Camber 5 Final ISE Prospectus - Ningapi.ning.com/files/SvQggZ8qvfUcl9sZasPvPPl98... · i This Prospectus has been prepared by the Issuer solely for use in connection with the proposed

PROSPECTUS

CAMBER 5 Ltd

U.S.$344,000,000 Class A-1 Floating Rate Senior Secured Notes Due 2045U.S.$23,000,000 Class A-2 Floating Rate Senior Secured Notes Due 2045U.S.$67,000,000 Class A-3 Floating Rate Senior Secured Notes Due 2045

U.S.$19,000,000 Class B Floating Rate Subordinate Secured Notes Due 2045U.S.$21,750,000 Class C Floating Rate Junior Subordinate Secured Notes Due 2045

U.S.$27,500,000 Income Notes Due 2045

The Rated Notes and the Income Notes (collectively, the "Notes") are being issued by CAMBER 5 Ltd (the "Issuer"), a newlyformed exempted company incorporated under the laws of the Cayman Islands. The Rated Notes will constitute secured limited recoursedebt obligations of the Issuer. The Income Notes will constitute unsecured limited recourse debt obligations of the Issuer.

Interest on the Rated Notes and distributions on the Income Notes are payable on the 6th day of March, June, September andDecember as set forth herein, beginning in March 2006. The Notes are scheduled to mature in December 2045. The Notes areredeemable as described under the caption "Description of the Notes—Rated Notes—Early Redemption". The Rated Notes, and theIssuer's obligations under the Hedge Agreements, will be secured by a portfolio of asset-backed securities and other collateral as describedherein. Cambridge Place Investment Management LLP, as Collateral Manager (the "Collateral Manager"), will perform certainadministrative and advisory services for the Issuer.

The Class A-1 Notes will be rated "Aaa" by Moody's Investors Service, Inc. ("Moody's") and "AAA" by Standard & Poor's, adivision of The McGraw-Hill Companies, Inc. ("S&P"), the Class A-2 Notes will be rated "Aaa" by Moody's and "AAA" by S&P, theClass A-3 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 "A3" by Moody'sand 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 Noteswill not be rated.

This Prospectus constitutes a prospectus for purposes of the Prospectus Directive. Application has been made to the IrishFinancial Services Regulatory Authority, as competent authority under Directive 2003/71/EC for the for the Prospectus to be approved.Application has been made to the Irish Stock Exchange for the Notes to be admitted to the Official List and trading on its regulatedmarket. There can be no assurance that such admission will be granted. The issuance and settlement of the Notes on the Closing Date arenot conditioned on the listing of the Notes on the Irish Stock Exchange.

Investing in the Notes involves risks. See "Risk Factors" beginning on page 6.THE NOTES DO NOT REPRESENT AN INTEREST IN OR OBLIGATIONS OF, AND ARE NOT INSURED

OR GUARANTEED BY, THE INITIAL PURCHASER, THE COLLATERAL MANAGER, MANX, THE TRUSTEE, THEINCOME NOTE ISSUING AND PAYING AGENT, THE PLACEMENT AGENT OR ANY OF THEIR RESPECTIVEAFFILIATES (EACH, AS DEFINED HEREIN).

The Notes have not been registered under the Securities Act of 1933, as amended (the "Securities Act"), or any state securitieslaws. In the United States, the Notes are being offered only to "Qualified Institutional Buyers" (as defined under Rule 144A under theSecurities Act) or "Accredited Investors" (as defined under Regulation D under the Securities Act). The Notes are also being offeredoutside the United States to investors who are not U.S. Persons (as defined in Regulation S under the Securities Act) in accordance withRegulation 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"), orcompanies owned exclusively by qualified purchasers and/or knowledgeable employees with respect to the Issuer. For a description ofcertain 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 UnitedStates will be settled in book-entry form. The Rated Notes sold to Accredited Investors and the Income Notes sold to investors in theUnited 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 todeliver the Notes to investors on or about December 20, 2005 (the "Closing Date").

CitigroupJanuary 20, 2006

Each prospective investor in the Notes should rely only on the information contained in thisProspectus ("Prospectus"). The Issuer has not authorized anyone to provide any prospective investor withdifferent information. None of the Issuer, the Initial Purchaser and the Placement Agent is making an offerof these securities in any jurisdiction where the offer is not permitted. Investors in the Notes should notassume that the information contained in this Prospectus is accurate as of any date other than the date of thisProspectus.

TABLE OF CONTENTS

Page

NOTICE TO PURCHASERS...................................................................................................................................... ii

AVAILABLE INFORMATION ..............................................................................................................................viii

CERTAIN CONSIDERATIONS RELATING TO THE CAYMAN ISLANDS .....................................................viii

SUMMARY ................................................................................................................................................................ 1

RISK FACTORS ......................................................................................................................................................... 6

THE ISSUER............................................................................................................................................................. 28

DESCRIPTION OF THE NOTES............................................................................................................................. 30

THE INDENTURE AND THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT................ 53

SECURITY FOR THE RATED NOTES .................................................................................................................. 61

THE COLLATERAL MANAGER ........................................................................................................................... 72

THE COLLATERAL MANAGEMENT AGREEMENT ......................................................................................... 73

PURCHASE AND TRANSFER RESTRICTIONS .................................................................................................. 81

CERTAIN INCOME TAX CONSIDERATIONS..................................................................................................... 98

CERTAIN ERISA CONSIDERATIONS................................................................................................................ 108

CERTAIN LEGAL INVESTMENT CONSIDERATIONS .................................................................................... 111

RATINGS OF THE NOTES ................................................................................................................................... 112

PLAN OF DISTRIBUTION.................................................................................................................................... 113

SETTLEMENT AND CLEARING......................................................................................................................... 115

LISTING AND GENERAL INFORMATION........................................................................................................ 116

LEGAL MATTERS ................................................................................................................................................ 117

ANNEX A – GLOSSARY ......................................................................................................................................A-1

ANNEX B – PORTFOLIO OF COLLATERAL DEBT SECURITIES TO BE PURCHASED BYTHE ISSUER ON THE CLOSING DATE ...................................................................................................... B-1

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This Prospectus has been prepared by the Issuer solely for use in connection with the proposed offering ofthe Notes described herein. This Prospectus is personal to each offeree and does not constitute an offer to any otherperson or to the public generally to subscribe for or otherwise acquire the Notes. Distribution of this Prospectus toany other person other than the offeree and any person retained to advise such offeree with respect to its purchase isunauthorized, and any disclosure of any of its contents, without the prior written consent of the Issuer, is prohibited.Each prospective investor, by accepting delivery of this Prospectus, agrees to the foregoing and to make nophotocopies of this Prospectus or any documents referred to herein.

None of the Initial Purchaser, the Placement Agent, Manx and the Collateral Manager make anyrepresentation or warranty, express or implied, to any person as to the accuracy or completeness of the informationcontained 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 InitialPurchaser, the Placement Agent or the Collateral Manager, except, in the case of the Collateral Manager, for theCollateral Manager Information. None of the Initial Purchaser, the Placement Agent, Manx and the CollateralManager have independently verified any of the information contained herein (financial, legal or otherwise) andassume no responsibility for the accuracy or completeness of any such information, except, in the case of theCollateral Manager, for the Collateral Manager Information.

The ratings assigned to the Rated Notes on the Closing Date by each Rating Agency will have beenassigned in accordance with such Rating Agency's published rating criteria and methodology. A security rating isnot a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by theassigning Rating Agency. In the event that a rating initially assigned to any Class of Rated Notes is subsequentlylowered for any reason, no person or entity is obligated to provide any additional support or credit enhancement withrespect to the Rated Notes. The Issuer will inform the Irish Stock Exchange, so long as any of the Rated Notes arelisted thereon and the rules of the Irish Stock Exchange so require, if the ratings assigned to such Rated Notes as ofthe Closing Date are reduced or withdrawn. Each person receiving this Prospectus acknowledges that such personhas not relied on any of the Placement Agent, the Collateral Manager, Manx, the Trustee, the Income Note Issuingand Paying Agent, the Administrator and their respective Affiliates, or on any Affiliate of the Issuer, in connectionwith the accuracy of such information or its investment decision.

None of the Securities and Exchange Commission, any state securities commission and any otherU.S. regulatory authority has approved or disapproved the Notes and none of the foregoing authorities has passedupon or endorsed the merits of this offering or the accuracy or adequacy of this Prospectus. Any representation tothe contrary is a criminal offense.

In making an investment decision, prospective investors must rely on their own examination of the Issuerand the terms of the offering, including the merits and risks involved. Prospective investors should not construeanything in this Prospectus as legal, regulatory, business, accounting, investment or tax advice. Each prospectiveinvestor should consult its own advisors as needed to make its investment decision and to determine whether it islegally permitted to purchase the Notes under applicable legal investment or similar laws or regulations. Investorsshould be aware that they may be required to bear the financial risks of their investment for an indefinite period oftime.

This Prospectus contains summaries believed to be accurate with respect to certain documents, butreference is made to the actual documents for complete information. All such summaries are qualified in theirentirety by such reference. Copies of documents referred to herein will be made available to prospective investorsupon 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 SECURITIESACT, THE SECURITIES LAWS OF ANY STATE OF THE UNITED STATES OR THE SECURITIES LAWS OFANY OTHER JURISDICTION AND MAY NOT BE OFFERED, SOLD OR OTHERWISE TRANSFERREDUNLESS AN EXEMPTION FROM REGISTRATION UNDER THE SECURITIES ACT AND APPLICABLESTATE SECURITIES LAWS IS AVAILABLE. THE ISSUER IS RELYING ON AN EXEMPTION FROMREGISTRATION UNDER THE INVESTMENT COMPANY ACT, AND NO TRANSFER OF A NOTE MAY BEMADE WHICH WOULD CAUSE THE ISSUER OR THE POOL OF COLLATERAL TO BECOME SUBJECTTO THE REGISTRATION REQUIREMENTS OF THE INVESTMENT COMPANY ACT. THE NOTES AREALSO SUBJECT TO CERTAIN OTHER RESTRICTIONS ON TRANSFER AS DESCRIBED HEREIN.

THE RATED NOTES WILL BE SECURED LIMITED RECOURSE DEBT OBLIGATIONS OF THEISSUER. THE INCOME NOTES WILL BE UNSECURED LIMITED RECOURSE DEBT OBLIGATIONS OFTHE ISSUER. PRINCIPAL OF AND INTEREST ON THE RATED NOTES AND DISTRIBUTIONS ON THEINCOME NOTES WILL BE PAID, IN ACCORDANCE WITH THE PRIORITY OF PAYMENTS SET FORTHHEREIN, SOLELY FROM AND TO THE EXTENT OF THE AVAILABLE PROCEEDS FROM THEDISTRIBUTIONS ON COLLATERAL DEBT SECURITIES AND OTHER COLLATERAL PLEDGED BY THEISSUER TO SECURE THE RATED NOTES, WHICH WILL BE THE ONLY SOURCE OF PAYMENTS ONTHE NOTES.

FOR THESE REASONS, AMONG OTHERS, AN INVESTMENT IN THE NOTES IS NOT SUITABLEFOR ALL INVESTORS AND IS APPROPRIATE ONLY FOR AN INVESTOR CAPABLE OF (i) ANALYZINGAND ASSESSING THE RISKS ASSOCIATED WITH DEFAULTS, LOSSES AND RECOVERIES ON,REINVESTMENT OF PROCEEDS OF AND OTHER CHARACTERISTICS OF ASSETS SUCH AS THOSEINCLUDED AMONG THE COLLATERAL DEBT SECURITIES AND (ii) BEARING SUCH RISKS AND THEFINANCIAL CONSEQUENCES THEREOF AS THEY RELATE TO AN INVESTMENT IN THE NOTES.

EXCEPT AS SET FORTH IN THIS PROSPECTUS, NO PERSON IS AUTHORIZED TO GIVE ANYINFORMATION OR TO MAKE ANY REPRESENTATION NOT CONTAINED IN THIS PROSPECTUS AND,IF GIVEN OR MADE, SUCH INFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON. THISPROSPECTUS DOES NOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TOBUY ANY OF THE NOTES OFFERED HEREBY IN ANY JURISDICTION TO ANY PERSON TO WHICH ITIS UNLAWFUL TO MAKE SUCH OFFER IN SUCH JURISDICTION NOR TO ANY PERSON WHO HAS NOTRECEIVED A COPY OF THIS PROSPECTUS AND EACH CURRENT AMENDMENT OR SUPPLEMENTHERETO, IF ANY.

THE ISSUER ACCEPTS RESPONSIBILITY FOR THE INFORMATION CONTAINED IN THISPROSPECTUS OTHER THAN INFORMATION PROVIDED UNDER THE CAPTION "THE COLLATERALMANAGER". TO THE BEST KNOWLEDGE AND BELIEF OF THE ISSUER, THE INFORMATIONCONTAINED IN THIS PROSPECTUS IS IN ACCORDANCE WITH THE FACTS AND DOES NOT OMITANYTHING LIKELY TO AFFECT THE IMPORT OF SUCH INFORMATION.

THE DELIVERY OF THIS PROSPECTUS AT ANY TIME DOES NOT IMPLY THAT THEINFORMATION CONTAINED HEREIN IS CORRECT AT ANY TIME SUBSEQUENT TO ITS DATE.

IT IS EXPECTED THAT PROSPECTIVE INVESTORS INTERESTED IN PARTICIPATING IN THISOFFERING ARE WILLING AND ABLE TO CONDUCT AN INDEPENDENT INVESTIGATION OF THERISKS POSED BY AN INVESTMENT IN THE NOTES. REPRESENTATIVES OF THE INITIALPURCHASER WILL BE AVAILABLE TO ANSWER QUESTIONS CONCERNING THE ISSUER, THENOTES, THE COLLATERAL MANAGER AND THE COLLATERAL AND WILL, UPON REQUEST, MAKEAVAILABLE SUCH OTHER INFORMATION AS INVESTORS MAY REASONABLY REQUEST.

EACH INITIAL INVESTOR IN THE RATED NOTES (OTHER THAN THE RESTRICTEDCERTIFICATED NOTES) WILL BE DEEMED TO HAVE MADE CERTAIN PURCHASERREPRESENTATIONS AS DESCRIBED UNDER "PURCHASE AND TRANSFER RESTRICTIONS" HEREIN.

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EACH INITIAL INVESTOR IN THE RESTRICTED CERTIFICATED NOTES WILL BE REQUIRED TOMAKE CERTAIN PURCHASER REPRESENTATIONS AS DESCRIBED UNDER "PURCHASE ANDTRANSFER RESTRICTIONS" HEREIN. EACH PURCHASER OF THE INCOME NOTES OFFERED IN THEUNITED STATES IN RELIANCE ON RULE 144A WILL BE REQUIRED TO MAKE CERTAIN PURCHASERREPRESENTATIONS AS DESCRIBED UNDER "PURCHASE AND TRANSFER RESTRICTIONS" HEREIN.IN ADDITION, THE NOTES WILL BEAR RESTRICTIVE LEGENDS AND WILL BE SUBJECT TORESTRICTIONS ON TRANSFER AS DESCRIBED HEREIN, INCLUDING THE REQUIREMENT THAT,WITH RESPECT TO THE INCOME NOTES TRANSFERRED OR EXCHANGED IN THE UNITED STATES INRELIANCE ON RULE 144A, SUBSEQUENT TRANSFEREES FURNISH A REPRESENTATION LETTER INTHE FORM PRESCRIBED BY THE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT. ANYRESALE OR OTHER TRANSFER, OR ATTEMPTED RESALE OR OTHER ATTEMPTED TRANSFER, OFNOTES WHICH IS NOT MADE IN COMPLIANCE WITH THE APPLICABLE TRANSFER RESTRICTIONSWILL BE NULL AND VOID AB INITIO. SEE "PURCHASE AND TRANSFER RESTRICTIONS".

NO INVITATION MAY BE MADE TO THE PUBLIC IN THE CAYMAN ISLANDS TO SUBSCRIBEFOR THE NOTES.

FOR NEW HAMPSHIRE RESIDENTS ONLY: NEITHER THE FACT THAT AREGISTRATION STATEMENT OR AN APPLICATION FOR A LICENSE HAS BEENFILED UNDER CHAPTER 421-B OF THE NEW HAMPSHIRE UNIFORMSECURITIES ACT, AS AMENDED, WITH THE STATE OF NEW HAMPSHIRE NORTHE FACT THAT A NOTE IS EFFECTIVELY REGISTERED OR A PERSON ISLICENSED IN THE STATE OF NEW HAMPSHIRE CONSTITUTES A FINDING BYTHE SECRETARY OF STATE THAT ANY DOCUMENT FILED UNDER RSA 421-BOF THE NEW HAMPSHIRE UNIFORM SECURITIES ACT IS TRUE, COMPLETEAND NOT MISLEADING. NEITHER ANY SUCH FACT NOR THE FACT THAT ANEXEMPTION OR EXCEPTION IS AVAILABLE FOR A NOTE OR A TRANSACTIONMEANS THAT THE SECRETARY OF STATE HAS PASSED IN ANY WAY UPON THEMERITS OR QUALIFICATIONS OF, OR RECOMMENDED OR GIVEN APPROVALTO, ANY PERSON, NOTE OR TRANSACTION. IT IS UNLAWFUL TO MAKE, ORCAUSE TO BE MADE, TO ANY PROSPECTIVE PURCHASER, CUSTOMER, ORCLIENT ANY REPRESENTATION INCONSISTENT WITH THE PROVISIONS OFTHIS PARAGRAPH.

NOTICE TO RESIDENTS OF AUSTRALIA

NO PROSPECTUS OR OTHER DISCLOSURE DOCUMENT AS DEFINED IN THE CORPORATIONSACT 2001 IN RELATION TO THE OFFERED SECURITIES HAS BEEN LODGED WITH, OR REGISTEREDBY, THE AUSTRALIAN SECURITIES AND INVESTMENTS COMMISSION ("ASIC") OR THEAUSTRALIAN STOCK EXCHANGE LIMITED. THE INITIAL PURCHASER HAS REPRESENTED ANDAGREED THAT IT:

(A) HAS NOT (DIRECTLY OR INDIRECTLY) OFFERED FOR SUBSCRIPTION OR PURCHASEOR ISSUED INVITATIONS TO SUBSCRIBE FOR OR BUY NOR WILL IT SELL THE OFFEREDSECURITIES; AND

(B) WILL NOT (DIRECTLY OR INDIRECTLY) OFFER FOR SUBSCRIPTION OR PURCHASEOR ISSUE INVITATIONS TO SUBSCRIBE FOR OR BUY NOR WILL IT SELL THE OFFERED SECURITIES;AND

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(C) HAS NOT DISTRIBUTED OR PUBLISHED AND WILL NOT DISTRIBUTE OR PUBLISHANY DRAFT OR DEFINITIVE PROSPECTUS, ADVERTISEMENT OR OTHER OFFERING MATERIALRELATING TO THE OFFERED SECURITIES, IN AUSTRALIA, ITS TERRITORIES OR POSSESSIONSUNLESS THE CONSIDERATION PAYABLE BY EACH OFFEREE OR INVITEE IS A MINIMUM AMOUNTOF AU$500,000 OR EQUIVALENT, BUT DISREGARDING MONEYS LENT BY THE OFFEROR OR ITSASSOCIATES, OR THE OFFER OR INVITATION OTHERWISE DOES NOT REQUIRE DISCLOSURE TOINVESTORS IN ACCORDANCE WITH PART 6D.2 OF AN "EXCLUDED OFFER" OR "EXCLUDEDINVITATION" AS THOSE TERMS ARE DEFINED IN THE CORPORATIONS LAW (WITHIN THEMEANING OF THE CORPORATIONS ACT 2001 OF AUSTRALIA) AND ANY OTHER APPLICABLE LAWSAND REGULATION. THE INITIAL PURCHASER HAS FURTHER REPRESENTED AND AGREED NOT TOCIRCULATE OR ISSUE ANY PROSPECTUS, ADVERTISEMENT OR OTHER OFFERING MATERIALRELATING TO THE OFFERED SECURITIES WHICH REQUIRES LODGING OR REGISTRATION WITHASIC UNDER THE CORPORATIONS ACT 2001 OF AUSTRALIA.

NOTICE TO RESIDENTS OF AUSTRIA

THIS OFFERING MEMORANDUM IS NOT A PROSPECTUS UNDER THE AUSTRIAN CAPITALMARKETS ACT OR THE AUSTRIAN INVESTMENT FUNDS ACT. THIS OFFERING MEMORANDUM HASNOT BEEN EXAMINED BY A PROSPECTUS AUDITOR AND NO PROSPECTUS ON THE PRIVATEPLACEMENT OF THE NOTES HAS BEEN PUBLISHED OR WILL BE PUBLISHED IN AUSTRIA. THENOTES ARE OFFERED IN AUSTRIA ONLY TO A RESTRICTED AND SELECTED NUMBER OFPROFESSIONAL AND SOPHISTICATED INDIVIDUAL INVESTORS, AND NO PUBLIC OFFERING OF THENOTES IN AUSTRIA IS BEING MADE OR IS INTENDED TO BE MADE. THE NOTES CAN ONLY BEACQUIRED FOR A COMMITMENT EXCEEDING €50,000 OR ITS EQUIVALENT VALUE IN ANYFOREIGN CURRENCY.

NOTICE TO RESIDENTS OF DENMARK

THE INITIAL PURCHASER, THE PLACEMENT AGENT AND THE ISSUER HAVE EACH AGREEDTHAT IT HAS NOT OFFERED OR SOLD AND WILL NOT OFFER, SELL OR DELIVER ANY NOTES INTHE KINGDOM OF DENMARK, DIRECTLY OR INDIRECTLY, BY WAY OF PUBLIC OFFER, UNLESSSUCH OFFER, SALE OR DELIVERY IS, OR WAS, IN COMPLIANCE WITH THE DANISH ACT NO. 1072 OFDECEMBER 20, 1995 ON SECURITIES TRADING, CHAPTER 12 ON PROSPECTUSES ON FIRST PUBLICOFFER OR CERTAIN EXECUTIVE SECURITIES AND ANY EXECUTIVE ORDERS ISSUED IN PURSUANTTHEREOF.

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 THENOTES IN THE REPUBLIC OF FRANCE WILL BE MADE ONLY IN ACCORDANCE WITH ARTICLE 6 OFTHE ORDINANCE DATED 28TH SEPTEMBER 1967, AS AMENDED, AND DECREE NO. 98-880, DATED1ST 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 GERMANWERTPAPIERVERKAUFSPROSPEKTGESETZ (THE "SECURITIES SELLING PROSPECTUS ACT") ANDTHE AUSLANDSINVESTMENTGESETZ (THE "ACT ON FOREIGN INVESTMENT FUNDS"). THE NOTESARE NOT REGISTERED OR AUTHORIZED FOR DISTRIBUTION UNDER THE ACT ON FOREIGNINVESTMENT FUNDS AND ACCORDINGLY MAY NOT BE, AND ARE NOT BEING, OFFERED ORADVERTISED PUBLICLY OR OFFERED SIMILARLY UNDER § 1 OF THE ACT ON FOREIGNINVESTMENT FUNDS OR THE SECURITIES SELLING PROSPECTUS ACT. THEREFORE, THIS OFFER ISONLY BEING MADE TO RECIPIENTS TO WHOM THIS DOCUMENT IS PERSONALLY ADDRESSED ANDDOES NOT CONSTITUTE AN OFFER OR ADVERTISEMENT TO THE PUBLIC. THE NOTES CAN ONLY

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BE ACQUIRED FOR A MINIMUM PURCHASE PRICE OF AT LEAST €40,000 EXCLUDING COMMISSIONAND 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 MEANSOF THIS PROSPECTUS OR ANY OTHER DOCUMENT OTHERWISE THAN TO PERSONS WHOSEORDINARY BUSINESS IT IS TO BUY OR SELL SECURITIES (WHETHER AS PRINCIPAL OR AGENT) ORIN CIRCUMSTANCES WHICH DO NOT CONSTITUTE AN OFFER TO THE PUBLIC WITHIN THEMEANING OF THE COMPANIES ORDINANCE (CHAPTER 32 OF THE LAWS OF HONG KONG). UNLESSIT IS A PERSON WHO IS PERMITTED TO DO SO UNDER THE SECURITIES LAWS OF HONG KONG, NOPERSON MAY ISSUE, OR HAVE IN ITS POSSESSION FOR THE PURPOSES OF ISSUE, WHETHER INHONG KONG OR ELSEWHERE, THIS PROSPECTUS OR ANY OTHER ADVERTISEMENT, INVITATIONOR DOCUMENT WHICH CONTAINS AN INVITATION TO THE PUBLIC TO ENTER INTO OR OFFER TOENTER INTO AN AGREEMENT TO ACQUIRE, DISPOSE OF, SUBSCRIBE FOR OR UNDERWRITE THEOFFERED SECURITIES OTHER THAN IN RESPECT OF OFFERED SECURITIES WHICH ARE OR AREINTENDED TO BE DISPOSED OF ONLY TO PERSONS OUTSIDE HONG KONG OR ONLY TO PERSONSWHO ARE "PROFESSIONAL INVESTORS" WITHIN THE MEANING OF THE SECURITIES AND FUTUREORDINANCE (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 SECURITIESAUTHORITY IN IRELAND. ACCORDINGLY, THE NOTES MAY BE OFFERED AND SOLD IN IRELANDONLY TO PERSONS (I) WHOSE ORDINARY BUSINESS IT IS TO BUY OR SELL SHARES ORDEBENTURES (WHETHER AS PRINCIPAL OR AGENT), AND (II) IN THE CONTEXT OF THEIR TRADES,PROFESSIONS AND OCCUPATIONS, OR OTHERWISE IN CIRCUMSTANCES WHICH DO NOTCONSTITUTE AN OFFER TO THE PUBLIC WITHIN THE MEANING OF THE COMPANIES ACTS, 1963 TO2001, 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 ANDEXCHANGE LAW OF JAPAN (THE "SECURITIES AND EXCHANGE LAW") AND THE INITIALPURCHASER HAS AGREED THAT IT WILL NOT OFFER OR SELL ANY NOTES, DIRECTLY ORINDIRECTLY, IN JAPAN OR TO, OR FOR THE BENEFIT OF, ANY RESIDENT OF JAPAN (WHICH TERMAS USED HEREIN MEANS ANY PERSON RESIDENT IN JAPAN, INCLUDING ANY CORPORATION OROTHER ENTITY ORGANIZED UNDER THE LAWS OF JAPAN) OR TO OTHERS FOR RE-OFFERING ORRESALE, DIRECTLY OR INDIRECTLY, IN JAPAN OR TO A RESIDENT OF JAPAN AND THATTHEREAFTER IT WILL NOT OFFER OR SELL NOTES IN JAPAN OR TO A RESIDENT OF JAPAN EXCEPTPURSUANT TO AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF, AND OTHERWISEIN COMPLIANCE WITH, THE SECURITIES AND EXCHANGE LAW AND ANY RELEVANT LAWS,REGULATIONS AND MINISTERIAL GUIDELINES OF JAPAN.

NOTICE TO RESIDENTS OF KOREA

THE ISSUER IS NOT MAKING ANY REPRESENTATION, EXPRESS OR IMPLIED, WITH RESPECTTO THE QUALIFICATION OF THE RECIPIENTS OF THESE MATERIALS FOR THE PURPOSE OFINVESTING IN THE NOTES UNDER THE LAWS OF KOREA, INCLUDING AND WITHOUT LIMITATIONTHE FOREIGN EXCHANGE MANAGEMENT LAW AND REGULATIONS THEREUNDER. THE NOTESHAVE NOT BEEN REGISTERED UNDER THE SECURITIES AND EXCHANGE LAW OF KOREA ANDNONE OF THE NOTES MAY BE OFFERED OR SOLD OR DELIVERED, DIRECTLY OR INDIRECTLY, INKOREA OR TO ANY RESIDENT OF KOREA EXCEPT PURSUANT TO APPLICABLE LAWS ANDREGULATIONS OF KOREA.

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NOTICE TO RESIDENTS OF THE NETHERLANDS

EACH OF THE INITIAL PURCHASER AND THE PLACEMENT AGENT HAS REPRESENTED ANDAGREED THAT IT HAS NOT, DIRECTLY OR INDIRECTLY, OFFERED, SOLD, TRANSFERRED ORDELIVERED AND WILL NOT, DIRECTLY OR INDIRECTLY, OFFER, SELL, TRANSFER OR DELIVERANY NOTES OFFERED HEREBY (INCLUDING RIGHTS REPRESENTING AN INTEREST IN A GLOBALNOTE) IN DENOMINATIONS LESS THAN €50,000 OR U.S.$50,000 (OR THE EQUIVALENT THEREOF INOTHER 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 ANDSUPRANATIONAL ORGANIZATIONS, TREASURIES AND FINANCE COMPANIES OF LARGEENTERPRISES AND OTHER ENTITIES WHICH TRADE OR INVEST IN SECURITIES IN THE CONDUCTOF A BUSINESS OR PROFESSION.

NOTICE TO RESIDENTS OF NEW ZEALAND

THIS OFFERING MEMORANDUM HAS NOT BEEN AND WILL NOT BE REGISTERED AS APROSPECTUS WITH THE REGISTRAR OF COMPANIES IN NEW ZEALAND. ACCORDINGLY, THENOTES MAY NOT BE OFFERED OR SOLD, DIRECTLY OR INDIRECTLY, NOR MAY THIS OFFERINGMEMORANDUM OR ANY OTHER OFFERING DOCUMENT OR MATERIAL RELATING TO THE NOTESBE 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 PERSONSWHO IN THE COURSE OF AND FOR THE PURPOSES OF, THEIR BUSINESS HABITUALLY INVESTMONEY OR WHO, IN ALL THE CIRCUMSTANCES CAN PROPERLY BE REGARDED AS HAVING BEENSELECTED OTHERWISE THAN AS MEMBERS OF THE PUBLIC OR (III) TO PERSONS IN OTHERCIRCUMSTANCES WHERE THERE IS NO CONTRAVENTION OF THE SECURITIES ACT OF 1978 OFNEW ZEALAND (OR ANY STATUTORY MODIFICATION OR REENACTMENT OF, OR STATUTORYSUBSTITUTION FOR, THAT ACT).

NOTICE TO RESIDENTS OF SINGAPORE

THIS PROSPECTUS HAS NOT BEEN AND WILL NOT BE REGISTERED AS A PROSPECTUSWITH THE MONETARY AUTHORITY OF SINGAPORE. ACCORDINGLY, THIS PROSPECTUS OR ANYOTHER DOCUMENT OR MATERIAL IN CONNECTION WITH ANY OFFER OF THE NOTES OFFEREDHEREBY MAY NOT BE ISSUED, CIRCULATED OR DISTRIBUTED IN SINGAPORE. THE OFFER OFNOTES OFFERED HEREBY OR ANY INVITATION TO SUBSCRIBE FOR OR PURCHASE ANY SUCHNOTES (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 CONSTITUTEAN OFFER OR SALE OF THE NOTES OFFERED HEREBY TO THE PUBLIC IN SINGAPORE, OR INWHICH SUCH OFFER OR SALE IS MADE PURSUANT TO SUITABLE EXEMPTIONS APPLICABLETHERETO (SUCH AS BUT NOT LIMITED TO SECTION 274 OR SECTION 275 OF THE SECURITIES ANDFUTURES ACT (CHAPTER 289) OF SINGAPORE). NO PERSON WHO RECEIVES A COPY OF THISPROSPECTUS UNDER SUCH CIRCUMSTANCES MAY ISSUE, CIRCULATE OR DISTRIBUTE THISPROSPECTUS IN SINGAPORE OR MAKE, OR GIVE TO ANY OTHER PERSON, A COPY OF THISPROSPECTUS.

NOTICE TO RESIDENTS OF SPAIN

THIS PROSPECTUS HAS NOT BEEN AND WILL NOT BE REGISTERED WITH THE COMISSIONNATIONAL DEL MERCADO DE VALORES OF SPAIN AND MAY NOT BE DISTRIBUTED IN SPAIN INCONNECTION WITH THE OFFERING AND SALE OF NOTES WITHOUT COMPLYING WITH ALL LEGALAND REGULATORY REQUIREMENTS IN RELATION THERETO.

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NOTICE TO RESIDENTS OF SWEDEN

THIS PROSPECTUS IS FOR THE RECIPIENT ONLY AND MAY NOT IN ANY WAY BEFORWARDED 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 OFINTERESTED INVESTORS ONLY. IT MAY NOT BE USED FOR AND SHALL NOT BE DEEMED APUBLIC OFFERING OF THE NOTES. NO APPLICATION HAS BEEN MADE UNDER SWISS LAW TOPUBLICLY MARKET THE NOTES IN OR OUT OF SWITZERLAND. THEREFORE, NO PUBLIC OFFER OFTHE SECURITIES OR PUBLIC DISTRIBUTION OF THIS DOCUMENT MAY BE MADE IN OR OUT OFSWITZERLAND. THIS DOCUMENT IS STRICTLY FOR PRIVATE USE BY ITS HOLDER AND MAY NOTBE PASSED ON TO THIRD PARTIES.

NOTICE TO RESIDENTS OF THE TAIWAN

THE OFFER OF THE NOTES HAS NOT BEEN AND WILL NOT BE REGISTERED WITH THESECURITIES AND FUTURES COMMISSION OF THE REPUBLIC OF CHINA PURSUANT TO RELEVANTSECURITIES LAWS AND REGULATIONS AND MAY NOT BE OFFERED OR SOLD WITHIN THEREPUBLIC OF CHINA THROUGH A PUBLIC OFFERING OR IN CIRCUMSTANCE WHICH CONSTITUTESAN OFFER WITHIN THE MEANING OF THE SECURITIES AND EXCHANGE LAW OF THE REPUBLIC OFCHINA THAT REQUIRES A REGISTRATION OR APPROVAL OF THE SECURITIES AND FUTURESCOMMISSION OF THE REPUBLIC OF CHINA.

NOTICE TO RESIDENTS OF THE UNITED KINGDOM

THIS COMMUNICATION IS DIRECTED ONLY AT PERSONS WHO (i) ARE OUTSIDE THEUNITED KINGDOM OR (ii) HAVE PROFESSIONAL EXPERIENCE IN MATTERS RELATING TOINVESTMENTS OR (iii) ARE PERSONS FALLING WITHIN ARTICLE 49(2)(a) TO (d) ("HIGH NET WORTHCOMPANIES, UNINCORPORATED ASSOCIATIONS ETC") OF THE FINANCIAL SERVICES ANDMARKETS ACT 2000 (FINANCIAL PROMOTION) ORDER 2001 (ALL SUCH PERSONS TOGETHER BEINGREFERRED TO AS "RELEVANT PERSONS"). THIS COMMUNICATION MUST NOT BE ACTED ON ORRELIED ON BY PERSONS WHO ARE NOT RELEVANT PERSONS. ANY INVESTMENT OR INVESTMENTACTIVITY TO WHICH THIS COMMUNICATION RELATES IS AVAILABLE ONLY TO RELEVANTPERSONS 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 certainjurisdictions. Consequently, nothing contained herein shall constitute an offer to sell, or a solicitation of an offer tobuy, (i) any securities other than the Notes or (ii) any Notes in any jurisdiction in which it is unlawful for suchPerson to make such an offer or solicitation. Persons into whose possession this Prospectus comes are required bythe Issuer, the Initial Purchaser and the Placement Agent to inform themselves about, and to observe, any suchrestrictions.

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AVAILABLE INFORMATION

To permit compliance with Rule 144A under the Securities Act in connection with the resale of the Notes,the Issuer will be required to furnish, upon request of a holder of a Note (a "Holder"), to such Holder and aprospective 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 Issuer is not a reporting company under Section 13 orSection 15(d) of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), or exempt from reportingpursuant to Rule 12g3-2(b) under the Exchange Act. Such information may be obtained from (i) in the case of theRated Notes, the Trustee, (ii) in the case of the Income Notes, the Income Note Issuing and Paying Agent or (iii) ifand for so long as any Notes are listed on the Irish Stock Exchange and the rules of the Irish Stock Exchange sorequire, the Irish Paying Agent located in Dublin. It is not contemplated that the Issuer will be such a reportingcompany or so exempt.

To the extent the Issuer delivers any annual or other periodic report to the Holders of the Notes, the Issuerwill include in such report a reminder that (i) each Holder (other than those Holders who are not U.S. Persons andhave purchased their Notes outside the United States pursuant to Regulation S) is required to be (a) a "qualifiedinstitutional 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, asamended (the "Investment Company Act") and the rules thereunder, or (y) a "knowledgeable employee" with respectto the Issuer as defined in Rule 3c-5 under the Investment Company Act or (z) a company beneficially ownedexclusively 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 transferredto a transferee that is (a) a Qualified Institutional Buyer (or, in connection with the Restricted Certificated Notes, theIncome Notes, an Accredited Investor) and (b) a Qualified Purchaser purchasing for its own account; and (iii) theIssuer has the right to compel any Holder who does not meet the transfer restrictions to transfer its interest in theNotes to a person designated by the Issuer or sell such interests on behalf of the Holder.

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 maynot be possible for purchasers of the Notes to effect service of process upon the Issuer within the United States or toenforce against the Issuer in United States courts judgments predicated upon the civil liability provisions of thesecurities laws of the United States. The Issuer has been advised by Walkers, its legal advisor in the CaymanIslands, that the United States and the Cayman Islands do not currently have a treaty providing for reciprocalrecognition and enforcement of judgments in civil and commercial matters. Although there is no statutoryenforcement in the Cayman Islands of judgments obtained in New York or other states in the United States, thecourts 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 obligationto pay the sum for which judgment has been given, and provided such judgment is final, for a liquidated sum not inrespect of taxes or a fine or penalty, and which was not obtained in a manner, and is not of a kind the enforcement ofwhich is, contrary to the public policy of the Cayman Islands. A Cayman Islands court may also stay proceedings ifconcurrent proceedings are being brought elsewhere. The Issuer will appoint Corporation Service Company as itsagent in New York for service of process.

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SUMMARY

The following summary does not purport to be complete and is qualified in its entirety by reference to thedetailed information appearing elsewhere in this Prospectus and related documents referred to herein. Defined termsused herein may be defined elsewhere in this Prospectus. An index of defined terms used herein indicating wherethe related definitions can be found appears at the end of this Prospectus.

Certain General Terms

Issuer: ..................................................... CAMBER 5 Ltd

Collateral Manager: ................................ Cambridge Place Investment Management LLP

Manx:...................................................... Cambridge Place CDO (Isle of Man) Limited

Trustee/Accountholder/Income NoteIssuing and Paying Agent/CollateralAdministrator: .................................... Wachovia Bank, National Association

Closing Date: .......................................... On or about December 20, 2005

Effective Date:........................................ The date (the "Effective Date") that is the earlier of (i) 75 days following theClosing Date and (ii) the first day on which the aggregate Principal Balanceof the Collateral Debt Securities held by the Issuer, together with theaggregate amount of unpaid interest accrued thereon prior to the respectivedates of purchase thereof, is at least equal to U.S.$500,000,000 (the"Aggregate Effective Date Par Amount").

Payment Dates: ....................................... The 6th day of March, June, September and December, beginning on March 6,2006; provided that the final scheduled Payment Date will be in December2045 (in each case, adjusted as described herein in the case of non-BusinessDays).

Notes:...................................................... U.S.$474,750,000 aggregate principal amount of Rated Notes andU.S.$27,500,000 aggregate principal amount of Income Notes.

Expected Proceeds:................................. Gross: U.S.$494,935,000, including proceeds from the issuance of the Noteson the Closing Date.

Net: U.S.$488,827,957, being net proceeds after deducting certain ClosingDate payments of expenses in the amount of $6,107,043 relating to admissionof the Notes for listing and trading.

Use of Proceeds: ..................................... Net proceeds will be used by the Issuer on the Closing Date to purchase theCollateral Debt Securities listed in Annex B attached hereto previouslyselected by the Collateral Manager and after the Closing Date to purchaseadditional Collateral Debt Securities in accordance with the investmentcriteria described herein.

General Terms of the Rated Notes

Rated Notes ............................................Note Principal Amount

StatedMaturity

Date

ApplicablePeriodic

Interest Rate1

Ratings(Moody's,

S&P)

Class A-1 Floating RateSenior Secured Notes

U.S.$344,000,000 December2045

LIBOR + 0.29% "Aaa", "AAA"

2


U.S.$23,000,000 December2045

LIBOR + 0.45% "Aaa", "AAA"


U.S.$67,000,000 December2045

LIBOR + 0.60% "Aa2", "AA"

Class B Floating RateSubordinate SecuredNotes

U.S.$19,000,000 December2045

LIBOR +1.80%2

"A3", "A-"

Class C Floating RateJunior SubordinateSecured Notes

U.S.$21,750,000 December2045

LIBOR +3.75%3

"Baa2", "BBB"

___________________1 Interest rate per annum; expressed as a spread above LIBOR; based on a year of 360 days and

actual number of days elapsed; payable in arrears on each Payment Date.2 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.3 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: ....................... U.S.$500,000 and integral multiples of U.S.$1,000 in excess thereof.

Seniority: ................................................ First, Class A-1 Notes, second, Class A-2 Notes, third, Class A-3 Notes,fourth, Class B Notes and, fifth, Class C Notes, subject to certain limitedexceptions applicable to payment of principal of the Notes. See "Descriptionof the Notes—Priority of Payments".

Security for the Rated Notes:.................. The Rated Notes will be limited recourse debt obligations of the Issuersecured pursuant to the Indenture by, and payable solely from and to theextent of available proceeds from, the Collateral.

Principal Repayment: ............................. During the Interest-Only Period, payments of principal will only be paid inrespect of the Rated Notes in limited circumstances provided herein,including at the sole election of the Collateral Manager in accordance withthe Priority of Payments.

On each Payment Date after the Interest-Only Period, to the extent funds areavailable therefor in accordance with the Priority of Payments, CollateralPrincipal Collections (other than Sale Proceeds of Credit Risk Securities,Credit Improved Securities or Defaulted Securities that have been reinvestedor identified for reinvestment in accordance with the Priority of Payments andthe Reinvestment Criteria) will be applied to pay principal of each Class ofRated Notes in accordance with the Priority of Payments.

Mandatory Redemption: ......................... If any Coverage Test applicable to a Class of Rated Notes is not satisfied asof any Calculation Date, funds that would otherwise be used to make(i) interest payments on the Class B Notes and the Class C Notes and(ii) distributions to the Holders of the Income Notes and (iii) certain otherpayments in accordance with the Priority of Payments on the related PaymentDate will instead be applied to pay principal of each Class of Rated Notes thatis Senior to such Class in order of seniority until such test is satisfied.

Early Redemption:.................................. The Rated Notes will be subject to early redemption in connection with anOptional Redemption, Tax Redemption or Auction Call Redemption, each asdescribed under "Description of the Notes—Rated Notes—EarlyRedemption" in accordance with the procedures, and subject to thesatisfaction of the conditions, described under "Description of the Notes—Rated Notes—Redemption Procedures" and "—Auction Call Redemption".

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Optional Redemption:............................. The Rated Notes may be redeemed, in whole but not in part, on or after thePayment Date occurring in December 2010 at the direction of the Holders ofnot less than 66⅔% of the aggregate principal amount of the Income Notes.

Tax Redemption: .................................... The Rated Notes may be redeemed, in whole but not in part, (a) on anyPayment Date on which a Tax Event in an amount satisfying the TaxMateriality Condition has occurred, at the direction of the Holders of not lessthan 66⅔% of the aggregate principal amount of the Income Notes or (b) onany Payment Date on which any Class A-1 Notes remain Outstanding andfollowing the occurrence and during the continuation of a Tax Event in anamount satisfying the Tax Materiality Condition, any combination of TaxEvents results, in the aggregate, in a current or past payment by, or charge ortax burden to, the Issuer that equals or exceeds the sum of (i) the IncomeNotes Stated Amount minus the aggregate amount of all distributions on theIncome Notes, as of the date of determination, and (ii) the OutstandingPrincipal Balance of the Rated Notes, as of the date of determination, otherthan the Class A-1 Notes, then at the direction of a majority of the aggregatePrincipal Balance of the Class A-1 Notes.

Auction Call Redemption: ...................... The Rated Notes may be redeemed, automatically and without any directionby any person or entity, (i) on or after the earlier of (a) the Payment Dateoccurring in December 2013 and (b) the Payment Date on which the CDSPrincipal Balance is less than or equal to 10% of the CDS Principal Balanceas of the Effective Date and (ii) if the Rated Notes have not been redeemed infull on the Payment Date referred to in the foregoing clause (i), on thePayment Date following each Auction Date thereafter (in each case subject tothe provisions described herein).

General Terms of the Income Notes

Aggregate principal amount: .................. U.S.$27,500,000.

Expected Rating: .................................... Not rated.

Minimum Denomination: ....................... U.S.$250,000 and integral multiples of U.S.$1,000 in excess thereof.

Status: ..................................................... The Income Notes will be unsecured limited recourse obligations of the Issuerissued in accordance with the Income Note Issuing and Paying AgencyAgreement and, as such, represent a residual interest in the assets of theIssuer.

Payments: ............................................... The Income Notes will not bear a stated rate of interest, but, on each PaymentDate, to the extent funds are available therefor, distributions will be made onthe Income Notes after the payment of interest on the Rated Notes and certainother amounts ranking senior in priority to such distributions as specifiedunder the Priority of Payments. However, funds that would otherwise be paidto Income Noteholders on any Payment Date will be diverted to pay principalof the relevant Class or Classes of Rated Notes on such Payment Date if anyCoverage Test applicable to a Class of Rated Notes as of the relatedCalculation Date is not satisfied as described under "Description of theNotes—Rated Notes—Mandatory Redemption" and "—Priority ofPayments".

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Optional Redemption of the IncomeNotes: ................................................. Subject to certain conditions described herein, if the Income Notes are not

otherwise redeemed in connection with a redemption of the Rated Notes, onany Payment Date on or after the Payment Date on which the Rated Noteshave been paid in full, the Holders of not less than 66⅔% of the aggregateprincipal amount of the Income Notes may direct the Issuer to liquidate anyremaining assets and redeem the Income Notes (in whole but not in part), atthe redemption price therefor. See "Description of the Notes—IncomeNotes—Optional Redemption".

Description of the Collateral

Collateral: ............................................... The "Collateral" will consist of (i) the Collateral Debt Securities acquired bythe Issuer on the Closing Date (as listed in Annex B hereto) and the additionalCollateral Debt Securities acquired by the Issuer after the Closing Date andany Equity Securities which, in each case, are delivered to the Trustee afterthe Closing Date and all payments thereon or with respect thereto, (ii) theCollection Account, the Uninvested Proceeds Account, the Note InterestReserve Account, the Payment Account, the Expense Reserve Account, eachHedge Counterparty Collateral Account, each Synthetic Security IssuerAccount, the Collateral Account and the Securities Lending Account (subjectto the rights of the Securities Lending Counterparties) and all funds creditedto such accounts, Eligible Investments purchased with funds credited to suchaccounts and all income from the investment of funds therein, (iii) incomefrom the investment of funds in any Synthetic Security Counterparty Account(subject to the rights of the Synthetic Security Counterparties), (iv) eachHedge Agreement, (v) the Issuer's rights under each of the TransactionDocuments to which it is a party, (vi) all cash or other property delivered tothe Trustee, and (vii) all proceeds of the foregoing.

Closing Date Portfolio: ........................... It is anticipated that, on the Closing Date, the Issuer will have purchased orentered into agreements to purchase for settlement following the ClosingDate, Collateral Debt Securities having an aggregate principal balance of notless than U.S.$449,000,000.

Effective Date Portfolio:......................... The Issuer is required to use commercially reasonable efforts to applyUninvested Proceeds to the purchase of additional Collateral Debt Securities.It is anticipated that, no later than the Effective Date, the Issuer will havepurchased or entered into commitments to purchase, for settlement followingthe Effective Date, Collateral Debt Securities (including the Collateral DebtSecurities acquired by the Issuer on the Closing Date) having an aggregateprincipal balance of not less than the Aggregate Effective Date Par Amount.

Effective Date Tests: .............................. The Issuer is required to satisfy the Coverage Tests, the Collateral QualityTests (except the S&P CDO Monitor Test) and the Portfolio PercentageLimitations as of the Effective Date. See "Risk Factors—Effective DateTests; Rating Confirmation Failure; Mandatory Redemption", "Description ofthe Notes—Rated Notes—Mandatory Redemption" and "—Priority ofPayments".

5

Changes in Composition of CollateralDebt Securities: .................................. During the Interest-Only Period, which shall be the period beginning on the

Closing Date and continuing through the Payment Date occurring inDecember 2010 and, as and to the extent provided herein, the first Due Periodthereafter, the Issuer may reinvest Collateral Principal Collections (includingSale Proceeds) in Substitute Collateral Debt Securities, subject to compliancewith the Reinvestment Criteria and the other requirements specified by theIndenture as described herein.

Sales of Defaulted Securities, Equity Securities, Credit Risk Securities andCredit Improved Securities may occur at any time, and the reinvestment ofthe Sale Proceeds thereof in Substitute Collateral Debt Securities may occurat any time with respect to sales of Defaulted Securities, Credit RiskSecurities and Credit Improved Securities and during the Interest-Only Periodwith respect to sales of Equity Securities, subject to compliance with theReinvestment Criteria and the other requirements specified by the Indentureas described herein.

If no Event of Default under the Indenture has occurred and is continuing,during the Interest-Only Period, any Collateral Debt Security which is not aDefaulted Security, an Equity Security, a Credit Risk Security or a CreditImproved Security may be sold and the Sale Proceeds therefrom reinvested inSubstitute Collateral Debt Securities, subject to compliance with theReinvestment Criteria and the other requirements (including the annualpercentage limitation on such sales) specified by the Indenture as describedherein.

Pending reinvestment in Substitute Collateral Debt Securities, the Issuer mayinvest in Eligible Investments. See "Security for the Rated Notes—SubstituteCollateral Debt Securities and Reinvestment Criteria".

6

RISK FACTORS

An investment in the Notes involves significant risks that each prospective purchaser should carefullyconsider prior to making an investment decision with respect to the Notes. Prospective investors should carefullyconsider, 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 arelimited-recourse obligations of the Issuer, payable solely from the Collateral Debt Securities and other Collateralpledged by the Issuer to secure the Rated Notes, and the Income Notes are unsecured limited-recourse obligations ofthe Issuer, payable solely from proceeds of the Collateral released from the lien of the Indenture in accordance withthe Priority of Payments. Amounts available to the Trustee for the making of scheduled payments on the RatedNotes and the amounts available for distributions on the Income Notes are payable solely from the Collateral DebtSecurities and other Collateral pledged by the Issuer to secure the Rated Notes and other assets of the Issuer inaccordance with the Priority of Payments. None of the security holders, members, officers, directors, managers orincorporators of the Issuer, the Trustee, the Administrator, either Rating Agency, the Share Trustee, the CollateralManager, Manx, any Hedge Counterparties, the Initial Purchaser, the Placement Agent, any of their respectiveAffiliates and any other person or entity will be obligated to make any scheduled payments on the Rated Notes ordistributions on the Income Notes. Consequently, the Noteholders must rely solely on amounts received in respectof the Collateral Debt Securities and other Collateral pledged to secure the Rated Notes for the payment of principalthereof and interest thereon.

If distributions on the Collateral are insufficient to make payments on the Rated Notes or distributions onthe Income Notes, all in accordance with the Priority of Payments, no other assets of the Issuer or any other personor 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 will be extinguished and will not revive thereafter and no funds will beavailable to the Income Note Issuing and Paying Agent for distributions on the Income Notes pursuant to the IncomeNote Issuing and Paying Agency Agreement.

2. Subordination of the Class A-2 Notes, the Class A-3 Notes, the Class B Notes, the Class C Notesand the Income Notes. Payments of principal of and interest on the Rated Notes, and distributions on the IncomeNotes, are subject to the Priority of Payments and the relative order of seniority of payment of each Class of RatedNotes, payment of certain fees and expenses and distributions on Income Notes provided for in the Priority ofPayments. See "Description of the Notes—Rated Notes—Status and Security" and "—Priority of Payments". Nopayment of interest on any Class of Rated Notes will be made until all accrued and unpaid interest on theOutstanding Rated Notes of each Class that is Senior to such Class has been paid in full. So long as any moreSenior Class of Rated Notes remains Outstanding, failure to make payment in respect of interest on the Class BNotes or the Class C Notes on any Payment Date by reason of the Priority of Payments will not constitute an Eventof Default under the Indenture. There are no scheduled payments on the Income Notes and the Holders of IncomeNotes are not entitled to a stated return on their investment. Any amounts applied to make distributions on theIncome Notes will not be available to support payments of principal and interest subsequently payable in respect ofthe Rated Notes. Provided that the Coverage Tests are satisfied, following the Interest-Only Period, principal of theRated Notes will be paid as described herein under "Description of the Notes—Priority of Payments". So long asthe Coverage Tests remain unsatisfied, no payment of principal of any Class of Rated Notes will be made until allprincipal of, and all accrued and unpaid interest on, the Rated Notes of each Class that is Senior to such Class andthat remain outstanding have been paid or redeemed in full.

In addition, in the case of an Event of Default, the Holders of the Controlling Class will generally beentitled to determine the remedies to be exercised under the Indenture. Remedies pursued by the Holders of theControlling Class could be adverse to the interests of the Holders of each Class of Rated Notes that is Subordinate tothe Controlling Class and the interests of the Holders of the Income Notes. Once an Event of Default has occurred(other than in relation to the Class A-1 Notes and the Class A-2 Notes as described herein) the Holders of a Class ofRated Notes that is Subordinate are not entitled to be paid any interest or principal until the Holders of each Class ofRated Notes that is Senior to such Class of Rated Notes have been paid in full in cash and the Holders of the IncomeNotes are not entitled to be paid any distributions until the Holders of each Class of Rated Notes have been paid infull in cash. See "Description of the Notes—Application of Funds upon an Event of Default". There can be no

7

assurance that, after payment of principal and interest on the Rated Notes, the Issuer will have sufficient funds tomake distributions in respect of the Income Notes.

The Issuer will have only nominal equity capitalization in the form of its Ordinary Shares. Therefore, tothe extent that any elimination, deferral or reduction in payments on the Notes occurs, such elimination will beborne (i) first, by the Holders of the Income Notes, (ii) second, by the Holders of the Class C Notes, (iii) third, bythe Holders of the Class B Notes, (iv) fourth, by the Holders of the Class A-3 Notes, (v) fifth, by the Holders of theClass A-2 Notes and (vi) sixth, by the Holders of the Class A-1 Notes. Thus, the greatest risk of loss relating todefaults on the Collateral Debt Securities is borne by the Income Notes. To the extent that a default occurs withrespect to any Collateral Debt Security and the Trustee sells or otherwise disposes of such Collateral Debt Security,it is not likely that the proceeds of such sale or other disposition will be equal to the unpaid principal and interest onsuch Collateral Debt Security. Excess Funds available for distribution to the Income Notes will be reduced by lossesoccurring on the Collateral Debt Securities, 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 Notesbeing offered hereby and, as a result, a purchaser must be prepared to hold the Notes for an indefinite period of timeor until the maturity or early redemption thereof. The Notes will be owned by a relatively small number ofinvestors, and no assurance can be given that any secondary market for the Notes will develop, and it may bedifficult for Holders of the Notes to determine the value of the Notes at any particular time. Purchasers of the Notesmay find it difficult or uneconomic to liquidate their investment at any particular time. These risks are likely to begreater for the Income Notes, partly due to the higher level of leverage in connection with such Income Notes (asdiscussed below in "—Leveraged Investment").

The Notes have not been and will not be registered under the Securities Act or under any U.S. statesecurities or "Blue Sky" laws or the securities laws of any other jurisdiction and are being issued and sold in relianceon exemptions from registration provided by such laws and may only be transferred in a transaction that does notmake the Issuer 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 transferrestrictions described under "Purchase and Transfer Restrictions". In addition, transfers are subject to therestrictions resulting from ERISA as described under "Certain ERISA Considerations". Prospective transferees ofthe Income Notes will be required pursuant to the terms of the Income Note Issuing and Paying Agency Agreementto deliver written certifications to the Income Note Issuing and Paying Agent and the Issuer relating to compliancewith the Securities Act, applicable state securities laws, ERISA, Section 4975 of the Code and the InvestmentCompany 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 onRegulation 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 SecuritiesAct) which may limit the number of potential transferees. See "Purchase and Transfer Restrictions". Suchrestrictions on transfer may further limit the liquidity of the Notes.

Application has been made to the Irish Financial Services Regulatory Authority, as competent authorityunder Directive 2003/71/EC for the for the prospectus to be approved. Application has been made to the Irish StockExchange for the Notes to be admitted to the Official List and trading on its regulated market. There can be noassurance that such application will be approved. See "Listing and General Information".

4. Leveraged Investment. The Income Notes and, to a lesser extent the Rated Notes other than theClass A-1 Notes, represent leveraged investments in the Collateral. This leverage will increase the potential cashflow available in respect of the amount invested by the Holders of such Notes as compared with the cash flow thatwould be available in respect of a comparable investment in a non-leveraged transaction. Such increased cash flowwill directly affect the yield on such Notes. However, the use of leverage also creates risk for the Holders of suchNotes because it increases their exposure to losses on a leveraged basis as a result of defaults with respect to theCollateral Debt Securities. As a result, the occurrence of defaults with respect to only a small portion of theCollateral Debt Securities could result in the complete loss of the investment of the Holders of such Notes.

8

Prospective purchasers should be aware that payments received by the Issuer pursuant to the HedgeAgreements (if any), Eligible Investments, other amounts in the Collection Account and the Note Interest ReserveAccount and proceeds thereof may not be sufficient to fund the amounts payable to the Hedge Counterparties, aswell as to make payments with respect to the Notes. Due to the existence of leverage, changes in the market valueof the Income Notes and the Rated Notes other than the Class A-1 Notes could be greater than the changes in thevalues of the underlying Collateral Debt Securities, which themselves are subject to, among other things, credit andliquidity risk. Purchasers of the Income Notes and the Rated Notes other than the Class A-1 Notes must considerwith particular care the risks of leverage because, although the use of leverage creates an opportunity for substantialreturns on such Notes, it increases substantially the likelihood that the Holders of such Notes could lose their entireinvestment if the pool of Collateral Debt Securities held by the Issuer is adversely affected.

5. Average Lives and Yield Considerations; Distributions on the Income Notes. The average lives ofthe 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 the financial condition of the obligors on or issuersof the Collateral Debt Securities and the characteristics of the Collateral Debt Securities, including the existence andfrequency of exercise of any prepayment, optional redemption or sinking fund features, the redemption price, theactual default rate and the actual level of recoveries on any Defaulted Securities, the frequency of tender orexchange offers for the Collateral Debt Securities, any sales of Collateral Debt Securities and the effects of theCoverage Tests. See "—Nature of the Collateral Debt Securities and Inherent Risks". The rate of future defaultsand the amount and timing of any cash realization from Defaulted Securities and Credit Risk Securities also willaffect the maturity and weighted average lives of the Rated Notes. The weighted average life of the Rated Notesmay also vary depending on whether or not the Rated Notes are redeemed in an Optional Redemption, TaxRedemption or Auction Call Redemption.

Prior to the payment in full of the Rated Notes and all other amounts owing under the Indenture, IncomeNoteholders will be entitled to receive distributions from Collateral Interest Collections released from the lien of theIndenture only to the extent permissible under the Indenture. The timing and amount of distributions payable toIncome Noteholders and the duration of the Income Noteholders' investment in the Issuer therefore will be affectedby the average life of the Rated Notes.

The yield to maturity of each Class of Rated Notes and of the Income Notes will be affected by, amongother things, the rates of repayment of the Collateral Debt Securities included in the Collateral as well as by thetiming of any redemption of the Notes in an Optional Redemption, Tax Redemption or Auction Call Redemption(and by the related Redemption Prices). The yield to maturity of the Notes of each Class may also be affected byrates of delinquencies and defaults on and liquidations of the Collateral Debt Securities included in the Collateraland sales of such Collateral Debt Securities and by the effects of the Coverage Tests on payments of principal of theRated Notes pursuant to the Priority of Payments. The yield to investors in the Notes of any Class may be adverselyaffected to the extent that the Issuer incurs any significant unexpected expenses not absorbed by Notes of another,more Subordinated Class.

6. Projections, Forecasts and Estimates. Estimates of the average lives of the Rated Notes, togetherwith any projections, forecasts and estimates provided to prospective purchasers of the Notes, are forward lookingstatements. Projections are necessarily speculative in nature, and it can be expected that some or all of theassumptions 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 variationsmay be material.

Some important factors that could cause actual results to differ materially from those in any forwardlooking statements include changes in interest rates, market, financial or legal uncertainties, mismatches between thetiming of accrual and receipt of Collateral Interest Collections from the Collateral Debt Securities and theeffectiveness of the Hedge Agreements and differences in the actual prepayment rates with respect to the CollateralDebt Securities from those assumed, among others.

None of the Issuer, the Initial Purchaser, the Placement Agent, the Collateral Manager, Manx and any oftheir respective Affiliates has any obligation to update or otherwise revise any projections, including any revisions to

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reflect changes in economic conditions or other circumstances arising after the date hereof or to reflect theoccurrence of unanticipated events, even if the underlying assumptions do not come to fruition.

7. Modification of the Indenture. Pursuant to the terms of the Indenture, the Trustee and the Issuermay, from time to time, execute one or more supplemental indentures that add to, change, modify or eliminateprovisions of the Indenture or modify the rights of the Holders of the Notes. Approval for entering into suchsupplemental indentures does not require the consent of all of the Holders of the Outstanding Notes. Accordingly,supplemental indentures that result in material and adverse changes to the interests of Noteholders may be approvedwithout the consent of Noteholders adversely affected. See "The Indenture and the Income Note Issuing and PayingAgency Agreement—Modification of the Indenture".

8. Redemption of Rated Notes; Potential Illiquidity and Volatility of Collateral Market Value. AnOptional Redemption, Tax Redemption or Auction Call Redemption is a potential source of liquidity for the IncomeNotes. There can be no assurance, however, that the Issuer's rights to an Optional Redemption or a Tax Redemptionwill be exercised or that the conditions for any Redemption will be met. See "Description of the Notes—RatedNotes—Early Redemption".

An Optional Redemption, a Tax Redemption or an Auction Call Redemption at any time would result in aliquidation and sale of the Collateral Debt Securities into the then-existing markets. The market value of theCollateral Debt Securities 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 DebtSecurities. A decrease in the market value of the Collateral Debt Securities would adversely affect the SaleProceeds which could be obtained upon the sale of Collateral Debt Securities and be available for distributions onthe Income Notes following any sale or other disposition of the Collateral. Therefore, there can be no assurancethat, upon any such redemption, the Sale Proceeds realized would permit distributions on the Income Notes afterrequired payments are made to the Holders of the Rated Notes (except that, in the case of an Auction CallRedemption, a distribution is also required to be made to the Holders of the Income Notes if and to the extent thatthe aggregate principal amount of the Income Notes exceeds the aggregate amount of all cash distributions on theIncome Notes on or prior to the relevant Auction Date).

9. Principal Prepayment of Rated Notes. The failure to meet any Coverage Test applicable to a Classof Rated Notes could result in an elimination, deferral or reduction in the amounts available to make (i) interestpayments on the Class B Notes or the Class C Notes and (ii) distributions to the Holders of the Income Notes. See"Description of the Notes—The Coverage Tests" and "Description of the Notes—Rated Notes—MandatoryRedemption".

10. Effective Date Tests; Rating Confirmation Failure; Mandatory Redemption. On the EffectiveDate, the Issuer is required to satisfy the Coverage Tests, the Collateral Quality Tests and the Portfolio PercentageLimitations. The failure to satisfy any of the Coverage Tests, Collateral Quality Tests (except the S&P CDOMonitor Test) or Portfolio Percentage Limitations as of the Effective Date does not constitute an Event of Defaultbut 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 ofnotice from the Issuer of the occurrence of the Effective Date and confirm whether it has reduced or withdrawn therating (including private or confidential ratings, if any) assigned by it on the Closing Date to any Class of RatedNotes. If any Rating Agency has reduced or withdrawn the rating (including private or confidential ratings, ifapplicable) assigned by it on the Closing Date by the end of such sixty (60) day period (a "Rating ConfirmationFailure"), the Issuer will be required on the first Payment Date on or after a Rating Confirmation Failure and on anysubsequent Payment Date on which a Rating Confirmation Failure is continuing to apply Collateral PrincipalCollections and, to the extent that Collateral Principal Collections are insufficient therefor, Collateral InterestCollections, in each case in accordance with the Priority of Payments, to the repayment of the Rated Notes in directorder of seniority, to the extent necessary to obtain a confirmation from each Rating Agency (a "Rating AgencyConfirmation") that such Rating Agency will not reduce or will reinstate, as the case may be, the rating assigned tosuch Rated Notes as of the Closing Date. See "Description of the Notes—Rated Notes—Mandatory Redemption"and "—Priority of Payments".

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11. Nature of the Collateral Debt Securities and Inherent Risks. All of the Collateral Debt Securitiesincluded in the Collateral will consist of Asset-Backed Securities, REIT Debt Securities, CDO Securities andSynthetic Securities, the Reference Obligations of which are Asset-Backed Securities, REIT Debt Securities or CDOSecurities. Therefore, the Collateral is subject to various types of risks including, among others, credit risks,liquidity risk, interest rate risk, prepayment risk, market risks, operational risks, structural risks, legal risks and otherrisks.

General. The level of Collateral securing the Rated Notes has been established to withstand certainassumed deficiencies in payment occasioned by defaults of the Collateral Debt Securities included therein. If anydeficiencies exceed such assumed levels, however, payments on the Notes could be adversely affected by defaults.To the extent that a default occurs with respect to any Collateral Debt Security included in the Collateral and theIssuer sells or otherwise disposes of such Collateral Debt Security, it is not likely that the proceeds of such sale ordisposition will equal or exceed unpaid principal and interest thereon. Should increases in default rates occur withrespect to the types of Collateral Debt Securities in the Collateral, the actual default rates of the Collateral DebtSecurities included therein as well as the timing of such defaults and the amount and timing of the recovery maydiffer from any hypothetical scenarios assumed by investors in determining whether to purchase Notes.

A perception of increased likelihood of defaults among investors may reduce the demand for CollateralDebt Securities included in the Collateral, which could have a material adverse effect on the liquidity of suchCollateral Debt Securities. None of the Issuer, the Initial Purchaser, the Placement Agent, Manx, the Trustee and theIncome Note Issuing and Paying Agent has made any investigation into the issuers of such Collateral DebtSecurities. The value of such Collateral Debt Securities may fluctuate from time to time and none of the Issuer, theInitial Purchaser, the Placement Agent, the Trustee, the Collateral Manager, Manx and the Income Note Issuing andPaying Agent is under any obligation to maintain the value of such Collateral Debt Securities at any particular level.None of the Issuer, the Initial Purchaser, the Placement Agent, the Trustee, the Collateral Manager, Manx and theIncome Note Issuing and Paying Agent has any liability to the Holders as to the amount or value of, or any decreasein the value of, such Collateral Debt Securities from time to time. Therefore, if an Event of Default occurs withrespect to the Notes, there can be no assurance that the proceeds of any sale by the Issuer of the Collateral will besufficient to pay in full the principal of and accrued and unpaid interest on the Notes.

In addition, many of the Collateral Debt Securities are subject to significant credit risks inherent in theunderlying collateral due to losses resulting from defaults by the borrowers in the underlying collateral and theservicer's failure to perform. As issuers are primarily private entities, particular risks may be present becauseinformation about such issuers may be less readily available and liquidation opportunities of the related CollateralDebt Securities may be more limited than those of issuers that are publicly held.

There may be a limited trading market for many of the Collateral Debt Securities purchased by the Issuer,and in certain instances there may be effectively no trading market therefor. The Issuer's investment in illiquidCollateral Debt Securities may restrict its ability to dispose of such investments in a timely fashion and for attractiveprices if they become Defaulted Securities or Credit Risk Securities. Illiquid Collateral Debt Securities may beexpected to trade at a discount from comparable, more liquid investments and from their acquisition cost.

In addition, it is expected that many of the Collateral Debt Securities included in the Collateral will nothave been registered under the Securities Act or registered or qualified under the securities laws of any state or otherjurisdiction, and no person or entity will be obligated to register any such Collateral Debt Securities under theSecurities Act or to obtain any registration or qualification under any such other securities laws. Consequently, theIssuer's transfer of such Collateral Debt Securities will be subject to satisfaction of legal requirements applicable totransfers that are permitted without registration under the Securities Act or registration or qualification under anyapplicable state securities or other laws and upon satisfaction of certain other provisions of the respectiveagreements pursuant to which such Collateral Debt Securities were issued. It is expected that such transfers willalso be subject to satisfaction of certain other restrictions regarding the transfer thereof to, for the benefit of, or withassets of, a Plan, as well as certain other transfer restrictions. The existence of such transfer restrictions willnegatively affect the liquidity of, and consequently the price that may be realized upon a sale of, such CollateralDebt Securities.

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Legal risks can arise as a result of the procedures followed in connection with the origination of themortgage loans or the servicing thereof which may be subject to various federal and state laws, public policies andprinciples of equity regulating interest rates and other charges, require certain disclosures, require licensing oforiginators, prohibit discriminatory lending practices, regulate the use of consumer credit information and debtcollection practices and may limit the servicer's ability to collect all or part of the principal of or interest on anunderlying mortgage loan or receivable, entitle the borrower to a refund of amounts previously paid by it or subjectthe servicer to damages and sanctions.

The value of underlying real estate is also subject to a number of laws, such as laws regardingenvironmental cleanup and limitations on remedies imposed by bankruptcy laws and state laws regardingforeclosures and rights of redemption. An underlying commercial property may not readily be converted to analternative use so that the liquidation value of any such commercial property may be substantially less than would bethe case if such commercial property were readily adaptable to other uses. The exercise of remedies and successfulrealization of liquidation proceeds may be highly dependent on the performance of the related servicers or specialservicers, of which there may be a limited number and which may have conflicts of interest.

