- i - ADAGIO II CLO PLC - Irish Stock Exchange

ADAGIO II CLO PLC 

(a public company with limited liability incorporated under the laws of Ireland) 

€158,250,000 Class A-1 Senior Floating Rate Notes due 2021 

€70,000,000 Class A-2A Senior Floating Rate Notes due 2021 

€8,000,000 Class A-2B Senior Floating Rate Notes due 2021 

€35,875,000 Class B Senior Floating Rate Notes due 2021 

€14,590,000 Class C-1 Senior Subordinated Deferrable Floating Rate Notes due 2021 

€8,160,000 Class C-2 Senior Subordinated Deferrable Fixed Rate Notes due 2021 

€3,925,000 Class D-1 Senior Subordinated Deferrable Floating Rate Notes due 2021 

€9,200,000 Class D-2 Senior Subordinated Deferrable Fixed Rate Notes due 2021 

€10,500,000 Class E Senior Subordinated Deferrable Floating Rate Notes due 2021 

€36,300,000 Class F Subordinated Notes due 2021 

€12,240,000 Class P Combination Notes due 2021 

€15,000,000 Class Q Combination Notes due 2021 

€5,000,000 Class R Combination Notes due 2021 

€5,000,000 Class S Combination Notes due 2021 

€9,550,000 Class T Combination Notes due 2021 

€12,400,000 Class U Combination Notes due 2021 

_____________________________________________ 

Each Combination Note (as defined below) consists of two or more "Components", such Components 

comprising, in the case of: (i) the Class P Combination Notes, one of Class C-2 Notes and one of 

Class F Subordinated Notes, (ii) the Class Q Combination Notes, one of Class D-2 Notes and one of 

Class F Subordinated Notes, (iii) the Class R Combination Notes, one of Class A-1 Notes and one of 

Class F Subordinated Notes, (iv) the Class S Combination Notes, one of Class B Notes and one of 

Class E Notes, (v) the Class T Combination Notes, one corresponding to Euro denominated French 

Obligation Assimilable du Trésor treasury strips ("OAT Strips") and one of Class F Subordinated 

Notes, and (vi) the Class U Combination Notes, one corresponding to OAT Strips and one of Class F 

Subordinated Notes. The initial principal amount of each Component (excluding those corresponding 

to the OAT Strips) is included in (and not additional to) the initial principal amounts of the Class A-1 

Notes, the Class B Notes, the Class C-2 Notes, the Class D-2 Notes, the Class E Notes and the Class F 

Subordinated Notes. 

____________________________________________ 

Secured primarily by a Portfolio of Secured Senior Loans, Unsecured Senior Loans, Mezzanine Obligations, High Yield 

Bonds and Synthetic Securities (each as defined herein) managed by AXA Investment Managers Paris S.A. 

__________________________________________ 

The Notes (as defined below) are being offered and sold hereby by Merrill Lynch International (the "Initial Purchaser") outside 

the United States to non-U.S. Persons (as defined below) in offshore transactions in reliance on Regulation S under the Securities 

Act (as defined below). In addition to the offering of the Notes outside the United States, the Initial Purchaser is concurrently 

offering the Notes in the United States to qualified institutional buyers (as defined below) in reliance on Rule 144A (as defined 

below) under the Securities Act in transactions exempt from registration under the Securities Act. See "Plan of Distribution". 

__________________________________________ 

See "Risk Factors" beginning on page 52 for a discussion of certain factors to be considered in connection with an 

investment in the Notes. 

__________________________________________ 

There is no established trading market for the Notes. Application has been made to the Irish Financial Services Regulatory 

Authority, as competent authority under Directive 2003/71/EC, for this prospectus (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 traded on its regulated 

market. This Prospectus constitutes a "prospectus" for the purposes of Directive 2003/71/EC. There can be no assurance that 

such application will be approved. 

__________________________________________ 

It is a condition of the issue and sale of the Notes that the Notes be issued with at least the following ratings from Standard & 

Poor's Ratings Group, a division of The McGraw-Hill Companies, Inc. ("S&P") and from Moody's Investors Service, Inc 

("Moody's" and, together with S&P, the "Rating Agencies" and each, a "Rating Agency"), respectively: the Class A-1 Notes: 

AAA and Aaa, the Class A-2A Notes: AAA and Aaa, the Class A-2B Notes: AAA and Aa1, the Class B Notes: AA and Aa2, the 

Class C-1 Notes: A and A2, the Class C-2 Notes: A and A2, the Class D-1 Notes: BBB and Baa2, the Class D-2 Notes: BBB and 

Baa2, the Class E Notes: BB and Ba2, the Class P Combination Notes: A by S&P only, the Class Q Combination Notes: BBB by 

S&P only, the Class R Combination Notes: AAA by S&P only, the Class S Combination Notes: AA by S&P only and the Class 

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T Combination Notes: AAA by S&P only. The ratings assigned by S&P to the Class A Notes and the Class B Notes (each as 

defined below) address the timely payment of interest and the ultimate payment of principal. The ratings assigned by S&P to the 

Class C Notes, the Class D Notes and the Class E Notes address the ultimate payment of principal and interest. The ratings 

assigned by Moody's to the Class A Notes and the Class B Notes address the expected loss posed to the investors by the legal 

final maturity date. In Moody's opinion, the structure allows for the timely payment of interest and the ultimate payment of 

principal with respect to the Class A Notes and the Class B Notes by the legal final maturity date. The ratings assigned by 

Moody's to the Class C Notes, the Class D Notes and the Class E Notes address the expected loss posed to the investors by the 

legal final maturity date. In Moody's opinion, the structure allows for the ultimate payment of principal and interest with respect 

to the Class C Notes, the Class D Notes and the Class E Notes by the legal final maturity date. The ratings assigned by S&P to 

the Class P Combination Notes, the Class Q Combination Notes, the Class R Combination Notes, the Class S Combination Notes 

and the Class T Combination Notes apply only to the ultimate payment of principal. With respect to the Class P Combination 

Notes, the Class Q Combination Notes, the Class R Combination Notes, the Class S Combination Notes and the Class T 

Combination Notes, the ratings assigned by S&P do not address the likelihood of such Class being redeemed pursuant to 

Condition 7(b) (Optional Redemption), and in such event the ratings assigned by S&P would only address the principal amount of 

the relevant rated Component. The Class F Subordinated Notes (as defined below) and the Class U Combination Notes being 

offered hereby will not be rated. A security rating is not a recommendation to buy, sell or hold securities and may be subject to 

revision, suspension or withdrawal at any time by the applicable rating agency. Moody's ratings address only the credit risks 

associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to 

investors. 

__________________________________________ 

CERTAIN PLEDGED ASSETS OF THE ISSUER (AS DEFINED BELOW) ARE THE SOLE SOURCE OF PAYMENTS ON 

THE NOTES. THE NOTES ARE NOT OBLIGATIONS OF, AND ARE NOT INSURED OR GUARANTEED BY, ANY OF 

THE CLASS A NOTEHOLDERS, THE CLASS B NOTEHOLDERS, THE CLASS C NOTEHOLDERS, THE CLASS D 

NOTEHOLDERS, THE CLASS E NOTEHOLDERS, THE CLASS F SUBORDINATED NOTEHOLDERS, THE 

COMBINATION NOTEHOLDERS, THE PORTFOLIO MANAGER, THE COLLATERAL ADMINISTRATOR, THE 

INITIAL PURCHASER OR THE TRUSTEE (EACH SUCH PARTY AS DEFINED HEREIN) OR ANY OF THEIR 

RESPECTIVE AFFILIATES. 

__________________________________________ 

THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES SECURITIES ACT 

OF 1933, AS AMENDED (THE "SECURITIES ACT") AND, SUBJECT TO CERTAIN EXCEPTIONS, MAY NOT BE 

OFFERED OR SOLD WITHIN THE UNITED STATES OR TO, OR FOR THE ACCOUNT OR BENEFIT OF, U.S. 

PERSONS (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT ("REGULATION S"). THE NOTES 

WILL BE OFFERED AND SOLD ONLY: (A) OUTSIDE THE UNITED STATES TO NON-U.S. PERSONS IN 

COMPLIANCE WITH REGULATION S UNDER THE SECURITIES ACT ("REGULATION S NOTES") AND (B) WITHIN 

THE UNITED STATES TO PERSONS WHO ARE QUALIFIED INSTITUTIONAL BUYERS (AS DEFINED IN RULE 144A 

UNDER THE SECURITIES ACT) IN RELIANCE ON RULE 144A UNDER THE SECURITIES ACT WHO ARE ALSO 

QUALIFIED PURCHASERS ("QUALIFIED PURCHASERS") FOR THE PURPOSES OF SECTION 3(C)(7) OF THE 

INVESTMENT COMPANY ACT 1940 (AS AMENDED, THE "INVESTMENT COMPANY ACT"). THE ISSUER WILL 

NOT BE REGISTERED UNDER THE INVESTMENT COMPANY ACT. INTERESTS IN THE NOTES WILL BE SUBJECT 

TO CERTAIN RESTRICTIONS ON TRANSFER. SEE "PLAN OF DISTRIBUTION" AND "TRANSFER RESTRICTIONS". 

EACH PURCHASER OF THE NOTES OFFERED HEREBY IN MAKING ITS PURCHASE WILL BE DEEMED TO HAVE 

MADE CERTAIN ACKNOWLEDGEMENTS, REPRESENTATIONS AND AGREEMENTS AS SET OUT UNDER 

"TRANSFER RESTRICTIONS". 

__________________________________________ 

The Notes are offered by the Initial Purchaser subject to its right to reject any order in whole or in part. It is expected that the 

Notes will be ready for delivery in book-entry form on or about 14 December 2005 (the "Closing Date"), only through the 

facilities of Euroclear Bank S.A./N.V., as operator of the Euroclear System ("Euroclear") and Clearstream Banking, societe 

anonyme ("Clearstream, Luxembourg"). The Initial Purchaser expects to underwrite the Notes and may do so in individually 

negotiated transactions at prices other than the prices set out herein. The Notes offered hereby will be issued in minimum 

denominations of €250,000. 

The date of this Prospectus is 16 December 2005 

Merrill Lynch International 

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Adagio II CLO PLC (the "Issuer") will issue €158,250,000 Class A-1 Senior Floating Rate 

Notes due 2021 (the "Class A-1 Notes"), €70,000,000 Class A-2A Senior Floating Rate 

Notes due 2021 (the "Class A-2A Notes"), €8,000,000 Class A-2B Senior Floating Rate 

Notes due 2021 (the "Class A-2B Notes" and together with the Class A-2A Notes together the 

"Class A-2 Notes" and the Class A-1 Notes and the Class A-2 Notes, the "Class A Notes"), 

€35,875,000 Class B Senior Floating Rate Notes due 2021 (the "Class B Notes"), 

€14,590,000 Class C-1 Senior Subordinated Deferrable Floating Rate Notes due 2021 (the 

"Class C-1 Notes"), €8,160,000 Class C-2 Senior Subordinated Deferrable Fixed Rate Notes 

due 2021 (the "Class C-2 Notes" and together with the Class C-1 Notes, the "Class C 

Notes"), €3,925,000 Class D-1 Senior Subordinated Deferrable Floating Rate Notes due 2021 

(the "Class D-1 Notes"), €9,200,000 Class D-2 Senior Subordinated Deferrable Fixed Rate 

Notes due 2021 (the "Class D-2 Notes and together with the Class D-1 Notes, the "Class D 

Notes"), €10,500,000 Class E Senior Subordinated Deferrable Floating Rate Notes due 2021 

(the "Class E Notes" and, together with the Class A Notes, the Class B Notes, the Class C 

Notes and the Class D Notes, the "Rated Notes" which expression shall include, where 

applicable, the Class P Combination Notes, the Class Q Combination Notes, the Class R 

Combination Notes, the Class S Combination Notes and the Class T Combination Notes (each 

as defined below)), €36,300,000 Class F Subordinated Notes due 2021 (the "Class F 

Subordinated Notes"), €12,240,000 Class P Combination Notes due 2021 (the "Class P 

Combination Notes"), €15,000,000 Class Q Combination Notes due 2021 (the "Class Q 

Combination Notes"), €5,000,000 Class R Combination Notes due 2021 (the "Class R 

Combination Notes"), €5,000,000 Class S Combination Notes due 2021 (the "Class S 

Combination Notes"), €9,550,000 Class T Combination Notes due 2021 (the "Class T 

Combination Notes" and €12,400,000 Class U Combination Notes due 2021 (the "Class U 

Combination Notes" and together with the Class P Combination Notes, the Class Q 

Combination Notes, the Class R Combination Notes, the Class S Combination Notes and the 

Class T Combination Notes, the "Combination Notes" and, the Combination Notes together 

with the Rated Notes and the Class F Subordinated Notes, the "Notes"). The Notes will be 

issued pursuant to a trust deed (the "Trust Deed") to be dated on or about 14 December 2005 

between the Issuer and J.P. Morgan Corporate Trustee Services Limited as security trustee 

and note trustee (the "Trustee"), as amended and supplemented. 

The net proceeds of the offering of the Notes will be applied by the Issuer to purchase a 

portfolio (the "Portfolio") of Secured Senior Loans, Unsecured Senior Loans, Mezzanine 

Obligations, High Yield Bonds and Synthetic Securities, which Portfolio will be charged and 

assigned under the Trust Deed, by the Issuer to the Trustee on behalf of the holders of the 

Class A Notes (the "Class A Noteholders"), the holders of the Class B Notes (the "Class B 

Noteholders"), the holders of the Class C Notes (the "Class C Noteholders"), the holders of 

the Class D Notes (the "Class D Noteholders"), the holders of the Class E Notes (the "Class 

E Noteholders"), the holders of the Class F Subordinated Notes (the "Class F Subordinated 

Noteholders" and the holders of the Combination Notes (the "Combination Noteholders" 

and, together with the Class A Noteholders, the Class B Noteholders, the Class C 

Noteholders, the Class D Noteholders, the Class E Noteholders and the Class F Subordinated 

Noteholders, the “Noteholders”) and certain other secured parties. AXA Investment 

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Managers Paris S.A. will act as Portfolio Manager (as defined in "Summary" below) for the 

Portfolio. 

The Rated Notes (save for the Class C-2 Notes and the Class D-2 Notes) will bear interest 

from 14 December 2005 at a floating rate, and with a margin of 0.25 per cent. per annum in 

respect of the Class A-1 Notes, 0.235 per cent. per annum in the case of the Class A-2A 

Notes, 0.37 per cent. per annum in the case of the Class A-2B Notes, 0.38 per cent. per 

annum in the case of the Class B Notes, 0.65 per cent. per annum in the case of the Class C-1 

Notes, 1.60 per cent. per annum in respect of the Class D-1 Notes and 4.70 per cent. per 

annum in respect of the Class E Notes above the euro-zone interbank fixed rates for 6 month 

euro deposits ("6-month Euribor") except for the first interest period where the applicable 

margin above the euro-zone interbank fixed rates for 7 month euro deposits will be used. The 

Class C-2 Notes and the Class D-2 Notes will bear interest from 14 December 2005 at a fixed 

rate of 4.193 per cent. per annum in respect of the Class C-2 Notes and 5.152 per cent. per 

annum in respect of the Class D-2 Notes. Interest on the Class F Subordinated Notes will be 

paid on an available funds basis. Interest on the Class A Notes, the Class B Notes, the 

Class C Notes, the Class D Notes, the Class E Notes and the Class F Subordinated Notes will 

accrue from the Closing Date and be payable semi-annually in arrears on 15 January and 15 

July of each year, commencing on 15 July 2006 (subject to adjustment for non-Business Days 

(as defined in "Conditions of the Notes" below)) in accordance with the terms and conditions 

(the "Conditions") of the Notes, at maturity and upon any redemption of the Notes (each, a 

"Payment Date"). On each Payment Date on which payments, whether from Principal 

Proceeds or Interest Proceeds (each as defined in “Conditions of the Notes”) are made or upon 

redemption, a portion of such payment shall be allocated to the Combination Notes in the 

proportion that the principal amount of each Component of such Combination Note bears to 

the principal amount of the related Class of Notes as a whole (including the related 

Component). 

No amount of principal in respect of the Class B Notes shall become due and payable until 

redemption and payment in full of the Class A Notes, no amount of principal (for the 

avoidance of doubt, excluding Deferred Interest) in respect of the Class C Notes shall become 

due and payable until redemption and payment in full of the Class A Notes and the Class B 

Notes, no amount of principal (for the avoidance of doubt, excluding Deferred Interest) in 

respect of the Class D Notes shall become due and payable until redemption and payment in 

full of the Class A Notes, the Class B Notes and the Class C Notes, no amount of principal 

(for the avoidance of doubt, excluding Deferred Interest) in respect of the Class E Notes shall 

become due and payable until redemption and payment in full of the Class A Notes, the Class 

B Notes, the Class C Notes and the Class D Notes and no amount of principal in respect of 

the Class F Subordinated Notes shall become due and payable until redemption and payment 

in full of each of the other Classes of Notes. 

The Notes will be limited recourse debt obligations of the Issuer. Subject as provided herein, 

payments of interest and principal on the Class A-1 Notes will rank pari passu and pro rata 

with payments of interest and principal on the Class A-2 Notes but the Class A-2A Notes shall 

rank in priority to the Class A-2B Notes as expressly provided for herein. Payments of 

interest on the Class A Notes will rank senior in right of payment to payments of principal and 

- iv -

interest in respect of each other Class of Notes and payments of principal on the Class A 

Notes will rank senior in right of payment to payments of principal in respect of each other 

Class of Notes subject to Condition 3(c)(ii)(U)(Application of Interest Proceeds). 

Payments of interest on the Class B Notes will be subordinated in right of payment to 

payments of interest in respect of the Class A Notes and payments of principal on the Class B 

Notes will be subordinated in right of payment to payments of interest and principal in respect 

of the Class A Notes. Payments of interest on the Class B Notes will rank senior in right of 

payment to payments of interest and principal on the Class C Notes, the Class D Notes, the 

Class E Notes and the Class F Subordinated Notes. Payments of principal on the Class B 

Notes will rank senior in right of payment to payments of principal on the Class C Notes, the 

Class D Notes, the Class E Notes and the Class F Subordinated Notes subject to Condition 

3(c)(ii)(U)(Application of Interest Proceeds). 

Payments of interest and principal on the Class C-1 Notes will rank pari passu with payments 

of interest and principal on the Class C-2 Notes. Payments of interest on the Class C Notes 

will be subordinated in right of payment to payments of interest in respect of the Class A 

Notes and the Class B Notes. Payments of principal on the Class C Notes will be 

subordinated in right of payment to payments of principal and interest in respect of the 

Class A Notes and the Class B Notes (for the avoidance of doubt, excluding Deferred 

Interest). Payments of interest on the Class C Notes will rank senior in right of payment to 

payments of interest and principal on the Class D Notes, the Class E Notes and the Class F 

Subordinated Notes. Payments of principal on the Class C Notes will rank senior in right of 

payment to payments of principal on the Class D Notes, the Class E Notes and the Class F 

Subordinated Notes subject to Condition 3(c)(ii)(U)(Application of Interest Proceeds). 

Payments of interest and principal on the Class D-1 Notes will rank pari passu with payments 

of interest and principal on the Class D-2 Notes. Payments of interest on the Class D Notes 

will be subordinated in right of payment to payments of interest in respect of the Class A 

Notes, the Class B Notes and the Class C Notes. Payments of principal on the Class D Notes 

will be subordinated in right of payment to payments of principal and interest on the Class A 

Notes, the Class B Notes and the Class C Notes (for the avoidance of doubt, excluding 

Deferred Interest). Payments of interest on the Class D Notes will rank senior in right of 

payment to payments of interest and principal on the Class E Notes and the Class F 

Subordinated Notes. Payments of principal on the Class D Notes will rank senior in right of 

payment to payments of principal on the Class E Notes and the Class F Subordinated Notes 

subject to Condition 3(c)(ii)(U)(Application of Interest Proceeds). 

Payment of interest on the Class E Notes will be subordinated in right of payment to payments 

of interest in respect of the Class A Notes, the Class B Notes, the Class C Notes and the Class 

D Notes. Payments of principal on the Class E Notes will be subordinated in right of 

payment to payments of principal and interest on the Class A Notes, the Class B Notes, the 

Class C Notes and the Class D Notes (for the avoidance of doubt, excluding Deferred 

Interest). Payments of interest on the Class E Notes will rank senior in right of payment to 

payments of interest and principal on the Class F Subordinated Notes. Payments of principal 

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on the Class E Notes will rank senior in right of payment to payments of principal on the 

Class F Subordinated Notes. 

Interest Proceeds shall be paid on the Class F Subordinated Notes on each Payment Date in 

accordance with the priority of payments on an available funds basis. All payments on the 

Class F Subordinated Notes will be subordinated in right of payment to such payments in 

respect of the Rated Notes. Each Component of the Combination Notes shall rank in 

accordance with the Class of Notes represented thereby. 

The Notes shall be redeemed by the Issuer, in whole but not in part, on (a) any Payment Date 

falling on or after expiry of the Non-Call Period, at the request in writing of the holders of at 

least 66 2 /3 per cent. of the Principal Amount Outstanding (as defined herein) of the Class F 

Subordinated Notes, (b) any Payment Date falling after the Non-Call Period but during the 

Reinvestment Period at the discretion of the Portfolio Manager, (c) any Payment Date falling 

after the occurrence of a Collateral Tax Event (as defined herein) at the request in writing of 

the holders of at least 66 2 /3 per cent. of the Principal Amount Outstanding of the Class F 

Subordinated Notes, or (d) any Payment Date falling after the occurrence of a Note Tax Event 

(as defined herein) at the request in writing of the holders of at least 66 2 /3 per cent. of the 

Principal Amount Outstanding of each of the Controlling Class and of the Class F 

Subordinated Notes at such time, in each case, subject to the satisfaction of certain conditions 

set out herein. Certain Classes of the Notes will be subject to mandatory redemption in whole 

or in part on each Payment Date to the extent any Coverage Test (as defined herein) is not 

satisfied or upon the occurrence of an Effective Date Rating Event (as defined herein), as 

further described herein. See Condition 7 (Redemption and Purchase). 

Save for the information contained in the section of this Prospectus headed "The Portfolio 

Manager", the Issuer accepts responsibility for the information contained in this Prospectus 

and to the best of the knowledge and belief of the Issuer (which has taken all reasonable care 

to ensure that such is the case), such information is in accordance with the facts and does not 

omit anything likely to affect the import of such information. The delivery of this Prospectus 

at any time does not imply that the information herein is correct at any time subsequent to the 

date of this Prospectus. 

The Portfolio Manager accepts responsibility for the accuracy and completeness of the 

information contained in the section of this Prospectus headed "The Portfolio Manager". To 

the best of the knowledge and belief of the Portfolio Manager (which has taken all reasonable 

care to ensure that such is the case), such information is in accordance with the facts and does 

not omit any material fact likely to affect the import of such information. The Portfolio 

Manager accepts no responsibility for the accuracy and completeness of any other information 

contained in this Prospectus. 

None of the Issuer (with respect to the section of this Prospectus headed "The Portfolio 

Manager" only), Merrill Lynch International, in its capacity as Initial Purchaser in respect of 

the Notes, the Trustee, the Collateral Administrator or (save in respect of the section headed 

"The Portfolio Manager") the Portfolio Manager has separately verified the information 

contained in this Prospectus and, accordingly, none of the Issuer (with respect to the section 

of this Prospectus headed "The Portfolio Manager" only), Initial Purchaser, the Trustee, the 

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Collateral Administrator or (save in respect of the section headed "The Portfolio Manager") 

the Portfolio Manager makes any representation, recommendation or warranty, express or 

implied, regarding the accuracy, adequacy, reasonableness or completeness of the information 

contained in this Prospectus or in any further notice or other document which may at any time 

be supplied in connection with the Notes or their distribution or accepts any responsibility or 

liability therefor. None of the Initial Purchaser, the Trustee, the Collateral Administrator or 

the Portfolio Manager undertakes to review the financial condition or affairs of the Issuer 

during the life of the arrangements contemplated by this Prospectus nor to advise any investor 

or potential investor in the Notes of any information coming to the attention of the Initial 

Purchaser, the Trustee, the Collateral Administrator or the Portfolio Manager which is not 

included in this Prospectus. 

This Prospectus does not constitute an offer of, or an invitation by or on behalf of, the Issuer, 

the Initial Purchaser, the Portfolio Manager, or any Affiliate (as defined below) of the Initial 

Purchaser or the Portfolio Manager to subscribe for or purchase, any of the Notes in any 

jurisdiction to any person to whom it is unlawful to make such an offer or invitation in such 

jurisdiction. 

The distribution of this Prospectus and the offering of the Notes in certain jurisdictions may 

be restricted by law. In particular, the communication constituted by this Prospectus is 

directed only at persons who (i) are outside the United Kingdom or (ii) have professional 

experience in matters relating to investments or (iii) are persons falling within Article 49(2)(a) 

to (d) ("high net worth companies, unincorporated association etc") of The Financial Services 

and Markets Act 2000 (Financial Promotion) Order 2005 (all such persons together being 

referred to as "relevant persons"). This communication must not be acted on or relied on by 

persons who are not relevant persons. Any investment or investment activity to which this 

communication relates is available only to relevant persons and will be engaged in only with 

relevant persons. For a description of certain further restrictions on offers and sales of Notes 

and the distribution and issue of this Prospectus and other documents, see "Transfer 

Restrictions" below. 

In connection with the issue and sale of the Notes, no person is authorised to give any 

information or to make any representation not contained in this Prospectus and, if given or 

made, such information or representation must not be relied upon as having been authorised 

by or on behalf of the Issuer. The delivery of this Prospectus at any time does not imply that 

the information contained in it is correct as at any time subsequent to its date. 

Any investment in Notes does not have the status of a bank deposit and is not within the scope 

of the deposit protection scheme operated by the Irish Financial Services Regulatory Authority 

(“IFSRA”). The Issuer is not and will not be regulated by IFSRA as a result of issuing the 

Notes. 

Copies of this Prospectus have been filed with and approved by IFSRA as required by the 

Prospectus (Directive 2003/71/EC) Regulations 2005 (the “Prospectus Regulations”) (which 

implement Directive 2003/71/EC (the “Prospectus Directive”) in Ireland). Upon approval of 

this Prospectus by IFSRA, this Prospectus will be filed with the Irish Companies Registration 

Office in accordance with Regulation 38(1)(b) of the Prospectus Regulations. 

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IN CONNECTION WITH THIS ISSUE, MERRILL LYNCH INTERNATIONAL OR 

ANY PERSON ACTING FOR IT MAY OVER-ALLOT OR EFFECT TRANSACTIONS 

WITH A VIEW TO SUPPORTING THE MARKET PRICE OF THE NOTES AT A 

LEVEL HIGHER THAN THAT WHICH MIGHT OTHERWISE PREVAIL FOR A 

LIMITED PERIOD AFTER THE CLOSING DATE BUT NONE OF THESE 

ACTIVITIES WILL TAKE PLACE IN OR FROM IRELAND. HOWEVER, THERE IS 

NO ASSURANCE THAT MERRILL LYNCH INTERNATIONAL OR ANY PERSON 

ACTING FOR IT WILL UNDERTAKE STABILISING ACTION. ANY STABILISING 

ACTION MAY BEGIN ON OR AFTER THE DATE ON WHICH ADEQUATE 

DISCLOSURE OF THE TERMS OF THE OFFER OF THE NOTES IS MADE, AND, 

IF BEGUN, MAY BE ENDED AT ANY TIME, BUT IT MUST END NO LATER THAN 

THE EARLIER OF 30 DAYS AFTER THE ISSUE OF THE NOTES AND 60 DAYS 

AFTER THE DATE OF ALLOTMENT OF THE NOTES. 

Unless otherwise specified or the context requires, references to "euro" and "€" are to the 

currency introduced at the start of the third stage of European economic and monetary union 

pursuant to the Treaty establishing the European Community, as amended. See "Glossary of 

Defined Terms" for details of the pages on which capitalised terms used herein are defined. 

IMPORTANT NOTICE 

IMPORTANT: You must read the following disclaimer before continuing. The following 

disclaimer applies to the attached preliminary offering circular accessed from this page or 

otherwise received as a result of such access and you are therefore advised to read this 

disclaimer page carefully before reading, accessing or making any other use of the attached 

preliminary offering circular. In accessing the attached preliminary offering circular, you 

agree to be bound by the following terms and conditions, including any modifications to them 

from time to time, each time you receive any information from us as a result of such access. 

Confirmation of Your Representation: You have been sent the attached preliminary 

offering circular on the basis that you have confirmed to Merrill Lynch International being the 

sender of the attached that (i) the address to which it has been delivered is not located in the 

United States of America, its territories and possessions, any State of the United States and 

the District of Colombia; and “possessions” include Puerto Rico, the US Virgin Islands, 

Guam, American Samoa, Wake Island and the Northern Mariana Islands and (ii) that you 

consent to delivery by electronic transmission. 

This Prospectus has been sent to you in an electronic form. You are reminded that documents 

transmitted via this medium may be altered or changed during the process of transmission and 

consequently none of Merrill Lynch International (or any person who controls it or any 

director, officer, employee or agent of it, or affiliate of any such person) accepts any liability 

or responsibility whatsoever in respect any difference between the preliminary offering 

circular distributed to you in electronic format and the hard copy version available to you on 

request from Merrill Lynch International. 

You are reminded that the attached preliminary offering circular has been delivered to you on 

the basis that you are a person into whose possession this preliminary offering circular may be 

- viii -

lawfully delivered in accordance with the laws of jurisdiction in which you are located and 

you may not nor are you authorised to deliver this preliminary offering circular to any other 

person. 

Restrictions: Nothing on this electronic transmission constitutes an offer of securities for sale 

in the United States or any other jurisdiction. Any securities to be issued will not be 

registered under the Securities Act and may not be offered or sold in the United States or to or 

for the account or benefit of U.S. persons (as such terms are defined in Regulation S under 

the Securities Act) unless registered under the Securities Act or pursuant to an exemption 

from such registration. 

NOTICE TO NEW HAMPSHIRE RESIDENTS 

NEITHER THE FACT THAT A REGISTRATION STATEMENT OR AN 

APPLICATION FOR A LICENSE HAS BEEN FILED UNDER CHAPTER 421-B OF 

THE NEW HAMPSHIRE REVISED STATUTES (THE "RSA") WITH THE STATE OF 

NEW HAMPSHIRE NOR THE FACT THAT A SECURITY IS EFFECTIVELY 

REGISTERED OR A PERSON IS LICENSED IN THE STATE OF NEW HAMPSHIRE 

CONSTITUTES A FINDING BY THE SECRETARY OF STATE OF NEW 

HAMPSHIRE THAT ANY DOCUMENT FILED UNDER RSA 421-B IS TRUE, 

COMPLETE AND NOT MISLEADING. NEITHER ANY SUCH FACT NOR THE 

FACT THAT AN EXEMPTION OR EXCEPTION IS AVAILABLE FOR A SECURITY 

OR A TRANSACTION MEANS THAT THE SECRETARY OF STATE HAS PASSED 

IN ANY WAY UPON THE MERITS OR QUALIFICATIONS OF, OR 

RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON, SECURITY, OR 

TRANSACTION. IT IS UNLAWFUL TO MAKE, OR CAUSE TO BE MADE, TO 

ANY PROSPECTIVE PURCHASER, CUSTOMER, OR CLIENT ANY 

REPRESENTATION INCONSISTENT WITH THE PROVISIONS OF THIS 

PARAGRAPH. 

INFORMATION AS TO PLACEMENT WITHIN THE UNITED STATES 

The Issuer has not been registered under the Investment Company Act (as defined below). 

Each purchaser of an interest in the Notes (other than a non-U.S. Person) will be deemed to 

have represented and agreed that it is a qualified purchaser within the meaning of Section 

3(c)(7) of the Investment Company Act (a "QP") and will also be deemed to have made the 

representations set out in "Transfer Restrictions" herein. The purchaser of any Note, by such 

purchase, agrees that such Note is being acquired for its own account and not with a view to 

distribution and may be resold, pledged or otherwise transferred only (1) to the Issuer (upon 

redemption thereof or otherwise), (2) to a person the purchaser reasonably believes is a 

"qualified institutional buyer" (as defined in Rule 144A) (a "QIB"), which is also a QP, in a 

transaction meeting the requirements of Rule 144A, or (3) outside the United States to a non- 

U.S. Person in an offshore transaction in reliance on Regulation S, in each case, in 

compliance with the Trust Deed and all applicable securities laws of any state of the United 

States or any other jurisdiction. See "Transfer Restrictions". 

- ix -

In making an investment decision, investors must rely on their own examination of the Issuer 

and the terms of the Notes and the offering thereof described herein, including the merits and 

risks involved. 

THE SECURITIES OFFERED HEREBY HAVE NOT BEEN AND WILL NOT BE 

REGISTERED WITH, OR APPROVED BY, ANY UNITED STATES FEDERAL OR 

STATE SECURITIES COMMISSION OR REGULATORY AUTHORITY. 

FURTHERMORE, THE FOREGOING AUTHORITIES HAVE NOT PASSED UPON OR 

ENDORSED THE MERITS OF THIS OFFERING OR THE ACCURACY OR ADEQUACY 

OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A 

CRIMINAL OFFENCE. 

PROSPECTIVE INVESTORS SHOULD NOT CONSTRUE THE CONTENTS OF THIS 

PROSPECTUS AS LEGAL, INVESTMENT, ACCOUNTING, TAX OR OTHER ADVICE. 

EACH PROSPECTIVE INVESTOR MUST RELY UPON HIS OR HER OWN 

REPRESENTATIVES AND PROFESSIONAL ADVISERS, INCLUDING HIS OR HER 

OWN LEGAL COUNSEL AND ACCOUNTANTS, AS TO LEGAL, ECONOMIC, TAX 

AND RELATED ASPECTS OF THE INVESTMENT IN THE NOTES. AN 

INVESTMENT IN THE NOTES MAY NOT BE SUITABLE FOR ALL RECIPIENTS OF 

THIS PROSPECTUS. 

IN MAKING AN INVESTMENT DECISION, INVESTORS MUST RELY ON THEIR 

OWN EXAMINATION OF THE ISSUER AND THE TERMS OF THE OFFERING, 

INCLUDING THE MERITS AND RISKS INVOLVED. THE NOTES HAVE NOT BEEN 

RECOMMENDED BY ANY FEDERAL OR STATE SECURITIES COMMISSION OR 

REGULATORY AUTHORITY. FURTHERMORE, THE FOREGOING AUTHORITIES 

HAVE NOT CONFIRMED THE ACCURACY OR DETERMINED THE ADEQUACY OF 

THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL 

OFFENCE IN THE UNITED STATES. 

This Prospectus has been prepared by the Issuer solely for use in connection with the offering 

of the Notes described herein (the "Offering"). The Issuer and the Initial Purchaser reserve 

the right to reject any offer to purchase Notes in whole or in part for any reason, or to sell 

less than the stated initial principal amount of any Class of Notes offered hereby. This 

Prospectus is personal to each offeree to whom it has been delivered by the Issuer, the Initial 

Purchaser or any Affiliate thereof and does not constitute an offer to any other person or to 

the public generally to subscribe for or otherwise acquire the Notes. Distribution of this 

Prospectus to any persons other than the offeree and those persons, if any, retained to advise 

such offeree with respect thereto is unauthorised and any disclosure of any of its contents, 

without the prior written consent of the Issuer, is prohibited. Each prospective purchaser in 

the United States, by accepting delivery of this Prospectus, agrees to the foregoing and to 

make no photocopies of this Prospectus or any documents related hereto. 

AVAILABLE INFORMATION 

To permit compliance with Rule 144A under the Securities Act in connection with the sale of 

the Notes, the Issuer will be required pursuant to the Trust Deed to furnish, upon request of a 

- x -

holder of a Note, to such holder and a prospective purchaser designated by such holder, the 

information required to be delivered under Rule 144A(d)(4) under the Securities Act if at the 

time of the request the Issuer is not a reporting company under Section 13 or Section 15(d) of 

the United States Securities Exchange Act of 1934, as amended (the "Exchange Act"), or 

exempt from reporting pursuant to Rule 12g3-2(b) under the Exchange Act. All information 

made available by the Issuer pursuant to the terms of this paragraph may also be obtained 

during usual business hours free of charge at the office of the Paying Agent in Luxembourg. 

ENFORCEABILITY OF JUDGMENTS 

The Issuer is a public company incorporated with limited liability under the laws of Ireland. 

Certain of the Issuer's assets are located outside the United States. None of the officers and 

directors of the Issuer are residents of the United States. As a result, it may not be possible 

for investors to effect service of process within the United States upon the Issuer or the 

officers and directors of the Issuer with respect to matters arising under the federal or state 

securities laws of the United States, or to enforce against them judgments of courts of the 

United States predicated upon the civil liability provisions of such securities laws. There is 

doubt as to the enforceability in the United Kingdom and in Ireland, in original actions or in 

actions for the enforcement of judgments of US courts, of civil liabilities predicated solely 

upon such securities laws. 

AUSTRALIAN SELLING RESTRICTIONS 

NEITHER THIS PROSPECTUS NOR ANY OTHER PROSPECTUS OR DISCLOSURE 

DOCUMENT IN RELATION TO THE NOTES HAS BEEN LODGED WITH, OR 

REGISTERED BY, THE AUSTRALIAN SECURITIES AND INVESTMENTS 

COMMISSION ("ASIC"). 

(i) 

(ii) 

NO OFFER OR INVITATION OF AN OFFER OF THE NOTES FOR ISSUE OR 

SALE HAS BEEN MADE OR WILL BE MADE IN AUSTRALIA (INCLUDING AN 

OFFER OR INVITATION WHICH IS RECEIVED BY A PERSON IN 

AUSTRALIA); AND 

NO DISTRIBUTION OR PUBLICATION OF THIS PROSPECTUS OR ANY 

OTHER OFFERING MATERIAL OR ADVERTISEMENT RELATING TO THE 

NOTES IN AUSTRALIA HAS BEEN MADE OR WILL BE MADE, UNLESS 

(a) THE MINIMUM AGGREGATE CONSIDERATION PAYABLE BY EACH 

OFFEREE IS AT LEAST A$500,000 (DISREGARDING MONEYS LENT BY THE 

OFFEROR OR ITS ASSOCIATES) OR THE OFFER OTHERWISE DOES NOT 

REQUIRE DISCLOSURE TO INVESTORS IN ACCORDANCE WITH PART 6D.2 

OF THE CORPORATIONS ACT, AND (b) SUCH ACTION COMPLIES WITH ALL 

APPLICABLE LAWS AND REGULATIONS. 

BELGIAN SELLING RESTRICTIONS 

THE ISSUER REPRESENTS AND AGREES THAT IT HAS NOT OFFERED OR SOLD 

AND WILL NOT OFFER OR SELL, DIRECTLY OR INDIRECTLY, AT THE TIME OF 

THE PLACING, ANY OF THE NOTES BY WAY OF A PUBLIC OFFERING IN 

- xi -

BELGIUM AND/OR THAT THE NOTES WILL BE OFFERED ONLY TO PERSONS 

FALLING UNDER THE DEFINITION OF A PROFESSIONAL INVESTOR IN 

ACCORDANCE WITH THE ROYAL DECREE OF 7 JULY 1999. 

FRENCH SELLING RESTRICTIONS 

THE OFFERING OF THE NOTES HAS NOT GIVEN RISE TO THE REGISTRATION OF 

AN INFORMATIVE DOCUMENT WITH THE AUTORITÉ DES MARCHÉS 

FINANCIERS. POTENTIAL PURCHASERS MAY SUBSCRIBE TO THE NOTES ONLY 

FOR THEIR OWN ACCOUNT PURSUANT TO THE CONDITIONS SET OUT IN 

DECREE NO. 98-880 OF 1 OCTOBER 1998. THE DIRECT OR INDIRECT 

CIRCULATION TO THE PUBLIC OF THE NOTES SO SUBSCRIBED MAY NOT 

OCCUR WITHOUT MEETING THE CONDITIONS PROVIDED FOR UNDER ARTICLE 

L 411-1, L 411-2, L 412-2 AND L 612-8 OF THE CODE MONÉTAIRE ET FINANCIER. 

GERMAN SELLING RESTRICTIONS 

THE NOTES HAVE NOT BEEN REGISTERED OR AUTHORISED FOR PUBLIC OFFER 

OR PUBLIC DISTRIBUTION UNDER GERMAN LAW. 

ACCORDINGLY, THE NOTES MAY NOT BE DISTRIBUTED TO OR WITHIN 

GERMANY BY WAY OF A PUBLIC OFFER WITHIN THE MEANING OF 

APPLICABLE GERMAN LAWS, PUBLIC ADVERTISEMENT OR IN ANY SIMILAR 

MANNER AND THIS PROSPECTUS AND ANY OTHER DOCUMENT RELATING TO 

THE NOTES, AS WELL AS INFORMATION CONTAINED THEREIN, MAY NOT BE 

SUPPLIED TO THE PUBLIC IN GERMANY OR USED IN CONNECTION WITH ANY 

OFFER FOR SUBSCRIPTION OF THE NOTES TO THE PUBLIC IN GERMANY OR 

ANY OTHER MEANS OF PUBLIC MARKETING. 

THIS PROSPECTUS AND OTHER OFFERING MATERIALS RELATING TO THE 

OFFER OF THE NOTES ARE STRICTLY CONFIDENTIAL AND MAY NOT BE 

DISTRIBUTED TO ANY PERSON OR ENTITY OTHER THAN THE RECIPIENT 

HEREOF TO WHOM THIS PROSPECTUS IS PERSONALLY ADDRESSED. 

IRISH SELLING RESTRICTIONS 

THE INITIAL PURCHASER HAS REPRESENTED AND AGREED WITH THE ISSUER 

THAT, TO THE EXTENT APPLICABLE, IT HAS COMPLIED WITH AND WILL 

COMPLY WITH ALL APPLICABLE PROVISIONS OF THE IRISH COMPANIES ACTS 

1963-2005 (AS AMENDED) AND THE INVESTMENT INTERMEDIARIES ACT, 1995 

(AS AMENDED) INCLUDING, WITHOUT LIMITATION, SECTIONS 9 AND 50 AND 

WILL CONDUCT ITSELF IN ACCORDANCE WITH ANY CODES OF CONDUCT 

DRAWN UP PURSUANT TO SECTION 37 THEREOF OR, IN THE CASE OF A CREDIT 

INSTITUTION EXERCISING ITS RIGHTS UNDER THE BANKING CONSOLIDATION 

DIRECTIVE (2000/12/EC OF 20TH MARCH 2000) IN CONFORMITY WITH THE 

CODES OF CONDUCT OR PRACTICE MADE UNDER SECTION 117(1) OF THE 

CENTRAL BANK ACT 1989, OF IRELAND, AS AMENDED, WITH RESPECT TO 

ANYTHING DONE BY IT IN RELATION TO THE NOTES. 

- xii -

JAPANESE SELLING RESTRICTIONS 

THE OFFERING OR SALE OF THE NOTES HAVE NOT BEEN, AND WILL NOT BE, 

REGISTERED UNDER THE SECURITIES AND EXCHANGE LAW OF JAPAN (LAW 

NO. 25 OF 1948, AS AMENDED). NEITHER THE NOTES NOR ANY INTEREST 

THEREIN MAY BE OFFERED, SOLD, RESOLD OR OTHERWISE TRANSFERRED, 

DIRECTLY OR INDIRECTLY, IN JAPAN OR TO OR FOR THE ACCOUNT OF ANY 

RESIDENT OF JAPAN (WHICH TERM AS USED HEREIN MEANS ANY PERSON 

RESIDENT IN JAPAN, INCLUDING ANY CORPORATION OR OTHER ENTITY 

ORGANISED UNDER THE LAWS OF JAPAN), OR TO OTHERS FOR RE-OFFERING 

OR SALE, DIRECTLY OR INDIRECTLY, IN JAPAN OR TO OR FOR THE ACCOUNT 

OF ANY RESIDENT OF JAPAN EXCEPT PURSUANT TO AN EXEMPTION FROM 

THE REGISTRATION REQUIREMENTS OF, AND OTHERWISE IN COMPLIANCE 

WITH, THE SECURITIES AND EXCHANGE LAW AND ANY OTHER APPLICABLE 

LAW, REGULATIONS AND MINISTERIAL GUIDELINES OF JAPAN. 

NEW ZEALAND SELLING RESTRICTIONS 

THE NOTES MAY NOT BE OFFERED FOR SUBSCRIPTION, AND NO 

ADVERTISEMENT IN RELATION TO ANY NOTES MAY BE DISTRIBUTED TO THE 

PUBLIC IN NEW ZEALAND OR ACQUIRED WITH A VIEW TO SELLING THEM, 

NOR MAY ANY NOTES BE SOLD OR OFFERED FOR SALE TO THE PUBLIC IN NEW 

ZEALAND WITHIN SIX MONTHS AFTER THE ISSUE OF SUCH NOTES, ALL SUCH 

CONDUCT TO BE INTERPRETED IN ACCORDANCE WITH THE SECURITIES ACT 

1978, EXCEPT TO (A) PERSONS WHOSE PRINCIPAL BUSINESS IS THE 

INVESTMENT OF MONEY OR WHO, IN THE COURSE OF AND FOR THE PURPOSES 

OF THEIR BUSINESS HABITUALLY INVEST MONEY; (B) CLOSE BUSINESS 

ASSOCIATES OF THE SELLER AND (C) ANY OTHER PERSON WHO IN ALL THE 

CIRCUMSTANCES CAN PROPERLY BE REGARDED AS HAVING BEEN SELECTED 

OTHERWISE THAN AS A MEMBER OF THE PUBLIC IN NEW ZEALAND WITHIN 

THE MEANING OF THE SECURITIES ACT 1978. 

SPANISH SELLING RESTRICTIONS 

THE NOTES MAY NOT BE OFFERED OR SOLD IN SPAIN EXCEPT IN 

ACCORDANCE WITH THE REQUIREMENTS OF THE SPANISH SECURITIES 

MARKET LAW (LEY24/1988, DE 28 DE JULIO, DEL MERCADO DE VALORES), AS 

AMENDED AND RESTATED, AND ROYAL DECREE 291/1992 OF 27 MARCH ON 

ISSUES AND PUBLIC OFFERINGS OF SECURITIES (REAL DECRETO 291/1992, DE 27 

MARZO, SOBRE EMISIONES Y OFERTAS PUBLICAS DE VENTA DE VALORES) AS 

AMENDED AND RESTATED, AND THE DECREES AND REGULATIONS MADE 

THEREUNDER. THE NOTES HAVE NOT AND WILL NOT BE SOLD, OFFERED OR 

DISTRIBUTED IN SPAIN EXCEPT IN CIRCUMSTANCES WHICH DO NOT 

CONSTITUTE AN OFFER OF SECURITIES IN SPAIN WITHIN THE MEANING OF 

SPANISH SECURITIES LAWS AND REGULATIONS. THE PROSPECTUS HAS NOT 

BEEN REGISTERED WITH THE SPANISH SECURITIES MARKET COMMISSION 

- xiii -

(COMISION NACIONAL DEL MERCADO DE VALORES) AND THEREFORE IT IS NOT 

INTENDED FOR THE OFFERING OR SALE OF THE NOTES IN SPAIN. 

UNITED KINGDOM SELLING RESTRICTIONS 

ANY INVITATION OR INDUCEMENT TO ENGAGE IN INVESTMENT ACTIVITY 

(WITHIN THE MEANING OF SECTION 21 OF THE FINANCIAL SERVICES AND 

MARKETS ACT 2000 (THE "FSMA")) IN CONNECTION WITH THE ISSUE OR SALE 

OF ANY NOTES MAY ONLY BE COMMUNICATED OR CAUSED TO BE 

COMMUNICATED IN CIRCUMSTANCES IN WHICH SECTION 21(1) OF THE FSMA 

DOES NOT APPLY TO THE ISSUER. 

EACH PURCHASER OF THE NOTES MUST COMPLY WITH ALL APPLICABLE 

PROVISIONS OF THE FSMA WITH RESPECT TO ANYTHING DONE BY IT IN 

RELATION TO THE NOTES, FROM OR OTHERWISE INVOLVING THE UNITED 

KINGDOM. 

GENERAL NOTICE 

EACH PURCHASER OF THE NOTES MUST COMPLY WITH ALL APPLICABLE 

LAWS AND REGULATIONS IN FORCE IN EACH JURISDICTION IN WHICH IT 

PURCHASES, OFFERS OR SELLS SUCH NOTES OR POSSESSES OR DISTRIBUTES 

THIS PROSPECTUS AND MUST OBTAIN ANY CONSENT, APPROVAL OR 

PERMISSION REQUIRED FOR THE PURCHASE, OFFER OR SALE BY IT OF SUCH 

NOTES UNDER THE LAWS AND REGULATIONS IN FORCE IN ANY 

JURISDICTIONS TO WHICH IT IS SUBJECT OR IN WHICH IT MAKES SUCH 

PURCHASES, OFFERS OR SALES, AND NONE OF THE ISSUER, THE INITIAL 

PURCHASER OR THE PORTFOLIO MANAGER SPECIFIED HEREIN SHALL HAVE 

ANY RESPONSIBILITY THEREFOR. 

THESE SECURITIES ARE SUBJECT TO RESTRICTIONS ON TRANSFERABILITY 

AND RESALE AND MAY NOT BE TRANSFERRED OR RESOLD EXCEPT AS 

PERMITTED UNDER THE SECURITIES ACT AND THE APPLICABLE STATE 

SECURITIES LAWS, PURSUANT TO REGISTRATION OR EXEMPTION THEREFROM. 

INVESTORS SHOULD BE AWARE THAT THEY MAY BE REQUIRED TO BEAR THE 

FINANCIAL RISKS OF THIS INVESTMENT FOR AN INDEFINITE PERIOD OF TIME. 

EACH PURCHASER AND TRANSFEREE OF A CLASS A NOTE, CLASS B NOTE, 

CLASS C NOTE OR CLASS D NOTE, OR OF ANY INTEREST THEREIN, WILL BE 

DEEMED TO HAVE REPRESENTED, WARRANTED AND COVENANTED THAT, AT 

THE TIME OF ITS ACQUISITION AND THROUGHOUT THE PERIOD OF ITS 

HOLDING AND DISPOSITION OF SUCH NOTE OR INTEREST THEREIN, EITHER 

(A) IT IS NOT, AND IS NOT ACTING ON BEHALF OF, AN "EMPLOYEE BENEFIT 

PLAN" (AS DEFINED IN SECTION 3(3) OF THE U.S. EMPLOYEE RETIREMENT 

INCOME SECURITY ACT 1974, AS AMENDED ("ERISA")) THAT IS SUBJECT TO 

SECTION 406 OF ERISA, OR A "PLAN" SUBJECT TO SECTION 4975 OF THE U.S. 

INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE") OR ANY 

- xiv -

FEDERAL STATE, LOCAL OR NON-U.S. LAW THAT IS SIMILAR TO THE 

PROHIBITED TRANSACTION PROVISIONS OF ERISA OR SECTION 4975 OF THE 

CODE ("SIMILAR LAW"), OR (B) IT IS, OR IS ACTING ON BEHALF OF, BENEFIT 

PLAN INVESTOR, THAT IS SUBJECT TO ERISA OR PLAN SUBJECT TO 

SECTION 4975 OF THE CODE OR SIMILAR PLAN, AND ITS PURCHASE, HOLDING 

AND DISPOSITION OF SUCH NOTE DOES NOT VIOLATE ERISA OR SECTION 4975 

OF THE CODE OR SIMILAR LAW. 

THE CLASS E NOTES AND THE CLASS F SUBORDINATED NOTES AND THE 

COMBINATION NOTES (AND INTERESTS THEREIN) MAY NOT BE PURCHASED OR 

HELD BY, AND EACH PURCHASER OR HOLDER OF ANY CLASS E NOTE OR 

CLASS F SUBORDINATED NOTE OR A COMBINATION NOTE WILL BE DEEMED 

TO REPRESENT AND AGREE THAT IT IS NOT AND WILL NOT BE, FOR THE 

PERIOD THAT IT HOLDS SUCH NOTES (OR INTERESTS), (A) AN "EMPLOYEE 

BENEFIT PLAN" WITHIN THE MEANING OF SECTION 3(3) OF THE U.S. 

EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED 

("ERISA"), WHICH IS SUBJECT TO ERISA, (B) A "PLAN" WITHIN THE MEANING 

OF AND SUBJECT TO SECTION 4975 OF THE U.S. INTERNAL REVENUE CODE OF 

1986, AS AMENDED (THE "CODE"), (C) ANOTHER EMPLOYEE BENEFIT PLAN 

SUBJECT TO ANY U.S. FEDERAL, STATE OR LOCAL, OR NON-U.S. LAW 

SUBSTANTIALLY SIMILAR TO SECTION 406 OF ERISA OR SECTION 4975 OF THE 

CODE ("SIMILAR LAW"), OR (D) ANY PERSON OR ENTITY ANY OF WHOSE 

ASSETS INCLUDE, OR ARE DEEMED FOR PURPOSES OF ERISA OR SECTION 4975 

OF THE CODE (OR, IN THE CASE OF SUCH ANOTHER EMPLOYEE BENEFIT 

PLAN, SIMILAR LAW) TO INCLUDE, THE "PLAN ASSETS" OF ANY SUCH 

"EMPLOYEE BENEFIT PLAN," "PLAN" OR OTHER EMPLOYEE BENEFIT PLAN. 

FURTHERMORE, EACH PURCHASER OR HOLDER OF ANY CLASS E NOTE OR 

CLASS F SUBORDINATED NOTE OR A COMBINATION NOTE OR ANY INTEREST 

THEREIN WILL BE DEEMED TO REPRESENT AND AGREE BY SUCH PURCHASE 

OR HOLDING THEREOF THAT IT WILL NOT SELL OR OTHERWISE TRANSFER 

SUCH NOTES OR ANY INTEREST THEREIN OTHERWISE THAN TO A PURCHASER 

OR TRANSFEREE THAT IS DEEMED TO REPRESENT AND AGREE WITH RESPECT 

TO ITS PURCHASE OR HOLDING OF SUCH NOTES TO THE SAME EFFECT AS THE 

PURCHASER'S REPRESENTATION AND AGREEMENT SET FORTH IN THE 

IMMEDIATELY PRECEDING SENTENCE. 

INTERNAL REVENUE SERVICE CIRCULAR 230 DISCLOSURE 

PURSUANT TO INTERNAL REVENUE SERVICE CIRCULAR 230, WE HEREBY 

INFORM YOU THAT THE DESCRIPTION SET FORTH HEREIN WITH RESPECT TO 

U.S. FEDERAL TAX ISSUES WAS NOT INTENDED OR WRITTEN TO BE USED, AND 

SUCH DESCRIPTION CANNOT BE USED, BY ANY TAXPAYER, FOR THE PURPOSE 

OF AVOIDING ANY PENALTIES THAT MAY BE IMPOSED ON THE TAXPAYER 

UNDER THE U.S. INTERNAL REVENUE CODE. SUCH DESCRIPTION WAS 

- xv -

WRITTEN TO SUPPORT THE MARKETING OF THE NOTES. THIS DESCRIPTION IS 

LIMITED TO THE U.S. FEDERAL TAX ISSUES DESCRIBED HEREIN. IT IS 

POSSIBLE THAT ADDITIONAL ISSUES MAY EXIST THAT COULD AFFECT THE 

U.S. FEDERAL TAX TREATMENT OF AN INVESTMENT IN THE SERIES NOTES, OR 

THE MATTER THAT IS THE SUBJECT OF THE DESCRIPTION NOTED HEREIN, 

AND THIS DESCRIPTION DOES NOT CONSIDER OR PROVIDE ANY CONCLUSIONS 

WITH RESPECT TO ANY SUCH ADDITIONAL ISSUES. YOU SHOULD SEEK 

ADVICE BASED ON YOUR PARTICULAR CIRCUMSTANCES FROM AN 

INDEPENDENT TAX ADVISOR. 

NOTWITHSTANDING ANYTHING IN THIS PROSPECTUS TO THE CONTRARY, 

EACH PROSPECTIVE INVESTOR (AND EACH EMPLOYEE, REPRESENTATIVE OR 

OTHER AGENT OF EACH PROSPECTIVE INVESTOR) MAY DISCLOSE TO ANY AND 

ALL PERSONS, WITHOUT LIMITATION OF ANY KIND, THE TAX TREATMENT 

AND TAX STRUCTURE OF AN INVESTMENT IN THE NOTES AND ALL 

MATERIALS OF ANY KIND (INCLUDING OPINIONS OR OTHER TAX ANALYSES) 

THAT ARE PROVIDED TO THE PROSPECTIVE INVESTOR RELATING TO SUCH 

TAX TREATMENT AND TAX STRUCTURE. FOR THESE PURPOSES, THE TAX 

TREATMENT OF AN INVESTMENT IN THE NOTES MEANS THE PURPORTED OR 

CLAIMED U.S. FEDERAL, STATE AND LOCAL INCOME TAX TREATMENT OF AN 

INVESTMENT IN THE NOTES. MOREOVER, THE TAX STRUCTURE OF AN 

INVESTMENT IN THE NOTES INCLUDES ANY FACT THAT MAY BE RELEVANT 

TO UNDERSTANDING THE PURPORTED OR CLAIMED U.S. FEDERAL, STATE, 

AND LOCAL INCOME TAX TREATMENT OF AN INVESTMENT IN THE NOTES. 

- xvi -

TABLE OF CONTENTS 

Page 

Summary Of Terms......................................................................................18 

Risk Factors...............................................................................................52 

Conditions Of The Notes................................................................................90 

Form Of The Notes.....................................................................................268 

The Portfolio.............................................................................................275 

Description Of The Collateral Administration Agreement........................................330 

Description Of The Portfolio Management Agreement............................................332 

Description Of The Interest Rate And Currency Hedge Arrangements .........................337 

Description Of The Reports ...........................................................................342 

Rating Of The Notes....................................................................................351 

The Issuer................................................................................................354 

The Portfolio Manager .................................................................................357 

The Calculation Agent..................................................................................363 

Tax Considerations .....................................................................................364 

Certain ERISA Considerations........................................................................382 

Plan Of Distribution ....................................................................................385 

Transfer Restrictions ...................................................................................390 

General Information ....................................................................................399 

Glossary Of Defined Terms ...........................................................................402

SUMMARY OF TERMS 

The following summary does not purport to be complete and is qualified in its entirety by 

reference to the detailed information appearing elsewhere in this Prospectus and related 

documents referred to herein. Capitalised terms not specifically defined in this summary have 

the meanings set out in Condition 1 (Definitions) under "Conditions of the Notes". Reference 

to a "Condition" or "Conditions" are to the specified Condition or Conditions in the 

"Conditions of the Notes" below. For a discussion of certain risk factors to be considered in 

connection with an investment in the Notes, see "Risk Factors". 

The Issuer: 

Adagio II CLO PLC, a public company with limited 

liability, incorporated under the laws of Ireland as a special 

purpose vehicle for the sole purpose of acquiring the 

Portfolio, issuing the Notes and engaging in certain related 

transactions. 

The Issuer will not have any assets other than the Portfolio, 

the Accounts and certain rights of the Issuer under the 

Portfolio Management Agreement, the Collateral 

Administration Agreement, each Interest Rate Hedge 

Agreement, each Currency Hedge Agreement, each 

Securities Lending Agreement, each Offsetting Credit 

Default Swap, each Credit Short Obligation, the Short Term 

Variable Funding Facility Agreement and the Agency 

Agreement and certain other incidental rights and assets. 

The rights and assets of the Issuer referred to above will be 

charged or assigned by way of security to the Trustee as 

security for the Issuer's obligations under the Notes. 

The Portfolio Manager: 

Certain management and administrative functions with 

respect to the Collateral will be performed by AXA 

Investment Managers Paris S.A. (the "Portfolio 

Manager"). 

See "Risk Factors – Certain Conflicts of Interest" and "The 

Portfolio Manager". 

The Portfolio Manager will receive certain fees for such 

portfolio management functions including, on each Payment 

Date, the Portfolio Management Fees. See "Description of 

the Portfolio Management Agreement". 

The Collateral 

Administrator: 

Certain administrative functions with respect to the 

Collateral, including the calculation of the Collateral Quality 

Tests, the Percentage Limitations and the Coverage Tests 

and the preparation of reports in respect of the Collateral, 

will be performed by JPMorgan Chase Bank, N.A. (in such 

- 18 -

capacity, the "Collateral Administrator") pursuant to the 

terms of the Collateral Administration Agreement. 

The Trustee: 

The Notes: 

Pursuant to the Trust Deed, J.P. Morgan Corporate Trustee 

Services Limited (in such capacity, the "Trustee") will hold 

(amongst other things) the benefit of the security granted by 

the Issuer over the Collateral in trust for the Secured Parties 

and will hold the Issuer's payment and other covenants and 

obligations under the Notes in trust for the Noteholders, 

subject to and in accordance with the provisions of the Trust 

Deed. 

Pursuant to the Trust Deed, the Issuer will issue: 

€158,250,000 Class A-1 Senior Floating Rate Notes due 

January 2021 (the "Class A-1 Notes"); 

€70,000,000 Class A-2A Senior Floating Rate Notes due 

January 2021 (the "Class A-2A Notes"); 

€8,000,000 Class A-2B Senior Floating Rate Notes due 

January 2021 (the "Class A-2B Notes" and, together with 

the Class A-1 Notes and the Class A-2A Notes, the "Class 

A Notes"); 

€35,875,000 Class B Senior Floating Rate Notes due 

January 2021 (the "Class B Notes"); 

€14,590,000 Class C-1 Senior Subordinated Deferrable 

Floating Rate Notes due January 2021 (the "Class C-1 

Notes"); 

€8,160,000 Class C-2 Senior Subordinated Deferrable Fixed 

Rate Notes due January 2021 (the "Class C-2 Notes" and, 

together with the Class C-1 Notes, the "Class C Notes"); 

€3,925,000 Class D-1 Senior Subordinated Deferrable 

Floating Rate Notes due January 2021 (the "Class D-1 

Notes"); 

€9,200,000 Class D-2 Senior Subordinated Deferrable Fixed 

Rate Notes due January 2021 (the "Class D-2 Notes" and, 

together with the Class D-1 Notes, the "Class D Notes"); 

€10,500,000 Class E Senior Subordinated Deferrable 

Floating Rate Notes due January 2021 (the "Class E Notes" 

and, together with the Class A Notes, the Class B Notes, the 

Class C Notes and the Class D Notes, the "Rated Notes" 

which expression shall include, where applicable, the Class 

- 19 -

P Combination Notes, the Class Q Combination Notes, the 

Class R Combination Notes, the Class S Combination Notes 

and the Class T Combination Notes); 

€36,300,000 Class F Subordinated Notes due January 2021 

(the "Class F Subordinated Notes" and, together with the 

Rated Notes and the Combination Notes, the "Notes"); 

€12,240,000 Class P Combination Notes due January 2021 

(the "Class P Combination Notes"); 

€15,000,000 Class Q Combination Notes due January 2021 

(the "Class Q Combination Notes"); 

€5,000,000 Class R Combination Notes due January 2021 

(the "Class R Combination Notes"); 

€5,000,000 Class S Combination Notes due January 2021 

(the "Class S Combination Notes"); 

€9,550,000 Class T Combination Notes due January 2021 

(the "Class T Combination Notes"); and 

€12,400,000 Class U Combination Notes due January 2021 

(the "Class U Combination Notes" and, together with the 

Class P Combination Notes, the Class Q Combination 

Notes, the Class R Combination Notes, the Class S 

Combination Notes and the Class T Combination Notes, the 

"Combination Notes"). 

The Notes will be issued pursuant to a Trust Deed (the 

"Trust Deed") dated 14 December 2005 (the "Closing 

Date"), made between (amongst others) the Issuer and the 

Trustee. 

Combination Notes: 

Each Class of Combination Notes forms a single Class and 

the Components thereof are not separately transferable. 

However, a holder may exchange all or a portion of its 

Combination Notes for proportional interests in the 

underlying Classes of Notes represented by the applicable 

Components, subject to the minimum denomination 

requirements applicable to the underlying Classes of Notes, 

as described in Condition 2(e) (Exchange of Combination 

Notes). A holder of Notes of the type which constitute the 

Components of a Combination Note (including a holder that 

received such Notes upon the exchange of a Combination 

Note) will not have the right to exchange such Notes for a 

- 20 -

Combination Note. 

The terms and conditions applicable to any Class of 

Combination Note shall be the same as those applicable to 

the relevant Underlying Notes (save, in each case, to the 

extent related to the issuance and transfer thereof) to the 

extent of each of the respective Components of which such 

Class are comprised. 

Class P Combination Notes: 

The initial principal amount of the Components of which 

each Class P Combination Note consists is included in the 

initial principal amounts of each of the €8,160,000 Class C- 

2 Notes and the €36,300,000 Class F Subordinated Notes. 

Each Class P Combination Note consists of two 

Components: the "Class C-2 Component" which comprises 

a proportional interest of each such Class P Combination 

Note in an aggregate initial principal amount of €8,160,000 

which represents an equal initial principal amount of the 

Class C-2 Notes, and the "Class P Subordinated 

Component" which comprises a proportional interest of 

each such Class P Combination Note in an aggregate initial 

principal amount of €4,080,000, which represents an equal 

initial principal amount of the Class F Subordinated Notes. 

Class Q Combination Notes: 


each Class Q Combination Note consists is included in the 

initial principal amounts of each of the €9,200,000 Class D- 

2 Notes and the €36,300,000 Class F Subordinated Notes. 

Each Class Q Combination Note consists of two 

Components: the "Class D-2 Component" which comprises 

a proportional interest of each such Class Q Combination 

Note in an aggregate initial principal amount of €9,200,000, 


Class D-2 Notes, and the "Class Q Subordinated 


each such Class Q Combination Note in an aggregate initial 

principal amount of €5,800,000, which represents an equal 


Class R Combination Notes: 


each Class R Combination Note consists is included in the 

initial principal amounts of each of the €158,250,000 Class 

A-1 Notes and the €36,300,000 Class F Subordinated Notes. 

Each Class R Combination Note consists of two 

- 21 -

Components: the "Class A-1 Component" which comprises 

a proportional interest of each such Class R Combination 

Note in an aggregate initial principal amount of €4,550,000, 


Class A-1 Notes, and the "Class R Subordinated 


each such Class R Combination Note in an aggregate initial 

principal amount of €450,000, which represents an equal 


Class S Combination Notes: 


each Class S Combination Note consists is included in the 

initial principal amounts of each of the €35,875,000 Class B 

Notes and the €10,500,000 Class E Notes. 

Each Class S Combination Note consists of two 

Components: the "Class B Component" which comprises a 

proportional interest of each such Class S Combination Note 

in an aggregate initial principal amount of €4,100,000, 


Class B Notes, and the "Class E Component" which 

comprises a proportional interest of each such Class S 

Combination Note in an aggregate initial principal amount of 

€900,000, which represents an equal initial principal amount 

of the Class E Notes. 

Class T Combination Notes: 


each Class T Combination Notes consists is included in the 

initial principal amounts of each of the OAT Strips and the 

€36,300,000 Class F Subordinated Notes. 

Each Class T Combination Note consists of two 

Components: the "OAT Security T Component" which 

comprises an interest in OAT Strips in an aggregate initial 

principal amount of €9,550,000 and the "Class T 

Subordinated Component" which comprises a proportional 

interest of each such Class T Combination Note in an 

aggregate initial principal amount of €3,920,000, which 

represents an equal initial principal amount of the Class F 


Class U Combination Notes: 


each Class U Combination Notes consists is included in the 

initial principal amounts of each of the OAT Strips and the 

€36,300,000 Class F Subordinated Notes. 

Each Class U Combination Note consists of two 

- 22 -

Components: the "OAT Security U Component" which 

comprises an interest in OAT Strips in an aggregate initial 

principal amount of €13,200,000 and the "Class U 

Subordinated Component" which comprises a proportional 

interest of each such Class U Combination Note in an 

aggregate initial principal amount of €4,300,000, which 

represents an equal initial principal amount of the Class F 


OAT Strips: 

The Issuer will collateralise the OAT Security T Component 

of the Class T Combination Notes and the OAT Security U 

Component of the Class U Combination Notes by acquiring 

Obligation Assimilable du Trésor securities issued by the 

French treasury which have been stripped ("OAT Strips") 

by Spécialistes en Valeurs du Trésors ("SVTs"). SVTs are 

French government securities primary dealers who are 

responsible for making markets in French treasury securities 

and are authorised to strip and reconstitute, inter alia, 

Obligation Assimilable du Trésor securities. Stripping 

consists of separating a bond’s interest and principal 

payments into several zero coupon bonds. 

OAT Strips acquired by the Issuer with a maturity date of 

October 2020 in respect of the principal amount of 

€9,550,000 will be held as security as OAT Security T 

Component for the benefit of the holders of the Class T 

Combination Notes and proceeds received in respect of such 

OAT Strips, either before or after enforcement of such 

security will not be available to any other Class of 

Noteholders. OAT Strips acquired by the Issuer with a 

maturity date of April 2006 in respect of the principal 

amount of €300,000, October 2006 in respect of the 

principal amount of €250,000, April 2007 in respect of the 

principal amount of €250,000 and October 2020 in respect 

of the principal amount of €12,400,000 will be held as 

security as OAT Security U Component for the benefit of 

the holders of the Class U Combination Notes and proceeds 

received in respect of such OAT Strips, either before or 

after enforcement of such security will not be available to 

any other Class of Noteholders. See "Security for the 

Notes". The OAT Strips will not be included in any 

calculation of the Coverage Tests or Collateral Quality 

Tests. 

The holders of the Class T Combination Notes (in respect of 

the OAT Security T Component) and the holders of the 

- 23 -

Class U Combination Notes (in respect of the OAT Security 

U Component) shall have recourse only to the OAT Strips in 

relation to such Components and proceeds received in 

respect thereof as described above and shall not have any 

rights in or to the other security granted under the Trust 

Deed for the benefit of the Secured Parties generally. 

On each Payment Date upon which a payment of interest on 

the Class F Subordinated Notes is made in accordance with 

the Priorities of Payment the Issuer shall sell or, where 

applicable, receive the proceeds from the maturity of, a 

portion of the OAT Strips representing the OAT Security T 

Component of the Class T Combination Notes and a portion 

of the OAT Strips representing the OAT Security U 

Component of the Class U Combination Notes. The portion 

of the OAT Strips to be sold shall be determined in 

accordance with the OAT Sale T Formula and the OAT Sale 

U Formula and the Issuer shall apply the proceeds thereof in 

or towards the redemption of the Principal Amount 

Outstanding of the Class T Combination Notes and the Class 

U Combination Notes, respectively. 

The OAT Strips will be held for the Issuer in a segregated 

Euroclear custody account subject to a Belgian law pledge 

for the benefit of the Class T Combination Noteholders and 

the Class U Combination Noteholders only. 

Status of the Notes: 

Each Class of Notes will be limited recourse debt obligations 

of the Issuer ranking (save as otherwise provided below) pari 

passu amongst each of the Notes of such Class. 

Subject as provided herein, payments of interest and 

principal on the Class A-1 Notes will rank pari passu and 

pro rata with payments of interest and principal on the Class 

A-2 Notes but the Class A-2A Notes shall rank in priority to 

the Class A-2B Notes as expressly provided for herein. 

Payments of interest on the Class A Notes will rank senior 

in right of payment to payments of principal and interest in 

respect of each other Class of Notes and payments of 

principal on the Class A Notes will rank senior in right of 

payment to payments of principal in respect of each other 

Class of Notes subject to Condition 3(c)(ii)(U)(Application 

of Interest Proceeds). 

Payments of interest on the Class B Notes will be 

subordinated in right of payment to payments of interest in 

- 24 -

espect of the Class A Notes and payments of principal on 

the Class B Notes will be subordinated in right of payment 

to payments of interest and principal in respect of the 

Class A Notes. Payments of interest on the Class B Notes 

will rank senior in right of payment to payments of interest 

and principal on the Class C Notes, the Class D Notes, the 

Class E Notes and the Class F Subordinated Notes. 

Payments of principal on the Class B Notes will rank senior 

in right of payment to payments of principal on the Class C 

Notes, the Class D Notes, the Class E Notes and the Class F 

Subordinated Notes subject to Condition 3(c)(ii)(U) 

(Application of Interest Proceeds). 

Payments of interest and principal on the Class C-1 Notes 

will rank pari passu with payments of interest and principal 

on the Class C-2 Notes. Payments of interest on the Class C 

Notes will be subordinated in right of payment to payments 

of interest in respect of the Class A Notes and the Class B 

Notes. Payments of principal on the Class C Notes will be 

subordinated in right of payment to payments of principal 

and interest in respect of the Class A Notes and the Class B 

Notes (for the avoidance of doubt, excluding Deferred 

Interest). Payments of interest on the Class C Notes will 

rank senior in right of payment to payments of interest and 

principal on the Class D Notes, the Class E Notes and the 

Class F Subordinated Notes. Payments of principal on the 

Class C Notes will rank senior in right of payment to 

payments of principal on the Class D Notes, the Class E 

Notes and the Class F Subordinated Notes subject to 

Condition 3(c)(ii)(U)(Application of Interest Proceeds). 

Payments of interest and principal on the Class D-1 Notes 

will rank pari passu with payments of interest and principal 

on the Class D-2 Notes. Payments of interest on the 

Class D Notes will be subordinated in right of payment to 

payments of interest in respect of the Class A Notes, the 

Class B Notes and the Class C Notes. Payments of principal 

on the Class D Notes will be subordinated in right of 

payment to payments of principal and interest on the Class A 

Notes, Class B Notes and the Class C Notes (for the 

avoidance of doubt, excluding Deferred Interest). Payments 

of interest on the Class D Notes will rank senior in right of 

payment to payments of interest and principal on the Class E 

Notes and the Class F Subordinated Notes. Payments of 

principal on the Class D Notes will rank senior in right of 

- 25 -

payment to payments of principal on the Class E Notes and 

the Class F Subordinated Notes subject to Condition 

3(c)(ii)(U) (Application of Interest Proceeds). 

Payments of interest on the Class E Notes will be 

subordinated in right of payment to payments of interest in 

respect of the Class A Notes, the Class B Notes, the Class C 

Notes and the Class D Notes. Payments of principal on the 

Class E Notes will be subordinated in right of payment to 

payments of principal and interest on the Class A Notes, the 

Class B Notes, the Class C Notes and the Class D Notes (for 

the avoidance of doubt, excluding Deferred Interest). 

Payments of interest on the Class E Notes will rank senior in 

right of payment to payments of interest and principal on the 

Class F Subordinated Notes. Payments of principal on the 

Class E Notes will rank senior in right of payment to 

payments of principal on the Class F Subordinated Notes. 

Interest Proceeds shall be paid on the Class F Subordinated 

Notes on each Payment Date in accordance with the priority 

of payments on an available funds basis. All payments on 

the Class F Subordinated Notes will be subordinated in right 

of payment to such payments in respect of the Rated Notes. 

Each Component of the Combination Notes shall rank in 

accordance with the Class of Notes represented thereby. 

Use of Proceeds: 

Priorities of Payment: 

The net proceeds of the issue and offering of the Notes on 

the Closing Date (after payment of applicable fees and 

expenses including those associated with the Initial Hedge 

Agreements) will be applied by the Issuer: (a) in payment 

of certain fees and expenses payable by the Issuer on the 

Closing Date, (b) in payment of all amounts due and payable 

in connection with the acquisition of certain Collateral Debt 

Obligations purchased by the Issuer on or about the Closing 

Date, equalling approximately €232,642,402, (c) in payment 

of up to €50,000 into the Expense Reserve Account, at the 

discretion of the Portfolio Manager (acting within the 

mandate given to it under the Portfolio Management 

Agreement) and approximately €122,776,787 into the 

Unused Proceeds Account and (d) in payment of €3,000,000 

into the Interest Reserve Account. 

Save for following any redemption of the Notes pursuant to 

a written request of the Class F Subordinated Noteholders 

(or where applicable the written request of the Noteholders 

of the Controlling Class and the Class F Subordinated 

- 26 -

Noteholders) in accordance with Condition 7(b) (Optional 

Redemption) or following the enforcement of the Collateral, 

Collateral Enhancement Obligation Proceeds, Interest 

Proceeds and Principal Proceeds will be applied in 

accordance with the Collateral Enhancement Obligation 

Proceeds Priority of Payments, Interest Proceeds Priority of 

Payments and the Principal Proceeds Priority of Payments, 

respectively, and, upon any redemption of the Notes 

pursuant to a written request of the Class F Subordinated 

Noteholders (or, where applicable, the written request of the 

Noteholders of the Controlling Class and the Class F 

Subordinated Noteholders) in accordance with 

Condition 7(b) (Optional Redemption) or following the 

enforcement of the Collateral, Collateral Enhancement 

Obligation Proceeds, Interest Proceeds and Principal 

Proceeds will be applied in accordance with the 

Enforcement Proceeds Priority of Payments. See 

Condition 3(c) (Priorities of Payment) and Condition 11 

(Enforcement). 

Interest Payments: 

Subject as set forth below, interest in respect of the Notes of 

each Class will be payable semi-annually in arrears on 15 

January and 15 July of each year, commencing on 15 July 

2006 or, if any such day is not a Business Day, the 

immediately following Business Day, at maturity and upon 

any redemption of the Notes (each, a "Payment Date"): 

Class A-1 Notes: 6 month EURIBOR plus 0.25 per cent. 

per annum, 

Class A-2A Notes: 6 month EURIBOR plus 0.235 per cent. 

per annum, 

Class A-2B Notes: 6 month EURIBOR plus 0.37 per cent. 

per annum, 

Class B Notes: 6 month EURIBOR plus 0.38 per cent. per 

annum, 

Class C-1 Notes: 6 month EURIBOR plus 0.65 per cent. 

per annum, 

Class C-2 Notes: 4.193 per cent. per annum, 

Class D-1 Notes: 6 month EURIBOR plus 1.60 per cent. 

per annum, 

- 27 -

Class D-2 Notes: 5.152 per cent. per annum, 

Class E Notes: 6 month EURIBOR plus 4.70 per cent. per 

annum, 

save that interest in respect of the first Payment Date falling 

on 15 July 2006 shall be calculated, in respect of each of the 

Class A Notes, the Class B Notes, the Class C-1 Notes, the 

Class D-1 Notes and the Class E Notes, on a 7 month 

EURIBOR basis. 

Class F Subordinated Notes: The Class F Subordinated 

Notes will not bear interest at a predetermined fixed or 

floating rate, but will be entitled to receive payments on an 

available funds basis out of Interest Proceeds remaining 

following prior payment in accordance with the Interest 

Proceeds Priority of Payments of certain fees and expenses 

and interest payable in respect of the Rated Notes and out of 

Collateral Enhancement Obligation Proceeds remaining 

following prior payment in accordance with the Collateral 

Enhancement Obligation Proceeds Priority of Payments. 

Combination Notes: On each Payment Date on which 

payments are made in respect of any Class of Notes that has 

a corresponding Component, a portion of such payment shall 

be allocated to the relevant Combination Notes of which that 

Component is a part in the proportion that the principal 

amount of such Component bears to the principal amount of 

the related Class as a whole (including the related 

Components for the purposes of such calculation). Subject 

as provided below, no other payments will be made on the 

Combination Notes. 

Any amounts due on the Combination Notes will be payable 

on the same terms as the Components thereof to the extent 

of the Components of which such Combination Note is 

comprised. 

Consequences of 

Non-Payment of Interest: 

Class A Notes and Class B Notes: Non-payment of interest 

in respect of the Class A Notes and/or the Class B Notes 

will (upon expiry of the five day grace period) constitute an 

Event of Default pursuant to Condition 10 (Events of 

Default), following the occurrence of which the security 

over the Collateral may become enforceable pursuant to the 

terms of Condition 11 (Enforcement). 

- 28 -

Class C Notes, Class D Notes and Class E Notes: For so 

long as any of the Class A Notes or the Class B Notes 

remain Outstanding, non-payment of interest on the Class C 

Notes, the Class D Notes and the Class E Notes as a result 

of any of the following: 

(a) 

(b) 

(c) 

(d) 

(e) 

the non-availability of Interest Proceeds and/or 

Principal Proceeds on the relevant Payment Date; 

the diversion of Principal Proceeds and/or Interest 

Proceeds towards redemption of the Class A Notes 

and, thereafter, the Class B Notes due to a failure to 

satisfy the Class A/B Coverage Tests; 



and, thereafter, the Class B Notes and, thereafter, the 

Class C Notes due to a failure to satisfy the Class C 

Coverage Tests; 




Class C Notes and, thereafter, the Class D Notes due 

to a failure to satisfy the Class D Coverage Tests; or 




Class C Notes and, thereafter, the Class D Notes 

and, thereafter, the Class E Notes due to a failure to 

satisfy the Class E Coverage Tests, 

will not constitute an Event of Default under the Class C 

Notes or, as the case may be, the Class D Notes or, as the 

case may be, the Class E Notes. 

To the extent that interest payments on the Class C Notes or 

the Class D Notes or the Class E Notes are not made on any 

Payment Date in such circumstances, an amount equal to 

such unpaid interest will be added to the principal amount 

outstanding of the Class C Notes and/or the Class D Notes 

and/or the Class E Notes, as applicable, and with effect 

from and including such Payment Date interest will accrue 

on such unpaid amount at the rate of interest applicable to 

such Notes. Following redemption in full of the Class A 

Notes and the Class B Notes, non-payment of interest on the 

- 29 -

Class C Notes and, following redemption in full thereof, 

non-payment of interest on the Class D Notes and, following 

redemption in full thereof, non-payment of interest on the 

Class E Notes shall (upon expiry of the applicable grace 

period) constitute an Event of Default. 

Combination Notes: Non-payment of interest on any of the 

Combination Notes will only affect such Combination Notes 

to the extent that the corresponding Components of such 

Combination Notes are affected as described above. 

Non-call Period: 

Reinvestment Period: 

Principal Repayments: 

The period from, and including, the Closing Date to, but 

excluding, 15 January 2010 or, if such day is not a Business 

Day, the immediately following Business Day will constitute 

the "Non-Call Period". 

The period from, and including, the Closing Date to, and 

including, 15 January 2013 or, if such day is not a Business 

Day, the immediately following Business Day will constitute 

the "Reinvestment Period". 

Principal repayments of the Notes may be made in the 

following circumstances: 

(a) 

(b) 

(c) 

(d) 

(e) 

on the Maturity Date of the Notes; 

upon an Effective Date Rating Event (as defined in 

the Conditions); 

upon breach of any Coverage Test; 

on each Payment Date after the end of the Non-Call 

Period but during the Reinvestment Period at the 

option of the Portfolio Manager, Principal Proceeds 

may be applied in redemption of the Notes in 

accordance with the Priorities of Payment; 

pursuant to an optional redemption of the Notes in 

full by the Class F Subordinated Noteholders in 

accordance with the Conditions; 

(i) 

(ii) 

after expiry of the Non-Call Period; or 

following the occurrence of a Collateral Tax 

Event; 

(f) 

pursuant to an optional redemption of the Notes in 

full by the Noteholders of the Controlling Class and 

the Class F Subordinated Noteholders in accordance 

- 30 -

with the Conditions following the occurrence of a 

Note Tax Event; 

(g) 

(h) 

(i) 

(j) 

in the event that the Additional Reinvestment Test is 

not satisfied on the related Determination Date, the 

Portfolio Manager shall be obliged to use an amount 

up to 50 per cent. of the remaining Interest Proceeds 

that would otherwise have been applied towards 

payment of certain Issuer expenses, fees, and interest 

on the Class F Subordinated Notes either, at the 

Portfolio Manager's discretion (i) to purchase 

Substitute Collateral Debt Obligations or deposit in 

the Principal Account pending reinvestment in 

Substitute Collateral Debt Obligations, and/or (ii) to 

redeem partially or totally the Class E Notes to the 

extent necessary to cause the Additional Reinvestment 

Test to be met if calculated following such payment; 

after the Reinvestment Period, out of Principal 

Proceeds other than in the case of either Unscheduled 

Principal Proceeds or Sale Proceeds from Credit 

Improved Obligations and Credit Impaired 

Obligations designated for reinvestment in Substitute 

Collateral Debt Obligations by the Portfolio Manager 

in accordance with the terms of the Portfolio 

Management Agreement; 

at any time at the discretion of the Portfolio Manager, 

the Class E Notes can be redeemed using any excess 

Interest Proceeds in accordance with the Priorities of 

Payment set out in Condition 3(c)(ii) (Application of 

Interest Proceeds); and 

upon failure to appoint a successor portfolio manager 

within 6 months of the resignation or termination of 

the appointment of the Portfolio Manager, subject to 

the terms of the Portfolio Management Agreement. 

Redemption at Maturity: 

Each Class of the Rated Notes will mature at their 

outstanding principal amount, and the Class F Subordinated 

Notes will be redeemed at an amount equal to the remaining 

Principal Proceeds to be applied towards such redemption 

pursuant to the Priorities of Payment on 15 January 2021 or, 

if such day is not a Business Day, the immediately following 

Business Day (the "Maturity Date"), in each case, unless 

redeemed or repaid prior thereto. The average life of each 

- 31 -

Class of the Rated Notes is expected to be shorter than the 

number of years from the Closing Date until the Maturity 

Date. See "Risk Factors – Average Life and Prepayment 

Considerations". 

Redemption at the Option of 

the Noteholders: 

The Notes (including the Components of the Combination 

Notes) shall be redeemed by the Issuer, in whole but not in 

part, at their applicable Redemption Prices on: 

(a) 

(b) 

(c) 

any Payment Date falling on or after expiry of the 

Non-Call Period, at the request in writing of the holders 

of at least 66 2 /3 per cent. of the Principal Amount 

Outstanding of the Class F Subordinated Notes; 

any Payment Date falling after the occurrence of a 

Collateral Tax Event at the request in writing of the 

holders of at least 66 2 /3 per cent. of the Principal 

Amount Outstanding of the Class F Subordinated 

Notes; or 

any Payment Date falling after the occurrence of a 

Note Tax Event, at the request in writing of the 

holders of at least 66 2 /3 per cent. of the Principal 

Amount Outstanding of each of the Controlling Class 

and of the Class F Subordinated Notes at such time, 

in each case, subject to the satisfaction of certain conditions 

set out in Condition 7(b) (Optional Redemption). 

Redemption Prices upon Optional Redemption: 

The Class A-1 Notes: Par, together with interest accrued 

thereon to the date of redemption. 

The Class A-2A Notes: Par, together with interest accrued 


The Class A-2B Notes: Par, together with interest accrued 


Class B Notes: Par, together with interest accrued thereon 

to the date of redemption. 

Class C-1 Notes: Par, together with interest accrued thereon 


Class C-2 Notes: In the case of a redemption pursuant to 

Condition 7(b) (Optional Redemption) other than as a result 

of the occurrence of a Collateral Tax Event, the Make 

- 32 -

Whole Amount (calculated by references to the yield of the 

applicable Euro swap plus 0.65 per cent) together with 

payments on such Class C-2 Note that would have been 

payable on the Redemption Date in any event had such Class 

C-2 Note not become subject to redemption. In the case of 

a redemption pursuant to Condition 7(b) (Optional 

Redemption) as a result of the occurrence of a Collateral Tax 

Event, par, together with interest accrued thereon to the date 

of redemption. 

Class D-1 Notes: Par, together with interest accrued 


Class D-2 Notes: In the case of a redemption pursuant to 

Condition 7(b) (Optional Redemption) other than as a result 

of the occurrence of a Collateral Tax Event, the Make 

Whole Amount (calculated by reference to the yield of the 

applicable Euro swap plus 1.60 per cent) together with 

payments on such Class D-2 Note that would have been 

payable on the Redemption Date in any event had such Class 

D-2 Note not become subject to redemption. In the case of 

a redemption pursuant to Condition 7(b) (Optional 

Redemption) as a result of the occurrence of a Collateral Tax 

Event, par, together with interest accrued thereon to the date 

of redemption. 

Class E Notes: Par, together with interest accrued thereon 


Class F Subordinated Notes: Each Class F Subordinated 

Note's pro rata share of the amounts payable pursuant to 

paragraph (W) of Condition 3(c)(iii) (Application of 

Principal Proceeds). 

Combination Notes: Notwithstanding the fact that the 

principal amount of any Class of Combination Notes may 

have been redeemed as a result of the application of Interest 

Proceeds as set out in Condition 6(g) (Interest and other 

payments due on the Combination Notes), the Redemption 

Price of such Combination Notes will be equal to the 

Redemption Price applicable to the aggregate of the 

Redemption Prices applicable to the Components 

corresponding to the Classes of Notes of which such 

Combination Notes may be comprised. 

Redemption upon Breach of 

In the event that either of the Class A/B Coverage Tests is 

not satisfied on any Determination Date, on the Payment 

- 33 -

Coverage Tests: 

Date next following such Determination Date, Interest 

Proceeds and thereafter Principal Proceeds (solely to the 

extent not designated for reinvestment) will be applied, 

subject to the Priorities of Payment, to the extent necessary 

and available, to redeem the Class A Notes, in whole or in 

part, and following redemption in full thereof, to redeem (on 

a pro rata basis) the Class B Notes, in whole or in part, to 

the extent required to cause each Class A/B Coverage Test 

to be satisfied if recalculated following such redemption. 

If either of the Class C Coverage Tests is not satisfied on 

any Determination Date, on the Payment Date next 

following such Determination Date, Interest Proceeds and 

thereafter Principal Proceeds (solely to the extent not 

designated for reinvestment) will be applied, subject to the 

Priorities of Payment, to the extent necessary and available, 

to redeem the Class A Notes, in whole or in part, and 

following redemption in full thereof, to redeem (on a pro 

rata basis) the Class B Notes, in whole or in part, and, 


rata basis) the Class C Notes, in whole or in part, to the 

extent required to cause each Class C Coverage Test to be 

satisfied if recalculated following such redemption and 

repayment. 

If either of the Class D Coverage Tests is not satisfied on 





Priorities of Payment, to the extent necessary and available 





rata basis) the Class C Notes, in whole or in part, and, 


rata basis) the Class D Notes, in whole or in part, to the 

extent required to cause the Class D Coverage Test to be 

satisfied if recalculated following such redemption and 

repayment. 

If either of the Class E Coverage Tests is not satisfied on 




- 34 -


Priorities of Payment, to the extent necessary and available 





rata basis) the Class C Notes, in whole or in part, and, 


rata basis) the Class D Notes, in whole or in part, and, 


rata basis) the Class E Notes, in whole or in part, to the 

extent required to cause the Class E Coverage Test to be 

satisfied if recalculated following such redemption. See 

Conditions 3(c) (Priorities of Payment) and 7(c) 

(Redemption upon Breach of Coverage Tests). 

Additional Reinvestment 

Test: 

Redemption following 

Effective Date Rating Event: 

Redemption upon Failure to 

Appoint a Replacement 

In the event that the Additional Reinvestment Test is not 

satisfied on the related Determination Date, the Portfolio 

Manager shall be obliged to use an amount up to 50 per 

cent. of the remaining Interest Proceeds that would 

otherwise have been applied towards payment of certain 

Issuer expenses, fees, and interest on the Class F 

Subordinated Notes either, at the Portfolio Manager's 

discretion (i) to purchase Substitute Collateral Debt 

Obligations or deposit in the Principal Account pending 

reinvestment in Substitute Collateral Debt Obligations, 

and/or (ii) to redeem partially or totally the Class E Notes to 

the extent necessary to cause the Additional Reinvestment 

Test to be met if calculated following such payment. 

In the event that an Effective Date Rating Event has 

occurred and the ratings on the Notes have not been 

reinstated by each relevant Rating Agency, Interest Proceeds 

and Principal Proceeds will be applied, in accordance with 

the Priorities of Payment, on the Payment Dates next 

following the Final Ramp-up Date (and each subsequent 

Payment Date) to redeem (on a pro rata basis) the Rated 

Notes, in whole or in part, until the earliest of (a) the date 

upon which the Portfolio satisfies the Collateral Quality 

Tests and the Coverage Tests and Current Rating 

Confirmation is obtained and (b) the Rated Notes have been 

redeemed in full. See Condition 7(d) (Redemption upon 

Effective Date Rating Event). 

In the event that the Portfolio Manager resigns or its 

appointment is terminated pursuant to the Portfolio 

- 35 -

Portfolio Manager: 

Repayments of Principal on 

and Rights under the 

Combination Notes: 

Management Agreement and a new portfolio manager has 

not been appointed in accordance with the provisions of the 

Portfolio Management Agreement within 6 months of receipt 

of notice of such termination or resignation, all (but not 

some only) of the Notes (including the Components of the 

Combination Notes) shall be redeemed at their applicable 

Redemption Prices on the next following Payment Date in 

accordance with the Priorities of Payment set out in 

Condition 3(c)(iii) (Application of Principal Proceeds) and 

subject to the payment of any prior ranking amounts and 

without prejudice to the payment of any Portfolio 

Management Fees accrued up to the date of redemption. 

See Condition 7(g) (Redemption Upon Failure to Appoint a 

Replacement Portfolio Manager). 

On each Payment Date on which any payments are made in 

respect of any Class of Combination Notes that has a 

corresponding Component, a portion of such repayment 

shall be allocated to the relevant Class of which that 

Component is a part in the proportion that the principal 

amount of such Component bears to the principal amount of 

the related Class as a whole (including the related 

Components for the purposes of such calculation). Subject 

as provided below, no other payments will be made on the 

Combination Notes. 

In addition, the holders of any Combination Notes shall have 

all the rights of the holder of a Note corresponding to any 

Component of which the Class of Combination Notes 

concerned are comprised as if they were a direct holder 

thereof. 

Security for the Notes: 

The Notes will be secured in favour of the Trustee for the 

benefit of the Secured Parties by, amongst other things, a 

portfolio of Collateral Debt Obligations and other debt 

obligations primarily consisting of: 

(a) 

Secured Senior Loans, Unsecured Senior Loans, 

Mezzanine Obligations, High Yield Bonds of various 

obligors in member states of the European Union, 

Switzerland, the United States or Canada or any other 

country for which Rating Agency Confirmation has 

been received and Synthetic Securities denominated 

in: 

(i) 

euro (or one of the predecessor currencies of 

- 36 -

member states of the European Union ("EU 

Member States") which have adopted the 

euro as their currency); and 

(ii) 

Sterling, U.S. Dollars, Canadian Dollars, 

Swedish Krona, Danish Krone, Swiss Francs, 

Norwegian Krone or any other currency (other 

than euro) in respect of which Rating Agency 

Confirmation has been received (each a 

"Non-Euro Obligation") which satisfies each 

of the Eligibility Criteria other than that 

relating to its currency of denomination and 

which are covered by a Currency Hedge 

Agreement; 

(b) 

(c) 

(d) 

(e) 

Synthetic Securities and/or Offsetting Credit Default 

Swaps which are linked to Reference Obligations 

with the characteristics of Secured Senior Loans, 

Unsecured Senior Loans, Mezzanine Obligations or 

High Yield Bonds; 

Credit Short Obligations; 

Collateral Enhancement Obligations which include 

warrants and equity securities linked to Mezzanine 

Obligations and Collateral Debt Obligations; and 

Eligible Investments. 

The Notes will also be secured by certain other assets and 

rights of the Issuer. See Condition 4(a) (Security). 

The Combination Notes will be secured solely to the extent 

to which the respective underlying Components comprising 

the Combination Notes are secured. 

The Class T Combination Notes will have the benefit of a 

charge over the OAT Strips comprising the OAT Strips T 

Portion. The Class U Combination Notes will have the 

benefit of a charge over the OAT Strips comprising the 

OAT Strips U Portion. 

Purchase of Collateral Debt 

Obligations: 

It is expected that, by the Closing Date, the Issuer will have 

purchased, or entered into agreements to purchase, a 

portfolio of Collateral Debt Obligations selected by the 

Portfolio Manager the Aggregate Principal Balance of which 

represents approximately 65 per cent. of the Target Par 

Amount (as defined below) provided that, for the purposes 

- 37 -

of determining the Aggregate Principal Balance of such 

Collateral Debt Obligations as provided above, any 

repayments or prepayments of any Collateral Debt 

Obligations subsequent to the date of acquisition thereof and 

not subsequently reinvested shall be added to the Aggregate 

Principal Balance of such Collateral Debt Obligations. The 

Issuer will have the period from and including the Closing 

Date to but excluding the Effective Date to purchase the 

remainder of the Portfolio of Collateral Debt Obligations, 

subject to certain restrictions. See "Description of the 

Portfolio". 

Target Par Amount on the 

Effective Date: 

Final Ramp-up Date: 

Effective Date: 

The Issuer will enter into binding commitments to acquire 

Collateral Debt Obligations the Aggregate Principal Balance 

(as defined below) of which equals or exceeds the Target 

Par Amount (as defined below) by the Effective Date 

(provided that, for the purposes of determining the 

Aggregate Principal Balance of Collateral Debt Obligations 

for the Effective Date as provided above, any repayments or 

prepayments of any Collateral Debt Obligations subsequent 

to the date of acquisition thereof and not subsequently 

reinvested shall be added to the Aggregate Principal Balance 

of Collateral Debt Obligations). 

The "Final Ramp-up Date" means 15 January 2007 or, if 

such day is not a Business Day, the next following Business 

Day. 

The "Effective Date" shall be the earlier of the Final 

Ramp-up Date and the date that the Portfolio Manager 

declares to be the Effective Date, provided that by or on 

such date: 

(i) 

(ii) 

(iii) 

the Portfolio Manager has purchased on behalf of the 

Issuer the Collateral Debt Obligations which 

comprise the expected Portfolio and which, on the 

date of acquisition thereof, satisfied the Eligibility 

Criteria; 

the Issuer has entered into binding commitments to 

acquire Collateral Debt Obligations, the Aggregate 

Principal Balance of which equals or exceeds the 

Target Par Amount; 

the Collateral Debt Obligations in the Portfolio satisfy 

the Coverage Tests, the Collateral Quality Tests and 

- 38 -

the Percentage Limitations; 

(iv) 

(v) 

(vi) 

Current Rating Confirmation has been requested; 

the Portfolio Manager has declared in accordance 

with the Portfolio Management Agreement that the 

Effective Date has occurred; and 

such date is a Business Day, 

provided that in the event that the Final Ramp-up Date has 

occurred and any of the above are not satisfied on or prior to 

the Final Ramp-up Date, then the Effective Date shall be 

such later date upon which Current Rating Confirmation is 

obtained. 

Interim Ramp-Up Tests: 

The Interim Ramp-Up Tests must be satisfied as of the 

Interim Ramp-Up Test Date. See "The Portfolio". The 

Interim Ramp-Up Tests will comprise the following: 

• the Interim Ramp-Up Amount Test 

• the Interim Moody's Metric Test 

• the Interim Weighted Average Spread Test 

Ratings Confirmation: 

Eligibility Criteria: 

Percentage Limitations, 

Coverage Tests and 

Collateral Quality Tests: 

The Portfolio Manager, on behalf of the Issuer, will request 

that each of the Rating Agencies confirms the ratings 

assigned to the Rated Notes on the Closing Date within 

60 days of the Effective Date. If such ratings are not 

confirmed by such time and remain unconfirmed on the 

Business Day prior to the next Payment Date, then an 

Effective Date Rating Event shall occur and the Notes shall 

be redeemed in accordance with the Conditions. See 

Condition 7(d) (Redemption upon Effective Date Rating 

Event) and "Risk Factors – Effective Date Rating Event ". 

In order to qualify as a Collateral Debt Obligation, an 

obligation must satisfy certain specified Eligibility Criteria at 

the time of entering into a binding commitment to acquire 

such obligation by, or on behalf of, the Issuer. See "The 

Portfolio – Eligibility Criteria". 

The Percentage Limitations, the Collateral Quality Tests and 

the Coverage Tests are expected to be satisfied as at the 

Effective Date. In addition, the Percentage Limitations, the 

Coverage Tests and the Collateral Quality Tests must be 

satisfied after giving effect to the purchase of any Substitute 

- 39 -

Collateral Debt Obligation after the Effective Date or, if not 

satisfied prior to such purchase, the relevant thresholds and 

amounts calculated pursuant thereto must be maintained or 

improved after giving effect to such purchase. See "The 

Portfolio – Reinvestment Criteria". 

Collateral Enhancement 

Obligations: 

Collateral Enhancement Obligations comprise warrants and 

equity securities (excluding any Exchanged Equity 

Securities), including, without limitation, warrants relating 

to a Senior Loan, Mezzanine Obligations or PIK Only 

Obligations and any equity security received upon 

conversion, exchange or exercise of an option under, or 

otherwise in respect of, a Collateral Enhancement 

Obligation, or any warrant or equity security purchased as 

part of a unit with a Collateral Debt Obligation, provided 

that such Collateral Enhancement Obligations may not 

constitute Margin Stock. The ratings assigned by the Rating 

Agencies to the Rated Notes do not take into account the 

value of Collateral Enhancement Obligations. Collateral 

Enhancement Obligations are excluded from any 

determination of satisfaction of the Coverage Tests, the 

Collateral Quality Tests and the Percentage Limitation and 

none of the Eligibility Criteria or the Reinvestment Criteria 

apply to Collateral Enhancement Obligations. Collateral 

Enhancement Obligations will either be purchased by or on 

behalf of the Issuer in accordance with the Portfolio 

Management Agreement as part of a unit with Collateral 

Debt Obligations or be purchased independently out of the 

Balance standing to the credit of the Collateral Enhancement 

Account or amounts advanced to the Issuer by the Portfolio 

Manager for such purpose from time to time. 

The costs of exercising any option or warrant comprised in a 

Collateral Enhancement Obligation shall be payable out of 

the Balance standing to the credit of the Collateral 

Enhancement Account from time to time (which shall be 

funded out of amounts which would otherwise be payable to 

the Class F Subordinated Noteholders in accordance with the 

Priorities of Payment) or, in circumstances where there are 

insufficient amounts standing to the credit of the Collateral 

Enhancement Account to fund such exercise, out of amounts 

if any which have been advanced by the Portfolio Manager 

(or one of its Affiliates) in its sole discretion, by way of a 

Portfolio Manager Advance. See "Description of the 

Portfolio – Collateral Enhancement Obligations". Failure of 

- 40 -

the Issuer for any reason to repay any Portfolio Manager 

Advance shall not constitute an Event of Default in respect 

of the Notes. 

Management of the Portfolio: Subject to the terms of the Portfolio Management 

Agreement, the Portfolio Manager, acting on behalf of the 

Issuer, may sell or purchase Collateral Debt Obligations on 

behalf of the Issuer and will monitor the performance and 

credit quality of the Collateral Debt Obligations on an 

ongoing basis. 

Sale of Collateral Debt Obligations: Subject to the terms of 

the Portfolio Management Agreement, the Portfolio 

Manager, acting on behalf of the Issuer, may sell Collateral 

Debt Obligations held by or on behalf of the Issuer, in the 

following circumstances: 

(a) 

at any time: 

(i) 

(ii) 

(iii) 

any Defaulted Obligation; 

any Credit Impaired Obligation; and 

any Credit Improved Obligation; 

(b) 

during the Reinvestment Period: any Collateral Debt 

Obligations (other than Credit Impaired Obligations, 

Credit Improved Obligations or any Defaulted 

Obligations) provided that all such sales, in any 

annual period (measured by reference to the 

aggregate principal amount of the Collateral Debt 

Obligations sold in that year (each such year being a 

year from, but excluding, the Effective Date or, as 

the case may be an anniversary thereof, to, but 

including, the next succeeding anniversary thereof)) 

do not exceed 20 per cent. of the Aggregate 

Collateral Balance at the beginning of such annual 

period, 

subject in each case to certain restrictions described under 

"The Portfolio – Management of the Portfolio – Sale of 

Collateral Debt Obligations – Overview". 

Treatment of Sale Proceeds and Principal Proceeds: The 

Sale Proceeds of Collateral Debt Obligations sold in the 

circumstances provided above, together with any other 

Principal Proceeds received, will be applied subject to and 

- 41 -

in accordance with the Priorities of Payment: 

(a) 

during the Non-Call Period: 

(i) 

(ii) 

in the acquisition of Substitute Collateral Debt 

Obligations, subject to satisfaction of the 

Eligibility Criteria and the Reinvestment 

Criteria and (for Collateral Debt Obligations 

denominated in Sterling only) the Sterling 

Reinvestment Criteria (each as described 

under "The Portfolio" below) or in payment 

into the Principal Account or the GBP 

Principal Account (for Sterling Proceeds only) 

pending such reinvestment; or 

in the event that the Portfolio Manager is 

unable to acquire Substitute Collateral Debt 

Obligations in accordance with (i) above, then 

such Sale Proceeds shall be used in payment 

into the Principal Account for application in 

accordance with the Priorities of Payment on 

the next following Payment Date; 

(b) 

after the Non-Call Period but during the remainder 

of the Reinvestment Period: either, at the discretion 

of the Portfolio Manager: 

(i) 

(ii) 

in the acquisition of Substitute Collateral Debt 

Obligations, subject to satisfaction of the 

Eligibility Criteria and the Reinvestment 

Criteria and (for Collateral Debt Obligations 

denominated in Sterling only) the Sterling 

Reinvestment Criteria, or in payment into the 

Principal Account or the GBP Principal 

Account (for Sterling Proceeds only) pending 

such reinvestment; or 

in payment into the Principal Account or the 

GBP Principal Account (for Sterling Proceeds 

only) for application in redemption of the 

Notes in accordance with the Priorities of 

Payment on the next following Payment Date; 

and/or 

(c) 

following the expiry of the Reinvestment Period: 

(i) 

in the case of Unscheduled Principal Proceeds 

- 42 -

and Sale Proceeds from the sale of Credit 

Improved Obligations and Credit Impaired 

Obligations, either: 

(y) (i) in the acquisition of Substitute Collateral Debt 

Obligations, subject to satisfaction of the Eligibility 

Criteria and the Reinvestment Criteria and (for 

Collateral Debt Obligations denominated in Sterling 

only) the Sterling Reinvestment Criteria or (ii) in 

payment into the Principal Account pending such 

reinvestment (provided that such amounts will cease 

to be available for reinvestment at the end of the Due 

Period following the Due Period in which such 

Unscheduled Principal Proceeds or Sale Proceeds 

relating to Credit Improved Obligations or Credit 

Impaired Obligations were received); or 

(z) in payment into the Principal Account for 

disbursement on the next following Payment Date in 

redemption of each Class of Notes in accordance with 

the Priorities of Payment and subject to the payment 

of any prior ranking amounts; or 

(ii) 

in the case of all other Principal Proceeds, in 

payment into the Principal Account, for 

disbursement on the next following Payment 

Date in redemption of each Class of Notes in 

accordance with the Priorities of Payment and 

subject to the payment of any prior ranking 

amounts. 

See "The Portfolio – Sale of Collateral Debt Obligations – 

Overview" and "Reinvestment Criteria". 

Special Situation 

Investments: 

The Portfolio Manager may (acting within the mandate 

granted to it under the Portfolio Management Agreement) 

from time to time, during the Reinvestment Period direct 

that moneys on deposit in the Interest Account and/or the 

GBP Interest Account, as applicable, or the Principal 

Account and/or the GBP Principal Account, as applicable, 

(or any combination of such Accounts) be used for the 

purpose of providing additional capital to Obligors of 

Collateral Debt Obligations previously acquired by the 

Issuer provided that: 

(i) 

in the event the Portfolio Manager so directs the use 

of amounts from the Interest Account or the GBP 

- 43 -

Interest Account, the Interest Coverage Tests will be 

satisfied; 

(ii) 

(iii) 

(iv) 

(v) 

(vi) 

in the event the Portfolio Manager so directs the use 

of amounts from the Principal Account or the GBP 

Principal Account, the Moody's Metric Tests, the 

S&P CDO Monitor Test and the Class E Par Value 

Test will be satisfied; 

in the reasonable judgement of the Portfolio Manager 

(which shall not be called into question as a result of 

any subsequent event) such additional lending will 

result in an improved financial condition for such 

Obligors; 

the consideration for such additional lending will be 

evidenced in the form of a Special Situation 

Investment Obligation of equal or prior ranking to the 

corresponding Collateral Debt Obligation; 

as soon as a Special Situation Investment Obligation 

satisfies the Eligibility Criteria it will be deemed to 

be a Collateral Debt Obligation for all purposes and 

shall no longer be classified as a Special Situation 

Investment Obligation; and 

prior to being classified as a Collateral Debt 

Obligation, all cash and non-cash distributions on 

such Special Situation Investment Obligation shall be 

treated in the same manner as distributions on 

Collateral Debt Obligations. 

Securities Lending: 

Short Term Variable 

Funding Facility: 

Subject to certain conditions, the Issuer will be permitted to 

lend the Collateral Debt Obligations under Securities 

Lending Agreements (which, for the avoidance of doubt, 

includes the sale and repurchase of the Collateral Debt 

Obligations under securities repurchase agreements) and, in 

such circumstances, the Notes will be secured by the 

Issuer's rights under the related Securities Lending 

Agreement and not by the Collateral Debt Obligations 

loaned pursuant to such Securities Lending Agreement. See 

"The Portfolio – Securities Lending". 

On or after the Closing Date, Merrill Lynch International or 

one of its affiliates and/or any bank or financial institution 

whose short term, senior, unsecured, unguaranteed debt 

securities are rated no less than P-1 by Moody's and no less 

- 44 -

than A-1 by S&P (in such capacity, the "Short Term 

Variable Funding Facility Provider") and the Issuer may 

enter into a short term variable funding facility agreement 

(the "Short Term Variable Funding Facility Agreement"). 

Pursuant to the terms and conditions of the Short Term 

Variable Funding Facility Agreement, the Short Term 

Variable Funding Facility Provider will grant to the Issuer a 

short term variable funding facility (the "Short Term 

Variable Funding Facility") up to an aggregate principal 

amount of €12,000,000. 

In the case where the ratings of the Short Term Variable 

Funding Facility Provider are downgraded below the Rating 

Requirement, any outstanding Short Term Variable Funding 

Facility shall be transferred (at the cost of the Short Term 

Variable Funding Facility Provider) to any other bank or 

financial institution whose short term, senior, unsecured, 

unguaranteed debt securities are rated no less than P-1 by 

Moody's and no less than A-1 by S&P. 

The Issuer (or the Portfolio Manager on its behalf) shall use 

any amounts drawn down under the Short Term Variable 

Funding Facility to purchase (i) Deliverable Obligations, (ii) 

additional Collateral Debt Obligations, and/or (iii) Substitute 

Collateral Debt Obligations, in accordance with the terms 

and conditions of the Short Term Variable Funding Facility 

Agreement. 

The Short Term Variable Funding Facility will be a limited 

recourse debt obligation of the Issuer ranking senior to each 

Class of Notes. 

Accounts: 

Prior to the Closing Date, the Issuer will establish: 

(a) with the Account Bank, the Principal Account, the 

Interest Account, the Unused Proceeds Account, the 

Collateral Enhancement Account, the Expense Reserve 

Account, the Revolving Reserve Account, the GBP Principal 

Account, the GBP Interest Account, the Non-Euro Account, 

the Hedge Reserve Account, the Hedge Termination Receipt 

Account, the Currency OTM Option Account, the Interest 

Reserve Account, the Short Term Variable Funding Facility 

Account and the Payment Account; and 

(b) with the Custodian, the Custody Accounts, the OAT 

Custody Account, the Synthetic Collateral Account, the 

Securities Lending Account and the Counterparty 

- 45 -

Downgrade Collateral Account. 

Eligible Investments: 

Interest Rate Hedge 

Transactions: 

Currency Hedge 

Transactions: 

Offsetting Credit Default 

Swaps: 

Credit Short Obligations: 

The Balance standing to the credit of each Account, from 

time to time, may be invested by or on behalf of the Issuer 

in certain money market instruments satisfying required 

rating criteria. See Condition 3(i) (Accounts). 

The Issuer (or the Portfolio Manager on its behalf) may, 

upon the Closing Date or at any other point in time after the 

Closing Date, enter into interest rate hedge transactions with 

one or more financial institutions. Any payments, other 

than Defaulted Interest Rate Hedge Termination Payments, 

required to be made by the Issuer under any Interest Rate 

Hedge Agreement will rank senior in priority to interest 

payments on each Class of Notes. See "Description of the 

Interest Rate and Currency Hedge Arrangements". 

The Issuer (or the Portfolio Manager on its behalf) will enter 

into currency transactions with one or more financial 

institutions in respect of Collateral Debt Obligations not 

denominated in Euro subject to the applicable requirements 

contained in the Portfolio Management Agreement and the 

Hedging Procedures. Any payments other than Defaulted 

Currency Hedge Termination Payments required to be made 

by the Issuer under any Currency Hedge Agreement will 

rank senior in priority to interest payments on each Class of 

Notes. See "Description of the Interest Rate and Currency 

Hedge Arrangements". 

The Issuer (or the Portfolio Manager on its behalf) (as 

protection buyer) may enter into credit default swap 

transactions with one or more financial institutions (as 

protection seller), the Reference Obligation (as defined 

below) of which is a Collateral Debt Obligation owned by 

the Issuer. See "Description of the Portfolio – Offsetting 

Credit Default Swaps". 

The Issuer (or the Portfolio Manager on its behalf) may 

from time to time enter into Credit Short Obligations which 

are credit default swaps pursuant to which the Issuer buys 

protection in respect of a specified Reference Entity 

(including where the Issuer has no exposure to such 

Reference Entity), entry into which shall be subject to 

payment of the periodic premium thereunder to the 

applicable Credit Short Obligation Counterparty. 

- 46 -

Limited Recourse: 

The Notes (and the Short Term Variable Funding Facility) are 

limited recourse obligations of the Issuer which are payable 

solely out of amounts received by or on behalf of the Issuer in 

respect of the Collateral. Payments on the Notes (and the 

Short Term Variable Funding Facility) both prior to and 

following enforcement of the security over the Collateral are 

subordinated to the prior payment of certain fees and 

expenses of the Issuer. The net proceeds of the realisation of 

the security over the Collateral following an Event of Default 

may be insufficient to pay all amounts due to the Noteholders 

(and the Short Term Variable Funding Facility Provider) after 

making payments to other creditors of the Issuer ranking prior 

to, or pari passu with, the holders of the relevant Notes. In 

the event of a shortfall in such proceeds, the Issuer will not be 

obliged to pay, and the other assets (if any) of the Issuer will 

not be available for payment of, any such shortfall, all claims 

in respect of which shall be extinguished. Such shortfall will 

be borne by the holders of the Rated Notes and the Class F 

Subordinated Notes in inverse order of the Priorities of 

Payment. The Combination Notes shall be limited recourse 

obligations of the Issuer to the extent of their respective 

Components. 

Furthermore, none of the Noteholders of any Class, the 

Trustee or the other Transaction Creditors (nor any other 

person acting on behalf of any of them) shall be entitled at 

any time to institute against the Issuer, or join in any 

institution against the Issuer of, any bankruptcy, 

reorganisation, examinership, arrangement, insolvency, 

winding-up or liquidation proceedings or other proceedings 

under any applicable bankruptcy or similar law in 

connection with any obligations of the Issuer relating to the 

Notes of any Class, the Trust Deed or otherwise owed to the 

Transaction Creditors, save for lodging a claim in the 

liquidation of the Issuer which is initiated by another party 

or taking proceedings to obtain a declaration or judgment as 

to the obligations of the Issuer. 

Withholding Tax: 

All payments of principal and interest in respect of the Notes 

shall be made free and clear of, and without withholding or 

deduction for, any taxes, duties, assessments or 

governmental charges of whatever nature imposed, levied, 

collected, withheld or assessed by or within Ireland, or any 

political sub-division or any authority therein or thereof 

having power to tax, unless such withholding or deduction is 

- 47 -

equired by law. For the avoidance of doubt, the Issuer 

shall not be required to gross up any payments made to the 

Noteholders and shall withhold or deduct from any such 

payments any amounts on account of tax where so required 

by law or any relevant taxing authority. Any such 

withholding or deduction shall not constitute an Event of 

Default under Condition 10(a) (Events of Default). 

The Offering: 

Ratings: 

The Notes of each Class will be offered (a) outside of the 

United States to non-U.S. Persons (as defined in 

Regulation S under the Securities Act) in "offshore 

transactions" in compliance with Regulation S under the 

Securities Act and (b) within the United States to qualified 

institutional buyers ("QIBs") in reliance on Rule 144A 

under the Securities Act who are Qualified Purchasers for 

the purposes of Section 3(c)(7) of the Investment Company 

Act. See "Plan of Distribution". 

It is a condition of the issuance of the Notes that the Rated 

Notes be assigned the following ratings by Moody's and 

S&P: 

Class of Notes S&P Moody's 

Class A-1 Notes AAA Aaa 

Class A-2A Notes AAA Aaa 

Class A-2B Notes AAA Aa1 

Class B Notes AA Aa2 

Class C-1 Notes A A2 

Class C-2 Notes A A2 

Class D-1 Notes BBB Baa2 

Class D-2 Notes BBB Baa2 

Class E Notes BB Ba2 

Class P Combination Notes A NR 

Class Q Combination Notes BBB NR 

Class R Combination Notes AAA NR 

Class S Combination Notes AA NR 

- 48 -

Class T Combination Notes AAA NR 

The ratings assigned by S&P to the Class A Notes and the 

Class B Notes address the timely payment of interest and the 

ultimate repayment of principal. The ratings assigned by 

Moody's to the Class A Notes and the Class B Notes 

address the expected loss posed to the investors by the legal 

final maturity date. In Moody's opinion, the structure 

allows for the timely payment of interest and the ultimate 

payment of principal with respect to the Class A Notes and 

the Class B Notes by the legal final maturity date. The 

ratings assigned by S&P to the Class C Notes, the Class D 

Notes and the Class E Notes address the ultimate payment of 

principal and interest. The ratings assigned by Moody's to 

the Class C Notes, the Class D Notes and the Class E Notes 

address the expected loss posed to the investors by the legal 

final maturity date. In Moody's opinion, the structure 

allows for the ultimate payment of principal and interest 

with respect to the Class C Notes, the Class D Notes and the 

Class E Notes by the legal final maturity date. 

The ratings assigned by S&P to the Class P Combination 

Notes, the Class Q Combination Notes, the Class R 

Combination Notes, the Class S Combination Notes and the 

Class T Combination Notes apply only to the ultimate 

payment of principal. With respect to the Class P 

Combination Notes, the Class Q Combination Notes, the 

Class R Combination Notes, the Class S Combination Notes 

and the Class T Combination Notes, the ratings assigned by 

S&P do not address the likelihood of such Class being 

redeemed pursuant to Condition 7(b) (Optional Redemption), 

and in such event the ratings assigned by S&P would only 

address the principal amount of the relevant rated 

Component. 

A security rating is not a recommendation to buy, sell or 

hold securities and may be subject to revision, suspension or 

withdrawal at any time by the applicable rating agency. The 

ratings assigned by Moody's address the expected loss posed 

to investors by the legal final maturity. Moody's ratings 

address only the credit risks associated with the transaction. 

Other non-credit risks have not been addressed, but may 

have a significant effect on yield to investors. See "Rating 

of the Notes" and "Risk Factors". 

- 49 -

The Class F Subordinated Notes and the Class U 

Combination Notes are not rated. 

Authorised Denominations: 

Form, Registration and 

Transfer of the Notes: 

The Notes of each Class (including the Components of the 

Combination Notes) will be issued in denominations of 

€250,000 and integral multiples of €5,000 in excess thereof. 

The Notes of each Class sold in reliance on Regulation S of 

the Securities Act will initially be represented by a global 

note in bearer form of such Class (the "Reg S Global Note" 

and together the "Reg S Global Notes"). The Notes of each 

Class sold in reliance on Rule 144A of the Securities Act 

will initially be represented by a global note in bearer form 

of such Class (the "Rule 144A Global Note" and together 

the "Rule 144A Global Notes"). The Reg S Global Notes 

and the Rule 144A Global Notes are collectively, the 

"Global Notes". The Global Notes will be deposited with 

or to the order of J.P. Morgan Bank Luxembourg S.A. as 

depository (the "Depository") on or about the Closing Date 

pursuant to a depository agreement (the "Depository 

Agreement"). 

The Depository will issue a certificated depository interest in 

respect of each Global Note (each certified depository 

interest, a "CDI") to a common depository for Euroclear 

and Clearstream, Luxembourg (a "Common Depository"). 

The Depository, acting as agent of the Issuer, will maintain 

a book-entry system in which it will register the common 

depository for Euroclear and Clearstream, Luxembourg or 

its nominee as owner of the certificated depository interests. 

Transfers of all or any portion of the interest in the Global 

Notes may be made only through the book-entry system 

maintained by the Depository. Each of Euroclear and 

Clearstream, Luxembourg or their respective nominee will 

record the beneficial interests in the CDIs attributable to the 

relevant Global Notes ("Book-Entry Interests"). Book- 

Entry Interests in the CDIs will be shown on, and transfers 

thereof will be effected only through, records maintained in 

book-entry form by Euroclear or Clearstream, Luxembourg, 

and their respective participants. Except in the limited 

circumstances described under "Form of Notes - Issuance of 

Definitive Notes", the Notes will not be available in 

definitive form. Definitive Notes will be issued in 

registered form only. Transfers of interest in the Notes are 

subject to certain restrictions and must be made in 

- 50 -

accordance with the procedures set forth in the Trust Deed. 

See "Form of the Notes" and "Transfer Restrictions". 

Acts of Combination 

Noteholders: 

Governing Law: 

Listing and Trading: 

Tax Status: 

Certain ERISA 

Considerations: 

Additional Issuances: 

The Components of the Combination Notes will be treated 

as Notes of the Classes represented by such Components for 

the purposes of requests, demands, authorisations, 

directions, notices, consents, waivers or other actions. The 

holders of the Combination Notes shall be entitled to vote 

the Components of such Notes and the Combination Notes 

will not otherwise be entitled to vote. 

The Notes, the Trust Deed and all of the other Transaction 

Documents (apart from the OAT Strips Pledge Agreements 

and the Euroclear Pledge Agreement which will be governed 

by Belgian law and the Corporate Services Agreement which 

is governed by Irish law) will be governed by English law. 

Application has been made to the IFSRA, as competent 

authority under the Prospectus Regulations (which 

implemented the Prospectus Directive in Ireland), 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 traded on its regulated market. See 

"General Information". There is currently no market for the 

Notes and no assurance can be given that such a market will 

develop. See "Risk Factors – Limited Liquidity and 

Restrictions on Transfer". 

See "Tax Considerations". 

No Plan (as defined herein) is permitted to acquire or hold 

any of the Class E Notes or the Class F Subordinated Notes 

or the Combination Notes (including any interests in Class E 

Notes, the Class F Subordinated Notes or the Combination 

Notes). However, a Plan, subject to certain conditions set 

out herein, may acquire or hold any of the Class A Notes, 

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

See "Certain ERISA Considerations". 

The Issuer may issue and sell additional Notes and use the 

proceeds thereof to purchase additional Collateral Debt 

Obligations and, if applicable, enter into further Interest 

Rate Hedge Agreements and/or Currency Hedge 

Agreements, subject to the detailed conditions set out in 

Condition 17 (Additional Issuances). 

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RISK FACTORS 

An investment in the Notes of any Class involves certain risks, including risks relating to the 

Collateral securing such Notes and risks relating to the structure and rights of such Notes and 

the related arrangements. Prospective investors should carefully consider the following 

factors, in addition to the matters set forth elsewhere in this Prospectus, prior to investing in 

the Notes of any Class. 

1. GENERAL 

1.1 General 

It is intended that the Issuer will invest in securities and other financial assets with 

certain risk characteristics as described below and subject to the investment policies, 

restrictions and guidelines described in "The Portfolio" below. There can be no 

assurance that the Issuer's investments will be successful, that its investment objectives 

will be achieved, that the Noteholders will receive the full amounts payable by the 

Issuer under the Notes or that they will receive any return on their investment in the 

Notes. Prospective investors are therefore advised to review this entire Prospectus 

carefully and should consider, among other things, the risk factors set out in this 

section before deciding whether to invest in the Notes. Except as is otherwise stated 

below, such risk factors are generally applicable to all Classes of Notes, although the 

degree of risk associated with each Class of Notes will vary in accordance with its 

priority of payment. In particular, the priorities of payment of the Class A Notes are 

higher than priorities of payment of the Class B Notes, the Class C Notes, the Class D 

Notes, the Class E Notes and the Class F Subordinated Notes. 

1.2 Suitability 

Prospective purchasers of the Notes of any Class should ensure that they understand 

the nature of such Notes and the extent of their exposure to risk, that they have 

sufficient knowledge, experience and access to professional advisers to make their own 

legal, tax, accounting and financial evaluation of the merits and risks of investment in 

such Notes and that they consider the suitability of such Notes as an investment in the 

light of their own circumstances and financial condition. 

1.3 Combination Notes 

Each of the risk factors herein applies to the Combination Notes to the extent that the 

Components of such Combination Notes correspond to the Underlying Notes to which 

these risk factors apply. 

2. RELATING TO THE NOTES 

2.1 Limited Liquidity and Restrictions on Transfer 

There is currently no market for the Notes. Although the Initial Purchaser has advised 

the Issuer that it may make a market in the Notes, the Initial Purchaser is not obliged to 

do so, and any such market-making may be discontinued at any time without notice. 

- 52 -

There can be no assurance that any secondary market for any of the Notes will develop 

or, if a secondary market does develop, that it will provide the Noteholders with 

liquidity of investment or that it will continue for the life of such Notes. Consequently, 

a purchaser must be prepared to hold such Notes for an indefinite period of time or 

until the Maturity Date. In addition, no sale, assignment, participation, pledge or 

transfer of the Notes may be effected if, among other things, it would require any of 

the Issuer or any of their officers or directors to register under, or otherwise be subject 

to the provisions of, the Investment Company Act or any other similar legislation or 

regulatory action. Furthermore, the Notes will not be registered under the Securities 

Act or any state securities laws, and the Issuer has no plans, and is under no 

obligation, to register the Notes under the Securities Act. The Notes are subject to 

certain transfer restrictions and can be transferred only to certain transferees. See 

"Plan of Distribution" and "Transfer Restrictions". Such restrictions on the transfer of 

the Notes may further limit their liquidity. Application has been made to the IFSRA, 

as competent authority under the Prospectus Regulations (which implemented the 

Prospectus Directive in Ireland), 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 traded on its regulated market. 

2.2 Limited Recourse Obligations 

The Notes will be limited recourse obligations of the Issuer and will be payable solely 

from the Collateral pledged by the Issuer to secure the Notes. None of the Portfolio 

Manager, the Noteholders, the Initial Purchaser, the Trustee, the Collateral 

Administrator, the Depository or any Affiliates of any of the foregoing or the Issuer's 

Affiliates or any other person or entity will be obliged to make payments on the Notes. 

