€557.

85 Million Senior And Subordinated Deferrable Fixed- And Floating-Rate Notes

This presale report is based on information as of March 9, 2006. The credit ratings shown are preliminary.
This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information
may result in the assignment of final credit ratings that differ from the preliminary credit ratings.

Prelim. amount (Mil. Available credit support**

Class Prelim. rating* Interest Legal final maturity
€) (%)

Six-month EURIBOR plus a

A AAA 364.75 33.68 2021
margin

Six-month EURIBOR plus a

B AA 65.00 21.86 2021
margin

Six-month EURIBOR plus a

C-1 A 35.75 15.36 2021
margin

C-2*** A TBD TBD TBD 2021

Six-month EURIBOR plus a

D-1 BBB 20.60 11.62 2021
margin

D-2**** BBB TBD TBD TBD 2021

Six-month EURIBOR plus a

E-1 BB 13.75 9.12 2021
margin

E-2***** BB TBD TBD TBD 2021

F NR 58.00 N/A N/A 2021

*The rating on each class of securities is preliminary as of March 9, 2006 and subject to change at any time. Final credit ratings are
expected to be assigned on the closing date and affirmed on the effective date subject to a satisfactory review of the transaction
documents and legal opinions. Standard & Poor's ratings address timely interest and ultimate principal on the class A and B notes.
Standard & Poor's ratings address ultimate interest and principal on the class C, D, and E notes. **Available credit support is calculated on
the initial target par amount of €550 million. ***The principal breakdown between the class C-1 and class C-2 notes will be determined at
closing. ****The principal breakdown between the class D-1 and class D-2 notes will be determined at closing. *****The principal
breakdown between the class E-1 and class E-2 notes will be determined at closing. NR—Not rated. N/A—Not applicable. TBD—To be
determined.

Transaction Participants

Portfolio manager Mizuho Corporate Bank Ltd.

Arranger Merrill Lynch International

Trustee Deutsche Trustee Co. Ltd.

Collateral administrator Deutsche Bank AG London

Custodian Deutsche Bank AG London

Interest rate swap counterparty To be determined

Currency swap counterparty To be determined

Bank account provider Deutsche Bank AG (London branch)

Paying agent Deutsche Bank AG (London branch)

Underwriter Merrill Lynch International

Supporting ratings
Institution/role Ratings

The London branch of Deutsche Bank AG as bank account provider AA-/Stable/A-1+

Interest rate swap provider An entity with a rating of at least 'A-1'

Currency swap provider An entity with a rating of 'A-1+'

Transaction Key Features

Expected closing date April 2006

CDO asset type Loans

Structure type Cash

Portfolio composition Corporate names

Purpose of transaction Arbitrage

Rating approach Statistical

Portfolio management type Managed

Level of management Fully managed

Liability structure Fully funded

A portfolio of senior secured loans, senior unsecured loans, mezzanine

Collateral description
obligations, and synthetic securities

Reinvestment period (years) 7

Ramp-up period (months) 12

Noncall period (years) 5

Portfolio weighted-average rating B+/B

Maximum weighted-average life of the portfolio (years) 12.4

Default measure (DM) (%) 3.61

Variability measure (VM) (%) 1.99

Correlation measure (CM) 1.41

Minimum weighted-average margin (dependent on Standard &

2.65
Poor's test matrix) (%)

Minimum weighted-average recovery rate (dependent on

55.99
Standard & Poor's test matrix) (%)

Size of trading bucket (annual %) 20

Transaction Summary
Credit ratings were assigned to the €557.85 million senior and subordinated deferrable fixed- and floating-
rate notes to be issued by Harvest CLO III PLC.

This transaction will be a securitization of a portfolio of leveraged loans selected and managed by Mizuho
Corporate Bank Ltd. The portfolio is expected to be 55% ramped up at closing. Mizuho, as portfolio
manager, will be responsible for acquiring the target par amount within 12 months of the closing date. The
loans acquired will typically be either senior secured loans or mezzanine loans to borrowers based mainly
in continental Europe and the U.K. Leveraged loans typically contain certain levels of security that
historically have been shown to yield higher recovery rates than senior unsecured obligations.

Key to the analysis of this transaction is the good asset cover provided by the par value ratios. These
ratios track the degree to which the performing collateral is sufficient to cover the return of principal to the
debt investors. Once the par value ratios fall below certain minimum levels, available interest and
principal proceeds will be redirected to the extent required toward the redemption of senior liabilities.
The numerator of the par value ratios will be adjusted to reflect the quality of the performing assets. For
example, loans rated 'CCC' (above a certain threshold), loans purchased below 85% of par, and loans
that have defaulted will be included in the numerator of the par value ratios at less than full par value.