A portion of the Collateral will consist of obligations of obligors located in Eligible SPV Jurisdictions.Moreover, collateral securing the Collateral Debt Securities may consist of obligations of issuers or borrowersorganized under the laws of various jurisdictions other than the United States. Investing outside the United Statesmay involve greater risks than investing in the United States. These risks include (i) less publicly availableinformation, (ii) varying levels of governmental regulation and supervision and (iii) the difficulty of enforcing legalrights in a foreign jurisdiction and uncertainties as to the status, interpretation and application of laws. Moreover,foreign companies are subject to accounting, auditing and financial reporting standards, practices and requirementsthat are different to those applicable to U.S. companies. There generally is less governmental supervision andregulation of exchanges, brokers and issuers in foreign countries than there is in the United States. Furthermore,foreign financial markets, while generally growing in volume, have, for the most part, substantially less volume thanU.S. markets, and securities of many foreign companies are less liquid and their prices more volatile than securitiesof comparable domestic companies.

Asset-Backed Securities. Asset-Backed Securities include Future Flow Securities and debt securities thatentitle the holders thereof to receive payments that depend primarily on the cash flow from (i) a specified pool offinancial assets, either fixed or revolving, that by their terms convert into cash within a finite time period, togetherwith rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of suchsecurities or (ii) real estate mortgages, either fixed or revolving, together with rights or other assets designed toassure the servicing or timely distribution of proceeds to the holders of such securities.

Some or all of the loans, bonds or financial assets underlying Asset-Backed Securities may be prepaid atany time. Prepayments on loans, bonds or financial assets are affected by a number of factors, including interest ratemovements, general economic conditions and other factors. In addition, prepayments on mortgage loans underlyingcertain types of the Asset-Backed Securities are also affected by the value of the related mortgaged property, theborrower's equity in the mortgaged property, the financial circumstances of the borrower and, in the case ofcommercial mortgage loans, the existence of lockout periods, fluctuations in the business operated by the borroweron the mortgaged property and competition. Defaults on and liquidations of the loans, bonds or financial assetsunderlying certain of the Collateral Debt Securities may also lead to early repayment thereof. The existence andfrequency of such prepayments, optional redemptions, defaults and liquidations will affect the average lives of, andcredit support for, the Notes.

Asset-Backed Securities backed by mortgages on real estate (for both residential and commercialproperties) are subject to additional risks, such as: payment of all or substantially all of the principal only atmaturity rather than regular amortization of principal; the type and use of the underlying properties and the possibleconversion of such properties to alternate uses; volatility of property values and net operating income beinginsufficient to cover debt service on the related mortgage loan; dependence upon the successful operation of therelated real estate project rather than upon the liquidation value of the underlying real estate; possible geographicconcentration of the underlying properties; dependence on local economic conditions and/or specific industrysegments; declines in real estate values; declines in rental or occupancy rates; increases in interest rates, real estate

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tax rates and other operating expenses; changes in governmental rules, regulations and fiscal policies; and acts ofGod, terrorist threats and attacks and social unrest and civil disturbances.

A significant portion of the Asset-Backed Securities acquired by the Issuer will be backed by sub-primemortgages. Asset-Backed Securities backed by sub-prime mortgages may be subject to the additional risk arising asa result of using less restrictive underwriting standards during origination than the underwriting standards for agencyprograms such as Fannie Mae. Sub-prime mortgages are also subject to greater risk of divergence in creditperformance than prime mortgages. In addition, servicer performance has a greater impact on the performance ofsub-prime mortgage products than other mortgage products due to the higher rate of delinquencies and the fact thatreturning delinquent loans to performing status is generally preferred to foreclosure.

The loans underlying certain of the Asset-Backed Securities and/or the originators of such loans may besubject to special rules, disclosure and licensing requirements and other provisions of federal and state consumerprotection laws. Failure to comply with these federal or state consumer protection laws and related statutes couldsubject lenders to specific statutory liabilities. In some cases, this liability may affect the subsequent assignees ofsuch obligations, including the issuer of such Asset-Backed Securities. Numerous class action lawsuits have beenfiled 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-backedsecurities. If any issuer of an Asset-Backed Security included in the Collateral were to be named as a defendant in aclass action lawsuit, the costs of defending or settling such lawsuit or a judgment could reduce the amount availablefor distribution on the related Asset-Backed Securities.

Asset-Backed Securities are subject to risks associated with their structure and execution, including theprocess by which principal and interest payments are allocated and distributed to investors, how credit losses affectthe issuing vehicle and the return to investors in such Asset-Backed Securities, whether the collateral represents afixed set of specific assets or accounts, whether the underlying collateral assets are revolving or closed-end, underwhat terms (including maturity of the asset-backed instrument) any remaining balance in the accounts may revert tothe issuing entity and the extent to which the entity that is the actual source of the collateral assets is obligated toprovide support to the issuing vehicle or to investors in such Asset-Backed Securities.

Concentrations of Asset-Backed Securities of a particular type, as well as concentrations of Asset-BackedSecurities issued or guaranteed by affiliated obligors, serviced by the same servicer or backed by underlyingcollateral located in a specific geographic region, may subject the Asset-Backed Securities to additional risk. Asignificant portion of the Collateral will consist of Asset-Backed Securities that are subordinate in right of paymentand rank junior to other securities that are secured by or represent an ownership interest in the same pool of assets.In addition, many of the transactions have structural features that divert payments of interest and/or principal tomore senior classes when the delinquency or loss experience of the pool exceeds certain levels. As a result, suchsecurities have a higher risk of loss as a result of delinquencies or losses on the underlying assets. In certaincircumstances, payments of interest may be reduced or eliminated for one or more payment dates.

Additionally, as a result of cash flow being diverted to payments of principal on more senior classes, theaverage life of such Asset-Backed Securities may lengthen. Subordinate Asset-Backed Securities generally do nothave the right to call a default or vote on remedies following a default unless more senior securities have been paidin full. As a result, a shortfall in payments to subordinate investors in Asset-Backed Securities will generally notresult in a default being declared on the transaction and the transaction will not be restructured or unwound.Furthermore, because subordinate Asset-Backed Securities may represent a relatively small percentage of the size ofan asset pool being securitized, the impact of a relatively small loss on the overall asset pool may be substantially onthe holders of such subordinate security.

Market risks and structural risks arise from the cash flow characteristics of Asset-Backed Securities.Certain Asset-Backed Securities are particularly susceptible to prepayment risks as they do not contain prepaymentpenalties and a reduction in interest rates will increase the prepayments on such Asset-Backed Securities resulting ina reduction in yield to maturity for holders of such securities.

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As a result of the limited liquidity of certain Asset-Backed Securities, the prices of such Asset-BackedSecurities may experience significant and rapid decline and the Issuer may have difficulty disposing of certainAsset-Backed Securities because there may be a thin trading market for such securities.

REIT Debt Securities. REIT Debt Securities are generally unsecured debt obligations issued by publiclyheld real estate investment trusts. Risks of REIT Debt Securities may include (among others): (i) limited liquidityand limited secondary market, (ii) substantial market price volatility resulting from changes in prevailing interestrates, (iii) subordination to the prior claims of banks and other senior lenders, (iv) the operation of optionalredemption or sinking fund provisions during periods of declining interest rates, (v) the possibility that income ofthe issuer of the REIT Debt Security may be insufficient to meet its debt service and (vi) declining creditworthinessand potential for insolvency of the issuer of the REIT Debt Security during periods of rising interest rates andeconomic downturn. An economic downturn or an increase in interest rates could severely disrupt the market forREIT Debt Securities and adversely affect the value of outstanding REIT Debt Securities and the ability of theissuers thereof to repay principal and interest.

Investments in REIT Debt Securities involve special risks relating to the real estate investment trustsissuing such securities. In particular, real estate investment trusts (as defined in Section 856 of the Code) generallyare permitted to invest solely in real estate or real estate-related assets and are subject to the inherent risks associatedwith such investments. Consequently, the financial condition of any REIT Debt Security may be affected by therisks described above with respect to commercial mortgage loans and commercial mortgage-backed securities andsimilar risks, including (i) risks of delinquency and foreclosure on real properties, the cashflow on which is used tosupport payments on such REIT Debt Security, and risks of loss in the event thereof, (ii) dependence upon thesuccessful operation of and net income from real property, (iii) risks that may be presented by the type and use of aparticular commercial property and (iv) the difficulty of converting certain property to an alternative use.

The real estate investment trusts issuing the REIT Debt Securities invest in one or more of the retail, office,industrial, self storage and residential real estate sectors. Each such property type is subject to particular risks. Forexample, retail properties are subject to risks of competition for tenants, events affecting anchor or other majortenants, tenant concentration, property condition and competition of their tenants with other local retailers, discountstores, factory outlet centers, video shopping networks, catalogue retailers, direct mail and telemarketing andInternet retailers. Office and industrial properties are subject to risks relating to the quality of their tenants, tenantand industry concentration, local economic conditions and the age, condition, adaptability and location of theproperty.

Issuers of REIT Debt Securities may be leveraged and may not have available to them traditional methodsof financing. The risk associated with acquiring the securities of such issuers generally is greater than is the casewith more highly rated securities. For example, during an economic downturn or a sustained period of risinginterest rates, issuers of REIT Debt Securities may be more likely to experience financial stress, especially if suchissuers are highly leveraged. During such periods, timely service of debt obligations may also be adversely affectedby specific issuer developments or the unavailability of additional financing. The risk of loss due to default by theissuer may be significantly greater for the holders of REIT Debt Securities because such securities are unsecured. Inaddition, the Issuer may incur additional expenses to the extent it is required to seek recovery upon a default of aREIT Debt Security or participate in the restructuring of such obligation.

The Issuer may have difficulty disposing of certain REIT Debt Securities because there may be a thintrading market for such securities. In addition, as a result of the limited liquidity of REIT Debt Securities, theirprices have at times experienced significant and rapid decline when a substantial number of holders decided to sell.Reduced secondary market liquidity may have an adverse impact on market price and the Issuer's ability to disposeof a particular issue if it becomes a Defaulted Security, Credit Risk Security, Written Down Security or EquitySecurity.

CDO Securities. CDO Securities generally are limited-recourse obligations of the issuer thereof payablesolely from the underlying securities of such issuer or the proceeds of the underlying securities. Consequently, theability of an issuer of a CDO Security to make payments in respect of those securities will depend on thedistributions on and proceeds of the underlying securities. If those distributions or proceeds are insufficient, no

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other assets will be available to pay the deficiency and following realization of the underlying securities, theobligations of such issuer to pay such deficiency will be extinguished.

The underlying securities of the CDO Securities may consist of high yield debt securities, loans, structuredfinance securities, emerging market debt securities, synthetic securities and other debt instruments, generally ratedbelow investment grade (or of equivalent credit quality) except for structured finance securities. High yield debtsecurities are generally unsecured (and loans may be unsecured) and may be subordinated to certain otherobligations of the issuer thereof. The lower rating of high yield debt securities and below investment grade loansreflects a greater possibility that adverse changes in the financial condition of an issuer or in general economicconditions or both may impair the ability of the issuer to make payments of principal or interest. Such investmentsmay be speculative.

Purchasers of loans are predominantly commercial banks, investment funds, mutual funds and investmentbanks. As secondary market trading volumes increase, new loans are frequently adopting standardizeddocumentation to facilitate loan trading which may improve market liquidity. There can be no assurance, however,that future levels of supply and demand in loan trading will provide an adequate degree of liquidity or that thecurrent level of liquidity will continue. Because of the provision to holders of such loans of confidential informationrelating to the borrower, the unique and customized nature of the loan agreement, and the private syndication of theloan, loans are not as easily purchased or sold as a publicly traded security, and historically the trading volume in theloan market has been small relative to the high yield debt market.

Issuers of CDO Securities may acquire interests in loans and other debt obligations by way of sale,assignment or participation. The purchaser of an assignment typically succeeds to all the rights and obligations ofthe 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, an issuer of CDO Securities will usually have a contractual relationship onlywith the selling institution, and not the borrower. Each such issuer generally will have no right directly to enforcecompliance by the borrower with the terms of the loan agreement, nor any rights of set-off against the borrower, norhave the right to object to certain changes to the loan agreement agreed to by the selling institution. Such issuer maynot directly benefit from the collateral supporting the related loan and may be subject to any rights of set-off theborrower 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, such issuer may be treated as a generalcreditor of such selling institution, and may not have any exclusive or senior claim with respect to the sellinginstitution's interest in, or the collateral with respect to, the loan. Consequently, such issuer may be subject to thecredit risk of the selling institution as well as of the borrower.

CDO Securities are subject to interest rate risk. The underlying securities of an issuer of CDO Securitiesmay bear interest at a fixed (floating) rate while the CDO Securities issued by such issuer may bear interest at afloating (fixed) rate. Interest payable in respect of the CDO Securities may adjust more (or less) frequently or atdifferent times than interest payable in respect of its underlying securities. As a result, there could be afloating/fixed rate or basis mismatch between amounts payable in respect of such CDO Securities and amountsreceivable in respect of its underlying securities. As a result of such mismatches, changes in the floating rate indicescould adversely impact the ability to make payments on the CDO Securities.

12. Synthetic Securities. A portion of the Collateral Debt Securities included in the Collateral mayconsist of Synthetic Securities. The Reference Obligations of any Synthetic Securities will be Asset-BackedSecurities, REIT Debt Securities or CDO Securities. Investments in such types of assets through the purchase ofSynthetic Securities present risks in addition to those resulting from holding the underlying Reference Obligationsdirectly. The Issuer will usually have a contractual relationship only with the counterparty under each SyntheticSecurity, and not the Reference Obligor on any related Reference Obligation. The counterparty will have noobligation to hold or own the Reference Obligation. The Issuer generally will have no right directly to enforcecompliance 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 ofownership with respect to any related Reference Obligation. The Issuer will not have a security interest in theReference Obligation and will not benefit from any collateral supporting any related Reference Obligation. The

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Issuer will not have the benefit of the remedies that would normally be available to it if it held the ReferenceObligation directly. The Issuer will look solely to the counterparty for payments on the Synthetic Security and will,therefore, be exposed to liquidity and credit risk related to that counterparty. In addition, in the event of theinsolvency of the counterparty, the Issuer will be treated as a general creditor of such counterparty, and will not haveany claim of title with respect to the Reference Obligation. As a result, concentrations of Synthetic Securitiesentered into with any one counterparty will increase the risk that a payment failure by such counterparty will resultin a shortfall of funds available for payments on the Notes.

CS Synthetic Securities may be structured in such a way that the Issuer is required to make payments,either from collateral posted by the Issuer or from time to time in accordance with the terms thereof, to the SyntheticSecurity Counterparty. The posting of collateral and the requirement to make periodic payments to the SyntheticSecurity Counterparty may reduce the amounts otherwise available for acquisition of additional Collateral DebtSecurities or for periodic payments on the Notes. The terms of the CS Synthetic Securities may provide that theSynthetic Security Counterparty is responsible for calculating the amount of collateral to be posted by the Issuer.Disputes with the Synthetic Security Counterparty over the posting of collateral or other calculations in respect of aCS Synthetic Security may result in delays in payment on or early termination of such Synthetic Security.

The Issuer expects that most of the CS Synthetic Securities will be documented on forms established by theInternational Swap Dealers Association ("ISDA"). The market for the CS Synthetic Securities has been in existencefor only a relatively short period of time, and the relevant documentation has not yet become standardized. As themarket continues to develop and evolve, there can be no assurance that the CS Synthetic Securities will bedocumented on ISDA forms as they currently exist or that the terms and market standards for the CS SyntheticSecurities will not evolve in a way that is disadvantageous to the Issuer.

The Synthetic Securities may be subject to termination only upon payment of termination payments by theIssuer or at the option of the Synthetic Security Counterparty following certain events of default or terminationevents in respect of the Issuer as set forth in the related documentation. As a result, the Issuer may be required tomake payments to the Synthetic Security Counterparty in order to divest certain Synthetic Securities or if theSynthetic Security Counterparty elects to terminate Synthetic Securities following relevant default or terminationevents. The obligation of the Issuer to make any such payments and the inability of the Issuer to control the timingof termination payments may result in a shortfall of funds available to make payments on the Notes. Following atermination, the Issuer may not be able to enter into a replacement Synthetic Security or may not be able to negotiateterms of a replacement that are substantially similar to the terminated Synthetic Security or at an acceptable cost.

In conjunction with the investment in a Synthetic Security, the Issuer may be required to post collateral to aSynthetic Security Counterparty Account and may be required, from time to time, to post additional collateral tosuch an account in order to secure the obligations of the Issuer in accordance with the terms of the related SyntheticSecurity. Except for interest on the Synthetic Security Collateral credited to the related Synthetic SecurityCounterparty Account, amounts in the Synthetic Security Counterparty Account shall not be considered an asset ofthe Issuer and will not be subject to the lien of the Indenture. Amounts held in the Synthetic Security CounterpartyAccount will not be available for payments on the Notes unless and until amounts are released to the Issuer from theSynthetic Security Counterparty Account in accordance with the Synthetic Security.

13. Interest Rate Risk; Floating Rate Indices for Collateral Debt Securities; Currency Risk; CashflowRisk; Securities Lending. Interest Rate Hedging. A portion of the Collateral Debt Securities that the Issuerpurchases will consist of Collateral Debt Securities that bear interest based on LIBOR for U.S. Dollar deposits inEurope with a specified index maturity or other floating rate indices and a portion of such Collateral Debt Securitiesmay consist of debt securities and obligations that bear interest at a fixed rate. A portion of the Collateral DebtSecurities included in the Collateral may be obligations that pay interest more or less frequently than quarterly. Inaddition, any payments of principal of or interest on the Collateral Debt Securities received during a Due Period willbe reinvested in Eligible Investments maturing not later than the Business Day immediately preceding the nextPayment Date. There is no requirement that Eligible Investments bear interest at any required rate, and the interestrates available for Eligible Investments are expected to fluctuate over time. As a result, there may be afixed/floating interest rate or timing mismatch between the Rated Notes and the underlying Collateral DebtSecurities and changes in the level of LIBOR or other floating rate indices could adversely impact the Issuer's abilityto make payments on the Rated Notes and, correspondingly, distributions on the Income Notes (including by reason

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of a rise or a decline in the value of outstanding Fixed Rate Collateral Debt Securities as LIBOR decreases orincreases, respectively).

To mitigate a portion of these interest rate mismatches, the Issuer may, from time to time, enter into InterestRate Hedge Agreements with respect to specific Collateral Debt Securities, including Deemed Floating AssetHedges, to mitigate a portion of the mismatch between the floating rates of interest on the Rated Notes and rates ofinterest on the related underlying Collateral Debt Securities. The terms of any such Interest Rate Hedge Agreementshave not been agreed by the Issuer and a Hedge Counterparty and there can be no assurance that any Interest RateHedge Agreements will be entered into. There can also be no assurance that the Collateral Debt Securities includedin the Collateral and Eligible Investments, together with the payments to be received by the Issuer under the InterestRate Hedge Agreements, will in all circumstances generate sufficient funds to make timely payments of interest onthe Notes. Moreover, the benefits of any Interest Rate Hedge Agreement may not be achieved in the event of theearly termination of such Interest Rate Hedge Agreement, including termination upon the failure of the relevantHedge Counterparty to perform its obligations thereunder. See "Security for the Rated Notes—Hedge Agreements".If any such Interest Rate Hedge Agreement is terminated early, the termination payment (including the repayment ofany remaining unamortized upfront payment), if any, owed by the Issuer will be paid to the Interest Rate HedgeCounterparty before any payments are made to the Holders of the Notes.

Currency Hedging. The Issuer may acquire Collateral Debt Securities denominated in pounds sterling andin euros, which would create currency exchange risks for the Issuer (including the inability to repatriate currency,devaluation and non-exchangeability). In addition, Collateral Debt Securities denominated in currencies other thanU.S. dollars are likely to be issued by non-U.S. obligors and also involve risks unique to investments in obligationsof foreign issuers. See "—International Investing" below. Because the Issuer will calculate its income inU.S. Dollars and will pay the Notes in U.S. dollars, the Issuer will be required to enter into one or more CurrencySwap Agreements with Currency Swap Counterparties in order to hedge the risks associated with exchange ratefluctuations if it purchases Collateral Debt Securities which are not denominated in U.S. dollars. Most of theCurrency Swap Agreements will be required to provide for amortization of the notional amount of such swaps basedon the actual payments of the underlying Collateral Debt Security; however, a portion of the Currency SwapAgreements may have a notional amount that amortizes based on a schedule that reflects the anticipated paymentson the underlying Collateral Debt Security. If the amount and timing of distributions on Non-U.S. dollardenominated Collateral Debt Securities do not match the anticipated payments hedged by the related Currency SwapAgreements, the Issuer may not receive amounts sufficient to make payments on the Notes and result in Noteholdersbeing subject to risks from exchange rate fluctuations.

In the event of an insolvency of a Currency Swap Counterparty, the Issuer will be treated as a generalcreditor of such Currency Swap Counterparty. Consequently, the Issuer will be subject to the credit risk of eachCurrency Swap Counterparty.

International Investing. A portion of the Collateral Debt Securities may consist of obligations of issuersorganized under the laws of the Bahamas, Bermuda, the Cayman Islands, the Channel Islands, Ireland, the BritishVirgin Islands, the Netherlands Antilles, Luxembourg or any other commonly used domiciles for structured producttransactions or obligations of other Qualifying Foreign Obligors. Moreover, subject to compliance with certain ofthe Portfolio Percentage Limitations, collateral securing some Collateral Debt Securities will consist of obligationsof 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 UnitedStates or Europe. These risks may relate to: (i) the amount of publicly available information; (ii) varying levels ofgovernmental regulation and supervision; (iii) different clearance and settlement procedures; (iv) differentbankruptcy rights and procedures and (v) the difficulty of enforcing legal rights in a non-U.S. or non-Europeanjurisdiction 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. ornon-European companies vary significantly.

In many non-U.S. and non-European countries there is the possibility of expropriation, nationalization orconfiscatory taxation, limitations on the convertibility of currency or the removal of securities, property or otherassets of the Issuer, political, economic or social instability or adverse diplomatic developments, each of whichcould have an adverse effect on the Issuer's investments in such foreign countries (which may make it more difficult

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to pay U.S. Dollar-denominated obligations such as the Collateral Debt Securities). Finally, the economies ofindividual countries may also vary significantly in such respects as growth of gross domestic product, rate ofinflation, volatility of currency exchange rates, depreciation, capital reinvestment, resource self-sufficiency andbalance of payments position.

No assurance can be made that the Hedge Agreements will eliminate all material interest rate, currency andinitial cashflow risks to the Issuer. In addition, if any Hedge Counterparty defaults in making required paymentsunder the related Hedge Agreement, the Issuer will be exposed to the credit risk of that Hedge Counterparty withrespect to such payments, which may have an adverse effect on the ability of the Issuer to make payments on theNotes. Therefore, despite the Issuer having the benefit of the Hedge Agreements and the distributions on theIncome Notes being subordinated to the payments of interest on the Rated Notes, there can be no assurance that theCollateral will in all circumstances generate sufficient Collateral Interest Collections to make timely payments ofinterest on the Rated Notes, or that the existence of the Hedge Agreements will ensure any particular return on theIncome Notes.

Securities Lending. Up to 10% of the Principal Balance of the Collateral Debt Securities may be loaned tobanks, broker-dealers or other financial institutions (other than insurance companies), subject to the limitations setforth in the Collateral Management Agreement. Any such loan must have a term of 90 days or less, and anyborrower of Collateral Assets must (i) have a short-term senior unsecured debt rating or a guarantor with such ratingof at least "P-1" by Moody's or a long-term rating or a guarantor with such rating at the time of the loan of at least"A1" from Moody's and (ii) have an actual short-term senior unsecured debt rating or a guarantor with such rating of"A-1+" from S&P. Such loans will be required to be secured by cash or securities issued or guaranteed by theUnited States of America or any agency or instrumentality thereof, the obligations of which are expressly backed bythe full faith and credit of the United States of America, in an amount at least equal to 102% of the market value ofthe loaned Collateral Debt Securities, determined daily. However, in the event that the borrower of a loanedCollateral Debt Security defaults on its obligation to return such loaned Collateral Debt Security because ofinsolvency or otherwise, the Issuer could experience delays and costs in gaining access to the collateral posted bythe borrower (and in extreme circumstances could be restricted from selling the collateral). In the event that theborrower defaults, the Holders of the Notes could suffer a loss to the extent that the realized value of the cash orsecurities securing the obligation of the borrower to return a loaned Collateral Debt Security (less expenses) is lessthan the amount required to purchase such Collateral Debt Security in the open market. This shortfall could be dueto, among other things, discrepancies between the mark-to-market and actual transaction prices for the loanedCollateral Debt Securities arising from limited liquidity or availability of the loaned Collateral Debt Securities and,in extreme circumstances, the loaned Collateral Debt Securities being unavailable at any price. The RatingAgencies may downgrade any of the Notes if a borrower of a Collateral Debt Security or, if applicable, the entityguaranteeing the performance of such borrower, has been downgraded by any of the Rating Agencies such that theIssuer is not in compliance with the Securities Lending Counterparty rating requirements.

14. Purchase of Collateral Debt Securities on or Prior to the Closing Date and Certain Legal andInsolvency 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 acquireCollateral Debt Securities and enter into hedging arrangements for the benefit of the Issuer. The Issuer will berequired to purchase eligible Collateral Debt Securities in the Warehouse Facility for inclusion in the Collateral onthe Closing Date. The purchase price payable by the Issuer for such Collateral Debt Securities will be based on thepurchase price paid when such Collateral Debt Securities were acquired under the Warehouse Facility, accrued andunpaid interest on such Collateral Debt Securities as of the Closing Date and gains or losses incurred in connectionwith the termination prior to the Closing Date of related hedging arrangements. The Issuer will bear the risk ofmarket changes subsequent to the acquisition of Collateral Debt Securities and the entry into related hedgingarrangements as if it acquired such assets directly prior to the Closing Date. Accordingly, the Issuer may beobligated to pay a higher purchase price for eligible Collateral Debt Securities than it would have had it purchasedsuch assets in the market on the Closing Date. In addition, the Issuer may be obligated to reimburse Citigroup to theextent that it incurs losses with respect to the sale of Collateral Debt Securities purchased under the WarehouseFacility that become ineligible for sale to the Issuer or with respect to the termination of hedging arrangementsentered into pursuant to the Warehouse Facility.

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If Citigroup or any of its Affiliates were to become the subject of a case or proceeding under the UnitedStates Bankruptcy Code, another applicable insolvency law or a stockbroker liquidation under the SecuritiesInvestor Protection Act of 1970 (a "Proceeding"), the trustee in bankruptcy, other liquidator or the SecuritiesInvestor Protection Corporation could assert that Collateral Debt Securities acquired from Citigroup or an Affiliateare property of the insolvency estate of Citigroup or such Affiliate. Property that Citigroup or any of its Affiliateshas pledged or assigned, or in which Citigroup or its Affiliates has granted a security interest, as collateral securityfor the payment or performance of an obligation, would be property of the estate of Citigroup or such Affiliates.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 bythe Issuer of Collateral Debt Securities, under the circumstances contemplated by this Prospectus, will be deemed tobe a pledge or collateral assignment (as opposed to the sale or other absolute transfer of such Collateral DebtSecurities to the Issuer).

If such arguments were successful, however, the Issuer (or the Trustee) would have a secured claim againstCitigroup. In such a case, the Issuer (or the Trustee) might be delayed or prohibited from exercising remedies withrespect to the Collateral Debt Securities, other collateral might be substituted for the Collateral Debt Securities,collections on the Collateral Debt Securities or other collateral might be applied to the payments on the Securities atdifferent times than those required by the Indenture, and post-Proceeding interest might be limited and, to the extentany distributions on the Collateral Debt Securities were paid to Citigroup, the security interest of the Issuer (and theTrustee) in such distributions might be avoidable. Even if such arguments were not successful, it is possible thatpayments on the Securities would be subject to delays while the claim was being resolved. Furthermore, during theperiod of delay, the costs associated with collecting the amounts receivable under the Collateral Debt Securitiescould be charged against such Collateral Debt Securities, including the Issuer's interest therein.

If Citigroup were subject to a Proceeding, an argument could also be made that the separate existence of theIssuer should be ignored, and accordingly that the assets and liabilities of the Issuer should be considered assets andliabilities of Citigroup. If this argument were successful, the Trustee on behalf of the Secured Parties would beconsidered to be a secured creditor in the consolidated proceeding with respect to Citigroup, and the Trustee wouldbe subject to the delays, prohibitions and other possible effects described above. Even if this argument were notsuccessful, 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 cold be consolidated with those ofCitigroup, the parties have taken steps in structuring the transactions that are intended to minimize the risk that theseparate 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 observematerial legal formalities. See "The Issuer".

15. Reinvestment Risk. The Collateral Manager may direct the sale of Defaulted Securities, EquitySecurities, Credit Improved Securities and Credit Risk Securities. In addition, subject to compliance with therequirements specified in "Security for the Rated Notes—Substitute Collateral Debt Securities and ReinvestmentCriteria" and in the Indenture, the Collateral Manager may direct the sale of Collateral Debt Securities that are notDefaulted Securities, Equity Securities, Credit Improved Securities or Credit Risk Securities. Subject to the limitsdescribed under "Description of the Notes—Priority of Payments" and "Security for the Rated Notes—SubstituteCollateral Debt Securities and Reinvestment Criteria", Collateral Principal Collections and Sale Proceeds receivedon the Collateral Debt Securities during the Interest-Only Period will be reinvested in Substitute Collateral DebtSecurities that meet the Reinvestment Criteria or temporarily reinvested in Eligible Investments pending suchreinvestment in Substitute Collateral Debt Securities in accordance with the Priority of Payments. There may besignificant lags between the receipt of Collateral Principal Collections and the reinvestment thereof in SubstituteCollateral Debt Securities, and Eligible Investments will generally carry a lower rate of interest or yield. Theimpact, including any adverse impact, of such disposal or potential reinvestment on the Holders would be magnifiedwith respect to the Income Notes by the leveraged nature of the Income Notes and with respect to the respectiveClasses of Rated Notes by the leveraged nature of such respective Classes of Rated Notes. See "Security for theRated Notes–Substitute Collateral Debt Securities and Reinvestment Criteria".

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The earnings with respect to such Substitute Collateral Debt Securities will depend, among other factors, onreinvestment rates available in the marketplace at the time and on the availability of investments satisfying theReinvestment Criteria and acceptable to the Collateral Manager. At any time there may be a limited number ofpossible investments that would satisfy the Reinvestment Criteria given the other investments then held by theIssuer. As a result, the Issuer may at times find it difficult to purchase suitable investments. The need to satisfysuch Reinvestment Criteria and identify acceptable investments may require the purchase of Substitute CollateralDebt Securities having lower yields than those initially acquired or require that such Collateral Principal Collectionsbe maintained temporarily in cash or Eligible Investments, which may reduce the aggregate yield on the Collateral.Further, issuers of Collateral Debt Securities may be more likely to exercise any rights they may have to redeemsuch obligations when interest rates or spreads are declining. Any decrease in the yield on the Collateral DebtSecurities will have the effect of reducing the amounts available to make payments of principal and interest on theRated Notes and distributions on the Income Notes.

Notwithstanding compliance with the requirements specified herein and in the Indenture, sales of CollateralDebt Securities and purchases of Substitute Collateral Debt Securities may result in losses leading to the reductionor withdrawal of the rating of any or all of the Rated Notes by any Rating Agency. Conversely, the conditions andrestrictions in the Indenture may preclude advantageous sales of Collateral Debt Securities and purchases ofSubstitute Collateral Debt Securities.

16. Potential Conflicts of Interest with the Collateral Manager. Various potential and actual conflictsof interest may arise from the overall advisory, investment and other activities of Manx, the Collateral Manager,their Affiliates or any funds or accounts managed by the Collateral Manager and their other respective clients andemployees. The following briefly summarizes some of these conflicts, but is not intended to be an exhaustive list ofall such conflicts.

Each of the Collateral Manager, Manx and their respective Affiliates, may, subject to and in accordancewith their respective permitted business activities and applicable law, invest for their own account, or for the accountof others, in debt obligations, asset backed securities, commercial paper, equities and equity related and equityderivative transactions and/or make recommendations or provide advice to other persons in relation to any such debtobligations, asset backed securities, commercial paper, equities and equity related and equity derivative transactions,that would or may be appropriate as security for the Notes and have no duty in making such investments to act in away that is favorable to the Issuer or the Holders of the Notes. Such investments may be the same as, similar to ordifferent from those made on behalf of the Issuer. None of the Collateral Manager, Manx and their respectiveAffiliates have any obligation to recommend and/or advise the Issuer to make such investments or to inform theIssuer of any investments made with or by other funds or accounts that the Collateral Manager, Manx and theirAffiliates manage or advise; provided, however, that the Collateral Manager will allocate investments among thefunds or accounts that it manages or advises in a manner that it reasonably believes is fair and equitable to all of itsclients. The Collateral Manager may make investments on behalf of the Issuer in asset backed securities or otherassets that it has declined to purchase for its own account, the account of any of its Affiliates or the accounts of anyof its other clients. If a determination is made that the Issuer and another client of the Collateral Manager or any ofits Affiliates should trade in the same asset backed securities or other assets on the same day, such trades will beallocated between the Issuer and other accounts in a manner that the Collateral Manager and its Affiliatesdetermined in their discretion and in accordance with applicable law. Circumstances may occur in which such anallocation could have an adverse effect on the price or the size of the asset backed security or other asset that isobtainable or available for sale by the Issuer or the other client.

Each of the Collateral Manager, Manx and their respective Affiliates and clients may have economicinterests in or other ongoing relationships with, render services to or engage in transactions with Persons whoseobligations or securities are pledged to secure the Notes. Each of the Collateral Manager, Manx and their respectiveAffiliates and clients may also own, directly or through other funds it manages, equity or debt securities issued byissuers of and obligors on Collateral Debt Securities which securities may be senior to, or may have interests whichdiffer from, or are adverse to, the interests of the Issuer as a holder of the Collateral Debt Securities. As a result,officers or Affiliates of the Collateral Manager may possess information relating to issuers of Collateral DebtSecurities that is not known to the individuals at the Collateral Manager responsible for monitoring the CollateralDebt Securities and performing the other obligations under the Collateral Management Agreement. These differingcircumstances may cause the Collateral Manager to cause the Issuer to take or refrain from taking action in respect

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of Collateral Debt Securities that is detrimental to the interests of the Holders of the Notes or may result in theCollateral Manager or its Affiliates taking or failing to take action in its own interest that is detrimental to theinterests of the Issuer or the Holders of the Notes.

Subject to the requirements of applicable law, the Issuer may invest in the securities of Persons Affiliatedwith any of the Collateral Manager, Manx and their Affiliates or clients or in which any of the Collateral Manager,Manx and their Affiliates or clients have an equity or participation interest. The purchase, holding and sale of suchsecurities by the Issuer may enhance the profitability of any of the Collateral Manager's, Manx's or their Affiliates'or clients' investments in securities of such Persons.

Each of the Collateral Manager, Manx and their Affiliates serve and in the future may serve as a managerof or advisor to corporations, limited partnerships and other Persons organized to purchase or invest in securities thatmay qualify as Collateral Debt Securities. Conflicts may arise regarding the allocation of investment opportunitiesamong the accounts of the Collateral Manager (including the Issuer), Manx or their Affiliates. Situations may occurwhere the Issuer could be disadvantaged because of the other investment activities conducted by the CollateralManager, Manx or their Affiliates. Each of the Collateral Manager, Manx and their respective Affiliates and theirclients may have economic interests in or other relationships with issuers in whose obligations or securities theIssuer may invest. In particular, such persons may make and/or hold an investment in an issuer's securities that maybe pari passu, senior or junior in ranking to an investment in such issuer's securities made and/or held by the Issueror in which partners, securityholders, officers, directors, agents or employees of such persons serve on boards ofdirectors or otherwise have ongoing relationships. Each of such ownership and other relationships may result insecurities laws restrictions on transactions in such securities by the Issuer and otherwise create conflicts of interestthat may be detrimental to the Issuer. In such instances, each of the Collateral Manager, Manx and their respectiveAffiliates may in their discretion make investment recommendations and decisions with respect to other accountsthat may be the same as or different from those made with respect to the Issuer's investments.

Subject to the requirements of applicable law, each of the Collateral Manager and any of its Affiliates mayfrom time to time simultaneously seek to purchase or sell investments on behalf of the Issuer, other accounts andfunds for which each serves as manager, and itself, as principal, or for its clients or Affiliates which may adverselyaffect the price paid or received by the Issuer. In addition, the Collateral Manager may purchase securities on behalfof the Issuer that are issued by or held by persons for which the Collateral Manager or its Affiliates act as investmentmanager or adviser; provided that the Collateral Management Agreement will provide that such purchases areexecuted on terms reasonably comparable to those which could be obtained in a transaction conducted at arm'slength between unaffiliated parties. Subject to the requirements of applicable law, the Collateral Manager may alsosell securities on behalf of the Issuer and purchase such securities for other accounts or funds for which it serves asmanager or advisor, or for itself, its clients or Affiliates; provided that the Collateral Management Agreement willprovide that such sales are executed on terms reasonably comparable to those which could be obtained in atransaction conducted at arm's length between unaffiliated parties.

The Collateral Manager may also effect client cross transactions in accordance with applicable law wherethe Collateral Manager causes a transaction to be effected between the Issuer and another account advised by theCollateral Manager or any of its Affiliates. Client cross transactions may enable the Collateral Manager to purchaseor sell a block of securities for the Issuer at a set price and possibly avoid an unfavorable price movement that maybe created through entrance into the market with such purchase price or sell order.

Neither the Collateral Manager nor any of its Affiliates is under any obligation to offer any particularinvestment opportunity of which they become aware to the Issuer or to account to the Issuer (or share with the Issueror inform the Issuer of) any such opportunity or any benefit received as a result thereof. Furthermore, each of theCollateral Manager and its Affiliates may make an investment on behalf of any account or fund that they manage oradvise without offering the investment opportunity or making any investment on behalf of the Issuer. None of theCollateral Manager, Manx and their respective Affiliates have any affirmative obligation to offer any investments tothe Issuer or to inform the Issuer of any investments before offering any investments to other funds or accounts thatthe Collateral Manager and/or its Affiliates manage or advise. Furthermore, Affiliates of the Collateral Managermay make investments on their own behalf without offering such investment opportunities to the Issuer or theCollateral Manager on behalf of the Issuer. Affirmative obligations may exist or may arise in the future, pursuant towhich the Collateral Manager or an Affiliate of the Collateral Manager is obligated to offer certain investments to

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funds or accounts that the Collateral Manager or such Affiliate manages or advises before or without the CollateralManager offering those investments to the Issuer. The Collateral Manager will take reasonable steps to ensure fairtreatment of its clients with respect to investment opportunities.

In connection with their business activities, each of the Collateral Manager, Manx and their Affiliates mayacquire material non-public confidential information that may result in restrictions on the ability of the CollateralManager to direct the purchase or sale of related securities at any particular time. Such restrictions may result in theIssuer being unable to acquire or sell investments in a timely manner or otherwise take actions which the CollateralManager might consider to be in the best interest of the Issuer. The Collateral Manager, its Affiliates and theirrespective shareholders, members, managers, partners, directors, officers, employees, attorneys or agents maypossess information relating to the Collateral Debt Securities that is not known by the individuals at the CollateralManager and its Affiliates that are responsible for monitoring the Collateral Debt Securities and performing theother obligations under the Indenture and the Collateral Management Agreement or may be subject to confidentialityor other legal restrictions. Such persons will not be required (and may not be permitted) to share such informationor pass it along to the Issuer, the Collateral Manager or any holder of any Note. None of the Collateral Manager, itsAffiliates and their respective shareholders, members, managers, partners, directors, officers, employees, attorneysand agents will have liability to the Issuer or any holder of any Note for failure to disclose such information or fortaking, or failing to take, any action based upon such information.

Although the professional staff of the Collateral Manager and Manx will devote as much time to the Issueras the Collateral Manager or Manx deems appropriate, the staff may have conflicts in allocating their time andservices equitably among the Issuer and the Collateral Manager's, Manx's and their Affiliates' other accounts.

On the Closing Date, it is expected that the Collateral Manager or one or more of its Affiliates or relatedparties will purchase U.S.$2,750,000 (ten percent (10%)) of the aggregate principal amount of Income Notes. Theinterests of the holders of the Income Notes may be different from or adverse to the interests of the Holders of theRated Notes. In addition, certain of the Collateral Manager's management may receive compensation that is basedon the performance of the Income Notes or other collateralized debt obligation transactions and the CollateralManager may receive an Incentive Collateral Management Fee based upon the returns to the holders of the IncomeNotes. The existence of such compensation arrangements may create incentives that are different from or adverse tothe interests of the Holders of the Rated Notes. In addition, each of the Collateral Manager and its Affiliates andclients may own Rated Notes from time to time. The Collateral Manager, its Affiliates and related parties are notrequired to own or hold any Notes and may sell any Notes (including the Income Notes) held by them at any time.

Upon the removal or resignation of the Collateral Manager, except in the case of a removal by Manx, amajority of the aggregate Principal Balance of the Income Notes and of the Controlling Class shall variouslynominate and approve the appointment of a replacement collateral manager. Notes held by the Collateral Manageror its Affiliates and accounts or funds for which the Collateral Manager or its Affiliates act as investment advisor orotherwise have discretionary voting rights will have no voting rights with respect to any vote in connection with theremoval of the Collateral Manager and will be deemed not to be outstanding in connection with any such vote;provided, however, that Income Notes held by the Collateral Manager or its related parties or Affiliates will havevoting rights with respect to all other matters as to which the Holders of Income Notes are entitled to vote,including, without limitation, in connection with the appointment of a replacement collateral manager not Affiliatedwith the Collateral Manager in accordance with the Collateral Management Agreement and in connection with anyredemption requiring the vote of the Holders of Notes. In addition, if the Collateral Manager is terminated orremoved as Collateral Manager by the Issuer or the Noteholders (but not Manx), the Issuer shall be prohibited fromappointing a successor collateral manager that is a Noteholder or an Affiliate of any Noteholder that affirmativelyvoted to terminate or remove the Collateral Manager. See "The Collateral Management Agreement".

The Collateral Manager is not registered under the United States Investment Advisers Act of 1940, asamended (the "Investment Advisers Act"). Pursuant to Rules 203(b)(3)-1 and 203(b)(3)-2 under the InvestmentAdvisers Act, the Collateral Manager is required to be registered as an investment adviser under the InvestmentAdvisers Act by February 1, 2006. The Collateral Manager intends to register as an investment adviser under theInvestment Advisers Act by February 1, 2006.

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The Collateral Management Agreement and the Indenture place significant restrictions on the CollateralManager's ability to manage the Collateral. Accordingly, during certain periods or in certain specifiedcircumstances, as a result of the restrictions set out in the Collateral Management Agreement and the Indenture, theCollateral Manager may be unable to take actions which it might consider to be in the best interests of the Issuer.

On each Payment Date, to the extent of the funds available pursuant to the Priority of Payments, theCollateral Manager will be entitled to receive the Senior Collateral Management Fee, the Subordinate CollateralManagement Fee and the Incentive Collateral Management Fee and Manx will be entitled to receive the Manx Fee.The existence of the fees may create various potential and actual conflicts of interest for the Collateral Manager andManx.

17. Dependence on Key Personnel of the Collateral Manager. The performance of the Collateral willbe highly dependent on the financial and managerial expertise of the Collateral Manager. See "The CollateralManager" and "The Collateral Management Agreement". Although the professional staff of the Collateral Managermanaging the Collateral expects to devote as much of its time on behalf of the Collateral Manager to the business ofthe Issuer as is in its judgment reasonably required, it will also be providing services to others and will be engagedin other businesses in which the Issuer has no interest. There can be no assurance that such persons will continue tobe employed by the Collateral Manager or its Affiliates or if so employed, involved in the activities of the CollateralManager throughout the entire term of the Collateral Management Agreement. The loss of one or more of theindividuals managing the Collateral could have a significant material adverse effect on the performance of theCollateral. Although the Collateral Manager will commit a significant amount of its efforts to the management ofthe Collateral Debt Securities, it manages and will manage in the future other investment products and vehicles andis not required (and will not be able) to devote all of its time or efforts to the management of the Collateral DebtSecurities. If a separate Synthetic Securities Manager is appointed, then the foregoing considerations applicable tothe Collateral Manager and its employees would likewise be applicable to the Synthetic Securities Manager and itsemployees.

18. Potential Conflicts of Interest with the Trustee. In certain circumstances, the Trustee or itsAffiliates may receive compensation in connection with the Trustee's (or such Affiliate's) investment in certainEligible Investments from the managers of such Eligible Investments.

19. Potential Conflicts of Interest with Citigroup Global Markets. Citigroup will act as the initialpurchaser of the Rated Notes and as placement agent for the Income Notes and may also act as hedge counterpartyunder the Warehouse Facility. Citigroup or its Affiliates may have had in the past and may in the future havebusiness relationships and dealings with one or more issuers of Collateral Debt Securities and their Affiliates andmay own equity or debt securities issued by issuers of Collateral Debt Securities or their Affiliates. Citigroup or itsAffiliates may have provided and may in the future provide investment banking services to an issuer of CollateralDebt Securities or its Affiliates and may have received or may receive compensation for such services. Citigroup orits Affiliates may buy securities from and sell securities to an issuer of Collateral Debt Securities included in theCollateral or its Affiliates for their own account or for the accounts of their customers.

In addition, Citigroup or an Affiliate thereof may act as the swap counterparty pursuant to a swapagreement or other derivative agreement entered into by the Issuer itself or by the Synthetic Security issuer of aSynthetic Security purchased by the Issuer. In such capacity as swap counterparty, Citigroup (or such Affiliate) maybe expected to have interests that are adverse to the interests of the Noteholders. Typically, such a swapcounterparty would act as calculation agent pursuant to the derivative agreement and, in such capacity, have broadauthorization to perform actions, such as calculations of payment amounts, that involve the exercise of judgment anddiscretion. As such a swap counterparty, Citigroup will have no duty to act on behalf of the Noteholders and,directly or indirectly, may act in ways adverse to them. In addition, in connection with the original issuance of theCollateral Debt Securities, Citigroup or its Affiliates have placed or underwritten approximately 6.6% of thePrincipal Balance of the Collateral Debt Securities expected to be purchased by the Issuer on the Closing Date.

Some of the Collateral Debt Securities included in the Collateral are obligations of issuers or obligors, orobligations sponsored or serviced by companies, for which Citigroup or one of its Affiliates acted as underwriter,agent, placement agent or dealer or for which an Affiliate of Citigroup has acted as lender or provided othercommercial or investment banking services. The Issuer will purchase Collateral Debt Securities from Citigroup or

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its Affiliates only to the extent that such Collateral Debt Securities have been selected by the Collateral Manager forinclusion under the Warehouse Facility and the purchase of such Collateral Debt Securities is consistent with theinvestment guidelines described in the Warehouse Facility.

20. Issuer Actions to Enable Synthetic Securities Investments after the Closing Date. As of theClosing Date, the Issuer does not comply with the Synthetic Securities Eligibility Requirement and may notpurchase any Synthetic Securities. In order to enable the Issuer to comply with the Synthetic Securities EligibilityRequirement, the Issuer may after the Closing Date enter into a Synthetic Securities Management Agreement withthe consent of the Holders of 75% of the aggregate Principal Balance of the Class A-1 Notes and take other actionsas determined by it in conjunction with or in lieu of entering into such an agreement. There can be no assurance thatthe Issuer will elect to enter into a Synthetic Securities Management Agreement or that the existence of such anagreement will result in the Issuer acquiring Synthetic Securities. Holders of Notes, other than the Class A-1 Notes,will not be permitted to consent to the existence or terms of a Synthetic Securities Management Agreement, and theterms thereof may include obligations or duties that cannot be predicted or described herein. The Issuer may elect topursue other alternatives to satisfying the Synthetic Securities Eligibility Requirement, including obtaining otherlegal and tax advice or seeking relief from relevant regulatory and governmental authorities. See "The CollateralManagement Agreement—Synthetic Securities Management". No assurance can be given that any SyntheticSecurity investments under such an agreement or otherwise will occur or be successful.

21. Lender Liability Considerations; Equitable Subordination. In recent years, a number of judicialdecisions in the United States have upheld the right of borrowers to sue lenders or bondholders on the basis ofvarious evolving legal theories (collectively, termed "lender liability"). Generally, lender liability is founded uponthe premise that an institutional lender or bondholder has violated a duty (whether implied or contractual) of goodfaith and fair dealing owed to the borrower or issuer or has assumed a degree of control over the borrower or issuerresulting 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 oflender liability. However, the Issuer does not intend to engage in conduct that would form the basis for a successfulcause of action based upon lender liability.

In addition, under common law principles that in some cases form the basis for lender liability claims, if alender or bondholder (a) intentionally takes an action that results in the undercapitalization of a borrower to thedetriment of other creditors of such borrower, (b) engages in other inequitable conduct to the detriment of such othercreditors, (c) engages in fraud with respect to, or makes misrepresentations to, such other creditors or (d) uses itsinfluence as a stockholder to dominate or control a borrower to the detriment of other creditors of such borrower, acourt may elect to subordinate the claim of the offending lender or bondholder to the claims of the disadvantagedcreditor or creditors, a remedy called "equitable subordination" Because of the nature of the Collateral DebtSecurities, the Issuer may be subject to claims from creditors of an obligor that Collateral Debt Securities issued bysuch obligor that are held by the Issuer should be equitably subordinated. However, the Issuer does not intend toengage in conduct that would form the basis for a successful cause of action based upon the equitable subordinationdoctrine.

The preceding discussion is based upon principles of United States federal and state laws. Insofar asCollateral Debt Securities that are obligations of non-United States obligors are concerned, the laws of certainforeign jurisdictions may impose liability upon lenders or bondholders under factual circumstances similar to thosedescribed above, with consequences that may or may not be analogous to those described above under United Statesfederal and state laws.

22. Insolvency Considerations With Respect to Issuers of Collateral Debt Securities. Various lawsenacted for the protection of creditors may apply to the Collateral Debt Securities included in the Collateral. If acourt in a lawsuit brought by an unpaid creditor or representative of creditors of an issuer of any such CollateralDebt Security, such as a trustee in bankruptcy, were to find that the issuer did not receive fair consideration orreasonably equivalent value for incurring the indebtedness constituting such Collateral Debt Security and, aftergiving effect to such indebtedness, the issuer (i) was insolvent, (ii) was engaged in a business for which theremaining assets of such issuer constituted unreasonably small capital or (iii) intended to incur, or believed that itwould incur, debts beyond its ability to pay such debts as they mature, such court could determine to invalidate, inwhole or in part, such indebtedness as a fraudulent conveyance, to subordinate such indebtedness to existing or

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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 consideredinsolvent at a particular time if the sum of its debts were greater than all of its property at a fair valuation or if thepresent fair saleable value of its assets were less than the amount that would be required to pay its probableliabilities on its existing debts as they became absolute and matured. There can be no assurance as to what standarda court would apply in order to determine whether the issuer was "insolvent" after giving effect to the incurrence ofthe indebtedness constituting such Collateral Debt Security or that, regardless of the method of valuation, a courtwould not determine that the issuer was "insolvent" upon giving effect to such incurrence. In addition, in the eventof the insolvency of an issuer of a Collateral Debt Security included in the Collateral, payments made on suchCollateral Debt Security could be subject to avoidance as a "preference" if made within a certain period of time(which may be as long as one (1) year and one (1) day) before insolvency.

In general, if payments on a Collateral Debt Security are avoidable, whether as fraudulent conveyances orpreferences, such payments can be recaptured either from the initial recipient (such as the Issuer) or from subsequenttransferees of such payments (such as the Holders of the Notes). To the extent that any such payments arerecaptured 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-3 Notes, the Class A-2 Notes and the Class A-1 Notes, in that order. However, acourt in a bankruptcy or insolvency proceeding would be able to direct the recapture of any such payment from aHolder 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 Security included in the Collateral is the subject of abankruptcy proceeding, payments to the Issuer with respect to such Collateral Debt Security may be delayed ordiminished 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 rightsagainst the issuer or obligor with respect to such Collateral Debt Security without permission from the court,(ii) conversion by the bankruptcy court of such Collateral Debt Security into more junior debt or into equity of theissuer thereof or obligor thereon, (iii) modification of the terms of the Collateral Debt Security by the bankruptcycourt, including reduction or delay of the interest or principal payments thereon and (iv) grant of a priority lien to anew money lender to the issuer of, or obligor on, the Collateral Debt Security.

23. Certain Insolvency Considerations with Respect to the Collateral Manager and its Affiliates. It isexpected that, on the Closing Date, the Collateral Manager or one or more of its Affiliates or related parties will owna portion of the Income Notes. In addition, the Collateral Manager, its Affiliates and accounts for which theCollateral 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 aProceeding, an argument could also be made that the separate existence of the Issuer should be ignored, andaccordingly that the assets and liabilities of the Issuer should be considered assets and liabilities of the CollateralManager or such Affiliates. If this argument were successful, the Trustee on behalf of the Secured Parties would beconsidered to be a secured creditor in the consolidated proceeding with respect to the Collateral Manager or suchAffiliates, 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 whilethe claim was being resolved.

Respecting the possibility that the assets and liabilities of the Issuer could be consolidated with those of theCollateral Manager or its Affiliates, the parties have taken steps in structuring the transactions that are intended tominimize the risk that the separate identity of the Issuer would not be respected. These steps include the creation ofthe Issuer as a separate, special purpose company and restrictions on the nature of its business and an undertaking byeach such entity to observe material legal formalities. See "The Issuer".

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24. Withholding on the Notes. The Issuer expects that payments of principal and interest on the RatedNotes 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 bewithheld or deducted from payments of principal or interest on the Rated Notes or distributions on the IncomeNotes, the Issuer shall not be obliged to make any additional payments to the Holders of any Notes on account ofsuch withholding or deduction.

25. Taxes on the Issuer. The Issuer expects that payments received on the Collateral Debt Securities,Eligible Investments and the Hedge Agreements generally will not be subject to withholding taxes imposed by theUnited States or by other countries from which such payments are sourced. Those payments, however, mightbecome subject to U.S. or other withholding tax due to a change in law or other causes. Payments with respect toany Equity Securities or equity securities received in an Offer will likely be subject to withholding taxes imposed bythe United States or other countries from which such payments are sourced. The imposition of unanticipatedwithholding taxes could cause a Tax Redemption and materially impair the Issuer's ability to pay principal, interestand other amounts on the Rated Notes and make distributions on the Income Notes.

The Issuer will be subject to corporation tax in the United Kingdom only if it is tax resident in the UnitedKingdom or carries on a trade in the United Kingdom through a permanent establishment. The Issuer will not betreated as being tax resident in the United Kingdom provided that the Issuer is incorporated outside the UnitedKingdom and the central management and control of the Issuer is exercised outside of the United Kingdom. TheIssuer is incorporated in the Cayman Islands and the Directors of the Issuer intend to conduct the affairs of the Issuerfrom the Cayman Islands in such a manner so that the Issuer does not become resident in the United Kingdom fortaxation purposes. The Issuer does not intend to have a permanent establishment in the United Kingdom. Inparticular, the Issuer is not expected to have a permanent establishment in the United Kingdom (and therefore besubject to taxation in the United Kingdom) in consequence of the activities that the Collateral Manager carries outon its behalf. In the event that the Issuer were to become subject to taxation in the United Kingdom on this basis,H.M. Revenue & Customs could proceed to assess the Issuer or the Collateral Manager on behalf of the Issuer.Should the Collateral Manager be assessed for taxes in the United Kingdom on behalf of the Issuer, the CollateralManager will be entitled to indemnity from the Issuer. Any such indemnity would be paid as AdministrativeExpenses in accordance with the Priority of Payments. The assessment of United Kingdom tax against the Issuer,directly or indirectly, would have a material adverse affect on the Issuer and the Holders of the Notes.

26. Tax Treatment of Holders of Equity in the Issuer. The Income Note Issuing and Paying AgencyAgreement requires the Issuer and each Holder of Income Notes to treat the Issuer as a corporation for U.S. federalincome tax purposes and to treat the Income Notes as equity for those purposes. The Issuer is a passive foreigninvestment company ("PFIC"). As such, a U.S. Holder investing in the equity of the Issuer (or any class of RatedNotes that is recharacterized as equity for U.S. federal income tax purposes) typically has an option to either (1) treatthe Issuer as a qualified electing fund ("QEF") and to pay income tax on its pro rata share of the Issuer's incomecomputed on an accrual basis or (2) pay income taxes generally on the amount of cash distributions received, subjectto a possible interest charge at a statutory rate on certain "excess distributions" and gains recognized on thedisposition 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 payincome tax based on its pro rata share of the Issuer's income generally as if the U.S. Holders had made the QEFelection.

Generally, a QEF election should be made on or before the due date for filing the U.S. Holder's U.S. federalincome tax return for the first taxable year during which such U.S. Holder holds the Note that is deemed to be anequity interest of the Issuer for U.S. federal income tax purposes. A U.S. Holder making this election is required toreport its pro rata share of the Issuer's income regardless of whether the Issuer makes cash distributions during theperiod. The Issuer typically will have lower taxable income than the amount of cash it distributes, after the initialyear, as the Issuer amortizes certain issuable expenses. However, it is possible that a significant amount of theIssuer's income will not be distributed on a current basis for several reasons (termed "phantom income"). Althoughnot exhaustive, several of these reasons include: (1) gains on the sale of securities where the proceeds are reinvestedin additional collateral rather than being distributed; (2) income may be earned by the Issuer (and correspondingamounts of cash received), but the associated cash may be diverted to pay principal of senior notes when certaincompliance tests are not satisfied; and (3) accrual basis accounting may create timing differences from the actual

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cash distributions. A U.S. Holder that makes a QEF election therefore may be required to recognize phantomincome in amounts significantly greater than the distributions received from the Issuer. An electing U.S. investorgenerally 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 anyyear including both certain distributions by the PFIC and any gain recognized upon the disposition of the PFICinterest. 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 onordinary income in the current year and at the highest rate in effect for individuals or corporations in the precedingyears. A non-deductible interest charge at a statutory rate may also be imposed as if the excess distributions wereearned ratably over the holder's holding period.

The above discussion is a very general discussion of the tax treatment of an equity investment by aU.S. taxpayer. Taxpayers should review the Prospectus and consult with their tax adviser to the extent necessary todetermine the appropriate tax reporting and to assist them with the proper filings.

27. Absence of Other Regulatory Oversight; Investment Company Act Considerations. While theIssuer may be considered similar in some ways to an investment company, it is not required and does not intend toregister as such under the Investment Company Act, and, accordingly, investors in the Notes are not afforded theprotections of the Investment Company Act (which, among other matters, requires investment companies to have apercentage of disinterested directors of at least 40% (which minimum percentage requirement of disinteresteddirectors will increase to 75% beginning in 2006), requires securities held in custody at all times to be segregatedand marked to clearly identify the owner of such securities and regulates the relationship between the adviser andthe investment company). Counsel for the Issuer will opine in connection with the sale of the Notes, that neither theIssuer nor the pool of Collateral is on the Closing Date an investment company required to be registered under theInvestment Company Act assuming, for the purposes of such opinion, that the Notes are being offered by or throughthe Initial Purchasers and the Placement Agent in the manner contemplated by this Prospectus. No opinion orno-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 is required, but failed, toregister as an investment company in violation of the Investment Company Act, possible consequences include, butare not limited to, the following: (i) the Commission could apply to a district court to enjoin the violation;(ii) investors in the Issuer could sue the Issuer and recover any damages caused by the violation; and (iii) anycontract to which the Issuer is a party that is made in, or whose performance involves a, violation of the InvestmentCompany Act would be unenforceable by any party to the contract unless a court were to find that under thecircumstances enforcement would produce a more equitable result than non-enforcement and would not beinconsistent with the purposes of the Investment Company Act. Should the Issuer be subjected to any or all of theforegoing, the Issuer would be materially and adversely affected.

28. Certain ERISA Considerations. Although no assurances can be made, the conditions andrestrictions on transfers of the Income Notes set forth under "Purchase and Transfer Restrictions" and "CertainERISA Considerations" are generally intended to prevent the assets of the Issuer from being treated as the assets of aBenefit Plan Investor subject to Title I of ERISA, or Section 4975 of the Code. If the assets of the Issuer weredeemed to constitute the assets of an investing Benefit Plan Investor, subject to the foregoing provisions of ERISAand the Code, then, among other adverse results, (i) transactions involving the assets of the Issuer could be subject tothe fiduciary responsibility and prohibited transaction provisions of ERISA and Section 4975 of the Code, (ii) theassets of the Issuer could be subject to ERISA's reporting and disclosure requirements and (iii) the fiduciary causingthe Benefit Plan Investor to make an investment in the Income Notes could be deemed to have delegated itsresponsibility to manage the assets of the Benefit Plan Investor. See "Certain ERISA Considerations".

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29. Emerging Requirements of the European Union. As part of the harmonization of securitiesmarkets 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 ofsecurities to the public in E.U. member states and admissions to trading to E.U. regulated markets. The E.U. hasalso 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 obligationson issuers that have certain types of securities admitted to trading on an E.U. regulated market. In addition, theMarket 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 onan E.U. regulated market and requires issuers of such securities to disclose any non-public price-sensitiveinformation as soon as possible, subject to certain limited exemptions. The listing of Notes on the Irish StockExchange would subject the Issuer to regulation under these directives, although the requirements applicable to theIssuer are not yet fully clarified. The Indenture will not require the Issuer to maintain a listing for any Class ofNotes on an E.U. regulated market if compliance with these directives (or other requirements adopted by theEuropean Commission or a relevant E.U. member state) becomes burdensome in the sole judgment of the CollateralManager.

30. Money Laundering Prevention. The Uniting and Strengthening America by ProvidingAppropriate Tools Required to Intercept and Obstruct Terrorism Act of 2001 (the "USA PATRIOT Act"), signedinto law on and effective as of October 26, 2001, imposes anti-money laundering obligations on different types offinancial institutions, including banks, broker-dealers and investment companies. The USA PATRIOT Act requiresthe Secretary of the United States Department of Treasury (the "Treasury") to prescribe regulations to define thetypes of investment companies subject to the USA PATRIOT Act and the related anti-money laundering obligations.It is not clear whether the Treasury will require entities such as the Issuer to enact anti-money laundering policies. Itis possible that the Treasury will promulgate regulations requiring the Issuer or the Investment Advisor or otherservice providers to the Issuer, in connection with the establishment of anti-money laundering procedures, to shareinformation with governmental authorities with respect to investors in the Notes. Such legislation and/or regulationscould require the Issuer to implement additional restrictions on the transfer of the Notes. As may be required, theIssuer reserves the right to request such information and take such actions as are necessary to enable it to complywith the USA PATRIOT Act.

The Issuer and the Administrator are also subject to anti-money laundering laws and regulations in theCayman Islands which impose specific requirements with respect to the obligation to "know your client". Except inrelation to certain categories of institutional investors, the Issuer will require a detailed verification of each initialinvestor's identity and the source of payment used by such investor for purchasing the Notes in a manner similar tothe obligations imposed under the laws of other major financial centers. If the Cayman Islands governmentdetermined the Issuer was in violation of the anti-money laundering provisions, the Issuer could be subject tosubstantial criminal penalties. Payment of any such penalties could materially adversely affect the timing andamount of payments to Noteholders.

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THE ISSUER

The Issuer, an exempted company with limited liability, was registered on October 21, 2005 under theCompanies Law (2004 Revision) of the Cayman Islands with the registered number 156768 and has an indefiniteexistence. The registered office of the Issuer is at the offices of Walkers SPV Limited, Walker House, Mary Street,P.O. Box 908GT, George Town, Grand Cayman, Cayman Islands, telephone number (345)945-3727. The Issuer hasbeen established as a special purpose vehicle for the purpose of, among other things, issuing asset backed securities.

The Issuer has no prior operating history, prior business or employees. Clause 3 of the Issuer'sMemorandum of Association sets out the objectives of the Issuer, which are unlimited. The activities of the Issuerwill be limited to (i) acquiring, holding and disposing of Collateral Debt Securities and investing in EligibleInvestments, (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 RatedNotes and otherwise for the benefit of the Secured Parties and (v) other activities incidental to the foregoing. Cashflow derived from the Collateral securing the Rated Notes will be the Issuer's only source of cash. The Issuer has noindebtedness for borrowed money other than indebtedness incurred pursuant to the Indenture and the otherTransaction Documents as described herein. The Issuer may incur debt in the future only in compliance with andpursuant to the terms of the Indenture.

On the Closing Date, the authorized share capital of the Issuer will consist of the Ordinary Shares. All ofthe Ordinary Shares will be issued prior to the Closing Date.

The directors ("Directors") of the Issuer are David Egglishaw, John Cullinane and Derrie Boggess, each ofwhom is an officer of the Administrator. The Directors may be contacted at the address of the Issuer set forth above.

Capitalization of the Issuer

The Issuer's expected initial capitalization and indebtedness on the Closing Date, after giving effect to theissuance of the Notes and the Ordinary Shares is set forth below:

Amount (USD)Class A-1 Notes ......................................................... $344,000,000Class A-2 Notes ......................................................... $23,000,000Class A-3 Notes ......................................................... $67,000,000Class B Notes............................................................. $19,000,000Class C Notes............................................................. $21,750,000Income Notes ............................................................. $27,500,000

Total Debt............................................................. $502,250,000

Ordinary Shares ......................................................... $ 1,000Total Equity.......................................................... $ 1,000

Retained Earnings...................................................... $ 1,000

Total Capitalization ................................................... $502,252,000

All of the Issuer's Ordinary Shares are legally owned by Walkers SPV Limited, as share trustee (the "ShareTrustee"), and will be held on the terms of a charitable trust for the benefit of one or more charitable organizations inthe Cayman Islands under the terms of a declaration of trust. Under the terms of the declaration of trust, the ShareTrustee will, among other things, agree not to dispose of or otherwise deal with the Ordinary Shares. The ShareTrustee will have no beneficial interest in and derive no benefit other than its fees from its holding of the OrdinaryShares.

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The Administrator

Certain administrative functions in the Cayman Islands will be performed on behalf of the Issuer byWalkers SPV Limited (the "Administrator"). Such functions include communications with the holders of theOrdinary 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 theforegoing, the Administrator will receive various fees and other charges payable by the Issuer at rates agreed uponfrom time to time plus expenses. The Administrator's address is Walker House, Mary Street, P.O. Box 908GT,George Town, Grand Cayman, Cayman Islands.

The Administrator may resign or be removed upon ninety (90) days' prior written notice to the Issuer, in thecase of resignation, or to the Administrator, in the case of removal. Upon the occurrence of either of such events,the Issuer will promptly appoint a successor Administrator.

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DESCRIPTION OF THE NOTES

The Rated Notes will be issued by the Issuer pursuant to, will have the benefit of, and will be subject to andsecured pursuant to, the Indenture. The Income Notes will be issued by the Issuer pursuant to the Income NoteIssuing and Paying Agency Agreement and will not be secured. The following summary describes certain provisionsof the Notes, the Indenture and the Income Note Issuing and Paying Agency Agreement. This summary does notpurport to be complete and is subject to, and qualified in its entirety by reference to, the provisions of the Notes, theIndenture 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 Issuer, secured as described below.Except as otherwise described herein with respect to payment of principal of the Rated Notes, the relative order ofseniority of payment of each Class of Rated Notes is as follows: (i) first, Class A-1 Notes, (ii) second, Class A-2Notes, (iii) third, Class A-3 Notes, (iv) fourth, Class B Notes and (v) fifth, Class C Notes with (a) each Class ofRated Notes (other than the Class C Notes) in such list being "Senior" to each other Class of Rated Notes thatfollows such Class of Notes in such list (e.g., the Class A-1 Notes are Senior to the Class A-2 Notes, Class A-3Notes, Class B Notes and Class C Notes) and (b) each Class of Notes (other than the Class A-1 Notes) in such listbeing "Subordinate" to each other Class of Notes that precedes such Class of Notes in such list (e.g., the Class CNotes are Subordinate to the Class B Notes, Class A-3 Notes, Class A-2 Notes and Class A-1 Notes). No paymentof interest on any Class of Rated Notes will be made until all accrued and unpaid interest on the Rated Notes of eachClass that is Senior to such Class and that remains outstanding has been paid in full. So long as any Coverage Testremains unsatisfied, no payment of principal of any Class of Rated Notes will be made until all principal of, and allaccrued and unpaid interest on, the Rated Notes of each Class that is Senior to such Class and that remainoutstanding have been paid or redeemed in full. See "—Priority of Payments".

Under the terms of the Indenture, the Issuer will grant to the Secured Parties, a perfected security interest inthe Collateral Debt Securities, the Eligible Investments and substantially all of the other assets and property of theIssuer comprising the Collateral to secure the Issuer's obligations under the Rated Notes and as otherwise specifiedby the Indenture. In the Indenture, the Issuer covenants not to issue additional debt or equity securities except theissuance of additional Notes in certain limited circumstances. See "The Indenture and the Income Note Issuing andPaying Agency Agreement —Additional Issuance".

Payments of interest on and principal of the Rated Notes will be made solely from the proceeds of theCollateral in accordance with the Priority of Payments. The aggregate amount that will be available for payments onthe Rated Notes and of certain expenses of the Issuer on any Payment Date will be the sum of (i) the total amount ofpayments and collections in respect of the Collateral (including any payments received under the Hedge Agreementsand the proceeds of the sale of any Collateral) received during the preceding Due Period (excluding CollateralPrincipal Collections used to purchase Substitute Collateral Debt Securities) and (ii) any such amounts received inprior Due Periods that are not disbursed on a previous Payment Date. Following liquidation of the Collateral, to theextent that the proceeds of such liquidation are insufficient to meet payments due in respect of the Rated Notes andexpenses of the Issuer, the obligations of the Issuer to pay such deficiency will be extinguished.