Consequently, Noteholders must rely solely on distributions on the Collateral pledged 

to secure the Notes for the payment of principal, interest and premium, if any, thereon. 

If distributions on the Collateral are insufficient to make payments on the Notes, no 

other assets (and, in particular, no assets of the Portfolio Manager, the Noteholders, 

the Initial Purchaser, the Trustee, the Collateral Administrator, the Depository or any 

Affiliates of any of the foregoing) will be available for payment of the deficiency and 

following realisation of the Collateral pledged to secure the Notes, the obligations of 

the Issuer to pay such deficiency shall be extinguished. 

In addition, none of the Noteholders, the Trustee or any other Transaction Creditor 

(including any Secured Party) (nor any person on behalf of any of them) shall be 

entitled to institute against the Issuer, or join in any institution against the Issuer, any 

bankruptcy, reorganisation, examinership, arrangement, insolvency, winding-up or 

liquidation proceedings or other proceedings under any applicable bankruptcy or 

similar law in connection with any obligations of the Issuer relating to the Notes, the 

Trust Deed or any Transaction Document relating thereto, save for lodging a claim in 

the liquidation of the Issuer which is initiated by another party or taking proceedings to 

obtain a declaration or judgment as to the obligations of the Issuer in relation thereto. 

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2.3 Subordination Generally 

The Class B Notes will be subordinated to the Class A Notes; the Class C Notes will 

be subordinated to the Class A Notes and the Class B Notes; the Class D Notes will be 

subordinated to the Class A Notes, the Class B Notes and the Class C Notes; the Class 

E Notes will be subordinated to the Class A Notes, the Class B Notes, the Class C 

Notes and the Class D Notes; and the Class F Subordinated Notes will be subordinated 

to the Rated Notes. The risk of delays in payments or ultimate non-payment of 

principal and/or interest will be borne disproportionately by the holders of the Class F 

Subordinated Notes as compared to the Notes of each other Class, and as among the 

holders of the other Classes of Notes will be borne disproportionately by the holders of 

more junior Classes of Notes as compared to the more senior Classes of Notes. In 

addition, to the extent described herein, payments of interest on the Class C Notes, the 

Class D Notes and the Class E Notes may be deferred to the extent there are not 

sufficient Interest Proceeds and/or Principal Proceeds available to pay such interest in 

accordance with the Priorities of Payment and such deferral of interest will not 

constitute an Event of Default under the Notes at any time whilst any more senior 

Classes of Notes remain Outstanding. Any such deferral would increase the effect of 

the subordination of the Class F Subordinated Notes and of the Classes of Notes in 

respect of which payment was deferred. Non-payment of interest on any of the 

Combination Notes will only affect such Combination Notes to the extent that the 

corresponding Components of such Combination Notes are affected as described 

above. 

The Trust Deed provides that in the event of any conflict of interest between the 

Class A Noteholders, the Class B Noteholders, the Class C Noteholders, the Class D 

Noteholders, the Class E Noteholders and the Class F Subordinated Noteholders, the 

interests of the Controlling Class (as defined below) will prevail. If the holders of the 

Controlling Class do not have an interest in the outcome of the conflict, the Trustee 

shall give priority to the interests of (i) the Class B Noteholders over the Class C 

Noteholders, the Class D Noteholders, the Class E Noteholders and the Class F 

Subordinated Noteholders, (ii) the Class C Noteholders over the Class D Noteholders, 

the Class E Noteholders and the Class F Subordinated Noteholders, (iii) the Class D 

Noteholders over the Class E Noteholders and the Class F Subordinated Noteholders, 

(iv) the Class E Noteholders over the Class F Subordinated Noteholders. In addition, 

the Trust Deed provides that in the event of any conflict of interest between the 

Noteholders and any other Secured Party, the interests of the Noteholders will prevail. 

The Trustee shall treat the following as a single Class (i) the holders of the Class A-1 

Notes (the "Class A-1 Noteholders") and the holders of the Class A-2 Notes (the 

"Class A-2 Noteholders"), (ii) the holders of the Class C-1 Notes (the "Class C-1 

Noteholders") and the holders of the Class C-2 Notes (the "Class C-2 Noteholders") 

and (iii) the holders of the Class D-1 Notes (the "Class D-1 Noteholders") and the 

holders of the Class D-2 Notes (the "Class D-2 Noteholders") except in relation to any 

matter which, in the Trustee’s opinion, gives or may give rise to a conflict between, as 

the case may be, the interests of the Class A-1 Noteholders and the Class A-2 

- 54 -

Noteholder or the interests of the Class C-1 Noteholders and the interests of the Class 

C-2 Noteholders or the interests of the Class D-1 Noteholders and the interests of the 

Class D-2 Noteholders, in which event the Trustee shall seek instructions from, as the 

case may be, each Class of the Class A-1 Noteholders and the Class A-2 Noteholders, 

the Class C-1 Noteholders and the Class C-2 Noteholders or the Class D-1 Noteholders 

and the Class D-2 Noteholders and shall require the approval of each such Class of 

Noteholders before approving any such matter. 

If proceeds from the sale of the Collateral are insufficient to make payments on the 

Notes, no other assets (and, in particular, no assets of the Portfolio Manager, the 

Noteholders, the Initial Purchaser, the Trustee, the Collateral Administrator, the 

Depository, any Hedge Counterparty or any Affiliates of any of the foregoing) will be 

available for payment of the deficiency and, following realisation of the Collateral 

pledged to secure the Notes, the obligations of the Issuer to pay such deficiency shall 

be extinguished. 

2.4 Subordination of Class F Subordinated Notes 

Payments on the Class F Subordinated Notes both prior to and following enforcement 

of the security over the Collateral are subordinated to payments in respect of the Rated 

Notes and to payment of certain fees and other amounts payable by the Issuer in 

accordance with the Priorities of Payment. Any payments will be paid on an available 

funds basis only, to the extent that there are Interest Proceeds and Principal Proceeds 

available, semi-annually on each Payment Date following payment of interest on the 

Rated Notes whilst any such Notes remain Outstanding and the fees, expenses and 

other amounts set out in paragraphs (A) to (CC) of Condition 3(c)(ii) (Application of 

Interest Proceeds). 

As referred to under "Subordination Generally" above, the risk of delays in payments 

or ultimate non-payment of principal and/or interest will be borne disproportionately by 

the holders of the Class F Subordinated Notes as compared to the Notes of each other 

Class. 

In the event of any redemption or repayment in whole of the Rated Notes pursuant to 

Condition 7(b) (Optional Redemption) or acceleration thereof, the Class F Subordinated 

Notes may also be redeemed and the Portfolio will be liquidated. Liquidation of the 

Portfolio at such time and/or the remedies pursued by the Trustee upon enforcement of 

the Security over the Collateral could be adverse to the interests of the holders of the 

Class F Subordinated Notes. 

2.5 Subordination of Combination Notes 

For the purposes of subordination, the Combination Notes shall not be treated as a 

separate Class but Components of the Combination Notes will be treated as Notes of 

the Classes to which such Components relate. 

2.6 Payments of Interest and Principal on the Notes 

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There can be no assurance that the distributions on the Portfolio and other Collateral 

securing the Notes will be sufficient to enable the Issuer to make payments of interest 

and principal on the Notes after making payments which rank senior to such payments 

pursuant to the Priorities of Payment, including, in the case of the Class B Notes, 

payments in respect of the Class A Notes, in the case of the Class C Notes, payments 

in respect of the Class A Notes and the Class B Notes, in the case of the Class D 

Notes, payments in respect of the Class A Notes, the Class B Notes and the Class C 

Notes, in the case of the Class E Notes, payments in respect of the Class A Notes, the 

Class B Notes, the Class C Notes and the Class D Notes and, in the case of the Class F 

Subordinated Notes, payments in respect of each other Class of Rated Notes. The 

Issuer's ability to make payments of interest and principal in respect of the Notes will 

be constrained by (a) the effects of operation of the Priorities of Payment, (b) the level 

of distributions received in respect of the Portfolio and other Collateral securing the 

Notes (see "Nature of the Collateral" below) and (c) in certain circumstances, by the 

interest rate mismatch described under "Interest Rate Risk" and/or by the currency 

mismatch described under "Currency Risk". In addition, in certain circumstances, 

including the breach of any Coverage Test, Interest Proceeds that would otherwise 

have been available for the payment of interest on the Notes may be used to redeem the 

Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes or the Class E 

Notes, depending on the Coverage Test or Tests so breached. See Condition 3(c)(ii) 

(Application of Interest Proceeds) and Condition 3(c)(iii) (Application of Principal 

Proceeds). Any failure to pay interest on the Class C Notes and/or the Class D Notes 

and/or the Class E Notes when due will not be an Event of Default for so long as any 

of the Class A Notes or the Class B Notes remain Outstanding. Any failure to pay 

interest on the Class C Notes and/or the Class D Notes and/or the Class E Notes when 

due will be an Event of Default in circumstances where the Class A Notes and the 

Class B Notes have been repaid in full. 

2.7 Net Proceeds Less Than Aggregate Principal Amount of the Notes 

It is anticipated that the proceeds received by the Issuer on the Closing Date from the 

issuance of the Notes, net of certain fees and expenses, will be less than the Aggregate 

Principal Amount of the Notes. Consequently, it is anticipated that on the Closing 

Date the proceeds of the Collateral will be insufficient to redeem the Notes in full upon 

the occurrence of an Event of Default on or about that date. 

2.8 Payments of Interest and Principal on the Class F Subordinated Notes 

There can be no assurance that the distributions on the Portfolio and other Collateral 

securing the Notes will be sufficient to make payments of interest or principal on the 

Class F Subordinated Notes after making payments which rank senior to such payments 

pursuant to the Priorities of Payment, including payments in respect of the Rated 

Notes. The Issuer's ability to make payments of interest and principal in respect of the 

Class F Subordinated Notes will be constrained by the terms of the Rated Notes, by the 

level of distributions received in respect of the Portfolio and other Collateral securing 

the Notes (see "Relating to the Collateral" below) and, in certain circumstances, by the 

- 56 -

interest rate mismatch described under "Interest Rate Risk; Floating Rate Indices for 

Collateral Debt Obligations" and/or by the currency rate mismatch described under 

"Currency Risk". If distributions on the Portfolio and the other Collateral are 

insufficient to make payments on the Class F Subordinated Notes, no other assets will 

be available for payment of such deficiency. See "Limited Recourse Obligations" 

above. No interest may therefore be payable on the Class F Subordinated Notes for an 

unlimited period of time to maturity. 

2.9 Mandatory Redemption of the Notes upon Breach of Coverage Tests 

In certain circumstances, including breach of Coverage Tests, Interest Proceeds and 

thereafter Principal Proceeds (solely to the extent not designated for reinvestment) may 

be applied in redemption of the Notes in accordance with the Priorities of Payment to 

the extent required to cause any Coverage Test so breached to be satisfied if 

recalculated following such redemption. This could result in an elimination, deferral 

or reduction of interest and/or principal payments made to the holders of the Class B 

Notes, Class C Notes, Class D Notes, Class E Notes and/or the Class F Subordinated 

Notes, as the case may be, and, in the case of application of Principal Proceeds in 

redemption of the Notes during the Reinvestment Period rather than in reinvestment in 

Substitute Collateral Debt Obligations, may also reduce the leverage ratio of the 

Class F Subordinated Notes to the Collateral which could adversely impact the level of 

the returns to the holders of the Class F Subordinated Notes and will affect the average 

life of the Notes redeemed to satisfy the Coverage Tests. 

2.10 Optional Redemption and Volatility of Portfolio Market Value 

A form of liquidity for the Class F Subordinated Notes is the optional redemption 

provision set out in Condition 7(b)(i) (Redemption at the Option of the Class F 

Subordinated Noteholders). There can be no assurance however that such optional 

redemption provision will be capable of exercise in accordance with the conditions set 

out in Condition 7(b)(ii) (Conditions to Optional Redemption). The market value of the 

Collateral Debt Obligations may fluctuate, with, among other things, changes in 

prevailing interest rates, general economic conditions, the conditions of financial 

markets, European and international political events, events in the home countries of 

the obligors of the Collateral Debt Obligations, developments or trends in any 

particular industry and the financial condition of such obligors. The secondary market 

for leveraged loans is still limited. See "Nature of the Collateral" below. A decrease 

in the market value of the Portfolio would adversely affect the amount of proceeds 

which could be realised upon liquidation of the Portfolio and ultimately the ability of 

the Issuer to redeem the Class F Subordinated Notes pursuant to the right of optional 

redemption set out in Condition 7(b)(i) (Redemption at the Option of the Class F 

Subordinated Noteholders) due to the threshold requirements set out therein. There 

can be no assurance that, upon any such redemption, the proceeds realised would 

permit any payment on the Class F Subordinated Notes after required payments are 

made in respect of the Rated Notes and the other creditors of the Issuer which rank in 

priority to the holders of the Subordinated Notes pursuant to the Priorities of Payment. 

- 57 -

2.11 Effective Date Rating Event 

The Issuer will request each of the Rating Agencies to confirm, within 60 days of the 

Effective Date, that it has not reduced or withdrawn the ratings assigned on the Closing 

Date to the Rated Notes. If the ratings on the Notes are not confirmed within 60 days 

of the Effective Date (because, for example, the Portfolio Manager on behalf of the 

Issuer is unable to purchase a portfolio of Collateral Debt Obligations meeting the 

Collateral Quality Tests and the Coverage Tests set forth herein by the Effective Date) 

and not reinstated by the Business Day prior to the next Payment Date, the Issuer is 

required to apply Interest Proceeds and Principal Proceeds to the redemption of the 

Class A Notes, then of the Class B Notes, then of the Class C Notes, then of the 

Class D Notes and then of the Class E Notes on each Payment Date following the 

Effective Date, until such Notes are redeemed in full or, if earlier, until each Rating 

Agency confirms in writing that each such rating assigned on the Closing Date is 

reinstated. 

2.12 Volatility of Class F Subordinated Notes 

The Class F Subordinated Notes represent a leveraged investment in the underlying 

Collateral Debt Obligations. It is therefore anticipated that changes in the market value 

of the Class F Subordinated Notes will be greater than changes in the market value of 

the underlying Collateral Debt Obligations, the obligations comprising which are 

subject to the credit, liquidity, interest rate and currency exchange rate risks discussed 

elsewhere herein. 

2.13 Security 

Clearing Systems: The Collateral Debt Obligations which are securities will be held by 

the Custodian. The Custodian will hold such assets which can be cleared through 

Euroclear in a pledged account with Euroclear (the "Euroclear Pledged Account") 

unless the Trustee otherwise consents and will hold the other securities comprising the 

Portfolio which cannot be so cleared (i) through its accounts with Clearstream, 

Luxembourg or any other clearing system and (ii) through its sub-custodians who will 

in turn hold such assets both directly and through any appropriate clearing system. 

Those assets held in clearing systems (and not held in the Euroclear Pledged Account) 

will not be held in special purpose accounts and will be fungible with other securities 

from the same issue held in the same accounts on behalf of the other customers of the 

Custodian or its sub-custodian, as the case may be. A first fixed charge over the 

Portfolio will be created under English law pursuant to the Trust Deed on the Closing 

Date and may take effect as a security interest over the right of the Issuer to require 

delivery of such assets or equivalent from the Custodian in accordance with the terms 

of the Agency Agreement (as defined in the Conditions) which may expose the Secured 

Parties to the insolvency of the Custodian or its sub-custodian. 

The Collateral Debt Obligations which are securities held by the Custodian through the 

Euroclear Pledged Account will be the subject of a commercial pledge under Belgian 

law created by the Issuer pursuant to the Euroclear Pledge Agreement on the Closing 

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Date. The effect of this security interest will be to enable the Custodian, on 

enforcement, to sell the securities in the Euroclear Pledged Account on behalf of the 

Trustee. The Euroclear Pledge Agreement will not entitle the Trustee to require 

delivery of the relevant securities from the depositary or depositaries that have physical 

custody of such securities or allow the Trustee to dispose of such securities directly. 

In any event, the charge created pursuant to the Trust Deed and the security created by 

the Euroclear Pledge Agreement and/or the OAT Strips Pledge Agreements may be 

insufficient or ineffective to secure the Collateral Debt Obligations or the OAT Strips, 

respectively, which are securities for the benefit of Noteholders, particularly in the 

event of any insolvency or liquidation of the Custodian or any sub-custodian that has 

priority over the right of the Issuer to require delivery of such assets from the 

Custodian in accordance with the terms of the Agency Agreement. In addition, 

custody and clearance risks may be associated with assets comprising the Portfolio that 

do not clear through Euroclear or Clearstream, Luxembourg. There is a risk, for 

example, that such securities could be counterfeit, or subject to a defect in title or 

claims to ownership by other parties. 

Any risk of loss arising from any insufficiency or ineffectiveness of the security for the 

Notes must be borne by the Noteholders without recourse to the Issuer, the Trustee, 

the Portfolio Manager, the Collateral Administrator, the Custodian or any other party. 

Fixed Security: Although the security constituted by the Trust Deed over the Collateral 

held from time to time, including the security over the Accounts, is expressed to take 

effect as a fixed charge, it may (as a result of, among other things, the substitutions of 

Collateral Debt Obligations or Eligible Investments contemplated by the Portfolio 

Management Agreement and the payments to be made from the Accounts in accordance 

with the Conditions and the Trust Deed) take effect as a floating charge which, in 

particular, would rank after a subsequently created fixed charge. However, the Issuer 

has covenanted in the Trust Deed not to create any such subsequent charges without the 

consent of the Trustee. 

2.14 Book-Entry Interests 

Unless and until Definitive Notes are issued in exchange for the Book-Entry Interests 

in the limited circumstances set out in the Global Notes, holders and beneficial owners 

of Book-Entry Interests will not be considered the legal owners or holders of Notes 

under the Trust Deed. After payment to the Principal Paying Agent and payment by 

the Principal Paying Agent to the Depository, the Issuer will not have responsibility or 

liability for the payment of interest, principal or other amounts to the Common 

Depository or to holders or beneficial owners of Book-Entry Interests. The Depository 

or its nominee will be the sole legal Noteholder under the Trust Deed while the Notes 

are represented by the Global Notes. Accordingly, each person owning a Book-Entry 

Interest must rely on the relevant procedures of the Depository, Euroclear and 

Clearstream, Luxembourg and, if such person is not a Participant (as defined below in 

"Form of the Notes") in such entities, on the procedures of the Participant or Indirect 

- 59 -

Participants (as defined below in "Form of the Notes") through which such person 

owns its interest, to exercise any right of a Noteholder under the Trust Deed. 

Payments of principal and interest on, and other amounts due in respect of, the Global 

Notes will be made to the Depository (as holder of the Global Note), which will in turn 

distribute payments to the nominee of the Common Depository. Upon receipt of any 

payment from the Depository, Euroclear and Clearstream, Luxembourg as applicable, 

will promptly credit Participants' accounts with payment in amounts proportionate to 

their respective ownership of Book-Entry Interests, as shown on their records. The 

Issuer expects that payments by Participants or Indirect Participants to owners of 

interests in Book-Entry Interests held through such Participants or Indirect Participants 

will be governed by standing customer instructions in bearer form or registered in 

"street name", and will be the responsibility of such Participants or Indirect 

Participants. None of the Issuer, the Trustee, the Depository, any Paying Agent or the 

Registrar (as defined in the Conditions) will have any responsibility or liability for any 

aspect of the records relating to, or payments made on account of, the Book-Entry 

Interests or for maintaining, supervising or reviewing any records relating to such 

Book-Entry Interests. 

Unlike Noteholders, holders of the Book-Entry Interests will not have the right under 

the Trust Deed to act upon solicitations by or on behalf of the Issuer or consents or 

requests by or on behalf of the Issuer for waivers or other actions from Noteholders. 

Instead, a holder of Book-Entry Interests will be permitted to act only to the extent it 

has received appropriate proxies to do so from Euroclear or Clearstream, Luxembourg 

(as the case may be) and, if applicable, their Participants. There can be no assurance 

that procedures implemented for the granting of such proxies will be sufficient to 

enable holders of Book-Entry Interests to vote on any requested actions on a timely 

basis. Similarly, upon the occurrence of an Event of Default under the Notes, holders 

of Book-Entry Interests will be restricted to acting through Euroclear, Clearstream, 

Luxembourg and the Depository unless and until Definitive Notes are issued in 

accordance with the relevant provisions described herein under the "Conditions of the 

Notes". There can be no assurance that the procedures to be implemented by 

Euroclear, Clearstream, Luxembourg and the Depository under such circumstances 

will be adequate to ensure the timely exercise of remedies under the Trust Deed. 

Although Euroclear and Clearstream, Luxembourg have agreed to certain procedures 

to facilitate transfers of Book-Entry Interests among the Participants, they are under no 

obligation to perform or continue to perform such procedures, and such procedures 

may be discontinued at any time. None of the Issuer, the Trustee or any of their agents 

will have any responsibility for the performance of Euroclear or Clearstream, 

Luxembourg or their respective Participants of their respective obligations under the 

rules and procedures governing their operations. 

Because transactions in respect of Book-Entry Interests will be effected only through 

Euroclear and/or Clearstream, Luxembourg, Participants or Indirect Participants in 

Euroclear's and Clearstream, Luxembourg's book-entry system, the ability of a holder 

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of such a Book-Entry Interest to pledge such interest to persons or entities that do not 

participate in Euroclear and/or Clearstream, Luxembourg, or otherwise to take actions 

in respect of such interests, may be limited due to the lack of physical security 

representing such interest. 

Certain transfers of Book-Entry Interests therein may only be effected in accordance 

with, and subject to, certain transfer restrictions and certification requirements. See 

"Transfer Restrictions". 

2.15 ERISA Considerations 

A Plan may, subject to certain conditions set out herein, acquire or hold any of the 

Class A Notes, the Class B Notes, the Class C Notes or the Class D Notes. In general, 

the Issuer intends to restrict the acquisition of Class E Notes, the Class F Subordinated 

Notes and the Combination Notes so that no Plan may purchase such Notes or any 

interest therein. 

See "Certain ERISA Considerations." 

2.16 Future Ratings of the Rated Notes Not Assured and Limited in Scope 

It is a condition to the issuance of the Notes that the following Classes of Notes be 

issued with at least the following ratings from S&P and Moody's, respectively: the 

Class A-1 Notes: AAA and Aaa; Class A-2A Notes: AAA and Aaa; Class A-2B Notes: 

AAA and Aa1; the Class B Notes: AA and Aa2; the Class C-1 Notes: A and A2; the 

Class C-2 Notes: A and A2; the Class D-1 Notes: BBB and Baa2; the Class D-2 Notes: 

BBB and Baa2; the Class E Notes: BB and Ba2; the Class P Combination Notes: A by 

S&P only; the Class Q Combination Notes: BBB by S&P only; the Class R 

Combination Notes: AAA by S&P only; the Class S Combination Notes: AA by S&P 

only; the Class T Combination Notes: AAA by S&P only. The ratings assigned by 

S&P to the Class A Notes and the Class B Notes address the timely payment of interest 

and the ultimate payment of principal. The ratings assigned by Moody's to the Class A 

Notes and the Class B Notes address the expected loss posed to the investors by the 

legal final maturity date. In Moody's opinion, the structure allows for the timely 

payment of interest and the ultimate payment of principal with respect to the Class A 

Notes and the Class B Notes by the legal final maturity date. The ratings assigned by 

S&P to the Class C Notes, the Class D Notes and the Class E Notes address the 

ultimate payment of principal and interest. The ratings assigned by Moody's to the 

Class C Notes, the Class D Notes and the Class E Notes address the expected loss 

posed to the investors by the legal final maturity date. In Moody's opinion, the 

structure allows for the ultimate payment of principal and interest with respect to the 

Class C Notes, the Class D Notes and the Class E Notes by the legal final maturity 

date. In addition, the ratings assigned by Moody's to the Rated Notes address the 

expected loss posed to the investors by the currency exchange risk in respect of Non- 

Euro Obligations. The ratings assigned by S&P to the Class P Combination Notes, the 

Class Q Combination Notes, the Class R Combination Notes, the Class S Combination 

Notes and the Class T Combination Notes apply only to the ultimate payment of 

- 61 -

principal. With respect to the Class P Combination Notes, the Class Q Combination 

Notes, the Class R Combination Notes, the Class S Combination Notes and the Class T 

Combination Notes, the ratings assigned by S&P do not address the likelihood of such 

Class being redeemed pursuant to Condition 7(b) (Optional Redemption), and in such 

event the ratings assigned by S&P would only address the principal amount of the 

relevant rated Component. The Class F Subordinated Notes will not be rated. For the 

avoidance of doubt, the ratings of the Combination Notes address the terms of the 

Combination Notes, including the terms on which amounts are due and payable in 

respect thereof, on the basis that the terms of the Combination Notes depend on the 

Conditions of the Components thereof and, accordingly, such ratings do not address the 

payment of interest in respect of the Combination Notes other than in respect of such 

payments of interest as may be made pursuant to the Conditions of the Components 

thereof. 

A security rating is not a recommendation to buy, sell or hold any of the Notes, 

inasmuch as such rating does not comment as to market price or suitability for a 

particular investor. The ratings assigned by Moody's address the expected loss posed 

to investors by the legal final maturity date. Moody's ratings address only the credit 

risks associated with this transaction. Other non-credit risks have not been addressed, 

but may have a significant effect on yield to investors. There is no assurance that a 

rating will remain for any given period of time or that a rating will not be lowered or 

withdrawn entirely by a Rating Agency if, in its judgement, circumstances in the future 

so warrant. In the event that a rating initially assigned to any of the Rated Notes is 

subsequently lowered for any reason, no person or entity is required to provide any 

additional support or credit enhancement with respect to any such Notes. 

2.17 Average Life and Prepayment Considerations 

The Maturity Date of the Notes is January 2021 (subject to adjustment for Business 

Days); however, the principal of the Notes of each Class (including the Components of 

the Combination Notes) is expected to be paid in full prior to the Maturity Date and as 

such the average life of each Class of Notes is expected to be shorter than the number 

of years until its respective Maturity Date. The average lives of the Notes will be 

determined by the amount and frequency of principal payments, which are dependent 

upon, among other things, the amount of sinking fund payments and any other 

payments received at or in advance of the scheduled maturity of the Collateral Debt 

Obligations (whether through sale, maturity, redemption, default or other liquidation or 

disposition). The actual average lives and actual maturities of the Notes will be 

affected by the financial condition of the issuers of the underlying Collateral Debt 

Obligations and the characteristics of such securities, including the existence and 

frequency of exercise of any optional or mandatory redemption features, the prevailing 

level of interest rates and currency exchange rates, the redemption price, the actual 

default rate, the actual level of recoveries on any Defaulted Obligations and the timing 

of defaults and recoveries, and the frequency of tender or exchange offers for such 

Collateral Debt Obligations. Substantially all of the Collateral Debt Obligations are 

expected to be subject to sinking fund payments or optional redemption or prepayment 

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y the issuer of such securities. Any disposition of a Collateral Debt Obligation may 

change the composition and characteristics of the Portfolio and the rate of payment 

thereon and, accordingly, may affect the actual average lives of the Notes. The rate of 

and timing of future defaults and the amount and timing of any cash realisation from 

Defaulted Obligations also will affect the maturity and average lives of the Notes. The 

ability of the Portfolio Manager, acting on behalf of the Issuer, to reinvest any 

Principal Proceeds in the manner described under "The Portfolio – Management of the 

Portfolio" and the decisions made regarding whether or not to reinvest such proceeds 

will also affect the average lives of the Notes. If the Portfolio Manager, on behalf of 

the Issuer, is unable to purchase a portfolio of Collateral Debt Obligations meeting the 

Collateral Quality Tests and the Coverage Tests set forth herein by the Effective Date 

and an Effective Date Rating Downgrade occurs, the Issuer is required to apply Interest 

Proceeds and Principal Proceeds to pay principal on the Notes in accordance with the 

Priorities of Payment until such ratings are reinstated. See "Effective Date Ratings; 

Early Redemption" below. 

2.18 No Gross-Up 

In the event that any withholding tax or deduction for tax is imposed on payments of 

interest on the Notes, the holders of the Notes will not be entitled to receive grossed-up 

amounts to compensate for such withholding tax and no Event of Default shall occur as 

a result of any such withholding or deduction. 

3. RELATING TO THE COLLATERAL 

3.1 The Portfolio 

Neither the Issuer, nor the Initial Purchaser have made any investigation into the 

obligors of the Collateral Debt Obligations. The value of the Portfolio may fluctuate 

from time to time (as a result of substitution or otherwise) and none of the Issuer, the 

Trustee, the Initial Purchaser, the Custodian, the Portfolio Manager, the Depository, 

the Collateral Administrator, the Currency Hedge Counterparties or the Interest Rate 

Hedge Counterparties are under any obligation to maintain the value of the Collateral 

Debt Obligations at any particular level. None of the Issuer, the Trustee, the 

Custodian, the Portfolio Manager, the Depository, the Collateral Administrator, the 

Currency Hedge Counterparties, the Interest Rate Hedge Counterparties, the Initial 

Purchaser, or any of their respective Affiliates has any liability to the Noteholders as to 

the amount or value of, or any decrease in the value of, the Collateral Debt Obligations 

from time to time. 

3.2 Counterparty Risk 

Participations, Synthetic Securities, Offsetting Credit Default Swaps, Credit Short 

Obligations, Hedge Agreements, Currency Hedge Agreements, Interest Rate Hedge 

Agreements and Securities Lending Agreements involve the Issuer entering into 

contracts with counterparties. Pursuant to such contracts, the counterparties agree to 

make payments to the Issuer under certain circumstances as described therein. The 

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Issuer will be exposed to the credit risk of the counterparty with respect to any such 

payments. Each such counterparty (or its credit support provider) is required to have a 

rating of at least the applicable Rating Requirement. 

3.3 Purchase of Collateral Debt Obligations Prior to the Closing Date 

The Issuer intends to enter into binding commitments to purchase a substantial portion 

of the initial Portfolio prior to the Closing Date and to use the proceeds of the issuance 

of the Notes to settle such trades on the Closing Date. The prices paid for such 

Collateral Debt Obligations at settlement on the Closing Date will be equal to the 

original prices paid for such Collateral Debt Obligations on the date the Issuer's 

commitment to purchase such obligations became effective, which may be greater or 

less than their market value on the Closing Date. 

3.4 Nature of Non-Investment Grade Collateral; Defaults and Volatility 

The Issuer will invest in a portfolio of Collateral Debt Obligations notably consisting at 

the time of acquisition of loans and high yield securities, primarily rated below 

investment grade (or of equivalent credit quality) and Synthetic Securities, in respect of 

which the underlying Reference Obligations are issued by non-investment grade 

obligors, all of which will have greater credit and liquidity risk than investment grade 

sovereign or corporate bonds or loans. The Collateral is subject to credit, liquidity and 

interest rate risks. 

The market value of the Collateral Debt Obligations will generally fluctuate with, 

among other things, changes in prevailing interest rates, currency exchange rates, 

general economic conditions, the condition of certain financial markets (including, 

particularly, the market for high yield debt obligations), international political events, 

developments or trends in any particular industry and the financial condition of the 

borrowers or issuers, as the case may be, of the Collateral Debt Obligations. The 

public market for high yield debt obligations, in particular, has experienced periods of 

volatility and periods of reduced liquidity. High yield debt securities are generally 

unsecured (and loans may be unsecured) and may be subordinated to certain other 

obligations of the relevant issuer (or borrower). The lower rating of high yield 

securities and below investment grade loans reflects a greater possibility that adverse 

changes in the financial condition of an issuer or borrower or in general economic 

conditions or both may impair the ability of the relevant borrower or issuer, as the case 

may be, to make payments of principal or interest. Such investments may be 

speculative. See "The Portfolio". 

A decrease in the market value of the Collateral Debt Obligations would adversely 

affect the Sale Proceeds that could be obtained upon the sale of the Collateral Debt 

Obligations and could, ultimately, affect the ability of the Issuer to effect an optional 

redemption of the Notes or pay the principal of the Notes upon a liquidation of the 

Collateral Debt Obligations following the occurrence of an Event of Default. 

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Due to the fact that Class F Subordinated Notes represent a leveraged investment in the 

underlying Collateral Debt Obligations, it is anticipated that changes in the market 

value of the Class F Subordinated Notes will be greater than changes in the market 

value of the underlying Collateral Debt Obligations. 

The offering of the Notes has been structured so that the Notes can withstand certain 

assumed losses relating to defaults on the underlying Collateral Debt Obligations. See 

"Rating of the Notes". There is no assurance that actual losses will not exceed such 

assumed losses. If any losses 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 Obligation securing the Notes and the Issuer sells or 

otherwise disposes of such Collateral Debt Obligation, it is likely that the proceeds of 

such sale or disposition will be less than the unpaid principal and interest thereon. 

The financial markets have recently experienced substantial fluctuations in prices for 

loans and high yield debt securities and limited liquidity for such obligations. No 

assurance can be made that the conditions giving rise to such price fluctuations and 

limited liquidity will not continue or become more acute following the Closing Date. 

During periods of limited liquidity and higher price volatility, the Issuer's ability to 

acquire or dispose of Collateral Debt Obligations at a price and time that the Issuer 

deems advantageous may be impaired. As a result, in periods of rising market prices, 

the Issuer may be unable to participate in price increases fully to the extent that it is 

unable to acquire desired positions quickly; the Issuer's inability to dispose fully and 

promptly of positions in declining markets will conversely cause its net asset value to 

decline as the value of unsold positions is marked to lower prices. A decrease in the 

market value of the Collateral Debt Obligations would also adversely affect the Sale 

Proceeds that could be obtained upon the sale of the Collateral Debt Obligations and 

could ultimately affect the ability of the Issuer to pay in full or redeem the Notes. 

3.5 Nature of Non-Investment Grade Collateral; Amount and Timing of Payments 

Investment in the Notes of any Class involves a degree of risk arising from fluctuations 

in the amount and timing of receipt of the principal and interest on the Collateral Debt 

Obligations by or on behalf of the Issuer and the amounts of the claims of creditors of 

the Issuer ranking in priority to the holders of each Class of the Notes. In particular, 

prospective purchasers of such Notes should be aware that the amount and timing of 

payment of the principal and interest on the Collateral Debt Obligations will depend 

upon the detailed terms of the documentation relating to each of the Collateral Debt 

Obligations and on whether or not any obligor thereunder defaults in its obligations. 

3.6 Considerations Relating to the Investment Period 

During the Investment Period, the Portfolio Manager, acting on behalf of the Issuer, 

will seek to acquire additional Collateral Debt Obligations in order to meet certain 

target investment amounts and portfolio characteristics on the Effective Date. See "The 

Portfolio" above. The ability to meet such targets will depend on a number of factors 

beyond the Portfolio Manager's control, including the condition of certain financial 

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markets, general economic conditions and international political events and, thus, there 

can be no assurance that such targets will be met. In addition, the Portfolio Manager's 

ability to arrange for the Issuer's entry into additional Interest Rate Hedge Agreements 

upon the acquisition of additional Collateral Debt Obligations which bear interest at a 

fixed rate will also depend upon a number of factors outside the Portfolio Manager's 

control, including its ability to identify a suitable Interest Rate Hedge Counterparty 

with whom the Issuer may enter into additional Interest Rate Hedge Agreements. Any 

failure by the Portfolio Manager, acting on behalf of the Issuer, to arrange required 

additional Interest Rate Hedge Agreements or subsequent Currency Hedge Agreements 

or to meet the targets referred to above could result in an Effective Date Ratings 

Downgrade which could reduce the leverage ratio of the Class F Subordinated Notes to 

the other Classes of Notes which could adversely affect the level of returns to the 

holders of the Class F Subordinated Notes. 

3.7 Loan Market 

A substantial portion of the Collateral Debt Obligations is expected to consist of 

corporate loans, primarily rated below investment grade, extended to borrowers located 

in Western Europe or the United States. Such loans are typically negotiated by one or 

more commercial banks or other financial institutions and syndicated among a group of 

commercial banks and financial institutions. 

Corporate loans are typically at the most senior level of the capital structure, and are 

often secured by specific collateral, including but not limited to, trademarks, patents, 

accounts receivable, inventory, equipment, buildings, real estate, franchises and 

common and preferred stock of the obligor and its subsidiaries. The corporate loans 

expected to secure the Notes are of a type generally incurred by the borrowers 

thereunder in connection with a highly leveraged transaction, often to finance internal 

growth, acquisitions, mergers, stock purchases, or for other reasons. As a result of the 

additional debt incurred by the borrower in the course of the transactions, the 

borrower's creditworthiness is often judged by the rating agencies to be below 

investment grade. Certain of the loans comprised in the Collateral Debt Obligations 

may be subordinated to other obligations of the borrower. In order to induce the banks 

and institutional investors to invest in a borrower's loan facility, and to offer a 

favourable interest rate, the borrower often provides the banks and institutional 

investors with extensive information about its business, which is not generally available 

to the public. Because of the provision of confidential information, the unique and 

customised nature of a loan agreement, and the private syndication of the loan, loans 

are not as easily purchased or sold as a publicly traded security and historically the 

trading volume in the loan market has been small relative to the high yield bond 

market. 

Corporate loans often provide for restrictive covenants designed to limit the activities 

of the borrower in an effort to protect the rights of lenders to receive timely payments 

of interest on and repayment of principal of the loans. Such covenants may include 

restrictions on dividend payments, specific mandatory minimum financial ratios, limits 

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on total debt and other financial tests. A breach of covenant (after giving effect to any 

cure period) in a loan which is not waived by the lending syndicate normally is an 

event of acceleration which allows the syndicate to demand immediate repayment in 

full of the outstanding loan. 

Loans usually have shorter terms than more junior obligations and may require 

mandatory prepayments from excess cash flow, asset dispositions and offerings of debt 

and/or equity securities. 

The majority of corporate loans bear interest based on a floating rate index, the 

certificate of deposit rate, a prime or base rate (each, as defined in the applicable loan 

agreement) or other index, which may reset daily (as most prime or base rate indices 

do) or offer the borrower a choice of one, two, three, six, nine or twelve month 

interest and rate reset periods. The purchaser of a loan may receive certain syndication 

or participation fees in connection with its purchase. Other fees payable in respect of a 

loan, which are separate from interest payments on such loan, may include facility, 

commitment, amendment and prepayment fees. 

Purchasers of corporate loans are predominantly investment and commercial banks who 

have applied their experience in high yield securities to the commercial and industrial 

loan market, acting as both principal and broker. The range of investors for loans has 

broadened to include money managers, insurance companies, arbitrageurs, bankruptcy 

investors and mutual funds seeking increased potential total returns and portfolio 

managers of trusts or special purpose companies issuing collateralised bond and loan 

obligations. As secondary market trading volumes increase, new loans are frequently 

adopting more standardised documentation to facilitate loan trading which should 

improve market liquidity. There can be no assurance, however, that future levels of 

supply and demand in loan trading will provide the degree of liquidity which currently 

exists in the high yield debt securities market. 

3.8 High Yield Debt Securities Market 

A substantial portion, by principal amount, of the Collateral Debt Obligations securing 

the Notes may consist of high yield debt obligations primarily rated below investment 

grade. High yield debt securities are generally unsecured, may be subordinated to 

other obligations of the obligor and generally have greater credit and liquidity risk than 

is typically associated with investment grade corporate obligations. The lower rating 

of high yield debt securities reflects a greater possibility that adverse changes in the 

financial condition of the obligor or in general economic conditions (including a 

sustained period of rising interest rates or an economic downturn) may adversely affect 

the obligor's ability to repay principal and pay interest on its debt. Many issuers of 

high yield debt obligations are highly leveraged, and specific developments affecting 

such issuers, including reduced cash flow from operations or inability to refinance debt 

at maturity, may also adversely affect such issuers' ability to meet their debt service 

obligations. 

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High yield debt securities are often issued in connection with leveraged acquisitions or 

recapitalisations in which the issuers incur a substantially higher amount of 

indebtedness than the level at which they had previously operated. High yield debt 

securities have historically experienced greater default rates than has been the case for 

investment grade securities. Although several studies have been made of historical 

default rates in the high yield market, such studies do not necessarily provide a basis 

for drawing definitive conclusions with respect to default rates or for predicting future 

default rates. 

3.9 Risks relating to Senior Loans, Second Lien Loans and Mezzanine Obligations 

Senior Loans, Second Lien Loans and Mezzanine Obligations are of a type generally 

incurred by the Obligors thereunder in connection with highly leveraged transactions, 

often (although not exclusively) to finance internal growth, acquisitions, mergers 

and/or stock purchases. As a result of the additional debt incurred by the borrower in 

the course of such a transaction, the Obligor's creditworthiness is typically judged by 

the rating agencies to be below investment grade. Senior Loans are typically at the 

most senior level of the capital structure with Mezzanine Obligations being 

subordinated thereto or to any other senior debt of the Obligor. Senior Loans are often 

secured by specific collateral, including but not limited to, trademarks, patents, 

accounts receivable, inventory, equipment, buildings, real estate, franchises and 

common and preferred stock of the Obligor and its subsidiaries. Second Lien Loans 

and Mezzanine Obligations often have the benefit of a second charge over such assets. 

Senior Loans usually have shorter terms than more junior obligations and often require 

mandatory prepayments from excess cash flow, asset dispositions and offerings of debt 

and/or equity securities. 

Second Lien Loans and Mezzanine Obligations generally take the form of medium term 

loans repayable shortly (perhaps one to two years) after the Senior Loans of the 

Obligor thereunder. Because it is only repayable after the senior debt (and interest 

payments may be blocked to protect the position of senior debt interest in certain 

circumstances), it will carry a higher rate of interest to reflect the greater risk of it not 

being repaid. Due to the greater risk associated with Mezzanine Obligations as a result 

of their subordination below Senior Loans and potentially Second Lien Loans of the 

Obligor, mezzanine lenders are typically granted share options or warrants which can 

be exercised in certain circumstances, principally being immediately prior to the 

Obligor's shares being sold or floated in an initial public offering, or higher cash 

paying instruments or payment in kind in the Obligor which are payable according to 

their contractual terms. 

The majority of Senior Loans, Second Lien Loans and Mezzanine Obligations bear 

interest based on a floating rate index, for example EURIBOR, the certificate of 

deposit rate, a prime or base rate (each as defined in the applicable loan agreement) or 

other index, which may reset daily (as most prime or base rate indices do) or offer the 

borrower a choice of one, two, three, six, nine or twelve month interest and rate reset 

periods. The purchaser of an interest in a Senior Loan, Second Lien Loan or 

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Mezzanine Obligation may receive certain syndication or participation fees in 

connection with its purchase. Other fees payable in respect of a Senior Loan, Second 

Lien Loan or Mezzanine Obligation, which are separate from interest payments on 

such loan, may include facility, commitment, amendment and prepayment fees. 

Senior Loans, Second Lien Loans and Mezzanine Obligations also generally provide 

for restrictive covenants designed to limit the activities of the Obligors thereunder in an 

effort to protect the rights of lenders to receive timely payments of interest on, and 

repayment of, principal of the loans. Such covenants may include restrictions on 

dividend payments, specific mandatory minimum financial ratios, limits on total debt 

and other financial tests. A breach of covenant (after giving effect to any cure period) 

under a Senior Loan, Second Lien Loan or Mezzanine Obligation which is not waived 

by the lending syndicate normally is an event of acceleration which allows the 

syndicate to demand immediate repayment in full of the outstanding loan. 

In order to induce banks and institutional investors to invest in a Senior Loan, Second 

Lien Loan or Mezzanine Obligation, and to obtain a favourable rate of interest, an 

Obligor under such an obligation often provides the investors therein with extensive 

information about its business, which is not generally available to the public. Because 

of the provision of confidential information, the unique and customised nature of the 

loan agreement including such Senior Loan, Second Lien Loan or Mezzanine 

Obligation, and the private syndication of the loan, Senior Loans, Second Lien Loans 

and Mezzanine Obligations are not as easily purchased or sold as a publicly traded 

security, and historically the trading volume in the loan market has been small relative 

to, for example, the high yield bond market. Historically, investors in or lenders under 

European Senior Loans, Second Lien Loans and Mezzanine Obligations have been 

predominantly commercial banks and investment banks. The range of investors for 

such loans has broadened to include money managers, insurance companies, 

arbitrageurs, bankruptcy investors and mutual funds seeking increased potential total 

returns and portfolio managers of trusts or special purpose companies issuing 

collateralised bond and loan obligations. As secondary market trading volumes 

increase, new loans are frequently adopting more standardised documentation to 

facilitate loan trading which should improve market liquidity. There can be no 

assurance, however, that future levels of supply and demand in loan trading will 

provide the degree of liquidity which currently exists in the market. This means that 

such assets will be subject to greater disposal risk in the event that such assets are sold 

following enforcement of the security over the Collateral or otherwise. The European 

market for Second Lien Loans and Mezzanine Obligations is also generally less liquid 

than that for Senior Loans, resulting in increased disposal risk for such obligations. 

The fact that Second Lien Loans and Mezzanine Obligations are generally subordinated 

to any Senior Loan and potentially other indebtedness of the relevant Obligor 

thereunder, may have a longer maturity than such other indebtedness and will generally 

only have a second ranking security interest over any security granted in respect 

thereof, increases the risk of non-payment thereunder of such Second Lien Loans or 

Mezzanine Obligations in an enforcement situation. 

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Mezzanine Obligations may provide that all or part of the interest accruing thereon will 

not be paid on a current basis but will be deferred. Second Lien Loans and Mezzanine 

Obligations also generally involve greater credit and liquidity risks than those 

associated with investment grade corporate obligations and Senior Loans. They are 

often entered into in connection with leveraged acquisitions or recapitalisations in 

which the Obligors thereunder incur a substantially higher amount of indebtedness than 

the level at which they previously operated and, as referred to above, sit at a 

subordinated level in the capital structure of such companies. 

There is little historical data available as to the levels of defaults and/or recoveries that 

may be experienced on Second Lien Loans and Mezzanine Obligations and no 

assurance can be given as to the levels of default and/or recoveries that may apply to 

any Second Lien Loans or Mezzanine Obligations purchased by the Issuer. Recoveries 

on Senior Loans, Second Lien Loans and Mezzanine Obligations will also be affected 

by the different bankruptcy regimes applicable in different European jurisdictions and 

the enforceability of claims against the Obligors thereunder. See "Insolvency 

Considerations with Respect to Obligors of Collateral Debt Obligations" below. 

A non-investment grade loan or debt obligation or an interest in a non-investment grade 

loan is generally considered speculative in nature and may become a Defaulted 

Obligation for a variety of reasons. Upon any Collateral Debt Obligation becoming a 

Defaulted Obligation, such Defaulted Obligation may become subject to either 

substantial workout negotiations or restructuring, which may entail, among other 

things, a substantial reduction in the interest rate, a substantial write-down of principal 

and a substantial change in the terms, conditions and covenants with respect to such 

Defaulted Obligation. In addition, such negotiations or restructuring may be quite 

extensive and protracted over time, and therefore may result in uncertainty with respect 

to ultimate recovery on such Defaulted Obligation. The liquidity for Defaulted 

Obligations may be limited, and to the extent that Defaulted Obligations are sold, it is 

highly unlikely that the proceeds from such sale will be equal to the amount of unpaid 

principal and interest thereon. Furthermore, there can be no assurance that the ultimate 

recovery in any Defaulted Obligation will be at least equal either to the minimum 

recovery rate assumed by the Rating Agencies in rating the Notes or any recovery rate 

used in the analysis of the Notes that may have been prepared by the Lead Manager for 

or at the direction of the Noteholders. 

Loans are generally prepayable in whole or in part at any time at the option of the 

obligor thereof at par plus accrued and unpaid interest thereon. Prepayments on loans 

may be caused by a variety of factors, which are difficult to predict. Accordingly, 

there exists a risk that loans purchased at a price greater than par may experience a 

capital loss as a result of such a prepayment. In addition, Principal Proceeds received 

upon such a prepayment are subject to reinvestment risk. Any inability of the Issuer to 

reinvest payments or other proceeds in Collateral Debt Obligations with comparable 

interest rates that satisfy the Reinvestment Criteria may adversely affect the timing and 

amount of payments and distributions received by the Noteholders and the yield to 

maturity of the Notes. There can be no assurance that the Issuer will be able to reinvest 

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proceeds in Collateral Debt Obligations with comparable interest rates that satisfy the 

Reinvestment Criteria or (if it is able to make such reinvestments) as to the length of 

any delays before such investments are made. 

3.10 Risk Relating to Synthetic Securities 

In addition to the credit risks associated with holding loans and high yield debt 

securities, with respect to Synthetic Securities, the Issuer will usually have a 

contractual relationship with the relevant Synthetic Counterparty only, and not with the 

Reference Obligor of the Reference Obligation. The Issuer generally will have no 

right directly to enforce compliance by the Reference Obligor with the terms of the 

Reference Obligation nor any rights of set-off against the Reference Obligor, nor have 

any voting rights with respect to the Reference Obligation. The Issuer will not directly 

benefit from the collateral supporting the Reference Obligation and will not have the 

benefit of the remedies that would normally be available to a holder of such Reference 

Obligation. In addition, in the event of the insolvency of the Synthetic Counterparty, 

the Issuer will be treated as a general creditor of such Synthetic Counterparty, and will 

not have any claim with respect to the Reference Obligation. Consequently, the Issuer 

will be subject to the credit risk of the Synthetic Counterparty as well as that of the 

Reference Obligor. As a result, concentrations of Synthetic Securities in any one 

Synthetic Counterparty subject the Notes to an additional degree of risk with respect to 

defaults by such Synthetic Counterparty as well as by the Reference Obligor. Although 

the Portfolio Manager will not perform independent credit analysis of the Synthetic 

Counterparties on behalf of the Issuer, any such relevant Synthetic Counterparty, or an 

entity guaranteeing such Synthetic Counterparty, individually and in the aggregate will 

be required to satisfy the required ratings set forth under "The Portfolio – Management 

of the Portfolio – Synthetic Securities". The Rating Agencies may downgrade any of 

the Rated Notes if the Issuer is not in compliance with the Synthetic Counterparty 

rating requirements set forth herein. It is expected that the Initial Purchaser and/or one 

or more of its Affiliates, with acceptable credit support arrangements, if necessary, 

may act as Synthetic Counterparties with respect to all or a portion of the Synthetic 

Securities, which may create certain conflicts of interest. See "Certain Conflicts of 

Interest" below. 

3.11 Assignments of Loans; Participations in Loans 

The Issuer may acquire interests in Collateral Debt Obligations which are loans either 

directly (by way of novation or assignment) or indirectly (by way of participation or 

sub-participation). Each institution from which such an interest is acquired is referred 

to herein as a "Selling Institution". Interests in loans acquired directly by way of 

novation or assignment are each referred to herein as an "Assignment". Interests in 

loans acquired indirectly by way of participation or sub-participation are each referred 

to herein as a "Participation". 

The purchaser of an Assignment typically succeeds to all the rights of the assigning 

Selling Institution and becomes entitled to the benefit of the loans and the other rights 

of the lender under the loan agreement. The Issuer, as an assignee, will generally have 

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the right to receive directly from the borrower all payments of principal and interest to 

which it is entitled provided notice of such Assignment has been given to the borrower. 

As a purchaser of an Assignment, the Issuer typically will have the same voting rights 

as other lenders under the applicable loan agreement and will have the right to vote to 

waive enforcement of breaches of covenants. The Issuer will also have the same rights 

as other lenders to enforce compliance by the borrower with the terms of the loan 

agreement, to set off claims against the borrower and to have recourse to collateral 

supporting the loan. As a result, the Issuer will generally not bear the credit risk of the 

Selling Institution and the insolvency of the Selling Institution should have little effect 

on the ability of the Issuer to continue to receive payment of principal or interest from 

the borrower. The Issuer will, however, assume the credit risk of the borrower. 

Although the Portfolio Manager, on behalf of the Issuer, will undertake due diligence 

in respect of loans to be acquired by the Issuer, no legal opinions will be obtained by 

or on behalf of the Issuer in respect of the transferability to the Issuer or the 

enforceability of any security relating to such loans. 

The Issuer as transferee under a novation will assume all of the contractual liabilities 

and benefits of the transferor of the relevant Collateral Debt Obligation. It is a 

requirement, however, that Collateral Debt Obligations to be purchased by the Issuer 

satisfy the Eligibility Criteria (see "The Portfolio") which includes the requirement that 

each Collateral Debt Obligation will not impose any present or future, actual or 

contingent liabilities or obligations on the Issuer other than (i) in the case of Synthetic 

Securities and Revolving Obligations only, those liabilities or obligations which are 

either fully collateralised (in the case of Revolving Obligations by crediting to the 

relevant Revolving Reserve Account an amount equal to the Issuer's undrawn 

commitment thereunder) or subject to limited recourse provisions similar to those set 

out in the Trust Deed and (ii) those owed to the agent bank in relation to the 

performance of its duties under a syndicated Secured Senior Loan, Unsecured Senior 

Loan, Mezzanine Obligation or Revolving Obligation. 

Participation of the Issuer in a Selling Institution's portion of a loan typically results in 

a contractual relationship only with such Selling Institution and not with the borrower 

under such loan. The Issuer would, in such case, have the right to receive payments of 

principal and interest to which it is entitled only upon receipt by the Selling Institution 

of such payments from the borrower. In purchasing Participations, the Issuer generally 

will have no right to enforce compliance by the borrower with the terms of the 

applicable loan agreement, nor any rights of set-off against the borrower and the Issuer 

may not directly benefit from the collateral supporting the loan in respect of which it 

has purchased a Participation. As a result, the Issuer will assume the credit risk of 

both the borrower and the Selling Institution selling the Participation. In the event of 

the insolvency of the Selling Institution selling a Participation, the Issuer may be 

treated as a general creditor of the Selling Institution and may not benefit from any 

set-off between the Selling Institution and the borrower and the Issuer may suffer a loss 

to the extent that the borrower may set-off claims against the Selling Institution. The 

Issuer may purchase a Participation from a Selling Institution that does not itself retain 

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any portion of the loan and, therefore, may have limited interest in monitoring the 

terms of the loan agreement and the continuing creditworthiness of the borrower. 

When the Issuer holds a Participation in a loan it generally will not have the right to 

vote to waive enforcement of any covenants breached by a borrower. However, most 

participation agreements provide that the Selling Institution may not vote in favour of 

any amendment, modification or waiver that forgives principal or interest, reduces 

principal or interest that is payable, postpones any payment of principal (other than a 

mandatory pre-payment) or interest or releases substantially all of the collateral without 

the consent of the participant at least to the extent the participant would be affected by 

any such amendment, modification or waiver. A Selling Institution voting in 

connection with a potential waiver of a restrictive covenant may have interests which 

are different to those of the Issuer and such Selling Institutions may not be required to 

consider the interest of the Issuer in connection with the exercise of its votes. 

3.12 Interest Rate Risk; Floating Rate Indices for Collateral Debt Obligations 

The Portfolio Manager expects that at least 95 per cent. of the Aggregate Collateral 

Balance of the Collateral Debt Obligations at the Effective Date will bear interest based 

on EURIBOR or other floating rate indices. Principal Proceeds and Sale Proceeds can 

be reinvested in Collateral Debt Obligations, subject to certain limitations specified 

herein, or, together with Interest Proceeds, invested in Eligible Investments pending 

application in accordance with the Priorities of Payment. There is no requirement that 

such Eligible Investments bear interest at EURIBOR, and the interest rates available 

for such Eligible Investments are inherently uncertain. The Rated Notes (with the 

exception of the Class C-2 Notes and the Class D-2 Notes) will bear interest at a rate 

based on EURIBOR for the period from one Payment Date (or, in the case of the first 

Payment Date, the Closing Date) to the next Payment Date. The Class C-2 Notes and 

the Class D-2 Notes will bear interest at a fixed rate of interest. The amount or 

proportion of Collateral Debt Obligations securing the Notes that bear interest at 

floating rates based on EURIBOR and fixed rates may not correspond to the amount or 

proportion of the Notes that bear interest based on EURIBOR. As a result, there may 

be a floating/fixed rate or basis mismatch between the Rated Notes and the underlying 

Collateral Debt Obligations which bear interest at a fixed rate ("Fixed Rate Collateral 

Debt Obligations") or floating rate ("Floating Rate Collateral Debt Obligations"), 

and there may be a timing mismatch between the Rated Notes and the Floating Rate 

Collateral Debt Obligations as the interest rate on such Floating Rate Collateral Debt 

Obligations may adjust more frequently or less frequently, on different dates and based 

on different indices than the interest rates on the Rated Notes. As a result of such 

mismatches, an increase or decrease in the level of EURIBOR could adversely impact 

the ability of the Issuer to make payments on the Rated Notes. The Issuer may enter 

into one or more Interest Rate Hedge Agreements (which may be interest rate swap 

agreements or interest rate cap agreements) to reduce the impact of the interest rate 

mismatch. However, despite the Issuer having the benefit of such Interest Rate Hedge 

Agreements, there can be no assurance that the Collateral Debt Obligations and the 

Eligible Investments will in all circumstances generate sufficient Interest Proceeds to 

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make timely payments of interest on the Notes. It is expected that one or more of the 

Affiliates of Merrill Lynch International, with acceptable credit support arrangements, 

if necessary, may act as counterparty with respect to all or some of the Interest Rate 

Hedge Agreements, which may create certain conflicts of interest. In addition, one or 

more Affiliates of the Portfolio Manager, with acceptable credit support arrangements, 

may, if necessary, act as counterparty with respect to some of the Interest Rate Hedge 

Agreements, which may also create certain conflicts of interest (see "Certain Conflicts 

of Interest" below). 

In the event that more than 5 per cent. of the Aggregate Collateral Balance of the 

Collateral Debt Obligations consist of Collateral Debt Obligations that pay interest less 

frequently than semi-annually, such excess amount of such Collateral Debt Obligations 

shall be hedged pursuant to an applicable Interest Rate Hedge Agreement (to be 

reviewed by S&P). 

In the event of the insolvency of an Interest Rate Hedge Counterparty or a Currency 

Hedge Counterparty, the Issuer will be treated as a general creditor of such Interest 

Rate Hedge Counterparty or Currency Hedge Counterparty. Consequently, the Issuer 

will be subject to the credit risk of each Interest Rate Hedge Counterparty and each 

Currency Hedge Counterparty, as well as that of the Collateral Debt Obligations. 

3.13 Currency Risk 

On or about the Effective Date up to 15 per cent. of the Aggregate Principal Balance of 

the Collateral Debt Obligations will be comprised of Non-Euro Obligations 

denominated in Sterling. The percentage of the Portfolio that is comprised of these 

type of securities may decrease over the life of the Notes. 

The Issuer, on and after the Closing Date, will enter into cross currency swaps and 

options in connection with the currency hedging arrangements. The Currency Hedge 

Agreements may not hedge the entire spread which such floating rate Collateral Debt 

Obligations yield and accordingly a portion of such spread will be subject to currency 

mismatch. The Portfolio Management Agreement and Hedging Procedures contain 

hedging provisions which the Issuer is required to follow in connection with the 

acquisition and disposal of Sterling denominated Collateral Debt Obligations. The 

Hedge Agreements entered into by the Issuer will be structured to provide at least the 

minimum protection required by the Rating Agencies as determined by their multiple 

stress scenarios. If at any time a Hedge Agreement becomes subject to early 

termination resulting from an event of default by or a termination event in respect of a 

Hedge Counterparty, the Portfolio Manager will seek to obtain a replacement Hedge 

Agreement on substantially similar terms, or on such other terms as would not 

adversely affect the ratings of the Notes and, which are consented to by the Rating 

Agencies. In addition, the Issuer's ability to reinvest Sterling proceeds in Sterling 

denominated Collateral Debt Obligations may be constrained as a result of limitations 

imposed by the Rating Agencies on the flexibility of the Issuer's hedging strategy. 

3.14 Insolvency Considerations with Respect to Obligors of Collateral Debt Obligations 

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Collateral Debt Obligations may be subject to various laws enacted for the protection 

of creditors in the countries of the jurisdictions of incorporation of obligors and, if 

different, in which the obligors conduct business. These insolvency considerations will 

differ depending on the country in which each obligor is located or domiciled and may 

differ depending on whether or not the obligor is a sovereign entity. 

3.15 Lender Liability Considerations; Equitable Subordination 

In recent years, a number of judicial decisions in the United States and other 

jurisdictions have upheld the right of borrowers to sue lenders or bondholders on the 

basis of various evolving legal theories (collectively, termed "lender liability"). 

Generally, lender liability is founded upon the premise that an institutional lender or 

bondholder has violated a duty (whether implied or contractual) of good faith and fair 

dealing owed to the borrower or issuer or has assumed a degree of control over the 

borrower or issuer resulting in the creation of a fiduciary duty owed to the borrower or 

issuer or its other creditors or shareholders. Although it would be a novel application 

of the lender liability theories, the Issuer may be subject to allegations of lender 

liability. However, the Portfolio Manager does not intend to engage in conduct that 

would form the basis for a successful cause of action based upon lender liability. 

In addition, under common law principles that in some cases form the basis for lender 

liability claims, if a lender or bondholder (a) intentionally takes an action that results in 

the under-capitalisation of a borrower to the detriment of other creditors of such 

borrower, (b) engages in other inequitable conduct to the detriment of such other 

creditors, (c) engages in fraud with respect to, or makes misrepresentations to, such 

other creditors or (d) uses its influence as a stockholder to dominate or control a 

borrower to the detriment of other creditors of such borrower, a court may elect to 

subordinate the claim of the offending lender or bondholder to the claims of the 

disadvantaged creditor or creditors, a remedy called "equitable subordination". 

Because of the nature of the Collateral Debt Obligations, the Issuer may be subject to 

claims from creditors of an obligor that Collateral Debt Obligations issued by such 

obligor that are held by the Issuer should be equitably subordinated. However, the 

Portfolio Manager does not intend to engage in conduct that would form the basis for a 

successful cause of action based upon the equitable subordination doctrine. 

The preceding discussion is based upon principles of United States federal and state 

laws. Insofar as Collateral Debt Obligations that are obligations of non-United States 

obligors are concerned, the laws of certain foreign jurisdictions may impose liability 

upon lenders or bondholders under factual circumstances similar to those described 

above, with consequences that may or may not be analogous to those described above 

under United States federal and state laws. 

3.16 Concentration Risk 

The Issuer will invest in a portfolio of Collateral Debt Obligations consisting, at the 

Closing Date, of namely loans, high yield debt securities and synthetic securities. 

Although no significant concentration with respect to any particular obligor, industry or 

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country is expected to exist at the Effective Date, the concentration of the Portfolio in 

any one obligor would subject the Notes to a greater degree of risk with respect to 

defaults by such obligor, and the concentration of the Portfolio in any one industry 

would subject the Notes to a greater degree of risk with respect to economic downturns 

relating to such industry. See "The Portfolio – Eligibility Criteria". 

3.17 Effective Downgrade of Sovereign Ratings 

If the sovereign rating of a country in which an obligor of a Collateral Debt Obligation 

is located is downgraded, the ratings applicable to such Collateral Debt Obligation may 

decline as well. If a sufficient principal amount of Collateral Debt Obligations are so 

adversely affected, the ratings applicable to the Rated Notes may be downgraded. 

3.18 Exercise of Rights under Collateral Enhancement Obligations 

The ability of the Issuer to exercise any rights or options under any Collateral 

Enhancement Obligation will be dependent upon there being amounts standing to the 

credit of the Collateral Enhancement Account which are sufficient to pay the costs of 

any such exercise. If sufficient amounts are not so available, the Portfolio Manager or 

one of its Affiliates may, at its discretion, fund the payment of any such shortfall by 

way of a Portfolio Manager Advance. However, neither the Portfolio Manager nor its 

any of its Affiliates is under an obligation to make any Portfolio Manager Advance and 

there can be no assurance that amounts standing to the credit of the Collateral 

Enhancement Account will be sufficient to fund the exercise of any right or option 

under any Collateral Enhancement Obligation at any time. Failure to exercise any such 

right or option may result in a reduction of the returns to the Class F Subordinated 

Noteholders. 

3.19 Special Situations Risk 

The Issuer or the Portfolio Manager on its behalf may acquire interests in Collateral 

Debt Obligations which subsequently become subject to a restructuring or a work-out. 

In such cases it is not uncommon for existing lenders to be asked to support their 

existing lending with further capital investment. This further capital investment is 

often used by the relevant Obligors to assist with temporary working capital shortfalls 

or other necessary expenditure. The lenders will make the further capital investment 

available if they consider that such assistance will, in the medium to long-term, ensure 

a higher recovery of debt outstanding and improve the financial condition of the 

Obligors. However, there is no assurance that such investment will be successful and 

the Obligors may continue to face working capital shortfalls and ultimately their 

businesses may no longer become viable. In such event, it is possible that the Obligors 

would move into an insolvency situation. In such circumstances the Issuer would seek 

to recover the original Collateral Debt Obligation and the Special Situation Investment 

Obligation representing the further capital investment from the relevant Obligors in 

accordance with applicable insolvency, bankruptcy or analogous laws. There is no 

guarantee as to the timely recovery of such further capital investment or that such 

capital investment will be recovered in full or at all. 

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3.20 Risk Relating to Credit Short Obligations 

The Issuer (or the Portfolio Manager on its behalf) may from time to time enter into 

Credit Short Obligations pursuant to which the Issuer buys credit protection in respect 

of a specified Reference Entity (including where the Issuer has no exposure to such 

Reference Entity) in the event of the occurrence of specified credit events in respect 

thereof in return for payment of a periodic payment or premium by the Issuer to the 

applicable Credit Short Obligation Counterparty. No assurance can be given that entry 

into such Credit Short Obligations will result in any return to the Issuer. 

3.21 Risk Relating to Offsetting Credit Default Swaps 

In order to hedge the credit risks associated with holding loans and high yield debt 

securities, the Issuer may enter into one of more Offsetting Credit Default Swaps. 

However, in the event of the insolvency of the Offsetting Credit Default Swap 

Counterparty, the Issuer will be treated as a general creditor of such Offsetting Credit 

Default Swap Counterparty. Consequently, the Issuer will be subject to the credit risk 

of the Offsetting Credit Default Swap Counterparty as well as that of the Reference 

Obligor. As a result, concentrations of Offsetting Credit Default Swaps in any one 

Offsetting Credit Default Swap Counterparty may subject the Notes to an additional 

degree of risk with respect to defaults by such Offsetting Credit Default Swap 

Counterparty as well as by the Reference Obligor. Although the Portfolio Manager 

will not perform independent credit analysis of the Offsetting Credit Default Swap 

Counterparties on behalf of the Issuer, any such relevant Offsetting Credit Default 

Counterparty, or an entity guaranteeing such Offsetting Credit Default Counterparty, 

individually and in the aggregate will be required to satisfy the required ratings set 

forth under "The Portfolio – Management of the Portfolio – Offsetting Credit Default 

Swaps" and "The Portfolio – Management of the Portfolio - Bivariate Risk Table". The 

Rating Agencies may downgrade any of the Rated Notes if the Offsetting Credit 

Default Swap Counterparty is not in compliance with the Offsetting Credit Default 

Swap Counterparty rating requirements set forth herein. It is expected that the Initial 

Purchaser and/or one or more of its Affiliates, with acceptable credit support 

arrangements, if necessary, may act as Offsetting Credit Default Swap Counterparties 

with respect to all or a portion of the Offsetting Credit Default Swaps, which may 

create certain conflicts of interest. See "Certain Conflicts of Interest" above. 

3.22 Securities Lending 

The Collateral Debt Obligations may be loaned to banks, broker-dealers or other 

financial institutions (other than insurance companies) that have, or are guaranteed by 

entities that have, short-term senior unsecured debt ratings of at least "P-1" from 

Moody's and "A-1+" from S&P, respectively, and, in the case of loans for a term of 

90 days or more, long-term senior unsecured debt ratings which satisfy the required 

ratings set forth under "The Portfolio – Management of the Portfolio – Securities 

Lending". Such loans will be required to be secured by cash or direct debt obligations 

of a Tier I Qualifying Country and of a Tier II Qualifying Country that have a maturity 

of five years or less, in an amount equal to at least 105 per cent. of the market value of 

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the loaned Collateral Debt Obligations (or such other lower percentage in respect of 

which a Rating Agency Confirmation is received), determined daily. However, in the 

event that the borrower of a loaned Collateral Debt Obligation defaults on its obligation 

to return such loaned Collateral Debt Obligation because of insolvency or otherwise, 

the Issuer could experience delays and costs in gaining access to the collateral posted 

by the borrower (and in extreme circumstances could be restricted from selling the 

collateral). In the event that the borrower defaults, the Noteholders could suffer a loss 

to the extent that the realised value of the cash or securities securing the obligation of 

the borrower to return a loaned Collateral Debt Obligation (less expenses) is less than 

the amount required to purchase such Collateral Debt Obligation in the open market. 

This shortfall could be due to, among other things, discrepancies between the 

mark-to-market and actual transaction prices for the loaned Collateral Debt Obligations 

arising from limited liquidity or availability of the loaned Collateral Debt Obligations 

and, in extreme circumstances, the loaned Collateral Debt Obligations being 

unavailable at any price. Any Securities Lending Agreement entered into by the Issuer 

with a Securities Lending Counterparty shall be subject to Rating Agency 

Confirmation, provided that such confirmation shall not be required from Moody's if 

such Securities Lending Agreement is in a pre-approved form. The Rating Agencies 

may downgrade any of the Rated Notes if a borrower of a Collateral Debt Obligation, 

or if applicable the entity guaranteeing the performance of such borrower, has been 

downgraded by any of the Rating Agencies such that the Issuer is not in compliance 

with the Securities Lending Counterparty rating requirements. It is expected that the 

Initial Purchaser and/or one or more of its Affiliates, with acceptable credit support 

arrangements, if necessary, may borrow Collateral Debt Obligations, which may create 

certain conflicts of interest. See "Certain Conflicts of Interest" below. 

3.23 Optional Redemption of Securities 

An optional redemption of Collateral Debt Obligations could require the Portfolio 

Manager, acting on behalf of the Issuer, to liquidate positions more rapidly than would 

otherwise be desirable, which could adversely affect the realised value of the securities 

sold. In any event, the optional redemption requirements in the Portfolio Management 

Agreement may require the Portfolio Manager, acting on behalf of the Issuer, to 

aggregate securities to be sold together in one block transaction, thereby possibly 

resulting in a lower realised value for the securities sold. 

3.24 Changes in Tax Law 

At the time when they are acquired by the Issuer, Collateral Debt Obligations will not 

be subject to any withholding tax imposed by any jurisdiction or to the extent that any 

such withholding tax does apply, the relevant obligor will be obliged to make gross-up 

payments that cover, or the Issuer will be eligible for relief under an applicable double 

taxation treaty in respect of, the full amount of such withholding tax. However, there 

can be no assurance that, as a result of any change in any applicable law, rule or 

regulation or interpretation thereof, the payments on the Collateral Debt Obligations 

might not in the future become subject to withholding tax or increased withholding 

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ates in respect of which the relevant obligor will not be obliged to gross-up. In such 

circumstances, the Issuer may be able, but will not be obliged, to take advantage of 

(i) a double taxation treaty between Ireland and the jurisdiction from which the relevant 

payment is made, (ii) the current applicable law in the jurisdiction of the borrower or 

(iii) the fact that the Issuer has taken a Participation in such Collateral Debt Obligations 

from a Selling Institution which is able to pay interest payable under such Participation 

gross if paid in the ordinary course of its business. The Issuer will not be able to take 

advantage of a double taxation treaty between Ireland and the United States. In the 

event that the Issuer receives any interest payments on any Collateral Debt Obligation 

net of any applicable withholding tax, the Coverage Tests and Collateral Quality Tests 

will be determined by reference to such net receipts except to the extent that the Issuer 

is entitled to a refund in respect of such withholding tax. Such tax would also reduce 

the amounts available to make payments on the Notes. There can be no assurance that 

remaining payments on the Collateral Debt Obligations would be sufficient to make 

timely payments of interest, principal on the Maturity Date and other amounts payable 

in respect of the Notes of each Class. 

3.25 Possible Phantom Income subject to U.S. Federal Income Tax 

Tax Treatment of U.S. Holders of Class F Subordinated Notes. The Trust Deed 

requires the Issuer and each U.S. Holder of Class F Subordinated Notes to treat the 

Issuer as a corporation for U.S. federal income tax purposes and to treat the Class F 

Subordinated Notes as equity for these purposes. The Issuer will constitute a passive 

foreign investment company ("PFIC"). As such, a U.S. Holder investing in the equity 

(or any Class of Notes that is recharacterised as equity for U.S. federal income tax 

purposes) typically has an option to either (i) treat the Issuer as a qualified electing 

fund ("QEF") and to pay income tax on its pro rata share of the Issuer's income 

computed on a accrual basis or (ii) pay income taxes generally on the amount of cash 

distributions received, subject to a possible interest charge at a statutory rate on certain 

"excess distributions" and gains recognized on the disposition of the PFIC interest. 

However, depending on the ultimate composition of the pool of equity investors, the 

Issuer may be classified as a controlled foreign corporation, in which case a U.S. 

Holder may be required to pay income tax based on its pro rata share of the Issuer's 

income generally as if the U.S. Holder had made the QEF election. 

Generally, a QEF election should be made on or before the due date for filing the U.S. 

holder’s U.S. federal income tax return for the first taxable year during which such 

U.S. holder held the Note that is deemed to be an equity interest of the Issuer for U.S. 

federal income tax purposes. Once the election is made, it is binding on that U.S. 

Holder for the remaining term of the investment. A U.S. Holder making this election 

is required to report its pro rata share of the Issuer's income regardless of whether the 

Issuer makes cash distributions during the period. The Issuer typically will have lower 

taxable income than the amount of cash it distributes, after the initial year, as the Issuer 

amortises certain issuance expenses. However, it is possible that a significant amount 

of the Issuer's income will not be distributed on a current basis for several reasons 

(termed "phantom income"). Although not exhaustive, several of these reasons 

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include: (i) gains on the sale of securities where the proceeds are reinvested in 

additional collateral rather than being distributed; (ii) income may be earned by the 

Issuer (and corresponding amounts of cash received), but the associated cash may be 

diverted to pay principal of senior notes when certain compliance tests are not satisfied; 

and (iii) accrual basis accounting may create timing differences from the actual cash 

distributions. A U.S. Holder that makes a QEF election therefore may be required to 

recognise phantom income in amounts significantly greater than the distributions 

received from the Issuer. An electing U.S. Holder generally has the ability to defer 

paying the tax on the phantom income until the cash is received, subject to a nondeductible 

interest charge. 

A U.S. Holder that makes no QEF election generally will pay income tax on the 

amount of cash received in any year including both certain distributions by the PFIC 

and any gain recognised on the disposition of the PFIC interest. Annually, 

commencing in the second year of the investment, to the extent that distributions 

exceed 125% of the average distribution for the prior three years (or lesser period if 

held for less than three prior years), such "excess distributions" are allocated ratably 

over the Holder's holding period and are subject to income tax on ordinary income in 

the current year and at the highest rate in effect for individuals or corporations in the 

preceding years. A non-deductible interest charge at a statutory rate may also be 

imposed as if the excess distributions and the gains recognised on the disposition of the 

PFIC interest were earned ratably over the U.S. Holder's holding period. 

The above discussion is a very general discussion of the tax treatment of any equity 

investment by a U.S. Holder. U.S. Holders should review this material as a summary 

of general principals only and consult with their tax adviser to the extent necessary to 

determine the appropriate tax reporting and to assist them with the proper filings. 

3.26 Regulation U Requirements 

Regulation U ("Regulation U") issued by the Board of Governors of the Federal 

Reserve System (the "FRB") governs certain extensions of credit that are secured by 

Margin Stock (as defined below) if extended by persons other than securities 

broker-dealers (such persons, "Regulation U Lenders"). Among other things, 

Regulation U generally requires Regulation U Lenders (other than persons that are 

banks within the meaning of Regulation U) who are not otherwise exempted from the 

registration requirements, to register with the FRB. In addition, Regulation U imposes 

certain limits on the amount of credit that may be extended by Regulation U Lenders 

who are banks or are required to register with the FRB if the purpose of such credit is 

to purchase or carry Margin Stock ("Purpose Credit"). To the extent that the 

Collateral Debt Obligations purchased with the proceeds of the Notes include Margin 

Stock, a purchase of the Notes may constitute Purpose Credit. 

Under current interpretations of Regulation U by the FRB and its staff, the purchase of 

a debt security such as the Notes in a private placement may constitute an extension of 

credit subject to Regulation U; however, purchases of debt securities in a public 

offering or, if the proceeds are not used for Purpose Credit, in a transaction in 

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compliance with Rule 144A do not constitute an extension of credit subject to 

Regulation U. Also, non-U.S. Persons purchasing notes in reliance on Regulation S 

who do not have their principal place of business in a Federal Reserve district of the 

FRB are not required to register with the FRB. Other purchasers of Notes should, 

however, consider whether they are required to register with the FRB. Purchasers of 

Notes subject to the registration requirements of Regulation U, as well as any 

purchasers of the Notes that are banks within the meaning of Regulation U, may also 

be subject to certain additional requirements under Regulation U. Regulation U 

Lenders are not subject to the Regulation U credit limits with respect to extensions of 

credit that are not Purpose Credit. If the registration or other requirements of 

Regulation U are applicable to a purchaser of Notes and such purchaser does not 

comply with such requirements, such failure may affect the enforceability of such 

purchaser's Notes. Purchasers of the Notes should consult their own legal advisors as 

to Regulation U and its application to them. 

3.27 Regulatory Risk 

The Issuer will invest in a portfolio of Collateral Debt Obligations of Obligors 

incorporated in or with a principal place of business situated in any Tier I Qualifying 

Country or in any Tier II Qualifying Country. 

Collateral Debt Obligations may be subject to various regulatory laws enacted for the 

protection of, inter alia, borrowers or consumers in the countries of the jurisdictions of 

incorporation of obligors and, if different, in which the obligors conduct business. 

These regulatory considerations may differ depending on the country in which each 

obligor is located or domiciled and on the type of obligor. 

At the time when Collateral Debt Obligations are acquired by the Issuer, there can be 

no assurance that, as a result of the application of regulatory law, rule or regulation or 

interpretation thereof by the relevant governmental body or agency, or change in such 

application or interpretation thereof by such governmental body or agency, payments 

on the Collateral Debt Obligations might not in the future be adversely affected as a 

result of such application of regulatory law or that the Issuer might become subject to 

proceedings or action by the relevant governmental body or agency, which if 

determined adversely to the Issuer, may adversely affect its ability to make payments in 

respect of the Notes. 

Further, if such regulatory action resulted in a decrease in the market value of the 

Collateral Debt Obligations, such decrease in market value would adversely affect the 

Sale Proceeds that could be obtained upon the sale of the Collateral Debt Obligations 

and could, ultimately, affect the ability of the Issuer to effect an optional redemption of 

the Notes or pay the principal of the Notes upon a liquidation of the Collateral Debt 

Obligations following the occurrence of an Event of Default. 

Due to the fact that Class F Subordinated Notes represent a leveraged investment in the 

underlying Collateral Debt Obligations, it is anticipated that changes in the market 

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value of the Class F Subordinated Notes will be greater than changes in the market 

value of the underlying Collateral Debt Obligations. 

4. THE PORTFOLIO MANAGER 

Pursuant to the terms of the Portfolio Management Agreement, the Portfolio Manager 

has agreed to manage the Portfolio on behalf of the Issuer, in accordance with the 

mandate granted to it in this regard under the Portfolio Management Agreement, and 

carry out certain ancillary functions related to the Portfolio in accordance with the 

parameters and criteria set out in the Portfolio Management Agreement. See "The 

Portfolio" and "Description of the Portfolio Management Agreement". The powers and 

duties of the Portfolio Manager in managing the Portfolio include managing the sale of 

certain of the securities in the Portfolio during the Reinvestment Period (subject to 

certain limits) and, at any time, upon the occurrence of certain events (including a 

Collateral Debt Obligation becoming a Defaulted Obligation, a Credit Impaired 

Obligation or a Credit Improved Obligation), in accordance with the provisions of the 

Portfolio Management Agreement. See "Description of the Portfolio". In undertaking 

this role, the Portfolio Manager may review such available information relating to the 

issuers or guarantors of Collateral Debt Obligations as it considers appropriate in its 

absolute discretion. The Portfolio Manager and its directors, members, officers, 

stockholders, partners, agents and employees shall not be liable (whether directly or 

indirectly, in contract or in tort or otherwise) to the Issuer, the Collateral 

Administrator, the Trustee, the Noteholders or any other person for losses, claims, 

damages, judgements, interest on judgements, assessments, taxes, costs, fees, charges, 

amounts paid in settlement of other liabilities incurred by the Issuer, the Trustee, the 

Collateral Administrator, the Noteholders or any other person that arise out of or in 

connection with any act or omission in the performance by the Portfolio Manager of its 

duties under the Portfolio Management Agreement except that nothing shall relieve the 

Portfolio Manager from liability to the Issuer in respect of any direct Liabilities (to the 

exclusion of any consequential or indirect losses, whose terms shall include without 

limitation, any consequential or indirect economic losses or any loss of turnover, 

profits or business incurred by the Issuer but for the avoidance of doubt shall exclude 

any amount contemplated or envisaged by the Portfolio Manager and the Issuer on 

execution of the Portfolio Management Agreement to be payable to or as the case may 

be by the Issuer in relation to the Transaction Documents or taxes resulting from a 

failure to comply with the investment contained in the Portfolio Management 

Agreement: (a) by reason of any acts or omissions of the Portfolio Manager under the 

Portfolio Management Agreement or the Portfolio Manager's wilful misconduct, bad 

faith, fraud or gross negligence (subject to the standard of care set forth in Clause 

4.2(a) (Powers and Duties of the Portfolio Manager - Standard of Care) of the 

Portfolio Management Agreement for the purposes of establishing such wilful 

misconduct, bad faith, fraud or gross negligence) in the performance of its obligations 

thereunder; or (b) with respect to any information concerning the Portfolio Manager 

provided in writing to the Issuer or to another person on its behalf by the Portfolio 

Manager expressly for inclusion in this Prospectus which contains any untrue statement 

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of material fact or omits to state a material fact necessary in order to make the 

statements therein, in the light of the circumstances under which they were made, not 

misleading provided that the information does not purport to provide the scope of 

disclosure required to be included in a prospectus with respect to a registrant in 

connection with the offer and sale of securities of such registrant under the Securities 

Act. 

The performance of any investment in the Notes may be dependent on, among other 

things, the ability of the Portfolio Manager to provide management services in relation 

to the Portfolio and the performance of the Portfolio Manager of its obligations under 

the Portfolio Management Agreement. The loss of a number of individuals from the 

Investment Management Division (as described in "The Portfolio Manager" below) of 

the Portfolio Manager could have a material adverse effect on the ability of the 

Portfolio Manager to perform its obligations under the Portfolio Management 

Agreement. Although the Portfolio Manager is required, pursuant to its entry into the 

Portfolio Management Agreement, to commit an appropriate amount of its business 

efforts to providing management services in relation to the Portfolio, the Portfolio 

Manager is not required to devote all of its time to such affairs and may continue to 

advise other investment funds or provide management services in the future. 

The actions or omissions of the Portfolio Manager may give rise to certain conflicts of 

interest with the Noteholders of any Class. See "Certain Conflicts of Interest" below. 

5. EXAMINERS, PREFERRED CREDITORS UNDER IRISH LAW AND 

FLOATING CHARGES 

The Issuer has its registered office in Ireland. As a result there is a rebuttable 

presumption that its centre of main interest is in Ireland and consequently it is likely 

that any insolvency proceedings applicable to it would be governed by Irish law. 

An examiner may be appointed to an Irish company in circumstances where it is 

unable, or likely to be unable, to pay its debts. One of the effects of such an 

appointment is that during the period of appointment, there is a prohibition on the 

taking of enforcement action by any creditors of the company. Given that the Issuer is 

a special purpose entity, the limited recourse nature of the Issuer’s liabilities and the 

structure of the transaction, it is unlikely that an examiner would be appointed to the 

Issuer. 

In an insolvency of the Issuer, the claims of certain preferential creditors (including the 

Irish Revenue Commissioners for certain unpaid taxes) will rank in priority to claims 

of unsecured creditors and claims of creditors holding floating charges. In addition, the 

claims of creditors holding fixed charges may rank behind other “super” preferential 

creditors (including expenses of any examiner appointed and certain capital gains tax 

liabilities) and, in the case of fixed charges over book debts, may rank behind claims of 

the Irish Revenue Commissioners. 

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In certain circumstances, a charge which purports to be taken as a fixed charge may 

take effect as a floating charge. For a charge to be characterised as a fixed charge, the 

charge holder is required to exercise the requisite level of control over the assets 

purported to be charged and the proceeds of such assets including any bank account 

into which such proceeds are paid. 

If the Issuer becomes subject to an insolvency proceeding and the Issuer has obligations 

to creditors that are treated under Irish law as creditors that are senior relative to the 

Noteholders, the Noteholders may suffer losses as a result of their subordinated status 

during such insolvency proceeding. 

Regulation of the Issuer by any regulatory authority 

Any investment in the Notes does not have the status of a bank deposit in Ireland and is 

not within the scope of the deposit protection scheme operated by IFSRA. The Issuer is 

not regulated by IFSRA by virtue of the issue of the Notes. The Issuer is not required 

to be licensed, registered or authorised under any current securities, commodities or 

banking laws of Ireland and will operate without supervision by any such authority in 

any jurisdiction. There is no assurance, however, that regulatory authorities in one or 

more jurisdictions would not take a contrary view regarding the applicability of any 

such laws. The taking of a contrary view by such regulatory authority could have an 

adverse impact on the Issuer or the holders of the Notes. 

6. CERTAIN CONFLICTS OF INTEREST 

Various potential and actual conflicts of interest may arise from the overall 

management, investment and other activities of the Portfolio Manager, its Affiliates 

and their respective clients and from the conduct by the Initial Purchaser or its 

Affiliates of other transactions with the Issuer, including, without limitation, acting as 

counterparty with respect to Interest Rate Hedge Agreements, Currency Hedge 

Agreements, Securities Lending Agreements, Synthetic Securities, Credit Short 

Obligations and Offsetting Credit Default Swaps or as party to or in connection with 

the investment of any funds in Eligible Investments. The following briefly summarises 

some of these conflicts, but is not intended to be an exhaustive list of all such conflicts. 

The Portfolio Manager and/or its Affiliates and its clients may invest in obligations that 

would be appropriate as security for the Notes. Such investments may be different 

from those made on behalf of the Issuer. The Portfolio Manager and its Affiliates may 

also have ongoing relationships with, render services to or engage in transactions with, 

companies whose obligations are pledged to secure the Notes and may own equity or 

debt securities issued by issuers of and other obligors on Collateral Debt Obligations. 

As a result, officers or Affiliates of the Portfolio Manager may possess information 

relating to obligors of Collateral Debt Obligations which is not known to the 

individuals at the Portfolio Manager responsible for monitoring the Collateral Debt 

Obligations and performing the other obligations under the Portfolio Management 

Agreement. In addition, Affiliates and clients of the Portfolio Manager may invest in 

loans and securities that are senior to, or have interests different from or adverse to, 

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the Collateral Debt Obligations that are pledged to secure the Notes. The Portfolio 

Manager and/or its Affiliates may at certain times be simultaneously seeking to 

purchase or dispose of investments for its respective account, the Issuer, any similar 

entity for which it serves as manager or advisor and for its clients or Affiliates. It is 

the intention of the Portfolio Manager that all Collateral Debt Obligations will be 

purchased and sold by the Issuer or the Portfolio Manager on its behalf on terms 

prevailing in the market. Neither the Portfolio Manager nor any of its Affiliates is 

under any obligation to offer investment opportunities of which they become aware to 

the Issuer or to account to the Issuer (or share with the Issuer) any such transaction or 

any benefit received by them from any such transaction. Furthermore, the Portfolio 

Manager and/or its Affiliates may make an investment on behalf of any account that 

they manage or advise without offering the investment opportunity to or making any 

investment on behalf of the Issuer. The Portfolio Manager and/or its Affiliates have no 

affirmative obligation to acquire any investments on behalf of the Issuer or to inform 

the Issuer of any investments before acquiring any investments on behalf of the Issuer 

or offering any investments to other funds or accounts that the Portfolio Manager 

and/or its Affiliates manage or advise. Furthermore, Affiliates of the Portfolio 

Manager may make an investment on their own behalf without offering the investment 

opportunity to, or the Portfolio Manager making any investment on behalf of, the 

Issuer. Affirmative obligations may exist or may arise in the future, whereby Affiliates 

of the Portfolio Manager are obliged to offer certain investments to funds or accounts 

that such Affiliates manage or advise before or without the Portfolio Manager offering 

those investments to the Issuer. Affiliates of the Portfolio Manager have no affirmative 

obligation to offer any investments to the Issuer or to inform the Issuer of any 

investments before engaging in any investments for themselves. The Portfolio 

Manager will endeavour to resolve conflicts with respect to investment opportunities in 

a manner which it deems equitable to the extent possible under the prevailing facts and 

circumstances. Although the professional staff of the Portfolio Manager will devote as 

much time to the Issuer as the Portfolio Manager deems appropriate to perform its 

duties in accordance with the Portfolio Management Agreement, those staff may have 

conflicts in allocating their time and services among the Issuer and the Portfolio 

Manager's other accounts. 

On the Closing Date, the Portfolio Manager and/or one or more of its Affiliates will 

hold legal title to at least the lesser of €4,080,000 or 10 per cent. in principal amount 

of the Class F Subordinated Notes for its own account, for the account of its Affiliates 

or as agent for the account of its investment management clients. Such Class F 

Subordinated Notes may be sold by the Portfolio Manager and its Affiliates to related 

and unrelated parties at any time after the Closing Date. In addition, upon the removal 

or resignation of the Portfolio Manager, the holders of a majority of the Class F 

Subordinated Notes (including those Class F Subordinated Notes held by the Portfolio 

Manager and its Affiliates) may appoint a replacement Portfolio Manager which is not 

Affiliated with the Portfolio Manager provided a majority of each other Class of Notes 

does not disapprove such replacement Portfolio Manager and provided that such 

replacement Portfolio Manager has regulatory capacity to provide Portfolio Manager 

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services to Irish residents. Notes held by the Portfolio Manager and its Affiliates will 

have no voting rights with respect to any vote in connection with the removal of the 

Portfolio Manager and will be deemed not to be outstanding in connection with any 

such vote; provided, however, that Notes held by the Portfolio Manager and its 

Affiliates will have voting rights with respect to all other matters as to which the 

Noteholders are entitled to vote, including, without limitation, any vote in connection 

with the appointment of a replacement Portfolio Manager which is not Affiliated with 

the Portfolio Manager in accordance with the Portfolio Management Agreement and in 

connection with an optional redemption. See "Description of the Portfolio 

Management Agreement". 

It is expected that the Initial Purchaser, and/or its Affiliates will have placed or 

underwritten certain of the Collateral Debt Obligations at original issuance, will own 

equity or other securities of issuers of or obligors on Collateral Debt Obligations and 

will have provided investment banking services, advisory, banking and other services 

to issuers of Collateral Debt Obligations. In addition, the Portfolio Manager or its 

Affiliates may own equity or other securities of issuers of or obligors on Collateral 

Debt Obligations for its own account, for the account of its Affiliates or as agent for 

the account of its investment management clients and may have provided management, 

advisory and other services to issuers of Collateral Debt Obligations. From time to 

time, the Portfolio Manager on behalf of the Issuer may purchase or sell Collateral 

Debt Obligations through the Initial Purchaser and/or its Affiliates. The Issuer may 

invest in the securities of companies Affiliated with the Initial Purchaser and/or the 

Portfolio Manager or their Affiliates or in which the Initial Purchaser and/or the 

Portfolio Manager or their Affiliates have an equity or participation interest. The 

purchase, holding and sale of such investments by the Issuer may enhance the 

profitability of the Initial Purchaser and/or the Portfolio Manager's or their Affiliates' 

own investments in such companies. In addition, it is expected that the Initial 

Purchaser or the Affiliates of the Initial Purchaser may also act as counterparty with 

respect to one or more Synthetic Securities and may act as Interest Rate Hedge 

Counterparty with respect to one or more Interest Rate Hedge Agreements and/or 

Currency Hedge Counterparty with respect to one or more Currency Hedge 

Agreements. It is possible that one or more Affiliates of the Portfolio Manager may 

also act as a Securities Lender Counterparty with respect to one or more Securities 

Lending Agreements. 

The Portfolio Manager, on behalf of the Issuer, may conduct principal trades with 

itself and its Affiliates, subject to applicable law. The Portfolio Manager may also 

effect client cross transactions where the Portfolio Manager causes a transaction to be 

effected between the Issuer and another account advised or managed by the Portfolio 

Manager or any of its Affiliates. Client cross transactions enable the Portfolio 

Manager to purchase or sell a block of securities for the Issuer at a set price and 

possibly avoid an unfavourable price movement that may be created through entrance 

into the market with such purchase or sell order. In addition, with the prior 

authorisation of the Issuer, which can be revoked at any time, the Portfolio Manager 

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may enter into agency cross transactions where any of its Affiliates acts as broker for 

the Issuer and for the other party to the transaction, in which case any such Affiliate 

will receive commissions from, and have a potentially conflicting division of loyalties 

and responsibilities regarding, both parties to the transaction. Also with the prior 

authorisation of the Issuer and in accordance with Section 11(a) of the United States 

Securities Exchange Act of 1934 and regulation 11a2-2T thereunder (or any similar 

rule that may be adopted in the future), the Portfolio Manager may effect transactions 

for the Issuer on a national securities exchange of which any of its Affiliates is a 

member and retain commissions in connect therewith. Although the Affiliates of the 

Portfolio Manager anticipate that the commissions, mark-ups and mark-downs charged 

by the Affiliates will generally be competitive, the Portfolio Manager may have 

interests in such transactions that are adverse to those of the Issuer, such as an interest 

in obtaining favourable commission rates, mark-ups and mark-downs. 

There is no limitation or restriction on the Portfolio Manager, the Initial Purchaser, or 

any of their respective Affiliates with regard to acting as Portfolio Manager (or in a 

similar role) to other parties or persons. This and other future activities of the 

Portfolio Manager, the Initial Purchaser and/or their Affiliates may give rise to 

additional conflicts of interest. 

Merrill Lynch International and/or its affiliates may: 

(a) 

(b) 

(c) 

(d) 

as principal or agent, be involved in a wide range of commercial banking and 

investment banking activities globally (including investment advisory, asset 

management, issuance of research, securities issuance and trading, and 

brokerage) for a wide range of different asset classes and clients; 

from time to time, as principal or agent have positions in, underwrite, buy 

and/or sell, or make a market in any securities, currencies, financial 

instruments or any other assets to which this Prospectus relates; 

from time to time, act in two or more different capacities or roles including as 

advisor, investor or creditor) in transactions or in relation to other services 

provided by Merrill Lynch International and may pay or receive fees, 

commissions or other benefits and allow or receive discounts or rebates in 

respects of each such capacity or role or as a result of any other matter 

referred to herein (which Merrill Lynch International shall be entitled to 

retain); and 

have officers who serve as directors of the companies referred to in this 

Prospectus, 

from which conflicting interests or duties may arise between Merrill Lynch 

International and the interest of its client(s) or the duties Merrill Lynch International 

owes to its clients. 

Each of Merrill Lynch International and/or its affiliates operates rules, policies and 

procedures, including the deployment of permanent and ad hoc 

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arrangements/information barriers within or between business groups or within or 

between single business areas within business groups, directed to ensuring that 

individual directors, officers and employees are not influenced by any conflicting 

interest or duty and that confidential and/or price sensitive information held by Merrill 

Lynch International and/or its affiliates is not improperly disclosed or otherwise 

inappropriately made available to any other client(s). 

Merrill Lynch International as lender under a warehouse agreement entered into with 

the Issuer dated 2 August 2005 (the "Warehouse Agreement"), is financing the Issuer 

in the acquisition and entry into of a portfolio of Collateral Debt Obligations prior to 

the Closing Date. The Issuer shall repay to Merrill Lynch International as lender 

under the Warehouse Agreement all amounts owing to Merrill Lynch International in 

respect of such Warehouse Agreement on or by the Closing Date. 

Merrill Lynch International will be paid a placement fee as compensation for its 

services with respect to the structuring of the transaction described in this Prospectus. 

The placement fee will not be paid on the Closing Date, and will instead be deferred 

and paid in accordance with the Priority of Payments to the extent funds are available 

to pay the periodic placement fee amount in accordance with the Priority of Payments. 

Such amount is to be paid prior to the payments on the Notes and all other amounts 

owed by the Issuer. As a result, the interests of Merrill Lynch International can be 

adverse to the interests of the holders of the Notes. 

Merrill Lynch International and its affiliates are also the placement agents for certain 

investment funds that may invest, directly or indirectly, in the Notes of the Issuer. In 

such event, Merrill Lynch International and its affiliates will receive compensation 

from such investment funds. The purchase price at which such funds purchase Notes 

may be less than the issue price thereof or the prices at which other investors purchase 

any such security from Merrill Lynch International. 

It is expected that, upon the original issuance of the Collateral Debt Obligations, 

Merrill Lynch International or its affiliates will have placed, arranged, participated or 

underwritten certain of the Collateral Debt Obligations and will have provided 

commercial banking services, investment banking services and other services to 

obligors of Collateral Debt Obligations. The Issuer may, from time to time, purchase 

Collateral Debt Obligations from Merrill Lynch International or any of its affiliates on 

the terms then prevailing in the market. Merrill Lynch International and its affiliates 

may have ongoing relationships (including investment banking, commercial banking 

and advisory services or engaging in securities or derivatives transactions) with 

obligors whose Collateral Debt Obligations are pledged to secure the Notes and may 

own either equity securities or debt obligations (including Collateral Debt Obligations) 

issued by such obligors. In addition, Merrill Lynch International and its affiliates, and 

clients of such affiliates, may invest in securities that are senior to, or have interests 

different from or adverse to, the Collateral Debt Obligations. From time to time the 

Portfolio Manager may purchase or sell Collateral Debt Obligations through the Initial 

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Purchaser or any of its affiliates. Merrill Lynch International takes no responsibility 

for, and has no obligations in respect of, the Issuer. 

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CONDITIONS OF THE NOTES 

The following are the conditions of each of the Class A Notes, the Class B Notes, the Class C 

Notes, the Class D Notes, the Class E Notes and the Class F Subordinated Notes, substantially 

in the form in which they will be endorsed on such Notes if issued in definitive registered form, 

and will be incorporated by reference into the Global Notes of each Class representing the 

Notes, subject to the provisions of such Global Notes, some of which will modify the effect of 

these Conditions. See "Form of the Notes". 

The issue of €158,250,000 Class A-1 Senior Floating Rate Notes due 2021 (the "Class A-1 

Notes"), €70,000,000 Class A-2A Senior Floating Rate Notes due 2021 (the "Class A-2A 

Notes"), €8,000,000 Class A-2B Senior Floating Rate Notes due 2021 (the "Class A-2B 

Notes" and together with the Class A-2A Notes, the "Class A-2 Notes" and the Class A-1 

Notes and the Class A-2 Notes together the "Class A Notes"), €35,875,000 Class B Senior 

Floating Rate Notes due 2021 (the "Class B Notes"), €14,590,000 Class C-1 Senior 

Subordinated Deferrable Floating Rate Notes due 2021 (the "Class C-1 Notes"), €8,160,000 

Class C-2 Senior Subordinated Deferrable Fixed Rate Notes due 2021 (the "Class C-2 Notes" 

and together with the Class C-1 Notes, the "Class C Notes"), €3,925,000 Class D-1 Senior 

Subordinated Deferrable Floating Rate Notes due 2021 (the "Class D-1 Notes"), €9,200,000 

Class D-2 Senior Subordinated Deferrable Fixed Rate Notes due 2021 (the "Class D-2 Notes 

and together with the Class D-1 Notes, the "Class D Notes"), €10,500,000 Class E Senior 

Subordinated Deferrable Floating Rate Notes due 2021 (the "Class E Notes" and, together 

with the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes, the 

"Rated Notes" which expression shall include, where applicable, the Class P Combination 

Notes, the Class Q Combination Notes, the Class R Combination Notes, the Class S 

Combination Notes and the Class T Combination Notes (each as defined below)), 

€36,300,000 Class F Subordinated Notes due 2021 (the "Class F Subordinated Notes"), 

€12,240,000 Class P Combination Notes due 2021 (the "Class P Combination Notes"), 

€15,000,000 Class Q Combination Notes due 2021 (the "Class Q Combination Notes"), 

€5,000,000 Class R Combination Notes due 2021 (the "Class R Combination Notes"), 

€5,000,000 Class S Combination Notes due 2021 (the "Class S Combination Notes"), 

€9,550,000 Class T Combination Notes due 2021 (the "Class T Combination Notes") and 

€12,400,000 Class U Combination Notes due 2021 (the "Class U Combination Notes" and, 

together with the Class P Combination Notes, the Class Q Combination Notes, the Class R 

Combination Notes, the Class S Combination Notes and the Class T Combination Notes, the 

"Combination Notes" and, the Combination Notes together with the Rated Notes and the 

Class F Subordinated Notes, the "Notes") of Adagio II CLO PLC (the "Issuer") was 

authorised by a resolution of the Board of Directors of the Issuer dated 13 December 2005. 

The Notes are constituted and secured by a trust deed (such deed as modified, restated and/or 

supplemented from time to time, the "Trust Deed") dated 14 December 2005 between 

(amongst others) the Issuer and J.P. Morgan Corporate Trustee Services Limited, in its 

capacity as trustee (the "Trustee", which expression shall include all persons for the time 

being the trustee or trustees under the Trust Deed) for the Noteholders. The Class A Notes, 

the Class B Notes, the Class C-1 Notes, the Class D-1 Notes and the Class E Notes are 

referred to herein as the "Floating Rate Notes". The Class C-2 Notes and the Class D-2 

Notes are referred to herein as the "Fixed Rate Notes". 

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Each Combination Note consists of two Components: (i) in the case of the Class P 

Combination Notes, a Class C-2 Component which comprises a proportional interest of each 

such Class C-2 Note in an aggregate initial principal amount of €8,160,000, which represents 

on issue an equal initial principal amount of the Class C-2 Notes, and a Class F Subordinated 

Component which comprises a proportional interest of each such Class P Combination Note in 

an aggregate initial principal amount of €4,080,000, which represents an equal initial principal 

amount of the Class F Subordinated Notes; (ii) in the case of the Class Q Combination Notes, 

a Class D-2 Component which comprises a proportional interest of each such Class Q 

Combination Note in an aggregate initial principal amount of €9,200,000, which represents an 

equal initial principal amount of the Class D-2 Notes, and a Class Q Subordinated Component 

which comprises a proportional interest of each such Class Q Combination Note in an 

aggregate initial principal amount of €5,800,000, which represents an equal initial principal 

amount of the Class F Subordinated Notes; (iii) in the case of the Class R Combination Notes, 

a Class A-1 Component which comprises a proportional interest of each such Class A-1 Note 

in an aggregate initial principal amount of €4,550,000, which represents on issue an equal 

initial principal amount of the Class A-1 Notes, and a Class F Subordinated Component which 

comprises a proportional interest of each such Class R Combination Note in an aggregate 

initial principal amount of €450,000, which represents an equal initial principal amount of the 

Class F Subordinated Notes; (iv) in the case of the Class S Combination Notes, a Class B 

Component which comprises a proportional interest of each such Class B Note in an aggregate 

initial principal amount of €4,100,000, which represents on issue an equal initial principal 

amount of the Class B Notes, and a Class E Component which comprises a proportional 

interest of each such Class E Note in an aggregate initial principal amount of €900,000, which 

represents an equal initial principal amount of the Class E Notes; (v) in the case of the Class T 

Combination Notes the OAT Security T Component, which will be collateralised by OAT 

Strips acquired by the Issuer which shall mature on October 2020 in respect of the principal 

amount of €9,550,000 and a Class T Subordinated Component which comprises a proportional 

interest of each such Class T Combination Note in an aggregate initial principal amount of 

€3,920,000, which represents an equal initial principal amount of the Class F Subordinated 

Notes; (vi) in the case of the Class U Combination Notes the OAT Security U Component, 

which will be collateralised by OAT Strips acquired by the Issuer which shall mature on April 

2006 in respect of the principal amount of €300,000, October 2006 in respect of the principal 

amount of €250,000, April 2007 in respect of the principal amount of €250,000 and October 

2020 in respect of the principal amount of €12,400,000 and a Class U Subordinated 

Component which comprises a proportional interest of each such Class U Combination Note 

in an aggregate initial principal amount of €4,300,000, which represents an equal initial 

principal amount of the Class F Subordinated Notes. 

The terms and conditions applicable to any Class of Combination Note shall be the same as 

those applicable to the relevant Underlying Notes (as defined below) of such Class (save, in 

each case, to the extent related to the issuance and transfer thereof) to the extent of the 

respective Components of which such Class is comprised. Notwithstanding the terms and 

conditions applicable to the payment of interest on the Class U Combination Notes and 

without prejudice thereto, proceeds received from the Class U Subordinated Component or 

received in respect of items (i), (ii) and (iii) of the OAT Strips U Portion (to the extent that 

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such proceeds are in excess of the Class U Combination Note Coupon) and any OAT Strips 

Sale U Proceeds shall, on any Payment Date be applied on such Payment Date in redemption 

of the Principal Amount Outstanding of the Class U Combination Notes. 

The initial principal amount of each Component of the Combination Notes is included in (and 

not additional to) the initial principal amounts of the Class A-1 Notes, the Class B Notes, the 

Class C-2 Notes, the Class D-2 Notes, the Class E Notes and the Class F Subordinated Notes 

save for the OAT Security T Component, the initial principal amount of which equals the 

initial principal amount of the OAT Strips T Portion and the OAT Security U Component, the 

initial principal amount of which equals the initial principal amount of the OAT Strips U 

Portion. For the purposes of these Conditions, save to the extent the provisions of these 

Conditions relate to the issuance or transfer of such Notes, references to the Class A-1 Notes, 

the Class B Notes, the Class C-2 Notes, the Class D-2 Notes, the Class E Notes and the 

Class F Subordinated Notes shall be deemed to include the principal amount of the Class A-1 

Component, the Class B Component, the Class C-2 Component, the Class D-2 Component, 

the Class E Component and the Subordinated Components of which the respective 

Combination Notes are comprised and all references to payments (including redemptions) or 

distributions to be made with respect to, or to votes or consents to be given by the holders of, 

the Class A-1 Notes, the Class B Notes, the Class C-2 Notes, the Class D-2 Notes, the Class 

E Notes or, as the case may be, the Class F Subordinated Notes shall be deemed to include a 

reference to the proportional amount of such payments, distributions, votes or consents, as 

applicable, which relate to the Class A-1 Notes, the Class B Notes, the Class C-2 Component, 

the D-2 Component, the Class E Notes or, as the case may be, the Subordinated Components 

of the relevant Combination Notes (whether or not explicitly mentioned) and not, for the 

avoidance of doubt, to the principal amount outstanding of the Combination Notes following 

any partial redemption of such Combination Notes in accordance with the terms of the 

preceding paragraph. 

These Conditions include summaries of, and are subject to, the detailed provisions of the 

Trust Deed (which includes the forms of the Notes). The following agreements have been 

entered into in relation to the Notes: (a) an Agency Agreement dated 14 December 2005 (the 

"Agency Agreement") between, amongst others, the Issuer, J.P. Morgan Bank (Ireland) plc 

as the paying agent in Ireland (the "Irish Paying Agent", which term shall include any 

successor or substitute paying agent in Ireland appointed pursuant to the terms of the Agency 

Agreement), JPMorgan Chase Bank, National Association as principal paying agent (in such 

capacity, the "Principal Paying Agent" and, together with the Irish Paying Agent, the 

"Paying Agents" and each a "Paying Agent"), as account bank (in such capacity, the 

"Account Bank"), calculation agent (in such capacity, the "Calculation Agent"), custodian 

(in such capacity, the "Custodian") (which terms shall include any successor or substitute 

Principal Paying Agent, Paying Agent, Account Bank, Calculation Agent or Custodian, 

respectively, appointed pursuant to the terms of the Agency Agreement), (b) a Portfolio 

Management Agreement dated 14 December 2005 (the "Portfolio Management Agreement") 

between AXA Investment Managers Paris S.A. as Portfolio Manager in respect of the 

Portfolio (the "Portfolio Manager", which term shall include any successor or substitute 

Portfolio Manager appointed pursuant to the terms of the Portfolio Management Agreement), 

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the Issuer, JPMorgan Chase Bank, National Association as collateral administrator (in such 

capacity, the "Collateral Administrator", which term shall include any successor or 

substitute collateral administrator appointed pursuant to the terms of the Collateral 

Administration Agreement) and the Trustee; (c) the Initial Hedge Agreements (as defined 

below) between the Issuer and the Initial Hedge Counterparties; (d) the Corporate Services 

Agreement; (e) the Collateral Administration Agreement dated 14 December 2005 (the 

"Collateral Administration Agreement") between the Collateral Administrator, the Issuer, 

the Trustee, the Custodian and the Portfolio Manager; (f) the Euroclear Pledge Agreement 

dated 14 December 2005 (the "Euroclear Pledge Agreement") between the Trustee and the 

Issuer; (g) the OAT Strips Pledge T Agreement dated 14 December 2005 (the "OAT Strips 

Pledge T Agreement") between the Trustee and the Issuer; and (h) the OAT Strips Pledge U 

Agreement dated 14 December 2005 (the "OAT Strips Pledge U Agreement" and together 

with the OAT Strips Pledge T Agreement, the "OAT Strips Pledge Agreements") between 

the Trustee and the Issuer. Copies of the Trust Deed, the Agency Agreement, the Portfolio 

Management Agreement, the Corporate Services Agreement, the Collateral Administration 

Agreement, the Initial Rate Hedge Agreements, the Euroclear Pledge Agreement and the OAT 

Strips Pledge Agreements are available for inspection during usual business hours at the 

principal office of the Trustee (being at the Closing Date at Trinity Tower, 9 Thomas More 

Street, London E1W 1YT) and at the specified offices of the Paying Agents for the time 

being. The holders of each Class of Notes are entitled to the benefit of, are bound by and are 

deemed to have notice of all the provisions of the Trust Deed, and are deemed to have notice 

of all the provisions of the Agency Agreement applicable to them. 

1. Definitions 

"Accounts" means the Principal Account, the Interest Account, the Unused Proceeds 

Account, the Collateral Enhancement Account, the Expense Reserve Account, the 

Revolving Reserve Account, the GBP Principal Account, the GBP Interest Account, 

the Non-Euro Account, the Hedge Reserve Account, the Hedge Termination Receipt 

Account, the Currency OTM Option Account, the Custody Accounts, the Securities 

Lending Account, the Interest Reserve Account, the OAT Custody Account, the 

Synthetic Collateral Account, the Counterparty Downgrade Collateral Account, the 

Short Term Variable Funding Facility Account and the Payment Account. 

"Additional Reinvestment Ratio" means as of any Measurement Date, the ratio 

(expressed as a percentage) obtained by dividing (a) the amount equal to the Aggregate 

Collateral Balance less the Par Value Test Excess Adjustment Amount by (b) the 

aggregate Principal Amount Outstanding of the Class A Notes, the Class B Notes, the 

Class C Notes, the Class D Notes and the Class E Notes. 

"Additional Reinvestment Test" means the test which will be satisfied as of any 

Measurement Date if, on such Measurement Date, the Additional Reinvestment Ratio 

is at least 105.39 per cent. 

"Administrative Expenses" means amounts due and payable: 

- 93 -

(a) 

(b) 

(c) 

(d) 

(e) 

(f) 

(g) 

(h) 

(i) 

(j) 

(k) 

(l) 

to the independent accountants, auditors, listing agents, agents and counsel of 

the Issuer, including amounts payable to the Agents (other than the 

Custodian), each pursuant to the Agency Agreement but excluding any 

amounts payable in respect of the Notes; 

to the Custodian pursuant to the Agency Agreement; 

to any Rating Agency which may from time to time be requested to assign a 

rating to each of the Rated Notes or a confidential credit estimate to any of the 

Collateral Debt Obligations, for fees and expenses in connection with any such 

rating or confidential credit estimate or any ongoing surveillance fees for the 

transaction for the credit estimate; 

to the Directors and the Corporate Services Provider pursuant to the Corporate 

Services Agreement; 

to the Portfolio Manager pursuant to the Portfolio Management Agreement 

(including indemnities provided for therein), but excluding any Portfolio 

Management Fee and the repayment of Portfolio Manager Advances; 

to the Collateral Administrator pursuant to the Collateral Administration 

Agreement; 

to any other Person in respect of any governmental fee or charge (other than 

value-added taxes and taxes provided for elsewhere and withholding taxes) or 

any statutory indemnity; 

to the Irish Stock Exchange, or such other stock exchange or exchanges upon 

which any of the Notes are listed from time to time; 

to any other Person in respect of any other fees or expenses contemplated in 

the Conditions of the Notes or the documents delivered pursuant to or in 

connection with the issue and sale of the Notes; 

to the payment of any amounts due and payable by the Issuer to any Selling 

Institution pursuant to any Collateral Acquisition Agreement after the date of 

entry into any Participation; 

to the payment of any applicable VAT or amounts in respect of VAT required 

to be paid by the Issuer in respect of any of the foregoing to be paid 

simultaneously with such expenses; and 

to the payment of amounts due to an agent bank in relation to the performance 

of its duties under a syndicated Secured Senior Loan, Unsecured Senior Loan, 

Mezzanine Obligation or Revolving Obligation but excluding any amounts 

paid in respect of the acquisition or purchase price of such syndicated Secured 

Senior Loan, Unsecured Senior Loan, Mezzanine Obligation or Revolving 

Obligation; 

- 94 -

provided that "Administrative Expenses" shall not include any Trustee Fees and 

Expenses. 

"Affiliate" or "Affiliated" means with respect to a Person, (a) any other Person who, 

directly or indirectly, is in control of, or controlled by, or is under common control 

with, such Person or (b) any other Person who is a director, officer or employee (i) of 

such Person, (ii) of any subsidiary or parent company of such Person or (iii) of any 

Person described in clause (a) above. For the purposes of this definition, control of a 

Person shall mean the power, direct or indirect, (A) to vote in respect of more than 50 

per cent. of the securities having ordinary voting rights for the election of directors of 

such Person, or (B) to direct or cause the direction of the management and policies of 

such Person whether by contract or otherwise. 

"Agent" means each of the Registrar, the Paying Agents, the Transfer Agents, the 

Calculation Agent, the Account Bank and the Custodian and each of their permitted 

successors or assigns and "Agents" shall be construed accordingly. 

"Aggregate Collateral Balance" means, as at any Measurement Date, the amount 

equal to the aggregate of the following amounts, as at such Measurement Date: 

(a) 

(b) 

the Aggregate Principal Balance of all Collateral Debt Obligations; and 

the Balances standing to the credit of the Principal Account, the Hedge 

Termination Receipt Account (to the extent that such amounts would constitute 

Principal Proceeds payable into the Principal Account), the Unused Proceeds 

Account, the Non-Euro Account (to the extent that any such amount represents 

Principal Proceeds), the GBP Principal Account (converted into Euro at the 

Spot Rate of Exchange) and including, for the avoidance of doubt, any 

amounts standing to the credit of these Accounts and invested in Eligible 

Investments and including any Purchased Accrued Interest purchased with 

Unused Proceeds or Principal Proceeds. 

"Aggregate Principal Balance" means the aggregate of the Principal Balances of all 

the Collateral Debt Obligations and, when used with respect to some portion of the 

Collateral Debt Obligations, means the aggregate of the Principal Balances of such 

Collateral Debt Obligations, in each case, as at the date of determination. 

"Annual Audited Accounts" means the annual accounts of the Issuer which will be 

audited by the independent accountants appointed by the Issuer in accordance with the 

Portfolio Management Agreement. 

"Annual Interest Payment" means each periodic payment of interest received by the 

Issuer in respect of any Annual Pay Security. 

"Annual Interest Payment Amount" means the aggregate Annual Interest Payments 

to be made in any particular Due Period. 

- 95 -

"Annual Pay Security" means any Collateral Debt Obligation which provides for 

periodic payments of interest less frequently than semi-annually. 

"Applicable Recovery Rate" means the lesser of the Moody's Recovery Rate and/or 

the S&P Recovery Rate in respect of any Collateral. 

"Applicable Margin" has the meaning given thereto in Condition 6 (Interest). 

"Assignment" means an interest in a Secured Senior Loan, an Unsecured Senior Loan, 

a High Yield Bond which is a subordinated loan, or a Mezzanine Obligation acquired 

directly by way of novation or assignment. 

"Authorised Denomination" means in the case of the Regulation S Notes and 

Rule 144A Notes of each Class (including the Components of the Combination Notes), 

the Minimum Denomination and any denomination equal to one or more multiples of 

the Authorised Integral Amount in excess of the Minimum Denomination. 

"Authorised Integral Amount" means €5,000. 

"Authorised Officer" means, with respect to the Issuer, any Director of the Issuer or 

any agent who is authorised to act for the Issuer in matters relating to, and binding 

upon, the Issuer. 

"Balance" means on any date, with respect to any cash or Eligible Investments 

standing to the credit of an Account (or any sub-account thereof), the aggregate of the: 

(a) current balance of cash, demand deposits, time deposits, 

government-guaranteed funds and other investment funds; 

(b) 

(c) 

outstanding principal amount of interest-bearing corporate and government 

obligations and money market accounts and repurchase obligations; and 

purchase price, up to an amount not exceeding the face amount, of non 

interest-bearing government and corporate obligations, commercial paper and 

certificates of deposit; 

provided that if a default as to payment of principal and/or interest has occurred and is 

continuing (disregarding any grace periods provided for pursuant to the terms thereof) 

in respect of any Eligible Investment or any obligation of the obligor thereunder which 

is senior or equal in right of payment to such Eligible Investment, such Eligible 

Investment shall have a value equal to the lesser of its S&P Collateral Value and its 

Moody's Collateral Value (determined as if such Eligible Investment were a Collateral 

Debt Obligation). 

"Book-Entry Interests" means the beneficial interests in the CDIs attributable to the 

relevant Global Notes recorded by each of Euroclear and Clearstream, Luxembourg or 

their respective nominee. 

"Business Day" means (save to the extent otherwise defined) a day: 

- 96 -

(a) 

(b) 

(c) 

on which the TARGET System is open for settlement of payments in Euro; 

on which commercial banks and foreign exchange markets settle payments in 

London (other than a Saturday or a Sunday); and 

for the purposes of the definition of Presentation Date, in relation to any 

place, on which commercial banks and foreign exchange markets settle 

payments in that place. 

"Cash Settlement" means the settlement of a credit default swap, following the 

occurrence of a Credit Event thereunder and satisfaction of any other conditions to 

settlement specified therein, by the credit protection seller thereunder paying to the 

credit protection buyer thereunder the Cash Settlement Amount determined in 

accordance with the terms of such Offsetting Credit Default Swap or Credit Short 

Obligation. 

"Cash Settlement Amount" means in respect of any Offsetting Credit Default Swap or 

Credit Short Obligation the amount payable by the Offsetting Credit Default Swap 

Counterparty or Credit Short Obligation Counterparty (each as credit protection seller) 

to the Issuer (as the credit protection buyer) thereunder in accordance with the terms 

thereof. 

"CCC Average Market Value" means the sum over each CCC Obligation of the 

product of (i) its Principal Balance and (ii) its current Market Value, divided by the 

Aggregate Principal Balance of all CCC Obligations. 

"CCC Average Moody's Recovery Rate" means the sum in respect of each CCC 

Obligation of the product of (i) its Principal Balance and (ii) its applicable Moody's 

Recovery Rate, divided by the Aggregate Principal Balance of all CCC Obligations. 

"CCC Average S&P Recovery Rate" means the sum in respect of each CCC 

Obligation of the product of (i) its Principal Balance and (ii) its applicable S&P 

Recovery Rate, divided by the Aggregate Principal Balance of all CCC Obligations. 

"CCC Excess Balance A" means the lower of: 

(a) 

(b) 

5 per cent. of the Target Par Amount; and 

the greater of (i) the CCC Obligations Balance less 5 per cent. of the Target 

Par Amount and (ii) zero. 

"CCC Excess Balance B" means the greater of (i) the CCC Obligations Balance less 

10 per cent. of the Target Par Amount and (ii) zero. 

"CCC Excess Haircut" means, on any date of determination, the CCC Obligations 

Balance less the Haircut CCC Balance. 

"CCC Obligation" means, at any time, any Collateral Debt Obligation that has been 

ascribed a Moody's Rating of Caa1 or lower by Moody's or an S&P Rating of CCC+ 

- 97 -

or lower by S&P, provided that if any Collateral Debt Obligation falls within the 

definition of both: 

(a) 

(b) 

a "CCC Obligation" and a "Discount Obligation", such Collateral Debt 

Obligation shall be classified as a CCC Obligation; and 

a "CCC Obligation" and a "Current Pay Obligation", such Collateral Debt 

Obligation shall be classified as a Current Pay Obligation. 

"CCC Obligations Balance" means the Aggregate Principal Balance of all CCC 

Obligations. 

"CCC Proportion" means the CCC Obligations Balance divided by the Target Par 

Amount multiplied by 100 and expressed as a percentage. 

"CDI" means a certified depository interest in respect of each Global Note. 

"Class A-1 Component" means, in relation to each Class R Combination Note, the 

relative portion of such Class R Combination Note comprised of a Class A-1 Note, 

which represents 91 per cent. of the principal amount of such Class R Combination 

Note as at the Closing Date. 

"Class A-1 Definitive Notes" means the Class A-1 Reg S Definitive Notes and the 

Class A-1 Rule 144A Definitive Notes. 

"Class A-1 Global Notes" means the Class A-1 Reg S Global Note and the Class A-1 

Rule 144A Global Note. 

"Class A-1 Noteholders" means (i) in respect of a Class A-1 Global Note, the bearer 

thereof, and (ii) in respect of a Class A-1 Definitive Note issued under Condition 2(c) 

(Issue of Notes in Definitive Form), the person in whose name such Class A-1 

Definitive Note is registered, subject as provided in Condition 8(b) (Payments); and 

related expressions are to be construed accordingly. 

"Class A-1 Reg S Definitive Note" means any Class A-1 Note represented by a 

definitive note in registered form sold in reliance on Regulation S of the Securities Act. 

"Class A-1 Reg S Global Note" means any Class A-1 Note represented by a global 

note in bearer form sold in reliance on Regulation S of the Securities Act. 

"Class A-1 Rule 144A Definitive Note" means any Class A-1 Note represented by a 

definitive note in registered form sold in reliance on Rule 144A of the Securities Act. 

"Class A-1 Rule 144A Global Note" means any Class A-1 Note represented by a 

global note in bearer form sold in reliance on Rule 144A of the Securities Act. 

"Class A-2A Definitive Notes" means the Class A-2A Reg S Definitive Notes and the 

Class A-2A Rule 144A Definitive Notes. 

- 98 -

"Class A-2A Global Notes" means the Class A-2A Reg S Global Note and the Class 

A-2A Rule 144A Global Note. 

"Class A-2A Noteholders" means (i) in respect of a Class A-2A Global Note, the 

bearer thereof, and (ii) in respect of a Class A-2A Definitive Note issued under 

Condition 2(c) (Issue of Notes in Definitive Form), the person in whose name such 

Class A-2A Definitive Note is registered, subject as provided in Condition 8(b) 

(Payments); and related expressions are to be construed accordingly. 

"Class A-2A Reg S Definitive Note" means any Class A-2A Note represented by a 


"Class A-2A Reg S Global Note" means any Class A-2A Note represented by a global 


"Class A-2A Rule 144A Definitive Note" means any Class A-2A Note represented by 

a definitive note in registered form sold in reliance on Rule 144A of the Securities Act. 

"Class A-2A Rule 144A Global Note" means any Class A-2A Note represented by a 


"Class A-2B Definitive Notes" means the Class A-2B Reg S Definitive Notes and the 

Class A-2B Rule 144A Definitive Notes. 

"Class A-2B Global Notes" means the Class A-2B Reg S Global Note and the Class 

A-2B Rule 144A Global Note. 

"Class A-2B Noteholders" means (i) in respect of a Class A-2B Global Note, the 

bearer thereof, and (ii) in respect of a Class A-2B Definitive Note issued under 


Class A-2B Definitive Note is registered, subject as provided in Condition 8(b) 


"Class A-2B Reg S Definitive Note" means any Class A-2B Note represented by a 


"Class A-2B Reg S Global Note" means any Class A-2B Note represented by a global 


"Class A-2B Rule 144A Definitive Note" means any Class A-2B Note represented by 

a definitive note in registered form sold in reliance on Rule 144A of the Securities Act. 

"Class A-2B Rule 144A Global Note" means any Class A-2B Note represented by a 


"Class A/B Coverage Tests" means the Class A/B Interest Coverage Test and the 

Class A/B Par Value Test. 

"Class A/B Interest Coverage Ratio" means, as of any Measurement Date, the ratio 

(expressed as a percentage) obtained by dividing (a) the Interest Coverage Amount by 

- 99 -

(b) the scheduled interest payments due and payable on the Class A Notes and the 

Class B Notes on the next following Payment Date. 

"Class A/B Interest Coverage Test" means the test which will be satisfied (i) as of 

any Measurement Date falling on or before the second Determination Date, if, on such 

Measurement Date, the Class A/B Interest Coverage Ratio is at least 105.0 per cent 

and (ii) as of any Measurement Date thereafter, the Class A/B Interest Coverage Ratio 

is at least 125.0 per cent. 

"Class A/B Par Value Ratio" means, as of any Measurement Date, the ratio 

(expressed as a percentage) obtained by dividing (a) the amount equal to the Aggregate 

Collateral Balance less the Par Value Test Excess Adjustment Amount by (b) the 

Principal Amount Outstanding of the Class A Notes and the Class B Notes plus any 

amounts outstanding drawn down from the Short Term Variable Funding Facility. 

"Class A/B Par Value Test" means the test which will be satisfied as of any 

Measurement Date if, on such Measurement Date, the Class A/B Par Value Ratio is at 

least equal to 118.62 per cent. 

"Class B Component" means, in relation to each Class S Combination Note, the 

relative portion of such Class S Combination Note comprised of a Class B Note, which 

represents 82 per cent. of the principal amount of such Class S Combination Note as at 

the Closing Date. 

"Class B Definitive Notes" means the Class B Reg S Definitive Notes and the Class B 

Rule 144A Definitive Notes. 

"Class B Global Notes" means the Class B Reg S Global Note and the Class B Rule 

144A Global Note. 

