateral Principal Balance as of the first day of the related Interest Period plus (b) $25,000 (such sum to be prorated based upon the actual number of days in any applicable period);

61

first, Collateral Interest Collections, then Collateral Principal Collections

(3) to pay, in the following order, (a) any accrued and unpaid expenses and indemnities due to the Trustee, the Collateral Administrator, the Class A-1R Note Agent and the Income Note Issuing and Paying Agent, and then (b) the amount of any accrued and unpaid expenses due to the Administrator and any other Administrative Expenses (including amounts payable to the Collateral Manager under the Collateral Management Agreement, but excluding the Collateral Management Fee), and then (c) to deposit to the Expense Reserve Account the amount needed to bring the amount on deposit therein to U.S.$50,000; provided that the cumulative amount paid under this clause (3) (excluding any Administrative Expenses due or accrued with respect to the actions taken on or prior to the Closing Date and amounts the Trustee incurs in connection with any Event of Default) may not, in the aggregate, exceed U.S.$195,000 in any consecutive 12-month period; (4) to pay pari passu (a) to any CDS Asset Counterparty, (i) first from Collateral Interest Collections, then from Collateral Principal Collections, any amounts due under any CDS Asset other than any CDS Asset Issuer Termination Payments and (ii) from Collateral Principal Collections only, any CDS Asset Issuer Termination Payments (other than any Subordinated CDS Asset Termination Payments), and (b) to any Short CDS Asset Counterparty, (i) first from Collateral Interest Collections, then from Collateral Principal Collections, any amounts due under any Short CDS Asset other than any termination payments and (ii) from Collateral Principal Collections only, any termination payments due under any Short CDS Asset (other than any Subordinated Short CDS Termination Payments), subject to satisfaction of the Short CDS Trading Termination Criteria as applicable;

first, Collateral Interest Collections, then Collateral Principal Collections

(5) to pay pari passu (a) to the Advance Swap Counterparty any accrued and unpaid Advance Swap Drawing Fee and any accrued and unpaid Advance Swap Commitment Fee, (b) to each Hedge Counterparty, any amounts due to such Hedge Counterparty under any Hedge Agreement, including any termination payments (other than any Subordinated Hedge Termination Payments), under each Hedge Agreement and (c) to each Cashflow Swap Counterparty, any amounts due to such Cashflow Swap Counterparty, including any termination payments (other than any Subordinated Cashflow Swap Termination Payments), under any Cashflow Swap Agreement; (6) to pay to the Collateral Manager the Senior Collateral Management Fee with respect to such Quarterly Payment Date and any Senior Collateral Management Fee with respect to a previous Quarterly Payment Date that was not paid on a previous Quarterly Payment Date; (7) to pay pro rata (a) the Class A-1T1 Payment Amount, (b) the Class A-1R Payment Amount, (c) any Class A-1R Commitment Fee and (d) any Class A1R Breakage Costs to the Holders of the Class A-1R Notes; (8) to reimburse the Advance Swap Counterparty, in the following order, (a) from Collateral Interest Collections only, for any amounts paid by the Advance Swap Counterparty in respect of CDS Interest Payments and (b) from Collateral Principal Collections only, for any CDS Payments (other than CDS Interest Payments) previously paid by the Advance Swap Counterparty with respect to Synthetic Assets, which reimbursement amounts under clause (b) shall permanently reduce the Advance Swap Notional Amount;

first, Collateral Interest Collections, then Collateral Principal Collections

first, Collateral Interest Collections, then Collateral Principal Collections

first, Collateral Interest Collections, then Collateral Principal Collections

(9)

to pay the Class A-1T2 Payment Amount;

62

first, Collateral Interest Collections, then Collateral Principal Collections

(10) A-2 Notes;

to pay the applicable Payment Amount to the Holders of the Class

first, Collateral Interest Collections, then Collateral Principal Collections

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

first, Collateral Interest Collections, then Collateral Principal Collections

Collateral Interest Collections only

(13) to pay, from Collateral Interest Collections (if any) only, an amount equal to the Interest Reserve Amount for deposit into the Note Interest Reserve Account; (14) Class B Notes; to pay the applicable Payment Amount to the Holders of the

first, Collateral Interest Collections, then Collateral Principal Collections

first, Collateral Interest Collections, then Collateral Principal Collections

(15) if either of the Class B Coverage Tests is not satisfied as of the preceding Calculation Date: First, to pay in the following order, (a) any Used Advance Swap Amount, any such payment permanently reducing the Advance Swap Notional Amount, and then (b) based on the Advance Swap Allocation Basis, (i) to deposit to the Synthetic Reserve Account, such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero, and then (ii) to reduce pro rata, (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero, by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes;

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Second, to pay principal of the Class A-1T2 Notes; Third, to pay principal of the Class A-2 Notes; Fourth, to pay principal of the Class A-3 Notes; Fifth, to pay principal of the Class A-4 Notes; and Sixth, to pay principal of the Class B Notes (including the Class B Cumulative Deferred Interest Amount, if any); in each case, to the extent necessary to cause each of the Class B Coverage Tests to be satisfied on such Quarterly Payment Date or until the principal amount of each such Class of Notes has been paid in full;
first, Collateral Interest Collections, then Collateral Principal Collections

(16) to pay the Class B Cumulative Deferred Interest Amount, if any; provided that such payment shall not cause any Class A Coverage Test or Class B Coverage Test to fail; (17) Class C Notes; to pay the applicable Payment Amount to the Holders of the

first, Collateral Interest Collections, then Collateral Principal Collections

first, Collateral Principal Collections, then Collateral Interest Collections

(18) if a Rating Confirmation Failure has occurred, on the first Quarterly Payment Date on or thereafter and on any subsequent Quarterly Payment Date to the extent that a Rating Confirmation Failure is continuing: First, to pay in the following order, (a) any Used Advance Swap Amount, any such payment permanently reducing the Advance Swap Notional Amount, and then (b) based on the Advance Swap Allocation Basis, (i) to deposit to the Synthetic Reserve Account, such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero, and then (ii) to reduce pro rata, (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero, by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes; Second, to pay the principal of the Class A-1T2 Notes; Third, to pay the principal of the Class A-2 Notes; Fourth, to pay the principal of the Class A-3 Notes; Fifth, to pay the principal of the Class A-4 Notes; Sixth, to pay principal of the Class B Notes; and Seventh, to pay the principal of the Class C Notes; in each case to the extent necessary in order to obtain a Rating Agency Confirmation from each Rating Agency with respect to each such Class of Rated Notes;

64

first, Collateral Interest Collections, then Collateral Principal Collections

(19) if either of the Class C Coverage Tests is not satisfied as of the preceding Calculation Date: First, to pay principal of the Class C Notes (including the Class C Cumulative Deferred Interest Amount, if any) (using only Collateral Interest Collections and not Collateral Principal Collections), Second, to pay in the following order, (a) any Used Advance Swap Amount, any such payment permanently reducing the Advance Swap Notional Amount, and then (b) based on the Advance Swap Allocation Basis, (i) to deposit to the Synthetic Reserve Account, such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero, and then (ii) to reduce pro rata, (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero, by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes; Third, to pay the principal of the Class A-1T2 Notes; Fourth, to pay the principal of the Class A-2 Notes; Fifth, to pay the principal of the Class A-3 Notes; Sixth, to pay the principal of the Class A-4 Notes Seventh, to pay the principal of the Class B Notes (including the Class B Cumulative Deferred Interest Amount, if any); and Eighth, to pay the principal of the Class C Notes (including the Class C Cumulative Deferred Interest Amount, if any) (using Collateral Principal Collections only), in each case, to the extent necessary to cause each of the Class C Coverage Tests to be satisfied on such Quarterly Payment Date;

first, Collateral Interest Collections, then Collateral Principal Collections

(20) to pay the Class C Cumulative Deferred Interest Amount, if any; provided that such payment shall not cause any Coverage Test to fail; (21) (a) on each Quarterly Payment Date during and to the end of the Interest-Only Period: (i) at the sole determination of the Collateral Manager, to pay to the Collection Account, to remain available for application to the purchase of Substitute Collateral Debt Assets (subject to satisfaction of the Reinvestment Criteria and, as applicable, the Additional Criteria) by no later than the last day of the Due Period relating to the Quarterly Payment Date immediately following such Quarterly Payment Date, in an amount up to any remaining Collateral Principal Collections; and then (ii) any remaining amount to be applied, in the following order:

Collateral Principal Collections only

(A) at the sole discretion of the Collateral Manager, to pay any Class A-1R Repayment, which shall not reduce the Aggregate Class A-1R Commitment;

65

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

outstanding balance of the Class A-1T1 Notes, and (c) principal of the Class A-1T2 Notes, Class A-2 Notes, Class A-3 Notes, Class A-4 Notes, Class B Notes and Class C Notes until each such Class of Notes has been paid in full; (iii) if the Pro Rata Payment Conditions are not satisfied, then any remaining amount to pay, in the following order, (a) any Used Advance Swap Amount, any such payment permanently reducing the Advance Swap Notional Amount, and then (b) based on the Advance Swap Allocation Basis, (i) to deposit to the Synthetic Reserve Account, such deposit permanently reducing the Advance Swap Notional Amount until it is reduced to zero, and then (ii) to reduce pro rata, (1) the Aggregate Class A-1R Commitment by (A) paying any outstanding balance of the Class A-1R Notes and (B) to the extent that the Class A-1R Note Undrawn Amount has not been permanently reduced to zero, by funding the Synthetic Reserve Account until the Class A-1R Note Undrawn Amount is reduced to zero and (2) any outstanding balance of the Class A-1T1 Notes, and then (c) the principal of the Class A-1T2 Notes until such Class of Notes has been paid in full, and then (d) the principal of the Class A-2 Notes until such Class of Notes has been paid in full, and then (e) the principal of the Class A-3 Notes until such Class of Notes has been paid in full, and then (f) the principal of the Class A-4 Notes until such Class of Notes has been paid in full, and then (g) the principal of the Class B Notes until such Class of Notes has been paid in full, and then (h) the principal of the Class C Notes until such Class of Notes has been paid in full;
first, Collateral Interest Collections, then Collateral Principal Collections

(22) to pay, in the following order (i) any accrued and unpaid fees, expenses and indemnities due to the Trustee, the Collateral Administrator, the Class A-1R Note Agent, the Income Note Issuing and Paying Agent and the Administrator to the extent, in each case, not paid in full under clauses (1) through (3) above, and (ii) on a pro rata basis, any accrued and unpaid expenses, indemnities and other liabilities of the Co-Issuers (including such expenses, liabilities, indemnities and value added taxes, if any, of the Collateral Manager, but excluding the Subordinate Collateral Management Fee) to the extent not paid under clauses (1) through (3) above, whether as a result of an amount limitation imposed thereunder or otherwise; (23) to pay to the Collateral Manager the Subordinate Collateral Management Fee with respect to such Quarterly Payment Date and any due and unpaid Subordinate Collateral Management Fee with respect to a previous Quarterly Payment Date that was not paid on a previous Quarterly Payment Date, including as a result of a waiver by the Collateral Manager of such Subordinate Collateral Management Fee; (24) to pay pari passu Defaulted Synthetic Termination Payments and termination payments and any other amounts due and payable to each CDS Asset Counterparty, Short CDS Asset Counterparty, Synthetic Collateral Assets Counterparty, Hedge Counterparty and Cashflow Swap Counterparty in respect of any Subordinated CDS Asset Termination Payments, Subordinated Short CDS Termination Payments, Subordinated Synthetic Collateral Assets Termination Payments, Subordinated Hedge Termination Payments or Subordinated Cashflow Swap Termination Payments, as the case may be; (25) if the Additional Class C Principal Coverage Test is not satisfied as of the preceding Calculation Date, 50% of all remaining Collateral Interest Collections after application of clauses (1) through (24) above, to pay principal of the Class C Notes until the Class C Notes are paid in full; and (26) (a) if so instructed by the Collateral Manager, to make a deposit into the Short CDS Assets Reserve Account; (b) on the Redemption Date, first to pay any 67

first, Collateral Interest Collections, then Collateral Principal Collections

first, Collateral Interest Collections, then Collateral Principal Collections

Collateral Interest Collections only

first, Collateral Interest Collections,

then Collateral Principal Collections

remaining Collateral Principal Collections to the Income Note Issuing and Paying Agent, on behalf of the Issuer, for distributions on the Income Notes in accordance with the Income Note Issuing and Paying Agency Agreement and then to pay any remaining Excess Funds comprising the remaining Collateral Interest Collections in accordance with the following subclause (c); and (c) on any Quarterly Payment Date to pay all Excess Funds to the Income Note Issuing and Paying Agent, on behalf of the Issuer, for distributions on the Income Notes in accordance with the Income Note Issuing and Paying Agency Agreement; provided that that if any of the Collateral Quality Tests (except for S&P CDO Monitor Test) or any of the Coverage Tests are not satisfied as of the Effective Date, (i) no payment to the Income Note Issuing and Paying Agent and no distributions on the Income Notes shall be made until the occurrence of the earlier of the following: (x) each of the Collateral Quality Tests (except for S&P CDO Monitor Test) and each of the Coverage Tests is satisfied or (y) Rating Agency Confirmation is obtained from Moody's and (ii) until either of the conditions set forth in clause (i) above is satisfied, amounts that would otherwise be paid to the Income Note Issuing and Paying Agent for distributions on the Income Notes will instead be deposited into the Collection Account as Collateral Interest Collections.

With respect to principal payments of the Class B Notes and Class C Notes in connection with a mandatory redemption pursuant to clauses (B)(15), (B)(18) or (B)(19) of the Priority of Payments, payment of principal not constituting the Class B Cumulative Deferred Interest Amount shall be paid before principal constituting the Class B Cumulative Deferred Interest Amount, if any, and payment of principal not constituting the Class C Cumulative Deferred Interest Amount shall be paid before principal constituting the Class C Cumulative Deferred Interest Amount, if any. Application of Funds upon Redemption On any Redemption Date, the Trustee will pay, from the Collection Account, in the following order, (i) the amounts set forth in clauses (B)(1) through (B)(6) and clause (B)(8) of the Priority of Payments, (ii) the Redemption Price of each Class of Rated Notes in accordance with the Priority of Payments, and (iii) the amounts set forth in clauses (B)(22) through (B)(26) of the Priority of Payments. Any amounts applied to the redemption of any Class of Rated Notes shall be applied to such Class of Rated Notes pro rata in accordance with the Aggregate Outstanding Amounts of such Class of Rated Notes on the Redemption Date. Application of Funds upon an Event of Default If an Event of Default has occurred and is continuing, on the date or dates determined by the Trustee, the Trustee will pay, from all collections from, and proceeds of the sale or liquidation of, the Collateral, in the following order: (i) amounts corresponding to the amounts set forth in clauses (B)(1) through (B)(6) of the Priority of Payments, (ii) the Advance Swap Commitment Fee and Advance Swap Drawing Fee (including defaulted interest on the Advance Swap, if any), (iii) the Class A-1R Commitment Fee and Periodic Interest on the Class A-1R Notes and the Class A-1T1 (including Defaulted Interest on such Class A-1R Notes and Class A-1T1, if any) (provided that payments of interest on the Class A-1 Notes and the Class A-1R Commitment Fee in respect of the Class A-1R Notes (in respect of the Class A-1R Commitment Fee on the Class A-1R Note Undrawn Amount, any Class A-1R Commitment Fee accrued prior to its reduction to zero) will be paid pro rata between the Class A-1T1 Notes and the Class A-1R Notes based on the Class A-1 Pro Rata Allocation), (iv) the Periodic Interest on the Class A-1T2 Notes (including Defaulted Interest on such Class A-1T2 Notes, if any), (v) the Periodic Interest on the Class A-2 Notes (including Defaulted Interest on such Class A-2 Notes, if any), (vi) the Periodic Interest on the Class A-3 Notes (including Defaulted Interest on such Class A-3 Notes, if any), (vii) the Periodic Interest on the Class A-4 Notes (including Defaulted Interest on such Class A-4 Notes), if any, (viii) any outstanding principal on the Advance Swap until paid in full and then to deposit to the Synthetic Asset Collateral Account the amounts, if any, necessary to cause the available balance therein to equal the Aggregate CDS Asset Notional Amount with respect to any Synthetic Assets that have not been terminated, (ix) any outstanding principal of the Class A-1R Notes and the Class A-1T1 Notes, paid pro rata based on the Class A-1 Pro Rata Allocation, until paid in full and then to deposit to the Synthetic Reserve Account the amount, if any, necessary to cause the available balance therein equal to the 68

Aggregate CDS Asset Notional Amount with respect to any Synthetic Assets that have not been terminated, (x) outstanding principal of the Class A-1T2 Notes until paid in full, (xi) outstanding principal of the Class A-2 Notes until paid in full, (xii) outstanding principal of the Class A-3 Notes until paid in full, (xiii) outstanding principal of the Class A-4 Notes until paid in full, (xiv) the Periodic Interest on the Class B Notes (including Defaulted Interest on the Class B Notes, if any) and then outstanding principal of the Class B Notes (including the Class B Cumulative Deferred Interest Amount, if any) until paid in full, (xv) the Periodic Interest on the Class C Notes (including Defaulted Interest on the Class C Notes, if any) and then outstanding principal of the Class C Notes (including Class C Cumulative Deferred Interest Amount, if any) until paid in full and (xvi) amounts corresponding to the amounts set forth in clauses (B)(22) through (B)(26) of the Priority of Payments. The Coverage Tests The Interest Coverage Tests and the Principal Coverage Tests At any time during which any of the Rated Notes are Outstanding, if any of the Coverage Tests is not satisfied as of the related Calculation Date, amounts that would otherwise be used (i) for distributions to the Holders of the Income Notes, (ii) for the payment of certain fees and expenses, (iii) in the case of a failure to satisfy either Class A Coverage Test, for interest payments on the Class B Notes and the Class C Notes and (iv) in the case of a failure to satisfy either Class B Coverage Test, for interest payments on the Class C Notes, will instead be applied on the related Quarterly Payment Date, to the extent necessary to satisfy such Coverage Test as of such Calculation Date, to principal prepayments of the Rated Notes in accordance with the Priority of Payments on such Quarterly Payment Date until such Coverage Test is satisfied as of the Calculation Date or the Rated Notes are paid in full. The Interest Coverage Test for the Class A Notes, the Class B Notes or the Class C Notes is satisfied as of any date of determination during the period commencing on the Effective Date and extending through the initial Quarterly Payment Date if the Interest Coverage Ratio for such Class is equal to or exceeds 100.0% and as of any subsequent date of determination when the Interest Coverage Ratio for such Class is equal to or exceeds the required level set forth below: Interest Coverage Test Class A Interest Coverage Test ......................................... Class B Interest Coverage Test ......................................... Class C Interest Coverage Test ......................................... Required Interest Coverage Ratio 101.00% 100.50% 100.20%

The Principal Coverage Test for the Class A Notes, the Class B Notes or the Class C Notes is satisfied as of any date of determination during the period commencing on the Effective Date and extending through the Initial Quarterly Payment Date if the Principal Coverage Ratio is equal to or exceeds 100.0% and as of any subsequent date of determination when the Principal Coverage Ratio for such Class is equal to or exceeds the required level set forth below: Principal Coverage Test Class A Principal Coverage Test....................................... Class B Principal Coverage Test....................................... Class C Principal Coverage Test....................................... Required Principal Coverage Ratio 102.40% 101.20% 100.20%

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Form, Denomination, Registration and Transfer of the Notes Minimum Denomination Interests in each Class of Rated Notes will be issued and transferred in minimum denominations of U.S.$250,000 and integral multiples of U.S.$1,000 in excess thereof. Interests in the Income Notes will be issued and transferred in minimum denominations of U.S.$250,000 and integral multiples of U.S.$1,000 in excess thereof. Rule 144A Global Notes The Rated Notes (other than the Class A-1R Notes) sold in the United States or to U.S. persons (as defined in Regulation S under the Securities Act, "U.S. Persons") pursuant to Rule 144A under the Securities Act will be represented by one or more permanent global certificates 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 The Depository Trust Company ("DTC"), with an address at 55 Water Street, New York, New York 10041-0099, and will be registered in the name of Cede & Co. ("Cede"), as nominee of DTC. All or a portion of an interest in a Rule 144A Global Note may be transferred to a person taking delivery in the form of an interest in a Rule 144A Global Note in accordance with the applicable procedures of DTC (in addition to procedures and restrictions set forth under the Indenture); provided that (i) any remaining principal amount of the transferor's interest in the Rule 144A Global Note will either equal zero or meet the required minimum denominations and (ii) such transfer is made to a U.S. Person that is a Qualified Institutional Buyer within the meaning of Rule 144A under the Securities Act and a Qualified Purchaser in a transaction that meets the requirements of Rule 144A under the Securities Act and that the transferee, by purchase of such interest in the Rule 144A Global Notes, will be deemed to have made all representations, warranties and acknowledgments applicable to transfers or purchases 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 may be transferred to a person who takes delivery of a Restricted Certificated Note in accordance with the applicable procedures of DTC, Clearstream and Euroclear (in addition to the requirements, procedures and restrictions set forth under the Indenture) and only upon receipt by the Trustee of (i) a written certification from the transferee (each substantially in the form provided in the Indenture) to the effect that, among other things, the transfer is being made to a person that is both an Accredited Investor and a Qualified Purchaser in a transaction that is exempt from registration under, or is not subject to, the registration requirements of the Securities Act, and is only in a denomination greater than or equal to the required minimum denominations, and (ii) such other certifications, legal opinions or other information as the Issuer may reasonably require to confirm that such transfer is being made pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act and in accordance with the requirements described under "Purchase and Transfer Restrictions"; provided that any remaining principal amount of the transferor's interest in the Rule 144A Global Note will either equal zero or meet the required minimum denominations. In addition, all or a portion of an interest in a Rule 144A Global Note may be transferred to a person taking delivery in the form of an interest in a Regulation S Global Note or exchanged for an interest in a Regulation S Global Note, in accordance with the applicable procedures of DTC, Clearstream and Euroclear (in addition to the procedures and restrictions set forth under the Indenture) and only upon receipt by the Trustee of a written certification (i) from the transferee (in the form provided in the Indenture) to the effect that, among other things, the transferee is not a U.S. Person and that such transfer is being made in an offshore transaction in accordance with Regulation S and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction and only in a denomination greater than or equal to the required minimum denominations and (ii) from the transferor (in the form provided in the Indenture) to the effect that, among other things, 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 in an offshore transaction in accordance with Regulation S and in accordance with any applicable securities laws of any state of the United States or any other jurisdiction; provided that any remaining principal amount of the transferor's interest in the Rule 144A Global Note will either equal zero or meet the required minimum denominations.

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

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

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

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

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

(the aggregate principal amounts of such Certificated Class A-1R Notes being the same as the Certificated Class A1R Notes surrendered for exchange), then the Note Registrar shall cancel such Certificated Class A-1R Notes, record the exchange in the Note Register and authenticate and deliver one or more Certificated Class A-1R Notes bearing the same designation endorsed for exchange, registered in the same names as the related Certificated Class A-1R Notes surrendered by such holder or such different names as are specified in the endorsement described in clause (A) above, in different principal amounts designated by such holder (the aggregate principal amounts being the same as the beneficial interest in the Certificated Class A-1R Notes surrendered by such holder), and the minimum denominations and integral multiples in excess. Each purchaser and each transferee of a Certificated Class A-1R Note will represent that either (a) it is not (and for so long as it holds a Certificated Class A-1R Note or any interest therein will not be), and is not acting on behalf of (and for so long as it holds a Certificated Class A-1R Note or any interest therein will not be acting on behalf of), (1) an "employee benefit plan" as defined in Section 3(3) of, and subject to, ERISA, (2) a "plan" as defined in Section 4975(e)(1) of, and subject to, the Code, or (3) an entity which is deemed to hold the assets of any such plan pursuant to 29 C.F.R. Section 2510.3-101, which employee benefit plan, plan or entity is subject to Title I of ERISA or Section 4975 of the Code, or (b) its purchase and holding of Certificated Class A-1R Note does not and will not result in a nonexempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code. If the Issuer determines that any interest in a Certificated Class A-1R Note is being held by a Holder that is determined not to have been, at the time of purchase, either (i) a non-U.S. Person or (ii) both (A) a Qualified Purchaser and (B) a Qualified Institutional Buyer or an Accredited Investor, the Issuer may require, by notice to such Holder, that such Holder sell all its right, title and interest in such Certificated Class A-1R Notes to a Person that is either (i) a non-U.S. Person or (ii) both (A) a Qualified Purchaser and (B) a Qualified Institutional Buyer or an Accredited Investor, such sale to be effected within thirty (30) days after notice of such sale requirement is given. If such Holder fails to effect the transfer required within such 30-day period, (x) upon direction from the Issuer, the Trustee shall on behalf of and at the expense of the Issuer, and is hereby irrevocably authorized by such Holder to cause its interest in such Certificated Class A-1R Note to be transferred in a commercially reasonable sale (conducted by the Trustee in accordance with Section 9-610(b) of the Uniform Commercial Code as in effect in the State of New York as applied to securities that are customarily sold on a recognized market or that may decline speedily in value) to a person that certifies to the Co-Issuers and the Trustee, in connection with such transfer, that such Person is either (i) a non-U.S. Person or (ii) both (A) a Qualified Purchaser and (B) a Qualified Institutional Buyer or an Accredited Investor and (y) pending such transfer, no further payments will be made in respect of such Certificated Class A-1R Note (or beneficial interest therein) held by such Holder. Certificated Income Notes The Income Notes initially sold or transferred in the United States or to U.S. Persons pursuant to Section 4(2) or Rule 144A under the Securities Act will be issued in the form of definitive physical certificates in fully registered form only (each, a "Certificated Income Note"). The Certificated Income Notes will be offered in the United States only to persons who are (i) Qualified Institutional Buyers in reliance on the exemption from registration under the Securities Act provided by Rule 144A thereunder or (ii) Accredited Investors (subject to the delivery of such certifications, legal opinions or other information as the Issuer may reasonably require to confirm that such transfer is being made pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act) in reliance on the exemption from registration under the Securities Act, in each case who are also Qualified Purchasers. Transfers of Certificated Income Notes may only be effected by delivery to the Income Note Issuing and Paying Agent and the Issuer of the required written certifications from the proposed transferee regarding compliance with applicable transfer restrictions. See "Purchase and Transfer Restrictions". The Income Note Issuing and Paying Agency Agreement permits the Issuer to demand that the Holder sell to a Holder permitted under the Income Note Issuing and Paying Agency Agreement, any interest in a Certificated Income Note held by such Holder who is determined not to have been either (i) a non-U.S. Person or (ii) both (a) a Qualified Purchaser and (b) a Qualified Institutional Buyer or an Accredited Investor at the time of acquisition of such Certificated Income Note and, if the Holder does not comply with such demand within thirty (30) days thereof, the Issuer may sell such Holder's interest in the Certificated Income Note on such terms as the Issuer may accept.

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

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Payments of principal of and interest on a Rule 144A Global Note and a Regulation S Global Note or distributions made on a Regulation S Global Income Note will be made to DTC or its nominee, as the registered owner thereof. None of the Issuer, the Co-Issuer, the Trustee, the Income Note Issuing and Paying Agent, any Note Paying Agent, the Initial Purchaser, the Placement Agent, the Collateral Manager or any of their respective Affiliates will have any responsibility or liability for any aspect of the records relating to or payments made on account of beneficial ownership interests in a Global Note or for maintaining, supervising or reviewing any records relating to the beneficial ownership interests. The Co-Issuers expect that DTC or its nomineeupon receipt of any payment of principal or interest in respect of a Rule 144A Global Note or a Regulation S Global Note representing a Note held by it or its nominee will immediately credit participants' accounts with payments in amounts proportionate to their respective beneficial interests in the stated initial principal amount of such Note as shown on the records of DTC or its nominee. The CoIssuers expect that DTC or its nomineeupon receipt of any distribution in respect of a Regulation S Global Income Note representing an Income Note held by it or its nomineewill immediately credit participants' accounts with payments in amounts proportionate to their respective beneficial interests in the stated amount of such Income Notes as shown on the records of DTC or its nominee. The Co-Issuers also expect that payments by participants to owners of beneficial interests in a Global Note held through the participants will be governed by standing instructions and customary practices, as is now the case with securities held for the accounts of customers registered in the names of nominees for 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 only act 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 certificate 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 Regulation S Global Note or a Regulation S Global Income Note through DTC and making or receiving payment in accordance with normal procedures for immediately available funds settlement applicable to DTC. 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 Global Note from a DTC participant will be credited during the securities settlement processing day (which must be a business day for Euroclear and Clearstream) immediately following the DTC settlement date and the credit of any transactions in interests in a Global Note settled during the processing day will be reported to the relevant Euroclear or Clearstream participant on that day. 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 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. 78

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 the Global Notes 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 Issuer, the Co-Issuer, the Trustee, the Income Note Issuing and Paying Agent or any Note Paying 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 or the Income Note Issuing and Paying Agency Agreement, as applicable, will be null and void ab initio and will not be given effect for any purpose whatsoever; provided, however, without prejudice to the rights of the Co-Issuers against any beneficial owner or purported beneficial owner of Notes, nothing in the Indenture, the Notes, the Income Note Issuing and Paying Agency Agreement or the Income Notes, as applicable, will be interpreted to confer on the Co-Issuers, the Trustee or any Paying Agent any right against Euroclear to require that Euroclear reverse or rescind any trade completed in accordance with the rules of Euroclear. Mutilated, Defaced, Destroyed, Lost or Stolen Certificates In case any Certificated Note or Certificated Income Note shall become mutilated, defaced, destroyed, lost or stolen, the Issuer or the Co-Issuers, as applicable, will execute and upon the request of the Issuer or the CoIssuers, as the case may be, the Note Registrar or the Income Note Registrar, as applicable, will authenticate and deliver a new Certificated Note or Certificated Income Note, as the case may be, of like tenor (including the same date of issuance) and equal principal amount, registered in the same manner, dated the date of its authentication and bearing interest from the date to which interest has been paid on the Rated Note in the case of the Certificated Note, and entitled to distributions from the date such distributions have been paid in the case of the Certificated Income Notes, in exchange and substitution for the Certificated Note or Certificated Income Note (upon surrender and cancellation thereof), as the case may be, or in lieu of and substitution for such Certificated Note or Certificated Income Note. In case such Certificated Note or Certificated Income Note is destroyed, lost or stolen, the applicant for a substitute Certificated Note or Certificated Income Note, as the case may be, will furnish to the Issuer or the Co-Issuers, as the case may be, and the Note 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 Issuer or the Co-Issuers, as the case may be, satisfactory evidence of the destruction, loss or theft of such Certificated Note or Certificated Income Note, as the case may be, and of the ownership thereof. Upon the issuance of any such Certificated Note or Certificated Income Note, the Issuer or the Co-Issuers, as the case may be, 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 ADVANCE SWAP The following summary describes certain provisions of the Advance 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 Advance Swap. In order to provide the Issuer with funds to meet its obligations under the CDS Assets after the Synthetic Reserve Account, the Synthetic Asset Collateral Account, the Class A-1R Note Undrawn Amount and available funds in the Principal Collections Account have been reduced to zero, the Issuer will enter into a swap agreement, dated as of the Closing Date (the "Advance Swap"), with Citibank, N.A. ("Citibank"), as initial counterparty (the "Advance Swap Counterparty"), under which the Advance Swap Counterparty will agree to make available to the Issuer drawings (each, an "Advance Swap Draw") in an aggregate amount up to U.S.$225,000,000 (such amount, as it may be increased or decreased in accordance with the Advance Swap, the "Advance Swap Notional Amount"), subject to the terms and conditions set forth in the Advance Swap. The Issuer will not make an Advance Swap Draw under the Advance Swap on the Closing Date. The Advance Swap will terminate on the date (the "Advance Swap Termination Date") that is the earliest of (a) the Payment Date in October 2046, (the "Advance Swap Scheduled Termination Date"), (b) the Redemption Date and (c) such earlier date, if any, on which the Advance Swap Notional Amount is reduced to zero in accordance with its terms and the Indenture. The Advance Swap Draws will not be invested in Collateral Assets but instead will be used to make payments to the CDS Asset Counterparties. Notional Amount The Advance Swap Notional Amount will be subject to reduction from time to time and a one-time increase at the end of the Interest-Only Period. If, on the last day of the Interest-Only Period, no Event of Default shall have occurred and be continuing, the Advance Swap Notional Amount will be increased by the amount of the Class A-1R Commitment Shift-Over Amount. The Advance Swap Notional Amount will be permanently reduced from time to time, to the extent that (i) the Issuer makes any required repayment of any Advance Swap Draws pursuant to the Priority of Payments in the Indenture; or (ii) the Issuer (1) at any time elects, upon three Business Days' prior notice in writing to the Advance Swap Counterparty, to reduce the Advance Swap Notional Amount by an amount not to exceed the lesser of (x) the Advance Swap Undrawn Notional Amount and (y) the amount (if any) by which the Synthetic Asset Capacity Amount is greater than zero (or any lesser amount that is an integral multiple of U.S.$1,000) (such lesser amount, the "Advance Swap Notional Reduction Amount") or (2) after the end of the Interest-Only Period, makes any deposit to the Synthetic Reserve Account or the Synthetic Asset Collateral Account in an amount equal to the Advance Swap Notional Reduction Amount; or (iii) a reduction of the Advance Swap Notional Amount is specified to occur pursuant to the Priority of Payments on any Quarterly Payment Date; or (iv) at any time a reduction in respect of any Synthetic Unfunded Excess Capacity Reduction is required pursuant to the Advance Swap or the Indenture. If the Interest-Only Period shall not have ended, the Issuer is in compliance with each Coverage Test and no Event of Default shall have occurred, then the Issuer may elect, upon three Business Days' prior notice in writing to the Advance Swap Counterparty, to reduce the Advance Swap Notional Amount with respect to any deposit of funds into the Synthetic Reserve Account or the Synthetic Asset Collateral Account. Draws On any Business Day up to but excluding the Advance Swap Termination Date, the Issuer may draw on the Advance Swap Undrawn Notional Amount to obtain funds for the following purposes (each such draw, an "Advance Swap Draw"): (1) to pay any CDS Loss Payment due and payable to a CDS Counterparty as and to the extent an Advance Swap Draw on the Advance Swap Undrawn Notional Amount is required to make such payment pursuant to the CDS Payment Priority (as described below); (2) to make any CDS Interest Payment due and payable to a CDS Counterparty as and to the extent an Advance Swap Draw on the Advance Swap Undrawn Notional Amount is required to make such payment pursuant to the CDS Payment Priority; or