Interest on the Rated Notes

Subject to the availability of funds and to the Priority of Payments, the Rated Notes will bear interest fromthe Closing Date and such interest will be payable quarterly in arrears on the 6th day of March, June, September andDecember, and if such date is not a Business Day, the next Business Day (each, a "Payment Date"), commencingMarch 6, 2006 (the "Initial Payment Date") and ending on the Stated Maturity Date or an earlier Redemption Date.The interest that will be payable on the Rated Notes of each Class on each Payment Date will be the interest that hasaccrued during the related Interest Period on the aggregate Principal Balance of the Outstanding Notes of each Classafter giving effect to the aggregate payments of principal made on all previous Payment Dates in accordance withthe Priority of Payments. Except as otherwise described herein, payments of interest on the Class A-1 Notes will besenior to payments of interest on and principal of the Class A-2 Notes, the Class A-3 Notes, the Class B Notes and

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the Class C Notes and to distributions on the Income Notes; payments of interest on the Class A-2 Notes will besenior to payments of interest on and principal of the Class A-3 Notes, the Class B Notes and the Class C Notes andto distributions on the Income Notes; payments of interest on the Class A-3 Notes will be senior to payments ofinterest 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 CNotes and to payments on the Income Notes; and payments of interest on the Class C Notes will be senior todistributions on the Income Notes.

Periodic Interest on each Class of Rated Notes will accrue with respect to each Interest Period at theApplicable Periodic Interest Rate.

The Note Calculation Agent will, with respect to each Interest Period, determine the Applicable PeriodicInterest 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 RatedNotes, the Issuer will appoint the Trustee as note calculation agent (in such capacity, the "Note Calculation Agent").If the Note Calculation Agent is unable or unwilling to act as such or is removed by the Issuer (which removal shallbe at the sole discretion of the Issuer, subject to the appointment and approval of a successor Note Calculation Agentas set forth in this paragraph), the Issuer (after consultation with the Collateral Manager) will propose a leading bankwhich is engaged in transactions in dollar deposits in the international Eurodollar market and which does not controlor is not controlled by or under common control with the Issuer or any of its Affiliates as a replacement NoteCalculation Agent for approval by Holders of not less than 662/3% of the aggregate Principal Balance of theOutstanding Income Notes. The Note Calculation Agent shall in all cases be a financial institution, subject tosupervision or examination by federal or state authority, having a rating of at least "Baa1" by Moody's and "BBB+"by S&P and having an office within the United States. The Note Calculation Agent may not resign its dutieswithout a successor having been duly appointed.

The Payment Amount for each Class of Rated Notes will be calculated with respect to each such Class forthe relevant Interest Period by multiplying the Applicable Periodic Interest Rate by the principal amount of theOutstanding Rated Notes of the related Class at the close of business on the day immediately preceding the relevantPayment Date, multiplying the resulting figure by the actual number of days in such Interest Period, dividing by 360and rounding the resulting figure to the nearest U.S.$0.01 (U.S.$0.005 being rounded upwards).

LIBOR, for purposes of calculating the Applicable Periodic Interest Rate for the Rated Notes, shall bedetermined by the Note Calculation Agent in accordance with the following provisions:

(i) On the second London Banking Day prior to the commencement of an Interest Period(each such day, a "LIBOR Calculation Date"), LIBOR for such Interest Period shall equal the rate, asobtained by the Note Calculation Agent, for three-month U.S. Dollar deposits which appears on MoneylineTelerate 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 CommoditiesNews.

(ii) If on any LIBOR Calculation Date such rate does not appear on Moneyline TeleratePage 3750, the Note Calculation Agent shall determine the arithmetic mean of the offered quotations of theReference Banks given to leading banks in the London interbank market for three-month U.S. Dollardeposits in an amount determined by the Note Calculation Agent by reference to requests for quotations asof approximately 11:00 a.m. (London time) on the LIBOR Calculation Date made by the Note CalculationAgent to the Reference Banks. If on any LIBOR Calculation Date at least two of the Reference Banksprovide such quotations, LIBOR shall equal such arithmetic mean of such quotations. If on any LIBORCalculation Date only one or none of the Reference Banks provides such quotations, LIBOR shall bedeemed to be the arithmetic mean of the offered quotations that leading banks in The City of New Yorkselected by the Note Calculation Agent (after consultation with the Collateral Manager) are quoting on therelevant LIBOR Calculation Date for three-month U.S. Dollar deposits in an amount determined by theNote Calculation Agent by reference to the principal London offices of leading banks in the Londoninterbank market; provided that if the Note Calculation Agent is required but is unable to determine a rate

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in accordance with at least one of the procedures provided above, LIBOR shall be LIBOR as determined onthe previous LIBOR Calculation Date.

(iii) LIBOR for the first Interest Period will be 4.474%.

As soon as possible after 11:00 a.m. (London time) on each LIBOR Calculation Date, but in no event laterthan 11:00 a.m. (New York time) on the London Banking Day immediately following each LIBOR CalculationDate, the Note Calculation Agent will calculate LIBOR for the next Interest Period and the Payment Amountpayable for such Interest Period in respect of the Outstanding Rated Notes, rounded to the nearest cent, with half acent being rounded upward, on the related Payment Date to be given to the Issuer, the Trustee, the CollateralManager, DTC, the Note Paying Agent and the Irish Paying Agent. The Note Calculation Agent will also specify tothe Issuer and the Collateral Manager the quotations upon which the Applicable Periodic Interest Rate for each Classof Rated Notes is based, and in any event the Note Calculation Agent must notify the Issuer and the CollateralManager before 5:00 p.m. (New York time) on each applicable LIBOR Calculation Date if it has not determined oris not in the process of determining LIBOR with respect to the Rated Notes and the Payment Amount with respect toeach Class of Rated Notes, together with its reasons for the delay.

The Note Calculation Agent will cause the Applicable Periodic Interest Rate and the Payment Amountsapplicable for each Class of Rated Notes to be communicated to the Issuer, the Note Paying Agent, the CollateralManager, the Trustee, DTC and the Irish Paying Agent (so long as any Class of Notes is listed on the Irish StockExchange) by the London Banking Day immediately following each LIBOR Calculation Date. The Irish PayingAgent will cause the Applicable Periodic Interest Rate for each Interest Period for each Class of Notes listed on theIrish Stock Exchange, the amount of interest payable on such Notes and each Payment Date to be delivered to theIrish Stock Exchange.

The determination of the Applicable Periodic Interest Rate and the Payment Amounts applicable for eachClass of Rated Notes by the Note Calculation Agent will (in the absence of manifest error) be final and binding uponall parties.

At any time during which any of the Rated Notes are Outstanding, if any of the Coverage Tests is notsatisfied as of the related Calculation Date, amounts that would otherwise be used (i) for distributions to the Holdersof the Income Notes, (ii) for the payment of certain fees and expenses, (iii) in the case of a failure to satisfy eitherClass A Coverage Test, for interest payments on the Class B Notes and the Class C Notes and (iv) in the case of afailure to satisfy either Class B Coverage Test, for interest payments on the Class C Notes, will instead be applied onthe related Payment Date, to the extent necessary to satisfy such Coverage Test as of such Calculation Date, toprincipal repayments until such Coverage Test is satisfied as of such Calculation Date or the Rated Notes are paid infull.

So long as any Class A Notes are Outstanding, to the extent that funds are not available in accordance withthe Priority of Payments on any Payment Date to pay the full amount of interest on the Class B Notes or the Class CNotes, or if any such interest is not paid in order to satisfy certain Coverage Tests, the amount available will be paidand any unpaid amount of interest will not be due and payable on such Payment Date, but any amount of unpaidinterest for the applicable Interest Period on the Class B Notes or the Class C Notes, as applicable (the "Class BDeferred Interest Amount" and the "Class C Deferred Interest Amount", respectively), will be added to the principalamount of the Class B Notes or the Class C Notes, as the case may be, and paid thereafter in accordance with thePriority of Payments.

So long as any Class A Notes are Outstanding, the failure to pay the Class B Cumulative Deferred InterestAmount or the Class C Cumulative Deferred Interest Amount, as the case may be, will not be an Event of Defaultunder the terms of the Rated Notes. See "The Indenture and the Income Note Issuing and Paying AgencyAgreement—Events of Default". The Class B Cumulative Deferred Interest Amount will accrue interest,compounded quarterly on each Payment Date, at the Class B Note Interest Rate until such Class B CumulativeDeferred 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 inaccordance with the Priority of Payments on any Payment Date to pay the full amount of interest on the Class C

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Notes, or if any such interest is not paid in order to satisfy certain Coverage Tests, the amount available will be paidand any unpaid amount of interest will not be due and payable on such Payment Date, but the Class C DeferredInterest Amount will be added to the principal amount of the Class C Notes and paid thereafter in accordance withthe Priority of Payments. So long as the Class A Notes or Class B Notes are Outstanding, the failure to pay theClass 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 Agreement—Events of Default". The Class CCumulative Deferred Interest Amount will accrue interest, compounded quarterly on each Payment Date, at theClass C Note Interest Rate until such Class C Cumulative Deferred Interest Amount is paid in accordance with thePriority of Payments.

Interest will cease to accrue on each Rated Note or, in the case of a partial repayment, on such part, fromthe date of repayment or the Stated Maturity Date of each Rated Note unless payment of principal is improperlywithheld or unless default otherwise occurs with respect to such payments of principal. See "—Principal of theRated Notes". To the extent lawful and enforceable, interest on Defaulted Interest with respect to any Rated Notewill 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 asdescribed herein.

During the Interest-Only Period, the Collateral Manager may, to the extent that it determines in good faiththat suitable investments in Collateral Debt Securities are not available, designate all or a portion of the CollateralPrincipal Collections available in accordance with the Priority of Payments for the payment of principal on theNotes on any Payment Date.

On each Payment Date after the Interest-Only Period, subject to the Priority of Payments and so long aseach of the Coverage Tests (as described under "Description of the Notes—The Coverage Tests") is satisfied, anamount equal to the lesser of (i) the Collateral Principal Collections and (ii) the amount of funds remaining in theCollection Account (in each case after reduction for any amounts identified for reinvestment pursuant toclause (16)(b)(i) of the Priority of Payments) will be applied to redeem the Rated Notes in accordance with andsubject to the Priority of Payments. At any time during which any of the Coverage Tests are not satisfied, CollateralInterest Collections and, then, Collateral Principal Collections will be applied to pay principal on the Rated Notes inaccordance with the Priority of Payments until either such Coverage Tests are satisfied as of the related CalculationDate or, in certain circumstances as specified in the Priority of Payments, until the Rated Notes are paid in full.

Any payment of principal of the Rated Notes of any Class will be made by the Note Paying Agent on a prorata basis among the Holders of Rated Notes of such Class according to the respective unpaid principal amountsthereof outstanding immediately prior to such payment.

Early Redemption

The Rated Notes will be subject to redemption in whole but not in part at their respective RedemptionPrices in the following circumstances:

(1) on or after the Payment Date occurring in December 2010, at the direction of the Holders of notless than 66⅔% of the aggregate principal amount of the Income Notes (an "Optional Redemption");

(2) (a) on any Payment Date following the occurrence and during the continuation of a Tax Event inan amount satisfying the Tax Materiality Condition, at the direction of the Holders of not less than 66⅔%of the aggregate principal amount of the Income Notes or (b) on any Payment Date on which any Class A-1Notes remain Outstanding and following the occurrence and during the continuation of a Tax Event in anamount satisfying the Tax Materiality Condition, any combination of Tax Events results, in the aggregate,in a current or past payment by, or charge or tax burden to, the Issuer that equals or exceeds the sum of (i)the Income Notes Stated Amount minus the aggregate amount of all distributions on the Income Notes, as

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of the date of determination, and (ii) the Outstanding Principal Balance of the Rated Notes, as of the date ofdetermination, other than the Class A-1 Notes, then at the direction of a majority of the aggregate PrincipalBalance of the Class A-1 Notes (any such redemption, a "Tax Redemption"); and

(3) automatically and without any direction by any person or entity, (i) on or after the earlier of (a) thePayment Date occurring in December 2013 and (b) the Payment Date on which the CDS Principal Balanceis less than or equal to 10% of the CDS Principal Balance as of the Effective Date and (ii) if the RatedNotes have not been redeemed in full on the Payment Date referred to in the foregoing clause (i), on thePayment Date following each Auction Date thereafter (such redemption, an "Auction Call Redemption"), ineach case, in accordance with the procedures, and subject to the satisfaction of the conditions, describedunder "—Redemption Procedures" and "—Auction Call Redemption" below.

Redemption Procedures

In the event of a Redemption, the Trustee will sell Collateral Debt Securities in accordance with theIndenture; provided that (i) sufficient Sale Proceeds must be available from the full liquidation of the Collateral inconnection with any proposed redemption to pay in full the amounts specified under "—Application of Funds UponRedemption;" (ii) all Outstanding Rated Notes must be simultaneously redeemed; (iii) each Hedge Agreement mustbe terminated and any amounts due thereunder paid; (iv) each Synthetic Security must be terminated and anyamounts due by the Issuer thereunder paid out of assets in the applicable Synthetic Security Account (or otherpermitted source); and (v) the Senior Collateral Management Fee and the Subordinate Collateral Management Feeand any expenses or amounts payable by the Issuer pursuant to the Priority of Payments in connection with theRedemption of the Notes must be paid or provided for; and provided, further, that such Sale Proceeds are receivedby the Trustee at least one (1) Business Day prior to the scheduled redemption date and are used, to the extentnecessary, to make such a redemption. The Issuer may not determine to effect a Redemption unless such amountswill be sufficient to pay the Redemption Prices of the Notes and may not determine to effect a redemption upon theoccurrence of a Tax Event unless such amounts will be sufficient to pay principal of and accrued interest on theOutstanding Rated Notes.

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 theNote Register maintained by the Note Registrar in accordance with the provisions of the Indenture and to theCollateral Manager. Notes called for redemption must be surrendered at the office of any paying agent appointedpursuant to the Indenture in order to receive the Redemption Price. The Issuer will also deliver notice of redemptionto the Irish Paying Agent for delivery to the Irish Stock Exchange if and so long as any Class of Notes to beredeemed 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 hasfurnished to the Trustee evidence, in form satisfactory to the Trustee, that the Collateral Manager on behalf of theIssuer has entered into a binding agreement or agreements with an institution or institutions (or guarantor orguarantors 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 isbased 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, inimmediately available funds, all or part of the Collateral Debt Securities at a purchase price at least equal to anamount sufficient, together with the Eligible Investments maturing on or prior to the scheduled redemption date andany termination payments received by the Issuer under any Hedge Agreements on or prior to the scheduledredemption date, to pay all administrative and other fees and expenses, the Collateral Management Fee and any

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other amount payable under "—Application of Funds Upon Redemption", to pay any amounts payable under eachHedge Agreement, if any, and each Synthetic Security, if applicable, and to redeem all of the Notes on the scheduledredemption date at the applicable Redemption Price; or

(ii) prior to selling any Collateral Debt Securities or any other collateral, the Collateral Managercertifies that the expected proceeds from such sale will, in the aggregate, equal or exceed, in each case, the sum of(a) the Redemption Prices of the Notes plus (b) all expenses of such redemption and all other administrative fees andexpenses and other amounts payable on the related Redemption Date.

Any notice of redemption may be withdrawn by the Issuer up to the fourth (4th) Business Day prior to theRedemption Date by written notice to the Trustee, the Collateral Manager and any Hedge Counterparty only if theCollateral Manager is unable to deliver such sale agreement or agreements or certifications, as the case may be, inform satisfactory to the Trustee. Notice of any such withdrawal shall be given by the Trustee to each Rating Agencyand to each Holder of Rated Notes at such Holder's address in the Note Register maintained by the Note Registrar byovernight courier guaranteeing next day delivery (or second (2nd) day delivery outside the United States) sent notlater than the third (3rd) Business Day prior to such Redemption Date. In addition, the Trustee will, if any Class ofNotes to have been redeemed is listed on the Irish Stock Exchange and the rules of such exchange so require, delivera 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 accordancewith the procedures set forth in the Indenture (the "Auction Procedures") and at the expense of the Issuer, conductan auction (an "Auction") of the Collateral Debt Securities 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, providedthat Auctions shall occur not more frequently than on a semi-annual basis. Any of the Collateral Manager, theIncome 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 Securities (or for each of the relatedsubpools) from at least two prospective purchasers (including the winning bidder) identified on a list of qualifiedbidders provided by the Collateral Manager to the Trustee in accordance with the Indenture;

(iii) the Trustee determines that the highest bids would result in the sale of the Collateral DebtSecurities (or the related subpools) for a purchase price (paid in cash) which together with the balance of all EligibleInvestments and cash held by the Issuer will be at least equal to the sum of (a) the aggregate Redemption Prices ofthe Rated Notes plus (b) any accrued but unpaid fees and expenses of the Issuer pursuant to clauses (1) through (3)and clauses (17) through (19) of the Priority of Payments (including any termination payments payable by the Issuerresulting from the termination of the Hedge Agreements pursuant to the Redemption) plus (c) unless the Holders ofnot less than 66⅔% of the aggregate principal amount of the Income Notes have waived payment in full of principalof the Income Notes, and except in connection with a Tax Redemption, an amount equal to (x) the Income NotesStated Amount minus (y) the aggregate amount of all cash distributions on the Income Notes (whether in respect ofdistributions or redemption payments made to the Income Note Issuing and Paying Agent for distribution to theIncome Noteholders) on or prior to the relevant Auction Date; and

(iv) the highest bidder(s) enter(s) into a written agreement with the Issuer (which the Issuer willexecute if the conditions set forth above and in the Indenture are satisfied which execution will constitutecertification by the Issuer that such conditions have been satisfied) that obligates the highest bidder(s) (or the highestbidder for each subpool) to purchase all of the Collateral Debt Securities (or the relevant subpool) and provides forpayment in full (in cash) of the purchase price to the Trustee on or prior to the sixth (6th) Business Day following therelevant Auction Date.

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In the event that all of the conditions set forth in the foregoing clauses (i) through (iv) have been met, theTrustee will sell and transfer the Collateral Debt Securities (or each subpool), without representation, warranty orrecourse, to such highest bidder(s) in accordance with and upon completion of the Auction Procedures. If any of theforegoing conditions are not met with respect to any Auction or if the highest bidder fails to pay the purchase pricebefore the sixth (6th) Business Day following the relevant Auction Date, (i) the Redemption will not occur on thePayment Date following the relevant Auction Date, (ii) the Trustee will give notice of the withdrawal of theRedemption, (iii) subject to clause (iv) below, the Trustee will decline to consummate such sale and may not solicitany further bids or otherwise negotiate any further sale of Collateral Debt Securities in relation to such Auction and(iv) unless the Notes are redeemed in full prior to the next succeeding Auction Date, the Trustee will conductanother Auction on the next succeeding Auction Date.

The Trustee will deposit the purchase price for the Collateral Debt Securities in the Collection Account,and the Rated Notes and, to the extent funds are available therefor, the Income Notes, will be redeemed on thePayment 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 Payment Date.

Mandatory Redemption

If a Rating Confirmation Failure occurs, the Issuer will be required, on the first Payment Date on or afterand on any subsequent Payment Date to the extent that such Rating Confirmation Failure is continuing, to applyCollateral 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, to the repayment of theRated Notes in direct order of seniority, to the extent necessary to obtain a Rating Agency Confirmation from eachRating Agency.

In addition, so long as any Class of Rated Notes is outstanding, if any Coverage Test applicable to a Classof Rated Notes is not satisfied on any Calculation Date, then Collections that would otherwise be used on the relatedPayment Date to make payments in respect of interest on any Class of Rated Notes Subordinate to such Class ofRated Notes and distributions in respect of the Income Notes and certain other expenses will be used instead toredeem (i) first, each Class of Rated Notes Senior to such Class of Rated Notes (if any) in the order of the Priority ofPayments and (ii) second, such Class of Rated Notes, until each applicable Coverage Test is satisfied or such Classof Rated Notes has been paid in full. See "—Priority of Payments".

Income Notes

Status

The Income Notes will be issued pursuant to the Income Note Issuing and Paying Agency Agreement andwill 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 knownor 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 beissued in minimum denominations of U.S.$250,000 and integral multiples of U.S.$1,000 in excess thereof.

Payments

On each Payment Date, to the extent funds are available therefor, Collateral Interest Collections will bereleased from the lien of the Indenture for payment to the Income Note Issuing and Paying Agent only after thepayment of interest on the Rated Notes and, in certain circumstances, principal due in respect of the Rated Notes andthe payment of certain other amounts in accordance with the Priority of Payments. The Stated Maturity Date of theIncome Notes is the Payment Date in December 2045. However, the Income Notes may be paid in full prior to theStated Maturity Date thereof following the Mandatory Redemption, Optional Redemption, Tax Redemption orAuction Call Redemption of the Rated Notes, out of proceeds of the liquidation of the pool of Collateral. Until theRated Notes and certain other amounts have been paid in full, Collateral Principal Collections are not permitted tobe released from the lien of the Indenture and will not be available to make distributions on the Income Notes.

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Optional Redemption

On any Payment Date on or after the Payment Date on which the Rated Notes have been paid in full, theIncome Notes may be redeemed (in whole but not in part) at the direction of the Holders of not less than 66⅔% ofthe aggregate principal amount of the Income Notes (in each case, a "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 arelisted on the Irish Stock Exchange and the rules of the Irish Stock Exchange so require, (i) cause notice of suchIncome Note Optional Redemption to be delivered to the Irish Paying Agent (for delivery to the CompanyAnnouncements Office of the Irish Stock Exchange) not less than ten (10) Business Days prior to date of redemptionand (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 bydelivering a notice of such withdrawal to the Company Announcements Office of the Irish Stock Exchange not lessthan three (3) Business Days prior to the scheduled date of redemption.

Dissolution; Liquidating Distributions

The Issuer's Memorandum and Articles of Association provide that the Issuer will be wound up on theearliest to occur of (i) at any time on or after the date that is one (1) year and two (2) days after the Stated MaturityDate of the Rated Notes, upon the Directors' determination to dissolve the Issuer, (ii) at any time on or after the datethat is one (1) year and two (2) days after the sale or other disposition of all of the Issuer's assets, upon the Directors'determination to dissolve the Issuer, (iii) at any time on or after the date that is one (1) year and two (2) days afterthe Rated Notes are paid in full, upon the Directors' determination to dissolve the Issuer and upon the consent of66⅔% of the aggregate principal amount of the Income Notes, and (iv) on the date of a winding up pursuant to theprovisions of or as contemplated by the Companies Law (2004 Revision) of the Cayman Islands as then in effect.The Directors of the Issuer currently intend, in the event that the Income Notes are not redeemed following therepayment in full of the Rated Notes, to liquidate all of the Issuer's remaining investments in an orderly manner anddistribute the proceeds of such liquidation to the Income Noteholders. However, there can be no assurance that theIncome Notes will be repaid before their Stated Maturity Date.

As soon as practicable following the commencement of the winding up of the Issuer, its affairs will bewound up and its assets sold or distributed. Subject to the terms of the Indenture and Cayman Islands law, the assetsof the Issuer shall be applied in the following order of priority:

(i) first, to pay the costs and expenses of the winding up, liquidation and termination of the Issuer;

(ii) second, to creditors of the Issuer, in the order of priority provided by law, including fees payableto the Collateral Manager, Manx or their respective Affiliates and any accrued fees and expenses payable to theTrustee and the Income Note Issuing and Paying Agent;

(iii) third, to establish reserves adequate to meet any and all contingent, unliquidated liabilities orobligations of the Issuer, provided that at the expiration of a period not exceeding three years after the finalliquidation distribution, the balance of such reserves remaining after the payment of such contingencies or liabilitiesshall be distributed in the manner described herein;

(iv) fourth, to pay the Income Noteholders a sum equal to the aggregate principal amount of theIncome Notes;

(v) fifth, to pay the holders of the Ordinary Shares the nominal amount paid up thereon and the sum ofU.S.$1.00 per ordinary share; and

(vi) sixth, to pay to the Income Noteholders the balance remaining.

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Cancellation

All Notes that are redeemed, repurchased or paid and surrendered (including pursuant to any prepayment)for cancellation as described herein will forthwith be canceled and may not be reissued or resold.

No Gross-Up

All payments of principal and interest in respect of the Rated Notes or distributions in respect of theIncome Notes made by the Issuer will be made free and clear of, and without withholding or deduction for, anyTaxes, unless such withholding or deduction is required by applicable law, as modified by the practice of anyrelevant governmental revenue authority. If the Issuer is so required to deduct or withhold any Taxes frompayments of principal and interest in respect of the Rated Notes or distributions in respect of the Income Notes, thenthe Issuer will make such distributions net of such Taxes and will not be obligated to pay any additional amounts inrespect of such withholding or deduction.

Payments

Payments in respect of principal and interest on a Rated Note or distributions to Holders of Income Noteswill be made to the person in whose name the relevant Note is registered fifteen (15) days prior to the applicablePayment Date. Payments on the Notes will be payable by wire transfer in same day, freely transferable funds to aU.S. Dollar account maintained by DTC or its nominee (in the case of the Global Notes), or to each Holder ofCertificated Notes, to the extent practicable or otherwise by U.S. Dollar check drawn on a bank in the United Statessent by mail either to DTC or its nominee (in the case of the Global Notes), or to each Holder of a Note at suchHolder's address appearing in the applicable register (in the case of any Certificated Notes, Certificated IncomeNotes). Final payments in respect of principal on the Rated Notes will be made only against surrender of the RatedNotes at the office of any note paying agent appointed under the Indenture (each, a "Note Paying Agent"). Finaldistributions on the Income Notes will be made only against surrender of the certificate representing such IncomeNotes at the office of the Income Note Registrar. None of the Issuer, the Trustee and any Note Paying Agent willhave any responsibility or liability for any aspects of the records maintained by DTC or its nominee or any of itsparticipants 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 principalof or interest on any Certificated Note and remaining unclaimed for two years after such principal or interest hasbecome due and payable shall be paid to the Issuer at the request of the Issuer, and the Holder of such CertificatedNote shall thereafter look only to the Issuer as an unsecured general creditor for payment of such amounts and allliability of the Trustee or such Note Paying Agent with respect to such money (but only to the extent of the amountsso paid to the Issuer) shall thereupon cease.

The Issuer expects that DTC or its nominee, upon receipt of any payment of principal or interest ordistributions in respect of Global Notes held by DTC or its nominee, will immediately credit participants' accountswith payments in amounts proportionate to their respective beneficial interests in such Global Notes as shown on therecords of DTC or its nominee. The Issuer also expects that payments by participants to owners of beneficialinterests in such Global Notes held through such participants will be governed by standing instructions andcustomary practices, as is now the case with securities held for the accounts of customers registered in the names ofnominees for such customers. Such payments will be the responsibility of such participants.

The Issuer will inform the Irish Stock Exchange, so long as any of the Notes are listed thereon and the rulesof the Irish Stock Exchange so require, of the principal amounts of the Outstanding Notes following each PaymentDate and if any Class of Notes does not receive scheduled payments of principal or interest on a Payment Date.

For so long as any of the Notes are listed on the Irish Stock Exchange and the rules of such exchange sorequire, the Issuer 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 anytime, by giving at least thirty (30) days' notice to the respective other party.

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Priority of Payments

Unless an Event of Default has occurred and is continuing, on any Payment Date that is not a RedemptionDate, in accordance with a Note Valuation Report prepared by the Issuer as of the last day of the Due Periodpreceding such Payment Date, Collateral Interest Collections and Collateral Principal Collections in the CollectionAccount, will be applied by the Trustee in the following order of priority (the "Priority of Payments"); provided that(i) with respect to clauses (1) through (21) (except as otherwise provided for clauses (8), (13) and (16)) below, suchapplication shall be made, first, from Collateral Interest Collections and then, to the extent Collateral InterestCollections are not sufficient for such payments, from Collateral Principal Collections and (ii) with respect toclause (8) below, such application will be made from Collateral Interest Collections only; with respect to clause (13)below such application will be made from Collateral Principal Collections and then from Collateral InterestCollections; and with respect to clause (16) below, such application will be made from Collateral PrincipalCollections only:

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

(1) to pay, in the following order (a) taxes and filing fees andregistration fees (including, without limitation, annual return fees) payable by theIssuer, if any; and then, in the following order (b) any accrued and unpaid fees due tothe Trustee, the Collateral Administrator, the Income Note Issuing and Paying Agentand the Administrator; and then, (c) the amount of any accrued and unpaid expensesand indemnities due to the Trustee, the Collateral Administrator and the Income NoteIssuing and Paying Agent and, then, (d) the amount of any accrued and unpaidexpenses due to the Administrator and any other Administrative Expenses (includingamounts payable to the Collateral Manager and Manx under the CollateralManagement Agreement and the Manx Agreement, respectively, but excluding theCollateral Management Fee and the Manx Fee); and then (e) to deposit to the ExpenseReserve Account the amount needed to bring the amount on deposit therein toU.S.$50,000; provided that the cumulative amount paid under (b), (c), (d) and (e)(excluding any Administrative Expenses due or accrued with respect to the actionstaken on or prior to the Closing Date and accounting fees that the Trustee is requiredto pay (other than certain accountants' fees related to annual reviews) and amounts theTrustee incurs in connection with any Event of Default and any default of theCollateral Debt Securities) may not, in the aggregate, exceed U.S.$275,000 in anyconsecutive 12-month period;

first, Collateral Interest Collections,then Collateral Principal Collections

(2) to pay pro rata to (i) the Collateral Manager the Senior CollateralManagement Fee with respect to such Payment Date and any Senior CollateralManagement Fee with respect to a previous Payment Date that was not paid on aprevious Payment Date and to the Synthetic Securities Manager, if any, any SyntheticSecurities Management Fee that is pari passu with the Senior Collateral ManagementFee and (ii) Manx the Manx Fee;


(3) to pay each Hedge Counterparty any amounts due to such HedgeCounterparty under any Hedge Agreement, including any termination payments otherthan the termination payments payable under clause (19) below;


(4) to pay the applicable Payment Amount to the Holders of theClass A-1 Notes;



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(7) if either of the Class A Coverage Tests is not satisfied as of thepreceding Calculation Date to pay principal of, first, the Class A-1 Notes, second, theClass A-2 Notes and, third, the Class A-3 Notes, in each case, to the extent necessaryto cause the Class A Coverage Tests to be satisfied on such Payment Date;

Collateral Interest Collections only (8) to pay, from Collateral Interest Collections (if any) only, an amountequal to the Interest Reserve Amount for deposit into the Note Interest ReserveAccount;


(9) to pay the applicable Payment Amount to the Holders of theClass B Notes;


(10) if either of the Class B Coverage Tests is not satisfied as of thepreceding Calculation Date to pay principal of, first, the Class A-1 Notes, second, theClass A-2 Notes, third, the Class A-3 Notes and, fourth, the Class B Notes (includingthe Class B Cumulative Deferred Interest Amount, if any), in each case, to the extentnecessary to cause each of the Class B Coverage Tests to be satisfied on suchPayment Date;


(11) 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 BCoverage Test to fail;


(12) to pay the applicable Payment Amount to the Holders of theClass C Notes;

first, Collateral Principal Collections,then Collateral Interest Collections

(13) if a Rating Confirmation Failure has occurred, on the first PaymentDate on or thereafter and on any subsequent Payment Date to the extent that a RatingConfirmation Failure is continuing, to the payment of principal of, first, the Class A-1Notes, second, the Class A-2 Notes, third, the Class A-3 Notes, fourth, the Class BNotes and, fifth, the Class C Notes to the extent necessary in order to obtain a RatingAgency Confirmation from each Rating Agency with respect to each such Class ofRated Notes;


(14) if either of the Class C Coverage Tests is not satisfied as of thepreceding Calculation Date to pay principal of, first, the Class A-1 Notes, second, theClass A-2 Notes, third, the Class A-3 Notes, fourth, the Class B Notes (including theClass B Cumulative Deferred Interest Amount, if any) and, fifth, the Class C Notes(including the Class C Cumulative Deferred Interest Amount, if any), in each case, tothe extent necessary to cause each of the Class C Coverage Tests to be satisfied onsuch Payment Date;


(15) to pay the Class C Cumulative Deferred Interest Amount, if any;provided that such payment shall not cause any Coverage Test to fail;

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Collateral Principal Collections only (16) (a) on each Payment Date during and to the end of theInterest-Only Period:

(i) at the sole determination of the Collateral Manager, to pay to theCollection Account, to remain available for application to the purchase of SubstituteCollateral Debt Securities (subject to satisfaction of the Reinvestment Criteria), in anamount up to any remaining Collateral Principal Collections; and then

(ii) any remaining amount to pay, in the following order, (A) the principal ofthe Class A-1 Notes until such Class of Notes has been paid in full and then (B) theprincipal of the Class A-2 Notes until such Class of Notes has been paid in full andthen (C) the principal of the Class A-3 Notes until such Class of Notes has been paidin full and then (D) the principal of the Class B Notes until such Class of Notes hasbeen paid in full and then (E) the principal of the Class C Notes until such Class ofNotes has been paid in full;

(b) on each Payment Date following the Interest-Only Period:

(i) at the sole determination of the Collateral Manager, to pay to theCollection Account, to remain available for application to the purchase of SubstituteCollateral Debt Securities (subject to satisfaction of the Reinvestment Criteria) by nolater than the last day of the Due Period relating to the Payment Date immediatelyfollowing such Payment Date, in an amount equal to the lesser of (A) the amount ofthe Collateral Principal Collections received and not subsequently reinvested duringthe related Due Period that represent Sale Proceeds of Credit Risk Securities, CreditImproved Securities and Defaulted Securities and (B) the amount of funds thenremaining in the Collection Account; and then

(ii) any remaining amount to pay, in the following order, (A) the principal ofthe Class A-1 Notes until such Class of Notes has been paid in full and then (B) theprincipal of the Class A-2 Notes until such Class of Notes has been paid in full andthen (C) the principal of the Class A-3 Notes until such Class of Notes has been paidin full and then (D) the principal of the Class B Notes until such Class of Notes hasbeen paid in full and then (E) the principal of the Class C Notes until such Class ofNotes has been paid in full;


(17) to pay to the Collateral Manager the Subordinate CollateralManagement Fee with respect to such Payment Date and any due and unpaidSubordinate Collateral Management Fee with respect to a previous Payment Date thatwas not paid on a previous Payment Date and to the Synthetic Securities Manager, ifany, any Synthetic Securities Management Fee that is pari passu with the SubordinateCollateral Management Fee;

42


(18) to pay, in the following order (i) any accrued and unpaid fees,expenses and indemnities due to the Trustee, the Collateral Administrator, the IncomeNote Issuing and Paying Agent and the Administrator to the extent, in each case, notpaid in full under clause (1) above, and (ii) on a pro rata basis, any accrued andunpaid expenses, indemnities and other liabilities of the Issuer (including suchexpenses, liabilities, indemnities and value added taxes, if any, of the CollateralManager and Manx, but excluding the Incentive Collateral Management Fee) to theextent not paid under clause (1) above, whether as a result of an amount limitationimposed thereunder or otherwise;


(19) to pay pari passu Defaulted Synthetic Termination Payments andtermination payments payable to each Hedge Counterparty upon the termination ofthe related Hedge Agreement, if such termination occurred solely as the result of anevent of default or a termination event with respect to the related Hedge Counterpartyas "defaulting party" or sole "affected party" under the related Hedge Agreement, asthe case may be;


(20) to the payment to the Collateral Manager of the Incentive CollateralManagement Fee (if any) and to the Synthetic Securities Manager, if any, anySynthetic Securities Management Fee that is pari passu with the Incentive CollateralManagement Fee (if any); and


(21) all Excess Funds to the Income Note Issuing and Paying Agent, onbehalf of the Issuer, for distributions on the Income Notes in accordance with theIncome Note Issuing and Paying Agency Agreement.

With respect to principal payments of the Class B Notes and Class C Notes in connection with a mandatoryredemption pursuant to clauses (10), (13) or (14) of the Priority of Payments, payment of principal not constitutingthe Class B Cumulative Deferred Interest Amount shall be paid before principal constituting the Class B CumulativeDeferred Interest Amount, if any, and payment of principal not constituting the Class C Cumulative DeferredInterest 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) theamounts set forth in clauses (1), (2) and (3) of the Priority of Payments, (ii) the Redemption Price of each Class ofRated Notes in accordance with the Priority of Payments and (iii) the amounts (if any) set forth in clauses (17)through (21) of the Priority of Payments.

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, theTrustee will pay, from all collections from, and proceeds of the sale or liquidation of, the Collateral, in the followingorder: (i) amounts corresponding to the amounts set forth in clauses (1), (2) and (3) of the Priority of Payments,(ii) the Periodic Interest on the Class A-1 Notes (including Defaulted Interest on such Class A-1 Notes, if any),(iii) the Periodic Interest on the Class A-2 Notes (including Defaulted Interest on such Class A-2 Notes, if any),(iv) outstanding principal on the Class A-1 Notes until paid in full, (v) outstanding principal on the Class A-2 Notesuntil paid in full, (vi) the Periodic Interest on the Class A-3 Notes (including Defaulted Interest on such Class A-3Notes, if any) and then outstanding principal on the Class A-3 Notes until paid in full, (vii) the Periodic Interest onthe Class B Notes (including Defaulted Interest on the Class B Notes, if any) and then outstanding principal on theClass B Notes (including the Class B Cumulative Deferred Interest Amount, if any) until paid in full, (viii) thePeriodic Interest on the Class C Notes (including Defaulted Interest on the Class C Notes, if any) and then

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outstanding principal on the Class C Notes (including Class C Cumulative Deferred Interest Amount, if any) untilpaid in full and (ix) amounts corresponding to the amounts set forth in clauses (17) through (21) of the Priority ofPayments.

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 notsatisfied as of the related Calculation Date, amounts that would otherwise be used (i) for distributions to the Holdersof the Income Notes, (ii) for the payment of certain fees and expenses, (iii) in the case of a failure to satisfy eitherClass A Coverage Test, for interest payments on the Class B Notes and the Class C Notes and (iv) in the case of afailure to satisfy either Class B Coverage Test, for interest payments on the Class C Notes, will instead be applied onthe related Payment Date, to the extent necessary to satisfy such Coverage Test as of such Calculation Date, toprincipal prepayments of the Rated Notes in accordance with the Priority of Payments on the related Payment Dateuntil such Coverage Test is satisfied as of such 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 ofany date of determination during the period commencing on the Effective Date and extending through the initialPayment Date if the Interest Coverage Ratio for such Class is equal to or exceeds 100.0% and as of any subsequentdate of determination when the Interest Coverage Ratio for such Class is equal to or exceeds the required level setforth below:

Interest Coverage TestRequired InterestCoverage Ratio

Class A Interest Coverage Test ......................................... 110.0%Class B Interest Coverage Test ......................................... 109.0%Class C Interest Coverage Test ......................................... 105.0%

The Principal Coverage Test for the Class A Notes, the Class B Notes or the Class C Notes is satisfied as ofany date of determination during the period commencing on the Effective Date and extending through the initialPayment Date if the Principal Coverage Ratio is equal to or exceeds 100.0% and as of any subsequent date ofdetermination when the Principal Coverage Ratio for such Class is equal to or exceeds the required level set forthbelow:

Principal Coverage TestRequired Principal

Coverage Ratio

Class A Principal Coverage Test....................................... 108.2%Class B Principal Coverage Test....................................... 106.4%Class C Principal Coverage Test....................................... 103.4%

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 ofU.S.$500,000 and integral multiples of U.S.$1,000 in excess thereof. Interests in the Income Notes will be issuedand 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 sold in the United States or to U.S. persons (as defined in Regulation S under theSecurities Act, "U.S. Persons") pursuant to Rule 144A under the Securities Act will be represented by one or morepermanent global certificates in definitive, fully registered form without interest coupons attached (the "Rule 144A

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Global Notes"). The Rule 144A Global Notes will be deposited with the Trustee as custodian for The DepositoryTrust Company ("DTC") 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 inthe form of an interest in a Rule 144A Global Note in accordance with the applicable procedures of DTC (inaddition to procedures and restrictions set forth under the Indenture); provided that (i) any remaining principalamount of the transferor's interest in the Rule 144A Global Note will either equal zero or meet the requiredminimum denominations and (ii) such transfer is made to a U.S. Person that is a Qualified Institutional Buyer withinthe meaning of Rule 144A under the Securities Act and a Qualified Purchaser in a transaction that meets therequirements of Rule 144A under the Securities Act and that the transferee, by purchase of such interest in the Rule144A Global Notes, will be deemed to have made all representations, warranties and acknowledgments applicable totransfers or purchases of an interest in a Rule 144A Global Note described under "Purchase and TransferRestrictions".

All or a portion of an interest in a Rule 144A Global Note may be transferred to a person who takesdelivery of a Restricted Certificated Note in accordance with the applicable procedures of DTC, Clearstream andEuroclear (in addition to the requirements, procedures and restrictions set forth under the Indenture) and only uponreceipt by the Trustee of (i) a written certification from the transferee (each substantially in the form provided in theIndenture) to the effect that, among other things, the transfer is being made to a person that is both an AccreditedInvestor and a Qualified Purchaser in a transaction that is exempt from registration under, or is not subject to, theregistration requirements of the Securities Act, and is only in a denomination greater than or equal to the requiredminimum denominations, and (ii) such other certifications, legal opinions or other information as the Issuer mayreasonably require to confirm that such transfer is being made pursuant to an exemption from, or in a transaction notsubject to, the registration requirements of the Securities Act and in accordance with the requirements describedunder "Purchase and Transfer Restrictions"; provided that any remaining principal amount of the transferor's interestin 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 takingdelivery in the form of an interest in a Regulation S Global Note or exchanged for an interest in a Regulation SGlobal Note, in accordance with the applicable procedures of DTC, Clearstream and Euroclear (in addition to theprocedures and restrictions set forth under the Indenture) and only upon receipt by the Trustee of a writtencertification (i) from the transferee (in the form provided in the Indenture) to the effect that, among other things, thetransferee is not a U.S. Person and that such transfer is being made in an offshore transaction in accordance withRegulation S and in accordance with any applicable securities laws of any state of the United States or any otherjurisdiction and only in a denomination greater than or equal to the required minimum denominations and (ii) fromthe transferor (in the form provided in the Indenture) to the effect that, among other things, the transfer is beingmade to a person whom the transferor reasonably believes is not a U.S. Person and that such transfer is being madein an offshore transaction in accordance with Regulation S and in accordance with any applicable securities laws ofany state of the United States or any other jurisdiction; provided that any remaining principal amount of thetransferor's interest in the Rule 144A Global Note will either equal zero or meet the required minimumdenominations.

Any beneficial interest in a Rule 144A Global Note that is transferred to a person who takes delivery in theform of an interest in a Regulation S Global Note will, upon transfer, cease to be an interest in such Rule 144AGlobal Note and become an interest in the Regulation S Global Note and, accordingly, will thereafter be subject toall transfer restrictions and other procedures applicable to interests in a Regulation S Global Note for as long as itremains such an interest. Any interest in a Rule 144A Global Note that is transferred to a person taking delivery inthe form of a Restricted Certificated Note will, upon transfer, cease to be an interest in such Rule 144A Global Noteand become an interest in a Restricted Certificated Note and, accordingly, will thereafter be subject to all transferrestrictions and other procedures applicable to interests in a Restricted Certificated Note for as long as it remainssuch an interest. No service charge will be made for any registration of transfer or exchange of an interest in a Rule144A Global Note, but the Trustee may require payment of a sum sufficient to cover any tax or other governmentalcharge payable in connection therewith.

Each transferee of a Rule 144A Global Note (or any interest therein) will be deemed to represent at the timeof transfer that: (i) the transferee is a Qualified Institutional Buyer and also a Qualified Purchaser; (ii) the transferee

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is not a dealer described in paragraph (a)(1)(ii) of Rule 144A unless such transferee owns and invests on adiscretionary 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 fundreferred to in paragraph (a)(1)(i)(F) of Rule 144A that holds the assets of such a plan, unless investment decisionswith respect to the plan are made solely by the fiduciary, trustee or sponsor of such plan; and (iv) the transferee willprovide 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, the Issuerdetermines 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, the Issuer may require, by notice to suchHolder, that such Holder sell all of its right, title and interest to such Rule 144A Global Note (or interest therein) to aPerson that is a Qualified Institutional Buyer or Accredited Investor and a Qualified Purchaser, with such sale to beeffected within thirty (30) days after notice of such sale requirement is given. If such beneficial owner fails to effectthe transfer required within such thirty (30) day period, (i) upon direction from the Issuer, the Trustee, on behalf ofand at the expense of the Issuer, shall cause such beneficial owner's interest in such Note to be transferred in acommercially reasonable sale (conducted by the Trustee in accordance with Section 9-610(b) of the UniformCommercial Code as in effect in the State of New York as applied to securities that are sold on a recognized marketor that may decline speedily in value) to a person that certifies to the Trustee and the Issuer, in connection with suchtransfer, 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. Inparticular, each transferee of an interest in a Rule 144A Global Note will also be deemed to have made certainadditional acknowledgments, representations and warranties as provided in the Indenture. See "Purchase andTransfer Restrictions".

Regulation S Global Notes, Regulation S Global Income Notes

The Rated Notes initially sold to persons who are not U.S. Persons (as defined in Regulation S under theSecurities Act) in offshore transactions (as defined in Regulation S) in reliance on Regulation S under the SecuritiesAct will be initially represented by one or more temporary global certificates in definitive, fully registered formwithout interest coupons attached (the "Temporary Regulation S Global Notes"). The Temporary Regulation SGlobal Notes will be deposited with the Trustee acting as custodian for DTC and will be registered in the name ofCede & Co., as nominee of DTC, for the respective accounts of Euroclear and Clearstream. On or after theExchange Date, interests in Temporary Regulation S Global Notes will be exchangeable for interests in one or morepermanent global certificates in definitive, fully registered form without interest coupons attached (the "PermanentRegulation S Global Notes" and, collectively with the Temporary Regulation S Global Notes, the "Regulation SGlobal Notes") upon certification that the beneficial interests in such Temporary Regulation S Global Notes areowned by persons who are not U.S. Persons. On the exchange of a Temporary Regulation S Global Note for aPermanent Regulation S Global Note, the Permanent Regulation S Global Note will be deposited with the Trusteeacting as custodian for DTC and will be registered in the name of Cede, as nominee of DTC, for the respectiveaccounts of Euroclear and Clearstream.

The Income Notes initially sold to persons who are not U.S. Persons (as defined in Regulation S under theSecurities Act) in offshore transactions (as defined in Regulation S) in reliance on Regulation S under the SecuritiesAct will be initially represented by one or more temporary global certificates in definitive, fully registered formwithout interest coupons attached (the "Temporary Regulation S Global Income Notes"). The TemporaryRegulation S Global Income Notes will be deposited with the Trustee acting as custodian for DTC and will beregistered 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 forinterests in one or more permanent global certificates in definitive, fully registered form without interest couponsattached (the "Permanent Regulation S Global Income Notes" and, collectively with the Temporary Regulation SGlobal Income Notes, the "Regulation S Global Income Notes") upon certification that the beneficial interests insuch Temporary Regulation S Global Income Notes are owned by persons who are not U.S. Persons. On theexchange of a Temporary Regulation S Global Income Note for a Permanent Regulation S Global Income Note, thePermanent Regulation S Global Income Note will be deposited with the Income Note Issuing and Paying Agent

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acting as custodian for DTC and will be registered in the name of Cede, as nominee of DTC, for the respectiveaccounts of Euroclear and Clearstream.

Beneficial interests in Regulation S Global Notes or Regulation S Global Income Notes will be subject tocertain restrictions on transfer set forth therein and in the Indenture or the Income Note Issuing and Paying AgencyAgreement (as applicable) as described herein under "Purchase and Transfer Restrictions". Interests in theRegulation 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 betransferred to a person taking delivery in the form of an interest in a Regulation S Global Note or a Regulation SGlobal 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 PayingAgency Agreement); provided that (i) any remaining principal amount of the transferor's interest in the Regulation SGlobal Notes or any remaining amount of the transferor's interest in the Regulation S Global Income Notes willeither equal zero or meet the required minimum denominations and (ii) such transfer is made to a person who is nota U.S. Person in offshore transactions in reliance on an exemption from the registration requirements of theSecurities Act under Regulation S of the Securities Act and that the transferee, by purchase of such interest in suchRegulation S Global Notes or Regulation S Global Income Notes, as applicable, will be deemed to have made allrepresentations, warranties and acknowledgements applicable to transfers or purchases of an interest in aRegulation S Global Note or Regulation S Global Income Note, as applicable, described under "Purchase andTransfer Restrictions". Without limiting any remedies available for any breaches by it of any warranties or otherassurances, the Indenture and the Income Note Issuing and Paying Agency Agreement permits the Issuer to demandthat any person holding Regulation S Global Income Notes (or a beneficial interest therein) who is determined to bea Benefit Plan Investor or a Controlling Person not permitted to acquire or hold such Notes to sell such Regulation SGlobal Income Notes (or a beneficial interest therein) to a person who is not a Benefit Plan Investor or is aControlling Person and who meets all other applicable transfer restrictions and, if such Holder does not comply withsuch 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 persontaking delivery in the form of an interest in a Rule 144A Global Note or exchanged for an interest in a Rule 144AGlobal Note in accordance with the applicable procedures of DTC, Clearstream or Euroclear (in addition to theprocedures and restrictions set forth in the Indenture) upon receipt by the Trustee of a written certification from eachof the transferor and the transferee (in the case of a transfer) or the Holder (in the case of an exchange) in the formprovided 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 tothe required minimum denominations; provided that any remaining principal amount of the transferor's interest inthe 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 takesdelivery of a Restricted Certificated Note in accordance with the applicable procedures of DTC, Clearstream andEuroclear (in addition to the requirements, procedures and restrictions set forth under the Indenture) and only uponreceipt by the Trustee of (i) a written certification from the transferee (each substantially in the form provided in theIndenture) to the effect that, among other things, the transfer is being made to a person that is both an AccreditedInvestor and a Qualified Purchaser in a transaction that is exempt from registration under, or is not subject to, theregistration requirements of the Securities Act, and is only in a denomination greater than or equal to the requiredminimum denominations and (ii) such other certifications, legal opinions or other information as the Issuer mayreasonably require to confirm that such transfer is being made pursuant to an exemption from, or in a transaction notsubject to, the registration requirements of the Securities Act and in accordance with the requirements describedunder "Purchase and Transfer Restrictions"; provided that any remaining principal amount of the transferor's interestin 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 aperson taking delivery in the form of a Certificated Income Note or exchanged for a Certificated Income Note inaccordance with the applicable procedures of DTC, Clearstream and Euroclear (in addition to those in the IncomeNote Issuing and Paying Agency Agreement) upon receipt by the Income Note Issuing and Paying Agent of acertificate from each of the transferor and the transferee in the form provided in the Income Note Issuing and Paying

47

Agency Agreement) to the effect that, among other things, the transfer or exchange is to a person that is both (i)(a) aQualified Institutional Buyer or (b) an Accredited Investor (subject to the delivery of such certifications, legalopinions or other information as the Issuer may reasonably require to confirm that such transfer is being madepursuant 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 minimumdenominations; provided that any remaining interest of the transferor in the Regulation S Global Income Notes willeither 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 aRule 144A Global Note will, upon transfer, cease to be an interest in such Regulation S Global Note and become aninterest in a Rule 144A Global Note and, accordingly, will thereafter be subject to all transfer restrictions and otherprocedures applicable to interests in a Rule 144A Global Note for as long as it remains such an interest. Anyinterest in a Regulation S Global Note that is transferred to a person taking delivery in the form of a RestrictedCertificated Note will, upon transfer, cease to be an interest in such Regulation S Global Note and become aninterest in a Restricted Certificated Note and, accordingly, will thereafter be subject to all transfer restrictions andother 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 aCertificated Income Note will, upon transfer, cease to be an interest in such Regulation S Global Income Note andbecome an interest in a Certificated Income Note and, accordingly, will thereafter be subject to all transferrestrictions and other procedures applicable to interests in a Certificated Income Note for as long as it remains suchan interest. No service charge will be made for any registration of transfer or exchange of an interest in a RegulationS 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 inconnection 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 theIndenture or the Income Note Issuing and Paying Agency Agreement, as the case may be, any interest in aRegulation S Global Note or Regulation S Global Income Note held by such Holder who is determined to be aU.S. Person and, if the Holder does not comply with such demand within thirty (30) days thereof, the Issuer may sellsuch 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 aresubject to certain additional restrictions. In particular, each transferee of an interest in a Regulation S Global Noteor 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 AgencyAgreement. 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,will not receive or be entitled to receive definitive physical certificates and will not be considered "Holders" of suchNotes 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. AHolder of a Certificated Note may transfer or exchange such Certificated Note by surrendering it at the office of anyNote Paying Agent. Upon the transfer, exchange or replacement of Certificated Notes bearing the legend, or uponspecific request for removal of the legend on such Certificated Note, the Issuer will deliver, through the Trustee, anyNote Paying Agent or the Note Transfer Agent, to the Holder or the transferee, as applicable, one or moreCertificated Notes corresponding to the principal amount of Certificated Notes surrendered for transfer, exchange, orreplacement that bear the legend, or will refuse to remove the legend, as the case may be, unless there is delivered tothe Issuer satisfactory evidence, which may include an opinion of counsel reasonably satisfactory to the Issuer thatneither the legend nor the restrictions on transfer set forth therein are required to ensure compliance with theprovisions of the Securities Act or the Investment Company Act. Any Income Notes issued in the form ofCertificated Income Notes and any Rated Notes issued in the form of Restricted Certificated Notes will bear thelegends referred to under "Purchase and Transfer Restrictions" and will be subject to the transfer restrictions referred

48

to in such legends. A description of the rules and procedures applicable to Certificated Income Notes is set forthbelow under "—Certificated Income Notes" and a description of the rules and procedures applicable to theRestricted 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 SecuritiesAct will be issued in the form of definitive physical certificates in fully registered form only (each, a "RestrictedCertificated Note"). The Restricted Certificated Notes will be offered in the United States only to persons who areAccredited Investors (subject to the delivery of such certifications, legal opinions or other information as requiredpursuant to the Indenture or as the Issuer may reasonably require to confirm that such transfer is being madepursuant 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 therequired written certifications to the Trustee and the Issuer from the proposed transferee regarding compliance withapplicable 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) anon-U.S. Person or (ii) both (a) a Qualified Purchaser and (b) a Qualified Institutional Buyer or an AccreditedInvestor at the time of acquisition of such Restricted Certificated Note and, if the Holder does not comply with suchdemand within 30 days thereof, the Issuer may sell such Holder's interest in the Restricted Certificated Note on suchterms 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 anaggregate principal amount equal to any authorized denomination) by surrendering such Restricted CertificatedNotes at the corporate trust office of the Note Registrar (the "Corporate Trust Office"), together with an executedinstrument of assignment and an investor certificate substantially in the form attached to the Indenture. In exchangefor any Restricted Certificated Notes properly presented for transfer with all necessary accompanyingdocumentation, the Trustee will, within five Business Days of such request if made at the Corporate Trust Office ofthe Note Registrar, or within 10 Business Days if made at the office of a transfer agent, deliver at the CorporateTrust Office of the Note Registrar or the office of the transfer agent, as the case may be, to the transferee or send byfirst-class mail at the risk of the transferee to such address as the transferee may request, a Restricted CertificatedNote, for a like aggregate principal amount of Notes as may be requested. The presentation for transfer of anyRestricted Certificated Notes will not be valid unless made at the Corporate Trust Office of the Note Registrar or atthe office of a transfer agent by the registered Holder in person or by a duly authorized attorney-in-fact. Anyexchange or transfer will be in an amount no less than the required minimum denominations and any remainingprincipal amount of the transferor's interest in a Restricted Certificated Note will either equal zero or meet therequired minimum denominations.

All or a portion of an interest in a Restricted Certificated Note may be exchanged for or transferred to aperson taking delivery in the form of an interest in a Rule 144A Global Note; provided that the person taking aninterest in a Rule 144A Global Note is a Qualified Institutional Buyer and a Qualified Purchaser. Any suchexchange or transfer will be reflected upon receipt by the Note Registrar of (i) the Restricted Certificated Note to beexchanged or transferred, properly endorsed for assignment and (ii) a certificate substantially in the form provided inthe Indenture given by the Holder (in the case of an exchange) or by the transferee (in the case of a transfer), and theNote Registrar will cancel the Restricted Certificated Note. Any exchange or transfer will be in an amount no lessthan the required minimum denominations and any remaining principal amount of the transferor's interest in aRestricted 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 aperson taking delivery in the form of an interest in a Regulation S Global Note; provided that the person taking aninterest in a Regulation S Global Note is not a U.S. Person and that such transfer is being made in an offshoretransaction in accordance with Regulation S and in accordance with any applicable securities laws of any state of theUnited States or any other jurisdiction. Any such exchange or transfer will be reflected upon receipt by the Note

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Registrar of (i) the Restricted Certificated Note to be exchanged or transferred, properly endorsed for assignmentand (ii) a certificate substantially in the form provided in the Indenture given by the Holder (in the case of anexchange) or by the transferee (in the case of a transfer), and the Note Registrar will cancel the RestrictedCertificated Note. Any exchange or transfer will be in an amount no less than the required minimum denominationsand any remaining principal amount of the transferor's interest in a Restricted Certificated Note will either equalzero or meet the required minimum denominations.

The Holder of a Restricted Certificated Note will not be required to bear the costs and expenses of effectingany transfer or registration of transfer, except that the relevant Holder will be required to bear (i) the expenses ofdelivery by other than regular mail (if any) and (ii) if the Issuer so requires, the payment of a sum sufficient to coverany duty, stamp tax or governmental charge or insurance charges that may be imposed in relation thereto.

Certificated Income Notes

The Income Notes initially sold or transferred in the United States or to U.S. Persons pursuant to Section4(2) or Rule 144A under the Securities Act will be issued in the form of definitive physical certificates in fullyregistered form only (each, a "Certificated Income Note"). The Certificated Income Notes will be offered in theUnited States only to persons who are (i) Qualified Institutional Buyers in reliance on the exemption fromregistration under the Securities Act provided by Rule 144A thereunder or (ii) Accredited Investors (subject to thedelivery of such certifications, legal opinions or other information as the Issuer may reasonably require to confirmthat such transfer is being made pursuant to an exemption from, or in a transaction not subject to, the registrationrequirements of the Securities Act) in reliance on the exemption from registration under the Securities Act, in eachcase who are also Qualified Purchasers. Transfers of Certificated Income Notes may only be effected by delivery tothe Income Note Issuing and Paying Agent and the Issuer of the required written certifications from the proposedtransferee 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 sellto a Holder permitted under the Income Note Issuing and Paying Agency Agreement, any interest in a CertificatedIncome Note held by such Holder who is determined not to have been either (i) a non-U.S. Person or (ii) both (a) aQualified Purchaser and (b) a Qualified Institutional Buyer or an Accredited Investor at the time of acquisition ofsuch 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.

Subject to the restrictions on transfer set forth in the Income Note Issuing and Paying Agency Agreement,the Certificated Income Notes, Holders of the Certificated Income Notes may transfer or exchange such IncomeNotes in whole or in part (in an aggregate principal amount equal to any authorized denomination) by surrenderingsuch Income Notes at the corporate trust office of the Income Note Issuing and Paying Agent (the "Corporate TrustOffice"), together with an executed instrument of assignment and an investor certificate substantially in the formattached to the Income Note Issuing and Paying Agency Agreement. In exchange for any Certificated Income Notesproperly presented for transfer with all necessary accompanying documentation, the Income Note Issuing andPaying Agent will, within five (5) Business Days of such request if made at the Corporate Trust Office of theIncome 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 agentas the case may be, to the transferee or send by first-class mail at the risk of the transferee to such address as thetransferee may request, a Certificated Income Note for a like aggregate principal amount of Income Notes as may berequested. The presentation for transfer of any Certificated Income Notes will not be valid unless made at theCorporate Trust Office of the Income Note Issuing and Paying Agent or at the office of a transfer agent by theregistered Holder in person or by a duly authorized attorney-in-fact. The Holder of a Certificated Income Note willnot be required to bear the costs and expenses of effecting any transfer or registration of transfer, except that therelevant Holder will be required to bear (i) the expenses of delivery by other than regular mail (if any) and (ii) if theIssuer so requires, the payment of a sum sufficient to cover any duty, stamp tax or governmental charge or insurancecharges that may be imposed in relation thereto.

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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 theNotes represented by such Global Note, and the Issuer will be discharged by payment to, or to the order of, theregistered owner of such Global Note in respect of each amount so paid. No person other than the registered ownerof the relevant Global Note will have any claim against the Issuer in respect of any payment due on that GlobalNote. 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 theIndenture, in the case of the Rated Notes, or the Income Note Issuing and Paying Agency Agreement in the case ofthe Income Notes, with respect to such Global Notes held on their behalf by the Trustee or the Income Note Issuingand Paying Agent, as custodian for DTC, and DTC may be treated by the Issuer, the Trustee, the Initial Purchaser,the Placement Agents and the Income Note Issuing and Paying Agent and any agent of the Issuer, the Trustee, theInitial Purchaser, the Placement Agents or the Income Note Issuing and Paying Agent as the Holder of such GlobalNotes for all purposes whatsoever.

Investors may hold their interests in a Rule 144A Global Note directly through DTC if they are participantsin DTC, or indirectly through organizations which are participants in DTC. Investors may hold their interests in aRegulation S Global Note or a Regulation S Global Income Note directly through Clearstream or Euroclear, if theyare participants in Clearstream or Euroclear, or indirectly through organizations which are participants inClearstream or Euroclear. Clearstream and Euroclear will hold interests in the Regulation S Global Notes and theRegulation S Global Income Notes on behalf of their participants through their respective depositories, which in turnwill hold the interests in such Global Notes in customers' securities accounts in the depositories' names on the booksof DTC. However, if (i) DTC notifies the Trustee or the Income Note Issuing and Paying Agent that it is unwillingor unable to continue as depository for the Global Notes or DTC, Euroclear or Clearstream ceases to be a ClearingAgency registered under the Exchange Act, and a successor depository or clearing agency is not appointed by theTrustee or the Income Note Issuing and Paying Agent within ninety (90) days after receiving such notice or (ii) as aresult of any amendment to or change in the laws or regulations of the Cayman Islands, or of any authority therein orthereof having power to tax, or in the interpretation or administration of such laws or regulations which becomeeffective on or after the Closing Date, the Issuer, the Trustee, the Income Note Issuing and Paying Agent or anyNote Paying Agent becomes aware that it is or will be required to make any deduction or withholding from anypayment in respect of the Global Notes which would not be required if the Global Notes were not represented by aglobal certificate, the Issuer will issue or cause to be issued certificates in the form of definitive physical certificatesin exchange for the applicable Global Notes to the beneficial owners of such Global Notes in the manner set forth inthe Indenture, in the case of the Rated Notes, or the Income Note Issuing and Paying Agency Agreement, in the caseof the Income Notes.

Payments of principal of and interest on a Rule 144A Global Note and a Regulation S Global Note ordistributions made on a Regulation S Global Income Note will be made to DTC or its nominee, as the registeredowner thereof. None of the Issuer, the Trustee, the Income Note Issuing and Paying Agent, any Note Paying Agent,the Initial Purchaser, the Placement Agent, the Collateral Manager, Manx or any of their respective Affiliates willhave any responsibility or liability for any aspect of the records relating to or payments made on account ofbeneficial ownership interests in a Global Note or for maintaining, supervising or reviewing any records relating tothe beneficial ownership interests.

The Issuer expects that DTC or its nominee – upon receipt of any payment of principal or interest in respectof a Rule 144A Global Note or a Regulation S Global Note representing a Note held by it or its nominee – willimmediately credit participants' accounts with payments in amounts proportionate to their respective beneficialinterests in the stated initial principal amount of such Note as shown on the records of DTC or its nominee. TheIssuer expects that DTC or its nominee – upon receipt of any distribution in respect of a Regulation S Global IncomeNote representing an Income Note held by it or its nominee – will immediately credit participants' accounts withpayments in amounts proportionate to their respective beneficial interests in the stated amount of such Income Notesas shown on the records of DTC or its nominee. The Issuer also expects that payments by participants to owners ofbeneficial interests in a Global Note held through the participants will be governed by standing instructions andcustomary practices, as is now the case with securities held for the accounts of customers registered in the names ofnominees for such customers. The payments will be the responsibility of the participants.

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Transfers between participants in DTC will be effected in the ordinary way in accordance with DTC rulesand will be settled in immediately available funds. The laws of some states require that certain persons takephysical delivery of securities in definitive form. Consequently, the ability to transfer beneficial interests in aGlobal Note to these persons may be limited. Because DTC can only act on behalf of participants, who in turn acton behalf of indirect participants and certain banks, the ability of a person holding a beneficial interest in a GlobalNote to pledge its interest to a person or entity that does not participate in the DTC system, or otherwise take actionsin respect of its interest, may be affected by the lack of a physical certificate of the interest. Transfers betweenparticipants in Euroclear and Clearstream will be effected in the ordinary way in accordance with their respectiverules 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 orindirectly through Euroclear or Clearstream participants, on the other, will be effected through DTC in accordancewith DTC rules on behalf of Euroclear or Clearstream, as the case may be, by its respective depository; providedthat these cross-market transactions will require delivery of instructions to Euroclear or Clearstream, as the case maybe, 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 settlementrequirements, deliver instructions to its respective depository to take action to effect final settlement on its behalf bydelivering or receiving interests in a Regulation S Global Note or a Regulation S Global Income Note through DTCand making or receiving payment in accordance with normal procedures for immediately available funds settlementapplicable to DTC. Clearstream participants and Euroclear participants may not deliver instructions directly to thedepositories for Clearstream or Euroclear.

Because of time zone differences, the securities account of a Euroclear or Clearstream participantpurchasing an interest in a Global Note from a DTC participant will be credited during the securities settlementprocessing day (which must be a business day for Euroclear and Clearstream) immediately following the DTCsettlement date and the credit of any transactions in interests in a Global Note settled during the processing day willbe reported to the relevant Euroclear or Clearstream participant on that day. Cash received in Euroclear orClearstream as a result of sales of interests in a Global Note by or through a Euroclear or Clearstream participant toa DTC participant will be received with value on the DTC settlement date but will be available in the relevantEuroclear or Clearstream cash account only as of the business day following settlement through DTC.

DTC has advised the Issuer that it will take any action permitted to be taken by a Holder of the Notes onlyat the direction of one or more participants to whose account with DTC an interest in a Global Note is credited andonly in respect of that portion of the principal amount of the applicable Notes as to which the participant orparticipants has or have given direction.

DTC is a limited purpose trust company organized under the laws of the State of New York, a member ofthe Federal Reserve System, a "clearing corporation" within the meaning of the New York Uniform CommercialCode and a "clearing agency" registered pursuant to the provisions of Section 17A of the Exchange Act. DTC wascreated to hold securities for its participants and facilitate the clearance and settlement of securities transactionsbetween participants through electronic book-entry changes in accounts of its participants, thereby eliminating theneed for physical movement of certificates. Participants include securities brokers and dealers, banks, trustcompanies and clearing corporations and may include certain other organizations. Indirect access to the DTCsystem is also available to others such as banks, brokers, dealers and trust companies that clear through or maintain acustodial relationship with a participant, either directly or indirectly ("indirect participants").

Although DTC, Clearstream and Euroclear have agreed to the foregoing procedures in order to facilitatetransfers of interests in the Global Notes among participants of DTC, Clearstream and Euroclear, they are under noobligation to perform or continue to perform these procedures, and the procedures may be discontinued at any time.None of the Issuer, the Trustee, the Income Note Issuing and Paying Agent and any Note Paying Agent will haveany responsibility for the performance by DTC, Clearstream, Euroclear or their respective participants or indirectparticipants 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 andPaying Agency Agreement, as applicable, will be null and void ab initio and will not be given effect for any purpose

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whatsoever; provided, however, without prejudice to the rights of the Issuer against any beneficial owner orpurported beneficial owner of Notes, nothing in the Indenture, the Notes, the Income Note Issuing and PayingAgency Agreement or the Income Notes, as applicable, will be interpreted to confer on the Issuer, the Trustee or anyPaying Agent any right against Euroclear to require that Euroclear reverse or rescind any trade completed inaccordance 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, lostor stolen, the Issuer, will execute and upon the request of the Issuer 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, datedthe date of its authentication and bearing interest from the date to which interest has been paid on the Rated Note inthe case of the Certificated Note, and entitled to distributions from the date such distributions have been paid in thecase of the Certificated Income Notes, in exchange and substitution for the Certificated Note or Certificated IncomeNote (upon surrender and cancellation thereof), as the case may be, or in lieu of and substitution for suchCertificated Note or Certificated Income Note. In case such Certificated Note or Certificated Income Note isdestroyed, lost or stolen, the applicant for a substitute Certificated Note or Certificated Income Note, as the case maybe, will furnish to the Issuer and the Note Registrar or Income Note Registrar, as applicable, security or indemnity asmay 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 satisfactory evidence of the destruction, loss or theft of such CertificatedNote or Certificated Income Note, as the case may be, and of the ownership thereof. Upon the issuance of any suchCertificated Note or Certificated Income Note, the Issuer may require the payment by the registered Holder thereofof a sum sufficient to cover fees and expenses connected therewith.

