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Adjustment Date pursuant to Removals). For the avoidance of doubt, an ABS
Reference Obligation may be added to the Reference Portfolio under this section in
circumstances where the ABS Reference Obligation to be replaced has been (A)
amortised, repaid or cancelled (in whole or in part) or (B) removed pursuant to (a)
above (in whole or in part), but not in circumstances where the ABS Reference
Obligation has been removed from the Reference Portfolio (or had its Reference
Obligation Notional Amount reduced) as a consequence of an Event Determination
Date in respect thereof. In the event that the Portfolio Adjustment Agent specifies
that “Automatic Replenishment” is to apply in relation to any ABS Reference
Obligation, such ABS Reference Obligation will, upon any amortisation, repayment
or cancellation in part of such ABS Reference Obligation be deemed to be
automatically subject to a Replenishment of such ABS Reference Obligation in an
amount equal to such amortisation, repayment or cancellation. The Portfolio
Adjustment Agent may by notice to the Portfolio Administrator, at any time specify
that an ABS Reference Obligation in the Reference Portfolio is to either (i) cease to
be subject to or (ii) become subject to, Automatic Replenishment.
For the avoidance of doubt, the Portfolio Adjustment Agent may effect one or a group of more than
one Portfolio Adjustments at any one time.
The Portfolio Adjustment Agent may not effect a Portfolio Adjustment or group of Portfolio
Adjustments if such Portfolio Adjustment or group of Portfolio Adjustments, as appropriate, fails to
comply with the Portfolio Adjustments Rules set out in Part I of Appendix B.
For the purpose of this paragraph 6.1, “Last Ramp-Up Date” means the Fixed Rate Payer Payment
Date scheduled to fall on 7 February 2007.
6.2 Procedure for Portfolio Adjustments
The Portfolio Adjustment Agent shall deliver a written notice (a “Portfolio Adjustment Notice”)
(substantially in the form as set out in Part II of Appendix B) to the Portfolio Administrator of its
intention to make a Portfolio Adjustment. A Portfolio Adjustment Notice shall, in respect of each
ABS Reference Obligation that is the subject of the proposed Portfolio Adjustment, identify the
following:
(a)
(b)
(c)
(d)
(e)
(f)
(g)
(h)
(i)
(j)
(k)
(l)
whether the proposed Portfolio Adjustment is a Replenishment or Removal;
the name of the ABS Reference Entity;
the name of the ABS Reference Obligation;
the ISIN code in respect of the relevant ABS Reference Obligation;
the Moody’s Rating or the Equivalent Moody’s Rating of such ABS Reference Obligation at
the Portfolio Adjustment Date;
the Predominant Domicile of the Underlying Assets;
the Reference Obligation Notional Amount;
the Moody’s ABS Classification;
the Moody’s Expected ABS Recovery Rate;
in the case of a Replenishment, the Weighted Average Life of such ABS Reference
Obligation at the time of the Replenishment;
the Key Agent;
the Haircut of such ABS Reference Obligation determined according to Moody’s Liquidity
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