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(3) to pay any CDS Issuer Termination Payment (other than a CDS Subordinated Issuer Termination Payment) due and payable to a CDS Counterparty as and to the extent an Advance Swap Draw on the Advance Swap Undrawn Notional Amount is required to make such payment pursuant to the CDS Payment Priority. The Issuer (or the Trustee on behalf of the Issuer) will make the Advance Swap Draws on the Advance Swap Undrawn Notional Amount by delivering a notice substantially in the form required pursuant to the Advance Swap (an "Advance Swap Draw Notice") for settlement not less than three (3) Business Days following the delivery of such Advance Swap Draw Notice (such settlement date, the "Advance Swap Draw Date"). Each Advance Swap Draw Notice shall be delivered via facsimile or electronic mail in accordance with the terms of the Advance Swap. The Advance Swap Counterparty will fund each Advance Swap Draw on the related Advance Swap Draw Date by wire transfer of immediately available funds to the Synthetic Reserve Account in accordance with the instructions set forth in the Advance Swap Draw Notice not later than 11:00 a.m. of the Advance Swap Draw Date. The aggregate of all Advance Swap Draws shall not exceed the Advance Swap Notional Amount. Commitment Fees and Drawing Fees Pursuant to the Advance Swap, the Issuer will pay to the Advance Swap Counterparty a commitment fee (the "Advance Swap Commitment Fee") that will accrue and be payable monthly on each monthly Payment Date at a rate equal to 0.13% per annum (the "Advance Swap Commitment Fee Rate") on the Average Undrawn Advance Swap Amount for each Interest Period. The Advance Swap Commitment Fee will be payable subject to and in accordance with the Priority of Payments; provided that no Advance Swap Commitment Fee amount will accrue or be payable for any period in which the Advance Swap Counterparty is in default of its obligations to fund an Advance Swap Draw. The Advance Swap Commitment Fee will be calculated based upon the Average Undrawn Advance Swap Amount multiplied by the Advance Swap Commitment Fee Rate multiplied by the actual number of days during each applicable Interest Period divided by 360. The Advance Swap Commitment Fee that is due on any Monthly Payment Date will be paid in accordance with the Priority of Payments prior to the payment of any interest that is due and payable on such Monthly Payment Date in respect of the Notes. Any Advance Swap Commitment Fee that is accrued but unpaid on any Payment Date in accordance with the Priority of Payments will accrue interest thereon at a rate equal to Advance Swap Drawing Fee Rate (subject to the above provisions on default and nonaccrual if the Advance Swap Counterparty is in default under the Advance Swap). "Average Undrawn Advance Swap Amount" for any Interest Period is (x) the sum of the amount of the Advance Swap Undrawn Notional Amount for each day during the Interest Period divided by (y) the actual number of days in the Interest Period. A drawing fee (the "Advance Swap Drawing Fee") will accrue and be payable by the Issuer to the Advance Swap Counterparty monthly on each Monthly Payment Date at a rate equal to one-month LIBOR plus 0.40 percent per annum or, if an Event of Default has occurred and is continuing, one-month LIBOR plus 1.00 percent per annum (the "Advance Swap Drawing Fee Rate") on the Average Used Advance Swap Amount for each Interest Period. The Advance Swap Drawing Fee will be payable to the Advance Swap Counterparty subject to and in accordance with the Priority of Payments; provided that the Advance Swap Drawing Fee will accrue for any period in which the Advance Swap Counterparty is in default of its obligations to fund an Advance Swap Draw under the Advance Swap. However, such Advance Swap Drawing Fees will not be paid to the Advance Swap Counterparty during the continuance of such default and shall be retained by the Trustee, which shall deposit any such retained amounts in any related Advance Swap Mandatory Draw Reserve Account. The Advance Swap Drawing Fee will be calculated based upon the Average Used Advance Swap Amount multiplied by the Advance Swap Drawing Fee Rate multiplied by the actual number of days during each applicable Interest Period divided by 360. The Advance Swap Drawing Fee that is due on any Monthly Payment Date will be paid in accordance with the Priority of Payments prior to the payment of any interest that is due and payable on such Monthly Payment Date in respect of the Notes. Any Advance Swap Drawing Fee that is accrued but unpaid on any Monthly Payment Date in accordance with the Priority of Payments will accrue interest thereon at a rate equal to Advance Swap Drawing Fee Rate (subject to the above provisions on default and non-accrual if the Advance Swap Counterparty is in default under the Advance Swap). "Average Used Advance Swap Amount" for any Interest Period is (x) the sum of the amount of the Used Advance Swap Amount for each day during the Interest Period divided by (y) the actual number of days in the Interest Period.

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Repayment of Draws On each Quarterly Payment Date, the Issuer is required to make repayments in respect of the Used Advance Swap Amount (the "Advance Swap Repayment Amount") in amounts determined in accordance with the Used Advance Swap Repayment Amount Priority and the Priority of Payments. The Advance Swap Notional Amount will be permanently reduced by the amount of any Advance Swap Repayment Amounts. The "Used Advance Swap Repayment Amount Priority" shall mean: (i) first, Collateral Principal Collections on deposit in the Collection Account or Eligible Investments as of such date purchased with Collateral Principal Collections (whether or not available in cash) will be liquidated and such cash and/or sale proceeds (other than investment earnings thereon) will be paid to the Advance Swap Counterparty until the Outstanding Principal Draw Amount is reduced to zero; second, if the Outstanding Principal Draw Amount has not been reduced to zero, Reserve Investments on deposit in the Synthetic Reserve Account as of such date (whether or not available in cash, but excluding any Reserve Investments being traded below par) will be liquidated and the sale proceeds thereof (other than investment earnings thereon) will be paid to the Advance Swap Counterparty until the Outstanding Principal Draw Amount is reduced to zero; third, if the Outstanding Principal Draw Amount has not been reduced to zero, Eligible Synthetic Collateral Assets on deposit in the Synthetic Asset Collateral Account as of such date (whether or not available in cash, but excluding any Eligible Synthetic Collateral Assets being traded below par) will be liquidated and the sale proceeds thereof (other than investment earnings thereon) will be paid to the Advance Swap Counterparty until the Outstanding Principal Draw Amount is reduced to zero; and fourth, if the Outstanding Principal Draw Amount has not been reduced to zero, transfer to or at the direction of the Advance Swap Counterparty one or more Reserve Investments remaining in the Synthetic Reserve Account and/or Eligible Synthetic Collateral Assets on deposit in the Synthetic Asset Collateral Account in an aggregate par amount up to the remaining Outstanding Principal Draw Amount (with respect to which Reserve Investments or Eligible Synthetic Collateral Assets, as the case may be, those with the shortest average life will be transferred or delivered first);

(ii)

(iii)

(iv)

provided that, following the calculation of Available Funds on each Calculation Date, such Available Funds will not be available for Advance Swap Repayment Amounts until after such Available Funds have been applied in accordance with the Priority of Payments on the relevant Payment Date. Mandatory Draw Upon the occurrence of certain downgrade events with respect to the Advance Swap Counterparty or a failure to fund an Advance Swap Draw, the Advance Swap Counterparty may be required to immediately fund the Advance Swap Undrawn Notional Amount. Provided that no Event of Default with respect to the insolvency of the Issuer shall have occurred and be continuing, a mandatory draw (the "Advance Swap Mandatory Draw") in an amount equal to the Advance Swap Undrawn Notional Amount shall become due and payable without any notice or further action on the part of the Issuer or any other Person upon (i) the Advance Swap Counterparty's failure to fund any Advance Swap Draw or (ii) the occurrence and continuance of an Advance Swap Ratings Event for a period of 30 days. Any Advance Swap Mandatory Draw shall be deposited into the Advance Swap Mandatory Draw Reserve Account. The Trustee shall withdraw amounts in the Advance Swap Mandatory Draw Reserve Account in order to fund any Advance Swap Draws during any period that the Advance Swap Counterparty is required to make an

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

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

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

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

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

the Aggregate Outstanding Amount of Rated Notes of each Class whose Holders' consent is required for any such action or to provide that other provisions of the Indenture cannot be modified or waived without the written consent of the Holders of 75% or more of the aggregate principal amount of each affected Class of Rated Notes Outstanding, (vii) modify the definition of the terms "Eligible Investments", "Synthetic Assets", "Eligibility Criteria", "Outstanding" or terms related thereto or the Priority of Payments set forth in the Indenture, (viii) modify any of the provisions of the Indenture in such a manner as to affect the calculation of the amount of any payment of interest or principal of any Rated Note on any Monthly Payment Date or Quarterly Payment Date, as applicable, or to affect the right of the Holders of Rated Notes to the benefit of any provisions for the redemption of such Rated Notes contained therein, (ix) make modifications to facilitate new Hedge Agreements, (x) modify provisions related to the bankruptcy or insolvency of the Co-Issuers, (xi) modify provisions stating that the obligations of the Co-Issuers are joint and several limited recourse obligations of the Co-Issuers payable solely from the Collateral in accordance with the terms of the Indenture or (xii) modify the terms of the Advance Swap or the Class A-1R Note Purchase Agreement (items (i) through (xii) collectively, the "Reserved Matters"). If any Class of Rated Notes is then rated by any Rating Agency, the Trustee shall not enter into any such supplemental indenture if, as a result of such supplemental indenture, Rating Agency Confirmation would not be received with respect to such supplemental indenture, unless each Holder of Rated Notes of each Class whose rating will be reduced or withdrawn has, after notice that the proposed supplemental indenture would result in such reduction or withdrawal of the rating of the Class of Rated Notes held by such Holder, consented to such supplemental indenture. The Co-Issuers and the Trustee may also enter into supplemental indentures, without obtaining the consent of any Holders of the Rated Notes, the Hedge Counterparties or the Income Noteholders to: (i) evidence the assumption by any such successor of the covenants of the Co-Issuers with respect to the Rated Notes or the Indenture, (ii) add to the covenants of the Co-Issuers or the Trustee for the benefit of the Holders of the Rated Notes, (iii) add to the conditions, limitations or restrictions on the authorized amount, terms and purposes of the issue, authentication and delivery of the Rated Notes, (iv) effect the appointment of a successor Trustee, (v) take any action necessary or advisable to prevent the Issuer, any Note Paying Agent or the Trustee 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 U.S. federal, state or local income tax on a net income tax basis; provided that such action will not cause Holders to experience any material change to the timing, character of source of income from the notes and will not be considered a significant modification resulting in an exchange for purposes of section 1.1001-3 of the U.S. Treasury regulations, (vi) modify the restrictions on and procedures for resale and other transfers of the Rated Notes in accordance with any change in any applicable law or regulation (or interpretation thereof) or enable the Co-Issuers to rely upon any less restrictive exemption from registration under the Securities Act or the Investment Company Act (in addition to that provided under Section 3(c)(7) thereunder) or remove restrictions on resale and transfer to the extent not required thereunder; (vii) grant, convey, transfer, assign, mortgage or pledge any property to or with the Trustee in accordance with the Indenture; (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 unto the Trustee any property subject to the lien of the Indenture; (ix) make any change required by the stock exchange on which any Class of Rated Notes is listed, if any, in order to permit or maintain such listing; (x) otherwise correct, amend, cure any ambiguity, defect, manifest error or inconsistency or correct any typographical error in the Indenture; (xi) modify the Indenture to conform to the Prospectus for the Rated Notes; (xii) modify any provision (other than in respect of a Reserved Matter) that the Issuer or the Collateral Manager determines to be necessary or desirable in order for the Co-Issuers to maintain any desired exemption from registration of the CoIssuers under the Investment Company Act or of the offer of the Notes under the Securities Act; (xiii) with the consent of the Collateral Manager and a Majority of the Controlling Class, to modify the calculation of the Collateral Quality Tests, the Portfolio Percentage Limitations and the definitions applicable thereto to correspond with published or written changes in the guidelines, methodology or standards established by the Rating Agencies; or (xiv) agree to any modification of the Indenture or any other Transaction Document (other than in respect of a Reserved Matter), which is determined by the Trustee to be proper to make if the Trustee determines (based solely upon an opinion of counsel) that such modification will not have a material adverse effect on the interests of Holders of any Class or Classes of Rated Notes and which is of a formal, minor or technical nature or is to correct a manifest error; provided that in any such case, Rating Agency Confirmation is received from S&P and such supplemental indenture would not cause the then-current rating on the Rated Notes to be reduced or withdrawn. The Trustee shall not enter into any supplemental indenture otherwise permitted without the consent of the Holders of Notes if the interests of any Holder of Rated Notes or the Income Noteholders would be materially and 88

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

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

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

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

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

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

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

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

No purchase of Collateral Debt Assets may be made unless certain procedures relating to the perfection of the Trustee's security interest in the Substitute Collateral Debt Assets have taken place and no Event of Default shall have occurred and be continuing. Measurement of the degree of compliance with the Reinvestment Criteria will be required on any Measurement Date. Discretionary Sales In addition to the sale and reinvestment of Defaulted Assets, Equity Securities, Credit Improved Assets and Credit Risk Assets as provided herein, so long as (a) no Event of Default under the Indenture, Class A-1R Commitment Termination Event or Termination Event under the Advance Swap has occurred and is continuing, (b) the Class A Principal Coverage Test has been satisfied and (c) Moody's has not withdrawn or reduced its (i) longterm ratings of any Class A Notes by one or more rating subcategory since the Closing Date (unless it subsequently has been upgraded or reinstated to at least the rating assigned on the Closing Date) or (ii) long term ratings of any Class B Notes or Class C Notes by two or more rating subcategories since the Closing Date (unless it subsequently has been upgraded or reinstated to at least one rating subcategory below the rating assigned on the Closing Date), the Collateral Manager may direct the disposition of any Collateral Debt Asset during the Interest-Only Period that is not a Defaulted Asset, Equity Security, Credit Risk Asset or Credit Improved Asset so long as (x) the Aggregate Principal Balance of all such Collateral Debt Assets sold (excluding any required sales of Taxed Collateral Debt Assets, Margin Stock, Equity Securities and Deliverable Obligations that do not satisfy clause (f) of the Eligibility Criteria) does not exceed during any calendar year, if at any time of such sale: (i) if the Class C Principal Coverage Ratio is greater than 100.25% and the Moodys Weighted Average Rating Factor is less than 85, then 25.00%; (ii) if the the Class C Principal Coverage Ratio is equal to or less than 100.25% and the Moodys Weighted Average Rating Factor is less than 85, then 12.50% and (iii) if the Class C Principal Coverage Ratio is equal to or less than 100% or the Moodys Weighted Average Rating Factor is greater than 85, then 0% of the Collateral Principal Balance at the beginning of that year (or, in the case of the year in which the Closing Date occurs, the Collateral Principal Balance as of the Effective Date) and (y) in the sole judgment of the Collateral Manager, (A) if the Principal Coverage Amount is less than the Aggregate Effective Date Par Amount, the Collateral Manager reasonably believes that it will be able, no later than thirty (30) days thereafter, to invest, or enter into commitments to invest, the Sale Proceeds from the sale of such Collateral Debt Asset in one or more items of Substitute Collateral Debt Assets having an aggregate Principal Balance equal to or greater than the Principal Balance of such Collateral Debt Asset to be sold and (B) the Reinvestment Criteria would be satisfied after giving effect to such sale and subsequent purchase described in (y)(A) above. In determining the annual trading limit set forth above, the sale of any Collateral Debt Asset that is a debt obligation and the contemporaneous acquisition of a Synthetic Asset, the Aggregate CDS Asset Notional Amount for which is the debt obligation sold, (or vice versa) will not be included for purposes of calculating such annual trading limit. Temporary Investment of Collateral Principal Collections If, at the time of sale of any Collateral Debt Assets, the Collateral Manager is not required to and has not identified Substitute Collateral Debt Assets for purchase, Collateral Principal Collections may be reinvested in Eligible Investments on a temporary basis, pending reinvestment in Substitute Collateral Debt Assets or such amounts may be used to pay principal on the Class A-1R Notes (and such payment shall not reduce the Aggregate Class A-1R Commitment). Unless so designated by the Collateral Manager, such Eligible Investments will not constitute Collateral Principal Collections which must be applied in accordance with the Priority of Payments if such sale occurred (i) within 30 Business Days prior to the Calculation Date for a Credit Risk Asset and (ii) within 90 days prior to the Calculation Date for a Defaulted Asset so long as the Coverage Tests were satisfied immediately prior to the sale of such Defaulted Asset.

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

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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 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; provided, however, that reimbursements in respect of Writedowns and Failures to Pay Principal will first be applied to any previous payment amounts calculated but not paid by the Issuer to the CDS Asset Counterparty due to any insufficiency of the amounts available from the Synthetic Reserve Account, the Synthetic Asset Collateral Account, the Class A-1R Note Undrawn Amount or the Advance Swap Undrawn Notional Amount. The obligation of the CDS Asset Counterparty to pay such reimbursement amounts will apply to any reimbursement made under the governing instruments for the related Reference Obligation on or prior to the day that is one calendar year after the date on which such Reference Obligation is deleted or the related CDS Asset is terminated. 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 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 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 Reference Obligation from the related CDS Asset or otherwise affect the treatment of such Reference Obligation under the CDS Asset (except that the notional amount of such Reference Obligation will be reduced by the amount of such payment). 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 notional amount of the related Reference Obligation (a "Physical Settlement Amount") in exchange for the delivery by the CDS Asset Counterparty to the Issuer of such Reference Obligation (the "Deliverable Obligation"). The affected 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 Aggregate CDS Asset Notional Amount of the affected Reference Obligation, in which case only such portion of the notional amount will be deleted. The Issuer will make payments of Floating Amounts and Physical Settlement Amounts under each Synthetic Asset at any time, first from amounts in the Synthetic Reserve Account and the Synthetic Asset Collateral Account, then from drawing on the Class A-1R Notes (to the extent of any available Class A-1R Commitment) and from Collateral Principal Collections (in such order as the Collateral Manager may determine in its sole discretion), and last from draws on the Advance Swap Undrawn Notional Amount; provided payments of interest shortfalls shall first be paid from the Synthetic Reserve Account and the Synthetic Asset Collateral Account, then shall next be paid by drawing on the Class A-1R Notes and from Collateral Interest Collections (in such order as the Collateral Manager may determine in its sole discretion), and shall last be paid by drawing on the Advance Swap Undrawn Notional Amount. Except upon maturity or redemption, the Issuer may not liquidate any Collateral Debt Assets or Deliverable Obligations to make payments to the CDS Asset Counterparty. 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. If the Issuer is required to make a Termination Payment, the amount available to pay to the Noteholders may be reduced. Early termination of the CDS Asset will not relieve the Issuer of its obligation to use proceeds from the liquidation of Collateral Debt Assets and Deliverable Obligations at maturity or redemption to pay any unpaid amounts owing to the CDS Asset Counterparty. See "Risk FactorsSynthetic Assets".

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

(vii) an account designated as the "Class A-1R Notes Allocation Account" (the " Class A-1R Notes Allocation Account"); (viii) with respect to the Short CDS Assets, the account designated as the "Short CDS Assets Reserve Account" (the "Short CDS Assets Reserve Account"); (ix) with respect to the Synthetic Assets, the account designated as the "Synthetic Asset Collateral Account" (the "Synthetic Asset Collateral Account"); (x) if required by the terms of a Synthetic Asset, the Accountholder may also establish an account designated as the "Synthetic Asset Issuer Account" (the "Synthetic Asset Issuer Account"); and

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(xi) Account").

an account designated as the "Synthetic Reserve Account" (the "Synthetic Reserve

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

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

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

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

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

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

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

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

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

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THE COLLATERAL MANAGER The Collateral Manager accepts responsibility for the information contained in this section and to the best of their knowledge the information is in accordance with the facts and does not omit anything likely to affect the import of such information. The information appearing in this section has been prepared by the Collateral Manager and has not been independently verified by the Initial Purchaser or the Issuer. Neither the Initial Purchaser nor the Issuer assumes any responsibility for the accuracy, completeness or applicability of such information. General Certain management, administrative and advisory functions with respect to the Collateral will be performed by Elliott Structured Products LLC, a Delaware limited liability company ("Elliott"), as the Collateral Manager under a Collateral Management Agreement between the Issuer and Elliott dated as of the Closing Date (the "Collateral Management Agreement"). The Collateral Manager will perform its duties in accordance with the requirements set forth in the Indenture and in accordance with the provisions of the Collateral Management Agreement. The Collateral Manager may be subject to certain conflicts of interest. See "Risk Factors Potential Conflicts of Interest Involving the Collateral Manager". Elliott Structured Products LLC The Collateral Manager was organized in 2005. It is owned by a subsidiary of Elliott Associates, L.P., which was founded in 1977 (together with Elliott International, L.P., a fund under common management, the "Elliott Funds"). The Elliott Funds, which are multi-strategy hedge funds, had, as of July 1, 2006, aggregate capital under management in excess of $6.7 billion. It is currently expected that one or more Affiliates of Elliott will purchase in the aggregate on the Closing Date a Majority of the Income Notes. Elliott or its Affiliates may in the future purchase Rated Notes or additional Income Notes, but will not have any obligation to do so. Elliott and its Affiliates may sell any or all of the Notes they own at any time to related or unrelated parties. See also "Risk Factors Potential Conflicts of Interest Involving the Collateral Manager" for other possible conflicts of Elliott. Key Personnel Set forth below is information regarding the background, principal responsibilities and other affiliations of certain of the principal officers of the Collateral Manager and certain other persons who will be primarily responsible for performing the duties of the Collateral Manager. In addition to their listed capacities with the Collateral Manager, these individuals are currently employed by Elliott Management Corporation in its Structured Products team. Elliott Management Corporation is a Delaware corporation under common control with the Elliott Funds, which provides certain management functions for the Elliott Funds pursuant to contract. Elliott Management Corporation will also be providing support services to the Collateral Manager. Although the persons described below are currently employed by Elliott Management Corporation, such persons may not necessarily continue to be so employed during the entire term of the Collateral Management Agreement and if so employed, may not necessarily continue to be responsible for performing any of the functions of the Collateral Manager related to the Collateral. Steve Kasoff, Head of Structured Products Mr. Kasoff, a Managing Director and Chief Investment Officer of the Collateral Manager, began the Structured Products team upon joining Elliott Management Corporation in 2003. Initially focused on the CDO market, his strategy expanded to include RMBS, ABS, credit default swaps, and "correlation" products. Prior to joining Elliott Management Corporation, Mr. Kasoff spent over four years as a senior member of Deutsche Bank's

The information contained herein about the Elliott Funds is for background purposes only and is not intended to constitute an offering of interests in the Elliott Funds.

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

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THE COLLATERAL MANAGEMENT AGREEMENT The following summary describes certain provisions of the Collateral Management 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 Collateral Management Agreement. General Certain advisory and administrative functions with respect to the Collateral will be performed by the Collateral Manager under a Collateral Management Agreement to be entered into between the Issuer and the Collateral Manager (the "Collateral Management Agreement"). Pursuant to the terms of the Collateral Management Agreement, the Collateral Manager will (i) select all Collateral Debt Assets to be acquired by the Issuer and all Eligible Investments to be acquired by the Issuer, monitor the Collateral Debt Assets and provide the Issuer, with the assistance of LaSalle, in its capacity as the collateral administrator under the Collateral Administration Agreement, certain information with respect to the composition and characteristics of the Collateral Debt Assets, any disposition or tender of a Collateral Debt Asset, the reinvestment of the proceeds of any such disposition in Eligible Investments and with respect to the retention of the proceeds of any such disposition or the application thereof toward the purchase of an additional Collateral Debt Asset and (ii) advise the Issuer with respect to interest rate risk management and perform certain related functions such as the selection, negotiation and management of the Initial Interest Rate Hedge Agreement and any other Hedge Agreements. Certain administrative duties of the Issuer will be performed for the Issuer, or the Collateral Manager on behalf of the Issuer, with respect to the Collateral, including the performance of certain calculations with respect to each of the Reinvestment Criteria by the Collateral Administrator and the Collateral Manager under the Collateral Administration Agreement. The Collateral Manager will also provide the Issuer and the Trustee with certain information, on a monthly basis, with respect to the composition and characteristics of Collateral Debt Assets in the Collateral. In addition, the Collateral Manager will notify the Trustee and the Issuer when it receives notice that any such Collateral Debt Asset is subject to an offer and instruct the Trustee whether to retain, dispose of or tender such Collateral Debt Asset. In addition, if any Collateral Debt Asset in the Collateral is a Defaulted Asset, the Collateral Manager will instruct the Trustee as to the appropriate action to be taken against the issuer of such Collateral Debt Asset and whether to retain or dispose of such Collateral Debt Asset. See "Security for the NotesSubstitute Collateral Debt Assets and Reinvestment Criteria". Upon any offer or other disposition of a Collateral Debt Asset in the Collateral, the Trustee, upon written direction of the Collateral Manager, will either deposit the proceeds of such offer or disposition in the Collection Account, hold the security received as a result of such offer as part of the Collateral, sell the security received pursuant to such offer or disposition and thereafter deposit such proceeds in the Collection Account, or apply the proceeds of such disposition to the purchase of a Substitute Collateral Debt Asset, all in accordance with the terms of the Indenture. Any such actions directed by the Collateral Manager may change the composition and characteristics of the Collateral Debt Assets included in the Collateral and the rate of payment thereon, and, accordingly, may affect the actual average lives of the Notes of any Class and the date of redemption of the Income Notes. The Indenture places significant restrictions on the Collateral Manager's ability to advise the Issuer to buy and sell securities for the Collateral, and the Collateral Manager is subject to compliance with such restrictions. Accordingly, during certain periods or in certain specified circumstances, the Issuer may be unable to buy or sell securities or to take other actions, which the Collateral Manager might consider in the best interests of the Issuer and the Securityholders as a result of the restrictions contained in the Indenture. See "Risk FactorsPotential Conflicts of Interest Involving the Collateral Manager". The Collateral Manager may direct the Trustee to purchase a Collateral Debt Asset or Eligible Investment from, or sell a Collateral Debt Asset or Eligible Investment to, the Collateral Manager or any of its Affiliates as principal or any account or portfolio managed or advised by the Collateral Manager or any of its Affiliates as principal (the "Collateral Manager Parties"); provided that (i) the board of directors of the Issuer will have received from the Collateral Manager such information relating to such purchase or sale as it may reasonably require and will have approved such purchase or sale and the price in advance and (ii) if a Collateral Debt Asset is purchased from or 112

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

(c) (d)

(e)

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(f)

the taking of any action by the Collateral Manager or its Affiliates that constitutes fraud or criminal activity in the performance of the Collateral Manager's obligations under the Collateral Management Agreement; the occurrence of a Key Manager Event; and the occurrence and continuation of a Class A Coverage Failure without a cure thereof for 30 days following delivery of a Coverage Cause Removal Notice from the Controlling Class to the Collateral Manager.

(g) (h)

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

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

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

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occurs with respect to such replacement person, the Collateral Manager may in its discretion propose a different replacement person. At any time that a Key Manager Departure has not occurred (or at any time after a Key Manager Departure Cure has been effected), the Collateral Manager may, in its sole discretion, propose additional Key Managers; provided that the total numbers of Key Managers shall not at any time exceed four. The Collateral Manager shall propose such additional Key Managers by written notice to the Controlling Class and the Designated Financial Provider. If the Controlling Class replies to the Collateral Manager with its approval, then such proposed additional person shall become a Key Manager as of the next succeeding Business Day after such approval. Any non-response by the Controlling Class within 20 days shall be treated as a Controlling Class Non-Approval. If a Controlling Class Non-Approval occurs with respect to such replacement person, the Collateral Manager may in its discretion propose a different additional Key Manager. Limitation of Liability; Indemnity Neither the Collateral Manager, nor any of its Affiliates or its or their respective directors, officers, agents, stockholders, partners or employees will be liable to the Issuer, the Trustee, the Income Note Fiscal Agent, the Holders of the Notes or any other person for acts or omissions of the Collateral Manager, or any Affiliates or its or their respective directors, officers, agents, stockholders, partners or employees, under or in connection with the Collateral Management Agreement, the Indenture or the Fiscal Agency Agreement, except by reason of acts or omissions constituting bad faith, willful misconduct or gross negligence in the performance, or reckless disregard, of the duties of the Collateral Manager under the Collateral Management Agreement or the Indenture. The Issuer will indemnify the Collateral Manager and its Affiliates and their respective directors, officers, agents, stockholders, partners and employees from and against any and all expenses, losses, damages, judgments, assessments, costs, demands, charges, claims or other liabilities of any nature whatsoever (including reasonable attorneys' fees) in respect of or arising from acts or omissions made in good faith in the performance of the duties of the Collateral Manager under the Collateral Management Agreement and the terms of the Indenture applicable to it and not constituting bad faith, willful misconduct, gross negligence or reckless disregard of its duties under the Collateral Management Agreement and the terms of the Indenture applicable to it. Compensation of the Collateral Manager As compensation for the performance of its obligations under the Collateral Management Agreement, the Collateral Manager will be entitled to receive the Senior Collateral Management Fee and the Subordinate Collateral Management Fee (collectively, the "Collateral Management Fee"). The Collateral Management Fee will be payable on each Quarterly Payment Date to the extent of the funds available for such purpose in accordance with the Priority of Payments. The Senior Collateral Management Fee payable on any Quarterly Payment Date will be payable prior to payments of interest or principal on the Notes, and will be payable prior to distributions on the Income Notes and will accrue from the Closing Date at a rate of 0.05% per annum of the Fee Basis Amount. The Subordinate Collateral Management Fee payable on any Quarterly Payment Date will be payable from funds remaining after payment of interest (and, if required, principal) on the Notes and will accrue for each Due Period at a rate of 0.03% per annum of the Fee Basis Amount. The Senior Collateral Management Fee and the Subordinate Collateral Management Fee will be calculated on the basis of a 360-day year and twelve 30-day months. The Collateral Manager may waive any portion or all of any Subordinate Collateral Management Fee payable on any Quarterly Payment Date at its sole discretion. Any such waiver, however, shall only apply to the applicable Quarterly Payment Date. The Senior Collateral Management Fee and the Subordinate Collateral Management Fee will accrue if unpaid or waived (but without the accrual of any interest thereon) and be payable on the next Quarterly Payment Date on which funds are available therefor in accordance with the Priority of Payments. The Collateral Manager will be responsible for its own expenses incurred in the course of performing its obligations under the Collateral Management Agreement; provided, however, that the Collateral Manager will not be liable, among other things, for the following expenses and costs: (a) legal advisers, accountants, auditors, recordkeepers and other professionals retained by the Issuer (or by the Collateral Manager on the Issuer's behalf), including, without limitation, fees and expenses of Rating Agencies incurred in connection with obtaining ratings for 117

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

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

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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 NONE OF THE ISSUER, THE CO-ISSUER OR THE POOL OF COLLATERAL 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 RESTRICTIONS, CERTIFICATIONS AND OTHER REQUIREMENTS SPECIFIED IN THE INDENTURE (i) TO A TRANSFEREE (a) THAT IS A QUALIFIED PURCHASER PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED PURCHASER IN A TRANSACTION THAT WOULD NOT CAUSE THE ISSUER, THE CO-ISSUER OR THE POOL OF COLLATERAL TO BE REQUIRED TO BE REGISTERED UNDER THE INVESTMENT COMPANY ACT, (b)(1) THAT WAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER, (2) THAT IS NOT A PARTNERSHIP, COMMON TRUST FUND, 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, (3) IF IT WOULD BE AN INVESTMENT COMPANY BUT FOR THE EXCEPTION IN SECTION 3(c)(1) OR SECTION 3(c)(7) OF THE INVESTMENT COMPANY ACT, WHOSE INVESTMENT IN THE INCOME NOTES AND ANY RATED NOTES DOES NOT EXCEED 40% OF ITS TOTAL ASSETS AND (4) THAT IT DID NOT SPECIFICALLY SOLICIT ADDITIONAL CAPITAL OR SIMILAR CONTRIBUTIONS FROM ANY PERSON OWNING AN EQUITY OR SIMILAR INTEREST IN IT FOR THE PURPOSE OF ENABLING IT TO PURCHASE THE INCOME NOTES, IN EACH CASE, EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER, (c) THAT (1) HAS RECEIVED THE NECESSARY CONSENT FROM ITS BENEFICIAL OWNERS IF THE PURCHASER IS A PRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996, (2) 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, (3) IS NOT A SPECIAL TRUST, PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN IN WHICH THE BENEFICIARIES OR PARTICIPANTS MAY DESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE AND (4) AGREES TO PROVIDE NOTICE TO ANY SUBSEQUENT TRANSFEREE OF THE TRANSFER RESTRICTIONS PROVIDED IN THIS LEGEND AND (d) THAT IS (1) A PERSON WHOM THE SELLER REASONABLY BELIEVES IS A "QUALIFIED INSTITUTIONAL BUYER" AS DEFINED IN RULE 144A 120