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THE INDENTURE AND THE INCOME NOTE ISSUING ANDPAYING AGENCY AGREEMENT

The following summary describes certain provisions of the Indenture and the Income Note Issuing andPaying Agency Agreement. The summary does not purport to be complete and is subject to, and qualified in itsentirety 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 anyinterest on any Class A Note, or if there are no Class A Notes Outstanding, on any Class B Note, or, if thereare no Class A Notes or Class B Notes Outstanding, on any Class C Note (or, in the case of a default inpayment resulting solely from an administrative error or omission by the Trustee, the Administrator, anyNote Paying Agent or the Note Registrar or by any bank or other third party institution involved in respectof 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 any Rated Note (or, inthe 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 partyinstitution involved in respect of such payments or any combination of such parties, such default continuesfor a period of five (5) Business Days after the Trustee is made aware of such administrative error);

(iii) the failure on any Payment Date to disburse amounts available in accordance with thePriority of Payments (except as provided in paragraphs (i) and (ii) above) and a continuation of such failurefor five (5) Business Days (or, in the case of a default in payment resulting solely from an administrativeerror or omission by the Trustee, the Administrator, any Note Paying Agent or the Note Registrar, acontinuation of such failure for a period of seven (7) Business Days after the Trustee is made aware of suchadministrative error);

(iv) either the Issuer or the pool of Collateral becomes an investment company required to beregistered under the Investment Company Act;

(v) a default in the performance, or breach, of any other covenant (it being understood thatnon-compliance with any of the Coverage Tests, the Collateral Quality Tests or the Portfolio PercentageLimitations will not constitute a default or breach) or of any representation or warranty of the Issuer madein the Indenture, or if any certificate or writing delivered pursuant thereto proves to be incorrect whenmade, which default or breach has a material adverse effect on the Rated Noteholders and continues for aperiod of thirty (30) days (or, in the case of default, breach or failure of a representation or warrantyregarding the Collateral, fifteen (15) days) from the earlier of knowledge by the Issuer or the CollateralManager or notice to the Issuer and the Collateral Manager by the Trustee or to the Issuer and the CollateralManager by the Holders of at least 25%, in aggregate Principal Balance, of the Outstanding Rated Notes ofany Class, specifying such default, breach or failure and requiring it to be remedied and stating that suchnotice is a "Notice of Default" under the Indenture;

(vi) certain events of bankruptcy, insolvency or reorganization of the Issuer as set forth in theIndenture; or

(vii) on any Measurement Date, the Class A Principal Coverage Ratio is less than 100%;provided that, for purposes of such calculation, the Principal Coverage Amount shall be determined withoutreference to clauses (a) through (d) of the proviso to the definition thereof.

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If an Event of Default occurs and is continuing, the Trustee will, if so directed by the Holders of a majorityof the Outstanding Notes of the Controlling Class, declare the principal of and accrued interest on all the RatedNotes to be immediately due and payable (except that in the case of an Event of Default described in clause (vi)above, such an acceleration will occur automatically).

If an Event of Default occurs and is continuing when any Class of Rated Notes is Outstanding, the Trusteewill retain the Collateral intact, collect and cause the collection of all proceeds in respect of the Collateral, continuemaking and applying payments and deposits and maintain all accounts in respect of the Collateral and the RatedNotes in accordance with the Indenture unless (i) the Trustee determines (such determinations may be based upon acertificate from the Collateral Manager) that the anticipated proceeds of a sale or liquidation of the Collateral (afterdeducting reasonable expenses relating to such sale or liquidation) would be sufficient to discharge in full theRedemption Prices then due on the Rated Notes, any amounts required to be paid under the Hedge Agreements, allunpaid Administrative Expenses and the Senior Collateral Management Fee and the Subordinate CollateralManagement Fee (to the extent not waived by the Collateral Manager) and the Holders of a majority of theaggregate Principal Balance of the Outstanding Notes of the Controlling Class agree with such determination or(ii) the Holders of at least 66⅔% of the aggregate Principal Balance of the Outstanding Notes of the ControllingClass (and, unless it will be paid in full all amounts owing to it by the Issuer, each Hedge Counterparty and, withrespect to any accrued and unpaid Senior Collateral Management Fee, the Collateral Manager and, with respect toany accrued and unpaid Manx Fee, Manx) direct the sale and liquidation of the Collateral.

The Holders of a majority of the aggregate Principal Balance of the Outstanding Notes of the ControllingClass will have the right to direct the Trustee in writing in the conduct of any proceedings or in the sale of any or allof 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 thelimitations described in the paragraph above) and (ii) the Trustee determines that such action will not involve itincurring any liability (unless the Trustee is indemnified to its satisfaction against any such liability).

The Holders of a majority of the aggregate Principal Balance of the Outstanding Notes of the ControllingClass may, in certain cases, waive any default with respect to such Notes, except (i) a default in the payment, whendue and payable, of any interest on any Rated Note, (ii) a default in the payment of principal on any Note at itsStated Maturity Date or Redemption Date, (iii) the failure on any Payment Date to disburse amounts available in theCollection Account in accordance with the Priority of Payments and continuation of such failure for a period ofseven (7) Business Days (or, in the case of a default in payment resulting solely from an administrative error oromission by the Trustee, the Administrator, any Note Paying Agent or the Note Registrar, such default continues fora period of seven (7) Business Days), (iv) certain events of bankruptcy or insolvency with respect to the Issuer or(v) any provision of the Indenture that cannot be modified or amended without the waiver or consent of the Holderof 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 Notewill 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 adefault in the payment of principal or interest, the Holders of at least 25% of the aggregate Principal Balance of theOutstanding Notes of the Controlling Class have made a written request upon the Trustee to institute suchproceedings in its own name as Trustee and such Holders have offered the Trustee reasonable indemnity, (iii) theTrustee has for thirty (30) days after receipt of notice, request and offer of such indemnity failed to institute any suchproceeding and (iv) no direction inconsistent with such written request has been given to the Trustee during suchthirty (30) day period by the Holders of a majority of the aggregate Principal Balance of the Outstanding Notes ofthe Controlling Class.

During any period following the acceleration of the Notes but prior to the liquidation of the Collateral, anyproceeds (exclusive of interest) realized upon the maturity or payment of Eligible Investments will be reinvested inEligible 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 orconsent, Notes owned by the Issuer or any of its Affiliates 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

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the Collateral Manager will be disregarded in certain circumstances as set forth in the Collateral ManagementAgreement. Any such notice will be deemed to have been given on the fourth (4th) day after the mailing of suchnotice.

Notices

Notices to the Holders of the Notes will be given by first-class mail, postage prepaid, to the registeredHolders of Notes at their addresses appearing in the Note Register. Notices to the Income Noteholders will be givenby first class mail, postage prepaid, to the registered Holders of the Income Notes at their address appearing in theIncome Note Register.

In addition, for so long as any of the Notes are listed on the Irish Stock Exchange and the rules of the IrishStock Exchange so require, notices to the Holders of such Notes will also be published in the Irish Stock Exchange'sDaily Official List.

Modification of the Indenture

Except as provided below, with the written consent of the Holders of at least 66⅔% of the OutstandingRated Notes of each Class (in principal amount) materially and adversely affected thereby and the written consent ofHolders of at least 66⅔% of the aggregate principal amount of the Income Notes (if materially and adverselyaffected thereby), the Trustee and the Issuer may execute a supplemental indenture to add provisions to, or change inany manner or eliminate any provisions of, the Indenture or modify in any manner the rights of the Holders of theRated 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% of the aggregate Principal Balance of each materiallyand adversely affected Class of Rated Notes Outstanding, the consent of Holders of 75% of the aggregate principalamount of Income Notes (if materially and adversely affected thereby), Rating Agency Confirmation (for so long asany Rated Notes are Outstanding) and the consent of each Hedge Counterparty (but only if the right of such HedgeCounterparty to payments in accordance with the Priority of Payments is materially and adversely affected), nosupplemental indenture may (i) change the applicable Stated Maturity Date of the Rated Notes or scheduledredemption of the principal of or the due date of any installment of interest on the Rated Notes, reduce the principalamount thereof or the rate of interest thereon, or the Redemption Price with respect thereto, or change the earliestdate on which Rated Notes may be redeemed, change the provisions of the Indenture relating to the application ofproceeds 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 theright to institute suit for the enforcement of any such payment on or after the Stated Maturity Date thereof (or, in thecase of redemption, on or after the Redemption Date), (ii) reduce the percentage, in principal amount, of Holders ofRated Notes of each Class, or the percentage in aggregate principal amount of Income Notes, whose consent isrequired for the authorization of any supplemental indenture or for any waiver of compliance with certain provisionsof the Indenture or certain defaults thereunder or their consequences, (iii) impair or adversely affect the Collateralexcept as otherwise permitted by the Indenture, (iv) permit the creation of any security interest ranking prior to or ona parity with the security interest of the Indenture with respect to any part of the Collateral or terminate such securityinterest on any property at any time subject thereto (other than in accordance with the Indenture) or deprive theHolder of any Rated Note of the security afforded by the security interest of the Indenture, (v) reduce the percentageof the aggregate Principal Balance of Holders of Outstanding Rated Notes of each Class whose consent is requiredto request the Trustee to preserve the Collateral or rescind the Trustee's election to preserve the Collateral or to sellor liquidate the Collateral pursuant to the Indenture, (vi) modify any of the provisions of the Indenture with respectto supplemental indentures except to increase the percentage of the aggregate Principal Balance of OutstandingRated Notes of each Class whose Holders' consent is required for any such action or to provide that other provisionsof the Indenture cannot be modified or waived without the written consent of the Holders of 75% of the aggregatePrincipal Balance of each affected Class of Rated Notes Outstanding, (vii) modify the definition of the term"Outstanding" or the Priority of Payments set forth in the Indenture, (viii) modify any of the provisions of theIndenture in such a manner as to affect the calculation of the amount of any payment of interest or principal of anyRated Note on any Payment Date or to affect the right of the Holders of Rated Notes to the benefit of any provisionsfor the redemption of such Rated Notes contained therein, (ix) modify provisions related to the bankruptcy orinsolvency of the Issuer or (x) modify provisions stating that the obligations of the Issuer are limited recourse

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obligations of the Issuer payable solely from the Collateral in accordance with the terms of the Indenture (items (i)through (x) 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 Holderof Rated Notes of each Class whose rating will be reduced or withdrawn has, after notice that the proposedsupplemental indenture would result in such reduction or withdrawal of the rating of the Class of Rated Notes heldby such Holder, consented to such supplemental indenture.

The Issuer, the Trustee and the Collateral Manager may also enter into supplemental indentures, withoutobtaining the consent of 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 Issuer with respect to the Rated Notes orthe Indenture, (ii) add to the covenants of the Issuer 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, (v) effect the appointment of a successor Trustee, (v) reduce thepermitted minimum denomination of the Rated Notes, (vi) take any action necessary or advisable to prevent theIssuer, any Note Paying Agent or the Trustee from being subject to withholding or other taxes, fees or assessmentsor to prevent the Issuer from being subject to taxation under the laws of the United Kingdom or from being treatedas engaged in a United States trade or business or otherwise being subjected to U.S. federal, state or local income taxon a net income tax basis; provided that such action will not cause Holders to experience any material change to thetiming, character of source of income from the notes and will not be considered a significant modification resultingin an exchange for purposes of section 1.1001-3 of the U.S. Treasury regulations, (vii) modify the restrictions on andprocedures for resale and other transfers of the Rated Notes in accordance with any change in any applicable law orregulation (or interpretation thereof) or enable the Issuer to rely upon any less restrictive exemption fromregistration under the Securities Act or the Investment Company Act or remove restrictions on resale and transfer tothe extent not required thereunder; (viii) grant, convey, transfer, assign, mortgage or pledge any property to or withthe Trustee in accordance with the Indenture; (ix) correct or amplify the description of any property at any timesubject to the lien of the Indenture, or to better assure, convey and confirm unto the Trustee any property subject tothe lien of the Indenture; (x) make any change required by the stock exchange on which any Class of Rated Notes islisted, if any, in order to permit or maintain such listing; (xi) otherwise correct, amend, cure any ambiguity, defect,manifest error or inconsistency or correct any typographical error in the Indenture; (xii) modify the Indenture toconform to the then current Prospectus for the Rated Notes; (xiii) modify any provision (other than in respect of aReserved Matter) that the Issuer or the Collateral Manager determines to be necessary or desirable in order for theIssuer to maintain any desired exemption from registration of the Issuer under the Investment Company Act or ofthe Notes under the Securities Act; (xiv) with the consent of the Collateral Manager, to modify the calculation of theCollateral Quality Tests and the definitions applicable thereto to correspond with published or written changes in theguidelines, methodology or standards established by the Rating Agencies; or (xv) agree to any modification of theIndenture or any other Transaction Document (other than in respect of a Reserved Matter), which is, in the opinionof the Trustee, proper to make if, in the opinion of the Trustee (based upon an opinion of counsel), suchmodification will not have a material adverse effect on the interests of Holders of any Class or Classes of RatedNotes and which is of a formal, minor or technical nature or is to correct a manifest error; provided that in any suchcase, such supplemental indenture would not cause the then-current rating on the Rated Notes to be reduced orwithdrawn.

The Trustee shall not enter into any supplemental indenture if the interests of any Holder of Rated Notes orthe Income Noteholders would be materially and adversely affected thereby, without first obtaining the consent ofHolders evidencing at least 66⅔% of the aggregate Principal Balance of each affected Class of Notes thenOutstanding. Unless notified by (i) at least 66⅔% of the aggregate Principal Balance of any Class of Rated Notesthen Outstanding that such Class will be materially and adversely affected or (ii) Holders of at least 66⅔% of theaggregate principal amount of Income Notes then Outstanding that the Income Noteholders will be materially andadversely affected, the Trustee shall be entitled to rely upon an opinion of counsel as to whether the interests of anyHolder of Rated Notes or the Income Noteholders would be materially and adversely affected by any suchsupplemental indenture.

The Collateral Manager will not be bound to follow any amendment to the Indenture, until it has receivedwritten notice of such amendment and a copy thereof from the Issuer or the Trustee; provided that the CollateralManager will not be bound by any amendment to the Indenture that affects the rights, powers, duties or obligations

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of the Collateral Manager until the Collateral Manager has consented thereto (which consent will not beunreasonably withheld). The Issuer will not consent to any supplemental indenture that would have a materialadverse effect on any Hedge Counterparty without the consent of such Hedge Counterparty.

Modification of Certain Other Documents

Prior to entering into any amendment to the Administration Agreement, the Collateral ManagementAgreement, the Collateral Administration Agreement, the Synthetic Securities Management Agreement (if any), theAccount Control Agreement or any Hedge Agreement, the Issuer is required by the Indenture to obtain a RatingAgency Confirmation from each Rating Agency. Prior to entering into any waiver in respect of any of the foregoingagreements, 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 Issuer may issue and sell additionalnotes of all existing Classes of Notes and the Issuer will use the proceeds to purchase additional Collateral DebtSecurities and, if applicable, enter into additional Hedge Agreements in connection with the Issuer's issuance of andmaking of payments on, the Notes and ownership and disposition of the Collateral Debt Securities; provided, thatthe following conditions are satisfied (i) such additional issuances may not exceed 100% in the aggregate of theoriginal principal amount of each applicable Class of Notes issued and outstanding on the Closing Date; (ii) suchadditional securities must be issued for a cash sales price (the net sale proceeds to be invested in Collateral DebtSecurities 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 outstandingprincipal amount of each Class issued and outstanding on the Closing Date); (iv) the terms (other than the date ofissuance, the issue price and the date from which interest will accrue) of such Notes must be identical to the terms ofthe Notes of the Class of which such Notes are a part; (v) the ratings on each Class of Notes must at such time be nolower 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-1 Notes (for so long as the Class A-1 Notes are Outstanding)shall have been notified in writing 30 days prior to such issuance and shall have been afforded the first opportunityto purchase additional Income Notes or Class A-1 Notes, as the case may be, in an amount not to exceed thepercentage of the outstanding Income Notes or Class A-1 Notes each Holder held immediately prior to such issuanceof such additional Income Notes or Class A-1 Notes and on the same terms offered to investors generally; (viii) theCollateral Manager shall have consented to such additional issuance; (ix) the Holders of the Income Notes shall havebeen notified in writing 30 days prior to such issuance and a majority of the aggregate Principal Balance of theClass A Notes shall have consented to such issuance; (x) an opinion of counsel must be delivered to the Trustee tothe effect that neither the Issuer nor the pool of Collateral (or any part thereof) will be required, as a result of suchissuance, to be registered as an investment company under the Investment Company Act, and that (a) such additionalissuance 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 orexchanged such Notes under Section 1001 of the Code, (c) any such additional Class A Notes, Class B Notes andClass C Notes shall be accorded the same tax characterization for U.S. federal income tax purposes as the originalnotes and securities and (d) any such additional Class A Notes, Class B Notes and Class C Notes, respectively, willbe part of the same issue as the original Class A Notes, Class B Notes and Class C Notes, respectively, for purposesof Sections 1271 through 1275 of the Code and the regulations promulgated thereunder; and (xi) the Issuer shallhave delivered an Officer's Certificate to the Trustee confirming that the conditions precedent contained in clauses(i) – (x) 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 acondition to acquiring the Ordinary Shares, will be required to covenant that, except under the limited circumstancesset forth in the Indenture, they will not permit the Issuer to consolidate with, merge into, or transfer or convey all orsubstantially all of its assets to, any other corporation, partnership, trust or other person or other entity.

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No Petition for Bankruptcy

The Indenture and the Income Note Issuing and Paying Agency Agreement will provide that, except withrespect to the institution of proceedings following an Event of Default as described herein, none of the Trustee, thePaying Agents, the Transfer Agents, the Note Registrar, the Income Note Registrar, the Holders of Rated Notes, theHolders of Income Notes and the holders of the Ordinary Shares or any other equity in the Issuer may cause theIssuer to petition for bankruptcy before one (1) year and one (1) day or, if longer, the applicable preference periodthen in effect, have elapsed since the final payments to the Holders of any Class of Rated Notes. The shareholdersof the Issuer may voluntarily wind up the Issuer only by special resolution of the Ordinary Shares (being a resolutionpassed by a majority of at least 75% of the Ordinary Shares present and entitled to vote at a general meeting of theIssuer). The Share Trustee, as registered holder of the Ordinary Shares under a declaration of trust, has covenantednot to exercise the votes attaching to the Ordinary Shares to wind up the Issuer before one (1) year and one (1) dayor, if longer, the applicable preference period then in effect, after all Rated Notes have ceased to be Outstanding andthe directors of the Issuer have confirmed to the Share Trustee that the Issuer does not intend to issue any additionalNotes.

Trustee

Wachovia Bank, National Association will be appointed as the Trustee for the Holders of the Rated Notespursuant to the Indenture. The Issuer and its Affiliates may maintain other banking relationships in the ordinarycourse of business with the Trustee. The payment of the fees and expenses of the Trustee is solely the obligation ofthe Issuer. The Trustee will be obligated to act for the benefit of the Secured Parties pursuant to the terms of theIndenture. 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 thedisposition and liquidation of the assets of the Issuer, in accordance with the directions delivered pursuant to theIndenture. The Trustee and its Affiliates may receive compensation in connection with the investment of assets ofthe Issuer in certain Eligible Investments as provided in the Indenture. Eligible Investments may includeinvestments 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 expenseincurred without negligence, willful misconduct or bad faith on its part, arising out of or in connection with theacceptance or administration of the Indenture.

Under the Indenture, the Trustee may be removed by the Holders of at least 66⅔% of each Class of RatedNotes (in principal amount). The Trustee may resign at any time upon thirty (30) days' written notice to the Issuer.The removal or resignation of the Trustee will not be effective until a successor trustee has been appointed by theIssuer and approved by written consent of the Holders of a majority of the Outstanding Notes of the ControllingClass. In the case of the resignation of the Trustee, if no successor trustee has been appointed within thirty (30) daysafter the expiration of the Trustee's thirty (30) day notice period to the Issuer, the Trustee or any Holder of RatedNotes 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, orany Person resulting from any merger, conversion or consolidation to which the Trustee shall be a party, or anyPerson succeeding to all or substantially all of the corporate trust business of the Trustee, shall be the successor ofthe Trustee under the Indenture, without the execution or filing of any paper or any further act on the part of any ofthe parties hereto; provided such Person shall be otherwise qualified and eligible pursuant to the Indenture. Thesuccessor Trustee will notify the Collateral Manager and each Rating Agency of any such merger, conversion orconsolidation. In case any of the Rated Notes have been authenticated, but not delivered, by the Trustee then inoffice, any successor by merger, conversion or consolidation to such authenticating Trustee may adopt suchauthentication and deliver the Rated Notes so authenticated with the same effect as if such successor Trustee haditself authenticated such Rated Notes.

Wachovia Corporation has announced that it has entered into a definitive agreement to sell its corporatetrust and structured finance trust services businesses to U.S. Bank National Association. Wachovia Corporation hasstated that it expects the transaction to close in the fourth quarter of 2005. Following completion of the transaction,Wachovia Bank, National Association has stated that it will continue in the roles of Trustee, Collateral

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Administrator, Accountholder and Income Note Issuing and Paying Agent until such time as U.S. Bank NationalAssociation succeeds to such roles in accordance with the terms of the related Transaction Documents andapplicable law.

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 tothe Transaction Documents. The Indenture provides that 66⅔% in aggregate principal amount of the Income Notesis entitled to exercise the Optional Redemption in accordance with the procedures, and subject to satisfaction of allof the conditions, described under "Description of the Notes—Rated Notes—Redemption Procedures". The IncomeNote Issuing and Paying Agency Agreement provides that no amendment, modification or supplement may be madeto the Income Note Issuing and Paying Agency Agreement if such amendment, modification or supplement wouldadversely affect the rights or interests of the Holders of the Income Notes, without first obtaining the consent ofHolders evidencing 66⅔% of the aggregate principal amount of the Income Notes. However, the Holders of IncomeNotes will not have any voting, approval or consent right with respect to the Issuer amending any TransactionDocuments to amend the terms thereof for the purpose of facilitating compliance by the Issuer with a more favorableexemption from registration under the Investment Company Act. Approval of the Holders evidencing 66⅔% of theaggregate principal amount of the Income Notes is required for the Issuer to remove the Income Note Issuing andPaying 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 ManagementAgreement".

Income Note Issuing and Paying Agency Agreement

Pursuant to the Income Note Issuing and Paying Agency Agreement, the Income Note Issuing and PayingAgent will perform various fiscal services on behalf of the Holders of the Income Notes. The payment of the feesand expenses of the Income Note Issuing and Paying Agent is solely the obligation of the Issuer. The Income NoteIssuing and Paying Agency Agreement contains provisions for the indemnification of the Income Note Issuing andPaying Agent for any loss, liability or expense incurred without gross negligence, willful misconduct or bad faith onits part, arising out of or in connection with the acceptance or administration of the Income Note Issuing and PayingAgency Agreement.

Governing Law

Each of the Notes, the Indenture, the Account Control Agreement and the Income Note Issuing and PayingAgency 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 AgencyAgreement, the Issuer irrevocably submits to the non-exclusive jurisdiction of any New York State or Federal courtsitting in the Borough of Manhattan in The City of New York in any action or proceeding arising out of or relatingto the Notes, the Indenture or the Account Control Agreement, and the Issuer irrevocably agrees that all claims inrespect of such action or proceeding may be heard and determined in such New York State or Federal court.

Reports

The Issuer (with the assistance of the Collateral Administrator) will prepare or cause to be prepared (i) a"Monthly Report", determined as of the related Measurement Date, and (ii) a "Note Valuation Report", determinedas of each Calculation Date, and the Issuer will deliver or cause the Monthly Report and the Note Valuation Reportto be delivered or made available to each of the Trustee, the Hedge Counterparties, the Note Paying Agent, theIncome Note Issuing and Paying Agent, the Collateral Manager, Manx, each Rating Agency (so long as any RatedNotes are rated by such Rating Agency), the Initial Purchaser and the Note Paying Agent (accompanied by a requestthat it be transmitted or made available to the Holders of Notes (or any beneficial owner of a Note that has providedthe required beneficial owner certification) on the books of the Note Paying Agent) by no later than the close ofbusiness on (x) the eighth (8th) calendar day of each month, or if such day is not a Business Day, the next BusinessDay (in the case of Monthly Reports) and (y) the related Payment Date (in the case of Note Valuation Reports).

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Each Monthly Report will provide certain information relating to the Collateral Debt Securities, calculations of theCollateral Quality Tests and information relating to each Hedge Counterparty. Each Note Valuation Report willprovide certain information, including information regarding the characteristics of the Collateral Debt Securitiesincluded in the Collateral (individually and collectively), the payments due as of such Payment Date, accountinformation and information regarding the Coverage Tests. As set forth in the Indenture, the Trustee will supply, ina timely fashion, to the Issuer, the Hedge Counterparties, the Initial Purchaser, the Income Note Issuing and PayingAgent, each Rating Agency (so long as any Rated Notes are rated by such Rating Agency), the Placement Agent,Manx and the Collateral Manager any information relating to the Collateral or the Accounts regularly maintained bythe Trustee that each such Person may from time to time request in order to verify the information contained in theNote Valuation Report.

The Trustee will make such reports available via its internet website initially located atwww.firstlinkabs.com, which does not form part of this Prospectus. All information made available on the Trustee'swebsite 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 adisclaimer. The Trustee shall have the right to change the way such information is distributed to Holders of Notes inorder to make such distribution more convenient or accessible to recipients, and the Trustee will provide timely andadequate notification to all recipients regarding any such change.

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SECURITY FOR THE RATED NOTES

Acquisitions of Collateral Debt Securities

General

Net proceeds of the issuance of the Notes will be used by the Issuer on the Closing Date to purchase adiversified portfolio of Asset-Backed Securities (listed in Annex B attached hereto) previously selected by theCollateral Manager and after the Closing Date to purchase additional Collateral Debt Securities prior to the EffectiveDate in accordance with the investment criteria described herein. During the Interest-Only Period, CollateralPrincipal Collections (including Sale Proceeds) may be reinvested in Substitute Collateral Debt Securities if theReinvestment Criteria are satisfied.

The Collateral will be subject to a security interest created under the Indenture. The composition of theCollateral Debt Securities will be determined by the selections of the Collateral Manager and will be required tosatisfy (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 Security acquired on orafter the Closing Date, and each additional Collateral Debt Security acquired during the period from the ClosingDate until the Effective Date, is required to satisfy the Eligibility Criteria; and each Substitute Collateral DebtSecurity acquired after the Closing Date is required to satisfy the Reinvestment Criteria, as applicable.

It is anticipated that, on the Closing Date, the Issuer will have purchased or entered into agreements topurchase for settlement following the Closing Date, Collateral Debt Securities having an aggregate PrincipalBalance of not less than U.S.$449,000,000.

After the Closing Date, the Issuer is required to use commercially reasonable efforts to apply UninvestedProceeds to purchase additional Collateral Debt Securities such that, no later than the Effective Date, the Issuer willhave purchased, or entered into agreements to purchase for settlement following the Effective Date, Collateral DebtSecurities (including Collateral Debt Securities acquired by the Issuer on the Closing Date) having an aggregatePrincipal Balance of not less than the Aggregate Effective Date Par Amount.

Closing Date

The Collateral Manager expects that, by the Closing Date, the Issuer will have purchased, or will haveentered into agreements to purchase, approximately 90.0% (by aggregate Principal Balance) of the Collateral DebtSecurities. The remaining 10.0% is expected to be purchased during the period from the Closing Date until theEffective Date. A list of the Collateral Debt Securities expected to be acquired by the Issuer on the Closing Date isattached as Annex B to this Prospectus. The prices paid for such Collateral Debt Securities at settlement on theClosing Date will be the value (in some cases, net of any hedging costs and expenses) on the dates the Issuer enteredinto its commitments to purchase and/or the date such Collateral Debt Securities were acquired by Citigroup (at thedirection of the Collateral Manager) with the intention of transferring such Collateral Debt Securities to the Issuer,and such values may be greater or less than the market values on the Closing Date. Under the CollateralManagement Agreement, the Collateral Manager is required to represent to the Issuer that as of the Closing Date thedebt obligations included in the Collateral meet each of the Eligibility Criteria.

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 anyof the specified Coverage Tests, Collateral Quality Tests or Portfolio Percentage Limitations as of the Effective Datedoes 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".

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Substitute Collateral Debt Securities and Reinvestment Criteria

Sale of Collateral Debt Securities

The Collateral Debt Securities may be retired prior to their respective final maturities due to, among otherthings, the existence and frequency of exercise of any optional redemption or principal prepayment features of suchCollateral Debt Securities. In addition, pursuant to the Indenture, the Collateral Manager may direct the Trustee tosell any Credit Risk Security, Credit Improved Security, Defaulted Security or Equity Security as further describedbelow under " —Sale of Defaulted Securities, Equity Securities, Credit Improved Securities, Credit Risk Securitiesand Other Collateral Debt Securities".

Sale of Defaulted Securities, Equity Securities, Credit Improved Securities, Credit Risk Securities andOther Collateral Debt Securities

The sale of Defaulted Securities, Equity Securities, Credit Risk Securities and Credit Improved Securitiesmay occur at any time. Subject to the limitations set forth herein, the Collateral Manager may also direct the sale ofother Collateral Debt Securities from time to time during the Interest-Only Period. Notwithstanding any otherprovision to the contrary contained herein, if the Issuer enters into a Synthetic Securities Management Agreement,any actions taken on the part of the Issuer with respect to the acquisition, holding or disposition and reinvestment ofproceeds from any Synthetic Security shall be determined by the Synthetic Securities Manager separately fromactions taken by the Collateral Manager with respect to other Collateral Debt Securities.

Sale and Substitution of Defaulted Securities. At any time, the Collateral Manager may direct the sale ofany Defaulted Security. During the Interest-Only Period and subject to the Collateral Manager's discretion to repaythe Rated Notes in accordance with clause (16)(a) of the Priority of Payments, the Collateral Manager will usecommercially reasonable efforts to purchase, within ninety (90) days, one or more Substitute Collateral DebtSecurities with an Aggregate Principal Balance at least equal to the Sale Proceeds from such sale, in compliancewith the Reinvestment Criteria; provided that after giving effect to such sale and after giving effect to the acquisitionof any Substitute Collateral Debt Securities, the Issuer must satisfy each of the Coverage Tests. Following theInterest-Only Period and subject to the Collateral Manager's discretion to repay the Rated Notes in accordance withclause (16)(b) of the Priority of Payments, Sale Proceeds from the disposition of Defaulted Securities may bereinvested in Substitute Collateral Debt Securities if after such reinvestment (which shall be deemed to occur on thedate on which the Issuer enters into commitments to purchase such Substitute Collateral Debt Securities) theReinvestment Criteria are satisfied; provided that (w) the Moody's Rating and the S&P Rating of any such SubstituteCollateral Debt Securities shall be at least equal to the Moody's Rating and the S&P Rating of the DefaultedSecurities being sold, (x) the expected maturity of any such Substitute Collateral Debt Securities shall be the same orearlier than the expected maturity of the Defaulted Securities being sold, (y) after giving effect to such sale and aftergiving effect to the acquisition of any Substitute Collateral Debt Securities, the Issuer must satisfy each of theCoverage Tests and (z) the Rating Agencies shall not have (A) withdrawn or reduced the ratings assigned on theClosing Date to any Class A Notes or (B) withdrawn or reduced the ratings assigned on the Closing Date to anyClass B Notes or Class C Notes by more than one notch.

Sale and Substitution of Equity Securities and Margin Stock. At any time, the Collateral Manager maydirect the sale of any Equity Security. During the Interest-Only Period and subject to the Collateral Manager'sdiscretion to repay the Rated Notes in accordance with clause (16)(a) of the Priority of Payments, the CollateralManager will use commercially reasonable efforts to purchase, within ninety (90) days, one or more SubstituteCollateral Debt Securities with an Aggregate Principal Balance at least equal to the Sale Proceeds from such sale, incompliance with the Reinvestment Criteria; provided, that after the Interest-Only Period, no Sale Proceeds of anEquity Security will be used to purchase any Substitute Collateral Debt Securities (except to the extent of any suchSale 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 theCollateral Manager's reasonable business judgment, but in any event within one year from the later of theiracquisition and the date when they are legally permitted to be sold. Any Margin Stock acquired by the Issuer shallbe sold not later than 45 days after the Issuer's acquisition of such Margin Stock or the date upon which suchCollateral Debt Security became Margin Stock. These limits and time periods may be extended subject to obtainingRating Agency Confirmation. Notwithstanding the foregoing, Equity Securities that are received upon the exercise

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of convertible bonds or that do not satisfy clauses (v), (vi) and (xv) of the Eligibility Criteria must be sold withinfive (5) Business Days of receipt (or within five (5) Business Days of such later date as such Equity Security mayfirst be sold in accordance with its terms and applicable law). Further, any Deliverable Obligation that does notsatisfy clauses (vi) and (xv) of the Eligibility Criteria must be sold promptly after receipt (or within five (5) BusinessDays of such later date as such Deliverable Obligation may first be sold in accordance with its terms and applicablelaw), and any Deliverable Obligation that does not satisfy clause (v) of the Eligibility Criteria shall be treated as aTaxed Collateral Debt Security.

Sale and Substitution of Credit Risk Securities. At any time, the Collateral Manager may direct the sale ofany Credit Risk Security. During the Interest-Only Period and subject to the Collateral Manager's discretion torepay the Rated Notes in accordance with clause (16)(a) of the Priority of Payments, the Collateral Manager will usecommercially reasonable efforts to purchase, within ninety (90) days, one or more Substitute Collateral DebtSecurities with an Aggregate Principal Balance at least equal to the Sale Proceeds from such sale, in compliancewith the Reinvestment Criteria (except in respect of the S&P CDO Monitor Test). Following the Interest-OnlyPeriod and subject to the Collateral Manager's discretion to repay the Rated Notes in accordance with clause (16)(b)of the Priority of Payments, Sale Proceeds from the disposition of Credit Risk Securities may be reinvested inSubstitute Debt Securities if after such reinvestment (which shall be deemed to occur on the date on which the Issuerenters into commitments to purchase such Substitute Collateral Debt Securities) the Reinvestment Criteria issatisfied, provided that (w) the Moody's Rating and the S&P Rating of any such Substitute Collateral Debt Securitiesshall be at least equal to the Moody's Rating and the S&P Rating of the Credit Risk Security being sold, (x) theexpected maturity of any such Substitute Collateral Debt Securities shall be the same or earlier than the expectedmaturity of the Credit Risk Security being sold, (y) after giving effect to such sale and after giving effect to theacquisition of any Substitute Collateral Debt Securities, the Issuer must satisfy each of the Interest Coverage Testsand (z) the Rating Agencies shall not have (A) withdrawn or reduced the ratings assigned on the Closing Date to anyClass A Notes or (B) withdrawn or reduced the ratings assigned on the Closing Date to any Class B Notes or ClassC Notes by more than one notch.

Sale and Substitution of Credit Improved Securities. At any time, the Collateral Manager may direct thesale of any Credit Improved Security. During the Interest-Only Period and subject to the Collateral Manager'sdiscretion to repay the Rated Notes in accordance with clause (16)(a) of the Priority of Payments, the CollateralManager acting on behalf of the Issuer shall use commercially reasonable efforts to purchase, within ninety (90)days, one or more Substitute Collateral Debt Securities with an Aggregate Principal Balance at least equal to theSale Proceeds from such sale, in compliance with the Reinvestment Criteria; provided, that, if the PrincipalCoverage Amount is less than the Aggregate Effective Date Par Amount, any Substitute Collateral Debt Securitiespurchased with Sale Proceeds from any sale of Credit Improved Securities shall have an Aggregate PrincipalBalance greater than or equal to the Aggregate Principal Balance of the Credit Improved Securities that were sold.Following the Interest-Only Period and subject to the Collateral Manager's discretion to repay the Rated Notes inaccordance with clause (16)(b) of the Priority of Payments, Sale Proceeds from the disposition of Credit ImprovedSecurities may be reinvested in Substitute Debt Securities if after such reinvestment (which shall be deemed to occuron the date on which the Issuer enters into commitments to purchase such Substitute Collateral Debt Securities) theReinvestment Criteria is satisfied, provided that (w) the Moody's Rating and the S&P Rating of any such SubstituteCollateral Debt Securities shall be at least equal to the Moody's Rating and the S&P Rating of the Credit ImprovedSecurities being sold, (x) the expected maturity of any such Substitute Collateral Debt Securities shall be the same orearlier than the expected maturity of the Credit Improved Securities being sold, (y) after giving effect to such saleand after giving effect to the acquisition of any Substitute Collateral Debt Securities, the Issuer must satisfy each ofthe Coverage Tests and (z) the Rating Agencies shall not have (A) withdrawn or reduced the ratings assigned on theClosing Date to any Class A Notes or (B) withdrawn or reduced the ratings assigned on the Closing Date to anyClass B Notes or Class C Notes by more than one notch.

Reinvestment Criteria

During the Interest-Only Period, Collateral Principal Collections (including Sale Proceeds) and, as and tothe extent provided herein after the Interest-Only Period, Sale Proceeds of Defaulted Securities, Credit RiskSecurities and Credit Improved Securities may be reinvested in Substitute Collateral Debt Securities if after suchreinvestment (which shall be deemed to be the date on which the Issuer enters into commitments to purchase suchSubstitute Collateral Debt Securities), either (i) the Collateral Quality Tests, the Portfolio Percentage Limitations

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and the Coverage Tests are satisfied, or (ii) (x) if immediately prior to giving effect to such purchase, any of theCollateral Quality Tests, the Portfolio Percentage Limitations and the Coverage Tests was not satisfied, none of suchCollateral Quality Tests, Portfolio Percentage Limitations or Coverage Tests that was not satisfied shall be madeworse after giving effect to such proposed purchase and (y) none of the Collateral Quality Tests, PortfolioPercentage Limitations or Coverage Tests that were satisfied immediately prior to giving effect to such purchaseshall fail to be satisfied after giving effect to such purchase ((i) or (ii) as applicable, the "Reinvestment Criteria").

For the purpose of the Reinvestment Criteria, the assessment of whether compliance with any PortfolioPercentage Limitation, Collateral Quality Test or Coverage Test is maintained or improved as the result of thereinvestment of any Sale Proceeds (other than Sale Proceeds generated by the sale of a Defaulted Obligation orCredit Risk Obligation) shall be based upon the Portfolio Percentage Limitations, Collateral Quality Test orCoverage Test, as applicable, immediately prior to the sale transaction that generated such Sale Proceeds. Indetermining whether the Reinvestment Criteria will be satisfied by the purchase of any additional Collateral DebtSecurity, the Collateral Manager will apply the Portfolio Percentage Limitations and the Collateral Quality Tests to(i) the portfolio of Collateral Debt Securities prior to such purchase, as if any such Collateral Debt Security whichhas been sold or prepaid but not replaced were deemed to remain in the portfolio of Collateral Debt Securities and(ii) the portfolio of Collateral Debt Securities as if such purchase had been made with the proposed additionalCollateral Debt Security being treated as replacing the same principal amount of any Collateral Debt Security thathas been sold or prepaid as the Collateral Manager may in its discretion select, with any other Collateral DebtSecurity that has been sold or prepaid but not replaced being deemed to remain in the portfolio of Collateral DebtSecurities.

If the Issuer has previously entered into a commitment to acquire an obligation or security in order to beacquired for inclusion in the Collateral, then the Issuer must comply with each of the Reinvestment Criteria on thedate on which the Issuer entered into such commitment, and need not comply with the Reinvestment Criteria withrespect to such obligation or security on the date of acquisition.

Any and all sales of Collateral Debt Securities and reinvestments of Sale Proceeds in Substitute CollateralDebt Securities shall be conducted on an "arm's length" basis, and the Collateral Manager shall seek the best priceand execution in accordance with the Collateral Management Agreement.

No purchase of Collateral Debt Securities may be made unless certain procedures relating to the perfectionof the Trustee's security interest in the Substitute Collateral Debt Securities have taken place and no Event ofDefault shall have occurred and be continuing. Measurement of the degree of compliance with the ReinvestmentCriteria will be required on any Measurement Date.

Discretionary Sales

In addition to the sale and reinvestment of Defaulted Securities, Equity Securities, Credit ImprovedSecurities and Credit Risk Securities as provided herein, so long as (a) no Event of Default under the Indenture hasoccurred and is continuing, and (b) Moody's has not withdrawn or reduced its (i) long-term ratings of any Class ANotes by one or more rating subcategory since the Closing Date (unless it subsequently has been upgraded orreinstated to at least the rating assigned on the Closing Date) or (ii) long term ratings of any Class B Notes orClass C Notes by two or more rating subcategories since the Closing Date (unless it subsequently has been upgradedor reinstated to at least one rating subcategory below the rating assigned on the Closing Date), the CollateralManager may direct the disposition of any Collateral Debt Security during the Interest Only Period that is not aDefaulted Security, Equity Security, Credit Risk Security or Credit Improved Security so long as (x) the AggregatePrincipal Balance of all such Collateral Debt Securities sold (excluding any required sales of Taxed Collateral DebtSecurities, Margin Stock, Equity Securities and Deliverable Obligations that do not satisfy clause (v) of theEligibility Criteria) during any calendar year does not exceed 15% of the CDS Principal Balance at the beginning ofthat year (or, in the case of the year in which the Closing Date occurs, the CDS Principal Balance as of the EffectiveDate) and (y) in the sole judgment of the Collateral Manager, (A) if the Principal Coverage Amount is less than theAggregate Effective Date Par Amount, the Collateral Manager reasonably believes that it will be able, no later thanthirty (30) days thereafter, to invest, or enter into commitments to invest, the Sale Proceeds from the sale of suchCollateral Debt Security in one or more items of Substitute Collateral Debt Securities having an aggregate PrincipalBalance equal to or greater than the Principal Balance of such Collateral Debt Security to be sold and (B) the

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Reinvestment Criteria would be satisfied after giving effect to such sale and subsequent purchase described in (y)(A)above.

Temporary Investment of Collateral Principal Collections

If, at the time of sale of any Collateral Debt Securities, the Collateral Manager is not required to and hasnot identified Substitute Collateral Debt Securities for purchase, Collateral Principal Collections may be reinvestedin Eligible Investments on a temporary basis, pending reinvestment in Substitute Collateral Debt Securities. Unlessso designated by the Collateral Manager, such Eligible Investments will not constitute Collateral PrincipalCollections which must be applied in accordance with the Priority of Payments if such sale occurred (i) within 30Business Days prior to the Calculation Date for a Credit Risk Security and (ii) within 90 days prior to theCalculation Date for a Defaulted Security so long as the Coverage Tests were satisfied immediately prior to the saleof such Defaulted Security.

In the case where the Collateral Manager on behalf of the Issuer directs the Trustee to sell a CreditImproved Security or a Credit Risk Security and temporarily invests the Sale Proceeds thereof in EligibleInvestments pending purchase of one or more Substitute Collateral Debt Securities, compliance with (x) theMaximum Moody's Rating Factor Test, the Weighted Average Life Test, the Moody's Minimum Weighted AverageRecovery Rate Test, the Moody's Asset Correlation Test and the S&P Minimum Recovery Rate Test shall in allcases be measured by comparing the Reinvestment Criteria as calculated after the purchase of the SubstituteCollateral Debt Security and before the sale of the Credit Improved Security or the Credit Risk Security and (y) theremaining Reinvestment Criteria will be determined by comparing the results of such tests after the purchase of theSubstitute Collateral Debt Security with the results after the sale of any Credit Improved Security or Credit RiskSecurity and the retention of the Sale Proceeds thereof in the Collection Account. Compliance with the S&P CDOMonitor Test is not required in connection with the sale of a Credit Improved Security or a Credit Risk Security andthe reinvestment of the Sale Proceeds thereof.

Synthetic Securities

If the Issuer enters into a Synthetic Securities Management Agreement, the Synthetic Security Managerwill have rights with respect to Synthetic Securities that are similar to the rights of the Collateral Manager withrespect to other Collateral Debt Securities.

Tax Subsidiary

In the event that the ownership of a Collateral Debt Security would result in the Issuer being or becomingsubject 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 Security becoming a "Taxed Collateral Debt Security"), the Collateral Manager on behalf ofand at the expense of the Issuer shall, within ten (10) Business Days of the date on which the Collateral Managerbecomes aware or acquires knowledge that such Collateral Debt Security is a Taxed Collateral Debt Security, either(i) sell or otherwise dispose of all or a portion of such Taxed Collateral Debt Security in accordance with theprovisions of the Indenture, or (ii) set up a special purpose subsidiary (a "Tax Subsidiary") to receive and hold anysuch Taxed Collateral Debt Security unless the Issuer has received an opinion of nationally recognized counsel thatthe Issuer can hold such Taxed Collateral Debt Security directly without causing the Issuer to be treated as engagedin a trade or business in the United States for United States federal income tax purposes. The Issuer shall cause thepurposes and permitted activities of any such subsidiary to be restricted solely to the acquisition, holding anddisposition of such Taxed Collateral Debt Security and shall require such subsidiary to distribute 100% of theproceeds of any sale of such Taxed Collateral Debt Security, 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 inparagraphs (i) to (vii) below (the "Accounts") (each of which may be a sub-account of a single account) to be held in

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the United States in the name of the Trustee for the benefit and on behalf of the Secured Parties (except for theSynthetic Security Counterparty Account which will be held for the benefit and on behalf of the Synthetic SecurityCounterparty) and over which the Trustee will have exclusive control and the sole right of withdrawal:

(i) an account designated as the "Collection Account" (the "Collection Account");

(ii) an account designated as the "Uninvested Proceeds Account" (the "Uninvested ProceedsAccount");

(iii) an account designated as the "Payment Account" (the "Payment Account");

(iv) an account designated as the "Note Interest Reserve Account" (the "Note Interest ReserveAccount");

(v) an account designated as the "Expense Reserve Account" (the "Expense ReserveAccount");

(vi) an account designated as the "Collateral Account" (the "Collateral Account");

(vii) with respect to each Synthetic Security, an account designated as a "Synthetic SecurityCounterparty Account" (each, a "Synthetic Security Counterparty Account"); and

(viii) if required by the terms of a Synthetic Security, the Accountholder may also establish anaccount designated as the "Synthetic Security Issuer Account" (the "Synthetic Security Issuer Account").

With respect to each Account (other than the Payment Account and the Synthetic Security CounterpartyAccount), amounts received in such Account during a Due Period, and amounts received in prior Due Periods andretained in such Account, will be invested by the Trustee as directed by the Issuer (or the Collateral Manager onbehalf of the Issuer) in Eligible Investments with stated maturities no later than the Business Day prior to thePayment Date next succeeding the acquisition of such Eligible Investments, and all proceeds from the EligibleInvestments in such Account will be retained in such Account. Amounts received in the Synthetic SecurityCounterparty Account will be invested in Synthetic Security Collateral.

Collection Account

Two sub-accounts of the Collection Account will be established. All Collateral Principal Collections willbe 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 SubstituteCollateral Debt Securities, will be available, together with reinvestment earnings thereon, for deposit into thePayment Account to be used for the payment of the amounts set forth under "Description of the Notes—Priority ofPayments".

On or prior to the Business Day prior to each Payment Date, the Trustee will deposit into the PaymentAccount the balance of the Collection Account (including reinvestment income but excluding any Collectionsreceived after the end of the Due Period with respect to such Payment Date) for distribution in accordance with thePriority of Payments on the related Payment Date.

Uninvested Proceeds Account

On the Closing Date, the Trustee will deposit into the Uninvested Proceeds Account all UninvestedProceeds (other than the organizational and structuring fees and expenses of the Issuer (including, withoutlimitation, the legal fees and expenses of counsel to the Issuer, the Initial Purchaser and the Collateral Manager), theexpenses of offering the Notes and amounts deposited in the Expense Reserve Account on such date). On and priorto the Effective Date, the Collateral Manager on behalf of the Issuer may direct the Trustee to, and upon suchdirection the Trustee shall, invest funds in the Uninvested Proceeds Account in additional Collateral Debt Securities

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and, pending such investment in additional Collateral Debt Securities, such funds will be invested in EligibleInvestments with stated maturities no later than the Business Day immediately preceding the next Payment Date.The Trustee shall transfer any Uninvested Proceeds remaining on deposit in the Uninvested Proceeds Account onthe Effective Date to the Collection Account to be treated as Collateral Principal Collections on the first PaymentDate and distributed in accordance with the Priority of Payments.

Payment Account

On each Payment Date, funds standing to the credit of the Payment Account shall be applied to pay intereston and principal of the Notes and, upon direction from the Issuer, to pay Administrative Expenses and otheramounts, each in accordance with the Priority of Payments. See "Description of the Notes—Priority of Payments".

Note Interest Reserve Account

On each Payment Date, in accordance with the Priority of Payments the Trustee will deposit the InterestReserve Amount, if any, into the Note Interest Reserve Account. See "Description of the Notes—Priority ofPayments".

On the Business Day prior to each Payment Date, the Trustee will deposit into the Payment Account thebalance of the Note Interest Reserve Account (including reinvestment income) for distribution as Collateral InterestCollections in accordance with the Priority of Payments on the related Payment Date. See "Description of theNotes—Priority of Payments".

Expense Reserve Account

The Trustee will deposit into the Expense Reserve Account, on the Closing Date, an amount equal toU.S.$50,000, and on each Payment Date in accordance with the Priority of Payments. See "Description of theNotes—Priority of Payments".

The Trustee may, from time to time and at any time, withdraw amounts from the Expense Reserve Accountto pay accrued and unpaid administrative expenses of the Issuer. Any amounts held in the Expense ReserveAccount in excess of U.S.$50,000 on the day which is 120 days following the Closing Date (or, if such date is not aBusiness Day, the next Business Day) shall be transferred by the Trustee into the Uninvested Proceeds Account. Allamounts remaining on deposit in the Expense Reserve Account at the time when substantially all of the Issuer'sassets have been sold or otherwise disposed of will be deposited by the Trustee into the Collection Account fordistribution as Collateral Interest Collections in accordance with the Priority of Payments on the immediatelysucceeding Payment Date. See "Description of the Notes—Priority of Payments".

Collateral Account

The Trustee shall deposit all Collateral received by it into the Collateral Account. The Issuer shall not haveany legal, equitable or beneficial interest in the Collateral Account other than in accordance with the Priority ofPayments.

Synthetic Security Counterparty Account

The Trustee shall cause to be established, with respect to each Synthetic Security, a Synthetic SecurityCounterparty Account, to be held in the name of the Trustee, for the benefit of the related Synthetic SecurityCounterparty. The Trustee and the Issuer may, in connection with the establishment of a Synthetic SecurityCounterparty Account, enter into a separate account control agreement with the Synthetic Security Counterpartysetting forth the rights and obligations of the Issuer, the Trustee and the Synthetic Security Counterparty withrespect to such Account. As directed by the Collateral Manager (or the Synthetic Security Manager, as the case maybe) or the Synthetic Security Counterparty (in each case in accordance with the related Synthetic Security), theTrustee shall withdraw from the Collection Account and deposit into each Synthetic Security Counterparty Accountthe amount that is required to secure the obligations of the Issuer in accordance with the terms of the related

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Synthetic Security. As directed by the Collateral Manager (or the Synthetic Security Manager, as the case may be)acting at the direction or with the approval of the Synthetic Security Counterparty or as directed by the SyntheticSecurity Counterparty (in each case in accordance with the related Synthetic Security) amounts credited to aSynthetic Security Counterparty Account shall be invested in Synthetic Security Collateral in accordance with theterms of such Synthetic Security. Amounts credited to a Synthetic Security Counterparty Account shall bewithdrawn by the Trustee at the direction of the Collateral Manager (or the Synthetic Security Manager, as the casemay be) and applied to the payment of any amounts owing by the Issuer to the related Synthetic SecurityCounterparty under the terms of such Synthetic Security or shall be otherwise invested in Synthetic SecurityCollateral and any interest thereon shall be deposited into the Collection Account. The Collateral Manager (or theSynthetic Security Manager, as the case may be) shall direct the Trustee to withdraw any other amounts or securitiesheld in a Synthetic Security Counterparty Account after payment of all amounts owing from the Issuer to the relatedSynthetic Security Counterparty in accordance with the terms of the related Synthetic Security from such SyntheticSecurity Counterparty Account and deposit such amounts or securities in the Collection Account for application inaccordance with the Indenture. Except for interest on Synthetic Security Collateral credited to a Synthetic SecurityCounterparty Account, amounts contained in a Synthetic Security Counterparty Account shall not be considered tobe an asset of the Issuer for purposes of any of the Collateral Quality Tests or Coverage Tests, but the SyntheticSecurity that relates to the Synthetic Security Counterparty Account shall be considered an asset of the Issuer forsuch purposes. Following a reduction of the Principal Balance of a Synthetic Security, the appropriate amount maybe released from the Synthetic Security Counterparty Account to the Collection Account. Any amounts remainingin a Synthetic Security Counterparty Account after payment of all amounts owing from the Issuer to the relatedSynthetic Security Counterparty will be deposited into the Collection Account.

Synthetic Security Issuer Account

If the terms of any Synthetic Security require the Synthetic Security Counterparty to secure its obligationswith respect to such Synthetic Security, the Trustee shall cause to be established a Synthetic Security Issuer Accountto be held in the name of the Trustee for the benefit of the Secured Parties. The Trustee, the Issuer and theCustodian may enter into an account control agreement with respect to such account in a form substantially similarto the Account Control Agreement entered into by the Issuer on the Closing Date. The Trustee shall deposit into anysuch Synthetic Security Issuer Account all amounts that are received from the applicable Synthetic SecurityCounterparty to secure the obligations of such Synthetic Security Counterparty in accordance with the terms of suchSynthetic Security. As directed by the Collateral Manager (or the Synthetic Security Manager, as the case may be)acting upon the direction or with the consent of the Synthetic Security Counterparty in accordance with the terms ofthe applicable Synthetic Security, amounts credited to a Synthetic Security Issuer Account shall be invested inEligible Investments. Income received on amounts credited to such Synthetic Security Issuer Account shall bewithdrawn from such account and paid to the related Synthetic Security Counterparty in accordance with the termsof the applicable Synthetic Security. Amounts contained in any Synthetic Security Issuer Account shall not beconsidered to be an asset of the Issuer for purposes of any of the Collateral Quality Tests or the Coverage Tests, butthe Synthetic Security that relates to such Synthetic Security Issuer Account shall be considered an asset of theIssuer for such purposes. Amounts contained in any Synthetic Security Issuer Account shall be withdrawn by theTrustee at the direction of the Collateral Manager (or the Synthetic Security Manager, as the case may be) andapplied to the payment of any amount payable by the related Synthetic Security Counterparty to the Issuer. Anyexcess amounts held in a Synthetic Security Issuer Account after payment of all amounts owing from the relatedSynthetic Security Counterparty to the Issuer as a result of an event of default or termination event shall bewithdrawn from such Synthetic Security Issuer Account at the direction of the Collateral Manager and paid to therelated Synthetic Security Counterparty in accordance with the applicable Synthetic Security.

Hedge Agreements

The Issuer may from time to time enter into interest rate swap agreements (each such agreement togetherwith any related schedules, confirmations and credit support documents, and any replacement therefor, an "InterestRate Hedge Agreement") and will, from time to time, enter into one or more currency swap agreements (each,together with any related schedules, confirmations and credit support documents, and any replacement therefor, a"Currency Swap Agreement" and, together with any Interest Rate Hedge Agreement, the "Hedge Agreements" andeach a "Hedge Agreement") in respect of Collateral Debt Securities denominated in currencies other thanU.S. dollars.

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The Issuer may enter into Interest Rate Hedge Agreements with one or more counterparties (each suchcounterparty or any substitute or replacement therefor, the "Interest Rate Hedge Counterparty") and includingDeemed Floating Asset Hedges. The Issuer may enter into the Interest Rate Hedge Agreement for purposes ofmanaging the Issuer's interest rate risk exposure relating to the variable rate of interest applicable to the Rated Notesand/or the cash flow timing mismatch with respect to particular Collateral Debt Securities. The Issuer may enterinto Interest Rate Hedge Agreements with such Interest Rate Hedge Counterparties as it may elect in its solediscretion, in each case subject to Rating Agency Confirmation and in the case of new Interest Rate HedgeCounterparties, the delivery of an opinion of counsel to the Interest Rate Hedge Counterparty; provided that theIssuer will not be required to obtain Rating Agency Confirmation in connection with entering into any DeemedFloating Asset Hedges which are Form-Approved Hedge Agreements.

The Issuer will enter into Currency Swap Agreements with one or more counterparties (each suchcounterparty or substitute or replacement therefor, the "Currency Swap Counterparty") with respect to any CollateralDebt Security that is not denominated in U.S. dollars. The Issuer will enter into Currency Swap Agreements inorder to manage the Issuer's exposure to non-U.S. currencies relating to Collateral Debt Securities that aredenominated in currencies other than U.S. dollars. The notional amount of any Currency Swap Agreements thatamortize based on a schedule of expected amortization of the related Collateral Debt Security will not exceed 5.0%of the CDS Principal Balance.

The amounts payable to any Hedge Counterparty under the Hedge Agreements will be limited to theamounts payable under the Priority of Payments.

If at any time, provided that no Substitution Event has occurred, (i) the short-term rating of any HedgeRatings Determining Party from Moody's is lower than "P-1" or is "P-1" and has been placed on and is remaining oncredit watch with negative implications by Moody's or the long-term rating of the Hedge Ratings Determining Partyfrom Moody's is withdrawn suspended or downgraded below "A1" or is "A1" and has been placed on and isremaining on credit watch with negative implications by Moody's, (ii) if no short-term rating is available fromMoody's, the long-term rating of the Hedge Ratings Determining Party from Moody's is withdrawn, suspended ordowngraded below "Aa3" or is "Aa3" and has been placed on and is remaining on credit watch with negativeimplications by Moody's or (iii) the short-term rating of the Hedge Ratings Determining Party from S&P is lowerthan "A-1" (or, in the case of a currency swap, "A-1+") or, solely in the case of an interest rate swap, if the HedgeRatings Determining Party does not have a short-term rating from S&P, the long-term rating of such Hedge RatingsDetermining Party from S&P is lower than "A+" (or in the case of a currency swap, "AA-") (each, a"Collateralization Event"), the relevant Hedge Counterparty shall, within thirty (30) days of the occurrence of suchCollateralization Event, either (i) enter into the Credit Support Annex, furnish a legal opinion to the Rating Agenciesas to the enforceability of such Credit Support Annex and, pursuant to such Credit Support Annex, deliver to theTrustee collateral of such types, in such amounts and at such times as are sufficient to maintain the then currentrating of each Class of Notes by each Rating Agency, (ii) find a replacement Hedge Counterparty as permitted underthe relevant Hedge Agreement that satisfies the Hedge Counterparty Ratings Requirement, (iii) obtain a guarantorfor the obligations of such Hedge Counterparty under the Hedge Agreement with a long-term issuer credit ratingfrom 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-termunsecured debt rating from Moody's of at least "Aa3" and a short-term unsecured debt rating from Moody's, of atleast "P-1" or (iv) take such other steps as each Rating Agency that has downgraded the Hedge Counterparty mayrequire (as confirmed to the Collateral Manager in writing) to ensure that the then-current ratings on the Rated Notesby either Rating Agency is not reduced or withdrawn. If the Hedge Counterparty has not, within thirty (30) days ofthe occurrence of such Collateralization Event, taken any of the actions required above, the Issuer shall have theright to terminate the related Hedge Agreement with all costs of such termination to be paid by the relevant HedgeCounterparty. Concurrently, a Substitution Event will be deemed to have occurred and the Hedge Counterparty willbe 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 ofthe Hedge Ratings Determining Party from S&P is withdrawn, suspended or downgraded below "BBB-" or, if nolong-term rating is available, the short-term rating of the Hedge Ratings Determining Party from S&P is withdrawn,suspended or downgraded below "A-3", (ii) the short-term rating of the Hedge Ratings Determining Party fromMoody's is "P-2" or lower or the long-term rating of the Hedge Ratings Determining Party from Moody's iswithdrawn, suspended or downgraded to "A3" or lower or, if the related Hedge Ratings Determining Party does not

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have a short-term rating, the long-term rating of the related Hedge Ratings Determining Party from Moody's iswithdrawn, suspended or falls to "A2" or lower, or (iii) the failure by the relevant Hedge Counterparty to take any ofthe 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 Eventreferred 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 followingsuch Substitution Event, assign its rights and obligations under the related Hedge Agreement at no cost to the Issuerto a party (the "Substitute Party") selected by the Hedge Counterparty that (i) satisfies the Hedge CounterpartyRatings Requirement, (ii) with respect to which a Rating Agency Confirmation has been obtained and (iii) thatassumes all of such Hedge Counterparty's obligations under the Hedge Agreement pursuant to an agreementsatisfactory to the Issuer. If the Hedge Counterparty fails to assign its rights and obligations under the relevantHedge Agreement to a Substitute Party within thirty (30) days following such Substitution Event (in the case of aSubstitution Event referred to in sub-clause (ii) of the definition thereof) or within seven (7) days following suchSubstitution 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, postand maintain, or continue to maintain, as the case may be, collateral in accordance with the Credit Support Annexand (b) the Issuer shall have the right to terminate the Hedge Agreement with all costs of such termination to be paidby the Hedge Counterparty.

The Trustee shall, prior to the Closing Date, cause the Accountholder to establish a segregated, interestbearing securities account to be designated as a "Hedge Counterparty Collateral Account" (the "Hedge CounterpartyCollateral Account"), which may include subaccounts with respect to each Hedge Agreement, to be held in the nameof the Trustee in trust for the benefit of the Secured Parties. The Trustee shall deposit all collateral received fromany 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 andmodifications of any Hedge Agreement.

Securities Lending

Provided that no Event of Default has occurred and is continuing, the Collateral Manager may from time totime instruct the Trustee on behalf of the Issuer to lend Collateral Debt Securities to banks, broker-dealers and otherfinancial institutions (other than insurance companies) (each, a "Securities Lending Counterparty"). Any such loanshall be pursuant to one or more agreements (each a "Securities Lending Agreement") and must have a term of 90days or less but may not exceed the Stated Maturity Date. Any Securities Lending Counterparty must at the time ofthe loan (i) have a short-term senior unsecured debt rating or a guarantor with such rating of at least "P-1" (and noton credit watch with negative implications) by Moody's and (ii) a short-term senior unsecured debt rating or aguarantor with such rating of at least "A-1+" from S&P.

Such Securities Lending Counterparties may be affiliates of the Initial Purchaser and/or certain affiliates ofthe Collateral Manager, subject to the limitations set forth in the Indenture, which may create certain conflicts ofinterest. See "Risk Factors—Other Considerations—Certain Conflicts of Interest". No more than 10% of thePrincipal Balance of the Collateral Debt Securities may be subject to Securities Lending Agreements with the sameSecurities Lending Counterparty at any time. At the time of any loan pursuant to a Securities Lending Agreement,no more than 10% of the Aggregate Principal Amount may be on loan pursuant to Securities Lending Agreements.Each Securities Lending Agreement shall be on market terms (except as required hereby) and shall require that(i) each Securities Lending Counterparty return to the Issuer Collateral Debt Securities which are identical (in termsof issue and class) to the loaned Collateral Debt Securities; (ii) each Securities Lending Counterparty pay to theIssuer such amounts as are equivalent to all interest and other payments which the owner of the loaned CollateralDebt Security is entitled to for the period during which the Collateral Debt Security is loaned; (iii) Rating AgencyConfirmation shall have been obtained; (iv) any other requirements of Section 1058 of the Code and the Treasuryregulations promulgated thereunder have been satisfied; (v) it be governed by the laws of the State of New York;and (vi) the Issuer be permitted to assign its rights thereunder to the Trustee pursuant to the Indenture.

Each Securities Lending Counterparty will be required to post with the Trustee collateral consisting of cashor direct registered debt obligations issued or guaranteed by the United States of America that have a maturity of

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five years or less (the "Securities Lending Collateral") to secure its obligation to return the Collateral DebtSecurities. Securities Lending Collateral pledged pursuant to a Securities Lending Agreement shall be depositedinto an account (the "Securities Lending Account") pursuant to the related Securities Lending Agreement. Suchcollateral will be maintained at all times with the Trustee in an amount equal to at least 102% of the current marketvalue (determined daily by the related Securities Lending Counterparty and monitored by the Collateral Manager) ofthe loaned securities. If cash collateral is received by the Trustee, it will be invested in Eligible Investments at thedirection of the Collateral Manager and the Issuer will be entitled to a portion of the interest on such EligibleInvestments and a portion of such interest will be paid to the Securities Lending Counterparty. Alternatively, ifsecurities are delivered to the Trustee as security for the obligations of the Securities Lending Counterparty underthe related Securities Lending Agreement, the Collateral Manager on behalf of the Issuer will negotiate with theSecurities Lending Counterparty a rate for the loan fee to be paid to the Issuer for lending the loaned Collateral DebtSecurities. Securities Lending Collateral will not constitute Collateral Debt Securities and will not be available tosupport payments or distributions on the Notes unless the related Securities Lending Counterparty defaults in itsobligation to return the loaned Collateral Debt Securities to the Issuer. Upon any default by any Securities LendingCounterparty under the related Securities Lending Agreement, the Collateral Manager on behalf of the Issuer shallpromptly exercise its remedies under such Securities Lending Agreement, including liquidating the relatedSecurities Lending Collateral. Proceeds of any such liquidation, net of any excess amounts returned to the SecuritiesLending Counterparty, shall be treated as Principal Proceeds and deposited in the Collection Account.

If any of the Rating Agencies downgrades a Securities Lending Counterparty such that the SecuritiesLending Agreement or agreements to which the Securities Lending Counterparty is a party are no longer incompliance with the requirements relating to the credit ratings of the Securities Lending Counterparty, then theIssuer, within ten days thereof, will (i) terminate its Securities Lending Agreement or Agreements with suchSecurities Lending Counterparty; (ii) obtain a guarantor for the Securities Lending Counterparty's obligations underthe given Securities Lending Agreement or Agreements; (iii) reduce the percentage of the Principal Balance ofCollateral Debt Securities loaned to such downgraded Securities Lending Counterparty so that the SecuritiesLending Agreement or Agreements to which such Securities Lending Counterparty is a party, together with all otherSecurities Lending Agreements, are in compliance with the requirements relating to the credit ratings of SecuritiesLending Counterparties; or (iv) take such other steps as each Rating Agency that has downgraded such SecuritiesLending Counterparty may require to cause such Securities Lending Counterparty's obligations under the SecuritiesLending Agreement or Agreements to which such Securities Lending Counterparty is a party to be treated by suchRating Agency as if such obligations were owed by a counterparty having a rating at least equivalent to the ratingthat was assigned by such Rating Agency to such downgraded Securities Lending Counterparty immediately prior toits being downgraded.

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THE COLLATERAL MANAGER

Cambridge Place Investment Management LLP has provided the information contained in this section andaccepts responsibility for the information contained in this section. To the best of it's knowledge, the information inthis section is in accordance with the facts and does not omit anything likely to affect the impact of such information.The information appearing in this section has been prepared by the Collateral Manager and has not beenindependently verified by any Initial Purchaser or the Issuer. Neither the Initial Purchasers nor the Issuer assumesany responsibility for the accuracy, completeness or applicability of such information.

General

Cambridge Place Investment Management LLP ("Cambridge Place") will act as Collateral Manager to theIssuer (in such capacity, together with any successor, the "Collateral Manager") and in such capacity will beresponsible for certain administrative and investment advisory functions relating to the Collateral Debt Securities,the Hedge Agreements and the other assets included in the Collateral. Cambridge Place was incorporated as alimited liability partnership in England and Wales on December 2, 2002 and is authorized and regulated as aninvestment manager in the United Kingdom by the UK Financial Services Authority (the "FSA").

Cambridge Place and the other corporate bodies and partnerships composing the Cambridge PlaceInvestment Management Group began operations in 2002. The Group has two primary offices in the UnitedKingdom (London) and the United States (Concord, Massachusetts), providing local coverage of the principalmarkets.

As of September 30, 2005, Cambridge Place managed approximately U.S.$6.3 billion of gross assets, ofwhich approximately U.S.$2.8 billion represented open-end hedge funds and a closed-end London Stock Exchangelisted investment company, approximately U.S.$3.2 billion represented Cambridge Place's four existingcollateralized debt obligation transactions and approximately U.S.$0.3 billion represented the warehouse ofCollateral Debt Securities expected to be sold to the Issuer on the Closing Date. The Group has approximately 81employees, including 61 in London and 20 in Concord.

Pursuant to the terms of the Collateral Management Agreement, the Collateral Manager will determine thespecific Collateral Debt Securities to be purchased or sold by the Issuer and the terms of such purchases and sales,monitor the Collateral Debt Securities included in the Collateral from time to time and provide the Issuer withcertain information with respect to the composition and characteristics of such Collateral Debt Securities, anydispositions or tenders of such Collateral Debt Securities and the reinvestment of the proceeds of any suchdispositions in Substitute Collateral Debt Securities. The Collateral Manager, its Affiliates or accounts for whichthe Collateral Manager acts as investment manager may at times own a portion of the Notes and may be subject toother conflicts of interest. See "Risk Factors—Potential Conflicts of Interest with the Collateral Manager".

The Collateral Manager intends to perform its obligations under the Collateral Management Agreementusing a team of investment and other professionals employed by its Affiliates and located in the United States andthe United Kingdom.

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THE COLLATERAL MANAGEMENT AGREEMENT

The following summary describes certain provisions of the Collateral Management Agreement and theManx Agreement. The summary does not purport to be complete and is subject to, and qualified in its entirety byreference to, the provisions of the Collateral Management Agreement and the Manx Agreement, as the case may be.

General

The Collateral Manager will select the initial Collateral acquired on the Closing Date and all additionalCollateral subsequently acquired. The Collateral Manager will also monitor the performance and the credit qualityof all of the Collateral on an ongoing basis as provided in the Collateral Management Agreement. The Collateralwill include Synthetic Securities only if the Issuer complies with the Synthetic Securities Eligibility Requirement. Ifthe Issuer enters into a Synthetic Securities Management Agreement to establish such compliance, then all decisionsof the Issuer with respect to the acquisition, holding or disposition of any Collateral Debt Securities that are in theform of Synthetic Securities shall be made by the Synthetic Securities Manager (and not the Collateral Manager). Ifthe Issuer establishes compliance with the Synthetic Securities Eligibility Requirement other than by entering into aSynthetic Securities Management Agreement, then all decisions of the Issuer with respect to the acquisition, holdingor disposition of any Collateral Debt Securities that are in the form of Synthetic Securities shall be made by theCollateral Manager. See "—Synthetic Securities Management".

Pursuant to the terms of the Collateral Management Agreement and the Indenture, the Collateral Managerwill, upon order of the Issuer, direct the investment or reinvestment of collections on Collateral in SubstituteCollateral Debt Securities or additional Collateral, direct the Trustee when to deliver Credit Improved Securities,Credit Risk Securities, Equity Securities or other items of Collateral for sale and direct the investment orreinvestment of proceeds therefrom in Substitute Collateral Debt Securities or additional Collateral and EligibleInvestments. The Collateral Manager will, upon order of the Issuer, direct the investment of certain Collections asdescribed herein in additional Collateral meeting the specifications set forth herein. If any Collateral is a DefaultedSecurity, the Collateral Manager will instruct the Trustee as to the appropriate action to be taken against the issuer ofsuch Defaulted Security and whether to retain or dispose of such Defaulted Security. See "Security for the RatedNotes-Substitute Collateral Debt Securities and Reinvestment Criteria".