The structure of the transaction is shown in chart 1.

Notable Features
The main difference between this transaction and Harvest CLO II S.A. will be the introduction of a
maximum bucket for offsetting obligations and credit short obligations, whereby the issuer, or the
collateral manager on its behalf, may enter into CDS transactions with an adequately rated financial
institution selling protection. Through this process, the issuer will buy protection for a specified reference
obligation that it already owns (an offsetting obligation) or one it does not (a credit short obligation).

Under each offsetting or credit short obligation, the issuer will be required to pay an ongoing premium.
Entry into short CDSs will be subject to the minimum spread test being satisfied and the cash outflows
being taken into account in the interest coverage test. For offsetting obligations, each premium will be
netted off against the spread received from the cash obligation owned by the issuer. In addition, the
aggregate of offsetting and credit short obligations may not account for more than 10% and 5% of the
collateral balance, respectively. The issuer does not expect to enter into any credit short obligation in the
first two years following the effective date.

The transaction allows the manager to acquire non-euro-denominated assets. The currency risk has to be
hedged through either asset-specific swaps or, in the case of sterling-denominated assets, can be
hedged through a portfolio hedge. The portfolio hedge gives the manager the flexibility to acquire and
substitute sterling-denominated assets. Under the portfolio hedge, the issuer will hedge the foreign
exchange risk by entering into a portfolio of currency swaps and purchasing various foreign exchange
options.

The collateral consists of up to 20% mezzanine loans, which are typically contractually subordinated with
a subordinated equity piece. The mezzanine loans usually bear interest by reference to a floating-rate
index plus a spread. Mezzanine loans will generally either have a combination of a timely pay coupon
element and a deferrable element, known as payment-in-kind (PIK). The deferred interest on mezzanine
loans will be added to the principal balance of the loan and will only be realized at the earlier of the legal
maturity of the loan and the date of prepayment. For loans that have a PIK feature, the accrued interest
up to acquisition by the issuer is considered to be part of the principal balance for the purpose of the
transaction. However, any rolled-up margin that has been capitalized after acquisition of the loan can,
when realized, be treated as either interest or principal proceeds at the discretion of the portfolio
manager.

Assuming mezzanine loans meet the prescribed margin conditions, Standard & Poor's will give benefit to
the rolled-up interest in its cash flow analysis. The breakeven analysis is designed to compare the current
rating-specific portfolio default rate with a loss rate sustainable under the capital structure. This
breakeven analysis is calculated in circumstances in which the mezzanine loans meet the required
minimum deferred coupon conditions and when these coupon conditions are not met.

Strengths, Concerns, And Mitigating Factors

Strengths
• The quality of the portfolio will be closely monitored throughout the reinvestment period by par
value tests and interest coverage tests. Failure of these tests will cause a diversion of interest
proceeds to pay down the notes sequentially, until the failure is cured.
• The portfolio manager has a strong credit culture with experience in the European senior and
mezzanine leveraged loan sectors.
• Structural features are in place, such as applying haircuts to calculate the par value ratio for
excesses of 'CCC' rated assets and assets that have been purchased below 85% of par. An
additional reinvestment test also allows for up to 50% of available interest proceeds, due to be
paid to the class F subordinated note holders, to be invested in new collateral upon breach of
this test.
• The quality of the portfolio will be monitored throughout the reinvestment period using
Standard & Poor's CDO Monitor model.
• Any cash settlement amount received by the issuer under a credit short obligation would flow
through the principal or interest priority of payments, thereby providing additional cash flow to
the transaction. Standard & Poor's did not give credit to these amounts when calculating the
minimum breakeven default rate. Similarly, the credit risk associated with an obligation owned
by the issuer subject to an offset will be neutralized. Any protection payment received under
an offsetting CDS would flow through the principal priority of payments.

Concerns
• Up to 30% of the portfolio may be non-euro denominated.
• The transaction has a reinvestment period, in which sale proceeds and scheduled and
unscheduled principal proceeds may be used to purchase additional collateral. As with any
CDO transaction, there is a concern that during the reinvestment period the portfolio's quality
might decline through the purchase of poorer quality collateral.
• After the reinvestment period, the collateral manager can reinvest using unscheduled principal
proceeds and proceeds from the sale of credit-improved obligations
• The transaction allows no limit for special situation investments (SSI). A SSI is an investment
 in existing collateral obligations held by the collateral manager. The collateral manager will
have the option to inject additional capital to an obligor of a collateral debt obligation if in the
manager's business judgment the investment would improve the financial condition of the
obligor.