UNDER THE SECURITIES ACT (A "QUALIFIED INSTITUTIONAL BUYER") PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER IN COMPLIANCE WITH RULE 144A UNDER THE SECURITIES ACT OR (2) AN "ACCREDITED INVESTOR" AS DEFINED IN RULE 501(a) UNDER THE SECURITIES ACT (AN "ACCREDITED INVESTOR") OR (ii) TO A TRANSFEREE THAT IS NOT A U.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, IN THE CASE OF CLAUSES (i) AND (ii), IN A PRINCIPAL AMOUNT, WITH RESPECT TO EACH CLASS OF RATED NOTES OF NOT LESS THAN U.S.$250,000 FOR THE PURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING. EACH PURCHASER OR TRANSFEREE OF THIS NOTE WILL BE DEEMED TO HAVE MADE THE REPRESENTATIONS AND AGREEMENTS SET FORTH IN THE INDENTURE. "QUALIFIED PURCHASER" MEANS ANY PERSON THAT IS (i) A "QUALIFIED PURCHASER" AS DEFINED IN SECTION 2(a)(51) OF THE INVESTMENT COMPANY ACT AND THE RULES THEREUNDER, OR (ii) A "KNOWLEDGEABLE EMPLOYEE" WITH RESPECT TO THE ISSUER AS DEFINED IN RULE 3c-5 UNDER THE INVESTMENT COMPANY ACT OR (iii) A COMPANY BENEFICIALLY OWNED EXCLUSIVELY BY ONE OR MORE "QUALIFIED PURCHASERS" AND/OR "KNOWLEDGEABLE EMPLOYEES" WITH RESPECT TO THE ISSUER. IF THE TRANSFER OF NOTES IS TO BE MADE TO AN ACCREDITED INVESTOR, THE TRANSFEREE OF THE NOTES WILL BE REQUIRED TO EXECUTE AND DELIVER TO THE ISSUER AND THE TRUSTEE A TRANSFER CERTIFICATE IN THE FORM ATTACHED TO THE INDENTURE, STATING THAT, AMONG OTHER THINGS, THE TRANSFEREE IS A QUALIFIED PURCHASER AND AN ACCREDITED INVESTOR PURCHASING FOR ITS OWN ACCOUNT AND HAS PROVIDED AN OPINION OF COUNSEL TO EACH OF THE TRUSTEE AND THE ISSUER THAT SUCH TRANSFER MAY BE MADE PURSUANT TO AN EXEMPTION FROM REGISTRATION UNDER THE SECURITIES ACT IF SO REQUIRED BY THE TRUSTEE OR THE ISSUER. 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 HOLDERS NOT ELIGIBLE TO PURCHASE SUCH INTEREST IN ACCORDANCE WITH AND SUBJECT TO THE TERMS OF THE INDENTURE. 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 121

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

("ERISA"), A "PLAN" AS DEFINED IN SECTION 4975(e)(1) OF, AND SUBJECT TO, THE U.S. INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), OR AN ENTITY WHICH IS DEEMED TO HOLD THE ASSETS OF ANY SUCH PLAN PURSUANT TO 29 C.F.R. SECTION 2510.3-101, WHICH EMPLOYEE BENEFIT PLAN, PLAN OR ENTITY IS SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE, OR (B) ITS PURCHASE AND HOLDING OF SUCH NOTE IS AND WILL NOT RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE. To be included for the Class C Notes offered in reliance on Rule 144A: EACH ORIGINAL PURCHASER AND EACH TRANSFEREE OF THIS NOTE WILL BE REQUIRED TO REPRESENT AND AGREE THAT, EXCEPT AS EXPRESSLY PROVIDED BELOW IN THE CASE OF CERTAIN INSURANCE COMPANY GENERAL ACCOUNTS, IT IS NOT AND WILL NOT BE A BENEFIT PLAN INVESTOR WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101. AN INSURANCE COMPANY ACTING ON BEHALF OF ITS GENERAL ACCOUNT REPRESENTS AND AGREES THAT (i) THE PERCENTAGE OF THE ASSETS IN ITS GENERAL ACCOUNT THAT MAY BE OR BECOME PLAN ASSETS DOES NOT AND SHALL NOT EXCEED 25%, (ii) PROHIBITED TRANSACTION EXEMPTION 95-60 ISSUED BY THE UNITED STATES DEPARTMENT OF LABOR APPLIES TO EXEMPT THE PURCHASE AND HOLDING OF THIS NOTE FROM THE PROHIBITED TRANSACTION PROVISIONS OF ERISA AND SECTION 4975 OF THE CODE, AND (iii) IT IS NOT AND WILL NEVER BECOME (A) A PERSON (OTHER THAN A BENEFIT PLAN INVESTOR) THAT HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR (B) A PERSON THAT PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY "AFFILIATE" (AS DEFINED IN 29 C.F.R. 2510.3-101(f)(3)) OF ANY SUCH PERSON (A "CONTROLLING PERSON"). "BENEFIT PLAN INVESTOR" MEANS ANY (i) "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA), THAT IS SUBJECT TO TITLE I OF ERISA, (ii) "PLAN" (AS DEFINED IN SECTION 4975(e)(l) OF THE CODE), THAT IS SUBJECT TO SECTION 4975 OF THE CODE, OR (iii) ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCH ENTITY, INCLUDING, WITHOUT LIMITATION, AS APPLICABLE, AN INSURANCE COMPANY GENERAL ACCOUNT. FURTHER, NO SALE OR TRANSFER OF THESE NOTES (OR ANY INTEREST HEREIN) MAY BE MADE UNLESS SUCH SALE OR TRANSFER WILL BE MADE TO A TRANSFEREE PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A PERSON WHICH, IN EACH CASE, EXCEPT AS EXPRESSLY PERMITTED ABOVE, IS NOT AND, WHILE SUCH NOTES ARE HELD BY SUCH TRANSFEREE OR PERSON, WILL NOT BE, A BENEFIT PLAN INVESTOR. IN ADDITION, EXCEPT AS EXPRESSLY PERMITTED ABOVE, EACH INITIAL PURCHASER AND TRANSFEREE OF AN INTEREST IN THE NOTES REPRESENTED HEREBY REPRESENTS TO THE ISSUER, THE 123

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

To be included for all the Global Notes other than Class A-1R Notes: ANY TRANSFER, PLEDGE OR OTHER USE OF THIS NOTE FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN, UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY ("DTC"), NEW YORK, NEW YORK, TO THE CO-ISSUERS OR THEIR AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR OF SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADE TO CEDE & CO.). 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. In addition, the Class B Notes and the Class C Notes, to the extent issued with original issue discount, shall bear the following legend: THIS NOTE HAS BEEN ISSUED WITH ORIGINAL ISSUE DISCOUNT ("OID") FOR U.S. FEDERAL INCOME TAX PURPOSES. INFORMATION RELATING TO THE ISSUE PRICE OF THE NOTE, THE AMOUNT OF OID ON THE NOTE, ITS ISSUE DATE AND THE YIELD TO MATURITY OF THE NOTE MAY BE OBTAINED FROM THE MANAGING DIRECTOR, U.S. CDOs OF CITIGROUP GLOBAL MARKETS AT (212) 723-6173 BEGINNING NO LATER THAN TEN (10) DAYS AFTER ITS ISSUANCE. To be included for the Certificated Class A-1R Notes: EACH ORIGINAL PURCHASER AND EACH TRANSFEREE OF THIS NOTE OR AN INTEREST THEREIN REPRESENTS AND WARRANTS THAT EITHER (A) IT IS NOT (AND FOR SO LONG AS IT HOLDS ANY NOTE OR INTEREST THEREIN WILL NOT BE), AND IS NOT ACTING ON BEHALF OF (AND FOR SO LONG AS IT HOLDS ANY NOTE OR INTEREST THEREIN WILL NOT BE ACTING ON BEHALF OF), AN "EMPLOYEE BENEFIT PLAN" AS DEFINED IN SECTION 3(3) OF, AND SUBJECT TO, THE U.S. EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA"), A "PLAN" AS DEFINED IN SECTION 4975(e)(1) OF, AND SUBJECT TO, THE U.S. INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), OR AN ENTITY WHICH IS DEEMED TO HOLD THE ASSETS OF ANY SUCH PLAN PURSUANT TO 29 C.F.R. SECTION 2510.3-101, WHICH EMPLOYEE BENEFIT PLAN, PLAN OR ENTITY IS SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE, OR (B) ITS PURCHASE AND HOLDING OF SUCH NOTE IS AND WILL NOT RESULT IN A NONEXEMPT PROHIBITED TRANSACTION UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE. PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH IN THE INDENTURE. ACCORDINGLY, THE OUTSTANDING PRINCIPAL OF THIS NOTE AT ANY TIME MAY BE LESS THAN THE AMOUNT SHOWN 125

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

contributions from any person owning an equity or similar interest in it for the purpose of enabling it to purchase the Income Notes, in each case, except when each beneficial owner of the purchaser is a Qualified Purchaser purchasing for its own account, (b) has received the necessary consent from its beneficial owners if the purchaser is a private investment company formed before April 30, 1996, (c) 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, (d) it is not a special trust, pension, profit sharing or other retirement trust fund or plan in which the beneficiaries or participants may designate the particular investments to be made, (e) will provide notice to any subsequent transferee of the transfer restrictions provided in the legend, (f) will hold and transfer in an amount of not less than, with respect to each Class of Rated Notes U.S.$250,000 for it or for each account for which it is acting and (g) will provide the Co-Issuers from time to time such information as it may reasonably request in order to ascertain compliance with this paragraph (i). (ii) It understands that the Rated Notes have been offered only in a transaction not involving any public offering in the United States within the meaning of the Securities Act, the Rated 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 Rated Notes, such Rated Notes may be offered, resold, pledged or otherwise transferred only in accordance with the provisions of the Indenture and the legend on such Rated 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 Rated Notes. (iii) In connection with the purchase of the Rated Notes: (a) neither of the Co-Issuers is acting as a fiduciary or financial or investment advisor for it; (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 Co-Issuers or the Initial Purchaser (in its capacity as such) or any of their agents, other than any statements in a current Prospectus for such Rated Notes and any representations expressly set forth in a written agreement with such party; (c) it has consulted with its own legal, regulatory, tax, business, investment, financial and accounting advisors to the extent it has deemed necessary and has made its own investment decisions based upon its own judgment and upon any advice from such advisors as it has deemed necessary and not upon any view expressed by the Co-Issuers or the Initial Purchaser; (d) its purchase of the Rated Notes will comply with all applicable laws in any jurisdiction in which it resides or is located; (e) it is acquiring the Rated 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 Rated 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 Rated Notes for the benefit of any other person, shall at all times be the sole beneficial owner thereof for purposes of the Investment Company Act and all other purposes and will not sell participation interests in the Notes or enter into any other arrangement pursuant to which any other person shall be entitled to a beneficial interest in the distributions on the Rated Notes; (i) all Rated Notes (together with any other securities of the Co-Issuers) purchased and held directly or indirectly by it constitute in the aggregate an investment of no more than 40% of its assets or capital; and (j) it is a sophisticated investor and is purchasing the Rated Notes with a full understanding of all of the terms, conditions and risks thereof and is capable of assuming and willing to assume those risks. (iv) In connection with the Rated Notes (other than Class C Notes), either (a) it is not (and for so long as it holds any Rated Note or interest therein will not be), and is not acting on behalf of (and for so long as it holds any Rated Note or interest therein will not be acting on behalf of), (1) an "employee benefit plan" as defined in section 3(3) of, and subject to ERISA, (2) a "plan" as defined in section 4975(e)(1) of, and subject to the Code, or (3) an entity which is deemed to hold the assets of any such plan pursuant to 29 C.F.R. Section 2510.3-101, which employee benefit plan, plan or entity described in clause (1), (2) or (3) is subject to Title I of ERISA or Section 4975 of the Code, or (b) its purchase and holding of such Rated Note does not and will not result in a nonexempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code.

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(v) With respect to each Class C Note subject to Rule 144A, it is not and will not be a Benefit Plan Investor (a "Benefit Plan Investor") within the meaning of 29 C.F.R. Section 2510.3-101. "Benefit Plan Investor" is defined in 29 C.F.R. Section 2510.3-101 to mean any (1) "employee benefit plan" (as defined in section 3(3) of ERISA), that is subject to Title I of ERISA, (2) "plan" (as defined in section 4975(e)(1) of the Code), that is subject to section 4975 of the Code or (3) entity whose underlying assets include plan assets by reason of such an employee benefit plan's or plan's investment in such entity, including, without limitation, as applicable, an insurance company general account. Notwithstanding the foregoing, with respect to such Class C Note, an insurance company acting on behalf of its general account may purchase Class C Notes subject to Rule 144A, in which case it shall represent and agree that (i) the percentage of the assets in its general account that may be or become plan assets does not and shall not exceed 25%, (ii) Prohibited Transaction Exemption 95-60 issued by the U.S. Department of Labor applies to exempt the purchase and holding of the Class C Notes subject to Rule 144A from the prohibited transaction provisions of ERISA and Section 4975 of the Code, and (iii) it is not and will never become (A) a person (other than a Benefit Plan Investor) that has the discretionary authority or control with respect to the assets of the issuer or (B) a person that provides investment advice for a fee (direct or indirect) with respect to the assets of the issuer or any "affiliate" (as defined in 29 C.F.R. 2510.3-101(f)(3)) of any such person (a "Controlling Person"). (vi) It understands that an investment in the Rated Notes involves certain risks, including the risk of loss of all or a substantial part of its investment under certain circumstances. It has had access to such financial and other information concerning the Co-Issuers and the Notes, as it deemed necessary or appropriate in order to make an informed investment decision with respect to its acquisition of the Rated Notes, including an opportunity to ask questions of and request information from the Co-Issuers. It understands that the Rated Notes will be highly illiquid and are not suitable for short term trading. The Rated Notes are a leveraged investment in a portfolio of Collateral Debt Assets that may expose the Rated Notes to disproportionately large changes in value. It understands that it is possible that due to the structure of the transaction and the performance of the portfolio, payments on the Rated Notes may be deferred, reduced or eliminated entirely. The Co-Issuers have assets limited to the Collateral Debt Assets for payment of the Rated Notes and the Income Notes, and the Income Notes bear the first risk of loss. (vii) It will not, at any time, offer to buy or offer to sell the Rated Notes by any form of general solicitation or advertising, including, but not limited to, any advertisement, article, notice or other communication published in any newspaper, magazine or similar medium or broadcast over television or radio or seminar or meeting whose attendees have been invited by general solicitations or advertising. (viii) It understands that the Indenture permits the Co-Issuers to demand that any beneficial owner of Rule 144A Global Notes who is determined not to be both a Qualified Institutional Buyer and a Qualified Purchaser at the time of acquisition of such Rule 144A Global Notes to sell all its right, title and interest in such Rated Notes (a) to a person who is both a Qualified Institutional Buyer and a Qualified Purchaser in a transaction meeting the requirements of Rule 144A, (b) to a person who will take delivery of its interest in Rule 144A Global Notes in the form of an interest in a Regulation S Global Note and who is not a U.S. Person in a transaction meeting the requirements of Regulation S or (c) to a person who will take delivery of its interests in Rule 144A Global Notes in the form of interests in a Restricted Certificated Note and who is an Accredited Investor and a Qualified Purchaser in a transaction exempt from registration under the Securities Act or any state or other relevant securities laws and, if it does not comply with such demand within thirty (30) days thereof, the Issuer may sell its interest in the Rated Note. (ix) It acknowledges that it is its intent and that it understands it is the intent of the Co-Issuers that, for purposes of U.S. federal, state and local income taxes, (1) the Issuer will be treated as a corporation, (2) the Rated Notes, including each Class A-1R Advance, will be treated as indebtedness of the Issuer and (3) the Income Notes will be treated as equity in the Issuer; it agrees to such treatment, to report all income (or loss) in accordance with such treatment and to take no action inconsistent with such treatment, except as otherwise required by any taxing authority under applicable law.

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

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Initial Investors and Transferees of Interests in Certificated Class A-1R Notes Each initial investor in, and subsequent transferee of, any Certificated Class A-1R Note will be required to provide to the Issuer, the Co-Issuer and the Trustee, in connection with any transfer of such Certificated Class A-1R Notes, a written certification substantially in the form provided in the Indenture, in which such investor or transferee will make the representations set forth in clauses (ii), (iii), (iv), (v), (vi), (viii) and (x) above under "Initial Investors and Transferees of Interests in Rule 144A Global Notes" and as follows: With respect to any Class A-1R Notes Acquired by a U.S. Person (i) It (a) is a Qualified Institutional Buyer and is acquiring the Class A-1R Notes in reliance on the exemption from the Securities Act registration provided by Rule 144A thereunder or is an Accredited Investor and is acquiring the Class A-1R Notes in reliance on the exemption from Securities Act registration provided by Section 4(2) thereof, (b) is a Qualified Purchaser purchasing for its own account and (c) understands the Class A-1R Notes will bear the legend set forth herein and be represented by one or more Certificated Class A-1R Notes. It understands that the Certificated Class A-1R Notes will bear the legend set forth herein and will be issued as physical definitive certificates in registered form only. In addition, it represents and warrants that it (a)(1) was not formed for the purpose of investing in the Issuer or the Co-Issuer, (2) is not a partnership, common trust fund, 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, (3) if it would be an investment company but for the exception in Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act, its investment in the Rated Notes and any Income Notes does not exceed 40% of its total assets and (4) it did not specifically solicit additional capital or similar contributions from any person owning an equity or similar interest in it for the purpose of enabling it to purchase the Income Notes, in each case, except when each beneficial owner of the purchaser is a Qualified Purchaser purchasing for its own account, (b) has received the necessary consent from its beneficial owners if the purchaser is a private investment company formed before April 30, 1996, (c) 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, (d) it is not a special trust, pension, profit sharing or other retirement trust fund or plan in which the beneficiaries or participants may designate the particular investments to be made, (e) will provide notice to any subsequent transferee of the transfer restrictions provided in the legend, (f) will hold and transfer Class A-1R Notes in an amount of not less than U.S.$250,000 for it or for each account for which it is acting and (g) will provide the Co-Issuers from time to time such information as they may reasonably request in order to ascertain compliance with this paragraph (i). (ii) It understands that the Indenture permits the Co-Issuers to demand that any beneficial owner of Certificated Class A-1R Notes who is determined not to be both a Qualified Institutional Buyer and a Qualified Purchaser at the time of acquisition of such Certificated Class A-1R Notes to sell all its right, title and interest in such Certificated Class A-1R Notes (a) to a person who is both (1) a Qualified Institutional Buyer or an Accredited Investor and (2) a Qualified Purchaser in a transaction meeting the requirements of Rule 144A or Section 4(2) of the Securities Act or (b) to a person who is not a U.S. Person in a transaction meeting the requirements of Regulation S and, if it does not comply with such demand within 30 days thereof, the Issuer may sell its interest in the Certificated Class A-1R Note. (iii) If acquiring the Rated 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 Restricted Certificated Notes. (iv) It satisfies the requirements of the Class A-1R Noteholder Ratings Requirement.

With respect to any Class A-1R Notes Acquired by a Non-U.S. Person (i) It is aware that the sale of Certificated Class A-1R Notes to it is being made in reliance on the exemption from registration provided by Regulation S under the Securities Act and understands that the Certificated Class A-1R Notes offered in reliance on Regulation S under the Securities Act will bear the legend set forth above and be represented by or one or more Certificated Class A-1R Notes. It and each 130

beneficial owner of the Rated Notes that it holds is not, and will not be, a U.S. Person and its purchase of the Rated Notes will comply with all applicable laws in any jurisdiction in which it resides or is located. (ii) If it is not a "United States person" as defined in Section 7701 (a)(30) of the Code, it is not acquiring any Rated Note as part of a plan to reduce, avoid or evade U.S. federal income taxes owed, owing or potentially owed or owing. (iii) It understands that the Indenture permits the Co-Issuers to demand that any beneficial owner of Certificated Class A-1R Notes who is determined to be a U.S. Person to sell all its right, title and interest in such Regulation S Global Notes to a person who (a) is not a U.S. Person in a transaction meeting the requirements of Regulation S or (b) is both (1) a Qualified Institutional Buyer or an Accredited Investor and (2) a Qualified Purchaser in a transaction meeting the requirements of Rule 144A or Section 4(2) of the Securities Act and, if the Holder does not comply with such demand within thirty (30) days thereof, the Issuer may sell such Holder's interest in the Certificated Class A-1R Note. (iv) If a transferee, it 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 Rated Notes. (v) It satisfies the requirements of the Class A-1R Noteholder Ratings Requirement.

Initial Investors and Transferees of Interests in Restricted Certificated Notes Each initial investor in, and subsequent transferee of, any Restricted Certificated Note will be required to provide to the Co-Issuers and the Trustee, in connection with any transfer of such Restricted Certificated Notes, a written certification substantially in the form provided in the Indenture, in which such investor or transferee will make the representations set forth in clauses (ii), (iii), (iv), (v), (vi), (viii), (ix) and (x) above under "Initial Investors and Transferees of Interests in Rule 144A Global Notes" and as follows: (i) It (a) is an Accredited Investor and is acquiring the Restricted Certificated Notes in reliance on the exemption from the Securities Act registration provided by Section 4(2) thereof (subject to the delivery of such certifications, legal opinions or other information as the Co-Issuers may reasonably require to confirm that such transfer is being made pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act) and a Qualified Purchaser purchasing for its own account or (b) not a U.S. Person who is acquiring the Restricted Certificated Notes in an offshore transaction in accordance with Regulation S. It understands that the Restricted Certificated Notes will bear the legend set forth above and will be issued as physical definitive certificates in registered form only. In addition, it represents and warrants that it (a)(1) was not formed for the purpose of investing in the Issuer or the Co-Issuer, (2) is not a partnership, common trust fund, 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, (3) if it would be an investment company but for the exception in Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act, its investment in the Rated Notes and any Income Notes does not exceed 40% of its total assets and (4) it did not specifically solicit additional capital or similar contributions from any person owning an equity or similar interest in it for the purpose of enabling it to purchase the Income Notes, in each case, except when each beneficial owner of the purchaser is a Qualified Purchaser purchasing for its own account, (b) has received the necessary consent from its beneficial owners if the purchaser is a private investment company formed before April 30, 1996, (c) 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, (d) it is not a special trust, pension, profit sharing or other retirement trust fund or plan in which the beneficiaries or participants may designate the particular investments to be made, (e) will provide notice to any subsequent transferee of the transfer restrictions provided in the legend, (f) will hold and transfer in an amount of not less than, with respect to each Class of Restricted Certificated Notes, U.S.$250,000 for it or for each account for which it is acting and (g) will provide the Co-Issuers from time to time such information as it may reasonably request in order to ascertain compliance with this paragraph (i).

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(ii) It understands that the Indenture permits the Co-Issuers to demand that any beneficial owner of Restricted Certificated Notes who is determined (a) not to be both an Accredited Investor and a Qualified Purchaser or (b) to be a U.S. Person at the time of acquisition of such Restricted Certificated Notes who purported to acquire such Restricted Certificated Notes pursuant to Regulation S to sell all its right, title and interest in such Restricted Certificated Notes (a) to a person who is both an Accredited Investor and a Qualified Purchaser in a transaction meeting the requirements of an exemption from registration under the Securities Act and any state or other relevant securities laws or (b) to a person who will take delivery of its interest in such Restricted Certificated Notes in the form of an interest in either (1) the Rule 144A Global Notes by a person who is a Qualified Institutional Buyer and a Qualified Purchaser in a transaction exempt from registration under the Securities Act in accordance with Rule 144A or (2) the Regulation S Global Notes by a person who is not a U.S. Person in a transaction meeting the requirements of Regulation S and, if it does not comply with such demand within 30 days thereof, the Issuer may sell its interest in the Restricted Certificated Note. (iii) If acquiring the Rated 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 Restricted Certificated 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 NOTES REPRESENTED HEREBY HAVE 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 POOL OF COLLATERAL 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 THE NOTES REPRESENTED HEREBY, REPRESENTS THAT IT HAS OBTAINED THESE 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 ISSUING AND PAYING AGENCY AGREEMENT. THE HOLDER HEREOF, BY ITS ACCEPTANCE OF THE NOTES REPRESENTED HEREBY, FURTHER REPRESENTS, ACKNOWLEDGES AND AGREES THAT IT WILL NOT REOFFER, RESELL, PLEDGE OR OTHERWISE TRANSFER THE NOTES REPRESENTED HEREBY (OR ANY INTEREST THEREIN) 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 ISSUING AND PAYING AGENCY AGREEMENT REFERRED TO HEREIN (i) TO A TRANSFEREE (a) THAT IS A QUALIFIED PURCHASER PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED PURCHASER IN A TRANSACTION THAT WOULD NOT CAUSE THE ISSUER, THE CO-ISSUER OR THE POOL OF COLLATERAL TO BE REQUIRED TO BE REGISTERED UNDER THE INVESTMENT COMPANY 132

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

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OR MORE "QUALIFIED PURCHASERS" AND/OR "KNOWLEDGEABLE EMPLOYEES" WITH RESPECT TO THE ISSUER. 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 ISSUING AND PAYING AGENT OR ANY INTERMEDIARY. EACH TRANSFEROR OF THE NOTES REPRESENTED HEREBY AGREES TO PROVIDE NOTICE OF THE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT TO THE TRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUER MAINTAINS THE RIGHT TO RESELL ANY INTEREST IN ANY NOTE REPRESENTED HEREBY PREVIOUSLY TRANSFERRED TO HOLDERS NOT ELIGIBLE TO HOLD SUCH INTERESTS IN ACCORDANCE WITH AND SUBJECT TO THE TERMS OF THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT. THE HOLDER OF THIS NOTE ACKNOWLEDGES THAT NOTWITHSTANDING ANY OTHER PROVISION OF THE NOTES OR ANY OTHER TRANSACTION DOCUMENT, ALL DISTRIBUTIONS TO BE MADE BY THE ISSUER IN RESPECT OF THE NOTES OR UNDER ANY TRANSACTION DOCUMENT WILL BE PAYABLE PURSUANT TO THE PRIORITY OF PAYMENTS AND ONLY FROM, AND TO THE EXTENT OF, THE SUMS PAID TO, OR NET PROCEEDS RECOVERED BY OR ON BEHALF OF, THE ISSUER IN RESPECT OF THE COLLATERAL. IF THE PROCEEDS OF THE COLLATERAL ARE NOT SUFFICIENT FOR THE ISSUER TO MEET ITS OBLIGATIONS IN RESPECT OF THE NOTES AND OTHER TRANSACTION DOCUMENTS, NO OTHER ASSETS OF THE ISSUER WILL BE AVAILABLE TO MEET SUCH INSUFFICIENCY. To be included in the case of the Certificated Income Notes: EACH ORIGINAL PURCHASER AND EACH TRANSFEREE OF THIS NOTE WILL BE REQUIRED TO REPRESENT AND AGREE THAT, EXCEPT AS EXPRESSLY PROVIDED BELOW IN THE CASE OF CERTAIN INSURANCE COMPANY GENERAL ACCOUNTS, IT IS NOT AND WILL NOT BE A BENEFIT PLAN INVESTOR WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101. AN INSURANCE COMPANY ACTING ON BEHALF OF ITS GENERAL ACCOUNT REPRESENTS AND AGREES THAT (i) THE PERCENTAGE OF THE ASSETS IN ITS GENERAL ACCOUNT THAT MAY BE OR BECOME PLAN ASSETS DOES NOT AND SHALL NOT EXCEED 25%, (ii) PROHIBITED TRANSACTION EXEMPTION 95-60 ISSUED BY THE UNITED STATES DEPARTMENT OF LABOR APPLIES TO EXEMPT THE PURCHASE AND HOLDING OF THIS NOTE FROM THE PROHIBITED TRANSACTION PROVISIONS OF ERISA AND SECTION 4975 OF THE CODE, AND (iii) IT IS NOT AND WILL NEVER BECOME (A) A PERSON (OTHER THAN A BENEFIT PLAN INVESTOR) THAT HAS DISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE ASSETS OF THE ISSUER OR (B) A PERSON THAT PROVIDES INVESTMENT ADVICE FOR A FEE (DIRECT OR INDIRECT) WITH RESPECT TO THE ASSETS OF THE ISSUER, OR ANY "AFFILIATE" (AS

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DEFINED IN 29 C.F.R. 2510.3-101(f)(3)) OF ANY SUCH PERSON (A "CONTROLLING PERSON"). "BENEFIT PLAN INVESTOR" MEANS ANY (i) "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA), THAT IS SUBJECT TO TITLE I OF ERISA, (ii) "PLAN" (AS DEFINED IN SECTION 4975(e)(l) OF THE CODE), THAT IS SUBJECT TO SECTION 4975 OF THE CODE, OR (iii) ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCH ENTITY, INCLUDING, WITHOUT LIMITATION, AS APPLICABLE, AN INSURANCE COMPANY GENERAL ACCOUNT. FURTHER, NO SALE OR TRANSFER OF THESE NOTES (OR ANY INTEREST HEREIN) MAY BE MADE UNLESS SUCH SALE OR TRANSFER WILL BE MADE TO A TRANSFEREE PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A PERSON WHICH, IN EACH CASE, EXCEPT AS EXPRESSLY PERMITTED ABOVE, IS NOT AND, WHILE SUCH NOTES ARE HELD BY SUCH TRANSFEREE OR PERSON, WILL NOT BE, A BENEFIT PLAN INVESTOR. IN ADDITION, EXCEPT AS EXPRESSLY PERMITTED ABOVE, EACH INITIAL PURCHASER AND TRANSFEREE OF AN INTEREST IN THE NOTES REPRESENTED HEREBY REPRESENTS TO THE ISSUER, THE TRUSTEE, THE INCOME NOTE ISSUING AND PAYING AGENT AND THE PLACEMENT AGENT THAT, AMONG OTHER THINGS (i) IT IS NOT, AND FOR SO LONG AS IT HOLDS ANY INTEREST IN THE NOTES REPRESENTED HEREBY, WILL NOT BE, A BENEFIT PLAN INVESTOR, AND (ii) WITHOUT LIMITING ANY REMEDIES AVAILABLE FOR ANY BREACHES BY IT OF ANY WARRANTIES OR OTHER ASSURANCES, IT UNDERSTANDS THAT THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT PERMITS THE ISSUER TO DEMAND THAT ANY PERSON HOLDING ANY INTEREST IN THE NOTES REPRESENTED HEREBY WHO IS DETERMINED TO BE A BENEFIT PLAN INVESTOR SELL SUCH INTEREST TO A PERSON WHO IS NOT A BENEFIT PLAN INVESTOR OR IS NOT A CONTROLLING PERSON AND WHO MEETS ALL OTHER APPLICABLE TRANSFER RESTRICTIONS AND, IF SUCH HOLDER DOES NOT COMPLY WITH SUCH DEMAND WITHIN 30 DAYS THEREOF, THE ISSUER MAY SELL SUCH HOLDER'S INTEREST IN THE NOTES REPRESENTED HEREBY. DISTRIBUTIONS OF AVAILABLE FUNDS TO THE HOLDER OF THE NOTES REPRESENTED HEREBY ARE SUBORDINATE TO THE PAYMENT ON EACH PAYMENT DATE OF INTEREST ON AND PRINCIPAL OF EACH CLASS OF RATED NOTES ISSUED BY THE ISSUER PURSUANT TO THE INDENTURE REFERRED TO IN THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT AND THE PAYMENT OF CERTAIN OTHER AMOUNTS IN THE MANNER PROVIDED IN THE PRIORITY OF PAYMENTS SET FORTH IN THE INDENTURE. NOTWITHSTANDING ANY PROVISION TO THE CONTRARY, NO PARTICIPANT IN THE TRANSACTION REPRESENTED BY THIS NOTE SHALL BE LIMITED FROM DISCLOSING THE U.S. FEDERAL INCOME TAX TREATMENT OR THE U.S. FEDERAL INCOME TAX STRUCTURE OF THIS TRANSACTION.