If the Collateral Manager resigns upon the Issuer becoming subject to registration under the InvestmentCompany Act and a successor Collateral Manager has not been appointed, a majority of the aggregate PrincipalBalance of the holders of Outstanding Notes of the Controlling Class may appoint an interim manager solely for thepurposes of performing the duties of the Collateral Manager in respect of the foregoing until a successor isappointed and performing duties permitted by the Collateral Manager with respect to the liquidation or otherdisposition of Collateral following acceleration of the Notes.

The Collateral Manager shall perform its duties and functions under the Collateral Management Agreementin good faith and shall use its reasonable judgment in rendering its services as Collateral Manager, exercising astandard of care and a degree of skill and attention consistent with practices and procedures followed by areasonable and prudent collateral manager of assets of the nature and character of the Collateral; provided, however,that the Collateral Manager, its Affiliates and their directors, members, officers, agents, partners and employeesshall not be liable (whether directly or indirectly in contract or in tort or otherwise) to the Issuer, the CollateralAgent, the Trustee, the Holders of the Notes or any other Person for any losses, claims, damages, judgments, intereston judgments, assessments, costs, fees, charges amounts paid in settlement or other liabilities (collectively,"Liabilities") incurred by the Issuer, the Collateral Agent, the Trustee, the Holders of the Notes or such other Personthat arise out of or in connection with the performance by the Collateral Manager of its duties under or pursuant tothe Collateral Management Agreement and the other Transaction Documents to which it is a party, except forLiabilities arising by reason of acts or omissions by the Collateral Manager constituting fraud, willful misconduct orgross negligence in the performance of its obligations under the Collateral Management Agreement. Any liability ofthe Collateral Manager in respect of indemnification shall be limited to the aggregate fees and expenses received bythe Collateral Manager pursuant to the Priority of Payments on or before the date of receipt of the notification of therelated claim, action or demand.

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Pursuant to the terms of the Collateral Management Agreement, the Issuer shall indemnify and holdharmless the Collateral Manager, its Partners and its Affiliates (each, an "Indemnified Party") against any liabilities,actions, proceedings, claims, demands, costs (including, but not limited to, any legal costs and value-added taxes) orexpenses whatsoever (collectively, "Losses") which it may incur or be subject to in consequence of the CollateralManager entering into the Collateral Management Agreement or as a result of the performance of the functions andservices provided for under the Collateral Management Agreement and the other Transaction Documents except as aresult of the gross negligence, willful misconduct or fraud of the Collateral Manager, its Affiliates and its Partnersfrom time to time or any of their directors, officers, employees or agents as the case may be. The obligations of theIssuer to indemnify any Indemnified Party for any Losses shall be payable solely out of the Collateral in accordancewith the Priority of Payments.

The provisions of the Collateral Management Agreement may be waived or amended by the parties to theCollateral Management Agreement in accordance with the Collateral Management Agreement and the provisions ofthe Indenture related to waivers and amendments, subject in each case to receipt of a Rating Agency Confirmation.For so long as any of the Rated Notes are listed on the Irish Stock Exchange, the Issuer shall cause a copy of anyamendment or modification to the Collateral Management Agreement to be sent to the Irish Stock Exchange.

Termination

Termination by Manx

For so long as Cambridge Place Investment Management LLP is the Collateral Manager, Manx has theability to arrange for an Affiliate of the Collateral Manager or, subject to the written consent of the Holders of atleast 75% of the aggregate principal amount of the Outstanding Income Notes and at least 75% of the aggregatePrincipal Balance of the Controlling Class, a third party collateral manager, to be substituted as Collateral Manager;provided that (i) any substituted Collateral Manager is legally qualified and has the capacity to act as collateralmanager under the Collateral Management Agreement and the other Transaction Documents to which the CollateralManager is a party, as successor to the Collateral Manager thereunder in the assumption of all the duties,responsibilities and obligations of the Collateral Manager thereunder and under the other Transaction Documents towhich the Collateral Manager was a party, (ii) if the substituted Collateral Manager is an Affiliate of CambridgePlace Investment Management LLP, no substantial change to the team of the senior personnel primarily responsiblefor the management of the Collateral shall occur solely as a result of such assignment without the approval of 75%of the aggregate Principal Balance of the Controlling Class, provided that such approval shall not be unreasonablywithheld or delayed and (iii) Rating Agency Confirmation has been obtained with respect to any such substitution.Any Affiliate of the Collateral Manager that is substituted by Manx as Collateral Manager shall meet the samerequirements for that are applicable to non-Affiliates of the Collateral Manager, as set forth in "–ReplacementCollateral Manager."

Termination for Cause

The Collateral Manager may be removed, subject to the appointment of a successor collateral manager asdescribed below, for cause upon 30 calendar days' prior written notice (with a copy to the Rating Agencies) by(i) the Issuer, at the direction of the Holders of at least 66⅔% of the aggregate Principal Balance of the OutstandingNotes, if an event described in clause (a), (b), (e) or (f) of the definition of "cause" has occurred or (ii) the Issuer, atthe direction of (a) for so long as the Class A-1 Notes constitute the Controlling Class, the Holders of at least 75% ofthe aggregate Principal Balance of the Outstanding Notes of the Controlling Class; and thereafter, (b) the Holders of100% of the aggregate Principal Balance of each Outstanding Class of Notes, if an event described in clause (c) or(d) of the definition of "cause" has occurred, which vote may be held at the direction of any Holder of OutstandingNotes of the Controlling Class.

For purposes of the Collateral Management Agreement, "cause" will mean:

(a) violation by the Collateral Manager of any provision of the Collateral Management Agreementthat has, or could not be reasonably expected not to have, solely through the passage of time, a material adverseeffect on the Holders of any Class of the Notes or the Issuer and, if such violation is subject to cure, failure to cure

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such violation within 30 calendar days of the Collateral Manager becoming aware or receiving notice of suchviolation;

(b) certain events of bankruptcy or insolvency occur in respect of the Collateral Manager as specifiedin the Collateral Management Agreement;

(c) any licenses, approvals, authorizations and consents which are necessary for the performance ofthe Collateral Manager's obligations under the Collateral Management Agreement are not in place and the CollateralManager has not obtained such licenses, approvals, authorizations and consents within 30 calendar days of the samenot being in place;

(d) the occurrence of an Event of Default caused by the Collateral Manager's breach of its obligationsunder the Collateral Management Agreement or under the Indenture;

(e) the Collateral Manager or any of the executive officers of the Collateral Manager (which shallmean those persons who are or would be required to be disclosed as executive officers on the Collateral Manager'sForm ADV Schedule A) or any investment personnel primarily responsible for the management of the Collateral hasbeen indicted for fraud or of a felony in connection with the Collateral Manager's investment management business;and

(f) the Collateral Manager willfully and intentionally violates a provision of the CollateralManagement Agreement applicable to it.

Removal upon Special Termination Event

The Collateral Manager may be removed upon the occurrence of a Special Termination Event and theIssuer giving 30 calendar days' written notice to the Collateral Manager (with a copy to the Rating Agencies) at thedirection of the Holders of at least (i) a majority of the aggregate Principal Balance of the Outstanding Notes of theControlling Class or (ii) a majority of the aggregate Principal Balance of the Outstanding Notes of the IncomeNotes. Notwithstanding the delivery of any such notice, the Collateral Manager shall continue as CollateralManager and shall not be removed unless and until a successor collateral manager has been approved and appointedin accordance with the Collateral Management Agreement. A "Special Termination Event" will occur if:

(a) on each of four consecutive Payment Dates, any payments are made on the Rated Notes inconsequence of the failure of any of the Principal Coverage Tests; or

(b) at any time during the period from the Effective Date to and including the date which is four yearsafter the Effective Date (or if such day is not a Business Day, the next following Business Day), (i) the sum of (1)the aggregate Principal Balance, as of the date of determination, of the Collateral Debt Securities and EligibleInvestments plus (2) the aggregate amount, as of the date of determination, of amounts paid to reduce theoutstanding principal amount of the Rated Notes pursuant to the Priority of Payments on all prior Payment Dates isless than (ii) 95.0% of the lesser of (1) the aggregate Principal Balance of all Collateral Debt Securities and EligibleInvestments included in the Collateral as of the Effective Date and (2) U.S.$500,000,000.

Automatic Termination

The termination of the Synthetic Securities Management Agreement, if any, shall result in the automatictermination of the Collateral Management Agreement without any further action on the part of any person.

Resignation

The Collateral Manager may resign upon 90 calendar days' prior written notice to the Issuer, the Trustee,the Income Note Issuing and Paying Agent, the Initial Purchaser and the Rating Agencies, and the CollateralManagement Agreement shall terminate automatically in the event of its assignment by the Collateral Manager inviolation of the terms of the Collateral Management Agreement; provided that no such termination shall become

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effective until the acceptance of the appointment of a replacement Collateral Manager pursuant to the CollateralManagement Agreement. The Collateral Manager may resign forthwith and without the appointment of a successorif the Issuer becomes subject to registration as an investment company under the Investment Company Act.

Replacement Collateral Manager

Upon the resignation or removal of the Collateral Manager or termination of the Collateral ManagementAgreement and while any of the Rated Notes are Outstanding, except in the case of a removal by Manx, a majorityof the aggregate Principal Balance of the Outstanding Income Notes shall, within 30 days of such resignation orremoval, nominate a Person which (i) has demonstrated an ability to perform professionally and competently dutiessimilar to those imposed upon the Collateral Manager under the Collateral Management Agreement and has asubstantially similar (or higher) level of expertise; (ii) is legally qualified and has the capacity to act as collateralmanager under the Collateral Management Agreement and the other Transaction Documents to which the CollateralManager is a party, as successor to the Collateral Manager thereunder in the assumption of all the duties,responsibilities and obligations of the Collateral Manager thereunder and under the other Transaction Documents towhich the Collateral Manager was a party or pursuant to which it has assumed duties and responsibilities; (iii) iswilling and able to perform its duties as collateral manager under the Collateral Management Agreement and theother Transaction Documents to which the Collateral Manager is a party without causing the Issuer or any holder ofthe Rated Notes to become subject to tax in any jurisdiction where such successor collateral manager is establishedor doing business; and (iv) be a Person, the appointment of which does not cause or result in the Issuer becoming, orrequire the pool of Collateral to be registered as, an investment company under the Investment Company Act. If amajority of the aggregate Principal Balance of the Outstanding Notes of the Controlling Class approves suchnominee, then such nominee shall become the Collateral Manager. If (i) a majority of the aggregate PrincipalBalance of the Outstanding Income Notes fails to nominate a successor within such 30 day period or (ii) a majorityof the aggregate Principal Balance of the Outstanding Notes of the Controlling Class fails to approve such nomineeof the Income Notes within 10 days of the date of the notice of such nomination, then a majority of the aggregatePrincipal Balance of the Outstanding Notes of the Controlling Class shall, within 30 days of the failure described inclause (i) or (ii) of this sentence, as the case may be, nominate a successor collateral manager that meets the criteriaset forth above. If a majority of the aggregate Principal Balance of the Outstanding Income Notes approve suchnominee of the Controlling Class, such nominee shall become the Collateral Manager. If (i) a majority of theaggregate Principal Balance of the Outstanding Notes of the Controlling Class fails to nominate a successor withinsuch 30 day period or (ii) a majority of the aggregate Principal Balance of the Outstanding Income Notes fails toapprove such nominee of the Controlling Class within 10 days of the date of the notice thereof, then a majority of apanel of three representatives shall, within 30 days of the failure described in clause (i) or (ii) of this sentence, as thecase may be, appoint a successor collateral manager that meets the criteria set forth above. The three representativesshall be appointed as follows: (i) one representative shall be selected within 10 days by a majority of the aggregatePrincipal Balance of the Outstanding Income Notes; (ii) one representative shall be selected within 10 days by amajority of the aggregate Principal Balance of the Outstanding Notes of the Controlling Class; and (iii) the thirdrepresentative shall be selected by the other two representatives within 10 days after the appointment of the later ofthe other two representatives; provided that if either (x) a majority of the aggregate Principal Balance of the IncomeNotes or (y) a majority of the aggregate Principal Balance of the Controlling Class fails to appoint a representativewithin the prescribed 10-day period, the a other Class of Notes (the Income Notes or the Controlling Class, as thecase may be) may appoint the successor collateral manager. Each representative so appointed shall be a third partywho is independent of any Holder of Notes and shall be a recognized expert with respect to the management ofassets similar to those permitted to comprise the Collateral Debt Securities. In the case of a removal of theCollateral Manager by Manx, Manx shall nominate the replacement, so long as such Person meets the qualificationsset forth herein, within 30 days and if such Person is an Affiliate of the Collateral Manager, such Person shall beappointed as the Collateral Manager without further action by any Holder of the Notes. If the successor designatedby Manx is not an Affiliate of the Collateral Manager, then such Person shall be appointed as successor collateralmanager only upon the affirmative vote of both a majority of the aggregate Principal Balance of the OutstandingIncome Notes and a majority of the aggregate Principal Balance of the Outstanding Controlling Class approvingsuch successor. Either the Collateral Manager or the Issuer will instruct the Trustee to promptly provide writtennotice to the Holders of the Controlling Class or the Income Notes, as the case may be, of any such nominee, with acopy of such written notice to S&P. If the Collateral Manager is terminated or removed pursuant to "–Terminationfor Cause" or "–Removal upon Special Termination Event" above, no successor Collateral Manager shall be anAffiliate of any of the Holders of the Income Notes or the Controlling Class.

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No termination, resignation (other than a resignation as a result of the Issuer being subject to registration asan investment company for the purposes of the Investment Company Act) or removal of the Collateral Managershall be effective unless (a) a successor collateral manager has entered into a collateral management agreement andeach other Transaction Document to which the Collateral Manager was a party on substantially the same terms asthe Collateral Management Agreement and shall have assumed the performance of the duties thereunder, (b) RatingAgency Confirmation has been obtained and (c) the Holders of the Notes have been notified of such appointment;provided that if no successor Collateral Manager has been appointed upon the expiry of 120 calendar days of thedate of receipt of such notice of resignation or removal, the Collateral Manager may petition a court of competentjurisdiction to appoint a successor Collateral Manager, which appointment shall not require the consent of, nor besubject to the approval of, the Issuer or any Holder of Notes.

Assignment and Delegation

The Collateral Manager may assign its rights, or transfer by novation its rights and obligations, to anAffiliate of the Collateral Manager; provided that the Issuer and the Trustee have received a Rating AgencyConfirmation in respect of the proposed transfer or assignment to such Affiliate; provided further that no substantialchange to the team of the senior investment personnel primarily responsible for the management of the Collateralshall occur solely as a result of such assignment without the approval of 75% of the aggregate Principal Balance ofthe Controlling Class, provided further that such approval shall not be unreasonably withheld or delayed. Except asspecified in the preceding sentence, the Collateral Manager may not assign its rights or responsibilities under theCollateral Management Agreement without the prior written consent of the Issuer, such consent not to beunreasonably withheld or delayed.

The Collateral Manager may appoint any person as its sub-agent, adviser, sub-contractor or representativeto carry out or to assist the Collateral Manger in connection with its obligations under the Collateral ManagementAgreement. Any such appointment or delegation will not relieve the Collateral Manager from its obligations underthe Collateral Management Agreement, and the Collateral Manager will continue to be liable as if no suchappointment or delegation had been made. Any failure to perform the services by a sub-agent, sub-contractor,adviser or representative of the Collateral Manager shall be treated as a breach of the Collateral ManagementAgreement by the Collateral Manager.

Conflicts of Interest

The Collateral Management Agreement generally permits each of the Collateral Manager and its variousaffiliates to acquire or sell securities, for its own account or for the accounts of its customers, without eitherrequiring or precluding the purchase or sale of such securities for the account of the Issuer. In the event that, in lightof market conditions and investment objectives, the Collateral Manager determines that it would be advisable topurchase the same Collateral Debt Security both for the Issuer, and either the proprietary account of the CollateralManager or any affiliate of the Collateral Manager or another client of the Collateral Manager, the CollateralManager will employ allocation procedures that are designed to treat all of its clients in a fair and equitable manner.

Nothing in the Collateral Management Agreement precludes the Collateral Manager or its affiliates fromacting as principal, agent or fiduciary for other clients in connection with securities simultaneously held by theIssuer or of the type eligible for investment by the Issuer or limiting any relationships the Collateral Manager or anyof its affiliates may have with any obligor of any Collateral Debt Security. Should a conflict of interest arise, theCollateral Manager will endeavor to resolve it in a fair manner to the extent possible under the prevailing facts andcircumstances. See "Risk Factors—Potential Conflicts of Interest with the Collateral Manager".

Compensation

As compensation for the performance of its obligations under the Collateral Management Agreement, theCollateral Manager will be entitled to receive a fee, payable in arrears on each Payment Date, consisting of amanagement fee (the "Senior Collateral Management Fee") of 0.196% per annum times the Fee Basis Amount(reduced by the amount of any Synthetic Securities Management Fee that is payable pari passu with the SeniorCollateral Management Fee) and subject to the Priority of Payments.

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The Collateral Manager will be entitled to receive, in addition to the Senior Collateral Management Fee, oneach Payment Date (i) a fee (the "Subordinate Collateral Management Fee") subordinate to payments on the Notes(other than the Income Notes) of 0.15% per annum times the Fee Basis Amount (reduced by the amount of anySynthetic Securities Management Fee that is payable pari passu with the Subordinate Collateral Management Fee)and other payments as specified in the Priority of Payments and (ii) an incentive fee (the "Incentive CollateralManagement Fee") (reduced by the amount of any Synthetic Securities Management Fee that is payable pari passuwith the Incentive Collateral Management Fee) payable in accordance with the Priority of Payments and payable onany Payment Date (including any date on which any of the Income Notes are redeemed) on which the Holders of theIncome Notes have achieved (or will achieve after giving effect to the payments on such date) a cumulative IRR ofat least 12%, in accordance with the Priority of Payments in an amount, with respect to such Payment Date, equal to20% of the sum of the remaining Collateral Interest Collections and Collateral Principal Collections after theapplication of clauses (1) through (19) of the Priority of Payments.

The Senior Collateral Management Fee and Subordinate Collateral Management Fee will be calculatedbased on the actual number of days elapsed during the related Due Period and a 360 day year. All fees payable tothe Collateral Manager on a Payment Date are payable only in accordance with the Priority of Payments.

Description of the Manx Agreement

Under the terms of a services agreement dated the Closing Date between the Issuer and Manx (the "ManxAgreement"), the Issuer has appointed Manx to monitor the performance of the Collateral Manager under theCollateral Management Agreement and to provide a report or periodic statement to the directors of the Issuer and,upon enforcement of the security over the Collateral in accordance with the Indenture, the Trustee regarding thecompliance of the Collateral Debt Securities with the Portfolio Percentage Limitations.

Manx is an Isle of Man private limited company. Manx is a wholly-owned subsidiary of Aston PartnersLimited which is the general partner of Cambridge Place Partners L.P. ("LP"). The partners of LP include theinvestment principals (or related parties) of Cambridge Place Investment Management LLP.

Manx will be entitled to receive a fee, payable in arrears on each Payment Date (the "Manx Fee") of0.004% per annum times the Fee Basis Amount. The Manx Fee will be calculated based on the actual number ofdays elapsed during the related Due Period and a 360 day year. All fees payable to Manx on a Payment Date arepayable only in accordance with the Priority of Payments. The Manx Fee shall be exclusive of any applicable valueadded tax, which shall be paid separately in accordance with the Priority of Payments.

The Manx Agreement contains provisions for the indemnification of Manx for any cost, charge, liabilityand expense incurred by Manx, without gross negligence, willful default, dishonesty or fraud on its part, pursuant toor in connection with the Manx Agreement.

The Issuer has granted to Manx, pursuant to the Manx Agreement, the authority and power to removeCambridge Place Investment Management LLP as the Collateral Manager. Manx has the ability to arrange for anAffiliate of Cambridge Place Investment Management LLP or, subject to the written consent of the Holders of atleast 75% of the aggregate principal amount of the Outstanding Income Notes and at least 75% of the aggregatePrincipal Balance of the Controlling Class, a third party collateral manager, to be substituted in place of CambridgePlace Investment Management LLP as Collateral Manager; provided that any substituted Collateral Manager islegally qualified and has the capacity to act as collateral manager under the Collateral Management Agreement andthe other Transaction Documents to which the Collateral Manager is a party, as successor to the Collateral Managerthereunder in the assumption of all the duties, responsibilities and obligations of the Collateral Manager thereunderand under the other Transaction Documents to which the Collateral Manager was a party, (i) if the substitutedCollateral Manager is an Affiliate of Cambridge Place Investment Management LLP, no change in the seniorpersonnel responsible for the management of the Collateral shall occur solely as a result of such assignment, withoutthe approval of 75% of the aggregate Principal Balance of the Controlling Class and (ii) Rating AgencyConfirmation has been obtained with respect to any such substitution. Any Affiliate of the Collateral Manager thatis substituted by Manx as Collateral Manager shall meet the same requirements for that are applicable to non-Affiliates of the Collateral Manager, as set forth in "–Replacement Collateral Manager."

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The provisions of the Manx Agreement may be waived or amended by the parties to the Manx Agreement.

Termination of Manx Agreement upon Termination of Collateral Manager

The Issuer may terminate the Manx Agreement upon 30 calendar days' prior written notice to Manx if theappointment of the Collateral Manager has been terminated for "cause" under the Collateral ManagementAgreement.

Termination of Manx Agreement for Cause

The Issuer may terminate the Manx Agreement for cause upon 30 calendar days' prior written notice toManx acting upon the direction of (a) for so long as the Class A-1 Notes constitute the Controlling Class, theHolders of at least 75% in aggregate principal amount of the Outstanding Notes of the Controlling Class and (b)thereafter, the Holders of 100% in aggregate outstanding principal amount of each Class of Notes outstanding(excluding in each case any Notes held by the Collateral Manager or any of its Affiliates).

For the purposes of this clause only "cause" shall mean:

(a) violation by Manx of any material provision of this Agreement that has, or could not bereasonably expected not to have, solely through the passage of time, a material adverse effect on the Holders of anyClass of the Notes or the Issuer and, if such violation is subject to cure, failure to cure such violation within 30calendar days of Manx becoming aware or receiving notice of such violation;

(b) subject to certain exceptions set out in the Manx Agreement, any licenses, approvals,authorizations and consents which are necessary for the performance of Manx's obligations under the ManxAgreement are not in place and Manx has not obtained such licenses, approvals, authorizations and consents within30 calendar days of becoming aware or receiving notice of the same not being in place;

(c) the occurrence of an Event of Default caused by any gross negligence, willful misconduct or fraudof Manx; and

(d) Manx or any of the executive officers of Manx or any personnel primarily responsible for Manx'sduties under the Manx Agreement has been indicted for fraud or for a felony in connection with Manx's primarybusiness.

The Manx Agreement shall continue in force unless and until terminated by: (a) Manx upon not less than90 calendar days' written notice to the Issuer; or (b) Manx or the Issuer upon notice where a party to the ManxAgreement shall be dissolved (except a voluntary dissolution for the purposes of reconstruction or amalgamationupon terms previously approved in writing by the other party) or be unable to pay its debts or commits any act ofbankruptcy or if a receiver is appointed over any of the assets of a party.

Manx may not assign its rights or responsibilities under the Manx Agreement other than to an Affiliatewithout the prior written consent of the Issuer and the Trustee which consent shall not be unreasonably withheld ordelayed.

Assignment and Delegation

Manx may delegate any of its functions under the Manx Agreement to an Affiliate, and Manx may appointagents to perform any administrative and ancillary services required to enable Manx to perform its services underthe Manx Agreement. In each case, Manx's liability to the Issuer under the Manx Agreement for all matters sodelegated shall not be affected thereby.

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Synthetic Securities Management

The Issuer will not be permitted to invest in Synthetic Securities unless the Issuer complies with theSynthetic Securities Eligibility Requirement. The Issuer may elect, after the Closing Date, to achieve suchcompliance by taking such action as it may determine to be necessary or desirable, including (among other things)entering into a Synthetic Securities Management Agreement with a Synthetic Securities Manager. Accordingly,following the Closing Date, the Issuer may, with the consent of the Holders of 75% of the aggregate PrincipalBalance of the Class A-1 Notes only (but subject to obtaining Rating Agency Confirmation), enter into a separateSynthetic Securities Management Agreement (the "Synthetic Securities Management Agreement") with a non-U.K.Affiliate of the Collateral Manager (the "Synthetic Securities Manager"). Any such Synthetic Securities Managerwill manage the Issuer's acquisition, holding and disposition of any Synthetic Securities. A fee will be payable toany Synthetic Securities Manager that will reduce the fees otherwise payable to the Collateral Manager and will bepaid pari passu with the Collateral Manager's fee pursuant to the Priority of Payments. The Synthetic SecuritiesManagement Agreement will provide for a term that corresponds to the term of the Collateral ManagementAgreement and any early termination of the Collateral Management Agreement will constitute a termination of theSynthetic Securities Management Agreement. The Synthetic Securities Manager will not have any right to assign itsinterest in the Synthetic Securities Management Agreement except to an Affiliate, so long as the Synthetic SecuritiesEligibility Requirement remains satisfied, or in connection with a contemporaneous assignment by the CollateralManager of its interest in the Collateral Management Agreement. Establishment of the Synthetic SecuritiesManagement Agreement in such manner is not an obligation of the Issuer, but is one method for satisfying theSynthetic Securities Eligibility Requirement. Synthetic Securities investments will remain subject to all otherapplicable requirements of the Indenture.

Initial Portfolio

The Collateral Debt Securities expected to be purchased on the Closing Date have been selected by theCollateral Manager in accordance with the Collateral Management Agreement, the Indenture and the CollateralManager's customary procedures for selecting investments of a type similar to the Collateral Debt Securities. TheCollateral Manager has undertaken its own investigation in selecting the initial Collateral Debt Securities and hasreviewed such information as it deemed appropriate and proper in its reasonable professional judgment.

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PURCHASE AND TRANSFER RESTRICTIONS

Because of the following restrictions, purchasers are advised to consult legal counsel prior to making anyoffer, 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 "BlueSky" laws or the securities laws of any other jurisdiction and, accordingly, may not be reoffered, resold, pledged orotherwise 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 neither the Issuer nor the pool of Collateral is registered as aninvestment company under the Investment Company Act, but that the Issuer and the pool of Collateral are exemptfrom registration as such by virtue of Section 3(c)(7) of the Investment Company Act. Section 3(c)(7) exemptsissuers from the registration requirements of the Investment Company Act that privately place their securities solelyto "qualified purchasers". In general, "qualified purchaser" means, among other things, any natural person whoowns not less than U.S.$5,000,000 in investments; any person who in the aggregate owns and invests, on adiscretionary basis, not less than U.S.$25,000,000 in investments; and trusts as to which both the settlor and thedecision-making trustee are qualified purchasers (but only if such trust was not formed for the specific purpose ofmaking such investment).

Prospective Initial Investors in the Notes

Each prospective initial purchaser of the Notes offered in reliance on Rule 144A or another applicableexemption from registration under the Securities Act (a "U.S. Offeree") and each prospective initial purchaser of theNotes offered in reliance on Regulation S under the Securities Act (together with U.S. Offerees, the "InitialOfferees"), by accepting delivery of this Prospectus, will be deemed to have represented, acknowledged and agreedas follows:

(i) The Initial Offeree acknowledges that this Prospectus is personal to the Initial Offereeand does not constitute an offer to any other person or to the public generally to subscribe for or otherwiseacquire the Notes other than pursuant to Rule 144A, or another exemption from registration from theSecurities Act, or in offshore transactions in accordance with Regulation S. Distribution of this Prospectusor 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 ofRule 144A or Regulation S is unauthorized and any disclosure of any of its contents, without the priorwritten consent of the Issuer, is prohibited.

(ii) The Initial Offeree agrees to make no photocopies of this Prospectus or any documentsreferred to herein and, if the Initial Offeree does not purchase the Notes or the offering is terminated, toreturn this Prospectus and all documents referred to herein to Citigroup Global Markets Inc., 390Greenwich Street, New York, New York 10013, Attention: Global Structured Credit Products Group.

(iii) The Initial Offeree has carefully read and understands this Prospectus, including, withoutlimitation, the "Risk Factors" section herein, and has based its decision to purchase the Notes upon theinformation contained herein and on written information, if any, provided to it by the Issuer, the InitialPurchaser and the Placement Agent and not on any other information. Additionally, the Initial Offeree hasreviewed the list (attached hereto as Annex B) of the Collateral Debt Securities expected to be purchasedby the Issuer on the Closing Date.

Rated Notes

Legend

Unless determined otherwise by the Issuer in accordance with applicable law and so long as any Class ofRated 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 UNDERTHE UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE"SECURITIES ACT"), ANY STATE SECURITIES LAWS IN THE UNITEDSTATES OR THE SECURITIES LAWS OF ANY OTHER JURISDICTIONAND NEITHER THE ISSUER NOR THE POOL OF COLLATERAL HASBEEN REGISTERED UNDER THE UNITED STATES INVESTMENTCOMPANY ACT OF 1940, AS AMENDED (THE "INVESTMENTCOMPANY ACT"). THE HOLDER HEREOF, BY ITS ACCEPTANCE OFTHIS NOTE, REPRESENTS THAT IT HAS OBTAINED THIS NOTE IN ATRANSACTION IN COMPLIANCE WITH THE SECURITIES ACT, THEINVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWSOF THE UNITED STATES OR ANY OTHER JURISDICTION, AND THERESTRICTIONS ON SALE AND TRANSFER SET FORTH IN THEINDENTURE. THE HOLDER HEREOF, BY ITS ACCEPTANCE OF THISNOTE, FURTHER REPRESENTS, ACKNOWLEDGES AND AGREESTHAT IT WILL NOT REOFFER, RESELL, PLEDGE OR OTHERWISETRANSFER THIS NOTE (OR ANY INTEREST HEREIN) EXCEPT INCOMPLIANCE WITH THE SECURITIES ACT, THE INVESTMENTCOMPANY ACT AND ALL OTHER APPLICABLE LAWS OF ANYJURISDICTION AND IN ACCORDANCE WITH THE RESTRICTIONS,CERTIFICATIONS AND OTHER REQUIREMENTS SPECIFIED IN THEINDENTURE (i) TO A TRANSFEREE (a) THAT IS A QUALIFIEDPURCHASER PURCHASING FOR ITS OWN ACCOUNT OR FOR THEACCOUNT OF A QUALIFIED PURCHASER IN A TRANSACTION THATWOULD NOT CAUSE THE ISSUER OR THE POOL OF COLLATERAL TOBE REQUIRED TO BE REGISTERED UNDER THE INVESTMENTCOMPANY ACT, (b)(1) THAT WAS NOT FORMED FOR THE PURPOSEOF INVESTING IN THE ISSUER, (2) THAT IS NOT A PARTNERSHIP,COMMON TRUST FUND, PENSION, PROFIT SHARING OR OTHERRETIREMENT TRUST FUND OR PLAN IN WHICH THE PARTNERS,BENEFICIARIES OR PARTICIPANTS, AS APPLICABLE, MAYDESIGNATE THE PARTICULAR INVESTMENTS TO BE MADE, (3) IF ITWOULD BE AN INVESTMENT COMPANY BUT FOR THE EXCEPTIONIN SECTION 3(c)(1) OR SECTION 3(c)(7) OF THE INVESTMENTCOMPANY ACT, WHOSE INVESTMENT IN THE INCOME NOTES ANDANY RATED NOTES DOES NOT EXCEED 40% OF ITS TOTAL ASSETSAND (4) THAT IT DID NOT SPECIFICALLY SOLICIT ADDITIONALCAPITAL OR SIMILAR CONTRIBUTIONS FROM ANY PERSONOWNING AN EQUITY OR SIMILAR INTEREST IN IT FOR THE PURPOSEOF ENABLING IT TO PURCHASE THE INCOME NOTES, IN EACH CASE,EXCEPT WHEN EACH BENEFICIAL OWNER OF THE PURCHASER IS AQUALIFIED PURCHASER, (c) THAT (1) HAS RECEIVED THENECESSARY CONSENT FROM ITS BENEFICIAL OWNERS IF THEPURCHASER IS A PRIVATE INVESTMENT COMPANY FORMEDBEFORE APRIL 30, 1996, (2) IS NOT A BROKER-DEALER THAT OWNSAND INVESTS ON A DISCRETIONARY BASIS LESS THANU.S.$25,000,000 IN SECURITIES OF UNAFFILIATED ISSUERS, (3) IS NOTA SPECIAL TRUST, PENSION, PROFIT SHARING OR OTHERRETIREMENT TRUST FUND OR PLAN IN WHICH THE BENEFICIARIESOR PARTICIPANTS MAY DESIGNATE THE PARTICULARINVESTMENTS TO BE MADE AND (4) AGREES TO PROVIDE NOTICETO ANY SUBSEQUENT TRANSFEREE OF THE TRANSFERRESTRICTIONS PROVIDED IN THIS LEGEND AND (d) THAT IS (1) APERSON WHOM THE SELLER REASONABLY BELIEVES IS A"QUALIFIED INSTITUTIONAL BUYER" AS DEFINED IN RULE 144AUNDER THE SECURITIES ACT (A "QUALIFIED INSTITUTIONAL

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BUYER") PURCHASING FOR ITS OWN ACCOUNT OR FOR THEACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER INCOMPLIANCE WITH RULE 144A UNDER THE SECURITIES ACT OR (2)AN "ACCREDITED INVESTOR" AS DEFINED IN RULE 501(a) UNDERTHE SECURITIES ACT (AN "ACCREDITED INVESTOR") OR (ii) TO ATRANSFEREE THAT IS NOT A U.S. PERSON (AS DEFINED INREGULATION S OF THE SECURITIES ACT) AND IS ACQUIRING THISNOTE IN AN OFFSHORE TRANSACTION IN COMPLIANCE WITHRULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIESACT AND, IN THE CASE OF CLAUSES (i) AND (ii), IN A PRINCIPALAMOUNT, WITH RESPECT TO EACH CLASS OF RATED NOTES OF NOTLESS THAN U.S.$500,000 FOR THE PURCHASER AND FOR EACHACCOUNT FOR WHICH IT IS ACTING. EACH PURCHASER ORTRANSFEREE OF THIS NOTE WILL BE DEEMED TO HAVE MADE THEREPRESENTATIONS AND AGREEMENTS SET FORTH IN THEINDENTURE.

"QUALIFIED PURCHASER" MEANS ANY PERSON THAT IS (i) A"QUALIFIED PURCHASER" AS DEFINED IN SECTION 2(a)(51) OF THEINVESTMENT COMPANY ACT AND THE RULES THEREUNDER, OR(ii) A "KNOWLEDGEABLE EMPLOYEE" WITH RESPECT TO THEISSUER AS DEFINED IN RULE 3c-5 UNDER THE INVESTMENTCOMPANY ACT OR (iii) A COMPANY BENEFICIALLY OWNEDEXCLUSIVELY BY ONE OR MORE "QUALIFIED PURCHASERS"AND/OR "KNOWLEDGEABLE EMPLOYEES" WITH RESPECT TO THEISSUER.

IF THE TRANSFER OF NOTES IS TO BE MADE TO AN ACCREDITEDINVESTOR, THE TRANSFEREE OF THE NOTES WILL BE REQUIRED TOEXECUTE AND DELIVER TO THE ISSUER AND THE TRUSTEE ATRANSFER CERTIFICATE IN THE FORM ATTACHED TO THEINDENTURE, STATING THAT, AMONG OTHER THINGS, THETRANSFEREE IS A QUALIFIED PURCHASER AND AN ACCREDITEDINVESTOR PURCHASING FOR ITS OWN ACCOUNT AND HASPROVIDED AN OPINION OF COUNSEL TO EACH OF THE TRUSTEEAND THE ISSUER THAT SUCH TRANSFER MAY BE MADE PURSUANTTO AN EXEMPTION FROM REGISTRATION UNDER THE SECURITIESACT IF SO REQUIRED BY THE TRUSTEE OR THE ISSUER.

ANY SALE OR TRANSFER IN VIOLATION OF THE FOREGOING WILLBE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO, AND WILLNOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE,NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TOTHE ISSUER, THE TRUSTEE OR ANY INTERMEDIARY. EACHTRANSFEROR OF THIS NOTE AGREES TO PROVIDE NOTICE OF THETRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THEINDENTURE TO THE TRANSFEREE. IN ADDITION TO THEFOREGOING, THE ISSUER MAINTAINS THE RIGHT TO RESELL ANYINTEREST IN THIS NOTE PREVIOUSLY TRANSFERRED TO HOLDERSNOT ELIGIBLE TO PURCHASE SUCH INTEREST IN ACCORDANCEWITH AND SUBJECT TO THE TERMS OF THE INDENTURE.

EACH TRANSFEROR OF THIS NOTE AGREES TO PROVIDE NOTICE OFTHE TRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THEINDENTURE TO THE TRANSFEREE. IN ADDITION TO THEFOREGOING, THE ISSUER MAINTAINS THE RIGHT TO RESELL ANY

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INTEREST IN THIS NOTE PREVIOUSLY TRANSFERRED TO HOLDERSNOT ELIGIBLE TO PURCHASE SUCH INTERESTS IN ACCORDANCEWITH AND SUBJECT TO THE TERMS OF THE INDENTURE.HOWEVER, WITHOUT PREJUDICE TO THE RIGHTS OF THE ISSUERAGAINST ANY BENEFICIAL OWNER OF PURPORTED BENEFICIALOWNER OF NOTES, NOTHING IN THE INDENTURE OR THE NOTESSHALL BE INTERPRETED TO CONFER ON THE ISSUER, THE TRUSTEEOR ANY NOTE PAYING AGENT ANY RIGHT AGAINST EUROCLEARTO REQUIRE THAT EUROCLEAR REVERSE OR RESCIND ANY TRADECOMPLETED IN ACCORDANCE WITH THE RULES OF EUROCLEAR.

EACH ORIGINAL PURCHASER AND EACH TRANSFEREE OF THISNOTE OR AN INTEREST THEREIN IS DEEMED TO REPRESENT ANDWARRANT (EXCEPT FOR ORIGINAL PURCHASERS ANDTRANSFEREES THAT ARE ACCREDITED INVESTORS, WHO WILL BEREQUIRED TO CERTIFY AS TO ITEM (A) OR (B) BELOW, ASAPPLICABLE, IN WRITING AS PART OF THE TRANSFER CERTIFICATETHAT IT WILL EXECUTE AND DELIVER) THAT EITHER (A) IT IS NOT(AND FOR SO LONG AS IT HOLDS ANY NOTE OR INTEREST THEREINWILL NOT BE), AND IS NOT ACTING ON BEHALF OF (AND FOR SOLONG AS IT HOLDS ANY NOTE OR INTEREST THEREIN WILL NOT BEACTING ON BEHALF OF), AN "EMPLOYEE BENEFIT PLAN" ASDEFINED IN SECTION 3(3) OF THE UNITED STATES EMPLOYEERETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED("ERISA"), A "PLAN" AS DEFINED IN SECTION 4975(e)(1) OF THEUNITED STATES INTERNAL REVENUE CODE OF 1986, AS AMENDED(THE "CODE"), AN ENTITY WHICH IS DEEMED TO HOLD THE ASSETSOF ANY SUCH PLAN PURSUANT TO 29 C.F.R. SECTION 2510.3-101,WHICH PLAN OR ENTITY IS SUBJECT TO TITLE I OF ERISA ORSECTION 4975 OF THE CODE, OR ANOTHER EMPLOYEE BENEFITPLAN ("ANOTHER PLAN") WHICH IS SUBJECT TO ANY U.S. FEDERAL,STATE OR LOCAL LAW, OR NON-U.S. LAW THAT IS SIMILAR TO THEPROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF ERISAOR SECTION 4975 OF THE CODE ("SIMILAR LAW"), OR (B) ITSPURCHASE AND HOLDING OF SUCH NOTE IS AND WILL BECOVERED BY A PROHIBITED TRANSACTION CLASS EXEMPTIONISSUED BY THE UNITED STATES DEPARTMENT OF LABOR (OR, INTHE CASE OF ANOTHER PLAN, WILL NOT RESULT IN A VIOLATIONOF ANY SUCH SIMILAR LAW).

ANY TRANSFER, PLEDGE OR OTHER USE OF THIS NOTE FOR VALUEOR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THEREGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTERESTHEREIN, UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZEDREPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY ("DTC"),NEW YORK, NEW YORK, TO THE ISSUER OR THEIR AGENT FORREGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANYNOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR OFSUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZEDREPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADETO CEDE & CO.).

TRANSFER OF THIS NOTE SHALL BE LIMITED TO TRANSFERS INWHOLE, AND NOT IN PART, TO NOMINEES OF DTC OR TO ASUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE ANDTRANSFERS OF INTERESTS IN THIS NOTE SHALL BE LIMITED TO

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TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SETFORTH IN THE INDENTURE.

PRINCIPAL OF THIS NOTE IS PAYABLE AS SET FORTH IN THEINDENTURE. ACCORDINGLY, THE OUTSTANDING PRINCIPAL OFTHIS NOTE AT ANY TIME MAY BE LESS THAN THE AMOUNT SHOWNON THE FACE HEREOF. ANY PERSON ACQUIRING THIS NOTE MAYASCERTAIN ITS CURRENT PRINCIPAL AMOUNT BY INQUIRY OF THETRUSTEE.

THE HOLDER OF THIS NOTE ACKNOWLEDGES THATNOTWITHSTANDING ANY OTHER PROVISION OF THE INDENTUREOR ANY OTHER TRANSACTION DOCUMENT, ALL PAYMENTS OFPRINCIPAL, INTEREST OR ANY OTHER AMOUNT TO BE MADE BYTHE ISSUER IN RESPECT OF THE NOTES OR UNDER ANYTRANSACTION DOCUMENT WILL BE PAYABLE PURSUANT TO THEPRIORITY OF PAYMENTS AND ONLY FROM, AND TO THE EXTENTOF, THE SUMS PAID TO, OR NET PROCEEDS RECOVERED BY OR ONBEHALF OF, THE ISSUER IN RESPECT OF THE COLLATERAL. IF THEPROCEEDS OF THE COLLATERAL ARE NOT SUFFICIENT FOR THEISSUER TO MEET ITS OBLIGATIONS IN RESPECT OF THE NOTES ANDOTHER TRANSACTION DOCUMENTS, NO OTHER ASSETS OF THEISSUER WILL BE AVAILABLE TO MEET SUCH INSUFFICIENCY.

NOTWITHSTANDING ANY PROVISION TO THE CONTRARY, NOPARTICIPANT IN THE TRANSACTION REPRESENTED BY THIS NOTESHALL BE LIMITED FROM DISCLOSING THE U.S. FEDERAL INCOMETAX TREATMENT OR THE U.S. FEDERAL INCOME TAX STRUCTUREOF THIS TRANSACTION.

In addition, the Class B Notes and the Class C Notes, to the extent issued with original issue discount, shallbear the following legend:

THIS NOTE HAS BEEN ISSUED WITH ORIGINAL ISSUE DISCOUNT("OID") FOR U.S. FEDERAL INCOME TAX PURPOSES. INFORMATIONRELATING TO THE ISSUE PRICE OF THE NOTE, THE AMOUNT OF OIDON THE NOTE, ITS ISSUE DATE AND THE YIELD TO MATURITY OFTHE NOTE MAY BE OBTAINED FROM THE MANAGING DIRECTOR,U.S. CDOs OF CITIGROUP GLOBAL MARKETS AT (212) 723-6173BEGINNING NO LATER THAN TEN (10) DAYS AFTER ITS ISSUANCE.

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 bedeemed to have represented and agreed as follows:

(i) It (a) is a Qualified Institutional Buyer and is acquiring the Rated Notes in reliance on theexemption from the Securities Act registration provided by Rule 144A thereunder, (b) is a QualifiedPurchaser purchasing for its own account and (c) understands the Rated Notes will bear the legend set forthabove and be represented by one or more Rule 144A Global Notes. In addition, it will be deemed to haverepresented and agreed that it (a)(1) was not formed for the purpose of investing in the Issuer, (2) is not apartnership, common trust fund, pension, profit sharing or other retirement trust fund or plan in which thepartners, 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 theInvestment Company Act, its investment in the Rated Notes and any Income Notes does not exceed 40% ofits total assets and (4) it did not specifically solicit additional capital or similar contributions from any

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person owning an equity or similar interest in it for the purpose of enabling it to purchase the IncomeNotes, in each case, except when each beneficial owner of the purchaser is a Qualified Purchaserpurchasing for its own account, (b) has received the necessary consent from its beneficial owners if thepurchaser is a private investment company formed before April 30, 1996, (c) is not a broker-dealer thatowns 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 thebeneficiaries or participants may designate the particular investments to be made, (e) will provide notice toany subsequent transferee of the transfer restrictions provided in the legend, (f) will hold and transfer in anamount of not less than, with respect to each Class of Rated Notes U.S.$500,000 for it or for each accountfor which it is acting and (g) will provide the Issuer from time to time such information as it mayreasonably 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 involvingany public offering in the United States within the meaning of the Securities Act, the Rated Notes have notbeen 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 orotherwise transferred only in accordance with the provisions of the Indenture and the legend on such RatedNotes. It acknowledges that no representation is made as to the availability of any exemption under theSecurities Act or any state securities laws for resale of the Rated Notes.

(iii) In connection with the purchase of the Rated Notes: (a) the Issuer is not acting as afiduciary or financial or investment advisor for it; (b) it is not relying (for purposes of making anyinvestment decision or otherwise) upon any advice, counsel or representations (whether written or oral) ofthe Issuer or the Initial Purchaser (in its capacity as such) or any of their agents, other than any statementsin a current Prospectus for such Rated Notes and any representations expressly set forth in a writtenagreement 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 investmentdecisions based upon its own judgment and upon any advice from such advisors as it has deemed necessaryand not upon any view expressed by the Issuer or the Initial Purchaser; (d) its purchase of the Rated Noteswill comply with all applicable laws in any jurisdiction in which it resides or is located; (e) it is acquiringthe 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 priorto 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 trustfund or plan in which the partners, beneficiaries or participants may designate the particular investments tobe made; (h) it may not hold any Rated Notes for the benefit of any other person, shall at all times be thesole beneficial owner thereof for purposes of the Investment Company Act and all other purposes and willnot sell participation interests in the Notes or enter into any other arrangement pursuant to which any otherperson 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 Issuer) purchased and held directly or indirectly by it constitute inthe aggregate an investment of no more than 40% of its assets or capital; and (j) it is a sophisticatedinvestor and is purchasing the Rated Notes with a full understanding of all of the terms, conditions andrisks thereof and is capable of assuming and willing to assume those risks.

(iv) In connection with the Rated Notes, either (a) it is not (and for so long as it holds anyRated Note or interest therein will not be), and is not acting on behalf of (and for so long as it holds anyRated Note or interest therein will not be acting on behalf of), (1) an "employee benefit plan" as defined insection 3(3) of ERISA, (2) a "plan" as defined in section 4975(e)(1) of the Code, (3) an entity which isdeemed to hold the assets of any such plan pursuant to 29 C.F.R. Section 2510.3-101, which plan or entityis subject to Title I of ERISA or Section 4975 of the Code or (4) another employee benefit plan which issubject to any U.S. federal, state or local law, or non-U.S. law that is similar to the prohibited transactionprovisions of Section 406 of ERISA or Section 4975 of the Code ("Similar Law"), or (b) its purchase andholding of such Rated Note is and will be covered by a prohibited transaction class exemption issued by theUnited States Department of Labor (or, if applicable, will not result in a violation of any such Similar Law).

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(v) It understands that an investment in the Rated Notes involves certain risks, including therisk of loss of all or a substantial part of its investment under certain circumstances. It has had access tosuch financial and other information concerning the Issuer and the Notes, as it deemed necessary orappropriate in order to make an informed investment decision with respect to its acquisition of the RatedNotes, including an opportunity to ask questions of and request information from the Issuer. It understandsthat the Rated Notes will be highly illiquid and are not suitable for short term trading. The Rated Notes area leveraged investment in a portfolio of Collateral Debt Securities that may expose the Rated Notes todisproportionately large changes in value. It understands that it is possible that due to the structure of thetransaction and the performance of the portfolio, payments on the Rated Notes may be deferred, reduced oreliminated entirely. The Issuer has assets limited to the Collateral Debt Securities for payment of the RatedNotes and the Income Notes, and the Income Notes bear the first risk of loss.

(vi) It will not, at any time, offer to buy or offer to sell the Rated Notes by any form ofgeneral solicitation or advertising, including, but not limited to, any advertisement, article, notice or othercommunication published in any newspaper, magazine or similar medium or broadcast over television orradio or seminar or meeting whose attendees have been invited by general solicitations or advertising.

(vii) It understands that the Indenture permits the Issuer to demand that any beneficial ownerof Rule 144A Global Notes who is determined not to be both a Qualified Institutional Buyer and aQualified Purchaser at the time of acquisition of such Rule 144A Global Notes to sell all its right, title andinterest in such Rated Notes (a) to a person who is both a Qualified Institutional Buyer and a QualifiedPurchaser in a transaction meeting the requirements of Rule 144A, (b) to a person who will take delivery ofits interest in Rule 144A Global Notes in the form of an interest in a Regulation S Global Note and who isnot a U.S. Person in a transaction meeting the requirements of Regulation S or (c) to a person who will takedelivery of its interests in Rule 144A Global Notes in the form of interests in a Restricted Certificated Noteand who is an Accredited Investor and a Qualified Purchaser in a transaction exempt from registrationunder the Securities Act or any state or other relevant securities laws and, if it does not comply with suchdemand within thirty (30) days thereof, the Issuer may sell its interest in the Rated Note.

(viii) 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,(2) the Rated Notes will be treated as indebtedness of the Issuer and (3) the Income Notes will be treated asequity in the Issuer; it agrees to such treatment, to report all income (or loss) in accordance with suchtreatment and to take no action inconsistent with such treatment, except as otherwise required by any taxingauthority under applicable law.

(ix) It is aware that, except as otherwise provided in the Indenture, the Rated Notes being soldto it will be represented by one or more Global Notes, and that beneficial interests therein may be held onlythrough DTC or one of its nominees, as applicable.

(x) It understands that the Issuer, the Trustee, the Initial Purchaser, the Collateral Manager,Manx and their counsel will rely on the accuracy and truth of the foregoing representation, and it herebyconsents to such reliance.

(xi) If acquiring the Rated Notes from an existing Holder, it has satisfied and will satisfy allapplicable 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 will bedeemed to have made the representations set forth in clauses (ii), (iii), (iv), (v), (vi), (viii), (ix) and (x) above andwill be deemed to have further represented and agreed as follows:

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(i) It is aware that the sale of Rated Notes to it is being made in reliance on the exemptionfrom registration provided by Regulation S under the Securities Act and understands that the Rated Notesoffered in reliance on Regulation S under the Securities Act will bear the legend set forth above and berepresented by or one or more Regulation S Global Notes. The Rated Notes so represented may not at anytime be held by or on behalf of U.S. Persons as defined in Regulation S under the Securities Act. It andeach beneficial owner of the Rated Notes that it holds is not, and will not be, a U.S. Person (as defined inRegulation S under the Securities Act) and its purchase of the Rated Notes will comply with all applicablelaws 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 isnot 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 ownerof Regulation S Global Notes who is determined to be a U.S. Person to sell all its right, title and interest insuch Regulation S Global Notes to a person who (a) is not a U.S. Person in a transaction meeting therequirements of Regulation S, (b) will take delivery of the Holder's Regulation S Global Notes in the formof an interest in a Rule 144A Global Note or a Restricted Certificated Note, who is both a QualifiedInstitutional Buyer or, in the case of a Restricted Certificated Note, an Accredited Investor and a QualifiedPurchaser in a transaction meeting the requirements of Rule 144A or another exemption from registrationunder the Securities Act and, if the Holder does not comply with such demand within thirty (30) daysthereof, 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 ReserveDistrict of the FRB, or it has satisfied and will satisfy all applicable registration and other requirements ofthe FRB in connection with its acquisition of the Rated Notes.

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 toprovide to the Issuer and the Trustee, in connection with any transfer of such Restricted Certificated Notes, a writtencertification substantially in the form provided in the Indenture, in which such investor or transferee will make therepresentations set forth in clauses (ii), (iii), (iv), (v), (vi), (viii) and (x) above under "—Initial Investors andTransferees of Interests in Rule 144A Global Notes" and as follows:

(i) It (a) is an Accredited Investor and is acquiring the Restricted Certificated Notes inreliance on the exemption from the Securities Act registration provided by Section 4(2) thereof (subject tothe delivery of such certifications, legal opinions or other information as the Issuer may reasonably requireto confirm that such transfer is being made pursuant to an exemption from, or in a transaction not subjectto, the registration requirements of the Securities Act) and a Qualified Purchaser purchasing for its ownaccount or (b) not a U.S. Person who is acquiring the Restricted Certificated Notes in an offshoretransaction in accordance with Regulation S. It understands that the Restricted Certificated Notes will bearthe legend set forth above and will be issued as physical definitive certificates in registered form only. Inaddition, 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 inwhich the partners, beneficiaries or participants, as applicable, may designate the particular investments tobe made, (3) if it would be an investment company but for the exception in Section 3(c)(1) or Section3(c)(7) of the Investment Company Act, its investment in the Rated Notes and any Income Notes does notexceed 40% of its total assets and (4) it did not specifically solicit additional capital or similar contributionsfrom any person owning an equity or similar interest in it for the purpose of enabling it to purchase theIncome Notes, in each case, except when each beneficial owner of the purchaser is a Qualified Purchaserpurchasing for its own account, (b) has received the necessary consent from its beneficial owners if thepurchaser is a private investment company formed before April 30, 1996, (c) is not a broker-dealer thatowns 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 thebeneficiaries or participants may designate the particular investments to be made, (e) will provide notice to

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any subsequent transferee of the transfer restrictions provided in the legend, (f) will hold and transfer in anamount of not less than, with respect to each Class of Restricted Certificated Notes, U.S.$500,000 for it orfor each account for which it is acting and (g) will provide the Issuer from time to time such information asit may reasonably request in order to ascertain compliance with this paragraph (i).

(ii) It understands that the Indenture permits the Issuer to demand that any beneficial ownerof Restricted Certificated Notes who is determined (a) not to be both an Accredited Investor and aQualified Purchaser or (b) to be a U.S. Person at the time of acquisition of such Restricted CertificatedNotes who purported to acquire such Restricted Certificated Notes pursuant to Regulation S to sell all itsright, title and interest in such Restricted Certificated Notes (a) to a person who is both an AccreditedInvestor and a Qualified Purchaser in a transaction meeting the requirements of an exemption fromregistration under the Securities Act and any state or other relevant securities laws or (b) to a person whowill 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 QualifiedPurchaser in a transaction exempt from registration under the Securities Act in accordance with Rule 144Aor (2) the Regulation S Global Notes by a person who is not a U.S. Person in a transaction meeting therequirements of Regulation S and, if it does not comply with such demand within 30 days thereof, theIssuer 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 allapplicable registration and other requirements of the FRB in connection with its acquisition of theRestricted Certificated Notes.

Income Notes

Legend

Unless determined otherwise by the Issuer in accordance with applicable law and so long as the IncomeNotes are Outstanding, the certificates in respect of the Income Notes will bear a legend substantially set forthbelow:

THE NOTES REPRESENTED HEREBY HAVE NOT BEEN AND WILLNOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACTOF 1933, AS AMENDED (THE "SECURITIES ACT"), ANY STATESECURITIES LAWS IN THE UNITED STATES OR THE SECURITIESLAWS OF ANY OTHER JURISDICTION AND NEITHER THE ISSUERNOR THE POOL OF COLLATERAL HAS BEEN REGISTERED UNDERTHE UNITED STATES INVESTMENT COMPANY ACT OF 1940, ASAMENDED (THE "INVESTMENT COMPANY ACT"). THE HOLDERHEREOF, BY ITS ACCEPTANCE OF THE NOTES REPRESENTEDHEREBY, REPRESENTS THAT IT HAS OBTAINED THESE NOTES IN ATRANSACTION IN COMPLIANCE WITH THE SECURITIES ACT, THEINVESTMENT COMPANY ACT AND ALL OTHER APPLICABLE LAWSOF THE UNITED STATES OR ANY OTHER JURISDICTION, AND THERESTRICTIONS ON SALE AND TRANSFER SET FORTH IN THEINCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT. THEHOLDER HEREOF, BY ITS ACCEPTANCE OF THE NOTESREPRESENTED HEREBY, FURTHER REPRESENTS, ACKNOWLEDGESAND AGREES THAT IT WILL NOT REOFFER, RESELL, PLEDGE OROTHERWISE TRANSFER THE NOTES REPRESENTED HEREBY (ORANY INTEREST THEREIN) EXCEPT IN COMPLIANCE WITH THESECURITIES ACT, THE INVESTMENT COMPANY ACT AND ALLOTHER APPLICABLE LAWS OF ANY JURISDICTION AND INACCORDANCE WITH THE CERTIFICATIONS AND OTHERREQUIREMENTS SPECIFIED IN THE INCOME NOTE ISSUING ANDPAYING AGENCY AGREEMENT REFERRED TO HEREIN (i) TO A

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TRANSFEREE (a) THAT IS A QUALIFIED PURCHASER PURCHASINGFOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIEDPURCHASER IN A TRANSACTION THAT WOULD NOT CAUSE THEISSUER OR THE POOL OF COLLATERAL TO BE REQUIRED TO BEREGISTERED UNDER THE INVESTMENT COMPANY ACT, (b)(1) THATWAS NOT FORMED FOR THE PURPOSE OF INVESTING IN THEISSUER, (2) THAT IS NOT A PARTNERSHIP, COMMON TRUST FUND,PENSION, PROFIT SHARING OR OTHER RETIREMENT TRUST FUNDOR PLAN IN WHICH THE PARTNERS, BENEFICIARIES ORPARTICIPANTS, AS APPLICABLE, MAY DESIGNATE THEPARTICULAR INVESTMENTS TO BE MADE, (3) IF IT WOULD BE ANINVESTMENT COMPANY BUT FOR THE EXCEPTION INSECTION 3(c)(1) OR SECTION 3(c)(7) OF THE INVESTMENT COMPANYACT, WHOSE INVESTMENT IN THE NOTES AND ANY RATED NOTESDOES NOT EXCEED 40% OF ITS TOTAL ASSETS AND (4) THAT IT DIDNOT SPECIFICALLY SOLICIT ADDITIONAL CAPITAL OR SIMILARCONTRIBUTIONS FROM ANY PERSON OWNING AN EQUITY ORSIMILAR INTEREST IN IT FOR THE PURPOSE OF ENABLING IT TOPURCHASE THE NOTES, IN EACH CASE, EXCEPT WHEN EACHBENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIEDPURCHASER, (c) THAT (1) HAS RECEIVED THE NECESSARYCONSENT FROM ITS BENEFICIAL OWNERS IF THE PURCHASER IS APRIVATE INVESTMENT COMPANY FORMED BEFORE APRIL 30, 1996,(2) IS NOT A BROKER-DEALER THAT OWNS AND INVESTS ON ADISCRETIONARY BASIS LESS THAN U.S.$25,000,000 IN SECURITIESOF UNAFFILIATED ISSUERS, (3) IS NOT A SPECIAL TRUST, PENSION,PROFIT SHARING OR OTHER RETIREMENT TRUST FUND OR PLAN INWHICH THE BENEFICIARIES OR PARTICIPANTS MAY DESIGNATETHE PARTICULAR INVESTMENTS TO BE MADE AND (4) AGREES TOPROVIDE NOTICE TO ANY SUBSEQUENT TRANSFEREE OF THETRANSFER RESTRICTIONS PROVIDED IN THIS LEGEND AND(d) THAT (1) IS A PERSON WHOM THE SELLER REASONABLYBELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED INRULE l44A UNDER THE SECURITIES ACT (A "QUALIFIEDINSTITUTIONAL BUYER") PURCHASING FOR ITS OWN ACCOUNT ORFOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER INCOMPLIANCE WITH RULE l44A UNDER THE SECURITIES ACT OR(2) IS AN ACCREDITED INVESTOR AS DEFINED IN RULE 501(a) OFREGULATION D UNDER THE SECURITIES ACT (AN "ACCREDITEDINVESTOR") OR (ii) TO A TRANSFEREE THAT IS NOT A U.S. PERSON(AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT) ANDIS ACQUIRING THESE NOTES IN AN OFFSHORE TRANSACTION INCOMPLIANCE WITH RULE 903 OR RULE 904 OF REGULATION SUNDER THE SECURITIES ACT AND, IN THE CASE OF CLAUSES (i)AND (ii), IN A MINIMUM DENOMINATION OF U.S.$250,000 FOR THEPURCHASER AND FOR EACH ACCOUNT FOR WHICH IT IS ACTING.EACH PURCHASER OR TRANSFEREE OF THE NOTES REPRESENTEDHEREBY WILL BE DEEMED TO HAVE MADE THE REPRESENTATIONSAND AGREEMENTS SET FORTH IN THE INCOME NOTE ISSUING ANDPAYING AGENCY AGREEMENT. THE NOTES REPRESENTED HEREBYARE NOT TRANSFERABLE EXCEPT IN ACCORDANCE WITH THERESTRICTIONS DESCRIBED HEREIN.

"QUALIFIED PURCHASER" MEANS ANY PERSON THAT IS (i) A"QUALIFIED PURCHASER" AS DEFINED IN SECTION 2(a)(51) OF THEINVESTMENT COMPANY ACT AND THE RULES THEREUNDER, OR

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(ii) A "KNOWLEDGEABLE EMPLOYEE" WITH RESPECT TO THEISSUER AS DEFINED IN RULE 3c-5 UNDER THE INVESTMENTCOMPANY ACT OR (iii) A COMPANY BENEFICIALLY OWNEDEXCLUSIVELY BY ONE OR MORE "QUALIFIED PURCHASERS"AND/OR "KNOWLEDGEABLE EMPLOYEES" WITH RESPECT TO THEISSUER.

ANY SALE OR TRANSFER IN VIOLATION OF THE FOREGOING WILLBE OF NO FORCE AND EFFECT, WILL BE VOID AB INITIO, AND WILLNOT OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE,NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TOTHE ISSUER, THE INCOME NOTE ISSUING AND PAYING AGENT ORANY INTERMEDIARY. EACH TRANSFEROR OF THE NOTESREPRESENTED HEREBY AGREES TO PROVIDE NOTICE OF THETRANSFER RESTRICTIONS SET FORTH HEREIN AND IN THE INCOMENOTE ISSUING AND PAYING AGENCY AGREEMENT TO THETRANSFEREE. IN ADDITION TO THE FOREGOING, THE ISSUERMAINTAINS THE RIGHT TO RESELL ANY INTEREST IN ANY NOTEREPRESENTED HEREBY PREVIOUSLY TRANSFERRED TO HOLDERSNOT ELIGIBLE TO HOLD SUCH INTERESTS IN ACCORDANCE WITHAND SUBJECT TO THE TERMS OF THE INCOME NOTE ISSUING ANDPAYING AGENCY AGREEMENT.

THE HOLDER OF THIS NOTE ACKNOWLEDGES THATNOTWITHSTANDING ANY OTHER PROVISION OF THE NOTES ORANY OTHER TRANSACTION DOCUMENT, ALL DISTRIBUTIONS TO BEMADE BY THE ISSUER IN RESPECT OF THE NOTES OR UNDER ANYTRANSACTION DOCUMENT WILL BE PAYABLE PURSUANT TO THEPRIORITY OF PAYMENTS AND ONLY FROM, AND TO THE EXTENTOF, THE SUMS PAID TO, OR NET PROCEEDS RECOVERED BY OR ONBEHALF OF, THE ISSUER IN RESPECT OF THE COLLATERAL. IF THEPROCEEDS OF THE COLLATERAL ARE NOT SUFFICIENT FOR THEISSUER TO MEET ITS OBLIGATIONS IN RESPECT OF THE NOTES ANDOTHER TRANSACTION DOCUMENTS, NO OTHER ASSETS OF THEISSUER 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 THISNOTE WILL BE REQUIRED TO REPRESENT AND AGREE THAT,EXCEPT AS EXPRESSLY PROVIDED BELOW IN THE CASE OFCERTAIN INSURANCE COMPANY GENERAL ACCOUNTS, IT IS NOTAND WILL NOT BE A BENEFIT PLAN INVESTOR WITHIN THEMEANING OF 29 C.F.R. SECTION 2510.3-101.

AN INSURANCE COMPANY ACTING ON BEHALF OF ITS GENERALACCOUNT REPRESENTS AND AGREES THAT (i) THE PERCENTAGE OFTHE ASSETS IN ITS GENERAL ACCOUNT THAT MAY BE OR BECOMEPLAN ASSETS DOES NOT AND SHALL NOT EXCEED 25%, (ii)PROHIBITED TRANSACTION EXEMPTION 95-60 ISSUED BY THEUNITED STATES DEPARTMENT OF LABOR APPLIES TO EXEMPT THEPURCHASE AND HOLDING OF THIS NOTE FROM THE PROHIBITEDTRANSACTION PROVISIONS OF ERISA AND SECTION 4975 OF THECODE, AND (iii) IT IS NOT AND WILL NEVER BECOME (A) A PERSON(OTHER THAN A BENEFIT PLAN INVESTOR) THAT HASDISCRETIONARY AUTHORITY OR CONTROL WITH RESPECT TO THE

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ASSETS OF THE ISSUER OR (B) A PERSON THAT PROVIDESINVESTMENT ADVICE FOR A FEE (DIRECT OR INDIRECT) WITHRESPECT TO THE ASSETS OF THE ISSUER, OR ANY "AFFILIATE" (ASDEFINED IN 29 C.F.R. § 2510.3-101(F)(3)) OF ANY SUCH PERSON (A"CONTROLLING PERSON").

"BENEFIT PLAN INVESTOR" MEANS ANY (i) "EMPLOYEE BENEFITPLAN" (AS DEFINED IN SECTION 3(3) OF ERISA), WHETHER OR NOTSUBJECT TO TITLE I OF ERISA, INCLUDING, WITHOUT LIMITATION,GOVERNMENTAL PLANS, FOREIGN PLANS AND CHURCH PLANS,(ii) "PLAN" (AS DEFINED IN SECTION 4975(e)(l) OF THE CODE),WHETHER OR NOT SUBJECT TO SECTION 4975 OF THE CODE,INCLUDING, WITHOUT LIMITATION, INDIVIDUAL RETIREMENTACCOUNTS AND KEOGH PLANS OR (iii) ENTITY WHOSEUNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCHAN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCHENTITY, INCLUDING, WITHOUT LIMITATION, AS APPLICABLE, ANINSURANCE COMPANY GENERAL ACCOUNT.

FURTHER, NO SALE OR TRANSFER OF THESE NOTES (OR ANYINTEREST HEREIN) MAY BE MADE UNLESS SUCH SALE ORTRANSFER WILL BE MADE TO A TRANSFEREE PURCHASING FOR ITSOWN ACCOUNT OR FOR THE ACCOUNT OF A PERSON WHICH, INEACH CASE, EXCEPT AS EXPRESSLY PERMITTED ABOVE, IS NOTAND, WHILE SUCH NOTES ARE HELD BY SUCH TRANSFEREE ORPERSON, WILL NOT BE, A BENEFIT PLAN INVESTOR. IN ADDITION,EXCEPT AS EXPRESSLY PERMITTED ABOVE, EACH INITIALPURCHASER AND TRANSFEREE OF AN INTEREST IN THE NOTESREPRESENTED HEREBY REPRESENTS TO THE ISSUER, THETRUSTEE, THE INCOME NOTE ISSUING AND PAYING AGENT ANDTHE PLACEMENT AGENT THAT, AMONG OTHER THINGS (i) IT ISNOT, AND FOR SO LONG AS IT HOLDS ANY INTEREST IN THE NOTESREPRESENTED HEREBY, WILL NOT BE, A BENEFIT PLAN INVESTOR,AND (ii) WITHOUT LIMITING ANY REMEDIES AVAILABLE FOR ANYBREACHES BY IT OF ANY WARRANTIES OR OTHER ASSURANCES, ITUNDERSTANDS THAT THE INCOME NOTE ISSUING AND PAYINGAGENCY AGREEMENT PERMITS THE ISSUER TO DEMAND THATANY PERSON HOLDING ANY INTEREST IN THE NOTESREPRESENTED HEREBY WHO IS DETERMINED TO BE A BENEFITPLAN INVESTOR SELL SUCH INTEREST TO A PERSON WHO IS NOT ABENEFIT PLAN INVESTOR OR IS NOT A CONTROLLING PERSON ANDWHO MEETS ALL OTHER APPLICABLE TRANSFER RESTRICTIONSAND, IF SUCH HOLDER DOES NOT COMPLY WITH SUCH DEMANDWITHIN 30 DAYS THEREOF, THE ISSUER MAY SELL SUCH HOLDER'SINTEREST IN THE NOTES REPRESENTED HEREBY.

DISTRIBUTIONS OF AVAILABLE FUNDS TO THE HOLDER OF THENOTES REPRESENTED HEREBY ARE SUBORDINATE TO THEPAYMENT ON EACH PAYMENT DATE OF INTEREST ON ANDPRINCIPAL OF EACH CLASS OF RATED NOTES ISSUED BY THEISSUER PURSUANT TO THE INDENTURE REFERRED TO IN THEINCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT ANDTHE PAYMENT OF CERTAIN OTHER AMOUNTS IN THE MANNERPROVIDED IN THE PRIORITY OF PAYMENTS SET FORTH IN THEINDENTURE.

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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 VALUEOR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THEREGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTERESTHEREIN, UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZEDREPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY ("DTC"),NEW YORK, NEW YORK, TO THE ISSUER OR ITS AGENT FORREGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANYNOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR OFSUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZEDREPRESENTATIVE OF DTC (AND ANY PAYMENT HEREON IS MADETO CEDE & CO.).