"Class B Noteholders" means (i) in respect of a Class B Global Note, the bearer 

thereof, and (ii) in respect of a Class B Definitive Note issued under Condition 2(c) 

(Issue of Notes in Definitive Form), the person in whose name such Class B Definitive 

Note is registered, subject as provided in Condition 8(b) (Payments); and related 

expressions are to be construed accordingly. 

"Class B Reg S Definitive Note" means any Class B Note represented by a definitive 

note in registered form sold in reliance on Regulation S of the Securities Act. 

"Class B Reg S Global Note" means any Class B Note represented by a global note in 

bearer form sold in reliance on Regulation S of the Securities Act. 

"Class B Rule 144A Definitive Note" means any Class B Note represented by a 


"Class B Rule 144A Global Note" means any Class B Note represented by a global 

note in bearer form sold in reliance on Rule 144A of the Securities Act. 

- 100 -

"Class C Coverage Tests" means the Class C Interest Coverage Test and the Class C 

Par Value Test. 

"Class C Interest Coverage Ratio" means, as of any Measurement Date, the ratio 


(b) the scheduled interest payments due and payable on the Class A Notes, the Class B 

Notes and the Class C Notes on the next following Payment Date. 

"Class C Interest Coverage Test" means the test which will be satisfied (i) as of any 

Measurement Date falling on or before the second Determination Date, if, on such 

Measurement Date, the Class C Interest Coverage Ratio is at least 105.0 per cent and 

(ii) as of any Measurement Date thereafter, the Class C Interest Coverage Ratio is at 

least 120.0 per cent. 

"Class C Par Value Ratio" means, as of any Measurement Date, the ratio (expressed 

as a percentage) obtained by dividing (a) the amount equal to the Aggregate Collateral 

Balance less the Par Value Test Excess Adjustment Amount by (b) the Principal 

Amount Outstanding of the Class A Notes, the Class B Notes and the Class C Notes 

plus any amounts outstanding drawn down from the Short Term Variable Funding 

Facility. 

"Class C Par Value Test" means the test which will be satisfied as of any 

Measurement Date if, on such Measurement Date, the Class C Par Value Ratio is at 


"Class C-1 Definitive Notes" means the Class C-1 Reg S Definitive Notes and the 

Class C-1 Rule 144A Definitive Notes. 

"Class C-1 Global Notes" means the Class C-1 Reg S Global Note and the Class C-1 


"Class C-1 Noteholders" means (i) in respect of a Class C-1 Global Note, the bearer 

thereof, and (ii) in respect of a Class C-1 Definitive Note issued under Condition 2(c) 

(Issue of Notes in Definitive Form), the person in whose name such Class C-1 



"Class C-1 Reg S Definitive Note" means any Class C-1 Note represented by a 


"Class C-1 Reg S Global Note" means any Class C-1 Note represented by a global 


"Class C-1 Rule 144A Definitive Note" means any Class C-1 Note represented by a 


"Class C-1 Rule 144A Global Note" means any Class C-1 Note represented by a 


- 101 -

"Class C-2 Component" means, in relation to each Class P Combination Note, the 

relative portion of such Class P Combination Note comprised of a Class C-2 Note, 

which represents 66 2 /3 per cent. of the principal amount of such Class P Combination 


"Class C-2 Definitive Notes" means the Class C-2 Reg S Definitive Notes and the 

Class C-2 Rule 144A Definitive Notes. 

"Class C-2 Global Notes" means the Class C-2 Reg S Global Note and the Class C-2 


"Class C-2 Noteholders" means (i) in respect of a Class C-2 Global Note, the bearer 

thereof, and (ii) in respect of a Class C-2 Definitive Note issued under Condition 2(c) 

(Issue of Notes in Definitive Form), the person in whose name such Class C-2 



"Class C-2 Reg S Definitive Note" means any Class C-2 Note represented by a 


"Class C-2 Reg S Global Note" means any Class C-2 Note represented by a global 


"Class C-2 Rule 144A Definitive Note" means any Class C-2 Note represented by a 


"Class C-2 Rule 144A Global Note" means any Class C-2 Note represented by a 


"Class D Coverage Tests" means the Class D Interest Coverage Test and the Class D 


"Class D Interest Coverage Ratio" means, as of any Measurement Date, the ratio 


(b) the scheduled interest payments due and payable on the Class A Notes, the Class B 

Notes, the Class C Notes and the Class D Notes on the next following Payment Date. 

"Class D Interest Coverage Test" means the test which will be satisfied (i) as of any 


Measurement Date, the Class D Interest Coverage Ratio is at least 101.0 per cent. and 

(ii) as of any Measurement Date thereafter, the Class D Interest Coverage Ratio is at 


"Class D Par Value Ratio" means, as of any Measurement Date, the ratio (expressed 



Amount Outstanding of the Class A Notes, the Class B Notes, the Class C Notes and 

the Class D Notes plus any amounts outstanding drawn down from the Short Term 

Variable Funding Facility. 

- 102 -

"Class D Par Value Test" means the test which will be satisfied as of any 

Measurement Date if, on such Measurement Date, the Class D Par Value Ratio is at 


"Class D-1 Definitive Notes" means the Class D-1 Reg S Definitive Notes and the 

Class D-1 Rule 144A Definitive Notes. 

"Class D-1 Global Notes" means the Class D-1 Reg S Global Note and the Class D-1 


"Class D-1 Noteholders" means (i) in respect of a Class D-1 Global Note, the bearer 

thereof, and (ii) in respect of a Class D-1 Definitive Note issued under Condition 2(c) 

(Issue of Notes in Definitive Form), the person in whose name such Class D-1 



"Class D-1 Reg S Definitive Note" means any Class D-1 Note represented by a 


"Class D-1 Reg S Global Note" means any Class D-1 Note represented by a global 


"Class D-1 Rule 144A Definitive Note" means any Class D-1 Note represented by a 


"Class D-1 Rule 144A Global Note" means any Class D-1 Note represented by a 


"Class D-2 Component" means, in relation to each Class Q Combination Note, the 

relative portion of such Class Q Combination Note comprised of a Class D-2 Note, 

which represents 61 1 /3 per cent. of the principal amount of such Class Q Combination 


"Class D-2 Definitive Notes" means the Class D-2 Reg S Definitive Notes and the 

Class D-2 Rule 144A Definitive Notes. 

"Class D-2 Global Notes" means the Class D-2 Reg S Global Note and the Class D-2 


"Class D-2 Noteholders" means (i) in respect of a Class D-2 Global Note, the bearer 

thereof, and (ii) in respect of a Class D-2 Definitive Note issued under Condition 2(c) 

(Issue of Notes in Definitive Form), the person in whose name such Class D-2 



"Class D-2 Reg S Definitive Note" means any Class D-2 Note represented by a 


- 103 -

"Class D-2 Reg S Global Note" means any Class D-2 Note represented by a global 


"Class D-2 Rule 144A Definitive Note" means any Class D-2 Note represented by a 


"Class D-2 Rule 144A Global Note" means any Class D-2 Note represented by a 


"Class E Component" means, in relation to each Class S Combination Note, the 

relative portion of such Class S Combination Note comprised of a Class E Note, which 

represents 18 per cent. of the principal amount of such Class S Combination Note as at 

the Closing Date. 

"Class E Coverage Tests" means the Class E Interest Coverage Test and the Class E 


"Class E Definitive Notes" means the Class E Reg S Definitive Notes and the Class E 


"Class E Global Notes" means the Class E Reg S Global Note and the Class E Rule 


"Class E Interest Coverage Ratio" means, as of any Measurement Date, the ratio 


(b) the scheduled interest payments due and payable on the Rated Notes on the next 

following Payment Date. 

"Class E Interest Coverage Test" means the test which will be satisfied (i) as of any 


Measurement Date, the Class E Interest Coverage Ratio is at least 101.00 per cent. and 

(ii) as of any Measurement Date thereafter, the Class E Interest Coverage Ratio is at 


"Class E Noteholders" means (i) in respect of a Class E Global Note, the bearer 

thereof, and (ii) in respect of a Class E Definitive Note issued under Condition 2(c) 

(Issue of Notes in Definitive Form), the person in whose name such Class E Definitive 

Note is registered, subject as provided in Condition 8(b) (Payments); and related 

expressions are to be construed accordingly. 

"Class E Par Value Ratio" means, as of any Measurement Date, the ratio (expressed 



Amount Outstanding of the Rated Notes plus any amounts outstanding drawn down 

from the Short Term Variable Funding Facility. 

"Class E Par Value Test" means the test which will be satisfied as of any 

Measurement Date if, on such Measurement Date, the Class E Par Value Ratio is at 


- 104 -

"Class E Reg S Definitive Note" means any Class E Note represented by a definitive 

note in registered form sold in reliance on Regulation S of the Securities Act. 

"Class E Reg S Global Note" means any Class E Note represented by a global note in 

bearer form sold in reliance on Regulation S of the Securities Act. 

"Class E Rule 144A Definitive Note" means any Class E Note represented by a 


"Class E Rule 144A Global Note" means any Class E Note represented by a global 

note in bearer form sold in reliance on Rule 144A of the Securities Act. 

"Class F IRR Threshold" means, in respect of any Payment Date, the threshold which 

is attained when all distributions on the Class F Subordinated Notes yield an Internal 

Rate of Return of at least 10 per cent. per annum on the initial principal amount of the 

Class F Subordinated Notes from the Closing Date to the relevant Payment Date. 

"Class F Definitive Notes" means the Class F Reg S Definitive Notes and the Class F 


"Class F Global Notes" means the Class F Reg S Global Note and the Class F Rule 


"Class F Reg S Definitive Note" means any Class F Subordinated Note represented by 

a definitive note in registered form sold in reliance on Regulation S of the Securities 

Act. 

"Class F Reg S Global Note" means any Class F Subordinated Note represented by a 

global note in bearer form sold in reliance on Regulation S of the Securities Act. 

"Class F Rule 144A Definitive Note" means any Class F Subordinated Note 

represented by a definitive note in registered form sold in reliance on Rule 144A of the 

Securities Act. 

"Class F Rule 144A Global Note" means any Class F Subordinated Note represented 

by a global note in bearer form sold in reliance on Rule 144A of the Securities Act. 

"Class F Subordinated Noteholder Report" means the report defined as such in the 

Portfolio Management Agreement which is prepared by the Collateral Administrator 

(in consultation with the Portfolio Manager) on behalf of the Issuer, and delivered to 

the Issuer, the Trustee and the Portfolio Manager and, upon request therefor in 

accordance with Condition 4(f) (Information Regarding the Portfolio), to any Class F 

Subordinated Noteholder or any Combination Noteholder and which shall include 

information regarding the status of certain of the Collateral pursuant to the Portfolio 

Management Agreement. 

"Class F Subordinated Noteholders" means (i) in respect of a Class F Global Note, 

the bearer thereof, and (ii) in respect of a Class F Definitive Note issued under 


- 105 -

Class F Definitive Note is registered, subject as provided in Condition 8(b) 


"Class of Notes" means each of the classes of Notes (including the Combination Notes) 

being (a) the Class A Notes (with the Class A-1 Notes, the Class A-2A Notes and the 

Class A-2B Notes together constituting one Class, subject as provided in these 

Conditions and the Trust Deed), (b) the Class B Notes, (c) the Class C Notes (with the 

Class C-1 Notes and the Class C-2 Notes together constituting one Class, subject as 

provided in these Conditions and the Trust Deed), (d) the Class D Notes (with the 

Class D-1 Notes and the Class D-2 Notes together constituting one Class, subject as 

provided in these Conditions and the Trust Deed), (e) the Class E Notes, (f) the 

Class F Subordinated Notes, (g) the Class P Combination Notes, (h) the Class Q 

Combination Notes, (i) the Class R Combination Notes, (j) the Class S Combination 

Notes, (k) the Class T Combination Notes and (l) the Class U Combination Notes each 

constitutes separate "Class" where such term is set out in the definitions of "Definitive 

Note" and "Global Note" and with respect to all references herein to the phrase 

"Definitive Notes/Global Notes representing the Notes of each Class" and phrases of 

similar import) and "Class" and "Class of Noteholders" shall be construed 

accordingly. 

"Class P Combination Noteholders" means (i) in respect of a Class P Global Note, 

the bearer thereof, and (ii) in respect of a Class P Definitive Note issued under 


Class P Definitive Note is registered, subject as provided in Condition 8(b) 


"Class P Combination Reg S Definitive Note" means any Class P Combination Note 

represented by a definitive note in registered form sold in reliance on Regulation S of 

the Securities Act. 

"Class P Combination Reg S Global Note" means any Class P Combination Note 

represented by a global note in bearer form sold in reliance on Regulation S of the 


"Class P Combination Rule 144A Definitive Note" means any Class P Combination 

Note represented by a definitive note in registered form sold in reliance on Rule 144A 

of the Securities Act. 

"Class P Combination Rule 144A Global Note" means any Class P Combination 

Note represented by a global note in bearer form sold in reliance on Rule 144A of the 


"Class P Definitive Notes" means the Class P Combination Reg S Definitive Notes 

and the Class P Combination Rule 144A Definitive Notes. 

"Class P Global Notes" means the Class P Combination Reg S Global Note and the 

Class P Combination Rule 144A Global Note. 

- 106 -

"Class P Subordinated Component" means, in relation to each Class P Combination 

Note, the relative portion of such Class P Combination Note comprised of a Class F 

Subordinated Note, which represents 33 1 /3 per cent. of the principal amount of such 

Class P Combination Note as at the Closing Date. 

"Class Q Combination Noteholders" means (i) in respect of a Class Q Global Note, 

the bearer thereof, and (ii) in respect of a Class Q Definitive Note issued under 


Class Q Definitive Note is registered, subject as provided in Condition 8(b) 


"Class Q Combination Reg S Definitive Note" means any Class Q Combination Note 



"Class Q Combination Reg S Global Note" means any Class Q Combination Note 



"Class Q Combination Rule 144A Definitive Note" means any Class Q Combination 



"Class Q Combination Rule 144A Global Note" means any Class Q Combination 



"Class Q Definitive Notes" means the Class Q Combination Reg S Definitive Notes 

and the Class Q Combination Rule 144A Definitive Notes. 

"Class Q Global Notes" means the Class Q Combination Reg S Global Note and the 

Class Q Combination Rule 144A Global Note. 

"Class Q Subordinated Component" means, in relation to each Class Q Combination 

Note, the relative portion of such Class Q Combination Note comprised of a Class F 

Subordinated Note, which represents 38 2 /3 per cent. of the principal amount of such 

Class Q Combination Note as at the Closing Date. 

"Class R Combination Noteholders" means (i) in respect of a Class R Global Note, 

the bearer thereof, and (ii) in respect of a Class R Definitive Note issued under 


Class R Definitive Note is registered, subject as provided in Condition 8(b) 


"Class R Combination Reg S Definitive Note" means any Class R Combination Note 



- 107 -

"Class R Combination Reg S Global Note" means any Class R Combination Note 



"Class R Combination Rule 144A Definitive Note" means any Class R Combination 



"Class R Combination Rule 144A Global Note" means any Class R Combination 



"Class R Definitive Notes" means the Class R Combination Reg S Definitive Notes 

and the Class R Combination Rule 144A Definitive Notes. 

"Class R Global Notes" means the Class R Combination Reg S Global Note and the 

Class R Combination Rule 144A Global Note. 

"Class R Subordinated Component" means, in relation to each Class R Combination 

Note, the relative portion of such Class R Combination Note comprised of a Class F 

Subordinated Note, which represents 9 per cent. of the principal amount of such 

Class R Combination Note as at the Closing Date. 

"Class S Combination Noteholders" means (i) in respect of a Class S Global Note, 

the bearer thereof, and (ii) in respect of a Class S Definitive Note issued under 


Class S Definitive Note is registered, subject as provided in Condition 8(b) (Payments); 

and related expressions are to be construed accordingly. 

"Class S Combination Reg S Definitive Note" means any Class S Combination Note 



"Class S Combination Reg S Global Note" means any Class S Combination Note 



"Class S Combination Rule 144A Definitive Note" means any Class S Combination 



"Class S Combination Rule 144A Global Note" means any Class S Combination Note 

represented by a global note in bearer form sold in reliance on Rule 144A of the 


"Class S Definitive Notes" means the Class S Combination Reg S Definitive Notes and 

the Class S Combination Rule 144A Definitive Notes. 

- 108 -

"Class S Global Notes" means the Class S Combination Reg S Global Note and the 

Class S Combination Rule 144A Global Note. 

"Class T Combination Noteholders" means (i) in respect of a Class T Global Note, 

the bearer thereof, and (ii) in respect of a Class T Definitive Note issued under 


Class T Definitive Note is registered, subject as provided in Condition 8(b) 


"Class T Combination Reg S Definitive Note" means any Class T Combination Note 



"Class T Combination Reg S Global Note" means any Class T Combination Note 



"Class T Combination Rule 144A Definitive Note" means any Class T Combination 



"Class T Combination Rule 144A Global Note" means any Class T Combination 



"Class T Definitive Notes" means the Class T Combination Reg S Definitive Notes 

and the Class T Combination Rule 144A Definitive Notes. 

"Class T Global Notes" means the Class T Combination Reg S Global Note and the 

Class T Combination Rule 144A Global Note. 

"Class T Subordinated Component" means, in relation to each Class T Combination 

Note, the relative portion of such Class T Combination Note comprised of a Class F 

Subordinated Note, which represents 41.0471 per cent. of the principal amount of such 

Class T Combination Note as at the Closing Date. 

"Class U Combination Note Coupon" has the meaning as set out in Condition 6(g) 

(Interests and other payments due on the Combination Notes). 

"Class U Combination Noteholders" means (i) in respect of a Class U Global Note, 

the bearer thereof, and (ii) in respect of a Class U Definitive Note issued under 


Class U Definitive Note is registered, subject as provided in Condition 8(b) 


"Class U Combination Reg S Definitive Note" means any Class U Combination Note 



- 109 -

"Class U Combination Reg S Global Note" means any Class U Combination Note 



"Class U Combination Rule 144A Definitive Note" means any Class U Combination 



"Class U Combination Rule 144A Global Note" means any Class U Combination 



"Class U Definitive Notes" means the Class U Combination Reg S Definitive Notes 

and the Class U Combination Rule 144A Definitive Notes. 

"Class U Global Notes" means the Class U Combination Reg S Global Note and the 

Class U Combination Rule 144A Global Note. 

"Class U Subordinated Component" means, in relation to each Class U Combination 

Note, the relative portion of such Class U Combination Note comprised of a Class F 

Subordinated Note, which represents 34.68 per cent. of the principal amount of such 

Class U Combination Note as at the Closing Date. 

"Clearstream, Luxembourg" means Clearstream Banking, société anonyme. 

"Closing Date" means 14 December 2005 (or such other date as may be agreed 

between the Issuer, the Initial Purchaser and the Portfolio Manager). 

"Collateral" means the property, assets, rights and benefits described in Condition 4(a) 

(Security) which are charged and/or assigned to the Trustee from time to time for the 

benefit of the Secured Parties pursuant to the Trust Deed or the Euroclear Pledge 

Agreement. 

"Collateral Administration Agreement" means the collateral administration 

agreement relating to the administration of the Portfolio dated on or about the Closing 

Date and made between, inter alios, the Issuer and the Collateral Administrator. 

"Collateral Debt Obligation" means any Secured Senior Loan, Unsecured Senior 

Loan, Mezzanine Obligation, High Yield Bond, any Synthetic Security or Offsetting 

Credit Default Swap, the Reference Obligation of which is a Secured Senior Loan, 

Second Lien Loan, Unsecured Senior Loan, Mezzanine Obligation or High Yield Bond 

purchased by the Issuer or the Portfolio Manager on its behalf or, where the context so 

requires, contemplated to be purchased for inclusion in the Portfolio from time to time 

which at the time of entering into a binding commitment to acquire such Collateral 

Debt Obligation satisfies the Eligibility Criteria. For the avoidance of doubt, the 

failure of any obligation to satisfy the Eligibility Criteria at any time after the Issuer or 

the Portfolio Manager (on behalf of the Issuer) has entered into a binding agreement to 

- 110 -

purchase it shall not cause such obligation to cease to constitute a Collateral Debt 

Obligation. 

"Collateral Enhancement Account" means an interest-bearing account in the name of 

the Issuer, held with the Account Bank, the amounts standing to the credit of which 

from time to time may be applied: 

(i) 

(ii) 

(iii) 

in the acquisition or exercise of Collateral Enhancement Obligations by or on 

behalf of the Issuer in accordance with the Portfolio Management Agreement; 

to distribution as Collateral Enhancement Obligations Proceeds according to 

the Priorities of Payment; or 

to repay any Portfolio Manager Advance outstanding; 

as more particularly described in Condition 3(i)(vii) (Collateral Enhancement Account); 

"Collateral Enhancement Obligation" means (a) any warrant or equity security, 

excluding Exchanged Equity Securities, or (b) any debt obligation, including, without 

limitation, any debt obligation that is not a Collateral Debt Obligation and/or any debt 

obligation acquired in the context of a workout of a Collateral Debt Obligation but 

including, without limitation, (i) warrants relating to a Senior Loan, Mezzanine 

Obligations or PIK Only Obligations, (ii) any equity security received upon conversion 

or exchange of, exercise of an option under or otherwise in respect of a Collateral Debt 

Obligation or (iii) any warrant or equity security purchased as part of a unit with a 

Collateral Debt Obligation (but in all such cases, excluding, for the avoidance of doubt, 

the Collateral Debt Obligation), in each case, the acquisition of which will not result in 

the imposition of any present or future, actual or contingent liabilities or obligations on 

the Issuer which are not discharged in full out of the Collateral Enhancement 

Obligation Proceeds in respect thereof, other than those which may arise at the option 

of the Issuer. 

"Collateral Enhancement Obligation Proceeds" means all Distributions and Sale 

Proceeds received in respect of any Collateral Enhancement Obligation. 

"Collateral Enhancement Obligation Proceeds Priority of Payments" means the 

priorities of payment set out in Condition 3(c)(i) (Application of Collateral 

Enhancement Obligation Proceeds). 

"Collateral Quality Tests" means the Collateral Quality Tests set out in the Portfolio 

Management Agreement being each of the following: 

(a) 

(b) 

for so long as any Notes rated by S&P are Outstanding, the S&P CDO 

Monitor Test and the S&P Minimum Weighted Average Recovery Rate Test; 

for so long as any Notes rated by Moody's are Outstanding, the Moody's 

Metric Test and the Maximum Weighted Average Life Test; and 

- 111 -

(c) 

for so long as any Notes rated by Moody's and/or S&P are Outstanding, the 

Minimum Spread Test and the Maximum Weighted Average Life Test, 

each as defined in the Portfolio Management Agreement. 

"Collateral Tax Event" means at any time, as a result of the introduction of a new, or 

any change in, any home jurisdiction or foreign tax statute, treaty, regulation, rule, 

ruling, practice, procedure or judicial decision or interpretation (whether proposed, 

temporary or final): (a) interest payments due from the Obligors of any Collateral 

Debt Obligations in relation to any Due Period becoming properly subject to the 

imposition of home jurisdiction or foreign withholding tax (other than where (i) such 

withholding tax is compensated for by a "gross-up" provision in the terms of the 

Collateral Debt Obligation, or such requirement to withhold is eliminated pursuant to a 

double taxation treaty so that the Issuer as holder thereof is held completely harmless 

from the full amount of such withholding tax on an after-tax basis and/or (ii) such 

withholding tax was reflected in the purchase price paid by the Issuer for the Collateral 

Debt Obligation) so that the aggregate amount of such withholding tax on all Collateral 

Debt Obligations in relation to such Due Period is equal to or in excess of 6 per cent. 

of the aggregate interest payments due (other than any additional interest arising as a 

result of the operation of any gross-up provision) on all Collateral Debt Obligations in 

relation to such Due Period; and (b) a substitution or relocation of the Issuer or other 

reasonable measures would fail to remedy (a) above. 

"Combination Noteholders" means the registered holders of the Combination Notes 

from time to time. 

"Common Depository" means JPMorgan Chase Bank, N.A., as common depository 

for Euroclear and Clearstream, Luxembourg. 

"Components" means the Class A-1 Component, the Class B Component, the Class C- 

2 Component, the Class D-2 Component, the Class E Component, the OAT Security T 

Component, the OAT Security U Component and/or the Subordinated Components (as 

applicable) of each Combination Note. 

"Conditions" means these terms and conditions, being the terms and conditions of the 

Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E 

Notes, the Class F Subordinated Notes, the Class P Combination Notes, the Class Q 

Combination Notes, the Class R Combination Notes, the Class S Combination Notes, 

the Class T Combination Notes and the Class U Combination Notes from time to time. 

"Controlling Class" means the Class A Notes (including the Combination Notes to the 

extent they include a Class A-1 Component corresponding to the Class A-1 Notes) or, 

following redemption and payment in full of the Class A Notes, the Class B Notes 

(including the Combination Notes to the extent they include a Class B Component 

corresponding to the Class B Notes) or, following redemption and payment in full of 

the Class B Notes, the Class C Notes (including the Combination Notes to the extent 

they include a Class C-2 Component corresponding to the Class C-2 Notes), or 

- 112 -

following redemption and payment in full of the Class C Notes, the Class D Notes 

(including the Combination Notes to the extent they include a Class D-2 Component 

corresponding to the Class D-2 Notes), or, following redemption and payment in full 

of the Class D Notes, the Class E Notes (including the Combination Notes to the extent 

they include a Class E Component corresponding to the Class E Notes), or, following 

redemption and payment in full of the Class E Notes, the Class F Subordinated Notes 

(including the Combination Notes to the extent they include a Subordinated 

Component). 

"Corporate Services Agreement" means the agreement dated 2 August 2005, by and 

between the Issuer and the Corporate Services Provider, relating to the administration 

and management of the Issuer, as such agreement may be amended, modified or 

supplemented. 

"Corporate Services Provider" means Bedell Trust Ireland Limited (formerly known 

as Bedell Cristin Trust Ireland Limited) and any permitted successor thereto under the 

Corporate Services Agreement. 

"Counterparty Downgrade Collateral" means any cash and/or securities delivered to 

the Issuer as collateral for the obligations of a Currency Hedge Counterparty under a 

Currency Hedge Agreement or an Interest Rate Hedge Counterparty under an Interest 

Rate Hedge Agreement or Offsetting Credit Default Swap Counterparty under an 

Offsetting Credit Default Swap, as applicable. 

"Counterparty Downgrade Collateral Account" means an interest-bearing account of 

the Issuer with the Custodian into which all Counterparty Downgrade Collateral is to 

be deposited as more particularly described in Condition 3(i)(vi) (Counterparty 

Downgrade Collateral Account). 

"Coverage Test" means each of the Class A/B Par Value Test, the Class A/B Interest 

Coverage Test, the Class C Par Value Test, the Class C Interest Coverage Test, the 

Class D Par Value Test, the Class D Interest Coverage Test, the Class E Par Value 

Test and the Class E Interest Coverage Test. 

"Credit Derivatives Definitions" means, the 2003 ISDA Credit Derivatives 

Definitions as supplemented, or amended or replaced from time to time or such other 

terms as may be internationally recognised for the purposes of documenting credit 

derivative contracts from time to time. 

"Credit Event" means, in respect of any Derivative Agreement each event which is 

specified as a Credit Event pursuant to the terms thereof. 

"Credit Impaired Obligation" means any Collateral Debt Obligation: 

(a) 

which has been downgraded or put on a watch list for possible downgrade by 

S&P or Moody's from the rating that was in effect on the date on which such 

Collateral Debt Obligation was first acquired (save in relation to any Tranche 

Collateral Debt Obligations, in which case the relevant rating for such 

- 113 -

Tranche Collateral Debt Obligations will be that which was in effect when the 

last Collateral Debt Obligation comprising such Tranche Collateral Debt 

Obligations was acquired) by the Issuer or the Portfolio Manager on its behalf, 

unless the Portfolio Manager in its reasonable business judgement (which shall 

not be called into question as a result of any subsequent event) determines 

such Collateral Debt Obligation is not a Credit Impaired Obligation; or 

(b) 

(c) 

(d) 

whose obligor, in the reasonable business judgement of the Portfolio Manager 

(which shall not be called into question as a result of any subsequent event), 

has shown deteriorated financial results unless the Portfolio Manager in its 

reasonable business judgement (which shall not be called into question as a 

result of any subsequent event) determines that a Senior Loan, Mezzanine 

Obligation or High Yield Bond of such Obligor is not a Credit Impaired 

Obligation (for the avoidance of doubt, the Portfolio Manager may determine 

that one category of Collateral Debt Obligation for a particular Obligor is a 

Credit Impaired Obligation whilst another category is not); or 

which, in the reasonable business judgement of the Portfolio Manager (which 

shall not be called into question as a result of any subsequent event), has a risk 

of declining in credit quality unless the Portfolio Manager in it is reasonable 

business judgement (which shall not be called into question as a result of any 

subsequent event) determines that such Collateral Debt Obligation is not a 

Credit Impaired Obligation; or 

(x) in the case of a floating rate Collateral Debt Obligation, has decreased in 

price to 99.00 per cent. or lower of the purchase price thereof (or Tranche 

Weighted Average Price, in which case such original purchase price for such 

Tranche Collateral Debt Obligation will be deemed to be the Tranche 

Weighted Average Price) or (y) in the case of either a floating rate or fixed 

rate Collateral Debt Obligation, has increased in spread versus the applicable 

benchmark (which, for the avoidance of doubt, in relation to a fixed rate 

Collateral Debt Obligation shall be the spread above the swap rate of the 

residual duration of such fixed rate Collateral Debt Obligation) by 0.10 per 

cent. or more from the original spread thereof, unless the Portfolio Manager 

in its reasonable business judgement (which shall not be called into question as 

a result of any subsequent event) determines that such Collateral Debt 

Obligation is not a Credit Impaired Obligation, 

provided that a Synthetic Security shall constitute a Credit Impaired Obligation if the 

Reference Obligation to which such Collateral Debt Obligation is linked would 

constitute a Credit Impaired Obligation if it were itself a Collateral Debt Obligation and 

provided, further, that if any Rating Agency has downgraded (and not subsequently 

reinstated) the rating of the Rated Notes by one or more sub-categories (in the case of 

the Class A Notes or the Class B Notes) or two or more sub-categories (in the case of 

any other Class of Rated Notes), then a "Credit Impaired Obligation" means any 

Collateral Debt Obligation which, in the Portfolio Manager's reasonable business 

- 114 -

judgement (which shall not be called into question as a result of any subsequent event), 

has significantly declined in credit quality and: 

(i) 

(ii) 

which has been downgraded or put on watch list for possible downgrade by 

S&P or Moody's from the rating that was in effect on the date on which such 








such Collateral Debt Obligation is not a Credit Impaired Obligation; or 

(x) in the case of a floating rate Collateral Debt Obligation, has decreased in 

price to 99.00 per cent. or lower of the original purchase price thereof (or 

Tranche Weighted Average Price, as applicable, in which case such original 

purchase price for such Tranche Collateral Debt Obligation will be deemed to 

be the Tranche Weighted Average Price) or (y) in the case of either a floating 

rate or a fixed rate Collateral Debt Obligation, has increased in spread versus 

the applicable benchmark (which, for the avoidance of doubt, in relation to a 

fixed rate Collateral Debt Obligation shall be the spread above the swap rate 

of the residual duration of such fixed rate Collateral Debt Obligation) by 0.10 

per cent. or more from the original spread thereof, 

unless the Portfolio Manager in its reasonable business judgement (which shall not be 

called into question as a result of any subsequent event) determines that such Collateral 

Debt Obligation is not a Credit Impaired Obligation. 

"Credit Improved Obligation" means any Collateral Debt Obligation: 

(a) 

(b) 

which has been upgraded or put on a watch list for possible upgrade by S&P 

or Moody's from the rating that was in effect on the date on which such 







not be called into question as a result of any subsequent event) determines that 

such Collateral Debt Obligation is not a Credit Improved Obligation; or 



has shown improved financial results; or 

- 115 -

(c) 

(d) 



has raised equity capital or other capital which has improved the liquidity or 

credit standing of such obligor; or 

which, in the reasonable business judgement of the Portfolio Manager (which 

shall not be called into question as a result of any subsequent event): (x) has 

significantly improved in credit quality or (y) which has increased in price to 

100.5 per cent. or more of the original purchase price thereof (save in relation 

to any Tranche Collateral Debt Obligations, in which case such original 

purchase price for such Tranche Collateral Debt Obligations will be deemed to 

be the Tranche Weighted Average Price) or, in the case of either a floating 

rate or a fixed rate Collateral Debt Obligation, has decreased in spread versus 

the applicable benchmark by 0.10 per cent. or more from the original spread 

thereof; 

provided that a Synthetic Security shall constitute a Credit Improved Obligation if the 

Reference Obligation to which such Synthetic Security is linked would constitute a 

Credit Improved Obligation if it were itself a Collateral Debt Obligation and provided, 

further, that if any Rating Agency has downgraded (and not subsequently reinstated) 

the rating of the Rated Notes by one or more sub-categories (in the case of the Class A 

Notes or the Class B Notes) or two or more subcategories (in the case of any other 

Class of Rated Notes), then a "Credit Improved Obligation" means any Collateral 

Debt Obligation which, in the Portfolio Manager's reasonable business judgement 

(which shall not be called into question as a result of any subsequent event), has 

significantly improved in credit quality and: 

(i) 

(ii) 

which has been upgraded or put on a watch list for possible upgrade by S&P 

or Moody's from the rating that was in effect on the date on which such 








such Collateral Debt Obligation is not a Credit Improved Obligation; or 

(x) in the case of a floating rate Collateral Debt Obligation, has increased in 

price to 100.5 per cent. or more of the original purchase price thereof (save in 

relation to any Tranche Collateral Debt Obligations, in which case such 

original purchase price for such Tranche Collateral Debt Obligations will be 

deemed to be the Tranche Weighted Average Price) or (y) in the case of either 

a floating rate or fixed rate Collateral Debt Obligation, has decreased in 

spread versus the applicable benchmark by 0.10 per cent. or more from the 

original spread thereof. 

- 116 -

"Credit Short Obligation" means an unfunded credit default swap entered into by the 

Issuer (as protection buyer) under an ISDA Master Agreement pursuant to which the 

Credit Short Obligation Counterparty (as protection seller) is required to make 

payments to the Issuer upon the occurrence of specified Credit Events in respect of the 

Reference Entity. The entry into, or acquisition of any Credit Short Obligation, save 

for a Form Approved Credit Short Obligation, will be subject to (among other things) 

Rating Agency Confirmation. 

"Credit Short Obligation Counterparty" means, pursuant to the terms of a Credit 

Short Obligation, any entity or person which: 

(a) 

(b) 

(c) 

is required to make payments as protection seller directly to the Issuer, or any 

guarantor of such entity; 

is authorised to conduct derivatives business with Irish counterparties; and 

satisfies the Rating Requirement. 

"Credit Short Obligation Replacement Payments" means any amount payable by the 

Issuer to a Credit Short Obligation Counterparty upon entry into a replacement Credit 

Short Obligation. 

"Credit Short Obligation Replacement Receipts" means any amount payable by a 

Credit Short Obligation Counterparty to the Issuer upon entry into a replacement Credit 


"Credit Short Obligation Termination Payment" means any amount payable to the 

Credit Short Obligation Counterparty by the Issuer upon termination or modification of 

any Credit Short Obligation in whole or in part excluding any Defaulted Credit Short 

Obligation Termination Payment or amounts which are netted off against sale proceeds 

received in accordance with the definition of "Sale Proceeds". 

Credit Short Obligation Termination Receipts" means any amount payable to the 

Issuer by the Credit Short Obligation Counterparty upon termination or modification of 

a Credit Short Obligation in whole or in part including any Defaulted Credit Short 

Obligation Termination Receipt, but excluding any Cash Settlement Amount and 

Physical Settlement Amount. 

"Currency Hedge Agreement" means a Hedge Agreement (which, for the avoidance 

of doubt includes a Form-Approved Hedge) approved by the Rating Agencies entered 

into by the Issuer with a Currency Hedge Counterparty in respect of a currency risk 

transaction. 

"Currency Hedge Counterparty" means any financial institution (or its credit support 

provider) which, at the time it enters into a Currency Hedge Agreement, satisfies the 

applicable Rating Requirement (or whose obligations are guaranteed by a guarantor 

which satisfies the Rating Requirement) and which is authorised to conduct derivatives 

business with residents of Ireland. 

- 117 -

"Currency Hedge Counterparty Principal Exchange Amount" means each interim 

and final principal exchange amount scheduled to be paid to the Issuer by the Currency 

Hedge Counterparty pursuant to the terms of any transaction under a Currency Hedge 

Agreement. 

"Currency Hedge Counterparty Termination Payment" means the amount payable 

by a Currency Hedge Counterparty to the Issuer upon termination or modification of a 

Currency Hedge Agreement in whole or in part and unpaid amounts as described 

therein including any Defaulted Currency Hedge Termination Payment. 

"Currency Hedge Issuer Principal Exchange Amount" means each interim and final 

principal exchange amount scheduled to be paid by the Issuer to the Currency Hedge 

Counterparty pursuant to the terms of any transaction under a Currency Hedge 

Agreement. 

"Currency Hedge Issuer Termination Payment" means the amount payable to the 

Currency Hedge Counterparty by the Issuer upon termination or modification of a 

Currency Hedge Agreement in whole or in part and unpaid amounts as described 

therein excluding any Defaulted Currency Hedge Termination Payment. 

"Currency Hedge Replacement Payments" means any amount payable by the Issuer 

to a Currency Hedge Counterparty upon entry into a Replacement Currency Hedge 

Agreement. 

"Currency Hedge Replacement Receipts" means any amount payable by a Currency 

Hedge Counterparty to the Issuer upon entry into a Replacement Currency Hedge 

Agreement. 

"Currency Hedge Transaction Agreement" means an agreement subject to a Hedge 

Agreement (which for the avoidance of doubt includes any Form-Approved Hedge) 

approved by the Rating Agencies entered into by the Issuer with a Currency Hedge 

Counterparty in respect of a currency risk transaction and in accordance with the 

Hedging Procedures. 

"Currency Hedge Transaction Exchange Rate" means the rate of exchange set out in 

the relevant Currency Hedge Agreement. 

"Currency OTM Option Account" means the interest bearing account, segregated 

into a Euro and a Sterling ledger, in the name of the Issuer held with the Account Bank 

as more particularly described in Condition 3(i) (xiv) (Currency OTM Option Account). 

"Current Pay Obligation" means a Collateral Debt Obligation that would otherwise be 

a Defaulted Obligation, but as to which: 

(a) 

the most recent interest payment due thereon was paid in cash and the 

Portfolio Manager reasonably expects (as determined in the reasonable 

business judgement of the Portfolio Manager (which shall not be called into 

question as a result of any subsequent event)) that the next interest payment 

- 118 -

due will be paid in cash which reasonable expectation shall be evidenced in 

writing to the Issuer, the Collateral Administrator and the Trustee provided 

however that the Portfolio Manager shall not be liable at all in the event such 

interest payment is not paid in part or in full; 

(b) 

(c) 

(d) 

(e) 

the Moody's rating of such Collateral Debt Obligation is at least Caa1; 

the Market Value of such Collateral Debt Obligation is at least 80 per cent. of 

par; 

if the Obligor under such Collateral Debt Obligation is subject to any 

bankruptcy proceedings, a bankruptcy court has authorised the payment of 

interest due and payable on such Collateral Debt Obligation; and 

the Collateral Debt Obligation is not rated "D" by S&P; 

provided that (i) a Synthetic Security may be a Current Pay Obligation if it or its 

Reference Obligation is a Current Pay Obligation and (ii) no more than 7.5 per cent. of 

the Aggregate Collateral Balance may constitute Current Pay Obligations. 

"Current Rating Confirmation" means a confirmation received from Moody's and 

S&P that, as of any date, the then-current ratings of any of the Rated Notes would not 

be reduced or withdrawn as a result of any action or proposed action. 

"Custody Account" means the custody account or accounts established on the books of 

the Custodian in accordance with the provisions of the Agency Agreement and each 

cash account relating thereto. 

"Defaulted Credit Short Obligation Termination Payment" means any amount 

payable by the Issuer to a Credit Short Obligation Counterparty upon termination of 

any Credit Short Obligation in whole or in part following the occurrence of (a) an 

"Event of Default" in respect of which the Credit Short Obligation Counterparty was 

the sole "Defaulting Party" (each such term as defined therein) or (b) a "Termination 

Event" in respect of which the Credit Short Obligation Counterparty was the sole 

"Affected Party" (as such term is defined therein) to the extent such termination 

payment exceeds the amount of any Credit Short Obligation Replacement Receipts paid 

by the replacement Credit Short Obligation Counterparty under the related replacement 

Credit Short Obligation, but excluding any Cash Settlement Amounts and Physical 

Settlement Amounts. 

"Defaulted Credit Short Obligation Termination Receipt" means any amount 

payable to the Issuer by a Credit Short Obligation Counterparty upon termination of 

any Credit Short Obligation in whole or in part following the occurrence of (a) an 

"Event of Default" in respect of which the Credit Short Obligation Counterparty was 

the sole "Defaulting Party" (each such term as defined therein) or (b) a "Termination 

Event" in respect of which the Credit Short Obligation Counterparty was the sole 

"Affected Party" (as such term is defined therein) but excluding any Cash Settlement 

Amounts and Physical Settlement Amounts. 

- 119 -

"Defaulted Currency Hedge Termination Payment" means any amount payable by 

the Issuer to a Currency Hedge Counterparty upon termination of a Currency Hedge 

Agreement (a) in whole but not in part following the occurrence of an Event of Default 

in respect of which the Currency Hedge Counterparty was the Defaulting Party (each 

such term as defined in such Currency Hedge Agreement) or (b) in whole or in part 

following the occurrence of a Termination Event (other than a Tax Event or Illegality) 

in respect of which the Currency Hedge Counterparty was the Affected Party (each 

such term as defined in such Currency Hedge Agreement) to the extent such 

termination payment exceeds the amount of any Currency Hedge Replacement Receipts 

paid by the replacement Currency Hedge Counterparty under the related Replacement 

Currency Hedge Agreement. 

"Defaulted Currency Hedge Termination Receipt" means any amount payable by a 

Currency Hedge Counterparty to the Issuer upon termination of a Currency Hedge 

Agreement (a) in whole but not in part following the occurrence of an Event of Default 

in respect of which the Currency Hedge Counterparty was the Defaulting Party (each 

such term as defined in such Currency Hedge Agreement) or (b) in whole or in part 

following the occurrence of a Termination Event in respect of which the Currency 

Hedge Counterparty was the Affected Party (as such term is defined therein). 

"Defaulted Interest Rate Hedge Termination Payment" means any amount payable 

by the Issuer to an Interest Rate Hedge Counterparty upon termination of any Interest 

Rate Hedge Agreement (a) in whole but not in part following the occurrence of an 

Event of Default in respect of which the Interest Rate Hedge Counterparty was the 

Defaulting Party (each such term as defined in such Interest Rate Hedge Agreement) or 

(b) in whole or in part following the occurrence of a Termination Event (other than a 

Tax Event or Illegality) in respect of which the Interest Rate Hedge Counterparty was 

the Affected Party (each such term as defined in such Interest Rate Hedge Agreement) 

to the extent such termination payment exceeds the amount of any Interest Rate Hedge 

Replacement Receipts paid by the replacement Interest Rate Hedge Counterparty under 

the related Replacement Interest Rate Hedge Agreement. 

"Defaulted Interest Rate Hedge Termination Receipt" means any amount payable by 

an Interest Rate Hedge Counterparty to the Issuer upon termination of an Interest Rate 

Hedge Agreement (a) in whole but not in part following the occurrence of an Event of 

Default thereunder under which the Interest Rate Hedge Counterparty was the 

Defaulting Party (each such term as defined therein) or (b) in whole or in part 

following the occurrence of a Termination Event in respect of which the Interest Rate 

Hedge Counterparty was the Affected Party (as such term is defined therein). 

"Defaulted Obligation" means a Collateral Debt Obligation: 

(a) 

in respect of which, there has occurred and is continuing a default with respect 

to the payment of interest or principal (i) in the case of Collateral Debt 

Obligations in respect of which the Portfolio Manager has notified the Issuer 

and the Trustee in writing that, to the reasonable belief of the Portfolio 

Manager, such default has resulted from non-credit related causes, for at least 

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the lesser of three Business Days and any grace period applicable thereto and 

(ii) in the case of all other Collateral Debt Obligations, disregarding any grace 

periods applicable thereto in each case, which entitles the holders thereof, with 

notice or passage of time or both, to accelerate the maturity of all or a portion 

of the principal amount of such obligation, until such default has been cured or 

waived; 

(b) 

(c) 

in respect of which, any bankruptcy, insolvency or receivership proceeding 

has been initiated in connection with the Obligor under such Collateral Debt 

Obligation and such proceeding has not been stayed and dismissed; 

in respect of which, the Portfolio Manager becomes aware (based upon 

publicly available information) that the Obligor thereunder is in default as to 

payment of principal and/or interest on another obligation (and such default 

has not been cured), save for obligations constituting trade debts which the 

applicable Obligor is disputing in good faith, but only if one of the following 

conditions is satisfied: 

(i) 

(ii) 

both such other obligation and the Collateral Debt Obligation are full 

recourse, unsecured obligations and the other obligation is senior to, or 

pari passu with, the Collateral Debt Obligation in right of payment; or 

if the following conditions are satisfied: 

(A) both such other obligation and the Collateral Debt Obligation are 

full recourse, secured obligations secured by identical collateral; 

(B) the security interest securing the other obligation is senior to or 

pari passu with the security interest securing the Collateral Debt 

Obligation; and 

(C) the other obligation is senior to or pari passu with the Collateral 

Debt Obligation in right of payment, 

save that a Collateral Debt Obligation shall not constitute a Defaulted 

Obligation under this paragraph (c) if (x) it is a Current Pay Obligation and 

(y) such Collateral Debt Obligation does not have an S&P Rating of "D" or 

"SD"; 

(d) 

(e) 

(f) 

that is or becomes rated "D" or "SD" by S&P; 

which the Portfolio Manager (acting on behalf of the Issuer) determines in its 

reasonable business judgement (which shall not be called into question as a 

result of subsequent events) should be treated as a Defaulted Obligation; 

in respect of which, a Collateral Exchange has become binding upon the 

holders of such Collateral Debt Obligation, for the purposes of which 

"Collateral Exchange" means any amendment, exchange or restructuring of 

such Collateral Debt Obligation, if the Collateral Exchange is effected and any 

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obligation or package of obligations received do not satisfy the definition of 

Collateral Debt Obligation and the Eligibility Criteria as of the effective date 

of the Collateral Exchange or in the reasonable judgment of the Portfolio 

Manager either (x) amounts to a diminished financial obligation, or (y) has the 

purpose of helping the Obligor of such Collateral Debt Obligation to avoid 

default, provided that, if the Collateral Exchange is rejected or withdrawn, 

such Collateral Debt Obligation shall no longer be deemed to be a Defaulted 

Obligation under this subparagraph (f); or 

(g) 

which is a Synthetic Security, where any default by the Synthetic Counterparty 

occurs and is ongoing, 

in each case only until such default, write down or provision has been cured, waived, 

reversed or reinstated, or, in the case of paragraph (d) above, such rating has been 

raised, or, in the case of paragraph (e) above, the Portfolio Manager determines 

otherwise provided that no Collateral Debt Obligation that is deemed to be treated as a 

Current Pay Obligation shall constitute a Defaulted Obligation; provided further that in 

the case of a Synthetic Security, if the related Reference Obligation would constitute a 

Defaulted Obligation were it itself a Collateral Debt Obligation, then such Synthetic 

Security shall constitute a Defaulted Obligation and provided further that in the case of 

a Special Situation Investment Obligation if, and for so long as, the Collateral Debt 

Obligation to which it relates constitutes a Defaulted Obligation then such Special 

Situation Investment Obligation shall also constitute a Defaulted Obligation. 

"Defaulted Offsetting Credit Default Swap Termination Payment" means any 

amount payable by the Issuer to an Offsetting Credit Default Swap Counterparty upon 

termination of any Offsetting Credit Default Swap in whole or in part following the 

occurrence of (a) an "Event of Default" in respect of which the Offsetting Credit 

Default Swap Counterparty was the sole "Defaulting Party" (each such term as defined 

therein) or (b) a "Termination Event" in respect of which the Offsetting Credit Default 

Swap Counterparty was the sole "Affected Party" (as such term is defined therein) to 

the extent such termination payment exceeds the amount of any Offsetting Credit 

Default Swap Replacement Receipts paid by the replacement Offsetting Credit Default 

Swap Counterparty under the related replacement Offsetting Credit Default Swap, but 

excluding any Cash Settlement Amounts and Physical Settlement Amounts. 

"Defaulted Offsetting Credit Default Swap Termination Receipt" means any 

amount payable by an Offsetting Credit Default Swap Counterparty to the Issuer upon 

termination of an Offsetting Credit Default Swap in whole or in part following the 

occurrence of (a) an "Event of Default" thereunder under which the Offsetting Credit 

Default Swap Counterparty was the sole "Defaulting Party" (each such term as defined 

therein) or (b) a "Termination Event" in respect of which the Offsetting Credit Default 

Swap Counterparty was the sole "Affected Party" (as such term is defined therein), but 

excluding any Cash Settlement Amounts and Physical Settlement Amounts. 

"Deferred Interest" has the meaning given thereto in Condition 6(c) (Deferral of 

Interest). 

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"Deferring Mezzanine Obligation" means a Mezzanine Obligation which by its 

contractual terms provides for the deferral of interest and for the avoidance of doubt a 

Mezzanine Obligation which only defers current pay interest for credit reasons will not 

be a Deferring Mezzanine Obligation. 

"Definitive Note"" means the Class A-1 Definitive Notes, the Class A-2A Definitive 

Notes, the Class A-2B Definitive Notes, the Class B Definitive Notes, the Class C-1 

Definitive Notes, the Class C-2 Definitive Notes, the Class D-1 Definitive Notes, the 

Class D-2 Definitive Notes, the Class E Definitive Notes, the Class F Definitive Notes, 

the Class P Definitive Notes, the Class Q Definitive Notes, the Class R Definitive 

Notes, the Class S Definitive Notes, the Class T Definitive Notes and the Class U 

Definitive Notes. 

"Delayed Drawdown Obligation" means a Collateral Debt Obligation that (a) requires 

the Issuer to make one or more future advances to the borrower under the Underlying 

Instruments relating thereto, (b) specifies a maximum amount that can be borrowed on 

one or more borrowing dates which are specified or are subject to the satisfaction of 

certain conditions and (c) subject as provided below, does not permit the re-borrowing 

of any amount previously repaid; provided, always, that any such Collateral Debt 

Obligation will only constitute a Delayed Drawdown Obligation until the point that all 

such commitments to make advances to the borrower under the Underlying Instruments 

expire, are terminated or are reduced to zero. For the avoidance of doubt, for the 

purposes of the Coverage Tests, the Collateral Quality Tests and the Percentage 

Limitations (with the exception of the Minimum Spread Test), all Delayed Drawdown 

Obligations shall be considered to be fully drawn save for any Delayed Drawdown 

Obligation which provides that any drawing thereunder be applied in repayment of 

Collateral Debt Obligation currently owed by the Issuer. For the avoidance of doubt, 

each Delayed Drawdown Obligation shall be considered as a Secured Senior Loan, a 

Unsecured Senior Loan, a Mezzanine Obligation or High Yield Bond, as applicable. 

"Deliverable Obligation" means any obligation determined in accordance with the 

terms of a credit default swap to which Physical Settlement applies as being deliverable 

thereunder or, following the occurrence of a Credit Event, by the applicable buyer of 

credit protection to the applicable seller of credit protection against payment by such 

seller of credit protection of the applicable Physical Settlement Amount. In the event 

that the Issuer is unable to deliver such an obligation by Physical Settlement, then the 

Issuer shall either (i) provide for Cash Settlement, or (ii) undertake an alternative 

means to deliver such obligation as agreed to with the relevant counterparty. The 

Portfolio Manager shall make reasonable efforts to sell as soon as possible such 

obligation which does not satisfy the Eligibility Criteria. 

"Depository" means J.P. Morgan Bank Luxembourg S.A. 

"Depository Agreement" means the depository agreement pursuant to which the 

Global Notes will be deposited with or to the order of the Depository. 

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"Derivative Agreement" means any Interest Rate Hedge Agreement, Currency Hedge 

Agreement or any ISDA Master Agreement under which a Credit Short Obligation or 

Offsetting Credit Default Swap is entered into. 

"Determination Date" means the last Business Day of each Due Period or, in the case 

of any acceleration of the Notes pursuant to Condition 10 (Events of Default), the 

applicable Redemption Date. 

"Directors" means David Blair and Dermot Butler or such other person(s) who may be 

appointed as director(s) of the Issuer from time to time. 

"Discount Obligation" means any Collateral Debt Obligation (other than a Synthetic 

Security) or any Synthetic Security the Reference Obligation under which had, at the 

time of acquisition, a purchase price of: 

(i) 

(ii) 

less than 80 per cent. of the principal amount for a loan and less than 75 per 

cent. of the principal amount for a bond; 

between 80 per cent. and 85 per cent. of the principal amount for a loan and 

75 per cent. and 80 per cent. of the principal amount for a bond if the 

Moody's Rating for such loan or bond is less than B3, 

provided that such Collateral Debt Obligation or Synthetic Security (as the case may 

be) shall cease to be a Discount Obligation where the Market Value (determined on a 

weekly basis) thereof for any period of 30 consecutive Business Days equals or exceeds 

90 per cent. for a loan and 85 per cent. for a bond of the principal amount of such 

Collateral Debt Obligation and provided further that: 

(a) 

(b) 

(c) 

if any Collateral Debt Obligation falls within the definition of both a 

"Discount Obligation" and a "CCC Obligation", such Collateral Debt 

Obligation shall be classified as a CCC Obligation; 

if any Collateral Debt Obligation falls within the definition of both a 

"Discount Obligation" and a "Current Pay Obligation", such Collateral Debt 

Obligation shall be classified as a Current Pay Obligation unless the Portfolio 

Manager in its reasonable business judgement (which shall not be called into 

question as a result of subsequent events) determines otherwise; and 

if the Issuer acquires a Collateral Debt Obligation, which would otherwise be 

classified as a Discount Obligation, with proceeds from the sale of another 

Collateral Debt Obligation already held by the Issuer, at a price within 5 per 

cent of the sale price of such other Collateral Debt Obligation then the 

Collateral Debt Obligation purchased by the Portfolio Manager on behalf of 

the Issuer shall not be deemed to be a Discount Obligation provided always 

that the Collateral Debt Obligation sold by the Issuer was not a Discounted 

Obligation and provided further that: 

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(i) 

(ii) 

(iii) 

(iv) 

(v) 

such Substitute Collateral Debt Obligation is acquired at a price no lower 

than 65 per cent. of the principal amount of such Collateral Debt 

Obligation; 

such Substitute Collateral Debt Obligation has a Moody’s Rating at least 

equal to that of the sold Collateral Debt Obligation; 

the aggregate par amount of such substitutions on a cumulative basis has 

not exceeded 10 per cent. of the Target Par Amount or Rating Agency 

Confirmation has been received in respect of such Substitute Collateral 

Debt Obligation; 

the aggregate par amount of such substitutions outstanding does not 

exceed 5 per cent. of the then Aggregate Collateral Balance and does not 

exceed 2.5 per cent. of the Aggregate Collateral Balance if the purchase 

price is lower than 75 per cent. of the principal amount of such 

Collateral Debt Obligation or Rating Agency Confirmation has been 

received in respect of such Substitute Collateral Debt Obligation; 

the Portfolio Manager expects that such Substitute Collateral Debt 

Obligation will have a lower expected loss than the related item being 

sold and/or that such Substitute Collateral Debt Obligation will result in 

continued positive deal performance (as determined in the reasonable 

business judgment of the Portfolio Manager (which shall not be called 

into question as a result of subsequent events) and which reasonable 

expectation shall be evidenced in writing to the Trustee provided 

however that the Portfolio Manager shall not be liable at all in the event 

such interest payment is not paid in part or in full. 

"Discounted Collateral Haircut" means (a) the Aggregate Principal Balance of all 

Discount Obligations less (b) the sum of the purchase prices (expressed as a percentage 

and excluding, for the avoidance of doubt, any element of the purchase price 

representing accrued interest comprised in such purchase price) paid by the Issuer for 

each Discount Obligation multiplied by the Principal Balance of such Discount 

Obligation. 

"Distribution" means any payment of principal or interest or any dividend or premium 

or other amount (including any proceeds of sale) or asset paid or delivered on or in 

respect of any Collateral Debt Obligation, any Collateral Enhancement Obligation, any 

Eligible Investment, any Exchanged Equity Security or under or in respect of any 

Interest Rate Hedge Agreement or Currency Hedge Agreement, as applicable. 

"Due Period" means, with respect to any Payment Date, the period commencing on 

the day immediately following the eighth Business Day prior to the preceding Payment 

Date (or on the Closing Date, in the case of the Due Period relating to the first 

Payment Date) and ending on the eighth Business Day prior to such Payment Date (or, 

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in the case of the Due Period applicable to the Payment Date which is the Maturity 

Date of any Note, ending on the day preceding such Payment Date). 

"Effective Date" means the earlier of the Final Ramp-up Date (such date to be a 

Business Day) or the date designated as such by the Portfolio Manager by written 

notice to the Trustee, the Issuer and the Collateral Administrator pursuant to the 

Portfolio Management Agreement, subject to the Effective Date Requirements having 

been satisfied. 

"Effective Date Rating Event" means: 

(a) 

(b) 

either (i) the Initial Ratings of the Rated Notes being downgraded or 

withdrawn or (ii) either or both of the Rating Agencies notifying the Portfolio 

Manager on behalf of the Issuer that such Rating Agency intends to reduce or 

withdraw its Initial Ratings of the Notes, in each case, upon request for 

confirmation thereof by the Portfolio Manager, acting on behalf of the Issuer, 

prior to the Effective Date; and 

either the failure by the Portfolio Manager (acting on behalf of the Issuer) to 

present to the Rating Agencies a Rating Confirmation Plan or Rating Agency 

Confirmation not being received in respect of such Rating Confirmation Plan, 

provided that any downgrade or withdrawal of any of the Initial Ratings of the Rated 

Notes which is not directly related to the confirmation thereof required following the 

Effective Date or which occurs after confirmation thereof by the Rating Agencies shall 

not constitute an Effective Date Rating Event. 

"Effective Date Requirements" means each of (i) the Percentage Limitations, the 

Collateral Quality Tests and the Coverage Tests being satisfied, (ii) the Issuer having 

entered into binding commitments to acquire Collateral Debt Obligations the Aggregate 

Principal Balance of which equals or exceeds the Target Par Amount by such date 

(provided that, for the purposes of determining the Aggregate Principal Balance as 

provided above, any repayments or prepayments of any Collateral Debt Obligations 

subsequent to the date of acquisition thereof and not subsequently reinvested shall be 

added to the Aggregate Principal Balance of Collateral Debt Obligations); (iii) Rating 

Agency Confirmation of the Initial Ratings has been requested and (iv) the Portfolio 

Manager has declared in accordance with the Portfolio Management Agreement that 

the Effective Date has occurred. 

"Eligibility Criteria" means the Eligibility Criteria specified in the Portfolio 

Management Agreement which is required to be satisfied in respect of each Collateral 

Debt Obligation acquired by, or on behalf of, the Issuer at the time of entering into a 

binding commitment to acquire such obligation (for the avoidance of doubt, the failure 

of any obligation to satisfy the Eligibility Criteria at any time after the Issuer or the 

Portfolio Manager on behalf of the Issuer has entered into a binding agreement to 

purchase it shall not cause such obligation to cease to constitute a Collateral Debt 

Obligation). 

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"Eligible Investments" means any investment (denominated in its currency of receipt 

by the Issuer) that, in the event that it is an obligation of a company incorporated or 

established in, or a sovereign issuer of the (i) United States or otherwise bearing 

interest that arises, for U.S. federal income tax purposes, from sources within the 

United States, is Registered, (ii) that is not a security that has an "r" or "t" subscript 

from S&P, (iii) provides for a fixed payment of principal at maturity, (iv) the 

acquisition (including the manner of acquisition), ownership, enforcement or 

disposition of which will not cause the Issuer to be treated as engaged in a trade or 

business within the United States for U.S. federal income tax purposes, and (v) the 

nature of which do not violate the Investment Restrictions set forth in the Portfolio 

Management Agreement and, is one or more of the following obligations or securities, 

including, without limitation, any Eligible Investments for which the Custodian, the 

Trustee, the Collateral Administrator or the Portfolio Manager or an Affiliate of any of 

them provides services: 

(a) 

(b) 

direct obligations of, and obligations the timely payment of principal of and 

interest under which is fully and expressly guaranteed by, a Tier I Qualifying 

Country, a Tier II Qualifying Country or any agency or instrumentality of a 

Tier I Qualifying Country or Tier II Qualifying Country, the obligations of 

which are fully and expressly guaranteed by a Tier I Qualifying Country or 

Tier II Qualifying Country provided that such countries have a long-term debt 

credit of at least Aa3 from Moody's; 

demand and time deposits in, certificates of deposit, funds and bankers' 

acceptances issued by any depository institution or trust company (including 

the Account Bank) incorporated under the laws of a Tier I Qualifying Country 

or Tier II Qualifying Country which is subject to supervision and examination 

by governmental banking authorities so long as the commercial paper and/or 

the debt obligations of such depository institution or trust company (or, in the 

case of the principal depository institution in a holding company system, the 

commercial paper or debt obligations of such holding company) at the time of 

such investment or contractual commitment providing for such investment 

have, for so long as there are Rated Notes which are Outstanding: 

(i) 

(ii) 

a long-term debt credit rating of Aaa from Moody's and AAA from S&P 

(as applicable) (the "EI Minimum Long-Term Rating"); or 

a short-term debt rating of at least P-1 from Moody's and at least A-1+ 

from S&P (as applicable) (the "EI Minimum Short-Term Rating"), 

provided that in the case of commercial paper and short-term debt 

obligations rated A-1+ by S&P and with a maturity of longer than 

91 days, the issuer thereof must also have at the time of such investment 

a long-term credit rating of not less than the EI Minimum Long-Term 

Rating; or 

- 127 -

(iii) 

a market value rating of MRI+ from Moody's (as applicable) and either 

(x) a short-term debt rating of A-1+ from S&P or (y) a long-term debt 

credit rating of AAA from S&P; 

(c) 

subject to Rating Agency Confirmation, unleveraged repurchase obligations 

with respect to: 

(i) 

(ii) 

any obligation described in paragraph (a) above; or 

any other security issued or guaranteed by an agency or instrumentality 

of a Tier I Qualifying Country or Tier II Qualifying Country, in either 

case entered into with a depository institution or trust company (acting as 

principal) described in paragraph (b) above or entered into with a 

corporation (acting as principal) whose long-term debt obligations are 

rated not less than the EI Minimum Long-Term Rating or whose 

short-term debt obligations are rated not less than the EI Minimum 

Short-Term Rating at the time of such investment; provided, that if such 

security has a maturity of longer than 91 days, the issuer thereof must 

also have at the time of such investment a long-term credit rating of not 

less than the EI Minimum Long-Term Rating; 

(d) 

(e) 

(f) 

(g) 

securities bearing interest or sold at a discount issued by any corporation 

incorporated under the laws of a Tier I Qualifying Country or Tier II 

Qualifying Country that have a credit rating of not less than the EI Minimum 

Long-Term Rating at the time of such investment or contractual commitment 

providing for such investment; 

commercial paper or other short-term obligations having at the time of such 

investment a credit rating of not less than the EI Minimum Short-Term Rating 

and that either are bearing interest or are sold at a discount from the face 

amount thereof and have a maturity of not more than 183 days from their date 

of issuance; provided, that if such security has a maturity of longer than 

91 days, the issuer thereof must also have, at the time of such investment, a 

long-term credit rating of not less than the EI Minimum Long-Term Rating; 

off-shore funds investing in the money markets rated, at all times, not less 

than the EI Minimum Long-Term Rating and both formed and having their 

principal place of business outside of the United States and the shares, units or 

participations in which may be lawfully acquired in Ireland; and 

any other investment similar to those described in paragraphs (a) to (f) 

(inclusive) above: 

(i) 

(ii) 

in respect of which Rating Agency Confirmation has been received; and 

which has, in the case of an investment with a maturity of longer than 

91 days, a long-term credit rating not less than the EI Minimum 

Long-Term Rating or, in the case of investment with a maturity of 

- 128 -

91 days or less, a short-term credit rating of not less than the EI 

Minimum Short-Term Rating, 

and, for the purposes of sub-paragraphs (a) to (g) (inclusive) above, with a Stated 

Maturity (giving effect to any applicable grace period) no later than the third Business 

Day immediately preceding the next following Payment Date; provided however that 

Eligible Investments shall not include (a) any mortgage backed security, (b) any 

interest-only security, (c) any security whose payments are subject to withholding or 

deduction on account of tax, (d) any security the acquisition of which (including the 

manner of acquisition of which), ownership, enforcement or disposition of which will 

subject the Issuer to any tax which is imposed on net income in any jurisdiction outside 

Ireland, (e) any security purchased at a price in excess of 100 per cent. of par, (f) any 

investment that is not a "qualifying asset" for the purposes of Section 110 of the Irish 

Taxes Consolidation Act, 1997, or (g) any investment the acquisition of which gives 

rise to Irish stamp duty. 

"Enforcement Proceeds Priority of Payment" means the priorities of payment set out 

in Condition 11(b) (Enforcement). 

"EURIBOR" means the rate determined in accordance with Condition 6(e) (Interest on 

the Rated Notes) as applicable to (i) 7 month Euro deposits for the first Interest Accrual 

Period; and (ii) 6 month Euro deposits for each subsequent Interest Accrual Period. 

"Euro" and "€" means the currency introduced at the start of the third stage of 

European economic and monetary union pursuant to the Treaty establishing the 

European Community, as amended from time to time. 

"Euroclear" means Euroclear Bank S.A./N.V., as operator of the Euroclear System. 

"Euro Equivalent" means: (a) subject to the application of sub-paragraph (b) below 

and without double-counting, an amount expressed in Euro, which is equal to a 

specified amount denominated in a currency other than Euro, as determined by the 

Issuer, or the Portfolio Manager on its behalf, by reference to the prevailing spot rate 

of exchange on the relevant date; or (b) in the case of amounts denominated in a 

currency other than Euro standing to the credit of the Non-Euro Account which are 

scheduled to be paid by the Issuer under a Currency Hedge Agreement on the next 

following Payment Date, an amount expressed in Euro calculated using the applicable 

Currency Hedge Transaction Exchange Rate on the relevant date. 

"Euro-zone" means the region comprised of Member States of the European Union 

that have adopted the single currency in accordance with the Treaty establishing the 

European Community, as amended. 

"Event of Default" means each of the events defined as such in Condition 10(a) 

(Events of Default). 

"Exchanged Debt Obligation" is any debt obligation which is delivered to the Issuer 

upon acceptance of an Offer in respect of a Defaulted Obligation or received by the 

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Issuer as a result of restructuring of the terms of a Defaulted Obligation in effect as of 

the later of the Closing Date or date of issuance thereof provided always that if an 

Exchanged Debt Obligation satisfies the Eligibility Criteria it will be deemed to be a 

Collateral Debt Obligation for all purposes. 

"Exchanged Equity Security" is an equity security which is not a Collateral 

Enhancement Obligation nor a security the acquisition of which would cause the breach 

of applicable selling or transfer restrictions relating to the offering of securities or of 

collective investment schemes, which is delivered to the Issuer upon acceptance of an 

Offer in respect of a Defaulted Obligation or received by the Issuer as a result of 

restructuring of the terms of a Defaulted Obligation in effect as of the later of the 

Closing Date or date of issuance thereof. 

"Expense Reserve Account" means the interest bearing account of the Issuer with the 

Account Bank into which an initial deposit of up to €50,000 shall be made on the 

Closing Date and into which Interest Proceeds shall be deposited on each Payment Date 

(other than the date on which no Class F Subordinated Notes will remain outstanding 

following such Payment Date) at the discretion of the Portfolio Manager in the amount 

required pursuant to paragraph (B)(y) of Condition 3(c)(ii) (Application of Interest 

Proceeds) and out of which, inter alia, Trustee Fees and Expenses and Administrative 

Expenses which become payable during any Due Period shall be paid as more 

particularly described in Condition 3(i)(viii) (Expense Reserve Account). 

"Extraordinary Resolution" means, in relation to any Class of Noteholders, a 

resolution passed (at a meeting of such Class of Noteholders duly convened and held in 

accordance with the Trust Deed) by a majority of at least 75 per cent. of the votes cast 

and includes a written resolution in accordance with paragraph 13 of Schedule 5 to the 

Trust Deed. 

"Final Ramp-up Date" means 15 January 2007 or, if such date is not a Business Day, 

the next following Business Day. 

"Fixed Rate Collateral Debt Obligation" means a Collateral Debt Obligation which 

bears interest at a fixed rate. 

"Fixed Rate Notes" means each of the Class C-2 Notes and the Class D-2 Notes. 

"Floating Rate Collateral Debt Obligation" means a Collateral Debt Obligation, 

interest payable in respect of which is calculated by reference to a floating interest rate 

or index. 

"Floating Rate Eligible Investments" means Eligible Investments, interest payable in 

respect of which is calculated by reference to a floating rate or index. 

"Floating Rate Notes" means each of the Class A Notes, Class B Notes, Class C-1 

Notes, the Class D-1 Notes and the Class E Notes. 

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"Form-Approved Credit Short Obligation" means a Credit Short Obligation the 

documentation for and structure of which conforms to a form which has previously 

received Rating Agency Confirmation, save for the amount and timing of periodic 

payments, the name of the Reference Entity, the notional amount, the effective date 

and/or the termination date. 

"Form-Approved Hedge" means any Interest Rate Hedge Agreement or Currency 

Hedge Agreement in the form of a Hedge Agreement (as applicable) which has 

previously received Rating Agency Confirmation, save for the amount and timing of 

initial and/or periodic payments, the notional amount, the effective date and/or the 

termination date and "Form-Approved Hedges" means any of them. 

"Form-Approved Offsetting Credit Default Swap" means an Offsetting Credit 

Default Swap the documentation for and structure of which conforms to a form which 

has previously received Rating Agency Confirmation, save for the amount and timing 

of periodic payments, the name of the Reference Obligation, the notional amount, the 

effective date and/or the termination date. 

"Form-Approved Synthetic Security" means a Synthetic Security the documentation 

for and structure of which conforms to a form which has previously received Rating 

Agency Confirmation, save for the amount and timing of periodic payments, the name 

of the Reference Obligation, the notional amount, the effective date and/or the 

termination date and a Form-Approved Synthetic Security shall be deemed to constitute 

a Secured Senior Loan, Unsecured Senior Loan, High Yield Bond or Mezzanine 

Obligation, as applicable, if the Reference Obligation thereunder (if it were a Collateral 

Debt Obligation) would be a Secured Senior Loan, Unsecured Senior Loan, High Yield 

Bond or Mezzanine Obligation as determined by the Portfolio Manager. 

"GBP Interest Account" means the interest account of the Issuer with the Account 

Bank into which Interest Proceeds denominated in Sterling are to be paid as more 

particularly described in Condition 3(i)(xiii) (GBP Interest Account). 

"GBP Principal Account" means the interest bearing account of the Issuer with the 

Account Bank into which Principal Proceeds denominated in Sterling are to be paid as 

more particularly described in Condition 3(i)(xii) (GBP Principal Account). 

"Global Note" means the Class A-1 Global Notes, the Class A-2A Global Notes, the 

Class A-2B Global Notes, the Class B Global Notes, the Class C-1 Global Notes, the 

Class C-2 Global Notes, the Class D-1 Global Notes, the Class D-2 Global Notes, the 

Class E Global Notes, the Class F Global Notes, the Class P Global Notes, the Class Q 

Global Notes, the Class R Global Notes, the Class S Global Notes, the Class T Global 

Notes and the Class U Global Notes. 

"Haircut CCC Balance" means: 

(a) 

if the CCC Proportion is less than or equal to 5 per cent., the CCC 

Obligations Balance; 

- 131 -

(b) 

if the CCC Proportion is greater than 5 per cent., but less than or equal to 

10 per cent., the sum of: 

(i) 

the CCC Excess Balance A multiplied by the lower of: 

(A) 

(B) 

0.85; and 

the Market Value of the CCC Obligations equal to the excess 

(with CCC Obligations or portions thereof included in such 

excess being designated in order of market value, beginning 

with the lowest Market Value); and 

(ii) 

5 per cent. of the Aggregate Collateral Balance; and 

(c) 

if the CCC Proportion is greater than 10 per cent., the sum of: 

(i) 

the CCC Excess Balance B multiplied by the lower of: 

(A) 

(B) 

(C) 

the CCC Average Moody's Recovery Rate; 

the CCC Average S&P Recovery Rate; and 

the Market Value of the CCC Obligations equal to the excess 



with the lowest Market Value); 

(ii) 

the CCC Excess Balance A multiplied by the lower of: 

(A) 

(B) 

0.85; and 

the Market Value of the CCC Obligation equal to the excess 



with the lowest Market Value after excluding the CCC 

Obligations already included in paragraph (c)(i)(C) above); 

and 

(iii) 

5 per cent. of the Aggregate Collateral Balance. 

"Hedge Agreement" means each 1992 ISDA Master Agreement (Multicurrency-Cross 

Border) (or such other ISDA pro forma Master Agreement as may be published by 

ISDA from time to time), together with the schedules, confirmations and any ISDA 

credit support annexes relating thereto, entered into between the Issuer and each Hedge 

Counterparty evidencing one or more interest hedge or currency transactions entered 

into by the Issuer from time to time, as amended, supplemented or replaced from time 

to time and including any guarantee thereof and any credit support document entered 

into pursuant to the terms thereof and including any Replacement Currency Hedge 

Agreement and Replacement Interest Rate Hedge Agreement entered into in 

replacement thereof, and Hedge Agreements means, as the context may require, any or 

- 132 -

all of them and, for the avoidance of doubt, includes the Initial Hedge Agreements. 

Each Hedge Agreement entered into shall be in substantially the same form as those 

entered into between the Issuer and the Initial Hedge Counterparties on or around the 

Closing Date (other than any confirmation which shall be in the form agreed by the 

Issuer and the relevant Hedge Counterparty), subject to such amendments as may be 

agreed by the Trustee and in respect of which Rating Agency Confirmation has been 

obtained. 

"Hedge Counterparty" means any financial institution (or its credit support provider) 

either (i) which satisfies the applicable Rating Requirements or (ii) in the event that 

such Hedge Counterparty does not satisfy the applicable Rating Requirements 

(provided that the long-term or short-term senior unsecured debt ratings of such Hedge 

Counterparty is not rated below A3 and P-1 from Moody's and A-3 from S&P) at the 

time of entering such Hedge Agreement, such Hedge Counterparty posts collateral with 

the Issuer pursuant to the terms of the relevant Hedge Agreement, in each case with 

whom a Hedge Agreement is entered into by the Issuer in respect of which (taking into 

account any guarantor thereof) Rating Agency Confirmation is obtained or, in each 

case, any permitted assignee or successor under any Hedge Agreement in respect of 

which Rating Agency Confirmation is obtained and, in each case, who has the 

regulatory capacity to enter into derivatives transactions with Irish residents. 

"Hedge Reserve Account" means the interest bearing account, segregated into a Euro 

and a Sterling ledger, in the name of the Issuer held with the Account Bank as more 

particularly described in Condition 3(i)(xv) (The Hedge Reserve Account). 

"Hedge Termination Receipt Account" means the interest bearing account of the 

Issuer with the Account Bank into which Defaulted Interest Rate Hedge Termination 

Receipts, Defaulted Currency Hedge Termination Receipts, Interest Rate Hedge 

Counterparty Termination Payments and Currency Hedge Counterparty Termination 

Payments will be deposited. 

"Hedging Procedures" means procedures agreed by the Portfolio Manager (on behalf 

of the Issuer) in relation to Sterling denominated Collateral Debt Obligations as 

approved by the Rating Agencies. 

"High Yield Bond" means (a) a debt security (issued by means of a public offer) 

which is a high yielding debt security, in each case as determined by the Portfolio 

Manager in its sole and absolute discretion (which shall not be called into question as a 

result of subsequent events), excluding any debt security which is secured directly on, 

or represents the ownership of, a pool of consumer receivables, auto loans, auto leases, 

equipment leases, home or commercial mortgages, corporate debt or sovereign debt 

obligations or similar assets, including, without limitation, collateralised bond 

obligations, collateralised loan obligations or any similar security; or (b) a Synthetic 

Security, the Reference Obligation applicable to which is a high-yield bond of the type 

described in paragraph (a) above. 

- 133 -

"Incentive Management Fee" means the incentive management fee payable to the 

Portfolio Manager on each Payment Date pursuant to the Portfolio Management 

Agreement, excluding any value added tax due and payable thereon. 

"Initial Currency Hedge Agreement" means the initial Currency Hedge Agreement 

entered into on the Closing Date. 

"Initial Hedge Agreements" means the Initial Currency Hedge Agreement and/or the 

Initial Interest Rate Hedge Agreement entered into on the Closing Date. 

"Initial Hedge Counterparty " means Merrill Lynch Capital Markets Bank Limited. 

"Initial Interest Rate Hedge Agreement" means the initial Interest Rate Hedge 

Agreement entered into on the Closing Date. 

"Initial Payment Period" means the period commencing on and including the Closing 

Date to, but excluding, the first Payment Date. 

"Initial Purchaser" means Merrill Lynch International as initial purchaser pursuant to 

the Subscription Agreement. 

"Initial Ratings" means in respect of any Class of Notes and any Rating Agency, the 

ratings assigned to such Class of Notes by such Rating Agency as at the Closing Date 

and "Initial Rating" means each such rating. 

"Insolvency Law" has the meaning given thereto in Condition 10(a)(vi) (Insolvency 

Proceedings). 

"Interest Account" means an interest-bearing account of the Issuer with the Account 

Bank into which Interest Proceeds are to be paid as more particularly described in 

Condition 3(i)(ii) (Interest Account). 

"Interest Accrual Period" means the Initial Payment Period and each successive 

period from (and including) the prior Payment Date to (but excluding) the current 

Payment Date. 

"Interest Amount" means, on each Payment Date, the amount of interest payable in 

respect of the principal amount of the Notes of any Class indicated for any Interest 

Accrual Period being: 

(a) 

(b) 

in the case of any of the Floating Rate Notes the amount calculated by the 

Collateral Administrator as soon as practicable after 11:00 am (Brussels time) 

on the relevant Interest Determination Date in accordance with paragraph (A) 

of Condition 6(e)(ii) (Interest on the Rated Notes) excluding any Deferred 

Interest; 

in the case of any of the Fixed Rate Notes, the relevant amount calculated by 

the Collateral Administrator as soon as practicable after 11:00 am (Brussels 

- 134 -

time) on the relevant Interest Determination Date in accordance with 

paragraph (iii)(b) of Condition 6(e) (Interest on the Rated Notes); and 

(c) 

in the case of the Class F Subordinated Notes the amount calculated as 

provided in Condition 6(f) (Interest on the Class F Subordinated Notes) and 

payable pursuant to Condition 3(c) (Priorities of Payment). 

"Interest Coverage Amount" means, on any particular Measurement Date: 

(a) 

(b) 

the Balance standing to the credit of the Interest Account, Interest Reserve 

Account (excluding any Retained Portion) and Expense Reserve Account; 

plus the scheduled interest payments due but not yet received (in each case 

regardless of whether the applicable due date has yet occurred) (including for 

the avoidance of doubt (x) interest on any Collateral Debt Obligation that is 

the subject of an Offsetting Credit Default Swap and (y) deferred interest on a 

Deferring Mezzanine Obligation that will be treated as Interest Proceeds when 

realised and that is scheduled to pay in the Due Period in which such 

Measurement Date occurs) in the Due Period in which such Measurement 

Date occurs on the Collateral Debt Obligations, including scheduled interest 

on Non-Euro Obligations due to be received under a Currency Hedge 

Agreement in the form of Scheduled Periodic Currency Hedge Counterparty 

Payments and further excluding: 

(i) 

(ii) 

(iii) 

(iv) 

(v) 

(vi) 

accrued and unpaid interest on Defaulted Obligations; 

interest on any Collateral Debt Obligation to the extent that such 

Collateral Debt Obligation does not provide for the scheduled payment 

of interest in cash; 

any amounts, to the extent that such amounts if not paid, will not give 

rise to a default under the relevant Collateral Debt Obligation; 

any amounts expected to be withheld at source or otherwise deducted in 

respect of taxes; 

interest on any Collateral Debt Obligation which has not paid cash 

interest on a current basis for the lesser of twelve months and its most 

recent two interest periods; and 

any scheduled interest payments as to which the Issuer or the Portfolio 

Manager has actual knowledge that such payment will not be made, 

(c) 

(d) 

minus any Scheduled Periodic Credit Short Obligation Issuer Payment and 

Scheduled Periodic Offsetting Credit Default Swap Issuer Payment payable on 

or prior to the next Payment Date; 

minus the amounts payable pursuant to paragraphs (A) through (G) of the 

Interest Proceeds Priority of Payments on the following Payment Date; 

- 135 -

(e) 

(f) 

(g) 

(h) 

plus any Scheduled Periodic Interest Rate Hedge Counterparty Payment and 

plus/minus Periodic Currency Swap Differential receivable and/or payable on 

or before the following Payment Date; 

plus scheduled interest on the Eligible Investments and on the amounts 

standing to the credit of the Principal Account, Interest Account, Unused 

Proceeds Account, Hedge Termination Receipt Account, the Interest Reserve 

Account, the GBP Interest Account, the GBP Principal Account and the 

Hedge Reserve Account (including any portion of principal payments on any 

Eligible Investment purchased at a discount which represent interest but 

excluding any accrued interest on any Account balance or Eligible Investment 

to the extent such amounts constitute proceeds from interest purchased with 

Principal Proceeds, each as determined by the Portfolio Manager in 

accordance with the Portfolio Management Agreement) to be received in the 

Due Period in which such Measurement Date occurs; 

plus any amount to be transferred from the Unused Proceeds Account and/or 

the Principal Account to the Interest Account at the discretion of the Portfolio 

Manager, acting on behalf of the Issuer, two Business Days prior to the 

relevant Payment Date as described in paragraph (g) of Condition 3(i)(iii) 

(Unused Proceeds Account) and in paragraph (vi) of Condition 3(i)(i) 

(Principal Account); and 

plus the Release Amount. 

"Interest Coverage Ratio" means the Class A/B Interest Coverage Ratio, the Class C 

Interest Coverage Ratio, the Class D Interest Coverage Ratio or the Class E Interest 

Coverage Ratio, as the case may be. For the purposes of calculating any such Interest 

Coverage Ratio, the expected interest income on Collateral Debt Obligations, Eligible 

Investments and (to the extent applicable) the Accounts and the expected interest 

payable on the relevant Rated Notes will be calculated using the then current interest 

rates applicable thereto. 

"Interest Coverage Test" means the Class A/B Interest Coverage Test, the Class C 

Interest Coverage Test, the Class D Interest Coverage Test or the Class E Interest 

Coverage Test, as the case may be. 

"Interest Determination Date" has the meaning given thereto in Condition 6(e)(i)(A). 

"Interest Proceeds" means all amounts (without duplication) paid or payable into the 

Interest Account or GBP Interest Account from time to time and, with respect to any 

Payment Date, means the Interest Proceeds received by or on behalf of the Issuer 

during the related Due Period (including payments in the nature of interest received 

under any Interest Rate Hedge Agreement or Currency Hedge Agreement but 

excluding the proportion (which the notional amount of the relevant Offsetting Credit 

Default Swap bears to the outstanding principal amount of the related Collateral Debt 

Obligation) of any proceeds received in respect of the applicable spread or margin of a 

- 136 -

Collateral Debt Obligation which is the Reference Obligation pursuant to an Offsetting 

Credit Default Swap which would, but for the existence of such Offsetting Credit 

Default Swap, have constituted Interest Proceeds pursuant to the foregoing terms and, 

in respect of such excluded proportion, the net amount (if positive) to which such 

proportion of the applicable spread or margin exceeds the fixed amounts payable by the 

Issuer under the related Offsetting Credit Default Swap together with all interest 

received under the related Collateral Debt Obligation in respect of such excluded 

proportion shall be treated as Interest Proceeds) and, for this purpose, treating any 

Interest Proceeds that were due to be received in a Due Period which were not so 

received but which were received prior to the immediately following Payment Date as 

having been received in that Due Period, together with all Scheduled Periodic Interest 

Rate Hedge Counterparty Payments and Scheduled Periodic Currency Hedge 

Counterparty Payments and any other amounts to be disbursed as Interest Proceeds on 

such Payment Date in accordance with the Interest Proceeds Priority of Payments. 

"Interest Proceeds Priority of Payments" means the priorities of payment set out in 

Condition 3(c)(ii) (Application of Interest Proceeds). 

"Interest Rate Hedge Agreement" means an agreement subject to a Hedge Agreement 

(which, for the avoidance of doubt, shall include any Form-Approved Hedge) relating 

to an interest rate hedge transaction entered into by the Issuer which may be an interest 

rate swap transaction or an interest rate cap or an interest rate floor transaction, with an 

Interest Rate Hedge Counterparty. 

"Interest Rate Hedge Counterparty" means any financial institution (or its credit 

support provider) which, at the time it enters into an Interest Rate Hedge Agreement, 

satisfies the applicable Rating Requirement (or whose obligations are guaranteed by a 

guarantor which satisfies the Rating Requirement) and which is authorised to conduct 

derivatives business with residents of Ireland. 

"Interest Rate Hedge Counterparty Termination Payment" means the amount 

payable by the Interest Rate Hedge Counterparty to the Issuer upon termination of an 

Interest Rate Hedge Agreement in whole or in part and unpaid amounts as described 

therein including any Defaulted Interest Rate Hedge Termination Payment. 

"Interest Rate Hedge Issuer Termination Payment" means the amount payable to the 

Interest Rate Hedge Counterparty by the Issuer upon termination of an Interest Rate 

Hedge Agreement in whole or in part and unpaid amounts as described therein 

excluding any Defaulted Interest Rate Hedge Termination Payment. 

"Interest Rate Hedge Replacement Payment" means any amount payable to the 

Interest Rate Hedge Counterparty by the Issuer upon entry into a Replacement Interest 

Rate Hedge Agreement which replaces any Interest Rate Hedge Agreement terminated 

in whole or in part. 

"Interest Rate Hedge Replacement Receipt" means any amount payable to the Issuer 

by the Interest Rate Hedge Counterparty upon entry into a Replacement Interest Rate 

- 137 -

Hedge Agreement which is replacing an Interest Rate Hedge Agreement which was 

terminated in whole or in part. 

"Interest Reserve Account" means an interest-bearing account of the Issuer with the 

Account Bank as more particularly described in Condition 3(i)(xvii) (Interest Reserve 

Account). 

"Interest Reserve Amount" means the amount of €3,000,000 to be deposited into the 

Interest Reserve Account on the Closing Date. 

"Internal Rate of Return" means, in respect of the Class F Subordinated Notes 

Outstanding on any date, the semi-annual internal rate of return compounded on a 

semi-annual basis on the Class F Subordinated Notes as of such date, being that 

discount rate which, when applied to all payments made by the Issuer in respect of the 

Class F Subordinated Notes to such date, less the initial Principal Amount Outstanding 

of the Class F Subordinated Notes, produces a net present value of those cash flows to 

zero. 

"Investment Company Act" means the United States Investment Company Act of 

1940, as amended. 

"Investment Period" means the period from, and including, the Closing Date to, but 

excluding, the Effective Date. 

"ISDA Master Agreement" means the ISDA Master Agreement (Multicurrency- 

Cross-Border) or any successor thereto or replacement thereof or other agreement 

internationally recognised for the purposes of documenting derivative agreements of the 

type contemplated. 

"Issuer Fees and Expenses" means all amounts payable by the Issuer to Merrill Lynch 

International pursuant to the Issuer Fees and Expenses Letter, including, without 

limitation, the amounts payable thereunder in the event of the redemption of the Notes 

in whole prior to the Maturity Date (which includes an aggregate amount on account of 

the amounts which would otherwise be due on each subsequent Payment Date) as 

provided in the Issuer Fees and Expenses Letter plus any value added tax due and 

payable thereon. 

"Issuer Fees and Expenses Letter" means a letter dated 14 December 2005 between 

the Issuer and the Manager setting out the fees and expenses payable to Merrill Lynch 

International in connection with the issue of the Notes. 

"Issuer's Domestic Account" means the account of the Issuer with Allied Irish Banks 

(or any successor) into which, inter alia, the Issuer's share capital has been paid. 

"Liabilities" means losses, claims, damages, judgments, interest on judgments, 

assessments, taxes, costs, expenses (including but not limited to reasonable legal costs 

and expenses), demands, fees, charges, amounts paid in settlement or other liabilities. 

- 138 -

"Long Dated Collateral Debt Obligations" means a Collateral Debt Obligation that 

has a Stated Maturity after the Maturity Date but no more than one year after the 

Maturity Date. 

"Make-Whole Amount" means, with respect to any Fixed Rate Note, on any 

Redemption Date, 

(i) 

(b) 

an amount, expressed in euro, equal to the present value of the remaining 

payments of principal and interest on such Fixed Rate Note, calculated in 

accordance with accepted financial practices assuming that the entire aggregate 

principal outstanding amount (exclusive of payments on any such Fixed Rate 

Note that would have been payable on the applicable Redemption Date in any 

event had such Fixed Rate Note not become subject to redemption) of such 

Fixed Rate Note would be paid at the end of its Remaining Average Life using 

a discount factor utilising the applicable Make-Whole Management Fee Yield; 

and 

the Principal Amount Outstanding of such Fixed Rate Note. 

"Make-Whole Management Fee" means an amount due and payable to the Portfolio 

Manager pursuant to the Portfolio Management Agreement following (i) the occurrence 

of an early redemption in whole, but not in part only, of the Notes pursuant to 

Condition 7(b) (Optional Redemption) or (ii) the removal without cause of the Portfolio 

Manager pursuant to Clause 10.2 of the Portfolio Management Agreement, 

representing the present value (exclusive of payments in respect of such Portfolio 

Management Fees that would have been made on the applicable Redemption Date or 

removal date had the Notes not become subject to early redemption in whole or the 

Portfolio Manager removed without cause, as applicable) of the (i) Senior Portfolio 

Management Fee, (ii) Mezzanine Portfolio Management Fee and (iii) Subordinated 

Portfolio Management Fee, calculated in accordance with accepted financial practices 

assuming that the entire aggregate Senior Portfolio Management Fees, Mezzanine 

Portfolio Management Fees and Subordinated Portfolio Management Fees (calculated 

as provided below) would have been paid to the Portfolio Manager up to and including 

the Payment Date falling on or prior to the conclusion of the term of the Make-Whole 

Management Fee Weighted Average Life using a discount factor utilising the applicable 

Make-Whole Management Fee Yield, in each case together with any value added tax 

thereon provided always that: 

(a) 

for the purposes of calculating the Senior Portfolio Management Fees, the 

Mezzanine Portfolio Management Fees and the Subordinated Portfolio 

Management Fees that would otherwise have been payable to the Portfolio 

Manager in arrears on each Payment Date following the relevant Redemption 

Date, the Aggregate Collateral Balance shall be deemed to be equal to the 

Aggregate Collateral Balance on the Determination Date immediately 

preceding such Redemption Date or removal date, as applicable; and 

- 139 -

(b) 

the Portfolio Manager may, in its absolute discretion, by notice to the Issuer 

(with a copy to the Trustee and the Collateral Administrator) waive its 

entitlement to receive all or part of such Make-Whole Management Fee. 

"Make-Whole Management Fee Weighted Average Life" means, as of the 

Determination Date occurring immediately prior to (i) an early redemption in full of 

the Notes pursuant to Condition 7(b) (Optional Redemption) the lesser of (x) 1 and 

(y) the remaining number of years (rounded to the nearest hundredth) to the end of the 

Reinvestment Period or (ii) the removal without cause of the Portfolio Manager 

pursuant to Clause 10.2 of the Portfolio Management Agreement, with respect to the 

Collateral Debt Obligations (other than Defaulted Obligations), the number obtained by 

(i) summing the products obtained by multiplying (a) the average life at such time of 

each Collateral Debt Obligation (other than Defaulted Obligations) by (b) the 

outstanding Principal Balance of such Collateral Debt Obligations and (ii) dividing such 

sum by the aggregate Principal Balance at such time of all Collateral Debt Obligations 

(other than Defaulting Obligations). 

"Make-Whole Management Fee Yield" means (i) zero per cent., in the case of the 

Senior Portfolio Management Fee, (ii) 2.0 per cent., in the case of the Mezzanine 

Portfolio Management Fee, and (iii) 5.0 per cent., in the case of the Subordinated 

Portfolio Management Fee, above the yield to maturity implied by (a) the yields 

reported as at 10.00 am (Frankfurt time) on the tenth Business Day preceding the 

related Redemption Date or removal date, as applicable, on the display designated as 

"Page ICAPEURO" on the Reuters Monitor Money Rates Service (or such other 

display as may replace "Page ICAPEURO" on the Reuters Monitor Money Rates 

Service) for Euro swaps having a maturity equal to the Make-Whole Management Fee 

Weighted Average Life or (b) if such yield is not reported as at such time or the yield 

reported as at such time is not ascertainable, interpolating linearly such yield reported 

at such time on such page for (A) the Euro swaps with a maturity closest to and greater 

than the Make-Whole Management Fee Weighted Average Life and (b) the Euro swaps 

with a maturity closest to and less than the Make-Whole Management Fee Weighted 

Average Life. 

"Margin Stock" means "Margin Stock" as defined in Regulation U issued by the 

Board of Governors of the Federal Reserve System. 

"Market Value" means on any date of determination: 

(a) 

(b) 

the mean of the local currency mean bid and mean ask price determined by an 

independent pricing service; or 

if such service is not available, the mean of the local currency mean bid and 

mean ask price determined by three independent broker-dealers active in the 

trading of one or more Collateral Debt Obligations or, if three such 

broker-dealer prices are not available, the lower mean of the bid and ask price 

determined by two such broker-dealers or in the case where only one price is 

obtained, such price; or 

- 140 -

(c) 

if the determinations of such broker-dealers are not available, then the local 

currency fair market value thereof determined by the Portfolio Manager in a 

manner consistent with reasonable and customary market practice, 

in each case, as notified to the Collateral Administrator by the Portfolio Manager on 

the date of determination thereof, which shall, for the avoidance of doubt, be expressed 

as a percentage of par and shall exclude any accrued interest, and in the case of 

Non-Euro Obligations, converted into Euro at the relevant Currency Hedge 

Transaction Exchange Rate set forth in the relevant Currency Hedge Transaction 

Agreement or, if none, at the prevailing spot rate of exchange, as determined by the 

Calculation Agent at the direction of the Portfolio Manager. 

"Maturity Date" means the Payment Date falling on January 2021 or, in the event that 

such day is not a Business Day, the next following Business Day. 

"Measurement Date" means: 

(a) 

(b) 

the Effective Date; 

for the purposes of determining satisfaction of the Reinvestment Criteria after 

the Effective Date: 

(i) 

(A) on the date of, and at the time immediately prior to, the sale or, as 

the case may be, termination of any Collateral Debt Obligation (other 

than any Credit Impaired Obligation or Defaulted Obligation but 

including any Credit Improved Obligation), first, without taking into 

account and, secondly, taking into account the proposed sale and 

reinvestment of the Sale Proceeds thereof in Substitute Collateral Debt 

Obligations; and 

(B) on the date of, and at the time immediately following, the sale of any 

Credit Impaired Obligation or Defaulted Obligation, first, without taking 

into account and, secondly, taking into account, any proposed 

reinvestment of the Sale Proceeds relating to such Credit Impaired 

Obligation or Defaulted Obligation in Substitute Collateral Debt 

Obligations; 

(ii) 

at any time, on the date of, and at the time immediately following receipt 

of any Unscheduled Principal Proceeds or Scheduled Principal Proceeds, 

first, without taking into account and, secondly, taking into account, any 

proposed reinvestment of such Unscheduled Principal Proceeds or 

Scheduled Principal Proceeds in Substitute Collateral Debt Obligations; 

(c) 

(d) 

the date of acquisition of any additional Collateral Debt Obligation following 

the Effective Date or of any Special Situation Investment Obligation at any 

time; 

each Determination Date; and 

- 141 -

(e) 

the date as at which any Report is prepared, 

provided that in relation to any Measurement Date which falls within six weeks of the 

Closing Date, the Collateral Administrator shall only be required to provide testing 

services when it is reasonably practicable to do so. 

"Mezzanine Obligation" means (a) a mezzanine loan obligation or other comparable 

debt obligation (including any such loan or debt obligation with attached warrants and 

including any such obligation which is evidenced by an issue of notes), as determined 

by the Portfolio Manager, or a Participation therein; (b) a PIK Only Obligation, or a 

Participation therein; and/or (c) a Synthetic Security, the Reference Obligation 

applicable to which is an obligation of the type described in (a) or (b) above. 

"Mezzanine Portfolio Management Fee" means the fee payable to the Portfolio 

Manager in arrears on each Payment Date in respect of each Due Period pursuant to 

the Portfolio Management Agreement in an amount, as determined by the Collateral 

Administrator, equal to 0.20 per cent. per annum (calculated semi-annually on the 

basis of a 360-day year comprised of twelve 30-day months) of the Aggregate 

Collateral Balance at the beginning of the Due Period relating to such Payment Date, 

excluding any value added tax due and payable thereon. 

"Mezzanine Portfolio Management Fee Cap" means, in respect of each Due Period, 

the aggregate of (i) 0.20 per cent. per annum (calculated semi-annually on the basis of 

a 360-day year comprised of twelve 30-day months) of the Aggregate Collateral 

Balance at the beginning of the Due Period relating to such Payment Date and (ii) an 

amount equal to the value added tax in Ireland that would be payable on the amount 

calculated in (i) (not exceeding 21 per cent. of the amount in (i) above) assuming, if 

not otherwise the case, that such sum is consideration for a service supplied by the 

Portfolio Manager to the Issuer for such Due Period which is subject to value added 

tax in Ireland. 

"Minimum Denomination" means, in the case of each of the Regulation S Notes and 

the Rule 144A Notes of each Class, €250,000. 

"Minimum Proceeds Amount" means an amount sufficient to pay in full (in 

accordance with the Priorities of Payments): 

(a) 

(b) 

(c) 

the Redemption Price of each Class of the Rated Notes; 

all amounts due to each Hedge Counterparty under each Hedge Agreement; 

and 

all other administrative fees and other fees and costs and expenses payable 

under the Priorities of Payment prior to payments on the Notes (including, for 

the avoidance of doubt, any Make-Whole Management Fee due and payable). 

"Monthly Report" means any monthly report defined as such in the Collateral 

Administration Agreement which is prepared by the Collateral Administrator (in 

- 142 -

consultation with the Portfolio Manager) on behalf of the Issuer on such dates as are set 

forth in the Portfolio Management Agreement, and which is deliverable to the Issuer, 

the Trustee, the Portfolio Manager and the Rating Agencies and, upon request therefor 

in accordance with Condition 4(f) (Information Regarding the Portfolio), to any holder 

of a beneficial interest in a Note and which shall include information regarding the 

status of certain of the Collateral pursuant to the Collateral Administration Agreement. 

"Moody's" means Moody's Investors Service, Inc. and any successor or successors 

thereto. 

"Moody's Collateral Value" means in the case of any applicable Collateral Debt 

Obligation the lower of: 

(a) 

(b) 

its prevailing Market Value; and 

the relevant Moody's Recovery Rate 

in each case, multiplied by its outstanding principal amount (in the case of any 

Non-Euro Obligation, converted into Euro at the applicable Currency Hedge 

Transaction Exchange Rate), provided that if the Moody's Collateral Value cannot be 

determined for any reason, the Moody's Collateral Value shall be deemed to be for this 

purpose the relevant Moody's Recovery Rate multiplied by its outstanding principal 

amount (in the case of any Non-Euro Obligation, converted into Euro at the applicable 

Currency Hedge Transaction Exchange Rate). 

"Moody's Recovery Rate" means, in respect of each Collateral Debt Obligation, the 

recovery rate determined in accordance with the Portfolio Management Agreement. 

"Non-Call Period" means the period from the Closing Date to but excluding the 

Payment Date falling on 15 January 2010 (or if such date is not a Business Day, the 

next following Business Day). 

"Non-Euro Account" means each of the segregated interest bearing accounts for each 

applicable Non-Euro denominated currency in the name of the Issuer held with the 

Account Bank, and any other account denominated in a non-Euro denominated 

currency (following at least two Business Days' notification by the Portfolio Manager 

(on behalf of the Issuer) to the Collateral Administrator and the Account Bank of any 

non-Euro Obligation denominated in a currency in respect of which a segregated 

non-Euro Account has yet to be established by the Account Bank), as more particularly 

described in Condition 3(i)(ix) (Non-Euro Account). 

"Non-Euro Obligation" means any Collateral Debt Obligation purchased by or on 

behalf of the Issuer in accordance with the Portfolio Management Agreement which is 

denominated in Sterling, Danish Krone, Norwegian Krone, Swedish Krona, Swiss 

Francs, U.S. Dollars or Canadian Dollars and any other currency in respect of which 

Rating Agency Confirmation has been received and which satisfies each of the 

Eligibility Criteria. 

- 143 -

"Note Tax Event" means, at any time, the introduction of a new, or any change in a, 

home jurisdiction or foreign tax statute, treaty, regulation, rule, ruling, practice, 

procedure or judicial decision or interpretation, a failure to maintain a quotation of the 

Notes on a recognised stock exchange or a failure to ensure that the Notes are held in a 

recognised clearing system which results in (or would on the next Payment Date result 

in) any payment of principal or interest on any Class of Notes becoming properly 

subject to any withholding tax (other than any withholding tax which arises in the 

circumstances described in Condition 9(a)-(d)) and, in respect of which, the Issuer is 

satisfied that it cannot arrange for the substitution of a company incorporated in another 

jurisdiction in accordance with Condition 14(c) (Substitution). 

"Note Valuation Report" means the accounting report defined as such in the 

Collateral Administration Agreement which is prepared by the Collateral Administrator 

(in consultation with the Portfolio Manager) on behalf of the Issuer and deliverable to 

the Issuer, the Trustee, the Portfolio Manager, the Initial Purchaser, any holder of a 

beneficial interest in any Note (upon written request of such holder) and each Rating 

Agency not later than the second Business Day preceding the related Payment Date. 

"Noteholders" means the Class A Noteholders, the Class B Noteholders, the Class C 


Subordinated Noteholders from time to time. 

"OAT Custody T Account" means the custody account or accounts (including any 

cash account relating to any securities account) established on the books of the 

Custodian in accordance with the provisions of the Agency Agreement and to which 

the OAT Strips forming the OAT Strips T Portion will be credited. 

"OAT Custody U Account" means the custody account or accounts (including any 

cash account relating to any securities account) established on the books of the 

Custodian in accordance with the provisions of the Agency Agreement and to which 

the OAT Strips forming the OAT Strips U Portion will be credited. 

"OAT Relevant Sale T Portion" means in relation to a Payment Date, that portion of 

the OAT Strips to be sold on that Payment Date by the Custodian acting on behalf of 

the Issuer as determined by the Collateral Administrator and notified to the Issuer, the 

Portfolio Manager, the Trustee and the Custodian on the related Determination Date in 

accordance with the OAT Sale T Formula. 

"OAT Relevant Sale U Portion" means the OAT Strips described in item (iv) of the 

definition of the OAT Strips U Portion to be sold on that Payment Date by the 

Custodian acting on behalf of the Issuer as determined by the Collateral Administrator 

and notified to the Issuer, the Portfolio Manager, the Trustee and the Custodian on the 

related Determination Date in accordance with the OAT Sale U Formula. 

"OAT Sale T Formula" means the formula according to which the OAT Strips T 

Portion which collateralise the OAT Security T Component of the Class T Combination 

Notes may be sold as set out below: 

- 144 -

X 

E 

= 

( 1− 

P) 

Where: X = the principal amount of the OAT Strips T Portion to be sold 

on the relevant date; 

E = the distribution received on the Class T Subordinated Component 

on the relevant Payment Date; 

P = the OAT Market Value of the OAT Strips T Portion on the 

relevant date; and 

OAT Market Value = 

market, 

the best bid price from 3 market makers in the OAT 

provided that, when P is greater than or equal to 100.00 per cent., X will be 

equal to the principal amount of the OAT Strips available in the OAT Strips T 

Portion. 

"OAT Sale U Formula" means the formula according to which the OAT Strips 

described in item (iv) of the definition of the OAT Strips U Portion may be sold as set 

out below: 

X 

E 

= 

( 1− 

P) 

Where: 

X = the principal amount of the OAT Strips described in 

item (iv) of the definition of the OAT Strips U 

Portion to be sold on the relevant date; 

E = the distribution received on the Class U Subordinated 

Note Component or received with respect to items 

(i), (ii) and (iii) of the OAT Strips U Portion to the 

extent that such distribution in excess of the Class U 

Combination Note Coupon; 

P = the OAT Market Value of the OAT Strips described 

in item (iv) of the definition of the OAT Strips U 

Portion on the relevant date; and 

OAT Market Value = the best bid price from 3 market makers in the OAT 

market, 

- 145 -

provided that, when P is greater than or equal to 100.00 per cent., X will be equal to 

the principal of the OAT strips described in item (iv) of the definition of the OAT 

Strips U Portion.] 

"OAT Security T Component" means, in respect of the Class T Combination Notes, a 

Component thereof that represents an interest in the OAT Strips T Portion. 

"OAT Security U Component" means, in respect of the Class U Combination Notes, 

a Component thereof that represents an interest in the OAT Strips U Portion. 

"OAT Strip Collateral" means the security granted by the Issuer to the Trustee 

pursuant to the Trust Deed and the OAT Strips Pledge Agreements. 

"OAT Strips" means, Obligation Assimilable á de valeurs du Trésor securities issued 

by the French treasury which have been stripped by Spécialistes en Valeurs du Trésors 

into zero coupon bonds. 

"OAT Strips Pledge Agreements" means the OAT Strips Pledge T Agreement and the 

OAT Strips Pledge U Agreement; 

"OAT Strips Pledge T Agreement" means the Belgian law pledge agreement entered 

into between the Issuer and the Trustee on the Closing Date in respect of the OAT 

Strips T Portion; 

"OAT Strips Pledge U Agreement" means the Belgian law pledge agreement entered 

into between the Issuer and the Trustee on the Closing Date in respect of the OAT 

Strips U Portion; 

"OAT Strips Sale T Proceeds" means in relation to a Payment Date, the net proceeds 

of sale of the OAT Relevant Sale T Portion on that Payment Date received by the 

Custodian, acting on behalf of the Issuer pursuant to the terms of the Agency 

Agreement. 

"OAT Strips Sale U Proceeds" means in relation to a Payment Date, the net proceeds 

of sale of the OAT Relevant Sale U Portion on that Payment Date received by the 

Custodian, acting on behalf of the Issuer pursuant to the terms of the Agency 

Agreement. 

"OAT Strips T Portion" means OAT Strips with a maturity date of October 2020, 

ISIN FR0000570988 and principal amount of €9,550,000 purchased by the Issuer and 

held by the Custodian subject to the security created by the OAT Strips Pledge T 

Agreement. 

"OAT Strips U Portion" means OAT Strips with the following details: (i) maturity 

date April 2006, ISIN FR0000570483 and principal amount: €300,000, (ii) maturity 

date October 2006, ISIN FR0000570525 and principal amount: €250,000, (iii) maturity 

date April 2007, ISIN FR0000570566 and principal amount: €250,000, and (iv) 

maturity date October 2020, ISIN FR0000570988 and principal amount: €12,400,000. 

- 146 -

"Obligor" means, in respect of a Collateral Debt Obligation, the borrower thereunder 

or issuer thereof or, in either case, the guarantor thereof (as determined by the 

Portfolio Manager on behalf of the Issuer) including, where the context requires the 

Reference Entity under any Synthetic Security. 

"Offer" means, with respect to any Collateral Debt Obligation, (a) any offer by the 

obligor under such obligation or by any other Person made to all of the creditors of 

such obligor in relation to such obligation to purchase or otherwise acquire such 

obligation (other than pursuant to any redemption in accordance with the terms of the 

related underlying instruments) or to convert or exchange such obligation into or for 

cash, securities or any other type of consideration or (b) any solicitation by the issuer 

of such obligation or any other Person to amend, modify or waive any provision of 

such obligation or any related underlying instrument. 

"Offsetting Credit Default Swap" means an unfunded credit default swap entered into 

by the Issuer (as protection buyer) under an ISDA Master Agreement pursuant to 

which the Offsetting Credit Default Swap Counterparty (as protection seller) is 

required to make payments to the Issuer, provided that: 

(a) 

(b) 

(c) 

(d) 

(e) 

the Reference Obligation the subject of such Offsetting Credit Default Swap is 

a Collateral Debt Obligation already owned by the Issuer; 

the Offsetting Credit Default Swap has a notional amount less than or equal to 

the principal amount of the related Collateral Debt Obligation that is the 

Reference Obligation; 

the Maturity or the Term (as defined in such Offsetting Credit Default Swap) 

is less than or equal to the term of the related Collateral Debt Obligation that 

is the Reference Obligation; 

the Offsetting Credit Default Swap contains limited recourse provisions 

similar to those set out in the Trust Deed in favour of the Issuer; and 

the Offsetting Credit Default Swap contains limited recourse provisions and 

non-petition provisions in each case in substantially the same form as those set 

out in Condition 4(c) (Limited Recourse) save to the extent otherwise agreed 

by the Rating Agencies. 

The entry into, or acquisition of any Offsetting Credit Default Swap, save for a 

Form-Approved Offsetting Credit Default Swap, will be subject to (among other 

things) Rating Agency Confirmation. 

"Offsetting Credit Default Swap Counterparty" means, pursuant to the terms of an 

Offsetting Credit Default Swap, any entity or person which: 

(a) 

(b) 

is required to make payments as protection seller directly to the Issuer, or any 

guarantor of such entity; 

is authorised to conduct derivatives business with Irish counterparties; and 

- 147 -

(c) 

satisfies the Rating Requirement. 

"Offsetting Credit Default Swap Termination Payment" means any amount payable 

to the Offsetting Credit Default Swap Counterparty by the Issuer upon termination or 

modification of any Offsetting Credit Default Swap in whole or in part excluding any 

Defaulted Offsetting Credit Default Swap Termination Payment or amounts which are 

netted off against sale proceeds received in accordance with the definition of "Sale 

Proceeds". 

"Offsetting Credit Default Swap Termination Receipt" means any amount payable 

to the Issuer by the Offsetting Credit Default Swap Counterparty upon termination or 

modification of an Offsetting Credit Default Swap in whole or in part including any 

Defaulted Offsetting Credit Default Swap Termination Receipt, but excluding any Cash 

Settlement Amount and Physical Settlement Amount. 

"Offsetting Credit Default Swap Replacement Payments" means any amount 

payable by the Issuer to an Offsetting Credit Default Swap Counterparty upon entry 

into a replacement Offsetting Credit Default Swap. 

"Offsetting Credit Default Swap Replacement Receipts" means any amount payable 

by an Offsetting Credit Default Swap Counterparty to the Issuer upon entry into a 

replacement Offsetting Credit Default Swap. 

"Outstanding" means, in relation to the Notes of a Class as of any date of 

determination, all of the Notes of such Class issued other than: 

(a) 

(b) 

(c) 

(d) 

those Notes of the relevant Class which have been redeemed pursuant to the 

Trust Deed (with the exception of Class F Subordinated Notes and, to the 

extent of any Subordinated Component thereof, the Combination Notes) in 

relation to which amounts of Interest Proceeds and Principal Proceeds have, 

or may, become payable notwithstanding redemption of the principal amount 

of such Class F Subordinated Notes in full; 

those Notes of each Class in respect of which the date for redemption in 

accordance with the relevant Conditions has occurred and the redemption 

moneys (including premium (if any) and all interest payable in respect thereof 

and any interest payable in respect thereof and any interest payable under the 

relevant Conditions after such date) have been duly paid to the Trustee or to 

the Registrar in the manner provided in the Agency Agreement (and where 

appropriate notice to that effect has been given to the relevant Noteholders) 

and remain available for payment against presentation of the relevant 

Definitive Notes; 

those Notes which have become void in accordance with the Conditions; and 

those Notes which are represented by any Global Note to the extent that such 

Global Note shall have been exchanged for Notes represented by Notes 

pursuant to its provisions; 

- 148 -

provided that: 

(a) 

those Notes (if any) which are for the time being held by, for the benefit of, or 

on behalf of the Issuer and not cancelled shall (unless and until ceasing to be 

held) be deemed not to be Outstanding in respect of the following purposes 

only: 

(i) 

(ii) 

(iii) 

(iv) 

the right to attend and vote at any meeting of the Noteholders of a Class, 

an Extraordinary Resolution in writing and any direction or request by 

the Noteholders of a Class; 

the determination of how many and which of the relevant Notes are for 

the time being Outstanding for certain purposes under the Trust Deed 

and for the purposes of Conditions 10 (Events of Default) and 

11 (Enforcement); 

any discretion, power or authority (whether contained in the Trust Deed 

or vested by operation of law) which the Trustee is required, expressly 

or implicitly, to exercise in or by reference to the interests of the 

Noteholders or any of them; and 

the determination (where relevant) by the Trustee whether any event, 

circumstance, matter or thing, in its opinion, is materially prejudicial to 

the interests of the Noteholders of any Class; and 

(b) 

those Notes of each Class held by or on behalf of the Portfolio Manager and 

its Affiliates will be deemed not to be Outstanding in connection with any vote 

in connection with the removal of the Portfolio Manager (as defined in the 

Portfolio Management Agreement). 

and each Component of the Combination Notes will be considered to be Notes of the 

Class represented by such Component, with a principal amount equal to the principal 

amount of such Class and holders of the Combination Notes will be entitled to vote in 

respect of each Component of such Note, and, for the purposes of the Conditions and 

the Trust Deed, each Component of a Combination Note shall be deemed to be issued 

and Outstanding whilst comprised in a Combination Note but without any double 

counting of the principal amount Outstanding of the Combination Note. 

"Par Value Ratio" means the Class A/B Par Value Ratio or the Class C Par Value 

Ratio or the Class D Par Value Ratio or the Class E Par Value Ratio (as applicable). 

"Par Value Tests" means the Class A/B Par Value Test or the Class C Par Value Test 

or the Class D Par Value Test or the Class E Par Value Test (as applicable). 

"Par Value Test Excess Adjustment Amount" means, on any date of determination, 

(i) for the purposes of the Additional Reinvestment Test only, the sum of the CCC 

Excess Haircut and the Discounted Collateral Haircut and (ii) otherwise, the 

Discounted Collateral Haircut provided that if (a) the ratings assigned by Moody's to 

- 149 -

any of the Class A Notes or Class B Notes have been reduced by Moody's by one 

sub-category or more or have been withdrawn or (b) the ratings assigned by Moody's 

to any of the Class C Notes, Class D Notes or Class E Notes have been reduced by 

Moody's by two or more sub-categories or have been withdrawn or (c) the CCC 

Proportion is greater than 15 per cent. or (d) the Moody's Metric is higher than the 

Target Moody's Metric plus an amount as disclosed in the Portfolio Management 

Agreement for any Class of Notes then the Par Value Test Excess Adjustment Amount 

will in all cases include the CCC Excess Haircut. 

"Participation" means an interest in a Mezzanine Obligation, an Unsecured Senior 

Loan, a Secured Senior Loan or a High Yield Bond that is a subordinated loan acquired 

indirectly by the Issuer by way of sub-participation from a Selling Institution. 

"Participation Agreement" means an agreement between the Issuer and a Selling 

Institution in relation to the purchase by the Issuer of a Participation (which term shall 

include arrangements whereby the Issuer as a 'funding bank' enters into a collateralised 

guarantee in favour of a fronting bank). 

"Payment Account" means the account in the name of the Issuer held with the 

Account Bank to which amounts shall be transferred by the Account Bank on the 

instructions of the Collateral Administrator on the second Business Day prior to each 

Payment Date out of certain of the other Accounts in accordance with Condition 3(i) 

(Accounts) and out of which the amounts required to be paid on each Payment Date 

pursuant to the Priorities of Payment shall be paid as more particularly described in 

Condition 3(i)(iv) (Payment Account). 

"Payment Date" means 15 January and 15 July in each year, the Maturity Date and 

any Redemption Date. If any Payment Date would otherwise fall on a day which is not 

a Business Day, it shall be postponed to the next day that is a Business Day. 

"Payment Period" means each of the Initial Payment Period and the period from and 

including any Payment Date to but excluding the next successive Payment Date. 

"Percentage Limitations" means the Percentage Limitations defined as such in the 

Portfolio Management Agreement. 

"Periodic Currency Swap Differential" means in respect of Sterling denominated 

Collateral Debt Obligations subject to Currency Hedge Transaction Agreement only: 

(a) 

the sum in Sterling (converted into euro at the Spot Rate of Exchange (being 

the forward rate for the Measurement Date at the end of the relevant Due 

Period)) of: 

(i) 

multiplying the Principal Balance of each Floating Rate Collateral Debt 

Obligation in the Portfolio as of such date by the current per annum rate 

at which such Floating Rate Collateral Debt Obligation pays interest in 

cash in excess of three month Sterling LIBOR or such other floating rate 

index upon which such Floating Rate Collateral Debt Obligation bears 

- 150 -

interest (less any withholding tax deducted which is not grossed-up or 

recoverable under any applicable double tax treaty or domestic 

exemption); minus 

(ii) 

the Scheduled Periodic Currency Hedge Issuer Payment (in relation to 

the applicable margin and not to the Sterling LIBOR component) to be 

paid in the Due Period; plus 

(b) 

the Scheduled Periodic Currency Hedge Counterparty Payment (in relation to 

the applicable margin only and not the EURIBOR component) multiplied by 

the ratio of (i) 1 minus (ii) A divided by B; where "A" is the total Sterling 

notional of Sterling denominated Collateral Debt Obligations and "B" is the 

total Sterling notional of the relevant Currency Hedge Transaction 

Agreements. 

"Person" means an individual, corporation (including a business trust), partnership, 

collective investment scheme, joint venture, association, joint stock company, trust 

(including any beneficiary thereof), unincorporated association or government or any 

agency or political subdivision thereof. 

"Physical Settlement" means the settlement of an Offsetting Credit Default Swap or 

Credit Short Obligation following the occurrence of an "Event of Determination Date" 

(as such term is defined therein) and satisfaction of any other conditions to settlement 

specified therein by the credit protection buyer delivering deliverable obligations in an 

amount specified in the applicable Offsetting Credit Default Swap or Credit Short 

Obligation to the credit protection seller against payment of the Physical Settlement 

Amount relating to such deliverable obligations. 

"Physical Settlement Amount" means, in respect of any Offsetting Credit Default 

Swap or Credit Short Obligation the terms of which specify that "Physical Settlement" 

applies, the amount payable by the credit protection seller to the credit protection buyer 

thereunder against delivery of deliverable obligations in the amount and with 

characteristics required pursuant to the terms of such Offsetting Credit Default Swap or 

Credit Short Obligation. 

"PIK Only Obligation" means an obligation that pursuant to its terms defers all cash 

payments of interest due thereon, including, without limitation, by the issuance of 

additional debt obligations identical thereto or through additions to the principal amount 

thereof, provided that the Obligor may have an obligation to pay cash interest, upon 

satisfaction of certain conditions relating to, amongst others, debt coverage ratio and 

leverage. For the avoidance of doubt, a Deferring Mezzanine Obligation shall not be 

construed as a PIK Only Obligation. 

"Plan" means an employee benefit plan including collective investment funds, certain 

insurance company separate accounts and entities whose underlying assets are treated 

as if they were the assets of such plans pursuant to the U.S. Department of Labor 

which are subject to the United States Employee Retirement Income Security Act of 

- 151 -

1974 or such other plans subject to Section 4975 of the United States Internal Revenue 

Code 1986. 

"Portfolio" means the Collateral Debt Obligations, Collateral Enhancement 

Obligations, Exchanged Debt Obligation, Exchanged Equity Securities, Eligible 

Investments and Special Situation Investment Obligations held by or on behalf of the 

Issuer from time to time. 

"Portfolio Manager Advance" means any amount which may be advanced by the 

Portfolio Manager or any one of its Affiliates to the Issuer pursuant to the Portfolio 

Management Agreement on the terms set out therein for the purpose of acquiring or 

exercising rights under any Collateral Enhancement Obligation. 

"Portfolio Management Fee" means each of the Senior Portfolio Management Fee, 

the Subordinated Portfolio Management Fee, the Mezzanine Portfolio Management 

Fee, the Incentive Management Fee and the Make-Whole Management Fee. 

"Potential Event of Default" means any condition, event or act which, with the lapse 

of time and/or the issue, making or giving of any notice, certification, declaration 

and/or request and/or the taking of any similar action and/or the fulfilment of any 

similar condition would constitute an Event of Default. 

"Presentation Date" means a day which is a Business Day in the jurisdiction in which 

the account specified by the payee is open and in which the Note is presented for 

payment. 

"Principal Amount Outstanding" of a Note of any Class on any date shall be (i) the 

initial principal amount thereof, plus (ii) any Deferred Interest pursuant to 

Condition 6(c) (Deferral of Interest), less (iii) the aggregate of all principal payments 

(including Deferred Interest in respect of such Note and including, for the avoidance of 

doubt, in the case of any Combination Notes such principal amount outstanding as may 

have been reduced by the application of Interest Proceeds pursuant to Condition 6(g) 

(Interest and other payments due on the Combination Notes) or of redemption payments 

pursuant to Condition 7(m) (Redemption of the Combination Notes) that have become 

due and payable and have been paid since the Closing Date. 

"Principal Account" means the interest bearing account of the Issuer with the Account 

Bank into which Principal Proceeds are to be paid as more particularly described in 

Condition 3(i)(i) (Principal Account). 

"Principal Balance" means, with respect to any Collateral Debt Obligation (excluding 

Offsetting Credit Default Swaps and Credit Short Obligations), as of any date of 

determination, the outstanding principal amount thereof (and (i) including any deferred 

interest on a Deferring Mezzanine Obligation and on a PIK Only Obligation which has 

been previously capitalised and/or accrued up to (and including) the date of acquisition 

thereof and (ii) excluding any deferred interest on a Deferring Mezzanine Obligation 

and on a PIK Only Obligation which has been capitalised from (and excluding) the date 

of acquisition thereof if such deferred interest has not been irrevocably deemed to be 

- 152 -

treated as Principal Proceeds by the Portfolio Manager and not included in (i) above 

and (iii) including any deferred interest on any Deferring Mezzanine Obligation and on 

a PIK Only Obligation which has been capitalised from (and excluding) the date of 

acquisition thereof if such deferred interest has been irrevocably deemed to be treated 

as Principal Proceeds by the Portfolio Manager and not included in (i) above and 

(iv) including any Purchased Accrued Interest on a Collateral Debt Obligation), 

provided however that: 

(a) 

for all purposes other than as set forth in paragraphs (b) and (c) below, the 

Principal Balance of a Collateral Debt Obligation received upon acceptance of 

an Offer to exchange another Collateral Debt Obligation for such Collateral 

Debt Obligation, where such Offer expressly states that failure to accept such 

Offer may result in a default under any applicable Underlying Instrument, 

shall be deemed to be the lowest of: 

(i) 

(ii) 

(iii) 

a percentage of the outstanding principal amount thereof equal to the 

S&P Recovery Rate for such Collateral Debt Obligation, until such time 

as Interest Proceeds or Principal Proceeds, as applicable, are first 

received when due with respect to such Collateral Debt Obligation; 


Moody's Recovery Rate for such Collateral Debt Obligation, until such 

time as Interest Proceeds or Principal Proceeds, as applicable, are first 

received when due with respect to such Collateral Debt Obligation; and 


Market Value thereof, until such time as any payment is received by or 

on behalf of the Issuer in respect of such Collateral Debt Obligation 

(provided that this sub-paragraph (iii) shall not apply if the Market Value 

cannot be determined for any reason); 

(b) 

for the purpose of calculating each of the Percentage Limitations, the Moody's 

Weighted Average Rating Factor, the Weighted Average Spread, the 

Maximum Weighted Average Life, the S&P Weighted Average Recovery Rate 

and the S&P CDO Monitor Test, the Principal Balance of: 

(i) 

(ii) 

(iii) 

(iv) 

each Defaulted Obligation shall be zero; 

a Collateral Debt Obligation of the type referred to in paragraph (a) 

above shall be zero; 

a Current Pay Obligation shall be its full par value; and 

a Special Situation Investment Obligation shall be zero; 

- 153 -

(c) 

for all purposes other than as set forth in paragraph (b) above, the Principal 

Balance of: 

(i) 

(ii) 

each Defaulted Obligation and each Special Situation Investment 

Obligation (in relation to a Defaulted Obligation) shall be the lower of its 

S&P Collateral Value and its Moody's Collateral Value; and 

each Current Pay Obligation shall be the lesser of (A) a percentage of 

the outstanding principal amount thereof equal to the Market Value of 

such Current Pay Obligation and (B) 85.0 per cent. of the outstanding 

principal amount of such Current Pay Obligation; 

(d) 

(e) 

(f) 

the Principal Balance of any Non-Euro Obligation shall be the equivalent 

amount in Euro calculated using the applicable Currency Hedge Transaction 

Exchange Rate; 

the Principal Balance of any Collateral Debt Obligation that is a Synthetic 

Security shall be the notional amount specified as such in the Synthetic 

Security as reduced from time to time as a result of certain "credit events" 

occurring in respect of the relevant Reference Obligation; and 

for all purposes, and notwithstanding paragraphs (b), (c) and (d) above, the 

Principal Balance of any Collateral Debt Obligation that is the subject of an 

Offsetting Credit Default Swap shall be the outstanding principal amount 

thereof. 

"Principal Proceeds" means all amounts (without duplication) paid or payable into the 

Principal Account or the GBP Principal Account from time to time and, with respect to 

any Payment Date, means the Principal Proceeds received by or on behalf of the Issuer 

during the related Due Period and any other amounts to be disbursed as Principal 

Proceeds on such Payment Date in accordance with the Principal Proceeds Priority of 

Payments. 

"Principal Proceeds Priority of Payments" means the priorities of payment set out in 

Condition 3(c)(iii) (Application of Principal Proceeds). 