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To be included in the case of the Regulation S Global Income Notes: 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 ISSUER OR ITS 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. EACH ORIGINAL PURCHASER OF THIS NOTE WILL BE REQUIRED TO AND EACH TRANSFEREE OF THIS INCOME NOTE WILL BE DEEMED TO REPRESENT AND AGREE THAT IT IS NOT AND WILL NOT BE A BENEFIT PLAN INVESTOR WITHIN THE MEANING OF 29 C.F.R. SECTION 2510.3-101. "BENEFIT PLAN INVESTOR" MEANS ANY (i) "EMPLOYEE BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF ERISA), THAT IS SUBJECT TO TITLE I OF ERISA, (ii) "PLAN" (AS DEFINED IN SECTION 4975(e)(1) OF THE CODE), THAT IS SUBJECT TO SECTION 4975 OF THE CODE, OR (iii) ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCH AN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCH ENTITY, INCLUDING, WITHOUT LIMITATION, AS APPLICABLE, AN INSURANCE COMPANY GENERAL ACCOUNT. FURTHER, NO SALE OR TRANSFER OF THESE NOTES (OR ANY INTEREST HEREIN) MAY BE MADE UNLESS SUCH SALE OR TRANSFER WILL BE MADE TO A TRANSFEREE PURCHASING FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A PERSON WHICH, IN EACH CASE, IS NOT AND, WHILE SUCH NOTES ARE HELD BY SUCH TRANSFEREE OR PERSON, WILL NOT BE, A BENEFIT PLAN INVESTOR. IN ADDITION, EACH INITIAL PURCHASER AND TRANSFEREE OF AN INTEREST IN THE NOTES REPRESENTED HEREBY REPRESENTS TO THE ISSUER, THE TRUSTEE, THE INCOME NOTE ISSUING AND PAYING AGENT AND THE PLACEMENT AGENT THAT, AMONG OTHER THINGS (i) EXCEPT AS EXPRESSLY PERMITTED ABOVE, IT IS NOT, AND FOR SO LONG AS IT HOLDS ANY INTEREST IN THE NOTES REPRESENTED HEREBY, WILL NOT BE, A BENEFIT PLAN INVESTOR, AND (ii) WITHOUT LIMITING ANY REMEDIES AVAILABLE FOR ANY BREACHES BY IT OF ANY WARRANTIES OR OTHER ASSURANCES, IT UNDERSTANDS THAT THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT PERMITS THE ISSUER TO DEMAND THAT ANY PERSON HOLDING ANY INTEREST IN THE NOTES REPRESENTED HEREBY WHO IS 136

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

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from time to time such information as it may reasonably request in order to ascertain compliance with this paragraph (i). (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 Issuing and 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. (iii) In connection with the purchase of the Income Notes: (a) the Issuer is not acting as a fiduciary or financial or Collateral Manager for it; (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 or the Placement Agent or any of their agents other than any statements in a current Prospectus for such Income Notes and any representations expressly set forth in a written agreement with such party; (c) it has consulted with its own legal, regulatory, tax, business, investment, financial and accounting advisors to the extent it has deemed necessary and has made its own investment decisions based upon its own judgment and upon any advice from such advisors as it has deemed necessary and not upon any view expressed by the Issuer or the Placement Agent; (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 may not hold any Income Notes for the benefit of any other person, shall at all times be the sole beneficial owner thereof for purposes of the Investment Company Act and all other purposes and will not sell participation interests in the Income Notes or enter into any other arrangement pursuant to which any other person shall be entitled to a beneficial interest in the distributions on the Income Notes; and (h) 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. (iv) With respect to each Income Note, it is not and will not be a Benefit Plan Investor (a "Benefit Plan Investor") within the meaning of 29 C.F.R. Section 2510.3-101. "Benefit Plan Investor" is defined in 29 C.F.R. Section 2510.3-101 to mean any (1) "employee benefit plan" (as defined in section 3(3) of ERISA), that is subject to Title I of ERISA, (2) "plan" (as defined in section 4975(e)(1) of the Code), that is subject to section 4975 of the Code, or (3) entity whose underlying assets include plan assets by reason of such an employee benefit plan's or plan's investment in such entity, including, without limitation, as applicable, an insurance company general account. Notwithstanding the foregoing, with respect to a Certificated Income Note, an insurance company acting on behalf of its general account may purchase Income Notes, in which case it shall represent and agree that (i) the percentage of the assets in its general account that may be or become plan assets does not and shall not exceed 25%, (ii) Prohibited Transaction Exemption 95-60 issued by the U.S. Department of Labor applies to exempt the purchase and holding of the Income Notes from the prohibited transaction provisions of ERISA and Section 4975 of the Code, and (iii) it is not and will never become (A) a person (other than a Benefit Plan Investor) that has the discretionary authority or control with respect to the assets of the issuer or (B) a person that provides investment advice for a fee (direct or indirect) with respect to the assets of the issuer or any "affiliate" (as defined in 29 C.F.R. 2510.3-101(f)(3)) of any such person (a "Controlling Person"). It agrees that, before any interest in a Certificated Income Note may be offered, sold, pledged or otherwise transferred, the transferee will be required to provide the Trustee or the Income Note Issuing and Paying Agent (as applicable) with a letter containing representations and agreements substantially similar to the representations specified in clauses (i) through (vii), stating, among other things, the foregoing with respect to its status as a Benefit Plan Investor. (v) It acknowledges that it is its intent and that it understands it is the intent of the Issuer that, for purposes of U.S. federal, state and local income taxes, (1) the Issuer will be treated as a corporation, 138

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

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

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

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

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

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

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

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

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

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

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

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The Tax Concessions Law 1999 Revision Undertaking as to Tax Concessions In accordance with the provision of Section 6 of The Tax Concession Law (1999 Revision), the Governor in Cabinet undertakes with ESP Funding I, Ltd. (the "Company"). (a) (b) that no law which is hereafter enacted in the Islands imposing any tax to be levied on profits, income, gains or appreciations shall apply to the Company or its operations; and in addition, that no tax to be levied on profits, income, gains or appreciations or which is in the nature of estate duty or inheritance tax shall be payable: 2.1. 2.2. (c) on or in respect of the shares, debentures or other obligations of the Company; or by way of the withholding in whole or in part, of any relevant payment as defined in Section 6(3) of the Tax Concessions Law (1999 Revision).

these concessions shall be for a period of thirty years from the 8th day of August, 2006.

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

offered in reliance on Regulation S (or a beneficial interest therein) will be required to certify that it is not, and for so long as it holds such Regulation S Global Income Note (or a beneficial interest therein) will not be, a Benefit Plan Investor and (iii) each subsequent transferee of a Regulation S Global Income Note or a Class C Note offered in reliance on Regulation S (or a beneficial interest therein) will be deemed to represent that it is not, and for so long as it holds such Regulation S Global Income Note (or a beneficial interest therein) will not be, a Benefit Plan Investor. In addition, without limiting any remedies available for any breaches by it of any warranties or other assurances, the Income Note Issuing and Paying Agency Agreement and the Indenture permit the Issuer to demand that any person holding Regulation S Global Income Notes or Class C Notes offered in reliance on Regulation S (or a beneficial interest therein) who is determined to be a Benefit Plan Investor to sell such Regulation S Global Income Notes or Class C Notes offered in reliance on Regulation S (or a beneficial interest therein) to a person who is not a Benefit Plan Investor and who meets all other applicable transfer restrictions and, if such Holder does not comply with such demand within thirty (30) days thereof, the Issuer may sell such Holder's interest in the Income Note or Class C Notes offered in reliance on Regulation S. Notwithstanding the foregoing, insurance companies general accounts that are Benefit Plan Investors will be permitted to acquire Certificated Income Notes or a Class C Note offered in reliance on Rule 144A as noted below. If the assets of the Issuer were deemed to constitute the assets of an investing Benefit Plan Investor, subject to the foregoing provisions of ERISA and the Code, then, among other adverse results, (i) transactions involving the assets of the Issuer could be subject to the fiduciary responsibility and prohibited transaction provisions of ERISA and Section 4975 of the Code, (ii) the assets of the Issuer could be subject to ERISA's reporting and disclosure requirements, (iii) the fiduciary causing the Benefit Plan Investor to make an investment in the equity of the Issuer could be deemed to have delegated its responsibility to manage the assets of the Benefit Plan Investor, (iv) various providers of fiduciary or other services to the Issuer, and any other parties with authority or control with respect to the Issuer, could be deemed to be "plan fiduciaries" or otherwise "parties in interest" or "disqualified persons" (in each case, within the meaning of ERISA) by virtue of their provision of such services and (v) it is not clear that Section 404(b) of ERISA, which generally prohibits plan fiduciaries from maintaining the indicia of ownership of assets of plans subject to Title I of ERISA outside the jurisdiction of the district courts of the United States, would be satisfied in all instances. Based on the reasoning of the United States Supreme Court in John Hancock Mutual Life Ins. Co. v. Harris Trust and Savings Bank, 510 U.S. 86 (1993), funds allocated to the general account of an insurance company pursuant to a contract with an employee benefit plan that vary with the investment experience of the insurance company may under certain circumstances be treated as "plan assets". Any insurance company proposing to invest assets of its general account in the Notes should consider the extent to which such investment would be subject to the requirements of ERISA in light of the John Hancock decision and the 1996 enactment of Section 401(c) of ERISA. In particular, such an insurance company should consider the retroactive and prospective exemptive relief granted by the Department of Labor for transactions involving insurance company general accounts in DOL Prohibited Transaction Class Exemption ("PTCE") 95-60 (60 Fed. Reg. 35925; Jul. 12, 1995) and the regulations issued by the DOL, 29 C.F.R. section 2550.401-c (Jan. 5, 2000). In the preamble to PTCE 95-60, the DOL noted that, for purposes of calculating the 25% threshold under the significant participation test of the Plan Asset Regulation, only the proportion of an insurance company general account's equity investment in the entity that represents plan assets should be taken into account. Although the DOL has not specified how to determine the proportion of an insurance company general account that represents plan assets for purposes of the 25% threshold, it has, in the case of PTCE 95-60, provided a method for determining the percentage of an insurance company's general account held by the benefit plans of an employer and its affiliates by comparing the reserves and liabilities for the general account contracts held by such plans to the total reserves and liabilities of the general account (exclusive of separate account liabilities) plus surplus. However, there is no assurance that a similar measurement would be used for purposes of applying the 25% threshold. Any insurance company using general account assets to purchase Certificated Income Notes or Class C Notes offered in reliance on Rule 144A will represent and agree that (i) the percentage of the assets of the general account that may be or become plan assets does not and shall not exceed 25% (ii) PTCE 95-60 applies, and exempts the purchase and holding of the Income Notes or Class C Notes offered in reliance on Rule 144A from the prohibited transaction rules of ERISA and Section 4975 of the Code, and (iii) it is not and shall not be a Controlling Person.

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

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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 advisors 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 Board of Governors of the Federal Reserve System, 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 Collateral 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. 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 advisors in determining whether and to what extent the Notes are subject to investment, capital or other restrictions.

154

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

155

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

156

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

157

respect thereof. In addition, the Issuer has agreed to indemnify the Placement Agent against certain liabilities, including liabilities under the Securities Act, and has agreed to contribute to payments that 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 any of the Initial Purchaser or the Placement Agent makes such a market it may discontinue any market-making activities with respect to the Notes at any time without notice. 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. Investors in Income Notes may purchase such Notes at a discount and such discount may be substantial. Each of the Initial Purchaser and the Placement Agent will represent and agree that it has not made and will not make any invitation to the public in the Cayman Islands to subscribe for the Notes pursuant to Section 194 of The Companies Law (2004 Revision). Citigroup may be contacted at 390 Greenwich Street, 4th Floor, New York, New York 10013, Attention: Global Structured Credit Products Group.

158

SETTLEMENT AND CLEARING Upon the issuance of a Global Note, DTC (with an address at 55 Water Street, New York, New York 10041-0099) 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. 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). See "Description of the NotesForm, Denomination, Registration and Transfer of the Notes".

159

LISTING AND GENERAL INFORMATION 1. Application will be made to the Irish Stock Exchange to admit the Notes to the Daily Official List in accordance with the Irish Stock Exchange Listing Rules for Asset-Backed Debt Securities. There can be no assurance that such admission will be granted. 2. For the life of the Prospectus, copies of the Issuer's Memorandum of Association and Articles of Association (together, the "Articles"), the certificate of incorporation and by-laws of the Co-Issuer, the Transaction Documents and a description of the Collateral will be available for inspection and will be obtainable at the office of the Issuer and at the offices of the Irish Paying Agent in Dublin, Ireland, where copies thereof may be obtained upon request. All such documents will be available in electronic form. 3. For the life of the Prospectus, copies of the Articles of the Issuer, the resolutions of the board of directors of the Issuer authorizing the issuance of the Notes, the certificate of incorporation and by-laws of the CoIssuer, the resolutions of the board of directors of the Co-Issuer authorizing the co-issuance of the Rated Notes, the Indenture and the Collateral Management Agreement will be available for inspection during the term of the Notes at the office of the Trustee. All such documents will be available in electronic form. The activities of the Issuer will be limited to (i) acquiring and holding Collateral Debt Assets and investing in Eligible Investments, (ii) entering into and performing its obligations under the Transaction Documents to which it is a party, (iii) issuing and selling the Notes, (iv) pledging the Collateral as security for its obligations in respect of the Rated Notes and otherwise for the benefit of the Secured Parties, (v) issuance of the Ordinary Shares and (vi) other activities incidental to the foregoing. cash flow derived from the Collateral securing the Rated Notes will be the Issuer's only source of cash. The Co-Issuer will be capitalized only to the extent of its common shares of U.S.$100, will have no assets other than its equity capital and will have no debt other than as Co-Issuer of the Rated Notes. 4. 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. Accordingly, financial statements of the Co-Issuers will be neither prepared nor made available at the office of the Irish Listing Agent. 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 potential Event of Default or Event of Default or other similar matter required to be brought to the Trustee's attention has occurred, or, if such an event has occurred, specifying the same. 5. Neither of the Co-Issuers is involved, or has been involved since incorporation, in any governmental, litigation or arbitration proceedings relating to claims on amounts which may have or have had a material effect on the Co-Issuers in the context of the issue of the Notes, nor, so far as either of the Co-Issuers is aware, is any such governmental, litigation or arbitration proceedings involving it pending or threatened. 6. The issuance of the Notes has been authorized by the board of directors of the Issuer by resolutions passed on or prior to the Closing Date. The issuance of the Rated Notes has been authorized by the board of directors of the Co-Issuer by resolutions passed on or prior to the Closing Date. 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. 7. In connection with the listing of the Notes on the Daily Official List of the Irish Stock Exchange, the final Prospectus will be filed with the Registrar of Companies of Ireland pursuant to Regulation 13 of the European Community (Stock Exchange) Regulations, 1984 of Ireland. 8. The applicable CUSIP Numbers for Rule 144A Global Notes, Common Codes for clearance through Euroclear and Clearstream, CUSIP (CINS) Numbers for Regulation S Global Notes and Regulation S Global Income Notes, International Securities Regulations Numbers (ISIN) and CUSIP Numbers for Certificated Notes applicable to the Notes are as set forth below:
CUSIP Note 144A Class A-1R Note...... 296605AA6 ISIN 144A US296605AA68 CUSIP Reg S G3124AAA3 ISIN Reg S USG3124AAA37 Common Codes N/A CUSIP Accredited Investors 296605AG3 ISIN Accredited Investors US296605AG39

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Note Class A-1T1 Note .... Class A-1T2 Note .... Class A-2 Note ........ Class A-3 Note ........ Class A-4 Note ........ Class B Note ............ Class C Note ............ Income Note ............

CUSIP 144A 296605AN8 296605AQ1 296605AB4 296605AC2 296605AD0 296605AE8 296605AF5 296603AA1

ISIN 144A US296605AN89 US296605AQ11 US296605AB42 US296605AC25 US296605AD08 US296605AE80 US296605AF55 US296603AA11

CUSIP Reg S G3124AAG0 G3124AAH8 G3124AAB1 G3124AAC9 G3124AAD7 G3124AAE5 G3124AAF2 G31240AA5

ISIN Reg S USG3124AAG07 USG3124AAH89 USG3124AAB10 USG3124AAC92 USG3124AAD75 USG3124AAE58 USG3124AAF24 USG31240AA54

Common Codes 026764025 026764157 026521327 026521386 026521432 026521475 026521505 026521661

CUSIP Accredited Investors 296605AP3 296605AR9 296605AH1 296605AJ7 296605AK4 296605AL2 296605AM0 296603AB9

ISIN Accredited Investors US296605AP38 US296605AR93 US296605AH12 US296605AJ77 US296605AK41 US296605AL24 US296605AM07 US296603AB93

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

162

ANNEX A GLOSSARY "Account Control Agreement" means that certain Account Control Agreement, dated as of the Closing Date, as the same may be amended or supplemented from time to time, among the Issuer, the Trustee and the Accountholder. "Accountholder" means LaSalle Bank National Association, solely in its capacity as accountholder under the Account Control Agreement. "Additional Class C Principal Coverage Test" means, for so long as any Class A Notes, Class B Notes or Class C Notes remain Outstanding, a test satisfied on any Measurement Date if the Class C Principal Coverage Ratio as of such Measurement Date is equal to or greater than 100.50%. For purposes of applying the Class C Principal Coverage Test, the "Principal Coverage Amount" shall be determined in accordance with the last paragraph of the definition thereof. "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 Synthetic Asset). "Adjusted Effective Date Advance Swap Allocation Ratio" means the Effective Date Advance Swap Allocation Ratio as adjusted to take into account any Class A-1R Commitment Shift-Over Amount. "Adjusted Effective Date Class A-1R Note Proportion" means, on any date, the Effective Date Class A-1R Note Proportion, determined after taking into account the cumulative amount of any payments of principal made pursuant to clause (B)(25) of the Priority of Payments on the Class C Notes prior to such date. "Administration Agreement" means that certain Administration Agreement, dated as of August 31, 2006, as the same may be amended or supplemented from time to time, between the Issuer and the Administrator. "Administrative Expenses" means amounts due and payable, including any applicable indemnities, from and by or accrued for the account of the Co-Issuers with respect to any Quarterly Payment Date to (i) the Trustee or any co-trustee pursuant hereto; (ii) the Income Note Issuing and Paying Agent pursuant to the Income Note Issuing and Paying Agency Agreement; (iii) the Collateral Administrator pursuant to the Collateral Administration Agreement and the Class A-1R Note Agent (other than any Class A-1R Commitment Fee and Class A-1R Breakage Costs) pursuant to the Class A-1R Note Purchase Agreement; (iv) the Independent accountants, agents and counsel of the Co-Issuers for fees and expenses (including, without limitation, tax reports); (v) the Rating Agencies for fees and expenses in connection with any rating (including the annual fee payable with respect to the monitoring of any rating) of any Class of Rated Notes by each such Rating Agency (including, without limitation, expenses for credit estimates and ongoing surveillance of the ratings of the Notes) or any rating on any Collateral Debt Asset; (vi) the Administrator pursuant to the Administration Agreement; (vii) the Advance Swap Counterparty (other than any Advance Swap Drawing Fee and Advance Swap Commitment Fee) pursuant to the Advance Swap; (viii) the Collateral Manager (or any of the Collateral Manager's Affiliates pursuant to the Collateral Management Agreement by way of indemnity) and its counsel for fees, expenses and indemnities under the Transaction Documents to the extent set forth therein (including, without limitation, amounts payable under the Collateral Management Agreement, but excluding the Collateral Management Fee and including any fees and expenses incurred in connection with an Auction); (ix) any other Person in respect of any governmental fee, charge or tax (including all filing, registration and annual return fees payable to the Cayman Islands' government and registered office fees); and (x) any other Person in respect of any other fees or expenses (including indemnities) permitted under the Indenture and the documents delivered pursuant to or in connection with the Indenture, the Income Note Issuing and Paying Agency Agreement, the Collateral Management Agreement and the Notes; provided that Administrative Expenses may not include any amounts due or accrued with respect to the actions taken on or prior to the Closing Date; provided further that Administrative Expenses shall not include (a) amounts payable in respect of the Notes and (b) amounts payable under any Hedge Agreement or Cashflow Swap Agreement.

A-1

"Advance Swap" means the Advance Swap Agreement, to be dated as of the Closing Date, between the Issuer and the Advance Swap Counterparty and including the schedule and confirmation with respect thereto. "Advance Swap Allocation Basis" means: (A) during the Interest-Only Period, (i) if the Advance Swap Allocation Ratio on such date is equal to the Effective Date Advance Swap Ratio, then to the Advance Swap, the Class A1R Notes (including, in the case of the Class A-1R Notes, deposits into the Synthetic Reserve Account) and the Class A-1T1 Notes, in proportion to the sum of the Advance Swap Notional Amount, the Aggregate Class A-1R Commitment and the Aggregate Outstanding Amount of the Class A-1T1 Notes, and (ii) if the Advance Swap Allocation Ratio on such date is less than the Effective Date Advance Swap Allocation Ratio, then to the Class A-1R Notes (including, in the case of the Class A-1R Notes, deposits into the Synthetic Reserve Account) and the Class A-1T1 Notes, in proportion to the sum of the Aggregate Class A-1R Commitment and the Aggregate Outstanding Amount of the Class A-1T1 Notes, and then to the Advance Swap, until the Advance Swap Allocation Ratio is equal to the Effective Date Advance Swap Allocation Ratio; and after the Interest-Only Period, (i) if the Advance Swap Allocation Ratio on such date is equal to the Effective Date Advance Swap Ratio, then to the Advance Swap, the Class A1R Notes (including, in the case of the Class A-1R Notes, deposits into the Synthetic Reserve Account) and the Class A-1T1 Notes, in proportion to the sum of the Advance Swap Notional Amount, the Aggregate Class A-1R Commitment and the Aggregate Outstanding Amount of the Class A-1T1 Notes, and (ii) if the Advance Swap Allocation Ratio on such date is less than the Effective Date Advance Swap Allocation Ratio, then to the Class A-1R Notes (including, in the case of the Class A-1R Notes, deposits into the Synthetic Reserve Account) and the Class A-1T1 Notes, in proportion to the sum of the Aggregate Class A-1R Commitment and the Aggregate Outstanding Amount of the Class A-1T1 Notes, and then to the Advance Swap, until the Advance Swap Allocation Ratio is equal to the Adjusted Effective Date Advance Swap Allocation Ratio.

(B)

"Advance Swap Allocation Ratio" means, on any date, the ratio of (i) the Advance Swap Notional Amount divided by (ii) the sum of the Advance Swap Notional Amount plus the Aggregate Class A-1R Commitment (adjusted for any Class A-1R Commitment Shift-Over Amount) plus the Aggregate Outstanding Amount of the Class A-1T1 Notes; provided that the Advance Swap Allocation Ratio shall be deemed to equal zero if the sum in clause (ii) equals zero. "Advance Swap Draw Notice" means the notice substantially in the form required pursuant to the Advance Swap and delivered with respect to each Advance Swap Draw by the Issuer (or the Collateral Manager on behalf of the Issuer) to the Advance Swap Counterparty. "Advance Swap Eligible Investments" means Eligible Investment (maturing the day following the date of acquisition thereof) acquired (pursuant to a written direction from the Advance Swap Counterparty) with deposits in the Advance Swap Mandatory Draw Reserve Account for the benefit of the Advance Swap Counterparty. "Advance Swap Mandatory Draw" means any draw required to be funded pursuant to the Advance Swap upon (i) the Advance Swap Counterparty's default in funding any Advance Swap Draw or (ii) the occurrence of an Advance Swap Ratings Event for a period of 30 days. "Advance Swap Mandatory Draw Reserve Account" means the Securities Account designated the "Advance Swap Mandatory Draw Reserve Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. "Advance Swap Ratings Event" means, with respect to the Advance Swap Counterparty, if the Advance Swap Counterparty's guarantor (or, if the Advance Swap Counterparty has no guarantor, the Advance Swap

A-2

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

A-3

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

A-4

"Assumed Reinvestment Rate" means, with respect to any Account or fund securing the Rated Notes, the greater of (i) LIBOR minus 0.50% and (ii) zero. "Auction Date" means each date, occurring on a semi-annual basis and no later than ten (10) Business Days prior to a scheduled Redemption Date, on which an Auction shall take place; provided that, if an auction is conducted in connection with an Event of Default, Auction Date means the date upon which an auction of the Collateral Debt Assets is conducted. "Authorized Officer" means (i) with respect to the Issuer, any Officer of the Issuer who is authorized to act for the Issuer in matters relating to, and binding upon, the Issuer, (ii) with respect to the Collateral Manager, any officer of the Collateral Manager who is authorized to act for the Collateral Manager in matters relating to, and binding upon, the Collateral Manager and (iii) with respect to the Trustee or any other bank or trust company acting as trustee of an express trust or as custodian, a Trust Officer. Each party may receive and accept a certification of the authority of any other party as conclusive evidence of the authority of any person to act, and such certification may be considered as in full force and effect until receipt by such other party of written notice to the contrary. "Average Class A-1R Note Principal Balance" means, for any Interest Period with respect to a Monthly Payment Date, an amount equal to (x) the sum of the Aggregate Outstanding Amount of the Class A-1R Notes for each day during such Interest Period divided by (y) the actual number of days in such Interest Period. "Average Life" means, on any Measurement Date, with respect to any Collateral Debt Asset (other than a Defaulted Asset or Deferred Interest PIK Bond), the quotient obtained by the Collateral Manager by dividing (i) the sum of the products of (a) the number of years (rounded to the nearest one tenth thereof) from such Measurement Date to the respective dates of each expected distribution of principal of such Collateral Debt Asset and (b) the respective amounts of principal of such distributions by (ii) the sum of all such distributions of principal on such Collateral Debt Asset. "Average Undrawn Advance Swap Amount" means the "Average Undrawn Swap Amount" specified in the Advance Swap. "Average Used Advance Swap Amount" means the "Average Used Swap Amount" specified in the Advance Swap. "Balance" means at any time, with respect to cash or Eligible Investments in any Account at such time, the aggregate of the (i) current balance of cash, demand deposits, time deposits, certificates of deposit and federal funds; (ii) principal amount of interest-bearing corporate and government securities, money market accounts and repurchase obligations and (iii) purchase price (but not greater than the face amount) of non-interest-bearing government and corporate securities and commercial paper. "Beneficial Owner" means, with respect to any Global Note, each Person that appears on the records of a Clearing Agency (other than each such Clearing Agency to the extent that it is an accountholder with the other Clearing Agency for the purpose of operating the "bridge" between them) as entitled to a particular amount of Rated Notes by reason of an interest in a Global Note (for all purposes other than with respect to the payment of principal of and interest on the Rated Notes, the right to which will be vested, as against the Co-Issuers and the Trustee, solely in the Person in whose name the Global Note is registered in the Note Register (in the case of the Rated Notes) or the Income Note Register (in the case of the Income Notes)); provided that the Trustee and the Income Note Issuing and Paying Agent may conclusively rely upon the certificate of a Clearing Agency as to the identity of such Persons holding an interest in a Global Note. "Benefit Plan Investor" means (i) an "employee benefit plan" (as defined in Section 3(3) of ERISA), that is subject to Title I of ERISA, (ii) a "plan" (as defined in Section 4975(e)(1) of the Code), that is subject to Section 4975 of the Code, or (iii) an entity whose underlying assets include plan assets by reason of such an employee benefit plan's or plan's investment in such entity, including, without limitation, as applicable, an insurance company general account.

A-5

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

A-6

"CDS Assets" means Synthetic Assets (including any Static Bespoke CDO Assets) that are structured as credit default swaps, total rate of return swaps or swaptions. "CDS Interest Payment" means any payment required to be made by the Issuer to the related CDS Asset Counterparty in respect of a CDS Interest Shortfall under a CDS Asset. "CDS Interest Reimbursement" means, with respect to a CDS Asset, a reimbursement under the relevant Reference Obligation of a CDS Interest Shortfall previously incurred. "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 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 Reference Obligation. "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 Loss Payment" means, with respect to a CDS Asset, any CDS Principal Payment, Cash Settlement Payment or Physical Settlement Payment payable by the Issuer to the related CDS Asset Counterparty "CDS Payment" means any CDS Loss Payment, CDS Interest Payment or CDS Asset Issuer Termination Payment (other than any Subordinated CDS Asset Termination Payment), as the case may be. "CDS Payment Priority" has the meaning specified in Section 12.4(b)(iii). "CDS Principal Payment" means any payment required to be made by the Issuer to the related CDS Asset Counterparty in respect of a CDS Principal Shortfall under a CDS Asset. "CDS Principal Reimbursement" means, with respect to a CDS Asset, a reimbursement under the relevant Reference Obligation of a CDS Principal Shortfall previously incurred. "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 Reference Obligation. "CDS Reimbursement Amounts" means, collectively, CDS Interest Reimbursements and CDS Principal Reimbursements. "CDS Shortfall Events" means, collectively, CDS Interest Shortfalls and CDS Principal Shortfalls. "CDS Shortfall Payments" means, collectively, CDS Interest Payments and CDS Principal Payments. "Certificated Income Notes" means Income Notes issued in the form of physical certificates in definitive, fully registered form. "Citigroup" means Citigroup Global Markets Inc. "Class" means each of the classes comprised of the Class A-1R Notes, the Class A-2 Notes, the Class A-3 Notes, the Class A-4 Notes, the Class B Notes, the Class C Notes and the Income Notes. "Class A Coverage Failure" means, on the Calculation Date applicable to a Quarterly Payment Date, that the Class A Principal Coverage Ratio is less than 97.20%.

A-7

"Class A Coverage Tests" means the Class A Interest Coverage Test and the Class A Principal Coverage Test. "Class A Interest Coverage Ratio" means, with respect to any Measurement Date, the ratio (expressed as a percentage) of (i) to (ii), where (i) is equal to the Interest Coverage Amount as of such Measurement Date and where (ii) is the sum of the Advance Swap Commitment Fee plus the Advance Swap Drawing Fee plus the Class A-1R Commitment Fee plus the Periodic Interest for the Class A Notes for the Quarterly Payment Date immediately following such date. "Class A Interest Coverage Test" means, for so long as any Class A Notes remain Outstanding, a test satisfied (i) on the Calculation Date relating to the Initial Quarterly Payment Date if the Class A Interest Coverage Ratio as of such date is equal to or greater than 100.00%, and (ii) on any subsequent Measurement Date if the Class A Interest Coverage Ratio as of such Measurement Date is equal to or greater than 101.00%. "Class A Notes" means, collectively, the Class A-1 Notes, the Class A-2 Notes, the Class A-3 Notes and the Class A-4 Notes. "Class A Principal Coverage Ratio" means, with respect to any Measurement Date, the ratio (expressed as a percentage) of (i) to (ii), where (i) is the Principal Coverage Amount as of such date and (ii) is the sum of the Advance Swap Notional Amount plus the Aggregate Class A-1R Undrawn Amount plus the Aggregate Outstanding Amount of the Class A Notes; provided that for the purposes of calculating the Class A Principal Coverage Ratio to determine compliance pursuant to clause (B)(12) of the Priority of Payments, the denominator of such ratio shall be calculated after giving effect to any payments of principal on the Rated Notes made pursuant to clause (B)(12) of the Priority of Payments on the related Quarterly Payment Date and the numerator of such ratio shall be calculated after giving effect to the application of any Collateral Principal Collections pursuant to clauses (B)(1) through (B)(12) of the Priority of Payments on the related Quarterly Payment Date. "Class A Principal Coverage Test" means, for so long as any Class A Notes remain Outstanding, a test satisfied on any Measurement Date if the Class A Principal Coverage Ratio as of such Measurement Date is equal to or greater than 102.40%. "Class A-1 Interest Period" means (i) with respect to the Initial Monthly Payment Date, the period from and including the Closing Date to but excluding the Initial Monthly Payment Date, and (ii) thereafter, with respect to each Monthly Payment Date, the period beginning on the first (1st) day following the end of the preceding Class A-1 Interest Period and ending on (and including) the day before the next Monthly Payment Date. "Class A-1 Note Proportion" means, on any date, the quotient (expressed as a decimal number, carried to four places) obtained by dividing (i) the sum of the Advance Swap Notional Amount plus the Aggregate Class A-1R Commitment plus the Aggregate Outstanding Amount of the Class A-1T1 Notes on such date by (ii) the sum of aggregate Outstanding principal amount of all Classes of the Rated Notes (plus, in the case of the Class A-1R Notes, the Aggregate Class A-1R Undrawn Amount) plus the Advance Swap Notional Amount on such date. "Class A-1 Notes" means the Class A-1R Notes and the Class A-1T Notes. "Class A-1 Pro Rata Allocation" means, with respect to any Monthly Payment Date or Quarterly Payment Date on which an Event of Default has occurred and is continuing, the ratio of the Aggregate Outstanding Amount of the Class A-1T1 Notes to the aggregate principal amount of the Class A-1R Commitments as of the related Measurement Date. "Class A-1R Advance" means advances made by each Class A-1R Noteholder to the Issuer upon request pursuant to its obligations under the Class A-1R Note Purchase Agreement, subject to compliance with certain borrowing conditions specified therein, in an aggregate principal amount at any one time outstanding of up to the full amount of its respective Class A-1R Commitment. The portion of the Class A-1R Advance applicable to each Class A-1R Note shall be the pro rata share of the unfunded Class A-1R Commitments represented by such Class A-1R Note.