TRANSFER OF THIS NOTE SHALL BE LIMITED TO TRANSFERS INWHOLE, AND NOT IN PART, TO NOMINEES OF DTC OR TO ASUCCESSOR THEREOF OR SUCH SUCCESSOR'S NOMINEE ANDTRANSFERS OF INTERESTS IN THIS NOTE SHALL BE LIMITED TOTRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SETFORTH IN THE INDENTURE.

EACH ORIGINAL PURCHASER OF THIS NOTE WILL BE REQUIRED TOAND EACH TRANSFEREE OF THIS INCOME NOTE WILL BE DEEMEDTO REPRESENT AND AGREE THAT IT IS NOT AND WILL NOT BE ABENEFIT PLAN INVESTOR WITHIN THE MEANING OF 29 C.F.R.SECTION 2510.3-101.

"BENEFIT PLAN INVESTOR" MEANS ANY (i) "EMPLOYEE BENEFITPLAN" (AS DEFINED IN SECTION 3(3) OF ERISA), WHETHER OR NOTSUBJECT TO TITLE I OF ERISA, INCLUDING, WITHOUT LIMITATION,GOVERNMENTAL PLANS, FOREIGN (NON-U.S.) PLANS AND CHURCHPLANS, (ii) "PLAN" (AS DEFINED IN SECTION 4975(e)(1) OF THECODE), WHETHER OR NOT SUBJECT TO SECTION 4975 OF THE CODE,INCLUDING, WITHOUT LIMITATION, INDIVIDUAL RETIREMENTACCOUNTS AND KEOGH PLANS OR (iii) ENTITY WHOSEUNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF SUCHAN EMPLOYEE BENEFIT PLAN'S OR PLAN'S INVESTMENT IN SUCHENTITY, INCLUDING, WITHOUT LIMITATION, AS APPLICABLE, ANINSURANCE COMPANY GENERAL ACCOUNT.

FURTHER, NO SALE OR TRANSFER OF THESE NOTES (OR ANYINTEREST HEREIN) MAY BE MADE UNLESS SUCH SALE ORTRANSFER WILL BE MADE TO A TRANSFEREE PURCHASING FOR ITSOWN ACCOUNT OR FOR THE ACCOUNT OF A PERSON WHICH, INEACH CASE, IS NOT AND, WHILE SUCH NOTES ARE HELD BY SUCHTRANSFEREE OR PERSON, WILL NOT BE, A BENEFIT PLANINVESTOR. IN ADDITION, EACH INITIAL PURCHASER ANDTRANSFEREE OF AN INTEREST IN THE NOTES REPRESENTEDHEREBY REPRESENTS TO THE ISSUER, THE TRUSTEE, THE INCOMENOTE ISSUING AND PAYING AGENT AND THE PLACEMENT AGENT

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THAT, AMONG OTHER THINGS (i) EXCEPT AS EXPRESSLYPERMITTED ABOVE, IT IS NOT, AND FOR SO LONG AS IT HOLDS ANYINTEREST IN THE NOTES REPRESENTED HEREBY, WILL NOT BE, ABENEFIT PLAN INVESTOR, AND (ii) WITHOUT LIMITING ANYREMEDIES AVAILABLE FOR ANY BREACHES BY IT OF ANYWARRANTIES OR OTHER ASSURANCES, IT UNDERSTANDS THATTHE INCOME NOTE ISSUING AND PAYING AGENCY AGREEMENTPERMITS THE ISSUER TO DEMAND THAT ANY PERSON HOLDINGANY INTEREST IN THE NOTES REPRESENTED HEREBY WHO ISDETERMINED TO BE A BENEFIT PLAN INVESTOR TO SELL SUCHINTEREST TO A PERSON WHO IS NOT A BENEFIT PLAN INVESTORAND WHO MEETS ALL OTHER APPLICABLE TRANSFERRESTRICTIONS AND, IF SUCH HOLDER DOES NOT COMPLY WITHSUCH DEMAND WITHIN THIRTY (30) DAYS THEREOF, THE ISSUERMAY SELL SUCH HOLDER'S INTEREST IN THE NOTES REPRESENTEDHEREBY.

DISTRIBUTIONS OF AVAILABLE FUNDS TO THE HOLDER OF THENOTES REPRESENTED HEREBY ARE SUBORDINATE TO THEPAYMENT ON EACH PAYMENT DATE OF INTEREST ON ANDPRINCIPAL OF EACH CLASS OF RATED NOTES ISSUED BY THEISSUER PURSUANT TO THE INDENTURE REFERRED TO IN THEINCOME NOTE ISSUING AND PAYING AGENCY AGREEMENT ANDTHE PAYMENT OF CERTAIN OTHER AMOUNTS IN THE MANNERPROVIDED IN THE PRIORITY OF PAYMENTS SET FORTH IN THEINDENTURE.


Initial Investors in and Transferees of Certificated Income Notes

Each initial investor in, and subsequent transferee of, the Certificated Income Notes will be required toprovide to the Issuer and the Income Note Issuing and Paying Agent in connection with any transfer of suchCertificated Income Notes a written certification in substantially the form provided in the Income Note Issuing andPaying 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 relianceon the exemption from Securities Act registration provided by Rule 144A thereunder or (2) is anAccredited Investor acquiring the Income Notes in reliance on the exemption from registration provided bySection 4(2) thereof (subject to the delivery of such certifications, legal opinions or other information as theIssuer 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 QualifiedPurchaser purchasing for its own account and (c) understands the Income Notes will bear the legend setforth above. In addition, it represents and warrants that it (a)(1) was not formed for the purpose ofinvesting in the Issuer, (2) is not a partnership, common trust fund, pension, profit sharing or otherretirement trust fund or plan in which the partners, beneficiaries or participants, as applicable, maydesignate the particular investments to be made, (3) if it would be an investment company but for theexception in Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act, its investment in theIncome Notes and any Notes does not exceed 40% of its total assets and (4) it did not specifically solicitadditional capital or similar contributions from any person owning an equity or similar interest in it for thepurpose of enabling it to purchase the Income Notes, in each case, except when each beneficial owner ofthe purchaser is a Qualified Purchaser purchasing for its own account, (b) has received the necessary

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consent from its beneficial owners if the purchaser is a private investment company formed before April30, 1996, (c) is not a broker-dealer that owns and invests on a discretionary basis less than U.S.$25,000,000in securities of unaffiliated issuers, (d) it is not a special trust, pension, profit sharing or other retirementtrust fund or plan in which the beneficiaries or participants may designate the particular investments to bemade, (e) will provide notice to any subsequent transferee of the transfer restrictions provided in thelegend, (f) will hold and transfer the Income Notes in a minimum denomination of not less thanU.S.$250,000 (or such other amount, as permitted hereunder and under the Income Note Issuing andPaying Agency Agreement), for it or for each account for which it is acting and (g) will provide the Issuerfrom time to time such information as it may reasonably request in order to ascertain compliance with thisparagraph (i).

(ii) It understands that the Income Notes have been offered only in a transaction notinvolving any public offering in the United States within the meaning of the Securities Act, the IncomeNotes have not been and will not be registered under the Securities Act, and, if in the future it decides tooffer, 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 andPaying Agency Agreement and the legend on such Income Notes. It acknowledges that no representation ismade as to the availability of any exemption under the Securities Act or any state securities laws for resaleof the Income Notes.

(iii) In connection with the purchase of the Income Notes: (a) the Issuer is not acting as afiduciary or financial or investment advisor for it; (b) it is not relying (for purposes of making anyinvestment decision or otherwise) upon any advice, counsel or representations (whether written or oral) ofthe Issuer or the Placement Agent or any of their agents other than any statements in a current Prospectusfor 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 accountingadvisors to the extent it has deemed necessary and has made its own investment decisions based upon itsown judgment and upon any advice from such advisors as it has deemed necessary and not upon any viewexpressed by the Issuer or the Placement Agent; (d) its purchase of the Income Notes will comply with allapplicable laws in any jurisdiction in which it resides or is located; (e) it is acquiring the Income Notes asprincipal solely for its own account for investment and not with a view to the resale, distribution or otherdisposition thereof in violation of the Securities Act; (f) it has made investments prior to the date hereofand was not formed solely for the purpose of investing in the Income Notes; (g) it may not hold any IncomeNotes for the benefit of any other person, shall at all times be the sole beneficial owner thereof for purposesof the Investment Company Act and all other purposes and will not sell participation interests in the IncomeNotes or enter into any other arrangement pursuant to which any other person shall be entitled to abeneficial interest in the distributions on the Income Notes; and (h) it is a sophisticated investor and ispurchasing the Income Notes with a full understanding of all of the terms, conditions and risks thereof, andit 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" isdefined in 29 C.F.R. Section 2510.3-101 to mean any (1) "employee benefit plan" (as defined in section3(3) of ERISA), whether or not subject to Title I of ERISA, including, without limitation, governmentalplans, foreign plans, and church plans, (2) "plan" (as defined in section 4975(e)(1) of the Code), whether ornot subject to section 4975 of the Code, including, without limitation, individual retirement accounts andKeogh plans or (3) entity whose underlying assets include plan assets by reason of such an employeebenefit plan's or plan's investment in such entity, including, without limitation, as applicable, an insurancecompany general account. Notwithstanding the foregoing, with respect to a Certificated Income Note, aninsurance company acting on behalf of its general account may purchase Income Notes, in which case itshall represent and agree that (i) the percentage of the assets in its general account that may be or becomeplan assets does not and shall not exceed 25%, (ii) Prohibited Transaction Exemption 95-60 issued by theU.S. Department of Labor applies to exempt the purchase and holding of the Income Notes from theprohibited transaction provisions of ERISA and Section 4975 of the Code, and (iii) it is not and will neverbecome (A) a person (other than a Benefit Plan Investor) that has the discretionary authority or control withrespect to the assets of the issuer or (B) a person that provides investment advice for a fee (direct or

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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 CertificatedIncome Note may be offered, sold, pledged or otherwise transferred, the transferee will be required toprovide the Trustee or the Income Note Issuing and Paying Agent (as applicable) with a letter containingrepresentations 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,(2) the Rated Notes will be treated as indebtedness of the Issuer and (3) the Income Notes will be treated asequity in the Issuer; it agrees to such treatment, to report all income (or loss) in accordance with suchtreatment and to take no action inconsistent with such treatment, except as otherwise required by any taxingauthority under applicable law.

(vi) It understands that the Issuer, the Income Note Issuing and Paying Agent, the PlacementAgent, the Collateral Manager and their counsel will rely upon the accuracy and truth of the foregoingrepresentations, and it hereby consents to such reliance.

(vii) It understands that the Income Note Issuing and Paying Agency Agreement permits theIssuer to demand that any Holder of a Certificated Income Note who is determined not to be either (a) aperson that is both (1) either a Qualified Institutional Buyer or an Accredited Investor and (2) a QualifiedPurchaser purchasing for its own account or (b) a person who will take delivery of its Income Notes in theform of an interest in Regulation S Global Income Notes, and in each case who is not a U.S. Person in atransaction meeting the requirements of Regulation S, to sell such Income Notes to a person who meets allapplicable 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 Issuerand the Income Note Issuing and Paying Agent to make, and each subsequent transferee of Income Notesrepresented by an interest in a Regulation S Global Income Note, respectively, will be deemed to have made, therepresentations set forth in clauses (ii) through (vii) of the section above and each of the following representationsand agreements:

(i) It is aware that the sale of Income Notes to it is being made in reliance on the exemptionfrom registration provided by Regulation S and understands that the Income Notes offered in reliance onRegulation S will bear the legend set forth above and be represented by one or more Regulation S GlobalIncome Notes. The Income Notes so represented may not at any time be held by or on behalf ofU.S. Persons as defined in Regulation S under the Securities Act. It and each beneficial owner of theIncome Notes that it holds is not, and will not be, a U.S. Person (as defined in Regulation S under theSecurities Act) and its purchase of the Income Notes (as applicable) will comply with all applicable laws inany 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 isnot 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 theIssuer to demand that any beneficial owner of Regulation S Global Income Notes who is determined to be aU.S. Person to sell all its right, title and interest in such Income Notes (a) to a person who is not aU.S. Person in a transaction meeting the requirements of Regulation S or (b) to a person who will takedelivery of its Income Notes in the form of Certificated Income Notes and who executes and delivers to theIssuer and the Income Note Issuing and Paying Agent written certification in the form provided in theIncome Note Issuing and Paying Agency Agreement, in which such person will make all representations,

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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 anAccredited Investor and (2) a Qualified Purchaser purchasing for its own account, in a transaction meetingthe requirements of Rule 144A under the Securities Act or Section 4(2) thereof and, if it does not complywith 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 PayingAgency Agreement, the Income Notes being sold to it will be represented by one or more Global Notes.

(v) It is not, and for so long as it holds any Income Notes, will not be, a Benefit Plan Investorand it understands that the Income Note Issuing and Paying Agency Agreement permits the Issuer todemand that any person holding Regulation S Global Income Notes (or a beneficial interest therein) who isdetermined to be a Benefit Plan Investor to sell such Regulation S Global Income Notes (or a beneficialinterest therein) to a person who is not a Benefit Plan Investor and who meets all other applicable transferrestrictions and, if such Holder does not comply with such demand within thirty (30) days thereof, theIssuer 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 ofavoiding United States Federal tax penalties, and was written to support the promotion or marketing of thetransaction. Each prospective investor should seek advice based on such person's particular circumstances from anindependent tax advisor.

General

The following summary describes the principal U.S. federal income tax and Cayman Islands taxconsequences of the purchase, ownership and disposition of the Notes to investors that acquire the Notes at originalissuance and, in the case of the Notes, for an amount equal to the "Issue Price" of the relevant Class of Notes (forpurposes of this section, with respect to each Class of Notes, the first price at which a substantial amount of Notes ofsuch Class are sold to investors is referred to herein as the "Issue Price"). This summary does not purport to be acomprehensive description of all the tax considerations that may be relevant to a particular investor's decision topurchase the Notes. In addition, this summary does not describe any tax consequences arising under the laws of anystate, locality or taxing jurisdiction other than the U.S. federal income tax laws and Cayman Islands tax laws. Ingeneral, the summary assumes that a Holder of a Note holds such Note as a capital asset within the meaning ofSection 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 dateof 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 mayapply 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 theU.S. Internal Revenue Service (the "IRS") will take a similar view of the U.S. federal income tax consequences ofan investment in the Notes as described herein. ACCORDINGLY, PROSPECTIVE INVESTORS IN THENOTES SHOULD CONSULT THEIR OWN TAX ADVISORS AS TO U.S. FEDERAL INCOME TAX ANDCAYMAN ISLANDS TAX CONSEQUENCES OF THE PURCHASE, OWNERSHIP AND DISPOSITIONOF THE NOTES AND THE POSSIBLE APPLICATION OF STATE, LOCAL, FOREIGN OR OTHERTAX LAWS.

As used in this section, the term "U.S. Holder" includes a beneficial owner of a Note that is, forU.S. federal income tax purposes, a citizen or individual resident of the United States of America, a corporation orother entity treated as a corporation for U.S. federal income tax purposes created or organized in or under the lawsof the United States of America, any state thereof or the District of Columbia, an estate the income of which isincludible in gross income for U.S. federal income tax purposes regardless of its source, or a trust if, in general, acourt within the United States of America is able to exercise primary supervision over its administration and one ormore United States persons (as defined in the Code) have the authority to control all substantial decisions of suchtrust, but excludes certain types of investors that are subject to special U.S. federal income tax rules which are notdiscussed herein, including but not limited to, dealers in securities or currencies, traders in securities, financialinstitutions, tax exempt investors, persons subject to alternative minimum tax, U.S. expatriates, insurancecompanies, persons that own (directly or indirectly) stock of the Issuer or equity interests in a beneficial owner ofNotes, Persons holding the Notes as part of a hedge, straddle, conversion or constructive sale transaction, Holdersthat purchase the Notes for a price other than the Notes' respective Issue Prices and subsequent purchasers of theNotes. In addition, if an entity or an arrangement is classified and treated for U.S. federal income tax as apartnership, the U.S. federal income tax treatment of the partners in the partnership generally will depend on theclassification and treatment of the partners and the activities of the partnership. Prospective investors that arepartnerships, and partners in such partnerships, should consult their own tax advisors to determine the U.S. federalincome 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 fromU.S. federal income tax to non-U.S. corporations which restrict their activities in the United States to trading instocks and securities (and any other activity closely related thereto) for their own account, whether such trading (orsuch 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 inactivities in the United States other than trading in stocks and securities for their own account or that are dealers instocks and securities.

The Issuer intends to rely on the above exemption and does not intend to operate so as to be subject toU.S. federal income taxes on its net income. In this regard, in the opinion of Clifford Chance US LLP, specialU.S. tax counsel to the Issuer ("Special U.S. Tax Counsel"), although no activity closely comparable to thatcontemplated 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'scontemplated activities will not cause it to be treated as conducting a trade or business within the United Statesunder 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 tocomply with its covenant in the Indenture that it will not become the owner of any asset that would cause it to beengaged, or deemed to be engaged, in a U.S. trade or business for U.S. federal income tax purposes. In addition, inspecified circumstances the Indenture permits the Issuer to receive Equity Securities that might result in a violationof that covenant. The opinion received by the Issuer from Special U.S. Tax Counsel does not cover suchcircumstances. In interpreting and complying with the Transaction Documents, the Issuer and the CollateralManager are entitled to rely upon the advice and/or opinions of their counsel. The aforementioned opinion ofSpecial U.S. Tax Counsel will assume that any such advice and/or opinions (other than such opinion of SpecialU.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. TaxCounsel's interpretation thereof, and on certain factual assumptions and representations as to the Issuer'scontemplated activities. The Issuer intends to conduct its affairs in accordance with such assumptions andrepresentations, and the remainder of this summary assumes such result. However, opinions of Special U.S. TaxCounsel are not binding on the IRS and there can be no assurance that positions contrary to those stated in suchopinions may not be asserted successfully by the IRS.

Notwithstanding the foregoing, if it were determined that the Issuer were conducting a trade or businesswithin the United States (as defined in the Code), and the Issuer had taxable income that is effectively connectedwith such U.S. trade or business, the Issuer would be subject under the Code to the regular U.S. federal corporateincome tax on such effectively connected taxable income (and possibly to the 30% branch profits tax as well). Theimposition of such taxes would materially affect the Issuer's financial ability to make payments with respect to theNotes and could materially affect the yield of the Notes.

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 anet income basis, income derived by the Issuer may be subject to withholding taxes imposed by the United States orother countries. Generally, U.S. source interest income received by a foreign corporation not conducting a trade orbusiness within the United States is subject to U.S. withholding tax at the rate of 30% of the amount thereof. TheCode provides an exemption (the "portfolio interest exemption") from such withholding tax for interest paid withrespect to certain debt obligations issued after July 18, 1984, unless the interest constitutes a certain type ofcontingent interest or is paid to a 10% shareholder of the payor, to a controlled foreign corporation related to thepayor, or to a bank with respect to a loan entered into in the ordinary course of its business. In this regard, the Issueris permitted to acquire a particular Collateral Debt Security only if the payments thereon are exempt fromU.S. withholding taxes at the time of acquisition or the obligor is required to make "gross-up" payments to fully

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offset any tax on any such payments. In addition, the Issuer does not intend to derive material amounts of any otheritems of income that would be subject to U.S. withholding taxes, except that income with respect to an EquitySecurity 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" forany material amount of U.S. withholding tax. However, there can be no assurance that income derived by the Issuerwill not generally become subject to U.S. withholding tax as a result of a change in U.S. tax law or administrativepractice, procedure, or interpretations thereof. Any change in U.S. tax law or administrative practice, procedure, orinterpretations thereof resulting in the income of the Issuer becoming subject to U.S. withholding taxes couldconstitute a Tax Event. See "Description of the Notes—Rated Notes—Early Redemption". It is also anticipated thatthe Issuer will acquire Collateral Debt Securities that consist of obligations of non-U.S. issuers. In this regard, theIssuer may only acquire a particular Collateral Debt Security if either payments thereon are not subject to foreignwithholding tax or the Issuer of the Collateral Debt Security 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 the Class A Notes, the Class B Notes and the Class C Notes as debt for U.S. federalincome tax purposes, and each Holder and beneficial owner of such Note, by acceptance of such Note or a beneficialinterest therein, will agree to treat these Notes as debt for such purposes. In the opinion of Special U.S. TaxCounsel, the Class A Notes, the Class B Notes and the Class C Notes will be treated as debt for U.S. federal incometax purposes. Such opinion and agreement are not binding on the IRS, and no ruling will be sought from the IRSregarding this, or any other, aspect of the U.S. federal income tax treatment of these Notes. Accordingly, there canbe no assurance that the IRS will not contend, and that a court will not ultimately hold, that these Notes are equity inthe Issuer. If any of the Class A Notes, the Class B Notes or the Class C Notes were treated as equity in, rather thandebt of, the Issuer for U.S. federal income tax purposes, the U.S. Holders thereof would be subject to the treatmentdescribed below for U.S. Holders of Income Notes and there might be adverse tax consequences for suchU.S. Holders upon sale, redemption, retirement or other disposition of, or the receipt of certain types of distributionson, the Notes of such Class. The remainder of this discussion assumes that the Class A Notes, the Class B Notes andthe 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 incomepayments 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 morethan a de minimis amount, a U.S. Holder will be considered to have purchased such Note with original issuediscount ("OID"). The stated redemption price at maturity of a Note will be the sum of all payments to be receivedon such Note other than payments of "qualified stated interest" (in general, stated interest which is unconditionallypayable in money at least annually).

It is not anticipated that the Class A Notes will be issued with OID and the remainder of this discussionassumes this to be the case. Prospective U.S. Holders should note that, because interest on the Class B Notes andthe Class C Notes is not unconditionally payable in money on each Payment Date (and, therefore, will not be"qualified stated interest"), all of the stated interest payments on such Notes will be included in the statedredemption price at maturity of such Notes and must therefore be accrued by a U.S. Holder pursuant to the OIDrules, 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 ofthe "daily portions" of total OID on such Note under a constant yield method, as interest from sources outside theUnited States, for each day during the taxable year on which the U.S. Holder held such Note regardless of suchU.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

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on the value of LIBOR used in setting interest for the first Interest Period and then to adjust the income for eachsubsequent Interest Period for any difference in the actual value of LIBOR used in setting interest for thatsubsequent Interest Period and the assumed rate. In the absence of controlling authority, the Issuer intends to accrueany remaining discount on the Class B Notes or the Class C Notes (which generally will equal the excess of theNote's stated principal amount over its issue price) over the period that starts on the Closing Date and ends on thelast day of the Call Period based on a constant yield method.

The Issuer intends to take the position, and the foregoing discussion assumes, that the Notes will not beclassified as "contingent payment debt obligations" for purposes of calculating OID. However, it is possible that theIRS will take a contrary view and seek to so classify some or all of the Notes. If the IRS were successful in soclassifying the Notes, among other consequences, any gain recognized on the sale, redemption, retirement or otherdisposition 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 suchHolder, (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 thedifference between the amount realized on the sale, exchange, redemption or retirement (other than amountsattributable to accrued interest on a Class A Note, which will be taxable as described above) and the Holder's taxbasis in such Note. Such gain or loss will be long-term capital gain or loss if the U.S. Holder held the Note for morethan one year at the time of disposition. In certain circumstances, U.S. Holders that are individuals may be entitledto preferential treatment for net long-term capital gains; however, the ability of U.S. Holders to offset capital lossesagainst ordinary income is limited.

A U.S. Holder will also recognize gain upon receipt of a principal payment equal to the difference betweenthe 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 willbe treated as from sources within the United States, and loss so recognized generally will offset income from sourcesin 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 Noteswill be treated as equity of the Issuer for U.S. federal income tax purposes. The Issuer intends to treat the IncomeNotes as equity in the Issuer for U.S. federal income tax purposes and each Holder and beneficial owner of anIncome Note, by acceptance of such Note or a beneficial interest therein, will agree to treat such Note as equity forsuch purposes.

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 thanU.S. Holders that make the "qualified electing fund" (or "QEF") election described below and certain tax-exemptinvestors, are subject to certain punitive rules regarding the taxation of "excess distributions" (which include bothcertain distributions by a PFIC and any gain recognized on a disposition of PFIC stock). Accordingly, allU.S. Holders (other than certain tax-exempt investors) should consider making a QEF election. That election, ifmade, must be accompanied by filing each year a form with the U.S. Holder's tax return, in the manner describedbelow. Except as otherwise provided, the balance of this discussion assumes that each U.S. Holder (other thancertain tax-exempt investors) makes the QEF election provided in Section 1295 of the Code.

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The QEF election is effective only if certain required information is made available by the Issuer. TheIssuer will undertake to comply with the IRS information requirements necessary to be a QEF and to provide to eachU.S. Holder information needed for the determination of such holder's pro rata share of the Issuer's ordinaryearnings and net capital gain. In general, a QEF election should be made by filing IRS Form 8621 on or before thedue date for filing a U.S. Holder's U.S. federal income tax return for the first taxable year for which suchU.S. Holder owns Income Notes. A U.S. Holder making the QEF election must also file Form 8621 annually withthe IRS. Failure to comply with the annual reporting requirement described in the preceding sentence may result inthe 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 taxableyear to include in gross income (i) as ordinary income, such Holder's pro rata share of the Issuer's ordinary earningsand (ii) as capital gain, such Holder's pro rata share of the Issuer's net capital gain, whether or not distributed. aU.S. Holder will not be eligible for the dividends received deduction or the preferential 15% U.S. federal income taxrate in respect of such income or gain. In addition, any losses of the Issuer in a taxable year will not be available tosuch U.S. Holder and may not be carried back or forward in computing the Issuer's ordinary earnings and net capitalgain in other taxable years. An amount included in an electing U.S. Holder's gross income should be treated asincome from sources outside the United States for U.S. federal foreign tax credit purposes. However, ifU.S. Holders collectively own (directly or constructively) 50% or more (measured by vote or value) of the IncomeNotes, such amount will be treated as income from sources within the United States for such purposes to the extentthat such amount is attributable to income of the Issuer from sources within the United States. If applicable to aU.S. Holder of Income Notes, the rules pertaining to a "controlled foreign corporation", discussed below, generallyoverride 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 mayalso be permitted to elect to defer payment of some or all of the taxes on the QEF's income subject to an interestcharge on the deferred amount. In this respect, prospective purchasers of Income Notes should be aware that it isexpected that the Collateral Debt Securities may be purchased by the Issuer with substantial OID, the cash paymentof which may be deferred, perhaps for a substantial period of time, and the Issuer may use principal proceeds fromthe Collateral Debt Securities to purchase Substitute Collateral Debt Securities or to retire the Notes. As a result, theIssuer may have in any given year substantial amounts of earnings for U.S. federal income tax purposes that are notdistributed on the Income Notes. Thus, absent an election to defer payment of taxes, U.S. Holders that make a QEFelection with respect to the Issuer may owe tax on significant "phantom" income.

In addition, it should be noted that if the Issuer invests in obligations that are not in registered form, aU.S. Holder making a QEF election (i) may not be permitted to take a deduction for any loss attributable to suchobligations when calculating its share of the Issuer's earnings and (ii) may be required to treat income attributable tosuch obligations as ordinary income even though the income would otherwise constitute capital gains. It is possiblethat some portion of the investments of the Issuer will constitute obligations that are not in registered form.

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If a U.S. Holder does not make the QEF election, and the PFIC rules are otherwise applicable to suchU.S. Holder, it will be subject to special rules for the taxation of "excess distributions", which include both certaindistributions by a PFIC and any gain recognized on a disposition of PFIC stock. For this purpose, a gift of IncomeNotes, an exchange of Income Notes pursuant to a corporate reorganization, or the use of Income Notes as securityfor 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 asordinary income and will be treated as earned pro rata over the holding period of the U.S. Holder's investment inIncome Notes. The amount allocated to the current year will be included in the U.S. Holder's gross income for thecurrent year as ordinary income. With respect to amounts allocated to prior years, tax would be imposed based uponthe maximum ordinary income tax rate applicable in the year in which such income is deemed to be earned, andinterest would be charged (based upon interest rates for underpayments of U.S. federal income taxes) with respect tosuch tax from the due date of the return for each such year. An "excess distribution" is the amount by whichdistributions for a taxable year exceed 125 percent of the average distribution in respect of the Income Notes duringthe three preceding taxable years (or, if shorter, the investor's holding period for the Income Notes). As indicatedabove, any gain recognized upon sale or redemption of the Income Notes (and any final distribution) will be treatedas a distribution and taxed under the rules described above. In addition, a stepped-up basis in the Income Notesupon the death of an individual U.S. Holder may not be available. Accordingly, all U.S. Holders (other than certaintax-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 corporationwill be classified as a CFC if more than 50% of the shares of the corporation, measured by reference to combinedvoting power or value, is owned (actually or constructively) by "U.S. Shareholders". A U.S. Shareholder, for thispurpose, is any United States person that possesses (actually or constructively) 10% or more of the combined votingpower of all classes of shares of the foreign corporation. It is possible that the IRS would assert that the IncomeNotes are de facto voting securities and that U.S. Holders possessing (actually or constructively) 10% or more of theOutstanding Income Notes are U.S. Shareholders. If this argument were successful and more than 50% of theIncome Notes (determined with respect to aggregate value or aggregate amount of Outstanding Income Notes) areowned (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 certainexceptions, as receiving a deemed dividend (taxable as ordinary income) at the end of the taxable year of the Issuerin an amount equal to that person's pro rata share of the "subpart F income" of the Issuer. Such dividend would betreated as income from sources within the United States for U.S. federal foreign tax credit purposes to the extent thatit is attributable to income of the Issuer from sources within the United States. Among other items, and subject tocertain exceptions, "subpart F income" includes dividends, interest, annuities, gains from the sale of shares andsecurities, certain gains from commodities transactions, certain types of insurance income and income from certaintransactions with related parties. It is likely that, if the Issuer were to constitute a CFC, all or most of its incomewould be subpart F income. If more than 70% of the Issuer's income is subpart F income, then 100% of its incomewill be so treated.

If the Issuer were treated as a CFC, a U.S. Shareholder of the Issuer that made a QEF election with respectto the Issuer would be taxable on the subpart F income of the Issuer under rules described in the precedingparagraph and not under the QEF rules previously described. As a result, to the extent subpart F income of theIssuer includes net capital gains, such gains will be treated as ordinary income of the U.S. Shareholder under theCFC rules, notwithstanding the fact that the character of such gains generally would otherwise be preserved underthe QEF rules.

Furthermore, if the Issuer were treated as a CFC and a U.S. Holder were treated as a U.S. Shareholdertherein, the Issuer would not be treated as a PFIC or a QEF with respect to such U.S. Holder for the period duringwhich 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 holdingperiod for the Income Notes subsequently ceased (either because the Issuer ceased to be a CFC or the U.S. Holderceased to be a U.S. Shareholder), then solely for purposes of the PFIC rules, such U.S. Holder's holding period forthe Income Notes would be treated as beginning on the first (1st) day following the end of such qualified portion,

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unless the U.S. Holder had owned any Income Notes for any period of time prior to such qualified portion and hadnot made a QEF election with respect to the Issuer. In that case, the Issuer would again be treated as a PFIC that isnot a QEF with respect to such U.S. Holder, and the beginning of such U.S. Holder's holding period for the IncomeNotes would continue to be the date upon which such U.S. Holder acquired the Income Notes, unless theU.S. Holder made an election to recognize gain with respect to the Income Notes and a QEF election with respect tothe Issuer.

Interest on Income Notes

The treatment of actual distributions of cash on the Income Notes, in very general terms, will varydepending on whether a U.S. Holder has made a timely QEF election as described above and whether theU.S. Holder is a U.S. Shareholder of a CFC. If a timely QEF election has been made, distributions should beallocated 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 pursuantto a QEF election (or pursuant to the CFC rules, if applicable) will be treated first as a nontaxable reduction to theU.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 thatdistributions may be attributable to amounts previously taxed pursuant to the CFC rules, some or all of anydistributions 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 distributionsmay 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 paidout of the Issuer's current or accumulated earnings and profits not allocated to any "excess distributions", then as anontaxable reduction to the U.S. Holder's tax basis for the Income Notes to the extent thereof and then as capitalgain. Dividends received from a foreign corporation generally will be treated as income from sources outside theUnited States for U.S. federal foreign tax credit purposes. However, if U.S. Holders collectively own (directly orconstructively) 50% or more (measured by vote or value) of the Income Notes, a percentage of the dividend incomeequal to the proportion of the Issuer's income from sources within the United States generally will be treated asincome 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 andsuch U.S. Holder's adjusted tax basis in the Income Note. Except as discussed below, such gain or loss will be long-term capital gain or loss if the U.S. Holder held the Income Note for more than one year at the time of thedisposition. In certain circumstances, U.S. Holders who are individuals (or whose income is taxable toU.S. individuals) may be entitled to preferential treatment for net long-term capital gains; however, the ability ofU.S. Holders to offset capital losses against ordinary income is limited. Gain recognized by a U.S. Holder on thesale 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 theUnited States for U.S. federal foreign tax credit purposes and loss so recognized generally will offset income fromsources 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 orare 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 excessdistribution under the PFIC rules, if applicable, (or any gain deemed to accrue prior to the time a non-timely QEFelection is made) will be taxed as ordinary income and subject to an additional tax reflecting a deemed interestcharge under the special tax rules applicable to an "excess distribution" from a PFIC described above. See"—Investment in a Passive Foreign Investment Company".

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If the Issuer were treated as a CFC and a U.S. Holder were treated as a U.S. Shareholder therein, then anygain realized by such U.S. Holder upon the disposition of Income Notes would be treated as ordinary income to theextent 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 pursuantto 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 taxableincome ("UBTI") with respect to income and gains from the Notes regardless of whether they are treated as equityor debt of the Issuer for U.S. federal income tax purposes, except to the extent that the Notes are considered debt-financed property (as defined in the Code) of the tax-exempt U.S. Holder. A tax-exempt U.S. Holder that ownsmore than 50% of the Outstanding Income Notes and also owns Rated Notes should consider the possibleapplication of the special UBTI rules for amounts received from controlled entities. Tax-exempt U.S. Holdersshould 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 otherNotes, if such Notes are treated as equity for U.S. federal income tax purposes) for cash will be required to file aForm 926 or similar form with the IRS if (i) such person owned, directly or by attribution, immediately after thetransfer at least 10% by vote or value of the Issuer or (ii) if the transfer, when aggregated with all transfers made bysuch person (or any related person) within the preceding 12 month period, exceeds U.S.$100,000. In the event aU.S. Holder fails to file any such required form, the U.S. Holder could be required to pay a penalty equal to 10% ofthe gross amount paid for such Notes (subject to a maximum penalty of U.S.$100,000, except in cases involvingintentional disregard). United States persons should consult their tax advisors with respect to this or any otherreporting 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, aU.S. Holder and is not classified and treated as a partnership for U.S. federal income tax purposes (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 besubject to U.S. federal income or withholding tax, unless (i) such income is effectively connected with a trade orbusiness conducted by such non-U.S. Holder in the United States, or (ii) in the case of gain, such non-U.S. Holder isa nonresident alien individual who holds the Notes as a capital asset and is present in the United States for at least183 days in the taxable year of the sale and certain other conditions are satisfied. If an entity or an arrangement isclassified and treated for U.S. federal income tax purposes as a partnership, the U.S. federal income tax treatment ofthe partners in the partnership generally will depend on the classification and treatment of the partners and theactivities of the partnership.

Information Reporting and Backup Withholding

Information reporting to the IRS generally will be required with respect to payments of principal andinterest (including accrual of any OID) on the Notes, payments on the Income Notes and proceeds of the sale of theRated Notes and the Income Notes to Holders other than corporations and other exempt recipients. A backupwithholding tax will apply to those payments if such Holder fails to provide certain identifying information (such assuch Holder's taxpayer identification number) to the Trustee. Non-U.S. Holders may be required to comply withapplicable certification procedures to establish that they are not United States persons in order to avoid theapplication of such information reporting requirements and backup withholding tax. Backup withholding is not anadditional tax, and a Holder can claim a credit against its U.S. federal income tax liability for the amount of anybackup withholding tax and a refund of any excess amount.

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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. federalinformation return and participates in a "reportable transaction" in a taxable year is required to disclose certaininformation on IRS Form 8886 (or its successor form) attached to such person's U.S. federal tax return for suchtaxable year (and also file a copy of such form with the IRS's Office of Tax Shelter Analysis) and to retain certaindocuments related to the transaction. In addition, under these regulations, under certain circumstances, certainorganizers and sellers of a "reportable transaction" will be required to maintain lists of participants in the transactioncontaining identifying information, retain certain documents related to the transaction, and furnish those lists anddocuments to the IRS upon request. The definition of "reportable transaction" is highly technical. However, in verygeneral terms, a transaction may be a "reportable transaction" if, among other things, it is offered under conditionsof confidentiality, it results in the claiming of a loss or losses for U.S. federal income tax purposes in excess ofcertain threshold amounts, or an item from the transaction is treated differently for U.S. federal income tax purposesand for book purposes (generally under U.S. generally accepted accounting principles).

In addition, under these Treasury regulations, if the Issuer participates in a "reportable transaction", aU.S. Holder of Income Notes (or any other Notes, if such Notes are treated as equity for U.S. federal income taxpurposes) that is a "reporting shareholder" of the Issuer will be treated as participating in the transaction and will besubject to the rules described above. Although most of the Issuer's activities generally are not expected to give riseto "reportable transactions", the Issuer nevertheless may participate in certain types of transactions that could betreated 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 equityin the Issuer and makes a QEF election with respect to the Issuer or (ii) the Issuer is treated as a CFC and suchU.S. Holder is a "U.S. Shareholder" (as defined above) of the Issuer. The Issuer intends to provide to U.S. Holdersof Income Notes that are "reporting shareholders" any information necessary to complete IRS Form 8886 (or itssuccessor form).

Prospective investors in the Notes should consult their own tax advisors concerning any possible disclosureobligations under these Treasury regulations with respect to their ownership or disposition of the Notes in light oftheir 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 theNotes. 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 taxconsequences 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 theCayman Islands and no withholding will be required on the payment of interest and principal and other distributionsto any holder of the Notes nor will gains derived from the disposal of the Notes be subject to Cayman Islandsincome or corporation tax. The Cayman Islands currently have no income, corporation or capital gains tax and noestate 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 oftransfer 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 expects to obtain an undertaking from the Governor in Cabinet of the Cayman Islands inthe 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 Cabinetundertakes with CAMBER 5 Ltd ("the Company").

1. 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

2. In addition, that no tax to be levied on profits, income, gains or appreciations or which is in the nature ofestate duty or inheritance tax shall be payable:

2.1. on or in respect of the shares, debentures or other obligations of the Company; or

2.2. by way of the withholding in whole or part, of any relevant payment as defined in Section 6(3) ofthe Tax Concessions Law (1999 Revision).

3. These concessions shall be for a period of thirty years from the 1st day of November, 2005.

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CERTAIN ERISA CONSIDERATIONS

ERISA imposes certain requirements on "employee benefit plans" (as defined in Section 3(3) of ERISA)subject to ERISA, including entities such as collective investment funds and separate accounts whose underlyingassets include the assets of such plans (collectively, "ERISA Plans") and on those persons who are fiduciaries withrespect to ERISA Plans. Investments by ERISA Plans are subject to ERISA's general fiduciary requirements,including the requirement of investment prudence and diversification and the requirement that an ERISA Plan'sinvestments be made in accordance with the documents governing the Plan. The prudence of a particular investmentmust be determined by the responsible fiduciary of an ERISA Plan by taking into account the ERISA Plan'sparticular circumstances and all of the facts and circumstances of the investment including, but not limited to, thematters discussed above under "Risk Factors" and the fact that in the future there may be no market in which suchfiduciary will be able to sell or otherwise dispose of the Notes.

Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the assets of anERISA Plan (as well as those plans that are not subject to ERISA but which are subject to Section 4975 of the Code,such as individual retirement accounts (together with ERISA Plans, "Plans")) and certain persons (referred to as"parties in interest" or "disqualified persons") having certain relationships to such Plans, unless a statutory oradministrative exemption is applicable to the transaction. A party in interest or disqualified person who engages in aprohibited transaction may be subject to excise taxes and other penalties and liabilities under ERISA and Section4975 of the Code.

Governmental plans and certain church and other plans, while not necessarily subject to the fiduciaryresponsibility provisions of ERISA or the provisions of Section 4975 of the Code, may nevertheless be subject toState or other federal laws that are substantially similar to the foregoing provisions of ERISA and the Code.Fiduciaries of any such plans should consult with their counsel before purchasing any of the Notes.

Prohibited transactions within the meaning of Section 406 of ERISA or Section 4975 of the Code may ariseif Notes are acquired with the assets of a Plan with respect to which the Issuer, the Collateral Manager, or any oftheir respective affiliates, is a party in interest or a disqualified person. Certain exemptions from the prohibitedtransaction provisions of Section 406 of ERISA and Section 4975 of the Code may be applicable, however,depending in part on the type of Plan fiduciary making the decision to acquire a Note and the circumstances underwhich such decision is made. There can be no assurance that any class or other exemption will be available withrespect to any particular transaction involving the Notes, or that, if available, the exemption would cover all possibleprohibited transactions.

Each original purchaser of a Rated Note (or a beneficial interest therein) and each transferee of a RatedNote (or a beneficial interest therein) or a Regulation S Global Income Note (or a beneficial interest therein) will bedeemed to make certain representations and warranties, and each original purchaser of an Income Note and eachtransferee of a Certificated Income Note (as applicable) will be required to make certain certifications with regard tothe prohibited transaction provisions of ERISA as described under "Purchase and Transfer Restrictions".

The U.S. Department of Labor has promulgated a regulation, 29 CFR Section 2510.3-101 (the "Plan AssetRegulation"), describing what constitutes the assets of a Plan with respect to the Plan's investment in an entity forpurposes 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 "publiclyoffered security" nor a security issued by an investment company registered under the Investment Company Act, thePlan'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 BenefitPlan Investors (as defined herein) is not "significant".

Equity participation by "Benefit Plan Investors" in an entity is significant if, immediately after the mostrecent acquisition of any equity interest in the entity, 25% or more of the value of any class of equity interests in theentity (excluding the value of any interests held by certain person, other than Benefit Plan Investors, exercisingcontrol over the assets of the entity or providing investment advice with respect to such assets for a fee, direct orindirect (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

109

interest includes any interest in an entity other than an instrument that is treated as indebtedness under applicablelocal law and which has no substantial equity features.

There is little pertinent authority in this area. However, the Issuer will proceed based on the position thatthe Class A Notes, the Class B Notes and the Class C Notes will not constitute "equity interests" in the Issuer. TheIncome Notes are expected to constitute equity interests in the Issuer for U.S. income tax purposes.

The Issuer will require that the initial purchase and subsequent transfers and purchases of Income Noteswill not be held by Benefit Plan Investors by requiring each purchaser of an Income Note to make certainrepresentations 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 will be required tocertify that it is not and will not be a Benefit Plan Investor or a Controlling Person, (ii) each original purchaser of aRegulation S Global Income Note (or a beneficial interest therein) will be required to certify that it is not, and for solong as it holds such Regulation S Global Income Note (or a beneficial interest therein) will not be, a Benefit PlanInvestor and (iii) each subsequent transferee of a Regulation S Global Income Note (or a beneficial interest therein)will represent that it is not, and for so long as it holds such Regulation S Global Income Note (or a beneficial interesttherein) will not be, a Benefit Plan Investor. In addition, without limiting any remedies available for any breachesby it of any warranties or other assurances, the Income Note Issuing and Paying Agency Agreement permits theIssuer to demand that any person holding Regulation S Global Income Notes (or a beneficial interest therein) who isdetermined to be a Benefit Plan Investor to sell such Regulation S Global Income Notes (or a beneficial interesttherein) to a person who is not a Benefit Plan Investor and who meets all other applicable transfer restrictions and, ifsuch Holder does not comply with such demand within thirty (30) days thereof, the Issuer may sell such Holder'sinterest in the Income Note. Notwithstanding the foregoing, insurance companies general accounts that are BenefitPlan Investors will be permitted to acquire Certificated Income Notes as noted below.

No assurances can be given, however, that these conditions and restrictions, or that the assumption made onthe basis of the deemed representations of transferees of interests in Regulation S Global Income Notes, will beeffective in all cases to prevent the assets of the Issuer from being so treated. In this regard, it should be noted thatsubsequent transferees of Regulation S Global Income Notes (or a beneficial interest therein) will not be required toprovide any written certifications regarding matters relating to ERISA in connection with the transfer to them ofRegulation S Global Income Notes (or a beneficial interest therein).

If the assets of the Issuer were deemed to constitute the assets of an investing Benefit Plan Investor, subjectto the foregoing provisions of ERISA and the Code, then, among other adverse results, (i) transactions involving theassets of the Issuer could be subject to the fiduciary responsibility and prohibited transaction provisions of ERISAand Section 4975 of the Code, (ii) the assets of the Issuer could be subject to ERISA's reporting and disclosurerequirements, (iii) the fiduciary causing the Benefit Plan Investor to make an investment in the equity of the Issuercould be deemed to have delegated its responsibility to manage the assets of the Benefit Plan Investor, (iv) variousproviders of fiduciary or other services to the Issuer, and any other parties with authority or control with respect tothe Issuer, could be deemed to be "plan fiduciaries" or otherwise "parties in interest" or "disqualified persons" (ineach case, within the meaning of ERISA) by virtue of their provision of such services and (v) it is not clear thatSection 404(b) of ERISA, which generally prohibits plan fiduciaries from maintaining the indicia of ownership ofassets of plans subject to Title I of ERISA outside the jurisdiction of the district courts of the United States, wouldbe satisfied in all instances.

Based on the reasoning of the United States Supreme Court in John Hancock Mutual Life Ins. Co. v. HarrisTrust and Savings Bank, 510 U.S. 86 (1993), funds allocated to the general account of an insurance companypursuant to a contract with an employee benefit plan that vary with the investment experience of the insurancecompany may under certain circumstances be treated as "plan assets". Any insurance company proposing to investassets of its general account in the Notes should consider the extent to which such investment would be subject tothe requirements of ERISA in light of the John Hancock decision and the 1996 enactment of section 401(c) ofERISA. In particular, such an insurance company should consider the retroactive and prospective exemptive reliefgranted by the Department of Labor for transactions involving insurance company general accounts in ProhibitedTransaction Class Exemption ("PTCE") 95-60 (60 Fed. Reg. 35925; Jul. 12, 1995) and the regulations issued by theDepartment of Labor, 29 C.F.R. section 2550.401-c (Jan. 5, 2000).

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In the preamble to PTCE 95-60, the Department of Labor noted that, for purposes of calculating the 25%threshold under the significant participation test of the Plan Asset Regulation, only the proportion of an insurancecompany general account's equity investment in the entity that represents plan assets should be taken into account.Although the Department of Labor has not specified how to determine the proportion of an insurance companygeneral 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 benefitplans of an employer and its affiliates by comparing the reserves and liabilities for the general account contracts heldby 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 the25% threshold. Any insurance company using general account assets to purchase Certificated Income Notes willrepresent and agree that (i) the percentage of the assets of the general account that may be or become plan assetsdoes not and shall not exceed 25% (ii) PTCE 95-60 applies, and exempts the purchase and holding of the IncomeNotes from the prohibited transaction rules of ERISA and Section 4975 of the Code, and (iii) it is not and shall notbe a Controlling Person.

Any Plan fiduciary or other person who proposes to use assets of any Plan to purchase any of the Notesshould consult with its counsel regarding the applicability of the fiduciary responsibility and prohibited transactionprovisions of ERISA and Section 4975 of the Code to such an investment, and to confirm that such investment willnot constitute or result in a prohibited transaction or any other violation of an applicable requirement of ERISA.

THE PRECEDING DISCUSSION IS ONLY A SUMMARY OF CERTAIN OF THE ERISA ANDOTHER IMPLICATIONS OF AN INVESTMENT IN THE NOTES AND DOES NOT PURPORT TO BECOMPLETE. MOREOVER, THE MATTERS DISCUSSED ABOVE MAY BE AFFECTED BY FUTUREREGULATIONS, RULINGS, AND COURT DECISIONS, SOME OF WHICH MAY HAVERETROACTIVE APPLICATION AND EFFECT. PROSPECTIVE INVESTORS SHOULD CONSULTWITH THEIR OWN LEGAL AND OTHER ADVISORS PRIOR TO INVESTING TO DETERMINE THEERISA IMPLICATIONS OF SUCH INVESTMENTS IN LIGHT OF SUCH INVESTOR'SCIRCUMSTANCES.

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CERTAIN LEGAL INVESTMENT CONSIDERATIONS

Institutions whose investment activities are subject to legal investment laws and regulations or to review bycertain regulatory authorities may be subject to restrictions on investments in the Notes. Any such institution shouldconsult its legal advisors in determining whether and to what extent there may be restrictions on its ability to investin the Notes. Without limiting the foregoing, any financial institution that is subject to the jurisdiction of theComptroller of the Currency, the Board of Governors of the Federal Reserve System, the Federal Deposit InsuranceCorporation, the Office of Thrift Supervision, the National Credit Union Administration, any state insurancecommission, 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 theapplicability of the Federal Financial Institutions Examination Council ("FFIEC") Supervisory Policy Statement onSecurities Activities, which has been adopted by the respective federal regulators comprising the FFIEC.

None of the Issuer, the Initial Purchaser, the Placement Agent, Manx and the Collateral Manager makesany representation as to the proper characterization of the Notes for legal investment or other purposes, or as to theability of particular investors to purchase the Notes for legal investment or other purposes, or as to the ability ofparticular investors to purchase the Notes under applicable investment restrictions. The uncertainties describedabove (and any unfavorable future determinations concerning legal investment or financial institution regulatorycharacteristics of the Notes) may affect the liquidity of the Notes. Accordingly, all institutions whose activities aresubject to legal investment laws and regulations, regulatory capital requirements or review by regulatory authoritiesshould consult their own legal advisors in determining whether and to what extent the Notes are subject toinvestment, capital or other restrictions.

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RATINGS OF THE NOTES

It is a condition to the issuance of the Notes that the Class A-1 Notes be rated "Aaa" by Moody's InvestorsService, Inc. ("Moody's") and "AAA" by S&P, a division of The McGraw-Hill Companies, Inc. ("S&P" and,together with Moody's, the "Rating Agencies"); that the Class A-2 Notes be rated "Aaa" by Moody's and "AAA" byS&P; that the Class A-3 Notes will be rated at least "Aa2" by Moody's and "AA" by S&P; that the Class B Notes berated at least "A3" by Moody's and "A-" by S&P; that the Class C Notes be rated at least "Baa2" by Moody's and"BBB" by S&P on the Closing Date. The Income Notes will not be rated on the Closing Date.

A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision orwithdrawal at any time by the assigning Rating Agency. In the event that a rating initially assigned to any Class ofNotes is subsequently lowered for any reason, no person or entity is obligated to provide any additional support orcredit enhancement with respect to the Notes.

The Issuer will inform the Irish Stock Exchange, so long as any of the Notes are listed thereon, if theratings assigned to such 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 DebtSecurities will provide sufficient funds to pay the Class A Notes, the Class B Notes and the Class C Notes, basedlargely upon Moody's statistical analysis of historical default rates on debt obligations with various ratings, the assetand interest coverage required for the Class A Notes, the Class B Notes and the Class C Notes (which is achievedthrough the subordination of more junior Notes), and the diversification requirements that the Collateral DebtSecurities must satisfy.

Moody's ratings on the Notes addresses the ultimate cash receipt of all required interest and principalpayments as provided by the governing documents, and is based on the expected loss posed to the Holders ofClass A Notes, the Class B Notes and the Class C Notes relative to the promise of receiving the present value ofsuch 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 (whichincreases as securities with lower ratings are added to the portfolio) and an additional default assumption to accountfor future fluctuations in defaults. Moody's then determines the level of credit protection necessary to achieve thedefault probability associated with the rating of the structured securities, taking into account the expected volatilityof 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 thetransaction, including the experience of the Collateral Manager, the legal structure and the risks associated with suchstructure, 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 Securities may not be rated by Moody's but will be assigned arating pursuant to the methodology described in the definition of "Moody's Rating".

S&P

S&P will rate each Class of Notes in a manner similar to the manner in which it rates other structuredissues. The ratings assigned to the Class A Notes, the Class B Notes and the Class C Notes by S&P address thelikelihood 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 Securities willnot exceed those in S&P's analysis, or that recovery rates with respect thereto (and, consequently, loss rates) will notdiffer from those in S&P's analysis.

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

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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 Issuer (the "Purchase Agreement"), and theIncome 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 prospectivepurchasers from time to time in negotiated transactions at varying prices to be determined in each case at the time ofsale (i) within the United States to a purchaser that is (a) a Qualified Institutional Buyer (or, in connection with theIncome Notes, an Accredited Investor) and (b) a Qualified Purchaser purchasing for its own account and that canmake all of the representations in the Indenture or the Income Note Issuing and Paying Agency Agreement, asapplicable, that are applicable to a Holder that is a U.S. Person and (ii) outside the United States in reliance onRegulation S.

The Purchase Agreement provides that, subject to the satisfaction of certain conditions, the InitialPurchaser will purchase all of the Rated Notes from the Issuer. The Initial Purchaser will resell the Rated Notespursuant to Rule 144A and Regulation S under the Securities Act. The Purchase Agreement further provides thatthe obligations of the Initial Purchaser to purchase the Rated Notes are subject to approval of legal matters bycounsel and to other conditions.

The Placement Agency Agreement provides that the Placement Agent will use its reasonable efforts to sellon behalf of the Issuer the Income Notes pursuant to Section 4(2) of, or Regulation S under, the Securities Act, asapplicable. The Placement Agency Agreement further provides that the obligations of the Placement Agent to placeIncome 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 soldwithin the United States or to, or for the account or benefit of, U.S. Persons except in transactions exempt from, ornot subject to, the registration requirements of the Securities Act. Additionally, purchasers of the Notes who areU.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 InitialPurchaser and, with respect to the Income Notes, the Placement Agent has agreed that, except as permitted by thePurchase Agreement or the Placement Agency Agreement, as the case may be, it will not offer or sell the RatedNotes 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 Statesby a dealer that is not participating in the offering may violate the registration requirements of the Securities Act ifthat offer or sale is made otherwise than in accordance with Rule 144A (or, in case of the Income Notes, anotherexemption from registration of Notes under the Securities Act).

The Initial Purchaser, with respect to the Rated Notes, and the Placement Agent, with respect to the IncomeNotes, each have represented and warranted that (i) it has not offered or sold, and, prior to the expiration of sixmonths from the closing of the offering of such Notes will not offer or sell, any such Notes to persons in the UnitedKingdom except to persons whose ordinary activities involve them in acquiring, holding, managing or disposing ofinvestments, whether as principal or agent, for the purposes of their businesses except in circumstances which havenot resulted and will not result in an offer to the public in the United Kingdom within the meaning of the PublicOffers of Securities Regulations 1995, (ii) it has complied with all applicable provisions of the Financial Servicesand Markets Act 2000 (the "FSMA") of the United Kingdom with respect to anything done by them in relation tothe Notes in, from or otherwise involving the United Kingdom and (iii) it has only communicated or caused to becommunicated, and will only communicate or cause to be communicated, in the United Kingdom, any invitation orinducement to engage in investment activity (within the meaning of Section 21 of the FSMA) received by it inconnection with the issue or sale of such Notes in circumstances in which Section 21(1) of the FSMA does not applyto the Issuer.

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The Initial Purchaser, the Placement Agent and their respective Affiliates may have had in the past and mayin the future have business relationships and dealings with one or more issuers of the Collateral Debt Securities andtheir Affiliates and may own equity or debt securities issued by such issuers or their Affiliates. The InitialPurchaser, the Placement Agent or their respective Affiliates may have provided and may in the future provideinvestment banking services to an issuer of Collateral Debt Securities or its Affiliates and may have received or mayreceive compensation for such services.

The Issuer has agreed to indemnify the Initial Purchaser against certain liabilities, including liabilities underthe Securities Act, and has agreed to contribute to payments that the Initial Purchaser may be required to make inrespect 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 Agentmay be required to make in respect thereof.

The Notes are offered when, as and if issued, subject to prior sale or withdrawal, cancellation ormodification of the offer without notice and subject to approval of certain legal matters by counsel and certain otherconditions.

The Notes will constitute new classes of securities with no established trading market. Such a market mayor may not develop, but neither the Initial Purchaser nor the Placement Agent is under any obligation to make such amarket, and if any of the Initial Purchaser or the Placement Agent makes such a market it may discontinue anymarket-making activities with respect to the Notes at any time without notice. In addition, market-making activitywill be subject to the limits imposed by the Securities Act and the Exchange Act. Accordingly, no assurances can bemade 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 willnot make any invitation to the public in the Cayman Islands to subscribe for the Notes pursuant to Section 194 ofThe 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.

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SETTLEMENT AND CLEARING

Upon the issuance of a Global Note, DTC (with an address at 55 Water Street, New York, New York10041-0099) or its custodian will credit, on its internal system, the respective stated initial principal amount of theindividual beneficial interests represented by the Global Notes to the accounts of persons who have accounts withDTC. The accounts initially will be designated by or on behalf of the Initial Purchaser. Ownership of beneficialinterests in Global Notes will be limited to persons who have accounts with DTC ("participants") or persons whohold interests through participants. Ownership of beneficial interests in a Global Note will be shown on, and thetransfer of that ownership will be effected only through, records maintained by DTC or its nominee (with respect tointerests of participants) and the records of participants (with respect to interests of persons other than participants).See "Description of the Notes—Form, Denomination, Registration and Transfer of the Notes".

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LISTING AND GENERAL INFORMATION

1. Application has been made to the Irish Financial Services Regulatory Authority, as competentauthority under Directive 2003/71/EC for the for the prospectus to be approved. Application has been made to theIrish Stock Exchange for the Notes to be admitted to the Official List and trading on its regulated market. There canbe no assurance that such admission will be granted.

2. For the life of this Prospectus, copies of the Issuer's Memorandum of Association and Articles ofAssociation (together, the "Articles"), the Transaction Documents and a description of the Collateral will beavailable for inspection and will be obtainable at the office of the Issuer and at the offices of the Irish Paying Agentin Dublin, Ireland, where copies thereof may be obtained upon request. All such documents will be available inelectronic form.

3. If and for so long as any Class of Notes are listed on the Irish Stock Exchange, copies of theArticles of the Issuer, the resolutions of the board of directors of the Issuer authorizing the issuance of the Notes, theIndenture and the Collateral Management Agreement will be available for inspection during the term of the Notes atthe office of the Trustee. The activities of the Issuer will be limited to (i) acquiring and holding Collateral DebtSecurities and investing in Eligible Investments, (ii) entering into and performing its obligations under theTransaction Documents to which it is a party, (iii) issuing and selling the Notes, (iv) pledging the Collateral assecurity for its obligations in respect of the Rated Notes and otherwise for the benefit of the Secured Parties and(v) other activities incidental to the foregoing. Cash flow derived from the Collateral securing the Rated Notes willbe the Issuer's only source of cash.

4. The Issuer is not required by Cayman Islands law, and the Issuer does not intend, to publishannual reports and accounts. Accordingly, financial statements of the Issuer will be neither prepared nor madeavailable at the office of the Irish Listing Agent. The Indenture, however, requires the Issuer to provide the Trusteewith written confirmation, on an annual basis, that to the best of its knowledge following review of the activities ofthe prior year, no potential Event of Default or Event of Default or other similar matter required to be brought to theTrustee's attention has occurred, or, if such an event has occurred, specifying the same.

5. The Issuer is not involved, or has not 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 onthe Issuer in the context of the issue of the Notes, nor, so far as the Issuer is aware, is any such governmental,litigation or arbitration involving it pending or threatened.

6. The issuance of the Notes has been authorized by the board of directors of the Issuer byresolutions passed on or prior to the Closing Date. Since incorporation, the Issuer has not commenced trading,established any accounts or declared any dividends, except for the transactions described herein relating to theissuance 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 theEuropean Community (Stock Exchange) Regulations, 1984 of Ireland.

8. The applicable CUSIP Numbers for Rule 144A Global Notes, Common Codes for clearancethrough Euroclear and Clearstream, CUSIP (CINS) Numbers for Regulation S Global Notes and Regulation SGlobal Income Notes, International Securities Regulations Numbers (ISIN) and CUSIP Numbers for CertificatedNotes applicable to the Notes are as set forth below:

NoteCUSIP144A ISIN 144A CUSIP Reg S ISIN Reg S

CommonCodes

CUSIP AccreditedInvestors

ISIN AccreditedInvestors

Class A-1 Note .... 13189LAA7 US13189LAA70 G1870HAA8 USG1870HAA89 023925800 13189LAF6 US13189LAF67Class A-2 Note .... 13189LAB5 US13189LAB53 G1870HAB6 USG1870HAB62 023926059 13189LAG4 US13189LAG41Class A-3 Note .... 13189LAC3 US13189LAC37 G1870HAC4 USG1870HAC46 023926091 13189LAH2 US13189LAH24Class B Note ........ 13189LAD1 US13189LAD10 G1870HAD2 USG1870HAD29 023926148 13189LAJ8 US13189LAJ89Class C Note ........ 13189LAE9 US13189LAE92 G1870HAE0 USG1870HAE02 023926229 13189LAK5 US13189LAK52Income Note ........ 13189LAL3 US13189LAL36 G1870HAF7 USG1870HAF76 023926288 13189LAM1 US13189LAM19

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LEGAL MATTERS

Certain legal matters with respect to the Notes will be passed upon for the Issuer, the Initial Purchaser andthe Placement Agent by Clifford Chance US LLP, New York, New York and by Clifford Chance LLP, London,England. Certain matters with respect to Cayman Islands corporate law and tax law will be passed upon for theIssuer by Walkers. Certain matters with respect to the Collateral Manager will be passed upon for the CollateralManager by Dechert LLP, Boston, Massachusetts and Dechert LLP, London, England.

A-1

ANNEX A – GLOSSARY

"ABS CDO Security" means a security that entitles the holder thereof to receive payments that depend onthe cash flow from or the credit exposure to a portfolio consisting primarily of the cash from asset backed securities.

"Account Control Agreement" means that certain Account Control Agreement, dated as of the ClosingDate, as the same may be amended or supplemented from time to time, among the Issuer, the Trustee and theAccountholder.

"Accountholder" means Wachovia Bank, National Association, as accountholder under the AccountControl Agreement.

"Administration Agreement" means that certain Administration Agreement, dated as of December 16,2005, 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, fromand by or accrued for the account of the Issuer with respect to any Payment Date to (i) the Trustee or any co-trusteepursuant to the Indenture; (ii) the Income Note Issuing and Paying Agent pursuant to the Income Note Issuing andPaying Agency Agreement; (iii) the Collateral Administrator pursuant to the Collateral Administration Agreement;(iv) the independent accountants, agents and counsel of the Issuer for fees and expenses (including, withoutlimitation, tax reports); (v) the Rating Agencies for fees and expenses in connection with any rating (including theannual fee payable with respect to the monitoring of any rating) of any Class of Rated Notes by each such RatingAgency (including, without limitation, expenses for credit estimates and ongoing surveillance of the ratings of theNotes); (vi) the Administrator pursuant to the Administration Agreement; (vii) the Collateral Manager and Manx (orany of the Collateral Manager's Affiliates or Partners pursuant to the Collateral Management Agreement by way ofindemnity) and its counsel for fees, expenses and indemnities under the Transaction Documents to the extent setforth therein (including, without limitation, amounts payable under the Collateral Management Agreement andManx Agreement, but excluding the Collateral Management Fee and Manx Fee and any value added tax (togetherwith interest and penalties), if any, payable in respect of the Collateral Manager Fee and/or the Manx Fee, butincluding any fees and expenses incurred in connection with an Auction); (viii) any other Person in respect of anygovernmental fee, charge or tax (including all filing, registration and annual return fees payable to the CaymanIslands' government and registered office fees); and (ix) any other Person in respect of any other fees or expensespermitted under the Indenture and the documents delivered pursuant to or in connection with the Indenture, theIncome Note Issuing and Paying Agency Agreement, the Manx Agreement, the Collateral Management Agreementand the Notes; provided that Administrative Expenses may not include any amounts due or accrued with respect tothe actions taken on or prior to the Closing Date; provided further that Administrative Expenses shall not include (x)amounts payable in respect of the Notes and (y) amounts payable under any Hedge Agreement.

"Affiliate" or "Affiliated" means with respect to a Person, (a) any other Person who, directly or indirectly isin control of, or controlled by, or is under common control with, such Person or (b) any other Person who is adirector, officer or employee or designated member or partner (i) of such Person, (ii) of any subsidiary or parentcompany of such Person or (iii) of any Person described in (a) above. For the purposes of this definition, control ofa Person shall mean the power, direct or indirect, whether by contract or otherwise (A) to vote more than 50% of theshare capital or similar rights of ownership or control of such Person, or (B) to direct or cause the direction of themanagement and policies of such Person. With respect to the Issuer, "Affiliate" will not include Walkers SPVLimited or any entity that Walkers SPV Limited controls.

"Agent Members" means members of, or participants in, the Clearing Agencies.

"Aircraft Leasing and Engine Securities" means Asset-Backed Securities that entitle the holder thereof toreceive payments that depend on the cash flow from either a pool of aircraft leases or rental payments on a pool ofaircraft engines.

"Applicable Periodic Interest Rate" means, for any Interest Period, (i) with respect to the Class A-1 Notes,the applicable Class A-1 Note Interest Rate, (ii) with respect to the Class A-2 Notes, the applicable Class A-2 Note

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Interest Rate, (iii) with respect to the Class A-3 Notes, the applicable Class A-3 Note Interest Rate, (iv) with respectto the Class B Notes, the applicable Class B Note Interest Rate and (v) with respect to the Class C Notes, theapplicable Class C Note Interest Rate.

"Applicable Recovery Rate" means, with respect to any Collateral Debt Security on any date ofdetermination, the lesser of (a) the applicable Moody's Recovery Rate for such Collateral Debt Security on such dateand (b) the applicable S&P Recovery Rate for such Collateral Debt Security on such date.

"Asset-Backed Security" means (i) any debt security that entitles the holder thereof to receive paymentsthat depend primarily on the cash flow from (a) a specified pool of financial assets, either fixed or revolving, that bytheir terms convert into cash within a finite time period, together with rights or other assets designed to assure theservicing 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 assurethe servicing or timely distribution of proceeds to the holder of such security and (ii) any Future Flow Security.

"Auction Call Redemption" means a redemption of the Rated Notes, in whole but not in part, occurringautomatically and without any direction by any person or entity, (i) on or after the earlier of (a) the Payment Dateoccurring in December 2013 and (b) the Payment Date on which the CDS Principal Balance is less than or equal to10% of the CDS Principal Balance as of the Effective Date and (ii) if the Rated Notes have not been redeemed infull on the Payment Date referred to in the foregoing clause (i), on the Payment Date following each Auction Datethereafter, in each case, in accordance with the procedures, and subject to the satisfaction of the conditions,described in the Indenture.

"Auction Date" means each date, occurring on a semi-annual basis and no later than ten (10) Business Daysprior to a scheduled Redemption Date, on which an Auction shall take place.

"Average Life" means, on any Measurement Date, with respect to any Collateral Debt Security (other thana Defaulted Security or Deferred Interest PIK Bond) the quotient obtained by the Trustee by dividing (i) the sum ofthe products of (a) the number of years (rounded to the nearest one tenth thereof) from such Measurement Date tothe respective dates of each successive distribution of principal of such Collateral Debt Security and (b) therespective amounts of principal of such scheduled distributions by (ii) the sum of all successive scheduleddistributions of principal on such Collateral Debt Security.

"Beneficial Owner" means, with respect to any Global Note, each Person that appears on the records of aClearing Agency (other than each such Clearing Agency to the extent that it is an accountholder with the otherClearing Agency for the purpose of operating the "bridge" between them) as entitled to a particular amount of RatedNotes by reason of an interest in a Global Note (for all purposes other than with respect to the payment of principalof and interest on the Rated Notes, the right to which will be vested, as against the Issuer and the Trustee, solely inthe Person in whose name the Global Note is registered in the Note Register (in the case of the Rated Notes) or theIncome Note Register (in the case of the Income Notes)); provided that the Trustee and the Income Note Issuing andPaying Agent may conclusively rely upon the certificate of a Clearing Agency as to the identity of such Personsholding an interest in a Global Note.

"Benefit Plan Investor" means (i) an "employee benefit plan" (as defined in Section 3(3) of ERISA),whether or not subject to Title I of ERISA, including, without limitation, governmental plans, foreign plans andchurch plans, (ii) a "plan" (as defined in Section 4975(e)(1) of the Code), whether or not subject to Section 4975 ofthe Code, including, without limitation, individual retirement accounts and Keogh plans or (iii) an entity whoseunderlying assets include plan assets by reason of such an employee benefit plan's or plan's investment in suchentity, including, without limitation, as applicable, an insurance company general account.

"Business Day" means any day that is not a Saturday, Sunday or other day on which commercial bankinginstitutions in New York, New York; London, England; Charlotte, North Carolina or any other city in which theCorporate 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 suchaction of the Irish Paying Agent is required, days on which commercial banking institutions in Dublin, Ireland are

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authorized or obligated by law or executive order to be closed will also be considered in determining whether suchday is a "Business Day".

"Calculation Date" means, with respect to any Payment Date, the last day of the related Due Period.

"Call Period" means the period commencing on, and including, the Payment Date occurring in December2010 and continuing until the Stated Maturity Date.

"Catastrophe Bond" means an obligation the payments on which are subject to the risk of occurrence ofcertain natural catastrophes specified in the Underlying Instruments of such obligation.

"CDO of CDO Security" means a security that entitles the holder thereof to receive payments that dependon the cash flow from a portfolio of assets, the majority in principal amount of which are CDO Securities.

"CDO Securities" means ABS CDO Securities, CDO of CDO Securities, Investment Grade CDOSecurities, High Yield CDO Securities and/or CLO Securities.