Mitigating factors
• The manager is required to ensure that all assets not denominated in either sterling or euros
are hedged through an asset-specific hedge. For sterling-denominated assets, the currency
risk is mitigated through a portfolio hedge. In rating this transaction, Standard & Poor's has
modeled the hedge and applied certain stresses and biases to ensure that the transaction
would continue to meet the payment of principal and interest on the notes.
• The risk of a deteriorating portfolio is addressed in the structure. Reinvestment criteria exist to
maintain asset quality and rating volatility. Standard & Poor's specific tests include the CDO
Monitor test and the minimum weighted-average recovery rate test. These tests must be met
before ratings can be affirmed on the effective date. If the tests are not met, all principal will be
used to amortize the notes until the tests are in compliance. Additional tests include the
minimum weighted-average spread test and coverage tests. The reinvestment criteria must be
met before and after reinvestment.
• Any reinvestments after the end of the reinvestment period will still be subject to meeting the
portfolio reinvestment criteria, plus additional rating and maturity limitations.
• The transaction will incorporate a par preservation test that will need to be satisfied as a
condition to enter into an SSI. The par preservation test will require the netting out of principal
proceeds used to purchase any SSI while maintaining the original par amount as of the closing
date.

Collateral Pool Characteristics

The collateral pool will comprise performing senior secured loans, unsecured loans, and mezzanine
obligations. At the time of purchase the collateral debt obligation must have a minimum rating of 'B-'.

The stratifications of the expected closing portfolio are shown in charts 2 and 3.
The target portfolio distribution by rating is shown in table 1.

Table 1 Target Portfolio Distribution By Rating

 Percentage

BB 1.8

BB- 9.6

B+ 31.3

B 49.5

B- 7.8

Collateral Pool Characteristics

The target portfolio is expected to comply with the characteristics shown in table 2.

Table 2 Portfolio Limits For Target Portfolio

Maximum PIK only obligations (%) 5

Maximum synthetic securities (%) 20

Maximum participations (%) 20

Maximum mezzanine obligations (%) 20

Maximum collateral obligations that can be reduced due to withholding tax and which is not grossed-up 5

Maximum revolving collateral obligations and/or delayed drawdown collateral obligations (%) 5

Maximum unsecured loans (%) 5

Maximum second-lien loans (%) 10

Maximum offsetting obligations (%) 10

Maximum credit short obligations (%) 5

Maximum non-euro-denominated obligations (%) 30

Maximum long-dated obligations (%) 5

3 (with up to 7
Maximum obligor concentration (%)
obligors)

Maximum obligor concentration for mezzanine loans (%) 2

Minimum floating-rate obligations (%) 95

Minimum senior secured loans (%) 80

Minimum selling institution, synthetic counterparties, credit short obligations counterparties or offsetting CDS
A
counterparties rating

Overcollateralization And Interest Coverage

Table 3 shows overcollateralization and interest coverage for the transaction.

Table 3 Overcollateralization And Interest Coverage

Required par value Expected par value Required interest Expected interest coverage
Class
ratios at closing (%) ratios at closing (%) coverage ratios (%)* ratios at effective date (%)

A/B 117.98 127.98 105/125 173.07

C 111.15 118.15 105/115 158.30

D 107.15 113.15 101/110 148.98

E 105.03 110.03 101/105 139.61

Additional
106.28 110.03 — —
reinvestment test

*The first number indicates the required ratio for the first two periods and the second number indicates the required ratio thereafter.

Payment Priorities
Both interest and principal priority of payments are standard. Principal allocation is sequential once
certain fees and interest on the senior notes, which have not been paid in the interest priority of
payments, have been paid. Interest proceeds are first used to pay senior fees and expenses, followed by
the coupons on the notes sequentially. If interest coverage and par coverage ratio triggers are breached,
available interest proceeds and, if required, principal proceeds will be used to amortize the notes
sequentially until the ratios are in compliance.

Hedging
The portfolio tests require that no more than 30% of the outstanding portfolio can consist of noneuro
obligations. The structure is expected to rely on two different approaches to mitigate currency risk. The
issuer is expected to use a portfolio hedge for its exposure to currency risk associated with any sterling-
denominated assets. The portfolio hedge will consist of swaps and options. The notional amount of the
portfolio hedge must not exceed €110 million. The notional balance can reduce if any of the hedged
assets are sold, prepaid, or default. The foreign exchange options will be exercised to allow the issuer to
reduce the portfolio hedge's notional amount at no additional cost to itself. In its rating analysis, Standard
& Poor's stress-tested the structure's ability to continue making payments under the swap and to meet its
obligation to pay the rated liabilities.