A-8

"Class A-1R Advance Date" means the date of any Class A-1R Advance. "Class A-1R Commitment" means, at any time in respect of any Class A-1R Note, the maximum aggregate outstanding principal amount of advances that the Holder of such Class A-1R Note is obligated to make to the Issuer under the Class A-1R Note Purchase Agreement; provided that the aggregate Class A-1R Commitments shall not exceed U.S.$100,000,000 (the Aggregate Class A-1R Commitment), as permanently reduced from time to time in accordance with the terms of the Class A-1R Note Purchase Agreement and the Indenture. "Class A-1R Commitment Fee" means the fee, payable in arrears, on the Class A-1R Notes Undrawn Amount under the Class A-1R Note Purchase Agreement. "Class A-1R Commitment Shift-Over Amount" means the lesser of (i) the Class A-1R Note Undrawn Amount as in effect on the last day of the Interest-Only Period and (ii) the amount (if any) by which (x) the Aggregate CDS Asset Notional Amount on the last day of the Interest-Only Period exceeds (y) the sum of the Synthetic Reserve Account Balance plus the Synthetic Asset Collateral Account Balance plus the Advance Swap Notional Amount (before giving effect to any other adjustments on such date); provided, however, that if on the last day of the Interest-Only Period an Event of Default shall have occurred and be continuing, then the Class A-1R Commitment Shift-Over Amount shall be zero. "Class A-1R Commitment Termination Date" means the date of the earliest to occur of (i) the permanent reduction of the Aggregate Class A-1R Commitment to zero in accordance with the Priority of Payments; (ii) the Stated Maturity Date of the Notes or, if earlier, the Redemption Date of the Notes; (iii) the occurrence of a Class A1R Commitment Termination Event; or (iv) the last day of the Interest-Only Period, so long as an Event of Default has not occurred nor is continuing as of such day. "Class A-1R Commitment Termination Event" means an Event of Default pursuant to clause (vi) of the definition thereof in respect of the Co-Issuers. "Class A-1R Eligible Investments" means Eligible Investments (maturing the day following the date of acquisition thereof) acquired (pursuant to a written direction from the Class A-1R Noteholder) with deposits in such Noteholder's Class A-1R Noteholder Subaccount for the benefit of such Class A-1R Noteholder. "Class A-1R Maturity Date" means the earliest to occur of (i) the date on which the Aggregate Class A-1R Commitment is permanently and irrevocably reduced to zero; (ii) the date of any Class A-1R Notes Termination Event and (iii) the Stated Maturity Date. "Class A-1R Note Agent" means LaSalle Bank National Association, as agent pursuant to the Class A-1R Note Purchase Agreement. "Class A-1R Note Breakage Costs" means, with respect to any Due Period, the amount of "breakage costs" as set forth in a certificate of a Class A-1R Noteholder delivered to the Issuer and the Trustee on or prior to the related Calculation Date, if any, incurred by such Class A-1R Noteholder as a result of (a) a prepayment of amounts under the Class A-1R Notes on a day other than a Monthly Payment Date and calculated as provided in the Class A1R Notes or (b) a failure by the Issuer to effect a Class A-1R Advance on the scheduled date therefor after having submitted a request for a Class A-1R to the Class A-1R Noteholders in accordance with the provisions of the Class A-1R Note Purchase Agreement. "Class A-1R Note Interest Rate" means LIBOR plus 0.23%. "Class A-1R Note Mandatory Advance" means a mandatory advancing of the undrawn portion of the Aggregate Class A-1R Commitment in respect of a Class A-1R Noteholder if such Class A-1R Noteholder fails to fund a loan when required to do so or if such Class A-1R Noteholder fails to satisfy the Class A-1R Noteholders Rating Requirement for a period of more than 30 days and (in either case) such Class A-1R Noteholder is not replaced in accordance with the terms of the Class A-1R Note Purchase Agreement.

A-9

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

A-10

"Class A-1T1 Notes" means the U.S.$395,000,000 aggregate principal amount of Class A-1T1 Floating Rate Senior Notes Due 2046. "Class A-1T1 Payment Amount" means an amount, which the Holders of the Class A-1T1 Notes will be entitled to receive on account of interest on each Monthly Payment Date (including each Monthly Payment Date that is also a Quarterly Payment Date), equal to the product of (x) the outstanding principal amount of the Class A-1T1 Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-1T1 Note Interest Rate. "Class A-1T2 Note Interest Rate" means LIBOR plus 0.23%. "Class A-1T2 Notes" means the U.S.$30,000,000 aggregate principal amount of Class A-1T2 Floating Rate Senior Notes Due 2046. "Class A-1T2 Payment Amount" means an amount, which the Holders of the Class A-1T2 Notes will be entitled to receive on account of interest on each Monthly Payment Date (including each Monthly Payment Date that is also a Quarterly Payment Date), equal to the product of (x) the outstanding principal amount of the Class A-1T2 Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-1T2 Note Interest Rate. "Class A-2 Note Interest Rate" means LIBOR plus 0.40%. "Class A-2 Notes means the U.S.$100,000,000 aggregate initial principal amount of Class A-2 Floating Rate Senior Secured Notes Due 2046. "Class A-2 Payment Amount" means an amount, which the Holders of the Class A-2 Notes will be entitled to receive on account of interest on each Quarterly Payment Date, equal to the product of (x) the outstanding principal amount of the Class A-2 Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-2 Note Interest Rate. "Class A-3 Note Interest Rate" means LIBOR plus 0.46%. "Class A-3 Notes means the U.S.$90,000,000 aggregate initial principal amount of Class A-3 Floating Rate Senior Secured Notes Due 2046. "Class A-3 Payment Amount" means an amount, which the Holders of the Class A-3 Notes will be entitled to receive on account of interest on each Quarterly Payment Date, equal to the product of (x) the outstanding principal amount of the Class A-3 Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-3 Note Interest Rate. "Class A-4 Note Interest Rate" means LIBOR plus 0.50%. "Class A-4 Notes" means the U.S.$27,000,000 aggregate initial principal amount of Class A-4 Floating Rate Senior Secured Notes Due 2046. "Class A-4 Payment Amount" means an amount, which the Holders of the Class A-4 Notes will be entitled to receive on account of interest on each Quarterly Payment Date, equal to the product of (x) the outstanding principal amount of the Class A-4 Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class A-4 Note Interest Rate. "Class B Coverage Tests" means the Class B Interest Coverage Test and the Class B Principal Coverage Test. "Class B Cumulative Deferred Interest Amount" means, with respect to any date of determination, the sum of all Class B Deferred Interest Amounts with respect to all Quarterly Payment Dates preceding such date of

A-11

determination, less any amounts applied on all preceding Quarterly Payment Dates pursuant to the Priority of Payments to reduce such sum. "Class B Interest Coverage Ratio" means, with respect to any Measurement Date, the ratio (expressed as a percentage) of (i) to (ii), where (i) is equal to the Interest Coverage Amount as of such date and where (ii) is the sum of (A) the Advance Swap Commitment Fee plus the Advance Swap Drawing Fee, (B) the Aggregate Class A-1R Commitment Fee, (C) the interest on the Class A-1 Notes and (D) the Periodic Interest for the Class A Notes and the Class B Notes for the Quarterly Payment Date immediately following such date. "Class B Interest Coverage Test" means, for so long as any Class A Notes or Class B Notes remain Outstanding, a test satisfied (i) on the Initial Quarterly Payment Date, if the Class B Interest Coverage Ratio as of such date is equal to or greater than 100.00%, and (ii) on any subsequent Measurement Date, if the Class B Interest Coverage Ratio as of such Measurement Date is equal to or greater than 100.50%. "Class B Note Interest Rate" means LIBOR plus 1.50%. "Class B Notes means the U.S.$15,000,000 aggregate initial principal amount of Class B Floating Rate Subordinate Secured Notes Due 2046. "Class B Payment Amount" means an amount, which the Holders of the Class B Notes will be entitled to receive on account of interest on each Quarterly Payment Date, equal to the product of (x) the outstanding principal amount of the Class B Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class B Note Interest Rate. "Class B Principal Coverage Ratio" means, with respect to any Measurement Date, the ratio (expressed as a percentage) of (i) to (ii), where (i) is the Principal Coverage Amount as of such Measurement Date and (ii) is the sum of the Advance Swap Notional Amount plus the Aggregate Class A-1R Undrawn Amount plus the Aggregate Outstanding Amount of the Class A Notes and the Class B Notes (including any Class B Cumulative Deferred Interest Amount); provided that (a) for the purposes of calculating the Class B Principal Coverage Ratio to determine compliance pursuant to clause (B)(15) of the Priority of Payments, the denominator of such ratio shall be calculated after giving effect to any payments of principal on the Rated Notes made pursuant to clause (B)(12) of the Priority of Payments and pursuant to clause (B)(15) of the Priority of Payments on the related Quarterly Payment Date and the numerator of such ratio shall be calculated after giving effect to the application of any Collateral Principal Collections pursuant to clauses (B)(1) through (B)(15) of the Priority of Payments (excluding clause (B)(13)) on the related Quarterly Payment Date and (b) the Interest Reserve Amount shall be calculated after giving effect to the application of any Collateral Interest Collections pursuant to clause (B)(12) of the Priority of Payments. "Class B Principal Coverage Test" means, for so long as any Class A Notes or Class B Notes remain Outstanding, a test satisfied on any Measurement Date if the Class B Principal Coverage Ratio as of such Measurement Date is equal to or greater than 101.20%. "Class C Coverage Tests" means the Class C Interest Coverage Test and the Class C Principal Coverage Test. "Class C Cumulative Deferred Interest Amount" means, with respect to any date of determination, the sum of all Class C Deferred Interest Amounts with respect to all Quarterly Payment Dates preceding such date of determination, less any amounts applied on all preceding Quarterly Payment Dates pursuant to the Priority of Payments to reduce such sum. "Class C Interest Coverage Ratio" means, with respect to any Measurement Date, the ratio (expressed as a percentage) of (i) to (ii), where (i) is equal to the Interest Coverage Amount as of such Measurement Date and where (ii) is the sum of the Advance Swap Commitment Fee plus the Advance Swap Drawing Fee plus the Aggregate Class A-1R Commitment Fee plus the Periodic Interest for the Class A Notes, the Class B Notes and the Class C Notes for the Quarterly Payment Date immediately following such Measurement Date.

A-12

"Class C Interest Coverage Test" means, for so long as any Class A Notes, Class B Notes or Class C Notes remain Outstanding, a test satisfied (i) on the Initial Quarterly Payment Date if the Class C Interest Coverage Ratio as of such date is equal to or greater than 100.00% and (ii) as of any Measurement Date if the Class C Interest Coverage Ratio as of such Measurement Date is equal to or greater than 100.20%. "Class C Note Interest Rate" means LIBOR plus 3.25%. "Class C Notes" means the U.S.$10,000,000 aggregate initial principal amount of Class C Floating Rate Junior Subordinate Secured Notes Due 2046. "Class C Payment Amount" means an amount, which the Holders of the Class C Notes will be entitled to receive on account of interest on each Quarterly Payment Date, equal to the product of (x) the outstanding principal amount of the Class C Notes with respect to the related Interest Period, (y) the actual number of days in such Interest Period divided by 360 and (z) the Class C Note Interest Rate. "Class C Principal Coverage Ratio" means, as of any Measurement Date, the ratio (expressed as a percentage) of (i) to (ii), where (i) is the Principal Coverage Amount as of such Measurement Date and (ii) is the sum of the Advance Swap Notional Amount plus the Aggregate Class A-1R Undrawn Amount plus the Aggregate Outstanding Amount of the Class A Notes, the Class B Notes (including any Class B Cumulative Deferred Interest Amount) and the Class C Notes (including any Class C Cumulative Deferred Interest Amount); provided that, for purposes of calculating the Class C Principal Coverage Ratio to determine compliance pursuant to clause (B)(19) of the Priority of Payments, the denominator of such ratio shall be determined after giving effect to any payments of principal on the Rated Notes pursuant to clauses (B)(12), (B)(15) and (B)(19) of the Priority of Payments on the related Quarterly Payment Date, and the numerator of such ratio shall be calculated after giving effect to the application of any Collateral Principal Collections pursuant to clauses (B)(1) through (B)(19) (excluding clause (B)(13)) of the Priority of Payments on the related Quarterly Payment Date. "Class C Principal Coverage Test" means, for so long as any Class A Notes, Class B Notes or Class C Notes remain Outstanding, a test satisfied on any Measurement Date if the Class C Principal Coverage Ratio as of such Measurement Date is equal to or greater than 100.20%. "Clearing Agency" means DTC, Euroclear or Clearstream. "Clearstream" means Clearstream Banking, socit anonyme. "Closing Date" means September 7, 2006. "CMBS Controlling Class" means, with respect to each Underlying CMBS Series, the class of such series then outstanding designated as the "controlling class" pursuant to the related Underlying Instrument. "CMBS Credit Tenant Lease Assets" means Collateral Debt Assets (other than CMBS Large Loan Assets, CMBS Single Asset Securities and CMBS Conduit Assets) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such Collateral Debt Assets) on the cash flow from a pool of commercial mortgage loans made to finance the acquisition, construction and improvement of properties leased to corporate tenants (or on the cash flow from such leases). "Code" means the U.S. Internal Revenue Code of 1986, as amended. "Collateral" means: (i) the Collateral Debt Assets acquired by the Issuer on the Closing Date (as listed in Annex C hereto) and the additional Collateral Debt Assets acquired by the Issuer after the Closing Date and any Equity Securities which, in each case, are delivered to the Trustee after the Closing Date and all payments thereon or with respect thereto;

A-13

(ii) the Collection Account, the Uninvested Proceeds Account, the Short CDS Assets Reserve Account, the Note Interest Reserve Account, the Payment Account, the Expense Reserve Account, each Hedge Counterparty Collateral Account, the Synthetic Asset Collateral Account, each Synthetic Asset Issuer Account, the Collateral Account, the Synthetic Reserve Account, the Class A-1R Notes Allocation Account and the Class A-1R Note Holder Subaccount, all amounts credited to such accounts, and Eligible Investments purchased with funds credited to such accounts and all income from the investment of funds therein; (iii) (iv) (v) (vi) (vii) (viii) (ix) (x) (xi) the Issuer's rights under the Class A-1R Note Purchase Agreement; the Issuer's rights under the Synthetic Collateral Agreement; the Issuer's rights under the Advance Swap; the Issuer's rights under each Short CDS Asset; each Hedge Agreement; each Cashflow Swap Agreement; the Co-Issuers' rights under each of the Transaction Documents to which it is a party; all cash or other property delivered to the Trustee; and all proceeds of and to, and any distributions of or on, the foregoing.

"Collateral Account" means the Securities Account designated the "Collateral Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. "Collateral Administration Agreement" means that certain Collateral Administration Agreement, dated as of the Closing Date, as the same may be amended or supplemented from time to time, among the Issuer, the Collateral Manager and the Collateral Administrator. "Collateral Administrator" means LaSalle Bank National Association, solely in its capacity as collateral administrator under the Collateral Administration Agreement, unless a successor Person shall have become the collateral administrator pursuant to the applicable provisions of the Collateral Administration Agreement, in which case Collateral Administrator shall mean such successor Person. "Collateral Assignment of Swap Agreements" means each collateral assignment of Hedge Agreements, dated the date that the Issuer enters into each of the Hedge Agreements, among the Issuer, the Trustee and the related Hedge Counterparty. "Collateral Debt Asset" means a cash asset meeting (or a Synthetic Asset, the Reference Obligation of which meets) each of the following standards as of the date of acquisition (or commitment to acquire) by the Issuer (collectively, the "Eligibility Criteria"): (i) (ii) it is issued by an issuer that is incorporated or organized under the laws of the United States or any state thereof or an Eligible SPV Jurisdiction; it is an ABS Security, a Bank Guaranteed Asset, a Cap Corridor Floater, a CDO Trust Preferred Asset, a CDO Investment Grade Asset, a CDO Squared Asset, a CDO Asset Backed Security, a CDO High Yield Asset, a CDO CRE Asset, a CDX Asset, an ABX Asset, a CLO Asset, a CMBS Conduit Asset, a Trust Preferred Asset, a CMBS Asset (other than as specified in clause (x) hereof), a CMBS Single Asset Security, a Home Equity Loan Asset, a Liquid Security, a Negative Amortization Asset, a RMBS Asset, a Structured Finance Security or a Synthetic Asset;

A-14

(iii) (iv)

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

(v)

(vi)

(vii) (viii)

(ix) (x) (xi)

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

(xii)

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

A-15

(1)

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

(2) (3)

(4)

(5) (6)

(7) (xvii)

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

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

(xxii)

(xxiii) (xxiv)

A-16

(xxv)

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

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

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

rating of the Hedge Ratings Determining Party from Moody's is withdrawn suspended or downgraded below "A1" or is "A1" and has been placed on and is remaining on credit watch with negative implications by Moody's, (ii) if no short-term rating is available from Moody's, the long-term rating of the Hedge 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 Hedge Ratings Determining Party from S&P is lower than "A-1" or, solely in the case of an interest rate swap, if the Hedge Ratings Determining Party does not have a short-term rating from S&P, the long-term rating of such Hedge Ratings Determining Party from S&P is lower than "A+". "Collection Account" means the Securities Account designated the "Collection Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. "Collections" means, with respect to any Payment Date, the sum of (i) the Collateral Interest Collections collected during the applicable Due Period and (ii) the Collateral Principal Collections collected during the applicable Due Period. "Combination Security" means a security, the payment of which is backed entirely by a combination of one or more classes of securities issued by a collateralized debt obligation issuer that are rated by a Rating Agency and one or more classes of securities issued by a collateralized debt obligation issuer that are not rated by any Rating Agency. "Commercial Mortgage Loan" means a loan evidenced by a promissory note or bond and secured by an instrument granting a first or second lien security interest on the fee or leasehold interest in one or more commercial or multifamily real properties. "Commission" means the United States Securities and Exchange Commission. "Controlling Class" means (i) at any time when the Advance Swap Termination Date has not occurred, the Aggregate Class A-1R Commitment has not been permanently reduced to zero and any Class A-1T1 Notes are Outstanding, all three of the Advance Swap, the Class A-1R Notes and the Class A-1T1 Notes, voting as a single Class; (ii) at any time when the Advance Swap Termination Date has occurred, the Aggregate Class A-1R Commitment has not been permanently reduced to zero and any Class A-1T1 Notes are Outstanding, both the Class A-1R Notes and the Class A-1T1 Notes, voting as a single Class; (iii) at any time when the Advance Swap Termination Date has not occurred, the Aggregate Class A-1R Commitment has been permanently reduced to zero and any Class A-1T1 Notes are Outstanding, both of the Advance Swap and the Class A-1T1 Notes, voting as a single Class; provided, however, that, notwithstanding the foregoing in clauses (i), (ii) and (iii), solely with respect to Section 5.2(a), "Controlling Class" shall mean the Class A-1R Notes, voting as a single Class, so long as the Aggregate Class A-1R Commitment has not been terminated; (iv) at any time when the Advance Swap Termination Date has occurred, the Aggregate Class A-1R Commitment has been permanently reduced to zero and any Class A1T1 Notes are Outstanding,, the Class A-1T1 Notes, voting as a single Class; (v) at any time when the Advance Swap Termination Date has occurred, the Class A-1R Commitment has been permanently reduced to zero and no Class A-1T1 Notes are Outstanding, the Class A-2 Notes, voting as a single Class; and then (vi) at any time when the Class A-2 Notes are no longer outstanding, the Class A-3 Notes voting as a single Class, so long as any Class A3 Notes are Outstanding, and then the Class A-4 Notes voting as a single Class, so long as any Class A-4 Notes are Outstanding, and then the Class B Notes voting as a single Class, so long as any Class B Notes are Outstanding, and then the Class C Notes voting as a single Class, so long as any Class C Notes are Outstanding. Any determination by the Controlling Class when any class of Rated Notes is the Controlling Class shall be determined on the basis of the Aggregate Outstanding Amount of such Rated Notes. "Controlling Person" means a Person other than a Benefit Plan Investor who has discretionary authority or control with respect to the assets of the Issuer, or who provides investment advice for a fee, direct or indirect, with respect to such assets, or an Affiliate of any such Person. "Corporate Trust Office" means the designated corporate trust office of the Trustee, currently located at 181 West Madison Street, 32nd Floor, Chicago, Illinois 60602, telephone number (312) 904-7191, fax number (312) 2640192, or such other address as the Trustee may designate from time to time by notice to the Rated Noteholders, the A-19

Income Noteholders, the Collateral Manager and the Issuer or the principal corporate trust office of any successor Trustee. "Coverage Cause Removal Notice" means notice by the Controlling Class to the Collateral Manager to the effect that due to a Class A Coverage Failure a Cause removal of the Collateral Manager is to occur (absent a cure of such Class A Coverage Failure within 30 days). "Coverage Tests" means the Class A Coverage Tests, the Class B Coverage Tests and the Class C Coverage Tests. "Covered Short CDS Asset Additional Criteria" means, in the event that proceeds from the sales of any Short CDS Assets are used to enter into or purchase Covered Short CDS Assets after the Interest-Only Period, the following criteria that shall be satisfied as of the date of entry into or purchase of each such Covered Short CDS Asset: (a) the Premium Amount per annum on the related Matching Long Position is less than the Premium Amount per annum on the Covered Short CDS Asset; (b) the economic terms of the Covered Short CDS Asset and the related Matching Long Position are identical (except for their Premium Amounts per annum); and (c ) neither the Covered Short CDS Asset nor the related Matching Long Position is permitted to be unwound unless the related Matching Long Position or Covered Short CDS Asset, as the case may be, is simultaneously unwound. "Covered Short CDS Assets" means Short CDS Assets for which there are Matching Long Positions "Credit Event" has the meaning given in the related Synthetic Asset. "Credit Improved Asset" means any Collateral Debt Asset (i) that, in the reasonable business judgment of the Collateral Manager, has significantly improved in credit quality since the date of purchase by the Issuer or (ii) (A) that has been upgraded at least one subcategory by Moody's, S&P or Fitch or put on a watch list for possible upgrade by Moody's, S&P or Fitch since it was acquired by the Issuer and (B) that, in the reasonable business judgment of the Collateral Manager, has significantly improved in credit quality since the date of purchase by the Issuer; provided that if Moody's has withdrawn or reduced its (i) long-term ratings of any Class A Notes by one or more rating subcategory since the Closing Date (unless it subsequently has been upgraded or reinstated to at least the rating assigned on the Closing Date) or (ii) long-term ratings of any Class B Notes or Class C Notes by two or more rating subcategories since the Closing Date (unless it subsequently has been upgraded or reinstated to at least one subcategory below the rating assigned on the Closing Date), then such Collateral Debt Asset shall be considered a Credit Improved Asset only if (a) such Collateral Debt Asset has been upgraded by at least one rating subcategory by Moody's, S&P or Fitch 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, S&P or Fitch or (b) Holders of a Majority of the Controlling Class have notified the Collateral Manager in writing that it can treat any security as a Credit Improved Asset (provided that at least one such notification must, but no more than one such notification need, be given to the Collateral Manager with respect to any such downgrade or withdrawal of a rating on the Notes); provided further that a Synthetic Asset will also constitute a Credit Improved Asset if the Reference Obligation of such Synthetic Asset would, if such Reference Obligation were a Collateral Debt Asset, constitute a Credit Improved Asset hereunder. "Credit Linked Securities" means credit-linked notes or similar Synthetic Assets issued by a Credit Linked Security Issuer and having the characteristics set forth in Section 12.4(a). "Credit Linked Security Issuer" means a trust or similar special purpose entity that issues Credit Linked Securities. In no event shall a Credit Linked Security Issuer be a corporate entity, bank or financial institution or any other operating entity.

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"Credit Risk Asset" means any Collateral Debt Asset (i) that, since the date of purchase by the Issuer, in the reasonable business judgment of the Collateral Manager, has a significant risk of declining in credit quality and, with lapse of time, becoming a Defaulted Asset or a Written Down Asset; provided that if Moody's has withdrawn or reduced its (x) long-term ratings of any Class A Notes by one or more rating subcategory since the Closing Date (unless it subsequently has been upgraded or reinstated to at least the rating assigned on the Closing Date) or (y) long-term ratings of any Class B Notes or Class C Notes by two or more rating subcategories since the Closing Date (unless it subsequently has been upgraded or reinstated to at least one rating subcategory below the rating assigned on the Closing Date) then either (a) such Credit Risk Asset has been downgraded by at least one rating subcategory or been put on a watch list for possible downgrade by Moody's, S&P or Fitch since it was acquired by the Issuer or (b) Holders of a Majority of the Controlling Class have notified the Collateral Manager in writing that it could treat any Collateral Debt Asset as a Credit Risk Asset (provided that at least one such notification must, but no more than one such notification need, be given to the Collateral Manager with respect to any such downgrade or withdrawal of a rating on the Notes) or (ii) that (A) at any time, is a Written-Down Asset and (B) since the date of purchase by the Issuer, in the reasonable business judgment of the Collateral Manager, has a significant risk of declining in credit quality or, with lapse of time, becoming a Defaulted Asset or a Written-Down Asset; provided further that a Synthetic Asset will also constitute a Credit Risk Asset if the Reference Obligation of such Synthetic Asset would, if such Reference Obligation were a Collateral Debt Asset, constitute a Credit Risk Asset hereunder. "Credit Support Annex" means, as applicable, the ISDA Credit Support Annex to a Hedge Agreement between the applicable Hedge Counterparty and the Issuer. "Current Interest Rate" means, as of any date of determination, (i) with respect to any Collateral Debt Asset which is a Fixed Rate Collateral Debt Asset, the stated rate at which interest accrues on such Fixed Rate Collateral Debt Asset and (ii) with respect to any Collateral Debt Asset which is a Deemed Fixed Rate Collateral Debt Asset, the Deemed Fixed Spread plus the Deemed Fixed Rate, each related to such Deemed Fixed Rate Collateral Debt Asset. "Current Portfolio" means the portfolio (measured by Principal Balance) of (a) the Pledged Collateral Debt Assets and the proceeds of the disposition thereof held as cash and (b) Eligible Investments purchased with proceeds of the disposition of Pledged Collateral Debt Assets, existing immediately prior to the sale, maturity or other disposition of a Pledged Collateral Debt Asset or immediately prior to the acquisition of a Pledged Collateral Debt Asset, as the case may be. "Current Spread" means, as of any date of determination, (i) with respect to any Collateral Debt Asset which is a Floating Rate Collateral Debt Asset, the Spread on such Floating Rate Collateral Debt Asset and (ii) with respect to any Collateral Debt Asset which is a Deemed Floating Rate Collateral Debt Asset, the Deemed Floating Rate plus the Deemed Floating Spread, each related to such Deemed Floating Rate Collateral Debt Asset. "Custodian" means LaSalle Bank National Association, as custodian under the Account Control Agreement. "Daily Official List" means the Daily Official List of the Irish Stock Exchange. "Deemed Fixed Asset Hedge" means, with respect to a Floating Rate Collateral Debt Asset, an interest rate swap having a notional schedule equal to the Principal Balance thereof as it is reduced by expected amortization of such Floating Rate Collateral Debt Asset over time; provided that (w) at the time of entry into the Deemed Fixed Asset Hedge, (i) the expected principal payments on such Floating Rate Collateral Debt Asset comprising a Deemed Fixed Rate Collateral Debt Asset will not extend beyond 10 years after the effective date thereof and (ii) the scheduled notional amount of such Deemed Fixed Asset Hedge is equal to the expected principal amount of the related Floating Rate Collateral Debt Asset (as calculated at such time), (x) the Rating Agencies and the Trustee are notified prior to the Issuer's entry into a Deemed Fixed Asset Hedge, and will be provided with the identity of the Hedge Counterparty and copies of the hedge documentation and notional schedule, (y) such Deemed Fixed Asset Hedge will require Rating Agency Confirmation from S&P to the extent the applicable master agreement or schedule attached thereto is not a Form-Approved Hedge Agreement and (z) such Deemed Fixed Asset Hedge is priced at then-current market rates; and provided further that the Issuer must obtain Rating Agency Confirmation before terminating such Deemed Fixed Asset Hedge.. 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"Deemed Fixed Rate" will equal the fixed rate that the Hedge Counterparty agrees to pay on the applicable Deemed Fixed Asset Hedge at the time such Hedge Agreement is executed. "Deemed Fixed Rate Collateral Debt Asset" means a Floating Rate Collateral Debt Asset the interest rate of which is hedged into a Fixed Rate Collateral Debt Asset interest rate using a Deemed Fixed Asset Hedge; provided that at the time of entry into the Deemed Fixed Asset Hedge (x) the Average Life of such Deemed Fixed Rate Collateral Debt Asset would not increase or decrease by more than one year from its expected average life if it were to prepay at either 50% or 200% of its pricing speed and (y) such Deemed Fixed Rate Collateral Debt Asset is rated at least investment grade by at least one of the Rating Agencies. "Deemed Fixed Spread" means the Spread over LIBOR on each Floating Rate Asset that comprises a Deemed Fixed Rate Collateral Debt Asset (excluding all Defaulted Assets and Deferred Interest PIK Bonds) less the amount of such Spread, if any, required to be paid to the Hedge Counterparty. "Deemed Floating Asset Hedge" means, with respect to a Fixed Rate Collateral Debt Asset, an interest rate swap having a scheduled notional amount equal to the Principal Balance as it is reduced by expected amortization of such Fixed Rate Collateral Debt Asset over time; provided that, (w) at the time of entry into the Deemed Floating Asset Hedge, (i) the expected principal payments on the Fixed Rate Collateral Debt Asset comprising a Deemed Floating Rate Collateral Debt Asset will not extend beyond 10 years after the effective date thereof and (ii) the scheduled notional amount of such Deemed Floating Asset Hedge is equal to the expected principal amount of the related Fixed Rate Collateral Debt Asset (as calculated at such time), (x) the Rating Agencies and the Trustee are notified prior to the Issuer's entry into a Deemed Floating Asset Hedge, and will be provided with the identity of the proposed hedge counterparty and copies of the hedge documentation and notional schedule, (y) such Deemed Floating Asset Hedge will require Rating Agency Confirmation from S&P to the extent the applicable master agreement or schedule attached thereto is not a Form-Approved Hedge Agreement and (z) such Deemed Floating Asset Hedge is priced at then-current market rates; and provided further that the Issuer must obtain Rating Agency Confirmation before terminating such Deemed Floating Asset Hedge. "Deemed Floating Rate" means the floating rate in excess of LIBOR or such other floating rate index, as applicable, that the Hedge Counterparty agrees to pay on the Deemed Floating Rate Asset Hedge at the time such Hedge Agreement is executed. "Deemed Floating Rate Collateral Debt Asset" means a Fixed Rate Collateral Debt Asset the interest rate of which is hedged into a Floating Rate Collateral Debt Asset using a Deemed Floating Asset Hedge; provided that at the time of entry into the Deemed Floating Asset Hedge (x) the Average Life of such Deemed Floating Rate Collateral Debt Asset would not increase or decrease by more than one year from its expected average life if it were to prepay at either 50% or 200% of its pricing speed and (y) such Deemed Floating Rate Collateral Debt Asset is rated at least investment grade by one of the Rating Agencies. "Deemed Floating Spread" means the difference between the stated rate at which interest accrues on each Fixed Rate Collateral Debt Asset that comprises a Deemed Floating Rate Collateral Debt Asset (excluding all Defaulted Assets and Deferred Interest PIK Bonds) and the Fixed Payment Rate. "Default" means any Event of Default or any occurrence that, with notice or the lapse of time or both, would become an Event of Default. "Defaulted Asset" means any Collateral Debt Asset or any other security included in the Collateral: (i) as to which (a) the issuer thereof has defaulted in the payment of principal or interest (without giving effect to any applicable notice or grace period or waiver, unless the Collateral Manager certifies to the Trustee that in the Collateral Manager's reasonable business judgment such default of up to the lesser of (x) three (3) Business Days and (y) the grace period provided for in the Underlying Instruments is due to non-credit and non-fraud related reasons and the Collateral Manager has so certified in writing to the Trustee) or (b) notwithstanding anything in clause (i)(a) above, pursuant to its Underlying Instruments, there has occurred any default or event of default which entitles the holders thereof, with

A-22

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

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

A-24

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

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(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; (c) demand and time deposits in, interest bearing trust accounts and certificates of deposit of, bankers' acceptances payable within 183 days of issuance issued by, or federal funds sold by any depository institution or trust company (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 or debt obligations of such holding company) at the time of such investment or contractual commitment providing for such investment have a credit rating of: (i) in the case of long-term debt obligations (x) not less than "Aa2" (and if rated "Aa2", has not been placed on a watch list for possible downgrade) by Moody's, and (y) not less than "AA+" by S&P; or (ii) in the case of commercial paper and short-term debt obligations including time deposits, (x) "P-1" (and if rated "P-1", has not been placed on a watch list for possible downgrade) by Moody's and (y) "A-1+" by S&P (other than overnight deposits issued or sold by, or maintained with, the Trustee, so long as LaSalle (1) remains the trustee and (2) is rated "A-1" and is not on credit watch with negative implications from S&P) provided that, in the case of commercial paper and short-term debt obligations with a maturity of longer than ninety-one (91) days, the issuer thereof must also have at the time of such investment a long-term credit rating of not less than "AA+" by S&P; provided that, in each case, the issuer thereof must have at the time of such investment a long-term credit rating of not less than "Aa3" (and if rated "Aa3", has not been placed on a watch list for possible downgrade) by Moody's; (d) registered securities other than mortgage-backed securities bearing interest or sold at a discount issued by any corporation incorporated under the laws of the United States of America or any state thereof that have a credit rating of "AA+" by S&P and "Aa2" by Moody's at the time of such investment or contractual commitment providing for such investment; (e) unleveraged repurchase obligations with respect to any security described in clause (b) above, entered into with a depository institution or trust company (acting as principal) described in clause (c) or entered into with a corporation (acting as principal) whose short-term debt has a credit rating of "A1+" by S&P and "P1" by Moody's at the time of such investment in the case of any repurchase obligation for a security having a maturity not more than 183 days from the date of its issuance or whose long-term debt has a credit rating of at least "AA+" by S&P and "Aa2" by Moody's at the time of such investment in the case of any repurchase obligation for a security having a maturity more than 183 days from the date of its issuance; (f) commercial paper or other short-term obligations having at the time of such investment a credit rating of "A-1+" by S&P and "P1" by Moody's that are registered and are either bearing interest or are sold at a discount from the face amount thereof and that have a maturity of not more than 183 days from its date of issuance; provided, however, that in the case of commercial paper with a maturity 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 "AA+" by S&P and "Aa2" by Moody's;

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(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 "AAAm or AAAmG" by S&P and "Aa2" by Moody's (including those for which the Trustee is Collateral Manager or advisor); and (h) received; any other investments with respect to which Rating Agency Confirmation has been

provided, however, that (x) Eligible Investments purchased with funds in the Collection Account will be held until maturity except as otherwise specifically provided herein and will include only such obligations or securities as mature no later than the Business Day prior to the Quarterly Payment Date next succeeding the date of investment in such obligations or securities; and (y) none of the foregoing obligations or securities will constitute Eligible Investments if all, or substantially all, of the remaining amounts payable thereunder will consist of interest and not principal payments, if such security is purchased at a price in excess of 100% of par, if such security is subject to substantial non-credit related risk, as determined by the Collateral Manager in its reasonable business judgment, if such security is subject to an offer at the time of acquisition, if such security is subject to withholding taxes (unless the issuer thereof is required to provide gross-up payments with respect thereto), if the acquisition (including the manner of acquisition), ownership, enforcement, or disposition of the obligation or security will subject the Issuer to net income tax in any jurisdiction, or if such security has an assigned rating with an "r", "t" "p", "pi" or "q" subscript or if such security is a mortgage-backed security. "Eligible SPV Jurisdiction" means any of Bahamas, Bermuda, the Cayman Islands, the Channel Islands, Ireland, the British Virgin Islands, the Netherlands Antilles, Luxembourg or any other jurisdiction that is commonly used as the place of organization of special or limited purpose vehicles that issue Asset-Backed Securities (so long as Rating Agency Confirmation is obtained in connection with the inclusion of such other jurisdiction) generally imposing either no or nominal taxes on the income of companies organized under the laws of such jurisdiction. "Eligible Synthetic Collateral Assets" means any U.S. dollar-denominated investment that, at the time it is delivered to the Trustee, is one or more of the following obligations or securities, including those investments for which the Trustee or an Affiliate of the Trustee provides services: (a) any Liquid Security which (i) pays a floating rate of interest; (ii) has ratings of at least "AA-" by S&P and "Aa3" by Moody's, if rated by Moody's; and (iii) satisfies any additional conditions or restrictions set forth in the Synthetic Collateral Agreement; or (b) any obligation or security that satisfies the definition of Eligible Investments.