"CDS Principal Balance" means (i) prior to the Effective Date, U.S.$500,000,000 and (ii) after theEffective Date, the Aggregate Principal Balance of (a) Collateral Debt Securities included in the Collateral(including any Collateral Debt Securities that have become Defaulted Securities or Written Down Securities) and (b)Eligible Investments purchased with Collateral Principal Collections.

"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-1 Notes, the Class A-2 Notes, the Class A-3Notes, the Class B Notes and the Class C Notes and the Income Notes.

"Class A Coverage Tests" means the Class A Interest Coverage Test and the Class A Principal CoverageTest.

"Class A Interest Coverage Ratio" means, with respect to any Measurement Date, the ratio (expressed as apercentage) of (i) to (ii), where (i) is equal to the Interest Coverage Amount as of such Measurement Date and where(ii) is an amount equal to the Periodic Interest for the Class A Notes for the Payment Date immediately followingsuch date.

"Class A Interest Coverage Test" means, for so long as any Class A Notes remain Outstanding, a testsatisfied (i) on the Initial Payment Date if the Class A Interest Coverage Ratio as of such date is equal to or greaterthan 100.0% and (ii) on any subsequent Measurement Date if the Class A Interest Coverage Ratio as of suchMeasurement Date is equal to or greater than 110.0%.

"Class A Notes" means, collectively, the Class A-1 Notes, the Class A-2 Notes and the Class A-3 Notes.

"Class A Principal Coverage Ratio" means, with respect to any Measurement Date, the ratio (expressed as apercentage) of (i) to (ii), where (i) is the Principal Coverage Amount as of such date and (ii) is the sum of theaggregate Principal Balance of the Class A Notes then Outstanding; provided that for purposes of calculating theClass A Principal Coverage Ratio to determine compliance pursuant to clause (7) of the Priority of Payments, thedenominator of such ratio shall be calculated after giving effect to any payments of principal on the Rated Notesmade pursuant to clause (7) of the Priority of Payments on the related Payment Date and the numerator of such ratioshall be calculated after giving effect to the application of any Collateral Principal Collections pursuant toclauses (1) through (7) of the Priority of Payments on the related Payment Date.

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"Class A Principal Coverage Test" means, for so long as any Class A Notes remain Outstanding, a testsatisfied on any Measurement Date if the Class A Principal Coverage Ratio as of such Measurement Date is equal toor greater than 108.2%.

"Class A-1 Note Interest Rate" means LIBOR plus 0.29%.

"Class A-1 Notes" means the U.S.$344,000,000 aggregate initial principal amount of Class A-1 FloatingRate Senior Secured Notes due 2045.


"Class A-2 Notes" means the U.S.$23,000,000 aggregate initial principal amount of Class A-2 FloatingRate Senior Secured Notes Due 2045.


"Class A-3 Notes" means the U.S.$67,000,000 aggregate initial principal amount of Class A-3 FloatingRate Senior Secured Notes due 2045.

"Class B Coverage Tests" means the Class B Interest Coverage Test and the Class B Principal CoverageTest.

"Class B Cumulative Deferred Interest Amount" means, with respect to any date of determination, the sumof all Class B Deferred Interest Amounts with respect to all Payment Dates preceding such date of determination,less any amounts applied on all preceding 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 apercentage) of (i) to (ii), where (i) is equal to the Interest Coverage Amount as of such date and where (ii) is the sumof the Periodic Interest for the Class A Notes and the Class B Notes for the Payment Date immediately followingsuch date.

"Class B Interest Coverage Test" means, for so long as any Class A Notes or Class B Notes remainOutstanding, a test satisfied (i) on the Initial Payment Date if the Class B Interest Coverage Ratio as of such date isequal to or greater than 100.0% and (ii) on any subsequent Measurement Date if the Class B Interest Coverage Ratioas of such Measurement Date is equal to or greater than 109.0%.

"Class B Note Interest Rate" means LIBOR plus 1.80%.

"Class B Notes" means the U.S.$19,000,000 aggregate initial principal amount of Class B Floating RateSubordinate Secured Notes due 2045.

"Class B Principal Coverage Ratio" means, with respect to any Measurement Date, the ratio (expressed as apercentage) of (i) to (ii), where (i) is the Principal Coverage Amount as of such Measurement Date and (ii) is thesum of the aggregate Principal Balance of the Class A Notes and the Class B Notes then Outstanding (including anyClass B Cumulative Deferred Interest Amount); provided that (a) for purposes of calculating the Class B PrincipalCoverage Ratio to determine compliance pursuant to clause (10) of the Priority of Payments, the denominator ofsuch ratio shall be calculated after giving effect to any payments of principal on the Rated Notes made pursuant toclause (7) of the Priority of Payments and pursuant to clause (10) of the Priority of Payments on the related PaymentDate and the numerator of such ratio shall be calculated after giving effect to the application of any CollateralPrincipal Collections pursuant to clauses (1) through (10) of the Priority of Payments (excluding clause (8)) on therelated Payment Date and (b) the Interest Reserve Amount shall be calculated after giving effect to the application ofany Collateral Interest Collections pursuant to clause (8) of the Priority of Payments.

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"Class B Principal Coverage Test" means, for so long as any Class A Notes or Class B Notes remainOutstanding, a test satisfied on any Measurement Date if the Class B Principal Coverage Ratio as of suchMeasurement Date is equal to or greater than 106.4%.

"Class C Coverage Tests" means the Class C Interest Coverage Test and the Class C Principal CoverageTest.

"Class C Cumulative Deferred Interest Amount" means, with respect to any date of determination, the sumof all Class C Deferred Interest Amounts with respect to all Payment Dates preceding such date of determination,less any amounts applied on all preceding 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 apercentage) 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 Periodic Interest for the Class A Notes, the Class B Notes and the Class C Notes for thePayment Date immediately following such Measurement Date.

"Class C Interest Coverage Test" means, for so long as any Class A Notes, Class B Notes or Class C Notesremain Outstanding, a test satisfied (i) on the Initial Payment Date if the Class C Interest Coverage Ratio as of suchdate is equal to or greater than 100.0% and (ii) as of any Measurement Date if the Class C Interest Coverage Ratio asof such Measurement Date is equal to or greater than 105.0%.

"Class C Note Interest Rate" means LIBOR plus 3.75%.

"Class C Notes" means the U.S.$21,750,000 aggregate initial principal amount of Class C Floating RateJunior Subordinate Secured Notes due 2045.

"Class C Principal Coverage Ratio" means, as of any Measurement Date, the ratio (expressed as apercentage) of (i) to (ii), where (i) is the Principal Coverage Amount as of such Measurement Date and (ii) is thesum of the aggregate Principal Balance of the Class A Notes, the Class B Notes (including any Class B CumulativeDeferred Interest Amount) and the Class C Notes then Outstanding (including any Class C Cumulative DeferredInterest Amount) provided that for purposes of calculating the Class C Principal Coverage Ratio to determinecompliance pursuant to clause (14) of the Priority of Payments, the denominator of such ratio shall be determinedafter giving effect to any payments of principal on the Rated Notes pursuant to clauses (7), (10) and (14) of thePriority of Payments on the related Payment Date and the numerator of such ratio shall be calculated after givingeffect to the application of any Collateral Principal Collections pursuant to clauses (1) through (14) (excludingclause (8)) of the Priority of Payments on the related Payment Date.

"Class C Principal Coverage Test" means, for so long as any Class A Notes, Class B Notes or Class CNotes remain Outstanding, a test satisfied on any Measurement Date if the Class C Principal Coverage Ratio as ofsuch Measurement Date is equal to or greater than 103.4%.

"Clearing Agency" means DTC, Euroclear or Clearstream.

"Clearstream" means Clearstream Banking, société anonyme.

"CLO Security" means a security that entitles the holder thereof to receive payments that depend on thecash flow from a managed portfolio primarily of broadly syndicated corporate loans made by banks to obligors withannual revenue of over U.S.$250,000,000; provided that such dependence may in addition be conditional uponrights or added assets designed to assure the servicing or timely distribution of proceeds to the holder of suchsecurity.

"Closing Date" means December 20, 2005.

"CMBS Conduit Security" means a CMBS Security (a) issued by a single-seller or multi-seller conduitunder which the holder of such CMBS Security has recourse to a specified pool of assets (but not other assets

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originated by the conduit that support payments on other series of securities) and (b) (other than a CMBS CreditTenant Lease Security or a CMBS Large Loan Security) that entitle the holders thereof to receive payments thatdepend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds toholders of CMBS Securities) on the cash flow from a pool of commercial mortgage loans.

"CMBS Credit Tenant Lease Security" means a CMBS Security (other than a CMBS Large Loan Securityor a CMBS Conduit Security) that entitles the holder thereof to receive payments that depend on the cash flow froma pool of commercial mortgage loans made to finance the acquisition, construction and improvement of propertiesleased to corporate tenants (or on the cash flow from such leases); provided that such dependence may in addition beconditioned upon rights or additional assets designed to assure the servicing or timely distribution of proceeds toholders of CMBS Securities such as a financial guaranty insurance policy.

"CMBS Large Loan Security" means a CMBS Security (other than a CMBS Conduit Security or a CMBSCredit Tenant Lease Security) that entitles the holder thereof to receive payments that depend (except for rights orother assets designed to assure the servicing or timely distribution of proceeds to holders of CMBS Securities) onthe cash flow from a commercial mortgage loan or a small pool of commercial mortgage loans made to finance theacquisition or improvement of real properties.

"CMBS Security" means an Asset-Backed Security that entitles the holder thereof to receive payments thatdepend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds toholders of the Asset-Backed Securities) on the cash flow from a pool of commercial mortgage loans, includingCMBS Conduit Securities, CMBS Credit Tenant Lease Securities and CMBS Large Loan Securities.

"Code" means the U.S. Internal Revenue Code of 1986, as amended.

"Collateral" means:

(i) the Collateral Debt Securities acquired by the Issuer on the Closing Date (as listed inAnnex B hereto) and the additional Collateral Debt Securities acquired by the Issuer after the Closing Dateand any Equity Securities which, in each case, are delivered to the Trustee after the Closing Date and allpayments thereon or with respect thereto;

(ii) the Collection Account, the Uninvested Proceeds Account, the Note Interest ReserveAccount, the Payment Account, the Expense Reserve Account, each Hedge Counterparty CollateralAccount, each Synthetic Security Issuer Account, the Collateral Account and all funds credited to suchaccounts, Eligible Investments purchased with funds credited to such accounts and all income from theinvestment of funds therein;

(iii) income from the investment of funds in any Synthetic Security Counterparty Account tothe extent that the Synthetic Security Counterparty does not have a senior claim thereto pursuant to therelevant underlying Synthetic Security;

(iv) each Hedge Agreement;

(v) the Issuer's rights under each of the Transaction Documents to which it is a party;

(vi) all cash or other property delivered to the Trustee; and

(vii) all proceeds of the foregoing.

"Collateral Account" means the account established at the Accountholder in the name of the Trustee towhich all Collateral Debt Securities included in the Collateral at any time will be credited.

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"Collateral Administration Agreement" means that certain Collateral Administration Agreement, dated asof the Closing Date, as the same may be amended or supplemented from time to time, among the Issuer, theCollateral Manager and the Collateral Administrator.

"Collateral Administrator" means Wachovia Bank, National Association, solely in its capacity as collateraladministrator under the Collateral Administration Agreement, unless a successor Person shall have become thecollateral administrator pursuant to the applicable provisions of the Collateral Administration Agreement, in whichcase 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 therelated Hedge Counterparty.

"Collateral Debt Security" means a debt obligation meeting (or a Synthetic Security, the ReferenceObligation of which, subject to the exceptions specified in the definition thereof, meets) each of the followingstandards as of the date of acquisition (or commitment to acquire) by the Issuer (collectively, the "EligibilityCriteria"):

(i) it is issued by an issuer that is (x) incorporated or organized under the laws of the UnitedStates or any state thereof or an Eligible SPV Jurisdiction or (y) a Qualifying Foreign Obligor;

(ii) it is U.S. Dollar-denominated, and it is not convertible into, or payable in, any othercurrency, or it is denominated in euros or pounds sterling and is subject to a Currency Swap Agreementpursuant to which any payments on non-U.S. dollar denominated Collateral Debt Securities will beconverted to U.S. dollars;

(iii) it has a Moody's Rating and an S&P Rating;

(iv) it is (A) an Asset-Backed Security, or a REIT Debt Security or (B) a CDO Security thathas a Moody's Rating of not less than "Baa3" and a S&P Rating of not less than "BBB-";

(v) the acquisition (including the manner of acquisition), ownership, enforcement anddisposition of such security will not cause the Issuer to be treated as engaged in a U.S. trade or business forU.S. federal income tax purposes or otherwise to be subject to tax on a net income basis in any jurisdictionoutside the Issuer's jurisdiction of incorporation;

(vi) the Issuer will receive payments due under, and proceeds from disposing of, such securityfree and clear of withholding tax, other than withholding tax for which the obligor or issuer must make"gross up" payments so that the net amount received by the Issuer after satisfaction of such tax is theamount due to the Issuer before the imposition of any withholding tax;

(vii) such security is in registered form for U.S. federal income tax purposes, and was issuedafter July 18, 1984 ("Registered"); provided that a certificate of interest in a trust that is treated as a grantortrust for U.S. federal income tax purposes will not be treated as Registered unless each of the obligations orsecurities held by the trust was issued after that date;

(viii) it is not a security that is ineligible under its Underlying Instruments to be purchased bythe Issuer and pledged to the Trustee;

(ix) it provides for the payment of principal (as to which the ultimate payment of principal isnot contingent upon the occurrence of any external events) in cash at not less than par upon maturity underthe terms of its Underlying Instruments;

(x) it is not a Future Advance Security, an Interest Only Security, a Principal Only Security,an Inverse Floating Rate Security, a Catastrophe Bond, a Healthcare Receivables Security, a Manufactured

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Housing Security, a Tobacco Settlement Security, a commercial aircraft enhanced equipment trustcertificate, a Franchise Loan Security, a CDO of CDO Security, an Investment Grade CDO Security, aHigh Yield CDO Security or a CLO Security;

(xi) it is not a security that has a Moody's Rating lower than "Ba2" or a S&P Rating lowerthan "BB" or a S&P Rating with a subscript "p", "pi", "q", "r" or "t" at the time of purchase;

(xii) it is not a security that has deferred or capitalized any interest within the twelve (12)month period prior to the date of purchase or a security in respect of which all capitalized or deferredinterest shall not have been paid prior to the time of purchase of such security;

(xiii) it is not a security that, at the time it is purchased, is a Defaulted Security, an EquitySecurity or a Collateral Debt Security that, in the reasonable business judgment of the Collateral Manager,has a significant risk over time of declining in credit quality or becoming a Defaulted Security or a Written-Down Security;

(xiv) at the time a security is purchased by the Issuer:

(A) it is not a security issued by an issuer located in a country that imposes foreignexchange controls that effectively limit the availability or use of Dollars to make when due thescheduled payments of principal of and interest on such security;

(B) it is not, and does not provide for conversion or exchange into, Margin Stock atany time over its life;

(C) it is not 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 orsimilar transaction and (2) by its terms is required to be repaid within one year of the incurrencethereof with proceeds from additional borrowings or other refinancing;

(D) it is not the subject of (1) any offer by the issuer of such security or by any otherperson 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 underlyinginstruments) or to convert or exchange such security into or for cash, securities or any other typeof 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 notbeen called for redemption;

(E) it is not a security that by the terms of its Underlying Instruments provides forconversion 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

(F) it is not a financing by a debtor-in-possession in any insolvency proceeding;

(xv) if it is a first loss tranche of any multi-tranche securitization, no effect will be given toany notching criteria in the definitions of "S&P Rating" and "Moody's Rating", as applicable, and it has arating assigned by S&P and Moody's that addresses the obligation of the obligor (or guarantor, ifapplicable) to pay principal of and interest on the relevant Collateral Debt Security in full and is monitoredon an ongoing basis by S&P and Moody's;

(xvi) it is not a security that provides for the payment of interest in cash less frequently thansemi-annually;

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(xvii) if it is a Deemed Floating Rate Collateral Debt Security, the Deemed Floating AssetHedge entered into with respect to such Deemed Floating Rate Collateral Debt Security conforms to allrequirements set forth in the definition of "Deemed Floating Asset Hedge";

(xviii) no substantial portion of the underlying collateral for such security shall consist ofobligations of entities that are located in a country or countries other than the United States or anothercountry that is a member of the Organization of Economic Co-operation and Development ("OECD");provided that in making such determination with respect to the underlying collateral for such security, theCollateral Manager shall be allowed to rely entirely upon the applicable offering document (or similardocument), if any, for such security; and

(xix) it is not a CDO Security that is managed by the Collateral Manager or any of its affiliates.

provided that notwithstanding anything to the contrary herein, the Issuer shall not purchase, acquire or hold (whetheras part of a "unit" with a Collateral Debt Security, in exchange for a Collateral Debt Security or otherwise) any assetthe gain from the disposition of which will be subject to U.S. federal income or withholding tax under Section 897or Section 1445 of the Code and the Treasury regulations promulgated thereunder.

"Collateral Interest Collections" means, with respect to any Due Period and the related Payment Date,without duplication, the sum of (i) all Cash payments of interest with respect to any Collateral Debt Securities (otherthan Synthetic Securities) and Eligible Investments included in the Collateral (including any Sale Proceedsrepresenting unpaid interest accrued thereon to the date of the sale thereof, but excluding any unpaid interest accruedon a Defaulted Security, a Deferred Interest PIK Bond or a Written Down Security to the date of sale), any paymentsrepresenting fixed amounts and other payments representing reimbursement of fixed amounts or interest shortfallson the related Reference Obligation deferred from prior payment periods received from any Synthetic SecurityCounterparty with respect to the related Synthetic Security included in the Collateral and all Cash payments inrespect of premium and interest payments payable to the Issuer in respect of Eligible Investments credited to theSynthetic Security Counterparty Account pursuant to the terms of a Synthetic Security, in each case, which arereceived during the related Due Period, (ii) payments received or scheduled to be received on the related PaymentDate from Hedge Counterparties under the Hedge Agreements, provided that so long as the Rated Notes areOutstanding, any termination payments received from any Hedge Counterparty will be used to enter into a substituteHedge Agreement to the extent required to maintain the then current rating of the Rated Notes by each RatingAgency and any excess shall be included as Collateral Interest Collections (excepting, without limitation,termination payments (whether resulting from terminations in full or in part) in respect of any Deemed FloatingAsset Hedge, the termination payments in respect of which shall in each instance be allocated to Collateral PrincipalCollections), (iii) all amendment and waiver fees, all late payment fees, all commitment fees and all other fees andcommissions received during the related Due Period (other than all fees and commissions received in connectionwith the purchase, sale, restructuring, workout or default of Collateral Debt Securities or in connection withDefaulted Securities, Deferred Interest PIK Bonds or Written Down Securities), (iv) the Principal Balance of anyEligible Investments purchased with Collateral Interest Collections, (v) all interest accrued and unpaid on theClosing Date on Collateral Debt Securities included in the Collateral, (vi) any amounts on deposit in the NoteInterest Reserve Account, (vii) the balance in the Expense Reserve Account deposited by the Trustee in theCollection Account when substantially all of the Issuer's assets have been sold or otherwise disposed of, (viii) allcash payments, if any, of premiums paid by a Synthetic Security Counterparty and all interest payments on SyntheticSecurity Collateral, to the extent paid to the Issuer pursuant to the terms of a Synthetic Security; provided thatCollateral Interest Collections shall not include principal of any Collateral Debt Security representing capitalizedinterest after the date of purchase thereof by the Issuer.

"Collateral Management Agreement" means the Collateral Management Agreement, dated as of theClosing Date, as amended or supplemented from time to time, between the Issuer and the Collateral Manager.

"Collateral Management Fee" means collectively the Senior Collateral Management Fee, the SubordinateCollateral Management Fee and the Incentive Collateral Management Fee.

"Collateral Manager" means Cambridge Place Investment Management LLP, a limited liability partnershiporganized under the laws of England and Wales, unless a successor Person shall have become collateral manager

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pursuant to the applicable provisions of the Collateral Management Agreement, in which case Collateral Managershall mean such successor Person.

"Collateral Manager Information" means the information concerning the Collateral Manager in thisProspectus contained under the caption "The Collateral Manager".

"Collateral Principal Collections" means, with respect to any Due Period and the related Payment Date,(i) any payments received with respect to the Collateral not included in the definition of "Collateral InterestCollections", (ii) all interest accrued on any Defaulted Security, in an amount not to exceed the Aggregate PrincipalBalance of such Defaulted Security, (iii) any Uninvested Proceeds remaining on deposit in the Uninvested ProceedsAccount on the Effective Date, (iv) any amounts payable under a Hedge Agreement to the extent such proceeds arenot payable as Collateral Interest Collections pursuant to clause (ii) of the definition thereof and (v) all amountsreceived in connection with a reduction of the Principal Balance of a Synthetic Security.

"Collateral Quality Matrix" means one of the row numbers identified in the table below under the "RowNumber" column, which the Collateral Manager may designate from time to time as being applicable for purposesof determining compliance with the Moody's Asset Correlation Test, the Moody's Maximum Weighted AverageRating Factor Test and the Weighted Average Spread Test:

RowNumber

Moody's AssetCorrelation

Moody's WeightedAverage Rating Factor

Weighted AverageSpread

1 21.00% 435 1.20%2 21.00% 485 1.35%3 21.00% 535 1.53%4 22.00% 435 1.25%5 22.00% 485 1.40%6 22.00% 535 1.60%7 23.00% 435 1.30%8 23.00% 485 1.55%9 23.00% 535 1.85%

10 24.00% 435 1.32%11 24.00% 485 1.65%12 24.00% 535 2.05%13 25.00% 435 1.50%14 25.00% 485 1.90%15 25.00% 535 2.33%

The Collateral Manager shall elect a Collateral Quality Matrix in connection with the Effective Date. Upon one (1)Business Day's prior written notice to the Trustee, the Collateral Manager may elect to have a different CollateralQuality Matrix apply, so long as, immediately after giving effect to such change, each of the Moody's AssetCorrelation Test, the Moody's Maximum Weighted Average Rating Factor Test and the Weighted Average SpreadTest is satisfied or, if any such test was not satisfied immediately prior to giving effect to such change, the Issuer'scompliance with such test is maintained or improved. In no event shall the Collateral Manager be obligated to applya different Collateral Quality Matrix than the one most recently selected by the Collateral Manager.

"Collateral Quality Tests" means the Moody's Asset Correlation Test, the Moody's Maximum WeightedAverage Rating Factor Test, the Moody's Minimum Weighted Average Recovery Rate Test, the Weighted AverageSpread Test, the Weighted Average Life Test, the S&P Minimum Recovery Rate Test and the S&P CDO MonitorTest.

"Collections" means, with respect to any Payment Date, the sum of (i) the Collateral Interest Collectionscollected during the applicable Due Period and (ii) the Collateral Principal Collections collected during theapplicable Due Period.

"Commission" means the United States Securities and Exchange Commission.

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"Controlling Class" means the Class A-1 Notes voting as a single Class, so long as any Class A-1 Notes areOutstanding, and then the Class A-2 Notes and the Class A-3 Notes voting as a single class, so long as any Class A-2 Notes or Class A-3 Notes are outstanding, and then the Class B Notes voting as a single Class, so long as anyClass B Notes are Outstanding, and then the Class C Notes voting as a single Class, so long as any Class C Notesare Outstanding, in each case, based on the aggregate Principal Balance thereof.

"Corporate Debt Security" means any outstanding publicly issued or privately placed corporate debtsecurity that is not an Asset-Backed Security.

"Coverage Tests" means the Class A Coverage Tests, the Class B Coverage Tests and the Class C CoverageTests.

"Credit Improved Security" means any Collateral Debt Security, (i) that, in the reasonable businessjudgment of the Collateral Manager, has significantly improved in credit quality since the date of purchase by theIssuer or (ii) (A) that has been upgraded at least one subcategory by Moody's, S&P or Fitch or put on a watch list forpossible upgrade by Moody's, S&P or Fitch since it was acquired by the Issuer and (B) that, in the reasonablebusiness judgment of the Collateral Manager, has significantly improved in credit quality since the date of purchaseby the Issuer; provided that if Moody's has withdrawn or reduced its (i) long-term ratings of any Class A Notes byone or more rating subcategory since the Closing Date (unless it subsequently has been upgraded or reinstated to atleast the rating assigned on the Closing Date) or (ii) long-term ratings of any Class B Notes or Class C Notes by twoor more rating subcategories since the Closing Date (unless it subsequently has been upgraded or reinstated to atleast one subcategory below the rating assigned on the Closing Date), then such Collateral Debt Security shall beconsidered a Credit Improved Security only if (a) such Collateral Debt Security has been upgraded by at least onerating subcategory by Moody's, S&P or Fitch since it was purchased by the Issuer or has been placed on and isremaining, as of the date of the proposed sale thereof, on a watch list for possible upgrade by Moody's, S&P or Fitchor (b) Holders of a majority of the aggregate Principal Balance of the Outstanding Notes of the Controlling Classhave notified the Collateral Manager in writing that it can treat any security as a Credit Improved Security (providedthat at least one such notification must, but no more than one such notification need be given to the CollateralManager with respect to, any such downgrade or withdrawal of a rating on the Notes).

"Credit Risk Security" means any Collateral Debt Security (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 qualityand, with lapse of time, becoming a Defaulted Security or a Written Down Security; provided that if Moody's haswithdrawn or reduced its (x) long-term ratings of any Class A Notes by one or more rating subcategory since theClosing Date (unless it subsequently has been upgraded or reinstated to at least the rating assigned on the ClosingDate) or (y) long-term ratings of any Class B Notes or Class C Notes by two or more rating subcategories since theClosing Date (unless it subsequently has been upgraded or reinstated to at least one rating subcategory below therating assigned on the Closing Date) then either (a) such Credit Risk Security has been downgraded by at least onerating subcategory or been put on a watch list for possible downgrade by Moody's, S&P or Fitch since it wasacquired by the Issuer or (b) Holders of a majority of the aggregate Principal Balance of the Outstanding Notes ofthe Controlling Class notified the Collateral Manager in writing that it could treat any Collateral Debt Security as aCredit Risk Security (provided that at least one such notification must, but no more than one such notification needbe 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 Security and (B) since the date of purchase by the Issuer, in thereasonable business judgment of the Collateral Manager, has a significant risk of declining in credit quality or, withlapse of time, becoming a Defaulted Security or a Written-Down Security.

"Credit Support Annex" means, as applicable, the ISDA Credit Support Annex to a Hedge Agreementbetween the applicable Hedge Counterparty and the Issuer.

"CS Synthetic Security" means any Synthetic Security pursuant to which the Issuer is the seller ofprotection and which is in the form of a swap transaction that provides for a potential payment by the Issuer to acounterparty (or purchase of a Deliverable Obligation from a Synthetic Security Counterparty) in connection with a"credit event" or other similar circumstances with respect to a single Reference Obligation after the date upon whichsuch Synthetic Security is pledged to the Trustee and that satisfies the following:

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(a) the Issuer has caused to be deposited in a Synthetic Security Counterparty Account, onthe day the Issuer enters into a Synthetic Security in a one-time payment, an amount at least equal to theaggregate of all further payments related to principal (contingent or otherwise, including the purchase ofany Deliverable Obligation) and termination payments that the Issuer is or may be required to make to theSynthetic Security Counterparty under the Synthetic Security;

(b) the agreement relating to such Synthetic Security contains "non-petition" provisionspursuant to which the Synthetic Security Counterparty agrees not to cause the filing of a petition inbankruptcy against the Issuer and "limited recourse" provisions limiting the Synthetic SecurityCounterparty's rights in respect of the Synthetic Security to the funds and other property credited to theSynthetic Security Counterparty Account related to such Synthetic Security;

(c) the agreement relating to such Synthetic Security contains provisions to the effect thanupon the occurrence of an "Event of Default" or "Termination Event" (other than an "Illegality" or "TaxEvent"), if any, where the Synthetic Security 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 suchSynthetic Security) (x) the Issuer may terminate its obligations under such Synthetic Security and uponsuch termination, any lien in favor of the Synthetic Security Counterparty over its related SyntheticSecurity Counterparty Account will be terminated and (y) other than a termination payment associated withthe Issuer's right to declare an early termination date with respect to such Synthetic Security, the Issuer willno longer be obligated to make any payments to the Synthetic Security Counterparty with respect to suchSynthetic Security; provided that this clause (c) shall not apply to any CS Synthetic Security which is aDefeased Synthetic Security, for which clause (b) of the definition of "Defeased Synthetic Security" shallapply instead;

(d) no amounts receivable by the Issuer from the Synthetic Security Counterparty will besubject to withholding tax, unless the issuer thereof or other obligor thereon is required to make additionalpayments sufficient to cover any withholding tax imposed at any time on payments made to the Issuer withrespect thereto;

(e) such CS Synthetic Security terminates upon the redemption or repayment in full of theReference Obligation;

(f) such CS Synthetic Security is positively indexed to the Reference Obligation on no morethan a one-to-one basis; and

(f) (i) such CS Synthetic Security has a rating and a rating factor, and a recovery rateassigned by each of the Rating Agencies, (ii) its inclusion has been subject to a Rating AgencyConfirmation from S&P and (iii) such CS Synthetic Security has been assigned the required Moody'sRating Factor.

"Current Portfolio" means the portfolio (measured by Principal Balance) of (a) the Collateral DebtSecurities and the proceeds of the disposition thereof held as cash and (b) Eligible Investments purchased withproceeds of the disposition of Collateral Debt Securities, existing immediately prior to the sale, maturity or otherdisposition of a Collateral Debt Security or immediately prior to the acquisition of a Collateral Debt Security, as thecase may be.

"Daily Official List" means the Daily Official List of the Irish Stock Exchange.

"Deemed Floating Asset Hedge" means, with respect to a Fixed Rate Collateral Debt Security, an interestrate swap having a notional schedule equal to the Principal Balance as it is reduced by expected amortization of suchFixed Rate Collateral Debt Security over time; provided that, (v) at the time of entry into the Deemed Floating AssetHedge, (i) the principal payments on the Fixed Rate Collateral Debt Security comprising a Deemed Floating RateCollateral Debt Security will not extend beyond ten (10) years after the effective date thereof and (ii) the scheduled

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notional amount of such Deemed Floating Asset Hedge is equal to the expected principal amount of the relatedFixed Rate Collateral Debt Security (as calculated at such time), (x) the Rating Agencies and the Trustee are notifiedprior to the Issuer's entry into a Deemed Floating Asset Hedge, and will be provided with the identity of theproposed hedge counterparty and copies of the hedge documentation and notional schedule, (y) such DeemedFloating Asset Hedge will require Rating Agency Confirmation from S&P to the extent the applicable masteragreement or schedule attached thereto is not a Form-Approved Hedge Agreement and (z) such Deemed FloatingAsset Hedge is priced at then-current market rates; provided further that the Issuer must obtain Rating AgencyConfirmation from each Rating Agency before terminating such Deemed Floating Asset Hedge.

"Deemed Floating Rate Collateral Debt Security" means a Fixed Rate Collateral Debt Security the interestrate of which is hedged into a Floating Rate Collateral Debt Security 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 DeemedFloating Rate Collateral Debt Security would not increase or decrease by more than one year from its expectedaverage life if it were to prepay at either 50% or 150% of its pricing speed and (y) such "Deemed Floating RateCollateral Debt Security" is rated at least investment grade by one of the Rating Agencies.

"Defaulted Interest" means any interest due and payable in respect of any Class A Note or, if no Class ANotes are Outstanding, in respect of any Class B Note or, if no Class B Notes are Outstanding, in respect of anyClass C Note and any interest on such Defaulted Interest, that (in each case) is not punctually paid or duly providedfor on the applicable Payment Date (including the applicable Stated Maturity Date) of the applicable Rated Note.

"Defaulted Securities Amount" means the sum, with respect to each Defaulted Security in the Collateral, ofthe lesser of (i) the product of the Principal Balance of such Defaulted Security and the Applicable Recovery Rate ofsuch Defaulted Security (which shall equal zero for any Collateral Debt Security which is a Defaulted Security for acontinuous period of three (3) years) and (ii) the product of the Principal Balance of such Defaulted Security and theMarket Value of such Defaulted Security.

"Defaulted Security" means any Collateral Debt Security or any other security included in the Collateral:

(i) as to which the Trustee has actual knowledge that (a) the issuer thereof has defaulted inthe payment of principal or interest (without giving effect to any applicable notice or grace period orwaiver) or (b) pursuant to its Underlying Instruments, there has occurred any default or event of defaultwhich entitles the holders thereof, with notice or passage of time or both, to accelerate the maturity(whether by mandatory prepayments, mandatory redemption or otherwise) of all or a portion of theoutstanding principal amount of such security, unless (1) in the case of a default or event of defaultconsisting of a failure of the obligor on such security to make required interest payments and/or scheduledprincipal payments, such security has resumed current payments of interest and scheduled principal in cash(including all past due interest and any interest thereon and scheduled principal) and the Collateral Managerreasonably believes that the payment is not an extraordinary or one-time event or (2) in the case of anyother default or event of default, such default or event of default is no longer continuing (provided that noevent of default has been waived with respect to (A) a default in the payment of principal or interest or(B) insolvency in the event that all outstanding amounts have not been paid) and such security satisfies thecriteria for inclusion of securities in the Eligibility Criteria and the Collateral Manager reasonably believesthat the curing of such default or event of default is not an extraordinary or one-time event;

(ii) that ranks pari passu with or subordinate to any other indebtedness for borrowed moneyowing by the issuer of such security ("Other Indebtedness;" provided that such Other Indebtedness of suchissuer will not include series of such Other Indebtedness that may be issued or owing by a separate specialpurpose entity and is not guaranteed by the issuer) if the Trustee has actual knowledge that such issuer haddefaulted in the payment of principal or interest in respect of such Other Indebtedness (without givingeffect to any applicable notice or grace period or waiver), unless, in the case of a default or event of defaultconsisting of a failure of the obligor on such security to make required interest payments and/or scheduledprincipal payments, such Other Indebtedness has resumed current payments of interest and scheduledprincipal (including all past due interest and any interest thereon and scheduled principal) in cash (whetheror not any waiver or restructuring has been effected);

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(iii) with respect to which any bankruptcy, insolvency or receivership proceeding has beeninitiated in respect of the issuer of such Collateral Debt Security, or there has been proposed or effected anydistressed exchange or other debt restructuring where the issuer of such Collateral Debt Security hasoffered the debt holders a new security or package of securities that either (a) amounts to a diminishedfinancial obligation or (b) has the purpose of helping the issuer to avoid default;

(iv) in the case of a Funded Synthetic Security, if the Funded Synthetic Security Counterpartywith respect thereto is in default pursuant to the terms of such Funded Synthetic Security or if theReference Obligation thereof would be a Defaulted Security under clause (i), (ii) or (iii) of this definition ifincluded as a Collateral Debt Security;

(v) if (a) such Collateral Debt Security has been rated "CC", "D" or "SD" or lower by S&P orif S&P has withdrawn its rating on such Collateral Debt Security after such Collateral Debt Security hadpreviously been rated "CC", "D" or "SD" and has not provided the issuer with a shadow rating; (b) suchCollateral Debt Security has been rated "Ca" or lower by Moody's; or (c) such Collateral Debt Security hasbeen rated below "BB-" by S&P and becomes a Written-Down Security, unless S&P affirms in writing itsrating of such Collateral Debt Security;

(vi) that is a Defaulted Synthetic Security;

(vii) that is a Synthetic Security (other than a Defaulted Synthetic Security) with respect towhich there is a Synthetic Security Counterparty Default; or

(viii) that is a Deliverable Obligation that would not satisfy paragraphs (i), (ii) and (iv) through(xviii) of the Eligibility Criteria and each of the Portfolio Percentage Limitations at the time suchDeliverable Obligation is delivered to the Issuer,

provided that, to the extent applicable, a security shall be considered a Defaulted Security pursuant to clause (ii)only if the Collateral Manager knows, after due inquiry as required pursuant to the Collateral ManagementAgreement, that the issuer thereof is (or the Collateral Manager judges that it is reasonably expected to be, as of thenext scheduled payment 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 Security.

For purposes of this definition, "actual knowledge" shall mean receipt by the Trustee of any relevant report,documentation or written notice from the Collateral Manager, the issuer of or trustee or other service provider withrespect to a Collateral Debt Security that states or provides notification that any of the events stated above hasoccurred.

"Defaulted Synthetic Security" means a Synthetic Security referencing a Reference Obligation that would,if such Reference Obligation were a Collateral Debt Security, constitute a "Defaulted Security" under clauses (i)through (iii) and (v) of the definition thereof.

"Defaulted Synthetic Termination Payments" means any termination payment required to be made by theIssuer to a Synthetic Security Counterparty pursuant to the agreement relating to a Synthetic Security in the event ofa termination of such agreement in respect of which such Synthetic Security Counterparty is the Defaulting Party orsole Affected Party (each as defined in the applicable agreement); provided that the terms of such applicableagreement with respect to any Defeased Synthetic Security require that such termination payments must be made ona Payment Date pursuant to the Priority of Payments.

"Defeased Synthetic Security" means any CS Synthetic Security (a) (i) that provides for the SyntheticSecurity Counterparty to deposit in a Synthetic Security Issuer Account an amount at least equal to the aggregate ofall further payments (contingent or otherwise) that the Synthetic Security Counterparty is or may be required tomake to the Issuer under the CS Synthetic Security during the next succeeding Due Period or (ii) whosedocumentation provides for the related Synthetic Security Counterparty to have ratings at least equal to those

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required of a Hedge Counterparty executing the Form-Approved Hedge Agreement (with appropriate downgradeprocedures similar to the Form-Approved Hedge Agreement), including a procedure that, in the event that theSynthetic Security Counterparty is downgraded below "A-2" (short-term, senior unsecured debt rating) or "BBB+"(long-term, senior unsecured debt rating), requires the Synthetic Security Counterparty's legal counsel to provide anopinion to the Issuer that addresses the enforceability of the documentation for the Defeased Synthetic Security,particularly the fact that the Issuer is still entitled to terminate the related Defeased Synthetic Security and still has aperfected security interest in the collateral deposited in the related Synthetic Security Issuer Account, which will notbe affected upon any future, potential, bankruptcy of the Synthetic Security Counterparty); and (b) the agreementrelating to such Defeased Synthetic Security contains provisions to the effect than upon the occurrence of an "Eventof Default" or "Termination Event" (other than an "Illegality" or "Tax Event"), if any, where the Synthetic SecurityCounterparty 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 theISDA Master Agreement relating to such Synthetic Security) (i) the Issuer may terminate its obligations under suchSynthetic Security and upon such termination, any lien in favor of the Synthetic Security Counterparty over itsrelated Synthetic Security Counterparty Account will be terminated, (ii) no termination payment will be payable bythe Issuer to the Synthetic Security Counterparty as a result of such termination or, if such termination payment ispayable by the Issuer, it will be a payment payable on a Payment Date subordinated in the Priority of Payments inaccordance with 11.1(b) hereof and (iii) the Issuer will no longer be obligated to make any further payments to theSynthetic Security Counterparty with respect to such Synthetic Security.

"Deferred Interest PIK Bond" means a PIK Bond with a Moody's Rating of at least "Baa3" for which thedeferral or capitalization of interest payments, non-payment of scheduled interest or issuance of identical securitiesin lieu of interest payments has occurred over a continuous period of the lesser of (i) two payment dates and (ii) oneyear; provided that a PIK Bond that is not rated by Moody's or has a Moody's Rating lower than "Baa3" will be aDeferred Interest PIK Bond if the deferral or capitalization of interest payments, non-payment of scheduled interestor issuance of identical securities in lieu of interest payments has occurred over a continuous period for the lesser of(i) one payment date and (ii) six months.

"Deferred Interest PIK Bond Amount" means, with respect to each Deferred Interest PIK Bond in theCollateral, the lesser of (i) the product of the Principal Balance of such Deferred Interest PIK Bond and theApplicable Recovery Rate of such Deferred Interest PIK Bond and (ii) the product of the Principal Balance of suchDeferred Interest PIK Bond and the Market Value of such Deferred Interest PIK Bond.

"Deliverable Obligation" means a debt obligation that is delivered to the Issuer upon the occurrence of a"credit event" under a Synthetic Security.

"Discount Collateral Debt Security" means a Collateral Debt Security that was purchased at a purchaseprice below 75% of its original Principal Balance; provided that such Collateral Debt Security will no longer beclassified as a Discount Collateral Debt Security if it maintains a Market Value above 85% of its original PrincipalBalance for twenty-two (22) consecutive Business Days.

"Due Period" means, with respect to each Payment Date, the period beginning on the day following the lastday of the Due Period relating to the preceding Payment Date (or, in the case of the Due Period that is applicable tothe Initial Payment Date, beginning on the Closing Date) and ending at the close of business on the fifth (5th)Business Day immediately preceding the next Payment Date.

"Eligibility Criteria" has the meaning given in the definition of Collateral Debt Security.

"Eligible Investments" means any U.S. dollar denominated investment that, at the time it is delivered to theTrustee, is one or more of the following obligations or securities, including, without limitation, those investments forwhich the Trustee or an Affiliate of the Trustee provides services:

(i) cash;

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(ii) direct Registered obligations of, and Registered obligations the timely payment ofprincipal of and interest on which is fully and expressly guaranteed by, the United States of America, orany agency or instrumentality of the United States of America the obligations of which are backed by thefull faith and credit of the United States of America;

(iii) 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 depositoryinstitution or trust company (including the Trustee) incorporated under the laws of the United States ofAmerica or any state thereof and subject to the supervision and examination by federal and/or state bankingauthorities so long as the commercial paper and/or debt obligations of such depository institution or trustcompany (or, in the case of the principal depository institution in a holding company system, thecommercial paper or debt obligations of such holding company) at the time of such investment orcontractual commitment providing for such investment have a credit rating of:

(a) 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 lessthan "AA+" by S&P; or

(b) in the case of commercial paper and short-term debt obligations including timedeposits, (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 (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 mustalso 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 creditrating of not less than "Aa3" (and if rated "Aa3", has not been placed on a watch list for possibledowngrade) by Moody's;

(iv) Registered securities other than mortgage-backed securities bearing interest or sold at adiscount issued by any corporation under the laws of the United States of America or any state thereof thathave a credit rating of at least "Aa2" by Moody's and "AA+" by S&P at the time of such investment orcontractual commitment providing for such investment;

(v) unleveraged repurchase obligations (if treated as debt by the issuer for U.S. federalincome tax and other purposes) with respect to any security described in clause (ii) above, entered into witha depository institution or trust company (acting as principal) described in clause (iii) or entered into withbroker-dealers registered with the Commission (acting as principal) whose short-term debt has a creditrating of "P-l" by Moody's and "A-1+" by S&P at the time of such investment in the case of any repurchaseobligation for a security having a maturity not more than 183 days from the date of its issuance or whoselong-term debt has a credit rating of at least "Aa2" by Moody's and "AA+" by S&P at the time of suchinvestment in the case of any repurchase obligation for a security having a maturity more than 183 daysfrom the date of its issuance;

(vi) commercial paper or other short-term obligations having at the time of such investment acredit rating of "P-l" by Moody's and "A-1+" by S&P that are registered and are either bearing interest orare sold at a discount from the face amount thereof and that have a maturity of not more than 183 days fromits date of issuance; provided that in the case of commercial paper with a maturity of longer than ninety-one(91) days, the issuer of such commercial paper (or, in the case of a principal depository institution in aholding company system, the holding company of such system), if rated by the Rating Agencies, must haveat the time of such investment a long-term credit rating of at least "Aa2" by Moody's and "AA+" by S&P;and

(vii) money market funds above having, at the time of such investment, a credit rating of notless than "Aa2" by Moody's and "AAA/AAAm/AAAm-G" by S&P, respectively (including those for whichthe Trustee is investment manager or advisor), provided that such fund or vehicle is formed and has itsprincipal office outside the United States;

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provided that (a) Eligible Investments purchased with funds in the Collection Account will be held until maturityexcept as otherwise specifically provided herein and will include only such obligations or securities as mature nolater than the Business Day prior to the Payment Date next succeeding the date of investment in such obligations orsecurities and (b) none of the foregoing obligations or securities will constitute Eligible Investments if all, orsubstantially all, of the remaining amounts payable thereunder will consist of interest and not principal payments, ifsuch security is purchased at a price in excess of 100% of par, if such security is subject to substantial non-creditrelated risk, as determined by the Collateral Manager in its judgment, if any income from or proceeds of dispositionof the obligation or security is or will be subject to deduction or withholding for or on account of any withholding orsimilar tax, if the acquisition (including the manner of acquisition), ownership, enforcement or disposition of theobligation or security will subject the Issuer to net income tax in any jurisdiction, if such security has an assignedrating with an "p", "pi", "q", "r" or "t" subscript, if such security is a mortgage-backed security or it is the subject ofany offer by the issuer of such security or by any other Person made to all of the holders of such security to purchaseor otherwise acquire such security (other than pursuant to any redemption in accordance with the terms of the relatedunderlying instruments) or to convert or exchange such security into or for cash.

"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 commonlyused as the place of organization of special or limited purpose vehicles that issue Asset-Backed Securities (so longas Rating Agency Confirmation is obtained in connection with the inclusion of such other jurisdiction) generallyimposing either no or nominal taxes on the income of companies organized under the laws of such jurisdiction.

"Equity Security" means any security (other than an Interest Only Security or Principal Only Security) thatdoes 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 Collectionsafter payment of clauses (1) through (20) of the Priority of Payments.

"Exchange Act" means the United States Securities Exchange Act of 1934, as amended.

"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.

"Fee Basis Amount" means, for any Payment Date, an amount equal to the average of the CDS PrincipalBalance on the first (1st) day of the related Due Period and the CDS Principal Balance on the last day of such DuePeriod provided that, for the purposes of calculating the Fee Basis Amount, a Defaulted Security will be included inthe CDS Principal Balance at an amount equal to the product of (a) the Principal Balance of such Defaulted Securitymultiplied by (b) the higher of (i) the Market Value of such Defaulted Security and (ii) the Applicable RecoveryRate.

"Fitch" means Fitch Ratings.

"Fixed Rate Collateral Debt Security" means any Collateral Debt Security which bears a fixed rate ofinterest.

"Floating Rate Collateral Debt Security" means any Collateral Debt Security or the Reference Obligation inrespect of a Synthetic Security which bears interest based upon a floating rate index and, solely for the purpose ofcalculating the Portfolio Percentage Limitations for Collateral Debt Securities, Eligible Investments.

"Form-Approved Hedge Agreement" means a Hedge Agreement relating to a specific Hedge Counterpartywith respect to which (a) the related Collateral Debt Security could be purchased by the Issuer without any requiredaction by the Rating Agencies and (b) the documentation of which conforms in all material respects to a form forsuch Hedge Counterparty in respect of which Rating Agency Confirmation has been previously received; providedthat (i) any revised Form-Approved Hedge Agreement with respect to a particular Hedge Counterparty shall be

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approved by each of the Rating Agencies at least ten (10) days prior to the initial use thereof, (ii) any Rating Agencymay withdraw its consent to the use of a particular Form-Approved Hedge Agreement by written notice to theTrustee, the Collateral Manager and the relevant Hedge Counterparty (provided that such withdrawal of consentshall not affect any existing Hedge Agreement entered into with such Hedge Counterparty) and (iii) the Issuer (orthe Collateral Manager on its behalf) shall deliver to the Trustee and each Rating Agency a copy of each Form-Approved Hedge Agreement specifying the Hedge Counterparty to which it relates upon receipt of Rating AgencyConfirmation with respect thereto, and the Trustee's records (when taken together with any correspondence receivedfrom the Rating Agencies pursuant to clause (ii)) shall be conclusive evidence of such form.

"Franchise Loan Security" means any Asset-Backed Security that entitles the holder thereof to receivepayments that primarily depend (except for rights or other assets designed to assure the servicing or timelydistribution of proceeds to the holder of such security) on the cash flow from a pool of franchise loans made tooperators of franchises.

"Funded Synthetic Security" means any structured bond investment or other structured investment in theform of a security having a principal balance purchased by the Issuer from a Synthetic Security Counterparty whichinvestment contains a probability of default, recovery upon default (or a specific percentage of par not less than thePrincipal Balance thereof multiplied by the recovery rate therefor) and expected loss characteristics closelycorrelated to a Reference Obligation, but which may provide for a different maturity, interest rate or other non-creditcharacteristics than such Reference Obligation; provided, that (a) no amounts receivable by the Issuer from theSynthetic Security Counterparty will be subject to withholding tax, unless the issuer thereof or other obligor thereonis required to make additional payments sufficient to cover any withholding tax imposed at any time on paymentsmade to the Issuer with respect thereto, (b) such Funded Synthetic Security does not provide for any payment by theIssuer after the date on which it is pledged to the Trustee, (c) such Funded Synthetic Security terminates upon theredemption or repayment in full of the Reference Obligation, (d) such Funded Synthetic Security is positivelyindexed to the Reference Obligation on no more than a one-to-one basis, (e) such Funded Synthetic Security has arating, and a recovery rate assigned by each of the Rating Agencies and, in the case of Moody's only, a rating factor,(f) the agreements relating to such Funded Synthetic Security contain "non-petition" and "limited recourse"provisions with respect to the Issuer, and (g) (x) whose inclusion has been subject to a Rating Agency Confirmationfrom S&P and (y) such Funded Synthetic Security has been assigned the required Moody's Rating Factor andMoody's Recovery Rate by Moody's.

"Future Advance Security" means a security that by the terms of its Underlying Instruments obligates theissuer to make future advances or other payments (other than in respect of the purchase price of such security) inrespect of the financing arrangement evidenced by such security.

"Future Flow Security" means any Asset-Backed Security that entitles the holder thereof to receivepayments that depend (except for rights or other assets designed to assure the servicing or timely distribution ofproceeds to the holders of Asset-Backed Securities) upon the receipt of accounts receivable or other revenues fromsales of goods and services generated by an ongoing business of the issuer or originator.

"Global Notes" means the Rule 144A Global Notes, the Regulation S Global Notes and the Regulation SGlobal Income Notes.

"Healthcare Receivables Security" means any Asset-Backed Security (other than a Small Business LoanSecurity) that entitles the holder thereof to receive payments that depend on the cash flow from accounts receivablesgenerated by hospitals, non-hospital medical facilities, physicians and physician groups in the course of theprovision of healthcare services.

"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"P-1" and is not "P-1" and has been placed and is remaining on credit watch with negative implications and (y) thelong-term rating of such Hedge Ratings Determining Party by Moody's is not withdrawn, suspended or downgradedbelow "A1" or is not "A1" and has been placed and is remaining on credit watch with negative implications or (ii) ifsuch Hedge Ratings Determining Party has no short-term rating from Moody's, the long-term rating by Moody's ofsuch Hedge Ratings Determining Party is at least "Aa3" and is not "Aa3" and has been placed and is remaining on

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credit watch with negative implications and (b) either (i) the short-term rating of such Hedge Ratings DeterminingParty is not lower than "A-1" (or, in the case of a Currency Swap Agreement, "A-1+") by S&P or (ii) solely in thecase of an Interest Rate Hedge Agreement, if such Hedge Ratings Determining Party does not have a short-termrating from S&P, the long-term rating of such Hedge Ratings Determining Party by S&P is not lower than "A+" (or,in the case of a Currency Swap Agreement, "AA-").

"Hedge Ratings Determining Party" means (a) unless clause (b) applies with respect to any HedgeAgreement, the applicable Hedge Counterparty or any transferee thereof, or (b) any Affiliate of such HedgeCounterparty or any transferee thereof, that unconditionally and absolutely guarantees (with the form of suchguarantee meeting S&P's then-current published criteria with respect to guarantees) the obligations of the HedgeCounterparty 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 (oragainst any Person in control of, or controlled by, or under common control with, any such shareholder), shall bedeemed to constitute a guarantee, security or support of the obligations of the applicable Hedge Counterparty or anysuch transferee.

"High Yield CDO Security" means a security that entitles the holder thereof to receive payments thatdepend on the cash flow from a portfolio of primarily below investment grade unsecured corporate debt securities orloans; provided that such dependence may, in addition, be conditional upon rights or added assets designed to assurethe servicing or timely distribution of proceeds to the holder of such security such as a financial guaranty insurancepolicy.

"Holder" or "Noteholder" means (i) with respect to any Rated Note, any Rated Noteholder and (ii) withrespect to any Income Note, any Income Noteholder; provided that, for the purposes of the discussion under"Certain Income Tax Considerations", a "Holder" or "Noteholder" means a beneficial owner of a Note or an IncomeNote.

"Home Equity Loan Security" means any Asset-Backed Security (other than a Residential A MortgageSecurity or a Residential B/C Mortgage Security) that entitles the holder thereof to receive payments that depend onthe cash flow from balances (including revolving balances) outstanding under loans or lines of credit secured by (butgenerally not, upon origination, by a first priority lien on) one to four family residential real estate the proceeds ofwhich loans or lines of credit are generally not used to, among other things, purchase such real estate or to purchaseor construct dwellings thereon (or to refinance indebtedness previously so used); provided that such dependencemay in addition be conditioned upon rights or additional assets designed to assure the servicing or timelydistribution of proceeds to holders of the Asset-Backed Securities such as a financial guaranty insurance policy.

"Incentive Collateral Management Fee" means the fee payable by the Issuer to the Collateral Manager(reduced by the amount of any Synthetic Securities Management Fee that is payable pari passu with the IncentiveCollateral Management Fee) on any Payment Date (including any date on which any of the Income Notes areredeemed) on which the Holders of the Income Notes have achieved (or will achieve after giving effect to thepayments on such date) a cumulative IRR of at least 12%, in accordance with the Priority of Payments in an amount,with respect to such Payment Date, equal to 20% of the sum of the remaining Collateral Interest Collections andCollateral Principal Collections after the application of clauses (1) through (19) of the Priority of Payments.

"Income Note Issuing and Paying Agent" means Wachovia Bank, National Association, and any successorsor assigns in its capacity as Income Note Issuing and Paying Agent under the Income Note Issuing and PayingAgency Agreement.

"Income Note Register" means, with respect to the Income Notes, the Income Note Register maintained bythe Income Note Registrar.

"Income Noteholder" means, with respect to any Income Note, the Person in whose name such IncomeNote is registered in the Income Note Register.

"Income Notes" means the U.S.$27,500,000 Income Notes due 2045.

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"Income Notes Stated Amount" means U.S.$27,500,000.

"Indenture" means that certain Indenture, dated as of the Closing Date, as the same may be amended orsupplemented from time to time, between the Issuer and the Trustee.

"Initial Payment Date" means the Payment Date occurring in March 2006.

"Initial Purchaser" means Citigroup, in its capacity as initial purchaser of the Rated Notes.

"Interest Coverage Amount" means, as of any Measurement Date, an amount equal to (i) the amountreceived or scheduled to be received as Collateral Interest Collections during the related Due Period, less (ii) theamounts scheduled to be paid on the related Payment Date pursuant to clauses (1) through (3) of the Priority ofPayments and, for purposes of calculating the Class B Interest Coverage Ratio and the Class C Interest CoverageRatio only, any amounts scheduled to be paid to the Note Interest Reserve Account on the related Payment Datepursuant to clause (8) of the Priority of Payments; provided that (A) scheduled Collateral Interest Collections shallnot include any amount scheduled to be received on Defaulted Securities or any amount scheduled to be received onsecurities that are currently deferring interest until such amounts are actually received in cash, (B) the expectedinterest income on Floating Rate Collateral Debt Securities and Eligible Investments shall be calculated using thethen-current interest rate applicable thereto, (C) with respect to any Written Down Security, the Interest CoverageAmount shall exclude any interest accrued on any Written Down Amount and (D) a Synthetic Security shall beincluded as a Collateral Debt Security having the characteristics of such Synthetic Security and not of the underlyingReference Obligation.

"Interest-Only Period" means the period beginning on the Closing Date and continuing through thePayment Date occurring in December 2010.

"Interest Only Security" means any security that by its terms provides for periodic payments of interest anddoes not provide for the repayment of a stated principal amount.

"Interest Period" means (i) with respect to the Initial Payment Date, the period from and including theClosing Date to but excluding the Initial Payment Date and (ii) thereafter with respect to each Payment Date, theperiod beginning on the first (1st) day following the end of the preceding Interest Period and ending on (andincluding) the day before the next Payment Date; provided, however, that in the event that the nominal payment datedoes not fall on a Business Day, the Payment Date shall be deemed to be the next succeeding Business Day andinterest shall accrue on the Rated Notes for the period from and after any such nominal payment date to the actualPayment Date.

"Interest Reserve Amount" means, as of any Calculation Date, the aggregate amount of Semi-Annual PaySecurity Interest Reserve Amounts.

"Inverse Floating Rate Security" means any floating rate security whose interest rate is inverselyproportional to an interest rate index.

"Investment Grade CDO Security" means a security that entitles the holder thereof to receive payments thatdepend on the cash flow from a portfolio of primarily unsecured corporate debt securities or loans of which at least80% are investment grade quality with a Moody's Rating of not less the "Baa3" or a S&P Rating of not less than"BBB-".

"Irish Listing Agent" means NCB Stockbrokers Limited.

"IRR" means an annualized internal rate of return on the Income Notes, calculated using the "XIRR"function in Microsoft Excel 2000, or an equivalent function in another software package. The "IRR" will, as of anydate, 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 Payment Date on the basis of a 365 day year and actual days elapsed), calculatedfrom the Closing Date: (1) the original aggregate principal amount of the Income Notes issued on the Closing Date

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(which will be deemed to be negative for purposes of this calculation) and (2) the amount of each distribution, ifany, on the Income Notes on each 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 Securities, Collateral Debt Securities issued by the sameissuer.

"Issue Price" means, with respect to each Class of Notes, the first price at which a substantial amount ofNotes of such Class are sold to investors.

"LIBOR" means, with respect to each Interest Period other than the first Interest Period, a floating rateequal to the London interbank offered rate for three-month U.S. Dollar deposits determined in the manner describedherein. LIBOR for the first Interest Period will be 4.474%.

"London Banking Day" means any day on which commercial banks are open for business (includingdealings in foreign exchange and foreign currency deposits) in London.

"Manufactured Housing Security" means a security that entitles the holder thereof to receive payments thatdepend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to theholder of such security) on the cash flow from manufactured housing (also known as mobile homes andprefabricated homes) installment sales contracts and installment loan agreements.

"Manx" means Cambridge Place CDO (Isle of Man) Limited, or its successors and permitted assigns.

"Manx Agreement" means the agreement, dated as of the Closing Date, as the same may be amended andsupplemented from time to time, between the Issuer and Manx.

"Manx Fee" means the fee payable in arrears by the Issuer to Manx on each Payment Date, in accordancewith the Priority of Payments in an amount, with respect to such Payment Date, equal to 0.004% of the Fee BasisAmount, multiplied by the actual number of days elapsed during the related Due Period, divided by 360.

"Margin Stock" means "margin stock" as defined under Regulation U issued by the Board of Governors ofthe Federal Reserve System.

"Market Value" means, on any date of determination for which the related Collateral Debt Security requiresa Market Value, an amount equal to (i) first (a) the average of three or more bid-side prices expressed as apercentage of the par amount, obtained from nationally recognized dealers chosen by the Collateral Manager whoare independent from each other and from the Collateral Manager in the relevant market for one or more CollateralDebt Securities, as certified by the Collateral Manager or, second (b) if the Collateral Manager is in good faithunable to obtain bid-side prices from three such dealers, the lower of two bid-side prices expressed as a percentageof the par amount from any two such dealers chosen by the Collateral Manager, or third (c) if the CollateralManager is in good faith unable to obtain bids from two such dealers, the bid-side price for such Collateral DebtSecurity obtained by the Collateral Manager at such time from any one such dealer chosen by the CollateralManager, or (ii) if the Collateral Manager is unable in good faith to obtain bona fide bid-side prices on suchCollateral Debt Security pursuant to any of (a), (b) or (c) above, the "Market Value" of such Collateral Debt Securitywill be the value of such Collateral Debt Security as determined by the Collateral Manager in good faith and in theexercise of its commercially reasonable judgment, and the Collateral Manager will notify the Trustee and eachRating Agency that it has determined the Market Value of such Collateral Debt Security pursuant to thissubparagraph (ii); provided, however, that the "Market Value" of any Collateral Debt Security for which subclause(ii) would otherwise be applicable (and excluding, without limitation, any determination of "Market Value" forwhich subclause (i) is applicable) shall equal zero to the extent that the "Market Value" of such Collateral DebtSecurity has been determined pursuant to subclause (ii) for more than 30 days.

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"Measurement Date" means any of the following: (a) solely with respect to compliance with theReinvestment Criteria, any day that is at least 30 days after the Closing Date and on which the Issuer acquires anySubstitute Collateral Debt Security; (b) the Effective Date; (c) any date after the Effective Date upon which theIssuer purchases or disposes of any Collateral Debt Security; (d) any date after the Effective Date on which aCollateral Debt Security becomes a Defaulted Security or a Deferred Interest PIK Bond; (e) each Calculation Date;and (f) solely with respect to any Monthly Report, the day (other than a Calculation Date) that is five (5) BusinessDays prior to the sixth (6th) day of each month; provided that if any such date would otherwise fall on a day that isnot a Business Day, the relevant Measurement Date will be the next day that is a Business Day.

"Moneyline Telerate Page 3750" means the display page so designated on Moneyline Telerate Service (orsuch other page as may replace that page on that service, or such other service as may be nominated as theinformation vendor, for the purposes of displaying rates comparable to LIBOR).

"Moody's Asset Correlation" means a single number that is determined in accordance with the correlationmethodology 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 theMoody's Asset Correlation (rounded to the nearest whole number) as of such date is less than or equal to theMoody's Asset Correlation for the row number of the Collateral Quality Matrix selected by the Collateral Managerto be in effect as of such date; provided that the Moody's Asset Correlation as set forth in the applicable row numberof the Collateral Quality Matrix is based on a number of assets equal to 165.

"Moody's Maximum Weighted Average Rating Factor Test" means a test that will be satisfied as of anyMeasurement Date if the Moody's Weighted Average Rating Factor as of such date is less than or equal to theMoody's Weighted Average Rating Factor for the row number of the Collateral Quality Matrix selected by theCollateral Manager to be in effect as of such date.

"Moody's Minimum Weighted Average Recovery Rate Test" means a test that will be satisfied as of anyMeasurement Date if the Moody's Weighted Average Recovery Rate as of such date is greater than or equal to23.00%.

"Moody's Rating", with respect to any Collateral Debt Security, means the rating by Moody's that addressesthe repayment of principal and payment of interest determined as follows:

(i) if such Collateral Debt Security is publicly rated by Moody's, the Moody's Rating shall besuch rating, or, if such Collateral Debt Security is not publicly rated by Moody's, but the Issuer or theCollateral Manager on behalf of the Issuer has requested that Moody's assign a rating to such CollateralDebt Security, the Moody's Rating shall be the rating so assigned by Moody's;

(ii) if such Collateral Debt Security is not publicly rated by Moody's and no rating has beenassigned by Moody's to such Collateral Debt Security pursuant to a request from the Issuer or the CollateralManager, then the Moody's Rating of such Collateral Debt Security will be determined using Moody'spublished notching criteria or, if such security is not eligible for notching, will be as determined byMoody's;

provided that:

(1) if a Collateral Debt Security is placed on a watch list for possible upgrade by Moody's, theMoody's Rating applicable to such Collateral Debt Security shall be two rating subcategoriesabove the Moody's Rating applicable to such Collateral Debt Security immediately prior to suchCollateral Debt Security being placed on such watch list; provided that a rating of "Aa1" shall beincreased to "Aaa";

(2) if a Collateral Debt Security 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

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Security shall be one rating subcategory below the Moody's Rating applicable to such CollateralDebt Security immediately prior to such Collateral Debt Security being placed on such watch listor (B) the current rating is less than "Aaa", then the Moody's Rating applicable to such CollateralDebt Security shall be two rating subcategories below the Moody's Rating applicable to suchCollateral Debt Security immediately prior to such Collateral Debt Security being placed on suchwatch list;

(3) the rating of any Rating Agency used to determine the Moody's Rating pursuant to clause (b)above shall be a published rating that addresses the obligation of the obligor to pay principal ofand interest on the relevant Collateral Debt Security in full and is monitored on an ongoing basisby the relevant Rating Agency;

(4) the Aggregate Principal Balance of Collateral Debt Securities that are subject to Moody'spublished notching criteria may not exceed 20% of the Aggregate Principal Balance of allCollateral Debt Securities; and

(5) with respect to any Synthetic Security, the Moody's Rating thereof shall be determined asspecified by Moody's at the time such Synthetic Security is acquired.

"Moody's Rating Factor" means, with respect to any Collateral Debt Security, the number set forth in thetable below opposite the Moody's Rating of such Collateral Debt Security:

Moody's Rating Moody's Rating Factor Moody's Rating Moody's Rating Factor

Aaa 1 Ba1 940Aa1 10 Ba2 1,350Aa2 20 Ba3 1,766Aa3 40 B1 2,220A1 70 B2 2,720A2 120 B3 3,490A3 180 Caa1 4,770Baa1 260 Caa2 6,500Baa2 360 Caa3 8,070Baa3 610 Ca or lower 10,000

With respect to any Synthetic Security, the Moody's Rating Factor shall be determined as specified byMoody's at the time such Synthetic Security is acquired by the Issuer.

"Moody's Recovery Rate" means the recovery rate published, or, if not published, assigned, by Moody'sthat applies to the category of security which best describes such Collateral Debt Security on such date.

"Moody's Weighted Average Rating Factor" means the number obtained by (i) summing the productsobtained by multiplying the Principal Balance of the Collateral Debt Securities (other than Defaulted Securities)assigned each Moody's Rating as set forth in the definition of "Moody's Rating Factor" by the Moody's RatingFactor for such Moody's Rating and (ii) dividing such sum by the aggregate Principal Balance of all such CollateralDebt Securities (other than Defaulted Securities), multiplying the result by 100 and rounding up to the first decimalplace. For purposes of the denominator of the calculation of Moody's Weighted Average Rating Factor, thePrincipal 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 productsobtained by multiplying the Principal Balance of each Collateral Debt Security (other than a Defaulted Security) byits Moody's Recovery Rate, dividing such sum by the aggregate Principal Balance of all such Collateral DebtSecurities, multiplying the result by 100 and rounding up to the first decimal place. For purposes of the denominatorof the calculation of Moody's Weighted Average Recovery Rate, the Principal Balance of any Deferred Interest PIKBond will be deemed to equal its outstanding principal amount.

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"Note Register" means a register that is kept at the specified office of the Note Registrar in which, subjectto such reasonable regulations as it may prescribe, the Issuer will provide for the initial registration of the RatedNotes and the registration of transfers of the Rated Notes.

"Note Registrar" means Wachovia Bank, National Association, as registrar under the Indenture.

"Note Transfer Agent" means Wachovia Bank, National Association, as transfer agent under the Indenture.

"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 otherPerson made to all of the holders of such security to purchase or otherwise acquire such security (other than pursuantto any redemption in accordance with the terms of the related Underlying Instruments) or to convert or exchangesuch security into or for cash, securities or any other type of consideration or (b) any solicitation by the issuer ofsuch security or any other Person to amend, modify or waive any provision of such security or any relatedUnderlying Instrument.

"Optional Redemption" means a redemption of the Rated Notes, in whole but not in part, on or after thePayment Date occurring in December 2010, at the direction of the Holders of not less than 66⅔% of the aggregateprincipal amount of the Income Notes, in accordance with the procedures, and subject to the satisfaction of theconditions, described in the Indenture.

"Ordinary Shares" means the 1,000 ordinary shares, par value U.S.$1.00 per share issued by the Issuer.

"Outstanding" means with respect to the Notes as of any Measurement Date, any and all Notes theretoforeauthenticated and delivered under the Indenture and the Income Note Issuing and Paying Agency Agreement, otherthan Notes cancelled, redeemed, exchanged or replaced in accordance with the terms of the Indenture or the IncomeNote Issuing and Paying Agency Agreement, as applicable; provided that in determining whether the Holders of therequisite percentage of Notes have given any direction, notice, consent, approval or objection, any Notes held orbeneficially owned by the Collateral Manager or any of its Affiliates or by an account or fund for which theCollateral Manager or any of its Affiliates acts as the investment advisor with discretionary authority will bedisregarded with respect to any vote or consent relating to the removal or termination of the Collateral Manager.

"Partners" means with respect to the Collateral Manager, those persons who are members of the CollateralManager from time to time.

"Paying Agents" means, collectively, the Note Paying Agent and the Income Note Issuing and PayingAgent.

"Payment Date" means the 6th day of March, June, September and December, beginning on the InitialPayment Date and occurring on a quarterly basis thereafter, and if such date is not a Business Day, the next BusinessDay.

"Periodic Interest" means interest on the Rated Notes (including, without limitation, any interest on anyClass B Cumulative Deferred Interest Amount or Class C Cumulative Deferred Interest Amount, as applicable), asthe context may require, payable on each Payment Date and accruing during each Interest Period on the aggregatePrincipal Balance of each Class of Rated Notes then Outstanding and any Class B Cumulative Deferred InterestAmount 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 InterestRate.

"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.

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"PIK Bond" means any security that, pursuant to the terms of the related Underlying Instruments, permitsthe payment of interest thereon to be deferred or capitalized as additional principal thereof or not pay interest whenscheduled (but without being a Defaulted Security) or that issues identical securities in lieu of payments of interestin cash.

"Portfolio Expected Maturity" means the earliest date, as determined by the Collateral Manager usingassumptions consistent with its calculation of the Average Life for each Collateral Debt Security, on which everyCollateral Debt Security (other than a Defaulted Security or a Deferred Interest PIK Bond) is expected to have aPrincipal Balance of zero.