Before acquiring any assets not denominated in euros or sterling, the issuer must enter into an asset-
specific swap that hedges its currency risk. The issuer will also purchase options, which will allow the
manager to terminate the swaps if these assets prepay or default.

The notes bear interest based on six-month EURIBOR, while the collateral debt securities will consist
primarily of floating-rate obligations that bear interest at one, three, six, and 12 months over the relevant
current indices. The mismatch has been addressed in the cash flow analysis by modeling the extreme
interest scenarios and to generate the impact of a potential spread compression as a result of movements
in the interest rates. If the portion of the collateral that pays interest less frequently than semiannually
exceeds 5%, the issuer may enter into interest rate swaps to hedge the mismatch.

Cash Flow Assumptions

Default stress scenarios

To determine the default risk of a proposed portfolio, Standard & Poor's CDO Evaluator model
analyzes the following information:

• The number of obligors and obligations in the pool;

• The obligor credit rating;
• The principal amount outstanding;
• The maturity date of each obligation; and
• The amortization schedules for amortizing assets.
 Once the default frequency is calculated by Standard & Poor's model, the resulting default frequency
is used as one of the key assumptions in cash flow modeling. The capital structure of the transaction is
then subjected to various cash flow stress scenarios incorporating alternative default patterns, levels,
and timing of default scenarios for each rating category. The cash flow stresses have been applied
assuming the worst-case portfolio that is permitted under the eligibility criteria and portfolio profile
tests.

Different default timing scenarios are used to stress a transaction's internal or external hedging
mechanics, and to analyze the interaction between the underlying assets and the prospective rated
liabilities.

The default rate for each rating category is applied in conjunction with the interest rate stress
scenarios and the respective recovery rates to analyze the structure's ability to withstand cumulative
defaults and, as a result, its ability to pay timely interest on the class A and B notes and ultimate
interest on the class C, D, and E notes by the legal final maturity of the rated liabilities.

The default rate for each rating category is distributed across the curves shown in table 4.

Table 4 Default Timing Pattern

Year Scenario I (%) Scenario II (%) Scenario III (%) Scenario IV (%) Scenario V (%) Scenario VI (%) Scenario VII (%)

1 15 25 20 40 8.3 20 25

2 30 25 20 20 8.3 — —

3 30 25 20 20 8.3 20 —

4 15 25 20 10 8.3 — 25

5 10 — 20 10 8.3 20 —

6 — — — — 8.3 — —

7 — — — — 8.3 20 25

8 — — — — 8.3 — —

9 — — — — 8.3 20 —

10 — — — — 8.3 — 25

11 — — — — 8.3 — —

12 — — — — 8.7 — —

For scenarios I to IV, each default pattern is lagged to begin at the end of years one, two, three, four,
five, six, seven, and eight of the transaction, respectively, for the 'AAA' and 'AA' rated notes.

Each of these default timing patterns is applied together with the interest rate stress scenarios and the
respective recovery rates to analyze the structure's ability to withstand cumulative defaults and its
ability to pay timely interest on the class A and B notes only, and ultimate interest on the class C, D,
and E notes by the legal final maturity of the rated notes.

Interest Rate Stress Scenarios

In addition to incorporating the default stress scenarios, different interest rate stress scenarios are used in
the cash flow analysis evaluated by Standard & Poor's to test the impact of different interest rate
environments on the structure's ability to pay timely interest (as required) and ultimate principal on the
rated liabilities. Standard & Poor's interest rate assumptions are based on the historical levels and
changes in these rates to determine interest rate floors, caps, and spikes over various periods.

The expected breakeven default rate that the transaction can withstand under Standard & Poor's cash
flow assumptions must exceed results from Standard & Poor's CBO/CLO default model to provide a
sufficient cushion.

Transaction Management

Portfolio manager (Mizuho Corporate Bank Ltd.)

This is the third European transaction to be sponsored by Mizuho, the corporate bank of the Mizuho
Financial Group. The Mizuho Financial Group has total assets of $1.23 trillion as at year ending March
31, 2005. The group was constituted in September 2000 to facilitate the merger of and corporate re-
organization among the following three Japanese financial institutions: The Dai-Ichi Kangyo Bank Ltd.,
The Fuji Bank Ltd., and The Industrial Bank of Japan Ltd. The merger was finalized on April 1, 2002,
on which date the London branch of Mizuho Financial Group assumed the business previously
conducted by the London branches of Dai-Ichi Kangyo Bank, Fuji Bank, and Industrial Bank of Japan.
The leveraged finance group of Mizuho actively manages a portfolio of €3.3 billion of European
leveraged loans (as at Feb. 28, 2006), including both the purchase and sale of assets (excluding
Harvest CLO I S.A., Harvest CLO II S.A., and Harvest CLO III PLC).