"Priorities of Payment" means (a) save for following any redemption of the Notes 

pursuant to Conditions 7(b) (Optional Redemption) to (g) (Redemption upon Failure to 

Appoint a Replacement Portfolio Manager) and prior to enforcement of the security 

over the Collateral, in the case of Interest Proceeds, the Interest Proceeds Priority of 

Payments or, in the case of Principal Proceeds, the Principal Proceeds Priority of 

Payments or in the case of Collateral Enhancement Obligation Proceeds, the Collateral 

Enhancement Obligation Proceeds Priority of Payments, and (b) following enforcement 

of the security over the Collateral pursuant to Condition 11 (Enforcement), the 

Enforcement Proceeds Priority of Payments. 

"Proceedings" has the meaning given thereto in Condition 20(b) (Jurisdiction). 

- 154 -

"Purchased Accrued Interest" means, with respect to any Due Period, all payments 

of interest and proceeds of sale and prepayments received during such Due Period in 

relation to any Collateral Debt Obligation, in each case, to the extent that such amounts 

represent accrued interest in respect of such Collateral Debt Obligation which was 

purchased at the time of acquisition thereof with Principal Proceeds and/or principal 

amounts paid out of the Unused Proceeds Account. 

"QIB" means a Person who is a qualified institutional buyer as defined in Rule 144A 

under the Securities Act. 

"QIB/QP" means a Person who is both a qualified institutional buyer as defined in 

Rule 144A under the Securities Act and a Qualified Purchaser for the purposes of 

Section 3(c)(7) of the Investment Company Act and the rules and regulations 

thereunder. 

"Qualified Purchaser" means a Person who is a qualified purchaser as defined in 

Section 2(a)(51) of the Investment Company Act. 

"Rating Agencies" means Moody's and S&P, provided that if at any time Moody's or 

S&P ceases to provide rating services, any other nationally recognised investment 

rating agency selected by the Issuer and satisfactory to the Trustee (a "Replacement 

Rating Agency"). In the event that at any time a Rating Agency is replaced by a 

Replacement Rating Agency, references to rating categories of the original Rating 

Agency in these Conditions, the Trust Deed and the Portfolio Management Agreement 

shall be deemed instead to be references to the equivalent categories of the relevant 

Replacement Rating Agency as of the most recent date on which such other rating 

agency published ratings for the type of security in respect of which such Replacement 

Rating Agency is used and any reference to "Rating Agency" shall be construed 

accordingly. 

"Rating Agency Confirmation" means, with respect to any specified action, 

determination or appointment, receipt by the Issuer of written confirmation by each 

Rating Agency which has assigned ratings to the Rated Notes that are Outstanding (or, 

if applicable, the Rating Agency specified) that such specified action, determination or 

appointment will not adversely affect any of the ratings currently assigned to the Rated 

Notes by such Rating Agency. 

"Rating Confirmation Plan" means a plan provided by the Portfolio Manager (acting 

on behalf of the Issuer) to the Rating Agencies setting forth the timing and manner of 

acquisition of additional Collateral Debt Obligations and/or any other intended action 

which will cause confirmation of the Initial Ratings, as further described and as defined 

in the Portfolio Management Agreement. 

"Rating Requirement" means: 

(a) 

in the case of the Account Bank and the Custodian, long-term and short-term 

unsecured debt ratings of at least A2 and P-1, respectively, from Moody's and 

- 155 -

AA- and A-1+ (in respect of the Account Bank) or A-1 (in respect of the 

Custodian), respectively, from S&P; 

(b) 

(c) 

(d) 

(e) 

(f) 

(g) 

(h) 

in the case, of any Selling Institution, a long-term senior unsecured rating of 

at least "A3" by Moody's and a long-term issuer credit rating of at least "A" 

by S&P; 

in the case of any Interest Rate Hedge Counterparty (or its credit support 

provider), long-term and short-term senior unsecured ratings of at least A1 

and P-1 from Moody's and short-term senior unsecured ratings of at least A-1 

from S&P; 

in the case of any Currency Hedge Counterparty (or its credit support 

provider), long-term and short-term senior unsecured ratings of at least A1 

and P-1 from Moody's and short-term senior unsecured ratings of at least 

A-1+ from S&P; 

in the case of any Securities Lending Counterparty, (i) in the case of a loan 

with a term of 90 days or less, a short-term senior unsecured debt rating or a 

guarantor with such rating of "P-1" from Moody's and "A-1+" from S&P and 

(ii) in the case of a loan with a term longer than 90 days, a long-term senior 

unsecured debt rating of at least "Aa3" from Moody's and at least "AA-" from 

S&P; 

in the case of the Short Term Variable Funding Facility Provider, short-term 

senior unsecured debt ratings of at least "P-1" from Moody's and at least "A- 

1" from S&P, and in the case of downgrade by S&P the Short Term Variable 

Funding Provider shall be replaced; 

in the case of the Principal Paying Agent, short-term unsecured debt ratings of 

at least P-1, from Moody's and at least A-1 from S&P; and 

in the case of Synthetic Counterparties (or their respective credit support 

provider) and Offsetting Credit Default Swap Counterparties (or their 

respective credit support provider) and Credit Short Obligation Counterparties 

(or their respective credit support provider), long-term and short-term 

unsecured debt ratings of at least A2 and P-1, respectively, from Moody's and 

short-term unsecured debt ratings of at least A-1+ from S&P, 

provided that in each case, if any of the requirements are not satisfied by any of the 

parties referred to above, Rating Agency Confirmation is received in respect of such 

party or where the obligations of such party are guaranteed by an entity meeting the 

Rating Requirement. 

"Receiver" has the meaning given thereto in Condition 10(a)(vi) (Insolvency 

Proceedings). 

"Record Date" has the meaning given thereto in Condition 8(b) (Payments). 

- 156 -

"Redemption Date" means each date specified for a redemption of the Notes of a 

Class pursuant to Condition 7 (Redemption and Purchase) or the date on which the 

Notes of such Class are accelerated pursuant to Condition 10 (Events of Default), or in 

each case, if such day is not a Business Day, the next day that is a Business Day 

(unless it would fall in the following month, in which case such date shall be brought 

forward to the immediately preceding Business Day). 

"Redemption Determination Date" has the meaning given thereto in 

Condition 7(b)(ii) (Conditions to Optional Redemption). 

"Redemption Notice" means a redemption notice in the form (for the time being 

current and which may, if the Note is held in a clearing system, be any form acceptable 

to the clearing system delivered in a manner acceptable to the clearing system) 

available from any of the Paying Agents which has been duly completed by a Class F 

Subordinated Noteholder or, as the case may be, a holder of Notes of the Controlling 

Class and which specifies, amongst other things, the applicable Redemption Date. 

"Redemption Price" means, when used with respect to: 

(a) 

(b) 

(c) 

any Floating Rate Note to be redeemed pursuant to Condition 7(a) (Final 

Redemption), Condition 7(b) (Optional Redemption), Condition 7(c) 

(Redemption Upon Breach of Coverage Tests), Condition 7(d) (Redemption 

Upon Effective Date Rating Event), Condition 7(e) (Redemption at the Option 

of the Portfolio Manager), Condition 7(f) (Redemption Following Expiry of the 

Reinvestment Period), Condition 7(g) (Redemption upon Failure to Appoint a 

Replacement Portfolio Manager) or Condition 10 (Events of Default), 100 per 

cent. of the Principal Amount Outstanding of the relevant Floating Rate Note 

to be redeemed, together with interest accrued and unpaid thereon to the date 

of redemption and any Deferred Interest (if any); 

any Fixed Rate Note to be redeemed pursuant to Condition 7(a) (Final 

Redemption), Condition 7(b) (Optional Redemption), Condition 7(c) 





Replacement Portfolio Manager) or Condition 10 (Events of Default), 100 per 

cent. of the Principal Amount Outstanding of the relevant Fixed Rate Note to 

be redeemed, together with interest accrued and unpaid thereon to the date of 

redemption and any Deferred Interest (if any) and if the Fixed Rate Notes are 

to be redeemed pursuant to Condition 7(b) (Optional Redemption) other than 

as a result of the occurrence of a Collateral Tax Event, Make Whole Amount; 

and 

any Class F Subordinated Note to be redeemed pursuant to Condition 7(a) 

(Final Redemption), Condition 7(b) (Optional Redemption), Condition 7(c) 


- 157 -




Replacement Portfolio Manager) or Condition 10 (Events of Default), such 

Class F Subordinated Note's pro rata share (calculated in accordance with the 

applicable Priorities of Payment) of the aggregate proceeds of liquidation of 

the Collateral or realisation of the security thereover in such circumstances, 

remaining following application thereof in accordance with the Priorities of 

Payment, 

provided that if the Notes become subject to redemption in whole (but not in part) 

pursuant to more than one Condition, the Redemption Price applicable upon 

redemption thereof shall be that which relates to the redemption of the Notes which 

would occur first in time pursuant to the relevant provisions thereof. 

"Reference Banks" has the meaning given thereto in Condition 6(e)(i)(B). 

"Reference Entity" means the entity to whose credit any Credit Short Obligation is 

linked. 

"Reference Obligation" means a debt obligation to which a Synthetic Security is 

linked that satisfies paragraphs (b), (d), (e), (h) and (k) of the Eligibility Criteria or a 

Collateral Debt Obligation to which an Offsetting Credit Default Swap is linked, as 

applicable. 

"Reference Obligor" means the issuer or borrower of a Reference Obligation. 

"Reg S Definitive Notes" means the Class A-1 Reg S Definitive Notes, the Class A- 

2A Reg S Definitive Notes, the Class A-2B Reg S Definitive Notes, the Class B Reg S 

Definitive Notes, the Class C-1 Reg S Definitive Notes, the Class C-2 Reg S Definitive 

Notes, the Class D-1 Reg S Definitive Notes, the Class D-2 Reg S Definitive Notes, 

the Class E Reg S Definitive Notes, the Class F Reg S Definitive Notes, the Class P 

Combination Reg S Definitive Notes, the Class Q Combination Reg S Definitive 

Notes, the Class R Combination Reg S Definitive Notes, the Class S Combination Reg 

S Definitive Notes, the Class T Combination Reg S Definitive Notes and the Class U 

Combination Reg S Definitive Notes. 

"Reg S Global Notes" means the Class A-1 Reg S Global Note, the Class A-2A Reg S 

Global Note, the Class A-2B Reg S Global Note, the Class B Reg S Global Note, the 

Class C-1 Reg S Global Note, the Class C-2 Reg S Global Note, the Class D-1 Reg S 

Global Note, the Class D-2 Reg S Global Note, the Class E Reg S Global Note, the 

Class F Reg S Global Note, the Class P Combination Reg S Global Note, the Class Q 

Combination Reg S Global Note, the Class R Combination Reg S Global Note, the 

Class S Combination Reg S Global Note, the Class T Combination Reg S Global Note 

and the Class U Combination Reg S Global Note. 

"Register" has the meaning given thereto in Condition 2(b) (Form and Denomination). 

- 158 -

"Registered" means, with respect to any debt obligation, a debt obligation issued after 

18 July 1984 and that is in registered form for the purposes of the United States 

Internal Revenue Code of 1986 (as amended). 

"Regulation S" means Regulation S under the Securities Act. 

"Regulation S Notes" means the Reg S Global Notes and the Reg S Definitive Notes 

offered for sale outside of the United States in reliance on Regulation S. 

"Reinvestment Criteria" has the meaning given to it in the Portfolio Management 

Agreement. 

"Reinvestment Period" means the period from and including the Closing Date up to, 

and including the earliest of (a) the Payment Date falling on or about 15 January 2013 

and (b) the date of the acceleration of the Notes pursuant to Condition 10(b) 

(Acceleration). 

"Release Amount", on any Payment Date, means the amount to be paid out from the 

Interest Reserve Account which will be equal to the Retained Portion for the 

immediately prior Payment Date. 

"Relevant Date" means whichever is the later of (a) the date on which any payment 

first becomes due and (b) if the full amount payable has not been received by the 

Registrar or the Trustee (as applicable) on or prior to such due date, the date on which 

the full amount having been so received, notice to that effect shall have been given to 

the Noteholders in accordance with Condition 16 (Notices). 

"Replacement Currency Hedge Agreement" means any Currency Hedge Agreement 

entered into by the Issuer, upon termination of an existing Currency Hedge Agreement, 

on substantially the same terms as such existing Currency Hedge Agreement, that 

preserves for the Issuer the economic effect of the terminated currency hedge 

transactions outstanding thereunder, subject to such amendments thereto as may be 

agreed by the Portfolio Manager, acting on behalf of the Issuer and in respect of which 

Rating Agency Confirmation is obtained unless such Replacement Currency Hedge 

Agreement is a Form-Approved Hedge. 

"Replacement Interest Rate Hedge Agreement" means any Interest Rate Hedge 

Agreement entered into by the Issuer, upon termination of an existing Interest Rate 

Hedge Agreement, in whole or in part on substantially the same terms as the original 

Interest Rate Hedge Agreement that preserves for the Issuer the economic equivalent of 

the terminated interest rate hedge transactions outstanding thereunder subject to such 

amendments as may be agreed by the Trustee and in respect of which Rating Agency 

Confirmation is obtained unless such Replacement Interest Rate Hedge Agreement is a 

Form-Approved Hedge. 

"Report" means each Monthly Report, Note Valuation Report and/or Class F 

Subordinated Noteholder Report. 

- 159 -

"Retained Portion" means such amount of Interest Proceeds received in respect of 

Annual Pay Securities which when deducted from any Annual Interest Payment 

Amount (in respect of the current Due Period) shall produce a calculation amount equal 

to 50 per cent. of such Annual Interest Payment Amount. 

"Revolving Obligation" means any Collateral Debt Obligation (other than a Delayed 

Drawdown Obligation) that is a loan (including, without limitation, revolving loans, 

funded and unfunded portions of revolving credit lines and letter of credit facilities, 

unfunded commitments under specific facilities and other similar loans and 

investments) that pursuant to the terms of its Underlying Instruments may require one 

or more future advances to be made by the Issuer provided, always, that any such loan 

will only constitute a Revolving Obligation until the point that all such commitments to 

make advances to the borrower under the Underlying Instruments expire, are 

terminated or are reduced to zero. For the avoidance of doubt, for the purposes of the 

Coverage Tests, the Collateral Quality Tests (with the exception of the Minimum 

Spread Test) and the Percentage Limitations, Revolving Obligations shall be considered 

to be fully drawn. For the avoidance of doubt, each Revolving Obligation shall be 

considered as a Secured Senior Loan, an Unsecured Senior Loan, a Mezzanine 

Obligation or a High Yield Bond, as applicable. 

"Revolving Reserve Account" means the interest bearing account in the name of the 

Issuer with the Account Bank into which amounts equal to the Unfunded Amounts in 

respect of Revolving Obligations and Delayed Drawdown Obligations and certain 

principal payments received in respect of Revolving Obligations, are paid as more 

particularly described in Condition 3(i)(xi) (Revolving Reserve Account). 

"Rule 144A" means Rule 144A of the Securities Act. 

"Rule 144A Definitive Notes" means the Class A-1 Rule 144A Definitive Notes, the 

Class A-2A Rule 144A Definitive Notes, the Class A-2B Rule 144A Definitive Notes, 

the Class B Rule 144A Definitive Notes, the Class C-1 Rule 144A Definitive Notes, 

the Class C-2 Rule 144A Definitive Notes, the Class D-1 Rule 144A Definitive Notes, 

the Class D-2 Rule 144A Definitive Notes, the Class E Rule 144A Definitive Notes, 

the Class F Rule 144A Definitive Notes, the Class P Combination Rule 144A 

Definitive Notes, the Class Q Combination Rule 144A Definitive Notes, the Class R 

Combination Rule 144A Definitive Notes, the Class S Combination Rule 144A 

Definitive Notes, the Class T Combination Rule 144A Definitive Notes and the Class 

U Combination Rule 144A Definitive Notes, 

"Rule 144A Global Notes" means the Class A-1 Rule 144A Global Note, the Class A- 

2A Rule 144A Global Note, the Class A-2B Rule 144A Global Note, the Class B Rule 

144A Global Note, the Class C-1 Rule 144A Global Note, the Class C-2 Rule 144A 

Global Note, the Class D-1 Rule 144A Global Note, the Class D-2 Rule 144A Global 

Note, the Class E Rule 144A Global Note, the Class F Rule 144A Global Note, the 

Class P Combination Rule 144A Global Note, the Class Q Combination Rule 144A 

Global Note, the Class R Combination Rule 144A Global Note, the Class S 

- 160 -

Combination Rule 144A Global Note, the Class T Combination Rule 144A Global 

Note and the Class U Combination Rule 144A Global Note. 

"Rule 144A Notes" means the Rule 144A Global Notes and the Rule 144A Definitive 

Notes offered for sale within the United States in reliance on Rule 144A. 

"S&P" means Standard & Poor's Ratings Services, a division of The McGraw-Hill 

Companies, Inc. and any successor or successors thereto. 

"S&P Collateral Value" means in the case of any Collateral Debt Obligation which is 

a Defaulted Obligation the lower of: 

(a) 

(b) 

its prevailing Market Value; and 

the relevant S&P Recovery Rate, 

in each case, multiplied by its outstanding principal amount (in the case of any 

Non-Euro Obligation, converted into Euro at the applicable Currency Hedge 

Transaction Exchange Rate), provided that if the S&P Collateral Value cannot be 

determined for any reason, the S&P Collateral Value shall be deemed to be for this 

purpose the relevant S&P Recovery Rate multiplied by its outstanding principal 

amount, and, in the case of any Non-Euro Obligation, converted into Euro at the 

applicable Currency Hedge Transaction Exchange Rate. 

"S&P Recovery Rate" means in respect of any Collateral Debt Obligation, the 

recovery rate determined in accordance with the Portfolio Management Agreement or 

as so advised by S&P. 

"Sale Proceeds" means: 

(a) 

(b) 

all proceeds received upon the sale of any Collateral Debt Obligation (save for 

a Non-Euro Obligation), Collateral Enhancement Obligation or Exchanged 

Equity Security, excluding any sale proceeds representing accrued interest 

designated as Interest Proceeds by the Portfolio Manager in accordance with 

the Portfolio Management Agreement (provided that no such designation may 

be made in respect of Purchased Accrued Interest) and excluding any deferred 

interest or any Sale Proceeds representing deferred interest on a Deferring 

Mezzanine Obligation and on any PIK Only Obligations that has been 

designated as Interest Proceeds by the Portfolio Manager in accordance with 

the Portfolio Management Agreement and that has been capitalised and/or 

accrued since the date of acquisition thereof; 

in the case of any Non-Euro Obligations, all amounts (x) in Euro (or other 

currencies if applicable) payable to the Issuer by the applicable Currency 

Hedge Counterparty in exchange for payment by the Issuer of the sale 

proceeds of any Collateral Debt Obligation under the applicable Currency 

Hedge Agreement (for the avoidance of doubt, after reducing such amount by 

any Currency Hedge Issuer Termination Payment payable by the Issuer in 

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such circumstances), together with any such amounts which are not payable to 

such Currency Hedge Counterparty pursuant to the terms of such Currency 

Hedge Agreement or (y) denominated in the currency of the Non-Euro 

Obligation as the Issuer may be permitted, pursuant to the terms of the 

applicable Currency Hedge Agreement and the Portfolio Management 

Agreement, to receive Sale Proceeds and reinvest in Substitute Collateral Debt 

Obligations denominated in the same currency, in each case as described in 

paragraph (a) above; 

(c) 

(d) 

in the case of any Synthetic Security, Synthetic Collateral (or any amount 

received upon liquidation thereof) that ceases to be subject to the applicable 

Synthetic Counterparty's security interest on termination (but not expiration) 

of such Synthetic Security at the option of the Issuer and the proceeds of sale 

of any deliverable obligation referred to in a Synthetic Security as the 

"Deliverable Obligation" which is deliverable upon termination prior to the 

scheduled maturity thereof; and 

in the case of any Offsetting Credit Default Swap or Credit Short Obligation, 

Counterparty Downgrade Collateral, if any, (or any amount received upon 

liquidation thereof) or any Cash Settlement Amount, Physical Settlement 

Amount or floating amounts (as defined therein), as applicable, received from 

the Offsetting Credit Default Swap Counterparty pursuant to such Offsetting 

Credit Default Swap or Credit Short Obligation, 

in each case net of any amounts expended by or payable by the Issuer or the Collateral 

Administrator (on behalf of the Issuer) in connection with the sale, disposition or 

termination of such Collateral Debt Obligation including any amounts payable by the 

Issuer upon termination of: (i) any currency hedge transaction under a Currency 

Hedge Agreement; and\or (ii) any Offsetting Credit Default Swap or Credit Short 

Obligation and, in each case, to the extent applicable, converted into euro at the Spot 

Rate of Exchange by the Portfolio Manager in accordance with the Portfolio 


"Scheduled Periodic Credit Short Obligation Issuer Payment" means, with respect 

to any Credit Short Obligation, the fixed amounts (as defined therein) scheduled to be 

paid to the applicable Credit Short Obligation Counterparty by the Issuer under such 

Credit Short Obligation, but excluding any Defaulted Credit Short Obligation 

Termination Payment. 

"Scheduled Periodic Currency Hedge Counterparty Payment" means, with respect 

to any Currency Hedge Agreement, the periodic amounts in the nature of coupon (and 

not the principal) scheduled to be paid to the Issuer by the applicable Currency Hedge 

Counterparty pursuant to the terms of any transaction under such Currency Hedge 

Agreement, excluding any Currency Hedge Counterparty Termination Payments. 

"Scheduled Periodic Currency Hedge Issuer Payment" means, with respect to any 

Currency Hedge Agreement, the periodic amounts in the nature of coupon (and not 

- 162 -

principal) scheduled to be paid by the Issuer to the applicable Currency Hedge 

Counterparty pursuant to the terms of any transaction under such Currency Hedge 

Agreement and the periodic amounts in the nature of ongoing premium for purchasing 

currency options pursuant to the terms of the Hedging Procedures, excluding any 

Currency Hedge Issuer Termination Payment. 

"Scheduled Periodic Interest Rate Hedge Counterparty Payment" means, with 

respect to any Interest Rate Hedge Agreement, the amount scheduled to be paid to the 

Issuer by the applicable Interest Rate Hedge Counterparty pursuant to the terms of any 

transaction under such Interest Rate Hedge Agreement. 

"Scheduled Periodic Interest Rate Hedge Issuer Payment" means, with respect to 

any Interest Rate Hedge Agreement, the amount scheduled to be paid to the applicable 

Interest Rate Hedge Counterparty by the Issuer pursuant to the terms of any transaction 

under such Interest Rate Hedge Agreement, excluding any Interest Rate Hedge Issuer 

Termination Payments. 

"Scheduled Periodic Offsetting Credit Default Swap Issuer Payment" means, with 

respect to any Offsetting Credit Default Swap, the fixed amounts (as defined therein) 

scheduled to be paid to the applicable Offsetting Credit Default Swap Counterparty by 

the Issuer under such Offsetting Credit Default Swap, but excluding any Defaulted 

Offsetting Credit Default Swap Termination Payment. 

"Scheduled Principal Proceeds" means: 

(a) 

(b) 

(c) 

in the case of any Collateral Debt Obligation, save for any Non-Euro 

Obligation or Synthetic Security, scheduled principal repayments received by 

the Issuer (including scheduled amortisation, instalment or sinking fund 

payments); 

in the case of any Non-Euro Obligation, scheduled final and interim payments 

(x) in Euro and in the nature of principal payable to the Issuer by the 

applicable Currency Hedge Counterparty under the applicable Currency 

Hedge Agreement or (y) denominated in the currency of Non-Euro Obligation 

as the Issuer may be permitted, pursuant to the terms of the applicable 

Currency Hedge Agreement and the Portfolio Management Agreement, to 

receive and reinvest in Substitute Collateral Debt Obligations (denominated in 

the same currency); and 

in the case of any Synthetic Security, any Synthetic Collateral relating thereto 

(or any amount received upon liquidation thereof) to which the Issuer is 

entitled upon expiration or termination of such Synthetic Security at its 

scheduled maturity. 

"Second Lien Loan" means any obligation or obligations which would be a Secured 

Senior Loan (excluding the proviso to the definition thereof) except that it is 

subordinated to another obligation of the Obligor which has a higher priority security 

interest in the fixed assets or stock on which the loan is secured. 

- 163 -

"Secured Party" means each of the Noteholders, the Portfolio Manager, the Collateral 

Administrator, the Trustee, any Appointee (as defined in the Trust Deed), the Agents, 

the Corporate Services Provider, the Initial Purchaser, the Short Term Variable 

Funding Facility Provider, each Interest Rate Hedge Counterparty, each Currency 

Hedge Counterparty, any Offsetting Credit Default Swap Counterparty and any Credit 

Short Obligation Counterparty and, together, the "Secured Parties". 

"Secured Senior Loan" means any obligation or obligations which constitute a senior, 

secured obligation as determined by the Portfolio Manager in its reasonable business 

judgement (which shall not be called into question as a result of any subsequent event) 

or a Participation therein (including without limitation a senior secured note facility that 

pays interest at a floating rate but excluding any high yield bond), provided that: 

(a) 

(b) 

(c) 

it is secured (i) by fixed assets of the Obligor thereof if and to the extent a 

pledge of fixed assets is permissible under applicable law (save in the case of 

assets so numerous or diverse that the failure to take such security is 

consistent with reasonable secured lending practices), and otherwise (ii) by 

100 per cent. (or such other percentage permissible under applicable law) of 

the equity interests in the stock of any entity owning such fixed assets (save in 

the case of entities so numerous that the failure to take such security is 

consistent with reasonable secured lending practices); 

no other obligation of the Obligor has any higher priority security interest in 

such fixed assets or stock referred to in (a) above; and 

if it is a Synthetic Security, the applicable Reference Obligation is an 

obligation of the type described in (a) and (b) above, 

provided that, for the avoidance of doubt, Secured Senior Loans shall include Second 

Lien Loans and paragraph (b) above shall not apply to Second Lien Loans. 

"Securities Act" means the United States Securities Act of 1933, as amended. 

"Securities Lending Account" means the interest-bearing account in the name of the 

Issuer and held with the Custodian into which all Securities Lending Collateral is to be 

deposited as more particularly described in Condition 3(i)(xvi) (Securities Lending 

Account). 

"Securities Lending Agreement" means each securities lending agreement entered 

into between the Issuer and a Securities Lending Counterparty. 

"Securities Lending Collateral" means any cash delivered to the Issuer as collateral 

for the obligations of a Securities Lending Counterparty under a Securities Lending 

Agreement. 

"Securities Lending Counterparty" means any counterparty to a Securities Lending 

Agreement with the Issuer in respect of which Rating Agency Confirmation is 

obtained. 

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"Selling Institution" means an institution which satisfies the applicable Rating 

Requirement and from whom a Participation is granted. 

"Senior Fees and Expenses Cap" means, in respect of any Due Period, an amount 

equal to the aggregate of 0.10 per cent. per annum of the Aggregate Collateral Balance 

as at the beginning of the Due Period. 

"Senior Loan" means (a) a collateral debt obligation that is a Secured Senior Loan as 

determined by the Portfolio Manager or a Participation therein, (b) an Unsecured 

Senior Loan as determined by the Portfolio Manager or a Participation therein or (c) a 

Synthetic Security, the Reference Obligation applicable to which is an obligation of the 

type described in (a) or (b) above. 

"Senior Portfolio Management Fee" means the fee payable to the Portfolio Manager 

in arrears on each Payment Date in respect of each Due Period pursuant to the 

Portfolio Management Agreement in an amount, as determined by the Collateral 

Administrator, equal to 0.20 per cent. per annum (calculated semi-annually on the 

basis of a 360-day year comprised of twelve 30-day months) of the Aggregate 

Collateral Balance at the beginning of the Due Period relating to such Payment Date, 

excluding any value added tax due and payable thereon. 

"Senior Portfolio Management Fee Cap" means, in respect of each Due Period, the 

aggregate of (i) 0.20 per cent. per annum (calculated semi-annually on the basis of a 

360-day year comprised of twelve 30-day months) of the Aggregate Collateral Balance 

at the beginning of the Due Period relating to such Payment Date and (ii) an amount 

equal to the value added tax in Ireland that would be payable on the amount calculated 

in (i) (not exceeding 21.0 per cent. of the amount in (i) above) assuming, if not 

otherwise the case, that such sum is consideration for a service supplied by the 

Portfolio Manager to the Issuer for such Due Period which is subject to value added 

tax in Ireland. 

"Short Term Variable Funding Facility" means the short term variable funding 

facility to be made available on or after the Closing Date to the Issuer by the Short 

Term Variable Funding Facility Provider pursuant to the Short Term Variable Funding 

Facility Agreement. 

"Short Term Variable Funding Facility Account" means the interest-bearing account 

in the name of the Issuer and held with the Custodian into which all Short Term 

Variable Funding Facility is to be deposited as more particularly described in 

Condition 3(i)(xx) (Short Term Variable Funding Facility Account). 

"Short Term Variable Funding Facility Agreement" means the short term variable 

funding facility agreement to be entered into on or after the Closing Date between the 

Issuer and the Short Term Variable Funding Facility Provider pursuant to which the 

Issuer (or the Portfolio Manager on its behalf) may borrow amounts to enable it to 

purchase (i) Deliverable Obligations, (ii) additional Collateral Debt Obligations, and/or 

(iii) Substitute Collateral Debt Obligations. 

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"Short Term Variable Funding Facility Provider" means Merrill Lynch International 

and/or any other bank or financial institution whose short term, senior, unsecured, 

unguaranteed debt securities are rated no less than P-1 by Moody's and no less than A- 

1 by S&P at the time of entry by it into the Short Term Variable Funding Facility 

Agreement. 

"Special Situations Investment" has the meaning ascribed thereto in the Portfolio 


"Special Situation Investment Obligation" means a debt obligation of an Obligor 

received by the Issuer as consideration for a Special Situation Investment. 

"Spot Rate of Exchange" means in relation to any amount the subject of a Currency 

Hedge Agreement: (i) in relation to the exchange of non-Euro denominated proceeds 

or a non-Euro denominated Collateral Debt Obligation, the Currency Hedge 

Transaction Exchange Rate, and (ii) in relation to any other exchange of non-Euro 

denominated proceeds, prevailing market spot rate, in each case determined in the 

reasonable business judgement (which shall not be called into question in light of 

subsequent event) of the Portfolio Manager. 

"Stated Maturity" means, with respect to any Collateral Debt Obligation or Eligible 

Investment, (i) the date specified in such obligation as the fixed date on which the final 

payment or repayment of principal of such obligation is due and payable or (ii) if the 

holder has a right to require the issuer or obligor of such Collateral Debt Obligation to 

purchase, redeem or retire such Collateral Debt Obligation (at par) on any one or more 

dates prior to such date (a "put right") and the Portfolio Manager certifies to the 

Trustee that it shall exercise such put right on any such date, the Stated Maturity shall 

be the date specified in such certification. 

"Sterling" means the lawful currency of the United Kingdom. 

"Sterling Reinvestment Criteria" has the meaning given to it in the Portfolio 


"Subordinated Component" means each of the Class P Subordinated Component, the 

Class Q Subordinated Component, the Class R Subordinated Component, the Class T 

Subordinated Component and the Class U Subordinated Component. 

"Subordinated Portfolio Management Fee" means the fee payable to the Portfolio 

Manager in arrears on each Payment Date in respect of the immediately preceding Due 

Period, pursuant to the Portfolio Management Agreement equal to 0.225 per cent. per 

annum (calculated semi-annually on the basis of a 360-day year comprised of twelve 

30-day months) of the Aggregate Collateral Balance, at the beginning of the Due 

Period relating to such Payment Date, excluding any value added tax due and payable 

thereon. 

"Subordinated Portfolio Management Fee Cap" means, in respect of each Due 

Period, the aggregate of (i) 0.225 per cent. per annum (calculated semi-annually on the 

- 166 -

asis of a 360-day year comprised of twelve 30-day months) of the Aggregate 

Collateral Balance at the beginning of the Due Period relating to such Payment Date 

and (ii) an amount equal to the value added tax in Ireland that would be payable on the 

amount calculated in (i) (not exceeding 21.0 per cent. of the amount in (i) above) 

assuming, if not otherwise the case, that such sum is consideration for a service 

supplied by the Portfolio Manager to the Issuer for such Due Period which is subject to 

value added tax in Ireland. 

"Subscription Agreement" means the subscription agreement dated on or about the 

Closing Date and made between the Issuer and the Manager. 

"Substitute Collateral Debt Obligation" means a Collateral Debt Obligation 

purchased out of Principal Proceeds and/or Unused Proceeds pursuant to the terms of 

the Portfolio Management Agreement and which satisfies the Eligibility Criteria, the 

Reinvestment Criteria and to the extent that it is subject to a Currency Hedge 

Transaction Agreement, the Sterling Reinvestment Criteria. 

"Supplemental Report" is as defined in the Collateral Administration Agreement. 

"Synthetic Collateral" means any assets which are Eligible Investments which may be 

sold at any time without market risk (provided that if any credit protection payments to 

be paid under the Synthetic Securities can only be paid on the maturity date of such 

Eligible Investments then such Eligible Investments may bear market risk), comprising 

collateral required to be delivered by the Issuer as security for its obligations to any 

Synthetic Counterparty under any Synthetic Security pursuant to the terms thereof. 

References to the price payable upon the acquisition of or entry into a Synthetic 

Security acquired or entered into by the Issuer on an unfunded basis shall in this 

respect be deemed to be the aggregate principal amount of Synthetic Collateral required 

to be delivered by the Issuer to the applicable Synthetic Counterparty. 

"Synthetic Collateral Account" means the account in the name of the Issuer held with 

the Custodian into which all Synthetic Collateral is to be deposited as more particularly 

described in Condition 3(i)(x) (Synthetic Collateral Account). 

"Synthetic Counterparty" means any counterparty under a Synthetic Security or any 

guarantor of any such entity who or which, in the case of a Synthetic Counterparty in a 

swap transaction, has the regulatory capacity to enter into derivative transactions with 

Irish residents. 

"Synthetic Security" means any euro denominated swap transaction (including a credit 

default swap transaction, credit short obligation or total return swap), debt security, 

credit-linked note, security issued by a trust or similar vehicle or other investment 

(excluding any equity investment) purchased or entered into by the Issuer or the 

Portfolio Manager on its behalf (subject to Rating Agency Confirmation, save for 

where such Synthetic Security is a Form-Approved Synthetic Security) from or with a 

Synthetic Counterparty and (i) the Reference Obligation in relation thereto would 

otherwise satisfy the paragraphs (b), (d), (e), (h) and (k) of the Eligibility Criteria and 

- 167 -

(ii) which Synthetic Security satisfies, save to the extent otherwise agreed by the Rating 

Agencies, the Eligibility Criteria save for the paragraphs specified in sub-paragraph (i) 

above (and provided always that the Synthetic Collateral related thereto may not 

include Margin Stock or any security the acquisition of which would cause the breach 

of applicable selling or transfer restrictions or of applicable Irish laws relating to the 

offering of securities or of collective investment schemes), the returns on which (as 

determined by the Portfolio Manager) are linked to the credit and/or price performance 

of one or more Reference Obligations which is a Secured Senior Loan, Unsecured 

Senior Loan, Mezzanine Obligation or a High Yield Bond but which may provide for a 

different maturity, payment dates, interest rate, credit exposure or other credit or 

non-credit related characteristics than such Synthetic Security, provided that: 

(a) 

(b) 

(c) 

(d) 

(e) 

such Synthetic Security will not require the Issuer to make any payment to the 

Synthetic Counterparty after the initial purchase thereof by the Issuer other 

than the delivery or payment to the Synthetic Counterparty of any Synthetic 

Collateral pledged in accordance with the terms thereof and provided that any 

obligations of the Issuer thereunder are limited to such Synthetic Collateral; 

where such Synthetic Security is unfunded, it contains limited recourse 

provisions (with recourse being to the Synthetic Collateral only) and 

non-petition provisions, in each case (and save as provided in this 

paragraph (b)) in substantially the same form as those set out in Condition 4(c) 

(Limited Recourse); 

the ownership of such Synthetic Security will not subject the Issuer to net 

income tax; 

all scheduled payments made pursuant to the terms of such Synthetic Security 

are at a fixed interest rate, or at a variable interest rate based on an interest 

rate used for borrowings or financings in domestic or international markets or 

are linked to the payments on one or more Reference Obligations (which 

payments are themselves at a fixed interest rate or a variable interest rate 

based on an interest rate used for borrowings or financings in domestic or 

international markets); 

such Synthetic Security will not constitute a commodity option, leverage 

transaction or futures contract that is subject to the jurisdiction of the U.S. 

Commodities Futures Trading Commission; and 

(f) the Synthetic Security is a "qualifying asset" for the purposes of Section 110 

of the Irish Taxes Consolidation Act, 1997 the acquisition of which does not 

give rise to Irish stamp duty. 

Save for where such Synthetic Security is a Form-Approved Synthetic Security, the 

entry into any Synthetic Security will be subject to Rating Agency Confirmation. 

Moody's will provide a Moody's default probability for a Synthetic Security at the time 

of the provision of Rating Agency Confirmation (which such Moody's Rating Factor 

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will be, for the avoidance of doubt, the Moody's default probability applicable to the 

relevant Reference Obligation if the Synthetic Security is a Form-Approved Synthetic 

Security). 

"Target Par Amount" means, in respect of the initial Portfolio, €350,000,000. 

"TARGET System" means the Trans-European Automated Real-Time Gross 

Settlement Express Transfer System (or, if such system ceases to be operative, such 

other system (if any) determined by the Trustee to be a suitable replacement). 

"Tax Charges" means any taxes for which the Issuer becomes liable to any competent 

taxation authority in such Due Period which are in excess of any taxes known on the 

Closing Date to be payable by the Issuer at any time. 

"Tier I Qualifying Country" means any of Austria, Belgium, Denmark, Finland, 

France, Germany, Greece, Ireland, Italy, Luxembourg, The Netherlands, Norway, 

Portugal, Spain, Sweden, Switzerland, United Kingdom, United States or Canada or 

any other country in respect of which Rating Agency Confirmation has been received 

in respect of such country's treatment as a "Tier I Qualifying Country". 

"Tier II Qualifying Country" means any member state of the European Union not 

included within the definition of "Tier I Qualifying Country" or any other country in 

respect of which Rating Agency Confirmation has been received in respect of such 

country's treatment as a "Tier II Qualifying Country"". 

"Tranche Collateral Debt Obligations" means two or more Collateral Debt 

Obligations which comprise obligations of the same tranche of the same Obligor issued 

or created pursuant to the same Underlying Instruments and having identical terms of, 

and secured by the same obligations represented thereby, each such Collateral Debt 

Obligation. 

"Tranche Weighted Average Price" means, for the purposes of the definition of 

Credit Impaired Obligations and Credit Improved Obligations, the weighted average 

price of the original purchase prices of each Collateral Debt Obligation comprising 

Tranche Collateral Debt Obligations, calculated by reference to the proportion that the 

respective principal amount of each such Collateral Debt Obligation bears to the overall 

principal amount of such Tranche Collateral Debt Obligations. 

"Transaction Creditors" means each of the Secured Parties, the Directors and any 

other Person to whom the Issuer owes any obligations from time to time. 

"Transaction Documents" means the Trust Deed, the Agency Agreement, the 

Collateral Administration Agreement, the Portfolio Management Agreement, the OAT 

Strips Pledge Agreements, the Subscription Agreement, any Currency Hedge 

Agreements, any Interest Rate Hedge Agreement, the Participation Agreements, the 

Depositary Agreement, the Euroclear Pledge Agreement and the Corporate Services 

Agreement. 

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"Trustee Fees and Expenses" means the fees and expenses and other amounts payable 

to the Trustee and any Appointee pursuant to the Trust Deed from time to time. 

"Underlying Instrument" means the agreements or instruments pursuant to which a 

Collateral Debt Obligation has been issued or created and each other agreement that 

governs the terms of, or secures the obligations represented by, such Collateral Debt 

Obligation or under which the holders or creditors under such Collateral Debt 

Obligation are the beneficiaries. 

"Underlying Notes" means the Notes represented by the Components of a 

Combination Note, which, for the avoidance of doubt, are: 

(a) 

(b) 

(c) 

(d) 

(e) 

(f) 

in the case of the Class P Combination Notes, the Class C-2 Notes and the 

Class F Subordinated Notes; 

in the case of the Class Q Combination Notes, the Class D-2 Notes and the 


in the case of the Class R Combination Notes, the Class A-1 Notes and the 


in the case of the Class S Combination Notes, the Class B Notes and the Class 

E Notes; 

in the case of the Class T Combination Notes, the OAT Strips relating to the 

OAT Security T Component and the Class F Subordinated Notes; and 

in the case of the Class U Combination Notes, the OAT Strips relating to the 

OAT Security U Component and the Class F Subordinated Notes, 

and "Underlying Note" shall mean any one of them. 

"Unfunded Amounts" means, with respect to any Revolving Obligation or Delayed 

Drawdown Obligation at any time, the maximum aggregated principal amount (whether 

at the time funded or unfunded) of advances or other extensions of credit at any one 

time outstanding that the Issuer could be required to make to the Obligor under the 

Underlying Instruments relating thereto minus the aggregate principal amount of 

advances or other extensions of credit made thereunder by the Issuer that remain 

outstanding. 

"Unscheduled Principal Proceeds" means, with respect to any Collateral Debt 

Obligation: 

(a) 

with respect to any Collateral Debt Obligation other than a Non-Euro 

Obligation, principal repayments prior to the Stated Maturity thereof received 

as a result of optional redemptions, prepayments (including any acceleration) 

or Offers (excluding any premia or make whole amounts in excess of the 

principal amount of such Collateral Debt Obligation), recoveries on Defaulted 

Obligations to the extent not included in Sale Proceeds, any deferred interest 

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on a Deferring Mezzanine Obligation and on a PIK Only Obligation and any 

other unscheduled principal payments with respect to Collateral Debt 

Obligations (to the extent not included in Sale Proceeds); 

(b) 

(c) 

(d) 

(e) 

with respect to any Non-Euro Obligation, any amounts (x) in Euro payable to 

the Issuer by the applicable Currency Hedge Counterparty in exchange for 

payment by the Issuer of any unscheduled principal proceeds received in 

respect of any Collateral Debt Obligation under the applicable Currency 

Hedge Agreement or (y) denominated in the currency of the Non-Euro 

Obligation as the Issuer may be permitted, pursuant to the terms of the 

Currency Hedge Agreement and the Portfolio Management Agreement, to 

receive and reinvest in Substitute Collateral Debt Obligations denominated in 

the same currency; 

Synthetic Collateral (or any amount received upon liquidation thereof) that 

ceases to be subject to the applicable Synthetic Counterparty's security interest 

on termination (but not expiration) of such Synthetic Security other than at the 

option of the Issuer; 

Currency Hedge Counterparty Termination Payments, in each of the following 

cases: (i) where a Currency Hedge Agreement has been terminated and the 

Issuer or the Portfolio Manager on its behalf determines not to replace such 

Currency Hedge Agreement and Rating Agency Confirmation is received in 

respect of such determination; (ii) where termination of the Currency Hedge 

Agreement occurs on a Redemption Date pursuant to Conditions 7(a) (Final 

Redemption), 7(b) (Optional Redemption), 7(g) (Redemption upon Failure to 

Appoint a Replacement Portfolio Manager) or 10 (Events of Default); and 

any scheduled principal payments in respect of Securities Lending Collateral 

after the occurrence of an Event of Default under the related Securities 

Lending Agreement, but excluding any scheduled principal payments in 

respect of a loaned Collateral Debt Obligation as to which an Event of Default 

under the related Securities Lending Agreement has occurred and is 

continuing. 

"Unsecured Senior Loan" means (a) any obligation or obligations which constitute an 

unsecured and senior obligation which is not a Mezzanine Obligation, as determined by 

the Portfolio Manager in its reasonable business judgment (which shall not be called 

into question as a result of subsequent events), or a Participation therein (including 

without limitation a senior unsecured note facility that pays interest at a floating rate 

but excluding any high yield bond) and/or (b) a Synthetic Security, the Reference 

Obligation relating to which is an obligation of the type described in (a) above. 

"Unused Proceeds Account" means an interest bearing account in the name of the 

Issuer with the Account Bank into which the Issuer will procure amounts are deposited 

in accordance with Condition 3(i)(iii) (Unused Proceeds Account). 

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"Unused Proceeds" means amounts deposited in the Unused Proceeds Account in 

accordance with Condition 3(i)(iii) (Unused Proceeds Account). 

"Withholding Tax Event" means either a Collateral Tax Event or a Note Tax Event. 

2. Form and Denomination, Title and Transfer 

(a) 

The Notes 

The principal amount and all interest outstanding in respect of the Class A Notes, the 

Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class 

F Subordinated Notes, will be represented by the Class A Reg S Global Note, the Class 

B Reg S Global Note, the Class C Reg S Global Note, the Class D Reg S Global Note, 

the Class E Reg S Global Note and to Class F Reg S Global Note respectively (with 

respect to the Notes initially offered and sold outside the United States to non-U.S. 

Persons pursuant to Regulation S) and the Class A Rule 144A Global Note, the Class B 

Rule 144A Global Note, the Class C Rule 144A Global Note, the Class D Rule 144A 

Global Note, the Class E Rule 144A Global Note and the Class F Rule 144A Global 

Note, respectively (with respect to the Notes initially offered and sold within the 

United States to QIBs in reliance of Rule 144A) in bearer form, without coupons or 

talons attached. 

The Class A-1 Notes, the Class A-2A Notes, the Class A-2B Notes, the Class B Notes, 

the Class C-1 Notes, the Class C-2 Notes, the Class D-1 Notes, the Class D-2 Notes, 

the Class E Notes and the Class F Subordinated Notes will initially be offered in the 

principal amount of €158,250,000, €70,000,000, €8,000,000, €35,875,000, 

€14,590,000, €8,160,000, €3,925,000, €9,200,000, €10,500,000 and €36,300,000 

respectively. 

The Notes will be issued in minimum denominations of €250,000 and integral 

multiples of €5,000 in excess thereof. 

(b) 

Transfers 

Title to the Global Notes will pass by delivery. For so long as the Notes are 

represented by a Global Note, such Notes will be transferable in accordance with the 

detailed provisions of the Depository Agreement. Transfers and exchanges of beneficial 

interests in Global Notes and entitlement to payments thereunder will be effected in 

accordance with the detailed provisions of the Depository Agreement and the rules of 

Euroclear and Clearstream, Luxembourg. 

Title to the Definitive Notes of each Class will pass by and upon registration in the 

register which the Issuer shall procure to be kept with the Registrar (the "Register"). 

The registered holder of any Definitive Note may (to the fullest extent permitted by 

applicable laws) be deemed and treated at all times, by all persons and for all purposes 

(including the making of payments) as the absolute owner of such Definitive Note 

regardless of any notice of ownership, theft or loss, of any trust or other interest 

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therein or of any writing thereon other than a duly executed transfer of such Definitive 

Note in the form endorsed thereon. Each Definitive Note will be serially numbered. 

All transfers of Definitive Notes and entries on the Register in the case of any 

Definitive Notes will be made subject to any restrictions on transfers set forth on such 

Definitive Notes and the detailed regulations concerning transfers of such Definitive 

Notes scheduled to the Agency Agreement. The regulations may be changed by the 

Issuer with the prior written approval of the Registrar and the Trustee. A copy of the 

current regulations will be sent by the Registrar to any holder of a Definitive Note who 

so requests. 

A Definitive Note may be transferred in whole or in part in a Minimum Denomination 

upon the surrender of the relevant Definitive Note, together with the form of transfer 

endorsed on it duly completed and executed, at the specified office of the Registrar. In 

the case of a transfer of part only of a Definitive Note, a new Definitive Note in 

respect of the balance not transferred may be less than a Minimum Denomination. 

Each new Definitive Note to be issued upon transfer of Definitive Notes will, within 

five Business Days (in the place of the specified office of the Registrar) of receipt of 

such request for transfer, be available for delivery at the specified office of the 

Registrar stipulated in the request for transfer, or be mailed at the risk of the holder 

entitled to the Definitive Note to such address as may be specified in such request. 

Registration of Definitive Notes on transfer will be effected without charge by or on 

behalf of the Issuer or the Registrar, but upon payment (or the giving of such 

indemnity as the Registrar may require in respect thereof) of any tax or other 

governmental charges which may be imposed in relation to it. 

No holder of a Definitive Note may require the transfer of such Definitive Note to be 

registered during the period of 15 days ending on a Payment Date. 

(c) 

Issue of Notes in Definitive Form 

Definitive Notes will only be issued in the following limited circumstances: 

(a) 

(b) 

(c) 

both Euroclear and Clearstream, Luxembourg are closed for business for a 

continuous period of 14 calendar days (other than by reason of holiday, 

statutory or otherwise) or announces an intention permanently to cease 

business and does so cease business and no alternative clearing system 

satisfactory to the Trustee is available; or 

the Depository notifies the Issuer that it is at any time unwilling or unable to 

continue as Depository and a successor is not able to be appointed by the 

Issuer with the prior written consent of the Trustee within 90 calendar days 

of such notification; or 

the Trustee has given a notice to the Issuer pursuant to Condition 

10(b)(Acceleration); or 

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(d) 

the Issuer would suffer a material disadvantage in respect of the Notes as a 

result of a change in the laws or regulations (taxation or otherwise) (or in the 

interpretation, application or administration of the same) of any applicable 

jurisdiction (including payments being made net of tax) which would not be 

suffered were the relevant Notes in definitive form and a certificate to such 

effect signed by two directors of the Issuer is delivered to the Trustee. 

If Definitive Notes are issued, the beneficial interests represented by the Reg S Global 

Notes shall be exchanged in whole (but not in part) by the Issuer for Reg S Definitive 

Notes and the beneficial interests represented by the Rule 144A Global Notes shall be 

exchanged in whole (but not in part) by the Issuer for Rule 144A Definitive Notes, in 

each case, in the aggregate amount equal to the principal amount outstanding of the 

relevant Reg S Global Note or Rule 144A Global Note, subject to and in accordance 

with the detailed provisions of the Agency Agreement, the Trust Deed and the relevant 

Global Notes. 

(d) 

Forced Transfer of Rule 144A Notes 

If the Issuer determines at any time that a U.S. holder of Rule 144A Notes is not a 

QIB/QP (any such person, a "Non-Permitted Holder"), the Trustee, at the direction of 

the Issuer, may direct such holder to sell or transfer its Notes outside the United States 

to a non-U.S. Person or within the United States to a U.S. Person that is a QIB/QP 

within 30 days following receipt of such notice. If such holder fails to sell or transfer 

its Rule 144A Notes within such period, such holder may be required by the Issuer to 

sell such Rule 144A Notes to a purchaser selected by the Issuer on such terms as the 

Issuer may choose, subject to the transfer restrictions set out herein. The Issuer may 

select the purchaser by soliciting one or more bids from one or more brokers or other 

market professionals that regularly deal in securities similar to the Rule 144A Notes 

and selling such Rule 144A Notes to the highest such bidder. However, the Issuer may 

select a purchaser by any other means determined by it in its sole discretion. Each 

Noteholder and each other person in the chain of title from the permitted Noteholder to 

the Non-Permitted Holder by its acceptance of an interest in the Rule 144A Notes 

agrees to co-operate with the Issuer and the Trustee to effect such transfers. The 

proceeds of such sale, net of any commissions, expenses and taxes due in connection 

with such sale shall be remitted to the selling Noteholder. The terms and conditions of 

any sale hereunder shall be determined in the sole discretion of the Issuer, subject to 

the transfer restrictions set out herein, and neither the Issuer nor the Trustee shall be 

liable to any person having an interest in the Notes sold as a result of any such sale or 

the exercise of such discretion. The Issuer and the Trustee reserve the right to require 

any holder of Notes to submit a written certification substantiating that it is a QIB/QP 

or a non-U.S. Person. If such holder fails to submit any such requested written 

certification on a timely basis, the Issuer and the Trustee have the right to assume that 

the holder of the Notes from whom such a certification is requested is not a QIB/QP or 

a non-U.S. Person. Furthermore, the Issuer and the Trustee reserve the right to refuse 

to honour a transfer of beneficial interests in a Rule 144A Note to any Person who is 

not either a non-U.S. Person or a U.S. Person that is a QIB/QP 

- 174 -

(e) 

Exchange of Combination Notes 

A Combination Note may be exchanged for the Components thereof in accordance with 

the provisions of the Agency Agreement and the Trust Deed as follows: (A) in the case 

of a Class P Combination Note for (i) Class C-2 Notes in an amount equal to such 

Class P Combination Note's Class C-2 Component; and (ii) Class F Subordinated 

Notes in an amount equal to such Class P Combination Note’s Class P Subordinated 

Component, (B) in the case of Class Q Combination Notes for (i) Class D-2 Notes in 

an amount equal to such Class Q Combination Note’s Class D-2 Component and (ii) 

Class F Subordinated Notes in an amount equal to such Class Q Combination Note’s 

Class Q Subordinated Component, (C) in the case of Class R Combination Notes for (i) 

Class A-1 Notes in an amount equal to such Class R Combination Note’s Class A-1 

Component and (ii) Class F Subordinated Notes in an amount equal to such Class R 

Combination Note’s Class R Subordinated Component, (D) in the case of Class S 

Combination Notes for (i) Class B Notes in an amount equal to such Class S 

Combination Note’s Class B Component and (ii) Class E Notes in an amount equal to 

such Class S Combination Note’s Class E Component, (E) in the case of a Class T 

Combination Note for (i) OAT Strips in an amount equal to that secured under the 

OAT Security T Component and (ii) Class F Subordinated Notes in an amount equal to 

such Class T Combination Note’s Class T Subordinated Component, and (F) in the 

case of a Class U Combination Note for (i) OAT Strips in an amount equal to that 

secured under the OAT Security U Component and (ii) Class F Subordinated Notes in 

an amount equal to such Class U Combination Note’s Class U Subordinated 

Component provided that Combination Notes may only be exchanged for the 

Components thereof to the extent that the principal amount of the Notes to which such 

Components relate is equal to the applicable Minimum Denomination and integral 

multiples of the applicable Authorised Denomination thereof. 

3. Status 

(a) 

Status 

The Notes of each Class constitute direct, general, secured obligations of the Issuer, 

recourse in respect of which is limited in the manner described in Condition 4(c) 

(Limited Recourse). The Notes of each Class are secured in the manner described in 

Condition 4 (Security) and, within each Class, shall at all times rank pari passu and 

without any preference amongst themselves. 

(b) 

Relationship Among the Classes 

The Notes of each Class are constituted by the Trust Deed and are secured on the 

Collateral as further described in the Trust Deed. Save to the extent provided 

otherwise below, payments of interest and principal on the Class A-1 Notes will rank 

pari passu and pro rata with payments of interest and principal on the Class A-2 Notes 

but the Class A-2A Notes shall rank in priority to the Class A-2B Notes as expressly 

provided for herein. Payments of interest on the Class A Notes will rank senior in 

right of payment to payments of principal and interest in respect of each other Class of 

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Notes and payments of principal on the Class A Notes will rank senior in right of 

payment to payments of principal in respect of each other Class of Notes subject to 

Condition 3(c)(ii)(U)(Application of Interest Proceeds). 

Payments of interest on the Class B Notes will be subordinated in right of payment to 

any payments of interest due and payable in respect of the Class A Notes and payments 

of principal on the Class B Notes will be subordinated in right of payment to payments 

of principal and interest in respect of the Class A Notes. Payments of interest on the 

Class B Notes will rank senior in right of payment to payments of principal and interest 

on the Class C Notes, the Class D Notes, the Class E Notes and the Class F 

Subordinated Notes. Payments of principal on the Class B Notes will rank senior in 

right of payment to payments of principal on the Class C Notes, the Class D Notes, the 

Class E Notes and the Class F Subordinated Notes subject to Condition 

3(c)(ii)(U)(Application of Interest Proceeds). 

Payments of interest and principal on the Class C-1 Notes will rank pari passu with 

payments of interest and principal on the Class C-2 Notes. Payments of interest on the 

Class C Notes will be subordinated in right of payment to any payments of interest due 

and payable in respect of the Class A Notes and the Class B Notes. Payments of 

principal on the Class C Notes will be subordinated in right of payment to payments of 

principal and interest in respect of the Class A Notes and the Class B Notes (for the 

avoidance of doubt, excluding Deferred Interest). Payments of interest on the Class C 

Notes will rank senior in right of payment to payments of principal and interest on the 

Class D Notes, the Class E Notes and the Class F Subordinated Notes. Payments of 

principal on the Class C Notes will rank senior in right of payment to payments of 

principal on the Class D Notes, the Class E Notes and the Class F Subordinated Notes 

subject to Condition 3(c)(ii)(U)(Application of Interest Proceeds). 

Payments of interest and principal on the Class D-1 Notes will rank pari passu with 

payments of interest and principal on the Class D-2 Notes. Payments of interest on the 

Class D Notes will be subordinated in right of payment to any payments of interest due 

and payable in respect of the Class A Notes, the Class B Notes and the Class C Notes. 

Payments of principal on the Class D Notes will be subordinated in right of payment to 

payments of principal and interest in respect of the Class A Notes, the Class B Notes 

and the Class C Notes (for the avoidance of doubt, excluding Deferred Interest). 

Payments of interest on the Class D Notes will rank senior in right of payment to 

payments of principal and interest on the Class E Notes and the Class F Subordinated 

Notes. Payments of principal on the Class D Notes will rank senior in right of 

payment to payments of principal on the Class E Notes and the Class F Subordinated 

Notes subject to Condition 3(c)(ii)(U)(Application of Interest Proceeds). 

Payments of interest on the Class E Notes will be subordinated in right of payment to 

any payments of interest due and payable in respect of the Class A Notes, the Class B 

Notes, the Class C Notes and the Class D Notes. Payments of principal on the Class E 

Notes will be subordinated in right of payment to payments of principal and interest in 

respect of the Class A Notes, the Class B Notes, the Class C Notes and the Class D 

- 176 -

Notes (for the avoidance of doubt, excluding Deferred Interest). Payments of interest 

on the Class E Notes will rank senior in right of payment to payments of principal and 

interest on the Class F Subordinated Notes. Payments of principal on the Class E 

Notes will rank senior in right of payment to payments of principal on the Class F 


Save to the extent provided otherwise below, no amount of principal in respect of the 

Class B Notes shall become due and payable until redemption and payment in full of 

the Class A Notes, no amount of principal (for the avoidance of doubt, excluding 

Deferred Interest) in respect of the Class C Notes shall become due and payable until 

redemption and payment in full of the Class A Notes and the Class B Notes, no amount 

of principal (for the avoidance of doubt, excluding Deferred Interest) in respect of the 

Class D Notes shall become due and payable until redemption and payment in full of 

the Class A Notes, the Class B Notes and the Class C Notes, no amount of principal 

(for the avoidance of doubt, excluding Deferred Interest) in respect of the Class E 

Notes shall become due and payable until redemption and payment in full of the Class 

A Notes, the Class B Notes, the Class C Notes and the Class D Notes and no amount 

of principal in respect of the Class F Subordinated Notes shall become due and payable 

until redemption and payment in full of each of the other Classes of Notes. 

For the purposes of subordination and the Priorities of Payment, the Combination 

Notes shall not be treated as a separate Class but (i) the Class A-1 Component of the 

Class R Combination Notes will be treated as Class A-1 Notes, (ii) the Class B 

Component of the Class S Combination Notes will be treated as Class B Notes, (iii) the 

Class C-2 Component of the Class P Combination Notes will be treated as Class C-2 

Notes, (iv) the Class D-2 Component of the Class Q Combination Notes will be treated 

as Class D-2 Notes, (v) the Class E Component of the Class S Combination Notes will 

be treated as Class E Notes, (vi) the Subordinated P Component of the Class P 

Combination Notes will be treated as Class F Subordinated Notes, (vii) the 

Subordinated Q Component of the Class Q Combination Notes will be treated as 

Class F Subordinated Notes, (viii) the Subordinated R Component of the Class R 

Combination Notes will be treated as Class F Subordinated Notes, (ix) the 

Subordinated T Component of the Class T Combination Notes will be treated as 

Class F Subordinated Notes, and (x) the Subordinated U Component of the Class U 

Combination Notes will be treated as Class F Subordinated Notes. 

(c) 

Priorities of Payment 

The Account Bank (acting upon each Note Valuation Report) shall, on behalf of the 

Issuer, on each Payment Date disburse Interest Proceeds, Collateral Enhancement 

Obligation Proceeds and Principal Proceeds transferred to the Payment Account on the 

Business Day prior thereto in accordance with Condition 3(i) (Accounts) in accordance 

with the following Priorities of Payment as calculated by the Collateral Administrator 

pursuant to the terms of the Collateral Administration Agreement on each 

Determination Date. Pursuant to the Priorities of Payment, Collateral Enhancement 

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Obligation Proceeds are to be distributed initially, followed by Interest Proceeds and 

then the Principal Proceeds: 

(i) 

Application of Collateral Enhancement Obligation Proceeds: 

Subject to Condition 3(e) (Determination and Payment of Amounts) below and 

prior to the enforcement of the security over the Collateral, Collateral 

Enhancement Obligation Proceeds shall be applied in the following order of 

priority: 

(A) 

(B) 

(C) 

(D) 

to the Portfolio Manager or, as the case may be, one of the Affiliates of 

the Portfolio Manager if a Portfolio Manager Advance has been made 

and is outstanding, such amount of any Collateral Enhancement 

Obligation Proceeds as is required to repay such Portfolio Manager 

Advance; 

at the discretion of the Portfolio Manager, to be designated as Interest 

Proceeds or Principal Proceeds and paid to the Payment Account as 

Interest Proceeds or Principal Proceeds (as applicable) or to the Principal 

Account be reinvested in additional Collateral Enhancement Obligations; 

to the Class F Subordinated Noteholders as payment of interest on the 

Class F Subordinated Notes until the Class F IRR Threshold has been 

reached; 

after the Class F IRR Threshold has been reached and to the extent of 

any remaining Collateral Enhancement Obligation Proceeds: 

(a) to the payment to the Portfolio Manager in respect of the Incentive 

Management Fee in an amount equal to 20 per cent. of any 

Collateral Enhancement Obligation Proceeds remaining and to the 

payment of any value added tax due and payable in respect thereof; 

(b) secondly, to the extent of any remaining Collateral Enhancement 

Obligation Proceeds, at the discretion of the Portfolio Manager to 

be paid to the Class F Subordinated Noteholders as payment of 

interest on the Class F Subordinated Notes. 

(ii) 

Application of Interest Proceeds: 


prior to the enforcement of the security over the Collateral, Interest Proceeds 

shall be applied in the following order of priority: 

(A) 

to the payment of taxes or statutory fees owing by the Issuer accrued in 

respect of the related Due Period as certified by the Authorised Officer 

of the Issuer to the Trustee, if any, other than any value added tax due 

and payable in respect of any Portfolio Management Fee; 

- 178 -

(B) 

(C) 

(D) 

(E) 

(F) 

(G) 

to the payment, up to an amount equal to the Senior Fees and Expenses 

Cap of firstly (x) accrued and unpaid Trustee Fees and Expenses in 

respect of any Due Period and to the payment of any value added tax 

due and payable in respect thereof provided that the Senior Fees and 

Expenses Cap shall not apply to this paragraph (B) of Condition 3(c)(ii) 

(Application of Interest Proceeds) at any time following the taking of any 

enforcement action by the Trustee pursuant to Condition 11 

(Enforcement) for the duration of such enforcement action undertaken by 

the Trustee and secondly (y) due and unpaid Administrative Expenses 

less (for the avoidance of doubt) the amounts paid pursuant to this 

paragraph (B) in relation to each item thereof, on a pro rata basis; and 

except on the Payment Date on which the Class F Subordinated Notes 

are to be redeemed in full, to the payment at the discretion of the 

Portfolio Manager of an amount up to €50,000 into the Expense Reserve 

Account; 

to the payment (if any) of all amounts due and payable by the Issuer to 

the Short Term Variable Funding Facility Provider in respect of the 

Short Term Variable Funding Facility (and for the avoidance of doubt, 

such payment may be made at any time); 

to the payment to Merrill Lynch International of the placement fee in the 

amount specified in the Issuer Fees and Expenses Letter to be entered 

into on or before the Closing Date and to the payment of any value 

added tax due and payable in respect thereof; 

to the payment on a pro rata and pari passu basis, (i) to the Portfolio 

Manager of the Senior Portfolio Management Fee and the related Make- 

Whole Management Fee due and payable on such Payment Date and to 

the payment of any value added tax due and payable in respect thereof 

up to an amount in aggregate of such fees equal to the Senior Portfolio 

Management Fee Cap and (ii) of all Issuer Fees and Expenses until paid 

in full; 

to the payment, on a pro rata basis, of any Scheduled Periodic Interest 

Rate Hedge Issuer Payments due and payable and any Scheduled 

Periodic Currency Hedge Issuer Payments due and payable and any 

Scheduled Periodic Offsetting Credit Default Swap Issuer Payments to 

the extent not paid previously from the Interest Account and any 

Scheduled Periodic Credit Short Obligation Issuer Payments to the extent 

not paid previously from the Interest Account; 

in payment on a pro rata basis of any Interest Rate Hedge Issuer 

Termination Payments and any Currency Hedge Issuer Termination 

Payments, any Credit Short Obligation Termination Payments and any 

Offsetting Credit Default Swap Termination Payments to the extent not 

previously paid from funds within the Principal Account or Interest 

- 179 -

Account (and for the avoidance of doubt, in the case of Credit Short 

Obligation Termination Payments and Offsetting Credit Default Swap 

Termination Payments may be paid prior to the relevant Payment Date 

provided that sufficient funds are available to pay the amounts referred 

to in paragraphs (A) to (F) above on the next Payment Date as 

reasonably determined by the Portfolio Manager); 

(H) 

(I) 

(J) 

(K) 

(L) 

to the payment, on a pro rata and pari passu basis, of the Interest 

Amounts due and payable on (i) the Class A-1 Notes and (ii) the 

Class A-2A Notes and the Class A-2B Notes taken together (such 

amount to be applied first to the payment of Interest Amounts due and 

payable on the Class A-2A Notes and then to the Class A-2B Notes), in 

each case, in respect of the Interest Accrual Period ending on such 

Payment Date (together with any interest due and payable on the Class A 

Notes); 

to the payment, on a pro rata basis, of the Interest Amounts due and 

payable on the Class B Notes in respect of the Interest Accrual Period 

ending on such Payment Date (together with any interest due and 

payable on the Class B Notes); 

in the event that either of the Class A/B Coverage Tests are not satisfied 

on the related Determination Date, to redeem (on a pro rata and pari 

passu basis) (i) the Class A-1 Notes, in whole or in part, and (ii) the 

Class A-2A Notes and the Class A-2B Notes taken together (such 

amount to be applied first to redeem the Class A-2A Notes and then to 

redeem the Class A-2B Notes), and, following redemption in full 

thereof, to redeem (on a pro rata basis) the Class B Notes, in whole or 

in part, to the extent necessary to cause the Class A/B Coverage Tests to 

be met if recalculated following such redemption; 


payable on the Class C-1 Notes and the Class C-2 Notes in respect of the 

Interest Accrual Period ending on such Payment Date (together with any 

interest due and payable on the Class C Notes); 

to the payment, on a pro rata basis, of that element of the Principal 

Amount Outstanding of the Class C-1 Notes and the Class C-2 Notes 

which represents Deferred Interest on the Class C Notes which has been 

capitalised pursuant to Condition 6(c) (Deferral of Interest); 

(M) in the event that either of the Class C Coverage Tests are not satisfied on 

the related Determination Date, to redeem (on a pro rata basis) (i) the 

Class A-1 Notes and (ii) the Class A-2A Notes and the Class A-2B 

Notes taken together (such amount to be applied first in redemption of 

the Class A-2A Notes and then in redemption of the Class A-2B Notes), 

in whole or in part, and following redemption in full thereof, to redeem 

- 180 -

(on a pro rata basis) the Class B Notes, in whole or in part, and, 

following redemption in full thereof, to redeem (on a pro rata basis) the 

Class C-1 Notes and the C-2 Notes, in whole or in part, to the extent 

necessary to cause the Class C Coverage Tests to be met if recalculated 

following such redemption; 

(N) 

(O) 

(P) 

(Q) 

(R) 

(S) 


payable on the Class D-1 Notes and the Class D-2 Notes in respect of 

the Interest Accrual Period ending on such Payment Date (together with 

any interest due and payable on the Class D Notes); 

to the payment, on a pro rata basis, of that element of the Principal 

Amount Outstanding of the Class D-1 Notes and the Class D-2 Notes 

which represents Deferred Interest on the Class D Notes which has been 

capitalised pursuant to Condition 6(c) (Deferral of Interest); 

in the event that either of the Class D Coverage Tests are not satisfied on 

the related Determination Date to redeem (on a pro rata basis) (i) the 







Class C-1 Notes and the Class C-2 Notes, in whole or in part, and, 


Class D-1 Notes and the Class D-2 Notes, in whole or in part, to the 

extent necessary to cause the Class D Coverage Tests to be met if 

recalculated following such redemption; 

to the payment to the Portfolio Manager of the Mezzanine Portfolio 

Management Fee and the related Make-Whole Management Fee due and 

payable on such Payment Date and to the payment of any value added 

tax due and payable in respect thereof up to an amount in aggregate of 

such fees and value added tax in respect thereof equal to the Mezzanine 

Portfolio Management Fee Cap; 

to the payment, on a pro rata basis, (i) of the Interest Amounts due and 

payable on the Class E Notes in respect of the Interest Accrual Period 

ending on such Payment Date (together with any interest due and 

payable on the Class E Notes) and secondly (ii) of that element of the 

Principal Amount Outstanding of the Class E Notes which represents 

Deferred Interest on the Class E Notes which has been capitalised 

pursuant to Condition 6(c) (Deferral of Interest); 

in the event that either of the Class E Coverage Tests are not satisfied on 

the related Determination Date to redeem (on a pro rata basis) (i) the 

- 181 -







Class C -1 Notes and the Class C-2 Notes, in whole or in part, and, 


Class D-1 Notes and the Class D-2 Notes, in whole or in part, and, 


Class E Notes, in whole or in part, to the extent necessary to cause the 

Class E Coverage Tests to be met if recalculated following such 

redemption; 

(T) 

(U) 

(V) 

where redemption on such Payment Date is required pursuant to 

Condition 7(d) (Redemption upon Effective Date Rating Event), to 

redeem (on a sequential and pro rata basis in respect of each Class of 

Notes) the Rated Notes, in whole or in part, to the extent required 

pursuant to the Conditions; 

in the event that the Additional Reinvestment Test is not satisfied on the 

related Determination Date, the Portfolio Manager shall be obliged to 

use an amount up to 50 per cent. of the remaining Interest Proceeds that 

would otherwise have been applied towards payment of certain Issuer 

expenses, fees, and interest on the Class F Subordinated Notes either, at 

the Portfolio Manager's discretion (i) to purchase Substitute Collateral 

Debt Obligations or deposit in the Principal Account pending 

reinvestment in Substitute Collateral Debt Obligations, and/or (ii) to 

redeem partially or totally the Class E Notes to the extent necessary to 

cause the Additional Reinvestment Test to be met if calculated following 

such payment; 

to the payment, on a pro rata basis, of (i) any Defaulted Interest Rate 

Hedge Termination Payments due to any Interest Rate Hedge 

Counterparty and any Defaulted Currency Hedge Termination Payments 

due to any Currency Hedge Counterparty to the extent not paid from 

funds available in the Hedge Termination Receipt Account, (ii) any 

Interest Rate Hedge Replacement Payments due to any Interest Rate 

Hedge Counterparty or any Currency Hedge Replacement Payments due 

to any Currency Hedge Counterparty to the extent not paid from funds 

available in the Hedge Termination Receipt Account, (iii) any Defaulted 

Credit Short Obligation Termination Payments due to any Credit Short 

Obligation Counterparty to the extent not paid from the Credit Short 

Obligation Replacement Receipt paid to the Issuer by the replacement 

Credit Short Obligation Counterparty under the replacement Credit Short 

Obligation (if any), (iv) any Defaulted Offsetting Credit Default Swap 

- 182 -

Termination Payments due to any Offsetting Credit Default Swap 

Counterparty to the extent not paid from the Offsetting Credit Default 

Swap Replacement Receipt paid to the Issuer by the replacement 

Offsetting Credit Default Swap Counterparty under the replacement 

Offsetting Credit Default Swap (if any), and (v) any Credit Short 

Obligation Termination Payments due to any Credit Short Obligation 

Counterparty or any Offsetting Credit Default Swap Termination 

Payments due to any Offsetting Credit Default Swap Counterparty; 

(W) to the payment, on a pro rata basis, of (i) any Credit Short Obligation 

Replacement Payments due to any replacement Credit Short Obligation 

Counterparty and (ii) any Offsetting Credit Default Swap Replacement 

Payments due to any replacement Offsetting Credit Default Swap 

Counterparty; 

(X) 

(Y) 

(Z) 

in payment of any due and unpaid Trustee Fees and Expenses to the 

extent not paid pursuant to paragraph (B)(x) of Condition 3(c)(ii) 

(Application of Interest Proceeds) and to the payment of any value added 

tax due and payable in respect of any Trustee Fees and Expenses; 

in payment, on a pro rata basis, of any due and unpaid Administrative 

Expenses to the extent not paid under paragraph (B)(y) of 

Condition 3(c)(ii) (Application of Interest Proceeds); 

in payment to the Portfolio Manager of: 

(i) the Subordinated Portfolio Management Fee and the related Make- 

Whole Management Fee due and payable on such Payment Date and 

to the payment of any value added tax due and payable in respect 

thereof up to an amount in aggregate of such fees and value added 

tax in respect thereof equal to the Subordinated Portfolio 

Management Fee Cap; 

(ii) any accrued and unpaid Senior Portfolio Management Fee, 

Mezzanine Portfolio Management Fee or Subordinated Portfolio 

Management Fee, without regard to the Senior Portfolio 

Management Fee Cap, Mezzanine Portfolio Management Fee Cap 

or the Subordinated Portfolio Management Fee Cap, due and payable 

but not paid on any prior Payment Dates, any accrued and unpaid 

Make-Whole Management Fee due and payable but not paid on any 

prior Payment Dates and any other amounts payable to the Portfolio 

Manager (other than the Incentive Management Fee) under the 

Portfolio Management Agreement and to the payment of any value 

added tax due and payable in respect of any Portfolio Management 

Fee or other such amount; 

- 183 -

(AA) to the extent not paid out of Collateral Enhancement Obligation Proceeds 

standing to the credit of the Collateral Enhancement Account, and 

provided that there is no Balance standing to the credit of the Collateral 

Enhancement Account, to repayment of any Portfolio Manager 

Advances; 

(BB) at the discretion of the Portfolio Manager, save for upon the Payment 

Date on which the Subordinated Notes are to be redeemed in full, to 

payment into the Collateral Enhancement Account up to a maximum 

aggregate amount (taking into account all payments to the Collateral 

Enhancement Account on any prior Payment Date) of €1,000,000; 

(CC) at the discretion of the Portfolio Manager either (i) in payment to the 

Principal Account or (ii) to redeem the Class E Notes (and for the 

avoidance of doubt, the Portfolio Manager may elect not to exercise such 

discretion); 

(DD) to the Class F Subordinated Noteholders as payment of interest on the 


reached; 

(EE) subject to the prior payment of an amount equal to the Class F IRR 

Threshold (taking into account all prior payments of interest and 

principal in respect of the Class F Subordinated Notes and any payments 

made or to be made on the Subordinated Notes pursuant to 

paragraph (D) of Condition 3(c)(i) (Application of Collateral 

Enhancement Obligation Proceeds) and to the extent that any Interest 

Proceeds remain: 


Management Fee in an amount equal to 20 per cent. of any Interest 

Proceeds remaining and to the payment of any value added tax due 

and payable in respect thereof; 

(b) to the Class F Subordinated Noteholders as payment of interest on 

the Class F Subordinated Notes. 

(iii) 

Application of Principal Proceeds: 


prior to the enforcement of the security over the Collateral, Principal Proceeds 

shall be applied in the following order of priority: 

(A) 

to the payment on a sequential basis of the amounts referred to in 

paragraphs (A) to (F) (inclusive) of Condition 3(c)(ii) (Application of 

Interest Proceeds), but only to the extent not paid in full thereunder; 

- 184 -

(B) 

(C) 

(D) 

(E) 

(F) 

(G) 

to the payment of any Currency Hedge Issuer Principal Exchange 

Amounts due to the extent not paid from funds available within the GBP 

Principal Account pursuant to the Portfolio Management Agreement; 

in payment on a pro rata basis of any Interest Rate Hedge Issuer 

Termination Payments and any Currency Hedge Issuer Termination 

Payments due to the extent not paid from funds available within the 

Principal Account pursuant to the Portfolio Management Agreement, but 

only to the extent not paid in full from proceeds standing to the credit of 

the Hedge Termination Receipt Account or following the Hedge 

Termination Receipt Account not paid in full under paragraph (G) of 

Condition 3(c)(ii) (Application of Interest Proceeds) and any Credit 

Short Obligation Termination Payments and any Offsetting Credit 

Default Swap Termination Payments due to the extent not paid from 

funds available within the Interest Account pursuant to the Portfolio 

Management Agreement not paid in full under paragraph (G) of 



payable on the (i) the Class A-1 Notes and (ii) the Class A-2A Notes and 

the Class A-2B Notes taken together (such amount to be applied first to 

the payment of amounts due and payable on the Class A-2A Notes and 

then to the payment of amounts due and payable on the Class A-2B 

Notes) in respect of the Interest Accrual Period ending on such Payment 

Date but only to the extent not paid in full under paragraph (H) of 



payable on the Class B Notes in respect of the Interest Accrual Period 

ending on such Payment Date but only to the extent not paid in full 

under paragraph (I) of Condition 3(c)(ii) (Application of Interest 

Proceeds); 

in the event that any of the Class A/B Coverage Tests are not satisfied 

on the related Determination Date (and to the extent that the application 

of Interest Proceeds is insufficient for the purpose), to redeem (on a pro 

rata basis) the (i) the Class A-1 Notes and (ii) the Class A-2A Notes and 

the Class A-2B Notes taken together (such amount to be applied first in 

redemption of the Class A-2A Notes and then in redemption of the Class 

A-2B Notes) in whole or in part, and following redemption in full 


in part, to the extent necessary to cause such Class A/B Coverage Tests 

to be met if recalculated following such redemption; 

to the payment of the amounts referred to in paragraph (K) of 

Condition 3(c)(ii) (Application of Interest Proceeds), but only to the 

extent not paid in full thereunder; 

- 185 -

(H) 

(I) 

(J) 

(K) 

(L) 

in the event that any of the Class C Coverage Tests are not satisfied on 

the related Determination Date (and to the extent that the application of 

Interest Proceeds is insufficient for the purpose), to redeem (on a pro 

rata basis) the(i) the Class A-1 Notes and (ii) the Class A-2A Notes and 



A-2B Notes), in whole or in part, and following redemption in full 


in part, and, following redemption in full thereof, to redeem (on a pro 

rata basis) the Class C-1 Notes and the Class C-2 Notes, to the extent 

necessary to cause such Class C Coverage Tests to be met if recalculated 


to the payment of the amounts referred to in paragraph (N) of 



in the event that any of the Class D Coverage Tests are not satisfied on 









rata basis) the Class C-1 Notes and the Class C-2 Notes, in whole or in 

part, and following redemption in full thereof, to redeem (on a pro rata 

basis) the Class D-1 Notes and the Class D-2 Notes, in whole or in part 

until redeemed in full to the extent necessary to cause such Class D 

Coverage Tests to be met if recalculated following such redemption; 

to the payment of amounts referred to in paragraph (Q) of Condition 

3(c)(ii) (Application of Interest Proceeds) but only to the extent not paid 

in full thereunder; 

to the payment of the amounts referred to in paragraph (R)(i) of 



(M) in the event that any of the Class E Coverage Tests are not satisfied on 







- 186 -



rata basis) the Class C-1 Notes and the Class C-2 Notes, in whole or in 

part, and following redemption in full thereof, to redeem (on a pro rata 

basis) the Class D-1 Notes and the Class D-2 Notes, in whole or in part, 

and following redemption in full thereof, to redeem (on a pro rata basis) 

the Class E Notes, in whole or in part until redeemed in full to the extent 

necessary to cause such Class E Coverage Tests to be met if recalculated 


(N) 

(O) 

(P) 


paragraphs (L), (O) and (R)(ii) of Condition 3(c)(ii) (Application of 

Interest Proceeds), but only to the extent not paid in full thereunder; 

where redemption on such Payment Date is required pursuant to 

Condition 7(d) (Redemption upon Effective Date Rating Event), to 

redeem (on a sequential basis in order of seniority) the Rated Notes, in 

whole or in part, to the extent required pursuant to the Conditions; 

(1) during the Non-Call Period, at the discretion of the Portfolio 

Manager, all remaining Principal Proceeds to the purchase of 

Substitute Collateral Debt Obligations or to the Principal Account 

to be designated for reinvestment in Substitute Collateral Debt 

Obligations at a later date; 

(2) following the expiry of the Non-Call Period but during the 

remainder of the Reinvestment Period, all remaining Principal 

Proceeds to be applied either, at the discretion of the Portfolio 

Manager in the acquisition of Substitute Collateral Debt Obligations 

or in payment into the Principal Account pending such 

reinvestment or to redeem (on a pro rata basis) the (i) the Class A- 

1 Notes and (ii) the Class A-2A Notes and the Class A-2B Notes 

taken together (such amount to be applied first in redemption of the 

Class A-2A Notes and then in redemption of the Class A-2B 

Notes), in whole or in part, and following redemption in full 

thereof, to redeem (on a pro rata basis) the Class B Notes, in 

whole or in part, and, following redemption in full thereof, to 

redeem (on a pro rata basis) the Class C-1 Notes and the Class C-2 

Notes, in whole or in part, and following redemption in full 

thereof, to redeem (on a pro rata basis) the Class D-1 Notes or the 

Class D-2 Notes, in whole or in part, and following redemption in 

full thereof, to redeem (on a pro rata basis) the Class E Notes, in 

whole or in part until redeemed in full; 

(3) after the expiry of the Reinvestment Period: 

- 187 -

(i) in the case of Unscheduled Principal Proceeds and Sales 

Proceeds of Credit Improved Obligations and Credit Impaired 

Obligations, to the purchase of Substitute Collateral Debt 

Obligations or to the Principal Account to be designated for 

reinvestment in Substitute Collateral Debt Obligations at a 

later date at the discretion of the Portfolio Manager; or 

(ii) in the case of all remaining Principal Proceeds, to redeem (on 

a pro rata basis) the (i) the Class A-1 Notes and (ii) the Class 

A-2A Notes and the Class A-2B Notes taken together (such 

amount to be applied first in redemption of the Class A-2A 

Notes and then in redemption of the Class A-2B Notes), in 

whole or in part, and following redemption in full thereof, to 

redeem (on a pro rata basis) the Class B Notes, in whole or in 

part, and, following redemption in full thereof, to redeem (on 

a pro rata basis) the Class C-1 Notes and the Class C-2 Notes, 

in whole or in part, and following redemption in full thereof, 

to redeem (on a pro rata basis) the Class D-1 Notes and Class 

D-2 Notes, in whole or in part, and following redemption in 

full thereof, to redeem (on a pro rata basis) the Class E Notes, 

in whole or in part until redeemed in full; 

(Q) 

(R) 

(S) 

(T) 

to the payment of Trustee Fees and Expenses (if any), including any 

applicable value added tax due and payable thereon, to the extent not 

paid in full pursuant to paragraphs (B)(x) and (X) of Condition 3(c)(ii) 

(Application of Interest Proceeds); 

to the payment of Administrative Expenses (if any) to the extent not paid 

in full pursuant to paragraphs (B)(y) and (Y) of Condition 3(c)(ii) 


to the payment of any accrued and unpaid Portfolio Management Fee 

(other than the Incentive Management Fee) and any other amounts 

payable to the Portfolio Manager under the Portfolio Management 

Agreement and to the payment of any value added tax due and payable 

in respect thereof, but only to the extent not paid in full pursuant to 

paragraphs (E) and (Z) of Condition 3(c)(ii) (Application of Interest 

Proceeds) including, without limitation, by reason of the Senior 

Portfolio Management Fee Cap, the Mezzanine Portfolio Management 

Fee Cap and the Subordinated Portfolio Management Fee Cap; 

in payment on a pro rata basis of (i) any Defaulted Interest Rate Hedge 

Termination Payments due to any Interest Rate Hedge Counterparty, and 

any Defaulted Currency Hedge Termination Payments due to any 

Currency Hedge Counterparty, pursuant to the Portfolio Management 

Agreement but only to the extent not paid in full from proceeds standing 

to the credit of the Hedge Termination Receipt Account, or from funds 

- 188 -

payable pursuant to paragraph (V) of Condition 3(c)(ii) (Application of 

Interest Proceeds), (ii) any Interest Rate Hedge Replacement Payments 

due to any Interest Rate Hedge Counterparty or any Currency Hedge 

Replacement Payments due to any Currency Hedge Counterparty to the 

extent not paid from funds available in the Hedge Termination Receipt 

Account or from funds payable pursuant to paragraph (V) of Condition 

3(c)(ii) (Application of Interest Proceeds), (iii) any Defaulted Offsetting 

Credit Default Swap Termination Payments due to any Offsetting Credit 

Default Swap Counterparty to the extent not paid from the replacement 

amount received from the replacement Offsetting Credit Default Swap 

Counterparty (if any) or from funds payable pursuant to paragraph (V) 

of Condition 3(c)(ii) (Application of Interest Proceeds), (iv) any 

Defaulted Credit Short Obligation Termination Payments due to any 

Credit Short Obligation Counterparty to the extent not paid from the 

replacement amount received from the replacement Credit Short 

Obligation Counterparty (if any) or from funds payable pursuant to 

paragraph (V) of Condition 3(c)(ii) (Application of Interest Proceeds) 

and (v) any Credit Short Obligation Replacement Payments due to any 

Credit Short Obligation Counterparty, or any Offsetting Credit Default 

Swap Replacement Payments due to any Offsetting Credit Default Swap 

Counterparty to the extent not paid from funds payable pursuant to 

paragraph (V) of Condition 3(c)(ii) (Application of Interest Proceeds); 

(U) 

(V) 

to the extent not paid out of Collateral Enhancement Obligation Proceeds 

standing to the credit of the Collateral Enhancement Account or paid 

pursuant to paragraph (AA) of Condition 3(c)(ii) (Application of Interest 

Proceeds), and provided that there is no Balance standing to the credit of 

the Collateral Enhancement Account, to repayment of any Portfolio 

Manager Advances; 

to the Class F Subordinated Noteholders as payment of principal on the 


reached; 

(W) subject to the prior payment of an amount equal to the Class F IRR 

Threshold (after taking into account all prior distributions in respect of 

the Class F Subordinated Notes on each relevant Payment Date, and any 

payments made or to be made on the Class F Subordinated Notes 

pursuant to paragraph (C) of Condition 3(c)(i) (Application of Collateral 

Enhancement Obligation Proceeds) and to the extent that any Principal 

Proceeds remain: 


Management Fee in an amount equal to 20 per cent. of any Principal 

Proceeds remaining and to the payment of any value added tax due 

and payable in respect thereof; 

- 189 -

(b) to the Class F Subordinated Noteholders as payment of Interest 

Amounts. 

(d) 

Non-payment of Amounts 

Save in the case of the payment of interest on the Class A Notes and the Class B Notes 

pursuant to paragraphs (H) and (I) of Condition 3(c)(ii) (Application of Interest 

Proceeds) respectively and pursuant to paragraphs (D) and (E) of Condition 3(c)(iii) 

(Application of Principal Proceeds) respectively or, following redemption and payment 

in full of the Class A Notes and the Class B Notes, payment of interest on the Class C 

Notes pursuant to paragraph (K) of Condition 3(c)(ii) (Application of Interest Proceeds) 

and pursuant to paragraph (G) of Condition 3(c)(iii) (Application of Principal 

Proceeds) or, following redemption and payment in full of the Class C Notes, payment 

of interest on the Class D Notes pursuant to paragraph (N) of Condition 3(c)(ii) 

(Application of Interest Proceeds) and pursuant to paragraph (I) of Condition 3(c)(iii) 

(Application of Principal Proceeds) or, following redemption and payment in full of the 

Class D Notes, payment of interest on the Class E Notes pursuant to paragraph (R)(i) 

of Condition 3(c)(ii) (Application of Interest Proceeds) and pursuant to paragraph (L) 

of Condition 3(c)(iii) (Application of Principal Proceeds) or non-payment in full of the 

principal amount of any Class of Notes on any Redemption Date, failure on the part of 

the Issuer to pay any of the amounts referred to in Conditions 3(c)(ii) (Application of 

Interest Proceeds) and 3(c)(iii) (Application of Principal Proceeds) to the Noteholders 

or otherwise, by reason solely of the fact that there are insufficient funds standing to 

the credit of the Payment Account, shall not constitute an Event of Default pursuant to 

Condition 10 (Events of Default). 

Subject always, in the case of Interest Amounts payable in respect of the Class C 

Notes, the Class D Notes or the Class E Notes, to Condition 6(c) (Deferral of Interest), 

in the event of non-payment on any Payment Date of any amounts referred to in 

Conditions 3(c)(ii) (Application of Interest Proceeds) and 3(c)(iii) (Application of 

Principal Proceeds) (including any Deferred Interest payable in respect of the Class C 

Notes, the Class D Notes or the Class E Notes), such amounts shall remain due and 

shall be payable on each subsequent Payment Date in the orders of priority provided 

for in this Condition 3 (Status). References to the amounts referred to in 

Conditions 3(c)(ii) (Application of Interest Proceeds) and 3(c)(iii) (Application of 

Principal Proceeds) shall include any amounts thereof not paid when due in accordance 

with this Condition 3 (Status) on any preceding Payment Date. 

(e) 

Determination and Payment of Amounts 

The Collateral Administrator will, in consultation with the Portfolio Manager, on each 

Determination Date, calculate the amounts payable on the applicable Payment Date 

pursuant to Conditions 3(c)(i) (Application of Collateral Enhancement Obligation 

Proceeds), 3(c)(ii) (Application of Interest Proceeds) and 3(c)(iii) (Application of 

Principal Proceeds) and will notify the Issuer, the Trustee and the Account Bank of 

such amounts. The Account Bank (acting upon the notification from the Collateral 

Administrator) shall on behalf of the Issuer not later than 12.00 noon (London time) on 

- 190 -

the Business Day preceding each Payment Date cause the Balances standing to the 

credit of the Accounts, to the extent required to pay the amounts referred to in 

paragraphs (i) to (iii) of Condition 3(c) (Priorities of Payment), which are payable on 

such Payment Date to be transferred to the Payment Account subject to and in 

accordance with Condition 3(i) (Accounts). 

(f) 

De Minimis Amounts 

The Collateral Administrator may, in consultation with the Portfolio Manager, adjust 

the amounts required to be applied in payment of principal on the Class A Notes, the 

Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the 

Class F Subordinated Notes from time to time pursuant to the Priorities of Payment so 

that the amount to be so applied in respect of each Class A Note, Class B Note, 

Class C Note, Class D Note and Class E Note is a whole amount, not involving any 

fraction of a cent or, at the discretion of the Collateral Administrator, part of a euro. 

(g) 

Publication of Amounts 

The Collateral Administrator will cause details as to the amounts of interest and 

principal to be paid, and any amounts of interest payable but not paid, on each 

Payment Date in respect of the Notes to be notified to the Trustee, the Paying Agents 

and the Irish Stock Exchange by no later than 11:00 a.m. (London time) on the 

Business Day following the applicable Determination Date and the Paying Agents shall 

procure that details of such amounts are notified to the Noteholders of each Class in 

accordance with Condition 16 (Notices) as soon as possible after notification thereof to 

the Paying Agents in accordance with the above but in no event later than (to the extent 

applicable) the second Business Day after the last day of the applicable Due Period. 

(h) 

Notifications to be Final 

All notifications, opinions, determinations, certificates, quotations and decisions given, 

expressed, made or obtained for the purposes of the provisions of this Condition will 

(in the absence of wilful default, bad faith and manifest error) be binding on the Issuer, 

the Collateral Administrator, the Trustee, the Paying Agents and all Noteholders and 

(in the absence as referred to above) no liability to the Issuer or the Noteholders shall 

attach to the Collateral Administrator in connection with the exercise or non-exercise 

by it of its powers, duties and discretions under this Condition. 

(i) 

Accounts 

The Issuer shall, prior to the Closing Date, establish the following accounts with the 

Account Bank: 

(A) 

(B) 

(C) 

the Principal Account; 

the Interest Account; 

the Unused Proceeds Account; 

- 191 -

(D) 

(E) 

(F) 

(G) 

(H) 

(I) 

(J) 

(K) 

(L) 

(M) 

(N) 

(O) 

the Collateral Enhancement Account; 

the Payment Account; 

the Expense Reserve Account; 

the Non-Euro Account; 

the Hedge Termination Receipt Account; 

the Currency OTM Option Account; 

the Revolving Reserve Account; 

the GBP Principal Account; 

the GBP Interest Account; 

the Hedge Reserve Account; 

the Short Term Variable Funding Facility Account; and 

the Interest Reserve Account. 

The Custody Accounts, the Counterparty Downgrade Collateral Account, the Securities 

Lending Account, the OAT Custody T Account, the OAT Custody U Account and 

Synthetic Collateral Account shall be established by the Issuer on the Closing Date with 

the Custodian. Each of the Account Bank and the Custodian shall, at all times, be a 

financial institution the ratings of which satisfy the Rating Requirements applicable 

thereto. In the event that the ratings of the Account Bank or the Custodian are 

downgraded below the applicable Rating Requirement, or such rating is withdrawn, the 

Issuer shall use reasonable endeavours to procure that a replacement Account Bank or 

Custodian, as the case may be, which satisfies the Rating Requirement and which is 

acceptable to the Trustee in accordance with the provisions of the Agency Agreement is 

appointed. 

The Balances standing to the credit of the Accounts (except for the Revolving Reserve 

Account) from time to time can be invested by the Portfolio Manager on behalf of the 

Issuer in Eligible Investments with, in each case, Stated Maturities occurring no later 

than the second Business Day prior to the next Payment Date and, for the avoidance of 

doubt, the Balance standing to the credit of any Account shall include any such Eligible 

Investments from time to time. In addition, the Balance standing to the credit of the 

Securities Lending Account from time to time may be reinvested in accordance with 

the related Securities Lending Agreements. 

The Balance standing to the credit of the Revolving Reserve Account from time to time 

may only be invested by the Portfolio Manager on behalf of the Issuer in Eligible 

Investments with a possible maturity date no later than the Business Day next following 

the date of such investment. 

- 192 -

(i) 

Principal Account 

The Issuer will procure that the following amounts are paid into the Principal 

Account promptly upon receipt thereof: 

(a) 

all principal payments (including for the avoidance of doubt any 

principal proceeds representing deferring interest on any Deferring 

Mezzanine Obligations and PIK Only Obligations that has been 

capitalised and/or accrued since the date of acquisition thereof and that 

has been irrevocably designated as Principal Proceeds by the Portfolio 

Manager in accordance with the Portfolio Management Agreement and 

excluding any amount representing a trading gain on a Collateral Debt 

Obligation which at the discretion of the Portfolio Manager (acting 

within the mandate granted to it under the Portfolio Management 

Agreement) may be transferred to the Interest Account pursuant to 

paragraph (o) of Condition 3(i)(ii) (Interest Account) and excluding any 

amounts to be paid into the Revolving Reserve Account) received in 

respect of any Collateral Debt Obligation (save for any Non-Euro 

Obligations), including, without limitation: 

(1) Scheduled Principal Proceeds; 

(2) Unscheduled Principal Proceeds; 

(3) any scheduled or unscheduled payments of principal proceeds in 

respect of Exchanged Debt Securities or Special Situation 

Investment Obligations; and 

(4) any other principal payments with respect to Collateral Debt 

Obligations (to the extent not included in the Sale Proceeds). 

(b) 

(c) 

(d) 

all premiums (including prepayment premiums) receivable upon 

redemption of any Collateral Debt Obligation at maturity or otherwise or 

upon exercise of any put or call option in respect thereof which is above 

the outstanding principal amount of any Collateral Debt Obligation; 

all fees and commissions received in connection with any Defaulted 

Obligation, the work out or restructuring of any Collateral Debt 

Obligation; 

all amendment and waiver fees, late payment fees, commitment fees, 

syndication fees and all other fees and commissions received in 

connection with any Collateral Debt Obligations, including, without 

limitation, upon purchase or sale thereof, in each case, to the extent not 

included in paragraph (c) above, provided that if at any time after the 

first anniversary of the Closing Date the Aggregate Collateral Balance 

equals or exceeds the Target Par Amount and the Collateral Quality 

Tests are satisfied, such amounts may be paid into the Interest Account 

- 193 -

at the discretion of the Portfolio Manager pursuant to paragraph (b) of 

Condition 3(i)(ii) (Interest Account); 

(e) 

(f) 

(g) 

(h) 

(i) 

(j) 

(k) 

(l) 

(m) 

all Sale Proceeds received in respect of a Collateral Debt Obligation 

(including for the avoidance of doubt any deferred interest on any 

Deferring Mezzanine Obligation and on a PIK Only Obligation that has 

been capitalised and/or accrued since the date of purchase thereof and 

that has not been designated as Interest Proceeds by the Portfolio 

Manager in accordance with the Portfolio Management Agreement and 

excluding any amount representing a trading gain on a Collateral Debt 

Obligation which at the discretion of the Portfolio Manager (acting 


Agreement) is transferred to the Interest Account pursuant to 

paragraph (o) of Condition 3(i)(ii)(Interest Account); 

all Currency Hedge Counterparty Principal Exchange Amounts received 

under any Currency Hedge Agreements; 

all distributions and Sale Proceeds received in respect of Exchanged 

Equity Securities and Exchanged Debt Obligations; 

all Purchased Accrued Interest unless such Purchased Accrued Interest is 

deposited in the Unused Proceeds Account, at the discretion of the 

Portfolio Manager (acting within the mandate granted to it under the 

Portfolio Management Agreement); 

all amounts representing the element of deferred interest in any 

payments received in respect of any Deferring Mezzanine Obligation and 

PIK Only Obligation (that has been capitalised since the date of 

acquisition thereof) not designated by the Portfolio Manager as Interest 

Proceeds and not included in paragraphs (a) or (e) above; 

the Balance standing to the credit of the Hedge Termination Receipt 

Account in the circumstances described under Condition 3(i)(v) (Hedge 

Termination Receipt Account); 

amounts transferred to the Principal Account from the Unused Proceeds 

Account in the circumstances described under paragraph (f) of 

Condition 3(i)(iii) (Unused Proceeds Account); 

any other amounts received in respect of the Collateral which are not 

required to be paid into another Account; 

all principal repayments received in respect of any Synthetic Collateral 

to the extent no longer subject to the security interest of the applicable 

Synthetic Counterparty; 

- 194 -

(n) 

(o) 

(p) 

(q) 

(r) 

(s) 

(t) 

(u) 

all principal repayments received in respect of any Securities Lending 

Collateral to the extent no longer subject to the security interest of the 

applicable Securities Lending Counterparty; 

amounts transferred to the Principal Account from the Interest Account 

in the circumstances described under paragraph (b) of Condition 3(i)(ii) 

(Interest Account); 

any amounts transferred from the GBP Principal Account to the 

Principal Account at the discretion of the Portfolio Manager subject to 

the provisions set out in the Portfolio Management Agreement, pursuant 

to paragraph (B) of Condition 3(i)(xii) (GBP Principal Account); 

any amounts deposited into the Principal Account pursuant to 

paragraph (CC) of Condition 3(c)(ii) (Application of Interest Proceeds); 

any amounts associated with entering into or settling a Currency Hedge 

Transaction Agreement or sale of a currency option as permitted under 

the Hedging Procedures and allocated by the Portfolio Manager to the 

Principal Account (including any Currency Hedge Principal Exchange 

Amounts); 

unless otherwise deposited in the Interest Account, all Credit Short 

Obligation Termination Receipts, Cash Settlement Amount and Physical 

Settlement Amount received in respect of any Credit Short Obligations 

save for any amounts designated as Interest Proceeds or designated for 

deposit in the Short Term Variable Funding Facility Account at the 

discretion of the Portfolio Manager, acting on behalf of the Issuer (and 

for the avoidance of doubt (i) the Portfolio Manager may reinvest any 

such amounts not designated as Principal Proceeds at any time or 

designated for deposit in the Short Term Variable Funding Facility 

Account; and (ii) if such designation is not made by the Portfolio 

Manager at such time, such amounts cannot be designated as Interest 

Proceeds or for deposit thereafter); 

unless otherwise deposited in the Interest Account, all Offsetting Credit 

Default Swap Termination Receipts, all Offsetting Credit Default Swap 

Replacement Receipts, all Credit Short Obligation Replacement 

Receipts, Cash Settlement Amounts and Physical Settlement Amounts 

received in respect of any Offsetting Credit Default Swaps save for any 

amounts designated as Interest Proceeds at the discretion of the Portfolio 

Manager on entering into any Offsetting Credit Default Swaps, on behalf 

of the Issuer; and 

all amounts payable to the Issuer from the Counterparty Downgrade 

Collateral Account upon termination of a Credit Short Obligation or 

- 195 -

Offsetting Credit Default Swap (as the case may be) or following an 

event of default thereunder. 

The Issuer shall procure payment of the following amounts (and shall ensure 

that payment of no other amount is made, save to the extent otherwise 

permitted above) out of the Principal Account: 

(A) 

(B) 

(C) 

on the second Business Day prior to each Payment Date, all Principal 

Proceeds standing to the credit of the Principal Account to the Payment 

Account to the extent required for disbursement pursuant to 

Condition 3(c)(iii) (Application of Principal Proceeds), save for 

(a) amounts deposited after the end of the related Due Period and (b) any 

Principal Proceeds deposited prior to the end of the related Due Period 

to the extent such Principal Proceeds are permitted to be and have been 

designated for reinvestment by the Portfolio Manager (on behalf of the 

Issuer) pursuant to the Portfolio Management Agreement for a period 

beyond such Payment Date, provided that no such payment shall be 

made to the extent that such amounts are not required to be distributed 

pursuant to Condition 3(c)(iii) (Application of Principal Proceeds) on 

such Payment Date and (c) any purchased accrued deferred interest on a 

Mezzanine Obligation which the Issuer will have to pay following the 

purchase of such Mezzanine Obligation (and, for the avoidance of doubt, 

not on the date of the purchase of such Mezzanine Obligation) and (d) 

any Principal Proceeds equal to the maximum of (i) zero and (ii) the 

principal amount in Sterling of Non-Euro Obligations subject to a 

Currency Hedge Transaction Agreement (to the extent this balance is not 

covered by available unwind options under the Hedging Procedures) 

exchanged into Euro at the prevailing spot exchange rate minus the 

Aggregate Principal Balance of Collateral Debt Obligations (excluding 

any Non-Euro Obligations subject to a Currency Hedge Transaction 

Agreement); 

at any time in accordance with the terms of, and to the extent permitted 

under, the Portfolio Management Agreement, in the acquisition of 

Collateral Debt Obligations including any payments to an Offsetting 

Credit Default Swap Counterparty in the acquisition of an Offsetting 

Credit Default Swap, any payments to any Currency Hedge 

Counterparty in the acquisition of a Non-Euro Obligation under a 

Currency Hedge Agreement (not a Currency Hedge Transaction 

Agreement) including amounts equal to the Unfunded Amounts of any 

Revolving Obligations and Delayed Drawdown Obligations and 

including any accrued interest designated to be purchased with Principal 

Proceeds by the Portfolio Manager; 

at any time to the GBP Principal Account after conversion into Sterling 

at the Currency Hedge Transaction Exchange Rate under a Currency 

- 196 -

Hedge Transaction Agreement for investment in Sterling denominated 

Collateral Debt Obligations immediately after conversion (during the 

ramp-up period only) or at a later date; 

(D) 

(E) 

(F) 

(G) 

(H) 

at any time, any Currency Hedge Issuer Termination Payments payable 

by the Issuer, (excluding any Defaulted Currency Hedge Termination 

Payments) to the extent not paid out of the Hedge Termination Receipt 

Account; 

at any time, any Interest Rate Hedge Issuer Termination Payments 

payable by the Issuer (excluding any Defaulted Interest Rate Hedge 

Termination Payments) to the extent not paid out of the Hedge 

Termination Receipt Account; 

two Business Days prior to any of the first four Payment Dates and two 

Business Days prior to any Payment Date thereafter provided that Rating 

Agency Confirmation from S&P has been obtained in relation to any 

Payment Date after the fourth Payment Date and the Interim Moody's 

Metric Tests and the Class E Par Value Test are satisfied (for the first 

two Payment Dates, the Interim Moody's Metric Tests are satisfied 

based on the "Target Portfolio" as defined in the "Portfolio" section 

below), at the discretion of the Portfolio Manager, acting on behalf of 

the Issuer, all or part of the Balance standing to the credit of the 

Principal Account up to an amount (taking into account any such transfer 

pursuant to paragraph (F) of Condition 3(i)(iii) (Unused Proceeds 

Account) and/or any such transfer prior to a previous Payment Date 

pursuant to this paragraph which has not been repaid from the Interest 

Account) equal to the accrued and unpaid Interest Proceeds expected to 

be received in respect of the Portfolio as at the relevant date to the 

Payment Account as Interest Proceeds to be applied in accordance with 

Condition 3(c)(ii) (Application of Interest Proceeds) on such Payment 

Date provided that the amount transferred for each Due Period pursuant 

to this paragraph (F) and paragraph (F) of Condition 3(i)(iii) (Unused 

Proceeds Account) cannot exceed an amount equal to 1.00 per cent. of 

the Aggregate Collateral Balance at the time of the proposed transfer and 

also that any transfer prior to the third and fourth Payment Date is only 

permitted in circumstances where the Aggregate Collateral Balance at 

such time equals or exceeds €315,000,000 after such transfer; 

any amounts required for the purchase of Notes pursuant to 

Condition 7(k) (Purchase of Notes by the Issuer); 

at any time to the GBP Principal Account at the discretion of the 


Portfolio Management Agreement) at the prevailing spot exchange rate; 

- 197 -

(I) 

(J) 

(K) 

(L) 

at any time during the Reinvestment Period for the purpose of acquiring 

a Special Situation Investment Obligation provided that the Moody's 

Metric Tests (except for the first two Payment Dates) and the Par Value 

Tests are satisfied; 

all interest accrued on the Balance standing to the credit of the Principal 

Account to the Interest Account; 

any costs associated with the entering into or settling of a Currency 

Hedge Transaction Agreement or purchase of a currency option as 

permitted under the Hedging Procedures and allocated by the Portfolio 

Manager to the Principal Account; 

at any time, any amounts due and payable to the Short Term Loan 

Borrowing Facility Provider under the Short Term Variable Funding 

Facility to the extent not paid out of the Interest Account or out of the 

Short Term Variable Funding Account; 

(M) at any time, any amounts equal to the amount of Principal Proceeds used 

by the Issuer or the Portfolio Manager (on its behalf) to purchase a 

Deliverable Obligation under a Physical Settlement; 

(N) 

(O) 

at any time, any Offsetting Credit Default Swap Termination Payments 

(excluding any Defaulted Offsetting Credit Default Swap Termination 

Payment) payable by the Issuer provided that the Class E Par Value Test 

and the Moody's Metric Test are satisfied and such amounts are not 

otherwise paid out of the Interest Account (and, if applicable, in the case 

of a Defaulted Offsetting Credit Default Swap Termination Payment in 

respect of a replacement Offsetting Credit Default Swap, only up to an 

amount not exceeding any Offsetting Credit Default Swap Replacement 

Receipt paid to the Issuer by a replacement Offsetting Credit Default 

Swap Counterparty under a replacement Offsetting Credit Default Swap 

and in the event that such amount is insufficient to satisfy payment in full 

of such Defaulted Offsetting Credit Default Swap Termination Payment 

or no replacement Offsetting Credit Default Swap is entered into then 

such payment shall be paid in accordance with the Priorities of 

Payments); and 

at any time, any Credit Short Obligation Termination Payments 

(excluding any Defaulted Credit Short Obligation Termination Payment) 

payable by the Issuer provided that the Class E Par Value Test and the 

Moody's Metric Test are satisfied and such amounts are not otherwise 

paid out of the Interest Account (and, if applicable, in the case of a 

Defaulted Credit Short Obligation Termination Payment in respect of a 

replacement Credit Short Obligation, only up to an amount not 

exceeding any Credit Short Obligation Replacement Receipt paid to the 

Issuer by a replacement Credit Short Obligation Counterparty under a 

- 198 -

eplacement Credit Short Obligation and in the event that such amount is 

insufficient to satisfy payment in full of such Defaulted Credit Short 

Obligation Termination Payment or no replacement Credit Short 

Obligation is entered into then such payment shall be paid in accordance 

with the Priorities of Payments). 

(ii) 

Interest Account 

The Issuer will procure that the following amounts are paid into the Interest 

Account promptly upon receipt thereof: 

(a) 

(b) 

(c) 

(d) 

(e) 

all cash payments of interest in respect of the Collateral Debt Obligations 

(save for Non- Euro Obligations and other than any Purchased Accrued 

Interest), and, in respect of any Synthetic Collateral, to the extent no 

longer subject to the security interest of the applicable Synthetic Security 

Counterparty, together with all amounts received by the Issuer by way of 

gross-up in respect of such interest and in respect of a claim under any 

applicable double taxation treaty but excluding any amounts which 

represent deferred interest received in respect of any Deferring 

Mezzanine Obligation and PIK Only Obligation; 

at the Portfolio Manager's discretion, if at any time after the first 

anniversary of the Closing Date the Aggregate Collateral Balance is 

equal to or greater than the Target Par Amount and the Collateral 

Quality Tests are satisfied, all amendments and waiver fees, late 

payment fees, commitment fees, syndication fees and other fees and 

commissions received in connection with any Collateral Debt 

Obligations, including, without limitation, any applicable VAT thereon, 

upon sale or purchase thereof, save to the extent received in respect of 

any Defaulted Obligation or the work out of restructuring of any 

Collateral Debt Obligation; 

all accrued interest included in the proceeds of sale of any other 

Collateral Debt Obligation that is designated by the Portfolio Manager as 

Interest Proceeds pursuant to the Portfolio Management Agreement 

(provided that no such designation may be made in respect of any 

Purchased Accrued Interest); 

all coupon or other periodic payments received in respect of any 

Synthetic Security, excluding, for the avoidance of doubt, any scheduled 

or unscheduled termination or redemption payments save to the extent 

that such amounts are attributable to accrued interest or periodic 

payments which are Interest Proceeds; 

all coupon or other periodic payments received in respect of any 

Securities Lending Agreement excluding, for the avoidance of doubt, 

any scheduled or unscheduled termination or redemption payments save 

- 199 -

to the extent that such amounts are attributable to accrued interest or 

periodic payments which are Interest Proceeds; 

(f) 

(g) 

(h) 

(i) 

(j) 

(k) 

(l) 

(m) 

all Scheduled Periodic Currency Hedge Counterparty Payments received 

by the Issuer under a Currency Hedge Agreement and all Scheduled 

Periodic Interest Rate Hedge Counterparty Payments received by the 

Issuer under an Interest Rate Hedge Agreement; 

amounts transferred to the Interest Account from either the Unused 

Proceeds Account (in the circumstances described under paragraph (F) 

of Condition 3(i)(iii) (Unused Proceeds Account)) or the Principal 

Account (in the circumstances described under paragraph (F) of 

Condition 3(i)(i) (Principal Account)) to the Payment Account; 

all interest accrued on the Balance standing to the credit of each of the 

Accounts (save for the Collateral Enhancement Account, the 

Counterparty Downgrade Collateral Account, the Non-Euro Account, 

the GBP Interest Account, the GBP Principal Account and, save for 

interest accrued in Sterling on the balance standing to the credit of the 

Hedge Reserve Account and the Currency OTM Option Account) from 

time to time; 

all amounts representing the element of deferred interest in any 

payments received in respect of any Deferring Mezzanine Obligation and 

PIK Only Obligation that is designated by the Portfolio Manager as 

Interest Proceeds pursuant to the Portfolio Management Agreement (that 

(i) has been capitalised and/or accrued from and excluding the date of 

acquisition thereof and (ii) has not been capitalised and/or accrued up 

and including to the date of acquisition thereof); 

all amounts received by the Issuer in respect of interest paid on any 

collateral deposited by the Issuer with a third party as security for any 

reimbursement or indemnification obligations to any other lender under a 

Revolving Obligation in an account pursuant to an ancillary facility; 

any amounts transferred from the GBP Interest Account to the Interest 

Account, at the discretion of the Portfolio Manager (acting within the 

mandate granted to it under the Portfolio Management Agreement) 

pursuant to paragraph (ii) of Condition 3(i)(xiii) (GBP Interest Account); 

all commitment fees and all other fees and commission of a similar 

nature received in connection with any Revolving Obligations or 

Delayed Drawdown Obligations including any applicable VAT thereon; 

all cash payments in the nature of interest received in respect of any 

Exchanged Debt Securities and/or Special Situation Investment 

Obligations; 

- 200 -

(n) 

(o) 

(p) 

(q) 

(r) 

any amounts transferred from the Interest Reserve Account to the 

Interest Account, at the discretion of the Portfolio Manager (acting 


Agreement), pursuant to paragraph (A) of Condition 3(i)(xvii) (Interest 

Reserve Account) (including for the avoidance of doubt, the Release 

Amount); 

at the discretion of the Portfolio Manager (acting within the mandate 

granted to it under the Portfolio Management Agreement) any amount in 

Sale Proceeds or Principal Proceeds of a Collateral Debt Obligation to 

the extent that such amount represents a trading gain and provided that 

the Additional Reinvestment Ratio is at least 109.0 % after transferring 

this amount to the Interest Account; 

any amounts receivable associated with entering into or settling a 

Currency Hedge Transaction Agreement or sale of a currency option as 

permitted under the Hedging Procedures and allocated by the Portfolio 

Manager to the Interest Account; 

unless otherwise deposited in the Principal Account as Principal 

Proceeds or for deposit in the Short Term Variable Funding Facility 

Account by the Portfolio Manager, all Credit Short Obligation 

Termination Receipts, Cash Settlement Amounts and Physical Settlement 

Amounts received in respect of any Credit Short Obligations provided 

that, if Deliverable Obligations delivered with respect to any Physical 

Settlement Amount were purchased with Principal Proceeds in the 

Principal Account or with funds from the Short Term Variable Funding 

Facility Account, then the Physical Settlement Amount shall first be used 

to reimburse the applicable account (up to the amount withdrawn in 

respect of such purchase) before being paid into the Interest Account, 

even if such proceeds were designated as Interest Proceeds when 

entering into the Credit Short Obligation; 

unless otherwise deposited in the Principal Account as Principal 

Proceeds by the Portfolio Manager upon entry into the Offsetting Credit 

Default Swaps, all Offsetting Credit Default Swap Termination Receipts, 

Cash Settlement Amount and Physical Settlement Amount received in 

respect of any Offsetting Credit Default Swaps provided that, if 

Deliverable Obligations delivered with respect to any Physical 

Settlement Amount were purchased with Principal Proceeds in the 

Principal Account or with funds from the Short Term Variable Funding 

Facility Account, then the Physical Settlement Amount shall first be used 

to reimburse the applicable account (up to the amount withdrawn in 

respect of such purchase) before being paid into the Interest Account, 

even if such proceeds were designated as Interest Proceeds when 

entering into the Offsetting Credit Default Swap; and 

- 201 -

(s) 

all amounts payable to the Issuer upon termination of an Offsetting 

Credit Default Swap or a Credit Short Obligation (as the case may be) 

or following an event of default thereunder. 



permitted above) out of the Interest Account: 

(A) 

(B) 

(C) 

(D) 

(E) 

(F) 

(G) 

(H) 

on the second Business Day prior to each Payment Date, all Interest 

Proceeds standing to the credit of the Interest Account shall be 

transferred to the Payment Account to the extent required for 

disbursement pursuant to Condition 3(c)(ii) (Application of Interest 

Proceeds), save for amounts deposited after the end of the related Due 

Period and, on any Payment Date, other than a Payment Date on which 

all of the Notes are to be redeemed in full; 

upon receipt thereof, amounts equal to Interest Proceeds received which 

are attributable to payments credited to the Interest Account from either 

the Unused Proceeds Account pursuant to paragraph (F) of 

Condition 3(i)(iii) (Unused Proceeds Account) or the Principal Account 

pursuant to paragraph (F) of Condition 3(i)(i) (Principal Account) to the 

Unused Proceeds Account or, as the case may be, the Principal Account; 

to the purchase of accrued interest in connection with the acquisition of 

any Collateral Debt Obligation; 

all Scheduled Periodic Interest Rate Hedge Issuer Payments to be paid 

by the Issuer under an Interest Rate Hedge Agreement; 

at any time, up to €1,000,000 at the discretion of the Portfolio Manager 

(acting within the mandate granted to it under the Portfolio Management 

Agreement) to the Hedge Reserve Account, provided that the Coverage 

Tests are satisfied on such Measurement Date; 

at any time, at the discretion of the Portfolio Manager (acting within the 

mandate granted to it under the Portfolio Management Agreement) for 

the purpose of acquiring Special Situation Investment Obligations 

provided that the Interest Coverage Tests are satisfied after the 

acquisition; 

any amounts payable associated with entering into or settling a Currency 

Hedge Transaction Agreement, purchase of a currency option or 

servicing of a Sterling denominated Defaulted Obligation as permitted 

under the Hedging Procedures and allocated by the Portfolio Manager to 

the Interest Account; 

any amounts transferred to the GBP Interest Account after conversion 

thereof into Sterling at the prevailing spot exchange rate as determined 

- 202 -

y the Calculation Agent at the discretion of the Portfolio Manager 

(acting within the mandate granted to it under the Portfolio Management 

Agreement); 

(I) 

(J) 

(K) 

(L) 

at any time, any Offsetting Credit Default Swap Termination Payments 

payable by the Issuer provided that the Class E Interest Coverage Test is 

satisfied and such amounts are not otherwise paid out of the Principal 

Account (and, if applicable, to the extent not otherwise paid out of the 

Principal Account in the case of a Defaulted Offsetting Credit Default 

Swap Termination Payment in respect of a replacement Offsetting Credit 

Default Swap, only up to an amount not exceeding any Offsetting Credit 

Default Swap Replacement Receipt paid to the Issuer by a replacement 

Offsetting Credit Default Swap Counterparty under a replacement 

Offsetting Credit Default Swap and in the event that such amount is 

insufficient to satisfy payment in full of such Defaulted Offsetting Credit 

Default Swap Termination Payment or no replacement Offsetting Credit 

Default Swap is entered into then such payment shall be paid in 

accordance with the Priorities of Payments); 

at any time, any Credit Short Obligation Termination Payments payable 

by the Issuer provided that the Class E Interest Coverage Test is satisfied 

and such amounts are not otherwise paid out of the Principal Account 

(and, if applicable, to the extent not otherwise paid out of the Principal 

Account in the case of a Defaulted Credit Short Obligation Termination 

Payment in respect of a replacement Credit Short Obligation, only up to 

an amount not exceeding any Credit Short Obligation Replacement 

Receipt paid to the Issuer by a replacement Credit Short Obligation 

Counterparty under a replacement Credit Short Obligation and in the 

event that such amount is insufficient to satisfy payment in full of such 

Defaulted Credit Short Obligation Termination Payment or no 

replacement Credit Short Obligation is entered into then such payment 

shall be paid in accordance with the Priorities of Payments); 

at any time, any Scheduled Periodic Offsetting Credit Default Swap 

Issuer Payments, to the extent required to be paid pursuant to an 

Offsetting Credit Default Swap; 

at any time, any Scheduled Periodic Credit Short Obligation Issuer 

Payments, to the extent required to be paid pursuant to a Credit Short 

Obligation; 

(M) at any time, amounts referred to in sub-paragraph (l) of the definition of 

Administrative Expenses provided that such payments shall not exceed 

the Senior Fees and Expenses Cap; 

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(N) 

(O) 

at any time, any interest amounts due and payable to the Short Term 

Variable Funding Facility Provider under the Short Term Variable 

Funding Facility Agreement; and 

at any time, the Retained Portion to be paid into the Interest Reserve 

Account. 

(iii) 

Unused Proceeds Account 

The Issuer shall procure that (a) the proceeds of the issue of the Notes 

remaining after the repayment of any borrowings incurred by the Issuer in 

connection with the acquisition of Collateral Debt Obligations on or prior to 

the Closing Date, the payment of costs of entry into any Interest Rate Hedge 

Agreements and Currency Hedge Agreements entered into on or prior the 

Closing Date, the payment of amounts required to be paid into the Accounts 

on the Closing Date pursuant to this Condition 3(i) (Accounts) and the other 

fees and expenses of the Issuer payable on the Closing Date are paid into the 

Unused Proceeds Account on the Closing Date, (b) amounts transferred to the 

Unused Proceeds Account from the Interest Account in the circumstances 

described under paragraph (B) of Condition 3(i)(ii) (Interest Account) and 

(c) any Purchased Accrued Interest purchased with amounts standing to the 

credit of the Unused Proceeds Account be paid into the Unused Proceeds 

Account. 



permitted above) out of the Unused Proceeds Account: 

(A) 

(B) 

(C) 

on or about the Closing Date, certain fees, costs and expenses incurred 

in connection with the issue of the Notes and anticipated to be payable 

by the Issuer on or following completion of the issue of the Notes 

including any applicable VAT thereon; 

at any time up to and including the last day of the Investment Period, in 

accordance with the terms of, and to the extent permitted under, the 

Portfolio Management Agreement, in the acquisition of Collateral Debt 

Obligations and any related fees, costs and expenses payable by the 

Issuer including any payments to any Currency Hedge Counterparty and 

including any accrued interest to be purchased with the Unused 

Proceeds; 

at any time to the GBP Principal Account after conversion into Sterling 

at the Currency Hedge Transaction Exchange Rate under a Currency 

Hedge Transaction Agreement for investment in Sterling denominated 

Collateral Debt Obligations immediately (during the ramp-up period 

only) or at a later date; 

- 204 -

(D) 

(E) 

(F) 

(G) 

(H) 

in the event of the occurrence of an Effective Date Rating Event, the 

Balance standing to the credit of the Unused Proceeds Account, on the 

Business Day prior to the Payment Date falling immediately after the 

Effective Date, to the extent required, to the Payment Account for 

application as Principal Proceeds in accordance with Condition 3(c)(iii) 

(Application of Principal Proceeds) until the redemption in full of the 

Notes or, if earlier, Current Rating Confirmation is obtained; 

all interest accrued on the Balance standing to the credit of the Unused 

Proceeds Account to the Interest Account; 

upon confirmation by the Rating Agencies of the Initial Ratings after the 

Effective Date, the Balance standing to the credit of the Unused 

Proceeds Account to the Principal Account; 

two Business Days prior to the first and second Payment Date only 

provided that the Interim Moody's Metric Tests and the Class E Par 

Value Test are satisfied and at the discretion of the Portfolio Manager, 

acting on behalf of the Issuer, all or part of the Balance standing to the 

credit of the Unused Proceeds Account up to an amount (taking into 

account any such transfer pursuant to paragraph (F) of Condition 3(i)(i) 

(Principal Account)) equal to the accrued and unpaid Interest Proceeds 

expected to be received in respect of the Portfolio as at the relevant date 

to the Payment Account as Interest Proceeds to be applied in accordance 

with Condition 3(c)(ii) (Application of Interest Proceeds) on such 

Payment Date provided that the amount transferred for each Due Period 

pursuant to this paragraph (G) and paragraph (F) of Condition 3(i)(i) 

(Principal Account) cannot exceed an amount equal to 1.00 per cent. of 

the Aggregate Collateral Balance at the time of the proposed transfer; 

and 

at any time to the GBP Principal Account at the discretion of the 


Portfolio Management Agreement) at the prevailing spot exchange rate. 

(iv) 

Payment Account 

The Issuer will procure that, on the second Business Day prior to each 

Payment Date, all amounts standing to the credit of each of the Accounts 

which are required to be transferred from the other Accounts to the Payment 

Account pursuant to this Condition 3(i) (Accounts) are so transferred and, on 

such Payment Date, the Account Bank (acting on the basis of the Note 

Valuation Report), shall disburse such amounts in accordance with the 

Priorities of Payment. No amounts shall be transferred to or withdrawn from 

the Payment Account at any other time or in any other circumstances, save 

that all interest accrued on the Payment Account shall be credited to the 

Interest Account. 

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(v) 

Hedge Termination Receipt Account 

The Issuer will procure that the following amounts are paid into the Hedge 

Termination Receipt Account promptly upon receipt thereof: 

(a) 

(b) 

(c) 

(d) 

(e) 

all Interest Rate Hedge Counterparty Termination Payments (including 

for the avoidance of doubt, Defaulted Interest Rate Hedge Termination 

Receipts); 

all Currency Hedge Counterparty Termination Payments (including for 

the avoidance of doubt Defaulted Currency Hedge Termination Receipts 

but excluding any amounts that are allocated to other Accounts pursuant 

to the Hedging Procedures); 

all amounts payable to the Issuer from the Counterparty Downgrade 

Collateral Account upon termination of an Interest Rate Hedge 

Agreement or Currency Hedge Agreement (as the case may be) or 

following an event of default thereunder; 

any Interest Rate Hedge Replacement Receipt received by the Issuer 

under any Interest Rate Hedge Agreements; and 

any Currency Hedge Replacement Receipt received by the Issuer under 

any Currency Hedge Agreement. 

The Issuer will procure payment of the following amounts (and shall ensure 


permitted above) out of the Hedge Termination Receipt Account: 

(A) 

(i) if termination of any Interest Rate Hedge Agreement under which 

any Interest Rate Hedge Replacement Receipts are received occurs 

on a Redemption Date; or 

(ii) to the extent that any Interest Rate Hedge Replacement Receipt 

exceed the Interest Rate Hedge Replacement Payment; or 

(iii) to the extent any Interest Rate Hedge Counterparty Termination 

Payment exceeds the Interest Rate Hedge Replacement Payment; 

then such amounts standing to the credit of the Hedge Termination 

Receipt Account shall be transferred to the Principal Account (for the 

avoidance of doubt, any other Defaulted Interest Rate Hedge 

Termination Payments shall be paid in accordance with the Priorities of 

Payments); 

(B) 

(i) if termination of any Currency Hedge Agreement under which any 

Currency Hedge Replacement Receipts are payable occurs on a 

Redemption Date; or 

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(ii) to the extent that any Currency Hedge Replacement Receipts 

exceed the Currency Hedge Replacement Payment; or 

(iii) to the extent any Currency Hedge Counterparty Termination 

Payment exceeds the Currency Hedge Replacement Payment; 

then such amounts standing to the credit of the Hedge Termination 

Receipt Account shall be transferred to the Principal Account (for the 

avoidance of doubt, any other Defaulted Currency Hedge Termination 

Payments shall be paid in accordance with the Priorities of Payments); 

(C) 

(D) 

at any time, the Interest Rate Hedge Replacement Payment or the 

Currency Hedge Replacement Payment in accordance with the Portfolio 

Management Agreement, up to an amount not exceeding (a) the Interest 

Rate Hedge Termination Receipts or Currency Hedge Termination 

Receipts that have been paid in the Hedge Termination Receipt Account 

in (a) and (b) above, or (b) the Interest Rate Hedge Counterparty 

Termination Payment or the Currency Hedge Counterparty Termination 

Payment that have been paid into the Hedge Termination Receipt 

Account in (a) and (b) above upon termination of, respectively, the 

Interest Rate Hedge Agreement or Currency Hedge Agreement which is 

being replaced and shall be transferred to the Principal Account; and 

all interest accrued on the Balance standing to the credit of the Hedge 

Termination Receipt Account shall be credited to the Interest Account. 