"Emerging Market Issuer" means a sovereign or non-sovereign issuer organized or incorporated in a country that is in Latin America, Asia, Africa, Eastern Europe or the Caribbean or in a country the Dollardenominated obligations of which are rated lower than "Aa2" (or are rated "Aa2" and are on credit watch with negative implications) by Moody's and lower than "AA" by S&P; provided that an issuer of ABS Securities or CDO Assets organized or incorporated in an Eligible SPV Jurisdiction will not be an Emerging Market Issuer for purposes hereof if the underlying collateral of such ABS Securities or CDO Assets consists primarily of (x) obligations of obligors organized or incorporated in the United States and (y) obligations of obligors organized or incorporated in Eligible SPV Jurisdictions. "Equity Security" means any security (other than an Interest Only Security or Principal Only Security) that does not entitle the holder thereof to receive periodic payments of interest and one or more installments of principal. "Euroclear" means Euroclear Bank S.A/N.V., as operator of the Euroclear system. "Excess Funds" means all remaining Collateral Interest Collections and Collateral Principal Collections after payment of clauses (B)(1) through (B)(25) of the Priority of Payments. "Exchange Act" means the United States Securities Exchange Act of 1934, as amended.

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

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

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"Guaranteed Debt Asset" means a Bank Guaranteed Asset or an Insurance Company Guaranteed Asset. "Healthcare Assets" means Collateral Debt Assets that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from leases and subleases of equipment to hospitals, nonhospital medical facilities, physicians and physician groups for use in the provision of healthcare services. "Hedge Agreements" means the Initial Interest Rate Hedge Agreement and any other interest rate cap agreements, interest rate floor agreements, interest rate swap agreements, Deemed Floating Asset Hedges or Deemed Fixed Asset Hedges (including related confirmations) or similar agreements entered into to hedge the Issuer's interest rate exposure. "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 with respect to each Hedge Agreement, a counterparty that satisfies the Hedge Counterparty Ratings Requirement and any substitute or additional parties therefore appointed in accordance with the Indenture. "Hedge Counterparty Collateral Account" means each Securities Account designated the "Hedge Counterparty Collateral Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. "Hedge Counterparty Ratings Requirement" means, with respect to any Hedge Ratings Determining Party: (a) either (i) both (x) the short-term rating of such Hedge Ratings Determining Party by Moody's is not lower than "P1" and, if rated "P1", has not been placed and be remaining on credit watch with negative implications and (y) the long-term rating of such Hedge Ratings Determining Party by Moody's is not withdrawn, suspended or downgraded below "A1" or, if rated "A1", has not been placed and be remaining on credit watch with negative implications or (ii) if such Hedge Ratings Determining Party has no short-term rating from Moody's, the long-term rating by Moody's of such Hedge Ratings Determining Party is at least "Aa3" and, if rated "Aa3", has not been placed and is not remaining on credit watch with negative implications and (b) either (i) the short-term rating of such Hedge Ratings Determining Party is not lower than "A1" by S&P or (ii) solely in the case of an Interest Rate Hedge Agreement, if such Hedge Ratings Determining Party does not have a short-term rating from S&P, the longterm rating of such Hedge Ratings Determining Party by S&P is not lower than "A+". "Hedge Ratings Determining Party" means (a) unless clause (b) applies with respect to any Hedge Agreement, the applicable Hedge Counterparty or any transferee thereof, or (b) any Affiliate of such Hedge Counterparty or any transferee thereof, that unconditionally and absolutely guarantees (with the form of such guarantee meeting S&P's then-current criteria with respect to guarantees) the obligations of the Hedge Counterparty or such transferee, as the case may be, under the Hedge Agreement. For the purpose of this definition, no direct or indirect recourse against one or more shareholders of any Hedge Counterparty or any such transferee (or against any Person in control of, 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 applicable Hedge Counterparty or any such transferee. "Hedge Replacement Account" means the Securities Account designated the "Hedge Replacement Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. "Hedge Termination Receipts Account" means the Securities Account designated the "Hedge Termination Receipts Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture.

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"Highest Auction Price" means the greater of (a) the highest price bid by any Listed Bidder for all of the Collateral Debt Assets and (b) the sum of the highest prices bid by one or more Listed Bidders for each Subpool. In each case, the price bid by a Listed Bidder shall be the Dollar amount determined by the Trustee based on its review of the bids, which determination shall be binding and conclusive. "Income Note Issuing and Paying Agent" means LaSalle Bank National Association, and any successors or assigns in its capacity as Income Note Issuing and Paying Agent under the Income Note Issuing and Paying Agency Agreement. "Income Note Register" means, with respect to the Income Notes, the Income Note Register maintained by the Income Note Registrar. "Income Note Registrar" means LaSalle Bank National Association, and any successors or assigns in its capacity as Income Note Registrar under the Income Note Issuing and Paying Agency Agreement. "Income Noteholder" means, with respect to any Income Note, the Person in whose name such Income Note is registered in the Income Note Register. "Income Notes" means the U.S.$13,500,000 Income Notes Due 2046. "Income Notes Stated Amount" means U.S.$13,500,000. "Indenture" means that certain Indenture, dated as of the Closing Date, as the same may be amended or supplemented from time to time, among the Issuer, the Co-Issuer and the Trustee. "Initial Monthly Payment Date" means the Monthly Payment Date occurring on November 6, 2006. "Initial Purchaser" means Citigroup, in its capacity as initial purchaser of the Rated Notes. "Initial Quarterly Payment Date" means the Quarterly Payment Date occurring on January 5, 2007. "Interest Coverage Amount" means, as of any date of determination, an amount equal to (a) the amount received or scheduled to be received as Collateral Interest Collections during the related Due Period, less (b)(i) the amount payable as Aggregate Fees and Expenses on the related Quarterly Payment Date, (ii) any amounts paid or scheduled to be paid to the Hedge Counterparties, the Cashflow Swap Counterparties and the Short CDS Asset Counterparties on the related Quarterly Payment Date (excluding any termination payment under any Hedge Agreements, Cashflow Swap Agreements and Short CDS Assets), (iii) any amounts payable pursuant to clauses (B)(4)(a)(i), (B)(5)(a) and (B)(8)(a) of the Priority of Payments and (iv) for purposes of calculating the Class B Interest Coverage Test and the Class C Interest Coverage Test, any amounts scheduled to be paid to the Interest Reserve Account on the related Quarterly Payment Date; provided that (i) Aggregate Fees and Expenses will not include any amounts paid pursuant to clause (B)(2) of the Priority of Payments in any consecutive 12-month period in excess of the sum of (a) 0.01% of the Collateral Principal Balance as of the first day of the related interest Period plus (b) $25,000 (such sum to be prorated based upon the actual number of days in any applicable period), (ii) Aggregate Fees and Expenses will not include any amounts payable pursuant to clause (B)(3) of the Priority of Payments in excess of U.S.$195,000 in the aggregate in any consecutive 12-month period, (iii) scheduled Collateral Interest Collections will not include any amount scheduled to be received on Defaulted Assets, (iv) scheduled Collateral Interest Collections will not include any amount scheduled to be received on securities that are currently deferring interest until such amounts are actually received in cash, (v) the expected interest income on Floating Rate Collateral Debt Assets and Eligible Investments will be calculated using the then-current interest rate applicable thereto, (vi) a Synthetic Asset will be included as a Collateral Debt Asset having the characteristics of such Synthetic Asset and not the underlying Reference Obligation and (vii) with respect to any Written Down Asset, the Interest Coverage Amount will exclude any interest accrued on any Written Down Amount. "Interest Coverage Ratio" means the Class A Interest Coverage Ratio, the Class B Interest Coverage Ratio and the Class C Interest Coverage Ratio.

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

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"Key Manager Departure" means (i) if Steve Kasoff and Charles Schorin are the only Key Managers, each of Steve Kasoff and Charles Schorin ceases to be employed on a substantially full-time basis in a senior management position by the Collateral Manager (or by any of its successors or assigns permitted pursuant to this Agreement), (ii) if there are three Key Managers, then all three such Key Managers cease to be employed on a substantially full-time basis in a senior management position by the Collateral Manager (or by any of its successors or assigns permitted pursuant to this Agreement) and (iii) if there are four Key Managers, then more than two Key Managers cease to be employed on a substantially full-time basis in a senior management position by the Collateral Manager (or by any of its successors or assigns permitted pursuant to this Agreement). "Key Manager Departure Cure" means, in connection with a Key Manager Departure, the establishment of one or more additional Approved Replacement Persons that cause the total number of Key Managers to be not less than two. "Key Manager Event" means, the occurrence of a Key Manager Departure and the absence of a Key Manager Departure Cure for a period of four months. "Key Managers" means Steve Kasoff and Charles Schorin (or if Steve Kasoff or Charles Schorin have been replaced with one or more Approved Replacement Persons, such Approved Replacement Person), and any additional Key Managers selected pursuant to the Collateral Management Agreement. "London Banking Day" means any day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in London. "Majority" means (a) with respect to the Advance Swap, the Advance Swap Counterparty as counterparty with respect to an amount equal to 100% of the Advance Swap Notional Amount, (b) with respect to any Class or Classes of Rated Notes, the Holders of more than 50% of the Aggregate Outstanding Amount of the Rated Notes of such Class or Classes of Rated Notes, as the case may be, (c) with respect to the Advance Swap and any Class or Classes of Rated Notes, the Advance Swap Counterparty as counterparty as to respect to the amount equal to 100% of the Advance Swap Notional Amount and the Holders of more than 50% of the Aggregate Outstanding Amount of the Rated Notes of such Class or Classes of Rated Notes, as the case may be, all voting as one single class, and (d) with respect to the Income Notes, the Holders of more than 50% of the aggregate Principal Balance of the Outstanding Income Notes. "Margin Stock" means "margin stock" as defined under Regulation U issued by the Board of Governors of the Federal Reserve System. "Market Value" means, on any date of determination for which the related Collateral Debt Asset requires a Market Value, an amount determined using the first available (or required) of the following methods: (a) first, the price supplied therefor by any Independent, nationally recognized pricing service for the relevant type of Collateral Obligation (provided that Rating Agency Confirmation shall have been received with respect to such service from S&P) and as certified by the Collateral Manager as being obtained from such source; (b) second, the average of three or more bid-side market values thereof obtained by the Collateral Manager from nationally recognized broker/dealers that are Independent from the Collateral Manager and from each other; (c) third, if the Collateral Manager is in good faith unable to obtain bid-side prices from three such broker/dealers, the lower of two bid-side market values thereof obtained by the Collateral Manager from nationally recognized broker/dealers that are Independent from the Collateral Manager and from each other; (d) fourth, if the Collateral Manager is in good faith unable to obtain bid-side prices from two such broker/dealers, the bid-side market value obtained from the Collateral Manager from one nationally recognized broker/dealer that is Independent from the Collateral Manager; or (e) fifth, if the Collateral Manager is unable in good faith to obtain bid-side prices on such Collateral Debt Asset pursuant to any of subclauses (a) through (d) above, the "Market Value" of such Collateral Debt Asset will be the lower of (1) the value of such Collateral Debt Asset as determined by the Collateral Manager in good faith and in the exercise of its commercially reasonable judgment and (2) the S&P Recovery Rate for such Collateral Debt Asset, multiplied by the original Principal Balance of such Collateral Debt Asset; provided, however, that the Aggregate Principal Balance of the Collateral Debt Assets for which the Market Value is determined pursuant to clause (e) shall not at any time exceed 10.0% of the CDS Principal Balance; provided, further, that (a) if the Aggregate Principal Balance of the Collateral Debt Assets for which the Market Value is determined pursuant to clause (e) at any time exceeds A-33

10.0% of the CDS Principal Balance, then the Market Value of such excess shall equal zero and (b) the Market Value of any Collateral Debt Asset for which clause (e) would otherwise be applicable (and excluding, without limitation, any determination of "Market Value" for which clauses (a) through (d) is applicable) shall equal zero to the extent that the Market Value of such Collateral Debt Asset has been determined pursuant to subclause (e) for more than 30 days. "Market Value CDO Assets" means CDO Assets with respect to which the coverage ratios are exclusively determined by reference to the market value of the underlying portfolio of investments as prescribed by the applicable rating agencies. "Master Agreement" means the ISDA Master Agreement that may be in the form of a 1992 ISDA Master Agreement (Multicurrency Cross Border) or any successor form published by ISDA, together with the schedule and any credit support annexed thereto and one or more confirmations thereunder. "Matching Long Positions" means securities or other instruments which provide to the holders of such securities or other instruments credit exposure that is the opposite of the credit exposure of the applicable Covered Short CDS Assets, but which are substantially similar to such Covered Short CDS Assets in terms of credit ratings, payment tranches, counterparties and other main economic terms (and, if such Matching Long Position is an ABS Security, has the same CUSIP number as the applicable Covered Short CDS Asset). "Measurement Date" means each Business Day after the Closing Date that the Issuer commits to purchase a Collateral Debt Asset and each Calculation Date. "Minimum Weighted Average Fixed Rate Coupon" means, as of any date of determination, a rate equal to 5.90%. "Minimum Weighted Average Fixed Rate Coupon Test" means a test that will be satisfied on any Measurement Date if the Weighted Average Fixed Rate Coupon as of such date equals or exceeds the Minimum Weighted Average Fixed Rate Coupon. "Minimum Weighted Average Spread" means, as of any date of determination, 0.53%. "Minimum Weighted Average Spread Test" means a test that will be satisfied as of any time of determination if the Weighted Average Spread is equal to or greater than the Minimum Weighted Average Spread. "Moneyline Telerate Page 3750" means the display page so designated on Moneyline Telerate Service (or such other page as may replace that page on that service, or such other service as may be nominated as the information vendor, for the purposes of displaying rates comparable to LIBOR). "Monthly Payment Date" means the 5th day of each month, beginning on the Initial Monthly Payment Date and occurring on a monthly basis thereafter, and if such date is not a Business Day, the next Business Day; provided that interest on the Advance Swap and the Class A-1 Notes shall accrue to such next Business Day. "Moody's" means Moody's Investors Service, Inc. and any successor or successors thereto. "Moody's Asset Correlation" means a single number that is determined in accordance with the correlation methodology provided to the Collateral Manager and the Trustee by Moody's. "Moody's Asset Correlation Test" means a test that will be satisfied as of any Measurement Date if the Moody's Asset Correlation (rounded to the nearest whole number) as of such date is less than or equal to 21.00%; provided that the calculation of the Moody's Asset Correlation Test is based on a number of assets equal to 150. Moody's Maximum Weighted Average Rating Factor Test" means a test that will be satisfied as of any Measurement Date if the Moody's Weighted Average Rating Factor as of such date is less than or equal to 52.

A-34

"Moody's Minimum Weighted Average Recovery Rate Test" means a test that will be satisfied as of any Measurement Date if the Moody's Weighted Average Recovery Rate as of such date is greater than or equal to 43.00%. "Moody's Rating", with respect to any Collateral Debt Asset, means the rating by Moody's that addresses the repayment of principal and payment of interest determined as follows: (i) if such Collateral Debt Asset is publicly rated by Moody's, the Moody's Rating shall be such rating, or, if such Collateral Debt Asset is not publicly rated by Moody's, but the Issuer or the Collateral Manager on behalf of the Issuer has requested that Moody's assign a rating to such Collateral Debt Asset, the Moody's Rating shall be the rating so assigned by Moody's; (ii) if such Collateral Debt Asset is not publicly rated by Moody's and no rating has been assigned by Moody's to such Collateral Debt Asset pursuant to a request from the Issuer or the Collateral Manager, then the Moody's Rating of such Collateral Debt Asset will be determined using Moody's published notching criteria then applicable at the time such Collateral Debt Asset is acquired (unless the Collateral Manager elects to use the criteria in effect at the time such rating is assigned) or, if such security is not eligible for notching, will be as determined by Moody's; provided that: (1) if a Collateral Debt Asset is placed on a watch list for possible upgrade by Moody's, the Moody's Rating applicable to such Collateral Debt Asset shall be two rating subcategories above the Moody's Rating applicable to such Collateral Debt Asset immediately prior to such Collateral Debt Asset being placed on such watch list; provided that a rating of "Aa1" shall be increased to "Aaa"; (2) if a Collateral Debt Asset is placed on a watch list for possible downgrade by Moody's, and (A) the current rating is "Aaa", then the Moody's Rating applicable to such Collateral Debt Asset shall be one rating subcategory below the Moody's Rating applicable to such Collateral Debt Asset immediately prior to such Collateral Debt Asset being placed on such watch list or (B) the current rating is less than "Aaa", then the Moody's Rating applicable to such Collateral Debt Asset shall be two rating subcategories below the Moody's Rating applicable to such Collateral Debt Asset immediately prior to such Collateral Debt Asset being placed on such watch list; (3) the rating of any Rating Agency used to determine the Moody's Rating pursuant to clause (ii) above shall be a published rating that addresses the obligation of the obligor to pay principal of and interest on the relevant Collateral Debt Asset in full and is monitored on an ongoing basis by the relevant Rating Agency; (4) the Aggregate Principal Balance of Collateral Debt Assets that are subject to Moody's published notching criteria may not exceed 10% of the Aggregate Principal Balance of all Collateral Debt Assets; and (5) with respect to any Form-Approved ABS Synthetic Asset Agreement or Form-Approved CDO Synthetic Asset Agreement, the Moody's Rating shall be determined by the Moody's Rating Factor of (or such other numeric rating factor as Moody's may apply with respect to) the related Reference Obligation; and (6) with respect to any Synthetic Asset other than those referred to in clause (5) above, the Moody's Rating thereof shall be: (i) a deemed rating determined by the Collateral Manager based on running Moody's model for 30 days or until Moody's formally rates such Synthetic Asset, (ii) the Moody's Rating Factor of (or such other numeric rating factor as Moody's may apply with respect to) the Reference Obligation or (iii) otherwise determined as specified by Moody's at the time such Synthetic Asset is acquired.

A-35

"Moody's Rating Factor" means, with respect to any Collateral Debt Asset, the number set forth in the table below opposite the Moody's Rating of such Collateral Debt Asset:
Moody's Rating Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Moody's Rating Factor Moody's Rating Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca or lower Moody's Rating Factor

1 10 20 40 70 120 180 260 360 610

940 1,350 1,766 2,220 2,720 3,490 4,770 6,500 8,070 10,000

With respect to any Synthetic Asset, the Moody's Rating Factor shall be determined as specified by Moody's at the time such Synthetic Asset is acquired by the Issuer. "Moody's Recovery Rate" means the recovery rate published, or, if not published, assigned, by Moody's that applies to the category of security which best describes such Collateral Debt Asset on such date. "Moody's Weighted Average Rating Factor" means the number obtained by (i) summing the products obtained by multiplying the Principal Balance of the Collateral Debt Assets (other than Defaulted Assets) assigned each Moody's Rating as set forth in the definition of "Moody's Rating Factor" by the Moody's Rating Factor for such Moody's Rating and (ii) dividing such sum by the aggregate Principal Balance of all such Collateral Debt Assets (other than Defaulted Assets) and rounding to the nearest whole number. For purposes of the denominator of the calculation of Moody's Weighted Average Rating Factor, the Principal Balance of any Deferred Interest PIK Bond will be deemed to equal its outstanding principal amount. "Moody's Weighted Average Recovery Rate" means the number obtained by summing the products obtained by multiplying the Principal Balance of each Collateral Debt Asset (other than a Defaulted Asset) by its Moody's Recovery Rate, dividing such sum by the aggregate Principal Balance of all such Collateral Debt Assets and rounding up to the first decimal place. For purposes of the denominator of the calculation of Moody's Weighted Average Recovery Rate, the Principal Balance of any Deferred Interest PIK Bond will be deemed to equal its outstanding principal amount. "Mutual Fund Securities" means Asset-Backed Securities that entitle the holders thereof to receive payments that depend on the cashflow from a pool of brokerage fees and costs relating to various mutual funds, 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 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 the collection depending on numerous factors specific to the particular mutual funds, interest rates and general economic matters. "Note Interest Reserve Account" means the Securities Account designated the "Note Interest Reserve Account" and established in the name of the Trustee on behalf of and for the benefit of the Secured Parties under the Indenture. "Note Owner" means, with respect to any Global Note, each person that appears on the records of a Clearing Agency (other than each such Clearing Agency to the extent that it is an accountholder with the other Clearing Agency for the purpose of operating the "bridge" between them) as entitled to a particular amount of Notes by reason of an interest in a Global Note (for all purposes other than with respect to the payment of principal of and interest on the Notes, the right to which will be vested, as against the Issuer and the Co-Issuer, as applicable, and the Trustee, solely in the person in whose name the Global Note is registered in the Note Register); provided, however,

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that the Trustee may conclusively rely upon the certificate of a Clearing Agency as to the identity of such persons holding an interest in a Global Note. "Note Paying Agents" means the Principal Note Paying Agent and the Irish Note Paying Agent. "Note Register" means a register that is kept at the specified office of the Note Registrar in which, subject to such reasonable regulations as it may prescribe, the Co-Issuers will provide for the initial registration of the Rated Notes and the registration of transfers of the Rated Notes. "Note Registrar" means LaSalle Bank National Association, as registrar under the Indenture. "Note Transfer Agent" means LaSalle Bank National Association, as transfer agent under the Indenture. "Noteholder" or "Holder" means, with respect to any Note, the person in whose name such Note is registered; provided that, Note Owners or Agent Members will have no rights under the Indenture with respect to Global Notes, and the Noteholder may be treated by the Co-Issuers and the Trustee (and any agent of any of the foregoing) as the owner of such Global Notes for all purposes whatsoever. "Notes" means, collectively, the Rated Notes and the Income Notes. "Offer" means, with respect to any security, (a) any offer by the issuer of such security or by any other Person made to all of the holders of such security to purchase or otherwise acquire such security (other than pursuant to any redemption in accordance with the terms of the related Underlying Instruments) or to convert or exchange such security into or for cash, securities or any other type of consideration or (b) any solicitation by the issuer of such security or any other Person to amend, modify or waive any provision of such security or any related Underlying Instrument. "Officer" means, (a) with respect to the Issuer and any corporation, the Chairman of the Board of Directors (or, with respect to the Issuer or the Co-Issuer, any director), the President, any Vice President, the Secretary, an Assistant Secretary, the Treasurer or an Assistant Treasurer of such entity; and (b) with respect to any bank or trust company acting as trustee of an express trust or as custodian, any Trust Officer. "Opinion of Counsel" means a written opinion addressed to the Trustee and each Rating Agency (each, a Recipient), in form and substance reasonably satisfactory to each Recipient, of an attorney at law admitted to practice before the highest court of any state of the United States or the District of Columbia (or the Cayman Islands, in the case of an opinion relating to the laws of the Cayman Islands), which attorney may, except as otherwise expressly provided in the Indenture, be inside or outside counsel for the Issuer, the Co-Issuer or the Collateral Manager and which attorney shall be reasonably satisfactory to the Trustee. Whenever an Opinion of Counsel is required hereunder, such Opinion of Counsel may rely on opinions of other counsel who are so admitted and so satisfactory which opinions of other counsel shall accompany such Opinion of Counsel and shall either be addressed to each Recipient or shall state that each Recipient shall be entitled to rely thereon. "Optional Redemption" means a redemption of the Rated Notes, in whole but not in part, on or after the Quarterly Payment Date occurring in October 2009, at the direction of the Holders of a Super-Majority of the Income Notes, in accordance with the procedures, and subject to the satisfaction of the conditions, described in the Indenture. "Ordinary Shares" means the 250 ordinary shares, par value U.S.$1.00 per share issued by the Issuer. "Outstanding" means (i) with respect to the Notes as of any date of determination, any and all Notes theretofore authenticated and delivered under the Indenture other than Notes cancelled, redeemed, exchanged or replaced in accordance with the terms of the Indenture and (ii) with respect to the Income Notes as of any date of determination, any and all Income Notes theretofore issued and allotted under the Income Note Issuing and Paying Agency Agreement and listed as Outstanding in the Income Note Register other than the Income Notes cancelled, redeemed, exchanged or replaced in accordance with the terms of the Income Note Issuing and Paying Agency

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

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"PIK Bond" means any Collateral Debt Asset that, pursuant to the terms of the related Underlying Instruments, permits the payment of interest thereon to be deferred and capitalized as additional principal thereof or that issues identical securities in place of payments of interest in cash. "Pledged Collateral Debt Asset" means as of any date of determination, any Collateral Debt Asset that has been Granted to the Trustee and has not been released from the lien of the Indenture. "Pledged Assets" means on any date of determination, (a) the Collateral Debt Assets, Equity Securities and the Eligible Investments that have been Granted to the Trustee and (b) all non-cash proceeds thereof, in each case, to the extent not released from the lien of the Indenture pursuant hereto. "Portfolio Expected Maturity" means the earliest date, as determined by the Collateral Manager using assumptions consistent with its calculation of the Average Life for each Collateral Debt Asset, on which every Collateral Debt Asset (other than a Defaulted Asset or a Deferred Interest PIK Bond) is expected to have a Principal Balance of zero. "Portfolio Percentage Limitations" require that, in 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 aggregate Collateral Principal Balance of all the Collateral Debt Assets may consist of Collateral Debt Assets (measured by Principal Balance) having the characteristics specified in Column B of such row. For purposes of calculating the Portfolio Percentage Limitations, Defaulted Assets shall be excluded. The Portfolio Percentage Limitations will be applicable on and after the Effective Date. Row 1 2 3 4 5 6 7 8 Column A 0% 40.00% 5.00% 2.50% 2.00% 4.00% 1.50% 1.00% Column B a Moody's Rating below "A3" or a S&P Rating below "A-" a Moody's Rating of "A1" or below or a S&P Rating of "A+" or below CDO Downgraded Asset part of the same issue Collateral Debt Assets for which the Collateral Manager serves as collateral manager or investment advisor, provided that the Moody's Rating shall be "Aa3" or higher Collateral Debt Assets managed by a single collateral manager part of the same issue with a Moody's Rating below "Aaa" or a S&P Rating below "AAA" part of the same issue with a Moody's Rating below "Aa3" or a S&P Rating below "AA-"; provided that up to three exceptions may each comprise up to 1.50% of the Collateral Principal Balance CDO Assets CDO Assets with a Moody's Rating of "A1" or below or a S&P Rating of "A+" or below CLO Assets CDO High Yield Assets that are not CLO Assets CDO Assets that are also PIK Bonds CDO Assets that are also PIK Bonds but are not CLO Assets with a Moody's Rating of "A1" or below and a S&P Rating of "A+" or below any single CDO Asset that is also a PIK Bond but is not a CLO Asset, with a Moody's Rating of "A1" or below or a S&P Rating of "A+" or below; provided that one

9 10 11 12 13 14 15

40.00% 8.00% 10.00% 5.00% 6.00% 2.50% 0.50%

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exception may comprise up to 1.00% of the Collateral Principal Balance 16 17 18 19 3.00% 15.00% 3.00% 3.00% CDO Emerging Market Assets Short CDS Assets Static Bespoke CDO Assets with remaining term to maturity exceeding 9 years and with a S&P Rating above "AA-" Static Bespoke CDO Assets with a single rating of either a Moody's Rating of "A1" or below or a S&P Rating of "A+" or below; provided that for each such Static Bespoke CDO Asset, the other rating shall be either a Moody's Rating of "Aa3" or higher or a S&P Rating of "AA-" or higher Static Bespoke CDO Assets Static Bespoke CDO Assets that reference corporate obligors and mature later than September 2018 CMBS Assets Serviced by Wells Fargo Bank, N.A. (and its subsidiaries) Serviced by Countrywide Financial Corporation (and its subsidiaries) ABX Assets for each actively-traded index Serviced by any single servicer other than Wells Fargo Bank, N.A., Countrywide Financial Corporation and their respective subsidiaries Serviced by any single servicer with a servicer rating of "Weak" by S&P Serviced by any single servicer that does not have a servicer rating by S&P issued by obligors or issuers that are incorporated or organized in a jurisdiction outside the United States of America and outside an Eligible SPV Jurisdiction Maturing beyond the Stated Maturity Date; provided that no Collateral Debt Asset may mature later than 10 years after the Stated Maturity Date. Aggregate of Fixed Rate Collateral Debt Assets non-LIBOR Floating Rate Collateral Debt Assets (and Deemed Floating Collateral Debts Assets) Semi-Annual Pay Assets not publicly rated by Moody's and no rating has been assigned by Moody's not publicly or privately rated by S&P CDS Assets Credit Linked Securities that have counterparties with a Moody's Rating of "Aaa" or below or a S&P Rating of "AAA" or below Credit Linked Securities that have counterparties with a Moody's Rating of "Aa2" or below or a S&P Rating of "AA" or below Credit Linked Securities that have counterparties with a Moody's Rating below "Aa2" or a S&P Rating below "AA" Credit Linked Securities that have counterparties with a Moody's Rating below "A3" or a S&P Rating below "A-" paying interest less frequently than monthly Collateral Debt Assets that are not RMBS Assets, CMBS Assets, ABS Credit Card

20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42

15.00% 0.00% 10.00% 15.00% 15.00% 2.00% 7.50% 4.00% 2.50% 20.00% 4.00% 8.00% 5.00% 5.00% 10.00% 10.00% 40.00% 20.00% 10.00% 5.00% 0.00% 45.00% 40.00%

A-40

Assets, Automobile Lease Securities or Automobile Loan Securities 43 44 45 46 47 48 49 50 51 52 40.00% 70.00% 15.00% 5.00% 0.00% 5.00% 3.00% 3.00% 0.00% 15.00% Subprime RMBS Assets CDO Assets and Subprime RMBS Assets Subprime RMBS Assets with a rating from Moody's of "A1" or below or a S&P Rating of "A+" or below Negative Amortization Assets with a Moody's Rating higher than or equal to "Aa3" or a S&P Rating higher than or equal to "AA-" Negative Amortization Assets with a Moody's Rating below "Aa3" or a S&P Rating below "AA-" Cap Corridor Floaters CDO Squared Assets CDO Trust Preferred Assets CDO Trust Preferred Assets with a Moody's Rating below "Aa3" or a S&P Rating below "AA-" Static Bespoke CDO Assets and Cap Corridor Floaters

For purposes of determining compliance with the Portfolio Percentage Limitations, each calculation made to determine compliance with the Portfolio Percentage Limitations will be made with the assumption that aggregate Principal Balance of all the Collateral Debt Assets will remain unchanged by the sale or purchase of the applicable Collateral Debt Assets. "Premium Amount" means, with respect to a CDS Asset or Short CDS Asset, a periodic premium paid by the CDS Asset Counterparty or Short CDS Asset Counterparty to the Issuer, calculated as the product of the premium rate specified in such CDS Asset or Short CDS Asset multiplied by the notional amount of such CDS Asset or Short CDS Asset. "Principal Balance" means, with respect to any Collateral Debt Asset or Eligible Investment, as of any date of determination, the outstanding principal amount of such Collateral Debt Asset or Eligible Investment; provided that the Principal Balance of (i) any Collateral Debt Asset that permits the deferral or capitalization of interest will not include any outstanding balance of the deferred and/or capitalized interest, (ii) any Equity Security will be zero, (iii) any puttable Collateral Debt Asset which matures after the Stated Maturity Date will be the lower of the put price and the outstanding principal amount, (iv) any Synthetic Asset will be the notional amount of such Synthetic Asset and any Synthetic Asset in the form of a note will be equal to the principal amount of the Synthetic Asset, (v) any Step-Up Bond will be the accreted value at the originally purchased discount rate thereof and (vi) any Collateral Debt Asset or Eligible Investment in which the Trustee does not have a perfected first priority security interest (as to which the Trustee has actual knowledge or otherwise determined based upon an annual security interest opinion delivered pursuant to the Indenture) shall be zero. "Principal Coverage Amount" means, as of any date of determination, an amount equal to (1) the aggregate Principal Balance of all Collateral Debt Assets (other than Defaulted Assets, Written Down Assets, Deferred Interest PIK Bonds, Discount Collateral Debt Assets and Covered Short CDS Assets) included in the Collateral on such date, plus (2) the aggregate Principal Balance of the Eligible Investments in the Collection Account on such date that represent Collateral Principal Collections, plus (3) the Defaulted Assets Amount, plus (4) with respect to Written Down Assets, the Reduced Principal Balance, plus (5) the Deferred Interest PIK Bond Amount, plus (6) the Discount Collateral Debt Asset Amount, plus (7) any Synthetic Asset Capacity Amount; provided that, for any Discount Collateral Debt Asset or Written Down Asset, the Principal Balance thereof for purposes of clause (1) above, or the Written Down Principal Balance thereof for purposes of clause (4) above, as applicable, will be deemed to be discounted to an amount equal to the percentage thereof corresponding to its purchase price (determined exclusive of accrued interest) as a percentage of its outstanding principal amount at the time of purchase thereof by the Issuer; provided, further, that any Negative Amortization Asset with a Principal Balance (including