"Portfolio Percentage Limitations" means each of the following limitations:

Moody's Rating (1) No Collateral Debt Security shall have a Moody's Ratingbelow "Ba2". The Aggregate Principal Balance of all CollateralDebt Securities (including the Aggregate Principal Balance of allCollateral Debt Securities the Reference Obligations of which aresuch securities) that have a Moody's Rating of below (A) "Baa3"does not exceed 20.0% of the CDS Principal Balance and (B) "Ba1"does not exceed 5.0% of the CDS Principal Balance;

Legal Final Maturity Date (2) Not more than 15.0% of the CDS Principal Balance mayconsist of Collateral Debt Securities maturing after the StatedMaturity Date ("Long-Dated Securities"); provided that (x) noCollateral Debt Security may mature more than ten (10) yearsbeyond the Stated Maturity Date, (y) not more than 5.0% of the CDSPrincipal Balance may consist of Long-Dated Securities that are notABS CDO Securities and (z) the Portfolio Expected Maturity is priorto the Stated Maturity Date;

Floating Rate Collateral DebtSecurities and Deemed FloatingRate Collateral Debt Securities

(3) The Aggregate Principal Balance of the Collateral DebtSecurities that are (A) Floating Rate Collateral Debt Securities orDeemed Floating Rate Collateral Debt Securities is equal to 100.0%of the CDS Principal Balance and (B) Deemed Floating RateCollateral Debt Securities does not exceed 5.0% of the CDSPrincipal Balance;

Semi-Annual Pay Securities (4) the Aggregate Principal Balance of all Collateral DebtSecurities that pay less frequently than quarterly does not exceed25.0% of the CDS Principal Balance;

Single Issuer Concentration (5) the Aggregate Principal Balance of all Collateral DebtSecurities (including the Aggregate Principal Balance of anySynthetic Securities the Reference Obligations of which are suchsecurities) issued by a single issuer (x) does not exceed 3.0% of theCDS Principal Balance, (y) that are rated higher than "Ba1" byMoody's does not exceed 2.0% of the CDS Principal Balance and (z)that are rated "Ba1" or lower by Moody's does not exceed 1.0% ofthe CDS Principal Balance; provided that one Collateral DebtSecurity issued by a single issuer rated "Ba1" or lower by Moody'smay have a Principal Balance of up to 1.1% of the CDS PrincipalBalance;

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ABS and RMBS Servicers (6) if the security being acquired is an Asset-Backed Security(other than a CMBS Security) or an RMBS Security, the AggregatePrincipal Balance of all Collateral Debt Securities serviced by aServicer (including the Aggregate Principal Balance of any SyntheticSecurities the Reference Obligations of which are such securities)does not exceed: (A) for Servicers with a servicer rating of "Strong"or, in the event such Servicer does not have a servicer rating, a long-term rating greater than or equal to "AA", 15.0% of the CDSPrincipal Balance, (B) for Servicers with a servicer rating of "AboveAverage" or, in the event such Servicer does not have a servicerrating, a long-term rating between "A-" and "AA-" inclusive, or forServicers with a servicer rating of "Average" or, in the event suchServicer does not have a servicer rating, a long-term rating between"BB+" and "BBB+" inclusive, 7.5% of the CDS Principal Balanceand (C) for Servicers with a servicer rating of "Weak" or, in theevent such Servicer does not have a servicer rating, a long-termrating less than or equal to "BB", 5.0% of the CDS PrincipalBalance, with each of the ratings set forth in clauses (A) through (C)above to be provided by S&P; provided that up to two (2) Servicersreferred to in clause (A) above shall be permitted to serviceCollateral Debt Securities with an Aggregate Principal Balancegreater than 20.0% (measured with respect to each Servicer) of theCDS Principal Balance and up to one (1) Servicer referred to in (B)above shall be permitted to service Collateral Debt Securities with anAggregate Principal Balance greater than 12.5%;

RMBS Securities (7) the Aggregate Principal Balance of the Collateral DebtSecurities that are RMBS Securities does not exceed 90.0% of theCDS Principal Balance;

CMBS Securities (8) the Aggregate Principal Balance of the Collateral DebtSecurities that are CMBS Securities does not exceed 25.0% of theCDS Principal Balance; provided that the Aggregate PrincipalBalance of the Collateral Debt Securities that are (a) CMBS LargeLoan Securities does not exceed 5.0% of the CDS Principal Balanceand (b) CMBS Credit Tenant Lease Securities does not exceed 5.0%of the CDS Principal Balance;

CDOs (9) the Aggregate Principal Balance of the Collateral DebtSecurities that are CDO Securities does not exceed 7.5% of the CDSPrincipal Balance;

Other ABS (10) the Aggregate Principal Balance of all Collateral DebtSecurities that are (A) Asset-Backed Securities or REIT DebtSecurities, other than RMBS Securities, CMBS Securities or CDOSecurities, does not exceed 25.0% of the CDS Principal Balance,(B) Aircraft Leasing and Engine Securities does not exceed 2.0% ofthe CDS Principal Balance and (C) Whole Business SecuritizationSecurities does not exceed 10.0% of the CDS Principal Balance;

Synthetic Securities (11) the Aggregate Principal Balance of all Collateral DebtSecurities that are Synthetic Securities does not exceed 20.0% of theCDS Principal Balance;

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PIK Bonds (12) the Aggregate Principal Balance of the Collateral DebtSecurities that are PIK Bonds does not exceed 7.5% of the CDSPrincipal Balance;

Step-Up Bonds (13) the Aggregate Principal Balance of the Collateral DebtSecurities that are Step-Up Bonds does not exceed 5.0% of the CDSPrincipal Balance;

Step-Down Bonds (14) the Aggregate Principal Balance of the Collateral DebtSecurities that are Step-Down Bonds does not exceed 5.0% of theCDS Principal Balance;

Non-U.S. Dollar-DenominatedCollateral Debt Securities

(15) the Aggregate Principal Balance of the Collateral DebtSecurities that are not denominated in U.S. dollars does not exceed20.0% of the CDS Principal Balance;

Currency Swaps (16) the notional amount of Currency Swap Agreements doesnot exceed 20.0% of the CDS Principal Balance, and the notionalamount of Currency Swap Agreements that amortize based on aschedule of expected amortization of the related Collateral DebtSecurity does not exceed 5.0% of the CDS Principal Balance;

Excluded Securities (17) No Collateral Debt Security shall be an Interest OnlySecurity, a Principal Only Security, an Inverse Floating RateSecurity, a Catastrophe Bond, a Healthcare Receivables Security, aManufactured Housing Security, a Tobacco Settlement Security, acommercial aircraft enhanced equipment trust certificate, a FranchiseLoan Security, a CDO of CDO Security, an Investment Grade CDOSecurity, a High Yield CDO Security or a CLO Security.

"Principal Balance" means: (a) with respect to any Note or Class of Notes, as of the date of determination,the original principal balance of such Note or Class of Notes reduced by all prior payments, if any, made withrespect to principal of such Note or Class of Notes; and (b) with respect to any Collateral Debt Security or EligibleInvestment, as of any Measurement Date, the outstanding principal amount of such Collateral Debt Security orEligible Investment; provided that the Principal Balance of (i) any Collateral Debt Security which permits thedeferral or capitalization of interest will not include any outstanding balance of the deferred and/or capitalizedinterest, (ii) any Equity Security will be zero, (iii) any putable Collateral Debt Security which matures after theStated Maturity Date will be the lower of the put price and the outstanding principal amount, (iv) any CollateralDebt Security or Eligible Investment in which the Trustee does not have a first priority perfected security interestshall be deemed to be zero, (v) any Synthetic Security shall be the notional amount of such Synthetic Security,except as otherwise explicitly provided in the Indenture and (vi) any non-U.S. dollar denominated Collateral DebtSecurity shall be the product of the outstanding principal balance of such Collateral Debt Security multiplied by theexchange rate set forth in the applicable Currency Swap Agreement.

"Principal Coverage Amount" means, as of any Measurement Date, an amount equal to (i) the aggregatePrincipal Balance of all Collateral Debt Securities (other than Defaulted Securities, Written Down Securities andDeferred Interest PIK Bonds) included in the Collateral on such date, plus (ii) the aggregate Principal Balance of theEligible Investments in the Collection Account on such date that represent Collateral Principal Collections, plus(iii) the Defaulted Securities Amount, plus (iv) with respect to Written Down Securities, the Reduced PrincipalBalance, plus (v) the Deferred Interest PIK Bond Amount plus (v) amounts owing in respect of accrued interest onany Collateral Debt Security purchased with Collateral Principal Collections (other than Defaulted Securities andDeferred Interest PIK Bonds); provided that:

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(a) any Collateral Debt Securities and Written Down Securities at their Reduced PrincipalBalance (other than Defaulted Securities and Deferred Interest PIK Bonds) that have (A) a Moody's Ratingof "Caa1" or lower or (B) that have a Standard & Poor's Rating of "CCC+" or lower shall be included(without duplication) at 50% of their Principal Balances;

(b) if the greater of (A) the aggregate Principal Balance of all Collateral Debt Securities andthe aggregate Reduced Principal Balance of all Written Down Securities (other than Defaulted Securitiesand Deferred Interest PIK Bonds) that have a Moody's Rating of "B1", "B2" or "B3" and (B) the aggregatePrincipal Balance of all Collateral Debt Securities and the aggregate Reduced Principal Balance of allWritten Down Securities (other than Defaulted Securities and Deferred Interest PIK Bonds) that have aStandard & Poor's Rating of "B+", "B" or "B-" exceeds 5% of the CDS Principal Balance, then such excessshall be included (without duplication) at 80% of its aggregate Principal Balances (the lesser of (1) thegreater of (A) and (B) above and (2) 5% of the CDS Principal Balance, the "Single B Rating Allowance");

(c) if the greater of (A) the aggregate Principal Balance of all Collateral Debt Securities andthe aggregate Reduced Principal Balance of all Written Down Securities (other than Defaulted Securitiesand Deferred Interest PIK Bonds) that have a Moody's Rating of "Ba1", "Ba2" or "Ba3" and (B) theaggregate Principal Balance of all Collateral Debt Securities and the aggregate Reduced Principal Balanceof all Written Down Securities (other than Defaulted Securities and Deferred Interest PIK Bonds) that havea Standard & Poor's Rating of "BB+", "BB" or "BB-" exceeds the sum of (1) 25% of the CDS PrincipalBalance minus (2) the Single B Rating Allowance, then such excess shall be included (without duplication)at 90% of its aggregate Principal Balances;

(d) any Discount Collateral Debt Security shall be included at its purchase price and not at itsoriginal Principal Balance; and

(e) any Synthetic Security shall be included at its notional amount.

If any Collateral Debt Security or Written Down Security at its Reduced Principal Balance has both aMoody's Rating and a S&P Rating, each of which falls within different sub-paragraphs of the proviso above, thensuch security will be included at the lower applicable percentage of its Principal Balance for the purposes ofdetermining the Principal Coverage Amount.

"Principal Coverage Ratios" means the Class A Principal Coverage Ratio, the Class B Principal CoverageRatio and the Class C Principal Coverage Ratio.

"Principal Coverage Tests" means the Class A Principal Coverage Test, the Class B Principal CoverageTest and the Class C Principal Coverage Test.

"Principal Only Security" means any Collateral Debt Security that does not provide for payment of interestor provides that all payments of interest will be deferred until the final maturity thereof.

"Proposed Portfolio" means the portfolio (measured by Principal Balance) of (a) the Collateral DebtSecurities and the proceeds of disposition thereof held as cash, (b) Uninvested Proceeds held as cash and (c) EligibleInvestments purchased with Uninvested Proceeds or the proceeds of disposition of Collateral Debt Securitiesresulting from the sale, maturity or other disposition of a Collateral Debt Security or a proposed purchase of aCollateral Debt Security, as the case may be.

"Prospectus Directive" means Directive 2003/71/EC of the European Parliament and of the Council ofNovember 4, 2003 on the prospectus to be published when securities are offered to the public or admitted to trading.

"Qualifying Foreign Country" means Australia, Austria, Belgium, Canada, Cyprus, Czech Republic,Denmark, Estonia, Finland, France, Germany, Hungary, Ireland, Italy, Latvia, Lithuania, Luxembourg, Malta, NewZealand, Poland, Portugal, Slovakia, Slovenia, Spain, Sweden, Switzerland. The Netherlands or the UnitedKingdom, so long as the unguaranteed, unsecured and otherwise unsupported long-term U.S. Dollar-denominated

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sovereign debt obligation of such country have ratings assigned to it equal to or better than "Aa2" by Moody's and"AA-" by S&P.

"Qualifying Foreign Obligor" means a corporation, partnership, limited liability company or other entityorganized in a Qualifying Foreign Country; provided, however, that issuers of ABS CDO Securities that are specialpurpose vehicles or similar bankruptcy remote issuance vehicles relying solely on revenues originated in the UnitedStates or in Qualifying Foreign Countries and which are organized in the Cayman Islands, Bermuda, Luxembourg,Ireland, the British Virgin Islands, the Netherlands Antilles, the Channel Islands or any other commonly usedjurisdiction for structured product transactions, provided that such other jurisdiction has satisfied the Rating AgencyCondition (in each such case, so long as such jurisdiction imposes no or nominal taxes on the income of entitiesorganized therein) will be considered to be Qualifying Foreign Obligors.

"Rated Notes" means, collectively, the Class A Notes, the Class B Notes and the Class C Notes.

"Rated Note Break-Even Default Rate" means, with respect to any Class of Rated Notes rated by S&P, atany time, the maximum percentage of defaults (as determined by S&P through application of the S&P CDOMonitor) which the Current Portfolio or the Proposed Portfolio, as applicable, can sustain such that, after givingeffect to S&P assumptions on recoveries and timing and to the Priority of Payments, will result in sufficient fundsremaining for the ultimate payment of principal of and interest on such Class of Notes in full by its Stated MaturityDate 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 anytime, the rate calculated by subtracting the Rated Note Class Scenario Default Rate at such time from the Rated NoteBreak-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, asapplicable, consistent with S&P Rating of such Class of Rated Notes on the Closing Date, determined by applicationof S&P CDO Monitor at such time.

"Rated Noteholder" means, with respect to any Rated Note, the Person in whose name such Note isregistered; provided that Beneficial Owners or Agent Members will have no rights under the Indenture with respectto Global Notes, and the Rated Noteholder may be treated by the Issuer and the Trustee (and any agent of any of theforegoing) as the owner of such Global Notes for all purposes whatsoever.

"Rating Agencies" means each of Moody's and S&P.

"Rating Agency Confirmation" means, with respect to any specified action or determination, for so long asany of the Rated Notes are Outstanding and rated by S&P or Moody's, respectively, the receipt of writtenconfirmation by S&P or Moody's, as applicable, that such specified action or determination will not result in thereduction or withdrawal or other adverse action with respect to their then-current ratings on the Rated Notes(including any private or confidential rating) unless Rating Agency Confirmation is specified herein to be requiredby only S&P or Moody's, in which case such Rating Agency Confirmation will be sufficient.

"Redemption" means an Optional Redemption, an Auction Call Redemption or a Tax Redemption.

"Redemption Date" means the Payment Date upon which the Rated Notes are redeemed pursuant to anOptional Redemption, Tax Redemption or Auction Call Redemption.

"Redemption Price" means, with respect to each Class of Rated Notes to be redeemed, the aggregateoutstanding principal amount of the Rated Notes of such Class (including, where applicable, any Class BCumulative Deferred Interest Amount and any Class C Cumulative Deferred Interest Amount) as of the RedemptionDate plus accrued interest thereon (including, without limitation, any Defaulted Interest) to the Redemption Date tothe extent not already paid and, if the Income Notes are redeemed, the "Redemption Price" for the Income Notes

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means an amount equal to the aggregate of any amounts to be distributed to holders of the Income Notes in respectof such redemption pursuant to the Priority of Payments.

"Reduced Principal Balance" means, with respect to each Written Down Security, the original PrincipalBalance of such Written Down Security minus the Written Down Amount as notified by or on behalf of the relatedissuer or trustee to the holders of such Written Down Security (including appraisal reductions on CMBS Securities).

"Reference Banks" means four major banks in the London interbank market selected by the NoteCalculation Agent.

"Reference Obligation" means any security in respect of which the Issuer has obtained a Synthetic Securityand which (a) does not have a rating by S&P that includes a subscript and (b) if purchased by the Issuer, wouldsatisfy paragraphs (i) through (xviii) of the Eligibility Criteria and paragraphs (5) through (10) and (12) through (17)of the Portfolio Percentage Limitations.

"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 inan offshore transaction in reliance on Regulation S under the Securities Act.

"Regulation S Global Note" means any Rated Note sold to a person who is not a U.S. Person in an offshoretransaction in reliance on Regulation S under the Securities Act.

"Reinvestment Criteria" means, with respect to any reinvestment in Substitute Collateral Debt Securities,that either (i) the Collateral Quality Tests, the Portfolio Percentage Limitations and the Coverage Tests are satisfied,or (ii) (x) if immediately prior to giving effect to such purchase, any of the Collateral Quality Tests, the PortfolioPercentage Limitations and the Coverage Tests was not satisfied, none of such Collateral Quality Tests, PortfolioPercentage Limitations or Coverage Tests that was not satisfied shall be made worse after giving effect to suchproposed purchase and (y) none of the Collateral Quality Tests, Portfolio Percentage Limitations or Coverage Teststhat were satisfied immediately prior to giving effect to such purchase shall fail to be satisfied after giving effect tosuch purchase.

"REIT" means a real estate investment trust.

"REIT Debt Security" means a debt obligation issued by publicly held REITs.

"Residential A Mortgage Security" means an Asset-Backed Security (other than a Residential B/CMortgage Security or a Home Equity Loan Security) that entitles the holder thereof to receive payments that dependon the cash flow from residential mortgage loans to prime borrowers secured (on a first priority basis, subject topermitted liens, easements and other encumbrances) by one to four family residential real estate the proceeds ofwhich are used to purchase real estate and purchase or construct dwellings thereon (or to refinance indebtednesspreviously so used or to take out equity) and generally underwritten to the standards of the Federal NationalMortgage Association and the Federal Home Loan Mortgage Corporation (without regard to the size of the loan);provided that such dependence may in addition be conditioned upon rights or additional assets designed to assure theservicing or timely distribution of proceeds to holders of the Asset-Backed Securities such as a financial guarantyinsurance policy and provided, further that any Collateral Debt Security falling within this definition will beexcluded from the definition of each other Specified Type of Collateral Debt Security.

"Residential B/C Mortgage Security" means an Asset-Backed Security (other than a Residential AMortgage Security or a Home Equity Loan Security) that entitles the holder thereof to receive payments that dependon the Cash flow from residential mortgage loans to subprime borrowers secured (on a first priority basis, subject topermitted liens, easements and other encumbrances) by one to four family residential real estate the proceeds ofwhich are used to purchase real estate and purchase or construct dwellings thereon; provided that such dependencemay in addition be conditioned upon rights or additional assets designed to assure the servicing or timelydistribution of proceeds to holders of the Asset-Backed Securities such as a financial guaranty insurance policy.

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"Restricted Certificated Note" means Rated Notes which are issued in the form of physical certificates indefinitive, fully registered form.

"RMBS Securities" means Residential A Mortgage Securities and/or Residential B/C Mortgage Securities.

"S&P CDO Monitor" means the dynamic, analytical computer program provided by S&P to the CollateralManager and the Trustee (together with written instructions on the application of such program, including allapplicable assumptions) on or prior to the Effective Date for the purpose of estimating the default risk of CollateralDebt Securities, 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 RatedNote Class Loss Differential of the Current Portfolio or the Proposed Portfolio, as applicable, is positive. The S&PCDO Monitor Test will be considered to be improved if the Rated Note Class Loss Differential of the ProposedPortfolio 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 theS&P Weighted Average Recovery Rate as of such date is equal or greater than (a) 26.00%, with respect to theClass A-1 Notes, (b) 26.00% with respect to the Class A-2 Notes, (c) 30.00%, with respect to the Class A-3 Notes,(d) 35.00%, with respect to the Class B Notes and (e) 42.00%, with respect to the Class C Notes.

"S&P Rating" of any Collateral Debt Security will be determined as follows:

(a) if S&P has assigned a rating to such Collateral Debt Security either publicly or privately(in the case of a private rating, with the written consent of the issuer of such Collateral Debt Security foruse of such private rating and provided a copy of such consent has been delivered to S&P), the S&P Ratingshall be the rating assigned thereto by S&P; provided that, solely for purposes of determining compliancewith S&P CDO Monitor Test, if such Collateral Debt Security is placed on a watch list for possible upgradeor downgrade by S&P, the S&P Rating applicable to such Collateral Debt Security shall be one ratingsubcategory above or below, respectively, the S&P Rating applicable to such Collateral Debt Securityimmediately prior to such Collateral Debt Security being placed on such watch list;

(b) if such Collateral Debt Security is not rated by S&P but the Issuer or the CollateralManager on behalf of the Issuer has requested that S&P assign a rating to such Collateral Debt Security, theS&P Rating shall be the rating so assigned by S&P; provided that pending receipt from S&P of such rating,if such Collateral Debt Security is not eligible for notching by S&P, such Collateral Debt Security shallhave a S&P Rating of "CCC-", otherwise such S&P Rating shall be the rating determined by S&P untilsuch time as S&P shall have assigned a rating thereto; or

(c) if any Collateral Debt Security is a Collateral Debt Security that has not been assigned arating by S&P and is not a Collateral Debt Security that is not eligible for notching by S&P, as identified bythe Collateral Manager, the S&P Rating of such Collateral Debt Security shall be the rating determinedaccording to S&P notching criteria; provided that (i) if any Collateral Debt Security shall, at the time of itspurchase by the Issuer, be listed for a possible upgrade or downgrade on either Moody's or Fitch thencurrent credit rating watch list, then the S&P Rating of such Collateral Debt Security shall be onesubcategory above or below, respectively, the rating then assigned to such item as set forth in Annex B,(ii) for purposes of determining compliance with S&P CDO Monitor Test, if the rating assigned to suchCollateral Debt Security pursuant to this subparagraph (c) is placed on a watch list for possible upgrade ordowngrade by any Rating Agency, the S&P Rating applicable to such Collateral Debt Security shall be onerating subcategory above or below, respectively, the S&P Rating applicable to such Collateral DebtSecurity immediately prior to such Collateral Debt Security being placed on such watch list and (iii) theaggregate Principal Balance that may be given a rating based on this subparagraph (c) may not exceed 20%of the aggregate Principal Balance of all Collateral Debt Securities.

Notwithstanding the foregoing, if any Collateral Debt Security shall, at the time of its purchase by theIssuer, be listed for a possible upgrade or downgrade on S&P then current credit rating watch list, then the S&P

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Rating of such Collateral Debt Security shall be one subcategory above or below, respectively, the rating thenassigned to such item by S&P, as applicable; provided that if such Collateral Debt Security is removed from suchlist at any time, it shall be deemed to have its then-current actual rating by S&P.

"S&P Recovery Rate" means the recovery rate published, or, if not published, assigned, by S&P thatapplies to the category of security which best describes such Collateral Debt Security on such date.

"S&P Weighted Average Recovery Rate" means, as of any Measurement Date, with respect to any Class ofNotes, the number obtained by summing the products obtained by (i) multiplying the Principal Balance of eachCollateral Debt Security, on such Measurement Date by the applicable S&P Recovery Rate, (ii) dividing such sumby the aggregate Principal Balance of all such Collateral Debt Securities on such Measurement Date,(iii) multiplying the result by 100 and rounding up to the first decimal place. For purposes of the S&P WeightedAverage Recovery Rate, the Principal Balance of (a) a Defaulted Security will be deemed to be equal to itsoutstanding principal amount and (b) a Deferred Interest PIK Bond will be deemed to be equal to its DeferredInterest PIK Bond Amount.

"Sale Proceeds" means all proceeds (including accrued interest) received with respect to Collateral DebtSecurities, Defaulted Securities, Credit Improved Securities, Credit Risk Securities and Equity Securities as a resultof sales of such securities pursuant to the Indenture (including, in the case of any Synthetic Security, the proceeds ofsale of any Deliverable Obligations delivered in respect thereof, and any distribution received in respect of SyntheticSecurity Collateral in the event that the Synthetic Security or the Synthetic Security Counterparty's security interestis terminated by the Collateral Manager or the Synthetic Security Collateral is sold in accordance with the terms ofthe Synthetic Security and the Collateral Management Agreement), net of any reasonable amounts expended by theCollateral Manager or the Trustee in their good faith determination in connection with such sale or disposition andshall include any payments received or shall be net of any payments made in termination of any related asset-specific Hedge Agreements.

"Secured Parties" means the Trustee, for the benefit of the Rated Noteholders, the Collateral Manager,Manx, each Synthetic Security Counterparty, and each Hedge Counterparty.

"Securities Act" means the United States Securities Act of 1933, as amended.

"Semi-Annual Pay Securities" means a security that provides for periodic payments of interest in cashsemi-annually.

"Semi-Annual Pay Security Interest Reserve Amount" means, with respect to each Collateral Debt Securitythat is a Semi-Annual Pay Security, as of any Calculation Date, the amount equal to (i) the amount of interestreceived by the Issuer on the most recent payment date with respect to such Semi-Annual Pay Security divided by(ii) two; provided that for any Semi-Annual Pay Security with respect to which no scheduled interest paymentsremain, the Semi-Annual Pay Security Interest Reserve Amount shall be zero.

"Senior Collateral Management Fee" means the fee payable by the Issuer to the Collateral Manager on eachPayment Date, in accordance with the Priority of Payments in an amount, with respect to such Payment Date, equalto 0.196% of the Fee Basis Amount (reduced by the amount of any Synthetic Securities Management Fee that ispayable pari passu with the Senior Collateral Management Fee), multiplied by the actual number of days elapsedduring the related Due Period, divided by 360.

"Servicer" means, with respect to any Collateral Debt Security, the entity (howsoever described in theapplicable Underlying Instrument) that, absent any default, event of default or similar condition (howeverdescribed), is primarily responsible for managing, servicing, monitoring and otherwise administering the cash flowsfrom which payments to investors in such Collateral Debt Security are made. To the extent that multiple entitieshave such responsibilities for a given Collateral Debt Security, the Servicer will be deemed to be the entity mostdirectly involved in maximizing the cashflow of the assets through the management and resolution of delinquent anddefaulted assets, as determined by the Collateral Manager.

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"Small Business Loan Security" means an Asset-Backed Security that entitles the holder thereof to receivepayments that depend on the cash flow from general purpose corporate loans made to small business concerns (someof which may be within the meaning given to such term by regulations of the United States Small BusinessAdministration), including, but not limited to, those (a) made pursuant to Section 7(a) of the United States SmallBusiness Act, as amended, (b) partially guaranteed by the United States Small Business Administration and (c) in anamount less than U.S.$100,000,000; provided that any Collateral Debt Security falling within this definition will beexcluded from the definition of each other Specified Type of Collateral Debt Security.

"Stated Maturity Date" means the Payment Date occurring in December 2045.

"Step-Down Bond" means a security which provides for an decrease, in the case of a fixed rate security, inthe per annum interest rate on such security or, in the case of a floating rate security, in the spread over theapplicable index or benchmark rate, solely as a function of the passage of time; provided that a Step-Down Bondshall not include any such security providing for payment of a constant rate of interest at all times after the date ofacquisition by the Issuer. In calculating any Collateral Quality Test by reference to the spread of a Step-DownBond, the spread on any date will be deemed to be the lowest spread scheduled to apply to such Step-Down Bond onor after such date.

"Step-Up Bond" means a security which provides for an increase, in the case of a fixed rate security, in theper annum interest rate on such security or, in the case of a floating rate security, in the spread over the applicableindex or benchmark rate, solely as a function of the passage of time; provided that a Step-Up Bond shall not includeany such security providing for payment of a constant rate of interest at all times after the date of acquisition by theIssuer. In calculating any Collateral Quality Test by reference to the spread of a Step-Up Bond, the spread on anydate will be deemed to be the spread stated to be payable in cash and in effect on such date.

"Subordinate Collateral Management Fee" means the fee payable by the Issuer to the Collateral Manageron each Payment Date in accordance with the Priority of Payments in an amount, with respect to such PaymentDate, equal to 0.15% of the Fee Basis Amount (reduced by any amount of Synthetic Securities Management Fee thatis payable pari passu with the Subordinate Collateral Management Fee), multiplied by the actual number of dayselapsed during the related Due Period, divided by 360.

"Substitute Collateral Debt Security" means a Collateral Debt Security that is purchased by the Issuer andpledged to the Trustee as security for the Rated Notes as described herein with Sale Proceeds or proceeds depositedin the Collection Account pursuant to clause (16) of the Priority of Payments.

"Synthetic Securities Eligibility Requirement" means, with respect to the Issuer’s investments in anySynthetic Security, the requirement that the Issuer shall have entered into the Synthetic Securities ManagementAgreement with the Synthetic Securities Manager, or shall have taken such other actions in either case which shallresult in (i) the conclusion that any acquisition, holding or disposition of Synthetic Securities by the Issuer, asevidenced by the opinion of United Kingdom tax counsel to the Issuer or the Collateral Manager to such effect,would not cause the Issuer to be subject to corporation tax on profits attributable to a United Kingdom permanentestablishment or to income tax on the basis that it is carrying on a trade in the United Kingdom; (ii) Rating AgencyConfirmation being obtained with respect to such Synthetic Securities Management Agreement or such other action;and (iii) the consent of 75% of the aggregate Principal Balance of the Outstanding Class A-1 Notes being obtained.

"Synthetic Securities Management Agreement" means the agreement, if any, entered into and as amendedor supplemented from time to time between the Issuer and a Synthetic Securities Manager, if any; provided that suchagreement satisfies the Rating Agency Confirmation and pursuant to which (i) the Synthetic Securities EligibilityRequirement is satisfied and (ii) such Synthetic Securities Manager is paid Synthetic Securities Management Fees.Subject to the foregoing, any such Synthetic Securities Management Agreement shall be on terms substantiallyidentical to the terms of the Collateral Management Agreement (including any tax operating guidelines).

"Synthetic Securities Management Fees" means any amounts payable pursuant to any Synthetic SecuritiesManagement Agreement; provided that any such fees shall be at market rates for the services provided (but not toexceed the aggregate amount that would otherwise be payable for the relevant period as Collateral ManagementFees) and payable pari passu with one or more of the Collateral Management Fees payable to the Collateral

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Manager and shall directly reduce the amounts otherwise payable to the Collateral Manager in respect of suchCollateral Management Fees and in accordance with the Priority of Payments.

"Synthetic Securities Manager" means, to the extent that the Issuer enters into a Synthetic SecuritiesManagement Agreement, an Affiliate of Cambridge Place Investment Management LLP not located or resident inthe United Kingdom and any successor or permitted assign.

"Synthetic Security" means a CS Synthetic Security or a Funded Synthetic Security that satisfies theSynthetic Securities Eligibility Requirement.

For purposes of the Coverage Tests, unless otherwise specified, a Synthetic Security shall be included as aCollateral Debt Security having the characteristics of the Synthetic Security and not of the related ReferenceObligations.

For purposes of the Collateral Quality Tests and for purposes of determining the assigned or shadow ratingfrom Moody's or S&P of a Synthetic Security, a Synthetic Security will be included as a Collateral Debt Securityhaving the characteristics of the Synthetic Security and not of the related Reference Obligation(s); provided that(i) for purposes of the Moody's Asset Correlation Test, a Synthetic Security will be included as a Collateral DebtSecurity having the characteristics of the related Reference Obligations (and the issuer thereof will be deemed to bethe related Reference Obligors) and not of the Synthetic Security, (ii) for purposes of determining the industry withrespect to any Synthetic Security for S&P CDO Monitor Test, a Synthetic Security will be included as a CollateralDebt Security having the characteristics of the related Reference Obligations and (iii) for purposes of determiningthe Portfolio Percentage Limitations (other than in respect of clause (11) of the definition of Portfolio PercentageLimitations) with respect to any Synthetic Security, a Synthetic Security will be included as a Collateral DebtSecurity having the characteristics of the related Reference Obligation.

"Synthetic Security Collateral" means (a) Cash or Eligible Investments, (b) investments as to which theRating Agencies shall have confirmed in writing that the purchase of such investment shall not cause any RatingAgency to qualify, downgrade or withdraw its then-current ratings on any Class of the Rated Notes, or (c) in thecase of a Synthetic Security that is settled by the delivery by the Issuer of securities or other investments or bypayment of a cash settlement amount not greater than the value of such securities or other investments, suchsecurities or other investments, in each case which mature no later than the Stated Maturity Date; provided that(i) Synthetic Security Collateral (x) must bear interest at a floating rate and (y) may not constitute Margin Stock and(ii) the acquisition (including the manner of acquisition), ownership, enforcement and disposition of such SyntheticSecurity Collateral shall not cause the Issuer to be treated as engaged in a trade or business in the United States forU.S. federal income tax purposes or otherwise subject the Issuer to net income tax in any jurisdiction outside theIssuer's jurisdiction of incorporation and payments received with respect to such Synthetic Security Collateral arenot subject to withholding tax in any jurisdiction unless the obligor thereof is required to make "gross-up" paymentsthat cover the full amount of any such withholding tax; provided, further, that upon the payment of all amountsowed to a Synthetic Security Counterparty and its release of its lien on any Synthetic Security Collateral followingthe termination of a Synthetic Security, such securities shall no longer constitute Synthetic Security Collateralhereunder and will be transferred to the Collection Account as Collateral Principal Collections.

"Synthetic Security Counterparty" means with respect to any Synthetic Security, the entity (or guarantor orsimilar credit support provider of such entity's obligations pursuant to an irrevocable and unconditional guarantee orsimilar credit support instrument) (i) that is required to make payments on a Synthetic Security to the extent that aspecified Reference Obligor makes payments on a related Reference Obligation and (ii) (x) that has received aRating Agency Confirmation from S&P and Moody's and (y) such Synthetic Security has been assigned the requiredMoody's Rating Factor and Moody's Recovery Rate by Moody's, provided that at any time any Synthetic Security isacquired by the Issuer, the percentage of the CDS Principal Balance that represents Synthetic Securities entered intoby the Issuer with one or more Synthetic Security Counterparties will not exceed the aggregate percentage set forthin the table below for the credit rating by S&P and Moody's of such Synthetic Security Counterparty (or itsAffiliates); provided, however, that the percentage of the CDS Principal Balance that represents Synthetic Securities(other than Defeased Synthetic Securities) where the Issuer is selling credit protection to any single SyntheticSecurity Counterparty may equal up to 15.0% of the CDS Principal Balance so long as (x) such Synthetic Securities

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are entered into on or prior to the Closing Date (or the Issuer has received Rating Agency Confirmation from S&Pand Moody's) and (y) the Synthetic Security Counterparty is rated at least "AA-" by S&P and "Aa3" by Moody's:

Long Term Senior Unsecured Debt Ratingof Synthetic Security Counterparty

Aggregate SyntheticSecurity Counterparty

Limit

Aggregate SyntheticSecurity Counterparty

Limit Excluding DefeasedSynthetic Securities

Aggregate SyntheticSecurity CounterpartyLimit Excluding Type 2

Defeased SyntheticSecurities

(S&P) (Moody's)AAA Aaa 40.0% 20.0% 30.0%AA Aa 30.0% 10.0% 20.0%A A 25.0% 5.0% 15.0%

"Synthetic Security Counterparty Default" means a Synthetic Security (other than a Defaulted SyntheticSecurity) with respect to which:

(a) (i) the long-term debt obligations of the relevant Synthetic Security Counterparty are(A) withdrawn, suspended or downgraded to less than "A2" by Moody's or (B) rated "A2" by Moody's andsuch rating is on watch for possible downgrade or (C) "D" or "SD" by S&P, or (ii) the rating of the relevantSynthetic Security Counterparty by S&P is withdrawn; provided that, notwithstanding the foregoing, if atany time after such withdrawal or reduction such Synthetic Security is a credit default swap under whichthe Synthetic Security Counterparty shall have provided collateral to or for the benefit of the Issuer with avalue equal to or greater than any termination payment that would then be due to the Issuer upon thetermination of such credit default swap, no Synthetic Security Counterparty Default shall be deemed toexist with respect to such Synthetic Security so long as notice is provided to each Rating Agency, andRating Agency Confirmation is obtained from S&P, in each case prior to such provision of collateral; or

(b) the Synthetic Security Counterparty has defaulted in the performance of any interest,principal or any other payment or delivery obligations under the Synthetic Security.

For purposes of the proviso of clause (a) above, "value" shall be determined in accordance with therequirements for determining the value of collateral posted pursuant to the credit support annex entered into inconjunction with the related Synthetic Security or, if the related Synthetic Security does not include a credit supportannex, as determined in accordance with the published criteria established by the Rating Agencies for purposes ofdetermining such value at the time of posting.

"Tax Event" means, whether or not as a result of any change in law, treaty, regulation, rule, ruling, practiceor judicial decision or interpretation, (i) any obligor is, or on the next scheduled payment date under any CollateralDebt Security any obligor will be, required to deduct or withhold from any payment under any Collateral DebtSecurity to the Issuer for or on account of any tax, and such obligor is not, or will not be, required to pay to theIssuer such additional amount as is necessary to ensure that the net amount actually received by the Issuer (free andclear of taxes, whether assessed against such obligor or the Issuer) will equal the full amount that the Issuer wouldhave received had no such deduction or withholding occurred, (ii) the Issuer, a Synthetic Security Counterparty or aHedge Counterparty is required to deduct or withhold from any payment under a Synthetic Security or a HedgeAgreement for or on account of any tax and the Issuer is obligated, or such Synthetic Security Counterparty orHedge 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 Materiality Condition" means, during any 12-month period, any combination of Tax Events results, inaggregate, in a payment by, or charge or tax burden to, the Issuer greater than or equal to 10% of the aggregateinterest payments on the Collateral Debt Securities during such twelve (12) month period.

"Tax Redemption" means a redemption of the Rated Notes, in whole but not in part, (i) on any PaymentDate following the occurrence and during the continuation of a Tax Event in an amount satisfying the TaxMateriality Condition, at the direction of the Holders of not less than 66⅔% of the aggregate principal amount of theOutstanding Income Notes or (ii) on any Payment Date on which any Class A-1 Notes remain Outstanding andfollowing the occurrence and during the continuation of a Tax Event in an amount satisfying the Tax Materiality

A-36

Condition, any combination of Tax Events results, in the aggregate, in a current or past payment by, or charge or taxburden to, the Issuer that equals or exceeds the sum of (i) the Income Notes Stated Amount minus the aggregateamount of all distributions on the Income Notes, as of the date of determination, and (ii) the Outstanding PrincipalBalance of the Rated Notes, as of the date of determination, other than the Class A-1 Notes, then at the direction of amajority of the aggregate Principal Balance of the Class A-1 Notes.

"Taxes" means any present or future taxes, duties, assessments or governmental charges of whatsoevernature 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 SGlobal Income Note, as the case may be.

"Tobacco Settlement Security" means a security that entitles the holder thereof to receive payments thatdepend (except for the rights or other assets designed to assure the servicing or timely distribution of proceeds toholders of such security) on the cash flows from (i) the right of tobacco litigation claimants to receive futuresettlement payments under a settlement agreement and (ii) state awards and legal fee awards from settlementagreements between certain states and tobacco companies.

"Transaction Documents" means the Indenture, the Collateral Management Agreement, the AccountControl Agreement, any Hedge Agreements, the Administration Agreement, the Collateral AdministrationAgreement, the Income Note Issuing and Paying Agency Agreement, the Manx Agreement, the Purchase Agreementand the Placement Agency Agreement.

"Trustee" means Wachovia Bank, National Association, and any successors or assigns in its capacity astrustee under the Indenture.

"Type 2 Defeased Synthetic Securities" means Defeased Synthetic Securities that do not require the Issuerto make any termination payment to the Synthetic Security Counterparty pursuant to the agreement relating to suchDefeased Synthetic Security in respect of which such Synthetic Security Counterparty is the defaulting party or thesole affected party.

"Underlying Instrument" means the indenture or other agreement pursuant to which a Collateral DebtSecurity, Eligible Investment or Equity Security has been issued or created and each other agreement that governsthe terms of or secures the obligations represented by such Collateral Debt Security, Eligible Investment or EquitySecurity or of which the holders of such Collateral Debt Security, Eligible Investment or Equity Security are thebeneficiaries.

"Uninvested Proceeds" means, at any time, the net proceeds received by the Issuer on the Closing Datefrom the initial issuance of the Notes, to the extent such proceeds have not theretofore been invested in CollateralDebt Securities; provided that any required amounts deposited in a Synthetic Security Counterparty Account inaccordance with the terms of this Indenture shall not constitute "Uninvested Proceeds" for purposes of thisdefinition.

"U.S. Offeree" means each prospective initial purchaser of the Notes offered in reliance on Rule 144A oranother applicable exemption from registration under the Securities Act.

"Weighted Average Life Test" means a test that shall be satisfied as of any Measurement Date during anyperiod set forth below if the Weighted Average Life of all Collateral Debt Securities as of such Measurement Date isless than or equal to the number of years set forth in the table below:

A-37

As of any Calculation Date Occurringduring the Period Below

Weighted Average Life (inYears)

Closing – 1.0 year .................................................. 7.9 Years1.0 year – 2.0 years ................................................ 6.9 Years2.0 years – 3.0 years............................................... 5.9 Years3.0 years – 4.0 years............................................... 4.9 Years4.0 years – 5.0 years............................................... 3.9 Years5.0 years – maturity................................................ 2.9 Years

"Weighted Average Spread" means, as of any given date, the sum (rounded up to the next 0.001%) of(a) the number obtained by (i) summing the products obtained by multiplying (A) for each Floating Rate CollateralDebt Security (other than, in each case, any Defaulted Security, Written Down Security or Deferred Interest PIKBond), in the case of each Collateral Debt Security, the stated spread above LIBOR at which interest accrues onsuch Collateral Debt Security as of such date by (B) the principal balance of such Collateral Debt Security as of suchdate and (ii) dividing such sum by the aggregate Principal Balance of all Floating Rate Collateral Debt Securities(excluding, in each case, all Defaulted Securities, Written Down Securities and Deferred Interest PIK Bonds).

"Weighted Average Spread Test" means a test that will be satisfied as of any given date if the WeightedAverage Spread as of such date is equal to or greater than the Weighted Average Spread for the row number of theCollateral Quality Matrix selected by the Collateral Manager to be in effect as of such date.

"Whole Business Securitization Security" means an Asset-Backed Security that entitles the holder thereofto receive payments that depend on the cash flow from a limited class of assets that comprise the sole assets of theissuer of such security.

"Written Down Amount" means, with respect to each Written Down Security, the amount by which theoriginal Principal Balance of such Written Down Security is reduced as notified by or on behalf of the related issueror trustee to the holders of such Written Down Security (including appraisal reductions on CMBS Securities).

"Written Down Security" means any secured Collateral Debt Security as to which the aggregate par amountof such Collateral Debt Security and all other securities secured by the same pool of collateral that rank pari passuwith or senior in priority of payment to such Collateral Debt Security exceeds the aggregate par amount (includingreserved interest or other amounts available for overcollateralization) of all collateral securing such securities(excluding defaulted collateral), provided that a REIT Debt Security shall not at any time be a Written DownSecurity.

B-1

ANNEX B

PORTFOLIO OF COLLATERAL DEBT SECURITIES TO BEPURCHASED BY THE ISSUER ON THE CLOSING DATE*

Purchases Settling Before Closing Date

No. CUSIP TickerPrincipal Amount

(USD)1 AABST 2005-4 B1 00764MGN1 1,750,0002 AABST 2005-4 B2 00764MGP6 1,000,0003 AABST 2005-4 B4 00764MGR2 1,250,0004 AABST 2005-5 B4 00764MHP5 4,000,0005 ABSHE 2005-HE5 M8 04541GSQ6 1,688,0006 ACCR 2005-3 M7 004375EA5 1,500,0007 ACCR 2005-3 M8 004375EB3 1,000,0008 ACE 2005-HE5 M10 004421RP0 1,500,0009 ACE 2005-HE5 M7 004421RL9 1,500,00010 ACE 2005-HE5 M8 004421RM7 2,200,00011 ACE 2005-HE6 M10 004421SW4 1,900,00012 ACE 2005-HE6 M7 004421ST1 1,900,00013 ADROC 2005-2A C 007022AD8 10,000,00014 AERLS 2005-1A C1 009349AC5 2,073,19515 AMIT 2005-2 B1 126673L91 1,500,00016 AMIT 2005-2 M9 126673L83 3,321,00017 AMIT 2005-4 M7 00252FCZ2 2,700,00018 AMIT 2005-4 M8 00252FDA6 1,000,00019 AMSI 2005-R7 M8 03072SK79 1,400,00020 AMSI 2005-R8 M10 03072SM93 1,250,00021 AMSI 2005-R8 M7 03072SM69 1,700,00022 ARSI 2004-W9 M4 040104LE9 2,500,00023 ARSI 2005-W2 M10 040104NN7 2,000,00024 ARSI 2005-W2 M8 040104NL1 1,750,00025 ARSI 2005-W3 M10 040104PM7 4,000,00026 BALL 2005-ESHA H 06424HAM9 4,000,00027 BAYC 2005-2A B1 07324SBW1 787,09628 BAYC 2005-2A M6 07324SBV3 826,45129 BAYC 2005-3A B1 07324SCK6 794,10330 BAYC 2005-3A B2 07324SCL4 794,10331 BLX 2005-AA B 12328MAP6 7,078,63932 BLX 2005-AA C 12328MAQ4 1,220,45533 BSABS 2005-AQ2 M9 0738792Q0 2,000,00034 BSABS 2005-HE1 M5 073879PV4 2,630,00035 BSABS 2005-HE10 M4 073879X60 1,000,00036 BSABS 2005-HE4 M4 073879TW8 1,837,00037 BSABS 2005-HE4 M5 073879TX6 2,427,00038 BSABS 2005-HE9 M4 073879R75 4,847,00039 BSABS 2005-HE9 M5 073879R83 1,484,00040 BSABS 2005-HE9 M6 073879R91 1,100,00041 CARAT 2005-SN1A C 139732FL0 5,000,00042 CARR 2005-NC2 M9 144531CC2 2,000,00043 CARR 2005-NC3 M6 144531DD9 3,350,00044 CARR 2005-NC3 M7 144531DE7 3,300,00045 CARR 2005-NC4 M6 78514RAJ4 3,714,00046 CARR 2005-NC4 M7 78514RAK1 4,674,00047 CARR 2005-NC5 M9 144531DW7 10,000,00048 CCRE 2005-1A F 140818AF2 7,700,00049 CMLTI 2005-HE1 M6 17307GQU5 1,600,00050 CMLTI 2005-HE1 M8 17307GQW1 1,273,00051 CMLTI 2005-HE3 M10 17307GXA1 2,500,00052 CSFB 2005-CN2A J 225470HF3 2,100,00053 CSFB 2005-TFLA H 225458HH4 1,250,00054 CSFB 2005-TFLA J 225458HK7 1,250,00055 CWL 2005-11 MV7 126670DG0 4,000,00056 ECR 2005-3 M7 29256PAL8 1,250,00057 ECR 2005-3 M8 29256PAM6 1,200,00058 FFML 2005-FF7 M7 32027NUS8 1,000,000

B-2


(USD)59 FFML 2005-FF7 M8 32027NUT6 1,000,00060 FHLT 2004-D M10 35729PGM6 2,448,00061 GOLUB 2005-1A C 381727AG1 10,000,00062 HASC 2005 NC2 M9 40430HBN7 3,467,00063 HASC 2005-NC2 M10 40430HBR8 1,067,00064 HASC 2005-NC2 M7 40430HBL1 2,000,00065 HASC 2005-NC2 M8 40430HBM9 1,085,00066 HEAT 2004-3 B2 437084CJ3 7,000,00067 HEAT 2005-2 B4 437084JZ0 1,775,00068 HEAT 2005-3 B1 437084KW5 2,000,00069 HEAT 2005-4 B1 437084LT1 4,610,00070 HEAT 2005-4 M7 437084LS3 1,700,00071 HEAT 2005-5 B3 437084MR4 3,250,00072 HEAT 2005-5 M7 437084MN3 4,000,00073 HEAT 2005-6 M7 437084NJ1 850,00074 HEAT 2005-6 M8 437084NK8 500,00075 HEAT 2005-7 B1 437084PG5 1,000,00076 HEAT 2005-7 M7 437084PF7 1,700,00077 HEAT 2005-8 B2 437084QJ8 2,500,00078 HEAT 2005-8 M8 437084QG4 5,000,00079 HEAT 2005-9 B2 437084RH1 4,000,00080 IXIS 2005 HE4 B4 45071KCX0 4,229,00081 IXIS 2005-HE2 B1 45071KBQ6 1,200,00082 IXIS 2005-HE2 B2 45071KBR4 800,00083 IXIS 2005-HE3 B2 45071KCE2 1,000,00084 IXIS 2005-HE3 B4 45071KCG7 1,000,00085 JPMAC 2005-FLD1 M10 46626LBC3 1,102,00086 JPMAC 2005-FLD1 M8 46626LBA7 3,000,00087 JPMAC 2005-WMC1 M7 46626LBP4 5,000,00088 JPMAC 2005-WMC1 M8 46626LBQ2 2,500,00089 JPMCC 2005-FL1A H 46625YLD3 550,24490 JPMCC 2005-FL1A J 46625YLE1 290,24991 JPMCC 2005-FL1A K 46625YLF8 384,79392 LBFRC 2005-LLFA H 52519NLC6 2,000,00093 LBFRC 2005-LLFA J 52519NLD4 1,000,00094 LBMLT 2005-2 M7 542514KX1 4,000,00095 LBMLT 2005-2 M8 542514KY9 4,000,00096 LBMLT 2005-WL1 M10 542514LW2 1,500,00097 LBMLT 2005-WL1 M7 542514LP7 5,000,00098 LBMLT 2005-WL1 M8 542514LQ5 5,000,00099 LBMLT 2005-WL2 M10 542514NL4 2,000,000

100 LBMLT 2005-WL2 M7 542514NH3 2,000,000101 LBMLT 2005-WL2 M8 542514NJ9 2,000,000102 MABS 2005-FRE1 M8 57643LMH6 2,008,000103 MLMI 2005-AR1 B2 59020UG58 4,000,000104 MLMI 2005-AR1 B4 59020UG74 3,000,000105 MMLT 2005-2 M7 59001FCX7 3,375,000106 MMLT 2005-2 M8 59001FCY5 2,650,000107 MMT 2005-1A C 59159UBV9 5,000,000108 MSAC 2005-HE4 B1 61744CTR7 1,000,000109 MSAC 2005-HE4 B2 61744CTS5 1,000,000110 MSAC 2005-NC2 B1 61744CPN0 6,850,000111 MSAC 2005-NC2 B2 61744CPP5 3,000,000112 MSAC 2005-WMC3 B1 61744CQD1 1,927,000113 MSAC 2005-WMC3 B2 61744CQE9 1,200,000114 MSAC 2005-WMC5 B1 61744CRX6 3,003,000115 MSAC 2005-WMC5 B2 61744CRY4 4,503,000116 MSAC 2005-WMC6 B1 61744CTB2 1,840,000117 MSAC 2005-WMC6 B2 61744CTC0 2,052,000118 NCHET 2005-2 M7 64352VKZ3 3,500,000119 NCHET 2005-2 M8 64352VLA7 4,500,000120 NCHET 2005-3 M7 64352VLQ2 4,000,000121 NCHET 2005-3 M8 64352VLR0 4,000,000122 NCHET 2005-4 M7 64352VNA5 3,500,000123 NCHET 2005-4 M8 64352VNB3 1,500,000124 NCHET 2005-B M8 64352VNS6 7,500,000125 NHEL 2005-3 M8 66987XHE8 2,000,000

B-3


(USD)126 NHEL 2005-3 M9 66987XHF5 4,000,000127 NWSTR 2005-1A D 65250YAJ4 2,455,000128 PCHLT 2005-2 B1 71085PCG6 4,000,000129 PCHLT 2005-2 B2 71085PCH4 4,000,000130 PCHLT 2005-4 M10 71085PDR1 2,000,000131 PCHLT 2005-4 M8 71085PDP5 1,633,000132 PINEM 2005-A C 722694AD8 4,500,000133 POPLR 2005-5 BV1 73316PHE3 5,354,000134 PPSI 2004-WCW2 M10 70069FBG1 3,800,000135 PPSI 2005-WCH1 M7 70069FFP7 7,000,000136 RAMP 2005-EFC4 M10 76112BD56 2,000,000137 RAMP 2005-EFC4 M8 76112BD31 2,526,000138 SABR 2005-FR4 B1 81375WFL5 2,200,000139 SABR 2005-FR4 B2 81375WFM3 1,300,000140 SABR 2005-FR4 B4 81375WFP6 1,000,000141 SABR 2005-FR5 B2 81375WFY7 4,881,000142 SABR 2005-FR5 B4 81375WGA8 4,000,000143 SACO 2005-5 1B2 785778GF2 2,050,000144 SACO 2005-5 1B3 785778GG0 1,971,000145 SACO 2005-7 B1 785778KS9 2,750,000146 SACO 2005-7 B2 785778KT7 2,252,000147 SACO 2005-8 B1 785778LJ8 2,450,000148 SACO-2005-5 1B1 785778GE5 1,591,000149 SASC 2005-S6 B1 86359DUA3 3,774,000150 SAST 2005-2 B1 805564SJ1 4,225,000151 SAST 2005-2 B2 805564SK8 1,370,000152 SVHE 2005-B M7 83611MHS0 5,550,000153 SVHE 2005-DO1 M8 83611MEE4 2,961,000154 SVHE 2005-DO1 M9 83611MEF1 1,000,000155 TRIP 2005-1A B 897790AD3 3,000,000156 WBCMT 2005-WL5A KHP3 929766J95 2,000,000157 WBCMT 2005-WL5A KHP4 929766K28 1,900,000158 WHLS 2005-B C 96328UAD8 5,000,000159 WMLT 2005-WMC1 M10 92977YBG5 4,000,000

Purchases Settling After Closing Date


(USD)

1 FBRSI 2005-5 M10 30246QCY7 1,500,0002 JPMAC 2005-OPT2 M10 TBD 1,500,0003 NCHET 2005-D M10 64352VPZ8 2,000,0004 BSABS 2005-HE10M6 073879X86 2,500,0005 GSAMP 2005-HE6B2 362341H51 4,000,000

I-i

INDEX OF DEFINED TERMS

Following is an index of defined terms used in this Prospectus and the page number where each definitionappears.

25% Threshold.......................................................108ABS CDO Security............................................... A-1Account Control Agreement................................. A-1Accountholder ...................................................... A-1Accounts ..................................................................66Accredited Investor................................................ viiiactual knowledge ................................................ A-14Administration Agreement ................................... A-1Administrative Expenses ...................................... A-1Administrator...........................................................29Affiliate................................................................. A-1Affiliated............................................................... A-1Agent Members .................................................... A-1Aggregate Effective Date Par Amount ......................1Aircraft Leasing and Engine Securities ................ A-1Applicable Periodic Interest Rate ......................... A-1Applicable Recovery Rate .................................... A-2Articles ..................................................................117Asset-Backed Security.......................................... A-2Auction ....................................................................35Auction Call Redemption ............................... 33, A-2Auction Date................................................... 35, A-2Auction Procedures..................................................35Average Life......................................................... A-2Beneficial Owner.................................................. A-2Benefit Plan Investor ...................................... 95, A-2Business Day ........................................................ A-2Calculation Date ................................................... A-3Call Period ............................................................ A-3Catastrophe Bond ................................................. A-3cause ........................................................................74CDO of CDO Security.......................................... A-3CDO Securities ..................................................... A-3CDS Principal Balance ......................................... A-3Cede.........................................................................44Certificated Class D Income Notes....................... A-3Certificated Notes ....................................................47CFC .......................................................................103Citigroup......................................................... 17, A-3Class ..................................................................... A-3Class A Coverage Tests ........................................ A-3Class A Interest Coverage Ratio........................... A-3Class A Interest Coverage Test............................. A-3Class A Notes ....................................................... A-3Class A Principal Coverage Ratio ........................ A-3Class A Principal Coverage Test .......................... A-4Class A-1 Note Interest Rate ................................ A-4Class A-1 Notes.................................................... A-4Class A-2 Note Interest Rate ................................ A-4Class A-2 Notes.................................................... A-4Class A-3 Note Interest Rate ................................ A-4

Class A-3 Notes.................................................... A-4Class B Coverage Tests ........................................ A-4Class B Cumulative Deferred Interest Amount .... A-4Class B Deferred Interest Amount...........................32Class B Interest Coverage Ratio ........................... A-4Class B Interest Coverage Test............................. A-4Class B Note Interest Rate.................................... A-4Class B Notes ....................................................... A-4Class B Principal Coverage Ratio......................... A-4Class B Principal Coverage Test .......................... A-5Class C Coverage Tests ........................................ A-5Class C Cumulative Deferred Interest Amount .... A-5Class C Deferred Interest Amount...........................32Class C Interest Coverage Ratio ........................... A-5Class C Interest Coverage Test............................. A-5Class C Note Interest Rate.................................... A-5Class C Notes ....................................................... A-5Class C Principal Coverage Ratio......................... A-5Class C Principal Coverage Test .......................... A-5Clearing Agency................................................... A-5Clearstream........................................................... A-5CLO Security........................................................ A-5Closing Date ..................................................... 2, A-5CMBS Conduit Security ....................................... A-5CMBS Credit Tenant Lease Security.................... A-6CMBS Large Loan Security ................................. A-6CMBS Security..................................................... A-6Code................................................................ 98, A-6Collateral .......................................................... 4, A-6Collateral Account.......................................... 66, A-6Collateral Administration Agreement................... A-7Collateral Administrator ....................................... A-7Collateral Assignment of Swap Agreements ........ A-7Collateral Debt Security ....................................... A-7Collateral Interest Collections .............................. A-9Collateral Management Agreement ...................... A-9Collateral Management Fee.................................. A-9Collateral Manager ........................................... 2, A-9Collateral Manager Information ......................... A-10Collateral Principal Collections.......................... A-10Collateral Quality Matrix.................................... A-10Collateral Quality Tests ...................................... A-10Collateralization Event ............................................69Collection Account ..................................................66Collections.......................................................... A-10Commission........................................................ A-10Controlling Class ................................................ A-11Controlling Person...........................................96, 108Corporate Debt Security ..................................... A-11Corporate Trust Office.......................................48, 49Coverage Tests ................................................... A-11

I-ii

Credit Improved Security ................................... A-11Credit Risk Security............................................ A-11Credit Support Annex......................................... A-11CS Synthetic Security......................................... A-11Currency Swap Agreement......................................69Current Portfolio................................................. A-12Daily Official List............................................... A-12Deemed Floating Asset Hedge ........................... A-12Deemed Floating Rate Collateral Debt Security. A-13Defaulted Interest ............................................... A-13Defaulted Securities Amount.............................. A-13Defaulted Security .............................................. A-13Defaulted Synthetic Security .............................. A-14Defaulted Synthetic Termination Payments ....... A-14Defeased Synthetic Security ............................... A-14Deferred Interest PIK Bond................................ A-15Deferred Interest PIK Bond Amount .................. A-15Deliverable Obligation ....................................... A-15Directors ..................................................................28Discount Collateral Debt Security ...................... A-15disqualified persons ...............................................108DTC.............................................................44, 84, 93Due Period .......................................................... A-15E.U...........................................................................27Effective Date............................................................1Eligibility Criteria............................................... A-15Eligible Investments ........................................... A-15Eligible SPV Jurisdiction.................................... A-17equitable subordination............................................23Equity Security ................................................... A-17ERISA .....................................................................84ERISA Plans..........................................................108Euroclear ............................................................ A-17Event of Default ..................................................6, 53excess distribution .................................................103Excess Funds ...................................................... A-17Exchange Act............................................... viii, A-17Exchange Date.................................................... A-17Expense Reserve Account .......................................66Fee Basis Amount............................................... A-17FFIEC ....................................................................111Fitch.................................................................... A-17Fixed Rate Collateral Debt Security ................... A-17Form-Approved Hedge Agreement .................... A-17Franchise Loan Security ..................................... A-18FRB .........................................................................87FSMA ....................................................................114Funded Synthetic Security.................................. A-18Future Advance Security .................................... A-18Future Flow Security .......................................... A-18Global Notes....................................................... A-18Healthcare Receivables Security ........................ A-18Hedge Agreement ....................................................69Hedge Agreements ..................................................69Hedge Counterparty Collateral Account..................70Hedge Counterparty Ratings Requirement ......... A-18

Hedge Ratings Determining Party ...................... A-19High Yield CDO Security................................... A-19Holder .......................................................... viii, A-19Home Equity Loan Securities............................. A-19Incentive Collateral Management Fee .......... 78, A-19Income Note Issuing and Paying Agent ............. A-19Income Note Register ......................................... A-19Income Noteholder ............................................. A-19Income Notes...................................................... A-19Income Notes Stated Amount............................. A-20Indemnified Party ....................................................73Indenture............................................................. A-20indirect participants .................................................51Initial Offerees.........................................................81Initial Payment Date ..................................... 30, A-20Initial Purchaser.......................................... 114, A-20Interest Coverage Amount.................................. A-20Interest Only Security......................................... A-20Interest Period..................................................... A-20Interest Rate Hedge Agreement...............................69Interest Rate Hedge Counterparty ...........................69Interest Reserve Amount .................................... A-20Interest-Only Period ........................................... A-20Inverse Floating Rate Security............................ A-20Investment Company Act .................................. 2, viiiInvestment Grade CDO Security ........................ A-20Irish Listing Agent.............................................. A-20Irish Stock Exchange .................................................2IRR ..................................................................... A-20IRS...................................................................... A-21IRS...........................................................................98Issue.................................................................... A-21Issue Price..................................................... 98, A-21Issuer .....................................................................1, 2lender liability..........................................................23Liabilities.................................................................73LIBOR................................................................ A-21LIBOR Calculation Date .........................................31London Banking Day.......................................... A-21Losses ......................................................................74LP ............................................................................78Manufactured Housing Security ......................... A-21Manx................................................................... A-21Manx Agreement .......................................... 78, A-21Manx Fee ...................................................... 78, A-21Margin Stock ...................................................... A-21Market Value ...................................................... A-21Measurement Date.............................................. A-22Moneyline Telerate Page 3750 ........................... A-22Moody's .............................................................2, 112Moody's Asset Correlation ................................. A-22Moody's Asset Correlation Test ......................... A-22Moody's Maximum Weighted Average Rating

Factor Test...................................................... A-22Moody's Minimum Weighted Average Recovery

Rate Test......................................................... A-22

I-iii

Moody's Rating........................................... A-8, A-22Moody's Rating Factor ....................................... A-23Moody's Recovery Rate...................................... A-23Moody's Weighted Average Rating Factor......... A-23Moody's Weighted Average Recovery Rate....... A-23non-U.S. Holder.....................................................105Note Calculation Agent ...........................................31Note Interest Reserve Account ................................66Note Paying Agent...................................................38Note Register ...................................................... A-24Note Registrar..................................................... A-24Note Transfer Agent ........................................... A-24Noteholder .......................................................... A-19Notes............................................................... 2, A-24Offer ................................................................... A-24Prospectus..................................................................1OID........................................................................100Optional Redemption.................................... 33, A-24Ordinary Shares .................................................. A-24Outstanding......................................................... A-24participants ............................................................116parties in interest....................................................108Partners ............................................................... A-24Paying Agents..................................................... A-24Payment Account.....................................................66Payment Amount .....................................................31Payment Date................................................ 30, A-24Periodic Interest.................................................. A-24Permanent Regulation S Global Notes ....................45Person ................................................................. A-24PFIC.......................................................................101phantom income ......................................................25PIK Bond............................................................ A-25Placement Agent....................................................114Plan Asset Regulation............................................108Plans ......................................................................108Portfolio Expected Maturity ............................... A-25portfolio interest exemption.....................................99Portfolio Percentage Limitations ........................ A-25Preliminary Prospectus ..............................................1Principal Balance................................................ A-27Principal Coverage Amount ............................... A-27Principal Coverage Ratios .................................. A-28Principal Coverage Tests .................................... A-28Principal Only Security ...................................... A-28Priority of Payments ................................................39Proceeding ...............................................................18Proposed Portfolio .............................................. A-28PTCE .....................................................................109QEF .................................................................25, 101Qualified Institutional Buyer ................................. viiiqualified portion ....................................................103qualified purchaser ..................................................81Qualified Purchaser ............................................... viiiQualifying Foreign Country ............................... A-28Qualifying Foreign Obligor ................................ A-29

Rated Note Break-Even Default Rate................. A-29Rated Note Class Loss Differential .................... A-29Rated Note Class Scenario Default Rate ............ A-29Rated Noteholder................................................ A-29Rated Notes .................................................. 33, A-29Rating Agencies.......................................... 112, A-29Rating Agency Confirmation.......................... 9, A-29Rating Confirmation Failure......................................9Redemption................................................. 4, 9, A-29Redemption Date ................................................ A-29Redemption Price ............................................... A-29Reduced Principal Balance ................................. A-30Reference Banks................................................. A-30Reference Obligation.......................................... A-30Reference Obligor............................................... A-30Registered ............................................................. A-7Regulation S Global Class D Income Note ........ A-30Regulation S Global Note................................... A-30Reinvestment Criteria ................................... 64, A-30REIT ................................................................... A-30REIT Debt Securities.......................................... A-30reportable transaction ............................................106Reserved Matters .....................................................56Residential A Mortgage Security........................ A-30Residential B/C Mortgage Security .................... A-30Restricted Certificated Note ......................... 48, A-30RMBS Securities ................................................ A-31Rule 144A Global Notes..........................................44S&P ...................................................................2, 112S&P CDO Monitor ............................................. A-31S&P CDO Monitor Test ..................................... A-31S&P Minimum Recovery Rate Test ................... A-31S&P Rating......................................................... A-31S&P Recovery Rate ............................................ A-32S&P Weighted Average Recovery Rate ............. A-32Sale Proceeds...................................................... A-32Secured Parties ................................................... A-32Securities Act.................................................. 2, A-32Securities Lending Account.....................................71Securities Lending Agreement ................................70Securities Lending Collateral ..................................71Securities Lending Counterparty .............................70Semi-Annual Pay Securities ............................... A-32Semi-Annual Pay Security Interest Reserve

Amount........................................................... A-32Senior.......................................................................30Senior Collateral Management Fee............... 77, A-32Servicer............................................................... A-32Share Trustee ...........................................................28Similar Law .............................................................87Single B Rating Allowance ................................ A-28Small Business Loan Security ............................ A-32Special Termination Event ......................................75Special U.S. Tax Counsel ........................................99Stated Maturity Date........................................... A-33Step-Down Bond ................................................ A-33

I-iv

Step-Up Bond ..................................................... A-33Subordinate..............................................................30Subordinate Collateral Management Fee...... 77, A-33Substitute Collateral Debt Security..................... A-33Substitute Party........................................................70Substitution Event ...................................................70Synthetic Securities Eligibility Requirement...... A-33Synthetic Securities Management Agreement80, A-33Synthetic Securities Management Fees .............. A-33Synthetic Securities Manager ....................... 80, A-34Synthetic Security............................................... A-34Synthetic Security Collateral .............................. A-34Synthetic Security Counterparty......................... A-34Synthetic Security Counterparty Account ...............66Synthetic Security Counterparty Default ............ A-35Synthetic Security Issuer Account...........................66Tax Event............................................................ A-35Tax Materiality Condition .................................. A-35Tax Redemption ........................................... 33, A-35Tax Subsidiary.........................................................66Taxed Collateral Debt Security ...............................65Taxes .................................................................. A-36Temporary Regulation S Global Notes....................45

Temporary Regulation S Note ............................ A-36Tobacco Settlement Security .............................. A-36Transaction Documents ...................................... A-36Treasury...................................................................27Trustee ................................................................ A-36Type 2 Defeased Synthetic Securities ................ A-36U.S Offeree..............................................................81U.S. Holder..............................................................98U.S. Offeree........................................................ A-36U.S. Persons.............................................................43UBTI......................................................................105Underlying Instrument........................................ A-36Uninvested Proceeds........................................... A-36Uninvested Proceeds Account .................................66USA PATRIOT Act.................................................27Warehouse Facility ..................................................17Weighted Average Life Test............................... A-36Weighted Average Spread .................................. A-37Weighted Average Spread Test .......................... A-37Whole Business Securitization Security ............. A-37Written Down Amount ....................................... A-37Written Down Security ....................................... A-37

PRINCIPAL OFFICES OF THE ISSUER

CAMBER 5 Ltdc/o Walkers SPV Limited

Walker HouseP.O. Box 908GT, Mary Street

George TownGrand Cayman, Cayman Islands

COLLATERAL MANAGER

Cambridge Place Investment Management LLP17 Old Court PlaceLondon W8 4PLUnited Kingdom

TRUSTEE, NOTE TRANSFER AGENT,NOTE CALCULATION AGENT AND NOTE REGISTRAR

Wachovia Bank, National Association401 South Tryon Street, 12th FloorCharlotte, North Carolina 28288

IRISH PAYING AGENT AND IRISH LISTING AGENT

NCB Stockbrokers Limited3 George's DockDublin 1, Ireland

LEGAL ADVISORS

To the IssuerAs to United States Law

Clifford Chance US LLP31 West 52nd Street

New York, New York 10019

To the Initial Purchaserand Placement Agent

Clifford Chance US LLP31 West 52nd Street

New York, New York 10019

To the IssuerAs to English Law

Clifford Chance LLP10 Upper Bank Street

London E14 5JJUnited Kingdom

To the IssuerAs to Cayman Islands Law

Walkers48 Gracechurch Street

London EC3V 0EJUnited Kingdom

To the Collateral ManagerAs to United States Law

Dechert LLP200 Clarendon Street

Boston, Massachusetts 02116

To the Collateral ManagerAs to English Law

Dechert LLP160 Queen Victoria Street

London EC4V 4QQUnited Kingdom

U.S.$502,250,000

CAMBER 5 Ltd

U.S.$344,000,000 Class A-1 Floating Rate Senior Secured Notes Due 2045U.S.$23,000,000 Class A-2 Floating Rate Senior Secured Notes Due 2045U.S.$67,000,000 Class A-3 Floating Rate Senior Secured Notes Due 2045

U.S.$19,000,000 Class B Floating Rate Subordinate Secured Notes Due 2045U.S.$21,750,000 Class C Floating Rate Junior Subordinate Secured Notes Due 2045

U.S.$27,500,000 Income Notes Due 2045

PROSPECTUS

January 20, 2006

Citigroup