Mizuho has been active in the leveraged loan market since 1987, both as underwriter and investor in
senior and mezzanine leveraged loan transactions. Mizuho has a strong credit culture and has
capitalized on the key relationships it has developed in the market with private equity houses, giving it
good access to collateral.

Standard & Poor's has performed an on-site visit to review the operations of Mizuho. The transaction
documents place appropriate trading restrictions on the portfolio manager. In addition, the portfolio
manager's role includes providing advisory services in connection with:

• The selection and credit evaluation of underlying assets for inclusion in the portfolio;
• The monitoring of the performance and credit quality of the underlying assets in the portfolio;
• The management of underlying assets to assure compliance with the parameters set forth in
the transaction documents; and
• Compliance with certain notice requirements.

Sales and reinvestment of collateral

The transaction documents permit the portfolio manager to sell loans at any time when the collateral
debt security:

• Is a defaulted security;
• Is an exchanged equity security; or
• Is deemed a credit-impaired or credit-improved security by the portfolio manager.

The reinvestment criteria do not have to be met at the time of sale.

The transaction also allows the investment manager to sell collateral debt securities outside the
requirements set out above, if the total volume of these sales does not exceed 20% of the aggregate
principal balance of the collateral debt securities for a given year. During the reinvestment period, the
investment manager may reinvest all scheduled repayment, unscheduled prepayment, and sale
proceeds. After the reinvestment period, only unscheduled principal proceeds and the proceeds of the
sale of credit-improved securities can be reinvested. This is provided that all coverage tests and a
 number of the collateral quality tests are in compliance, in particular the purchased collateral having an
equal or higher Standard & Poor's rating, and equal or earlier maturity than the collateral it replaces.

Redemption Of The Notes

Optional redemption
The rated notes may be redeemed in whole in the following circumstances: (i) on any payment date if,
following a change in tax law, withholding tax is applied to the interest that is paid on the notes; (ii) on
any payment date if withholding tax is applied to interest that is received on the collateral and that is
not grossed up by the obligor; or (iii) on any payment date after the end of the non-call period five
years after closing.

Optional redemption for circumstance (i) is at the option of the class F noteholders and the holders of
the most senior notes outstanding, requiring a two-thirds majority of both. Optional redemption for
circumstances (ii) and (iii) is at the option of the class F subordinated noteholders only and also
requires a two-thirds majority.

Mandatory redemption
The class A, B, C, D, and E notes will be sequentially redeemed by the issuer on any payment date
before final legal maturity if any of the par value or interest coverage tests are not satisfied as of the
related calculation date. This mandatory redemption pays down the rated notes sequentially with the
available interest cash in the interest priority of payments and available principal cash in the principal
priority of payments, if necessary, to satisfy all of the coverage tests.

After the end of the reinvestment period, principal proceeds, to the extent not allowed and designated
to be reinvested, will be used to redeem the class A, B, C, D, and E notes sequentially.

Key Performance Indicators

Key performance indicators for this transaction include:

• Potential rating migration of the collateral and the extent this can lead to defaults;
• The coverage tests;
• The level of recoveries achieved in case of defaults;
• The degree of trading gains and/or losses;
• The ability to source and reinvest in suitable collateral; and
• The extent to which loans prepay and the potential negative or positive effect this can have on
excess spread.

Criteria Referenced
• "CDO Spotlight: General Cash Flow Analytics for CDO Securitizations" (published on Aug. 25,
2004).
• "Global Interest Rate and Currency Swaps: Calculating the Collateral Required Amount"
(published on Feb. 26, 2004).
• "Standard & Poor's Global Interest Rate and Swap Counterparty Rating Criteria Expanded"
(published on Dec. 17, 2003).
• "Criteria Regarding Legal Opinions in the Context of CDOs" (published on May 12, 2003).
• "European Legal Criteria for Structured Finance Transactions" (published on March 23, 2005).
• "Global Cash Flow and Synthetic Criteria" (published on March 21, 2002).
 • "Global CBO/CLO Criteria" (published on June 1, 1999).

Related Articles
• "ROC Report" (published monthly).
• "European CDOs of Leveraged Loans Review" (published quarterly).
• "Rating Transitions 2005: Activity More Muted But Upgrades Still Dominate In European
Structured Finance" (published on Jan. 11, 2006).

All criteria and related articles are available on RatingsDirect, Standard & Poor's Web-based credit
analysis system, at www.ratingsdirect.com. The criteria can also be found on Standard & Poor's Web site
at www.standardandpoors.com.