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capitalized principal) greater than 100% of its original Principal Balance shall be included (without duplication) at the lesser of (A) its original Principal Balance and (B) its original Principal Balance minus the amount by which the Principal Balance (including capitalized principal) of such Collateral Debt Asset exceeds 105% of its original Principal Balance. For purposes of calculating the Principal Coverage Tests (but not the Additional Class C Principal Coverage Test), the Principal Balance of a Collateral Debt Asset (other than with respect to a Defaulted Asset, a Written Down Asset or a Deferred Interest PIK Bond, each of which shall be discounted in accordance with the terms of the Indenture) will be discounted by the following percentage set forth under "Discount" opposite its Rating Level in the table below; provided that, with respect to the discount to be applied to Moody's Ratings of "Baa1," "Baa2" and "Baa3" and S&P Ratings of "BBB+," "BBB" and "BBB-," such discount will be applied to the lowest rated Collateral Debt Asset and will only be applied to Collateral Debt Assets with such ratings to the extent that at the time they exceed 5% of the Collateral Principal Balance; and provided, further, that, if any rating of such Collateral Debt Asset falls between any two such rating levels, then the discount applied will be based on the lower of the Moody's Rating or S&P Rating: Discount 1.5% 2% Moody's Rating/S&P Rating Baa1/BBB+ Less than Baa1/BBB+, but at least Baa2/BBB Less than Baa2/BBB, but at least Baa3/BBBLess than Baa3/BBB-, but at least Ba1/BB+ Less than Ba1/BB+, but at least Ba2/BB Less than Ba2/BB, but at least Ba3/BBLess than Ba3/BB-, but at least B3/BLess than B3/B-

5%

10%

15%

30%

30%

50%

For purposes of calculating the Principal Coverage Amount, a Synthetic Asset that is not a Defaulted Asset shall be included as a Collateral Debt Asset having the Principal Balance of the Synthetic Asset. For purposes of calculating the Additional Class C Principal Coverage Test, the Principal Balance of (i) a Single-Tranche Synthetic CDO Asset or (ii) a CDO Asset with a Moody's Rating below "A1" or a S&P Rating below "A+" on its date of acquisition, in each case that has been downgraded and, with respect to such downgraded Collateral Debt Asset with a negative watch, deemed to have the rating as determined in accordance with the A-42

definition of Moody's Rating and S&P Rating (other than with respect to a Defaulted Asset, a Written Down Asset or a Deferred Interest PIK Bond, each of which shall be discounted in accordance with the terms of the Indenture) will be discounted by the following percentage set forth under "Discount" opposite its Rating Level in the table below; provided that with respect to the discount to be applied to Moody's Ratings of "Baa1," "Baa2" and "Baa3" and S&P Ratings of "BBB+," "BBB" and "BBB-," such discount will be applied to the lowest rated Collateral Debt Asset; and provided, further, that if any rating of such Collateral Debt Asset falls between any two such rating levels then the discount applied will be based on the lower of the Moody's Rating or S&P Rating: Discount 20% 30% Moody's Rating/S&P Rating Baa1/BBB+ Less than Baa1/BBB+, but at least Baa3/BBBLess than Baa3/BBB-

50%

"Principal Coverage Ratios" means the Class A Principal Coverage Ratio, the Class B Principal Coverage Ratio and the Class C Principal Coverage Ratio. "Principal Coverage Tests" means the Class A Principal Coverage Test, the Class B Principal Coverage Test and the Class C Principal Coverage Test. "Principal Note Paying Agent" means LaSalle Bank National Association, as Principal Note Paying Agent under the Indenture. "Principal Only Security" means any Collateral Debt Asset that does not provide for payment of interest or provides that all payments of interest will be deferred until the final maturity thereof. "Priority-Related Amount" means, with respect to any CDS Asset, any CDS Principal Reimbursement payable by a CDS Asset Counterparty to the Issuer, and any CDS Principal Payment or Physical Settlement Payment payable by the Issuer to a CDS Asset Counterparty. "Pro Rata Payment Basis" means, on any date, (i) if the Class A-1 Note Proportion on such date is equal to the Adjusted Effective Date Class A-1 Note Proportion, then to the Advance Swap and to each Class of the Rated Notes (including, in the case of the Advance Swap and the Class A-1R Notes, deposits into the Synthetic Reserve Account) in proportion to the sum of the Advance Swap Notional Amount plus the respective Aggregate Outstanding Amounts of all of the Classes of the Rated Notes (plus in the case of the Class A-1R Notes, the Aggregate Class A-1R Undrawn Amount), and (ii) if the Class A-1 Note Proportion on such date is less then the Adjusted Effective Date Class A-1 Note Proportion, then to each Class of the Rated Notes (other than the Class A-1 Notes) in proportion to the respective Aggregate Outstanding Amounts of all of the Classes of the Rated Notes (other than the Class A-1 Notes), then to the Advance Swap and to the Class A-1 Notes, until the Class A-1 Note Proportion is again equal to the Adjusted Effective Date Class A-1 Note Proportion. "Pro Rata Payment Conditions" means, on any date following the Effective Date, that (i) the aggregate Principal Balance of all Collateral Debt Assets held by the Issuer (after giving effect to any pro rata payment of the principal of the Rated Notes on such date) is not less than 50% of the Collateral Principal Balance on the Effective Date, (ii) there has never been a Class A Coverage Failure and (iii) no Coverage Test has failed on more than one occasion to be in compliance on the Calculation Date applicable to a Quarterly Payment Date (or, if any Coverage Test has failed to be in compliance, such non-compliance shall have ceased and been cured and the Moody's

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

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

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the entirety of the tranche or tranches that constitute the risk purchased or sold in such Single Tranche Synthetic CDO Asset. "Reference Obligor" means the obligor on a Reference Obligation. "Regulation S Global Income Note" means any Income Note sold to a person who is not a U.S. Person in an offshore transaction in reliance on Regulation S under the Assets Act. "Regulation S Global Note" means any Rated Note sold to a person who is not a U.S. Person in an offshore transaction in reliance on Regulation S under the Assets Act. "REIT" means a real estate investment trust. "REIT Debt Asset" means a debt obligation issued by a publicly-held REIT. "REIT Trust Preferred Assets" means securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) on the cash flow from either an individual trust security or a pool of trust securities issued (in each case) by a wholly-owned trust subsidiary of a REIT, or of an operating partnership subsidiary of a REIT, that issues obligations to such trust subsidiary in exchange for the net issuance proceeds of such securities. "Repository" means the internet-based password protected electronic repository of transaction documents relating to privately offered and sold collateralized debt obligation securities located at www.cdolibrary.com and maintained by the Bond Market Association. "Reserve Investments" means Eligible Investments acquired from time to time with amounts on deposit in the Synthetic Asset Collateral Account. "Restricted Certificated Note" means Rated Notes which are issued in the form of physical certificates in definitive, fully registered form. "S&P" means S&P Ratings Services, a division of The McGraw-Hill Companies, Inc., and any successor or successors thereto. "S&P CDO Monitor" means the dynamic, analytical computer program provided by S&P to the Collateral Manager and the Trustee (together with written instructions on the application of such program, including all applicable assumptions) on or prior to the Effective Date for the purpose of estimating the default risk of Collateral Debt Assets, as it may be modified from time to time by S&P. "S&P CDO Monitor Test" means a test that will be satisfied as of any Measurement Date if (i) the Rated Note Class Loss Differential of the Current Portfolio or the Proposed Portfolio, as applicable, is positive. The S&P CDO Monitor Test will be considered to be improved if the Rated Note Class Loss Differential of the Proposed Portfolio is greater than the Rated Note Class Loss Differential of the Current Portfolio. "S&P Minimum Recovery Rate Test" means a test that will be satisfied as of any Measurement Date if the S&P Weighted Average Recovery Rate as of such date is equal or greater than (a) 52.00%, with respect to the Class A-1 Notes, (b) 52.00% with respect to the Class A-2 Notes, (c) 52.00% with respect to the Class A-3 Notes, (d) 59.00% with respect to the Class A-4 Notes, (e) 69.00%, with respect to the Class B Notes and (f) 75.00%, with respect to the Class C Notes. "S&P Preferred Format" means an electronic spreadsheet file to be provided to S&P, which file shall include the following information, if available (to the extent such information is not confidential) with respect to each Collateral Debt Asset (including, for any Synthetic Asset, with respect to any Reference Obligation thereunder): (a) the name and country of domicile of the issuer thereof and the particular issue held by the Issuer, (b) the CUSIP or other applicable identification number associated with such Collateral Debt Asset, (c) the par value

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

(b)

(c)

Notwithstanding the foregoing, (i) if any Collateral Debt Asset shall, at the time of its purchase by the Issuer, be listed for a possible upgrade or downgrade on S&P then current credit rating watch list, then the S&P Rating of such Collateral Debt Asset shall be one subcategory above or below, respectively, the rating then assigned to such item by S&P, as applicable, provided that if such Collateral Debt Asset is removed from such list at any time, it shall be deemed to have its then-current actual rating by S&P, (ii) with respect to any Form-Approved ABS Synthetic Asset Agreement or Form-Approved CDO Synthetic Asset Agreement, the S&P Rating shall be the S&P Rating of the related Reference Obligation, (iii) with respect to any new Synthetic Asset entered into after the Closing Date, the S&P Rating shall be a deemed rating determined by the Collateral Manager based on running S&P A-47

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

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"Senior Class" means the Class A-1 Notes, then the Class A-2 Notes, then the Class A-3 Notes, then the Class A-4 Notes, then the Class B Notes, so long as any Class B Notes are Outstanding and then the Class C Notes, so long as the Class C Notes are Outstanding. "Senior Collateral Management Fee" means, for any Quarterly Payment Date, an amount equal to 0.05% per annum of the Fee Basis Amount. "Servicer" means, with respect to any Collateral Debt Asset, the entity (howsoever described in the applicable Underlying Instrument) that, absent any default, event of default or similar condition (however described), is primarily responsible for managing, servicing, monitoring and otherwise administering the cash flows from which payments to investors in such Collateral Debt Asset are made. To the extent that multiple entities have such responsibilities for a given Collateral Debt Asset, the Servicer will be deemed to be the entity most directly involved in maximizing the cashflow of the assets through the management and resolution of delinquent and defaulted assets, as determined by the Collateral Manager. "Short CDS Asset" means (a) a credit default swap where the Issuer is the buyer of protection, (b) a total return swap where the Issuer is the total return payer, or (c) a swaption in which the Issuer has the right to buy protection. "Short CDS Asset Counterparty" means the counterparty under a Short CDS Asset. "Short CDS Asset Premium Test" means a test (which can be applied following the delivery to the Trustee of the S&P CDO Monitor) which will be satisfied with respect to the entry into or acquisition of any Short CDS Asset by the Issuer if either (i) such Short CDS Asset does not require any ongoing fixed payments by the Issuer or (ii) immediately after such entry or acquisition, (a) the sum of the products obtained with respect to each Uncovered Short CDS Asset by multiplying (i) the fixed rate premium percentage per annum payable by the Issuer to the applicable CDS Asset Counterparty under such Uncovered Short CDS Asset multiplied by (ii) the notional amount of such Uncovered Short CDS Asset multiplied by (iii) the Average Life of such Uncovered Short CDS Asset, is less than (b) the product of (i) the Weighted Average Spread for such Measurement Date minus the Minimum Weighted Average Spread, multiplied by (ii) the Aggregate Principal Balance of all Collateral Debt Assets (excluding Defaulted Assets, Written-Down Assets or Deferred Interest PIK Bonds) multiplied by (iii) the Weighted Average Life of all Collateral Debt Assets (excluding Defaulted Assets, WrittenDown Assets and Deferred Interest PIK Bonds) multiplied by (iv) (100% minus the Rated Note Class Scenario Default Rate applicable to the Class A-1 Notes). provided that the Average Life of any RMBS Assets shall be calculated in accordance with Section1.3(a) using 50% of the applicable prepayment speed for clause (a) above and 150% of the applicable pricing speed for clause (b) above. "Short CDS Trading Termination Criteria" means, with respect to any withdrawal of Collateral Principal Collections from the Collection Account to make Trading Termination Payments in respect of Short CDS Assets, criteria that will be satisfied if immediately following such withdrawal each of the following conditions is satisfied: (a) the first anniversary of the Closing Date has occurred;

(b) the aggregate amount at any one time of any voluntary Trading Termination Payments shall be less than the lowest amount that would result in the deferral of any interest payments then due on any Class A Notes; (c) each of the Collateral Quality Tests (other than the Minimum Weighted Average Spread Test) is satisfied;

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(d)

the Class C Principal Coverage Ratio is greater than 100.806%; and

(e) no Rating Agency has withdrawn its rating (including any private or confidential rating), if any, of any Class of Rated Notes or reduced the rating of any Class A Notes below the rating in effect on the Closing Date by one or more rating subcategories (in the case of Class A-1 Notes, the Class A-2 Notes and the Class A-3 Notes) or by two or more rating subcategories (in the case of the Class A-4 Notes). "Specified Type" means any of the types of securities described in Annex B. "Spread" means, as of any date of determination, with respect to any Collateral Debt Asset which is a Floating Rate Collateral Debt Asset (other than any Synthetic Asset), the current per annum rate in excess of LIBOR or such other floating rate index upon which such Floating Rate Collateral Debt Asset bears interest and, with respect to a Synthetic Asset, the fixed rate set forth in such Synthetic Asset for purposes of calculating the Fixed Amount. "Stated Maturity Date" means the Payment Date occurring in October 2046. "Step-Down Bond" means a Collateral Debt Asset which by the terms of the related Underlying Instrument provides for a decrease, in the case of a Fixed Rate Collateral Debt Asset, in the per annum interest rate on such security or, in the case of a Floating Rate Collateral Debt Asset, 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 Collateral Quality Test by reference to the spread (in the case of a floating rate Step-Down Bond) or coupon (in the case of a fixed rate Step-Down Bond) of a Step-Down Bond, the spread or coupon on any date will be deemed to be the lowest spread or coupon, respectively, scheduled to apply to such Step-Down Bond on or after such date. "Step-Up Bond" means a Collateral Debt Asset which by the terms of the related Underlying Instrument provides for an increase, in the case of a Fixed Rate Collateral Debt Asset, in the per annum interest rate on such security or, in the case of a Floating Rate Collateral Debt Asset, in the spread over the applicable index or benchmark rate, solely as a function of the passage of time; provided that a Step-Up Bond 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 Collateral Quality Test by reference to the spread (in the case of a floating rate Step-Up Bond) or coupon (in the case of a fixed rate Step-Up Bond) of a Step-Up Bond, the spread or coupon on any date will be deemed to be the spread or coupon stated to be payable in cash and in effect on such date. "Structured Settlement Securities" means Asset-Backed Securities that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Asset-Backed Securities) on the cashflow from receivables representing the right of litigation claimants to receive future scheduled payments under settlement agreements that are funded by annuity contracts, which receivables may have varying maturities. "Subordinate Collateral Management Fee" means, with respect to each Quarterly Payment Date, an amount equal to 0.03% per annum of the Fee Basis Amount for such Quarterly Payment Date; provided that the Collateral Manager has not delivered a notice to the Trustee prior to the end of the related Due Period irrevocably waiving the right to such amount on the following Quarterly Payment Date. "Subordinated Cashflow Swap Termination Payment" means any termination payment due and payable to a Cashflow Swap Counterparty, in accordance with clause (B)(24) of the Priority of Payments, upon the termination of the applicable Cashflow Swap Agreement, if such termination occurred solely as the result of an event of default or a termination event with respect to such Cashflow Swap Counterparty as "defaulting party" or sole "affected party" under such Cashflow Swap Agreement. "Subordinated CDS Asset Termination Payment" means any termination payment due and payable to a CDS Asset Counterparty, in accordance with clause (B)(24) of the Priority of Payments, upon the termination of the

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

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

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

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

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the amount of any Advance Swap Mandatory Draw unless and until any amount held in respect thereof in the Advance Swap Mandatory Draw Reserve Account shall have been used to fund an Advance Swap Draw. "Weighted Average Fixed Rate Coupon" means, as of any date of determination, a rate equal to a fraction (expressed as a percentage) obtained by (i) multiplying the Principal Balance of each Fixed Rate Collateral Debt Asset and Deemed Fixed Rate Collateral Debt Asset (except Collateral Debt Assets that are currently deferring interest) held in the portfolio as of such date by the Current Interest Rate, (ii) (a) summing the amounts determined pursuant to clause (i) for all Fixed Rate Collateral Debt Assets and Deemed Fixed Rate Collateral Debt Assets held in the portfolio as of such date, (iii) dividing such sum by the aggregate Principal Balance of all Fixed Rate Collateral Debt Assets and Deemed Fixed Rate Collateral Debt Assets held in the portfolio as of such date and (iv) if such sum is less than the Minimum Weighted Average Fixed Rate Coupon for such date, adding to such rate the fraction (expressed as a percentage) obtained by dividing (a) the Gross Spread Excess, if any, as of such date by (b) the aggregate Principal Balance of all Fixed Rate Collateral Debt Assets and the Deemed Fixed Rate Collateral Debt Assets held in the portfolio as of such date. For purposes of calculating the Weighted Average Fixed Rate Coupon, Collateral Debt Assets that are Defaulted Assets, the Written Down Amount with respect to Written Down Assets and Equity Securities will be excluded, except for those Defaulted Assets that at the time of such calculation are paying full current interest in cash pursuant to the terms of their respective Underlying Instrument. "Weighted Average Life" means on any Measurement Date with respect to the portfolio of Collateral Debt Assets as a whole, the number obtained by (i) summing the products obtained by multiplying (a) the Average Life at such time of each Collateral Debt Asset by (b) the outstanding Principal Balance of such Collateral Debt Asset and (ii) dividing such sum by the aggregate Principal Balance at such time of all Collateral Debt Assets. "Weighted Average Life Test" means a test that shall be satisfied as of any Measurement Date during any period set forth below if the Weighted Average Life of all Collateral Debt Assets as of such Measurement Date is less than or equal to the number of years set forth in the table below: As of any Calculation Date occurring during the period below Closing 1.0 year .................................................. 1.0 year 2.0 years ................................................ 2.0 years 3.0 years............................................... 3.0 years 4.0 years............................................... 4.0 years 5.0 years............................................... 5.0 years maturity................................................ Weighted Average Life (in years) 8.0 years 7.0 years 6.0 years 5.0 years 4.0 years 3.0 years

"Weighted Average Spread" means, as of any date of determination, an amount (expressed as a percentage) equal to a fraction (expressed as a percentage) obtained by (i) multiplying the Principal Balance of each Floating Rate Collateral Debt Asset and each Deemed Floating Rate Collateral Debt Asset (except Collateral Debt Assets that are currently deferring interest) held in the portfolio as of such date by the Current Spread, (ii) (a) summing the amounts determined pursuant to clause (i) and (b) subtracting from such amount the aggregate amount of all projected annual payments required to be paid by the Issuer pursuant to Short CDS Assets, (iii) dividing such sum by the aggregate Principal Balance of all Floating Rate Collateral Debt Assets and Deemed Floating Rate Collateral Debt Assets held in the portfolio as of such date and (iv) if such sum is less than the Minimum Weighted Average Spread for such date, subject to the proviso clause below, adding to such rate the fraction (expressed as a percentage) obtained by dividing (a) the Gross Fixed Rate Excess, if any, as of such date by (b) the aggregate Principal Balance of all Floating Rate Collateral Debt Assets and Deemed Floating Rate Collateral Debt Assets held in the portfolio as of such date; provided that for purposes of calculating the Weighted Average Spread, the spread of any Floating Rate Collateral Debt Assets that bears interest based on a floating-rate index other than LIBOR will be deemed to be the excess of (x) the rate at which such Floating Rate Collateral Debt Assets pays interest over (y) LIBOR.

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

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

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

B-2

"CLO Asset" means any obligation secured directly by, or representing ownership of a portfolio that includes primarily corporate, commercial, bank or sovereign loan obligations (or any similar assets or a pool of any combination of such assets). "CMBS Assets" means CMBS Conduit Assets, CMBS Credit Tenant Lease Assets, CMBS Single Asset Securities and CMBS Large Loan Assets. "CMBS Conduit Assets" means Collateral Debt Assets (other than CMBS Single Asset Securities, CMBS Credit Tenant Lease Assets and CMBS Large Loan Assets) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from a pool of commercial mortgage loans. "CMBS Large Loan Assets" means Collateral Debt Assets (other than CMBS Conduit Assets and CMBS Credit Tenant Lease Assets) that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such Collateral Debt Assets) on the cash flow from a pool of commercial mortgage loans, including any CMBS Single Asset Securities. "CMBS Single Asset Securities" means Collateral Debt Assets (other than CMBS Conduit Assets, CMBS Credit Tenant Lease Assets and CMBS Large Loan Assets) that entitle the holder thereof to receive payments that depend on the cash flow from a single commercial mortgage loan. "Home Equity Loan Assets" means Collateral Debt Assets that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from balances (including revolving balances) outstanding under loans or lines of credit secured by residential real estate (single or multi-family properties) the proceeds of which loans or lines of credit are used to purchase such real estate, purchase or construct dwellings thereon, or to refinance indebtedness previously so used. "Liquid Security" means a Structured Finance Security that: (a) entitles the holder thereof to receive payments that depend on, and are secured upon or derived from, the cash flow from a specified pool of assets or transactions , of auto loans, auto leases, commercial mortgages, credit card receivables, trade receivables, consumer loans, sovereign debt obligations, home equity loans or residential mortgages, or (b) is issued by an entity formed for the purpose of investing in a pool that consists of Structured Finance Securities, corporate loans, and/or corporate bonds, or (c) is issued by a real estate investment trust , or

(d) is issued by an entity with an economic exposure to a Structural Finance Asset, which is generated synthetically. "Negative Amortization Asset" means any Asset that allows for an increase in its principal balance following initial issuance due to underlying mortgage loans with periodic payments that are less than the stated interest accrued, which causes the principal balance to increase rather than decrease. "RMBS Assets" means RMBS Prime Assets, RMBS Midprime Assets and RMBS Subprime Assets. "RMBS Midprime Assets" means Collateral Debt Assets that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from residential mortgage loans secured by residential real estate (single or multifamily properties) the proceeds of which are used to purchase real estate, purchase or construct dwellings thereon or to refinance indebtedness previously so used, generally having the following characteristics: (1) the mortgage loans have generally been underwritten to the standards of the Federal

B-3

National Mortgage Association and the Federal Home Loan Mortgage Corporation (without regard to the size of the loan); (2) the mortgage loans have standardized payment terms and require minimum monthly payments; (3) the mortgage loans are obligations of numerous borrowers and accordingly represent a diversified pool of obligor credit risk; (4) the repayment of such mortgage loans is subject to a contractual payment schedule, with early repayment depending primarily on interest rates and the sale of the mortgaged real estate and related dwelling; and (5) the weighted average FICO Score of the underlying mortgage loans is greater than or equal to 625 but is less than or equal to 700. "RMBS Prime Assets" means Collateral Debt Assets that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from residential mortgage loans secured by residential real estate (single or multifamily properties) the proceeds of which are used to purchase real estate, purchase or construct dwellings thereon or to refinance indebtedness previously so used, generally having the following characteristics: (1) the mortgage loans have generally been underwritten to the standards of the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation (without regard to the size of the loan); (2) the mortgage loans have standardized payment terms and require minimum monthly payments; (3) the mortgage loans are obligations of numerous borrowers and accordingly represent a diversified pool of obligor credit risk; (4) the repayment of such mortgage loans is subject to a contractual payment schedule, with early repayment depending primarily on interest rates and the sale of the mortgaged real estate and related dwelling; and (5) the weighted average FICO Score of the underlying mortgage loans is greater than 700. "RMBS Subprime Assets" means Collateral Debt Assets that entitle the holders thereof to receive payments that depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the Collateral Debt Assets) on the cash flow from residential mortgage loans secured by sub-prime residential real estate (single or multi-family properties) the proceeds of which are used to purchase real estate, purchase or construct dwellings thereon, or to refinance indebtedness previously so used, generally having the following characteristics: (1) the mortgage loans have generally not been underwritten to the standards of the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation (without regard to the size of the loan); (2) the mortgage loans have standardized payment terms and require minimum monthly payments; (3) the mortgage loans are obligations of numerous borrowers and accordingly represent a diversified pool of obligor credit risk; (4) the repayment of such mortgage loans is subject to a contractual payment schedule, with early repayment depending primarily on interest rates and the sale of the mortgage real estate and related dwelling; and (5) the weighted average FICO Score of the underlying mortgage loans is less than 625. "Single-Tranche Synthetic CDO Asset" means any swap transaction, debt security, security issued by a trust or similar vehicle or other investment, the returns on which (as determined by the Collateral Manager) are linked, directly or indirectly, to the credit performance of any pool of corporate obligations or obligors 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 Asset" means a Single-Tranche Synthetic CDO Asset 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. "Structured Finance Security" means, solely for the purpose of the definition of "Liquid Security," a security or any interest or obligation that is evidenced by a note or certificate that entitles the holder thereof to receive payments that depend primarily on, and are secured upon or derived from, the cash flow from, or the market value of, a specified pool of assets or transactions, including but not limited to consumer receivables, auto loans, auto leases, equipment leases, home and commercial mortgages, corporate debt and sovereign debt obligations and/or hedge funds, that synthetically replicate the investment risks of holding a specified pool of assets, that by their terms are expected to generate or convert into cash within a finite time period, together with rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of the securities or certificates. Any derivative, synthetic or similar obligation or agreement pursuant to which an investing party receives an investment return that is based on the return or performance of a Structured Finance Security as defined in the preceding sentence shall not itself constitute a Structured Finance Security. An asset issued pursuant to a physical repackaging of a Structured Finance Security (an Underlying Structured Finance Security) shall constitute a B-4

Structured Finance Security; provided that such repackaging involves the placement of an Underlying Structured Finance Security in a single use trust (or similar vehicle) and the issuance of funded assets.

B-5

ANNEX C PORTFOLIO OF COLLATERAL DEBT ASSETS TO BE PURCHASED BY THE ISSUER ON THE CLOSING DATE*
# 1 2 3 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 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 Issue Name ABSHE 2006-HE1 M1 ACCR 2006-2 M1 ACCR 2006-2 M3 ACE 2005-HE7 M5 ACE 2006-HE1 M1 ACE 2006-HE3 M1 ACE 2006-HE3 M3 AMSI 2005-R11 M5 ARSI 2005-W2 M2 ARSI 2006-W2 M1 BABSN 2005-2A A2 BOAA 2006-6 CB3 BSABS 2005-AQ2 M5 BSABS 2006-EC2 M1 BSABS 2006-IM1 M1 CARR 2006-FRE1 M1 CARR 2006-FRE1 M3 CARR 2006-FRE1 M6 CBASS 2005-CB3 M2 CBASS 2005-CB8 M3 CBASS 2006-CB1 M1 CBASS 2006-CB1 M3 CBASS 2006-CB5 M4 CBASS 2006-CB5 M5 CFLX 2006-2 A3 CHAT 2005-2A B CITI 7YR BESPOKE CMLTI 2005-HE1 M3 CMLTI 2005-HE4 A2C CMLTI 2006-NC1 M3 CMLTI 2006-NC1 M4 CMLTI 2006-WFH2 M4 CWL 2005-4 MV2 CWL 2005-BC5 M3 CWL 2005-BC5 M5 DASH3 1A A-1L DHCDO 2005-1A B DUKEF 2005-9A A2V DUKEF 2005-9A A3V ELM BV L EMPOR 2005-1A C EXUM 2006-2A B EXUM 2006-3A B FFML 2005-FF12 M5 FFML 2006-FF10 M2 FFML 2006-FF10 M3 FHLT 2006-B M2 FHLT 2006-B M3 FMIC 2006-2 M2 FMIC 2006-2 M4 GSAA 2006-13 AF4 GSAMP 2005-WMC3 A1B GSAMP 2005-WMC3 M1 GSAMP 2006-HE4 M4 GSAMP 2006-HE4 M5 GSAMP 2006-HE4 M6 GSAMP 2006-NC2 M2 GSAMP 2006-NC2 M3 HEAT 2005-HE8 M5 HEAT 2006-5 M2 HEAT 2006-5 M3 JPALT 2006-S1 3A3 CUSIP/Identifier 04541GVL3 00437NAE2 00437NAG7 004421UG6 004421WR0 00441TAF0 00441TAH6 03072SV51 040104NE7 040104RX1 05615YAB7 059487AC2 0738792Z0 07387UDR9 07387UFF3 144538AE5 144538AG0 144538AK1 12489WLF9 12489WQK3 81375WHL3 81375WHN9 81376WAH8 81376WAJ4 16165MAE8 16208NAC9 NA 17307GQR2 17307GP44 172983AH1 172983AJ7 17309MAH6 126673Q88 126670NG9 126670NJ3 25513SAA3 26702TAC6 26450AAB3 26450AAC1 289237AH2 292347AD3 30228EAC6 30232BAC6 32027NYA3 32028HAJ2 32028HAK9 35729QAG3 35729QAH1 31659EAF5 31659EAH1 36244SAD0 362341L23 362341L64 362439AJ0 362439AK7 362439AL5 362463AG6 362463AH4 437084QD1 437096AJ9 437096AK6 46627MFU6 Face Amount at Closing 8,000,000 6,000,000 6,000,000 5,000,000 8,000,000 5,000,000 6,000,000 5,000,000 4,750,000 5,000,000 10,000,000 6,000,000 9,000,000 6,000,000 5,199,000 4,794,000 3,835,000 4,794,000 7,000,000 3,000,000 5,000,000 3,000,000 5,643,000 5,727,000 6,000,000 10,000,000 10,000,000 6,000,000 8,000,000 4,000,000 6,000,000 2,527,000 10,000,000 5,000,000 5,000,000 8,336,267 10,000,000 10,000,000 5,000,000 10,000,000 4,360,000 15,000,000 12,000,000 5,000,000 3,521,000 4,221,000 2,500,000 4,000,000 4,000,000 5,000,000 6,000,000 8,257,674 5,000,000 4,000,000 4,281,000 5,000,000 6,000,000 5,000,000 5,000,000 3,000,000 3,000,000 15,000,000 Moody's Public Rating Aa1 Aa1 Aa3 A2 Aa1 Aa1 Aa3 A2 Aa2 Aa1 Aa2 Aaa A3 Aa1 Aa1 Aa1 Aa3 A3 A1 Aa3 Aa1 Aa3 A1 A2 Aaa A2 Aa2 A2 Aaa Aa3 A1 A1 Aa2 Aa3 A2 Aa3 Aa2 Aa2 A2 A1 A2 Aa1 Aa2 A2 Aa2 Aa3 Aa2 Aa3 Aa2 A1 Aaa Aaa Aa2 A1 A2 A3 Aa2 Aa3 A2 Aa2 Aa3 Aaa Standard &Poor's Public Rating AA+ AA+ AA AAAA+ AA+ AA+ A+ AA+ AA+ AA AAA AAA+ AA+ AA+ AA+ AAA+ AA+ AA+ AAAA AAAAA A AAA A AAA AAA+ A+ AA AA A+ AA AA AA A AAA AA+ AA A+ AA AAAA AAAA A+ AAA AAA AA+ AA AAA+ AA AAA+ AA+ AA AAA

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# 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130

Issue Name JPMAC 2006-HE2 M4 JPMAC 2006-HE2 M5 JPMAC 2006-HE2 M6 JPMAC 2006-NC1 M4 JPMAC 2006-WMC2 M2 KLIO 2005-3A A1 LBMLT 2005-WL2 M5 LBMLT 2006-6 M2 LBMLT 2006-6 M3 LONGP 1A A1A LXS 2006-11 M3 MABS 2005-NC2 M5 MCG CLO 2006-1A B MCG CLO 2006-1A C MLMI 2006-FM1 M4 MLMI 2006-FM1 M5 MSAC 2005-HE5 M5 MSAC 2005-WMC2 M5 MSAC 2006-HE5 M2 MSAC 2006-HE5 M4 MSAC 2006-HE5 M5 MSHEL 2006-1 M2 MSIX 2006-1 M2 MSIX 2006-1 M3 NCHET 2005-4 M5 NCHET 2006-2 M1 NCHET 2006-2 M2 NCHET 2006-2 M3 NHEL 2006-2 M2 NHEL 2006-2 M4 NHEL 2006-3 M3 NHEL 2006-3 M4 NHELI 2006-WF1 M4 NHELI 2006-WF1 M5 NORTH 2005-9A C OOMLT 2006-2 M4 PreTSL XXI Class A-2 PS 3A A1 PS 3A C RAAC 2006-RP1 M1 RALI 06-QS7 A2 RAMP 2005-EFC4 M5 RAMP 2006-RS2 M2 RASC 2005-KS11 M5 RASC 2006-KS5 M2 RASC 2006-KS5 M3 RAST 2006-A1 1A6 RFMSI 2006-S5 A10 ROSEM 1A A SABR 2005-HE1 M2 SABR 2006-FR2 M1 SABR 2006-FR2 M2 SABR 2006-HE1 M2 SAIL 2006-4 M4 SANDF 2006-1A B2 SANMG 1A A SANTI 2005-1A B SASC 2005-WF4 M5 SASC 2006-WF2 M3 SASC 2006-WF2 M4 STANV 2005-1A A3 START 2006-B A2 START 2006-B B2 SVHE 2005-4 M5 SYMP 2005-1A A2 TBRNA 2006-1A A2L WFHET 2006-2 M3 WFHET 2006-2 M5