(vi) 

Counterparty Downgrade Collateral Account 

The Issuer will procure that all Counterparty Downgrade Collateral pledged 

pursuant to a Currency Hedge Agreement or an Interest Rate Hedge 

Agreement or Offsetting Credit Default Swap or Credit Short Obligation (as 

the case may be) shall be deposited in a sub-account within the Counterparty 

Downgrade Collateral Account. All Counterparty Downgrade Collateral 

deposited from time to time in any Counterparty Downgrade Collateral 

Account shall be held and released pursuant to the terms of the relevant 

Currency Hedge Agreement or Interest Rate Hedge Agreement or Offsetting 

Credit Default Swap or Credit Short Obligation. Upon any default by a 

Hedge Counterparty under a Currency Hedge Agreement or, as the case may 

be, an Interest Rate Hedge Agreement or, as the case may be, an Offsetting 

Credit Default Swap, or as the case may be, a Credit Short Obligation, the 

Issuer or the Portfolio Manager, on its behalf, shall promptly exercise its 

remedies under the related agreement, including liquidating the related 

Counterparty Downgrade Collateral, whereupon such Counterparty 

Downgrade Collateral shall be transferred to the Hedge Termination Receipt 

Account in an amount agreed pursuant to the related Currency Hedge 

Agreement or Interest Rate Hedge Agreement or Offsetting Credit Default 

Swap or Credit Short Obligation, as applicable. 

- 207 -

(vii) 

Collateral Enhancement Account 

The Issuer will procure that the following amounts are credited to the 

Collateral Enhancement Account: 

(a) 

(b) 

(c) 

(d) 

at any time, the proceeds of a Portfolio Manager Advance, to the extent 

not applied in the acquisition of or, in respect of any exercise of any 

option or warrant comprised in, one or more Collateral Enhancement 

Obligations (in accordance with the terms of the Portfolio Management 

Agreement); 

on each Payment Date, all amounts which the Portfolio Manager, acting 

on behalf of the Issuer, determines at its discretion shall be applied in 

payment into the Collateral Enhancement Account pursuant to 

paragraph (BB) of Condition 3(c)(ii) (Application of Interest Proceeds), 

subject to the limit specified in such paragraph; 

all Collateral Enhancement Obligation Proceeds received by or on behalf 

of the Issuer; and 

any amounts transferred from the Hedge Reserve Account at the 

discretion of the Portfolio Manager (acting within the mandate granted to 

it under the Portfolio Management Agreement). 

The Issuer will procure the payment (and shall ensure that payment of no 

other amount is made) of amounts standing to the credit of the Collateral 

Enhancement Account to: 

(A) 

(B) 

(C) 

at any time, in the acquisition of, or in respect of any exercise of any 

option or warrant comprised in, a Collateral Enhancement Obligation, in 

accordance with the terms of the Portfolio Management Agreement; 

on the second Business Day prior to each Payment Date, to the Payment 

Account for distribution on such Payment Date as Collateral 

Enhancement Obligation Proceeds in accordance with Condition 3(c)(i) 

(Application of Collateral Enhancement Obligation Proceeds); and 

at any time, at the direction of the Portfolio Manager (acting within the 

mandate granted to it under the Portfolio Management Agreement), 

amounts required to repay any Portfolio Manager Advance outstanding. 

(viii) 

Expense Reserve Account 

The Issuer will procure that the following amounts are paid into the Expense 

Reserve Account: 

(a) 

on the Closing Date, €50,000; and 

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(b) 

on each Payment Date (other than the Payment Date on which the 

Class F Subordinated Notes are to be redeemed and paid in full 

following such Payment Date) at the discretion of the Portfolio Manager 

an amount up to €50,000 in accordance with paragraph (B)(y) of 

Condition 3(c)(ii) (Application of Interest Proceeds). 


that payment of no other amount is made) out of the Expense Reserve 

Account: 

(A) 

(B) 

(C) 

on each Payment Date, all amounts standing to the credit of the Expense 

Reserve Account to the Payment Account for disbursement in 

accordance with Condition 3(c)(ii) (Application of Interest Proceeds); 

at any time, in payment by the Collateral Administrator on behalf of the 

Issuer of any Trustee Fees and Expenses and Administrative Expenses 

which have accrued and become payable prior to any Payment Date up 

to an amount equal to the Senior Fees and Expenses Cap, together with 

any transfer, registration and other administrative fees and charges paid 

or payable by or on behalf of the Issuer in connection with the 

acquisition of Collateral Debt Obligations and Substitute Collateral Debt 

Obligations, and to the extent that invoices are usually obtained, upon 

receipt of invoices therefor from the relevant creditor; and 

all interest accrued on the Expense Reserve Account which shall be 

credited to the Interest Account promptly upon receipt thereof. 

(ix) 

Non-Euro Account 

The Issuer will procure that all amounts due to the Issuer in respect of each 

Non-Euro Obligation which is not subject to a Currency Hedge Transaction 

Agreement (including, without limitation, Unscheduled Principal Proceeds or 

Sale Proceeds denominated in a currency other than Euro which are to be 

retained by the Issuer and reinvested in Substitute Collateral Debt Obligations 

which are Non-Euro Obligations denominated in the same currency and any 

payments from a Currency Hedge Counterparty in respect of initial principal 

exchange amounts pursuant to a Currency Hedge Agreement but excluding 

any Currency Hedge Replacement Receipts) shall, on receipt, be deposited in 

the applicable ledger of the Non-Euro Account maintained in the currency of 

such individual Non-Euro Obligation. 

The Issuer will procure payment of the following amounts (and shall ensure 

that payment of no other amounts is made, save to the extent otherwise 

permitted above) out of the relevant Non-Euro Account: 

(A) 

at any time, to the extent of any Unscheduled Principal Proceeds or Sale 

Proceeds denominated in a currency other than Euro, in each case in 

accordance with the terms of, and to the extent permitted under the 

- 209 -

Portfolio Management Agreement, in the acquisition of Non-Euro 

Obligations; 

(B) 

(C) 

(D) 

Scheduled Periodic Currency Hedge Issuer Payments due to each 

Currency Hedge Counterparty pursuant to each Currency Hedge 

Agreement (other than a Currency Hedge Transaction Agreement); 

any Currency Hedge Issuer Principal Exchange Amount to be paid by 

the Issuer under any Currency Hedge Agreement (other than a Currency 

Hedge Transaction Agreement ); and 

cash amounts (representing any excess standing to the credit of the 

Non-Euro Account after provisioning for any amounts to be paid to any 

Currency Hedge Counterparty pursuant to any Currency Hedge 

Agreement) at the discretion of the Portfolio Manager, acting on behalf 

of the Issuer, to the Interest Account or the Principal Account after 

conversion thereof into Euro at the Spot Rate of Exchange or to the GBP 

Principal Account or the GBP Interest Account. 

(x) 

Synthetic Collateral Account 

The Issuer shall procure that sums and/or securities posted by the Issuer as 

Synthetic Collateral to secure the Issuer's obligations under a Synthetic 

Security pursuant to the terms of such Synthetic Security are paid into separate 

segregated subaccounts (each relating to individual Synthetic Counterparties) 

within the Synthetic Collateral Cash Account. 


that payment of no other amount is made) out of the Synthetic Collateral 

Accounts: 

(A) 

(B) 

(C) 

(D) 

all principal payments received in respect of any Synthetic Collateral to 

the extent no longer subject to the security interest of the applicable 

Synthetic Counterparty to the Principal Account; 

all payments in the nature of interest received by the Issuer in respect of 

any Synthetic Collateral to the extent no longer subject to the security 

interest of the applicable Synthetic Counterparty to the Interest Account; 

in payment of any amounts due and payable by the Issuer under any 

Synthetic Security; and 

all interest accrued on the Synthetic Collateral Account to the Interest 

Account. 

(xi) 

Revolving Reserve Account 

The Revolving Reserve Account shall comprise ledgers denominated in each 

of euro, sterling and United States dollars, Canadian dollars, Swedish Krona, 

- 210 -

Danish Krone, Swiss Franc, Norwegian Krone or any other currency subject 

to the receipt of Rating Agency Confirmation in relation thereto, and amounts 

shall be paid into and out of each such ledger in accordance with the currency 

in which they are denominated. 

The Issuer shall procure the following amounts are paid into the applicable 

ledger of the Revolving Reserve Account: 

(a) 

(b) 

(c) 

upon the acquisition of any Revolving Obligation or Delayed Drawdown 

Obligation, an amount equal to the Unfunded Amount of such Revolving 

Obligation or Delayed Drawdown Obligation, denominated in the 

currency of the Revolving Obligation or, where applicable, the Delayed 

Drawdown Obligations; 

all principal payments received by the Issuer in respect of any Revolving 

Obligation or Delayed Drawdown Obligation, if and to the extent that 

the amount of such principal payments may be re-borrowed under such 

Revolving Obligation or such Delayed Drawdown Obligation, following 

conversion thereof into the applicable currency, if required, pursuant to 

any Currency Hedge Agreement entered into in respect of the applicable 

Revolving Obligation or Delayed Drawdown Obligation or otherwise by 

the Portfolio Manager, acting on behalf of the Issuer; and 

all repayments of collateral to the Issuer originally paid by the Issuer 

pursuant to (A) below. 


that no other amounts are paid) out of the applicable ledger of the Revolving 

Reserve Account: 

(A) 

all amounts required to fund any drawings under any Revolving 

Obligation or Delayed Drawdown Obligation or required to be deposited 

in the Issuer's name with any third party as collateral for any 

reimbursement or indemnification obligations of the Issuer owed to any 

other lender under such Revolving Obligation or Delayed Drawdown 

Obligation (subject to Rating Agency Confirmation if the relevant third 

party does not have a short term debt rating of at least P-1 from 

Moody's and A-1+ by S&P and subject also to such security 

documentation as may be agreed between such lender, the Portfolio 

Manager acting on behalf of the Issuer and the Trustee), any such 

amount to be paid out of the Revolving Reserve Account and 

denominated in the currency of such Revolving Obligation or such 

Delayed Drawdown Obligation, and to the extent required, converted 

into the currency in which it is to be drawn down or so deposited, by the 

Portfolio Manager, acting on behalf of the Issuer; and 

- 211 -

(B) 

all interest accrued on the Balance standing to the credit of the Revolving 

Reserve Account from time to time (including capitalised interest 

received upon the sale, maturity or termination of any Eligible 

Investment), to the Interest Account, following conversion thereof into 

euro at the relevant spot exchange rate to the extent necessary. 

(xii) 

GBP Principal Account 

The Issuer will procure that the following amounts are paid into the GBP 

Principal Account promptly upon receipt thereof (and, for the avoidance of 

doubt, amounts in euro to be paid into the GBP Principal Account will be 

converted to Sterling at the then prevailing spot exchange rate): 

(a) 

(b) 

(c) 

(d) 

(e) 

all principal payments received by the Issuer in Sterling in respect of any 

Sterling denominated Collateral Debt Obligation subject to a Currency 

Hedge Transaction Agreement of a nature outlined in paragraphs (a), 

(b), (c), (d), (e), (f), (g), (h) and (j) of Condition 3(i)(i) (Principal 

Account); 

any amounts transferred from the Unused Proceeds Account to the GBP 

Principal Account, at the discretion of the Portfolio Manager subject to 

the Portfolio Management Agreement, pursuant to paragraphs (C) and 

(G) of Condition 3(i)(iii) (Unused Proceeds Account); 

any amounts transferred from the Principal Account to the GBP 

Principal Account, at the discretion of the Portfolio Manager subject to 

the Portfolio Management Agreement pursuant paragraphs (C) and (H) 

of Condition 3(i)(i) (Principal Account); 


Currency Hedge Transaction Agreement or the sale of a currency option 

as permitted under the Hedging Procedures allocated by the Portfolio 

Manager to the GBP Principal Account; and 

any Excess Sterling Recovery as defined in the Hedging Procedures. 



permitted above) out of the GBP Principal Account: 

(A) 

at any time in accordance with the terms of, and to the extent permitted 

under, the Portfolio Management Agreement, in the acquisition of 

Collateral Debt Obligations denominated in Sterling including any 

Sterling denominated amounts equal to the Unfunded Amounts of any 

Revolving Obligations and Delayed Drawdown Obligations and any 

accrued interest designated to be purchased with Principal Proceeds by 

the Portfolio Manager pursuant to the terms of the Portfolio 

Management Agreement; 

- 212 -

(B) 

(C) 

(D) 

(E) 

(F) 

(G) 

at any time, at the discretion of the Portfolio Manager to the Principal 

Account (acting within the mandate granted to it under the Portfolio 

Management Agreement) after conversion thereof into Euro at the then 

prevailing spot exchange rate (the amount can only be transferred to the 

Principal Account to the extent not subject to a Currency Hedge 

Transaction Agreement); 

at any time, subject to the provisions of the Hedging Procedures, to the 

payment by the Issuer of any Currency Hedge Issuer Principal Exchange 

Amounts related to a Currency Hedge Transaction Agreement; 

on the Business Day prior to any Redemption Date in the event of a 

redemption of the Notes in whole, all amounts standing to the credit of 

the GBP Principal Account, to the extent not subject to the terms of a 

Currency Hedge Transaction Agreement, to the Payment Account for 

disbursement as Principal Proceeds in accordance with the Priorities of 

Payment after conversion thereof into Euro at the prevailing spot rate of 

exchange as determined by the Calculation Agent at the direction of the 

Portfolio Manager; 

all interest accrued on the GBP Principal Account to the GBP Interest 

Account; 

at any time during the Reinvestment Period, at the discretion of the 


Portfolio Management Agreement), for the purpose of acquiring Sterling 

denominated Special Situation Investment Obligations provided that the 

Moody's Metric Tests (except for the first two Payment Dates) and the 

Par Value Tests are satisfied; 


mandate granted to it under the Portfolio Management Agreement) to the 

GBP Interest Account the greater of (i) zero and (ii) the amount of 

recovery proceeds received in respect of a Sterling denominated 

Defaulted Obligation minus the expected recovery proceeds on such 

Defaulted Obligation (based on assumed recovery rates of 80.0% for 

Secured Senior Loans, 65.0% for Mezzanine Obligations, 60.0% for 

Unsecured Senior Loans and 25.0% for High Yield Bonds) and such 

amount removed from the expected recovery proceeds and paid into the 

Interest Account cannot exceed the payment of interest made under the 

currency swap for the recovery amount, provided further that no such 

transfer will take place until the cumulative weighted average recovery 

rate achieved on all Defaulted Obligations to date is greater than 55.0 

per cent. and such excess recovery proceeds will remain in the Principal 

Account or be reinvested in Additional Collateral Debt Obligations and 

shall not be transferred to the GBP Interest Account but shall remain in 

- 213 -

the GBP Principal Account until such condition is satisfied or upon a 

redemption of the Notes in whole but not in part; and 

(H) 

any Sterling amounts payable associated with entering into or settling a 

Currency Hedge Transaction Agreement or purchase of a currency 

option as permitted under the Hedging Procedures allocated by the 

Portfolio Manager to the GBP Principal Account. 

(xiii) 

GBP Interest Account 

The Issuer will procure that the following amounts are paid into the GBP 

Interest Account promptly upon receipt thereof (and, for the avoidance of 

doubt, amounts in euro to be paid into the GBP Interest Account will be 

converted to Sterling at the then prevailing spot exchange rate): 

(a) 

(b) 

(c) 

(d) 

(e) 

all interest payments received by the Issuer in Sterling in respect of any 

Sterling denominated Collateral Debt Obligation subject to a Currency 

Hedge Transaction Agreement of a nature outlined in paragraphs (a), 

(b), (c), (h) and (i) of Condition 3(i)(ii) (Interest Account); 

all interest in Sterling accrued on the Balance standing to the credit of 

the GBP Principal Account, GBP Interest Account, the Hedge Reserve 

Account and Currency OTM Account from time to time; 

at any time, any amounts transferred from Interest Account after 

conversion thereof into Sterling at the prevailing spot exchange rate as 

determined by the Calculation Agent at the direction of the Portfolio 

Manager (acting within the mandate granted to it under the Portfolio 

Management Agreement); 

any Sterling amounts receivable associated with entering into or settling 

a Currency Hedge Transaction Agreement or sale of a currency option 

as permitted under the Hedging Procedures and allocated by the 


Portfolio Management Agreement) to the GBP Interest Account; and 

at any time, from the GBP Principal Account, at the discretion of the 


Portfolio Management Agreement), proceeds received pursuant to 

Condition 3(i)(xiii)(GBP Interest Account). 



permitted above) out of the GBP Interest Account: 

(A) 

at any time to the purchase of accrued interest in connection with the 

acquisition of any Collateral Debt Obligation Denominated in Sterling; 

- 214 -

(B) 

(C) 

(D) 

(E) 

(F) 

(G) 

(H) 

at any time to the Interest Account, at the discretion of the Portfolio 

Manager (acting within the mandate granted to it under the Portfolio 

Management Agreement) after conversion thereof into Euro at the then 

prevailing spot exchange rate; 

at any time, subject to the provisions of the Portfolio Management 

Agreement, to the payment by the Issuer to any Currency Hedge 

Counterparty of any Scheduled Periodic Currency Hedge Issuer 

Payments (only to the extent that such payments are associated with 

Currency Hedge Transaction Agreement); 



the GBP Interest Account, to the extent not subject to the terms of a 

Currency Hedge Transaction Agreement, to the Payment Account for 

disbursement as Interest Proceeds in accordance with the Priorities of 

Payment after conversion thereof into Euro at the prevailing spot 

exchange rate, as determined by the Calculation Agent, at the direction 

of the Portfolio Manager (acting within the mandate granted to it under 

the Portfolio Management Agreement); 

at any time during the Reinvestment Period at the discretion of the 


Portfolio Management Agreement) for the purpose of acquiring Sterling 

denominated Special Situation Investment Obligations provided that the 

Interest Coverage Tests are satisfied; 

any Sterling amounts payable associated with entering into or settling a 

Currency Hedge Transaction Agreement, purchasing a currency option 

or servicing a Sterling denominated Defaulted Obligation as permitted 

under the Hedging Procedures and allocated by the Portfolio Manager to 

the GBP Interest Account; 

at any time at the discretion of the Portfolio Manager (acting within the 


Non-Euro Account; and 

cash amounts (representing any excess standing to the credit of the GBP 

Interest Account after provisioning for any amounts to be paid to any 

Currency Hedge Counterparty pursuant to any Currency Hedge 

Transaction Agreement) at the discretion of the Portfolio Manager to the 

Interest Account or the Principal Account after conversion thereof into 

Euro at the spot or to the GBP Principal Account, GBP Interest Account 

or the Non-Euro Account. 

(xiv) 

Currency OTM Option Account 

- 215 -

The Issuer will procure that the following amounts are paid promptly into the 

applicable ledger of the Currency OTM Account in Euro or Sterling upon 

receipt thereof: 

(a) 

(b) 


Currency Hedge Agreement, sale of a currency option or exercise of a 

currency option as permitted under the Hedging Procedures; and 

at any time, any amounts received in the Currency OTM Account from 

the Hedge Reserve Account. 


that payment of no other amount is made) out of the Currency OTM Option 

Account: 

(A) 

(B) 

(C) 

(D) 

any amounts payable associated with entering into or settling a Currency 

Hedge Transaction Agreement, purchase of a currency option or 

servicing a Sterling Defaulted Obligation as permitted under the Hedging 

Procedures; 



the Currency OTM Option Account, to the Payment Account for 

disbursement as Principal Proceeds in accordance with the Priorities of 

Payment; 

all interest accrued on the Currency OTM Option Account to the GBP 

Interest Account and/or Interest Account; and 

when no Non-Euro Obligation is any longer subject to a Currency Hedge 

Transaction Agreement, at the discretion of the Portfolio Manager to any 

Account. 

(xv) 

The Hedge Reserve Account 

The Issuer will procure that the following amounts are paid promptly into the 

applicable ledger of the Hedge Reserve Account in Euro or Sterling upon 

receipt thereof: 

(a) 

(b) 

any amounts in Euro receivable associated with entering into or settling 

a Currency Hedge Transaction Agreement or the sale of a currency 

option as permitted under the Hedging Procedures; and 

any amounts transferred to the Hedge Reserve Account from the Interest 

Account at the discretion of the Portfolio Manager pursuant to 

paragraph (E) of Condition 3(i)(ii) (Interest Account). 

- 216 -



permitted above) out of the Hedge Reserve Account: 

(A) 

(B) 

(C) 

(D) 

(E) 

(F) 

any amounts payable associated with entering into a Currency Hedge 

Transaction Agreement, purchase of a currency option as permitted 

under the Hedging Procedures; 



the Hedge Reserve Account to the Payment Account for distribution as 

Interest Proceeds or Collateral Enhancement Obligation Proceeds at the 

discretion of the Portfolio Manager, acting on behalf of the Issuer, in 

accordance with the Priorities of Payment; 

all interest accrued on the Hedge Reserve Account to the GBP Interest 

Account and/or Interest Account; 



Currency OTM Account; 



Collateral Enhancement Account in a cumulative amount not exceeding 

the cumulative amount that has been deposited into the Hedge Reserve 

Account pursuant to paragraph (v) of Condition 3(i)(ii) (Interest 

Account); and 

when no Non-Euro Obligation is any longer subject to a Currency Hedge 

Transaction Agreement, at the discretion of the Portfolio Manager to any 

Account. 

(xvi) 

Securities Lending Account 

The Issuer will procure that all Securities Lending Collateral pledged pursuant 

to a Securities Lending Agreement shall be deposited in a sub-account within 

the Securities Lending Account. All Securities Lending Collateral deposited 

from time to time in any Securities Lending Account shall be held pursuant to 

the related Securities Lending Agreement. Upon any default by any Securities 

Lending Counterparty under the related Securities Lending Agreement, the 

Issuer or the Portfolio Manager, on its behalf, shall promptly exercise its 

remedies under such Securities Lending Agreement, including liquidating the 

related Securities Lending Collateral, whereupon such Securities Lending 

Collateral shall be transferred to the Principal Account in an amount agreed in 

the related Securities Lending Agreement. 

(xvii) 

Interest Reserve Account 

- 217 -

The Issuer shall procure that an amount equal to €3,000,000 on the Closing 

Date and also that each Retained Portion (if any) is paid into the Interest 

Reserve Account on each Payment Date under Condition 3(c)(ii) (Application 

of Interest Proceeds). 


that payment of no other amount is made) out of the Interest Reserve Account. 

(A) 

(B) 

(C) 

an amount not exceeding the Interest Reserve Amount at the discretion 

of the Portfolio Manager (acting within the mandate granted to it under 

the Portfolio Management Agreement) not exceeding the Balance on the 

Interest Reserve Account, in payment into Interest Account at the end of 

the Due Period; 

the Release Amount into the Payment Account for disbursement as 

Interest Proceeds or, as the case may be, Principal Proceeds in 

accordance with the Priorities of Payment; and 



the Interest Reserve Account to the Payment Account for distribution as 

Interest Proceeds in accordance with the Priorities of Payment. 

(xviii) 

Short Term Variable Funding Facility Account 

The Issuer will procure that any drawings under the Short Term Variable 

Funding Facility shall be deposited in the Short Term Variable Funding 

Facility Account. All accrued interest on the Balance standing to the credit of 

this account shall be deposited into the Interest Account. 

The Issuer (or the Portfolio Manager on its behalf) shall use any amounts 

drawn down from the Short Term Variable Funding Facility and standing to 

the credit of the Short Term Variable Funding Facility Account to either (a) 

purchase: 

(i) 

(ii) 

(iii) 

Deliverable Obligations; 

additional Collateral Debt Obligations; and/or 

Substitute Collateral Debt Obligations, 

in accordance with the terms and conditions of the Short Term Variable 

Funding Facility Agreement, or (b) repay any amounts drawn from the Short 

Term Variable Funding Facility Account used to purchase a Deliverable 

Obligation under a Physical Settlement. 

(xix) 

OAT Custody Account 

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4. Security 

The Issuer shall procure that, prior to the Closing Date, each of the OAT 

Custody T Account and the OAT Custody U Account is established as a single 

segregated trust account in the name of the Issuer subject to the security 

interests created in favour of the Trustee for the benefit of the Class T 

Combination Noteholders and the Class U Combination Noteholders. All 

OAT Strips shall be deposited in either the OAT Custody T Account or the 

OAT Custody U Account (as applicable) and shall be held by the Custodian as 

part of the Collateral. The OAT Strips forming the OAT Strips T Portion will 

be applied solely for the benefit of the Class T Combination Noteholders and 

the OAT Strips forming the OAT Strips U Portion will be applied solely for 

the benefit of the Class U Combination Noteholders. 

(a) 

Security 

Pursuant to the Trust Deed and subject to the security arrangements in respect of the 

OAT Strips for the Class T Combination Noteholders and the Class U Combination 

Noteholders, the obligations of the Issuer under the Notes of each Class, the Trust 

Deed, the Agency Agreement, the Portfolio Management Agreement, the Collateral 

Administration Agreement, the Corporate Services Agreement, the Interest Rate Hedge 

Agreements, the Currency Hedge Agreements, the Credit Short Obligations and the 

Offsetting Credit Default Swaps (together with the obligations owed by the Issuer to 

the other Secured Parties secured by the Trust Deed) are secured in favour of the 

Trustee for the benefit of the Secured Parties by: 

(i) 

(ii) 

an assignment by way of first fixed security of the Issuer's right, title and 

interest (present and future) to the Collateral Debt Obligations, the Exchanged 

Debt Obligations, the Exchanged Equity Securities, the Collateral 

Enhancement Obligations (save to the extent that it would cause the Issuer to 

be in breach of any obligations by which it is bound which relate to any such 

Collateral Enhancement Obligation), the Special Situation Investment 

Obligations and the Eligible Investments and all rights, entitlements or other 

benefits relating thereto (where such obligations are contractual rights other 

than contractual rights the assignment of which would require the consent of a 

third party and other than such right, title and interest as is effectively and 

validly pledged under the Euroclear Pledge Agreement) including, without 

limitation, moneys received in respect thereof, all dividends and distributions 

paid or payable thereon, all property paid, distributed, accruing or offered at 

any time on, to or in respect of in substitution therefor and the proceeds of 

sale, repayment and redemption thereof; 

a first fixed charge and first priority security interest over, all rights, title and 

interest (present and future) of the Issuer in respect of the Collateral Debt 

Obligations, the Exchanged Debt Obligations, the Exchanged Equity 

Securities, the Collateral Enhancement Obligations (save to the extent that it 

would cause the Issuer to be in breach of any obligations by which it is bound 

- 219 -

which relate to any such Collateral Enhancement Obligation), the Special 

Situation Investment Obligations and the Eligible Investments (other than any 

obligations which require the consent of a third party to create such security 

and any rights assigned by way of first fixed security under Condition 4(a)(i) 

above and other than such right, title and interest as is effectively and validly 

pledged under the Euroclear Pledge Agreement), including, without limitation, 

all moneys received in respect thereof, all dividends and distributions paid or 

payable thereon, all property paid, distributed, accruing or offered at any time 

on, to or in respect of or in substitution therefor and the proceeds of sale, 

repayment and redemption thereof; 

(iii) 

(iv) 

(v) 

(vi) 

a first fixed charge and a first priority security interest over all rights, title and 

interest (present and future) of the Issuer in respect of each of the Accounts 

(other than the Synthetic Collateral Account) and all moneys from time to time 

standing to the credit of the Accounts (other than as aforesaid) and the debts 

represented thereby and including, without limitation, all interest accrued and 

other moneys received in respect thereof; 

a first fixed charge and first priority security interest, subject to any prior 

security interest of any Synthetic Counterparty, over all rights, title and 

interest (present and future) of the Issuer in respect of any Synthetic Collateral 

including, without limitation, all moneys received in respect thereof, all 

dividends and distributions paid or payable thereon, all property paid, 

distributed, accruing or offered at any time on, to or in respect of or in 

substitution therefor and the proceeds of sale, repayment and redemption 

thereof and over the Synthetic Collateral Account and all moneys from time to 

time standing to the credit of the Synthetic Collateral Account and the debts 

represented thereby, subject, in each case, to the rights of any Synthetic 

Counterparty to require repayment or redelivery of any such Synthetic 

Collateral pursuant to the terms of the applicable Synthetic Security and to the 

security interest thereover granted in favour of such Synthetic Counterparty 

pursuant to the applicable Synthetic Security; 

an assignment by way of first fixed security of the Issuer's rights, title and 

interest (present and future) against the Custodian under the Agency 

Agreement (other than in respect of the OAT Strips, the OAT Custody T 

Account, the OAT Custody U Account, the OAT Strips Sale T Proceeds and 

the OAT Strips Sale U Proceeds) and a first fixed charge over the Custody 

Account (including each cash account relating to the Custody Account, any 

cash held therein and the debt represented thereby); 


interest (present and future) under each Interest Rate Hedge Agreement and 

Currency Hedge Agreement (including the Issuer's rights under any guarantee 

or credit support annex entered into pursuant to any Interest Rate Hedge 

Agreement and Currency Hedge Agreement and any Counterparty Downgrade 

- 220 -

Collateral provided that such assignment by way of security shall not in any 

way restrict the release of collateral granted thereunder in whole or in part at 

any time pursuant to the terms thereof); 

(vii) 

(viii) 

(ix) 

(x) 

(xi) 

(xii) 

(xiii) 

(xiv) 

(xv) 


interest (present and future) under the Portfolio Management Agreement; 

a first fixed charge over all moneys held from time to time by the Registrar 

and the Principal Paying Agent for payment of principal, interest or other 

amounts on the Notes (if any); 


interest (present and future) under the Agency Agreement (other than in 

respect of the OAT Strips, the OAT Custody T Account, the OAT Custody U 

Account, the OAT Strips Sale T Proceeds and the OAT Strips Sale U 

Proceeds); 


interest (present and future) under the Corporate Services Agreement; 


interest (present and future) under the Collateral Administration Agreement; 


interest (present and future) under the Securities Lending Agreements 

including, without limitation, any Securities Lending Collateral posted by the 

Securities Lending Counterparty thereunder; 


interest (present and future) under the Short Term Variable Funding Facility 

Agreement; 


interest (present and future) under the Offsetting Credit Default Swap 

(including the Issuer's rights under any guarantee or credit support annex 

entered into pursuant to any Offsetting Credit Default Swap and any 

Counterparty Downgrade Collateral provided that such assignment by way of 

security shall not in any way restrict the release of collateral granted 

thereunder in whole or in part at any time pursuant to the terms thereof); 


interest (present and future) under the Credit Short Obligation (including the 

Issuer's rights under any guarantee or credit support annex entered into 

pursuant to any Credit Short Obligation provided that such assignment by way 

of security shall not in any way restrict the release of collateral granted 

thereunder in whole or in part at any time pursuant to the terms thereof); and 

- 221 -

(xvi) 

a first floating charge over the whole of the Issuer's undertaking and assets 

(other than the Issuer’s Domestic Account and all moneys from time to time 

standing to the credit thereof and the debts represented thereby and including, 

without limitation, all interest accrued and other moneys received in respect 

thereof) to the extent that such undertaking and assets are not subject to any 

fixed security referred to in this Condition 4 (Security) or the Euroclear 

Pledge Agreement (other than in respect of the OAT Strips, the OAT Custody 

T Account, the OAT Custody U Account, the OAT Strips Sale T Proceeds 

and the OAT Strips Sale U Proceeds). 

All deeds, documents, assignments, instruments, bonds, notes, negotiable instruments, 

papers and any other instruments comprising, evidencing, representing and/or 

transferring the Portfolio will be deposited with or held by or on behalf of the 

Custodian until the security over such obligations is irrevocably discharged in 

accordance with the provisions of the Trust Deed. In the event that the ratings of the 

Custodian are downgraded to below the Rating Requirement applicable to the 

Custodian, or such rating is withdrawn, the Issuer shall use reasonable endeavours to 

procure that a replacement Custodian which satisfies the Rating Requirement and who 

is acceptable to the Trustee is appointed in accordance with the provisions of the 

Agency Agreement. 

Pursuant to the terms of the Trust Deed, the Trustee is exempted from any liability in 

respect of any loss or theft of the Collateral, from any obligation to insure the 

Collateral and from any claim arising from the fact that the Collateral is held in a 

clearing system or in safe custody by the Custodian, a bank or other custodian. The 

Trustee has no responsibility for the management of the Portfolio by the Portfolio 

Manager (on behalf of the Issuer) or to supervise the administration of the Portfolio by 

the Collateral Administrator or any other party and is entitled to rely on the certificates 

or notices of any relevant party without further enquiry. The Trust Deed also provides 

that the Trustee shall accept without investigation, requisition or objection such right, 

benefit, title and interest, if any, as the Issuer may have in and to any of the Collateral 

and is not bound to make any investigation into the same or into the Collateral in any 

respect. 

Pursuant to the OAT Strips Pledge Agreements, the Issuer has created a Belgian law 

pledge in favour of the Trustee (held for the benefit of the holders of the Class T 

Combination Notes only) over the Issuer’s entitlement to the OAT Strips T Portion and 

a Belgian law pledge in favour of the Trustee (held for the benefit of the holders of the 

Class U Combination Notes only) over the Issuer’s entitlement to the OAT Strips U 

Portion. 

Pursuant to the Euroclear Pledge Agreement, the Issuer has created a Belgian law 

pledge in favour of the Trustee over the Issuer's entitlement to the Collateral from time 

to time held in Euroclear. 

The Issuer may from time to time grant security by way of a first priority security 

interest to a Synthetic Collateral Counterparty over the Synthetic Collateral deposited 

- 222 -

y the Issuer in the Synthetic Collateral Account as security for the Issuer's obligations 

under the relevant Synthetic Security. 

The Trust Deed provides that if for any reason the assignment by way of security of 

any of the Collateral is found to be ineffective, the Issuer will hold the benefit of such 

Collateral and any sums received in respect of such Collateral or any security interest, 

guarantee or indemnity or undertaking of whatever nature given to secure the 

Collateral on trust for the Trustee and will (a) account to the Trustee for or otherwise 

apply all such sums as the Trustee may direct (provided that, subject to the conditions 

and terms of the Portfolio Management Agreement, if no Event of Default has 

occurred and is continuing, the Issuer will be entitled to apply the benefit of such 

Collateral and such sums received by it and held on trust pursuant to the Trust Deed in 

accordance with the Conditions and the Transaction Documents without prior direction 

from the Trustee), (b) exercise any rights it may have in respect of the Collateral at the 

direction of the Trustee and (c) at its own cost take such action and execute such 

documents in connection with the foregoing as the Trustee may in its sole discretion 

require. 

Pursuant to the Trust Deed, the obligations of the Issuer under the Class T 

Combination Notes and the Class U Combination Notes are also secured by: 

(i) 

(ii) 

an assignment by way of security of all the Issuer’s rights, title and interest 

(present and future, and all entitlements or other benefits relating thereto) in 

respect of the OAT Strips, including, without limitation, moneys received in 

respect thereof, all dividends and distributions paid or payable thereon, all 

property paid, distributed, accruing or offered at any time on, to or in respect 

of or in substitution therefor and the proceeds of sale repayment and 

redemption thereof; and 

an assignment by way of security of all of the Issuer’s rights, title and interest 

(present and future) against the Custodian under the Agency Agreement to the 

extent that such rights relate to the OAT Strips, the OAT Custody T Account, 

the OAT Custody U Account, the OAT Strips Sale T Proceeds and the OAT 

Strips Sale U Proceeds only. 

(b) 

Application of Proceeds upon Enforcement 

The Trust Deed provides that the net proceeds of realisation of, or enforcement with 

respect to, the security over the Collateral constituted by the Trust Deed and the 

Euroclear Pledge Agreement shall be applied in accordance with the Enforcement 

Proceeds Priority of Payments. 

(c) 

Limited Recourse 

If the net proceeds of realisation of the security constituted by the Trust Deed and the 

Euroclear Pledge Agreement upon enforcement thereof in accordance with 

Condition 11 (Enforcement) and the provisions of the Trust Deed and the Euroclear 

Pledge Agreement are less than the aggregate amount payable in such circumstances by 

- 223 -

the Issuer in respect of the Notes and to the other Transaction Creditors (such negative 

amount being referred to herein as a "shortfall"), the obligations of the Issuer in 

respect of the Notes of each Class and its obligations to the other Transaction Creditors 

in such circumstances will be limited to such net proceeds which shall be applied in 

accordance with the Priorities of Payment. In such circumstances the other assets (if 

any) of the Issuer (including, for the avoidance of doubt, assets subject to the security 

created pursuant to the OAT Strips Pledge Agreements) will not be available for 

payment of such shortfall which shall be borne by the Noteholders of each Class and 

the other Transaction Creditors in accordance with the Priorities of Payment (applied in 

reverse order), the rights of the Noteholders of each Class and the other Transaction 

Creditors to receive any further amounts in respect of such obligations shall be 

extinguished and none of the Noteholders of each Class or the other Transaction 

Creditors may take any further action to recover such amounts. None of the 

Noteholders of any Class, the Trustee or the other Transaction Creditors (nor any other 

person acting on behalf of any of them) shall be entitled at any time to institute against 

the Issuer, or join in any institution against the Issuer of, any bankruptcy, 

reorganisation, examinership, arrangement, insolvency, winding-up or liquidation 

proceedings or other proceedings under any applicable bankruptcy or similar law in 

connection with any obligations of the Issuer relating to the Notes of any Class, the 

Trust Deed or otherwise owed to the Transaction Creditors, save for lodging a claim in 

the liquidation of the Issuer which is initiated by another party or taking proceedings to 

obtain a declaration or judgment as to the obligations of the Issuer. 

None of the Noteholders or any parties to the Transaction Documents shall have any 

recourse against any director, shareholder, or officer of the Issuer in respect of any 

obligations, covenant or agreement entered into or made by the Issuer pursuant to the 

terms of the Notes or any other Transaction Document to which it is a party or any 

notice or documents which it is requested to deliver hereunder or thereunder. 

The Combination Notes shall be limited recourse obligations of the Issuer to the extent 

of their respective Components. 

None of the Trustee, the Directors, the Initial Purchaser, the Portfolio Manager, the 

Collateral Administrator, the Corporate Services Provider or the Custodian has any 

obligation to any Noteholder of any Class for payment of any amount by the Issuer in 

respect of the Notes of any Class. 

(d) 

Acquisition and Sale of Portfolio 

The Portfolio Manager is required to manage the Portfolio and act in specific 

circumstances in relation to the Portfolio on behalf of the Issuer pursuant to the terms 

of, and subject to the parameters set out in, the Portfolio Management Agreement. 

(e) 

Exercise of Rights in Respect of the Portfolio 

Pursuant to, and subject as provided in, the Portfolio Management Agreement, the 

Issuer authorises the Portfolio Manager, prior to enforcement of the security over the 

- 224 -

Collateral, to exercise all rights and remedies of the Issuer in its capacity as a holder 

of, or person beneficially entitled to, the Portfolio. In particular, the Portfolio 

Manager is authorised to attend and vote at any meeting of holders of, or other persons 

interested or participating in, or entitled to the rights or benefits (or a part thereof) 

under, the Portfolio and to give any consent, waiver, indulgence, time or notification, 

make any declaration or agree any composition, compounding or other similar 

arrangement with respect to any Collateral Debt Obligations forming part of the 

Portfolio. 

(f) 

Information Regarding the Portfolio 

The Issuer, or the Collateral Administrator on its behalf, shall procure that a Monthly 

Report, Note Valuation Report and Supplemental Report are mailed upon publication 

thereof by pre-paid first class post to the Trustee, the Rating Agencies, the Portfolio 

Manager, the Initial Purchaser and (to the address specified in each of the requests 

referred to below) to each holder of a beneficial interest in a Note of each Class upon 

request in writing therefor in the form set out in the Agency Agreement, together with 

a Class F Subordinated Noteholder Report to, and upon written request from, any 

Class F Subordinated Noteholder. 

(g) 

Securities Lending 

The Portfolio Manager, acting on behalf of the Issuer pursuant to, and subject to the 

parameters set out in, the Portfolio Management Agreement, may, in its discretion and 

from time to time, enter into one or more Securities Lending Agreements with regard 

to Collateral Debt Obligations and/or may (on behalf of the Issuer) enter into 

agreements pursuant to which the Issuer is permitted to engage in securities lending 

activities, in each case pursuant to the terms of, and subject to the parameters set out 

in, the Portfolio Management Agreement. 

For the avoidance of doubt, the Trustee will have no responsibility whatsoever for any 

loss, expense or claim whatsoever incurred as a result of any securities lending 

pursuant to this paragraph (g) (Securities Lending) of Condition 4 (Security) and no 

obligations in respect thereof. 

(h) 

Short Term Variable Funding Facility 

On or after the Closing Date, Merrill Lynch International or one of its affiliates and/or 

any other bank or financial institution whose short term, senior, unsecured, 

unguaranteed debt securities are rated no less than P-1 by Moody's and no less than A- 

1 by S&P at the time of entry by it into the Short Term Variable Funding Facility 

Agreement (in such capacity, the "Short Term Variable Funding Facility Provider") 

and the Issuer may enter into a short term variable funding facility agreement (the 

"Short Term Variable Funding Facility Agreement"). Pursuant to the terms and 

conditions of the Short Term Variable Funding Facility Agreement, the Short Term 

Variable Funding Facility Provider will grant to the Issuer a short term variable 

- 225 -

funding facility (the "Short Term Variable Funding Facility") up to an aggregate 

principal amount of €12,000,000. 

In the event that the rating of the Short Term Variable Funding Facility Provider is 

downgraded to below the relevant Rating Requirement, any outstanding Short Term 

Variable Funding Facility shall be transferred (at the cost of the Short Term Variable 

Funding Facility Provider) to any other bank or financial institution which satisfies the 

Rating Requirement. 

The Issuer (or the Portfolio Manager on its behalf) shall use any amounts drawn down 

from the Short Term Variable Funding Facility solely to purchase (i) Deliverable 

Obligations, (ii) additional Collateral Debt Obligations, and/or (iii) Substitute Collateral 

Debt Obligations. 

Any interest, principal and related fees in respect of the Short Term Variable Funding 

Facility will be paid in accordance with the terms and conditions of the Short Term 

Variable Funding Facility Agreement and the Priorities of Payment. The Short Term 

Variable Funding Facility will be a limited recourse debt obligation of the Issuer 

ranking senior to each Class of Notes. 

5. Covenants of and Restrictions on the Issuer 

(a) 

Covenants of the Issuer 

As more fully described in the Trust Deed, for so long as any of the Notes remains 

Outstanding, the Issuer covenants to the holders of such Outstanding Notes that it will: 

(i) 

take such steps as are reasonable to enforce all its rights: 

(A) 

(B) 

(C) 

(D) 

(E) 

(F) 

(G) 

(H) 

(I) 

(J) 

(K) 

(L) 

under the Trust Deed; 

in respect of the Collateral; 

under the Agency Agreement; 

under the Portfolio Management Agreement; 

under the Collateral Administration Agreement; 

under each Interest Rate Hedge Agreement; 

under each Currency Hedge Agreement; 

under the Corporate Services Agreement; 

under the Depository Agreement; 

under the Short Term Variable Funding Facility Agreement; 

under any Securities Lending Agreement; 

under the OAT Strips Pledge Agreements; 

- 226 -

(M) under the Euroclear Pledge Agreement; 

(N) 

(O) 

each Credit Short Obligation; and 

each Offsetting Credit Default Swap. 

(ii) 

(iii) 

(iv) 

(v) 

(vi) 

(vii) 

(viii) 

(ix) 

(x) 

comply with its obligations under the Notes, the Trust Deed, the Agency 

Agreement, the Portfolio Management Agreement, the Corporate Services 

Agreement, the Depository Agreement, the Short Term Variable Funding 

Facility Agreement, the Collateral Administration Agreement, the Euroclear 

Pledge Agreement, each Interest Rate Hedge Agreement, each Currency 

Hedge Agreement, each Credit Short Obligation, each Offsetting Credit 

Default Swap, each Securities Lending Agreement and the OAT Strips Pledge 

Agreements; 

keep proper books of account; 

(other than in complying with the terms of the Transaction Documents) at all 

times maintain its tax residence outside the United Kingdom, France and the 

United States and will not establish a branch, agency or place of business or 

register as a company in the United Kingdom, France or the United States; 

pay its debts generally as they fall due; 

do all such things as are necessary to maintain its corporate existence; 

use its best endeavours to obtain and maintain a listing of the Outstanding 

Notes on the Irish Stock Exchange. If however, it is unable to do so, having 

used such endeavours, or if the maintenance of such listing is agreed by the 

Trustee to be unduly onerous and the Trustee is satisfied that the interests of 

the holders of the Outstanding Notes would not thereby be materially 

prejudiced, the Issuer will instead use all reasonable endeavours promptly to 

obtain and thereafter to maintain a listing for such Notes on such other stock 

exchange(s) as it may (with the approval of the Trustee) decide or failing such 

decision as the Trustee may reasonably determine; 

supply such information to the Rating Agencies as they may reasonably 

request; 

take, or cause to be taken, such actions as are required in order for the Issuer 

to qualify for, and maintain its qualification for, the exemption from 

registration as an "investment company" provided by Section 3(c)(1) of the 

Investment Company Act; 

maintain its central management and control and place of effective 

management only in Ireland, hold all meetings of directors only in Ireland and 

maintain a majority of Irish resident directors; 

- 227 -

(xi) 

(xii) 

take, or cause to be taken, such actions as are required in order for the Issuer 

to be treated (and to maintain such treatment) as a "qualifying company" for 

the purposes of Section 110 of the Irish Taxes Consolidation Act, 1997; and 

conduct its affairs from within Ireland in accordance with its constitutional 

documents. 

(b) 

Restrictions on the Issuer 

As more fully described in the Trust Deed, for so long as any of the Notes remains 

Outstanding, save as contemplated in the Transaction Documents, the Issuer covenants 

to the holders of such Outstanding Notes that (to the extent applicable) it will not, 

without the prior written consent of the Trustee: 

(i) 

(ii) 

(iii) 

sell, factor, discount, transfer, assign, lend or otherwise dispose of any of its 

right, title or interest in or to the Collateral, other than in accordance with the 

Portfolio Management Agreement, the Short Term Variable Funding Facility 

Agreement or pursuant to a Securities Lending Agreement, nor will it create 

or permit to be outstanding any mortgage, pledge, lien, charge, encumbrance 

or other security interest over the Collateral except in accordance with the 

Trust Deed, the Euroclear Pledge Agreement, the OAT Strips Pledge 

Agreements or these Conditions and other than pursuant to a Securities 

Lending Agreement or other than in respect of Synthetic Collateral; 

sell, factor, discount, transfer, assign, lend or otherwise dispose of, nor create 

or permit to be outstanding any mortgage, pledge, lien, charge, encumbrance 

or other security interest over, any of its other property or assets or any part 

thereof or interest therein other than in accordance with the Trust Deed, the 

Euroclear Pledge Agreement, the OAT Strips Pledge Agreements or these 

Conditions and other than pursuant to a Securities Lending Agreement, the 

Short Term Variable Funding Facility Agreement or other than in respect of 

Synthetic Collateral; 

engage in any business other than: 

(A) 

(B) 

(C) 

acquiring and holding any property, assets or rights that are capable of 

being effectively charged in favour of the Trustee or that are capable of 

being held on trust by the Issuer in favour of the Trustee under the Trust 

Deed, the Euroclear Pledge Agreement and/or the OAT Strips Pledge 

Agreements; 

issuing and performing its obligations under the Notes; 

entering into, exercising its rights and performing its obligations under 

or enforcing its rights under the Trust Deed, the Agency Agreement, the 

Portfolio Management Agreement, the Collateral Administration 

Agreement, the Corporate Services Agreement, the Short Term Variable 

Funding Facility Agreement, each Interest Rate Hedge Agreement, each 

- 228 -

Currency Hedge Agreement, each Offsetting Credit Default Swap, each 

Securities Lending Agreement, each Credit Short Obligation, the 

Euroclear Pledge Agreement and the OAT Strips Pledge Agreements, as 

applicable; or 

(D) 

performing any act incidental or necessary in connection with any of the 

above; 

(iv) 

(v) 

(vi) 

(vii) 

(viii) 

(ix) 

(x) 

(xi) 

(xii) 

(xiii) 

amend any term or condition of the Notes of any Class (save in accordance 

with these Conditions and the Trust Deed); 

agree to any amendment to any provision of, or grant any waiver or consent 

under the Trust Deed, the Agency Agreement, the Portfolio Management 

Agreement, the Collateral Administration Agreement, the Corporate Services 

Agreement, the Euroclear Pledge Agreement, the Interest Rate Hedge 

Agreements, the Currency Hedge Agreements, the Securities Lending 

Agreements, the Offsetting Credit Default Swaps, the Credit Short Obligation, 

the Short Term Variable Funding Facility Agreement, the OAT Strips Pledge 

Agreements or any other Transaction Document to which it is a party; 

incur any indebtedness for borrowed money, other than in respect of the Notes 

or any document entered into in connection with the Notes or the sale thereof, 

including the Interest Rate Hedge Agreements and Currency Hedge 

Agreements, the Offsetting Credit Default Swaps, the Credit Short Obligations 

and the Short Term Variable Funding Facility Agreements; 

amend its constitutional documents; 

have any subsidiaries; 

have any employees (for the avoidance of doubt, the Directors of the Issuer do 

not constitute employees); 

enter into any reconstruction, amalgamation, merger or consolidation; 

convey or transfer all or a substantial part of its properties or assets (in one or 

a series of transactions) to any person, otherwise than as contemplated in these 

Conditions or permitted under the Trust Deed; 

issue any shares (other than such shares as are in issue as at the Closing Date) 

nor redeem or purchase any of its issued share capital; 

otherwise than as contemplated in these Conditions and the relevant 

Transaction Document, release from or terminate the appointment of the 

Custodian or the Account Bank under the Agency Agreement, the Portfolio 

Manager under the Portfolio Management Agreement or the Collateral 

Administrator under the Collateral Administration Agreement (including, in 

each case, any transactions entered into thereunder) or, in each case, from any 

executory obligation thereunder; or 

- 229 -

(xiv) 

enter into any lease in respect of, or own, premises. 

In addition, for so long as any of the Notes remains Outstanding, the Issuer covenants 

to the holders of such Outstanding Notes that it will not take any action (save to the 

extent necessary for the Issuer to comply with its obligations under the Transaction 

Documents) which will cause its "centre of main interests" (within the meaning of 

article 3(i) of Council Regulation (EC/1346/2000) (the "Insolvency Regulation")) to 

be located in any jurisdiction other than Ireland and will not establish any offices, 

branches or other permanent establishments (as defined in the Insolvency Regulation) 

or register as a Company in any jurisdiction other than Ireland. 

6. Interest 

(a) 

Payment Dates 

(i) 

The Rated Notes: 

The Rated Notes and (subject to paragraph (ii) below) the Class F 

Subordinated Notes each bear interest from the Closing Date and such interest 

will be payable semi-annually in arrears on each Payment Date. 

(ii) 

Class F Subordinated Notes: 

Payments of interest shall be payable in respect of the Subordinated Notes on 

an available funds basis in accordance with Condition 3(c)(i) (Application of 

Collateral Enhancement Obligation Proceeds), Condition 3(c)(ii) (Application 

of Interest Proceeds) and Condition 3(c)(iii) (Application of Principal 

Proceeds) on each Payment Date, and shall continue to be so payable in 

accordance with this Condition 6 (Interest) notwithstanding redemption in full 

of any Subordinated Note at its applicable Redemption Price. 

(b) 

Interest Accrual 

(i) 

Rated Notes: 

The Rated Notes bear interest on their principal amount outstanding from the 

Closing Date. Each Rated Note will cease to bear interest from the due date 

for redemption unless, upon due presentation, payment of principal is 

improperly withheld or refused or default is otherwise made in payment 

thereof. In such event, interest shall continue to accrue as provided in the 

Trust Deed. 

(ii) 


Interest on the Class F Subordinated Notes shall be payable on an available 

funds basis as set out in Condition 6(f) (Interest on the Class F Subordinated 

Notes). Interest shall cease to be payable in respect of each Class F 

Subordinated Note upon the date that all of the Collateral has been realised 

and no Interest Proceeds or Principal Proceeds remain available for 

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distribution in accordance with the Priorities of Payment and no Balance 

remains in respect of the Collateral Enhancement Account. 

(c) 

Deferral of Interest 

Class C Notes, Class D Notes and Class E Notes: 

For so long as any of the: 

(A) 

(B) 

(C) 

Class A Notes and Class B Notes remain Outstanding, the Issuer shall, 

and shall only be obliged to, pay any Interest Amount payable in respect 

of the Class C Notes, the Class D Notes and the Class E Notes; 

Class C Notes remain Outstanding, the Issuer shall, and shall only be 

obliged to, pay any Interest Amount payable in respect of the Class D 

Notes and the Class E Notes; and 

Class D Notes remain Outstanding, the Issuer shall, and shall only be 

obliged to, pay any Interest Amount payable in respect of the Class E 

Notes, 

in full on any Payment Date to the extent that there are Interest Proceeds or 

Principal Proceeds available for payment thereof in accordance with the 

Priorities of Payment. For so long as any of the Class A Notes, Class B 

Notes or, as the case may be, Class C Notes or, as the case may be, Class D 

Notes remain Outstanding, an amount of interest equal to any shortfall in 

payment of the Interest Amount due and payable in respect of any Classes of 

Notes specified in sub-paragraphs (A), (B) and (C) above (as applicable) on 

any Payment Date (each such amount being referred to as "Deferred 

Interest") shall be deferred and shall, with effect from and including such 

Payment Date, be added to the aggregate principal amount of the Notes of the 

applicable Class Outstanding and the principal amount of each such Note shall 

be increased by the amount of its pro rata share of such Deferred Interest 

which shall itself bear interest, on an available funds basis, in accordance with 

these Conditions from such date. 

(d) 

Payment of Deferred Interest 

Deferred Interest in respect of any Class C Note, Class D Note or Class E Note shall 

only become payable by the Issuer in accordance with, respectively, paragraphs (L), 

(O) and (R)(ii) of Condition 3(c)(ii) (Application of Interest Proceeds) and paragraph 

(N) of Condition 3(c)(iii) (Application of Principal Proceeds), to the extent that Interest 

Proceeds or Principal Proceeds are available to make such payment in accordance with 

the Priorities of Payment. 

(e) 

Interest on the Rated Notes 

(i) 

Rate of Interest applicable to the Floating Rate Notes: 

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Subject as provided in paragraph (ii) below, the rate of interest from time to 

time in respect of the Class A-1 Notes (the "Class A-1 Floating Rate of 

Interest"), the Class A-2A Notes (the "Class A-2A Floating Rate of 

Interest"), the Class A-2B Notes (the "Class A-2B Floating Rate of 

Interest"), the Class B Notes (the "Class B Floating Rate of Interest"), the 

Class C-1 Notes (the "Class C-1 Floating Rate of Interest"), the Class D-1 

Notes (the "Class D-1 Floating Rate of Interest") and the Class E Notes (the 

"Class E Floating Rate of Interest") will be determined by the Collateral 

Administrator on the following basis: 

(A) 

(B) 

On the second Business Day before the beginning of each Interest 

Accrual Period (each, an "Interest Determination Date"), the 

Collateral Administrator will determine the offered rate for six-month 

euro deposits, or, in the case of the first Interest Accrual Period, for 

seven month euro deposits, as at 11:00 a.m. (Brussels time) on the 

Interest Determination Date in question. Such offered rate will be that 

which appears on the display designated as page 248 on the Telerate 

Monitor (or such other page or service as may replace it for the purpose 

of displaying EURIBOR rates). The Class A-1 Floating Rate of Interest, 

the Class A-2A Floating Rate of Interest, the Class A-2B Floating Rate 

of Interest, the Class B Floating Rate of Interest, the Class C-1 Floating 

Rate of Interest, the Class D-1 Floating Rate of Interest and the Class E 

Floating Rate of Interest for such Interest Accrual Period shall be the 

aggregate of the Applicable Margin (as defined in this Condition below) 

and the rate which so appears, all as determined by the Collateral 

Administrator. 

If the offered rate so appearing is replaced by the corresponding rates of 

more than one bank then paragraph (A) shall be applied, with any 

necessary consequential changes, to the arithmetic mean (rounded, if 

necessary, to the nearest one hundred-thousandth of a percentage point 

(with 0.000005 being rounded upwards)) of the rates (being at least two) 

which so appear, as determined by the Collateral Administrator. If for 

any other reason such offered rate does not so appear, or if the relevant 

page is unavailable, the Collateral Administrator will request each of 

four major banks in the Euro-zone interbank market acting in each case 

through its principal Euro-zone (as defined in this Condition below) 

office (the "Reference Banks") to provide the Collateral Administrator 

with its offered quotation to leading banks for euro deposits in the 

Euro-zone interbank market for a period equal to the relevant Interest 

Accrual Period as at 11:00 a.m. (Brussels time) on the Interest 

Determination Date in question. The Class A-1 Floating Rate of 

Interest, the Class A-2A Floating Rate of Interest, the Class A-2B 

Floating Rate of Interest, the Class B Floating Rate of Interest, the 

Class C-1 Floating Rate of Interest, the Class D-1 Floating Rate of 

- 232 -

Interest and the Class E Floating Rate of Interest for such Interest 

Accrual Period shall be the aggregate of the Applicable Margin and the 

arithmetic mean (rounded, if necessary, to the nearest one 

hundred-thousandth of a percentage point (with 0.000005 being rounded 

upwards)) of such quotations (or of such of them, being at least two, as 

are so provided). 

(C) 

(D) 

If on any Interest Determination Date one only or none of the Reference 

Banks provides such quotation, the Class A-1 Floating Rate of Interest, 

the Class A-2A Floating Rate of Interest, the Class A-2B Floating Rate 

of Interest, the Class B Floating Rate of Interest, the Class C-1 Floating 

Rate of Interest, the Class D-1 Floating Rate of Interest and the Class E 

Floating Rate of Interest, respectively, for the next Interest Accrual 

Period shall be the rate per annum which the Collateral Administrator 

determines to be the arithmetic mean (rounded, if necessary, to the 

nearest one hundred-thousandth of a percentage point (with 0.000005 

being rounded upwards)) of the euro lending rates which major banks in 

the Euro-zone selected by the Collateral Administrator are quoting, on 

the relevant Interest Determination Date, for loans in euro for a period 

equal to the relevant Interest Accrual Period to leading European banks 

plus, in each case the Applicable Margin. 

Where: 

"Applicable Margin" means: 

(a) 

(b) 

(c) 

(d) 

(e) 

(f) 

(g) 

in the case of the Class A-1 Notes 0.25 per cent. per annum; 

in the case of the Class A-2A Notes 0.235 per cent. per 

annum; 

in the case of the Class A-2B Notes 0.37 per cent. per annum; 

in the case of the Class B Notes 0.38 per cent. per annum; 

in the case of the Class C-1 Notes 0.65 per cent. per annum; 

in the case of the Class D-1 Notes 1.60 per cent. per annum; 

and 

in the case of the Class E Notes 4.70 per cent. per annum. 

(ii) 

Rate of Interest applicable to the Fixed Rate Notes: 

(a) 

(b) 

the Class C-2 Notes shall bear interest at the rate of 4.193 per cent. per 

annum (the "C Fixed Interest Rate"); and 

the Class D-2 Notes shall bear interest at the rate of 5.152 per cent. per 

annum (the "D Fixed Interest Rate"). 

- 233 -

(iii) 

Determination of Floating Rate of Interest, Fixed Rate Interest and Calculation 

of Interest Amount: 

(a) 

(b) 

the Collateral Administrator will, as soon as practicable after 11:00 a.m. 

(Brussels time) on each Interest Determination Date, but in no event 

later than the second Business Day after such date, determine the 

Class A-1 Floating Rate of Interest, the Class A-2A Floating Rate of 

Interest, the Class A-2B Floating Rate of Interest, the Class B Floating 

Rate of Interest, the Class C-1 Floating Rate of Interest, the Class D-1 

Floating Rate of Interest and the Class E Floating Rate of Interest and 

calculate the interest amount payable in respect of each Class A-1 Note, 

each Class A-2A Note, each Class A-2B Note, each Class B Note, each 

Class C-1 Note, each Class D-1 Note and each Class E Note for the 

relevant Interest Accrual Period. The amount of interest (the "Interest 

Amount") payable in respect of the Class A-1 Notes, the Class A-2A 

Notes, the Class A-2B Notes, the Class B Notes, the Class C-1 Notes, 

the Class D-1 Notes and the Class E Notes for each Authorised 

Denomination shall be calculated by applying the Class A-1 Floating 

Rate of Interest, in the case of the Class A-1 Notes, the Class A-2A 

Floating Rate of Interest, in the case of the Class A-2A Notes, the 

Class A-2B Floating Rate of Interest, in the case of the Class A-2B 

Notes, the Class B Floating Rate of Interest, in the case of the Class B 

Notes, the Class C-1 Floating Rate of Interest, in the case of the 

Class C-1 Notes and the Class D-1 Floating Rate of Interest, in the case 

of the Class D-1 Notes and the Class E Floating Rate of Interest, in the 

case of the Class E Notes, respectively, to an amount equal to the 

Principal Amount Outstanding of each such Floating Rate Note, 

multiplying the product by the actual number of days in the Interest 

Accrual Period concerned divided by 360 and rounding the resultant 

figure to the nearest cent (half a cent being rounded upwards); and 

the Interest Amount in respect of each Fixed Rate Note for an Interest 

Accrual Period shall be calculated by applying the C Fixed Interest Rate 

in respect of the Class C-2 Notes and the D Fixed Interest Rate in 

respect of the Class D-2 Notes to an amount equal to the Principal 

Amount Outstanding of each such Fixed Rate Note, multiplying the 

product by the actual number of days in the Interest Accrual Period 

concerned divided by 365 and rounding the resultant figure to the nearest 

cent (half a cent being rounded upwards). 

(iv) 

Reference Banks and Collateral Administrator: 

The Issuer will procure that, so long as any Rated Note remains Outstanding: 

(A) 

a Collateral Administrator shall be appointed and maintained for the 

purposes of determining the interest rate and interest amount payable in 

respect of the Class A-1 Notes, the Class A-2A Notes, the Class A-2B 

- 234 -

Notes, the Class B Notes, the Class C-1 Notes, the Class C-2 Notes, the 

Class D-1 Notes, the Class D-2 Notes and the Class E Notes, as 

applicable; and 

(B) 

in the event that the Class A-1 Floating Rate of Interest, the Class A-2A 

Floating Rate of Interest, the Class A-2B Floating Rate of Interest, the 

Class B Floating Rate of Interest, the Class C-1 Floating Rate of 

Interest, the Class D-1 Floating Rate of Interest or the Class E Floating 

Rate of Interest is to be calculated by reference to rates quoted by 

Reference Banks pursuant to paragraph (B) of Condition 6(e)(i), that the 

number of Reference Banks required pursuant to such Condition are 

appointed. 

If the Collateral Administrator is unable or unwilling to continue to act as the 

Collateral Administrator for the purpose of calculating interest hereunder or 

fails duly to establish the Class A-1 Floating Rate of Interest and/or the Class 

A-2A Floating Rate of Interest and/or the Class A-2B Floating Rate of Interest 

and/or the Class B Floating Rate of Interest and/or the Class C-1 Floating 

Rate of Interest and/or the Class D-1 Floating Rate of Interest and/or the Class 

E Floating Rate of Interest for any Interest Accrual Period or to calculate the 

Interest Amount on the Class A-1 Notes and/or the Class A-2A Notes and/or 

the Class A-2B Notes and/or the Class B Notes and/or the Class C-1 Notes 

and/or the Class D-1 Notes and/or the Class E Notes, the Issuer shall (with 

the prior approval of the Trustee) appoint some other leading bank to act as 

such in its place. The Collateral Administrator may not resign its duties 

without a successor having been so appointed. 

(f) 

Interest on the Class F Subordinated Notes 

Interest on the Class F Subordinated Notes shall be payable on each Payment Date on 

an available funds basis as provided in paragraphs (C) of Condition 3(c)(i) (Application 

of Collateral Enhancement Obligation Proceeds) and paragraph (DD) of 

Condition 3(c)(ii) (Application of Interest Proceeds) and paragraph (W) of 

Condition 3(c)(iii) (Application of Principal Proceeds). 

(g) 

Interest and other payments due on the Combination Notes 

Each Component of a Combination Note bears interest at the same rate, or receives 

interest or any other amount by way of return in the same manner, as the Underlying 

Notes represented by that Component. The Class U Combination Notes will bear 

interest at the rate of 4 per cent. per annum (on a semi-annual basis using an actual 365 

day count) of the Principal Amount Outstanding of the Class U Combination Notes on 

such Payment Date before any distributions are made and rounding the resultant figure 

to the nearest cent (half a cent being rounded upwards) (the "Class U Combination 

Note Coupon"). 

- 235 -

Notwithstanding the terms and conditions applicable to the payment of interest on such 

Class U Combination Notes and without prejudice thereto, proceeds received from the 

Class U Subordinated Component or received in respect of items (i), (ii) and (iii) of the 

OAT Strips U Portion (to the extent that such proceeds are in excess of the Class U 

Combination Note Coupon) and any OAT Strips Sale U Proceeds shall, on any 

Payment Date be applied on such Payment Date in redemption of the Principal Amount 

Outstanding of the Class U Combination Notes. 

(h) 

Publication of Floating Rates of Interest, Interest Amounts and Deferred Interest 

The Collateral Administrator will cause the Class A-1 Floating Rate of Interest, the 

Class A-2A Floating Rate of Interest, the Class A-2B Floating Rate of Interest, the 

Class B Floating Rate of Interest, the Class C-1 Floating Rate of Interest, the Class D- 

1 Floating Rate of Interest, the Class E Floating Rate of Interest, the Interest Amount 

payable in respect of each Class of Notes, the amount of any Deferred Interest due but 

not paid on any Class of Notes for each Interest Accrual Period and Payment Date and 

the Principal Amount Outstanding of each Class of Notes as of the applicable Payment 

Date to be notified to the Issuer, Trustee, the Portfolio Manager and the Irish Stock 

Exchange as soon as possible after their determination but in no event later than the 

fourth Business Day thereafter, and the Registrar shall cause each such rate, amount 

and date to be notified to the Noteholders of each Class in accordance with 

Condition 16 (Notices) as soon as possible following notification to the Registrar but in 

no event later than the third Business Day after such notification. The Interest 

Amounts and Payment Date in respect of the Class A-1 Notes, the Class A-2A Notes, 

the Class A-2B Notes, the Class B Notes, the Class C-1 Notes, the Class D-1 Notes 

and the Class E Notes so published and any Deferred Interest in respect of the Class C- 

1 Notes, the Class D-1 Notes and the Class E Notes may subsequently be amended (or 

appropriate alternative arrangements made with the consent of the Trustee by way of 

adjustment) without notice in the event of an extension or shortening of the Interest 

Accrual Period. If any of the Notes become due and payable under Condition 10 

(Events of Default), interest shall nevertheless continue to be calculated as previously 

by the Collateral Administrator in accordance with this Condition but no publication of 

the applicable Interest Amounts shall be made unless the Trustee so determines. 

(i) 

Determination or Calculation by Trustee 

If the Collateral Administrator does not at any time for any reason so determine the 

Class A-1 Floating Rate of Interest, the Class A-2A Floating Rate of Interest, the 

Class A-2B Floating Rate of Interest, the Class B Floating Rate of Interest, the 

Class C-1 Floating Rate of Interest, the Class D-1 Floating Rate of Interest or the Class 

E Floating Rate of Interest or calculate the Interest Amounts payable in respect of the 

Class A-1 Notes, the Class A-2A Notes, the Class A-2B Notes, the Class B Notes, the 

Class C-1 Notes, the Class D-1 Notes and the Class E Notes for an Interest Accrual 

Period, the Trustee (or a person appointed by it for the purpose) shall do so and such 

determination or calculation shall be deemed to have been made by the Collateral 

Administrator and shall be binding on the Noteholders. In doing so, the Trustee, or 

- 236 -

such person appointed by it, shall apply the foregoing provisions of this Condition, 

with any necessary consequential amendments, to the extent that, in its opinion, it can 

do so, and, in all other respects it shall do so in such manner as it shall deem fair and 

reasonable in all the circumstances and in reliance on such persons as it has appointed 

for such purpose. The Trustee shall have no liability to any person in connection with 

any determination or calculation it is required to make pursuant to this Condition 6(h) 

(Determination or Calculation by Trustee). 

(j) 

Notifications, etc. to be Final 

All notifications, opinions, determinations, certificates, quotations and decisions given, 

expressed, made or obtained for the purposes of the provisions of this Condition, 

whether by the Reference Banks (or any of them), the Collateral Administrator or the 

Trustee, will (in the absence of manifest error) be binding on the Issuer, the Reference 

Banks, the Collateral Administrator, the Trustee, the Paying Agents and all 

Noteholders and (in the absence of manifest error) no liability to the Issuer or the 

Noteholders of any Class shall attach to the Reference Banks, the Collateral 

Administrator or the Trustee in connection with the exercise or non-exercise by them 

of their powers, duties and discretions under this Condition. 

7. Redemption and Purchase 

(a) 

Final Redemption 

Save to the extent previously redeemed and cancelled, the Notes of each Class will be 

redeemed on the Maturity Date of such Notes. In the case of a redemption pursuant to 

this Condition 7(a) (Final Redemption), each Class A-1 Note, Class A-2A Note, Class 

A-2B Note, Class B Note, Class C-1 Note, Class C-2 Note, Class D-1 Note, Class D-2 

Note and Class E Note will be redeemed at its Principal Amount Outstanding and each 

Class F Subordinated Note will be redeemed at the amount equal to its pro rata share 

of the amounts of Principal Proceeds to be applied towards such redemption pursuant 

to paragraph (W) of Condition 3(c)(iii) (Application of Principal Proceeds). Notes 

may not be redeemed other than in accordance with this Condition 7 (Redemption and 

Purchase). 

(b) 

Optional Redemption 

(i) 

Redemption at the Option of the Class F Subordinated Noteholders: 

Subject to the provisions of Condition 7(b)(ii) (Conditions to Optional 

Redemption), the Class A-1 Notes, the Class A-2A Notes, the Class A-2B 

Notes, the Class B Notes, the Class C-1 Notes, the Class C-2 Notes, the 

Class D-1 Notes, the Class D-2 Notes, the Class E Notes and the Class F 

Subordinated Notes (including the Components of the Combination Notes 

relating thereto) shall be redeemed by the Issuer, in whole but not in part, at 

the applicable Redemption Prices, from the proceeds of liquidation or 

realisation of the Collateral on: 

- 237 -

(A) 

(B) 

(C) 

any Payment Date falling on or after expiry of the Non-Call Period, at 

the request in writing of the holders of at least 66 2 /3 per cent. of the 

Principal Amount Outstanding of the Class F Subordinated Notes (as 

evidenced by duly completed Redemption Notices); 

upon the occurrence of a Collateral Tax Event and provided that a 

substitution or relocation of the Issuer or other reasonable measures 

would fail to remedy a Collateral Tax Event, any Payment Date falling 

after such occurrence at the request in writing of the holders of at least 

66 2 /3 per cent. of the Principal Amount Outstanding of the Class F 

Subordinated Notes (as evidenced by duly completed Redemption 

Notices); or 

upon the occurrence of a Note Tax Event and provided that a substitution 

or relocation of the Issuer or other reasonable measures would fail to 

remedy a Note Tax Event, any Payment Date falling after such 

occurrence at the request in writing of the holders of at least 66 2 /3 per 

cent. of the Principal Amount Outstanding of each of (x) the Controlling 

Class and (y) the Class F Subordinated Notes (as evidenced by duly 

completed Redemption Notices) at such time, 

in each case, in accordance with the procedures described in paragraph (ii) 

below. The Issuer shall procure that notice of such redemption, including the 

applicable Redemption Date, shall be given to the Noteholders in accordance 

with Condition 16 (Notices). The Trustee shall have no liability to any person 

in connection with the establishment of any reserve made by it pursuant to this 

Condition 7(b)(i) (Redemption at the Option of the Class F Subordinated 

Noteholders). 

(ii) 

Conditions to Optional Redemption 

Following receipt of notice from the Issuer or, as the case may be, of 

confirmation from the Principal Paying Agent of receipt of a direction from 

the requisite percentage of Class F Subordinated Noteholders and, where 

applicable, the Controlling Class Noteholders to exercise any right of optional 

redemption pursuant to this Condition, the Collateral Administrator shall, as 

soon as practicable, and in any event not later than 17 Business Days prior to 

the scheduled Redemption Date (the "Redemption Determination Date") 

calculate the Minimum Proceeds Amount. 

The Notes shall not be optionally redeemed pursuant to paragraph (i) above 

and Condition 8(g)(Payments) below, unless one of the conditions set out in 

the following paragraphs (A) and (B) is satisfied: 

(A) 

not less than seven Business Days before the scheduled Redemption 

Date, the Portfolio Manager shall have furnished to the Trustee 

evidence, in form satisfactory to the Trustee, that the Portfolio Manager, 

- 238 -

on behalf of the Issuer, has entered into a binding agreement or 

agreements with a financial institution or institutions which (or which 

guarantor under such obligations) has a short-term credit rating from 

each of Moody's and S&P of at least "P-1" and "A-1" respectively, 

provided that no more than 30 calendar days have passed between the 

date of commitment by the institution to purchase the Portfolio and the 

Redemption Date of the Notes, to purchase, not later than the Business 

Day immediately preceding the scheduled Redemption Date, in 

immediately available funds, all or part of the Portfolio at an aggregate 

purchase price which, together with all other amounts receivable upon 

liquidation of the Portfolio (net of any expenses payable in connection 

with such liquidation), the aggregate of the Balances standing to the 

credit of the Accounts and all amounts scheduled to be received under 

any Interest Rate Hedge Agreement or any Currency Hedge Agreement 

on or prior to such scheduled Redemption Date, is at least equal to the 

applicable Minimum Proceeds Amount; or 

(B) 

at least ten Business Days before the scheduled Redemption Date, and 

prior to selling or liquidating any of the Portfolio, the Portfolio Manager 

shall have certified to the Trustee, which shall be entitled to rely on such 

certificate without further enquiry, and to each of the Rating Agencies 

that the expected net proceeds from the liquidation of the Portfolio, 

which shall be received in immediately available funds not later than the 

Business Day immediately preceding the scheduled Redemption Date, 

together with the aggregate of the Balances standing to the credit of the 

Accounts and all amounts scheduled to be received under any Interest 

Rate Hedge Agreement or any Currency Hedge Agreement on or prior 

to such scheduled Redemption Date would at least equal the applicable 

Minimum Proceeds Amount. 

For purposes of determining the expected proceeds from a liquidation of 

the Portfolio for purposes of this paragraph (B), the expected proceeds 

shall be deemed to be (1) the Market Value of the Collateral Debt 

Obligations if such Collateral Debt Obligations are to be sold on the 

Business Day of the certification or (2) the percentage of the Market 

Value of the Collateral Debt Obligations set forth in the applicable 

column of the table below based upon the period of time between the 

certification and the expected date of sale. For purposes of this 

determination, the "Market Value" of the Collateral Debt Obligations 

shall be the Portfolio Manager's estimate thereof (expressed as a euro 

amount) based upon its reasonable commercial judgement (which shall 

not be called into question as a result of subsequent events). 

Collateral Type 

Number of Business Days Between 

Certification and Expected Sale 

0 to 2 3 to 5 6 to 15 

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Senior Loans or Mezzanine Obligations (other than loans with a 

Market Value of less than 90% of their Principal Balance) ..... 93% 92% 88% 

High Yield Bonds rated "B-" or higher by S&P and B2 or higher 

by and Moody's (other than bonds with a Market Value of 

less than 90% of their Principal Balance) .......................... 89% 85% 75% 

Senior Loans or Mezzanine Obligations with a Market Value of 

less than 90% of their Principal Balance........................... 80% 73% 60% 

High Yield Bonds rated "CCC+" or lower by S&P and B3 or 

lower by Moody's and High Yield Bonds rated "B-" or higher 

by S&P and B2 or higher by Moody's with a Market Value of 

less than 90% of their Principal Balance........................... 75% 65% 45% 

(iii) 

Mechanics of Redemption 

Following calculation by the Collateral Administrator of the applicable 

Minimum Proceeds Amount, the Collateral Administrator shall make such 

other calculations as it is required to make pursuant to the Collateral 

Administration Agreement and shall notify the Issuer, the Trustee, the 

Portfolio Manager and the Principal Paying Agent, whereupon the Principal 

Paying Agent shall notify the Noteholders (in accordance with the 

Condition 16 (Notices)) of such amounts. 

To exercise the options referred to in Conditions 7(b)(i)(A), (B) and (C), the 

holders of at least 66 2 /3 per cent. of the Principal Amount Outstanding of the 

Class F Subordinated Notes (and, where applicable, the holders of at least 

66 2 /3 per cent. of the Notes of the Controlling Class) must deliver to a Paying 

Agent such Notes or evidence satisfactory to the Paying Agent concerned that 

such Notes will, following the delivery of the Redemption Notice, be held to 

its order or under its control, together with a duly completed Redemption 

Notice not more than 60 nor less than 20 Business Days prior to the applicable 

Redemption Date. No Redemption Notice and such Notes or evidence so 

delivered may be withdrawn without the prior consent of the Issuer. The 

Principal Paying Agent shall copy each Redemption Notice received to each of 

the Issuer, the Trustee, the Collateral Administrator and the Portfolio 

Manager. In the event that the holders of less than 66 2 /3 per cent. of the 

aggregate principal amount of the Controlling Class Outstanding or, as the 

case may be, Class F Subordinated Notes Outstanding deliver such 

Redemption Notices and Class F Subordinated Notes to the Paying Agents as 

provided in this paragraph (iii), the Collateral Administrator shall, within no 

less than 15 Business Days prior to the applicable Redemption Date, notify the 

Issuer, the Trustee, the Portfolio Manager, the Irish Stock Exchange and the 

Noteholders (in accordance with Condition 16 (Notices)) of such failure to 

exercise the option and all such Notes and accompanying Redemption Notices 

shall be returned to such Noteholders. 

The Collateral Administrator shall notify the Issuer, the Trustee, the Portfolio 

Manager and the Principal Paying Agent, whereupon the Principal Paying 

Agent shall notify the Noteholders, upon satisfaction of any of the conditions 

set out in paragraph (ii) above and shall arrange for liquidation and/or 

- 240 -

ealisation of the Portfolio on behalf of the Issuer in accordance with a 

direction from the Portfolio Manager pursuant to the Portfolio Management 

Agreement. The Issuer shall deposit, or cause to be deposited, the funds 

required for an optional redemption of the Notes in accordance with 

Condition 7(b) (Optional Redemption) in the Payment Account on or before 

the Business Day prior to the applicable Redemption Date. Principal Proceeds 

and Interest Proceeds received in connection with such redemption shall be 

payable in accordance with the Priorities of Payment specified in Condition 11 

(Enforcement). 

(c) 

Redemption upon Breach of Coverage Tests 

(i) 

Class A/B Coverage Tests 

If either of the Class A/B Coverage Test is not met on any Determination 

Date, Interest Proceeds and thereafter Principal Proceeds will be used, in 

accordance with the Priorities of Payment, to redeem (on a pro rata basis) (i) 

the Class A-1 Notes and (ii) the Class A-2A Notes and the Class A-2B Notes 

taken together (such amount to be applied first in redemption of the Class A- 

2A Notes and then in redemption of the Class A-2B Notes), in whole or in 

part, and following redemption in full thereof, to redeem (on a pro rata basis) 

the Class B Notes, in whole or in part, on the related Payment Date until each 

such Coverage Test is satisfied if recalculated following such redemption. 

(ii) 

Class C Coverage Tests 

If either of the Class C Coverage Tests is not met on any Determination Date, 

Interest Proceeds and thereafter Principal Proceeds will be used, in accordance 

with the Priorities of Payment, to redeem (on a pro rata basis) (i) the Class A- 

1 Notes and (ii) the Class A-2A Notes and the Class A-2B Notes taken 

together (such amount to be applied first in redemption of the Class A-2A 

Notes and then in redemption of the Class A-2B Notes), in whole or in part, 

and following redemption in full thereof, to redeem (on a pro rata basis) the 

Class B Notes, in whole or in part, and following redemption in full thereof, 

to redeem (on a pro rata basis) the Class C-1 Notes and the Class C-2 Notes, 

in whole or in part, on the related Payment Date until each such Class C 

Coverage Test is satisfied if recalculated following such redemption. 

(iii) 

Class D Coverage Tests 

If either of the Class D Coverage Tests is not met on any Determination Date, 







- 241 -



in whole or in part, and, following redemption in full thereof, to redeem (on a 

pro rata basis) the Class D-1 Notes and the Class D-2 Notes, in whole or in 

part, on the related Payment Date until each such Coverage Test is satisfied if 

recalculated following such redemption. 

(iv) 

Class E Coverage Tests 

If either of the Class E Coverage Tests is not met on any Determination Date, 









in whole or in part, and following redemption in full thereof, to redeem (on a 

pro rata basis) the Class D-1 Notes and the Class D-2 Notes, in whole or in 

part, and following redemption in full thereof, to redeem (on a pro rata basis) 

the Class E Notes, in whole or in part, on the related Payment Date until each 

such Coverage Test is satisfied if recalculated following such redemption. 

(d) 

Redemption Upon Effective Date Rating Event 

In the event of the occurrence of an Effective Date Rating Event, Interest Proceeds and 

Principal Proceeds will be applied on the Payment Dates following the Final Ramp-Up 

Date (and each subsequent Payment Date), subject to the Priorities of Payment, to 

redeem (on a pro rata basis) the Rated Notes, in whole or in part, until the earliest to 

occur of: (a) the date upon which the Portfolio satisfies the Collateral Quality Tests 

and the Coverage Tests and Current Rating Confirmation has been obtained or (b) the 

Rated Notes have been redeemed in full. 

(e) 

Redemption at Option of the Portfolio Manager 

(i) 

After the End of the Non-Call Period but During the Reinvestment Period 

The Issuer shall, on each Payment Date occurring after the end of the 

Non-Call Period but during the remainder of the Reinvestment Period, at the 

discretion of the Portfolio Manager (acting within the mandate granted to it 

under the Portfolio Management Agreement), apply Principal Proceeds 

transferred to the Payment Account immediately prior to the related Payment 

Date for such purpose in redemption of the principal amount of the Notes on 

such date, in accordance with the Priorities of Payment, subject to payment of 

any prior ranking amounts. 

(ii) 

When the Additional Reinvestment Test is not Satisfied 

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In the event that the Additional Reinvestment Test is not satisfied on the 

related Determination Date, the Portfolio Manager shall be obliged to use an 

amount up to 50 per cent. of the remaining Interest Proceeds that would 

otherwise have been applied towards payment of certain Issuer expenses, fees, 

and interest on the Class F Subordinated Notes either, at the Portfolio 

Manager's discretion (i) to purchase Substitute Collateral Debt Obligations or 

deposit in the Principal Account pending reinvestment in Substitute Collateral 

Debt Obligations, and/or (ii) to redeem partially or totally the Class E Notes 

to the extent necessary to cause the Additional Reinvestment Test to be met if 

calculated following such payment. 

(iii) 

At Any Time 

At the discretion of the Portfolio Manager, the Issuer shall apply any excess 

Interest Proceeds either (i) in payment to the Principal Account or (ii) to 

redeem the Class E Notes in accordance with the Priorities of Payment, 

subject to payment of any prior ranking amounts. 

(f) 

Redemption Following Expiry of the Reinvestment Period 

Following expiry of the Reinvestment Period, the Issuer shall, on each Payment Date 

occurring thereafter, apply Principal Proceeds received in the related Due Period other 

than Unscheduled Principal Proceeds and Sales Proceeds from Credit Improved 

Obligations and Credit Impaired Obligations which the Portfolio Manager at its 

discretion, acting on behalf of the Issuer, has designated for reinvestment to redeem 

(on a pro rata basis) the (i) the Class A-1 Notes and (ii) the Class A-2A Notes and the 

Class A-2B Notes taken together (such amount to be applied first in redemption of the 

Class A-2A Notes and then in redemption of the Class A-2B Notes), in whole or in 

part, and following redemption in full thereof, to redeem (on a pro rata basis) the 

Class B Notes, in whole or in part, and, following redemption in full thereof, to 

redeem (on a pro rata basis) the Class C-1 Notes and the Class C-2 Notes, in whole or 

in part, and following redemption in full thereof, to redeem (on a pro rata basis) the 

Class D-1 Notes and the Class D-2 Notes and, following redemption in full thereof, to 

redeem (on a pro rata basis) the Class E Notes and, following redemption in full 

thereof, to redeem the Class F Subordinated Notes, in each case in accordance with the 

Priorities of Payment set out in Condition 3(c)(iii) (Application of Principal Proceeds). 

(g) 

Redemption upon Failure to Appoint a Replacement Portfolio Manager 

In the event that a replacement Portfolio Manager has not been appointed within 

6 months of receipt of notice of resignation of the existing Portfolio Manager or notice 

of termination of such Portfolio Manager by the Issuer or the Trustee, subject to the 

provisions of Condition 7(b)(ii) (Conditions to Optional Redemption) the Notes shall be 

redeemed at their applicable Redemption Prices (including the Components of the 

Combination Notes) on the next following Payment Date in accordance with the 

Priorities of Payment set out in Condition 3(c)(iii) (Application of Principal Proceeds) 

and subject to the payment of any prior ranking amounts, to the terms of the Portfolio 

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Management Agreement and without prejudice to the payment of any Portfolio 

Management Fees accrued up to the date of redemption. The Issuer shall notify the 

Trustee, the Portfolio Manager, the Collateral Administrator and the Noteholders of 

the occurrence of any such event, following which the Portfolio Manager shall arrange 

for liquidation and/or realisation of the Collateral on behalf of the Issuer in accordance 

with the Portfolio Management Agreement in order to procure that the Collateral is in 

immediately available funds by the applicable Redemption Date. 

(h) 

Redemption 

All Notes in respect of which any notice of redemption is given under this Condition 7 

(Redemption and Purchase) shall be redeemed on the Redemption Date at their 

applicable Redemption Prices and to the extent specified in such notice and in 

accordance with the requirements of this Condition. 

(i) 

Cancellation 

All Notes redeemed in full or purchased in accordance with this Condition 7 

(Redemption and Purchase) will be cancelled and may not be reissued or resold. 

(j) 

Notice of Partial Redemption 

The Issuer shall procure that the Irish Stock Exchange is notified of any partial 

redemption of the Notes, including details of the principal amount of each Class of 

Notes Outstanding following any such partial redemption. 

(k) 

Purchase of Notes by the Issuer 

(i) 

Rated Notes: 

The Issuer may at any time subject to the approval of the Portfolio Manager 

(acting within its mandate granted under the Portfolio Management 

Agreement) purchase Rated Notes (but not any Combination Notes) in the 

open market or in privately negotiated transactions or otherwise, at a price not 

exceeding 100 per cent. of their respective principal amounts plus accrued 

interest; provided however that no such Note shall be purchased unless: 

(A) 

such offer is made to all Noteholders of each respective Class 

simultaneously; 

(B) (1) the Issuer shall select the lowest offer(s) in respect of each relevant 

Class of Notes, or 

(2) in the event that the Issuer is unable to fund the purchase of all Notes 

held by the Noteholders accepting such offer, the Issuer shall make 

such purchase on a reduced pro rata basis according to the lowest 

bid price offered, 

in each case, in compliance with the conditions set out below; 

- 244 -

(C) (1) in the case of Class B Notes, all the Class A Notes have been 

redeemed in full; 

(2) in the case of Class C Notes, all the Class A Notes and the Class B 

Notes have been redeemed in full; 

(3) in the case of Class D Notes, all the Class A Notes, the Class B 

Notes and the Class C Notes have been redeemed in full; and 

(4) in the case of Class E Notes, all the Class A Notes, the Class B 

Notes, the Class C Notes and the Class D Notes have been redeemed 

in full; 

(D) 

(E) 

(F) 

after giving effect to such purchase, the Coverage Tests (save to the 

extent no longer applicable following redemption and payment in full of 

the Class of Notes to which any such tests relate) will be maintained or 

improved, as notified by the Collateral Administrator to the Trustee; 

the Collateral Administrator notifies the Trustee in writing that an 

amount sufficient to pay interest on the (i) Class A Notes, (ii) in the 

event that the Class A Notes have been redeemed in full, on the Class B 

Notes, (iii) in the event that the Class A Notes and the Class B Notes 

have been redeemed in full, on the Class C Notes, (iv) in the event that 

the Class A Notes, the Class B Notes and the Class C Notes have been 

redeemed in full, on the Class D Notes or (v) in the event that the Class 

A Notes, the Class B Notes, the Class C Notes and the Class D Notes 

have been redeemed in full, on the Class E Notes, in each case not so 

purchased on the next Payment Date and all amounts required to be paid 

on such Payment Date prior to such interest in accordance with the 

Priorities of Payment is standing to the credit of the Interest Account; 

and 

in the event that any Rated Note will remain Outstanding following such 

purchase, the Issuer and the Trustee have received Rating Agency 

Confirmation in respect of such purchase. 

(ii) 


The Issuer may at any time purchase Class F Subordinated Notes in the open 

market or in privately negotiated transactions or otherwise provided however 

that no Class F Subordinated Note shall be purchased unless all the Rated 

Notes have been redeemed in full. 

(iii) 

Conditions to Purchase: 

The Portfolio Manager on behalf of the Issuer shall use either cash amounts 

standing to the credit of the Principal Account or the Unused Proceeds 

Account on the date of purchase or may sell one or more Collateral Debt 

- 245 -

Obligations and/or Eligible Investments and use the Sale Proceeds thereof to 

acquire any Notes to be purchased pursuant to this Condition 7 (Redemption 

and Purchase), provided that the Portfolio Manager may not sell (and the 

Trustee shall not be required to release) a Collateral Debt Obligation and/or 

Eligible Investment pursuant to this Condition 7 (Redemption and Purchase) 

unless the Portfolio Manager certifies to the Trustee that it reasonably believes 

that: 

(A) 

(B) 

the Sale Proceeds from the sale of such Collateral Debt Obligations 

and/or Eligible Investments (based on commitments to purchase such 

Collateral Debt Obligations and/or Eligible Investments received by the 

Portfolio Manager on behalf of the Issuer) together with all or part of the 

amounts standing to the credit of the Principal Account and/or the 

Unused Proceeds Account to be applied towards such purchase will be 

sufficient to pay the purchase price of such Notes; and 

in the case of any purchase of Class F Subordinated Notes only, the 

market value of the Collateral Debt Obligations and/or Eligible 

Investments to be sold in such circumstances (as determined by the 

Portfolio Manager in its absolute discretion) does not exceed the pro rata 

share of the market value of all Collateral Debt Obligations and Eligible 

Investments forming part of the Collateral at such time which is 

allocable to the Class F Subordinated Notes to be purchased (such 

allocation to be determined by reference to the percentage which the 

Outstanding principal amount of the Class F Subordinated Notes to be 

purchased bear to the aggregate principal amount of all Notes 

Outstanding immediately prior to purchase thereof). 

(l) 

Forced Transfer of Rule 144A Notes 

If the Issuer determines at any time that either (a) a U.S. holder of Rule 144A Notes 

does not constitute one "person" for the purposes of the Investment Company Act or 

(b) a holder of Notes is a Plan, the Trustee, at the direction of the Issuer, may direct 

such holder to sell or transfer its Notes to, as applicable, a non-U.S. Person outside the 

United States, holder that constitutes one "person" for the purposes of the Investment 

Company Act within the United States or an entity which is not a Plan, within 30 days 

following receipt of such notice. If such holder fails to sell or transfer its Notes within 

such period, such holder may be required by the Issuer to sell such Notes to a 

purchaser selected by the Issuer on such terms as the Issuer may choose. The Issuer 

may select the purchaser by soliciting one or more bids from one or more brokers or 

other market professionals that regularly deal in securities similar to the Notes and 

selling such Notes to the highest such bidder. However, the Issuer may select a 

purchaser by any other means determined by it in its sole discretion. Each Noteholder 

and each other Person in the chain of title from the permitted Noteholder to the 

non-permitted Noteholder by its acceptance of an interest in the Notes agrees to 

co-operate with the Issuer and the Trustee to effect such transfers. The proceeds of 

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such sale, net of any commissions, expenses and taxes due in connection with such sale 

shall be remitted to the selling Noteholder. The terms and conditions of any sale 

hereunder shall be determined in the sole discretion of the Issuer, and neither the Issuer 

nor the Trustee shall be liable to any Person having an interest in the Notes sold as a 

result of any such sale or the exercise of such discretion. The Issuer and the Trustee 

reserve the right to require any holder of Notes to submit a written certification 

substantiating that it is one person for the purposes of the Investment Company Act, a 

non-U.S. Person and/or not a Plan. If such holder fails to submit any such requested 

written certification on a timely basis, the Issuer and the Trustee have the right to 

assume that the holder of the Notes from whom such a certification is requested is not 

one person for the purposes of the Investment Company Act, a non-U.S. Person and/or 

a Plan. Furthermore, the Issuer and the Trustee reserve the right to refuse to honour a 

transfer of beneficial interests in a Rule 144A Note to any person who is not a 

non-U.S. Person, does not constitute one person for the purposes of the Investment 

Company Act or is a Plan. 

(m) 

Redemption of the Combination Notes 

The Combination Notes will be redeemed: 

(i) in the case of the Class P Combination Notes, with respect to the Class C-2 

Component by allocation of redemption payments in respect of Class C-2 

Notes to such Component and with respect to the Class P Subordinated 

Component by allocation of redemption payments in respect of the Class F 

Subordinated Notes to such Component; 

(ii) in the case of the Class Q Combination Notes, with respect to the Class D-2 

Component by allocation of redemption payments in respect of Class D-2 

Notes to such Component and with respect to the Class Q Subordinated 



(iii) in the case of the Class R Combination Notes, with respect to the Class A-1 

Component by allocation of redemption payments in respect of Class A-1 

Notes to such Component and with respect to the Class R Subordinated 



(iv) 

(v) 

in the case of the Class S Combination Notes, with respect to the Class B 

Component by allocation of redemption payments in respect of Class B Notes 

to such Component and with respect to the Class E Component by allocation 

of redemption payments in respect of the Class E Notes to such Component; 

in the case of the Class T Combination Notes, with respect to the OAT 

Security T Component by allocating the OAT Strips Sale T Proceeds to such 

Component and with respect to the Class T Subordinated Component by 

- 247 -

allocation of redemption payments in respect of the Class F Subordinated 

Notes to such Component; and 

(vi) 

in the case of the Class U Combination Notes, the aggregate of (a) the 

distributions in respect of the Class U Subordinated Component received on 

the relevant Payment Date and items (i), (ii) and (iii) of the OAT Strips U 

Portion (to the extent that such proceeds are in excess of the Class U 

Combination Note Coupon) and (b) any OAT Strips Sale U Proceeds. 

Notwithstanding any other provision of these Conditions, on the final Redemption Date 

of each Combination Note, such Combination Note shall be deemed to be redeemed in 

full by the application of the full amount of the redemption payments in respect of the 

relevant Components. 

8. Payments 

(a) 

(b) 

(c) 

(d) 

Payments of interest and principal in respect of any Global Note, will be made 

against presentation (and, in the case of final redemption, surrender) of such 

Global Note at the specified office of the Paying Agents. A record of each 

payment so made on a Global Note distinguishing (in the case of the Global 

Notes) between any payment of principal and/or payment of interest, will be 

endorsed on the schedule to the relevant Global Note by or on behalf of the 

Principal Paying Agent, which endorsement shall be prima facie evidence that 

such payment has been made. Payments in respect of the Notes will be made 

in Euro at the specified office of the Principal Paying Agent by transfer to a 

Euro account maintained by the payee with a bank in Western Europe as 

specified by the payee. 

Payments of interest and principal (except where, after such payment, the 

unpaid principal amount of the relevant Note would be reduced to zero 

(including as a result of any other payment of principal due in respect of such 

Note) in which case, the relevant payment of principal will be made against 

surrender of such Note) in respect of Definitive Notes will be made by the 

Principal Paying Agent by transfer to a Euro account maintained by the payee 

with a bank in Western Europe as shown in the Register not later than the due 

date for such payment. If payment due in respect of any Definitive Note is not 

paid in full, the Registrar will (in respect of a Definitive Note) annotate the 

Register with a record of the amount (if any) so paid. For the purposes of this 

Condition 8, the holder of a Definitive Note will be deemed to be the person 

shown as the holder (or the first named of the joint holders) on the Register on 

the 15th day before the due date for such payment (the "Record Date"). 

Payments of principal and interest in respect of the Notes are subject in all 

cases to any fiscal or other laws and regulations applicable thereto. 

If payment of principal is improperly withheld or refused on or in respect of 

any Note or part thereof, the interest which continues to accrue in respect of 

- 248 -

such Note in accordance with Condition 6 (Interest) will be paid against 

presentation of such Note at the specified office of any Paying Agent (in 

respect of any Global Note) and in accordance with this Condition 8 (in 

respect of any Definitive Note). If any payment due in respect of any Global 

Note is not paid in full, the Principal Paying Agent will endorse a record of 

the amount (if any) so paid on the relevant Global Note. 

(e) 

(f) 

(g) 

(h) 

The initial Paying Agent and its initial specified office is listed at the end of 

these Conditions. The Issuer reserves the right, subject to the prior written 

approval of the Trustee, at any time to vary or terminate the appointment of 

the Principal Paying Agent and to appoint additional or other Paying Agents. 

For so long as the Notes are listed on the Irish Stock Exchange and the rules 

of the Irish Stock Exchange so require, the Issuer will at all times maintain a 

paying agent with a specified office in Ireland. The Issuer will cause prompt 

notice of any change in or addition to the Paying Agents or their specified 

offices to be given in accordance Condition 16 (Notices). 

If any Global Note is presented for payment on a day which is not a Business 

Day, no further payments of additional amounts by way of interest, principal 

or otherwise shall be due in respect of such Global Note. 

If, upon due presentation upon a relevant Payment Date, payment of the 

relevant amount of principal or interest is improperly withheld or refused on 

or in respect of any Global Note or part thereof by the Paying Agents, the 

Issuer will indemnify the Trustee on behalf of the relevant affected 

Noteholders by paying to the Trustee on behalf of such Noteholders a sum 

calculated as the amount so withheld or refused plus an amount calculated as 

equal to the amount of interest which would have accrued in accordance with 

Condition 6 (Interest) if payment of such amount had been paid by the Issuer 

to the Noteholders on the relevant Payment Date (as well after as before any 

judgement) up to (but excluding) the date on which all sums due in respect of 

such Global Note up to that day are received by the relevant Noteholder, 

payment under such indemnity to be due without demand from the relevant 

Payment Date. 

On each Payment Date on which payments of principal, interest redemption 

amounts, or other payments are made on any Class that is represented by a 

Component, such payment shall be allocated to the Combination Notes in the 

proportion that the principal amount of such Component bears to the principal 

amount of the Class represented by such Component (including all related 

Components) and in accordance with Condition 6(g) (Interest and other 

payments due on the Combination Notes). No other payments will be made on 

a Combination Note. 

9. Taxation 

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All payments of principal and interest in respect of the Notes shall be made free and 

clear of, and without withholding or deduction for, or on account of any taxes, duties, 

assessments or governmental charges of whatever nature imposed, levied, collected, 

withheld or assessed by or within Ireland, or any political sub-division or any authority 

therein or thereof having power to tax, unless such withholding or deduction is 

required by law. For the avoidance of doubt, the Issuer shall not be required to gross 

up any payments made to Noteholders of any Class and shall withhold or deduct from 

any such payments any amounts for or on account of tax where so required by law or 

any relevant taxing authority. Any such withholding or deduction shall not constitute 

an Event of Default under Condition 10(a) (Events of Default). 

Subject as provided below, if the Issuer satisfies the Trustee that it has or will on the 

occasion of the next payment due in respect of the Notes of any Class become obliged 

by Irish law to withhold or deduct for or on account of tax so that it would be unable to 

make payment of the full amount then due, the Issuer (with the consent of the Trustee 

and save as provided below) shall use all reasonable endeavours to arrange for the 

substitution of a company incorporated in another jurisdiction approved by the Trustee 

as the principal obligor under the Notes of such Class, or to change its tax residence to 

another jurisdiction approved by the Trustee, subject to receipt by the Trustee of 

Rating Agency Confirmation in respect of such substitution or change (subject to 

receipt of such information and/or opinions as the Rating Agencies may require). 

Notwithstanding the above, if the Issuer has or will become obliged by Irish law to 

withhold or deduct for or on account of tax, as referred to in this Condition 9 

(Taxation): 

(a) 

(b) 

(c) 

(d) 

due to the connection of any Noteholder with Ireland otherwise than by reason 

only of the holding of any Note or receiving principal or interest in respect 

thereof; or 

by reason of the failure by the relevant Noteholder to comply with any 

applicable procedures required by the relevant tax authority to establish an 

exemption from such withholding or deduction; or 

in respect of a payment to an individual and such withholding or deduction is 

required to be made pursuant to the Council Directive 2003/48/EC on 

Taxation of Savings Income, or any law (whether of a member state of the 

European Union or a non-member state) implementing or complying with, or 

introduced in order to conform to, such directive; or 

as a result of presentation for payment by or on behalf of a Noteholder who 

would have been able to avoid such withholding or deduction by presenting 

the Note to another Paying Agent in a member state of the European Union, 

the requirement to substitute the Issuer as the principal obligor and/or change its 

residence for taxation purposes shall not apply. 

10. Events of Default 

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(a) 

Events of Default 

The occurrence of any of the following events shall constitute an "Event of Default": 

(i) 

Non-payment of interest 

The Issuer fails to pay any interest in respect of any Class A Note or Class B 

Note when the same becomes due and payable or, following redemption and 

payment in full of the Class A Notes and the Class B Notes, the Issuer fails to 

pay any interest in respect of any Class C Note (save for any previously 

deferred interest on such Class C Note) when the same becomes due and 

payable or, following redemption in full of the Class C Notes, the Issuer fails 

to pay any interest in respect of any Class D Note (save for any previously 

deferred interest on such Class D Note) when the same becomes due and 

payable (including, in each case, the relevant Components of any Combination 

Note) or, following redemption in full of the Class D Notes, the Issuer fails to 

pay any interest in respect of any Class E Note (save for any previously 

deferred interest on such Class E Note) when the same becomes due and 

payable (save, in each case, as the result of any deduction therefrom or the 

imposition of withholding thereon in the circumstances described in 

Condition 9 (Taxation)) provided that any such failure to pay such interest 

continues for a period of five days. 

(ii) 

Non-payment of principal 

Without prejudice to Condition 3(d) (Non-payment of Amounts) the Issuer fails 

to pay any principal when the same becomes due and payable on any Note 

(including, in each case, the relevant Components of any Combination Note 

relating to such Class) on any Redemption Date provided that any such failure 

to pay such principal continues for a period of five days. 

(iii) 

Default under Priorities of Payment 

The Issuer fails on any Payment Date to disburse amounts available in the 

Payment Account in accordance with the Priorities of Payment, which failure 

(save for such failure as described in paragraphs (i) and (ii) above) which 

failure continues for a period of five days. 

(iv) 

Collateral Debt Obligations 

The Par Value Ratio applicable to the Class A Notes (defined as (a) the 

Aggregate Collateral Balance less the Par Value Test Excess Adjustment 

Amount divided by (b) the Principal Amount Outstanding of the Class A 

Notes) falls below 100 per cent. 

(v) 

Breach of Other Obligations 

Without prejudice to Condition 3(d) (Non-payment of Amounts) the Issuer does 

not perform or comply with any other of its covenants, warranties or other 

- 251 -

agreements of the Issuer under the Notes, the Trust Deed, the Euroclear 

Pledge Agreement, the Agency Agreement, the Collateral Administration 

Agreement, the Portfolio Management Agreement (other than a covenant, 

warranty or other agreement, a default in the performance or breach of which 

is dealt with elsewhere in this Condition 10(a) (Events of Default) and other 

than the failure to meet any Collateral Quality Test or Coverage Test), or any 

representation, warranty or statement of the Issuer made in the Trust Deed or 

in any certificate or other writing delivered pursuant thereto or in connection 

therewith ceases to be correct in all material respects when the same shall 

have been made, and the continuation of such default, breach or failure for a 

period of 30 days after notice thereof shall have been given, by registered or 

certified mail or overnight courier, to the Issuer by the Trustee specifying 

such default, breach or failure and requiring it to be remedied and stating that 

such notice is a "Notice of Default" hereunder. 

(vi) 

Insolvency Proceedings 

Proceedings are initiated against the Issuer under any applicable liquidation, 

insolvency, bankruptcy, composition, reorganisation or other similar laws 

(together, "Insolvency Law"), or a receiver, trustee, administrator, 

administrative receiver, examiner, custodian, conservator or other similar 

official (a "Receiver") is appointed in relation to the Issuer, or a distress or 

execution or other process is levied or enforced upon or sued out against the 

whole or a substantial part of the undertaking or assets of the Issuer; or the 

Issuer becomes or is, or could be deemed by law or a court to be, insolvent or 

bankrupt or unable to pay its debts, or initiates or consents to judicial 

proceedings relating to itself under any applicable Insolvency Law, or seeks 

the appointment of a Receiver, or makes a conveyance or assignment for the 

benefit of its creditors generally or otherwise becomes subject to any 

reorganisation or amalgamation (other than on terms previously approved in 

writing by the Trustee or by an Extraordinary Resolution of each Class of 

Noteholders). 

(vii) 

Illegality 

It is or will become unlawful for the Issuer to perform or comply with any one 

or more of its obligations under the Notes. 

(b) 

Acceleration 

If an Event of Default occurs and is continuing, the Trustee may, at its discretion, and 

shall, at the request in writing by the holders of at least 66 2 /3 per cent. of the aggregate 

Principal Amount Outstanding of the Notes of the Controlling Class at such time or as 

so directed by an Extraordinary Resolution of the holders of the Controlling Class at 

such time (subject to being indemnified and/or secured to its satisfaction against all 

liabilities, proceedings, claims and demands to which it may thereby become liable and 

all costs, charges and expenses which may be incurred by it in connection therewith), 

- 252 -

give notice to the Issuer (an "Acceleration Notice") that all the Notes are to be and 

they shall accordingly forthwith become, immediately due and payable at their 

applicable Redemption Prices. 

(c) 

Curing of Default 

At any time after an Acceleration Notice has been given and prior to enforcement of 

the Security pursuant to Condition 10 (Events of Default), the Trustee, at its discretion, 

may or, if requested in writing by the holders of at least 66 2 /3 per cent. of the aggregate 

Principal Amount Outstanding of the Notes of the Controlling Class at such time, shall 

(in each case, subject to being indemnified and/or secured to its satisfaction against all 


all costs, charges and expenses which may be incurred by it in connection therewith) 

rescind and annul such Acceleration Notice and its consequences but only if: 

(i) 

the Issuer has paid or deposited with the Trustee a sum sufficient to pay: 

(A) 

(B) 

(C) 

(D) 

(E) 

all overdue payments of interest and principal on the Notes, other than 

the Class F Subordinated Notes; 

all due but unpaid taxes owing by the Issuer, as certified by an 

Authorised Officer of the Issuer to the Trustee; 

all unpaid Administrative Expenses and Trustee Fees and Expenses; 

the total amount of any unpaid Senior Portfolio Management Fee; and 

all amounts due and payable under any Interest Rate Hedge Agreement 

and any Currency Hedge Agreement; and 

(ii) 

the Trustee has determined that all Events of Default, other than the 

non-payment of the interest in respect of, or principal of, the Notes that have 

become due solely as a result of the acceleration thereof under paragraph (b) 

above due to the occurrence of such Events of Default, have been cured or 

waived. 

Any previous rescission and annulment of an Acceleration Notice pursuant to this 

paragraph (c) shall not prevent the subsequent acceleration of the Notes by the Trustee 

at its discretion or, at the request or direction of the Controlling Class in each case in 

accordance with paragraph (b) above. 

(d) 

Restriction on Acceleration of Notes 

No acceleration of the Notes shall be permitted pursuant to this Condition by any Class 

of Noteholders, other than the holders of the Controlling Class as provided in 

Condition 10(b) (Acceleration) or unless and until the acceleration of any other Class of 

Notes is simultaneous with, or occurs subsequent to, acceleration by the holders of 

such Controlling Class. 

- 253 -

(e) 

Notification and Confirmation of No Default 

The Issuer shall promptly notify the Trustee, the Portfolio Manager and the Rating 

Agencies upon becoming aware of the occurrence of an Event of Default or Potential 

Event of Default. The Trust Deed contains provisions for the Issuer to provide written 

confirmation to the Trustee and the Rating Agencies on an annual basis or on request 

that no Event of Default or Potential Event of Default has occurred and that no other 

matter which is required (pursuant thereto) to be brought to the Trustee's attention has 

occurred. 

11. Enforcement 

(a) 

Security Becoming Enforceable 

The security constituted under the Trust Deed and the Euroclear Pledge Agreement 

over the Collateral shall become enforceable upon an acceleration of any of the Notes 

pursuant to Condition 10(b) (Acceleration). 

(b) 

Enforcement 

The Trustee may at any time (Subject to Condition 4(c) (Limited Recourse)) at its 

discretion and without further notice, institute such proceedings against the Issuer or 

any other party to a Transaction Document as it may think fit to enforce the terms of 

the Trust Deed, the Notes or any other Transaction Document and, pursuant and 

subject to the terms of the Trust Deed, the Euroclear Pledge Agreement and the OAT 

Strips Pledge Agreements, at any time after the Security has become enforceable, 

realise and/or otherwise liquidate the Collateral and/or take such action as may be 

permitted under applicable laws against any obligor in respect of the Collateral and/or 

take any other action to enforce the security over the Collateral, in each case without 

any liability as to the consequence of any action and without having regard (save to the 

extent provided in Condition 14(d) (Entitlement of the Trustee and Conflicts of 

Interest)) to the effect of such action on individual Noteholders of any Class or any 

other Secured Party. 

The Trustee shall not be bound to institute any such proceedings or take any such other 

action unless it is (i) requested in writing by the holders of at least 66 2 /3 per cent. in 

aggregate Principal Amount Outstanding of the Notes of the Controlling 

Class (including the Components of a Combination Note corresponding to such Class) 

at such time or (ii) directed by an Extraordinary Resolution of the holders of the 

Controlling Class (including the Components of a Combination Note corresponding to 

such Class) at such time and, in each case, the Trustee is indemnified and/or secured to 

its satisfaction against all liabilities, proceedings, claims and demands to which it may 

thereby become liable and all costs, charges and expenses which may be incurred by it 

in connection therewith. Following redemption and payment in full of the Class A 

Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes, 

the Trustee shall (provided it is indemnified and/or secured to its satisfaction against all 


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all costs, charges and expenses which may be incurred by it in connection therewith), if 

so directed, act upon the directions of the holders of a majority of the aggregate 

Principal Amount Outstanding of the Class F Subordinated Notes or as directed by an 

Extraordinary Resolution of the Class F Subordinated Noteholders. 

The Trust Deed provides that no provisions of these Conditions, the Trust Deed or any 

other Transaction Document shall require the Trustee to do anything which may be 

illegal or contrary to applicable law or regulation or expend or risk its own funds or 

otherwise incur any financial Liability in the performance of any of its duties or in the 

exercise of any of its rights or powers, if it believes that repayment of such funds or 

adequate indemnity against such risk or the Liability is not assured to it. 

The net proceeds of enforcement of the security over the Collateral (save for the net 

proceeds of enforcement of the OAT Strips Pledge Agreements which shall be paid, 

pari passu and rateably, (i) to the Class T Combination Noteholders in respect of the 

OAT Security T Component and (ii) to the Class U Combination Noteholders in 

respect of the OAT Security U Component) shall be credited to the Payment Account 

or such other account as the holders of the Class of Notes entitled to direct the Trustee 

with respect to enforcement (in accordance with the previous paragraph) shall designate 

to the Trustee and shall be distributed in accordance with the following Priorities of 

Payment: 

(A) 

(B) 

(C) 

(D) 

(E) 

(F) 


paragraphs (B), (C), (D), (E), (X) and (Y) of Condition 3(c)(ii) (Application 

of Interest Proceeds); 

to the payment, on a pro rata basis, of any scheduled amounts due and 

payable under any Interest Rate Hedge Agreement or any Currency Hedge 

Agreement (excluding, in each case, any termination payments pursuant to 

paragraph (P) of this Condition); 

to the payment, on a pro rata basis, of any termination payments due to any 

Interest Rate Hedge Counterparty or any Currency Hedge Counterparty (other 

than Defaulted Interest Rate Hedge Termination Payments or Defaulted 

Currency Hedge Termination Payments pursuant to paragraph (P) of this 

Condition); 

in payment to the Portfolio Manager of any accrued and unpaid Senior 

Portfolio Management Fee due and payable but not paid on any prior Payment 

Dates and to the payment of the amount referred to in paragraph (E)(i) of 


to the payment of the amounts referred to in paragraph (H) of 


to redeem (on a pro rata basis) the (i) the Class A-1 Notes and (ii) the Class 

A-2A Notes and the Class A-2B Notes taken together (such amount to be 

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applied first in redemption of the Class A-2A Notes and then in redemption of 

the Class A-2B Notes) Notes, in whole or in part; 

(G) 

(H) 

(I) 

(J) 

(K) 

(L) 

(M) 

(N) 

(O) 

(P) 

(Q) 

(R) 

to the payment of the amounts referred to in paragraph (I) of Condition 3(c)(ii) 


to redeem (on a pro rata basis) the Class B Notes, in whole or in part; 


paragraphs (K) and (L) of Condition 3(c)(ii) (Application of Interest 

Proceeds); 

to redeem (on a pro rata basis) the Class C Notes, in whole or in part; 


paragraphs (N) and (O) of Condition 3(c)(ii) (Application of Interest 

Proceeds); 

to redeem (on a pro rata basis) the Class D Notes, in whole or in part; 

in payment to the Portfolio Manager of any accrued and unpaid Mezzanine 


Dates and to the payment referred to in paragraph (Q) of Condition 3(c)(ii) 


to the payment on a sequential basis of the amounts referred to in paragraphs 

(R) of Condition 3(c)(ii) (Application of Interest Proceeds); 

to redeem (on a pro rata basis) the Class E Notes, in whole or in part; 

to the payment, on a pro rata basis, of any Defaulted Interest Rate Hedge 

Termination Payment due and payable to any Interest Rate Hedge 

Counterparty and any Defaulted Currency Hedge Termination Payment due 

and payable to any Currency Hedge Counterparty in respect of which such 

counterparty is the Defaulting Party (as defined in the ISDA Master 

Agreement); 

in payment to the Portfolio Manager of any accrued and unpaid Subordinated 


Dates and any other amounts payable to the Portfolio Manager (other than the 

Incentive Management Fee) under the Portfolio Management Agreement and 

to the payment of any value added tax due and payable in respect of any 

Portfolio Management Fee or other such amount; 

to the extent not otherwise paid repaid pursuant to the Conditions, to 

repayment of any Portfolio Manager Advances; 

(S) (a) to the payment to the Portfolio Manager in respect of the Incentive 

Management Fee in an amount equal to 20 per cent. of any Interest 

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Proceeds remaining and to the payment of any value added tax due and 

payable in respect thereof; 

(b) to the Class F Subordinated Noteholders: 

(1) in payment of the Interest Amounts due and payable on the Class F 

Subordinated Notes in respect of the Interest Accrual Period 

ending immediately prior to such Payment Date to the extent not 

paid pursuant to paragraphs (W) of Condition 3(c)(iii) (Application 

of Principal Proceeds), paragraph (C) of Condition 3(c)(i) 

(Application of Collateral Enhancement Obligation Proceeds) and 

paragraph (DD) of Condition 3(c)(ii) (Application of Interest 

Proceeds); and 

(2) in payment of principal of the Class F Subordinated Notes and, in 

the event of redemption in full thereof, all surplus to the Class F 

Subordinated Noteholders. 

(c) 

Only Trustee to Act 

Only the Trustee may pursue the remedies available under the Trust Deed or the 

Euroclear Pledge Agreement to enforce the rights of the Noteholders or of any of the 

other Secured Parties under the Trust Deed, the Euroclear Pledge Agreement and the 

Notes and no Noteholder or other Secured Party may proceed directly against the 

Issuer or any of its assets under the Trust Deed, the Euroclear Pledge Agreement or 

the Notes unless the Trustee, having become bound to proceed in accordance with the 

terms of the Trust Deed, fails or neglects to do so within a reasonable period and such 

failure or neglect is continuing. After realisation of the security which has become 

enforceable and distribution of the net proceeds in accordance with the Priorities of 

Payment, no Noteholder or other Transaction Creditor may take any further steps 

against the Issuer to recover any sum still unpaid in respect of the Notes or the Issuer's 

obligations to such Transaction Creditor and all claims against the Issuer to recover any 

sum still unpaid in respect of the Notes or the Issuer's obligations to such Transaction 

Creditor and all claims against the Issuer in respect of such sums unpaid shall be 

extinguished. 

(d) 

Purchase of Collateral by Noteholders 

Upon any sale of any part of the Collateral following the occurrence of an Event of 

Default, whether made under the power of sale under the Trust Deed or by virtue of 

judicial proceedings, any Noteholder may (but shall not be obliged to) bid for and 

purchase the Collateral or any part thereof and, upon compliance with the terms of 

sale, may hold, retain, possess or dispose of such property in its or their own absolute 

right without accountability. In addition, any purchaser in any such sale which is a 

Noteholder may deliver Notes held by it in place of payment of the purchase price for 

such Collateral where the amount payable to such Noteholder in respect of such Notes 

- 257 -

pursuant to the Priorities of Payment out of the net proceeds of such sale is equal to or 

exceeds the purchase moneys so payable. 

12. Prescription 

Claims in respect of principal and interest will become void unless made within a 

period of five years, in the case of interest, and ten years, in the case of principal, 

from the appropriate Relevant Date. 

13. Replacement of Notes 

If any Note is lost, stolen, mutilated, defaced or destroyed it may be replaced at the 

specified office of any Paying Agent, subject in each case to all applicable laws and 

Irish Stock Exchange requirements, upon payment by the claimant of the expenses 

incurred in connection with such replacement and on such terms as to evidence, 

security, indemnity and otherwise as the Issuer may require (provided that the 

requirement is reasonable in the light of prevailing market practice). Mutilated or 

defaced Notes must be surrendered before replacements will be issued. 

14. Meetings of Noteholders, Modification, Waiver and Substitution 

(a) 

Meetings of Noteholders 

The Trust Deed contains provisions for convening meetings of the Noteholders of each 

Class to consider matters affecting the interests of such Noteholders, including the 

sanctioning by Extraordinary Resolution of the Noteholders of a Class of a 

modification of certain of these Conditions or certain provisions of the Trust Deed. 

Meetings of the Noteholders of a Class may be convened by two or more Noteholders 

of such Class holding not less than 10 per cent. in principal amount of the Notes of that 

Class Outstanding. The quorum for any meeting convened to consider an 

Extraordinary Resolution of the Noteholders of such Class will be two or more persons 

holding or representing a majority in the aggregate Principal Amount Outstanding of 

the Notes of such Class, or at any adjourned meeting two or more persons being or 

representing Notes of such Class whatever the aggregate Principal Amount Outstanding 

of the Notes of such Class held or represented. No proposal to sanction, amongst other 

things: 

(i) 

(ii) 

the exchange or substitution for the Notes of the relevant Class of, or the 

conversion of the Notes of the relevant Class into, shares, bonds or other 

obligations or securities of the Issuer or any other entity; 

the modification of any provision relating to the timing and/or circumstances 

of redemption of the Notes of the relevant Class at maturity or otherwise 

(including, for the avoidance of doubt, the circumstances in which payments 

on such Notes may be accelerated and the extension of the Maturity Date); 

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(iii) 

(iv) 

(v) 

(vi) 

(vii) 

(viii) 

(ix) 

the modification of the timing and/or determination of the amount of interest, 

principal or other amounts payable in respect of the Notes of the relevant 

Class from time to time; 

the adjustment of the Principal Amount Outstanding of the Notes of the 

relevant Class other than in connection with a further issue of Notes pursuant 

to Condition 17 (Additional Issuances); 

a change in the currency of payment of the Notes of the relevant Class or any 

other amounts payable under the Priorities of Payment; 

any change in the Priorities of Payment or in the calculation or determination 

of any amounts payable thereunder including, without limitation, the Portfolio 

Management Fees; 

the modification of the provisions concerning the quorum required at any 

meeting of Noteholders of the relevant Class or the majority required to pass 

an Extraordinary Resolution or any other provision of these Conditions which 

requires the written consent of the holders of a requisite Principal Amount 

Outstanding of the Notes of any Class; 

the modification of any provision relating to the security over the Collateral 

constituted by the Trust Deed and the Euroclear Pledge Agreement except as 

contemplated by these Conditions, the Trust Deed and the Euroclear Pledge 

Agreement; and 

any modification of this Condition 14(a) (Meetings of Noteholders), 

shall be effective unless approved by an Extraordinary Resolution passed at a meeting 

of Noteholders of the relevant Class (including, in each case, the Components of the 

Combination Notes relating to such Class). 

The Trust Deed does not contain any provisions requiring higher quorums in any 

circumstances. Any Extraordinary Resolution of the Noteholders of a Class duly 

passed shall be binding on all Noteholders of such Class (whether or not they were 

present at the meeting at which such resolution was passed). The Trust Deed provides 

that a resolution in writing signed by, or on behalf, of the holders of not less than 66 2 /3 

per cent. in principal amount of Notes Outstanding of a Class, including, in each case, 

the Components of a Combination Note corresponding to such Class, who for the time 

being are entitled to receive notice of a meeting shall for all purposes be as valid and 

effective as an Extraordinary Resolution passed at a meeting of such Noteholders duly 

convened and held. 

(b) 

Modification and Waiver 

The Trust Deed and the Portfolio Management Agreement both provide that the 

Trustee may, without the consent of the Noteholders or the Secured Parties, amend, 

modify, supplement and/or waive any of the covenants or provisions in the Trust Deed 

- 259 -

and/or the Portfolio Management Agreement and/or any other Transaction Documents 

(subject to the consent of the other parties thereto) (as applicable), for any of the 

following purposes: 

(i) 

(ii) 

(iii) 

(iv) 

(v) 

(vi) 

(vii) 

(viii) 

(ix) 

to add to the covenants of the Issuer or the Trustee or to surrender any right 

or power in the Trust Deed or the Portfolio Management Agreement (as 

applicable) conferred upon the Issuer in each case where such addition or 

surrender is for the benefit of the Noteholders; 

to charge, convey, transfer, assign, mortgage or pledge any property to or 

with the Trustee; 

to correct or amplify the description of any property at any time subject to the 

security of the Trust Deed, or to better assure, convey and confirm unto the 

Trustee any property subject or required to be subject to the security of the 

Trust Deed (including, without limitation, any and all actions necessary or 

desirable as a result of changes in law or regulations) or subject to the security 

of the Trust Deed any additional property; 

to evidence and provide for the acceptance of appointment under the Trust 

Deed by a successor Trustee subject to and in accordance with the terms of the 

Trust Deed and to add to or change any of the provisions of the Trust Deed as 

shall be necessary to facilitate the administration of the trusts under the Trust 

Deed by more than one Trustee, pursuant to the requirements of the relevant 

provisions of the Trust Deed; 

to make such changes as shall be necessary or advisable in order for the Notes 

of each Class to be (or to remain) listed on the Irish Stock Exchange or any 

other exchange; 

save as contemplated in paragraph (c) (Substitution) below, to take any action 

advisable to prevent the Issuer from becoming subject to withholding or other 

taxes, fees or assessments or the imposition of value added tax on the 

Portfolio Management Fees; 

to take any action advisable to prevent the Issuer from being treated as 

engaged in a United States trade or business or otherwise be subject to United 

States federal, state or local income tax on a net income basis; 

to enter into any additional agreements not expressly prohibited by the Trust 

Deed or the Portfolio Management Agreement (as applicable); 

to make any other modification of any of the provisions of the Trust Deed, the 

Portfolio Management Agreement or any other Transaction Document which, 

in the opinion of the Trustee, is of a formal, minor or technical nature or is 

made to correct a manifest error or an error that is, in the opinion of the 

Trustee, proven; 

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(x) 

(xi) 

to make any other modification (save as otherwise provided in the Trust Deed, 

the Portfolio Management Agreement or the relevant Transaction Document), 

and/or give any waiver or authorisation of any breach or proposed breach, of 

any of the provisions of the Trust Deed or any other Transaction Document 

which is, in the opinion of the Trustee, not materially prejudicial to the 

interests of the Noteholders of any Class; and 

to modify the Coverage Tests, provided that Rating Agency Confirmation with 

respect to such modification has been obtained and provided that such 

modification is not, in the opinion of the Trustee, materially prejudicial to the 

interests of the Noteholders. 

provided that the Trustee shall not be obliged to agree to such modification, waiver or 

authorisation and may, in connection with such request, procure such professional 

assistance, including legal opinions, from such professional advisors as it may think fit, 

the cost of which shall be treated as Trustee Fees and Expenses. 

Any such modification, waiver or authorisation may be made or given on such terms 

and subject to such conditions (if any) as the Trustee may determine and shall be 

binding upon the Noteholders and the other Secured Parties. Any such modification 

shall be notified by the Issuer to (i) the Rating Agencies so long as any of the Rated 

Notes remains Outstanding, (ii) the Irish Stock Exchange and (iii) unless the Trustee 

agrees otherwise, the Noteholders in accordance with Condition 16 (Notices) as soon as 

practicable thereafter. 

In addition, the Trust Deed and the Portfolio Management Agreement both provide 

that, without the consent of the Noteholders and the Trustee, the Issuer may amend, 

modify, supplement and/or waive the terms of the Collateral Quality Tests and 

Percentage Limitations set out in the Portfolio Management Agreement subject to the 

consent of the other parties thereto (other than the Trustee) subject to receipt by the 

Trustee (whether or not addressed to the Trustee) of Rating Agency Confirmation in 

respect thereof. 

(c) 

Substitution 

The Trust Deed contains provisions permitting the Trustee to agree with the Issuer, 

subject to certain conditions set out thereto, including but not limited to, for so long as 

any of the Notes are listed on the Irish Stock Exchange, compliance with the rules of 

the Irish Stock Exchange, and such other conditions as the Trustee may require, but 

without the consent of the Noteholders of any Class, to the substitution of any other 

company in place of the Issuer, or of any previous substituted company, as principal 

debtor under the Trust Deed and the Notes of each Class, if required pursuant to 

Condition 9 (Taxation) set forth above. In the case of such a substitution the Trustee 

may agree, without the consent of the Noteholders, but subject to receipt by the 

Trustee of Rating Agency Confirmation (on the basis of such information and/or 

opinions as the Rating Agencies may require) to a change of the law governing the 

Notes and/or the Trust Deed, provided that such change would not in the opinion of the 

- 261 -

Trustee be materially prejudicial to the interests of the Noteholders of any Class. Any 

substitution agreed by the Trustee pursuant to this Condition 14(c) (Substitution) shall 

be binding on the Noteholders, and shall be notified to the Rating Agencies, the Irish 

Stock Exchange and, as soon as practicable, to the Noteholders in accordance with 

Condition 16 (Notices). 

The Trustee may, subject to the satisfaction of certain conditions, including receipt by 

the Trustee of Rating Agency Confirmation (on the basis of such information and/or 

opinions as the Rating Agencies may require) agree to a change in the place of 

residence of the Issuer for taxation purposes without the consent of the Noteholders of 

any Class, provided the Issuer does all such things as the Trustee may require in order 

that such change in the place of residence of the Issuer pursuant to Condition 9 

(Taxation) set forth above is fully effective and complies with such other requirements 

which are in the interests of the Noteholders as it may reasonably direct. 

If, pursuant to this Condition 14(c) (Substitution), either (i) another company is 

substituted in place of the Issuer or any previously substituted company or (ii) the 

residence of the Issuer is changed, then references to "Irish" and "Ireland" in 

Condition 9 (Taxation) shall also be deemed to include references to the jurisdiction in 

which the company that is being substituted for the Issuer (or any previously 

substituted company) is incorporated, domiciled or resident for tax purposes and to any 

jurisdiction to which the residence of the Issuer is changed. 

(d) 

Entitlement of the Trustee and Conflicts of Interest 

Where in connection with the exercise by it of its trusts, powers, authorities, duties and 

discretions under the Trust Deed and these Conditions (including, without limitation, 

any modification, waiver, authorisation, determination or substitution) it is obliged to 

have regard to the interests of the Noteholders (or any Class thereof), the Trustee shall, 

subject as provided below, have regard to the interests of the Noteholders (or any Class 

thereof) as a Class and, in particular but without limitation, shall not have regard to 

the consequences of such exercise for individual Noteholders resulting from their being 

for any purpose domiciled or resident in, or otherwise connected with, or subject to the 

jurisdiction of, any particular territory or any political sub-division thereof and the 

Trustee shall not be entitled to require, nor shall any Noteholder be entitled to claim 

from the Issuer, the Trustee or any other person any indemnification or payment in 

respect of any tax consequence of any such exercise upon individual Noteholders. 

The Trust Deed provides that in the event of any conflict of interest between the 

holders of the Class A Notes, the Class B Notes, the Class C Notes, the Class D 

Notes, the Class E Notes and the Class F Subordinated Notes, the interests of the 

holders of the Controlling Class will prevail. If the holders of the Controlling Class do 

not have an interest in the outcome of the conflict, the Trustee shall give priority to the 

interests of (i) the Class B Noteholders over the respective interests of the Class C 


Subordinated Noteholders, (ii) subject as provided in paragraph (i) above, the Class C 

Noteholders over the respective interests of the Class D Noteholders, the Class E 

- 262 -

Noteholders and the Class F Subordinated Noteholders, (iii) subject as provided in 

paragraphs (i) and (ii) above, the Class D Noteholders over the respective interests of 

the Class E Noteholders and the Class F Subordinated Noteholders and (iv) subject as 

provided in paragraphs (i), (ii) and (iii) above, the Class E Noteholders over the 

interests of the Class F Subordinated Noteholders. In the event that the Trustee shall 

receive conflicting or inconsistent requests from two or more groups of holders of the 

Controlling Class (or another Class given priority as described in this paragraph), each 

representing less than the majority by principal amount of the Controlling Class (or 

other Class given priority as described in this paragraph), the Trustee shall give 

priority to the group which holds the greater amount of Notes Outstanding of such 

Class. The Trust Deed provides further that the Trustee will act upon the directions of 

the holders of the Controlling Class (or other Class given priority as described in this 

paragraph) in such circumstances, and shall not be obliged to consider the interests of 

the holders of any other Class of Notes. 

For this purpose, the holders of the Combination Notes shall not be deemed to have an 

interest, except to the extent of each of the Components of the Combination Notes. 

So long as any of the Notes of any Class remain Outstanding, the Trustee shall, as 

regards all the powers, trusts, authorities, duties and discretions vested in it by the 

Trust Deed and these Conditions, have regard only to the interests of the Noteholders 

and, except where expressly provided otherwise, shall have no regard to the interests 

of, and shall not be required to act upon or comply with any direction or request of, 

any other Secured Party and no Secured Party shall have any claim against the Trustee 

for so doing. 

15. Indemnification, etc of the Trustee 

(a) 

The Trust Deed contains provisions for the indemnification of the Trustee and for its 

relief from responsibility in certain circumstances, including provisions relieving it 

from instituting proceedings to enforce repayment or to enforce the security constituted 

by or pursuant to the Trust Deed or the Euroclear Pledge Agreement from taking any 

other action which may involve the Trustee in personal liability or expense, unless 

indemnified to its satisfaction. The Trustee is entitled to enter into business 

transactions with the Issuer, any of the Transaction Creditors and any entity related to 

any of them without accounting for any profit. The Trustee is exempted from any 

liability in respect of any loss or theft of the Collateral, from any obligation to insure, 

or to monitor the provisions of any insurance arrangements in respect of, the 

Collateral, (for the avoidance of doubt, under the Trust Deed the Trustee is under no 

such obligation) and from any claim arising from the fact that the Collateral is held by 

the Custodian or is otherwise held in safe custody by a bank or other custodian. The 

Trustee shall not be responsible for the performance by the Custodian of any of its 

duties under the Agency Agreement or for the performance by the Portfolio Manager 

of any of its duties under the Portfolio Management Agreement, for the performance 

by the Collateral Administrator of its duties under the Collateral Administration 

Agreement or for the performance by any other person appointed by the Issuer in 

- 263 -

elation to the Notes. The Trustee shall not have any responsibility for the 

administration, management or operation of the Collateral including the request by the 

Portfolio Manager to release any of the Collateral from time to time. 

(b) 

The appointment of the Trustee may be terminated at any time upon 60 days' prior 

written notice from a majority of the Principal Amount Outstanding of the Controlling 

Class. In addition, the Trustee can retire from its appointment at any time on giving 

not less than two months' prior written notice to the Issuer and without giving any 

reason for such retirement. Upon notice of a termination or a retirement the Issuer 

shall use its best endeavours to procure the appointment of a new trustee provided that 

if a new trustee is not appointed seven days before expiry of any such notice the 

Trustee shall be entitled on behalf of the Issuer to appoint a successor trustee. 

16. Notices 

Any notice to Noteholders in respect of Notes represented by Global Notes shall be 

deemed to have been duly given if sent to Euroclear and/or Clearstream, Luxembourg 

and shall be deemed to have been given on the date on which such notice was so sent 

provided that (for so long as the Notes are listed on the Irish Stock Exchange), such 

notice is also published in accordance with this Condition 16 (Notices). 

So long as any of the Notes are listed on the Irish Stock Exchange and the Irish Stock 

Exchange rules so require, any notice to the Noteholders shall be validly given if 

published in the Irish Times or, if such newspaper shall cease to be published or timely 

publication therein shall not be practicable, in such newspaper or newspapers having a 

general circulation in Ireland as selected by the Irish Paying Agent and approved by the 

Trustee (after consultation with the Irish Paying Agent) provided that if the Issuer 

procures that the information concerned in such notice appears on a page of the Reuters 

screen or Bloomberg or any other medium for electronic display of data as may be 

previously approved in writing by the Trustee (in each case a "Relevant Screen") 

publication in a newspaper shall not be required with respect to such information. The 

Issuer shall reasonably ensure that notices are duly published in a manner which 

complies with the rules and regulations of any stock exchange or the relevant authority 

on which the Notes are for the time being listed or admitted to trading. Any such 

notice shall be deemed to have been given on the date of such publication or if 

published more than once or on different dates, on the first date on which publication 

shall have been made in the newspaper or newspapers in which (or on the Relevant 

Screen on which) publication is required. 

17. Additional Issuances 

(a) 

The Issuer may from time to time, without the consent of the Noteholders create and 

issue further notes having the same terms and conditions as existing Classes of Notes, 

and will use the proceeds of sale thereof to purchase additional Collateral Debt 

Obligations and, if applicable, enter into additional Interest Rate Hedge Agreements 

and/or Currency Hedge Agreements, in connection with the Issuer's issuance of, and 

- 264 -

making payments on, the Notes and ownership of and disposition of the Collateral Debt 

Obligations, provided that the following conditions are met: 

(i) 

(ii) 

(iii) 

(iv) 

(v) 

(vi) 

(vii) 

(viii) 

(ix) 

such additional issuances may not exceed 50 per cent. in the aggregate of the 

original principal amounts of each applicable Class of Notes; 

such additional Notes must be issued for a cash sales price and the net 

proceeds invested in Collateral Debt Obligations or, pending such investment 

during the Investment Period, deposited in the Unused Proceeds Account or, 

thereafter, deposited in the Principal Account and, in each case, invested in 

Eligible Investments; 

such additional notes must be of each Class of Notes and issued in a 

proportionate amount among the Classes so that the respective proportions of 

aggregate principal amount of the Classes of Notes existing immediately prior 

to such additional issuance remain unchanged following such additional 

issuance (save with respect to Class F Subordinated Notes as described in 

paragraph (b) below); 

save to the extent otherwise provided below, the terms (other than the date of 

issuance, the issue price and the date from which interest will accrue) of such 

Notes must be identical to the terms of the previously issued Notes of the 

Class of which such Notes are a part; 

the ratings on each class of the Rated Notes must at such time be no lower 

than the original ratings assigned on the Closing Date; 

the Issuer must receive Rating Agency Confirmation in respect of such 

additional issuance; 

the holders of the Class F Subordinated Notes shall have been notified in 

writing 30 days prior to such issuance and shall have been afforded the 

opportunity to purchase additional Class F Subordinated Notes in an amount 

not to exceed the percentage of the Class F Subordinated Notes each holder 

held immediately prior to the issuance (the "Anti-Dilution Percentage") of 

such additional Class F Subordinated Notes and on the same terms offered to 

investors generally; 

such additional issuance is in accordance with all applicable laws including, 

without limitation, the securities and banking laws and regulations of Ireland; 

and 

such additional issuances will be listed on the Irish Stock Exchange. 

(b) 

In addition, the Issuer may issue and sell additional Class F Subordinated Notes 

(without issuing Notes of any other Class) provided that: 

(i) 

the subordination terms of such Class F Subordinated Notes are identical to 

the terms of the previously issued Class F Subordinated Notes; 

- 265 -

(ii) 

(iii) 

(iv) 

(v) 

the scheduled maturity date of such Class F Subordinated Notes is not prior to 

the Maturity Date of the previously issued Class F Subordinated Notes; 

each other term of such Class F Subordinated Notes (other than the issue price 

thereof) is no more favourable to the purchasers thereof than the 

corresponding terms of the previously issued Class F Subordinated Notes; 

such additional Class F Subordinated Notes are issued for a cash sales price 

(the net proceeds to be (i) invested in Collateral Debt Obligations or Eligible 

Investments or (ii) paid into the Interest Account and used to make payments 

on any Payment Date in accordance with the Priorities of Payment or, pending 

such investment or payment, deposited in the Unused Proceeds Account and 

invested in Eligible Investments); 

the requirements of paragraphs (vi) to (viii) (inclusive) of Condition 17(a) 

above would be satisfied in relation to such additional issuance of Class F 


References in these Conditions to the "Notes" include (unless the context requires 

otherwise) any further notes issued pursuant to this Condition and forming a single 

series with the Notes. Any further securities forming a single series with Notes 

constituted by the Trust Deed or any deed supplemental to it shall, and any other 

securities may (with the consent of the Trustee), be constituted by a deed supplemental 

to the Trust Deed. 

Noteholders should note that any further securities that are treated for non-tax purposes 

as a single series with the previously issued Notes may be treated as a separate series 

for U.S. federal income tax purposes. In such case, the additional Notes may be 

considered to have been issued with "original issue discount", which may affect the 

market value of the previously issued Notes since such additional Notes may not be 

distinguishable from the previously issued Notes. 

18. Combination Notes 

Except as otherwise expressly provided in these Conditions, the Components of the 

Combination Notes will be treated as Notes of the Classes represented by such 

Components for the purposes of requests, demands, authorisations, directions, notices, 

consents, waivers or other actions. The holders of Combination Notes shall be entitled 

to vote in respect of each Class of Notes related to a Component of the Combination 

Notes, in the proportion that such Component bears to the principal amount of the 

related Class of Notes. 

19. Third Party Rights 

No person shall have any rights to enforce any term or condition of the Notes under the 

Contracts (Rights of Third Parties) Act 1999 but this does not effect any right or 

remedy of a third party which exists or is available apart from under that Act. 

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20. Governing Law 

(a) 

Governing Law 

The Trust Deed and each Class of Notes are governed by and shall be construed in 

accordance with English law. 

(b) 

Jurisdiction 

The courts of England are to have jurisdiction to settle any disputes which may arise 

out of or in connection with the Notes, and accordingly any legal action or proceedings 

arising out of or in connection with the Notes ("Proceedings") may be brought in such 

courts. The Issuer has in the Trust Deed irrevocably submitted to the jurisdiction of 

such courts and waives any objection to Proceedings in any such courts whether on the 

ground of venue or on the ground that the Proceedings have been brought in an 

inconvenient forum. This submission is made for the benefit of each of the 

Noteholders and the Trustee and shall not limit the right of any of them to take 

Proceedings in any other court of competent jurisdiction nor shall the taking of 

Proceedings in one or more jurisdictions preclude the taking of Proceedings in any 

other jurisdiction (whether concurrently or not). 

(c) 

Agent for Service of Process 

The Issuer appoints Clifford Chance Secretaries Limited at 10 Upper Bank Street, 

London E14 5JJ as its agent in England to receive service of process in any 

Proceedings in England based on any of the Notes. If for any reason the Issuer does 

not have such agent in England, it will promptly appoint a substitute process agent and 

notify the Trustee and the Noteholders of such appointment. Nothing herein shall 

affect the right to service of process in any other manner permitted by law. 

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FORM OF THE NOTES 

General 

Each Class of Notes will, on the Closing Date, be represented by a Reg S Global Note and a 

Rule 144A Global Note in bearer form. 

The Global Notes will be deposited on or about the Closing Date with J.P. Morgan Bank 

Luxembourg S.A. as Depository pursuant to the terms of the Depository Agreement. 

The Depository will issue a certificated depository interest in respect of each of the Global 

Notes to the Common Depository registered in the name of its nominee with Euroclear and 

Clearstream, Luxembourg, such CDIs representing a 100 per cent. interest in the underlying 

Global Note relating thereto. The Depository, acting as agent of the Issuer, will maintain a 

book-entry system in which it will register the Common Depository or a nominee of the 

Common Depository as owner of the certificated depository interests. 

Upon confirmation to the Common Depository that the Depository has custody of the relevant 

Global Notes and acceptance by the Common Depository of the CDIs, Euroclear or 

Clearstream, Luxembourg will record Book-Entry Interests representing beneficial interests in 

the relevant CDIs attributable thereto. 

For the avoidance of doubt, all references in this section to a "Book-Entry Interest" in a Reg 

S Global Note or a Rule 144A Global Note shall be construed as a reference to a Book-Entry 

Interest in the CDIs attributable thereto. 

Book-Entry Interests in respect of Notes will be recorded in minimum denominations of 

€250,000 or integral multiples of €5,000 (an "Authorised Denomination"). Ownership of 

Book-Entry Interests will be limited to persons that have accounts with Euroclear or 

Clearstream, Luxembourg ("Participants") or persons that hold interests in the Book-Entry 

Interests through Participants ("Indirect Participants"), including, as applicable, banks, 

brokers, dealers and trust companies that clear through or maintain a custodial relationship 

with Euroclear or Clearstream, Luxembourg, either directly or indirectly. Indirect Participants 

shall also include persons that hold beneficial interests through such Indirect Participants. 

Book-Entry Interests will not be held in definitive form. Instead, Euroclear and Clearstream, 

Luxembourg will credit the participants' accounts with the respective Book-Entry Interests 

beneficially owned by such Participants on each of their respective book-entry registration and 

transfer systems. The accounts to be credited shall be designated by the Initial Purchaser of 

the Notes. Ownership of Book-Entry Interests will be shown on, and transfers of Book-Entry 

Interests or the interests therein will be effected only through, records maintained by 

Euroclear or Clearstream, Luxembourg (with respect to the interests of their Participants) and 

on the records of Participants or Indirect Participants (with respect to the interests of Indirect 

Participants). The laws of some jurisdictions or other applicable rules may require that certain 

purchasers of securities take physical delivery of such securities in definitive form. The 

foregoing limitations may therefore impair the ability to own, transfer or pledge Book-Entry 

Interests. 

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So long as the Depository or its nominee is the holder of the Global Notes underlying the 

Book-Entry Interests, the Depository or such nominee, as the case may be, will be considered 

the sole Noteholder, for all purposes under the Trust Deed. Except as set forth below under "- 

Issuance of Definitive Notes", Participants or Indirect Participants will not be entitled to have 

Notes registered in their names, will not receive or be entitled to receive physical delivery of 

Notes in definitive bearer or registered form and will not be considered the holders thereof 

under the Trust Deed. Accordingly, each person holding a Book-Entry Interest must rely on 

the rules and procedures of the Depository and Euroclear or Clearstream, Luxembourg and 

Indirect Participants must rely on the procedures of the Participant or Indirect Participants 

through which such person owns its interest in the relevant Book-Entry Interests, to exercise 

any rights and obligations of a holder of Notes under the Trust Deed. See "- Action in Respect 

of the Global Notes and the Book-Entry Interests". 

Unlike legal owners or holders of the Notes, holders of the Book-Entry Interests will not have 

the right under the Trust Deed to act upon solicitations by the Issuer or consents or requests 

by the Issuer for waivers or other actions from Noteholders. Instead, a holder of Book-Entry 

Interests will be permitted to act only to the extent it has received appropriate proxies to do so 

from Euroclear or Clearstream, Luxembourg and, if applicable, their Participants. There can 

be no assurance that procedures implemented for the granting of such proxies will be 

sufficient to enable holders of Book-Entry Interests to vote on any requested actions on a 

timely basis. Similarly, upon the occurrence of an Event of Default under the Global Notes, 

holders of Book-Entry Interests will be restricted to acting through Euroclear or Clearstream, 

Luxembourg and the Depository unless and until Definitive Notes are issued in accordance 

with the Conditions. There can be no assurance that the procedures to be implemented by 

Euroclear, Clearstream, Luxembourg and the Depository under such circumstances will be 

adequate to ensure the timely exercise of remedies under the Trust Deed. 

Unless and until Book-Entry Interests are exchanged for Definitive Notes, the CDIs held by 

the Common Depository may not be transferred except as a whole by the Common Depository 

to a successor of the Common Depository. 

Purchasers of Book-Entry Interests in a Global Note will hold Book-Entry Interests in the 

Global Notes relating thereto. Investors may hold their Book-Entry Interests in respect of a 

Global Note directly through Euroclear or Clearstream, Luxembourg (in accordance with the 

provisions set forth under "Transfer and Transfer Restrictions"), if they are Participants, or 

indirectly through organisations which are Participants. Euroclear and Clearstream, 

Luxembourg will hold Book-Entry Interests in each Global Note on behalf of the Participants 

through securities accounts in the respective Participants' names on Euroclear's and 

Clearstream, Luxembourg's respective book-entry registration and transfer systems. 

Although Euroclear and Clearstream, Luxembourg have agreed to certain procedures to 

facilitate transfers of Book-Entry Interests among the Participants, they are under no 

obligation to perform or continue to perform such procedures, and such procedures may be 

discontinued at any time. None of the Issuer, the Trustee or any of their respective agents will 

have any responsibility for the performance by Euroclear or Clearstream, Luxembourg or 

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their respective Participants of their respective obligations under the rules and procedures 

governing their operations. 

Payments on Global Notes 

Payment of principal of and interest on, and any other amount due in respect of, the Global 

Notes will be made by the Principal Paying Agent on behalf of the Issuer to the Depository as 

the holder thereof. Each holder of Book-Entry Interests must look solely to Euroclear or 

Clearstream, Luxembourg for its share of any amounts paid by or on behalf of the Issuer to 

the Depository in respect of those Book-Entry Interests. Upon receipt of any payment of 

principal or interest or any other amount in respect of a Global Note, the Depository will 

distribute all such payments to the Common Depository or the nominee for the Common 

Depository. All such payments will be distributed without deduction or withholding for any 

taxes, duties, assessments or other governmental charges of whatever nature except as may be 

required by law. If any such deduction or withholding is required to be made, then neither the 

Issuer nor any other person will be obliged to pay additional amounts in respect thereof. 

In accordance with the rules and procedures for the time being of Euroclear or, as the case 

may be, Clearstream, Luxembourg, after receipt of any payment from the Depository to the 

Common Depository, the respective systems will promptly credit their Participants' accounts 

with payments in amounts proportionate to their respective ownership of Book-Entry Interests 

as shown in the records of Euroclear or of Clearstream, Luxembourg. The Issuer expects that 

payments by Participants or Indirect Participants to owners of interests in Book-Entry Interests 

held through such Participants or Indirect Participants will be governed by standing customer 

instructions and customary practices, as is now the case with the securities held for the 

accounts of customers in bearer form or registered in "street name", and will be the 

responsibility of such Participants or Indirect Participants. None of the Issuer, the Trustee or 

any other agent of the Issuer or the Trustee will have any responsibility or liability for any 

aspect of the records relating to or payments made on account of a Participant's ownership of 

Book-Entry Interests or for maintaining, supervising or reviewing any records relating to a 

Participant's ownership of Book-Entry Interests. 

Information Regarding Euroclear and Clearstream, Luxembourg 

Euroclear and Clearstream, Luxembourg have advised the Issuer as follows: 

Euroclear and Clearstream, Luxembourg 

Euroclear and Clearstream, Luxembourg each hold securities for their account holders and 

facilitate the clearance and settlement of securities transactions by electronic book-entry 

transfer between their respective account holders, thereby eliminating the need for physical 

movements of certificates and any risk from lack of simultaneous transfers of securities. 

Euroclear and Clearstream, Luxembourg each provide various services including safekeeping, 

administration, clearance and settlement of internationally traded securities and securities 

lending and borrowing. Euroclear and Clearstream, Luxembourg each also deal with domestic 

securities markets in several countries through established depository and custodial 

relationships. The respective systems of Euroclear and of Clearstream, Luxembourg have 

- 270 -

established an electronic bridge between their two systems across which their respective 

account holders may settle trades with each other. 

Account holders in both Euroclear and Clearstream, Luxembourg are worldwide financial 

institutions including underwriters, securities brokers and dealers, banks, trust companies and 

clearing corporations. Indirect access to both Euroclear and Clearstream, Luxembourg is 

available to other institutions that clear through or maintain a custodial relationship with an 

account holder of either system. 

An account holder's overall contractual relations with either Euroclear or Clearstream, 

Luxembourg are governed by the respective rules and operating procedures of Euroclear or 

Clearstream, Luxembourg and any applicable laws. Both Euroclear and Clearstream, 

Luxembourg act under such rules and operating procedures only on behalf of their respective 

account holders, and have no record of or relationship with persons holding through their 

respective account holders. 

The Issuer understands that under existing industry practices, if either the Issuer or Trustee 

requests any action of owners of Book-Entry Interests or if an owner of a Book-Entry Interest 

desires to give instructions or take any action that a holder is entitled to give or take under the 

Trust Deed, Euroclear or Clearstream, Luxembourg would authorise the Participants owning 

the relevant Book-Entry Interests to give instructions or take such action, and such 

Participants would authorise Indirect Participants to give or take such action or would 

otherwise act upon the instructions of such Indirect Participants. 

Redemption 

In the event that any Global Note (or portion thereof) is redeemed, the Depository will deliver 

all amounts received by it in respect of the redemption of such Global Note to the nominee of 

the Common Depository and, upon final payment, surrender such Global Note (or portion 

thereof) to or to the order of the Principal Paying Agent for cancellation. The redemption 

price payable in connection with the redemption of Book-Entry Interests will be equal to the 

amount received by the Depository in connection with the redemption of the Global Note 

relating thereto. For any redemptions of a Global Note in part, the Depository shall allocate 

reductions in the principal amount outstanding on a pro rata basis among the CDIs. Upon any 

redemption in part, the Depository will cause the Principal Paying Agent to mark down or to 

cause to be marked down the schedule to such Global Note by the principal amount so 

redeemed. 

Issuance of Definitive Notes 

Holders of Book-Entry Interests in a Rule 144A Global Note or Reg S Global Note will be 

entitled to receive Registered Definitive Notes in exchange for their respective holdings of 

Book-Entry Interests if (i) both Euroclear and Clearstream, Luxembourg are closed for 

business for a continuous period of 14 calendar days (other than by reason of holiday, 

statutory otherwise) or announce an intention permanently to cease business and do so cease to 

do business and no alternative clearing system satisfactory to the Trustee is available, or (ii) if 

the Depository notifies the Issuer that it is at any time unwilling or unable to continue as 

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Depository and a successor Depository is not able to be appointed by the Issuer with the prior 

written consent of the Trustee within 90 calendar days of such notification, or (iii) a notice has 

been given by the Trustee pursuant to Condition 10(b) (Acceleration) to the Issuer, or (iv) the 

Issuer would suffer a material disadvantage in respect of the Notes as a result of a change in 

the laws or regulations (taxation or otherwise) (or in the interpretation, application or 

administration of the same) of any applicable jurisdiction (including payments being made net 

of tax), which would not be suffered were the relevant Notes in definitive form and a 

certificate to such effect signed by two directors of the Issuer is delivered to the Trustee. Any 

Registered Definitive Notes issued in exchange for Book-Entry Interests in a Rule 144A 

Global Note or a Reg S Global Note will be registered by a registrar in such name or names 

as the Depository shall instruct the Principal Paying Agent based on the instructions of 

Euroclear or Clearstream, Luxembourg. It is expected that such instructions will be based 

upon directions received by Euroclear or Clearstream, Luxembourg from their Participants 

with respect to ownership of the relevant Book-Entry Interests. Holders of Registered 

Definitive Notes issued in exchange for Book-Entry Interests in a Rule 144A Global Note or a 

Reg S Global Note, as the case may be, will not be entitled to exchange such Registered 

Definitive Note for Book-Entry Interests in a Reg S Global Note or a Rule 144A Global Note, 

as the case may be. Any Notes issued in definitive form will be issued in registered form 

only. 

Action in Respect of the Global Notes and the Book-Entry Interests 

Not later than ten calendar days after receipt by the Depository of any notices in respect of the 

Global Notes or any notice of solicitation of consents or requests for a waiver or other action 

by the holder of the Global Notes, the Depository will deliver to Euroclear and Clearstream, 

Luxembourg a notice containing (a) such information as is contained in such notice, (b) a 

statement that at the close of business on a specified record date Euroclear and Clearstream, 

Luxembourg will be entitled to instruct the Depository as to the consent, waiver or other 

action, if any, pertaining to the Book-Entry Interests or the Global Notes and (c) a statement 

as to the manner in which such instructions may be given. Upon the written request of 

Euroclear and Clearstream, Luxembourg the Depository shall endeavour insofar as practicable 

to take such action regarding the requested consent, waiver or other action in respect of the 

Book-Entry Interests or the Global Notes in accordance with any instructions set forth in such 

request. Euroclear or Clearstream, Luxembourg are expected to follow the procedures 

described under "General" above with respect to soliciting instructions from their respective 

Participants. The Depository will not exercise any discretion in the granting of consents or 

waivers or the taking of any other action in respect of the Book-Entry Interests or the Global 

Notes. 

Reports 

The Depository will immediately, and in no event later than ten calendar days from receipt, 

send to Euroclear and Clearstream, Luxembourg a copy of any notices, reports and other 

communications received relating to the Issuer, the Global Notes or the Book-Entry Interests. 

All notices regarding the Global Notes will be sent to Euroclear, Clearstream, Luxembourg, 

and the Depository. In addition, notices regarding the Notes will be published in a leading 

- 272 -

newspaper having a general circulation in Ireland (which so long as the Notes are admitted to 

and listed on the Irish Stock Exchange is expected to be the Irish Times); provided that if, at 

any time, the Issuer procures that the information concerned in such notice shall appear on a 

page of the Reuters Screen, the Bloomberg Screen, or any other medium for electronic display 

of data as may be previously approved in writing by the Trustee and the Portfolio Manager, 

publication in any such leading newspaper shall not be required with respect to such 

information. 

Action of Depository 

Subject to certain limitations, upon the occurrence of an Event of Default with respect to the 

Global Notes, or in connection with any other right of the holder of the Global Notes under 

the Trust Deed or the Depository Agreement, if requested in writing by Euroclear or 

Clearstream, Luxembourg (acting on the instructions of their respective Participants in 

accordance with their respective procedures), the Depository will take any such action as shall 

be requested in such notice, subject to, if required by the Depository, such security or 

indemnity satisfactory to the Depository from the Participants against the costs, expenses and 

liabilities that the Depository might properly incur in compliance with such request. 

Charges of Depository 

The Issuer has agreed to pay all charges of the Depository under the Depository Agreement. 

The Issuer has also agreed to indemnify the Depository against certain liabilities incurred by it 

under the Depository Agreement. 

Amendment and Termination 

The Depository Agreement may be amended by agreement among the Issuer, the Depository 

and the Trustee. The consent of Euroclear, Clearstream, Luxembourg or the holders of any 

Book-Entry Interests shall not be required in connection with any amendment made to the 

Depository Agreement (i) to cure any inconsistency, omission, defect or ambiguity in such 

Agreement; (ii) to add to the covenants and agreements of the Depository or the Issuer; (iii) to 

effect the assignment of the Depository's rights and duties to a qualified successor; (iv) to 

comply with the Securities Act, the Exchange Act or the US Investment Company Act of 

1940, as amended; or (v) to modify, alter, amend or supplement the Depository Agreement in 

any other manner that is not adverse to Euroclear, Clearstream, Luxembourg and the holders 

of Book-Entry Interests. Except as set forth above, no amendment that adversely affects 

Euroclear, Clearstream, Luxembourg or the holders of the Book-Entry Interests may be made 

to the Depository Agreement or the Book-Entry Interests without the consent of Euroclear, 

Clearstream, Luxembourg or the holders of any Book-Entry Interests. 

Upon the issuance of Definitive Notes, the Depository Agreement will be terminated. 

Resignation or Removal of Depository 

The Depository may at any time resign as Depository upon 60 calendar days' written notice 

delivered to each of the Issuer and the Trustee. The Issuer may by board resolution remove 

the Depository at any time upon 60 calendar days' written notice. No resignation or removal 

- 273 -

of the Depository and no appointment of a successor Depository shall become effective until 

(i) the acceptance of appointment by the successor Depository or (ii) the issue of Definitive 

Notes. 

Obligation of Depository 

The Depository will assume no obligation or liability under the Depository Agreement other 

than to act in good faith in the performance of its duties under such agreement. 

The Depository will only be liable to perform such duties as are expressly set out in the 

Depository Agreement. The Depository Agreement contains provisions relieving the 

Depository from liability and permitting it to refrain from acting in certain circumstances. The 

Depository Agreement also contains provisions permitting any entity into which the 

Depository is merged or converted or with which it is consolidated or any successor in 

business to the Depository to become the successor Depository. 

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THE PORTFOLIO 

Introduction 

Pursuant to the Portfolio Management Agreement, the Portfolio Manager is required to act as 

the Issuer's portfolio manager with respect to the Portfolio, to act in specific circumstances in 

relation to the Portfolio on behalf of the Issuer and to carry out the duties and functions 

described below. In addition, pursuant to the Collateral Administration Agreement, the 

Collateral Administrator is required to perform certain calculations in relation to the Portfolio 

on behalf of the Issuer. 

Acquisition of Collateral Debt Obligations 

The Issuer or the Portfolio Manager, on behalf of the Issuer, will purchase a portfolio of 

Collateral Debt Obligations selected by the Portfolio Manager on or prior to the Closing Date 

and during the Investment Period. 

On or around the Closing Date, the Portfolio Manager will provide to the Issuer a list of 

Collateral Debt Obligations which the Portfolio Manager reasonably expects to purchase on 

behalf of the Issuer prior to the Effective Date (the Collateral Debt Obligations on such list as 

amended from time to time by substitutions permitted under this paragraph, the "Target 

Portfolio"). Collateral Debt Obligations not contained in the Target Portfolio may not be 

purchased by the Portfolio Manager on behalf of the Issuer unless the Portfolio Manager 

substitutes them for Collateral Debt Obligations in the Target Portfolio, which may only be 

done if (1) after giving effect to such substitutions, the Target Portfolio satisfies the Moody's 

Metric Test, and the Interim Weighted Average Spread Test or (2) immediately prior to such 

substitutions, either the Moody's Metric Test or the Interim Weighted Average Spread Test 

was not satisfied, the extent of the non-compliance of the Target Portfolio with such test(s) is 

no worse after giving effect to such substitution than it was immediately prior thereto. 

The Issuer anticipates that (i) by the Closing Date, it will have purchased or entered into 

agreements to purchase Collateral Debt Obligations representing approximately 65 per cent. 

of the Target Par Amount of Collateral Debt Obligations to be purchased by the Issuer from 

the proceeds of the issuance of the Notes and (ii) by the date seven calendar months after the 

Closing Date ("Interim Ramp-Up Test Date"), the Interim Ramp-Up Amount Test, the 

Moody's Metric Test and the Interim Weighted Average Spread Test will be satisfied 

(together, the "Interim Ramp-Up Tests", and each of which, for the purposes of the Interim 

Ramp-Up Tests will be based on the Target Portfolio). In the event that any of the Interim 

Ramp-Up Tests are not satisfied on the Interim Ramp-Up Test Date any new Collateral Debt 

Obligation that the Portfolio Manager proposes to be included in the Portfolio after such date 

may only be purchased if either (a) in relation to such unsatisfied Interim Ramp-Up Test(s), 

the purchase of such Collateral Debt Obligation will cause the value of such Interim Ramp-Up 

Test to be maintained or improved after giving effect to such purchase and in relation to such 

Interim Ramp-Up Tests that were satisfied on the Interim Ramp-Up Test Date, such Interim 

Ramp-Up Tests continue to be satisfied after giving effect to such purchase or (b) the Portfolio 

Manager provides Moody's and S&P with a plan detailing how such Interim Ramp-Up Tests 

will be satisfied going forward after giving effect to such purchase and Rating Agency 

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Confirmation has been obtained in relation to such plan. The proceeds of the issue of the 

Notes remaining after payment of the acquisition costs for the Collateral Debt Obligations 

acquired by the Issuer on or prior to the Closing Date and the payment of certain fees and 

expenses will be deposited in the Unused Proceeds Account on the Closing Date. The 

Portfolio Manager, acting on behalf of the Issuer, shall use all commercially reasonable 

efforts to purchase Collateral Debt Obligations out of the Balance standing to the credit of the 

Unused Proceeds Account during the Investment Period. 

If on the Determination Date immediately preceding the Payment Date falling on 15 January 

2007 any of the Collateral Quality Tests are not satisfied or if the Aggregate Principal Balance 

of all Collateral Debt Obligations is less than the Target Par Amount (provided that for the 

purpose of determining the Aggregate Principal Balance as provided above, any repayments 

or prepayments of any Collateral Debt Obligations subsequent to the date of acquisition 

thereof and not subsequently reinvested shall be added to the Aggregate Principal Balance of 

Collateral Debt Obligations), the Portfolio Manager, acting on behalf of the Issuer, shall 

notify the Rating Agencies and if notified in writing to do so by either of the Rating Agencies, 

shall cease to acquire Collateral Debt Obligations until such time as (i) the Portfolio Manager, 

acting on behalf of the Issuer, has prepared and presented to the Rating Agencies a plan 

setting forth the timing and manner of acquisition of additional Collateral Debt Obligations or 

any other intended action which will cause the Collateral Quality Tests to be satisfied and 

(ii) Rating Agency Confirmation has been obtained in relation to such plan. If all of the 

Collateral Quality Tests are satisfied at the Determination Date immediately preceding the 

Payment Date falling on 15 January 2007 then there is no requirement to notify the Rating 

Agencies. 

The Portfolio Manager will use all reasonable endeavours to procure that, on the Interim 

Ramp-Up Test Date, those Collateral Debt Obligations held or committed to be purchased, 

satisfy the Interim Ramp-Up Tests. 

Other than as regards certain limited tests required under the Portfolio Management 

Agreement, the Issuer does not expect, and is not required to, satisfy the Collateral Quality 

Tests, Percentage Limitations and the Coverage Tests prior to the Effective Date. The 

Portfolio Manager may declare that the Investment Period has ended and the Effective Date 

has occurred prior to 15 January 2007 upon satisfaction of the Coverage Tests, the Percentage 

Limitations and the Collateral Quality Tests. 

It is anticipated that approximately 85 per cent. of the Target Par Amount as at the Effective 

Date will comprise Collateral Debt Obligations denominated in euro and the remainder will 

comprise Collateral Debt Obligations denominated in other currencies. 

The Portfolio Manager, acting on behalf of the Issuer, shall request that each of the Rating 

Agencies confirm the ratings assigned to the Rated Notes on the Closing Date within 60 days 

of the Effective Date. Upon confirmation by the Rating Agencies of such ratings, the Balance 

standing to the credit of the Unused Proceeds Account shall be transferred to the Principal 

Account. In case of an Effective Date Rating Event, the Balance standing to the credit of the 

Unused Proceeds Account will, on the Business Day prior to the Payment Date falling 

immediately after the Effective Date, be transferred to the Payment Account and shall be 

- 276 -

deemed to constitute Principal Proceeds which, subject to payment of all prior amounts, shall 

be applied in redemption of the Rated Notes pursuant to the Priorities of Payment. 

The Collateral Debt Obligations will be constituted and/or evidenced by the various loan 

documents, trust deeds, indentures and other similar instruments applicable thereto. 

Eligibility Criteria 

Each Collateral Debt Obligation must, at the time of entering into a binding commitment to 

acquire such obligation by, or on behalf of, the Issuer, satisfy the following "Eligibility 

Criteria": 

(a) 

(b) 

(c) 

(d) 

(e) 

(f) 

(g) 

it is an obligation in respect of which the Obligor (or the guarantor of such Obligor) is 

incorporated in, or has its principal place of business in, a Tier I Qualifying Country or 

a Tier II Qualifying Country, as determined by the Portfolio Manager; 

it is an Assignment of, or Participation in, a Secured Senior Loan, an Unsecured 

Senior Loan or a Mezzanine Obligation (and for the avoidance of doubt, a PIK Only 

Obligation) or a transfer of, to the extent applicable, an Assignment or Participation of 

a High Yield Bond or is a Synthetic Security, the Reference Obligation of which is a 

Secured Senior Loan, a Mezzanine Obligation (for the avoidance of doubt, including a 

PIK Only Obligation), an Unsecured Senior Loan or a High Yield Bond; 

it is denominated in euro or, subject to the applicable hedging requirements detailed in 

the Portfolio Management Agreement and the Hedging Procedures, Sterling, U.S. 

Dollars, Canadian Dollars, Swedish Krona, Danish Krone, Swiss Francs, Norwegian 

Krone or any other currency in respect of which Rating Agency Confirmation has been 

received and is not convertible into or payable in any other currency; 

it is not Margin Stock as defined under Regulation U issued by The Board of 

Governors of the Federal Reserve System; 

it is not a Defaulted Obligation or a Collateral Debt Obligation which, in the Portfolio 

Manager's judgment (which shall not be called into question as a result of subsequent 

events), has a significant risk of declining in credit quality and becoming a Defaulted 

Obligation or a Current Pay Obligation; 

it is capable of being sold, transferred or assigned to the Issuer and by the Issuer in 

accordance with the provisions of the relevant Collateral Debt Obligation or being the 

subject of a participation or sub-participation to the Issuer (or will be on the date upon 

which such Collateral Debt Obligation is to be acquired by or on behalf of the Issuer); 

it will not result in the imposition of any present or future, actual or contingent, 

monetary liabilities or obligations of the Issuer other than those (i) which may arise at 

its option; or (ii) which are fully collateralised (for the purposes of this sub-clause (g), 

an Offsetting Credit Default Swap shall be deemed to be fully collateralised where the 

related Reference Obligation is a Collateral Debt Obligation); or (iii) which are owed 

to the agent bank in relation to the performance of its duties under a syndicated Senior 

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Loan or Mezzanine Obligation (and, for the avoidance of doubt, payments to the agent 

bank shall be paid as Administrative Expenses) or (iv) save for a Revolving Obligation 

or a Delayed Drawdown Obligation, under which the Issuer is obliged to provide 

future advances or other payments to the relevant Obligor; 

(h) 

(i) 

(j) 

(k) 

(l) 

(m) 

(n) 

(o) 

(p) 

(q) 

it has been assigned or otherwise has an S&P public or shadow rating (provided that 

for this paragraph (h), an S&P public or shadow rating that is derived from a Moody's 

Rating shall be taken into account) of at least B- and a Moody's Rating (provided that 

for this paragraph (h) negative downgrade and positive upgrade watches shall not be 

taken into account in the determination of the Moody's Rating and that a Moody's 

Rating that is derived from a S&P rating shall not be taken into account) of at least B3; 

it is not, at the time of purchase, the subject of an offer of exchange, conversion or 

tender by its Obligor, for cash, securities or any other type of consideration (other than 

for an obligation which is an eligible Collateral Debt Obligation meeting the 

Reinvestment Criteria), it has not been called for, and no notice of early redemption in 

whole (but not in part) has been issued in respect of, such Collateral Debt Obligation 

and at the time of purchase it is not convertible into equity at the option of the Obligor; 

except for a PIK Only Obligation it is contractually provided to make interest payments 

no less frequently than annually; 

it is not a lease; 

it is not a catastrophe bond or a debt obligation the repayment of which is subject to 

substantial non-credit related risk as determined by the Portfolio Manager (which 

determination shall not be called into question as a result of subsequent events); 

other than in respect of Long Dated Collateral Debt Obligations, the Stated Maturity 

thereof falls prior to the Maturity Date of the Notes; 

in the case of a Collateral Debt Obligation that is an obligation of a company that is 

incorporated or established in the United States or a sovereign issuer of the United 

States, or otherwise bearing interest that arises, for U.S. federal income tax purposes, 

from sources within the United States, it is Registered; 

it is not convertible at the option of the Obligor; 

it provides for a fixed payment of principal at or before its maturity; and 

upon acquisition, the Collateral Debt Obligation is capable of being, and will be, the 

subject of a first fixed charge, a first priority security interest in favour of the Trustee 

for the benefit of the Secured Parties pursuant to the Trust Deed (or any deed or 

document supplement thereto or other arrangement which has the same commercial 

effect). 

The subsequent failure of any Collateral Debt Obligation to satisfy any of the Eligibility 

Criteria at any time after entry into a binding commitment to purchase such obligation shall 

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not cause such obligation to cease being a Collateral Debt Obligation so long as such 

obligation satisfied the Eligibility Criteria when purchased by or on behalf of the Issuer. 

Notwithstanding the foregoing nor any provision of the Portfolio Management Agreement 

which imposes restrictions or conditions on the sale or disposal of any Collateral Debt 

Obligations, the Portfolio Manager, acting on behalf of the Issuer, may sell any Collateral 

Debt Obligation in the event that it determines, at any time after the date of the acquisition 

thereof, that such Collateral Debt Obligation (contrary to the opinion of the Portfolio Manager 

at such time) did not in fact satisfy one or more of the Eligibility Criteria at the time of the 

acquisition thereof, provided that this shall in no way lessen the obligation of the Portfolio 

Manager to ensure that each Collateral Debt Obligation satisfies each of the Eligibility Criteria 

at the time of entry into a binding commitment to purchase in accordance with the provisions 

of the Portfolio Management Agreement. 

Management of the Portfolio 

Overview 

The Portfolio Manager (acting on behalf of the Issuer) is permitted in certain circumstances 

and, subject to certain requirements (including confirmation, in respect of certain matters, 

from the Collateral Administrator), all as set out below, to sell Collateral Debt Obligations, 

Credit Improved Obligation, Credit Impaired Obligation, Defaulted Obligations, Exchanged 

Equity Securities or Exchanged Debt Obligation and to reinvest the sale proceeds thereof in 

Substitute Collateral Debt Obligations which meet the Reinvestment Criteria and the 

Eligibility Criteria. The Collateral Administrator shall determine and shall provide 

confirmation of whether certain of the criteria which are required to be satisfied in connection 

with any such sale or reinvestment are satisfied or, if any such criteria are not satisfied, shall 

notify the Portfolio Manager of the reasons and the extent to which such criteria are not so 

satisfied, following a request by the Portfolio Manager, which request shall specify all 

necessary details of the Collateral Debt Obligation, Credit Improved Obligation, Credit 

Impaired Obligation, Defaulted Obligation, Exchanged Equity Security or Exchanged Debt 

Obligation to be sold and the proposed Substitute Collateral Debt Obligation to be purchased. 

The Portfolio Manager will manage the Collateral Debt Obligations (including all Substitute 

Collateral Debt Obligations) to be purchased by the Issuer or the Portfolio Manager on its 

behalf taking into account the Eligibility Criteria and, where applicable, the Reinvestment 

Criteria and will monitor the performance and credit quality of the Collateral Debt Obligations 

on an ongoing basis to the extent practicable using sources of information reasonably available 

to it and provided that the Portfolio Manager shall not be responsible for determining whether 

or not the terms of any individual Collateral Debt Obligation have been observed. 

Sale of Collateral Debt Obligations – Overview 

Subject to satisfaction of the conditions referred to below, the Portfolio Manager, acting on 

behalf of the Issuer, may sell Collateral Debt Obligations held by or on behalf of the Issuer 

(subject to no Event of Default having occurred which is continuing) in the following 

circumstances: 

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(a) 

at any time any: 

(i) 

(ii) 

(iii) 

(iv) 

(v) 

Defaulted Obligation; 

Exchanged Equity Security; 

Exchanged Debt Obligation; 

Credit Impaired Obligation; or 

Credit Improved Obligation; 

(b) 

during the Reinvestment Period (in addition to the Collateral Debt Obligations 

described in paragraph (a) above), any Collateral Debt Obligations provided that all 

such sales do not exceed 20 per cent, in any annual period (as more fully described 

below) of the Aggregate Collateral Balance at the beginning of such period. 

In addition to the Portfolio Manager's discretion to sell Exchanged Equity Securities on behalf 

of the Issuer, the Portfolio Manager (acting on behalf of the Issuer) shall be required to sell 

Exchanged Equity Securities in certain circumstances and with certain time limits as further 

described below. 

During the Reinvestment Period (a) all proceeds (including sale proceeds representing accrued 

interest designated as Principal Proceeds by the Portfolio Manager but excluding any sale 

proceeds representing accrued deferred interest not so designated and any fees other than loan 

acquisition fees) received upon the sale (or, in respect of any Defaulted Obligation, recovery) 

of any Collateral Debt Obligation, Collateral Enhancement Obligation, Exchanged Equity 

Security or Exchanged Debt Obligation and (b) in the case of any Non-Euro Obligation, either 

(x) the euro amount payable to the Issuer by the Currency Hedge Counterparty in exchange 

for the net proceeds of sale of such Non-Euro Obligation pursuant to the applicable Currency 

Hedge Agreement or (y) in the case of Sale Proceeds denominated in a currency other than 

Euro received in relation to a Non-Euro Obligation which are to be retained by the Issuer and 

reinvested in Substitute Collateral Debt Obligations which are Non-Euro Obligations 

denominated in the same currency, the Sale Proceeds received in respect thereof, in each case, 

net of any amounts expended by or payable by the Portfolio Manager or the Collateral 

Administrator (in each case, on behalf of the Issuer) in connection with such sale or other 

disposition and, for the avoidance of doubt, net of any amounts payable upon termination of 

the relevant Interest Rate Hedge Agreement or Currency Hedge Agreement (other than 

accrued interest on such Collateral Debt Obligations included in Interest Proceeds by the 

Portfolio Manager) shall be applied towards the purchase of Substitute Collateral Debt 

Obligations in accordance with the Reinvestment Criteria and the Portfolio Management 

Agreement, as applicable, or, at the election of the Portfolio Manager at any time after the 

Non-Call Period, shall be applied in accordance with the Priorities of Payment on the next 

succeeding Payment Date. 

After the Reinvestment Period, any Sale Proceeds (other than those relating to Credit 

Improved Obligations or Credit Impaired Obligations, as more particularly described below) 

shall not be reinvested in Substitute Collateral Debt Obligations, but shall be paid into the 

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Principal Account and shall be applied in accordance with the Priorities of Payment on the 

next succeeding Payment Date. 

Discretionary Reinvestment during the Reinvestment Period 

During the Reinvestment Period only, the Portfolio Manager (acting on behalf of the Issuer) 

may dispose of any Collateral Debt Obligation (other than a Credit Improved Obligation, a 

Credit Impaired Obligation, a Defaulted Obligation, an Exchanged Equity Security or an 

Exchange Debt Obligation which may only be sold in the circumstances provided below) and 

reinvest the Sale Proceeds thereof in Substitute Collateral Debt Obligations subject to: 

(a) 

(b) 

to the Portfolio Manager's knowledge, no Event of Default having occurred which is 

continuing; 

the Portfolio Manager certifying that it believes that in its reasonable business 

judgement (which shall not be called into question as a result of subsequent events): 

(i) 

(ii) 

(iii) 

such Sale Proceeds can be reinvested within 20 Business Days of settlement in 

accordance with the Reinvestment Criteria; 

after giving effect to such sale and reinvestment, the Reinvestment Criteria 

will be met; and 

after giving effect to such sale and reinvestment and in relation to Sterling 

Proceeds only, the Sterling Reinvestment Criteria will be met; 

(c) 

(d) 

(e) 

the Collateral Administrator confirming that the Aggregate Principal Balances of 

Collateral Debt Obligations sold (in each case, excluding any Credit Improved 

Obligations, Credit Impaired Obligations, Exchanged Equity Securities, Exchanged 

Debt Obligations or Defaulted Obligations sold) in any year (with each year 

commencing on the Effective Date or, as the case may be, the anniversary thereof, and 

ending on the next succeeding anniversary thereof) when aggregated with the 

Aggregate Principal Balance of any Collateral Debt Obligations to be sold (in each 

case, excluding any Credit Improved Obligations, Credit Impaired Obligations, 

Exchanged Equity Securities, Exchanged Debt Obligations or Defaulted Obligations 

sold), does not exceed 20 per cent. of the Aggregate Collateral Balance, measured as at 

the beginning of each such year; 

the Aggregate Principal Balance of all Collateral Debt Obligation will be at least 

maintained, taking only into account the sale and purchase; and 

neither of the following has occurred and is continuing: 

(i) 

the ratings assigned by Moody's to any of the Class A Notes or the Class B 

Notes have been reduced by Moody's by one sub-category or more from the 

Initial Ratings or are withdrawn by Moody's; or 

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(ii) 

the ratings assigned by Moody's to any of the Class C Notes, the Class D 

Notes or the Class E Notes have been reduced by Moody's by two 

sub-categories or more from the Initial Ratings or are withdrawn by Moody's. 

Even if the above is continuing, if a majority of the Controlling Class approve such 

sale and reinvestment, the Portfolio Manager can still proceed with such sale and 

reinvestment. 

Conditions applicable to the Sale of Credit Improved Obligations 

Subject to the terms of the Portfolio Management Agreement, the Portfolio Manager (acting 

on behalf of the Issuer) may sell Credit Improved Obligations at any time. 

During the Reinvestment Period, the Portfolio Manager (acting on behalf of the Issuer) may 

(i) reinvest the Sale Proceeds thereof in Substitute Collateral Debt Obligations, (ii) direct the 

Account Bank to procure that the Sale Proceeds thereof are paid into the Principal Account or 

the GBP Principal Account pending reinvestment in Substitute Collateral Debt Obligations or 

(iii) deposit the Sale Proceeds in the Principal Account or the GBP Principal Account to be 

disbursed in accordance with the Priorities of Payment on the first Payment Date following 

such sale. 

Following the Reinvestment Period, the Portfolio Manager (acting on behalf of the Issuer) 

may (i) reinvest the Sale Proceeds thereof in Substitute Collateral Debt Obligations, (ii) direct 

the Account Bank to procure that the Sale Proceeds thereof are paid into the Principal Account 

or the GBP Principal Account pending reinvestment in Substitute Collateral Debt Obligations 

or (iii) deposit the Sale Proceeds in the Principal Account or the GBP Principal Account to be 


such sale. 

To the extent that the Sale Proceeds are to be reinvested, the Portfolio Manager shall use all 

reasonable efforts to reinvest such Sale Proceeds by the end of the Due Period following the 

Due Period in which the relevant sale was settled. 

Any sale of a Credit Improved Obligation during the Reinvestment Period shall be subject to: 

(a) 

(b) 


continuing; 

the Portfolio Manager certifying that it believes that in its reasonable business 

judgement (which shall not be called into question as a result of subsequent events); 

(i) 

(ii) 

such Collateral Debt Obligation constitutes a Credit Improved Obligation; 

to the extent relevant, the Sale Proceeds thereof can be reinvested within 

20 Business Days of the settlement of such sale in accordance with the 

Reinvestment Criteria; and 

- 282 -

(iii) 

after giving effect to such sale and reinvestment, the Reinvestment Criteria 

and, in relation to Sterling Proceeds only the Sterling Reinvestment Criteria 

will be met; 

(c) 

to the extent relevant, the Portfolio Manager using all reasonable efforts to invest such 

Sale Proceeds within 20 Business Days of the settlement of such sale in accordance 

with the Reinvestment Criteria. 

Any sale of a Credit Improved Obligation after the Reinvestment Period shall be subject to: 

(a) 

(b) 


continuing; and 

in the event that the Portfolio Manager does not intend to reinvest the Sale Proceeds of 

such Credit Improved Obligation, the Portfolio Manager certifying that it believes that 

in its reasonable business judgement (which shall not be called into question as a result 

of subsequent events): 

(i) 

(ii) 

such Collateral Debt Obligation constitutes a Credit Improved Obligation; and 

after giving effect to such sale, the Coverage Tests and Collateral Quality 

Tests will be satisfied or, to the extent that the Coverage Tests and/or 

Collateral Quality Tests are not satisfied immediately prior to such sale, the 

extent of non-compliance will not be made worse as a result of such sale; or 

(c) 

in the event that the Portfolio Manager does intend to reinvest the Sale Proceeds of 

such Credit Improved Obligation, the Portfolio Manager certifying that it believes that 

in its reasonable business judgement (which shall not be called into question as a result 

of subsequent events); 

(i) 

(ii) 

(iii) 

such Collateral Debt Obligation constitutes a Credit Improved Obligation; 

the Sale Proceeds thereof can be reinvested within 20 Business Days of the 

settlement of such sale in accordance with the Reinvestment Criteria; and 

after giving effect to such sale and reinvestment, the Coverage Tests, 

Collateral Quality Tests, the Reinvestment Criteria and, in relation to Sterling 

Proceeds only, the Sterling Reinvestment Criteria will be met. 

Conditions applicable to the Sale of Credit Impaired Obligations or Defaulted Obligations 

Subject to the terms of the Portfolio Management Agreement, Credit Impaired Obligations or 

Defaulted Obligations may be sold at any time by the Portfolio Manager (acting on behalf of 

the Issuer) subject to: 

(a) 

(b) 


continuing; 

the Portfolio Manager certifying that it believes, in its reasonable business judgement 

(which shall not be called into question as a result of subsequent events), that such 

- 283 -

Collateral Debt Obligation is a Credit Impaired Obligation or a Defaulted Obligation 

and that, to the extent relevant, the Sale Proceeds thereof are intended to be reinvested 

by the end of the Due Period following the Due Period in which the relevant sale was 

settled; and 

during the Reinvestment Period, the Portfolio Manager (acting on behalf of the Issuer) may 

(i) reinvest the Sale Proceeds of any Credit Impaired Obligation or Defaulted Obligation in 

Substitute Collateral Debt Obligations provided that such reinvestment satisfies the 

Reinvestment Criteria, (ii) direct the Custodian to procure that the Sale Proceeds thereof are 

paid into the Principal Account or the GBP Principal Account pending reinvestment in 

Substitute Collateral Debt Obligations or (iii) deposit the Sale Proceeds in the Principal 

Account or the GBP Principal Account to be disbursed in accordance with the Priorities of 

Payment on the first Payment Date following such sale. 

Following the Reinvestment Period, the Portfolio Manager (acting on behalf of the Issuer) 

may (i) reinvest the Sale Proceeds of any Credit Impaired Obligation in Substitute Collateral 

Debt Obligations, (ii) direct the Custodian to procure that the Sale Proceeds thereof are paid 

into the Principal Account or the GBP Principal Account pending reinvestment in Substitute 

Collateral Debt Obligations or (iii) deposit the Sale Proceeds in the Principal Account to be 


such sale subject to satisfaction of the Reinvestment Criteria. 

To the extent that the Sale Proceeds are to be reinvested the Portfolio Manager shall use all 



Sale of Exchanged Equity Securities and Exchanged Debt Obligations 

The Portfolio Manager (acting on behalf of the Issuer) may sell any Exchanged Equity 

Security or any Exchanged Debt Obligation at any time both during and following expiry of 

the Reinvestment Period following receipt of an Exchanged Equity Security (if applicable) or 

Exchanged Debt Security subject to: 

(a) 

(b) 


continuing; and 

the Portfolio Manager certifying that it believes in its reasonable business judgement 

(which shall not be called into question as a result of subsequent events) that such 

security is an Exchanged Equity Security or Exchanged Debt Obligation and that, after 

giving effect to any reinvestment, the Reinvestment Criteria (determined for this 

purpose by reference to the proportion of the Principal Balance of the relevant 

Defaulted Obligation or Collateral Debt Obligation, as the case may be, that converted 

into, or was exchanged for, such Exchanged Equity Security or such, where 

applicable, Exchanged Debt Obligation) will be met. 

During the Reinvestment Period, the Portfolio Manager shall use reasonable commercial 

efforts to apply the Sale Proceeds of any such Exchanged Equity Security or Exchanged Debt 

Obligation in the acquisition of Substitute Collateral Debt Obligations prior to the end of the 

- 284 -

Due Period in which such Sale Proceeds were received subject always to the satisfaction of 

the Reinvestment Criteria (determined for this purpose by reference to the proportion of the 

Principal Balance of the relevant Defaulted Obligation or Collateral Debt Obligation, as the 

case may be, that was converted into, or was exchanged for, such Exchanged Equity Security 

or Exchanged Debt Obligation) following such sale and purchase. 

To the extent that the Sale Proceeds are to be reinvested, the Portfolio Manager shall use all 



In addition to the Portfolio Manager's discretion to sell (on behalf of the Issuer) Exchanged 

Equity Securities as provided above, the Portfolio Manager shall be required to use 

commercially reasonable efforts to sell such obligations (on behalf of the Issuer) in the 

circumstances described below: 

(a) 

in the case of an Exchanged Equity Security received in connection with an optional 

conversion, within five Business Days of the later of: 

(i) 

(ii) 

the first date on which the Issuer may, in compliance with applicable laws, 

legally sell, assign or transfer such Exchanged Equity Security; and 

notice of receipt by the Issuer of legal title to such Exchanged Equity Security; 

or 

(b) 

(c) 

within 60 days after the first date on which the Issuer may, in compliance with 

applicable laws, legally sell, assign or transfer such Exchanged Equity Security, in the 

event that any of the Coverage Tests or the Collateral Quality Tests are not met at the 

time of such exchange (unless acquired in connection with a default or similar event 

under such Collateral Debt Obligation); or 

otherwise, at any time after the first date on which the Issuer may, in compliance with 

applicable laws, legally sell, assign or transfer such Exchanged Equity Security, in all 

other cases. 

After the Reinvestment Period, such Sale Proceeds shall be deposited in the Principal Account 

and disbursed in accordance with the Priorities of Payment on the Payment Date following 

such sale. 

Unscheduled Principal Proceeds 

The Portfolio Manager (acting on behalf of the Issuer) may, subject at all times to the 

Eligibility Criteria and Reinvestment Criteria, reinvest Unscheduled Principal Proceeds 

received at any time, both during and (subject as provided below) following the expiry of the 

Reinvestment Period, subject to, to the Portfolio Manager's knowledge, no Event of Default 

having occurred that is continuing. Unscheduled Principal Proceeds which constitute cash 

received on Defaulted Obligations, however, may not be reinvested after the end of the 

Reinvestment Period. The Portfolio Manager shall use all commercially reasonable efforts to 

apply Unscheduled Principal Proceeds in the acquisition of one or more Substitute Collateral 

- 285 -

Debt Obligations satisfying the Reinvestment Criteria prior to the end of the Due Period 

immediately following the Due Period in which such Unscheduled Principal Proceeds were 

received. 

After the expiry of the Reinvestment Period, Unscheduled Principal Proceeds not reinvested 

prior to the end of the Due Period immediately following the Due Period in which such 

proceeds were received shall be paid into the Principal Account or the GBP Principal Account 

and disbursed in accordance with the Priorities of Payment on the next following Payment 

Date. 

Scheduled Principal Proceeds 

During the Reinvestment Period the Portfolio Manager (acting on behalf of the Issuer) shall 

use all commercially reasonable efforts to apply Scheduled Principal Proceeds in the 

acquisition of one or more Substitute Collateral Debt Obligations satisfying the Reinvestment 

Criteria prior to the end of the Due Period immediately following the Due Period in which 

such Scheduled Principal Proceeds were received subject to, to the Portfolio Manager's 

knowledge, no Event of Default having occurred which is continuing. 

After the expiry of the Reinvestment Period, any Scheduled Principal Proceeds that have not 

been so reinvested shall be paid into the Principal Account or the GBP Principal Account and 

disbursed in accordance with the Priorities of Payment on the next following Payment Date. 

Sale of Collateral Prior to Maturity Date 

In the event of any redemption of the Notes in whole prior to the Maturity Date, the Portfolio 

Manager, on behalf of the Issuer, shall use all commercially reasonable efforts to procure the 

liquidation of the Collateral so that the proceeds thereof are in immediately available funds not 

later than one Business Day prior to such scheduled Redemption Date. The settlement dates 

for any such sales of Collateral Debt Obligations, Collateral Enhancement Obligations and 

Exchanged Equity Securities shall be no later than one Business Day prior to the applicable 

scheduled Redemption Date. 

Reinvestment Criteria 

During the Reinvestment Period 

During the Reinvestment Period and subject to compliance with the Portfolio Management 

Agreement, the Portfolio Manager (acting on behalf of the Issuer) shall use its commercially 

reasonable efforts to reinvest Principal Proceeds in the purchase of Substitute Collateral Debt 

Obligations satisfying the Eligibility Criteria provided that immediately after each such 

purchase or immediately after the cancellation of any Offsetting Credit Default Swap without 

an associated sale of the underlying Reference Obligation, the criteria set out below at 

paragraph (i) (the "Reinvestment Criteria") must be satisfied and in relation to Sterling 

Proceeds only additional criteria as set out in the Sterling Reinvestment Criteria must also be 

satisfied: 

- 286 -

The Reinvestment Criteria during the Reinvestment Period 

(i) 

(ii) 

(iii) 

(iv) 

to the Portfolio Manager's knowledge, no Event of Default has occurred that is 

continuing at the time of such purchase; 

the Collateral Quality Tests are satisfied or, if any Collateral Quality Test is not 

satisfied, such Collateral Quality Test is no worse after giving effect to such 

reinvestment(s) than it was immediately prior to or, in the case of a Credit Impaired 

Obligation, Defaulted Obligation, Exchanged Equity Security and Exchanged Debt 

Obligation, following the sale of the related Collateral Debt Obligation, save that this 

paragraph (ii) shall not apply in respect of the CDO Monitor Test in relation to the 

reinvestment(s) of Sale Proceeds from Credit Impaired Obligations, Defaulted 

Obligations, Exchanged Equity Securities and Exchanged Debt Obligations; 

the Percentage Limitations are satisfied or, if any such Percentage Limitation is not 

satisfied, in the case of any such Percentage Limitation (i) in respect of which an upper 

limit is applicable, the relevant concentration is no greater, and (ii) in respect of which 

a lower limit is applicable, the relevant concentration is no lesser, in each case after 

giving effect to such reinvestment(s) than it was immediately prior to (or, in the case of 

a Credit Impaired Obligation, Defaulted Obligation, Exchanged Equity Security and 

Exchanged Debt Obligation following) the sale of the related Collateral Debt 

Obligation; and 

the Coverage Tests are satisfied or, in the case of any reinvestment(s) of Principal 

Proceeds (excluding Defaulted Obligations, Exchanged Equity Securities and 

Exchanged Debt Securities) if as calculated immediately upon receipt of the Principal 

Proceeds being reinvested any Coverage Test was not satisfied (other than Principal 

Proceeds received in respect of any Defaulted Obligation), the coverage ratio relating 

to such Coverage Test will be at least as close to being satisfied after giving effect to 

such reinvestment(s) than it was immediately prior to (or, in the case of a Credit 

Impaired Obligation, following) the sale of the related Collateral Debt Obligation. 

The subsequent failure of any Collateral Debt Obligation to satisfy any of the Eligibility 

Criteria at any time after its acquisition shall not cause such obligation to cease being a 

Collateral Debt Obligation so long as such obligation satisfied the Eligibility Criteria when 

purchased by or on behalf of the Issuer. 

In accordance with the preceding provisions, and at the discretion of the Portfolio Manager 

(acting within the mandate granted to it under the Portfolio Management Agreement), the 

Portfolio Manager may use Principal Proceeds in payment into the Principal Account or the 

GBP Principal Account (for Sterling Proceeds only) for application in redemption of the Notes 

in accordance with the Priorities of Payment on the next following Payment Date. If, in 

accordance with the preceding provisions, the Coverage Tests are not satisfied the Portfolio 

Manager shall apply Principal Proceeds in payment into the Principal Account for application 

in accordance with the Priorities of Payment on the next following Payment Date. 

- 287 -



Obligation, the Portfolio Manager, acting on behalf of the Issuer, may sell any Collateral Debt 

Obligation in the event that it determines, at any time after the date of the acquisition thereof, 

that such Collateral Debt Obligation (contrary to the opinion of the Portfolio Manager at such 

time) did not in fact satisfy one or more of the Eligibility Criteria, the Sterling Reinvestment 

Criteria and/or the Reinvestment Criteria at the time of the acquisition thereof, provided that 

this shall in no way lessen the obligation of the Portfolio Manager to ensure that each 

Collateral Debt Obligation satisfied each of the Eligibility Criteria, the Sterling Reinvestment 

Criteria and the Reinvestment Criteria at the time of acquisition in accordance with the 

provisions of the Portfolio Management Agreement. 

Following the Expiry of the Reinvestment Period 

Following the expiry of the Reinvestment Period and subject to compliance with the Portfolio 

Management Agreement, Unscheduled Principal Proceeds (excluding the recoveries from 

Defaulted Obligations which have defaulted after the expiry of the Reinvestment Period) and 

the Sale Proceeds from the sale of Credit Improved Obligations and Credit Impaired 

Obligations only can be reinvested by the Portfolio Manager (acting on behalf of the Issuer) in 

one or more Substitute Collateral Debt Obligations satisfying the Eligibility Criteria in each 

case provided that immediately after each such purchase or immediately after the cancellation 

of any Offsetting Credit Default Swap without an associated sale of the underlying Reference 

Obligation, the criteria set out below (the "Reinvestment Criteria") is satisfied: 

(a) 

(b) 

(c) 

to the Portfolio Manager's knowledge, no Event of Default has occurred that is 

continuing at the time of such reinvestment; 

the Coverage Tests and the Collateral Quality Tests (except the CDO Monitor Test and 

the Moody's Weighted Average Rating Factor Test) are satisfied; 

neither of the following has occurred and is continuing: 

(i) 

(ii) 

the ratings assigned by Moody's to any of the Class A Notes or the Class B 

Notes have been reduced by Moody's by one sub-category or more from the 

Initial Ratings or are withdrawn by Moody's; or 

the ratings assigned by Moody's to any of the Class C Notes, the Class D 

Notes or the Class E Notes have been reduced by Moody's by two 

sub-categories or more from the Initial Ratings or are withdrawn by Moody's; 

(d) 

(e) 

the concentration of Caa rated assets is lower than or equal to 7.5 per cent. of the 

Aggregate Collateral Balance; 

if the S&P CDO Evaluator Test is not satisfied, the S&P Rating of the Substitute 

Collateral Debt Obligation or Substitute Collateral Debt Obligations is equal to or 

greater than (A) in the case of Unscheduled Principal Proceeds, the S&P Rating of the 

Collateral Debt Obligation or Collateral Debt Obligations that was the source of such 

- 288 -

Unscheduled Principal Proceeds or (B) in the case of Sale Proceeds, the S&P rating of 

the sold Collateral Debt Obligation or Collateral Debt Obligations; and 

(f) 

if the S&P CDO Evaluator Test is not satisfied, the maturity of the Substitute 

Collateral Debt Obligation or Substitute Collateral Debt Obligations is equal to or less 

than (A) in the case of Unscheduled Principal Proceeds, the maturity of the Collateral 

Debt Obligation or Collateral Debt Obligations that was the source of such 

Unscheduled Principal Proceeds or (B) in the case of Sale Proceeds, the maturity of the 

sold Collateral Debt Obligation or Collateral Debt Obligations, 

where the "S&P CDO Evaluator Test" is an evaluator based test similar to the CDO 

Monitor Test to be supplied by S&P. 

After the Reinvestment Period but in accordance with the preceding provisions, the Portfolio 

Manager shall apply Principal Proceeds in payment into the Principal Account for application 

in accordance with the Priorities of Payment on the next following Payment Date. 



Obligation, the Portfolio Manager, acting on behalf of the Issuer, may sell any Collateral Debt 

Obligation in the event that it determines, at any time after the date of the acquisition thereof, 

that such Collateral Debt Obligation (contrary to the opinion of the Portfolio Manager at such 

time) did not in fact satisfy one or more of the Eligibility Criteria and/or the Reinvestment 

Criteria at the time of the acquisition thereof, provided that this shall in no way lessen the 

obligation of the Portfolio Manager to ensure that each Collateral Debt Obligation satisfied 

each of the Eligibility Criteria and the Reinvestment Criteria at the time of acquisition in 

accordance with the provisions of the Portfolio Management Agreement. 

Following the expiry of the Reinvestment Period, any Unscheduled Principal Proceeds and 

any Sale Proceeds from the sale of Credit Improved Obligations and Credit Impaired 

Obligations shall be paid into the Principal Account or the GBP Principal Account and may be 

designated for reinvestment in Substitute Collateral Debt Obligations subject to the 

Reinvestment Criteria specified above at the discretion of the Portfolio Manager (acting on 

behalf of the Issuer) up to the end of the Due Period immediately following the Due Period in 

which such Unscheduled Principal Proceeds or, as the case may be, Sale Proceeds were 

received. To the extent that such Unscheduled Principal Proceeds or Sale Proceeds 

designated for reinvestment are not so reinvested, such proceeds shall be paid into the 

Principal Account or the GBP Principal Account and disbursed in accordance with the 

Priorities of Payment on the next following Payment Date. 

Block Trades 

The requirements described herein with respect to the Portfolio shall be deemed to be satisfied 

upon any sale and/or purchase of Collateral Debt Obligations on any day in the event that 

such Collateral Debt Obligations satisfy such requirements in aggregate rather than on an 

individual basis. 

- 289 -

Collateral Enhancement Obligations 

The Issuer or the Portfolio Manager (acting on behalf of the Issuer) may, from time to time, 

purchase Collateral Enhancement Obligations independently or as part of a unit with the 

Collateral Debt Obligations being so purchased. The amounts which may be applied by the 

Portfolio Manager (acting on behalf of the Issuer) in the acquisition of Collateral 

Enhancement Obligations shall be limited to the Balance standing to the credit of the 

Collateral Enhancement Account from time to time. To the extent that there are insufficient 

sums standing to the credit of the Collateral Enhancement Account from time to time to 

purchase or exercise rights under Collateral Enhancement Obligations which the Portfolio 

Manager purchases or exercises on behalf of the Issuer the Portfolio Manager or one of its 

Affiliates may, at its discretion, pay a Portfolio Manager Advance equal to each amount 

required in order to fund such purchase or exercise to such account pursuant to the terms of 

the Portfolio Management Agreement. All such Portfolio Manager Advances shall be repaid 

out of the Balance standing to the credit of the Collateral Enhancement Account from time to 

time and to the extent not repaid therefrom, out of Interest Proceeds and Principal Proceeds 

on each Payment Date pursuant to paragraph (AA) of Condition 3(c)(ii) (Application of 

Interest Proceeds) and paragraph (U) of Condition 3(c)(iii) (Application of Principal 

Proceeds). The Portfolio Manager (acting on behalf of the Issuer) may sell Collateral 

Enhancement Obligations at any time and shall procure that the proceeds of sale thereof 

together with all other Distributions received in respect of Collateral Enhancement Obligations 

are paid into the Collateral Enhancement Account. 

Exercise of Warrants and Options 

The Portfolio Manager, acting on behalf of the Issuer, may at any time exercise a warrant or 

an option attached to a Collateral Debt Obligation or comprised in a Collateral Enhancement 

Obligation and, if the Portfolio Manager exercises any such right on behalf of the Issuer, it 

shall request the Trustee to instruct the Account Bank to make any necessary payment (for the 

avoidance of doubt from the Collateral Enhancement Account or through a Portfolio Manager 

Advance) pursuant to a duly completed form of instruction. 

Special Situation Investments 

The Issuer or the Portfolio Manager may (acting within the mandate granted to it under the 

Portfolio Management Agreement) from time to time during the Reinvestment Period direct 

that moneys on deposit in the Interest Account and/or the GBP Interest Account, as 

applicable, or the Principal Account and/or the GBP Principal Account, as applicable, (or any 

combination of such Accounts) be used for the purpose of providing additional capital to 

Obligors of any Collateral Debt Obligations previously acquired by the Issuer provided that: 

(a) 

(b) 

in the event that the Portfolio Manager so directs the use of amounts from the Interest 

Account or the GBP Interest Account, the Interest Coverage Tests will be satisfied; 

in the event that the Portfolio Manager so directs the use of amounts from the Principal 

Account or the GBP Principal Account, the Moody's Metric Tests, the S&P CDO 

Monitor Test and the Class E Par Value Test will be satisfied; 

- 290 -

(c) 

(d) 

(e) 

(f) 

in the reasonable business judgement of the Portfolio Manager (which shall not be 

called into question as a result of any subsequent event) such additional lending will 

result in an improved financial condition of such Obligor; 

the consideration for such additional lending will be evidenced in the form of a Special 

Situation Investment Obligation of equal or prior ranking to the corresponding 

Collateral Debt Obligation; 

as soon as a Special Situation Investment Obligation satisfies the Eligibility Criteria it 

will be deemed to be a Collateral Debt Obligation for all purposes and shall no longer 

be classified as a Special Situation Investment Obligation; and 

prior to being classified as a Collateral Debt Obligation, all cash and non-cash 

distributions on such Special Situation Investment Obligations shall be treated in the 

same manner as distributions on Collateral Debt Obligations, as applicable. 

Non-Euro Obligations 

The Portfolio Manager may purchase, on behalf of the Issuer, Non-Euro Obligations from 

time to time provided that any such purchase complies with the currency hedging guidelines 

set forth in the Portfolio Management Agreement and the Hedging Procedures which shall 

require the Issuer to enter into certain Currency Hedge Agreements. See "Description of the 

Interest Rate and Currency Hedging Arrangements". 

Synthetic Securities 

The Portfolio Manager, acting on behalf of the Issuer, may from time to time enter into or 

acquire Synthetic Securities. A Synthetic Security is a security denominated in euro (or in one 

of the predecessor currencies of those EU Member States which have adopted the euro as 

their common currency) which may be a swap transaction including, without limitation, a 

credit default swap or total return swap, credit linked note, debt security, security issued by a 

trust or similar vehicle or other investment (excluding any equity investment) purchased from 

or entered into by the Issuer with a Synthetic Counterparty, the returns on which (as 

determined by the Portfolio Manager) are linked to the credit and/or price performance of one 

or more Reference Obligations but which may provide for a different maturity, payment 

dates, interest rate, credit exposure or other credit or non-credit related characteristics than 

such Reference Obligation(s). 

The entry into, or acquisition of, any Synthetic Security will be subject to Rating Agency 

Confirmation (save in relation to a Synthetic Security which is a Form-Approved Synthetic 

Security), which confirmation shall specify whether any Synthetic Security entered into or 

acquired shall be treated as a Secured Senior Loan, Unsecured Senior Loan, Mezzanine 

Obligation or High Yield Bond. For the avoidance of doubt, a Currency Hedge Agreement 

shall not constitute a Synthetic Security if such hedge agreement provides for payments to the 

Issuer denominated in Euro. 

The entry into, or acquisition of, any Synthetic Security will be subject to the receipt of 

Rating Agency Confirmation in respect thereof and to: 

- 291 -

(a) 

(b) 

(c) 

the number of different Interest Rate Hedge Counterparties, Selling Institutions, 

Synthetic Counterparties, Securities Lending Counterparties, Offsetting Credit Default 

Swap Counterparties and Currency Hedge Counterparties (together, the 

"Counterparties" and each a "Counterparty") currently involved in transactions with 

the Issuer not exceeding 20 provided always that where a number of Counterparties are 

guaranteed by a single Counterparty then, for the purposes of this paragraph, such 

Counterparties shall only count as a single Counterparty; and 

at the time such Synthetic Security is acquired, the percentage of the Aggregate 

Collateral Balance that represents Synthetic Securities entered into by the Issuer with a 

single Synthetic Counterparty when combined with the percentage of the Aggregate 

Collateral Balance that represents Participations entered into by the Issuer with such 

Synthetic Counterparty (as a Selling Institution) and the percentage of the Aggregate 

Collateral Balance that represents Offsetting Credit Default Swaps entered into by the 

Issuer with such Synthetic Counterparty (as Offsetting Credit Default Swap 

Counterparty), not exceeding the individual percentage set forth in the Bivariate Risk 

Table determined by reference to the credit rating of such Synthetic Counterparty (or 

any guarantor thereof); and 

at the time such Synthetic Security is acquired, the percentage of the Aggregate 

Collateral Balance that represents Synthetic Securities and/or Offsetting Credit Default 

Swaps entered into by the Issuer with counterparties having the same credit rating will 

not exceed the aggregate percentage set forth in the Bivariate Risk Table. 

As part of the acquisition or entry into of a Synthetic Security which is an unfunded credit 

swap transaction or total return swap transaction, the Issuer shall be required to provide 

Synthetic Collateral the principal amount of which is not less than 100 per cent. of the 

notional amount of such credit swap transaction or total return swap transaction to the 

applicable Synthetic Counterparty which it will deposit in the Synthetic Collateral Account as 

security for its payment obligations to the Synthetic Counterparty under the Synthetic 

Security. Subject as provided below, the Issuer may purchase such Synthetic Collateral 

notwithstanding that it may not satisfy the Eligibility Criteria (provided that such Synthetic 

Collateral may not include Margin Stock or any security the acquisition of which would cause 

the breach of applicable selling or transfer restrictions or of applicable Irish laws relating to 

the offering of securities or of collective investment schemes). For the purposes of the 

Portfolio Management Agreement, the purchase price of any Collateral Debt Obligation that is 

a Synthetic Security shall include the principal amount of any Synthetic Collateral required to 

be posted. The Issuer shall grant a first priority security interest in such Synthetic Collateral 

to the related Synthetic Counterparty and a second priority security interest to the Trustee for 

the benefit of the Secured Parties and shall cause the Synthetic Counterparty holding such 

Synthetic Collateral to be notified of and acknowledge such second priority security interest. 

Synthetic Collateral (or any amount received upon liquidation thereof) which ceases to be 

subject to the first priority security interest of a Synthetic Counterparty upon expiration, 

redemption, termination, or sale of a Synthetic Security shall be deemed to constitute: 

- 292 -

(i) 

(ii) 

(iii) 

Sale Proceeds in the event that the Synthetic Security was sold, assigned or terminated 

at the option of the Issuer; or 

Unscheduled Principal Proceeds in the event that the Synthetic Security was subject to 

an early termination other than by or on behalf of the Issuer; or 

Scheduled Principal Proceeds in the event that the Synthetic Security expires at its 

scheduled maturity. 

Interest (or amounts equivalent thereto) received on the Synthetic Collateral shall constitute 

Interest Proceeds and shall be payable into the Interest Account. Upon any release of 

Synthetic Collateral from the first priority security interest in favour of the applicable 

Synthetic Counterparty upon termination or sale of such Synthetic Security or otherwise, such 

Synthetic Collateral will at the discretion of the Portfolio Manager (a) to the extent that it 

satisfies the Eligibility Criteria, be retained and shall constitute a Collateral Debt Obligation 

or (b) in all other circumstances, be sold as soon as reasonably practicable. 

For purposes of the Coverage Tests, the Collateral Quality Tests (other than the S&P 

Minimum Weighted Average Recovery Test and the S&P CDO Monitor Test) and the 

Percentage Limitations set out in the Portfolio Management Agreement, a Synthetic Security 

shall be included as a Collateral Debt Obligation having the relevant characteristics of the 

Synthetic Security and not of the related Reference Obligation, unless the Portfolio Manager 

determines otherwise and receives Rating Agency Confirmation from S&P in respect of such 

determination. For purposes of the S&P CDO Monitor Test and the S&P Minimum Weighted 

Average Recovery Test, a Synthetic Security shall be included as a Collateral Debt Obligation 

having the relevant characteristics of the related Reference Obligation (and the issuer of such 

Synthetic Security shall be deemed to be the issuer of the related Reference Obligation) and 

not of the Synthetic Security, unless the Portfolio Manager determines otherwise and receives 

Rating Agency Confirmation from S&P in respect of such determination. 

The interest rate or coupon of a fixed rate Synthetic Security shall be a fraction, expressed as 

a percentage and annualised, the numerator of which is the current stated periodic payments of 

interest scheduled to be received by the Issuer from the related Synthetic Counterparty and the 

denominator of which is the notional balance of such Synthetic Security. The interest rate or 

spread of a floating rate Synthetic Security shall be a fraction, expressed as a percentage and 

annualised, the numerator of which is the current stated periodic spread over EURIBOR 

scheduled to be received by the Issuer from the related Synthetic Counterparty and the 

denominator of which is the notional balance of such Synthetic Security. 

Credit Short Obligations 

The Portfolio Manager, acting on behalf of the Issuer, may from time to time enter into Credit 

Short Obligations with one or more Credit Short Obligation Counterparties pursuant to which 

the Issuer buys credit protection in respect of a specified Reference Entity in the event of the 

occurrence of specified Credit Events in respect thereof in return for payment of a periodic 

payment or premium by the Issuer to such Credit Short Obligation Counterparty. Such Credit 

Short Obligation may provide for Cash Settlement or Physical Settlement or such alternative 

- 293 -

means pursuant to the relevant Credit Short Obligations thereof following the occurrence of 

such a Credit Event. The entry by the Issuer into a Credit Short Obligation shall be subject to 

receipt of Rating Agency Confirmation (save in relation to a Credit Short Obligation which is 

a Form-Approved Credit Short Obligation) and shall be subject to the premiums payable 

thereunder being payable on an on-going basis. 

In the event that such Credit Short Obligation provides for Cash Settlement, any Cash 

Settlement Amount payable to the Issuer following the occurrence of a Credit Event 

thereunder shall be paid into either the Principal Account or the Interest Account at the 

discretion of the Portfolio Manager (which shall not be called into question as a result of 

subsequent event), acting on behalf of the Issuer at the time of entry by the Issuer into such 

Credit Short Obligation. In the event that any such Credit Short Obligation provides for 

Physical Settlement following the occurrence of a Credit Event, the Portfolio Manager, acting 

on behalf of the Issuer, shall be required to purchase obligations in the amount, of the 

category and with the characteristics of the Deliverable Obligations required to be delivered to 

the applicable Credit Short Obligation Counterparty thereunder, the purchase of which shall 

be funded by the Issuer by making a payment out of the Principal Account or if there are not 

sufficient proceeds to cover such funding then the Short Term Variable Funding Facility 

Account at the discretion of the Portfolio Manager. If there are insufficient funds in the Short 

Term Variable Funding Facility Account then the Credit Short Obligation shall be settled by 

Cash Settlement. The Physical Settlement Amount paid against delivery of such Deliverable 

Obligations shall be paid first into the Principal Account or the Short Term Variable Funding 

Account up to the amount withdrawn from such account to purchase the relevant Deliverable 

Obligations under a Physical Settlement and, in respect of any excess amount, into the Interest 

Account. 

In the event that the applicable Credit Short Obligation is terminated by agreement between 

the two parties thereto, any amount payable by the Issuer to the applicable Credit Short 

Obligation Counterparty upon such termination shall be paid, at the discretion of the Portfolio 

Manager (which shall not be called into question as a result of subsequent events) acting on 

behalf of the Issuer, out of amounts standing to the credit of the Principal Account (provided 

that Moody's Metric Test and the Class E Par Value Test are satisfied) or the Interest Account 

(provided that the Class E Interest Coverage Test is satisfied). 

Any Credit Short Obligation Termination Payments payable by the Issuer shall be paid out of 

the Principal Account (provided that Moody's Metric Test and the Class E Par Value Test are 

satisfied) or the Interest Account (provided that Class E Interest Coverage Test is satisfied), at 

the discretion of the Portfolio Manager, acting on behalf of the Issuer. Defaulted Credit Short 

Obligation Termination Payments may only be paid out of Principal Proceeds to the extent 

that any replacement payment received from the replacement counterparty is sufficient to 

make such payment. 

The entry into, or acquisition of, any Credit Short Obligation will be subject to Rating Agency 

Confirmation (save in relation to a Credit Short Obligation which is a Form-Approved Credit 

Short Obligation) and to: 

- 294 -

(a) 

(b) 

(c) 



Swap Counterparties, Credit Short Obligation Counterparties and Currency Hedge 

Counterparties currently involved in transactions with the Issuer not exceeding 20 

provided always that where a number of Counterparties are guaranteed by a single 

Counterparty then, for the purposes of this paragraph, such Counterparties shall only 

count as a single Counterparty; and 

at the time such Credit Short Obligation is entered into, the percentage of the 

Aggregate Collateral Balance that represents Credit Short Obligations entered into by 

the Issuer with a single Credit Short Obligation Counterparty when combined with the 

percentage of the Aggregate Collateral Balance that represents Participations entered 

into by the Issuer with such Credit Short Obligation Counterparty, if such Synthetic 

Counterparty is also a Selling Institution and the percentage of the Aggregate Collateral 

Balance that represents Synthetic Securities entered into by the Issuer with such Credit 

Short Obligation Counterparty (as a Synthetic Counterparty), not exceeding the 

individual percentage set forth in the Bivariate Risk Table determined by reference to 

the credit rating of such Credit Short Obligation Counterparty (or any guarantor 

thereof); and 

(x) minus (y) being greater than zero, where (x) is: 

(i) 

(ii) 

(iii) 

(iv) 

the current Weighted Average Spread minus the Minimum Weighted Average 

Spread multiplied by; 

the Aggregate Principal Balance of the portfolio multiplied by; 

1 minus (A) the Class A Scenario Loss Rate multiplied by (B) 1 minus the 

S&P Weighted Average Recovery Rate minus 10 per cent. multiplied by; 

the number of years remaining to the Legal final Maturity Date, 

and (y) is the sum of all future premiums that will be due under any Credit Short 

Obligations after taking the Credit Short Obligation due to be entered into account; and 

(d) 

satisfaction of the Interest Coverage Tests, 

at the time such Credit Short Obligation is entered into, the percentage of the Aggregate 

Collateral Balance that represents Synthetic Securities and/or Credit Short Obligation entered 

into by the Issuer with counterparties having the same credit rating will not exceed the 

aggregate percentage set forth in the Bivariate Risk Table. 

The Minimum Weighted Average Spread Test has to be satisfied upon entry into any Credit 


Offsetting Credit Default Swaps 

The Portfolio Manager, acting on behalf of the Issuer, may from time to time enter into 

Offsetting Credit Default Swaps. An Offsetting Credit Default Swap is an unfunded credit 

- 295 -

default swap entered into between the Issuer (as protection buyer) and an Offsetting Credit 

Default Swap Counterparty (as protection seller), the Reference Obligation(s) of which is a 

Collateral Debt Obligation owned by the Issuer, but which may provide for a different 

maturity, payment dates, credit exposure or other credit or non-credit related characteristics 

than such Reference Obligation(s). The maturity of an Offsetting Credit Default Swap shall 

not exceed the maturity of the related Collateral Debt Obligation that is the Reference 

Obligation. 

The entry into, or acquisition of, any Offsetting Credit Default Swap Security will be subject 

to Rating Agency Confirmation (save in relation to an Offsetting Credit Default Swap which is 

a Form-Approved Offsetting Credit Default Swap) and to: 

(a) 

(b) 

(c) 



Swap Counterparties, Credit Short Obligation Counterparties and Currency Hedge 

Counterparties (together, the "Counterparties" and each a "Counterparty") currently 

involved in transactions with the Issuer not exceeding 20 provided always that where a 

number of Counterparties are guaranteed by a single Counterparty then, for the 

purposes of this paragraph, such Counterparties shall only count as a single 

Counterparty; and 

at the time such Offsetting Credit Default Swap is entered into, the percentage of the 

Aggregate Collateral Balance that represents Offsetting Credit Default Swaps entered 

into by the Issuer with a single Offsetting Credit Default Swap Counterparty when 

combined with the percentage of the Aggregate Collateral Balance that represents 

Participations entered into by the Issuer with such Offsetting Credit Default Swap 

Counterparty, if such Synthetic Counterparty is also a Selling Institution and the 

percentage of the Aggregate Collateral Balance that represents Synthetic Securities 

entered into by the Issuer with such Offsetting Credit Default Swap Counterparty (as a 

Synthetic Counterparty), not exceeding the individual percentage set forth in the 

Bivariate Risk Table determined by reference to the credit rating of such Offsetting 

Credit Default Swap Counterparty (or any guarantor thereof); and 

at the time such Offsetting Credit Default Swap is entered into, the percentage of the 

Aggregate Collateral Balance that represents Synthetic Securities and/or Offsetting 

Credit Default Swaps entered into by the Issuer with counterparties having the same 

credit rating will not exceed the aggregate percentage set forth in the Bivariate Risk 

Table. 

At the discretion of the Portfolio Manager, proceeds from an Offsetting Credit Default Swap 

may be designated as Principal Proceeds or Interest Proceeds upon entry into such Offsetting 

Credit Default Swap, and distributed according to the applicable Priorities of Payment, 

provided that in respect of such Interest Proceeds, the Offsetting Credit Default Swap will not 

cover any loss resulting from the default of the underlying Reference Obligation. For the 

avoidance of doubt, irrespective of whether proceeds from an Offsetting Credit Default Swap 

have been deemed as principal or interest, the Principal Balance of all Offsetting Credit 

- 296 -

Default Swaps will in included in the calculation of paragraph (xxi) of the Percentage 

Limitations. 

In the event of any sale, prepayment or repayment of any Collateral Debt Obligation linked to 

an Offsetting Credit Default Swap, if such sale, prepayment or repayment would result in the 

Principal Balance of the related Collateral Debt Obligation being less than the notional amount 

of the relevant Offsetting Credit Default Swap then, at the discretion of the Portfolio 

Manager, (i) all or part, as applicable, of that Offsetting Credit Default Swap will be sold or 

unwound so that its notional amount is less than or equal to the Principal Balance of the 

related Collateral Debt Obligation or (ii) such excess notional amount shall be deemed to be a 

Credit Short Obligation provided that following such sale, prepayment or repayment the 

Weighted Average Spread and all the conditions applicable under S&P criteria for the entering 

into of Credit Short Obligations would be satisfied (for the avoidance of doubt, any related 

Offsetting Credit Default Swap Termination Payment to the relevant Offsetting Credit Default 

Swap Counterparty shall be paid from any sale, prepayment or repayment proceeds of the 

relevant Collateral Debt Obligation). 

Participations 

The Portfolio Manager, acting on behalf of the Issuer, may from time to time acquire 

Collateral Debt Obligations from Selling Institutions by way of Participation provided that: 

(a) 

(b) 

(c) 

(d) 

the entry into any such Participation will not cause the number of different Interest 

Rate Hedge Counterparties, Selling Institutions selling Participations, Synthetic 

Counterparties, Securities Lending Counterparties, Offsetting Credit Default Swap 

Counterparties and Currency Hedge Counterparties currently involved in transactions 

with the Issuer to exceed 20 provided always that where a number of Counterparties 

are guaranteed by a single Counterparty then, for the purposes of this paragraph, such 

Counterparties shall only count as single Counterparty; 

at the time such Participation is acquired, the percentage of the Aggregate Collateral 

Balance that represents Participations entered into by the Issuer with a single Selling 

Institution, when combined with the percentage of the Aggregate Collateral Balance 

that represents Synthetic Securities entered into by the Issuer with such Selling 

Institution, and the percentage of the Aggregate Collateral Balance that represents 

Offsetting Credit Default Swaps entered into by the Issuer with such Selling Institution, 

will not exceed the individual percentage set forth in the Bivariate Risk Table 

determined by reference to the credit rating of such Selling Institution (or any 

guarantor thereof); 

at the time such Participation is acquired, the percentage of the Aggregate Collateral 

Balance that represents Participations entered into by the Issuer with Selling Institutions 

(or any guarantor thereof) having the same credit rating will not exceed the aggregate 

percentage set forth in the Bivariate Risk Table; and 

the Portfolio Manager shall ensure that each Participation is entered into pursuant to a 

standard form Participation Agreement (as published by the Loan Market Association 

- 297 -

or the Loan Syndications and Trading Association, Inc. from time to time) but which 

includes additional limited recourse provisions, in the form or substance of those set 

out in the Portfolio Management Agreement or in such other form or substance in 

respect of which Rating Agency Confirmation has been received save that, in the case 

of each Participation that is committed to be entered into prior to the Closing Date and 

the proposed Participation Agreement in respect of which does not include such 

additional limited recourse provisions, the Portfolio Manager shall use all 

commercially reasonable efforts to have such provisions included in such proposed 

Participation Agreement as soon as is reasonably practicable following the Closing 

Date. 

Securities Lending 

Provided that no Event of Default has occurred, the Portfolio Manager may from time to 

time, acting on behalf of the Issuer, lend Collateral Debt Obligations to a Securities Lending 

Counterparty which satisfies the relevant Rating Requirement. 

Any Securities Lending Agreement entered into by the Issuer with a Securities Lending 

Counterparty shall be subject to Rating Agency Confirmation, provided that such confirmation 

shall not be required from Moody's if such Securities Lending Agreement is in a pre-approved 

form. 

The number of different Securities Lending Counterparties, when added to the number of 

Interest Rate Hedge Counterparties, Selling Institutions, Synthetic Counterparties, Offsetting 

Credit Default Swap Counterparties, Credit Short Obligation Counterparties and Currency 

Hedge Counterparties currently involved in transactions with the Issuer, may not exceed 20. 

At the time a Securities Lending Agreement for a term of one year or more is entered into by 

the Issuer, the percentage of the Collateral Debt Obligations loaned to a single Securities 

Lending Counterparty shall not exceed the individual percentage set forth in Bivariate Risk 

Table for the credit rating of such Securities Lending Counterparty, and the percentage of the 

Collateral Debt Obligations loaned by the Issuer to Securities Lending Counterparties having 

the same credit rating shall not exceed the aggregate percentage set forth in the Bivariate Risk 

Table. In any event, the percentage of Collateral Debt Obligations loaned out to a single 

Securities Lending Counterparty at any time should be no more 5 per cent. of the Aggregate 

Collateral Balance of the Portfolio. 

Such Securities Lending Counterparties may be Affiliates of the Initial Purchaser and/or 

Affiliates of the Portfolio Manager, which may create certain conflicts of interest. See "Risk 

Factors – Certain Conflicts of Interest". 

The duration of any Securities Lending Agreement shall not exceed the Maturity Date of the 

Notes. 

Each Securities Lending Agreement shall be on market terms (except as may be required 

below) and shall: 

- 298 -

(a) 

(b) 

(c) 

(d) 

(e) 

require that the Securities Lending Counterparty return to the Issuer debt obligations 

which are identical (in terms of issue and class) to the loaned Collateral Debt 

Obligations; 

require that the Securities Lending Counterparty pay to the Issuer such amounts as are 

equivalent to all interest and other payments which the owner of the loaned Collateral 

Debt Obligation is entitled to for the period during which the Collateral Debt 

Obligation is loaned; 

provide that a Rating Agency Confirmation shall be required in relation to such 

Securities Lending Agreement; 

be entered into on limited recourse secured terms substantially similar to those 

contained in Condition 4(c) (Limited Recourse); and 

permit the Issuer to assign its rights thereunder to the Trustee pursuant to the Trust 

Deed. 

Each Securities Lending Counterparty shall be required to post with the Custodian collateral 

consisting of cash or direct debt obligations of a Tier I Qualifying Country or of a Tier II 

Qualifying Country and that have a maturity of five years or less (the "Securities Lending 

Collateral") to secure its obligation to return the Collateral Debt Obligations. Such collateral 

will be maintained at all times with the Custodian in an amount equal to at least 105.0 per 

cent. (or such other percentage in respect of which a Rating Agency Confirmation is 

received), of the current market value (determined daily by the related Securities Lending 

Counterparty in accordance with standard market practice and monitored by the Portfolio 

Manager) of the loaned securities. If cash collateral is received by the Custodian, it will be 

invested by the Portfolio Manager in accordance with the relevant Securities Lending 

Agreement. Alternatively, if securities are delivered to the Custodian as security for the 

obligations of the Securities Lending Counterparty under the related Securities Lending 

Agreement, the Portfolio Manager on behalf of the Issuer will negotiate with the Securities 

Lending Counterparty a rate for the loan fee to be paid to the Issuer for lending the loaned 

Collateral Debt Obligations. Such collateral will not constitute Collateral Debt Obligations 

and will not be available to support payments on the Notes unless the related Securities 

Lending Counterparty defaults in its obligation to return the loaned Collateral Debt 

Obligations to the Issuer (see "Risk Factors – Securities Lending"). The loan fee earned by 

the Issuer in respect of any loaned Collateral Debt Obligations will be paid into the Interest 

Account. 

For purposes of the Collateral Quality Tests, Coverage Tests and the Percentage Limitations a 

loaned Collateral Debt Obligation (and the related collateral) shall be treated as if it had not 

been loaned (and the related collateral had not been received), unless the Portfolio Manager 

determines otherwise and receives Rating Agency Confirmation in respect of such 

determination. 

If any Rating Agency downgrades a Securities Lending Counterparty or puts such Securities 

Lending Counterparty on a watch list for a possible downgrade, such that the Securities 

- 299 -

Lending Agreement or Agreements to which the Securities Lending Counterparty is a party no 

longer satisfies the Rating Requirement applicable thereto or if any Collateral Debt Obligation 

lent becomes a Defaulted Obligation, then the Securities Lending Agreement or Agreements 

must provide that it will automatically terminate without any termination cost being payable 

by either party. 

Bivariate Risk Table 

The following is the bivariate risk table (the "Bivariate Risk Table" as referred to under 

"Percentage Limitations and Collateral Quality Tests – Percentage Limitations" below, 

"Management of the Portfolio – Synthetic Securities", "Management of the Portfolio – 

Securities Lending" and "Management of the Portfolio – Participations" above). 

Bivariate Risk Table 

Long-Term Senior Unsecured Debt Rating of Selling 

Institution(s), Securities Lending Counterparty, 

Synthetic Counterparty, Credit Short Obligation Individual Third Party Credit Exposure Limit 

Counterparty or Offsetting Credit Default Swap (with the same or lower rating level not to be lower 

Counterparty 

than A) 

AAA 20% 

AA+ 10% 

AA 10% 

AA– 10% 

A+ 5% 

A 5% 

In aggregate the Third Party Credit Exposure Limit cannot exceed 20%. 

Percentage Limitations and Collateral Quality Tests 

Measurement of Tests 

The Percentage Limitations and the Collateral Quality Tests will be used primarily as the 

criteria for purchasing Collateral Debt Obligations. The Collateral Administrator will 

measure the Percentage Limitations and the Collateral Quality Tests on each Measurement 

Date. 

The Percentage Limitations and the Collateral Quality Tests must be satisfied after giving 

effect to the purchase of any Substitute Collateral Debt Obligation after the Effective Date or, 

during the Reinvestment Period only, if not satisfied prior to such purchase, the relevant 

thresholds and amounts calculated pursuant thereto must be maintained or improved after 

giving effect to such purchase. See "Reinvestment Criteria" above. 

Notwithstanding the foregoing, the failure of the Portfolio to meet the requirements of the 

Percentage Limitations at any time shall not prevent any obligation which would otherwise be 

a Collateral Debt Obligation from being a Collateral Debt Obligation so long as the purchase 

of such Collateral Debt Obligation shall either maintain or improve the status of the Portfolio 

with respect to each requirement of the Percentage Limitations that the Portfolio does not 

meet. 

- 300 -

Percentage Limitations 

The "Percentage Limitations" applicable with respect to the Portfolio are as follows: 

(i) 

(ii) 

(iii) 

(iv) 

(v) 

(vi) 

(vii) 

(viii) 

(ix) 

(x) 

not more than 20 per cent. of the Aggregate Collateral Balance may consist of 

Collateral Debt Obligations that are Synthetic Securities; 


Collateral Debt Obligations that are Participations; 

at least 95 per cent. of the Aggregate Collateral Balance shall consist of Collateral Debt 

Obligations that are Floating Rate Collateral Debt Obligations (including for the 

avoidance of doubt PIK Only Obligation) provided that for the purpose of this 

paragraph (iii), any of the Balances standing to the credit of the Principal Account, the 

GBP Principal Account, the Short Term Variable Funding Facility Account, the Hedge 


Principal Proceeds payable into the Principal Account), the Unused Proceeds Account, 

the Non-Euro Account (to the extent that any such amount represents Principal 

Proceeds) and which have been designated as Principal Proceeds, shall be deemed to be 

Floating Rate Collateral Debt Obligations; 


Collateral Debt Obligations that are Mezzanine Obligations; 

not more than 5 per cent. of the Aggregate Collateral Balance may consist of Collateral 

Debt Obligations that are High Yield Bonds; 


Debt Obligations that are Revolving Obligations or Delayed Drawdown Obligations; 

at least 80 per cent. of the Aggregate Collateral Balance shall consist of Collateral Debt 

Obligations that are Secured Senior Loans provided that for the purpose of this 

paragraph (vii), any of the Balances standing to the credit of the Principal Account, the 

GBP Principal Account, the Short Term Variable Funding Facility Account, the Hedge 


Principal Proceeds payable into the Principal Account or the GBP Principal Account 

(as applicable)), the Unused Proceeds Account, the Non-Euro Account (to the extent 

that any such amount represents Principal Proceeds) and which have been designated as 

Principal Proceeds shall be deemed to be Secured Senior Loans; 


Non-Euro Obligations; 


Debt Obligations that are Unsecured Senior Loans; 


Debt Obligations that are Second Lien Loans provided that this limitation may be 

- 301 -

increased by the lesser of (x) the excess of 15 per cent. over the Aggregate Principal 

Balance of Mezzanine Obligations and (y) 10 per cent.; 

(xi) 

(xii) 

(xiii) 

(xiv) 

(xv) 

(xvi) 

(xvii) 

the limits specified in the Bivariate Risk Table, as determined by reference to the S&P 

Ratings of Selling Institutions, are satisfied; 


Debt Obligations in respect of which withholding tax is deducted and which is not 

grossed-up or recoverable under applicable double tax treaty relief; 

not more than 5 per cent. of the Aggregate Collateral Balance may consist of principal 

only zero coupon Collateral Debt Obligations or PIK Only Obligation; 

not more than 30 per cent. of the Aggregate Collateral Balance may represent 

Collateral Debt Obligations linked to any of a Selling Institution, a Securities Lending 

Counterparty or a Synthetic Counterparty; 

not more than 5 per cent. of the Aggregate Collateral Balance may consist of Long 

Dated Collateral Debt Obligations; 

no single Obligor may represent more than 2.5 per cent. of the Aggregate Collateral 

Balance, save that, 2 Obligors of Senior Loans may each represent up to 3 per cent. of 

the Aggregate Collateral Balance; 

no single Obligor may represent more than 1.5 per cent. of the Aggregate Collateral 

Balance consisting of Collateral Debt Obligations, which are Mezzanine Obligations 

issued by a single Obligor and its Affiliates, save that 2 Obligors of Mezzanine 

Obligations may each represent up to 2 per cent. of the Aggregate Collateral Balance; 

(xviii) no single Obligor may represent more than 1 per cent. of the Aggregate Collateral 

Balance consisting of Collateral Debt Obligations which are High Yield Bonds issued 

by a single Obligor and its Affiliates; 

(xix) 

(xx) 

(xxi) 

(xxii) 


Collateral Debt Obligations that pay interest less frequently than semi-annually 

provided that any amount greater than 5 per cent. of the Aggregate Collateral Balance 

will be hedged pursuant to an applicable Interest Rate Hedge Agreement and is 

reviewed by S&P; 

not more than 7.5 per cent. of the Aggregate Collateral Balance may consist of 

Collateral Debt Obligations that are Current Pay Obligations; 


Offsetting Credit Default Swaps; 

not more than 5 per cent. of the Aggregate Collateral Balance may consist of Special 

Situation Investments; 

- 302 -

(xxiii) not more than 5 per cent. of the Aggregate Collateral Balance may consist of Credit 

Short Obligations; and 

(xxiv) not more than 15 per cent. of the Aggregate Collateral Balance may consist of Tier II 

Qualifying Countries. 

Characteristics of Non-Euro denominated Collateral Debt Obligations 

The aggregate principal balance of such non-Euro denominated Collateral Debt Obligations 

shall for the purposes of the Percentage Limitations be deemed to be converted into Euro at 

the applicable Currency Hedge Transaction Exchange Rate. 

Collateral Quality Tests 

The "Collateral Quality Tests" will consist of the following: 

(a) 

(b) 

(c) 

for so long as any Notes rated by S&P are Outstanding, the S&P CDO Monitor Test 

and the S&P Minimum Weighted Average Recovery Rate Test; 

for so long as any Notes rated by Moody's are Outstanding, the Moody's Metric Test 

and the Maximum Weighted Average Life Test; and 

for so long as any Notes rated by Moody's and/or S&P are Outstanding, the Minimum 

Spread Test and the Maximum Weighted Average Life Test. 

S&P CDO Monitor Test 

The "S&P CDO Monitor Test" means a test which will be satisfied (a) on any date prior to 

the receipt by the Portfolio Manager of the S&P CDO Monitor from S&P and (b) thereafter, 

as of any Measurement Date on or after the Effective Date after giving effect to the purchase 

or sale of a Collateral Debt Obligation, if each of the Class A Loss Differential, the Class B 

Loss Differential, the Class C Loss Differential, the Class D Loss Differential, the Class E 

Loss Differential, the Class P Loss Differential, the Class Q Loss Differential, the Class R 

Loss Differential and the Class S Loss Differential of the Proposed Portfolio (as defined 

below) is (i) zero, (ii) positive or (iii) greater than or equal to the Class A Loss Differential, 

the Class B Loss Differential, the Class C Loss Differential, Class D Loss Differential, the 

Class E Loss Differential, the Class P Loss Differential, the Class Q Loss Differential, the 

Class R Loss Differential or, as the case may be the Class S Loss Differential of the Current 

Portfolio, all in accordance with the provisions set forth in the Portfolio Management 

Agreement. 

The "Class A Loss Differential" is, at any time, the rate calculated by subtracting the 

Class A Scenario Loss Rate (as defined below) from the Class A Break-even Loss Rate (as 

defined below) at such time. 

The "Class A Scenario Loss Rate" is, as of any date of determination, an estimate of the 

cumulative default rate for the Current Portfolio or the Proposed Portfolio, as applicable, 

consistent with a rating of AAA assigned to the Class A Notes by S&P, determined by 

application of the S&P CDO Evaluator on such date. 

- 303 -

The "Class A Break-even Loss Rate" is, as of any date of determination, the maximum 

percentage of defaults which the Current Portfolio or the Proposed Portfolio, as applicable, 

can sustain, as determined by S&P, through application of the S&P CDO Monitor, which 

after giving effect to S&P's assumptions on recoveries and timing and to the Priority of 

Payments, will result in sufficient funds remaining for the payment of the Class A Notes in 

full by their stated maturity and the timely payment of interest on the Class A Notes. 

The "Class B Loss Differential" is, at any time, the rate calculated by subtracting the Class B 

Scenario Loss Rate (as defined below) from the Class B Break-even Loss Rate (as defined 

below) at such time. 

The "Class B Scenario Loss Rate" is, as of any date of determination, an estimate of the 


consistent with a rating of AA assigned to the Class B Notes by S&P, determined by 


The "Class B Break-even Loss Rate" is, as of any date of determination, the maximum 




Payments, will result in sufficient funds remaining for the payment of the Class B Notes in 

full by their stated maturity and the timely payment of interest on the Class B Notes. 

The "Class C Loss Differential" is, at any time, the rate calculated by subtracting the 

Class C Scenario Loss Rate (as defined below) from the Class C Break-even Loss Rate (as 


The "Class C Scenario Loss Rate" is, as of any date of determination, an estimate of the 


consistent with a rating of A assigned to the Class C Notes by S&P, determined by application 

of the S&P CDO Evaluator on such date. 

The "Class C Break-even Loss Rate" is, as of any date of determination, the maximum 




Payments, will result in sufficient funds remaining for the payment of the Class C Notes in 

full by their stated maturity and the ultimate payment of interest on the Class C Notes. 

The "Class D Loss Differential" is, at any time, the rate calculated by subtracting the 

Class D Scenario Loss Rate (as defined below) from the Class D Break-even Loss Rate (as 


The "Class D Scenario Loss Rate" is, as of any date of determination, an estimate of the 


consistent with a rating of BBB assigned to the Class D Notes by S&P, determined by 


- 304 -

The "Class D Break-even Loss Rate" is, as of any date of determination, the maximum 




Payments, will result in sufficient funds remaining for the payment of the Class D Notes in 

full by their stated maturity and the ultimate payment of interest on the Class D Notes. 

The "Class E Loss Differential" is, at any time, the rate calculated by subtracting the Class E 

Scenario Loss Rate (as defined below) from the Class E Break-even Loss Rate (as defined 


The "Class E Scenario Loss Rate" is, as of any date of determination, an estimate of the 


consistent with a rating of BB assigned to the Class E Notes by S&P, determined by 


The "Class E Break-even Loss Rate" is, as of any date of determination, the maximum 




Payments, will result in sufficient funds remaining for the payment of the Class E Notes in 

full by their stated maturity and the ultimate payment of interest on the Class E Notes. 

The "Class P Loss Differential" is, at any time, the rate calculated by subtracting the Class P 

Scenario Loss Rate (as defined below) from the Class P Break-even Loss Rate (as defined 


The "Class P Scenario Loss Rate" is, as of any date of determination, an estimate of the 


consistent with a rating of A assigned to the Class P Combination Notes by S&P, determined 

by application of the S&P CDO Evaluator on such date. 

The "Class P Break-even Loss Rate" is, as of any date of determination, the maximum 



after giving effect to S&P’s assumptions on recoveries and timing and to the Priority of 

Payments, will result in sufficient funds remaining for the payment of the Class P 

Combination Notes in full by their stated maturity. 

The "Class Q Loss Differential" is, at any time, the rate calculated by subtracting the 

Class Q Scenario Loss Rate (as defined below) from the Class Q Break-even Loss Rate (as 


The "Class Q Scenario Loss Rate" is, as of any date of determination, an estimate of the 


consistent with a rating of BBB assigned to the Class Q Combination Notes by S&P, 

determined by application of the S&P CDO Evaluator on such date. 

- 305 -

The "Class Q Break-even Loss Rate" is, as of any date of determination, the maximum 




Payments, will result in sufficient funds remaining for the payment of the Class Q 


The "Class R Loss Differential" is, at any time, the rate calculated by subtracting the Class R 

Scenario Loss Rate (as defined below) from the Class R Break-even Loss Rate (as defined 


The "Class R Scenario Loss Rate" is, as of any date of determination, an estimate of the 


consistent with a rating of AAA assigned to the Class R Combination Notes by S&P, 


The "Class R Break-even Loss Rate" is, as of any date of determination, the maximum 




Payments, will result in sufficient funds remaining for the payment of the Class R 


The "Class S Loss Differential" is, at any time, the rate calculated by subtracting the Class S 

Scenario Loss Rate (as defined below) from the Class S Break-even Loss Rate (as defined 


The "Class S Scenario Loss Rate" is, as of any date of determination, an estimate of the 


consistent with a rating of AA assigned to the Class S Combination Notes by S&P, 


The "Class S Break-even Loss Rate" is, as of any date of determination, the maximum 




Payments, will result in sufficient funds remaining for the payment of the Class S 


The "Current Portfolio" means the portfolio (measured by aggregate principal balance) of 

Collateral Debt Obligations and Eligible Investments existing prior to the sale, maturity or 

other disposition of a Collateral Debt Obligation or prior to the purchase of a Collateral Debt 

Obligation, as the case may be. 

The "Proposed Portfolio" means the portfolio (measured by aggregate principal balance) of 

Collateral Debt Obligations, Substitute Collateral Debt Obligations and Eligible Investments 

resulting from the sale or other disposition of a Collateral Debt Obligation or a proposed 

- 306 -

acquisition of a Substitute Collateral Debt Obligation from Principal Proceeds, as the case 

may be. 

S&P Minimum Weighted Average Recovery Rate Test 

The "S&P Minimum Weighted Average Recovery Rate Test" will be satisfied as of any 

Measurement Date from (and including) the Effective Date if the S&P Weighted Average 

Recovery Rate is greater than or equal to the percentage set forth in the applicable column of 

the S&P Test Matrix. 

The "S&P Weighted Average Recovery Rate" means, as of any Measurement Date, the 

number (expressed as a percentage) obtained by summing the products obtained by 

multiplying the outstanding Principal Balance of each Collateral Debt Obligation by its S&P 

Recovery Rate and dividing such sum by the Aggregate Principal Balance of all Collateral 

Debt Obligations and rounding up to the nearest 0.1 per cent. For the purposes of this test, 

Synthetic Securities shall be assigned a priority category based on the underlying Reference 

Obligation. 

The "S&P Recovery Rate" means the priority category recovery rate as set out in the S&P 

Recovery Rate table below. 

S&P 

Country 

Group 

Secured 

Senior 

Loan 

S&P Recovery Rate Table 

Mezzanine 

Obligation 

(including for 

these 

purposes any 

second 

ranking loan) 

and Second 

Lien Loan 

Unsecured 

Senior Loan 

(excluding for 

these 

purposes any 

second 

ranking loan) 

Senior 

Unsecured 

Bond 

Subordinated 

Bond 

1 55% 35% 40% 24% 38% 

2 65% 45% 40% 13% 37% 

3 58% 43% 40% 24% 34% 

4 53% 38% 35% 20% 30% 

5 48% 33% 30% 15% 25% 

Country 

S&P Country Group 

Canada 1 

US 1 * 

Ireland 2 

UK 2 

Germany 3 

The Netherlands 3 

Switzerland 3 

Austria 4 

Denmark 4 

Finland 4 

Norway 4 

Sweden 4 

- 307 -

Belgium 5 

France 5 

Greece 5 

Italy 5 

Luxembourg 5 

Portugal 5 

Spain 5 

* As advised by S&P for Second Lien Loans 

For the purposes of the Collateral Quality Tests the S&P Recovery Rate for any given country 

may be updated in accordance with S&P criteria from time to time. 

Any Collateral Debt Obligation that cannot be assigned a recovery rate based upon the above 

table will be assigned an S&P recovery rate in consultation with S&P. 

A Collateral Debt Obligation shall be assigned to a country for the purposes of the S&P 

Recovery Rate based on where the principal place of business of the Obligor of the relevant 

Collateral Debt Obligation is located as determined in good faith by the Portfolio Manager. 

In respect of any non-Euro Collateral Debt Obligation subject to any perfect asset swap 

agreement, the S&P Recovery Rate will be multiplied by a factor of 0.925. 

A Collateral Debt Obligation which is the subject of a Special Situation Investment shall be 

assigned an S&P Recovery Rate in consultation with S&P. 

S&P Test Matrix 

Subject to the provisions provided below, on or after the Effective Date, the Portfolio 

Manager will have the option to elect (on behalf of the Issuer) which of the cases set forth in 

the matrix set out below (the "S&P Test Matrix") shall be applied for purposes of the S&P 

CDO Monitor Test, the S&P Minimum Weighted Average Recovery Rate Test and the 

Minimum Spread Test. For any given case: 

(i) 

(ii) 

(iii) 

the applicable row and column for the applicable Break-even Loss Rate for a given 

Class for performing the S&P CDO Monitor Test will be the row and column in which 

the elected case is set out; 

the applicable row for determining the Minimum Spread Test will be the row in which 

the elected case is set out; and 

the applicable column for performing the S&P Minimum Weighted Average Recovery 

Rate Test will be the column in which the elected case is set out. 

On the Effective Date, the Portfolio Manager will be required to elect (on behalf of the Issuer) 

which case shall apply initially. Thereafter, on ten Business Days' notice to the Trustee and 

the Collateral Administrator, the Portfolio Manager may elect (on behalf of the Issuer) to have 

a different case apply, provided that the S&P CDO Monitor Test, the S&P Minimum 

Weighted Average Recovery Rate Test and the Minimum Spread Test applicable to the case to 

which the Portfolio Manager desires to change are satisfied, or, in the case of any tests that 

- 308 -

are not satisfied, are closer to being satisfied (and, in relation to the Minimum Spread Test, 

taking into account the case that the Portfolio Manager has elected (on behalf of the Issuer) to 

apply under the Moody's Test Matrix). In no event will the Portfolio Manager be obliged to 

elect to have a different case apply. 

S&P CDO Monitor Test, Break-even Loss Rates for the Class A Notes (Rating AAA) 

S&P Deferring Mezzanine Obligation Condition 2 is satisfied: 


Minimum Spread Test 47.00% 49.00% 51.00% 53.00% 56.00% 

2.50% 52.6% 53.8% 55.1% 56.3% 57.9% 

2.65% 53.4% 54.7% 55.9% 57.1% 58.8% 

2.85% 54.7% 55.9% 56.7% 57.9% 60.0% 

3.00% 55.5% 56.7% 57.5% 58.8% 60.8% 

3.15% 56.3% 57.1% 58.4% 59.6% 61.7% 




2.50% 51.8% 53.0% 54.3% 55.5% 57.1% 

2.65% 52.6% 53.9% 55.1% 56.3% 58.4% 

2.85% 53.9% 55.1% 56.3% 57.6% 59.2% 

3.00% 54.7% 55.9% 57.1% 58.4% 60.0% 

3.15% 55.5% 56.7% 58.0% 59.2% 60.8% 

S&P Deferring Mezzanine Obligation Conditions are not satisfied: 



2.50% 51.4% 52.6% 53.9% 55.1% 56.7% 

2.65% 52.2% 53.5% 54.7% 55.9% 57.6% 

2.85% 53.5% 54.7% 55.9% 57.2% 58.8% 

3.00% 54.3% 55.5% 56.7% 58.0% 59.6% 

3.15% 55.1% 56.3% 57.6% 58.8% 60.4% 

S&P CDO Monitor Test, Break-even Loss Rates for the Class B Notes (Rating AA) 




2.50% 50.0% 50.8% 52.0% 52.8% 54.8% 

2.65% 50.4% 51.6% 52.4% 53.6% 55.6% 

2.85% 51.2% 52.4% 53.2% 54.0% 56.0% 

3.00% 51.6% 52.8% 53.6% 54.8% 56.8% 

3.15% 52.4% 53.2% 54.4% 55.2% 57.2% 

- 309 -




2.50% 48.0% 49.2% 50.1% 51.3% 52.9% 

2.65% 48.4% 49.7% 50.9% 51.7% 53.3% 

2.85% 49.2% 50.1% 51.3% 52.5% 54.1% 

3.00% 49.7% 50.9% 52.1% 53.3% 54.9% 

3.15% 50.1% 51.3% 52.5% 53.7% 55.4% 




2.50% 46.5% 47.7% 48.5% 49.8% 51.8% 

2.65% 46.9% 48.1% 49.3% 50.2% 52.2% 

2.85% 47.7% 48.9% 50.2% 51.0% 53.0% 

3.00% 48.5% 49.3% 50.6% 51.8% 53.5% 

3.15% 48.9% 50.2% 51.0% 52.2% 53.9% 

S&P CDO Monitor Test, Break-even Loss Rates for the Class C Notes (Rating A) 




2.50% 41.8% 42.2% 43.0% 44.6% 45.8% 

2.65% 42.6% 43.0% 43.8% 45.0% 46.7% 

2.85% 43.4% 44.2% 45.0% 45.8% 47.5% 

3.00% 44.2% 45.0% 45.8% 46.7% 48.3% 

3.15% 44.6% 45.4% 46.2% 47.5% 48.7% 




2.50% 39.6% 40.8% 41.6% 42.4% 44.0% 

2.65% 40.8% 41.2% 42.4% 43.2% 45.3% 

2.85% 41.2% 42.4% 43.2% 44.5% 46.1% 

3.00% 42.0% 42.8% 44.0% 45.3% 46.5% 

3.15% 42.8% 44.0% 44.9% 45.7% 47.3% 




2.50% 38.2% 39.5% 39.9% 41.1% 42.8% 

2.65% 39.1% 40.3% 41.1% 41.9% 43.2% 

- 310 -

2.85% 40.3% 41.1% 41.9% 42.8% 44.4% 

3.00% 40.7% 41.9% 42.8% 43.6% 45.2% 

3.15% 41.9% 42.4% 43.2% 44.4% 46.1% 

S&P CDO Monitor Test, Break-even Loss Rates for the Class D Notes (Rating BBB) 




2.50% 35.6% 36.4% 37.2% 38.0% 39.6% 

2.65% 36.4% 37.2% 38.0% 38.8% 40.4% 

2.85% 37.2% 38.4% 39.2% 40.0% 41.6% 

3.00% 38.0% 38.8% 40.0% 40.8% 42.5% 

3.15% 39.2% 40.0% 40.8% 41.6% 43.3% 




2.50% 33.1% 33.9% 34.7% 36.0% 37.2% 

2.65% 34.3% 35.1% 36.0% 36.8% 38.4% 

2.85% 35.5% 36.4% 37.2% 38.0% 39.6% 

3.00% 36.4% 37.2% 38.0% 38.8% 40.5% 

3.15% 37.2% 38.0% 38.8% 40.0% 41.3% 




2.50% 32.1% 32.9% 33.7% 34.5% 35.8% 

2.65% 32.9% 33.7% 34.5% 35.4% 37.0% 

2.85% 34.1% 35.0% 35.8% 36.6% 38.2% 

3.00% 35.0% 35.8% 36.6% 37.8% 39.1% 

3.15% 35.8% 36.6% 37.4% 38.7% 40.3% 

S&P CDO Monitor Test, Break-even Loss Rates for the Class E Notes (Rating BB) 




2.50% 30.4% 30.9% 31.7% 32.5% 34.1% 

2.65% 31.3% 32.1% 32.9% 33.7% 34.9% 

2.85% 32.5% 33.3% 34.1% 34.9% 36.2% 

3.00% 33.3% 34.1% 34.9% 35.7% 37.4% 

3.15% 34.1% 34.9% 35.7% 36.6% 38.2% 

- 311 -




2.50% 27.8% 28.2% 29.1% 29.9% 31.1% 

2.65% 28.6% 29.5% 30.3% 31.1% 32.3% 

2.85% 30.3% 31.1% 31.9% 32.2% 33.6% 

3.00% 31.1% 31.9% 32.7% 33.6% 34.8% 

3.15% 32.3% 33.2% 34.0% 34.8% 36.0% 




2.50% 26.3% 27.1% 28.0% 28.4% 29.6% 

2.65% 27.5% 28.0% 28.8% 29.6% 30.8% 

2.85% 28.8% 29.6% 30.4% 31.3% 32.5% 

3.00% 30.0% 30.8% 31.3% 32.1% 33.3% 

3.15% 31.3% 31.7% 32.5% 33.3% 34.5% 

S&P CDO Monitor Test, Break-even Loss Rates for the Class P Notes (Rating A) 




2.50% 42.2% 43.0% 43.8% 45.0% 46.7% 

2.65% 43.0% 43.8% 44.6% 45.4% 47.1% 

2.85% 43.8% 44.6% 45.4% 46.2% 47.9% 

3.00% 44.6% 45.4% 46.2% 47.1% 48.7% 

3.15% 45.0% 46.2% 47.1% 47.9% 49.5% 




2.50% 40.4% 41.2% 42.0% 43.2% 44.9% 

2.65% 40.8% 42.0% 42.8% 44.0% 45.7% 

2.85% 42.0% 42.8% 44.0% 44.9% 46.5% 

3.00% 42.4% 43.6% 44.5% 45.7% 47.3% 

3.15% 43.2% 44.0% 45.3% 46.5% 48.1% 




2.50% 39.1% 39.9% 40.7% 41.5% 43.2% 

2.65% 39.9% 40.7% 41.5% 42.4% 44.0% 

- 312 -

2.85% 40.7% 41.5% 42.4% 43.6% 44.8% 

3.00% 41.5% 42.4% 43.2% 44.4% 45.6% 

3.15% 41.9% 43.2% 44.0% 44.8% 46.5% 

S&P CDO Monitor Test, Break-even Loss Rates for the Class Q Notes (Rating BBB) 




2.50% 35.6% 36.8% 37.2% 38.4% 40.0% 

2.65% 36.4% 37.6% 38.4% 39.2% 40.8% 

2.85% 37.6% 38.4% 39.6% 42.1% 43.7% 

3.00% 38.4% 39.2% 42.1% 41.2% 42.9% 

3.15% 39.2% 42.1% 40.8% 43.7% 45.3% 




2.50% 33.5% 36.0% 35.1% 36.0% 37.6% 

2.65% 34.3% 35.1% 36.0% 37.2% 38.4% 

2.85% 35.5% 36.4% 39.2% 38.4% 39.6% 

3.00% 36.8% 39.2% 38.4% 39.2% 42.5% 

3.15% 37.6% 38.4% 40.9% 40.0% 41.7% 




2.50% 32.1% 34.5% 33.7% 35.0% 36.2% 

2.65% 32.9% 34.1% 35.0% 35.8% 37.4% 

2.85% 34.1% 35.4% 37.8% 37.0% 38.7% 

3.00% 35.4% 36.2% 37.0% 39.5% 41.1% 

3.15% 36.2% 37.0% 39.5% 39.1% 40.3% 

S&P CDO Monitor Test, Break-even Loss Rates for the Class R Notes (Rating AAA) 



Minimum Spread Test 47.00% 

2.50% 74.8% 

2.65% 75.2% 

2.85% 76.0% 

3.00% 76.9% 

3.15% 77.3% 

- 313 -




2.50% 74.4% 

2.65% 75.2% 

2.85% 75.7% 

3.00% 76.5% 

3.15% 76.9% 




2.50% 74.4% 

2.65% 74.8% 

2.85% 75.7% 

3.00% 76.1% 

3.15% 76.9% 

S&P CDO Monitor Test, Break-even Loss Rates for the Class S Notes (Rating AA) 




2.50% 55.3% 56.5% 58.1% 59.7% 62.1% 

2.65% 55.7% 57.3% 58.9% 60.5% 62.5% 

2.85% 56.5% 58.1% 59.7% 61.3% 63.7% 

3.00% 57.3% 58.5% 60.1% 61.7% 64.1% 

3.15% 57.7% 59.3% 60.5% 62.1% 64.9% 




2.50% 53.3% 54.6% 56.2% 57.8% 60.3% 

2.65% 54.2% 55.4% 57.0% 58.2% 60.7% 

2.85% 55.0% 56.2% 57.8% 59.1% 61.9% 

3.00% 55.4% 57.0% 58.2% 59.9% 62.3% 

3.15% 56.2% 57.4% 59.1% 60.7% 63.1% 




2.50% 52.2% 53.5% 55.1% 56.3% 58.8% 

2.65% 52.6% 54.3% 55.5% 57.2% 59.6% 

- 314 -

2.85% 53.5% 55.1% 56.3% 58.0% 60.4% 

3.00% 54.3% 55.5% 57.2% 58.8% 61.3% 

3.15% 54.7% 56.3% 57.6% 59.2% 61.7% 

The "S&P Deferring Mezzanine Obligation Conditions" consist of the S&P Deferring 

Mezzanine Obligation Condition 1 and the S&P Deferring Mezzanine Obligation Condition 2. 