CUSIP/Identifier 46625SAJ5 46625SAK2 46625SAL0 46626LJU5 46628TAG6 482493AA1 542514NF7 54251RAG8 54251RAH6 543135AB3 52522WAL3 57643LMU7 55271KAQ4 55271KAR2 59021AAH1 59021AAJ7 61744CUW4 61744CNV4 61749NAG2 61749NAJ6 61749NAK3 61744CWZ5 61749QAG5 61749QAH3 64352VMY4 64360YAD7 64360YAE5 64360YAF2 66988VAG3 66988VAJ7 66988WAH9 66988WAJ5 65536RAH9 65536RAJ5 662695AC9 68402CAJ3 74042JAB9 73629RAA6 73629RAD0 76112B2V1 748940AB9 76112BC81 76112B2F6 76110W7H3 75406VAF0 75406VAG8 45660L6N4 74957EAK3 777540AA3 81375WGG5 81376VAD9 81376VAE7 81376YAG6 86360WAJ1 799822AJ0 799081AA2 802884AB2 863576DK7 86360LAG1 86360LAH9 854315AF5 85768XAC4 85768XAE0 83611MKJ6 87154XAK4 87331BAD4 9497EAAG6 9497EAAJ0

Face Amount at Closing 5,000,000 5,000,000 2,500,000 5,500,000 5,000,000 15,000,000 5,000,000 4,000,000 4,000,000 5,226,566 2,500,000 5,000,000 5,000,000 3,000,000 2,470,000 4,500,000 5,000,000 6,000,000 5,000,000 4,000,000 4,000,000 5,000,000 5,707,000 5,710,000 5,000,000 3,000,000 4,000,000 4,000,000 6,000,000 6,000,000 4,000,000 5,000,000 4,000,000 4,000,000 10,000,000 4,500,000 5,000,000 14,551,577 4,000,000 2,588,000 6,000,000 5,000,000 6,000,000 5,000,000 4,000,000 4,000,000 7,107,066 6,000,000 10,000,000 5,000,000 4,000,000 4,000,000 6,000,000 6,000,000 5,000,000 17,420,722 10,000,000 5,000,000 4,000,000 4,000,000 7,800,000 6,000,000 4,000,000 5,000,000 8,000,000 10,000,000 6,000,000 4,000,000

Moody's Public Rating A1 A2 A3 A1 Aa2 Aaa A2 Aa2 Aa3 Aaa Aa2 A2 Aa2 A2 A1 A2 A2 A2 Aa2 A1 A2 Aa2 Aa2 Aa3 A2 Aa1 Aa2 Aa3 Aa3 A2 A1 A2 A1 A2 A2 A1 Aaa Aaa A2 Aa2 Aaa A2 Aa2 A2 Aa2 Aa3 Aaa Aaa Aaa A2 Aa2 A2 A2 A2 Aa2 Aaa A2 A2 Aa3 A1 Aa1 Aaa Aa3 A2 Aa2 Aa3 Aa3 A2

Standard &Poor's Public Rating A+ A AA+ AA AAA A+ AA+ AA AAA AAAA AA A A+ A A+ A+ AA A+ A AA+ AA AAA AA+ AA AAAA AAAA AAAAA+ A A+ AAA AAA A AA+ AAA A+ AA AA AA+ AA AAA AAA AAA A+ AA A A A AA AAA A A AAA+ AAA AAA AAA+ AA AA AAA

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Trades Settling After Closing Date

# 1 2 Issue Name IXIS 2006-HE3 M2 TORINO II CUSIP/Identifier 46602UAF5 NA Face Amount at Closing 5,000,000 10,000,000 Moody's Public Rating Aa2 Aa2 Standard &Poor's Public Rating AA AA

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INDEX OF DEFINED TERMS Following is an index of defined terms used in this Prospectus and the page number where each definition appears. 25% Threshold.......................................................151 ABS Credit Card Assets ........................................B-1 ABS Securities.......................................................B-1 ABX Asset.............................................................B-1 Account Control Agreement................................. A-1 Accountholder ...................................................... A-1 Accounts ................................................................100 Accredited Investor...........................................ix, 133 Additional Class C Principal Coverage Test ........ A-1 Additional Criteria...................................................96 Additional Fixed Amounts ................................... A-1 Adjusted Effective Date Advance Swap Allocation Ratio.................................................................. A-1 Adjusted Effective Date Class A-1R Note Proportion ......................................................... A-1 Administration Agreement ................................... A-1 Administrative Expenses ...................................... A-1 Administrator...........................................................44 Advance Swap ............................................ 7, 80, A-2 Advance Swap Allocation Basis........................... A-2 Advance Swap Allocation Ratio........................... A-2 Advance Swap Commitment Fee ........................8, 81 Advance Swap Commitment Fee Rate ................8, 81 Advance Swap Counterparty ...............................7, 80 Advance Swap Draw ...............................................80 Advance Swap Draw Date.......................................81 Advance Swap Draw Notice........................... 81, A-2 Advance Swap Drawing Fee ...............................8, 81 Advance Swap Drawing Fee Rate .......................8, 81 Advance Swap Eligible Investments .................... A-2 Advance Swap Mandatory Draw................ 8, 82, A-2 Advance Swap Mandatory Draw Reserve Account105, A-2 Advance Swap Notional Amount ........................7, 80 Advance Swap Notional Reduction Amount...........80 Advance Swap Ratings Event..................... 8, 83, A-2 Advance Swap Repayment Amount ........... 8, 82, A-3 Advance Swap Scheduled Termination Date . 80, A-3 Advance Swap Synthetic Capacity Proportion ..... A-3 Advance Swap Termination Date ............... 7, 80, A-3 Advance Swap Undrawn Notional Amount ......... A-3 Affiliate................................................................. A-3 Affiliated............................................................... A-3 Agent Members .................................................... A-3 Aggregate CDS Asset Notional Amount .............. A-3 Aggregate Class A-1R Commitment ................ 9, A-3 Aggregate Class A-1R Undrawn Amount .10, 52, A-3 Aggregate Effective Date Par Amount ............. 1, A-3 Aggregate Fees and Expenses .............................. A-3 Aggregate Outstanding Amount ........................... A-4 Aggregate Principal Balance ................................ A-4 Applicable Periodic Interest Rate ......................... A-4 Applicable Recovery Rate .................................... A-4 Applicable Replacement Principal Balance.......... A-4 Approved Replacement Person............................. A-4 I-4 Articles ..................................................................160 Asset-Backed Security.......................................... A-4 Assumed Reinvestment Rate ................................ A-5 Auction ....................................................................57 Auction Call Redemption ........................................55 Auction Date................................................... 57, A-5 Auction Procedures..................................................57 Authorized Officer................................................ A-5 Automobile Lease Security....................................B-1 Automobile Loan Security.....................................B-1 Average Class A-1R Note Principal Balance ....... A-5 Average Life......................................................... A-5 Average Undrawn Advance Swap Amount.... 81, A-5 Average Used Advance Swap Amount .......... 81, A-5 Balance ................................................................. A-5 Bank Guaranteed Assets ........................................B-1 Beneficial Owner.................................................. A-5 Benefit Plan Investor ............................................ A-5 Blue Sky ..........................................................18, 119 Business Day ........................................................ A-6 Calculation Date ................................................... A-6 Call Period ............................................................ A-6 Cap Corridor Floater..............................................B-2 Cash Assets........................................................... A-6 Cash Settlement Payment ..................................... A-6 Cashflow Swap Agreement .................................. A-6 Cashflow Swap Counterparty ............................... A-6 Catastrophe Bond ................................................. A-6 cause ......................................................................113 CDO Asset-Backed Securities...............................B-2 CDO Assets .....................................................24, B-2 CDO Collateral........................................................24 CDO CRE Assets ..................................................B-2 CDO Downgraded Asset .......................................B-2 CDO Emerging Market Assets ..............................B-2 CDO High Yield Assets ........................................B-2 CDO Investment Grade Assets..............................B-2 CDO Issuer ..............................................................24 CDO Squared Securities ........................................B-2 CDO Trust Preferred Assets ..................................B-2 CDS Asset Counterparties .......................................13 CDS Asset Counterparty ...................................... A-6 CDS Asset Counterparty Termination Payment ... A-6 CDS Asset Issuer Termination Payment .............. A-6 CDS Assets..................................................... 13, A-7 CDS Interest Payment .......................................... A-7 CDS Interest Reimbursement ............................... A-7 CDS Interest Shortfall .......................................... A-7 CDS Issuer Up-Front Payment ............................. A-7 CDS Loss Payment............................................... A-7 CDS Payment ....................................................... A-7 CDS Payment Priority .......................................... A-7 CDS Principal Payment ........................................ A-7 CDS Principal Reimbursement............................. A-7

CDS Principal Shortfall ........................................ A-7 CDS Reimbursement Amounts............................. A-7 CDS Shortfall Events............................................ A-7 CDS Shortfall Payments ....................................... A-7 CDX Asset.............................................................B-2 Cede.........................................................................70 Certificated Income Note.........................................76 Certificated Income Notes .................................... A-7 Certificated Notes ....................................................74 CFC .......................................................................146 Citigroup......................................................... 30, A-7 Class ..................................................................... A-7 Class A Coverage Failure ..................................... A-7 Class A Coverage Tests........................................ A-8 Class A Interest Coverage Ratio........................... A-8 Class A Interest Coverage Test............................. A-8 Class A Notes ....................................................... A-8 Class A Principal Coverage Ratio ........................ A-8 Class A Principal Coverage Test .......................... A-8 Class A-1 Interest Period ...................................... A-8 Class A-1 Note Proportion ................................... A-8 Class A-1 Notes.................................................... A-8 Class A-1 Pro Rata Allocation.............................. A-8 Class A-1R Advance .................................. 9, 51, A-8 Class A-1R Advance Date .............................. 52, A-9 Class A-1R Commitment.................................. 9, A-9 Class A-1R Commitment Fee....................10, 52, A-9 Class A-1R Commitment Shift-Over Amount...... A-9 Class A-1R Commitment Termination Date .... 9, A-9 Class A-1R Commitment Termination Event... 9, A-9 Class A-1R Eligible Investments.................... 55, A-9 Class A-1R Mandatory Advance .............................54 Class A-1R Maturity Date .................................... A-9 Class A-1R Note Agent .............................. 9, 51, A-9 Class A-1R Note Breakage Costs ......................... A-9 Class A-1R Note Interest Rate........................ 46, A-9 Class A-1R Note Mandatory Advance ................. A-9 Class A-1R Note Purchase Agreement......9, 51, A-10 Class A-1R Note Termination Event .................. A-10 Class A-1R Noteholder....................................... A-10 Class A-1R Noteholder Ratings Requirement54, A-10 Class A-1R Noteholder Subaccount ........... 102, A-10 Class A-1R Notes ............................................... A-10 Class A-1R Notes Allocation Account ....... 100, A-10 Class A-1R Notes Eligible Investments.................103 Class A-1R Payment Amount....................... 47, A-10 Class A-1R Repayment ...................................... A-10 Class A-1R Repayment Date .............................. A-10 Class A-1R Synthetic Capacity Proportion ........ A-10 Class A-1T Notes ............................................... A-10 Class A-1T1 Note Interest Rate.................... 46, A-10 Class A-1T1 Notes ............................................. A-11 Class A-1T1 Payment Amount..................... 47, A-11 Class A-1T2 Note Interest Rate.................... 46, A-11 Class A-1T2 Notes ............................................. A-11 Class A-1T2 Payment Amount..................... 47, A-11 Class A-2 Note Interest Rate ........................ 46, A-11 Class A-2 Notes.................................................. A-11 Class A-2 Payment Amount ......................... 47, A-11 I-5

Class A-3 Note Interest Rate ........................ 46, A-11 Class A-3 Notes.................................................. A-11 Class A-3 Payment Amount ......................... 47, A-11 Class A-4 Note Interest Rate ........................ 46, A-11 Class A-4 Notes.................................................. A-11 Class A-4 Payment Amount ......................... 47, A-11 Class B Coverage Tests ...................................... A-11 Class B Cumulative Deferred Interest Amount .. A-11 Class B Deferred Interest Amount...........................49 Class B Interest Coverage Ratio ......................... A-12 Class B Interest Coverage Test........................... A-12 Class B Note Interest Rate............................ 47, A-12 Class B Notes ..................................................... A-12 Class B Payment Amount............................. 47, A-12 Class B Principal Coverage Ratio....................... A-12 Class B Principal Coverage Test ........................ A-12 Class C Coverage Tests ...................................... A-12 Class C Cumulative Deferred Interest Amount .. A-12 Class C Deferred Interest Amount...........................49 Class C Interest Coverage Ratio ......................... A-12 Class C Interest Coverage Test........................... A-13 Class C Note Interest Rate............................ 47, A-13 Class C Notes ..................................................... A-13 Class C Payment Amount............................. 47, A-13 Class C Principal Coverage Ratio....................... A-13 Class C Principal Coverage Test ........................ A-13 Clearing Agency................................................. A-13 Clearstream......................................................... A-13 CLO Asset .............................................................B-3 Closing Date .................................................... i, A-13 CMBS Assets...................................................23, B-3 CMBS Conduit Assets...........................................B-3 CMBS Controlling Class .................................... A-13 CMBS Credit Tenant Lease Assets .................... A-13 CMBS Large Loan Assets .....................................B-3 CMBS Single Asset Securities ..............................B-3 Code............................................................ 141, A-13 Co-Issuer ....................................................................i Co-Issuers ...................................................................i Collateral ...................................................... 13, A-13 Collateral Account...................................... 100, A-14 Collateral Administration Agreement................. A-14 Collateral Administrator ..................................... A-14 Collateral Assignment of Swap Agreements ...... A-14 Collateral Debt Asset.......................................... A-14 Collateral Debt Assets ........................................ A-17 Collateral Interest Collections ............................ A-17 Collateral Management Agreement .....110, 112, A-17 Collateral Management Fee........................ 117, A-18 Collateral Manager .......................................... i, A-18 Collateral Manager Information ......................... A-18 Collateral Manager Parties ....................................112 Collateral Principal Balance ............................... A-18 Collateral Principal Collections.......................... A-18 Collateral Quality Tests ...................................... A-18 Collateralization Event ............................... 107, A-18 Collection Account ..................................... 100, A-19 Collections.......................................................... A-19 Combination Security ......................................... A-19

Commercial Mortgage Loan............................... A-19 Commercial Mortgage Loans ..................................23 Commission........................................................ A-19 Company................................................................150 Controlling Class ................................................ A-19 Controlling Class Non-Approval...........................116 Controlling Person...............128, 135, 138, 151, A-19 Corporate Trust Office.............................74, 77, A-19 Coverage Cause Removal Notice ....................... A-20 Coverage Tests ................................................... A-20 Covered Short CDS Asset Additional Criteria ... A-20 Covered Short CDS Assets................................. A-20 Credit Event........................................................ A-20 Credit Improved Asset........................................ A-20 Credit Linked Securities ..................................... A-20 Credit Linked Security Issuer ............................. A-20 Credit Risk Asset................................................ A-21 Credit Support Annex......................................... A-21 credit support default ...............................................27 Current Interest Rate........................................... A-21 Current Portfolio................................................. A-21 Current Spread.................................................... A-21 Custodian............................................................ A-21 Daily Official List............................................ i, A-21 Deemed Fixed Asset Hedge................................ A-21 Deemed Fixed Rate ............................................ A-22 Deemed Fixed Rate Collateral Debt Asset ......... A-22 Deemed Fixed Spread......................................... A-22 Deemed Floating Asset Hedge ........................... A-22 Deemed Floating Rate ........................................ A-22 Deemed Floating Rate Collateral Debt Asset ..... A-22 Deemed Floating Spread .................................... A-22 Default ................................................................ A-22 Defaulted Asset .................................................. A-22 Defaulted Assets Amount................................... A-23 Defaulted Interest ............................................... A-24 Defaulted Synthetic Asset .................................. A-24 Defaulted Synthetic Termination Payments ....... A-24 Deferred Interest PIK Bond ................................ A-24 Deferred Interest PIK Bond Amount .................. A-24 Deliverable Obligation ................................. 99, A-24 Designated Financial Insurer .............................. A-24 Directors ..................................................................43 Discount Collateral Debt Asset .......................... A-24 Discount Collateral Debt Asset Amount ............ A-25 disqualified persons .......................................151, 152 DOL.......................................................................151 DTC .................................................................70, 136 Due Date............................................................. A-25 Due Period .......................................................... A-25 E.U...........................................................................41 EETC Asset ........................................................ A-25 Effective Date................................................. 1, A-25 Effective Date Class A-1 Note Proportion ......... A-25 Eligibility Criteria............................... 88, A-14, A-25 Eligible Investments ..................................... 88, A-25 Eligible SPV Jurisdiction.................................... A-27 Eligible Successor .................................................115 Eligible Synthetic Collateral Assets ................... A-27 I-6

Elliott .....................................................................110 Elliott Funds ..........................................................110 Emerging Market Issuer ..................................... A-27 equitable subordination............................................38 Equity Security ................................................... A-27 ERISA Plans..........................................................151 Euroclear ............................................................ A-27 Event of Default ......................................................85 excess distribution .........................................145, 147 Excess Funds ...................................................... A-27 Exchange Act................................................. ix, A-27 Exchange Date.................................................... A-28 Expense Reserve Account .......................... 100, A-28 Fee Basis Amount............................................... A-28 FFIEC ....................................................................154 FICO Score......................................................... A-28 Fixed Amount..................................................... A-28 Fixed Payment Rate............................................ A-28 Fixed Rate Collateral Debt Asset ....................... A-28 Floating Amounts ............................................... A-28 Floating Rate Collateral Debt Asset ................... A-28 Form-Approved ABS Synthetic Asset AgreementA-28 Form-Approved CDO Synthetic Asset AgreementA-28 Form-Approved CDX Synthetic Asset AgreementA-29 Form-Approved Hedge Agreement .................... A-29 Form-Approved Single ....................................... A-29 Form-Approved Synthetic Asset Agreement...... A-29 FRB .......................................................................129 Future Advance Security .................................... A-29 Global Notes....................................................... A-29 Gross Fixed Rate Excess .................................... A-29 Gross Spread Excess........................................... A-29 Guaranteed Debt Asset ....................................... A-30 Healthcare Assets ............................................... A-30 Hedge Agreement ............................................... A-30 Hedge Collateral ................................................. A-30 Hedge Counterparty............................................ A-30 Hedge Counterparty Collateral Account..... 106, A-30 Hedge Counterparty Ratings Requirement ......... A-30 Hedge Ratings Determining Party ...................... A-30 Hedge Replacement Account ............................. A-30 Hedge Termination Receipts Account................ A-30 Highest Auction Price......................................... A-31 Holder............................................................ ix, A-37 Holders ....................................................................74 Home Equity Loan Assets .....................................B-3 Income Note Issuing and Paying Agent ............. A-31 Income Note Optional Redemption .........................59 Income Note Register ......................................... A-31 Income Note Registrar........................................ A-31 Income Noteholder ............................................. A-31 Income Notes...................................................... A-31 Income Notes Stated Amount............................. A-31 Indenture............................................................. A-31 indirect participants .................................................79 Initial CDS Asset Counterparties.......................13, 98 Initial Interest Rate Hedge Agreement ..................105 Initial Interest Rate Hedge Counterparty ...............105 Initial Monthly Payment Date ...................... 46, A-31

Initial Offerees.......................................................119 Initial Purchaser.......................................... 157, A-31 Initial Quarterly Payment Date..................... 46, A-31 Interest Coverage Amount.................................. A-31 Interest Coverage Ratio ...................................... A-31 Interest Coverage Test ........................................ A-32 Interest Period..................................................... A-32 Interest Rate Hedge Agreement.............................105 Interest Rate Hedge Agreements .............................29 Interest Rate Hedge Counterparty .........................105 Interest Reserve Amount .................................... A-32 Interest-Only Period ........................................... A-32 Interest-Only Period Suspension ...........................116 Interest-Only Security......................................... A-32 Interest-Related Amount..................................... A-32 Interim Compliance Date.................................... A-32 Interim Compliance Date Par Amount ............... A-32 Inverse Floating Rate Security............................ A-32 Investment Company Act ............................. i, ix, 132 Irish Listing Agent.............................................. A-32 Irish Note Paying Agent ..................................... A-32 Irish Paying Agent ...................................................60 Irish Stock Exchange ..................................................i IRR ..................................................................... A-32 IRS.............................................................. 141, A-32 ISDA..................................................................13, 98 Issue.................................................................... A-32 Issue Price................................................... 141, A-32 Issuer ..........................................................................i Key Manager ...................................................... A-33 Key Manager Departure ..................................... A-33 Key Manager Departure Cure............................. A-33 Key Manager Event ............................................ A-33 lender liability..........................................................37 LIBOR Calculation Date .........................................48 Liquid Security ......................................................B-3 London Banking Day.......................................... A-33 Majority .............................................................. A-33 Margin Stock ...................................................... A-33 Market Value ...................................................... A-33 Market Value CDO Assets ................................. A-34 Master Agreement ........................................ 98, A-34 Matching Long Positions.................................... A-34 Measurement Date.............................................. A-34 Minimum Weighted Average Fixed Rate CouponA-34 Minimum Weighted Average Fixed Rate Coupon Test.................................................................. A-34 Minimum Weighted Average Spread ................. A-34 Minimum Weighted Average Spread Test ......... A-34 MLR ........................................................................41 Moneyline Telerate Page 3750 ........................... A-34 Monthly Payment Date ..............................1, 46, A-34 Monthly Report .......................................................92 Moody's ................................................... i, 155, A-34 Moody's Asset Correlation ................................. A-34 Moody's Asset Correlation Test ......................... A-34 Moody's Maximum Weighted ............................ A-34 Moody's Minimum Weighted Average Recovery Rate Test ......................................................... A-35 I-7

Moody's Rating........................................... 155, A-35 Moody's Rating Factor ....................................... A-36 Moody's Recovery Rate...................................... A-36 Moody's Weighted Average Rating Factor......... A-36 Moody's Weighted Average Recovery Rate....... A-36 Mutual Fund Securities....................................... A-36 Negative Amortization Asset.................................B-3 non-U.S. Holder.....................................................148 Note Calculation Agent ...........................................47 Note Interest Reserve Account ................... 100, A-36 Note Owner ........................................................ A-36 Note Paying Agent...................................................59 Note Paying Agents ............................................ A-37 Note Register ...................................................... A-37 Note Registrar..................................................... A-37 Note Transfer Agent ........................................... A-37 Noteholder ..................................................... ix, A-37 Notes................................................................ i, A-37 Offer ................................................................... A-37 Officer ................................................................ A-37 official Income Note nominee ...............................115 OID................................................................125, 143 Opinion of Counsel............................................. A-37 Optional Redemption.................................... 55, A-37 Ordinary Shares .................................................. A-37 Other Indebtedness ............................................. A-23 Outstanding................................................... 88, A-37 Outstanding Principal Draw Amount ................. A-38 Package Trade .................................................... A-38 participants ............................................................159 parties in interest............................................151, 152 Partners ............................................................... A-38 Pay-As-You-Go Confirmation.................13, 98, A-38 Paying Agents..................................................... A-38 Payment Account...................................................100 Payment Amount .....................................................47 PCCL .......................................................................41 Permanent Regulation S Global Income Notes .......72 Permanent Regulation S Global Notes ....................71 Person ................................................................. A-38 PFIC.................................................................39, 145 phantom income ......................................................40 Physical Settlement Amount....................................99 Physical Settlement Payment.............................. A-38 PIK Bond ............................................................ A-39 Placement Agency Agreement ..............................157 Placement Agent....................................................157 Plan Asset Regulation............................................151 Plans ......................................................................151 Pledged Assets.................................................... A-39 Pledged Collateral Debt Asset ............................ A-39 Portfolio Expected Maturity ............................... A-39 portfolio interest exemption...................................142 Portfolio Percentage Limitations ........................ A-39 Premium Amount ............................................... A-41 Principal Balance................................................ A-41 Principal Coverage Amount ............................... A-41 Principal Coverage Ratios .................................. A-43 Principal Coverage Tests .................................... A-43

Principal Note Paying Agent .............................. A-43 Principal Only Security ...................................... A-43 Priority of Payments ................................................60 Priority-Related Amount .................................... A-43 Pro Rata Payment Basis...................................... A-43 Pro Rata Payment Conditions............................. A-43 Proceeding ...............................................................30 Proposed Portfolio .............................................. A-44 Prospectus...................................................................i Prospectus Directive ...................................................i PTCE .....................................................................152 Purchase Agreement ..............................................157 Purchased Accrued Interest ................................ A-44 QEF .................................................................39, 145 Qualified Bidder List .......................................... A-44 Qualified Bidders................................................ A-44 Qualified Institutional Buyer ............................ix, 133 qualified portion ....................................................146 qualified purchaser ................................................119 Qualified Purchaser ..........................................ix, 133 qualified stated interest..........................................143 Quarterly Pay Asset ............................................ A-44 Quarterly Payment Date ............................1, 46, A-44 Rated Note Break-Even Default Rate................. A-44 Rated Note Class Loss Differential .................... A-44 Rated Note Class Scenario Default Rate ............ A-44 Rated Noteholder................................................ A-44 Rated Notes ........................................................ A-44 Rating ................................................................. A-44 Rating Agencies.....................................................155 Rating Agency .................................................... A-45 Rating Agency Confirmation........................ 21, A-45 Rating Confirmation Failure....................................21 Real Estate CDO Assets ..................................... A-45 Real Estate Trust Preferred Assets ..................... A-45 Redemption......................................................... A-45 Redemption Date ................................................ A-45 Redemption Price ............................................... A-45 Reduced Principal Balance ................................. A-45 Reference Banks ................................................. A-45 Reference Obligation.......................................... A-45 Reference Obligor............................................... A-46 Regulation S Global Income Note ...................... A-46 Regulation S Global Income Notes .........................72 Regulation S Global Note................................... A-46 Regulation S Global Notes ......................................71 Reinvestment Criteria ..............................................96 REIT ................................................................... A-46 REIT Debt Asset................................................. A-46 REIT Trust Preferred Assets............................... A-46 reportable transaction ............................................148 reporting shareholder.....................................148, 149 Repository........................................................... A-46 Reserve Investments ................................... 103, A-46 Reserved Matters .....................................................88 Restricted Certificated Note ......................... 74, A-46 RMBS Assets.............................................23, 93, B-3 RMBS Midprime Assets........................................B-3 RMBS Prime Assets ..............................................B-4 I-8

RMBS Subprime Assets ........................................B-4 Rule 144A Global Notes..........................................70 S&P ......................................................... i, 155, A-46 S&P CDO Monitor ............................................. A-46 S&P CDO Monitor Test ..................................... A-46 S&P Minimum Recovery Rate Test ................... A-46 S&P Preferred Format ........................................ A-46 S&P Rating................................................. 156, A-47 S&P Recovery Rate ............................................ A-48 S&P Weighted Average Recovery Rate ............. A-48 Sale Proceeds...................................................... A-48 Schedule of Collateral Debt Assets .................... A-48 Secured Parties ................................................... A-48 Securities Act........................................... i, 132, A-48 Semi-Annual Pay Asset Interest Reserve AmountA-48 Semi-Annual Pay Assets .................................... A-48 Senior.......................................................................45 Senior Class ........................................................ A-49 Senior Collateral Management Fee..................... A-49 Servicer............................................................... A-49 Share Trustee ...........................................................44 Short CDS Asset....................................14, 108, A-49 Short CDS Asset Counterparty................... 108, A-49 Short CDS Asset Premium Test ......................... A-49 Short CDS Assets Reserve Account ......................100 Short CDS Counterparty..........................................14 Short CDS Criteria.................................................108 Short CDS Trading Termination Criteria ........... A-49 Single-Tranche Synthetic CDO Asset ...................B-4 Special U.S. Tax Counsel ......................................142 Specified Type.................................................... A-50 Spread................................................................. A-50 Stated Maturity Date........................................... A-50 Static Bespoke CDO Asset ....................................B-4 Step-Down Bond ................................................ A-50 Step-Up Bond ..................................................... A-50 Structured Finance Securities ..................................22 Structured Finance Security.............................22, B-4 Structured Settlement Securities......................... A-50 Subordinate..............................................................45 Subordinate Collateral Management Fee............ A-50 Subordinated Cashflow Swap............................. A-50 Subordinated CDS Asset Termination................ A-50 Subordinated Hedge Termination Payment ........ A-51 Subordinated Short CDS Termination Payment . A-51 Subordinated Synthetic Collateral Assets Termination Payment...................................... A-51 Subpool............................................................... A-51 Substitute Collateral Debt Asset......................... A-51 Substitute Collateral Manager ...............................114 Substitute Party......................................................107 Substitution Event .................................................107 Super-Majority ................................................... A-51 Synthetic Asset ................................................... A-51 Synthetic Asset Capacity Amount ...................... A-52 Synthetic Asset Collateral Account ...............100, 103 Synthetic Asset Collateral Account Balance ...... A-52 Synthetic Asset Issuer Account .............................100 Synthetic Assets.......................................................88

Synthetic Collateral Account Control AgreementA-53 Synthetic Collateral Agreement.................... 12, A-53 Synthetic Collateral Assets Counterparty ..... 12, A-53 Synthetic Reserve Account................................. A-53 Synthetic Reserve Account Balance ................... A-53 Synthetic Unfunded Excess Capacity Reduction A-53 Tax Event............................................................ A-53 Tax Lien Securities............................................. A-53 Tax Materiality Condition .................................. A-54 Tax Redemption ........................................... 55, A-54 Tax Subsidiary.......................................................100 Taxed Collateral Debt Asset..................................100 Taxes .................................................................. A-54 Temporary Regulation S Global Income Notes.......72 Temporary Regulation S Global Notes....................71 Temporary Regulation S Note ............................ A-54 termination event .....................................................27 Tobacco Bonds ................................................... A-54 Total Redemption Amount ......................................56 Trading Termination Payment............................ A-54 Transaction Documents ...................................... A-54 Treasury...................................................................41

Trust Preferred Assets .................................. 25, A-54 Trustee ................................................................ A-54 Trustee Fee ......................................................... A-54 U.S. Holder............................................................141 U.S. Offeree................................................ 119, A-54 U.S. Persons.............................................................70 UBTI......................................................................147 Uncovered Short CDS Asset .............................. A-54 Underlying Instrument........................................ A-54 Uninvested Proceeds........................................... A-54 Uninvested Proceeds Account ...............................100 USA PATRIOT Act.................................................41 Used Advance Swap Amount............................. A-54 Used Advance Swap Repayment Amount Priority..82 Warehouse Facility ..................................................30 Weighted Average Fixed Rate Coupon .............. A-55 Weighted Average Life ...................................... A-55 Weighted Average Life Test............................... A-55 Weighted Average Spread .................................. A-55 Written Down Amount ....................................... A-56 Written Down Asset ........................................... A-56

I-9

PRINCIPAL OFFICES OF THE ISSUER ESP Funding I, Ltd. c/o Maples Finance Limited P.O. Box 1093GT Queensgate House South Church Street George Town, Grand Cayman Cayman Islands ESP Funding I (Delaware) Corp. c/o Puglisi & Associates 850 Library Avenue Suite 204 Newark, Delaware 19711

COLLATERAL MANAGER Elliott Structured Products LLC 712 Fifth Avenue New York, New York 10019 TRUSTEE, NOTE TRANSFER AGENT, NOTE CALCULATION AGENT AND NOTE REGISTRAR LaSalle Bank National Association 181 West Madison Street, 32nd Floor Chicago, Illinois 60602 IRISH PAYING AGENT AND IRISH LISTING AGENT NCB Stockbrokers Limited 3 George's Dock Dublin 1, Ireland LEGAL ADVISORS To the Co-Issuers As to United States Law Clifford Chance US LLP 31 West 52nd Street New York, New York 10019 To the Issuer As to Cayman Islands Law Maples and Calder P.O. Box 309GT Ugland House South Church Street George Town, Grand Cayman Cayman Islands To the Initial Purchaser and Placement Agent Clifford Chance US LLP 31 West 52nd Street New York, New York 10019 To the Collateral Manager As to United States Law McKee Nelson LLP One Battery Park Plaza New York, New York 10004 Kleinberg, Kaplan, Wolff & Cohen, P.C. 551 Fifth Avenue New York, New York 10176

U.S.$780,500,000

ESP Funding I, Ltd.

ESP Funding I (Delaware) Corp.
U.S.$100,000,000 Class A-1R Revolving Floating Rate Senior Secured Notes Due 2046 U.S.$395,000,000 Class A-1T1 Floating Rate Senior Secured Notes Due 2046 U.S.$30,000,000 Class A-1T2 Floating Rate Senior Secured Notes Due 2046 U.S.$100,000,000 Class A-2 Floating Rate Senior Secured Notes Due 2046 U.S.$90,000,000 Class A-3 Floating Rate Senior Secured Notes Due 2046 U.S.$27,000,000 Class A-4 Floating Rate Senior Secured Notes Due 2046 U.S.$15,000,000 Class B Floating Rate Subordinate Secured Notes Due 2046 U.S.$10,000,000 Class C Floating Rate Junior Subordinate Secured Notes Due 2046 U.S.$13,500,000 Income Notes Due 2046

PROSPECTUS September 26, 2006

Citigroup