The "S&P Deferring Mezzanine Obligation Condition 1" will be satisfied if the average of 

the Actual Deferred Interest Credit on each of the previous and current (if applicable) 

Determination Dates is greater than or equal to the Required Deferred Interest Credit 

Percentage as set out in the table below. 

Required Deferred Interest Credit Table (S&P Deferring Mezzanine Obligation Condition 1) 

Period 

Required Deferred 

Interest Credit Period 


Interest Credit 

1 0.0400% 16 0.1275% 

2 0.0400% 17 0.1282% 

3 0.0733% 18 0.1289% 

4 0.0900% 19 0.1295% 

5 0.1000% 20 0.1230% 

6 0.1067% 21 0.1171% 

7 0.1114% 22 0.1118% 

8 0.1150% 23 0.1070% 

9 0.1178% 24 0.1025% 

10 0.1200% 25 0.0984% 

11 0.1218% 26 0.0946% 

12 0.1233% 27 0.0911% 

13 0.1246% 28 0.0879% 

14 0.1257% 29 0.0848% 

15 0.1267% 30 0.0820% 

The "S&P Deferring Mezzanine Obligation Condition 2" will be satisfied if the average of 

the Actual Deferred Interest Credit on each of the previous and current (if applicable) 

Determination Dates is greater than or equal to the Required Deferred Interest Credit 

Percentage as set out in the table below. 

Required Deferred Interest Credit Table (S&P Deferring Mezzanine Obligation Condition 2) 

Period 





1 0.1100% 16 0.3506% 

2 0.1100% 17 0.3526% 

3 0.2017% 18 0.3544% 

4 0.2475% 19 0.3561% 

5 0.2750% 20 0.3383% 

6 0.2933% 21 0.3221% 

7 0.3064% 22 0.3075% 

8 0.3163% 23 0.2941% 

9 0.3239% 24 0.2819% 

10 0.3300% 25 0.2706% 

- 315 -

11 0.3350% 26 0.2602% 

12 0.3392% 27 0.2506% 

13 0.3427% 28 0.2416% 

14 0.3457% 29 0.2333% 

15 0.3483% 30 0.2255% 

The "Actual Deferred Interest Credit" means the Weighted Average Deferred Interest 

Percentage multiplied with the percentage of the Aggregate Collateral Balance which are 

Euro-denominated Deferring Mezzanine Obligations and Euro-denominated PIK Only 

Obligations (both calculated as of a Determination Date). 

The "Weighted Average Deferred Interest Percentage" means the Principal Balance of each 

Euro-denominated Deferring Mezzanine Obligation and each Euro-denominated PIK Only 

Obligation multiplied by the percentage at which each Euro-denominated Deferring 

Mezzanine Obligation and each Euro-denominated PIK Only Obligation contractually defers 

interest, divided by the Aggregate Principal Balances of all Euro-denominated Deferring 

Mezzanine Obligations and all Euro-denominated PIK Only Obligations. Any non-Euro 

denominated PIK Only Obligation and any non-Euro Deferring Mezzanine Obligation will be 

taken into account for the purposes of this definition only if the accrued and capitalised 

interest on any such non-Euro denominated PIK Only Obligation or non-Euro Deferring 

Mezzanine Obligation is hedged through the swapping of such flows for Euro payments. 

Moody's Tests Matrices 

Subject to provisions provided below, on or after the Interim Ramp-Up Test Date, the 

Portfolio Manager, will have the option to elect (on behalf of the Issuer) which of the cases 

set forth in the matrices set out below (the "Moody's Test Matrices") shall be applicable for 

purposes of the Moody's Metric Test and the Moody's Minimum Weighted Average Spread 

Test (or the Interim Weighted Average Spread Test as the case may be). Moody's will 

provide the Portfolio Manager (on behalf of the Issuer) as of the Effective Date, and from 

time to time thereafter with the applicable Moody's CDOROM TM Model developed by 

Moody's in connection with the Moody's Metric Test. For any given case: 

(i) 

(ii) 

(iii) 

the applicable Moody's Test Matrix for performing the Moody's Metric Test will be 

the Moody's Test Matrix in which the elected case is set out; 

the applicable column for determining the appropriate Initial Equivalent Credit 

Enhancement for the Moody's Metric Test will be the column which corresponds to the 

relevant Class of Notes; 

the applicable row for determining the Minimum Weighted Average Spread Test will 

be the row in which the elected case is set out. 

On the Interim Ramp-Up Test Date, the Portfolio Manager will be required to elect (on behalf 

of the Issuer) which case shall apply initially. Thereafter, on ten Business Days' written 

notice to the Issuer, the Trustee, the Collateral Administrator and Moody's, the Portfolio 

Manager may (on behalf of the Issuer) elect to have a different case apply, provided that the 

- 316 -

Moody's Metric Test and the Minimum Weighted Average Spread Test applicable to the case 

to which the Portfolio Manager (on behalf of the Issuer) desires to change are satisfied (and, 

in relation to the Minimum Weighted Average Spread Test, taking into account the case that 

the Portfolio Manager (on behalf of the Issuer) has elected to apply under the applicable S&P 

Test Matrix), or, in the case of any of the Moody's Metric Test and the Minimum Weighted 

Average Spread Test that are not satisfied, are closer to being satisfied. In no event will the 

Issuer or the Portfolio Manager be obliged to elect to have a different case apply. 

The "Moody's Deferring Mezzanine Obligation Conditions" consist of the Moody's 

Deferring Mezzanine Obligation Condition 1 and the Moody's Deferring Mezzanine 

Obligation Condition 2. 

The "Moody's Deferring Mezzanine Obligation Condition 1" will be satisfied if the average 

of the Actual Deferred Interest Credit on each of the previous and current (if applicable) 

Determination Date is greater than or equal to the Moody's Required Deferred Interest Credit 

1 percentage as set out in the table below. 

Required Deferred Interest Credit Table 1 

Period 





1 0.0400% 16 0.1275% 

2 0.0400% 17 0.1282% 

3 0.0733% 18 0.1289% 

4 0.0900% 19 0.1295% 

5 0.1000% 20 0.1300 % 

6 0.1067% 21 0.1305% 

7 0.1114% 22 0.1309% 

8 0.1150% 23 0.1313% 

9 0.1178% 24 0.1317% 

10 0.1200% 25 0.1320% 

11 0.1218% 26 0.1323% 

12 0.1233% 27 0.1326% 

13 0.1246% 28 0.1329% 

14 0.1257% 29 0.1331% 

15 0.1267% 30 0.1333% 

The "Moody's Deferring Mezzanine Obligation Condition 2" will be satisfied if the average 

of the Actual Deferred Interest Credit on each of the previous and current (if applicable) 

Determination Date is greater than or equal to the Moody's Required Deferred Interest Credit 

2 percentage as set out in the table below. 

Required Deferred Interest Credit Table 2 

Period 





1 0.1100% 16 0.3506% 

2 0.1100% 17 0.3526% 

3 0.2017% 18 0.3544% 

4 0.2475% 19 0.3561% 

- 317 -

5 0.2750% 20 0.3575% 

6 0.2933% 21 0.3588% 

7 0.3064% 22 0.3600% 

8 0.3163% 23 0.3611% 

9 0.3239% 24 0.3621% 

10 0.3300% 25 0.3630% 

11 0.3350% 26 0.3638% 

12 0.3392% 27 0.3646% 

13 0.3427% 28 0.3654% 

14 0.3457% 29 0.3660% 

15 0.3483% 30 0.3667% 

Moody's Metric Test 

The Moody’s Metric Test will be satisfied on any date from the Interim Ramp-Up Test Date if, 

after giving effect to (i) the sale or, as the case may be, termination of any Collateral Debt 

Obligation (other than any Credit Impaired Obligation or Defaulted Obligation but including 

any Credit Improved Obligation), first, without taking into account and, secondly, taking into 

account the proposed sale and reinvestment of the Sale Proceeds thereof in Substitute 

Collateral Debt Obligations and (ii) the sale of any Credit Impaired Obligation or Defaulted 

Obligation, first, without taking into account and, secondly, taking into account, any proposed 

reinvestment of the Sale Proceeds relating to such Credit Impaired Obligation or Defaulted 

Obligation in Substitute Collateral Debt Obligations, the Moody’s Metric of each Class of 

Notes is lower than or equal to the Target Moody’s Metric; or if the Moody’s Metric of any 

Class of Notes was higher than the Target Moody's Metric before such sale (or before such 

reinvestment for credit impaired obligations and defaulted obligations), it is maintained or 

improved after such reinvestment. 

"Moody’s Metric (MM) " means, with respect to a Class of Notes, a numerical equivalent of 

a rating deduced from the Expected Loss and such Class of Notes' Maximum Weighted 

Average Life, as calculated by the Moody’s CDOROM TM Model with reference to the 

Equivalent Credit Enhancement set out for each specific case. 

"Expected Loss" means, with respect to a Class of Notes, an estimate of the loss expected to 

be suffered by such Notes as determined by the application of the Moody’s CDOROM TM 

Model. 

"Initial Equivalent Credit Enhancement" means the initial level of notional credit support 

for each Class of Notes, used in the Moody’s CDOROM TM Model when calculating the 

Moody’s Metric for each Class of Notes and as determined in the Moody’s Test Matrices. 

"Target Moody’s Metric" means, with respect to each Class of Notes the metric lower limit 

corresponding to the Moody’s Rating of such Class of Notes on the Closing Date as described 

in the table below: 

Moody's Rating Investment Grade / 

Non-Investment Grade 

Metrics Higher Limit 

(exclusive) 

Metrics Lower Limit 

(inclusive) 

Aaa Investment Grade 0 1 

Aa1 Investment Grade 1 2 

- 318 -



A1 Investment Grade 4 5 



Baa1 Investment Grade 7 8 



Ba1 Non-Investment Grade 10 11 



B1 Non-Investment Grade 13 14 



Caa1 Non-Investment Grade 16 17 



Ca Non-Investment Grade 19 20 

"Moody’s CDOROM TM Model" means a dynamic, analytical computer model developed by 

Moody's on or prior to the Closing Date (or such replacement therefore or variation thereof as 

the Portfolio Manager and Moody's may agree from time to time) used to estimate the 

associated Moody’s Metric for any Class of Notes and which is applied in accordance with the 

terms of the guidelines specified therein and the Moody’s Guidelines Memorandum (or such 

replacement therefore or variation thereof as the Portfolio Manager and Moody's may agree 

from time to time). 

Moody's Weighted Average Rating 

The "Moody's Weighted Average Rating Factor Test" will be satisfied at any Measurement 

Date after the end of the Reinvestment Period, if the Moody's Weighted Average Rating 

Factor as at such Measurement Date is equal to or less than an amount as disclosed in the 

Portfolio Management Agreement, or such other figure as may be proposed by the Issuer and 

approved by the Senior Outstanding Class acting by Ordinary Resolution and such figure that 

is higher than an amount as disclosed in the Portfolio Management Agreement will be subject 

to Rating Agency Confirmation from Moody's. 

The "Moody's Weighted Average Rating Factor" is determined by summing the products 

obtained by multiplying the Principal Balance of each Collateral Debt Obligation by its 

Moody's Rating Factor, dividing such sum by the Aggregate Principal Balances of all such 

Collateral Debt Obligations and rounding up to the nearest whole number. 

The "Moody's Rating Factor" of any Collateral Debt Obligation is the number set forth 

under the heading "Rating Factor" in the table below opposite the Moody's Rating (as defined 

under "Ratings – Moody's Ratings" below). 

Moody's Rating Factor Table 

Moody's Rating 


Factor 



Factor 

- 319 -

Aaa 1 Ba1 940 

Aa1 10 Ba2 1,350 

Aa2 20 Ba3 1,766 

Aa3 40 B1 2,220 

A1 70 B2 2,720 

A2 120 B3 3,490 

A3 180 Caa1 4,770 

Baa1 280 Caa2 6,500 

Baa2 360 Caa3 8,070 

Baa3 610 Ca 10,000 

Minimum Spread Test 

The "Minimum Spread Test" will be satisfied if, as of each Measurement Date, the 

Weighted Average Spread as of such Measurement Date equals or exceeds the applicable 

Minimum Weighted Average Spread for such date. 

For the avoidance of doubt and for the purposes of the Minimum Spread Test, any Sterling 

denominated Collateral Debt Obligation subject to a Currency Hedge Transaction Agreement 

which is also a Fixed Rate Collateral Debt Obligation shall be considered to pay at a floating 

rate and the applicable margin thereon shall be calculated by subtracting the then current 6 

months GBP LIBOR rate under the Currency Hedge Transaction Agreement from the fixed 

rate margin in respect of such Fixed Rate Collateral Debt Obligation. 

For the avoidance of doubt, if the Collateral Debt Obligation is an obligation in respect of 

which interest payments are scheduled to decrease (other than for unscheduled events such as 

a decrease in the index relation to a Floating Rate Collateral Debt Obligation, the change from 

a default rate of interest to a non-default rate or an improvement in an Obligor's financial 

condition as a result of the satisfaction of contractual conditions set out in the relevant 

documentation for such obligation) then the lowest such coupon or spread shall be used for the 

purpose of the Minimum Spread Test. In addition if the interest payments of a Collateral 

Debt Obligation can be reduced without the consent of the majority of the lenders (per the 

terms of such Collateral Debt Obligation), the lowest such spread or coupon in respect of such 

Collateral Debt Obligation shall be used for the purpose of the Minimum Spread Test. 

The "Minimum Weighted Average Spread" means as of the Effective Date and each 

subsequent Measurement Date, the greater of the percentages set forth in the applicable rows 

in the columns headed "Minimum Spread Test" of the S&P Test Matrix and the Moody's Test 

Matrix, respectively, and in each case based upon the option chosen by the Portfolio Manager 

as currently applicable to the Portfolio. 

The "Weighted Average Spread" means, as of each Measurement Date, each amount 

(expressed as a percentage) calculated in respect of the Collateral Debt Obligations in the 

Portfolio, equal to a fraction (expressed as a percentage) obtained by: 

(a) 

multiplying the Principal Balance of each Collateral Debt Obligation in the Portfolio as 

of such date by, in the case of Collateral Debt Obligations other than Non-Euro 

Obligations, the current per annum rate at which it pays interest in cash in excess of six 

- 320 -

month EURIBOR or such other floating rate index upon which such Collateral Debt 

Obligation bears interest or fixed rate minus the Applicable Swap Rate for any Fixed 

Rate Collateral Debt Obligation (less any withholding tax deducted which is not 

grossed-up or recoverable under any applicable double tax treaty relief); 

(b) 

(c) 

(d) 

(e) 

in the case of Non-Euro Obligations, the margin above EURIBOR received by the 

Issuer under the applicable Currency Hedge Agreement for those Non-Euro 

Obligations only, plus the Periodic Currency Swap Differential (less any withholding 

tax deducted which is not grossed up or recoverable under any applicable double tax 

treaty relief); 

summing the amounts determined pursuant to paragraph (a) and (b) above; 

dividing such sums by the aggregate Principal Balance of all Collateral Debt 

Obligations in the Portfolio as of such date of determination; 

for each Offsetting Credit Default Swap and Credit Short Obligation subtracting the 

percentage obtained by dividing: 

(i) 

(ii) 

the amount obtained by multiplying the notional amount of each Offsetting 

Credit Default Swap or Credit Short Obligation by the fixed amounts payable 

(expressed as a percentage) by the Issuer pursuant to such Offsetting Credit 

Default Swap or Credit Short Obligation; 

the aggregate Principal Balance of all Collateral Debt Obligations, 

provided that for Mezzanine Obligations (and for the avoidance of doubt including PIK Only 

Obligations) under which the capitalised interest has not been irrevocably classified as 

Principal Proceeds on the date of the acquisition of such Mezzanine Obligation (but for the 

avoidance of doubt such capitalised interest has been added to the principal amount of such 

Collateral Debt Obligation under the terms of such Collateral Debt Obligation), the per annum 

rate at which such Mezzanine Obligation pays interest in cash in excess of six month 

EURIBOR or, where applicable, such other floating rate index, shall be calculated by 

multiplying the current per annum rate at which such Mezzanine Obligation pays interest in 

cash in excess of six month EURIBOR or, where applicable, such other floating rate index, by 

the Principal Balance (plus any accrued and capitalised interest capitalised since the date of the 

acquisition thereof) divided by the Principal Balance of such Mezzanine Obligation on the date 

of the acquisition of such Mezzanine Obligation and provided further that for the purposes of 

the Minimum Spread Test, any Revolving Obligation or Delayed Drawdown Obligation shall 

be considered to comprise two components, the spread on the drawn component and the 

margin (including, where applicable, any commitment fee payable on the undrawn component 

of such Revolving Obligation or Delayed Drawdown Obligation) above or below six month 

EURIBOR or, where applicable, such other floating rate index. 

Where the "Applicable Swap Rate " means, in respect of a Fixed Rate Collateral Debt 

Obligation, the swap rate in Euros determined on the date of purchase of the Fixed Rate 

Collateral Debt Obligation taking into account both the remaining life of the instrument and 

the payment frequency of the instrument. 

- 321 -

Maximum Weighted Average Life Test 

The "Maximum Weighted Average Life Test" will be satisfied if, as of the Effective Date 

and as of any subsequent Measurement Date thereafter, the Maximum Weighted Average Life 

as at the relevant Measurement Date does not exceed the applicable Maximum Weighted 

Average Life as set out in the following table: 

Relevant Period 

Maximum Weighted Average Life 

14.12.05 to 14.07.06 10.0 

14.07.06 to 14.01.07 10.0 

14.01.07 to 14.07.07 10.0 

14.07.07 to 14.01.08 10.0 

14.01.08 to 14.07.08 10.0 

14.07.08 to 14.01.09 9.5 

14.01.09 to 14.07.09 9.0 

14.07.09 to 14.01.10 8.5 

14.01.10 to 14.07.10 8.0 

14.07.10 to 14.01.11 7.5 

14.01.11 to 14.07.11 7.0 

14.07.11 to 14.01.12 6.5 

14.01.12 to 14.07.12 6.0 

14.07.12 to 14.01.13 5.5 

14.01.13 5.0 

The "Maximum Weighted Average Life" equals, as of any Measurement Date, the aggregate 

of the product, with respect to each Collateral Debt Obligation of (a) the Average Life of each 

relevant Collateral Debt Obligation and (b) a fraction, the numerator of which is the 

outstanding Principal Balance of the relevant Collateral Debt Obligation and the denominator 

of which is the Aggregate Principal Balance of all Collateral Debt Obligations. 

"Average Life" means, in respect of any Collateral Debt Obligation, an amount equal to 

(a) the aggregate of the products obtained by multiplying each scheduled principal payment 

due on the relevant Collateral Debt Obligation by the remaining number of years (rounded to 

the nearest hundredth) until such scheduled principal payment is due, (b) divided by the total 

of all scheduled principal payments due on such Collateral Debt Obligation, provided that in 

the event that the repayment profile of the Collateral Debt Obligation can be extended without 

the consent of the majority of the lenders (per the terms of such Collateral Debt Obligation), 

the Average Life in respect of such Collateral Debt Obligation shall be calculated by reference 

to the longest possible principal repayment profile under the terms of such Collateral Debt 

Obligation for the purposes of the Maximum Weighted Average Life Test. 

Ratings 

The "Moody's Rating" of any Collateral Debt Obligation will be determined as follows: 

(a) 

for any Collateral Debt Obligation that is a High Yield Bond and has a rating from 

Moody's, then the Moody's Rating of such Collateral Debt shall be such rating; 

otherwise for any other Collateral Debt Obligations: 

- 322 -

(i) 

(ii) 

(iii) 

if the Obligor in respect of such Collateral Debt Obligation has a corporate 

family from Moody's then the Moody's Rating of such Collateral Debt 

Obligation shall be such rating; 

otherwise, if the Obligor in respect of such Collateral Debt Obligation has a 

senior unsecured obligation publicly rated by Moody's, then the Moody's 

Rating of such Collateral Debt Obligation shall be such rating; and 

otherwise, if the Obligor in respect of such Collateral Debt Obligation has no 

senior unsecured or implied obligation publicly rated by Moody's, but the 

Collateral Debt Obligation itself is rated (other than a rating determined from 

an estimate by Moody's of such Collateral Debt Obligation's rating factor), 

then the Moody's Rating of such Collateral Debt Obligation shall be that 

determined by the Portfolio Manager, and subject to Rating Agency 

Confirmation; 

(b) 

if paragraph (a) does not apply to such Collateral Debt Obligation, the Moody's Rating 

shall be determined as follows, at the option of the Portfolio Manager (acting on behalf 

of the Issuer) either: 

(i) 

the confidential credit estimate assigned to such Collateral Debt Obligation by 

Moody's upon the request of the Issuer or the Portfolio Manager (on behalf of 

the Issuer) which shall be the Moody's corporate family thereof, provided that 

until such credit estimate is assigned, such Collateral Debt Obligation shall be 

assigned a Moody's Rating, in the event that: 

(A)(1) neither the Obligor nor any of its Affiliates is subject to reorganisation 

or bankruptcy proceedings, (2) no debt securities or obligations of the Obligor 

are in default, (3) neither the Obligor nor any of its Affiliates has defaulted on 

any debt during the past two years, (4) the Obligor has or can demonstrate 

five years of historical financial performance, (5) the Obligor is current on 

any cumulative dividends if applicable, (6) the fixed charge ratio for the 

Obligor (the calculation of which is in line with market practice at such time 

for such Obligor) exceeds 125 per cent. for each of the past two fiscal years 

and for the most recent quarter, (7) the Obligor had or can demonstrate it had 

a net profit before tax in the past fiscal year and the most recent quarter and 

(8) the annual financial statements of the Obligor are unqualified and certified 

by a firm of independent certified public accountants of international 

reputation and quarterly statements are unedited but signed by a corporate 

officer, "B3"; or 

(B)(1) neither the Obligor nor any of its Affiliates is subject to reorganisation 

or bankruptcy proceedings and (2) no debt security or obligation of the 

Obligor has been in default during the past two years, "Caa2"; or 

(C) a debt security or obligation of the Obligor has been in default during the 

past two years, "Ca". 

- 323 -

(ii) 

if the Collateral Debt Obligation is rated by S&P, then the implied Moody's 

rating (the "Implied Moody's Rating") of such Collateral Debt Obligation 

will be: 

(A) 

(B) 

one sub-category below the Moody's equivalent of the issuer rating 

assigned by S&P if the Obligor of such Collateral Debt Obligation is 

rated BBB- or better by S&P; and 

two sub-categories below the Moody's equivalent of the issuer rating 

assigned by S&P if the Obligor of such Collateral Debt Obligation is 

rated lower than BBB- by S&P provided that if S&P has placed the 

Obligor of such Collateral Debt Obligation on a watchlist for possible 

upgrade to an issuer rating of BBB- or greater, then the Implied 

Moody's Rating would be one sub-category below the Moody's 

equivalent of such issuer rating, 

provided that for the purposes of this paragraph (b)(ii) if the Obligor in 

respect of a Collateral Debt Obligation is (a) on a watchlist for possible 

downgrade then the S&P Rating assigned to such Collateral Debt 

Obligation for the purposes of this paragraph shall be one sub-category 

below its actual rating or (b) on a watchlist for possible upgrade then the 

S&P Rating assigned to such Collateral Debt Obligation for the purposes 

of this paragraph shall be one sub-category above its actual rating; 

provided however that (A) no more than 20 per cent. of the Aggregate Collateral 

Balance may be given an Implied Moody's Rating based on a rating given by S&P as 

provided in this paragraph (b) and (B) no Collateral Debt Obligation may be given an 

Implied Moody's Rating based on a rating given by S&P as provided in this 

paragraph (b) if the Obligor under such Collateral Debt Obligation has no outstanding 

debt that is currently paying a coupon, provided further that if the rating of any 

Collateral Debt Obligation or Obligor thereof has been placed on credit watch for 

possible downgrade by Moody's, the Moody's Rating shall be one sub-category below 

the Moody's Rating as otherwise determined in accordance with this definition, and 

until such time as the Collateral Debt Obligation is no longer on credit watch for 

possible downgrade or if the rating of any Collateral Debt Obligation or Obligor 

thereof has been placed on credit watch for possible upgrade by Moody's, the Moody's 

Rating shall be one sub-category above the Moody's Rating as otherwise determined in 

accordance with this definition, until such time as the Collateral Debt Obligation is no 

longer on credit watch for possible upgrade. 

If at any time either Moody's or S&P cease to provide rating services, references to 

rating categories of Moody's shall be deemed instead to be references to the equivalent 

categories of any other rating agency or agencies selected by the Portfolio Manager 

acting on behalf of the Issuer (with written notice to the Trustee), as of the most recent 

date on which such other rating agency or agencies and Moody's or S&P, as the case 

may be, published ratings for the type of obligation in respect of which any such 

alternative rating agency used. 

- 324 -

The "S&P Rating" of any Collateral Debt Obligation will be determined as follows: 

(a) 

(b) 

(c) 

if there is a Foreign Long Term Issuer Credit Rating of the issuer of such Collateral 

Debt Obligation, or of the guarantor who unconditionally and irrevocably guarantees 

such Collateral Debt Obligation, then the S&P Rating of such issuer, or the guarantor, 

shall be such rating (regardless of whether there is a published rating by S&P on the 

Collateral Debt Obligation of such issuer held by the Issuer); 

if paragraph (a) above does not apply, the Portfolio Manager (acting on behalf of the 

Issuer) may, at its option, and shall, if paragraph (a) and (c) of this definition do not 

apply, apply to S&P for a corporate credit estimate, which shall be its S&P Rating 

provided that, pending receipt from S&P of such estimate, such Collateral Debt 

Obligation shall for a maximum period of 21 days from the date of acquisition thereof 

be assigned a temporary S&P Rating of B- if the Portfolio Manager believes that such 

estimate will be at least B- and if the Aggregate Collateral Balance of Collateral Debt 

Obligations having such S&P Rating by reason of this provision does not exceed 5 per 

cent. of the Aggregate Collateral Balance or otherwise and following expiry of such 21 

day period shall be assigned a temporary S&P Rating of CCC-; or 

if paragraph (a) above does not apply or the Issuer or the Portfolio Manager, (on behalf 

of the Issuer), elects not to apply for a corporate credit estimate (to the extent that it 

may so elect not to do so) pursuant to paragraph (b) and another security or obligation 

of the Obligor is rated by S&P and neither the Issuer nor the Portfolio Manager obtains 

an S&P Rating for such Collateral Debt Obligation pursuant to paragraph (b) above, 

then the S&P Rating of such Collateral Debt Obligation shall be determined as follows: 

(i) 

(ii) 

(iii) 

if there is a rating on a senior secured obligation of the Obligor, then the S&P 

Rating of such Collateral Debt Obligation shall be one sub-category below 

such rating if such Collateral Debt Obligation is a senior secured or unsecured 

obligation of the Obligor; 

if there is a rating on a senior unsecured obligation of the Obligor, then the 

S&P Rating of such Collateral Debt Obligation shall equal such rating if such 

Collateral Debt Obligation is a senior secured obligation or senior unsecured 

obligation of the Obligor; and 

if there is a rating on a subordinated obligation of the Obligor, and if such 

Collateral Debt Obligation is a senior secured obligation or a senior unsecured 

obligation of the Obligor, then the S&P Rating of such Collateral Debt 

Obligation shall be one sub-category above such rating, if such rating is higher 

than BB+, and shall be two sub-categories above such rating, if such rating is 

BB+ or lower; or 

(d) 

if none of paragraphs (a), (b) or (c) applies, the S&P Rating of such Collateral Debt 

Obligation may be determined using any one of the methods provided below: 

(i) 

if such Collateral Debt Obligation is publicly rated by Moody's, then the S&P 

Rating of such Collateral Debt Obligation will be (A) one sub-category below 

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the S&P equivalent of the public rating assigned by Moody's if such Collateral 

Debt Obligation is rated Baa3 or higher by Moody's and (B) two 

sub-categories below the S&P equivalent of the public rating assigned by 

Moody's if such Collateral Debt Obligation is publicly rated Ba1 or lower 

provided that if Moody's has placed the Obligor of such Collateral Debt 

Obligation on a watchlist for possible upgrade to an issuer rating of BBB- or 

greater, then the Implied S&P Rating would be one sub-category below the 

Moody's equivalent of such issuer rating by Moody's and provided however 

that (x) an S&P Rating may only be derived under this paragraph (i) from a 

Moody's public rating and may not be derived from any Moody's confidential 

credit rating or credit estimate and (y) the Aggregate Collateral Balance of the 

Collateral Debt Obligations that may be deemed to have an S&P Rating based 

on a rating assigned by Moody's as provided in this sub-clause (i) may not 

exceed 20 per cent. of the Aggregate Collateral Balance; 

(ii) 

if such Collateral Debt Obligation is not publicly rated by Moody's but a 

security with the same ranking (a "parallel security") is publicly rated by 

Moody's, then the S&P Rating of such parallel security will be determined in 

accordance with the methodology set forth in sub-clause (i) above and the S&P 

Rating of such Collateral Debt Obligation will be determined in accordance 

with the methodology set forth in paragraph (c) above (for such purposes, 

treating the parallel security as if it were rated by S&P at the rating 

determined pursuant to this sub-clause (ii)), 

provided always that if a debt security or obligation of the Obligor has been in default during 

the past two years, the S&P Rating of such Collateral Debt Obligation will be D and, if no 

S&P Rating can be determined in accordance with any of the above paragraphs, the S&P 

Rating of any applicable Collateral Debt Obligation will be CCC-. 

The Coverage Tests 

The Coverage Tests will consist of the Class A/B Par Value Test, the Class A/B Interest 

Coverage Test, the Class C Par Value Test, the Class C Interest Coverage Test, the Class D 

Par Value Test, the Class D Interest Coverage Test, the Class E Par Value Test and the Class 

E Interest Coverage Test. The Coverage Tests will be used primarily to determine whether 

interest may be paid on the Class C Notes, the Class D Notes, the Class E Notes and the 

Class F Subordinated Notes and whether Principal Proceeds may be reinvested in Substitute 

Collateral Debt Obligations, or whether Principal Proceeds and, to the extent needed, Interest 

Proceeds which would otherwise be used to pay interest on the Class C Notes, the Class D 

Notes, the Class E Notes and the Class F Subordinated Notes must instead be used to pay the 

principal of the Class A Notes and, after redemption in full thereof, the Class B Notes in the 

event of failure to satisfy the Class A/B Coverage Tests or, in the event of the failure to 

satisfy the Class C Coverage Tests, to pay the principal of the Class A Notes and, after 

redemption in full thereof, the principal of the Class B Notes and, after redemption in full 

thereof, the principal of the Class C Notes or, in the event of the failure to satisfy the Class D 

Coverage Tests, to pay the principal of the Class A Notes and, after redemption in full 

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thereof, the principal of the Class B Notes and, after redemption in full thereof, the principal 

of the Class C Notes and, following redemption in full thereof, the principal of the Class D 

Notes or, in the event of the failure to satisfy the Class E Coverage Tests, to pay the principal 

of the Class A Notes and, after redemption in full thereof, the principal of the Class B Notes 

and, after redemption in full thereof, the principal of the Class C Notes and, after redemption 

in full thereof, the principal of the Class D Notes following redemption in full thereof, the 

principal of the Class E Notes, (in each case on a pari passu basis) to the extent necessary to 

cause the relevant Coverage Tests relating to the relevant Class of Notes to be satisfied. 

Class A/B Par Value Test 

The "Class A/B Par Value Test" will be satisfied as of the first Determination Date and each 

subsequent Measurement Date if the Class A/B Par Value Ratio (as defined in Condition 1 

(Definitions) of the Conditions of the Notes) is at least 118.62 per cent. 

Class A/B Interest Coverage Test 

The "Class A/B Interest Coverage Test" will be satisfied if: (i) on the first Determination 

Date and the second Determination Date, the Class A/B Interest Coverage Ratio (as defined in 

Condition 1 (Definitions) of the Conditions of the Notes) is at least 105.0 per cent. and (ii) as 

of any Measurement Date thereafter, the Class A/B Interest Coverage Ratio is at least 125.0 

per cent. 

Class C Par Value Test 

The "Class C Par Value Test" will be satisfied as of the first Determination Date and each 

subsequent Measurement Date if the Class C Par Value Ratio (as defined in Condition 1 


Class C Interest Coverage Test 

The "Class C Interest Coverage Test" will be satisfied if: (i) on the first Determination Date 

and the second Determination Date, the Class C Interest Coverage Ratio (as defined in 


of any Measurement Date thereafter, the Class C Interest Coverage Ratio is at least 120.0 per 

cent. 

Class D Par Value Test 

The "Class D Par Value Test" will be satisfied as of the first Determination Date and each 

subsequent Measurement Date if the Class D Par Value Ratio (as defined in Condition 1 


Class D Interest Coverage Test 

The "Class D Interest Coverage Test" will be satisfied if: (i) on the first Determination Date 

and the second Determination Date, the Class D Interest Coverage Ratio (as defined in 


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of any Measurement Date thereafter, the Class D Interest Coverage Ratio is at least 110.0 per 

cent. 

Class E Par Value Test 

The "Class E Par Value Test" will be satisfied as of the first Determination Date and each 

subsequent Measurement Date if the Class E Par Value Ratio (as defined in Condition 1 


Class E Interest Coverage Test 

The "Class E Interest Coverage Test" will be satisfied if: (i) on the first Determination Date 

and the second Determination Date, the Class E Interest Coverage Ratio (as defined in 


of any Measurement Date thereafter, the Class E Interest Coverage Ratio is at least 105.0 per 

cent. 

Additional Reinvestment Test 

The "Additional Reinvestment Test" will be satisfied if as of the first Determination Date 

and each subsequent Measurement Date if the Additional Reinvestment Ratio (as defined in 

Condition 1 (Definitions) of the Conditions of the Notes) is at least 105.39 per cent. 

The Interim Ramp-Up Tests 

The Portfolio Manager will use all reasonable endeavours to procure that, on the Interim 

Ramp-Up Test Date, those Collateral Debt Obligations held or committed to be purchased, 

satisfy the Interim Ramp-Up Tests. 

The Interim Ramp-Up Tests are as follows: 

(a) the Interim Ramp-Up Amount Test ; 

(b) 

(c) 

the Interim Moody's Metric Test; and 

the Interim Weighted Average Spread Test. 

For the purposes of the Interim Ramp-Up Tests: 

"Interim Moody's Metric Test" means the Moody's Metric Test that is satisfied as at the 

Interim Ramp-Up Test Date. 

"Interim Ramp-Up Amount Test" means the test that is satisfied as at the Interim Ramp-Up 

Test Date if the Issuer, or the Portfolio Manager acting on its behalf, will have purchased or 

entered into agreements to purchase, Collateral Debt Obligations identified by the Portfolio 

Manager, the Aggregate Principal Balance of which is equal to approximately 70.0 per cent. 

of the sum of the Target Par Amount (provided that, for the purposes of determining the 

Aggregate Principal Balance as provided above, any repayments or prepayments of Collateral 

Debt Obligations subsequent to the Closing Date shall be disregarded and the Principal 

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Balance of a Collateral Debt Obligation which is a Defaulted Obligation will be the lower of 

its S&P Collateral Value and its Moody's Collateral Value). 

"Interim Weighted Average Spread Test" means the test that is satisfied as at the Interim 

Ramp-Up Test Date if the Weighted Average Spread equals or exceeds the percentage set 

forth in the applicable row in the column headed "Minimum Spread Test" of the Moody's 

Test Matrix based upon the option chosen by the Portfolio Manager as currently applicable to 

the Target Portfolio. 

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DESCRIPTION OF THE COLLATERAL ADMINISTRATION AGREEMENT 

The following description of the Collateral Administration Agreement consists of a summary of 

certain provisions of the Collateral Administration Agreement and is qualified by reference to 

the detailed provisions thereof. The following summary does not purport to be complete and 

prospective investors must refer to the Collateral Administration Agreement for detailed 

information regarding the Collateral Administration Agreement. 

General 

JPMorgan Chase Bank, National Association will, under the terms of the Collateral 

Administration Agreement, act as the Collateral Administrator. 

JPMorgan Chase Bank, National Association is a wholly owned bank subsidiary of JPMorgan 

Chase & Co., a Delaware corporation whose principal office is located in New York, New 

York. JPMorgan Chase Bank, National Association is a commercial bank offering a wide 

range of banking services to its customers both domestically and internationally. It is 

chartered and its business is subject to examination and regulation by the Office of the 

Comptroller of the Currency. 

Effective July 1, 2004, Bank One Corporation merged with and into JPMorgan Chase, the 

surviving corporation in the merger. Prior to 13 November 2004, JPMorgan Chase Bank was 

a New York state-chartered bank and was named JPMorgan Chase Bank. On that date, it 

became a national banking association and its name was changed to JPMorgan Chase Bank, 

National Association (the "Conversion"). Immediately following the Conversion, Bank One, 

N.A. (Chicago) and Bank One, N.A. (Columbus) merged into JPMorgan Chase Bank, 

National Association. 

As of 30 June 2005, JPMorgan Chase Bank, National Association, had total assets of 

$973.1 billion, total net loans of $372.6 billion, total deposits of $529.2 billion, and total 

shareholders' equity of $83.2 billion. These figures are extracted from JPMorgan Chase 

Bank, National Association's unaudited Consolidated Reports of Condition and Income as at 

30 June 2005, which are filed with the Board of Governors of the Federal Reserve System. 

Additional information, including the most recent Form 10-K for the year ended 31 December 

2004 of JPMorgan Chase & Co., the 2004 Annual Report of JPMorgan Chase & Co. and 

additional annual, quarterly and current reports filed or furnished with the Securities and 

Exchange Commission by JPMorgan Chase & Co., as they become available, may be 

obtained without charge by each person to whom this Prospectus is delivered upon the written 

request of any such person to the Office of the Secretary, JPMorgan Chase & Co., 270 Park 

Avenue, New York, New York 10017. 

The London branch of JPMorgan Chase Bank, National Association is registered with the 

Registrar of Companies for England and Wales under number BR000746 and is authorised by 

the Financial Services Authority (Reference number 124491). 

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Duties of the Collateral Administrator 

The Collateral Administrator, amongst other duties, will: 

(a) 

(b) 

(c) 

design, programme, implement and maintain a portfolio testing system for running the 

Percentage Limitation tests, the Collateral Quality Tests, the Reinvestment Criteria and 

the Coverage Tests and for tracking cash flow; 

maintain a database of the Collateral Debt Obligations and Eligible Investments held by 

the Issuer; and 

prepare reports for, amongst others, the holders of the Notes (see "Description of the 

Reports"). 

Termination and Resignation of Appointment of the Collateral Administrator 

The appointment of the Collateral Administrator may be terminated (a) without cause at any 

time upon 60 days' prior written notice by the Issuer or the Trustee at its discretion or acting 

upon the directions of the holders of a majority of the Principal Amount Outstanding of the 

Class F Subordinated Notes or (b) with cause at any time with immediate effect by the Issuer 

or the Trustee at its discretion or acting upon the directions of the holders of a majority of the 

Principal Amount Outstanding of the Class F Subordinated Notes. Cause is as defined in the 

Collateral Administration Agreement. In addition the Collateral Administrator can resign its 

appointment with or without cause at any time by giving 90 days' prior written notice to the 

Issuer, the Trustee and the Portfolio Manager. Notwithstanding the foregoing, no proposed 

termination or resignation of the Collateral Administrator will be effective until a successor 

collateral administrator has been appointed. 

Liability of the Collateral Administrator 

The Collateral Administrator and its directors, members, officers, stockholders, partners, 

agents and employees shall not be liable (whether directly or indirectly, in contract or in tort 

or otherwise) to the Issuer, the Portfolio Manager, the Trustee, the Noteholders or any other 

person for losses, claims, damages, judgements, interest on judgements, assessments, taxes, 

costs, fees, charges, amounts paid in settlement of other liabilities incurred by the Issuer, the 

Trustee, the Portfolio Manager, the Noteholders or any other person that arise out of or in 

connection with the performance by the Collateral Administrator of its duties under the 

Collateral Administration Agreement except that nothing shall relieve the Collateral 

Administrator from liability if incurred by any such person by reason of any acts or omissions 

of the Collateral Administrator under the Collateral Administration Agreement constituting 

wilful misconduct, negligence, bad faith or fraud in the performance of its obligations 

thereunder. 

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DESCRIPTION OF THE PORTFOLIO MANAGEMENT AGREEMENT 

The following description of the Portfolio Management Agreement consists of a summary of 

certain provisions of the Portfolio Management Agreement and is qualified by reference to the 

detailed provisions thereof. The following summary does not purport to be complete and 

prospective investors must refer to the Portfolio Management Agreement for detailed 

information regarding the Portfolio Management Agreement. 

The portfolio management functions described herein will be performed by the Portfolio 

Manager pursuant to authority granted to the Portfolio Manager by the Issuer under the 

Portfolio Management Agreement. The Portfolio Management Agreement contains 

procedures whereby any direction made by the Portfolio Manager to the Collateral 

Administrator, as agent on behalf of the Issuer, in relation to the acquisition, disposal, 

reinvestment and management of the Portfolio will be subject to a determination, in respect of 

certain matters, and confirmation in respect thereof being given by the Collateral 

Administrator and approval by the Trustee. Pursuant to the Portfolio Management 

Agreement, the Issuer has and may delegate authority to the Portfolio Manager to carry out 

certain functions in relation to the Portfolio and the hedging arrangements without the 

requirement for specific approval by the Issuer, the Collateral Administrator or the Trustee. 

The Portfolio Manager has agreed to perform its obligations under the Portfolio Management 

Agreement with reasonable care, in a manner consistent with practices and procedures 

generally followed by reputable institutional portfolio managers managing investments or 

advising in respect of assets and liabilities similar in nature and character to those which 

comprise the Collateral, except as expressly provided otherwise in the Portfolio Management 

Agreement. Subject to this standard of care, the Portfolio Manager shall follow its customary 

standards, policies and procedures in performing its duties under the Portfolio Management 

Agreement. 

Fees 

As compensation for the performance of its obligations as Portfolio Manager under the 

Portfolio Management Agreement the Portfolio Manager shall, subject to Condition 4(c) 

(Limited Recourse) under "Conditions of the Notes", be paid (in each case, plus any 

applicable value added tax or sales tax payable by the Portfolio Manager) the Senior Portfolio 

Management Fee, the Mezzanine Portfolio Management Fee and the Subordinated Portfolio 

Management Fee in arrear on each Payment Date in accordance with the applicable Priorities 

of Payment. Any Senior Portfolio Management Fee, Mezzanine Portfolio Management Fee 

or Subordinated Portfolio Management Fee not paid on the Payment Date on which it is due 

will be added to the Senior Portfolio Management Fee, Mezzanine Portfolio Management Fee 

or, as the case may be, Subordinated Portfolio Management Fee due on the next occurring 

Payment Date. Any amount so deferred will bear interest at the then applicable rate of 

EURIBOR plus 3.0 per cent. Supplementary fee arrangements may also be agreed by the 

Portfolio Manager with third parties from time to time. 

In addition to the above, the Portfolio Manager shall be paid a performance related fee, the 

"Incentive Management Fee". The Incentive Management Fee is due and payable to the 

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Portfolio Manager on the first Payment Date on which the Class F Subordinated Noteholders 

receive an amount equal to the Class F IRR threshold and on each Payment Date thereafter 

and is equal to 20.0 per cent. of the cash flow, if any, available for payment to the 

Subordinated Noteholders. Any Incentive Management Fee not paid on the relevant Payment 

Date on which it is due will be added to the Senior Portfolio Management Fee, the Mezzanine 

Portfolio Management Fee or, as the case may be, Subordinated Portfolio Management Fee 

due on the next occurring Payment Date. 

Removal and Resignation 

Resignation and Removal without Cause 

The Portfolio Manager may (a) resign without cause at any time upon giving not less than 

60 days prior written notice to the Issuer (b) at any time upon giving not less than 10 Business 

Days' prior written notice to the Issuer where the Issuer is in material breach of any provision 

of the Portfolio Management Agreement applicable to it and the Issuer fails to remedy such 

breach within 15 days after notice of such failure is given to it or where any of the events 

referred to in Condition 10 (Events of Default) has occurred in relation to the Issuer or (c) at 

any time upon giving not less than 10 days' prior written notice to the Issuer, if, the Portfolio 

Manager ceases to be permitted to act as such under any applicable law or regulation. 

The Portfolio Manager may be removed upon at least 90 days' prior written notice by the 

Issuer at the direction of the holders of not less than 66 2 /3 per cent. of the Principal Amount 

Outstanding of the Class A Notes in the event that the Class A/B Par Value Ratio, as of any 

Measurement Date, is less than 100 per cent. or, if no Class A Notes are outstanding, the 

holders of not less than 66 2 /3 per cent. of the Principal Amount Outstanding of the Class B 

Notes in the event that the Class A/B Par Value Ratio, as of any Measurement Date is less 

than 100 per cent. Upon such removal without cause, the Portfolio Manager shall be entitled 

to receive the Make-Whole Management Fee. 

The Portfolio Manager may also be removed without cause upon 90 days' prior written notice 

by the Issuer at the direction of the holders of not less than 75 per cent. of the Principal 

Amount Outstanding of each Class of Notes. 

Removal with Cause: 

The Portfolio Manager may be removed for Cause upon ten Business Days' prior written 

notice by the Issuer or the Trustee at the direction of the holders of (a) a majority of the 

Principal Amount Outstanding of the Class F Subordinated Notes; or (b) a majority of the 

Principal Amount Outstanding of the Notes of the Controlling Class, provided that, in each 

case, notice of such removal shall have been given to the holders of the Notes. For purposes 

of the Portfolio Management Agreement, "Cause" will mean (i) wilful violation or wilful 

breach by the Portfolio Manager of any material provision of the Portfolio Management 

Agreement (unrelated to the economic performance of the Collateral Debt Obligations), 

(ii) violation by the Portfolio Manager of any material provision of the Portfolio Management 

Agreement or the Trust Deed applicable to it which breach (a) has a material adverse effect on 

Noteholders of any Class and (b) is not cured within 30 days of the Portfolio Manager 

- 333 -

ecoming aware of, or receiving notice from, the Issuer or the Trustee of, such breach, 

(iii) the occurrence of an act on the part of the Portfolio Manager that constitutes fraud or 

criminal activity in the performance of its obligations under the Portfolio Management 

Agreement, (iv) the Portfolio Manager being found guilty of having committed a criminal 

offence materially related to the management of investments similar in nature and character to 

those which comprise the Portfolio, and which occurrence or indictment has a material 

adverse effect on the ability of the Portfolio Manager to perform its obligation under the 

Portfolio Management Agreement, (v) certain events of bankruptcy or insolvency in respect of 

the Portfolio Manager or (vi) the occurrence of an Event of Default specified in paragraph (i) 

or (ii) of Condition 10 of the Notes. 

Any Notes held by or on behalf of the Portfolio Manager and its Affiliates will have no voting 

rights with respect to any vote in connection with the removal of the Portfolio Manager and 

will be deemed not to be Outstanding in connection with any such vote provided, however, 

that any Notes held by the Portfolio Manager and its Affiliates will have voting rights with 

respect to all other matters as to which Noteholders are entitled to vote, including, without 

limitation, any vote in connection with the appointment of a replacement portfolio manager in 

accordance with the Portfolio Management Agreement. 

In case of removal of the Portfolio Manager by the Issuer at the direction in writing of the 

holders of not less than 66 2 /3 per cent. of the Class A Notes in the event that the applicable 

Par Value Ratio, as of any Measurement Date, being less than 100 per cent, or item 

(iv) above such removal will be effective notwithstanding that no replacement Portfolio 

Manager has been appointed. Following removal of the Portfolio Manager pursuant to the 

applicable Par Value Ratio, as of any Measurement Date, being less than 100 per cent, the 

Issuer shall not be obliged to appoint a replacement Portfolio Manager. Subject as aforesaid, 

no resignation or removal of the Portfolio Manager shall be effective unless and until a 

replacement portfolio manager has been appointed as described below. 

Following the removal of the Portfolio Manager pursuant to item (iv) above, the Issuer shall 

use its reasonable endeavours to appoint a replacement Portfolio Manager as soon as 

reasonably practicable in accordance with the next paragraph, after having received and 

considered any advice or proposals tendered by the Trustee as to the appointment of such 

replacement. 

Upon any resignation or removal of the Portfolio Manager (including a removal pursuant to 

item (iv) above) while any of the Notes are outstanding, the Issuer shall, subject to approval 

of the holders of not less than the majority of the Principal Amount Outstanding of the Class F 

Subordinated Notes (including those Class F Subordinated Notes held by the Portfolio 

Manager and its Affiliates) and receipt of Rating Agency Confirmation, appoint an institution 

as replacement portfolio manager which is not Affiliated with the Portfolio Manager (other 

than an appointment of a replacement following resignation by the Portfolio Manager), 

provided that, the holders of a majority of the Principal Amount Outstanding of each other 

Class of Notes do not duly vote against the appointment of such institution within 30 days of 

notice of such appointment. In the event that the appointment of the Portfolio Manager has 

been terminated as described above and in the Portfolio Management Agreement, and neither 

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the Issuer nor the Trustee shall have appointed a successor prior to the day following the day 

on which the Portfolio Manager would otherwise have vacated its post had such a successor 

been appointed, the Portfolio Manager will be entitled to appoint a non-Affiliated successor. 

No compensation payable to a successor portfolio manager from payments on the Collateral 

shall be greater than that paid to the Portfolio Manager without the prior written consent of 

holders of a majority of the Principal Amount Outstanding of each Class of Notes. Upon 

termination of the appointment of any Portfolio Manager as specified in the Portfolio 

Management Agreement, all authority and power of the Portfolio Manager under the Portfolio 

Management Agreement, whether with respect to the Portfolio or otherwise, shall 

automatically and without action by any person or entity pass to and be vested in the successor 

portfolio manager upon the appointment thereof. 

Assignment 

The Portfolio Manager may not assign or transfer any of its rights and obligations under the 

Portfolio Management Agreement except that the Portfolio Manager may make such a transfer 

pursuant to a consolidation or amalgamation with, or merger with or into, or a transfer of 

assets to, another entity (including, without limitation, pursuant to a fusion, scission or apport 

partiel d'actifs) provided that: 

(a) 

(b) 

(i) the resulting, surviving or transferee entity (the "Replacement Portfolio 

Manager") assumes all the obligations of the Portfolio Manager under the Portfolio 

Management Agreement, whether by operation of law or otherwise, (ii) Rating Agency 

Confirmation is obtained in respect of such assignment or transfer, and (iii) each of the 

Issuer and the Trustee consents in writing to such assignment or transfer, or 

the Replacement Portfolio Manager acquires all, or substantially all, of (i) the Portfolio 

Manager's assets, undertaking and business, or (ii) the Portfolio Manager's assets, 

undertaking and business pertaining to asset management or investment advisory 

services relating to collateralised debt obligation or credit linked note structures. 

Liability of the Portfolio Manager 

The Portfolio Manager, (a) shall not be responsible for any action of the Issuer, the Trustee or 

the Collateral Administrator in following or declining to follow any advice, direction, 

instruction or recommendation of the Portfolio Manager, (b) does not assume any fiduciary 

duty or responsibility with regard to the Issuer or the Noteholders, (c) does not guarantee or 

otherwise assume any responsibility for the performance of the Notes, any obligation 

comprised in the Portfolio or the performance by any third party of any contract entered into 

by or on behalf of the Issuer, (d) does not guarantee or otherwise assume any responsibility 

for the performance of any other party under any Transaction Document, and (e) shall incur 

no liability to anyone in acting upon any signature, instrument, statement, notice, resolution, 

request, direction, consent, order, report, opinion, bond or other document or paper 

reasonably believed by it to be genuine and reasonably believed by it to be properly executed 

or signed by the proper party or parties. 

- 335 -

The Portfolio Manager and its directors, members, officers, stockholders, partners, agents 

and employees shall not be liable (whether directly or indirectly, in contract or in tort or 

otherwise) to the Issuer, the Collateral Administrator, the Trustee, the Noteholders, any 

Hedge Counterparty, the Credit Short Obligation Counterparty, the Offsetting Credit Default 

Swap Counterparty or any other person for losses, expenses, claims, damages, judgements, 

interest on judgements, assessments, taxes, costs, fees, charges, amounts paid in settlement of 

other liabilities incurred by the Issuer, the Trustee, the Collateral Administrator, the 

Noteholders or any other person that arise out of or in connection with any act or omission in 

the performance by the Portfolio Manager of its duties under the Portfolio Management 

Agreement except that nothing shall relieve the Portfolio Manager from liability to the Issuer 

in respect of any direct Liabilities (to the exclusion of any consequential or indirect losses, 

whose term shall include without limitation, any consequential or indirect economic losses or 

any loss of turnover, profits or business incurred by the Issuer but for the avoidance of doubt 

shall exclude any amount contemplated or envisaged by the Portfolio Manager and the Issuer 

on execution of the Portfolio Management Agreement to be payable to or as the case may be 

by the Issuer in relation to the Transaction Documents or taxes resulting from a failure to 

comply with the investment restrictions contained in the Portfolio Management Agreement): 

(a) 

(b) 

by reason of any acts or omissions of the Portfolio Manager under the Portfolio 

Management Agreement or the Portfolio Manager's wilful misconduct, bad faith, fraud 

or gross negligence (subject to the standard of care set forth in Clause 4.2(a) (Powers 

and Duties of the Portfolio Manager - Standard of Care) of the Portfolio Management 

Agreement for the purposes of establishing such wilful misconduct, bad faith, fraud or 

gross negligence) in the performance of its obligations thereunder; or 

with respect to any information concerning the Portfolio Manager provided in writing 

to the Issuer or to another person on its behalf by the Portfolio Manager expressly for 

inclusion in this Prospectus which contains any untrue statement of material fact or 

omits to state a material fact necessary in order to make the statements therein, in the 

light of the circumstances under which they were made not misleading. 

Without prejudice to the generality of the foregoing, the Portfolio Manager shall incur no 

liability to the Issuer, its shareholders or creditors (including but not limited to the Trustee, 

the Noteholders, the Collateral Administrator or any other Person): directly or indirectly, by 

reason of any act or omission of the Issuer (other than an act or omission by the Issuer 

required to be performed, or not performed, as the case may be, by the Portfolio Manager on 

behalf of the Issuer pursuant to the Portfolio Management Agreement), or any other person 

party to a Transaction Document or any other agreement with the Portfolio Manager relating 

to the Portfolio or the CDO Liabilities. 

In certain circumstances, the interests of the Issuer and/or the holders of the Notes with 

respect to matters as to which the Portfolio Manager is advising the Issuer, may conflict with 

the interests of the Portfolio Manager and its affiliates. See "Risk Factors – Certain Conflicts 

of Interest" above. 

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DESCRIPTION OF THE INTEREST RATE AND CURRENCY HEDGE 

ARRANGEMENTS 

The following is a summary of the principal terms of (a) the initial interest rate and currency 

hedging arrangements to be entered into by the Issuer on the Closing Date and (b) the interest 

rate and currency hedging procedures to be followed after the Closing Date, each as set out in 

more detail in the Hedge Agreements. The following is a summary only and should not be 

relied upon as an exhaustive description of the detailed provisions of such documents. 

The hedge arrangements consist of initial portfolio wide hedging arrangements and hedging 

transactions; the procedure for operating the hedging arrangements is set out in a schedule to 

the Portfolio Management Agreement and the Hedging Procedures. 

Hedge Agreements 

On the Closing Date, the Issuer will enter into the Initial Hedge Agreements with the Initial 

Hedge Counterparties as reviewed by the Rating Agencies in accordance with any applicable 

hedging procedures contained in the Portfolio Management Agreement or the Hedging 

Procedures and the Rating Requirements applicable thereto (or to its credit support provider). 

Subsequent hedging transactions may be entered into with either the Initial Hedge 

Counterparty or any other person (each, a "Hedge Counterparty"), under the terms of an 

ISDA master agreement substantially similar to the Initial Hedge Agreements (each, being a 

"Hedge Agreement"). The subsequent hedging transactions will be entered into subject to 

obtaining Rating Agency Confirmation unless previously reviewed by the Rating Agencies. 

The Hedge Agreements will be documented under a 1992 Master Agreement (Multicurrency - 

Cross Border) in the form published by the International Swaps and Derivatives Association, 

Inc. ("ISDA"). Transactions entered into under a Hedge Agreement are documented as 

confirmations to such Hedge Agreement. Each transaction evidenced by a confirmation 

entered into under a Hedge Agreement will either relate only to interest rate risk (for 

example, exchanging fixed rate euro for floating euro, or fixed rate Sterling for floating 

Sterling, or entitling a party to acquire an interest rate swaption, option or forward) (each an 

"Interest Hedge Transaction") or to currency risk (for example, exchanging floating rate 

euro for floating rate Sterling under a cross currency swap, or currency options or currency 

forward transactions) (each a "Currency Swap Transaction"). Interest Hedge Transactions 

and Currency Swap Transactions are collectively referred to as "Hedge Transactions". 

Payments to any Hedge Counterparty under any Hedge Agreement (other than early 

termination or liquidation breakage costs owing by the Issuer by reason of the occurrence of 

an event of default or termination event thereunder with respect to the Hedge Counterparty) 

will be senior to all payments to holders of the Notes. 

Hedging Strategy 

The Issuer will have three options which operating together will form a hedging strategy in 

respect of which Rating Agency Confirmation has been obtained or has already been reviewed 

by the Rating Agencies: 

- 337 -

(i) 

(ii) 

(iii) 

interest rate hedging under any Interest Hedge Transaction in respect of which Rating 

Agency Confirmation has been obtained or has already been reviewed by the Rating 

Agencies; 

currency hedging which will involve exchanges of amounts in one currency for 

amounts in another currency in accordance with certain hedging procedures (as 

described below) and under any applicable Currency Swap Transactions which will be 

entered into at Closing; 

perfect asset swaps which will involve exchanging the income in one currency on an 

asset for the income in another currency again under any such applicable Currency 

Swap Transactions. 

Hedging Procedures 

Pursuant to the -Agreement the Issuer will be able to swap Sterling for Euro. The Euro will 

be used to buy Sterling denominated assets. Payments made under such assets can be 

converted back to Euro utilising currency options, cash available for the purpose or rights 

under the applicable Currency Hedge Transactions. The Portfolio Manager, on behalf of the 

Issuer, will in accordance with the hedging procedures determine which method to utilise. 

These procedures should be applied to any other currency transactions (similar to those 

described in paragraph (ii) above)) the Portfolio Manager, on behalf of the Issuer, puts in 

place. 

In the event that more than 5 per cent. of the Aggregate Collateral Balance of the Collateral 

Debt Obligations consist of Collateral Debt Obligations that pay interest less frequently than 

semi-annually, such excess amount of such Collateral Debt Obligations shall be hedged 

pursuant to an applicable Interest Rate Hedge Agreement (to be reviewed by S&P). 

Standard Terms of Hedge Agreements 

Each Hedge Agreement shall be governed by English law and shall contain the following 

standard terms: 

Gross Up: Neither the Issuer nor the Hedge Counterparty will be obliged to gross up any 

payments under the Hedge Agreements in the event of any withholding or deduction being 

required in relation to any payment thereunder. Any such event will however result in a "Tax 

Event" which is a "Termination Event" for the purposes of the Hedge Agreement (see 

"Termination Provisions" below). In the event of the occurrence of a "Tax Event" (as defined 

in the relevant agreement), the relevant "Affected Party" (as defined in the relevant 

agreement) may transfer its obligations under the agreement to an Affiliate (in the case of a 

Hedge Counterparty) or to an entity incorporated in an alternative jurisdiction (in the case of 

the Issuer) subject to satisfaction of the conditions specified therein (including receipt of 

confirmation from the Rating Agencies that such transfer shall not have any adverse impact on 

the ratings of any of the Rated Notes). 

- 338 -

Limited Recourse: The obligations of the Issuer under the Hedge Agreements will be limited 

to the proceeds of enforcement of the Collateral as applied in accordance with the Priorities of 

Payment and the provisions of the Trust Deed. 

Termination Provisions: The Issuer may terminate a Hedge Agreement if there is an "Event 

of Default" or a "Termination Event" (each as defined in the Hedge Agreement) with respect 

to the Hedge Counterparty and the Hedge Counterparty may terminate the Hedge Agreement 

if there is an "Event of Default" or a "Termination Event" with respect to the Issuer. Each 

Hedge Agreement will contain termination events commonly found in the 1992 ISDA Master 

Agreement (Multi-currency Cross Border) documentation other than certain amendments to 

limit the standard events and the inclusion of two Additional Termination Events (as defined 

in the relevant Hedge Agreement) (i) upon the Notes becoming redeemed in whole pursuant to 

Condition 7(b) (Optional Redemption) or otherwise redeemed in whole and (ii) upon the 

ratings downgrade of the Hedge Counterparty and remedies including counterparty 

replacement and the posting of collateral (see "Hedge Counterparty Ratings Downgrade 

Provisions below"). 

Replacement Hedge Agreements: On termination of a Hedge Agreement due to the 

occurrence of an "Event of Default" or a "Termination Event" with respect to the Hedge 

Counterparty unless the Principal Balance of Sterling Collateral Debt Obligations is less than 

or equal to the Sterling notional principal amount from time to time of the Currency Swap 

Transactions which will remain outstanding following such termination, the Issuer is required 

to enter into a Replacement Agreement on substantially similar terms to those of the 

terminated Hedge Agreement or on such other terms as each Rating Agency may confirm 

would not cause such Rating Agency's then current rating, if any, of any Class of Notes to be 

reduced or withdrawn. The cost to the Issuer of entering into the Replacement Agreement or 

terminating the terminated Hedge Agreement will be paid by the Issuer in accordance with the 

Priorities of Payment. Where the Issuer is required to make a payment to the terminated 

Hedge Counterparty in respect of such termination or to the Replacement Counterparty in 

respect of entry into such Replacement Agreement it is likely that it will be entitled to receive 

a similar amount from, respectively, the Replacement Counterparty on entry into the 

Replacement Hedge Agreement or the terminated Hedge Counterparty in respect of the 

terminated Hedge Agreement. Such amounts payable by the Issuer will be payable subject to 

the Priorities of Payment. 

Hedge Counterparty Ratings Downgrade Provisions: The Hedge Agreements will provide 

that if the rating of any Hedge Counterparty (or, its credit support provider (if any)) by 

Moody's falls below "A1" or by Standard & Poor's falls below "A-1+" (a "Ratings Event"), 

an Additional Termination Event will occur unless, within 30 calendar days of such Ratings 

Event, such Hedge Counterparty at its own cost: 

(a) 

transfers its interest in, and obligations under, the relevant master agreement to another 

entity which satisfies the applicable Rating Requirements (or whose guarantor or credit 

support provider satisfies the applicable Rating Requirements) subject to obtaining 

Rating Agency Confirmation; or 

- 339 -

(b) 

(c) 

(d) 

(e) 

procures that an entity which satisfies the applicable Rating Requirements (or whose 

guarantor or credit support provider which satisfies the applicable Rating 

Requirements) guarantees or provides an indemnity in respect of its obligations under 

the relevant master agreement subject to obtaining Rating Agency Confirmation; or 

procures another person which satisfies the applicable Rating Requirements to become 

co-obligor of such Hedge Counterparty's obligations or takes such other action as it 

may agree with the affected Rating Agency subject to obtaining Rating Agency 

Confirmation; or 

lodges collateral under an appropriate mark to market collateral agreement under an 

ISDA Credit Support Annex; or 

employs any other strategy as is acceptable to the Issuer in respect of which Rating 

Agency Confirmation has been obtained from the affected Rating Agency from time to 

time. 

Written Notice shall be provided by the relevant Hedge Counterparty of taking any of the 

actions referred to in (a) to (d) inclusive above in order to obtain Rating Agency Confirmation 

in relation thereto. 

The obligation to post collateral and procure the transfer of the obligation of the relevant 

Hedge Counterparty shall continue, if after the expiry of the 30 day period mentioned above, 

no transferee shall have been found. 

If such Hedge Counterparty's (or its credit support provider's) short term ratings fall to less 

than "P-1" by Moody's or its long term ratings fall to "A3" or less by Moody's, such Hedge 

Counterparty must immediately take the action described above in paragraph (d) above at its 

own expense. If such Hedge Counterparty does not take the action described in 

paragraphs (a) to (c) above within 10 Business Days or the action described in this paragraph, 

an Additional Termination Event shall occur and should it fail to take the action in (d) then an 

Event of Default under. 

If such Hedge Counterparty (or its credit support provider) falls below BBB by Standard & 

Poor's, such Hedge Counterparty must take the action which accords with paragraphs (a) to 

(c) above immediately and, to the extent it has already done so continue to accord with 

paragraph (d) above. If such Hedge Counterparty does not take the action described in 

paragraphs (a) to (d) above within 30 Business Days or the action described in this paragraph, 

an Additional Termination Event shall occur. 

The amount of collateral to be posted under the collateral agreement referred to at (d) above 

will be calculated either (i) with regard to Moody's, a sum based on the exposure to the mark 

to market values of the outstanding hedge transactions and (ii) with regard to Standard & 

Poor's a sum based on its published criteria. 

For these purposes, the "Termination Value" of a Hedge Agreement is the amount payable to 

(expressed as a positive number), or by (expressed as a negative number), the Issuer were the 

- 340 -

Hedge Agreement to be terminated, determined in accordance with the relevant Hedge 

Agreement on a marked-to-market on a weekly basis. 

Transfer and Modification 

On and after the Closing Date, the Portfolio Manager, acting on behalf of the Issuer, may not 

modify any Hedge Agreement without Rating Agency Confirmation in relation to such 

modification. A Hedge Counterparty may assign its obligations under a Hedge Agreement to 

any institution provided, however, that Rating Agency Confirmation shall have been given in 

relation to such assignment. 

Initial Hedge Counterparty: 

Merrill Lynch Capital Markets Bank Limited of Treasury Building, Lower Grand Canal 

Street, Dublin 2, Ireland, an Irish based bank providing services to clients including but not 

exclusively origination, brokerage and related activities in swaps, options, forward exchangetraded 

futures, other derivatives and foreign exchange traded products. 

Other Initial Hedge Counterparties: The Issuer may, with the prior written approval of the 

Rating Agencies, enter into Hedge Agreements with other initial Hedge Counterparties which 

satisfy (or its credit support provider satisfy) the applicable Rating Requirements. 

- 341 -

DESCRIPTION OF THE REPORTS 

Monthly Reports 

The Collateral Administrator, not later than the tenth Business Day after the last Business Day 

of each month commencing at least six weeks after the Closing Date in 14 December 2005, on 

behalf of the Issuer and in consultation with the Portfolio Manager and pursuant to the terms 

of the Portfolio Management Agreement, shall compile and provide to the Trustee, the 

Portfolio Manager, the Issuer and each Rating Agency and, upon written request therefor in 

the form set out in the Agency Agreement certifying that it is a holder of a beneficial interest 

in any Note, to such holder, a monthly report (the "Monthly Report"), which shall contain 

the following information with respect to the Portfolio, determined by the Collateral 

Administrator in consultation with the Portfolio Manager as of the last Business Day of the 

month: 

Portfolio 

(i) 

(ii) 

(iii) 

(iv) 

subject to any confidentiality obligations binding on the Issuer, the Aggregate Principal 

Balance of the Collateral Debt Obligations and the aggregate of the Principal Balances 

of the Eligible Investments, and the Principal Balance, the annual interest rate, Stated 

Maturity, obligor under, Industry Classification, S&P Industry Category, Moody's 

Rating and S&P Rating (if applicable) (but not any confidential credit estimate) of, 

each Collateral Debt Obligation, Eligible Investment and Collateral Enhancement 

Obligation; 

subject to any confidentiality obligations binding on the Issuer, the number, identity 

and, if applicable, par value of, respectively, any Collateral Debt Obligations, 

Collateral Enhancement Obligations and Special Situation Investment Obligations that 

were released for sale or other disposition (specifying the section in the Portfolio 

Management Agreement pursuant to which such sale or other disposition was made), 

the number, identity and, if applicable, par value of, respectively, any Collateral Debt 

Obligations, Collateral Enhancement Obligations and Special Situation Investment 

Obligations acquired by the Issuer since the date of determination of the last Monthly 

Report; 

subject to any confidentiality obligations binding on the Issuer, the purchase or sale 

price of each Collateral Debt Obligation, Eligible Investment and Collateral 

Enhancement Obligation acquired by the Issuer and in which the Issuer has granted a 

security interest to the Trustee, and each Collateral Debt Obligation, Eligible 

Investment and Collateral Enhancement Obligation sold by the Issuer since the date of 

determination of the last Monthly Report and the identity of the purchasers or sellers 

thereof, if any, that are Affiliated with the Issuer or the Portfolio Manager; 

subject to any confidentiality obligations binding on the Issuer, the identity of each 

Collateral Debt Obligation which became a Defaulted Obligation, a Current Pay 

Obligation or an Exchanged Debt Obligation or in respect of which an Exchanged 

- 342 -

Equity Security has been received since the date of determination of the last Monthly 

Report; 

(v) 

(vi) 

the Aggregate Principal Balance of Collateral Debt Obligations which were upgraded 

or downgraded since the most recent Monthly Report and of which the Collateral 

Administrator or the Portfolio Manager has actual knowledge and the percentage of the 

Aggregate Principal Balance which consists of Collateral Debt Obligations with a S&P 

Rating of CCC+ or below and/or any Collateral Debt Obligations which have been 

placed on credit watch for downgrade; and 

the percentages of the Aggregate Principal Amount of the Portfolio that represent 

(A) Synthetic Securities, (B) Collateral Debt Obligations that have been loaned to 

Securities Lending Counterparties, (C) Participations, (D) Current Pay Obligations, 

(E) CCC Obligations, (F) Discount Obligations, (G) Special Situation Investments, 

(H) Collateral Enhancement Obligations and (I) Offsetting Credit Default Swaps, in 

each case for each of the credit ratings set forth in the tables to the respective 

descriptions of "Synthetic Securities", "Securities Lending", "Participations", "Current 

Pay Obligations", "CCC Obligations", "Discount Obligations", "Special Situation 

Investments, "Collateral Enhancement Obligations" and "Offsetting Credit Default 

Swaps" in "The Portfolio – Management of the Portfolio". 

Accounts 

(i) 

(ii) 

(iii) 

the nature, source and amount of any proceeds in the Interest Account received since 

the date of determination of the last Monthly Report; 

the nature, source and amount of any proceeds in the Principal Account (stating 

separately the amount of Sale Proceeds) received since the date of determination of the 

last Monthly Report; 

the amount of any funds standing to the credit of the Unused Proceeds Account, the 

Collateral Enhancement Account, the GBP Principal Account, the GBP Interest 

Account, the Hedge Reserve Account, the Interest Reserve Account, the Revolving 

Reserve Account, the Hedge Termination Receipt Account and the Securities Lending 

Account and the amount of any monies redirected to any Special Situation Investments; 

Hedge Transactions 

(i) 

(ii) 

the outstanding Notional Amount (as defined therein) of each Interest Rate Hedge 

Agreement and Currency Hedge Agreement and each Offsetting Credit Default Swap; 

the amount scheduled to be received and paid by the Issuer pursuant to each Interest 

Rate Hedge Agreement and Currency Hedge Agreement and Offsetting Credit Default 

Swap on or before the next Payment Date; 

Coverage Tests and Collateral Quality Tests 

(i) 

the Class A/B Par Value Ratio, the Class C Par Value Ratio, the Class D Par Value 

Ratio and the Class E Par Value Ratio and a statement as to whether each of the 

- 343 -

Class A/B Par Value Test, the Class C Par Value Test, the Class D Par Value Test and 

the Class E Par Value Test is satisfied; 

(ii) 

(iii) 

(iv) 

(v) 

(vi) 

(vii) 

(viii) 

(ix) 

(x) 

the Class A/B Interest Coverage Ratio, the Class C Interest Coverage Ratio, the 

Class D Interest Coverage Ratio and the Class E Interest Coverage Ratio and a 

statement as to whether each of the Class A/B Interest Coverage Test, the Class C 

Interest Coverage Test, the Class D Interest Coverage Test and the Class E Interest 

Coverage Test is satisfied; 

a statement as to whether the CDO Monitor Test is satisfied; 

the S&P Minimum Weighted Average Recovery Rate and a statement as to whether the 

S&P Minimum Average Recovery Rate Test is satisfied; 

a statement as to whether the Moody's Metric Test is satisfied; 

the Moody's Weighted Average Recovery Rate and a statement as to whether the 

Moody's Minimum Weighted Average Recovery Rate Test is satisfied; 

the result obtained upon calculation of the Weighted Average Spread and the Weighted 

Average Fixed Rate Coupon and a statement as to whether the Minimum Spread Test is 

satisfied; 

a statement as to whether the Maximum Weighted Average Life Test is satisfied; 

the result obtained upon calculation of the CCC Excess Haircut; and 

a statement showing the Discount Obligations arising in the Portfolio since the date of 

determination of the last Monthly Report. 

Percentage Limitations 

(i) 

the percentage of the Aggregate Portfolio Balance which consists of Collateral Debt 

Obligations that are: 

(a) 

(b) 

(c) 

(d) 

(e) 

(f) 

(g) 

(h) 

(i) 

Synthetic Securities; 

Current Pay Obligations; 

Participations; 

Floating Rate Collateral Debt Obligations; 

Mezzanine Obligations; 

High Yield Bonds; 

Revolving Obligations or Delayed Drawdown Obligations; 

Secured Senior Loans; 

Mezzanine Obligations issued by a single Obligor and its Affiliates; 

- 344 -

(j) 

(k) 

(l) 

(m) 

(n) 

(o) 

High Yield Bonds issued by a single Obligor and its Affiliates; 

Non-Euro Obligations; 

Unsecured Senior Loans; 

Collateral Debt Obligations in respect of which withholding tax is deducted 

and which is not grossed-up or recoverable under applicable double tax treaty 

relief; 

Credit Short Obligations; 

Offsetting Credit Default Swaps. 

(ii) 

confirmation that: 

(a) 

(b) 

no single Obligor represents more than €8,750,000 of the Aggregate 

Collateral Balance (save as otherwise permitted pursuant to the Percentage 

Limitations); and 

the limits specified in the Bivariate Risk Table determined by reference to the 

S&P Ratings of Selling Institution(s), Securities Lending Counterparties, 

Synthetic Counterparties or Offsetting Credit Default Swap Counterparties and 

in the Bivariate Risk Table determined by reference to the Moody's Ratings of 

Selling Institutions, Securities Lending Counterparties, Synthetic 

Counterparties or Offsetting Credit Default Swap Counterparties are satisfied. 

(iii) 

any applicable rate of withholding tax on payments under any Collateral Debt 

Obligations. 

Note Valuation Report 

The Collateral Administrator, on behalf of the Issuer and in consultation with the Portfolio 

Manager, shall render an accounting report (the "Note Valuation Report"), compiled and 

determined as of each Determination Date and presented on each Payment Date commencing 

at least six weeks after the Closing Date, and delivered to the Portfolio Manager, the Issuer, 

the Trustee, the Initial Purchaser, any holder of a beneficial interest in any Note (upon written 

request therefor in the form set out in the Agency Agreement certifying that it is such a 

holder) and each Rating Agency not later than the second Business Day preceding the related 

Payment Date. Upon receipt of each Note Valuation Report, the Collateral Administrator, in 

the name and at the expense of the Issuer, shall notify the Irish Stock Exchange of the 

Principal Amount Outstanding of each Class of Notes after giving effect to the principal 

payments, if any, on the next Payment Date. The Note Valuation Report shall contain the 

following information: 

Portfolio 

(i) 

the Aggregate Principal Balance of the Collateral Debt Obligations as of the close of 

business on such Determination Date, taking into account (A) Principal Proceeds 

- 345 -

eceived on the Collateral Debt Obligations with respect to the related Due Period and 

the reinvestment of such Principal Proceeds in Substitute Collateral Debt Obligations or 

Eligible Investments during such Due Period and (B) the release of any Collateral Debt 

Obligations (other than pursuant to any Securities Lending Agreements) during such 

Due Period; 

(ii) 

a list of, respectively, the Collateral Debt Obligations and Collateral Enhancement 

Obligations indicating the Principal Balance and obligor of each; 

Notes 

(i) 

(ii) 

the Principal Amount Outstanding of each Class of Notes and such aggregate amount 

as a percentage of the original aggregate amount of the Notes of such Class 

Outstanding at the beginning of the Due Period, the amount of principal payments to be 

made on the Notes of each Class on the next Payment Date, the amount of any 

Deferred Interest and the aggregate amount of the Notes of each Class Outstanding and 

such aggregate amount as a percentage of the original aggregate amount of the Notes of 

such Class Outstanding after giving effect to the principal payments, if any, on the next 

Payment Date; 

the interest payable in respect of each Class of Notes on the related Payment Date (in 

the aggregate and by Class); 

Payment Date Payments 

(i) 

(ii) 

(iii) 

the amounts payable pursuant to the Interest Proceeds Priority of Payments and the 

Principal Proceeds Priority of Payments on the related Payment Date and the amount 

payable pursuant to paragraph (A) of the Principal Proceeds Priority of Payments; 

the amount of any Trustee Fees and Expenses, the amount of any Portfolio 

Management Fee and the amount of any Administrative Expenses payable on the 

related Payment Date on an itemised basis; 

any Scheduled Periodic Interest Rate Hedge Counterparty Payments payable by any 

Interest Rate Hedge Counterparty on or immediately prior to the related Payment Date; 

Accounts 

(i) 

(ii) 

(iii) 

(iv) 

the Balance standing to the credit of the Interest Account at the end of the related Due 

Period; 

the Balance standing to the credit of the Principal Account at the end of the related Due 

Period; 

the Balance standing to the credit of the Interest Account immediately after all 

payments and deposits to be made on the next Payment Date; 

the Balance standing to the credit of the Principal Account immediately after all 

payments and deposits to be made on the next Payment Date; 

- 346 -

(v) 

(vi) 

(vii) 

(viii) 

(ix) 

(x) 

(xi) 

(xii) 

(xiii) 

(xiv) 

(xv) 

(xvi) 

the amounts payable from the Interest Account (through a transfer to the Payment 

Account) pursuant to the Priorities of Payment on such Payment Date; 

the amounts payable from the Principal Account (through a transfer to the Payment 

Account) pursuant to the Priorities of Payment on such Payment Date; 

the Balance standing to the credit of the Hedge Termination Receipt Account at the end 

of the related Due Period; 

the Balance standing to the credit of the Collateral Enhancement Account at the end of 

the related Due Period; 

the Balance standing to the credit of the Unused Proceeds Account at the end of the 

related Due Period; 

the Balance standing to the credit of the GBP Principal Account at the end of the 


the Balance standing to the credit of the GBP Interest Account at the end of the related 

Due Period; 

the Balance standing to the credit of the Hedge Reserve Account at the end of the 


the Balance standing to the credit of the Interest Reserve Account at the end of the 


the Balance standing to the credit of the Revolving Reserve Account at the end of the 


the Balance standing to the credit of the Currency OTM Option Account at the end of 

the related Due Period; 

the aggregate amount invested in Special Situations Investments at the end of the 

related Due Period. 

Coverage Tests, Collateral Quality Tests and Percentage Limitations 

(i) 

the information required pursuant to paragraphs (xii) to (xxiii) (inclusive) of 

Paragraph 1 (Monthly Reports). 

Class F Subordinated Noteholder Report 

The Collateral Administrator, on behalf of the Issuer and in consultation with the Portfolio 

Manager, shall, on each Payment Date commencing at least six weeks after the Closing Date 

in 14 December 2005, provide information (the "Class F Subordinated Noteholder 

Report"), determined as of each Determination Date (except with respect to the approximate 

value referenced in paragraph (i) below) as of, and delivered to the Trustee, the Initial 

Purchaser, the Issuer and the Portfolio Manager no later than the Business Day preceding the 

related Payment Date and to any holder of Class F Subordinated Notes or Combination Notes 

- 347 -

upon written request therefor in the form set out in the Agency Agreement certifying that it is 

a holder of Class F Subordinated Notes or Combination Notes no later than the tenth day after 

such Payment Date. The Class F Subordinated Noteholder Report shall be mailed from 

outside the United States. The Class F Subordinated Noteholder Report shall contain the 

following information: 

Portfolio 

(i) 

(ii) 

(iii) 

(iv) 

(v) 

(vi) 

(vii) 

(viii) 

the approximate aggregate Market Value of, respectively, the Collateral Debt 

Obligations and the Collateral Enhancement Obligations as of the preceding month end; 

subject to any confidentiality obligations binding on the Issuer, the identity of each 

Collateral Debt Obligation that became a Defaulted Obligation or that experienced a 

rating change since the last such report; 

the Aggregate Principal Balance of the Collateral Debt Obligations, as of the close of 

business on such Determination Date, taking into account (A) Principal Proceeds 

received on the Collateral Debt Obligations with respect to the related Due Period and 

the reinvestment of such Principal Proceeds in Substitute Collateral Debt Obligations or 

Eligible Investments during such Due Period and (B) the release of any Collateral Debt 

Obligations during such Due Period; 

the Principal Amount Outstanding of the Notes of each Class as a euro figure and as a 

percentage of the original Principal Amount Outstanding of the Notes of such Class at 

the beginning of the Due Period, the amount of principal payments to be made on the 

Notes of each Class on the related Payment Date, the Principal Amount Outstanding of 

the Notes of each Class as a euro figure and as a percentage of the original Amount 

Outstanding of the Notes of such Class, in each case after giving effect to the principal 

payments, if any, on such Payment Date and the amount of any Deferred Interest; 

the Principal Proceeds received during the related Due Period; 

the Interest Proceeds received during the related Due Period; 

subject to any confidentiality obligations binding on the Issuer, a list of the Collateral 

Debt Obligations, indicating the Principal Balance, annual interest rate, Stated 

Maturity, obligor under Moody's Industry Classification and rating; 

subject to any confidentiality obligations binding on the Issuer, the identity of any 

Collateral Debt Obligations that were released for sale or other disposition (excluding 

those released pursuant to any Securities Lending Agreement), indicating whether such 

Collateral Debt Obligation is a Defaulted Obligation, a Credit Improved Obligation, a 

Credit Risk Obligation or an Exchanged Equity Security and pursuant to which clause 

of the Portfolio Management Agreement such Collateral Debt Obligation or Exchanged 

Equity Security was sold or disposed of; 

- 348 -

Payments 

(i) 

the amounts payable on the related Payment Date in respect of each item set out in the 

Interest Proceeds Priority of Payments and the Principal Proceeds Priority of 

Payments; 

Class A Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes and Class F 

Subordinated Notes 

(i) 

(ii) 

the Interest Amounts payable in respect of the Class A Notes, Class B Notes, Class C 

Notes, Class D Notes, Class E Notes and (solely in respect of Subordinated Note 

Coupon Interest) the Class F Subordinated Notes on the next Payment Date; 

EURIBOR for the related Due Period and the Class A Floating Rate, the Class B 

Floating Rate, the Class C Floating Rate, the Class D Floating Rate and the Class E 

Floating Rate during the related Due Period; 

Coverage Ratios 

(i) 

(ii) 

(iii) 

(iv) 

the Class A/B Par Value Ratio and the Class A/B Interest Coverage Ratio as of the 

close of business on such Determination Date; 

the Class C Par Value Ratio and the Class C Interest Coverage Ratio as of the close of 

business on such Determination Date; 

the Class D Par Value Ratio and the Class D Interest Coverage Ratio as of the close of 

business on such Determination Date; and 

the Class E Par Value Ratio and the Class E Interest Coverage Ratio as of the close of 

business on such Determination Date. 

Supplemental Report 

Concurrently with each Monthly Report, the Collateral Administrator, on behalf of the Issuer 

and in consultation with the Portfolio Manager, shall compile and provide to each of the 

Rating Agencies, the Trustee, the Portfolio Manager, the Initial Purchaser, the Issuer and, 

upon written request therefor in the form set out in the Agency Agreement certifying that it is 

the holder of a beneficial interest in any Note, the holder of such Note, an additional monthly 

report (the "Supplemental Report"). The Supplemental Report shall contain the following 

information with respect to the Portfolio, determined as of the same day as the Monthly 

Report for the applicable month: 

(i) 

with respect to each Securities Lending Agreement in effect as of the date of 

determination, the Aggregate Principal Balance of the Collateral Debt Obligations on 

loan pursuant to such Securities Lending Agreement, the Moody's Rating and S&P 

Rating for each Securities Lending Counterparty, the principal amount of Securities 

Lending Collateral held in the Securities Lending Account which was delivered 

pursuant to such Securities Lending Agreement and the identity of the Securities 

Lending Counterparty thereunder; 

- 349 -

(ii) 

(iii) 

(iv) 

(v) 

(vi) 

with respect to each Synthetic Security included in the Portfolio, the identity of the 

related Synthetic Counterparty, the notional amounts of all Synthetic Securities 

associated with such Synthetic Counterparty and the Moody's Rating and S&P Rating 

of each such Synthetic Counterparty; 

with respect to each Non-Euro Obligation included in the Portfolio, the identity of the 

Currency Hedge Counterparty under the related Currency Hedge Agreement, the 

notional amounts of all Currency Hedge Agreements with such Currency Hedge 

Counterparty and the Moody's Rating and S&P Rating of each such Currency Hedge 

Counterparty; 

with respect to each Participation included in the Portfolio, the Aggregate Principal 

Balance of all Participations with such Selling Institution and the Moody's Rating and 

the S&P Rating of each such Selling Institution; 

with respect to each Offsetting Credit Default Swap included in the Portfolio, the 

identity of the related Offsetting Credit Default Swap Counterparty, the notional 

amounts of all Offsetting Credit Default Swaps associated with such Offsetting Credit 

Default Swap Counterparty and the Moody's Rating and S&P Rating of each such 

Offsetting Credit Default Swap Counterparty; and 

any additions or changes to the number of Selling Institutions and any additions, or 

changes to the number and identity of Interest Rate Hedge Counterparties, Synthetic 

Counterparties, Offsetting Credit Default Swap Counterparties, Securities Lending 

Counterparties and Currency Hedge Counterparties. 

Content of the Reports 

Nothing in the foregoing shall oblige the Portfolio Manager or the Collateral Administrator to 

disclose, whether directly or indirectly, any information held under an obligation of 

confidentiality. 

Each report compiled by the Collateral Administrator shall state that it is for informational 

purposes only, that certain information included in the report is estimated, approximated or 

projected and that the report is provided without any representations or warranties as to 

accuracy or completeness and that none of the Portfolio Manager, the Issuer, the Trustee or 

the Account Bank will have any liability for such estimates, approximations or projections. 

- 350 -

RATING OF THE NOTES 

It is a condition of the issue and sale of the Notes that the Notes (except for the Class F 

Subordinated Notes and the Combination Notes) be issued with at least the following ratings 

from Moody's and S&P, respectively: the Class A-1 Notes: AAA and Aaa; the Class A-2A 

Notes: AAA and Aaa; the Class A-2B Notes: AAA and Aa1; the Class B Notes: AA and Aa2; 

the Class C-1 Notes: A and A2; the Class C-2 Notes: A and A2; the Class D-1 Notes: BBB 

and Baa2; the Class D-2 Notes: BBB and Baa2; the Class E Notes: BB and Ba2; the Class P 

Combination Notes: A by S&P only; the Class Q Combination Notes: BBB by S&P only; the 

Class R Combination Notes: AAA by S&P only; the Class S Combination Notes: AA by S&P 

only; and the Class T Combination Notes: AAA by S&P only. The ratings assigned by S&P 

to the Class A Notes and the Class B Notes address the timely payment of interest and the 

ultimate payment of principal. The ratings assigned by Moody's to the Class A Notes and 

Class B Notes address the expected loss posed to the investors by the legal final maturity date. 

In Moody's opinion, the structure allows for the timely payment of interest and the ultimate 

payment of principal with respect to the Class A Notes and the Class B Notes by the legal 

final maturity date. The ratings assigned by S&P to the Class C Notes, the Class D Notes and 

the Class E Notes address the ultimate payment of principal and interest. The rating assigned 

by Moody's to the Class C Notes, the Class D Notes and the Class E Notes address the 

expected loss posed to the investors by the legal final maturity date. In Moody's opinion, the 

structure allows for the ultimate payment of principal and interest with respect to the Class C 

Notes, the Class D Notes and the Class E Notes by the legal final maturity date. The ratings 

assigned by S&P to the Class P Combination Notes, the Class Q Combination Notes, the 

Class R Combination Notes, the Class S Combination Notes and the Class T Combination 

Notes only apply to the ultimate payment of principal. With respect to the Class P 

Combination Notes, the Class Q Combination Notes, the Class R Combination Notes, the 

Class S Combination Notes and the Class T Combination Notes, the ratings assigned by S&P 

do not address the likelihood of such Class being redeemed pursuant to Condition 7(b) 

(Optional Redemption), and in such event the ratings assigned by S&P would only address the 

principal amount of the relevant rated Component. The Class F Subordinated Notes and the 

Class U Combination Notes being offered hereby will not be rated. For the avoidance of 

doubt, the ratings of the Combination Notes address the terms of the Combination Notes, 

including the terms on which amounts are due and payable in respect thereof, on the basis that 

the terms of the Combination Notes depend on the Conditions of the Components thereof and, 

accordingly, such ratings do not address the payment of interest in respect of the Combination 

Notes other than in respect of such payments of interest as may be made pursuant to the 

Conditions of the Components thereof. 

A security rating is not a recommendation to buy, sell or hold securities and may be subject to 

revision, suspension or withdrawal at any time by the applicable Rating Agency. The 

Moody's ratings address the expected loss posed to investors by the legal final maturity date. 

Moody's ratings address only the credit risk associated with the transaction. Other non-credit 

risks have not been addressed, but may have a significant effect on yield to investors. See 

"Risk Factors – Relating to the Notes – Future Ratings of the Notes Not Assured and Limited 

in Scope". 

- 351 -

S&P Ratings 

S&P's credit rating analysis includes the application of its dynamic, analytical computer 

model, as it may be modified by S&P from time to time (the "S&P CDO Monitor"), which is 

used to estimate the default rate the portfolio is likely to experience. The S&P CDO Monitor 

will be provided by S&P to the Portfolio Manager on the Effective Date. The S&P CDO 

Monitor calculates the cumulative default rate of a pool of Collateral Debt Obligations and 

Eligible Investments consistent with a specified benchmark rating level based upon S&P's 

proprietary corporate debt default studies. 

The S&P CDO Monitor recognises and analyses the effects of substituting Collateral Debt 

Obligations, investments of Principal Proceeds in Eligible Investments, rating changes on 

Collateral Debt Obligations and amortization and payment of Collateral Debt Obligations. In 

addition to the other constraints set out herein, any purchase or sale of a Collateral Debt 

Obligation must satisfy or not worsen the S&P CDO Monitor Test, except that Credit 

Impaired Obligations and Defaulted Obligations may also be sold regardless whether such sale 

satisfies or improves the S&P CDO Monitor Test. 

In addition to its quantitative tests, S&P's ratings take into account qualitative features of a 

transaction, including the legal structure and the risks associated with such structure, such 

rating agency's view as to the quality of the participants in the transaction and other factors 

that it deems relevant. 

Moody's Ratings 

The ratings assigned to the Rated Notes by Moody's are based upon its assessment of the 

probability that the Collateral Debt Obligations will provide sufficient funds to pay each such 

Class of Rated Notes, based largely upon Moody's statistical analysis of historical default 

rates on debt obligations with various ratings, the asset and interest coverage required for the 

relevant Class of Rated Notes (which is achieved through the subordination of the Class F 

Subordinated Notes and, in the case of the Class A Notes, subordination of the Class B Notes, 

the Class C Notes, the Class D Notes and the Class E Notes, in the case of the Class B Notes, 

subordination of the Class C Notes, the Class D Notes and the Class E Notes in the case of 

the Class C Notes, subordination of the Class D Notes and the Class E Notes and in the case 

of the Class D Notes, subordination of the Class E Notes) and the diversification requirements 

that the Collateral Debt Obligations are required to satisfy. 

Moody's ratings assigned to the Class A Notes and the Class B Notes address the expected 

loss posed to the investors by the legal final maturity date. In Moody's opinion, the structure 

allows for the timely payment of interest and the ultimate payment of principal with respect to 

the Class A Notes and the Class B Notes by the legal final maturity date. The rating assigned 

by Moody's to the Class C Notes, the Class D Notes and the Class E Notes address the 

expected loss posed to the investors by the legal final maturity date. In Moody's opinion, the 

structure allows for ultimate payment of principal and interest with respect to the Class C 

Notes, the Class D Notes and the Class E Notes by the legal final maturity date. 

- 352 -

The Moody's ratings address the expected loss posed to investors by the legal final maturity. 

Moody's ratings address only the credit risks associated with the transaction. Other noncredit 

risks have not been addressed, but may have a significant effect on yield to investors. 

Moody's analyses the likelihood that each Collateral Debt Obligation will default, based on 

historical default rates for similar debt obligations, the historical volatility of such default rates 

(which increases as securities with lower ratings are added to the portfolio) and an additional 

default assumption to account for future fluctuations in defaults. Moody's then determines the 

level of credit protection necessary to achieve the expected loss associated with the rating of 

the structured securities, taking into account the expected volatility of the default rate of the 

portfolio based on the level of diversification by region, issuer and industry. 

In addition to these quantitative tests, Moody's ratings take into account qualitative features of 

a transaction, including the experience of the Portfolio Manager, the legal structure and the 

risks associated with such structure and other factors that they deem relevant. 

In addition, a portion of the Collateral Debt Obligations may not be rated by Moody's but will 

be assigned a rating pursuant to the methodology described herein. 

Confirmation of Ratings 

The Issuer will request that S&P and Moody's each confirm, within 60 days after the 

Effective Date, that the ratings assigned by S&P and Moody's on the Closing Date to each of 

the Rated Notes have not been reduced or withdrawn. See "Risk Factors – Effective Date 

Ratings Downgrade". 

With regard to any specified action or determination, the Issuer and/or the Trustee may obtain 

written confirmation ("Rating Agency Confirmation") from such of the Rating Agencies as 

rate each Class of Notes at such time that such specified action or determination will not result 

in the reduction or withdrawal of their then current ratings on such Notes. 

- 353 -

THE ISSUER 

General 

The Issuer was incorporated in Ireland as a public limited company on 22 June 2005, 

registered number 404053 under the name Adagio II CLO PLC under the Companies Acts 

1963-2005 of Ireland. The registered office of the Issuer is Custom House, 25 Eden Quay, 

Dublin 1, Ireland (Tel: +353 1 878 0807). The Issuer has been established as a special 

purpose vehicle for the purpose of issuing asset backed securities. 

The authorised share capital of the Issuer is EUR 40,000 divided into 40,000 ordinary shares 

of par value EUR 1 each (the "Shares"). The Issuer has issued 40,000 Shares, all of which 

are fully paid and are held on trust by Bedell Trustees Limited (the "Share Trustee") under 

the terms of a declaration of trust (the "Declaration of Trust") dated 29 July 2005, under 

which the Share Trustee holds the Shares on trust for charity. The Share Trustee has no 

beneficial interest in and derives no benefit (other than any fees for acting as Share Trustee) 

from its holding of the Shares. The Share Trustee will apply any income derived from the 

Issuer solely for the above purposes. 

Bedell Trust Ireland Limited (the "Corporate Services Provider"), an Irish company, acts as 

the corporate services provider for the Issuer. The office of the Corporate Services Provider 

serves as the general business office of the Issuer. Through the office and pursuant to the 

terms of the corporate services agreement entered into on 2 August 2005 between the Issuer 

and the Corporate Services Provider (the "Corporate Services Agreement"), the Corporate 

Services Provider performs various management functions on behalf of the Issuer, including 

the provision of certain clerical, reporting, accounting, administrative and other services until 

termination of the Corporate Services Agreement. In consideration of the foregoing, the 

Corporate Services Provider receives various fees and other charges payable by the Issuer at 

rates agreed upon from time to time plus expenses. The terms of the Corporate Services 

Agreement provide that either party may terminate the Corporate Services Agreement upon 

the occurrence of certain stated events, including any material breach by the other party of its 

obligations under the Corporate Services Agreement which is either incapable of remedy or 

which is not cured within 30 days from the date on which it was notified of such breach. In 

addition, either party may terminate the Corporate Services Agreement at any time by giving 

at least three months written notice to the other party. 

The Corporate Services Provider’s principal office is Custom House, 25 Eden Quay, Dublin 

1, Ireland. 

Business 

The principal corporate purposes of the Issuer are set forth in clause 3 of its Memorandum of 

Association and include, inter alia, the power to issue securities and to raise or borrow 

money, to grant security over its assets for such purposes, to lend with or without security and 

to enter into derivative transactions. Cash flow derived from the assets securing the Notes will 

be the Issuer’s only source of funds to fund payments in respect of the Notes. 

- 354 -

Pursuant to the Trust Deed and the Conditions of the Notes, the business of the Issuer is 

restricted to issuing the Notes, purchasing the Collateral Debt Obligations, investing in 

Eligible Investments, entering into the Trust Deed and the other Transaction Documents and 

exercising the rights and performing the obligations under each such agreement and all other 

transactions incidental thereto. 

The assets of the Issuer comprise the Portfolio held from time to time, the sums standing to 

the credit of the Accounts, the benefit of the Transaction Documents to which it is a party and 

the sum of €43,000, representing the Issuer's paid up share capital of €40,000 and the fee of 

€3,000 the Issuer received in connection with the issue of the Notes. The only assets of the 

Issuer available to meet the claims of the Noteholders will be the assets which comprise the 

Collateral. 

The Notes are obligations of the Issuer alone. The Notes are not the obligations of the 

Trustee, the Initial Purchaser, the Portfolio Manager, the Collateral Administrator, the 

Corporate Services Provider, the Agents, each Interest Rate Hedge Counterparty and each 

Currency Hedge Counterparty, the Short Term Variable Funding Facility Provider or any of 

their respective Affiliates or any directors, shareholders or officers of the Issuer, or any 

obligor under any asset of the Portfolio. 

Capitalisation 

The following table sets out the capitalisation of the Issuer as at the date of this Prospectus: 

Shareholders' Funds: 

EUR 

Share capital (Authorised: 40,000 Ordinary Shares of EUR 1 each; 

Issued : 40,000 Ordinary Shares of EUR 1 each) 40,000 

Total Capitalisation EUR 40,000 

Save as disclosed herein, there has been no material adverse change in the financial position 

or prospects of the Issuer since the date of its incorporation. Save for the issues of Notes 

described above and their related arrangements as described herein, the Issuer has no 

borrowings or indebtedness in the nature of borrowings (including loan capital issued or 

created but unissued), term loans, liabilities under acceptances or acceptance credits, 

mortgages, charges or guarantees or other contingent liabilities. 

Directors and Company Secretary 

The Issuer's Articles of Association provide that the Board of Directors of the Issuer will 

consist of at least two Directors. 

The Directors of the Issuer and their business addresses as of the date hereof are as follows: 

David Blair 

Custom House, 25 Eden Quay, Dublin 1, Ireland. 

- 355 -

Dermot Butler 

Custom House, 25 Eden Quay, Dublin 1, Ireland. 

The directors do not hold any direct, indirect, beneficial or economic interest in any of the 

Shares. The directorship of the directors is provided as part of the Corporate Service 

Provider’s overall corporate administration service provided to the Issuer pursuant to the 

Corporate Services Agreement. 

The directors of the Issuer may engage in other activities and have other interests which may 

conflict with the interests of the Issuer. 

The Company Secretary is Custom House Administration and Corporate Services Limited. 

Financial Statements 

The auditors of the Issuer are PricewaterhouseCoopers LLP of Wilton Place, Dublin 2, 

Ireland. PricewaterhouseCoopers LLP are chartered accountants and auditors who are 

qualified to practice in Ireland and are members of the Irish Institute of Chartered 

Accountants. 

Since its date of incorporation and as at the date of this Prospectus, the Issuer has not 

prepared financial statements. The Issuer intends to publish its first financial statements in 

respect of the period ending on 31 July 2006. The Issuer will not prepare interim financial 

statements. The financial year of the Issuer ends on 31 July in each year. 

Each year, a copy of the audited profit and loss account and balance sheet of the Issuer 

together with the report of the directors and the auditors thereon is required to be filed in the 

Irish Companies Registration Office within 28 days of the annual return date of the Issuer and 

is available for inspection. The profit and loss account and balance sheet can be obtained free 

of charge from the registered office of the Issuer. The Issuer must hold its first annual 

general meeting within 18 months of the date of its incorporation (and no more than 9 months 

after the financial year end) and thereafter the gap between its annual general meetings must 

not exceed 15 months. One annual general meeting must be held in each calendar year. 

- 356 -

THE PORTFOLIO MANAGER 

The Portfolio Manager 

The delivery of this Prospectus will not create any implication that there has been no change 

in the affairs of the Portfolio Manager since the date hereof, or that the information contained 

or referred to in this section is correct as of any time subsequent to its date. 

Description of Portfolio Manager 

The Portfolio Manager was incorporated in February 1990 as a société anonyme under the 

name of AXA Asset Management and was authorised as an investment management company 

(société de gestion de portefeuille), whose activities are prescribed by article L.532-9 of the 

French Code monétaire et financier, by the Commission des Opérations de Bourse (now the 

Autorité des Marchés Financiers) on 7th April 1992. The Portfolio Manager adopted its 

current name, AXA Investment Managers Paris S.A., in December 1997. 

The Portfolio Manager is an indirect subsidiary of AXA S.A. ("AXA"), a société anonyme 

organised under the laws of France. AXA's shares are traded on the Eurolist of Euronext 

Paris S.A. and, in the form of American depositary shares, on the New York Stock 

Exchange. The financial strength rating of AXA, as of 30th June 2005, was "Aa3" by 

Moody's, "AA" by Fitch and "AA-"by S&P. 

AXA is a holding company of a group of subsidiary companies ("AXA Group"), including an 

indirect, wholly-owned subsidiary of AXA, AXA Investment Managers S.A. ("AXA 

IMSA"). AXA IMSA and Alliance Capital Management are the AXA Group's principal asset 

managers. AXA IMSA is a holding company of several investment management companies, 

including, the Portfolio Manager, which is a direct, wholly-owned subsidiary of AXA IMSA. 

The Portfolio Manager is one of the companies forming the Investment Managers division of 

the AXA Group ("AXA IM"). 

AXA IM is a multi-specialist asset management division offering fixed income, equity, 

structured and alternative products, private equity, real estate and multi-management 

investment expertise. Its clients include both institutional and individual investors. AXA IM 

provides diversified asset management and related services globally to its mutual funds, which 

are distributed through the AXA Group's distribution networks and external distributors. 

AXA IM also provides these services to AXA's insurance subsidiaries in respect of their 

insurance-related invested assets and separate management account assets. 

The Portfolio Manager acts as investment adviser to AXA Group companies and third-party 

institutional clients investing in structured finance transactions and also acts as portfolio 

manager on CDO transactions involving AXA IM. Its portfolio management operations began 

in 2000 with the launch of Concerto I B.V., the Portfolio Manager's first CDO transaction, 

which included a portfolio primarily comprising European leveraged loans and high-yield 

bonds. Since then, the Portfolio Manager also launched its first CLO transaction, Adagio I, in 

October 2004. 

At 30 June 2005, AXA IM had total assets under management of €392 billion. 

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Organisational Structure 

AXA IM’s asset management professionals are divided into divisions by investment expertise. 

Those divisions are then divided into specialist teams. 

The Structured Finance division, headed by Pierre-Emmanuel Juillard, was set up in 2004 as a 

successor to Securitisation and Structured Credit, which was established in 2000 to manage 

AXA IM's investments in structured finance transactions and to advise on structured finance 

transactions where an AXA IM entity acted as portfolio manager. Members of the Structured 

Finance division are assigned to one or more specialist teams, such as the CDO Invest Team, 

the ABS Group, the Investment-Grade CDOs Team, the European Leveraged Loans Team, 

the Private Loans/Project Finance Team and the Structured Finance Engineering Team 

(formerly called the CDO Structuring Team). 

Nathalie Savey heads the European Leveraged Loans team of 9 professionals, which includes 

four portfolio managers and five research analysts. 

Investment Strategy 

The Portfolio Manager’s investment strategy involves use of both a “top-down” and a 

“bottom-up” approach to asset allocation. The “top-down” approach involves an initial 

allocation of assets on a country by country basis according to sector and risk class. This 

allocation is based on macroeconomic research and the Portfolio Manager’s long term 

economic views. Once the “top-down” asset allocation has been made, the Portfolio Manager 

uses a “bottom-up” approach to build a portfolio on a relative value basis. Resources are then 

focused on the individual positions contained in each portfolio. 

Personnel 

Information regarding the background and experience of the key personnel who are expected 

to be involved, directly or indirectly, in the selection and management of the Issuer’s 

investments is set out below. Such persons may not necessarily continue to be employed by 

either the Portfolio Manager or AXA IM for the entire term of the Portfolio Management 

Agreement and may not perform or continue to perform services in relation to the Issuer’s 

investments. 

Pierre-Emmanuel Juillard - Head of Structured Finance Division 

Mr. Juillard joined the Portfolio Manager in March 1999. He currently heads the Structured 

Finance Division. Previously, Mr. Juillard spent three years as a senior derivative specialist 

with Chase Manhattan Bank in London and Aurel in Paris. Prior to that, he worked for three 

years at Paribas Capital Markets in London as a senior quantitative researcher. Mr. Juillard 

attended the École nationale de la statistique et de l'administration économique (ENSAE) and 

the Institut de statistique de l’Université de Paris VI (ISUP) where he studied stochastic 

modeling and statistics. 

Cyril Roux - Chief Operating Officer of Structured Finance Division 

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Mr. Roux joined AXA IM in January 2005 in the Structured Finance Division’s newly created 

position of COO. Prior to that, he worked close to five years as senior management auditor at 

AXA Group Headquarters, and six years in the French Finance ministry as a financial 

regulator and supervisor. He taught finance for six years at ESSEC graduate school of 

management. Mr. Roux holds a PhD in Finance from Harvard University and is a graduate of 

École Polytechnique. 

Nathalie Savey - Head of European Leveraged Loans, Structured Finance Division 

Ms. Savey joined AXA IM in 2000 from Société Générale. She first worked as an originator 

on the primary bond market and successively joined the Financial Engineering Department 

and the Leveraged Finance Department where she was responsible for originating, structuring 

and negotiating transactions. Eventually, she joined the Syndicated Finance Department, 

where she was responsible for managing the underwriting decision and syndication process for 

structured loan transactions. Ms. Savey earned a degree from the University of Paris in 

Econometrics and has a Masters of Finance from French business school ESSEC. 

Deborah Shire – Head of Structured Finance Engineering 

Ms. Shire joined the Portfolio Manager in April 1998 for the creation of the Structured Asset 

Management team as quantitative portfolio manager. She is currently Head of the Structured 

Finance Engineering team and as such has been involved in structuring CDOs launched by the 

Portfolio Manager. Previously, Ms. Shire spent three years as a project manager in AXA 

Corporate Finance and Treasury Department in Paris, where she was in charge of, among 

others, the structuring of AXA Group Real Estate Securitisation (ROZAN). Ms. Shire 

graduated from the Ecole Nationale Supérieure de l'Aéronautique et de l'Espace (SUPAERO), 

a French Engineering School, and holds a Financial Analyst diploma from the French Society 

of Financial Analysts (SFAF). 

Laurent Cezard - Structurer, Structured Finance Engineering, Structured Finance Division 

Mr. Cezard joined the Portfolio Manager in October 2003 as a CDO structurer. Previously, 

Mr. Cezard spent four years as an expert manager in AXA Corporate Finance and Treasury 

Department where he was in charge of acquisition funding, balance sheet optimisation and 

asset and liability management. Before this, Mr.Cezard worked in the banking area as a 

derivatives expert. He has a post graduate degree in economics from the University of Paris 

IX Dauphine and holds a diploma in accounting and finance from CNAM. 

Vincent Charles-Gervais - Structurer, Structured Finance Engineering, Structured Finance 

Division 

Mr. Charles-Gervais joined the Portfolio Manager in July 2002. Before joining the Structured 

Finance Engineering team as a CDO structurer in October 2003, he worked for a year in the 

Actuarial & Financial Engineering team as a Financial Engineer developing the global asset 

allocation model used by the Portfolio Manager to advise its clients on Strategic Asset 

Allocation. Mr. Charles-Gervais graduated from École nationale de la statistique et de 

l'administration économique (ENSAE), with a major in stochastic modelling, statistics, 

finance and actuarial science. He is a qualified Actuary from the French Institute of Actuarial 

- 359 -

Science (IAF). He graduated from Ecole Normale Supérieure de Cachan, with a major in 

Microeconomics and Macroeconomics. He also holds a Diplôme d’étude approfondie (DEA) 

in Probability applied to Finance from the University of Paris VI Jussieu and a Masters degree 

in Management from University of Paris XII. 

Arnaud Mounier - Structurer, Structured Finance Engineering, Structured Finance Division 

Mr. Mounier joined the Portfolio Manager in July 1999 as a fixed-income quantitative 

research analyst. Working for the Quantitative Management team, he developed an 

econometrical forecasting tool for systematic forex management. From November 2001 to 

September 2004, Mr. Mounier worked for the High Yield team as a portfolio manager for 

CDOs and hedge funds. Following that he joined the Structured Finance Engineering team as 

a CDO structurer. In 1999, Mr. Mounier earned a degree from École Nationale Supérieure 

d'Informatique et de Mathématiques Appliquées de Grenoble (ENSIMAG) with a major in 

financial mathematics. 

Alexis Dussault - Structurer, Structured Finance Engineering, Structured Finance Division 

Mr Dussault recently joined the structured finance engineering team to work as a CDO 

structurer. Prior to this, he worked at CIC Paris in the credit derivatives team as a quantative 

analyst. He graduated in 2002 with a degree in mathematics and data processing and 

specialized in the field of market finance at HEC in 2003. 

Anne-Lise Lengrand - Portfolio Manager, European Leveraged Loans, Structured Finance 

Division 

Ms. Lengrand joined AXA IM in 2001. Before, she worked at Société Générale for two 

years, where she monitored their syndicated leveraged loans book. Ms. Lengrand graduated 

from the business school ESSCA and received her DESS in Finance from the University of 

Paris II, Panthéon-Sorbonne. 

Yannick Le Serviget – Portfolio Manager, European Leveraged Loans, Structured Finance 

Division 

Mr. Le Serviget joined AXA IM in March 2003. Before, he worked at Société Générale for 

two years as an associate in the secondary loans sales and trading team. He was in charge of 

distributing loans and exotic credit derivatives to European investors and of developing 

trading and arbitrage opportunities. Prior to joining Société Générale, he spent one year as 

financial auditor in a French consulting firm and two years (part-time) as assistant to a global 

portfolio manager in a French insurance company. He graduated from French business school 

ESSEC. 

Jean Philippe Levilain - Portfolio Manager, European Leveraged Loans, Structured Finance 

Division 

Mr. Levilain joined AXA Investment Managers in April 2005. Prior to that, he spent seven 

years with BNP Paribas. He first started as a Junior Credit Analyst within the Corporate 

Group of the bank in Tokyo, Japan. He then joined the Leverage Finance Group in Paris 

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where he spent two years as a Credit analyst on Media-Telco and LBO transactions originated 

in the US and in Asia. Eventually he joined the Loans Syndication & Trading Group in 

London where he was in charge of developing the trading of Leveraged transactions, from 

sourcing and selling assets through positioning them on the team's trading book. Mr. Levilain 

graduated from the Institut d'Etudes Politiques de Paris in 1997 and received a DESS in 

Finance from the University of Paris I, Pantheon-Sorbonne, in 1998. 

Maxime Royer - Portfolio Controller, European Leveraged Loans 

Mr. Royer joined AXA IM in January 2005. Previously, he spent four years at CDC IXIS 

Asset Management as assistant Portfolio Manager in the Hedge Funds Department where he 

was in charge of monitoring the global portfolio activities and implementing tools for assets 

valuation. Mr. Royer is a graduate of the University of Reims in Econometrics and earned a 

DEA in Banking and Finance from the university of Paris II (Panthéon-Assas). 

Steve Chapman - Head of European Leveraged Loans Research, Structured Finance Division 

Mr. Chapman joined AXA IM in 2002 from Nomura Securities, where he worked for five 

years, latterly as Director, Private Equity, responsible for realising value from the 

organisation’s technology/ telecommunications investments. In this role he was a Non- 

Executive Director on the Boards of a number of portfolio companies, including Dealtime, 

Buongiorno, My Alert and Security Associates. Before joining Nomura, Mr. Chapman 

worked at NatWest Markets as an Associate Director in the Bank’s Credit Rating Unit in both 

London and New York. At NatWest Markets he was responsible for analysing the credit risk 

associated with the organisation’s large Corporate exposures. Mr. Chapman gained his ACIB 

in 1989, after which he lectured in Accounting and Finance at City of London University. 

Emma Blundell - Research Analyst, European Leveraged Loans, Structured Finance Division 

Ms. Blundell is a Credit Analyst covering leveraged debt transactions. Prior to joining AXA 

IM, Ms. Blundell spent three years as an Analyst with Scotia Capital covering project finance 

and PFI deals and then spent six months as a Relationship Manager in the UK Media & 

Telecoms sector. Prior to that, Ms. Blundell was with Lloyds Bank in the Credit Research 

Group. Ms. Blundell graduated from Nottingham & Trent University. 

Olivier Testard - Research Analyst, European Leveraged Loans, Structured Finance Division 

Mr. Testard joined AXA IM in September 2002 as a senior credit analyst covering leveraged 

loans. Prior to joining AXA IM, Mr. Testard spent two years at Mizuho Corporate Bank in 

Paris where his responsibilities included sourcing and analysing potential investments in 

structured finance transactions. Earlier, he worked at BNP New York for eight years where 

he first held the position of corporate credit officer and latter integrated the BNP Structured 

Finance Group LBO origination team where he was responsible for originating, structuring 

and negotiating Leveraged Buy-Out transactions where BNP acted as agent. Mr. Testard 

received an MBA in 1993 from Baruch College. 

Cyril Mace - Research Analyst, European Leveraged Loans, Structured Finance Division 

- 361 -

Mr. Mace joined AXA IM in August 1998. Mr. Mace is a senior research analyst covering 

leveraged transactions. He joined the Leveraged Loans team in 2001 and spent the first four 

years as a Portfolio Manager. Mr Mace started his career in AXA IM as a Portfolio Manager 

covering credit and high yield funds. Prior to joining AXA IM, he received his DESS in 

Finance and holds a Masters degree in Banking and Finance from the University of Paris II, 

Panthéon-Assas. 

Nicoló Perari - Research Analyst, European Leveraged Loans, Structured Finance Division 

Mr. Perari joined AXA IM in May 2005 as a Senior Credit Analyst covering leveraged loans. 

Previously Mr. Perari was at Singer & Friedlander Bank in London for four years as part of 

the Leveraged Finance team. His main responsibilities included analysis and execution of 

European LBO participations, portfolio monitoring and maintaining relationships with 

investment banks. Prior to this, he spent a year as relationship manager in the Singer & 

Friedlander’s Corporate Banking division. Mr. Perari gained an Economics Degree from the 

University of Reading in 1999 and a Master in Economics and Finance from the University of 

York in 2000. 

- 362 -

THE CALCULATION AGENT 

The following description of the termination and reappointment provisions of the Calculation 

Agent consists of a summary of certain provisions of the Agency Agreement and is qualified by 

reference to the detailed provisions thereof. The following summary does not purport to be 

complete and prospective investors must refer to the Agency Agreement for detailed 

information regarding the Agency Agreement. 

Termination and Reappointment of the Calculation Agent 

The Issuer may at any time, with the prior written approval of the Trustee, appoint additional 

Calculation Agents and/or terminate the appointment of any Calculation Agent by giving to 

the Calculation Agent concerned, the other Agents, the Portfolio Manager and the Collateral 

Administrator at least 45 days’ prior written notice to that effect, provided always that the 

Issuer shall at all times maintain a Calculation Agent. No such termination of appointment, 

and no resignation shall take effect until a new Calculation Agent approved in advance in 

writing by the Trustee to exercise the powers and undertake the duties hereby conferred and 

imposed upon such Calculation Agent has been appointed. 

The appointment of any replacement or additional Calculation Agent shall: 

(a) be subject to the prior written consent of the Trustee (such consent not to be 

unreasonably withheld); and 

(b) be on substantially the same terms as the Agency Agreement. 

- 363 -

TAX CONSIDERATIONS 

General 

Purchasers of Notes may be required to pay stamp taxes and other charges in accordance with 

the laws and practices of the country of purchase in addition to the issue price of each Note. 

Potential purchasers who are in any doubt about their tax position on purchase, ownership, 

transfer or exercise of any Note should consult their own tax advisers. In particular, no 

representation is made as to the manner in which payments under the Notes would be 

characterised by any relevant taxing authority. 

Irish Taxation 

Introduction 

The following is a summary of certain Irish tax consequences for individuals and 

companies of ownership of the Notes based on the laws and practice of the Irish Revenue 

Commissioners currently in force in Ireland and may be subject to change. It deals with 

Noteholders who beneficially own their Notes, Talons and Coupons thereon as an 

investment. Particular rules not discussed below may apply to certain classes of 

taxpayers holding Notes, such as dealers in securities, trusts etc. The summary does not 

constitute tax or legal advice and the comments below are of a general nature only. 

Prospective investors in the Notes should consult their professional advisers on the tax 

implications of the purchase, holding, redemption or sale of the Notes and the receipt of 

interest thereon under the laws of their country of residence, citizenship or domicile. 

Withholding Tax 

In general, tax at the standard rate of income tax (currently 20 per cent.), is required to be 

withheld from payments of Irish source interest which would include interest payable on the 

Notes. However, an exemption from withholding on interest payments exists for certain 

securities ("quoted Eurobonds") issued by a company (such as the Issuer) which are in 

bearer form, interest bearing and quoted on a recognised stock exchange (which would 

include the Irish Stock Exchange). 

Any interest paid on such quoted Eurobonds can be paid free of withholding tax provided: 

(i) 

(ii) 

the person by or through whom the payment is made is not in Ireland; or 

the payment is made by or through a person in Ireland, and either: 

(a) the quoted Eurobond is held in a clearing system recognised by the Irish Revenue 

Commissioners; Euroclear and Clearstream, Luxembourg are so recognised, or 

(b) the person who is the beneficial owner of the quoted Eurobond and who is 

beneficially entitled to the interest is not resident in Ireland and has made a 

declaration to a relevant person (such as an Irish paying agent) in the prescribed 

form. 

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So long as the Global Notes continue to be in bearer form, continue to be quoted on the Irish 

Stock Exchange and are held in Euroclear and/or Clearstream, Luxembourg, interest on the 

Notes can be paid by any Paying Agent acting on behalf of the Issuer without any withholding 

or deduction for or on account of Irish income tax. 

If, for any reason, the quoted Eurobond exemption referred to above ceases to apply, (for 

example because Definitive Notes in registered form are issued) the Issuer can (provided that 

it remains a "qualifying company" as defined in section 110 of the Taxes Consolidation Act, 

1997, of Ireland) pay interest on the Notes in the ordinary course of its trade or business free 

of withholding tax to a person which is resident (under the relevant domestic law) in a 

Member State of the European Union (other than Ireland) or in a country with which Ireland 

has a double taxation agreement in force at the time of payment, provided that the Issuer is 

satisfied that the terms of the exemption are satisfied. For this purpose, residence is 

determined by reference to the law of the country in which the recipient claims to be resident. 

This exemption from withholding tax will not apply, however, if the interest is paid to that 

person in connection with a trade or business carried on by it through a branch or agency in 

Ireland. For other holders of Notes, interest may be paid free of withholding tax if the 

Noteholder is resident in a double tax treaty country and under the provisions of the relevant 

treaty with Ireland such Noteholder is exempt from Irish tax on the interest and clearance in 

the prescribed form has been received by the Issuer before the interest is paid. 

Encashment Tax 

In certain circumstances, Irish tax will be required to be withheld at the standard rate of 

income tax (currently 20 per cent.) from interest on any Note, where such interest is collected 

or realised by a bank or encashment agent in Ireland on behalf of any Noteholder. 

Encashment tax does not apply where the Noteholder is not resident in Ireland and has made a 

declaration in the prescribed form to the encashment agent or bank. 

Taxation of Noteholders 

Notwithstanding that a Noteholder may receive interest on the Notes free of withholding tax, 

the Noteholder may still be liable to pay Irish income tax with respect to such interest. 

Interest paid on the Notes may have an Irish source and therefore is within the charge to Irish 

income tax and levies. Ireland operates a self-assessment system in respect of income tax and 

any person, including a person who is neither resident nor ordinarily resident in Ireland, with 

Irish source income comes within its scope. 

There is an exemption from Irish tax on interest payments made by a "qualifying company" in 

the ordinary course of its trade or business provided the recipient of the interest is not resident 

in Ireland and is a person resident in a Member State of the European Union (other than 

Ireland) or in a country with which Ireland has a double tax treaty and provided that person 

does not carry on a trade in Ireland through a branch or agency in Ireland. In addition, any 

interest which can be paid free of withholding tax under the quoted Eurobond exemption is 

exempt from tax where the payment is made to a person not resident in Ireland that is resident 

in a Member State of the European Union (other than Ireland) or in a country with which 

Ireland has a double taxation treaty. For these purposes, residence is determined under the 

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terms of the relevant double taxation agreement or in any other case, the law of the country in 

which the recipient claims to be resident. In each case, the Issuer must be satisfied that the 

terms of the exemption are satisfied. 

Notwithstanding these exemptions from income tax, a corporate recipient that carries on a 

trade in Ireland through a branch or agency in respect of which the Notes are held or 

attributed, may have a liability to Irish corporation tax on the interest. 

Relief from Irish income tax may also be available under the specific provisions of a double 

tax treaty between Ireland and the country of residence of the recipient. 

Interest on the Notes which does not fall within the above exemptions may be within the 

charge to Irish income tax. However, it is understood that the Irish Revenue Commissioners 

have, in the past, operated a practice not to take any action to pursue any liability to such tax 

in respect of persons who are not regarded as being resident in Ireland except where such 

persons are resident or ordinarily resident in, have a taxable presence of some sort in Ireland 

or seek to claim any relief or repayment in respect of Irish tax. 

There can be no assurance that the Irish Revenue Commissioners will apply this practice in 

the case of any Noteholder. 

Capital Gains Tax 

A holder of Notes will not be subject to Irish tax on capital gains on a disposal of Notes unless 

such holder is either resident or ordinarily resident in Ireland or carries on a trade or business 

in Ireland through a branch or agency in respect of which the Notes were used or held. 

Capital Acquisitions Tax 

A gift or inheritance comprising of Notes will be within the charge to capital acquisitions tax 

(which subject to available exemptions and reliefs, is currently levied at 20 per cent.) if either 

(i) the disponer or the donee/successor in relation to the gift or inheritance is resident or 

ordinarily resident in Ireland (or, in certain circumstances, if the disponer is domiciled in 

Ireland irrespective of his residence or that of the donee/successor) on the relevant date or (ii) 

if the Notes are regarded as property situate in Ireland (i.e. if the Notes are physically located 

in Ireland or if a register of the Notes is maintained in Ireland). 

Stamp Duty 

No stamp duty or similar tax is imposed in Ireland (on the basis of an exemption provided for 

in Section 85(2)(c) to the Stamp Duties Consolidation Act, 1999 of Ireland assuming the 

proceeds of the Notes are used in the course of the Issuer’s business and that the Issuer 

remains a "qualifying company" as described above), on the issue, transfer or redemption of 

the Notes. 

EU Directive on the Taxation of Savings Income 

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Your attention is drawn to the statements under the heading "European Union Council 

Directive (2003/48/EC) on the Taxation of Savings Income (the "Directive")" in this Tax 

Considerations section. Ireland has implemented the Directive. 

United States Taxation 

Internal Revenue Service Circular 230 Disclosure 

Pursuant to Internal Revenue Service Circular 230, we hereby inform you that the description 

set forth herein with respect to U.S. federal tax issues was not intended or written to be used, 

and such description cannot be used, by any taxpayer, for the purpose of avoiding any 

penalties that may be imposed on the taxpayer under the U.S. internal Revenue Code. Such 

description was written to support the marketing of the Notes. This description is limited to 

the U.S. federal tax issues described herein. It is possible that additional issues may exist that 

could affect the U.S. federal tax treatment of an investment in the Series Notes, or the matter 

that is the subject of the description noted herein, and this description does not consider or 

provide any conclusions with respect to any such additional issues. You should seek advice 

based on your particular circumstances from an independent tax advisor. 

Notwithstanding anything in the Prospectus to the contrary, each prospective investor (and 

each employee, representative or other agent of each prospective investor) may disclose to any 

and all persons, without limitation of any kind, the tax treatment and tax structure of an 

investment in the Notes and all materials of any kind (including opinions or other tax 

analyses) that are provided to the prospective investor relating to such tax treatment and tax 

structure. For these purposes, the tax treatment of an investment in the Notes means the 

purported or claimed U.S. federal, state and local income tax treatment of an investment in 

the Notes. Moreover, the tax structure of an investment in the Notes includes any fact that 

may be relevant to understanding the purported or claimed U.S. federal, state, and local 

income tax treatment of an investment in the Notes. 

This is a discussion of the principal U.S. federal income tax consequences of the acquisition, 

ownership, disposition and retirement of the Notes issued by the Issuer. For the purposes of 

this discussion, a "U.S. Holder" is defined as the beneficial owner of a Note who or which 

for U.S. federal income tax purposes is: 

• a citizen or resident of the United States; 

• a corporation or partnership created or organised under the laws of the United States or 

any political subdivision thereof or therein; 

• an estate, the income of which is subject to U.S. federal income tax regardless of the 

source; or 

• a trust, (1) that validly elects to be treated as a U.S. person for U.S. federal income tax 

purposes or (2)(a) if a court within the United States is able to exercise primary 

supervision over the administration of the trust and (b) one or more U.S. persons have 

the authority to control all substantial decisions of the trust. 

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The term "non-U.S. Holder" means, for the purposes of this section, a beneficial owner of the 

Notes that is not a U.S. Holder. 

If a partnership (or any other entity treated as a partnership for U.S. federal income tax 

purposes) holds the Notes, the tax treatment of the partnership and a partner in such 

partnership generally will depend on the status of the partner and the activities of the 

partnership. Such a partner should consult its own tax advisor as to its consequences. 

Except as expressly set forth below, this discussion does not address all aspects of U.S. 

federal income taxation that may be relevant to a particular holder based on such holder's 

particular circumstances, nor does it address any aspect of state, local, or non-U.S. tax laws 

or the possible application of U.S. federal gift or estate taxes. In particular, except as 

expressly set forth below, this discussion does not address aspects of U.S. federal income 

taxation that may be applicable to holders that are subject to special treatment, including 

holders that: 

• are broker-dealers, securities traders, insurance companies, tax-exempt organisations, 

financial institutions, real estate investment trusts, regulated investment companies or 

grantor trusts; or 

• hold Notes as part of a "straddle," "hedge", "conversion" or "integrated transaction" or 

"constructive sale transaction" with other investments; or 

• own or are deemed to own 10 per cent. or more, by voting power or value, of the 

Notes (including Class F Subordinated Notes) treated as equity for U.S. federal income 

tax purposes. 

This discussion considers only holders that will own Notes as capital assets and whose 

functional currency is the U.S. dollar. The discussion is generally limited to the tax 

consequences to initial holders that purchase Notes at original issuance at their issue price. 

This discussion is based upon the U.S. Internal Revenue Code of 1986, as amended (the 

"Code"), existing and proposed regulations thereunder, and current administrative rulings and 

court decisions, each as available and in effect as of the date hereof. All of the foregoing are 

subject to change, possibly on a retroactive basis, and any such change could affect the 

continuing validity of this discussion. Furthermore, there are no cases or rulings by the 

Internal Revenue Service ("IRS") addressing entities similar to the Issuer or securities similar 

to the Notes. As a result, the IRS might disagree with all or part of the discussion below. No 

rulings will be requested of the IRS regarding the issues discussed below or the U.S. federal 

income tax characterisation of the Notes. 

Prospective Noteholders should consult their tax advisers concerning the application of U.S. 

federal income tax laws, as well as the laws of any state or local taxing jurisdiction, to their 

particular situations. 

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United States Taxation of the Issuer 

This summary assumes that the Issuer will be treated as a corporation for U.S. federal income 

tax purposes and that no election will be made for the Issuer to be treated otherwise. Clifford 

Chance US LLP, special U.S. Federal income tax counsel to the Initial Purchaser, will 

provide the Initial Purchaser with an opinion of counsel to the effect that, although there is no 

direct authority, the Issuer will not be engaged in a trade or business within the United States 

for federal income tax purposes, and accordingly, the Issuer will be subject to neither the 

U.S. Federal income tax on its net income nor the U.S. branch profits tax. This opinion will 

be based on certain assumptions regarding the Issuer, including the Issuer’s and the Portfolio 

Manager’s compliance with the Indenture and the Portfolio Management Agreement. 

Prospective investors should be aware that that an opinion of counsel is not binding on the IRS 

or the courts, and that no ruling will be sought from the IRS regarding the U.S. federal 

income tax treatment of the Issuer. Accordingly, there can be no assurance that the IRS or a 

court will agree with the opinion of Clifford Chance US LLP. If the IRS were to successfully 

assert that the Issuer is engaged in a U.S. trade or business, however, there could be material 

adverse financial consequences to the Issuer and to persons who hold the Notes. There can be 

no assurance that the Issuer's net income will not become subject to U.S. federal income tax 

as a result of unanticipated activities by the Issuer, changes in law, contrary conclusions by 

U.S. tax authorities or other causes. In such a case, the Issuer would be potentially subject to 

substantial U.S. federal income tax and in certain circumstances, interest payments by the 

Issuer under the Notes could be subject to U.S. withholding tax. Additionally, certain income 

derived by the Issuer may be subject to withholding taxes imposed by the United States or 

other countries. It is not expected that the Issuer will derive material amounts of income that 

would be subject to U.S. withholding taxes. The imposition of any of the foregoing taxes 

would materially affect the Issuer's ability to pay principal, interest and other amounts owing 

in respect of the Notes. 

Characterisation of the Notes 

The Issuer will agree and, by their purchase of the Rated Notes, U.S. Holders of the Rated 

Notes will be deemed to have agreed, to treat the Rated Notes as debt for U.S. Federal 

income tax purposes. Upon the issuance of the Rated Notes, Clifford Chance US LLP will 

deliver an opinion that, although there is no direct authority, the Class A Notes, the Class B 

Notes, the Class C Notes, and the Class D Notes will be characterized as debt for U.S. 

Federal income tax purposes. Such opinion will assume compliance with the Trust Deed and 

other related documents. Investors should be aware that such opinion of counsel is not 

binding on the IRS or the courts and that no ruling will be sought from the IRS regarding this, 

or any other aspect of the U.S. Federal income tax treatment of these Rated Notes. 

Accordingly, there can be no assurance that the IRS will not contend, and that a court will not 

ultimately hold, that these Secured Notes are equity in the Issuer. Clifford Chance US LLP 

will not express an opinion on the appropriate tax characterization of the Class E Notes; 

however, the Issuer will treat the Class E Notes as debt. The remainder of this discussion 

assumes that the Rated Notes are treated as debt for U.S. Federal income tax purposes. 

Prospective U.S. Holders in the Rated Notes (in particular the Class E notes) are urged to 

consult with their tax advisors as to whether it is possible to make a “QEF” election, as 

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described below, on a protective basis with respect to their investment, and the consequences 

of making such an election. 

If any Class of Secured Notes were treated as equity in, rather than debt of, Issuer for U.S. 

Federal income tax purposes, the U.S. Holders thereof would be subject to the same tax 

treatment as U.S. Holders of Class F Subordinated Notes who have not made a “QEF 

election,” as described below. U.S. Holders should consider the tax consequences of an 

investment in the Rated Notes under either possible characterization. Except as otherwise 

indicated, the balance of this discussion assumes that the Rated Notes are treated as debt for 

U.S. Federal income tax purposes. Under U.S. federal income tax principles, a strong 

likelihood exists that the Class F Subordinated Notes will be treated as equity. By acquiring 

an interest in a Class F Subordinated Note, the holder will agree to treat such Class F 

Subordinated Note as equity for U.S. federal income tax purposes. This summary assumes 

such treatment. 

Combination Notes 

Although each Combination Note will be evidenced as a single instrument, under U.S. federal 

income tax principles, a strong likelihood exists that a U.S. Holder of Combination Notes will 

be treated as if it directly owned the Class or Classes of Notes or, in the case of the Class T 

Combination Notes and the Class U Combination Notes, the OAT Strips and the Class F 

Subordinated Notes corresponding to the components of such Combination Notes. The Issuer 

will treat, and each U.S. Holder and beneficial owner of Combination Notes (by acquiring 

such Combination Notes or interests therein) will agree to treat, the Combination Notes as 

consisting of the separate Class or Classes of Notes or, in the case of the Class T Combination 

Notes and the Combination U Notes, the OAT Strips and the Class F Subordinated Notes 

corresponding to the Components of such Combination Notes for U.S. federal income tax 

purposes. In accordance with such treatment of the Combination Notes, in calculating its tax 

basis in the Components comprising a Combination Note, a U.S. Holder will allocate the 

purchase price paid for such Combination Note among the Components in proportion to their 

relative fair market values at the time of purchase. A similar principle will apply in 

determining the amount allocable to the Components upon a sale of a Combination Note. The 

exchange of Combination Notes for the separate Class or Classes of Notes corresponding to 

the Components of the Combination Notes should not be a taxable event. A U.S. Holder of a 

Combination Note should review the applicable discussion above of the U.S. federal income 

tax consequences of the purchase, ownership, and disposition of the Classes of Notes. U.S. 

Holders of the Class T Combination Notes and the Class U Combination Notes should consult 

their advisors as to the U.S. federal income tax consequences of the purchase, ownership, and 

disposition of OAT Strips. 

Stated Interest on the Rated Notes 

A U.S. Holder of a Rated Note that uses the cash method of accounting must include in 

income the U.S. dollar value of Euro interest paid when received. Euro interest received is 

translated at the U.S. dollar spot rate of Euro on the date of receipt, regardless of whether the 

payment is converted into U.S. dollars on the date of receipt. A cash method U.S. Holder 

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therefore generally will not have foreign currency gain or loss on receipt of a Euro interest 

payment but may have foreign currency gain or loss upon disposing of the Euro received. 

A U.S. Holder of a Rated Note that uses the accrual method of accounting (or any U.S. 

Holder required to accrue original issue discount ("OID")) will be required to include in 

income the U.S. dollar value of Euro interest accrued during the accrual period. An accrual 

basis U.S. Holder may determine the amount of income recognised with respect to such 

interest using either of two methods, in either case regardless of whether the payments are in 

fact converted into U.S. dollars on the date of receipt. Under the first method, the U.S. 

dollar value of accrued interest is translated at the average Euro rate for the interest accrual 

period (or, with respect to an accrual period that spans two taxable years, the partial period 

within the taxable year). An accrual method U.S. Holder of a Rated Note that uses this first 

method will therefore recognise foreign currency gain or loss, as the case may be, on interest 

paid to the extent that the U.S. dollar: Euro exchange rate on the date the interest is received 

differs from the rate at which the interest income was accrued. Under the second method, the 

U.S. Holder can elect to accrue interest at the Euro spot rate on the last day of an interest 

accrual period (or, in the case of an accrual period that spans two taxable years, at the 

exchange rate in effect on the last day of the partial period within the taxable year) or, if the 

last day of an interest accrual period is within five business days of the receipt, the spot rate 

on the date of receipt. An election to accrue interest at the spot rate generally will apply to all 

foreign currency denominated debt instruments held by the U.S. Holder, and is irrevocable 

without the consent of the IRS. Regardless of the method used to accrue interest, a U.S. 

Holder may have additional foreign currency gain or loss upon a subsequent disposition of the 

Euro received. 

U.S. Holders of the Class A Notes and the Class B Notes generally will include gross income 

payments of stated interest received on the Class A Notes and the Class B Notes, in 

accordance with their usual method of accounting for U.S. Federal income tax purposes, as 

ordinary interest from sources outside the United States. 

The Rated Notes may be issued with OID. For U.S. federal income tax purposes, OID is the 

excess of the "stated redemption price at maturity" of a debt instrument over its "issue price", 

if that excess equals or exceeds ¼ of 1 per cent. of the debt instrument's stated redemption 

price at maturity multiplied by the number of complete years from its issue date to its maturity 

or weighted average maturity in the case of instalment obligations (the "OID de minimis 

amount"). The "stated redemption price at maturity" of a debt instrument such as the Rated 

Notes is the sum of all payments required to be made on the Rated Notes other than "qualified 

stated interest" payments. The "issue price" of a Rated Note is generally the first offering 

price to the public at which a substantial amount of the debt instrument is sold. The term 

"qualified stated interest" generally means stated interest that is unconditionally payable in 

cash or property (other than debt instruments of the issuer), or that is treated as constructively 

received, at least annually at a single fixed rate or, under certain conditions discussed below, 

at a variable rate. 

Prospective U.S. Holders should note that interest on the Class C Notes, Class D Notes and 

Class E Notes may be added to the aggregate principal amount of such Notes if interest is 

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deferred on such Notes. Consequently, such interest is not unconditionally payable in cash or 

property and will not be treated as "qualified stated interest." Therefore, all of the stated 

interest payments on the Class C Notes, Class D Notes and Class E Notes will be included in 

the stated redemption price at maturity of such Notes, and as a result the Class C Notes, Class 

D Notes and Class E Notes will be treated as issued with OID. 

If a U.S. Holder holds a Rated Note with OID (an "OID Note"), such U.S. Holder may be 

required to include OID in income before receipt of the associated cash payment, regardless 

of the U.S. Holder's accounting method for tax purposes. If the U.S. Holder is an initial 

purchaser of an OID Note, the amount of the OID includible in income is the sum of the daily 

accruals of the OID for the Note for each day during the taxable year (or portion of the 

taxable year) in which such U.S. Holder held the OID Note. The daily portion is determined 

by allocating the OID for each day of the accrual period. An accrual period may be of any 

length and the accrual periods may even vary in length over the term of the OID Note, 

provided that each accrual period is no longer than one year and each scheduled payment of 

principal or interest occurs either on the first day of an accrual period or on the final day of an 

accrual period. The amount of OID allocable to an accrual period is equal to the difference 

between (1) the product of the "adjusted issue price" of the OID Note at the beginning of the 

accrual period and its yield to maturity (computed generally on a constant yield method and 

compounded at the end of each accrual period, taking into account the length of the particular 

accrual period) and (2) the amount of any qualified stated interest allocable to the accrual 

period. The "adjusted issue price" of an OID Note at the beginning of any accrual period is 

the sum of the issue price of the OID Note plus the amount of OID allocable to all prior 

accrual periods reduced by any payments the U.S. Holder received on the OID Note that were 

not qualified stated interest. Under these rules, the U.S. Holder generally will have to include 

in income increasingly greater amounts of OID in successive accrual periods. 

In the case of Notes that provide for a floating rate of interest, the amount of OID to be 

accrued over the term of such Notes will be based initially on the assumption that the floating 

rate in effect for the first accrual period of the Notes will remain constant throughout their 

term. To the extent such rate varies with respect to any accrual period, such variation will be 

reflected in an increase or decrease of the amount of OID accrued for such period. Under the 

foregoing method, U.S. Holders of the Class C Notes, the Class D Notes and the Class E 

Notes may be required to include in gross income increasingly greater amounts of OID and 

may be required to include OID in advance of the receipt of cash attributable to such income. 

Interest payments on certain "variable rate debt instruments" may be considered qualified 

stated interest. For this purpose, the Class A Notes and the Class B Notes (the "Floating Rate 

Notes") will be "variable rate debt instruments" if the Floating Rate Notes (x) have an issue 

price that does not exceed the total noncontingent principal payments on the Floating Rate 

Notes by more than an amount equal to the lesser of (i) 0.015 multiplied by the product of 

such total noncontingent principal payments and the number of complete years to maturity of 

the Floating Rate Notes and (ii) 15% of the total noncontingent principal payments on the 

Floating Rate Notes; (y) provide for stated interest (compounded or paid at least annually) at 

the current value of one or more qualified floating rates, including the Euribor rate on the 

Floating Rate Notes, and (z) do not provide for any principal payments that are contingent. 

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The Floating Rate Notes will qualify as variable rate debt instruments, provided the issue 

price is not more than €115,000 per €100,000 principal amount. None of the interest 

payments on the Floating Rate Notes will be treated as qualified stated interest if the issue 

price is more than €115,000 per €100,000 principal amount. 

Because the OID rules are complex, each U.S. Holder of an OID Note should consult 

with its own tax adviser regarding the acquisition, ownership, and disposition of such 

Note. 

Interest on the Notes received by a U.S. Holder generally will be treated as foreign source 

"passive income" for U.S. foreign tax credit purposes, or, in the case of a financial services 

entity, as "financial services income". U.S. Holders should note, however, that recently 

enacted legislation eliminates the "financial services income" category with respect to taxable 

years beginning after 31 December 2006. Under the new legislation, the foreign tax credit 

limitation categories are limited to "passive category income" and "general category income". 

Sale, Exchange, Redemption or Repayment of the Rated Notes 

Unless a non-recognition provision applies (and subject to the "Investment in a Passive 

Foreign Investment Company" discussion in this section of the Prospectus below, which is 

relevant for the holders of the Class F Subordinated Notes and holders of any other Class of 

Notes that is treated as equity for U.S. federal income tax purposes), a U.S. Holder generally 

will recognise gain or loss on the sale, exchange, repayment, or other disposition of a Rated 

Note equal to the difference between: 

• the amount realised plus the fair market value of any property received on the 

disposition (other than amounts attributable to accrued but unpaid interest); and 

• the U.S. Holder's adjusted tax basis in the Note. 

In general, a U.S. Holder of a Rated Note initially will have a tax basis in such Note equal to 

the cost of such Note to such U.S. Holder, (i) increased by any amount includable in income 

by such U.S. Holder as OID with respect to such Note (and as market discount if such U.S. 

Holder elected to accrue market discount currently on the Note), and (ii) reduced by any 

amortised premium and by payments on such Note, other than payments of qualified stated 

interest on such Note. Except to the extent of accrued interest or market discount not 

previously included in income, gain or loss from the disposition of a Note generally will be 

long term capital gain or loss if the U.S. Holder held the Note for more than one year at the 

time of disposition, provided that such Note is held as a "capital asset" (generally, property 

held for investment) within the meaning of Section 1221 of the Code, except to the extent of 

accrued market discount not previously included in income. Gain recognized by a U.S. 

Holder on the sale, exchange, or retirement of a Note will be treated as from sources within 

the United States. 

The amount realised on the sale, exchange, redemption or repayment of a Note generally is 

determined by translating the Euro proceeds into U.S. dollars at the spot rate on the date the 

Note is disposed of, while a U.S. Holder's adjusted tax basis in a Rated Note generally will 

be the cost of the Note to the U.S. Holder, determined by translating the Euro purchase price 

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into U.S. dollars at the spot rate on the date the Rated Note was purchased, and increased by 

the amount of any OID accrued and reduced by any payments other than payments of 

qualified stated interest of such Note. If, however, the Notes are traded on an established 

securities market, a cash basis U.S. Holder or electing accrual basis U.S. Holder will 

determine the amount realised on the settlement date. An election by an accrual basis U.S. 

Holder to apply the spot exchange rate on the settlement date will be subject to the rules 

regarding currency translation elections described above and cannot be changed without the 

consent of the IRS. The amount of foreign currency gain or loss realised with respect to 

accrued but unpaid interest is the difference between the U.S. dollar value of the interest 

based on the spot exchange rate on the date the Notes are disposed of and the U.S. dollar 

value at which the interest was previously accrued. A U.S. Holder will have a tax basis in 

Euro received on the sale, exchange or retirement of a Rated Note equal to the U.S. dollar 

value of the Euro on the relevant date. Foreign currency gain or loss on a sale, exchange, 

redemption or repayment of a Rated Note is recognised only to the extent of total gain or loss 

on the transaction. 

Foreign currency gain or loss recognised by a U.S. Holder on the sale, exchange or other 

disposition of a Note (including repayment at maturity) generally will be treated as U.S. 

source ordinary income or loss. Gain or loss in excess of foreign currency gain or loss on a 

Rated Note generally will be treated as capital gain or loss. The deductibility of capital losses 

is subject to limitations. In the case of a non-corporate U.S. Holder, the maximum marginal 

U.S. federal income tax rate applicable to such gain will be lower than the maximum marginal 

U.S. federal income tax rate applicable to ordinary income (other than certain dividends) if 

such U.S. Holder's holding period for such Notes exceeds one year. 

Tax Treatment of U.S. Holders of Class F Subordinated Notes 

As noted above, a U.S. Holder of a Class F Subordinated Note should be viewed as owning 

equity, rather than debt, for U.S. federal income tax purposes. This summary assumes that 

the Class F Subordinated Notes will be treated as equity rather than debt for U.S. federal 

income tax purposes. 

Investment in a Passive Foreign Investment Company 

A foreign corporation will be classified as a Passive Foreign Investment Company (a "PFIC") 

for U.S. federal income tax purposes if 75 per cent. or more of its gross income (including 

the pro rata share of the gross income of any company in which the Issuer is considered to 

own 25 per cent. or more of the shares by value) in a taxable year is passive income. 

Alternatively, a foreign corporation will be classified as a PFIC if at least 50 per cent. of its 

assets, averaged over the year and generally determined based on fair market value (including 

the pro rata share of the assets of any company in which the Issuer is considered to own 25 

per cent. or more of the shares by value) are held for the production of, or produce, passive 

income. 

Based on the assets that the Issuer expects to hold and the income anticipated thereon, it is 

highly likely that the Issuer will be classified as a PFIC for U.S. federal income tax purposes. 

Accordingly, the following discussion assumes that the Issuer will be a PFIC throughout the 

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term of the Notes, and U.S. Holders of Class F Subordinated Notes should assume that they 

will be subject to the U.S. federal income tax consequences described below that result from 

owning stock in a PFIC (subject to the discussion below under "Investment in a Controlled 

Foreign Corporation"). 

Unless a U.S. Holder elects to treat the Issuer as a "qualified electing fund" (as described in 

the next paragraph) and the PFIC rules are otherwise applicable, upon certain distributions 

("excess distributions") by the Issuer and upon a disposition of the Class F Subordinated 

Notes at a gain, the U.S. Holder will be liable to pay tax at the highest tax rate on ordinary 

income in effect for each period to which the income is allocated plus interest on the tax, as if 

such distributions and gain had been recognised rateably over the U.S. Holder's holding 

period for the Class F Subordinated Notes. An interest charge is also applied to the deferred 

tax amount resulting from the deemed rateable distribution. A U.S. Holder who acquires 

Class F Subordinated Notes from a decedent U.S. Holder would not receive the step-up of the 

income tax basis to fair market value for such Class F Subordinated Notes. An "excess 

distribution" is the amount by which distributions during a taxable year in respect of a Class F 

Subordinated Note exceed 125 percent of the average amount of distributions in respect 

thereof during the three preceding taxable years (or, if shorter, the U.S. Holder’s holding 

period for the Class F Subordinated Note). 

If a U.S. Holder elects to treat the Issuer as a "qualified electing fund" (a "QEF"), 

distributions and gain will not be taxed as if recognised rateably over the U.S. Holder's 

holding period or subject to an interest charge, nor will the denial of a basis step-up at death 

described above apply. Generally, a QEF election should be made on or before the due date 

for filing the U.S. holder’s U.S. federal income tax return for the first taxable year during 

which such U.S. holder held the Note that is deemed to be an equity interest of the Issuer for 

U.S. federal income tax purposes. Instead, a U.S. Holder that makes a QEF election is 

required for each taxable year to include in income the U.S. Holder's pro rata share of the 

ordinary earnings of the qualified electing fund as ordinary income and a pro rata share of the 

net capital gain of the qualified electing fund as capital gain of the company, regardless of 

whether such earnings or gain have in fact been distributed (assuming the discussion below 

under "Investment in a Controlled Foreign Corporation" does not apply), and subject to a 

separate election to defer payment of taxes, which deferral is subject to an interest charge. A 

U.S. Holder will not be eligible for the preferential income tax rate on qualified dividend 

income or the dividends received deduction in respect of such income or gain. In addition, 

any losses of the Issuer in a taxable year will not be available to such U.S. Holder. For this 

purpose, ordinary earnings means the excess of the earnings and the profits of the qualified 

electing fund for the taxable year over its net capital gain for such taxable year, and its net 

capital gain for any taxable year shall not exceed its earnings and profits for such taxable 

year. Consequently, in order to comply with the requirements of a QEF election, a U.S. 

Holder must receive from the Issuer certain information. The Issuer does intend to supply 

U.S. Holders with the information needed for such U.S. Holders to comply with the 

requirements of the QEF election, and U.S. Holders should assume that they will not receive 

such information from the Issuer. 

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As a result of the nature of the Portfolio that the Issuer intends to hold, the Issuer may hold 

investments treated as equity of non-United States corporations that are PFICs. In such a 

case, assuming that the Issuer is a PFIC, a U.S. Holder would be treated as owning its pro 

rata share of the stock of the PFIC owned by the Issuer. Such a U.S. Holder would be 

subject to the rules generally applicable to shareholders of PFICs discussed above with respect 

to distributions received by the Issuer from such a PFIC and dispositions by the Issuer of the 

stock of such a PFIC (even though the U.S. Holder may not have received the proceeds of 

such distribution or disposition). Assuming the Issuer receives the necessary information 

from the PFIC in which it owns stock, certain U.S. Holders may make the QEF election 

discussed above with respect to the stock of the PFIC owned by the Issuer. However, no 

assurance can be given that the Issuer will be able to provide U.S. Holders with such 

information. 

If the Issuer is a PFIC, each U.S. Holder of a Class F Subordinated Note must make an 

annual return on IRS Form 8621, reporting distributions received and gains realised with 

respect to each PFIC in which the U.S. Holder holds a direct or indirect interest. Prospective 

purchasers should consult their tax advisers regarding the potential application of the PFIC 

rules. 

Investment in a Controlled Foreign Corporation 

Depending on the degree of ownership of the Class F Subordinated Notes and other equity 

interests in the Issuer by U.S. Holders and whether the Class F Subordinated Notes are 

treated as voting securities, the Issuer may constitute a controlled foreign corporation 

("CFC"). In general, a foreign corporation will constitute a CFC if more than 50 per cent. of 

the shares of the corporation, measured by reference to combined voting power or value, is 

owned, directly or indirectly, by "U.S. 10% Shareholders". A "U.S. 10% Shareholder", for 

this purpose, is any person that possesses 10 per cent. or more of the combined voting power 

of all classes of shares of a corporation. It is possible that the IRS may assert that the Class F 

Subordinated Notes should be treated as voting securities, and consequently that the U.S. 

Holders owning 10 per cent. or more of the Class F Subordinated Notes so treated, or any 

combination of such Class F Subordinated Notes and other voting securities of the Issuer, that 

constitute 10% or more of the combined voting power of all classes of shares of the Issuer are 

"U.S. 10% Shareholders" and that, assuming more than 50 per cent. of the Class F 

Subordinated Notes and other voting securities of the Issuer are held by such U.S. 10% 

Shareholders, the Issuer is a CFC. 

If the Issuer were treated as a CFC, a U.S. 10% Shareholder of the Issuer would be treated, 

subject to certain exceptions, as receiving ordinary income at the end of the taxable year of 

the Issuer in an amount equal to that person's pro rata share of the "subpart F income and 

investments in the U.S. property of the Issuer". Among other items, and subject to certain 

exceptions, "subpart F income" includes dividends, interest, annuities, gains from the sale of 

shares and securities, certain gains from commodities transactions, certain types of insurance 

income and income from certain transactions with related parties. It is likely that, if the 

Issuer were to constitute a CFC, predominantly all of its income would be subpart F income. 

Prospective purchasers of the Class F Subordinated Notes should be aware that such income 

- 376 -

of the Issuer may significantly exceed the Issuer’s distributions on the Class F Subordinated 

Notes for one or more periods, and that a U.S. Holder may owe tax on significant amounts of 

"phantom income." In addition, special rules apply to determine the appropriate exchange 

rate to be used to translate such amounts treated as a dividend and the amount of any foreign 

currency gain or loss with respect to distributions of previously taxed amounts attributable to 

movements in exchange rates between the times of deemed and actual distributions. Unless 

otherwise noted, the discussion below assumes that the Issuer is not a CFC. U.S. Holders 

should consult their tax advisers regarding these special rules. 

If the Issuer were to constitute a CFC, for the period during which a U.S. Holder of Class F 

Subordinated Notes is a U.S. 10% Shareholder of the Issuer, such Holder would be taxable on 

the subpart F income and investments in the U.S. property of the Issuer under rules described 

in the preceding paragraph and not under the PFIC rules previously described. As a result, to 

the extent subpart F income of the Issuer includes net capital gains, such gains will be treated 

as ordinary income of the U.S. Holder under the CFC rules, notwithstanding the fact that the 

character of such gains generally would otherwise be preserved under the PFIC rules if a QEF 

election had been made. A U.S. Holder that is a U.S. 10% Shareholder of the Issuer subject 

to the CFC rules for only a portion of the time in which it holds Class F Subordinated Notes 

should consult its own tax adviser regarding the interaction of the PFIC and CFC rules. 

Distributions on the Class F Subordinated Notes 

The treatment of actual distributions of cash on the Class F Subordinated Notes, in very 

general terms, will vary depending on whether a U.S. Holder has made a timely QEF election 

as described above. See "Investment in a Passive Foreign Investment Company". If a timely 

QEF election has been made, distributions should be allocated first to amounts previously 

taxed pursuant to the QEF election (or pursuant to the CFC rules, if applicable) and to this 

extent will not be taxable to U.S. Holders. Distributions in excess of amounts previously 

taxed pursuant to a QEF election (or pursuant to the CFC rules, if applicable) will be taxable 

to U.S. Holders as ordinary income upon receipt to the extent of any remaining amounts of 

untaxed current and accumulated earnings and profits of the Issuer. Distributions in excess of 

any current and accumulated earnings and profits will be treated first as a nontaxable 

reduction to the U.S. Holder's tax basis for the Class F Subordinated Notes to the extent 

thereof and then as capital gain. In the event that a U.S. Holder does not make a timely QEF 

election, then except to the extent that distributions may be attributable to amounts previously 

taxed pursuant to the CFC rules, some or all of any distributions with respect to the Class F 

Subordinated Notes may constitute excess distributions, taxable as previously described. 

Distributions of current or accumulated earnings and profits which are not excess distributions 

will be taxed as dividends when received. The amount of such income is determined by 

translating Euros received into U.S. dollars at the spot rate on the date of receipt. A U.S. 

Holder may realise exchange gain or loss on a subsequent disposition of the Euros received. 

See "Tax Considerations – United States Taxation – Foreign Currency Gain or Loss". 

Disposition of the Class F Subordinated Notes 

In general, a U.S. Holder of a Class F Subordinated Note will recognise gain or loss upon the 

sale or exchange of the Class F Subordinated Note equal to the difference between the amount 

- 377 -

ealised and such Holder's adjusted tax basis in such Class F Subordinated Note. If a U.S. 

Holder has made a timely QEF election as described above, such gain or loss will be longterm 

capital gain or loss if the U.S. Holder held the Class F Subordinated Notes for more than 

12 months at the time of the disposition. Initially, the tax basis of a U.S. Holder should equal 

the amount paid for a Class F Subordinated Note. Such basis will be increased by amounts 

taxable to such Holder by virtue of the CFC rules, and decreased by actual distributions from 

the Issuer that are deemed to consist of such previously taxed amounts or are treated as a 

non-taxable return of capital. A U.S. Holder that receives foreign currency upon the sale or 

other disposition of the Class F Subordinated Notes generally will realize an amount equal to 

the U.S. Dollar value of the foreign currency on the date of sale. If, however, the Class F 

Subordinated Notes are traded on an established securities market, a cash basis U.S. Holder 

or electing accrual basis U.S. Holder will determine the amount realised on the settlement 

date. A U.S. Holder will have a tax basis in the foreign currency received equal to the U.S. 

Dollar amount realised. Any gain or loss realised by a U.S. Holder on a subsequent 

conversion of the foreign currency for a different amount will be foreign currency gain or 

loss. 

It is highly likely that any gain realised on the sale or exchange of a Class F Subordinated 

Note will be treated as an excess distribution and taxed as ordinary income under the special 

tax rules described above. See "Tax Considerations – United States Taxation – Tax Treatment 

of U.S. Holders of Class F Subordinated Notes – Investment in a Passive Foreign Investment 

Company". 

Subject to a special limitation for individual U.S. Holders that have held the Class F 

Subordinated Notes for more than one year, if the Issuer were treated as a CFC and a U.S. 

Holder were treated as a U.S. 10% Shareholder therein, then any gain realised by such 

Holder upon the disposition of Class F Subordinated Notes, other than gain constituting an 

excess distribution, would be treated as ordinary income to the extent of the U.S. Holder's 

pro rata share of current and accumulated earnings and profits of the Issuer. In this respect, 

earnings and profits would not include any amounts previously taxed pursuant to the CFC 

rules. 

Eligibility for Reduced Rate of Taxation on Dividends 

It is not expected that dividends received on the Class F Subordinated Notes will be eligible 

for the taxation at the lower rates applicable to long-term capital gains that are available on 

certain dividends paid to individuals who are U.S. Holders of shares of U.S. corporations and 

certain non-U.S. corporations. 

Foreign Currency Gain or Loss 

A U.S. Holder of Class F Subordinated Notes (or other Notes treated as equity interests in the 

Issuer) that recognizes income from the Notes under the QEF or CFC rules discussed above 

will recognize foreign currency gain or loss attributable to movement in foreign exchange 

rates between the date when it recognised income under those rules and the date when the 

income actually is distributed. 

- 378 -

A U.S. Holder that purchases Notes with previously owned foreign currency generally will 

recognize foreign currency gain or loss in an amount equal to any difference between the U.S. 

Holder's tax basis in the foreign currency and the U.S. dollar value of the foreign currency at 

the spot rate on the date the Notes are purchased. A U.S. Holder that receives foreign 

currency upon the sale or other disposition of the Notes generally will realize an amount equal 

to the U.S. dollar value of the foreign currency on the date of sale. A U.S. Holder will have a 

tax basis in the foreign currency received equal to the U.S. dollar amount realised. Any gain 

or loss realised by a U.S. Holder on a subsequent conversion of the foreign currency for a 

different amount will be foreign currency gain or loss. 

Reportable Transaction Reporting 

Under certain U.S. Treasury Regulations, U.S. Holders that participate in "reportable 

transactions" (as defined in the regulations) must attach to their U.S. federal income tax 

returns a disclosure statement on Form 8886. U.S. Holders should consult their own tax 

advisers as to the possible obligation to file Form 8886 with respect to the ownerships or 

disposition of the Notes, or any related transactions, including without limitation, the 

disposition of any non-U.S. currency received as interest or as proceeds from the sale or other 

disposition of the Notes. 

Transfer Reporting Requirements 

U.S. Holders of the Class F Subordinated Notes will generally be required to report certain 

information relating to such holders’ purchase of the Class F Subordinated Notes at initial 

issuance to the IRS on Form 926. In the event a U.S. Holder fails to file any required form, 

it could be subject to a penalty equal to 10 per cent. of the fair market value of the Class F 

Subordinated Notes purchased by such U.S. Holder (generally up to a maximum of 

U.S.$100,000). 

U.S. Holders of the Class F Subordinated Notes are urged to consult with their own tax 

advisers regarding these reporting requirements and any other reporting requirements, such as 

an IRS Form 5471, which may apply to such holders. 

Tax Treatment of Non-U.S. Holders of Notes 

Each holder and beneficial owner of a Note that is not a "United States person" (as defined in 

Section 7701(a)(30) of the Code) will make, or by acquiring such Note or an interest therein 

will be deemed to make a representation to the effect that it is not purchasing the Note in 

order to reduce its U.S. federal income tax liability or pursuant to a tax avoidance purchase 

plan with respect to U.S. federal income taxes. 

Subject to the discussion below under "Information Reporting and Backup Withholding", 

payments, including interest, OID and any amounts treated as dividends, on a Note to a 

beneficial holder that is a "non-U.S. Holder" and gain realised on the sale, exchange or 

retirement of a Note by a non-U.S. Holder, will not be subject to U.S. federal income or 

withholding tax, unless (i) such income is effectively connected with a trade or business 

conducted by such non-U.S. Holder in the United States, or (ii) in the case of U.S. federal 

income tax imposed on gains, such non-U.S. Holder is a non resident alien individual who 

- 379 -

holds a Note as a capital asset and is present in the United States for more than 182 days in 

the taxable year of sale and certain other conditions are satisfied. 

Tax-Exempt Investors 

Special considerations apply to pension plans and other investors ("Tax-Exempt Investors") 

that are subject to tax only on their unrelated business taxable income ("UBTI"). A Tax- 

Exempt Investor’s income from an investment in the Notes generally will not be treated as 

resulting in UBTI, so long as such investor’s acquisition of Notes is not debt-financed. A 

Tax-Exempt Investor that owns more than 50% of the equity of the Issuer and also owns 

Notes treated as debt should consider the application of the special UBTI rules for interest 

received from controlled entities. Tax-Exempt Investors should consult their own tax advisers 

regarding an investment in the Notes. 

Collateral Debt Obligations in Bearer Form 

In computing the Issuer's earnings for purposes of the CFC rules, losses on dispositions of 

securities in bearer form may not be allowed. Similarly, in computing the Issuer's ordinary 

earnings and net capital gain for purposes of the PFIC rules, losses on dispositions of 

securities in bearer form may also not be allowed and any gain on such securities may be 

ordinary rather than capital. 

Information Reporting and Backup Withholding 

Under certain circumstances, the IRS requires the filing of an information return with respect 

to certain payments made on the Notes and the payment of the proceeds from the disposition 

of the Notes and may require "backup withholding". Backup withholding generally will not 

apply to a number of recipients, such as corporations, tax exempt organizations, qualified 

pension and profit sharing trusts, and individual retirement accounts. Backup withholding tax 

generally applies only if the U.S. person: 

• fails to furnish his social security or other taxpayer identification number within a 

reasonable time after the request therefor; 

• furnishes an incorrect taxpayer identification number; 

• is notified by the IRS that it has failed to properly report interest OID or dividends; or 

• fails, under certain circumstances, to provide a certified statement, signed under penalty 

of perjury, that it has furnished a correct taxpayer identification number and has not 

been notified by the IRS that it is subject to backup withholding for failure to report 

interest and dividend payments. 

The information reporting and backup withholding regimes are complex; their implementation 

depends upon, among other things, the source of the payment, whether the payment took 

place outside the United States, whether the payment was initiated by U.S. payor (as defined 

in the applicable U.S. Treasury regulations), and whether the payments will go through a 

foreign intermediary. A non U.S. Holder of the Notes generally will not be subject to these 

information reporting requirements or backup withholding with respect to payments of interest 

- 380 -

or distributions on the Notes if (1) it certifies to the Trustee its status as a non U.S. Holder 

under penalties of perjury on the appropriate IRS Form W 8, and (2) in the case of a non U.S. 

Holder that is a "nonwithholding foreign partnership," "foreign simple trust," or "foreign 

grantor trust" as defined in the applicable US Treasury regulations, the beneficial owners of 

such non U.S. Holder also certify to the Trustee their status as non U.S. Holders under 

penalties of perjury on the appropriate IRS Form W 8. The payments of the proceeds from 

the disposition of a Note by a non U.S. Holder to or through the U.S. office of a broker 

generally will not be subject to information reporting and backup withholding if the non U.S. 

Holder certifies its status as a non U.S. Holder (and, if applicable, its beneficial owners also 

certify their status as non U.S. Holders) under penalties of perjury on the appropriate IRS 

Form W 8, satisfies certain documentary evidence requirements for establishing that it is a 

non U.S. Holder or otherwise establishes an exemption. 

Backup withholding is not an additional tax and may be refunded (or credited against the U.S. 

Holder's or non U.S. Holder's U.S. federal income tax liability, if any), provided that certain 

required information is furnished to the IRS. The information reporting requirements may 

apply regardless of whether withholding is required. 

European Union Council Directive (2003/48/EC) on the Taxation of Savings Income (the 

"Directive") 

Under EC Council Directive 2003/48/EC on the taxation of savings income, each Member 

State is required, as from 1 July 2005, to provide to the tax authorities of another Member 

State details of payments of interest or other similar income paid by a person within its 

jurisdiction to, or collected by such a person for, an individual resident in that other Member 

State; however, for a transitional period, Austria, Belgium and Luxembourg may instead 

apply a withholding system in relation to such payments, deducting tax at rates rising over 

time to 35%. The transitional period is to terminate at the end of the first full fiscal year 

following agreement by certain non-EU countries to the exchange of information relating to 

such payments. 

Also with effect from 1 July 2005, a number of non-EU countries, and certain dependent or 

associated territories of certain Member States, have agreed to adopt similar measures (either 

provision of information or transitional withholding) in relation to payments made by a person 

within its jurisdiction to, or collected by such a person for, an individual resident in a Member 

State. In addition, the Member States have entered into reciprocal provision of information or 

transitional withholding arrangements with certain of those dependent or associated territories 

in relation to payments made by a person in a Member State to, or collected by such a person 

for, an individual resident in one of those territories. 

- 381 -

CERTAIN ERISA CONSIDERATIONS 

The U.S. Employee Retirement Income Security Act of 1974, as amended ("ERISA") 

imposes certain requirements on employee benefit plans subject to ERISA, including entities 

(such as collective investment funds and separate accounts) whose underlying assets are 

treated as being subject to ERISA (collectively, "ERISA Plans") and on those persons who 

are fiduciaries with respect to ERISA Plans. Investments by ERISA Plans are subject to 

ERISA's general fiduciary requirements, including the requirement of investment prudence 

and diversification and the requirement that an ERISA Plan's investments be made in 

accordance with the documents governing the Plan. The prudence of a particular investment 

will be determined by the responsible fiduciary of an ERISA Plan by taking into account the 

ERISA Plan's particular circumstances and all of the facts and circumstances of the 

investment including, but not limited to, the matters discussed above under "Risk Factors" and 

the fact that in the future there may be no market in which such fiduciary will be able to sell 

or otherwise dispose of the Notes. 

Any fiduciary of an ERISA Plan, of an entity whose underlying assets include assets of 

ERISA Plans by reason of an ERISA Plan's investment in such entity, or of a governmental or 

church plans that is subject to fiduciary standards similar to those of ERISA ("plan 

fiduciary"), that proposes to cause such a plan or entity to purchase Notes should determine 

whether, under the general fiduciary standards of ERISA or other applicable law, an 

investment in the Notes is appropriate for such plans or entity. In determining whether a 

particular investment is appropriate for an ERISA Plan, U.S. Department of Labor regulations 

provide that the fiduciaries of an ERISA Plan must give appropriate consideration to, among 

other things, the role that the investment plays in the ERISA Plan's portfolio, taking into 

consideration whether the investment is designed reasonably to further the ERISA Plan's 

purposes, an examination of the risk and return factors, the portfolio's composition with 

regard to diversification, the liquidity and current return of the total portfolio relative to the 

anticipated cash flow needs of the ERISA Plan and the projected return of the total portfolio 

relative to the ERISA Plan's funding objectives. Before investing the assets of an ERISA Plan 

in Notes, a fiduciary should determine whether such an investment is consistent with the 

foregoing regulations, and its fiduciary responsibilities, including any specific restrictions to 

which such fiduciary may be subject. 

Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the 

assets of an ERISA Plan (as well as those plans that are not subject to ERISA but which are 

subject to Section 4975 of the Code, such as individual retirement accounts (together with 

ERISA Plans, "Plans")) and certain persons (referred to as "parties in interest" or 

"disqualified persons") having certain relationships to such Plans, unless a statutory or 

administrative exemption is applicable to the transaction. A party in interest or disqualified 

person who engages in a prohibited transaction may be subject to excise taxes or other 

liabilities under ERISA and the Code. 

The Issuer, The Portfolio Manager and each of the Initial Purchasers as a result of their own 

activities or because of the activities of an affiliate, may be considered a party-in-interest or a 

disqualified person with respect to Plans. Accordingly, prohibited transactions within the 

- 382 -

meaning of Section 406 of ERISA and Section 4975 of the Code could arise if Notes are 

acquired by a Plan. Certain exemptions from the prohibited transaction rules could be 

applicable, however, depending in part upon the type of Plan fiduciary making the decision to 

acquire a Note and the circumstances under which such decision is made. Included among 

these exemptions are PTE 90-1, regarding investments by insurance company pooled separate 

accounts; PTE 91-38, regarding investments by bank collective investment funds; PTE 84-14, 

regarding transactions effected by a "qualified professional asset manager"; PTE 96-23, 

regarding investments by certain in-house asset managers; and PTE 95-60, regarding 

investments by insurance company general accounts. Even if the conditions specified in one 

or more of these exemptions are met, the scope of the relief provided by these exemptions 

might or might not cover all acts which might be construed as prohibited transactions. If a 

purchase of Notes were to be a non-exempt prohibited transaction, the purchase might have to 

be rescinded. 

Government plans and certain church plans, while not subject to the fiduciary responsibility 

provisions of ERISA or the provisions of Section 4975 of the Code, may nevertheless be 

subject to local, state or other Federal laws that are similar to the foregoing provisions of 

ERISA and the Code. 

The U.S. Department of Labor has promulgated a regulation, 29 C.F.R. Section 2510.3-101 

(the "Plan Asset Regulation"), describing what constitutes the assets of a Plan with respect to 

the Plan's investment in an entity for the purposes of certain provisions of ERISA, including 

the fiduciary responsibility provisions of Title I of ERISA. Under a "look-though rule" set 

forth in the Plan Asset Regulation, if a Plan invests in an "equity interest" of an entity and no 

other exception applies, the Plan's assets include both the equity interest and an undivided 

interest in each of the entity's underlying assets. The Plan Asset Regulation provides, 

however, that if equity participation in any entity by Benefit Plan Investors is not significant 

then the "look-through" rule will not apply to such entity. "Benefit Plan Investors" are defined 

in the Plan Asset Regulation to include (1) any employee benefit plan (as defined in Section 

3(3) of ERISA), whether or not subject to Title I of ERISA, (2) any plan described in Section 

4975(e)(1) of the Code, and (3) any entity whose underlying assets include plan assets by 

reason of a plan's investment in the entity. Equity participation by Benefit Plan Investors in an 

entity is significant if, immediately after the most recent acquisition of any equity interest in 

the entity, 25 per cent. or more of the value of any class of equity interests in the equity 

(excluding the value of any interests held by certain persons, other than Benefit Plan 

Investors, exercising control over the assets of the entity or providing investment advice to the 

entity for a fee, direct or indirect, or any affiliates of such persons (any such person, a 

"Controlling Person")) is held by the Benefit Plan Investors. 

The Issuer intends that the Class E Notes, the Class F Subordinated Notes and the 

Combination Notes (or any interests in any Class E Notes, the Class F Subordinated Notes or 

the Combination Notes) may not be acquired or held by any Plan. 

EACH PURCHASER AND TRANSFEREE OF A CLASS A NOTE, A CLASS B NOTE, A 

CLASS C NOTE OR A CLASS D NOTE, OR OF ANY INTEREST THEREIN, WILL BE 

DEEMED TO HAVE REPRESENTED, WARRANTED AND COVENANTED THAT, AT 

- 383 -

THE TIME OF ITS ACQUISITION AND THROUGHOUT THE PERIOD OF ITS 

HOLDING AND DISPOSITION OF SUCH NOTE OR INTEREST THEREIN, EITHER (A) 

IT IS NOT, AND IS NOT ACTING ON BEHALF OF, AN "EMPLOYEE BENEFIT 

PLAN" (AS DEFINED IN SECTION 3(3) OF THE U.S. EMPLOYEE RETIREMENT 

INCOME SECURITY ACT 1974, AS AMENDED ("ERISA")) THAT IS SUBJECT TO 

SECTION 406 OF ERISA, OR A "PLAN" SUBJECT TO SECTION 4975 OF THE U.S. 

INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE") OR FEDERAL, 

STATE, LOCAL OR NON-U.S. LAW THAT IS SIMILAR TO THE PROHIBITED 

TRANSACTION PROVISIONS OF ERISA OR SECTION 4975 OF THE CODE 

("SIMILAR LAW"), OR (B) IT IS, OR IS ACTING ON BEHALF OF, A BENEFIT PLAN 

INVESTOR THAT IS SUBJECT TO ERISA OR A PLAN SUBJECT TO SECTION 4975 

OF THE CODE, OR SIMILAR LAW AND ITS PURCHASE, HOLDING AND 

DISPOSITION OF SUCH NOTE DOES NOT VIOLATE ERISA OR SECTION 4975 OF 

THE CODE, OR SIMILAR LAW. 

THE CLASS E NOTES AND THE CLASS F SUBORDINATED NOTES AND THE 

COMBINATION NOTES (AND INTERESTS THEREIN) MAY NOT BE PURCHASED OR 

HELD BY, AND EACH PURCHASER OR HOLDER OF ANY CLASS E NOTE OR 

CLASS F SUBORDINATED NOTE OR A COMBINATION NOTE WILL BE DEEMED 

TO REPRESENT AND AGREE THAT IT IS NOT AND WILL NOT BE, FOR THE 

PERIOD THAT IT HOLDS SUCH NOTES (OR INTERESTS), (A) AN "EMPLOYEE 

BENEFIT PLAN" WITHIN THE MEANING OF SECTION 3(3) OF THE U.S. 

EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED 

("ERISA"), WHICH IS SUBJECT TO ERISA, (B) A "PLAN" WITHIN THE MEANING 

OF AND SUBJECT TO SECTION 4975 OF THE U.S. INTERNAL REVENUE CODE OF 

1986, AS AMENDED (THE "CODE"), (C) ANOTHER EMPLOYEE BENEFIT PLAN 

SUBJECT TO ANY U.S. FEDERAL, STATE OR LOCAL, OR NON-U.S. LAW 

SUBSTANTIALLY SIMILAR TO SECTION 406 OF ERISA OR SECTION 4975 OF THE 

CODE ("SIMILAR LAW"), OR (D) ANY PERSON OR ENTITY ANY OF WHOSE 

ASSETS INCLUDE, OR ARE DEEMED FOR PURPOSES OF ERISA OR SECTION 4975 

OF THE CODE (OR, IN THE CASE OF SUCH ANOTHER EMPLOYEE BENEFIT 

PLAN, SIMILAR LAW) TO INCLUDE, THE "PLAN ASSETS" OF ANY SUCH 

"EMPLOYEE BENEFIT PLAN," OR "PLAN". FURTHERMORE, EACH PURCHASER 

OR HOLDER OF ANY CLASS E NOTE OR CLASS F SUBORDINATED NOTE OR A 

COMBINATION NOTE OR ANY INTEREST THEREIN WILL BE DEEMED TO 

REPRESENT AND AGREE BY SUCH PURCHASE OR HOLDING THEREOF THAT IT 

WILL NOT SELL OR OTHERWISE TRANSFER SUCH NOTES OR ANY INTEREST 

THEREIN OTHERWISE THAN TO A PURCHASER OR TRANSFEREE THAT IS 

DEEMED TO REPRESENT AND AGREE WITH RESPECT TO ITS PURCHASE OR 

HOLDING OF SUCH NOTES TO THE SAME EFFECT AS THE PURCHASER'S 

REPRESENTATION AND AGREEMENT SET FORTH IN THE IMMEDIATELY 

PRECEDING SENTENCE. 

- 384 -

PLAN OF DISTRIBUTION 

Merrill Lynch International (in its capacity as initial purchaser, the "Initial Purchaser") has 

pursuant to a Subscription Agreement, (the "Subscription Agreement") dated on or about 14 

December 2005, agreed with the Issuer, subject to the satisfaction of certain conditions, to 

subscribe and pay for the Class A Notes, the Class B Notes, the Class C Notes, the Class D 

Notes, the Class E Notes, the Class F Subordinated Notes and the Combination Notes in each 

case at the issue price of 100 per cent. of the initial principal amount (less underwriting fees 

to be agreed between the Issuer and the Initial Purchaser). The Subscription Agreement 

entitles the Initial Purchaser to terminate it in certain circumstances prior to payment being 

made to the Issuer. 

In connection with the offering, Merrill Lynch International, in its capacity as Stabilising 

Agent (or any person acting for it), may over-allot or effect transactions with a view to 

supporting the market price of the Notes at a level higher than that which might otherwise 

prevail for a maximum period of three months after the Closing Date provided that none of 

these activities will take place in or from Ireland. However, there may be no obligation on 

the Stabilising Agent (or any person acting for it) to do this. Such stabilising, if commenced, 

may be discontinued at any time and must be brought to an end after three months. Such 

stabilising shall be in compliance with all applicable laws, regulations and rules. 

It is a condition of the issue of the Notes of each Class that the Notes of each other Class be 

issued in the following principal amounts: Class A-1 Notes: €158,250,000, Class A-2A 

Notes: €70,000,000, Class A-2B Notes: €8,000,000, Class B Notes: €35,875,000, Class C-1 

Notes: €15,590,000, Class C-2 Notes: €8,160,000, Class D-1 Notes: €3,925,000, Class D-2 

Notes: €9,200,000, Class E Notes: €10,500,000, Class F Subordinated Notes: €36,300,000, 

Class P Combination Notes: €12,240,000, Class Q Combination Notes: €15,000,000, Class R 

Combination Notes: €5,000,000, Class S Combination Notes: €5,000,000 and Class T 

Combination Notes: €9,550,000. 

The Issuer has agreed to indemnify the Initial Purchaser, the Portfolio Manager, the Collateral 

Administrator, the Trustee and certain other participants against certain liabilities or to 

contribute to payments they may be required to make in respect thereof. 

Certain of the Collateral Debt Obligations may have been originally underwritten or placed by 

the Initial Purchaser. In addition, the Initial Purchaser may have in the past performed and 

may in the future perform investment banking services or other services for issuers of the 

Collateral Debt Obligations. In addition, the Initial Purchaser and its Affiliates may from 

time to time as a principal or through one or more investment funds that it or they manage, 

make investments in the equity securities of one or more of the issuers of the Collateral Debt 

Obligations, with a result that one or more of such issuers may be or may become controlled 

by one of the Initial Purchaser or its Affiliates. 

Ireland 

The Initial Purchaser has represented and agreed with the Issuer that, to the extent applicable, 

it has complied with and will comply with all applicable provisions of the Irish Companies 

- 385 -

Acts 1963-2005 (as amended) and the Investment Intermediaries Act, 1995 (as amended) 

including, without limitation, Sections 9 and 50 and will conduct itself in accordance with any 

Codes of Conduct drawn up pursuant to Section 37 thereof or, in the case of a credit 

institution exercising its rights under the Banking Consolidation Directive (2000/12/EC of 

20th March 2000) in conformity with the codes of conduct or practice made under Section 

117(1) of the Central Bank Act 1989, of Ireland, as amended, with respect to anything done 

by it in relation to the Notes. 

United States 

The Notes have not been and will not be registered under the Securities Act and may not be 

offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. 

Persons or to U.S. residents (as determined for purposes of the Investment Company Act) 

("U.S. Residents") except in certain transactions exempt from, or not subject to, the 

registration requirements of the Securities Act and in the manner so as not to require the 

registration of the Issuer as an "investment company" pursuant to the Investment Company 

Act. 

The Issuer has been advised by the Initial Purchaser that (a) the Initial Purchaser proposes to 

resell the Notes outside the United States to non-U.S. Persons in offshore transactions in 

reliance on Regulation S and in accordance with applicable law and (b) the Initial Purchaser 

proposes to resell the Notes in the United States (directly or through its U.S. broker-dealer 

affiliate) in reliance on Rule 144A only to purchasers for their own account or for the 

accounts of QIBs, each of which purchasers or accountholders is a Qualified Purchaser for 

purposes of Section 3(c)(7) of the Investment Company Act. 

Each of the Initial Purchaser has acknowledged and agreed that, except as permitted by the 

Subscription Agreement, it will not offer, sell or deliver the Notes, (a) as part of their 

distribution at any time or (b) otherwise until 40 days after the later of the commencement of 

the Offering and the Closing Date (the "Distribution Compliance Period") within the United 

States or to, or for the account or benefit of, U.S. persons, other than to persons who are 

QIBs, and that it will send to each distributor, dealer or other person receiving a selling 

commission, fee or other remuneration to which it sells Notes during the Distribution 

Compliance Period a confirmation or other notice setting forth the restrictions on offers, sales 

and deliveries of the Notes within the United States or to, or for the account or benefit of, 

U.S. persons. 

This Prospectus has been prepared by the Issuer for use in connection with the offer and sale 

of the Notes outside the United States to non-U.S. persons and for the offer and sale of the 

Notes in the United States to QIBs. Application has been made to the Irish Financial Services 

Regulatory Authority, as competent authority under Directive 2003/71/EC, 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 traded on its regulated market. The Issuer and the Initial 

Purchaser reserve the right to reject any offer to purchase, in whole or in part, for any reason, 

or to sell less than the principal amount of Notes which may be offered. This Prospectus does 

not constitute an offer to any person in the United States or to any U.S. person other than a 

QIB to whom an offer has been made directly by the Initial Purchaser or an Affiliate thereof. 

- 386 -

Distribution of this Prospectus to any such U.S. person or to any person within the United 

States, other than those persons, if any, retained to advise a QIB with respect thereto, is 

unauthorised and any disclosure of any of its contents, without the prior written consent of the 

Issuer, is prohibited. 

Australia 

Neither the Prospectus nor any other prospectus or disclosure document in relation to the 

Notes or the Global Receipts has been lodged with, or registered by, the Australian Securities 

and Investments Commission ("ASIC") and: 

(a) 

(b) 

no offer or invitation of an offer of the Notes for issue or sale has been made or will be 

made in Australia (including an offer or invitation which is received by a person in 

Australia); 

no distribution or publication of the Prospectus or any other offering material or 

advertisement relating to the Notes in Australia has been made or will be made, 

unless (i) the minimum aggregate consideration payable by each offeree is at least A$500,000 

(disregarding moneys lent by the offeror or its associates) or the offer otherwise does not 

require disclosure to investors in accordance with part 6D.2 of the Corporations Act, and 

(ii) such action complies with all applicable laws and regulations. 

Austria 

The Notes may only be offered in the Republic of Austria in compliance with the provisions 

of the Austrian Capital Market Act and other laws applicable in the Republic of Austria 

governing the offer and sale of the Notes in the Republic of Austria. The Notes are not 

registered or otherwise authorised for public offer either under the Capital Market Act or the 

Investment Fund Act. The recipients of the Prospectus and other selling material with respect 

to the Notes have been individually selected and are targeted exclusively on the basis of a 

private placement. Accordingly, the Notes may not be, and are not being, offered or 

advertised publicly or offered similarly under either the Capital Market Act or the Investment 

Fund Act. No offer will be made to any persons other than the recipients to whom the 

Prospectus is personally addressed. 

Belgium 

The Issuer represents and agrees that it has not offered or sold and will not offer or sell, 

directly or indirectly, at the time of the placing, any of the Notes by way of a public offering 

in Belgium and/or that the Notes will be offered only to persons falling under the definition of 

a professional investor in accordance with the Royal Decree of 7 July 1999. 

France 

The offering of the Notes has not given rise to the registration of an informative document 

with the Autorité des Marchés Financiers. Potential purchasers may subscribe to the Notes 

only for their own account pursuant to the conditions set out in decree no. 98-880 of 

1 October 1998. The direct or indirect circulation to the public of the Notes so subscribed 

- 387 -

may not occur without meeting the conditions provided for under Article L 411-1, L 411-2, 

L 412-2 and L 612-8 of the Code monétaire et financier. 

Japan 

The offering or sale of the Notes have not been, and will not be, registered under the 

Securities and Exchange Law of Japan (Law no. 25 of 1948, as amended). Neither the Notes 

nor any interest therein may be offered, sold, resold or otherwise transferred, directly or 

indirectly, in Japan or to or for the account of any resident of Japan (which term as used 

herein means any person resident in Japan, including any corporation or other entity organised 

under the laws of Japan), or to others for re-offering or sale, directly or indirectly, in Japan or 

to or for the account of any resident of Japan except pursuant to an exemption from the 

registration requirements of, and otherwise in compliance with, the securities and exchange 

law and any other applicable law, regulations and Ministerial guidelines of Japan. 

New Zealand 

The Notes may not be offered for subscription, and no advertisement in relation to any Notes 

may be distributed to the public in New Zealand or acquired with a view to selling them, nor 

may any Notes be sold or offered for sale to the public in New Zealand within six months 

after the issue of such Notes, all such conduct to be interpreted in accordance with the 

Securities Act 1978, except to (a) persons whose principal business is the investment of 

money or who, in the course of and for the purposes of their business habitually invest 

money; (b) close business associates of the seller and (c) any other person who in all the 

circumstances can properly be regarded as having been selected otherwise than as a member 

of the public in New Zealand within the meaning of the Securities Act 1978. 

Spain 

The Notes may not be offered or sold in Spain except in accordance with the requirements of 

the Spanish Securities Market Law (LEY24/1988, de 28 de Julio, del Mercado de Valores), as 

amended and restated, and Royal Decree 291/1992 of 27 March on Issues and Public 

Offerings of Securities (Real Decreto 291/1992, de 27 Marzo, Sobre Emisiones y Ofertas 

Publicas de Venta de Valores) as amended and restated, and the decrees and regulations made 

thereunder. The Notes have not and will not be sold, offered or distributed in Spain except in 

circumstances which do not constitute an offer of securities in Spain within the meaning of 

Spanish securities laws and regulations. The Prospectus has not been registered with the 

Spanish Securities Market Commission (Comision Nacional del Mercado de Valores) and 

therefore it is not intended for the offering or sale of the Notes in Spain. 

United Kingdom 

The Initial Purchaser represents, warrants and agrees that: 

(a) 

it has only communicated or caused to be communicated and will only communicate or 

cause to be communicated any invitation or inducement to engage in investment 

activity (within the meaning of section 21 of the Financial Services and Markets Act 

- 388 -

2000 (the "FSMA")), received by it in connection with the issue or sale of any Notes 

in circumstances in which section 21(1) of the FSMA does not apply to the Issuer; and 

(b) 

it has complied and will comply with all applicable provisions of the FSMA with 

respect to anything done by it in relation to the Notes in, from or otherwise involving 

the United Kingdom. 

General 

Other than the approval of this Prospectus by IFSRA pursuant to the Prospectus Regulations, 

no action has been or will be taken in any jurisdiction that would permit a public offering of 

the Notes, or the possession, circulation or distribution of this Prospectus or any other 

material relating to the Issuer, the Notes, in any jurisdiction where action for such purpose is 

required. Accordingly, the Notes may not be offered or sold, directly or indirectly, and 

neither this Prospectus nor any other offering material or advertisements in connection with 

the Notes may be distributed or published, in or from any country or jurisdiction except under 

circumstances that will result in compliance with any applicable rules and regulations of any 

such country or jurisdiction. 

- 389 -

TRANSFER RESTRICTIONS 

Because of the following restrictions, purchasers are advised to consult legal counsel 

prior to making any offer, resale, pledge or transfer of the Notes 

A beneficial interest in a Regulation S Global Note may be transferred to a person who wishes 

to take delivery of such interest through a Rule 144A Global Note only upon receipt by the 

Registrar of a written certification (in the applicable form provided in the Trust Deed) to the 

effect that such transfer is being made to a person that is a QIB who is also a Qualified 

Purchaser (for the purposes of the Investment Company Act) and in accordance with any 

applicable securities laws of any state of the United States or any other jurisdiction. Neither 

U.S. Persons (as defined in Regulation S under the Securities Act) nor U.S. residents (as 

determined for the purposes of the Investment Company Act) may hold an interest in a 

Regulation S Global Note at any time. A beneficial interest in a Rule 144A Global Note may 

be transferred to a person who wishes to take delivery of such interest through a Regulation S 

Global Note of such Class only upon receipt by the Registrar of a written certification from 

the transferor (in the applicable form provided in the Trust Deed) to the effect that such 

transfer is being made to a non-U.S. person outside the United States in accordance with 

Regulation S of the Securities Act. 

Rule 144A Notes 

Each prospective purchaser of Rule 144A Notes, by accepting delivery of this Prospectus, will 

be deemed to have represented, agreed and acknowledged as follows: 

(a) 

(b) 

such person acknowledges that this Prospectus is personal to it and does not 

constitute an offer to any other person or to the public generally to subscribe 

for or otherwise acquire Notes other than pursuant to Rule 144A or in 

offshore transactions in accordance with Regulation S. Distribution of this 

Prospectus, or disclosure of any of its contents to any person other than such 

offeree and those persons, if any, retained to advise it with respect thereto is 

unauthorised and any disclosure of any of its contents, without the prior 

written consent of the Issuer, is prohibited; and 

such person agrees not to make any photocopies of this Prospectus or any 

documents referred to herein and, if such person does not purchase any Notes 

or the offering is terminated, to return this Prospectus and all documents 

referred to herein to the Initial Purchaser or the Affiliate thereof who 

furnished this Prospectus and those documents. 

Each purchaser of Rule 144A Notes will be deemed to have represented, agreed and 

acknowledged as follows: 

(a) 

(i) it is a QIB, (ii) it is acquiring such Rule 144A Notes for its own account or 

for the account of a QIB; and (iii) it or such account is aware that the sale of 

such Rule 144A Notes to it is being made in reliance on Rule 144A under the 

Securities Act; 

- 390 -

(b) 

(c) 

(d) 

(e) 

(f) 

it understands that (i) the Rule 144A Notes have not been and will not be 

registered under the Securities Act, (ii) the Issuer has not registered and will 

not register under the Investment Company Act and (iii) none of the Notes 

may be offered or sold to any person except as set forth herein; 

it and each account with respect to which it exercises sole investment 

discretion (i) is a Qualified Purchaser, (ii) is not formed for the purpose of 

investment in the Notes, unless all of its beneficial owners are Qualified 

Purchasers, (iii) is not a dealer referred to in paragraph (a)(1)(ii) of Rule 144A 

unless it owns and invests on a discretionary basis at least $25 million in 

securities of issuers that are not affiliated persons of such dealer, (iv) is not a 

plan referred to in paragraph (a)(1)(i)(D) or (E) of Rule 144A or a trust fund 

referred to in paragraph (A)(1)(i)(F) of Rule 144A that holds the assets of such 

plan, unless investment decisions are made solely by the fiduciary, trustee or 

sponsor of such plan, (v) is purchasing the Notes in at least a minimum 

denomination of €250,000 and (vi) will provide written notice of the foregoing 

and any other applicable transfer restrictions to any transferee; 

it understands that transfers in violation of the transfer restrictions herein will 

be of no force and effect, will be void ab initio, and will not operate to 

transfer any rights to the transferee, notwithstanding any instructions to the 

contrary to the Issuer, the Trustee or any intermediary. If the Issuer 

determines that any beneficial owner or holder of Notes that is a U.S. Person 

is not a QIB and a Qualified Purchaser or such owner or holder is a Plan, the 

Issuer will require that such beneficial owner or holder sell all of its right, title 

and interest in such Notes to a person who is a QIB and a Qualified Purchaser 

and is not a Plan, with such sale to be effected within 30 days after notice of 

such sale requirement is given. If such sale is not effected within such 30 

days, upon written direction from the Issuer, the Trustee will be authorised to 

conduct a commercially reasonable sale of such Notes to a person who is a 

QIB and a Qualified Purchaser and is not a Plan and, pending transfer, no 

further payments will be made in respect of such Notes or any beneficial 

interest therein; 

it shall not resell or otherwise transfer any of the Notes except (a) to the 

Issuer, (b) to a person that is a QIB and a Qualified Purchaser in a transaction 

meeting the requirements of Rule 144A under the Securities Act or (c) in an 

offshore transaction and not to, or for the account or benefit of, a U.S. Person 

in accordance with Regulation S under the Securities Act; 

it understands that such Rule 144A Notes, unless the Issuer thereof determines 

otherwise in compliance with applicable law, will bear a legend to the 

following effect: 

"THE ISSUER OF THIS NOTE HAS NOT BEEN REGISTERED UNDER 

THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, AS 

AMENDED (THE "INVESTMENT COMPANY ACT"), AND THIS NOTE 

- 391 -

HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE 

UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE 

"SECURITIES ACT"), OR WITH ANY SECURITIES REGULATORY 

AUTHORITY OF ANY STATE OR OTHER JURISDICTION. 

EACH PERSON ACQUIRING AN INTEREST IN THIS NOTE IS 

DEEMED TO (1) REPRESENT THAT (A) IT IS A "QUALIFIED 

INSTITUTIONAL BUYER" (AS DEFINED IN RULE 144A UNDER THE 

SECURITIES ACT ("RULE 144A")) (A "QIB") THAT IS ALSO A 

"QUALIFIED PURCHASER" (AS DEFINED IN SECTION 2(A)(51) OF 

THE INVESTMENT COMPANY ACT) (A "QUALIFIED PURCHASER") 

OR (B) IT IS NOT A "U.S. PERSON" AND IS ACQUIRING SUCH 

INTEREST IN AN "OFFSHORE TRANSACTION" PURSUANT TO 

RULE 903 OR RULE 904 OF REGULATION S UNDER THE SECURITIES 

ACT AND (2) AGREE THAT IT WILL NOT OFFER, SELL OR 

OTHERWISE TRANSFER SUCH INTEREST EXCEPT (A) TO THE 

ISSUER; (B) IN ACCORDANCE WITH RULE 144A TO A PERSON THAT 

IS A QIB AND A QUALIFIED PURCHASER THAT (I) IS NOT FORMED 

FOR THE PURPOSE OF INVESTMENT IN THIS NOTE, UNLESS ALL 

OF ITS BENEFICIAL OWNERS ARE QUALIFIED PURCHASERS, (II) IS 

NOT A DEALER REFERRED TO IN PARAGRAPH (a)(1)(ii) OF 

RULE 144A UNLESS IT OWNS AND INVESTS ON A DISCRETIONARY 

BASIS AT LEAST $25 MILLION IN SECURITIES OF ISSUERS THAT 

ARE NOT AFFILIATED PERSONS OF SUCH DEALER, (III) IS NOT A 

PLAN REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (E) OF 

RULE 144A OR A TRUST FUND REFERRED TO IN 

PARAGRAPH (a)(1)(i)(F) OF RULE 144A THAT HOLDS THE ASSETS 

OF SUCH PLAN, UNLESS INVESTMENT DECISIONS ARE MADE 

SOLELY BY THE FIDUCIARY, TRUSTEE OR SPONSOR OF SUCH 

PLAN, (IV) IS PURCHASING THIS NOTE FOR ITS OWN ACCOUNT OR 

FOR THE ACCOUNT OF A QIB THAT IS ALSO A QUALIFIED 

PURCHASER IN AT LEAST A MINIMUM DENOMINATION OF 

€250,000 AND (V) WILL PROVIDE WRITTEN NOTICE OF THE 

FOREGOING AND ANY OTHER APPLICABLE TRANSFER 

RESTRICTIONS TO ANY TRANSFEREE; OR (C) IN AN OFFSHORE 

TRANSACTION AND NOT TO, OR FOR THE ACCOUNT OR BENEFIT 

OF, A U.S. PERSON IN ACCORDANCE WITH REGULATION S UNDER 

THE SECURITIES ACT. AS USED HEREIN, THE TERMS "OFFSHORE 

TRANSACTION" AND "U.S. PERSON" HAVE THE MEANINGS GIVEN 

TO THEM BY REGULATION S UNDER THE SECURITIES ACT. 

TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO 

FORCE OR EFFECT, WILL BE VOID AB INITIO, AND WILL NOT 

OPERATE TO TRANSFER ANY RIGHTS TO THE TRANSFEREE, 

NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO 

- 392 -

THE ISSUER OF THIS NOTE, THE TRUSTEE OR ANY 

INTERMEDIARY. IF THE ISSUER DETERMINES THAT ANY 

BENEFICIAL OWNER OR HOLDER OF AN INTEREST IN THIS NOTE 

THAT IS A U.S. PERSON IS NOT A QIB AND A QUALIFIED 

PURCHASER, THE ISSUER WILL REQUIRE THAT SUCH BENEFICIAL 

OWNER OR HOLDER SELL ALL OF ITS RIGHT, TITLE AND 

INTEREST IN THIS NOTE TO A PERSON WHO IS A QIB AND A 

QUALIFIED PURCHASER, WITH SUCH SALE TO BE EFFECTED 

WITHIN 30 DAYS AFTER NOTICE OF SUCH SALE REQUIREMENT IS 

GIVEN. IF SUCH SALE IS NOT EFFECTED WITHIN SUCH 30 DAYS, 

UPON WRITTEN DIRECTION FROM THE ISSUER, THE TRUSTEE 

WILL BE AUTHORISED TO CONDUCT A COMMERCIALLY 

REASONABLE SALE OF SUCH NOTES TO A PERSON WHO IS A QIB 

AND A QUALIFIED PURCHASER AND, PENDING TRANSFER, NO 

FURTHER PAYMENTS WILL BE MADE IN RESPECT OF SUCH NOTES 

OR ANY BENEFICIAL INTEREST THEREIN." 

The following to be included in the legend for the Class A Notes, the Class B 

Notes, the Class C Notes or the Class D Notes only: 

"EACH PURCHASER AND TRANSFEREE OF THIS NOTE, OR OF ANY 

INTEREST THEREIN, WILL BE DEEMED TO HAVE REPRESENTED, 

WARRANTED AND COVENANTED THAT, AT THE TIME OF ITS 

ACQUISITION AND THROUGHOUT THE PERIOD OF ITS HOLDING 

AND DISPOSITION OF SUCH NOTE OR INTEREST THEREIN, (1)(A) IT 

IS NOT, AND IS NOT ACTING ON BEHALF OF, AN "EMPLOYEE 

BENEFIT PLAN" (AS DEFINED IN SECTION 3(3) OF THE U.S. 

EMPLOYEE RETIREMENT INCOME SECURITY ACT 1974, AS 

AMENDED ("ERISA")) THAT IS SUBJECT TO SECTION 406 OF ERISA, 

OR A "PLAN" SUBJECT TO SECTION 4975 OF THE U.S. INTERNAL 

REVENUE CODE OF 1986, AS AMENDED, OR ANY OTHER PLAN 

THAT IS SUBJECT TO ANY FEDERAL, STATE, LOCAL OR NON-U.S. 

LAW THAT IS SUBSTANTIALLY SIMILAR TO THE PROHIBITED 

TRANSACTION PROVISIONS OF ERISA OR SECTION 4975 OF THE 

CODE ("SIMILAR LAW") OR (B) IT IS, OR IS ACTING OB BEHALF 

OF, AN EMPLOYEE BENEFIT PLAN THAT IS SUBJECT TO ERISA OR 

A PLAN SUBJECT TO SECTION 4975 OF THE CODE, OR IS A PLAN 

SUBJECT TO ANY SIMILAR LAW AND ITS PURCHASE, HOLDING 

AND DISPOSITION OF SUCH NOTE DOES NOT VIOLATE ERISA OR 

SECTION 4975 OF THE CODE, OR ANY SIMILAR LAW". 

The following to be included in the legend for the Class E Notes, the Class F 

Subordinated Notes and the Combination Notes only: 

"THIS NOTE (AND INTERESTS THEREIN) MAY NOT BE PURCHASED 

OR HELD BY, AND EACH PURCHASER OR HOLDER OF THIS NOTE 

- 393 -

(OR INTERESTS THEREIN) WILL BE DEEMED TO REPRESENT AND 

AGREE THAT IT IS NOT AND WILL NOT BE, FOR THE PERIOD 

THAT IT HOLDS SUCH NOTES (OR INTERESTS), (A) AN "EMPLOYEE 

BENEFIT PLAN" WITHIN THE MEANING OF SECTION 3(3) OF THE 

U.S. EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS 

AMENDED ("ERISA"), (B) A "PLAN" WITHIN THE MEANING OF 

AND SUBJECT TO SECTION 4975 OF THE U.S. INTERNAL REVENUE 

CODE OF 1986, AS AMENDED (THE "CODE"), (C) ANOTHER 

EMPLOYEE BENEFIT PLAN SUBJECT TO ANY U.S. FEDERAL, 

STATE OR LOCAL, OR NON-U.S. LAW SUBSTANTIALLY SIMILAR 

TO SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE 

("SIMILAR LAW"), OR (D) ANY PERSON OR ENTITY ANY OF 

WHOSE ASSETS INCLUDE OR ARE DEEMED FOR PURPOSES OF 

ERISA OR SECTION 4975 OF THE CODE (OR, IN THE CASE OF SUCH 

ANOTHER EMPLOYEE BENEFIT PLAN, SIMILAR LAW) TO 

INCLUDE, THE "PLAN ASSETS" OF ANY SUCH "EMPLOYEE 

BENEFIT PLAN," "PLAN" OR OTHER EMPLOYEE BENEFIT PLAN. 

THE FAILURE TO PROVIDE THE ISSUER, THE TRUSTEE AND ANY 

PAYING AGENT WITH THE APPLICABLE U.S. FEDERAL INCOME 

TAX CERTIFICATIONS (GENERALLY, AN INTERNAL REVENUE 

SERVICE FORM W-9 (OR SUCCESSOR APPLICABLE FORM) IN THE 

CASE OF A PERSON THAT IS A "UNITED STATES PERSON" WITHIN 

THE MEANING OF SECTION 7701(A)(30) OF THE CODE OR AN 

APPLICABLE INTERNAL REVENUE SERVICE FORM W-8 (OR 

SUCCESSOR APPLICABLE FORM) IN THE CASE OF A PERSON THAT 

IS NOT A "UNITED STATES PERSON" WITHIN THE MEANING OF 

SECTION 7701(A)(30) OF THE CODE) MAY RESULT IN U.S. FEDERAL 

BACK-UP WITHHOLDING FROM PAYMENTS TO THE HOLDER IN 

RESPECT OF THIS NOTE. 

EACH HOLDER AND EACH BENEFICIAL OWNER OF A NOTE 

(OTHER THAN A CLASS F SUBORDINATED NOTE), BY 

ACCEPTANCE OF SUCH NOTE, OR ITS INTEREST IN A NOTE 

(OTHER THAN A CLASS F SUBORDINATED NOTE), AS THE CASE 

MAY BE, SHALL BE DEEMED TO HAVE AGREED TO TREAT, AND 

SHALL TREAT, SUCH NOTE (OTHER THAN A CLASS F 

SUBORDINATED NOTE) AS DEBT FOR UNITED STATES FEDERAL 

INCOME TAX PURPOSES. 

EACH HOLDER AND EACH BENEFICIAL OWNER OF A CLASS F 

SUBORDINATED NOTE, BY ACCEPTANCE OF SUCH NOTE, OR ITS 

INTEREST IN SUCH NOTE, AS THE CASE MAY BE, SHALL BE 

DEEMED TO HAVE AGREED TO TREAT, AND SHALL TREAT, SUCH 

NOTE AS EQUITY OF THE ISSUER FOR UNITED STATES FEDERAL 

INCOME TAX PURPOSES. 

- 394 -

[THIS NOTE ENTITLES THE HOLDER TO RECEIVE A PRO RATA 

SHARE OF PAYMENTS MADE ON THE UNDERLYING PORTIONS OF 

THE CLASS C-2 NOTES AND THE CLASS F SUBORDINATED NOTES] 1 



THE CLASS D-2 NOTES AND THE CLASS F SUBORDINATED NOTES] 2 



THE CLASS A-1 NOTES AND THE CLASS F SUBORDINATED NOTES] 3 



THE CLASS B NOTES AND THE CLASS E NOTES] 4 



THE OAT STRIPS T PORTION AND THE CLASS F SUBORDINATED 

NOTES] 5 



THE OAT STRIPS U PORTION AND THE CLASS F SUBORDINATED 

NOTES] 6 

(g) 

(h) 

it acknowledges that the Issuer, the Registrar, the Paying Agents, the Initial 

Purchaser and their respective Affiliates, and others will rely upon the truth 

and accuracy of the foregoing acknowledgements, representations and 

agreements. If it is acquiring the Rule 144A Notes for the account of a QIB 

who is also a Qualified Purchaser for the purposes of the Investment Company 

Act, it represents that it has sole investment discretion with respect to such 

account and that it has full power to make the foregoing acknowledgements, 

representations and agreements on behalf of such account; 

it understands that the Rule 144A Notes offered in reliance on Rule 144A will 

bear the legend set out above and will be represented by Rule 144A Global 

Notes. The Rule 144A Notes may not at any time be held by, or on behalf of, 

U.S. Persons that are not QIBs who are also Qualified Purchasers for the 

purposes of the Investment Company Act; 

1 

2 

3 

4 

5 

6 

Applicable to Class P Combination Notes only. 

Applicable to Class Q Combination Notes only. 

Applicable to Class R Combination Notes only. 

Applicable to Class S Combination Notes only. 

Applicable to Class T Combination Notes only. 

Applicable to Class U Combination Notes only. 

- 395 -

(i) 

(j) 

(k) 

(l) 

(m) 

(n) 

it is not purchasing the Rule 144A Notes with the intent or purpose of 

evading, either alone or in conjunction with any other person, the provisions 

of the Investment Company Act; 

in the case of holders of Class F Subordinated Notes, the holder agrees to treat 

the Class F Subordinated Notes as equity of the Issuer for U.S. federal, state 

and local tax purposes; 

in the case of holders of Combination Notes, the holder agrees to treat each 

Component of the Combination Notes as a separate Note for U.S. federal 

income tax purposes, if applicable, and to treat the Component representing 

the Class F Subordinated Notes as equity of the Issuer for U.S. federal, state 

and local tax purposes; 

in the case of the Class A Notes, the Class B Notes, the Class C Notes and the 

Class D Notes: either (i) it is not, and will not be acting on behalf of, an 

employee benefit plan or other plan subject to the prohibited transaction 

provisions of Section 406 of the United States Employee Retirement Income 

Security Act of 1974, as amended ("ERISA"), or Section 4975 of the United 

States Internal Revenue Code of 1986, as amended ("Code") or any federal, 

state, local or foreign law that is similar to Section 406 of ERISA or Section 

4975 of the Code ("Similar Law"), or an entity which may be deemed to hold 

assets of any such plan (each a "Plan"), and no part of the assets to be used by 

it to purchase or hold such Rule 144A Notes or any interest therein constitutes 

or will constitute the assets of any Plan or (ii) it is, or is acting on behalf of, a 

Plan or other benefit plan investor (such as a governmental, church or 

non-U.S. plan) and such acquisition or holding or disposition does not violate 

the prohibited transaction provisions of Section 406 of ERISA or Section 4975 

of the Code or any Similar Law; 

in the case of the Class E Notes, the Class F Subordinated Notes and the 

Combination Notes: it is not and will not be, for the period that it holds a 

Note (or interests), (a) an "Employee Benefit Plan" within the meaning of 

Section 3(3) of the U.S. Employee Retirement Income Security Act of 1974, 

as amended ("ERISA"), (b) a "Plan" within the meaning of and subject to 

Section 4975 of the U.S. Internal Revenue Code of 1986, as amended (the 

"Code"), (c) another Employee Benefit Plan subject to any U.S. federal, state 

or local, or non-U.S. law substantially similar to Section 406 of ERISA or 

Section 4975 of the Code ("Similar Law"), or (d) any person or entity any of 

whose assets include, or are deemed for purposes of ERISA or Section 4975 

of the Code (or, in the case of such another Employee Benefit Plan, or Similar 

Law) to include, the "Plan Assets" of any such "Employee Benefit Plan," 

"Plan" or other employee benefit plan; 

the purchaser is not purchasing the notes in order to reduce its U.S. federal 

income tax liability pursuant to a tax avoidance plan; and 

- 396 -

(o) 

if the purchaser is not a United States person (as defined in 

Section 7701(a)(30) of the Code), such purchaser either (x) is not a bank 

extending credit pursuant to a loan agreement in the ordinary course of its 

lending business (within the meaning of Section 881(c)(3)(a) of the Code) or 

(y) is a person that is eligible for benefits under an income tax treaty with the 

United States that eliminates U.S. federal income taxation of U.S. source 

interest not attributable to a permanent establishment in the United States. 

Each person purchasing Rule 144A Notes from the Initial Purchaser or through an Affiliate 

thereof acknowledges that (i) it has been afforded an opportunity to request from the Issuer 

thereof and to review, and it has received, all additional information considered by it to be 

necessary to verify the accuracy of the information herein; (ii) it has not relied on the Initial 

Purchaser, the Portfolio Manager or any person affiliated with the Initial Purchaser or the 

Portfolio Manager in connection with its investigation of the accuracy of the information 

contained in this Prospectus or its investment decision; (iii) no person has been authorised to 

give any information or to make any representation concerning the Issuer or the Rule 144A 

Notes other than those contained in this Prospectus and, if given or made, such other 

information or representation should not be relied upon as having been authorised by the 

Issuer or the Initial Purchaser. 

Regulation S Notes 

Each purchaser of Regulation S Notes will be deemed to have represented and agreed as 

follows: 

(a) 

(b) 

(c) 

it is, and the person, if any, for whose account it is acquiring the Notes is, 

located outside the United States and is not a U.S. Person (as defined in 

Regulation S); 

it understands that the Notes have not been and will not be registered under 

the Securities Act and that the Issuer has not registered and will not register 

under the Investment Company Act. It agrees, for the benefit of the Issuer, 

the Initial Purchaser and any of its Affiliates, that, if it decides to resell, 

pledge or otherwise transfer such Notes (or any beneficial interest or 

participation therein) purchased by it, any offer, sale or transfer of such Notes 

(or any beneficial interest or participation therein) will be made in compliance 

with the Securities Act and only (i) to a person it reasonably believes is a QIB 

who is also a Qualified Purchaser for the purposes of the Investment Company 

Act purchasing for its own account or for the account of a QIB, who is also a 

Qualified Purchaser for the purposes of the Investment Company Act in a 

transaction that meets the requirements of Rule 144A; or (ii) to a non-U.S. 

Person in an offshore transaction in accordance with Rule 903 or Rule 904 (as 

applicable) under Regulation S; 

it understands that unless the Issuer determines otherwise in compliance with 

applicable law, such Notes will bear a legend to the effect set forth in 

paragraph (d) under "Rule 144A Notes" above; 

- 397 -

(d) 

(e) 

(f) 

(g) 

(h) 

(i) 

it acknowledges that the Issuer, the Registrar, the Initial Purchaser and their 

affiliates, and others will rely upon the truth and accuracy of the foregoing 

acknowledgements, representations and agreements; 

it understands that the Regulation S Notes may not, at any time, be held by, or 

on behalf of, U.S. Persons or U.S. residents; 

in the case of the Class A Notes, Class B Notes, Class C Notes or Class D 

Notes either (i) it is not, and it is not acting on behalf of, an employee benefit 

plan or other plan subject to the prohibited transaction provisions of 

Section 406 of the United States Employee Retirement Income Security Act of 

1974, as amended ("ERISA"), or Section 4975 of the United States Internal 

Revenue Code of 1986, as amended ("Code") or any federal, state, local or 

foreign law that is similar to Section 406 of ERISA or Section 4975 of the 

Code ("Similar Law"), or an entity which may be deemed to hold assets of 

any such plan (each a "Plan"), and no part of the assets to be used by it to 

purchase or hold such Regulation S Notes or any interest therein constitutes or 

will constitute the assets of any Plan or (ii) it is, or is acting on behalf of, a 

Plan or other benefit plan investor (such as a governmental, church or 

non-U.S. plan), and such acquisition or holding or disposition does not violate 

the prohibited transaction provisions of Section 406 of ERISA or Section 4975 

of the Code or any Similar Law; 

in the case of the Class E Notes, the Class F Subordinated Notes or the 

Combination Notes: it is not and will not be, for the period that it holds such 

notes (or interests), (a) an "Employee Benefit Plan" within the meaning of 

Section 3(3) of the U.S. Employee Retirement Income Security Act of 1974, 

as amended ("ERISA"), (b) a "Plan" within the meaning of and subject to 

Section 4975 of the U.S. Internal Revenue Code of 1986, as amended (the 

"Code"), (c) another Employee Benefit Plan subject to any U.S. federal, state 

or local, or non-U.S. law substantially similar to Section 406 of ERISA or 

Section 4975 of the Code ("Similar Law"), or (d) any person or entity any of 

whose assets include, or are deemed for purposes of ERISA or Section 4975 

of the Code (or, in the case of such another Employee Benefit Plan, or Similar 

Law) to include, the "Plan Assets" of any such "Employee Benefit Plan," 

"Plan" or other employee benefit plan; 

the purchaser is not purchasing the notes in order to reduce its U.S. federal 

income tax liability pursuant to a tax avoidance plan; and 

if the purchaser is not a United States person (as defined in 

Section 7701(a)(30) of the Code), such purchaser either (x) is not a bank 

extending credit pursuant to a loan agreement in the ordinary course of its 

lending business (within the meaning of Section 881(c)(3)(a) of the Code) or 

(y) is a person that is eligible for benefits under an income tax treaty with the 

United States that eliminates U.S. federal income taxation of U.S. source 

interest not attributable to a permanent establishment in the United States. 

- 398 -

GENERAL INFORMATION 

1. Clearing Systems 

The Notes of each Class have been accepted for clearance through Euroclear and Clearstream 

Luxembourg. The Common Code and International Securities Identification Number 

("ISIN") for each of the Notes of each Class is: 

Regulation S Notes 

Rule 144A Notes 

ISIN Common Code ISIN Common Code 

Class A-1 Notes ................. XS0237058002 023705800 XS0237059232 023705923 

Class A-2A Notes ............... XS0237515936 023751593 XS0237523872 023752387 

Class A-2B Notes ............... XS0237516231 023751623 XS0237524250 023752425 

Class B Notes.................... XS0237058184 023705818 XS0237059588 023705958 

Class C-1 Notes ................. XS0237058341 023705834 XS0237059745 023705974 

Class C-2 Notes ................. XS0237516744 023751674 XS0237524763 023752476 

Class D-1 Notes ................. XS0237058424 023705842 XS0237060081 023706008 

Class D-2 Notes ................. XS0237517122 023751712 XS0237525067 023752506 

Class E Notes.................... XS0237058853 023705885 XS0237060248 023706024 

Class F Subordinated Notes ... XS0237059158 023705915 XS0237060594 023706059 

Class P Combination Notes…. XS0237517635 023751763 XS0237525497 023752549 

Class Q Combination Notes…. XS0237518013 023751801 XS0237525737 023752573 

Class R Combination Notes…. XS0237518799 023751879 XS0237526115 023752611 

Class S Combination Notes…. XS0237518955 023751895 XS0237526388 023752638 

Class T Combination Notes…. XS0237519334 023751933 XS0237526891 023752689 

Class U Combination Notes…. XS0238238702 023823870 XS0238239262 023823926 

The net proceeds from the issue of the Notes shall be approximately €354,800,000. 

2. Listing 

Application has been made to IFSRA, as competent authority under the Prospectus 

Regulations (which implemented the Prospectus Directive in Ireland), 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 traded on its regulated market. Arthur Cox Listing Services 

Limited is acting solely in its capacity as listing agent for the Issuer in connection with the 

Notes and is not itself seeking admission of the Notes to the official list of the ISE or to 

trading on the ISE for the purposes of the Prospectus Directive. 

3. Consents and Authorisations 

The Issuer has obtained all necessary consents, approvals and authorisations in Ireland (if any) 

in connection with the issue and performance of the Notes. The issue of the Notes is 

authorised by resolution of the Board of Directors of the Issuer passed on 13 December 2005. 

4. No Significant or Material Change 

There has been no significant change in the financial or trading position or prospects of the 

Issuer since its incorporation on 22 June 2005 and there has been no material adverse change 

in the financial position or prospects of the Issuer since its incorporation on 22 June 2005. 

- 399 -

5. No Litigation 

The Issuer is not involved, and has not been involved, in any governmental, legal or 

arbitration proceedings (including any such proceedings which are pending or threatened of 

which the Issuer is aware) which may have or have had since the date of its incorporation a 

significant effect on the Issuer's financial position. 

6. Accounts 

So long as any Note remains outstanding, copies of the most recent Annual Audited Accounts 

of the Issuer, when published, can be obtained at the specified offices of the Issuer, Registrar, 

Paying Agents and Irish Paying Agent during normal business hours. The first financial 

statements of the Issuer will be in respect of the period from incorporation to 31 July 2006. 

The annual accounts of the Issuer will be audited by the independent accountants appointed by 

the Issuer in accordance with the Collateral Administration Agreement. The Issuer will not 

prepare interim financial statements. 

7. Accountants at Closing Date 

The auditors to the Issuer on the Closing Date shall be PricewaterhouseCoopers LLP whose 

registered office is at Wilton Place, Dublin 2, Ireland. 

8. No Operations 

Since the date of incorporation, the Issuer has not commenced any operations other than the 

acquisition and temporary financing of Collateral Debt Obligations (which financing shall be 

repaid from the proceeds of this offering), and no annual reports or accounts have been 

prepared as of the date of this Prospectus. Pursuant to the Trust Deed, the Issuer is required 

to provide to the Trustee, on an annual basis, confirmation that no event of default or other 

matter which is required to be brought to the Trustee's attention has occurred or is continuing. 

9. Documents Available for Inspection 

Copies of the following documents in electronic form may be inspected at the registered office 

of the Issuer and the offices of the Irish Paying Agent in Dublin during usual business hours 

on any weekday (Saturdays and public holidays excepted) for the term of the Notes: 

(a) 

(b) 

(c) 

(d) 

(e) 

(f) 

(g) 

the Certificate of Incorporation and Memorandum and Articles of Association of the 

Issuer; 

the Subscription Agreement; 

the Trust Deed (which includes the form of each Note of each Class); 

the Agency Agreement; 

the Portfolio Management Agreement; 

the Collateral Administration Agreement; 

the Euroclear Pledge Agreement; 

- 400 -

(h) 

(i) 

(j) 

(k) 

the OAT Strips Pledge Agreements; 

each Interest Rate Hedge Agreement; 

each Currency Hedge Agreement; and 

each Offsetting Credit Default Swap. 

In addition, for so long as any of the Notes are Outstanding, the following documents will be 

available to interested persons for inspection at, and copies thereof may be obtained free of 

charge upon request from, the Irish Paying Agent on Irish Business Days: 

(l) 

(m) 

(n) 

(o) 

(p) 

each Monthly Report; 

each Note Valuation Report; 

each Class F Subordinated Noteholder Report; 

each Supplemental Report; and 

each set of Annual Audited Accounts of the Issuer. 

The documents listed in sub-paragraphs (a)-(p) above will be available for inspection in 

electronic format. 

10. Expenses for Trading 

The approximate expenses for trading for the Notes are €4,800,000. 

- 401 -

GLOSSARY OF DEFINED TERMS 

€ viii 

6-month Euribor............................. iv 

Acceleration Notice....................... 253 

Account Bank................................92 

Accounts......................................93 

Actual Deferred Interest Credit......... 316 

Additional Reinvestment Ratio............93 

Additional Reinvestment Test...... 93, 328 

Administrative Expenses...................93 

Affiliate.......................................95 

Affiliated.....................................95 

Agency Agreement..........................92 

Agent .........................................95 

Agents ........................................95 

Aggregate Collateral Balance..............95 

Aggregate Principal Balance...............95 

Annual Audited Accounts..................95 

Annual Interest Payment...................95 

Annual Interest Payment Amount.........95 

Annual Pay Security........................96 

Anti-Dilution Percentage................. 265 

Applicable Margin................... 96, 233 

Applicable Recovery Rate .................96 

Applicable Swap Rate .................... 321 

ASIC.................................... xi, 387 

Assignment..............................71, 96 

Authorised Denomination........... 96, 268 

Authorised Integral Amount .............. 96 

Authorised Officer ......................... 96 

Average Life...............................322 

AXA.........................................357 

AXA Group ................................357 

AXA IM ....................................357 

AXA IMSA ................................357 

Balance....................................... 96 

Bivariate Risk Table ......................300 

Book-Entry Interest .......................268 

Book-Entry Interests....................... 50 

Book-Entry Interests....................... 96 

Business Day................................ 96 

C Fixed Interest Rate .....................233 

Calculation Agent .......................... 92 

Cash Settlement............................. 97 

Cash Settlement Amount .................. 97 

CCC Average Market Value.............. 97 

CCC Average Moody's Recovery Rate . 97 

CCC Average S&P Recovery Rate ...... 97 

CCC Excess Balance A.................... 97 

CCC Excess Balance B.................... 97 

CCC Excess Haircut....................... 97 

CCC Obligation............................. 97 

CCC Obligations Balance ................. 98 

CCC Proportion ............................ 98 

CDI.......................................50, 98 

- 402 -

CFC......................................... 376 

Class........................................ 106 

Class A Break-even Loss Rate .......... 304 

Class A Loss Differential................ 303 

Class A Noteholders........................iii 

Class A Notes.......................iii, 19, 90 

Class A Scenario Loss Rate ............. 303 

Class A/B Coverage Tests .................99 

Class A/B Interest Coverage Ratio .......99 

Class A/B Interest Coverage Test.100, 327 

Class A/B Par Value Ratio .............. 100 

Class A/B Par Value Test..........100, 327 

Class A-1 Component ......................21 

Class A-1 Definitive Notes ................98 

Class A-1 Floating Rate of Interest..... 232 

Class A-1 Global Notes....................98 

Class A-1 Noteholders ................54, 98 

Class A-1 Notes....................iii, 19, 90 

Class A-1 Reg S Definitive Note .........98 

Class A-1 Reg S Global Note .............98 

Class A-1 Rule 144A Definitive Note....98 

Class A-1 Rule 144A Global Note........98 

Class A-1 Subordinated Component......98 

Class A-2 Noteholders .....................54 

Class A-2 Notes........................ iii, 90 

Class A-2A Definitive Notes..............98 

Class A-2A Floating Rate of Interest... 232 

Class A-2A Global Notes..................99 

Class A-2A Noteholders................... 99 

Class A-2A Notes ................. iii, 19, 90 

Class A-2A Reg S Definitive Note....... 99 

Class A-2A Reg S Global Note........... 99 

Class A-2A Rule 144A Definitive Note . 99 

Class A-2A Rule 144A Global Note ..... 99 

Class A-2B Definitive Notes.............. 99 

Class A-2B Floating Rate of Interest ...232 

Class A-2B Global Notes.................. 99 

Class A-2B Noteholders................... 99 

Class A-2B Notes.................. iii, 19, 90 

Class A-2B Reg S Definitive Note....... 99 

Class A-2B Reg S Global Note........... 99 

Class A-2B Rule 144A Definitive Note . 99 

Class A-2B Rule 144A Global Note ..... 99 

Class B Break-even Loss Rate ...........304 

Class B Component ..................22, 100 

Class B Definitive Notes .................100 

Class B Floating Rate of Interest........232 

Class B Global Notes .....................100 

Class B Loss Differential.................304 

Class B Noteholders...................iv, 100 

Class B Notes...................... iii, 19, 90 

Class B Reg S Definitive Note...........100 

Class B Reg S Global Note ..............100 

Class B Rule 144A Definitive Note.....100 

Class B Rule 144A Global Note.........100 

Class B Scenario Loss Rate ..............304 

- 403 -

Class C Break-even Loss Rate .......... 304 

Class C Coverage Tests.................. 101 

Class C Interest Coverage Ratio........ 101 

Class C Interest Coverage Test ...101, 327 

Class C Loss Differential................ 304 

Class C Noteholders........................ iv 

Class C Notes.......................iii, 19, 90 

Class C Par Value Ratio ................. 101 

Class C Par Value Test.............101, 327 

Class C Scenario Loss Rate.............. 304 

Class C-1 Definitive Notes .............. 101 

Class C-1 Floating Rate of Interest..... 232 

Class C-1 Global Notes .................. 101 

Class C-1 Noteholders............... 54, 101 

Class C-1 Notes....................iii, 19, 90 

Class C-1 Reg S Definitive Note........ 101 

Class C-1 Reg S Global Note ........... 101 

Class C-1 Rule 144A Definitive Note.. 101 

Class C-1 Rule 144A Global Note...... 101 

Class C-2 Component ............... 21, 102 

Class C-2 Definitive Notes .............. 102 

Class C-2 Global Notes .................. 102 

Class C-2 Noteholders............... 54, 102 

Class C-2 Notes....................iii, 19, 90 

Class C-2 Reg S Definitive Note........ 102 

Class C-2 Reg S Global Note ........... 102 

Class C-2 Rule 144A Definitive Note.. 102 

Class C-2 Rule 144A Global Note...... 102 

Class D Break-even Loss Rate...........305 

Class D Coverage Tests..................102 

Class D Interest Coverage Ratio ........102 

Class D Interest Coverage Test....102, 327 

Class D Loss Differential................304 

Class D Noteholders........................iv 

Class D Notes...................... iii, 19, 90 

Class D Par Value Ratio..................102 

Class D Par Value Test.............103, 327 

Class D Scenario Loss Rate..............304 

Class D-1 Definitive Notes...............103 

Class D-1 Floating Rate of Interest.....232 

Class D-1 Global Notes...................103 

Class D-1 Noteholders...............54, 103 

Class D-1 Notes ................... iii, 19, 90 

Class D-1 Reg S Definitive Note........103 

Class D-1 Reg S Global Note............103 

Class D-1 Rule 144A Definitive Note ..103 

Class D-1 Rule 144A Global Note ......103 

Class D-2 Component................21, 103 

Class D-2 Definitive Notes...............103 

Class D-2 Global Notes...................103 

Class D-2 Noteholders...............54, 103 

Class D-2 Notes ................... iii, 19, 90 

Class D-2 Reg S Definitive Note........103 

Class D-2 Reg S Global Note............104 

Class D-2 Rule 144A Definitive Note ..104 

Class D-2 Rule 144A Global Note ......104 

- 404 -

Class E Break-even Loss Rate........... 305 

Class E Component.................. 22, 104 

Class E Coverage Tests.................. 104 

Class E Definitive Notes................. 104 

Class E Floating Rate of Interest........ 232 

Class E Global Notes..................... 104 

Class E Interest Coverage Ratio ........ 104 

Class E Interest Coverage Test....104, 328 

Class E Loss Differential................ 305 

Class E Noteholders.................. iv, 104 

Class E Notes.......................iii, 19, 90 

Class E Par Value Ratio.................. 104 

Class E Par Value Test.............104, 328 

Class E Reg S Definitive Note .......... 105 

Class E Reg S Global Note .............. 105 

Class E Rule 144A Definitive Note .... 105 

Class E Rule 144A Global Note ........ 105 

Class E Scenario Loss Rate.............. 305 

Class F Definitive Notes................. 105 

Class F Global Notes..................... 105 

Class F IRR Threshold................... 105 

Class F Reg S Definitive Note .......... 105 

Class F Reg S Global Note .............. 105 

Class F Rule 144A Definitive Note..... 105 

Class F Rule 144A Global Note ........ 105 

Class F Subordinated Noteholder Report 

......................................105, 347 

Class F Subordinated Noteholders.. iv, 105 

Class F Subordinated Notes...... iii, 20, 90 

Class of Notes..............................106 

Class P Break-even Loss Rate...........305 

Class P Combination Noteholders.......106 

Class P Combination Notes...... iii, 20, 90 

Class P Combination Reg S Definitive 

Note ......................................106 

Class P Combination Reg S Global Note 

............................................106 

Class P Combination Rule 144A Definitive 

Note ......................................106 

Class P Combination Rule 144A Global 

Note ......................................106 

Class P Definitive Notes..................106 

Class P Global Notes......................106 

Class P Loss Differential.................305 

Class P Scenario Loss Rate ..............305 

Class P Subordinated Component..21, 107 

Class Q Break-even Loss Rate...........306 

Class Q Combination Noteholders......107 

Class Q Combination Notes...... iii, 20, 90 

Class Q Combination Reg S Definitive 

Note ......................................107 

Class Q Combination Reg S Global Note 

............................................107 

Class Q Combination Rule 144A 

Definitive Note .........................107 

Class Q Combination Rule 144A Global 

Note ......................................107 

Class Q Definitive Notes.................107 

Class Q Global Notes.....................107 

- 405 -

Class Q Loss Differential................ 305 

Class Q Scenario Loss Rate ............. 305 

Class Q Subordinated Component . 21, 107 

Class R Break-even Loss Rate .......... 306 

Class R Combination Noteholders...... 107 

Class R Combination Notes ......iii, 20, 90 

Class R Combination Reg S Definitive 

Note...................................... 107 

Class R Combination Reg S Global Note 

............................................ 108 

Class R Combination Rule 144A Definitive 

Note...................................... 108 

Class R Combination Rule 144A Global 

Note...................................... 108 

Class R Definitive Notes................. 108 

Class R Global Notes..................... 108 

Class R Loss Differential................ 306 

Class R Scenario Loss Rate.............. 306 

Class R Subordinated Component . 21, 108 

Class S Break-even Loss Rate........... 306 

Class S Combination Noteholders ...... 108 

Class S Combination Notes.......iii, 20, 90 

Class S Combination Reg S Definitive 

Note...................................... 108 

Class S Combination Reg S Global Note 

............................................ 108 

Class S Combination Rule 144A Definitive 

Note...................................... 108 

Class S Combination Rule 144A Global 

Note...................................... 108 

Class S Definitive Notes................. 108 

Class S Global Notes......................109 

Class S Loss Differential.................306 

Class S Scenario Loss Rate ..............306 

Class T Combination Noteholders ......109 

Class T Combination Notes...... iii, 20, 90 

Class T Combination Reg S Definitive 

Note ......................................109 

Class T Combination Reg S Global Note 

............................................109 

Class T Combination Rule 144A Definitive 

Note ......................................109 

Class T Combination Rule 144A Global 

Note ......................................109 

Class T Definitive Notes .................109 

Class T Global Notes .....................109 

Class T Subordinated Component..22, 109 

Class U Combination Note Coupon....109, 

235 

Class U Combination Notes...... iii, 20, 90 

Class U Combination Reg S Definitive 

Note ......................................109 

Class U Combination Reg S Global Note 

............................................110 

Class U Combination Rule 144A 

Definitive Note .........................110 

Class U Combination Rule 144A Global 

Note ......................................110 

Class U Definitive Notes.................110 

Class U Global Notes.....................110 

Class U Subordinated Component..22, 110 

Class UP Combination Noteholders ....109 

- 406 -

Clearstream, Luxembourg............ii, 110 

Closing Date .......................ii, 20, 110 

Code ...........xv, 368, 384, 394, 396, 398 

Collateral................................... 110 

Collateral Administration Agreement ...93, 

110 

Collateral Administrator ..............18, 93 

Collateral Debt Obligation............... 110 

Collateral Enhancement Account ....... 111 

Collateral Enhancement Obligation..... 111 

Collateral Enhancement Obligation 

Proceeds................................. 111 

Collateral Enhancement Obligation 

Proceeds Priority of Payments....... 111 

Collateral Quality Tests............111, 303 

Collateral Tax Event...................... 112 

Combination Noteholders............ iv, 112 

Combination Notes.................iii, 20, 90 

Common Depository................. 50, 112 

Components................................ 112 

Conditions.............................. iv, 112 

Controlling Class.......................... 112 

Conversion................................. 330 

Corporate Services Agreement....113, 354 

Corporate Services Provider.......113, 354 

Counterparty Downgrade Collateral.... 113 

Counterparty Downgrade Collateral 

Account.................................. 113 

Coverage Test............................. 113 

Credit Derivatives Definitions ...........113 

Credit Event................................113 

Credit Impaired Obligation...............113 

Credit Improved Obligation..............115 

Credit Short Obligation...................117 

Credit Short Obligation Counterparty ..117 

Credit Short Obligation Replacement 

Payments.................................117 

Credit Short Obligation Replacement 

Receipts..................................117 

Credit Short Obligation Termination 

Payment..................................117 

Credit Short Obligation Termination 

Receipts..................................117 

Currency Hedge Agreement .............117 

Currency Hedge Counterparty...........117 

Currency Hedge Counterparty Principal 

Exchange Amount......................118 

Currency Hedge Counterparty Termination 

Payment..................................118 

Currency Hedge Issuer Principal Exchange 

Amount ..................................118 

Currency Hedge Issuer Termination 

Payment..................................118 

Currency Hedge Replacement Payments 

............................................118 

Currency Hedge Replacement Receipts 118 

Currency Hedge Transaction Agreement 

............................................118 

Currency Hedge Transaction Exchange 

Rate.......................................118 

Currency OTM Option Account.........118 

- 407 -

Currency Swap Transaction ............. 337 

Current Pay Obligation................... 118 

Current Portfolio.......................... 306 

Current Rating Confirmation............ 119 

Custodian.....................................92 

Custody Account .......................... 119 

D Fixed Interest Rate..................... 233 

Declaration of Trust ...................... 354 

Defaulted Credit Short Obligation 

Termination Payment.................. 119 

Defaulted Credit Short Obligation 

Termination Receipt................... 119 

Defaulted Currency Hedge Termination 

Payment ................................. 120 

Defaulted Currency Hedge Termination 

Receipt................................... 120 

Defaulted Interest Rate Hedge Termination 

Payment ................................. 120 

Defaulted Interest Rate Hedge Termination 

Receipt................................... 120 

Defaulted Obligation...................... 120 

Defaulted Offsetting Credit Default Swap 


Defaulted Offsetting Credit Default Swap 

Termination Receipt................... 122 

Deferred Interest....................122, 231 

Deferring Mezzanine Obligation........ 123 

Definitive Note ............................ 123 

Delayed Drawdown Obligation ......... 123 

Deliverable Obligation ................... 123 

Depository ............................ 50, 123 

Depository Agreement...............50, 123 

Derivative Agreement.....................124 

Determination Date........................124 

Directors....................................124 

Discount Obligation .......................124 

Discounted Collateral Haircut ...........125 

Distribution.................................125 

Distribution Compliance Period.........386 

Due Period .................................125 

Effective Date.........................38, 126 

Effective Date Rating Event .............126 

Effective Date Requirements.............126 

EI Minimum Long-Term Rating ........127 

EI Minimum Short-Term Rating ........127 

Eligibility Criteria...................126, 277 

Eligible Investments.......................127 

Enforcement Proceeds Priority of Payment 

............................................129 

ERISA............... xv, 384, 394, 396, 398 

EU Member States......................... 36 

EURIBOR..................................129 

euro.......................................... viii 

Euro.........................................129 

Euro Equivalent............................129 

Euroclear ............................... ii, 129 

Euroclear Pledge Agreement.............. 93 

Euro-zone...................................129 

Event of Default .....................129, 251 

- 408 -

excess distributions ....................... 375 

Exchange Act................................ xi 

Exchanged Debt Obligation.............. 129 

Exchanged Equity Security .............. 130 

Expected Loss ............................. 318 

Expense Reserve Account ............... 130 

Extraordinary Resolution ................ 130 

Final Ramp-up Date ................. 38, 130 

Fixed Rate Collateral Debt Obligation . 130 

Fixed Rate Collateral Debt Obligations ..73 

Fixed Rate Notes.......................... 130 

Floating Rate Collateral Debt Obligation 

....................................... 73, 130 

Floating Rate Eligible Investments ..... 130 

Floating Rate Notes....................... 130 

Form-Approved Credit Short Obligation 

............................................ 131 

Form-Approved Hedge................... 131 

Form-Approved Offsetting Credit Default 

Swap..................................... 131 

Form-Approved Synthetic Security..... 131 

FRB...........................................80 

FSMA..................................xiv, 389 

GBP Interest Account .................... 131 

GBP Principal Account................... 131 

Global Note ................................ 131 

Global Notes.................................50 

Haircut CCC Balance..................... 131 

Hedge Agreement...................132, 337 

Hedge Counterparty.................133, 337 

Hedge Reserve Account ..................133 

Hedge Termination Receipt Account ...133 

Hedge Transactions .......................337 

Hedging Procedures.......................133 

High Yield Bond...........................133 

IFSRA....................................... viii 

Incentive Management Fee.........134, 332 

Indirect Participants.......................268 

Initial Currency Hedge Agreements ....134 

Initial Equivalent Credit Enhancement .318 

Initial Hedge Agreements ................134 

Initial Hedge Counterparty...............134 

Initial Interest Rate Hedge Agreements 134 

Initial Payment Period ....................134 

Initial Purchaser ..................i, 134, 385 

Initial Rating ...............................134 

Insolvency Law......................134, 252 

Insolvency Regulation ....................230 

Interest Account ...........................134 

Interest Accrual Period ...................134 

Interest Amount......................134, 234 

Interest Coverage Amount ...............135 

Interest Coverage Ratio...................136 

Interest Coverage Test....................136 

Interest Determination Date........136, 232 

Interest Hedge Transaction...............337 

Interest Proceeds...........................136 

- 409 -

Interest Proceeds Priority of Payments 137 

Interest Rate Hedge Agreement......... 137 

Interest Rate Hedge Counterparty ...... 137 

Interest Rate Hedge Counterparty 


Interest Rate Hedge Issuer Termination 

Payment ................................. 137 

Interest Rate Hedge Replacement Payment 

............................................ 137 

Interest Rate Hedge Replacement Receipt 

............................................ 137 

Interest Reserve Account................. 138 

Interest Reserve Amount................. 138 

Interim Moody's Metric Test............ 328 

Interim Ramp-Up Amount Test......... 328 

Interim Ramp-Up Test Date............. 275 

Interim Ramp-Up Tests .................. 275 

Interim Weighted Average Spread Test 329 

Internal Rate of Return................... 138 

Investment Company Act.......ii, 138, 391 

Investment Period......................... 138 

Irish Paying Agent..........................92 

IRS.......................................... 368 

ISDA........................................ 337 

ISDA Master Agreement................. 138 

ISIN......................................... 399 

Issuer..................................... iii, 90 

Issuer Fees and Expenses................ 138 

Issuer Fees and Expenses Letter ........ 138 

Issuer's Domestic Account...............138 

Liabilities...................................138 

Long Dated Collateral Debt Obligations 

............................................139 

Make-Whole Amount.....................139 

Make-Whole Management Fee ..........139 

Make-Whole Management Fee Weighted 

Average Life............................140 

Make-Whole Management Fee Yield...140 

Margin Stock...............................140 

Market Value.........................140, 239 

Maturity Date .........................31, 141 

Maximum Weighted Average Life......322 

Maximum Weighted Average Life Test322 

Measurement Date ........................141 

Mezzanine Obligation.....................142 

Mezzanine Portfolio Management Fee .142 

Mezzanine Portfolio Management Fee Cap 

............................................142 

Minimum Denomination..................142 

Minimum Proceeds Amount .............142 

Minimum Spread Test....................320 

Minimum Weighted Average Spread...320 

Monthly Report......................142, 342 

Moody's ................................. i, 143 

Moody's CDOROM TM ....................319 

Moody's Collateral Value................143 

Moody's Deferring Mezzanine Obligation 

Condition 1 ..............................317 

- 410 -


Condition 2.............................. 317 


Conditions............................... 317 

Moody's Metric (MM)................... 318 

Moody's Metric Test..................... 318 

Moody's Rating ........................... 322 

Moody's Rating Factor................... 319 

Moody's Recovery Rate.................. 143 

Moody's Test Matrices................... 316 

Moody's Weighted Average Rating Factor 

............................................ 319 

Moody's Weighted Average Rating Factor 

Test....................................... 319 

Non-Call Period...................... 30, 143 

Non-Euro Account........................ 143 

Non-Euro Obligation ................ 37, 143 

Non-Permitted Holder.................... 174 

non-U.S. Holder .......................... 368 

Note Tax Event............................ 144 

Note Valuation Report..............144, 345 

Noteholders............................ iv, 144 

Notes.................................iii, 20, 90 

OAT Custody T Account ................ 144 

OAT Custody U Account ................ 144 

OAT Relevant Sale T Portion........... 144 

OAT Relevant Sale U Portion........... 144 

OAT Sale T Formula..................... 144 

OAT Sale U Formula..................... 145 

OAT Security T Component ........22, 146 

OAT Security U Component........22, 146 

OAT Strip Collateral......................146 

OAT Strips ......................... i, 23, 146 

OAT Strips Pledge Agreements....93, 146 

OAT Strips Pledge T Agreement...93, 146 

OAT Strips Pledge U Agreement ..93, 146 

OAT Strips Sale T Proceeds.............146 

OAT Strips Sale U Proceeds.............146 

OAT Strips T Portion.....................146 

Obligor......................................147 

Offer.........................................147 

Offering........................................x 

Offsetting Credit Default Swap..........147 

Offsetting Credit Default Swap 

Counterparty ............................147 


Replacement Payments ................148 


Replacement Receipts..................148 


Termination Payment ..................148 


Termination Receipt....................148 

OID..........................................371 

OID de minimis amount ..................371 

OID Note ...................................372 

Outstanding.................................148 

Par Value Ratio............................149 

- 411 -

Par Value Test Excess Adjustment Amount 

............................................ 149 

Par Value Tests............................ 149 

Participants................................. 268 

Participation........................... 71, 150 

Participation Agreement.................. 150 

Paying Agents ...............................92 

Payment Account.......................... 150 

Payment Date..................... iv, 27, 150 

Payment Period............................ 150 

Percentage Limitations .............150, 301 

Periodic Currency Swap Differential... 150 

Person ...................................... 151 

PFIC................................... 79, 374 

Physical Settlement ....................... 151 

Physical Settlement Amount............. 151 

PIK Only Obligation...................... 151 

Plan.............................151, 396, 398 

Portfolio................................iii, 152 

Portfolio Management Agreement........92 

Portfolio Management Fee............... 152 

Portfolio Manager......................18, 92 

Portfolio Manager Advance ............. 152 

Potential Event of Default ............... 152 

Presentation Date.......................... 152 

Principal Account ......................... 152 

Principal Amount Outstanding .......... 152 

Principal Balance.......................... 152 

Principal Paying Agent .................... 92 

Principal Proceeds.........................154 

Principal Proceeds Priority of Payments 

............................................154 

Priorities of Payment......................154 

Proceedings...........................154, 267 

Proposed Portfolio.........................306 

Prospectus Directive ...................... viii 

Prospectus Regulations ................... viii 

Purchased Accrued Interest..............155 

Purpose Credit.............................. 80 

put right.....................................166 

QEF ....................................79, 375 

QIB................................ x, 155, 392 

QIB/QP .....................................155 

QP..............................................x 

Qualified Purchaser.......................392 

Qualified Purchasers ........................ ii 

Qualifying Purchaser......................155 

Rated Notes ........................ iii, 19, 90 

Rating Agencies ...........................155 

Rating Agency................................ i 

Rating Agency Confirmation ......155, 353 

Rating Confirmation Plan................155 

Rating Requirement.......................155 

Ratings Event ..............................339 

Receiver...............................156, 252 

Record Date................................156 

- 412 -

Redemption Date.......................... 157 

Redemption Determination Date..157, 238 

Redemption Notice........................ 157 

Redemption Price......................... 157 

Reference Banks.....................158, 232 

Reference Entity........................... 158 

Reference Obligation ..................... 158 

Reference Obligor......................... 158 

Reg S Definitive Notes................... 158 

Reg S Global Note ..........................50 

Reg S Global Notes.................. 50, 158 

Register...............................158, 172 

Registered.................................. 159 

Regulation S ............................ii, 159 

Regulation S Notes.....................ii, 159 

Regulation U.................................80 

Regulation U Lenders ......................80 

Reinvestment Criteria ........159, 286, 288 

Reinvestment Period................. 30, 159 

Release Amount........................... 159 

Relevant Date.............................. 159 

Relevant Screen........................... 264 

Replacement Currency Hedge Agreement 

............................................ 159 

Replacement Interest Rate Hedge 

Agreement............................... 159 

Replacement Portfolio Manager......... 335 

Replacement Rating Agencies........... 155 

Report.......................................159 

Retained Portion...........................160 

Revolving Obligation .....................160 

Revolving Reserve Account..............160 

RSA ...........................................ix 

Rule 144A ..................................160 

Rule 144A Definitive Notes..............160 

Rule 144A Global Note.................... 50 

Rule 144A Global Notes.............50, 160 

Rule 144A Notes ..........................161 

S&P ...................................... i, 161 

S&P CDO Evaluator Test................289 

S&P CDO Monitor........................352 

S&P CDO Monitor Test..................303 

S&P Collateral Value.....................161 

S&P Deferring Mezzanine Obligation 

Condition 1 ..............................315 


Condition 2 ..............................315 


Conditions ...............................315 

S&P Minimum Weighted Average 

Recovery Rate Test.....................307 

S&P Rating.................................325 

S&P Recovery Rate.................161, 307 

S&P Tests Matrix .........................308 

S&P Weighted Average Recovery Rate 307 

Sale Proceeds ..............................161 

Scheduled Periodic Credit Short Obligation 

Issuer Payment..........................162 

- 413 -

Scheduled Periodic Currency Hedge 

Counterparty Payment................. 162 

Scheduled Periodic Currency Hedge Issuer 

Payment ................................. 162 

Scheduled Periodic Interest Rate Hedge 

Counterparty Payment................. 163 

Scheduled Periodic Interest Rate Hedge 

Issuer Payment ......................... 163 

Scheduled Periodic Offsetting Credit 

Default Swap Issuer Payment ........ 163 

Scheduled Principal Proceeds ........... 163 

Second Lien Loan......................... 163 

Secured Party.............................. 164 

Secured Senior Loan...................... 164 

Securities Act.....................ii, 164, 392 

Securities Lending Account.............. 164 

Securities Lending Agreement .......... 164 

Securities Lending Collateral......164, 299 

Securities Lending Counterparty........ 164 

Selling Institution .................... 71, 165 

Senior Fees and Expenses Cap.......... 165 

Senior Loan................................ 165 

Senior Portfolio Management Fee ...... 165 

Senior Portfolio Management Fee Cap 165 

Share Trustee.............................. 354 

Shares....................................... 354 

Short Term Variable Funding Facility ..44, 

165 

Short Term Variable Funding Facility . 226 


Account..................................165 


Agreement.........................165, 225 


Agreement................................ 44 


Provider.......................44, 166, 225 

Similar Law........ xv, 384, 394, 396, 398 

Special Situation Investment Obligation 166 

Special Situations Investment............166 

Spot Rate of Exchange....................166 

Stated Maturity ............................166 

Sterling......................................166 

Sterling Reinvestment Criteria...........166 

Subordinated Component.................166 

Subordinated Portfolio Management Fee 

............................................166 

Subordinated Portfolio Management Fee 

Cap.......................................166 

Subscription Agreement............167, 385 

Substitute Collateral Debt Obligation...167 

Supplemental Report................167, 349 

SVTs ......................................... 23 

Synthetic Collateral.......................167 

Synthetic Collateral Account.............167 

Synthetic Counterparty ...................167 

Synthetic Security .........................167 

Target Moody's Metric ...................318 

Target Par Amount........................169 

- 414 -

Target Portfolio ........................... 275 

TARGET System ......................... 169 

Tax Charges ............................... 169 

Tax-Exempt Investors.................... 380 

Termination Value ........................ 340 

Tier I Qualifying Country................ 169 

Tier II Qualifying Country............... 169 

Tranche Collateral Debt Obligations ... 169 

Tranche Weighted Average Price....... 169 

Transaction Creditors..................... 169 

Transaction Documents .................. 169 

Trust Deed..........................iii, 20, 90 

Trustee...............................iii, 19, 90 

Trustee Fees and Expenses .............. 170 

U.S. Holder................................367 

U.S. Residents.............................386 

UBTI ........................................380 

Underlying Instrument....................170 

Underlying Notes..........................170 

Unfunded Amounts........................170 

Unscheduled Principal Proceeds.........170 

Unsecured Senior Loan...................171 

Unused Proceeds Account................171 

Warehouse Agreement..................... 88 

Weighted Average Deferred Interest 

Percentage...............................316 

Weighted Average Spread................320 

Withholding Tax Event ...................172 

- 415 -

REGISTERED OFFICE OF THE ISSUER 

Adagio II CLO PLC 

25 Eden Quay 

Dublin 1 Ireland 

INITIAL PURCHASER 

Merrill Lynch International 

2 King Edward Street 

London EC1A 1HQ 

TRUSTEE 

J.P. Morgan Corporate Trustee Services Limited 

Trinity Tower 

9 Thomas More Street 

London E1W 1YT 

PORTFOLIO MANAGER 

AXA Investment Managers Paris S.A. 

Coeur Défense Tour B, La Défense 4 

100 Esplanade du Général de Gaulle 

92932 Paris La Défense Cedex 

CUSTODIAN, COLLATERAL 

ADMINISTRATOR, CALCULATION 

AGENT, PRINCIPAL PAYING AGENT AND 

ACCOUNT BANK 

JPMorgan Chase Bank 

Trinity Tower 

9 Thomas More Street 

London E1W 1YT 

DEPOSITORY AND REGISTRAR 

J.P. Morgan Bank Luxembourg S.A. 

6, route de Tréves 

L-2633 Senningerberg 

Luxembourg 

IRISH PAYING AGENT 

J.P. Morgan Bank (Ireland) plc 

International Financial Services Centre 

Dublin 1 

Ireland 

LEGAL ADVISERS 

To the Initial Manager 

as to English and U.S. law 

Clifford Chance 

Limited Liability Partnership 

10 Upper Bank Street 

London E14 5JJ 

To the Portfolio Manager 

as to English and U.S. law 

Ashurst 

Broadwalk House 

5 Appold Street 

London EC2A 2HA 

To the Issuer 

as to Irish law 

Arthur Cox 

Earlsfort Centre 

Earlsfort Terrace 

Dublin 2, Ireland 

To the Trustee 

as to English law 

Allen & Overy LLP 

One New Change 

London EC4M 9QQ 

IRISH LISTING AGENT 

Arthur Cox Listing Services Limited 

Earlsfort Centre 

Earlsfort Terrace 

Dublin 2, Ireland 

LONDON-1/1104618/32 - 416 - 254533/70-20324933

- i - ADAGIO II CLO PLC - Irish Stock Exchange

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